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High Beta - Max Sharpe Optimization
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


LLY 31.9%NVO 31.9%ACGL 16.7%AVGO 7.6%NVDA 6%SMCI 3.2%ELF 2.7%EquityEquity
PositionCategory/SectorWeight
ACGL
Arch Capital Group Ltd.
Financial Services

16.70%

AVGO
Broadcom Inc.
Technology

7.60%

ELF
e.l.f. Beauty, Inc.
Consumer Defensive

2.70%

LLY
Eli Lilly and Company
Healthcare

31.90%

NVDA
NVIDIA Corporation
Technology

6%

NVO
Novo Nordisk A/S
Healthcare

31.90%

SMCI
Super Micro Computer, Inc.
Technology

3.20%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in High Beta - Max Sharpe Optimization, 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%10.00%20.00%30.00%40.00%50.00%NovemberDecember2024FebruaryMarchApril
38.91%
19.37%
High Beta - Max Sharpe Optimization
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 22, 2016, corresponding to the inception date of ELF

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.30%-3.13%19.37%22.56%11.65%10.55%
High Beta - Max Sharpe Optimization34.07%-2.75%38.91%90.96%48.39%N/A
LLY
Eli Lilly and Company
28.15%-3.23%26.32%96.15%46.90%31.78%
NVO
Novo Nordisk A/S
24.99%-0.09%32.59%52.21%41.46%20.91%
ACGL
Arch Capital Group Ltd.
26.27%3.42%12.42%29.33%23.40%17.27%
AVGO
Broadcom Inc.
12.39%-7.70%43.03%100.76%36.41%38.64%
NVDA
NVIDIA Corporation
66.44%-12.58%88.80%204.89%78.03%68.79%
SMCI
Super Micro Computer, Inc.
168.02%-21.68%190.11%672.76%103.07%43.68%
ELF
e.l.f. Beauty, Inc.
22.62%-13.92%60.56%86.62%71.43%N/A

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
202413.62%14.32%6.42%
2023-3.11%3.30%5.95%1.03%

Expense Ratio

The High Beta - Max Sharpe Optimization 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 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.


High Beta - Max Sharpe Optimization
Sharpe ratio
The chart of Sharpe ratio for High Beta - Max Sharpe Optimization, currently valued at 3.91, compared to the broader market-1.000.001.002.003.004.005.003.91
Sortino ratio
The chart of Sortino ratio for High Beta - Max Sharpe Optimization, currently valued at 5.45, compared to the broader market0.002.004.006.005.45
Omega ratio
The chart of Omega ratio for High Beta - Max Sharpe Optimization, currently valued at 1.68, compared to the broader market0.801.001.201.401.601.801.68
Calmar ratio
The chart of Calmar ratio for High Beta - Max Sharpe Optimization, currently valued at 9.44, compared to the broader market0.002.004.006.008.009.44
Martin ratio
The chart of Martin ratio for High Beta - Max Sharpe Optimization, currently valued at 30.60, compared to the broader market0.0010.0020.0030.0040.0050.0030.60
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.005.001.92
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.78, compared to the broader market0.002.004.006.002.78
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.47, compared to the broader market0.002.004.006.008.001.47
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.64, compared to the broader market0.0010.0020.0030.0040.0050.007.64

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
LLY
Eli Lilly and Company
3.214.551.607.7024.06
NVO
Novo Nordisk A/S
1.562.751.314.189.98
ACGL
Arch Capital Group Ltd.
1.331.861.241.674.25
AVGO
Broadcom Inc.
2.793.751.457.2319.24
NVDA
NVIDIA Corporation
4.174.861.609.5930.94
SMCI
Super Micro Computer, Inc.
6.174.451.6315.2734.82
ELF
e.l.f. Beauty, Inc.
1.522.231.282.506.22

Sharpe Ratio

The current High Beta - Max Sharpe Optimization Sharpe ratio is 3.91. A Sharpe ratio of 3.0 or higher is considered excellent.

-1.000.001.002.003.004.005.003.91

The Sharpe ratio of High Beta - Max Sharpe Optimization 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.


Rolling 12-month Sharpe Ratio0.001.002.003.004.005.006.00NovemberDecember2024FebruaryMarchApril
3.91
1.92
High Beta - Max Sharpe Optimization
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

High Beta - Max Sharpe Optimization granted a 0.56% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
High Beta - Max Sharpe Optimization0.56%0.61%0.85%0.87%1.22%1.39%1.51%1.44%1.94%1.22%1.57%1.88%
LLY
Eli Lilly and Company
0.63%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
0.76%0.71%0.84%0.94%1.33%1.51%1.97%1.52%2.87%0.92%1.43%1.23%
ACGL
Arch Capital Group Ltd.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AVGO
Broadcom Inc.
1.58%1.71%3.02%2.24%3.05%3.54%3.11%1.94%1.52%1.23%1.34%1.87%
NVDA
NVIDIA Corporation
0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%1.94%
SMCI
Super Micro Computer, 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%
ELF
e.l.f. Beauty, 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%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-5.56%
-3.50%
High Beta - Max Sharpe Optimization
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the High Beta - Max Sharpe Optimization. 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 High Beta - Max Sharpe Optimization was 28.13%, occurring on Mar 23, 2020. Recovery took 53 trading sessions.

The current High Beta - Max Sharpe Optimization drawdown is 5.56%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.13%Feb 20, 202023Mar 23, 202053Jun 8, 202076
-13.47%Dec 16, 202128Jan 26, 202242Mar 28, 202270
-13.27%Jan 29, 20189Feb 8, 2018134Aug 21, 2018143
-12.65%Aug 26, 202221Sep 26, 202224Oct 28, 202245
-12.21%Sep 23, 201631Nov 4, 201669Feb 15, 2017100

Volatility

Volatility Chart

The current High Beta - Max Sharpe Optimization volatility is 5.73%, 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%4.00%6.00%8.00%10.00%NovemberDecember2024FebruaryMarchApril
5.73%
3.58%
High Beta - Max Sharpe Optimization
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.

LLYACGLNVOELFSMCINVDAAVGO
LLY1.000.210.410.160.180.190.22
ACGL0.211.000.190.270.260.220.25
NVO0.410.191.000.180.210.260.25
ELF0.160.270.181.000.290.300.31
SMCI0.180.260.210.291.000.390.37
NVDA0.190.220.260.300.391.000.62
AVGO0.220.250.250.310.370.621.00