Asset Allocation
Find the right asset allocation for Backtest (3/26/25)
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 Backtest (3/26/25), 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 never rebalanced.
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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 Backtest (3/26/25) | 0.15% | -1.90% | 3.36% | 4.32% | 8.70% | — | — | — |
| Portfolio components: | ||||||||
ABBV AbbVie Inc. | 1.32% | 8.24% | 1.30% | 3.65% | 23.06% | 22.39% | 18.94% | 19.10% |
AXON Axon Enterprise, Inc. | -1.00% | 12.72% | -22.22% | -21.72% | -43.41% | 30.96% | 22.92% | 34.58% |
AZO AutoZone, Inc. | 1.13% | -7.79% | -8.11% | -9.56% | -14.45% | 8.78% | 17.45% | 15.33% |
CBOE Cboe Global Markets, Inc. | -0.33% | -18.59% | 18.03% | 17.09% | 31.97% | 31.02% | 22.58% | 17.84% |
CHD Church & Dwight Co., Inc. | 0.49% | 3.73% | 17.09% | 16.04% | 1.80% | 2.12% | 4.10% | 8.34% |
COST Costco Wholesale Corporation | 0.68% | -6.35% | 14.24% | 11.38% | -0.24% | 25.12% | 22.12% | 22.27% |
DPZ Domino's Pizza, Inc. | 3.72% | 7.14% | -21.90% | -24.30% | -27.44% | 3.89% | -5.25% | 11.08% |
ED Consolidated Edison, Inc. | 0.84% | 2.26% | 10.24% | 12.27% | 7.08% | 9.08% | 10.68% | 7.01% |
ERIE Erie Indemnity Company | 0.29% | 6.39% | -20.05% | -20.24% | -35.23% | 3.22% | 5.55% | 11.43% |
K Kellogg Company | — | — | — | — | — | — | — | — |
Monthly Returns
Based on dividend-adjusted daily data since Sep 12, 2023, Backtest (3/26/25)'s average daily return is +0.10%, while the average monthly return is +2.03%. At this rate, an investment would double in approximately 2.9 years.
Historically, 79% of months were positive and 21% were negative. The best month was Aug 2024 with a return of +10.2%, while the worst month was Dec 2024 at -8.3%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 1 months.
On a daily basis, Backtest (3/26/25) closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +6.7%, while the worst single day was Apr 4, 2025 at -7.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.78% | 7.02% | -7.64% | 2.22% | 1.06% | -0.55% | 3.36% | ||||||
| 2025 | 4.37% | 6.50% | -2.74% | 2.71% | 0.78% | 2.09% | -1.74% | 1.15% | 2.92% | -2.02% | 1.91% | 1.12% | 17.99% |
| 2024 | 5.07% | 8.68% | 6.09% | 0.28% | 4.55% | 4.19% | 0.96% | 10.19% | 0.49% | 0.10% | 9.68% | -8.28% | 48.97% |
| 2023 | -3.03% | 1.76% | 5.53% | 1.67% | 5.87% |
Benchmark Metrics
Backtest (3/26/25) has an annualized alpha of 12.19%, beta of 0.68, and R2 of 0.57 versus S&P 500 Index. Calculated based on daily prices since September 12, 2023.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (82.53%) than losses (14.77%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 12.19% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.68 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 12.19%
- Beta
- 0.68
- R²
- 0.57
- Upside Capture
- 82.53%
- Downside Capture
- 14.77%
Expense Ratio
Backtest (3/26/25) 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
Backtest (3/26/25) ranks 11 for risk / return — in the bottom 11% 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 Backtest (3/26/25) 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 | 0.81 | 1.86 | -1.05 |
| Sortino ratioReturn per unit of downside risk | 1.24 | 2.53 | -1.29 |
| Omega ratioGain probability vs. loss probability | 1.15 | 1.34 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | 0.92 | 2.53 | -1.62 |
| Martin ratioReturn relative to average drawdown | 2.68 | 11.37 | -8.69 |
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 |
|---|---|---|---|---|---|---|
ABBV AbbVie Inc. | 67 | 0.92 | 1.42 | 1.18 | 1.29 | 2.88 |
AXON Axon Enterprise, Inc. | 13 | -0.78 | -1.04 | 0.87 | -0.72 | -1.22 |
