TEST sharpe/debt
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AMZN Amazon.com, Inc. | Consumer Cyclical | 17% |
ASML ASML Holding N.V. | Technology | 13% |
BLDR Builders FirstSource, Inc. | Industrials | 17% |
CG The Carlyle Group Inc. | Financial Services | 12% |
CP Canadian Pacific Railway Limited | Industrials | 17% |
JNK SPDR Barclays High Yield Bond ETF | High Yield Bonds | 12% |
PG The Procter & Gamble Company | Consumer Defensive | 12% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in TEST sharpe/debt, 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 May 3, 2012, corresponding to the inception date of CG
Returns By Period
As of Sep 21, 2024, the TEST sharpe/debt returned 17.98% Year-To-Date and 22.85% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
| TEST sharpe/debt | 17.98% | 6.49% | 1.01% | 39.52% | 25.61% | 22.80% |
| Portfolio components: | ||||||
BLDR Builders FirstSource, Inc. | 18.45% | 18.02% | -6.08% | 62.29% | 57.66% | 42.44% |
AMZN Amazon.com, Inc. | 26.10% | 8.78% | 7.12% | 48.39% | 16.55% | 27.93% |
CP Canadian Pacific Railway Limited | 8.97% | 6.84% | -3.51% | 13.08% | 15.82% | 9.31% |
PG The Procter & Gamble Company | 21.14% | 2.39% | 9.12% | 17.85% | 9.89% | 10.52% |
ASML ASML Holding N.V. | 5.67% | -12.39% | -18.53% | 36.58% | 27.46% | 24.28% |
JNK SPDR Barclays High Yield Bond ETF | 7.90% | 2.00% | 6.27% | 15.18% | 3.51% | 3.66% |
CG The Carlyle Group Inc. | 10.01% | 10.16% | -4.32% | 48.69% | 14.41% | 10.24% |
Monthly Returns
The table below presents the monthly returns of TEST sharpe/debt, 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 | 4.09% | 8.63% | 3.13% | -6.31% | -0.42% | -0.02% | 6.02% | -2.21% | 17.98% | ||||
| 2023 | 13.75% | -2.86% | 4.00% | 1.53% | 5.33% | 8.79% | 3.64% | -2.09% | -7.86% | -2.65% | 11.37% | 10.14% | 49.25% |
| 2022 | -8.69% | -0.04% | 2.13% | -11.83% | 0.30% | -10.97% | 17.20% | -8.93% | -9.46% | 5.32% | 8.76% | -5.16% | -22.95% |
| 2021 | -1.21% | 3.80% | 5.92% | 5.15% | -0.19% | 0.96% | 2.80% | 4.00% | -4.35% | 9.54% | 1.53% | 6.05% | 38.81% |
| 2020 | 1.26% | -6.48% | -13.93% | 17.43% | 8.15% | 4.53% | 7.93% | 8.55% | -0.25% | -2.33% | 11.10% | 6.88% | 46.68% |
| 2019 | 13.97% | 0.79% | 2.14% | 7.33% | -3.97% | 10.12% | 2.94% | 1.62% | 3.03% | 4.06% | 4.88% | 4.32% | 63.37% |
| 2018 | 6.72% | -3.97% | -1.10% | -1.34% | 4.55% | -0.63% | 5.41% | 0.56% | -2.08% | -8.26% | 2.72% | -11.10% | -9.67% |
| 2017 | 5.79% | 3.04% | 4.49% | 3.97% | -0.46% | 2.97% | 3.44% | 1.64% | 5.77% | 2.55% | 2.96% | 3.47% | 47.47% |
| 2016 | -8.96% | 0.63% | 12.08% | 2.66% | 1.43% | -0.22% | 8.87% | 1.09% | -0.77% | -5.68% | 2.11% | -0.03% | 12.17% |
| 2015 | -3.23% | 4.32% | -0.01% | 20.77% | -1.92% | -1.09% | 5.51% | -6.69% | -5.64% | 5.57% | 3.47% | -6.29% | 12.46% |
| 2014 | -1.62% | 3.92% | -0.07% | -5.64% | 0.50% | 4.86% | -3.79% | 6.27% | -4.39% | 0.32% | 2.71% | 0.36% | 2.70% |
| 2013 | 11.38% | 0.25% | 0.07% | 1.91% | 3.30% | -4.78% | 5.26% | -4.09% | 4.70% | 13.02% | 2.93% | 1.06% | 39.17% |
Expense Ratio
TEST sharpe/debt has an expense ratio of 0.05%, which is considered low compared to other funds. 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 sharpe/debt is 32, 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.
