Dividend-Paying Stocks Portfolio test

Asset Allocation

Position	Category/Sector	Target Weight
ABBV AbbVie Inc.	Healthcare	12.50%
APD Air Products and Chemicals, Inc.	Basic Materials	12.50%
JNJ Johnson & Johnson	Healthcare	12.50%
KMB Kimberly-Clark Corporation	Consumer Defensive	12.50%
KO The Coca-Cola Company	Consumer Defensive	12.50%
MCD McDonald's Corporation	Consumer Cyclical	12.50%
PEP PepsiCo, Inc.	Consumer Defensive	12.50%
PG The Procter & Gamble Company	Consumer Defensive	12.50%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Dividend-Paying Stocks Portfolio test, 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 Jan 2, 2013, corresponding to the inception date of ABBV

Returns By Period

As of Apr 4, 2026, the Dividend-Paying Stocks Portfolio test returned 6.14% Year-To-Date and 10.29% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-3.63%	-3.84%	-1.98%	29.73%	16.86%	10.37%	12.29%
Portfolio Dividend-Paying Stocks Portfolio test	-0.22%	-2.82%	6.14%	4.56%	9.39%	6.16%	8.14%	10.29%
Portfolio components:
PG The Procter & Gamble Company	-0.67%	-7.06%	0.58%	-4.68%	-10.20%	1.10%	3.87%	8.50%
KO The Coca-Cola Company	0.84%	0.28%	10.50%	16.71%	12.89%	10.37%	11.14%	8.39%
APD Air Products and Chemicals, Inc.	1.42%	6.89%	20.45%	9.61%	14.41%	3.14%	3.14%	10.14%
KMB Kimberly-Clark Corporation	-1.48%	-7.24%	-3.54%	-19.64%	-27.20%	-7.18%	-3.30%	-0.03%
JNJ Johnson & Johnson	-0.44%	1.42%	18.06%	30.35%	63.02%	19.22%	11.44%	11.41%
PEP PepsiCo, Inc.	1.53%	-1.42%	10.38%	12.66%	11.38%	-1.63%	5.35%	7.43%
ABBV AbbVie Inc.	-2.86%	-10.12%	-7.86%	-9.35%	15.45%	13.21%	18.43%	18.22%
MCD McDonald's Corporation	-0.05%	-6.20%	1.06%	3.23%	4.71%	5.27%	8.85%	11.85%

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

Monthly Returns

Based on dividend-adjusted daily data since Jan 3, 2013, Dividend-Paying Stocks Portfolio test's average daily return is +0.05%, while the average monthly return is +1.00%. At this rate, your investment would double in approximately 5.8 years.

Historically, 63% of months were positive and 37% were negative. The best month was Dec 2021 with a return of +11.2%, while the worst month was Mar 2020 at -8.4%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Dividend-Paying Stocks Portfolio test closed higher 55% of trading days. The best single day was Mar 13, 2020 with a return of +8.2%, while the worst single day was Mar 12, 2020 at -8.7%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	5.28%	8.05%	-6.29%	-0.43%									6.14%
2025	3.18%	6.35%	-0.63%	-4.56%	0.78%	-2.94%	1.02%	5.55%	-0.84%	-1.62%	3.08%	-2.70%	6.21%
2024	1.03%	0.44%	2.53%	-1.97%	0.93%	0.56%	3.71%	6.08%	1.27%	-2.20%	0.69%	-5.79%	6.99%
2023	-3.55%	-2.79%	4.92%	3.93%	-6.62%	4.55%	1.86%	-2.58%	-4.03%	-1.26%	2.97%	1.63%	-1.78%
2022	-1.23%	-3.48%	2.77%	1.61%	-1.34%	-0.10%	0.56%	-3.02%	-6.04%	9.80%	8.24%	-0.41%	6.42%
2021	-4.31%	-1.47%	7.50%	1.31%	1.73%	-0.68%	4.25%	-0.48%	-4.34%	5.38%	-1.65%	11.15%	18.64%

Benchmark Metrics

Dividend-Paying Stocks Portfolio test has an annualized alpha of 4.73%, beta of 0.60, and R² of 0.50 versus S&P 500 Index. Calculated based on daily prices since January 03, 2013.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (73.73%) than losses (64.80%) — typical of diversified or defensive assets.
Beta of 0.60 may look defensive, but with R² of 0.50 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
R² of 0.50 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.

Alpha: 4.73%

Beta: 0.60

R²: 0.50

Upside Capture: 73.73%

Downside Capture: 64.80%

Expense Ratio

Dividend-Paying Stocks Portfolio test 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

Dividend-Paying Stocks Portfolio test ranks 8 for risk / return — in the bottom 8% 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	0.32	0.88	-0.56
Sortino ratio Return per unit of downside risk	0.53	1.37	-0.84
Omega ratio Gain probability vs. loss probability	1.07	1.21	-0.14
Calmar ratio Return relative to maximum drawdown	0.53	1.39	-0.86
Martin ratio Return relative to average drawdown	1.12	6.43	-5.31
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
PG The Procter & Gamble Company	12	-0.71	-0.87	0.90	-0.75	-1.39
KO The Coca-Cola Company	58	0.64	1.06	1.12	1.00	2.03
APD Air Products and Chemicals, Inc.	40	0.08	0.32	1.04	0.12	0.29
KMB Kimberly-Clark Corporation	4	-1.19	-1.53	0.78	-0.97	-1.55
JNJ Johnson & Johnson	97	3.51	4.77	1.64	7.48	25.03
PEP PepsiCo, Inc.	51	0.42	0.81	1.09	0.60	1.23
ABBV AbbVie Inc.	44	0.19	0.44	1.06	0.28	0.62
MCD McDonald's Corporation	37	0.05	0.19	1.02	0.02	0.04

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.

Dividend-Paying Stocks Portfolio test Sharpe ratios as of Apr 4, 2026 (values are recalculated daily):

1-Year: 0.32
5-Year: 0.63
10-Year: 0.69
All Time: 0.83

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 0.99 to 1.69, 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 Dividend-Paying Stocks Portfolio test 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

Dividend-Paying Stocks Portfolio test provided a 3.08% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.08%	3.17%	2.97%	2.99%	2.67%	2.60%	2.80%	2.85%	3.11%	2.70%	3.04%	2.95%
Portfolio components:
PG The Procter & Gamble Company	2.95%	2.91%	2.36%	2.55%	2.38%	2.08%	2.24%	2.37%	3.09%	2.98%	3.18%	3.31%
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%
APD Air Products and Chemicals, Inc.	2.45%	2.89%	1.83%	2.56%	2.10%	1.97%	1.96%	1.97%	2.75%	2.32%	2.39%	2.49%
KMB Kimberly-Clark Corporation	5.26%	5.00%	3.72%	3.88%	3.42%	3.19%	3.17%	3.00%	3.51%	3.22%	3.22%	2.77%
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%
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%
ABBV AbbVie Inc.	3.18%	2.87%	3.49%	3.82%	3.49%	3.84%	4.41%	4.83%	3.89%	2.65%	3.64%	3.41%
MCD McDonald's Corporation	2.36%	2.35%	2.34%	2.10%	2.15%	1.96%	2.35%	2.39%	2.36%	2.23%	2.97%	2.91%

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 Dividend-Paying Stocks Portfolio test. 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 Dividend-Paying Stocks Portfolio test was 29.35%, occurring on Mar 23, 2020. Recovery took 96 trading sessions.

The current Dividend-Paying Stocks Portfolio test drawdown is 6.69%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-29.35%	Feb 18, 2020	25	Mar 23, 2020	96	Aug 7, 2020	121
-14.34%	Jan 29, 2018	60	Apr 24, 2018	154	Nov 30, 2018	214
-12.78%	Apr 29, 2022	112	Oct 7, 2022	28	Nov 16, 2022	140
-11.73%	Oct 21, 2024	56	Jan 10, 2025	34	Mar 3, 2025	90
-10.81%	Mar 10, 2025	22	Apr 8, 2025	204	Jan 30, 2026	226

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 8.00, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

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	ABBV	APD	MCD	JNJ	KMB	PG	KO	PEP	Portfolio
Benchmark	1.00	0.42	0.60	0.45	0.41	0.32	0.39	0.42	0.42	0.58
ABBV	0.42	1.00	0.32	0.28	0.46	0.29	0.32	0.32	0.33	0.61
APD	0.60	0.32	1.00	0.36	0.37	0.35	0.37	0.39	0.38	0.63
MCD	0.45	0.28	0.36	1.00	0.38	0.39	0.41	0.47	0.45	0.62
JNJ	0.41	0.46	0.37	0.38	1.00	0.43	0.48	0.45	0.48	0.68
KMB	0.32	0.29	0.35	0.39	0.43	1.00	0.67	0.53	0.57	0.71
PG	0.39	0.32	0.37	0.41	0.48	0.67	1.00	0.60	0.63	0.75
KO	0.42	0.32	0.39	0.47	0.45	0.53	0.60	1.00	0.69	0.74
PEP	0.42	0.33	0.38	0.45	0.48	0.57	0.63	0.69	1.00	0.76
Portfolio	0.58	0.61	0.63	0.62	0.68	0.71	0.75	0.74	0.76	1.00

The correlation results are calculated based on daily price changes starting from Jan 3, 2013

Dividend-Paying Stocks Portfolio test

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