High Beta
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ACGL Arch Capital Group Ltd. | Financial Services | 12.50% |
AVGO Broadcom Inc. | Technology | 12.50% |
ELF e.l.f. Beauty, Inc. | Consumer Defensive | 12.50% |
LLY Eli Lilly and Company | Healthcare | 12.50% |
MSTR MicroStrategy Incorporated | Technology | 12.50% |
NVDA NVIDIA Corporation | Technology | 12.50% |
NVO Novo Nordisk A/S | Healthcare | 12.50% |
SMCI Super Micro Computer, Inc. | Technology | 12.50% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in High Beta, 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 Sep 22, 2016, corresponding to the inception date of ELF
Returns By Period
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 15.38% | 5.03% | 6.71% | 23.24% | 13.10% | 10.67% |
| High Beta | 69.30% | -2.69% | -6.54% | 99.80% | 68.62% | N/A |
| Portfolio components: | ||||||
MSTR MicroStrategy Incorporated | 89.31% | -12.67% | -8.02% | 240.95% | 53.75% | 23.72% |
NVDA NVIDIA Corporation | 116.52% | 2.84% | 15.70% | 127.86% | 89.29% | 72.19% |
SMCI Super Micro Computer, Inc. | 45.85% | -32.80% | -64.25% | 51.30% | 85.06% | 31.69% |
ELF e.l.f. Beauty, Inc. | -5.99% | -26.15% | -35.36% | 1.43% | 50.74% | N/A |
AVGO Broadcom Inc. | 37.92% | 6.18% | 9.42% | 78.28% | 43.75% | 37.26% |
NVO Novo Nordisk A/S | 27.65% | 0.97% | -2.84% | 38.10% | 38.22% | 19.46% |
LLY Eli Lilly and Company | 57.34% | 15.24% | 17.36% | 64.10% | 53.84% | 32.89% |
ACGL Arch Capital Group Ltd. | 51.06% | 16.09% | 27.94% | 46.77% | 22.18% | 19.90% |
Monthly Returns
The table below presents the monthly returns of High Beta, 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 | 17.40% | 32.73% | 16.45% | -8.86% | 10.79% | 6.89% | -5.60% | -2.26% | 69.30% | ||||
| 2023 | 13.73% | 10.81% | 10.13% | 6.56% | 21.03% | 9.07% | 9.70% | 2.00% | -6.69% | 1.69% | 11.27% | 10.06% | 153.84% |
| 2022 | -12.13% | 1.06% | 6.09% | -8.44% | 3.30% | -8.34% | 18.05% | -3.09% | -7.31% | 16.54% | 11.46% | -3.78% | 8.26% |
| 2021 | 6.67% | 9.16% | -0.67% | 3.22% | -1.49% | 9.64% | 2.52% | 6.85% | -6.63% | 12.46% | 4.42% | 2.32% | 58.48% |
| 2020 | 3.91% | -4.76% | -12.08% | 9.38% | 11.77% | 5.52% | 2.01% | 7.13% | -0.01% | -2.55% | 24.16% | 10.85% | 64.51% |
| 2019 | 4.30% | 8.25% | 9.48% | 3.17% | -12.30% | 11.89% | 0.94% | 2.12% | 2.57% | 4.61% | 2.81% | 4.27% | 48.40% |
| 2018 | 3.70% | -6.89% | -2.03% | -1.88% | 8.91% | -4.00% | 3.08% | 3.16% | -0.85% | -13.82% | 4.95% | -7.31% | -14.23% |
| 2017 | 0.69% | 2.16% | 1.34% | 0.18% | 5.06% | 1.63% | -0.80% | -0.33% | -0.27% | 1.55% | 2.82% | -2.48% | 11.96% |
| 2016 | 0.18% | -1.49% | 7.68% | 4.87% | 11.44% |
Expense Ratio
High Beta 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 High Beta is 93, placing it in the top 7% 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 | |
|---|---|---|---|---|---|