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 | |
|---|---|---|---|---|---|
BLDR Builders FirstSource, Inc. | 1.21 | 1.70 | 1.24 | 1.49 | 3.43 |
AMZN Amazon.com, Inc. | 1.46 | 2.02 | 1.26 | 1.16 | 7.43 |
CP Canadian Pacific Railway Limited | 0.48 | 0.79 | 1.10 | 0.60 | 1.24 |
PG The Procter & Gamble Company | 1.07 | 1.54 | 1.21 | 1.71 | 6.86 |
ASML ASML Holding N.V. | 0.87 | 1.36 | 1.18 | 1.05 | 3.25 |
JNK SPDR Barclays High Yield Bond ETF | 2.66 | 4.08 | 1.51 | 1.44 | 19.16 |
CG The Carlyle Group Inc. | 1.20 | 1.72 | 1.22 | 0.81 | 4.26 |
Dividends
Dividend yield
TEST sharpe/debt granted a 1.64% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| TEST sharpe/debt | 1.64% | 1.71% | 1.80% | 1.33% | 1.99% | 1.76% | 2.35% | 1.94% | 2.73% | 4.06% | 2.09% | 1.77% |
| Portfolio components: | ||||||||||||
BLDR Builders FirstSource, 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% |
AMZN Amazon.com, 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% |
CP Canadian Pacific Railway Limited | 0.66% | 0.72% | 0.77% | 1.67% | 3.82% | 0.93% | 1.07% | 0.93% | 0.98% | 0.84% | 0.65% | 0.89% |
PG The Procter & Gamble Company | 2.24% | 2.55% | 2.38% | 2.08% | 2.24% | 2.37% | 3.09% | 2.98% | 3.18% | 3.31% | 2.78% | 2.91% |
ASML ASML Holding N.V. | 0.83% | 0.85% | 1.27% | 0.50% | 0.59% | 1.20% | 1.10% | 0.75% | 1.02% | 0.91% | 0.78% | 0.75% |
JNK SPDR Barclays High Yield Bond ETF | 6.42% | 6.38% | 6.06% | 4.27% | 5.11% | 5.44% | 5.90% | 5.60% | 6.06% | 6.59% | 5.99% | 6.05% |
CG The Carlyle Group Inc. | 3.21% | 3.38% | 4.11% | 1.82% | 3.18% | 4.24% | 7.87% | 5.41% | 11.02% | 21.70% | 6.84% | 3.73% |
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 sharpe/debt. 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 sharpe/debt was 31.97%, occurring on Mar 18, 2020. Recovery took 53 trading sessions.
The current TEST sharpe/debt drawdown is 0.95%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -31.97% | Feb 14, 2020 | 23 | Mar 18, 2020 | 53 | Jun 3, 2020 | 76 |
| -31.04% | Jan 5, 2022 | 196 | Oct 14, 2022 | 171 | Jun 22, 2023 | 367 |
| -25.11% | Aug 3, 2015 | 134 | Feb 11, 2016 | 103 | Jul 11, 2016 | 237 |
| -22.81% | Aug 9, 2018 | 95 | Dec 24, 2018 | 78 | Apr 17, 2019 | 173 |
| -14.89% | Aug 8, 2023 | 56 | Oct 25, 2023 | 32 | Dec 11, 2023 | 88 |
Volatility
Volatility Chart
The current TEST sharpe/debt volatility is 5.36%, 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
| PG | BLDR | AMZN | CP | CG | ASML | JNK | |
|---|---|---|---|---|---|---|---|
| PG | 1.00 | 0.17 | 0.23 | 0.30 | 0.18 | 0.24 | 0.33 |
| BLDR | 0.17 | 1.00 | 0.33 | 0.34 | 0.39 | 0.38 | 0.44 |
| AMZN | 0.23 | 0.33 | 1.00 | 0.32 | 0.37 | 0.47 | 0.45 |
| CP | 0.30 | 0.34 | 0.32 | 1.00 | 0.38 | 0.40 | 0.44 |
| CG | 0.18 | 0.39 | 0.37 | 0.38 | 1.00 | 0.41 | 0.50 |
| ASML | 0.24 | 0.38 | 0.47 | 0.40 | 0.41 | 1.00 | 0.50 |
| JNK | 0.33 | 0.44 | 0.45 | 0.44 | 0.50 | 0.50 | 1.00 |