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Industrials

Last updated Mar 2, 2024

Asset Allocation


GE 20%MMM 20%HON 15%CAT 15%SIEGY 10%LMT 10%BA 5%RTX 5%EquityEquity
PositionCategory/SectorWeight
GE
General Electric Company
Industrials

20%

MMM
3M Company
Industrials

20%

HON
Honeywell International Inc
Industrials

15%

CAT
Caterpillar Inc.
Industrials

15%

SIEGY
Siemens Aktiengesellschaft
Industrials

10%

LMT
Lockheed Martin Corporation
Industrials

10%

BA
The Boeing Company
Industrials

5%

RTX
Raytheon Technologies Corporation
Industrials

5%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in Industrials, 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


200.00%300.00%400.00%500.00%600.00%700.00%OctoberNovemberDecember2024FebruaryMarch
707.91%
335.29%
Industrials
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 12, 2001, corresponding to the inception date of SIEGY

Returns

As of Mar 2, 2024, the Industrials returned 2.36% Year-To-Date and 8.97% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
Industrials2.36%5.14%11.72%19.76%11.17%8.92%
GE
General Electric Company
24.30%16.19%39.06%84.22%23.34%1.85%
MMM
3M Company
-15.97%-3.17%-12.76%-13.59%-11.30%-0.58%
HON
Honeywell International Inc
-5.26%1.31%6.08%2.63%7.35%10.03%
CAT
Caterpillar Inc.
14.40%6.86%18.78%34.56%23.08%16.46%
SIEGY
Siemens Aktiengesellschaft
7.90%11.84%35.99%28.89%17.82%9.29%
LMT
Lockheed Martin Corporation
-5.22%0.85%-3.46%-8.25%9.98%12.94%
BA
The Boeing Company
-23.27%-4.48%-10.47%-7.02%-13.60%6.13%
RTX
Raytheon Technologies Corporation
7.43%-1.73%5.54%-6.83%5.21%4.40%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-3.72%6.22%
2023-1.49%-6.69%-2.63%10.85%8.63%

Sharpe Ratio

The current Industrials Sharpe ratio is 1.41. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.41

The Sharpe ratio of Industrials is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.41
2.44
Industrials
Benchmark (^GSPC)
Portfolio components

Dividend yield

Industrials granted a 2.58% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Industrials2.58%2.35%2.31%1.98%2.96%2.18%3.04%2.98%2.50%2.79%2.48%2.27%
GE
General Electric Company
0.20%0.25%0.38%0.34%0.37%0.36%4.89%4.81%2.94%2.95%3.52%2.82%
MMM
3M Company
6.54%5.49%4.97%3.33%3.36%3.26%2.86%2.00%2.49%2.72%2.08%1.81%
HON
Honeywell International Inc
2.12%1.99%1.85%1.81%1.71%1.90%1.12%0.50%0.54%0.50%0.45%0.44%
CAT
Caterpillar Inc.
1.51%1.69%1.93%2.07%2.26%2.56%2.58%1.97%3.32%4.33%2.84%1.89%
SIEGY
Siemens Aktiengesellschaft
2.61%2.43%3.30%2.46%11.57%3.31%3.89%8.10%3.06%3.90%3.65%5.01%
LMT
Lockheed Martin Corporation
2.88%2.68%2.34%2.98%2.76%2.31%3.13%2.32%2.71%2.83%2.85%3.22%
BA
The Boeing Company
0.00%0.00%0.00%0.00%0.96%2.52%2.12%1.93%2.80%2.52%2.25%1.42%
RTX
Raytheon Technologies Corporation
2.63%2.76%2.14%2.33%2.64%1.96%2.66%2.13%2.39%2.66%2.05%1.93%

Expense Ratio

The Industrials 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

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
Industrials
1.41
GE
General Electric Company
3.97
MMM
3M Company
-0.47
HON
Honeywell International Inc
0.27
CAT
Caterpillar Inc.
1.35
SIEGY
Siemens Aktiengesellschaft
1.19
LMT
Lockheed Martin Corporation
-0.42
BA
The Boeing Company
-0.07
RTX
Raytheon Technologies Corporation
-0.25

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

LMTSIEGYBAGECATMMMRTXHON
LMT1.000.310.460.340.350.400.510.47
SIEGY0.311.000.450.500.530.510.500.52
BA0.460.451.000.480.480.470.590.56
GE0.340.500.481.000.540.550.530.56
CAT0.350.530.480.541.000.580.580.60
MMM0.400.510.470.550.581.000.580.61
RTX0.510.500.590.530.580.581.000.65
HON0.470.520.560.560.600.610.651.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
Industrials
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Industrials. 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 Industrials was 64.40%, occurring on Mar 5, 2009. Recovery took 523 trading sessions.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-64.4%Oct 10, 2007353Mar 5, 2009523Mar 31, 2011876
-44.39%Jan 16, 2018550Mar 23, 2020172Nov 24, 2020722
-37.29%May 22, 2001346Oct 9, 2002288Dec 1, 2003634
-33.01%Jun 7, 2021334Sep 30, 2022193Jul 11, 2023527
-28.44%May 2, 2011108Oct 3, 2011240Sep 14, 2012348

Volatility Chart

The current Industrials volatility is 2.75%, 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%3.00%4.00%5.00%6.00%OctoberNovemberDecember2024FebruaryMarch
2.75%
3.47%
Industrials
Benchmark (^GSPC)
Portfolio components
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