Best mix 1.75 sharpe
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AVGO Broadcom Inc. | Technology | 9.09% |
EQIX Equinix, Inc. | Real Estate | 9.09% |
LMT Lockheed Martin Corporation | Industrials | 9.09% |
MRK Merck & Co., Inc. | Healthcare | 9.09% |
MU Micron Technology, Inc. | Technology | 9.09% |
PGR The Progressive Corporation | Financial Services | 9.09% |
PHM PulteGroup, Inc. | Consumer Cyclical | 9.09% |
STLD Steel Dynamics, Inc. | Basic Materials | 9.09% |
TSM Taiwan Semiconductor Manufacturing Company Limited | Technology | 9.09% |
UNH UnitedHealth Group Incorporated | Healthcare | 9.09% |
VRTX Vertex Pharmaceuticals Incorporated | Healthcare | 9.09% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Best mix 1.75 sharpe, 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 Aug 6, 2009, corresponding to the inception date of AVGO
Returns By Period
As of Sep 21, 2024, the Best mix 1.75 sharpe returned 29.59% Year-To-Date and 24.31% 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 | 19.55% | 1.45% | 8.95% | 31.70% | 13.79% | 11.17% |
| Best mix 1.75 sharpe | 29.59% | 2.73% | 13.12% | 52.57% | 27.64% | 24.16% |
| Portfolio components: | ||||||
AVGO Broadcom Inc. | 54.93% | 5.74% | 27.23% | 109.55% | 47.53% | 38.02% |
EQIX Equinix, Inc. | 10.60% | 7.11% | 10.68% | 22.39% | 10.53% | 18.56% |
LMT Lockheed Martin Corporation | 28.68% | 3.25% | 29.85% | 42.00% | 11.04% | 15.47% |
MRK Merck & Co., Inc. | 9.53% | 1.20% | -4.19% | 13.11% | 11.15% | 10.70% |
MU Micron Technology, Inc. | 6.71% | -12.81% | -17.37% | 32.61% | 13.34% | 11.17% |
PGR The Progressive Corporation | 63.73% | 7.92% | 26.15% | 82.17% | 30.72% | 29.43% |
PHM PulteGroup, Inc. | 38.11% | 9.94% | 22.21% | 93.18% | 33.35% | 24.41% |
STLD Steel Dynamics, Inc. | 2.16% | 0.75% | -16.22% | 20.24% | 34.52% | 20.48% |
TSM Taiwan Semiconductor Manufacturing Company Limited | 69.21% | 4.98% | 24.71% | 106.44% | 34.39% | 27.07% |
UNH UnitedHealth Group Incorporated | 10.50% | -0.29% | 18.25% | 15.34% | 22.08% | 22.53% |
VRTX Vertex Pharmaceuticals Incorporated | 14.26% | -3.12% | 11.85% | 33.01% | 21.52% | 15.34% |
Monthly Returns
The table below presents the monthly returns of Best mix 1.75 sharpe, 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 | 3.91% | 5.34% | 6.77% | -4.23% | 5.09% | 3.51% | 3.33% | 1.78% | 29.59% | ||||
| 2023 | 10.33% | -2.14% | 2.74% | 1.56% | 1.79% | 5.84% | 1.34% | -0.88% | -3.47% | 2.98% | 7.57% | 6.52% | 38.86% |
| 2022 | -2.55% | 1.00% | 3.94% | -2.80% | 2.83% | -7.95% | 5.75% | -2.79% | -7.64% | 10.41% | 9.88% | -3.69% | 4.42% |
| 2021 | -1.33% | 2.43% | 6.84% | 3.06% | 1.61% | 0.45% | -0.19% | 0.42% | -6.56% | 6.43% | -0.20% | 10.28% | 24.62% |
