Value Screen 1
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
ABEV Ambev S.A. | Consumer Defensive | 6.67% |
ASML ASML Holding N.V. | Technology | 6.67% |
BTI British American Tobacco p.l.c. | Consumer Defensive | 6.67% |
CNI Canadian National Railway Company | Industrials | 6.67% |
CNQ Canadian Natural Resources Limited | Energy | 6.67% |
CP Canadian Pacific Railway Limited | Industrials | 6.67% |
GD General Dynamics Corporation | 6.67% | |
GE General Electric Company | Industrials | 6.67% |
JCI Johnson Controls International plc | Industrials | 6.67% |
NVO Novo Nordisk A/S | Healthcare | 6.67% |
RTX Raytheon Technologies Corporation | Industrials | 6.67% |
SLB Schlumberger Limited | Energy | 6.67% |
SNY Sanofi | Healthcare | 6.67% |
SONY Sony Group Corporation | Technology | 6.67% |
TAK Takeda Pharmaceutical Company Limited | Healthcare | 6.67% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Value Screen 1, 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 Oct 27, 2008, corresponding to the inception date of TAK
Returns By Period
As of May 5, 2025, the Value Screen 1 returned 9.04% Year-To-Date and 10.12% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.31% | 12.07% | -0.74% | 10.90% | 14.73% | 10.57% |
| Value Screen 1 | 9.04% | 10.10% | 5.26% | 6.46% | 20.81% | 10.12% |
| Portfolio components: | ||||||
ASML ASML Holding N.V. | 0.12% | 14.35% | 2.85% | -22.71% | 20.25% | 21.83% |
NVO Novo Nordisk A/S | -18.22% | 10.68% | -37.16% | -42.62% | 19.03% | 11.75% |
SNY Sanofi | 14.95% | 6.66% | 4.07% | 17.91% | 5.74% | 4.93% |
GE General Electric Company | 24.76% | 24.51% | 21.39% | 27.41% | 47.28% | 6.38% |
RTX Raytheon Technologies Corporation | 13.09% | 10.86% | 10.79% | 31.23% | 20.20% | 8.58% |
SONY Sony Group Corporation | 19.71% | 16.09% | 42.87% | 50.33% | 16.75% | 17.30% |
SLB Schlumberger Limited | -8.79% | -0.14% | -11.49% | -25.20% | 18.90% | -6.55% |
BTI British American Tobacco p.l.c. | 21.06% | 8.30% | 27.96% | 57.24% | 11.30% | 4.18% |
CNI Canadian National Railway Company | 0.44% | 5.03% | -5.23% | -16.14% | 7.04% | 6.67% |
CP Canadian Pacific Railway Limited | 3.76% | 6.78% | -2.38% | -5.33% | 12.47% | 8.06% |
CNQ Canadian Natural Resources Limited | -4.75% | 5.18% | -12.13% | -18.37% | 36.78% | 11.49% |
GD General Dynamics Corporation | 4.75% | 9.81% | -5.80% | -3.27% | 19.52% | 9.51% |
TAK Takeda Pharmaceutical Company Limited | 15.71% | 4.08% | 9.74% | 17.27% | 0.73% | -0.51% |
ABEV Ambev S.A. | 35.87% | 7.79% | 23.41% | 9.19% | 8.03% | -5.60% |
JCI Johnson Controls International plc | 13.16% | 24.02% | 18.85% | 45.34% | 28.38% | 12.28% |
Monthly Returns
The table below presents the monthly returns of Value Screen 1, 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 | 5.22% | 2.62% | -0.35% | -0.56% | 1.91% | 9.04% | |||||||
| 2024 | 1.61% | 3.08% | 5.42% | -2.66% | 3.41% | -1.80% | 4.05% | 3.25% | -0.46% | -6.24% | 2.27% | -5.73% | 5.52% |
| 2023 | 5.72% | -3.64% | 4.98% | 1.13% | -3.56% | 5.90% | 1.97% | -2.13% | -3.60% | -1.73% | 5.27% | 4.99% | 15.40% |
| 2022 | 2.29% | 2.48% | 3.43% | -6.56% | 2.19% | -8.68% | 6.52% | -3.84% | -9.39% | 15.72% | 8.68% | -1.89% | 8.26% |
| 2021 | -2.00% | 7.36% | 6.58% | 0.75% | 7.40% | -0.12% | 0.09% | 1.90% | -2.38% | 6.74% | -4.72% | 4.48% | 28.23% |
| 2020 | -1.56% | -9.68% | -16.49% | 8.27% | 6.45% | 2.29% | 0.90% | 2.90% | -2.47% | -2.66% | 19.75% | 5.51% | 9.00% |
| 2019 | 13.39% | 1.81% | 1.69% | 3.81% | -7.09% | 7.38% | 1.73% | -3.57% | 3.60% | 0.92% | 5.50% | 4.94% | 38.06% |
| 2018 | 3.81% | -5.17% | -2.03% | -1.70% | -0.35% | -0.53% | 6.60% | -2.67% | -0.70% | -8.36% | -3.47% | -9.36% | -22.37% |
| 2017 | 3.20% | 1.41% | 3.62% | 1.69% | 2.38% | -0.25% | 0.89% | 1.47% | 3.26% | 0.44% | -1.21% | 2.27% | 20.81% |
| 2016 | -1.47% | -0.86% | 8.84% | 3.61% | -0.37% | 2.43% | 4.96% | -2.06% | 1.02% | -3.97% | 2.02% | -0.04% | 14.31% |
| 2015 | 0.73% | 5.55% | -1.57% | 4.53% | -2.05% | -2.96% | 0.45% | -7.32% | -3.54% | 8.41% | -1.33% | -4.18% | -4.31% |
| 2014 | -3.74% | 7.48% | 2.31% | 0.00% | 1.57% | 4.49% | -1.21% | 3.25% | -1.74% | -0.75% | 0.46% | -2.89% | 9.02% |
Expense Ratio
Value Screen 1 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
The current rank of Value Screen 1 is 18, meaning it’s performing worse than 82% 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.
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 | |
|---|---|---|---|---|---|
ASML ASML Holding N.V. | -0.42 | -0.30 | 0.96 | -0.44 | -0.70 |
NVO Novo Nordisk A/S | -1.07 | -1.51 | 0.80 | -0.75 | -1.46 |
SNY Sanofi | 0.73 | 1.21 | 1.14 | 0.81 | 1.85 |
GE General Electric Company | 0.85 | 1.28 | 1.19 | 1.37 | 4.21 |
RTX Raytheon Technologies Corporation | 1.20 | 1.65 | 1.27 | 1.92 | 6.70 |
SONY Sony Group Corporation | 1.70 | 2.35 | 1.30 | 1.42 | 9.12 |
SLB Schlumberger Limited | -0.71 | -0.87 | 0.89 | -0.39 | -1.62 |
BTI British American Tobacco p.l.c. | 3.09 | 3.61 | 1.58 | 1.73 | 12.99 |
CNI Canadian National Railway Company | -0.67 | -0.89 | 0.90 | -0.51 | -1.01 |
CP Canadian Pacific Railway Limited | -0.15 | -0.04 | 1.00 | -0.15 | -0.36 |
CNQ Canadian Natural Resources Limited | -0.63 | -0.73 | 0.91 | -0.55 | -1.38 |
GD General Dynamics Corporation | -0.13 | -0.03 | 1.00 | -0.13 | -0.28 |
TAK Takeda Pharmaceutical Company Limited | 1.05 | 1.55 | 1.20 | 0.44 | 3.62 |
ABEV Ambev S.A. | 0.50 | 0.92 | 1.11 | 0.20 | 1.05 |
JCI Johnson Controls International plc | 1.20 | 1.85 | 1.25 | 1.84 | 5.64 |
Dividends
Dividend yield
Value Screen 1 provided a 2.64% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.64% | 2.95% | 2.79% | 2.74% | 2.58% | 2.66% | 2.64% | 3.79% | 2.53% | 3.62% | 2.90% | 2.66% |
| Portfolio components: | ||||||||||||
ASML ASML Holding N.V. | 0.98% | 0.97% | 0.85% | 1.21% | 0.50% | 0.59% | 1.20% | 1.10% | 0.75% | 1.02% | 0.91% | 0.77% |
NVO Novo Nordisk A/S | 2.33% | 1.68% | 1.00% | 1.20% | 1.34% | 1.86% | 2.14% | 2.47% | 2.12% | 3.93% | 1.31% | 1.96% |
SNY Sanofi | 3.67% | 4.22% | 3.82% | 4.22% | 3.80% | 3.61% | 3.46% | 4.29% | 3.67% | 4.03% | 3.77% | 4.19% |
GE General Electric Company | 0.58% | 0.67% | 0.25% | 0.38% | 0.34% | 0.37% | 0.36% | 4.89% | 4.81% | 2.94% | 2.95% | 3.52% |
RTX Raytheon Technologies Corporation | 1.94% | 2.14% | 2.76% | 2.14% | 2.33% | 2.64% | 1.96% | 2.66% | 2.13% | 2.39% | 2.66% | 2.05% |
SONY Sony Group Corporation | 0.26% | 0.58% | 0.59% | 0.69% | 0.43% | 0.46% | 0.54% | 0.56% | 0.49% | 0.76% | 0.39% | 0.72% |
SLB Schlumberger Limited | 3.20% | 2.87% | 1.92% | 1.22% | 1.67% | 4.01% | 4.98% | 5.54% | 2.97% | 2.38% | 2.87% | 1.87% |
BTI British American Tobacco p.l.c. | 6.90% | 8.18% | 9.57% | 7.40% | 7.98% | 7.22% | 6.35% | 8.52% | 4.18% | 3.79% | 4.21% | 4.55% |
CNI Canadian National Railway Company | 2.44% | 2.44% | 1.85% | 2.34% | 2.00% | 1.71% | 1.94% | 1.88% | 1.55% | 1.70% | 1.73% | 1.31% |
CP Canadian Pacific Railway Limited | 0.73% | 0.76% | 0.72% | 0.77% | 0.84% | 0.77% | 0.93% | 1.07% | 0.93% | 0.98% | 0.84% | 0.65% |
CNQ Canadian Natural Resources Limited | 5.41% | 5.02% | 4.17% | 6.31% | 3.70% | 5.15% | 3.42% | 5.92% | 2.34% | 2.20% | 3.22% | 2.59% |
GD General Dynamics Corporation | 2.11% | 2.12% | 2.01% | 2.00% | 2.24% | 2.90% | 2.26% | 2.31% | 1.61% | 1.72% | 2.46% | 1.76% |
TAK Takeda Pharmaceutical Company Limited | 2.17% | 4.78% | 4.41% | 3.69% | 5.80% | 3.84% | 4.94% | 8.33% | 5.14% | 6.91% | 5.34% | 5.03% |
ABEV Ambev S.A. | 5.25% | 5.86% | 5.39% | 5.30% | 4.36% | 2.58% | 2.59% | 3.73% | 2.57% | 3.82% | 4.94% | 5.18% |
JCI Johnson Controls International plc | 1.66% | 1.88% | 2.55% | 2.19% | 1.41% | 2.23% | 2.55% | 3.51% | 2.65% | 15.64% | 5.85% | 3.69% |
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 Value Screen 1. 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 Value Screen 1 was 39.39%, occurring on Mar 23, 2020. Recovery took 169 trading sessions.
The current Value Screen 1 drawdown is 2.13%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -39.39% | Jan 15, 2020 | 47 | Mar 23, 2020 | 169 | Nov 19, 2020 | 216 |
| -33.04% | Nov 5, 2008 | 84 | Mar 9, 2009 | 58 | May 29, 2009 | 142 |
| -30.5% | Jan 29, 2018 | 229 | Dec 24, 2018 | 249 | Dec 19, 2019 | 478 |
| -23.48% | Apr 24, 2015 | 187 | Jan 20, 2016 | 126 | Jul 20, 2016 | 313 |
| -21.13% | May 3, 2011 | 107 | Oct 3, 2011 | 89 | Feb 9, 2012 | 196 |
Volatility
Volatility Chart
The current Value Screen 1 volatility is 11.60%, 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
Diversification Metrics
Number of Effective Assets
The portfolio contains 15 assets, with an effective number of assets of 15.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.
Asset Correlations Table
| ^GSPC | TAK | NVO | ABEV | BTI | SNY | SONY | GE | CNQ | ASML | SLB | GD | JCI | CP | RTX | CNI | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.30 | 0.42 | 0.43 | 0.44 | 0.48 | 0.55 | 0.60 | 0.52 | 0.67 | 0.55 | 0.60 | 0.65 | 0.60 | 0.63 | 0.63 | 0.84 |
| TAK | 0.30 | 1.00 | 0.25 | 0.22 | 0.23 | 0.28 | 0.28 | 0.19 | 0.22 | 0.24 | 0.22 | 0.20 | 0.21 | 0.22 | 0.22 | 0.25 | 0.40 |
| NVO | 0.42 | 0.25 | 1.00 | 0.22 | 0.27 | 0.42 | 0.27 | 0.23 | 0.22 | 0.35 | 0.20 | 0.28 | 0.28 | 0.28 | 0.27 | 0.29 | 0.48 |
| ABEV | 0.43 | 0.22 | 0.22 | 1.00 | 0.30 | 0.29 | 0.29 | 0.30 | 0.33 | 0.32 | 0.33 | 0.29 | 0.32 | 0.34 | 0.33 | 0.35 | 0.54 |
| BTI | 0.44 | 0.23 | 0.27 | 0.30 | 1.00 | 0.40 | 0.28 | 0.31 | 0.30 | 0.31 | 0.31 | 0.34 | 0.31 | 0.33 | 0.35 | 0.36 | 0.52 |
| SNY | 0.48 | 0.28 | 0.42 | 0.29 | 0.40 | 1.00 | 0.32 | 0.30 | 0.30 | 0.37 | 0.29 | 0.35 | 0.34 | 0.35 | 0.36 | 0.36 | 0.56 |
| SONY | 0.55 | 0.28 | 0.27 | 0.29 | 0.28 | 0.32 | 1.00 | 0.34 | 0.34 | 0.43 | 0.33 | 0.33 | 0.36 | 0.36 | 0.36 | 0.38 | 0.59 |
| GE | 0.60 | 0.19 | 0.23 | 0.30 | 0.31 | 0.30 | 0.34 | 1.00 | 0.43 | 0.39 | 0.47 | 0.47 | 0.50 | 0.40 | 0.52 | 0.43 | 0.65 |
| CNQ | 0.52 | 0.22 | 0.22 | 0.33 | 0.30 | 0.30 | 0.34 | 0.43 | 1.00 | 0.37 | 0.69 | 0.40 | 0.40 | 0.47 | 0.42 | 0.48 | 0.69 |
| ASML | 0.67 | 0.24 | 0.35 | 0.32 | 0.31 | 0.37 | 0.43 | 0.39 | 0.37 | 1.00 | 0.36 | 0.37 | 0.45 | 0.44 | 0.41 | 0.46 | 0.65 |
| SLB | 0.55 | 0.22 | 0.20 | 0.33 | 0.31 | 0.29 | 0.33 | 0.47 | 0.69 | 0.36 | 1.00 | 0.43 | 0.43 | 0.45 | 0.47 | 0.46 | 0.69 |
| GD | 0.60 | 0.20 | 0.28 | 0.29 | 0.34 | 0.35 | 0.33 | 0.47 | 0.40 | 0.37 | 0.43 | 1.00 | 0.49 | 0.45 | 0.65 | 0.48 | 0.64 |
| JCI | 0.65 | 0.21 | 0.28 | 0.32 | 0.31 | 0.34 | 0.36 | 0.50 | 0.40 | 0.45 | 0.43 | 0.49 | 1.00 | 0.47 | 0.53 | 0.49 | 0.67 |
| CP | 0.60 | 0.22 | 0.28 | 0.34 | 0.33 | 0.35 | 0.36 | 0.40 | 0.47 | 0.44 | 0.45 | 0.45 | 0.47 | 1.00 | 0.47 | 0.76 | 0.69 |
| RTX | 0.63 | 0.22 | 0.27 | 0.33 | 0.35 | 0.36 | 0.36 | 0.52 | 0.42 | 0.41 | 0.47 | 0.65 | 0.53 | 0.47 | 1.00 | 0.49 | 0.69 |
| CNI | 0.63 | 0.25 | 0.29 | 0.35 | 0.36 | 0.36 | 0.38 | 0.43 | 0.48 | 0.46 | 0.46 | 0.48 | 0.49 | 0.76 | 0.49 | 1.00 | 0.71 |
| Portfolio | 0.84 | 0.40 | 0.48 | 0.54 | 0.52 | 0.56 | 0.59 | 0.65 | 0.69 | 0.65 | 0.69 | 0.64 | 0.67 | 0.69 | 0.69 | 0.71 | 1.00 |