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Sept 20 2023

Last updated Oct 3, 2023

Asset Allocation


GLD 30.7%^NDX 35.5%CSU.TO 2.8%TTD 2.8%ZS 2.8%ODFL 2.7%CHD 2.7%AZO 2.7%PWR 2.7%HSY 2.7%LLY 2.7%PANW 2.7%FTNT 2.7%UFPT 2.6%NVO 1.2%CommodityCommodityEquityEquity
PositionCategory/SectorWeight
GLD
SPDR Gold Trust
Precious Metals, Gold30.7%
^NDX
NASDAQ 100
35.5%
CSU.TO
Constellation Software Inc.
Technology2.8%
TTD
The Trade Desk, Inc.
Technology2.8%
ZS
Zscaler, Inc.
Technology2.8%
ODFL
Old Dominion Freight Line, Inc.
Industrials2.7%
CHD
Church & Dwight Co., Inc.
Consumer Defensive2.7%
AZO
AutoZone, Inc.
Consumer Cyclical2.7%
PWR
Quanta Services, Inc.
Industrials2.7%
HSY
The Hershey Company
Consumer Defensive2.7%
LLY
Eli Lilly and Company
Healthcare2.7%
PANW
Palo Alto Networks, Inc.
Technology2.7%
FTNT
Fortinet, Inc.
Technology2.7%
UFPT
UFP Technologies, Inc.
Healthcare2.6%
NVO
Novo Nordisk A/S
Healthcare1.2%

Performance

The chart shows the growth of an initial investment of $10,000 in Sept 20 2023, 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


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
6.67%
4.58%
Sept 20 2023
Benchmark (^GSPC)
Portfolio components

Returns

As of Oct 3, 2023, the Sept 20 2023 returned 23.61% Year-To-Date and 19.33% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-5.04%3.97%11.69%19.60%7.82%8.18%
Sept 20 2023-4.87%7.06%23.61%29.30%19.46%19.33%
NVO
Novo Nordisk A/S
-3.02%15.82%38.15%87.68%34.39%29.59%
ODFL
Old Dominion Freight Line, Inc.
-7.41%20.91%42.56%62.79%31.03%29.07%
CHD
Church & Dwight Co., Inc.
-4.79%3.71%14.72%29.90%10.33%12.71%
AZO
AutoZone, Inc.
-0.77%0.45%2.30%17.79%26.52%27.24%
PWR
Quanta Services, Inc.
-16.79%6.69%24.12%38.92%39.03%33.40%
HSY
The Hershey Company
-6.94%-21.89%-12.88%-8.06%16.36%15.13%
UFPT
UFP Technologies, Inc.
-8.79%25.32%35.70%86.37%31.71%34.48%
LLY
Eli Lilly and Company
-3.38%54.20%48.32%68.25%39.31%42.48%
PANW
Palo Alto Networks, Inc.
-2.45%20.60%69.68%44.56%25.81%26.65%
FTNT
Fortinet, Inc.
-3.68%-11.58%19.92%19.34%25.76%34.99%
CSU.TO
Constellation Software Inc.
-2.64%8.87%33.54%49.97%25.90%24.49%
TTD
The Trade Desk, Inc.
-2.03%29.52%74.68%31.06%40.57%58.70%
ZS
Zscaler, Inc.
1.58%42.51%43.78%-2.12%32.71%32.44%
^NDX
NASDAQ 100
-4.22%12.85%35.63%35.24%13.97%14.19%
GLD
SPDR Gold Trust
-5.81%-8.07%0.01%9.69%8.25%5.63%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20237.50%0.88%4.47%5.21%2.92%-1.59%-4.51%

Sharpe Ratio

The current Sept 20 2023 Sharpe ratio is 1.58. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.58

The Sharpe ratio of Sept 20 2023 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.


Rolling 12-month Sharpe Ratio0.000.501.001.502.00MayJuneJulyAugustSeptemberOctober
1.58
0.88
Sept 20 2023
Benchmark (^GSPC)
Portfolio components

Dividend yield

Sept 20 2023 granted a 0.15% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Sept 20 20230.15%0.16%0.15%0.20%0.29%0.26%0.26%0.32%0.26%0.29%0.50%0.58%
NVO
Novo Nordisk A/S
1.60%1.71%1.95%2.84%3.33%4.49%3.60%7.11%2.36%3.77%16.56%17.56%
ODFL
Old Dominion Freight Line, Inc.
0.37%0.42%0.22%0.35%0.55%0.65%0.47%0.00%0.00%0.00%0.00%0.00%
CHD
Church & Dwight Co., Inc.
1.18%1.31%1.01%1.14%1.35%1.40%1.63%1.76%1.75%1.77%1.94%2.10%
AZO
AutoZone, 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%
PWR
Quanta Services, Inc.
0.18%0.25%0.16%0.29%0.42%0.13%0.00%0.00%0.00%0.00%0.00%0.00%
HSY
The Hershey Company
2.16%1.70%1.84%2.18%2.19%2.83%2.54%2.69%2.97%2.39%2.31%2.74%
UFPT
UFP 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%
LLY
Eli Lilly and Company
0.81%1.08%1.26%1.82%2.08%2.10%2.73%3.16%2.77%3.41%4.76%5.11%
PANW
Palo Alto Networks, 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%
FTNT
Fortinet, 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%
CSU.TO
Constellation Software Inc.
0.19%0.25%0.29%0.30%2.56%0.62%0.71%0.91%1.16%1.39%2.01%3.73%
TTD
The Trade Desk, 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%
ZS
Zscaler, 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%
^NDX
NASDAQ 100
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The Sept 20 2023 features an expense ratio of 0.12%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.40%
0.00%2.15%

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
NVO
Novo Nordisk A/S
2.91
ODFL
Old Dominion Freight Line, Inc.
1.66
CHD
Church & Dwight Co., Inc.
1.49
AZO
AutoZone, Inc.
0.77
PWR
Quanta Services, Inc.
1.39
HSY
The Hershey Company
-0.53
UFPT
UFP Technologies, Inc.
2.30
LLY
Eli Lilly and Company
2.41
PANW
Palo Alto Networks, Inc.
1.06
FTNT
Fortinet, Inc.
0.41
CSU.TO
Constellation Software Inc.
2.11
TTD
The Trade Desk, Inc.
0.47
ZS
Zscaler, Inc.
-0.05
^NDX
NASDAQ 100
1.43
GLD
SPDR Gold Trust
0.68

Asset Correlations Table

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

GLDCHDHSYUFPTLLYAZONVOPWRZSCSU.TOODFLTTDPANWFTNT^NDX
GLD1.000.090.100.020.02-0.010.100.030.050.110.040.040.050.070.06
CHD0.091.000.490.070.270.260.210.110.090.130.190.060.090.150.20
HSY0.100.491.000.160.300.320.180.190.050.160.170.050.110.160.23
UFPT0.020.070.161.000.160.170.150.300.190.220.250.230.220.260.32
LLY0.020.270.300.161.000.220.420.200.160.180.190.150.180.270.32
AZO-0.010.260.320.170.221.000.230.340.130.230.320.200.210.280.33
NVO0.100.210.180.150.420.231.000.210.250.250.240.230.240.320.35
PWR0.030.110.190.300.200.340.211.000.230.350.500.320.310.360.48
ZS0.050.090.050.190.160.130.250.231.000.390.340.600.560.600.58
CSU.TO0.110.130.160.220.180.230.250.350.391.000.370.440.390.460.55
ODFL0.040.190.170.250.190.320.240.500.340.371.000.390.390.460.55
TTD0.040.060.050.230.150.200.230.320.600.440.391.000.530.570.66
PANW0.050.090.110.220.180.210.240.310.560.390.390.531.000.670.61
FTNT0.070.150.160.260.270.280.320.360.600.460.460.570.671.000.69
^NDX0.060.200.230.320.320.330.350.480.580.550.550.660.610.691.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-6.58%
-10.59%
Sept 20 2023
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the Sept 20 2023. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the Sept 20 2023 is 21.92%, recorded on Mar 16, 2020. It took 39 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.92%Feb 20, 202018Mar 16, 202039May 11, 202057
-20.99%Nov 22, 2021232Oct 14, 2022142May 8, 2023374
-10.65%Aug 30, 201882Dec 24, 201826Jan 31, 2019108
-8.83%Sep 3, 202014Sep 23, 202032Nov 6, 202046
-7.45%Feb 16, 202115Mar 8, 202123Apr 9, 202138

Volatility Chart

The current Sept 20 2023 volatility is 2.75%, 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.


2.50%3.00%3.50%4.00%4.50%5.00%MayJuneJulyAugustSeptemberOctober
2.75%
3.15%
Sept 20 2023
Benchmark (^GSPC)
Portfolio components