PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
MJ2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


AAPL 15%MSFT 15%AMZN 15%NVDA 15%GOOGL 15%TSLA 15%META 10%EquityEquity
PositionCategory/SectorWeight
AAPL
Apple Inc
Technology

15%

AMZN
Amazon.com, Inc.
Consumer Cyclical

15%

GOOGL
Alphabet Inc.
Communication Services

15%

META
Meta Platforms, Inc.
Communication Services

10%

MSFT
Microsoft Corporation
Technology

15%

NVDA
NVIDIA Corporation
Technology

15%

TSLA
Tesla, Inc.
Consumer Cyclical

15%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in MJ2, 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


0.00%10.00%20.00%30.00%2024FebruaryMarchAprilMayJune
33.53%
14.78%
MJ2
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 18, 2012, corresponding to the inception date of META

Returns By Period

As of Jun 15, 2024, the MJ2 returned 32.58% Year-To-Date and 37.53% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.04%3.47%15.07%24.43%13.22%10.85%
MJ234.23%10.62%33.53%49.80%47.22%37.81%
AAPL
Apple Inc
12.83%14.11%10.31%17.79%35.24%26.91%
MSFT
Microsoft Corporation
19.67%6.70%20.56%32.00%28.08%28.95%
AMZN
Amazon.com, Inc.
21.14%-0.35%19.68%46.67%13.97%27.58%
NVDA
NVIDIA Corporation
164.52%41.64%164.09%206.89%103.13%76.58%
GOOGL
Alphabet Inc.
27.03%0.79%29.85%43.64%26.19%20.19%
TSLA
Tesla, Inc.
-24.57%5.62%-27.13%-28.06%66.79%28.55%
META
Meta Platforms, Inc.
43.43%7.46%44.90%80.67%21.86%22.97%

Monthly Returns

The table below presents the monthly returns of MJ2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.62%11.23%2.51%-1.65%8.30%34.23%
202320.95%6.11%12.67%0.33%15.72%9.29%5.00%-0.41%-5.83%-2.93%11.83%3.61%103.18%
2022-8.80%-5.46%8.39%-17.89%-3.90%-10.35%16.98%-6.96%-11.67%-3.63%5.69%-13.05%-43.71%
20212.25%-1.66%1.52%9.93%-2.27%9.95%2.85%7.20%-5.36%15.13%6.43%-2.15%50.87%
202012.61%-2.01%-8.84%22.27%7.45%11.61%13.47%26.17%-9.04%-2.99%12.46%6.41%123.00%
20197.26%2.34%5.51%3.49%-12.44%10.19%4.76%-2.63%2.57%10.62%5.29%9.02%53.64%
201813.63%-0.68%-7.66%3.00%7.07%3.12%1.02%8.76%-2.65%-7.18%-4.15%-9.04%2.57%
20177.71%2.07%5.28%4.47%10.30%-1.25%3.34%4.37%-0.80%8.84%0.10%-0.34%53.01%
2016-7.57%-2.30%10.82%-1.99%8.13%-2.93%11.41%0.78%4.24%0.25%1.61%6.36%30.54%
2015-0.86%7.38%-3.39%8.35%2.21%-0.81%7.86%-2.38%1.13%10.95%5.54%0.67%41.80%
20142.04%11.31%-5.66%-0.42%4.08%4.06%-0.83%8.34%-2.29%0.27%4.89%-5.26%20.89%
20133.35%-1.11%1.34%10.55%18.13%2.04%11.31%6.68%8.10%4.50%1.62%4.46%96.52%

Expense Ratio

MJ2 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 risk-adjusted rank of MJ2 is 78, placing it in the top 22% 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 MJ2 is 7878
MJ2
The Sharpe Ratio Rank of MJ2 is 7575Sharpe Ratio Rank
The Sortino Ratio Rank of MJ2 is 7070Sortino Ratio Rank
The Omega Ratio Rank of MJ2 is 7070Omega Ratio Rank
The Calmar Ratio Rank of MJ2 is 8989Calmar Ratio Rank
The Martin Ratio Rank of MJ2 is 8585Martin 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.


MJ2
Sharpe ratio
The chart of Sharpe ratio for MJ2, currently valued at 2.23, compared to the broader market0.002.004.002.23
Sortino ratio
The chart of Sortino ratio for MJ2, currently valued at 3.01, compared to the broader market-2.000.002.004.006.003.01
Omega ratio
The chart of Omega ratio for MJ2, currently valued at 1.37, compared to the broader market0.801.001.201.401.601.801.37
Calmar ratio
The chart of Calmar ratio for MJ2, currently valued at 3.89, compared to the broader market0.002.004.006.008.0010.003.89
Martin ratio
The chart of Martin ratio for MJ2, currently valued at 13.62, compared to the broader market0.0010.0020.0030.0040.0050.0013.62
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.17, compared to the broader market0.002.004.002.17
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.07, compared to the broader market-2.000.002.004.006.003.07
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 1.73, compared to the broader market0.002.004.006.008.0010.001.73
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 8.12, compared to the broader market0.0010.0020.0030.0040.0050.008.12

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc
0.791.281.161.032.05
MSFT
Microsoft Corporation
1.461.991.252.305.63
AMZN
Amazon.com, Inc.
1.622.411.291.259.26
NVDA
NVIDIA Corporation
4.704.881.6110.4730.19
GOOGL
Alphabet Inc.
1.502.051.291.889.13
TSLA
Tesla, Inc.
-0.52-0.530.94-0.41-0.95
META
Meta Platforms, Inc.
2.243.171.412.9513.15

Sharpe Ratio

The current MJ2 Sharpe ratio is 2.21. 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 1.39 to 2.33, 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 MJ2 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 Ratio1.502.002.503.003.504.002024FebruaryMarchAprilMayJune
2.23
2.10
MJ2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

MJ2 granted a 0.20% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
MJ20.20%0.19%0.28%0.18%0.25%0.38%0.59%0.54%0.71%0.82%0.87%1.00%
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%
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%
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%
NVDA
NVIDIA Corporation
0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.19%1.68%1.95%
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%
TSLA
Tesla, 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%
META
Meta Platforms, Inc.
0.20%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.


-8.00%-6.00%-4.00%-2.00%0.00%2024FebruaryMarchAprilMayJune00
MJ2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the MJ2. 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 MJ2 was 47.90%, occurring on Jan 5, 2023. Recovery took 123 trading sessions.

The current MJ2 drawdown is 0.03%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-47.9%Nov 22, 2021282Jan 5, 2023123Jul 5, 2023405
-35.12%Feb 20, 202020Mar 18, 202051Jun 1, 202071
-27.56%Oct 2, 201858Dec 24, 2018203Oct 15, 2019261
-20.06%Dec 30, 201528Feb 9, 201639Apr 6, 201667
-16.11%Sep 2, 202015Sep 23, 202048Dec 1, 202063

Volatility

Volatility Chart

The current MJ2 volatility is 4.03%, 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%7.00%8.00%9.00%2024FebruaryMarchAprilMayJune
4.03%
2.33%
MJ2
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.

TSLAMETAAAPLNVDAAMZNMSFTGOOGL
TSLA1.000.330.370.380.390.360.36
META0.331.000.450.470.560.500.60
AAPL0.370.451.000.490.500.560.54
NVDA0.380.470.491.000.510.560.51
AMZN0.390.560.500.511.000.590.65
MSFT0.360.500.560.560.591.000.65
GOOGL0.360.600.540.510.650.651.00
The correlation results are calculated based on daily price changes starting from May 21, 2012