Fortress of Solitude 25
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
BLK BlackRock, Inc. | Financial Services | 7.14% |
CAT Caterpillar Inc. | Industrials | 7.14% |
CL Colgate-Palmolive Company | Consumer Defensive | 7.14% |
DE Deere & Company | Industrials | 7.14% |
ETN Eaton Corporation plc | Industrials | 7.14% |
JNJ Johnson & Johnson | Healthcare | 0% |
KO The Coca-Cola Company | Consumer Defensive | 7.14% |
MCO Moody's Corporation | Financial Services | 7.14% |
MDLZ Mondelez International, Inc. | Consumer Defensive | 7.14% |
MMC Marsh & McLennan Companies, Inc. | Financial Services | 7.14% |
NVS Novartis AG | Healthcare | 7.14% |
PEP PepsiCo, Inc. | Consumer Defensive | 7.14% |
SPGI S&P Global Inc. | Financial Services | 7.14% |
SYK Stryker Corporation | Healthcare | 7.14% |
TT Trane Technologies plc | Industrials | 7.14% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Fortress of Solitude 25, 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 Quarterly
The earliest data available for this chart is Jun 13, 2001, corresponding to the inception date of MDLZ
Returns By Period
As of Sep 21, 2024, the Fortress of Solitude 25 returned 22.59% Year-To-Date and 16.69% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 19.55% | 2.37% | 8.95% | 32.00% | 13.81% | 11.08% |
| Fortress of Solitude 25 | 22.59% | 4.25% | 13.15% | 34.75% | 19.09% | 16.60% |
| Portfolio components: | ||||||
JNJ Johnson & Johnson | 7.19% | 1.88% | 7.42% | 5.52% | 7.43% | 7.13% |
KO The Coca-Cola Company | 24.34% | 4.04% | 20.17% | 28.22% | 9.11% | 8.84% |
PEP PepsiCo, Inc. | 3.14% | -1.85% | 1.06% | 0.71% | 7.84% | 9.37% |
NVS Novartis AG | 19.21% | -1.55% | 20.48% | 25.77% | 11.70% | 8.14% |
CAT Caterpillar Inc. | 26.29% | 7.73% | 3.79% | 37.45% | 26.41% | 16.97% |
SPGI S&P Global Inc. | 19.59% | 5.19% | 25.43% | 42.05% | 16.75% | 21.19% |
SYK Stryker Corporation | 22.39% | 4.02% | 3.94% | 29.18% | 11.89% | 17.53% |
BLK BlackRock, Inc. | 16.57% | 7.98% | 14.02% | 44.31% | 18.81% | 13.83% |
ETN Eaton Corporation plc | 38.59% | 11.06% | 5.09% | 57.57% | 34.55% | 20.95% |
MMC Marsh & McLennan Companies, Inc. | 19.27% | -0.85% | 10.15% | 16.02% | 19.05% | 17.60% |
DE Deere & Company | 2.28% | 7.78% | 2.54% | 8.16% | 21.44% | 19.37% |
MDLZ Mondelez International, Inc. | 3.84% | 4.87% | 3.89% | 8.08% | 8.81% | 10.01% |
MCO Moody's Corporation | 27.44% | 3.05% | 28.11% | 53.84% | 19.16% | 19.31% |
CL Colgate-Palmolive Company | 31.49% | -0.86% | 16.80% | 45.62% | 10.20% | 7.01% |
TT Trane Technologies plc | 59.10% | 10.03% | 28.84% | 94.24% | 34.30% | 26.28% |
