20MAXCAPSP500 3
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 20MAXCAPSP500 3, 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
The earliest data available for this chart is Jul 17, 2010, corresponding to the inception date of BTC-USD
Returns By Period
As of Jul 25, 2024, the 20MAXCAPSP500 3 returned 11.77% Year-To-Date and 15.88% 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% |
| 20MAXCAPSP500 3 | 11.78% | 0.33% | 8.32% | 13.83% | 14.96% | 15.95% |
| Portfolio components: | ||||||
PG The Procter & Gamble Company | 16.05% | 0.27% | 8.23% | 12.50% | 10.49% | 10.91% |
JNJ Johnson & Johnson | 3.45% | 8.73% | 1.66% | -5.21% | 6.98% | 7.49% |
AAPL Apple Inc | 13.26% | 1.99% | 13.33% | 13.16% | 34.12% | 25.89% |
GOOGL Alphabet Inc. | 19.89% | -9.03% | 10.05% | 29.42% | 21.88% | 18.88% |
AMZN Amazon.com, Inc. | 18.37% | -7.11% | 13.03% | 40.23% | 13.11% | 27.37% |
V Visa Inc. | -2.18% | -7.26% | -4.95% | 9.07% | 7.41% | 17.69% |
MSFT Microsoft Corporation | 11.67% | -7.47% | 3.96% | 27.50% | 25.42% | 27.33% |
JPM JPMorgan Chase & Co. | 24.84% | 6.28% | 22.50% | 37.11% | 15.76% | 16.72% |
MA Mastercard Inc | 1.17% | -4.89% | -1.76% | 9.54% | 9.39% | 19.67% |
KO The Coca-Cola Company | 13.89% | 3.15% | 13.05% | 9.20% | 7.33% | 8.45% |
PFE Pfizer Inc. | 6.51% | 8.53% | 9.97% | -14.15% | -2.22% | 4.47% |
MCD McDonald's Corporation | -14.16% | -2.47% | -12.91% | -12.79% | 5.54% | 13.03% |
MRK Merck & Co., Inc. | 16.86% | -4.30% | 5.45% | 22.74% | 13.52% | 11.81% |
WMT Walmart Inc. | 33.70% | 2.53% | 28.31% | 33.39% | 14.93% | 13.06% |
XOM Exxon Mobil Corporation | 19.51% | 2.64% | 16.00% | 15.32% | 15.07% | 5.76% |
PEP PepsiCo, Inc. | 2.26% | 2.57% | 3.47% | -6.52% | 8.47% | 9.73% |
CVX Chevron Corporation | 7.85% | 1.02% | 7.86% | 2.79% | 9.70% | 6.15% |
BRK-B Berkshire Hathaway Inc. | 21.49% | 5.61% | 12.43% | 24.04% | 15.60% | 13.03% |
HD The Home Depot, Inc. | 3.27% | 3.36% | 0.72% | 9.97% | 12.96% | 18.59% |
BTC-USD Bitcoin | 55.63% | 8.17% | 57.30% | 125.18% | 47.12% | 60.37% |
Monthly Returns
The table below presents the monthly returns of 20MAXCAPSP500 3, 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 | 2.50% | 3.57% | 2.85% | -2.72% | 3.02% | 0.98% | 11.78% | ||||||
| 2023 | 2.12% | -3.42% | 4.31% | 4.28% | -2.19% | 5.12% | 2.08% | -0.36% | -3.79% | -2.45% | 5.55% | 2.24% | 13.64% |
| 2022 | 0.37% | -2.43% | 4.42% | -3.19% | 0.66% | -6.76% | 7.67% | -4.27% | -7.24% | 11.24% | 5.30% | -3.32% | 0.59% |
| 2021 | -2.05% | 2.98% | 5.40% | 4.63% | 0.53% | 1.93% | 2.80% | 0.70% | -2.52% | 6.51% | -1.06% | 6.20% | 28.74% |
| 2020 | 1.07% | -8.71% | -9.63% | 13.40% | 2.81% | -0.05% | 5.44% | 7.29% | -4.62% | -3.88% | 10.90% | 2.49% | 14.53% |
| 2019 | 4.41% | 3.10% | 3.51% | 4.11% | -4.43% | 6.60% | 0.84% | 0.34% | 1.17% | 1.61% | 1.99% | 3.15% | 29.34% |
| 2018 | 5.54% | -4.95% | -1.84% | 1.57% | 1.66% | 2.06% | 4.78% | 3.80% | 1.94% | -3.77% | 3.57% | -7.51% | 6.06% |
| 2017 | 1.09% | 4.77% | 0.72% | 1.92% | 2.78% | -0.24% | 2.23% | 1.45% | 1.67% | 3.45% | 3.57% | 1.61% | 27.97% |
| 2016 | -2.48% | -1.62% | 6.49% | 1.07% | 2.13% | 0.28% | 3.24% | 0.60% | 0.92% | -1.19% | 1.23% | 2.66% | 13.83% |
| 2015 | -2.21% | 5.69% | -2.43% | 1.74% | 0.68% | -2.35% | 4.53% | -5.49% | -0.94% | 9.50% | 1.32% | -0.11% | 9.40% |
| 2014 | -4.70% | 3.52% | 1.30% | 1.01% | 1.03% | 1.07% | -1.36% | 4.87% | -0.53% | 2.33% | 3.52% | -1.39% | 10.79% |
| 2013 | 5.17% | 1.98% | 2.92% | 2.93% | 2.01% | -0.33% | 3.66% | -3.34% | 2.20% | 5.00% | 4.72% | 1.74% | 32.32% |
Expense Ratio
20MAXCAPSP500 3 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of 20MAXCAPSP500 3 is 88, placing it in the top 12% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
PG The Procter & Gamble Company | 1.37 | 1.97 | 1.26 | 0.59 | 7.85 |
JNJ Johnson & Johnson | 0.87 | 1.42 | 1.17 | 0.18 | 2.31 |
AAPL Apple Inc | 0.97 | 1.62 | 1.19 | 0.38 | 2.88 |
GOOGL Alphabet Inc. | 1.31 | 1.89 | 1.26 | 0.87 | 8.00 |
AMZN Amazon.com, Inc. | 1.53 | 2.38 | 1.27 | 0.55 | 11.86 |
V Visa Inc. | 0.21 | 0.37 | 1.05 | 0.03 | 0.66 |
MSFT Microsoft Corporation | 1.07 | 1.50 | 1.19 | 0.53 | 6.74 |
JPM JPMorgan Chase & Co. | 3.43 | 3.89 | 1.65 | 2.67 | 24.30 |
MA Mastercard Inc | 0.80 | 1.14 | 1.15 | 0.21 | 2.20 |
KO The Coca-Cola Company | 2.41 | 3.59 | 1.45 | 0.88 | 16.59 |
PFE Pfizer Inc. | 0.14 | 0.38 | 1.05 | 0.01 | 0.46 |
MCD McDonald's Corporation | -0.62 | -0.76 | 0.91 | -0.69 | -1.18 |
MRK Merck & Co., Inc. | 2.22 | 3.37 | 1.45 | 1.01 | 13.94 |
WMT Walmart Inc. | 3.54 | 5.68 | 1.71 | 2.12 | 34.99 |
XOM Exxon Mobil Corporation | 1.15 | 1.73 | 1.20 | 0.30 | 4.82 |
PEP PepsiCo, Inc. | 0.43 | 0.75 | 1.09 | 0.09 | 1.56 |
CVX Chevron Corporation | 0.96 | 1.46 | 1.18 | 0.20 | 5.15 |
BRK-B Berkshire Hathaway Inc. | 2.60 | 3.67 | 1.44 | 1.81 | 13.73 |
HD The Home Depot, Inc. | 1.30 | 1.89 | 1.23 | 0.34 | 2.87 |
BTC-USD Bitcoin | 2.56 | 2.98 | 1.31 | 1.53 | 14.15 |
Dividends
Dividend yield
20MAXCAPSP500 3 granted a 2.00% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 20MAXCAPSP500 3 | 2.00% | 2.06% | 1.83% | 1.93% | 2.37% | 2.04% | 2.20% | 2.01% | 2.20% | 2.30% | 2.08% | 2.04% |
| Portfolio components: | ||||||||||||
PG The Procter & Gamble Company | 2.33% | 2.55% | 2.38% | 2.08% | 2.24% | 2.37% | 3.09% | 2.98% | 3.18% | 3.31% | 2.78% | 2.91% |
JNJ Johnson & Johnson | 3.01% | 3.00% | 2.52% | 2.45% | 2.53% | 2.57% | 2.74% | 2.38% | 2.73% | 2.87% | 2.64% | 2.83% |
AAPL Apple Inc | 0.45% | 0.49% | 0.70% | 0.49% | 0.61% | 1.04% | 1.79% | 1.45% | 1.93% | 1.93% | 1.67% | 2.10% |
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% |
AMZN Amazon.com, 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% |
V Visa Inc. | 0.79% | 0.72% | 0.76% | 0.62% | 0.56% | 0.56% | 0.67% | 0.61% | 0.75% | 0.64% | 0.64% | 0.62% |
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% |
JPM JPMorgan Chase & Co. | 2.11% | 2.38% | 2.98% | 2.34% | 2.83% | 2.37% | 2.54% | 1.91% | 2.13% | 2.54% | 2.49% | 2.33% |
MA Mastercard Inc | 0.59% | 0.53% | 0.56% | 0.49% | 0.45% | 0.44% | 0.53% | 0.58% | 0.74% | 0.66% | 0.51% | 0.25% |
KO The Coca-Cola Company | 2.86% | 3.12% | 2.77% | 2.84% | 2.99% | 2.89% | 3.29% | 3.23% | 3.38% | 3.07% | 2.89% | 2.71% |
PFE Pfizer Inc. | 5.61% | 5.70% | 3.12% | 2.64% | 3.91% | 3.68% | 3.12% | 3.53% | 3.69% | 3.47% | 3.34% | 3.13% |
MCD McDonald's Corporation | 2.60% | 2.10% | 2.15% | 1.96% | 2.35% | 2.39% | 2.36% | 2.23% | 2.97% | 2.91% | 3.50% | 3.22% |
MRK Merck & Co., Inc. | 2.42% | 2.72% | 2.52% | 3.41% | 3.03% | 2.48% | 2.60% | 3.36% | 3.14% | 3.42% | 3.11% | 3.45% |
WMT Walmart Inc. | 1.14% | 1.45% | 1.58% | 1.52% | 1.50% | 1.78% | 2.23% | 2.07% | 2.89% | 3.20% | 2.24% | 2.39% |
XOM Exxon Mobil Corporation | 3.20% | 3.68% | 3.22% | 5.70% | 8.44% | 4.92% | 4.74% | 3.66% | 3.30% | 3.69% | 2.92% | 2.43% |
PEP PepsiCo, Inc. | 3.01% | 2.91% | 2.50% | 2.45% | 2.71% | 2.77% | 3.25% | 2.64% | 2.83% | 2.76% | 2.68% | 2.70% |
CVX Chevron Corporation | 3.99% | 4.05% | 3.16% | 4.52% | 6.11% | 3.95% | 4.12% | 3.45% | 3.64% | 4.76% | 3.75% | 3.12% |
BRK-B Berkshire Hathaway 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% |
HD The Home Depot, Inc. | 2.46% | 2.41% | 2.41% | 1.59% | 2.26% | 2.49% | 2.40% | 1.88% | 2.06% | 1.78% | 1.79% | 1.89% |
BTC-USD Bitcoin | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the 20MAXCAPSP500 3. 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 20MAXCAPSP500 3 was 30.34%, occurring on Mar 23, 2020. Recovery took 136 trading sessions.
The current 20MAXCAPSP500 3 drawdown is 2.66%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -30.34% | Feb 20, 2020 | 33 | Mar 23, 2020 | 136 | Aug 6, 2020 | 169 |
| -14.48% | Apr 11, 2022 | 173 | Sep 30, 2022 | 61 | Nov 30, 2022 | 234 |
| -14.03% | Sep 24, 2018 | 92 | Dec 24, 2018 | 79 | Mar 13, 2019 | 171 |
| -12.16% | Jul 25, 2011 | 15 | Aug 8, 2011 | 80 | Oct 27, 2011 | 95 |
| -11.51% | Jul 31, 2015 | 26 | Aug 25, 2015 | 59 | Oct 23, 2015 | 85 |
Volatility
Volatility Chart
The current 20MAXCAPSP500 3 volatility is 2.42%, 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.
Diversification
Asset Correlations Table
| BTC-USD | WMT | AAPL | MRK | XOM | AMZN | CVX | PFE | MCD | PG | HD | JPM | PEP | JNJ | GOOGL | KO | MSFT | MA | V | BRK-B | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| BTC-USD | 1.00 | 0.03 | 0.07 | 0.02 | 0.02 | 0.07 | 0.05 | 0.04 | 0.03 | 0.02 | 0.05 | 0.05 | 0.03 | 0.04 | 0.07 | 0.02 | 0.07 | 0.07 | 0.07 | 0.05 |
| WMT | 0.03 | 1.00 | 0.21 | 0.27 | 0.23 | 0.25 | 0.22 | 0.27 | 0.33 | 0.41 | 0.38 | 0.25 | 0.39 | 0.34 | 0.26 | 0.36 | 0.28 | 0.28 | 0.28 | 0.36 |
| AAPL | 0.07 | 0.21 | 1.00 | 0.19 | 0.22 | 0.44 | 0.24 | 0.24 | 0.26 | 0.23 | 0.33 | 0.31 | 0.24 | 0.22 | 0.49 | 0.23 | 0.50 | 0.41 | 0.40 | 0.35 |
| MRK | 0.02 | 0.27 | 0.19 | 1.00 | 0.29 | 0.21 | 0.30 | 0.50 | 0.33 | 0.39 | 0.27 | 0.29 | 0.36 | 0.50 | 0.24 | 0.36 | 0.27 | 0.30 | 0.32 | 0.37 |
| XOM | 0.02 | 0.23 | 0.22 | 0.29 | 1.00 | 0.23 | 0.78 | 0.31 | 0.25 | 0.26 | 0.30 | 0.45 | 0.24 | 0.30 | 0.28 | 0.30 | 0.27 | 0.33 | 0.32 | 0.48 |
| AMZN | 0.07 | 0.25 | 0.44 | 0.21 | 0.23 | 1.00 | 0.23 | 0.24 | 0.28 | 0.21 | 0.37 | 0.30 | 0.26 | 0.25 | 0.59 | 0.24 | 0.52 | 0.46 | 0.45 | 0.34 |
| CVX | 0.05 | 0.22 | 0.24 | 0.30 | 0.78 | 0.23 | 1.00 | 0.31 | 0.25 | 0.26 | 0.30 | 0.45 | 0.25 | 0.30 | 0.28 | 0.31 | 0.29 | 0.33 | 0.33 | 0.47 |
| PFE | 0.04 | 0.27 | 0.24 | 0.50 | 0.31 | 0.24 | 0.31 | 1.00 | 0.28 | 0.35 | 0.30 | 0.32 | 0.35 | 0.49 | 0.27 | 0.35 | 0.30 | 0.31 | 0.34 | 0.39 |
| MCD | 0.03 | 0.33 | 0.26 | 0.33 | 0.25 | 0.28 | 0.25 | 0.28 | 1.00 | 0.38 | 0.36 | 0.29 | 0.40 | 0.37 | 0.29 | 0.43 | 0.33 | 0.39 | 0.37 | 0.40 |
| PG | 0.02 | 0.41 | 0.23 | 0.39 | 0.26 | 0.21 | 0.26 | 0.35 | 0.38 | 1.00 | 0.35 | 0.26 | 0.57 | 0.46 | 0.28 | 0.54 | 0.32 | 0.33 | 0.33 | 0.39 |
| HD | 0.05 | 0.38 | 0.33 | 0.27 | 0.30 | 0.37 | 0.30 | 0.30 | 0.36 | 0.35 | 1.00 | 0.38 | 0.36 | 0.33 | 0.37 | 0.34 | 0.40 | 0.41 | 0.41 | 0.45 |
| JPM | 0.05 | 0.25 | 0.31 | 0.29 | 0.45 | 0.30 | 0.45 | 0.32 | 0.29 | 0.26 | 0.38 | 1.00 | 0.26 | 0.32 | 0.36 | 0.31 | 0.36 | 0.42 | 0.43 | 0.65 |
| PEP | 0.03 | 0.39 | 0.24 | 0.36 | 0.24 | 0.26 | 0.25 | 0.35 | 0.40 | 0.57 | 0.36 | 0.26 | 1.00 | 0.44 | 0.29 | 0.64 | 0.33 | 0.34 | 0.35 | 0.40 |
| JNJ | 0.04 | 0.34 | 0.22 | 0.50 | 0.30 | 0.25 | 0.30 | 0.49 | 0.37 | 0.46 | 0.33 | 0.32 | 0.44 | 1.00 | 0.30 | 0.43 | 0.30 | 0.36 | 0.37 | 0.46 |
| GOOGL | 0.07 | 0.26 | 0.49 | 0.24 | 0.28 | 0.59 | 0.28 | 0.27 | 0.29 | 0.28 | 0.37 | 0.36 | 0.29 | 0.30 | 1.00 | 0.29 | 0.58 | 0.49 | 0.49 | 0.40 |
| KO | 0.02 | 0.36 | 0.23 | 0.36 | 0.30 | 0.24 | 0.31 | 0.35 | 0.43 | 0.54 | 0.34 | 0.31 | 0.64 | 0.43 | 0.29 | 1.00 | 0.32 | 0.36 | 0.35 | 0.45 |
| MSFT | 0.07 | 0.28 | 0.50 | 0.27 | 0.27 | 0.52 | 0.29 | 0.30 | 0.33 | 0.32 | 0.40 | 0.36 | 0.33 | 0.30 | 0.58 | 0.32 | 1.00 | 0.50 | 0.50 | 0.40 |
| MA | 0.07 | 0.28 | 0.41 | 0.30 | 0.33 | 0.46 | 0.33 | 0.31 | 0.39 | 0.33 | 0.41 | 0.42 | 0.34 | 0.36 | 0.49 | 0.36 | 0.50 | 1.00 | 0.78 | 0.49 |
| V | 0.07 | 0.28 | 0.40 | 0.32 | 0.32 | 0.45 | 0.33 | 0.34 | 0.37 | 0.33 | 0.41 | 0.43 | 0.35 | 0.37 | 0.49 | 0.35 | 0.50 | 0.78 | 1.00 | 0.49 |
| BRK-B | 0.05 | 0.36 | 0.35 | 0.37 | 0.48 | 0.34 | 0.47 | 0.39 | 0.40 | 0.39 | 0.45 | 0.65 | 0.40 | 0.46 | 0.40 | 0.45 | 0.40 | 0.49 | 0.49 | 1.00 |