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Sept 20 2023
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Sept 20 2023

Last updated Sep 21, 2024

Asset Allocation

GLD 30.7%QQQ 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
AZO
AutoZone, Inc.		Consumer Cyclical
2.70%
CHD
Church & Dwight Co., Inc.		Consumer Defensive
2.70%
CSU.TO
Constellation Software Inc.		Technology
2.80%
FTNT
Fortinet, Inc.		Technology
2.70%
GLD
SPDR Gold Trust		Precious Metals, Gold
30.70%
HSY
The Hershey Company		Consumer Defensive
2.70%
LLY
Eli Lilly and Company		Healthcare
2.70%
NVO
Novo Nordisk A/S		Healthcare
1.20%
ODFL
Old Dominion Freight Line, Inc.		Industrials
2.70%
PANW
Palo Alto Networks, Inc.		Technology
2.70%
PWR
Quanta Services, Inc.		Industrials
2.70%
QQQ
Invesco QQQ		Large Cap Blend Equities
35.50%
TTD
The Trade Desk, Inc.		Technology
2.80%
UFPT
UFP Technologies, Inc.		Healthcare
2.60%
ZS
Zscaler, Inc.		Technology
2.80%

Performance

Performance Chart

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

-5.00%0.00%5.00%10.00%AprilMayJuneJulyAugustSeptember
12.87%
8.95%
Sept 20 2023
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 16, 2018, corresponding to the inception date of ZS

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
Sept 20 202323.88%2.42%12.87%37.11%23.46%N/A
Portfolio components:
NVO
Novo Nordisk A/S		24.36%-6.85%-0.60%40.91%36.47%18.40%
ODFL
Old Dominion Freight Line, Inc.		-3.91%-3.32%-11.79%-2.69%27.85%24.03%
CHD
Church & Dwight Co., Inc.		10.27%0.74%-0.60%10.45%8.24%13.02%
AZO
AutoZone, Inc.		16.83%-4.74%-6.75%17.52%20.98%19.56%
PWR
Quanta Services, Inc.		34.89%8.62%13.74%54.60%49.56%23.22%
HSY
The Hershey Company		7.03%-0.07%0.07%-3.45%7.09%10.27%
UFPT
UFP Technologies, Inc.		108.34%11.32%46.53%128.42%54.61%32.38%
LLY
Eli Lilly and Company		58.85%-3.42%19.95%68.50%52.85%32.82%
PANW
Palo Alto Networks, Inc.		15.34%-2.68%18.60%48.84%36.51%26.53%
FTNT
Fortinet, Inc.		31.18%3.07%12.42%31.83%36.39%31.22%
CSU.TO
Constellation Software Inc.		30.09%3.00%16.98%60.90%26.72%33.28%
TTD
The Trade Desk, Inc.		52.18%6.15%28.74%43.43%39.32%N/A
ZS
Zscaler, Inc.		-22.05%-12.68%-11.41%13.84%27.46%N/A
GLD
SPDR Gold Trust		26.70%5.60%20.89%35.60%10.81%7.51%
QQQ
Invesco QQQ		18.15%1.60%8.25%35.53%20.80%18.16%

Monthly Returns

The table below presents the monthly returns of Sept 20 2023, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.69%4.97%3.49%-2.38%3.82%3.37%1.74%3.63%23.88%
20237.47%-0.07%7.50%0.89%4.56%5.15%2.93%-1.55%-4.51%0.56%7.28%3.73%38.66%
2022-6.88%1.58%2.89%-7.56%-2.61%-3.69%5.47%-2.53%-6.33%3.14%6.00%-4.27%-14.95%
2021-1.14%-0.11%0.85%5.20%2.24%2.06%3.88%4.00%-3.93%6.35%2.18%2.79%26.74%
20203.68%-4.02%-5.12%12.36%7.86%4.60%8.37%5.07%-4.02%-2.10%7.74%6.21%46.53%
20197.54%4.47%3.15%2.76%-4.61%7.48%2.76%0.73%-2.28%3.45%3.60%2.39%35.51%
2018-3.12%0.06%4.76%0.85%0.83%6.17%0.45%-5.10%1.82%-2.97%3.24%

Expense Ratio

Sept 20 2023 has an expense ratio of 0.19%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

GLD
SPDR Gold Trust
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
QQQ
Invesco QQQ
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Sept 20 2023 is 93, placing it in the top 7% 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 Sept 20 2023 is 9393
Sept 20 2023
The Sharpe Ratio Rank of Sept 20 2023 is 9393Sharpe Ratio Rank
The Sortino Ratio Rank of Sept 20 2023 is 9292Sortino Ratio Rank
The Omega Ratio Rank of Sept 20 2023 is 9292Omega Ratio Rank
The Calmar Ratio Rank of Sept 20 2023 is 9494Calmar Ratio Rank
The Martin Ratio Rank of Sept 20 2023 is 9494Martin 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.

Sept 20 2023
Sharpe ratio
The chart of Sharpe ratio for Sept 20 2023, currently valued at 3.13, compared to the broader market-1.000.001.002.003.004.005.003.13
Sortino ratio
The chart of Sortino ratio for Sept 20 2023, currently valued at 4.19, compared to the broader market-2.000.002.004.006.004.19
Omega ratio
The chart of Omega ratio for Sept 20 2023, currently valued at 1.56, compared to the broader market0.801.001.201.401.601.801.56
Calmar ratio
The chart of Calmar ratio for Sept 20 2023, currently valued at 4.92, compared to the broader market0.002.004.006.008.0010.004.92
Martin ratio
The chart of Martin ratio for Sept 20 2023, currently valued at 21.49, compared to the broader market0.0010.0020.0030.0040.0021.49
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.005.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
NVO
Novo Nordisk A/S		1.301.951.252.147.24
ODFL
Old Dominion Freight Line, Inc.		-0.080.101.01-0.10-0.20
CHD
Church & Dwight Co., Inc.		0.761.071.150.863.47
AZO
AutoZone, Inc.		0.931.351.181.222.87
PWR
Quanta Services, Inc.		1.542.241.292.158.38
HSY
The Hershey Company		-0.040.081.01-0.03-0.14
UFPT
UFP Technologies, Inc.		2.653.121.413.8818.99
LLY
Eli Lilly and Company		2.293.071.413.6613.72
PANW
Palo Alto Networks, Inc.		1.061.401.251.533.21
FTNT
Fortinet, Inc.		0.821.531.220.842.78
CSU.TO
Constellation Software Inc.		2.513.201.425.4015.36
TTD
The Trade Desk, Inc.		0.961.501.221.054.01
ZS
Zscaler, Inc.		0.370.731.110.270.74
GLD
SPDR Gold Trust		2.713.731.483.0317.38
QQQ
Invesco QQQ		2.082.741.372.659.76

Sharpe Ratio

The current Sept 20 2023 Sharpe ratio is 3.13. 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 1.91 to 2.59, this portfolio's current Sharpe ratio 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.

Use the chart below to compare the Sharpe ratio of Sept 20 2023 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 Ratio1.502.002.503.00AprilMayJuneJulyAugustSeptember
3.13
2.32
Sept 20 2023
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Sept 20 2023 granted a 0.32% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Sept 20 20230.32%0.36%0.43%0.28%0.35%0.50%0.52%0.49%0.58%0.55%0.71%0.61%
Portfolio components:
NVO
Novo Nordisk A/S		0.80%0.71%0.84%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.02%
ODFL
Old Dominion Freight Line, Inc.		0.51%0.39%0.42%0.22%0.31%0.36%0.74%0.30%0.00%0.00%0.00%0.00%
CHD
Church & Dwight Co., Inc.		1.09%1.15%1.30%0.99%1.10%1.29%1.32%1.51%1.61%1.58%1.57%1.69%
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.		0.12%0.15%0.25%0.16%0.29%0.42%0.13%0.00%0.00%0.00%0.00%0.00%
HSY
The Hershey Company		2.71%2.39%1.67%1.76%2.07%2.03%2.57%2.24%2.32%2.50%1.96%1.86%
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		0.55%0.78%1.07%1.23%1.75%1.96%1.94%2.46%2.77%2.37%2.84%3.84%
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.		0.09%0.16%0.25%0.21%0.32%2.54%0.60%0.68%0.86%0.90%1.29%1.83%
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%
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%
QQQ
Invesco QQQ		0.49%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.01%

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.

-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember0
-0.19%
Sept 20 2023
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Sept 20 2023. 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 Sept 20 2023 was 22.21%, occurring on Mar 16, 2020. Recovery took 38 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.21%Feb 20, 202018Mar 16, 202038May 8, 202056
-20.83%Nov 22, 2021232Oct 14, 2022142May 8, 2023374
-10.59%Sep 14, 201872Dec 24, 201826Jan 31, 201998
-8.77%Sep 3, 202014Sep 23, 202032Nov 6, 202046
-7.9%Jul 20, 202353Oct 3, 202338Nov 24, 202391

Volatility

Volatility Chart

The current Sept 20 2023 volatility is 4.32%, 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%AprilMayJuneJulyAugustSeptember
4.32%
4.31%
Sept 20 2023
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.
GLDCHDHSYUFPTLLYAZONVOPWRCSU.TOODFLZSTTDPANWFTNTQQQ
GLD1.000.070.100.040.000.000.080.050.110.050.070.060.050.060.08
CHD0.071.000.480.060.240.240.190.100.100.160.080.040.100.130.18
HSY0.100.481.000.130.240.300.150.150.150.160.050.030.100.140.19
UFPT0.040.060.131.000.160.160.150.310.220.250.200.230.210.250.33
LLY0.000.240.240.161.000.200.450.210.180.180.170.150.200.260.33
AZO0.000.240.300.160.201.000.200.320.210.310.120.180.200.260.30
NVO0.080.190.150.150.450.201.000.210.260.240.250.220.250.310.35
PWR0.050.100.150.310.210.320.211.000.350.470.250.330.320.350.49
CSU.TO0.110.100.150.220.180.210.260.351.000.360.380.420.380.440.54
ODFL0.050.160.160.250.180.310.240.470.361.000.340.370.360.430.54
ZS0.070.080.050.200.170.120.250.250.380.341.000.590.570.590.58
TTD0.060.040.030.230.150.180.220.330.420.370.591.000.510.540.65
PANW0.050.100.100.210.200.200.250.320.380.360.570.511.000.640.60
FTNT0.060.130.140.250.260.260.310.350.440.430.590.540.641.000.65
QQQ0.080.180.190.330.330.300.350.490.540.540.580.650.600.651.00
The correlation results are calculated based on daily price changes starting from Mar 19, 2018