First Test - 11.7.24

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

First Test - 11.7.24

Last updated Nov 13, 2024

Asset Allocation

Position	Category/Sector	Weight
ABBV AbbVie Inc.	Healthcare	6.67%
AGX Argan, Inc.	Industrials	6.67%
AMGN Amgen Inc.	Healthcare	6.67%
CAT Caterpillar Inc.	Industrials	6.67%
CMG Chipotle Mexican Grill, Inc.	Consumer Cyclical	6.67%
COST Costco Wholesale Corporation	Consumer Defensive	6.67%
DPZ Domino's Pizza, Inc.	Consumer Cyclical	6.67%
GD General Dynamics Corporation		6.67%
IBM International Business Machines Corporation	Technology	6.67%
ISRG Intuitive Surgical, Inc.	Healthcare	6.67%
MAIN Main Street Capital Corporation	Financial Services	6.67%
MOD Modine Manufacturing Company	Consumer Cyclical	6.67%
MSFT Microsoft Corporation	Technology	6.67%
POWL Powell Industries, Inc.	Industrials	6.67%
ZETA Zeta Global Holdings Corp.	Technology	6.67%

Benchmark

Rebalance portfolio

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in First Test - 11.7.24, 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

First Test - 11.7.24

Benchmark (^GSPC)

Portfolio components

The earliest data available for this chart is Jun 10, 2021, corresponding to the inception date of ZETA

Returns By Period

	Year-To-Date	1 month	6 months	1 year	5 years (annualized)	10 years (annualized)
^GSPC S&P 500	25.48%	2.14%	12.76%	33.14%	13.96%	11.39%
First Test - 11.7.24	62.96%	0.35%	22.23%	77.14%	N/A	N/A
Portfolio components:
MOD Modine Manufacturing Company	113.22%	-4.49%	16.33%	156.32%	76.31%	26.10%
AGX Argan, Inc.	227.48%	32.54%	124.01%	237.66%	33.85%	18.85%
ZETA Zeta Global Holdings Corp.	101.36%	-42.82%	4.35%	107.96%	N/A	N/A
POWL Powell Industries, Inc.	260.67%	19.04%	89.97%	266.47%	56.02%	25.66%
ABBV AbbVie Inc.	13.95%	-12.23%	5.81%	27.91%	19.02%	14.98%
AMGN Amgen Inc.	6.97%	-7.14%	-4.18%	14.99%	9.58%	9.71%
CAT Caterpillar Inc.	33.01%	-1.39%	8.33%	58.67%	24.43%	17.47%
CMG Chipotle Mexican Grill, Inc.	29.58%	-0.02%	-6.46%	36.82%	31.58%	16.07%
COST Costco Wholesale Corporation	42.28%	5.08%	18.96%	62.58%	27.42%	23.65%
DPZ Domino's Pizza, Inc.	7.69%	2.68%	-14.53%	16.44%	10.57%	18.28%
GD General Dynamics Corporation	23.38%	4.03%	7.65%	29.26%	13.66%	10.69%
IBM International Business Machines Corporation	33.62%	-9.64%	27.45%	45.30%	15.73%	7.55%
ISRG Intuitive Surgical, Inc.	59.09%	10.07%	34.38%	84.04%	23.18%	25.21%
MAIN Main Street Capital Corporation	30.12%	2.65%	10.43%	39.67%	12.47%	13.48%
MSFT Microsoft Corporation	13.69%	1.45%	0.68%	15.70%	24.40%	25.99%

Monthly Returns

The table below presents the monthly returns of First Test - 11.7.24, 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	8.33%	10.37%	1.67%	0.19%	8.64%	1.65%	4.83%	3.54%	7.91%	0.61%			62.96%
2023	4.73%	-0.54%	2.97%	0.29%	2.83%	6.07%	4.73%	4.50%	-0.60%	-3.65%	9.65%	7.41%	44.84%
2022	-4.84%	2.42%	2.54%	-8.19%	4.49%	-6.50%	8.23%	0.13%	-9.67%	16.25%	8.60%	-2.60%	7.92%
2021						0.27%	1.03%	-0.09%	-5.45%	6.08%	-1.75%	7.23%	6.95%

Expense Ratio

First Test - 11.7.24 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 risk-adjusted rank of First Test - 11.7.24 is 98, placing it in the top 2% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

Combined Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin 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.

First Test - 11.7.24

^GSPC

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
MOD Modine Manufacturing Company	2.99	3.14	1.43	7.80	21.85
AGX Argan, Inc.	4.95	5.79	1.86	19.60	54.62
ZETA Zeta Global Holdings Corp.	1.73	2.01	1.37	2.27	16.71
POWL Powell Industries, Inc.	3.28	4.11	1.50	7.83	16.41
ABBV AbbVie Inc.	1.19	1.53	1.26	1.66	5.32
AMGN Amgen Inc.	0.66	1.10	1.15	0.89	2.17
CAT Caterpillar Inc.	2.36	3.11	1.41	3.96	9.17
CMG Chipotle Mexican Grill, Inc.	1.32	1.80	1.26	1.38	3.31
COST Costco Wholesale Corporation	3.37	3.99	1.60	6.44	16.64
DPZ Domino's Pizza, Inc.	0.68	1.05	1.16	0.57	1.55
GD General Dynamics Corporation	1.88	2.70	1.35	4.65	14.54
IBM International Business Machines Corporation	2.15	2.86	1.44	2.82	6.71
ISRG Intuitive Surgical, Inc.	3.33	5.01	1.63	4.46	34.15
MAIN Main Street Capital Corporation	2.92	3.72	1.56	4.24	16.27
MSFT Microsoft Corporation	0.86	1.21	1.16	1.09	2.65

Sharpe Ratio

The current First Test - 11.7.24 Sharpe ratio is 4.99. 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 2.06 to 2.97, 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 First Test - 11.7.24 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.

First Test - 11.7.24

Benchmark (^GSPC)

Portfolio components

Dividends

Dividend yield

First Test - 11.7.24 provided a 1.73% dividend yield over the last twelve months.

	TTM	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014	2013
Portfolio	1.73%	2.09%	2.12%	1.94%	2.51%	2.08%	2.35%	2.22%	2.04%	2.57%	1.91%	1.76%
Portfolio components:
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%
AGX Argan, Inc.	0.85%	2.24%	2.71%	1.94%	4.50%	2.49%	1.98%	2.22%	1.42%	2.16%	2.08%	2.72%
ZETA Zeta Global Holdings Corp.	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
POWL Powell Industries, Inc.	0.25%	1.19%	2.96%	3.53%	3.53%	2.12%	4.16%	3.63%	2.67%	4.00%	2.06%	0.37%
ABBV AbbVie Inc.	3.64%	3.82%	3.49%	3.84%	4.41%	4.83%	3.89%	2.65%	3.64%	3.41%	2.54%	3.03%
AMGN Amgen Inc.	2.95%	2.96%	2.95%	3.13%	2.78%	2.41%	2.71%	2.65%	2.74%	1.95%	1.53%	1.65%
CAT Caterpillar Inc.	1.40%	1.69%	1.93%	2.07%	2.26%	2.56%	2.58%	1.97%	3.32%	4.33%	2.84%	1.89%
CMG Chipotle Mexican Grill, 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%
COST Costco Wholesale Corporation	2.09%	2.87%	0.76%	0.54%	3.38%	0.86%	1.08%	4.81%	1.09%	4.06%	0.97%	1.01%
DPZ Domino's Pizza, Inc.	1.31%	1.17%	1.27%	0.67%	0.81%	0.89%	0.89%	0.97%	0.95%	1.11%	1.06%	1.15%
GD General Dynamics Corporation	1.78%	2.01%	2.00%	2.24%	2.90%	2.26%	2.31%	1.61%	1.72%	2.46%	1.76%	1.76%
IBM International Business Machines Corporation	3.16%	4.05%	4.68%	4.74%	5.17%	4.80%	5.46%	3.85%	3.31%	3.63%	2.65%	1.97%
ISRG Intuitive Surgical, 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%
MAIN Main Street Capital Corporation	7.87%	8.61%	7.97%	5.74%	6.99%	6.76%	8.43%	7.02%	7.42%	9.15%	8.72%	8.18%
MSFT Microsoft Corporation	0.71%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%	2.48%	2.59%

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.

