2 Log Sharpe 2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification
2 Log Sharpe 2
Currency in USD · Last updated May 23, 2025
Asset Allocation
| Position | Category/Sector | Target 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% |
Every 3 months
Performance
Performance Chart
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The earliest data available for this chart is Nov 18, 2004, corresponding to the inception date of GLD
Returns By Period
As of May 23, 2025, the 2 Log Sharpe 2 returned 6.87% Year-To-Date and 24.62% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -0.67% | 10.48% | -1.79% | 10.08% | 14.60% | 10.64% |
| 2 Log Sharpe 2 | 6.87% | 2.82% | 2.55% | 17.48% | 27.25% | 24.62% |
| Portfolio components: | ||||||
AAPL Apple Inc | -19.40% | 0.94% | -11.67% | 5.97% | 21.04% | 21.10% |
PGR The Progressive Corporation | 18.00% | 4.54% | 7.33% | 37.14% | 32.61% | 29.20% |
UNH UnitedHealth Group Incorporated | -41.10% | -30.55% | -49.94% | -42.19% | 1.95% | 11.20% |
CB Chubb Limited | 4.23% | -1.15% | 1.35% | 8.76% | 21.72% | 12.37% |
COST Costco Wholesale Corporation | 11.38% | 4.11% | 6.79% | 27.63% | 29.60% | 23.78% |
DPZ Domino's Pizza, Inc. | 15.36% | -0.80% | 8.96% | -4.47% | 6.54% | 17.28% |
ETN Eaton Corporation plc | -2.56% | 20.71% | -12.83% | -3.22% | 34.97% | 19.09% |
GLD SPDR Gold Trust | 25.18% | -2.57% | 22.89% | 37.71% | 13.18% | 10.12% |
LLY Eli Lilly and Company | -7.01% | -13.40% | -4.27% | -10.31% | 38.06% | 27.69% |
NVDA NVIDIA Corporation | -1.08% | 34.32% | -9.42% | 39.93% | 71.34% | 74.59% |
TOL Toll Brothers, Inc. | -16.94% | 6.84% | -31.34% | -11.92% | 30.64% | 11.74% |
RGR Sturm, Ruger & Company, Inc. | 2.52% | -9.25% | -3.38% | -15.60% | -4.27% | -0.30% |
MSFT Microsoft Corporation | 8.33% | 24.23% | 10.59% | 6.46% | 20.94% | 27.31% |
ORLY O'Reilly Automotive, Inc. | 15.09% | -2.06% | 13.29% | 37.66% | 27.50% | 19.79% |
WMT Walmart Inc. | 6.73% | 1.38% | 9.33% | 48.53% | 19.98% | 16.49% |
AMD Advanced Micro Devices, Inc. | -8.35% | 28.34% | -19.48% | -33.11% | 14.95% | 47.44% |
CINF Cincinnati Financial Corporation | 1.72% | 9.29% | -5.07% | 25.35% | 23.66% | 14.25% |
CTAS Cintas Corporation | 21.78% | 7.88% | 0.45% | 27.30% | 31.10% | 27.62% |
TJX The TJX Companies, Inc. | 7.93% | 3.41% | 8.87% | 29.80% | 21.03% | 16.07% |
*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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.67% | 3.46% | -2.06% | 2.43% | -0.67% | 6.87% | |||||||
| 2024 | 4.40% | 6.87% | 5.52% | -2.31% | 5.08% | 4.10% | 1.66% | 4.82% | 1.51% | -1.38% | 5.46% | -6.23% | 32.73% |
| 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% |
Expense Ratio
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 86, 2 Log Sharpe 2 is among the top 14% 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 | 0.18 | 0.49 | 1.07 | 0.18 | 0.56 |
PGR The Progressive Corporation | 1.52 | 2.00 | 1.28 | 2.98 | 7.59 |
UNH UnitedHealth Group Incorporated | -0.95 | -1.13 | 0.80 | -0.75 | -2.50 |
CB Chubb Limited | 0.43 | 0.80 | 1.10 | 0.71 | 1.75 |
COST Costco Wholesale Corporation | 1.27 | 1.83 | 1.25 | 1.68 | 4.85 |
DPZ Domino's Pizza, Inc. | -0.14 | -0.02 | 1.00 | -0.20 | -0.33 |
ETN Eaton Corporation plc | -0.08 | 0.18 | 1.03 | -0.07 | -0.17 |
GLD SPDR Gold Trust | 2.13 | 2.65 | 1.34 | 4.31 | 10.98 |
LLY Eli Lilly and Company | -0.27 | -0.04 | 0.99 | -0.32 | -0.61 |
NVDA NVIDIA Corporation | 0.67 | 1.26 | 1.16 | 1.09 | 2.67 |
TOL Toll Brothers, Inc. | -0.32 | -0.54 | 0.94 | -0.43 | -0.90 |
RGR Sturm, Ruger & Company, Inc. | -0.52 | -0.46 | 0.93 | -0.25 | -0.97 |
MSFT Microsoft Corporation | 0.25 | 0.62 | 1.08 | 0.33 | 0.73 |
ORLY O'Reilly Automotive, Inc. | 1.82 | 2.56 | 1.31 | 2.05 | 11.80 |
WMT Walmart Inc. | 2.04 | 2.87 | 1.39 | 2.33 | 7.62 |
AMD Advanced Micro Devices, Inc. | -0.63 | -0.73 | 0.91 | -0.53 | -1.10 |
CINF Cincinnati Financial Corporation | 1.01 | 1.48 | 1.20 | 1.31 | 3.31 |
CTAS Cintas Corporation | 1.09 | 1.53 | 1.24 | 1.43 | 3.63 |
TJX The TJX Companies, Inc. | 1.60 | 2.65 | 1.33 | 3.10 | 9.93 |
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Dividends
Dividend yield
2 Log Sharpe 2 provided a 0.81% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.81% | 0.69% | 0.85% | 1.42% | 1.20% | 1.44% | 1.22% | 1.33% | 1.41% | 1.54% | 1.63% | 1.90% |
| Portfolio components: | ||||||||||||
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% |
PGR The Progressive Corporation | 1.77% | 0.48% | 0.25% | 0.31% | 6.23% | 2.68% | 3.89% | 1.86% | 1.21% | 2.50% | 2.16% | 5.53% |
UNH UnitedHealth Group Incorporated | 2.83% | 1.62% | 1.38% | 1.21% | 1.12% | 1.38% | 1.41% | 1.38% | 1.30% | 1.48% | 1.59% | 1.39% |
CB Chubb Limited | 1.27% | 1.30% | 1.51% | 1.49% | 1.65% | 2.01% | 1.91% | 2.24% | 1.93% | 2.07% | 2.28% | 2.79% |
COST Costco Wholesale Corporation | 0.47% | 0.49% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% | 0.97% |
DPZ Domino's Pizza, Inc. | 1.30% | 1.44% | 1.17% | 1.27% | 0.67% | 0.81% | 0.89% | 0.89% | 0.97% | 0.95% | 1.11% | 1.06% |
ETN Eaton Corporation plc | 1.23% | 1.13% | 1.43% | 2.06% | 1.76% | 2.43% | 3.00% | 3.85% | 3.04% | 3.40% | 4.23% | 2.88% |
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 | 0.78% | 0.67% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.95% | 2.46% | 2.77% | 2.37% | 2.84% |
NVDA NVIDIA Corporation | 0.02% | 0.02% | 0.03% | 0.11% | 0.05% | 0.12% | 0.27% | 0.46% | 0.29% | 0.45% | 1.20% | 1.70% |
TOL Toll Brothers, Inc. | 0.90% | 0.71% | 0.81% | 1.54% | 0.86% | 1.01% | 1.11% | 1.25% | 0.50% | 0.00% | 0.00% | 0.00% |
RGR Sturm, Ruger & Company, Inc. | 2.01% | 1.95% | 2.79% | 14.66% | 4.94% | 10.00% | 1.74% | 2.07% | 2.44% | 3.28% | 1.85% | 4.68% |
MSFT Microsoft Corporation | 0.71% | 0.73% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% | 2.48% |
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. | 0.92% | 0.92% | 1.45% | 1.58% | 1.52% | 1.50% | 1.78% | 2.23% | 2.07% | 2.89% | 3.20% | 2.24% |
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 | 2.27% | 2.25% | 2.90% | 2.70% | 2.21% | 2.75% | 2.13% | 2.74% | 3.33% | 2.53% | 3.89% | 3.40% |
CTAS Cintas Corporation | 0.70% | 0.80% | 0.83% | 0.93% | 0.77% | 0.79% | 0.95% | 1.22% | 1.04% | 1.15% | 1.15% | 2.17% |
TJX The TJX Companies, Inc. | 1.20% | 1.21% | 1.38% | 1.44% | 1.37% | 0.34% | 1.45% | 1.66% | 1.57% | 1.32% | 1.14% | 0.98% |
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 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 2.04%.
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 chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 19 assets, with an effective number of assets of 13.86, 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 | GLD | RGR | UNH | AMD | DPZ | LLY | WMT | NVDA | AAPL | TOL | ORLY | PGR | CB | TJX | COST | MSFT | CINF | ETN | CTAS | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.06 | 0.35 | 0.47 | 0.52 | 0.46 | 0.49 | 0.45 | 0.59 | 0.59 | 0.56 | 0.49 | 0.54 | 0.56 | 0.56 | 0.57 | 0.69 | 0.65 | 0.71 | 0.70 | 0.88 |
| GLD | 0.06 | 1.00 | 0.04 | -0.00 | 0.04 | 0.01 | 0.01 | -0.01 | 0.04 | 0.02 | 0.05 | -0.03 | -0.00 | -0.00 | -0.03 | 0.00 | 0.02 | -0.00 | 0.05 | -0.01 | 0.15 |
| RGR | 0.35 | 0.04 | 1.00 | 0.18 | 0.20 | 0.23 | 0.17 | 0.19 | 0.21 | 0.22 | 0.28 | 0.23 | 0.23 | 0.24 | 0.28 | 0.23 | 0.22 | 0.29 | 0.28 | 0.28 | 0.44 |
| UNH | 0.47 | -0.00 | 0.18 | 1.00 | 0.21 | 0.26 | 0.34 | 0.28 | 0.22 | 0.27 | 0.26 | 0.32 | 0.34 | 0.35 | 0.32 | 0.31 | 0.31 | 0.37 | 0.34 | 0.38 | 0.48 |
| AMD | 0.52 | 0.04 | 0.20 | 0.21 | 1.00 | 0.28 | 0.23 | 0.19 | 0.56 | 0.40 | 0.33 | 0.25 | 0.23 | 0.22 | 0.29 | 0.30 | 0.43 | 0.27 | 0.38 | 0.37 | 0.50 |
| DPZ | 0.46 | 0.01 | 0.23 | 0.26 | 0.28 | 1.00 | 0.27 | 0.27 | 0.31 | 0.30 | 0.33 | 0.35 | 0.26 | 0.27 | 0.35 | 0.35 | 0.33 | 0.32 | 0.34 | 0.39 | 0.52 |
| LLY | 0.49 | 0.01 | 0.17 | 0.34 | 0.23 | 0.27 | 1.00 | 0.32 | 0.25 | 0.26 | 0.24 | 0.30 | 0.34 | 0.34 | 0.30 | 0.35 | 0.36 | 0.36 | 0.35 | 0.39 | 0.56 |
| WMT | 0.45 | -0.01 | 0.19 | 0.28 | 0.19 | 0.27 | 0.32 | 1.00 | 0.22 | 0.25 | 0.28 | 0.37 | 0.34 | 0.36 | 0.40 | 0.56 | 0.33 | 0.37 | 0.31 | 0.37 | 0.50 |
| NVDA | 0.59 | 0.04 | 0.21 | 0.22 | 0.56 | 0.31 | 0.25 | 0.22 | 1.00 | 0.45 | 0.35 | 0.29 | 0.26 | 0.23 | 0.30 | 0.34 | 0.51 | 0.28 | 0.42 | 0.41 | 0.61 |
| AAPL | 0.59 | 0.02 | 0.22 | 0.27 | 0.40 | 0.30 | 0.26 | 0.25 | 0.45 | 1.00 | 0.35 | 0.31 | 0.28 | 0.27 | 0.31 | 0.37 | 0.51 | 0.31 | 0.39 | 0.41 | 0.61 |
| TOL | 0.56 | 0.05 | 0.28 | 0.26 | 0.33 | 0.33 | 0.24 | 0.28 | 0.35 | 0.35 | 1.00 | 0.36 | 0.34 | 0.36 | 0.39 | 0.36 | 0.34 | 0.41 | 0.46 | 0.43 | 0.55 |
| ORLY | 0.49 | -0.03 | 0.23 | 0.32 | 0.25 | 0.35 | 0.30 | 0.37 | 0.29 | 0.31 | 0.36 | 1.00 | 0.35 | 0.37 | 0.47 | 0.44 | 0.34 | 0.40 | 0.36 | 0.45 | 0.61 |
| PGR | 0.54 | -0.00 | 0.23 | 0.34 | 0.23 | 0.26 | 0.34 | 0.34 | 0.26 | 0.28 | 0.34 | 0.35 | 1.00 | 0.54 | 0.36 | 0.37 | 0.35 | 0.59 | 0.40 | 0.44 | 0.55 |
| CB | 0.56 | -0.00 | 0.24 | 0.35 | 0.22 | 0.27 | 0.34 | 0.36 | 0.23 | 0.27 | 0.36 | 0.37 | 0.54 | 1.00 | 0.41 | 0.36 | 0.34 | 0.68 | 0.43 | 0.46 | 0.54 |
| TJX | 0.56 | -0.03 | 0.28 | 0.32 | 0.29 | 0.35 | 0.30 | 0.40 | 0.30 | 0.31 | 0.39 | 0.47 | 0.36 | 0.41 | 1.00 | 0.48 | 0.36 | 0.44 | 0.43 | 0.48 | 0.59 |
| COST | 0.57 | 0.00 | 0.23 | 0.31 | 0.30 | 0.35 | 0.35 | 0.56 | 0.34 | 0.37 | 0.36 | 0.44 | 0.37 | 0.36 | 0.48 | 1.00 | 0.43 | 0.40 | 0.38 | 0.46 | 0.61 |
| MSFT | 0.69 | 0.02 | 0.22 | 0.31 | 0.43 | 0.33 | 0.36 | 0.33 | 0.51 | 0.51 | 0.34 | 0.34 | 0.35 | 0.34 | 0.36 | 0.43 | 1.00 | 0.39 | 0.45 | 0.51 | 0.69 |
| CINF | 0.65 | -0.00 | 0.29 | 0.37 | 0.27 | 0.32 | 0.36 | 0.37 | 0.28 | 0.31 | 0.41 | 0.40 | 0.59 | 0.68 | 0.44 | 0.40 | 0.39 | 1.00 | 0.50 | 0.52 | 0.60 |
| ETN | 0.71 | 0.05 | 0.28 | 0.34 | 0.38 | 0.34 | 0.35 | 0.31 | 0.42 | 0.39 | 0.46 | 0.36 | 0.40 | 0.43 | 0.43 | 0.38 | 0.45 | 0.50 | 1.00 | 0.55 | 0.64 |
| CTAS | 0.70 | -0.01 | 0.28 | 0.38 | 0.37 | 0.39 | 0.39 | 0.37 | 0.41 | 0.41 | 0.43 | 0.45 | 0.44 | 0.46 | 0.48 | 0.46 | 0.51 | 0.52 | 0.55 | 1.00 | 0.74 |
| Portfolio | 0.88 | 0.15 | 0.44 | 0.48 | 0.50 | 0.52 | 0.56 | 0.50 | 0.61 | 0.61 | 0.55 | 0.61 | 0.55 | 0.54 | 0.59 | 0.61 | 0.69 | 0.60 | 0.64 | 0.74 | 1.00 |
The correlation results are calculated based on daily price changes starting from Nov 19, 2004