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

High Beta - Max Sharpe Optimization

Last updated Nov 9, 2024

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%

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%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
0.56%
14.94%
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		25.82%3.20%14.94%35.92%14.22%11.43%
High Beta - Max Sharpe Optimization39.17%-9.14%0.56%40.05%46.58%N/A
Portfolio components:
LLY
Eli Lilly and Company		43.50%-10.69%10.21%40.21%51.41%31.14%
NVO
Novo Nordisk A/S		6.61%-9.12%-17.30%8.99%32.72%19.76%
ACGL
Arch Capital Group Ltd.		35.32%-12.15%2.65%16.93%19.96%18.12%
AVGO
Broadcom Inc.		62.00%-1.42%34.63%89.73%46.11%38.65%
NVDA
NVIDIA Corporation		193.39%7.76%60.71%200.62%95.13%77.59%
SMCI
Super Micro Computer, Inc.		-18.28%-51.40%-70.32%-12.68%61.21%21.02%
ELF
e.l.f. Beauty, Inc.		-7.06%22.27%-17.05%41.08%51.20%N/A

Monthly Returns

The table below presents the monthly returns of High Beta - Max Sharpe Optimization, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
202413.62%14.32%6.48%-1.03%6.93%7.48%-7.89%9.76%-7.28%-6.52%39.17%
20231.45%2.68%9.65%8.35%8.26%6.88%1.56%11.83%-3.11%3.30%5.95%1.03%74.24%
2022-8.77%1.61%8.94%-2.13%3.38%-1.50%4.70%-5.11%-2.54%13.54%10.65%2.07%24.98%
20214.86%3.49%-2.73%3.76%5.68%8.08%5.62%6.94%-6.55%11.91%0.19%7.83%59.64%
20204.32%-6.00%-2.88%5.84%6.75%4.34%-0.75%3.28%0.56%-6.69%9.02%9.85%29.32%
20194.54%6.56%6.14%-3.14%-5.43%5.84%-1.21%4.47%0.94%4.23%2.96%6.13%36.03%
20181.41%-5.41%-2.04%-1.44%4.79%-1.78%9.38%2.92%-0.53%-7.02%6.20%-3.52%1.68%
20172.74%3.41%1.12%3.30%5.21%0.80%1.76%3.88%1.85%1.06%2.33%-0.44%30.46%
2016-2.97%-7.49%-0.04%7.24%-3.78%

Expense Ratio

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 Rank

The current rank of High Beta - Max Sharpe Optimization is 18, indicating that it is in the bottom 18% 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 High Beta - Max Sharpe Optimization is 1818
Combined Rank
The Sharpe Ratio Rank of High Beta - Max Sharpe Optimization is 1414Sharpe Ratio Rank
The Sortino Ratio Rank of High Beta - Max Sharpe Optimization is 1515Sortino Ratio Rank
The Omega Ratio Rank of High Beta - Max Sharpe Optimization is 1414Omega Ratio Rank
The Calmar Ratio Rank of High Beta - Max Sharpe Optimization is 3333Calmar Ratio Rank
The Martin Ratio Rank of High Beta - Max Sharpe Optimization is 1414Martin 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.

High Beta - Max Sharpe Optimization
Sharpe ratio
The chart of Sharpe ratio for High Beta - Max Sharpe Optimization, currently valued at 1.81, compared to the broader market0.002.004.006.001.81
Sortino ratio
The chart of Sortino ratio for High Beta - Max Sharpe Optimization, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for High Beta - Max Sharpe Optimization, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.802.001.32
Calmar ratio
The chart of Calmar ratio for High Beta - Max Sharpe Optimization, currently valued at 2.54, compared to the broader market0.005.0010.0015.002.54
Martin ratio
The chart of Martin ratio for High Beta - Max Sharpe Optimization, currently valued at 7.91, compared to the broader market0.0010.0020.0030.0040.0050.0060.007.91
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.08, compared to the broader market0.002.004.006.003.08
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.10, compared to the broader market-2.000.002.004.006.004.10
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.58, compared to the broader market0.801.001.201.401.601.802.001.58
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.48, compared to the broader market0.005.0010.0015.004.48
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 20.05, compared to the broader market0.0010.0020.0030.0040.0050.0060.0020.05
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
LLY
Eli Lilly and Company		1.422.051.282.187.28
NVO
Novo Nordisk A/S		0.340.711.090.371.07
ACGL
Arch Capital Group Ltd.		0.801.181.161.013.11
AVGO
Broadcom Inc.		2.162.761.353.9312.02
NVDA
NVIDIA Corporation		4.053.991.527.7524.42
SMCI
Super Micro Computer, Inc.		-0.120.611.09-0.15-0.33
ELF
e.l.f. Beauty, Inc.		0.571.191.150.651.36

Sharpe Ratio

The current High Beta - Max Sharpe Optimization Sharpe ratio is 1.68. 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 2.17 to 3.06, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of High Beta - Max Sharpe Optimization 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 Ratio1.001.502.002.503.003.504.004.50JuneJulyAugustSeptemberOctoberNovember
1.81
3.08
High Beta - Max Sharpe Optimization
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

High Beta - Max Sharpe Optimization provided a 0.71% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.71%0.70%0.96%1.00%1.39%1.59%1.67%1.62%2.28%1.33%1.73%2.02%
Portfolio components:
LLY
Eli Lilly and Company		0.60%0.78%1.07%1.23%1.75%1.96%1.95%2.46%2.77%2.37%2.84%3.84%
NVO
Novo Nordisk A/S		1.32%1.00%1.20%1.34%1.86%2.14%2.47%2.12%3.93%1.31%1.96%1.72%
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.		1.18%1.71%3.02%2.24%3.05%3.54%3.11%1.87%1.43%1.13%1.22%1.66%
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. Drawdowns are calculated considering price movements and all distributions paid, if any.

-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-13.30%
0
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 13.52%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.13%Feb 20, 202023Mar 23, 202053Jun 8, 202076
-16.59%Jul 11, 202484Nov 6, 2024———
-13.47%Dec 16, 202128Jan 26, 202242Mar 28, 202270
-13.27%Jan 29, 20189Feb 8, 2018124Aug 7, 2018133
-12.65%Aug 26, 202221Sep 26, 202224Oct 28, 202245

Volatility

Volatility Chart

The current High Beta - Max Sharpe Optimization volatility is 6.26%, 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%12.00%JuneJulyAugustSeptemberOctoberNovember
6.26%
3.89%
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.
ACGLLLYNVOELFSMCINVDAAVGO
ACGL1.000.200.180.240.240.190.23
LLY0.201.000.420.170.190.200.23
NVO0.180.421.000.180.210.250.24
ELF0.240.170.181.000.300.300.30
SMCI0.240.190.210.301.000.400.38
NVDA0.190.200.250.300.401.000.63
AVGO0.230.230.240.300.380.631.00
The correlation results are calculated based on daily price changes starting from Sep 23, 2016