Longtime Volatility
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AMAT Applied Materials, Inc. | Technology | 7.69% |
AVGO Broadcom Inc. | Technology | 7.69% |
DECK Deckers Outdoor Corporation | Consumer Cyclical | 7.69% |
FIX Comfort Systems USA, Inc. | Industrials | 7.69% |
IESC IES Holdings, Inc. | Industrials | 7.69% |
KLAC KLA Corporation | Technology | 7.69% |
LLY Eli Lilly and Company | Healthcare | 7.69% |
LRCX Lam Research Corporation | Technology | 7.69% |
NVMI Nova Ltd | Technology | 7.69% |
ONTO Onto Innovation Inc. | Technology | 7.69% |
STRL Sterling Construction Company, Inc. | Industrials | 7.69% |
VRT Vertiv Holdings Co. | Industrials | 7.69% |
VST Vistra Corp. | Utilities | 7.69% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Longtime Volatility, 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 Jul 30, 2018, corresponding to the inception date of VRT
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.79% | 0.18% | 7.53% | 26.42% | 13.48% | 10.85% |
| Longtime Volatility | 53.05% | -1.04% | 10.23% | 86.70% | 48.49% | N/A |
| Portfolio components: | ||||||
KLAC KLA Corporation | 26.53% | -9.92% | 2.91% | 63.10% | 38.19% | 30.12% |
NVMI Nova Ltd | 40.00% | -16.62% | 4.67% | 72.24% | 43.95% | 32.83% |
FIX Comfort Systems USA, Inc. | 73.81% | 7.81% | 10.49% | 99.43% | 54.05% | 38.78% |
LLY Eli Lilly and Company | 56.00% | -4.74% | 17.85% | 59.93% | 53.01% | 32.47% |
ONTO Onto Innovation Inc. | 22.81% | -10.61% | 2.60% | 52.88% | 42.73% | 27.72% |
STRL Sterling Construction Company, Inc. | 53.46% | 21.23% | 22.73% | 81.18% | 59.41% | 33.25% |
AVGO Broadcom Inc. | 45.91% | -2.58% | 20.31% | 97.00% | 45.89% | 37.82% |
IESC IES Holdings, Inc. | 108.98% | -3.54% | 44.03% | 145.84% | 52.58% | 36.33% |
DECK Deckers Outdoor Corporation | 41.13% | -0.56% | -1.00% | 80.14% | 47.39% | 25.32% |
VST Vistra Corp. | 138.17% | 14.50% | 33.72% | 185.29% | 30.92% | N/A |
VRT Vertiv Holdings Co. | 82.67% | 14.61% | 6.82% | 136.50% | 53.77% | N/A |
LRCX Lam Research Corporation | -2.81% | -12.13% | -22.69% | 23.34% | 28.09% | 27.73% |
AMAT Applied Materials, Inc. | 15.48% | -9.54% | -11.37% | 36.93% | 30.90% | 25.16% |
Monthly Returns
The table below presents the monthly returns of Longtime Volatility, 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 | 5.20% | 22.82% | 6.97% | -0.38% | 13.67% | 0.80% | -4.88% | 5.58% | 53.05% | ||||
| 2023 | 7.83% | 2.73% | 4.97% | -0.70% | 15.20% | 12.47% | 4.97% | 13.20% | -7.31% | -0.81% | 12.33% | 9.98% | 101.91% |
| 2022 | -10.77% | -5.66% | 1.43% | -10.15% | 5.96% | -12.01% | 17.77% | -6.37% | -9.98% | 13.37% | 11.98% | -4.13% | -13.59% |
| 2021 | 6.64% | 8.91% | 4.68% | 1.46% | 3.71% | 5.02% | 0.50% | 0.44% | -6.10% | 9.71% | 6.67% | 6.79% | 59.15% |
| 2020 | 0.39% | -7.41% | -14.85% | 11.10% | 9.70% | 6.75% | 5.61% | 3.88% | 1.41% | 0.39% | 17.72% | 9.08% | 47.68% |
| 2019 | 10.97% | 4.97% | 0.69% | 4.66% | -9.61% | 8.58% | -0.37% | -0.55% | 7.56% | 6.28% | 2.61% | 4.50% | 46.31% |
| 2018 | 2.13% | 2.83% | -3.39% | -8.16% | 6.03% | -7.61% | -8.72% |
Expense Ratio
Longtime Volatility 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 risk-adjusted rank of Longtime Volatility is 80, placing it in the top 20% 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 | |
|---|---|---|---|---|---|
KLAC KLA Corporation | 1.54 | 2.03 | 1.28 | 2.79 | 8.48 |
NVMI Nova Ltd | 1.54 | 2.10 | 1.29 | 1.87 | 8.26 |
FIX Comfort Systems USA, Inc. | 2.16 | 2.75 | 1.36 | 4.98 | 14.73 |
LLY Eli Lilly and Company | 1.93 | 2.69 | 1.35 | 3.12 | 11.47 |
ONTO Onto Innovation Inc. | 1.02 | 1.55 | 1.21 | 1.57 | 4.95 |
STRL Sterling Construction Company, Inc. | 1.55 | 2.06 | 1.29 | 3.30 | 6.99 |
AVGO Broadcom Inc. | 2.06 | 2.68 | 1.35 | 3.71 | 11.49 |
IESC IES Holdings, Inc. | 2.67 | 3.06 | 1.42 | 4.60 | 11.68 |
DECK Deckers Outdoor Corporation | 1.91 | 3.08 | 1.38 | 3.36 | 8.13 |
VST Vistra Corp. | 3.79 | 3.72 | 1.52 | 5.12 | 14.03 |
VRT Vertiv Holdings Co. | 2.41 | 2.65 | 1.35 | 3.56 | 10.14 |
LRCX Lam Research Corporation | 0.56 | 0.99 | 1.13 | 0.63 | 1.79 |
AMAT Applied Materials, Inc. | 0.92 | 1.42 | 1.19 | 1.16 | 3.38 |
Dividends
Dividend yield
Longtime Volatility granted a 0.43% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Longtime Volatility | 0.43% | 0.59% | 0.89% | 0.69% | 0.91% | 1.01% | 1.07% | 0.69% | 1.94% | 0.83% | 2.60% | 0.88% |
| Portfolio components: | ||||||||||||
KLAC KLA Corporation | 0.79% | 0.92% | 1.25% | 0.91% | 1.35% | 1.74% | 3.17% | 2.15% | 2.67% | 2.94% | 26.17% | 2.64% |
NVMI Nova 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% |
FIX Comfort Systems USA, Inc. | 0.31% | 0.41% | 0.49% | 0.49% | 0.81% | 0.79% | 0.76% | 0.68% | 0.83% | 0.88% | 1.31% | 1.08% |
LLY Eli Lilly and Company | 0.56% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.94% | 2.46% | 2.77% | 2.37% | 2.84% | 3.84% |
ONTO Onto Innovation 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% |
STRL Sterling Construction Company, 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% |
AVGO Broadcom Inc. | 1.30% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% | 1.66% |
IESC IES Holdings, 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% |
DECK Deckers Outdoor 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% |
VST Vistra Corp. | 0.71% | 2.13% | 3.12% | 2.64% | 2.75% | 2.17% | 0.00% | 0.00% | 14.97% | 0.00% | 0.00% | 0.00% |
VRT Vertiv Holdings Co. | 0.11% | 0.05% | 0.07% | 0.04% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
LRCX Lam Research Corporation | 1.10% | 0.95% | 1.53% | 0.78% | 1.04% | 1.54% | 2.79% | 1.01% | 1.28% | 1.36% | 0.68% | 0.00% |
AMAT Applied Materials, Inc. | 0.77% | 0.75% | 1.05% | 0.60% | 1.01% | 1.36% | 2.14% | 0.78% | 1.24% | 2.14% | 1.61% | 2.21% |
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 Longtime Volatility. 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 Longtime Volatility was 40.03%, occurring on Mar 18, 2020. Recovery took 92 trading sessions.
The current Longtime Volatility drawdown is 7.37%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -40.03% | Feb 14, 2020 | 23 | Mar 18, 2020 | 92 | Jul 29, 2020 | 115 |
| -31.22% | Dec 28, 2021 | 131 | Jul 6, 2022 | 208 | May 3, 2023 | 339 |
| -20.01% | Aug 9, 2018 | 95 | Dec 24, 2018 | 38 | Feb 20, 2019 | 133 |
| -19.17% | Jul 17, 2024 | 14 | Aug 5, 2024 | — | — | — |
| -12.4% | Sep 5, 2023 | 38 | Oct 26, 2023 | 13 | Nov 14, 2023 | 51 |
Volatility
Volatility Chart
The current Longtime Volatility volatility is 12.68%, 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
| LLY | VST | IESC | VRT | DECK | STRL | FIX | AVGO | NVMI | ONTO | LRCX | AMAT | KLAC | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| LLY | 1.00 | 0.21 | 0.15 | 0.20 | 0.18 | 0.16 | 0.22 | 0.25 | 0.19 | 0.17 | 0.19 | 0.21 | 0.23 |
| VST | 0.21 | 1.00 | 0.29 | 0.28 | 0.27 | 0.32 | 0.37 | 0.27 | 0.26 | 0.28 | 0.28 | 0.27 | 0.29 |
| IESC | 0.15 | 0.29 | 1.00 | 0.33 | 0.35 | 0.48 | 0.53 | 0.33 | 0.34 | 0.40 | 0.36 | 0.37 | 0.36 |
| VRT | 0.20 | 0.28 | 0.33 | 1.00 | 0.38 | 0.35 | 0.41 | 0.43 | 0.40 | 0.41 | 0.42 | 0.43 | 0.44 |
| DECK | 0.18 | 0.27 | 0.35 | 0.38 | 1.00 | 0.38 | 0.43 | 0.42 | 0.40 | 0.41 | 0.43 | 0.44 | 0.44 |
| STRL | 0.16 | 0.32 | 0.48 | 0.35 | 0.38 | 1.00 | 0.58 | 0.36 | 0.36 | 0.43 | 0.38 | 0.40 | 0.39 |
| FIX | 0.22 | 0.37 | 0.53 | 0.41 | 0.43 | 0.58 | 1.00 | 0.41 | 0.40 | 0.48 | 0.44 | 0.44 | 0.45 |
| AVGO | 0.25 | 0.27 | 0.33 | 0.43 | 0.42 | 0.36 | 0.41 | 1.00 | 0.65 | 0.64 | 0.72 | 0.72 | 0.73 |
| NVMI | 0.19 | 0.26 | 0.34 | 0.40 | 0.40 | 0.36 | 0.40 | 0.65 | 1.00 | 0.75 | 0.76 | 0.77 | 0.76 |
| ONTO | 0.17 | 0.28 | 0.40 | 0.41 | 0.41 | 0.43 | 0.48 | 0.64 | 0.75 | 1.00 | 0.77 | 0.76 | 0.75 |
| LRCX | 0.19 | 0.28 | 0.36 | 0.42 | 0.43 | 0.38 | 0.44 | 0.72 | 0.76 | 0.77 | 1.00 | 0.91 | 0.89 |
| AMAT | 0.21 | 0.27 | 0.37 | 0.43 | 0.44 | 0.40 | 0.44 | 0.72 | 0.77 | 0.76 | 0.91 | 1.00 | 0.89 |
| KLAC | 0.23 | 0.29 | 0.36 | 0.44 | 0.44 | 0.39 | 0.45 | 0.73 | 0.76 | 0.75 | 0.89 | 0.89 | 1.00 |