Quality Growth Less SC

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Quality Growth Less SC

Last updated Sep 19, 2024

Asset Allocation

Position	Category/Sector	Weight
AAPL Apple Inc	Technology	15.80%
ADBE Adobe Inc	Technology	4.60%
AMZN Amazon.com, Inc.	Consumer Cyclical	6%
COST Costco Wholesale Corporation	Consumer Defensive	4.40%
GOOGL Alphabet Inc.	Communication Services	8.40%
JNJ Johnson & Johnson	Healthcare	5.80%
LLY Eli Lilly and Company	Healthcare	3.40%
MA Mastercard Inc	Financial Services	6.40%
META Meta Platforms, Inc.	Communication Services	5.10%
MSFT Microsoft Corporation	Technology	20.90%
NFLX Netflix, Inc.	Communication Services	5.30%
PG The Procter & Gamble Company	Consumer Defensive	5.40%
TSLA Tesla, Inc.	Consumer Cyclical	1.90%
V Visa Inc.	Financial Services	6.60%

Benchmark

Rebalance portfolio

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Quality Growth Less SC, 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

Quality Growth Less SC

Benchmark (^GSPC)

Portfolio components

The earliest data available for this chart is May 18, 2012, corresponding to the inception date of META

Returns By Period

As of Sep 19, 2024, the Quality Growth Less SC returned 20.10% Year-To-Date and 25.03% 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	17.79%	0.18%	7.53%	26.42%	13.48%	10.85%
Quality Growth Less SC	20.10%	0.60%	9.93%	32.56%	25.83%	25.16%
Portfolio components:
MSFT Microsoft Corporation	15.19%	1.41%	0.70%	35.31%	26.56%	26.83%
AAPL Apple Inc	15.06%	-2.57%	29.10%	26.40%	33.30%	25.76%
GOOGL Alphabet Inc.	14.69%	-4.28%	8.54%	19.79%	21.18%	18.34%
V Visa Inc.	11.44%	7.63%	-0.27%	20.21%	11.45%	19.24%
MA Mastercard Inc	16.52%	5.47%	1.54%	21.23%	13.45%	21.38%
AMZN Amazon.com, Inc.	22.70%	4.22%	4.65%	37.80%	15.81%	27.73%
JNJ Johnson & Johnson	8.49%	4.53%	8.36%	5.22%	7.71%	7.34%
PG The Procter & Gamble Company	20.93%	2.06%	8.79%	16.20%	10.03%	10.55%
NFLX Netflix, Inc.	41.82%	-1.16%	10.88%	78.74%	20.66%	27.07%
META Meta Platforms, Inc.	52.44%	2.23%	6.15%	80.05%	23.30%	21.58%
ADBE Adobe Inc	-14.83%	-9.63%	-0.61%	-5.16%	12.87%	22.48%
COST Costco Wholesale Corporation	35.82%	1.86%	20.56%	62.92%	27.79%	24.31%
LLY Eli Lilly and Company	56.00%	-4.74%	17.85%	59.93%	53.06%	32.57%
TSLA Tesla, Inc.	-8.56%	2.76%	31.47%	-13.48%	70.20%	29.93%

