Asset Allocation
Find the right asset allocation for Optimized Portfolio
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Optimized Portfolio, 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.
Loading charts...
Returns By Period
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -2.64% | -0.21% | 7.86% | 7.47% | 23.05% | 19.90% | 11.79% | 13.33% |
Portfolio Optimized Portfolio | -3.33% | -5.54% | 20.28% | 23.79% | 92.15% | 48.05% | 26.80% | — |
| Portfolio components: | ||||||||
AEM Agnico Eagle Mines Limited | -7.41% | -15.09% | -3.05% | -2.65% | 40.03% | 49.32% | 21.12% | 14.72% |
AMAT Applied Materials, Inc. | -9.71% | 4.16% | 76.71% | 69.45% | 173.68% | 51.34% | 27.57% | 35.52% |
APH Amphenol Corporation | -5.42% | 8.42% | 2.92% | -0.01% | 49.74% | 54.30% | 33.33% | 26.23% |
ASML ASML Holding N.V. | -6.59% | 3.12% | 53.99% | 49.85% | 119.73% | 33.16% | 20.37% | 33.39% |
ASX ASE Technology Holding Co., Ltd. | -11.38% | -0.58% | 111.37% | 123.73% | 263.55% | 66.56% | 39.54% | 25.08% |
AU AngloGold Ashanti Limited | -8.73% | -20.45% | 1.52% | 5.00% | 93.14% | 55.55% | 33.11% | 20.36% |
AXIA AXIA Energia SA | -1.80% | -18.27% | 6.99% | 7.24% | 79.69% | 22.11% | 9.79% | 20.56% |
B Barrick Mining Corporation | -7.78% | -8.12% | -8.24% | -2.63% | 103.64% | 35.13% | 13.66% | 9.67% |
BAP Credicorp Ltd. | -1.23% | -1.97% | 12.89% | 18.98% | 48.93% | 37.76% | 21.91% | 11.92% |
BCH Banco de Chile | -1.64% | 1.08% | 1.86% | 4.33% | 27.32% | 27.71% | 21.66% | 12.75% |
Monthly Returns
Based on dividend-adjusted daily data since Feb 14, 2020, Optimized Portfolio's average daily return is +0.10%, while the average monthly return is +1.98%. At this rate, an investment would double in approximately 2.9 years.
Historically, 64% of months were positive and 36% were negative. The best month was Jan 2026 with a return of +17.9%, while the worst month was Mar 2020 at -16.7%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Optimized Portfolio closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +8.2%, while the worst single day was Mar 12, 2020 at -11.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 17.93% | 5.28% | -8.84% | 10.04% | 2.61% | -5.89% | 20.28% | ||||||
| 2025 | 8.20% | 2.55% | 6.32% | 6.74% | 6.52% | 9.36% | 1.85% | 8.68% | 13.41% | 4.25% | 11.12% | 2.06% | 117.72% |
| 2024 | -3.07% | 6.11% | -0.94% | -3.12% | 2.22% | -1.31% | 7.25% | 7.52% | 0.01% | 2.04% | 1.28% | -7.38% | 9.92% |
| 2023 | 4.85% | -6.39% | 3.30% | 2.71% | -0.39% | 6.60% | 1.46% | -2.57% | -3.52% | -2.29% | 11.97% | 4.41% | 20.46% |
| 2022 | -1.49% | 5.69% | 5.79% | -4.81% | 0.70% | -2.53% | 3.25% | -5.40% | -8.62% | 4.52% | 4.73% | -0.90% | -0.37% |
| 2021 | -6.06% | 3.39% | 4.20% | 2.66% | 6.19% | -0.46% | -2.50% | 0.20% | -4.20% | 1.88% | -2.72% | 5.24% | 7.21% |
Benchmark Metrics
Optimized Portfolio has an annualized alpha of 14.05%, beta of 0.74, and R2 of 0.57 versus S&P 500 Index. Calculated based on daily prices since February 14, 2020.
- This portfolio captured 113.29% of S&P 500 Index gains but only 74.15% of its losses - a favorable profile for investors.
- This portfolio generated an annualized alpha of 14.05% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Alpha
- 14.05%
- Beta
- 0.74
- R²
- 0.57
- Upside Capture
- 113.29%
- Downside Capture
- 74.15%
Expense Ratio
Optimized Portfolio 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.
Return for Risk
Risk / Return Rank
Optimized Portfolio ranks 96 for risk / return — in the top 96% 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.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Optimized Portfolio and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 4.78 | 2.01 | +2.78 |
| Sortino ratioReturn per unit of downside risk | 5.42 | 2.71 | +2.71 |
| Omega ratioGain probability vs. loss probability | 1.77 | 1.36 | +0.40 |
| Calmar ratioReturn relative to maximum drawdown | 6.65 | 2.69 | +3.97 |
| Martin ratioReturn relative to average drawdown | 31.22 | 12.34 | +18.88 |
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 |
|---|---|---|---|---|---|---|
AEM Agnico Eagle Mines Limited | 64 | 0.81 | 1.24 | 1.17 | 1.02 | 2.74 |
AMAT Applied Materials, Inc. | 96 | 3.80 | 3.59 | 1.51 | 8.38 | 23.87 |
APH Amphenol Corporation | 74 | 1.26 | 1.70 | 1.24 | 1.82 | 4.73 |
ASML ASML Holding N.V. | 93 | 2.96 | 3.40 | 1.42 | 6.83 | 18.38 |
ASX ASE Technology Holding Co., Ltd. | 99 | 5.89 | 5.15 | 1.72 | 15.95 | 43.47 |
AU AngloGold Ashanti Limited | 79 | 1.54 | 2.00 | 1.26 | 2.43 | 6.71 |
AXIA AXIA Energia SA | 87 | 2.24 | 2.82 | 1.36 | 2.95 | 10.42 |
B Barrick Mining Corporation | 87 | 2.28 | 2.58 | 1.36 | 3.48 | 8.75 |
BAP Credicorp Ltd. | 82 | 1.64 | 2.16 | 1.31 | 2.74 | 6.99 |
BCH Banco de Chile | 66 | 0.92 | 1.37 | 1.17 | 1.37 | 3.05 |
Loading charts...
