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Screener Value 2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart


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The earliest data available for this chart is Jun 22, 2021, corresponding to the inception date of YMM

Returns By Period


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.77%7.44%-5.60%8.37%14.12%10.46%
Screener Value 2-2.20%14.72%-3.70%-0.62%N/AN/A
BIDU
Baidu, Inc.
3.02%10.69%-2.36%-20.06%-2.70%-7.51%
INCY
Incyte Corporation
-14.61%6.91%-29.26%11.16%-9.93%-5.55%
UTHR
United Therapeutics Corporation
-14.57%8.08%-26.48%14.06%21.19%5.58%
MNSO
MINISO Group Holding Limited
-15.96%27.81%3.86%-17.24%N/AN/A
SEDG
SolarEdge Technologies, Inc.
45.88%71.33%46.64%-59.89%-30.65%-4.75%
GNTX
Gentex Corporation
-21.91%6.01%-25.63%-35.69%-1.25%4.37%
GMED
Globus Medical, Inc.
-32.51%-21.36%-30.98%-13.75%2.92%8.55%
ASR
Grupo Aeroportuario del Sureste, S. A. B. de C. V.
25.76%21.91%22.81%-3.60%29.78%10.82%
CIEN
Ciena Corporation
-11.87%28.07%3.94%52.22%9.05%13.04%
EXEL
Exelixis, Inc.
8.62%4.96%-0.22%69.26%5.71%25.86%
YMM
Full Truck Alliance Co. Ltd.
7.21%12.41%32.57%35.20%N/AN/A
ALGM
Allegro MicroSystems, Inc.
2.15%2.34%2.76%-16.55%N/AN/A
FN
Fabrinet
-7.85%10.84%-25.25%-9.03%27.00%27.19%
ST
Sensata Technologies Holding plc
-6.32%31.43%-22.14%-38.95%-5.89%-7.10%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.16%-1.25%-4.43%-3.27%4.87%-2.20%
2024-5.26%3.82%0.42%-0.08%6.14%-4.83%-0.32%0.88%2.57%0.74%2.37%-0.56%5.44%
202311.96%-1.53%2.48%-8.11%-2.94%5.56%5.98%-1.90%-4.00%-12.11%5.83%6.63%5.30%
2022-5.77%0.64%-2.62%-7.36%1.77%-0.16%3.82%-3.50%-10.68%4.39%24.88%-3.13%-1.76%
20210.49%-8.17%5.15%-1.82%3.86%-5.19%3.92%-2.51%

Expense Ratio

Screener Value 2 has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Screener Value 2 is 6, meaning it’s performing worse than 94% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Screener Value 2 is 66
Overall Rank
The Sharpe Ratio Rank of Screener Value 2 is 55
Sharpe Ratio Rank
The Sortino Ratio Rank of Screener Value 2 is 66
Sortino Ratio Rank
The Omega Ratio Rank of Screener Value 2 is 66
Omega Ratio Rank
The Calmar Ratio Rank of Screener Value 2 is 66
Calmar Ratio Rank
The Martin Ratio Rank of Screener Value 2 is 66
Martin 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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BIDU
Baidu, Inc.
-0.50-0.490.94-0.34-0.99
INCY
Incyte Corporation
0.300.581.080.220.60
UTHR
United Therapeutics Corporation
0.430.751.110.410.98
MNSO
MINISO Group Holding Limited
-0.270.121.01-0.28-0.56
SEDG
SolarEdge Technologies, Inc.
-0.61-0.750.91-0.68-1.02
GNTX
Gentex Corporation
-1.40-2.000.76-0.81-1.68
GMED
Globus Medical, Inc.
-0.370.581.100.220.81
ASR
Grupo Aeroportuario del Sureste, S. A. B. de C. V.
-0.100.241.03-0.01-0.01
CIEN
Ciena Corporation
1.001.521.231.173.28
EXEL
Exelixis, Inc.
1.912.651.374.0312.23
YMM
Full Truck Alliance Co. Ltd.
0.761.431.170.502.55
ALGM
Allegro MicroSystems, Inc.
-0.30-0.250.97-0.38-0.91
FN
Fabrinet
-0.110.371.05-0.09-0.18
ST
Sensata Technologies Holding plc
-0.87-1.200.84-0.54-1.36

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Screener Value 2 Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: -0.05
  • All Time: 0.04

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Screener Value 2 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

Screener Value 2 provided a 0.80% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio0.80%0.84%0.61%0.53%0.35%0.10%0.31%0.32%0.26%0.28%0.32%0.12%
BIDU
Baidu, 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%
INCY
Incyte Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
UTHR
United Therapeutics Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MNSO
MINISO Group Holding Limited
3.06%2.36%2.02%1.60%1.51%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SEDG
SolarEdge Technologies, 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%
GNTX
Gentex Corporation
2.16%1.67%1.47%1.76%1.38%1.40%1.57%2.13%1.81%1.78%2.06%1.66%
GMED
Globus Medical, 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%
ASR
Grupo Aeroportuario del Sureste, S. A. B. de C. V.
3.72%4.68%3.86%3.18%2.00%0.00%2.80%2.29%1.84%2.09%2.35%0.00%
CIEN
Ciena Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
EXEL
Exelixis, 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%
YMM
Full Truck Alliance Co. Ltd.
0.83%1.33%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ALGM
Allegro MicroSystems, 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%
FN
Fabrinet
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ST
Sensata Technologies Holding plc
1.41%1.75%1.25%0.82%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. Drawdowns are calculated considering price movements and all distributions paid, if any.


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Worst Drawdowns

The table below displays the maximum drawdowns of the Screener Value 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 Screener Value 2 was 29.41%, occurring on Oct 14, 2022. Recovery took 62 trading sessions.

The current Screener Value 2 drawdown is 9.79%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.41%Nov 15, 2021231Oct 14, 202262Jan 13, 2023293
-23.79%Feb 20, 202534Apr 8, 2025
-19.18%Feb 3, 2023187Oct 31, 2023297Jan 7, 2025484
-12.86%Jun 28, 202121Jul 27, 202170Nov 3, 202191
-5.33%Jan 27, 202512Feb 11, 20253Feb 14, 202515

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 14 assets, with an effective number of assets of 14.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCUTHRINCYEXELASRMNSOYMMGMEDBIDUSEDGFNGNTXCIENALGMSTPortfolio
^GSPC1.000.270.330.340.420.330.310.550.400.460.600.570.650.640.650.73
UTHR0.271.000.340.300.090.100.080.260.090.110.150.130.180.130.160.29
INCY0.330.341.000.410.120.140.130.260.190.240.170.260.280.220.250.40
EXEL0.340.300.411.000.130.170.140.340.200.250.230.230.280.220.250.43
ASR0.420.090.120.131.000.200.230.220.310.270.320.340.300.310.340.47
MNSO0.330.100.140.170.201.000.490.160.510.230.210.220.240.250.280.59
YMM0.310.080.130.140.230.491.000.180.600.270.210.220.230.270.250.61
GMED0.550.260.260.340.220.160.181.000.210.270.370.400.390.330.420.49
BIDU0.400.090.190.200.310.510.600.211.000.340.250.310.260.340.340.65
SEDG0.460.110.240.250.270.230.270.270.341.000.330.370.330.500.450.63
FN0.600.150.170.230.320.210.210.370.250.331.000.400.580.510.510.60
GNTX0.570.130.260.230.340.220.220.400.310.370.401.000.420.470.620.56
CIEN0.650.180.280.280.300.240.230.390.260.330.580.421.000.470.480.61
ALGM0.640.130.220.220.310.250.270.330.340.500.510.470.471.000.590.67
ST0.650.160.250.250.340.280.250.420.340.450.510.620.480.591.000.68
Portfolio0.730.290.400.430.470.590.610.490.650.630.600.560.610.670.681.00
The correlation results are calculated based on daily price changes starting from Jun 23, 2021