2 Log Sharpe 1
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% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 2 Log Sharpe 1, 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.
The earliest data available for this chart is Nov 18, 2004, corresponding to the inception date of GLD
Returns By Period
As of Feb 13, 2025, the 2 Log Sharpe 1 returned 6.16% Year-To-Date and 27.14% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 2.90% | 3.70% | 10.94% | 22.18% | 12.41% | 11.21% |
| 2 Log Sharpe 1 | -1.64% | 1.12% | 8.33% | 47.61% | 37.34% | 30.44% |
| Portfolio components: | ||||||
AAPL Apple Inc | -5.31% | 1.16% | 7.07% | 28.61% | 24.71% | 23.70% |
PGR The Progressive Corporation | 9.30% | 8.91% | 11.81% | 44.03% | 27.81% | 28.37% |
UNH UnitedHealth Group Incorporated | 4.26% | -2.54% | -8.34% | 3.64% | 13.75% | 18.87% |
CB Chubb Limited | -4.06% | 1.26% | -2.05% | 8.83% | 12.04% | 11.10% |
COST Costco Wholesale Corporation | 16.37% | 15.31% | 23.76% | 49.94% | 29.60% | 24.13% |
DPZ Domino's Pizza, Inc. | 12.32% | 14.95% | 7.36% | 13.34% | 11.37% | 18.07% |
ETN Eaton Corporation plc | -6.63% | -9.09% | 4.17% | 15.17% | 27.25% | 18.91% |
GLD SPDR Gold Trust | 10.55% | 8.92% | 18.33% | 45.06% | 12.48% | 8.56% |
LLY Eli Lilly and Company | 13.08% | 9.47% | -6.02% | 18.26% | 45.91% | 31.06% |
NVDA NVIDIA Corporation | -2.35% | -1.57% | 11.08% | 81.85% | 79.02% | 73.57% |
TOL Toll Brothers, Inc. | -2.50% | -2.84% | -2.99% | 23.43% | 22.39% | 13.49% |
RGR Sturm, Ruger & Company, Inc. | 1.36% | 0.39% | -12.19% | -15.25% | -1.18% | 2.11% |
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 | -6.45% | -1.64% | |||||||||||
| 2024 | 6.24% | 10.78% | 4.70% | -1.84% | 16.84% | 10.02% | -1.73% | 3.69% | 1.17% | 2.36% | 4.71% | -0.48% | 70.97% |
| 2023 | 12.17% | 3.10% | 12.23% | 2.16% | 10.32% | 9.90% | 4.25% | 0.37% | -8.29% | -1.87% | 11.42% | 2.84% | 73.46% |
| 2022 | -6.85% | -3.50% | 6.47% | -13.96% | -2.61% | -7.70% | 15.08% | -5.74% | -11.80% | 10.57% | 2.77% | -10.88% | -28.28% |
| 2021 | -0.46% | -4.86% | 0.70% | 8.28% | -0.87% | 11.54% | 4.53% | 5.67% | -6.97% | 9.38% | 12.55% | 3.13% | 48.93% |
| 2020 | 3.83% | -4.68% | -4.68% | 13.00% | 9.16% | 9.81% | 12.59% | 17.72% | -6.25% | -6.16% | 7.78% | 7.50% | 72.61% |
| 2019 | 7.08% | 2.17% | 7.62% | 3.77% | -9.51% | 9.60% | 3.10% | -2.42% | 5.41% | 9.50% | 6.85% | 7.45% | 61.53% |
| 2018 | 4.94% | 2.65% | -2.51% | -0.30% | 10.02% | -0.31% | 1.83% | 16.17% | -0.16% | -7.36% | -12.36% | -10.83% | -1.81% |
| 2017 | 4.68% | 8.28% | 3.21% | 0.18% | 10.21% | -3.15% | 1.58% | 5.04% | -0.68% | 6.27% | 2.21% | -0.95% | 42.62% |
| 2016 | -5.31% | 3.68% | 7.90% | -9.29% | 5.64% | -0.45% | 8.45% | 0.80% | 4.02% | 1.71% | 0.00% | 4.45% | 22.08% |
| 2015 | 5.20% | 8.63% | -2.12% | 1.22% | 3.60% | -1.70% | -1.33% | -4.55% | -1.09% | 5.90% | -0.56% | -5.10% | 7.34% |
| 2014 | -5.88% | 4.44% | -0.13% | 5.86% | 4.12% | 2.06% | -0.47% | 6.44% | -1.39% | 5.74% | 7.65% | -4.89% | 24.88% |
Expense Ratio
2 Log Sharpe 1 has an expense ratio of 0.04%, which is considered low compared to other funds. 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
With an overall rank of 83, 2 Log Sharpe 1 is among the top 17% 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.
