Asset Allocation
Asset allocation is not available
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in HL Swiss Optimised, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio HL Swiss Optimised | — | — | — | — | — | — | — | — |
| Portfolio components: | ||||||||
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.82% | 0.71% | 3.39% | -2.19% | 5.57% | 8.41% | |||||||
| 2023 | 0.13% | -0.71% | 6.13% | 3.64% | -1.89% | 0.82% | 0.03% | 0.28% | 0.90% | -4.86% | 4.73% | 2.44% | 11.74% |
| 2022 | -4.17% | -0.12% | 3.20% | 0.00% | -3.87% | -1.30% | 4.33% | -1.33% | 1.59% | 0.24% | 3.26% | -2.47% | -1.06% |
| 2021 | -0.65% | 0.49% | 0.78% | 0.73% | 3.80% | 4.37% | 0.18% | 3.88% | -2.84% | 4.75% | 0.92% | 6.35% | 24.84% |
| 2020 | 0.27% | 0.86% | 0.32% | 3.09% | 2.12% | 5.09% | -0.01% | 1.57% | -3.51% | -2.99% | 7.78% | 0.82% | 15.93% |
Benchmark Metrics
HL Swiss Optimised has an annualized alpha of 11.36%, beta of 0.17, and R² of 0.10 versus S&P 500 Index. Calculated based on daily prices since January 02, 2020.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (45.32%) than losses (28.04%) — typical of diversified or defensive assets.
- Beta of 0.17 may look defensive, but with R² of 0.10 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.10 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 11.36%
- Beta
- 0.17
- R²
- 0.10
- Upside Capture
- 45.32%
- Downside Capture
- 28.04%
Return for Risk
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Dividends
Dividend yield
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 HL Swiss Optimised. 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 HL Swiss Optimised was 11.10%, occurring on Mar 9, 2020. Recovery took 29 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -11.1% | Feb 20, 2020 | 13 | Mar 9, 2020 | 29 | Apr 20, 2020 | 42 |
| -9.56% | Jan 3, 2022 | 119 | Jun 23, 2022 | 98 | Nov 10, 2022 | 217 |
| -9.04% | Jul 16, 2020 | 74 | Oct 28, 2020 | 50 | Jan 11, 2021 | 124 |
| -6.07% | May 9, 2023 | 41 | Jul 7, 2023 | 110 | Dec 8, 2023 | 151 |
| -4.94% | Apr 21, 2020 | 10 | May 4, 2020 | 17 | May 28, 2020 | 27 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Asset Correlations Table
| Benchmark | Portfolio | |
|---|---|---|
| Benchmark | 1.00 | 0.28 |
| Portfolio | 0.28 | 1.00 |