10 High Sharpe Ratio Dividend Stocks in the S&P 500
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AVGO Broadcom Inc. | Technology | 10% |
CINF Cincinnati Financial Corporation | Financial Services | 10% |
CMS CMS Energy Corporation | Utilities | 10% |
HD The Home Depot, Inc. | Consumer Cyclical | 10% |
MAA Mid-America Apartment Communities, Inc. | Real Estate | 10% |
MCD McDonald's Corporation | Consumer Cyclical | 10% |
NEE NextEra Energy, Inc. | Utilities | 10% |
SYY Sysco Corporation | Consumer Defensive | 10% |
WEC WEC Energy Group, Inc. | Utilities | 10% |
XEL Xcel Energy Inc. | Utilities | 10% |
Performance
Performance Chart
Loading data...
The earliest data available for this chart is Aug 6, 2009, corresponding to the inception date of AVGO
Returns By Period
As of May 22, 2025, the 10 High Sharpe Ratio Dividend Stocks in the S&P 500 returned 4.68% Year-To-Date and 16.21% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -0.63% | 13.31% | -1.23% | 9.83% | 14.61% | 10.64% |
| 10 High Sharpe Ratio Dividend Stocks in the S&P 500 | 4.68% | 4.64% | 5.20% | 24.42% | 16.49% | 16.21% |
| Portfolio components: | ||||||
MAA Mid-America Apartment Communities, Inc. | 2.96% | -1.44% | 0.38% | 19.39% | 10.26% | 11.18% |
WEC WEC Energy Group, Inc. | 15.27% | -1.52% | 7.37% | 34.08% | 7.82% | 11.81% |
SYY Sysco Corporation | -4.24% | -1.45% | -2.48% | 2.09% | 9.72% | 9.53% |
AVGO Broadcom Inc. | -0.61% | 35.47% | 40.93% | 67.02% | 56.65% | 36.47% |
XEL Xcel Energy Inc. | 5.29% | -2.06% | -0.41% | 30.47% | 6.21% | 10.75% |
CMS CMS Energy Corporation | 7.80% | -3.27% | 3.82% | 17.99% | 8.17% | 10.81% |
HD The Home Depot, Inc. | -4.06% | 4.63% | -8.60% | 14.96% | 11.57% | 15.38% |
CINF Cincinnati Financial Corporation | 2.58% | 10.21% | -4.27% | 26.40% | 23.87% | 14.34% |
MCD McDonald's Corporation | 9.79% | -0.83% | 10.99% | 21.97% | 14.00% | 15.18% |
NEE NextEra Energy, Inc. | 0.61% | 7.35% | -6.14% | -3.62% | 6.66% | 13.72% |
Monthly Returns
The table below presents the monthly returns of 10 High Sharpe Ratio Dividend Stocks in the S&P 500, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -0.32% | 4.14% | -1.35% | -0.57% | 2.81% | 4.68% | |||||||
| 2024 | 0.75% | 0.49% | 4.24% | -2.67% | 2.86% | 0.39% | 6.43% | 5.89% | 3.95% | -1.82% | 4.83% | -1.58% | 25.86% |
| 2023 | 1.57% | -2.86% | 2.88% | 0.90% | -2.76% | 3.51% | 2.83% | -4.42% | -6.61% | -0.44% | 5.86% | 5.77% | 5.46% |
| 2022 | -4.74% | -1.10% | 4.77% | -3.77% | 2.05% | -4.67% | 3.31% | -2.75% | -9.90% | 7.31% | 7.27% | -3.09% | -6.70% |
| 2021 | -0.90% | -0.16% | 8.38% | 5.48% | -0.32% | -1.85% | 4.22% | 2.59% | -3.86% | 5.40% | -0.41% | 9.54% | 30.79% |
| 2020 | 4.75% | -9.19% | -11.93% | 6.95% | 3.23% | 0.22% | 8.14% | 3.40% | 1.18% | -1.57% | 5.29% | 2.61% | 11.54% |
| 2019 | 4.77% | 4.19% | 3.37% | 3.53% | -1.43% | 5.50% | 1.12% | 6.47% | 2.21% | 0.46% | -1.86% | 1.79% | 34.16% |
| 2018 | -0.78% | -5.42% | 2.47% | 1.91% | 0.73% | 1.80% | 1.41% | 3.01% | 0.93% | -0.96% | 4.74% | -4.12% | 5.39% |
| 2017 | 1.04% | 4.93% | 0.73% | 2.24% | 4.13% | -0.99% | 2.40% | 2.88% | -0.86% | 3.08% | 4.35% | -1.43% | 24.66% |
| 2016 | 2.08% | 2.07% | 7.92% | -2.29% | 3.18% | 5.16% | 0.68% | -2.65% | -1.30% | -1.11% | 0.48% | 3.77% | 18.94% |
| 2015 | 2.52% | 1.12% | 0.09% | -3.30% | 3.50% | -4.02% | 5.83% | -1.71% | 3.25% | 4.87% | 1.48% | 2.70% | 17.01% |
| 2014 | 0.88% | 3.86% | 2.58% | 2.54% | 0.74% | 2.15% | -4.77% | 6.89% | -1.94% | 6.54% | 3.20% | 3.54% | 28.87% |
Expense Ratio
10 High Sharpe Ratio Dividend Stocks in the S&P 500 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 90, 10 High Sharpe Ratio Dividend Stocks in the S&P 500 is among the top 10% 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.
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 | |
|---|---|---|---|---|---|
MAA Mid-America Apartment Communities, Inc. | 0.89 | 1.29 | 1.16 | 0.46 | 3.60 |
WEC WEC Energy Group, Inc. | 1.73 | 2.32 | 1.28 | 1.26 | 7.57 |
SYY Sysco Corporation | -0.07 | 0.01 | 1.00 | -0.12 | -0.31 |
AVGO Broadcom Inc. | 1.06 | 1.81 | 1.24 | 1.62 | 4.47 |
XEL Xcel Energy Inc. | 1.34 | 2.02 | 1.27 | 1.09 | 7.03 |
CMS CMS Energy Corporation | 0.94 | 1.26 | 1.16 | 1.08 | 3.74 |
HD The Home Depot, Inc. | 0.57 | 0.80 | 1.09 | 0.48 | 1.22 |
CINF Cincinnati Financial Corporation | 1.06 | 1.42 | 1.20 | 1.25 | 3.17 |
MCD McDonald's Corporation | 1.09 | 1.40 | 1.18 | 1.10 | 3.94 |
NEE NextEra Energy, Inc. | -0.15 | 0.04 | 1.00 | -0.13 | -0.27 |
Loading data...
Dividends
Dividend yield
10 High Sharpe Ratio Dividend Stocks in the S&P 500 provided a 2.68% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.68% | 2.62% | 2.95% | 2.66% | 2.24% | 2.58% | 2.49% | 2.85% | 2.64% | 2.72% | 2.84% | 2.89% |
| Portfolio components: | ||||||||||||
MAA Mid-America Apartment Communities, Inc. | 3.83% | 3.80% | 4.16% | 2.98% | 2.25% | 3.16% | 2.91% | 3.86% | 3.46% | 3.35% | 3.39% | 3.91% |
WEC WEC Energy Group, Inc. | 3.24% | 3.55% | 3.71% | 3.10% | 2.79% | 2.75% | 2.56% | 3.19% | 3.13% | 3.38% | 3.40% | 2.96% |
SYY Sysco Corporation | 2.82% | 2.64% | 2.71% | 2.51% | 2.34% | 2.42% | 1.82% | 2.30% | 2.17% | 2.24% | 2.20% | 2.95% |
AVGO Broadcom Inc. | 0.97% | 0.94% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% |
XEL Xcel Energy Inc. | 3.17% | 2.43% | 3.36% | 2.78% | 2.71% | 2.58% | 2.55% | 3.09% | 2.99% | 3.34% | 3.56% | 3.34% |
CMS CMS Energy Corporation | 2.99% | 3.09% | 3.36% | 2.91% | 2.67% | 2.67% | 2.43% | 2.88% | 2.81% | 2.98% | 3.22% | 3.11% |
HD The Home Depot, Inc. | 2.44% | 2.31% | 2.41% | 2.41% | 1.59% | 2.26% | 2.49% | 2.40% | 1.88% | 2.06% | 1.78% | 1.79% |
CINF Cincinnati Financial Corporation | 2.25% | 2.25% | 2.90% | 2.70% | 2.21% | 2.75% | 2.13% | 2.74% | 3.33% | 2.53% | 3.89% | 3.40% |
MCD McDonald's Corporation | 2.17% | 2.34% | 2.10% | 2.15% | 1.96% | 2.35% | 2.39% | 2.36% | 2.23% | 2.97% | 2.91% | 3.50% |
NEE NextEra Energy, Inc. | 2.95% | 2.87% | 3.08% | 2.03% | 1.65% | 1.81% | 2.06% | 2.55% | 2.52% | 2.91% | 2.96% | 2.73% |
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.
Loading data...
Worst Drawdowns
The table below displays the maximum drawdowns of the 10 High Sharpe Ratio Dividend Stocks in the S&P 500. 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 10 High Sharpe Ratio Dividend Stocks in the S&P 500 was 36.41%, occurring on Mar 23, 2020. Recovery took 138 trading sessions.
The current 10 High Sharpe Ratio Dividend Stocks in the S&P 500 drawdown is 2.02%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -36.41% | Feb 18, 2020 | 25 | Mar 23, 2020 | 138 | Oct 7, 2020 | 163 |
| -19.74% | Apr 21, 2022 | 121 | Oct 12, 2022 | 351 | Mar 7, 2024 | 472 |
| -15.25% | Jul 8, 2011 | 22 | Aug 8, 2011 | 57 | Oct 27, 2011 | 79 |
| -10.58% | Dec 11, 2017 | 41 | Feb 8, 2018 | 102 | Jul 6, 2018 | 143 |
| -9.2% | Mar 3, 2025 | 27 | Apr 8, 2025 | 23 | May 12, 2025 | 50 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading data...
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
| ^GSPC | AVGO | MCD | SYY | HD | MAA | CINF | NEE | WEC | XEL | CMS | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.61 | 0.49 | 0.51 | 0.63 | 0.47 | 0.62 | 0.41 | 0.34 | 0.35 | 0.35 | 0.72 |
| AVGO | 0.61 | 1.00 | 0.28 | 0.24 | 0.36 | 0.23 | 0.30 | 0.17 | 0.10 | 0.13 | 0.12 | 0.51 |
| MCD | 0.49 | 0.28 | 1.00 | 0.41 | 0.40 | 0.35 | 0.39 | 0.35 | 0.36 | 0.36 | 0.36 | 0.59 |
| SYY | 0.51 | 0.24 | 0.41 | 1.00 | 0.41 | 0.36 | 0.47 | 0.32 | 0.34 | 0.34 | 0.34 | 0.60 |
| HD | 0.63 | 0.36 | 0.40 | 0.41 | 1.00 | 0.39 | 0.45 | 0.32 | 0.28 | 0.29 | 0.29 | 0.61 |
| MAA | 0.47 | 0.23 | 0.35 | 0.36 | 0.39 | 1.00 | 0.43 | 0.45 | 0.47 | 0.46 | 0.48 | 0.66 |
| CINF | 0.62 | 0.30 | 0.39 | 0.47 | 0.45 | 0.43 | 1.00 | 0.35 | 0.38 | 0.38 | 0.40 | 0.66 |
| NEE | 0.41 | 0.17 | 0.35 | 0.32 | 0.32 | 0.45 | 0.35 | 1.00 | 0.68 | 0.69 | 0.69 | 0.70 |
| WEC | 0.34 | 0.10 | 0.36 | 0.34 | 0.28 | 0.47 | 0.38 | 0.68 | 1.00 | 0.83 | 0.83 | 0.72 |
| XEL | 0.35 | 0.13 | 0.36 | 0.34 | 0.29 | 0.46 | 0.38 | 0.69 | 0.83 | 1.00 | 0.82 | 0.72 |
| CMS | 0.35 | 0.12 | 0.36 | 0.34 | 0.29 | 0.48 | 0.40 | 0.69 | 0.83 | 0.82 | 1.00 | 0.72 |
| Portfolio | 0.72 | 0.51 | 0.59 | 0.60 | 0.61 | 0.66 | 0.66 | 0.70 | 0.72 | 0.72 | 0.72 | 1.00 |