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Portfolio long
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Portfolio long

Last updated Sep 21, 2024

Aktien long

Asset Allocation

AAPL 8.33%WMT 8.33%LLY 8.33%MA 8.33%NFLX 8.33%CAT 8.33%SBUX 8.33%AMGN 8.33%XOM 8.33%BKNG 8.33%GOOGL 8.33%RIVN 8.33%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc		Technology
8.33%
AMGN
Amgen Inc.		Healthcare
8.33%
BKNG
Booking Holdings Inc.		Consumer Cyclical
8.33%
CAT
Caterpillar Inc.		Industrials
8.33%
GOOGL
Alphabet Inc.		Communication Services
8.33%
LLY
Eli Lilly and Company		Healthcare
8.33%
MA
Mastercard Inc		Financial Services
8.33%
NFLX
Netflix, Inc.		Communication Services
8.33%
RIVN
Rivian Automotive, Inc.		Consumer Cyclical
8.33%
SBUX
Starbucks Corporation		Consumer Cyclical
8.33%
WMT
Walmart Inc.		Consumer Defensive
8.33%
XOM
Exxon Mobil Corporation		Energy
8.33%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Portfolio long, 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%15.00%AprilMayJuneJulyAugustSeptember
14.81%
8.95%
Portfolio long
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 10, 2021, corresponding to the inception date of RIVN

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%2.37%8.95%32.00%13.81%11.08%
Portfolio long21.01%2.26%14.81%30.97%N/AN/A
Portfolio components:
AAPL
Apple Inc		18.98%1.63%32.79%31.22%34.05%26.09%
WMT
Walmart Inc.		51.91%4.60%30.70%48.06%16.89%14.23%
LLY
Eli Lilly and Company		58.85%-3.42%19.95%68.50%54.10%32.79%
MA
Mastercard Inc		16.04%5.10%2.59%23.23%13.19%21.19%
NFLX
Netflix, Inc.		43.98%1.75%11.63%84.57%21.45%27.04%
CAT
Caterpillar Inc.		26.29%7.73%3.79%37.45%26.41%16.97%
SBUX
Starbucks Corporation		2.02%3.92%7.34%5.13%3.30%11.89%
AMGN
Amgen Inc.		19.72%3.96%23.89%29.82%14.73%12.16%
XOM
Exxon Mobil Corporation		18.25%0.47%3.22%3.80%15.42%6.41%
BKNG
Booking Holdings Inc.		15.39%8.10%12.64%33.66%15.33%13.26%
GOOGL
Alphabet Inc.		17.40%0.00%8.77%25.91%21.64%18.59%
RIVN
Rivian Automotive, Inc.		-50.09%-8.59%8.43%-43.13%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.67%1.81%3.23%-3.85%7.05%5.03%1.42%4.96%21.01%
20237.40%-4.07%3.29%1.68%0.54%7.36%8.71%1.41%-1.98%-5.88%7.15%6.10%35.07%
2022-5.90%-3.12%4.28%-11.52%2.14%-9.22%13.16%-3.60%-5.08%14.46%5.40%-7.20%-9.59%
2021-3.06%4.60%1.40%

Expense Ratio

Portfolio long 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 Portfolio long is 42, 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 Portfolio long is 4242
Portfolio long
The Sharpe Ratio Rank of Portfolio long is 3030Sharpe Ratio Rank
The Sortino Ratio Rank of Portfolio long is 2929Sortino Ratio Rank
The Omega Ratio Rank of Portfolio long is 3333Omega Ratio Rank
The Calmar Ratio Rank of Portfolio long is 7575Calmar Ratio Rank
The Martin Ratio Rank of Portfolio long is 4242Martin 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 long
Sharpe ratio
The chart of Sharpe ratio for Portfolio long, currently valued at 1.90, compared to the broader market-1.000.001.002.003.004.005.001.90
Sortino ratio
The chart of Sortino ratio for Portfolio long, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for Portfolio long, currently valued at 1.34, compared to the broader market0.801.001.201.401.601.801.34
Calmar ratio
The chart of Calmar ratio for Portfolio long, currently valued at 2.90, compared to the broader market0.002.004.006.008.0010.002.90
Martin ratio
The chart of Martin ratio for Portfolio long, currently valued at 11.77, compared to the broader market0.0010.0020.0030.0040.0011.77
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.005.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc		1.382.051.261.854.36
WMT
Walmart Inc.		2.513.391.524.3112.86
LLY
Eli Lilly and Company		2.072.831.373.3512.53
MA
Mastercard Inc		1.251.671.241.654.19
NFLX
Netflix, Inc.		2.553.661.481.6318.83
CAT
Caterpillar Inc.		1.321.801.241.634.38
SBUX
Starbucks Corporation		0.090.471.070.100.20
AMGN
Amgen Inc.		1.151.831.241.523.66
XOM
Exxon Mobil Corporation		0.120.321.040.130.26
BKNG
Booking Holdings Inc.		1.271.621.251.694.94
GOOGL
Alphabet Inc.		0.801.191.171.022.93
RIVN
Rivian Automotive, Inc.		-0.61-0.580.93-0.50-1.13

