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Japaneze conglomerates
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ITOCY 14.4%MITSY 14.4%MARUY 14.4%SSUMY 14.2%AXP 14.2%OXY 14.2%KO 14.2%EquityEquity

Performance

Performance Chart


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The earliest data available for this chart is Mar 28, 2005, corresponding to the inception date of MARUY

Returns By Period

As of May 16, 2025, the Japaneze conglomerates returned 7.64% Year-To-Date and 14.79% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
0.60%9.64%-0.54%11.47%15.67%10.79%
Japaneze conglomerates7.64%12.26%7.17%-0.40%28.23%14.79%
ITOCY
Itochu Corp ADR
5.28%12.89%1.18%12.32%20.59%17.55%
MITSY
Mitsui & Company Ltd
-3.23%8.33%-3.68%-19.93%27.24%17.73%
MARUY
Marubeni Corp ADR
28.06%22.85%23.94%-1.62%34.88%15.63%
SSUMY
Sumitomo Corp ADR
17.70%12.37%21.57%-5.09%17.46%10.89%
AXP
American Express Company
1.50%16.17%4.49%25.34%31.33%15.81%
OXY
Occidental Petroleum Corporation
-11.78%14.74%-13.58%-30.36%26.93%-2.69%
KO
The Coca-Cola Company
15.87%-0.35%16.20%16.83%14.10%9.08%
*Annualized

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2025-1.40%1.79%0.43%2.03%4.66%7.64%
20245.83%2.08%4.15%3.90%2.56%-2.13%2.04%-1.51%-1.07%-5.80%2.33%-1.07%11.25%
20235.15%-3.57%4.99%1.47%-0.85%12.21%2.78%-5.01%-2.67%-1.94%5.71%3.35%22.36%
20229.06%5.42%9.54%-5.71%0.38%-10.09%5.62%2.42%-11.42%6.60%16.23%-1.16%25.77%
20210.28%13.55%4.28%-0.49%3.33%1.31%-0.70%-1.37%1.93%3.59%-4.32%6.84%30.75%
20200.98%-9.62%-21.05%7.55%-0.88%4.28%-0.96%13.18%-5.08%-7.39%21.89%8.23%4.12%
20197.37%-3.25%1.99%1.84%-4.25%5.14%0.36%-2.28%4.32%1.34%0.27%2.80%16.09%
20183.59%-2.42%-0.57%6.42%-0.47%-1.48%1.03%0.27%7.05%-6.26%0.65%-7.69%-0.94%
20173.39%3.87%-0.49%-0.56%-1.36%4.00%3.02%0.95%4.54%2.38%2.36%6.00%31.66%
2016-6.00%2.05%5.23%5.82%-3.24%-2.25%0.45%4.43%2.26%1.91%2.98%0.38%14.19%
2015-5.53%6.47%-2.33%6.26%0.83%-1.88%-3.48%-1.52%-6.07%11.73%-1.96%-3.99%-3.02%
2014-4.30%5.38%-1.02%-0.13%3.60%5.14%-3.34%1.89%-3.46%-2.80%-2.09%-2.33%-4.03%

Expense Ratio

Japaneze conglomerates 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 Japaneze conglomerates is 4, meaning it’s performing worse than 96% of other 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 Japaneze conglomerates is 44
Overall Rank
The Sharpe Ratio Rank of Japaneze conglomerates is 55
Sharpe Ratio Rank
The Sortino Ratio Rank of Japaneze conglomerates is 44
Sortino Ratio Rank
The Omega Ratio Rank of Japaneze conglomerates is 44
Omega Ratio Rank
The Calmar Ratio Rank of Japaneze conglomerates is 44
Calmar Ratio Rank
The Martin Ratio Rank of Japaneze conglomerates is 44
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
ITOCY
Itochu Corp ADR
0.390.851.100.491.16
MITSY
Mitsui & Company Ltd
-0.59-0.680.92-0.56-0.88
MARUY
Marubeni Corp ADR
-0.050.221.03-0.02-0.02
SSUMY
Sumitomo Corp ADR
-0.17-0.021.00-0.17-0.31
AXP
American Express Company
0.791.341.190.942.98
OXY
Occidental Petroleum Corporation
-0.91-1.170.84-0.59-1.44
KO
The Coca-Cola Company
0.991.441.181.032.27

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.

Japaneze conglomerates Sharpe ratios as of May 16, 2025 (values are recalculated daily):

  • 1-Year: -0.02
  • 5-Year: 1.34
  • 10-Year: 0.76
  • All Time: 0.62

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 0.52 to 1.01, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Japaneze conglomerates 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

Japaneze conglomerates provided a 0.82% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio0.82%1.01%1.75%1.92%2.76%4.17%4.72%4.59%3.45%3.96%4.09%4.09%
ITOCY
Itochu Corp ADR
0.00%0.00%0.00%0.00%2.65%2.83%3.53%3.93%2.83%3.68%3.30%4.09%
MITSY
Mitsui & Company Ltd
0.00%1.28%2.93%3.16%3.40%8.26%8.26%9.31%6.57%7.62%8.62%8.90%
MARUY
Marubeni Corp ADR
0.00%0.00%0.00%0.00%4.38%3.96%4.25%4.52%3.22%3.20%3.64%3.82%
SSUMY
Sumitomo Corp ADR
0.00%0.00%3.78%5.41%4.85%4.96%5.17%4.50%2.78%3.94%3.97%4.31%
AXP
American Express Company
0.97%0.91%1.24%1.35%1.05%1.42%1.29%1.51%1.32%1.61%1.58%1.05%
OXY
Occidental Petroleum Corporation
2.08%1.78%1.21%0.83%0.14%4.74%7.62%5.05%4.15%4.24%4.40%3.47%
KO
The Coca-Cola Company
2.74%3.12%3.12%2.77%2.84%2.99%2.89%3.29%3.23%3.38%3.07%2.89%

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 Japaneze conglomerates. 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 Japaneze conglomerates was 58.62%, occurring on Nov 20, 2008. Recovery took 513 trading sessions.

The current Japaneze conglomerates drawdown is 1.84%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-58.62%May 23, 2008128Nov 20, 2008513Dec 3, 2010641
-39.06%Feb 7, 202031Mar 23, 2020181Dec 8, 2020212
-27.1%Oct 30, 200757Jan 22, 200882May 19, 2008139
-23.7%Jul 7, 2014408Feb 12, 2016207Dec 7, 2016615
-20.56%Mar 28, 2022130Sep 30, 202278Jan 24, 2023208

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 7 assets, with an effective number of assets of 7.00, 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.

^GSPCKOMARUYOXYMITSYAXPITOCYSSUMYPortfolio
^GSPC1.000.500.090.510.170.700.370.370.57
KO0.501.000.040.250.090.370.210.210.38
MARUY0.090.041.000.070.570.070.430.480.60
OXY0.510.250.071.000.130.390.230.250.54
MITSY0.170.090.570.131.000.140.430.520.66
AXP0.700.370.070.390.141.000.270.280.53
ITOCY0.370.210.430.230.430.271.000.590.70
SSUMY0.370.210.480.250.520.280.591.000.75
Portfolio0.570.380.600.540.660.530.700.751.00
The correlation results are calculated based on daily price changes starting from Sep 9, 2005