PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
optimized stocks 3
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

optimized stocks 3

Last updated Sep 21, 2024

TAST 0.108144 NVDA 0.109618 SKYW 0.166404 CNM 0.216852 TALK 0.131577 INDL 0.180751 YANG 0.086653

Asset Allocation

CNM 21.6%INDL 18.1%SKYW 16.6%TALK 13.1%NVDA 11%TAST 10.8%YANG 8.8%EquityEquity
PositionCategory/SectorWeight
CNM
Core & Main, Inc.		Industrials
21.60%
INDL
Direxion Daily India Bull 3x Shares		Leveraged Equities, Leveraged
18.10%
NVDA
NVIDIA Corporation		Technology
11%
SKYW
SkyWest, Inc.		Industrials
16.60%
TALK
Talkspace, Inc.		Healthcare
13.10%
TAST
Carrols Restaurant Group, Inc.		Consumer Cyclical
10.80%
YANG
Direxion Daily China 3x Bear Shares		Leveraged Equities, Leveraged, China Equities
8.80%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in optimized stocks 3, 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%AprilMayJuneJulyAugustSeptember
-3.78%
8.95%
optimized stocks 3
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 22, 2021, corresponding to the inception date of CNM

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%
optimized stocks 327.36%0.28%-3.78%62.12%N/AN/A
Portfolio components:
TAST
Carrols Restaurant Group, Inc.		21.32%0.00%0.42%54.14%N/AN/A
NVDA
NVIDIA Corporation		134.29%-6.25%23.05%178.86%93.52%74.43%
SKYW
SkyWest, Inc.		56.88%10.05%21.97%95.30%7.11%25.87%
CNM
Core & Main, Inc.		7.42%-15.31%-25.39%52.69%N/AN/A
TALK
Talkspace, Inc.		-13.78%28.82%-38.66%11.17%N/AN/A
INDL
Direxion Daily India Bull 3x Shares		35.01%6.07%28.92%59.13%6.28%-1.37%
YANG
Direxion Daily China 3x Bear Shares		-39.35%-11.54%-36.68%-22.95%-31.22%-32.17%

Monthly Returns

The table below presents the monthly returns of optimized stocks 3, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20248.12%11.07%9.92%-2.66%1.33%1.20%0.58%-3.49%27.36%
202317.97%4.09%1.39%19.73%18.16%10.89%7.31%4.15%-2.21%-2.26%14.74%11.85%167.81%
2022-13.11%-5.10%1.23%-10.30%-3.31%-7.45%16.14%-9.03%-7.19%7.18%-5.73%-12.58%-41.96%
20218.48%5.26%-4.11%-0.21%-4.44%2.09%6.59%

Expense Ratio

optimized stocks 3 features an expense ratio of 0.33%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

INDL
Direxion Daily India Bull 3x Shares
Expense ratio chart for INDL: current value at 1.33% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.33%
YANG
Direxion Daily China 3x Bear Shares
Expense ratio chart for YANG: current value at 1.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of optimized stocks 3 is 78, placing it in the top 22% 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 optimized stocks 3 is 7878
optimized stocks 3
The Sharpe Ratio Rank of optimized stocks 3 is 8585Sharpe Ratio Rank
The Sortino Ratio Rank of optimized stocks 3 is 7474Sortino Ratio Rank
The Omega Ratio Rank of optimized stocks 3 is 7878Omega Ratio Rank
The Calmar Ratio Rank of optimized stocks 3 is 9191Calmar Ratio Rank
The Martin Ratio Rank of optimized stocks 3 is 6262Martin 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.

optimized stocks 3
Sharpe ratio
The chart of Sharpe ratio for optimized stocks 3, currently valued at 2.75, compared to the broader market-1.000.001.002.003.004.002.75
Sortino ratio
The chart of Sortino ratio for optimized stocks 3, currently valued at 3.40, compared to the broader market-2.000.002.004.006.003.40
Omega ratio
The chart of Omega ratio for optimized stocks 3, currently valued at 1.46, compared to the broader market0.801.001.201.401.601.801.46
Calmar ratio
The chart of Calmar ratio for optimized stocks 3, currently valued at 4.30, compared to the broader market0.002.004.006.008.0010.004.30
Martin ratio
The chart of Martin ratio for optimized stocks 3, currently valued at 14.00, compared to the broader market0.0010.0020.0030.0040.0014.00
^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
TAST
Carrols Restaurant Group, Inc.		1.272.361.501.729.62
NVDA
NVIDIA Corporation		3.373.571.466.4620.29
SKYW
SkyWest, Inc.		2.793.411.453.4014.78
CNM
Core & Main, Inc.		1.401.751.281.394.22
TALK
Talkspace, Inc.		0.120.621.080.100.27
INDL
Direxion Daily India Bull 3x Shares		2.012.371.371.7116.94
YANG
Direxion Daily China 3x Bear Shares		-0.36-0.060.99-0.31-0.69

Sharpe Ratio

The current optimized stocks 3 Sharpe ratio is 2.75. 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 is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of optimized stocks 3 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 Ratio2.004.006.008.0010.00AprilMayJuneJulyAugustSeptember
2.75
2.32
optimized stocks 3
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

optimized stocks 3 granted a 0.62% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
optimized stocks 30.62%0.65%0.03%1.93%0.13%0.41%0.28%0.19%0.16%0.27%0.43%0.39%
Portfolio components:
TAST
Carrols Restaurant Group, Inc.		0.42%0.25%0.00%13.85%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NVDA
NVIDIA Corporation		0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.19%1.68%1.95%
SKYW
SkyWest, Inc.		0.00%0.00%0.00%0.00%0.35%0.74%0.90%0.60%0.66%0.84%1.51%1.08%
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%
TALK
Talkspace, 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%
INDL
Direxion Daily India Bull 3x Shares		0.89%1.65%0.09%2.35%0.00%0.68%0.18%0.31%0.00%0.00%0.00%0.00%
YANG
Direxion Daily China 3x Bear Shares		4.64%3.66%0.00%0.00%0.68%1.54%0.56%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.

-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-7.10%
-0.19%
optimized stocks 3
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the optimized stocks 3. 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 optimized stocks 3 was 49.89%, occurring on Dec 28, 2022. Recovery took 125 trading sessions.

The current optimized stocks 3 drawdown is 7.10%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-49.89%Nov 9, 2021286Dec 28, 2022125Jun 29, 2023411
-13.77%Jul 17, 202437Sep 6, 2024———
-8.59%Sep 3, 202133Oct 20, 202113Nov 8, 202146
-7.81%Sep 1, 202339Oct 26, 202310Nov 9, 202349
-6.01%Apr 9, 202440Jun 4, 202410Jun 18, 202450

Volatility

Volatility Chart

The current optimized stocks 3 volatility is 6.52%, 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.

2.00%4.00%6.00%8.00%10.00%AprilMayJuneJulyAugustSeptember
6.52%
4.31%
optimized stocks 3
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.
TASTTALKYANGCNMSKYWINDLNVDA
TAST1.000.17-0.150.160.300.240.25
TALK0.171.00-0.230.240.270.250.24
YANG-0.15-0.231.00-0.22-0.24-0.35-0.34
CNM0.160.24-0.221.000.370.350.42
SKYW0.300.27-0.240.371.000.370.39
INDL0.240.25-0.350.350.371.000.41
NVDA0.250.24-0.340.420.390.411.00
The correlation results are calculated based on daily price changes starting from Jul 23, 2021