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Value, Dividends & Defense 2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Value, Dividends & Defense 2

Last updated Apr 22, 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
4.35%
SO
4.35%
UL
4.35%
V
4.35%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Value, Dividends & Defense 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.

200.00%300.00%400.00%500.00%600.00%NovemberDecember2025FebruaryMarchApril
554.90%
173.10%
Value, Dividends & Defense 2
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Apr 22, 2025, the Value, Dividends & Defense 2 returned 6.77% Year-To-Date and 18.73% of annualized return in the last 10 years.

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-12.30%-8.99%-11.89%3.84%13.06%9.34%
Value, Dividends & Defense 26.77%-1.29%3.01%22.96%24.07%18.73%
Portfolio components:
AAON
AAON, Inc.		-33.71%-2.17%-28.91%-8.42%20.86%17.20%
GOOG
Alphabet Inc.		-21.22%-9.86%-9.41%-3.31%18.50%17.80%
MRK
Merck & Co., Inc.		-21.07%-16.39%-25.57%-36.27%3.44%6.60%
SAP
SAP SE		1.76%-8.07%9.18%44.33%18.04%14.29%
V
1.46%-4.64%11.99%19.54%14.40%17.23%
FIX
Comfort Systems USA, Inc.		-22.52%-6.81%-22.49%13.31%60.30%32.08%
NOV.DE
Novo Nordisk A/S		-31.23%-22.25%-48.71%-51.31%14.28%12.49%
LMT
Lockheed Martin Corporation		-4.99%4.24%-24.41%1.40%6.48%11.58%
CW
Curtiss-Wright Corporation		-10.78%-2.67%-13.04%26.79%27.59%15.60%
RHM.DE
Rheinmetall AG		160.11%17.89%213.68%213.23%95.60%43.93%
MUV2.DE
Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München		34.50%8.67%28.59%59.86%30.66%17.20%
PG
The Procter & Gamble Company		0.11%0.07%-1.01%7.39%9.36%10.21%
DTE.DE
Deutsche Telekom AG		23.52%1.73%23.12%64.72%26.03%11.57%
DB1.DE
Deutsche Börse AG		33.25%6.74%31.30%58.72%17.84%16.53%
SO
10.54%0.97%-1.06%29.39%13.68%11.68%
O
Realty Income Corporation		10.62%4.35%-6.54%15.55%9.27%6.93%
BWXT
BWX Technologies, Inc.		-9.58%1.09%-20.38%10.73%15.52%16.79%
EXLS
ExlService Holdings, Inc.		-2.41%-6.54%8.74%47.71%31.51%19.96%
UL
13.23%8.56%3.88%39.03%7.31%6.79%
BLK
BlackRock, Inc.		-16.24%-10.27%-13.75%16.50%14.58%11.15%
SIX3.DE
0.90%-3.40%-3.24%-5.81%11.15%8.83%
AFX.DE
Carl Zeiss Meditec AG		37.03%-6.13%-4.50%-37.64%-7.91%10.75%
AOF.DE
ATOSS Software AG		26.98%8.35%3.06%19.73%30.73%30.99%
*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%-0.46%2.44%-0.66%6.77%
20242.75%7.03%5.67%-2.82%1.40%-0.12%4.63%5.64%1.96%-0.99%4.81%-5.42%26.52%
20236.58%0.17%5.19%3.03%-4.80%5.22%2.01%-0.78%-5.59%0.50%8.66%4.33%26.17%
2022-4.77%0.54%5.41%-4.91%2.13%-3.51%6.14%-5.02%-8.43%12.84%9.94%-2.39%5.72%
2021-2.44%1.69%5.21%5.88%1.87%-0.53%1.62%2.67%-4.10%5.85%-3.24%6.19%21.87%
20202.36%-8.34%-13.31%9.42%6.65%2.29%4.64%5.27%-1.39%-6.00%12.58%4.12%16.20%
20198.04%5.01%2.06%4.85%-2.48%7.28%-1.02%1.44%1.43%3.60%1.20%1.64%37.82%
20184.84%-3.48%2.23%0.81%0.24%-0.53%6.67%0.76%-0.57%-6.18%1.19%-5.49%-0.30%
20173.48%3.75%1.45%3.21%4.80%0.22%3.32%0.93%3.04%2.69%2.85%0.30%34.41%
2016-2.33%0.41%7.16%-0.57%3.46%-1.53%3.18%-0.38%0.15%-2.78%-0.38%2.01%8.27%
20150.57%5.62%2.02%0.56%-1.02%-1.13%6.28%-2.68%-0.16%9.23%2.23%0.86%24.05%
20140.38%1.86%1.44%-4.14%0.81%-3.75%2.92%3.59%0.60%3.48%

