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L 2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


GLD 17.57%LLY 11.89%ORLY 8.09%PGR 8.07%AAPL 7.4%NVDA 6.31%COST 5.59%TJX 5.03%WMT 4.88%CB 4.86%RGR 4.32%DPZ 4.04%UNH 3.74%MSFT 3.18%CINF 2.11%ETN 1.67%TOL 1.25%CommodityCommodityEquityEquity
PositionCategory/SectorTarget Weight
AAPL
Apple Inc
Technology
7.40%
CB
Chubb Limited
Financial Services
4.86%
CINF
Cincinnati Financial Corporation
Financial Services
2.11%
COST
Costco Wholesale Corporation
Consumer Defensive
5.59%
DPZ
Domino's Pizza, Inc.
Consumer Cyclical
4.04%
ETN
Eaton Corporation plc
Industrials
1.67%
GLD
SPDR Gold Trust
Precious Metals, Gold
17.57%
LLY
Eli Lilly and Company
Healthcare
11.89%
MSFT
Microsoft Corporation
Technology
3.18%
NVDA
NVIDIA Corporation
Technology
6.31%
ORLY
O'Reilly Automotive, Inc.
Consumer Cyclical
8.09%
PGR
The Progressive Corporation
Financial Services
8.07%
RGR
Sturm, Ruger & Company, Inc.
Industrials
4.32%
TJX
The TJX Companies, Inc.
Consumer Cyclical
5.03%
TOL
Toll Brothers, Inc.
Consumer Cyclical
1.25%
UNH
UnitedHealth Group Incorporated
Healthcare
3.74%
WMT
Walmart Inc.
Consumer Defensive
4.88%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in L 2, 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 every 3 months.


0.00%2,000.00%4,000.00%6,000.00%8,000.00%10,000.00%NovemberDecember2025FebruaryMarchApril
8,129.91%
355.96%
L 2
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 18, 2004, corresponding to the inception date of GLD

Returns By Period

As of Apr 4, 2025, the L 2 returned 4.96% Year-To-Date and 24.00% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-8.25%-6.60%-5.32%3.55%16.80%10.02%
L 2-16.72%-10.16%-10.51%16.13%42.15%29.50%
AAPL
Apple Inc
-18.77%-13.88%-9.76%20.34%28.34%21.78%
PGR
The Progressive Corporation
22.16%1.35%16.03%39.00%33.26%29.85%
UNH
UnitedHealth Group Incorporated
7.29%14.36%-8.08%19.43%20.51%18.30%
CB
Chubb Limited
9.81%6.78%5.50%20.27%26.30%12.72%
COST
Costco Wholesale Corporation
5.66%-6.73%10.71%37.79%29.61%22.48%
DPZ
Domino's Pizza, Inc.
10.94%-3.34%11.00%-7.03%8.43%17.78%
ETN
Eaton Corporation plc
-21.11%-6.24%-19.70%-17.68%32.34%17.42%
GLD
SPDR Gold Trust
18.29%6.45%16.67%34.63%13.46%9.41%
LLY
Eli Lilly and Company
2.39%-13.39%-10.59%2.35%43.29%29.61%
NVDA
NVIDIA Corporation
-24.19%-12.23%-17.12%14.46%76.04%69.61%
TOL
Toll Brothers, Inc.
-21.74%-8.99%-35.78%-21.36%42.55%10.47%
RGR
Sturm, Ruger & Company, Inc.
9.65%-1.67%-4.52%-14.27%0.19%1.61%
MSFT
Microsoft Corporation
-11.30%-3.99%-10.07%-10.58%20.51%26.45%
ORLY
O'Reilly Automotive, Inc.
21.60%6.27%25.46%27.27%37.45%20.94%
WMT
Walmart Inc.
-3.15%-7.87%9.03%48.49%18.78%14.71%
CINF
Cincinnati Financial Corporation
1.30%1.61%7.85%22.29%18.44%13.57%
TJX
The TJX Companies, Inc.
4.14%3.03%9.68%30.67%26.81%15.36%
*Annualized

Monthly Returns

The table below presents the monthly returns of L 2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2025-6.54%4.21%-9.75%-5.25%-16.72%
202410.12%14.48%7.31%-3.13%17.87%10.46%-2.45%3.04%1.39%4.18%4.79%-1.73%86.54%
202311.70%4.62%11.74%2.21%12.57%9.61%4.93%1.69%-8.24%-2.20%11.03%3.05%80.42%
2022-8.61%-2.58%6.78%-16.00%-1.37%-8.27%14.08%-6.55%-10.94%11.20%5.76%-9.54%-27.02%
2021-1.14%-2.45%1.30%8.66%0.50%11.60%3.43%6.27%-6.35%10.76%13.35%1.26%55.78%
20201.84%-2.80%-6.00%12.98%9.72%7.60%11.58%15.26%-4.44%-5.95%7.15%5.47%62.12%
20196.26%2.90%6.90%2.67%-8.70%8.36%2.58%-1.51%4.28%8.87%5.74%5.69%52.21%
20187.91%0.29%-1.87%0.14%8.63%-0.55%2.82%14.05%0.36%-8.84%-9.65%-9.41%0.87%
20172.60%5.63%2.49%-0.73%9.37%-3.17%1.42%3.28%1.22%5.43%2.89%-0.70%33.36%
2016-2.92%3.87%6.47%-6.55%4.57%1.05%7.76%-0.38%2.70%0.49%2.09%3.79%24.46%
20153.14%7.82%-1.09%0.73%2.45%-0.84%0.35%-2.83%0.14%6.15%-1.31%-3.14%11.51%
2014-4.13%5.46%-0.62%3.60%1.84%1.72%-1.21%5.90%-1.82%6.07%6.13%-2.43%21.63%

Expense Ratio

L 2 has an expense ratio of 0.07%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.


Expense ratio chart for GLD: current value is 0.40%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
GLD: 0.40%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 94, L 2 is among the top 6% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of L 2 is 9494
Overall Rank
The Sharpe Ratio Rank of L 2 is 9494
Sharpe Ratio Rank
The Sortino Ratio Rank of L 2 is 9494
Sortino Ratio Rank
The Omega Ratio Rank of L 2 is 9494
Omega Ratio Rank
The Calmar Ratio Rank of L 2 is 9595
Calmar Ratio Rank
The Martin Ratio Rank of L 2 is 9494
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.


Sharpe ratio
The chart of Sharpe ratio for Portfolio, currently valued at 0.45, compared to the broader market-4.00-2.000.002.00
Portfolio: 0.45
^GSPC: 0.25
The chart of Sortino ratio for Portfolio, currently valued at 0.81, compared to the broader market-6.00-4.00-2.000.002.004.00
Portfolio: 0.81
^GSPC: 0.41
The chart of Omega ratio for Portfolio, currently valued at 1.10, compared to the broader market0.400.600.801.001.201.401.60
Portfolio: 1.10
^GSPC: 1.06
The chart of Calmar ratio for Portfolio, currently valued at 0.74, compared to the broader market0.002.004.006.00
Portfolio: 0.74
^GSPC: 0.30
The chart of Martin ratio for Portfolio, currently valued at 2.08, compared to the broader market0.005.0010.0015.0020.00
Portfolio: 2.08
^GSPC: 1.15

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc
0.801.181.170.973.17
PGR
The Progressive Corporation
1.832.651.323.638.88
UNH
UnitedHealth Group Incorporated
0.691.071.150.771.86
CB
Chubb Limited
1.021.511.191.363.48
COST
Costco Wholesale Corporation
1.832.411.322.127.24
DPZ
Domino's Pizza, Inc.
-0.18-0.031.00-0.21-0.35
ETN
Eaton Corporation plc
-0.46-0.400.94-0.52-1.38
GLD
SPDR Gold Trust
2.323.021.394.4111.94
LLY
Eli Lilly and Company
0.120.401.050.160.35
NVDA
NVIDIA Corporation
0.240.711.090.431.14
TOL
Toll Brothers, Inc.
-0.54-0.580.93-0.49-1.19
RGR
Sturm, Ruger & Company, Inc.
-0.58-0.740.91-0.27-0.94
MSFT
Microsoft Corporation
-0.50-0.530.93-0.55-1.14
ORLY
O'Reilly Automotive, Inc.
1.352.031.241.464.64
WMT
Walmart Inc.
2.262.991.412.518.95
CINF
Cincinnati Financial Corporation
0.971.401.181.283.28
TJX
The TJX Companies, Inc.
1.562.341.292.528.12

The current L 2 Sharpe ratio is 1.96. 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 0.19 to 0.83, 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 L 2 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 Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
0.45
0.25
L 2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

L 2 provided a 0.75% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio0.75%0.65%0.86%1.35%1.33%1.51%1.25%1.27%1.44%1.49%1.64%1.86%
AAPL
Apple Inc
0.49%0.40%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%
PGR
The Progressive Corporation
1.67%0.48%0.25%0.31%6.23%2.68%3.89%1.86%1.21%2.50%2.16%5.53%
UNH
UnitedHealth Group Incorporated
1.55%1.62%1.38%1.21%1.12%1.38%1.41%1.38%1.30%1.48%1.59%1.39%
CB
Chubb Limited
1.20%1.30%1.51%1.49%1.65%2.01%1.91%2.24%1.93%2.07%2.28%2.79%
COST
Costco Wholesale Corporation
0.48%0.49%2.87%0.76%0.54%3.38%0.86%1.08%4.81%1.09%4.06%0.97%
DPZ
Domino's Pizza, Inc.
1.35%1.44%1.17%1.27%0.67%0.81%0.89%0.89%0.97%0.95%1.11%1.06%
ETN
Eaton Corporation plc
1.48%1.13%1.43%2.06%1.76%2.43%3.00%3.85%3.04%3.40%4.23%2.88%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LLY
Eli Lilly and Company
0.68%0.67%0.78%1.07%1.23%1.75%1.96%1.95%2.46%2.77%2.37%2.84%
NVDA
NVIDIA Corporation
0.03%0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%
TOL
Toll Brothers, Inc.
0.94%0.71%0.81%1.54%0.86%1.01%1.11%1.25%0.50%0.00%0.00%0.00%
RGR
Sturm, Ruger & Company, Inc.
1.82%1.95%2.79%14.66%4.94%10.00%1.74%2.07%2.44%3.28%1.85%4.68%
MSFT
Microsoft Corporation
0.85%0.73%0.74%1.06%0.68%0.94%1.20%1.69%1.86%2.37%2.33%2.48%
ORLY
O'Reilly Automotive, 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%
WMT
Walmart Inc.
0.98%0.92%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%
CINF
Cincinnati Financial Corporation
2.28%2.25%2.90%2.70%2.21%2.75%2.13%2.74%3.33%2.53%3.89%3.40%
TJX
The TJX Companies, Inc.
1.20%1.21%1.38%1.44%1.37%0.34%1.45%1.66%1.57%1.32%1.14%0.98%

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.


-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-21.69%
-12.17%
L 2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the L 2. 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 L 2 was 48.82%, occurring on Nov 20, 2008. Recovery took 334 trading sessions.

The current L 2 drawdown is 2.98%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-48.82%Dec 27, 2007229Nov 20, 2008334Mar 23, 2010563
-33.22%Dec 28, 2021202Oct 14, 2022148May 18, 2023350
-30.27%Oct 4, 201856Dec 24, 2018211Oct 25, 2019267
-27.19%Feb 21, 202021Mar 20, 202040May 18, 202061
-21.69%Jan 7, 202560Apr 3, 2025

Volatility

Volatility Chart

The current L 2 volatility is 11.47%, 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.


0.00%5.00%10.00%15.00%NovemberDecember2025FebruaryMarchApril
11.47%
7.38%
L 2
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.

GLDRGRUNHLLYDPZNVDAWMTAAPLTOLORLYPGRCBMSFTTJXCOSTETNCINF
GLD1.000.04-0.010.010.010.05-0.010.030.05-0.03-0.00-0.010.02-0.030.000.05-0.00
RGR0.041.000.180.170.230.210.190.210.280.230.230.240.220.280.230.280.29
UNH-0.010.181.000.340.260.230.280.270.260.320.340.360.310.320.310.350.38
LLY0.010.170.341.000.270.250.320.260.240.290.340.340.360.290.340.350.36
DPZ0.010.230.260.271.000.310.270.290.330.350.260.260.330.350.350.340.32
NVDA0.050.210.230.250.311.000.210.450.350.290.260.230.510.300.350.420.28
WMT-0.010.190.280.320.270.211.000.250.280.370.340.350.330.400.560.310.37
AAPL0.030.210.270.260.290.450.251.000.350.310.280.270.510.310.370.380.31
TOL0.050.280.260.240.330.350.280.351.000.360.340.360.340.390.350.460.41
ORLY-0.030.230.320.290.350.290.370.310.361.000.350.360.340.470.430.370.40
PGR-0.000.230.340.340.260.260.340.280.340.351.000.540.350.360.370.400.59
CB-0.010.240.360.340.260.230.350.270.360.360.541.000.340.410.360.440.68
MSFT0.020.220.310.360.330.510.330.510.340.340.350.341.000.360.430.440.38
TJX-0.030.280.320.290.350.300.400.310.390.470.360.410.361.000.480.430.44
COST0.000.230.310.340.350.350.560.370.350.430.370.360.430.481.000.380.40
ETN0.050.280.350.350.340.420.310.380.460.370.400.440.440.430.381.000.50
CINF-0.000.290.380.360.320.280.370.310.410.400.590.680.380.440.400.501.00
The correlation results are calculated based on daily price changes starting from Nov 19, 2004
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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