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Tier_2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


HON 16.67%MCD 16.67%AMGN 16.67%BAC 16.67%GILD 16.67%ASML 16.67%EquityEquity
PositionCategory/SectorWeight
AMGN
Amgen Inc.
Healthcare
16.67%
ASML
ASML Holding N.V.
Technology
16.67%
BAC
Bank of America Corporation
Financial Services
16.67%
GILD
Gilead Sciences, Inc.
Healthcare
16.67%
HON
Honeywell International Inc
Industrials
16.67%
MCD
McDonald's Corporation
Consumer Cyclical
16.67%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Tier_2, 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%AprilMayJuneJulyAugustSeptember
7.42%
8.95%
Tier_2
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 15, 1995, corresponding to the inception date of ASML

Returns By Period

As of Sep 21, 2024, the Tier_2 returned 10.95% Year-To-Date and 14.21% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
19.55%1.45%8.95%31.70%13.79%11.17%
Tier_210.95%2.37%7.42%27.82%15.18%14.04%
HON
Honeywell International Inc
-1.45%1.60%2.40%9.54%6.19%9.98%
MCD
McDonald's Corporation
1.93%3.24%6.33%11.69%9.55%15.02%
AMGN
Amgen Inc.
19.72%3.96%23.89%29.82%14.73%12.16%
BAC
Bank of America Corporation
21.97%3.29%10.06%49.76%9.11%11.19%
GILD
Gilead Sciences, Inc.
6.95%11.63%18.12%16.56%9.43%0.70%
ASML
ASML Holding N.V.
5.67%-12.39%-18.53%36.58%27.46%24.28%

Monthly Returns

The table below presents the monthly returns of Tier_2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.80%-1.36%3.01%-6.04%4.91%3.47%1.73%2.36%10.95%
20233.42%-4.92%1.42%0.76%-2.20%3.31%1.06%-2.12%-2.88%-0.56%8.36%7.92%13.43%
2022-3.46%-4.85%0.68%-5.35%4.93%-8.52%7.50%-3.01%-8.90%20.10%10.08%-6.29%-1.11%
20212.29%2.13%9.02%2.07%2.83%0.22%2.29%2.64%-4.17%2.79%-2.39%5.43%27.49%
2020-3.15%-4.39%-8.21%12.28%1.15%2.17%0.57%5.41%-1.29%-4.91%12.75%4.39%15.49%
20197.55%2.24%0.81%5.15%-6.38%8.46%1.93%-0.24%2.02%2.82%5.16%2.88%36.58%
20188.78%-3.74%-3.49%0.11%-0.56%0.31%7.56%-0.26%0.30%-6.17%4.43%-9.29%-3.49%
20173.64%5.05%-0.60%2.12%-0.52%4.80%4.51%3.65%3.05%1.39%2.20%-0.27%32.90%
2016-5.36%-3.31%8.06%1.37%0.25%-2.87%4.32%1.15%-0.29%-4.68%7.17%2.81%7.85%
2015-2.60%3.87%-2.08%1.21%3.90%-0.63%4.03%-8.57%-3.87%10.10%1.23%-1.21%4.21%
20141.07%2.21%-0.49%-3.13%2.39%2.17%1.82%6.75%1.20%4.07%0.71%-0.78%19.12%
20136.04%2.19%7.02%2.81%4.49%-2.29%10.10%-2.38%4.17%3.13%3.28%0.33%45.62%

Expense Ratio

Tier_2 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 Tier_2 is 32, 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 Tier_2 is 3232
Tier_2
The Sharpe Ratio Rank of Tier_2 is 2626Sharpe Ratio Rank
The Sortino Ratio Rank of Tier_2 is 3232Sortino Ratio Rank
The Omega Ratio Rank of Tier_2 is 2222Omega Ratio Rank
The Calmar Ratio Rank of Tier_2 is 5454Calmar Ratio Rank
The Martin Ratio Rank of Tier_2 is 2727Martin 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.


