TFM

Asset Allocation

Position	Category/Sector	Target Weight
AAL.L Anglo American plc	Basic Materials	4%
AENA.MC Aena SA	Industrials	4%
BG Bunge Limited	Consumer Defensive	4%
BX The Blackstone Group Inc.	Financial Services	4%
CLNX.MC Cellnex Telecom SA	Real Estate	4%
CNQ Canadian Natural Resources Limited	Energy	4%
COL.MC Inmobiliaria Colonial SA	Real Estate	4%
CSX CSX Corporation	Industrials	4%
CVX Chevron Corporation	Energy	4%
DG.PA VINCI SA	Industrials	4%
FCX Freeport-McMoRan Inc.	Basic Materials	4%
FNV.TO Franco-Nevada Corporation	Basic Materials	4%
FPI Farmland Partners Inc.	Real Estate	4%
IBE.MC Iberdrola S.A.	Utilities	4%
NEX.PA Nexans S.A.	Industrials	4%
PLD Prologis, Inc.	Real Estate	4%
PNR Pentair plc	Industrials	4%
PRY.MI Prysmian SpA	Industrials	4%
SRG.MI Snam SpA	Utilities	4%
SU.PA Schneider Electric S.E.	Industrials	4%
TRN.MI Terna Rete Elettrica Nazionale SpA	Utilities	4%
VIE.PA Veolia Environnement S.A.	Industrials	4%
VRLA.PA Verallia	Consumer Cyclical	4%
WELL Welltower Inc.	Real Estate	4%
WM Waste Management, Inc.	Industrials	4%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in TFM, 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 Oct 4, 2019, corresponding to the inception date of VRLA.PA

Returns By Period

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-0.11%	2.16%	-0.42%	4.03%	27.10%	18.38%	10.55%	12.70%
Portfolio TFM	0.51%	5.63%	14.33%	20.03%	44.74%	19.55%	15.24%	—
Portfolio components:
CVX Chevron Corporation	-0.95%	-4.27%	24.92%	29.30%	45.27%	8.15%	17.67%	11.45%
SU.PA Schneider Electric S.E.	1.83%	4.04%	10.57%	7.03%	38.79%	26.26%	15.80%	20.45%
SRG.MI Snam SpA	0.08%	7.06%	22.47%	35.59%	59.84%	19.49%	13.75%	10.77%
TRN.MI Terna Rete Elettrica Nazionale SpA	0.37%	7.03%	13.76%	19.27%	41.83%	16.97%	15.50%	12.46%
AENA.MC Aena SA	-0.67%	6.93%	12.31%	18.63%	38.28%	28.25%	16.05%	11.03%
BX The Blackstone Group Inc.	-1.77%	12.45%	-24.64%	-23.79%	-6.64%	14.76%	12.11%	20.79%
CSX CSX Corporation	-0.59%	7.70%	16.91%	19.85%	53.10%	13.33%	6.64%	19.34%
DG.PA VINCI SA	-0.69%	6.33%	12.79%	17.56%	28.73%	14.83%	12.19%	11.62%
COL.MC Inmobiliaria Colonial SA	0.50%	5.50%	-2.19%	-0.69%	8.98%	3.54%	-5.86%	0.48%
FPI Farmland Partners Inc.	0.17%	-1.04%	23.00%	19.24%	22.21%	8.88%	5.41%	5.35%

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

Monthly Returns

Based on dividend-adjusted daily data since Oct 7, 2019, TFM's average daily return is +0.07%, while the average monthly return is +1.61%. At this rate, an investment would double in approximately 3.6 years.

Historically, 66% of months were positive and 34% were negative. The best month was Nov 2020 with a return of +18.0%, while the worst month was Mar 2020 at -18.6%. The longest winning streak lasted 6 consecutive months, and the longest losing streak was 3 months.

On a daily basis, TFM closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +9.0%, while the worst single day was Mar 12, 2020 at -13.2%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	6.88%	7.65%	-6.61%	6.40%									14.33%
2025	4.40%	0.78%	1.46%	2.56%	5.05%	3.88%	-0.25%	3.01%	2.46%	-0.98%	2.42%	1.73%	29.77%
2024	-2.95%	2.38%	4.99%	-1.29%	6.54%	-3.94%	3.42%	2.03%	3.95%	-1.99%	0.30%	-7.01%	5.67%
2023	10.71%	-3.89%	2.29%	1.95%	-4.88%	6.24%	3.51%	-2.12%	-4.41%	-5.77%	10.71%	5.76%	19.82%
2022	-3.60%	2.06%	4.94%	-4.42%	0.84%	-13.82%	7.21%	-5.10%	-10.83%	10.51%	9.75%	-2.32%	-7.84%
2021	-1.35%	6.07%	4.48%	6.68%	4.00%	-2.00%	4.30%	1.37%	-5.66%	7.52%	-2.63%	5.70%	31.19%

Benchmark Metrics

TFM has an annualized alpha of 7.91%, beta of 0.74, and R² of 0.58 versus S&P 500 Index. Calculated based on daily prices since October 07, 2019.

