Geo 2 = Les volatile

Asset Allocation

Position	Category/Sector	Target Weight
BIAHX Brown Advisory - WMC Strategic European Equity Fund	Europe Equities	16.67%
HJPSX Hennessy Japan Small Cap Fund	Japan Equities	16.67%
ARTHX Artisan Global Equity Fund	Global Equities	16.67%
AU AngloGold Ashanti Limited	Basic Materials	16.67%
DEMIX Delaware Emerging Markets Fund	Emerging Markets Diversified	16.67%
EICOX Eaton Vance Emerging and Frontier Countries Equity Fund	Emerging Markets Diversified	16.67%

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 Geo 2 = Les volatile, 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 13, 2026, the Geo 2 = Les volatile returned 24.74% Year-To-Date and 17.29% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.50%	-0.17%	8.56%	8.85%	22.93%	19.37%	11.84%	13.61%
Portfolio Geo 2 = Les volatile	0.48%	-1.53%	24.74%	29.21%	62.81%	37.25%	19.59%	17.29%
Portfolio components:
ARTHX Artisan Global Equity Fund	2.76%	-5.46%	9.74%	11.43%	26.24%	26.75%	10.04%	14.05%
AU AngloGold Ashanti Limited	3.75%	-14.67%	4.15%	7.11%	86.54%	58.20%	35.46%	20.46%
BIAHX Brown Advisory - WMC Strategic European Equity Fund	1.98%	1.12%	1.18%	2.63%	9.38%	21.25%	11.86%	12.28%
DEMIX Delaware Emerging Markets Fund	11.43%	5.57%	103.78%	121.87%	211.86%	63.32%	25.02%	21.41%
EICOX Eaton Vance Emerging and Frontier Countries Equity Fund	4.58%	2.17%	23.31%	27.38%	43.01%	26.00%	15.16%	13.30%
HJPSX Hennessy Japan Small Cap Fund	1.71%	-1.48%	12.79%	15.92%	28.71%	18.80%	8.15%	10.57%

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

Monthly Returns

Based on dividend-adjusted daily data since Jan 2, 2015, Geo 2 = Les volatile's average daily return is +0.07%, while the average monthly return is +1.39%. At this rate, an investment would double in approximately 4.2 years.

Historically, 59% of months were positive and 41% were negative. The best month was Nov 2022 with a return of +15.6%, while the worst month was Mar 2026 at -14.0%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 5 months.

On a daily basis, Geo 2 = Les volatile closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +9.9%, while the worst single day was Mar 12, 2020 at -9.4%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	10.75%	11.21%	-13.98%	10.97%	9.24%	-2.87%							24.74%
2025	7.94%	0.93%	6.65%	4.59%	6.89%	6.68%	0.97%	6.40%	8.94%	1.79%	4.50%	3.46%	78.51%
2024	-1.72%	5.20%	6.68%	-1.25%	3.07%	1.98%	4.06%	2.17%	-1.31%	-3.11%	-0.54%	-1.78%	13.69%
2023	8.58%	-6.08%	8.64%	1.58%	-3.83%	1.53%	4.15%	-5.92%	-4.09%	-0.26%	8.24%	3.40%	15.28%
2022	-5.57%	0.57%	-1.72%	-7.44%	-0.56%	-8.60%	2.42%	-3.14%	-6.92%	1.52%	15.62%	-0.21%	-15.08%
2021	0.71%	-1.49%	1.88%	1.20%	4.14%	-3.27%	0.51%	-1.65%	-3.09%	4.20%	-1.00%	2.98%	4.86%

Benchmark Metrics

Geo 2 = Les volatile has an annualized alpha of 8.46%, beta of 0.66, and R2 of 0.46 versus S&P 500 Index. Calculated based on daily prices since January 02, 2015.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (84.46%) than losses (58.11%) - typical of diversified or defensive assets.
Beta of 0.66 may look defensive, but with R2 of 0.46 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 0.46 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: 8.46%

Beta: 0.66

R²: 0.46

Upside Capture: 84.46%

Downside Capture: 58.11%

See how alpha, beta & R² have trended over time →

Expense Ratio

Geo 2 = Les volatile has a high expense ratio of 1.10%, indicating above-average management fees. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

HJPSX

Hennessy Japan Small Cap Fund

EICOX

Eaton Vance Emerging and Frontier Countries Equity Fund

ARTHX

Artisan Global Equity Fund

DEMIX

Delaware Emerging Markets Fund

BIAHX

Brown Advisory - WMC Strategic European Equity Fund

Return for Risk

Risk / Return Rank

Geo 2 = Les volatile ranks 81 for risk / return — in the top 81% 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.

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 Geo 2 = Les volatile and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.80	1.86	+0.94
Sortino ratioReturn per unit of downside risk	3.32	2.53	+0.79
Omega ratioGain probability vs. loss probability	1.51	1.34	+0.18
Calmar ratioReturn relative to maximum drawdown	3.75	2.53	+1.22
Martin ratioReturn relative to average drawdown	13.93	11.37	+2.56

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
ARTHX Artisan Global Equity Fund	62	1.78	2.55	1.32	2.72	9.93
AU AngloGold Ashanti Limited	79	1.50	1.95	1.26	2.35	6.18
BIAHX Brown Advisory - WMC Strategic European Equity Fund	12	0.73	1.13	1.14	0.78	2.32
DEMIX Delaware Emerging Markets Fund	97	4.88	4.27	1.70	10.21	37.29
EICOX Eaton Vance Emerging and Frontier Countries Equity Fund	83	2.45	3.15	1.49	3.26	12.15
HJPSX Hennessy Japan Small Cap Fund	44	1.71	2.36	1.30	2.02	6.15

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.

The current Geo 2 = Les volatile Sharpe ratio is 2.80 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.53 to 2.41, 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 Geo 2 = Les volatile 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

Geo 2 = Les volatile provided a 9.70% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	9.70%	11.64%	4.32%	1.49%	2.33%	6.15%	3.35%	3.83%	6.30%	1.05%	0.79%	1.36%
Portfolio components:
ARTHX Artisan Global Equity Fund	21.31%	23.39%	11.32%	0.89%	0.88%	18.02%	11.98%	8.76%	18.13%	0.66%	0.00%	2.17%
AU AngloGold Ashanti Limited	5.33%	2.96%	1.78%	1.14%	2.26%	2.58%	0.49%	0.30%	0.48%	0.93%	0.00%	0.00%
BIAHX Brown Advisory - WMC Strategic European Equity Fund	7.51%	7.60%	5.16%	1.13%	2.66%	9.72%	6.39%	9.78%	12.12%	0.83%	1.19%	0.00%
DEMIX Delaware Emerging Markets Fund	9.31%	18.97%	1.99%	2.95%	1.89%	3.42%	0.87%	0.80%	0.65%	1.80%	0.94%	0.30%
EICOX Eaton Vance Emerging and Frontier Countries Equity Fund	2.99%	3.68%	2.02%	1.95%	5.72%	2.71%	0.10%	2.00%	2.95%	0.00%	0.59%	2.35%
HJPSX Hennessy Japan Small Cap Fund	11.74%	13.25%	3.64%	0.85%	0.61%	0.43%	0.23%	1.30%	3.46%	2.09%	2.03%	3.34%

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 Geo 2 = Les volatile. 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 Geo 2 = Les volatile was 32.04%, occurring on Mar 23, 2020. Recovery took 72 trading sessions.

The current Geo 2 = Les volatile drawdown is 3.05%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-32.04%Mar 2020	2mo 20d	3mo 15d	6mo 5dJan 2020 - Jul 2020
Bear market2022	-30.79%Oct 2022	1y 4mo	1y 4mo	2y 9moJun 2021 - Mar 2024
2016 bear market2016	-21.17%Jan 2016	8mo 5d	2mo 28d	11mo 3dMay 2015 - Apr 2016
Rate-hike selloffLate 2018	-17.89%Oct 2018	9mo 3d	7mo 24d	1y 4moJan 2018 - Jun 2019
2026 correction2026	-16.83%Mar 2026	18d	1mo 17d	2mo 5dMar 2026 - May 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 6 assets, with an effective number of assets of 6.00, 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	1.29	1.34	1.34	1.37	1.39

The portfolio has a diversification ratio of 1.39, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Geo 2 = Les volatile correlation to the S&P 500 Index

Geo 2 = Les volatile has a 0.62 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	0.62
Correlation (3Y) Calculated over the trailing 3-year period	0.57
Correlation (5Y) Calculated over the trailing 5-year period	0.61
Correlation (10Y) Calculated over the trailing 10-year period	0.60
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015	0.60

Benchmark Correlations

Correlation vs. S&P 500 Index. ARTHX has the highest benchmark correlation at 0.81, while AU has the lowest at 0.11.

0.11

0.53

0.62

0.66

0.67

0.81

Portfolio Correlations

Correlation vs. Geo 2 = Les volatile. ARTHX has the highest portfolio correlation at 0.71, while HJPSX has the lowest at 0.58.

HJPSX

0.58

0.69

0.69

0.70

0.71

0.71

Asset Correlations Table

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

	AU	HJPSX	DEMIX	BIAHX	EICOX	ARTHX
AU	1.00	0.16	0.18	0.21	0.18	0.17
HJPSX	0.16	1.00	0.46	0.52	0.49	0.56
DEMIX	0.18	0.46	1.00	0.58	0.81	0.67
BIAHX	0.21	0.52	0.58	1.00	0.64	0.76
EICOX	0.18	0.49	0.81	0.64	1.00	0.71
ARTHX	0.17	0.56	0.67	0.76	0.71	1.00

The correlation results are calculated based on daily price changes starting from Jan 2, 2015

Diversification Analysis

Find what Geo 2 = Les volatile is missing

See which holdings overlap, where Geo 2 = Les volatile is concentrated, and which low-correlation assets could fill the gaps.

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