Fortress of Solitude 25

Asset Allocation

Position	Category/Sector	Target Weight
BLK BlackRock, Inc.	Financial Services	7.14%
CAT Caterpillar Inc.	Industrials	7.14%
CL Colgate-Palmolive Company	Consumer Defensive	7.14%
DE Deere & Company	Industrials	7.14%
ETN Eaton Corporation plc	Industrials	7.14%
JNJ Johnson & Johnson	Healthcare	0%
KO The Coca-Cola Company	Consumer Defensive	7.14%
MCO Moody's Corporation	Financial Services	7.14%
MDLZ Mondelez International, Inc.	Consumer Defensive	7.14%
MRSH Marsh & McLennan Companies, Inc	Financial Services	7.14%
NVS Novartis AG	Healthcare	7.14%
PEP PepsiCo, Inc.	Consumer Defensive	7.14%
SPGI S&P Global Inc.	Financial Services	7.14%
SYK Stryker Corporation	Healthcare	7.14%
TT Trane Technologies plc	Industrials	7.14%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Fortress of Solitude 25, 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 Jun 13, 2001, corresponding to the inception date of MDLZ

Returns By Period

As of Apr 3, 2026, the Fortress of Solitude 25 returned 5.31% Year-To-Date and 16.27% 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 Fortress of Solitude 25	0.32%	-4.75%	5.31%	5.04%	11.31%	15.76%	12.77%	16.27%
Portfolio components:
JNJ Johnson & Johnson	-0.44%	-1.50%	18.06%	32.21%	60.80%	19.22%	11.44%	11.41%
KO The Coca-Cola Company	0.84%	-2.64%	10.50%	17.69%	10.67%	10.37%	11.14%	8.39%
PEP PepsiCo, Inc.	1.53%	-3.94%	10.38%	12.40%	9.51%	-1.63%	5.35%	7.43%
NVS Novartis AG	-0.68%	-3.33%	15.12%	21.19%	43.29%	22.68%	16.63%	11.80%
CAT Caterpillar Inc.	-1.79%	-0.69%	25.49%	46.96%	117.26%	48.52%	27.57%	28.19%
SPGI S&P Global Inc.	1.41%	-2.89%	-17.30%	-9.15%	-15.45%	8.46%	4.39%	17.03%
SYK Stryker Corporation	0.65%	-13.56%	-5.42%	-9.04%	-11.32%	5.88%	7.52%	12.98%
BLK BlackRock, Inc.	0.96%	-7.66%	-9.19%	-15.84%	2.56%	15.89%	7.27%	13.85%
ETN Eaton Corporation plc	-1.22%	1.87%	13.73%	-3.60%	28.78%	30.19%	22.96%	22.03%
MRSH Marsh & McLennan Companies, Inc	1.59%	-5.22%	-5.40%	-12.06%	-27.09%	2.74%	8.85%	12.94%

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

Monthly Returns

Based on dividend-adjusted daily data since Jun 14, 2001, Fortress of Solitude 25's average daily return is +0.06%, while the average monthly return is +1.17%. At this rate, your investment would double in approximately 5.0 years.

Historically, 67% of months were positive and 33% were negative. The best month was Apr 2009 with a return of +16.0%, while the worst month was Oct 2008 at -19.9%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Fortress of Solitude 25 closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +10.9%, while the worst single day was Mar 16, 2020 at -10.8%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	7.57%	5.53%	-8.14%	1.00%									5.31%
2025	2.84%	1.25%	-1.15%	-0.47%	4.62%	3.10%	0.78%	-0.68%	-0.81%	0.23%	0.77%	-1.09%	9.59%
2024	2.22%	2.66%	4.15%	-1.76%	1.84%	0.75%	3.93%	5.24%	2.14%	-4.00%	5.98%	-7.10%	16.34%
2023	3.09%	-2.78%	3.01%	3.12%	-4.32%	8.74%	2.15%	-0.60%	-4.20%	-3.65%	9.91%	4.85%	19.63%
2022	-4.80%	-3.80%	4.55%	-4.42%	-1.17%	-6.55%	8.37%	-2.82%	-8.59%	12.17%	8.56%	-1.60%	-2.48%
2021	-4.49%	4.65%	7.06%	4.70%	2.54%	0.67%	3.15%	2.03%	-7.44%	6.82%	-2.98%	7.35%	25.35%

Benchmark Metrics

Fortress of Solitude 25 has an annualized alpha of 7.27%, beta of 0.87, and R² of 0.83 versus S&P 500 Index. Calculated based on daily prices since June 14, 2001.

This portfolio captured 109.23% of S&P 500 Index gains but only 78.67% of its losses — a favorable profile for investors.
This portfolio generated an annualized alpha of 7.27% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
With beta of 0.87 and R² of 0.83, 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: 7.27%

Beta: 0.87

R²: 0.83

Upside Capture: 109.23%

Downside Capture: 78.67%

Expense Ratio

Fortress of Solitude 25 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

Fortress of Solitude 25 ranks 15 for risk / return — in the bottom 15% 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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	0.75	0.88	-0.14
Sortino ratio Return per unit of downside risk	1.16	1.37	-0.21
Omega ratio Gain probability vs. loss probability	1.15	1.21	-0.05
Calmar ratio Return relative to maximum drawdown	1.15	1.39	-0.24
Martin ratio Return relative to average drawdown	3.28	6.43	-3.16
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
JNJ Johnson & Johnson	97	3.51	4.77	1.64	7.48	25.03
KO The Coca-Cola Company	58	0.64	1.06	1.12	1.00	2.03
PEP PepsiCo, Inc.	51	0.42	0.81	1.09	0.60	1.23
NVS Novartis AG	88	2.01	2.62	1.35	4.16	12.14
CAT Caterpillar Inc.	96	3.39	4.01	1.54	6.61	23.24
SPGI S&P Global Inc.	18	-0.53	-0.52	0.92	-0.49	-1.22
SYK Stryker Corporation	18	-0.50	-0.60	0.93	-0.55	-1.25
BLK BlackRock, Inc.	41	0.09	0.32	1.05	0.20	0.51
ETN Eaton Corporation plc	66	0.84	1.35	1.18	1.68	3.73
MRSH Marsh & McLennan Companies, Inc	6	-1.15	-1.52	0.79	-0.91	-1.40

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.

Fortress of Solitude 25 Sharpe ratios as of Apr 3, 2026 (values are recalculated daily):

1-Year: 0.75
5-Year: 0.87
10-Year: 0.95
All Time: 0.75

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 0.98 to 1.66, 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 Fortress of Solitude 25 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

Fortress of Solitude 25 provided a 1.88% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.88%	1.92%	1.88%	1.87%	1.98%	1.76%	1.85%	2.07%	2.45%	2.03%	2.38%	2.52%
Portfolio components:
JNJ Johnson & Johnson	2.14%	2.48%	3.40%	3.00%	2.52%	2.45%	2.53%	2.57%	2.74%	2.38%	2.73%	2.87%
KO The Coca-Cola Company	2.69%	2.92%	3.12%	3.12%	2.77%	2.84%	2.99%	2.89%	3.29%	3.23%	3.38%	3.07%
PEP PepsiCo, Inc.	3.62%	3.92%	3.51%	2.91%	2.50%	2.45%	2.71%	2.77%	3.25%	2.64%	2.83%	2.76%
NVS Novartis AG	3.10%	2.90%	3.84%	3.44%	3.70%	3.86%	3.22%	3.03%	3.47%	3.24%	3.73%	3.10%
CAT Caterpillar Inc.	0.83%	1.02%	1.49%	1.69%	1.93%	2.07%	2.26%	2.56%	2.58%	1.97%	3.32%	4.33%
SPGI S&P Global Inc.	0.89%	0.73%	0.73%	0.82%	0.99%	0.65%	0.82%	0.84%	1.18%	0.97%	1.34%	1.34%
SYK Stryker Corporation	1.04%	0.97%	0.90%	1.02%	1.16%	0.97%	0.96%	1.02%	1.23%	1.13%	1.31%	1.52%
BLK BlackRock, Inc.	2.21%	1.95%	1.99%	2.46%	2.75%	1.80%	2.01%	2.63%	3.08%	1.95%	2.41%	2.56%
ETN Eaton Corporation plc	1.17%	1.31%	1.13%	1.43%	2.06%	1.76%	1.88%	3.00%	3.85%	3.04%	3.40%	4.23%
MRSH Marsh & McLennan Companies, Inc	2.01%	1.85%	1.44%	1.37%	1.36%	1.15%	1.57%	1.56%	1.98%	1.76%	1.92%	2.13%

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 Fortress of Solitude 25. 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 Fortress of Solitude 25 was 52.17%, occurring on Mar 9, 2009. Recovery took 404 trading sessions.

The current Fortress of Solitude 25 drawdown is 7.22%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-52.17%	Dec 11, 2007	312	Mar 9, 2009	404	Oct 13, 2010	716
-35.9%	Feb 20, 2020	23	Mar 23, 2020	109	Aug 26, 2020	132
-20.87%	May 17, 2002	45	Jul 22, 2002	219	Jun 4, 2003	264
-20.7%	Jul 8, 2011	61	Oct 3, 2011	85	Feb 3, 2012	146
-19.03%	Jan 5, 2022	186	Sep 30, 2022	70	Jan 11, 2023	256

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 14.00, 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	NVS	MDLZ	CL	JNJ	PEP	KO	DE	SYK	BLK	SPGI	CAT	MRSH	MCO	TT	ETN	Portfolio
Benchmark	1.00	0.45	0.44	0.43	0.48	0.46	0.47	0.58	0.59	0.65	0.62	0.66	0.62	0.63	0.67	0.71	0.86
NVS	0.45	1.00	0.31	0.33	0.41	0.34	0.35	0.28	0.35	0.32	0.33	0.30	0.35	0.33	0.31	0.31	0.51
MDLZ	0.44	0.31	1.00	0.48	0.39	0.51	0.49	0.26	0.35	0.32	0.33	0.27	0.38	0.35	0.31	0.30	0.54
CL	0.43	0.33	0.48	1.00	0.44	0.54	0.52	0.26	0.35	0.29	0.34	0.27	0.40	0.34	0.31	0.30	0.55
JNJ	0.48	0.41	0.39	0.44	1.00	0.45	0.44	0.29	0.44	0.33	0.35	0.30	0.41	0.35	0.30	0.32	0.51
PEP	0.46	0.34	0.51	0.54	0.45	1.00	0.62	0.26	0.38	0.31	0.34	0.26	0.40	0.36	0.31	0.30	0.56
KO	0.47	0.35	0.49	0.52	0.44	0.62	1.00	0.30	0.38	0.33	0.34	0.30	0.40	0.34	0.34	0.34	0.58
DE	0.58	0.28	0.26	0.26	0.29	0.26	0.30	1.00	0.36	0.44	0.38	0.68	0.37	0.38	0.54	0.56	0.67
SYK	0.59	0.35	0.35	0.35	0.44	0.38	0.38	0.36	1.00	0.41	0.45	0.39	0.45	0.45	0.41	0.44	0.64
BLK	0.65	0.32	0.32	0.29	0.33	0.31	0.33	0.44	0.41	1.00	0.46	0.49	0.47	0.50	0.48	0.51	0.68
SPGI	0.62	0.33	0.33	0.34	0.35	0.34	0.34	0.38	0.45	0.46	1.00	0.40	0.49	0.67	0.45	0.44	0.68
CAT	0.66	0.30	0.27	0.27	0.30	0.26	0.30	0.68	0.39	0.49	0.40	1.00	0.40	0.42	0.62	0.67	0.72
MRSH	0.62	0.35	0.38	0.40	0.41	0.40	0.40	0.37	0.45	0.47	0.49	0.40	1.00	0.49	0.46	0.46	0.67
MCO	0.63	0.33	0.35	0.34	0.35	0.36	0.34	0.38	0.45	0.50	0.67	0.42	0.49	1.00	0.46	0.45	0.70
TT	0.67	0.31	0.31	0.31	0.30	0.31	0.34	0.54	0.41	0.48	0.45	0.62	0.46	0.46	1.00	0.69	0.73
ETN	0.71	0.31	0.30	0.30	0.32	0.30	0.34	0.56	0.44	0.51	0.44	0.67	0.46	0.45	0.69	1.00	0.75
Portfolio	0.86	0.51	0.54	0.55	0.51	0.56	0.58	0.67	0.64	0.68	0.68	0.72	0.67	0.70	0.73	0.75	1.00

The correlation results are calculated based on daily price changes starting from Jun 14, 2001

Fortress of Solitude 25

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