Portfolio 3: top 20 sharpe
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AMZN Amazon.com, Inc. | Consumer Cyclical | 15% |
AVGO Broadcom Inc. | Technology | 10% |
AXON Axon Enterprise, Inc. | Industrials | 5% |
GOOGL Alphabet Inc. | Communication Services | 15% |
MSFT Microsoft Corporation | Technology | 10% |
NOC Northrop Grumman Corporation | Industrials | 15% |
UNH UnitedHealth Group Incorporated | Healthcare | 15% |
V Visa Inc. | Financial Services | 15% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Portfolio 3: top 20 sharpe, 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 never rebalanced.
The earliest data available for this chart is Aug 6, 2009, corresponding to the inception date of AVGO
Returns By Period
As of Apr 20, 2025, the Portfolio 3: top 20 sharpe returned -16.51% Year-To-Date and 24.55% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -10.18% | -6.79% | -9.92% | 6.35% | 14.12% | 9.63% |
| Portfolio 3: top 20 sharpe | -16.51% | -7.45% | -2.05% | 23.64% | 24.53% | 24.60% |
| Portfolio components: | ||||||
MSFT Microsoft Corporation | -12.57% | -6.00% | -11.70% | -7.15% | 18.10% | 25.77% |
AVGO Broadcom Inc. | -26.02% | -10.78% | -4.40% | 43.67% | 51.22% | 33.51% |
GOOGL Alphabet Inc. | -20.06% | -7.82% | -7.29% | -1.43% | 20.26% | 18.54% |
AMZN Amazon.com, Inc. | -21.32% | -12.03% | -8.67% | -1.16% | 8.23% | 24.45% |
UNH UnitedHealth Group Incorporated | -9.85% | -12.14% | -19.63% | -7.93% | 12.30% | 16.22% |
V Visa Inc. | 4.47% | -1.80% | 13.83% | 23.09% | 16.37% | 18.03% |
AXON Axon Enterprise, Inc. | -5.85% | -0.08% | 27.73% | 90.57% | 51.54% | 34.26% |
NOC Northrop Grumman Corporation | 15.67% | 10.12% | 2.70% | 18.83% | 12.01% | 14.64% |
Monthly Returns
The table below presents the monthly returns of Portfolio 3: top 20 sharpe, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.28% | -10.19% | -7.63% | -1.60% | -16.51% | ||||||||
| 2024 | 2.03% | 8.13% | 2.18% | -1.68% | 0.67% | 10.11% | 0.78% | 2.20% | 4.23% | -0.39% | 7.34% | 12.68% | 58.92% |
| 2023 | 4.53% | -2.23% | 6.95% | 0.78% | 8.80% | 4.79% | 2.25% | 1.75% | -4.98% | 3.27% | 8.30% | 7.33% | 49.02% |
| 2022 | -7.84% | 1.66% | 4.96% | -12.18% | -0.11% | -6.88% | 11.29% | -4.74% | -7.69% | 5.94% | 5.20% | -4.37% | -16.22% |
| 2021 | 0.45% | 1.61% | 1.16% | 7.85% | -1.60% | 4.72% | 1.89% | 1.98% | -4.43% | 6.61% | -0.41% | 6.11% | 28.37% |
| 2020 | 3.49% | -7.50% | -5.21% | 16.73% | 3.36% | 6.05% | 4.76% | 8.19% | -4.29% | -3.02% | 9.83% | 3.76% | 39.20% |
| 2019 | 9.18% | -0.06% | 4.94% | 5.47% | -5.88% | 6.36% | 2.50% | -2.34% | -2.09% | 3.24% | 6.11% | 1.96% | 32.33% |
| 2018 | 10.11% | 0.87% | -2.93% | 2.94% | 6.58% | 0.46% | 1.88% | 5.74% | 2.49% | -12.20% | 2.76% | -6.09% | 11.17% |
| 2017 | 5.74% | 4.25% | 1.22% | 4.08% | 5.33% | -0.84% | 3.57% | 1.79% | -0.05% | 8.13% | 5.12% | -1.58% | 42.99% |
| 2016 | -6.04% | -0.55% | 7.85% | 0.75% | 5.71% | 0.62% | 4.68% | 1.12% | 2.88% | -1.17% | 1.85% | -0.20% | 18.14% |
| 2015 | 3.31% | 8.27% | -0.95% | 1.18% | 7.54% | -1.94% | 6.32% | -4.11% | -0.48% | 10.42% | 1.52% | 2.94% | 38.38% |
| 2014 | -2.09% | 5.72% | -1.18% | -5.60% | 3.94% | 1.36% | -1.11% | 7.41% | 0.91% | 3.78% | 5.60% | 2.20% | 22.14% |
Expense Ratio
