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High Sharp & Sortino ratio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

High Sharp & Sortino ratio

Last updated Apr 7, 2025

Long-term DCA investment portfolio with respect to high Sharp & Sortino ratio (possible profit significantly exceeds downside risk) for "comfortable" sleep.

Let's not lie to ourselves. There have been and will be wars in the world. Since the U.S. can't be counted on to support Europe in NATO, I'm betting on the European arms factories to arm Europe for its own defense.

For satellite communications within the EU, I chose the French company Thales.

Investment horizon to 2050 (when I am 75 years old).

Asset Allocation

AGGU.L 5%BRK-B 10%GERD.DE 10%RHM.DE 4%SAF.PA 4%BA.L 4%HO.PA 4%AM.PA 4%WELL 4%RMD 3%ZURN.SW 3%WMT 3%SIE.DE 3%DTE.DE 3%TMUS 3%SAP.DE 3%III.L 3%V 3%MA 3%0B2.DE 3%ALV.DE 3%CS.PA 3%KO 3%MCD 3%O 3%WM 3%BondBondEquityEquity
PositionCategory/SectorTarget Weight
0B2.DE
BAWAG Group AG		Financial Services
3%
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		Global Bonds
5%
ALV.DE
Allianz SE		Financial Services
3%
AM.PA
Dassault Aviation SA		Industrials
4%
BA.L
BAE Systems plc		Industrials
4%
BRK-B
Berkshire Hathaway Inc.		Financial Services
10%
CS.PA
AXA SA		Financial Services
3%
DTE.DE
Deutsche Telekom AG		Communication Services
3%
GERD.DE
L&G Gerd Kommer Multifactor Equity UCITS ETF USD Acc		Global Equities
10%
HO.PA
Thales S.A.		Industrials
4%
III.L
3I Group plc		Financial Services
3%
KO
The Coca-Cola Company		Consumer Defensive
3%
MA
Mastercard Inc		Financial Services
3%
MCD
McDonald's Corporation		Consumer Cyclical
3%
O
Realty Income Corporation		Real Estate
3%
RHM.DE
Rheinmetall AG		Industrials
4%
RMD
ResMed Inc.		Healthcare
3%
SAF.PA
Safran SA		Industrials
4%
SAP.DE
SAP SE		Technology
3%
SIE.DE
3%
TMUS
3%
V
3%
WELL
4%
WM
3%
WMT
3%
ZURN.SW
3%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in High Sharp & Sortino ratio, 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 every month.

20.00%30.00%40.00%50.00%60.00%70.00%NovemberDecember2025FebruaryMarchApril
56.81%
16.23%
High Sharp & Sortino ratio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 21, 2023, corresponding to the inception date of GERD.DE

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-13.73%-12.06%-11.77%-2.50%13.85%9.30%
High Sharp & Sortino ratio14.69%-4.36%15.24%28.51%N/AN/A
Portfolio components:
RMD
ResMed Inc.		-10.08%-11.73%-11.29%9.68%6.88%12.21%
RHM.DE
Rheinmetall AG		118.55%15.73%151.61%142.97%87.64%41.60%
ZURN.SW
10.22%-2.81%10.76%32.41%N/AN/A
WMT
-7.67%-9.05%5.69%40.57%N/AN/A
SIE.DE
6.05%-19.88%2.84%11.42%N/AN/A
DTE.DE
Deutsche Telekom AG		18.78%-3.24%23.12%55.09%25.50%11.04%
TMUS
12.78%-6.46%19.92%56.17%N/AN/A
SAP.DE
SAP SE		2.99%-8.08%15.22%33.41%19.26%14.74%
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		2.42%1.92%2.60%6.64%0.35%N/A
III.L
3I Group plc		2.01%-8.69%6.83%30.64%39.89%25.01%
BRK-B
Berkshire Hathaway Inc.		8.88%-0.42%8.83%17.90%21.75%13.18%
GERD.DE
L&G Gerd Kommer Multifactor Equity UCITS ETF USD Acc		-4.98%-7.76%-7.84%0.06%N/AN/A
V
-0.75%-9.32%14.78%13.83%N/AN/A
MA
Mastercard Inc		-6.85%-10.42%-0.03%3.23%14.28%19.35%
SAF.PA
Safran SA		8.91%-11.98%7.08%8.49%25.08%13.59%
BA.L
BAE Systems plc		36.12%-3.35%16.02%19.52%28.58%15.48%
HO.PA
Thales S.A.		81.56%1.64%62.18%54.56%28.14%17.89%
0B2.DE
BAWAG Group AG		12.99%-13.68%28.38%61.98%N/AN/A
AM.PA
Dassault Aviation SA		50.14%-1.27%48.80%40.11%28.51%10.50%
ALV.DE
Allianz SE		18.25%-2.06%13.51%31.66%21.34%12.44%
CS.PA
AXA SA		15.83%-1.98%8.83%18.09%26.08%10.05%
KO
The Coca-Cola Company		13.15%-1.38%2.86%21.02%11.93%8.89%
MCD
McDonald's Corporation		4.12%-6.59%0.93%15.28%13.97%14.91%
O
Realty Income Corporation		5.25%-5.26%-8.02%10.01%8.82%6.58%
WELL
14.20%-2.82%16.39%59.52%N/AN/A
WM
12.02%-1.53%10.41%10.41%N/AN/A
*Annualized

Monthly Returns

The table below presents the monthly returns of High Sharp & Sortino ratio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20257.04%8.08%4.79%-5.39%14.69%
20242.46%4.94%5.42%-2.05%3.95%-2.14%4.45%6.25%1.01%-1.11%4.13%-3.59%25.69%
20230.65%1.75%-1.70%-3.42%0.31%7.79%3.46%8.78%

Expense Ratio

High Sharp & Sortino ratio has an expense ratio of 0.06%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

AGGU.L
iShares Core Global Aggregate Bond UCITS ETF
Expense ratio chart for AGGU.L: current value is 0.10%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
AGGU.L: 0.10%
GERD.DE
L&G Gerd Kommer Multifactor Equity UCITS ETF USD Acc
Expense ratio chart for GERD.DE: current value is 0.50%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
GERD.DE: 0.50%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 99, High Sharp & Sortino ratio is among the top 1% of 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 Sharp & Sortino ratio is 9999
Overall Rank
The Sharpe Ratio Rank of High Sharp & Sortino ratio is 9999
Sharpe Ratio Rank
The Sortino Ratio Rank of High Sharp & Sortino ratio is 9898
Sortino Ratio Rank
The Omega Ratio Rank of High Sharp & Sortino ratio is 9999
Omega Ratio Rank
The Calmar Ratio Rank of High Sharp & Sortino ratio is 9999
Calmar Ratio Rank
The Martin Ratio Rank of High Sharp & Sortino ratio is 9999
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.

Sharpe ratio
The chart of Sharpe ratio for Portfolio, currently valued at 2.51, compared to the broader market-4.00-2.000.002.00
Portfolio: 2.51
^GSPC: -0.17
The chart of Sortino ratio for Portfolio, currently valued at 3.24, compared to the broader market-6.00-4.00-2.000.002.00
Portfolio: 3.24
^GSPC: -0.11
The chart of Omega ratio for Portfolio, currently valued at 1.50, compared to the broader market0.400.600.801.001.201.40
Portfolio: 1.50
^GSPC: 0.98
The chart of Calmar ratio for Portfolio, currently valued at 4.39, compared to the broader market0.001.002.003.004.005.00
Portfolio: 4.39
^GSPC: -0.15
The chart of Martin ratio for Portfolio, currently valued at 19.14, compared to the broader market0.005.0010.0015.0020.00
Portfolio: 19.14
^GSPC: -0.79
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
RMD
ResMed Inc.		0.320.731.110.531.62
RHM.DE
Rheinmetall AG		3.193.951.537.9118.90
ZURN.SW
2.052.591.383.1111.13
WMT
1.812.451.351.967.16
SIE.DE
0.360.731.090.511.62
DTE.DE
Deutsche Telekom AG		3.324.261.606.1023.97
TMUS
2.533.091.493.9812.43
SAP.DE
SAP SE		1.632.331.292.9611.26
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		1.842.801.342.988.16
III.L
3I Group plc		1.231.671.222.417.53
BRK-B
Berkshire Hathaway Inc.		1.341.841.272.797.01
GERD.DE
L&G Gerd Kommer Multifactor Equity UCITS ETF USD Acc		0.130.261.030.170.77
V
0.841.151.181.194.31
MA
Mastercard Inc		0.370.591.090.462.24
SAF.PA
Safran SA		0.380.661.090.631.61
BA.L
BAE Systems plc		0.631.201.150.992.21
HO.PA
Thales S.A.		1.722.701.372.354.54
0B2.DE
BAWAG Group AG		2.222.741.394.0117.45
AM.PA
Dassault Aviation SA		1.312.191.291.864.49
ALV.DE
Allianz SE		1.942.491.343.898.75
CS.PA
AXA SA		1.031.411.191.343.05
KO
The Coca-Cola Company		1.502.161.281.543.36
MCD
McDonald's Corporation		0.791.201.160.902.78
O
Realty Income Corporation		0.741.111.140.671.45
WELL
3.224.111.555.7717.08
WM
0.580.871.130.942.14

The current High Sharp & Sortino ratio Sharpe ratio is 2.51. 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 -0.16 to 0.41, 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 High Sharp & Sortino ratio 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 Ratio0.001.002.003.004.005.00NovemberDecember2025FebruaryMarchApril
2.51
-0.17
High Sharp & Sortino ratio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

High Sharp & Sortino ratio provided a 1.65% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio1.65%1.81%1.94%2.01%1.81%2.06%1.89%2.08%1.83%1.95%1.90%1.92%
Portfolio components:
RMD
ResMed Inc.		1.01%0.88%1.07%0.83%0.62%0.73%0.98%1.26%1.61%2.03%2.16%1.89%
RHM.DE
Rheinmetall AG		0.45%0.93%1.50%1.77%2.41%5.54%2.05%2.20%1.37%1.72%0.49%1.10%
ZURN.SW
4.60%4.83%5.46%4.97%5.00%5.35%4.78%6.14%5.73%6.06%6.58%5.45%
WMT
1.03%0.92%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%
SIE.DE
2.80%2.49%2.50%3.09%2.29%3.32%3.62%4.21%3.44%3.32%4.07%3.55%
DTE.DE
Deutsche Telekom AG		2.36%2.67%3.22%3.43%3.68%8.02%4.80%4.39%4.06%3.36%3.00%3.77%
TMUS
1.23%1.28%0.41%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SAP.DE
SAP SE		0.95%0.93%1.47%2.54%1.48%1.47%1.25%1.61%1.34%1.39%1.50%1.72%
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
III.L
3I Group plc		1.84%1.82%2.32%3.76%2.78%3.02%3.42%2.97%2.03%1.90%1.68%1.80%
BRK-B
Berkshire Hathaway 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%
GERD.DE
L&G Gerd Kommer Multifactor Equity UCITS ETF USD Acc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
V
0.71%0.68%0.72%0.76%0.62%0.56%0.56%0.67%0.61%0.75%0.64%0.64%
MA
Mastercard Inc		0.56%0.50%0.53%0.56%0.49%0.45%0.44%0.53%0.58%0.74%0.66%0.51%
SAF.PA
Safran SA		1.01%1.04%0.85%0.43%0.40%0.00%1.32%1.53%0.97%2.15%1.96%2.34%
BA.L
BAE Systems plc		2.04%2.69%2.53%2.99%4.40%7.57%4.00%4.79%3.75%3.57%4.14%4.30%
HO.PA
Thales S.A.		1.45%2.49%2.27%2.23%2.62%0.53%2.36%1.76%1.84%1.53%1.64%2.64%
0B2.DE
BAWAG Group AG		5.79%6.22%7.69%6.03%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
AM.PA
Dassault Aviation SA		1.20%1.71%1.67%1.57%1.29%0.00%1.81%1.26%0.93%1.14%0.87%0.84%
ALV.DE
Allianz SE		4.15%4.66%4.71%5.38%4.62%4.78%4.12%4.57%3.97%4.65%4.19%3.86%
CS.PA
AXA SA		5.27%5.77%5.76%5.91%5.46%3.74%5.34%6.68%4.69%4.59%3.77%4.22%
KO
The Coca-Cola Company		2.81%3.12%3.12%2.77%2.84%2.99%2.89%3.29%3.23%3.38%3.07%2.89%
MCD
McDonald's Corporation		2.29%2.34%2.10%2.15%1.96%2.35%2.39%2.36%2.23%2.97%2.91%3.50%
O
Realty Income Corporation		5.74%5.37%5.33%4.68%6.95%4.65%3.69%4.19%4.45%4.19%4.42%4.59%
WELL
1.83%2.03%2.71%3.72%2.84%4.18%4.26%5.01%5.46%5.14%4.85%4.20%
WM
1.37%1.49%1.56%1.66%1.38%1.85%1.80%2.09%1.97%2.31%2.89%2.92%

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.

-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-7.03%
-17.42%
High Sharp & Sortino ratio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the High Sharp & Sortino ratio. 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 Sharp & Sortino ratio was 7.28%, occurring on Oct 3, 2023. Recovery took 30 trading sessions.