First Test - 11.7.24

Benchmark (^GSPC)

Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the First Test - 11.7.24. 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 First Test - 11.7.24 was 16.50%, occurring on Sep 30, 2022. Recovery took 29 trading sessions.

The current First Test - 11.7.24 drawdown is 3.25%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-16.5%	Aug 17, 2022	32	Sep 30, 2022	29	Nov 10, 2022	61
-14.12%	Jan 5, 2022	113	Jun 16, 2022	35	Aug 8, 2022	148
-8.02%	Nov 9, 2021	16	Dec 1, 2021	22	Jan 3, 2022	38
-6.94%	Oct 12, 2023	12	Oct 27, 2023	12	Nov 14, 2023	24
-6.35%	Nov 11, 2024	3	Nov 13, 2024	—	—	—

Volatility

Volatility Chart

The current First Test - 11.7.24 volatility is 8.28%, 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.

First Test - 11.7.24

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.

	ABBV	ZETA	AMGN	DPZ	POWL	AGX	CMG	IBM	MOD	GD	COST	MAIN	MSFT	CAT	ISRG
ABBV	1.00	-0.01	0.47	0.14	0.08	0.14	0.06	0.29	0.07	0.27	0.18	0.19	0.14	0.24	0.25
ZETA	-0.01	1.00	0.11	0.19	0.19	0.18	0.34	0.22	0.29	0.18	0.26	0.27	0.35	0.27	0.35
AMGN	0.47	0.11	1.00	0.18	0.18	0.23	0.12	0.37	0.19	0.29	0.27	0.26	0.24	0.29	0.30
DPZ	0.14	0.19	0.18	1.00	0.22	0.18	0.39	0.21	0.24	0.23	0.36	0.28	0.34	0.27	0.40
POWL	0.08	0.19	0.18	0.22	1.00	0.36	0.23	0.31	0.45	0.30	0.18	0.34	0.21	0.39	0.24
AGX	0.14	0.18	0.23	0.18	0.36	1.00	0.20	0.31	0.37	0.39	0.25	0.29	0.17	0.40	0.21
CMG	0.06	0.34	0.12	0.39	0.23	0.20	1.00	0.20	0.31	0.24	0.46	0.37	0.53	0.28	0.50
IBM	0.29	0.22	0.37	0.21	0.31	0.31	0.20	1.00	0.36	0.41	0.32	0.32	0.32	0.46	0.31
MOD	0.07	0.29	0.19	0.24	0.45	0.37	0.31	0.36	1.00	0.32	0.28	0.38	0.29	0.52	0.31
GD	0.27	0.18	0.29	0.23	0.30	0.39	0.24	0.41	0.32	1.00	0.35	0.38	0.30	0.48	0.32
COST	0.18	0.26	0.27	0.36	0.18	0.25	0.46	0.32	0.28	0.35	1.00	0.33	0.53	0.27	0.53
MAIN	0.19	0.27	0.26	0.28	0.34	0.29	0.37	0.32	0.38	0.38	0.33	1.00	0.40	0.44	0.39
MSFT	0.14	0.35	0.24	0.34	0.21	0.17	0.53	0.32	0.29	0.30	0.53	0.40	1.00	0.27	0.60
CAT	0.24	0.27	0.29	0.27	0.39	0.40	0.28	0.46	0.52	0.48	0.27	0.44	0.27	1.00	0.32
ISRG	0.25	0.35	0.30	0.40	0.24	0.21	0.50	0.31	0.31	0.32	0.53	0.39	0.60	0.32	1.00

The correlation results are calculated based on daily price changes starting from Jun 11, 2021

Performance Analysis

Risk Analysis

Optimization

Factor Model

First Test - 11.7.24

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

Portfolios

Screeners

Community