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I
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


PAYX 32.86%XLI 26.68%EMR 25.74%UPS 14.72%EquityEquity
PositionCategory/SectorWeight
EMR
Emerson Electric Co.
Industrials

25.74%

PAYX
Paychex, Inc.
Industrials

32.86%

UPS
United Parcel Service, Inc.
Industrials

14.72%

XLI
Industrial Select Sector SPDR Fund
Industrials Equities

26.68%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in I, 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


300.00%400.00%500.00%600.00%700.00%800.00%FebruaryMarchAprilMayJuneJuly
730.67%
295.14%
I
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Nov 10, 1999, corresponding to the inception date of UPS

Returns By Period

As of Jul 25, 2024, the I returned 6.08% Year-To-Date and 11.42% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
13.78%-0.38%11.47%18.82%12.44%10.64%
I6.08%-0.73%6.53%6.07%11.78%11.42%
EMR
Emerson Electric Co.
18.33%4.35%22.02%25.82%14.17%8.46%
PAYX
Paychex, Inc.
5.07%-2.25%2.67%1.62%10.48%14.77%
UPS
United Parcel Service, Inc.
-16.42%-7.27%-16.07%-27.36%4.68%5.48%
XLI
Industrial Select Sector SPDR Fund
8.78%0.10%10.19%14.15%11.34%10.71%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-2.46%7.48%2.98%-3.40%1.51%-1.38%6.08%
20230.47%-3.54%3.66%-3.89%-4.52%10.50%5.71%-0.43%-4.96%-5.43%7.33%3.93%7.49%
2022-6.73%1.26%7.18%-8.79%-0.67%-7.32%11.08%-4.02%-10.94%10.77%8.91%-4.03%-6.57%
2021-4.49%5.95%7.31%3.82%4.78%0.93%2.52%2.20%-6.05%8.51%-5.25%9.15%31.71%
2020-2.88%-10.06%-17.35%10.67%6.66%4.04%3.93%10.14%0.11%-0.24%15.03%1.31%18.13%
20199.83%6.64%1.38%2.96%-6.56%4.60%2.29%-3.00%4.25%1.59%4.43%0.12%31.31%
20183.71%-5.39%-3.50%-0.75%6.18%-1.39%5.62%4.27%-0.08%-10.50%5.09%-10.67%-9.03%
20171.06%2.20%-1.45%0.94%0.33%-0.05%0.83%0.19%5.20%2.91%3.90%2.57%20.10%
2016-5.83%6.07%7.91%-0.77%0.27%4.14%2.97%-0.05%-0.61%-3.83%9.07%0.65%20.63%
2015-4.97%6.04%-2.00%0.68%1.81%-4.87%-0.84%-4.98%0.02%7.80%3.84%-3.54%-2.03%
2014-6.49%1.15%1.74%0.45%0.78%0.16%-3.08%2.10%1.35%4.97%2.03%-1.48%3.26%
20136.37%1.72%2.76%0.89%3.27%-2.27%7.80%-1.65%6.08%4.88%3.02%4.08%43.18%

Expense Ratio

I has an expense ratio of 0.03%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for XLI: current value at 0.13% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.13%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of I is 8, indicating that it is in the bottom 8% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of I is 88
I
The Sharpe Ratio Rank of I is 77Sharpe Ratio Rank
The Sortino Ratio Rank of I is 66Sortino Ratio Rank
The Omega Ratio Rank of I is 66Omega Ratio Rank
The Calmar Ratio Rank of I is 1212Calmar Ratio Rank
The Martin Ratio Rank of I is 88Martin 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.


I
Sharpe ratio
The chart of Sharpe ratio for I, currently valued at 0.42, compared to the broader market-1.000.001.002.003.004.000.42
Sortino ratio
The chart of Sortino ratio for I, currently valued at 0.68, compared to the broader market-2.000.002.004.006.000.68
Omega ratio
The chart of Omega ratio for I, currently valued at 1.08, compared to the broader market0.801.001.201.401.601.08
Calmar ratio
The chart of Calmar ratio for I, currently valued at 0.42, compared to the broader market0.002.004.006.008.000.42
Martin ratio
The chart of Martin ratio for I, currently valued at 1.32, compared to the broader market0.0010.0020.0030.0040.001.32
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.004.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.33, compared to the broader market-2.000.002.004.006.002.33
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.29, compared to the broader market0.801.001.201.401.601.29
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.002.004.006.008.001.35
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.32, compared to the broader market0.0010.0020.0030.0040.006.32

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
EMR
Emerson Electric Co.
1.181.861.251.644.83
PAYX
Paychex, Inc.
0.070.221.030.070.24
UPS
United Parcel Service, Inc.
-1.08-1.350.80-0.73-1.59
XLI
Industrial Select Sector SPDR Fund
1.111.641.191.113.41

Sharpe Ratio

The current I Sharpe ratio is 0.42. 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 1.23 to 1.94, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of I 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 Ratio0.000.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
0.42
1.66
I
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

I granted a 2.59% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
I2.59%2.55%2.37%1.80%2.28%2.60%3.06%2.52%2.78%3.03%2.62%1.91%
EMR
Emerson Electric Co.
1.84%2.14%2.15%2.18%2.49%2.58%3.26%2.76%3.42%3.94%2.85%2.37%
PAYX
Paychex, Inc.
2.96%2.90%2.62%1.90%2.66%2.85%3.35%2.82%2.89%3.03%3.16%1.54%
UPS
United Parcel Service, Inc.
5.06%4.12%3.50%1.90%2.40%3.28%3.73%2.79%2.72%3.03%2.41%2.36%
XLI
Industrial Select Sector SPDR Fund
1.49%1.63%1.63%1.25%1.55%1.94%2.15%1.77%2.07%2.15%1.85%1.68%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-4.45%
-4.24%
I
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the I. 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 I was 52.85%, occurring on Mar 9, 2009. Recovery took 467 trading sessions.

The current I drawdown is 4.45%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-52.85%Oct 10, 2007355Mar 9, 2009467Jan 12, 2011822
-42.48%Nov 28, 2000466Oct 9, 2002776Nov 7, 20051242
-41.44%Jan 24, 202041Mar 23, 2020114Sep 2, 2020155
-25%Feb 22, 2011156Oct 3, 2011243Sep 19, 2012399
-22.88%Sep 24, 201864Dec 24, 201870Apr 5, 2019134

Volatility

Volatility Chart

The current I volatility is 5.55%, 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%3.00%4.00%5.00%6.00%FebruaryMarchAprilMayJuneJuly
5.55%
3.80%
I
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

PAYXUPSEMRXLI
PAYX1.000.460.470.59
UPS0.461.000.510.65
EMR0.470.511.000.75
XLI0.590.650.751.00
The correlation results are calculated based on daily price changes starting from Nov 11, 1999