Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
ABBV AbbVie Inc. | Healthcare | 7.14% |
ABT Abbott Laboratories | Healthcare | 7.14% |
ADP Automatic Data Processing, Inc. | Industrials | 7.14% |
AFL Aflac Incorporated | Financial Services | 7.14% |
ED Consolidated Edison, Inc. | Utilities | 7.14% |
IBM International Business Machines Corporation | Technology | 7.14% |
JNJ Johnson & Johnson | Healthcare | 7.14% |
KO The Coca-Cola Company | Consumer Defensive | 7.14% |
LOW Lowe's Companies, Inc. | Consumer Cyclical | 7.14% |
NEE NextEra Energy, Inc. | Utilities | 7.14% |
PEP PepsiCo, Inc. | Consumer Defensive | 7.14% |
PG The Procter & Gamble Company | Consumer Defensive | 7.14% |
SPGI S&P Global Inc. | Financial Services | 7.14% |
TROW T. Rowe Price Group, Inc. | Financial Services | 7.14% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in DivStrat2000, 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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The earliest data available for this chart is Jan 2, 2013, corresponding to the inception date of ABBV
Returns By Period
As of Apr 7, 2026, the DivStrat2000 returned -1.40% Year-To-Date and 12.97% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.44% | -1.90% | -3.41% | -1.91% | 30.31% | 17.22% | 10.14% | 12.44% |
Portfolio DivStrat2000 | -0.17% | -2.94% | -1.40% | -0.83% | 9.86% | 10.01% | 9.04% | 12.97% |
| Portfolio components: | ||||||||
JNJ Johnson & Johnson | -0.85% | 0.24% | 17.06% | 29.56% | 61.63% | 16.85% | 11.14% | 11.26% |
ABBV AbbVie Inc. | -1.03% | -10.18% | -8.81% | -8.83% | 14.26% | 12.56% | 18.92% | 18.25% |
PEP PepsiCo, Inc. | -0.18% | -1.69% | 10.18% | 14.30% | 11.18% | -2.02% | 5.00% | 7.28% |
KO The Coca-Cola Company | 0.65% | 0.92% | 11.22% | 18.45% | 13.63% | 10.35% | 10.96% | 8.47% |
PG The Procter & Gamble Company | -0.24% | -7.07% | 0.33% | -3.74% | -10.42% | 0.42% | 3.44% | 8.47% |
AFL Aflac Incorporated | -0.20% | -0.93% | 0.52% | -1.46% | 10.46% | 22.17% | 19.04% | 15.85% |
TROW T. Rowe Price Group, Inc. | -0.93% | 0.29% | -11.45% | -13.17% | 13.99% | -1.88% | -8.71% | 6.04% |
SPGI S&P Global Inc. | 0.68% | -4.03% | -16.74% | -8.86% | -3.09% | 9.28% | 4.61% | 17.23% |
ED Consolidated Edison, Inc. | -0.71% | 2.08% | 16.30% | 17.26% | 8.34% | 8.68% | 12.66% | 7.99% |
NEE NextEra Energy, Inc. | -0.45% | 1.88% | 16.30% | 14.47% | 42.71% | 8.63% | 6.40% | 15.15% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 3, 2013, DivStrat2000's average daily return is +0.05%, while the average monthly return is +1.11%. At this rate, your investment would double in approximately 5.2 years.
Historically, 66% of months were positive and 34% were negative. The best month was Apr 2020 with a return of +10.7%, while the worst month was Mar 2020 at -9.6%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 3 months.
On a daily basis, DivStrat2000 closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +9.2%, while the worst single day was Mar 16, 2020 at -10.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.50% | 0.52% | -5.17% | -0.06% | -1.40% | ||||||||
| 2025 | 4.75% | 3.76% | -1.34% | -3.15% | 1.35% | 0.45% | -0.28% | 4.41% | 0.71% | -0.77% | 3.13% | -1.33% | 11.92% |
| 2024 | 2.50% | 1.47% | 3.53% | -3.89% | 2.80% | -0.69% | 6.56% | 5.24% | 2.24% | -2.76% | 3.48% | -6.32% | 14.20% |
| 2023 | -1.67% | -3.65% | 2.52% | 2.85% | -4.67% | 4.79% | 4.58% | -2.56% | -4.85% | -2.58% | 6.25% | 3.44% | 3.60% |
| 2022 | -5.00% | -2.70% | 4.61% | -4.16% | 1.07% | -3.17% | 3.77% | -1.88% | -6.90% | 6.86% | 9.24% | -2.94% | -2.59% |
| 2021 | -1.21% | -0.47% | 7.71% | 3.04% | 1.50% | 0.10% | 3.70% | 3.04% | -5.41% | 6.50% | -0.63% | 9.15% | 29.44% |
Benchmark Metrics
DivStrat2000 has an annualized alpha of 4.21%, beta of 0.75, and R² of 0.71 versus S&P 500 Index. Calculated based on daily prices since January 03, 2013.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (89.58%) than losses (79.24%) — typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 4.21% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Alpha
- 4.21%
- Beta
- 0.75
- R²
- 0.71
- Upside Capture
- 89.58%
- Downside Capture
- 79.24%
Expense Ratio
DivStrat2000 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.
Return for Risk
Risk / Return Rank
DivStrat2000 ranks 13 for risk / return — in the bottom 13% of portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.82 | 1.84 | -1.02 |
Sortino ratioReturn per unit of downside risk | 1.33 | 2.97 | -1.64 |
Omega ratioGain probability vs. loss probability | 1.15 | 1.40 | -0.25 |
Calmar ratioReturn relative to maximum drawdown | 0.41 | 1.82 | -1.42 |
Martin ratioReturn relative to average drawdown | 1.46 | 7.76 | -6.30 |
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.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
JNJ Johnson & Johnson | 97 | 3.72 | 5.23 | 1.67 | 7.06 | 23.54 |
ABBV AbbVie Inc. | 51 | 0.55 | 0.90 | 1.12 | 0.28 | 0.59 |
PEP PepsiCo, Inc. | 53 | 0.51 | 0.94 | 1.11 | 0.62 | 1.26 |
KO The Coca-Cola Company | 63 | 0.87 | 1.41 | 1.16 | 1.16 | 2.35 |
PG The Procter & Gamble Company | 14 | -0.58 | -0.70 | 0.92 | -0.74 | -1.35 |
AFL Aflac Incorporated | 48 | 0.57 | 0.96 | 1.11 | 0.03 | 0.06 |
TROW T. Rowe Price Group, Inc. | 48 | 0.50 | 0.95 | 1.12 | 0.01 | 0.04 |
SPGI S&P Global Inc. | 26 | -0.11 | 0.04 | 1.01 | -0.49 | -1.22 |
ED Consolidated Edison, Inc. | 50 | 0.47 | 0.75 | 1.09 | 0.57 | 0.93 |
NEE NextEra Energy, Inc. | 83 | 1.75 | 2.32 | 1.31 | 3.19 | 7.05 |
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Dividends
Dividend yield
DivStrat2000 provided a 2.80% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.80% | 2.69% | 2.73% | 2.82% | 2.62% | 2.44% | 2.61% | 2.58% | 2.87% | 2.44% | 2.77% | 2.97% |
| Portfolio components: | ||||||||||||
JNJ Johnson & Johnson | 2.16% | 2.48% | 3.40% | 3.00% | 2.52% | 2.45% | 2.53% | 2.57% | 2.74% | 2.38% | 2.73% | 2.87% |
ABBV AbbVie Inc. | 3.22% | 2.87% | 3.49% | 3.82% | 3.49% | 3.84% | 4.41% | 4.83% | 3.89% | 2.65% | 3.64% | 3.41% |
PEP PepsiCo, Inc. | 3.63% | 3.92% | 3.51% | 2.91% | 2.50% | 2.45% | 2.71% | 2.77% | 3.25% | 2.64% | 2.83% | 2.76% |
KO The Coca-Cola Company | 2.67% | 2.92% | 3.12% | 3.12% | 2.77% | 2.84% | 2.99% | 2.89% | 3.29% | 3.23% | 3.38% | 3.07% |
PG The Procter & Gamble Company | 2.96% | 2.91% | 2.36% | 2.55% | 2.38% | 2.08% | 2.24% | 2.37% | 3.09% | 2.98% | 3.18% | 3.31% |
AFL Aflac Incorporated | 2.13% | 2.10% | 1.93% | 2.04% | 2.22% | 2.26% | 2.52% | 2.04% | 2.28% | 1.98% | 2.39% | 2.64% |
TROW T. Rowe Price Group, Inc. | 5.72% | 4.96% | 4.39% | 4.53% | 4.40% | 3.72% | 2.38% | 2.50% | 3.03% | 2.17% | 2.87% | 5.71% |
SPGI S&P Global Inc. | 0.89% | 0.73% | 0.73% | 0.82% | 0.99% | 0.65% | 0.82% | 0.84% | 1.18% | 0.97% | 1.34% | 1.34% |
ED Consolidated Edison, Inc. | 3.00% | 3.42% | 3.72% | 3.56% | 3.32% | 3.63% | 4.23% | 3.27% | 3.74% | 3.25% | 3.64% | 4.05% |
NEE NextEra Energy, Inc. | 2.50% | 2.82% | 2.87% | 3.08% | 2.03% | 1.65% | 1.81% | 2.06% | 2.55% | 2.52% | 2.91% | 2.96% |
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 DivStrat2000. 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 DivStrat2000 was 34.80%, occurring on Mar 23, 2020. Recovery took 114 trading sessions.
The current DivStrat2000 drawdown is 5.27%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -34.8% | Feb 18, 2020 | 25 | Mar 23, 2020 | 114 | Sep 2, 2020 | 139 |
| -14.92% | Dec 30, 2021 | 198 | Oct 12, 2022 | 34 | Nov 30, 2022 | 232 |
| -12.3% | Jul 31, 2023 | 64 | Oct 27, 2023 | 58 | Jan 23, 2024 | 122 |
| -11.81% | Sep 24, 2018 | 64 | Dec 24, 2018 | 34 | Feb 13, 2019 | 98 |
| -11.15% | Mar 4, 2025 | 26 | Apr 8, 2025 | 87 | Aug 13, 2025 | 113 |
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 14 assets, with an effective number of assets of 14.00, 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
| Benchmark | ED | ABBV | NEE | LOW | IBM | JNJ | AFL | PG | SPGI | ABT | TROW | KO | PEP | ADP | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.20 | 0.42 | 0.35 | 0.58 | 0.59 | 0.41 | 0.56 | 0.39 | 0.65 | 0.54 | 0.74 | 0.42 | 0.42 | 0.64 | 0.76 |
| ED | 0.20 | 1.00 | 0.21 | 0.64 | 0.17 | 0.20 | 0.36 | 0.26 | 0.43 | 0.19 | 0.26 | 0.15 | 0.46 | 0.46 | 0.29 | 0.51 |
| ABBV | 0.42 | 0.21 | 1.00 | 0.22 | 0.27 | 0.32 | 0.46 | 0.33 | 0.32 | 0.30 | 0.43 | 0.31 | 0.32 | 0.33 | 0.35 | 0.57 |
| NEE | 0.35 | 0.64 | 0.22 | 1.00 | 0.26 | 0.21 | 0.34 | 0.26 | 0.41 | 0.29 | 0.30 | 0.26 | 0.43 | 0.44 | 0.33 | 0.56 |
| LOW | 0.58 | 0.17 | 0.27 | 0.26 | 1.00 | 0.37 | 0.30 | 0.39 | 0.32 | 0.45 | 0.38 | 0.51 | 0.30 | 0.33 | 0.45 | 0.61 |
| IBM | 0.59 | 0.20 | 0.32 | 0.21 | 0.37 | 1.00 | 0.35 | 0.47 | 0.33 | 0.42 | 0.38 | 0.48 | 0.34 | 0.31 | 0.47 | 0.61 |
| JNJ | 0.41 | 0.36 | 0.46 | 0.34 | 0.30 | 0.35 | 1.00 | 0.38 | 0.48 | 0.33 | 0.50 | 0.34 | 0.45 | 0.48 | 0.39 | 0.63 |
| AFL | 0.56 | 0.26 | 0.33 | 0.26 | 0.39 | 0.47 | 0.38 | 1.00 | 0.34 | 0.44 | 0.38 | 0.53 | 0.41 | 0.35 | 0.50 | 0.64 |
| PG | 0.39 | 0.43 | 0.32 | 0.41 | 0.32 | 0.33 | 0.48 | 0.34 | 1.00 | 0.34 | 0.40 | 0.29 | 0.59 | 0.63 | 0.40 | 0.64 |
| SPGI | 0.65 | 0.19 | 0.30 | 0.29 | 0.45 | 0.42 | 0.33 | 0.44 | 0.34 | 1.00 | 0.46 | 0.55 | 0.35 | 0.35 | 0.56 | 0.66 |
| ABT | 0.54 | 0.26 | 0.43 | 0.30 | 0.38 | 0.38 | 0.50 | 0.38 | 0.40 | 0.46 | 1.00 | 0.43 | 0.38 | 0.40 | 0.47 | 0.66 |
| TROW | 0.74 | 0.15 | 0.31 | 0.26 | 0.51 | 0.48 | 0.34 | 0.53 | 0.29 | 0.55 | 0.43 | 1.00 | 0.32 | 0.32 | 0.54 | 0.67 |
| KO | 0.42 | 0.46 | 0.32 | 0.43 | 0.30 | 0.34 | 0.45 | 0.41 | 0.59 | 0.35 | 0.38 | 0.32 | 1.00 | 0.69 | 0.44 | 0.66 |
| PEP | 0.42 | 0.46 | 0.33 | 0.44 | 0.33 | 0.31 | 0.48 | 0.35 | 0.63 | 0.35 | 0.40 | 0.32 | 0.69 | 1.00 | 0.44 | 0.67 |
| ADP | 0.64 | 0.29 | 0.35 | 0.33 | 0.45 | 0.47 | 0.39 | 0.50 | 0.40 | 0.56 | 0.47 | 0.54 | 0.44 | 0.44 | 1.00 | 0.72 |
| Portfolio | 0.76 | 0.51 | 0.57 | 0.56 | 0.61 | 0.61 | 0.63 | 0.64 | 0.64 | 0.66 | 0.66 | 0.67 | 0.66 | 0.67 | 0.72 | 1.00 |