PortfoliosLab logo
PortfoliosLab logo
Tools
Portfolios
Screeners
Discussions
PE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

PE

Currency in USD · Last updated May 31, 2025

Asset Allocation

ARES 20%HTGC 20%APO 20%ARCC 20%BCSF 20%EquityEquity
PositionCategory/SectorTarget Weight
APO
Apollo Global Management, Inc.		Financial Services
20%
ARCC
Ares Capital Corporation		Financial Services
20%
ARES
Ares Management Corporation		Financial Services
20%
BCSF
Bain Capital Specialty Finance, Inc.		Financial Services
20%
HTGC
Hercules Capital, Inc.		Financial Services
20%

S&P 500

Performance

Performance Chart

Loading data...

The earliest data available for this chart is Nov 15, 2018, corresponding to the inception date of BCSF

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		0.51%6.15%-2.00%12.92%14.19%10.85%
PE-7.49%3.02%-6.61%10.99%26.06%N/A
Portfolio components:
ARES
Ares Management Corporation		-5.78%8.50%-5.14%18.82%38.71%29.27%
HTGC
Hercules Capital, Inc.		-8.51%0.75%-2.90%-1.88%21.74%14.35%
APO
Apollo Global Management, Inc.		-20.36%-3.90%-24.85%13.43%25.54%24.94%
ARCC
Ares Capital Corporation		3.04%6.73%4.09%12.74%19.17%13.16%
BCSF
Bain Capital Specialty Finance, Inc.		-7.78%2.75%-3.19%5.63%20.01%N/A
*Annualized

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20256.51%-4.40%-8.60%-3.52%3.02%-7.49%
20243.10%6.27%2.30%1.03%4.72%-0.07%5.91%-3.70%3.77%4.82%7.06%0.95%42.10%
202311.38%1.00%-6.11%1.49%4.98%8.87%7.18%3.83%0.99%-5.57%7.96%4.33%46.45%
20222.36%-1.12%-0.26%-9.93%-0.54%-9.85%15.21%-0.87%-15.60%17.44%7.63%-7.95%-8.57%
2021-0.58%10.08%3.95%6.07%2.07%5.19%1.86%2.17%0.21%11.31%-4.90%2.48%46.60%
20200.82%-7.10%-30.74%18.36%13.15%2.13%-1.37%2.56%-0.95%-5.39%18.94%7.11%7.17%
201915.57%6.02%-2.56%6.73%-2.58%5.15%2.03%4.58%-0.02%4.52%5.85%4.33%60.74%
20180.63%-10.97%-10.41%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

PE has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of PE is 19, meaning it’s performing worse than 81% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of PE is 1919
Overall Rank
The Sharpe Ratio Rank of PE is 1515
Sharpe Ratio Rank
The Sortino Ratio Rank of PE is 1919
Sortino Ratio Rank
The Omega Ratio Rank of PE is 2323
Omega Ratio Rank
The Calmar Ratio Rank of PE is 2020
Calmar Ratio Rank
The Martin Ratio Rank of PE is 1818
Martin 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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ARES
Ares Management Corporation		0.460.821.120.441.41
HTGC
Hercules Capital, Inc.		-0.070.111.02-0.05-0.12
APO
Apollo Global Management, Inc.		0.310.761.110.371.03
ARCC
Ares Capital Corporation		0.621.011.150.702.69
BCSF
Bain Capital Specialty Finance, Inc.		0.250.671.100.341.08

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

PE Sharpe ratios as of May 31, 2025 (values are recalculated daily):

  • 1-Year: 0.42
  • 5-Year: 1.16
  • All Time: 0.85

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.60 to 1.13, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of PE compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Loading data...

Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

PE provided a 6.61% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio6.61%6.04%7.20%8.54%6.23%7.78%6.92%7.82%6.17%5.72%8.13%6.77%
Portfolio components:
ARES
Ares Management Corporation		2.36%2.10%2.59%3.57%2.31%3.40%3.59%7.50%6.30%4.32%6.81%2.45%
HTGC
Hercules Capital, Inc.		9.08%7.96%11.40%14.90%9.34%9.57%9.49%11.40%9.34%8.58%9.93%8.13%
APO
Apollo Global Management, Inc.		1.45%1.10%1.81%2.51%2.90%4.72%4.23%7.86%5.53%6.46%12.91%13.19%
ARCC
Ares Capital Corporation		8.71%8.77%9.59%10.12%7.65%9.47%9.01%9.88%9.67%9.22%11.02%10.06%
BCSF
Bain Capital Specialty Finance, Inc.		11.45%10.27%10.62%11.60%8.94%11.73%8.30%2.44%0.00%0.00%0.00%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.

Loading data...

Worst Drawdowns

The table below displays the maximum drawdowns of the PE. 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 PE was 52.89%, occurring on Mar 23, 2020. Recovery took 179 trading sessions.

The current PE drawdown is 13.15%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-52.89%Feb 21, 202022Mar 23, 2020179Dec 4, 2020201
-27.03%Feb 3, 202546Apr 8, 2025———
-24.62%Oct 29, 2021159Jun 16, 2022158Feb 2, 2023317
-16.12%Dec 4, 201812Dec 20, 201827Jan 31, 201939
-15.51%Mar 6, 20236Mar 13, 202357Jun 2, 202363
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

Loading data...

Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 5 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCBCSFARESHTGCAPOARCCPortfolio
^GSPC1.000.400.650.520.640.540.71
BCSF0.401.000.330.550.350.540.64
ARES0.650.331.000.430.650.490.79
HTGC0.520.550.431.000.460.660.75
APO0.640.350.650.461.000.470.81
ARCC0.540.540.490.660.471.000.75
Portfolio0.710.640.790.750.810.751.00
The correlation results are calculated based on daily price changes starting from Nov 16, 2018
Go to the full Correlations tool for more customization options