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Random Sept
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Risk-Adjusted Performance
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Volatility
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Random Sept

Last updated Nov 13, 2024

Asset Allocation

LW 20%INGR 20%TXT 20%BDC 20%OC 20%EquityEquity
PositionCategory/SectorWeight
BDC
Belden Inc.		Industrials
20%
INGR
Ingredion Incorporated		Consumer Defensive
20%
LW
Lamb Weston Holdings, Inc.		Consumer Defensive
20%
OC
Owens Corning		Industrials
20%
TXT
Textron Inc.		Industrials
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Random Sept, 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%JuneJulyAugustSeptemberOctoberNovember
12.60%
12.76%
Random Sept
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 10, 2016, corresponding to the inception date of LW

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.48%2.14%12.76%33.14%13.96%11.39%
Random Sept22.06%5.23%12.60%33.80%17.19%N/A
Portfolio components:
LW
Lamb Weston Holdings, Inc.		-24.53%11.26%-5.97%-14.92%0.71%N/A
INGR
Ingredion Incorporated		40.86%11.59%29.07%49.23%15.72%9.16%
TXT
Textron Inc.		8.96%-0.97%-0.65%13.64%13.42%7.87%
BDC
Belden Inc.		57.23%-0.51%27.58%77.78%18.36%5.74%
OC
Owens Corning		34.03%4.76%9.80%52.29%26.65%20.77%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.42%5.58%6.51%-9.40%7.50%-3.03%-0.99%3.01%3.41%0.98%22.06%
20239.26%0.56%1.15%1.72%0.11%9.63%3.76%-2.53%-1.93%-10.71%7.36%8.49%27.98%
2022-5.84%2.08%-2.57%-1.23%4.93%-6.94%13.75%-4.05%-5.82%13.17%6.97%-2.59%9.50%
2021-0.02%6.66%4.66%4.98%7.59%-2.69%-4.90%4.03%-3.10%3.64%-4.13%9.37%27.79%
2020-2.62%-9.30%-24.41%4.07%8.10%3.23%2.05%5.86%-2.81%-3.37%17.10%6.49%-1.90%
201914.18%0.91%-3.91%2.08%-12.36%14.45%-6.21%-0.74%8.74%-1.66%5.58%2.27%21.86%
20184.21%-8.25%-0.14%-3.38%-2.96%3.43%0.43%0.29%0.03%-9.58%3.54%-13.89%-24.81%
20171.74%-0.50%2.43%0.09%1.97%2.26%0.71%4.28%3.94%3.40%7.22%0.53%31.66%
20165.01%5.51%10.80%

Expense Ratio

Random Sept 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 Random Sept is 24, indicating that it is in the bottom 24% 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 Random Sept is 2424
Combined Rank
The Sharpe Ratio Rank of Random Sept is 2121Sharpe Ratio Rank
The Sortino Ratio Rank of Random Sept is 1818Sortino Ratio Rank
The Omega Ratio Rank of Random Sept is 2424Omega Ratio Rank
The Calmar Ratio Rank of Random Sept is 4343Calmar Ratio Rank
The Martin Ratio Rank of Random Sept is 1616Martin 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.

Random Sept
Sharpe ratio
The chart of Sharpe ratio for Random Sept, currently valued at 1.94, compared to the broader market0.002.004.006.001.94
Sortino ratio
The chart of Sortino ratio for Random Sept, currently valued at 2.50, compared to the broader market-2.000.002.004.006.002.50
Omega ratio
The chart of Omega ratio for Random Sept, currently valued at 1.36, compared to the broader market0.801.001.201.401.601.802.001.36
Calmar ratio
The chart of Calmar ratio for Random Sept, currently valued at 2.92, compared to the broader market0.005.0010.0015.002.92
Martin ratio
The chart of Martin ratio for Random Sept, currently valued at 7.85, compared to the broader market0.0010.0020.0030.0040.0050.0060.007.85
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.80
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
LW
Lamb Weston Holdings, Inc.		-0.35-0.150.97-0.28-0.59
INGR
Ingredion Incorporated		2.274.631.552.7720.18
TXT
Textron Inc.		0.661.001.140.891.95
BDC
Belden Inc.		2.553.631.442.6419.66
OC
Owens Corning		2.012.551.333.4610.04

Sharpe Ratio

The current Random Sept Sharpe ratio is 1.96. 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 2.06 to 2.97, 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 Random Sept 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
1.94
2.91
Random Sept
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Random Sept provided a 1.07% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio1.07%1.11%1.18%1.14%1.26%1.10%1.17%0.84%0.68%0.77%0.84%0.56%
Portfolio components:
LW
Lamb Weston Holdings, Inc.		1.80%1.04%1.10%1.48%1.17%0.93%1.04%1.33%0.00%0.00%0.00%0.00%
INGR
Ingredion Incorporated		2.09%2.75%2.78%2.67%3.23%2.70%2.68%1.57%1.52%1.82%1.98%2.28%
TXT
Textron Inc.		0.09%0.10%0.11%0.10%0.17%0.18%0.17%0.14%0.16%0.19%0.19%0.22%
BDC
Belden Inc.		0.16%0.26%0.28%0.30%0.48%0.36%0.50%0.26%0.27%0.42%0.25%0.28%
OC
Owens Corning		1.23%1.40%1.64%1.15%1.27%1.35%1.43%0.88%1.44%1.45%1.79%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.

-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-0.92%
-0.27%
Random Sept
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Random Sept. 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 Random Sept was 52.62%, occurring on Mar 18, 2020. Recovery took 283 trading sessions.

The current Random Sept drawdown is 1.05%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-52.62%Jan 29, 2018538Mar 18, 2020283May 3, 2021821
-17.38%Jan 14, 2022106Jun 16, 202230Aug 1, 2022136
-16.39%Aug 2, 202360Oct 25, 202364Jan 29, 2024124
-14.1%Aug 17, 202228Sep 26, 202229Nov 4, 202257
-12.58%Mar 28, 202491Aug 7, 202442Oct 7, 2024133

Volatility

Volatility Chart

The current Random Sept volatility is 6.53%, 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
6.53%
3.75%
Random Sept
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.
LWINGROCBDCTXT
LW1.000.370.280.310.33
INGR0.371.000.390.410.42
OC0.280.391.000.530.54
BDC0.310.410.531.000.57
TXT0.330.420.540.571.00
The correlation results are calculated based on daily price changes starting from Nov 11, 2016