PortfoliosLab logo
L 2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


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
8,588.27%
366.83%
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 27, 2025, the L 2 returned -12.09% Year-To-Date and 30.06% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-6.06%-2.95%-4.87%8.34%13.98%10.15%
L 2-12.09%-1.58%-13.82%24.48%39.27%30.06%
AAPL
Apple Inc
-16.34%-6.51%-9.36%24.20%25.04%22.03%
PGR
The Progressive Corporation
12.84%-3.48%10.91%30.09%28.82%29.07%
UNH
UnitedHealth Group Incorporated
-16.89%-18.82%-25.24%-14.13%8.94%15.73%
CB
Chubb Limited
1.34%-6.45%-2.45%15.21%23.40%12.16%
COST
Costco Wholesale Corporation
6.76%4.09%9.91%34.53%28.13%23.26%
DPZ
Domino's Pizza, Inc.
16.63%3.46%18.69%-0.93%7.39%17.42%
ETN
Eaton Corporation plc
-12.65%2.82%-15.62%-9.79%31.15%18.54%
GLD
SPDR Gold Trust
25.85%8.07%20.29%40.67%13.58%10.22%
LLY
Eli Lilly and Company
14.78%7.65%-0.58%21.37%42.44%30.96%
NVDA
NVIDIA Corporation
-17.33%-0.38%-21.56%26.56%72.18%70.80%
TOL
Toll Brothers, Inc.
-20.18%-7.77%-32.53%-16.07%35.16%11.80%
RGR
Sturm, Ruger & Company, Inc.
14.71%1.00%0.03%-11.72%-0.19%0.81%
MSFT
Microsoft Corporation
-6.85%0.33%-8.11%-2.82%18.72%25.00%
ORLY
O'Reilly Automotive, Inc.
13.59%-5.38%12.70%29.03%28.27%19.87%
WMT
Walmart Inc.
5.54%11.05%15.82%59.85%19.13%16.18%
CINF
Cincinnati Financial Corporation
-6.41%-9.39%-4.24%23.59%13.25%13.32%
TJX
The TJX Companies, Inc.
5.08%4.97%11.88%33.11%23.14%16.36%
*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%0.02%-12.09%
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%-1.10%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

The current rank of L 2 is 70, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of L 2 is 7070
Overall Rank
The Sharpe Ratio Rank of L 2 is 6868
Sharpe Ratio Rank
The Sortino Ratio Rank of L 2 is 7070
Sortino Ratio Rank
The Omega Ratio Rank of L 2 is 6666
Omega Ratio Rank
The Calmar Ratio Rank of L 2 is 7878
Calmar Ratio Rank
The Martin Ratio Rank of L 2 is 6969
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.


The chart of Sharpe ratio for Portfolio, currently valued at 0.74, compared to the broader market-4.00-2.000.002.00
Portfolio: 0.74
^GSPC: 0.46
The chart of Sortino ratio for Portfolio, currently valued at 1.22, compared to the broader market-6.00-4.00-2.000.002.004.00
Portfolio: 1.22
^GSPC: 0.77
The chart of Omega ratio for Portfolio, currently valued at 1.16, compared to the broader market0.400.600.801.001.201.401.60
Portfolio: 1.16
^GSPC: 1.11
The chart of Calmar ratio for Portfolio, currently valued at 1.04, compared to the broader market0.002.004.006.00
Portfolio: 1.04
^GSPC: 0.47
The chart of Martin ratio for Portfolio, currently valued at 3.12, compared to the broader market0.005.0010.0015.0020.00
Portfolio: 3.12
^GSPC: 1.94

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAPL
Apple Inc
0.801.301.190.782.94
PGR
The Progressive Corporation
1.081.541.212.155.40
UNH
UnitedHealth Group Incorporated
-0.34-0.190.97-0.39-1.06
CB
Chubb Limited
0.620.971.130.922.28
COST
Costco Wholesale Corporation
1.632.191.302.086.27
DPZ
Domino's Pizza, Inc.
0.090.341.050.110.18
ETN
Eaton Corporation plc
-0.170.031.00-0.19-0.48
GLD
SPDR Gold Trust
2.493.301.435.1414.01
LLY
Eli Lilly and Company
0.541.011.130.791.61
NVDA
NVIDIA Corporation
0.581.161.140.942.47
TOL
Toll Brothers, Inc.
-0.41-0.350.96-0.34-0.78
RGR
Sturm, Ruger & Company, Inc.
-0.50-0.610.92-0.23-0.85
MSFT
Microsoft Corporation
-0.13-0.011.00-0.13-0.30
ORLY
O'Reilly Automotive, Inc.
1.121.681.201.295.26
WMT
Walmart Inc.
2.523.381.472.869.79
CINF
Cincinnati Financial Corporation
0.520.841.120.671.75
TJX
The TJX Companies, Inc.
1.882.761.353.2310.41

The current L 2 Sharpe ratio is 0.74. 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 0.39 to 0.88, 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 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
0.74
0.46
L 2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

L 2 provided a 0.76% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio0.76%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
0.48%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
1.85%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
2.01%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
1.30%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
0.36%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.
1.29%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
1.34%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
0.61%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.
1.74%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
0.81%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.
0.90%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
2.47%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.
1.19%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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-17.33%
-10.07%
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 17.33%.


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
-27.9%Jan 7, 202563Apr 8, 2025
-27.19%Feb 21, 202021Mar 20, 202040May 18, 202061

Volatility

Volatility Chart

The current L 2 volatility is 19.88%, 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%20.00%NovemberDecember2025FebruaryMarchApril
19.88%
14.23%
L 2
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics


Number of Effective Assets
5.0010.0015.00
Effective Assets: 11.81

The portfolio contains 17 assets, with an effective number of assets of 11.81, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

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

^GSPCGLDRGRUNHLLYDPZWMTNVDATOLORLYAAPLPGRCBTJXCOSTMSFTETNCINFPortfolio
^GSPC1.000.060.350.470.490.460.450.590.560.490.590.540.560.560.570.690.710.650.79
GLD0.061.000.04-0.000.010.01-0.010.040.05-0.030.02-0.00-0.01-0.030.000.020.05-0.000.13
RGR0.350.041.000.180.170.230.190.210.280.230.210.230.240.280.230.220.280.290.35
UNH0.47-0.000.181.000.340.260.280.230.260.320.270.340.360.320.310.310.340.380.36
LLY0.490.010.170.341.000.270.320.250.240.300.260.340.340.300.340.360.350.360.39
DPZ0.460.010.230.260.271.000.270.310.330.350.300.260.270.350.350.330.340.320.46
WMT0.45-0.010.190.280.320.271.000.220.280.370.250.340.360.400.560.330.310.370.36
NVDA0.590.040.210.230.250.310.221.000.350.290.450.260.230.300.350.510.420.280.74
TOL0.560.050.280.260.240.330.280.351.000.360.350.340.360.390.360.340.460.410.46
ORLY0.49-0.030.230.320.300.350.370.290.361.000.310.350.370.470.440.340.370.400.48
AAPL0.590.020.210.270.260.300.250.450.350.311.000.280.270.310.370.510.390.310.77
PGR0.54-0.000.230.340.340.260.340.260.340.350.281.000.540.360.370.350.400.590.40
CB0.56-0.010.240.360.340.270.360.230.360.370.270.541.000.410.360.340.440.680.38
TJX0.56-0.030.280.320.300.350.400.300.390.470.310.360.411.000.480.360.430.440.47
COST0.570.000.230.310.340.350.560.350.360.440.370.370.360.481.000.430.380.400.52
MSFT0.690.020.220.310.360.330.330.510.340.340.510.350.340.360.431.000.450.390.63
ETN0.710.050.280.340.350.340.310.420.460.370.390.400.440.430.380.451.000.500.54
CINF0.65-0.000.290.380.360.320.370.280.410.400.310.590.680.440.400.390.501.000.43
Portfolio0.790.130.350.360.390.460.360.740.460.480.770.400.380.470.520.630.540.431.00
The correlation results are calculated based on daily price changes starting from Nov 19, 2004