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JP
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

JP

Currency in USD · Last updated May 31, 2025

Asset Allocation

MUFG 20%SONY 20%SMFG 20%MFG 20%NMR 20%EquityEquity
PositionCategory/SectorTarget Weight
MFG
Mizuho Financial Group, Inc.		Financial Services
20%
MUFG
Mitsubishi UFJ Financial Group, Inc.		Financial Services
20%
NMR
Nomura Holdings, Inc.		Financial Services
20%
SMFG
Sumitomo Mitsui Financial Group, Inc.		Financial Services
20%
SONY
Sony Group Corporation		Technology
20%

S&P 500

Performance

Performance Chart

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The earliest data available for this chart is Nov 8, 2006, corresponding to the inception date of MFG

Returns By Period

As of May 31, 2025, the JP returned 13.97% Year-To-Date and 10.52% of annualized return in the last 10 years.

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		0.51%6.15%-2.00%12.92%14.19%10.85%
JP13.97%8.09%12.24%33.31%22.73%10.52%
Portfolio components:
MUFG
Mitsubishi UFJ Financial Group, Inc.		20.48%11.71%18.56%37.76%32.10%10.51%
SONY
Sony Group Corporation		24.67%1.46%31.57%63.83%17.13%17.63%
SMFG
Sumitomo Mitsui Financial Group, Inc.		6.35%8.52%4.05%22.63%26.31%9.80%
MFG
Mizuho Financial Group, Inc.		13.70%10.10%9.45%41.01%22.30%6.81%
NMR
Nomura Holdings, Inc.		5.18%9.73%0.16%4.64%9.88%1.82%
*Annualized

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20257.65%3.89%0.46%-6.15%8.09%13.97%
202410.24%1.81%6.11%-4.83%6.99%1.06%7.25%-4.84%-2.52%-0.63%16.03%-1.52%38.43%
202311.18%-1.76%-4.27%-0.67%1.37%5.66%8.61%-5.36%5.99%-1.10%2.67%3.86%27.80%
20222.99%-1.23%-3.29%-8.90%1.80%-6.88%6.97%-6.57%-8.51%1.65%17.47%9.61%1.69%
20210.86%11.78%1.03%-1.47%4.16%-6.44%0.31%-0.60%6.58%-4.91%-2.73%3.98%11.80%
2020-2.13%-10.34%-12.50%5.14%4.82%0.26%2.01%8.19%-3.52%0.22%8.08%5.07%2.82%
20197.08%-1.98%-3.97%6.34%-9.36%6.62%1.05%2.55%7.20%3.53%4.53%2.07%27.11%
20187.11%-3.47%-2.13%-1.89%-4.60%-2.54%3.29%0.51%4.09%-4.12%-5.43%-11.13%-19.62%
20174.26%2.61%0.03%0.18%-0.97%5.65%-0.16%-5.07%2.70%6.20%4.05%0.12%20.80%
2016-11.15%-15.32%10.74%-1.83%6.55%-7.89%15.89%5.34%-1.69%2.01%7.52%1.99%7.76%
2015-1.97%19.09%-3.36%11.86%5.07%-2.29%3.07%-10.37%-5.89%9.04%-4.01%-3.28%14.04%
2014-8.52%-0.23%0.58%-5.98%2.14%6.01%-2.60%0.16%-3.53%5.58%-2.32%-4.52%-13.38%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

JP 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

The current rank of JP is 75, 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 JP is 7575
Overall Rank
The Sharpe Ratio Rank of JP is 7474
Sharpe Ratio Rank
The Sortino Ratio Rank of JP is 7272
Sortino Ratio Rank
The Omega Ratio Rank of JP is 7777
Omega Ratio Rank
The Calmar Ratio Rank of JP is 8080
Calmar Ratio Rank
The Martin Ratio Rank of JP is 7272
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
MUFG
Mitsubishi UFJ Financial Group, Inc.		1.091.581.221.374.05
SONY
Sony Group Corporation		2.082.771.361.8611.35
SMFG
Sumitomo Mitsui Financial Group, Inc.		0.621.021.150.852.41
MFG
Mizuho Financial Group, Inc.		1.081.481.210.854.15
NMR
Nomura Holdings, Inc.		0.120.321.040.020.12

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.

JP Sharpe ratios as of May 31, 2025 (values are recalculated daily):

  • 1-Year: 1.08
  • 5-Year: 0.96
  • 10-Year: 0.44
  • All Time: 0.14

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 0.60 to 1.13, 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 JP compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

JP provided a 0.91% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio0.91%1.82%2.18%2.87%4.03%4.34%3.36%3.42%2.53%2.53%2.50%2.59%
Portfolio components:
MUFG
Mitsubishi UFJ Financial Group, Inc.		1.17%2.50%2.90%3.36%4.25%5.33%3.99%3.85%2.20%2.70%2.34%2.94%
SONY
Sony Group Corporation		0.25%0.58%0.59%0.69%0.43%0.46%0.54%0.56%0.49%0.76%0.39%0.72%
SMFG
Sumitomo Mitsui Financial Group, Inc.		1.56%2.82%3.67%2.12%5.24%5.97%4.61%4.80%3.17%3.63%3.32%3.13%
MFG
Mizuho Financial Group, Inc.		1.56%3.21%3.73%4.34%5.45%5.52%4.47%4.50%3.69%3.77%3.10%3.71%
NMR
Nomura Holdings, Inc.		0.00%0.00%0.00%3.86%4.79%4.45%3.19%3.41%3.07%1.79%3.34%2.44%

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 JP. 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 JP was 72.12%, occurring on Mar 9, 2009. Recovery took 3609 trading sessions.

The current JP drawdown is 4.96%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-72.12%Feb 26, 2007514Mar 9, 20093609Jul 5, 20234123
-24.66%Mar 24, 202511Apr 7, 2025———
-17.44%Aug 1, 20244Aug 6, 202467Nov 8, 202471
-10.7%Jul 31, 202313Aug 16, 202317Sep 11, 202330
-8.69%Sep 20, 202337Nov 9, 202323Dec 13, 202360
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

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 5 assets, with an effective number of assets of 5.00, 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.
^GSPCSONYSMFGNMRMFGMUFGPortfolio
^GSPC1.000.550.350.500.440.500.57
SONY0.551.000.360.450.410.450.66
SMFG0.350.361.000.550.670.730.80
NMR0.500.450.551.000.600.670.80
MFG0.440.410.670.601.000.750.83
MUFG0.500.450.730.670.751.000.87
Portfolio0.570.660.800.800.830.871.00
The correlation results are calculated based on daily price changes starting from Nov 9, 2006
Go to the full Correlations tool for more customization options