Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AMD Advanced Micro Devices, Inc. | Technology | 12.50% |
BNS The Bank of Nova Scotia | Financial Services | 12.50% |
JNJ Johnson & Johnson | Healthcare | 12.50% |
CNI Canadian National Railway Company | Industrials | 12.50% |
DIS The Walt Disney Company | Communication Services | 12.50% |
V Visa Inc. | Financial Services | 12.50% |
SU Suncor Energy Inc. | Energy | 12.50% |
MSFT Microsoft Corporation | Technology | 12.50% |
Find the right asset allocation for 2020
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in 2020, 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 Every 3 months.
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Returns By Period
As of Jun 13, 2026, the 2020 returned 27.44% Year-To-Date and 21.94% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.50% | 0.31% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio 2020 | 1.60% | 4.84% | 27.44% | 28.36% | 52.14% | 24.72% | 16.21% | 21.94% |
| Portfolio components: | ||||||||
AMD Advanced Micro Devices, Inc. | 4.73% | 20.62% | 138.87% | 142.70% | 340.40% | 60.16% | 44.46% | 60.93% |
BNS The Bank of Nova Scotia | 1.57% | 8.61% | 16.52% | 17.99% | 62.38% | 27.10% | 11.56% | 11.61% |
CNI Canadian National Railway Company | 0.60% | 6.39% | 21.78% | 22.98% | 17.55% | 3.44% | 3.57% | 9.51% |
DIS The Walt Disney Company | -0.30% | -2.61% | -12.07% | -9.75% | -14.24% | 2.95% | -10.41% | 0.99% |
JNJ Johnson & Johnson | 1.07% | 6.86% | 17.68% | 15.11% | 57.15% | 17.82% | 10.94% | 10.46% |
MSFT Microsoft Corporation | 0.10% | -7.19% | -18.85% | -17.98% | -17.07% | 6.16% | 9.56% | 24.39% |
SU Suncor Energy Inc. | -0.32% | -7.16% | 40.87% | 40.84% | 55.65% | 32.55% | 25.10% | 13.39% |
V Visa Inc. | 1.05% | -1.03% | -7.69% | -6.93% | -7.91% | 13.87% | 7.33% | 15.98% |
Monthly Returns
Based on dividend-adjusted daily data since Mar 19, 2008, 2020's average daily return is +0.07%, while the average monthly return is +1.48%. At this rate, an investment would double in approximately 3.9 years.
Historically, 62% of months were positive and 38% were negative. The best month was Nov 2020 with a return of +17.5%, while the worst month was Oct 2008 at -21.0%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 6 months.
On a daily basis, 2020 closed higher 54% of trading days. The best single day was Oct 13, 2008 with a return of +14.0%, while the worst single day was Mar 16, 2020 at -11.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.45% | 0.70% | -1.46% | 15.36% | 9.64% | -0.90% | 27.44% | ||||||
| 2025 | 1.80% | -0.47% | -3.13% | -2.21% | 9.61% | 6.64% | 3.68% | 1.97% | 0.66% | 7.24% | -1.08% | 2.41% | 29.72% |
| 2024 | 3.97% | 6.79% | 2.31% | -6.94% | 3.11% | -2.45% | -0.84% | 2.57% | 2.09% | -2.92% | 6.10% | -5.62% | 7.34% |
| 2023 | 8.69% | -3.61% | 5.90% | 1.46% | -0.87% | 3.93% | 1.13% | -2.16% | -2.79% | -2.02% | 10.92% | 4.71% | 26.96% |
| 2022 | -1.95% | 1.07% | 1.46% | -8.01% | 3.88% | -9.83% | 8.09% | -5.57% | -12.30% | 8.20% | 5.78% | -6.82% | -17.30% |
| 2021 | -3.22% | 6.78% | 2.26% | 2.44% | 1.58% | 2.55% | 1.29% | 1.48% | -3.10% | 10.07% | -0.86% | 3.61% | 27.00% |
Benchmark Metrics
2020 has an annualized alpha of 6.97%, beta of 1.01, and R2 of 0.81 versus S&P 500 Index. Calculated based on daily prices since March 19, 2008.
- This portfolio captured 138.25% of S&P 500 Index gains and 106.58% of its losses - amplifying both gains and losses, but participating more in upside than downside.
- This portfolio generated an annualized alpha of 6.97% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 1.01 and R2 of 0.81, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 6.97%
- Beta
- 1.01
- R²
- 0.81
- Upside Capture
- 138.25%
- Downside Capture
- 106.58%
Expense Ratio
2020 has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
2020 ranks 96 for risk / return — in the top 96% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for 2020 and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 3.51 | 1.86 | +1.65 |
| Sortino ratioReturn per unit of downside risk | 4.78 | 2.53 | +2.25 |
| Omega ratioGain probability vs. loss probability | 1.66 | 1.34 | +0.32 |
| Calmar ratioReturn relative to maximum drawdown | 7.80 | 2.53 | +5.27 |
| Martin ratioReturn relative to average drawdown | 25.14 | 11.37 | +13.77 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
AMD Advanced Micro Devices, Inc. | 98 | 5.01 | 4.54 | 1.60 | 12.04 | 24.74 |
BNS The Bank of Nova Scotia | 96 | 3.73 | 5.22 | 1.68 | 4.69 | 18.38 |
CNI Canadian National Railway Company | 62 | 0.73 | 1.09 | 1.14 | 1.13 | 2.08 |
DIS The Walt Disney Company | 17 | -0.61 | -0.74 | 0.91 | -0.59 | -1.18 |
JNJ Johnson & Johnson | 96 | 3.42 | 4.94 | 1.61 | 5.28 | 15.52 |
MSFT Microsoft Corporation | 17 | -0.70 | -0.84 | 0.89 | -0.53 | -1.08 |
SU Suncor Energy Inc. | 92 | 2.60 | 3.17 | 1.42 | 5.44 | 14.28 |
V Visa Inc. | 14 | -0.56 | -0.68 | 0.92 | -0.73 | -1.57 |
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Dividends
Dividend yield
2020 provided a 1.74% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.74% | 1.93% | 2.31% | 2.56% | 2.09% | 1.72% | 1.93% | 1.84% | 2.41% | 2.16% | 2.29% | 2.74% |
| Portfolio components: | ||||||||||||
AMD Advanced Micro Devices, 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% |
BNS The Bank of Nova Scotia | 3.79% | 4.17% | 5.85% | 8.56% | 6.39% | 5.09% | 4.93% | 3.53% | 6.34% | 4.80% | 5.24% | 8.13% |
CNI Canadian National Railway Company | 2.20% | 2.58% | 2.43% | 1.85% | 1.41% | 1.61% | 1.59% | 1.79% | 2.01% | 2.00% | 2.23% | 2.24% |
DIS The Walt Disney Company | 1.25% | 1.10% | 0.85% | 0.33% | 0.00% | 0.00% | 0.00% | 1.22% | 1.57% | 1.51% | 1.43% | 1.30% |
JNJ Johnson & Johnson | 2.18% | 2.48% | 3.40% | 3.00% | 2.52% | 2.45% | 2.53% | 2.57% | 2.74% | 2.38% | 2.73% | 2.87% |
MSFT Microsoft Corporation | 0.91% | 0.70% | 0.73% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% |
SU Suncor Energy Inc. | 2.78% | 3.72% | 4.51% | 5.27% | 4.56% | 3.34% | 4.93% | 3.84% | 4.24% | 4.16% | 3.55% | 4.42% |
V Visa Inc. | 0.81% | 0.70% | 0.68% | 0.72% | 0.76% | 0.62% | 0.56% | 0.56% | 0.67% | 0.61% | 0.75% | 0.64% |
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 2020. 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 2020 was 51.76%, occurring on Mar 2, 2009. Recovery took 198 trading sessions.
The current 2020 drawdown is 1.37%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -51.76%Mar 2009 | 8mo 29d | 9mo 13d | 1y 6moJun 2008 - Dec 2009 |
COVID crash2020 | -35.75%Mar 2020 | 1mo 2d | 4mo 22d | 5mo 24dFeb 2020 - Aug 2020 |
Bear market2022 | -25.45%Oct 2022 | 6mo 16d | 1y 2mo | 1y 8moMar 2022 - Dec 2023 |
Rate-hike selloffLate 2018 | -22.62%Dec 2018 | 2mo 23d | 3mo 19d | 6mo 12dOct 2018 - Apr 2019 |
2011 bear market2011 | -22.25%Oct 2011 | 5mo 3d | 4mo 3d | 9mo 6dMay 2011 - Feb 2012 |
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. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 2.12 | 1.78 | 1.60 | 1.49 | 1.42 |
The portfolio has a diversification ratio of 1.42, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
2020 correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.72 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.76 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.84 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since Mar 19, 2008 | 0.84 |
Benchmark Correlations
Correlation vs. S&P 500 Index. MSFT has the highest benchmark correlation at 0.70, while SU has the lowest at 0.46.
Asset Correlations Table
| JNJ | SU | AMD | V | MSFT | DIS | BNS | CNI | |
|---|---|---|---|---|---|---|---|---|
| JNJ | 1.00 | 0.20 | 0.17 | 0.36 | 0.31 | 0.33 | 0.32 | 0.35 |
| SU | 0.20 | 1.00 | 0.27 | 0.30 | 0.27 | 0.34 | 0.51 | 0.44 |
| AMD | 0.17 | 0.27 | 1.00 | 0.35 | 0.44 | 0.34 | 0.34 | 0.34 |
| V | 0.36 | 0.30 | 0.35 | 1.00 | 0.48 | 0.47 | 0.41 | 0.43 |
| MSFT | 0.31 | 0.27 | 0.44 | 0.48 | 1.00 | 0.44 | 0.38 | 0.42 |
| DIS | 0.33 | 0.34 | 0.34 | 0.47 | 0.44 | 1.00 | 0.46 | 0.47 |
| BNS | 0.32 | 0.51 | 0.34 | 0.41 | 0.38 | 0.46 | 1.00 | 0.59 |
| CNI | 0.35 | 0.44 | 0.34 | 0.43 | 0.42 | 0.47 | 0.59 | 1.00 |
Find what 2020 is missing
See which holdings overlap, where 2020 is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification