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moat-stocks
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


BA 4.17%O 4.17%MMM 4.17%JNJ 4.17%PG 4.17%KO 4.17%HD 4.17%ZBH 4.17%TER 4.17%LRCX 4.17%INGR 4.17%ECL 4.17%OTIS 4.17%WM 4.17%ADI 4.17%ROK 4.17%ABBV 4.17%LMT 4.17%V 4.17%ADP 4.17%SHW 4.17%MCD 4.17%NEE 4.17%AWK 4.17%EquityEquity
PositionCategory/SectorWeight
ABBV
AbbVie Inc.
Healthcare

4.17%

ADI
Analog Devices, Inc.
Technology

4.17%

ADP
Automatic Data Processing, Inc.
Industrials

4.17%

AWK
American Water Works Company, Inc.
Utilities

4.17%

BA
The Boeing Company
Industrials

4.17%

ECL
Ecolab Inc.
Basic Materials

4.17%

HD
The Home Depot, Inc.
Consumer Cyclical

4.17%

INGR
Ingredion Incorporated
Consumer Defensive

4.17%

JNJ
Johnson & Johnson
Healthcare

4.17%

KO
The Coca-Cola Company
Consumer Defensive

4.17%

LMT
Lockheed Martin Corporation
Industrials

4.17%

LRCX
Lam Research Corporation
Technology

4.17%

MCD
McDonald's Corporation
Consumer Cyclical

4.17%

MMM
3M Company
Industrials

4.17%

NEE
NextEra Energy, Inc.
Utilities

4.17%

O
Realty Income Corporation
Real Estate

4.17%

OTIS
Otis Worldwide Corporation
Industrials

4.17%

PG
The Procter & Gamble Company
Consumer Defensive

4.17%

ROK
Rockwell Automation, Inc.
Industrials

4.17%

SHW
The Sherwin-Williams Company
Basic Materials

4.17%

TER

4.17%

V

4.17%

WM

4.17%

ZBH

4.17%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in moat-stocks, 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


90.00%100.00%110.00%120.00%130.00%140.00%FebruaryMarchAprilMayJuneJuly
115.48%
130.59%
moat-stocks
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 19, 2020, corresponding to the inception date of OTIS

Returns By Period


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
16.48%1.67%14.21%21.98%13.13%10.91%
moat-stocks8.58%1.83%9.01%10.47%N/AN/A
BA
The Boeing Company
-28.46%5.62%-11.83%-13.61%-11.45%5.78%
O
Realty Income Corporation
3.24%8.88%5.88%-3.74%1.76%7.55%
MMM
3M Company
16.38%1.49%32.39%25.79%-2.36%1.85%
JNJ
Johnson & Johnson
0.25%3.99%-1.68%-6.75%6.39%7.11%
PG
The Procter & Gamble Company
16.78%0.42%10.44%12.25%10.59%10.80%
KO
The Coca-Cola Company
12.55%4.01%10.82%7.88%8.23%8.11%
HD
The Home Depot, Inc.
5.12%1.07%3.85%13.52%13.55%18.85%
ZBH
-8.83%2.68%-8.36%-20.91%N/AN/A
TER
35.20%-1.37%31.89%27.71%N/AN/A
LRCX
Lam Research Corporation
17.56%-12.69%10.89%44.92%37.66%31.00%
INGR
Ingredion Incorporated
10.07%2.74%9.48%10.45%11.76%6.78%
ECL
Ecolab Inc.
24.99%1.12%24.47%31.65%5.61%9.63%
OTIS
Otis Worldwide Corporation
10.08%1.89%11.49%13.83%N/AN/A
WM
25.31%6.61%20.96%31.76%N/AN/A
ADI
Analog Devices, Inc.
17.01%-0.32%15.37%21.92%15.70%19.04%
ROK
Rockwell Automation, Inc.
-12.32%4.35%-10.53%-18.78%13.09%10.41%
ABBV
AbbVie Inc.
14.90%2.55%5.30%25.60%26.60%17.32%
LMT
Lockheed Martin Corporation
6.26%1.57%9.54%6.90%8.76%14.05%
V
2.34%-3.55%-1.77%11.12%N/AN/A
ADP
Automatic Data Processing, Inc.
7.84%0.15%4.52%6.06%10.61%15.64%
SHW
The Sherwin-Williams Company
3.66%6.83%5.84%21.17%17.23%17.41%
MCD
McDonald's Corporation
-12.17%-0.81%-13.21%-10.81%6.20%13.26%
NEE
NextEra Energy, Inc.
20.40%-1.11%27.45%-1.68%9.05%14.27%
AWK
American Water Works Company, Inc.
7.67%7.62%12.55%-2.76%6.14%13.42%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.02%3.96%3.37%-3.50%3.99%0.44%8.58%
20232.16%-2.09%3.77%0.44%-3.17%6.93%3.35%-3.72%-7.08%-3.22%9.50%6.04%12.15%
2022-7.45%-2.64%2.35%-4.07%0.32%-5.92%8.09%-4.82%-9.24%10.14%8.01%-1.91%-9.02%
2021-3.42%2.69%6.36%3.96%1.27%-0.22%3.30%0.44%-5.12%5.16%0.74%7.19%23.86%
20209.72%10.86%5.63%2.67%3.86%2.97%-1.44%-1.46%12.13%2.20%57.02%

