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Pension fund/long-term
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BAC 10%C 10%BABA 6%MDLZ 5.5%NSRGY 5.5%KO 5.5%BN.PA 5.5%UL 5.5%GIS 5.5%K 5.5%PEP 5.5%PM 5.5%KHC 5.5%AAPL 5.5%ATVI 5%FND 3%CVX 2%GM 2%^GSPC 1%EquityEquity
PositionCategory/SectorWeight
^GSPC
S&P 500

1%

AAPL
Apple Inc.
Technology

5.50%

ATVI
Activision Blizzard, Inc.
Communication Services

5%

BABA
Alibaba Group Holding Limited
Consumer Cyclical

6%

BAC
Bank of America Corporation
Financial Services

10%

BN.PA
Danone S.A.
Consumer Defensive

5.50%

C
Citigroup Inc.
Financial Services

10%

CVX
Chevron Corporation
Energy

2%

FND
Floor & Decor Holdings, Inc.
Consumer Cyclical

3%

GIS
General Mills, Inc.
Consumer Defensive

5.50%

GM
General Motors Company
Consumer Cyclical

2%

K
Kellogg Company
Consumer Defensive

5.50%

KHC
The Kraft Heinz Company
Consumer Defensive

5.50%

KO
The Coca-Cola Company
Consumer Defensive

5.50%

KR
The Kroger Co.
Consumer Defensive

0.50%

MDLZ
Mondelez International, Inc.
Consumer Defensive

5.50%

NSRGY
Nestlé S.A.
Consumer Defensive

5.50%

PEP
PepsiCo, Inc.
Consumer Defensive

5.50%

PM
Philip Morris International Inc.
Consumer Defensive

5.50%

UL
The Unilever Group
Consumer Defensive

5.50%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Pension fund/long-term, 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


0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
17.99%
19.37%
19.37%
Pension fund/long-term
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 26, 2017, corresponding to the inception date of FND

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.30%-3.13%19.37%22.56%11.65%10.55%
Pension fund/long-term4.49%1.16%17.98%4.95%8.47%N/A
MDLZ
Mondelez International, Inc.
-1.72%-1.68%9.23%0.85%9.37%9.42%
NSRGY
Nestlé S.A.
-7.90%1.60%-2.89%-17.68%4.19%6.05%
KO
The Coca-Cola Company
3.72%0.25%10.73%-2.15%7.96%7.36%
BN.PA
Danone S.A.
-1.53%-0.93%10.99%-0.63%-1.10%4.36%
UL
The Unilever Group
-0.14%-4.02%0.68%-8.80%-0.55%4.35%
GIS
General Mills, Inc.
10.65%3.36%13.24%-16.30%10.38%6.62%
K
Kellogg Company
3.99%4.66%16.95%-6.44%3.26%1.05%
PEP
PepsiCo, Inc.
0.81%-0.47%6.37%-5.69%8.95%10.29%
PM
Philip Morris International Inc.
5.25%7.46%10.52%4.89%8.89%6.83%
KR
The Kroger Co.
22.48%-1.63%29.23%18.15%18.71%11.51%
BAC
Bank of America Corporation
14.76%3.56%52.92%33.02%7.43%11.37%
CVX
Chevron Corporation
10.37%5.30%6.19%-1.10%11.20%7.21%
KHC
The Kraft Heinz Company
4.13%6.19%22.83%1.66%7.94%0.04%
ATVI
Activision Blizzard, Inc.
0.00%0.00%0.00%10.86%15.02%N/A
AAPL
Apple Inc.
-13.20%-3.12%-3.52%1.49%26.82%25.01%
GM
General Motors Company
25.93%4.74%58.83%33.02%4.06%5.75%
FND
Floor & Decor Holdings, Inc.
-1.43%-15.54%36.17%11.19%17.63%N/A
C
Citigroup Inc.
22.99%3.04%64.63%33.68%1.82%5.27%
BABA
Alibaba Group Holding Limited
-6.45%0.53%-11.33%-15.43%-16.74%N/A
^GSPC
S&P 500
6.30%-3.13%19.37%22.56%11.33%10.55%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.33%-0.14%4.53%
2023-3.52%-3.28%6.98%5.09%

Expense Ratio

The Pension fund/long-term 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.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

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.