| 2020 | 0.65% | -6.96% | -8.60% | 11.49% | 5.33% | 1.96% | 8.89% | 2.92% | 0.32% | -4.24% | 9.47% | 6.31% | 28.42% |
| 2019 | 10.16% | 3.48% | 1.72% | 1.57% | -5.85% | 7.68% | 2.01% | 0.71% | 1.35% | 5.22% | 5.34% | 3.22% | 42.23% |
| 2018 | 4.48% | -1.93% | 0.61% | -1.45% | 4.00% | -1.22% | 3.21% | 2.46% | 0.97% | -8.40% | 2.60% | -6.99% | -2.58% |
| 2017 | 7.21% | 3.65% | 5.50% | 1.55% | 4.27% | 1.77% | 3.63% | 3.49% | 1.85% | 4.21% | 2.97% | 0.56% | 48.92% |
| 2016 | -6.46% | 0.78% | 8.93% | 0.62% | 5.28% | 3.28% | 3.57% | 1.81% | -0.14% | -1.53% | 6.91% | 0.77% | 25.51% |
| 2015 | -3.35% | 7.48% | 0.54% | -0.07% | 4.03% | -5.56% | 2.97% | -4.43% | -3.72% | 7.16% | -0.41% | 0.21% | 3.90% |
| 2014 | -0.41% | 6.07% | -0.12% | 0.11% | 4.10% | 6.48% | -1.90% | 7.27% | 1.87% | 3.14% | 5.48% | -1.18% | 34.92% |
| 2013 | 7.46% | 1.08% | 7.07% | 4.13% | 4.83% | 0.71% | 0.20% | -1.47% | 7.40% | 0.16% | 4.76% | 5.37% | 49.88% |
Expense Ratio
Best mix 1.75 sharpe 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 risk-adjusted rank of Best mix 1.75 sharpe is 96, placing it in the top 4% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined 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 | |
|---|---|---|---|---|---|
AVGO Broadcom Inc. | 2.40 | 2.96 | 1.38 | 4.32 | 13.40 |
EQIX Equinix, Inc. | 0.70 | 1.26 | 1.15 | 0.75 | 1.75 |
LMT Lockheed Martin Corporation | 2.23 | 3.80 | 1.48 | 1.91 | 11.94 |
MRK Merck & Co., Inc. | 0.60 | 0.91 | 1.14 | 0.74 | 2.06 |
MU Micron Technology, Inc. | 0.70 | 1.25 | 1.15 | 0.71 | 1.88 |
PGR The Progressive Corporation | 3.93 | 5.27 | 1.70 | 11.68 | 35.18 |
PHM PulteGroup, Inc. | 2.80 | 3.61 | 1.45 | 4.61 | 17.00 |
STLD Steel Dynamics, Inc. | 0.75 | 1.23 | 1.15 | 0.78 | 1.89 |
TSM Taiwan Semiconductor Manufacturing Company Limited | 2.73 | 3.36 | 1.43 | 2.71 | 15.03 |
UNH UnitedHealth Group Incorporated | 0.84 | 1.32 | 1.17 | 0.93 | 2.53 |
VRTX Vertex Pharmaceuticals Incorporated | 1.34 | 2.10 | 1.27 | 2.68 | 5.88 |
Dividends
Dividend yield
Best mix 1.75 sharpe granted a 1.24% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Best mix 1.75 sharpe | 1.24% | 1.36% | 1.58% | 1.98% | 1.80% | 2.07% | 2.02% | 1.52% | 1.76% | 2.22% | 2.06% | 1.46% |
| Portfolio components: | ||||||||||||
AVGO Broadcom Inc. | 1.23% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% | 1.66% |
EQIX Equinix, Inc. | 1.94% | 1.80% | 1.89% | 1.36% | 1.49% | 1.69% | 2.59% | 1.77% | 1.96% | 5.86% | 3.34% | 0.00% |
LMT Lockheed Martin Corporation | 2.20% | 2.68% | 2.34% | 2.98% | 2.76% | 2.31% | 3.13% | 2.32% | 2.71% | 2.83% | 2.85% | 3.22% |
MRK Merck & Co., Inc. | 2.63% | 2.72% | 2.52% | 3.41% | 3.03% | 2.48% | 2.60% | 3.36% | 3.14% | 3.42% | 3.11% | 3.45% |
MU Micron Technology, Inc. | 0.51% | 0.54% | 0.89% | 0.21% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
PGR The Progressive Corporation | 0.44% | 0.25% | 0.31% | 6.23% | 2.68% | 3.87% | 1.86% | 1.21% | 2.50% | 2.16% | 5.53% | 1.05% |
PHM PulteGroup, Inc. | 0.56% | 0.66% | 1.34% | 1.00% | 1.16% | 1.16% | 1.46% | 1.08% | 1.96% | 1.85% | 1.07% | 0.74% |
STLD Steel Dynamics, Inc. | 1.48% | 1.44% | 1.39% | 1.68% | 2.71% | 2.82% | 2.50% | 1.44% | 1.57% | 3.08% | 2.33% | 2.25% |
TSM Taiwan Semiconductor Manufacturing Company Limited | 1.26% | 1.78% | 2.48% | 1.56% | 1.58% | 3.49% | 3.55% | 2.32% | 2.61% | 2.54% | 1.79% | 2.30% |
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% |
VRTX Vertex Pharmaceuticals Incorporated | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Best mix 1.75 sharpe. 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 Best mix 1.75 sharpe was 31.90%, occurring on Mar 23, 2020. Recovery took 79 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -31.9% | Feb 13, 2020 | 27 | Mar 23, 2020 | 79 | Jul 15, 2020 | 106 |
| -26.72% | May 13, 2011 | 99 | Oct 3, 2011 | 83 | Feb 1, 2012 | 182 |
| -18.33% | Oct 3, 2018 | 57 | Dec 24, 2018 | 38 | Feb 20, 2019 | 95 |
| -16.27% | Jun 2, 2015 | 177 | Feb 11, 2016 | 47 | Apr 20, 2016 | 224 |
| -15.62% | Apr 15, 2010 | 56 | Jul 2, 2010 | 130 | Jan 6, 2011 | 186 |
Volatility
Volatility Chart
The current Best mix 1.75 sharpe volatility is 4.59%, 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
| MRK | LMT | VRTX | EQIX | UNH | PHM | STLD | PGR | TSM | MU | AVGO | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| MRK | 1.00 | 0.33 | 0.37 | 0.28 | 0.38 | 0.23 | 0.26 | 0.38 | 0.18 | 0.19 | 0.21 |
| LMT | 0.33 | 1.00 | 0.23 | 0.26 | 0.35 | 0.28 | 0.30 | 0.40 | 0.23 | 0.24 | 0.24 |
| VRTX | 0.37 | 0.23 | 1.00 | 0.30 | 0.33 | 0.25 | 0.24 | 0.28 | 0.26 | 0.30 | 0.31 |
| EQIX | 0.28 | 0.26 | 0.30 | 1.00 | 0.30 | 0.33 | 0.24 | 0.30 | 0.31 | 0.28 | 0.35 |
| UNH | 0.38 | 0.35 | 0.33 | 0.30 | 1.00 | 0.26 | 0.28 | 0.36 | 0.24 | 0.24 | 0.27 |
| PHM | 0.23 | 0.28 | 0.25 | 0.33 | 0.26 | 1.00 | 0.36 | 0.32 | 0.33 | 0.34 | 0.34 |
| STLD | 0.26 | 0.30 | 0.24 | 0.24 | 0.28 | 0.36 | 1.00 | 0.35 | 0.36 | 0.39 | 0.35 |
| PGR | 0.38 | 0.40 | 0.28 | 0.30 | 0.36 | 0.32 | 0.35 | 1.00 | 0.26 | 0.28 | 0.28 |
| TSM | 0.18 | 0.23 | 0.26 | 0.31 | 0.24 | 0.33 | 0.36 | 0.26 | 1.00 | 0.53 | 0.53 |
| MU | 0.19 | 0.24 | 0.30 | 0.28 | 0.24 | 0.34 | 0.39 | 0.28 | 0.53 | 1.00 | 0.54 |
| AVGO | 0.21 | 0.24 | 0.31 | 0.35 | 0.27 | 0.34 | 0.35 | 0.28 | 0.53 | 0.54 | 1.00 |