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HH
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Risk-Adjusted Performance
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HH

Last updated Nov 15, 2024

Asset Allocation

MSFT 11.11%AAPL 11.11%HESAY 11.11%RNMBY 11.11%ARM 11.11%VIST 11.11%GE 11.11%LDOS 11.11%PGR 11.11%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc		Technology
11.11%
ARM
Arm Holdings plc American Depositary Shares		Technology
11.11%
GE
General Electric Company		Industrials
11.11%
HESAY
Hermes International SA		Consumer Cyclical
11.11%
LDOS
Leidos Holdings, Inc.		Technology
11.11%
MSFT
Microsoft Corporation		Technology
11.11%
PGR
The Progressive Corporation		Financial Services
11.11%
RNMBY
Rheinmetall AG ADR		Industrials
11.11%
VIST
Vista Oil & Gas, S.A.B. de C.V.		Energy
11.11%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in HH, 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%JuneJulyAugustSeptemberOctoberNovember
10.36%
12.31%
HH
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 14, 2023, corresponding to the inception date of ARM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		24.72%2.30%12.31%32.12%13.81%11.31%
HH53.30%-0.42%10.36%64.76%N/AN/A
Portfolio components:
MSFT
Microsoft Corporation		14.14%1.95%1.58%16.11%24.47%26.07%
AAPL
Apple Inc		19.12%-2.30%20.49%21.98%28.87%24.61%
HESAY
Hermes International SA		2.30%-5.64%-13.46%3.35%25.22%22.81%
RNMBY
Rheinmetall AG ADR		89.00%12.99%6.63%96.74%43.91%36.32%
ARM
Arm Holdings plc American Depositary Shares		81.45%-9.50%19.32%145.99%N/AN/A
VIST
Vista Oil & Gas, S.A.B. de C.V.		66.82%2.91%3.71%87.33%54.90%N/A
GE
General Electric Company		76.01%-6.39%11.08%93.28%26.06%5.09%
LDOS
Leidos Holdings, Inc.		56.43%0.16%14.41%61.88%14.68%21.25%
PGR
The Progressive Corporation		62.70%2.34%24.50%64.36%31.75%28.55%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.10%21.51%4.87%-0.82%6.79%2.64%-0.20%6.94%-0.31%-1.30%53.30%
2023-4.00%2.28%11.07%3.31%12.67%

Expense Ratio

HH 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 risk-adjusted rank of HH is 93, placing it in the top 7% 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 HH is 9393
Combined Rank
The Sharpe Ratio Rank of HH is 9494Sharpe Ratio Rank
The Sortino Ratio Rank of HH is 9292Sortino Ratio Rank
The Omega Ratio Rank of HH is 9292Omega Ratio Rank
The Calmar Ratio Rank of HH is 9191Calmar Ratio Rank
The Martin Ratio Rank of HH is 9595Martin 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.

HH
Sharpe ratio
The chart of Sharpe ratio for HH, currently valued at 3.63, compared to the broader market0.002.004.006.003.63
Sortino ratio
The chart of Sortino ratio for HH, currently valued at 4.64, compared to the broader market-2.000.002.004.006.004.64
Omega ratio
The chart of Omega ratio for HH, currently valued at 1.63, compared to the broader market0.801.001.201.401.601.802.001.63
Calmar ratio
The chart of Calmar ratio for HH, currently valued at 5.90, compared to the broader market0.005.0010.0015.005.90
Martin ratio
The chart of Martin ratio for HH, currently valued at 27.40, compared to the broader market0.0010.0020.0030.0040.0050.0027.40
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.66, compared to the broader market0.002.004.006.002.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.56, compared to the broader market-2.000.002.004.006.003.56
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.802.001.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.81, compared to the broader market0.005.0010.0015.003.81
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.03, compared to the broader market0.0010.0020.0030.0040.0050.0017.03
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MSFT
Microsoft Corporation		0.831.171.151.042.54
AAPL
Apple Inc		1.001.561.191.353.16
HESAY
Hermes International SA		0.170.461.060.250.51
RNMBY
Rheinmetall AG ADR		2.983.511.465.4112.49
ARM
Arm Holdings plc American Depositary Shares		1.752.591.343.657.92
VIST
Vista Oil & Gas, S.A.B. de C.V.		1.952.731.333.9112.75
GE
General Electric Company		3.113.641.537.9126.14
LDOS
Leidos Holdings, Inc.		2.553.011.623.7322.93
PGR
The Progressive Corporation		3.054.051.548.8023.39

Sharpe Ratio

The current HH Sharpe ratio is 3.63. 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 1.86 to 2.73, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of HH 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 Ratio2.002.503.003.504.004.50Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27Nov 03Nov 10
3.63
2.66
HH
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

HH provided a 0.57% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.57%0.58%0.69%1.35%1.02%1.17%1.77%1.48%4.65%1.76%2.05%2.35%
Portfolio components:
MSFT
Microsoft Corporation		0.53%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
AAPL
Apple Inc		0.43%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
HESAY
Hermes International SA		1.26%0.65%0.58%0.31%0.81%0.68%0.90%0.76%0.92%2.57%1.04%0.91%
RNMBY
Rheinmetall AG ADR		1.02%1.48%1.83%2.56%2.43%2.04%2.37%1.21%1.99%0.49%1.25%3.74%
ARM
Arm Holdings plc American Depositary Shares		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
VIST
Vista Oil & Gas, S.A.B. de C.V.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GE
General Electric Company		0.51%0.25%0.38%0.34%0.37%0.36%4.89%4.81%2.94%2.95%3.52%2.82%
LDOS
Leidos Holdings, Inc.		0.90%1.35%1.37%1.57%1.29%1.35%2.43%1.98%29.17%3.41%2.94%7.91%
PGR
The Progressive Corporation		0.45%0.25%0.31%6.23%2.68%3.89%1.86%1.21%2.50%2.16%5.53%1.05%

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%JuneJulyAugustSeptemberOctoberNovember
-3.08%
-0.87%
HH
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the HH. 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 HH was 11.05%, occurring on Aug 5, 2024. Recovery took 14 trading sessions.

The current HH drawdown is 3.08%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-11.05%Jul 15, 202416Aug 5, 202414Aug 23, 202430
-7.38%Apr 9, 20249Apr 19, 202411May 6, 202420
-6.26%Sep 3, 20244Sep 6, 202420Oct 4, 202424
-5.57%Sep 15, 202313Oct 3, 202310Oct 17, 202323
-3.56%Oct 18, 20233Oct 20, 20239Nov 2, 202312

Volatility

Volatility Chart

The current HH volatility is 5.07%, 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%JuneJulyAugustSeptemberOctoberNovember
5.07%
3.81%
HH
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.
PGRVISTRNMBYLDOSHESAYAAPLARMMSFTGE
PGR1.000.090.070.100.03-0.05-0.050.090.19
VIST0.091.000.110.130.130.100.160.100.21
RNMBY0.070.111.000.200.210.040.150.080.22
LDOS0.100.130.201.000.090.070.120.170.34
HESAY0.030.130.210.091.000.200.250.280.18
AAPL-0.050.100.040.070.201.000.370.450.19
ARM-0.050.160.150.120.250.371.000.420.30
MSFT0.090.100.080.170.280.450.421.000.31
GE0.190.210.220.340.180.190.300.311.00
The correlation results are calculated based on daily price changes starting from Sep 15, 2023