Asset Allocation
Find the right asset allocation for Optimized Portfolio
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Optimized Portfolio, 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
| 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 Optimized Portfolio | -0.07% | 0.35% | 9.38% | 9.81% | 22.74% | 21.77% | — | — |
| Portfolio components: | ||||||||
AAPL Apple Inc | -1.89% | 2.90% | 11.12% | 8.71% | 48.46% | 19.11% | 19.46% | 29.63% |
ABBV AbbVie Inc. | -1.83% | 10.68% | -0.77% | 1.62% | 21.34% | 21.59% | 18.74% | 18.63% |
AGNC AGNC Investment Corp. | -0.59% | -5.84% | -0.32% | 3.01% | 27.55% | 17.15% | 1.42% | 6.25% |
AMZN Amazon.com, Inc | -0.33% | -10.07% | 6.24% | 8.08% | 14.82% | 25.71% | 8.37% | 21.19% |
AZN AstraZeneca PLC | -2.37% | -0.71% | 0.81% | 1.53% | 28.04% | 9.54% | 12.08% | 15.85% |
BAC Bank of America Corporation | -0.37% | 5.06% | -1.43% | 0.58% | 21.86% | 25.47% | 7.45% | 17.09% |
CAT Caterpillar Inc. | 1.26% | 2.03% | 60.51% | 54.15% | 161.94% | 59.74% | 33.67% | 31.20% |
CNC Centene Corporation | 4.33% | 16.21% | 58.03% | 71.67% | 17.89% | -1.96% | -1.92% | 6.71% |
COST Costco Wholesale Corporation | 0.30% | -3.37% | 13.35% | 10.14% | -3.42% | 25.18% | 22.05% | 22.25% |
CSCO Cisco Systems, Inc. | 2.06% | 28.56% | 62.91% | 59.13% | 92.26% | 39.53% | 21.53% | 19.19% |
Monthly Returns
Based on dividend-adjusted daily data since Feb 18, 2022, Optimized Portfolio's average daily return is +0.07%, while the average monthly return is +1.34%. At this rate, an investment would double in approximately 4.3 years.
Historically, 66% of months were positive and 34% were negative. The best month was Nov 2022 with a return of +7.5%, while the worst month was Sep 2022 at -8.4%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Optimized Portfolio closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +5.4%, while the worst single day was Apr 4, 2025 at -4.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.53% | 3.88% | -3.08% | 4.13% | 1.50% | -0.71% | 9.38% | ||||||
| 2025 | 3.30% | 3.22% | -1.96% | -0.30% | 3.12% | 2.36% | 0.43% | 2.87% | 2.57% | 1.21% | 3.08% | -0.08% | 21.50% |
| 2024 | 1.05% | 3.46% | 3.16% | -2.28% | 5.30% | 2.21% | 2.86% | 3.98% | 1.89% | -0.56% | 3.21% | -3.06% | 22.98% |
| 2023 | 6.88% | -1.13% | 2.88% | 2.26% | -0.05% | 5.74% | 2.23% | -1.59% | -2.00% | -2.25% | 6.32% | 4.83% | 26.22% |
| 2022 | 0.01% | 4.73% | -6.53% | 0.03% | -5.68% | 7.32% | -4.05% | -8.38% | 5.50% | 7.47% | -3.60% | -4.76% |
Benchmark Metrics
Optimized Portfolio has an annualized alpha of 8.24%, beta of 0.62, and R2 of 0.85 versus S&P 500 Index. Calculated based on daily prices since February 18, 2022.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (82.89%) than losses (61.09%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 8.24% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.62 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
- 8.24%
- Beta
- 0.62
- R²
- 0.85
- Upside Capture
- 82.89%
- Downside Capture
- 61.09%
Expense Ratio
Optimized Portfolio has an expense ratio of 0.10%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Top 10 holdings
Return for Risk
Risk / Return Rank
Optimized Portfolio ranks 90 for risk / return — in the top 90% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Optimized Portfolio and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 3.37 | 1.94 | +1.43 |
| Sortino ratioReturn per unit of downside risk | 4.75 | 2.63 | +2.13 |
| Omega ratioGain probability vs. loss probability | 1.67 | 1.35 | +0.32 |
| Calmar ratioReturn relative to maximum drawdown | 4.27 | 2.59 | +1.68 |
| Martin ratioReturn relative to average drawdown | 19.75 | 11.84 | +7.90 |
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 | 88 | 2.18 | 3.09 | 1.39 | 3.53 | 8.89 |
ABBV AbbVie Inc. | 66 | 0.88 | 1.37 | 1.17 | 1.24 | 2.77 |
AGNC AGNC Investment Corp. | 75 | 1.43 | 2.02 | 1.25 | 1.48 | 4.39 |
AMZN Amazon.com, Inc | 56 | 0.49 | 0.89 | 1.11 | 0.68 | 1.64 |
AZN AstraZeneca PLC | 73 | 1.11 | 1.83 | 1.21 | 1.83 | 4.90 |
BAC Bank of America Corporation | 68 | 1.02 | 1.45 | 1.19 | 1.22 | 3.15 |
CAT Caterpillar Inc. | 98 | 4.76 | 5.44 | 1.69 | 11.74 | 38.95 |
CNC Centene Corporation | 52 | 0.28 | 0.78 | 1.15 | 0.32 | 0.53 |
COST Costco Wholesale Corporation | 32 | -0.18 | -0.13 | 0.98 | -0.22 | -0.51 |
CSCO Cisco Systems, Inc. | 95 | 3.02 | 3.55 | 1.54 | 6.83 | 19.08 |
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Dividends
Dividend yield
Optimized Portfolio provided a 3.68% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.68% | 3.96% | 3.20% | 3.30% | 2.58% | 1.88% | 2.37% | 2.20% | 2.28% | 2.24% | 2.33% | 3.76% |
| Portfolio components: | ||||||||||||
AAPL Apple Inc | 0.35% | 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. | 3.02% | 2.87% | 3.49% | 3.82% | 3.49% | 3.84% | 4.41% | 4.83% | 3.89% | 2.65% | 3.64% | 3.41% |
AGNC AGNC Investment Corp. | 14.24% | 13.43% | 15.64% | 14.68% | 13.91% | 9.57% | 10.00% | 11.31% | 12.31% | 10.70% | 12.69% | 14.30% |
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% |
AZN AstraZeneca PLC | 2.93% | 1.70% | 2.27% | 2.15% | 2.12% | 2.35% | 2.80% | 2.81% | 3.69% | 3.95% | 5.01% | 4.06% |
BAC Bank of America Corporation | 2.09% | 1.96% | 2.28% | 2.73% | 2.60% | 1.75% | 2.38% | 1.87% | 2.19% | 1.32% | 1.13% | 1.19% |
CAT Caterpillar Inc. | 0.66% | 1.02% | 1.49% | 1.69% | 1.93% | 2.07% | 2.26% | 2.56% | 2.58% | 1.97% | 3.32% | 4.33% |
CNC Centene Corporation | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
COST Costco Wholesale Corporation | 0.55% | 0.59% | 0.49% | 2.87% | 0.76% | 0.54% | 3.38% | 0.86% | 1.08% | 4.81% | 1.09% | 4.06% |
CSCO Cisco Systems, Inc. | 1.33% | 2.12% | 2.69% | 3.07% | 3.17% | 2.32% | 3.20% | 2.88% | 2.95% | 2.95% | 3.28% | 3.02% |
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 Optimized Portfolio. 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 Optimized Portfolio was 18.48%, occurring on Oct 14, 2022. Recovery took 134 trading sessions.
The current Optimized Portfolio drawdown is 1.82%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -18.48%Oct 2022 | 6mo 18d | 6mo 16d | 1y 29dMar 2022 - Apr 2023 |
2025 selloff2025 | -10.36%Apr 2025 | 1mo 16d | 1mo 8d | 2mo 24dFeb 2025 - May 2025 |
2023 pullback2023 | -7.00%Oct 2023 | 3mo 3d | 1mo 4d | 4mo 7dJul 2023 - Nov 2023 |
2026 pullback2026 | -5.35%Mar 2026 | 17d | 28d | 1mo 15dMar 2026 - Apr 2026 |
2025 pullback2025 | -3.63%Jan 2025 | 1mo 2d | 20d | 1mo 22dDec 2024 - Jan 2025 |
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 42 assets, with an effective number of assets of 19.31, reflecting the diversification based on asset allocation. Your portfolio is dominated by one or two holdings, which significantly increases concentration risk. Consider rebalancing toward more even weights or adding additional positions.
Diversification Ratio
1Y | 3Y | All Time | |
|---|---|---|---|
Diversification Ratio | 3.00 | 2.19 | 1.89 |
The portfolio has a diversification ratio of 1.89, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.
Optimized Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.68 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.84 |
Correlation (All Time) Calculated using the full available price history since Feb 18, 2022 | 0.89 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VOO has the highest benchmark correlation at 1.00, while SWVXX has the lowest at 0.01.
Portfolio Correlations
Correlation vs. Optimized Portfolio. VOO has the highest portfolio correlation at 0.89, while SWVXX has the lowest at 0.02.
Asset Correlations Table
Find what Optimized Portfolio is missing
See which holdings overlap, where Optimized Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification