strong - 10 aug 2024
Total non-financial tickers selected for analysis: 432 APH: Current Price = $62.62, Intrinsic Value = $78.77, Sharpe Ratio = 1.68, Implied Growth Rate = 2.33%, P/E Ratio = 37.50, Forward P/E Ratio = 30.40, P/B Ratio = 9.04, EV/EBITDA Ratio = 23.83, Debt/Equity Ratio = 574766597.52, Decision = Buy T: Current Price = $19.49, Intrinsic Value = $125.56, Sharpe Ratio = 1.88, Implied Growth Rate = -16.68%, P/E Ratio = 11.20, Forward P/E Ratio = 8.55, P/B Ratio = 1.35, EV/EBITDA Ratio = 6.20, Debt/Equity Ratio = 8874835328.81, Decision = Buy AVGO: Current Price = $148.26, Intrinsic Value = $166.67, Sharpe Ratio = 1.56, Implied Growth Rate = 3.63%, P/E Ratio = 63.63, Forward P/E Ratio = 24.51, P/B Ratio = 28.77, EV/EBITDA Ratio = 33.51, Debt/Equity Ratio = 7299591934.72, Decision = Buy COR: Current Price = $237.77, Intrinsic Value = $775.13, Sharpe Ratio = 1.53, Implied Growth Rate = -8.63%, P/E Ratio = 25.76, Forward P/E Ratio = 15.98, P/B Ratio = 89.28, EV/EBITDA Ratio = 11.94, Debt/Equity Ratio = 1556832655.95, Decision = Buy CL: Current Price = $102.07, Intrinsic Value = $163.70, Sharpe Ratio = 2.16, Implied Growth Rate = -0.48%, P/E Ratio = 29.76, Forward P/E Ratio = 26.24, P/B Ratio = 136.95, EV/EBITDA Ratio = 18.76, Debt/Equity Ratio = 11027319960.17, Decision = Buy GD: Current Price = $292.99, Intrinsic Value = $609.45, Sharpe Ratio = 1.64, Implied Growth Rate = -3.47%, P/E Ratio = 22.84, Forward P/E Ratio = 17.83, P/B Ratio = 3.78, EV/EBITDA Ratio = 17.02, Debt/Equity Ratio = 112935183.43, Decision = Buy GDDY: Current Price = $157.53, Intrinsic Value = $302.82, Sharpe Ratio = 3.33, Implied Growth Rate = -2.56%, P/E Ratio = 13.13, Forward P/E Ratio = 24.27, P/B Ratio = 357.03, EV/EBITDA Ratio = 27.05, Debt/Equity Ratio = 8609098233.31, Decision = Buy IBM: Current Price = $191.45, Intrinsic Value = $578.98, Sharpe Ratio = 1.61, Implied Growth Rate = -7.77%, P/E Ratio = 21.13, Forward P/E Ratio = 17.91, P/B Ratio = 7.83, EV/EBITDA Ratio = 14.59, Debt/Equity Ratio = 2048944237.87, Decision = Buy IFF: Current Price = $96.21, Intrinsic Value = $161.09, Sharpe Ratio = 1.83, Implied Growth Rate = -0.97%, P/E Ratio = -10.43, Forward P/E Ratio = 21.01, P/B Ratio = 1.68, EV/EBITDA Ratio = 18.17, Debt/Equity Ratio = 160733943.43, Decision = Buy LDOS: Current Price = $144.21, Intrinsic Value = $312.90, Sharpe Ratio = 2.18, Implied Growth Rate = -3.95%, P/E Ratio = 45.21, Forward P/E Ratio = 15.24, P/B Ratio = 4.62, EV/EBITDA Ratio = 12.26, Debt/Equity Ratio = 149561079.74, Decision = Buy META: Current Price = $517.77, Intrinsic Value = $883.07, Sharpe Ratio = 1.58, Implied Growth Rate = -1.18%, P/E Ratio = 26.46, Forward P/E Ratio = 21.50, P/B Ratio = 7.39, EV/EBITDA Ratio = 17.20, Debt/Equity Ratio = 262236649.36, Decision = Buy MSI: Current Price = $410.76, Intrinsic Value = $472.33, Sharpe Ratio = 2.25, Implied Growth Rate = 3.37%, P/E Ratio = 48.10, Forward P/E Ratio = 28.33, P/B Ratio = 94.66, EV/EBITDA Ratio = 23.31, Debt/Equity Ratio = 1084236004.64, Decision = Buy NTAP: Current Price = $122.49, Intrinsic Value = $327.49, Sharpe Ratio = 1.72, Implied Growth Rate = -6.35%, P/E Ratio = 26.46, Forward P/E Ratio = 16.55, P/B Ratio = 21.97, EV/EBITDA Ratio = 16.97, Debt/Equity Ratio = 357317158.87, Decision = Buy OKE: Current Price = $85.00, Intrinsic Value = $212.89, Sharpe Ratio = 1.72, Implied Growth Rate = -5.60%, P/E Ratio = 18.81, Forward P/E Ratio = 15.15, P/B Ratio = 3.01, EV/EBITDA Ratio = 13.45, Debt/Equity Ratio = 750572628.19, Decision = Buy RTX: Current Price = $116.15, Intrinsic Value = $156.02, Sharpe Ratio = 1.62, Implied Growth Rate = 1.57%, P/E Ratio = 67.53, Forward P/E Ratio = 18.86, P/B Ratio = 2.58, EV/EBITDA Ratio = 20.64, Debt/Equity Ratio = 942210696.01, Decision = Buy REGN: Current Price = $1131.24, Intrinsic Value = $1488.46, Sharpe Ratio = 2.08, Implied Growth Rate = 1.81%, P/E Ratio = 29.94, Forward P/E Ratio = 23.20, P/B Ratio = 4.72, EV/EBITDA Ratio = 27.43, Debt/Equity Ratio = 8277027.74, Decision = Buy RSG: Current Price = $201.22, Intrinsic Value = $278.33, Sharpe Ratio = 2.32, Implied Growth Rate = 1.23%, P/E Ratio = 33.65, Forward P/E Ratio = 29.20, P/B Ratio = 5.99, EV/EBITDA Ratio = 16.13, Debt/Equity Ratio = 354131235.39, Decision = Buy SPG: Current Price = $158.67, Intrinsic Value = $423.42, Sharpe Ratio = 1.59, Implied Growth Rate = -6.33%, P/E Ratio = 20.16, Forward P/E Ratio = 23.68, P/B Ratio = 17.11, EV/EBITDA Ratio = 19.73, Debt/Equity Ratio = 2801361631.09, Decision = Buy TMUS: Current Price = $194.20, Intrinsic Value = $292.18, Sharpe Ratio = 2.53, Implied Growth Rate = 0.26%, P/E Ratio = 24.34, Forward P/E Ratio = 17.23, P/B Ratio = 3.50, EV/EBITDA Ratio = 9.77, Debt/Equity Ratio = 1287289307.03, Decision = Buy TRGP: Current Price = $135.69, Intrinsic Value = $165.93, Sharpe Ratio = 2.33, Implied Growth Rate = 2.66%, P/E Ratio = 28.57, Forward P/E Ratio = 17.83, P/B Ratio = 10.85, EV/EBITDA Ratio = 11.04, Debt/Equity Ratio = 966704393.91, Decision = Buy TT: Current Price = $332.68, Intrinsic Value = $407.28, Sharpe Ratio = 2.03, Implied Growth Rate = 2.64%, P/E Ratio = 32.58, Forward P/E Ratio = 27.03, P/B Ratio = 10.73, EV/EBITDA Ratio = 22.10, Debt/Equity Ratio = 128329810.87, Decision = Buy UHS: Current Price = $215.22, Intrinsic Value = $388.30, Sharpe Ratio = 2.05, Implied Growth Rate = -1.83%, P/E Ratio = 15.83, Forward P/E Ratio = 12.26, P/B Ratio = 2.08, EV/EBITDA Ratio = 9.45, Debt/Equity Ratio = 46279113.38, Decision = Buy VLTO: Current Price = $106.10, Intrinsic Value = $161.86, Sharpe Ratio = 1.54, Implied Growth Rate = 0.10%, P/E Ratio = 33.16, Forward P/E Ratio = 28.60, P/B Ratio = 18.96, EV/EBITDA Ratio = 22.63, Debt/Equity Ratio = 469733676.07, Decision = Buy VST: Current Price = $78.64, Intrinsic Value = $483.10, Sharpe Ratio = 2.38, Implied Growth Rate = -16.10%, P/E Ratio = 47.66, Forward P/E Ratio = 12.06, P/B Ratio = 5.10, EV/EBITDA Ratio = 8.85, Debt/Equity Ratio = 785359713.59, Decision = Buy GWW: Current Price = $979.31, Intrinsic Value = $1429.25, Sharpe Ratio = 1.64, Implied Growth Rate = 0.61%, P/E Ratio = 26.88, Forward P/E Ratio = 23.20, P/B Ratio = 15.35, EV/EBITDA Ratio = 17.56, Debt/Equity Ratio = 35518149.66, Decision = Buy WAB: Current Price = $155.07, Intrinsic Value = $254.93, Sharpe Ratio = 1.56, Implied Growth Rate = -0.76%, P/E Ratio = 27.16, Forward P/E Ratio = 18.44, P/B Ratio = 2.59, EV/EBITDA Ratio = 14.57, Debt/Equity Ratio = 54925310.41, Decision = Buy WMB: Current Price = $43.26, Intrinsic Value = $121.68, Sharpe Ratio = 1.51, Implied Growth Rate = -6.93%, P/E Ratio = 18.65, Forward P/E Ratio = 20.70, P/B Ratio = 4.25, EV/EBITDA Ratio = 12.68, Debt/Equity Ratio = 2297509176.10, Decision = Buy
Распределение активов
| Позиция | Категория/Сектор | Вес |
|---|---|---|
OKE ONEOK, Inc. | Energy | 25% |
REGN Regeneron Pharmaceuticals, Inc. | Healthcare | 25% |
TRGP Targa Resources Corp. | Energy | 25% |
TT Trane Technologies plc | Industrials | 25% |
Доходность
График доходности
График показывает рост $10,000 инвестированных в strong - 10 aug 2024 и сравнивает его с ростом индекса S&P 500 или другим бенчмарком. Цены представлены с поправкой на сплиты и дивиденды. Портфель ребалансируется раз в квартал
Самые ранние данные для этого графика доступны с 7 дек. 2010 г., начальной даты TRGP
Доходность по периодам
strong - 10 aug 2024 на 19 сент. 2024 г. показал доходность в 49.62% с начала года и доходность в 21.85% в годовом выражении за последние 10 лет.
| С начала года | 1 месяц | 6 месяцев | 1 год | 5 лет (среднегодовая) | 10 лет (среднегодовая) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.79% | 2.08% | 9.01% | 29.79% | 13.85% | 11.12% |
| strong - 10 aug 2024 | 49.62% | 4.53% | 25.04% | 63.09% | 40.93% | 21.96% |
| Активы портфеля: | ||||||
OKE ONEOK, Inc. | 38.95% | 8.44% | 21.05% | 47.76% | 12.04% | 10.16% |
REGN Regeneron Pharmaceuticals, Inc. | 29.66% | -4.48% | 17.64% | 36.94% | 31.05% | 12.24% |
TT Trane Technologies plc | 53.59% | 7.14% | 22.90% | 86.77% | 33.37% | 25.71% |
TRGP Targa Resources Corp. | 78.35% | 7.48% | 38.76% | 82.43% | 33.53% | 6.24% |
Доходность по месяцам
Ниже представлена таблица с месячной доходностью strong - 10 aug 2024, с цветовой градацией от худшего до лучшего месяца, для легкого выявления сезонных факторов. Значения учитывают дивиденды.
| янв. | февр. | март | апр. | май | июнь | июль | авг. | сент. | окт. | нояб. | дек. | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.90% | 9.97% | 6.76% | 0.18% | 4.68% | 4.39% | 3.04% | 9.69% | 49.62% | ||||
| 2023 | 4.97% | -0.53% | 0.95% | 1.83% | -10.96% | 9.06% | 6.53% | 4.20% | -1.19% | -2.28% | 9.46% | 3.25% | 26.25% |
| 2022 | 0.23% | 3.06% | 9.76% | -6.32% | 0.38% | -12.48% | 9.34% | 1.52% | -4.52% | 12.60% | 8.53% | -3.06% | 17.15% |
| 2021 | 3.33% | 5.12% | 7.74% | 5.38% | 6.16% | 7.68% | 0.86% | 5.00% | -1.01% | 8.29% | -2.33% | 1.82% | 59.16% |
| 2020 | -4.52% | 1.04% | -32.34% | 37.00% | 23.34% | 1.48% | 1.03% | -0.69% | -6.79% | 9.19% | 19.72% | 4.58% | 43.12% |
| 2019 | 16.84% | -0.32% | 2.58% | -1.43% | -6.21% | 5.46% | -0.41% | -2.75% | 3.19% | 1.81% | 5.67% | 5.03% | 31.56% |
| 2018 | 4.08% | -7.35% | 0.71% | 0.57% | 5.30% | 5.02% | 5.60% | 4.08% | 1.40% | -8.01% | -1.02% | -9.93% | -1.28% |
| 2017 | 1.28% | -0.01% | 3.85% | -0.29% | -0.47% | 4.07% | 2.39% | -2.25% | 1.06% | -5.75% | -2.46% | 5.12% | 6.16% |
| 2016 | -9.69% | 3.91% | 11.68% | 18.19% | 8.64% | -0.99% | 2.74% | 3.51% | 6.15% | -7.08% | 13.85% | 2.10% | 62.44% |
| 2015 | -5.36% | 3.46% | 4.02% | 2.34% | -2.53% | -2.54% | -0.75% | -11.80% | -11.90% | 14.12% | -11.84% | -10.88% | -31.52% |
| 2014 | 3.41% | 6.33% | -3.29% | 5.14% | 3.00% | 6.52% | -1.65% | 8.06% | -2.84% | 1.56% | -2.68% | -3.37% | 20.99% |
| 2013 | 8.51% | -1.13% | 7.18% | 6.36% | 1.63% | -4.68% | 16.19% | -4.12% | 12.03% | 2.30% | 3.85% | 4.70% | 64.49% |
Комиссия
Комиссия strong - 10 aug 2024 составляет 0.00%. Ниже вы найдете коэффициенты расходов позиций портфеля для легкого сравнения их относительной стоимости.
Риск-скорректированная доходность
Ранг риск-скорректированной доходности
Текущий ранг strong - 10 aug 2024 среди портфелей на нашем сайте составляет 98, что соответствует топ 2% по показателям риск-скорректированной доходности. Этот ранг определяется совокупными значениями показателей, перечисленных ниже.
Показатели риск-скорректированной доходности
В таблице представлено сравнение показателей доходности скорректированной на риск для позиций. Риск-скорректированные показатели оценивают доходность инвестиций с учетом их рискованности, что позволяет более точно сравнивать различные активы между собой.
| Коэффициент Шарпа | Коэффициент Сортино | Коэффициент Омега | Коэффициент Кальмара | Коэффициент Мартина | |
|---|---|---|---|---|---|
OKE ONEOK, Inc. | 2.37 | 3.22 | 1.39 | 4.31 | 15.23 |
REGN Regeneron Pharmaceuticals, Inc. | 2.16 | 3.14 | 1.37 | 3.44 | 10.64 |
TT Trane Technologies plc | 3.18 | 4.14 | 1.55 | 6.64 | 26.06 |
TRGP Targa Resources Corp. | 3.61 | 4.51 | 1.57 | 5.87 | 24.52 |
Дивиденды
Дивидендный доход
Дивидендная доходность strong - 10 aug 2024 за предыдущие двенадцать месяцев составила 1.68%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| strong - 10 aug 2024 | 1.68% | 2.20% | 2.30% | 2.07% | 3.95% | 3.79% | 4.57% | 3.63% | 3.15% | 6.12% | 2.09% | 0.85% |
| Активы портфеля: | ||||||||||||
OKE ONEOK, Inc. | 4.18% | 5.44% | 5.69% | 6.36% | 9.74% | 4.66% | 6.01% | 5.09% | 4.28% | 9.85% | 4.27% | 0.00% |
REGN Regeneron Pharmaceuticals, 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% |
TT Trane Technologies plc | 0.88% | 1.23% | 1.59% | 1.17% | 1.46% | 1.59% | 2.15% | 1.91% | 1.81% | 2.10% | 1.58% | 1.09% |
TRGP Targa Resources Corp. | 1.64% | 2.13% | 1.90% | 0.77% | 4.59% | 8.92% | 10.11% | 7.52% | 6.49% | 12.53% | 2.52% | 2.33% |
Просадки
График просадок
На графике просадок отображаются убытки портфеля с любого максимума на всем периоде.
Максимальные просадки
strong - 10 aug 2024 показал максимальную просадку в 53.40%, зарегистрированную 11 февр. 2016 г.. Полное восстановление заняло 197 торговых сессий.
Текущая просадка strong - 10 aug 2024 составляет 0.54%.
В таблице ниже показаны максимальные просадки. Максимальная просадка - показатель риска. Он показывает снижение стоимости портфеля от максимума после серии убыточных торгов.
Глубина | Начало | Падение | Дно | Восстановление | Окончание | Всего |
|---|---|---|---|---|---|---|
| -53.4% | 4 сент. 2014 г. | 363 | 11 февр. 2016 г. | 197 | 21 нояб. 2016 г. | 560 |
| -44.87% | 5 мар. 2020 г. | 13 | 23 мар. 2020 г. | 43 | 22 мая 2020 г. | 56 |
| -29.24% | 28 апр. 2011 г. | 71 | 8 авг. 2011 г. | 107 | 10 янв. 2012 г. | 178 |
| -27.26% | 9 июн. 2020 г. | 24 | 13 июл. 2020 г. | 95 | 24 нояб. 2020 г. | 119 |
| -24.55% | 4 окт. 2018 г. | 56 | 24 дек. 2018 г. | 218 | 5 нояб. 2019 г. | 274 |
Волатильность
График волатильности
Текущая волатильность strong - 10 aug 2024 составляет 3.40%, что отражает среднее процентное изменение стоимости инвестиций вверх или вниз за последний месяц. Ниже представлен график, показывающий скользящую волатильность за один месяц.
Диверсификация
Таблица корреляции активов
| REGN | TT | TRGP | OKE | |
|---|---|---|---|---|
| REGN | 1.00 | 0.26 | 0.17 | 0.19 |
| TT | 0.26 | 1.00 | 0.34 | 0.39 |
| TRGP | 0.17 | 0.34 | 1.00 | 0.70 |
| OKE | 0.19 | 0.39 | 0.70 | 1.00 |