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2024 03
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

2024 03

Last updated Sep 7, 2024

Asset Allocation

NVDA 34.69%LLY 17.43%0700.HK 17.14%NVO 12.23%MSFT 4.86%0883.HK 3.91%ARM 3.8%VIST 1.35%PGR 1.31%AVGO 1.08%EquityEquity
PositionCategory/SectorWeight
0700.HK
Tencent Holdings Ltd		Communication Services
17.14%
0883.HK
CNOOC Ltd		Energy
3.91%
ARM
Arm Holdings plc American Depositary Shares		Technology
3.80%
AVGO
Broadcom Inc.		Technology
1.08%
GE
General Electric Company		Industrials
0.44%
HWM
Howmet Aerospace Inc.		Industrials
0.44%
LDOS
Leidos Holdings, Inc.		Technology
0.44%
LLY
Eli Lilly and Company		Healthcare
17.43%
META
Meta Platforms, Inc.		Communication Services
0.44%
MSFT
Microsoft Corporation		Technology
4.86%
NVDA
NVIDIA Corporation		Technology
34.69%
NVO
Novo Nordisk A/S		Healthcare
12.23%
PGR
The Progressive Corporation		Financial Services
1.31%
TMDX
TransMedics Group, Inc.		Healthcare
0.44%
VIST
Vista Oil & Gas, S.A.B. de C.V.		Energy
1.35%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2024 03, 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

-10.00%0.00%10.00%20.00%30.00%AprilMayJuneJulyAugustSeptember
17.50%
5.56%
2024 03
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 14, 2023, corresponding to the inception date of ARM

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		13.39%4.02%5.56%21.51%12.69%10.55%
2024 0364.70%6.96%17.49%N/AN/AN/A
Portfolio components:
0700.HK
Tencent Holdings Ltd		28.48%2.83%39.93%17.11%2.47%12.30%
0883.HK
CNOOC Ltd		57.63%3.20%14.27%51.78%22.07%10.16%
ARM
Arm Holdings plc American Depositary Shares		56.08%9.52%-10.79%N/AN/AN/A
AVGO
Broadcom Inc.		23.64%0.53%5.46%62.66%40.59%35.73%
GE
General Electric Company		58.84%-0.56%20.70%81.59%30.61%4.38%
HWM
Howmet Aerospace Inc.		69.35%4.09%35.19%90.35%36.01%N/A
LDOS
Leidos Holdings, Inc.		42.01%6.75%19.38%61.72%13.42%22.64%
LLY
Eli Lilly and Company		55.61%17.07%18.81%58.54%53.44%32.86%
META
Meta Platforms, Inc.		41.63%2.32%-1.02%67.84%21.78%20.70%
MSFT
Microsoft Corporation		7.41%1.00%-0.76%22.67%24.81%26.01%
NVDA
NVIDIA Corporation		107.67%3.96%17.49%122.43%87.62%71.69%
NVO
Novo Nordisk A/S		27.90%10.40%-0.57%35.44%38.24%19.21%
PGR
The Progressive Corporation		57.07%15.20%25.46%82.20%29.27%29.11%
TMDX
TransMedics Group, Inc.		77.22%-4.09%67.02%121.40%42.54%N/A
VIST
Vista Oil & Gas, S.A.B. de C.V.		62.72%11.60%31.24%88.61%55.92%N/A

Monthly Returns

The table below presents the monthly returns of 2024 03, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
202411.25%19.27%8.80%0.61%12.98%9.68%-6.12%6.19%64.70%
2023-5.54%-2.18%11.59%1.32%4.46%

Expense Ratio

2024 03 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 risk-adjusted rank of 2024 03 is 95, placing it in the top 5% 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 2024 03 is 9595
2024 03
The Sharpe Ratio Rank of 2024 03 is 9696Sharpe Ratio Rank
The Sortino Ratio Rank of 2024 03 is 9595Sortino Ratio Rank
The Omega Ratio Rank of 2024 03 is 9393Omega Ratio Rank
The Calmar Ratio Rank of 2024 03 is 9595Calmar Ratio Rank
The Martin Ratio Rank of 2024 03 is 9595Martin 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.

2024 03
Sharpe ratio
The chart of Sharpe ratio for 2024 03, currently valued at 2.83, compared to the broader market-1.000.001.002.003.002.83
Sortino ratio
The chart of Sortino ratio for 2024 03, currently valued at 3.66, compared to the broader market-2.000.002.004.003.66
Omega ratio
The chart of Omega ratio for 2024 03, currently valued at 1.45, compared to the broader market0.801.001.201.401.601.45
Calmar ratio
The chart of Calmar ratio for 2024 03, currently valued at 4.13, compared to the broader market0.002.004.006.004.13
Martin ratio
The chart of Martin ratio for 2024 03, currently valued at 16.20, compared to the broader market0.005.0010.0015.0020.0025.0016.20
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.28, compared to the broader market-2.000.002.004.002.28
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.30
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.49, compared to the broader market0.002.004.006.001.49
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.96, compared to the broader market0.005.0010.0015.0020.0025.007.96
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
0700.HK
Tencent Holdings Ltd		0.621.061.130.932.23
0883.HK
CNOOC Ltd		1.612.221.282.527.38
ARM
Arm Holdings plc American Depositary Shares		1.062.041.262.195.34
AVGO
Broadcom Inc.		1.442.081.272.528.16
GE
General Electric Company		2.683.511.468.4822.26
HWM
Howmet Aerospace Inc.		3.054.491.6310.3224.63
LDOS
Leidos Holdings, Inc.		3.365.101.708.0824.58
LLY
Eli Lilly and Company		1.922.681.363.0811.43
META
Meta Platforms, Inc.		1.842.711.363.6311.01
MSFT
Microsoft Corporation		1.151.601.211.464.62
NVDA
NVIDIA Corporation		2.643.061.394.9716.55
NVO
Novo Nordisk A/S		1.291.961.252.077.29
PGR
The Progressive Corporation		3.845.181.7011.3433.76
TMDX
TransMedics Group, Inc.		1.743.281.383.5212.68
VIST
Vista Oil & Gas, S.A.B. de C.V.		1.812.591.313.4910.31

Sharpe Ratio

The current 2024 03 Sharpe ratio is 2.83. 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 1.33 to 1.92, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of 2024 03 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 Ratio2.83
2.83
2024 03
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2024 03 granted a 0.57% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
2024 030.57%0.90%1.22%0.70%0.86%0.86%0.93%0.87%1.15%1.33%1.57%1.76%
Portfolio components:
0700.HK
Tencent Holdings Ltd		0.91%1.63%0.93%0.32%0.20%0.25%0.27%0.14%0.23%0.22%0.20%0.19%
0883.HK
CNOOC Ltd		3.33%10.31%18.84%6.85%9.05%5.63%4.96%3.83%3.81%7.06%5.46%3.95%
ARM
Arm Holdings plc American Depositary Shares		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.		1.49%1.71%3.02%2.24%3.05%3.54%4.48%2.57%2.33%2.09%2.42%3.74%
GE
General Electric Company		0.43%0.25%0.38%0.34%0.37%0.36%4.88%4.81%2.94%2.95%3.52%2.81%
HWM
Howmet Aerospace Inc.		0.25%0.31%0.25%0.13%0.06%0.40%1.48%0.91%0.49%0.00%0.00%0.00%
LDOS
Leidos Holdings, Inc.		0.98%1.35%1.37%1.57%1.29%1.35%2.43%1.98%29.17%3.41%2.94%7.91%
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%
META
Meta Platforms, Inc.		0.20%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		0.75%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
NVDA
NVIDIA Corporation		0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.19%1.68%1.95%
NVO
Novo Nordisk A/S		0.90%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.02%
PGR
The Progressive Corporation		0.46%0.25%0.31%6.23%2.68%3.87%1.86%1.21%2.50%2.16%5.53%1.05%
TMDX
TransMedics Group, 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%
VIST
Vista Oil & Gas, S.A.B. de C.V.		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.

-20.00%-15.00%-10.00%-5.00%0.00%AprilMayJuneJulyAugustSeptember
-12.79%
-4.57%
2024 03
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2024 03. 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 2024 03 was 18.47%, occurring on Aug 7, 2024. The portfolio has not yet recovered.

The current 2024 03 drawdown is 12.79%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-18.47%Jul 11, 202420Aug 7, 2024———
-10.27%Mar 26, 202418Apr 19, 202411May 6, 202429
-8.87%Oct 13, 202311Oct 27, 20238Nov 8, 202319
-7.31%Sep 15, 20235Sep 21, 202314Oct 11, 202319
-6.11%Jun 20, 20243Jun 24, 202412Jul 10, 202415

Volatility

Volatility Chart

The current 2024 03 volatility is 7.93%, 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%14.00%AprilMayJuneJulyAugustSeptember
7.93%
4.88%
2024 03
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.
0883.HKPGR0700.HKVISTLDOSTMDXNVOHWMLLYARMGEMSFTAVGOMETANVDA
0883.HK1.000.000.280.070.110.070.010.020.090.070.000.030.090.120.12
PGR0.001.00-0.040.120.08-0.090.140.110.19-0.070.120.100.010.10-0.04
0700.HK0.28-0.041.000.03-0.020.060.070.020.120.05-0.010.200.140.180.18
VIST0.070.120.031.000.160.070.130.200.180.200.250.140.150.210.17
LDOS0.110.08-0.020.161.000.230.220.420.210.130.320.210.130.130.12
TMDX0.07-0.090.060.070.231.000.240.230.240.340.300.220.280.300.28
NVO0.010.140.070.130.220.241.000.160.620.260.220.320.230.270.29
HWM0.020.110.020.200.420.230.161.000.220.310.600.330.390.410.37
LLY0.090.190.120.180.210.240.620.221.000.270.310.340.330.360.38
ARM0.07-0.070.050.200.130.340.260.310.271.000.340.410.550.410.52
GE0.000.12-0.010.250.320.300.220.600.310.341.000.340.450.420.45
MSFT0.030.100.200.140.210.220.320.330.340.410.341.000.570.640.52
AVGO0.090.010.140.150.130.280.230.390.330.550.450.571.000.520.70
META0.120.100.180.210.130.300.270.410.360.410.420.640.521.000.51
NVDA0.12-0.040.180.170.120.280.290.370.380.520.450.520.700.511.00
The correlation results are calculated based on daily price changes starting from Sep 15, 2023