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HEALTHcare
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


JNJ 99.8%EquityEquity
PositionCategory/SectorWeight
JNJ
Johnson & Johnson
Healthcare
99.80%
VHT
Vanguard Health Care ETF
Health & Biotech Equities
0.10%
XLV
Health Care Select Sector SPDR Fund
Health & Biotech Equities
0.10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in HEALTHcare, 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


360.00%380.00%400.00%420.00%440.00%460.00%JulyAugustSeptemberOctoberNovemberDecember
388.68%
419.14%
HEALTHcare
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jan 30, 2004, corresponding to the inception date of VHT

Returns By Period

As of Dec 19, 2024, the HEALTHcare returned -4.71% Year-To-Date and 6.12% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
23.11%-0.36%7.02%23.15%12.80%11.01%
HEALTHcare-4.71%-4.63%-0.52%-2.55%2.65%6.00%
JNJ
Johnson & Johnson
-4.73%-4.63%-0.51%-2.57%2.64%5.99%
VHT
Vanguard Health Care ETF
1.84%-2.95%-4.53%4.92%7.04%8.56%
XLV
Health Care Select Sector SPDR Fund
1.83%-2.75%-5.48%4.63%7.75%8.74%
*Annualized

Monthly Returns

The table below presents the monthly returns of HEALTHcare, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20241.38%2.33%-1.97%-8.59%2.26%-0.34%7.99%5.87%-2.29%-1.36%-2.25%-4.71%
2023-7.48%-5.54%1.14%5.61%-4.56%6.74%1.21%-2.79%-3.67%-4.76%5.10%1.35%-8.56%
20220.70%-3.86%7.69%1.81%0.13%-1.13%-1.67%-6.93%1.24%6.50%2.98%-0.76%5.96%
20213.65%-2.26%3.72%-0.98%4.65%-2.65%4.53%1.14%-6.72%0.86%-3.64%9.71%11.46%
20202.05%-9.09%-2.49%14.42%-0.16%-5.45%3.65%5.94%-2.95%-7.90%6.26%8.77%10.83%
20193.13%3.35%2.30%1.00%-6.47%6.20%-6.49%-0.69%0.79%2.06%4.85%6.09%16.23%
2018-1.08%-5.41%-1.33%-1.29%-4.72%1.44%9.21%2.32%2.58%1.30%5.61%-12.15%-5.11%
2017-1.69%8.62%1.91%-0.86%4.55%3.15%0.33%0.37%-1.78%7.21%0.56%0.28%24.42%
20161.65%1.46%2.84%3.58%1.26%7.63%3.24%-4.07%-1.01%-1.82%-3.37%3.51%15.29%
2015-4.23%3.09%-1.86%-1.39%1.69%-2.67%2.82%-5.50%-0.68%8.23%0.94%1.46%1.16%
2014-3.40%4.88%6.61%3.11%0.87%3.11%-4.32%4.34%2.75%1.13%1.09%-3.39%17.35%
20135.45%3.78%7.12%4.53%-0.48%1.99%8.90%-6.88%0.33%6.82%2.93%-3.24%34.64%

Expense Ratio

HEALTHcare has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for XLV: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VHT: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of HEALTHcare is 2, meaning it’s performing worse than 98% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of HEALTHcare is 22
Overall Rank
The Sharpe Ratio Rank of HEALTHcare is 22
Sharpe Ratio Rank
The Sortino Ratio Rank of HEALTHcare is 11
Sortino Ratio Rank
The Omega Ratio Rank of HEALTHcare is 22
Omega Ratio Rank
The Calmar Ratio Rank of HEALTHcare is 22
Calmar Ratio Rank
The Martin Ratio Rank of HEALTHcare is 22
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.


Sharpe ratio
The chart of Sharpe ratio for HEALTHcare, currently valued at -0.26, compared to the broader market-6.00-4.00-2.000.002.004.00-0.261.90
The chart of Sortino ratio for HEALTHcare, currently valued at -0.27, compared to the broader market-6.00-4.00-2.000.002.004.006.00-0.272.54
The chart of Omega ratio for HEALTHcare, currently valued at 0.97, compared to the broader market0.400.600.801.001.201.401.601.800.971.35
The chart of Calmar ratio for HEALTHcare, currently valued at -0.22, compared to the broader market0.002.004.006.008.0010.0012.00-0.222.81
The chart of Martin ratio for HEALTHcare, currently valued at -0.66, compared to the broader market0.0010.0020.0030.0040.0050.00-0.6612.39
HEALTHcare
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
JNJ
Johnson & Johnson
-0.26-0.270.97-0.22-0.67
VHT
Vanguard Health Care ETF
0.360.571.070.341.21
XLV
Health Care Select Sector SPDR Fund
0.350.541.070.311.06

The current HEALTHcare Sharpe ratio is -0.26. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.26 to 2.05, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of HEALTHcare with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.26
1.90
HEALTHcare
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

HEALTHcare provided a 3.39% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio3.39%3.00%2.52%2.45%2.53%2.57%2.74%2.37%2.73%2.87%2.64%2.82%
JNJ
Johnson & Johnson
3.39%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%2.64%2.83%
VHT
Vanguard Health Care ETF
1.17%1.36%1.33%1.14%1.21%1.89%1.38%1.31%1.45%1.22%1.02%1.12%
XLV
Health Care Select Sector SPDR Fund
1.22%1.59%1.47%1.33%1.49%2.17%1.58%1.47%1.60%1.43%1.35%1.52%

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.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-15.61%
-3.58%
HEALTHcare
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the HEALTHcare. 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 HEALTHcare was 34.39%, occurring on Mar 9, 2009. Recovery took 549 trading sessions.

The current HEALTHcare drawdown is 15.61%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-34.39%Sep 9, 2008125Mar 9, 2009549May 11, 2011674
-27.37%Feb 6, 202032Mar 23, 202022Apr 23, 202054
-18.39%Apr 26, 2022380Oct 27, 2023
-18.26%Jan 23, 201888May 29, 2018115Nov 8, 2018203
-16.9%Dec 14, 20187Dec 24, 2018249Dec 19, 2019256

Volatility

Volatility Chart

The current HEALTHcare volatility is 4.41%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
4.41%
3.64%
HEALTHcare
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.

JNJVHTXLV
JNJ1.000.650.68
VHT0.651.000.97
XLV0.680.971.00
The correlation results are calculated based on daily price changes starting from Feb 2, 2004
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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