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Materials
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Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BHP 20%RIO 20%VALE 15%GLNCY 15%FCX 10%GOLD 10%NEM 5%DD 5%EquityEquity
PositionCategory/SectorWeight
BHP
BHP Group
Basic Materials
20%
DD
DuPont de Nemours, Inc.
Basic Materials
5%
FCX
Freeport-McMoRan Inc.
Basic Materials
10%
GLNCY
Glencore PLC ADR
Basic Materials
15%
GOLD
Barrick Gold Corporation
Basic Materials
10%
NEM
Newmont Goldcorp Corporation
Basic Materials
5%
RIO
Rio Tinto Group
Basic Materials
20%
VALE
Vale S.A.
Basic Materials
15%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Materials, 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%JuneJulyAugustSeptemberOctoberNovember
-1.39%
11.72%
Materials
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 3, 2019, corresponding to the inception date of DD

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
20.10%0.34%11.72%32.68%13.33%11.05%
Materials-7.20%-7.28%-1.39%4.95%15.18%N/A
BHP
BHP Group
-13.66%-8.13%2.25%-0.24%10.41%7.08%
RIO
Rio Tinto Group
-5.97%-6.44%-2.49%5.60%12.56%11.33%
VALE
Vale S.A.
-27.58%-7.67%-12.83%-18.54%6.94%7.60%
GLNCY
Glencore PLC ADR
-10.34%-6.59%-7.16%-0.36%16.77%5.23%
FCX
Freeport-McMoRan Inc.
8.44%-8.12%-9.10%31.34%34.93%6.25%
GOLD
Barrick Gold Corporation
7.19%-4.03%16.99%18.34%5.48%7.14%
NEM
Newmont Goldcorp Corporation
11.41%-14.92%12.53%19.36%6.37%11.78%
DD
DuPont de Nemours, Inc.
8.83%-5.32%7.21%20.78%5.00%N/A

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-11.10%-5.48%7.79%2.44%4.75%-5.35%-0.08%0.77%9.71%-8.83%-7.20%
202310.58%-12.03%3.00%-4.41%-9.07%8.03%6.24%-6.66%0.03%-0.52%8.21%8.01%8.51%
20222.76%14.37%10.46%-11.59%2.67%-17.62%-1.88%-3.63%-0.61%1.40%23.99%0.62%15.42%
20211.86%9.59%-1.12%8.37%7.91%-4.65%2.27%-7.50%-9.09%0.84%-0.12%8.11%15.25%
2020-8.34%-11.60%-13.76%17.53%8.42%9.60%8.75%3.46%-3.74%-2.26%20.65%12.76%40.52%
201910.02%-4.88%-6.95%2.02%0.29%3.87%8.47%12.26%

Expense Ratio

Materials 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 Materials is 3, indicating that it is in the bottom 3% 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 Materials is 33
Combined Rank
The Sharpe Ratio Rank of Materials is 33Sharpe Ratio Rank
The Sortino Ratio Rank of Materials is 22Sortino Ratio Rank
The Omega Ratio Rank of Materials is 33Omega Ratio Rank
The Calmar Ratio Rank of Materials is 44Calmar Ratio Rank
The Martin Ratio Rank of Materials is 33Martin 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.


Materials
Sharpe ratio
The chart of Sharpe ratio for Materials, currently valued at 0.35, compared to the broader market0.002.004.000.35
Sortino ratio
The chart of Sortino ratio for Materials, currently valued at 0.64, compared to the broader market-2.000.002.004.006.000.64
Omega ratio
The chart of Omega ratio for Materials, currently valued at 1.08, compared to the broader market0.801.001.201.401.601.801.08
Calmar ratio
The chart of Calmar ratio for Materials, currently valued at 0.35, compared to the broader market0.002.004.006.008.0010.0012.0014.000.35
Martin ratio
The chart of Martin ratio for Materials, currently valued at 0.87, compared to the broader market0.0010.0020.0030.0040.0050.000.87
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.88, compared to the broader market0.002.004.002.88
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.82, compared to the broader market-2.000.002.004.006.003.82
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.801.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.52, compared to the broader market0.002.004.006.008.0010.0012.0014.003.52
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.62, compared to the broader market0.0010.0020.0030.0040.0050.0018.62

