PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Diversified Portfolio (Optimised v2)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


DRCT 10.09%SMCI 9.9%MGNX 8.71%AAPL 3.98%GCT 3.89%FOR 3.84%IIPR 3.78%VIRC 3.77%SUN 3.76%O 3.76%ESEA 3.75%AVVIY 3.74%SRE 3.74%GM 3.72%SURG 3.72%TM 3.71%NSRGY 3.71%BHP 3.7%CRM 3.69%BAC 3.69%JPM 3.69%ALE 3.66%EquityEquity
PositionCategory/SectorWeight
DRCT
Direct Digital Holdings Inc
Communication Services

10.09%

SMCI
Super Micro Computer, Inc.
Technology

9.90%

MGNX
MacroGenics, Inc.
Healthcare

8.71%

AAPL
Apple Inc.
Technology

3.98%

GCT
GigaCloud Technology Inc
Technology

3.89%

FOR
Forestar Group Inc.
Real Estate

3.84%

IIPR
Innovative Industrial Properties, Inc.
Real Estate

3.78%

VIRC

3.77%

SUN
Sunoco LP
Energy

3.76%

O
Realty Income Corporation
Real Estate

3.76%

ESEA
Euroseas Ltd
Industrials

3.75%

AVVIY
Aviva plc
Financial Services

3.74%

SRE
Sempra Energy
Utilities

3.74%

GM
General Motors Company
Consumer Cyclical

3.72%

SURG
SurgePays, Inc.
Technology

3.72%

TM

3.71%

NSRGY
Nestlé S.A.
Consumer Defensive

3.71%

BHP
BHP Group
Basic Materials

3.70%

CRM
salesforce.com, inc.
Technology

3.69%

BAC
Bank of America Corporation
Financial Services

3.69%

JPM
JPMorgan Chase & Co.
Financial Services

3.69%

ALE
ALLETE, Inc.
Utilities

3.66%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Diversified Portfolio (Optimised v2), 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


0.00%50.00%100.00%150.00%NovemberDecember2024FebruaryMarchApril
118.10%
15.73%
Diversified Portfolio (Optimised v2)
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 18, 2022, corresponding to the inception date of GCT

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.12%-1.08%15.73%22.34%11.82%10.53%
Diversified Portfolio (Optimised v2)25.32%-16.29%118.09%172.19%N/AN/A
SMCI
Super Micro Computer, Inc.
210.54%-17.41%202.63%708.75%109.56%47.89%
CRM
salesforce.com, inc.
3.84%-7.28%31.04%40.38%12.00%17.20%
GCT
GigaCloud Technology Inc
77.48%-24.75%259.58%483.99%N/AN/A
GM
General Motors Company
19.20%4.92%42.84%25.18%2.58%5.09%
MGNX
MacroGenics, Inc.
76.09%6.34%227.66%161.02%0.71%-1.66%
DRCT
Direct Digital Holdings Inc
-44.22%-74.47%237.40%253.19%-35.27%-35.27%
AAPL
Apple Inc.
-10.19%0.04%-3.12%5.09%28.81%26.53%
BAC
Bank of America Corporation
7.52%1.52%35.21%25.64%6.28%10.51%
AVVIY
Aviva plc
9.36%-1.39%20.63%19.08%6.53%1.44%
TM
31.79%3.00%34.94%79.72%N/AN/A
NSRGY
Nestlé S.A.
-12.70%-6.42%-11.42%-17.92%3.42%5.44%
ESEA
Euroseas Ltd
11.71%-0.93%30.19%88.87%48.79%-7.47%
VIRC
-15.46%1.20%30.46%132.38%N/AN/A
FOR
Forestar Group Inc.
11.67%2.38%49.45%143.28%15.91%7.72%
IIPR
Innovative Industrial Properties, Inc.
-2.35%1.84%29.07%48.61%9.39%N/A
SUN
Sunoco LP
-12.39%-15.13%5.87%21.43%21.87%13.45%
SRE
Sempra Energy
-8.06%-1.86%-2.31%-7.95%4.70%6.67%
ALE
ALLETE, Inc.
-4.35%-0.94%9.38%-4.37%-2.40%5.05%
JPM
JPMorgan Chase & Co.
8.81%-3.33%25.19%35.33%13.20%15.94%
BHP
BHP Group
-11.36%6.09%4.74%1.09%9.94%5.55%
O
Realty Income Corporation
-8.74%-0.56%4.80%-10.14%-0.25%7.19%
SURG
SurgePays, Inc.
-42.02%-19.14%-21.10%-18.34%-37.84%-15.35%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
202411.93%23.95%-2.88%
2023-1.67%-3.26%53.13%19.67%

Expense Ratio

The Diversified Portfolio (Optimised v2) 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 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.


