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Maximum Profit, Minimum Ulcers 2024-04-08 20 Stock...
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks

Last updated Sep 20, 2024

High Martin Ratio, high Sortino Ratio, high Calmar Ratio portfolio with various other filters to eliminate anomalies. Maximum profit with minimum ulcers.

Asset Allocation

ANF 5%APP 5%CAMT 5%CEG 5%CLS 5%CNM 5%DELL 5%FTAI 5%GFF 5%LII 5%LLY 5%MMYT 5%MOD 5%NEU 5%PSN 5%SKYW 5%VRT 5%VST 5%WSM 5%XPO 5%EquityEquity
PositionCategory/SectorWeight
ANF
Abercrombie & Fitch Co.		Consumer Cyclical
5%
APP
AppLovin Corporation		Technology
5%
CAMT
Camtek Ltd		Technology
5%
CEG
Constellation Energy Corp		Utilities
5%
CLS
Celestica Inc.		Technology
5%
CNM
Core & Main, Inc.		Industrials
5%
DELL
Dell Technologies Inc.		Technology
5%
FTAI
Fortress Transportation and Infrastructure Investors LLC		Industrials
5%
GFF
Griffon Corporation		Industrials
5%
LII
Lennox International Inc.		Industrials
5%
LLY
Eli Lilly and Company		Healthcare
5%
MMYT
MakeMyTrip Limited		Consumer Cyclical
5%
MOD
Modine Manufacturing Company		Consumer Cyclical
5%
NEU
NewMarket Corporation		Basic Materials
5%
PSN
Parsons Corporation		Industrials
5%
SKYW
SkyWest, Inc.		Industrials
5%
VRT
Vertiv Holdings Co.		Industrials
5%
VST
Vistra Corp.		Utilities
5%
WSM
Williams-Sonoma, Inc.		Consumer Cyclical
5%
XPO
XPO Logistics, Inc.		Industrials
5%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks, 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%15.00%20.00%AprilMayJuneJulyAugustSeptember
18.57%
9.00%
Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 19, 2022, corresponding to the inception date of CEG

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.79%2.08%9.01%29.79%13.85%11.12%
Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks72.44%6.52%18.57%119.03%N/AN/A
Portfolio components:
ANF
Abercrombie & Fitch Co.		57.92%-16.10%1.38%177.25%55.69%16.64%
APP
AppLovin Corporation		211.17%43.22%72.44%215.28%N/AN/A
CAMT
Camtek Ltd		11.53%-21.96%-7.07%38.28%51.20%37.28%
CEG
Constellation Energy Corp		79.33%9.32%20.14%90.78%N/AN/A
CLS
Celestica Inc.		69.77%-8.00%5.65%121.13%46.94%17.33%
CNM
Core & Main, Inc.		10.89%-11.36%-22.58%58.90%N/AN/A
DELL
Dell Technologies Inc.		55.78%6.38%4.03%73.83%36.87%N/A
FTAI
Fortress Transportation and Infrastructure Investors LLC		184.00%13.93%101.75%282.29%66.30%N/A
GFF
Griffon Corporation		15.60%10.75%-4.51%77.16%32.94%23.09%
LII
Lennox International Inc.		38.36%7.61%24.02%66.17%22.52%24.43%
LLY
Eli Lilly and Company		57.74%-3.68%19.17%61.71%53.35%32.70%
MMYT
MakeMyTrip Limited		127.56%14.34%56.00%186.31%34.59%14.40%
MOD
Modine Manufacturing Company		113.57%17.92%24.15%185.94%64.99%26.50%
NEU
NewMarket Corporation		2.85%0.84%-10.65%22.45%5.92%5.39%
PSN
Parsons Corporation		59.34%6.24%20.00%78.59%23.45%N/A
SKYW
SkyWest, Inc.		55.21%10.77%18.42%95.13%6.89%25.54%
VRT
Vertiv Holdings Co.		91.84%20.36%12.18%148.37%55.29%N/A
VST
Vistra Corp.		142.22%16.45%36.00%190.14%31.33%N/A
WSM
Williams-Sonoma, Inc.		50.59%9.05%-3.39%114.04%38.87%19.00%
XPO
XPO Logistics, Inc.		31.64%-2.07%-8.07%67.10%36.03%24.11%

Monthly Returns

The table below presents the monthly returns of Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20247.07%21.48%11.04%-1.66%12.44%1.78%0.22%1.70%72.44%
202312.22%-1.50%1.60%3.59%10.69%16.55%10.80%16.25%0.01%-0.58%13.36%9.20%137.92%
2022-0.85%-4.80%1.09%-6.53%4.05%-9.71%14.31%-3.85%-9.45%11.96%6.57%-6.08%-6.56%

Expense Ratio

Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks 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 Rank

The current risk-adjusted rank of Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks is 97, placing it in the top 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.

The Risk-Adjusted Performance Rank of Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks is 9797
Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks
The Sharpe Ratio Rank of Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks is 9898Sharpe Ratio Rank
The Sortino Ratio Rank of Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks is 9696Sortino Ratio Rank
The Omega Ratio Rank of Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks is 9696Omega Ratio Rank
The Calmar Ratio Rank of Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks is 9898Calmar Ratio Rank
The Martin Ratio Rank of Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks is 9797Martin 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.

Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks
Sharpe ratio
The chart of Sharpe ratio for Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks, currently valued at 4.36, compared to the broader market-1.000.001.002.003.004.004.36
Sortino ratio
The chart of Sortino ratio for Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks, currently valued at 4.64, compared to the broader market-2.000.002.004.006.004.64
Omega ratio
The chart of Omega ratio for Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.801.64
Calmar ratio
The chart of Calmar ratio for Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks, currently valued at 7.66, compared to the broader market0.002.004.006.008.007.66
Martin ratio
The chart of Martin ratio for Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks, currently valued at 28.20, compared to the broader market0.0010.0020.0030.0028.20
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.23, compared to the broader market-1.000.001.002.003.004.002.23
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.00, compared to the broader market-2.000.002.004.006.003.00
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.40, compared to the broader market0.801.001.201.401.601.801.40
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.02, compared to the broader market0.002.004.006.008.002.02
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 13.08, compared to the broader market0.0010.0020.0030.0013.08
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ANF
Abercrombie & Fitch Co.		3.283.371.465.4614.52
APP
AppLovin Corporation		3.664.291.514.1328.57
CAMT
Camtek Ltd		0.681.211.150.802.38
CEG
Constellation Energy Corp		2.052.761.373.289.34
CLS
Celestica Inc.		2.332.651.353.4511.20
CNM
Core & Main, Inc.		1.541.871.311.524.61
DELL
Dell Technologies Inc.		1.312.131.281.453.89
FTAI
Fortress Transportation and Infrastructure Investors LLC		7.145.991.8320.5877.62
GFF
Griffon Corporation		1.902.261.353.029.55
LII
Lennox International Inc.		2.312.841.364.9218.09
LLY
Eli Lilly and Company		2.042.801.373.2912.29
MMYT
MakeMyTrip Limited		4.043.961.549.3928.82
MOD
Modine Manufacturing Company		3.163.151.457.8820.19
NEU
NewMarket Corporation		0.911.521.201.092.24
PSN
Parsons Corporation		2.755.151.656.4517.49
SKYW
SkyWest, Inc.		2.733.361.444.2714.46
VRT
Vertiv Holdings Co.		2.732.861.384.0511.51
VST
Vistra Corp.		4.053.871.555.4514.94
WSM
Williams-Sonoma, Inc.		2.563.131.445.4614.72
XPO
XPO Logistics, Inc.		1.532.431.293.146.55

Sharpe Ratio

The current Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks Sharpe ratio is 4.36. 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 1.88 to 2.55, 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 Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks 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 Ratio2.004.006.008.0010.0012.00AprilMayJuneJulyAugustSeptember
4.36
2.23
Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks granted a 0.54% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks0.54%0.84%1.40%0.72%0.89%1.22%1.81%1.18%2.06%0.81%0.60%0.61%
Portfolio components:
ANF
Abercrombie & Fitch Co.		0.00%0.00%0.00%0.00%0.98%4.63%3.99%4.59%6.67%2.96%2.79%2.43%
APP
AppLovin 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%
CAMT
Camtek Ltd		1.75%0.00%0.00%0.00%0.00%1.57%2.07%2.45%0.00%0.00%0.00%0.00%
CEG
Constellation Energy Corp		0.64%0.97%0.65%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CLS
Celestica 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%
CNM
Core & Main, 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%
DELL
Dell Technologies Inc.		1.38%1.88%2.46%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FTAI
Fortress Transportation and Infrastructure Investors LLC		0.92%2.59%6.97%4.56%5.63%6.76%9.21%6.62%9.93%4.26%0.00%0.00%
GFF
Griffon Corporation		0.86%4.09%6.59%1.16%1.35%1.25%12.01%1.23%0.70%0.79%0.81%0.66%
LII
Lennox International Inc.		0.54%0.97%1.71%1.09%1.12%1.21%1.11%0.94%1.08%1.10%1.20%1.08%
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%
MMYT
MakeMyTrip Limited		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MOD
Modine Manufacturing Company		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NEU
NewMarket Corporation		1.76%1.62%2.70%2.33%1.91%1.50%1.70%1.76%1.51%1.52%1.16%1.14%
PSN
Parsons 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%
SKYW
SkyWest, Inc.		0.00%0.00%0.00%0.00%0.35%0.74%0.90%0.60%0.66%0.84%1.51%1.08%
VRT
Vertiv Holdings Co.		0.11%0.05%0.07%0.04%0.05%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VST
Vistra Corp.		0.93%2.13%3.12%2.64%2.75%2.17%0.00%0.00%14.97%0.00%0.00%0.00%
WSM
Williams-Sonoma, Inc.		1.36%1.72%2.65%1.43%1.93%2.55%3.33%2.98%3.02%2.36%1.72%1.97%
XPO
XPO Logistics, 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. Drawdowns are calculated considering price movements and all distributions paid, if any.

-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember00
Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks. 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 Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks was 20.58%, occurring on Jun 16, 2022. Recovery took 39 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-20.58%Feb 10, 202288Jun 16, 202239Aug 12, 2022127
-18.88%Aug 17, 202232Sep 30, 202277Jan 23, 2023109
-15.53%Jul 17, 202416Aug 7, 202430Sep 19, 202446
-10.44%Feb 3, 202330Mar 17, 202332May 3, 202362
-9.73%Apr 8, 202410Apr 19, 202411May 6, 202421

Volatility

Volatility Chart

The current Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks volatility is 9.96%, 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%4.00%6.00%8.00%10.00%12.00%14.00%AprilMayJuneJulyAugustSeptember
9.96%
4.31%
Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks
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.
LLYCEGNEUPSNMMYTVSTANFAPPFTAICAMTWSMDELLSKYWCLSGFFMODXPOLIICNMVRT
LLY1.000.260.200.320.110.200.180.200.190.170.140.230.160.210.140.190.180.210.220.25
CEG0.261.000.250.320.260.540.260.310.300.280.320.360.260.380.320.340.340.350.370.37
NEU0.200.251.000.360.210.300.300.230.360.260.370.300.330.300.480.400.350.450.420.33
PSN0.320.320.361.000.190.320.250.300.340.290.280.330.370.340.350.360.360.390.390.38
MMYT0.110.260.210.191.000.320.330.390.380.410.380.370.390.380.360.420.400.360.380.44
VST0.200.540.300.320.321.000.300.290.360.290.340.360.330.350.400.350.340.390.370.41
ANF0.180.260.300.250.330.301.000.410.340.410.470.420.380.390.360.380.360.370.390.45
APP0.200.310.230.300.390.290.411.000.390.460.440.360.400.440.380.370.460.460.440.51
FTAI0.190.300.360.340.380.360.340.391.000.380.320.430.480.450.460.450.440.390.480.43
CAMT0.170.280.260.290.410.290.410.460.381.000.370.500.380.520.370.450.450.430.460.52
WSM0.140.320.370.280.380.340.470.440.320.371.000.370.440.360.480.440.470.540.500.45
DELL0.230.360.300.330.370.360.420.360.430.500.371.000.380.530.420.440.410.390.410.51
SKYW0.160.260.330.370.390.330.380.400.480.380.440.381.000.430.480.420.520.450.460.49
CLS0.210.380.300.340.380.350.390.440.450.520.360.530.431.000.420.500.450.450.480.55
GFF0.140.320.480.350.360.400.360.380.460.370.480.420.480.421.000.480.500.580.540.44
MOD0.190.340.400.360.420.350.380.370.450.450.440.440.420.500.481.000.480.520.520.53
XPO0.180.340.350.360.400.340.360.460.440.450.470.410.520.450.500.481.000.520.530.52
LII0.210.350.450.390.360.390.370.460.390.430.540.390.450.450.580.520.521.000.620.54
CNM0.220.370.420.390.380.370.390.440.480.460.500.410.460.480.540.520.530.621.000.53
VRT0.250.370.330.380.440.410.450.510.430.520.450.510.490.550.440.530.520.540.531.00
The correlation results are calculated based on daily price changes starting from Jan 20, 2022