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denemeDivArist
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


LOW 11.11%CAT 11.11%MCD 11.11%PEP 11.11%CVX 11.11%PG 11.11%JNJ 11.11%TGT 11.11%MRK 11.11%EquityEquity
PositionCategory/SectorWeight
CAT
Caterpillar Inc.
Industrials
11.11%
CVX
Chevron Corporation
Energy
11.11%
JNJ
Johnson & Johnson
Healthcare
11.11%
LOW
Lowe's Companies, Inc.
Consumer Cyclical
11.11%
MCD
McDonald's Corporation
Consumer Cyclical
11.11%
MRK
Merck & Co., Inc.
Healthcare
11.11%
PEP
PepsiCo, Inc.
Consumer Defensive
11.11%
PG
The Procter & Gamble Company
Consumer Defensive
11.11%
TGT
Target Corporation
Consumer Defensive
11.11%

Performance

Performance Chart

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


400.00%600.00%800.00%1,000.00%1,200.00%JuneJulyAugustSeptemberOctoberNovember
1,176.90%
433.67%
denemeDivArist
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Oct 19, 2001, corresponding to the inception date of CVX

Returns By Period

As of Nov 2, 2024, the denemeDivArist returned 9.83% Year-To-Date and 13.45% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
20.10%0.34%11.72%32.68%13.33%11.05%
denemeDivArist9.83%-2.06%2.35%20.63%13.93%13.37%
LOW
Lowe's Companies, Inc.
19.94%-1.76%13.87%36.93%20.70%18.52%
CAT
Caterpillar Inc.
30.46%-4.05%13.60%60.22%23.77%17.31%
MCD
McDonald's Corporation
1.37%-2.81%10.56%12.88%11.57%15.01%
PEP
PepsiCo, Inc.
-0.23%-1.42%-4.53%2.37%7.36%8.63%
CVX
Chevron Corporation
5.96%1.55%-2.44%8.20%9.43%7.07%
PG
The Procter & Gamble Company
15.47%-1.66%1.59%12.75%9.49%9.45%
JNJ
Johnson & Johnson
4.56%-0.10%8.96%9.16%7.12%6.83%
TGT
Target Corporation
8.27%-1.33%-3.15%38.06%9.00%12.49%
MRK
Merck & Co., Inc.
-4.76%-7.19%-19.08%1.16%8.46%9.37%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.42%5.19%4.78%-4.16%-1.00%-1.79%3.04%2.88%2.43%-3.41%9.83%
20230.38%-2.63%1.42%3.26%-6.72%6.99%1.86%-1.37%-4.95%-4.82%6.29%5.42%4.05%
2022-0.06%-3.70%5.54%1.77%-2.44%-6.79%6.18%-2.91%-5.66%14.97%5.33%-2.16%8.32%
2021-1.31%2.03%8.63%0.82%2.95%0.33%2.31%-0.31%-2.60%8.80%-2.89%6.21%26.97%
2020-3.22%-8.50%-9.25%13.02%4.69%-0.11%4.73%7.84%-0.42%-3.34%8.90%1.77%14.43%
20193.88%4.37%4.09%0.95%-4.51%7.24%-0.34%4.39%0.60%0.80%3.56%2.92%31.17%
20183.45%-7.41%-1.60%0.59%1.60%1.40%5.04%2.26%3.33%-3.51%4.47%-6.26%2.46%
2017-0.04%3.13%-0.15%2.20%1.73%-0.12%3.07%0.12%2.67%0.34%3.31%5.11%23.38%
2016-1.25%0.24%7.53%1.50%-1.53%3.20%3.09%-1.39%0.80%-2.73%4.21%0.52%14.61%
2015-3.53%4.18%-0.92%0.29%-0.18%-2.27%0.33%-4.91%-1.68%9.14%-0.34%0.32%-0.28%
2014-3.57%4.80%1.90%2.71%-0.92%2.12%-2.14%4.84%-0.70%1.88%4.48%-1.16%14.71%
20137.07%1.19%2.76%2.61%0.35%-0.46%4.37%-3.45%0.94%2.31%2.03%0.60%21.89%

Expense Ratio

denemeDivArist 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 denemeDivArist is 26, 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 denemeDivArist is 2626
Combined Rank
The Sharpe Ratio Rank of denemeDivArist is 2626Sharpe Ratio Rank
The Sortino Ratio Rank of denemeDivArist is 3535Sortino Ratio Rank
The Omega Ratio Rank of denemeDivArist is 2727Omega Ratio Rank
The Calmar Ratio Rank of denemeDivArist is 2828Calmar Ratio Rank
The Martin Ratio Rank of denemeDivArist is 1313Martin 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.


denemeDivArist
Sharpe ratio
The chart of Sharpe ratio for denemeDivArist, currently valued at 2.12, compared to the broader market0.002.004.002.12
Sortino ratio
The chart of Sortino ratio for denemeDivArist, currently valued at 3.17, compared to the broader market-2.000.002.004.006.003.17
Omega ratio
The chart of Omega ratio for denemeDivArist, currently valued at 1.38, compared to the broader market0.801.001.201.401.601.801.38
Calmar ratio
The chart of Calmar ratio for denemeDivArist, currently valued at 2.05, compared to the broader market0.002.004.006.008.0010.0012.0014.002.05
Martin ratio
The chart of Martin ratio for denemeDivArist, currently valued at 7.06, compared to the broader market0.0010.0020.0030.0040.0050.007.06
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.88, compared to the broader market0.002.004.002.88
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.82, compared to the broader market-2.000.002.004.006.003.82
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.54, compared to the broader market0.801.001.201.401.601.801.54
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.52, compared to the broader market0.002.004.006.008.0010.0012.0014.003.52
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.62, compared to the broader market0.0010.0020.0030.0040.0050.0018.62

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
LOW
Lowe's Companies, Inc.
1.792.571.321.635.06
CAT
Caterpillar Inc.
2.663.331.453.609.78
MCD
McDonald's Corporation
0.871.271.170.902.01
PEP
PepsiCo, Inc.
0.230.451.050.240.79
CVX
Chevron Corporation
0.580.911.110.491.80
PG
The Procter & Gamble Company
0.881.291.171.555.19
JNJ
Johnson & Johnson
0.741.171.140.622.21
TGT
Target Corporation
1.222.261.270.733.83
MRK
Merck & Co., Inc.
0.080.251.040.070.20

Sharpe Ratio

The current denemeDivArist Sharpe ratio is 2.12. 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 2.14 to 2.96, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of denemeDivArist 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.12
2.88
denemeDivArist
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

denemeDivArist provided a 2.68% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
denemeDivArist2.68%2.67%2.41%2.38%2.68%2.54%2.94%2.71%2.98%3.19%2.78%2.67%
LOW
Lowe's Companies, Inc.
1.72%1.93%1.86%1.08%1.40%1.72%1.93%1.64%1.77%1.34%1.19%1.37%
CAT
Caterpillar Inc.
1.43%1.69%1.93%2.07%2.26%2.56%2.58%1.97%3.32%4.33%2.84%1.89%
MCD
McDonald's Corporation
2.26%2.10%2.15%1.96%2.35%2.39%2.36%2.23%2.97%2.91%3.50%3.22%
PEP
PepsiCo, Inc.
3.16%2.91%2.50%2.45%2.71%2.77%3.25%2.64%2.83%2.76%2.68%2.70%
CVX
Chevron Corporation
4.18%4.05%3.16%4.52%6.11%3.95%4.12%3.45%3.64%4.76%3.75%3.12%
PG
The Procter & Gamble Company
2.40%2.55%2.38%2.08%2.24%2.37%3.09%2.98%3.18%3.31%2.78%2.91%
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%
TGT
Target Corporation
2.93%3.06%2.66%1.37%1.52%2.03%3.81%3.74%3.21%2.97%2.50%2.50%
MRK
Merck & Co., Inc.
3.02%2.72%2.52%3.41%3.03%2.48%2.60%3.36%3.14%3.42%3.11%3.45%

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%JuneJulyAugustSeptemberOctoberNovember
-4.23%
-2.32%
denemeDivArist
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the denemeDivArist. 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 denemeDivArist was 42.79%, occurring on Mar 9, 2009. Recovery took 276 trading sessions.

The current denemeDivArist drawdown is 4.23%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-42.79%Dec 11, 2007312Mar 9, 2009276Apr 13, 2010588
-31.76%Jan 21, 202044Mar 23, 202087Jul 27, 2020131
-26.41%Dec 6, 2001157Jul 23, 2002303Oct 3, 2003460
-15.51%Apr 21, 202241Jun 17, 2022104Nov 15, 2022145
-14.69%Jan 23, 201843Mar 23, 2018124Sep 19, 2018167

Volatility

Volatility Chart

The current denemeDivArist volatility is 2.81%, 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%JuneJulyAugustSeptemberOctoberNovember
2.81%
3.23%
denemeDivArist
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.

CVXTGTMCDMRKCATLOWPEPJNJPG
CVX1.000.300.300.320.530.330.290.320.31
TGT0.301.000.340.270.380.520.310.300.32
MCD0.300.341.000.330.330.370.390.350.40
MRK0.320.270.331.000.300.300.380.510.40
CAT0.530.380.330.301.000.440.280.320.30
LOW0.330.520.370.300.441.000.350.320.34
PEP0.290.310.390.380.280.351.000.450.57
JNJ0.320.300.350.510.320.320.451.000.48
PG0.310.320.400.400.300.340.570.481.00
The correlation results are calculated based on daily price changes starting from Oct 22, 2001