S.Consumer Defensive
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
COST Costco Wholesale Corporation | Consumer Defensive | 20% |
HD The Home Depot, Inc. | Consumer Cyclical | 20% |
PG The Procter & Gamble Company | Consumer Defensive | 20% |
PM Philip Morris International Inc. | Consumer Defensive | 20% |
WMT Walmart Inc. | Consumer Defensive | 20% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in S.Consumer Defensive, 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.
The earliest data available for this chart is Mar 17, 2008, corresponding to the inception date of PM
Returns By Period
As of Apr 18, 2025, the S.Consumer Defensive returned 8.59% Year-To-Date and 16.50% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -10.18% | -5.91% | -9.57% | 5.19% | 12.98% | 9.68% |
| S.Consumer Defensive | 8.59% | 6.07% | 10.49% | 40.48% | 19.43% | 16.50% |
| Portfolio components: | ||||||
WMT Walmart Inc. | 3.46% | 9.21% | 15.82% | 58.05% | 17.94% | 15.89% |
COST Costco Wholesale Corporation | 8.66% | 10.74% | 12.61% | 39.82% | 27.81% | 23.33% |
HD The Home Depot, Inc. | -8.14% | 1.57% | -13.57% | 9.33% | 13.87% | 14.84% |
PG The Procter & Gamble Company | 2.40% | 1.74% | 0.23% | 11.39% | 9.16% | 10.56% |
PM Philip Morris International Inc. | 36.81% | 7.03% | 38.57% | 88.27% | 22.22% | 12.33% |
Monthly Returns
The table below presents the monthly returns of S.Consumer Defensive, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 5.85% | 5.63% | -5.00% | 2.24% | 8.59% | ||||||||
| 2024 | 3.29% | 4.36% | 1.59% | -2.11% | 6.45% | 2.49% | 3.39% | 7.08% | 2.83% | 0.51% | 8.36% | -6.37% | 35.76% |
| 2023 | 2.73% | -5.01% | 3.29% | 2.82% | -4.90% | 7.60% | 3.82% | -1.01% | -3.05% | -1.21% | 4.00% | 4.81% | 13.77% |
| 2022 | -3.82% | -3.67% | 1.67% | 1.54% | -5.60% | -4.25% | 5.44% | -1.78% | -7.19% | 8.29% | 8.79% | -3.91% | -5.95% |
| 2021 | -3.64% | -3.22% | 9.52% | 4.20% | 0.93% | 1.78% | 3.95% | 2.55% | -2.98% | 6.57% | 1.03% | 7.25% | 30.57% |
| 2020 | 0.47% | -5.71% | -3.89% | 8.18% | 2.98% | -0.71% | 8.31% | 6.25% | -0.62% | -1.99% | 6.35% | 0.01% | 20.05% |
| 2019 | 7.12% | 4.49% | 4.48% | 2.79% | -4.76% | 8.02% | 4.35% | 1.07% | 2.77% | 2.26% | -0.71% | 0.92% | 37.36% |
| 2018 | 2.96% | -7.86% | -1.18% | -3.45% | -1.03% | 4.70% | 4.30% | 1.95% | 1.52% | 0.90% | 1.28% | -9.08% | -5.94% |
| 2017 | 2.33% | 7.57% | 0.41% | 2.53% | 3.81% | -3.60% | 1.33% | -0.01% | 1.61% | 0.19% | 7.74% | 2.87% | 29.64% |
| 2016 | 0.62% | -0.46% | 5.68% | -1.92% | 1.58% | 2.76% | 2.99% | -1.04% | -1.58% | -2.90% | -0.93% | 3.20% | 7.91% |
| 2015 | -1.79% | 3.97% | -2.03% | -1.56% | -0.48% | -2.38% | 3.98% | -5.50% | 1.11% | 4.63% | 2.03% | 2.26% | 3.76% |
| 2014 | -6.58% | 3.43% | 0.02% | 3.19% | -0.02% | -1.62% | -0.66% | 6.77% | 0.57% | 4.83% | 4.85% | 0.00% | 15.02% |
Expense Ratio
S.Consumer Defensive 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 98, S.Consumer Defensive is among the top 2% 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.
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 | |
|---|---|---|---|---|---|
WMT Walmart Inc. | 2.32 | 3.15 | 1.44 | 2.62 | 9.19 |
COST Costco Wholesale Corporation | 1.83 | 2.43 | 1.33 | 2.29 | 7.12 |
HD The Home Depot, Inc. | 0.38 | 0.69 | 1.08 | 0.40 | 1.19 |
PG The Procter & Gamble Company | 0.66 | 0.97 | 1.13 | 1.03 | 2.65 |
PM Philip Morris International Inc. | 3.63 | 4.80 | 1.73 | 8.25 | 25.12 |
Dividends
Dividend yield
S.Consumer Defensive provided a 1.92% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.92% | 2.10% | 2.95% | 2.42% | 2.18% | 3.02% | 2.59% | 3.11% | 3.15% | 2.75% | 3.39% | 2.51% |
| Portfolio components: | ||||||||||||
WMT Walmart Inc. | 0.92% | 0.92% | 1.45% | 1.58% | 1.52% | 1.50% | 1.78% | 2.23% | 2.07% | 2.89% | 3.20% | 2.24% |
COST Costco Wholesale Corporation | 0.47% | 0.49% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% | 0.97% |
HD The Home Depot, Inc. | 2.55% | 2.31% | 2.41% | 2.41% | 1.59% | 2.26% | 2.49% | 2.40% | 1.88% | 2.06% | 1.78% | 1.79% |
PG The Procter & Gamble Company | 2.36% | 2.36% | 2.55% | 2.38% | 2.08% | 2.24% | 2.37% | 3.09% | 2.98% | 3.18% | 3.32% | 2.78% |
PM Philip Morris International Inc. | 3.28% | 4.40% | 5.46% | 4.98% | 5.16% | 5.73% | 5.43% | 6.73% | 3.99% | 4.50% | 4.60% | 4.76% |
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 S.Consumer Defensive. 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 S.Consumer Defensive was 36.68%, occurring on Mar 9, 2009. Recovery took 391 trading sessions.
The current S.Consumer Defensive drawdown is 4.16%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -36.68% | Sep 12, 2008 | 122 | Mar 9, 2009 | 391 | Sep 24, 2010 | 513 |
| -20.81% | Feb 24, 2020 | 21 | Mar 23, 2020 | 78 | Jul 14, 2020 | 99 |
| -17.66% | Apr 21, 2022 | 41 | Jun 17, 2022 | 272 | Jul 20, 2023 | 313 |
| -16.6% | Nov 12, 2018 | 29 | Dec 24, 2018 | 40 | Feb 22, 2019 | 69 |
| -15.61% | Jan 29, 2018 | 60 | Apr 24, 2018 | 138 | Nov 7, 2018 | 198 |
Volatility
Volatility Chart
The current S.Consumer Defensive volatility is 8.57%, 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
| PM | HD | PG | WMT | COST | |
|---|---|---|---|---|---|
| PM | 1.00 | 0.32 | 0.46 | 0.32 | 0.32 |
| HD | 0.32 | 1.00 | 0.39 | 0.42 | 0.51 |
| PG | 0.46 | 0.39 | 1.00 | 0.45 | 0.42 |
| WMT | 0.32 | 0.42 | 0.45 | 1.00 | 0.56 |
| COST | 0.32 | 0.51 | 0.42 | 0.56 | 1.00 |