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2024 IIM Lucky 12 - Unoptimized
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

2024 IIM Lucky 12 - Unoptimized

Currency in USD · Last updated May 17, 2025

IIM Think Tank Equity Portfolio Model (for 2024 Starting Positions) Stock Picks, Position Sizing & Re-balancing (buy, sell and hold signals) are based on proprietary IIM macro-quant-mental algorithm, aiming to beat 99% of hedge funds over the long term. This portfolio ignores flawed industry and academic theory such as Sharpe ratio, DCF, diversification, and volatility. Instead its Algo focuses on real-money USD return over the long term Unoptimized = Presents major risk to buy & hold investors + Lacks active risk-management necessary to preserve capital against major tail risks. IIM internal portfolio is re-balanced and composition changes based on R Algo signals. Not an Investment advice. Past performance not equal future performance. If you decide to use this portfolio model in your research or investment, please cite and credit IIM Think Tank with a hyperlink (see below). If you are a CIO or an institutional investor planning to allocate real money to this model, customize (optimize) it, or explore the potential risks and opportunities of this portfolio,, or need active management support and signals, then please contact: https://www.iim.education/think-tank/investment/ Lead Researcher & Portfolio Model Manager https://www.medjones.com/investment/

Asset Allocation

NVDA 8.33%TREX 8.33%HEI-A 8.33%FIX 8.33%UTHR 8.33%HBM 8.33%TDW 8.33%OLED 8.33%EME 8.33%CLS 8.33%GRMN 8.33%AJG 8.33%EquityEquity
PositionCategory/SectorTarget Weight
AJG
Arthur J. Gallagher & Co.		Financial Services
8.33%
CLS
Celestica Inc.		Technology
8.33%
EME
EMCOR Group, Inc.		Industrials
8.33%
FIX
Comfort Systems USA, Inc.		Industrials
8.33%
GRMN
Garmin Ltd.		Technology
8.33%
HBM
Hudbay Minerals Inc.		Basic Materials
8.33%
HEI-A
HEICO Corporation		Industrials
8.33%
NVDA
NVIDIA Corporation		Technology
8.33%
OLED
Universal Display Corporation		Technology
8.33%
TDW
Tidewater Inc.		Energy
8.33%
TREX
Trex Company, Inc.		Industrials
8.33%
UTHR
United Therapeutics Corporation		Healthcare
8.33%

Performance

Performance Chart

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The earliest data available for this chart is Jan 4, 2016, corresponding to the inception date of HEI-A

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		1.30%12.94%1.49%12.48%15.82%10.87%
2024 IIM Lucky 12 - Unoptimized4.07%21.04%2.02%16.09%45.86%N/A
Portfolio components:
NVDA
NVIDIA Corporation		0.84%29.58%-4.62%43.53%74.35%75.00%
TREX
Trex Company, Inc.		-11.88%13.87%-10.85%-31.38%1.14%16.69%
HEI-A
HEICO Corporation		18.57%11.04%5.38%28.31%26.32%N/A
FIX
Comfort Systems USA, Inc.		11.54%35.30%6.29%47.34%73.97%36.64%
UTHR
United Therapeutics Corporation		-13.46%7.07%-15.94%12.17%21.34%5.56%
HBM
Hudbay Minerals Inc.		0.35%15.01%-4.60%-15.77%29.91%-1.37%
TDW
Tidewater Inc.		-23.52%29.66%-17.52%-60.80%59.11%-25.51%
OLED
Universal Display Corporation		6.69%36.81%-4.67%-9.61%2.56%12.25%
EME
EMCOR Group, Inc.		3.76%23.10%-5.59%25.55%53.27%26.82%
CLS
Celestica Inc.		22.70%40.58%37.81%116.04%83.79%24.59%
GRMN
Garmin Ltd.		-0.12%8.64%-0.81%22.70%24.21%19.75%
AJG
Arthur J. Gallagher & Co.		20.80%2.88%16.63%35.06%33.09%23.92%
*Annualized

Monthly Returns

The table below presents the monthly returns of 2024 IIM Lucky 12 - Unoptimized, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20254.04%-5.08%-7.01%-1.34%14.87%4.07%
20242.29%16.72%8.63%-0.44%12.78%1.08%2.74%-0.84%1.73%2.61%7.56%-5.35%59.37%
202312.85%2.88%2.67%-0.38%1.39%12.00%11.54%1.55%-2.57%-3.61%9.79%6.90%68.35%
2022-5.37%-0.73%7.27%-10.73%4.82%-10.26%10.77%-4.71%-8.54%15.94%9.08%-3.11%0.11%
2021-0.77%8.21%4.51%8.31%1.45%-1.54%1.12%3.12%-5.37%8.88%1.17%4.34%37.67%
2020-2.37%-7.03%-18.57%13.07%9.75%5.58%8.00%9.09%-3.52%1.27%18.88%5.00%39.16%
201911.30%12.14%-0.05%0.85%-10.05%10.37%0.34%-4.61%0.01%6.60%1.06%4.62%34.76%
20184.93%-4.06%-1.23%0.46%2.47%-1.65%8.25%6.07%-1.45%-10.34%-1.39%-10.05%-9.39%
20175.06%0.39%0.00%-2.84%1.24%2.00%7.78%0.52%4.16%6.26%4.11%0.52%32.79%
2016-11.59%7.02%10.10%6.15%-1.97%0.32%9.53%-3.02%0.68%-3.00%17.28%3.66%37.16%

