PortfoliosLab logo
​
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Alpha Weekly
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Alpha Weekly

Last updated Jul 25, 2024

Asset Allocation

SMCI 4%SAIA 4%DECK 4%FTV 4%FIX 4%RACE 4%CLF 4%MDB 4%GWW 4%BBVA 4%XPO 4%EXP 4%ETSY 4%STLA 4%CI 4%NVDA 4%PH 4%AMZN 4%MSCI 4%NVT 4%HUBB 4%WCC 4%BILL 4%FN 4%CMG 4%EquityEquity
PositionCategory/SectorWeight
AMZN
Amazon.com, Inc.		Consumer Cyclical

4%

BBVA
Banco Bilbao Vizcaya Argentaria, S.A.		Financial Services

4%

BILL
Bill.com Holdings, Inc.		Technology

4%

CI
Cigna Corporation		Healthcare

4%

CLF
Cleveland-Cliffs Inc.		Basic Materials

4%

CMG
Chipotle Mexican Grill, Inc.		Consumer Cyclical

4%

DECK
Deckers Outdoor Corporation		Consumer Cyclical

4%

ETSY
Etsy, Inc.		Consumer Cyclical

4%

EXP
Eagle Materials Inc.		Basic Materials

4%

FIX
Comfort Systems USA, Inc.		Industrials

4%

FN
Fabrinet		Technology

4%

FTV
Fortive Corporation		Technology

4%

GWW
W.W. Grainger, Inc.		Industrials

4%

HUBB
Hubbell Incorporated		Industrials

4%

MDB
MongoDB, Inc.		Technology

4%

MSCI
MSCI Inc.		Financial Services

4%

NVDA
NVIDIA Corporation		Technology

4%

NVT
nVent Electric plc		Industrials

4%

PH
Parker-Hannifin Corporation		Industrials

4%

RACE
Ferrari N.V.		Consumer Cyclical

4%

SAIA

4%

SMCI

4%

STLA

4%

WCC

4%

XPO

4%

S&P 500

Performance

Performance Chart

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

0.00%100.00%200.00%300.00%400.00%FebruaryMarchAprilMayJuneJuly
321.57%
71.28%
Alpha Weekly
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 12, 2019, corresponding to the inception date of BILL

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		13.78%-0.38%11.47%18.82%12.44%10.64%
Alpha Weekly18.23%-1.58%15.11%28.96%N/AN/A
Portfolio components:
SMCI
150.32%-13.96%51.33%121.43%N/AN/A
SAIA
10.12%3.32%6.67%21.67%N/AN/A
DECK
Deckers Outdoor Corporation		26.57%-13.50%12.71%52.34%39.76%25.10%
FTV
Fortive Corporation		-4.19%-5.17%-4.33%-4.68%1.85%N/A
FIX
Comfort Systems USA, Inc.		46.05%-5.73%49.82%79.77%49.59%35.61%
RACE
Ferrari N.V.		23.02%-1.90%24.19%31.70%20.92%N/A
CLF
Cleveland-Cliffs Inc.		-26.84%1.36%-18.23%-15.02%7.34%0.02%
MDB
MongoDB, Inc.		-40.19%4.54%-40.37%-41.63%9.15%N/A
GWW
W.W. Grainger, Inc.		13.01%1.87%7.49%22.77%27.35%16.54%
BBVA
Banco Bilbao Vizcaya Argentaria, S.A.		23.82%8.15%26.74%46.57%21.99%3.69%
XPO
25.59%4.37%30.92%63.18%N/AN/A
EXP
Eagle Materials Inc.		12.34%4.60%9.86%20.06%21.26%9.57%
ETSY
Etsy, Inc.		-25.65%0.52%-11.80%-36.56%-3.20%N/A
STLA
-10.20%-5.31%-0.71%13.13%N/AN/A
CI
Cigna Corporation		15.23%-0.27%13.32%18.16%16.86%14.32%
NVDA
NVIDIA Corporation		130.74%-3.27%86.21%150.19%92.64%75.22%
PH
Parker-Hannifin Corporation		15.55%3.72%14.51%34.71%26.90%17.82%
AMZN
Amazon.com, Inc.		19.01%-2.55%15.27%40.04%13.28%27.35%
MSCI
MSCI Inc.		-4.99%9.21%-3.76%-1.44%18.81%29.01%
NVT
nVent Electric plc		21.68%-9.03%23.85%36.51%26.28%N/A
HUBB
Hubbell Incorporated		9.23%-5.95%9.49%13.66%25.82%13.91%
WCC
-4.87%0.44%-3.09%-5.24%N/AN/A
BILL
Bill.com Holdings, Inc.		-37.66%5.02%-30.49%-59.18%N/AN/A
FN
Fabrinet		17.96%-5.55%8.31%78.86%32.82%27.89%
CMG
Chipotle Mexican Grill, Inc.		13.21%-18.94%10.89%23.74%27.22%14.44%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20246.30%16.23%5.93%-8.70%2.56%-1.93%18.23%
202311.95%2.06%1.29%0.87%8.05%15.67%6.26%-1.92%-4.50%-2.69%10.23%6.99%66.67%
2022-10.72%-0.97%1.67%-10.02%-0.95%-10.67%19.93%-1.56%-9.68%10.38%10.57%-5.55%-12.04%
2021-1.42%7.26%5.21%4.12%2.03%4.31%3.25%5.15%-4.99%10.93%-0.04%2.19%44.09%
20201.47%-4.82%-19.21%18.71%12.13%7.49%5.75%6.94%-1.94%0.80%21.31%9.33%65.51%
20191.97%1.97%