This portfolio captured 106.92% of S&P 500 Index gains but only 90.48% of its losses — a favorable profile for investors.
This portfolio generated an annualized alpha of 7.91% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.

Alpha: 7.91%

Beta: 0.74

R²: 0.58

Upside Capture: 106.92%

Downside Capture: 90.48%

Expense Ratio

TFM 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

TFM ranks 76 for risk / return — better than 76% 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	3.80	2.23	+1.57
Sortino ratio Return per unit of downside risk	5.10	3.12	+1.99
Omega ratio Gain probability vs. loss probability	1.69	1.42	+0.27
Calmar ratio Return relative to maximum drawdown	3.86	4.05	-0.19
Martin ratio Return relative to average drawdown	16.69	17.91	-1.22
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.

	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
CVX Chevron Corporation	81	2.19	2.88	1.37	4.10	10.82
SU.PA Schneider Electric S.E.	65	1.28	1.92	1.24	1.92	5.18
SRG.MI Snam SpA	96	3.84	4.67	1.66	9.85	28.78
TRN.MI Terna Rete Elettrica Nazionale SpA	85	2.45	3.08	1.41	4.60	14.31
AENA.MC Aena SA	72	1.83	2.35	1.31	2.49	5.31
BX The Blackstone Group Inc.	25	-0.20	-0.05	0.99	-0.02	-0.06
CSX CSX Corporation	86	2.53	3.34	1.43	5.10	13.68
DG.PA VINCI SA	64	1.31	1.90	1.26	1.97	4.20
COL.MC Inmobiliaria Colonial SA	43	0.58	0.92	1.12	0.43	0.85
FPI Farmland Partners Inc.	58	1.13	1.60	1.21	1.27	2.69

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.

TFM Sharpe ratios as of Apr 11, 2026 (values are recalculated daily):

1-Year: 3.80
5-Year: 0.93
All Time: 0.94

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 2.14 to 3.05, 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 TFM 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

TFM provided a 2.75% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.75%	2.92%	3.51%	2.87%	2.94%	2.44%	2.37%	2.68%	3.54%	2.78%	2.63%	4.04%
Portfolio components:
CVX Chevron Corporation	3.66%	4.49%	4.50%	4.05%	3.16%	4.52%	6.11%	3.95%	4.12%	3.45%	3.64%	4.76%
SU.PA Schneider Electric S.E.	1.50%	1.66%	1.45%	1.73%	2.22%	1.51%	2.16%	2.57%	3.68%	2.88%	3.03%	3.65%
SRG.MI Snam SpA	4.34%	5.14%	6.59%	5.91%	5.79%	4.71%	5.16%	4.83%	5.64%	5.15%	6.39%	6.29%
TRN.MI Terna Rete Elettrica Nazionale SpA	3.84%	4.38%	4.52%	4.27%	4.33%	3.89%	4.10%	4.01%	4.53%	4.30%	4.64%	4.21%
AENA.MC Aena SA	2.95%	3.32%	3.14%	2.34%	0.00%	0.00%	0.00%	3.29%	3.88%	1.84%	1.69%	0.00%
BX The Blackstone Group Inc.	4.13%	3.04%	2.00%	2.54%	6.66%	2.76%	2.95%	3.43%	8.12%	7.25%	6.14%	11.76%
CSX CSX Corporation	1.25%	1.43%	1.49%	1.27%	1.29%	0.99%	1.15%	1.33%	1.42%	1.42%	2.00%	2.70%
DG.PA VINCI SA	3.50%	3.96%	4.51%	3.56%	3.48%	2.90%	3.07%	2.74%	3.49%	2.54%	2.94%	3.03%
COL.MC Inmobiliaria Colonial SA	4.54%	4.45%	4.39%	2.44%	0.88%	2.67%	0.55%	1.12%	1.79%	1.61%	1.85%	0.00%
FPI Farmland Partners Inc.	4.00%	4.54%	11.31%	3.61%	1.85%	1.67%	2.30%	2.95%	7.82%	5.88%	4.57%	4.54%

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 TFM. 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 TFM was 37.87%, occurring on Mar 23, 2020. Recovery took 164 trading sessions.

