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Diversified Portfolio (Optimised v2)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Diversified Portfolio (Optimised v2)

Last updated Jul 25, 2024

Optimised with MVO

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
AAPL
Apple Inc		Technology

3.98%

ALE
ALLETE, Inc.		Utilities

3.66%

AVVIY
Aviva plc		Financial Services

3.74%

BAC
Bank of America Corporation		Financial Services

3.69%

BHP
BHP Group		Basic Materials

3.70%

CRM
salesforce.com, inc.		Technology

3.69%

DRCT
Direct Digital Holdings Inc		Communication Services

10.09%

ESEA
Euroseas Ltd		Industrials

3.75%

FOR
Forestar Group Inc.		Real Estate

3.84%

GCT
GigaCloud Technology Inc		Technology

3.89%

GM
General Motors Company		Consumer Cyclical

3.72%

IIPR
Innovative Industrial Properties, Inc.		Real Estate

3.78%

JPM
JPMorgan Chase & Co.		Financial Services

3.69%

MGNX
MacroGenics, Inc.		Healthcare

8.71%

NSRGY
Nestlé S.A.		Consumer Defensive

3.71%

O
Realty Income Corporation		Real Estate

3.76%

SMCI
Super Micro Computer, Inc.		Technology

9.90%

SRE
Sempra Energy		Utilities

3.74%

SUN
Sunoco LP		Energy

3.76%

SURG
SurgePays, Inc.		Technology

3.72%

TM

3.71%

VIRC

3.77%

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%200.00%250.00%FebruaryMarchAprilMayJuneJuly
170.36%
26.04%
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		13.20%-1.28%10.32%18.23%12.31%10.58%
Diversified Portfolio (Optimised v2)18.28%3.06%7.93%106.49%N/AN/A
Portfolio components:
SMCI
Super Micro Computer, Inc.		144.71%-16.31%46.71%112.50%106.56%39.53%
CRM
salesforce.com, inc.		-2.24%5.66%-8.10%14.26%9.99%16.93%
GCT
GigaCloud Technology Inc		46.38%-9.00%4.53%223.04%N/AN/A
GM
General Motors Company		23.55%-3.58%26.14%14.51%2.70%5.10%
MGNX
MacroGenics, Inc.		-42.83%35.14%-58.40%22.77%-17.35%-12.22%
DRCT
Direct Digital Holdings Inc		-71.51%13.98%-63.82%70.97%-48.35%-48.35%
AAPL
Apple Inc		13.26%1.99%13.33%13.16%34.21%25.86%
BAC
Bank of America Corporation		25.42%6.87%26.32%34.34%8.95%12.68%
AVVIY
Aviva plc		20.71%4.59%20.16%34.41%11.07%2.50%
TM
7.69%-3.90%-0.29%20.70%N/AN/A
NSRGY
Nestlé S.A.		-10.61%-3.46%-9.33%-16.32%1.74%5.67%
ESEA
Euroseas Ltd		22.95%3.86%-1.52%93.16%54.65%-5.92%
VIRC
36.45%14.81%30.28%273.73%N/AN/A
FOR
Forestar Group Inc.		-6.26%-1.96%-5.00%6.53%8.50%4.97%
IIPR
Innovative Industrial Properties, Inc.		24.04%12.77%32.73%73.94%8.11%N/A
SUN
Sunoco LP		-6.30%-3.95%-3.60%28.58%20.18%10.28%
SRE
Sempra Energy		6.25%3.42%11.98%8.10%5.56%7.52%
ALE
ALLETE, Inc.		7.93%2.97%11.86%18.09%-1.77%6.82%
JPM
JPMorgan Chase & Co.		24.84%6.28%22.50%37.11%15.80%16.65%
BHP
BHP Group		-17.77%-4.43%-9.34%-6.91%7.90%4.47%
O
Realty Income Corporation		2.84%9.43%7.43%-2.29%1.44%7.62%
SURG
SurgePays, Inc.		-53.49%-7.12%-52.98%-47.28%-36.97%-16.49%

