High return Low drawdown
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
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% |
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
The earliest data available for this chart is Nov 17, 2010, corresponding to the inception date of BAH
Returns By Period
As of Jul 25, 2024, the High return Low drawdown returned 10.09% Year-To-Date and 24.99% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.20% | -1.28% | 10.32% | 18.23% | 12.31% | 10.58% |
| High return Low drawdown | 10.18% | -0.77% | 6.24% | 16.95% | 18.67% | 25.05% |
| Portfolio components: | ||||||
MSCI MSCI Inc. | -4.27% | 10.54% | -1.42% | -1.67% | 18.97% | 29.24% |
DPZ Domino's Pizza, Inc. | 3.78% | -18.14% | 2.07% | 6.91% | 11.64% | 20.44% |
UNH UnitedHealth Group Incorporated | 7.18% | 15.63% | 12.14% | 12.50% | 19.03% | 22.76% |
BAH Booz Allen Hamilton Holding Corporation | 20.90% | -1.70% | 5.64% | 36.73% | 19.29% | 24.76% |
ELV Elevance Health Inc | 9.69% | -3.80% | 6.92% | 10.60% | 12.77% | 18.04% |
Monthly Returns
The table below presents the monthly returns of High return Low drawdown, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 4.65% | 1.56% | 3.50% | -1.31% | 1.38% | 1.31% | 10.18% | ||||||
| 2023 | -1.69% | -5.90% | 3.25% | -1.04% | -1.47% | 7.31% | 11.20% | -4.19% | -1.40% | 0.71% | 7.90% | 2.12% | 16.50% |
| 2022 | -11.29% | 0.11% | 4.38% | -8.69% | 3.69% | 2.83% | 5.54% | -2.92% | -7.01% | 12.86% | 4.14% | -5.51% | -4.49% |
| 2021 | -4.99% | -3.57% | 7.59% | 9.01% | 1.52% | 3.98% | 5.79% | -0.60% | -4.73% | 10.06% | -1.43% | 6.10% | 30.80% |
| 2020 | 0.83% | 1.33% | -3.71% | 12.87% | 5.57% | -3.10% | 5.54% | 4.68% | -1.77% | -4.91% | 10.45% | 2.40% | 32.58% |
| 2019 | 11.86% | -1.29% | 5.27% | 1.81% | 3.66% | 3.26% | -1.78% | -0.29% | -3.50% | 8.14% | 7.88% | 1.09% | 41.16% |
| 2018 | 8.52% | -1.19% | 1.34% | 4.42% | 6.20% | 3.54% | 2.05% | 8.87% | -1.17% | -4.83% | 4.87% | -10.49% | 22.38% |
| 2017 | 2.24% | 7.46% | -0.57% | 2.62% | 7.47% | -3.41% | 0.11% | 1.65% | 4.75% | 0.89% | 5.97% | -1.47% | 30.67% |
| 2016 | -3.64% | 5.04% | 5.52% | -3.85% | 2.30% | 3.38% | 6.35% | -0.51% | 1.25% | 1.03% | 10.77% | -2.35% | 27.15% |
| 2015 | 7.99% | 4.35% | 1.93% | -1.09% | 0.82% | 1.34% | 3.95% | -6.12% | -0.19% | 5.54% | 0.76% | 3.33% | 24.24% |
| 2014 | -2.87% | 11.92% | 2.87% | -1.60% | 0.67% | 0.75% | 0.89% | 5.00% | 2.85% | 10.19% | 3.97% | -0.43% | 38.70% |
| 2013 | 3.93% | -2.77% | 6.26% | 7.79% | 8.43% | 0.63% | 12.30% | -1.39% | 2.20% | -0.19% | 2.94% | 2.96% | 51.22% |
Expense Ratio
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of High return Low drawdown is 51, 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.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
MSCI MSCI Inc. | -0.03 | 0.16 | 1.02 | -0.02 | -0.06 |
DPZ Domino's Pizza, Inc. | 0.30 | 0.57 | 1.09 | 0.22 | 1.33 |
UNH UnitedHealth Group Incorporated | 0.51 | 0.89 | 1.11 | 0.56 | 1.51 |
BAH Booz Allen Hamilton Holding Corporation | 1.38 | 2.35 | 1.29 | 2.53 | 7.65 |
ELV Elevance Health Inc | 0.49 | 0.79 | 1.10 | 0.48 | 2.81 |
Dividends
Dividend yield
High return Low drawdown granted a 1.27% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| High return Low drawdown | 1.27% | 1.28% | 1.30% | 1.10% | 1.12% | 1.16% | 1.31% | 1.32% | 1.41% | 1.45% | 3.48% | 2.91% |
| Portfolio components: | ||||||||||||
MSCI MSCI Inc. | 1.11% | 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. | 1.28% | 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 | 1.38% | 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 | 1.28% | 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 | 1.21% | 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.
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 3.36%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -24.73% | Feb 21, 2020 | 22 | Mar 23, 2020 | 24 | Apr 27, 2020 | 46 |
| -19.4% | Jul 11, 2011 | 21 | Aug 8, 2011 | 95 | Dec 21, 2011 | 116 |
| -19.18% | Dec 30, 2021 | 97 | May 18, 2022 | 132 | Nov 25, 2022 | 229 |
| -16.96% | Sep 10, 2018 | 74 | Dec 24, 2018 | 27 | Feb 4, 2019 | 101 |
| -14.56% | Dec 5, 2022 | 119 | May 25, 2023 | 35 | Jul 18, 2023 | 154 |
Volatility
Volatility Chart
The current High return Low drawdown volatility is 6.25%, 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.
Diversification
Asset Correlations Table
| DPZ | BAH | MSCI | ELV | UNH | |
|---|---|---|---|---|---|
| DPZ | 1.00 | 0.26 | 0.36 | 0.25 | 0.26 |
| BAH | 0.26 | 1.00 | 0.35 | 0.28 | 0.29 |
| MSCI | 0.36 | 0.35 | 1.00 | 0.32 | 0.34 |
| ELV | 0.25 | 0.28 | 0.32 | 1.00 | 0.73 |
| UNH | 0.26 | 0.29 | 0.34 | 0.73 | 1.00 |