AZO AutoZone, Inc. | 21 | -0.57 | -0.62 | 0.92 | -0.47 | -1.00 |
CBOE Cboe Global Markets, Inc. | 73 | 1.16 | 1.63 | 1.23 | 1.29 | 5.70 |
CHD Church & Dwight Co., Inc. | 39 | -0.01 | 0.14 | 1.02 | -0.01 | -0.03 |
COST Costco Wholesale Corporation | 36 | -0.08 | 0.02 | 1.00 | -0.10 | -0.22 |
DPZ Domino's Pizza, Inc. | 8 | -1.04 | -1.43 | 0.84 | -0.73 | -1.49 |
ED Consolidated Edison, Inc. | 54 | 0.44 | 0.72 | 1.08 | 0.76 | 1.59 |
ERIE Erie Indemnity Company | 6 | -1.16 | -1.63 | 0.81 | -0.83 | -1.50 |
K Kellogg Company | — | — | — | — | — | — |
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Dividends
Dividend yield
Backtest (3/26/25) provided a 1.96% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.96% | 1.30% | 1.09% | 1.65% | 1.30% | 2.08% | 1.74% | 1.83% | 21.39% | 1.40% | 1.62% | 1.72% |
| Portfolio components: | ||||||||||||
ABBV AbbVie Inc. | 2.96% | 2.87% | 3.49% | 3.82% | 3.49% | 3.84% | 4.41% | 4.83% | 3.89% | 2.65% | 3.64% | 3.41% |
AXON Axon Enterprise, 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% |
AZO AutoZone, 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% |
CBOE Cboe Global Markets, Inc. | 0.98% | 1.08% | 1.21% | 1.18% | 1.56% | 1.38% | 1.68% | 1.12% | 1.19% | 0.83% | 1.30% | 1.36% |
CHD Church & Dwight Co., Inc. | 1.24% | 1.41% | 1.08% | 1.15% | 1.30% | 0.99% | 1.10% | 1.29% | 1.32% | 1.51% | 1.61% | 1.58% |
COST Costco Wholesale Corporation | 0.55% | 0.59% | 0.49% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% |
DPZ Domino's Pizza, Inc. | 1.69% | 1.67% | 1.44% | 1.17% | 1.27% | 0.67% | 0.81% | 0.89% | 0.89% | 0.97% | 0.95% | 1.11% |
ED Consolidated Edison, Inc. | 3.23% | 3.42% | 3.72% | 3.56% | 3.32% | 3.63% | 4.23% | 3.27% | 3.74% | 3.25% | 3.64% | 4.05% |
ERIE Erie Indemnity Company | 2.49% | 1.90% | 1.24% | 1.42% | 1.79% | 2.15% | 2.39% | 2.17% | 2.52% | 2.57% | 1.95% | 3.61% |
K Kellogg Company | 1.39% | 2.76% | 2.79% | 10.56% | 3.28% | 3.59% | 3.66% | 3.27% | 3.86% | 3.12% | 2.77% | 2.74% |
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 Backtest (3/26/25). 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 Backtest (3/26/25) was 11.81%, occurring on Apr 8, 2025. Recovery took 26 trading sessions.
The current Backtest (3/26/25) drawdown is 5.38%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -11.81%Apr 2025 | 1mo 18d | 1mo 7d | 2mo 25dFeb 2025 - May 2025 |
2026 pullback2026 | -9.50%Mar 2026 | 27d | — | 3mo 14dMar 2026 - now |
2024 pullback2024 | -8.35%Dec 2024 | 17d | 1mo 23d | 2mo 10dDec 2024 - Feb 2025 |
2024 pullback2024 | -5.65%Aug 2024 | 20d | 7d | 27dJul 2024 - Aug 2024 |
2023 pullback2023 | -4.78%Oct 2023 | 18d | 13d | 1mo 1dSep 2023 - Oct 2023 |
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 25 assets, with an effective number of assets of 14.34, 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 | All Time | |
|---|---|---|
Diversification Ratio | 3.03 | 2.42 |
The portfolio has a diversification ratio of 2.42, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.
Backtest (3/26/25) correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.58 |
Correlation (All Time) Calculated using the full available price history since Sep 12, 2023 | 0.68 |
Benchmark Correlations
Correlation vs. S&P 500 Index. NVDA has the highest benchmark correlation at 0.63, while CBOE has the lowest at -0.14.
Portfolio Correlations
Correlation vs. Backtest (3/26/25). NVDA has the highest portfolio correlation at 0.57, while CBOE has the lowest at 0.06.
Asset Correlations Table
Find what Backtest (3/26/25) is missing
See which holdings overlap, where Backtest (3/26/25) is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification