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Beta Top to Bottom
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Beta Top to Bottom

Last updated Aug 30, 2024

Asset Allocation

FCN 4%REGN 4%GIS 4%BNTX 4%NBTX 4%LLY 4%PGR 4%HSY 4%YUMC 4%BCH 4%NVO 4%K 4%MCK 4%MOH 4%EDU 4%MFG 4%HUM 4%TMUS 4%WMT 4%NEE 4%CI 4%PEN 4%QLYS 4%UNH 4%COLD 4%EquityEquity
PositionCategory/SectorWeight
BCH
Banco de Chile		Financial Services
4%
BNTX
BioNTech SE		Healthcare
4%
CI
Cigna Corporation		Healthcare
4%
COLD
Americold Realty Trust		Real Estate
4%
EDU
New Oriental Education & Technology Group Inc.		Consumer Defensive
4%
FCN
FTI Consulting, Inc.		Industrials
4%
GIS
General Mills, Inc.		Consumer Defensive
4%
HSY
The Hershey Company		Consumer Defensive
4%
HUM
Humana Inc.		Healthcare
4%
K
Kellogg Company		Consumer Defensive
4%
LLY
Eli Lilly and Company		Healthcare
4%
MCK
McKesson Corporation		Healthcare
4%
MFG
Mizuho Financial Group, Inc.		Financial Services
4%
MOH
Molina Healthcare, Inc.		Healthcare
4%
NBTX
Nanobiotix S.A.		Healthcare
4%
NEE
NextEra Energy, Inc.		Utilities
4%
NVO
Novo Nordisk A/S		Healthcare
4%
PEN
Penumbra, Inc.		Healthcare
4%
PGR
The Progressive Corporation		Financial Services
4%
QLYS
Qualys, Inc.		Technology
4%
REGN
4%
TMUS
4%
UNH
4%
WMT
4%
YUMC
4%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Beta Top to Bottom, 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%AprilMayJuneJulyAugust
8.48%
9.96%
Beta Top to Bottom
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 11, 2020, corresponding to the inception date of NBTX

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		18.42%2.28%9.95%25.31%14.08%10.95%
Beta Top to Bottom12.05%5.07%8.48%16.22%N/AN/A
Portfolio components:
FCN
FTI Consulting, Inc.		14.64%4.74%11.70%22.87%16.15%19.93%
REGN
34.23%9.24%19.95%42.64%N/AN/A
GIS
General Mills, Inc.		14.04%7.67%15.12%10.84%9.62%6.64%
BNTX
BioNTech SE		-16.41%2.34%-2.99%-27.05%N/AN/A
NBTX
Nanobiotix S.A.		-22.73%3.78%-12.79%-38.46%N/AN/A
LLY
Eli Lilly and Company		62.08%17.06%20.58%70.79%55.05%33.57%
PGR
The Progressive Corporation		57.90%16.76%33.23%88.57%29.98%29.12%
HSY
The Hershey Company		5.73%-1.55%4.08%-7.69%6.25%10.23%
YUMC
-20.09%11.21%-21.05%-36.66%N/AN/A
BCH
Banco de Chile		17.61%5.06%17.10%24.40%4.13%6.77%
NVO
Novo Nordisk A/S		34.12%4.08%11.69%49.50%39.83%19.73%
K
Kellogg Company		46.85%38.49%48.25%44.87%8.28%4.34%
MCK
McKesson Corporation		20.40%-9.87%5.87%35.37%33.12%11.93%
MOH
Molina Healthcare, Inc.		-2.98%2.72%-9.47%13.04%21.95%22.08%
EDU
New Oriental Education & Technology Group Inc.		-16.10%-2.13%-35.99%13.35%-11.54%10.78%
MFG
Mizuho Financial Group, Inc.		23.96%-9.31%11.63%32.53%12.56%5.29%
HUM
Humana Inc.		-22.19%-1.97%1.20%-22.54%5.36%11.58%
TMUS
25.77%9.77%22.94%48.64%N/AN/A
WMT
46.84%11.65%31.32%42.89%N/AN/A
NEE
NextEra Energy, Inc.		33.83%4.77%45.89%22.67%10.29%15.38%
CI
Cigna Corporation		21.58%3.55%9.34%32.99%20.09%15.07%
PEN
Penumbra, Inc.		-19.54%21.13%-14.48%-23.48%6.83%N/A
QLYS
Qualys, Inc.		-35.95%-15.71%-25.14%-19.24%9.59%17.89%
UNH
13.29%2.67%21.84%26.06%N/AN/A
COLD
Americold Realty Trust		-2.48%-2.98%12.50%-10.99%-1.76%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.03%2.61%2.84%-3.76%5.29%-3.16%3.04%12.05%
20232.67%-3.03%2.86%0.80%0.23%3.64%4.01%1.54%-1.09%-0.31%3.15%1.97%17.47%
2022-6.26%1.72%4.11%-3.38%1.26%1.40%3.86%2.56%-3.12%5.51%6.02%-0.64%12.95%
20213.65%-1.64%4.30%6.00%0.36%0.21%0.28%1.08%-5.40%4.14%-0.92%4.46%17.16%
20201.68%1.68%

Expense Ratio

Beta Top to Bottom 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 rank of Beta Top to Bottom is 35, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of Beta Top to Bottom is 3535
Beta Top to Bottom
The Sharpe Ratio Rank of Beta Top to Bottom is 2323Sharpe Ratio Rank
The Sortino Ratio Rank of Beta Top to Bottom is 2525Sortino Ratio Rank
The Omega Ratio Rank of Beta Top to Bottom is 2222Omega Ratio Rank
The Calmar Ratio Rank of Beta Top to Bottom is 7676Calmar Ratio Rank
The Martin Ratio Rank of Beta Top to Bottom is 2929Martin 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.

Beta Top to Bottom
Sharpe ratio
The chart of Sharpe ratio for Beta Top to Bottom, currently valued at 1.47, compared to the broader market-1.000.001.002.003.004.001.47
Sortino ratio
The chart of Sortino ratio for Beta Top to Bottom, currently valued at 2.15, compared to the broader market-2.000.002.004.002.15
Omega ratio
The chart of Omega ratio for Beta Top to Bottom, currently valued at 1.26, compared to the broader market0.801.001.201.401.601.26
Calmar ratio
The chart of Calmar ratio for Beta Top to Bottom, currently valued at 2.56, compared to the broader market0.002.004.006.008.002.56
Martin ratio
The chart of Martin ratio for Beta Top to Bottom, currently valued at 6.80, compared to the broader market0.005.0010.0015.0020.0025.0030.006.80
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.02, compared to the broader market-1.000.001.002.003.004.002.02
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market-2.000.002.004.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.36, compared to the broader market0.801.001.201.401.601.36
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.77, compared to the broader market0.002.004.006.008.001.77
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.33, compared to the broader market0.005.0010.0015.0020.0025.0030.009.33
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
FCN
FTI Consulting, Inc.		0.671.541.191.112.51
REGN
2.393.471.413.7211.92
GIS
General Mills, Inc.		0.510.841.100.321.98
BNTX
BioNTech SE		-0.84-1.190.87-0.36-1.27
NBTX
Nanobiotix S.A.		-0.51-0.360.96-0.49-1.04
LLY
Eli Lilly and Company		2.413.191.433.8813.65
PGR
The Progressive Corporation		4.165.501.738.4837.44
HSY
The Hershey Company		-0.43-0.490.95-0.26-0.91
YUMC
-1.01-1.440.82-0.65-1.14
BCH
Banco de Chile		1.051.501.191.384.65
NVO
Novo Nordisk A/S		1.572.291.282.528.53
K
Kellogg Company		1.572.931.361.387.39
MCK
McKesson Corporation		1.591.861.322.308.45
MOH
Molina Healthcare, Inc.		0.300.671.080.270.61
EDU
New Oriental Education & Technology Group Inc.		0.280.731.090.180.91
MFG
Mizuho Financial Group, Inc.		1.041.511.201.605.20
HUM
Humana Inc.		-0.76-0.810.87-0.54-0.95
TMUS
3.384.721.623.9523.30
WMT
2.413.311.514.0811.92
NEE
NextEra Energy, Inc.		0.721.111.150.491.78
CI
Cigna Corporation		1.111.891.281.324.90
PEN
Penumbra, Inc.		-0.53-0.570.93-0.44-0.81
QLYS
Qualys, Inc.		-0.59-0.630.91-0.46-0.89
UNH
1.001.521.201.113.03
COLD
Americold Realty Trust		-0.41-0.410.95-0.27-0.60

Sharpe Ratio

The current Beta Top to Bottom Sharpe ratio is 1.44. 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 1.59 to 2.18, 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 Beta Top to Bottom 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 Ratio1.001.502.002.503.00AprilMayJuneJulyAugust
1.47
2.02
Beta Top to Bottom
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Beta Top to Bottom granted a 1.36% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Beta Top to Bottom1.36%1.37%1.18%1.32%1.16%1.27%1.29%0.97%1.10%1.18%1.23%1.59%
Portfolio components:
FCN
FTI Consulting, 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%
REGN
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GIS
General Mills, Inc.		3.28%3.47%2.50%3.03%3.37%3.66%5.03%3.27%3.01%3.00%3.02%2.85%
BNTX
BioNTech SE		0.00%0.00%1.41%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NBTX
Nanobiotix S.A.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LLY
Eli Lilly and Company		0.53%0.78%1.07%1.23%1.75%1.96%1.94%2.46%2.77%2.37%2.84%3.84%
PGR
The Progressive Corporation		0.46%0.25%0.31%6.23%2.68%3.87%1.86%1.21%2.50%2.16%5.53%1.05%
HSY
The Hershey Company		2.75%2.39%1.67%1.76%2.07%2.03%2.57%2.24%2.32%2.50%1.96%1.86%
YUMC
1.82%1.23%0.88%0.96%0.42%1.00%1.25%0.25%0.00%0.00%0.00%0.00%
BCH
Banco de Chile		6.73%9.01%6.39%3.86%4.10%5.03%3.63%2.86%4.35%5.78%5.58%5.49%
NVO
Novo Nordisk A/S		0.86%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
K
Kellogg Company		2.09%1.38%0.41%0.45%0.46%0.41%0.48%0.39%0.35%0.34%0.36%0.37%
MCK
McKesson Corporation		0.46%0.50%0.54%0.72%0.95%1.16%1.32%0.80%0.80%0.53%0.46%0.55%
MOH
Molina Healthcare, 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%
EDU
New Oriental Education & Technology Group Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.46%0.00%1.27%0.00%1.08%
MFG
Mizuho Financial Group, Inc.		3.29%3.73%4.34%5.45%5.52%4.47%4.50%3.69%3.77%3.10%3.71%2.75%
HUM
Humana Inc.		1.00%0.77%0.62%0.60%0.61%0.60%0.70%0.76%0.43%0.64%0.77%1.04%
TMUS
1.30%0.41%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%12.04%
WMT
1.06%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%2.39%
NEE
NextEra Energy, Inc.		2.51%3.08%2.03%1.65%1.81%2.06%2.55%2.52%2.91%2.96%2.73%3.08%
CI
Cigna Corporation		1.46%1.64%1.35%1.74%0.02%0.02%0.02%0.02%0.03%0.03%0.04%0.05%
PEN
Penumbra, 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%
QLYS
Qualys, 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%
UNH
1.31%1.38%1.21%1.12%1.38%1.41%1.38%1.30%1.48%1.59%1.39%1.40%
COLD
Americold Realty Trust		3.03%2.91%3.11%2.68%2.25%2.28%2.75%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%AprilMayJuneJulyAugust0
-0.33%
Beta Top to Bottom
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Beta Top to Bottom. 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 Beta Top to Bottom was 9.98%, occurring on Jun 13, 2022. Recovery took 31 trading sessions.