Diversified Portfolio (Optimised v2)
Sharpe ratio
The chart of Sharpe ratio for Diversified Portfolio (Optimised v2), currently valued at 4.95, compared to the broader market-1.000.001.002.003.004.005.004.95
Sortino ratio
The chart of Sortino ratio for Diversified Portfolio (Optimised v2), currently valued at 5.47, compared to the broader market-2.000.002.004.006.005.47
Omega ratio
The chart of Omega ratio for Diversified Portfolio (Optimised v2), currently valued at 1.71, compared to the broader market0.801.001.201.401.601.801.71
Calmar ratio
The chart of Calmar ratio for Diversified Portfolio (Optimised v2), currently valued at 10.16, compared to the broader market0.002.004.006.008.0010.0010.16
Martin ratio
The chart of Martin ratio for Diversified Portfolio (Optimised v2), currently valued at 39.15, compared to the broader market0.0010.0020.0030.0040.0050.0039.15
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.005.001.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.74, compared to the broader market-2.000.002.004.006.002.74
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.001.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.65, compared to the broader market0.0010.0020.0030.0040.0050.007.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SMCI
Super Micro Computer, Inc.
7.505.111.7020.7641.99
CRM
salesforce.com, inc.
1.512.121.282.516.13
GCT
GigaCloud Technology Inc
4.043.321.455.0318.12
GM
General Motors Company
0.831.391.160.661.70
MGNX
MacroGenics, Inc.
2.022.821.343.666.30
DRCT
Direct Digital Holdings Inc
1.572.711.333.127.89
AAPL
Apple Inc.
0.250.481.060.320.65
BAC
Bank of America Corporation
1.231.951.220.923.43
AVVIY
Aviva plc
0.851.321.161.333.65
TM
3.094.041.515.8017.79
NSRGY
Nestlé S.A.
-1.11-1.490.83-0.78-1.40
ESEA
Euroseas Ltd
1.972.871.324.5813.18
VIRC
1.942.341.354.5510.55
FOR
Forestar Group Inc.
3.534.281.555.2816.76
IIPR
Innovative Industrial Properties, Inc.
1.362.071.240.995.95
SUN
Sunoco LP
0.951.451.181.155.44
SRE
Sempra Energy
-0.50-0.590.93-0.40-1.17
ALE
ALLETE, Inc.
-0.26-0.250.97-0.27-0.64
JPM
JPMorgan Chase & Co.
2.483.341.473.3810.50
BHP
BHP Group
-0.030.151.02-0.03-0.08
O
Realty Income Corporation
-0.57-0.700.92-0.34-0.92
SURG
SurgePays, Inc.
-0.220.281.03-0.31-0.58

Sharpe Ratio

The current Diversified Portfolio (Optimised v2) Sharpe ratio is 4.95. A Sharpe ratio of 3.0 or higher is considered excellent.

-1.000.001.002.003.004.005.004.95

The Sharpe ratio of Diversified Portfolio (Optimised v2) is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.


Rolling 12-month Sharpe Ratio0.001.002.003.004.005.006.007.00NovemberDecember2024FebruaryMarchApril
4.95
1.89
Diversified Portfolio (Optimised v2)
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Diversified Portfolio (Optimised v2) granted a 2.16% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Diversified Portfolio (Optimised v2)2.16%2.09%3.24%1.71%1.86%2.01%2.14%1.72%1.69%1.75%1.39%1.40%
SMCI
Super Micro Computer, 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%
CRM
salesforce.com, inc.
0.15%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GCT
GigaCloud Technology 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%
GM
General Motors Company
0.91%1.00%0.54%0.00%0.91%4.15%4.54%3.71%4.36%4.06%3.44%0.00%
MGNX
MacroGenics, 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%
DRCT
Direct Digital Holdings 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%
AAPL
Apple Inc.
0.56%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
BAC
Bank of America Corporation
2.61%2.73%2.60%1.75%2.38%1.87%2.19%1.32%1.13%1.19%0.67%0.26%
AVVIY
Aviva plc
7.37%7.01%29.68%5.34%8.61%7.01%8.04%4.43%5.09%3.78%3.44%2.99%
TM
0.83%2.45%2.90%2.47%2.74%2.86%3.40%2.96%3.23%2.96%2.57%2.08%
NSRGY
Nestlé S.A.
3.16%2.76%2.64%2.20%2.34%2.24%3.12%2.68%3.16%3.11%3.31%2.96%
ESEA
Euroseas Ltd
6.13%6.42%8.13%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%3.46%
VIRC
0.39%0.17%0.00%0.00%0.00%0.00%1.50%0.30%0.00%0.00%0.00%0.00%
FOR
Forestar Group 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%
IIPR
Innovative Industrial Properties, Inc.
7.49%7.16%7.01%2.18%2.44%3.73%2.64%1.70%0.00%0.00%0.00%0.00%
SUN
Sunoco LP
6.50%5.59%7.66%8.09%11.47%10.79%12.14%11.63%12.16%6.78%4.12%5.43%
SRE
Sempra Energy
3.53%3.18%2.96%3.33%3.28%2.56%3.31%3.08%3.00%2.98%2.37%2.81%
ALE
ALLETE, Inc.
4.74%4.43%4.03%3.80%3.99%2.90%2.94%2.88%3.24%3.97%3.55%3.81%
JPM
JPMorgan Chase & Co.
2.32%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%2.33%
BHP
BHP Group
5.15%4.98%10.27%9.98%3.67%8.59%4.89%3.61%1.68%9.32%5.11%3.40%
O
Realty Income Corporation
5.95%5.33%4.68%3.87%4.50%3.69%4.18%4.45%4.18%4.41%4.59%5.83%
SURG
SurgePays, 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%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-16.69%
-3.66%
Diversified Portfolio (Optimised v2)
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Diversified Portfolio (Optimised v2). 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 Diversified Portfolio (Optimised v2) was 25.38%, occurring on Oct 12, 2022. Recovery took 35 trading sessions.

