Shadow
Implementation of AAII's Shaodw strategy
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AE Adams Resources & Energy, Inc. | Energy | 7.22% |
APT Alpha Pro Tech, Ltd. | Industrials | 9.78% |
BDL Flanigan's Enterprises, Inc. | Consumer Cyclical | 10.16% |
BRID Bridgford Foods Corporation | Consumer Defensive | 6.76% |
DIT AMCON Distributing Company | Consumer Defensive | 10.15% |
EDRY EuroDry Ltd. | Industrials | 0% |
FF FutureFuel Corp. | Basic Materials | 6.53% |
FONR FONAR Corporation | Healthcare | 10.31% |
GTEC Greenland Technologies Holding Corporation | Industrials | 3.09% |
JRSH Jerash Holdings (US), Inc. | Consumer Cyclical | 0% |
KTCC Key Tronic Corporation | Technology | 8.76% |
PXS Pyxis Tankers Inc. | Industrials | 9.33% |
RCKY Rocky Brands, Inc. | Consumer Cyclical | 8.96% |
RTC Baijiayun Group Ltd | Technology | 0% |
VOXX VOXX International Corporation | Technology | 0% |
WILC G. Willi-Food International Ltd. | Consumer Defensive | 8.94% |
WLFC Willis Lease Finance Corporation | Industrials | 0% |
Transactions
| Date | Type | Symbol | Quantity | Price |
|---|---|---|---|---|
| Sep 3, 2024 | Buy | AMCON Distributing Company | 30 | $144.75 |
| Aug 1, 2024 | Buy | Flanigan's Enterprises, Inc. | 50 | $26.39 |
| Jul 2, 2024 | Buy | Pyxis Tankers Inc. | 800 | $5.14 |
| Jul 1, 2024 | Sell | EuroDry Ltd. | 200 | $24.68 |
| Jul 1, 2024 | Sell | Jerash Holdings (US), Inc. | 700 | $3.02 |
| Jun 6, 2024 | Buy | FONAR Corporation | 250 | $15.59 |
| May 7, 2024 | Buy | G. Willi-Food International Ltd. | 350 | $9.18 |
| Apr 4, 2024 | Buy | Rocky Brands, Inc. | 125 | $27.27 |
| Mar 1, 2024 | Buy | FutureFuel Corp. | 500 | $5.82 |
| Jan 2, 2024 | Buy | Key Tronic Corporation | 700 | $4.34 |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Shadow, 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
Returns By Period
| 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% |
| Shadow | 10.96% | 1.54% | 0.81% | 26.25% | N/A | N/A |
| Portfolio components: | ||||||
WLFC Willis Lease Finance Corporation | 177.51% | 18.32% | 175.09% | 208.08% | 19.01% | 20.72% |
AE Adams Resources & Energy, Inc. | 3.27% | 17.53% | 4.17% | -23.40% | -0.60% | -3.60% |
VOXX VOXX International Corporation | -43.63% | 105.46% | -24.84% | -23.12% | 4.25% | -4.42% |
RTC Baijiayun Group Ltd | -25.10% | -9.76% | 62.83% | -65.95% | -14.68% | -10.32% |
APT Alpha Pro Tech, Ltd. | 12.48% | -2.46% | -10.79% | 43.72% | 10.10% | 7.50% |
EDRY EuroDry Ltd. | 7.61% | -0.34% | -8.07% | 42.18% | 21.88% | N/A |
JRSH Jerash Holdings (US), Inc. | 2.94% | 3.74% | 5.90% | 3.08% | -12.23% | N/A |
BDL Flanigan's Enterprises, Inc. | 14.27% | -0.55% | 17.56% | -9.74% | 6.72% | 6.17% |
GTEC Greenland Technologies Holding Corporation | -21.51% | -4.37% | 1.86% | -31.78% | -26.77% | N/A |
BRID Bridgford Foods Corporation | -12.73% | -9.43% | -15.49% | -14.67% | -22.96% | 1.91% |
KTCC Key Tronic Corporation | 23.38% | 21.41% | 11.97% | 22.53% | -1.09% | -6.57% |
FF FutureFuel Corp. | 36.14% | -11.13% | 3.72% | 14.70% | 4.51% | 4.27% |
RCKY Rocky Brands, Inc. | 2.69% | 4.24% | 19.19% | 103.96% | 0.85% | 10.14% |
WILC G. Willi-Food International Ltd. | 8.44% | 12.16% | 7.60% | 8.23% | 4.85% | 7.56% |
FONR FONAR Corporation | -10.28% | 2.69% | -21.23% | 10.17% | -4.90% | 4.28% |
PXS Pyxis Tankers Inc. | 19.07% | -7.54% | 1.77% | 38.31% | -0.64% | N/A |
DIT AMCON Distributing Company | -25.81% | 1.42% | -25.22% | -27.23% | 16.51% | 9.02% |
Monthly Returns
The table below presents the monthly returns of Shadow, 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 | 1.31% | 4.85% | 3.31% | -7.50% | 0.87% | 2.97% | 1.53% | 4.63% | 10.96% | ||||
| 2023 | 5.45% | 11.99% | -16.22% | -0.73% | -8.18% | -0.26% | -0.21% | 1.66% | -4.76% | -6.59% | 19.19% | 2.17% | -1.15% |
| 2022 | 0.24% | 1.43% | 1.67% | -6.48% | -5.93% | -3.54% | 12.50% | -6.22% | -5.57% | -0.96% | 12.24% | 5.46% | 2.46% |
| 2021 | 11.23% | 34.55% | -1.47% | 3.37% | -3.00% | -7.33% | -1.85% | 1.80% | 2.90% | -12.49% | 3.09% | 27.08% |
Expense Ratio
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 Shadow is 10, indicating that it is in the bottom 10% 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 | |
|---|---|---|---|---|---|
WLFC Willis Lease Finance Corporation | 4.87 | 5.60 | 1.75 | 5.64 | 48.75 |
AE Adams Resources & Energy, Inc. | -0.62 | -0.79 | 0.91 | -0.38 | -0.96 |
VOXX VOXX International Corporation | -0.22 | 0.32 | 1.04 | -0.24 | -0.49 |
RTC Baijiayun Group Ltd | -0.41 | 0.64 | 1.10 | -0.69 | -0.91 |
APT Alpha Pro Tech, Ltd. | 0.92 | 1.53 | 1.18 | 0.51 | 3.16 |
EDRY EuroDry Ltd. | 1.41 | 2.24 | 1.25 | 0.65 | 4.56 |
JRSH Jerash Holdings (US), Inc. | 0.11 | 0.32 | 1.04 | 0.04 | 0.55 |
BDL Flanigan's Enterprises, Inc. | -0.26 | -0.15 | 0.98 | -0.25 | -0.44 |
GTEC Greenland Technologies Holding Corporation | -0.40 | -0.09 | 0.99 | -0.40 | -0.89 |
BRID Bridgford Foods Corporation | -0.32 | -0.20 | 0.97 | -0.23 | -1.13 |
KTCC Key Tronic Corporation | 0.67 | 1.26 | 1.15 | 0.38 | 1.89 |
FF FutureFuel Corp. | 0.38 | 0.99 | 1.12 | 0.28 | 1.17 |
RCKY Rocky Brands, Inc. | 1.15 | 2.36 | 1.28 | 1.10 | 6.42 |
WILC G. Willi-Food International Ltd. | 0.19 | 0.63 | 1.08 | 0.13 | 0.59 |
FONR FONAR Corporation | 0.24 | 0.74 | 1.08 | 0.25 | 0.47 |
PXS Pyxis Tankers Inc. | 1.01 | 1.73 | 1.19 | 0.51 | 5.92 |
DIT AMCON Distributing Company | -0.65 | -0.77 | 0.91 | -0.61 | -1.34 |
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 Shadow. 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 Shadow was 36.77%, occurring on May 12, 2022. The portfolio has not yet recovered.
The current Shadow drawdown is 11.23%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -36.77% | Jun 9, 2021 | 235 | May 12, 2022 | — | — | — |
| -8.47% | Feb 24, 2021 | 3 | Feb 26, 2021 | 6 | Mar 8, 2021 | 9 |
| -5.85% | May 12, 2021 | 2 | May 13, 2021 | 15 | Jun 4, 2021 | 17 |
| -5.53% | Feb 10, 2021 | 5 | Feb 17, 2021 | 2 | Feb 19, 2021 | 7 |
| -5.23% | Mar 16, 2021 | 1 | Mar 16, 2021 | 1 | Mar 17, 2021 | 2 |
Volatility
Volatility Chart
The current Shadow volatility is 5.27%, 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
| DIT | BRID | RTC | WILC | BDL | APT | JRSH | KTCC | AE | EDRY | GTEC | PXS | WLFC | FONR | RCKY | FF | VOXX | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| DIT | 1.00 | 0.05 | 0.00 | 0.04 | 0.07 | 0.01 | 0.03 | 0.00 | -0.00 | 0.03 | 0.05 | 0.03 | 0.04 | 0.09 | 0.10 | 0.07 | 0.02 |
| BRID | 0.05 | 1.00 | 0.01 | 0.05 | 0.03 | 0.01 | 0.04 | 0.05 | 0.07 | 0.06 | 0.04 | -0.00 | 0.12 | 0.06 | 0.04 | 0.11 | 0.05 |
| RTC | 0.00 | 0.01 | 1.00 | 0.09 | 0.02 | 0.03 | 0.02 | 0.03 | 0.04 | 0.08 | 0.07 | 0.06 | 0.07 | 0.10 | 0.09 | 0.03 | 0.12 |
| WILC | 0.04 | 0.05 | 0.09 | 1.00 | 0.09 | 0.05 | 0.10 | 0.01 | 0.04 | -0.00 | 0.07 | -0.01 | 0.02 | 0.09 | 0.08 | 0.08 | 0.07 |
| BDL | 0.07 | 0.03 | 0.02 | 0.09 | 1.00 | 0.02 | 0.05 | 0.13 | 0.06 | 0.10 | 0.08 | 0.04 | 0.09 | 0.10 | 0.04 | 0.11 | 0.04 |
| APT | 0.01 | 0.01 | 0.03 | 0.05 | 0.02 | 1.00 | 0.09 | 0.05 | 0.04 | 0.05 | 0.14 | 0.07 | 0.10 | 0.12 | 0.15 | 0.15 | 0.15 |
| JRSH | 0.03 | 0.04 | 0.02 | 0.10 | 0.05 | 0.09 | 1.00 | 0.07 | 0.10 | 0.04 | 0.12 | 0.04 | 0.11 | 0.10 | 0.15 | 0.08 | 0.14 |
| KTCC | 0.00 | 0.05 | 0.03 | 0.01 | 0.13 | 0.05 | 0.07 | 1.00 | 0.15 | 0.06 | 0.11 | 0.07 | 0.10 | 0.22 | 0.15 | 0.10 | 0.14 |
| AE | -0.00 | 0.07 | 0.04 | 0.04 | 0.06 | 0.04 | 0.10 | 0.15 | 1.00 | 0.12 | 0.08 | 0.18 | 0.14 | 0.10 | 0.11 | 0.14 | 0.12 |
| EDRY | 0.03 | 0.06 | 0.08 | -0.00 | 0.10 | 0.05 | 0.04 | 0.06 | 0.12 | 1.00 | 0.12 | 0.34 | 0.12 | 0.09 | 0.14 | 0.15 | 0.15 |
| GTEC | 0.05 | 0.04 | 0.07 | 0.07 | 0.08 | 0.14 | 0.12 | 0.11 | 0.08 | 0.12 | 1.00 | 0.13 | 0.10 | 0.09 | 0.13 | 0.16 | 0.17 |
| PXS | 0.03 | -0.00 | 0.06 | -0.01 | 0.04 | 0.07 | 0.04 | 0.07 | 0.18 | 0.34 | 0.13 | 1.00 | 0.13 | 0.08 | 0.17 | 0.21 | 0.17 |
| WLFC | 0.04 | 0.12 | 0.07 | 0.02 | 0.09 | 0.10 | 0.11 | 0.10 | 0.14 | 0.12 | 0.10 | 0.13 | 1.00 | 0.10 | 0.18 | 0.18 | 0.20 |
| FONR | 0.09 | 0.06 | 0.10 | 0.09 | 0.10 | 0.12 | 0.10 | 0.22 | 0.10 | 0.09 | 0.09 | 0.08 | 0.10 | 1.00 | 0.15 | 0.16 | 0.17 |
| RCKY | 0.10 | 0.04 | 0.09 | 0.08 | 0.04 | 0.15 | 0.15 | 0.15 | 0.11 | 0.14 | 0.13 | 0.17 | 0.18 | 0.15 | 1.00 | 0.28 | 0.31 |
| FF | 0.07 | 0.11 | 0.03 | 0.08 | 0.11 | 0.15 | 0.08 | 0.10 | 0.14 | 0.15 | 0.16 | 0.21 | 0.18 | 0.16 | 0.28 | 1.00 | 0.30 |
| VOXX | 0.02 | 0.05 | 0.12 | 0.07 | 0.04 | 0.15 | 0.14 | 0.14 | 0.12 | 0.15 | 0.17 | 0.17 | 0.20 | 0.17 | 0.31 | 0.30 | 1.00 |