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2024 03
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


0700.HK 17%NVDA 17%LLY 15%AAPL 14%NVO 12%RMS.PA 7%MSFT 7%DXJ 4%PGR 4%AVGO 3%EquityEquity
PositionCategory/SectorWeight
0700.HK
Tencent Holdings Ltd
Communication Services

17%

AAPL
Apple Inc.
Technology

14%

AVGO
Broadcom Inc.
Technology

3%

DXJ
WisdomTree Japan Hedged Equity Fund
Japan Equities

4%

LLY
Eli Lilly and Company
Healthcare

15%

MSFT
Microsoft Corporation
Technology

7%

NVDA
NVIDIA Corporation
Technology

17%

NVO
Novo Nordisk A/S
Healthcare

12%

PGR
The Progressive Corporation
Financial Services

4%

RMS.PA
Hermès International Société en commandite par actions
Consumer Cyclical

7%

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


0.00%1,000.00%2,000.00%3,000.00%4,000.00%5,000.00%6,000.00%NovemberDecember2024FebruaryMarchApril
5,310.18%
398.18%
2024 03
Benchmark (^GSPC)
Portfolio components

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, 2024, the 2024 03 returned 19.10% Year-To-Date and 32.73% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
2024 0319.10%-6.10%30.74%53.86%36.12%32.62%
0700.HK
Tencent Holdings Ltd
3.15%5.03%5.04%-12.18%-2.76%12.02%
NVDA
NVIDIA Corporation
53.88%-19.18%84.14%181.07%72.01%64.86%
LLY
Eli Lilly and Company
24.82%-5.75%24.68%90.11%44.85%30.49%
AAPL
Apple Inc.
-14.19%-4.23%-4.31%0.52%26.28%24.25%
NVO
Novo Nordisk A/S
19.23%-4.70%28.09%43.36%38.76%19.68%
RMS.PA
Hermès International Société en commandite par actions
16.91%-4.12%41.28%13.00%29.14%21.98%
MSFT
Microsoft Corporation
6.33%-6.91%22.65%40.82%26.56%27.29%
AVGO
Broadcom Inc.
8.38%-10.99%42.38%94.11%34.03%36.39%
DXJ
WisdomTree Japan Hedged Equity Fund
20.16%-3.11%25.96%49.98%17.98%12.57%
PGR
The Progressive Corporation
35.53%4.42%39.42%57.78%25.35%26.95%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20246.53%11.34%6.31%
2023-5.87%0.31%10.19%0.01%

Expense Ratio

The 2024 03 has an expense ratio of 0.02% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.48%

Risk-Adjusted Performance

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 2.94, compared to the broader market-1.000.001.002.003.004.002.94
Sortino ratio
The chart of Sortino ratio for 2024 03, currently valued at 4.30, compared to the broader market-2.000.002.004.006.004.30
Omega ratio
The chart of Omega ratio for 2024 03, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.801.51
Calmar ratio
The chart of Calmar ratio for 2024 03, currently valued at 6.93, compared to the broader market0.002.004.006.008.006.93
Martin ratio
The chart of Martin ratio for 2024 03, currently valued at 22.92, compared to the broader market0.0010.0020.0030.0040.0022.92
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
0700.HK
Tencent Holdings Ltd
-0.35-0.300.96-0.18-0.72
NVDA
NVIDIA Corporation
3.604.481.568.8327.02
LLY
Eli Lilly and Company
2.904.241.566.8721.67
AAPL
Apple Inc.
-0.12-0.031.00-0.13-0.29
NVO
Novo Nordisk A/S
1.512.691.314.019.57
RMS.PA
Hermès International Société en commandite par actions
0.550.941.120.651.61
MSFT
Microsoft Corporation
1.522.131.262.385.99
AVGO
Broadcom Inc.
2.663.641.446.8618.58
DXJ
WisdomTree Japan Hedged Equity Fund
3.084.161.525.5419.31
PGR
The Progressive Corporation
2.162.721.472.5515.35

Sharpe Ratio

The current 2024 03 Sharpe ratio is 2.94. A Sharpe ratio higher than 2.0 is considered very good.

-1.000.001.002.003.004.002.94

The Sharpe ratio of 2024 03 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.


Rolling 12-month Sharpe Ratio0.001.002.003.004.005.00NovemberDecember2024FebruaryMarchApril
2.94
1.66
2024 03
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2024 03 granted a 0.67% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
2024 030.67%0.85%0.88%0.92%0.97%1.20%1.37%1.22%1.60%1.57%2.12%1.83%
0700.HK
Tencent Holdings Ltd
0.79%1.63%0.98%0.35%0.21%0.27%0.29%0.15%0.25%0.24%0.21%0.20%
NVDA
NVIDIA Corporation
0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%1.94%
LLY
Eli Lilly and Company
0.65%0.78%1.07%1.23%1.75%1.96%1.94%2.46%2.77%2.37%2.84%3.84%
AAPL
Apple Inc.
0.58%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
NVO
Novo Nordisk A/S
0.80%0.71%0.84%0.94%1.33%1.51%1.97%1.52%2.87%0.92%1.43%1.23%
RMS.PA
Hermès International Société en commandite par actions
0.56%0.68%0.55%0.30%0.52%0.68%0.85%0.84%0.86%0.95%0.92%0.95%
MSFT
Microsoft Corporation
0.72%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
AVGO
Broadcom Inc.
1.64%1.71%3.02%2.24%3.05%3.54%3.11%1.94%1.52%1.23%1.34%1.87%
DXJ
WisdomTree Japan Hedged Equity Fund
2.57%3.44%3.02%2.64%2.53%2.47%2.92%2.30%1.98%5.95%11.61%2.44%
PGR
The Progressive Corporation
0.54%0.25%0.31%6.23%2.68%3.87%1.86%1.21%2.50%2.16%5.53%1.05%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-6.22%
-5.46%
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 26.73%, occurring on Oct 14, 2022. Recovery took 74 trading sessions.

The current 2024 03 drawdown is 6.22%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.73%Dec 28, 2021208Oct 14, 202274Jan 27, 2023282
-23.57%Feb 20, 202023Mar 23, 202034May 11, 202057
-20.96%Aug 30, 201883Dec 24, 201861Mar 21, 2019144
-17.68%Feb 21, 2011160Oct 3, 201187Feb 2, 2012247
-16.09%Dec 7, 201547Feb 11, 201643Apr 13, 201690

Volatility

Volatility Chart

The current 2024 03 volatility is 4.09%, 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%3.00%4.00%5.00%6.00%7.00%8.00%NovemberDecember2024FebruaryMarchApril
4.09%
3.15%
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.

0700.HKRMS.PALLYPGRNVONVDAAAPLDXJAVGOMSFT
0700.HK1.000.180.030.030.090.120.120.150.110.11
RMS.PA0.181.000.170.170.280.220.220.280.260.26
LLY0.030.171.000.330.380.230.250.310.250.35
PGR0.030.170.331.000.250.280.300.390.290.37
NVO0.090.280.380.251.000.260.270.310.280.33
NVDA0.120.220.230.280.261.000.480.390.550.54
AAPL0.120.220.250.300.270.481.000.400.490.55
DXJ0.150.280.310.390.310.390.401.000.450.43
AVGO0.110.260.250.290.280.550.490.451.000.49
MSFT0.110.260.350.370.330.540.550.430.491.00