2 Log Sharpe 2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification
2 Log Sharpe 2
Last updated Dec 19, 2024
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
AAPL Apple Inc | Technology | 6.30% |
AMD Advanced Micro Devices, Inc. | Technology | 0.30% |
CB Chubb Limited | Financial Services | 3.09% |
CINF Cincinnati Financial Corporation | Financial Services | 1.13% |
COST Costco Wholesale Corporation | Consumer Defensive | 3.59% |
CTAS Cintas Corporation | Industrials | 10.02% |
DPZ Domino's Pizza, Inc. | Consumer Cyclical | 3.76% |
ETN Eaton Corporation plc | Industrials | 3.11% |
GLD SPDR Gold Trust | Precious Metals, Gold | 12.45% |
LLY Eli Lilly and Company | Healthcare | 9.90% |
MSFT Microsoft Corporation | Technology | 9.26% |
NVDA NVIDIA Corporation | Technology | 4.92% |
ORLY O'Reilly Automotive, Inc. | Consumer Cyclical | 8.29% |
PGR The Progressive Corporation | Financial Services | 5.38% |
RGR Sturm, Ruger & Company, Inc. | Industrials | 4.35% |
TJX The TJX Companies, Inc. | Consumer Cyclical | 3.98% |
TOL Toll Brothers, Inc. | Consumer Cyclical | 1.90% |
UNH UnitedHealth Group Incorporated | Healthcare | 3.65% |
WMT Walmart Inc. | Consumer Defensive | 4.62% |
Quarterly
Performance
Performance Chart
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 Quarterly
2 Log Sharpe 2
Benchmark (^GSPC)
Portfolio components
The earliest data available for this chart is Nov 18, 2004, corresponding to the inception date of GLD
Returns By Period
As of Dec 19, 2024, the 2 Log Sharpe 2 returned 34.92% Year-To-Date and 25.05% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 23.00% | -0.84% | 7.20% | 24.88% | 12.77% | 10.96% |
| 2 Log Sharpe 2 | 33.35% | -2.51% | 5.12% | 36.72% | 27.76% | 24.87% |
| Portfolio components: | ||||||
AAPL Apple Inc | 30.38% | 9.42% | 19.40% | 28.84% | 29.91% | 25.86% |
PGR The Progressive Corporation | 51.46% | -5.82% | 13.79% | 55.08% | 30.28% | 27.74% |
UNH UnitedHealth Group Incorporated | -3.59% | -13.06% | 3.90% | -1.63% | 12.98% | 18.94% |
CB Chubb Limited | 22.48% | -3.45% | 3.17% | 26.50% | 13.98% | 11.21% |
COST Costco Wholesale Corporation | 45.49% | 2.65% | 11.01% | 48.60% | 28.73% | 23.51% |
DPZ Domino's Pizza, Inc. | 5.11% | -2.45% | -17.97% | 7.46% | 9.17% | 17.40% |
ETN Eaton Corporation plc | 41.10% | -7.71% | 4.48% | 45.24% | 31.67% | 20.45% |
GLD SPDR Gold Trust | 25.33% | -1.50% | 9.83% | 27.38% | 11.45% | 7.86% |
LLY Eli Lilly and Company | 30.80% | 3.81% | -14.24% | 33.72% | 43.70% | 29.14% |
NVDA NVIDIA Corporation | 163.96% | -11.10% | -0.06% | 171.70% | 85.71% | 74.71% |
TOL Toll Brothers, Inc. | 23.22% | -17.15% | 9.07% | 24.03% | 27.37% | 15.54% |
RGR Sturm, Ruger & Company, Inc. | -20.44% | -7.05% | -15.74% | -18.98% | 0.23% | 4.22% |
MSFT Microsoft Corporation | 17.09% | 4.81% | -1.57% | 18.80% | 23.82% | 26.70% |
ORLY O'Reilly Automotive, Inc. | 27.82% | 1.15% | 12.38% | 27.80% | 22.51% | 20.12% |
WMT Walmart Inc. | 80.15% | 8.26% | 38.25% | 84.77% | 20.31% | 14.81% |
