PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
RRSPDividend
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


SCHD 20%XOM 10%TGT 10%T 10%PRS 10%SBUX 10%JPM 10%JNJ 5%ABBV 5%LOW 5%PEP 5%EquityEquity
PositionCategory/SectorWeight
ABBV
AbbVie Inc.
Healthcare
5%
JNJ
Johnson & Johnson
Healthcare
5%
JPM
JPMorgan Chase & Co.
Financial Services
10%
LOW
Lowe's Companies, Inc.
Consumer Cyclical
5%
PEP
PepsiCo, Inc.
Consumer Defensive
5%
PRS
Prudential Financial, Inc.
10%
SBUX
Starbucks Corporation
Consumer Cyclical
10%
SCHD
Schwab US Dividend Equity ETF
Large Cap Growth Equities, Dividend
20%
T
AT&T Inc.
Communication Services
10%
TGT
Target Corporation
Consumer Defensive
10%
XOM
Exxon Mobil Corporation
Energy
10%

Performance

Performance Chart

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


-5.00%0.00%5.00%10.00%MayJuneJulyAugustSeptemberOctober
8.39%
10.51%
RRSPDividend
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 22, 2018, corresponding to the inception date of PRS

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
20.57%4.18%10.51%35.06%14.29%11.53%
RRSPDividend16.73%2.01%8.39%30.09%13.01%N/A
SCHD
Schwab US Dividend Equity ETF
14.26%2.28%9.24%26.97%13.27%11.95%
JNJ
Johnson & Johnson
4.66%-4.22%6.84%5.23%6.61%7.51%
ABBV
AbbVie Inc.
28.93%-1.38%16.42%36.86%26.60%17.93%
XOM
Exxon Mobil Corporation
25.75%7.47%2.64%16.41%17.89%7.21%
TGT
Target Corporation
9.74%0.26%-9.68%50.17%9.47%12.69%
T
AT&T Inc.
36.89%6.51%29.75%57.84%1.45%4.13%
PRS
Prudential Financial, Inc.
4.83%0.36%2.79%15.89%3.39%N/A
SBUX
Starbucks Corporation
2.58%4.60%12.72%7.21%4.56%12.14%
LOW
Lowe's Companies, Inc.
22.09%9.09%12.96%36.79%22.27%19.71%
PEP
PepsiCo, Inc.
1.20%-5.19%0.85%8.18%6.67%9.21%
JPM
JPMorgan Chase & Co.
27.14%-3.11%8.23%51.34%16.35%16.77%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.09%3.26%5.18%-4.25%0.78%-0.44%4.36%4.56%1.39%16.73%
20234.83%-2.51%-0.65%1.69%-7.47%3.73%2.54%-2.14%-2.83%-3.05%7.71%3.86%4.81%
2022-0.63%-3.02%2.28%-2.74%2.27%-6.36%4.99%-2.67%-5.32%11.64%6.55%-3.05%2.45%
2021-0.10%5.50%6.12%2.93%2.48%0.32%1.42%-0.07%-2.61%4.59%-3.07%4.94%24.28%
2020-3.82%-8.14%-13.60%13.04%4.57%-1.38%3.05%5.55%-2.52%-1.49%12.35%4.26%8.87%
20195.65%3.35%2.88%2.98%-4.57%6.18%1.70%2.36%2.38%0.85%3.68%3.15%34.72%
20180.32%2.18%-4.79%2.74%-7.43%-7.18%

Expense Ratio

RRSPDividend has an expense ratio of 0.01%, which is considered low compared to other funds. 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 rank of RRSPDividend is 51, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of RRSPDividend is 5151
RRSPDividend
The Sharpe Ratio Rank of RRSPDividend is 5252Sharpe Ratio Rank
The Sortino Ratio Rank of RRSPDividend is 6868Sortino Ratio Rank
The Omega Ratio Rank of RRSPDividend is 6262Omega Ratio Rank
The Calmar Ratio Rank of RRSPDividend is 4747Calmar Ratio Rank
The Martin Ratio Rank of RRSPDividend is 2828Martin 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.


RRSPDividend
Sharpe ratio
The chart of Sharpe ratio for RRSPDividend, currently valued at 2.63, compared to the broader market0.002.004.002.63
Sortino ratio
The chart of Sortino ratio for RRSPDividend, currently valued at 3.89, compared to the broader market-2.000.002.004.006.003.89
Omega ratio
The chart of Omega ratio for RRSPDividend, currently valued at 1.49, compared to the broader market0.801.001.201.401.601.802.001.49
Calmar ratio
The chart of Calmar ratio for RRSPDividend, currently valued at 2.34, compared to the broader market0.002.004.006.008.0010.0012.002.34
Martin ratio
The chart of Martin ratio for RRSPDividend, currently valued at 11.64, compared to the broader market0.0010.0020.0030.0040.0050.0011.64
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.79, compared to the broader market0.002.004.002.80
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.73, compared to the broader market-2.000.002.004.006.003.73
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.51, compared to the broader market0.801.001.201.401.601.802.001.51
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.46, compared to the broader market0.002.004.006.008.0010.0012.002.46
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 17.01, compared to the broader market0.0010.0020.0030.0040.0050.0017.01

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SCHD
Schwab US Dividend Equity ETF
2.283.261.402.0111.96
JNJ
Johnson & Johnson
0.410.701.090.341.20
ABBV
AbbVie Inc.
1.942.481.352.317.08
XOM
Exxon Mobil Corporation
0.681.101.130.742.19
TGT
Target Corporation
1.392.511.310.824.62
T
AT&T Inc.
2.843.931.491.6017.52
PRS
Prudential Financial, Inc.
1.732.581.321.6911.90
SBUX
Starbucks Corporation
0.230.701.100.220.50
LOW
Lowe's Companies, Inc.
1.662.401.301.374.67
PEP
PepsiCo, Inc.
0.150.331.040.140.59
JPM
JPMorgan Chase & Co.
2.663.071.483.2315.15

Sharpe Ratio

The current RRSPDividend Sharpe ratio is 2.57. 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 2.20 to 2.96, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of RRSPDividend 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 Ratio0.501.001.502.002.50MayJuneJulyAugustSeptemberOctober
2.63
2.80
RRSPDividend
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

RRSPDividend granted a 3.36% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
RRSPDividend3.36%3.64%3.52%3.51%3.84%3.33%3.37%2.61%2.60%2.67%2.32%2.23%
SCHD
Schwab US Dividend Equity ETF
3.46%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%2.47%
JNJ
Johnson & Johnson
3.03%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%2.83%
ABBV
AbbVie Inc.
3.16%3.82%3.49%3.84%4.41%4.83%3.89%2.65%3.64%3.41%2.54%3.03%
XOM
Exxon Mobil Corporation
3.10%3.68%3.22%5.70%8.44%4.92%4.74%3.66%3.30%3.69%2.92%2.43%
TGT
Target Corporation
2.89%3.06%2.66%1.37%1.52%2.03%3.81%3.74%3.21%2.97%2.50%2.50%
T
AT&T Inc.
5.07%6.62%6.66%8.45%7.23%5.22%7.01%5.04%4.51%5.46%5.48%5.12%
PRS
Prudential Financial, Inc.
5.61%5.63%5.74%5.18%4.93%5.16%1.52%0.00%0.00%0.00%0.00%0.00%
SBUX
Starbucks Corporation
2.36%2.25%2.02%1.57%1.57%1.69%2.05%1.83%1.53%0.87%0.00%0.00%
LOW
Lowe's Companies, Inc.
1.66%1.93%1.86%1.08%1.40%1.72%1.93%1.64%1.77%1.34%1.19%1.37%
PEP
PepsiCo, Inc.
3.12%2.91%2.50%2.45%2.71%2.77%3.25%2.64%2.83%2.76%2.68%2.70%
JPM
JPMorgan Chase & Co.
2.18%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%2.33%

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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober0
-0.20%
RRSPDividend
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the RRSPDividend. 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 RRSPDividend was 33.69%, occurring on Mar 23, 2020. Recovery took 162 trading sessions.

The current RRSPDividend drawdown is 0.49%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.69%Jan 21, 202044Mar 23, 2020162Nov 10, 2020206
-15%Sep 24, 201864Dec 24, 201859Mar 21, 2019123
-12.97%Jan 12, 2022109Jun 17, 2022101Nov 10, 2022210
-12.68%Feb 3, 2023185Oct 27, 202344Jan 2, 2024229
-6.69%Apr 1, 202442May 29, 202443Jul 31, 202485

Volatility

Volatility Chart

The current RRSPDividend volatility is 2.22%, 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%3.00%4.00%5.00%6.00%MayJuneJulyAugustSeptemberOctober
2.22%
3.37%
RRSPDividend
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.

PRSXOMABBVJNJTGTPEPTSBUXLOWJPMSCHD
PRS1.000.140.140.150.220.210.210.270.280.190.30
XOM0.141.000.280.210.260.180.360.240.280.500.58
ABBV0.140.281.000.440.250.370.300.250.280.310.46
JNJ0.150.210.441.000.270.500.350.300.290.280.48
TGT0.220.260.250.271.000.300.310.370.510.380.54
PEP0.210.180.370.500.301.000.340.420.350.240.50
T0.210.360.300.350.310.341.000.290.310.440.56
SBUX0.270.240.250.300.370.420.291.000.440.420.55
LOW0.280.280.280.290.510.350.310.441.000.400.61
JPM0.190.500.310.280.380.240.440.420.401.000.73
SCHD0.300.580.460.480.540.500.560.550.610.731.00
The correlation results are calculated based on daily price changes starting from Aug 23, 2018