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SF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

SF

Currency in USD · Last updated May 11, 2025

Asset Allocation

AAPL 25%MSFT 25%NVDA 25%RHM.DE 25%EquityEquity
PositionCategory/SectorTarget Weight
AAPL
Apple Inc		Technology
25%
MSFT
Microsoft Corporation		Technology
25%
NVDA
NVIDIA Corporation		Technology
25%
RHM.DE
Rheinmetall AG		Industrials
25%

Performance

Performance Chart

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The earliest data available for this chart is Jan 22, 1999, corresponding to the inception date of NVDA

Returns By Period

As of May 11, 2025, the SF returned 34.84% Year-To-Date and 46.56% of annualized return in the last 10 years.

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-3.77%7.44%-5.60%8.37%14.12%10.46%
SF34.84%13.31%37.78%69.17%58.09%46.56%
Portfolio components:
AAPL
Apple Inc		-20.63%4.26%-12.43%8.82%20.41%20.98%
MSFT
Microsoft Corporation		4.30%15.05%4.25%6.59%19.16%26.03%
NVDA
NVIDIA Corporation		-13.13%8.44%-20.97%29.82%68.57%70.20%
RHM.DE
Rheinmetall AG		197.87%23.34%225.57%233.81%94.48%44.59%
*Annualized

Monthly Returns

The table below presents the monthly returns of SF, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20251.21%10.66%7.70%5.09%6.37%34.84%
20249.18%16.47%10.12%-3.59%12.88%5.12%0.20%3.93%-1.18%-1.07%10.14%-0.33%79.01%
202316.21%8.55%16.28%2.02%9.03%8.29%3.48%-0.96%-7.68%2.80%10.72%2.89%95.78%
2022-3.94%10.54%19.69%-11.25%-4.46%-3.29%6.69%-9.68%-11.95%6.68%14.22%-8.26%-1.16%
20210.71%-1.94%0.23%7.50%1.21%9.77%1.64%6.70%-5.27%11.39%8.39%-0.01%46.62%
20201.85%-4.15%-7.35%8.90%14.81%9.93%9.47%14.36%-4.72%-8.94%10.63%8.06%61.44%
20198.35%5.62%7.08%6.83%-11.62%13.94%1.40%0.47%4.78%6.21%3.07%7.60%65.77%
201812.07%-0.64%-1.70%-2.37%7.74%-4.68%5.79%7.42%-0.66%-13.09%-7.29%-10.11%-10.25%
20176.29%1.51%6.23%2.35%13.01%-1.78%6.58%5.16%2.21%10.46%2.03%-0.93%66.54%
2016-3.37%0.06%11.65%-6.50%8.96%-4.65%14.89%3.89%3.83%1.97%8.13%5.81%51.64%
2015-3.14%12.88%-4.95%8.33%0.85%-5.53%2.27%3.47%2.13%11.31%4.27%0.46%35.17%
2014-2.01%10.92%-0.54%1.49%4.44%1.35%-3.32%3.97%-3.33%0.87%5.25%-3.03%16.19%

Expense Ratio

SF 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.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 97, SF is among the top 3% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of SF is 9797
Overall Rank
The Sharpe Ratio Rank of SF is 9797
Sharpe Ratio Rank
The Sortino Ratio Rank of SF is 9797
Sortino Ratio Rank
The Omega Ratio Rank of SF is 9696
Omega Ratio Rank
The Calmar Ratio Rank of SF is 9898
Calmar Ratio Rank
The Martin Ratio Rank of SF is 9898
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 ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc		0.250.441.060.150.50
MSFT
Microsoft Corporation		0.280.471.060.210.47
NVDA
NVIDIA Corporation		0.521.001.130.711.75
RHM.DE
Rheinmetall AG		4.815.461.7513.5832.12

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.

SF Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 2.45
  • 5-Year: 2.16
  • 10-Year: 1.77
  • All Time: 1.02

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 0.41 to 0.94, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of SF compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

SF provided a 0.37% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio0.37%0.52%0.69%0.91%0.91%1.80%1.14%1.54%1.24%1.62%1.49%1.74%
Portfolio components:
AAPL
Apple Inc		0.38%0.40%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%
MSFT
Microsoft Corporation		0.72%0.73%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%
NVDA
NVIDIA Corporation		0.03%0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%
RHM.DE
Rheinmetall AG		0.34%0.93%1.50%1.77%2.41%5.54%2.05%2.20%1.37%1.72%0.49%1.10%

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 SF. 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 SF was 67.65%, occurring on Nov 20, 2008. Recovery took 548 trading sessions.

The current SF drawdown is 0.08%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-67.65%Nov 7, 2007269Nov 20, 2008548Jan 6, 2011817
-59.07%Mar 14, 2000202Dec 21, 2000261Dec 27, 2001463
-50.85%Jan 4, 2002198Oct 9, 2002320Jan 7, 2004518
-35.26%Apr 5, 2022138Oct 14, 2022106Mar 14, 2023244
-33.19%Feb 20, 202022Mar 20, 202051Jun 2, 202073

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 4 assets, with an effective number of assets of 4.00, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCRHM.DEAAPLNVDAMSFTPortfolio
^GSPC1.000.250.580.560.690.70
RHM.DE0.251.000.100.160.130.46
AAPL0.580.101.000.430.500.68
NVDA0.560.160.431.000.480.79
MSFT0.690.130.500.481.000.67
Portfolio0.700.460.680.790.671.00
The correlation results are calculated based on daily price changes starting from Jan 25, 1999