Low Draw Down - 15 Uncorrelated Defensive - Modifi...

Performance

Risk-Adjusted Performance

Dividends

Drawdowns

Volatility

Diversification

Low Draw Down - 15 Uncorrelated Defensive - Modified

Currency in USD · Last updated Jun 2, 2025

15 good uncorrelated returns for balance safety and to maintain an average return (typically ~7.5% per Ray) but reduce risk up to 80%. Risk balance these, not necessarily dollar balance them. Based on general themes of value investing (good balance sheets) in both US and World, but an avoidance of US treasury debt.

ideally with low correlation to other investment strategies, allowing for a well-diversified portfolio with reduced risk by combining multiple uncorrelated return streams across different asset classes.

Asset Allocation

Position	Category/Sector	Target Weight
AAPL Apple Inc	Technology	6.67%
BRK-B Berkshire Hathaway Inc.	Financial Services	6.67%
CL Colgate-Palmolive Company	Consumer Defensive	6.67%
JCI Johnson Controls International plc	Industrials	6.67%
JNJ Johnson & Johnson	Healthcare	6.67%
KO The Coca-Cola Company	Consumer Defensive	6.67%
LMT Lockheed Martin Corporation	Industrials	6.67%
MCD McDonald's Corporation	Consumer Cyclical	6.67%
MO Altria Group, Inc.	Consumer Defensive	6.67%
MSFT Microsoft Corporation	Technology	6.67%
PEP PepsiCo, Inc.	Consumer Defensive	6.67%
PG The Procter & Gamble Company	Consumer Defensive	6.67%
T AT&T Inc.	Communication Services	6.67%
V Visa Inc.	Financial Services	6.67%
WMT Walmart Inc.	Consumer Defensive	6.67%

Benchmark

S&P 500

Rebalance

Performance

Performance Chart

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The earliest data available for this chart is Mar 19, 2008, corresponding to the inception date of V

Returns By Period

As of Jun 2, 2025, the Low Draw Down - 15 Uncorrelated Defensive - Modified returned 8.47% Year-To-Date and 14.59% of annualized return in the last 10 years.

	YTD	1M	6M	1Y	5Y*	10Y*
^GSPC S&P 500	0.92%	4.38%	-1.84%	12.48%	13.71%	10.99%
Low Draw Down - 15 Uncorrelated Defensive - Modified	8.37%	1.89%	4.65%	20.90%	15.47%	14.58%
Portfolio components:
JNJ Johnson & Johnson	9.24%	0.39%	2.06%	9.40%	3.80%	7.61%
PG The Procter & Gamble Company	1.33%	4.52%	-5.46%	4.48%	9.87%	11.09%
KO The Coca-Cola Company	16.50%	0.49%	13.95%	17.83%	11.88%	9.44%
MCD McDonald's Corporation	9.10%	0.80%	8.15%	24.42%	12.64%	15.42%
PEP PepsiCo, Inc.	-13.14%	-2.12%	-18.31%	-21.76%	2.67%	6.48%
V Visa Inc.	15.98%	5.27%	15.76%	35.06%	13.97%	19.07%
BRK-B Berkshire Hathaway Inc.	10.93%	-6.85%	5.34%	21.33%	21.38%	13.58%
MSFT Microsoft Corporation	10.02%	6.33%	7.60%	12.14%	21.07%	27.72%
CL Colgate-Palmolive Company	2.26%	1.60%	-4.26%	1.02%	7.59%	5.89%
LMT Lockheed Martin Corporation	-0.05%	1.97%	-6.66%	5.19%	6.38%	12.69%
AAPL Apple Inc	-19.26%	-1.65%	-15.61%	5.41%	20.62%	21.48%
WMT Walmart Inc.	11.00%	1.28%	8.49%	53.28%	21.09%	17.39%
T AT&T Inc.	25.57%	1.16%	25.95%	61.32%	11.02%	8.27%
JCI Johnson Controls International plc	27.76%	12.90%	21.08%	42.34%	27.30%	13.35%
MO Altria Group, Inc.	18.04%	1.71%	10.04%	41.76%	17.60%	9.16%