Pension fund/long-term
Sharpe ratio
The chart of Sharpe ratio for Pension fund/long-term, currently valued at 0.57, compared to the broader market-1.000.001.002.003.004.005.000.57
Sortino ratio
The chart of Sortino ratio for Pension fund/long-term, currently valued at 0.88, compared to the broader market0.002.004.006.000.88
Omega ratio
The chart of Omega ratio for Pension fund/long-term, currently valued at 1.10, compared to the broader market0.801.001.201.401.601.801.10
Calmar ratio
The chart of Calmar ratio for Pension fund/long-term, currently valued at 0.42, compared to the broader market0.002.004.006.008.000.42
Martin ratio
The chart of Martin ratio for Pension fund/long-term, currently valued at 1.04, compared to the broader market0.0010.0020.0030.0040.0050.001.04
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.02, compared to the broader market-1.000.001.002.003.004.005.002.02
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.92, compared to the broader market0.002.004.006.002.93
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.51, compared to the broader market0.002.004.006.008.001.51
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.82, compared to the broader market0.0010.0020.0030.0040.0050.007.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MDLZ
Mondelez International, Inc.
-0.40-0.430.95-0.31-0.77
NSRGY
Nestlé S.A.
-1.08-1.440.83-0.69-1.31
KO
The Coca-Cola Company
-0.17-0.150.98-0.13-0.33
BN.PA
Danone S.A.
-0.010.081.01-0.01-0.03
UL
The Unilever Group
-0.74-1.030.88-0.55-1.15
GIS
General Mills, Inc.
-0.97-1.280.85-0.57-0.76
K
Kellogg Company
-0.60-0.720.91-0.36-0.73
PEP
PepsiCo, Inc.
-0.57-0.680.91-0.49-0.84
PM
Philip Morris International Inc.
0.420.731.080.451.16
KR
The Kroger Co.
0.741.221.160.542.16
BAC
Bank of America Corporation
1.692.551.300.874.93
CVX
Chevron Corporation
0.290.541.070.270.71
KHC
The Kraft Heinz Company
0.060.191.030.020.08
ATVI
Activision Blizzard, Inc.
2.026.052.150.9346.88
AAPL
Apple Inc.
-0.020.101.01-0.03-0.06
GM
General Motors Company
1.271.981.230.642.56
FND
Floor & Decor Holdings, Inc.
0.290.671.080.230.75
C
Citigroup Inc.
1.852.731.320.865.07
BABA
Alibaba Group Holding Limited
-0.28-0.180.98-0.13-0.49
^GSPC
S&P 500
2.022.931.351.517.82

Sharpe Ratio

The current Pension fund/long-term Sharpe ratio is 0.57. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.005.000.57

The Sharpe ratio of Pension fund/long-term is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
0.57
2.02
2.02
Pension fund/long-term
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Pension fund/long-term granted a 2.81% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Pension fund/long-term2.81%2.90%2.64%2.49%2.67%2.50%3.04%2.13%2.15%2.08%2.07%1.93%
MDLZ
Mondelez International, Inc.
2.35%2.24%2.21%2.01%2.05%1.98%2.40%1.92%1.62%1.43%1.60%1.90%
NSRGY
Nestlé S.A.
3.31%2.76%2.64%2.18%2.34%2.24%3.12%2.68%3.16%3.11%3.31%2.96%
KO
The Coca-Cola Company
3.08%3.12%2.77%2.84%2.99%2.89%3.29%3.23%3.38%3.07%2.89%2.71%
BN.PA
Danone S.A.
3.36%3.41%3.94%3.55%3.91%2.63%3.09%2.43%2.66%2.41%2.66%2.77%
UL
The Unilever Group
3.87%3.83%3.61%3.77%3.07%3.18%3.49%2.82%3.44%3.06%3.72%3.39%
GIS
General Mills, Inc.
3.33%3.47%2.50%3.03%3.37%3.66%5.03%3.27%3.01%3.00%3.02%2.85%
K
Kellogg Company
3.85%3.99%3.29%3.59%3.67%3.27%3.86%3.12%2.77%2.74%2.91%2.95%
PEP
PepsiCo, Inc.
2.96%2.91%2.50%2.45%2.71%2.77%3.25%2.64%2.83%2.76%2.68%2.70%
PM
Philip Morris International Inc.
5.29%5.46%4.98%5.16%5.73%5.43%6.73%3.99%4.50%4.60%4.76%4.11%
KR
The Kroger Co.
2.03%2.41%2.11%1.72%2.14%2.07%1.93%1.79%1.30%0.94%1.06%1.56%
BAC
Bank of America Corporation
2.45%2.73%2.60%1.75%2.38%1.87%2.19%1.32%1.13%1.19%0.67%0.26%
CVX
Chevron Corporation
3.78%4.05%3.16%4.52%6.11%3.95%4.12%3.45%3.64%4.76%3.75%3.12%
KHC
The Kraft Heinz Company
4.20%4.33%3.93%4.46%4.62%4.98%5.81%3.15%2.69%3.09%3.43%3.80%
ATVI
Activision Blizzard, Inc.
1.05%1.05%0.61%0.70%0.44%0.62%0.73%0.47%0.72%0.59%0.99%1.07%
AAPL
Apple Inc.
0.58%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
GM
General Motors Company
0.86%1.00%0.54%0.00%0.91%4.15%4.54%3.71%4.36%4.06%3.44%0.00%
FND
Floor & Decor Holdings, 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%
C
Citigroup Inc.
3.35%4.04%4.51%3.38%3.31%2.40%2.96%1.29%0.71%0.31%0.07%0.08%
BABA
Alibaba Group Holding Limited
1.38%1.29%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
^GSPC
S&P 500
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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-0.23%
-3.50%
-3.50%
Pension fund/long-term
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Pension fund/long-term. 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 Pension fund/long-term was 31.06%, occurring on Mar 23, 2020. Recovery took 101 trading sessions.

The current Pension fund/long-term drawdown is 0.23%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-31.06%Feb 13, 202028Mar 23, 2020101Aug 12, 2020129
-23.69%Jan 29, 2018235Dec 24, 2018185Sep 12, 2019420
-17.8%Jan 18, 2022190Oct 11, 2022206Jul 28, 2023396
-14.47%Jul 31, 202365Oct 27, 2023100Mar 19, 2024165
-9.28%Sep 3, 202015Sep 23, 202044Nov 24, 202059

Volatility

Volatility Chart

The current Pension fund/long-term volatility is 3.61%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
3.61%
3.58%
3.58%
Pension fund/long-term
Benchmark (^GSPC)
Portfolio components

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.

KRATVIBABABN.PAFNDCVXGISGMNSRGYKAAPLBACPMULCKHCPEPKOMDLZ^GSPC
KR1.000.110.060.100.120.180.340.130.150.350.100.180.190.200.160.310.250.210.290.20
ATVI0.111.000.310.120.240.130.130.140.210.120.410.150.130.180.160.190.230.150.240.43
BABA0.060.311.000.150.290.210.010.300.190.010.400.290.140.190.320.130.110.110.150.45
BN.PA0.100.120.151.000.130.140.170.160.460.210.160.170.250.470.210.220.260.290.310.27
FND0.120.240.290.131.000.240.070.420.210.060.390.350.190.220.360.160.220.220.230.55
CVX0.180.130.210.140.241.000.100.400.120.130.240.500.290.170.510.260.160.260.190.46
GIS0.340.130.010.170.070.101.000.090.290.700.110.110.330.350.100.550.530.450.570.20
GM0.130.140.300.160.420.400.091.000.180.100.300.570.270.170.580.260.190.260.230.55
NSRGY0.150.210.190.460.210.120.290.181.000.290.270.140.300.520.160.290.410.380.410.36
K0.350.120.010.210.060.130.700.100.291.000.090.140.390.390.130.560.530.460.560.21
AAPL0.100.410.400.160.390.240.110.300.270.091.000.320.230.270.340.210.310.270.320.73
BAC0.180.150.290.170.350.500.110.570.140.140.321.000.310.170.840.260.180.290.260.60
PM0.190.130.140.250.190.290.330.270.300.390.230.311.000.340.340.390.450.510.460.39
UL0.200.180.190.470.220.170.350.170.520.390.270.170.341.000.190.340.480.460.490.39
C0.160.160.320.210.360.510.100.580.160.130.340.840.340.191.000.280.180.290.250.62
KHC0.310.190.130.220.160.260.550.260.290.560.210.260.390.340.281.000.480.450.560.35
PEP0.250.230.110.260.220.160.530.190.410.530.310.180.450.480.180.481.000.720.680.45
KO0.210.150.110.290.220.260.450.260.380.460.270.290.510.460.290.450.721.000.620.47
MDLZ0.290.240.150.310.230.190.570.230.410.560.320.260.460.490.250.560.680.621.000.47
^GSPC0.200.430.450.270.550.460.200.550.360.210.730.600.390.390.620.350.450.470.471.00