Portfolio 3: top 20 sharpe 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Portfolio 3: top 20 sharpe is 67, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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 | |
|---|---|---|---|---|---|
MSFT Microsoft Corporation | -0.43 | -0.46 | 0.94 | -0.45 | -1.04 |
AVGO Broadcom Inc. | 0.48 | 1.15 | 1.15 | 0.73 | 2.19 |
GOOGL Alphabet Inc. | -0.05 | 0.15 | 1.02 | -0.05 | -0.13 |
AMZN Amazon.com, Inc. | -0.18 | -0.02 | 1.00 | -0.20 | -0.58 |
UNH UnitedHealth Group Incorporated | -0.04 | 0.18 | 1.03 | -0.06 | -0.15 |
V Visa Inc. | 1.05 | 1.49 | 1.22 | 1.49 | 5.30 |
AXON Axon Enterprise, Inc. | 1.58 | 2.56 | 1.38 | 2.87 | 7.22 |
NOC Northrop Grumman Corporation | 1.01 | 1.54 | 1.20 | 1.07 | 2.56 |
Dividends
Dividend yield
Portfolio 3: top 20 sharpe provided a 0.90% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.90% | 0.82% | 0.80% | 0.89% | 0.79% | 0.97% | 0.99% | 1.08% | 0.85% | 0.94% | 0.93% | 0.95% |
| Portfolio components: | ||||||||||||
MSFT Microsoft Corporation | 0.86% | 0.73% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% | 2.48% |
AVGO Broadcom Inc. | 1.31% | 0.94% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% |
GOOGL Alphabet Inc. | 0.53% | 0.32% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
AMZN Amazon.com, 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% |
UNH UnitedHealth Group Incorporated | 1.85% | 1.62% | 1.38% | 1.21% | 1.12% | 1.38% | 1.41% | 1.38% | 1.30% | 1.48% | 1.59% | 1.39% |
V Visa Inc. | 0.67% | 0.68% | 0.72% | 0.76% | 0.62% | 0.56% | 0.56% | 0.67% | 0.61% | 0.75% | 0.64% | 0.64% |
AXON Axon Enterprise, 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% |
NOC Northrop Grumman Corporation | 1.52% | 1.72% | 1.57% | 1.24% | 1.59% | 1.86% | 1.50% | 1.92% | 1.27% | 1.50% | 1.64% | 1.84% |
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 Portfolio 3: top 20 sharpe. 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 Portfolio 3: top 20 sharpe was 28.45%, occurring on Mar 16, 2020. Recovery took 54 trading sessions.
The current Portfolio 3: top 20 sharpe drawdown is 21.17%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -28.45% | Feb 20, 2020 | 18 | Mar 16, 2020 | 54 | Jun 2, 2020 | 72 |
| -26.8% | Dec 17, 2024 | 74 | Apr 4, 2025 | — | — | — |
| -23.99% | Dec 28, 2021 | 119 | Jun 16, 2022 | 241 | Jun 2, 2023 | 360 |
| -22.52% | Oct 2, 2018 | 58 | Dec 24, 2018 | 80 | Apr 22, 2019 | 138 |
| -19.72% | Apr 23, 2010 | 48 | Jun 30, 2010 | 80 | Oct 22, 2010 | 128 |
Volatility
Volatility Chart
The current Portfolio 3: top 20 sharpe volatility is 16.83%, 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
| NOC | UNH | AXON | AVGO | V | AMZN | GOOGL | MSFT | |
|---|---|---|---|---|---|---|---|---|
| NOC | 1.00 | 0.36 | 0.24 | 0.22 | 0.36 | 0.22 | 0.27 | 0.30 |
| UNH | 0.36 | 1.00 | 0.19 | 0.26 | 0.35 | 0.27 | 0.33 | 0.32 |
| AXON | 0.24 | 0.19 | 1.00 | 0.35 | 0.32 | 0.35 | 0.33 | 0.34 |
| AVGO | 0.22 | 0.26 | 0.35 | 1.00 | 0.41 | 0.45 | 0.45 | 0.49 |
| V | 0.36 | 0.35 | 0.32 | 0.41 | 1.00 | 0.46 | 0.51 | 0.51 |
| AMZN | 0.22 | 0.27 | 0.35 | 0.45 | 0.46 | 1.00 | 0.63 | 0.58 |
| GOOGL | 0.27 | 0.33 | 0.33 | 0.45 | 0.51 | 0.63 | 1.00 | 0.62 |
| MSFT | 0.30 | 0.32 | 0.34 | 0.49 | 0.51 | 0.58 | 0.62 | 1.00 |