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2020-2024
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

2020-2024

Last updated Apr 19, 2025

Asset Allocation

USD=X 81.98%BABA 8.34%CCL 2.41%TWLO 1.85%VZ 1.83%UAA 1.57%CurrencyCurrencyEquityEquity
PositionCategory/SectorTarget Weight
BABA
Alibaba Group Holding Limited		Consumer Cyclical
8.34%
BIDU
Baidu, Inc.		Communication Services
0.52%
CCL
Carnival Corporation & Plc		Consumer Cyclical
2.41%
CPNG
Coupang, Inc.		Consumer Cyclical
0.56%
EDU
New Oriental Education & Technology Group Inc.		Consumer Defensive
0%
GOLD
Barrick Gold Corporation		Basic Materials
0.58%
INCY
Incyte Corporation		Healthcare
0%
TWLO
Twilio Inc.		Communication Services
1.85%
UAA
Under Armour, Inc.		Consumer Cyclical
1.57%
USD=X
USD Cash
81.98%
VRM
Vroom, Inc.		Consumer Cyclical
0.36%
VZ
Verizon Communications Inc.		Communication Services
1.83%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2020-2024, 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 every 3 months.

-10.00%0.00%10.00%20.00%30.00%40.00%50.00%60.00%NovemberDecember2025FebruaryMarchApril
-8.83%
34.10%
2020-2024
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 11, 2021, corresponding to the inception date of CPNG

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-10.18%-6.92%-9.92%5.42%12.98%9.70%
2020-20240.37%-1.75%-0.27%2.48%N/AN/A
Portfolio components:
BABA
Alibaba Group Holding Limited		28.40%-23.97%6.29%59.41%-11.92%3.05%
BIDU
Baidu, Inc.		-2.04%-15.93%-12.50%-13.59%-4.70%-9.05%
CCL
Carnival Corporation & Plc		-27.81%-14.54%-15.62%26.87%7.47%-7.69%
CPNG
Coupang, Inc.		-2.68%-9.13%-14.88%-4.08%N/AN/A
EDU
New Oriental Education & Technology Group Inc.		-30.17%-14.89%-35.75%-47.92%-16.68%6.26%
GOLD
Barrick Gold Corporation		30.86%4.02%-2.49%21.45%-1.18%6.62%
INCY
Incyte Corporation		-15.72%-3.53%-12.32%10.20%-10.28%-6.11%
TWLO
Twilio Inc.		-21.38%-17.50%19.93%45.45%-4.67%N/A
UAA
Under Armour, Inc.		-29.59%-11.67%-37.71%-11.80%-9.98%-18.18%
VRM
Vroom, Inc.		630.77%35.98%321.75%247.35%N/AN/A
VZ
Verizon Communications Inc.		13.94%1.84%3.58%17.20%0.11%4.13%
USD=X
USD Cash		0.00%0.00%0.00%0.00%0.00%0.00%
*Annualized

Monthly Returns

The table below presents the monthly returns of 2020-2024, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.10%0.90%-0.44%-1.17%0.37%
2024-0.44%-0.04%0.02%-0.13%0.27%0.03%0.17%0.37%1.40%-0.05%0.16%-0.55%1.20%
20231.63%-1.26%0.60%-0.91%-0.25%0.99%0.77%-0.72%-0.74%-0.30%0.44%0.60%0.82%
2022-0.28%-0.79%-0.22%-1.43%-0.59%-0.23%-1.00%-0.06%-1.17%-0.45%1.30%-0.16%-4.97%
2021-0.79%0.58%-0.74%0.24%-1.81%-0.93%-1.18%0.34%-1.87%-0.32%-6.32%

Expense Ratio

2020-2024 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

With an overall rank of 87, 2020-2024 is among the top 13% of 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 2020-2024 is 8787
Overall Rank
The Sharpe Ratio Rank of 2020-2024 is 9292
Sharpe Ratio Rank
The Sortino Ratio Rank of 2020-2024 is 9494
Sortino Ratio Rank
The Omega Ratio Rank of 2020-2024 is 9393
Omega Ratio Rank
The Calmar Ratio Rank of 2020-2024 is 6868
Calmar Ratio Rank
The Martin Ratio Rank of 2020-2024 is 9191
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.

Sharpe ratio
The chart of Sharpe ratio for Portfolio, currently valued at 0.84, compared to the broader market-4.00-2.000.002.00
Portfolio: 0.84
^GSPC: 0.24
The chart of Sortino ratio for Portfolio, currently valued at 1.22, compared to the broader market-6.00-4.00-2.000.002.004.00
Portfolio: 1.22
^GSPC: 0.47
The chart of Omega ratio for Portfolio, currently valued at 1.16, compared to the broader market0.400.600.801.001.201.401.60
Portfolio: 1.16
^GSPC: 1.07
The chart of Calmar ratio for Portfolio, currently valued at 0.20, compared to the broader market0.001.002.003.004.005.006.00
Portfolio: 0.20
^GSPC: 0.24
The chart of Martin ratio for Portfolio, currently valued at 3.53, compared to the broader market0.005.0010.0015.0020.00
Portfolio: 3.53
^GSPC: 1.08
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BABA
Alibaba Group Holding Limited		0.991.611.210.652.77
BIDU
Baidu, Inc.		-0.48-0.470.95-0.29-0.96
CCL
Carnival Corporation & Plc		0.501.031.140.441.68
CPNG
Coupang, Inc.		-0.100.111.01-0.06-0.33
EDU
New Oriental Education & Technology Group Inc.		-0.77-0.990.87-0.55-1.38
GOLD
Barrick Gold Corporation		0.771.261.160.732.01
INCY
Incyte Corporation		0.290.641.090.250.78
TWLO
Twilio Inc.		0.801.421.210.452.69
UAA
Under Armour, Inc.		-0.200.111.02-0.15-0.55
VRM
Vroom, Inc.		0.546.681.902.315.12
VZ
Verizon Communications Inc.		0.921.281.200.923.60
USD=X
USD Cash		—————

The current 2020-2024 Sharpe ratio is 1.44. 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 0.22 to 0.77, 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 2020-2024 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 Ratio0.001.002.003.00NovemberDecember2025FebruaryMarchApril
0.84
0.24
2020-2024
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2020-2024 provided a 0.17% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio0.17%0.20%0.25%0.14%0.11%0.14%0.17%0.18%0.14%0.14%0.15%0.15%
Portfolio components:
BABA
Alibaba Group Holding Limited		0.61%0.78%1.29%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BIDU
Baidu, 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%
CCL
Carnival Corporation & Plc		0.00%0.00%0.00%0.00%0.00%2.31%3.93%3.96%2.41%2.59%2.02%2.21%
CPNG
Coupang, 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%
EDU
New Oriental Education & Technology Group Inc.		1.29%0.90%0.00%0.00%0.00%0.00%0.00%0.00%0.46%0.00%1.28%0.00%
GOLD
Barrick Gold Corporation		1.98%2.58%2.21%3.78%4.11%1.36%0.70%1.40%0.83%0.50%1.90%1.87%
INCY
Incyte 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%
TWLO
Twilio 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%
UAA
Under Armour, 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%
VRM
Vroom, 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%
VZ
Verizon Communications Inc.		6.13%6.68%6.96%6.53%4.86%4.21%3.95%4.22%4.39%4.26%4.79%4.57%
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%

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%NovemberDecember2025FebruaryMarchApril
-8.95%
-14.02%
2020-2024
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2020-2024. 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 2020-2024 was 12.28%, occurring on Oct 24, 2022. The portfolio has not yet recovered.

The current 2020-2024 drawdown is 5.62%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-12.28%Apr 14, 2021399Oct 24, 2022———
-1.19%Mar 22, 20214Mar 25, 202112Apr 12, 202116
-0.39%Mar 12, 20213Mar 16, 20213Mar 19, 20216

Volatility

Volatility Chart

The current 2020-2024 volatility is 1.44%, 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.

0.00%2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
1.44%
13.60%
2020-2024
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=XVZGOLDINCYEDUCCLVRMUAACPNGTWLOBABABIDU
USD=X0.000.000.000.000.000.000.000.000.000.000.000.00
VZ0.001.000.230.190.020.090.100.150.080.030.080.07
GOLD0.000.231.000.130.150.140.150.140.160.150.230.22
INCY0.000.190.131.000.080.210.170.210.140.250.170.19
EDU0.000.020.150.081.000.190.210.190.260.240.460.47
CCL0.000.090.140.210.191.000.370.450.300.420.270.30
VRM0.000.100.150.170.210.371.000.380.310.410.330.34
UAA0.000.150.140.210.190.450.381.000.330.420.270.29
CPNG0.000.080.160.140.260.300.310.331.000.470.420.38
TWLO0.000.030.150.250.240.420.410.420.471.000.360.38
BABA0.000.080.230.170.460.270.330.270.420.361.000.75
BIDU0.000.070.220.190.470.300.340.290.380.380.751.00
The correlation results are calculated based on daily price changes starting from Mar 12, 2021
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DrawdownsExpected ShortfallUlcer IndexValue at RiskClose-to-Close VolatilityParkinson VolatilityGarman Klass VolatilityRogers-Satchell VolatilityYang Zhang Volatility

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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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