test
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ADBE Adobe Inc | Technology | 25% |
ASML ASML Holding N.V. | Technology | 25% |
CME CME Group Inc. | Financial Services | 25% |
MA Mastercard Inc | Financial Services | 25% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in test, 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 May 25, 2006, corresponding to the inception date of MA
Returns By Period
As of Nov 14, 2024, the test returned 5.05% Year-To-Date and 21.73% of annualized return in the last 10 years.
| 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% |
| test | 5.05% | -3.46% | 1.82% | 10.38% | 15.45% | 21.73% |
| Portfolio components: | ||||||
MA Mastercard Inc | 23.07% | 3.00% | 14.27% | 32.00% | 13.88% | 20.82% |
ASML ASML Holding N.V. | -10.32% | -22.62% | -27.86% | 0.50% | 20.77% | 22.01% |
CME CME Group Inc. | 10.10% | 1.76% | 10.75% | 12.82% | 6.21% | 14.94% |
ADBE Adobe Inc | -10.74% | 4.48% | 9.71% | -11.89% | 12.39% | 22.30% |
Monthly Returns
The table below presents the monthly returns of test, 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 | 5.42% | 3.38% | -1.63% | -6.75% | 0.40% | 6.57% | -1.28% | 4.21% | -2.92% | -5.78% | 5.05% | ||
| 2023 | 10.69% | -4.67% | 8.66% | -1.68% | 3.94% | 7.47% | 4.59% | 0.47% | -5.87% | 1.98% | 10.37% | 2.72% | 44.00% |
| 2022 | -3.14% | -4.41% | -0.50% | -8.65% | -0.86% | -9.71% | 10.59% | -8.74% | -15.82% | 10.71% | 12.21% | -4.52% | -24.08% |
| 2021 | -2.56% | 7.03% | 4.04% | 4.58% | 1.48% | 4.39% | 5.66% | 0.21% | -7.28% | 8.20% | -1.18% | 0.36% | 26.62% |
| 2020 | 3.86% | -5.03% | -10.74% | 9.70% | 8.95% | 3.45% | 1.23% | 10.95% | -4.06% | -8.90% | 15.42% | 7.23% | 32.26% |
| 2019 | 7.75% | 4.31% | 0.44% | 9.44% | -2.58% | 6.31% | 2.96% | 2.48% | 0.73% | 1.40% | 4.85% | 4.86% | 51.62% |
| 2018 | 11.92% | 3.16% | 0.62% | -0.57% | 6.78% | 0.70% | 1.63% | 5.28% | -1.14% | -5.22% | 1.82% | -5.91% | 19.31% |
| 2017 | 6.63% | 2.20% | 4.94% | 1.12% | 3.24% | 1.06% | 5.58% | 4.21% | 5.06% | 7.44% | 2.67% | -0.93% | 52.42% |
| 2016 | -2.73% | -1.43% | 8.71% | -1.19% | 3.84% | -3.15% | 6.49% | 2.20% | 2.74% | -0.84% | 0.20% | 3.86% | 19.50% |
| 2015 | -3.88% | 9.67% | -4.40% | 2.53% | 3.70% | -1.10% | 1.02% | -4.73% | -0.54% | 6.29% | 1.31% | -1.43% | 7.69% |
| 2014 | -6.21% | 4.98% | 0.03% | -6.10% | 4.07% | 3.88% | 0.49% | 2.91% | 0.50% | 5.12% | 4.05% | 1.69% | 15.56% |
| 2013 | 9.18% | 0.23% | 3.61% | 3.89% | 4.79% | 3.99% | 5.39% | -2.77% | 10.77% | 1.83% | 5.03% | 3.90% | 61.91% |
Expense Ratio
test 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 rank of test is 6, indicating that it is in the bottom 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 | |
|---|---|---|---|---|---|
MA Mastercard Inc | 2.10 | 2.77 | 1.39 | 2.80 | 6.98 |
ASML ASML Holding N.V. | 0.08 | 0.41 | 1.06 | 0.09 | 0.22 |
CME CME Group Inc. | 0.61 | 0.95 | 1.11 | 0.68 | 1.93 |
ADBE Adobe Inc | -0.29 | -0.18 | 0.97 | -0.27 | -0.58 |
Dividends
Dividend yield
test provided a 1.45% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.45% | 1.49% | 1.72% | 1.00% | 1.07% | 1.10% | 1.01% | 1.38% | 1.66% | 1.74% | 1.42% | 1.65% |
| Portfolio components: | ||||||||||||
MA Mastercard Inc | 0.51% | 0.53% | 0.56% | 0.49% | 0.45% | 0.44% | 0.53% | 0.58% | 0.74% | 0.66% | 0.51% | 0.25% |
ASML ASML Holding N.V. | 1.00% | 0.85% | 1.27% | 0.50% | 0.59% | 1.20% | 1.10% | 0.75% | 1.02% | 0.91% | 0.77% | 0.75% |
CME CME Group Inc. | 4.30% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% | 4.38% | 5.61% |
ADBE Adobe 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% |
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 test. 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 test was 59.59%, occurring on Nov 20, 2008. Recovery took 747 trading sessions.
The current test drawdown is 5.25%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -59.59% | Dec 14, 2007 | 237 | Nov 20, 2008 | 747 | Nov 8, 2011 | 984 |
| -40.48% | Nov 17, 2021 | 229 | Oct 14, 2022 | 278 | Nov 22, 2023 | 507 |
| -31.34% | Feb 18, 2020 | 22 | Mar 18, 2020 | 66 | Jun 22, 2020 | 88 |
| -17.65% | Jul 26, 2018 | 105 | Dec 24, 2018 | 43 | Feb 27, 2019 | 148 |
| -14.55% | Sep 3, 2020 | 41 | Oct 30, 2020 | 21 | Dec 1, 2020 | 62 |
Volatility
Volatility Chart
The current test volatility is 3.20%, 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
| CME | ASML | MA | ADBE | |
|---|---|---|---|---|
| CME | 1.00 | 0.31 | 0.39 | 0.34 |
| ASML | 0.31 | 1.00 | 0.44 | 0.52 |
| MA | 0.39 | 0.44 | 1.00 | 0.50 |
| ADBE | 0.34 | 0.52 | 0.50 | 1.00 |