AMD Advanced Micro Devices, Inc. | -19.35% | -14.71% | -26.52% | -12.25% | 21.97% | 46.34% |
CINF Cincinnati Financial Corporation | 41.03% | -5.01% | 24.69% | 44.49% | 9.34% | 13.83% |
CTAS Cintas Corporation | 22.30% | -16.14% | 3.89% | 33.12% | 23.10% | 26.16% |
TJX The TJX Companies, Inc. | 31.03% | 1.41% | 10.56% | 36.48% | 16.67% | 15.31% |
*Annualized
Monthly Returns
The table below presents the monthly returns of 2 Log Sharpe 2, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 4.40% | 6.87% | 5.52% | -2.31% | 5.08% | 4.10% | 1.66% | 4.82% | 1.51% | -1.38% | 5.46% | 33.35% | |
| 2023 | 4.14% | -0.54% | 6.65% | 2.98% | 2.60% | 6.02% | 1.64% | 2.50% | -3.18% | 3.01% | 5.97% | 2.38% | 39.48% |
| 2022 | -6.75% | -0.44% | 5.46% | -6.36% | 0.33% | -3.76% | 7.25% | -4.75% | -4.80% | 8.90% | 6.83% | -3.88% | -3.73% |
| 2021 | -0.64% | 0.06% | 2.39% | 5.19% | 3.06% | 5.18% | 3.14% | 3.76% | -5.69% | 8.87% | 1.67% | 5.35% | 36.59% |
| 2020 | 2.66% | -4.04% | -7.33% | 12.60% | 6.81% | 5.11% | 7.59% | 6.20% | -2.10% | -3.88% | 6.48% | 4.59% | 38.21% |
| 2019 | 6.04% | 4.13% | 2.75% | 2.44% | -3.26% | 5.81% | 2.07% | 0.17% | 1.50% | 4.14% | 2.82% | 3.97% | 37.44% |
| 2018 | 5.57% | -2.60% | 0.12% | 1.31% | 4.46% | -0.24% | 5.39% | 7.80% | 0.36% | -4.90% | 0.19% | -5.50% | 11.59% |
| 2017 | 2.19% | 4.02% | 2.02% | 0.42% | 4.15% | -1.12% | 1.77% | 0.31% | 2.79% | 2.60% | 5.13% | 0.52% | 27.61% |
| 2016 | -1.90% | 2.75% | 5.12% | -2.40% | 3.55% | 2.56% | 6.24% | 0.17% | 0.38% | -1.38% | 1.75% | 3.21% | 21.51% |
| 2015 | 0.60% | 5.93% | -0.89% | 1.20% | 2.16% | -0.60% | 1.50% | -1.54% | 0.72% | 5.89% | -0.51% | 0.39% | 15.55% |
| 2014 | -1.72% | 6.26% | -0.45% | 0.63% | 1.12% | 1.85% | -2.48% | 5.21% | -0.78% | 4.01% | 3.87% | 0.47% | 19.06% |
| 2013 | 3.34% | 2.10% | 2.24% | 2.23% | 1.28% | -2.69% | 5.38% | 0.39% | 3.09% | 1.70% | 4.28% | 0.55% | 26.40% |
Expense Ratio
2 Log Sharpe 2 has an expense ratio of 0.05%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 96, 2 Log Sharpe 2 is among the top 4% 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 | |
|---|---|---|---|---|---|
AAPL Apple Inc | 1.22 | 1.83 | 1.23 | 1.65 | 4.30 |
PGR The Progressive Corporation | 2.56 | 3.59 | 1.45 | 4.88 | 17.82 |
UNH UnitedHealth Group Incorporated | -0.12 | 0.02 | 1.00 | -0.14 | -0.41 |
CB Chubb Limited | 1.44 | 2.03 | 1.27 | 2.54 | 6.70 |
COST Costco Wholesale Corporation | 2.38 | 2.96 | 1.42 | 4.37 | 11.30 |
DPZ Domino's Pizza, Inc. | 0.23 | 0.50 | 1.07 | 0.24 | 0.51 |
ETN Eaton Corporation plc | 1.52 | 2.06 | 1.28 | 2.16 | 6.79 |
GLD SPDR Gold Trust | 1.78 | 2.38 | 1.31 | 3.29 | 9.45 |
LLY Eli Lilly and Company | 1.05 | 1.62 | 1.21 | 1.31 | 3.84 |
NVDA NVIDIA Corporation | 3.12 | 3.43 | 1.43 | 6.05 | 18.75 |
TOL Toll Brothers, Inc. | 0.64 | 1.09 | 1.14 | 0.90 | 2.98 |
RGR Sturm, Ruger & Company, Inc. | -0.87 | -1.11 | 0.86 | -0.38 | -1.82 |
MSFT Microsoft Corporation | 0.91 | 1.25 | 1.17 | 1.16 | 2.67 |