Expense Ratio

2024 IIM Lucky 12 - Unoptimized has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 2024 IIM Lucky 12 - Unoptimized is 23, meaning it’s performing worse than 77% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of 2024 IIM Lucky 12 - Unoptimized is 2323
Overall Rank
The Sharpe Ratio Rank of 2024 IIM Lucky 12 - Unoptimized is 2424
Sharpe Ratio Rank
The Sortino Ratio Rank of 2024 IIM Lucky 12 - Unoptimized is 2121
Sortino Ratio Rank
The Omega Ratio Rank of 2024 IIM Lucky 12 - Unoptimized is 2222
Omega Ratio Rank
The Calmar Ratio Rank of 2024 IIM Lucky 12 - Unoptimized is 2727
Calmar Ratio Rank
The Martin Ratio Rank of 2024 IIM Lucky 12 - Unoptimized is 2020
Martin 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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
NVDA
NVIDIA Corporation		0.731.401.181.313.22
TREX
Trex Company, Inc.		-0.68-0.760.90-0.49-1.17
HEI-A
HEICO Corporation		1.021.671.221.734.40
FIX
Comfort Systems USA, Inc.		0.821.201.180.912.21
UTHR
United Therapeutics Corporation		0.390.751.110.410.95
HBM
Hudbay Minerals Inc.		-0.30-0.170.98-0.46-0.91
TDW
Tidewater Inc.		-1.13-1.910.77-0.67-1.37
OLED
Universal Display Corporation		-0.190.071.01-0.18-0.36
EME
EMCOR Group, Inc.		0.601.001.150.721.77
CLS
Celestica Inc.		1.552.181.312.526.28
GRMN
Garmin Ltd.		0.561.161.190.812.53
AJG
Arthur J. Gallagher & Co.		1.602.201.303.068.43

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

2024 IIM Lucky 12 - Unoptimized Sharpe ratios as of May 17, 2025 (values are recalculated daily):

  • 1-Year: 0.52
  • 5-Year: 1.79
  • All Time: 1.17

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.56 to 1.05, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of 2024 IIM Lucky 12 - Unoptimized compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

2024 IIM Lucky 12 - Unoptimized provided a 0.34% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio0.34%0.35%0.43%0.56%0.40%0.46%0.52%0.67%0.64%0.78%2.25%1.15%
Portfolio components:
NVDA
NVIDIA Corporation		0.03%0.03%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%
TREX
Trex Company, Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
HEI-A
HEICO Corporation		0.10%0.11%0.14%0.15%0.13%0.14%0.16%0.17%0.10%0.25%0.00%0.00%
FIX
Comfort Systems USA, Inc.		0.32%0.28%0.41%0.49%0.49%0.81%0.79%0.76%0.68%0.83%0.88%1.31%
UTHR
United Therapeutics Corporation		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
HBM
Hudbay Minerals Inc.		0.17%0.17%0.25%0.32%0.22%0.21%0.37%0.34%0.17%0.26%0.42%0.21%
TDW
Tidewater Inc.		0.00%0.00%0.00%0.00%0.00%0.12%0.00%0.00%0.04%0.00%14.75%3.17%
OLED
Universal Display Corporation		1.06%1.09%0.73%1.11%0.48%0.26%0.19%0.26%0.07%0.00%0.00%0.00%
EME
EMCOR Group, Inc.		0.21%0.20%0.32%0.36%0.41%0.35%0.37%0.54%0.39%0.45%0.67%0.72%
CLS
Celestica Inc.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GRMN
Garmin Ltd.		1.46%1.44%2.27%3.10%1.92%2.01%2.30%3.32%3.42%4.21%5.41%3.58%
AJG
Arthur J. Gallagher & Co.		0.72%0.85%0.98%1.08%1.13%1.46%1.81%2.23%2.47%2.93%3.62%3.06%

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 2024 IIM Lucky 12 - Unoptimized. 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 2024 IIM Lucky 12 - Unoptimized was 41.34%, occurring on Mar 18, 2020. Recovery took 92 trading sessions.

The current 2024 IIM Lucky 12 - Unoptimized drawdown is 5.23%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-41.34%Feb 21, 202019Mar 18, 202092Jul 29, 2020111
-27.39%Jan 23, 202553Apr 8, 2025———
-26.69%Aug 30, 201880Dec 24, 201870Apr 5, 2019150
-21.54%Mar 30, 2022124Sep 26, 202246Nov 30, 2022170
-18.57%Jan 5, 201627Feb 11, 201614Mar 3, 201641

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 12 assets, with an effective number of assets of 12.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCUTHRTDWHBMAJGHEI-ANVDATREXCLSOLEDFIXGRMNEMEPortfolio
^GSPC1.000.340.300.440.540.490.640.570.520.610.560.660.590.79
UTHR0.341.000.150.190.260.200.190.200.190.230.240.260.270.40
TDW0.300.151.000.320.170.200.150.170.290.220.310.230.330.53
HBM0.440.190.321.000.220.250.300.270.340.330.320.340.350.61
AJG0.540.260.170.221.000.380.250.330.250.290.360.440.380.47
HEI-A0.490.200.200.250.381.000.300.340.320.340.380.400.420.54
NVDA0.640.190.150.300.250.301.000.400.410.510.350.420.350.61
TREX0.570.200.170.270.330.340.401.000.330.430.450.480.450.60
CLS0.520.190.290.340.250.320.410.331.000.410.450.400.460.64
OLED0.610.230.220.330.290.340.510.430.411.000.370.460.410.65
FIX0.560.240.310.320.360.380.350.450.450.371.000.430.700.68
GRMN0.660.260.230.340.440.400.420.480.400.460.431.000.480.64
EME0.590.270.330.350.380.420.350.450.460.410.700.481.000.70
Portfolio0.790.400.530.610.470.540.610.600.640.650.680.640.701.00
The correlation results are calculated based on daily price changes starting from Jan 5, 2016