Sharpe Ratio

The current Portfolio long Sharpe ratio is 1.90. 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 1.91 to 2.59, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Portfolio long 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 Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.90
2.32
Portfolio long
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Portfolio long granted a 1.10% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio long1.10%1.15%1.17%1.35%1.61%1.40%1.55%1.39%1.60%1.58%1.21%1.21%
Portfolio components:
AAPL
Apple Inc		0.43%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
WMT
Walmart Inc.		1.03%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%2.39%
LLY
Eli Lilly and Company		0.55%0.78%1.07%1.23%1.75%1.96%1.94%2.46%2.77%2.37%2.84%3.84%
MA
Mastercard Inc		0.52%0.53%0.56%0.49%0.45%0.44%0.53%0.58%0.74%0.66%0.51%0.25%
NFLX
Netflix, 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%
CAT
Caterpillar Inc.		1.44%1.69%1.93%2.07%2.26%2.56%2.58%1.97%3.32%4.33%2.84%1.89%
SBUX
Starbucks Corporation		2.37%2.25%2.02%1.57%1.57%1.69%2.05%1.83%1.53%0.87%0.00%0.00%
AMGN
Amgen Inc.		2.63%2.96%2.95%3.13%2.78%2.41%2.71%2.65%2.74%1.95%1.53%1.65%
XOM
Exxon Mobil Corporation		3.30%3.68%3.22%5.70%8.44%4.92%4.74%3.66%3.30%3.69%2.92%2.43%
BKNG
Booking Holdings Inc.		0.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GOOGL
Alphabet Inc.		0.24%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
RIVN
Rivian Automotive, 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.

-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-0.73%
-0.19%
Portfolio long
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Portfolio long. 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 Portfolio long was 26.06%, occurring on Jun 17, 2022. Recovery took 249 trading sessions.

The current Portfolio long drawdown is 0.73%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.06%Nov 17, 2021147Jun 17, 2022249Jun 15, 2023396
-9.64%Sep 12, 202334Oct 27, 202332Dec 13, 202366
-9.58%Jul 17, 202416Aug 7, 202413Aug 26, 202429
-5.61%Mar 28, 202424May 1, 20246May 9, 202430
-4.47%Sep 3, 20244Sep 6, 20249Sep 19, 202413

Volatility

Volatility Chart

The current Portfolio long volatility is 4.44%, 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%3.00%4.00%5.00%6.00%7.00%AprilMayJuneJulyAugustSeptember
4.44%
4.31%
Portfolio long
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.
XOMLLYWMTAMGNRIVNCATNFLXSBUXBKNGGOOGLAAPLMA
XOM1.000.080.160.160.090.530.100.170.210.100.160.25
LLY0.081.000.250.340.080.170.210.210.160.240.260.27
WMT0.160.251.000.270.140.210.210.310.200.260.260.31
AMGN0.160.340.271.000.120.290.200.260.220.240.240.27
RIVN0.090.080.140.121.000.280.440.390.340.390.420.34
CAT0.530.170.210.290.281.000.290.330.460.290.330.46
NFLX0.100.210.210.200.440.291.000.410.400.530.520.44
SBUX0.170.210.310.260.390.330.411.000.470.420.460.49
BKNG0.210.160.200.220.340.460.400.471.000.470.450.51
GOOGL0.100.240.260.240.390.290.530.420.471.000.650.51
AAPL0.160.260.260.240.420.330.520.460.450.651.000.50
MA0.250.270.310.270.340.460.440.490.510.510.501.00
The correlation results are calculated based on daily price changes starting from Nov 11, 2021