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High return Low drawdown
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BAH 30%DPZ 25%UNH 20%MSCI 15%ELV 10%EquityEquity
PositionCategory/SectorWeight
BAH
Booz Allen Hamilton Holding Corporation
Industrials

30%

DPZ
Domino's Pizza, Inc.
Consumer Cyclical

25%

ELV
Elevance Health Inc
Healthcare

10%

MSCI
MSCI Inc.
Financial Services

15%

UNH
UnitedHealth Group Incorporated
Healthcare

20%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in High return Low drawdown, 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


500.00%1,000.00%1,500.00%2,000.00%2,500.00%3,000.00%NovemberDecember2024FebruaryMarchApril
2,822.80%
321.46%
High return Low drawdown
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 17, 2010, corresponding to the inception date of BAH

Returns By Period

As of Apr 20, 2024, the High return Low drawdown returned 6.37% Year-To-Date and 24.99% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
4.14%-4.93%17.59%20.28%11.33%10.22%
High return Low drawdown6.37%-0.58%15.62%27.26%19.89%24.96%
MSCI
MSCI Inc.
-9.57%-7.78%4.73%-5.30%18.83%29.70%
DPZ
Domino's Pizza, Inc.
15.26%3.30%37.07%45.21%13.11%21.56%
UNH
UnitedHealth Group Incorporated
-4.44%2.26%-4.21%5.17%18.60%22.59%
BAH
Booz Allen Hamilton Holding Corporation
11.52%-3.71%17.50%45.86%21.42%22.99%
ELV
Elevance Health Inc
13.06%3.42%17.85%19.42%17.69%20.29%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20244.65%1.56%3.50%
2023-1.40%0.71%7.90%2.12%

Expense Ratio

The High return Low drawdown 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

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.


High return Low drawdown
Sharpe ratio
The chart of Sharpe ratio for High return Low drawdown, currently valued at 1.92, compared to the broader market-1.000.001.002.003.004.001.92
Sortino ratio
The chart of Sortino ratio for High return Low drawdown, currently valued at 2.77, compared to the broader market-2.000.002.004.006.002.78
Omega ratio
The chart of Omega ratio for High return Low drawdown, currently valued at 1.34, compared to the broader market0.801.001.201.401.601.801.34
Calmar ratio
The chart of Calmar ratio for High return Low drawdown, currently valued at 1.90, compared to the broader market0.002.004.006.008.001.90
Martin ratio
The chart of Martin ratio for High return Low drawdown, currently valued at 8.96, compared to the broader market0.0010.0020.0030.0040.008.96
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.44, compared to the broader market-2.000.002.004.006.002.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.801.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.27, compared to the broader market0.002.004.006.008.001.27
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.65, compared to the broader market0.0010.0020.0030.0040.006.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MSCI
MSCI Inc.
-0.19-0.080.99-0.17-0.62
DPZ
Domino's Pizza, Inc.
1.772.621.340.997.71
UNH
UnitedHealth Group Incorporated
0.210.451.060.230.74
BAH
Booz Allen Hamilton Holding Corporation
1.853.001.392.5310.16
ELV
Elevance Health Inc
0.831.251.160.754.09

Sharpe Ratio

The current High return Low drawdown Sharpe ratio is 1.92. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.001.92

The Sharpe ratio of High return Low drawdown lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.92
1.66
High return Low drawdown
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

High return Low drawdown granted a 1.26% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
High return Low drawdown1.26%1.28%1.30%1.10%1.12%1.16%1.31%1.32%1.41%1.45%3.48%2.91%
MSCI
MSCI Inc.
1.13%0.98%0.98%0.59%0.65%0.98%1.30%1.04%1.27%1.11%0.38%0.00%
DPZ
Domino's Pizza, Inc.
1.09%1.17%1.27%0.67%0.81%0.89%0.89%0.97%0.95%1.11%1.06%1.15%
UNH
UnitedHealth Group Incorporated
1.50%1.38%1.21%1.12%1.38%1.41%1.38%1.30%1.48%1.59%1.39%1.40%
BAH
Booz Allen Hamilton Holding Corporation
1.35%1.47%1.65%1.75%1.42%1.35%1.69%1.78%1.66%1.69%9.14%7.26%
ELV
Elevance Health Inc
1.14%1.26%1.00%0.98%1.18%1.06%1.14%1.20%1.81%1.79%1.39%1.62%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.29%
-5.46%
High return Low drawdown
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the High return Low drawdown. 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 return Low drawdown was 24.73%, occurring on Mar 23, 2020. Recovery took 24 trading sessions.

The current High return Low drawdown drawdown is 3.29%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.73%Feb 21, 202022Mar 23, 202024Apr 27, 202046
-19.39%Jul 11, 201121Aug 8, 201195Dec 21, 2011116
-19.18%Dec 30, 202197May 18, 2022132Nov 25, 2022229
-16.96%Sep 10, 201874Dec 24, 201827Feb 4, 2019101
-14.56%Dec 5, 2022119May 25, 202335Jul 18, 2023154

Volatility

Volatility Chart

The current High return Low drawdown volatility is 4.62%, 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%NovemberDecember2024FebruaryMarchApril
4.62%
3.15%
High return Low drawdown
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.

DPZBAHMSCIELVUNH
DPZ1.000.260.370.250.26
BAH0.261.000.350.290.29
MSCI0.370.351.000.320.34
ELV0.250.290.321.000.73
UNH0.260.290.340.731.00