Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
CMNIX Calamos Market Neutral Income Fund Institutional Class | 10.30% | |
JENSX Jensen Quality Growth Fund | Large Cap Blend Equities | 10.10% |
JEPI JPMorgan Equity Premium Income ETF | Actively Managed, Dividend, Derivative Income | 10% |
PRWCX T. Rowe Price Capital Appreciation Fund | Diversified Portfolio | 10.70% |
VGSH Vanguard Short-Term Treasury ETF | Government Bonds, Short-Term Bond | 48.70% |
VOO Vanguard S&P 500 ETF | S&P 500 | 5.20% |
VSIEX JPMorgan International Equity Fund | Foreign Large Cap Equities | 5% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in High Trans Portfolio, 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 May 21, 2020, corresponding to the inception date of JEPI
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio High Trans Portfolio | 0.05% | -1.52% | -1.01% | 0.89% | 6.33% | 6.85% | 4.54% | — |
| Portfolio components: | ||||||||
JEPI JPMorgan Equity Premium Income ETF | 0.07% | -3.33% | 0.53% | 3.26% | 7.70% | 9.62% | 8.34% | — |
VOO Vanguard S&P 500 ETF | 0.11% | -3.33% | -3.55% | -1.41% | 17.60% | 18.47% | 11.96% | 14.19% |
CMNIX Calamos Market Neutral Income Fund Institutional Class | 0.13% | -0.32% | 0.50% | 1.92% | 6.01% | 6.90% | 4.52% | 4.69% |
JENSX Jensen Quality Growth Fund | 0.66% | -6.16% | -9.79% | -10.60% | -5.14% | 1.32% | 2.72% | 8.08% |
PRWCX T. Rowe Price Capital Appreciation Fund | 0.35% | -2.25% | -2.88% | 5.63% | 16.63% | 13.86% | 9.30% | 11.44% |
VSIEX JPMorgan International Equity Fund | 1.67% | -1.53% | 2.87% | 4.16% | 17.89% | 12.44% | 6.22% | 8.61% |
VGSH Vanguard Short-Term Treasury ETF | 0.09% | -0.23% | 0.34% | 1.33% | 3.82% | 3.98% | 1.80% | 1.74% |
Monthly Returns
Based on dividend-adjusted daily data since May 22, 2020, High Trans Portfolio's average daily return is +0.02%, while the average monthly return is +0.48%. At this rate, your investment would double in approximately 12.1 years.
Historically, 69% of months were positive and 31% were negative. The best month was Nov 2020 with a return of +4.1%, while the worst month was Sep 2022 at -3.9%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.
On a daily basis, High Trans Portfolio closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +2.8%, while the worst single day was Apr 4, 2025 at -2.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.63% | 0.56% | -2.49% | 0.31% | -1.01% | ||||||||
| 2025 | 1.60% | 0.38% | -0.94% | 0.29% | 1.42% | 1.40% | 0.28% | 1.15% | 0.85% | 0.50% | 0.62% | 0.99% | 8.85% |
| 2024 | 0.58% | 1.15% | 1.01% | -1.47% | 1.66% | 0.94% | 1.50% | 1.55% | 1.08% | -1.12% | 0.71% | -1.15% | 6.57% |
| 2023 | 2.34% | -1.52% | 2.48% | 1.00% | -0.68% | 1.73% | 1.03% | -0.20% | -1.61% | -0.56% | 3.59% | 2.05% | 9.92% |
| 2022 | -2.48% | -1.31% | 0.34% | -3.00% | 0.25% | -2.94% | 3.32% | -2.08% | -3.94% | 2.67% | 3.21% | -1.40% | -7.43% |
| 2021 | -0.80% | 0.65% | 1.91% | 1.83% | 0.55% | 0.42% | 1.38% | 0.91% | -1.79% | 2.19% | -0.59% | 2.15% | 9.10% |
Benchmark Metrics
High Trans Portfolio has an annualized alpha of 1.13%, beta of 0.31, and R² of 0.88 versus S&P 500 Index. Calculated based on daily prices since May 22, 2020.
- This portfolio participated in 38.03% of S&P 500 Index downside but only 31.77% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.31 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
- 1.13%
- Beta
- 0.31
- R²
- 0.88
- Upside Capture
- 31.77%
- Downside Capture
- 38.03%
Expense Ratio
High Trans Portfolio has an expense ratio of 0.33%, placing it in the medium range. 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
High Trans Portfolio ranks 37 for risk / return — below 37% 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 | 1.10 | 0.88 | +0.22 |
Sortino ratioReturn per unit of downside risk | 1.66 | 1.37 | +0.29 |
Omega ratioGain probability vs. loss probability | 1.25 | 1.21 | +0.04 |
Calmar ratioReturn relative to maximum drawdown | 1.60 | 1.39 | +0.21 |
Martin ratioReturn relative to average drawdown | 7.21 | 6.43 | +0.77 |
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 | |
|---|---|---|---|---|---|---|
JEPI JPMorgan Equity Premium Income ETF | 30 | 0.58 | 0.92 | 1.15 | 0.79 | 3.80 |
VOO Vanguard S&P 500 ETF | 54 | 0.98 | 1.49 | 1.23 | 1.53 | 7.13 |
CMNIX Calamos Market Neutral Income Fund Institutional Class | 90 | 1.78 | 2.67 | 1.57 | 2.30 | 15.62 |
JENSX Jensen Quality Growth Fund | 2 | -0.29 | -0.32 | 0.96 | -0.30 | -1.11 |
PRWCX T. Rowe Price Capital Appreciation Fund | 81 | 1.28 | 2.38 | 1.34 | 2.59 | 10.61 |
VSIEX JPMorgan International Equity Fund | 47 | 1.08 | 1.52 | 1.22 | 1.59 | 5.95 |
VGSH Vanguard Short-Term Treasury ETF | 96 | 2.67 | 4.30 | 1.58 | 4.26 | 16.01 |
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Dividends
Dividend yield
High Trans Portfolio provided a 9.35% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 9.35% | 8.90% | 4.37% | 4.48% | 3.37% | 3.09% | 2.61% | 2.97% | 3.50% | 2.03% | 1.75% | 3.02% |
| Portfolio components: | ||||||||||||
JEPI JPMorgan Equity Premium Income ETF | 8.46% | 8.25% | 7.33% | 8.40% | 11.68% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.18% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
CMNIX Calamos Market Neutral Income Fund Institutional Class | 1.74% | 1.63% | 2.00% | 5.90% | 1.02% | 0.46% | 0.90% | 1.57% | 5.02% | 2.60% | 2.97% | 2.42% |
JENSX Jensen Quality Growth Fund | 42.70% | 38.59% | 0.64% | 7.82% | 3.02% | 6.69% | 0.94% | 8.12% | 10.12% | 3.24% | 4.62% | 11.65% |
PRWCX T. Rowe Price Capital Appreciation Fund | 16.19% | 15.72% | 10.38% | 4.15% | 9.44% | 9.23% | 7.97% | 5.83% | 7.46% | 6.82% | 3.51% | 9.86% |
VSIEX JPMorgan International Equity Fund | 6.24% | 6.41% | 3.06% | 2.23% | 2.66% | 6.74% | 1.17% | 3.13% | 3.69% | 1.63% | 1.78% | 1.94% |
VGSH Vanguard Short-Term Treasury ETF | 3.92% | 4.00% | 4.18% | 3.31% | 1.15% | 0.66% | 1.74% | 2.28% | 1.79% | 1.10% | 0.84% | 0.69% |
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 High Trans Portfolio. 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 High Trans Portfolio was 11.54%, occurring on Oct 14, 2022. Recovery took 284 trading sessions.
The current High Trans Portfolio drawdown is 2.18%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -11.54% | Dec 30, 2021 | 201 | Oct 14, 2022 | 284 | Dec 1, 2023 | 485 |
| -4.79% | Feb 20, 2025 | 34 | Apr 8, 2025 | 23 | May 12, 2025 | 57 |
| -3.62% | Mar 2, 2026 | 20 | Mar 27, 2026 | — | — | — |
| -2.65% | Sep 3, 2020 | 14 | Sep 23, 2020 | 13 | Oct 12, 2020 | 27 |
| -2.36% | Oct 13, 2020 | 14 | Oct 30, 2020 | 4 | Nov 5, 2020 | 18 |
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 7 assets, with an effective number of assets of 3.51, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | VGSH | VSIEX | CMNIX | JEPI | JENSX | PRWCX | VOO | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.02 | 0.76 | 0.80 | 0.80 | 0.90 | 0.92 | 1.00 | 0.93 |
| VGSH | 0.02 | 1.00 | 0.11 | 0.03 | 0.06 | 0.08 | 0.10 | 0.03 | 0.21 |
| VSIEX | 0.76 | 0.11 | 1.00 | 0.62 | 0.65 | 0.69 | 0.72 | 0.76 | 0.80 |
| CMNIX | 0.80 | 0.03 | 0.62 | 1.00 | 0.65 | 0.72 | 0.76 | 0.79 | 0.77 |
| JEPI | 0.80 | 0.06 | 0.65 | 0.65 | 1.00 | 0.84 | 0.79 | 0.80 | 0.86 |
| JENSX | 0.90 | 0.08 | 0.69 | 0.72 | 0.84 | 1.00 | 0.88 | 0.90 | 0.94 |
| PRWCX | 0.92 | 0.10 | 0.72 | 0.76 | 0.79 | 0.88 | 1.00 | 0.92 | 0.94 |
| VOO | 1.00 | 0.03 | 0.76 | 0.79 | 0.80 | 0.90 | 0.92 | 1.00 | 0.93 |
| Portfolio | 0.93 | 0.21 | 0.80 | 0.77 | 0.86 | 0.94 | 0.94 | 0.93 | 1.00 |