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Finance
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Risk-Adjusted Performance
Dividends
Drawdowns
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Asset Allocation


JPM 20%BAC 20%WFC 15%C 15%GS 10%MS 10%AXP 5%BRK-B 5%EquityEquity
PositionCategory/SectorWeight
AXP
American Express Company
Financial Services
5%
BAC
Bank of America Corporation
Financial Services
20%
BRK-B
Berkshire Hathaway Inc.
Financial Services
5%
C
Citigroup Inc.
Financial Services
15%
GS
The Goldman Sachs Group, Inc.
Financial Services
10%
JPM
JPMorgan Chase & Co.
Financial Services
20%
MS
Morgan Stanley
Financial Services
10%
WFC
Wells Fargo & Company
Financial Services
15%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Finance, 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


0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptemberOctober
21.67%
15.12%
Finance
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 4, 1999, corresponding to the inception date of GS

Returns By Period

As of Oct 16, 2024, the Finance returned 31.22% Year-To-Date and 12.73% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
21.92%3.36%15.12%32.96%14.22%11.94%
Finance31.22%10.73%21.67%58.45%14.16%12.73%
JPM
JPMorgan Chase & Co.
33.86%9.51%24.44%54.01%16.44%18.01%
BAC
Bank of America Corporation
27.63%9.03%23.05%60.49%9.57%12.35%
WFC
Wells Fargo & Company
30.69%19.42%13.24%55.82%7.84%5.63%
C
Citigroup Inc.
25.20%8.62%11.88%59.31%1.69%4.96%
GS
The Goldman Sachs Group, Inc.
38.01%9.06%33.21%70.73%23.48%13.67%
MS
Morgan Stanley
23.75%14.22%28.20%48.36%24.95%16.03%
AXP
American Express Company
49.80%7.35%27.72%83.67%20.13%14.58%
BRK-B
Berkshire Hathaway Inc.
29.73%3.37%16.57%33.63%17.33%12.97%

Monthly Returns

The table below presents the monthly returns of Finance, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.66%4.37%8.15%-1.50%5.22%-0.31%4.57%1.54%-2.33%31.22%
20239.97%-1.01%-10.97%4.09%-3.71%5.14%7.81%-8.36%-2.24%-4.49%14.18%10.64%19.02%
20223.15%-3.99%-5.31%-10.03%6.61%-13.94%9.76%-1.49%-9.67%15.14%8.01%-8.46%-13.94%
2021-1.10%15.90%6.74%5.49%6.58%-3.20%-1.50%5.69%-1.08%6.85%-7.15%0.60%36.88%
2020-4.28%-13.20%-25.29%10.67%1.66%0.68%1.37%3.94%-5.77%-2.75%24.11%9.37%-7.84%
201912.17%1.03%-2.69%10.38%-10.49%8.66%3.54%-6.50%5.60%5.05%5.67%4.26%40.10%
20187.28%-2.59%-6.47%-0.88%-1.24%-1.58%7.56%0.64%-3.45%-3.43%0.36%-13.54%-17.53%
2017-0.47%6.89%-3.60%-1.02%-3.18%8.50%1.02%-1.09%5.94%4.28%2.95%3.01%24.82%
2016-12.91%-6.29%5.66%7.00%1.14%-6.75%5.47%8.08%-3.74%5.03%19.16%5.35%25.90%
2015-11.57%7.88%-1.45%3.23%3.07%1.66%2.70%-7.57%-5.40%6.16%2.57%-3.15%-3.70%
2014-2.72%2.19%3.31%-4.05%0.44%2.50%0.08%4.41%1.96%1.91%0.83%3.35%14.80%
20136.52%1.31%2.54%2.43%11.03%-4.14%8.21%-5.90%1.31%2.27%8.41%1.22%39.68%

Expense Ratio

Finance 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 Finance is 65, 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.


The Risk-Adjusted Performance Rank of Finance is 6565
Combined Rank
The Sharpe Ratio Rank of Finance is 8282Sharpe Ratio Rank
The Sortino Ratio Rank of Finance is 7272Sortino Ratio Rank
The Omega Ratio Rank of Finance is 7373Omega Ratio Rank
The Calmar Ratio Rank of Finance is 3939Calmar Ratio Rank
The Martin Ratio Rank of Finance is 6060Martin 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.


Finance
Sharpe ratio
The chart of Sharpe ratio for Finance, currently valued at 3.07, compared to the broader market0.002.004.006.003.07
Sortino ratio
The chart of Sortino ratio for Finance, currently valued at 3.96, compared to the broader market-2.000.002.004.006.003.96
Omega ratio
The chart of Omega ratio for Finance, currently valued at 1.53, compared to the broader market0.801.001.201.401.601.801.53
Calmar ratio
The chart of Calmar ratio for Finance, currently valued at 2.08, compared to the broader market0.002.004.006.008.0010.0012.002.08
Martin ratio
The chart of Martin ratio for Finance, currently valued at 16.71, compared to the broader market0.0010.0020.0030.0040.0050.0016.71
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.74, compared to the broader market0.002.004.006.002.74
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.66, compared to the broader market-2.000.002.004.006.003.66
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.50, compared to the broader market0.801.001.201.401.601.801.50
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.43, compared to the broader market0.002.004.006.008.0010.0012.002.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 16.81, compared to the broader market0.0010.0020.0030.0040.0050.0016.81

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JPM
JPMorgan Chase & Co.
2.703.161.503.3515.45
BAC
Bank of America Corporation
2.593.641.451.3311.15
WFC
Wells Fargo & Company
2.242.961.391.859.83
C
Citigroup Inc.
2.242.931.370.6310.62
GS
The Goldman Sachs Group, Inc.
3.184.011.542.6527.20
MS
Morgan Stanley
2.022.531.371.589.62
AXP
American Express Company
3.694.391.643.1828.37
BRK-B
Berkshire Hathaway Inc.
2.543.371.433.2612.73

Sharpe Ratio

The current Finance Sharpe ratio is 3.07. 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 2.21 to 2.98, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of Finance 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.


Rolling 12-month Sharpe Ratio1.502.002.503.00MayJuneJulyAugustSeptemberOctober
3.07
2.74
Finance
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Finance granted a 2.31% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Finance2.31%2.71%2.87%1.95%2.61%2.24%2.47%1.57%1.53%1.59%1.27%1.13%
JPM
JPMorgan Chase & Co.
2.07%2.38%2.98%2.34%2.83%2.37%2.54%1.91%2.13%2.54%2.49%2.33%
BAC
Bank of America Corporation
2.33%2.73%2.60%1.75%2.38%1.87%2.19%1.32%1.13%1.19%0.67%0.26%
WFC
Wells Fargo & Company
2.30%2.64%2.66%1.25%4.04%3.57%3.56%2.54%2.75%2.71%2.46%2.53%
C
Citigroup Inc.
3.43%4.04%4.51%3.38%3.31%2.40%2.96%1.29%0.71%0.31%0.07%0.08%
GS
The Goldman Sachs Group, Inc.
2.15%2.72%2.62%1.70%1.90%1.80%1.89%1.14%1.09%1.41%1.16%1.16%
MS
Morgan Stanley
3.10%3.49%3.47%2.14%2.04%2.54%2.77%1.72%1.66%1.73%0.90%0.64%
AXP
American Express Company
0.97%1.24%1.35%1.05%1.42%1.29%1.51%1.32%1.61%1.58%1.05%0.95%
BRK-B
Berkshire Hathaway 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.


-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-0.33%
-0.76%
Finance
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Finance. 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 Finance was 79.72%, occurring on Mar 6, 2009. Recovery took 1577 trading sessions.

The current Finance drawdown is 0.33%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-79.72%May 31, 2007446Mar 6, 20091577Jun 10, 20152023
-47.35%Jan 3, 202055Mar 23, 2020204Jan 12, 2021259
-39.24%Sep 12, 2000520Oct 9, 2002171Jun 16, 2003691
-32.45%Jul 23, 2015141Feb 11, 2016190Nov 10, 2016331
-32.02%Feb 10, 2022168Oct 11, 2022349Mar 4, 2024517

Volatility

Volatility Chart

The current Finance volatility is 6.02%, 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.


2.00%4.00%6.00%8.00%10.00%MayJuneJulyAugustSeptemberOctober
6.02%
3.01%
Finance
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.

BRK-BAXPWFCGSMSBACCJPM
BRK-B1.000.460.460.440.440.480.470.48
AXP0.461.000.630.620.630.630.650.65
WFC0.460.631.000.610.630.740.690.72
GS0.440.620.611.000.790.650.690.71
MS0.440.630.630.791.000.690.720.72
BAC0.480.630.740.650.691.000.760.77
C0.470.650.690.690.720.761.000.75
JPM0.480.650.720.710.720.770.751.00
The correlation results are calculated based on daily price changes starting from May 5, 1999