2 Log Sharpe 1

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

2 Log Sharpe 1

Currency in USD · Last updated May 23, 2025

Asset Allocation

Position	Category/Sector	Target Weight
AAPL Apple Inc	Technology	15.02%
CB Chubb Limited	Financial Services	4.21%
COST Costco Wholesale Corporation	Consumer Defensive	8.04%
DPZ Domino's Pizza, Inc.	Consumer Cyclical	6.55%
ETN Eaton Corporation plc	Industrials	3%
GLD SPDR Gold Trust	Precious Metals, Gold	10%
LLY Eli Lilly and Company	Healthcare	22.03%
NVDA NVIDIA Corporation	Technology	5.79%
PGR The Progressive Corporation	Financial Services	13.45%
RGR Sturm, Ruger & Company, Inc.	Industrials	5.74%
TOL Toll Brothers, Inc.	Consumer Cyclical	3%
UNH UnitedHealth Group Incorporated	Healthcare	3.17%

Benchmark

S&P 500

Rebalance

Performance

Performance Chart

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

Returns By Period

As of May 23, 2025, the 2 Log Sharpe 1 returned 1.07% Year-To-Date and 25.96% of annualized return in the last 10 years.

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	-0.67%	10.48%	-1.79%	10.08%	14.60%	10.64%
2 Log Sharpe 1	1.07%	-1.42%	-1.93%	10.65%	29.68%	25.96%
Portfolio components:
AAPL Apple Inc	-19.40%	-1.45%	-12.19%	8.25%	21.04%	21.10%
PGR The Progressive Corporation	18.00%	4.56%	6.27%	39.28%	32.61%	29.20%
UNH UnitedHealth Group Incorporated	-41.10%	-30.68%	-49.38%	-41.68%	1.95%	11.20%
CB Chubb Limited	4.23%	0.91%	1.31%	10.56%	21.72%	12.37%
COST Costco Wholesale Corporation	11.38%	4.47%	5.87%	28.51%	29.60%	23.78%
DPZ Domino's Pizza, Inc.	15.36%	-0.75%	7.16%	-2.61%	6.54%	17.28%
ETN Eaton Corporation plc	-2.56%	16.88%	-14.32%	-3.86%	34.97%	19.09%
GLD SPDR Gold Trust	25.18%	-0.18%	21.32%	40.51%	13.18%	10.12%
LLY Eli Lilly and Company	-7.01%	-13.59%	-4.03%	-10.93%	38.06%	27.69%
NVDA NVIDIA Corporation	-1.08%	29.33%	-6.41%	28.00%	71.34%	74.59%
TOL Toll Brothers, Inc.	-16.94%	6.06%	-33.61%	-12.18%	30.64%	11.74%
RGR Sturm, Ruger & Company, Inc.	2.52%	-9.78%	-4.50%	-15.68%	-4.27%	-0.30%

*Annualized

Monthly Returns

The table below presents the monthly returns of 2 Log Sharpe 1, 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	2.40%	6.61%	-4.20%	2.07%	-5.32%								1.07%
2024	5.35%	8.41%	5.05%	0.06%	6.04%	4.16%	-0.49%	7.54%	-0.08%	-2.51%	4.16%	-5.06%	36.69%
2023	6.02%	-1.41%	6.70%	3.57%	3.05%	7.33%	1.78%	4.71%	-2.63%	2.46%	6.35%	2.13%	47.54%
2022	-6.17%	0.17%	6.34%	-6.01%	1.89%	-2.14%	6.07%	-5.27%	-5.03%	9.28%	5.07%	-4.91%	-2.40%
2021	2.87%	-1.40%	0.33%	4.84%	4.00%	6.60%	3.16%	4.64%	-7.07%	8.34%	2.97%	6.65%	41.16%
2020	5.08%	-4.98%	-1.40%	9.82%	6.19%	6.18%	6.29%	6.92%	-2.34%	-4.41%	5.49%	7.59%	46.76%
2019	6.50%	3.44%	3.80%	0.78%	-4.13%	4.86%	1.03%	-1.02%	1.78%	3.88%	4.03%	5.39%	34.29%
2018	2.07%	-1.01%	0.71%	1.37%	5.08%	-0.91%	4.54%	9.67%	1.05%	-4.14%	-1.60%	-6.03%	10.29%
2017	4.22%	6.22%	1.49%	1.00%	5.86%	-0.35%	1.31%	0.53%	2.44%	1.47%	4.65%	0.44%	33.22%
2016	-4.03%	3.39%	5.04%	-3.03%	3.22%	2.45%	5.39%	-0.89%	1.49%	-1.15%	-0.34%	5.38%	17.63%
2015	3.09%	5.69%	-0.09%	-0.02%	3.70%	0.56%	1.30%	-1.69%	0.43%	4.26%	-0.64%	0.05%	17.64%
2014	-2.12%	6.60%	-1.40%	1.95%	2.09%	2.09%	-3.29%	5.38%	-1.00%	3.75%	4.44%	-1.42%	17.83%

