Maximum Profit, Minimum Ulcers 2024-04-08 20 Stock...

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks

Currency in USD · Last updated May 18, 2025

High Martin Ratio, high Sortino Ratio, high Calmar Ratio portfolio with various other filters to eliminate anomalies. Maximum profit with minimum ulcers.

Asset Allocation

Position	Category/Sector	Target Weight
ANF Abercrombie & Fitch Co.	Consumer Cyclical	5%
APP AppLovin Corporation	Technology	5%
CAMT Camtek Ltd	Technology	5%
CEG Constellation Energy Corp	Utilities	5%
CLS Celestica Inc.	Technology	5%
CNM Core & Main, Inc.	Industrials	5%
DELL Dell Technologies Inc.	Technology	5%
FTAI Fortress Transportation and Infrastructure Investors LLC	Industrials	5%
GFF Griffon Corporation	Industrials	5%
LII Lennox International Inc.	Industrials	5%
LLY Eli Lilly and Company	Healthcare	5%
MMYT MakeMyTrip Limited	Consumer Cyclical	5%
MOD Modine Manufacturing Company	Consumer Cyclical	5%
NEU NewMarket Corporation	Basic Materials	5%
PSN Parsons Corporation	Industrials	5%
SKYW SkyWest, Inc.	Industrials	5%
VRT Vertiv Holdings Co.	Industrials	5%
VST Vistra Corp.	Utilities	5%
WSM Williams-Sonoma, Inc.	Consumer Cyclical	5%
XPO		5%

Benchmark

Rebalance

Performance

Performance Chart

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The earliest data available for this chart is Feb 2, 2022, corresponding to the inception date of CEG

Returns By Period

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	1.30%	12.79%	1.49%	12.35%	15.12%	10.89%
Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks	-0.85%	21.68%	1.66%	29.96%	N/A	N/A
Portfolio components:
ANF Abercrombie & Fitch Co.	-47.07%	8.41%	-45.30%	-43.33%	46.34%	16.93%
APP AppLovin Corporation	11.89%	52.10%	24.48%	339.25%	N/A	N/A
CAMT Camtek Ltd	-18.35%	9.23%	-10.97%	-32.09%	39.91%	37.36%
CEG Constellation Energy Corp	30.55%	41.05%	30.22%	37.73%	N/A	N/A
CLS Celestica Inc.	22.70%	34.76%	37.81%	119.56%	82.29%	24.59%
CNM Core & Main, Inc.	6.34%	9.15%	27.36%	-9.99%	N/A	N/A
DELL Dell Technologies Inc.	0.12%	35.52%	-12.35%	-22.29%	41.15%	N/A
FTAI Fortress Transportation and Infrastructure Investors LLC	-17.64%	27.18%	-25.12%	52.35%	78.19%	32.38%
GFF Griffon Corporation	3.25%	7.67%	-0.09%	10.11%	40.85%	19.93%
LII Lennox International Inc.	-0.37%	9.16%	-0.32%	24.66%	27.24%	19.66%
LLY Eli Lilly and Company	-1.52%	-9.65%	1.88%	-0.96%	38.57%	28.68%
MMYT MakeMyTrip Limited	-6.09%	2.07%	8.11%	21.90%	49.60%	19.07%
MOD Modine Manufacturing Company	-9.83%	37.79%	-15.20%	2.26%	95.60%	24.17%
NEU NewMarket Corporation	23.73%	15.29%	19.49%	20.26%	11.39%	5.55%
PSN Parsons Corporation	-25.20%	5.96%	-29.16%	-9.82%	11.90%	N/A
SKYW SkyWest, Inc.	2.54%	20.25%	-7.78%	34.61%	30.78%	20.97%
VRT Vertiv Holdings Co.	-6.62%	44.84%	-12.21%	9.68%	55.71%	N/A
VST Vistra Corp.	13.80%	35.70%	10.55%	67.87%	55.04%	N/A
WSM Williams-Sonoma, Inc.	-5.40%	24.88%	34.08%	14.09%	40.58%	19.05%
XPO	-2.33%	32.42%	-12.13%	16.24%	N/A	N/A

