Core and Satellite

Asset Allocation

Position	Category/Sector	Target Weight
NVDA NVIDIA Corporation	Technology	18%
LLY Eli Lilly and Company	Healthcare	15%
MSFT Microsoft Corporation	Technology	12%
AVGO Broadcom Inc.	Technology	10%
ISRG Intuitive Surgical, Inc.	Healthcare	8%
VRTX Vertex Pharmaceuticals Incorporated	Healthcare	7%
UNH UnitedHealth Group Incorporated	Healthcare	5%
ANET Arista Networks, Inc.	Technology	5%
COST Costco Wholesale Corporation	Consumer Defensive	5%
AMZN Amazon.com, Inc	Consumer Cyclical	5%
RMD ResMed Inc.	Healthcare	3%
V Visa Inc.	Financial Services	2.50%
MA Mastercard Incorporated	Financial Services	2.50%
PGR The Progressive Corporation	Financial Services	2%

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 Core and Satellite, 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 year.

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Returns By Period

As of Jun 6, 2026, the Core and Satellite returned 2.67% Year-To-Date and 39.00% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio Core and Satellite	0.76%	1.02%	2.67%	2.36%	20.05%	36.99%	35.56%	39.00%
Portfolio components:
AMZN Amazon.com, Inc	-0.33%	-10.07%	6.24%	8.08%	14.82%	25.71%	8.37%	21.19%
ANET Arista Networks, Inc.	1.38%	10.32%	19.36%	21.14%	60.82%	56.72%	47.39%	42.38%
AVGO Broadcom Inc.	2.82%	-7.77%	14.83%	-0.72%	61.91%	72.46%	56.70%	41.32%
COST Costco Wholesale Corporation	0.30%	-3.37%	13.35%	10.14%	-3.42%	25.18%	22.05%	22.25%
ISRG Intuitive Surgical, Inc.	-0.82%	-6.99%	-26.09%	-26.16%	-24.86%	10.20%	8.37%	19.37%
LLY Eli Lilly and Company	1.57%	21.37%	7.29%	15.58%	50.32%	38.07%	39.75%	33.71%
MA Mastercard Incorporated	-1.10%	-1.98%	-14.65%	-9.84%	-17.21%	10.21%	6.59%	18.40%
MSFT Microsoft Corporation	-1.18%	-0.60%	-14.48%	-15.77%	-11.77%	8.85%	11.09%	24.64%
NVDA NVIDIA Corporation	1.73%	-2.94%	12.01%	12.58%	47.43%	75.35%	64.54%	68.47%
PGR The Progressive Corporation	-1.84%	3.23%	-6.42%	-4.51%	-23.65%	18.74%	18.76%	23.25%

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

Monthly Returns

Based on dividend-adjusted daily data since Jun 9, 2014, Core and Satellite's average daily return is +0.14%, while the average monthly return is +2.83%. At this rate, an investment would double in approximately 2.1 years.

Historically, 70% of months were positive and 30% were negative. The best month was May 2023 with a return of +14.3%, while the worst month was Apr 2022 at -11.6%. The longest winning streak lasted 13 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Core and Satellite closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +10.1%, while the worst single day was Mar 16, 2020 at -12.8%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	-2.23%	-2.52%	-6.21%	12.54%	4.28%	-2.14%							2.67%
2025	1.94%	0.40%	-8.52%	3.47%	4.16%	6.94%	2.98%	-0.96%	3.50%	6.95%	0.82%	-1.19%	21.36%
2024	10.22%	11.09%	5.28%	-3.67%	11.31%	9.95%	-3.07%	5.47%	0.32%	1.23%	3.17%	1.30%	64.88%
2023	8.77%	1.27%	12.06%	4.28%	14.34%	8.07%	3.19%	4.86%	-6.86%	-0.37%	10.62%	5.94%	87.17%
2022	-9.70%	-0.36%	8.78%	-11.56%	0.06%	-5.22%	9.32%	-6.78%	-5.33%	8.90%	7.68%	-5.82%	-12.53%
2021	2.07%	0.08%	-0.40%	5.76%	3.13%	10.07%	2.95%	5.89%	-6.69%	13.10%	7.28%	4.19%	57.06%

Benchmark Metrics

Core and Satellite has an annualized alpha of 22.58%, beta of 1.14, and R2 of 0.74 versus S&P 500 Index. Calculated based on daily prices since June 09, 2014.

This portfolio captured 178.80% of S&P 500 Index gains but only 66.38% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 22.58% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
With beta of 1.14 and R2 of 0.74, 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: 22.58%

Beta: 1.14

R²: 0.74

Upside Capture: 178.80%

Downside Capture: 66.38%

Expense Ratio

Core and Satellite 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

Core and Satellite 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

The table below presents risk-adjusted performance metrics for Core and Satellite and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.21	1.94	-0.73
Sortino ratioReturn per unit of downside risk	1.72	2.63	-0.90
Omega ratioGain probability vs. loss probability	1.22	1.35	-0.13
Calmar ratioReturn relative to maximum drawdown	1.32	2.59	-1.27
Martin ratioReturn relative to average drawdown	4.83	11.84	-7.02
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.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AMZN Amazon.com, Inc	56	0.49	0.89	1.11	0.68	1.64
ANET Arista Networks, Inc.	74	1.15	1.73	1.22	2.16	4.51
AVGO Broadcom Inc.	77	1.38	1.95	1.26	2.17	5.16
COST Costco Wholesale Corporation	32	-0.18	-0.13	0.98	-0.22	-0.51
ISRG Intuitive Surgical, Inc.	9	-0.81	-1.14	0.87	-0.78	-1.60
LLY Eli Lilly and Company	77	1.33	1.90	1.26	2.14	5.32
MA Mastercard Incorporated	9	-0.78	-0.97	0.88	-0.83	-1.68
MSFT Microsoft Corporation	24	-0.47	-0.49	0.94	-0.35	-0.73
NVDA NVIDIA Corporation	77	1.37	1.94	1.24	2.36	5.73
PGR The Progressive Corporation	6	-1.04	-1.41	0.84	-0.94	-1.43

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.

Core and Satellite Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 1.21
5-Year: 1.51
10-Year: 1.62
All Time: 1.62

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 1.64 to 2.53, 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 Core and Satellite 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

Core and Satellite provided a 0.62% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	0.62%	0.51%	0.46%	0.66%	0.77%	0.75%	1.04%	1.09%	1.12%	1.24%	1.20%	1.39%
Portfolio components:
AMZN Amazon.com, 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%
ANET Arista Networks, 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%
AVGO Broadcom Inc.	0.63%	0.70%	0.94%	1.71%	3.02%	2.24%	3.05%	3.54%	3.11%	1.87%	1.43%	1.13%
COST Costco Wholesale Corporation	0.55%	0.59%	0.49%	2.87%	0.76%	0.54%	3.38%	0.86%	1.08%	4.81%	1.09%	4.06%
ISRG Intuitive Surgical, 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%
LLY Eli Lilly and Company	0.56%	0.56%	0.67%	0.78%	1.07%	1.23%	1.75%	1.96%	1.94%	2.46%	2.77%	2.37%
MA Mastercard Incorporated	0.67%	0.53%	0.50%	0.53%	0.56%	0.49%	0.45%	0.44%	0.53%	0.58%	0.74%	0.66%
MSFT Microsoft Corporation	0.86%	0.70%	0.73%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%
NVDA NVIDIA Corporation	0.14%	0.02%	0.03%	0.03%	0.11%	0.05%	0.12%	0.27%	0.46%	0.29%	0.45%	1.20%
PGR The Progressive Corporation	6.94%	2.15%	0.48%	0.25%	0.31%	6.23%	2.68%	3.89%	1.86%	1.21%	2.50%	2.16%

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 Core and Satellite. 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 Core and Satellite was 27.37%, occurring on Mar 23, 2020. Recovery took 34 trading sessions.

