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M14B-1
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

M14B-1

Last updated Jul 25, 2024

Asset Allocation

AAPL 11.11%NFLX 11.11%MSFT 11.11%NVDA 11.11%PANW 11.11%OCDO.L 11.11%AMZN 11.11%U 11.11%SSUN.F 11.11%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc		Technology

11.11%

AMZN
Amazon.com, Inc.		Consumer Cyclical

11.11%

MSFT
Microsoft Corporation		Technology

11.11%

NFLX
Netflix, Inc.		Communication Services

11.11%

NVDA
NVIDIA Corporation		Technology

11.11%

OCDO.L
Ocado Group plc		Consumer Defensive

11.11%

PANW
Palo Alto Networks, Inc.		Technology

11.11%

SSUN.F
Samsung Electronics Co., Ltd.		Technology

11.11%

U
Unity Software Inc.		Technology

11.11%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in M14B-1, 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

50.00%60.00%70.00%80.00%FebruaryMarchAprilMayJuneJuly
75.69%
62.65%
M14B-1
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 18, 2020, corresponding to the inception date of U

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		13.20%-1.28%10.32%18.23%12.31%10.58%
M14B-110.90%2.09%8.54%15.77%N/AN/A
Portfolio components:
AAPL
Apple Inc		13.26%1.99%13.33%13.16%34.21%25.86%
NFLX
Netflix, Inc.		30.24%-6.43%11.16%53.47%13.59%26.51%
MSFT
Microsoft Corporation		11.67%-7.47%3.96%27.50%25.49%27.36%
NVDA
NVIDIA Corporation		126.76%-11.17%84.00%144.69%91.87%74.99%
PANW
Palo Alto Networks, Inc.		8.56%-1.58%-6.52%30.52%33.53%27.94%
OCDO.L
Ocado Group plc		-43.36%54.20%-25.24%-55.13%-19.25%1.95%
AMZN
Amazon.com, Inc.		18.37%-7.11%13.03%40.23%13.14%27.42%
U
Unity Software Inc.		-60.43%-1.70%-51.13%-62.55%N/AN/A
SSUN.F
Samsung Electronics Co., Ltd.		-2.27%-0.34%4.25%2.89%11.38%14.03%

Monthly Returns

The table below presents the monthly returns of M14B-1, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.29%4.91%0.76%-6.61%4.55%4.73%10.90%
202316.36%-1.73%9.49%-2.39%9.84%16.83%9.39%-4.40%-12.53%-2.96%15.75%8.93%75.50%
2022-12.82%-0.86%0.11%-22.19%-5.67%-11.41%13.43%-3.89%-14.48%5.49%12.86%-10.56%-44.15%
20211.83%-5.98%-2.86%5.86%-2.03%8.56%-0.16%8.70%-4.00%10.34%6.25%-3.24%23.76%
20207.68%-4.74%16.55%9.24%30.60%

Expense Ratio

M14B-1 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 M14B-1 is 18, indicating that it is in the bottom 18% 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 M14B-1 is 1818
M14B-1
The Sharpe Ratio Rank of M14B-1 is 1717Sharpe Ratio Rank
The Sortino Ratio Rank of M14B-1 is 1616Sortino Ratio Rank
The Omega Ratio Rank of M14B-1 is 1717Omega Ratio Rank
The Calmar Ratio Rank of M14B-1 is 1919Calmar Ratio Rank
The Martin Ratio Rank of M14B-1 is 2020Martin 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.

M14B-1
Sharpe ratio
The chart of Sharpe ratio for M14B-1, currently valued at 0.94, compared to the broader market-1.000.001.002.003.004.000.94
Sortino ratio
The chart of Sortino ratio for M14B-1, currently valued at 1.37, compared to the broader market-2.000.002.004.006.001.37
Omega ratio
The chart of Omega ratio for M14B-1, currently valued at 1.17, compared to the broader market0.801.001.201.401.601.801.17
Calmar ratio
The chart of Calmar ratio for M14B-1, currently valued at 0.69, compared to the broader market0.002.004.006.008.000.69
Martin ratio
The chart of Martin ratio for M14B-1, currently valued at 3.22, compared to the broader market0.0010.0020.0030.0040.003.22
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.58, compared to the broader market-1.000.001.002.003.004.001.58
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.22, compared to the broader market-2.000.002.004.006.002.22
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.28, compared to the broader market0.801.001.201.401.601.801.28
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.002.004.006.008.001.29
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 5.98, compared to the broader market0.0010.0020.0030.0040.005.98
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc		0.641.061.130.871.95
NFLX
Netflix, Inc.		1.442.301.300.947.14
MSFT
Microsoft Corporation		1.502.021.262.249.55
NVDA
NVIDIA Corporation		3.293.731.477.7021.31
PANW
Palo Alto Networks, Inc.		0.761.161.211.142.50
OCDO.L
Ocado Group plc		-0.78-1.020.87-0.55-1.14
AMZN
Amazon.com, Inc.		1.442.191.271.107.91
U
Unity Software Inc.		-1.19-2.070.77-0.66-1.65
SSUN.F
Samsung Electronics Co., Ltd.		0.300.641.070.191.23

Sharpe Ratio

The current M14B-1 Sharpe ratio is 0.91. 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 1.24 to 1.94, 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 M14B-1 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 Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.94
1.58
M14B-1
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

M14B-1 granted a 0.34% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
M14B-10.34%0.42%0.54%0.39%0.72%0.74%1.01%0.66%0.78%0.84%0.91%0.96%
Portfolio components:
AAPL
Apple Inc		0.45%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
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%
MSFT
Microsoft Corporation		0.70%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
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%
PANW
Palo Alto Networks, 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%
OCDO.L
Ocado Group plc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%
U
Unity Software 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%
SSUN.F
Samsung Electronics Co., Ltd.		1.89%2.51%2.95%2.31%4.82%4.14%5.11%2.37%2.25%2.16%2.38%1.98%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%FebruaryMarchAprilMayJuneJuly
-4.34%
-4.73%
M14B-1
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the M14B-1. 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 M14B-1 was 52.68%, occurring on Oct 12, 2022. Recovery took 430 trading sessions.

The current M14B-1 drawdown is 4.32%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-52.68%Nov 22, 2021232Oct 12, 2022430Jun 12, 2024662
-15.76%Feb 5, 202122Mar 8, 202185Jul 6, 2021107
-8.83%Oct 14, 202013Oct 30, 20204Nov 5, 202017
-7.87%Sep 8, 202119Oct 4, 202110Oct 18, 202129
-7.57%Nov 9, 20202Nov 10, 202010Nov 24, 202012

Volatility

Volatility Chart

The current M14B-1 volatility is 6.78%, 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%8.00%FebruaryMarchAprilMayJuneJuly
6.78%
3.80%
M14B-1
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.
OCDO.LSSUN.FPANWUNFLXAAPLNVDAAMZNMSFT
OCDO.L1.000.250.170.270.230.230.240.200.19
SSUN.F0.251.000.170.210.180.250.300.220.24
PANW0.170.171.000.480.410.460.490.490.52
U0.270.210.481.000.470.440.450.510.43
NFLX0.230.180.410.471.000.510.520.570.53
AAPL0.230.250.460.440.511.000.560.620.70
NVDA0.240.300.490.450.520.561.000.590.65
AMZN0.200.220.490.510.570.620.591.000.70
MSFT0.190.240.520.430.530.700.650.701.00
The correlation results are calculated based on daily price changes starting from Sep 21, 2020