2 Log Sharpe 2
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.
The earliest data available for this chart is Nov 18, 2004, corresponding to the inception date of GLD
Returns By Period
As of Apr 27, 2025, the 2 Log Sharpe 2 returned -11.04% Year-To-Date and 29.13% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -6.06% | -2.95% | -4.87% | 8.34% | 13.98% | 10.15% |
| 2 Log Sharpe 2 | -11.04% | -1.59% | -12.90% | 23.40% | 37.39% | 29.13% |
| Portfolio components: | ||||||
AAPL Apple Inc | -16.34% | -6.51% | -9.36% | 24.20% | 25.04% | 22.03% |
PGR The Progressive Corporation | 12.84% | -3.48% | 10.91% | 30.09% | 28.82% | 29.07% |
UNH UnitedHealth Group Incorporated | -16.89% | -18.82% | -25.24% | -14.13% | 8.94% | 15.73% |
CB Chubb Limited | 1.34% | -6.45% | -2.45% | 15.21% | 23.40% | 12.16% |
COST Costco Wholesale Corporation | 6.76% | 4.09% | 9.91% | 34.53% | 28.13% | 23.26% |
DPZ Domino's Pizza, Inc. | 16.63% | 3.46% | 18.69% | -0.93% | 7.39% | 17.42% |
ETN Eaton Corporation plc | -12.65% | 2.82% | -15.62% | -9.79% | 31.15% | 18.54% |
GLD SPDR Gold Trust | 25.85% | 8.07% | 20.29% | 40.67% | 13.58% | 10.22% |
LLY Eli Lilly and Company | 14.78% | 7.65% | -0.58% | 21.37% | 42.44% | 30.96% |
NVDA NVIDIA Corporation | -17.33% | -0.38% | -21.56% | 26.56% | 72.18% | 70.80% |
TOL Toll Brothers, Inc. | -20.18% | -7.77% | -32.53% | -16.07% | 35.16% | 11.80% |
RGR Sturm, Ruger & Company, Inc. | 14.71% | 1.00% | 0.03% | -11.72% | -0.19% | 0.81% |
MSFT Microsoft Corporation | -6.85% | 0.33% | -8.11% | -2.82% | 18.72% | 25.00% |
ORLY O'Reilly Automotive, Inc. | 13.59% | -5.38% | 12.70% | 29.03% | 28.27% | 19.87% |
WMT Walmart Inc. | 5.54% | 11.05% | 15.82% | 59.85% | 19.13% | 16.18% |
AMD Advanced Micro Devices, Inc. | -19.99% | -9.38% | -38.14% | -38.60% | 11.38% | 45.61% |
CINF Cincinnati Financial Corporation | -6.41% | -9.39% | -4.24% | 23.59% | 13.25% | 13.32% |
CTAS Cintas Corporation | 14.28% | 1.04% | 0.85% | 26.09% | 32.83% | 27.71% |
TJX The TJX Companies, Inc. | 5.08% | 4.97% | 11.88% | 33.11% | 23.14% | 16.36% |
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% | -0.01% | -11.04% | ||||||||
| 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% | 1.42% | -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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of 2 Log Sharpe 2 is 70, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
AAPL Apple Inc | 0.80 | 1.30 | 1.19 | 0.78 | 2.94 |
PGR The Progressive Corporation | 1.08 | 1.54 | 1.21 | 2.15 | 5.40 |
UNH UnitedHealth Group Incorporated | -0.34 | -0.19 | 0.97 | -0.39 | -1.06 |
CB Chubb Limited | 0.62 | 0.97 | 1.13 | 0.92 | 2.28 |
COST Costco Wholesale Corporation | 1.63 | 2.19 | 1.30 | 2.08 | 6.27 |
DPZ Domino's Pizza, Inc. | 0.09 | 0.34 | 1.05 | 0.11 | 0.18 |
ETN Eaton Corporation plc | -0.17 | 0.03 | 1.00 | -0.19 | -0.48 |
GLD SPDR Gold Trust | 2.49 | 3.30 | 1.43 | 5.14 | 14.01 |
LLY Eli Lilly and Company | 0.54 | 1.01 | 1.13 | 0.79 | 1.61 |
NVDA NVIDIA Corporation | 0.58 | 1.16 | 1.14 | 0.94 | 2.47 |
TOL Toll Brothers, Inc. | -0.41 | -0.35 | 0.96 | -0.34 | -0.78 |
RGR Sturm, Ruger & Company, Inc. | -0.50 | -0.61 | 0.92 | -0.23 | -0.85 |
MSFT Microsoft Corporation | -0.13 | -0.01 | 1.00 | -0.13 | -0.30 |
ORLY O'Reilly Automotive, Inc. | 1.12 | 1.68 | 1.20 | 1.29 | 5.26 |
WMT Walmart Inc. | 2.52 | 3.38 | 1.47 | 2.86 | 9.79 |
AMD Advanced Micro Devices, Inc. | -0.68 | -0.83 | 0.90 | -0.58 | -1.30 |
CINF Cincinnati Financial Corporation | 0.52 | 0.84 | 1.12 | 0.67 | 1.75 |
CTAS Cintas Corporation | 1.04 | 1.44 | 1.22 | 1.33 | 3.43 |
TJX The TJX Companies, Inc. | 1.88 | 2.76 | 1.35 | 3.23 | 10.41 |
Dividends
Dividend yield
2 Log Sharpe 2 provided a 0.76% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.76% | 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 | 0.48% | 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 | 1.85% | 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 | 2.01% | 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 | 1.30% | 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 | 0.36% | 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. | 1.29% | 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 | 1.34% | 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 | 0.61% | 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. | 1.74% | 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 | 0.81% | 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. | 0.90% | 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 | 2.47% | 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 | 0.72% | 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. | 1.19% | 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.
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 15.99%.
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 |
| -26.51% | Jan 7, 2025 | 63 | Apr 8, 2025 | — | — | — |
Volatility
Volatility Chart
The current 2 Log Sharpe 2 volatility is 19.14%, 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.
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
| ^GSPC | GLD | RGR | UNH | LLY | DPZ | AMD | WMT | TOL | PGR | ORLY | NVDA | AAPL | CB | TJX | COST | MSFT | CINF | ETN | CTAS | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.06 | 0.35 | 0.47 | 0.49 | 0.46 | 0.52 | 0.45 | 0.56 | 0.54 | 0.49 | 0.59 | 0.59 | 0.56 | 0.56 | 0.57 | 0.69 | 0.65 | 0.71 | 0.70 | 0.81 |
| GLD | 0.06 | 1.00 | 0.04 | -0.00 | 0.01 | 0.01 | 0.04 | -0.01 | 0.05 | -0.00 | -0.03 | 0.04 | 0.02 | -0.01 | -0.03 | 0.00 | 0.02 | -0.00 | 0.05 | -0.01 | 0.11 |
| RGR | 0.35 | 0.04 | 1.00 | 0.18 | 0.17 | 0.23 | 0.20 | 0.19 | 0.28 | 0.23 | 0.23 | 0.21 | 0.21 | 0.24 | 0.28 | 0.23 | 0.22 | 0.29 | 0.28 | 0.28 | 0.36 |
| UNH | 0.47 | -0.00 | 0.18 | 1.00 | 0.34 | 0.26 | 0.21 | 0.28 | 0.26 | 0.34 | 0.32 | 0.23 | 0.27 | 0.36 | 0.32 | 0.31 | 0.31 | 0.38 | 0.34 | 0.38 | 0.37 |
| LLY | 0.49 | 0.01 | 0.17 | 0.34 | 1.00 | 0.27 | 0.23 | 0.32 | 0.24 | 0.34 | 0.30 | 0.25 | 0.26 | 0.34 | 0.30 | 0.34 | 0.36 | 0.36 | 0.35 | 0.39 | 0.40 |
| DPZ | 0.46 | 0.01 | 0.23 | 0.26 | 0.27 | 1.00 | 0.28 | 0.27 | 0.33 | 0.26 | 0.35 | 0.31 | 0.30 | 0.27 | 0.35 | 0.35 | 0.33 | 0.32 | 0.34 | 0.39 | 0.48 |
| AMD | 0.52 | 0.04 | 0.20 | 0.21 | 0.23 | 0.28 | 1.00 | 0.19 | 0.33 | 0.23 | 0.26 | 0.56 | 0.40 | 0.22 | 0.29 | 0.30 | 0.43 | 0.27 | 0.38 | 0.37 | 0.54 |
| WMT | 0.45 | -0.01 | 0.19 | 0.28 | 0.32 | 0.27 | 0.19 | 1.00 | 0.28 | 0.34 | 0.37 | 0.22 | 0.25 | 0.36 | 0.40 | 0.56 | 0.33 | 0.37 | 0.31 | 0.37 | 0.38 |
| TOL | 0.56 | 0.05 | 0.28 | 0.26 | 0.24 | 0.33 | 0.33 | 0.28 | 1.00 | 0.34 | 0.36 | 0.35 | 0.35 | 0.36 | 0.39 | 0.36 | 0.34 | 0.41 | 0.46 | 0.43 | 0.48 |
| PGR | 0.54 | -0.00 | 0.23 | 0.34 | 0.34 | 0.26 | 0.23 | 0.34 | 0.34 | 1.00 | 0.35 | 0.26 | 0.28 | 0.54 | 0.36 | 0.37 | 0.35 | 0.59 | 0.40 | 0.44 | 0.41 |
| ORLY | 0.49 | -0.03 | 0.23 | 0.32 | 0.30 | 0.35 | 0.26 | 0.37 | 0.36 | 0.35 | 1.00 | 0.29 | 0.31 | 0.37 | 0.47 | 0.44 | 0.34 | 0.40 | 0.37 | 0.45 | 0.50 |
| NVDA | 0.59 | 0.04 | 0.21 | 0.23 | 0.25 | 0.31 | 0.56 | 0.22 | 0.35 | 0.26 | 0.29 | 1.00 | 0.45 | 0.23 | 0.30 | 0.35 | 0.51 | 0.28 | 0.42 | 0.41 | 0.73 |
| AAPL | 0.59 | 0.02 | 0.21 | 0.27 | 0.26 | 0.30 | 0.40 | 0.25 | 0.35 | 0.28 | 0.31 | 0.45 | 1.00 | 0.27 | 0.31 | 0.37 | 0.51 | 0.31 | 0.39 | 0.41 | 0.77 |
| CB | 0.56 | -0.01 | 0.24 | 0.36 | 0.34 | 0.27 | 0.22 | 0.36 | 0.36 | 0.54 | 0.37 | 0.23 | 0.27 | 1.00 | 0.41 | 0.36 | 0.34 | 0.68 | 0.44 | 0.46 | 0.39 |
| TJX | 0.56 | -0.03 | 0.28 | 0.32 | 0.30 | 0.35 | 0.29 | 0.40 | 0.39 | 0.36 | 0.47 | 0.30 | 0.31 | 0.41 | 1.00 | 0.48 | 0.36 | 0.44 | 0.43 | 0.48 | 0.49 |
| COST | 0.57 | 0.00 | 0.23 | 0.31 | 0.34 | 0.35 | 0.30 | 0.56 | 0.36 | 0.37 | 0.44 | 0.35 | 0.37 | 0.36 | 0.48 | 1.00 | 0.43 | 0.40 | 0.38 | 0.46 | 0.53 |
| MSFT | 0.69 | 0.02 | 0.22 | 0.31 | 0.36 | 0.33 | 0.43 | 0.33 | 0.34 | 0.35 | 0.34 | 0.51 | 0.51 | 0.34 | 0.36 | 0.43 | 1.00 | 0.39 | 0.45 | 0.51 | 0.66 |
| CINF | 0.65 | -0.00 | 0.29 | 0.38 | 0.36 | 0.32 | 0.27 | 0.37 | 0.41 | 0.59 | 0.40 | 0.28 | 0.31 | 0.68 | 0.44 | 0.40 | 0.39 | 1.00 | 0.50 | 0.52 | 0.45 |
| ETN | 0.71 | 0.05 | 0.28 | 0.34 | 0.35 | 0.34 | 0.38 | 0.31 | 0.46 | 0.40 | 0.37 | 0.42 | 0.39 | 0.44 | 0.43 | 0.38 | 0.45 | 0.50 | 1.00 | 0.55 | 0.56 |
| CTAS | 0.70 | -0.01 | 0.28 | 0.38 | 0.39 | 0.39 | 0.37 | 0.37 | 0.43 | 0.44 | 0.45 | 0.41 | 0.41 | 0.46 | 0.48 | 0.46 | 0.51 | 0.52 | 0.55 | 1.00 | 0.59 |
| Portfolio | 0.81 | 0.11 | 0.36 | 0.37 | 0.40 | 0.48 | 0.54 | 0.38 | 0.48 | 0.41 | 0.50 | 0.73 | 0.77 | 0.39 | 0.49 | 0.53 | 0.66 | 0.45 | 0.56 | 0.59 | 1.00 |