US Mid-Cap Quality Defensive Growth

Asset Allocation

Position	Category/Sector	Target Weight
ATEYY Advantest Corp DRC	Technology	25%
CAT Caterpillar Inc.	Industrials	15%
COKE Coca-Cola Consolidated, Inc.	Consumer Defensive	10%
COST Costco Wholesale Corporation	Consumer Defensive	8%
EME EMCOR Group, Inc.	Industrials	10%
ESLT Elbit Systems Ltd	Industrials	15%
FIX Comfort Systems USA, Inc.	Industrials	10%
HURN Huron Consulting Group Inc.	Industrials	7%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in US Mid-Cap Quality Defensive Growth, 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 4, 2016, corresponding to the inception date of ATEYY

Returns By Period

As of Apr 3, 2026, the US Mid-Cap Quality Defensive Growth returned 23.50% Year-To-Date and 38.80% 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 US Mid-Cap Quality Defensive Growth	-2.10%	-3.71%	23.50%	41.03%	126.96%	72.11%	48.13%	38.80%
Portfolio components:
ATEYY Advantest Corp DRC	-5.81%	-16.68%	7.37%	30.67%	212.61%	83.54%	42.69%	51.60%
ESLT Elbit Systems Ltd	-0.84%	8.01%	53.88%	75.48%	130.30%	74.94%	45.30%	26.43%
COKE Coca-Cola Consolidated, Inc.	-3.14%	-4.91%	27.21%	63.79%	40.22%	55.04%	47.76%	28.99%
HURN Huron Consulting Group Inc.	1.65%	-12.20%	-24.61%	-11.68%	-11.79%	17.25%	20.28%	8.47%
FIX Comfort Systems USA, Inc.	-0.79%	1.92%	51.93%	70.33%	315.21%	113.82%	80.31%	47.35%
EME EMCOR Group, Inc.	-0.43%	2.72%	23.69%	14.65%	96.87%	66.73%	46.59%	32.35%
CAT Caterpillar Inc.	-1.79%	-0.69%	25.49%	46.96%	117.26%	48.52%	27.57%	28.19%
COST Costco Wholesale Corporation	1.85%	0.71%	17.86%	11.02%	5.74%	28.60%	24.74%	22.54%

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

Monthly Returns

Based on dividend-adjusted daily data since Jan 5, 2016, US Mid-Cap Quality Defensive Growth's average daily return is +0.14%, while the average monthly return is +2.93%. At this rate, your investment would double in approximately 2.0 years.

Historically, 70% of months were positive and 30% were negative. The best month was Oct 2025 with a return of +18.2%, while the worst month was Feb 2020 at -10.6%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 3 months.

On a daily basis, US Mid-Cap Quality Defensive Growth closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +9.1%, while the worst single day was Mar 12, 2020 at -10.0%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	17.79%	9.71%	-6.15%	1.83%									23.50%
2025	4.28%	-0.72%	-5.03%	1.62%	10.50%	17.19%	4.34%	3.55%	13.42%	18.23%	-2.02%	0.13%	83.88%
2024	5.37%	15.59%	0.94%	-9.62%	4.69%	4.17%	5.24%	7.17%	3.44%	6.47%	7.38%	-3.02%	56.74%
2023	5.16%	6.15%	4.61%	-1.23%	15.16%	6.86%	5.51%	-0.08%	-4.55%	-7.24%	13.72%	10.11%	65.90%
2022	-7.77%	-0.08%	4.63%	-6.24%	3.40%	-6.46%	9.04%	-4.60%	-10.16%	17.26%	8.85%	-4.57%	-0.46%
2021	1.32%	5.72%	8.38%	4.10%	2.75%	-2.58%	-0.50%	2.34%	-1.62%	4.07%	4.41%	8.73%	43.17%

Benchmark Metrics

US Mid-Cap Quality Defensive Growth has an annualized alpha of 25.83%, beta of 0.94, and R² of 0.56 versus S&P 500 Index. Calculated based on daily prices since January 05, 2016.

This portfolio captured 184.69% of S&P 500 Index gains but only 74.23% of its losses — a favorable profile for investors.
This portfolio generated an annualized alpha of 25.83% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
With beta of 0.94 and R² of 0.56, 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: 25.83%

Beta: 0.94

R²: 0.56

Upside Capture: 184.69%

Downside Capture: 74.23%

Expense Ratio

US Mid-Cap Quality Defensive Growth 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

US Mid-Cap Quality Defensive Growth ranks 99 for risk / return — in the top 99% 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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	4.28	0.88	+3.40
Sortino ratio Return per unit of downside risk	4.74	1.37	+3.37
Omega ratio Gain probability vs. loss probability	1.64	1.21	+0.43
Calmar ratio Return relative to maximum drawdown	9.86	1.39	+8.48
Martin ratio Return relative to average drawdown	41.42	6.43	+34.98
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
ATEYY Advantest Corp DRC	94	3.22	3.35	1.42	6.59	19.59
ESLT Elbit Systems Ltd	96	3.17	3.68	1.49	6.72	23.00
COKE Coca-Cola Consolidated, Inc.	71	1.24	1.68	1.23	1.64	3.05
HURN Huron Consulting Group Inc.	26	-0.32	-0.21	0.97	-0.31	-0.82
FIX Comfort Systems USA, Inc.	99	5.72	5.22	1.72	24.01	81.57
EME EMCOR Group, Inc.	90	2.42	2.74	1.41	4.05	10.46
CAT Caterpillar Inc.	96	3.39	4.01	1.54	6.61	23.24
COST Costco Wholesale Corporation	45	0.29	0.56	1.07	0.36	0.72

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.

US Mid-Cap Quality Defensive Growth Sharpe ratios as of Apr 3, 2026 (values are recalculated daily):

1-Year: 4.28
5-Year: 2.04
10-Year: 1.71
All Time: 1.71

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 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 US Mid-Cap Quality Defensive Growth 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

US Mid-Cap Quality Defensive Growth provided a 0.29% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	0.29%	0.40%	0.64%	0.75%	0.64%	0.61%	0.96%	0.77%	0.89%	1.33%	1.31%	1.43%
Portfolio components:
ATEYY Advantest Corp DRC	0.00%	0.11%	0.22%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	1.18%	1.24%	0.00%
ESLT Elbit Systems Ltd	0.30%	0.47%	0.77%	0.94%	1.22%	1.03%	1.28%	1.14%	1.54%	1.32%	1.57%	1.63%
COKE Coca-Cola Consolidated, Inc.	0.51%	0.65%	1.59%	0.54%	0.20%	0.16%	0.38%	0.35%	0.56%	0.46%	0.56%	0.55%
HURN Huron Consulting Group 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%
FIX Comfort Systems USA, Inc.	0.16%	0.21%	0.28%	0.41%	0.49%	0.49%	0.81%	0.79%	0.76%	0.68%	0.83%	0.88%
EME EMCOR Group, Inc.	0.15%	0.16%	0.20%	0.32%	0.36%	0.41%	0.35%	0.37%	0.54%	0.39%	0.45%	0.67%
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%
COST Costco Wholesale Corporation	0.51%	0.59%	0.49%	2.87%	0.76%	0.54%	3.38%	0.86%	1.08%	4.81%	1.09%	4.06%

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 US Mid-Cap Quality Defensive Growth. 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 US Mid-Cap Quality Defensive Growth was 35.45%, occurring on Mar 23, 2020. Recovery took 165 trading sessions.

The current US Mid-Cap Quality Defensive Growth drawdown is 7.20%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-35.45%	Dec 30, 2019	58	Mar 23, 2020	165	Nov 13, 2020	223
-21.21%	Jan 23, 2025	52	Apr 7, 2025	42	Jun 6, 2025	94
-19.51%	Jan 5, 2022	186	Sep 30, 2022	30	Nov 11, 2022	216
-15.93%	Sep 6, 2018	76	Dec 24, 2018	36	Feb 15, 2019	112
-13.44%	Aug 8, 2023	60	Oct 31, 2023	28	Dec 11, 2023	88

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 6.72, 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	ESLT	COKE	ATEYY	COST	HURN	CAT	FIX	EME	Portfolio
Benchmark	1.00	0.35	0.33	0.39	0.52	0.40	0.62	0.56	0.59	0.69
ESLT	0.35	1.00	0.14	0.16	0.19	0.19	0.23	0.26	0.23	0.44
COKE	0.33	0.14	1.00	0.11	0.28	0.27	0.20	0.27	0.27	0.39
ATEYY	0.39	0.16	0.11	1.00	0.19	0.13	0.28	0.27	0.28	0.74
COST	0.52	0.19	0.28	0.19	1.00	0.21	0.23	0.28	0.28	0.39
HURN	0.40	0.19	0.27	0.13	0.21	1.00	0.31	0.37	0.40	0.43
CAT	0.62	0.23	0.20	0.28	0.23	0.31	1.00	0.50	0.55	0.62
FIX	0.56	0.26	0.27	0.27	0.28	0.37	0.50	1.00	0.71	0.65
EME	0.59	0.23	0.27	0.28	0.28	0.40	0.55	0.71	1.00	0.66
Portfolio	0.69	0.44	0.39	0.74	0.39	0.43	0.62	0.65	0.66	1.00

The correlation results are calculated based on daily price changes starting from Jan 5, 2016

US Mid-Cap Quality Defensive Growth

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