PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
AMPT 5EN
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

AMPT 5EN

Last updated Oct 15, 2024

Asset Allocation

TLT 10%RCRIX 5%JNK 5%USD=X 2%SMH 13%MGK 11%QQQ 11%XLK 11%XLY 10%RSP 9%XLI 8%DTD 5%BondBondCurrencyCurrencyEquityEquity
PositionCategory/SectorWeight
DTD
WisdomTree U.S. Total Dividend Fund		Large Cap Blend Equities, Dividend
5%
JNK
SPDR Barclays High Yield Bond ETF		High Yield Bonds
5%
MGK
Vanguard Mega Cap Growth ETF		Large Cap Blend Equities
11%
QQQ
Invesco QQQ		Large Cap Blend Equities
11%
RCRIX
RiverPark Floating Rate CMBS Fund		Bank Loan
5%
RSP
Invesco S&P 500® Equal Weight ETF		Large Cap Blend Equities
9%
SMH
VanEck Vectors Semiconductor ETF		Technology Equities
13%
TLT
iShares 20+ Year Treasury Bond ETF		Government Bonds
10%
USD=X
USD Cash
2%
XLI
Industrial Select Sector SPDR Fund		Industrials Equities
8%
XLK
Technology Select Sector SPDR Fund		Technology Equities
11%
XLY
Consumer Discretionary Select Sector SPDR Fund		Consumer Discretionary Equities
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in AMPT 5EN, 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%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
14.41%
15.76%
AMPT 5EN
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 30, 2016, corresponding to the inception date of RCRIX

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.85%4.16%15.77%35.40%14.46%12.04%
AMPT 5EN20.23%3.81%14.41%35.26%15.74%N/A
Portfolio components:
DTD
WisdomTree U.S. Total Dividend Fund		21.41%4.27%17.02%33.06%11.98%11.53%
MGK
Vanguard Mega Cap Growth ETF		26.88%4.33%17.89%41.68%19.58%17.16%
QQQ
Invesco QQQ		22.01%4.81%15.76%37.13%20.85%19.28%
RSP
Invesco S&P 500® Equal Weight ETF		16.24%3.96%13.75%31.26%12.51%11.46%
SMH
VanEck Vectors Semiconductor ETF		49.41%10.29%20.21%77.15%35.19%30.76%
USD=X
USD Cash		0.00%0.00%0.00%0.00%0.00%0.00%
XLK
Technology Select Sector SPDR Fund		22.11%6.26%16.44%39.69%23.62%21.65%
XLY
Consumer Discretionary Select Sector SPDR Fund		11.13%2.79%13.84%25.22%10.68%13.28%
TLT
iShares 20+ Year Treasury Bond ETF		-2.32%-6.31%7.60%11.33%-5.24%-0.08%
RCRIX
RiverPark Floating Rate CMBS Fund		7.99%1.26%4.17%10.07%2.10%N/A
JNK
SPDR Barclays High Yield Bond ETF		7.50%0.34%7.83%16.14%3.36%3.66%
XLI
Industrial Select Sector SPDR Fund		23.36%6.99%14.88%38.95%13.89%12.57%

Monthly Returns

The table below presents the monthly returns of AMPT 5EN, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.89%5.47%2.37%-4.29%4.79%4.09%0.30%1.21%2.59%20.23%
20239.30%-1.26%5.47%-0.55%3.75%6.08%2.60%-1.75%-5.38%-2.76%10.10%5.91%34.75%
2022-6.40%-2.79%1.87%-9.85%-0.29%-8.51%10.73%-4.88%-9.42%4.21%7.04%-6.36%-24.03%
2021-0.36%1.60%2.46%3.80%0.08%3.49%1.96%2.26%-4.16%6.28%2.11%2.22%23.63%
20201.26%-4.85%-10.29%11.92%4.78%4.05%5.94%6.37%-2.62%-2.12%10.52%3.36%29.38%
20197.63%3.54%2.69%4.29%-6.51%6.78%2.09%-0.32%1.42%2.32%3.03%3.52%34.19%
20185.29%-2.10%-1.92%-0.87%4.04%-0.01%2.43%3.25%-0.23%-7.53%1.22%-5.99%-3.22%
20172.81%3.05%1.28%1.48%2.81%-1.09%2.30%1.20%1.47%3.19%1.88%1.08%23.59%
2016-1.92%1.80%1.20%1.04%

