Portfolio 3: top 20 sharpe

Asset Allocation

Position	Category/Sector	Target Weight
GOOGL Alphabet Inc. Class A	Communication Services	15%
AMZN Amazon.com, Inc	Consumer Cyclical	15%
UNH UnitedHealth Group Incorporated	Healthcare	15%
V Visa Inc.	Financial Services	15%
NOC Northrop Grumman Corporation	Industrials	15%
MSFT Microsoft Corporation	Technology	10%
AVGO Broadcom Inc.	Technology	10%
AXON Axon Enterprise, Inc.	Industrials	5%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Portfolio 3: top 20 sharpe, 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

As of Jun 9, 2026, the Portfolio 3: top 20 sharpe returned 7.43% Year-To-Date and 26.85% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio Portfolio 3: top 20 sharpe	1.04%	-5.24%	7.43%	0.59%	27.90%	37.87%	25.22%	26.85%
Portfolio components:
AMZN Amazon.com, Inc	-0.33%	-10.07%	6.24%	8.08%	14.82%	25.71%	8.37%	21.19%
AVGO Broadcom Inc.	2.82%	-7.77%	14.83%	-0.72%	61.91%	72.46%	56.70%	41.32%
AXON Axon Enterprise, Inc.	-3.10%	16.73%	-17.06%	-14.84%	-40.51%	34.22%	26.05%	35.39%
GOOGL Alphabet Inc. Class A	-1.36%	-9.30%	16.22%	15.96%	110.03%	44.20%	24.94%	25.89%
MSFT Microsoft Corporation	-1.18%	-0.60%	-14.48%	-15.77%	-11.77%	8.85%	11.09%	24.64%
NOC Northrop Grumman Corporation	-0.66%	-1.15%	-4.43%	-1.56%	12.23%	7.76%	9.49%	11.31%
UNH UnitedHealth Group Incorporated	1.78%	7.00%	24.12%	26.61%	37.87%	-4.40%	2.00%	13.15%
V Visa Inc.	-1.21%	0.48%	-8.47%	-1.79%	-12.97%	13.52%	7.39%	15.64%

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

Monthly Returns

Based on dividend-adjusted daily data since Aug 6, 2009, Portfolio 3: top 20 sharpe's average daily return is +0.11%, while the average monthly return is +2.19%. At this rate, an investment would double in approximately 2.7 years.

Historically, 69% of months were positive and 31% were negative. The best month was Apr 2026 with a return of +24.9%, while the worst month was Oct 2018 at -12.2%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Portfolio 3: top 20 sharpe closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +12.4%, while the worst single day was Mar 16, 2020 at -12.4%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	-2.95%	-3.18%	-5.43%	24.86%	5.06%	-7.84%							7.43%
2025	2.32%	-10.17%	-7.59%	4.86%	14.80%	9.36%	3.02%	1.40%	5.31%	8.17%	1.18%	-7.16%	25.01%
2024	2.02%	8.11%	2.18%	-1.68%	0.67%	10.05%	0.78%	2.18%	4.21%	-0.38%	7.34%	12.56%	58.57%
2023	4.53%	-2.26%	6.93%	0.80%	8.74%	4.79%	2.25%	1.74%	-4.97%	3.28%	8.29%	7.26%	48.80%
2022	-7.81%	1.67%	4.95%	-12.19%	-0.11%	-6.85%	11.30%	-4.74%	-7.70%	5.92%	5.13%	-4.39%	-16.27%
2021	0.39%	1.61%	1.18%	7.89%	-1.62%	4.71%	1.88%	1.98%	-4.44%	6.57%	-0.42%	6.06%	28.19%

Benchmark Metrics

Portfolio 3: top 20 sharpe has an annualized alpha of 13.41%, beta of 1.08, and R2 of 0.73 versus S&P 500 Index. Calculated based on daily prices since August 06, 2009.

This portfolio captured 137.88% of S&P 500 Index gains but only 69.82% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 13.41% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
With beta of 1.08 and R2 of 0.73, 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: 13.41%

Beta: 1.08

R²: 0.73

Upside Capture: 137.88%

Downside Capture: 69.82%

Expense Ratio

Portfolio 3: top 20 sharpe 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

Portfolio 3: top 20 sharpe ranks 13 for risk / return — in the bottom 13% 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.

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

The table below presents risk-adjusted performance metrics for Portfolio 3: top 20 sharpe and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.04	1.94	-0.89
Sortino ratioReturn per unit of downside risk	1.53	2.63	-1.10
Omega ratioGain probability vs. loss probability	1.20	1.35	-0.15
Calmar ratioReturn relative to maximum drawdown	1.28	2.59	-1.31
Martin ratioReturn relative to average drawdown	3.63	11.84	-8.22
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.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AMZN Amazon.com, Inc	56	0.49	0.89	1.11	0.68	1.64
AVGO Broadcom Inc.	77	1.38	1.95	1.26	2.17	5.16
AXON Axon Enterprise, Inc.	14	-0.73	-0.93	0.88	-0.67	-1.17
GOOGL Alphabet Inc. Class A	96	3.78	5.10	1.61	5.43	19.79
MSFT Microsoft Corporation	24	-0.47	-0.49	0.94	-0.35	-0.73
NOC Northrop Grumman Corporation	53	0.47	0.86	1.11	0.39	1.05
UNH UnitedHealth Group Incorporated	68	0.95	1.42	1.22	1.31	2.88
V Visa Inc.	17	-0.58	-0.72	0.91	-0.64	-1.18

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.