Expense Ratio

Alpha Weekly 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 rank of Alpha Weekly is 52, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of Alpha Weekly is 5252
Alpha Weekly
The Sharpe Ratio Rank of Alpha Weekly is 4343Sharpe Ratio Rank
The Sortino Ratio Rank of Alpha Weekly is 4444Sortino Ratio Rank
The Omega Ratio Rank of Alpha Weekly is 4141Omega Ratio Rank
The Calmar Ratio Rank of Alpha Weekly is 8080Calmar Ratio Rank
The Martin Ratio Rank of Alpha Weekly is 5454Martin 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.

Alpha Weekly
Sharpe ratio
The chart of Sharpe ratio for Alpha Weekly, currently valued at 1.44, compared to the broader market-1.000.001.002.003.004.001.44
Sortino ratio
The chart of Sortino ratio for Alpha Weekly, currently valued at 2.10, compared to the broader market-2.000.002.004.006.002.10
Omega ratio
The chart of Omega ratio for Alpha Weekly, currently valued at 1.25, compared to the broader market0.801.001.201.401.601.25
Calmar ratio
The chart of Calmar ratio for Alpha Weekly, currently valued at 2.53, compared to the broader market0.002.004.006.008.002.53
Martin ratio
The chart of Martin ratio for Alpha Weekly, currently valued at 6.01, compared to the broader market0.0010.0020.0030.0040.006.01
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.33, compared to the broader market-2.000.002.004.006.002.33
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.002.004.006.008.001.35
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.32, compared to the broader market0.0010.0020.0030.0040.006.32
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SMCI
1.362.211.303.245.69
SAIA
0.500.931.140.571.42
DECK
Deckers Outdoor Corporation		1.392.481.302.386.84
FTV
Fortive Corporation		-0.20-0.120.98-0.24-0.46
FIX
Comfort Systems USA, Inc.		2.002.701.364.1412.26
RACE
Ferrari N.V.		1.191.941.232.396.17
CLF
Cleveland-Cliffs Inc.		-0.25-0.100.99-0.16-0.56
MDB
MongoDB, Inc.		-0.79-0.950.87-0.64-1.55
GWW
W.W. Grainger, Inc.		1.071.571.201.513.33
BBVA
Banco Bilbao Vizcaya Argentaria, S.A.		1.732.201.302.597.50
XPO
1.642.681.313.217.50
EXP
Eagle Materials Inc.		0.711.101.140.861.95
ETSY
Etsy, Inc.		-0.83-1.090.87-0.46-1.15
STLA
0.450.801.100.451.04
CI
Cigna Corporation		0.711.291.190.853.13
NVDA
NVIDIA Corporation		3.353.741.477.8921.82
PH
Parker-Hannifin Corporation		1.412.101.282.576.64
AMZN
Amazon.com, Inc.		1.452.201.261.128.16
MSCI
MSCI Inc.		0.260.581.080.230.66
NVT
nVent Electric plc		1.161.591.211.715.01
HUBB
Hubbell Incorporated		0.290.571.080.431.16
WCC
-0.110.191.03-0.16-0.33
BILL
Bill.com Holdings, Inc.		-1.12-1.670.76-0.68-1.38
FN
Fabrinet		1.492.341.332.898.26
CMG
Chipotle Mexican Grill, Inc.		0.941.351.200.993.32

