Macro Real Transactional

Performance

Risk-Adjusted Performance

Drawdowns

Volatility

Diversification

Macro Real Transactional

Last updated Aug 27, 2024

Asset Allocation

Position	Category/Sector	Weight
AR Antero Resources Corporation	Energy	13.90%
ARCH Arch Resources, Inc.	Energy	9.42%
BTU Peabody Energy Corporation	Energy	11.42%
CNX CNX Resources Corporation	Energy	12.46%
CRESY Cresud Sociedad Anónima Comercial, Inmobiliaria, Financiera y Agropecuaria	Industrials	7.27%
EQT EQT Corporation	Energy	10.57%
FCX Freeport-McMoRan Inc.	Basic Materials	9.79%
FTI TechnipFMC plc	Energy	35.73%
GDX VanEck Vectors Gold Miners ETF	Materials	13.17%
GORO Gold Resource Corporation	Basic Materials	0%
ICL ICL Group Ltd	Basic Materials	6.21%
PAM Pampa Energía S.A.	Utilities	12.45%
RRC Range Resources Corporation	Energy	9%
STNG Scorpio Tankers Inc.	Energy	31.65%
SWN Southwestern Energy Company	Energy	6.47%
TDW Tidewater Inc.	Energy	47.29%
UUUU Energy Fuels Inc.	Energy	4.14%
VOO Vanguard S&P 500 ETF	Large Cap Growth Equities	-133.06%
VSTO Vista Outdoor Inc.	Consumer Cyclical	0%
VTI Vanguard Total Stock Market ETF	Large Cap Growth Equities	-7.88%

Benchmark

S&P 500

Transactions

Date	Type	Symbol	Quantity	Price
Jan 26, 2023	Buy	Antero Resources Corporation	0.35	$28.55
Jan 26, 2023	Buy	Arch Resources, Inc.	0.066	$150.83
Jan 26, 2023	Buy	Peabody Energy Corporation	0.379	$26.36
Jan 26, 2023	Buy	Cresud Sociedad Anónima Comercial, Inmobiliaria, Financiera y Agropecuaria	1	$7.15
Jan 26, 2023	Buy	Cresud Sociedad Anónima Comercial, Inmobiliaria, Financiera y Agropecuaria	0.399	$7.13
Jan 26, 2023	Buy	EQT Corporation	0.309	$32.32
Jan 26, 2023	Buy	Freeport-McMoRan Inc.	0.222	$45.00
Jan 26, 2023	Buy	TechnipFMC plc	0.742	$13.47
Jan 26, 2023	Buy	VanEck Vectors Gold Miners ETF	0.306	$32.61
Jan 26, 2023	Buy	ICL Group Ltd	1	$7.91

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Macro Real Transactional, 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

Macro Real Transactional

Benchmark (^GSPC)

Portfolio components

Returns By Period

	Year-To-Date	1 month	6 months	1 year	5 years (annualized)	10 years (annualized)
^GSPC S&P 500	17.76%	2.89%	10.80%	27.49%	14.28%	10.89%
Macro Real Transactional	0.84%	-11.15%	7.94%	7.03%	N/A	N/A
Portfolio components:
TDW Tidewater Inc.	25.32%	-8.08%	25.69%	48.73%	41.85%	-24.44%
AR Antero Resources Corporation	20.72%	-7.47%	7.75%	3.52%	54.72%	-6.87%
CNX CNX Resources Corporation	38.05%	8.92%	34.03%	26.88%	29.27%	-1.66%
FTI TechnipFMC plc	37.04%	-7.03%	25.63%	48.83%	9.97%	N/A
GORO Gold Resource Corporation	11.17%	-4.78%	60.95%	-16.13%	-32.61%	-21.98%
ICL ICL Group Ltd	-9.02%	-3.25%	-10.97%	-19.47%	6.67%	0.13%
VTI Vanguard Total Stock Market ETF	17.55%	2.67%	10.68%	27.77%	15.35%	12.29%
VOO Vanguard S&P 500 ETF	18.79%	3.01%	11.37%	28.55%	16.13%	12.93%
STNG Scorpio Tankers Inc.	18.90%	-1.64%	7.51%	43.02%	25.67%	0.23%
GDX VanEck Vectors Gold Miners ETF	26.51%	7.54%	50.71%	37.50%	6.57%	4.92%
VSTO Vista Outdoor Inc.	32.84%	1.74%	28.87%	36.53%	49.75%	N/A
BTU Peabody Energy Corporation	-4.28%	4.05%	-7.51%	7.79%	6.41%	N/A
ARCH Arch Resources, Inc.	-24.57%	-13.53%	-26.25%	-1.79%	17.16%	N/A
EQT EQT Corporation	-12.98%	-2.77%	-8.30%	-20.26%	28.14%	-4.11%
FCX Freeport-McMoRan Inc.	7.17%	0.42%	19.12%	17.57%	39.97%	3.41%
RRC Range Resources Corporation	-0.03%	-4.69%	-2.90%	-3.14%	55.02%	-8.64%
UUUU Energy Fuels Inc.	-32.27%	-14.11%	-26.88%	-29.73%	22.65%	-4.43%
SWN Southwestern Energy Company	-3.21%	-2.91%	-7.58%	-3.65%	30.53%	-17.11%
PAM Pampa Energía S.A.	2.61%	10.31%	19.98%	6.54%	28.68%	19.09%
CRESY Cresud Sociedad Anónima Comercial, Inmobiliaria, Financiera y Agropecuaria	-14.11%	1.30%	1.03%	2.92%	10.08%	-1.46%

Monthly Returns

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

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2024	-3.27%	-5.17%	25.37%	6.90%	12.73%	-16.73%	-0.22%						0.84%
2023	1.05%	9.74%	-16.91%	-5.77%	-16.21%	28.74%	15.22%	6.94%	11.60%	3.28%	-12.49%	3.18%	20.09%
2022	7.10%	32.94%	15.33%	73.69%	57.36%	-46.41%	24.05%	23.46%	-12.68%	34.85%	6.48%	-2.28%	351.30%
2021										3.78%	-6.48%	-1.16%	-4.07%

Expense Ratio

Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

VTI

Vanguard Total Stock Market ETF

VOO

Vanguard S&P 500 ETF

GDX

VanEck Vectors Gold Miners ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Macro Real Transactional is 3, indicating that it is in the bottom 3% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

Macro Real Transactional

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

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.

Macro Real Transactional

^GSPC

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
TDW Tidewater Inc.	0.97	1.60	1.20	2.01	4.29
AR Antero Resources Corporation	0.13	0.47	1.05	0.08	0.30
CNX CNX Resources Corporation	1.09	1.65	1.20	1.53	3.33
FTI TechnipFMC plc	1.66	2.24	1.29	3.09	6.97
GORO Gold Resource Corporation	-0.11	0.52	1.06	-0.11	-0.31
ICL ICL Group Ltd	-0.58	-0.68	0.93	-0.30	-0.97
VTI Vanguard Total Stock Market ETF	2.31	3.13	1.41	2.10	10.44
VOO Vanguard S&P 500 ETF	2.43	3.29	1.44	2.60	11.51
STNG Scorpio Tankers Inc.	1.33	2.01	1.23	1.94	7.92
GDX VanEck Vectors Gold Miners ETF	1.25	1.82	1.22	1.10	5.25
VSTO Vista Outdoor Inc.	0.98	1.39	1.24	0.72	3.57
BTU Peabody Energy Corporation	0.26	0.64	1.07	0.26	0.77
ARCH Arch Resources, Inc.	0.01	0.28	1.03	0.01	0.02
EQT EQT Corporation	-0.60	-0.73	0.92	-0.49	-1.21
FCX Freeport-McMoRan Inc.	0.56	1.04	1.12	0.57	1.74
RRC Range Resources Corporation	-0.06	0.14	1.02	-0.07	-0.13
UUUU Energy Fuels Inc.	-0.56	-0.56	0.94	-0.48	-1.06
SWN Southwestern Energy Company	-0.03	0.17	1.02	-0.02	-0.09
PAM Pampa Energía S.A.	0.21	0.69	1.08	0.37	0.75
CRESY Cresud Sociedad Anónima Comercial, Inmobiliaria, Financiera y Agropecuaria	0.16	0.61	1.07	0.26	0.52

Sharpe Ratio

The current Macro Real Transactional Sharpe ratio is 0.18. 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 1.79 to 2.40, 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 Macro Real Transactional 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.

Macro Real Transactional

Benchmark (^GSPC)

Portfolio components

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.

Macro Real Transactional

Benchmark (^GSPC)

Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Macro Real Transactional. 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 Macro Real Transactional was 91.81%, occurring on Mar 16, 2022. Recovery took 5 trading sessions.

The current Macro Real Transactional drawdown is 28.34%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-91.81%	Mar 11, 2022	4	Mar 16, 2022	5	Mar 23, 2022	9
-84.14%	Jun 13, 2022	16	Jul 6, 2022	435	Mar 28, 2024	451
-56.54%	Apr 19, 2022	5	Apr 25, 2022	20	May 23, 2022	25
-49.03%	Feb 28, 2022	5	Mar 4, 2022	4	Mar 10, 2022	9
-42.77%	Mar 28, 2022	2	Mar 29, 2022	3	Apr 1, 2022	5

Volatility

Volatility Chart

The current Macro Real Transactional volatility is 15.97%, 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.

Macro Real Transactional

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.

	GORO	STNG	VSTO	PAM	GDX	ICL	CRESY	TDW	ARCH	UUUU	BTU	FTI	VOO	VTI	FCX	EQT	CNX	RRC	SWN	AR
GORO	1.00	0.13	0.12	0.25	0.64	0.21	0.25	0.27	0.27	0.33	0.25	0.27	0.21	0.23	0.38	0.20	0.23	0.22	0.22	0.24
STNG	0.13	1.00	0.12	0.21	0.12	0.23	0.24	0.36	0.34	0.25	0.34	0.38	0.18	0.19	0.24	0.32	0.36	0.33	0.33	0.36
VSTO	0.12	0.12	1.00	0.23	0.21	0.28	0.26	0.20	0.26	0.32	0.15	0.25	0.51	0.54	0.33	0.26	0.31	0.28	0.29	0.29
PAM	0.25	0.21	0.23	1.00	0.30	0.27	0.66	0.32	0.27	0.31	0.29	0.34	0.33	0.33	0.34	0.26	0.25	0.28	0.28	0.28
GDX	0.64	0.12	0.21	0.30	1.00	0.27	0.33	0.28	0.29	0.41	0.30	0.25	0.31	0.32	0.55	0.28	0.28	0.25	0.27	0.27
ICL	0.21	0.23	0.28	0.27	0.27	1.00	0.31	0.27	0.34	0.29	0.35	0.30	0.43	0.44	0.42	0.35	0.33	0.33	0.36	0.35
CRESY	0.25	0.24	0.26	0.66	0.33	0.31	1.00	0.35	0.28	0.38	0.30	0.35	0.36	0.38	0.41	0.32	0.33	0.30	0.32	0.31
TDW	0.27	0.36	0.20	0.32	0.28	0.27	0.35	1.00	0.41	0.36	0.38	0.63	0.24	0.26	0.35	0.40	0.43	0.44	0.40	0.43
ARCH	0.27	0.34	0.26	0.27	0.29	0.34	0.28	0.41	1.00	0.34	0.73	0.36	0.26	0.28	0.41	0.42	0.43	0.46	0.43	0.46
UUUU	0.33	0.25	0.32	0.31	0.41	0.29	0.38	0.36	0.34	1.00	0.33	0.42	0.50	0.52	0.51	0.34	0.38	0.36	0.38	0.36
BTU	0.25	0.34	0.15	0.29	0.30	0.35	0.30	0.38	0.73	0.33	1.00	0.37	0.24	0.26	0.40	0.46	0.47	0.50	0.46	0.49
FTI	0.27	0.38	0.25	0.34	0.25	0.30	0.35	0.63	0.36	0.42	0.37	1.00	0.34	0.36	0.42	0.41	0.46	0.45	0.45	0.45
VOO	0.21	0.18	0.51	0.33	0.31	0.43	0.36	0.24	0.26	0.50	0.24	0.34	1.00	0.99	0.54	0.37	0.39	0.38	0.42	0.37
VTI	0.23	0.19	0.54	0.33	0.32	0.44	0.38	0.26	0.28	0.52	0.26	0.36	0.99	1.00	0.56	0.38	0.41	0.39	0.43	0.38
FCX	0.38	0.24	0.33	0.34	0.55	0.42	0.41	0.35	0.41	0.51	0.40	0.42	0.54	0.56	1.00	0.43	0.42	0.41	0.45	0.44
EQT	0.20	0.32	0.26	0.26	0.28	0.35	0.32	0.40	0.42	0.34	0.46	0.41	0.37	0.38	0.43	1.00	0.74	0.81	0.81	0.82
CNX	0.23	0.36	0.31	0.25	0.28	0.33	0.33	0.43	0.43	0.38	0.47	0.46	0.39	0.41	0.42	0.74	1.00	0.75	0.74	0.74
RRC	0.22	0.33	0.28	0.28	0.25	0.33	0.30	0.44	0.46	0.36	0.50	0.45	0.38	0.39	0.41	0.81	0.75	1.00	0.82	0.86
SWN	0.22	0.33	0.29	0.28	0.27	0.36	0.32	0.40	0.43	0.38	0.46	0.45	0.42	0.43	0.45	0.81	0.74	0.82	1.00	0.81
AR	0.24	0.36	0.29	0.28	0.27	0.35	0.31	0.43	0.46	0.36	0.49	0.45	0.37	0.38	0.44	0.82	0.74	0.86	0.81	1.00

The correlation results are calculated based on daily price changes starting from Oct 18, 2021