base
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
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% |
Performance
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
Returns
As of Sep 23, 2023, the base returned 7.33% Year-To-Date and 17.06% of annualized return in the last 10 years.
| 1 month | 6 months | Year-To-Date | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
| Benchmark | -2.61% | 8.79% | 12.52% | 14.96% | 8.09% | 9.00% |
| base | -5.81% | 2.18% | 7.33% | 16.50% | 14.55% | 17.06% |
| Portfolio components: | ||||||
AMD Advanced Micro Devices, Inc. | -12.09% | -1.79% | 48.53% | 38.42% | 25.45% | 49.39% |
ASML ASML Holding N.V. | -13.29% | -8.86% | 8.24% | 34.44% | 26.79% | 23.85% |
AVGO Broadcom Inc. | -4.90% | 31.73% | 50.96% | 78.20% | 31.79% | 30.78% |
AZN AstraZeneca PLC | -1.84% | 0.54% | 2.16% | 23.01% | 15.53% | 12.28% |
CCI Crown Castle International Corp. | -6.05% | -26.80% | -29.29% | -38.28% | -0.21% | 4.66% |
DEA Easterly Government Properties, Inc. | -10.25% | -2.25% | -11.23% | -23.92% | -4.41% | 2.18% |
MDT Medtronic plc | -3.26% | 2.80% | 5.88% | -0.64% | -1.32% | 3.31% |
MS Morgan Stanley | -0.12% | 1.00% | 0.53% | 1.81% | 14.39% | 13.16% |
MSFT Microsoft Corporation | -3.06% | 13.47% | 33.09% | 32.82% | 24.02% | 28.41% |
OC Owens Corning | -2.81% | 47.39% | 60.48% | 78.33% | 20.22% | 16.93% |
ORCL Oracle Corporation | -7.48% | 24.85% | 34.93% | 67.88% | 18.33% | 13.19% |
PFE Pfizer Inc. | -10.83% | -17.28% | -34.19% | -23.70% | -1.17% | 4.17% |
RTX Raytheon Technologies Corporation | -16.81% | -24.80% | -27.74% | -12.10% | -2.00% | 1.87% |
XOM Exxon Mobil Corporation | 7.27% | 12.90% | 6.79% | 31.13% | 11.80% | 7.39% |
ZD Ziff Davis, Inc. | -1.51% | -11.43% | -15.79% | -7.09% | -3.62% | 2.40% |
| Returns over 1 year are annualized | ||||||
Asset Correlations Table
| DEA | AZN | CCI | XOM | PFE | AMD | OC | MDT | RTX | ZD | ORCL | AVGO | MS | ASML | MSFT | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| DEA | 1.00 | 0.16 | 0.40 | 0.20 | 0.23 | 0.13 | 0.27 | 0.30 | 0.28 | 0.29 | 0.26 | 0.17 | 0.22 | 0.16 | 0.23 |
| AZN | 0.16 | 1.00 | 0.25 | 0.18 | 0.40 | 0.19 | 0.17 | 0.32 | 0.28 | 0.26 | 0.27 | 0.23 | 0.22 | 0.31 | 0.33 |
| CCI | 0.40 | 0.25 | 1.00 | 0.15 | 0.29 | 0.19 | 0.23 | 0.34 | 0.25 | 0.28 | 0.29 | 0.26 | 0.19 | 0.27 | 0.35 |
| XOM | 0.20 | 0.18 | 0.15 | 1.00 | 0.27 | 0.19 | 0.33 | 0.31 | 0.47 | 0.27 | 0.32 | 0.29 | 0.50 | 0.28 | 0.25 |
| PFE | 0.23 | 0.40 | 0.29 | 0.27 | 1.00 | 0.19 | 0.21 | 0.42 | 0.32 | 0.26 | 0.33 | 0.26 | 0.32 | 0.27 | 0.32 |
| AMD | 0.13 | 0.19 | 0.19 | 0.19 | 0.19 | 1.00 | 0.30 | 0.25 | 0.25 | 0.37 | 0.37 | 0.51 | 0.33 | 0.54 | 0.49 |
| OC | 0.27 | 0.17 | 0.23 | 0.33 | 0.21 | 0.30 | 1.00 | 0.35 | 0.44 | 0.42 | 0.34 | 0.42 | 0.49 | 0.40 | 0.35 |
| MDT | 0.30 | 0.32 | 0.34 | 0.31 | 0.42 | 0.25 | 0.35 | 1.00 | 0.41 | 0.41 | 0.41 | 0.38 | 0.41 | 0.39 | 0.44 |
| RTX | 0.28 | 0.28 | 0.25 | 0.47 | 0.32 | 0.25 | 0.44 | 0.41 | 1.00 | 0.41 | 0.42 | 0.37 | 0.53 | 0.39 | 0.38 |
| ZD | 0.29 | 0.26 | 0.28 | 0.27 | 0.26 | 0.37 | 0.42 | 0.41 | 0.41 | 1.00 | 0.42 | 0.43 | 0.45 | 0.45 | 0.47 |
| ORCL | 0.26 | 0.27 | 0.29 | 0.32 | 0.33 | 0.37 | 0.34 | 0.41 | 0.42 | 0.42 | 1.00 | 0.43 | 0.44 | 0.45 | 0.57 |
| AVGO | 0.17 | 0.23 | 0.26 | 0.29 | 0.26 | 0.51 | 0.42 | 0.38 | 0.37 | 0.43 | 0.43 | 1.00 | 0.44 | 0.65 | 0.55 |
| MS | 0.22 | 0.22 | 0.19 | 0.50 | 0.32 | 0.33 | 0.49 | 0.41 | 0.53 | 0.45 | 0.44 | 0.44 | 1.00 | 0.46 | 0.43 |
| ASML | 0.16 | 0.31 | 0.27 | 0.28 | 0.27 | 0.54 | 0.40 | 0.39 | 0.39 | 0.45 | 0.45 | 0.65 | 0.46 | 1.00 | 0.60 |
| MSFT | 0.23 | 0.33 | 0.35 | 0.25 | 0.32 | 0.49 | 0.35 | 0.44 | 0.38 | 0.47 | 0.57 | 0.55 | 0.43 | 0.60 | 1.00 |
Dividend yield
base granted a 2.88% dividend yield in the last twelve months.
| TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| base | 2.88% | 2.60% | 2.18% | 2.71% | 2.68% | 3.20% | 2.77% | 3.04% | 2.84% | 2.25% | 1.97% | 3.94% |
| Portfolio components: | ||||||||||||
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. | 1.04% | 1.19% | 0.50% | 0.56% | 1.22% | 0.97% | 0.68% | 0.98% | 0.78% | 0.72% | 0.68% | 21.46% |
AVGO Broadcom Inc. | 2.22% | 3.08% | 2.35% | 3.30% | 4.01% | 3.65% | 2.36% | 1.88% | 1.54% | 1.71% | 2.43% | 2.56% |
AZN AstraZeneca PLC | 2.14% | 2.18% | 2.51% | 3.01% | 3.10% | 4.12% | 4.69% | 6.24% | 5.28% | 5.38% | 6.65% | 9.02% |
CCI Crown Castle International Corp. | 6.81% | 4.59% | 2.83% | 3.45% | 3.70% | 4.68% | 4.35% | 5.34% | 5.18% | 3.31% | 0.00% | 0.00% |
DEA Easterly Government Properties, Inc. | 8.84% | 7.85% | 5.13% | 5.40% | 5.38% | 8.59% | 6.40% | 6.59% | 4.73% | 0.00% | 0.00% | 0.00% |
MDT Medtronic plc | 3.41% | 3.52% | 2.52% | 2.10% | 2.07% | 2.43% | 2.59% | 2.77% | 2.26% | 2.03% | 2.40% | 3.94% |
MS Morgan Stanley | 3.81% | 3.56% | 2.27% | 2.22% | 2.85% | 3.20% | 2.02% | 1.99% | 2.13% | 1.13% | 0.81% | 1.33% |
MSFT Microsoft Corporation | 0.86% | 1.07% | 0.69% | 0.96% | 1.24% | 1.78% | 1.99% | 2.59% | 2.61% | 2.86% | 3.07% | 3.79% |
OC Owens Corning | 1.42% | 1.67% | 1.19% | 1.32% | 1.43% | 1.55% | 0.96% | 1.58% | 1.62% | 2.03% | 0.00% | 0.00% |
ORCL Oracle Corporation | 1.32% | 1.58% | 1.42% | 1.55% | 1.83% | 1.82% | 1.67% | 1.74% | 1.77% | 1.23% | 0.73% | 1.48% |
PFE Pfizer Inc. | 4.99% | 3.22% | 2.81% | 4.33% | 4.23% | 3.72% | 4.37% | 4.75% | 4.63% | 4.60% | 4.48% | 5.18% |
RTX Raytheon Technologies Corporation | 3.19% | 2.18% | 2.43% | 2.82% | 2.16% | 2.99% | 2.45% | 2.81% | 3.22% | 2.54% | 2.43% | 3.19% |
XOM Exxon Mobil Corporation | 3.17% | 3.30% | 6.08% | 9.55% | 6.00% | 6.06% | 4.88% | 4.57% | 5.29% | 4.33% | 3.70% | 3.94% |
ZD Ziff Davis, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 0.96% | 2.45% | 2.09% | 1.75% | 1.58% | 1.93% | 2.17% | 3.24% |
Expense Ratio
The 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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
|---|---|---|---|---|---|
AMD Advanced Micro Devices, Inc. | 0.56 | ||||
ASML ASML Holding N.V. | 0.70 | ||||
AVGO Broadcom Inc. | 2.28 | ||||
AZN AstraZeneca PLC | 0.97 | ||||
CCI Crown Castle International Corp. | -1.34 | ||||
DEA Easterly Government Properties, Inc. | -0.91 | ||||
MDT Medtronic plc | -0.10 | ||||
MS Morgan Stanley | -0.00 | ||||
MSFT Microsoft Corporation | 1.11 | ||||
OC Owens Corning | 2.32 | ||||
ORCL Oracle Corporation | 2.29 | ||||
PFE Pfizer Inc. | -1.05 | ||||
RTX Raytheon Technologies Corporation | -0.54 | ||||
XOM Exxon Mobil Corporation | 1.11 | ||||
ZD Ziff Davis, Inc. | -0.33 |
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below shows the maximum drawdowns of the base . A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.
The maximum drawdown since January 2010 for the base is 32.73%, recorded on Mar 23, 2020. It took 94 trading sessions for the portfolio to recover.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -32.73% | Feb 20, 2020 | 23 | Mar 23, 2020 | 94 | Aug 5, 2020 | 117 |
| -24.67% | Dec 28, 2021 | 202 | Oct 14, 2022 | 162 | Jun 8, 2023 | 364 |
| -18.64% | Sep 26, 2018 | 62 | Dec 24, 2018 | 57 | Mar 19, 2019 | 119 |
| -14.05% | Mar 3, 2015 | 123 | Aug 25, 2015 | 68 | Dec 1, 2015 | 191 |
| -13.2% | Dec 30, 2015 | 30 | Feb 11, 2016 | 42 | Apr 13, 2016 | 72 |
Volatility Chart
The current base volatility is 3.94%, 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.