Monthly Returns
The table below presents the monthly returns of Fortress of Solitude 25, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 2.22% | 2.66% | 4.15% | -1.76% | 1.84% | 0.75% | 3.93% | 5.24% | 22.59% | ||||
| 2023 | 3.09% | -2.78% | 3.03% | 3.12% | -4.32% | 8.74% | 2.15% | -0.60% | -4.20% | -3.27% | 9.89% | 4.84% | 20.08% |
| 2022 | -4.80% | -3.80% | 4.57% | -4.42% | -1.17% | -6.55% | 8.37% | -2.82% | -8.59% | 12.15% | 8.56% | -1.60% | -2.48% |
| 2021 | -4.49% | 4.65% | 7.08% | 4.70% | 2.54% | 0.67% | 3.15% | 2.03% | -7.44% | 6.82% | -2.98% | 7.35% | 25.37% |
| 2020 | 1.73% | -7.28% | -9.39% | 8.48% | 4.59% | 0.72% | 7.09% | 5.49% | 0.73% | -2.02% | 11.71% | 2.21% | 24.31% |
| 2019 | 8.77% | 3.76% | 3.12% | 4.40% | -4.97% | 8.29% | 0.93% | 0.15% | 0.56% | 2.27% | 1.88% | 2.87% | 36.22% |
| 2018 | 5.11% | -3.27% | -1.12% | -3.53% | 2.17% | -0.04% | 4.48% | -0.23% | 1.55% | -7.02% | 7.24% | -8.29% | -4.13% |
| 2017 | 3.10% | 4.43% | 0.63% | 3.42% | 4.59% | 0.28% | 2.38% | -2.06% | 3.35% | 2.08% | 3.90% | 1.88% | 31.59% |
| 2016 | -4.10% | 2.21% | 7.18% | 3.29% | 1.03% | 0.82% | 3.05% | 1.45% | 0.51% | -2.89% | 2.07% | 1.03% | 16.28% |
| 2015 | -2.79% | 6.44% | -1.24% | 1.60% | 2.17% | -1.96% | 0.77% | -6.51% | -4.44% | 7.43% | 0.57% | -2.16% | -1.03% |
| 2014 | -3.63% | 3.39% | 1.58% | 1.15% | 2.99% | 2.49% | -4.93% | 4.08% | -1.46% | 4.36% | 3.80% | -2.42% | 11.39% |
| 2013 | 7.58% | -0.45% | 4.32% | 2.85% | 1.21% | -2.72% | 6.28% | -3.49% | 4.58% | 4.98% | 2.70% | 3.92% | 35.98% |
Expense Ratio
Fortress of Solitude 25 has an expense ratio of 0.00%, indicating no management fees are charged. 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
The current risk-adjusted rank of Fortress of Solitude 25 is 84, placing it in the top 16% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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 | |
|---|---|---|---|---|---|
JNJ Johnson & Johnson | 0.26 | 0.48 | 1.06 | 0.21 | 0.71 |
KO The Coca-Cola Company | 1.94 | 2.67 | 1.36 | 1.53 | 11.43 |
PEP PepsiCo, Inc. | -0.06 | 0.03 | 1.00 | -0.06 | -0.21 |
NVS Novartis AG | 1.39 | 1.92 | 1.25 | 2.00 | 5.21 |
CAT Caterpillar Inc. | 1.32 | 1.80 | 1.24 | 1.63 | 4.38 |
SPGI S&P Global Inc. | 2.06 | 2.73 | 1.39 | 1.34 | 7.94 |
SYK Stryker Corporation | 1.32 | 1.82 | 1.25 | 1.66 | 5.71 |
BLK BlackRock, Inc. | 2.00 | 2.79 | 1.34 | 1.13 | 8.27 |
ETN Eaton Corporation plc | 1.97 | 2.47 | 1.35 | 2.84 | 8.83 |
MMC Marsh & McLennan Companies, Inc. | 1.00 | 1.34 | 1.19 | 1.82 | 5.68 |
DE Deere & Company | 0.10 | 0.31 | 1.04 | 0.11 | 0.34 |
MDLZ Mondelez International, Inc. | 0.35 | 0.60 | 1.07 | 0.29 | 0.81 |
MCO Moody's Corporation | 2.38 | 2.79 | 1.43 | 1.99 | 14.77 |
CL Colgate-Palmolive Company | 2.97 | 4.12 | 1.54 | 2.73 | 22.61 |
TT Trane Technologies plc | 3.50 | 4.45 | 1.60 | 7.35 | 28.92 |
Dividends
Dividend yield
Fortress of Solitude 25 granted a 1.70% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Fortress of Solitude 25 | 1.70% | 1.87% | 1.98% | 1.77% | 1.90% | 2.06% | 2.47% | 2.05% | 2.40% | 2.55% | 2.15% | 2.02% |
| Portfolio components: | ||||||||||||
JNJ Johnson & Johnson | 2.96% | 3.00% | 2.52% | 2.45% | 2.53% | 2.57% | 2.74% | 2.38% | 2.73% | 2.87% | 2.64% | 2.83% |
KO The Coca-Cola Company | 2.67% | 3.12% | 2.77% | 2.84% | 2.99% | 2.89% | 3.29% | 3.23% | 3.38% | 3.07% | 2.89% | 2.71% |
PEP PepsiCo, Inc. | 3.06% | 2.91% | 2.50% | 2.45% | 2.71% | 2.77% | 3.25% | 2.64% | 2.83% | 2.76% | 2.68% | 2.70% |
NVS Novartis AG | 3.26% | 3.44% | 3.91% | 4.08% | 3.40% | 2.87% | 3.72% | 3.50% | 4.06% | 3.51% | 3.14% | 3.37% |
CAT Caterpillar Inc. | 1.44% | 1.69% | 1.93% | 2.07% | 2.26% | 2.56% | 2.58% | 1.97% | 3.32% | 4.33% | 2.84% | 1.89% |
SPGI S&P Global Inc. | 0.69% | 0.82% | 0.99% | 0.65% | 0.82% | 0.84% | 1.18% | 0.97% | 1.34% | 1.34% | 1.35% | 1.43% |
SYK Stryker Corporation | 0.86% | 1.02% | 1.16% | 0.97% | 0.96% | 1.02% | 1.23% | 1.13% | 1.31% | 1.52% | 1.34% | 1.46% |
BLK BlackRock, Inc. | 2.19% | 2.46% | 2.75% | 1.80% | 2.01% | 2.63% | 3.06% | 1.95% | 2.41% | 2.56% | 2.16% | 2.12% |
ETN Eaton Corporation plc | 1.11% | 1.43% | 2.06% | 1.76% | 2.43% | 3.00% | 3.85% | 3.04% | 3.40% | 4.23% | 2.88% | 2.21% |
MMC Marsh & McLennan Companies, Inc. | 1.32% | 1.37% | 1.36% | 1.15% | 1.57% | 1.56% | 1.98% | 1.76% | 1.92% | 2.13% | 1.85% | 1.99% |
DE Deere & Company | 1.42% | 1.33% | 1.05% | 1.14% | 1.13% | 1.75% | 1.84% | 1.53% | 2.33% | 3.15% | 2.61% | 2.23% |
MDLZ Mondelez International, Inc. | 2.29% | 2.24% | 2.21% | 2.01% | 2.05% | 1.98% | 2.40% | 1.92% | 1.62% | 1.43% | 1.60% | 1.90% |
MCO Moody's Corporation | 0.67% | 0.79% | 1.00% | 0.63% | 0.77% | 0.84% | 1.26% | 1.03% | 1.57% | 1.36% | 1.17% | 1.15% |
CL Colgate-Palmolive Company | 1.90% | 2.40% | 2.36% | 2.10% | 2.05% | 2.48% | 2.79% | 2.11% | 2.37% | 2.25% | 2.05% | 2.04% |
TT Trane Technologies plc | 0.85% | 1.23% | 1.59% | 1.17% | 1.46% | 1.59% | 2.15% | 1.91% | 1.81% | 2.10% | 1.58% | 1.09% |
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 Fortress of Solitude 25. 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 Fortress of Solitude 25 was 52.07%, occurring on Mar 9, 2009. Recovery took 404 trading sessions.
The current Fortress of Solitude 25 drawdown is 0.09%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -52.07% | Dec 11, 2007 | 312 | Mar 9, 2009 | 404 | Oct 13, 2010 | 716 |
| -34.85% | Feb 20, 2020 | 23 | Mar 23, 2020 | 99 | Aug 12, 2020 | 122 |
| -20.91% | May 17, 2002 | 45 | Jul 22, 2002 | 220 | Jun 5, 2003 | 265 |
| -20.67% | Jul 8, 2011 | 61 | Oct 3, 2011 | 85 | Feb 3, 2012 | 146 |
| -19.02% | Jan 5, 2022 | 186 | Sep 30, 2022 | 70 | Jan 11, 2023 | 256 |
Volatility
Volatility Chart
The current Fortress of Solitude 25 volatility is 2.58%, 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
| NVS | MDLZ | CL | JNJ | PEP | DE | KO | SYK | BLK | SPGI | CAT | MCO | MMC | TT | ETN | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| NVS | 1.00 | 0.31 | 0.32 | 0.40 | 0.34 | 0.28 | 0.35 | 0.35 | 0.33 | 0.34 | 0.30 | 0.34 | 0.35 | 0.32 | 0.33 |
| MDLZ | 0.31 | 1.00 | 0.47 | 0.39 | 0.50 | 0.27 | 0.48 | 0.36 | 0.34 | 0.34 | 0.28 | 0.36 | 0.38 | 0.32 | 0.32 |
| CL | 0.32 | 0.47 | 1.00 | 0.44 | 0.54 | 0.27 | 0.52 | 0.36 | 0.30 | 0.35 | 0.29 | 0.34 | 0.40 | 0.33 | 0.34 |
| JNJ | 0.40 | 0.39 | 0.44 | 1.00 | 0.45 | 0.29 | 0.44 | 0.45 | 0.35 | 0.36 | 0.31 | 0.37 | 0.41 | 0.32 | 0.35 |
| PEP | 0.34 | 0.50 | 0.54 | 0.45 | 1.00 | 0.27 | 0.62 | 0.39 | 0.32 | 0.35 | 0.27 | 0.37 | 0.40 | 0.33 | 0.33 |
| DE | 0.28 | 0.27 | 0.27 | 0.29 | 0.27 | 1.00 | 0.31 | 0.36 | 0.44 | 0.39 | 0.69 | 0.39 | 0.38 | 0.55 | 0.58 |
| KO | 0.35 | 0.48 | 0.52 | 0.44 | 0.62 | 0.31 | 1.00 | 0.39 | 0.34 | 0.35 | 0.33 | 0.36 | 0.40 | 0.35 | 0.37 |
| SYK | 0.35 | 0.36 | 0.36 | 0.45 | 0.39 | 0.36 | 0.39 | 1.00 | 0.41 | 0.45 | 0.40 | 0.45 | 0.45 | 0.42 | 0.45 |
| BLK | 0.33 | 0.34 | 0.30 | 0.35 | 0.32 | 0.44 | 0.34 | 0.41 | 1.00 | 0.46 | 0.49 | 0.51 | 0.48 | 0.48 | 0.52 |
| SPGI | 0.34 | 0.34 | 0.35 | 0.36 | 0.35 | 0.39 | 0.35 | 0.45 | 0.46 | 1.00 | 0.41 | 0.66 | 0.49 | 0.46 | 0.46 |
| CAT | 0.30 | 0.28 | 0.29 | 0.31 | 0.27 | 0.69 | 0.33 | 0.40 | 0.49 | 0.41 | 1.00 | 0.43 | 0.43 | 0.62 | 0.67 |
| MCO | 0.34 | 0.36 | 0.34 | 0.37 | 0.37 | 0.39 | 0.36 | 0.45 | 0.51 | 0.66 | 0.43 | 1.00 | 0.49 | 0.47 | 0.47 |
| MMC | 0.35 | 0.38 | 0.40 | 0.41 | 0.40 | 0.38 | 0.40 | 0.45 | 0.48 | 0.49 | 0.43 | 0.49 | 1.00 | 0.48 | 0.49 |
| TT | 0.32 | 0.32 | 0.33 | 0.32 | 0.33 | 0.55 | 0.35 | 0.42 | 0.48 | 0.46 | 0.62 | 0.47 | 0.48 | 1.00 | 0.69 |
| ETN | 0.33 | 0.32 | 0.34 | 0.35 | 0.33 | 0.58 | 0.37 | 0.45 | 0.52 | 0.46 | 0.67 | 0.47 | 0.49 | 0.69 | 1.00 |