Monthly Returns

The table below presents the monthly returns of Diversified Portfolio (Optimised v2), with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
202411.93%23.95%-2.84%-10.07%-6.02%1.07%18.28%
202315.14%-5.46%-0.57%-0.68%10.65%5.61%6.08%-2.28%-1.67%-3.26%53.13%19.67%126.99%
2022-5.79%-12.01%14.02%12.69%-5.46%0.70%

Expense Ratio

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 Rank

The current risk-adjusted rank of Diversified Portfolio (Optimised v2) is 89, placing it in the top 11% 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 Diversified Portfolio (Optimised v2) is 8989
Diversified Portfolio (Optimised v2)
The Sharpe Ratio Rank of Diversified Portfolio (Optimised v2) is 9393Sharpe Ratio Rank
The Sortino Ratio Rank of Diversified Portfolio (Optimised v2) is 9191Sortino Ratio Rank
The Omega Ratio Rank of Diversified Portfolio (Optimised v2) is 9292Omega Ratio Rank
The Calmar Ratio Rank of Diversified Portfolio (Optimised v2) is 9292Calmar Ratio Rank
The Martin Ratio Rank of Diversified Portfolio (Optimised v2) is 7575Martin 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.

Diversified Portfolio (Optimised v2)
Sharpe ratio
The chart of Sharpe ratio for Diversified Portfolio (Optimised v2), currently valued at 2.93, compared to the broader market-1.000.001.002.003.004.002.93
Sortino ratio
The chart of Sortino ratio for Diversified Portfolio (Optimised v2), currently valued at 3.64, compared to the broader market-2.000.002.004.006.003.64
Omega ratio
The chart of Omega ratio for Diversified Portfolio (Optimised v2), currently valued at 1.47, compared to the broader market0.801.001.201.401.601.801.47
Calmar ratio
The chart of Calmar ratio for Diversified Portfolio (Optimised v2), currently valued at 4.16, compared to the broader market0.002.004.006.008.004.16
Martin ratio
The chart of Martin ratio for Diversified Portfolio (Optimised v2), currently valued at 8.81, compared to the broader market0.0010.0020.0030.0040.008.81
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SMCI
Super Micro Computer, Inc.		1.222.101.282.815.06
CRM
salesforce.com, inc.		0.410.721.120.441.26
GCT
GigaCloud Technology Inc		2.122.571.332.718.10
GM
General Motors Company		0.591.051.130.471.40
MGNX
MacroGenics, Inc.		0.151.381.280.210.46
DRCT
Direct Digital Holdings Inc		0.361.901.220.651.22
AAPL
Apple Inc		0.570.971.120.781.54
BAC
Bank of America Corporation		1.452.261.261.034.28
AVVIY
Aviva plc		1.662.551.292.509.79
TM
0.831.331.150.892.19
NSRGY
Nestlé S.A.		-0.82-1.060.88-0.64-1.35
ESEA
Euroseas Ltd		1.892.791.314.5410.98
VIRC
3.643.381.509.3620.27
FOR
Forestar Group Inc.		0.160.531.070.250.49
IIPR
Innovative Industrial Properties, Inc.		2.132.971.351.778.87
SUN
Sunoco LP		1.111.691.211.363.45
SRE
Sempra Energy		0.360.641.070.291.10
ALE
ALLETE, Inc.		0.791.381.170.753.46
JPM
JPMorgan Chase & Co.		2.102.591.382.707.98
BHP
BHP Group		-0.42-0.460.95-0.50-0.90
O
Realty Income Corporation		-0.18-0.120.99-0.11-0.27
SURG
SurgePays, Inc.		-0.58-0.510.94-0.67-1.20

Sharpe Ratio

The current Diversified Portfolio (Optimised v2) Sharpe ratio is 2.88. 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 1.23 to 1.94, this portfolio's current Sharpe ratio 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.

Use the chart below to compare the Sharpe ratio of Diversified Portfolio (Optimised v2) 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 Ratio1.002.003.004.005.006.007.00FebruaryMarchAprilMayJuneJuly
2.93
1.58
Diversified Portfolio (Optimised v2)
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Diversified Portfolio (Optimised v2) granted a 2.08% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Diversified Portfolio (Optimised v2)2.08%2.09%3.24%1.71%1.86%2.01%2.14%1.72%1.70%1.75%1.39%1.40%
Portfolio components:
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.		0.31%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		0.95%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		0.45%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		2.30%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		6.66%7.01%29.68%5.34%8.61%7.01%8.04%4.43%5.09%3.78%3.44%2.99%
TM
2.49%2.45%2.90%2.45%2.74%2.86%3.40%2.96%3.23%2.96%2.57%2.08%
NSRGY
Nestlé S.A.		3.41%2.76%2.64%2.18%2.34%2.24%3.12%2.68%3.16%3.11%3.31%2.96%
ESEA
Euroseas Ltd		5.93%6.42%8.13%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%3.46%
VIRC
0.37%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.		6.08%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		6.24%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		3.11%3.18%2.96%3.33%3.28%2.56%3.31%3.08%3.04%2.98%2.37%2.81%
ALE
ALLETE, Inc.		4.29%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.		2.11%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		5.55%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		5.38%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.

-25.00%-20.00%-15.00%-10.00%-5.00%0.00%FebruaryMarchAprilMayJuneJuly
-21.37%
-4.73%
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 21.83%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.38%Aug 22, 202237Oct 12, 202235Dec 1, 202272
-25.2%Mar 8, 202461Jun 4, 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 7.24%, 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%FebruaryMarchAprilMayJuneJuly
7.24%
3.80%
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.
DRCTGCTSURGVIRCMGNXESEASMCISUNNSRGYAVVIYTMAAPLALECRMFORSREBHPOJPMIIPRGMBAC
DRCT1.000.140.090.020.090.180.140.160.010.110.130.160.010.140.12-0.080.120.040.080.120.160.10
GCT0.141.000.110.040.150.150.120.010.040.000.080.130.160.170.150.060.110.120.070.180.190.13
SURG0.090.111.000.100.130.150.210.140.030.090.170.160.070.120.120.030.150.100.110.110.070.12
VIRC0.020.040.101.000.010.080.080.030.110.110.030.160.140.080.180.170.120.130.230.220.170.20
MGNX0.090.150.130.011.000.060.140.050.080.160.170.130.200.160.210.090.110.160.160.270.180.20
ESEA0.180.150.150.080.061.000.180.130.090.160.160.180.060.240.130.050.220.050.190.140.190.20
SMCI0.140.120.210.080.140.181.000.120.090.170.280.270.010.340.23-0.010.190.100.220.180.230.22
SUN0.160.010.140.030.050.130.121.000.160.180.210.100.180.200.160.240.260.190.320.220.300.34
NSRGY0.010.040.030.110.080.090.090.161.000.260.180.200.330.180.250.390.270.320.250.240.250.27
AVVIY0.110.000.090.110.160.160.170.180.261.000.220.150.200.170.210.240.390.220.290.220.300.34
TM0.130.080.170.030.170.160.280.210.180.221.000.330.170.380.280.200.380.250.240.280.370.29
AAPL0.160.130.160.160.130.180.270.100.200.150.331.000.230.440.300.250.290.270.300.320.310.28
ALE0.010.160.070.140.200.060.010.180.330.200.170.231.000.170.290.600.310.500.290.420.310.37
CRM0.140.170.120.080.160.240.340.200.180.170.380.440.171.000.270.210.310.250.270.340.300.30
FOR0.120.150.120.180.210.130.230.160.250.210.280.300.290.271.000.250.270.370.320.390.410.37
SRE-0.080.060.030.170.090.05-0.010.240.390.240.200.250.600.210.251.000.300.560.380.370.390.41
BHP0.120.110.150.120.110.220.190.260.270.390.380.290.310.310.270.301.000.290.350.340.360.42
O0.040.120.100.130.160.050.100.190.320.220.250.270.500.250.370.560.291.000.330.480.430.40
JPM0.080.070.110.230.160.190.220.320.250.290.240.300.290.270.320.380.350.331.000.360.520.76
IIPR0.120.180.110.220.270.140.180.220.240.220.280.320.420.340.390.370.340.480.361.000.470.48
GM0.160.190.070.170.180.190.230.300.250.300.370.310.310.300.410.390.360.430.520.471.000.59
BAC0.100.130.120.200.200.200.220.340.270.340.290.280.370.300.370.410.420.400.760.480.591.00
The correlation results are calculated based on daily price changes starting from Aug 19, 2022