china

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

china

Currency in USD · Last updated Jun 2, 2025

Asset Allocation

Position	Category/Sector	Target Weight
0883.HK CNOOC Ltd	Energy	12.50%
0941.HK China Mobile Ltd	Communication Services	12.50%
DXJ WisdomTree Japan Hedged Equity Fund	Japan Equities	12.50%
LLY Eli Lilly and Company	Healthcare	12.50%
NVDA NVIDIA Corporation	Technology	12.50%
NVO Novo Nordisk A/S	Healthcare	12.50%
PANW Palo Alto Networks, Inc.	Technology	12.50%
PGR The Progressive Corporation	Financial Services	12.50%

Benchmark

S&P 500

Rebalance

Performance

Performance Chart

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The earliest data available for this chart is Jul 20, 2012, corresponding to the inception date of PANW

Returns By Period

As of Jun 2, 2025, the china returned 3.00% Year-To-Date and 26.36% of annualized return in the last 10 years.

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	0.92%	4.38%	-1.84%	12.48%	13.71%	10.99%
china	3.88%	4.68%	1.03%	7.50%	36.92%	26.40%
Portfolio components:
0883.HK CNOOC Ltd	-7.36%	5.32%	3.99%	-8.44%	24.60%	11.76%
0941.HK China Mobile Ltd	13.88%	6.45%	20.84%	24.97%	16.92%	3.65%
NVDA NVIDIA Corporation	2.31%	19.98%	-0.89%	25.34%	73.50%	74.04%
LLY Eli Lilly and Company	-2.86%	-9.10%	-6.23%	-8.30%	39.02%	27.61%
PANW Palo Alto Networks, Inc.	7.09%	3.81%	-0.12%	32.15%	38.02%	21.01%
PGR The Progressive Corporation	22.95%	2.10%	11.57%	39.62%	32.19%	29.72%
NVO Novo Nordisk A/S	-13.97%	5.20%	-31.90%	-45.09%	19.56%	12.08%
DXJ WisdomTree Japan Hedged Equity Fund	3.33%	3.18%	6.30%	5.93%	21.79%	9.97%

*Annualized

Monthly Returns

The table below presents the monthly returns of china, 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
2025	-0.76%	5.49%	-5.68%	0.04%	4.25%	0.86%							3.88%
2024	11.94%	8.51%	6.36%	1.99%	6.46%	7.72%	-5.25%	8.08%	-3.99%	-1.21%	1.43%	-2.48%	45.15%
2023	9.71%	5.52%	8.54%	3.30%	4.97%	8.06%	2.02%	7.12%	-0.64%	0.74%	7.72%	0.43%	74.23%
2022	-1.42%	2.85%	7.42%	-5.44%	2.62%	-3.49%	3.35%	-0.72%	-5.89%	5.82%	8.91%	-4.20%	8.74%
2021	3.54%	5.86%	-3.68%	4.52%	3.57%	7.15%	0.27%	6.51%	-1.01%	7.65%	1.81%	3.06%	46.23%
2020	1.80%	-6.74%	-3.55%	9.29%	5.06%	1.95%	2.48%	6.97%	-2.51%	-6.45%	9.07%	5.28%	23.07%
2019	7.99%	6.36%	3.57%	-1.45%	-9.34%	5.23%	-0.21%	-2.44%	2.10%	3.42%	1.37%	6.25%	23.84%
2018	5.71%	-2.27%	0.01%	2.82%	2.83%	-1.32%	3.29%	7.65%	2.99%	-10.18%	-0.58%	-5.40%	4.28%
2017	5.03%	0.22%	-2.82%	0.00%	7.89%	2.56%	2.58%	2.91%	4.41%	3.56%	1.71%	1.70%	33.65%
2016	-6.02%	-2.83%	8.83%	-0.59%	2.87%	-0.62%	5.68%	-0.46%	3.18%	-2.41%	2.07%	4.72%	14.36%
2015	1.94%	7.38%	1.74%	5.21%	1.91%	-1.70%	1.77%	-3.30%	-0.23%	4.10%	2.85%	-0.19%	23.16%
2014	-3.33%	10.51%	-2.91%	0.84%	3.87%	4.23%	-0.48%	6.62%	0.08%	2.18%	3.56%	-3.05%	23.36%

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

china has an expense ratio of 0.06%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

