Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

2

Last updated Jul 25, 2024

Asset Allocation

Position	Category/Sector	Weight
ATD.TO Alimentation Couche-Tard Inc.	Consumer Cyclical	10%
CPRT Copart, Inc.	Industrials	10%
GOOGL Alphabet Inc.	Communication Services	10%
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	Consumer Cyclical	10%
MSCI MSCI Inc.	Financial Services	10%
MSFT Microsoft Corporation	Technology	10%
ODFL Old Dominion Freight Line, Inc.	Industrials	10%
SYK Stryker Corporation	Healthcare	10%
TFII.TO TFI International Inc.	Industrials	10%
TXN Texas Instruments Incorporated	Technology	10%

Benchmark

S&P 500

Rebalance portfolio

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2, 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

Benchmark (^GSPC)

Portfolio components

The earliest data available for this chart is Nov 15, 2007, corresponding to the inception date of MSCI

Returns By Period

As of Jul 25, 2024, the 2 returned 7.78% Year-To-Date and 23.43% of annualized return in the last 10 years.

	Year-To-Date	1 month	6 months	1 year	5 years (annualized)	10 years (annualized)
^GSPC S&P 500	13.20%	-1.28%	10.32%	18.23%	12.31%	10.58%
2	7.58%	1.19%	6.40%	13.53%	22.07%	23.53%
Portfolio components:
MSFT Microsoft Corporation	11.67%	-7.47%	3.96%	27.50%	24.96%	26.86%
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	-11.50%	-8.44%	-14.29%	-20.60%	12.33%	18.04%
TXN Texas Instruments Incorporated	17.41%	2.10%	21.97%	14.44%	11.87%	18.25%
CPRT Copart, Inc.	2.92%	-7.69%	4.93%	14.10%	20.12%	27.55%
ODFL Old Dominion Freight Line, Inc.	1.77%	16.85%	5.05%	0.28%	30.16%	25.86%
SYK Stryker Corporation	9.85%	-3.61%	5.65%	17.29%	9.87%	16.23%
ATD.TO Alimentation Couche-Tard Inc.	1.65%	6.13%	1.13%	18.75%	14.11%	15.97%
MSCI MSCI Inc.	-4.27%	10.54%	-1.42%	-1.67%	18.58%	28.65%
GOOGL Alphabet Inc.	19.89%	-9.03%	10.05%	29.42%	21.49%	18.57%
TFII.TO TFI International Inc.	15.24%	11.96%	16.92%	25.43%	39.54%	21.73%

Monthly Returns

The table below presents the monthly returns of 2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2024	1.17%	5.62%	2.50%	-7.47%	3.30%	1.57%							7.58%
2023	10.40%	0.53%	7.56%	-1.47%	1.12%	5.82%	3.99%	-0.20%	-4.78%	-3.64%	8.54%	4.97%	36.55%
2022	-8.80%	-1.69%	2.89%	-11.04%	0.13%	-7.39%	14.79%	-5.97%	-7.95%	6.55%	10.88%	-6.17%	-16.20%
2021	-0.84%	4.82%	4.86%	9.78%	2.76%	2.23%	8.31%	2.17%	-4.67%	8.48%	-3.37%	4.82%	45.72%
2020	2.94%	-5.84%	-11.35%	14.79%	7.70%	2.72%	7.72%	5.77%	-2.34%	0.87%	11.41%	3.93%	41.83%
2019	9.56%	6.98%	3.05%	6.63%	-4.10%	6.87%	3.59%	-0.74%	1.30%	2.53%	4.76%	2.15%	50.83%
2018	6.38%	-2.01%	0.57%	1.90%	6.05%	-0.09%	3.28%	5.31%	-1.37%	-10.41%	4.08%	-7.66%	4.56%
2017	3.98%	2.21%	1.28%	3.03%	2.09%	-0.18%	3.47%	2.50%	3.40%	5.58%	4.79%	1.83%	39.63%
2016	-3.25%	3.06%	6.33%	-0.71%	3.56%	-1.46%	8.61%	2.49%	-0.63%	2.80%	2.74%	1.51%	27.40%
2015	-2.60%	6.69%	-0.72%	-0.88%	-0.46%	-0.87%	5.50%	-5.86%	-0.63%	8.85%	2.00%	-2.98%	7.28%
2014	-1.45%	3.12%	1.35%	0.70%	2.52%	1.49%	-1.57%	3.69%	-0.45%	3.33%	5.58%	0.31%	19.98%
2013	8.04%	-0.26%	2.23%	3.40%	1.65%	-2.52%	5.18%	-1.74%	5.18%	5.59%	5.46%	1.57%	38.79%

Expense Ratio

2 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 Rank

The current rank of 2 is 23, indicating that it is in the bottom 23% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

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.

^GSPC

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
MSFT Microsoft Corporation	1.30	1.78	1.23	1.95	8.36
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	-0.78	-1.04	0.89	-0.67	-1.48
TXN Texas Instruments Incorporated	0.59	1.00	1.11	0.52	2.05
CPRT Copart, Inc.	0.66	1.04	1.12	1.03	2.69
ODFL Old Dominion Freight Line, Inc.	0.01	0.21	1.03	0.01	0.01
SYK Stryker Corporation	0.89	1.36	1.18	1.11	3.42
ATD.TO Alimentation Couche-Tard Inc.	0.91	1.35	1.17	1.32	2.82
MSCI MSCI Inc.	-0.01	0.18	1.03	-0.01	-0.03
GOOGL Alphabet Inc.	1.00	1.43	1.20	1.48	5.87
TFII.TO TFI International Inc.	0.73	1.15	1.16	0.89	1.86

Sharpe Ratio

The current 2 Sharpe ratio is 0.91. 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 1.24 to 1.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of 2 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.

Benchmark (^GSPC)

Portfolio components

Dividends

Dividend yield

2 granted a 0.94% dividend yield in the last twelve months.

	TTM	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014	2013
2	0.94%	0.93%	0.99%	0.71%	0.91%	0.99%	1.24%	1.03%	1.13%	2.33%	1.09%	1.08%
Portfolio components:
MSFT Microsoft Corporation	0.70%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%	2.48%	2.59%
LVMUY LVMH Moët Hennessy - Louis Vuitton, Société Européenne	1.97%	1.65%	1.78%	0.99%	1.64%	1.49%	2.21%	1.59%	2.11%	12.92%	2.38%	2.17%
TXN Texas Instruments Incorporated	2.61%	2.94%	2.84%	2.23%	2.27%	2.50%	2.78%	2.03%	2.25%	2.55%	2.32%	2.44%
CPRT Copart, 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%
ODFL Old Dominion Freight Line, Inc.	0.45%	0.39%	0.42%	0.22%	0.31%	0.36%	0.74%	0.30%	0.00%	0.00%	0.00%	0.00%
SYK Stryker Corporation	0.96%	1.02%	1.16%	0.97%	0.96%	1.02%	1.23%	1.13%	1.31%	1.52%	1.34%	1.46%
ATD.TO Alimentation Couche-Tard Inc.	0.81%	0.76%	0.79%	0.70%	0.68%	0.15%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MSCI MSCI Inc.	1.11%	0.98%	0.98%	0.59%	0.65%	0.98%	1.30%	1.04%	1.27%	1.11%	0.38%	0.00%
GOOGL Alphabet Inc.	0.12%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
TFII.TO TFI International Inc.	0.72%	0.80%	0.86%	0.68%	1.63%	2.24%	2.46%	2.37%	2.01%	2.88%	2.04%	2.12%

Drawdowns

Drawdowns Chart

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

Benchmark (^GSPC)

Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the 2. 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 2 was 53.54%, occurring on Mar 9, 2009. Recovery took 274 trading sessions.

The current 2 drawdown is 2.73%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-53.54%	Dec 31, 2007	304	Mar 9, 2009	274	Apr 5, 2010	578
-33.83%	Feb 20, 2020	23	Mar 23, 2020	74	Jul 6, 2020	97
-28%	Nov 17, 2021	150	Jun 16, 2022	216	Apr 21, 2023	366
-22.37%	Jul 26, 2011	49	Oct 3, 2011	85	Feb 1, 2012	134
-21.07%	Aug 30, 2018	82	Dec 24, 2018	56	Mar 15, 2019	138

Volatility

Volatility Chart

The current 2 volatility is 3.76%, 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.

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.

	ATD.TO	TFII.TO	LVMUY	ODFL	SYK	CPRT	MSCI	GOOGL	MSFT	TXN
ATD.TO	1.00	0.27	0.26	0.23	0.26	0.25	0.26	0.26	0.26	0.26
TFII.TO	0.27	1.00	0.34	0.40	0.32	0.33	0.31	0.29	0.30	0.35
LVMUY	0.26	0.34	1.00	0.34	0.39	0.38	0.40	0.41	0.41	0.43
ODFL	0.23	0.40	0.34	1.00	0.37	0.48	0.44	0.40	0.42	0.46
SYK	0.26	0.32	0.39	0.37	1.00	0.44	0.45	0.45	0.46	0.47
CPRT	0.25	0.33	0.38	0.48	0.44	1.00	0.48	0.45	0.46	0.47
MSCI	0.26	0.31	0.40	0.44	0.45	0.48	1.00	0.48	0.50	0.47
GOOGL	0.26	0.29	0.41	0.40	0.45	0.45	0.48	1.00	0.61	0.51
MSFT	0.26	0.30	0.41	0.42	0.46	0.46	0.50	0.61	1.00	0.55
TXN	0.26	0.35	0.43	0.46	0.47	0.47	0.47	0.51	0.55	1.00

The correlation results are calculated based on daily price changes starting from Nov 16, 2007