Top Stocks Filtered
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AIZ Assurant, Inc. | Financial Services | 4.56% |
BRK-B Berkshire Hathaway Inc. | Financial Services | 8.62% |
DHI D.R. Horton, Inc. | Consumer Cyclical | 6.36% |
GE General Electric Company | Industrials | 11.56% |
HII Huntington Ingalls Industries, Inc. | Industrials | 4.49% |
JPM JPMorgan Chase & Co. | Financial Services | 4.69% |
LEN Lennar Corporation | Consumer Cyclical | 6.96% |
MAS Masco Corporation | Industrials | 5.09% |
NVR NVR, Inc. | Consumer Cyclical | 6.22% |
PCAR PACCAR Inc | Industrials | 7.62% |
PHM PulteGroup, Inc. | Consumer Cyclical | 10.47% |
PSX Phillips 66 | Energy | 5.09% |
PVH PVH Corp. | Consumer Cyclical | 5.62% |
RCL Royal Caribbean Cruises Ltd. | Consumer Cyclical | 6.49% |
RL Ralph Lauren Corporation | Consumer Cyclical | 6.16% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Top Stocks Filtered, 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
The earliest data available for this chart is May 1, 2012, corresponding to the inception date of PSX
Returns By Period
As of Nov 21, 2024, the Top Stocks Filtered returned 28.24% Year-To-Date and 16.28% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y (annualized) | 10Y (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 24.05% | 1.08% | 11.50% | 30.38% | 13.77% | 11.13% |
| Top Stocks Filtered | 28.24% | -3.01% | 13.52% | 46.68% | 22.44% | 16.28% |
| Portfolio components: | ||||||
PSX Phillips 66 | 1.96% | 0.99% | -6.43% | 15.62% | 6.85% | 9.11% |
PCAR PACCAR Inc | 13.90% | 0.61% | 2.12% | 25.75% | 19.85% | 13.61% |
JPM JPMorgan Chase & Co. | 44.93% | 7.97% | 22.84% | 61.16% | 16.35% | 18.08% |
HII Huntington Ingalls Industries, Inc. | -25.67% | -27.17% | -24.51% | -18.90% | -3.20% | 7.74% |
AIZ Assurant, Inc. | 32.67% | 13.62% | 31.31% | 36.25% | 12.90% | 14.73% |
RL Ralph Lauren Corporation | 42.02% | -0.68% | 24.21% | 69.01% | 15.80% | 3.25% |
MAS Masco Corporation | 16.78% | -8.20% | 12.51% | 32.48% | 12.83% | 15.46% |
LEN Lennar Corporation | 14.33% | -6.86% | 8.60% | 34.40% | 25.11% | 14.68% |
GE General Electric Company | 75.60% | -8.37% | 11.03% | 87.05% | 25.95% | 4.91% |
BRK-B Berkshire Hathaway Inc. | 31.45% | 1.01% | 13.25% | 29.87% | 16.61% | 12.35% |
RCL Royal Caribbean Cruises Ltd. | 82.58% | 17.99% | 60.43% | 125.53% | 15.11% | 14.25% |
DHI D.R. Horton, Inc. | 8.21% | -12.22% | 13.27% | 29.75% | 26.12% | 21.80% |
NVR NVR, Inc. | 28.56% | -6.79% | 20.68% | 44.13% | 19.59% | 22.07% |
PVH PVH Corp. | -20.93% | -1.21% | -13.24% | 12.65% | -0.54% | -2.23% |
PHM PulteGroup, Inc. | 24.68% | -11.23% | 12.49% | 47.72% | 28.42% | 21.08% |
Monthly Returns