DXJ

WisdomTree Japan Hedged Equity Fund

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of china is 9, meaning it’s performing worse than 91% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin 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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
0883.HK CNOOC Ltd	-0.25	-0.18	0.97	-0.33	-0.56
0941.HK China Mobile Ltd	1.37	1.64	1.24	1.96	4.75
NVDA NVIDIA Corporation	0.43	0.71	1.09	0.35	0.85
LLY Eli Lilly and Company	-0.21	-0.24	0.97	-0.52	-0.93
PANW Palo Alto Networks, Inc.	0.88	1.23	1.16	0.97	2.87
PGR The Progressive Corporation	1.59	2.17	1.32	3.27	8.22
NVO Novo Nordisk A/S	-1.04	-1.66	0.79	-0.81	-1.39
DXJ WisdomTree Japan Hedged Equity Fund	0.22	0.47	1.07	0.27	0.79

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

china Sharpe ratios as of Jun 2, 2025 (values are recalculated daily):

1-Year: 0.38
5-Year: 2.14
10-Year: 1.48
All Time: 1.54

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.59 to 1.13, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of china compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

china provided a 2.66% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	2.66%	2.52%	2.87%	4.19%	3.20%	3.17%	2.60%	2.39%	1.98%	2.34%	2.92%	4.07%
Portfolio components:
0883.HK CNOOC Ltd	7.83%	7.32%	10.31%	18.84%	6.85%	9.05%	5.63%	4.96%	3.83%	3.81%	7.06%	5.46%
0941.HK China Mobile Ltd	5.68%	6.53%	7.16%	8.95%	7.24%	7.36%	4.45%	4.52%	3.62%	3.27%	3.32%	3.49%
NVDA NVIDIA Corporation	0.02%	0.02%	0.03%	0.11%	0.05%	0.12%	0.27%	0.46%	0.29%	0.45%	1.20%	1.70%
LLY Eli Lilly and Company	0.75%	0.67%	0.78%	1.07%	1.23%	1.75%	1.96%	1.95%	2.46%	2.77%	2.37%	2.84%
PANW Palo Alto Networks, 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%
PGR The Progressive Corporation	1.70%	0.48%	0.25%	0.31%	6.23%	2.68%	3.89%	1.86%	1.21%	2.50%	2.16%	5.53%
NVO Novo Nordisk A/S	2.21%	1.68%	1.00%	1.20%	1.34%	1.86%	2.14%	2.47%	2.12%	3.93%	1.31%	1.96%
DXJ WisdomTree Japan Hedged Equity Fund	3.10%	3.48%	3.44%	3.03%	2.64%	2.53%	2.47%	2.92%	2.30%	1.98%	5.95%	11.61%

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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the china. 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 china was 27.06%, occurring on Mar 23, 2020. Recovery took 56 trading sessions.

The current china drawdown is 3.93%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-27.06%	Feb 20, 2020	23	Mar 23, 2020	56	Jun 10, 2020	79
-20.06%	Oct 2, 2018	60	Dec 24, 2018	61	Mar 21, 2019	121
-18.37%	Dec 7, 2015	47	Feb 11, 2016	107	Jul 12, 2016	154
-17.69%	Oct 15, 2024	123	Apr 7, 2025	—	—	—
-13.76%	Jul 16, 2024	15	Aug 5, 2024	19	Aug 30, 2024	34

Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 8 assets, with an effective number of assets of 8.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	^GSPC	0941.HK	0883.HK	PGR	NVO	LLY	PANW	NVDA	DXJ	Portfolio
^GSPC	1.00	0.10	0.11	0.46	0.38	0.42	0.48	0.61	0.65	0.71
0941.HK	0.10	1.00	0.44	0.05	0.07	0.04	0.03	0.05	0.15	0.33
0883.HK	0.11	0.44	1.00	0.05	0.04	0.02	0.04	0.07	0.16	0.38
PGR	0.46	0.05	0.05	1.00	0.20	0.29	0.19	0.19	0.33	0.42
NVO	0.38	0.07	0.04	0.20	1.00	0.40	0.24	0.24	0.26	0.52
LLY	0.42	0.04	0.02	0.29	0.40	1.00	0.22	0.23	0.28	0.50
PANW	0.48	0.03	0.04	0.19	0.24	0.22	1.00	0.43	0.31	0.62
NVDA	0.61	0.05	0.07	0.19	0.24	0.23	0.43	1.00	0.37	0.66
DXJ	0.65	0.15	0.16	0.33	0.26	0.28	0.31	0.37	1.00	0.58
Portfolio	0.71	0.33	0.38	0.42	0.52	0.50	0.62	0.66	0.58	1.00

The correlation results are calculated based on daily price changes starting from Jul 23, 2012

Go to the full Correlations tool for more customization options

Performance Analysis

Risk Analysis

Optimization

Factor Model

china

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

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