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Efficient Frontier
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Risk-Adjusted Performance
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Efficient Frontier

Last updated Oct 30, 2024

Asset Allocation

TSLA 16.67%MSFT 16.67%MCK 16.67%BNTX 16.67%TME 16.67%MPC 16.67%EquityEquity
PositionCategory/SectorWeight
BNTX
BioNTech SE		Healthcare
16.67%
MCK
McKesson Corporation		Healthcare
16.67%
MPC
Marathon Petroleum Corporation		Energy
16.67%
MSFT
Microsoft Corporation		Technology
16.67%
TME
Tencent Music Entertainment Group		Communication Services
16.67%
TSLA
Tesla, Inc.		Consumer Cyclical
16.67%

Performance

Performance Chart

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

0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
9.34%
15.83%
Efficient Frontier
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 10, 2019, corresponding to the inception date of BNTX

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.29%1.65%15.83%39.98%13.99%11.23%
Efficient Frontier 16.97%-2.98%9.34%32.09%46.92%N/A
Portfolio components:
TSLA
Tesla, Inc.		4.44%-0.36%41.60%31.50%65.62%32.13%
MSFT
Microsoft Corporation		15.50%0.92%11.35%29.02%25.92%26.89%
MCK
McKesson Corporation		8.20%2.24%-6.86%11.62%31.38%10.28%
BNTX
BioNTech SE		8.03%-3.56%28.36%22.26%47.20%N/A
TME
Tencent Music Entertainment Group		29.47%-5.86%-7.05%59.80%-3.37%N/A
MPC
Marathon Petroleum Corporation		-0.65%-11.23%-19.29%0.91%21.93%15.95%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-0.68%4.11%4.27%-0.78%6.43%-0.89%4.48%-6.75%9.72%16.97%
20238.81%-0.37%4.83%-6.82%1.83%10.37%0.76%2.39%-1.55%-1.48%9.82%1.89%33.25%
2022-7.74%-2.05%8.41%-9.49%4.65%-4.69%8.73%0.94%-8.06%0.90%18.44%-2.74%3.75%
202117.05%-0.62%-1.96%12.40%1.22%4.78%3.19%1.82%-5.08%13.80%2.61%-3.84%52.25%
20208.70%-0.22%-4.56%16.82%8.66%12.75%12.80%10.94%-7.49%1.79%28.39%-0.80%122.31%
20199.58%6.45%16.79%36.24%

Expense Ratio

Efficient Frontier 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 rank of Efficient Frontier is 18, indicating that it is in the bottom 18% 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 Efficient Frontier is 1818
Combined Rank
The Sharpe Ratio Rank of Efficient Frontier is 1212Sharpe Ratio Rank
The Sortino Ratio Rank of Efficient Frontier is 1212Sortino Ratio Rank
The Omega Ratio Rank of Efficient Frontier is 1111Omega Ratio Rank
The Calmar Ratio Rank of Efficient Frontier is 4242Calmar Ratio Rank
The Martin Ratio Rank of Efficient Frontier is 1313Martin 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.

Efficient Frontier
Sharpe ratio
The chart of Sharpe ratio for Efficient Frontier , currently valued at 1.81, compared to the broader market0.002.004.006.001.81
Sortino ratio
The chart of Sortino ratio for Efficient Frontier , currently valued at 2.50, compared to the broader market-2.000.002.004.006.002.50
Omega ratio
The chart of Omega ratio for Efficient Frontier , currently valued at 1.31, compared to the broader market0.801.001.201.401.601.802.001.31
Calmar ratio
The chart of Calmar ratio for Efficient Frontier , currently valued at 2.68, compared to the broader market0.005.0010.002.68
Martin ratio
The chart of Martin ratio for Efficient Frontier , currently valued at 8.44, compared to the broader market0.0010.0020.0030.0040.0050.0060.008.44
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TSLA
Tesla, Inc.		0.431.061.130.391.10
MSFT
Microsoft Corporation		1.692.261.292.065.37
MCK
McKesson Corporation		0.510.711.130.501.35
BNTX
BioNTech SE		0.621.351.150.301.50
TME
Tencent Music Entertainment Group		1.302.041.250.824.56
MPC
Marathon Petroleum Corporation		0.050.271.040.050.09

Sharpe Ratio

The current Efficient Frontier Sharpe ratio is 1.81. 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 2.49 to 3.44, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Efficient Frontier 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 Ratio1.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
1.81
3.43
Efficient Frontier
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Efficient Frontier provided a 0.78% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Efficient Frontier 0.78%0.55%0.86%0.84%1.25%0.98%1.02%0.83%0.98%0.84%0.83%0.80%
Portfolio components:
TSLA
Tesla, 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%
MSFT
Microsoft Corporation		0.69%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
MCK
McKesson Corporation		0.51%0.50%0.54%0.72%0.95%1.16%1.32%0.80%0.80%0.53%0.46%0.55%
BNTX
BioNTech SE		0.00%0.00%1.41%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TME
Tencent Music Entertainment Group		1.19%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MPC
Marathon Petroleum Corporation		2.27%2.07%2.14%3.63%5.61%3.52%3.12%2.30%2.70%2.20%2.04%1.68%

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.

-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-4.77%
-0.54%
Efficient Frontier
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Efficient Frontier . 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 Efficient Frontier was 31.16%, occurring on Mar 16, 2020. Recovery took 44 trading sessions.

The current Efficient Frontier drawdown is 4.77%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.16%Feb 21, 202017Mar 16, 202044May 18, 202061
-21.63%Nov 4, 202189Mar 14, 2022181Nov 30, 2022270
-13.81%Sep 1, 20205Sep 8, 202041Nov 4, 202046
-13.3%Aug 10, 202139Oct 4, 202118Oct 28, 202157
-12.44%Feb 16, 202354May 4, 202326Jun 12, 202380

Volatility

Volatility Chart

The current Efficient Frontier volatility is 4.88%, 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%7.00%8.00%MayJuneJulyAugustSeptemberOctober
4.88%
2.71%
Efficient Frontier
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.
MCKBNTXMPCTMETSLAMSFT
MCK1.000.130.330.030.090.24
BNTX0.131.000.100.180.190.22
MPC0.330.101.000.160.130.15
TME0.030.180.161.000.260.26
TSLA0.090.190.130.261.000.44
MSFT0.240.220.150.260.441.00
The correlation results are calculated based on daily price changes starting from Oct 11, 2019