Sharpe Ratio

The current Alpha Weekly Sharpe ratio is 1.44. 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 1.23 to 1.94, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Alpha Weekly 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 Ratio1.002.003.004.005.00FebruaryMarchAprilMayJuneJuly
1.44
1.66
Alpha Weekly
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Alpha Weekly granted a 0.95% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Alpha Weekly0.95%0.88%1.02%1.11%0.60%1.37%0.75%0.52%0.65%0.61%0.93%0.59%
Portfolio components:
SMCI
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SAIA
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
DECK
Deckers Outdoor 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%
FTV
Fortive Corporation		0.44%0.39%0.44%0.37%0.35%0.37%0.41%0.39%0.26%0.00%0.00%0.00%
FIX
Comfort Systems USA, Inc.		0.34%0.41%0.49%0.49%0.81%0.79%0.76%0.68%0.83%0.88%1.31%1.08%
RACE
Ferrari N.V.		0.63%0.59%0.69%0.40%0.54%0.70%0.87%0.66%0.89%0.00%0.00%0.00%
CLF
Cleveland-Cliffs Inc.		0.00%0.00%0.00%0.00%0.82%3.08%0.00%0.00%0.00%0.00%8.35%2.28%
MDB
MongoDB, 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%
GWW
W.W. Grainger, Inc.		0.82%0.88%1.22%1.23%1.45%1.68%1.90%2.14%2.08%2.27%1.64%1.41%
BBVA
Banco Bilbao Vizcaya Argentaria, S.A.		5.40%5.58%6.28%2.79%3.53%5.20%5.67%3.92%6.02%4.29%5.71%4.43%
XPO
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.		0.44%0.49%0.75%0.45%0.10%0.44%0.66%0.35%0.41%0.66%0.53%0.52%
ETSY
Etsy, 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%
STLA
8.42%6.34%7.90%14.55%0.00%14.02%0.00%0.00%0.09%0.00%0.00%0.00%
CI
Cigna Corporation		1.54%1.64%1.35%1.74%0.02%0.02%0.02%0.02%0.03%0.03%0.04%0.05%
NVDA
NVIDIA Corporation		0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.19%1.68%1.95%
PH
Parker-Hannifin Corporation		1.15%1.25%1.73%1.25%1.29%1.65%1.97%1.32%1.80%2.60%1.61%1.38%
AMZN
Amazon.com, 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%
MSCI
MSCI Inc.		1.12%0.98%0.98%0.59%0.65%0.98%1.30%1.04%1.27%1.11%0.38%0.00%
NVT
nVent Electric plc		1.05%1.18%1.82%1.84%3.01%2.74%1.56%0.00%0.00%0.00%0.00%0.00%
HUBB
Hubbell Incorporated		1.34%1.39%1.82%1.92%2.37%2.32%3.17%2.12%2.22%2.29%1.93%1.70%
WCC
0.96%0.86%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BILL
Bill.com Holdings, 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%
CMG
Chipotle Mexican Grill, 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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-9.66%
-4.24%
Alpha Weekly
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Alpha Weekly. 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 Alpha Weekly was 40.47%, occurring on Mar 18, 2020. Recovery took 55 trading sessions.

The current Alpha Weekly drawdown is 9.66%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-40.47%Feb 20, 202020Mar 18, 202055Jun 5, 202075
-33.72%Nov 17, 2021146Jun 16, 2022223May 8, 2023369
-11.97%Aug 1, 202362Oct 26, 202316Nov 17, 202378
-9.66%Apr 1, 202480Jul 24, 2024———
-8.67%Sep 3, 202014Sep 23, 202010Oct 7, 202024

Volatility

Volatility Chart

The current Alpha Weekly volatility is 6.84%, 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%FebruaryMarchAprilMayJuneJuly
6.84%
3.80%
Alpha Weekly
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.
CIETSYMDBBILLSMCICLFAMZNBBVACMGNVDADECKMSCIGWWRACEFNSTLASAIAFIXXPOHUBBWCCFTVEXPNVTPH
CI1.000.110.050.080.190.280.120.330.150.140.220.200.380.220.230.300.280.350.280.390.310.360.330.410.40
ETSY0.111.000.530.530.210.250.480.180.400.430.370.450.230.350.330.300.370.230.370.240.280.310.300.240.32
MDB0.050.531.000.660.290.220.580.130.500.550.370.510.220.390.370.220.310.210.330.190.260.280.280.220.26
BILL0.080.530.661.000.260.270.490.190.480.450.380.490.210.390.340.280.310.240.350.230.300.320.300.250.29
SMCI0.190.210.290.261.000.290.330.330.290.480.360.310.310.360.490.370.330.420.370.400.420.380.420.420.41
CLF0.280.250.220.270.291.000.250.410.230.280.340.270.350.310.370.440.380.400.410.400.530.420.510.470.50
AMZN0.120.480.580.490.330.251.000.230.520.610.410.510.290.460.390.310.340.270.380.290.290.340.320.270.33
BBVA0.330.180.130.190.330.410.231.000.230.260.340.310.360.420.360.620.370.450.430.430.490.470.470.520.52
CMG0.150.400.500.480.290.230.520.231.000.520.460.520.310.440.380.300.370.340.420.330.360.400.360.330.37
NVDA0.140.430.550.450.480.280.610.260.521.000.410.540.310.530.480.370.400.330.450.360.370.380.390.370.39
DECK0.220.370.370.380.360.340.410.340.460.411.000.410.390.420.430.410.440.450.470.420.480.480.480.500.47
MSCI0.200.450.510.490.310.270.510.310.520.540.411.000.400.520.410.350.400.340.450.400.400.500.390.400.42
GWW0.380.230.220.210.310.350.290.360.310.310.390.401.000.400.420.390.450.570.450.620.560.580.550.580.62
RACE0.220.350.390.390.360.310.460.420.440.530.420.520.401.000.420.560.400.400.420.400.440.500.470.430.46
FN0.230.330.370.340.490.370.390.360.380.480.430.410.420.421.000.460.430.510.430.500.490.480.480.510.50
STLA0.300.300.220.280.370.440.310.620.300.370.410.350.390.560.461.000.440.480.490.450.550.540.530.530.56
SAIA0.280.370.310.310.330.380.340.370.370.400.440.400.450.400.430.441.000.510.700.490.520.510.530.530.53
FIX0.350.230.210.240.420.400.270.450.340.330.450.340.570.400.510.480.511.000.500.640.610.560.640.650.62
XPO0.280.370.330.350.370.410.380.430.420.450.470.450.450.420.430.490.700.501.000.470.570.540.580.550.58
HUBB0.390.240.190.230.400.400.290.430.330.360.420.400.620.400.500.450.490.640.471.000.640.630.630.740.69
WCC0.310.280.260.300.420.530.290.490.360.370.480.400.560.440.490.550.520.610.570.641.000.600.660.690.68
FTV0.360.310.280.320.380.420.340.470.400.380.480.500.580.500.480.540.510.560.540.630.601.000.630.660.71
EXP0.330.300.280.300.420.510.320.470.360.390.480.390.550.470.480.530.530.640.580.630.660.631.000.670.68
NVT0.410.240.220.250.420.470.270.520.330.370.500.400.580.430.510.530.530.650.550.740.690.660.671.000.73
PH0.400.320.260.290.410.500.330.520.370.390.470.420.620.460.500.560.530.620.580.690.680.710.680.731.00
The correlation results are calculated based on daily price changes starting from Dec 13, 2019