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2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


MSFT 10%LVMUY 10%TXN 10%CPRT 10%ODFL 10%SYK 10%ATD.TO 10%MSCI 10%GOOGL 10%TFII.TO 10%EquityEquity
PositionCategory/SectorWeight
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%

S&P 500

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


500.00%1,000.00%1,500.00%2,000.00%2024FebruaryMarchAprilMayJune
2,140.36%
275.42%
2
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 Jun 25, 2024, the 2 returned 6.23% Year-To-Date and 23.41% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
14.22%2.70%14.58%25.29%13.38%10.79%
26.23%0.55%6.92%20.08%23.45%23.41%
MSFT
Microsoft Corporation
19.48%4.07%19.95%34.67%28.01%28.20%
LVMUY
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
-3.42%-4.69%-3.38%-12.67%14.94%18.13%
TXN
Texas Instruments Incorporated
15.48%-2.65%17.00%19.30%14.03%17.90%
CPRT
Copart, Inc.
12.04%1.63%12.48%23.12%24.08%28.17%
ODFL
Old Dominion Freight Line, Inc.
-12.89%1.89%-14.50%8.31%29.75%23.71%
SYK
Stryker Corporation
13.49%1.05%14.54%15.00%11.91%16.09%
ATD.TO
Alimentation Couche-Tard Inc.
-2.29%-2.16%0.50%20.27%13.54%15.54%
MSCI
MSCI Inc.
-13.00%-0.78%-12.47%6.36%16.95%27.79%
GOOGL
Alphabet Inc.
28.45%2.53%26.81%46.66%26.66%19.55%
TFII.TO
TFI International Inc.
3.20%5.06%6.56%33.53%37.24%21.82%

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.17%5.62%2.50%-7.47%3.33%6.23%
202310.40%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%
20202.94%-5.84%-11.35%14.79%7.70%2.72%7.72%5.77%-2.34%0.87%11.41%3.93%41.83%
20199.56%6.98%3.05%6.63%-4.10%6.87%3.59%-0.74%1.30%2.53%4.76%2.15%50.83%
20186.38%-2.01%0.57%1.90%6.05%-0.09%3.28%5.31%-1.36%-10.41%4.08%-7.68%4.53%
20173.98%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%1.36%0.70%2.52%1.49%-1.57%3.69%-0.45%3.33%5.58%0.31%19.99%
20138.04%-0.26%2.25%3.40%1.65%-2.52%5.20%-1.74%5.19%5.59%5.46%1.59%38.86%

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 26, 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 2 is 2626
2
The Sharpe Ratio Rank of 2 is 1919Sharpe Ratio Rank
The Sortino Ratio Rank of 2 is 1818Sortino Ratio Rank
The Omega Ratio Rank of 2 is 1818Omega Ratio Rank
The Calmar Ratio Rank of 2 is 4646Calmar Ratio Rank
The Martin Ratio Rank of 2 is 3030Martin 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.


2
Sharpe ratio
The chart of Sharpe ratio for 2, currently valued at 1.18, compared to the broader market0.002.004.001.18
Sortino ratio
The chart of Sortino ratio for 2, currently valued at 1.71, compared to the broader market-2.000.002.004.006.001.71
Omega ratio
The chart of Omega ratio for 2, currently valued at 1.20, compared to the broader market0.801.001.201.401.601.801.20
Calmar ratio
The chart of Calmar ratio for 2, currently valued at 1.50, compared to the broader market0.002.004.006.008.0010.001.50
Martin ratio
The chart of Martin ratio for 2, currently valued at 4.75, compared to the broader market0.0010.0020.0030.0040.0050.004.75
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.16, compared to the broader market0.002.004.002.16
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.06, compared to the broader market-2.000.002.004.006.003.06
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.72, compared to the broader market0.002.004.006.008.0010.001.72
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.08, compared to the broader market0.0010.0020.0030.0040.0050.008.08

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MSFT
Microsoft Corporation
1.732.311.302.676.57
LVMUY
LVMH Moët Hennessy - Louis Vuitton, Société Européenne
-0.58-0.710.92-0.50-0.84
TXN
Texas Instruments Incorporated
0.570.971.110.521.25
CPRT
Copart, Inc.
1.071.581.192.124.22
ODFL
Old Dominion Freight Line, Inc.
-0.19-0.060.99-0.24-0.54
SYK
Stryker Corporation
0.651.051.130.802.09
ATD.TO
Alimentation Couche-Tard Inc.
0.610.981.130.872.00
MSCI
MSCI Inc.
0.250.551.080.220.69
GOOGL
Alphabet Inc.
1.842.421.352.2711.18
TFII.TO
TFI International Inc.
0.791.251.171.002.15

Sharpe Ratio

The current 2 Sharpe ratio is 1.18. 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 1.51 to 2.35, 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.


Rolling 12-month Sharpe Ratio1.001.502.002.503.002024FebruaryMarchAprilMayJune
1.18
2.16
2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2 granted a 0.95% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
20.95%0.93%0.99%0.71%0.91%0.99%1.21%1.03%1.13%2.33%1.10%1.12%
MSFT
Microsoft Corporation
0.65%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
1.80%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
2.65%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.
0.52%0.39%0.42%0.22%0.31%0.36%0.42%0.30%0.00%0.00%0.00%0.00%
SYK
Stryker Corporation
0.91%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.
0.80%0.76%0.79%0.70%0.68%0.15%0.00%0.00%0.00%0.00%0.07%0.42%
MSCI
MSCI Inc.
1.22%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.
0.11%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.
0.78%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.


-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune
-3.07%
-0.71%
2
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 53.48%, occurring on Mar 9, 2009. Recovery took 273 trading sessions.

The current 2 drawdown is 3.07%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-53.48%Dec 31, 2007304Mar 9, 2009273Apr 1, 2010577
-33.83%Feb 20, 202023Mar 23, 202074Jul 6, 202097
-28%Nov 17, 2021150Jun 16, 2022216Apr 21, 2023366
-22.35%Jul 26, 201149Oct 3, 201180Jan 25, 2012129
-21.09%Aug 30, 201882Dec 24, 201856Mar 15, 2019138

Volatility

Volatility Chart

The current 2 volatility is 3.18%, 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.


2.50%3.00%3.50%4.00%4.50%2024FebruaryMarchAprilMayJune
3.18%
2.39%
2
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.TOTFII.TOLVMUYODFLSYKCPRTMSCIGOOGLMSFTTXN
ATD.TO1.000.270.260.240.260.250.260.260.260.26
TFII.TO0.271.000.340.390.320.330.310.290.310.35
LVMUY0.260.341.000.340.390.380.400.410.410.43
ODFL0.240.390.341.000.370.480.440.400.420.47
SYK0.260.320.390.371.000.440.450.450.460.47
CPRT0.250.330.380.480.441.000.480.450.460.47
MSCI0.260.310.400.440.450.481.000.480.500.47
GOOGL0.260.290.410.400.450.450.481.000.610.52
MSFT0.260.310.410.420.460.460.500.611.000.56
TXN0.260.350.430.470.470.470.470.520.561.00
The correlation results are calculated based on daily price changes starting from Nov 16, 2007