The current Core and Satellite drawdown is 4.14%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-27.37%Mar 2020	1mo 2d	1mo 19d	2mo 21dFeb 2020 - May 2020
Bear market2022	-24.20%Jun 2022	5mo 20d	9mo 3d	1y 2moDec 2021 - Mar 2023
Rate-hike selloffLate 2018	-23.89%Dec 2018	2mo 23d	3mo 10d	6mo 3dOct 2018 - Apr 2019
2025 selloff2025	-19.74%Apr 2025	2mo 10d	2mo 23d	5mo 3dJan 2025 - Jun 2025
2016 correction2016	-18.18%Feb 2016	1mo 13d	3mo 5d	4mo 18dDec 2015 - May 2016

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 14 assets, with an effective number of assets of 9.69, reflecting the diversification based on asset allocation. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	2.09	1.69	1.55	1.48	1.50

The portfolio has a diversification ratio of 1.50, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Core and Satellite correlation to the S&P 500 Index

Core and Satellite has a 0.77 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	0.77
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (10Y) Calculated over the trailing 10-year period	0.81
Correlation (All Time) Calculated using the full available price history since Jun 9, 2014	0.81

Benchmark Correlations

Correlation vs. S&P 500 Index. MSFT has the highest benchmark correlation at 0.73, while LLY has the lowest at 0.39.

0.39

0.40

0.43

0.43

0.51

0.52

0.55

0.63

0.64

0.65

0.65

0.66

0.67

MSFT

0.73

Portfolio Correlations

Correlation vs. Core and Satellite. NVDA has the highest portfolio correlation at 0.83, while PGR has the lowest at 0.30.

0.30

0.37

0.47

0.49

0.49

0.49

0.56

0.57

0.64

0.64

0.66

0.72

0.74

0.83

Asset Correlations Table

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

	PGR	LLY	UNH	VRTX	COST	RMD	ANET	AVGO	AMZN	NVDA	V	ISRG	MA	MSFT
PGR	1.00	0.26	0.32	0.25	0.32	0.25	0.19	0.19	0.17	0.15	0.38	0.27	0.38	0.28
LLY	0.26	1.00	0.31	0.38	0.28	0.29	0.22	0.23	0.23	0.21	0.28	0.33	0.27	0.29
UNH	0.32	0.31	1.00	0.34	0.29	0.30	0.19	0.22	0.22	0.19	0.36	0.31	0.35	0.29
VRTX	0.25	0.38	0.34	1.00	0.25	0.34	0.27	0.28	0.30	0.27	0.36	0.36	0.34	0.34
COST	0.32	0.28	0.29	0.25	1.00	0.33	0.28	0.32	0.37	0.32	0.39	0.39	0.39	0.42
RMD	0.25	0.29	0.30	0.34	0.33	1.00	0.30	0.32	0.34	0.34	0.41	0.52	0.42	0.39
ANET	0.19	0.22	0.19	0.27	0.28	0.30	1.00	0.52	0.45	0.50	0.37	0.43	0.39	0.49
AVGO	0.19	0.23	0.22	0.28	0.32	0.32	0.52	1.00	0.47	0.61	0.40	0.46	0.41	0.53
AMZN	0.17	0.23	0.22	0.30	0.37	0.34	0.45	0.47	1.00	0.53	0.45	0.48	0.47	0.62
NVDA	0.15	0.21	0.19	0.27	0.32	0.34	0.50	0.61	0.53	1.00	0.39	0.47	0.41	0.58
V	0.38	0.28	0.36	0.36	0.39	0.41	0.37	0.40	0.45	0.39	1.00	0.50	0.85	0.54
ISRG	0.27	0.33	0.31	0.36	0.39	0.52	0.43	0.46	0.48	0.47	0.50	1.00	0.52	0.55
MA	0.38	0.27	0.35	0.34	0.39	0.42	0.39	0.41	0.47	0.41	0.85	0.52	1.00	0.56
MSFT	0.28	0.29	0.29	0.34	0.42	0.39	0.49	0.53	0.62	0.58	0.54	0.55	0.56	1.00

The correlation results are calculated based on daily price changes starting from Jun 9, 2014

Diversification Analysis

Find what Core and Satellite is missing

See which holdings overlap, where Core and Satellite is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification