2024H2 IIM Basic Equity Portfolio Model - Unoptimized
IIM Think Tank Basic Equity Portfolio Model = Basic Alpha via Stock Picking (Starting Positions) Stock Picks based on propriety Algo, with the aim to beat SPX returns and Sharpe ratio in the long term. It does not seek Alpha maximization. Stock Picks, Position Sizing & Re-balancing (buy, sell and hold signals) are based on proprietary IIM macro-quant-mental algorithm. This portfolio ignores flawed industry and academic theory such as DCF valuations, diversification, and volatility. Instead its Algo focuses on real-money USD return over the long term. Unoptimized = Presents major risks to buy & hold investors + Lacks active risk-management necessary to preserve capital against major tail risks and asset rotations. IIM internal portfolio is re-balanced and composition changes based on R Algo signals. Not an Investment advice. Past performance not equal future performance. If you decide to use this portfolio model in your research or investment, please cite and credit IIM Think Tank with a hyperlink (see below). If you are a CIO or an institutional investor planning to allocate real money to this model, customize (optimize) it, or explore the potential risks and opportunities of this portfolio,, or need active management support and signals, then please contact: https://www.iim.education/think-tank/investment/ Lead Researcher & Portfolio Model Manager https://www.medjones.com/investment/
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AMZN Amazon.com, Inc. | Consumer Cyclical | 9.09% |
BHP BHP Group | Basic Materials | 9.09% |
GE General Electric Company | Industrials | 9.09% |
GOOGL Alphabet Inc. | Communication Services | 9.09% |
JPM JPMorgan Chase & Co. | Financial Services | 9.09% |
LIN Linde plc | Basic Materials | 9.09% |
LLY Eli Lilly and Company | Healthcare | 9.09% |
MSFT Microsoft Corporation | Technology | 9.09% |
NEE NextEra Energy, Inc. | Utilities | 9.09% |
PLD Prologis, Inc. | Real Estate | 9.09% |
WMT Walmart Inc. | Consumer Defensive | 9.09% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 2024H2 IIM Basic Equity Portfolio Model - Unoptimized, 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
The earliest data available for this chart is Aug 19, 2004, corresponding to the inception date of GOOGL
Returns By Period
As of Sep 19, 2024, the 2024H2 IIM Basic Equity Portfolio Model - Unoptimized returned 26.82% Year-To-Date and 19.99% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.79% | 0.18% | 7.53% | 26.42% | 13.48% | 10.85% |
| 2024H2 IIM Basic Equity Portfolio Model - Unoptimized | 26.82% | 2.07% | 12.11% | 37.32% | 23.75% | 20.13% |
| Portfolio components: | ||||||
GOOGL Alphabet Inc. | 14.69% | -4.28% | 8.54% | 19.79% | 21.18% | 18.34% |
MSFT Microsoft Corporation | 15.19% | 1.41% | 0.70% | 35.31% | 26.56% | 26.83% |
AMZN Amazon.com, Inc. | 22.70% | 4.22% | 4.65% | 37.80% | 15.81% | 27.73% |
LLY Eli Lilly and Company | 56.00% | -4.74% | 17.85% | 59.93% | 53.06% | 32.57% |
JPM JPMorgan Chase & Co. | 24.16% | -3.26% | 5.44% | 43.46% | 15.16% | 16.26% |
WMT Walmart Inc. | 51.85% | 6.02% | 29.42% | 46.60% | 17.03% | 14.34% |
LIN Linde plc | 14.75% | 2.26% | 0.77% | 24.80% | 21.04% | 15.58% |
GE General Electric Company | 80.83% | 7.98% | 30.65% | 101.22% | 32.13% | 5.59% |
NEE NextEra Energy, Inc. | 41.85% | 7.40% | 39.14% | 28.96% | 10.94% | 16.53% |
PLD Prologis, Inc. | -2.46% | 3.07% | -0.63% | 8.22% | 11.39% | 16.12% |
BHP BHP Group | -18.12% | 1.70% | -5.76% | -2.68% | 8.11% | 5.44% |
Monthly Returns
The table below presents the monthly returns of 2024H2 IIM Basic Equity Portfolio Model - Unoptimized, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.96% | 6.69% | 5.44% | -1.68% | 6.57% | 1.69% | 0.79% | 3.92% | 26.82% | ||||
| 2023 | 7.31% | -3.30% | 7.08% | 3.37% | 2.71% | 5.21% | 2.91% | 0.14% | -4.36% | 0.13% | 7.73% | 4.89% | 38.42% |
| 2022 | -6.39% | -0.69% | 6.60% | -9.95% | -0.49% | -8.36% | 8.88% | -3.72% | -7.92% | 6.54% | 9.30% | -4.55% | -12.69% |
| 2021 | 2.95% | 2.79% | 2.17% | 5.00% | 1.68% | 1.99% | 3.73% | 3.21% | -6.22% | 8.20% | -1.38% | 4.66% | 32.01% |
| 2020 | 3.38% | -8.39% | -6.70% | 8.39% | 4.24% | 3.36% | 5.86% | 4.21% | -3.78% | 0.16% | 12.51% | 5.11% | 29.71% |
| 2019 | 9.83% | 3.25% | 2.35% | 3.65% | -3.79% | 6.49% | 0.62% | -2.24% | 3.07% | 3.14% | 4.31% | 3.39% | 38.99% |
| 2018 | 6.02% | -5.07% | -1.62% | 2.82% | 2.36% | 1.11% | 5.68% | 2.02% | -0.52% | -4.37% | -0.02% | -4.91% | 2.74% |
| 2017 | 2.12% | 2.68% | 0.74% | 2.60% | 2.15% | 0.53% | 3.12% | 0.93% | 0.72% | 3.90% | 3.04% | 1.20% | 26.41% |
| 2016 | -4.31% | -2.41% | 8.20% | 2.40% | 1.34% | 1.75% | 4.91% | 0.12% | 2.50% | -0.81% | 0.43% | 2.40% | 17.16% |
| 2015 | -1.21% | 4.30% | -2.33% | 3.69% | 0.23% | -2.05% | 5.52% | -5.23% | -0.98% | 8.31% | 0.67% | 1.04% | 11.77% |
| 2014 | -1.45% | 3.77% | 0.58% | -0.54% | 0.60% | 1.72% | -1.56% | 3.09% | -2.10% | 1.10% | 2.30% | -1.39% | 6.07% |
| 2013 | 5.04% | 1.52% | 1.20% | 2.53% | 1.27% | -1.44% | 4.25% | -4.11% | 3.38% | 6.82% | 3.02% | 1.43% | 27.40% |
Expense Ratio
2024H2 IIM Basic Equity Portfolio Model - Unoptimized 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of 2024H2 IIM Basic Equity Portfolio Model - Unoptimized is 87, placing it in the top 13% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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 | |
|---|---|---|---|---|---|
GOOGL Alphabet Inc. | 0.56 | 0.91 | 1.13 | 0.72 | 2.07 |
MSFT Microsoft Corporation | 1.61 | 2.13 | 1.28 | 2.06 | 6.26 |
AMZN Amazon.com, Inc. | 1.16 | 1.69 | 1.22 | 0.92 | 5.55 |
LLY Eli Lilly and Company | 1.96 | 2.72 | 1.36 | 3.17 | 11.60 |
JPM JPMorgan Chase & Co. | 2.21 | 2.61 | 1.40 | 2.65 | 13.49 |
WMT Walmart Inc. | 2.54 | 3.43 | 1.53 | 4.35 | 12.89 |
LIN Linde plc | 1.38 | 1.90 | 1.27 | 1.89 | 4.34 |
GE General Electric Company | 3.40 | 4.21 | 1.55 | 2.40 | 29.15 |
NEE NextEra Energy, Inc. | 0.89 | 1.29 | 1.18 | 0.61 | 2.46 |
PLD Prologis, Inc. | 0.25 | 0.54 | 1.07 | 0.16 | 0.57 |
BHP BHP Group | -0.17 | -0.07 | 0.99 | -0.16 | -0.31 |
Dividends
Dividend yield
2024H2 IIM Basic Equity Portfolio Model - Unoptimized granted a 1.55% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024H2 IIM Basic Equity Portfolio Model - Unoptimized | 1.55% | 1.59% | 2.15% | 1.82% | 1.50% | 2.00% | 2.36% | 2.17% | 2.12% | 2.87% | 2.39% | 2.29% |
| Portfolio components: | ||||||||||||
GOOGL Alphabet Inc. | 0.25% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
MSFT Microsoft Corporation | 0.70% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% | 2.48% | 2.59% |
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% |
LLY Eli Lilly and Company | 0.56% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.94% | 2.46% | 2.77% | 2.37% | 2.84% | 3.84% |
JPM JPMorgan Chase & Co. | 2.12% | 2.38% | 2.98% | 2.34% | 2.83% | 2.37% | 2.54% | 1.91% | 2.13% | 2.54% | 2.49% | 2.33% |
WMT Walmart Inc. | 1.03% | 1.45% | 1.58% | 1.52% | 1.50% | 1.78% | 2.23% | 2.07% | 2.89% | 3.20% | 2.24% | 2.39% |
LIN Linde plc | 1.17% | 1.24% | 1.43% | 1.22% | 1.46% | 1.64% | 2.11% | 2.04% | 2.56% | 2.79% | 2.01% | 1.85% |
GE General Electric Company | 0.37% | 0.25% | 0.38% | 0.34% | 0.37% | 0.36% | 4.88% | 4.81% | 2.94% | 2.95% | 3.52% | 2.81% |
NEE NextEra Energy, Inc. | 2.39% | 3.08% | 2.03% | 1.65% | 1.81% | 2.06% | 2.55% | 2.52% | 2.91% | 2.96% | 2.73% | 3.08% |
PLD Prologis, Inc. | 2.95% | 2.61% | 2.80% | 1.50% | 2.33% | 2.38% | 3.27% | 2.73% | 3.18% | 3.54% | 3.07% | 3.03% |
BHP BHP Group | 5.50% | 4.98% | 10.27% | 9.56% | 3.52% | 8.23% | 4.68% | 3.46% | 1.61% | 8.93% | 4.90% | 3.26% |
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 2024H2 IIM Basic Equity Portfolio Model - Unoptimized. 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 2024H2 IIM Basic Equity Portfolio Model - Unoptimized was 51.61%, occurring on Nov 20, 2008. Recovery took 492 trading sessions.
The current 2024H2 IIM Basic Equity Portfolio Model - Unoptimized drawdown is 0.59%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -51.61% | Nov 1, 2007 | 267 | Nov 20, 2008 | 492 | Nov 4, 2010 | 759 |
| -29.35% | Feb 19, 2020 | 24 | Mar 23, 2020 | 78 | Jul 14, 2020 | 102 |
| -22.44% | Mar 31, 2022 | 135 | Oct 12, 2022 | 141 | May 5, 2023 | 276 |
| -16.73% | Jul 25, 2011 | 50 | Oct 3, 2011 | 74 | Jan 19, 2012 | 124 |
| -16.4% | Oct 10, 2018 | 52 | Dec 24, 2018 | 40 | Feb 22, 2019 | 92 |
Volatility
Volatility Chart
The current 2024H2 IIM Basic Equity Portfolio Model - Unoptimized volatility is 3.98%, 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
| NEE | WMT | LLY | BHP | AMZN | GE | GOOGL | PLD | JPM | MSFT | LIN | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| NEE | 1.00 | 0.32 | 0.31 | 0.26 | 0.23 | 0.26 | 0.25 | 0.43 | 0.26 | 0.31 | 0.34 |
| WMT | 0.32 | 1.00 | 0.32 | 0.23 | 0.29 | 0.30 | 0.28 | 0.34 | 0.32 | 0.33 | 0.32 |
| LLY | 0.31 | 0.32 | 1.00 | 0.27 | 0.29 | 0.32 | 0.30 | 0.33 | 0.33 | 0.37 | 0.34 |
| BHP | 0.26 | 0.23 | 0.27 | 1.00 | 0.33 | 0.41 | 0.35 | 0.37 | 0.44 | 0.38 | 0.51 |
| AMZN | 0.23 | 0.29 | 0.29 | 0.33 | 1.00 | 0.33 | 0.58 | 0.35 | 0.35 | 0.54 | 0.38 |
| GE | 0.26 | 0.30 | 0.32 | 0.41 | 0.33 | 1.00 | 0.35 | 0.39 | 0.56 | 0.37 | 0.46 |
| GOOGL | 0.25 | 0.28 | 0.30 | 0.35 | 0.58 | 0.35 | 1.00 | 0.36 | 0.40 | 0.55 | 0.42 |
| PLD | 0.43 | 0.34 | 0.33 | 0.37 | 0.35 | 0.39 | 0.36 | 1.00 | 0.45 | 0.41 | 0.44 |
| JPM | 0.26 | 0.32 | 0.33 | 0.44 | 0.35 | 0.56 | 0.40 | 0.45 | 1.00 | 0.41 | 0.48 |
| MSFT | 0.31 | 0.33 | 0.37 | 0.38 | 0.54 | 0.37 | 0.55 | 0.41 | 0.41 | 1.00 | 0.46 |
| LIN | 0.34 | 0.32 | 0.34 | 0.51 | 0.38 | 0.46 | 0.42 | 0.44 | 0.48 | 0.46 | 1.00 |