ORLY O'Reilly Automotive, Inc. | 1.35 | 1.95 | 1.25 | 1.44 | 3.71 |
WMT Walmart Inc. | 4.77 | 6.96 | 1.91 | 9.05 | 53.75 |
AMD Advanced Micro Devices, Inc. | -0.32 | -0.14 | 0.98 | -0.35 | -0.62 |
CINF Cincinnati Financial Corporation | 1.96 | 2.57 | 1.36 | 1.70 | 11.86 |
CTAS Cintas Corporation | 1.38 | 1.88 | 1.32 | 1.64 | 12.12 |
TJX The TJX Companies, Inc. | 2.05 | 2.94 | 1.37 | 4.01 | 11.22 |
2 Log Sharpe 2
Benchmark (^GSPC)
Portfolio components
Dividends
Dividend yield
2 Log Sharpe 2 provided a 0.74% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.74% | 0.86% | 1.42% | 1.20% | 1.44% | 1.22% | 1.33% | 1.41% | 1.54% | 1.63% | 1.90% | 1.59% |
| Portfolio components: | ||||||||||||
AAPL Apple Inc | 0.40% | 0.49% | 0.70% | 0.49% | 0.61% | 1.04% | 1.79% | 1.45% | 1.93% | 1.93% | 1.67% | 2.10% |
PGR The Progressive Corporation | 0.48% | 0.25% | 0.31% | 6.23% | 2.68% | 3.89% | 1.86% | 1.21% | 2.50% | 2.16% | 5.53% | 1.05% |
UNH UnitedHealth Group Incorporated | 1.64% | 1.38% | 1.21% | 1.12% | 1.38% | 1.41% | 1.38% | 1.30% | 1.48% | 1.59% | 1.39% | 1.40% |
CB Chubb Limited | 1.31% | 1.51% | 1.49% | 1.65% | 2.01% | 1.91% | 2.24% | 1.93% | 2.07% | 2.28% | 2.79% | 1.46% |
COST Costco Wholesale Corporation | 2.04% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% | 0.97% | 1.01% |
DPZ Domino's Pizza, Inc. | 1.41% | 1.17% | 1.27% | 0.67% | 0.81% | 0.89% | 0.89% | 0.97% | 0.95% | 1.11% | 1.06% | 1.15% |
ETN Eaton Corporation plc | 1.12% | 1.43% | 2.06% | 1.76% | 2.43% | 3.00% | 3.85% | 3.04% | 3.40% | 4.23% | 2.88% | 2.21% |
GLD SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
LLY Eli Lilly and Company | 0.69% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.95% | 2.46% | 2.77% | 2.37% | 2.84% | 3.84% |
NVDA NVIDIA Corporation | 0.03% | 0.03% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.29% | 0.45% | 1.20% | 1.70% | 1.94% |
TOL Toll Brothers, Inc. | 0.72% | 0.81% | 1.54% | 0.86% | 1.01% | 1.11% | 1.25% | 0.50% | 0.00% | 0.00% | 0.00% | 0.00% |
RGR Sturm, Ruger & Company, Inc. | 1.94% | 2.79% | 14.66% | 4.94% | 10.00% | 1.74% | 2.07% | 2.44% | 3.28% | 1.85% | 4.68% | 2.91% |
MSFT Microsoft Corporation | 0.70% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% | 2.48% | 2.59% |
ORLY O'Reilly Automotive, 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% |
WMT Walmart Inc. | 0.89% | 1.45% | 1.58% | 1.52% | 1.50% | 1.78% | 2.23% | 2.07% | 2.89% | 3.20% | 2.24% | 2.39% |
AMD Advanced Micro Devices, 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% |
CINF Cincinnati Financial Corporation | 2.28% | 2.90% | 2.70% | 2.21% | 2.75% | 2.13% | 2.74% | 3.33% | 2.53% | 3.89% | 3.40% | 3.16% |
CTAS Cintas Corporation | 0.80% | 0.83% | 0.93% | 0.77% | 0.79% | 0.95% | 1.22% | 1.04% | 1.15% | 1.15% | 2.17% | 1.29% |
TJX The TJX Companies, Inc. | 1.20% | 1.38% | 1.44% | 1.37% | 0.34% | 1.45% | 1.66% | 1.57% | 1.32% | 1.14% | 0.98% | 0.86% |
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.