Monthly Returns

The table below presents the monthly returns of Quality Growth Less SC, 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	3.54%	4.58%	-0.04%	-3.67%	6.03%	6.47%	-1.25%	3.23%					20.10%
2023	9.10%	-1.91%	10.70%	3.91%	5.76%	7.05%	2.48%	-0.17%	-5.16%	1.39%	10.12%	1.86%	53.78%
2022	-5.47%	-5.13%	4.01%	-10.60%	-2.39%	-6.78%	11.37%	-5.10%	-9.63%	4.66%	5.32%	-6.64%	-25.42%
2021	-0.59%	-0.03%	1.89%	6.69%	-1.56%	6.39%	5.02%	3.57%	-5.28%	8.02%	0.68%	3.57%	31.30%
2020	6.54%	-6.24%	-5.77%	15.10%	4.62%	6.97%	6.79%	13.53%	-6.89%	-4.31%	8.62%	5.58%	50.20%
2019	7.87%	4.10%	5.12%	5.75%	-6.46%	7.42%	2.73%	-0.57%	0.45%	4.98%	5.20%	5.12%	49.37%
2018	9.08%	0.26%	-3.18%	2.04%	6.75%	2.25%	3.31%	8.13%	0.30%	-6.11%	-0.57%	-8.13%	13.32%
2017	5.72%	4.88%	2.94%	3.09%	4.68%	-2.67%	4.67%	3.31%	-0.43%	7.45%	2.06%	0.41%	42.15%
2016	-4.58%	-3.38%	7.83%	-4.28%	4.64%	-2.74%	7.44%	1.21%	2.61%	1.74%	-3.20%	3.10%	9.73%
2015	-0.59%	7.06%	-3.74%	6.87%	2.00%	-1.09%	7.18%	-4.76%	-0.67%	11.49%	2.79%	-0.76%	27.37%
2014	-1.28%	5.68%	-2.31%	-0.39%	5.08%	2.45%	0.58%	5.54%	-0.14%	2.33%	4.02%	-2.92%	19.70%
2013	6.48%	1.56%	2.49%	5.88%	4.52%	-1.05%	6.67%	2.92%	4.86%	6.93%	5.35%	2.17%	60.79%

Expense Ratio

Quality Growth Less SC 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 Quality Growth Less SC is 62, 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.

Quality Growth Less SC

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

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.

Quality Growth Less SC

^GSPC

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
MSFT Microsoft Corporation	1.61	2.13	1.28	2.06	6.26
AAPL Apple Inc	1.11	1.70	1.21	1.48	3.49
GOOGL Alphabet Inc.	0.56	0.91	1.13	0.72	2.07
V Visa Inc.	1.25	1.70	1.22	1.51	3.86
MA Mastercard Inc	1.16	1.56	1.22	1.53	3.67
AMZN Amazon.com, Inc.	1.16	1.69	1.22	0.92	5.55
JNJ Johnson & Johnson	0.36	0.63	1.08	0.30	0.96
PG The Procter & Gamble Company	1.04	1.50	1.20	1.64	6.21
NFLX Netflix, Inc.	2.34	3.42	1.44	1.50	16.53
META Meta Platforms, Inc.	2.14	3.02	1.40	3.19	12.89
ADBE Adobe Inc	-0.13	0.05	1.01	-0.13	-0.31
COST Costco Wholesale Corporation	3.23	3.82	1.57	6.16	16.19
LLY Eli Lilly and Company	1.96	2.72	1.36	3.17	11.60
TSLA Tesla, Inc.	-0.27	-0.03	1.00	-0.22	-0.59

Sharpe Ratio

The current Quality Growth Less SC Sharpe ratio is 2.10. 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 1.71 to 2.36, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Quality Growth Less SC 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.

Quality Growth Less SC

Benchmark (^GSPC)

Portfolio components

Dividends

Dividend yield

Quality Growth Less SC granted a 0.74% dividend yield in the last twelve months.

	TTM	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014	2013
Quality Growth Less SC	0.74%	0.78%	0.76%	0.61%	0.83%	0.86%	1.15%	1.29%	1.37%	1.48%	1.30%	1.43%
Portfolio components:
MSFT Microsoft Corporation	0.70%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%	2.48%	2.59%
AAPL Apple Inc	0.44%	0.49%	0.70%	0.49%	0.61%	1.04%	1.79%	1.45%	1.93%	1.93%	1.67%	2.10%
GOOGL Alphabet Inc.	0.25%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
V Visa Inc.	0.72%	0.72%	0.76%	0.62%	0.56%	0.56%	0.67%	0.61%	0.75%	0.64%	0.64%	0.62%
MA Mastercard Inc	0.52%	0.53%	0.56%	0.49%	0.45%	0.44%	0.53%	0.58%	0.74%	0.66%	0.51%	0.25%
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%
JNJ Johnson & Johnson	2.93%	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	2.24%	2.55%	2.38%	2.08%	2.24%	2.37%	3.09%	2.98%	3.18%	3.31%	2.78%	2.91%
NFLX Netflix, 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%
META Meta Platforms, Inc.	0.28%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
ADBE Adobe 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%
COST Costco Wholesale Corporation	2.17%	2.87%	0.76%	0.54%	3.38%	0.86%	1.08%	4.81%	1.09%	4.06%	0.97%	1.01%
LLY Eli Lilly and Company	0.56%	0.78%	1.07%	1.23%	1.75%	1.96%	1.94%	2.46%	2.77%	2.37%	2.84%	3.84%
TSLA Tesla, 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%

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.

Quality Growth Less SC

Benchmark (^GSPC)

Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Quality Growth Less SC. 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 Quality Growth Less SC was 30.45%, occurring on Nov 3, 2022. Recovery took 152 trading sessions.

The current Quality Growth Less SC drawdown is 2.47%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-30.45%	Dec 28, 2021	216	Nov 3, 2022	152	Jun 14, 2023	368
-26.94%	Feb 20, 2020	23	Mar 23, 2020	52	Jun 5, 2020	75
-21.28%	Oct 2, 2018	58	Dec 24, 2018	59	Mar 21, 2019	117
-14.65%	Dec 7, 2015	43	Feb 8, 2016	119	Jul 28, 2016	162
-13.03%	Sep 3, 2020	14	Sep 23, 2020	66	Dec 28, 2020	80

Volatility

Volatility Chart

The current Quality Growth Less SC volatility is 3.44%, 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.

Quality Growth Less SC

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.

	LLY	PG	TSLA	JNJ	NFLX	COST	META	AAPL	AMZN	V	MA	ADBE	GOOGL	MSFT
LLY	1.00	0.33	0.14	0.46	0.20	0.30	0.25	0.24	0.26	0.31	0.30	0.30	0.29	0.33
PG	0.33	1.00	0.11	0.48	0.16	0.40	0.18	0.25	0.23	0.36	0.36	0.28	0.28	0.33
TSLA	0.14	0.11	1.00	0.11	0.37	0.25	0.33	0.37	0.39	0.29	0.31	0.38	0.36	0.36
JNJ	0.46	0.48	0.11	1.00	0.17	0.34	0.19	0.23	0.24	0.39	0.38	0.29	0.30	0.31
NFLX	0.20	0.16	0.37	0.17	1.00	0.29	0.46	0.39	0.52	0.36	0.38	0.49	0.46	0.44
COST	0.30	0.40	0.25	0.34	0.29	1.00	0.31	0.38	0.41	0.41	0.40	0.42	0.41	0.45
META	0.25	0.18	0.33	0.19	0.46	0.31	1.00	0.45	0.56	0.44	0.43	0.52	0.60	0.50
AAPL	0.24	0.25	0.37	0.23	0.39	0.38	0.45	1.00	0.50	0.45	0.46	0.49	0.54	0.56
AMZN	0.26	0.23	0.39	0.24	0.52	0.41	0.56	0.50	1.00	0.49	0.50	0.59	0.65	0.60
V	0.31	0.36	0.29	0.39	0.36	0.41	0.44	0.45	0.49	1.00	0.83	0.58	0.54	0.55
MA	0.30	0.36	0.31	0.38	0.38	0.40	0.43	0.46	0.50	0.83	1.00	0.57	0.54	0.56
ADBE	0.30	0.28	0.38	0.29	0.49	0.42	0.52	0.49	0.59	0.58	0.57	1.00	0.60	0.66
GOOGL	0.29	0.28	0.36	0.30	0.46	0.41	0.60	0.54	0.65	0.54	0.54	0.60	1.00	0.65
MSFT	0.33	0.33	0.36	0.31	0.44	0.45	0.50	0.56	0.60	0.55	0.56	0.66	0.65	1.00

The correlation results are calculated based on daily price changes starting from May 21, 2012

Performance Analysis

Risk Analysis

Optimization

Factor Model

Quality Growth Less SC

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

Portfolios

Screeners

Community