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Dividend Aristocrats
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


MMM 4.55%ABT 4.55%ABBV 4.55%ADP 4.55%CAT 4.55%CLX 4.55%CVX 4.55%KO 4.55%CL 4.55%ED 4.55%ESS 4.55%XOM 4.55%FRT 4.55%HRL 4.55%IBM 4.55%JNJ 4.55%PEP 4.55%PG 4.55%SWK 4.55%TROW 4.55%WBA 4.55%WMT 4.55%EquityEquity
PositionCategory/SectorWeight
ABBV
AbbVie Inc.
Healthcare

4.55%

ABT
Abbott Laboratories
Healthcare

4.55%

ADP
Automatic Data Processing, Inc.
Industrials

4.55%

CAT
Caterpillar Inc.
Industrials

4.55%

CL
Colgate-Palmolive Company
Consumer Defensive

4.55%

CLX
The Clorox Company
Consumer Defensive

4.55%

CVX
Chevron Corporation
Energy

4.55%

ED
Consolidated Edison, Inc.
Utilities

4.55%

ESS
Essex Property Trust, Inc.
Real Estate

4.55%

FRT
Federal Realty Investment Trust
Real Estate

4.55%

HRL
Hormel Foods Corporation
Consumer Defensive

4.55%

IBM
International Business Machines Corporation
Technology

4.55%

JNJ
Johnson & Johnson
Healthcare

4.55%

KO
The Coca-Cola Company
Consumer Defensive

4.55%

MMM
3M Company
Industrials

4.55%

PEP
PepsiCo, Inc.
Consumer Defensive

4.55%

PG
The Procter & Gamble Company
Consumer Defensive

4.55%

SWK
Stanley Black & Decker, Inc.
Industrials

4.55%

TROW
T. Rowe Price Group, Inc.
Financial Services

4.55%

WBA
Walgreens Boots Alliance, Inc.
Healthcare

4.55%

WMT

4.55%

XOM

4.55%

S&P 500

Performance

Performance Chart

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


200.00%220.00%240.00%260.00%280.00%300.00%FebruaryMarchAprilMayJuneJuly
214.08%
288.07%
Dividend Aristocrats
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 10, 2012, corresponding to the inception date of ABBV

