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base
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


AMD 6.67%ASML 6.67%AVGO 6.67%AZN 6.67%CCI 6.67%DEA 6.67%MDT 6.67%MS 6.67%MSFT 6.67%OC 6.67%ORCL 6.67%PFE 6.67%RTX 6.67%XOM 6.67%ZD 6.67%EquityEquity
PositionCategory/SectorWeight
AMD
Advanced Micro Devices, Inc.
Technology

6.67%

ASML
ASML Holding N.V.
Technology

6.67%

AVGO
Broadcom Inc.
Technology

6.67%

AZN
AstraZeneca PLC
Healthcare

6.67%

CCI
Crown Castle International Corp.
Real Estate

6.67%

DEA
Easterly Government Properties, Inc.
Real Estate

6.67%

MDT
Medtronic plc
Healthcare

6.67%

MS
Morgan Stanley
Financial Services

6.67%

MSFT
Microsoft Corporation
Technology

6.67%

OC
Owens Corning
Industrials

6.67%

ORCL
Oracle Corporation
Technology

6.67%

PFE
Pfizer Inc.
Healthcare

6.67%

RTX
Raytheon Technologies Corporation
Industrials

6.67%

XOM
Exxon Mobil Corporation
Energy

6.67%

ZD
Ziff Davis, Inc.
Communication Services

6.67%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in base , 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%5.00%10.00%15.00%2024FebruaryMarchAprilMayJune
13.71%
14.20%
base
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Feb 6, 2015, corresponding to the inception date of DEA

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
12.69%2.92%15.76%23.89%13.23%10.77%
base 10.51%1.81%13.71%13.86%19.24%N/A
AMD
Advanced Micro Devices, Inc.
7.84%5.58%15.03%27.65%39.40%43.65%
ASML
ASML Holding N.V.
37.40%12.95%41.44%41.74%41.52%29.05%
AVGO
Broadcom Inc.
31.44%9.24%35.27%75.05%45.37%38.93%
AZN
AstraZeneca PLC
19.45%2.32%22.08%9.23%17.81%11.53%
CCI
Crown Castle International Corp.
-11.71%0.22%-11.71%-8.12%-2.00%7.12%
DEA
Easterly Government Properties, Inc.
-8.18%-2.32%-7.49%-11.10%-3.09%N/A
MDT
Medtronic plc
0.30%-1.88%1.73%-1.23%-0.84%5.52%
MS
Morgan Stanley
4.30%-3.18%13.58%12.54%21.28%14.66%
MSFT
Microsoft Corporation
15.48%4.77%16.00%30.45%28.02%28.62%
OC
Owens Corning
19.30%-0.15%20.96%46.02%30.56%17.30%
ORCL
Oracle Corporation
18.34%6.45%21.14%7.69%20.38%13.17%
PFE
Pfizer Inc.
0.32%-1.44%8.33%-26.52%-3.25%3.93%
RTX
Raytheon Technologies Corporation
28.68%1.67%30.10%10.17%8.99%6.38%
XOM
Exxon Mobil Corporation
14.15%-4.10%15.38%9.09%14.21%5.38%
ZD
Ziff Davis, Inc.
-17.59%-0.49%-14.45%-17.21%-5.98%3.78%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.75%2.15%3.74%-4.70%6.14%10.51%
20237.60%-2.96%3.91%1.20%1.47%5.67%0.36%-3.33%-6.10%-3.71%10.67%6.42%21.64%
2022-4.33%-0.35%2.61%-7.14%3.06%-9.19%9.72%-6.72%-11.34%9.12%9.55%-4.77%-12.18%
20210.25%4.74%4.36%5.54%3.06%2.98%4.12%2.23%-4.27%7.19%-0.49%4.09%38.84%
2020-0.54%-7.99%-9.30%13.02%4.43%-0.48%4.63%6.90%-3.29%-4.55%16.02%4.36%21.87%
20198.86%3.85%2.63%4.09%-5.58%8.16%1.21%-0.29%2.61%4.28%4.46%3.07%43.36%
20186.95%-5.08%-1.91%-1.31%5.07%0.20%4.98%3.24%4.14%-8.90%3.71%-7.92%1.60%
20171.90%6.45%2.00%0.84%0.67%2.87%1.06%0.62%1.70%2.84%1.86%0.07%25.26%
2016-5.15%-1.07%5.72%2.76%5.71%2.98%6.56%1.40%-1.76%-1.80%3.65%5.36%26.31%
20154.40%-2.08%-0.28%2.44%-2.95%-0.40%-4.93%-2.31%9.05%2.78%1.46%6.61%

