Maximised Sharpe Ratio

Asset Allocation

Position	Category/Sector	Target Weight
AXON Axon Enterprise, Inc.	Industrials	0%
AXP American Express Company	Financial Services	0%
CTAS Cintas Corporation	Industrials	0%
IRM Iron Mountain Incorporated	Real Estate	0%
JPM JPMorgan Chase & Co.	Financial Services	4.67%
KMI Kinder Morgan, Inc.	Energy	0%
MSI Motorola Solutions, Inc.	Technology	0%
NVDA NVIDIA Corporation	Technology	0%
OKE ONEOK, Inc.	Energy	0%
PGR The Progressive Corporation	Financial Services	0%
PLTR Palantir Technologies Inc.	Technology	34.51%
TT Trane Technologies plc	Industrials	0%
VST Vistra Corp.	Utilities	7.43%
WAB Westinghouse Air Brake Technologies Corporation	Industrials	0%
WELL Welltower Inc.	Real Estate	53.39%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Maximised 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.

Loading graphics...

The earliest data available for this chart is Sep 30, 2020, corresponding to the inception date of PLTR

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 Maximised Sharpe Ratio	1.24%	-1.70%	-1.24%	-1.05%	49.60%	89.94%	39.96%	—
Portfolio components:
CTAS Cintas Corporation	1.34%	-13.50%	-7.09%	-13.68%	-15.73%	15.81%	15.96%	24.15%
VST Vistra Corp.	-1.81%	-6.38%	-6.16%	-25.19%	19.47%	87.75%	56.62%	—
TT Trane Technologies plc	-0.25%	-3.98%	9.99%	1.31%	23.88%	33.97%	22.45%	23.36%
MSI Motorola Solutions, Inc.	1.11%	-8.35%	14.82%	-1.44%	1.55%	16.70%	19.85%	20.95%
AXON Axon Enterprise, Inc.	-2.54%	-28.71%	-27.31%	-42.71%	-26.08%	21.99%	23.61%	36.33%
AXP American Express Company	-0.11%	-2.17%	-18.42%	-8.45%	10.57%	23.99%	17.15%	19.06%
IRM Iron Mountain Incorporated	2.33%	-3.38%	25.55%	1.87%	21.36%	29.25%	27.64%	18.55%
OKE ONEOK, Inc.	1.08%	4.15%	21.78%	25.44%	-7.12%	16.67%	17.93%	19.07%
WAB Westinghouse Air Brake Technologies Corporation	2.45%	-2.90%	20.09%	29.26%	40.10%	37.05%	27.23%	12.95%
KMI Kinder Morgan, Inc.	0.27%	-2.92%	21.10%	19.30%	18.92%	29.85%	21.03%	12.25%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Oct 1, 2020, Maximised Sharpe Ratio's average daily return is +0.18%, while the average monthly return is +4.02%. At this rate, your investment would double in approximately 1.5 years.

Historically, 67% of months were positive and 33% were negative. The best month was Nov 2020 with a return of +72.4%, while the worst month was Aug 2022 at -15.0%. The longest winning streak lasted 13 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Maximised Sharpe Ratio closed higher 54% of trading days. The best single day was Nov 9, 2020 with a return of +13.4%, while the worst single day was Apr 4, 2025 at -8.2%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	-5.59%	4.69%	-1.85%	1.80%									-1.24%
2025	9.73%	6.20%	-1.41%	14.35%	7.49%	3.24%	10.27%	0.27%	9.46%	3.99%	1.88%	-5.22%	77.19%
2024	-3.69%	25.53%	0.33%	0.09%	7.69%	3.86%	5.42%	11.62%	11.95%	7.58%	26.20%	1.42%	146.29%
2023	15.28%	-0.12%	1.23%	2.93%	25.12%	6.47%	11.95%	-8.49%	2.17%	-1.74%	16.77%	-3.79%	84.65%
2022	-8.43%	-5.51%	13.52%	-11.31%	-4.59%	-5.40%	8.58%	-15.01%	-8.70%	1.71%	4.36%	-9.07%	-36.06%
2021	13.01%	-8.28%	3.09%	1.82%	0.14%	11.97%	-3.48%	7.35%	-6.71%	2.65%	-7.60%	1.74%	13.79%

Benchmark Metrics

Maximised Sharpe Ratio has an annualized alpha of 36.51%, beta of 1.12, and R² of 0.34 versus S&P 500 Index. Calculated based on daily prices since October 01, 2020.

This portfolio captured 214.19% of S&P 500 Index gains but only 64.57% of its losses — a favorable profile for investors.
R² of 0.34 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.

Alpha: 36.51%

Beta: 1.12

R²: 0.34

Upside Capture: 214.19%

Downside Capture: 64.57%

Expense Ratio

Maximised Sharpe Ratio 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.

The portfolio doesn't include any funds that charge management fees.

Return for Risk

Risk / Return Rank

Maximised Sharpe Ratio ranks 80 for risk / return — better than 80% 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.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	1.82	0.88	+0.93
Sortino ratio Return per unit of downside risk	2.39	1.37	+1.02
Omega ratio Gain probability vs. loss probability	1.33	1.21	+0.12
Calmar ratio Return relative to maximum drawdown	3.61	1.39	+2.22
Martin ratio Return relative to average drawdown	10.46	6.43	+4.03
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
CTAS Cintas Corporation	14	-0.74	-0.92	0.88	-0.58	-1.24
VST Vistra Corp.	52	0.35	0.85	1.11	0.70	1.47
TT Trane Technologies plc	64	0.81	1.32	1.18	1.31	2.63
MSI Motorola Solutions, Inc.	38	0.07	0.24	1.04	0.07	0.15
AXON Axon Enterprise, Inc.	21	-0.49	-0.45	0.94	-0.44	-0.89
AXP American Express Company	50	0.33	0.67	1.10	0.52	1.47
IRM Iron Mountain Incorporated	59	0.66	1.09	1.14	0.92	2.20
OKE ONEOK, Inc.	30	-0.23	-0.10	0.99	-0.19	-0.30
WAB Westinghouse Air Brake Technologies Corporation	82	1.50	2.13	1.29	3.03	6.71
KMI Kinder Morgan, Inc.	65	0.83	1.15	1.17	1.57	3.56

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Maximised Sharpe Ratio Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

1-Year: 1.82
5-Year: 1.36
All Time: 1.58

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.00 to 1.70, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of Maximised Sharpe Ratio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Loading graphics...

Dividends

Dividend yield

Maximised Sharpe Ratio provided a 0.90% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	0.90%	0.93%	1.22%	1.71%	2.36%	1.82%	2.57%	2.54%	2.80%	3.00%	3.96%	2.71%
Portfolio components:
CTAS Cintas Corporation	1.00%	0.89%	0.80%	0.83%	0.93%	0.77%	0.99%	0.95%	1.22%	1.04%	1.15%	1.15%
VST Vistra Corp.	0.60%	0.56%	0.63%	2.13%	3.12%	2.64%	2.75%	2.17%	0.00%	0.00%	14.97%	0.00%
TT Trane Technologies plc	0.91%	0.97%	0.91%	1.23%	1.59%	1.17%	1.46%	1.59%	2.15%	1.91%	1.81%	2.10%
MSI Motorola Solutions, Inc.	1.05%	1.17%	0.87%	1.16%	1.26%	1.07%	1.55%	1.46%	1.85%	2.14%	2.05%	2.09%
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%
AXP American Express Company	1.41%	0.85%	0.91%	1.24%	1.35%	1.05%	1.42%	1.29%	1.51%	1.32%	1.61%	1.58%
IRM Iron Mountain Incorporated	3.19%	3.88%	2.60%	3.63%	4.96%	4.73%	8.39%	7.69%	7.32%	5.93%	6.17%	7.07%
OKE ONEOK, Inc.	4.71%	5.61%	3.94%	5.44%	5.69%	6.36%	9.74%	4.66%	6.01%	5.09%	4.28%	9.85%
WAB Westinghouse Air Brake Technologies Corporation	0.41%	0.47%	0.42%	0.54%	0.60%	0.52%	0.66%	0.62%	0.68%	0.54%	0.43%	0.39%
KMI Kinder Morgan, Inc.	3.55%	4.24%	4.18%	6.38%	6.10%	6.76%	7.59%	4.49%	4.71%	2.77%	2.41%	12.94%

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 graphics...

Worst Drawdowns

The table below displays the maximum drawdowns of the Maximised 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 Maximised Sharpe Ratio was 46.21%, occurring on Oct 14, 2022. Recovery took 197 trading sessions.

The current Maximised Sharpe Ratio drawdown is 8.37%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-46.21%	Sep 17, 2021	272	Oct 14, 2022	197	Jul 31, 2023	469
-23.63%	Feb 19, 2025	35	Apr 8, 2025	24	May 13, 2025	59
-17.73%	Feb 10, 2021	64	May 12, 2021	29	Jun 23, 2021	93
-14.59%	Nov 27, 2020	4	Dec 2, 2020	34	Jan 22, 2021	38
-14.21%	Dec 8, 2025	41	Feb 5, 2026	—	—	—

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

Loading graphics...

Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 15 assets, with an effective number of assets of 2.43, 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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	Benchmark	PGR	WELL	VST	AXON	NVDA	PLTR	KMI	OKE	MSI	IRM	JPM	CTAS	TT	AXP	WAB	Portfolio
Benchmark	1.00	0.25	0.36	0.42	0.48	0.68	0.53	0.38	0.44	0.56	0.50	0.58	0.64	0.62	0.65	0.63	0.62
PGR	0.25	1.00	0.24	0.15	0.09	0.03	0.00	0.25	0.24	0.31	0.21	0.30	0.35	0.29	0.28	0.26	0.12
WELL	0.36	0.24	1.00	0.25	0.14	0.10	0.14	0.37	0.32	0.30	0.44	0.28	0.37	0.31	0.33	0.31	0.57
VST	0.42	0.15	0.25	1.00	0.27	0.31	0.25	0.33	0.33	0.26	0.33	0.29	0.25	0.38	0.32	0.36	0.41
AXON	0.48	0.09	0.14	0.27	1.00	0.43	0.52	0.16	0.19	0.33	0.29	0.24	0.32	0.37	0.31	0.34	0.48
NVDA	0.68	0.03	0.10	0.31	0.43	1.00	0.49	0.16	0.20	0.33	0.24	0.29	0.36	0.39	0.35	0.37	0.44
PLTR	0.53	0.00	0.14	0.25	0.52	0.49	1.00	0.20	0.22	0.25	0.29	0.29	0.26	0.30	0.34	0.32	0.85
KMI	0.38	0.25	0.37	0.33	0.16	0.16	0.20	1.00	0.78	0.28	0.38	0.42	0.28	0.27	0.42	0.42	0.35
OKE	0.44	0.24	0.32	0.33	0.19	0.20	0.22	0.78	1.00	0.30	0.36	0.46	0.33	0.31	0.47	0.47	0.35
MSI	0.56	0.31	0.30	0.26	0.33	0.33	0.25	0.28	0.30	1.00	0.39	0.35	0.54	0.47	0.37	0.43	0.36
IRM	0.50	0.21	0.44	0.33	0.29	0.24	0.29	0.38	0.36	0.39	1.00	0.34	0.41	0.44	0.37	0.45	0.46
JPM	0.58	0.30	0.28	0.29	0.24	0.29	0.29	0.42	0.46	0.35	0.34	1.00	0.37	0.46	0.68	0.56	0.40
CTAS	0.64	0.35	0.37	0.25	0.32	0.36	0.26	0.28	0.33	0.54	0.41	0.37	1.00	0.53	0.45	0.50	0.39
TT	0.62	0.29	0.31	0.38	0.37	0.39	0.30	0.27	0.31	0.47	0.44	0.46	0.53	1.00	0.48	0.60	0.41
AXP	0.65	0.28	0.33	0.32	0.31	0.35	0.34	0.42	0.47	0.37	0.37	0.68	0.45	0.48	1.00	0.58	0.44
WAB	0.63	0.26	0.31	0.36	0.34	0.37	0.32	0.42	0.47	0.43	0.45	0.56	0.50	0.60	0.58	1.00	0.43
Portfolio	0.62	0.12	0.57	0.41	0.48	0.44	0.85	0.35	0.35	0.36	0.46	0.40	0.39	0.41	0.44	0.43	1.00

The correlation results are calculated based on daily price changes starting from Oct 1, 2020

Maximised Sharpe Ratio

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table