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Engineering/Construction
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Risk-Adjusted Performance
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Engineering/Construction

Last updated Nov 13, 2024

Asset Allocation

PWR 6.67%J 6.67%EME 6.67%BLD 6.67%ACM 6.67%FIX 6.67%TTEK 6.67%STN 6.67%KBR 6.67%MTZ 6.67%FLR 6.67%APG 6.67%EXPO 6.67%DY 6.67%ROAD 6.67%EquityEquity
PositionCategory/SectorWeight
ACM
AECOM		Industrials
6.67%
APG
APi Group Corporation		Industrials
6.67%
BLD
TopBuild Corp.		Industrials
6.67%
DY
Dycom Industries, Inc.		Industrials
6.67%
EME
EMCOR Group, Inc.		Industrials
6.67%
EXPO
Exponent, Inc.		Industrials
6.67%
FIX
Comfort Systems USA, Inc.		Industrials
6.67%
FLR
Fluor Corporation		Industrials
6.67%
J
Jacobs Engineering Group Inc.		Industrials
6.67%
KBR
KBR, Inc.		Industrials
6.67%
MTZ
MasTec, Inc.		Industrials
6.67%
PWR
Quanta Services, Inc.		Industrials
6.67%
ROAD
Construction Partners, Inc.		Industrials
6.67%
STN
Stantec Inc		Industrials
6.67%
TTEK
Tetra Tech, Inc.		Industrials
6.67%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Engineering/Construction, 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

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
21.46%
14.05%
Engineering/Construction
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 29, 2020, corresponding to the inception date of APG

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.45%2.91%14.05%35.64%14.13%11.39%
Engineering/Construction48.65%4.35%20.15%66.39%N/AN/A
Portfolio components:
PWR
Quanta Services, Inc.		51.81%5.24%20.94%79.24%51.38%26.02%
J
Jacobs Engineering Group Inc.		36.96%5.80%28.79%29.72%14.29%14.85%
EME
EMCOR Group, Inc.		139.29%13.65%33.48%136.91%42.25%28.34%
BLD
TopBuild Corp.		-3.81%-10.25%-16.18%24.73%26.97%N/A
ACM
AECOM		22.50%5.45%23.71%31.05%21.57%13.59%
FIX
Comfort Systems USA, Inc.		125.72%10.47%36.49%130.55%56.85%42.14%
TTEK
Tetra Tech, Inc.		45.14%-1.53%11.35%50.75%24.84%27.59%
STN
Stantec Inc		3.13%-2.47%0.93%17.42%27.53%11.93%
KBR
KBR, Inc.		29.99%2.94%8.98%36.14%20.50%16.03%
MTZ
MasTec, Inc.		84.54%11.40%30.60%170.43%14.60%18.76%
FLR
Fluor Corporation		23.82%-6.03%26.27%28.51%22.12%-1.75%
APG
APi Group Corporation		6.82%10.72%-0.56%27.58%N/AN/A
EXPO
Exponent, Inc.		18.04%-8.92%8.57%32.87%11.57%19.28%
DY
Dycom Industries, Inc.		64.43%0.21%26.18%118.83%30.80%21.61%
ROAD
Construction Partners, Inc.		117.16%26.88%65.11%120.82%37.81%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.36%12.62%9.37%-1.90%6.49%-2.68%7.63%1.07%3.50%0.41%48.65%
20237.30%2.33%-0.83%-0.54%-0.23%13.52%1.72%2.33%-5.85%-4.85%9.73%9.79%37.80%
2022-11.06%0.52%6.98%-8.72%2.06%-6.22%13.21%-1.86%-9.46%15.67%4.58%-2.91%-1.29%
20211.74%8.22%12.13%4.44%-2.62%-3.17%2.15%3.29%-2.51%11.66%3.49%2.67%48.38%
2020-4.35%7.86%3.32%3.03%10.14%-2.69%5.64%17.40%6.52%55.49%

Expense Ratio

Engineering/Construction 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 Engineering/Construction is 89, placing it in the top 11% 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 Engineering/Construction is 8989
Combined Rank
The Sharpe Ratio Rank of Engineering/Construction is 9393Sharpe Ratio Rank
The Sortino Ratio Rank of Engineering/Construction is 8383Sortino Ratio Rank
The Omega Ratio Rank of Engineering/Construction is 7979Omega Ratio Rank
The Calmar Ratio Rank of Engineering/Construction is 9797Calmar Ratio Rank
The Martin Ratio Rank of Engineering/Construction is 9595Martin 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.

Engineering/Construction
Sharpe ratio
The chart of Sharpe ratio for Engineering/Construction, currently valued at 3.49, compared to the broader market0.002.004.006.003.49
Sortino ratio
The chart of Sortino ratio for Engineering/Construction, currently valued at 4.25, compared to the broader market-2.000.002.004.006.004.25
Omega ratio
The chart of Omega ratio for Engineering/Construction, currently valued at 1.56, compared to the broader market0.801.001.201.401.601.802.001.56
Calmar ratio
The chart of Calmar ratio for Engineering/Construction, currently valued at 8.42, compared to the broader market0.005.0010.0015.008.42
Martin ratio
The chart of Martin ratio for Engineering/Construction, currently valued at 27.87, compared to the broader market0.0010.0020.0030.0040.0050.0060.0027.87
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.90, compared to the broader market0.002.004.006.002.90
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.87, compared to the broader market-2.000.002.004.006.003.87
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.802.001.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.19, compared to the broader market0.005.0010.0015.004.19
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.72, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.72
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
PWR
Quanta Services, Inc.		2.783.551.485.2016.75
J
Jacobs Engineering Group Inc.		1.531.951.292.035.79
EME
EMCOR Group, Inc.		4.714.821.739.9031.76
BLD
TopBuild Corp.		0.821.401.171.242.70
ACM
AECOM		1.862.771.342.587.09
FIX
Comfort Systems USA, Inc.		3.343.501.509.3524.62
TTEK
Tetra Tech, Inc.		2.223.021.413.5816.71
STN
Stantec Inc		0.991.531.181.644.10
KBR
KBR, Inc.		1.902.381.341.658.84
MTZ
MasTec, Inc.		4.424.691.593.0733.19
FLR
Fluor Corporation		0.951.381.211.925.40
APG
APi Group Corporation		1.081.531.201.553.59
EXPO
Exponent, Inc.		1.181.841.281.035.48
DY
Dycom Industries, Inc.		3.444.341.574.0626.84
ROAD
Construction Partners, Inc.		3.313.801.489.7621.70

Sharpe Ratio

The current Engineering/Construction Sharpe ratio is 3.49. 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 2.07 to 2.98, 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 Engineering/Construction 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 Ratio1.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
3.49
2.90
Engineering/Construction
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Engineering/Construction provided a 0.34% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.34%0.44%0.46%0.39%0.51%0.78%0.97%0.80%0.60%0.59%0.78%0.34%
Portfolio components:
PWR
Quanta Services, Inc.		0.11%0.15%0.25%0.16%0.29%0.42%0.13%0.00%0.00%0.00%0.00%0.00%
J
Jacobs Engineering Group Inc.		0.76%0.84%0.84%0.69%0.80%0.87%1.08%1.09%0.00%0.00%0.00%0.00%
EME
EMCOR Group, Inc.		0.18%0.32%0.36%0.41%0.35%0.37%0.54%0.39%0.45%0.67%0.72%0.42%
BLD
TopBuild Corp.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ACM
AECOM		0.78%0.78%0.71%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
FIX
Comfort Systems USA, Inc.		0.24%0.41%0.49%0.49%0.81%0.79%0.76%0.68%0.83%0.88%1.31%1.08%
TTEK
Tetra Tech, Inc.		0.46%1.23%1.25%1.33%1.16%1.36%4.44%4.05%1.65%1.19%3.93%0.00%
STN
Stantec Inc		0.74%0.73%1.14%1.23%1.42%2.06%1.91%1.38%1.34%1.31%1.21%1.02%
KBR
KBR, Inc.		0.82%0.97%0.91%0.92%1.29%1.05%2.11%1.61%1.92%1.89%1.89%1.00%
MTZ
MasTec, 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%
FLR
Fluor Corporation		0.00%0.00%0.00%0.00%0.63%3.87%2.61%1.63%1.60%1.78%1.39%0.80%
APG
APi Group 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%
EXPO
Exponent, Inc.		1.07%1.18%0.97%0.69%0.84%0.93%1.03%1.18%1.19%1.20%1.21%0.78%
DY
Dycom Industries, 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%
ROAD
Construction Partners, 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.

-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-1.22%
-0.29%
Engineering/Construction
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Engineering/Construction. 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 Engineering/Construction was 24.57%, occurring on Jun 16, 2022. Recovery took 144 trading sessions.

The current Engineering/Construction drawdown is 1.22%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.57%Nov 24, 2021141Jun 16, 2022144Jan 12, 2023285
-17.82%Apr 30, 202010May 13, 20208May 26, 202018
-14.01%Jun 9, 202022Jul 9, 202019Aug 5, 202041
-12.94%Sep 5, 202339Oct 27, 202329Dec 8, 202368
-12.85%May 10, 202149Jul 19, 202166Oct 20, 2021115

Volatility

Volatility Chart

The current Engineering/Construction volatility is 6.28%, 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%JuneJulyAugustSeptemberOctoberNovember
6.28%
3.86%
Engineering/Construction
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.
STNROADBLDFLREXPOAPGTTEKKBRDYJMTZFIXACMPWREME
STN1.000.350.400.360.400.400.420.380.350.450.370.430.450.440.42
ROAD0.351.000.400.490.410.450.430.430.460.440.490.530.500.540.54
BLD0.400.401.000.380.460.510.470.410.460.470.480.560.490.530.52
FLR0.360.490.381.000.380.410.410.500.460.490.500.490.610.530.55
EXPO0.400.410.460.381.000.450.570.490.460.520.460.510.500.490.52
APG0.400.450.510.410.451.000.470.430.460.490.510.560.540.550.53
TTEK0.420.430.470.410.570.471.000.500.460.500.470.520.550.530.52
KBR0.380.430.410.500.490.430.501.000.480.580.510.510.610.560.55
DY0.350.460.460.460.460.460.460.481.000.480.680.550.540.590.59
J0.450.440.470.490.520.490.500.580.481.000.490.530.610.580.57
MTZ0.370.490.480.500.460.510.470.510.680.491.000.600.580.640.60
FIX0.430.530.560.490.510.560.520.510.550.530.601.000.580.650.74
ACM0.450.500.490.610.500.540.550.610.540.610.580.581.000.670.64
PWR0.440.540.530.530.490.550.530.560.590.580.640.650.671.000.65
EME0.420.540.520.550.520.530.520.550.590.570.600.740.640.651.00
The correlation results are calculated based on daily price changes starting from Apr 30, 2020