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Portfolio

Last updated Oct 18, 2024

Asset Allocation

AMZN 13%ODFL 12%ZTS 11%BUD 8%NKE 8%JD 7%BABA 7%ENPH 7%CPNG 6%DIS 6%BX 5%WIRE 5%EL 5%EquityEquity
PositionCategory/SectorWeight
AMZN
Amazon.com, Inc.		Consumer Cyclical
13%
BABA
Alibaba Group Holding Limited		Consumer Cyclical
7%
BUD
Anheuser-Busch InBev SA/NV		Consumer Defensive
8%
BX
The Blackstone Group Inc.		Financial Services
5%
CPNG
Coupang, Inc.		Consumer Cyclical
6%
DIS
The Walt Disney Company		Communication Services
6%
EL
The Estee Lauder Companies Inc.		Consumer Defensive
5%
ENPH
Enphase Energy, Inc.		Technology
7%
JD
JD.com, Inc.		Consumer Cyclical
7%
NKE
NIKE, Inc.		Consumer Cyclical
8%
ODFL
Old Dominion Freight Line, Inc.		Industrials
12%
WIRE
Encore Wire Corporation		Industrials
5%
ZTS
Zoetis Inc.		Healthcare
11%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Portfolio , comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly

-5.00%0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
8.94%
17.05%
Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 11, 2021, corresponding to the inception date of CPNG

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.95%4.39%18.07%37.09%14.48%11.71%
Portfolio 9.95%3.97%8.94%25.58%N/AN/A
Portfolio components:
AMZN
Amazon.com, Inc.		24.38%-1.36%6.64%50.99%16.58%28.26%
ZTS
Zoetis Inc.		-1.34%0.33%33.12%16.82%9.38%19.17%
ODFL
Old Dominion Freight Line, Inc.		-1.15%2.87%-5.43%2.05%27.99%24.31%
JD
JD.com, Inc.		42.25%40.04%48.13%68.56%7.39%5.35%
BABA
Alibaba Group Holding Limited		33.28%16.02%46.16%30.95%-9.16%1.42%
ENPH
Enphase Energy, Inc.		-30.65%-20.24%-17.08%-7.33%29.98%20.89%
BUD
Anheuser-Busch InBev SA/NV		3.71%4.61%12.65%27.48%-5.43%-2.95%
NKE
NIKE, Inc.		-22.70%-4.16%-11.22%-17.98%-1.83%7.45%
BX
The Blackstone Group Inc.		34.33%9.01%42.96%87.89%33.70%25.71%
CPNG
Coupang, Inc.		55.22%2.24%11.89%42.38%N/AN/A
WIRE
Encore Wire Corporation		35.72%0.00%2.38%70.90%N/AN/A
DIS
The Walt Disney Company		8.24%3.77%-12.73%18.63%-5.51%1.99%
EL
The Estee Lauder Companies Inc.		-37.36%5.92%-38.14%-32.93%-12.45%3.14%

Monthly Returns

The table below presents the monthly returns of Portfolio , with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-5.92%9.72%-0.13%-2.67%2.19%-5.19%4.56%0.31%9.59%9.95%
202313.57%-5.69%3.16%-3.88%-5.29%7.81%5.46%-3.78%-5.55%-5.33%7.22%7.30%13.22%
2022-10.48%0.44%-3.28%-11.08%-0.45%-3.54%14.25%-5.01%-10.66%1.50%10.60%-6.38%-24.34%
2021-1.05%4.09%0.24%4.30%0.02%0.84%-6.02%14.91%-0.45%-2.29%14.08%

Expense Ratio

Portfolio has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Portfolio is 6, indicating that it is in the bottom 6% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

The Risk-Adjusted Performance Rank of Portfolio is 66
Combined Rank
The Sharpe Ratio Rank of Portfolio is 55Sharpe Ratio Rank
The Sortino Ratio Rank of Portfolio is 55Sortino Ratio Rank
The Omega Ratio Rank of Portfolio is 55Omega Ratio Rank
The Calmar Ratio Rank of Portfolio is 55Calmar Ratio Rank
The Martin Ratio Rank of Portfolio is 77Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Portfolio
Sharpe ratio
The chart of Sharpe ratio for Portfolio , currently valued at 1.20, compared to the broader market0.002.004.001.20
Sortino ratio
The chart of Sortino ratio for Portfolio , currently valued at 1.75, compared to the broader market-2.000.002.004.006.001.75
Omega ratio
The chart of Omega ratio for Portfolio , currently valued at 1.21, compared to the broader market0.801.001.201.401.601.802.001.21
Calmar ratio
The chart of Calmar ratio for Portfolio , currently valued at 0.66, compared to the broader market0.002.004.006.008.0010.0012.000.66
Martin ratio
The chart of Martin ratio for Portfolio , currently valued at 5.45, compared to the broader market0.0010.0020.0030.0040.0050.005.45
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.89, compared to the broader market0.002.004.002.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.84, compared to the broader market-2.000.002.004.006.003.84
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.53, compared to the broader market0.801.001.201.401.601.802.001.53
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.54, compared to the broader market0.002.004.006.008.0010.0012.002.54
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.73, compared to the broader market0.0010.0020.0030.0040.0050.0018.73
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AMZN
Amazon.com, Inc.		1.722.361.311.328.19
ZTS
Zoetis Inc.		0.590.981.130.381.46
ODFL
Old Dominion Freight Line, Inc.		-0.010.201.03-0.01-0.02
JD
JD.com, Inc.		1.132.001.230.783.68
BABA
Alibaba Group Holding Limited		0.701.241.150.362.17
ENPH
Enphase Energy, Inc.		-0.40-0.220.98-0.34-1.41
BUD
Anheuser-Busch InBev SA/NV		1.291.911.240.803.68
NKE
NIKE, Inc.		-0.55-0.500.91-0.32-0.77
BX
The Blackstone Group Inc.		2.362.951.372.1113.63
CPNG
Coupang, Inc.		1.191.681.250.624.57
WIRE
Encore Wire Corporation		2.553.821.654.1820.18
DIS
The Walt Disney Company		0.601.031.140.261.03
EL
The Estee Lauder Companies Inc.		-0.75-0.920.88-0.44-1.36

Sharpe Ratio

The current Portfolio Sharpe ratio is 0.98. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.19 to 3.02, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00MayJuneJulyAugustSeptemberOctober
1.20
2.89
Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Portfolio granted a 0.94% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio 0.94%0.81%0.83%0.38%0.40%0.66%1.12%0.94%1.02%1.00%0.77%0.66%
Portfolio components:
AMZN
Amazon.com, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ZTS
Zoetis Inc.		0.86%0.76%0.89%0.41%0.48%0.50%0.59%0.58%0.71%0.69%0.67%0.60%
ODFL
Old Dominion Freight Line, Inc.		0.49%0.39%0.42%0.22%0.31%0.36%0.74%0.30%0.00%0.00%0.00%0.00%
JD
JD.com, Inc.		1.85%2.08%2.21%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BABA
Alibaba Group Holding Limited		1.61%1.28%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ENPH
Enphase Energy, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BUD
Anheuser-Busch InBev SA/NV		1.33%1.27%0.67%0.99%0.81%2.45%3.84%2.88%3.03%2.58%2.38%2.35%
NKE
NIKE, Inc.		1.78%1.28%1.07%0.68%0.71%0.89%1.11%1.18%1.30%0.93%1.04%1.11%
BX
The Blackstone Group Inc.		1.97%2.54%6.66%2.76%2.95%3.43%8.12%7.25%8.44%9.92%5.74%3.75%
CPNG
Coupang, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
WIRE
Encore Wire Corporation		0.02%0.04%0.06%0.04%0.17%0.14%0.16%0.16%0.18%0.16%0.21%0.18%
DIS
The Walt Disney Company		0.77%0.33%0.00%0.00%0.00%1.22%1.57%1.51%1.43%1.30%1.22%1.13%
EL
The Estee Lauder Companies Inc.		2.93%1.81%0.99%0.59%0.56%0.86%1.21%1.10%1.62%1.16%1.10%0.98%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-11.83%
0
Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Portfolio . A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Portfolio was 35.12%, occurring on May 11, 2022. The portfolio has not yet recovered.

The current Portfolio drawdown is 12.31%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.12%Nov 17, 2021121May 11, 2022———
-9.05%Sep 8, 202119Oct 4, 202111Oct 19, 202130
-6.11%Apr 28, 202112May 13, 202127Jun 22, 202139
-5.31%Jul 14, 202127Aug 19, 20219Sep 1, 202136
-4.68%Mar 16, 20218Mar 25, 202110Apr 9, 202118

Volatility

Volatility Chart

The current Portfolio volatility is 5.27%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.

2.00%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
5.27%
2.56%
Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
WIREBUDENPHCPNGJDBABAZTSODFLAMZNDISELNKEBX
WIRE1.000.230.250.200.200.160.290.430.280.380.330.370.41
BUD0.231.000.190.250.270.300.310.260.310.360.370.340.38
ENPH0.250.191.000.310.330.290.290.310.340.290.360.330.40
CPNG0.200.250.311.000.370.430.270.290.390.370.310.350.36
JD0.200.270.330.371.000.770.240.200.290.310.370.320.31
BABA0.160.300.290.430.771.000.220.200.340.320.360.330.29
ZTS0.290.310.290.270.240.221.000.440.380.380.440.470.43
ODFL0.430.260.310.290.200.200.441.000.400.370.420.410.52
AMZN0.280.310.340.390.290.340.380.401.000.460.420.460.52
DIS0.380.360.290.370.310.320.380.370.461.000.450.490.52
EL0.330.370.360.310.370.360.440.420.420.451.000.570.51
NKE0.370.340.330.350.320.330.470.410.460.490.571.000.49
BX0.410.380.400.360.310.290.430.520.520.520.510.491.00
The correlation results are calculated based on daily price changes starting from Mar 12, 2021