High Beta - Max Sharpe Optimization

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 every 3 months.

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.

High Beta - Max Sharpe Optimization 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 current rank of High Beta - Max Sharpe Optimization is 2, meaning it’s performing worse than 98% 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.

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.

The current High Beta - Max Sharpe Optimization Sharpe ratio is -0.57. 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 0.21 to 0.77, 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.

High Beta - Max Sharpe Optimization provided a 2.09% dividend yield over the last twelve months.

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.

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 33.23%, occurring on Apr 4, 2025. The portfolio has not yet recovered.

The current High Beta - Max Sharpe Optimization drawdown is 29.58%.

The current High Beta - Max Sharpe Optimization volatility is 17.56%, 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.