Tier_2
Sharpe ratio
The chart of Sharpe ratio for Tier_2, currently valued at 1.83, compared to the broader market-1.000.001.002.003.004.001.83
Sortino ratio
The chart of Sortino ratio for Tier_2, currently valued at 2.65, compared to the broader market-2.000.002.004.006.002.65
Omega ratio
The chart of Omega ratio for Tier_2, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for Tier_2, currently valued at 2.23, compared to the broader market0.002.004.006.008.0010.002.23
Martin ratio
The chart of Martin ratio for Tier_2, currently valued at 9.70, compared to the broader market0.0010.0020.0030.0040.009.70
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.32, compared to the broader market-1.000.001.002.003.004.002.32
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.11, compared to the broader market-2.000.002.004.006.003.11
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.42, compared to the broader market0.801.001.201.401.601.801.42
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 2.09, compared to the broader market0.002.004.006.008.0010.002.09
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 14.29, compared to the broader market0.0010.0020.0030.0040.0014.29

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
HON
Honeywell International Inc
0.430.681.080.321.40
MCD
McDonald's Corporation
0.560.901.110.561.24
AMGN
Amgen Inc.
1.151.831.241.523.66
BAC
Bank of America Corporation
1.882.721.330.968.54
GILD
Gilead Sciences, Inc.
0.641.011.140.521.05
ASML
ASML Holding N.V.
0.871.361.181.053.25

Sharpe Ratio

The current Tier_2 Sharpe ratio is 1.83. 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 1.91 to 2.59, 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 Tier_2 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 Ratio1.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.83
2.32
Tier_2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Tier_2 granted a 2.32% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Tier_22.32%2.39%2.37%2.18%2.41%2.28%2.11%1.64%1.74%1.37%1.08%0.98%
HON
Honeywell International Inc
2.12%1.99%1.85%1.81%1.71%1.90%0.64%0.02%0.02%0.01%0.01%0.01%
MCD
McDonald's Corporation
2.25%2.10%2.15%1.96%2.35%2.39%2.36%2.23%2.97%2.91%3.50%3.22%
AMGN
Amgen Inc.
2.63%2.96%2.95%3.13%2.78%2.41%2.71%2.65%2.74%1.95%1.53%1.65%
BAC
Bank of America Corporation
2.43%2.73%2.60%1.75%2.38%1.87%2.19%1.32%1.13%1.19%0.67%0.26%
GILD
Gilead Sciences, Inc.
3.65%3.70%3.40%3.91%4.67%3.88%3.65%2.90%2.57%1.27%0.00%0.00%
ASML
ASML Holding N.V.
0.83%0.85%1.27%0.50%0.59%1.20%1.10%0.75%1.02%0.91%0.78%0.75%

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%AprilMayJuneJulyAugustSeptember
-0.79%
-0.19%
Tier_2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Tier_2. 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 Tier_2 was 45.93%, occurring on Mar 6, 2009. Recovery took 254 trading sessions.

The current Tier_2 drawdown is 0.79%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-45.93%Nov 1, 2007338Mar 6, 2009254Mar 10, 2010592
-40.53%Mar 20, 2002142Oct 9, 2002190Jul 14, 2003332
-32.81%Apr 15, 1998124Oct 8, 199851Dec 21, 1998175
-29.59%May 22, 200182Sep 21, 2001110Mar 1, 2002192
-27.01%Feb 13, 202027Mar 23, 202052Jun 5, 202079

Volatility

Volatility Chart

The current Tier_2 volatility is 3.75%, 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%AprilMayJuneJulyAugustSeptember
3.75%
4.31%
Tier_2
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.

MCDGILDASMLAMGNBACHON
MCD1.000.210.260.250.290.34
GILD0.211.000.270.440.260.31
ASML0.260.271.000.300.340.40
AMGN0.250.440.301.000.290.31
BAC0.290.260.340.291.000.45
HON0.340.310.400.310.451.00
The correlation results are calculated based on daily price changes starting from Mar 16, 1995