Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
ADI Analog Devices, Inc. | Technology | 4.53% |
ADP Automatic Data Processing, Inc. | Industrials | 12.70% |
COST Costco Wholesale Corporation | Consumer Defensive | 17.80% |
HD The Home Depot, Inc. | Consumer Cyclical | 12.94% |
MSFT Microsoft Corporation | Technology | 5.49% |
NOC Northrop Grumman Corporation | Industrials | 13.70% |
RTX Raytheon Technologies Corporation | Industrials | 13.65% |
V Visa Inc. | Financial Services | 19.19% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Nori Legacy, 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 Mar 19, 2008, corresponding to the inception date of V
Returns By Period
As of Apr 7, 2026, the Nori Legacy returned 1.39% Year-To-Date and 17.89% 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 Nori Legacy | 0.59% | -4.81% | 1.39% | -1.87% | 16.14% | 17.47% | 15.17% | 17.89% |
| Portfolio components: | ||||||||
V Visa Inc. | 0.84% | -4.42% | -13.33% | -12.80% | -2.40% | 11.15% | 7.49% | 15.35% |
COST Costco Wholesale Corporation | 0.35% | 2.05% | 18.28% | 12.12% | 11.75% | 29.72% | 24.56% | 23.07% |
NOC Northrop Grumman Corporation | -0.96% | -7.98% | 22.41% | 13.31% | 45.61% | 15.84% | 17.70% | 15.07% |
ADP Automatic Data Processing, Inc. | 0.16% | -8.93% | -19.91% | -28.63% | -26.79% | 0.42% | 4.12% | 10.89% |
RTX Raytheon Technologies Corporation | 1.12% | -5.41% | 8.54% | 18.40% | 71.78% | 29.20% | 23.38% | 16.60% |
HD The Home Depot, Inc. | 1.56% | -8.13% | -4.44% | -14.99% | -5.37% | 6.88% | 3.39% | 12.00% |
MSFT Microsoft Corporation | -0.16% | -8.82% | -22.72% | -29.16% | 4.42% | 9.39% | 9.23% | 22.78% |
ADI Analog Devices, Inc. | 2.83% | 3.66% | 21.09% | 35.89% | 101.92% | 22.53% | 17.48% | 21.04% |
Monthly Returns
Based on dividend-adjusted daily data since Mar 20, 2008, Nori Legacy's average daily return is +0.07%, while the average monthly return is +1.47%. At this rate, your investment would double in approximately 4.0 years.
Historically, 68% of months were positive and 32% were negative. The best month was Apr 2020 with a return of +13.4%, while the worst month was Oct 2008 at -13.4%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Nori Legacy closed higher 55% of trading days. The best single day was Oct 28, 2008 with a return of +10.8%, while the worst single day was Mar 16, 2020 at -12.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.99% | 1.31% | -5.88% | 1.29% | 1.39% | ||||||||
| 2025 | 6.01% | 2.50% | -3.11% | -0.96% | 5.84% | 0.40% | 1.98% | 2.31% | 0.15% | -2.40% | -1.42% | 0.51% | 11.95% |
| 2024 | 3.50% | 3.83% | 1.60% | -2.58% | 3.95% | -0.81% | 5.42% | 5.00% | 1.15% | 0.04% | 5.60% | -3.99% | 24.57% |
| 2023 | 1.63% | -2.63% | 2.47% | 1.16% | -3.22% | 6.47% | 1.64% | -0.31% | -4.65% | 0.82% | 6.73% | 4.86% | 15.22% |
| 2022 | -5.40% | 2.49% | 3.01% | -4.23% | -0.39% | -3.34% | 7.79% | -3.40% | -7.55% | 10.70% | 6.35% | -4.86% | -0.71% |
| 2021 | -5.43% | 2.58% | 7.20% | 6.37% | 1.97% | 1.68% | 4.07% | -0.12% | -1.49% | 5.52% | 0.62% | 6.65% | 32.97% |
Benchmark Metrics
Nori Legacy has an annualized alpha of 9.25%, beta of 0.87, and R² of 0.82 versus S&P 500 Index. Calculated based on daily prices since March 20, 2008.
- This portfolio captured 108.44% of S&P 500 Index gains but only 71.41% of its losses — a favorable profile for investors.
- This portfolio generated an annualized alpha of 9.25% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- With beta of 0.87 and R² of 0.82, 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
- 9.25%
- Beta
- 0.87
- R²
- 0.82
- Upside Capture
- 108.44%
- Downside Capture
- 71.41%
Expense Ratio
Nori Legacy 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
Nori Legacy ranks 32 for risk / return — below 32% 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.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.18 | 1.84 | -0.66 |
Sortino ratioReturn per unit of downside risk | 1.97 | 2.97 | -1.00 |
Omega ratioGain probability vs. loss probability | 1.23 | 1.40 | -0.17 |
Calmar ratioReturn relative to maximum drawdown | 0.86 | 1.82 | -0.97 |
Martin ratioReturn relative to average drawdown | 2.63 | 7.76 | -5.13 |
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 | |
|---|---|---|---|---|---|---|
V Visa Inc. | 25 | -0.11 | 0.00 | 1.00 | -0.58 | -1.25 |
COST Costco Wholesale Corporation | 52 | 0.61 | 1.03 | 1.12 | 0.32 | 0.63 |
NOC Northrop Grumman Corporation | 80 | 1.62 | 2.15 | 1.33 | 2.44 | 5.22 |
ADP Automatic Data Processing, Inc. | 4 | -1.24 | -1.70 | 0.79 | -0.86 | -1.77 |
RTX Raytheon Technologies Corporation | 93 | 2.78 | 3.52 | 1.51 | 4.07 | 15.79 |
HD The Home Depot, Inc. | 25 | -0.23 | -0.19 | 0.98 | -0.42 | -0.94 |
MSFT Microsoft Corporation | 40 | 0.17 | 0.43 | 1.06 | -0.05 | -0.13 |
ADI Analog Devices, Inc. | 93 | 2.86 | 3.90 | 1.53 | 4.23 | 11.44 |
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Dividends
Dividend yield
Nori Legacy provided a 1.50% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.50% | 1.42% | 1.41% | 1.95% | 1.43% | 1.26% | 4.54% | 1.45% | 1.72% | 2.13% | 1.64% | 2.22% |
| Portfolio components: | ||||||||||||
V Visa Inc. | 0.83% | 0.70% | 0.68% | 0.72% | 0.76% | 0.62% | 0.56% | 0.56% | 0.67% | 0.61% | 0.75% | 0.64% |
COST Costco Wholesale Corporation | 0.51% | 0.59% | 0.49% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% |
NOC Northrop Grumman Corporation | 1.33% | 1.58% | 1.72% | 1.57% | 1.24% | 1.59% | 1.86% | 1.50% | 1.92% | 1.27% | 1.50% | 1.64% |
ADP Automatic Data Processing, Inc. | 3.17% | 2.46% | 1.96% | 2.21% | 1.83% | 1.55% | 2.08% | 1.92% | 2.14% | 2.00% | 2.10% | 2.36% |
RTX Raytheon Technologies Corporation | 1.37% | 1.46% | 2.14% | 2.76% | 2.14% | 2.33% | 21.21% | 1.96% | 2.66% | 2.13% | 2.39% | 2.66% |
HD The Home Depot, Inc. | 2.83% | 2.67% | 2.31% | 2.41% | 2.41% | 1.59% | 2.26% | 2.49% | 2.40% | 1.88% | 2.06% | 1.78% |
MSFT Microsoft Corporation | 0.93% | 0.70% | 0.73% | 0.74% | 1.06% | 0.68% | 0.94% | 1.20% | 1.69% | 1.86% | 2.37% | 2.33% |
ADI Analog Devices, Inc. | 1.24% | 1.46% | 1.73% | 1.73% | 1.85% | 1.57% | 1.68% | 1.82% | 2.24% | 2.02% | 2.31% | 2.89% |
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 Nori Legacy. 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 Nori Legacy was 41.76%, occurring on Mar 9, 2009. Recovery took 246 trading sessions.
The current Nori Legacy drawdown is 5.81%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -41.76% | May 7, 2008 | 211 | Mar 9, 2009 | 246 | Mar 1, 2010 | 457 |
| -31.47% | Feb 20, 2020 | 23 | Mar 23, 2020 | 114 | Sep 2, 2020 | 137 |
| -21.62% | Oct 2, 2018 | 58 | Dec 24, 2018 | 66 | Apr 1, 2019 | 124 |
| -18.97% | Jul 8, 2011 | 24 | Aug 10, 2011 | 95 | Dec 23, 2011 | 119 |
| -17.97% | Apr 26, 2010 | 50 | Jul 6, 2010 | 111 | Dec 10, 2010 | 161 |
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 8 assets, with an effective number of assets of 6.95, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | NOC | COST | ADI | MSFT | HD | RTX | V | ADP | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.47 | 0.55 | 0.69 | 0.70 | 0.62 | 0.62 | 0.64 | 0.68 | 0.83 |
| NOC | 0.47 | 1.00 | 0.32 | 0.28 | 0.31 | 0.35 | 0.57 | 0.34 | 0.44 | 0.63 |
| COST | 0.55 | 0.32 | 1.00 | 0.39 | 0.43 | 0.50 | 0.35 | 0.38 | 0.47 | 0.67 |
| ADI | 0.69 | 0.28 | 0.39 | 1.00 | 0.51 | 0.44 | 0.41 | 0.46 | 0.49 | 0.60 |
| MSFT | 0.70 | 0.31 | 0.43 | 0.51 | 1.00 | 0.42 | 0.40 | 0.48 | 0.51 | 0.62 |
| HD | 0.62 | 0.35 | 0.50 | 0.44 | 0.42 | 1.00 | 0.42 | 0.44 | 0.52 | 0.69 |
| RTX | 0.62 | 0.57 | 0.35 | 0.41 | 0.40 | 0.42 | 1.00 | 0.43 | 0.52 | 0.71 |
| V | 0.64 | 0.34 | 0.38 | 0.46 | 0.48 | 0.44 | 0.43 | 1.00 | 0.53 | 0.75 |
| ADP | 0.68 | 0.44 | 0.47 | 0.49 | 0.51 | 0.52 | 0.52 | 0.53 | 1.00 | 0.76 |
| Portfolio | 0.83 | 0.63 | 0.67 | 0.60 | 0.62 | 0.69 | 0.71 | 0.75 | 0.76 | 1.00 |