sam
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AZN AstraZeneca PLC | Healthcare | 25% |
LLY Eli Lilly and Company | Healthcare | 45% |
NVO Novo Nordisk A/S | Healthcare | 30% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in sam, 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
The earliest data available for this chart is May 12, 1993, corresponding to the inception date of AZN
Returns By Period
As of Sep 21, 2024, the sam returned 38.32% Year-To-Date and 24.24% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
| sam | 38.32% | -5.22% | 13.27% | 47.79% | 39.54% | 24.24% |
| Portfolio components: | ||||||
LLY Eli Lilly and Company | 58.85% | -3.20% | 19.95% | 68.63% | 53.51% | 32.82% |
NVO Novo Nordisk A/S | 24.36% | -5.52% | -0.60% | 40.92% | 37.26% | 18.40% |
AZN AstraZeneca PLC | 18.89% | -8.39% | 19.02% | 19.48% | 14.41% | 11.81% |
Monthly Returns
The table below presents the monthly returns of sam, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 7.85% | 8.68% | 5.02% | 3.14% | 4.63% | 6.18% | -6.77% | 13.08% | 38.32% | ||||
| 2023 | -2.79% | -3.24% | 10.20% | 9.75% | 2.97% | 4.45% | -1.47% | 13.23% | -2.07% | 1.58% | 5.34% | 0.83% | 44.21% |
| 2022 | -8.30% | 3.61% | 11.05% | 1.72% | 2.53% | 1.75% | 2.08% | -7.64% | -1.52% | 9.96% | 9.42% | 2.02% | 27.61% |
| 2021 | 10.71% | -0.48% | -5.33% | 3.58% | 8.08% | 9.80% | 4.80% | 6.05% | -5.42% | 9.98% | -4.85% | 8.16% | 52.55% |
| 2020 | 3.77% | -7.53% | 6.10% | 10.99% | 2.06% | 2.17% | -2.54% | 0.32% | 0.98% | -9.87% | 8.37% | 7.08% | 21.69% |
| 2019 | 1.31% | 7.83% | 2.57% | -8.04% | -1.50% | 2.95% | -1.28% | 5.69% | -0.92% | 5.39% | 1.78% | 6.97% | 23.96% |
| 2018 | -0.31% | -4.99% | 0.32% | 1.15% | 4.04% | -1.90% | 12.32% | 2.89% | 0.32% | -2.52% | 7.58% | -2.64% | 16.11% |
| 2017 | 2.31% | 5.76% | 1.65% | 2.10% | 5.43% | 1.49% | -3.01% | 3.40% | 5.71% | -0.42% | 1.73% | 2.41% | 32.15% |
| 2016 | -5.17% | -8.20% | 1.23% | 3.80% | 0.76% | 1.48% | 7.42% | -8.50% | -1.44% | -11.40% | -7.43% | 7.52% | -20.10% |
| 2015 | 3.78% | 1.27% | 5.21% | 1.15% | 4.44% | 0.47% | 4.37% | -4.38% | 0.60% | -1.68% | 3.25% | 2.79% | 22.94% |
| 2014 | 6.60% | 13.53% | -2.85% | 5.39% | -3.48% | 5.10% | -1.40% | 3.58% | 0.45% | 0.03% | 2.19% | -2.62% | 28.36% |
| 2013 | 8.35% | -0.74% | 1.84% | 2.65% | -4.47% | -6.47% | 8.16% | -1.72% | 0.85% | -0.46% | 5.05% | 2.70% | 15.66% |
Expense Ratio
sam 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of sam is 46, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
LLY Eli Lilly and Company | 2.07 | 2.83 | 1.37 | 3.35 | 12.53 |
NVO Novo Nordisk A/S | 1.14 | 1.76 | 1.22 | 1.90 | 6.45 |
AZN AstraZeneca PLC | 0.91 | 1.32 | 1.17 | 0.94 | 3.75 |
Dividends
Dividend yield
sam granted a 0.96% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| sam | 0.96% | 1.10% | 1.27% | 1.15% | 1.49% | 1.59% | 1.78% | 2.10% | 2.50% | 2.08% | 2.27% | 2.91% |
| Portfolio components: | ||||||||||||
LLY Eli Lilly and Company | 0.55% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.94% | 2.46% | 2.77% | 2.37% | 2.84% | 3.84% |
NVO Novo Nordisk A/S | 0.80% | 0.71% | 0.84% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.02% |
AZN AstraZeneca PLC | 1.89% | 2.15% | 2.14% | 2.40% | 2.80% | 2.81% | 3.61% | 3.95% | 5.01% | 4.06% | 3.98% | 4.72% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the sam. 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 sam was 42.73%, occurring on Jul 23, 2002. Recovery took 404 trading sessions.
The current sam drawdown is 6.98%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -42.73% | Jun 6, 2001 | 281 | Jul 23, 2002 | 404 | Mar 1, 2004 | 685 |
| -39.74% | Oct 8, 2007 | 357 | Mar 9, 2009 | 353 | Aug 2, 2010 | 710 |
| -27.88% | Sep 18, 2015 | 305 | Dec 1, 2016 | 209 | Oct 2, 2017 | 514 |
| -23.72% | Jan 27, 1999 | 132 | Aug 4, 1999 | 205 | May 25, 2000 | 337 |
| -20.27% | Feb 7, 2020 | 31 | Mar 23, 2020 | 17 | Apr 16, 2020 | 48 |
Volatility
Volatility Chart
The current sam volatility is 5.39%, 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.
Diversification
Asset Correlations Table
| NVO | LLY | AZN | |
|---|---|---|---|
| NVO | 1.00 | 0.25 | 0.32 |
| LLY | 0.25 | 1.00 | 0.34 |
| AZN | 0.32 | 0.34 | 1.00 |