Expense Ratio

moat-stocks 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 moat-stocks is 20, indicating that it is in the bottom 20% 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 moat-stocks is 2020
moat-stocks
The Sharpe Ratio Rank of moat-stocks is 2222Sharpe Ratio Rank
The Sortino Ratio Rank of moat-stocks is 2121Sortino Ratio Rank
The Omega Ratio Rank of moat-stocks is 2121Omega Ratio Rank
The Calmar Ratio Rank of moat-stocks is 2323Calmar Ratio Rank
The Martin Ratio Rank of moat-stocks is 1212Martin 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.


moat-stocks
Sharpe ratio
The chart of Sharpe ratio for moat-stocks, currently valued at 1.00, compared to the broader market-1.000.001.002.003.004.001.00
Sortino ratio
The chart of Sortino ratio for moat-stocks, currently valued at 1.48, compared to the broader market-2.000.002.004.006.001.48
Omega ratio
The chart of Omega ratio for moat-stocks, currently valued at 1.18, compared to the broader market0.801.001.201.401.601.801.18
Calmar ratio
The chart of Calmar ratio for moat-stocks, currently valued at 0.72, compared to the broader market0.002.004.006.008.0010.000.72
Martin ratio
The chart of Martin ratio for moat-stocks, currently valued at 1.99, compared to the broader market0.0010.0020.0030.0040.001.99
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.001.99
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.59, compared to the broader market0.002.004.006.008.0010.001.59
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.44, compared to the broader market0.0010.0020.0030.0040.007.44

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BA
The Boeing Company
-0.38-0.340.96-0.31-0.52
O
Realty Income Corporation
-0.14-0.060.99-0.08-0.21
MMM
3M Company
0.971.481.200.482.58
JNJ
Johnson & Johnson
-0.41-0.470.94-0.34-0.63
PG
The Procter & Gamble Company
0.921.401.181.313.66
KO
The Coca-Cola Company
0.610.941.120.461.37
HD
The Home Depot, Inc.
0.771.241.140.501.68
ZBH
-1.02-1.390.83-0.55-1.26
TER
0.801.321.160.552.11
LRCX
Lam Research Corporation
1.381.921.252.576.50
INGR
Ingredion Incorporated
0.580.931.120.561.46
ECL
Ecolab Inc.
1.772.891.361.015.93
OTIS
Otis Worldwide Corporation
0.841.251.150.832.18
WM
1.993.011.422.527.23
ADI
Analog Devices, Inc.
0.821.351.161.032.84
ROK
Rockwell Automation, Inc.
-0.59-0.600.91-0.70-1.14
ABBV
AbbVie Inc.
1.351.851.251.584.45
LMT
Lockheed Martin Corporation
0.450.831.110.371.79
V
0.851.221.151.252.87
ADP
Automatic Data Processing, Inc.
0.370.601.090.341.21
SHW
The Sherwin-Williams Company
1.041.531.190.652.61
MCD
McDonald's Corporation
-0.68-0.870.90-0.63-1.27
NEE
NextEra Energy, Inc.
-0.070.101.01-0.05-0.13
AWK
American Water Works Company, Inc.
-0.16-0.080.99-0.09-0.26