Expense Ratio

base 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 base is 21, indicating that it is in the bottom 21% 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 base is 2121
base
The Sharpe Ratio Rank of base is 2020Sharpe Ratio Rank
The Sortino Ratio Rank of base is 2020Sortino Ratio Rank
The Omega Ratio Rank of base is 1919Omega Ratio Rank
The Calmar Ratio Rank of base is 3030Calmar Ratio Rank
The Martin Ratio Rank of base is 1616Martin 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.


base
Sharpe ratio
The chart of Sharpe ratio for base , currently valued at 1.15, compared to the broader market0.002.004.001.15
Sortino ratio
The chart of Sortino ratio for base , currently valued at 1.70, compared to the broader market-2.000.002.004.006.001.70
Omega ratio
The chart of Omega ratio for base , currently valued at 1.20, compared to the broader market0.801.001.201.401.601.801.20
Calmar ratio
The chart of Calmar ratio for base , currently valued at 1.04, compared to the broader market0.002.004.006.008.0010.001.04
Martin ratio
The chart of Martin ratio for base , currently valued at 2.94, compared to the broader market0.0010.0020.0030.0040.0050.002.94
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.21, compared to the broader market0.002.004.002.21
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.13, compared to the broader market-2.000.002.004.006.003.13
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.39, compared to the broader market0.801.001.201.401.601.801.39
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.0010.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.30, compared to the broader market0.0010.0020.0030.0040.0050.008.30

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AMD
Advanced Micro Devices, Inc.
0.601.131.140.651.71
ASML
ASML Holding N.V.
1.361.941.241.344.02
AVGO
Broadcom Inc.
2.433.261.396.0815.18
AZN
AstraZeneca PLC
0.420.691.100.490.94
CCI
Crown Castle International Corp.
-0.27-0.220.97-0.12-0.54
DEA
Easterly Government Properties, Inc.
-0.41-0.450.95-0.20-0.74
MDT
Medtronic plc
0.060.221.030.030.12
MS
Morgan Stanley
0.631.051.130.481.61
MSFT
Microsoft Corporation
1.622.191.272.576.26
OC
Owens Corning
1.782.221.322.097.38
ORCL
Oracle Corporation
0.450.771.130.701.36
PFE
Pfizer Inc.
-0.98-1.360.84-0.44-1.03
RTX
Raytheon Technologies Corporation
0.480.771.130.320.78
XOM
Exxon Mobil Corporation
0.390.701.080.430.89
ZD
Ziff Davis, Inc.
-0.53-0.620.93-0.25-0.99

Sharpe Ratio

The current base Sharpe ratio is 1.15. 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 1.43 to 2.37, 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 base 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 Ratio1.001.502.002.503.002024FebruaryMarchAprilMayJune
1.15
2.21
base
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

base granted a 2.72% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
base 2.72%2.71%2.53%2.05%2.44%2.35%2.75%2.30%2.45%2.23%1.77%1.51%
AMD
Advanced Micro Devices, 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%
ASML
ASML Holding N.V.
0.63%0.85%1.27%0.50%0.59%1.20%1.10%0.75%1.02%0.91%0.78%0.75%
AVGO
Broadcom Inc.
1.35%1.71%3.02%2.24%3.05%3.54%3.11%1.94%1.52%1.23%1.34%1.87%
AZN
AstraZeneca PLC
1.83%2.15%2.14%2.40%2.80%2.81%3.61%3.95%5.01%4.06%3.98%4.72%
CCI
Crown Castle International Corp.
6.24%5.43%4.41%2.62%3.10%3.22%3.94%3.51%4.15%3.87%2.38%0.00%
DEA
Easterly Government Properties, Inc.
8.98%7.89%7.43%4.58%4.59%4.38%6.63%4.69%4.60%3.14%0.00%0.00%
MDT
Medtronic plc
3.37%3.34%3.44%2.39%1.95%1.87%2.15%2.24%2.34%1.88%1.66%1.92%
MS
Morgan Stanley
3.56%3.49%3.47%2.14%2.04%2.54%2.77%1.72%1.66%1.73%0.90%0.64%
MSFT
Microsoft Corporation
0.68%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
OC
Owens Corning
1.28%1.40%1.64%1.15%1.27%1.35%1.43%0.88%1.44%1.45%1.79%0.00%
ORCL
Oracle Corporation
1.29%1.44%1.57%1.38%1.48%1.72%1.68%1.52%1.56%1.56%1.07%0.63%
PFE
Pfizer Inc.
5.92%5.70%3.12%2.64%3.71%3.49%2.96%3.35%3.51%3.29%3.17%2.97%
RTX
Raytheon Technologies Corporation
2.24%2.76%2.14%2.33%2.64%1.96%2.66%2.13%2.39%2.66%2.05%1.93%
XOM
Exxon Mobil Corporation
3.35%3.68%3.22%5.70%8.44%4.92%4.74%3.66%3.30%3.69%2.92%2.43%
ZD
Ziff Davis, Inc.
0.00%0.00%0.00%0.00%0.00%1.10%2.79%2.33%1.91%1.70%2.03%2.24%

Drawdowns

Drawdowns Chart

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


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%2024FebruaryMarchAprilMayJune
-1.31%
0
base
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the base . 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 base was 32.73%, occurring on Mar 23, 2020. Recovery took 94 trading sessions.

The current base drawdown is 1.31%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-32.73%Feb 20, 202023Mar 23, 202094Aug 5, 2020117
-24.66%Dec 28, 2021202Oct 14, 2022162Jun 8, 2023364
-18.64%Sep 26, 201862Dec 24, 201857Mar 19, 2019119
-15.73%Jun 16, 202393Oct 27, 202336Dec 19, 2023129
-14.03%Mar 3, 2015123Aug 25, 201568Dec 1, 2015191

Volatility

Volatility Chart

The current base volatility is 3.55%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%2024FebruaryMarchAprilMayJune
3.55%
2.41%
base
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.

DEAAZNCCIXOMPFEAMDOCRTXMDTZDORCLAVGOMSASMLMSFT
DEA1.000.170.420.200.230.130.280.260.300.310.240.170.240.160.21
AZN0.171.000.260.170.390.170.170.280.330.260.250.220.230.290.30
CCI0.420.261.000.140.300.180.230.250.340.300.270.230.210.260.33
XOM0.200.170.141.000.260.170.320.460.300.270.290.270.480.260.22
PFE0.230.390.300.261.000.170.210.310.410.260.300.240.320.240.30
AMD0.130.170.180.170.171.000.310.240.240.360.380.510.320.540.49
OC0.280.170.230.320.210.311.000.410.350.410.340.410.490.410.34
RTX0.260.280.250.460.310.240.411.000.390.390.400.340.500.370.35
MDT0.300.330.340.300.410.240.350.391.000.410.390.350.410.370.41
ZD0.310.260.300.270.260.360.410.390.411.000.410.410.450.440.45
ORCL0.240.250.270.290.300.380.340.400.390.411.000.440.420.450.57
AVGO0.170.220.230.270.240.510.410.340.350.410.441.000.420.650.55
MS0.240.230.210.480.320.320.490.500.410.450.420.421.000.450.41
ASML0.160.290.260.260.240.540.410.370.370.440.450.650.451.000.59
MSFT0.210.300.330.220.300.490.340.350.410.450.570.550.410.591.00
The correlation results are calculated based on daily price changes starting from Feb 9, 2015