10 High Sharpe Ratio Dividend Stocks in the S&P 500
Asset Allocation
| Position | Category/Sector | 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
The chart shows the growth of an initial investment of $10,000 in 10 High Sharpe Ratio Dividend Stocks in the S&P 500, 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
The earliest data available for this chart is Aug 6, 2009, corresponding to the inception date of AVGO
Returns By Period
As of Sep 17, 2024, the 10 High Sharpe Ratio Dividend Stocks in the S&P 500 returned 22.94% Year-To-Date and 17.24% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 18.10% | 1.42% | 9.39% | 26.58% | 13.42% | 10.88% |
| 10 High Sharpe Ratio Dividend Stocks in the S&P 500 | 22.94% | 5.77% | 20.46% | 28.47% | 12.42% | 17.24% |
| Portfolio components: | ||||||
MAA Mid-America Apartment Communities, Inc. | 28.08% | 9.04% | 31.22% | 26.11% | 8.84% | 13.52% |
WEC WEC Energy Group, Inc. | 17.69% | 7.38% | 20.96% | 15.97% | 3.89% | 11.68% |
SYY Sysco Corporation | 7.62% | 0.72% | -3.08% | 11.67% | 2.21% | 10.22% |
AVGO Broadcom Inc. | 48.03% | -1.03% | 33.56% | 95.97% | 46.26% | 38.08% |
XEL Xcel Energy Inc. | 7.39% | 8.57% | 26.40% | 15.66% | 3.25% | 11.02% |
CMS CMS Energy Corporation | 24.47% | 6.06% | 22.84% | 27.48% | 5.48% | 12.42% |
HD The Home Depot, Inc. | 12.34% | 6.15% | 4.06% | 21.94% | 13.37% | 18.03% |
CINF Cincinnati Financial Corporation | 34.66% | 4.78% | 17.05% | 30.93% | 6.40% | 14.23% |
MCD McDonald's Corporation | 1.88% | 7.16% | 7.82% | 9.22% | 9.66% | 15.10% |
NEE NextEra Energy, Inc. | 42.45% | 8.42% | 42.50% | 27.08% | 11.21% | 16.53% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.75% | 0.49% | 4.24% | -2.67% | 2.86% | 0.39% | 6.43% | 5.89% | 22.94% | ||||
| 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% | 2.54% | 1.91% | 0.73% | 1.87% | 1.41% | 3.01% | 0.93% | -0.96% | 4.74% | -4.12% | 5.53% |
| 2017 | 1.04% | 5.03% | 0.73% | 2.24% | 4.13% | -0.99% | 2.40% | 2.88% | -0.86% | 3.08% | 4.35% | -1.43% | 24.79% |
| 2016 | 2.08% | 2.19% | 7.93% | -2.29% | 3.18% | 5.16% | 0.68% | -2.65% | -1.30% | -1.11% | 0.48% | 3.77% | 19.09% |
| 2015 | 2.52% | 1.28% | 0.10% | -3.30% | 3.50% | -4.02% | 5.83% | -1.71% | 3.25% | 4.87% | 1.48% | 2.70% | 17.20% |
| 2014 | 0.88% | 4.11% | 2.59% | 2.54% | 0.74% | 2.15% | -4.77% | 6.89% | -1.94% | 6.54% | 3.20% | 3.54% | 29.18% |
| 2013 | 6.15% | 3.00% | 4.75% | 2.53% | -2.48% | 0.78% | 3.05% | -5.03% | 1.94% | 4.44% | -0.28% | 3.28% | 23.84% |
Expense Ratio
10 High Sharpe Ratio Dividend Stocks in the S&P 500 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of 10 High Sharpe Ratio Dividend Stocks in the S&P 500 is 55, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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. | 1.16 | 1.75 | 1.21 | 0.58 | 4.80 |
WEC WEC Energy Group, Inc. | 0.79 | 1.19 | 1.15 | 0.59 | 2.59 |
SYY Sysco Corporation | 0.61 | 1.02 | 1.13 | 0.42 | 1.71 |
AVGO Broadcom Inc. | 2.01 | 2.63 | 1.34 | 3.62 | 11.32 |
XEL Xcel Energy Inc. | 0.63 | 0.95 | 1.13 | 0.41 | 1.42 |
CMS CMS Energy Corporation | 1.50 | 2.11 | 1.27 | 0.98 | 7.37 |
HD The Home Depot, Inc. | 0.91 | 1.41 | 1.17 | 0.62 | 2.13 |
CINF Cincinnati Financial Corporation | 1.48 | 2.01 | 1.26 | 1.08 | 6.09 |
MCD McDonald's Corporation | 0.38 | 0.66 | 1.08 | 0.39 | 0.83 |
NEE NextEra Energy, Inc. | 0.84 | 1.24 | 1.17 | 0.58 | 2.18 |
Dividends
Dividend yield
10 High Sharpe Ratio Dividend Stocks in the S&P 500 granted a 2.57% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 10 High Sharpe Ratio Dividend Stocks in the S&P 500 | 2.57% | 2.95% | 2.66% | 2.24% | 2.58% | 2.49% | 2.85% | 2.64% | 2.72% | 2.84% | 2.89% | 3.27% |
| Portfolio components: | ||||||||||||
MAA Mid-America Apartment Communities, Inc. | 3.49% | 4.16% | 2.98% | 2.25% | 3.16% | 2.91% | 3.86% | 3.46% | 3.35% | 3.39% | 3.91% | 4.58% |
WEC WEC Energy Group, Inc. | 3.42% | 3.71% | 3.10% | 2.79% | 2.75% | 2.56% | 3.19% | 3.13% | 3.38% | 3.40% | 2.96% | 3.50% |
SYY Sysco Corporation | 2.61% | 2.71% | 2.51% | 2.34% | 2.42% | 1.82% | 2.30% | 2.17% | 2.24% | 2.20% | 2.95% | 3.91% |
AVGO Broadcom Inc. | 1.24% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% | 1.22% | 1.66% |
XEL Xcel Energy Inc. | 3.35% | 3.36% | 2.78% | 2.70% | 2.58% | 2.55% | 3.09% | 2.99% | 3.34% | 3.56% | 3.34% | 3.97% |
CMS CMS Energy Corporation | 2.88% | 3.36% | 2.91% | 2.67% | 2.67% | 2.43% | 2.88% | 2.81% | 2.98% | 3.22% | 3.11% | 3.81% |
HD The Home Depot, Inc. | 2.31% | 2.41% | 2.41% | 1.59% | 2.26% | 2.49% | 2.40% | 1.88% | 2.06% | 1.78% | 1.79% | 1.89% |
CINF Cincinnati Financial Corporation | 1.73% | 2.90% | 2.70% | 2.21% | 2.75% | 2.13% | 2.74% | 3.32% | 2.52% | 3.84% | 3.35% | 3.12% |
MCD McDonald's Corporation | 2.25% | 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. | 2.38% | 3.08% | 2.03% | 1.65% | 1.81% | 2.06% | 2.55% | 2.52% | 2.91% | 2.96% | 2.73% | 3.08% |
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.
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.
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 |
| -9.02% | Dec 14, 2018 | 7 | Dec 24, 2018 | 27 | Feb 4, 2019 | 34 |
Volatility
Volatility Chart
The current 10 High Sharpe Ratio Dividend Stocks in the S&P 500 volatility is 2.83%, 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.
Diversification
Asset Correlations Table
| AVGO | HD | SYY | MCD | CINF | MAA | NEE | WEC | XEL | CMS | |
|---|---|---|---|---|---|---|---|---|---|---|
| AVGO | 1.00 | 0.37 | 0.25 | 0.29 | 0.32 | 0.25 | 0.19 | 0.12 | 0.14 | 0.14 |
| HD | 0.37 | 1.00 | 0.41 | 0.40 | 0.45 | 0.38 | 0.32 | 0.28 | 0.28 | 0.29 |
| SYY | 0.25 | 0.41 | 1.00 | 0.40 | 0.48 | 0.36 | 0.32 | 0.33 | 0.34 | 0.34 |
| MCD | 0.29 | 0.40 | 0.40 | 1.00 | 0.40 | 0.35 | 0.36 | 0.36 | 0.37 | 0.36 |
| CINF | 0.32 | 0.45 | 0.48 | 0.40 | 1.00 | 0.43 | 0.35 | 0.38 | 0.38 | 0.40 |
| MAA | 0.25 | 0.38 | 0.36 | 0.35 | 0.43 | 1.00 | 0.45 | 0.47 | 0.46 | 0.47 |
| NEE | 0.19 | 0.32 | 0.32 | 0.36 | 0.35 | 0.45 | 1.00 | 0.69 | 0.70 | 0.70 |
| WEC | 0.12 | 0.28 | 0.33 | 0.36 | 0.38 | 0.47 | 0.69 | 1.00 | 0.84 | 0.83 |
| XEL | 0.14 | 0.28 | 0.34 | 0.37 | 0.38 | 0.46 | 0.70 | 0.84 | 1.00 | 0.83 |
| CMS | 0.14 | 0.29 | 0.34 | 0.36 | 0.40 | 0.47 | 0.70 | 0.83 | 0.83 | 1.00 |