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Medical Equipment
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


JNJ 20%MDT 20%ABT 15%ISRG 15%SYK 10%BDX 10%BSX 5%ZBH 5%EquityEquity
PositionCategory/SectorWeight
ABT
Abbott Laboratories
Healthcare
15%
BDX
Becton, Dickinson and Company
Healthcare
10%
BSX
Boston Scientific Corporation
Healthcare
5%
ISRG
Intuitive Surgical, Inc.
Healthcare
15%
JNJ
Johnson & Johnson
Healthcare
20%
MDT
Medtronic plc
Healthcare
20%
SYK
Stryker Corporation
Healthcare
10%
ZBH
Zimmer Biomet Holdings, Inc.
Healthcare
5%

Performance

Performance Chart

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


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
13.42%
15.83%
Medical Equipment
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 25, 2001, corresponding to the inception date of ZBH

Returns By Period

As of Oct 30, 2024, the Medical Equipment returned 14.93% Year-To-Date and 12.46% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
Medical Equipment14.93%1.13%13.42%32.41%8.68%12.46%
JNJ
Johnson & Johnson
4.53%-0.81%12.46%12.33%6.85%6.95%
MDT
Medtronic plc
12.41%1.12%14.46%33.46%-0.98%5.40%
ABT
Abbott Laboratories
5.09%1.34%8.09%24.37%8.18%12.18%
ISRG
Intuitive Surgical, Inc.
53.04%7.75%39.31%99.74%22.96%25.15%
SYK
Stryker Corporation
20.71%-0.13%7.18%38.03%11.93%16.58%
BDX
Becton, Dickinson and Company
-1.41%-1.66%2.06%-3.87%0.41%8.17%
BSX
Boston Scientific Corporation
46.27%1.45%17.66%68.95%15.24%20.39%
ZBH
Zimmer Biomet Holdings, Inc.
-14.10%-3.80%-13.25%1.29%-4.26%0.42%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20245.47%1.01%1.87%-6.63%1.55%1.36%2.24%7.60%-0.08%14.93%
2023-0.60%-3.81%3.44%9.57%-5.59%8.59%-0.83%-4.12%-4.64%-5.60%9.01%4.29%8.12%
2022-5.08%0.63%3.34%-6.47%-0.95%-7.68%4.03%-5.31%-5.02%10.98%2.96%0.84%-8.99%
2021-0.15%0.61%1.20%6.83%-1.60%0.70%5.31%1.82%-5.33%1.79%-7.38%7.99%11.21%
2020-0.19%-10.11%-6.54%11.48%3.15%-4.88%10.05%5.02%-2.03%-4.61%7.84%6.28%13.52%
20194.74%4.31%2.34%-3.03%-3.20%8.53%1.14%1.31%0.40%1.15%2.87%3.10%25.71%
20188.08%-4.60%-1.25%2.14%2.08%1.59%6.05%4.67%4.09%-6.74%6.36%-8.46%13.15%
20176.12%5.88%1.38%2.40%4.07%3.53%-0.16%0.31%0.84%5.20%2.62%-2.17%34.07%
2016-2.66%1.57%4.35%3.52%2.06%4.77%4.64%-2.28%0.99%-5.55%-4.54%1.10%7.49%
2015-1.96%5.60%-0.55%-1.85%2.02%-1.22%4.91%-6.18%-6.22%8.79%1.77%1.72%5.86%
20140.16%5.37%1.91%-3.63%3.51%3.38%-0.14%2.41%-1.34%7.54%4.35%-0.18%25.37%
201311.97%-1.20%3.98%1.46%3.60%-0.24%3.47%-5.78%1.71%6.15%2.04%0.45%30.14%

Expense Ratio

Medical Equipment 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 Rank

The current rank of Medical Equipment is 27, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.


The Risk-Adjusted Performance Rank of Medical Equipment is 2727
Combined Rank
The Sharpe Ratio Rank of Medical Equipment is 3030Sharpe Ratio Rank
The Sortino Ratio Rank of Medical Equipment is 3232Sortino Ratio Rank
The Omega Ratio Rank of Medical Equipment is 2828Omega Ratio Rank
The Calmar Ratio Rank of Medical Equipment is 2121Calmar Ratio Rank
The Martin Ratio Rank of Medical Equipment is 2323Martin 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.


