Quality FCF Aristocrats TOP 15 ALT

Asset Allocation

Position	Category/Sector	Target Weight
AVGO Broadcom Inc.	Technology	6.67%
NVDA NVIDIA Corporation	Technology	6.67%
GOOG Alphabet Inc	Communication Services	6.67%
MSFT Microsoft Corporation	Technology	6.67%
AAPL Apple Inc	Technology	6.67%
META Meta Platforms, Inc.	Communication Services	6.67%
MA Mastercard Incorporated	Financial Services	6.67%
ABBV AbbVie Inc.	Healthcare	6.67%
V Visa Inc.	Financial Services	6.67%
PM Philip Morris International Inc.	Consumer Defensive	6.67%
MO Altria Group, Inc.	Consumer Defensive	6.67%
ADP Automatic Data Processing, Inc.	Industrials	6.67%
MCD McDonald's Corporation	Consumer Cyclical	6.67%
ORLY O'Reilly Automotive, Inc.	Consumer Cyclical	6.67%
JNJ Johnson & Johnson	Healthcare	6.67%

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 Quality FCF Aristocrats TOP 15 ALT, 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 5, 2026, the Quality FCF Aristocrats TOP 15 ALT returned 3.74% Year-To-Date and 24.58% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-2.64%	0.25%	7.86%	7.47%	—	—	—	—
Portfolio Quality FCF Aristocrats TOP 15 ALT	-1.00%	0.60%	3.74%	3.40%	17.98%	28.36%	22.97%	24.58%
Portfolio components:
AAPL Apple Inc	-1.25%	7.00%	13.26%	10.45%	53.80%	20.25%	20.16%	29.85%
ABBV AbbVie Inc.	1.02%	10.83%	1.08%	2.16%	25.16%	23.16%	19.52%	18.45%
ADP Automatic Data Processing, Inc.	0.28%	11.94%	-9.08%	-10.03%	-27.11%	4.66%	5.48%	12.74%
AVGO Broadcom Inc.	-7.92%	-9.33%	11.68%	-0.76%	49.60%	71.92%	55.10%	40.58%
GOOG Alphabet Inc	-0.95%	-7.44%	16.64%	13.71%	116.14%	42.32%	24.64%	26.25%
JNJ Johnson & Johnson	2.02%	4.22%	13.72%	16.55%	55.27%	17.11%	10.05%	10.21%
MA Mastercard Incorporated	1.93%	-0.16%	-13.70%	-9.69%	-15.62%	9.57%	6.67%	18.35%
MCD McDonald's Corporation	2.61%	-0.83%	-7.30%	-8.97%	-7.23%	1.82%	6.11%	11.32%
META Meta Platforms, Inc.	-5.51%	-3.24%	-10.09%	-11.79%	-13.11%	30.15%	12.59%	17.64%
MO Altria Group, Inc.	2.25%	2.88%	27.30%	28.89%	30.10%	26.90%	16.44%	8.10%

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

Monthly Returns

Based on dividend-adjusted daily data since Apr 4, 2014, Quality FCF Aristocrats TOP 15 ALT's average daily return is +0.09%, while the average monthly return is +1.92%. At this rate, an investment would double in approximately 3.0 years.

Historically, 71% of months were positive and 29% were negative. The best month was Apr 2020 with a return of +12.9%, while the worst month was Mar 2020 at -9.7%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Quality FCF Aristocrats TOP 15 ALT closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +10.2%, while the worst single day was Mar 16, 2020 at -13.3%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	1.33%	-1.11%	-5.09%	8.48%	2.16%	-1.58%							3.74%
2025	3.16%	3.39%	-3.41%	0.48%	7.23%	3.07%	3.83%	3.85%	3.35%	-1.71%	3.04%	-1.06%	27.77%
2024	4.61%	6.75%	2.71%	-3.90%	4.64%	5.14%	3.24%	4.29%	1.84%	1.83%	2.26%	1.19%	40.12%
2023	5.54%	1.79%	8.33%	3.71%	3.45%	6.06%	3.95%	-0.22%	-4.61%	-1.99%	7.91%	4.04%	44.18%
2022	-3.17%	-3.69%	4.60%	-6.76%	0.33%	-7.89%	7.48%	-4.57%	-9.25%	7.50%	8.28%	-4.04%	-12.61%
2021	-2.40%	3.89%	5.11%	5.84%	0.68%	4.54%	4.03%	2.16%	-5.14%	5.15%	1.51%	7.94%	37.91%

Benchmark Metrics

Quality FCF Aristocrats TOP 15 ALT has an annualized alpha of 2.35%, beta of 0.67, and R2 of 0.64 versus S&P 500 Index. Calculated based on daily prices since April 04, 2014.

This portfolio participated in 102.25% of S&P 500 Index downside but only 82.87% of its upside - more exposed to losses than it benefited from rallies.
This portfolio generated an annualized alpha of 2.35% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
Beta of 0.67 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.

Alpha: 2.35%

Beta: 0.67

R²: 0.64

Upside Capture: 82.87%

Downside Capture: 102.25%

Expense Ratio

Quality FCF Aristocrats TOP 15 ALT 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

Quality FCF Aristocrats TOP 15 ALT ranks 26 for risk / return — below 26% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

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 Quality FCF Aristocrats TOP 15 ALT and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.76	—	—
Sortino ratioReturn per unit of downside risk	2.58	—	—
Omega ratioGain probability vs. loss probability	1.31	—	—
Calmar ratioReturn relative to maximum drawdown	1.92	—	—
Martin ratioReturn relative to average drawdown	7.76	—	—
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
AAPL Apple Inc	89	2.42	3.39	1.43	3.92	9.86
ABBV AbbVie Inc.	68	1.04	1.57	1.20	1.46	3.27
ADP Automatic Data Processing, Inc.	9	-1.12	-1.60	0.81	-0.67	-1.19
AVGO Broadcom Inc.	71	1.10	1.67	1.22	1.74	4.15
GOOG Alphabet Inc	96	4.06	5.45	1.65	5.63	20.33
JNJ Johnson & Johnson	94	3.30	4.77	1.59	5.07	15.08
MA Mastercard Incorporated	12	-0.71	-0.86	0.89	-0.75	-1.54
MCD McDonald's Corporation	23	-0.44	-0.52	0.94	-0.38	-1.00
META Meta Platforms, Inc.	25	-0.37	-0.31	0.96	-0.40	-0.84
MO Altria Group, Inc.	74	1.35	1.87	1.26	1.84	4.65

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.

Quality FCF Aristocrats TOP 15 ALT Sharpe ratios as of Jun 5, 2026 (values are recalculated daily):

1-Year: 1.76
5-Year: 1.43
10-Year: 1.34
All Time: 1.37

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 1.84 to 2.81, 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 Quality FCF Aristocrats TOP 15 ALT 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

Quality FCF Aristocrats TOP 15 ALT provided a 1.58% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.58%	1.63%	1.81%	2.02%	1.95%	1.80%	2.07%	2.05%	2.14%	1.56%	1.81%	1.85%
Portfolio components:
AAPL Apple Inc	0.34%	0.38%	0.40%	0.49%	0.70%	0.49%	0.61%	1.04%	1.79%	1.45%	1.93%	1.93%
ABBV AbbVie Inc.	2.97%	2.87%	3.49%	3.82%	3.49%	3.84%	4.41%	4.83%	3.89%	2.65%	3.64%	3.41%
ADP Automatic Data Processing, Inc.	2.79%	2.46%	1.96%	2.21%	1.83%	1.55%	2.08%	1.92%	2.14%	2.00%	2.10%	2.36%
AVGO Broadcom Inc.	0.64%	0.70%	0.94%	1.71%	3.02%	2.24%	3.05%	3.54%	3.11%	1.87%	1.43%	1.13%
GOOG Alphabet Inc	0.23%	0.26%	0.32%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
JNJ Johnson & Johnson	2.25%	2.48%	3.40%	3.00%	2.52%	2.45%	2.53%	2.57%	2.74%	2.38%	2.73%	2.87%
MA Mastercard Incorporated	0.66%	0.53%	0.50%	0.53%	0.56%	0.49%	0.45%	0.44%	0.53%	0.58%	0.74%	0.66%
MCD McDonald's Corporation	2.63%	2.35%	2.34%	2.10%	2.15%	1.96%	2.35%	2.39%	2.36%	2.23%	2.97%	2.91%
META Meta Platforms, Inc.	0.35%	0.32%	0.34%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MO Altria Group, Inc.	5.82%	7.21%	7.65%	9.52%	8.05%	7.43%	8.29%	6.57%	6.07%	3.56%	3.48%	3.73%

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 Quality FCF Aristocrats TOP 15 ALT. 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 Quality FCF Aristocrats TOP 15 ALT was 32.99%, occurring on Mar 23, 2020. Recovery took 72 trading sessions.

The current Quality FCF Aristocrats TOP 15 ALT drawdown is 1.15%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-32.99%Mar 2020	1mo 2d	3mo 15d	4mo 17dFeb 2020 - Jul 2020
Bear market2022	-22.35%Sep 2022	9mo 4d	6mo 2d	1y 3moDec 2021 - Mar 2023
Rate-hike selloffLate 2018	-18.86%Dec 2018	2mo 21d	2mo 26d	5mo 17dOct 2018 - Mar 2019
2025 selloff2025	-13.64%Apr 2025	1mo 16d	1mo 5d	2mo 21dFeb 2025 - May 2025
2018 correction2018	-11.64%Apr 2018	2mo 26d	3mo	5mo 26dJan 2018 - Jul 2018

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 15 assets, with an effective number of assets of 15.00, 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	2.55	1.99	1.71	1.54	1.54

The portfolio has a diversification ratio of 1.54, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Quality FCF Aristocrats TOP 15 ALT correlation to the S&P 500 Index

Quality FCF Aristocrats TOP 15 ALT has a 0.77 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	0.77
Correlation (3Y) Calculated over the trailing 3-year period	0.77
Correlation (5Y) Calculated over the trailing 5-year period	0.77
Correlation (10Y) Calculated over the trailing 10-year period	0.77
Correlation (All Time) Calculated using the full available price history since Apr 4, 2014	0.77

Benchmark Correlations

Correlation vs. S&P 500 Index. NVDA has the highest benchmark correlation at 0.58, while MO has the lowest at -0.21.

-0.21

-0.07

-0.01

0.06

0.07

0.07

0.15

0.30

0.37

MSFT

0.47

AAPL

0.50

GOOG

0.57

Portfolio Correlations

Correlation vs. Quality FCF Aristocrats TOP 15 ALT. MSFT has the highest portfolio correlation at 0.75, while MO has the lowest at 0.36.

0.36

0.41

0.42

0.45

0.46

0.49

0.63

Asset Correlations Table

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

	MO	PM	ABBV	JNJ	ORLY	MCD	NVDA	AVGO	META	ADP	AAPL	GOOG	MSFT	MA	V
MO	1.00	0.64	0.27	0.37	0.29	0.32	0.04	0.12	0.10	0.32	0.18	0.13	0.15	0.23	0.24
PM	0.64	1.00	0.28	0.38	0.26	0.37	0.10	0.15	0.16	0.31	0.21	0.20	0.20	0.28	0.29
ABBV	0.27	0.28	1.00	0.46	0.26	0.28	0.17	0.20	0.20	0.33	0.24	0.25	0.25	0.33	0.33
JNJ	0.37	0.38	0.46	1.00	0.29	0.38	0.10	0.15	0.15	0.37	0.24	0.24	0.23	0.34	0.35
ORLY	0.29	0.26	0.26	0.29	1.00	0.35	0.20	0.23	0.23	0.41	0.27	0.25	0.30	0.34	0.35
MCD	0.32	0.37	0.28	0.38	0.35	1.00	0.17	0.24	0.25	0.42	0.30	0.28	0.32	0.41	0.41
NVDA	0.04	0.10	0.17	0.10	0.20	0.17	1.00	0.60	0.50	0.30	0.48	0.50	0.57	0.41	0.39
AVGO	0.12	0.15	0.20	0.15	0.23	0.24	0.60	1.00	0.47	0.35	0.51	0.47	0.53	0.41	0.40
META	0.10	0.16	0.20	0.15	0.23	0.25	0.50	0.47	1.00	0.32	0.48	0.63	0.57	0.46	0.46
ADP	0.32	0.31	0.33	0.37	0.41	0.42	0.30	0.35	0.32	1.00	0.39	0.39	0.49	0.58	0.56
AAPL	0.18	0.21	0.24	0.24	0.27	0.30	0.48	0.51	0.48	0.39	1.00	0.55	0.57	0.47	0.46
GOOG	0.13	0.20	0.25	0.24	0.25	0.28	0.50	0.47	0.63	0.39	0.55	1.00	0.64	0.50	0.50
MSFT	0.15	0.20	0.25	0.23	0.30	0.32	0.57	0.53	0.57	0.49	0.57	0.64	1.00	0.55	0.54
MA	0.23	0.28	0.33	0.34	0.34	0.41	0.41	0.41	0.46	0.58	0.47	0.50	0.55	1.00	0.85
V	0.24	0.29	0.33	0.35	0.35	0.41	0.39	0.40	0.46	0.56	0.46	0.50	0.54	0.85	1.00

The correlation results are calculated based on daily price changes starting from Apr 4, 2014

Diversification Analysis

Find what Quality FCF Aristocrats TOP 15 ALT is missing

See which holdings overlap, where Quality FCF Aristocrats TOP 15 ALT is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification