JSML: Growth Portfolio With A Surprising Value Tilt Still Has Vulnerabilities


Jasper National Park in Alberta Canada

Don White/E+ via Getty Images

In the July article on the Alpha Architect U.S. Quantitative Value ETF (QVAL) I pointed out that the growth rotation might have been losing steam and that increasing exposure to better-valued equity mixes

ROE ROA ROTC
19.6% 9.7% 10.31%

Company Weight Sector Market Cap ($ billion) EY P/S EV/EBITDA Revenue FWD Return on Equity Return on Total Capital
Amphastar Pharmaceuticals, Inc. (AMPH) 3.18% Health Care 3.04 3.4% 5.57 21.06 21.56% 18.73% 9.85%
MP Materials Corp Class (AMP) 3.04% Materials 4.08 4.3% 10.75 19.16 19.86% 13.81% 5.14%
Amkor Technology, Inc. (AMKR) 3.00% Information Technology 6.67 8.7% 0.96 5.16 4.95% 16.59% 8.91%
Progyny, Inc. (PGNY) 2.88% Health Care 3.72 1.3% 3.81 74.17 37.37% 12.63% 6.92%
Allegro MicroSystems, Inc. (ALGM) 2.84% Information Technology 7.84 3% 7.54 24.30 15.36% 26.59% 17.07%
Badger Meter, Inc. (BMI) 2.34% Information Technology 4.75 1.6% 7.52 36.23 13.81% 17.35% 13.90%
Fabrinet (FN) 2.23% Information Technology 4.52 5.4% 1.77 13.57 13.47% 18.22% 11.58%
STAAR Surgical Company (STAA) 2.15% Health Care 2.2 1.1% 7.16 65.20 18.19% 7.62% 4.58%
AdaptHealth Corp. (AHCO) 2.10% Health Care 1.99 2.2% 0.65 7.30 11.29% 2.19% 2.72%
Alpha Metallurgical Resources, Inc. (AMR) 2.05% Materials 2.51 36.8% 0.83 1.90 4.07% 64.14% 43.43%

Portfolio IVV JSML IWO QQQ IWN
Initial Balance $10,000 $10,000 $10,000 $10,000 $10,000
Final Balance $27,148 $24,276 $21,692 $39,652 $21,350
CAGR 14.41% 12.70% 11.01% 20.41% 10.77%
Stdev 15.97% 23.12% 21.05% 19.37% 20.90%
Best Year 31.25% 35.38% 34.68% 48.40% 33.31%
Worst Year -18.16% -29.40% -26.26% -32.58% -20.48%
Max. Drawdown -23.93% -36.16% -33.55% -32.58% -32.29%
Sharpe Ratio 0.84 0.57 0.54 0.99 0.53
Sortino Ratio 1.29 0.89 0.8 1.62 0.79
Market Correlation 1 0.89 0.91 0.9 0.91



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