Medical Equipment
Sharpe ratio
The chart of Sharpe ratio for Medical Equipment, currently valued at 2.58, compared to the broader market0.002.004.006.002.58
Sortino ratio
The chart of Sortino ratio for Medical Equipment, currently valued at 3.53, compared to the broader market-2.000.002.004.006.003.53
Omega ratio
The chart of Omega ratio for Medical Equipment, currently valued at 1.45, compared to the broader market0.801.001.201.401.601.802.001.45
Calmar ratio
The chart of Calmar ratio for Medical Equipment, currently valued at 1.75, compared to the broader market0.005.0010.001.75
Martin ratio
The chart of Martin ratio for Medical Equipment, currently valued at 11.91, compared to the broader market0.0010.0020.0030.0040.0050.0060.0011.91
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JNJ
Johnson & Johnson
0.891.381.170.762.68
MDT
Medtronic plc
1.922.671.340.777.21
ABT
Abbott Laboratories
1.401.991.250.773.09
ISRG
Intuitive Surgical, Inc.
3.645.361.673.4037.97
SYK
Stryker Corporation
2.052.861.372.808.92
BDX
Becton, Dickinson and Company
-0.21-0.150.98-0.20-0.52
BSX
Boston Scientific Corporation
4.195.531.768.3645.07
ZBH
Zimmer Biomet Holdings, Inc.
0.070.241.030.040.12

Sharpe Ratio

The current Medical Equipment Sharpe ratio is 2.58. 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 2.49 to 3.44, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Medical Equipment 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 Ratio0.000.501.001.502.002.503.003.50MayJuneJulyAugustSeptemberOctober
2.58
3.43
Medical Equipment
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Medical Equipment provided a 1.81% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Medical Equipment1.81%1.84%1.74%1.43%1.35%1.36%1.52%1.49%1.76%1.63%1.48%1.54%
JNJ
Johnson & Johnson
3.04%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%2.83%
MDT
Medtronic plc
3.08%3.34%3.44%2.39%1.95%1.87%2.15%2.24%2.34%1.88%1.66%1.92%
ABT
Abbott Laboratories
1.94%1.85%1.71%1.28%1.32%1.47%1.55%1.86%2.71%2.14%1.95%1.46%
ISRG
Intuitive Surgical, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SYK
Stryker Corporation
0.89%1.02%1.16%0.97%0.96%1.02%1.23%1.13%1.31%1.52%1.34%1.46%
BDX
Becton, Dickinson and Company
1.60%1.51%1.38%1.34%1.28%1.14%1.34%1.37%1.64%1.60%1.60%1.84%
BSX
Boston Scientific Corporation
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ZBH
Zimmer Biomet Holdings, Inc.
0.92%0.79%0.75%0.76%0.62%0.64%0.93%0.80%0.93%0.86%0.78%0.86%

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.


-8.00%-6.00%-4.00%-2.00%0.00%MayJuneJulyAugustSeptemberOctober
-2.77%
-0.54%
Medical Equipment
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Medical Equipment. 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 Medical Equipment was 45.82%, occurring on Mar 9, 2009. Recovery took 539 trading sessions.

The current Medical Equipment drawdown is 2.77%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-45.82%Aug 25, 2008135Mar 9, 2009539Apr 27, 2011674
-34.94%Jan 23, 202042Mar 23, 2020110Aug 27, 2020152
-30.99%Apr 17, 200268Jul 23, 2002211May 23, 2003279
-24.92%Sep 9, 2021268Sep 30, 2022348Feb 21, 2024616
-16.85%May 19, 201158Aug 10, 2011115Jan 25, 2012173

Volatility

Volatility Chart

The current Medical Equipment volatility is 4.22%, 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%MayJuneJulyAugustSeptemberOctober
4.22%
2.71%
Medical Equipment
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.

ISRGJNJBSXABTBDXZBHMDTSYK
ISRG1.000.290.380.390.360.400.390.45
JNJ0.291.000.350.500.450.390.450.45
BSX0.380.351.000.410.430.470.500.50
ABT0.390.500.411.000.500.430.480.49
BDX0.360.450.430.501.000.460.490.52
ZBH0.400.390.470.430.461.000.530.63
MDT0.390.450.500.480.490.531.000.58
SYK0.450.450.500.490.520.630.581.00
The correlation results are calculated based on daily price changes starting from Jul 26, 2001