Permian Research Performance
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Permian Research Performance, 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 Sep 19, 2014, corresponding to the inception date of BABA
Returns By Period
As of Oct 17, 2024, the Permian Research Performance returned 4.85% Year-To-Date and 22.28% of annualized return in the last 10 years.
Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
S&P 500 | 22.47% | 3.67% | 16.57% | 35.39% | 14.40% | 11.89% |
Permian Research Performance | 5.24% | 1.07% | 7.03% | 14.19% | 19.28% | 22.21% |
Portfolio components: | ||||||
Zoetis Inc. | -0.74% | -0.65% | 27.30% | 15.83% | 9.52% | 19.46% |
Old Dominion Freight Line, Inc. | 0.81% | 4.54% | -1.80% | 1.78% | 28.47% | 24.98% |
Amazon.com, Inc. | 23.42% | 0.35% | 4.64% | 46.36% | 16.41% | 28.52% |
Novo Nordisk A/S | 15.35% | -10.58% | -3.48% | 18.65% | 37.33% | 20.46% |
Alibaba Group Holding Limited | 30.21% | 18.15% | 46.52% | 23.20% | -9.59% | 1.49% |
Enphase Energy, Inc. | -30.70% | -22.75% | -16.12% | -26.06% | 29.99% | 22.34% |
The Estee Lauder Companies Inc. | -36.74% | 3.22% | -36.39% | -32.91% | -12.29% | 3.46% |
NIKE, Inc. | -21.75% | 4.09% | -11.58% | -17.86% | -1.59% | 7.79% |
JD.com, Inc. | 44.24% | 50.59% | 59.23% | 61.02% | 7.70% | 5.49% |
The Blackstone Group Inc. | 32.28% | 9.47% | 42.85% | 70.77% | 33.32% | 25.79% |
The Hershey Company | 1.21% | -7.26% | 1.35% | -0.70% | 6.07% | 9.56% |
Monthly Returns
The table below presents the monthly returns of Permian Research Performance, 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 | -3.58% | 7.32% | 0.35% | -4.75% | 2.37% | -3.42% | 5.06% | -0.28% | 4.86% | 5.24% | |||
2023 | 10.48% | -4.35% | 4.40% | -1.34% | -4.06% | 5.43% | 3.92% | -1.90% | -5.71% | -6.66% | 7.54% | 7.58% | 14.30% |
2022 | -9.37% | 0.33% | 1.94% | -7.61% | -1.62% | -1.46% | 12.24% | -5.81% | -9.02% | 1.69% | 8.81% | -3.92% | -15.10% |
2021 | -1.77% | 2.94% | 1.73% | 5.90% | 1.24% | 5.88% | 4.37% | 2.71% | -6.38% | 14.69% | 1.65% | -1.89% | 34.05% |
2020 | 4.92% | 1.35% | -8.45% | 13.03% | 9.82% | -0.96% | 8.77% | 9.80% | -0.87% | -0.23% | 9.32% | 5.70% | 63.32% |
2019 | 11.39% | 8.01% | 3.90% | 4.32% | -0.88% | 11.39% | 7.63% | 3.61% | -3.39% | 1.42% | 3.14% | 5.00% | 70.36% |
2018 | 8.54% | 1.06% | 3.32% | -2.91% | 6.27% | 2.46% | 1.18% | 2.18% | 0.22% | -9.17% | 5.27% | -7.30% | 10.03% |
2017 | 9.32% | 3.67% | -2.77% | 3.72% | 4.14% | 2.04% | 2.29% | 1.98% | 6.86% | 4.17% | 12.20% | -0.63% | 57.23% |
2016 | -9.80% | 0.93% | 5.73% | 2.20% | -1.04% | -0.30% | 4.23% | -0.76% | -3.56% | -3.45% | 1.26% | 1.19% | -4.22% |
2015 | -0.38% | 7.41% | 1.54% | 0.38% | 1.41% | -2.98% | 3.66% | -8.91% | -3.08% | 5.89% | -0.97% | 4.36% | 7.47% |
2014 | -2.21% | -0.53% | 5.51% | -0.93% | 1.68% |
Expense Ratio
Permian Research Performance 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Permian Research Performance is 4, indicating that it is in the bottom 4% 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 | |
---|---|---|---|---|---|
Zoetis Inc. | 0.49 | 0.86 | 1.11 | 0.32 | 1.22 |
Old Dominion Freight Line, Inc. | -0.06 | 0.13 | 1.02 | -0.08 | -0.16 |
Amazon.com, Inc. | 1.54 | 2.16 | 1.28 | 1.19 | 7.37 |
Novo Nordisk A/S | 0.59 | 1.06 | 1.13 | 0.84 | 2.41 |
Alibaba Group Holding Limited | 0.59 | 1.10 | 1.13 | 0.28 | 1.82 |
Enphase Energy, Inc. | -0.45 | -0.32 | 0.97 | -0.38 | -1.52 |
The Estee Lauder Companies Inc. | -0.77 | -0.98 | 0.87 | -0.46 | -1.42 |
NIKE, Inc. | -0.50 | -0.43 | 0.92 | -0.29 | -0.71 |
JD.com, Inc. | 1.08 | 1.96 | 1.22 | 0.71 | 3.54 |
The Blackstone Group Inc. | 2.11 | 2.70 | 1.34 | 1.89 | 11.63 |
The Hershey Company | -0.02 | 0.11 | 1.01 | -0.01 | -0.08 |
Dividends
Dividend yield
Permian Research Performance granted a 1.31% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Permian Research Performance | 1.31% | 1.13% | 1.28% | 0.75% | 0.89% | 0.99% | 1.57% | 1.36% | 1.71% | 1.48% | 1.15% | 0.93% |
Portfolio components: | ||||||||||||
Zoetis Inc. | 0.86% | 0.76% | 0.89% | 0.41% | 0.48% | 0.50% | 0.59% | 0.58% | 0.71% | 0.69% | 0.67% | 0.60% |
Old Dominion Freight Line, Inc. | 0.48% | 0.39% | 0.42% | 0.22% | 0.31% | 0.36% | 0.74% | 0.30% | 0.00% | 0.00% | 0.00% | 0.00% |
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% |
Novo Nordisk A/S | 1.23% | 0.99% | 1.18% | 1.34% | 1.86% | 2.12% | 2.46% | 2.13% | 3.94% | 1.31% | 1.96% | 1.68% |
Alibaba Group Holding Limited | 1.65% | 1.28% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Enphase Energy, 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% |
The Estee Lauder Companies Inc. | 2.90% | 1.81% | 0.99% | 0.59% | 0.56% | 0.86% | 1.21% | 1.10% | 1.62% | 1.16% | 1.10% | 0.98% |
NIKE, Inc. | 1.76% | 1.28% | 1.07% | 0.68% | 0.71% | 0.89% | 1.11% | 1.18% | 1.30% | 0.93% | 1.04% | 1.11% |
JD.com, Inc. | 1.83% | 2.08% | 2.21% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
The Blackstone Group Inc. | 2.00% | 2.54% | 6.66% | 2.76% | 2.95% | 3.43% | 8.12% | 7.25% | 8.44% | 9.92% | 5.63% | 3.67% |
The Hershey Company | 2.87% | 2.39% | 1.67% | 1.76% | 2.07% | 2.03% | 2.57% | 2.24% | 2.32% | 2.50% | 1.96% | 1.86% |
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 Permian Research Performance. 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 Permian Research Performance was 30.12%, occurring on Mar 23, 2020. Recovery took 47 trading sessions.
The current Permian Research Performance drawdown is 4.13%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-30.12% | Feb 20, 2020 | 23 | Mar 23, 2020 | 47 | May 29, 2020 | 70 |
-27.5% | Nov 22, 2021 | 123 | May 18, 2022 | — | — | — |
-20.54% | Apr 27, 2015 | 202 | Feb 11, 2016 | 235 | Jan 18, 2017 | 437 |
-16.49% | Aug 30, 2018 | 81 | Dec 24, 2018 | 28 | Feb 5, 2019 | 109 |
-10.21% | Sep 22, 2014 | 16 | Oct 13, 2014 | 24 | Nov 14, 2014 | 40 |
Volatility
Volatility Chart
The current Permian Research Performance volatility is 4.81%, 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
HSY | NVO | ENPH | JD | BABA | ODFL | AMZN | ZTS | BX | NKE | EL | |
---|---|---|---|---|---|---|---|---|---|---|---|
HSY | 1.00 | 0.17 | 0.08 | 0.04 | 0.06 | 0.18 | 0.14 | 0.29 | 0.16 | 0.21 | 0.32 |
NVO | 0.17 | 1.00 | 0.16 | 0.20 | 0.20 | 0.24 | 0.26 | 0.34 | 0.26 | 0.24 | 0.25 |
ENPH | 0.08 | 0.16 | 1.00 | 0.26 | 0.26 | 0.29 | 0.27 | 0.23 | 0.33 | 0.26 | 0.26 |
JD | 0.04 | 0.20 | 0.26 | 1.00 | 0.68 | 0.27 | 0.39 | 0.31 | 0.32 | 0.34 | 0.35 |
BABA | 0.06 | 0.20 | 0.26 | 0.68 | 1.00 | 0.28 | 0.42 | 0.31 | 0.32 | 0.33 | 0.35 |
ODFL | 0.18 | 0.24 | 0.29 | 0.27 | 0.28 | 1.00 | 0.37 | 0.39 | 0.47 | 0.40 | 0.38 |
AMZN | 0.14 | 0.26 | 0.27 | 0.39 | 0.42 | 0.37 | 1.00 | 0.39 | 0.41 | 0.41 | 0.39 |
ZTS | 0.29 | 0.34 | 0.23 | 0.31 | 0.31 | 0.39 | 0.39 | 1.00 | 0.39 | 0.42 | 0.40 |
BX | 0.16 | 0.26 | 0.33 | 0.32 | 0.32 | 0.47 | 0.41 | 0.39 | 1.00 | 0.44 | 0.42 |
NKE | 0.21 | 0.24 | 0.26 | 0.34 | 0.33 | 0.40 | 0.41 | 0.42 | 0.44 | 1.00 | 0.49 |
EL | 0.32 | 0.25 | 0.26 | 0.35 | 0.35 | 0.38 | 0.39 | 0.40 | 0.42 | 0.49 | 1.00 |