Sabine3-11-2023

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Sabine3-11-2023

Currency in USD · Last updated May 11, 2025

Sabine's Portfolio,

Asset Allocation

Position	Category/Sector	Target Weight
AAPL Apple Inc	Technology	9.60%
BNTX BioNTech SE	Healthcare	1.30%
CL Colgate-Palmolive Company	Consumer Defensive	7.70%
EL The Estee Lauder Companies Inc.	Consumer Defensive	33%
JNJ Johnson & Johnson	Healthcare	4%
KO The Coca-Cola Company	Consumer Defensive	4%
MMM 3M Company	Industrials	11%
MNST Monster Beverage Corporation	Consumer Defensive	1.17%
PFE Pfizer Inc.	Healthcare	6%
VZ Verizon Communications Inc.	Communication Services	9.16%
WBA Walgreens Boots Alliance, Inc.	Healthcare	13.07%

Benchmark

Rebalance

Performance

Performance Chart

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The earliest data available for this chart is Oct 10, 2019, corresponding to the inception date of BNTX

Returns By Period

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	-3.77%	7.44%	-5.60%	8.37%	14.12%	10.46%
Sabine3-11-2023	-3.35%	6.76%	1.94%	-16.38%	-2.49%	N/A
Portfolio components:
AAPL Apple Inc	-20.63%	4.26%	-12.43%	8.82%	21.04%	21.59%
BNTX BioNTech SE	-18.59%	-0.38%	-16.15%	1.20%	13.51%	N/A
CL Colgate-Palmolive Company	-0.09%	-1.62%	-1.89%	-3.53%	7.80%	5.33%
EL The Estee Lauder Companies Inc.	-18.27%	14.43%	-3.64%	-52.75%	-17.54%	-2.35%
JNJ Johnson & Johnson	7.49%	3.72%	0.79%	6.18%	3.55%	7.32%
KO The Coca-Cola Company	14.10%	-0.34%	11.98%	14.81%	12.59%	8.99%
MMM 3M Company	11.01%	7.24%	7.24%	47.43%	7.39%	4.00%
MNST Monster Beverage Corporation	16.06%	5.59%	12.67%	9.99%	12.98%	10.94%
PFE Pfizer Inc.	-13.00%	5.16%	-13.62%	-15.14%	-4.98%	0.57%
VZ Verizon Communications Inc.	12.82%	1.61%	11.46%	15.28%	0.63%	3.91%
WBA Walgreens Boots Alliance, Inc.	20.26%	4.96%	27.46%	-30.18%	-18.94%	-15.11%

*Annualized

Monthly Returns

The table below presents the monthly returns of Sabine3-11-2023, 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	6.61%	-1.61%	-2.82%	-4.66%	-0.55%								-3.35%
2024	-5.42%	2.94%	3.73%	-4.25%	-2.73%	-5.63%	2.48%	-2.48%	3.49%	-12.15%	2.49%	-0.08%	-17.41%
2023	3.33%	-6.47%	1.71%	1.36%	-12.42%	3.89%	-1.23%	-6.22%	-8.80%	-4.05%	3.71%	9.39%	-16.63%
2022	-7.59%	-5.24%	-1.97%	-3.74%	1.33%	-4.16%	5.19%	-7.43%	-11.08%	3.84%	9.47%	-1.34%	-22.08%
2021	-1.39%	4.24%	5.59%	4.91%	-0.24%	1.79%	2.42%	2.32%	-8.40%	3.90%	1.78%	9.68%	28.74%
2020	-3.85%	-7.44%	-6.26%	8.42%	5.86%	-1.39%	5.15%	7.21%	-2.90%	-1.50%	11.08%	4.12%	17.73%
2019										2.28%	4.80%	5.02%	12.57%

Expense Ratio

Sabine3-11-2023 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

The current rank of Sabine3-11-2023 is 1, meaning it’s performing worse than 99% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

Overall Rank

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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AAPL Apple Inc	0.25	0.63	1.09	0.28	0.95
BNTX BioNTech SE	0.01	0.47	1.06	0.03	0.15
CL Colgate-Palmolive Company	-0.12	-0.03	1.00	-0.12	-0.22
EL The Estee Lauder Companies Inc.	-1.08	-1.53	0.78	-0.60	-1.29
JNJ Johnson & Johnson	0.34	0.62	1.09	0.41	1.10
KO The Coca-Cola Company	0.94	1.45	1.18	1.03	2.27
MMM 3M Company	1.41	2.67	1.36	1.46	9.30
MNST Monster Beverage Corporation	0.42	0.76	1.11	0.44	1.36
PFE Pfizer Inc.	-0.66	-0.64	0.93	-0.22	-0.99
VZ Verizon Communications Inc.	0.77	1.17	1.17	0.82	3.35
WBA Walgreens Boots Alliance, Inc.	-0.48	-0.43	0.94	-0.37	-0.79

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.

Sabine3-11-2023 Sharpe ratios as of May 11, 2025 (values are recalculated daily):

1-Year: -0.69
5-Year: -0.13
All Time: -0.10

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 0.41 to 0.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Sabine3-11-2023 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

Sabine3-11-2023 provided a 3.66% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	3.66%	4.17%	3.62%	2.81%	2.06%	2.22%	2.13%	2.24%	2.00%	2.26%	2.14%	1.98%
Portfolio components:
AAPL Apple Inc	0.38%	0.40%	0.49%	0.70%	0.49%	0.61%	1.04%	1.79%	1.45%	1.93%	1.93%	1.67%
BNTX BioNTech SE	0.00%	0.00%	0.00%	1.41%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
CL Colgate-Palmolive Company	2.25%	2.18%	2.40%	2.36%	2.10%	2.05%	2.48%	2.79%	2.11%	2.37%	2.25%	2.05%
EL The Estee Lauder Companies Inc.	3.31%	3.11%	1.81%	0.99%	0.59%	0.56%	0.86%	1.21%	1.10%	1.62%	1.16%	1.10%
JNJ Johnson & Johnson	3.22%	3.40%	3.00%	2.52%	2.45%	2.53%	2.57%	2.74%	2.38%	2.73%	2.87%	2.64%
KO The Coca-Cola Company	2.79%	3.12%	3.12%	2.77%	2.84%	2.99%	2.89%	3.29%	3.23%	3.38%	3.07%	2.89%
MMM 3M Company	1.98%	2.60%	5.49%	4.97%	3.33%	3.36%	3.26%	2.86%	2.00%	2.49%	2.72%	2.08%
MNST Monster Beverage Corporation	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
PFE Pfizer Inc.	7.63%	6.33%	5.70%	3.12%	2.64%	3.92%	3.68%	3.12%	3.53%	3.69%	3.47%	3.34%
VZ Verizon Communications Inc.	6.19%	6.68%	6.96%	6.53%	4.86%	4.21%	3.95%	4.22%	4.39%	4.26%	4.79%	4.57%
WBA Walgreens Boots Alliance, Inc.	6.68%	10.72%	7.35%	5.13%	3.63%	4.64%	3.05%	2.46%	2.13%	1.78%	1.64%	1.71%

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 Sabine3-11-2023. 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 Sabine3-11-2023 was 53.65%, occurring on Apr 8, 2025. The portfolio has not yet recovered.

The current Sabine3-11-2023 drawdown is 48.37%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-53.65%	Jan 5, 2022	817	Apr 8, 2025	—	—	—
-26.97%	Jan 21, 2020	44	Mar 23, 2020	99	Aug 12, 2020	143
-9.32%	Sep 3, 2021	19	Sep 30, 2021	48	Dec 8, 2021	67
-7.05%	Sep 3, 2020	14	Sep 23, 2020	13	Oct 12, 2020	27
-5.9%	Oct 26, 2020	5	Oct 30, 2020	5	Nov 6, 2020	10

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 11 assets, with an effective number of assets of 5.93, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	^GSPC	BNTX	VZ	PFE	AAPL	WBA	CL	JNJ	MNST	MMM	EL	KO	Portfolio
^GSPC	1.00	0.30	0.29	0.33	0.72	0.40	0.31	0.33	0.53	0.55	0.58	0.43	0.70
BNTX	0.30	1.00	0.12	0.35	0.21	0.18	0.08	0.17	0.17	0.18	0.22	0.09	0.32
VZ	0.29	0.12	1.00	0.34	0.16	0.31	0.39	0.42	0.27	0.35	0.21	0.45	0.42
PFE	0.33	0.35	0.34	1.00	0.22	0.35	0.30	0.49	0.25	0.33	0.23	0.35	0.45
AAPL	0.72	0.21	0.16	0.22	1.00	0.24	0.21	0.22	0.43	0.33	0.43	0.29	0.55
WBA	0.40	0.18	0.31	0.35	0.24	1.00	0.24	0.33	0.27	0.44	0.33	0.31	0.62
CL	0.31	0.08	0.39	0.30	0.21	0.24	1.00	0.46	0.42	0.32	0.35	0.61	0.48
JNJ	0.33	0.17	0.42	0.49	0.22	0.33	0.46	1.00	0.33	0.36	0.27	0.48	0.47
MNST	0.53	0.17	0.27	0.25	0.43	0.27	0.42	0.33	1.00	0.32	0.44	0.52	0.53
MMM	0.55	0.18	0.35	0.33	0.33	0.44	0.32	0.36	0.32	1.00	0.42	0.40	0.63
EL	0.58	0.22	0.21	0.23	0.43	0.33	0.35	0.27	0.44	0.42	1.00	0.37	0.85
KO	0.43	0.09	0.45	0.35	0.29	0.31	0.61	0.48	0.52	0.40	0.37	1.00	0.53
Portfolio	0.70	0.32	0.42	0.45	0.55	0.62	0.48	0.47	0.53	0.63	0.85	0.53	1.00

The correlation results are calculated based on daily price changes starting from Oct 11, 2019

Performance Analysis

Risk Analysis

Optimization

Factor Model

Sabine3-11-2023

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

Portfolios

Screeners

Community