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Smallcap

Last updated Sep 17, 2024

Asset Allocation

APPF 12.5%BRBR 12.5%EXP 12.5%GWRE 12.5%INFA 12.5%LNW 12.5%MKSI 12.5%SG 12.5%EquityEquity
PositionCategory/SectorWeight
APPF
AppFolio, Inc.		Technology
12.50%
BRBR
BellRing Brands, Inc.		Consumer Defensive
12.50%
EXP
Eagle Materials Inc.		Basic Materials
12.50%
GWRE
Guidewire Software, Inc.		Technology
12.50%
INFA
Informatica Inc.
12.50%
LNW
Light & Wonder Inc		Consumer Cyclical
12.50%
MKSI
MKS Instruments, Inc.		Technology
12.50%
SG
Sweetgreen, Inc.		Consumer Cyclical
12.50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Smallcap, 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

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
10.88%
8.79%
Smallcap
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 18, 2021, corresponding to the inception date of SG

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.10%1.42%9.39%26.58%13.42%10.88%
Smallcap43.14%4.28%10.88%63.29%N/AN/A
Portfolio components:
APPF
AppFolio, Inc.		31.12%3.39%1.67%26.48%17.87%N/A
BRBR
BellRing Brands, Inc.		6.73%7.74%-2.65%46.73%N/AN/A
EXP
Eagle Materials Inc.		37.62%12.71%9.72%60.66%26.20%10.86%
GWRE
Guidewire Software, Inc.		58.44%16.86%53.33%85.42%9.77%14.73%
INFA
Informatica Inc.		-9.65%6.83%-26.12%20.08%N/AN/A
LNW
Light & Wonder Inc		34.97%4.99%10.52%42.26%37.67%24.47%
MKSI
MKS Instruments, Inc.		5.84%-8.90%-9.57%23.48%3.89%13.45%
SG
Sweetgreen, Inc.		202.21%-8.62%48.80%171.25%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20245.25%12.42%15.45%-9.16%5.57%4.60%-2.23%2.45%43.14%
202313.33%-1.55%-0.07%0.29%8.61%12.38%4.69%3.91%-6.24%-5.23%14.82%7.84%63.32%
2022-12.24%-6.46%1.12%-9.03%-0.60%-11.11%12.87%-3.53%-6.89%9.38%-0.67%-5.74%-30.72%
2021-8.02%7.44%-1.17%

Expense Ratio

Smallcap 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 risk-adjusted rank of Smallcap is 83, placing it in the top 17% 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 Smallcap is 8383
Smallcap
The Sharpe Ratio Rank of Smallcap is 8383Sharpe Ratio Rank
The Sortino Ratio Rank of Smallcap is 7777Sortino Ratio Rank
The Omega Ratio Rank of Smallcap is 7272Omega Ratio Rank
The Calmar Ratio Rank of Smallcap is 9595Calmar Ratio Rank
The Martin Ratio Rank of Smallcap is 9090Martin 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.

Smallcap
Sharpe ratio
The chart of Sharpe ratio for Smallcap, currently valued at 2.42, compared to the broader market-1.000.001.002.003.004.002.42
Sortino ratio
The chart of Sortino ratio for Smallcap, 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 Smallcap, 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 Smallcap, currently valued at 4.92, compared to the broader market0.002.004.006.008.004.92
Martin ratio
The chart of Martin ratio for Smallcap, currently valued at 15.62, compared to the broader market0.0010.0020.0030.0015.62
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.96, compared to the broader market-1.000.001.002.003.004.001.96
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.65, compared to the broader market-2.000.002.004.006.002.65
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 10.43, compared to the broader market0.0010.0020.0030.0010.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
APPF
AppFolio, Inc.		0.581.401.171.082.52
BRBR
BellRing Brands, Inc.		1.602.201.272.236.32
EXP
Eagle Materials Inc.		1.902.461.322.526.78
GWRE
Guidewire Software, Inc.		2.694.201.522.9522.35
INFA
Informatica Inc.		0.541.111.140.411.07
LNW
Light & Wonder Inc		1.372.171.252.245.74
MKSI
MKS Instruments, Inc.		0.511.001.120.371.98
SG
Sweetgreen, Inc.		2.032.971.362.0711.27

Sharpe Ratio

The current Smallcap Sharpe ratio is 2.42. 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 1.64 to 2.29, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Smallcap 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 Ratio1.002.003.004.005.00AprilMayJuneJulyAugustSeptember
2.42
1.96
Smallcap
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Smallcap granted a 0.15% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Smallcap0.15%0.17%0.22%0.12%0.08%0.15%0.23%0.14%0.19%0.32%0.29%0.33%
Portfolio components:
APPF
AppFolio, 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%
BRBR
BellRing Brands, 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%
EXP
Eagle Materials Inc.		0.36%0.49%0.75%0.45%0.10%0.44%0.66%0.35%0.41%0.66%0.53%0.52%
GWRE
Guidewire Software, 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%
INFA
Informatica 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%
LNW
Light & Wonder 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%
MKSI
MKS Instruments, Inc.		0.81%0.86%1.04%0.49%0.53%0.73%1.21%0.75%1.14%1.88%1.79%2.14%
SG
Sweetgreen, 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.

-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember0
-0.60%
Smallcap
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Smallcap. 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 Smallcap was 36.96%, occurring on Jun 16, 2022. Recovery took 302 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-36.96%Nov 22, 2021143Jun 16, 2022302Aug 30, 2023445
-12.94%Sep 5, 202338Oct 26, 202321Nov 27, 202359
-12.03%Mar 28, 202416Apr 19, 202418May 15, 202434
-11.71%May 16, 202455Aug 5, 202414Aug 23, 202469
-6.96%Dec 27, 20235Jan 3, 202412Jan 22, 202417

Volatility

Volatility Chart

The current Smallcap volatility is 7.34%, 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.

2.00%4.00%6.00%8.00%10.00%AprilMayJuneJulyAugustSeptember
7.34%
4.09%
Smallcap
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.
BRBRSGAPPFINFAEXPLNWGWREMKSI
BRBR1.000.230.280.260.370.350.270.28
SG0.231.000.330.420.440.400.420.45
APPF0.280.331.000.480.400.480.530.43
INFA0.260.420.481.000.400.460.560.50
EXP0.370.440.400.401.000.520.470.59
LNW0.350.400.480.460.521.000.500.53
GWRE0.270.420.530.560.470.501.000.55
MKSI0.280.450.430.500.590.530.551.00
The correlation results are calculated based on daily price changes starting from Nov 19, 2021