Dividends
Dividend yield
Optimized Portfolio provided a 2.34% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.34% | 2.51% | 2.35% | 1.81% | 2.11% | 2.48% | 2.33% | 1.84% | 1.69% | 1.41% | 2.02% | 2.36% |
| Portfolio components: | ||||||||||||
AEM Agnico Eagle Mines Limited | 1.04% | 0.94% | 2.05% | 2.92% | 3.08% | 2.63% | 2.36% | 0.89% | 1.09% | 0.89% | 0.86% | 1.22% |
AMAT Applied Materials, Inc. | 0.42% | 0.69% | 0.93% | 0.75% | 1.05% | 0.60% | 1.01% | 1.36% | 2.14% | 0.78% | 1.24% | 2.14% |
APH Amphenol Corporation | 0.60% | 0.55% | 0.79% | 1.07% | 1.06% | 0.89% | 0.80% | 0.89% | 1.09% | 0.80% | 0.86% | 1.01% |
ASML ASML Holding N.V. | 0.54% | 0.97% | 0.97% | 0.86% | 1.27% | 0.50% | 0.50% | 1.40% | 0.94% | 0.64% | 0.92% | 0.73% |
ASX ASE Technology Holding Co., Ltd. | 1.06% | 2.23% | 3.19% | 6.07% | 7.64% | 3.86% | 2.34% | 2.88% | 14.19% | 2.51% | 3.63% | 4.00% |
AU AngloGold Ashanti Limited | 5.47% | 2.96% | 1.78% | 1.14% | 2.26% | 2.58% | 0.49% | 0.30% | 0.48% | 0.93% | 0.00% | 0.00% |
AXIA AXIA Energia SA | 5.45% | 7.19% | 3.85% | 0.51% | 1.89% | 7.32% | 4.38% | 2.21% | 0.00% | 0.00% | 0.00% | 0.00% |
B Barrick Mining Corporation | 2.33% | 1.21% | 2.58% | 2.21% | 3.20% | 2.47% | 1.82% | 0.70% | 1.40% | 0.83% | 0.50% | 1.90% |
BAP Credicorp Ltd. | 0.45% | 3.78% | 6.65% | 4.52% | 2.84% | 0.99% | 5.37% | 3.95% | 0.20% | 4.16% | 1.47% | 2.25% |
BCH Banco de Chile | 6.00% | 5.54% | 7.46% | 9.01% | 6.39% | 3.76% | 3.95% | 5.04% | 3.55% | 2.20% | 3.32% | 4.35% |
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.
Loading charts...
Worst Drawdowns
The table below displays the maximum drawdowns of the Optimized Portfolio. 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 Optimized Portfolio was 35.55%, occurring on Mar 23, 2020. Recovery took 181 trading sessions.
The current Optimized Portfolio drawdown is 7.13%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -35.55%Mar 2020 | 1mo 2d | 8mo 20d | 9mo 22dFeb 2020 - Dec 2020 |
Bear market2022 | -19.95%Oct 2022 | 6mo 12d | 9mo 21d | 1y 3moApr 2022 - Aug 2023 |
2026 correction2026 | -13.91%Mar 2026 | 1mo 1d | 15d | 1mo 16dFeb 2026 - Apr 2026 |
2021 correction2021 | -11.42%Dec 2021 | 5mo 26d | 3mo 20d | 9mo 16dJun 2021 - Mar 2022 |
2024 pullback2024 | -9.38%Dec 2024 | 1mo 3d | 1mo 7d | 2mo 10dNov 2024 - Feb 2025 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading charts...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 61 assets, with an effective number of assets of 11.16, reflecting the diversification based on asset allocation. Your portfolio is dominated by one or two holdings, which significantly increases concentration risk. Consider rebalancing toward more even weights or adding additional positions.
Diversification Ratio
1Y | 3Y | 5Y | All Time | |
|---|---|---|---|---|
Diversification Ratio | 2.28 | 2.23 | 2.14 | 1.91 |
The portfolio has a diversification ratio of 1.91, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.
Optimized Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.54 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.51 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.59 |
Correlation (All Time) Calculated using the full available price history since Feb 14, 2020 | 0.64 |
Benchmark Correlations
Correlation vs. S&P 500 Index. APH has the highest benchmark correlation at 0.74, while GFI has the lowest at 0.18.
Portfolio Correlations
Correlation vs. Optimized Portfolio. AXIA has the highest portfolio correlation at 0.63, while FUTU has the lowest at 0.32.
Asset Correlations Table
Find what Optimized Portfolio is missing
See which holdings overlap, where Optimized Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification