test
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ADBE Adobe Inc | Technology | 6.67% |
ANET Arista Networks, Inc. | Technology | 6.67% |
ASML ASML Holding N.V. | Technology | 6.67% |
CME CME Group Inc. | Financial Services | 6.67% |
CPRT Copart, Inc. | Industrials | 6.67% |
ETSY Etsy, Inc. | Consumer Cyclical | 6.67% |
FDS FactSet Research Systems Inc. | Financial Services | 6.67% |
IBKR Interactive Brokers Group, Inc. | Financial Services | 6.67% |
MA Mastercard Inc | Financial Services | 6.67% |
MBG.DE Mercedes-Benz Group AG | Consumer Cyclical | 6.67% |
NVO Novo Nordisk A/S | Healthcare | 6.67% |
PFE Pfizer Inc. | Healthcare | 6.67% |
PINS Pinterest, Inc. | Communication Services | 6.67% |
RACE Ferrari N.V. | Consumer Cyclical | 6.67% |
WM Waste Management, Inc. | Industrials | 6.67% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in test, 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
The earliest data available for this chart is Apr 18, 2019, corresponding to the inception date of PINS
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.48% | 2.14% | 12.76% | 33.14% | 13.96% | 11.39% |
| test | 12.87% | -1.71% | 0.10% | 19.14% | 21.46% | N/A |
| Portfolio components: | ||||||
MA Mastercard Inc | 23.07% | 3.00% | 14.27% | 32.00% | 13.49% | 20.82% |
ASML ASML Holding N.V. | -10.32% | -22.62% | -27.86% | 0.50% | 20.17% | 22.01% |
MBG.DE Mercedes-Benz Group AG | -15.11% | -13.77% | -27.63% | -7.12% | 8.87% | 6.04% |
RACE Ferrari N.V. | 30.81% | -8.21% | 5.44% | 25.15% | 21.61% | N/A |
WM Waste Management, Inc. | 27.39% | 5.70% | 8.77% | 33.09% | 16.53% | 18.93% |
NVO Novo Nordisk A/S | 4.48% | -10.74% | -20.31% | 8.96% | 31.37% | 19.50% |
ETSY Etsy, Inc. | -34.08% | 7.70% | -17.25% | -21.86% | 4.81% | N/A |
PFE Pfizer Inc. | -1.52% | -6.69% | -4.52% | -3.10% | -1.26% | 3.28% |
CME CME Group Inc. | 10.10% | 1.76% | 10.75% | 12.82% | 6.04% | 14.94% |
IBKR Interactive Brokers Group, Inc. | 116.55% | 18.08% | 47.00% | 125.74% | 30.87% | 21.73% |
PINS Pinterest, Inc. | -19.06% | -11.77% | -29.36% | -6.81% | 8.72% | N/A |
FDS FactSet Research Systems Inc. | 3.63% | 6.27% | 10.77% | 7.84% | 14.70% | 14.87% |
CPRT Copart, Inc. | 18.22% | 4.85% | 4.74% | 16.58% | 21.36% | 29.86% |
ADBE Adobe Inc | -10.74% | 4.48% | 9.71% | -11.89% | 12.04% | 22.30% |
ANET Arista Networks, Inc. | 67.79% | -4.43% | 21.20% | 83.62% | 50.86% | 35.24% |
Monthly Returns
The table below presents the monthly returns of test, 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 | 2.04% | 7.38% | 1.38% | -4.85% | 3.96% | 2.98% | -2.17% | 2.83% | -0.97% | -2.25% | 12.87% | ||
| 2023 | 7.53% | -0.96% | 5.82% | -2.07% | 0.54% | 5.84% | 2.76% | -0.22% | -4.79% | 0.56% | 9.79% | 3.00% | 30.37% |
| 2022 | -10.24% | -3.94% | 0.83% | -7.99% | -1.70% | -7.23% | 11.78% | -2.66% | -7.54% | 8.19% | 12.38% | -5.15% | -15.36% |
| 2021 | -1.93% | 4.79% | 2.88% | 3.95% | 0.51% | 4.39% | 2.38% | 2.35% | -4.20% | 9.78% | 3.24% | 1.44% | 33.09% |
| 2020 | 4.45% | -5.49% | -11.82% | 14.30% | 8.40% | 3.94% | 11.38% | 5.41% | -0.88% | -1.34% | 16.55% | 5.18% | 57.79% |
| 2019 | 3.75% | -4.54% | 6.11% | 0.39% | -1.95% | -0.47% | 0.62% | -0.42% | 1.88% | 5.12% |
Expense Ratio
test 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of test is 13, indicating that it is in the bottom 13% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
MA Mastercard Inc | 1.79 | 2.40 | 1.33 | 2.36 | 5.79 |
ASML ASML Holding N.V. | -0.02 | 0.27 | 1.04 | -0.02 | -0.05 |
MBG.DE Mercedes-Benz Group AG | -0.32 | -0.27 | 0.96 | -0.26 | -0.68 |
RACE Ferrari N.V. | 0.78 | 1.33 | 1.17 | 1.79 | 4.19 |
WM Waste Management, Inc. | 1.88 | 2.44 | 1.42 | 2.82 | 8.09 |
NVO Novo Nordisk A/S | 0.16 | 0.45 | 1.06 | 0.17 | 0.47 |
ETSY Etsy, Inc. | -0.60 | -0.64 | 0.92 | -0.30 | -0.89 |
PFE Pfizer Inc. | -0.27 | -0.23 | 0.97 | -0.12 | -0.81 |
CME CME Group Inc. | 0.65 | 1.00 | 1.12 | 0.71 | 1.97 |
IBKR Interactive Brokers Group, Inc. | 4.66 | 5.38 | 1.75 | 6.43 | 34.51 |
PINS Pinterest, Inc. | -0.14 | 0.09 | 1.01 | -0.08 | -0.30 |
FDS FactSet Research Systems Inc. | 0.39 | 0.65 | 1.09 | 0.44 | 0.83 |
CPRT Copart, Inc. | 0.68 | 1.05 | 1.13 | 0.90 | 1.85 |
ADBE Adobe Inc | -0.42 | -0.38 | 0.95 | -0.39 | -0.82 |
ANET Arista Networks, Inc. | 2.09 | 2.64 | 1.37 | 4.10 | 12.48 |
Dividends
Dividend yield
test provided a 1.79% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.79% | 1.63% | 1.54% | 0.86% | 1.06% | 1.50% | 1.61% | 1.41% | 1.69% | 1.36% | 1.35% | 1.46% |
| Portfolio components: | ||||||||||||
MA Mastercard Inc | 0.51% | 0.53% | 0.56% | 0.49% | 0.45% | 0.44% | 0.53% | 0.58% | 0.74% | 0.66% | 0.51% | 0.25% |
ASML ASML Holding N.V. | 1.00% | 0.85% | 1.27% | 0.50% | 0.59% | 1.20% | 1.10% | 0.75% | 1.02% | 0.91% | 0.77% | 0.75% |
MBG.DE Mercedes-Benz Group AG | 10.24% | 8.31% | 8.14% | 2.00% | 1.87% | 7.91% | 9.56% | 5.52% | 5.53% | 3.80% | 3.92% | 4.21% |
RACE Ferrari N.V. | 0.59% | 0.59% | 0.69% | 0.40% | 0.54% | 0.70% | 0.88% | 0.65% | 0.89% | 0.00% | 0.00% | 0.00% |
WM Waste Management, Inc. | 1.31% | 1.56% | 1.66% | 1.38% | 1.85% | 1.80% | 2.09% | 1.97% | 2.31% | 2.89% | 2.92% | 3.25% |
NVO Novo Nordisk A/S | 1.35% | 1.00% | 1.20% | 1.34% | 1.86% | 2.14% | 2.47% | 2.12% | 3.93% | 1.31% | 1.96% | 1.72% |
ETSY Etsy, 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% |
PFE Pfizer Inc. | 6.29% | 5.70% | 3.12% | 2.64% | 3.92% | 3.68% | 3.12% | 3.54% | 3.70% | 3.48% | 3.34% | 3.14% |
CME CME Group Inc. | 4.30% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% | 4.38% | 5.61% |
IBKR Interactive Brokers Group, Inc. | 0.39% | 0.48% | 0.55% | 0.50% | 0.66% | 0.86% | 0.73% | 0.68% | 1.10% | 0.92% | 1.37% | 1.64% |
PINS Pinterest, 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% |
FDS FactSet Research Systems Inc. | 0.82% | 0.80% | 0.87% | 0.66% | 0.91% | 1.04% | 1.24% | 1.13% | 1.19% | 1.05% | 1.08% | 1.25% |
CPRT Copart, 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% |
ADBE Adobe 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% |
ANET Arista 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% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the test. 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 test was 33.03%, occurring on Mar 23, 2020. Recovery took 53 trading sessions.
The current test drawdown is 2.62%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -33.03% | Feb 20, 2020 | 23 | Mar 23, 2020 | 53 | Jun 5, 2020 | 76 |
| -31.46% | Nov 19, 2021 | 148 | Jun 16, 2022 | 366 | Nov 14, 2023 | 514 |
| -9.7% | Jul 17, 2024 | 16 | Aug 7, 2024 | — | — | — |
| -8.25% | Jul 29, 2019 | 48 | Oct 2, 2019 | 71 | Jan 13, 2020 | 119 |
| -7.19% | Oct 13, 2020 | 12 | Oct 28, 2020 | 5 | Nov 4, 2020 | 17 |
Volatility
Volatility Chart
The current test volatility is 2.91%, 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.
Diversification
Asset Correlations Table
| PFE | MBG.DE | CME | NVO | WM | ETSY | IBKR | PINS | ANET | FDS | RACE | MA | ASML | ADBE | CPRT | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| PFE | 1.00 | 0.18 | 0.24 | 0.26 | 0.30 | 0.17 | 0.14 | 0.13 | 0.17 | 0.26 | 0.20 | 0.25 | 0.19 | 0.19 | 0.20 |
| MBG.DE | 0.18 | 1.00 | 0.11 | 0.11 | 0.16 | 0.18 | 0.30 | 0.20 | 0.25 | 0.20 | 0.41 | 0.32 | 0.38 | 0.20 | 0.28 |
| CME | 0.24 | 0.11 | 1.00 | 0.19 | 0.39 | 0.10 | 0.31 | 0.14 | 0.18 | 0.38 | 0.23 | 0.37 | 0.20 | 0.23 | 0.28 |
| NVO | 0.26 | 0.11 | 0.19 | 1.00 | 0.25 | 0.20 | 0.18 | 0.20 | 0.26 | 0.29 | 0.31 | 0.27 | 0.33 | 0.33 | 0.30 |
| WM | 0.30 | 0.16 | 0.39 | 0.25 | 1.00 | 0.14 | 0.25 | 0.12 | 0.22 | 0.43 | 0.29 | 0.41 | 0.23 | 0.27 | 0.39 |
| ETSY | 0.17 | 0.18 | 0.10 | 0.20 | 0.14 | 1.00 | 0.25 | 0.46 | 0.32 | 0.34 | 0.33 | 0.31 | 0.41 | 0.48 | 0.42 |
| IBKR | 0.14 | 0.30 | 0.31 | 0.18 | 0.25 | 0.25 | 1.00 | 0.31 | 0.33 | 0.33 | 0.33 | 0.40 | 0.35 | 0.31 | 0.37 |
| PINS | 0.13 | 0.20 | 0.14 | 0.20 | 0.12 | 0.46 | 0.31 | 1.00 | 0.40 | 0.30 | 0.35 | 0.37 | 0.42 | 0.50 | 0.43 |
| ANET | 0.17 | 0.25 | 0.18 | 0.26 | 0.22 | 0.32 | 0.33 | 0.40 | 1.00 | 0.38 | 0.43 | 0.44 | 0.56 | 0.54 | 0.52 |
| FDS | 0.26 | 0.20 | 0.38 | 0.29 | 0.43 | 0.34 | 0.33 | 0.30 | 0.38 | 1.00 | 0.42 | 0.45 | 0.42 | 0.48 | 0.49 |
| RACE | 0.20 | 0.41 | 0.23 | 0.31 | 0.29 | 0.33 | 0.33 | 0.35 | 0.43 | 0.42 | 1.00 | 0.48 | 0.56 | 0.48 | 0.50 |
| MA | 0.25 | 0.32 | 0.37 | 0.27 | 0.41 | 0.31 | 0.40 | 0.37 | 0.44 | 0.45 | 0.48 | 1.00 | 0.49 | 0.54 | 0.54 |
| ASML | 0.19 | 0.38 | 0.20 | 0.33 | 0.23 | 0.41 | 0.35 | 0.42 | 0.56 | 0.42 | 0.56 | 0.49 | 1.00 | 0.59 | 0.54 |
| ADBE | 0.19 | 0.20 | 0.23 | 0.33 | 0.27 | 0.48 | 0.31 | 0.50 | 0.54 | 0.48 | 0.48 | 0.54 | 0.59 | 1.00 | 0.54 |
| CPRT | 0.20 | 0.28 | 0.28 | 0.30 | 0.39 | 0.42 | 0.37 | 0.43 | 0.52 | 0.49 | 0.50 | 0.54 | 0.54 | 0.54 | 1.00 |