2024 IIM Max Alpha Portfolio Model - Unoptimized

Asset Allocation

Position	Category/Sector	Target Weight
NVDA NVIDIA Corporation	Technology	33.33%
MSFT Microsoft Corporation	Technology	33.33%
GOOGL Alphabet Inc. Class A	Communication Services	33.33%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2024 IIM Max Alpha Portfolio Model - Unoptimized, 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.

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Returns By Period

As of Jun 9, 2026, the 2024 IIM Max Alpha Portfolio Model - Unoptimized returned 4.16% Year-To-Date and 41.86% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio 2024 IIM Max Alpha Portfolio Model - Unoptimized	-0.28%	-4.62%	4.16%	3.75%	42.93%	43.42%	35.30%	41.86%
Portfolio components:
GOOGL Alphabet Inc. Class A	-1.36%	-9.30%	16.22%	15.96%	110.03%	44.20%	24.94%	25.89%
MSFT Microsoft Corporation	-1.18%	-0.60%	-14.48%	-15.77%	-11.77%	8.85%	11.09%	24.64%
NVDA NVIDIA Corporation	1.73%	-2.94%	12.01%	12.58%	47.43%	75.35%	64.54%	68.47%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Aug 19, 2004, 2024 IIM Max Alpha Portfolio Model - Unoptimized's average daily return is +0.12%, while the average monthly return is +2.53%. At this rate, an investment would double in approximately 2.3 years.

Historically, 64% of months were positive and 36% were negative. The best month was Apr 2026 with a return of +19.5%, while the worst month was Apr 2022 at -20.0%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 4 months.

On a daily basis, 2024 IIM Max Alpha Portfolio Model - Unoptimized closed higher 55% of trading days. The best single day was Oct 13, 2008 with a return of +17.1%, while the worst single day was Mar 16, 2020 at -15.1%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	-0.17%	-7.83%	-5.09%	19.52%	4.66%	-4.65%							4.16%
2025	-1.41%	-6.23%	-9.21%	2.83%	16.21%	9.40%	9.58%	1.28%	8.26%	8.03%	-0.88%	0.20%	41.46%
2024	10.10%	11.76%	9.06%	-1.33%	13.00%	8.78%	-5.83%	-0.93%	2.20%	2.30%	2.40%	2.82%	67.14%
2023	16.38%	4.65%	17.35%	3.32%	18.97%	4.51%	6.67%	2.18%	-6.68%	-1.43%	11.32%	3.29%	111.65%
2022	-10.30%	-1.47%	5.85%	-20.00%	-0.59%	-8.95%	11.95%	-10.40%	-13.97%	3.25%	14.65%	-11.01%	-38.41%
2021	2.70%	5.56%	0.43%	11.17%	2.62%	12.18%	4.33%	9.30%	-7.22%	17.30%	8.51%	-3.08%	81.85%

Benchmark Metrics

2024 IIM Max Alpha Portfolio Model - Unoptimized has an annualized alpha of 20.01%, beta of 1.21, and R2 of 0.62 versus S&P 500 Index. Calculated based on daily prices since August 19, 2004.

This portfolio captured 214.36% of S&P 500 Index gains and 109.89% of its losses - amplifying both gains and losses, but participating more in upside than downside.
This portfolio generated an annualized alpha of 20.01% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.

Alpha: 20.01%

Beta: 1.21

R²: 0.62

Upside Capture: 214.36%

Downside Capture: 109.89%

Expense Ratio

2024 IIM Max Alpha Portfolio Model - Unoptimized has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Return for Risk

Risk / Return Rank

2024 IIM Max Alpha Portfolio Model - Unoptimized ranks 35 for risk / return — below 35% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for 2024 IIM Max Alpha Portfolio Model - Unoptimized and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.03	1.94	+0.09
Sortino ratioReturn per unit of downside risk	2.75	2.63	+0.12
Omega ratioGain probability vs. loss probability	1.34	1.35	-0.01
Calmar ratioReturn relative to maximum drawdown	2.26	2.59	-0.33
Martin ratioReturn relative to average drawdown	8.18	11.84	-3.67
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
GOOGL Alphabet Inc. Class A	96	3.78	5.10	1.61	5.43	19.79
MSFT Microsoft Corporation	24	-0.47	-0.49	0.94	-0.35	-0.73
NVDA NVIDIA Corporation	77	1.37	1.94	1.24	2.36	5.73

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

2024 IIM Max Alpha Portfolio Model - Unoptimized Sharpe ratios as of Jun 9, 2026 (values are recalculated daily):

1-Year: 2.03
5-Year: 1.14
10-Year: 1.38
All Time: 1.06

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.60 to 2.46, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of 2024 IIM Max Alpha Portfolio Model - Unoptimized compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

2024 IIM Max Alpha Portfolio Model - Unoptimized provided a 0.43% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	0.43%	0.33%	0.36%	0.26%	0.39%	0.25%	0.35%	0.49%	0.72%	0.72%	0.94%	1.17%
Portfolio components:
GOOGL Alphabet Inc. Class A	0.29%	0.27%	0.32%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MSFT Microsoft Corporation	0.86%	0.70%	0.73%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%
NVDA NVIDIA Corporation	0.14%	0.02%	0.03%	0.03%	0.11%	0.05%	0.12%	0.27%	0.46%	0.29%	0.45%	1.20%

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 2024 IIM Max Alpha Portfolio Model - Unoptimized. 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 2024 IIM Max Alpha Portfolio Model - Unoptimized was 68.72%, occurring on Nov 20, 2008. Recovery took 1264 trading sessions.

The current 2024 IIM Max Alpha Portfolio Model - Unoptimized drawdown is 7.21%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-68.72%Nov 2008	1y 14d	5y 10d	6y 24dNov 2007 - Nov 2013
Bear market2022	-46.79%Nov 2022	11mo 16d	6mo 23d	1y 6moNov 2021 - May 2023
COVID crash2020	-31.92%Mar 2020	25d	2mo 3d	2mo 28dFeb 2020 - May 2020
Rate-hike selloffLate 2018	-31.55%Dec 2018	2mo 23d	10mo 5d	1y 23dOct 2018 - Oct 2019
2025 selloff2025	-27.40%Apr 2025	2mo 14d	2mo 18d	5mo 2dJan 2025 - Jun 2025

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 3 assets, with an effective number of assets of 3.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.40	1.26	1.18	1.16	1.22

The portfolio has a diversification ratio of 1.22, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

2024 IIM Max Alpha Portfolio Model - Unoptimized correlation to the S&P 500 Index

2024 IIM Max Alpha Portfolio Model - Unoptimized has a 0.73 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.73
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.80
Correlation (10Y) Calculated over the trailing 10-year period	0.77
Correlation (All Time) Calculated using the full available price history since Aug 19, 2004	0.73

Benchmark Correlations

Correlation vs. S&P 500 Index. MSFT has the highest benchmark correlation at 0.68, while NVDA has the lowest at 0.59.

NVDA

0.59

GOOGL

0.62

MSFT

0.68

Portfolio Correlations

Correlation vs. 2024 IIM Max Alpha Portfolio Model - Unoptimized. NVDA has the highest portfolio correlation at 0.86, while MSFT has the lowest at 0.75.

MSFT

0.75

GOOGL

0.75

NVDA

0.86

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	GOOGL	NVDA	MSFT
GOOGL	1.00	0.46	0.54
NVDA	0.46	1.00	0.50
MSFT	0.54	0.50	1.00

The correlation results are calculated based on daily price changes starting from Aug 19, 2004

Diversification Analysis

Find what 2024 IIM Max Alpha Portfolio Model - Unoptimized is missing

See which holdings overlap, where 2024 IIM Max Alpha Portfolio Model - Unoptimized is concentrated, and which low-correlation assets could fill the gaps.

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