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Materials

Last updated Mar 2, 2024

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%

RIO
Rio Tinto Group
Basic Materials

20%

VALE
Vale S.A.
Basic Materials

15%

GLNCY
Glencore PLC ADR
Basic Materials

15%

FCX
Freeport-McMoRan Inc.
Basic Materials

10%

GOLD
Barrick Gold Corporation
Basic Materials

10%

NEM
Newmont Goldcorp Corporation
Basic Materials

5%

DD
DuPont de Nemours, Inc.
Basic Materials

5%

S&P 500

Performance

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


100.00%150.00%200.00%250.00%300.00%OctoberNovemberDecember2024FebruaryMarch
81.51%
328.31%
Materials
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 5, 2011, corresponding to the inception date of GLNCY

Returns

As of Mar 2, 2024, the Materials returned -14.92% Year-To-Date and 7.87% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
Materials-14.92%-3.51%-3.27%-10.44%13.53%8.16%
BHP
BHP Group
-14.60%-4.50%2.95%-6.25%10.35%5.84%
RIO
Rio Tinto Group
-12.52%-4.88%2.02%-7.99%12.00%9.42%
VALE
Vale S.A.
-14.94%1.50%-0.64%-14.31%10.17%6.39%
GLNCY
Glencore PLC ADR
-19.78%-8.48%-10.60%-16.16%10.26%3.46%
FCX
Freeport-McMoRan Inc.
-10.57%-5.41%-7.88%-11.95%26.35%2.98%
GOLD
Barrick Gold Corporation
-16.84%-2.38%-6.14%-7.29%6.46%-1.11%
NEM
Newmont Goldcorp Corporation
-22.83%-7.18%-17.11%-25.65%2.71%4.88%
DD
DuPont de Nemours, Inc.
-9.08%12.16%-9.84%-4.90%-0.25%3.53%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-11.10%-5.45%
2023-6.66%0.03%-0.52%8.21%8.01%

Sharpe Ratio

The current Materials Sharpe ratio is -0.36. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

0.002.004.00-0.36

The Sharpe ratio of Materials is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00OctoberNovemberDecember2024FebruaryMarch
-0.36
2.44
Materials
Benchmark (^GSPC)
Portfolio components

Dividend yield

Materials granted a 6.17% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Materials6.17%5.19%7.13%9.00%2.97%5.70%4.17%2.61%1.58%8.36%4.60%4.17%
BHP
BHP Group
5.83%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
6.17%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.
9.11%7.75%8.60%19.68%2.73%2.63%4.12%3.36%0.59%8.56%6.69%5.73%
GLNCY
Glencore PLC ADR
10.82%8.68%5.52%3.10%3.19%6.34%5.41%1.32%0.00%15.16%3.63%2.96%
FCX
Freeport-McMoRan Inc.
1.58%1.40%1.56%0.53%0.19%1.50%1.43%0.00%0.00%8.28%5.22%6.75%
GOLD
Barrick Gold Corporation
2.68%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
5.01%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.
2.10%1.87%1.92%1.49%1.69%2.24%2.84%3.54%5.87%6.68%7.39%6.89%

Expense Ratio

The 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

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
Materials
-0.36
BHP
BHP Group
-0.08
RIO
Rio Tinto Group
-0.19
VALE
Vale S.A.
-0.49
GLNCY
Glencore PLC ADR
-0.43
FCX
Freeport-McMoRan Inc.
-0.30
GOLD
Barrick Gold Corporation
-0.21
NEM
Newmont Goldcorp Corporation
-0.74
DD
DuPont de Nemours, Inc.
-0.13

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

GOLDNEMDDGLNCYVALEFCXBHPRIO
GOLD1.000.810.130.220.230.320.300.29
NEM0.811.000.170.260.280.360.340.33
DD0.130.171.000.420.420.520.520.49
GLNCY0.220.260.421.000.550.610.670.68
VALE0.230.280.420.551.000.620.710.75
FCX0.320.360.520.610.621.000.700.69
BHP0.300.340.520.670.710.701.000.88
RIO0.290.330.490.680.750.690.881.00

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-20.16%
0
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 73.83%, occurring on Jan 20, 2016. Recovery took 1129 trading sessions.

The current Materials drawdown is 20.16%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-73.83%Feb 6, 2012996Jan 20, 20161129Jul 14, 20202125
-35.93%Apr 4, 202270Jul 14, 2022
-23.13%May 12, 202192Sep 21, 2021110Feb 28, 2022202
-20.72%Sep 2, 201121Oct 3, 201183Feb 1, 2012104
-11.4%Sep 18, 202029Oct 28, 20209Nov 10, 202038

Volatility Chart

The current Materials volatility is 6.49%, 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%OctoberNovemberDecember2024FebruaryMarch
6.49%
3.47%
Materials
Benchmark (^GSPC)
Portfolio components
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