Initial Test - 10.10.24
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ALX Alexander's, Inc. | Real Estate | 10% |
AVGO Broadcom Inc. | Technology | 10% |
CAT Caterpillar Inc. | Industrials | 10% |
COST Costco Wholesale Corporation | Consumer Defensive | 10% |
IIPR Innovative Industrial Properties, Inc. | Real Estate | 10% |
LLY Eli Lilly and Company | Healthcare | 10% |
MAIN Main Street Capital Corporation | Financial Services | 10% |
NVDA NVIDIA Corporation | Technology | 10% |
PRU Prudential Financial, Inc. | Financial Services | 10% |
SPG Simon Property Group, Inc. | Real Estate | 10% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Initial Test - 10.10.24, 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
The earliest data available for this chart is Dec 1, 2016, corresponding to the inception date of IIPR
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.48% | 2.14% | 12.76% | 33.14% | 13.96% | 11.39% |
| Initial Test - 10.10.24 | 45.58% | -2.37% | 15.38% | 62.77% | 32.04% | N/A |
| Portfolio components: | ||||||
CAT Caterpillar Inc. | 33.01% | -1.39% | 8.33% | 58.67% | 24.43% | 17.47% |
IIPR Innovative Industrial Properties, Inc. | 7.38% | -22.03% | -5.92% | 38.30% | 9.84% | N/A |
ALX Alexander's, Inc. | 12.32% | -1.93% | 5.30% | 21.59% | -0.05% | -0.56% |
MAIN Main Street Capital Corporation | 30.12% | 2.65% | 10.43% | 39.67% | 12.47% | 13.48% |
NVDA NVIDIA Corporation | 195.43% | 5.94% | 54.60% | 194.66% | 96.24% | 77.64% |
LLY Eli Lilly and Company | 39.94% | -12.66% | 3.29% | 33.55% | 50.37% | 30.78% |
COST Costco Wholesale Corporation | 42.28% | 5.08% | 18.96% | 62.58% | 27.42% | 23.65% |
PRU Prudential Financial, Inc. | 24.96% | 0.07% | 7.07% | 39.28% | 11.53% | 8.59% |
AVGO Broadcom Inc. | 57.18% | -4.79% | 21.65% | 81.15% | 45.30% | 38.20% |
SPG Simon Property Group, Inc. | 30.54% | 4.36% | 22.34% | 56.41% | 8.91% | 5.00% |
Monthly Returns
The table below presents the monthly returns of Initial Test - 10.10.24, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 4.75% | 10.06% | 5.67% | -2.89% | 7.00% | 6.22% | 1.52% | 3.26% | 3.09% | -0.97% | 45.58% | ||
| 2023 | 7.13% | -0.30% | -0.54% | 0.59% | 4.04% | 10.13% | 6.06% | 3.13% | -4.32% | -3.02% | 9.40% | 12.79% | 53.33% |
| 2022 | -8.04% | -1.70% | 7.44% | -11.09% | -1.22% | -8.93% | 9.01% | -6.53% | -9.92% | 15.75% | 9.70% | -6.21% | -15.08% |
| 2021 | 2.95% | 7.66% | 1.10% | 4.27% | 3.73% | 4.18% | 2.25% | 5.82% | -4.21% | 10.53% | 2.94% | 4.60% | 55.74% |
| 2020 | 0.10% | -5.37% | -15.70% | 13.08% | 2.77% | 4.70% | 3.48% | 9.21% | 0.04% | -3.03% | 16.59% | 6.06% | 31.73% |
| 2019 | 10.55% | 8.08% | 3.47% | 2.39% | -8.43% | 11.53% | -0.41% | -3.60% | 1.21% | 1.74% | 3.08% | 2.46% | 34.97% |
| 2018 | 0.23% | -4.59% | -0.20% | 4.00% | 4.24% | -1.53% | 2.23% | 6.63% | 2.18% | -8.63% | 3.58% | -6.88% | 0.02% |
| 2017 | 2.95% | 2.12% | -0.14% | 1.88% | 3.51% | -0.24% | 4.07% | -0.88% | 3.85% | 3.23% | 3.12% | 6.87% | 34.62% |
| 2016 | 4.79% | 4.79% |
Expense Ratio
Initial Test - 10.10.24 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
Risk-Adjusted Performance Rank
The current risk-adjusted rank of Initial Test - 10.10.24 is 94, placing it in the top 6% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
CAT Caterpillar Inc. | 2.36 | 3.11 | 1.41 | 3.96 | 9.17 |
IIPR Innovative Industrial Properties, Inc. | 1.55 | 2.07 | 1.29 | 0.70 | 8.04 |
ALX Alexander's, Inc. | 0.97 | 1.54 | 1.18 | 0.71 | 4.78 |
MAIN Main Street Capital Corporation | 2.92 | 3.72 | 1.56 | 4.24 | 16.27 |
NVDA NVIDIA Corporation | 3.88 | 3.90 | 1.50 | 7.43 | 23.42 |
LLY Eli Lilly and Company | 1.14 | 1.72 | 1.23 | 1.75 | 5.68 |
COST Costco Wholesale Corporation | 3.37 | 3.99 | 1.60 | 6.44 | 16.64 |
PRU Prudential Financial, Inc. | 1.95 | 2.41 | 1.37 | 2.54 | 9.79 |
AVGO Broadcom Inc. | 1.88 | 2.52 | 1.32 | 3.41 | 10.40 |
SPG Simon Property Group, Inc. | 2.88 | 3.87 | 1.48 | 3.10 | 17.36 |
Dividends
Dividend yield
Initial Test - 10.10.24 provided a 3.69% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.69% | 4.13% | 4.08% | 2.89% | 3.92% | 3.50% | 3.53% | 3.12% | 2.66% | 3.20% | 2.64% | 2.68% |
| Portfolio components: | ||||||||||||
CAT Caterpillar Inc. | 1.40% | 1.69% | 1.93% | 2.07% | 2.26% | 2.56% | 2.58% | 1.97% | 3.32% | 4.33% | 2.84% | 1.89% |
IIPR Innovative Industrial Properties, Inc. | 7.22% | 7.16% | 7.01% | 2.18% | 2.44% | 3.73% | 2.64% | 1.70% | 0.00% | 0.00% | 0.00% | 0.00% |
ALX Alexander's, Inc. | 8.12% | 8.43% | 8.18% | 6.92% | 6.49% | 5.45% | 5.91% | 4.29% | 3.75% | 3.64% | 2.97% | 3.33% |
MAIN Main Street Capital Corporation | 7.87% | 8.61% | 7.97% | 5.74% | 6.99% | 6.76% | 8.43% | 7.02% | 7.42% | 9.15% | 8.72% | 8.18% |
NVDA NVIDIA Corporation | 0.02% | 0.03% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.29% | 0.45% | 1.20% | 1.70% | 1.94% |
LLY Eli Lilly and Company | 0.48% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.95% | 2.46% | 2.77% | 2.37% | 2.84% | 3.84% |
COST Costco Wholesale Corporation | 2.09% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% | 0.97% | 1.01% |
PRU Prudential Financial, Inc. | 4.11% | 4.82% | 4.83% | 4.25% | 5.64% | 4.27% | 4.41% | 2.61% | 2.69% | 3.00% | 2.40% | 1.88% |
AVGO Broadcom Inc. | 1.21% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% | 1.66% |
SPG Simon Property Group, Inc. | 4.41% | 5.22% | 5.87% | 3.66% | 7.04% | 5.57% | 4.70% | 4.16% | 3.66% | 3.11% | 2.74% | 3.06% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Initial Test - 10.10.24. 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 Initial Test - 10.10.24 was 37.83%, occurring on Mar 23, 2020. Recovery took 102 trading sessions.
The current Initial Test - 10.10.24 drawdown is 3.04%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -37.83% | Feb 21, 2020 | 22 | Mar 23, 2020 | 102 | Aug 17, 2020 | 124 |
| -29.01% | Jan 5, 2022 | 186 | Sep 30, 2022 | 175 | Jun 13, 2023 | 361 |
| -17.33% | Oct 2, 2018 | 58 | Dec 24, 2018 | 34 | Feb 13, 2019 | 92 |
| -11.5% | Jul 17, 2024 | 14 | Aug 5, 2024 | 14 | Aug 23, 2024 | 28 |
| -11.01% | Jan 17, 2018 | 17 | Feb 8, 2018 | 74 | May 25, 2018 | 91 |
Volatility
Volatility Chart
The current Initial Test - 10.10.24 volatility is 3.88%, 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.
Diversification
Asset Correlations Table
| LLY | ALX | IIPR | COST | NVDA | MAIN | SPG | AVGO | CAT | PRU | |
|---|---|---|---|---|---|---|---|---|---|---|
| LLY | 1.00 | 0.16 | 0.12 | 0.28 | 0.20 | 0.19 | 0.17 | 0.23 | 0.18 | 0.18 |
| ALX | 0.16 | 1.00 | 0.30 | 0.19 | 0.14 | 0.33 | 0.48 | 0.18 | 0.30 | 0.36 |
| IIPR | 0.12 | 0.30 | 1.00 | 0.27 | 0.29 | 0.32 | 0.35 | 0.30 | 0.26 | 0.28 |
| COST | 0.28 | 0.19 | 0.27 | 1.00 | 0.39 | 0.27 | 0.26 | 0.39 | 0.27 | 0.26 |
| NVDA | 0.20 | 0.14 | 0.29 | 0.39 | 1.00 | 0.31 | 0.21 | 0.63 | 0.34 | 0.28 |
| MAIN | 0.19 | 0.33 | 0.32 | 0.27 | 0.31 | 1.00 | 0.42 | 0.32 | 0.39 | 0.46 |
| SPG | 0.17 | 0.48 | 0.35 | 0.26 | 0.21 | 0.42 | 1.00 | 0.26 | 0.39 | 0.47 |
| AVGO | 0.23 | 0.18 | 0.30 | 0.39 | 0.63 | 0.32 | 0.26 | 1.00 | 0.41 | 0.34 |
| CAT | 0.18 | 0.30 | 0.26 | 0.27 | 0.34 | 0.39 | 0.39 | 0.41 | 1.00 | 0.63 |
| PRU | 0.18 | 0.36 | 0.28 | 0.26 | 0.28 | 0.46 | 0.47 | 0.34 | 0.63 | 1.00 |