Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AFVLX Applied Finance Select Fund | Large Cap Value Equities | 25% |
OAKMX Oakmark Fund Investor Class | Large Cap Value Equities | 25% |
PARWX Parnassus Endeavor Fund | Large Cap Value Equities | 25% |
QRVLX FPA Queens Road Value Fund | Large Cap Value Equities | 25% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Large cap value/blend comparison, 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 Sep 3, 2019, corresponding to the inception date of AFVLX
Returns By Period
| 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 Large cap value/blend comparison | 0.42% | -3.29% | -1.85% | -0.39% | 11.30% | 13.37% | 8.62% | — |
| Portfolio components: | ||||||||
AFVLX Applied Finance Select Fund | 0.39% | -3.61% | -1.76% | -1.47% | 11.45% | 11.02% | 7.48% | — |
OAKMX Oakmark Fund Investor Class | -0.35% | -3.34% | -2.81% | 2.17% | 8.85% | 15.94% | 10.90% | 13.47% |
PARWX Parnassus Endeavor Fund | 0.93% | -3.63% | -0.65% | 3.62% | 19.92% | 14.09% | 7.43% | 13.66% |
QRVLX FPA Queens Road Value Fund | 0.71% | -2.58% | -2.18% | -5.80% | 5.22% | 12.28% | 8.45% | 10.63% |
Monthly Returns
Based on dividend-adjusted daily data since Sep 4, 2019, Large cap value/blend comparison'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, 63% of months were positive and 38% were negative. The best month was Nov 2020 with a return of +15.5%, while the worst month was Mar 2020 at -17.0%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Large cap value/blend comparison closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +11.0%, while the worst single day was Mar 16, 2020 at -12.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.97% | 0.72% | -4.84% | 0.42% | -1.85% | ||||||||
| 2025 | 4.12% | -0.81% | -4.21% | -2.93% | 4.33% | 5.26% | 0.61% | 2.20% | 2.15% | -0.25% | 1.35% | 0.99% | 13.09% |
| 2024 | 1.22% | 3.86% | 5.19% | -4.32% | 1.70% | -0.37% | 4.34% | 1.22% | 1.61% | -1.68% | 6.16% | -5.50% | 13.47% |
| 2023 | 7.28% | -2.45% | -0.95% | 0.80% | -2.30% | 7.25% | 3.92% | -1.72% | -4.64% | -2.81% | 9.33% | 5.85% | 19.93% |
| 2022 | -2.69% | -2.53% | 1.27% | -6.89% | 1.72% | -9.25% | 7.07% | -2.79% | -8.46% | 11.22% | 6.04% | -4.80% | -11.67% |
| 2021 | -0.48% | 7.49% | 6.16% | 4.52% | 2.06% | 0.19% | 1.15% | 2.38% | -3.73% | 4.75% | -3.24% | 6.29% | 30.37% |
Benchmark Metrics
Large cap value/blend comparison has an annualized alpha of 0.88%, beta of 0.96, and R² of 0.88 versus S&P 500 Index. Calculated based on daily prices since September 04, 2019.
- With beta of 0.96 and R² of 0.88, 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
- 0.88%
- Beta
- 0.96
- R²
- 0.88
- Upside Capture
- 98.69%
- Downside Capture
- 97.71%
Expense Ratio
Large cap value/blend comparison has a high expense ratio of 0.98%, 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.
Return for Risk
Risk / Return Rank
Large cap value/blend comparison 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.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.72 | 0.88 | -0.16 |
Sortino ratioReturn per unit of downside risk | 1.11 | 1.37 | -0.26 |
Omega ratioGain probability vs. loss probability | 1.16 | 1.21 | -0.05 |
Calmar ratioReturn relative to maximum drawdown | 1.02 | 1.39 | -0.37 |
Martin ratioReturn relative to average drawdown | 4.19 | 6.43 | -2.25 |
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 | |
|---|---|---|---|---|---|---|
AFVLX Applied Finance Select Fund | 25 | 0.70 | 1.11 | 1.15 | 1.06 | 4.42 |
OAKMX Oakmark Fund Investor Class | 16 | 0.52 | 0.85 | 1.12 | 0.72 | 2.84 |
PARWX Parnassus Endeavor Fund | 60 | 1.20 | 1.74 | 1.26 | 1.76 | 7.70 |
QRVLX FPA Queens Road Value Fund | 11 | 0.37 | 0.64 | 1.09 | 0.64 | 1.86 |
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Dividends
Dividend yield
Large cap value/blend comparison provided a 4.96% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.96% | 4.90% | 4.20% | 1.73% | 1.92% | 9.37% | 2.11% | 3.30% | 6.82% | 3.59% | 2.83% | 3.70% |
| Portfolio components: | ||||||||||||
AFVLX Applied Finance Select Fund | 3.80% | 3.74% | 3.80% | 1.18% | 1.02% | 2.11% | 1.09% | 0.68% | 0.00% | 0.00% | 0.00% | 0.00% |
OAKMX Oakmark Fund Investor Class | 0.94% | 0.92% | 1.12% | 1.02% | 0.92% | 1.94% | 0.17% | 8.33% | 8.13% | 4.06% | 2.58% | 1.43% |
PARWX Parnassus Endeavor Fund | 12.22% | 12.14% | 8.25% | 1.76% | 2.97% | 16.75% | 0.70% | 0.79% | 12.34% | 6.32% | 3.27% | 10.26% |
QRVLX FPA Queens Road Value Fund | 2.88% | 2.81% | 3.64% | 2.95% | 2.77% | 16.71% | 6.49% | 3.40% | 6.82% | 3.99% | 5.48% | 3.12% |
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 Large cap value/blend comparison. 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 Large cap value/blend comparison was 37.43%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.
The current Large cap value/blend comparison drawdown is 5.73%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -37.43% | Feb 13, 2020 | 27 | Mar 23, 2020 | 161 | Nov 9, 2020 | 188 |
| -22.79% | Nov 19, 2021 | 217 | Sep 30, 2022 | 300 | Dec 11, 2023 | 517 |
| -17.05% | Dec 2, 2024 | 87 | Apr 8, 2025 | 57 | Jul 1, 2025 | 144 |
| -8.15% | Feb 10, 2026 | 34 | Mar 30, 2026 | — | — | — |
| -6.56% | Sep 16, 2019 | 17 | Oct 8, 2019 | 14 | Oct 28, 2019 | 31 |
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 4 assets, with an effective number of assets of 4.00, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | OAKMX | QRVLX | PARWX | AFVLX | Portfolio | |
|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.82 | 0.85 | 0.88 | 0.90 | 0.90 |
| OAKMX | 0.82 | 1.00 | 0.86 | 0.89 | 0.90 | 0.95 |
| QRVLX | 0.85 | 0.86 | 1.00 | 0.87 | 0.90 | 0.94 |
| PARWX | 0.88 | 0.89 | 0.87 | 1.00 | 0.91 | 0.96 |
| AFVLX | 0.90 | 0.90 | 0.90 | 0.91 | 1.00 | 0.96 |
| Portfolio | 0.90 | 0.95 | 0.94 | 0.96 | 0.96 | 1.00 |