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 90, Value, Dividends & Defense 2 is among the top 10% 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 9090
Overall Rank
The Sharpe Ratio Rank of Value, Dividends & Defense 2 is 9090
Sharpe Ratio Rank
The Sortino Ratio Rank of Value, Dividends & Defense 2 is 8989
Sortino Ratio Rank
The Omega Ratio Rank of Value, Dividends & Defense 2 is 8989
Omega Ratio Rank
The Calmar Ratio Rank of Value, Dividends & Defense 2 is 9191
Calmar Ratio Rank
The Martin Ratio Rank of Value, Dividends & Defense 2 is 9191
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 1.29, compared to the broader market-4.00-2.000.002.00
Portfolio: 1.29
^GSPC: 0.14
The chart of Sortino ratio for Portfolio, currently valued at 1.79, compared to the broader market-6.00-4.00-2.000.002.004.00
Portfolio: 1.79
^GSPC: 0.33
The chart of Omega ratio for Portfolio, currently valued at 1.25, compared to the broader market0.400.600.801.001.201.401.60
Portfolio: 1.25
^GSPC: 1.05
The chart of Calmar ratio for Portfolio, currently valued at 1.72, compared to the broader market0.002.004.006.00
Portfolio: 1.72
^GSPC: 0.14
The chart of Martin ratio for Portfolio, currently valued at 6.92, compared to the broader market0.005.0010.0015.0020.00
Portfolio: 6.92
^GSPC: 0.62
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
AAON
AAON, Inc.		-0.32-0.090.99-0.35-0.83
GOOG
Alphabet Inc.		-0.35-0.310.96-0.35-0.84
MRK
Merck & Co., Inc.		-1.52-2.090.71-0.93-1.81
SAP
SAP SE		1.392.011.261.998.46
V
0.871.271.191.244.34
FIX
Comfort Systems USA, Inc.		0.100.531.080.130.34
NOV.DE
Novo Nordisk A/S		-1.29-1.960.74-0.89-1.77
LMT
Lockheed Martin Corporation		0.030.181.030.020.04
CW
Curtiss-Wright Corporation		0.721.121.170.862.57
RHM.DE
Rheinmetall AG		4.384.901.6711.1526.51
MUV2.DE
Münchener Rückversicherungs-Gesellschaft Aktiengesellschaft in München		2.042.691.374.1011.69
PG
The Procter & Gamble Company		0.280.481.070.431.07
DTE.DE
Deutsche Telekom AG		3.013.941.556.4622.33
DB1.DE
Deutsche Börse AG		2.773.371.524.7523.89
SO
1.401.991.251.924.56
O
Realty Income Corporation		0.701.071.140.511.40
BWXT
BWX Technologies, Inc.		0.130.411.060.140.36
EXLS
ExlService Holdings, Inc.		1.822.491.352.019.22
UL
1.532.111.311.743.64
BLK
BlackRock, Inc.		0.580.951.140.622.23
SIX3.DE
-0.23-0.120.99-0.17-0.66
AFX.DE
Carl Zeiss Meditec AG		-0.75-0.890.88-0.50-1.03
AOF.DE
ATOSS Software AG		0.300.631.080.330.62

The current Value, Dividends & Defense 2 Sharpe ratio is 1.29. 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 0.13 to 0.69, 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 Value, Dividends & Defense 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 Ratio0.001.002.003.004.005.00NovemberDecember2025FebruaryMarchApril
1.29
0.14
Value, Dividends & Defense 2
Benchmark (^GSPC)
Portfolio components

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%1.89%2.64%1.97%2.12%1.91%2.24%
Portfolio components:
AAON
AAON, Inc.		0.44%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.		0.53%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.		4.06%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		0.95%0.97%1.41%2.58%1.56%1.31%1.27%1.73%1.18%1.52%1.50%3.39%
V
0.69%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.		0.41%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		0.39%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		2.81%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		0.27%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		0.39%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		2.50%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		2.83%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		1.40%1.71%1.93%1.98%2.04%2.08%1.93%2.33%2.43%2.94%2.58%3.55%
SO
3.19%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		5.46%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.		0.97%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
2.95%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.		2.40%1.99%2.46%2.75%1.80%2.01%2.63%3.06%1.95%2.41%2.56%2.16%
SIX3.DE
7.33%6.77%9.14%6.83%0.06%0.09%3.32%4.10%3.16%3.89%1.05%2.60%
AFX.DE
Carl Zeiss Meditec AG		1.06%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		1.27%1.48%1.35%1.31%0.77%4.03%1.81%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.

-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2025FebruaryMarchApril
-3.71%
-16.05%
Value, Dividends & Defense 2
Benchmark (^GSPC)
Portfolio components

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 35.14%, occurring on Mar 23, 2020. Recovery took 104 trading sessions.

The current Value, Dividends & Defense 2 drawdown is 3.71%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-35.14%Feb 20, 202023Mar 23, 2020104Aug 17, 2020127
-15%Apr 6, 2022124Sep 27, 202232Nov 10, 2022156
-14.98%Aug 30, 201883Dec 24, 201842Feb 22, 2019125
-11.12%Jul 4, 201472Oct 13, 201452Dec 24, 2014124
-10.68%Mar 20, 202513Apr 7, 2025———

Volatility

Volatility Chart

The current Value, Dividends & Defense 2 volatility is 8.29%, 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.

2.00%4.00%6.00%8.00%10.00%12.00%14.00%NovemberDecember2025FebruaryMarchApril
8.29%
13.75%
Value, Dividends & Defense 2
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics

Number of Effective Assets
5.0010.0015.0020.00
Effective Assets: 23.00

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.
AOF.DESONOV.DEAFX.DEOMRKRHM.DESIX3.DELMTPGDB1.DEAAONBWXTFIXGOOGMUV2.DEDTE.DEEXLSULCWVSAPBLK
AOF.DE1.000.080.220.280.090.070.180.270.040.080.260.110.120.110.150.250.220.120.160.100.110.260.18
SO0.081.000.070.080.490.280.020.050.280.450.130.100.170.120.140.140.180.200.310.180.210.150.18
NOV.DE0.220.071.000.290.090.240.240.210.120.150.310.130.120.120.170.270.330.130.250.140.200.280.21
AFX.DE0.280.080.291.000.140.110.250.340.080.150.350.140.160.160.220.280.280.170.260.140.230.340.25
O0.090.490.090.141.000.250.060.130.270.360.100.190.210.240.210.130.180.310.330.250.310.220.27
MRK0.070.280.240.110.251.000.110.090.300.380.160.180.200.190.220.170.220.250.320.250.320.240.32
RHM.DE0.180.020.240.250.060.111.000.360.180.070.320.200.260.230.170.390.350.210.180.280.260.310.25
SIX3.DE0.270.050.210.340.130.090.361.000.140.080.370.180.210.230.230.410.380.210.210.240.250.330.31
LMT0.040.280.120.080.270.300.180.141.000.330.150.270.400.260.220.180.190.290.290.480.360.230.34
PG0.080.450.150.150.360.380.070.080.331.000.180.210.230.190.240.170.220.260.510.250.360.290.32
DB1.DE0.260.130.310.350.100.160.320.370.150.181.000.200.180.150.190.490.450.200.330.180.260.390.28
AAON0.110.100.130.140.190.180.200.180.270.210.201.000.390.520.310.190.170.440.220.470.350.330.43
BWXT0.120.170.120.160.210.200.260.210.400.230.180.391.000.420.280.200.180.360.230.550.340.320.40
FIX0.110.120.120.160.240.190.230.230.260.190.150.520.421.000.310.220.160.460.200.530.350.350.45
GOOG0.150.140.170.220.210.220.170.230.220.240.190.310.280.311.000.200.200.380.260.360.540.490.49
MUV2.DE0.250.140.270.280.130.170.390.410.180.170.490.190.200.220.201.000.540.220.310.260.270.400.33
DTE.DE0.220.180.330.280.180.220.350.380.190.220.450.170.180.160.200.541.000.200.390.210.270.380.30
EXLS0.120.200.130.170.310.250.210.210.290.260.200.440.360.460.380.220.201.000.260.470.430.380.47
UL0.160.310.250.260.330.320.180.210.290.510.330.220.230.200.260.310.390.261.000.270.360.430.35
CW0.100.180.140.140.250.250.280.240.480.250.180.470.550.530.360.260.210.470.271.000.440.370.50
V0.110.210.200.230.310.320.260.250.360.360.260.350.340.350.540.270.270.430.360.441.000.490.54
SAP0.260.150.280.340.220.240.310.330.230.290.390.330.320.350.490.400.380.380.430.370.491.000.49
BLK0.180.180.210.250.270.320.250.310.340.320.280.430.400.450.490.330.300.470.350.500.540.491.00
The correlation results are calculated based on daily price changes starting from Apr 4, 2014
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DrawdownsExpected ShortfallUlcer IndexValue at RiskClose-to-Close VolatilityParkinson VolatilityGarman Klass VolatilityRogers-Satchell VolatilityYang Zhang Volatility

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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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