Expense Ratio

2 Log Sharpe 1 has an expense ratio of 0.04%, 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.

GLD

SPDR Gold Trust

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 2 Log Sharpe 1 is 44, indicating average performance compared to other portfolios on our website. Here’s 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	0.18	0.49	1.07	0.18	0.56
PGR The Progressive Corporation	1.52	2.00	1.28	2.98	7.59
UNH UnitedHealth Group Incorporated	-0.95	-1.13	0.80	-0.75	-2.50
CB Chubb Limited	0.43	0.80	1.10	0.71	1.75
COST Costco Wholesale Corporation	1.27	1.83	1.25	1.68	4.85
DPZ Domino's Pizza, Inc.	-0.14	-0.02	1.00	-0.20	-0.33
ETN Eaton Corporation plc	-0.08	0.18	1.03	-0.07	-0.17
GLD SPDR Gold Trust	2.13	2.65	1.34	4.31	10.98
LLY Eli Lilly and Company	-0.27	-0.04	0.99	-0.32	-0.61
NVDA NVIDIA Corporation	0.67	1.26	1.16	1.09	2.67
TOL Toll Brothers, Inc.	-0.32	-0.54	0.94	-0.43	-0.90
RGR Sturm, Ruger & Company, Inc.	-0.52	-0.46	0.93	-0.25	-0.97

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.

2 Log Sharpe 1 Sharpe ratios as of May 23, 2025 (values are recalculated daily):

1-Year: 0.59
5-Year: 1.83
10-Year: 1.59
All Time: 1.26

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 0.47 to 0.99, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of 2 Log Sharpe 1 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

2 Log Sharpe 1 provided a 0.93% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	0.93%	0.68%	0.92%	1.58%	1.74%	1.98%	1.60%	1.53%	1.76%	1.84%	1.95%	2.38%
Portfolio components:
AAPL Apple Inc	0.50%	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	1.77%	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	2.83%	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	1.27%	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	0.47%	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.	1.30%	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	1.23%	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	0.78%	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	0.02%	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.	0.90%	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.	2.01%	1.95%	2.79%	14.66%	4.94%	10.00%	1.74%	2.07%	2.44%	3.28%	1.85%	4.68%

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 2 Log Sharpe 1. 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 2 Log Sharpe 1 was 47.59%, occurring on Nov 20, 2008. Recovery took 322 trading sessions.

The current 2 Log Sharpe 1 drawdown is 7.42%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-47.59%	Oct 11, 2007	282	Nov 20, 2008	322	Mar 5, 2010	604
-21.68%	Feb 21, 2020	22	Mar 23, 2020	45	May 27, 2020	67
-17.02%	Oct 10, 2018	52	Dec 24, 2018	59	Mar 21, 2019	111
-13.8%	Mar 3, 2025	27	Apr 8, 2025	—	—	—
-12.83%	Apr 8, 2022	48	Jun 16, 2022	43	Aug 18, 2022	91

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 12 assets, with an effective number of assets of 8.25, 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	GLD	RGR	UNH	DPZ	LLY	NVDA	AAPL	TOL	CB	PGR	COST	ETN	Portfolio
^GSPC	1.00	0.06	0.35	0.47	0.46	0.49	0.59	0.59	0.56	0.56	0.54	0.57	0.71	0.83
GLD	0.06	1.00	0.04	-0.00	0.01	0.01	0.04	0.02	0.05	-0.00	-0.00	0.00	0.05	0.13
RGR	0.35	0.04	1.00	0.18	0.23	0.17	0.21	0.22	0.28	0.24	0.23	0.23	0.28	0.43
UNH	0.47	-0.00	0.18	1.00	0.26	0.34	0.22	0.27	0.26	0.35	0.34	0.31	0.34	0.46
DPZ	0.46	0.01	0.23	0.26	1.00	0.27	0.31	0.30	0.33	0.27	0.26	0.35	0.34	0.52
LLY	0.49	0.01	0.17	0.34	0.27	1.00	0.25	0.26	0.24	0.34	0.34	0.35	0.35	0.65
NVDA	0.59	0.04	0.21	0.22	0.31	0.25	1.00	0.45	0.35	0.23	0.26	0.34	0.42	0.59
AAPL	0.59	0.02	0.22	0.27	0.30	0.26	0.45	1.00	0.35	0.27	0.28	0.37	0.39	0.67
TOL	0.56	0.05	0.28	0.26	0.33	0.24	0.35	0.35	1.00	0.36	0.34	0.36	0.46	0.53
CB	0.56	-0.00	0.24	0.35	0.27	0.34	0.23	0.27	0.36	1.00	0.54	0.36	0.43	0.52
PGR	0.54	-0.00	0.23	0.34	0.26	0.34	0.26	0.28	0.34	0.54	1.00	0.37	0.40	0.59
COST	0.57	0.00	0.23	0.31	0.35	0.35	0.34	0.37	0.36	0.36	0.37	1.00	0.38	0.58
ETN	0.71	0.05	0.28	0.34	0.34	0.35	0.42	0.39	0.46	0.43	0.40	0.38	1.00	0.59
Portfolio	0.83	0.13	0.43	0.46	0.52	0.65	0.59	0.67	0.53	0.52	0.59	0.58	0.59	1.00

The correlation results are calculated based on daily price changes starting from Nov 19, 2004

Performance Analysis

Risk Analysis

Optimization

Factor Model

2 Log Sharpe 1

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