2 Log Sharpe 2

The chart shows the growth of an initial investment of $10,000 in 2 Log Sharpe 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 Every 3 months.

As of Jun 6, 2026, the 2 Log Sharpe 2 returned 3.80% Year-To-Date and 25.17% of annualized return in the last 10 years.

Based on dividend-adjusted daily data since Nov 19, 2004, 2 Log Sharpe 2's average daily return is +0.08%, while the average monthly return is +1.61%. At this rate, an investment would double in approximately 3.6 years.

Historically, 71% of months were positive and 29% were negative. The best month was Apr 2020 with a return of +12.6%, while the worst month was Oct 2008 at -13.7%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 4 months.

On a daily basis, 2 Log Sharpe 2 closed higher 55% of trading days. The best single day was Oct 13, 2008 with a return of +10.0%, while the worst single day was Mar 16, 2020 at -10.7%.

2 Log Sharpe 2 has an annualized alpha of 12.35%, beta of 0.79, and R2 of 0.85 versus S&P 500 Index. Calculated based on daily prices since November 19, 2004.

• This portfolio captured 108.23% of S&P 500 Index gains but only 53.85% of its losses - a favorable profile for investors.
• This portfolio generated an annualized alpha of 12.35% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.

2 Log Sharpe 2 has an expense ratio of 0.05%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

2 Log Sharpe 2 ranks 21 for risk / return — below 21% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

The table below presents risk-adjusted performance metrics for 2 Log Sharpe 2 and compares them with S&P 500 Index.

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.

2 Log Sharpe 2 Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

• 1-Year: 1.48
• 5-Year: 1.62
• 10-Year: 1.64
• All Time: 1.25

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 1.63 to 2.51, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of 2 Log Sharpe 2 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

2 Log Sharpe 2 provided a 1.06% dividend yield over the last twelve months.

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.

The table below displays the maximum drawdowns of the 2 Log Sharpe 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 2 Log Sharpe 2 was 42.34%, occurring on Nov 20, 2008. Recovery took 245 trading sessions.

The current 2 Log Sharpe 2 drawdown is 0.74%.

The chart below shows the rolling one-month volatility.