Returns By Period

As of Jul 17, 2024, the Dividend Aristocrats returned 6.47% Year-To-Date and 8.78% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
Dividend Aristocrats6.46%1.68%7.06%6.90%7.85%8.74%
MMM
3M Company
16.38%3.13%18.07%25.77%-2.36%1.85%
ABT
Abbott Laboratories
-5.90%-1.36%-10.12%-6.87%4.93%11.13%
ABBV
AbbVie Inc.
14.35%1.48%6.53%25.87%25.73%17.07%
ADP
Automatic Data Processing, Inc.
7.24%1.05%4.86%6.55%10.55%15.70%
CAT
Caterpillar Inc.
18.55%6.92%22.30%34.94%23.33%15.25%
CLX
The Clorox Company
-3.62%-2.52%-3.37%-9.57%-0.80%6.92%
CVX
Chevron Corporation
8.95%3.80%14.25%6.01%9.70%6.26%
KO
The Coca-Cola Company
12.55%4.25%10.85%8.00%8.23%8.11%
CL
Colgate-Palmolive Company
25.13%1.62%23.35%30.39%8.74%6.10%
ED
Consolidated Edison, Inc.
5.24%4.04%6.54%1.68%5.32%9.06%
ESS
Essex Property Trust, Inc.
17.11%0.98%20.56%21.46%2.77%7.37%
XOM
18.12%6.12%21.82%16.19%14.77%5.65%
FRT
Federal Realty Investment Trust
8.57%9.61%11.19%11.02%1.05%2.28%
HRL
Hormel Foods Corporation
1.63%5.64%5.56%-18.15%-2.74%5.11%
IBM
International Business Machines Corporation
14.19%7.45%8.91%38.06%10.24%4.24%
JNJ
Johnson & Johnson
0.25%6.21%-2.82%-5.25%6.39%7.11%
PEP
PepsiCo, Inc.
1.27%1.73%3.75%-7.80%8.46%9.77%
PG
The Procter & Gamble Company
16.78%0.24%15.24%14.38%10.59%10.80%
SWK
Stanley Black & Decker, Inc.
-9.72%3.35%-6.68%-7.65%-7.17%2.38%
TROW
T. Rowe Price Group, Inc.
8.89%-2.36%7.09%-0.20%5.03%7.11%
WBA
Walgreens Boots Alliance, Inc.
-56.76%-31.66%-48.68%-61.08%-23.85%-14.37%
WMT
35.09%4.66%31.16%36.22%15.01%13.03%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.56%2.74%4.05%-2.78%-0.16%-0.68%6.46%
20230.35%-2.65%0.13%2.81%-6.81%5.82%4.62%-2.29%-4.75%-3.96%4.59%5.84%2.67%
2022-2.24%-2.99%4.72%-2.11%0.53%-6.36%4.40%-3.48%-8.20%10.28%6.82%-3.55%-3.81%
20210.39%2.33%6.95%1.78%2.49%-0.33%0.71%0.90%-4.84%4.81%-1.97%9.29%24.02%
2020-0.95%-8.34%-9.10%9.75%2.51%0.64%2.39%2.35%-2.76%-1.10%10.60%1.30%5.52%
20194.36%3.66%2.10%0.24%-4.99%5.87%0.86%-0.98%3.06%-0.29%2.39%1.69%19.01%
20181.73%-6.30%-1.02%-1.35%0.85%1.15%3.92%1.27%2.13%-4.43%6.82%-7.63%-3.76%
2017-0.10%4.41%-0.31%1.31%1.24%1.05%2.45%-0.05%2.11%2.07%5.05%1.53%22.66%
2016-1.92%0.87%7.10%-0.41%0.49%3.62%1.82%-1.17%-0.14%-3.05%1.22%2.45%11.01%
2015-2.15%3.66%-1.57%0.18%0.67%-2.49%2.38%-5.40%-0.58%6.18%0.78%0.28%1.44%
2014-3.33%4.26%1.58%3.23%0.59%1.93%-2.51%3.21%-1.08%4.74%2.42%0.13%15.85%
20136.26%2.17%4.72%1.96%-1.19%-1.55%5.16%-4.70%2.12%4.73%2.23%1.15%24.99%

Expense Ratio

Dividend Aristocrats 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 Dividend Aristocrats is 10, indicating that it is in the bottom 10% 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 Dividend Aristocrats is 1010
Dividend Aristocrats
The Sharpe Ratio Rank of Dividend Aristocrats is 1010Sharpe Ratio Rank
The Sortino Ratio Rank of Dividend Aristocrats is 1010Sortino Ratio Rank
The Omega Ratio Rank of Dividend Aristocrats is 99Omega Ratio Rank
The Calmar Ratio Rank of Dividend Aristocrats is 1212Calmar Ratio Rank
The Martin Ratio Rank of Dividend Aristocrats is 99Martin 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.


Dividend Aristocrats
Sharpe ratio
The chart of Sharpe ratio for Dividend Aristocrats, currently valued at 0.77, compared to the broader market-1.000.001.002.003.004.005.000.77
Sortino ratio
The chart of Sortino ratio for Dividend Aristocrats, currently valued at 1.20, compared to the broader market-2.000.002.004.006.001.20
Omega ratio
The chart of Omega ratio for Dividend Aristocrats, currently valued at 1.14, compared to the broader market0.801.001.201.401.601.801.14
Calmar ratio
The chart of Calmar ratio for Dividend Aristocrats, currently valued at 0.54, compared to the broader market0.002.004.006.008.0010.000.54
Martin ratio
The chart of Martin ratio for Dividend Aristocrats, currently valued at 1.83, compared to the broader market0.0010.0020.0030.0040.001.83
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.005.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
MMM
3M Company
1.011.531.210.452.68
ABT
Abbott Laboratories
-0.15-0.090.99-0.09-0.27
ABBV
AbbVie Inc.
1.592.151.301.895.32
ADP
Automatic Data Processing, Inc.
0.350.571.090.321.14
CAT
Caterpillar Inc.
1.331.901.251.634.28
CLX
The Clorox Company
-0.40-0.460.95-0.21-0.69
CVX
Chevron Corporation
0.360.621.080.320.84
KO
The Coca-Cola Company
0.721.081.140.541.62
CL
Colgate-Palmolive Company
2.283.141.412.048.73
ED
Consolidated Edison, Inc.
0.240.451.060.250.65
ESS
Essex Property Trust, Inc.
1.001.571.180.563.21
XOM
0.901.411.160.971.96
FRT
Federal Realty Investment Trust
0.570.961.110.341.78
HRL
Hormel Foods Corporation
-0.60-0.710.90-0.37-0.89
IBM
International Business Machines Corporation
1.992.831.412.435.97
JNJ
Johnson & Johnson
0.030.171.020.030.05
PEP
PepsiCo, Inc.
-0.37-0.410.95-0.34-0.63
PG
The Procter & Gamble Company
1.111.661.211.594.45
SWK
Stanley Black & Decker, Inc.
-0.31-0.250.97-0.14-0.68
TROW
T. Rowe Price Group, Inc.
-0.040.121.01-0.02-0.08
WBA
Walgreens Boots Alliance, Inc.
-1.36-2.270.70-0.72-1.88
WMT
2.272.981.473.5810.69

Sharpe Ratio

The current Dividend Aristocrats Sharpe ratio is 0.88. 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 1.62 to 2.48, 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 Dividend Aristocrats 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 Ratio0.000.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.77
1.82
Dividend Aristocrats
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Dividend Aristocrats granted a 3.54% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Dividend Aristocrats3.54%3.44%3.19%2.87%3.30%2.88%3.03%2.53%2.85%3.02%2.50%2.50%
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%
ABT
Abbott Laboratories
2.12%1.85%1.71%1.28%1.32%1.47%1.55%1.86%2.71%2.14%1.95%1.46%
ABBV
AbbVie Inc.
3.56%3.82%3.49%3.84%4.41%4.83%3.89%2.65%3.64%3.41%2.54%3.03%
ADP
Automatic Data Processing, Inc.
2.21%2.21%1.83%1.55%2.08%1.92%2.14%2.00%2.10%2.36%2.11%2.22%
CAT
Caterpillar Inc.
1.12%1.69%1.93%2.07%2.26%2.56%2.58%1.97%3.32%4.33%2.84%1.89%
CLX
The Clorox Company
3.55%3.34%3.33%2.60%2.15%2.63%2.41%2.21%2.62%2.38%2.78%2.91%
CVX
Chevron Corporation
3.95%4.05%3.16%4.52%6.11%3.95%4.12%3.45%3.64%4.76%3.75%3.12%
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%
CL
Colgate-Palmolive Company
2.00%2.40%2.36%2.10%2.05%2.48%2.79%2.11%2.37%2.25%2.05%2.04%
ED
Consolidated Edison, Inc.
3.49%3.56%3.32%3.63%4.23%3.27%3.74%3.25%3.64%4.05%3.82%4.45%
ESS
Essex Property Trust, Inc.
3.34%3.73%4.15%2.37%3.50%2.59%3.03%2.90%2.75%2.41%2.47%3.37%
XOM
3.24%3.68%3.22%5.70%8.44%4.92%4.74%3.66%3.30%3.69%2.92%2.43%
FRT
Federal Realty Investment Trust
3.98%4.21%4.26%3.12%4.96%3.22%3.42%2.98%2.70%2.48%2.47%2.98%
HRL
Hormel Foods Corporation
3.53%3.43%2.28%2.01%2.00%1.86%1.76%1.87%2.50%1.26%1.54%1.51%
IBM
International Business Machines Corporation
3.63%4.05%4.68%4.74%5.17%4.79%5.46%3.84%3.31%3.63%2.65%1.97%
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%
PEP
PepsiCo, Inc.
3.04%2.91%2.50%2.45%2.71%2.77%3.25%2.64%2.83%2.76%2.68%2.70%
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%
SWK
Stanley Black & Decker, Inc.
3.73%3.28%4.23%1.58%1.56%1.63%2.15%1.43%1.97%2.01%2.12%2.45%
TROW
T. Rowe Price Group, Inc.
4.29%4.53%4.40%3.72%2.38%2.50%3.03%2.14%2.83%5.67%2.05%1.81%
WBA
Walgreens Boots Alliance, Inc.
13.26%7.35%5.13%3.62%4.64%3.04%2.46%2.13%1.78%1.64%1.71%2.05%
WMT
1.12%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%2.39%

Drawdowns

Drawdowns Chart

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


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.43%
-2.86%
Dividend Aristocrats
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Dividend Aristocrats. 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 Dividend Aristocrats was 30.53%, occurring on Mar 23, 2020. Recovery took 162 trading sessions.

The current Dividend Aristocrats drawdown is 1.09%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-30.53%Feb 18, 202025Mar 23, 2020162Nov 10, 2020187
-18.15%Apr 21, 2022113Sep 30, 2022361Mar 11, 2024474
-13.02%Dec 4, 201814Dec 24, 201855Mar 15, 201969
-11.95%Jan 29, 201839Mar 23, 2018176Dec 3, 2018215
-11.35%May 18, 201570Aug 25, 201579Dec 16, 2015149

Volatility

Volatility Chart

The current Dividend Aristocrats volatility is 3.49%, 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
3.49%
2.76%
Dividend Aristocrats
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.

CLXEDABBVXOMWMTCVXHRLESSWBACATFRTABTSWKJNJIBMTROWPGCLKOADPPEPMMM
CLX1.000.360.210.090.340.100.470.250.210.100.270.270.190.320.200.210.550.570.430.290.500.27
ED0.361.000.190.170.290.160.390.420.230.130.410.250.160.340.230.180.440.440.450.300.470.25
ABBV0.210.191.000.280.250.270.210.250.330.290.250.440.280.450.340.320.320.330.310.360.320.35
XOM0.090.170.281.000.220.820.190.220.320.550.320.230.380.280.420.410.230.220.290.350.240.42
WMT0.340.290.250.221.000.210.340.250.350.240.270.330.270.350.310.330.450.400.380.350.440.32
CVX0.100.160.270.820.211.000.190.230.340.550.300.260.380.280.430.430.240.230.300.370.230.41
HRL0.470.390.210.190.340.191.000.290.320.190.310.290.250.360.280.270.450.500.430.330.500.32
ESS0.250.420.250.220.250.230.291.000.290.250.650.320.330.300.330.360.340.370.400.400.380.33
WBA0.210.230.330.320.350.340.320.291.000.380.370.360.400.370.400.440.320.310.310.380.320.45
CAT0.100.130.290.550.240.550.190.250.381.000.320.310.580.290.490.540.240.250.290.410.220.56
FRT0.270.410.250.320.270.300.310.650.370.321.000.290.380.290.370.400.340.350.390.400.360.38
ABT0.270.250.440.230.330.260.290.320.360.310.291.000.410.510.410.460.400.410.380.490.400.44
SWK0.190.160.280.380.270.380.250.330.400.580.380.411.000.320.490.600.300.320.330.500.310.62
JNJ0.320.340.450.280.350.280.360.300.370.290.290.510.321.000.400.380.480.470.450.430.480.45
IBM0.200.230.340.420.310.430.280.330.400.490.370.410.490.401.000.500.370.360.390.490.350.53
TROW0.210.180.320.410.330.430.270.360.440.540.400.460.600.380.501.000.320.320.370.560.350.56
PG0.550.440.320.230.450.240.450.340.320.240.340.400.300.480.370.321.000.730.600.430.640.40
CL0.570.440.330.220.400.230.500.370.310.250.350.410.320.470.360.320.731.000.600.440.650.40
KO0.430.450.310.290.380.300.430.400.310.290.390.380.330.450.390.370.600.601.000.470.710.42
ADP0.290.300.360.350.350.370.330.400.380.410.400.490.500.430.490.560.430.440.471.000.480.51
PEP0.500.470.320.240.440.230.500.380.320.220.360.400.310.480.350.350.640.650.710.481.000.39
MMM0.270.250.350.420.320.410.320.330.450.560.380.440.620.450.530.560.400.400.420.510.391.00
The correlation results are calculated based on daily price changes starting from Dec 11, 2012