PortfoliosLab logo
PortfoliosLab logo
Tools
Portfolios
Screeners
Discussions
Value, Dividends & Defense 2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Value, Dividends & Defense 2

Currency in USD · Last updated May 23, 2025

Asset Allocation

AAON 4.35%GOOG 4.35%MRK 4.35%SAP 4.35%V 4.35%FIX 4.35%NOV.DE 4.35%LMT 4.35%CW 4.35%RHM.DE 4.35%MUV2.DE 4.35%PG 4.35%DTE.DE 4.35%DB1.DE 4.35%SO 4.35%O 4.35%BWXT 4.35%EXLS 4.35%UL 4.35%BLK 4.35%SIX3.DE 4.35%AFX.DE 4.35%AOF.DE 4.35%EquityEquity
PositionCategory/SectorTarget Weight
AAON
AAON, Inc.		Industrials
4.35%
AFX.DE
Carl Zeiss Meditec AG		Healthcare
4.35%
AOF.DE
ATOSS Software AG		Technology
4.35%
BLK
BlackRock, Inc.		Financial Services
4.35%
BWXT
BWX Technologies, Inc.		Industrials
4.35%
CW
Curtiss-Wright Corporation		Industrials
4.35%
DB1.DE
Deutsche Börse AG		Financial Services
4.35%
DTE.DE
Deutsche Telekom AG		Communication Services
4.35%
EXLS
ExlService Holdings, Inc.		Technology
4.35%
FIX
Comfort Systems USA, Inc.		Industrials
4.35%
GOOG
Alphabet Inc		Communication Services
4.35%
LMT
Lockheed Martin Corporation		Industrials
4.35%
MRK
Merck & Co., Inc.		Healthcare
4.35%
MUV2.DE
Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München		Financial Services
4.35%
NOV.DE
Novo Nordisk A/S		Healthcare
4.35%
O
Realty Income Corporation		Real Estate
4.35%
PG
The Procter & Gamble Company		Consumer Defensive
4.35%
RHM.DE
Rheinmetall AG		Industrials
4.35%
SAP
SAP SE		Technology
4.35%
SIX3.DE
Sixt SE		Industrials
4.35%
SO
The Southern Company		Utilities
4.35%
UL
The Unilever Group		Consumer Defensive
4.35%
V
Visa Inc.		Financial Services
4.35%

S&P 500

Performance

Performance Chart

Loading data...

The earliest data available for this chart is Apr 3, 2014, corresponding to the inception date of GOOG

Returns By Period

As of May 23, 2025, the Value, Dividends & Defense 2 returned 17.67% Year-To-Date and 20.26% of annualized return in the last 10 years.

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-1.34%7.94%-2.79%10.16%14.45%10.68%
Value, Dividends & Defense 218.06%7.72%13.16%29.47%25.62%20.53%
Portfolio components:
AAON
AAON, Inc.		-15.69%20.77%-27.76%30.45%24.21%20.70%
GOOG
Alphabet Inc		-10.85%7.53%2.04%-2.67%19.30%20.40%
MRK
Merck & Co., Inc.		-21.34%-1.47%-20.47%-39.07%4.42%6.47%
SAP
SAP SE		20.81%9.56%25.90%52.52%22.51%16.71%
V
Visa Inc.		12.24%5.91%14.46%29.86%13.93%18.65%
FIX
Comfort Systems USA, Inc.		11.43%32.68%-3.77%43.17%70.30%36.68%
NOV.DE
Novo Nordisk A/S		-21.35%9.70%-34.88%-49.50%17.52%14.28%
LMT
Lockheed Martin Corporation		-2.80%1.15%-12.34%3.02%7.78%12.40%
CW
Curtiss-Wright Corporation		20.81%30.91%15.61%52.55%36.50%20.25%
RHM.DE
Rheinmetall AG		218.48%29.94%215.79%252.79%96.66%47.04%
MUV2.DE
Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München		31.98%-3.30%32.13%35.96%29.91%17.87%
PG
The Procter & Gamble Company		0.17%0.08%-4.73%2.69%10.75%10.72%
DTE.DE
Deutsche Telekom AG		31.15%2.82%28.70%67.51%25.86%12.91%
DB1.DE
Deutsche Börse AG		43.09%4.31%47.68%65.83%16.92%17.62%
SO
The Southern Company		10.74%-0.81%4.07%20.10%14.82%12.25%
O
Realty Income Corporation		6.47%-3.89%-0.56%12.24%7.74%7.31%
BWXT
BWX Technologies, Inc.		7.80%14.45%-9.64%37.54%17.45%19.11%
EXLS
ExlService Holdings, Inc.		2.70%3.40%-1.36%47.27%31.08%20.57%
UL
The Unilever Group		14.38%0.15%10.65%21.18%8.42%7.32%
BLK
BlackRock, Inc.		-5.53%7.91%-6.10%25.61%16.23%13.02%
SIX3.DE
Sixt SE		11.60%9.50%18.40%11.80%10.99%10.57%
AFX.DE
Carl Zeiss Meditec AG		38.84%-2.18%13.83%-34.13%-6.65%11.46%
AOF.DE
ATOSS Software AG		23.24%-5.65%17.32%12.64%25.59%32.08%
*Annualized

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20255.39%-0.45%2.45%5.64%3.98%18.06%
20242.70%7.08%5.67%-2.83%1.42%-0.14%4.63%5.64%1.97%-0.99%4.81%-5.43%26.50%
20236.58%0.18%5.20%3.01%-4.77%5.20%2.02%-0.79%-5.58%0.49%8.68%4.32%26.19%
2022-4.77%0.53%5.45%-4.91%2.11%-3.52%6.18%-5.10%-8.37%12.85%10.00%-2.45%5.72%
2021-2.45%1.69%5.20%5.89%1.77%-0.43%1.62%2.68%-4.13%5.86%-3.25%6.21%21.85%
20202.21%-8.25%-13.24%9.12%6.85%2.39%4.88%4.93%-1.27%-5.99%12.63%4.01%16.22%
20198.20%4.90%2.07%4.70%-2.44%7.42%-0.78%1.41%1.34%3.46%1.17%1.60%37.85%
20184.98%-3.35%2.17%0.91%0.00%-0.78%7.09%0.93%-0.68%-6.16%1.31%-5.73%-0.13%
20172.97%4.05%1.58%2.97%4.66%0.49%2.98%1.17%2.99%2.65%2.83%0.29%33.90%
2016-2.01%0.25%6.85%-0.80%3.83%-1.50%2.82%-0.12%0.09%-2.70%-0.20%2.04%8.45%
20150.74%5.49%2.33%-0.11%-0.75%-0.78%5.83%-2.50%0.10%8.92%2.33%0.79%24.09%
20140.12%1.93%1.38%-4.01%0.92%-3.71%2.99%3.38%0.56%3.34%

Expense Ratio

Value, Dividends & Defense 2 has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 95, Value, Dividends & Defense 2 is among the top 5% 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 Value, Dividends & Defense 2 is 9595
Overall Rank
The Sharpe Ratio Rank of Value, Dividends & Defense 2 is 9595
Sharpe Ratio Rank
The Sortino Ratio Rank of Value, Dividends & Defense 2 is 9595
Sortino Ratio Rank
The Omega Ratio Rank of Value, Dividends & Defense 2 is 9696
Omega Ratio Rank
The Calmar Ratio Rank of Value, Dividends & Defense 2 is 9696
Calmar Ratio Rank
The Martin Ratio Rank of Value, Dividends & Defense 2 is 9696
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 ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAON
AAON, Inc.		0.581.131.180.681.56
GOOG
Alphabet Inc		-0.080.121.02-0.07-0.15
MRK
Merck & Co., Inc.		-1.40-1.800.76-0.84-1.49
SAP
SAP SE		1.783.101.403.3013.78
V
Visa Inc.		1.341.901.292.057.18
FIX
Comfort Systems USA, Inc.		0.731.251.190.972.37
NOV.DE
Novo Nordisk A/S		-1.17-1.700.78-0.82-1.43
LMT
Lockheed Martin Corporation		0.130.281.040.080.14
CW
Curtiss-Wright Corporation		1.562.011.311.915.50
RHM.DE
Rheinmetall AG		5.205.451.7514.3233.82
MUV2.DE
Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München		1.331.851.252.697.43
PG
The Procter & Gamble Company		0.140.351.050.280.60
DTE.DE
Deutsche Telekom AG		3.153.811.556.9822.50
DB1.DE
Deutsche Börse AG		2.833.501.555.2425.46
SO
The Southern Company		1.051.271.161.182.75
O
Realty Income Corporation		0.660.921.120.461.11
BWXT
BWX Technologies, Inc.		1.051.391.200.942.29
EXLS
ExlService Holdings, Inc.		1.702.651.382.278.72
UL
The Unilever Group		1.111.571.221.282.64
BLK
BlackRock, Inc.		0.971.571.231.163.67
SIX3.DE
Sixt SE		0.390.821.100.301.73
AFX.DE
Carl Zeiss Meditec AG		-0.63-0.470.94-0.36-0.90
AOF.DE
ATOSS Software AG		0.390.871.120.531.03

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.

Value, Dividends & Defense 2 Sharpe ratios as of May 23, 2025 (values are recalculated daily):

  • 1-Year: 1.99
  • 5-Year: 1.71
  • 10-Year: 1.27
  • All Time: 1.24

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 is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Value, Dividends & Defense 2 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.

Loading data...

Dividends

Dividend yield

Value, Dividends & Defense 2 provided a 1.95% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio1.95%1.96%2.15%2.10%1.89%2.27%1.86%2.65%1.97%2.12%1.96%2.24%
Portfolio components:
AAON
AAON, Inc.		0.34%0.27%0.43%0.57%0.48%0.57%0.65%0.91%0.71%0.73%0.95%0.79%
GOOG
Alphabet Inc		0.47%0.32%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
MRK
Merck & Co., Inc.		4.07%3.14%2.72%2.52%3.41%3.03%2.48%2.60%3.36%3.14%3.43%3.12%
SAP
SAP SE		0.86%0.97%1.41%2.58%1.56%1.31%1.27%1.73%1.18%1.52%1.50%3.39%
V
Visa Inc.		0.65%0.68%0.72%0.76%0.62%0.56%0.56%0.67%0.61%0.75%0.64%0.64%
FIX
Comfort Systems USA, Inc.		0.32%0.28%0.41%0.49%0.49%0.81%0.79%0.76%0.68%0.83%0.88%1.31%
NOV.DE
Novo Nordisk A/S		0.34%0.21%0.14%0.16%0.17%0.27%0.28%3.65%0.31%0.49%0.17%0.23%
LMT
Lockheed Martin Corporation		2.75%2.62%2.68%2.34%2.98%2.76%2.31%3.13%2.32%2.71%2.83%2.85%
CW
Curtiss-Wright Corporation		0.20%0.23%0.35%0.45%0.51%0.58%0.47%0.59%0.46%0.53%0.76%0.74%
RHM.DE
Rheinmetall AG		0.45%0.93%1.50%1.77%2.41%5.54%2.05%2.20%1.37%1.72%0.49%1.10%
MUV2.DE
Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München		3.52%3.08%3.09%3.62%3.76%4.04%3.52%4.51%4.76%4.59%4.20%4.37%
PG
The Procter & Gamble Company		2.46%2.36%2.55%2.38%2.08%2.24%2.37%3.09%2.98%3.18%3.32%2.78%
DTE.DE
Deutsche Telekom AG		2.67%2.67%3.22%3.43%3.68%8.02%4.80%4.39%4.06%3.36%3.00%3.77%
DB1.DE
Deutsche Börse AG		1.39%1.71%1.93%1.98%2.04%2.08%1.93%2.33%2.43%2.94%2.58%3.55%
SO
The Southern Company		3.24%3.47%3.96%3.78%3.82%4.13%3.86%5.42%4.78%4.52%4.60%4.24%
O
Realty Income Corporation		5.72%5.37%5.33%4.68%6.95%4.65%3.69%4.19%4.45%4.19%4.42%4.59%
BWXT
BWX Technologies, Inc.		0.82%0.86%1.20%1.52%1.75%1.26%1.10%1.67%0.69%0.91%0.83%1.32%
EXLS
ExlService Holdings, 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%
UL
The Unilever Group		3.03%3.29%3.83%3.61%3.77%3.07%3.17%3.46%2.79%3.40%3.02%3.69%
BLK
BlackRock, Inc.		2.13%1.99%2.46%2.75%1.80%2.01%2.63%3.06%1.95%2.41%2.56%2.16%
SIX3.DE
Sixt SE		6.58%6.77%9.14%6.83%0.06%0.09%3.32%4.27%3.16%3.89%2.16%2.60%
AFX.DE
Carl Zeiss Meditec AG		1.05%2.42%1.11%0.76%0.27%1.19%0.48%0.81%0.81%1.09%1.40%2.13%
AOF.DE
ATOSS Software AG		1.68%1.48%1.35%1.31%0.77%4.03%0.98%7.44%1.57%1.81%1.28%2.22%

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.

Loading data...

Worst Drawdowns

The table below displays the maximum drawdowns of the Value, Dividends & Defense 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 Value, Dividends & Defense 2 was 35.18%, occurring on Mar 23, 2020. Recovery took 105 trading sessions.

The current Value, Dividends & Defense 2 drawdown is 1.00%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.18%Feb 20, 202023Mar 23, 2020105Aug 18, 2020128
-15%Apr 6, 2022124Sep 27, 202232Nov 10, 2022156
-14.72%Aug 30, 201883Dec 24, 201842Feb 22, 2019125
-11.49%Jul 4, 201472Oct 13, 201452Dec 24, 2014124
-10.68%Mar 20, 202513Apr 7, 202513Apr 25, 202526

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

Loading data...

Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 23 assets, with an effective number of assets of 23.00, 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.
^GSPCAOF.DESONOV.DEOAFX.DEMRKRHM.DEPGSIX3.DELMTDB1.DEDTE.DEAAONMUV2.DEULBWXTFIXGOOGEXLSCWSAPVBLKPortfolio
^GSPC1.000.220.250.240.350.290.380.280.410.330.400.280.310.530.320.400.510.550.700.560.600.620.690.750.78
AOF.DE0.221.000.070.240.070.280.080.190.070.270.050.270.240.110.260.130.120.120.160.120.110.240.130.200.40
SO0.250.071.000.060.490.070.280.020.450.040.280.110.150.100.120.320.170.110.140.200.180.150.210.180.30
NOV.DE0.240.240.061.000.070.300.240.260.140.230.120.340.360.130.310.210.120.120.170.140.150.240.210.210.44
O0.350.070.490.071.000.120.260.040.360.110.270.080.140.180.110.340.210.240.200.300.250.220.310.270.38
AFX.DE0.290.280.070.300.121.000.110.270.130.360.090.360.290.150.290.220.160.170.220.180.160.310.240.260.48
MRK0.380.080.280.240.260.111.000.110.390.100.300.150.210.180.180.320.200.190.220.250.250.240.320.320.41
RHM.DE0.280.190.020.260.040.270.111.000.060.370.180.350.390.200.410.150.250.230.170.210.290.280.260.250.51
PG0.410.070.450.140.360.130.390.061.000.070.330.150.190.210.150.510.230.190.240.260.250.290.350.320.42
SIX3.DE0.330.270.040.230.110.360.100.370.071.000.140.380.400.190.440.170.220.240.240.220.250.300.260.320.53
LMT0.400.050.280.120.270.090.300.180.330.141.000.150.190.270.190.290.400.260.210.290.480.230.360.340.46
DB1.DE0.280.270.110.340.080.360.150.350.150.380.151.000.480.200.510.280.180.150.190.200.180.340.260.270.51
DTE.DE0.310.240.150.360.140.290.210.390.190.400.190.481.000.170.560.330.180.170.200.200.220.330.270.300.53
AAON0.530.110.100.130.180.150.180.200.210.190.270.200.171.000.200.210.390.520.310.430.470.330.360.430.55
MUV2.DE0.320.260.120.310.110.290.180.410.150.440.190.510.560.201.000.260.200.220.200.220.270.350.270.330.55
UL0.400.130.320.210.340.220.320.150.510.170.290.280.330.210.261.000.230.190.260.250.260.430.360.350.49
BWXT0.510.120.170.120.210.160.200.250.230.220.400.180.180.390.200.231.000.430.280.360.550.320.340.400.55
FIX0.550.120.110.120.240.170.190.230.190.240.260.150.170.520.220.190.431.000.310.450.530.340.340.450.57
GOOG0.700.160.140.170.200.220.220.170.240.240.210.190.200.310.200.260.280.311.000.380.360.480.530.490.53
EXLS0.560.120.200.140.300.180.250.210.260.220.290.200.200.430.220.250.360.450.381.000.470.380.430.460.57
CW0.600.110.180.150.250.160.250.290.250.250.480.180.220.470.270.260.550.530.360.471.000.370.440.500.62
SAP0.620.240.150.240.220.310.240.280.290.300.230.340.330.330.350.430.320.340.480.380.371.000.490.490.63
V0.690.130.210.210.310.240.320.260.350.260.360.260.270.360.270.360.340.340.530.430.440.491.000.540.62
BLK0.750.200.180.210.270.260.320.250.320.320.340.270.300.430.330.350.400.450.490.460.500.490.541.000.67
Portfolio0.780.400.300.440.380.480.410.510.420.530.460.510.530.550.550.490.550.570.530.570.620.630.620.671.00
The correlation results are calculated based on daily price changes starting from Apr 4, 2014