Finance
Asset Allocation
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
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-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
---|---|---|---|---|---|---|
S&P 500 | 21.92% | 3.36% | 15.12% | 32.96% | 14.22% | 11.94% |
Finance | 31.22% | 10.73% | 21.67% | 58.45% | 14.16% | 12.73% |
Portfolio components: | ||||||
JPMorgan Chase & Co. | 33.86% | 9.51% | 24.44% | 54.01% | 16.44% | 18.01% |
Bank of America Corporation | 27.63% | 9.03% | 23.05% | 60.49% | 9.57% | 12.35% |
Wells Fargo & Company | 30.69% | 19.42% | 13.24% | 55.82% | 7.84% | 5.63% |
Citigroup Inc. | 25.20% | 8.62% | 11.88% | 59.31% | 1.69% | 4.96% |
The Goldman Sachs Group, Inc. | 38.01% | 9.06% | 33.21% | 70.73% | 23.48% | 13.67% |
Morgan Stanley | 23.75% | 14.22% | 28.20% | 48.36% | 24.95% | 16.03% |
American Express Company | 49.80% | 7.35% | 27.72% | 83.67% | 20.13% | 14.58% |
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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | 2.66% | 4.37% | 8.15% | -1.50% | 5.22% | -0.31% | 4.57% | 1.54% | -2.33% | 31.22% | |||
2023 | 9.97% | -1.01% | -10.97% | 4.09% | -3.71% | 5.14% | 7.81% | -8.36% | -2.24% | -4.49% | 14.18% | 10.64% | 19.02% |
2022 | 3.15% | -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% |
2019 | 12.17% | 1.03% | -2.69% | 10.38% | -10.49% | 8.66% | 3.54% | -6.50% | 5.60% | 5.05% | 5.67% | 4.26% | 40.10% |
2018 | 7.28% | -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% |
2013 | 6.52% | 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.
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.
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 | |
---|---|---|---|---|---|
JPMorgan Chase & Co. | 2.70 | 3.16 | 1.50 | 3.35 | 15.45 |
Bank of America Corporation | 2.59 | 3.64 | 1.45 | 1.33 | 11.15 |
Wells Fargo & Company | 2.24 | 2.96 | 1.39 | 1.85 | 9.83 |
Citigroup Inc. | 2.24 | 2.93 | 1.37 | 0.63 | 10.62 |
The Goldman Sachs Group, Inc. | 3.18 | 4.01 | 1.54 | 2.65 | 27.20 |
Morgan Stanley | 2.02 | 2.53 | 1.37 | 1.58 | 9.62 |
American Express Company | 3.69 | 4.39 | 1.64 | 3.18 | 28.37 |
Berkshire Hathaway Inc. | 2.54 | 3.37 | 1.43 | 3.26 | 12.73 |
Dividends
Dividend yield
Finance granted a 2.31% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Finance | 2.31% | 2.71% | 2.87% | 1.95% | 2.61% | 2.24% | 2.47% | 1.57% | 1.53% | 1.59% | 1.27% | 1.13% |
Portfolio components: | ||||||||||||
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% |
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% |
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% |
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% |
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% |
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% |
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% |
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.
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, 2007 | 446 | Mar 6, 2009 | 1577 | Jun 10, 2015 | 2023 |
-47.35% | Jan 3, 2020 | 55 | Mar 23, 2020 | 204 | Jan 12, 2021 | 259 |
-39.24% | Sep 12, 2000 | 520 | Oct 9, 2002 | 171 | Jun 16, 2003 | 691 |
-32.45% | Jul 23, 2015 | 141 | Feb 11, 2016 | 190 | Nov 10, 2016 | 331 |
-32.02% | Feb 10, 2022 | 168 | Oct 11, 2022 | 349 | Mar 4, 2024 | 517 |
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.
Diversification
Asset Correlations Table
BRK-B | AXP | WFC | GS | MS | BAC | C | JPM | |
---|---|---|---|---|---|---|---|---|
BRK-B | 1.00 | 0.46 | 0.46 | 0.44 | 0.44 | 0.48 | 0.47 | 0.48 |
AXP | 0.46 | 1.00 | 0.63 | 0.62 | 0.63 | 0.63 | 0.65 | 0.65 |
WFC | 0.46 | 0.63 | 1.00 | 0.61 | 0.63 | 0.74 | 0.69 | 0.72 |
GS | 0.44 | 0.62 | 0.61 | 1.00 | 0.79 | 0.65 | 0.69 | 0.71 |
MS | 0.44 | 0.63 | 0.63 | 0.79 | 1.00 | 0.69 | 0.72 | 0.72 |
BAC | 0.48 | 0.63 | 0.74 | 0.65 | 0.69 | 1.00 | 0.76 | 0.77 |
C | 0.47 | 0.65 | 0.69 | 0.69 | 0.72 | 0.76 | 1.00 | 0.75 |
JPM | 0.48 | 0.65 | 0.72 | 0.71 | 0.72 | 0.77 | 0.75 | 1.00 |