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2023-2024 вар3
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

2023-2024 вар3

Last updated Oct 30, 2024

Asset Allocation

AEHR 14.29%GOOGL 14.29%MNSO 14.29%MOD 14.29%SMCI 14.29%NVO 14.29%LYTS 14.26%EquityEquity
PositionCategory/SectorWeight
AEHR
Aehr Test Systems		Technology
14.29%
GOOGL
Alphabet Inc.		Communication Services
14.29%
LYTS
LSI Industries Inc.		Technology
14.26%
MNSO
MINISO Group Holding Limited		Consumer Cyclical
14.29%
MOD
Modine Manufacturing Company		Consumer Cyclical
14.29%
NVO
Novo Nordisk A/S		Healthcare
14.29%
SMCI
Super Micro Computer, Inc.		Technology
14.29%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2023-2024 вар3, 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

-10.00%-5.00%0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
4.99%
15.83%
2023-2024 вар3
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 15, 2020, corresponding to the inception date of MNSO

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.29%1.65%15.83%39.98%13.99%11.23%
2023-2024 вар349.54%6.99%4.99%63.00%N/AN/A
Portfolio components:
AEHR
Aehr Test Systems		-39.88%20.56%33.14%-33.26%57.27%19.76%
GOOGL
Alphabet Inc.		21.77%3.49%4.50%36.67%22.08%19.66%
MNSO
MINISO Group Holding Limited		-2.41%12.55%-12.67%-25.94%N/AN/A
MOD
Modine Manufacturing Company		118.27%-1.07%40.68%229.98%62.95%26.16%
SMCI
Super Micro Computer, Inc.		72.80%17.02%-42.80%107.59%88.81%31.51%
NVO
Novo Nordisk A/S		9.44%-7.27%-12.40%17.44%34.60%19.80%
LYTS
LSI Industries Inc.		18.46%3.64%13.83%12.71%29.00%11.50%

Monthly Returns

The table below presents the monthly returns of 2023-2024 вар3, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20247.10%23.10%9.09%-0.97%2.67%-2.04%9.62%-8.83%-2.28%49.54%
202321.31%5.84%2.84%-3.43%22.40%10.13%15.42%9.46%-2.49%-11.74%5.49%4.28%105.59%
2022-10.93%-1.46%-6.36%-3.86%5.40%-4.16%13.33%13.84%-8.61%15.63%38.37%-7.51%39.24%
20213.33%3.52%0.02%3.80%-0.41%1.43%15.51%5.95%24.68%11.26%-6.46%5.02%87.08%
2020-9.47%22.73%17.87%30.96%

Expense Ratio

2023-2024 вар3 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 2023-2024 вар3 is 19, indicating that it is in the bottom 19% 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 2023-2024 вар3 is 1919
Combined Rank
The Sharpe Ratio Rank of 2023-2024 вар3 is 1212Sharpe Ratio Rank
The Sortino Ratio Rank of 2023-2024 вар3 is 1212Sortino Ratio Rank
The Omega Ratio Rank of 2023-2024 вар3 is 1313Omega Ratio Rank
The Calmar Ratio Rank of 2023-2024 вар3 is 4949Calmar Ratio Rank
The Martin Ratio Rank of 2023-2024 вар3 is 1212Martin 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.

2023-2024 вар3
Sharpe ratio
The chart of Sharpe ratio for 2023-2024 вар3, currently valued at 1.82, compared to the broader market0.002.004.006.001.82
Sortino ratio
The chart of Sortino ratio for 2023-2024 вар3, currently valued at 2.52, compared to the broader market-2.000.002.004.006.002.52
Omega ratio
The chart of Omega ratio for 2023-2024 вар3, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.802.001.32
Calmar ratio
The chart of Calmar ratio for 2023-2024 вар3, currently valued at 2.97, compared to the broader market0.005.0010.002.97
Martin ratio
The chart of Martin ratio for 2023-2024 вар3, currently valued at 7.88, compared to the broader market0.0010.0020.0030.0040.0050.0060.007.88
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AEHR
Aehr Test Systems		-0.55-0.470.94-0.57-0.96
GOOGL
Alphabet Inc.		1.512.051.281.774.55
MNSO
MINISO Group Holding Limited		-0.39-0.200.98-0.40-0.78
MOD
Modine Manufacturing Company		4.153.811.5410.3030.99
SMCI
Super Micro Computer, Inc.		1.061.981.271.532.98
NVO
Novo Nordisk A/S		0.701.201.150.902.53
LYTS
LSI Industries Inc.		0.400.781.100.511.82

Sharpe Ratio

The current 2023-2024 вар3 Sharpe ratio is 1.82. 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 2.49 to 3.44, 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 2023-2024 вар3 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 Ratio1.002.003.004.00MayJuneJulyAugustSeptemberOctober
1.82
3.43
2023-2024 вар3
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2023-2024 вар3 provided a 0.81% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
2023-2024 вар30.81%0.63%0.63%0.82%0.60%0.77%1.25%0.72%0.86%0.33%0.68%0.54%
Portfolio components:
AEHR
Aehr Test Systems		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GOOGL
Alphabet Inc.		0.24%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MNSO
MINISO Group Holding Limited		2.93%2.02%1.60%1.51%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%
SMCI
Super Micro Computer, 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%
NVO
Novo Nordisk A/S		1.29%0.99%1.18%1.34%1.86%2.12%2.46%2.13%3.94%1.31%1.96%1.68%
LYTS
LSI Industries Inc.		1.21%1.42%1.63%2.92%2.34%3.31%6.31%2.91%2.05%0.98%2.80%2.08%

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.

-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-7.34%
-0.54%
2023-2024 вар3
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2023-2024 вар3. 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 2023-2024 вар3 was 33.30%, occurring on May 24, 2022. Recovery took 64 trading sessions.

The current 2023-2024 вар3 drawdown is 7.34%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.3%Nov 5, 2021138May 24, 202264Aug 25, 2022202
-21.79%Aug 26, 202221Sep 26, 202228Nov 3, 202249
-20.86%Jul 18, 202415Aug 7, 2024———
-15.87%Oct 12, 202314Oct 31, 202363Feb 1, 202477
-13.22%Jul 22, 202120Aug 18, 202112Sep 3, 202132

Volatility

Volatility Chart

The current 2023-2024 вар3 volatility is 7.19%, 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.

0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
7.19%
2.71%
2023-2024 вар3
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.
NVOMNSOLYTSGOOGLAEHRMODSMCI
NVO1.000.110.070.280.160.150.21
MNSO0.111.000.140.250.220.200.19
LYTS0.070.141.000.130.240.350.25
GOOGL0.280.250.131.000.350.270.31
AEHR0.160.220.240.351.000.320.35
MOD0.150.200.350.270.321.000.37
SMCI0.210.190.250.310.350.371.00
The correlation results are calculated based on daily price changes starting from Oct 16, 2020