Asset Allocation
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Find the right asset allocation for HL Optimised US Index Enhanced L/S
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in HL Optimised US Index Enhanced L/S, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.30% | 0.09% | 8.18% | 8.17% | 23.42% | 19.88% | 11.91% | 13.45% |
Portfolio HL Optimised US Index Enhanced L/S | — | — | — | — | — | — | — | — |
| Portfolio components: | ||||||||
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.38% | 0.47% | 2.86% | ||||||||||
| 2024 | 1.05% | 5.10% | 3.10% | 2.46% | 3.13% | 1.61% | 5.88% | 3.18% | 3.22% | -0.99% | 6.86% | -4.60% | 33.82% |
| 2023 | -0.76% | 3.32% | 4.45% | 1.46% | 0.25% | 4.96% | 1.65% | 1.70% | -0.34% | 0.05% | 8.92% | 4.42% | 34.05% |
| 2022 | -5.39% | -1.34% | 3.98% | 9.10% | 5.01% | 4.65% | 6.49% | 4.19% | 6.00% | -11.66% | 8.01% | -3.23% | 26.40% |
| 2021 | -1.11% | 2.61% | -2.60% | 5.24% | 0.55% | 2.22% | 2.27% | 2.90% | 1.91% | 4.14% | -0.83% | 0.78% | 19.33% |
Benchmark Metrics
HL Optimised US Index Enhanced L/S has an annualized alpha of 19.32%, beta of 0.09, and R2 of 0.01 versus S&P 500 Index. Calculated based on daily prices since January 02, 2008.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (66.85%) than losses (13.01%) - typical of diversified or defensive assets.
- Beta of 0.09 may look defensive, but with R2 of 0.01 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R2 of 0.01 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 19.32%
- Beta
- 0.09
- R²
- 0.01
- Upside Capture
- 66.85%
- Downside Capture
- 13.01%
Return for Risk
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Dividends
Dividend yield
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the HL Optimised US Index Enhanced L/S. 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 HL Optimised US Index Enhanced L/S was 34.31%, occurring on Mar 30, 2009. Recovery took 255 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -34.31%Mar 2009 | 5mo 18d | 1y 6d | 1y 5moOct 2008 - Apr 2010 |
2016 bear market2016 | -20.11%Feb 2016 | 1y 2mo | 11mo 19d | 2y 1moDec 2014 - Jan 2017 |
COVID crash2020 | -19.40%Mar 2020 | 8d | 29d | 1mo 7dMar 2020 - Apr 2020 |
2011 correction2011 | -17.36%Sep 2011 | 1mo 1d | 6mo 6d | 7mo 7dAug 2011 - Mar 2012 |
Financial crisis2007–2009 | -15.65%Sep 2008 | 8mo 19d | 20d | 9mo 9dJan 2008 - Oct 2008 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 0 assets, with an effective number of assets of 0.00, reflecting the diversification based on asset allocation. null
Diversification Ratio
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Not enough data to calculate this metric.
HL Optimised US Index Enhanced L/S correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.58 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.31 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.39 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.49 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2008 | 0.47 |
Find what HL Optimised US Index Enhanced L/S is missing
See which holdings overlap, where HL Optimised US Index Enhanced L/S is concentrated, and which low-correlation assets could fill the gaps.
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