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März 2024
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


KO 10%IBM 10%PEP 10%JNJ 10%PG 10%MMM 10%MCD 10%CL 10%AAPL 10%CAT 10%EquityEquity
PositionCategory/SectorWeight
KO
The Coca-Cola Company
Consumer Defensive

10%

IBM
International Business Machines Corporation
Technology

10%

PEP
PepsiCo, Inc.
Consumer Defensive

10%

JNJ
Johnson & Johnson
Healthcare

10%

PG
The Procter & Gamble Company
Consumer Defensive

10%

MMM
3M Company
Industrials

10%

MCD
McDonald's Corporation
Consumer Cyclical

10%

CL
Colgate-Palmolive Company
Consumer Defensive

10%

AAPL
Apple Inc.
Technology

10%

CAT
Caterpillar Inc.
Industrials

10%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in März 2024, 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


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
13.67%
15.74%
März 2024
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Dec 12, 1980, corresponding to the inception date of AAPL

Returns By Period

As of Apr 16, 2024, the März 2024 returned 2.54% Year-To-Date and 11.09% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
6.12%-1.08%15.73%22.34%11.82%10.53%
März 20242.54%-1.50%13.67%11.56%11.25%11.09%
KO
The Coca-Cola Company
-0.55%-2.91%10.56%-4.85%7.54%6.99%
IBM
International Business Machines Corporation
11.83%-5.14%32.88%48.01%11.69%4.31%
PEP
PepsiCo, Inc.
-1.70%1.39%4.43%-7.04%8.50%9.98%
JNJ
Johnson & Johnson
-5.84%-6.69%-5.56%-8.96%3.93%6.89%
PG
The Procter & Gamble Company
6.75%-3.67%7.77%5.56%10.60%9.76%
MMM
3M Company
1.88%4.00%26.17%11.20%-8.40%1.73%
MCD
McDonald's Corporation
-9.70%-4.62%7.77%-5.79%9.31%13.21%
CL
Colgate-Palmolive Company
8.75%-2.58%20.94%16.91%7.07%4.93%
AAPL
Apple Inc.
-10.19%0.04%-3.12%5.09%28.81%26.53%
CAT
Caterpillar Inc.
23.65%4.88%35.71%66.00%23.60%16.61%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.10%1.61%3.16%
2023-5.74%-1.48%7.19%3.61%

Expense Ratio

The März 2024 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.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

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.


März 2024
Sharpe ratio
The chart of Sharpe ratio for März 2024, currently valued at 1.13, compared to the broader market-1.000.001.002.003.004.005.001.13
Sortino ratio
The chart of Sortino ratio for März 2024, currently valued at 1.75, compared to the broader market-2.000.002.004.006.001.75
Omega ratio
The chart of Omega ratio for März 2024, currently valued at 1.20, compared to the broader market0.801.001.201.401.601.801.20
Calmar ratio
The chart of Calmar ratio for März 2024, currently valued at 1.04, compared to the broader market0.002.004.006.008.0010.001.04
Martin ratio
The chart of Martin ratio for März 2024, currently valued at 2.96, compared to the broader market0.0010.0020.0030.0040.0050.002.96
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.005.001.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.74, compared to the broader market-2.000.002.004.006.002.74
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.001.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.65, compared to the broader market0.0010.0020.0030.0040.0050.007.65

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
KO
The Coca-Cola Company
-0.39-0.450.94-0.29-0.73
IBM
International Business Machines Corporation
2.584.071.502.7416.18
PEP
PepsiCo, Inc.
-0.48-0.560.93-0.41-0.71
JNJ
Johnson & Johnson
-0.60-0.770.90-0.49-1.17
PG
The Procter & Gamble Company
0.350.611.080.481.23
MMM
3M Company
0.370.741.100.191.08
MCD
McDonald's Corporation
-0.41-0.460.94-0.34-0.94
CL
Colgate-Palmolive Company
1.081.551.190.982.39
AAPL
Apple Inc.
0.250.481.060.320.65
CAT
Caterpillar Inc.
2.563.541.443.1010.53

Sharpe Ratio

The current März 2024 Sharpe ratio is 1.13. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.13

The Sharpe ratio of März 2024 is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.13
1.89
März 2024
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

März 2024 granted a 2.87% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
März 20242.87%2.89%2.79%2.51%2.69%2.78%3.08%2.52%2.90%3.03%2.62%2.45%
KO
The Coca-Cola Company
3.21%3.12%2.77%2.84%2.99%2.89%3.29%3.23%3.38%3.07%2.89%2.71%
IBM
International Business Machines Corporation
3.66%4.05%4.68%4.74%5.17%4.79%5.46%3.84%3.31%3.63%2.65%1.97%
PEP
PepsiCo, Inc.
3.03%2.91%2.50%2.45%2.71%2.77%3.25%2.64%2.83%2.76%2.68%2.70%
JNJ
Johnson & Johnson
3.23%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%2.83%
PG
The Procter & Gamble Company
2.42%2.55%2.38%2.08%2.24%2.37%3.09%2.98%3.18%3.31%2.78%2.91%
MMM
3M Company
6.58%6.56%5.94%3.99%4.02%3.90%3.41%2.39%2.97%3.26%2.49%2.17%
MCD
McDonald's Corporation
2.40%2.10%2.15%1.96%2.35%2.39%2.36%2.23%2.97%2.91%3.50%3.22%
CL
Colgate-Palmolive Company
2.23%2.40%2.36%2.10%2.05%2.48%2.79%2.11%2.37%2.25%2.05%2.04%
AAPL
Apple Inc.
0.56%0.49%0.70%0.49%0.61%1.04%1.79%1.45%1.93%1.93%1.67%2.10%
CAT
Caterpillar Inc.
1.40%1.69%1.93%2.07%2.26%2.56%2.58%1.97%3.32%4.33%2.84%1.89%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-3.24%
-3.66%
März 2024
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the März 2024. 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 März 2024 was 37.66%, occurring on Mar 9, 2009. Recovery took 159 trading sessions.

The current März 2024 drawdown is 3.24%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-37.66%Dec 11, 2007312Mar 9, 2009159Oct 22, 2009471
-33.41%Aug 24, 198740Oct 19, 1987396May 12, 1989436
-30.09%Feb 13, 202027Mar 23, 202097Aug 10, 2020124
-23.81%Mar 20, 200286Jul 22, 2002283Sep 4, 2003369
-23.8%Dec 6, 199969Mar 14, 2000296May 16, 2001365

Volatility

Volatility Chart

The current März 2024 volatility is 2.72%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%NovemberDecember2024FebruaryMarchApril
2.72%
3.44%
März 2024
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.

AAPLCATMCDIBMJNJCLPEPMMMPGKO
AAPL1.000.290.240.370.210.200.210.290.210.22
CAT0.291.000.300.380.270.260.250.470.270.28
MCD0.240.301.000.300.330.330.350.340.370.38
IBM0.370.380.301.000.330.290.290.410.300.32
JNJ0.210.270.330.331.000.390.400.380.440.42
CL0.200.260.330.290.391.000.420.350.540.44
PEP0.210.250.350.290.400.421.000.340.450.54
MMM0.290.470.340.410.380.350.341.000.390.39
PG0.210.270.370.300.440.540.450.391.000.49
KO0.220.280.380.320.420.440.540.390.491.00