Expense Ratio

AMPT 5EN has an expense ratio of 0.22%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

RCRIX
RiverPark Floating Rate CMBS Fund
Expense ratio chart for RCRIX: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%
JNK
SPDR Barclays High Yield Bond ETF
Expense ratio chart for JNK: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
SMH
VanEck Vectors Semiconductor ETF
Expense ratio chart for SMH: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
DTD
WisdomTree U.S. Total Dividend Fund
Expense ratio chart for DTD: current value at 0.28% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.28%
QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
RSP
Invesco S&P 500® Equal Weight ETF
Expense ratio chart for RSP: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%
TLT
iShares 20+ Year Treasury Bond ETF
Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
MGK
Vanguard Mega Cap Growth ETF
Expense ratio chart for MGK: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
XLK
Technology Select Sector SPDR Fund
Expense ratio chart for XLK: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
XLY
Consumer Discretionary Select Sector SPDR Fund
Expense ratio chart for XLY: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%
XLI
Industrial Select Sector SPDR Fund
Expense ratio chart for XLI: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of AMPT 5EN is 76, placing it in the top 24% 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 AMPT 5EN is 7676
Combined Rank
The Sharpe Ratio Rank of AMPT 5EN is 8484Sharpe Ratio Rank
The Sortino Ratio Rank of AMPT 5EN is 7979Sortino Ratio Rank
The Omega Ratio Rank of AMPT 5EN is 8484Omega Ratio Rank
The Calmar Ratio Rank of AMPT 5EN is 6666Calmar Ratio Rank
The Martin Ratio Rank of AMPT 5EN is 6767Martin 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.

AMPT 5EN
Sharpe ratio
The chart of Sharpe ratio for AMPT 5EN, currently valued at 3.10, compared to the broader market0.002.004.006.003.10
Sortino ratio
The chart of Sortino ratio for AMPT 5EN, currently valued at 4.13, compared to the broader market-2.000.002.004.006.004.13
Omega ratio
The chart of Omega ratio for AMPT 5EN, currently valued at 1.57, compared to the broader market0.801.001.201.401.601.802.001.57
Calmar ratio
The chart of Calmar ratio for AMPT 5EN, currently valued at 3.01, compared to the broader market0.002.004.006.008.0010.0012.003.01
Martin ratio
The chart of Martin ratio for AMPT 5EN, currently valued at 17.47, compared to the broader market0.0010.0020.0030.0040.0050.0017.47
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.70, compared to the broader market-2.000.002.004.006.003.70
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.45, compared to the broader market0.002.004.006.008.0010.0012.002.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.98, compared to the broader market0.0010.0020.0030.0040.0050.0016.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
DTD
WisdomTree U.S. Total Dividend Fund		3.584.911.683.7625.67
MGK
Vanguard Mega Cap Growth ETF		3.003.811.553.1914.26
QQQ
Invesco QQQ		2.693.471.493.3812.38
RSP
Invesco S&P 500® Equal Weight ETF		3.094.311.572.2718.56
SMH
VanEck Vectors Semiconductor ETF		2.723.171.443.6810.72
USD=X
USD Cash		—————
XLK
Technology Select Sector SPDR Fund		2.222.821.402.779.73
XLY
Consumer Discretionary Select Sector SPDR Fund		1.992.651.341.239.28
TLT
iShares 20+ Year Treasury Bond ETF		1.021.541.180.322.68
RCRIX
RiverPark Floating Rate CMBS Fund		7.8416.595.9128.17155.76
JNK
SPDR Barclays High Yield Bond ETF		3.315.381.701.7727.96
XLI
Industrial Select Sector SPDR Fund		3.574.851.643.6125.06

Sharpe Ratio

The current AMPT 5EN Sharpe ratio is 3.10. 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 2.23 to 3.02, 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 AMPT 5EN 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 Ratio1.502.002.503.00MayJuneJulyAugustSeptemberOctober
3.10
2.78
AMPT 5EN
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

AMPT 5EN granted a 1.75% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
AMPT 5EN1.75%1.81%1.87%1.15%1.47%2.31%2.32%1.84%1.85%2.23%1.88%1.96%
Portfolio components:
DTD
WisdomTree U.S. Total Dividend Fund		2.23%2.43%2.62%2.04%2.73%2.50%2.93%2.36%3.11%3.02%2.42%2.38%
MGK
Vanguard Mega Cap Growth ETF		0.43%0.50%0.70%0.41%0.65%0.85%1.12%1.23%1.53%1.43%1.25%1.29%
QQQ
Invesco QQQ		0.61%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%
RSP
Invesco S&P 500® Equal Weight ETF		1.46%1.64%1.82%1.28%1.64%1.69%2.02%1.52%1.20%1.70%1.45%1.27%
SMH
VanEck Vectors Semiconductor ETF		0.40%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
USD=X
USD Cash		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XLK
Technology Select Sector SPDR Fund		0.67%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%1.75%1.70%
XLY
Consumer Discretionary Select Sector SPDR Fund		0.76%0.78%1.00%0.53%0.82%1.28%1.34%1.20%1.71%1.43%1.31%1.16%
TLT
iShares 20+ Year Treasury Bond ETF		3.90%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
RCRIX
RiverPark Floating Rate CMBS Fund		7.45%7.90%3.80%2.34%3.16%3.35%4.74%1.11%0.00%0.00%0.00%0.00%
JNK
SPDR Barclays High Yield Bond ETF		6.50%6.38%6.06%4.27%5.11%5.44%5.90%5.60%6.06%6.59%5.99%6.05%
XLI
Industrial Select Sector SPDR Fund		1.32%1.63%1.63%1.25%1.55%1.94%2.15%1.77%2.07%2.15%1.85%1.68%

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%MayJuneJulyAugustSeptemberOctober00
AMPT 5EN
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the AMPT 5EN. 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 AMPT 5EN was 29.33%, occurring on Oct 14, 2022. Recovery took 304 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.33%Dec 28, 2021209Oct 14, 2022304Dec 14, 2023513
-26.99%Feb 20, 202023Mar 23, 202055Jun 8, 202078
-17.02%Aug 30, 201883Dec 24, 201863Mar 21, 2019146
-9.56%Jul 17, 202416Aug 7, 202436Sep 26, 202452
-8.42%Jan 29, 20189Feb 8, 201884Jun 6, 201893

Volatility

Volatility Chart

The current AMPT 5EN volatility is 2.98%, 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%MayJuneJulyAugustSeptemberOctober
2.98%
2.86%
AMPT 5EN
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.
USD=XRCRIXTLTJNKXLISMHDTDXLYXLKRSPQQQMGK
USD=X0.000.000.000.000.000.000.000.000.000.000.000.00
RCRIX0.001.000.010.020.040.010.040.050.020.040.040.03
TLT0.000.011.000.11-0.17-0.11-0.14-0.08-0.08-0.15-0.06-0.06
JNK0.000.020.111.000.600.570.670.650.630.700.650.66
XLI0.000.04-0.170.601.000.570.860.680.610.900.600.62
SMH0.000.01-0.110.570.571.000.610.680.860.660.840.80
DTD0.000.04-0.140.670.860.611.000.730.700.940.690.71
XLY0.000.05-0.080.650.680.680.731.000.760.790.830.84
XLK0.000.02-0.080.630.610.860.700.761.000.710.960.96
RSP0.000.04-0.150.700.900.660.940.790.711.000.720.73
QQQ0.000.04-0.060.650.600.840.690.830.960.721.000.98
MGK0.000.03-0.060.660.620.800.710.840.960.730.981.00
The correlation results are calculated based on daily price changes starting from Oct 3, 2016