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 | |
|---|---|---|---|---|---|
AAPL Apple Inc | 1.09 | 1.64 | 1.21 | 1.57 | 4.44 |
PGR The Progressive Corporation | 2.10 | 3.04 | 1.37 | 4.00 | 10.10 |
UNH UnitedHealth Group Incorporated | 0.12 | 0.35 | 1.05 | 0.15 | 0.40 |
CB Chubb Limited | 0.48 | 0.79 | 1.10 | 0.60 | 1.64 |
COST Costco Wholesale Corporation | 2.48 | 3.13 | 1.44 | 4.68 | 10.94 |
DPZ Domino's Pizza, Inc. | 0.42 | 0.75 | 1.11 | 0.47 | 0.85 |
ETN Eaton Corporation plc | 0.40 | 0.70 | 1.11 | 0.65 | 1.66 |
GLD SPDR Gold Trust | 2.80 | 3.56 | 1.48 | 5.26 | 14.34 |
LLY Eli Lilly and Company | 0.60 | 1.03 | 1.13 | 0.77 | 1.79 |
NVDA NVIDIA Corporation | 1.45 | 2.02 | 1.26 | 3.03 | 8.41 |
TOL Toll Brothers, Inc. | 0.61 | 1.06 | 1.13 | 0.83 | 1.99 |
RGR Sturm, Ruger & Company, Inc. | -0.82 | -1.03 | 0.87 | -0.34 | -1.29 |
Dividends
Dividend yield
2 Log Sharpe 1 provided a 0.85% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.85% | 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 | 0.42% | 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 | 1.91% | 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 | 1.35% | 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 | 0.44% | 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. | 1.28% | 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 | 1.21% | 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 | 0.60% | 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. | 0.75% | 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. | 1.92% | 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.
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 54.99%, occurring on Nov 20, 2008. Recovery took 339 trading sessions.
The current 2 Log Sharpe 1 drawdown is 0.08%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -54.99% | Dec 27, 2007 | 229 | Nov 20, 2008 | 339 | Mar 30, 2010 | 568 |
| -33.21% | Oct 4, 2018 | 62 | Jan 3, 2019 | 205 | Oct 25, 2019 | 267 |
| -31.68% | Dec 28, 2021 | 258 | Jan 5, 2023 | 97 | May 25, 2023 | 355 |
| -26.2% | Feb 21, 2020 | 22 | Mar 23, 2020 | 39 | May 18, 2020 | 61 |
| -26.1% | Sep 19, 2012 | 144 | Apr 18, 2013 | 188 | Jan 15, 2014 | 332 |
Volatility
Volatility Chart
The current 2 Log Sharpe 1 volatility is 11.94%, 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
| GLD | RGR | LLY | DPZ | UNH | NVDA | AAPL | TOL | PGR | CB | COST | ETN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GLD | 1.00 | 0.04 | 0.01 | 0.01 | -0.01 | 0.05 | 0.03 | 0.05 | -0.00 | -0.01 | 0.01 | 0.05 |
| RGR | 0.04 | 1.00 | 0.17 | 0.23 | 0.18 | 0.21 | 0.21 | 0.28 | 0.23 | 0.24 | 0.23 | 0.29 |
| LLY | 0.01 | 0.17 | 1.00 | 0.27 | 0.35 | 0.25 | 0.26 | 0.24 | 0.34 | 0.34 | 0.34 | 0.35 |
| DPZ | 0.01 | 0.23 | 0.27 | 1.00 | 0.26 | 0.32 | 0.29 | 0.33 | 0.26 | 0.27 | 0.35 | 0.34 |
| UNH | -0.01 | 0.18 | 0.35 | 0.26 | 1.00 | 0.23 | 0.27 | 0.26 | 0.34 | 0.36 | 0.31 | 0.35 |
| NVDA | 0.05 | 0.21 | 0.25 | 0.32 | 0.23 | 1.00 | 0.45 | 0.35 | 0.26 | 0.23 | 0.35 | 0.41 |
| AAPL | 0.03 | 0.21 | 0.26 | 0.29 | 0.27 | 0.45 | 1.00 | 0.34 | 0.28 | 0.27 | 0.37 | 0.38 |
| TOL | 0.05 | 0.28 | 0.24 | 0.33 | 0.26 | 0.35 | 0.34 | 1.00 | 0.34 | 0.36 | 0.35 | 0.46 |
| PGR | -0.00 | 0.23 | 0.34 | 0.26 | 0.34 | 0.26 | 0.28 | 0.34 | 1.00 | 0.54 | 0.37 | 0.41 |
| CB | -0.01 | 0.24 | 0.34 | 0.27 | 0.36 | 0.23 | 0.27 | 0.36 | 0.54 | 1.00 | 0.36 | 0.44 |
| COST | 0.01 | 0.23 | 0.34 | 0.35 | 0.31 | 0.35 | 0.37 | 0.35 | 0.37 | 0.36 | 1.00 | 0.38 |
| ETN | 0.05 | 0.29 | 0.35 | 0.34 | 0.35 | 0.41 | 0.38 | 0.46 | 0.41 | 0.44 | 0.38 | 1.00 |