The current Beta Top to Bottom drawdown is 0.20%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-9.98%Apr 11, 202244Jun 13, 202231Jul 28, 202275
-9.28%Dec 31, 202118Jan 26, 202244Mar 30, 202262
-8.44%Sep 7, 202120Oct 4, 202161Dec 30, 202181
-6.58%Sep 13, 202211Sep 27, 202229Nov 7, 202240
-5.89%Sep 15, 202327Oct 23, 202335Dec 12, 202362

Volatility

Volatility Chart

The current Beta Top to Bottom volatility is 3.60%, 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%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugust
3.60%
5.56%
Beta Top to Bottom
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.
NBTXEDUBCHBNTXYUMCMFGFCNPENKNVOQLYSGISPGRLLYCOLDMCKWMTREGNTMUSHUMHSYNEECIMOHUNH
NBTX1.000.110.060.070.100.080.050.11-0.020.110.08-0.040.040.040.130.040.040.030.05-0.010.040.090.020.080.03
EDU0.111.000.180.150.360.170.020.17-0.090.110.16-0.090.030.070.170.010.010.060.130.03-0.050.090.070.060.01
BCH0.060.181.000.120.230.280.050.130.070.120.180.040.120.070.230.060.110.170.130.090.090.160.120.120.09
BNTX0.070.150.121.000.210.150.040.25-0.030.230.220.010.050.150.220.070.100.290.160.11-0.000.200.090.130.10
YUMC0.100.360.230.211.000.170.060.24-0.010.170.24-0.020.080.050.220.020.090.110.170.090.040.200.140.120.11
MFG0.080.170.280.150.171.000.090.180.020.120.190.010.180.110.180.180.150.160.160.120.050.120.220.110.12
FCN0.050.020.050.040.060.091.000.140.210.170.160.200.200.210.150.240.170.170.160.190.250.150.220.240.23
PEN0.110.170.130.250.240.180.141.00-0.010.210.380.000.070.170.300.080.200.240.190.140.060.240.120.230.11
K-0.02-0.090.07-0.03-0.010.020.21-0.011.000.030.020.720.220.150.210.200.300.160.200.150.580.250.230.170.24
NVO0.110.110.120.230.170.120.170.210.031.000.240.030.140.470.200.220.200.290.210.170.100.220.140.220.21
QLYS0.080.160.180.220.240.190.160.380.020.241.000.050.140.150.290.130.220.300.270.180.110.270.150.250.22
GIS-0.04-0.090.040.01-0.020.010.200.000.720.030.051.000.280.130.140.270.310.200.240.230.600.280.270.220.30
PGR0.040.030.120.050.080.180.200.070.220.140.140.281.000.220.170.310.300.190.290.260.280.250.340.260.33
LLY0.040.070.070.150.050.110.210.170.150.470.150.130.221.000.160.310.250.350.290.240.220.240.250.260.32
COLD0.130.170.230.220.220.180.150.300.210.200.290.140.170.161.000.110.250.230.270.150.250.420.190.190.20
MCK0.040.010.060.070.020.180.240.080.200.220.130.270.310.310.111.000.280.260.260.370.270.170.470.400.43
WMT0.040.010.110.100.090.150.170.200.300.200.220.310.300.250.250.281.000.240.270.220.340.300.240.300.30
REGN0.030.060.170.290.110.160.170.240.160.290.300.200.190.350.230.260.241.000.280.230.230.250.240.280.28
TMUS0.050.130.130.160.170.160.160.190.200.210.270.240.290.290.270.260.270.281.000.240.280.330.240.240.29
HUM-0.010.030.090.110.090.120.190.140.150.170.180.230.260.240.150.370.220.230.241.000.320.210.510.540.69
HSY0.04-0.050.09-0.000.040.050.250.060.580.100.110.600.280.220.250.270.340.230.280.321.000.350.310.290.40
NEE0.090.090.160.200.200.120.150.240.250.220.270.280.250.240.420.170.300.250.330.210.351.000.260.240.29
CI0.020.070.120.090.140.220.220.120.230.140.150.270.340.250.190.470.240.240.240.510.310.261.000.490.56
MOH0.080.060.120.130.120.110.240.230.170.220.250.220.260.260.190.400.300.280.240.540.290.240.491.000.60
UNH0.030.010.090.100.110.120.230.110.240.210.220.300.330.320.200.430.300.280.290.690.400.290.560.601.00
The correlation results are calculated based on daily price changes starting from Dec 14, 2020