PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Small cap w/wide moats
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Small cap w/wide moats

Last updated Sep 21, 2024

Asset Allocation

BITF 20%ACMR 20%PRLB 20%HCSG 20%AAOI 20%EquityEquity
PositionCategory/SectorWeight
AAOI
Applied Optoelectronics, Inc.		Technology
20%
ACMR
ACM Research, Inc.		Technology
20%
BITF
Bitfarms Ltd.		Financial Services
20%
HCSG
Healthcare Services Group, Inc.		Healthcare
20%
PRLB
Proto Labs, Inc.		Industrials
20%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Small cap w/wide moats, 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

-30.00%-20.00%-10.00%0.00%10.00%AprilMayJuneJulyAugustSeptember
-13.23%
8.95%
Small cap w/wide moats
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 16, 2019, corresponding to the inception date of BITF

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		19.55%1.45%8.95%31.70%13.79%11.17%
Small cap w/wide moats-8.78%6.78%-13.23%63.66%33.37%N/A
Portfolio components:
BITF
Bitfarms Ltd.		-31.27%-15.97%-13.42%83.49%20.21%N/A
ACMR
ACM Research, Inc.		-12.79%-14.54%-44.75%9.79%28.91%N/A
PRLB
Proto Labs, Inc.		-24.64%-3.23%-15.56%11.51%-22.55%-8.35%
HCSG
Healthcare Services Group, Inc.		9.45%6.17%-6.74%8.20%-12.26%-6.78%
AAOI
Applied Optoelectronics, Inc.		-28.42%55.04%-5.79%48.55%4.41%-2.10%

Monthly Returns

The table below presents the monthly returns of Small cap w/wide moats, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-13.07%28.86%-7.85%-18.12%3.49%0.61%2.73%-2.74%-8.78%
202350.62%-1.70%0.80%-2.78%3.19%49.16%4.37%20.41%-13.18%-15.73%36.93%42.12%299.55%
2022-10.73%-0.96%-3.16%-21.43%-3.98%-11.23%4.66%1.10%-9.34%-6.90%-14.24%-12.82%-61.72%
202126.52%4.17%-4.29%-1.93%-6.64%8.12%-8.80%6.81%-7.47%-1.73%-0.39%-14.60%-5.91%
202022.92%-6.04%-17.13%28.83%8.35%-0.86%24.79%-5.65%-14.12%5.68%26.19%89.66%238.75%
20193.43%-1.19%-8.73%2.85%5.44%1.14%

Expense Ratio

Small cap w/wide moats 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 Small cap w/wide moats 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.

The Risk-Adjusted Performance Rank of Small cap w/wide moats is 1010
Small cap w/wide moats
The Sharpe Ratio Rank of Small cap w/wide moats is 99Sharpe Ratio Rank
The Sortino Ratio Rank of Small cap w/wide moats is 1111Sortino Ratio Rank
The Omega Ratio Rank of Small cap w/wide moats is 99Omega Ratio Rank
The Calmar Ratio Rank of Small cap w/wide moats is 1515Calmar Ratio Rank
The Martin Ratio Rank of Small cap w/wide moats is 66Martin 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.

Small cap w/wide moats
Sharpe ratio
The chart of Sharpe ratio for Small cap w/wide moats, currently valued at 1.16, compared to the broader market-1.000.001.002.003.004.001.16
Sortino ratio
The chart of Sortino ratio for Small cap w/wide moats, currently valued at 1.88, compared to the broader market-2.000.002.004.006.001.88
Omega ratio
The chart of Omega ratio for Small cap w/wide moats, currently valued at 1.21, compared to the broader market0.801.001.201.401.601.801.21
Calmar ratio
The chart of Calmar ratio for Small cap w/wide moats, currently valued at 1.04, compared to the broader market0.002.004.006.008.0010.001.04
Martin ratio
The chart of Martin ratio for Small cap w/wide moats, currently valued at 3.39, compared to the broader market0.0010.0020.0030.0040.003.39
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BITF
Bitfarms Ltd.		0.791.841.200.882.53
ACMR
ACM Research, Inc.		0.100.821.090.110.30
PRLB
Proto Labs, Inc.		0.230.761.100.120.64
HCSG
Healthcare Services Group, Inc.		0.130.581.070.080.47
AAOI
Applied Optoelectronics, Inc.		0.391.301.160.580.96

Sharpe Ratio

The current Small cap w/wide moats Sharpe ratio is 1.16. 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 1.91 to 2.59, 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 Small cap w/wide moats 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 Ratio0.001.002.003.004.00AprilMayJuneJulyAugustSeptember
1.16
2.32
Small cap w/wide moats
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Small cap w/wide moats granted a 0.00% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
Small cap w/wide moats0.00%0.00%1.42%0.94%0.58%0.65%0.38%0.29%0.37%0.41%0.45%0.47%
Portfolio components:
BITF
Bitfarms Ltd.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ACMR
ACM Research, 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%
PRLB
Proto Labs, 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%
HCSG
Healthcare Services Group, Inc.		0.00%0.00%7.10%4.68%2.89%3.26%1.92%1.43%1.87%2.04%2.24%2.37%
AAOI
Applied Optoelectronics, 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%

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.

-40.00%-30.00%-20.00%-10.00%0.00%AprilMayJuneJulyAugustSeptember
-21.00%
-0.19%
Small cap w/wide moats
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Small cap w/wide moats. 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 Small cap w/wide moats was 79.67%, occurring on Dec 28, 2022. The portfolio has not yet recovered.

The current Small cap w/wide moats drawdown is 21.00%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-79.67%Feb 22, 2021468Dec 28, 2022———
-50.51%Jan 23, 202037Mar 16, 202087Jul 20, 2020124
-28.2%Aug 7, 202022Sep 8, 202069Dec 15, 202091
-21.04%Sep 12, 201931Oct 24, 201950Jan 7, 202081
-19.74%Dec 23, 20202Dec 24, 20207Jan 6, 20219

Volatility

Volatility Chart

The current Small cap w/wide moats volatility is 12.90%, 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%20.00%AprilMayJuneJulyAugustSeptember
12.90%
4.31%
Small cap w/wide moats
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.
BITFHCSGACMRAAOIPRLB
BITF1.000.200.310.280.26
HCSG0.201.000.260.280.39
ACMR0.310.261.000.370.36
AAOI0.280.280.371.000.40
PRLB0.260.390.360.401.00
The correlation results are calculated based on daily price changes starting from Aug 19, 2019