The current TFM drawdown is 0.63%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-37.87%	Feb 20, 2020	23	Mar 23, 2020	164	Nov 9, 2020	187
-27.03%	Apr 21, 2022	114	Sep 27, 2022	204	Jul 12, 2023	318
-13.17%	Jul 27, 2023	67	Oct 27, 2023	34	Dec 14, 2023	101
-12.56%	Sep 30, 2024	135	Apr 8, 2025	17	May 2, 2025	152
-10.26%	Mar 2, 2026	15	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 25 assets, with an effective number of assets of 25.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

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	FNV.TO	WM	BG	CLNX.MC	VRLA.PA	FPI	CVX	WELL	CNQ	PLD	TRN.MI	AENA.MC	SRG.MI	AAL.L	PRY.MI	CSX	COL.MC	NEX.PA	PNR	BX	IBE.MC	FCX	SU.PA	VIE.PA	DG.PA	Portfolio
Benchmark	1.00	0.24	0.40	0.34	0.21	0.24	0.39	0.37	0.39	0.38	0.54	0.25	0.28	0.25	0.34	0.40	0.60	0.29	0.39	0.65	0.66	0.28	0.54	0.45	0.33	0.37	0.68
FNV.TO	0.24	1.00	0.16	0.15	0.22	0.17	0.18	0.16	0.16	0.21	0.20	0.21	0.13	0.24	0.26	0.16	0.15	0.17	0.17	0.17	0.18	0.24	0.35	0.19	0.22	0.16	0.39
WM	0.40	0.16	1.00	0.20	0.13	0.07	0.24	0.24	0.40	0.18	0.40	0.20	0.17	0.17	0.11	0.12	0.41	0.17	0.10	0.35	0.27	0.22	0.16	0.17	0.19	0.19	0.36
BG	0.34	0.15	0.20	1.00	0.04	0.12	0.29	0.47	0.24	0.43	0.25	0.10	0.15	0.11	0.29	0.18	0.36	0.15	0.17	0.33	0.26	0.13	0.41	0.17	0.19	0.22	0.47
CLNX.MC	0.21	0.22	0.13	0.04	1.00	0.24	0.13	-0.00	0.16	0.02	0.24	0.45	0.32	0.42	0.19	0.27	0.14	0.40	0.27	0.15	0.23	0.47	0.11	0.32	0.39	0.36	0.42
VRLA.PA	0.24	0.17	0.07	0.12	0.24	1.00	0.14	0.11	0.09	0.17	0.17	0.25	0.30	0.29	0.31	0.36	0.16	0.33	0.35	0.19	0.20	0.29	0.26	0.38	0.40	0.40	0.47
FPI	0.39	0.18	0.24	0.29	0.13	0.14	1.00	0.30	0.33	0.27	0.34	0.17	0.17	0.15	0.23	0.17	0.35	0.23	0.19	0.32	0.34	0.19	0.31	0.21	0.20	0.22	0.47
CVX	0.37	0.16	0.24	0.47	-0.00	0.11	0.30	1.00	0.23	0.71	0.22	0.08	0.17	0.12	0.32	0.14	0.38	0.15	0.16	0.31	0.30	0.12	0.45	0.15	0.18	0.23	0.47
WELL	0.39	0.16	0.40	0.24	0.16	0.09	0.33	0.23	1.00	0.21	0.51	0.25	0.25	0.23	0.15	0.13	0.35	0.32	0.15	0.33	0.33	0.27	0.22	0.18	0.26	0.27	0.45
CNQ	0.38	0.21	0.18	0.43	0.02	0.17	0.27	0.71	0.21	1.00	0.19	0.12	0.19	0.18	0.36	0.22	0.35	0.18	0.22	0.30	0.29	0.15	0.49	0.23	0.23	0.26	0.52
PLD	0.54	0.20	0.40	0.25	0.24	0.17	0.34	0.22	0.51	0.19	1.00	0.25	0.18	0.23	0.19	0.21	0.44	0.26	0.21	0.47	0.44	0.25	0.27	0.24	0.26	0.25	0.50
TRN.MI	0.25	0.21	0.20	0.10	0.45	0.25	0.17	0.08	0.25	0.12	0.25	1.00	0.36	0.81	0.21	0.31	0.19	0.42	0.26	0.16	0.23	0.65	0.13	0.29	0.49	0.42	0.49
