Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in illio Risk-Reward , 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 Sep 12, 2023, corresponding to the inception date of TKO
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -4.18% | -3.84% | -1.98% | 21.98% | 16.86% | 10.37% | 12.29% |
Portfolio illio Risk-Reward | 0.18% | -2.57% | 14.06% | 27.21% | 75.48% | — | — | — |
| Portfolio components: | ||||||||
JNJ Johnson & Johnson | -0.44% | -0.92% | 18.06% | 30.35% | 56.31% | 19.22% | 11.44% | 11.41% |
CINF Cincinnati Financial Corporation | 0.48% | -5.13% | -2.43% | -1.91% | 11.99% | 14.98% | 11.47% | 12.18% |
INTC Intel Corporation | 4.89% | 10.53% | 36.53% | 36.79% | 124.61% | 16.21% | -3.01% | 7.04% |
NEM Newmont Goldcorp Corporation | 0.23% | -4.46% | 14.45% | 31.95% | 139.05% | 35.39% | 16.48% | 18.66% |
JCI Johnson Controls International plc | -1.30% | -4.73% | 11.38% | 23.01% | 74.56% | 32.63% | 19.69% | 16.06% |
CHRW C.H. Robinson Worldwide, Inc. | -0.39% | -11.30% | 4.76% | 24.88% | 80.46% | 22.99% | 14.19% | 11.18% |
BK The Bank of New York Mellon Corporation | 0.96% | 3.16% | 5.67% | 15.64% | 56.05% | 43.25% | 24.26% | 15.59% |
USB U.S. Bancorp | 0.38% | -1.55% | 0.26% | 12.37% | 42.30% | 19.55% | 3.33% | 6.50% |
EXPD Expeditors International of Washington, Inc. | 1.04% | -0.71% | -2.15% | 18.67% | 33.37% | 11.75% | 7.26% | 13.22% |
C Citigroup Inc. | -0.04% | 3.53% | -0.72% | 19.24% | 87.54% | 39.92% | 13.43% | 13.92% |
Monthly Returns
Based on dividend-adjusted daily data since Sep 13, 2023, illio Risk-Reward 's average daily return is +0.13%, while the average monthly return is +2.55%. At this rate, your investment would double in approximately 2.3 years.
Historically, 75% of months were positive and 25% were negative. The best month was Jan 2026 with a return of +11.3%, while the worst month was Dec 2024 at -6.4%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 2 months.
On a daily basis, illio Risk-Reward closed higher 58% of trading days. The best single day was Apr 9, 2025 with a return of +8.6%, while the worst single day was Apr 4, 2025 at -6.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 11.34% | 6.36% | -5.36% | 1.78% | 14.06% | ||||||||
| 2025 | 3.63% | 0.35% | -3.10% | -1.80% | 6.65% | 6.42% | 2.87% | 5.70% | 7.09% | 4.86% | 4.88% | 2.57% | 47.52% |
| 2024 | 0.65% | 3.87% | 5.95% | -3.59% | 4.71% | 1.03% | 4.17% | 1.87% | 1.15% | -1.89% | 6.22% | -6.39% | 18.30% |
| 2023 | -2.77% | -3.75% | 8.80% | 7.30% | 9.25% |
Benchmark Metrics
illio Risk-Reward has an annualized alpha of 18.47%, beta of 0.90, and R² of 0.77 versus S&P 500 Index. Calculated based on daily prices since September 13, 2023.
- This portfolio captured 160.34% of S&P 500 Index gains but only 74.65% of its losses — a favorable profile for investors.
- This portfolio generated an annualized alpha of 18.47% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- With beta of 0.90 and R² of 0.77, this portfolio moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 18.47%
- Beta
- 0.90
- R²
- 0.77
- Upside Capture
- 160.34%
- Downside Capture
- 74.65%
Expense Ratio
illio Risk-Reward 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
illio Risk-Reward ranks 97 for risk / return — in the top 97% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.36 | 0.88 | +2.48 |
Sortino ratioReturn per unit of downside risk | 4.13 | 1.37 | +2.76 |
Omega ratioGain probability vs. loss probability | 1.67 | 1.21 | +0.46 |
Calmar ratioReturn relative to maximum drawdown | 5.06 | 1.39 | +3.67 |
Martin ratioReturn relative to average drawdown | 24.06 | 6.43 | +17.63 |
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 | 3.51 | 4.77 | 1.64 | 7.48 | 25.03 |
CINF Cincinnati Financial Corporation | 53 | 0.42 | 0.71 | 1.09 | 0.70 | 2.22 |
INTC Intel Corporation | 89 | 1.94 | 2.64 | 1.33 | 5.32 | 12.19 |
NEM Newmont Goldcorp Corporation | 93 | 2.98 | 3.02 | 1.44 | 5.11 | 16.85 |
JCI Johnson Controls International plc | 90 | 2.10 | 2.69 | 1.40 | 4.64 | 13.90 |
CHRW C.H. Robinson Worldwide, Inc. | 86 | 1.61 | 2.52 | 1.38 | 3.46 | 9.35 |
BK The Bank of New York Mellon Corporation | 88 | 2.04 | 2.52 | 1.38 | 3.77 | 11.60 |
USB U.S. Bancorp | 72 | 1.08 | 1.52 | 1.22 | 1.98 | 5.10 |
EXPD Expeditors International of Washington, Inc. | 61 | 0.65 | 1.03 | 1.16 | 1.31 | 3.08 |
C Citigroup Inc. | 87 | 1.97 | 2.38 | 1.36 | 3.56 | 11.59 |
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Dividends
Dividend yield
illio Risk-Reward provided a 1.47% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.47% | 1.64% | 1.96% | 2.18% | 2.10% | 1.89% | 2.38% | 2.07% | 2.24% | 2.07% | 1.81% | 2.32% |
| Portfolio components: | ||||||||||||
JNJ Johnson & Johnson | 2.14% | 2.48% | 3.40% | 3.00% | 2.52% | 2.45% | 2.53% | 2.57% | 2.74% | 2.38% | 2.73% | 2.87% |
CINF Cincinnati Financial Corporation | 2.24% | 2.13% | 2.25% | 2.90% | 2.70% | 2.21% | 2.75% | 2.13% | 2.74% | 3.33% | 2.53% | 3.89% |
INTC Intel Corporation | 0.00% | 0.00% | 1.87% | 1.47% | 5.52% | 2.70% | 2.65% | 2.11% | 2.56% | 2.33% | 2.87% | 2.79% |
NEM Newmont Goldcorp Corporation | 0.89% | 1.00% | 2.69% | 3.87% | 4.66% | 3.55% | 1.74% | 3.31% | 1.62% | 0.67% | 0.37% | 0.56% |
JCI Johnson Controls International plc | 1.18% | 1.29% | 1.88% | 2.55% | 2.19% | 1.41% | 2.23% | 2.55% | 3.51% | 2.65% | 4.23% | 5.85% |
CHRW C.H. Robinson Worldwide, Inc. | 1.49% | 1.55% | 2.38% | 2.82% | 2.47% | 1.93% | 2.17% | 2.57% | 2.24% | 2.03% | 2.38% | 2.53% |
BK The Bank of New York Mellon Corporation | 1.69% | 1.72% | 2.32% | 3.04% | 3.12% | 2.24% | 2.92% | 2.34% | 2.21% | 1.60% | 1.52% | 1.65% |
USB U.S. Bancorp | 3.89% | 3.82% | 4.14% | 4.46% | 4.31% | 3.13% | 3.61% | 2.66% | 2.93% | 2.16% | 2.08% | 2.37% |
EXPD Expeditors International of Washington, Inc. | 1.06% | 1.03% | 1.32% | 1.08% | 1.29% | 0.86% | 1.09% | 1.28% | 1.32% | 1.30% | 1.51% | 1.60% |
C Citigroup Inc. | 2.05% | 1.99% | 3.10% | 4.04% | 4.51% | 3.38% | 3.31% | 2.40% | 2.96% | 1.29% | 0.71% | 0.31% |
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 illio Risk-Reward . 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 illio Risk-Reward was 17.38%, occurring on Apr 8, 2025. Recovery took 38 trading sessions.
The current illio Risk-Reward drawdown is 4.32%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -17.38% | Dec 2, 2024 | 87 | Apr 8, 2025 | 38 | Jun 3, 2025 | 125 |
| -8.86% | Feb 26, 2026 | 23 | Mar 30, 2026 | — | — | — |
| -8.68% | Sep 15, 2023 | 31 | Oct 27, 2023 | 22 | Nov 29, 2023 | 53 |
| -7.13% | Jul 17, 2024 | 16 | Aug 7, 2024 | 16 | Aug 29, 2024 | 32 |
| -5.02% | Apr 1, 2024 | 14 | Apr 18, 2024 | 18 | May 14, 2024 | 32 |
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 78 assets, with an effective number of assets of 78.00, 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.