MSTR MicroStrategy Incorporated | 2.53 | 2.96 | 1.36 | 3.21 | 12.22 |
NVDA NVIDIA Corporation | 2.37 | 2.86 | 1.36 | 4.47 | 14.73 |
SMCI Super Micro Computer, Inc. | 0.49 | 1.41 | 1.18 | 0.74 | 1.87 |
ELF e.l.f. Beauty, Inc. | -0.01 | 0.42 | 1.05 | -0.01 | -0.02 |
AVGO Broadcom Inc. | 1.81 | 2.52 | 1.32 | 3.10 | 10.21 |
NVO Novo Nordisk A/S | 1.27 | 1.94 | 1.24 | 2.07 | 6.89 |
LLY Eli Lilly and Company | 2.12 | 2.88 | 1.38 | 3.44 | 12.11 |
ACGL Arch Capital Group Ltd. | 2.18 | 2.85 | 1.37 | 2.60 | 7.24 |
Dividends
Dividend yield
High Beta granted a 0.35% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| High Beta | 0.35% | 0.31% | 0.53% | 0.44% | 0.62% | 0.72% | 0.86% | 0.67% | 0.70% | 0.71% | 0.87% | 1.19% |
| Portfolio components: | ||||||||||||
MSTR MicroStrategy 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% |
NVDA NVIDIA Corporation | 0.02% | 0.03% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.30% | 0.46% | 1.19% | 1.68% | 1.95% |
SMCI Super Micro Computer, 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% |
ELF e.l.f. Beauty, 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% |
AVGO Broadcom Inc. | 1.33% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 4.48% | 2.57% | 2.33% | 2.09% | 2.42% | 3.74% |
NVO Novo Nordisk A/S | 0.90% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
LLY Eli Lilly and Company | 0.55% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.94% | 2.46% | 2.77% | 2.37% | 2.84% | 3.84% |
ACGL Arch Capital Group Ltd. | 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 High Beta. 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 Beta was 35.55%, occurring on Mar 20, 2020. Recovery took 54 trading sessions.
The current High Beta drawdown is 17.93%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -35.55% | Feb 20, 2020 | 22 | Mar 20, 2020 | 54 | Jun 8, 2020 | 76 |
| -24.09% | Jan 30, 2018 | 228 | Dec 24, 2018 | 65 | Mar 29, 2019 | 293 |
| -23.86% | Nov 9, 2021 | 152 | Jun 16, 2022 | 39 | Aug 12, 2022 | 191 |
| -20.75% | Jun 20, 2024 | 34 | Aug 7, 2024 | — | — | — |
| -19.77% | Aug 16, 2022 | 29 | Sep 26, 2022 | 30 | Nov 7, 2022 | 59 |
Volatility
Volatility Chart
The current High Beta volatility is 12.49%, 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
| ACGL | LLY | NVO | ELF | MSTR | SMCI | AVGO | NVDA | |
|---|---|---|---|---|---|---|---|---|
| ACGL | 1.00 | 0.20 | 0.19 | 0.25 | 0.20 | 0.25 | 0.23 | 0.19 |
| LLY | 0.20 | 1.00 | 0.42 | 0.17 | 0.14 | 0.19 | 0.22 | 0.20 |
| NVO | 0.19 | 0.42 | 1.00 | 0.18 | 0.20 | 0.21 | 0.24 | 0.26 |
| ELF | 0.25 | 0.17 | 0.18 | 1.00 | 0.27 | 0.30 | 0.30 | 0.30 |
| MSTR | 0.20 | 0.14 | 0.20 | 0.27 | 1.00 | 0.31 | 0.35 | 0.41 |
| SMCI | 0.25 | 0.19 | 0.21 | 0.30 | 0.31 | 1.00 | 0.38 | 0.40 |
| AVGO | 0.23 | 0.22 | 0.24 | 0.30 | 0.35 | 0.38 | 1.00 | 0.63 |
| NVDA | 0.19 | 0.20 | 0.26 | 0.30 | 0.41 | 0.40 | 0.63 | 1.00 |