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HIGH ROE
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

HIGH ROE

Currency in USD · Last updated May 23, 2025

Asset Allocation

MSI 4%MAR 4%LII 4%FTNT 4%AON 4%IT 4%BKNG 4%APA 4%MA 4%AAPL 4%AMGN 4%LW 4%ADP 4%ITW 4%KLAC 4%IDXX 4%NVO 4%APO 4%ABNB 4%FCNCA 4%ENPH 4%NTAP 4%SHW 4%CDW 4%ASML 4%EquityEquity
PositionCategory/SectorTarget Weight
AAPL
Apple Inc		Technology
4%
ABNB
Airbnb, Inc.		Communication Services
4%
ADP
Automatic Data Processing, Inc.		Industrials
4%
AMGN
Amgen Inc.		Healthcare
4%
AON
Aon plc		Financial Services
4%
APA
Apache Corporation		Energy
4%
APO
Apollo Global Management, Inc.		Financial Services
4%
ASML
ASML Holding N.V.		Technology
4%
BKNG
Booking Holdings Inc.		Consumer Cyclical
4%
CDW
CDW Corporation		Technology
4%
ENPH
Enphase Energy, Inc.		Technology
4%
FCNCA
First Citizens BancShares, Inc.		Financial Services
4%
FTNT
Fortinet, Inc.		Technology
4%
IDXX
IDEXX Laboratories, Inc.		Healthcare
4%
IT
Gartner, Inc.		Technology
4%
ITW
Illinois Tool Works Inc.		Industrials
4%
KLAC
KLA Corporation		Technology
4%
LII
Lennox International Inc.		Industrials
4%
LW
Lamb Weston Holdings, Inc.		Consumer Defensive
4%
MA
Mastercard Inc		Financial Services
4%
MAR
Marriott International, Inc.		Consumer Cyclical
4%
MSI
Motorola Solutions, Inc.		Technology
4%
NTAP
NetApp, Inc.		Technology
4%
NVO
Novo Nordisk A/S		Healthcare
4%
SHW
The Sherwin-Williams Company		Basic Materials
4%

S&P 500

Performance

Performance Chart

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The earliest data available for this chart is Dec 10, 2020, corresponding to the inception date of ABNB

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-0.67%10.48%-1.79%10.08%14.60%10.64%
HIGH ROE-4.38%7.88%-7.97%-1.14%N/AN/A
Portfolio components:
MSI
Motorola Solutions, Inc.		-8.52%0.46%-14.35%14.77%27.40%23.62%
MAR
Marriott International, Inc.		-6.33%18.18%-7.82%11.50%24.13%13.80%
LII
Lennox International Inc.		-5.49%3.03%-11.33%16.21%25.22%18.97%
FTNT
Fortinet, Inc.		9.67%9.80%10.21%68.30%29.43%29.42%
AON
Aon plc		-0.68%-3.38%-6.77%25.81%14.01%14.27%
IT
Gartner, Inc.		-8.42%10.83%-14.56%-1.83%30.41%17.67%
BKNG
Booking Holdings Inc.		7.74%16.18%2.89%40.82%27.05%16.15%
APA
Apache Corporation		-25.53%5.55%-23.37%-41.90%9.01%-10.28%
MA
Mastercard Inc		8.61%8.12%11.03%25.63%14.74%20.65%
AAPL
Apple Inc		-19.40%0.94%-11.67%5.97%21.04%21.10%
AMGN
Amgen Inc.		6.09%-1.47%-4.62%-9.29%7.01%8.33%
LW
Lamb Weston Holdings, Inc.		-22.65%-2.07%-32.64%-41.14%-0.75%N/A
ADP
Automatic Data Processing, Inc.		10.46%9.82%6.72%29.35%21.51%16.49%
ITW
Illinois Tool Works Inc.		-2.90%3.58%-8.22%0.73%10.89%12.30%
KLAC
KLA Corporation		22.37%20.90%21.79%0.38%36.29%31.72%
IDXX
IDEXX Laboratories, Inc.		22.10%19.74%20.61%-2.53%11.36%21.96%
NVO
Novo Nordisk A/S		-19.47%13.79%-32.51%-48.12%17.94%11.21%
APO
Apollo Global Management, Inc.		-20.29%6.12%-20.22%16.46%26.87%25.32%
ABNB
Airbnb, Inc.		-2.86%11.09%-4.21%-10.55%N/AN/A
FCNCA
First Citizens BancShares, Inc.		-12.79%6.14%-20.65%3.79%39.33%22.82%
ENPH
Enphase Energy, Inc.		-44.66%-28.87%-40.22%-68.65%-7.60%14.34%
NTAP
NetApp, Inc.		-13.10%21.02%-20.37%-10.87%20.61%14.56%
SHW
The Sherwin-Williams Company		4.28%6.55%-7.52%15.83%13.89%15.04%
CDW
CDW Corporation		5.72%20.62%3.63%-21.43%12.87%18.84%
ASML
ASML Holding N.V.		7.40%16.30%10.74%-18.96%19.39%22.08%
*Annualized

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.77%-1.48%-6.58%-2.36%3.53%-4.38%
20241.29%5.07%3.29%-6.61%4.21%1.76%2.52%2.08%-0.07%-1.88%5.43%-5.36%11.46%
20237.06%-1.02%4.19%-0.51%0.61%8.22%4.45%-0.77%-3.41%-4.82%10.93%6.01%34.00%
2022-7.36%-1.20%3.93%-7.44%1.64%-9.64%14.32%-3.03%-8.18%11.89%8.60%-5.94%-5.93%
2021-1.01%9.24%2.95%4.56%1.52%3.70%2.18%4.09%-3.46%9.18%-1.06%4.73%42.38%
20203.86%3.86%

Expense Ratio

HIGH ROE has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of HIGH ROE is 5, meaning it’s performing worse than 95% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of HIGH ROE is 55
Overall Rank
The Sharpe Ratio Rank of HIGH ROE is 66
Sharpe Ratio Rank
The Sortino Ratio Rank of HIGH ROE is 55
Sortino Ratio Rank
The Omega Ratio Rank of HIGH ROE is 55
Omega Ratio Rank
The Calmar Ratio Rank of HIGH ROE is 55
Calmar Ratio Rank
The Martin Ratio Rank of HIGH ROE is 55
Martin 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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MSI
Motorola Solutions, Inc.		0.781.011.160.711.70
MAR
Marriott International, Inc.		0.460.711.090.340.95
LII
Lennox International Inc.		0.530.881.120.701.89
FTNT
Fortinet, Inc.		1.672.751.382.239.41
AON
Aon plc		1.341.641.231.214.17
IT
Gartner, Inc.		-0.020.101.01-0.04-0.11
BKNG
Booking Holdings Inc.		1.501.931.271.925.23
APA
Apache Corporation		-0.80-1.080.85-0.61-1.53
MA
Mastercard Inc		1.291.661.241.496.35
AAPL
Apple Inc		0.250.461.060.160.49
AMGN
Amgen Inc.		-0.33-0.420.94-0.48-0.97
LW
Lamb Weston Holdings, Inc.		-0.82-0.900.84-0.71-1.41
ADP
Automatic Data Processing, Inc.		1.622.171.312.398.19
ITW
Illinois Tool Works Inc.		0.170.201.030.030.10
KLAC
KLA Corporation		0.030.381.050.040.07
IDXX
IDEXX Laboratories, Inc.		-0.070.111.01-0.05-0.19
NVO
Novo Nordisk A/S		-1.14-1.680.79-0.81-1.45
APO
Apollo Global Management, Inc.		0.400.781.110.401.13
ABNB
Airbnb, Inc.		-0.23-0.130.98-0.22-0.68
FCNCA
First Citizens BancShares, Inc.		0.140.441.060.120.30
ENPH
Enphase Energy, Inc.		-1.00-1.580.81-0.74-1.54
NTAP
NetApp, Inc.		-0.29-0.110.98-0.23-0.58
SHW
The Sherwin-Williams Company		0.711.061.130.691.67
CDW
CDW Corporation		-0.62-0.660.91-0.45-0.96
ASML
ASML Holding N.V.		-0.41-0.260.96-0.42-0.64

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

HIGH ROE Sharpe ratios as of May 23, 2025 (values are recalculated daily):

  • 1-Year: 0.00
  • All Time: 0.82

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.47 to 0.99, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of HIGH ROE compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

HIGH ROE provided a 1.30% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio1.30%1.12%0.99%1.09%0.87%1.16%1.27%1.57%1.25%1.42%1.61%2.39%
Portfolio components:
MSI
Motorola Solutions, Inc.		0.98%0.87%1.16%1.26%1.07%1.55%1.46%1.85%2.14%2.05%2.09%1.94%
MAR
Marriott International, Inc.		1.22%0.86%0.87%0.67%0.00%0.36%1.22%1.44%0.95%1.39%1.42%0.99%
LII
Lennox International Inc.		0.80%0.75%0.97%1.71%1.09%1.12%1.21%1.11%0.94%1.08%1.10%1.20%
FTNT
Fortinet, 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%
AON
Aon plc		0.78%0.74%0.83%0.73%0.66%0.84%0.83%1.07%1.05%1.16%1.25%0.98%
IT
Gartner, 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%
BKNG
Booking Holdings Inc.		0.67%0.70%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
APA
Apache Corporation		5.97%4.33%2.79%1.34%0.51%2.29%3.91%3.81%2.37%1.58%2.25%1.52%
MA
Mastercard Inc		0.50%0.50%0.53%0.56%0.49%0.45%0.44%0.53%0.58%0.74%0.66%0.51%
AAPL
Apple Inc		0.50%0.40%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%
AMGN
Amgen Inc.		3.41%3.45%2.96%2.95%3.13%2.78%2.41%2.71%2.65%2.74%1.95%1.53%
LW
Lamb Weston Holdings, Inc.		2.86%2.15%1.04%1.10%1.48%1.17%0.93%1.04%1.33%0.00%0.00%0.00%
ADP
Automatic Data Processing, Inc.		1.83%1.96%2.21%1.83%1.55%2.08%1.92%2.14%2.00%2.10%2.36%2.10%
ITW
Illinois Tool Works Inc.		2.41%2.29%2.07%2.30%1.91%2.17%2.30%2.81%1.71%1.96%2.23%1.91%
KLAC
KLA Corporation		0.88%0.96%0.92%1.25%0.91%1.35%1.74%3.17%2.15%2.67%2.94%26.17%
IDXX
IDEXX Laboratories, 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%
NVO
Novo Nordisk A/S		2.37%1.68%0.99%1.18%1.34%1.86%2.12%2.46%2.13%3.94%1.31%1.96%
APO
Apollo Global Management, Inc.		1.45%1.10%1.81%2.51%2.90%4.72%4.23%7.86%5.53%6.46%12.91%13.19%
ABNB
Airbnb, 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%
FCNCA
First Citizens BancShares, Inc.		0.39%0.33%0.27%0.28%0.23%0.29%0.30%0.38%0.31%0.34%0.46%0.47%
ENPH
Enphase Energy, 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%
NTAP
NetApp, Inc.		2.08%1.76%2.27%3.33%2.13%2.90%2.83%2.01%1.41%2.10%2.60%1.52%
SHW
The Sherwin-Williams Company		0.85%0.84%0.78%1.01%0.62%0.73%0.77%0.87%0.83%1.25%1.03%0.84%
CDW
CDW Corporation		1.70%1.43%1.05%1.17%0.83%1.17%0.89%1.14%0.99%0.93%0.74%0.56%
ASML
ASML Holding N.V.		0.91%0.97%0.85%1.27%0.50%0.59%1.20%1.10%0.75%1.02%0.91%0.77%

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 HIGH ROE. 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 ROE was 22.50%, occurring on Jun 16, 2022. Recovery took 150 trading sessions.

The current HIGH ROE drawdown is 9.95%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.5%Dec 28, 2021119Jun 16, 2022150Jan 23, 2023269
-22.15%Dec 5, 202484Apr 8, 2025———
-9.9%Aug 1, 202363Oct 27, 202316Nov 20, 202379
-9.19%Feb 16, 202319Mar 15, 202322Apr 17, 202341
-8.83%Jul 17, 202414Aug 5, 202419Aug 30, 202433

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 25 assets, with an effective number of assets of 25.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCNVOAPAAMGNLWENPHAONFCNCAABNBBKNGFTNTSHWAAPLMSILIIMARIDXXNTAPAPOADPMAITWASMLKLACITCDWPortfolio
^GSPC1.000.350.360.360.390.440.480.520.550.590.620.600.720.610.600.600.620.650.640.610.640.610.710.710.650.690.90
NVO0.351.000.040.250.150.180.220.130.140.180.280.270.230.290.210.150.340.210.230.240.260.190.300.260.300.230.37
APA0.360.041.000.110.150.250.150.350.250.280.170.120.180.190.200.350.150.260.340.210.230.330.230.230.210.280.42
AMGN0.360.250.111.000.250.140.290.210.070.190.170.290.250.310.230.170.300.200.170.360.240.310.200.210.260.270.35
LW0.390.150.150.251.000.190.290.320.200.300.200.300.250.320.280.350.280.230.280.320.320.340.250.260.330.330.43
ENPH0.440.180.250.140.191.000.160.250.370.250.330.290.350.260.290.260.410.300.310.250.220.260.410.430.280.370.56
AON0.480.220.150.290.290.161.000.310.190.280.320.450.340.510.380.330.350.300.310.520.420.420.270.260.450.400.51
FCNCA0.520.130.350.210.320.250.311.000.340.400.300.320.290.330.390.460.270.400.490.380.380.420.330.360.380.440.57
ABNB0.550.140.250.070.200.370.190.341.000.540.400.310.420.260.340.530.390.400.480.270.390.280.450.430.370.410.61
BKNG0.590.180.280.190.300.250.280.400.541.000.370.350.380.360.380.650.370.410.480.350.490.400.450.450.430.450.63
FTNT0.620.280.170.170.200.330.320.300.400.371.000.370.480.450.370.350.520.470.460.420.420.330.530.510.480.480.65
SHW0.600.270.120.290.300.290.450.320.310.350.371.000.400.440.580.370.470.400.390.510.450.560.400.400.510.460.62
AAPL0.720.230.180.250.250.350.340.290.420.380.480.401.000.450.390.370.480.420.400.430.450.380.530.520.440.500.62
MSI0.610.290.190.310.320.260.510.330.260.360.450.440.451.000.410.370.420.410.390.560.470.450.410.410.530.520.61
LII0.600.210.200.230.280.290.380.390.340.380.370.580.390.411.000.440.440.460.440.450.380.590.450.460.490.530.65
MAR0.600.150.350.170.350.260.330.460.530.650.350.370.370.370.441.000.340.440.490.400.490.460.450.440.460.480.66
IDXX0.620.340.150.300.280.410.350.270.390.370.520.470.480.420.440.341.000.380.380.440.450.440.520.480.500.510.66
NTAP0.650.210.260.200.230.300.300.400.400.410.470.400.420.410.460.440.381.000.510.390.380.420.540.580.500.600.68
APO0.640.230.340.170.280.310.310.490.480.480.460.390.400.390.440.490.380.511.000.360.440.410.500.480.450.510.67
ADP0.610.240.210.360.320.250.520.380.270.350.420.510.430.560.450.400.440.390.361.000.550.540.380.380.560.510.62
MA0.640.260.230.240.320.220.420.380.390.490.420.450.450.470.380.490.450.380.440.551.000.490.440.440.500.490.63
ITW0.610.190.330.310.340.260.420.420.280.400.330.560.380.450.590.460.440.420.410.540.491.000.400.400.510.540.64
ASML0.710.300.230.200.250.410.270.330.450.450.530.400.530.410.450.450.520.540.500.380.440.401.000.820.460.540.74
KLAC0.710.260.230.210.260.430.260.360.430.450.510.400.520.410.460.440.480.580.480.380.440.400.821.000.490.570.74
IT0.650.300.210.260.330.280.450.380.370.430.480.510.440.530.490.460.500.500.450.560.500.510.460.491.000.580.70
CDW0.690.230.280.270.330.370.400.440.410.450.480.460.500.520.530.480.510.600.510.510.490.540.540.570.581.000.74
Portfolio0.900.370.420.350.430.560.510.570.610.630.650.620.620.610.650.660.660.680.670.620.630.640.740.740.700.741.00
The correlation results are calculated based on daily price changes starting from Dec 11, 2020