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composti portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


LNG 14.29%CALM 14.29%MLI 14.29%UTHR 14.29%PBF 14.29%NEU 14.29%CROX 14.29%EquityEquity
PositionCategory/SectorWeight
CALM
Cal-Maine Foods, Inc.
Consumer Defensive

14.29%

CROX
Crocs, Inc.
Consumer Cyclical

14.29%

LNG
Cheniere Energy, Inc.
Energy

14.29%

MLI
Mueller Industries, Inc.
Industrials

14.29%

NEU
NewMarket Corporation
Basic Materials

14.29%

PBF
PBF Energy Inc.
Energy

14.29%

UTHR
United Therapeutics Corporation
Healthcare

14.29%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in composti portfolio, 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


200.00%400.00%600.00%800.00%NovemberDecember2024FebruaryMarchApril
832.64%
249.94%
composti portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 13, 2012, corresponding to the inception date of PBF

Returns By Period

As of Apr 20, 2024, the composti portfolio returned 12.77% Year-To-Date and 19.02% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
composti portfolio12.77%-3.53%25.58%27.96%29.57%19.26%
LNG
Cheniere Energy, Inc.
-5.12%1.41%-5.49%8.51%19.90%11.15%
CALM
Cal-Maine Foods, Inc.
4.93%-1.77%31.27%16.97%10.74%9.36%
MLI
Mueller Industries, Inc.
11.31%-3.15%49.54%54.50%31.64%16.06%
UTHR
United Therapeutics Corporation
8.20%0.01%5.54%3.11%17.98%9.81%
PBF
PBF Energy Inc.
27.87%-0.66%17.16%60.63%12.19%9.78%
NEU
NewMarket Corporation
7.86%-6.31%32.21%61.79%8.57%6.56%
CROX
Crocs, Inc.
29.04%-14.88%40.88%-18.10%35.41%23.21%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20242.52%5.58%7.90%
20231.08%-1.56%8.37%1.00%

Expense Ratio

The composti portfolio 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 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.


composti portfolio
Sharpe ratio
The chart of Sharpe ratio for composti portfolio, currently valued at 1.67, compared to the broader market-1.000.001.002.003.004.001.67
Sortino ratio
The chart of Sortino ratio for composti portfolio, currently valued at 2.47, compared to the broader market-2.000.002.004.006.002.47
Omega ratio
The chart of Omega ratio for composti portfolio, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for composti portfolio, currently valued at 2.60, compared to the broader market0.002.004.006.008.002.60
Martin ratio
The chart of Martin ratio for composti portfolio, currently valued at 8.78, compared to the broader market0.0010.0020.0030.0040.008.78
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
LNG
Cheniere Energy, Inc.
0.380.681.080.361.11
CALM
Cal-Maine Foods, Inc.
0.440.831.100.461.35
MLI
Mueller Industries, Inc.
1.932.511.342.355.25
UTHR
United Therapeutics Corporation
0.200.451.050.190.55
PBF
PBF Energy Inc.
1.412.071.231.494.71
NEU
NewMarket Corporation
2.814.521.572.8224.01
CROX
Crocs, Inc.
-0.32-0.150.98-0.29-0.53

Sharpe Ratio

The current composti portfolio Sharpe ratio is 1.67. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.67

The Sharpe ratio of composti portfolio lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.67
1.66
composti portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

composti portfolio granted a 1.51% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
composti portfolio1.51%1.90%1.40%0.51%1.04%1.08%1.16%2.10%1.34%1.42%1.25%0.98%
LNG
Cheniere Energy, Inc.
1.02%0.95%0.92%0.33%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CALM
Cal-Maine Foods, Inc.
5.12%7.51%3.17%0.09%0.00%0.98%1.03%0.00%2.70%4.10%2.26%1.15%
MLI
Mueller Industries, Inc.
1.24%1.27%2.54%0.88%1.14%1.26%1.71%9.57%0.87%1.02%0.81%0.73%
UTHR
United Therapeutics 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%
PBF
PBF Energy Inc.
1.61%1.93%0.49%0.00%4.23%3.83%3.67%3.39%4.30%3.26%4.50%3.81%
NEU
NewMarket Corporation
1.58%1.62%2.70%2.30%1.91%1.50%1.70%1.76%1.51%1.52%1.16%1.14%
CROX
Crocs, 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%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-4.00%
-5.46%
composti portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the composti portfolio. 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 composti portfolio was 41.13%, occurring on Mar 23, 2020. Recovery took 53 trading sessions.

The current composti portfolio drawdown is 4.00%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.13%Jan 17, 202045Mar 23, 202053Jun 8, 202098
-32.56%May 19, 2015186Feb 11, 2016476Jan 2, 2018662
-19.61%Feb 21, 201970May 31, 2019106Oct 30, 2019176
-19.27%Jun 9, 202080Sep 30, 202038Nov 23, 2020118
-17.02%Aug 30, 201880Dec 24, 201834Feb 13, 2019114

Volatility

Volatility Chart

The current composti portfolio volatility is 2.73%, 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%NovemberDecember2024FebruaryMarchApril
2.73%
3.15%
composti portfolio
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.

CALMUTHRPBFCROXLNGNEUMLI
CALM1.000.130.150.170.150.210.26
UTHR0.131.000.200.210.230.240.26
PBF0.150.201.000.230.360.230.34
CROX0.170.210.231.000.270.270.42
LNG0.150.230.360.271.000.280.35
NEU0.210.240.230.270.281.000.46
MLI0.260.260.340.420.350.461.00