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Alpha Weekly
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Risk-Adjusted Performance
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Alpha Weekly

Currency in USD · Last updated May 23, 2025

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/SectorTarget Weight
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
Saia, Inc.		Industrials
4%
SMCI
Super Micro Computer, Inc.		Technology
4%
STLA
Stellantis N.V.		Consumer Cyclical
4%
WCC
WESCO International, Inc.		Industrials
4%
XPO
XPO Logistics, Inc.		Industrials
4%

S&P 500

Performance

Performance Chart

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The earliest data available for this chart is Jan 20, 2021, corresponding to the inception date of STLA

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-0.67%10.48%-1.79%10.08%14.60%10.64%
Alpha Weekly-4.98%10.58%-13.09%-4.49%N/AN/A
Portfolio components:
SMCI
Super Micro Computer, Inc.		35.56%25.59%24.65%-51.24%75.67%28.52%
SAIA
Saia, Inc.		-41.18%-21.51%-50.52%-29.51%20.98%20.26%
DECK
Deckers Outdoor Corporation		-37.91%18.22%-34.38%-16.37%33.38%26.19%
FTV
Fortive Corporation		-6.37%4.61%-10.37%-6.79%7.91%N/A
FIX
Comfort Systems USA, Inc.		9.24%30.08%-5.66%40.36%69.62%36.15%
RACE
Ferrari N.V.		16.46%11.23%13.06%19.64%25.89%N/A
CLF
Cleveland-Cliffs Inc.		-25.85%-7.56%-44.06%-58.81%8.29%3.60%
MDB
MongoDB, Inc.		-19.00%15.94%-43.28%-46.91%-3.06%N/A
GWW
W.W. Grainger, Inc.		2.71%8.89%-10.28%13.83%31.31%17.85%
BBVA
Banco Bilbao Vizcaya Argentaria, S.A.		64.58%10.24%67.68%53.27%48.34%10.12%
XPO
XPO Logistics, Inc.		-9.43%18.83%-20.27%12.69%35.36%21.18%
EXP
Eagle Materials Inc.		-13.31%-1.20%-31.89%-8.94%27.15%10.37%
ETSY
Etsy, Inc.		-9.32%4.74%-8.30%-22.74%-9.15%10.82%
STLA
Stellantis N.V.		-14.24%15.77%-14.24%-48.94%N/AN/A
CI
Cigna Corporation		13.79%-7.13%-3.93%-5.85%12.23%9.51%
NVDA
NVIDIA Corporation		-1.08%29.33%-6.41%28.00%71.34%74.59%
PH
Parker-Hannifin Corporation		3.89%13.50%-6.52%26.13%33.41%20.08%
AMZN
Amazon.com, Inc.		-7.43%12.46%3.03%12.18%10.76%25.25%
MSCI
MSCI Inc.		-5.43%6.04%-3.75%16.35%11.88%25.79%
NVT
nVent Electric plc		-4.27%24.53%-16.71%-20.37%31.57%N/A
HUBB
Hubbell Incorporated		-6.71%12.56%-14.95%-1.56%29.61%N/A
WCC
WESCO International, Inc.		-8.09%7.56%-20.58%-10.24%43.66%8.74%
BILL
Bill.com Holdings, Inc.		-48.00%3.48%-51.86%-16.27%-7.93%N/A
FN
Fabrinet		3.81%22.18%-0.95%-5.83%29.50%28.44%
CMG
Chipotle Mexican Grill, Inc.		-15.79%4.14%-18.11%-19.10%19.19%15.02%
*Annualized

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
20253.05%-4.19%-10.47%-0.04%7.54%-4.98%
20246.30%16.23%5.93%-8.70%2.56%-1.93%0.99%0.13%1.08%0.63%10.46%-9.14%24.08%
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%
2021-6.51%7.34%4.86%4.12%2.03%4.31%3.25%5.15%-4.99%10.93%-0.04%2.19%36.32%

Expense Ratio

Alpha Weekly 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 Alpha Weekly is 3, meaning it’s performing worse than 97% 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 Alpha Weekly is 33
Overall Rank
The Sharpe Ratio Rank of Alpha Weekly is 33
Sharpe Ratio Rank
The Sortino Ratio Rank of Alpha Weekly is 33
Sortino Ratio Rank
The Omega Ratio Rank of Alpha Weekly is 33
Omega Ratio Rank
The Calmar Ratio Rank of Alpha Weekly is 33
Calmar Ratio Rank
The Martin Ratio Rank of Alpha Weekly is 33
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
SMCI
Super Micro Computer, Inc.		-0.46-0.180.98-0.64-1.04
SAIA
Saia, Inc.		-0.46-0.370.95-0.54-1.33
DECK
Deckers Outdoor Corporation		-0.31-0.150.98-0.30-0.62
FTV
Fortive Corporation		-0.32-0.260.96-0.32-0.97
FIX
Comfort Systems USA, Inc.		0.711.251.190.972.34
RACE
Ferrari N.V.		0.691.121.140.862.09
CLF
Cleveland-Cliffs Inc.		-0.93-1.600.81-0.77-1.67
MDB
MongoDB, Inc.		-0.73-0.860.87-0.65-1.42
GWW
W.W. Grainger, Inc.		0.551.041.130.571.32
BBVA
Banco Bilbao Vizcaya Argentaria, S.A.		1.612.131.292.707.62
XPO
XPO Logistics, Inc.		0.250.601.070.180.42
EXP
Eagle Materials Inc.		-0.29-0.460.95-0.48-0.93
ETSY
Etsy, Inc.		-0.60-0.650.92-0.29-1.20
STLA
Stellantis N.V.		-1.08-1.690.79-0.72-1.30
CI
Cigna Corporation		-0.20-0.040.99-0.17-0.38
NVDA
NVIDIA Corporation		0.671.261.161.092.67
PH
Parker-Hannifin Corporation		0.621.091.160.792.64
AMZN
Amazon.com, Inc.		0.320.681.090.350.90
MSCI
MSCI Inc.		0.530.791.110.411.56
NVT
nVent Electric plc		-0.44-0.320.96-0.42-0.88
HUBB
Hubbell Incorporated		-0.050.211.03-0.03-0.06
WCC
WESCO International, Inc.		-0.24-0.050.99-0.29-0.67
BILL
Bill.com Holdings, Inc.		-0.32-0.190.97-0.30-0.92
FN
Fabrinet		-0.040.411.06-0.04-0.08
CMG
Chipotle Mexican Grill, Inc.		-0.57-0.660.92-0.61-1.06

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.

Alpha Weekly Sharpe ratios as of May 23, 2025 (values are recalculated daily):

  • 1-Year: -0.17
  • All Time: 0.83

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 0.47 to 0.99, 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 Alpha Weekly 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

Alpha Weekly provided a 0.91% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio0.91%1.20%0.88%1.02%0.63%0.60%0.81%0.75%0.52%0.65%0.52%0.85%
Portfolio components:
SMCI
Super Micro Computer, 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%
SAIA
Saia, 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%
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		0.46%0.43%0.39%0.44%0.37%0.35%0.37%0.41%0.39%0.26%0.00%0.00%
FIX
Comfort Systems USA, Inc.		0.32%0.28%0.41%0.49%0.49%0.81%0.79%0.76%0.68%0.83%0.88%1.31%
RACE
Ferrari N.V.		0.64%0.61%0.59%0.69%0.40%0.54%0.70%0.87%0.66%0.89%0.00%0.00%
CLF
Cleveland-Cliffs Inc.		0.00%0.00%0.00%0.00%0.00%0.82%3.10%0.00%0.00%0.00%0.00%8.40%
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.		0.78%0.76%0.88%1.22%1.23%1.45%1.68%1.90%2.14%2.08%2.27%1.64%
BBVA
Banco Bilbao Vizcaya Argentaria, S.A.		4.93%7.55%5.58%6.28%2.79%3.53%5.20%5.67%3.92%6.02%4.29%5.71%
XPO
XPO Logistics, 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.		0.47%0.41%0.49%0.75%0.45%0.10%0.44%0.66%0.35%0.41%0.66%0.53%
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
Stellantis N.V.		7.47%12.65%6.34%7.90%2.64%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CI
Cigna Corporation		1.83%2.03%1.64%1.35%1.74%0.02%0.02%0.02%0.02%0.03%0.03%0.04%
NVDA
NVIDIA Corporation		0.02%0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%
PH
Parker-Hannifin Corporation		1.02%1.00%1.25%1.73%1.25%1.29%1.65%1.97%1.32%1.80%2.60%1.61%
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.		1.21%1.07%0.98%0.98%0.59%0.65%0.98%1.30%1.04%1.27%1.11%0.38%
NVT
nVent Electric plc		1.20%1.12%1.18%1.82%1.84%3.01%2.74%1.56%0.00%0.00%0.00%0.00%
HUBB
Hubbell Incorporated		1.30%1.19%1.39%1.82%1.92%2.37%2.32%3.17%2.12%2.22%0.00%0.00%
WCC
WESCO International, Inc.		1.02%0.91%0.86%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. 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 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 33.72%, occurring on Jun 16, 2022. Recovery took 223 trading sessions.

The current Alpha Weekly drawdown is 15.54%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.72%Nov 17, 2021146Jun 16, 2022223May 8, 2023369
-30.25%Dec 5, 202484Apr 8, 2025———
-16.45%Apr 1, 202490Aug 7, 202465Nov 7, 2024155
-11.97%Aug 1, 202362Oct 26, 202316Nov 17, 202378
-7.41%Sep 7, 202120Oct 4, 202115Oct 25, 202135

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 25 assets, with an effective number of assets of 25.00, 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.
^GSPCCISMCICLFBBVAETSYCMGMDBBILLGWWRACESTLAAMZNDECKSAIAMSCIFNNVDAHUBBXPOFIXEXPFTVNVTWCCPHPortfolio
^GSPC1.000.300.470.450.470.490.570.550.540.560.610.560.700.560.540.670.600.700.600.600.610.650.700.650.640.690.86
CI0.301.000.080.180.220.110.100.040.070.320.130.220.060.110.190.180.130.050.260.180.210.260.260.250.230.280.25
SMCI0.470.081.000.280.290.180.240.330.250.240.320.330.340.350.290.250.470.500.370.330.410.360.340.430.400.360.58
CLF0.450.180.281.000.340.280.230.280.310.320.310.390.300.320.360.280.330.300.330.390.360.460.400.420.510.440.55
BBVA0.470.220.290.341.000.260.240.210.250.310.420.580.270.310.320.340.320.300.350.360.360.420.400.450.450.450.50
ETSY0.490.110.180.280.261.000.380.490.550.240.330.330.470.430.390.450.320.380.260.390.260.360.380.290.330.360.56
CMG0.570.100.240.230.240.381.000.480.480.310.400.290.510.460.370.480.330.480.340.420.390.390.410.350.370.380.58
MDB0.550.040.330.280.210.490.481.000.680.240.380.290.600.440.360.460.400.530.270.380.320.370.370.330.370.340.64
BILL0.540.070.250.310.250.550.480.681.000.240.380.310.540.430.350.490.370.460.260.390.330.360.410.320.390.380.63
GWW0.560.320.240.320.310.240.310.240.241.000.360.360.290.370.430.410.370.280.590.440.540.570.560.550.570.590.58
RACE0.610.130.320.310.420.330.400.380.380.361.000.560.430.400.360.490.390.480.370.400.390.440.490.410.430.430.60
STLA0.560.220.330.390.580.330.290.290.310.360.561.000.330.370.400.390.390.370.380.430.390.490.500.480.520.510.60
AMZN0.700.060.340.300.270.470.510.600.540.290.430.331.000.450.360.480.420.600.350.420.380.390.410.370.370.410.64
DECK0.560.110.350.320.310.430.460.440.430.370.400.370.451.000.430.420.450.440.420.460.450.460.490.490.480.460.65
SAIA0.540.190.290.360.320.390.370.360.350.430.360.400.360.431.000.400.400.390.430.730.460.520.490.490.520.500.66
MSCI0.670.180.250.280.340.450.480.460.490.410.490.390.480.420.401.000.370.470.410.450.380.430.550.410.440.470.63
FN0.600.130.470.330.320.320.330.400.370.370.390.390.420.450.400.371.000.510.480.420.540.470.470.550.520.500.68
NVDA0.700.050.500.300.300.380.480.530.460.280.480.370.600.440.390.470.511.000.390.450.420.420.400.440.420.430.70
HUBB0.600.260.370.330.350.260.340.270.260.590.370.380.350.420.430.410.480.391.000.430.620.590.610.730.640.660.66
XPO0.600.180.330.390.360.390.420.380.390.440.400.430.420.460.730.450.420.450.431.000.470.580.510.520.570.560.70
FIX0.610.210.410.360.360.260.390.320.330.540.390.390.380.450.460.380.540.420.620.471.000.600.540.670.610.610.69
EXP0.650.260.360.460.420.360.390.370.360.570.440.490.390.460.520.430.470.420.590.580.601.000.620.640.650.660.73
FTV0.700.260.340.400.400.380.410.370.410.560.490.500.410.490.490.550.470.400.610.510.540.621.000.630.630.690.71
NVT0.650.250.430.420.450.290.350.330.320.550.410.480.370.490.490.410.550.440.730.520.670.640.631.000.690.700.73
WCC0.640.230.400.510.450.330.370.370.390.570.430.520.370.480.520.440.520.420.640.570.610.650.630.691.000.690.75
PH0.690.280.360.440.450.360.380.340.380.590.430.510.410.460.500.470.500.430.660.560.610.660.690.700.691.000.73
Portfolio0.860.250.580.550.500.560.580.640.630.580.600.600.640.650.660.630.680.700.660.700.690.730.710.730.750.731.00
The correlation results are calculated based on daily price changes starting from Jan 21, 2021