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High Beta

Last updated Feb 21, 2024

Asset Allocation


MSTR 12.5%NVDA 12.5%SMCI 12.5%ELF 12.5%AVGO 12.5%NVO 12.5%LLY 12.5%ACGL 12.5%EquityEquity
PositionCategory/SectorWeight
MSTR
MicroStrategy Incorporated
Technology

12.50%

NVDA
NVIDIA Corporation
Technology

12.50%

SMCI
Super Micro Computer, Inc.
Technology

12.50%

ELF
e.l.f. Beauty, Inc.
Consumer Defensive

12.50%

AVGO
Broadcom Inc.
Technology

12.50%

NVO
Novo Nordisk A/S
Healthcare

12.50%

LLY
Eli Lilly and Company
Healthcare

12.50%

ACGL
Arch Capital Group Ltd.
Financial Services

12.50%

Performance

The chart shows the growth of an initial investment of $10,000 in High Beta, 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%20.00%40.00%60.00%80.00%SeptemberOctoberNovemberDecember2024February
69.86%
13.40%
High Beta
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Sep 22, 2016, corresponding to the inception date of ELF

Returns


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
High Beta37.57%24.48%69.86%176.48%66.60%N/A
MSTR
MicroStrategy Incorporated
11.61%46.57%113.95%139.75%37.66%18.27%
NVDA
NVIDIA Corporation
40.24%16.74%52.11%224.87%78.45%66.07%
SMCI
Super Micro Computer, Inc.
177.06%86.03%205.15%756.24%110.27%43.90%
ELF
e.l.f. Beauty, Inc.
18.73%8.61%44.71%132.68%78.36%N/A
AVGO
Broadcom Inc.
9.88%1.27%44.77%110.63%38.91%39.26%
NVO
Novo Nordisk A/S
17.40%13.55%31.30%73.08%39.29%20.23%
LLY
Eli Lilly and Company
29.86%20.43%36.98%132.03%46.20%32.08%
ACGL
Arch Capital Group Ltd.
14.95%5.55%14.48%25.90%21.52%16.48%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
202417.07%
20239.70%2.05%-6.69%1.69%11.27%10.06%

Sharpe Ratio

The current High Beta Sharpe ratio is 6.37. A Sharpe ratio of 3.0 or higher is considered excellent.

-1.000.001.002.003.004.006.37

The Sharpe ratio of High Beta 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 Ratio0.002.004.006.008.00SeptemberOctoberNovemberDecember2024February
6.37
1.75
High Beta
Benchmark (^GSPC)
Portfolio components

Dividend yield

High Beta granted a 0.27% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
High Beta0.27%0.31%0.53%0.44%0.62%0.72%0.69%0.59%0.59%0.60%0.74%0.96%
MSTR
MicroStrategy Incorporated
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
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%
SMCI
Super Micro Computer, 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%
ELF
e.l.f. Beauty, 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%
AVGO
Broadcom Inc.
1.55%1.71%3.02%2.24%3.05%3.54%3.11%1.94%1.52%1.23%1.34%1.87%
NVO
Novo Nordisk A/S
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.02%
LLY
Eli Lilly and Company
0.62%0.78%1.07%1.23%1.75%1.96%1.94%2.46%2.77%2.37%2.84%3.84%
ACGL
Arch Capital Group Ltd.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Expense Ratio

The High Beta 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

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
MSTR
MicroStrategy Incorporated
2.03
NVDA
NVIDIA Corporation
4.70
SMCI
Super Micro Computer, Inc.
8.31
ELF
e.l.f. Beauty, Inc.
2.61
AVGO
Broadcom Inc.
3.35
NVO
Novo Nordisk A/S
2.48
LLY
Eli Lilly and Company
4.62
ACGL
Arch Capital Group Ltd.
1.08

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

LLYNVOACGLELFMSTRSMCINVDAAVGO
LLY1.000.400.210.160.140.180.190.22
NVO0.401.000.190.170.190.200.250.24
ACGL0.210.191.000.270.220.270.220.26
ELF0.160.170.271.000.270.290.300.31
MSTR0.140.190.220.271.000.290.410.36
SMCI0.180.200.270.290.291.000.380.36
NVDA0.190.250.220.300.410.381.000.62
AVGO0.220.240.260.310.360.360.621.00

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%SeptemberOctoberNovemberDecember2024February
-5.85%
-1.08%
High Beta
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the High Beta. 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 High Beta was 35.55%, occurring on Mar 20, 2020. Recovery took 54 trading sessions.

The current High Beta drawdown is 5.85%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.55%Feb 20, 202022Mar 20, 202054Jun 8, 202076
-24.05%Jan 30, 2018228Dec 24, 201865Mar 29, 2019293
-23.79%Nov 9, 2021152Jun 16, 202239Aug 12, 2022191
-19.77%Aug 16, 202229Sep 26, 202230Nov 7, 202259
-16.79%Feb 10, 202116Mar 4, 2021103Jul 30, 2021119

Volatility Chart

The current High Beta volatility is 8.67%, 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%SeptemberOctoberNovemberDecember2024February
8.67%
3.37%
High Beta
Benchmark (^GSPC)
Portfolio components
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