2 Log Sharpe 2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification
2 Log Sharpe 2
Last updated Apr 4, 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% |
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 every 3 months.
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 Apr 4, 2025, the 2 Log Sharpe 2 returned 3.62% Year-To-Date and 24.65% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -8.25% | -6.60% | -5.32% | 3.55% | 16.80% | 10.02% |
| 2 Log Sharpe 2 | -15.45% | -9.54% | -9.79% | 15.36% | 40.47% | 28.69% |
| Portfolio components: | ||||||
AAPL Apple Inc | -18.77% | -13.88% | -9.76% | 20.34% | 28.34% | 21.78% |
PGR The Progressive Corporation | 22.16% | 1.35% | 16.03% | 39.00% | 33.26% | 29.85% |
UNH UnitedHealth Group Incorporated | 7.29% | 14.36% | -8.08% | 19.43% | 20.51% | 18.30% |
CB Chubb Limited | 9.81% | 6.78% | 5.50% | 20.27% | 26.30% | 12.72% |
COST Costco Wholesale Corporation | 5.66% | -6.73% | 10.71% | 37.79% | 29.61% | 22.48% |
DPZ Domino's Pizza, Inc. | 10.94% | -3.34% | 11.00% | -7.03% | 8.43% | 17.78% |
ETN Eaton Corporation plc | -21.11% | -6.24% | -19.70% | -17.68% | 32.34% | 17.42% |
GLD SPDR Gold Trust | 18.29% | 6.45% | 16.67% | 34.63% | 13.46% | 9.41% |
LLY Eli Lilly and Company | 2.39% | -13.39% | -10.59% | 2.35% | 43.29% | 29.61% |
NVDA NVIDIA Corporation | -24.19% | -12.23% | -17.12% | 14.46% | 76.04% | 69.61% |
TOL Toll Brothers, Inc. | -21.74% | -8.99% | -35.78% | -21.36% | 42.55% | 10.47% |
RGR Sturm, Ruger & Company, Inc. | 9.65% | -1.67% | -4.52% | -14.27% | 0.19% | 1.61% |
MSFT Microsoft Corporation | -11.30% | -3.99% | -10.07% | -10.58% | 20.51% | 26.45% |
ORLY O'Reilly Automotive, Inc. | 21.60% | 6.27% | 25.46% | 27.27% | 37.45% | 20.94% |
WMT Walmart Inc. | -3.15% | -7.87% | 9.03% | 48.49% | 18.78% | 14.71% |
AMD Advanced Micro Devices, Inc. | -22.34% | -6.90% | -42.40% | -48.11% | 17.16% | 42.69% |
CINF Cincinnati Financial Corporation | 1.30% | 1.61% | 7.85% | 22.29% | 18.44% | 13.57% |
CTAS Cintas Corporation | 12.34% | 0.14% | 0.52% | 21.64% | 39.39% | 27.29% |
TJX The TJX Companies, Inc. | 4.14% | 3.03% | 9.68% | 30.67% | 26.81% | 15.36% |
*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 | -5.76% | 3.94% | -9.17% | -4.97% | -15.45% | ||||||||
| 2024 | 9.09% | 13.30% | 6.95% | -3.27% | 16.48% | 10.07% | -2.06% | 2.97% | 1.48% | 3.60% | 5.02% | -2.24% | 78.45% |
| 2023 | 10.06% | 4.02% | 11.34% | 2.33% | 11.35% | 9.26% | 4.41% | 1.43% | -7.89% | -1.61% | 10.86% | 2.97% | 73.87% |
| 2022 | -8.60% | -2.73% | 6.61% | -15.11% | -1.24% | -7.80% | 13.91% | -6.33% | -10.42% | 10.95% | 5.69% | -8.94% | -25.22% |
| 2021 | -1.35% | -2.20% | 1.71% | 8.25% | 0.40% | 11.18% | 3.65% | 5.74% | -6.19% | 10.71% | 11.78% | 1.81% | 53.62% |
| 2020 | 1.86% | -3.05% | -7.58% | 13.97% | 9.45% | 7.65% | 11.24% | 14.48% | -4.40% | -5.89% | 7.36% | 5.15% | 58.52% |
| 2019 | 6.34% | 3.25% | 6.17% | 3.08% | -7.79% | 7.98% | 2.80% | -1.50% | 4.11% | 8.40% | 5.29% | 5.48% | 51.84% |
| 2018 | 7.84% | 0.09% | -1.62% | 0.33% | 8.49% | -0.25% | 3.33% | 13.43% | 0.12% | -8.67% | -8.15% | -9.22% | 3.04% |
| 2017 | 2.40% | 5.32% | 2.69% | -0.79% | 8.55% | -3.09% | 1.27% | 2.82% | 1.63% | 5.24% | 3.21% | -0.58% | 32.09% |
| 2016 | -2.79% | 3.42% | 6.46% | -6.48% | 4.52% | 0.89% | 8.04% | -0.02% | 2.22% | 0.34% | 2.11% | 3.40% | 23.47% |
| 2015 | 2.57% | 8.22% | -1.23% | 1.25% | 2.50% | -0.77% | 0.52% | -2.84% | 0.11% | 6.47% | -1.24% | -2.92% | 12.69% |
| 2014 | -3.72% | 5.21% | -0.49% | 3.21% | 1.92% | 1.71% | -1.31% | 5.84% | -1.53% | 6.07% | 5.79% | -2.03% | 21.93% |
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.
GLD: 0.40%
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 91, 2 Log Sharpe 2 is among the top 9% 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: 0.46
^GSPC: 0.25
Portfolio: 0.81
^GSPC: 0.41
Portfolio: 1.10
^GSPC: 1.06
Portfolio: 0.76
^GSPC: 0.30
Portfolio: 2.14
^GSPC: 1.15
Portfolio components
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
AAPL Apple Inc | 0.80 | 1.18 | 1.17 | 0.97 | 3.17 |
PGR The Progressive Corporation | 1.83 | 2.65 | 1.32 | 3.63 | 8.88 |
UNH UnitedHealth Group Incorporated | 0.69 | 1.07 | 1.15 | 0.77 | 1.86 |
CB Chubb Limited | 1.02 | 1.51 | 1.19 | 1.36 | 3.48 |
COST Costco Wholesale Corporation | 1.83 | 2.41 | 1.32 | 2.12 | 7.24 |
DPZ Domino's Pizza, Inc. | -0.18 | -0.03 | 1.00 | -0.21 | -0.35 |
ETN Eaton Corporation plc | -0.46 | -0.40 | 0.94 | -0.52 | -1.38 |
GLD SPDR Gold Trust | 2.32 | 3.02 | 1.39 | 4.41 | 11.94 |
LLY Eli Lilly and Company | 0.12 | 0.40 | 1.05 | 0.16 | 0.35 |
NVDA NVIDIA Corporation | 0.24 | 0.71 | 1.09 | 0.43 | 1.14 |
TOL Toll Brothers, Inc. | -0.54 | -0.58 | 0.93 | -0.49 | -1.19 |
RGR Sturm, Ruger & Company, Inc. | -0.58 | -0.74 | 0.91 | -0.27 | -0.94 |
MSFT Microsoft Corporation | -0.50 | -0.53 | 0.93 | -0.55 | -1.14 |
ORLY O'Reilly Automotive, Inc. | 1.35 | 2.03 | 1.24 | 1.46 | 4.64 |
WMT Walmart Inc. | 2.26 | 2.99 | 1.41 | 2.51 | 8.95 |
AMD Advanced Micro Devices, Inc. | -1.03 | -1.47 | 0.82 | -0.85 | -1.84 |
CINF Cincinnati Financial Corporation | 0.97 | 1.40 | 1.18 | 1.28 | 3.28 |
CTAS Cintas Corporation | 0.98 | 1.35 | 1.21 | 1.13 | 3.09 |
TJX The TJX Companies, Inc. | 1.56 | 2.34 | 1.29 | 2.52 | 8.12 |
2 Log Sharpe 2
Benchmark (^GSPC)
Portfolio components
Dividends
Dividend yield
2 Log Sharpe 2 provided a 0.77% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.77% | 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 | 0.49% | 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 | 1.67% | 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 | 1.55% | 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 | 1.20% | 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 | 0.48% | 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. | 1.35% | 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 | 1.48% | 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 | 0.68% | 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 | 0.03% | 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. | 0.94% | 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. | 1.82% | 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 | 0.85% | 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. | 0.98% | 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 | 2.28% | 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 | 0.74% | 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.
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 49.44%, occurring on Nov 20, 2008. Recovery took 342 trading sessions.
The current 2 Log Sharpe 2 drawdown is 3.51%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -49.44% | Dec 27, 2007 | 229 | Nov 20, 2008 | 342 | Apr 5, 2010 | 571 |
| -31.59% | Dec 28, 2021 | 202 | Oct 14, 2022 | 148 | May 18, 2023 | 350 |
| -28.79% | Oct 4, 2018 | 56 | Dec 24, 2018 | 207 | Oct 21, 2019 | 263 |
| -28.1% | Feb 21, 2020 | 22 | Mar 23, 2020 | 41 | May 20, 2020 | 63 |
| -20.16% | Jan 7, 2025 | 60 | Apr 3, 2025 | — | — | — |
Volatility
Volatility Chart
The current 2 Log Sharpe 2 volatility is 10.83%, 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 | 0.01 | -0.01 | 0.03 | 0.05 | 0.05 | -0.03 | -0.00 | -0.01 | -0.03 | 0.00 | 0.02 | 0.05 | -0.00 | -0.01 |
| RGR | 0.04 | 1.00 | 0.18 | 0.17 | 0.20 | 0.23 | 0.19 | 0.21 | 0.21 | 0.28 | 0.23 | 0.23 | 0.24 | 0.28 | 0.23 | 0.22 | 0.28 | 0.29 | 0.28 |
| UNH | -0.01 | 0.18 | 1.00 | 0.34 | 0.21 | 0.26 | 0.28 | 0.27 | 0.23 | 0.26 | 0.32 | 0.34 | 0.36 | 0.32 | 0.31 | 0.31 | 0.35 | 0.38 | 0.38 |
| LLY | 0.01 | 0.17 | 0.34 | 1.00 | 0.22 | 0.27 | 0.32 | 0.26 | 0.25 | 0.24 | 0.29 | 0.34 | 0.34 | 0.29 | 0.34 | 0.36 | 0.35 | 0.36 | 0.39 |
| AMD | 0.04 | 0.20 | 0.21 | 0.22 | 1.00 | 0.28 | 0.19 | 0.39 | 0.56 | 0.33 | 0.26 | 0.23 | 0.22 | 0.29 | 0.30 | 0.43 | 0.38 | 0.27 | 0.37 |
| DPZ | 0.01 | 0.23 | 0.26 | 0.27 | 0.28 | 1.00 | 0.27 | 0.29 | 0.31 | 0.33 | 0.35 | 0.26 | 0.26 | 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 | 0.21 | 0.28 | 0.37 | 0.34 | 0.35 | 0.40 | 0.56 | 0.33 | 0.31 | 0.37 | 0.36 |
| AAPL | 0.03 | 0.21 | 0.27 | 0.26 | 0.39 | 0.29 | 0.25 | 1.00 | 0.45 | 0.35 | 0.31 | 0.28 | 0.27 | 0.31 | 0.37 | 0.51 | 0.38 | 0.31 | 0.41 |
| NVDA | 0.05 | 0.21 | 0.23 | 0.25 | 0.56 | 0.31 | 0.21 | 0.45 | 1.00 | 0.35 | 0.29 | 0.26 | 0.23 | 0.30 | 0.35 | 0.51 | 0.42 | 0.28 | 0.41 |
| TOL | 0.05 | 0.28 | 0.26 | 0.24 | 0.33 | 0.33 | 0.28 | 0.35 | 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 | 0.29 | 0.26 | 0.35 | 0.37 | 0.31 | 0.29 | 0.36 | 1.00 | 0.35 | 0.36 | 0.47 | 0.43 | 0.34 | 0.37 | 0.40 | 0.45 |
| 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 | 0.35 | 0.40 | 0.59 | 0.44 |
| CB | -0.01 | 0.24 | 0.36 | 0.34 | 0.22 | 0.26 | 0.35 | 0.27 | 0.23 | 0.36 | 0.36 | 0.54 | 1.00 | 0.41 | 0.36 | 0.34 | 0.44 | 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 | 0.48 | 0.36 | 0.43 | 0.44 | 0.48 |
| COST | 0.00 | 0.23 | 0.31 | 0.34 | 0.30 | 0.35 | 0.56 | 0.37 | 0.35 | 0.35 | 0.43 | 0.37 | 0.36 | 0.48 | 1.00 | 0.43 | 0.38 | 0.40 | 0.46 |
| MSFT | 0.02 | 0.22 | 0.31 | 0.36 | 0.43 | 0.33 | 0.33 | 0.51 | 0.51 | 0.34 | 0.34 | 0.35 | 0.34 | 0.36 | 0.43 | 1.00 | 0.44 | 0.38 | 0.51 |
| ETN | 0.05 | 0.28 | 0.35 | 0.35 | 0.38 | 0.34 | 0.31 | 0.38 | 0.42 | 0.46 | 0.37 | 0.40 | 0.44 | 0.43 | 0.38 | 0.44 | 1.00 | 0.50 | 0.55 |
| CINF | -0.00 | 0.29 | 0.38 | 0.36 | 0.27 | 0.32 | 0.37 | 0.31 | 0.28 | 0.41 | 0.40 | 0.59 | 0.68 | 0.44 | 0.40 | 0.38 | 0.50 | 1.00 | 0.52 |
| CTAS | -0.01 | 0.28 | 0.38 | 0.39 | 0.37 | 0.39 | 0.36 | 0.41 | 0.41 | 0.43 | 0.45 | 0.44 | 0.46 | 0.48 | 0.46 | 0.51 | 0.55 | 0.52 | 1.00 |
The correlation results are calculated based on daily price changes starting from Nov 19, 2004