*Annualized

Monthly Returns

The table below presents the monthly returns of Low Draw Down - 15 Uncorrelated Defensive - Modified, 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
2025	0.93%	5.73%	-0.85%	0.05%	2.47%	-0.10%							8.37%
2024	1.74%	2.38%	2.70%	-1.70%	4.12%	0.95%	4.21%	5.83%	1.62%	-2.12%	4.58%	-3.65%	22.15%
2023	1.14%	-1.94%	4.11%	3.38%	-3.32%	5.66%	0.31%	-2.24%	-4.88%	1.00%	5.67%	1.09%	9.73%
2022	0.36%	-2.52%	3.17%	-0.55%	-1.84%	-5.31%	3.56%	-2.72%	-7.76%	12.43%	4.70%	-2.61%	-0.61%
2021	-3.18%	0.44%	7.11%	3.41%	1.26%	0.51%	3.10%	0.95%	-4.74%	3.63%	-1.65%	8.97%	20.70%
2020	2.84%	-8.74%	-8.44%	9.28%	2.21%	1.33%	6.06%	7.88%	-3.10%	-3.64%	7.98%	2.70%	15.22%
2019	4.58%	3.60%	3.94%	4.43%	-3.19%	6.53%	1.36%	2.04%	1.44%	0.93%	2.09%	2.55%	34.47%
2018	2.72%	-5.30%	-1.52%	-2.57%	0.16%	1.07%	5.43%	3.44%	1.68%	-2.35%	1.72%	-8.15%	-4.41%
2017	1.87%	4.93%	0.80%	0.93%	3.84%	-0.73%	1.28%	1.86%	-0.29%	2.89%	3.18%	1.90%	24.72%
2016	1.56%	-0.41%	5.73%	-0.65%	2.05%	2.90%	2.41%	-0.81%	0.21%	-1.03%	0.48%	1.67%	14.83%
2015	-2.24%	5.10%	-3.17%	-0.26%	0.78%	-2.56%	4.13%	-5.15%	0.23%	7.78%	-0.01%	0.05%	4.02%
2014	-4.25%	2.73%	3.53%	2.62%	1.78%	0.69%	-1.62%	4.42%	1.80%	2.65%	4.79%	-1.97%	18.09%

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

Low Draw Down - 15 Uncorrelated Defensive - Modified has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 94, Low Draw Down - 15 Uncorrelated Defensive - Modified is among the top 6% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

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.

Portfolio components

	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
JNJ Johnson & Johnson	0.50	0.89	1.12	0.64	1.69
PG The Procter & Gamble Company	0.24	0.56	1.08	0.54	1.18
KO The Coca-Cola Company	1.06	1.77	1.22	1.30	2.85
MCD McDonald's Corporation	1.25	2.07	1.28	1.70	6.30
PEP PepsiCo, Inc.	-1.12	-1.44	0.83	-0.69	-1.63
V Visa Inc.	1.60	2.20	1.34	2.46	8.64
BRK-B Berkshire Hathaway Inc.	1.09	1.75	1.25	2.77	6.52
MSFT Microsoft Corporation	0.48	0.66	1.09	0.36	0.79
CL Colgate-Palmolive Company	0.05	0.33	1.04	0.14	0.24
LMT Lockheed Martin Corporation	0.22	0.66	1.10	0.30	0.56
AAPL Apple Inc	0.16	0.52	1.07	0.19	0.59
WMT Walmart Inc.	2.23	3.05	1.42	2.52	8.16
T AT&T Inc.	2.66	3.64	1.53	4.33	24.23
JCI Johnson Controls International plc	1.34	2.13	1.28	2.08	6.71
MO Altria Group, Inc.	2.18	3.26	1.43	4.39	10.26

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Low Draw Down - 15 Uncorrelated Defensive - Modified Sharpe ratios as of Jun 2, 2025 (values are recalculated daily):

1-Year: 1.67
5-Year: 1.21
10-Year: 0.98
All Time: 0.91

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.59 to 1.13, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Low Draw Down - 15 Uncorrelated Defensive - Modified compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

Low Draw Down - 15 Uncorrelated Defensive - Modified provided a 2.38% dividend yield over the last twelve months.

	TTM	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015	2014
Portfolio	2.38%	2.44%	2.72%	2.58%	2.68%	2.76%	2.56%	3.06%	2.45%	3.55%	3.00%	2.76%
Portfolio components:
JNJ Johnson & Johnson	3.23%	3.40%	3.00%	2.52%	2.45%	2.53%	2.57%	2.74%	2.38%	2.73%	2.87%	2.64%
PG The Procter & Gamble Company	2.43%	2.36%	2.55%	2.38%	2.08%	2.24%	2.37%	3.09%	2.98%	3.18%	3.32%	2.78%
KO The Coca-Cola Company	2.73%	3.12%	3.12%	2.77%	2.84%	2.99%	2.89%	3.29%	3.23%	3.38%	3.07%	2.89%
MCD McDonald's Corporation	2.77%	2.34%	2.10%	2.15%	1.96%	2.35%	2.39%	2.36%	2.23%	2.97%	2.91%	3.50%
PEP PepsiCo, Inc.	4.16%	3.52%	2.92%	2.51%	2.45%	2.71%	2.78%	3.25%	2.64%	2.83%	2.76%	2.68%
V Visa Inc.	0.63%	0.68%	0.72%	0.76%	0.62%	0.56%	0.56%	0.67%	0.61%	0.75%	0.64%	0.64%
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%
MSFT Microsoft Corporation	0.70%	0.73%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%	2.48%
CL Colgate-Palmolive Company	2.20%	2.18%	2.40%	2.36%	2.10%	2.05%	2.48%	2.79%	2.11%	2.37%	2.25%	2.05%
LMT Lockheed Martin Corporation	3.38%	2.62%	2.68%	2.34%	2.98%	2.76%	2.31%	3.13%	2.32%	2.71%	2.83%	2.85%
AAPL Apple Inc	0.50%	0.40%	0.49%	0.70%	0.49%	0.61%	1.04%	1.79%	1.45%	1.93%	1.93%	1.67%
WMT Walmart Inc.	0.89%	0.92%	1.45%	1.58%	1.52%	1.50%	1.78%	2.23%	2.07%	2.89%	3.20%	2.24%
T AT&T Inc.	3.98%	4.88%	6.63%	7.35%	11.19%	9.58%	6.91%	9.28%	6.67%	5.98%	7.23%	7.25%
JCI Johnson Controls International plc	1.47%	1.88%	2.55%	2.19%	1.41%	2.23%	2.55%	3.51%	2.65%	15.64%	5.85%	3.69%
MO Altria Group, Inc.	6.66%	7.65%	9.52%	8.05%	7.43%	8.29%	6.57%	6.07%	3.56%	3.48%	3.73%	4.06%

