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Core Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


UNH 16.73%PGR 14.81%MSFT 12.64%SCHD 12%LMT 11.05%AVGO 10.7%EQIX 8.81%TSM 5.44%MRK 5.39%RTX 2.43%EquityEquity
PositionCategory/SectorWeight
AVGO
Broadcom Inc.
Technology

10.70%

EQIX
Equinix, Inc.
Real Estate

8.81%

LMT
Lockheed Martin Corporation
Industrials

11.05%

MRK
Merck & Co., Inc.
Healthcare

5.39%

MSFT
Microsoft Corporation
Technology

12.64%

PGR
The Progressive Corporation
Financial Services

14.81%

RTX
Raytheon Technologies Corporation
Industrials

2.43%

SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend

12%

TSM
Taiwan Semiconductor Manufacturing Company Limited
Technology

5.44%

UNH
UnitedHealth Group Incorporated
Healthcare

16.73%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Core Portfolio, 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


200.00%400.00%600.00%800.00%1,000.00%1,200.00%1,400.00%December2024FebruaryMarchAprilMay
1,442.19%
336.57%
Core Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 20, 2011, corresponding to the inception date of SCHD

Returns By Period

As of May 29, 2024, the Core Portfolio returned 12.98% Year-To-Date and 23.33% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
11.24%4.04%16.49%26.17%13.76%10.70%
Core Portfolio12.98%2.91%16.73%29.62%23.21%23.33%
MRK
Merck & Co., Inc.
16.39%-3.10%26.38%18.66%14.26%12.01%
SCHD
Schwab US Dividend Equity ETF
2.51%-0.62%9.77%14.42%13.07%10.85%
EQIX
Equinix, Inc.
-3.57%6.40%-3.92%6.82%11.59%17.59%
MSFT
Microsoft Corporation
14.85%7.17%14.00%30.94%29.65%28.64%
UNH
UnitedHealth Group Incorporated
-3.95%3.00%-5.16%6.58%17.61%22.16%
AVGO
Broadcom Inc.
27.07%5.52%51.46%79.30%46.00%38.61%
TSM
Taiwan Semiconductor Manufacturing Company Limited
53.89%15.10%62.61%59.19%36.70%26.09%
RTX
Raytheon Technologies Corporation
27.00%3.63%32.00%16.78%8.53%6.29%
PGR
The Progressive Corporation
29.53%-0.72%26.57%61.33%23.85%26.59%
LMT
Lockheed Martin Corporation
1.90%-1.94%4.52%5.23%9.02%13.86%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20243.67%4.11%3.44%-2.92%12.98%
20232.64%-0.85%3.69%0.35%2.77%3.83%0.11%-0.75%-2.86%5.16%6.09%2.55%24.78%
2022-2.30%-0.27%4.76%-4.69%2.25%-4.35%3.95%-2.68%-7.69%8.76%8.11%-2.43%1.93%
2021-1.76%0.34%6.64%3.77%1.62%1.79%0.79%1.69%-4.70%8.74%-1.76%9.08%28.43%
20201.90%-7.91%-4.13%11.76%2.56%2.13%6.72%5.15%-1.10%-3.36%7.14%5.48%27.66%
20197.23%4.31%2.91%4.26%-3.11%5.58%1.45%-0.30%0.75%2.88%5.42%2.94%39.67%
20184.70%-2.34%-1.05%0.59%2.46%-0.51%4.06%4.15%3.58%-6.69%3.10%-7.15%4.03%
20174.28%3.41%1.48%2.47%4.21%0.88%4.20%2.23%0.14%4.44%4.35%0.04%37.10%
2016-2.41%1.19%8.61%-2.28%3.68%3.17%2.35%0.55%-0.16%0.36%4.16%1.77%22.55%
2015-1.71%7.92%0.18%0.82%4.62%-3.08%3.46%-4.05%0.87%7.67%-0.49%2.75%19.76%
2014-1.36%6.12%3.00%-1.08%3.66%1.92%-1.42%6.62%1.19%3.74%4.23%0.39%30.07%
20134.29%1.10%4.51%3.06%3.96%0.01%2.76%-0.35%4.29%0.10%5.04%3.29%36.93%

Expense Ratio

Core Portfolio has an expense ratio of 0.01% which is considered to be low. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for SCHD: current value at 0.06% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.06%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of Core Portfolio is 91, placing it in the top 9% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Core Portfolio is 9191
Core Portfolio
The Sharpe Ratio Rank of Core Portfolio is 8888Sharpe Ratio Rank
The Sortino Ratio Rank of Core Portfolio is 9191Sortino Ratio Rank
The Omega Ratio Rank of Core Portfolio is 9191Omega Ratio Rank
The Calmar Ratio Rank of Core Portfolio is 9494Calmar Ratio Rank
The Martin Ratio Rank of Core Portfolio is 9090Martin 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.


Core Portfolio
Sharpe ratio
The chart of Sharpe ratio for Core Portfolio, currently valued at 3.01, compared to the broader market0.002.004.006.003.01
Sortino ratio
The chart of Sortino ratio for Core Portfolio, currently valued at 4.36, compared to the broader market-2.000.002.004.006.004.36
Omega ratio
The chart of Omega ratio for Core Portfolio, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.801.54
Calmar ratio
The chart of Calmar ratio for Core Portfolio, currently valued at 5.86, compared to the broader market0.002.004.006.008.0010.005.86
Martin ratio
The chart of Martin ratio for Core Portfolio, currently valued at 18.76, compared to the broader market0.0010.0020.0030.0040.0050.0018.76
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.43, compared to the broader market0.002.004.006.002.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.44, compared to the broader market-2.000.002.004.006.003.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.801.001.201.401.601.801.43
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.96, compared to the broader market0.002.004.006.008.0010.001.96
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.23, compared to the broader market0.0010.0020.0030.0040.0050.009.23

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MRK
Merck & Co., Inc.
0.871.441.171.082.52
SCHD
Schwab US Dividend Equity ETF
1.372.011.241.164.48
EQIX
Equinix, Inc.
0.430.841.100.451.24
MSFT
Microsoft Corporation
1.602.171.272.556.20
UNH
UnitedHealth Group Incorporated
0.320.601.080.351.04
AVGO
Broadcom Inc.
2.693.611.436.9717.62
TSM
Taiwan Semiconductor Manufacturing Company Limited
1.972.831.331.616.58
RTX
Raytheon Technologies Corporation
0.741.091.180.501.21
PGR
The Progressive Corporation
2.332.901.502.6321.38
LMT
Lockheed Martin Corporation
0.380.711.090.331.25

Sharpe Ratio

The current Core Portfolio Sharpe ratio is 3.01. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.72 to 2.56, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Core Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio1.001.502.002.503.00December2024FebruaryMarchAprilMay
3.01
2.43
Core Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Core Portfolio granted a 1.71% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Core Portfolio1.71%1.73%1.86%2.54%2.20%2.47%2.39%1.93%2.27%2.58%2.75%1.93%
MRK
Merck & Co., Inc.
2.38%2.72%2.52%3.41%3.03%2.48%2.60%3.36%3.14%3.42%3.11%3.45%
SCHD
Schwab US Dividend Equity ETF
3.45%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%
EQIX
Equinix, Inc.
2.11%1.80%1.89%1.36%1.49%1.69%2.59%1.77%1.96%5.86%3.34%0.00%
MSFT
Microsoft Corporation
0.68%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%2.59%
UNH
UnitedHealth Group Incorporated
1.49%1.38%1.21%1.12%1.38%1.41%1.38%1.30%1.48%1.59%1.39%1.40%
AVGO
Broadcom Inc.
1.39%1.71%3.02%2.24%3.05%3.54%3.11%1.94%1.52%1.23%1.34%1.87%
TSM
Taiwan Semiconductor Manufacturing Company Limited
1.24%1.78%2.48%1.56%1.58%3.49%3.55%2.32%2.61%2.54%1.79%2.30%
RTX
Raytheon Technologies Corporation
2.27%2.76%2.14%2.33%2.64%1.96%2.66%2.13%2.39%2.66%2.05%1.93%
PGR
The Progressive Corporation
0.56%0.25%0.31%6.23%2.68%3.87%1.86%1.21%2.50%2.16%5.53%1.05%
LMT
Lockheed Martin Corporation
2.68%2.68%2.34%2.98%2.76%2.31%3.13%2.32%2.71%2.83%2.85%3.22%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%December2024FebruaryMarchAprilMay
-1.71%
-0.29%
Core Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Core Portfolio. 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 Core Portfolio was 29.68%, occurring on Mar 23, 2020. Recovery took 53 trading sessions.

The current Core Portfolio drawdown is 1.71%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-29.68%Feb 13, 202027Mar 23, 202053Jun 8, 202080
-16.7%Oct 3, 201857Dec 24, 201837Feb 19, 201994
-15.44%Apr 8, 2022131Oct 14, 202232Nov 30, 2022163
-10.85%Jul 21, 201526Aug 25, 201539Oct 20, 201565
-9.44%Apr 3, 201243Jun 4, 201272Sep 14, 2012115

Volatility

Volatility Chart

The current Core Portfolio volatility is 2.99%, 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.


2.00%2.50%3.00%3.50%4.00%December2024FebruaryMarchAprilMay
2.99%
3.00%
Core Portfolio
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.

EQIXMRKTSMUNHLMTPGRAVGOMSFTRTXSCHD
EQIX1.000.270.280.290.250.280.330.400.270.41
MRK0.271.000.160.380.320.370.220.290.330.47
TSM0.280.161.000.240.220.230.550.470.320.49
UNH0.290.380.241.000.340.350.280.350.360.47
LMT0.250.320.220.341.000.390.250.290.570.52
PGR0.280.370.230.350.391.000.270.340.430.52
AVGO0.330.220.550.280.250.271.000.510.370.53
MSFT0.400.290.470.350.290.340.511.000.380.56
RTX0.270.330.320.360.570.430.370.381.000.67
SCHD0.410.470.490.470.520.520.530.560.671.00
The correlation results are calculated based on daily price changes starting from Oct 21, 2011