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Optimized
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Optimized

Last updated Oct 30, 2024

Asset Allocation

BOOK.L 35.81%MUSA 16.7%BAH 16.1%CSU.TO 11.89%AT.L 7.29%ARGX 5.4%CURE 4.95%EquityEquity
PositionCategory/SectorWeight
ARGX
argenx SE		Healthcare
5.40%
AT.L
Ashtead Technology Holdings plc		Energy
7.29%
BAH
Booz Allen Hamilton Holding Corporation		Industrials
16.10%
BOOK.L
Literacy Capital plc		Financial Services
35.81%
CSU.TO
Constellation Software Inc.		Technology
11.89%
CURE
Direxion Daily Healthcare Bull 3x Shares		Leveraged Equities, Leveraged
4.95%
MUSA
Murphy USA Inc.		Consumer Cyclical
16.70%
TECL
Direxion Daily Technology Bull 3X Shares		Leveraged Equities, Leveraged
0.90%
TQQQ
ProShares UltraPro QQQ		Leveraged Equities, Leveraged
0.96%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Optimized, 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%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
7.02%
15.84%
Optimized
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 23, 2021, corresponding to the inception date of AT.L

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		22.29%1.65%15.83%39.98%13.99%11.23%
Optimized18.30%-3.83%7.02%30.68%N/AN/A
Portfolio components:
BAH
Booz Allen Hamilton Holding Corporation		45.50%13.66%25.58%58.49%23.33%23.65%
BOOK.L
Literacy Capital plc		-2.87%-11.69%-8.18%2.90%N/AN/A
MUSA
Murphy USA Inc.		34.23%-4.48%15.53%32.70%32.96%23.95%
CSU.TO
Constellation Software Inc.		26.56%-2.33%21.97%57.67%30.29%32.45%
AT.L
Ashtead Technology Holdings plc		-7.96%-8.95%-29.50%22.66%N/AN/A
ARGX
argenx SE		45.33%3.13%47.24%19.12%35.31%N/A
CURE
Direxion Daily Healthcare Bull 3x Shares		16.65%-9.82%11.73%54.01%16.11%15.42%
TECL
Direxion Daily Technology Bull 3X Shares		42.96%9.63%45.19%130.22%39.53%40.61%
TQQQ
ProShares UltraPro QQQ		53.26%6.88%46.81%141.55%35.75%35.51%

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20244.04%4.82%0.94%0.41%4.25%2.54%3.43%3.32%-2.85%18.30%
20232.86%-3.09%4.36%7.99%4.87%4.79%5.85%-3.11%1.48%-0.97%8.75%1.60%40.61%
2022-1.90%-1.29%3.91%4.90%2.47%0.60%7.49%-3.48%-6.47%8.67%4.29%-2.85%16.25%
2021-2.92%7.38%4.24%

Expense Ratio

Optimized has an expense ratio of 0.07%, 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.

CURE
Direxion Daily Healthcare Bull 3x Shares
Expense ratio chart for CURE: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%
TECL
Direxion Daily Technology Bull 3X Shares
Expense ratio chart for TECL: current value at 1.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.08%
TQQQ
ProShares UltraPro QQQ
Expense ratio chart for TQQQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Optimized is 34, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.

The Risk-Adjusted Performance Rank of Optimized is 3434
Combined Rank
The Sharpe Ratio Rank of Optimized is 2323Sharpe Ratio Rank
The Sortino Ratio Rank of Optimized is 3333Sortino Ratio Rank
The Omega Ratio Rank of Optimized is 2323Omega Ratio Rank
The Calmar Ratio Rank of Optimized is 6464Calmar Ratio Rank
The Martin Ratio Rank of Optimized is 2525Martin 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.

Optimized
Sharpe ratio
The chart of Sharpe ratio for Optimized, currently valued at 2.37, compared to the broader market0.002.004.006.002.37
Sortino ratio
The chart of Sortino ratio for Optimized, currently valued at 3.57, compared to the broader market-2.000.002.004.006.003.57
Omega ratio
The chart of Omega ratio for Optimized, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.802.001.42
Calmar ratio
The chart of Calmar ratio for Optimized, currently valued at 3.71, compared to the broader market0.005.0010.0015.003.71
Martin ratio
The chart of Martin ratio for Optimized, currently valued at 12.69, compared to the broader market0.0010.0020.0030.0040.0050.0060.0012.69
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.0015.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BAH
Booz Allen Hamilton Holding Corporation		1.972.971.443.8614.73
BOOK.L
Literacy Capital plc		0.530.871.120.472.14
MUSA
Murphy USA Inc.		1.241.961.232.446.91
CSU.TO
Constellation Software Inc.		2.172.821.374.6013.01
AT.L
Ashtead Technology Holdings plc		0.541.131.140.671.75
ARGX
argenx SE		0.260.621.110.290.65
CURE
Direxion Daily Healthcare Bull 3x Shares		1.251.731.230.885.31
TECL
Direxion Daily Technology Bull 3X Shares		1.391.881.261.925.44
TQQQ
ProShares UltraPro QQQ		1.982.371.331.818.13

Sharpe Ratio

The current Optimized Sharpe ratio is 2.37. 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 2.49 to 3.44, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Optimized 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 Ratio1.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.37
3.43
Optimized
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Optimized provided a 0.34% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Optimized0.34%0.45%0.40%0.40%0.31%0.57%0.39%0.39%0.38%0.39%1.64%1.47%
Portfolio components:
BAH
Booz Allen Hamilton Holding Corporation		1.09%1.47%1.65%1.75%1.42%1.35%1.69%1.78%1.66%1.69%9.14%7.26%
BOOK.L
Literacy Capital plc		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MUSA
Murphy USA Inc.		0.36%0.43%0.45%0.52%0.19%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CSU.TO
Constellation Software Inc.		0.12%0.16%0.25%0.22%0.33%2.78%0.66%0.74%0.94%0.99%1.42%2.01%
AT.L
Ashtead Technology Holdings plc		0.20%0.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ARGX
argenx SE		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
CURE
Direxion Daily Healthcare Bull 3x Shares		1.30%2.02%0.38%0.02%0.17%0.40%0.70%0.18%0.00%0.00%0.00%1.24%
TECL
Direxion Daily Technology Bull 3X Shares		0.30%0.28%0.22%0.32%0.52%0.25%0.47%0.10%0.00%0.00%0.00%0.00%
TQQQ
ProShares UltraPro QQQ		1.24%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%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.

-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-6.32%
-0.54%
Optimized
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Optimized. 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 Optimized was 12.60%, occurring on Sep 27, 2022. Recovery took 46 trading sessions.

The current Optimized drawdown is 6.32%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-12.6%Aug 17, 202230Sep 27, 202246Nov 30, 202276
-7.73%Sep 2, 202438Oct 23, 2024———
-7.72%Jan 5, 202245Mar 8, 202210Mar 22, 202255
-7.22%Apr 21, 202215May 11, 202249Jul 19, 202264
-5.91%Dec 2, 202272Mar 15, 202312Mar 31, 202384

Volatility

Volatility Chart

The current Optimized volatility is 3.50%, 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%MayJuneJulyAugustSeptemberOctober
3.50%
2.71%
Optimized
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.
AT.LBOOK.LMUSAARGXBAHCSU.TOCURETECLTQQQ
AT.L1.000.240.060.040.080.160.120.170.19
BOOK.L0.241.000.110.100.100.280.250.230.25
MUSA0.060.111.000.140.250.200.350.220.22
ARGX0.040.100.141.000.210.270.380.310.35
BAH0.080.100.250.211.000.250.420.330.34
CSU.TO0.160.280.200.270.251.000.400.570.58
CURE0.120.250.350.380.420.401.000.500.53
TECL0.170.230.220.310.330.570.501.000.97
TQQQ0.190.250.220.350.340.580.530.971.00
The correlation results are calculated based on daily price changes starting from Nov 24, 2021