The current Diversified Portfolio (Optimised v2) drawdown is 16.69%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.38%Aug 22, 202237Oct 12, 202235Dec 1, 202272
-16.69%Mar 8, 202426Apr 15, 2024
-10.98%Dec 5, 20236Dec 12, 20236Dec 20, 202312
-10.63%Feb 6, 202336Mar 28, 202337May 19, 202373
-10.32%Dec 5, 202217Dec 28, 202212Jan 17, 202329

Volatility

Volatility Chart

The current Diversified Portfolio (Optimised v2) volatility is 9.67%, 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.


0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
9.67%
3.44%
Diversified Portfolio (Optimised v2)
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.

DRCTGCTSURGVIRCMGNXESEASUNSMCIAVVIYNSRGYTMFORALEAAPLCRMSREBHPOIIPRJPMGMBAC
DRCT1.000.120.100.020.040.190.140.160.110.050.110.100.000.150.15-0.060.130.060.100.100.160.11
GCT0.121.000.120.040.140.140.020.120.000.070.080.150.180.140.170.090.100.150.190.070.190.12
SURG0.100.121.000.090.140.180.130.230.090.030.170.090.070.160.120.020.170.100.120.120.080.12
VIRC0.020.040.091.000.010.100.060.070.110.120.030.140.140.160.120.180.150.120.230.260.150.23
MGNX0.040.140.140.011.000.060.080.170.150.130.180.160.200.140.170.120.120.180.250.210.160.22
ESEA0.190.140.180.100.061.000.160.200.150.080.160.120.060.180.260.040.220.050.140.190.170.20
SUN0.140.020.130.060.080.161.000.120.160.150.210.150.190.120.200.260.260.200.220.340.310.34
SMCI0.160.120.230.070.170.200.121.000.180.090.280.230.030.270.370.020.210.130.190.250.250.25
AVVIY0.110.000.090.110.150.150.160.181.000.230.220.190.190.160.170.220.370.200.200.300.290.33
NSRGY0.050.070.030.120.130.080.150.090.231.000.180.280.360.220.200.360.260.280.250.270.230.28
TM0.110.080.170.030.180.160.210.280.220.181.000.260.190.360.390.230.370.270.280.250.400.32
FOR0.100.150.090.140.160.120.150.230.190.280.261.000.290.320.280.280.260.400.380.360.410.40
ALE0.000.180.070.140.200.060.190.030.190.360.190.291.000.230.200.620.320.510.420.330.330.38
AAPL0.150.140.160.160.140.180.120.270.160.220.360.320.231.000.520.270.300.300.330.330.330.29
CRM0.150.170.120.120.170.260.200.370.170.200.390.280.200.521.000.240.320.280.360.320.340.35
SRE-0.060.090.020.180.120.040.260.020.220.360.230.280.620.270.241.000.310.570.400.390.410.43
BHP0.130.100.170.150.120.220.260.210.370.260.370.260.320.300.320.311.000.310.360.390.390.43
O0.060.150.100.120.180.050.200.130.200.280.270.400.510.300.280.570.311.000.500.360.450.42
IIPR0.100.190.120.230.250.140.220.190.200.250.280.380.420.330.360.400.360.501.000.380.490.51
JPM0.100.070.120.260.210.190.340.250.300.270.250.360.330.330.320.390.390.360.381.000.560.77
GM0.160.190.080.150.160.170.310.250.290.230.400.410.330.330.340.410.390.450.490.561.000.62
BAC0.110.120.120.230.220.200.340.250.330.280.320.400.380.290.350.430.430.420.510.770.621.00