The current High Sharp & Sortino ratio drawdown is 7.03%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-7.28%Jul 21, 202353Oct 3, 202330Nov 14, 202383
-7.03%Mar 19, 202513Apr 4, 2025———
-4.51%Dec 6, 202418Jan 2, 202513Jan 21, 202531
-3.77%Apr 1, 202412Apr 16, 202415May 7, 202427
-3.67%Jun 7, 20246Jun 14, 202420Jul 12, 202426

Volatility

Volatility Chart

The current High Sharp & Sortino ratio volatility is 7.18%, 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%NovemberDecember2025FebruaryMarchApril
7.18%
9.30%
High Sharp & Sortino ratio
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.
AGGU.LWMTRMDTMUSOKOWM0B2.DEMCDRHM.DEAM.PAWELLBA.LVDTE.DEBRK-BHO.PASAP.DESIE.DEMAIII.LZURN.SWCS.PASAF.PAGERD.DEALV.DE
AGGU.L1.000.060.130.110.330.130.030.040.160.030.060.220.090.010.200.030.080.140.110.050.150.190.150.090.180.13
WMT0.061.000.230.220.160.320.360.070.250.070.070.310.150.280.080.260.080.14-0.010.310.030.100.000.140.100.05
RMD0.130.231.000.220.230.250.250.070.250.050.020.240.080.280.150.240.040.220.150.270.180.070.090.180.230.14
TMUS0.110.220.221.000.260.360.38-0.030.300.110.040.330.120.260.290.320.060.030.050.300.110.240.110.080.110.14
O0.330.160.230.261.000.440.300.120.340.050.000.540.050.250.230.340.060.010.040.220.100.160.170.060.180.14
KO0.130.320.250.360.441.000.360.030.41-0.020.030.390.100.310.220.330.070.060.040.33-0.010.180.120.050.080.14
WM0.030.360.250.380.300.361.000.040.380.090.080.340.200.330.220.340.110.050.030.380.130.150.070.090.100.11
0B2.DE0.040.070.07-0.030.120.030.041.000.060.240.240.130.180.040.270.170.260.320.420.090.330.240.440.440.460.45
MCD0.160.250.250.300.340.410.380.061.000.030.070.240.140.320.250.340.110.120.190.330.150.210.220.160.190.22
RHM.DE0.030.070.050.110.05-0.020.090.240.031.000.540.150.570.180.180.110.620.240.240.200.260.210.270.410.300.32
AM.PA0.060.070.020.040.000.030.080.240.070.541.000.080.530.150.170.080.730.290.240.170.260.250.320.440.310.36
WELL0.220.310.240.330.540.390.340.130.240.150.081.000.170.350.220.350.110.120.060.370.100.180.130.170.190.15
BA.L0.090.150.080.120.050.100.200.180.140.570.530.171.000.200.180.170.610.260.210.200.310.220.220.400.280.30
V0.010.280.280.260.250.310.330.040.320.180.150.350.201.000.120.480.180.200.100.810.220.170.140.180.230.16
DTE.DE0.200.080.150.290.230.220.220.270.250.180.170.220.180.121.000.160.210.240.270.160.260.420.440.310.270.48
BRK-B0.030.260.240.320.340.330.340.170.340.110.080.350.170.480.161.000.110.130.190.540.180.270.250.190.300.29
HO.PA0.080.080.040.060.060.070.110.260.110.620.730.110.610.180.210.111.000.310.270.170.290.250.380.490.290.38
SAP.DE0.140.140.220.030.010.060.050.320.120.240.290.120.260.200.240.130.311.000.530.250.470.270.430.530.590.44
SIE.DE0.11-0.010.150.050.040.040.030.420.190.240.240.060.210.100.270.190.270.531.000.160.480.350.520.600.630.57
MA0.050.310.270.300.220.330.380.090.330.200.170.370.200.810.160.540.170.250.161.000.250.190.180.210.300.21
III.L0.150.030.180.110.10-0.010.130.330.150.260.260.100.310.220.260.180.290.470.480.251.000.380.470.510.560.48
ZURN.SW0.190.100.070.240.160.180.150.240.210.210.250.180.220.170.420.270.250.270.350.190.381.000.630.390.420.62
CS.PA0.150.000.090.110.170.120.070.440.220.270.320.130.220.140.440.250.380.430.520.180.470.631.000.570.520.81
SAF.PA0.090.140.180.080.060.050.090.440.160.410.440.170.400.180.310.190.490.530.600.210.510.390.571.000.550.57
GERD.DE0.180.100.230.110.180.080.100.460.190.300.310.190.280.230.270.300.290.590.630.300.560.420.520.551.000.54
ALV.DE0.130.050.140.140.140.140.110.450.220.320.360.150.300.160.480.290.380.440.570.210.480.620.810.570.541.00
The correlation results are calculated based on daily price changes starting from Jun 22, 2023
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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