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Reversion Plays 1Y Sharpe
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Reversion Plays 1Y Sharpe

Last updated Sep 17, 2024

Jan 7th seed date

Asset Allocation

APP 11.11%AVGO 11.11%BRBR 11.11%DKNG 11.11%DUOL 11.11%META 11.11%NVDA 11.11%UBER 11.11%VRT 11.11%EquityEquity
PositionCategory/SectorWeight
APP
AppLovin Corporation		Technology
11.11%
AVGO
Broadcom Inc.		Technology
11.11%
BRBR
BellRing Brands, Inc.		Consumer Defensive
11.11%
DKNG
DraftKings Inc.		Consumer Cyclical
11.11%
DUOL
Duolingo, Inc.		Technology
11.11%
META
Meta Platforms, Inc.		Communication Services
11.11%
NVDA
NVIDIA Corporation		Technology
11.11%
UBER
Uber Technologies, Inc.		Technology
11.11%
VRT
Vertiv Holdings Co.		Industrials
11.11%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Reversion Plays 1Y Sharpe, 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%15.00%AprilMayJuneJulyAugustSeptember
15.01%
8.78%
Reversion Plays 1Y Sharpe
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 28, 2021, corresponding to the inception date of DUOL

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.10%1.42%9.39%26.58%13.42%10.88%
Reversion Plays 1Y Sharpe56.11%7.93%15.01%89.68%N/AN/A
Portfolio components:
APP
AppLovin Corporation		191.72%34.63%71.87%164.14%N/AN/A
AVGO
Broadcom Inc.		48.03%-1.03%33.47%96.36%46.11%37.99%
BRBR
BellRing Brands, Inc.		6.73%7.74%-2.65%46.73%N/AN/A
DKNG
DraftKings Inc.		7.91%11.42%-13.11%21.73%31.55%N/A
DUOL
Duolingo, Inc.		3.15%15.18%3.00%41.93%N/AN/A
META
Meta Platforms, Inc.		51.11%1.21%7.67%76.79%23.32%21.31%
NVDA
NVIDIA Corporation		135.86%-6.25%30.65%165.69%92.38%74.38%
UBER
Uber Technologies, Inc.		16.16%-0.72%-7.21%53.77%15.91%N/A
VRT
Vertiv Holdings Co.		81.23%9.53%12.92%130.40%53.71%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20246.28%21.88%6.37%-3.12%3.53%6.32%-7.75%8.33%56.11%
202320.94%10.80%13.37%3.96%21.20%9.50%10.34%9.80%-3.23%-2.91%20.01%6.91%206.07%
2022-14.99%-9.75%0.70%-16.88%-2.16%-12.13%11.39%-1.04%-11.46%3.17%4.74%-7.48%-46.13%
2021-1.22%4.92%-2.58%6.32%-6.61%2.67%2.94%

Expense Ratio

Reversion Plays 1Y Sharpe 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 risk-adjusted rank of Reversion Plays 1Y Sharpe is 90, placing it in the top 10% 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 Reversion Plays 1Y Sharpe is 9090
Reversion Plays 1Y Sharpe
The Sharpe Ratio Rank of Reversion Plays 1Y Sharpe is 9393Sharpe Ratio Rank
The Sortino Ratio Rank of Reversion Plays 1Y Sharpe is 8686Sortino Ratio Rank
The Omega Ratio Rank of Reversion Plays 1Y Sharpe is 8585Omega Ratio Rank
The Calmar Ratio Rank of Reversion Plays 1Y Sharpe is 9494Calmar Ratio Rank
The Martin Ratio Rank of Reversion Plays 1Y Sharpe is 9292Martin 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.

Reversion Plays 1Y Sharpe
Sharpe ratio
The chart of Sharpe ratio for Reversion Plays 1Y Sharpe, currently valued at 2.89, compared to the broader market-1.000.001.002.003.004.002.89
Sortino ratio
The chart of Sortino ratio for Reversion Plays 1Y Sharpe, currently valued at 3.44, compared to the broader market-2.000.002.004.006.003.44
Omega ratio
The chart of Omega ratio for Reversion Plays 1Y Sharpe, currently valued at 1.44, compared to the broader market0.801.001.201.401.601.801.44
Calmar ratio
The chart of Calmar ratio for Reversion Plays 1Y Sharpe, currently valued at 4.49, compared to the broader market0.002.004.006.008.004.49
Martin ratio
The chart of Martin ratio for Reversion Plays 1Y Sharpe, currently valued at 17.06, compared to the broader market0.0010.0020.0030.0017.06
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.96, compared to the broader market-1.000.001.002.003.004.001.96
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.65, compared to the broader market-2.000.002.004.006.002.65
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 10.43, compared to the broader market0.0010.0020.0030.0010.43
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
APP
AppLovin Corporation		2.883.631.432.5019.67
AVGO
Broadcom Inc.		2.112.721.353.8011.84
BRBR
BellRing Brands, Inc.		1.602.201.272.236.32
DKNG
DraftKings Inc.		0.480.981.120.381.40
DUOL
Duolingo, Inc.		0.791.491.191.292.74
META
Meta Platforms, Inc.		2.133.021.403.1812.85
NVDA
NVIDIA Corporation		3.213.471.446.1419.57
UBER
Uber Technologies, Inc.		1.352.121.251.794.60
VRT
Vertiv Holdings Co.		2.362.621.343.5010.00

Sharpe Ratio

The current Reversion Plays 1Y Sharpe Sharpe ratio is 2.89. 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 1.64 to 2.29, 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 Reversion Plays 1Y Sharpe 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 Ratio1.002.003.004.005.006.007.008.00AprilMayJuneJulyAugustSeptember
2.89
1.96
Reversion Plays 1Y Sharpe
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Reversion Plays 1Y Sharpe granted a 0.18% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Reversion Plays 1Y Sharpe0.18%0.20%0.36%0.26%0.36%0.42%0.40%0.24%0.21%0.26%0.32%0.40%
Portfolio components:
APP
AppLovin 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%
AVGO
Broadcom Inc.		1.24%1.71%3.02%2.24%3.05%3.54%3.11%1.87%1.43%1.13%1.22%1.66%
BRBR
BellRing Brands, 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%
DKNG
DraftKings 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%
DUOL
Duolingo, 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%
META
Meta Platforms, Inc.		0.28%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%
UBER
Uber Technologies, 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%
VRT
Vertiv Holdings Co.		0.11%0.05%0.07%0.04%0.05%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%AprilMayJuneJulyAugustSeptember0
-0.60%
Reversion Plays 1Y Sharpe
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Reversion Plays 1Y Sharpe. 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 Reversion Plays 1Y Sharpe was 53.63%, occurring on Oct 14, 2022. Recovery took 166 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-53.63%Nov 15, 2021231Oct 14, 2022166Jun 14, 2023397
-20.16%Jun 20, 202432Aug 5, 202428Sep 13, 202460
-11.54%Mar 25, 202419Apr 19, 202432Jun 5, 202451
-11.3%Oct 12, 202311Oct 26, 20237Nov 6, 202318
-8.96%Sep 8, 202119Oct 4, 202120Nov 1, 202139

Volatility

Volatility Chart

The current Reversion Plays 1Y Sharpe volatility is 10.05%, 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%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
10.05%
4.09%
Reversion Plays 1Y Sharpe
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.
BRBRDUOLUBERDKNGAVGOVRTAPPMETANVDA
BRBR1.000.160.240.250.270.330.270.290.27
DUOL0.161.000.430.450.370.350.450.400.42
UBER0.240.431.000.550.420.480.510.490.48
DKNG0.250.450.551.000.430.490.540.470.50
AVGO0.270.370.420.431.000.540.460.540.72
VRT0.330.350.480.490.541.000.490.510.59
APP0.270.450.510.540.460.491.000.530.54
META0.290.400.490.470.540.510.531.000.59
NVDA0.270.420.480.500.720.590.540.591.00
The correlation results are calculated based on daily price changes starting from Jul 29, 2021