*Annualized

Monthly Returns

The table below presents the monthly returns of Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks, 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
2025	4.03%	-8.82%	-12.44%	4.67%	14.06%								-0.85%
2024	7.07%	21.48%	11.04%	-1.66%	12.44%	1.78%	0.22%	1.70%	7.16%	4.01%	18.24%	-5.35%	106.66%
2023	12.22%	-1.50%	1.60%	3.59%	10.69%	16.55%	10.80%	16.25%	0.01%	-0.58%	13.36%	9.20%	137.93%
2022		-6.08%	0.83%	-6.53%	4.05%	-9.71%	14.31%	-3.85%	-9.45%	11.96%	6.57%	-6.08%	-7.27%

Expense Ratio

Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks is 51, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin 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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
ANF Abercrombie & Fitch Co.	-0.65	-0.75	0.91	-0.64	-1.17
APP AppLovin Corporation	3.67	3.53	1.51	5.86	14.91
CAMT Camtek Ltd	-0.50	-0.30	0.96	-0.47	-0.76
CEG Constellation Energy Corp	0.51	1.18	1.16	0.69	1.66
CLS Celestica Inc.	1.55	2.18	1.31	2.52	6.28
CNM Core & Main, Inc.	-0.25	0.00	1.00	-0.24	-0.44
DELL Dell Technologies Inc.	-0.36	0.08	1.01	-0.22	-0.37
FTAI Fortress Transportation and Infrastructure Investors LLC	0.65	1.27	1.19	1.00	2.21
GFF Griffon Corporation	0.20	0.55	1.08	0.27	0.55
LII Lennox International Inc.	0.73	1.08	1.14	0.92	2.54
LLY Eli Lilly and Company	-0.03	0.27	1.04	-0.00	-0.00
MMYT MakeMyTrip Limited	0.44	1.22	1.15	1.25	3.20
MOD Modine Manufacturing Company	0.01	0.49	1.07	-0.02	-0.05
NEU NewMarket Corporation	0.77	1.38	1.16	0.82	3.02
PSN Parsons Corporation	-0.26	-0.14	0.98	-0.20	-0.41
SKYW SkyWest, Inc.	0.83	1.35	1.17	0.97	2.32
VRT Vertiv Holdings Co.	0.13	0.64	1.09	0.12	0.28
VST Vistra Corp.	0.93	1.57	1.22	1.49	3.32
WSM Williams-Sonoma, Inc.	0.23	0.71	1.09	0.31	0.74
XPO	0.29	0.79	1.10	0.33	0.80

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks Sharpe ratios as of May 18, 2025 (values are recalculated daily):

1-Year: 0.79
All Time: 1.93

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.57 to 1.06, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks provided a 0.46% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	0.46%	0.53%	0.84%	1.40%	0.72%	0.90%	1.23%	1.83%	1.18%	2.07%	0.82%	0.61%
Portfolio components:
ANF Abercrombie & Fitch Co.	0.00%	0.00%	0.00%	0.00%	0.00%	0.98%	4.63%	3.99%	4.59%	6.67%	2.96%	2.79%
APP AppLovin 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%
CAMT Camtek Ltd	0.00%	1.65%	0.00%	0.00%	0.00%	0.00%	1.57%	2.07%	2.45%	0.00%	0.00%	0.00%
CEG Constellation Energy Corp	0.63%	0.63%	0.97%	0.65%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
CLS Celestica 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%
CNM Core & Main, 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%
DELL Dell Technologies Inc.	1.63%	1.48%	1.88%	2.46%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
FTAI Fortress Transportation and Infrastructure Investors LLC	1.02%	0.83%	2.59%	6.97%	4.56%	5.63%	6.76%	9.20%	6.62%	9.92%	4.26%	0.00%
GFF Griffon Corporation	0.90%	0.88%	4.10%	6.62%	1.16%	1.50%	1.45%	12.28%	1.23%	0.80%	0.96%	0.98%
LII Lennox International Inc.	0.76%	0.75%	0.97%	1.71%	1.09%	1.12%	1.21%	1.11%	0.94%	1.08%	1.10%	1.20%
LLY Eli Lilly and Company	0.74%	0.67%	0.78%	1.07%	1.23%	1.75%	1.96%	1.95%	2.46%	2.77%	2.37%	2.84%
MMYT MakeMyTrip Limited	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MOD Modine Manufacturing Company	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
NEU NewMarket Corporation	1.58%	1.89%	1.62%	2.70%	2.33%	1.91%	1.50%	1.70%	1.76%	1.51%	1.52%	1.16%
PSN Parsons 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%
SKYW SkyWest, Inc.	0.00%	0.00%	0.00%	0.00%	0.00%	0.35%	0.74%	0.90%	0.60%	0.66%	0.84%	1.51%
VRT Vertiv Holdings Co.	0.12%	0.10%	0.05%	0.07%	0.04%	0.05%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VST Vistra Corp.	0.56%	0.63%	2.13%	3.12%	2.64%	2.75%	2.17%	0.00%	0.00%	14.97%	0.00%	0.00%
WSM Williams-Sonoma, Inc.	1.36%	1.16%	1.72%	2.65%	1.43%	1.93%	2.55%	3.33%	2.98%	3.02%	2.36%	1.72%
XPO	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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks. 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 Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks was 33.55%, occurring on Apr 4, 2025. The portfolio has not yet recovered.

The current Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks drawdown is 10.69%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-33.55%	Jan 24, 2025	50	Apr 4, 2025	—	—	—
-20.92%	Feb 10, 2022	88	Jun 16, 2022	41	Aug 16, 2022	129
-18.88%	Aug 17, 2022	32	Sep 30, 2022	77	Jan 23, 2023	109
-15.53%	Jul 17, 2024	16	Aug 7, 2024	30	Sep 19, 2024	46
-10.44%	Feb 3, 2023	30	Mar 17, 2023	32	May 3, 2023	62

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 20 assets, with an effective number of assets of 20.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	^GSPC	LLY	NEU	PSN	ANF	MMYT	CEG	VST	FTAI	APP	WSM	CAMT	SKYW	DELL	XPO	GFF	LII	MOD	CLS	CNM	VRT	Portfolio
^GSPC	1.00	0.37	0.45	0.45	0.44	0.47	0.49	0.48	0.51	0.60	0.58	0.57	0.56	0.60	0.60	0.59	0.64	0.55	0.60	0.60	0.64	0.82
LLY	0.37	1.00	0.21	0.28	0.16	0.13	0.25	0.21	0.23	0.18	0.17	0.17	0.19	0.23	0.19	0.18	0.24	0.21	0.22	0.21	0.25	0.33
NEU	0.45	0.21	1.00	0.34	0.25	0.17	0.20	0.23	0.30	0.18	0.33	0.23	0.31	0.28	0.35	0.45	0.44	0.34	0.26	0.41	0.27	0.43
PSN	0.45	0.28	0.34	1.00	0.24	0.16	0.31	0.30	0.31	0.26	0.26	0.28	0.35	0.33	0.34	0.36	0.37	0.35	0.34	0.36	0.37	0.48
ANF	0.44	0.16	0.25	0.24	1.00	0.32	0.27	0.28	0.31	0.38	0.46	0.38	0.37	0.39	0.35	0.35	0.34	0.36	0.35	0.37	0.41	0.59
MMYT	0.47	0.13	0.17	0.16	0.32	1.00	0.32	0.36	0.38	0.40	0.34	0.38	0.39	0.37	0.38	0.37	0.34	0.41	0.40	0.37	0.45	0.59
CEG	0.49	0.25	0.20	0.31	0.27	0.32	1.00	0.63	0.35	0.37	0.35	0.31	0.30	0.40	0.33	0.35	0.36	0.41	0.44	0.37	0.45	0.60
VST	0.48	0.21	0.23	0.30	0.28	0.36	0.63	1.00	0.40	0.35	0.33	0.32	0.36	0.38	0.32	0.40	0.37	0.42	0.42	0.38	0.48	0.61
FTAI	0.51	0.23	0.30	0.31	0.31	0.38	0.35	0.40	1.00	0.36	0.28	0.34	0.46	0.43	0.42	0.43	0.37	0.43	0.42	0.42	0.43	0.61
APP	0.60	0.18	0.18	0.26	0.38	0.40	0.37	0.35	0.36	1.00	0.41	0.43	0.39	0.36	0.41	0.36	0.41	0.39	0.47	0.41	0.52	0.66
WSM	0.58	0.17	0.33	0.26	0.46	0.34	0.35	0.33	0.28	0.41	1.00	0.37	0.41	0.37	0.45	0.48	0.52	0.42	0.36	0.48	0.43	0.62
CAMT	0.57	0.17	0.23	0.28	0.38	0.38	0.31	0.32	0.34	0.43	0.37	1.00	0.37	0.50	0.42	0.36	0.39	0.45	0.55	0.44	0.53	0.65
SKYW	0.56	0.19	0.31	0.35	0.37	0.39	0.30	0.36	0.46	0.39	0.41	0.37	1.00	0.40	0.50	0.48	0.42	0.44	0.45	0.45	0.50	0.63
DELL	0.60	0.23	0.28	0.33	0.39	0.37	0.40	0.38	0.43	0.36	0.37	0.50	0.40	1.00	0.42	0.41	0.39	0.45	0.55	0.42	0.53	0.65
XPO	0.60	0.19	0.35	0.34	0.35	0.38	0.33	0.32	0.42	0.41	0.45	0.42	0.50	0.42	1.00	0.49	0.49	0.46	0.43	0.52	0.49	0.66
GFF	0.59	0.18	0.45	0.36	0.35	0.37	0.35	0.40	0.43	0.36	0.48	0.36	0.48	0.41	0.49	1.00	0.59	0.50	0.42	0.56	0.45	0.65
LII	0.64	0.24	0.44	0.37	0.34	0.34	0.36	0.37	0.37	0.41	0.52	0.39	0.42	0.39	0.49	0.59	1.00	0.50	0.43	0.59	0.51	0.66
MOD	0.55	0.21	0.34	0.35	0.36	0.41	0.41	0.42	0.43	0.39	0.42	0.45	0.44	0.45	0.46	0.50	0.50	1.00	0.52	0.50	0.58	0.70
CLS	0.60	0.22	0.26	0.34	0.35	0.40	0.44	0.42	0.42	0.47	0.36	0.55	0.45	0.55	0.43	0.42	0.43	0.52	1.00	0.46	0.60	0.72
CNM	0.60	0.21	0.41	0.36	0.37	0.37	0.37	0.38	0.42	0.41	0.48	0.44	0.45	0.42	0.52	0.56	0.59	0.50	0.46	1.00	0.51	0.68
VRT	0.64	0.25	0.27	0.37	0.41	0.45	0.45	0.48	0.43	0.52	0.43	0.53	0.50	0.53	0.49	0.45	0.51	0.58	0.60	0.51	1.00	0.77
Portfolio	0.82	0.33	0.43	0.48	0.59	0.59	0.60	0.61	0.61	0.66	0.62	0.65	0.63	0.65	0.66	0.65	0.66	0.70	0.72	0.68	0.77	1.00

The correlation results are calculated based on daily price changes starting from Feb 3, 2022

Performance Analysis

Risk Analysis

Optimization

Factor Model

Maximum Profit, Minimum Ulcers 2024-04-08 20 Stocks

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

Portfolios

Screeners

Community