Asset Allocation
Find the right asset allocation for illio Risk-Reward
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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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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Returns By Period
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.50% | 0.31% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio illio Risk-Reward | 1.30% | 7.49% | 35.09% | 35.78% | 85.91% | — | — | — |
| Portfolio components: | ||||||||
ADI Analog Devices, Inc. | 1.37% | 0.35% | 54.96% | 50.45% | 88.15% | 31.61% | 22.09% | 24.34% |
AMAT Applied Materials, Inc. | 2.64% | 30.08% | 121.28% | 119.38% | 234.96% | 60.05% | 34.02% | 38.86% |
AME AMETEK, Inc. | 0.40% | -0.34% | 10.80% | 12.76% | 28.96% | 14.64% | 11.51% | 17.87% |
AMGN Amgen Inc. | 0.32% | 8.85% | 10.10% | 13.41% | 23.93% | 20.61% | 11.36% | 12.08% |
BG Bunge Limited | 1.51% | 4.48% | 44.44% | 38.59% | 60.61% | 12.99% | 11.56% | 10.69% |
BNY The Bank of New York Mellon Corporation | 1.33% | 6.64% | 25.07% | 24.06% | 65.56% | 52.23% | 26.82% | 16.57% |
C Citigroup Inc. | 1.27% | 13.30% | 21.02% | 26.32% | 87.27% | 46.87% | 16.80% | 16.22% |
CAH Cardinal Health, Inc. | 1.22% | 14.68% | 9.47% | 13.51% | 40.25% | 38.77% | 33.47% | 14.31% |
CAT Caterpillar Inc. | 1.44% | 2.51% | 59.62% | 52.94% | 157.79% | 57.16% | 35.17% | 31.33% |
CB Chubb Limited | 0.38% | 1.55% | 5.77% | 7.02% | 15.88% | 21.39% | 16.27% | 12.26% |
Monthly Returns
Based on dividend-adjusted daily data since Sep 12, 2023, illio Risk-Reward 's average daily return is +0.14%, while the average monthly return is +2.95%. At this rate, an investment would double in approximately 2.0 years.
Historically, 76% of months were positive and 24% 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% | 10.46% | 4.30% | 4.63% | 35.09% | ||||||
| 2025 | 3.63% | 0.35% | -3.10% | -1.80% | 6.65% | 6.42% | 2.87% | 5.70% | 7.09% | 4.86% | 5.76% | 2.56% | 48.74% |
| 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 | -2.66% | -3.75% | 8.80% | 7.30% | 9.38% |
Benchmark Metrics
illio Risk-Reward has an annualized alpha of 19.99%, beta of 0.92, and R2 of 0.76 versus S&P 500 Index. Calculated based on daily prices since September 12, 2023.
- This portfolio captured 149.47% of S&P 500 Index gains but only 54.45% of its losses - a favorable profile for investors.
- This portfolio generated an annualized alpha of 19.99% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 0.92 and R2 of 0.76, 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
- 19.99%
- Beta
- 0.92
- R²
- 0.76
- Upside Capture
- 149.47%
- Downside Capture
- 54.45%
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 99 for risk / return — in the top 99% 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
The table below presents risk-adjusted performance metrics for illio Risk-Reward and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 5.50 | 1.86 | +3.64 |
| Sortino ratioReturn per unit of downside risk | 6.96 | 2.53 | +4.42 |
| Omega ratioGain probability vs. loss probability | 1.97 | 1.34 | +0.63 |
| Calmar ratioReturn relative to maximum drawdown | 9.58 | 2.53 | +7.05 |
| Martin ratioReturn relative to average drawdown | 45.62 | 11.37 | +34.25 |
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 |
|---|---|---|---|---|---|---|
ADI Analog Devices, Inc. | 93 | 2.59 | 3.38 | 1.42 | 5.27 | 14.52 |
AMAT Applied Materials, Inc. | 97 | 4.65 | 4.13 | 1.59 | 10.67 | 30.41 |
AME AMETEK, Inc. | 77 | 1.22 | 1.99 | 1.23 | 2.00 | 6.35 |
AMGN Amgen Inc. | 67 | 0.84 | 1.42 | 1.17 | 1.40 | 3.22 |
BG Bunge Limited | 91 | 2.24 | 3.33 | 1.38 | 4.55 | 12.66 |
BNY The Bank of New York Mellon Corporation | 95 | 3.17 | 3.87 | 1.51 | 6.29 | 17.79 |
C Citigroup Inc. | 94 | 2.93 | 3.57 | 1.45 | 5.64 | 16.25 |
CAH Cardinal Health, Inc. | 79 | 1.38 | 2.24 | 1.30 | 2.02 | 5.31 |
CAT Caterpillar Inc. | 98 | 4.43 | 5.03 | 1.65 | 11.24 | 36.80 |
CB Chubb Limited | 68 | 0.87 | 1.37 | 1.17 | 1.64 | 3.73 |
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Dividends
Dividend yield
illio Risk-Reward provided a 2.95% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.95% | 3.15% | 1.96% | 2.18% | 2.10% | 1.89% | 2.38% | 2.07% | 2.24% | 2.07% | 1.81% | 2.32% |
| Portfolio components: | ||||||||||||
ADI Analog Devices, Inc. | 1.00% | 1.46% | 1.73% | 1.73% | 1.85% | 1.57% | 1.68% | 1.82% | 2.24% | 2.02% | 2.31% | 2.89% |
AMAT Applied Materials, Inc. | 0.34% | 0.69% | 0.93% | 0.75% | 1.05% | 0.60% | 1.01% | 1.36% | 2.14% | 0.78% | 1.24% | 2.14% |
AME AMETEK, Inc. | 0.42% | 0.60% | 0.62% | 0.61% | 0.63% | 0.54% | 0.60% | 0.56% | 0.83% | 0.50% | 0.74% | 0.67% |
AMGN Amgen Inc. | 2.76% | 2.91% | 3.45% | 2.96% | 2.95% | 3.13% | 2.78% | 2.41% | 2.71% | 2.65% | 2.74% | 1.95% |
BG Bunge Limited | 2.22% | 3.12% | 3.48% | 2.55% | 2.31% | 2.76% | 3.05% | 3.48% | 3.59% | 2.62% | 2.21% | 2.11% |
BNY The Bank of New York Mellon Corporation | 1.47% | 1.72% | 2.32% | 3.04% | 3.12% | 2.24% | 2.92% | 2.34% | 2.21% | 1.60% | 1.52% | 1.65% |
C Citigroup Inc. | 1.72% | 1.99% | 3.10% | 4.04% | 4.51% | 3.38% | 3.31% | 2.40% | 2.96% | 1.29% | 0.71% | 0.31% |
CAH Cardinal Health, Inc. | 0.91% | 0.99% | 1.28% | 1.98% | 2.57% | 3.80% | 3.62% | 3.80% | 4.24% | 3.00% | 2.41% | 1.68% |
CAT Caterpillar Inc. | 0.66% | 1.02% | 1.49% | 1.69% | 1.93% | 2.07% | 2.26% | 2.56% | 2.58% | 1.97% | 3.32% | 4.33% |
CB Chubb Limited | 1.20% | 1.22% | 1.30% | 1.51% | 1.49% | 1.65% | 2.01% | 1.91% | 2.24% | 1.93% | 2.07% | 4.23% |
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.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -17.38%Apr 2025 | 4mo 7d | 1mo 26d | 6mo 3dDec 2024 - Jun 2025 |
2026 pullback2026 | -8.86%Mar 2026 | 1mo 2d | 10d | 1mo 12dFeb 2026 - Apr 2026 |
2023 pullback2023 | -8.68%Oct 2023 | 1mo 12d | 1mo 3d | 2mo 15dSep 2023 - Nov 2023 |
2024 pullback2024 | -7.13%Aug 2024 | 21d | 22d | 1mo 13dJul 2024 - Aug 2024 |
2024 pullback2024 | -5.02%Apr 2024 | 17d | 26d | 1mo 13dApr 2024 - May 2024 |
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. 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 | All Time | |
|---|---|---|
Diversification Ratio | 2.23 | 1.95 |
The portfolio has a diversification ratio of 1.95, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.
illio Risk-Reward correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.76 |
Correlation (All Time) Calculated using the full available price history since Sep 12, 2023 | 0.80 |
Benchmark Correlations
Correlation vs. S&P 500 Index. LRCX has the highest benchmark correlation at 0.67, while NOC has the lowest at 0.03.
Portfolio Correlations
Correlation vs. illio Risk-Reward . CAT has the highest portfolio correlation at 0.76, while MCK has the lowest at 0.13.
Asset Correlations Table
Find what illio Risk-Reward is missing
See which holdings overlap, where illio Risk-Reward is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification