Asset Allocation
Find the right asset allocation for Maximum Sharpe Ratio
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 Maximum Sharpe Ratio, 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
As of Jun 23, 2026, the Maximum Sharpe Ratio returned 17.23% Year-To-Date and 20.02% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -1.44% | -1.45% | 7.60% | 6.59% | 22.24% | 19.20% | 11.54% | 13.71% |
Portfolio Maximum Sharpe Ratio | -2.07% | 0.03% | 17.23% | 14.69% | 36.40% | 25.48% | 15.06% | 20.02% |
| Portfolio components: | ||||||||
AGG iShares Core U.S. Aggregate Bond ETF | 0.08% | 0.61% | 0.47% | 0.55% | 4.33% | 3.96% | 0.07% | 1.54% |
EFA iShares MSCI EAFE ETF | -2.03% | 0.10% | 8.38% | 8.09% | 21.83% | 16.63% | 8.49% | 9.87% |
FDGRX Fidelity Growth Company Fund | -1.05% | 1.13% | 21.71% | 14.48% | 44.78% | 30.10% | 15.67% | 23.44% |
FTEC Fidelity MSCI Information Technology Index ETF | -3.70% | 0.35% | 23.56% | 21.69% | 47.58% | 30.58% | 19.77% | 25.28% |
IWM iShares Russell 2000 ETF | -0.96% | 3.82% | 20.47% | 17.64% | 40.90% | 19.22% | 6.27% | 11.58% |
PDRDX Principal Diversified Real Asset Fund | 0.15% | -2.80% | 10.40% | 9.97% | 18.00% | 10.78% | 6.08% | 6.35% |
QQQ Invesco QQQ ETF | -3.29% | -0.43% | 16.45% | 14.99% | 34.88% | 26.05% | 16.01% | 22.07% |
VOO Vanguard S&P 500 ETF | -1.42% | -1.34% | 8.19% | 7.24% | 23.69% | 20.78% | 13.13% | 15.61% |
VTI Vanguard Total Stock Market ETF | -1.39% | -0.84% | 8.82% | 7.71% | 24.22% | 20.62% | 11.90% | 15.14% |
Monthly Returns
Based on dividend-adjusted daily data since Oct 24, 2013, Maximum Sharpe Ratio's average daily return is +0.07%, while the average monthly return is +1.44%. At this rate, an investment would double in approximately 4.0 years.
Historically, 63% of months were positive and 37% were negative. The best month was Apr 2020 with a return of +14.1%, while the worst month was Apr 2022 at -11.3%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Maximum Sharpe Ratio closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +11.0%, while the worst single day was Mar 16, 2020 at -11.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.59% | -0.92% | -4.44% | 13.95% | 9.71% | -2.50% | 17.23% | ||||||
| 2025 | 1.55% | -2.56% | -7.19% | 0.62% | 8.26% | 6.60% | 3.02% | 1.73% | 5.33% | 4.25% | -1.68% | -0.74% | 19.78% |
| 2024 | 1.52% | 5.57% | 2.32% | -4.56% | 6.28% | 5.13% | -0.09% | 1.35% | 2.19% | -0.79% | 5.91% | -1.01% | 25.87% |
| 2023 | 9.06% | -1.13% | 6.43% | 0.61% | 4.83% | 6.14% | 3.56% | -2.00% | -5.47% | -2.34% | 10.61% | 5.48% | 40.43% |
| 2022 | -7.73% | -3.21% | 3.53% | -11.32% | -1.35% | -8.73% | 11.10% | -4.40% | -10.27% | 6.53% | 5.40% | -7.30% | -26.76% |
| 2021 | 0.18% | 1.80% | 1.47% | 5.28% | -0.44% | 5.11% | 1.88% | 3.44% | -4.84% | 7.21% | 0.85% | 1.46% | 25.39% |
Benchmark Metrics
Maximum Sharpe Ratio has an annualized alpha of 4.01%, beta of 1.08, and R2 of 0.93 versus S&P 500 Index. Calculated based on daily prices since October 24, 2013.
- This portfolio captured 120.29% of S&P 500 Index gains but only 97.90% of its losses - a favorable profile for investors.
- This portfolio generated an annualized alpha of 4.01% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 1.08 and R2 of 0.93, 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
- 4.01%
- Beta
- 1.08
- R²
- 0.93
- Upside Capture
- 120.29%
- Downside Capture
- 97.90%
Expense Ratio
Maximum Sharpe Ratio has an expense ratio of 0.23%, 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
Maximum Sharpe Ratio ranks 71 for risk / return — better than 71% of Portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Maximum Sharpe Ratio 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 | 2.20 | 1.78 | +0.42 |
| Sortino ratioReturn per unit of downside risk | 2.86 | 2.44 | +0.43 |
| Omega ratioGain probability vs. loss probability | 1.38 | 1.32 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 3.61 | 2.46 | +1.15 |
| Martin ratioReturn relative to average drawdown | 14.14 | 10.92 | +3.22 |
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 |
|---|---|---|---|---|---|---|
AGG iShares Core U.S. Aggregate Bond ETF | 32 | 1.14 | 1.69 | 1.20 | 1.57 | 4.54 |
EFA iShares MSCI EAFE ETF | 42 | 1.40 | 2.02 | 1.26 | 1.92 | 7.16 |
FDGRX Fidelity Growth Company Fund | 72 | 2.37 | 2.94 | 1.40 | 3.68 | 13.48 |
FTEC Fidelity MSCI Information Technology Index ETF | 60 | 2.10 | 2.63 | 1.35 | 2.94 | 9.03 |
IWM iShares Russell 2000 ETF | 67 | 2.08 | 2.86 | 1.34 | 3.73 | 13.18 |
PDRDX Principal Diversified Real Asset Fund | 58 | 1.96 | 2.68 | 1.36 | 3.14 | 12.18 |
QQQ Invesco QQQ ETF | 59 | 1.95 | 2.57 | 1.35 | 2.93 | 10.86 |
VOO Vanguard S&P 500 ETF | 59 | 1.91 | 2.60 | 1.35 | 2.67 | 11.96 |
VTI Vanguard Total Stock Market ETF | 59 | 1.90 | 2.59 | 1.34 | 2.73 | 12.14 |
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Dividends
Dividend yield
Maximum Sharpe Ratio provided a 0.77% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.77% | 0.84% | 2.59% | 1.70% | 3.01% | 3.12% | 2.56% | 1.86% | 2.56% | 2.00% | 2.49% | 1.96% |
| Portfolio components: | ||||||||||||
AGG iShares Core U.S. Aggregate Bond ETF | 3.98% | 3.89% | 3.74% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.72% | 2.32% | 2.39% | 2.45% |
EFA iShares MSCI EAFE ETF | 3.28% | 3.38% | 3.24% | 2.98% | 2.69% | 3.33% | 2.13% | 3.10% | 3.39% | 2.57% | 3.07% | 2.76% |
FDGRX Fidelity Growth Company Fund | 0.00% | 0.00% | 8.86% | 3.83% | 7.20% | 10.67% | 8.86% | 3.84% | 6.38% | 4.73% | 6.16% | 3.92% |
FTEC Fidelity MSCI Information Technology Index ETF | 0.36% | 0.43% | 0.49% | 0.77% | 0.93% | 0.63% | 0.83% | 1.03% | 1.20% | 0.96% | 1.25% | 1.27% |
IWM iShares Russell 2000 ETF | 0.90% | 1.04% | 1.15% | 1.35% | 1.48% | 0.94% | 1.04% | 1.26% | 1.40% | 1.26% | 1.38% | 1.54% |
PDRDX Principal Diversified Real Asset Fund | 3.75% | 4.19% | 2.43% | 2.52% | 12.88% | 6.56% | 0.52% | 2.36% | 3.47% | 2.21% | 2.61% | 0.99% |
QQQ Invesco QQQ ETF | 0.43% | 0.45% | 0.56% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% |
VOO Vanguard S&P 500 ETF | 1.05% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
VTI Vanguard Total Stock Market ETF | 1.04% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
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 Maximum Sharpe Ratio. 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 Maximum Sharpe Ratio was 31.57%, occurring on Oct 14, 2022. Recovery took 294 trading sessions.
The current Maximum Sharpe Ratio drawdown is 1.74%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -31.57%Oct 2022 | 10mo 26d | 1y 2mo | 2y 23dNov 2021 - Dec 2023 |
COVID crash2020 | -31.12%Mar 2020 | 1mo 2d | 2mo 19d | 3mo 21dFeb 2020 - Jun 2020 |
Rate-hike selloffLate 2018 | -22.28%Dec 2018 | 3mo 26d | 3mo 29d | 7mo 25dAug 2018 - Apr 2019 |
2025 selloff2025 | -22.07%Apr 2025 | 1mo 18d | 2mo 17d | 4mo 5dFeb 2025 - Jun 2025 |
2016 correction2016 | -15.99%Feb 2016 | 6mo 25d | 5mo 8d | 12mo 3dJul 2015 - Jul 2016 |
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 9 assets, with an effective number of assets of 5.86, 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 | 1.07 | 1.05 | 1.04 | 1.04 | 1.05 |
The portfolio has a diversification ratio of 1.05, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
Maximum Sharpe Ratio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.95 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.96 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.97 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Oct 24, 2013 | 0.95 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VOO has the highest benchmark correlation at 1.00, while AGG has the lowest at 0.01.
Asset Correlations Table
| AGG | PDRDX | EFA | IWM | FTEC | FDGRX | QQQ | VOO | VTI | |
|---|---|---|---|---|---|---|---|---|---|
| AGG | 1.00 | 0.15 | 0.07 | 0.00 | 0.02 | 0.03 | 0.04 | 0.01 | 0.02 |
| PDRDX | 0.15 | 1.00 | 0.75 | 0.68 | 0.51 | 0.52 | 0.52 | 0.67 | 0.69 |
| EFA | 0.07 | 0.75 | 1.00 | 0.72 | 0.68 | 0.68 | 0.69 | 0.79 | 0.79 |
| IWM | 0.00 | 0.68 | 0.72 | 1.00 | 0.72 | 0.76 | 0.71 | 0.82 | 0.87 |
| FTEC | 0.02 | 0.51 | 0.68 | 0.72 | 1.00 | 0.93 | 0.96 | 0.89 | 0.89 |
| FDGRX | 0.03 | 0.52 | 0.68 | 0.76 | 0.93 | 1.00 | 0.94 | 0.88 | 0.89 |
| QQQ | 0.04 | 0.52 | 0.69 | 0.71 | 0.96 | 0.94 | 1.00 | 0.91 | 0.90 |
| VOO | 0.01 | 0.67 | 0.79 | 0.82 | 0.89 | 0.88 | 0.91 | 1.00 | 0.99 |
| VTI | 0.02 | 0.69 | 0.79 | 0.87 | 0.89 | 0.89 | 0.90 | 0.99 | 1.00 |
Find what Maximum Sharpe Ratio is missing
See which holdings overlap, where Maximum Sharpe Ratio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification