Asset Allocation
Find the right asset allocation for SI-LowV-Stks
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in SI-LowV-Stks, 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.
Loading charts...
Returns By Period
As of Jun 9, 2026, the SI-LowV-Stks returned -0.08% Year-To-Date and 19.73% 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 SI-LowV-Stks | -0.54% | -0.46% | -0.08% | 0.43% | 7.28% | 18.15% | 15.30% | 19.73% |
| Portfolio components: | ||||||||
AAPL Apple Inc | -1.89% | 2.90% | 11.12% | 8.71% | 48.46% | 19.11% | 19.46% | 29.63% |
ABBV AbbVie Inc. | -1.83% | 10.68% | -0.77% | 1.62% | 21.34% | 21.59% | 18.74% | 18.63% |
ACM AECOM | -0.41% | -12.09% | -25.17% | -29.69% | -35.66% | -4.40% | 2.79% | 8.49% |
ADBE Adobe Inc | -2.57% | -3.18% | -30.00% | -27.76% | -41.24% | -18.59% | -13.80% | 9.70% |
ADI Analog Devices, Inc. | 0.62% | -2.77% | 49.80% | 45.55% | 84.16% | 32.45% | 21.45% | 23.95% |
ADP Automatic Data Processing, Inc. | -1.24% | 7.55% | -10.21% | -10.14% | -28.14% | 4.26% | 5.16% | 12.50% |
ADRNY Koninklijke Ahold Delhaize NV ADR | -1.47% | -6.81% | 1.57% | 2.39% | 1.77% | 13.15% | 10.23% | 12.03% |
AEE Ameren Corporation | -1.94% | -1.76% | 8.03% | 9.40% | 14.79% | 12.16% | 7.61% | 10.81% |
AEP American Electric Power Company, Inc. | -1.84% | -2.60% | 11.61% | 11.21% | 28.48% | 19.18% | 12.45% | 10.42% |
AFG American Financial Group, Inc. | -1.05% | -0.19% | -1.66% | 1.53% | 10.29% | 10.49% | 9.93% | 14.28% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 5, 2016, SI-LowV-Stks's average daily return is +0.08%, while the average monthly return is +1.57%. At this rate, an investment would double in approximately 3.7 years.
Historically, 68% of months were positive and 32% were negative. The best month was Apr 2020 with a return of +11.5%, while the worst month was Mar 2020 at -9.9%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, SI-LowV-Stks closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +8.7%, while the worst single day was Mar 16, 2020 at -12.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.81% | -0.30% | -5.37% | 6.72% | 2.48% | -2.38% | -0.08% | ||||||
| 2025 | 2.72% | 0.15% | -3.35% | -0.02% | 5.11% | 3.92% | 0.02% | 2.00% | 3.14% | -1.41% | 1.01% | -0.16% | 13.59% |
| 2024 | 3.15% | 3.93% | 3.06% | -3.52% | 3.95% | 4.31% | 2.60% | 2.76% | 1.57% | -0.11% | 4.70% | -2.38% | 26.39% |
| 2023 | 5.61% | -0.81% | 5.26% | 2.87% | 1.11% | 6.24% | 2.78% | -0.43% | -3.71% | -0.08% | 8.55% | 3.38% | 34.64% |
| 2022 | -3.81% | -2.32% | 3.84% | -6.85% | 1.22% | -6.33% | 7.72% | -3.82% | -8.68% | 8.96% | 6.52% | -4.30% | -9.44% |
| 2021 | -2.02% | 3.29% | 4.22% | 5.49% | 0.84% | 3.06% | 3.54% | 3.26% | -4.18% | 6.99% | -1.32% | 5.57% | 32.03% |
Benchmark Metrics
SI-LowV-Stks has an annualized alpha of 6.67%, beta of 0.92, and R2 of 0.95 versus S&P 500 Index. Calculated based on daily prices since January 05, 2016.
- This portfolio captured 106.03% of S&P 500 Index gains but only 77.34% of its losses - a favorable profile for investors.
- This portfolio generated an annualized alpha of 6.67% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 0.92 and R2 of 0.95, 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
- 6.67%
- Beta
- 0.92
- R²
- 0.95
- Upside Capture
- 106.03%
- Downside Capture
- 77.34%
Expense Ratio
SI-LowV-Stks has an expense ratio of 0.00%, which is considered low. 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
SI-LowV-Stks ranks 9 for risk / return — in the bottom 9% 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
The table below presents risk-adjusted performance metrics for SI-LowV-Stks and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 0.72 | 1.94 | -1.22 |
| Sortino ratioReturn per unit of downside risk | 1.06 | 2.63 | -1.57 |
| Omega ratioGain probability vs. loss probability | 1.13 | 1.35 | -0.22 |
| Calmar ratioReturn relative to maximum drawdown | 0.69 | 2.59 | -1.89 |
| Martin ratioReturn relative to average drawdown | 2.45 | 11.84 | -9.39 |
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 |
|---|---|---|---|---|---|---|
AAPL Apple Inc | 88 | 2.18 | 3.09 | 1.39 | 3.53 | 8.89 |
ABBV AbbVie Inc. | 66 | 0.88 | 1.37 | 1.17 | 1.24 | 2.77 |
ACM AECOM | 7 | -1.12 | -1.46 | 0.78 | -0.75 | -1.45 |
ADBE Adobe Inc | 4 | -1.22 | -1.83 | 0.78 | -0.90 | -1.52 |
ADI Analog Devices, Inc. | 93 | 2.67 | 3.46 | 1.43 | 5.38 | 15.01 |
ADP Automatic Data Processing, Inc. | 8 | -1.16 | -1.68 | 0.80 | -0.72 | -1.33 |
ADRNY Koninklijke Ahold Delhaize NV ADR | 43 | 0.09 | 0.31 | 1.04 | 0.10 | 0.30 |
AEE Ameren Corporation | 69 | 0.94 | 1.37 | 1.17 | 1.84 | 4.75 |
AEP American Electric Power Company, Inc. | 83 | 1.56 | 2.33 | 1.28 | 3.15 | 8.01 |
AFG American Financial Group, Inc. | 56 | 0.54 | 0.88 | 1.10 | 0.78 | 1.48 |
Loading charts...
Dividends
Dividend yield
SI-LowV-Stks provided a 1.65% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.65% | 1.49% | 1.50% | 1.55% | 1.58% | 1.46% | 2.05% | 1.61% | 1.78% | 1.51% | 2.36% | 1.68% |
| Portfolio components: | ||||||||||||
AAPL Apple Inc | 0.35% | 0.38% | 0.40% | 0.49% | 0.70% | 0.49% | 0.61% | 1.04% | 1.79% | 1.45% | 1.93% | 1.93% |
ABBV AbbVie Inc. | 3.02% | 2.87% | 3.49% | 3.82% | 3.49% | 3.84% | 4.41% | 4.83% | 3.89% | 2.65% | 3.64% | 3.41% |
ACM AECOM | 1.61% | 1.09% | 0.82% | 0.78% | 0.71% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ADBE Adobe Inc | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ADI Analog Devices, Inc. | 1.03% | 1.46% | 1.73% | 1.73% | 1.85% | 1.57% | 1.68% | 1.82% | 2.24% | 2.02% | 2.31% | 2.89% |
ADP Automatic Data Processing, Inc. | 2.83% | 2.46% | 1.96% | 2.21% | 1.83% | 1.55% | 2.08% | 1.92% | 2.14% | 2.00% | 2.10% | 2.36% |
ADRNY Koninklijke Ahold Delhaize NV ADR | 3.34% | 3.04% | 3.71% | 4.11% | 3.63% | 2.59% | 3.54% | 3.71% | 2.58% | 2.32% | 8.67% | 2.22% |
AEE Ameren Corporation | 2.69% | 2.84% | 3.01% | 3.48% | 2.65% | 2.47% | 2.56% | 2.50% | 2.83% | 3.01% | 4.08% | 3.83% |
AEP American Electric Power Company, Inc. | 2.98% | 3.24% | 3.87% | 4.15% | 3.34% | 3.37% | 3.41% | 2.87% | 3.39% | 3.25% | 3.61% | 3.69% |
AFG American Financial Group, Inc. | 5.29% | 5.33% | 6.89% | 6.81% | 10.42% | 20.43% | 4.39% | 4.51% | 4.92% | 4.41% | 2.44% | 2.82% |
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.
Loading charts...
Worst Drawdowns
The table below displays the maximum drawdowns of the SI-LowV-Stks. 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 SI-LowV-Stks was 31.40%, occurring on Mar 23, 2020. Recovery took 94 trading sessions.
The current SI-LowV-Stks drawdown is 3.29%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -31.40%Mar 2020 | 1mo 2d | 4mo 15d | 5mo 17dFeb 2020 - Aug 2020 |
Bear market2022 | -18.96%Sep 2022 | 9mo 4d | 6mo 8d | 1y 3moDec 2021 - Apr 2023 |
Rate-hike selloffLate 2018 | -16.28%Dec 2018 | 2mo 23d | 2mo 19d | 5mo 12dOct 2018 - Mar 2019 |
2025 selloff2025 | -13.40%Apr 2025 | 1mo 17d | 1mo 11d | 2mo 28dFeb 2025 - May 2025 |
2026 correction2026 | -10.53%Mar 2026 | 5mo | 2mo 3d | 7mo 3dOct 2025 - May 2026 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading charts...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 81 assets, with an effective number of assets of 47.07, reflecting the diversification based on asset allocation. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 2.85 | 2.24 | 1.89 | 1.67 | 1.67 |
The portfolio has a diversification ratio of 1.67, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
SI-LowV-Stks correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.82 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.91 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.95 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2016 | 0.95 |
Benchmark Correlations
Correlation vs. S&P 500 Index. MSFT has the highest benchmark correlation at 0.73, while BIL has the lowest at 0.01.
Portfolio Correlations
Correlation vs. SI-LowV-Stks. MSFT has the highest portfolio correlation at 0.78, while BIL has the lowest at 0.00.
Asset Correlations Table
Find what SI-LowV-Stks is missing
See which holdings overlap, where SI-LowV-Stks is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification