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 Class A | 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
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The earliest data available for this chart is Aug 6, 2009, corresponding to the inception date of AVGO
Returns By Period
As of May 19, 2025, the Portfolio 3: top 20 sharpe returned -0.95% Year-To-Date and 26.25% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 1.30% | 12.79% | 1.49% | 12.35% | 15.37% | 10.87% |
| Portfolio 3: top 20 sharpe | -0.95% | 18.64% | 13.19% | 35.48% | 27.06% | 26.25% |
| Portfolio components: | ||||||
MSFT Microsoft Corporation | 8.19% | 23.74% | 10.10% | 8.93% | 21.05% | 27.25% |
AVGO Broadcom Inc. | -1.09% | 33.70% | 39.48% | 65.85% | 57.32% | 36.86% |
GOOGL Alphabet Inc Class A | -12.11% | 9.94% | -3.43% | -5.15% | 19.52% | 19.69% |
AMZN Amazon.com, Inc. | -6.29% | 19.11% | 1.47% | 11.31% | 10.96% | 25.37% |
UNH UnitedHealth Group Incorporated | -42.05% | -35.72% | -50.31% | -43.47% | 1.69% | 10.98% |
V Visa Inc. | 15.92% | 10.96% | 18.31% | 31.30% | 14.91% | 18.96% |
AXON Axon Enterprise, Inc. | 23.36% | 31.03% | 22.33% | 153.88% | 58.17% | 36.80% |
NOC Northrop Grumman Corporation | 1.28% | -12.44% | -3.38% | 2.36% | 9.50% | 13.24% |
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% | 4.94% | 11.24% | -0.95% | |||||||
| 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
With an overall rank of 75, Portfolio 3: top 20 sharpe is among the top 25% of portfolios on our website when it comes to balancing risk and reward. Below is 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 | 0.34 | 0.75 | 1.10 | 0.43 | 0.94 |
AVGO Broadcom Inc. | 1.02 | 1.83 | 1.24 | 1.64 | 4.54 |
GOOGL Alphabet Inc Class A | -0.13 | 0.13 | 1.02 | -0.07 | -0.14 |
AMZN Amazon.com, Inc. | 0.35 | 0.65 | 1.08 | 0.32 | 0.85 |
UNH UnitedHealth Group Incorporated | -1.00 | -1.18 | 0.79 | -0.76 | -2.74 |
V Visa Inc. | 1.45 | 2.01 | 1.30 | 2.18 | 7.28 |
AXON Axon Enterprise, Inc. | 2.73 | 3.56 | 1.54 | 4.90 | 12.77 |
NOC Northrop Grumman Corporation | 0.09 | 0.25 | 1.04 | 0.07 | 0.17 |
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Dividends
Dividend yield
Portfolio 3: top 20 sharpe provided a 1.03% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.03% | 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 | 0.71% | 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. | 0.98% | 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 Class A | 0.48% | 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 | 2.88% | 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. | 0.63% | 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 | 1.74% | 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.
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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 6.47%.
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 chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 8 assets, with an effective number of assets of 7.41, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| ^GSPC | NOC | UNH | AXON | AVGO | V | AMZN | GOOGL | MSFT | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.47 | 0.48 | 0.46 | 0.61 | 0.66 | 0.62 | 0.68 | 0.71 | 0.83 |
| NOC | 0.47 | 1.00 | 0.36 | 0.24 | 0.22 | 0.36 | 0.22 | 0.27 | 0.30 | 0.43 |
| UNH | 0.48 | 0.36 | 1.00 | 0.19 | 0.26 | 0.35 | 0.26 | 0.33 | 0.32 | 0.50 |
| AXON | 0.46 | 0.24 | 0.19 | 1.00 | 0.35 | 0.32 | 0.35 | 0.33 | 0.35 | 0.52 |
| AVGO | 0.61 | 0.22 | 0.26 | 0.35 | 1.00 | 0.41 | 0.45 | 0.45 | 0.49 | 0.73 |
| V | 0.66 | 0.36 | 0.35 | 0.32 | 0.41 | 1.00 | 0.46 | 0.51 | 0.51 | 0.65 |
| AMZN | 0.62 | 0.22 | 0.26 | 0.35 | 0.45 | 0.46 | 1.00 | 0.63 | 0.58 | 0.78 |
| GOOGL | 0.68 | 0.27 | 0.33 | 0.33 | 0.45 | 0.51 | 0.63 | 1.00 | 0.62 | 0.72 |
| MSFT | 0.71 | 0.30 | 0.32 | 0.35 | 0.49 | 0.51 | 0.58 | 0.62 | 1.00 | 0.71 |
| Portfolio | 0.83 | 0.43 | 0.50 | 0.52 | 0.73 | 0.65 | 0.78 | 0.72 | 0.71 | 1.00 |