The table below presents the monthly returns of Top Stocks Filtered, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.55% | 9.45% | 7.78% | -6.90% | 3.87% | -3.32% | 9.01% | 2.73% | 3.40% | -4.37% | 28.24% | ||
| 2023 | 14.12% | -1.18% | 2.90% | 4.64% | -1.39% | 13.26% | 5.22% | -3.05% | -3.99% | -2.69% | 16.06% | 11.61% | 67.44% |
| 2022 | -3.88% | 0.57% | -5.40% | -5.58% | 2.26% | -13.18% | 10.80% | -4.38% | -7.89% | 14.38% | 10.36% | -2.41% | -7.84% |
| 2021 | 0.16% | 9.16% | 7.73% | 4.96% | 1.16% | -3.53% | -1.69% | 1.58% | -5.46% | 5.91% | -3.18% | 6.92% | 24.86% |
| 2020 | 1.53% | -11.84% | -28.76% | 17.09% | 7.43% | -0.44% | 7.43% | 6.24% | -0.31% | -2.64% | 17.76% | 4.76% | 9.13% |
| 2019 | 13.99% | 2.83% | 0.87% | 6.09% | -7.41% | 6.37% | -0.14% | -3.36% | 6.21% | 5.15% | 6.15% | 1.29% | 43.17% |
| 2018 | 1.21% | -7.22% | -0.18% | 0.20% | 0.16% | -1.92% | 4.08% | -0.46% | -2.88% | -10.09% | -0.97% | -6.41% | -22.65% |
| 2017 | 4.47% | 2.60% | 2.36% | -0.11% | -1.26% | 4.46% | 1.82% | 2.12% | 3.61% | 2.46% | 5.26% | 0.79% | 32.38% |
| 2016 | -5.06% | -0.74% | 9.71% | -0.58% | 0.63% | -0.12% | 4.26% | 1.61% | -2.73% | -3.07% | 5.50% | 0.67% | 9.58% |
| 2015 | -5.43% | 6.17% | -0.12% | -2.98% | 1.49% | 1.49% | 4.21% | -2.83% | -3.00% | 4.78% | 3.40% | -3.55% | 2.86% |
| 2014 | -2.61% | 5.49% | -1.31% | -1.20% | 2.51% | 0.02% | -4.66% | 6.67% | -1.87% | 3.81% | 6.22% | 0.82% | 13.96% |
| 2013 | 9.40% | 0.97% | 3.11% | 1.24% | 2.34% | -3.89% | 2.34% | -5.60% | 4.37% | 3.96% | 5.57% | 6.01% | 33.05% |
Expense Ratio
Top Stocks Filtered 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current risk-adjusted rank of Top Stocks Filtered is 76, placing it in the top 24% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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 | |
|---|---|---|---|---|---|
PSX Phillips 66 | 0.59 | 0.96 | 1.12 | 0.51 | 0.94 |
PCAR PACCAR Inc | 1.00 | 1.41 | 1.21 | 0.96 | 1.87 |
JPM JPMorgan Chase & Co. | 2.65 | 3.45 | 1.54 | 6.00 | 18.24 |
HII Huntington Ingalls Industries, Inc. | -0.55 | -0.45 | 0.90 | -0.51 | -1.54 |
AIZ Assurant, Inc. | 1.97 | 2.78 | 1.36 | 2.76 | 6.98 |
RL Ralph Lauren Corporation | 2.11 | 3.15 | 1.38 | 3.13 | 9.28 |
MAS Masco Corporation | 1.25 | 1.92 | 1.23 | 1.70 | 4.24 |
LEN Lennar Corporation | 1.07 | 1.55 | 1.21 | 1.98 | 4.88 |
GE General Electric Company | 2.95 | 3.51 | 1.51 | 2.56 | 23.63 |
BRK-B Berkshire Hathaway Inc. | 2.08 | 2.94 | 1.38 | 3.92 | 10.23 |
RCL Royal Caribbean Cruises Ltd. | 3.65 | 4.08 | 1.57 | 5.64 | 24.53 |
DHI D.R. Horton, Inc. | 0.86 | 1.35 | 1.18 | 1.56 | 3.39 |
NVR NVR, Inc. | 1.85 | 2.56 | 1.32 | 4.00 | 10.19 |
PVH PVH Corp. | 0.31 | 0.63 | 1.10 | 0.24 | 0.55 |
PHM PulteGroup, Inc. | 1.52 | 2.14 | 1.27 | 3.14 | 7.47 |
Dividends
Dividend yield
Top Stocks Filtered provided a 1.20% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.20% | 1.20% | 1.51% | 1.22% | 1.23% | 1.37% | 2.14% | 1.64% | 1.57% | 1.62% | 1.32% | 1.15% |
| Portfolio components: | ||||||||||||
PSX Phillips 66 | 3.42% | 3.15% | 3.68% | 5.00% | 5.15% | 3.14% | 3.60% | 2.70% | 2.84% | 2.67% | 2.64% | 1.72% |
PCAR PACCAR Inc | 3.97% | 4.34% | 4.23% | 3.22% | 2.29% | 4.53% | 5.41% | 3.08% | 2.44% | 4.89% | 2.73% | 2.87% |
JPM JPMorgan Chase & Co. | 1.91% | 2.38% | 2.98% | 2.34% | 2.83% | 2.37% | 2.54% | 1.91% | 2.13% | 2.54% | 2.49% | 2.33% |
HII Huntington Ingalls Industries, Inc. | 2.73% | 1.93% | 2.07% | 2.46% | 2.48% | 1.44% | 1.59% | 1.07% | 1.14% | 1.34% | 0.89% | 0.56% |
AIZ Assurant, Inc. | 1.30% | 1.67% | 2.19% | 1.71% | 1.87% | 1.85% | 2.55% | 2.13% | 2.19% | 1.70% | 1.55% | 1.45% |
RL Ralph Lauren Corporation | 1.56% | 2.08% | 2.78% | 1.74% | 0.66% | 2.29% | 2.30% | 1.93% | 2.21% | 1.79% | 0.97% | 0.93% |
MAS Masco Corporation | 1.51% | 1.73% | 2.40% | 1.22% | 1.27% | 1.03% | 1.49% | 0.92% | 1.22% | 0.65% | 0.00% | 0.00% |
LEN Lennar Corporation | 1.19% | 1.01% | 1.66% | 0.86% | 0.82% | 0.29% | 0.41% | 0.25% | 0.37% | 0.33% | 0.36% | 0.40% |
GE General Electric Company | 0.51% | 0.25% | 0.38% | 0.34% | 0.37% | 0.36% | 4.89% | 4.81% | 2.94% | 2.95% | 3.52% | 2.82% |
BRK-B Berkshire Hathaway 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% |
RCL Royal Caribbean Cruises Ltd. | 0.17% | 0.00% | 0.00% | 0.00% | 1.04% | 2.22% | 2.66% | 1.81% | 2.08% | 1.33% | 1.33% | 1.56% |
DHI D.R. Horton, Inc. | 0.80% | 0.69% | 1.04% | 0.76% | 1.05% | 1.18% | 1.51% | 0.83% | 1.24% | 0.84% | 0.80% | 0.67% |
NVR NVR, 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% |
PVH PVH Corp. | 0.16% | 0.12% | 0.22% | 0.04% | 0.04% | 0.14% | 0.16% | 0.11% | 0.17% | 0.21% | 0.12% | 0.11% |
PHM PulteGroup, Inc. | 0.62% | 0.66% | 1.34% | 1.00% | 1.16% | 1.16% | 1.46% | 1.08% | 1.96% | 1.85% | 1.07% | 0.74% |
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 Top Stocks Filtered. 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 Top Stocks Filtered was 49.86%, occurring on Mar 23, 2020. Recovery took 171 trading sessions.
The current Top Stocks Filtered drawdown is 4.50%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -49.86% | Feb 13, 2020 | 27 | Mar 23, 2020 | 171 | Nov 23, 2020 | 198 |
| -31.22% | Jan 25, 2018 | 231 | Dec 24, 2018 | 216 | Nov 1, 2019 | 447 |
| -27.27% | May 11, 2021 | 352 | Sep 30, 2022 | 78 | Jan 24, 2023 | 430 |
| -17.53% | Dec 2, 2015 | 49 | Feb 11, 2016 | 52 | Apr 27, 2016 | 101 |
| -15.01% | May 3, 2012 | 22 | Jun 4, 2012 | 45 | Aug 7, 2012 | 67 |
Volatility
Volatility Chart
The current Top Stocks Filtered volatility is 4.55%, 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.
Diversification
Asset Correlations Table
| PSX | HII | RCL | AIZ | GE | NVR | RL | PVH | PCAR | JPM | DHI | LEN | BRK-B | MAS | PHM | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| PSX | 1.00 | 0.38 | 0.33 | 0.37 | 0.40 | 0.24 | 0.35 | 0.35 | 0.42 | 0.47 | 0.28 | 0.28 | 0.44 | 0.32 | 0.30 |
| HII | 0.38 | 1.00 | 0.32 | 0.42 | 0.38 | 0.28 | 0.33 | 0.33 | 0.46 | 0.43 | 0.29 | 0.28 | 0.47 | 0.38 | 0.30 |
| RCL | 0.33 | 0.32 | 1.00 | 0.34 | 0.41 | 0.31 | 0.42 | 0.44 | 0.41 | 0.46 | 0.34 | 0.34 | 0.43 | 0.37 | 0.35 |
| AIZ | 0.37 | 0.42 | 0.34 | 1.00 | 0.38 | 0.28 | 0.34 | 0.34 | 0.43 | 0.52 | 0.31 | 0.30 | 0.56 | 0.38 | 0.33 |
| GE | 0.40 | 0.38 | 0.41 | 0.38 | 1.00 | 0.27 | 0.39 | 0.40 | 0.48 | 0.51 | 0.31 | 0.31 | 0.50 | 0.39 | 0.33 |
| NVR | 0.24 | 0.28 | 0.31 | 0.28 | 0.27 | 1.00 | 0.32 | 0.32 | 0.34 | 0.28 | 0.71 | 0.71 | 0.34 | 0.53 | 0.70 |
| RL | 0.35 | 0.33 | 0.42 | 0.34 | 0.39 | 0.32 | 1.00 | 0.70 | 0.45 | 0.45 | 0.36 | 0.37 | 0.42 | 0.43 | 0.39 |
| PVH | 0.35 | 0.33 | 0.44 | 0.34 | 0.40 | 0.32 | 0.70 | 1.00 | 0.45 | 0.46 | 0.37 | 0.38 | 0.41 | 0.42 | 0.40 |
| PCAR | 0.42 | 0.46 | 0.41 | 0.43 | 0.48 | 0.34 | 0.45 | 0.45 | 1.00 | 0.55 | 0.37 | 0.37 | 0.56 | 0.49 | 0.40 |
| JPM | 0.47 | 0.43 | 0.46 | 0.52 | 0.51 | 0.28 | 0.45 | 0.46 | 0.55 | 1.00 | 0.32 | 0.31 | 0.69 | 0.43 | 0.34 |
| DHI | 0.28 | 0.29 | 0.34 | 0.31 | 0.31 | 0.71 | 0.36 | 0.37 | 0.37 | 0.32 | 1.00 | 0.88 | 0.36 | 0.61 | 0.86 |
| LEN | 0.28 | 0.28 | 0.34 | 0.30 | 0.31 | 0.71 | 0.37 | 0.38 | 0.37 | 0.31 | 0.88 | 1.00 | 0.36 | 0.61 | 0.85 |
| BRK-B | 0.44 | 0.47 | 0.43 | 0.56 | 0.50 | 0.34 | 0.42 | 0.41 | 0.56 | 0.69 | 0.36 | 0.36 | 1.00 | 0.47 | 0.37 |
| MAS | 0.32 | 0.38 | 0.37 | 0.38 | 0.39 | 0.53 | 0.43 | 0.42 | 0.49 | 0.43 | 0.61 | 0.61 | 0.47 | 1.00 | 0.61 |
| PHM | 0.30 | 0.30 | 0.35 | 0.33 | 0.33 | 0.70 | 0.39 | 0.40 | 0.40 | 0.34 | 0.86 | 0.85 | 0.37 | 0.61 | 1.00 |