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#3: Value/Small cap/Growth Stocks
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

#3: Value/Small cap/Growth Stocks

Currency in USD · Last updated May 19, 2025

Asset Allocation

JNJ 10%JPM 10%NVDA 10%SHOP 10%AXON 10%LLY 10%GOOGL 10%AMZN 10%HD 10%META 10%EquityEquity
PositionCategory/SectorTarget Weight
AMZN
Amazon.com, Inc.		Consumer Cyclical
10%
AXON
Axon Enterprise, Inc.		Industrials
10%
GOOGL
Alphabet Inc Class A		Communication Services
10%
HD
The Home Depot, Inc.		Consumer Cyclical
10%
JNJ
Johnson & Johnson		Healthcare
10%
JPM
JPMorgan Chase & Co.		Financial Services
10%
LLY
Eli Lilly and Company		Healthcare
10%
META
Meta Platforms, Inc.		Communication Services
10%
NVDA
NVIDIA Corporation		Technology
10%
SHOP
Shopify Inc.		Technology
10%

Performance

Performance Chart

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The earliest data available for this chart is May 21, 2015, corresponding to the inception date of SHOP

Returns By Period

As of May 19, 2025, the #3: Value/Small cap/Growth Stocks returned 3.47% Year-To-Date and 35.64% of annualized return in the last 10 years.

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		1.30%12.79%1.49%12.35%15.37%10.87%
#3: Value/Small cap/Growth Stocks3.47%14.73%3.92%34.92%33.76%35.64%
Portfolio components:
JNJ
Johnson & Johnson		5.48%-3.90%-0.15%1.00%3.18%6.85%
JPM
JPMorgan Chase & Co.		12.89%15.35%10.31%33.68%28.36%18.17%
NVDA
NVIDIA Corporation		0.84%33.41%-4.62%46.46%73.24%75.21%
SHOP
Shopify Inc.		4.16%32.40%2.08%89.22%8.05%45.88%
AXON
Axon Enterprise, Inc.		23.36%31.03%22.33%153.88%58.17%36.80%
LLY
Eli Lilly and Company		-1.52%-9.65%1.88%-0.96%38.83%28.53%
GOOGL
Alphabet Inc Class A		-12.11%9.94%-3.43%-5.15%19.52%19.69%
AMZN
Amazon.com, Inc.		-6.29%19.11%1.47%11.31%10.96%25.37%
HD
The Home Depot, Inc.		-1.49%7.24%-5.63%13.38%12.57%15.75%
META
Meta Platforms, Inc.		9.46%27.69%15.76%36.19%24.40%23.19%
*Annualized

Monthly Returns

The table below presents the monthly returns of #3: Value/Small cap/Growth Stocks, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20257.13%-3.28%-8.58%1.15%7.99%3.47%
20245.33%12.43%4.06%-4.39%4.70%7.09%-2.50%6.93%2.47%1.78%12.50%-2.43%57.65%
202314.64%-1.21%10.86%4.05%10.57%7.81%6.00%2.24%-6.89%-2.87%14.04%6.34%85.10%
2022-10.89%-7.40%3.91%-13.62%0.30%-7.98%7.99%-5.25%-5.53%7.52%10.11%-6.05%-26.51%
20215.87%3.42%-0.46%6.56%1.90%8.77%2.78%4.67%-6.17%7.83%2.98%-0.84%43.06%
20204.47%-3.75%-7.04%18.72%8.20%9.00%4.60%9.03%-3.63%-3.46%11.16%2.49%58.20%
201911.57%2.88%5.07%7.81%-4.60%5.71%3.21%1.18%-3.75%2.96%7.52%6.41%55.26%
201810.55%1.13%-2.87%3.40%12.03%0.15%4.32%4.75%1.17%-11.27%-4.14%-7.84%9.17%
20175.47%5.31%2.71%4.05%7.15%0.02%3.66%3.03%3.25%2.37%2.87%0.35%48.26%
2016-5.88%-0.23%7.57%2.70%6.50%1.31%10.30%2.10%3.72%-3.58%6.59%4.67%40.66%
20150.77%3.68%5.73%-5.91%2.96%8.17%0.93%0.63%17.59%

Expense Ratio

#3: Value/Small cap/Growth Stocks has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 83, #3: Value/Small cap/Growth Stocks is among the top 17% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of #3: Value/Small cap/Growth Stocks is 8383
Overall Rank
The Sharpe Ratio Rank of #3: Value/Small cap/Growth Stocks is 8888
Sharpe Ratio Rank
The Sortino Ratio Rank of #3: Value/Small cap/Growth Stocks is 8484
Sortino Ratio Rank
The Omega Ratio Rank of #3: Value/Small cap/Growth Stocks is 8585
Omega Ratio Rank
The Calmar Ratio Rank of #3: Value/Small cap/Growth Stocks is 8484
Calmar Ratio Rank
The Martin Ratio Rank of #3: Value/Small cap/Growth Stocks is 7676
Martin 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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JNJ
Johnson & Johnson		0.060.351.050.180.49
JPM
JPMorgan Chase & Co.		1.231.801.261.474.91
NVDA
NVIDIA Corporation		0.731.401.181.313.22
SHOP
Shopify Inc.		1.532.281.311.326.54
AXON
Axon Enterprise, Inc.		2.733.561.544.9012.77
LLY
Eli Lilly and Company		-0.030.271.04-0.00-0.00
GOOGL
Alphabet Inc Class A		-0.130.131.02-0.07-0.14
AMZN
Amazon.com, Inc.		0.350.651.080.320.85
HD
The Home Depot, Inc.		0.611.041.120.671.72
META
Meta Platforms, Inc.		0.971.561.201.063.27

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

#3: Value/Small cap/Growth Stocks Sharpe ratios as of May 19, 2025 (values are recalculated daily):

  • 1-Year: 1.39
  • 5-Year: 1.40
  • All Time: 1.49

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.56 to 1.05, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of #3: Value/Small cap/Growth Stocks compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

#3: Value/Small cap/Growth Stocks provided a 0.91% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio0.91%0.90%0.86%0.91%0.77%0.95%0.97%1.01%0.89%1.02%1.08%1.15%
Portfolio components:
JNJ
Johnson & Johnson		3.28%3.40%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%
JPM
JPMorgan Chase & Co.		1.89%1.92%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%
NVDA
NVIDIA Corporation		0.03%0.03%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%
SHOP
Shopify 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%
AXON
Axon Enterprise, 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%
LLY
Eli Lilly and Company		0.74%0.67%0.78%1.07%1.23%1.75%1.96%1.94%2.46%2.77%2.37%2.84%
GOOGL
Alphabet Inc Class A		0.48%0.32%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%
HD
The Home Depot, Inc.		2.38%2.31%2.41%2.41%1.59%2.26%2.49%2.40%1.88%2.06%1.78%1.79%
META
Meta Platforms, Inc.		0.32%0.34%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. Drawdowns are calculated considering price movements and all distributions paid, if any.

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Worst Drawdowns

The table below displays the maximum drawdowns of the #3: Value/Small cap/Growth 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 #3: Value/Small cap/Growth Stocks was 37.69%, occurring on Sep 26, 2022. Recovery took 168 trading sessions.

The current #3: Value/Small cap/Growth Stocks drawdown is 6.61%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-37.69%Nov 22, 2021212Sep 26, 2022168May 26, 2023380
-29.78%Feb 20, 202018Mar 16, 202038May 8, 202056
-28.45%Jul 26, 2018105Dec 24, 201881Apr 23, 2019186
-23.44%Feb 19, 202535Apr 8, 2025———
-16.02%Dec 7, 201546Feb 11, 201634Apr 1, 201680

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 10 assets, with an effective number of assets of 10.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCJNJLLYJPMAXONHDSHOPNVDAMETAAMZNGOOGLPortfolio
^GSPC1.000.390.400.640.470.620.500.640.620.650.710.80
JNJ0.391.000.430.290.090.320.090.100.150.160.240.26
LLY0.400.431.000.220.190.270.170.220.260.240.270.41
JPM0.640.290.221.000.290.410.230.320.310.300.360.45
AXON0.470.090.190.291.000.330.390.410.340.370.350.60
HD0.620.320.270.410.331.000.310.360.350.380.390.53
SHOP0.500.090.170.230.390.311.000.490.460.520.450.72
NVDA0.640.100.220.320.410.360.491.000.520.560.540.75
META0.620.150.260.310.340.350.460.521.000.630.670.70
AMZN0.650.160.240.300.370.380.520.560.631.000.680.73
GOOGL0.710.240.270.360.350.390.450.540.670.681.000.71
Portfolio0.800.260.410.450.600.530.720.750.700.730.711.00
The correlation results are calculated based on daily price changes starting from May 22, 2015