Portfolio 3: top 20 sharpe Sharpe ratios as of Jun 9, 2026 (values are recalculated daily):

1-Year: 1.04
5-Year: 1.01
10-Year: 1.14
All Time: 1.28

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 1.60 to 2.46, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Portfolio 3: top 20 sharpe compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Portfolio 3: top 20 sharpe provided a 0.90% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	0.90%	0.92%	0.82%	0.80%	0.89%	0.79%	0.97%	0.99%	1.08%	0.85%	0.94%	0.93%
Portfolio components:
AMZN Amazon.com, 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%
AVGO Broadcom Inc.	0.63%	0.70%	0.94%	1.71%	3.02%	2.24%	3.05%	3.54%	3.11%	1.87%	1.43%	1.13%
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%
GOOGL Alphabet Inc. Class A	0.29%	0.27%	0.32%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MSFT Microsoft Corporation	0.86%	0.70%	0.73%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%
NOC Northrop Grumman Corporation	1.74%	1.58%	1.72%	1.57%	1.24%	1.59%	1.86%	1.50%	1.92%	1.27%	1.50%	1.64%
UNH UnitedHealth Group Incorporated	2.17%	2.64%	1.62%	1.38%	1.21%	1.12%	1.38%	1.41%	1.38%	1.30%	1.48%	1.59%
V Visa Inc.	0.81%	0.70%	0.68%	0.72%	0.76%	0.62%	0.56%	0.56%	0.67%	0.61%	0.75%	0.64%

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 Portfolio 3: top 20 sharpe. 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 Portfolio 3: top 20 sharpe was 28.40%, occurring on Mar 16, 2020. Recovery took 54 trading sessions.

The current Portfolio 3: top 20 sharpe drawdown is 10.93%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-28.40%Mar 2020	25d	2mo 18d	3mo 13dFeb 2020 - Jun 2020
2025 selloff2025	-26.70%Apr 2025	3mo 18d	2mo 1d	5mo 19dDec 2024 - Jun 2025
Bear market2022	-23.96%Jun 2022	5mo 20d	11mo 21d	1y 5moDec 2021 - Jun 2023
Rate-hike selloffLate 2018	-22.57%Dec 2018	2mo 23d	4mo	6mo 23dOct 2018 - Apr 2019
2026 bear market2026	-21.89%Mar 2026	3mo 19d	23d	4mo 12dDec 2025 - Apr 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 8 assets, with an effective number of assets of 7.41, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	2.14	1.89	1.69	1.51	1.51

The portfolio has a diversification ratio of 1.51, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Portfolio 3: top 20 sharpe correlation to the S&P 500 Index

Portfolio 3: top 20 sharpe has a 0.69 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.69
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (10Y) Calculated over the trailing 10-year period	0.82
Correlation (All Time) Calculated using the full available price history since Aug 6, 2009	0.82

Benchmark Correlations

Correlation vs. S&P 500 Index. MSFT has the highest benchmark correlation at 0.70, while NOC has the lowest at 0.44.

0.44

0.45

0.46

0.61

0.62

0.64

GOOGL

0.67

MSFT

0.70

Portfolio Correlations

Correlation vs. Portfolio 3: top 20 sharpe. AMZN has the highest portfolio correlation at 0.76, while NOC has the lowest at 0.39.

NOC

0.39

UNH

0.47

AXON

0.51

0.62

0.69

0.69

0.75

0.76

Asset Correlations Table

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

	NOC	UNH	AXON	AVGO	V	AMZN	GOOGL	MSFT
NOC	1.00	0.35	0.23	0.20	0.34	0.20	0.25	0.28
UNH	0.35	1.00	0.18	0.23	0.35	0.25	0.31	0.30
AXON	0.23	0.18	1.00	0.35	0.31	0.35	0.32	0.35
AVGO	0.20	0.23	0.35	1.00	0.39	0.44	0.44	0.49
V	0.34	0.35	0.31	0.39	1.00	0.44	0.49	0.50
AMZN	0.20	0.25	0.35	0.44	0.44	1.00	0.62	0.56
GOOGL	0.25	0.31	0.32	0.44	0.49	0.62	1.00	0.60
MSFT	0.28	0.30	0.35	0.49	0.50	0.56	0.60	1.00

The correlation results are calculated based on daily price changes starting from Aug 6, 2009

Diversification Analysis

Find what Portfolio 3: top 20 sharpe is missing

See which holdings overlap, where Portfolio 3: top 20 sharpe is concentrated, and which low-correlation assets could fill the gaps.

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