PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

Sabine3-11-2023

Last updated Dec 9, 2023

Sabine's Portfolio,

Asset Allocation


EL 33%WBA 13.07%MMM 11%AAPL 9.6%VZ 9.16%CL 7.7%PFE 6%JNJ 4%KO 4%BNTX 1.3%MNST 1.17%EquityEquity
PositionCategory/SectorWeight
EL
The Estee Lauder Companies Inc.
Consumer Defensive33%
WBA
Walgreens Boots Alliance, Inc.
Healthcare13.07%
MMM
3M Company
Industrials11%
AAPL
Apple Inc.
Technology9.6%
VZ
Verizon Communications Inc.
Communication Services9.16%
CL
Colgate-Palmolive Company
Consumer Defensive7.7%
PFE
Pfizer Inc.
Healthcare6%
JNJ
Johnson & Johnson
Healthcare4%
KO
The Coca-Cola Company
Consumer Defensive4%
BNTX
BioNTech SE
Healthcare1.3%
MNST
Monster Beverage Corporation
Consumer Defensive1.17%

Performance

The chart shows the growth of an initial investment of $10,000 in Sabine3-11-2023, 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


-10.00%0.00%10.00%20.00%30.00%40.00%50.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
5.35%
56.71%
Sabine3-11-2023
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 10, 2019, corresponding to the inception date of BNTX

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Sabine3-11-2023-20.77%10.23%-10.00%-21.56%N/AN/A
AAPL
Apple Inc.
51.47%7.15%8.44%37.96%37.12%27.21%
BNTX
BioNTech SE
-31.15%3.82%-5.33%-39.80%N/AN/A
CL
Colgate-Palmolive Company
0.48%2.57%3.07%1.31%6.79%4.18%
EL
The Estee Lauder Companies Inc.
-45.25%15.30%-23.53%-44.02%0.49%7.36%
JNJ
Johnson & Johnson
-9.93%3.53%-2.01%-10.21%3.99%7.99%
KO
The Coca-Cola Company
-4.95%3.48%-0.78%-5.25%6.90%7.30%
MMM
3M Company
-8.59%13.73%6.67%-13.00%-8.61%1.18%
MNST
Monster Beverage Corporation
6.21%-3.13%-5.82%6.20%13.45%17.76%
PFE
Pfizer Inc.
-41.28%-5.36%-24.32%-41.90%-3.49%3.45%
VZ
Verizon Communications Inc.
4.21%6.93%12.11%10.67%-3.12%2.36%
WBA
Walgreens Boots Alliance, Inc.
-33.53%12.94%-23.16%-39.28%-18.58%-5.53%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-12.42%3.89%-1.23%-6.22%-8.80%-4.05%3.74%

Sharpe Ratio

The current Sabine3-11-2023 Sharpe ratio is -1.10. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.00-1.10

The Sharpe ratio of Sabine3-11-2023 is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-1.10
1.25
Sabine3-11-2023
Benchmark (^GSPC)
Portfolio components

Dividend yield

Sabine3-11-2023 granted a 3.83% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Sabine3-11-20233.83%2.81%2.06%2.22%2.13%2.24%2.00%2.26%2.14%1.98%1.95%2.19%
AAPL
Apple Inc.
0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%1.00%
BNTX
BioNTech SE
0.00%1.41%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CL
Colgate-Palmolive Company
2.48%2.36%2.10%2.05%2.48%2.79%2.11%2.37%2.25%2.05%2.04%2.33%
EL
The Estee Lauder Companies Inc.
1.97%0.99%0.59%0.56%0.86%1.21%1.10%1.62%1.16%1.10%0.98%1.20%
JNJ
Johnson & Johnson
3.04%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%2.83%3.42%
KO
The Coca-Cola Company
3.14%2.77%2.84%2.99%2.89%3.29%3.23%3.38%3.07%2.89%2.71%2.81%
MMM
3M Company
5.80%4.97%3.33%3.36%3.26%2.86%2.00%2.49%2.72%2.08%1.81%2.54%
MNST
Monster Beverage Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PFE
Pfizer Inc.
5.70%3.12%2.64%3.91%3.68%3.12%3.53%3.69%3.47%3.34%3.13%3.51%
VZ
Verizon Communications Inc.
6.86%6.53%4.85%4.21%3.95%4.22%4.39%4.26%4.79%4.57%4.22%4.66%
WBA
Walgreens Boots Alliance, Inc.
8.29%5.13%3.62%4.64%3.04%2.46%2.13%1.78%1.64%1.71%2.05%2.70%

Expense Ratio

The Sabine3-11-2023 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

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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
AAPL
Apple Inc.
1.83
BNTX
BioNTech SE
-0.99
CL
Colgate-Palmolive Company
0.13
EL
The Estee Lauder Companies Inc.
-1.02
JNJ
Johnson & Johnson
-0.62
KO
The Coca-Cola Company
-0.36
MMM
3M Company
-0.49
MNST
Monster Beverage Corporation
0.32
PFE
Pfizer Inc.
-1.82
VZ
Verizon Communications Inc.
0.45
WBA
Walgreens Boots Alliance, Inc.
-1.21

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

BNTXAAPLPFEVZWBAELJNJCLMNSTMMMKO
BNTX1.000.220.320.110.160.200.150.090.180.150.09
AAPL0.221.000.240.220.280.500.280.260.500.360.33
PFE0.320.241.000.330.370.220.500.330.260.340.35
VZ0.110.220.331.000.360.250.410.410.310.400.46
WBA0.160.280.370.361.000.320.350.290.280.500.36
EL0.200.500.220.250.321.000.280.370.490.460.42
JNJ0.150.280.500.410.350.281.000.490.330.390.48
CL0.090.260.330.410.290.370.491.000.460.370.62
MNST0.180.500.260.310.280.490.330.461.000.360.54
MMM0.150.360.340.400.500.460.390.370.361.000.47
KO0.090.330.350.460.360.420.480.620.540.471.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-38.53%
-4.01%
Sabine3-11-2023
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Sabine3-11-2023. 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 Sabine3-11-2023 was 46.34%, occurring on Nov 1, 2023. The portfolio has not yet recovered.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-46.34%Jan 5, 2022459Nov 1, 2023
-26.97%Jan 21, 202044Mar 23, 202099Aug 12, 2020143
-9.32%Sep 3, 202119Sep 30, 202148Dec 8, 202167
-7.05%Sep 3, 202014Sep 23, 202013Oct 12, 202027
-5.9%Oct 26, 20205Oct 30, 20205Nov 6, 202010

Volatility Chart

The current Sabine3-11-2023 volatility is 5.67%, 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%4.00%6.00%8.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
5.67%
2.77%
Sabine3-11-2023
Benchmark (^GSPC)
Portfolio components
0 comments