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BHP
BHP Group
0.070.281.030.080.13
RIO
Rio Tinto Group
0.340.641.080.460.85
VALE
Vale S.A.
-0.62-0.800.91-0.39-0.78
GLNCY
Glencore PLC ADR
0.080.321.040.080.19
FCX
Freeport-McMoRan Inc.
1.021.611.191.083.21
GOLD
Barrick Gold Corporation
0.641.071.130.442.32
NEM
Newmont Goldcorp Corporation
0.661.101.150.402.29
DD
DuPont de Nemours, Inc.
1.021.431.241.034.44

Sharpe Ratio

The current Materials Sharpe ratio is 0.35. 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 2.14 to 2.96, 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 Materials 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 Ratio0.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
0.35
2.88
Materials
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Materials provided a 5.28% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Materials5.28%5.19%7.13%9.00%2.97%5.63%4.04%2.43%1.28%8.06%4.23%3.83%
BHP
BHP Group
5.22%4.98%10.27%9.98%3.67%8.59%4.89%3.61%1.68%9.32%5.11%3.40%
RIO
Rio Tinto Group
6.66%5.40%10.48%14.39%5.13%10.70%6.32%4.45%3.96%7.79%4.46%3.15%
VALE
Vale S.A.
13.14%7.75%8.58%19.70%2.73%2.63%4.16%3.39%0.54%8.84%6.69%5.73%
GLNCY
Glencore PLC ADR
2.48%8.68%5.52%3.11%3.19%6.34%5.41%1.32%0.00%15.16%3.63%2.96%
FCX
Freeport-McMoRan Inc.
1.32%1.40%1.56%0.53%0.19%1.49%1.43%0.00%0.00%8.27%5.21%6.75%
GOLD
Barrick Gold Corporation
2.10%2.21%3.76%4.05%1.34%0.69%1.38%0.82%0.49%1.87%1.84%2.80%
NEM
Newmont Goldcorp Corporation
2.54%3.87%4.66%3.55%1.74%3.31%1.58%0.65%0.36%0.54%1.16%5.23%
DD
DuPont de Nemours, Inc.
1.82%1.87%1.92%1.49%1.69%0.93%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%JuneJulyAugustSeptemberOctoberNovember
-12.92%
-2.32%
Materials
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Materials. 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 Materials was 41.93%, occurring on Mar 23, 2020. Recovery took 74 trading sessions.

The current Materials drawdown is 12.92%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.93%Jan 21, 202044Mar 23, 202074Jul 8, 2020118
-35.93%Apr 4, 202270Jul 14, 2022
-23.13%May 12, 202192Sep 21, 2021110Feb 28, 2022202
-15.72%Jul 24, 201923Aug 23, 201985Dec 24, 2019108
-11.4%Sep 18, 202029Oct 28, 20209Nov 10, 202038

Volatility

Volatility Chart

The current Materials volatility is 5.40%, 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%JuneJulyAugustSeptemberOctoberNovember
5.40%
3.23%
Materials
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.

GOLDNEMDDVALEGLNCYFCXRIOBHP
GOLD1.000.820.130.200.240.290.280.29
NEM0.821.000.190.270.290.330.320.33
DD0.130.191.000.410.480.590.470.50
VALE0.200.270.411.000.620.610.760.72
GLNCY0.240.290.480.621.000.700.740.73
FCX0.290.330.590.610.701.000.710.71
RIO0.280.320.470.760.740.711.000.89
BHP0.290.330.500.720.730.710.891.00
The correlation results are calculated based on daily price changes starting from Jun 4, 2019