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

High Sharp & Sortino ratio

Last updated Feb 28, 2025

Asset Allocation

AGGU.L 3%GERD.DE 25%BRK-B 9%RMD 3%TSM 3%RHM.DE 3%ZURN.SW 3%WMT 3%SIE.DE 3%DTE.DE 3%DE 3%AXP 3%JPM 3%WM 3%V 3%MA 3%AAPL 3%TMUS 3%SAP.DE 3%GS 3%MS 3%SPGI 3%MCO 3%III.L 3%BondBondEquityEquity
PositionCategory/SectorTarget Weight
AAPL
Apple Inc		Technology
3%
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		Global Bonds
3%
AXP
American Express Company		Financial Services
3%
BRK-B
Berkshire Hathaway Inc.		Financial Services
9%
DE
Deere & Company		Industrials
3%
DTE.DE
Deutsche Telekom AG		Communication Services
3%
GERD.DE
L&G Gerd Kommer Multifactor Equity UCITS ETF USD Acc		Global Equities
25%
GS
The Goldman Sachs Group, Inc.		Financial Services
3%
III.L
3I Group plc		Financial Services
3%
JPM
JPMorgan Chase & Co.		Financial Services
3%
MA
Mastercard Inc		Financial Services
3%
MCO
Moody's Corporation		Financial Services
3%
MS
Morgan Stanley		Financial Services
3%
RHM.DE
Rheinmetall AG		Industrials
3%
RMD
ResMed Inc.		Healthcare
3%
SAP.DE
SAP SE		Technology
3%
SIE.DE
Siemens Aktiengesellschaft		Industrials
3%
SPGI
S&P Global Inc.		Financial Services
3%
TMUS
T-Mobile US, Inc.		Communication Services
3%
TSM
3%
V
3%
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.

0.00%5.00%10.00%15.00%SeptemberOctoberNovemberDecember2025February
14.65%
4.82%
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		-0.34%-3.40%4.82%15.62%14.74%10.75%
High Sharp & Sortino ratio9.00%3.35%14.65%33.25%N/AN/A
Portfolio components:
RMD
ResMed Inc.		1.36%-7.26%-4.47%34.15%8.73%15.06%
TSM
-8.30%-10.53%7.79%44.17%N/AN/A
RHM.DE
Rheinmetall AG		62.73%36.30%73.17%130.44%68.66%38.84%
ZURN.SW
10.11%7.35%12.90%29.81%N/AN/A
WMT
7.13%-0.51%26.94%64.29%N/AN/A
SIE.DE
Siemens Aktiengesellschaft		19.63%12.52%24.50%20.44%24.29%13.07%
DTE.DE
Deutsche Telekom AG		19.04%11.53%25.67%55.48%23.76%12.08%
DE
Deere & Company		13.42%0.12%26.79%33.71%26.99%20.32%
AXP
American Express Company		-0.64%-7.20%13.79%36.43%23.50%15.34%
JPM
JPMorgan Chase & Co.		8.63%-3.03%17.90%43.71%20.90%18.68%
WM
13.79%7.47%10.17%12.37%N/AN/A
V
12.75%6.54%30.15%25.48%N/AN/A
MA
Mastercard Inc		7.43%3.19%17.81%18.63%14.94%20.68%
BRK-B
Berkshire Hathaway Inc.		10.84%6.90%7.27%21.90%19.55%13.10%
AAPL
Apple Inc		-5.14%-0.29%3.50%31.42%29.14%23.53%
TMUS
T-Mobile US, Inc.		19.68%19.46%32.94%63.66%24.57%23.45%
SAP.DE
SAP SE		13.11%1.56%26.17%51.01%20.96%17.26%
GS
The Goldman Sachs Group, Inc.		6.18%-4.67%20.49%57.27%27.82%14.46%
MS
Morgan Stanley		3.48%-6.09%27.81%55.18%27.63%16.77%
SPGI
S&P Global Inc.		5.68%1.13%3.78%23.27%15.61%18.86%
MCO
Moody's Corporation		4.31%0.16%2.40%30.73%16.51%18.94%
III.L
3I Group plc		13.17%7.03%21.95%65.96%35.90%26.60%
GERD.DE
L&G Gerd Kommer Multifactor Equity UCITS ETF USD Acc		5.01%1.85%4.62%13.69%N/AN/A
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		1.23%1.24%1.39%5.86%-0.07%N/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
20256.63%9.00%
20242.50%3.93%4.28%-2.36%3.98%1.16%4.09%4.66%1.38%-0.05%7.54%-3.71%30.42%
20231.12%2.49%-3.14%-3.72%-2.01%9.73%5.65%9.79%

Expense Ratio

High Sharp & Sortino ratio has an expense ratio of 0.13%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

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

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 97, High Sharp & Sortino ratio is among the top 3% 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 9797
Overall Rank
The Sharpe Ratio Rank of High Sharp & Sortino ratio is 9898
Sharpe Ratio Rank
The Sortino Ratio Rank of High Sharp & Sortino ratio is 9797
Sortino Ratio Rank
The Omega Ratio Rank of High Sharp & Sortino ratio is 9898
Omega Ratio Rank
The Calmar Ratio Rank of High Sharp & Sortino ratio is 9696
Calmar Ratio Rank
The Martin Ratio Rank of High Sharp & Sortino ratio is 9797
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 High Sharp & Sortino ratio, currently valued at 3.11, compared to the broader market-6.00-4.00-2.000.002.004.003.111.22
The chart of Sortino ratio for High Sharp & Sortino ratio, currently valued at 4.21, compared to the broader market-6.00-4.00-2.000.002.004.004.211.68
The chart of Omega ratio for High Sharp & Sortino ratio, currently valued at 1.57, compared to the broader market0.400.600.801.001.201.401.601.571.22
The chart of Calmar ratio for High Sharp & Sortino ratio, currently valued at 5.17, compared to the broader market0.002.004.006.008.005.171.84
The chart of Martin ratio for High Sharp & Sortino ratio, currently valued at 18.63, compared to the broader market0.0010.0020.0030.0018.637.34
High Sharp & Sortino ratio
^GSPC
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
RMD
ResMed Inc.		0.661.181.181.073.80
TSM
0.601.081.141.133.19
RHM.DE
Rheinmetall AG		3.383.951.557.1815.63
ZURN.SW
2.002.851.352.677.74
WMT
3.224.331.625.8125.91
SIE.DE
Siemens Aktiengesellschaft		0.661.071.141.022.59
DTE.DE
Deutsche Telekom AG		3.464.571.615.6322.47
DE
Deere & Company		1.241.921.241.414.44
AXP
American Express Company		1.401.991.273.099.47
JPM
JPMorgan Chase & Co.		1.692.341.354.0310.91
WM
0.660.991.161.022.28
V
1.672.231.322.255.62
MA
Mastercard Inc		1.331.891.251.784.29
BRK-B
Berkshire Hathaway Inc.		1.612.411.312.946.96
AAPL
Apple Inc		1.682.341.312.397.78
TMUS
T-Mobile US, Inc.		3.104.021.614.3514.09
SAP.DE
SAP SE		1.972.891.344.2713.65
GS
The Goldman Sachs Group, Inc.		2.233.191.436.0918.49
MS
Morgan Stanley		2.032.841.404.0612.27
SPGI
S&P Global Inc.		1.482.111.272.167.20
MCO
Moody's Corporation		1.491.981.272.958.20
III.L
3I Group plc		2.473.251.436.0217.42
GERD.DE
L&G Gerd Kommer Multifactor Equity UCITS ETF USD Acc		0.961.411.171.535.20
AGGU.L
iShares Core Global Aggregate Bond UCITS ETF		1.171.751.211.914.85

The current High Sharp & Sortino ratio Sharpe ratio is 3.11. 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 0.89 to 1.53, 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 Ratio1.002.003.004.005.00SeptemberOctoberNovemberDecember2025February
3.11
1.22
High Sharp & Sortino ratio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

High Sharp & Sortino ratio provided a 0.89% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio0.89%0.95%1.12%1.25%1.02%1.35%1.24%1.40%1.09%1.28%1.33%1.19%
Portfolio components:
RMD
ResMed Inc.		0.90%0.88%1.07%0.83%0.62%0.73%0.98%1.26%1.61%2.03%2.16%1.89%
TSM
1.29%1.18%1.78%2.48%1.56%1.58%3.49%3.55%2.32%2.61%2.54%1.79%
RHM.DE
Rheinmetall AG		0.57%0.93%1.50%1.77%2.41%5.54%2.05%2.20%1.37%1.72%0.49%1.10%
ZURN.SW
4.40%4.83%5.46%4.97%5.00%5.35%4.78%6.14%3.81%6.06%6.58%5.45%
WMT
0.86%0.92%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%
SIE.DE
Siemens Aktiengesellschaft		2.36%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		2.24%2.67%3.22%3.43%3.68%8.02%4.80%4.39%4.06%3.36%3.00%3.77%
DE
Deere & Company		1.25%1.42%1.33%1.05%1.14%1.13%1.75%1.84%1.53%2.33%3.15%2.61%
AXP
American Express Company		0.95%0.91%1.24%1.35%1.05%1.42%1.29%1.51%1.32%1.61%1.58%1.05%
JPM
JPMorgan Chase & Co.		1.85%1.92%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%
WM
1.31%1.49%1.56%1.66%1.38%1.85%1.80%2.09%1.97%2.31%2.89%2.92%
V
0.62%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		0.49%0.50%0.53%0.56%0.49%0.45%0.44%0.53%0.58%0.74%0.66%0.51%
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%
AAPL
Apple Inc		0.42%0.40%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%
TMUS
T-Mobile US, Inc.		1.40%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		0.82%0.93%1.47%2.54%1.48%1.47%1.25%1.61%1.34%1.39%1.50%1.72%
GS
The Goldman Sachs Group, Inc.		1.93%2.01%2.72%2.62%1.70%1.90%1.80%1.89%1.14%1.09%1.41%1.16%
MS
Morgan Stanley		2.80%2.82%3.49%3.47%2.14%2.04%2.54%2.77%1.72%1.66%1.73%0.90%
SPGI
S&P Global Inc.		0.70%0.73%0.82%0.99%0.65%0.82%0.84%1.18%0.97%1.34%1.34%1.35%
MCO
Moody's Corporation		0.71%0.72%0.79%1.00%0.63%0.77%0.84%1.26%1.03%1.57%1.36%1.17%
III.L
3I Group plc		1.62%1.82%2.32%3.76%2.78%3.02%3.42%2.97%2.03%1.90%1.68%1.80%
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%
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%

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.

-5.00%-4.00%-3.00%-2.00%-1.00%0.00%SeptemberOctoberNovemberDecember2025February
-1.81%
-4.60%
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 10.45%, occurring on Oct 27, 2023. Recovery took 25 trading sessions.

The current High Sharp & Sortino ratio drawdown is 1.81%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-10.45%Jul 26, 202368Oct 27, 202325Dec 1, 202393
-6.05%Jul 17, 202414Aug 5, 20248Aug 15, 202422
-4.97%Dec 9, 202423Jan 10, 20257Jan 21, 202530
-3.88%Apr 1, 202414Apr 18, 202413May 7, 202427
-3.07%Sep 3, 20244Sep 6, 20249Sep 19, 202413

Volatility

Volatility Chart

The current High Sharp & Sortino ratio volatility is 2.56%, 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%SeptemberOctoberNovemberDecember2025February
2.56%
3.30%
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.LWMTRHM.DEAAPLWMTMUSTSMRMDDTE.DEZURN.SWDESAP.DESIE.DEIII.LVJPMBRK-BMAAXPMSGERD.DESPGIMCOGS
AGGU.L1.000.080.070.120.030.130.040.150.190.200.100.170.160.170.030.000.050.080.030.090.230.240.260.11
WMT0.081.000.080.120.340.220.020.210.100.120.120.11-0.030.030.240.130.230.260.160.060.060.230.220.11
RHM.DE0.070.081.000.040.080.080.140.080.190.200.140.240.230.250.200.190.100.210.190.200.290.160.190.29
AAPL0.120.120.041.000.090.140.270.180.190.090.140.280.220.110.210.130.210.190.200.140.220.260.260.18
WM0.030.340.080.091.000.360.000.230.210.140.200.030.030.110.300.210.320.360.210.170.090.350.340.20
TMUS0.130.220.080.140.361.000.010.210.260.220.160.050.060.110.250.250.320.290.220.200.120.290.300.27
TSM0.040.020.140.270.000.011.000.210.180.140.140.450.350.340.100.160.040.110.300.270.460.250.260.29
RMD0.150.210.080.180.230.210.211.000.150.070.280.240.160.200.260.200.220.250.240.200.240.350.340.22
DTE.DE0.190.100.190.190.210.260.180.151.000.420.180.270.310.270.140.150.190.190.080.200.320.220.300.24
ZURN.SW0.200.120.200.090.140.220.140.070.421.000.220.260.350.370.180.230.280.210.200.260.420.210.250.30
DE0.100.120.140.140.200.160.140.280.180.221.000.090.240.180.290.370.370.280.310.420.330.320.280.42
SAP.DE0.170.110.240.280.030.050.450.240.270.260.091.000.510.450.180.100.130.220.220.190.560.300.340.26
SIE.DE0.16-0.030.230.220.030.060.350.160.310.350.240.511.000.480.090.240.190.160.250.280.620.280.280.32
III.L0.170.030.250.110.110.110.340.200.270.370.180.450.481.000.220.240.200.260.350.310.560.280.320.37
V0.030.240.200.210.300.250.100.260.140.180.290.180.090.221.000.360.470.800.400.310.210.410.420.35
JPM0.000.130.190.130.210.250.160.200.150.230.370.100.240.240.361.000.600.420.640.630.330.360.390.68
BRK-B0.050.230.100.210.320.320.040.220.190.280.370.130.190.200.470.601.000.530.490.450.300.430.430.50
MA0.080.260.210.190.360.290.110.250.190.210.280.220.160.260.800.420.531.000.440.330.290.450.460.40
AXP0.030.160.190.200.210.220.300.240.080.200.310.220.250.350.400.640.490.441.000.560.400.390.390.61
MS0.090.060.200.140.170.200.270.200.200.260.420.190.280.310.310.630.450.330.561.000.450.390.410.79
GERD.DE0.230.060.290.220.090.120.460.240.320.420.330.560.620.560.210.330.300.290.400.451.000.380.390.51
SPGI0.240.230.160.260.350.290.250.350.220.210.320.300.280.280.410.360.430.450.390.390.381.000.840.46
MCO0.260.220.190.260.340.300.260.340.300.250.280.340.280.320.420.390.430.460.390.410.390.841.000.47
GS0.110.110.290.180.200.270.290.220.240.300.420.260.320.370.350.680.500.400.610.790.510.460.471.00
The correlation results are calculated based on daily price changes starting from Jun 22, 2023
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Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio

DrawdownsExpected ShortfallUlcer IndexValue at RiskClose-to-Close VolatilityParkinson VolatilityGarman Klass VolatilityRogers-Satchell VolatilityYang Zhang Volatility

Asset CorrelationsPortfolio OptimizationRisk Parity OptimizationHierarchical Risk Parity (HRP) Optimization

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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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