2 Log Sharpe 2
Benchmark (^GSPC)
Portfolio components
Worst Drawdowns
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 42.37%, occurring on Nov 20, 2008. Recovery took 245 trading sessions.
The current 2 Log Sharpe 2 drawdown is 5.35%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -42.37% | Dec 27, 2007 | 229 | Nov 20, 2008 | 245 | Nov 11, 2009 | 474 |
| -25.63% | Feb 21, 2020 | 22 | Mar 23, 2020 | 48 | Jun 1, 2020 | 70 |
| -15.49% | Dec 30, 2021 | 118 | Jun 17, 2022 | 115 | Dec 1, 2022 | 233 |
| -15.26% | Sep 26, 2018 | 62 | Dec 24, 2018 | 40 | Feb 22, 2019 | 102 |
| -11.93% | Apr 7, 2006 | 70 | Jul 18, 2006 | 49 | Sep 26, 2006 | 119 |
Volatility
Volatility Chart
The current 2 Log Sharpe 2 volatility is 3.47%, 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 Log Sharpe 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.
| GLD | RGR | UNH | LLY | AMD | DPZ | WMT | AAPL | NVDA | TOL | ORLY | PGR | CB | TJX | COST | MSFT | ETN | CINF | CTAS | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| GLD | 1.00 | 0.04 | -0.01 | 0.01 | 0.04 | 0.00 | -0.01 | 0.03 | 0.04 | 0.05 | -0.03 | -0.00 | -0.00 | -0.03 | 0.00 | 0.02 | 0.05 | -0.00 | -0.01 |
| RGR | 0.04 | 1.00 | 0.18 | 0.17 | 0.21 | 0.23 | 0.19 | 0.21 | 0.21 | 0.28 | 0.23 | 0.23 | 0.24 | 0.28 | 0.24 | 0.22 | 0.29 | 0.29 | 0.28 |
| UNH | -0.01 | 0.18 | 1.00 | 0.35 | 0.21 | 0.26 | 0.28 | 0.28 | 0.23 | 0.26 | 0.32 | 0.34 | 0.36 | 0.32 | 0.31 | 0.32 | 0.35 | 0.38 | 0.38 |
| LLY | 0.01 | 0.17 | 0.35 | 1.00 | 0.23 | 0.27 | 0.32 | 0.26 | 0.25 | 0.24 | 0.30 | 0.34 | 0.34 | 0.29 | 0.34 | 0.36 | 0.35 | 0.36 | 0.39 |
| AMD | 0.04 | 0.21 | 0.21 | 0.23 | 1.00 | 0.28 | 0.19 | 0.39 | 0.56 | 0.33 | 0.26 | 0.23 | 0.23 | 0.29 | 0.30 | 0.43 | 0.37 | 0.27 | 0.38 |
| DPZ | 0.00 | 0.23 | 0.26 | 0.27 | 0.28 | 1.00 | 0.27 | 0.30 | 0.32 | 0.33 | 0.35 | 0.26 | 0.27 | 0.35 | 0.35 | 0.33 | 0.34 | 0.32 | 0.39 |
| WMT | -0.01 | 0.19 | 0.28 | 0.32 | 0.19 | 0.27 | 1.00 | 0.25 | 0.22 | 0.28 | 0.37 | 0.34 | 0.36 | 0.40 | 0.55 | 0.33 | 0.31 | 0.38 | 0.36 |
| AAPL | 0.03 | 0.21 | 0.28 | 0.26 | 0.39 | 0.30 | 0.25 | 1.00 | 0.45 | 0.34 | 0.31 | 0.28 | 0.27 | 0.31 | 0.37 | 0.51 | 0.39 | 0.31 | 0.41 |
| NVDA | 0.04 | 0.21 | 0.23 | 0.25 | 0.56 | 0.32 | 0.22 | 0.45 | 1.00 | 0.35 | 0.30 | 0.26 | 0.24 | 0.30 | 0.35 | 0.50 | 0.41 | 0.28 | 0.42 |
| TOL | 0.05 | 0.28 | 0.26 | 0.24 | 0.33 | 0.33 | 0.28 | 0.34 | 0.35 | 1.00 | 0.36 | 0.34 | 0.36 | 0.39 | 0.35 | 0.34 | 0.46 | 0.41 | 0.43 |
| ORLY | -0.03 | 0.23 | 0.32 | 0.30 | 0.26 | 0.35 | 0.37 | 0.31 | 0.30 | 0.36 | 1.00 | 0.35 | 0.36 | 0.47 | 0.43 | 0.34 | 0.37 | 0.40 | 0.46 |
| PGR | -0.00 | 0.23 | 0.34 | 0.34 | 0.23 | 0.26 | 0.34 | 0.28 | 0.26 | 0.34 | 0.35 | 1.00 | 0.54 | 0.36 | 0.37 | 0.36 | 0.41 | 0.59 | 0.44 |
| CB | -0.00 | 0.24 | 0.36 | 0.34 | 0.23 | 0.27 | 0.36 | 0.27 | 0.24 | 0.36 | 0.36 | 0.54 | 1.00 | 0.41 | 0.36 | 0.34 | 0.45 | 0.68 | 0.46 |
| TJX | -0.03 | 0.28 | 0.32 | 0.29 | 0.29 | 0.35 | 0.40 | 0.31 | 0.30 | 0.39 | 0.47 | 0.36 | 0.41 | 1.00 | 0.47 | 0.36 | 0.43 | 0.44 | 0.48 |
| COST | 0.00 | 0.24 | 0.31 | 0.34 | 0.30 | 0.35 | 0.55 | 0.37 | 0.35 | 0.35 | 0.43 | 0.37 | 0.36 | 0.47 | 1.00 | 0.43 | 0.39 | 0.40 | 0.46 |
| MSFT | 0.02 | 0.22 | 0.32 | 0.36 | 0.43 | 0.33 | 0.33 | 0.51 | 0.50 | 0.34 | 0.34 | 0.36 | 0.34 | 0.36 | 0.43 | 1.00 | 0.44 | 0.39 | 0.52 |
| ETN | 0.05 | 0.29 | 0.35 | 0.35 | 0.37 | 0.34 | 0.31 | 0.39 | 0.41 | 0.46 | 0.37 | 0.41 | 0.45 | 0.43 | 0.39 | 0.44 | 1.00 | 0.51 | 0.55 |
| CINF | -0.00 | 0.29 | 0.38 | 0.36 | 0.27 | 0.32 | 0.38 | 0.31 | 0.28 | 0.41 | 0.40 | 0.59 | 0.68 | 0.44 | 0.40 | 0.39 | 0.51 | 1.00 | 0.52 |
| CTAS | -0.01 | 0.28 | 0.38 | 0.39 | 0.38 | 0.39 | 0.36 | 0.41 | 0.42 | 0.43 | 0.46 | 0.44 | 0.46 | 0.48 | 0.46 | 0.52 | 0.55 | 0.52 | 1.00 |
The correlation results are calculated based on daily price changes starting from Nov 19, 2004