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OTM+FM
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Risk-Adjusted Performance
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OTM+FM

Last updated Sep 21, 2024

Asset Allocation

ADYEY 6.25%BABA 6.25%CELH 6.25%CRWD 6.25%ENPH 6.25%FBMPX 6.25%FPHAX 6.25%FSCPX 6.25%FSELX 6.25%FSLR 6.25%FSPTX 6.25%MBLY 6.25%META 6.25%SCHW 6.25%SE 6.25%SNOW 6.25%EquityEquity
PositionCategory/SectorWeight
ADYEY
Adyen NV		Technology
6.25%
BABA
Alibaba Group Holding Limited		Consumer Cyclical
6.25%
CELH
Celsius Holdings, Inc.		Consumer Defensive
6.25%
CRWD
CrowdStrike Holdings, Inc.		Technology
6.25%
ENPH
Enphase Energy, Inc.		Technology
6.25%
FBMPX
Fidelity Select Communication Services Portfolio		Communications Equities
6.25%
FPHAX
Fidelity Select Pharmaceuticals Portfolio		Health & Biotech Equities
6.25%
FSCPX
Fidelity Select Consumer Discretionary Portfolio		Consumer Discretionary Equities
6.25%
FSELX
Fidelity Select Semiconductors Portfolio		Technology Equities
6.25%
FSLR
First Solar, Inc.		Technology
6.25%
FSPTX
Fidelity Select Technology Portfolio		Technology Equities
6.25%
MBLY
Mobileye Global Inc. Class A Common Stock		Consumer Cyclical
6.25%
META
Meta Platforms, Inc.		Communication Services
6.25%
SCHW
The Charles Schwab Corporation		Financial Services
6.25%
SE
Sea Limited		Communication Services
6.25%
SNOW
Snowflake Inc.		Technology
6.25%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in OTM+FM, 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

-10.00%-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
-1.60%
8.95%
OTM+FM
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 26, 2022, corresponding to the inception date of MBLY

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
OTM+FM11.09%1.40%-1.60%32.19%N/AN/A
Portfolio components:
ADYEY
Adyen NV		19.64%5.57%-4.82%125.29%N/AN/A
BABA
Alibaba Group Holding Limited		14.88%6.42%23.45%2.19%-13.16%0.35%
CELH
Celsius Holdings, Inc.		-39.16%-15.66%-64.13%-40.61%95.09%70.32%
CRWD
CrowdStrike Holdings, Inc.		17.44%12.03%-8.47%84.44%35.02%N/A
ENPH
Enphase Energy, Inc.		-13.05%-0.51%0.25%-4.19%33.20%22.17%
FBMPX
Fidelity Select Communication Services Portfolio		21.29%3.02%7.95%37.48%14.38%11.80%
FPHAX
Fidelity Select Pharmaceuticals Portfolio		29.20%-2.73%10.40%36.63%15.95%10.37%
FSCPX
Fidelity Select Consumer Discretionary Portfolio		11.22%6.16%5.15%28.55%11.75%11.97%
FSELX
Fidelity Select Semiconductors Portfolio		33.40%-2.53%4.25%55.84%33.56%26.61%
FSLR
First Solar, Inc.		39.42%10.05%56.68%47.86%29.26%13.52%
FSPTX
Fidelity Select Technology Portfolio		22.83%-0.28%7.03%39.69%23.36%20.25%
MBLY
Mobileye Global Inc. Class A Common Stock		-71.42%-18.34%-60.79%-69.07%N/AN/A
META
Meta Platforms, Inc.		59.07%5.63%10.37%88.26%24.32%21.86%
SCHW
The Charles Schwab Corporation		-3.88%1.74%-8.01%20.46%10.45%9.47%
SE
Sea Limited		111.63%3.58%57.35%138.35%21.61%N/A
SNOW
Snowflake Inc.		-44.59%-4.29%-30.66%-26.34%N/AN/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-4.47%14.52%2.94%-5.17%8.52%-1.18%-6.11%2.14%11.09%
20239.75%-1.03%10.04%-5.18%8.46%4.02%6.14%-9.19%-3.31%-7.46%15.19%9.31%38.84%
2022-1.68%9.16%-5.40%1.54%

Expense Ratio

OTM+FM has an expense ratio of 0.23%, 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.

FSCPX
Fidelity Select Consumer Discretionary Portfolio
Expense ratio chart for FSCPX: current value at 0.76% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.76%
FPHAX
Fidelity Select Pharmaceuticals Portfolio
Expense ratio chart for FPHAX: current value at 0.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.75%
FBMPX
Fidelity Select Communication Services Portfolio
Expense ratio chart for FBMPX: current value at 0.74% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.74%
FSELX
Fidelity Select Semiconductors Portfolio
Expense ratio chart for FSELX: current value at 0.68% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.68%
FSPTX
Fidelity Select Technology Portfolio
Expense ratio chart for FSPTX: current value at 0.67% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.67%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of OTM+FM is 14, indicating that it is in the bottom 14% 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 OTM+FM is 1414
OTM+FM
The Sharpe Ratio Rank of OTM+FM is 1111Sharpe Ratio Rank
The Sortino Ratio Rank of OTM+FM is 1111Sortino Ratio Rank
The Omega Ratio Rank of OTM+FM is 1111Omega Ratio Rank
The Calmar Ratio Rank of OTM+FM is 2828Calmar Ratio Rank
The Martin Ratio Rank of OTM+FM is 99Martin 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.

OTM+FM
Sharpe ratio
The chart of Sharpe ratio for OTM+FM, currently valued at 1.33, compared to the broader market-1.000.001.002.003.004.005.001.33
Sortino ratio
The chart of Sortino ratio for OTM+FM, currently valued at 1.90, compared to the broader market-2.000.002.004.006.001.90
Omega ratio
The chart of Omega ratio for OTM+FM, currently valued at 1.23, compared to the broader market0.801.001.201.401.601.801.23
Calmar ratio
The chart of Calmar ratio for OTM+FM, currently valued at 1.48, compared to the broader market0.002.004.006.008.0010.001.48
Martin ratio
The chart of Martin ratio for OTM+FM, currently valued at 4.76, compared to the broader market0.0010.0020.0030.0040.004.76
^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
ADYEY
Adyen NV		2.123.351.451.887.29
BABA
Alibaba Group Holding Limited		0.160.471.060.120.41
CELH
Celsius Holdings, Inc.		-0.76-1.000.88-0.68-1.50
CRWD
CrowdStrike Holdings, Inc.		1.802.261.331.875.42
ENPH
Enphase Energy, Inc.		-0.110.301.03-0.09-0.39
FBMPX
Fidelity Select Communication Services Portfolio		1.882.471.333.2110.64
FPHAX
Fidelity Select Pharmaceuticals Portfolio		2.072.851.352.9211.26
FSCPX
Fidelity Select Consumer Discretionary Portfolio		1.271.751.221.526.19
FSELX
Fidelity Select Semiconductors Portfolio		1.522.071.272.236.86
FSLR
First Solar, Inc.		0.801.541.180.982.77
FSPTX
Fidelity Select Technology Portfolio		1.672.241.292.398.16
MBLY
Mobileye Global Inc. Class A Common Stock		-1.11-1.980.75-0.90-1.80
META
Meta Platforms, Inc.		2.393.281.444.7714.48
SCHW
The Charles Schwab Corporation		0.621.031.140.411.75
SE
Sea Limited		2.592.831.422.1211.89
SNOW
Snowflake Inc.		-0.67-0.720.90-0.56-0.98

Sharpe Ratio

The current OTM+FM Sharpe ratio is 1.33. 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 OTM+FM 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 Ratio0.501.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.33
2.32
OTM+FM
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

OTM+FM granted a 1.08% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
OTM+FM1.08%1.26%1.91%2.85%2.63%3.29%4.52%2.17%0.97%2.83%3.09%2.04%
Portfolio components:
ADYEY
Adyen NV		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BABA
Alibaba Group Holding Limited		1.87%1.28%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CELH
Celsius 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%
CRWD
CrowdStrike 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%
ENPH
Enphase Energy, 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%
FBMPX
Fidelity Select Communication Services Portfolio		2.49%0.00%0.00%5.88%3.74%35.43%15.35%5.53%7.50%7.31%8.84%3.30%
FPHAX
Fidelity Select Pharmaceuticals Portfolio		3.63%8.08%5.18%11.09%8.85%8.33%1.97%1.62%1.07%12.80%10.72%11.12%
FSCPX
Fidelity Select Consumer Discretionary Portfolio		2.19%2.17%13.79%9.08%1.16%2.22%3.35%4.05%0.90%3.89%7.79%8.57%
FSELX
Fidelity Select Semiconductors Portfolio		5.26%7.20%6.69%6.99%8.13%3.36%26.80%14.65%3.82%16.31%3.48%0.61%
FSLR
First Solar, 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%
FSPTX
Fidelity Select Technology Portfolio		0.00%0.01%3.95%11.62%18.86%1.86%23.77%8.32%1.54%4.28%17.85%8.07%
MBLY
Mobileye Global Inc. Class A Common Stock		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
META
Meta Platforms, Inc.		0.27%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SCHW
The Charles Schwab Corporation		1.53%1.45%1.01%0.86%1.36%1.43%1.11%0.62%0.68%0.73%0.79%0.92%
SE
Sea Limited		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SNOW
Snowflake 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.

-20.00%-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-8.62%
-0.19%
OTM+FM
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the OTM+FM. 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 OTM+FM was 19.64%, occurring on Oct 27, 2023. Recovery took 36 trading sessions.

The current OTM+FM drawdown is 8.62%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-19.64%Jul 20, 202371Oct 27, 202336Dec 19, 2023107
-18.91%Jun 13, 202436Aug 5, 2024———
-9.95%Dec 5, 202217Dec 28, 202216Jan 23, 202333
-8.9%Feb 3, 202315Feb 24, 202325Mar 31, 202340
-7.93%Mar 8, 202430Apr 19, 202417May 14, 202447

Volatility

Volatility Chart

The current OTM+FM volatility is 7.12%, 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
7.12%
4.31%
OTM+FM
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.
SCHWBABAMBLYCELHFPHAXENPHFSLRSECRWDMETASNOWADYEYFSELXFBMPXFSCPXFSPTX
SCHW1.000.180.190.230.250.260.280.170.180.180.190.280.290.310.370.28
BABA0.181.000.170.200.230.210.280.380.180.270.280.340.350.380.410.35
MBLY0.190.171.000.100.160.330.300.210.310.270.340.350.420.380.400.40
CELH0.230.200.101.000.320.270.300.370.310.280.300.230.340.360.420.39
FPHAX0.250.230.160.321.000.310.300.270.270.310.260.340.310.400.420.38
ENPH0.260.210.330.270.311.000.630.260.290.180.310.330.390.310.440.38
FSLR0.280.280.300.300.300.631.000.270.250.280.280.320.410.370.430.39
SE0.170.380.210.370.270.260.271.000.370.380.340.370.430.520.510.49
CRWD0.180.180.310.310.270.290.250.371.000.440.570.400.540.540.540.64
META0.180.270.270.280.310.180.280.380.441.000.400.420.550.810.550.63
SNOW0.190.280.340.300.260.310.280.340.570.401.000.420.500.540.610.62
ADYEY0.280.340.350.230.340.330.320.370.400.420.421.000.550.530.550.58
FSELX0.290.350.420.340.310.390.410.430.540.550.500.551.000.650.700.93
FBMPX0.310.380.380.360.400.310.370.520.540.810.540.530.651.000.770.76
FSCPX0.370.410.400.420.420.440.430.510.540.550.610.550.700.771.000.76
FSPTX0.280.350.400.390.380.380.390.490.640.630.620.580.930.760.761.00
The correlation results are calculated based on daily price changes starting from Oct 27, 2022