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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Low Draw Down - 15 Uncorrelated Defensive - Modified. 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 Low Draw Down - 15 Uncorrelated Defensive - Modified was 36.45%, occurring on Mar 9, 2009. Recovery took 182 trading sessions.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-36.45%	Jun 2, 2008	194	Mar 9, 2009	182	Nov 24, 2009	376
-29.13%	Feb 18, 2020	25	Mar 23, 2020	97	Aug 10, 2020	122
-16.64%	Apr 21, 2022	113	Sep 30, 2022	133	Apr 13, 2023	246
-14.68%	Sep 24, 2018	64	Dec 24, 2018	56	Mar 18, 2019	120
-11.54%	Jan 29, 2018	66	May 2, 2018	92	Sep 12, 2018	158

Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 15 assets, with an effective number of assets of 15.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	^GSPC	AAPL	WMT	MO	LMT	T	JCI	MSFT	V	MCD	JNJ	CL	BRK-B	PEP	PG	KO	Portfolio
^GSPC	1.00	0.62	0.44	0.40	0.48	0.49	0.65	0.71	0.65	0.51	0.50	0.46	0.68	0.48	0.48	0.49	0.83
AAPL	0.62	1.00	0.25	0.22	0.27	0.26	0.38	0.54	0.43	0.32	0.26	0.25	0.38	0.28	0.27	0.26	0.58
WMT	0.44	0.25	1.00	0.31	0.30	0.34	0.29	0.33	0.30	0.38	0.37	0.40	0.36	0.40	0.45	0.38	0.55
MO	0.40	0.22	0.31	1.00	0.34	0.42	0.31	0.24	0.27	0.35	0.40	0.45	0.39	0.45	0.44	0.47	0.58
LMT	0.48	0.27	0.30	0.34	1.00	0.34	0.37	0.31	0.36	0.38	0.39	0.36	0.44	0.39	0.37	0.40	0.59
T	0.49	0.26	0.34	0.42	0.34	1.00	0.37	0.28	0.32	0.36	0.41	0.40	0.47	0.39	0.41	0.43	0.59
JCI	0.65	0.38	0.29	0.31	0.37	0.37	1.00	0.41	0.43	0.37	0.33	0.32	0.51	0.32	0.33	0.36	0.62
MSFT	0.71	0.54	0.33	0.24	0.31	0.28	0.41	1.00	0.49	0.38	0.34	0.32	0.41	0.37	0.36	0.35	0.63
V	0.65	0.43	0.30	0.27	0.36	0.32	0.43	0.49	1.00	0.39	0.37	0.35	0.50	0.36	0.35	0.36	0.65
MCD	0.51	0.32	0.38	0.35	0.38	0.36	0.37	0.38	0.39	1.00	0.40	0.44	0.41	0.44	0.44	0.47	0.63
JNJ	0.50	0.26	0.37	0.40	0.39	0.41	0.33	0.34	0.37	0.40	1.00	0.48	0.46	0.50	0.51	0.48	0.63
CL	0.46	0.25	0.40	0.45	0.36	0.40	0.32	0.32	0.35	0.44	0.48	1.00	0.39	0.61	0.71	0.58	0.66
BRK-B	0.68	0.38	0.36	0.39	0.44	0.47	0.51	0.41	0.50	0.41	0.46	0.39	1.00	0.41	0.41	0.45	0.68
PEP	0.48	0.28	0.40	0.45	0.39	0.39	0.32	0.37	0.36	0.44	0.50	0.61	0.41	1.00	0.61	0.67	0.68
PG	0.48	0.27	0.45	0.44	0.37	0.41	0.33	0.36	0.35	0.44	0.51	0.71	0.41	0.61	1.00	0.58	0.68
KO	0.49	0.26	0.38	0.47	0.40	0.43	0.36	0.35	0.36	0.47	0.48	0.58	0.45	0.67	0.58	1.00	0.68
Portfolio	0.83	0.58	0.55	0.58	0.59	0.59	0.62	0.63	0.65	0.63	0.63	0.66	0.68	0.68	0.68	0.68	1.00

The correlation results are calculated based on daily price changes starting from Mar 20, 2008

Go to the full Correlations tool for more customization options

Performance Analysis

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Low Draw Down - 15 Uncorrelated Defensive - Modified

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Expense Ratio

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

Risk-Adjusted Performance Indicators

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table

Performance Analysis

Risk Analysis

Optimization

Factor Model

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