Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
BATS.L British American Tobacco plc | Consumer Defensive | 33.33% |
IMBBY Imperial Brands PLC | Consumer Defensive | 33.33% |
MO Altria Group, Inc. | Consumer Defensive | 33.33% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in LARGE CAPS, 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 Jan 4, 2016, corresponding to the inception date of IMBBY
Returns By Period
As of Apr 2, 2026, the LARGE CAPS returned 6.21% Year-To-Date and 6.90% of annualized return in the last 10 years.
| 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 LARGE CAPS | 0.76% | -2.94% | 6.21% | 7.53% | 31.27% | 26.72% | 18.78% | 6.90% |
| Portfolio components: | ||||||||
BATS.L British American Tobacco plc | 1.68% | -0.77% | 4.33% | 15.79% | 52.92% | 27.65% | 17.91% | 6.79% |
MO Altria Group, Inc. | 0.43% | -2.94% | 15.96% | 3.55% | 23.23% | 22.72% | 13.73% | 7.41% |
IMBBY Imperial Brands PLC | 0.17% | -5.35% | -1.86% | 1.64% | 17.01% | 27.63% | 22.52% | 4.21% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 5, 2016, LARGE CAPS's average daily return is +0.04%, while the average monthly return is +0.78%. At this rate, your investment would double in approximately 7.4 years.
Historically, 52% of months were positive and 48% were negative. The best month was Mar 2021 with a return of +14.4%, while the worst month was Feb 2020 at -15.1%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 5 months.
On a daily basis, LARGE CAPS closed higher 52% of trading days. The best single day was Mar 24, 2020 with a return of +7.2%, while the worst single day was Mar 12, 2020 at -9.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.47% | 7.87% | -5.83% | 0.08% | 6.21% | ||||||||
| 2025 | 4.98% | 3.61% | 7.63% | 4.72% | -0.14% | 3.50% | 5.60% | 7.94% | -1.93% | -7.71% | 9.07% | -1.06% | 41.05% |
| 2024 | 1.86% | -2.32% | 6.15% | -0.22% | 6.50% | 1.96% | 10.11% | 6.60% | -0.65% | 1.94% | 8.69% | -4.29% | 41.52% |
| 2023 | -1.64% | 0.41% | -4.04% | 6.39% | -11.20% | 4.68% | 3.67% | -2.20% | -5.83% | -1.29% | 7.99% | -2.92% | -7.41% |
| 2022 | 10.48% | -0.24% | -0.89% | 1.73% | 3.50% | -8.36% | -1.34% | 2.60% | -7.96% | 13.82% | 3.99% | -1.32% | 14.69% |
| 2021 | -1.54% | -1.06% | 14.43% | -2.90% | 6.37% | -2.02% | -1.01% | 2.33% | -4.56% | -0.96% | -2.31% | 10.31% | 16.39% |
Benchmark Metrics
LARGE CAPS has an annualized alpha of 3.61%, beta of 0.43, and R² of 0.16 versus S&P 500 Index. Calculated based on daily prices since January 05, 2016.
- This portfolio participated in 57.22% of S&P 500 Index downside but only 52.00% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.43 may look defensive, but with R² of 0.16 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.16 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 3.61%
- Beta
- 0.43
- R²
- 0.16
- Upside Capture
- 52.00%
- Downside Capture
- 57.22%
Expense Ratio
LARGE CAPS 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
LARGE CAPS ranks 66 for risk / return — better than 66% 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
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.73 | 0.88 | +0.85 |
Sortino ratioReturn per unit of downside risk | 2.28 | 1.37 | +0.92 |
Omega ratioGain probability vs. loss probability | 1.30 | 1.21 | +0.09 |
Calmar ratioReturn relative to maximum drawdown | 3.05 | 1.39 | +1.66 |
Martin ratioReturn relative to average drawdown | 8.29 | 6.43 | +1.86 |
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 | |
|---|---|---|---|---|---|---|
BATS.L British American Tobacco plc | 89 | 2.32 | 3.02 | 1.37 | 3.49 | 9.25 |
MO Altria Group, Inc. | 68 | 1.12 | 1.53 | 1.22 | 1.20 | 3.11 |
IMBBY Imperial Brands PLC | 61 | 0.77 | 1.12 | 1.15 | 1.00 | 2.89 |
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Dividends
Dividend yield
LARGE CAPS provided a 5.69% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 5.69% | 6.10% | 7.29% | 9.07% | 7.24% | 7.96% | 8.66% | 7.75% | 7.27% | 4.31% | 3.80% | 2.57% |
| Portfolio components: | ||||||||||||
BATS.L British American Tobacco plc | 5.48% | 5.70% | 8.18% | 10.06% | 6.64% | 7.89% | 7.77% | 6.28% | 7.81% | 4.35% | 3.37% | 3.98% |
MO Altria Group, Inc. | 6.39% | 7.21% | 7.65% | 9.52% | 8.05% | 7.43% | 8.29% | 6.57% | 6.07% | 3.56% | 3.48% | 3.73% |
IMBBY Imperial Brands PLC | 5.20% | 5.37% | 6.04% | 7.62% | 7.03% | 8.58% | 9.92% | 10.41% | 7.93% | 5.03% | 4.54% | 0.00% |
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 LARGE CAPS. 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 LARGE CAPS was 55.84%, occurring on Mar 23, 2020. Recovery took 1118 trading sessions.
The current LARGE CAPS drawdown is 6.57%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -55.84% | Jun 7, 2017 | 719 | Mar 23, 2020 | 1118 | Jul 25, 2024 | 1837 |
| -15.85% | Jul 5, 2016 | 95 | Nov 14, 2016 | 71 | Feb 23, 2017 | 166 |
| -10.79% | Aug 22, 2025 | 51 | Oct 31, 2025 | 60 | Jan 27, 2026 | 111 |
| -10.69% | May 8, 2025 | 5 | May 14, 2025 | 19 | Jun 11, 2025 | 24 |
| -8.02% | Feb 26, 2026 | 17 | Mar 20, 2026 | — | — | — |
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 3 assets, with an effective number of assets of 3.00, 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 | MO | BATS.L | IMBBY | Portfolio | |
|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.26 | 0.22 | 0.29 | 0.32 |
| MO | 0.26 | 1.00 | 0.36 | 0.38 | 0.69 |
| BATS.L | 0.22 | 0.36 | 1.00 | 0.62 | 0.83 |
| IMBBY | 0.29 | 0.38 | 0.62 | 1.00 | 0.83 |
| Portfolio | 0.32 | 0.69 | 0.83 | 0.83 | 1.00 |