Sharpe Ratio

The current moat-stocks Sharpe ratio is 1.10. 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 1.31 to 2.07, 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 moat-stocks 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 Ratio0.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.00
1.99
moat-stocks
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

moat-stocks granted a 2.06% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
moat-stocks2.06%2.15%2.03%1.71%1.96%2.01%2.24%1.85%2.17%2.24%2.07%2.07%
BA
The Boeing Company
0.00%0.00%0.00%0.00%0.96%2.52%2.12%1.93%2.80%2.52%2.25%1.42%
O
Realty Income Corporation
5.36%5.33%4.68%3.87%4.50%3.69%4.18%4.45%4.18%4.41%4.59%5.83%
MMM
3M Company
4.30%5.49%4.97%3.33%3.36%3.26%2.85%2.00%2.49%2.72%2.08%1.81%
JNJ
Johnson & Johnson
3.11%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%2.83%
PG
The Procter & Gamble Company
2.32%2.55%2.38%2.08%2.24%2.37%3.09%2.98%3.18%3.31%2.78%2.91%
KO
The Coca-Cola Company
2.89%3.12%2.77%2.84%2.99%2.89%3.29%3.23%3.38%3.07%2.89%2.71%
HD
The Home Depot, Inc.
2.41%2.41%2.41%1.59%2.26%2.49%2.40%1.88%2.06%1.78%1.79%1.89%
ZBH
0.87%0.79%0.75%0.76%0.62%0.64%0.93%0.80%0.93%0.86%0.78%0.86%
TER
0.31%0.41%0.50%0.24%0.33%0.53%1.15%0.67%0.94%1.16%0.91%0.00%
LRCX
Lam Research Corporation
0.87%0.95%1.53%0.78%1.04%1.54%2.79%1.01%1.28%1.36%0.68%0.00%
INGR
Ingredion Incorporated
2.65%2.75%2.78%2.67%3.23%2.70%2.68%1.57%1.52%1.82%1.98%2.28%
ECL
Ecolab Inc.
0.91%1.09%1.42%0.83%0.87%0.96%1.15%1.13%1.51%1.17%1.11%0.93%
OTIS
Otis Worldwide Corporation
1.44%1.46%1.42%1.06%0.89%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
WM
1.30%1.56%1.66%1.38%1.85%1.80%2.09%1.97%2.31%2.89%2.92%3.25%
ADI
Analog Devices, Inc.
1.55%1.73%1.85%1.57%1.68%1.82%2.24%2.02%2.31%2.89%2.67%2.67%
ROK
Rockwell Automation, Inc.
1.83%1.54%1.76%1.24%1.65%1.94%2.42%1.59%2.18%2.61%2.15%1.77%
ABBV
AbbVie Inc.
3.54%3.82%3.49%3.84%4.41%4.83%3.89%2.65%3.64%3.41%2.54%3.03%
LMT
Lockheed Martin Corporation
2.62%2.68%2.34%2.98%2.76%2.31%3.13%2.32%2.71%2.83%2.85%3.22%
V
0.76%0.72%0.76%0.62%0.56%0.56%0.67%0.61%0.75%0.64%0.64%0.62%
ADP
Automatic Data Processing, Inc.
2.19%2.21%1.83%1.55%2.08%1.92%2.14%2.00%2.10%2.36%2.11%2.22%
SHW
The Sherwin-Williams Company
0.82%0.78%1.01%0.62%0.73%0.77%0.87%0.83%1.25%1.03%0.84%1.09%
MCD
McDonald's Corporation
2.54%2.10%2.15%1.96%2.35%2.39%2.36%2.23%2.97%2.91%3.50%3.22%
NEE
NextEra Energy, Inc.
2.73%3.08%2.03%1.65%1.81%2.06%2.55%2.52%2.91%2.96%2.73%3.08%
AWK
American Water Works Company, Inc.
2.06%2.10%1.68%1.25%1.40%1.59%1.96%1.77%2.02%2.23%2.27%1.99%

Drawdowns

Drawdowns Chart

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


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.29%
-1.97%
moat-stocks
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the moat-stocks. 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 moat-stocks was 22.52%, occurring on Oct 12, 2022. Recovery took 194 trading sessions.

The current moat-stocks drawdown is 1.42%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-22.52%Dec 30, 2021198Oct 12, 2022194Jul 24, 2023392
-15.06%Jul 31, 202364Oct 27, 202340Dec 26, 2023104
-8.63%Mar 20, 20202Mar 23, 20201Mar 24, 20203
-8.22%Jun 9, 202014Jun 26, 202029Aug 7, 202043
-7.76%Mar 27, 20204Apr 1, 20205Apr 8, 20209

Volatility

Volatility Chart

The current moat-stocks volatility is 3.02%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%FebruaryMarchAprilMayJuneJuly
3.02%
2.94%
moat-stocks
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.

ABBVLMTBALRCXJNJINGRTERNEEPGZBHOAWKADIMCDOTISWMMMMHDVSHWROKKOADPECL
ABBV1.000.260.140.120.470.270.160.220.360.330.250.290.200.290.220.340.280.280.300.270.240.390.330.28
LMT0.261.000.310.120.330.390.120.290.340.270.330.280.150.370.270.440.330.250.300.250.240.450.390.31
BA0.140.311.000.360.150.400.360.250.140.350.330.190.360.330.360.210.350.290.350.260.390.280.370.39
LRCX0.120.120.361.000.130.250.840.200.170.300.230.190.760.240.400.180.310.420.440.400.510.190.380.41
JNJ0.470.330.150.131.000.270.150.360.510.340.330.430.210.380.260.420.380.310.330.320.250.480.400.37
INGR0.270.390.400.250.271.000.260.250.320.380.370.280.290.390.380.350.470.330.390.300.380.460.380.43
TER0.160.120.360.840.150.261.000.240.160.340.270.230.790.270.420.210.360.450.470.430.520.230.430.43
NEE0.220.290.250.200.360.250.241.000.460.350.440.690.280.390.360.450.350.390.320.420.340.460.430.44
PG0.360.340.140.170.510.320.160.461.000.330.340.520.230.460.330.490.370.380.360.400.260.620.420.43
ZBH0.330.270.350.300.340.380.340.350.331.000.380.360.410.390.390.380.410.370.440.350.420.420.410.49
O0.250.330.330.230.330.370.270.440.340.381.000.510.330.410.390.420.430.410.410.440.390.500.460.46
AWK0.290.280.190.190.430.280.230.690.520.360.511.000.290.440.360.500.350.430.340.450.380.490.440.47
ADI0.200.150.360.760.210.290.790.280.230.410.330.291.000.320.450.270.390.460.500.440.560.290.480.49
MCD0.290.370.330.240.380.390.270.390.460.390.410.440.321.000.400.490.380.420.460.400.400.570.490.44
OTIS0.220.270.360.400.260.380.420.360.330.390.390.360.450.401.000.400.500.460.440.460.550.380.490.51
WM0.340.440.210.180.420.350.210.450.490.380.420.500.270.490.401.000.370.420.410.460.420.540.520.53
MMM0.280.330.350.310.380.470.360.350.370.410.430.350.390.380.500.371.000.480.400.460.530.470.480.55
HD0.280.250.290.420.310.330.450.390.380.370.410.430.460.420.460.420.481.000.450.620.520.380.530.52
V0.300.300.350.440.330.390.470.320.360.440.410.340.500.460.440.410.400.451.000.470.470.470.540.56
SHW0.270.250.260.400.320.300.430.420.400.350.440.450.440.400.460.460.460.620.471.000.510.420.520.62
ROK0.240.240.390.510.250.380.520.340.260.420.390.380.560.400.550.420.530.520.470.511.000.370.520.58
KO0.390.450.280.190.480.460.230.460.620.420.500.490.290.570.380.540.470.380.470.420.371.000.520.51
ADP0.330.390.370.380.400.380.430.430.420.410.460.440.480.490.490.520.480.530.540.520.520.521.000.57
ECL0.280.310.390.410.370.430.430.440.430.490.460.470.490.440.510.530.550.520.560.620.580.510.571.00
The correlation results are calculated based on daily price changes starting from Mar 20, 2020