Tangency Portfolio
| Ticker | Name | Allocation |
|---|---|---|
| LW | Lamb Weston Holdings | 6.93% |
| KOR.TO | Corvus Gold Inc. | 16.52% |
| DPZ | Domino’s Pizza Inc | 42.39% |
| HELE | Helen of Troy Limited | 25.24% |
| VOXX | VOXX International Corporation | 1.10% |
| EDUC | Educational Development Corporation | 4.67% |
| INFY | Infosys Limited | 3.15% |
Portfolio Returns
- $100,000 invested in Jan 2015 = $358,208 in Oct 2020 (vs S&P 500 of $182,490)
- Rebalance: monthly
- Annual Return: 40.53% (vs S&P 500 of 11.03%)
- Annual Volatility: 20.81% (vs S&P 500 of 14.53%)
- Sharpe Ratio: 1.68 (vs S&P 500 of 0.73)
- Alpha: 25.66% (annualized)
- Beta: 0.8
- R-Squared: 0.4
- US Market Correlation: 0.64
- Gain/Loss Ratio: 1.43
- Max. Drawdown: -15.60%
- Best Year: 49.72%
- Worst Year: 18.86%
- Historical Value-at-Risk (5%): -7.29%
- Analytical Value-at-Risk (5%): -6.72%
- Conditional Value-at-Risk (5%): -10.39%
- Positive Periods: 33 out of 45 (73.33%)
- Backtest: 5 Years