AENA.MC	0.28	0.13	0.17	0.15	0.32	0.30	0.17	0.17	0.25	0.19	0.18	0.36	1.00	0.39	0.31	0.34	0.23	0.48	0.35	0.24	0.20	0.40	0.23	0.40	0.46	0.61	0.54
SRG.MI	0.25	0.24	0.17	0.11	0.42	0.29	0.15	0.12	0.23	0.18	0.23	0.81	0.39	1.00	0.23	0.33	0.17	0.42	0.29	0.15	0.21	0.62	0.17	0.32	0.51	0.46	0.52
AAL.L	0.34	0.26	0.11	0.29	0.19	0.31	0.23	0.32	0.15	0.36	0.19	0.21	0.31	0.23	1.00	0.38	0.26	0.33	0.39	0.28	0.26	0.27	0.61	0.45	0.37	0.42	0.62
PRY.MI	0.40	0.16	0.12	0.18	0.27	0.36	0.17	0.14	0.13	0.22	0.21	0.31	0.34	0.33	0.38	1.00	0.25	0.32	0.64	0.27	0.29	0.35	0.33	0.63	0.40	0.45	0.60
CSX	0.60	0.15	0.41	0.36	0.14	0.16	0.35	0.38	0.35	0.35	0.44	0.19	0.23	0.17	0.26	0.25	1.00	0.20	0.25	0.55	0.46	0.19	0.42	0.31	0.25	0.29	0.56
COL.MC	0.29	0.17	0.17	0.15	0.40	0.33	0.23	0.15	0.32	0.18	0.26	0.42	0.48	0.42	0.33	0.32	0.20	1.00	0.34	0.23	0.26	0.43	0.23	0.39	0.51	0.51	0.56
NEX.PA	0.39	0.17	0.10	0.17	0.27	0.35	0.19	0.16	0.15	0.22	0.21	0.26	0.35	0.29	0.39	0.64	0.25	0.34	1.00	0.29	0.31	0.35	0.33	0.61	0.44	0.45	0.60
PNR	0.65	0.17	0.35	0.33	0.15	0.19	0.32	0.31	0.33	0.30	0.47	0.16	0.24	0.15	0.28	0.27	0.55	0.23	0.29	1.00	0.55	0.19	0.45	0.36	0.24	0.30	0.58
BX	0.66	0.18	0.27	0.26	0.23	0.20	0.34	0.30	0.33	0.29	0.44	0.23	0.20	0.21	0.26	0.29	0.46	0.26	0.31	0.55	1.00	0.24	0.38	0.35	0.30	0.30	0.58
IBE.MC	0.28	0.24	0.22	0.13	0.47	0.29	0.19	0.12	0.27	0.15	0.25	0.65	0.40	0.62	0.27	0.35	0.19	0.43	0.35	0.19	0.24	1.00	0.19	0.40	0.54	0.49	0.55
FCX	0.54	0.35	0.16	0.41	0.11	0.26	0.31	0.45	0.22	0.49	0.27	0.13	0.23	0.17	0.61	0.33	0.42	0.23	0.33	0.45	0.38	0.19	1.00	0.36	0.27	0.34	0.65
SU.PA	0.45	0.19	0.17	0.17	0.32	0.38	0.21	0.15	0.18	0.23	0.24	0.29	0.40	0.32	0.45	0.63	0.31	0.39	0.61	0.36	0.35	0.40	0.36	1.00	0.49	0.55	0.65
VIE.PA	0.33	0.22	0.19	0.19	0.39	0.40	0.20	0.18	0.26	0.23	0.26	0.49	0.46	0.51	0.37	0.40	0.25	0.51	0.44	0.24	0.30	0.54	0.27	0.49	1.00	0.63	0.64
DG.PA	0.37	0.16	0.19	0.22	0.36	0.40	0.22	0.23	0.27	0.26	0.25	0.42	0.61	0.46	0.42	0.45	0.29	0.51	0.45	0.30	0.30	0.49	0.34	0.55	0.63	1.00	0.67
Portfolio	0.68	0.39	0.36	0.47	0.42	0.47	0.47	0.47	0.45	0.52	0.50	0.49	0.54	0.52	0.62	0.60	0.56	0.56	0.60	0.58	0.58	0.55	0.65	0.65	0.64	0.67	1.00

The correlation results are calculated based on daily price changes starting from Oct 7, 2019

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