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Top Stocks Filtered
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


GE 11.56%PHM 10.47%BRK-B 8.62%PCAR 7.62%LEN 6.96%RCL 6.49%DHI 6.36%NVR 6.22%RL 6.16%PVH 5.62%PSX 5.09%MAS 5.09%JPM 4.69%AIZ 4.56%HII 4.49%EquityEquity
PositionCategory/SectorWeight
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


300.00%400.00%500.00%600.00%700.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
686.96%
321.88%
Top Stocks Filtered
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is May 1, 2012, corresponding to the inception date of PSX

Returns By Period

As of Dec 22, 2024, the Top Stocks Filtered returned 22.71% Year-To-Date and 15.68% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.34%0.23%8.53%24.95%13.01%11.06%
Top Stocks Filtered22.71%-6.63%8.33%23.52%20.88%15.68%
PSX
Phillips 66
-14.39%-17.18%-18.69%-14.97%3.79%8.26%
PCAR
PACCAR Inc
12.20%-5.58%2.84%12.40%19.10%12.87%
JPM
JPMorgan Chase & Co.
43.02%-4.41%22.46%45.32%14.87%17.54%
HII
Huntington Ingalls Industries, Inc.
-25.08%-3.62%-22.61%-24.04%-3.45%7.13%
AIZ
Assurant, Inc.
27.97%-5.80%26.71%29.94%12.56%14.20%
RL
Ralph Lauren Corporation
61.78%8.55%27.23%61.20%16.62%4.33%
MAS
Masco Corporation
12.80%-5.85%10.47%12.40%11.13%14.56%
LEN
Lennar Corporation
-6.16%-18.38%-8.32%-5.13%21.08%13.42%
GE
General Electric Company
66.12%-7.05%2.84%67.45%25.33%4.70%
BRK-B
Berkshire Hathaway Inc.
27.07%-4.90%10.64%27.14%15.04%11.61%
RCL
Royal Caribbean Cruises Ltd.
84.56%-1.27%58.14%86.40%12.71%12.56%
DHI
D.R. Horton, Inc.
-7.38%-14.63%-1.56%-6.12%22.58%20.22%
NVR
NVR, Inc.
18.23%-8.11%8.53%18.58%16.80%20.96%
PVH
PVH Corp.
-11.89%3.48%-6.03%-11.06%0.67%-1.40%
PHM
PulteGroup, Inc.
7.80%-14.67%-0.61%8.64%24.48%19.69%
*Annualized

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.55%9.45%7.78%-6.90%3.87%-3.32%9.01%2.73%3.40%-4.37%8.47%22.71%
202314.12%-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%
20210.16%9.16%7.73%4.96%1.16%-3.53%-1.69%1.58%-5.46%5.91%-3.18%6.92%24.86%
20201.53%-11.84%-28.76%17.09%7.43%-0.44%7.43%6.24%-0.31%-2.64%17.76%4.76%9.13%
201913.99%2.83%0.87%6.09%-7.40%6.37%-0.14%-3.36%6.21%5.15%6.15%1.29%43.17%
20181.21%-7.22%-0.18%0.20%0.16%-1.92%4.08%-0.46%-2.88%-10.09%-0.97%-6.41%-22.65%
20174.47%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%
20139.40%0.97%3.11%1.24%2.34%-3.89%2.34%-5.60%4.37%3.96%5.57%6.01%33.04%

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.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Top Stocks Filtered is 37, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Top Stocks Filtered is 3737
Overall Rank
The Sharpe Ratio Rank of Top Stocks Filtered is 3838
Sharpe Ratio Rank
The Sortino Ratio Rank of Top Stocks Filtered is 4242
Sortino Ratio Rank
The Omega Ratio Rank of Top Stocks Filtered is 3535
Omega Ratio Rank
The Calmar Ratio Rank of Top Stocks Filtered is 4646
Calmar Ratio Rank
The Martin Ratio Rank of Top Stocks Filtered is 2727
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for Top Stocks Filtered, currently valued at 1.47, compared to the broader market-6.00-4.00-2.000.002.004.001.472.10
The chart of Sortino ratio for Top Stocks Filtered, currently valued at 2.13, compared to the broader market-6.00-4.00-2.000.002.004.006.002.132.80
The chart of Omega ratio for Top Stocks Filtered, currently valued at 1.25, compared to the broader market0.400.600.801.001.201.401.601.801.251.39
The chart of Calmar ratio for Top Stocks Filtered, currently valued at 2.40, compared to the broader market0.002.004.006.008.0010.0012.002.403.09
The chart of Martin ratio for Top Stocks Filtered, currently valued at 6.69, compared to the broader market0.0010.0020.0030.0040.006.6913.49
Top Stocks Filtered
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
PSX
Phillips 66
-0.59-0.660.92-0.43-0.85
PCAR
PACCAR Inc
0.550.891.130.541.05
JPM
JPMorgan Chase & Co.
1.972.701.404.5513.24
HII
Huntington Ingalls Industries, Inc.
-0.65-0.600.87-0.62-1.46
AIZ
Assurant, Inc.
1.642.381.302.255.62
RL
Ralph Lauren Corporation
1.882.911.353.598.31
MAS
Masco Corporation
0.530.941.110.721.72
LEN
Lennar Corporation
-0.15-0.001.00-0.17-0.58
GE
General Electric Company
2.362.891.422.3214.71
BRK-B
Berkshire Hathaway Inc.
1.902.691.343.638.89
RCL
Royal Caribbean Cruises Ltd.
2.863.371.465.0718.75
DHI
D.R. Horton, Inc.
-0.17-0.021.00-0.19-0.57
NVR
NVR, Inc.
0.891.381.171.143.93
PVH
PVH Corp.
-0.27-0.110.98-0.23-0.46
PHM
PulteGroup, Inc.
0.290.631.080.341.15

The current Top Stocks Filtered Sharpe ratio is 1.47. 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 1.28 to 2.09, 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 Top Stocks Filtered 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 Ratio1.001.502.002.503.003.504.004.50JulyAugustSeptemberOctoberNovemberDecember
1.47
2.10
Top Stocks Filtered
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Top Stocks Filtered provided a 1.27% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio1.27%1.20%1.51%1.22%1.23%1.37%2.14%1.64%1.57%1.62%1.32%1.15%
PSX
Phillips 66
4.08%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
3.96%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.
1.94%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.
2.76%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.
1.39%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
1.37%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
1.56%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
1.45%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
0.54%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.
0.93%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.
0.14%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.
0.74%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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.79%
-2.62%
Top Stocks Filtered
Benchmark (^GSPC)
Portfolio components

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 8.79%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-49.86%Feb 13, 202027Mar 23, 2020171Nov 23, 2020198
-31.22%Jan 25, 2018231Dec 24, 2018216Nov 1, 2019447
-27.27%May 11, 2021352Sep 30, 202278Jan 24, 2023430
-17.53%Dec 2, 201549Feb 11, 201652Apr 27, 2016101
-15.01%May 3, 201222Jun 4, 201245Aug 7, 201267

Volatility

Volatility Chart

The current Top Stocks Filtered volatility is 5.40%, 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%7.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
5.40%
3.79%
Top Stocks Filtered
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.

PSXHIIRCLAIZGENVRRLPVHPCARJPMLENDHIBRK-BMASPHM
PSX1.000.380.330.370.390.240.350.350.420.470.280.280.440.320.30
HII0.381.000.320.410.370.280.330.330.460.430.280.290.470.380.30
RCL0.330.321.000.340.410.310.420.440.410.460.340.330.430.370.35
AIZ0.370.410.341.000.380.280.340.340.430.530.300.310.560.380.33
GE0.390.370.410.381.000.260.390.400.480.510.310.300.500.390.32
NVR0.240.280.310.280.261.000.320.320.340.280.710.710.330.530.70
RL0.350.330.420.340.390.321.000.700.450.450.370.360.420.430.39
PVH0.350.330.440.340.400.320.701.000.450.450.380.370.400.420.40
PCAR0.420.460.410.430.480.340.450.451.000.550.370.370.560.490.40
JPM0.470.430.460.530.510.280.450.450.551.000.310.320.690.430.34
LEN0.280.280.340.300.310.710.370.380.370.311.000.880.360.610.85
DHI0.280.290.330.310.300.710.360.370.370.320.881.000.360.610.86
BRK-B0.440.470.430.560.500.330.420.400.560.690.360.361.000.470.37
MAS0.320.380.370.380.390.530.430.420.490.430.610.610.471.000.61
PHM0.300.300.350.330.320.700.390.400.400.340.850.860.370.611.00
The correlation results are calculated based on daily price changes starting from May 2, 2012
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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