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Draft 2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
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Draft 2

Last updated Nov 15, 2024

Rough, rough, draft. I'm just copying names from the other portfolios that are doing extremely well and give them weights. My goal is to find the combination that has a super strong return, low volatility, relatively quick to recover from a drawdown.

Asset Allocation

LLY 19.7%CEG 16.9%VST 14.1%CLS 12.7%VRT 12.7%CAMT 12.7%EME 11.2%EquityEquity
PositionCategory/SectorWeight
CAMT
Camtek Ltd		Technology
12.70%
CEG
Constellation Energy Corp		Utilities
16.90%
CLS
Celestica Inc.		Technology
12.70%
EME
EMCOR Group, Inc.		Industrials
11.20%
LLY
Eli Lilly and Company		Healthcare
19.70%
VRT
Vertiv Holdings Co.		Industrials
12.70%
VST
Vistra Corp.		Utilities
14.10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Draft 2, 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

-20.00%-10.00%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
21.77%
12.31%
Draft 2
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 2, 2022, corresponding to the inception date of CEG

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		24.72%2.30%12.31%32.12%13.81%11.31%
Draft 2114.81%2.84%21.77%124.64%N/AN/A
Portfolio components:
LLY
Eli Lilly and Company		35.53%-13.92%2.10%34.24%49.31%30.36%
CEG
Constellation Energy Corp		93.85%-15.32%4.53%86.17%N/AN/A
VST
Vistra Corp.		262.48%7.93%49.40%304.67%43.47%N/A
CLS
Celestica Inc.		174.86%31.70%53.53%195.66%59.38%22.07%
VRT
Vertiv Holdings Co.		152.21%12.62%24.47%178.63%64.05%N/A
CAMT
Camtek Ltd		15.33%-4.80%-19.38%28.74%50.60%39.86%
EME
EMCOR Group, Inc.		131.85%11.96%32.78%132.58%41.34%27.98%

Monthly Returns

The table below presents the monthly returns of Draft 2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
202410.37%24.15%11.71%2.81%16.79%-0.77%-8.20%4.82%11.75%5.62%114.81%
20233.83%-0.75%2.14%0.89%9.96%14.70%14.58%18.03%0.75%-1.01%9.85%4.23%106.80%
2022-8.85%6.75%-0.64%1.46%-9.13%14.21%1.16%-6.89%18.34%3.09%-4.21%12.08%

Expense Ratio

Draft 2 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 Draft 2 is 85, placing it in the top 15% 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 Draft 2 is 8585
Combined Rank
The Sharpe Ratio Rank of Draft 2 is 9595Sharpe Ratio Rank
The Sortino Ratio Rank of Draft 2 is 8080Sortino Ratio Rank
The Omega Ratio Rank of Draft 2 is 8686Omega Ratio Rank
The Calmar Ratio Rank of Draft 2 is 9090Calmar Ratio Rank
The Martin Ratio Rank of Draft 2 is 7676Martin 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.

Draft 2
Sharpe ratio
The chart of Sharpe ratio for Draft 2, currently valued at 3.75, compared to the broader market0.002.004.006.003.75
Sortino ratio
The chart of Sortino ratio for Draft 2, currently valued at 3.94, compared to the broader market-2.000.002.004.006.003.94
Omega ratio
The chart of Omega ratio for Draft 2, currently valued at 1.57, compared to the broader market0.801.001.201.401.601.802.001.57
Calmar ratio
The chart of Calmar ratio for Draft 2, currently valued at 5.42, compared to the broader market0.005.0010.0015.005.42
Martin ratio
The chart of Martin ratio for Draft 2, currently valued at 18.16, compared to the broader market0.0010.0020.0030.0040.0050.0018.16
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.66, compared to the broader market0.002.004.006.002.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.56, compared to the broader market-2.000.002.004.006.003.56
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.03, compared to the broader market0.0010.0020.0030.0040.0050.0017.03
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
LLY
Eli Lilly and Company		1.171.771.241.795.73
CEG
Constellation Energy Corp		1.682.501.343.128.29
VST
Vistra Corp.		5.714.741.658.7423.54
CLS
Celestica Inc.		3.623.671.485.5717.25
VRT
Vertiv Holdings Co.		3.363.301.444.8713.98
CAMT
Camtek Ltd		0.511.051.130.601.27
EME
EMCOR Group, Inc.		4.324.531.689.0829.02

Sharpe Ratio

The current Draft 2 Sharpe ratio is 3.75. 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 1.86 to 2.74, 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 Draft 2 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 Ratio2.004.006.008.0010.00JuneJulyAugustSeptemberOctoberNovember
3.75
2.66
Draft 2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Draft 2 provided a 0.59% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.59%0.66%0.81%0.66%0.78%0.93%0.71%0.84%2.71%0.54%0.64%0.80%
Portfolio components:
LLY
Eli Lilly and Company		0.66%0.78%1.07%1.23%1.75%1.96%1.95%2.46%2.77%2.37%2.84%3.84%
CEG
Constellation Energy Corp		0.75%0.97%0.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VST
Vistra Corp.		0.63%2.13%3.12%2.64%2.75%2.17%0.00%0.00%14.97%0.00%0.00%0.00%
CLS
Celestica 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%
VRT
Vertiv Holdings Co.		0.08%0.05%0.07%0.04%0.05%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CAMT
Camtek Ltd		1.69%0.00%0.00%0.00%0.00%1.57%2.07%2.45%0.00%0.00%0.00%0.00%
EME
EMCOR Group, Inc.		0.19%0.32%0.36%0.41%0.35%0.37%0.54%0.39%0.45%0.67%0.72%0.42%

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%JuneJulyAugustSeptemberOctoberNovember
-4.40%
-0.87%
Draft 2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Draft 2. 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 Draft 2 was 23.01%, occurring on Aug 5, 2024. Recovery took 36 trading sessions.

The current Draft 2 drawdown is 4.40%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-23.01%Jul 11, 202418Aug 5, 202436Sep 25, 202454
-14.83%Apr 21, 202240Jun 16, 202229Jul 29, 202269
-12.88%Feb 3, 202214Feb 23, 202228Apr 4, 202242
-12.86%Aug 19, 202230Sep 30, 202217Oct 25, 202247
-9.97%Apr 8, 202410Apr 19, 202410May 3, 202420

Volatility

Volatility Chart

The current Draft 2 volatility is 8.34%, 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%JuneJulyAugustSeptemberOctoberNovember
8.34%
3.81%
Draft 2
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.
LLYCAMTVSTCEGCLSEMEVRT
LLY1.000.180.190.260.210.240.26
CAMT0.181.000.270.270.530.410.51
VST0.190.271.000.570.330.450.41
CEG0.260.270.571.000.360.420.37
CLS0.210.530.330.361.000.510.55
EME0.240.410.450.420.511.000.55
VRT0.260.510.410.370.550.551.00
The correlation results are calculated based on daily price changes starting from Feb 3, 2022