SI-Sat-Stks

Asset Allocation

Position	Category/Sector	Target Weight
TMUS T-Mobile US, Inc.	Communication Services	7.27%
TT Trane Technologies plc	Industrials	7.26%
TXRH Texas Roadhouse, Inc.	Consumer Cyclical	7.09%
LII Lennox International Inc.	Industrials	7.08%
WSO Watsco, Inc.	Industrials	7.07%
BRO Brown & Brown, Inc.	Financial Services	7.06%
MSI Motorola Solutions, Inc.	Technology	7.05%
PH Parker-Hannifin Corporation	Industrials	7.04%
EVR Evercore Inc.	Financial Services	7.01%
NVR NVR, Inc.	Consumer Cyclical	6.97%
CTAS Cintas Corporation	Industrials	6.91%
COST Costco Wholesale Corporation	Consumer Defensive	6.45%
CACI CACI International Inc	Technology	5.56%
PGR The Progressive Corporation	Financial Services	5.19%
TDG TransDigm Group Incorporated	Industrials	4.99%

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 SI-Sat-Stks, 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 6, 2026, the SI-Sat-Stks returned -0.77% Year-To-Date and 21.37% 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 SI-Sat-Stks	-0.68%	-0.68%	-0.77%	-1.45%	-6.11%	20.46%	16.03%	21.37%
Portfolio components:
BRO Brown & Brown, Inc.	-1.46%	3.05%	-26.85%	-24.91%	-47.08%	-2.56%	3.04%	13.27%
CACI CACI International Inc	-2.31%	7.93%	-2.57%	-12.52%	16.54%	17.84%	14.78%	17.91%
COST Costco Wholesale Corporation	0.30%	-3.37%	13.35%	10.14%	-3.42%	25.18%	22.05%	22.25%
CTAS Cintas Corporation	-3.45%	4.28%	-7.21%	-4.62%	-23.00%	14.08%	15.90%	23.37%
EVR Evercore Inc.	0.21%	-0.05%	0.49%	3.66%	40.00%	43.37%	21.57%	23.72%
LII Lennox International Inc.	0.99%	-1.50%	6.05%	2.56%	-6.07%	20.35%	10.02%	15.40%
MSI Motorola Solutions, Inc.	-0.86%	5.94%	6.41%	10.18%	-1.60%	14.78%	15.60%	21.53%
NVR NVR, Inc.	0.14%	3.63%	-15.11%	-16.77%	-13.00%	2.09%	5.25%	13.65%
PGR The Progressive Corporation	-1.84%	3.23%	-6.42%	-4.51%	-23.65%	18.74%	18.76%	23.25%
PH Parker-Hannifin Corporation	0.09%	0.49%	0.89%	0.81%	32.71%	36.81%	25.26%	24.75%

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

Monthly Returns

Based on dividend-adjusted daily data since Apr 20, 2007, SI-Sat-Stks's average daily return is +0.08%, while the average monthly return is +1.64%. At this rate, an investment would double in approximately 3.6 years.

Historically, 68% of months were positive and 32% were negative. The best month was May 2013 with a return of +41.7%, while the worst month was Mar 2020 at -20.2%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 4 months.

On a daily basis, SI-Sat-Stks closed higher 56% of trading days. The best single day was May 1, 2013 with a return of +26.5%, while the worst single day was Mar 16, 2020 at -11.0%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.78%	4.68%	-9.81%	3.44%	-3.54%	0.52%							-0.77%
2025	2.97%	0.77%	-3.02%	0.91%	4.12%	1.88%	0.20%	-0.25%	-0.84%	-5.73%	2.23%	-2.31%	0.50%
2024	2.30%	8.28%	4.68%	-1.15%	6.19%	0.91%	6.83%	5.31%	3.26%	0.53%	8.31%	-10.32%	39.32%
2023	8.58%	0.54%	1.44%	3.03%	-3.34%	11.36%	2.32%	0.41%	-2.33%	-0.65%	10.84%	6.85%	45.01%
2022	-8.06%	0.59%	1.60%	-8.07%	0.67%	-5.36%	12.14%	-1.52%	-6.57%	10.90%	5.86%	-5.22%	-5.51%
2021	-2.87%	3.48%	7.06%	6.20%	1.94%	0.90%	1.20%	0.89%	-5.16%	5.62%	-0.50%	6.84%	27.80%

Benchmark Metrics

SI-Sat-Stks has an annualized alpha of 10.80%, beta of 0.95, and R2 of 0.74 versus S&P 500 Index. Calculated based on daily prices since April 20, 2007.

This portfolio captured 124.12% of S&P 500 Index gains but only 78.91% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 10.80% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
With beta of 0.95 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: 10.80%

Beta: 0.95

R²: 0.74

Upside Capture: 124.12%

Downside Capture: 78.91%

Expense Ratio

SI-Sat-Stks 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

SI-Sat-Stks ranks 2 for risk / return — in the bottom 2% 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 SI-Sat-Stks and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	-0.47	1.94	-2.41
Sortino ratioReturn per unit of downside risk	-0.60	2.63	-3.22
Omega ratioGain probability vs. loss probability	0.94	1.35	-0.42
Calmar ratioReturn relative to maximum drawdown	-0.49	2.59	-3.07
Martin ratioReturn relative to average drawdown	-0.90	11.84	-12.74
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
BRO Brown & Brown, Inc.	2	-1.66	-2.48	0.69	-0.93	-1.59
CACI CACI International Inc	56	0.52	0.98	1.12	0.61	1.50
COST Costco Wholesale Corporation	32	-0.18	-0.13	0.98	-0.22	-0.51
CTAS Cintas Corporation	6	-1.16	-1.58	0.82	-0.85	-1.49
EVR Evercore Inc.	70	1.14	1.59	1.21	1.34	3.40
LII Lennox International Inc.	34	-0.18	-0.01	1.00	-0.18	-0.29
MSI Motorola Solutions, Inc.	37	-0.07	0.07	1.01	-0.06	-0.12
NVR NVR, Inc.	24	-0.48	-0.54	0.94	-0.37	-0.84
PGR The Progressive Corporation	6	-1.04	-1.41	0.84	-0.94	-1.43
PH Parker-Hannifin Corporation	76	1.34	2.02	1.24	1.70	5.17

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.

SI-Sat-Stks Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: -0.47
5-Year: 0.93
10-Year: 1.14
All Time: 0.89

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 1.63 to 2.52, 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 SI-Sat-Stks 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

SI-Sat-Stks provided a 1.78% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.78%	1.45%	1.12%	1.25%	1.34%	1.18%	1.26%	1.97%	1.42%	1.78%	1.73%	1.57%
Portfolio components:
BRO Brown & Brown, Inc.	1.11%	0.77%	0.53%	0.67%	0.74%	0.54%	0.73%	0.82%	1.11%	1.08%	1.12%	1.41%
CACI CACI International 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%
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%
CTAS Cintas Corporation	1.04%	0.89%	0.80%	0.83%	0.93%	0.77%	0.99%	0.95%	1.22%	1.04%	1.15%	1.15%
EVR Evercore Inc.	1.00%	0.98%	1.14%	1.75%	2.60%	1.95%	2.14%	3.00%	2.66%	1.58%	1.85%	2.13%
LII Lennox International Inc.	1.01%	1.04%	0.75%	0.97%	1.71%	1.09%	1.12%	1.21%	1.11%	0.94%	1.08%	1.10%
MSI Motorola Solutions, Inc.	1.13%	1.17%	0.87%	1.16%	1.26%	1.07%	1.55%	1.46%	1.85%	2.14%	2.05%	2.09%
NVR NVR, 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%
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%
PH Parker-Hannifin Corporation	0.84%	0.80%	1.00%	1.25%	1.73%	1.25%	1.29%	1.65%	1.97%	1.32%	1.80%	2.60%

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 SI-Sat-Stks. 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 SI-Sat-Stks was 52.89%, occurring on Nov 20, 2008. Recovery took 355 trading sessions.

The current SI-Sat-Stks drawdown is 10.08%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-52.89%Nov 2008	1y 5mo	1y 5mo	2y 10moJun 2007 - Apr 2010
COVID crash2020	-37.09%Mar 2020	1mo 2d	4mo 22d	5mo 24dFeb 2020 - Aug 2020
2011 bear market2011	-29.03%Oct 2011	4mo 4d	10mo 10d	1y 2moJun 2011 - Aug 2012
Bear market2022	-22.88%Jun 2022	5mo 18d	6mo 29d	1y 12dDec 2021 - Jan 2023
Rate-hike selloffLate 2018	-19.53%Dec 2018	3mo 8d	2mo 24d	6mo 2dSep 2018 - Mar 2019

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 15 assets, with an effective number of assets of 14.82, 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	2.09	1.74	1.56	1.51	1.61

The portfolio has a diversification ratio of 1.61, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

SI-Sat-Stks correlation to the S&P 500 Index

SI-Sat-Stks has a 0.51 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	0.51
Correlation (3Y) Calculated over the trailing 3-year period	0.67
Correlation (5Y) Calculated over the trailing 5-year period	0.77
Correlation (10Y) Calculated over the trailing 10-year period	0.79
Correlation (All Time) Calculated using the full available price history since Apr 20, 2007	0.83

Benchmark Correlations

Correlation vs. S&P 500 Index. PH has the highest benchmark correlation at 0.70, while TMUS has the lowest at 0.43.

0.43

0.48

0.48

0.52

0.52

0.55

0.57

0.57

0.59

0.59

0.59

0.59

0.67

CTAS

0.69

0.70

Portfolio Correlations

Correlation vs. SI-Sat-Stks. PH has the highest portfolio correlation at 0.75, while TMUS has the lowest at 0.52.

0.52

0.54

0.57

0.59

0.59

0.59

0.63

0.63

0.65

0.66

0.70

0.72

0.73

0.74

0.75

Asset Correlations Table

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

	TMUS	TXRH	COST	NVR	PGR	CACI	EVR	TDG	MSI	BRO	WSO	LII	TT	PH	CTAS
TMUS	1.00	0.26	0.29	0.26	0.30	0.29	0.28	0.30	0.34	0.34	0.28	0.30	0.33	0.32	0.37
TXRH	0.26	1.00	0.33	0.33	0.29	0.33	0.38	0.36	0.33	0.36	0.38	0.38	0.37	0.39	0.40
COST	0.29	0.33	1.00	0.32	0.37	0.34	0.27	0.32	0.38	0.39	0.36	0.36	0.38	0.35	0.46
NVR	0.26	0.33	0.32	1.00	0.30	0.31	0.35	0.35	0.34	0.37	0.43	0.47	0.39	0.40	0.42
PGR	0.30	0.29	0.37	0.30	1.00	0.36	0.34	0.34	0.40	0.51	0.36	0.35	0.40	0.41	0.45
CACI	0.29	0.33	0.34	0.31	0.36	1.00	0.38	0.39	0.39	0.42	0.40	0.38	0.40	0.42	0.48
EVR	0.28	0.38	0.27	0.35	0.34	0.38	1.00	0.40	0.37	0.40	0.43	0.43	0.46	0.51	0.43
TDG	0.30	0.36	0.32	0.35	0.34	0.39	0.40	1.00	0.40	0.41	0.40	0.43	0.48	0.51	0.49
MSI	0.34	0.33	0.38	0.34	0.40	0.39	0.37	0.40	1.00	0.43	0.39	0.40	0.46	0.46	0.52
BRO	0.34	0.36	0.39	0.37	0.51	0.42	0.40	0.41	0.43	1.00	0.44	0.42	0.44	0.44	0.53
WSO	0.28	0.38	0.36	0.43	0.36	0.40	0.43	0.40	0.39	0.44	1.00	0.60	0.55	0.53	0.50
LII	0.30	0.38	0.36	0.47	0.35	0.38	0.43	0.43	0.40	0.42	0.60	1.00	0.61	0.55	0.51
TT	0.33	0.37	0.38	0.39	0.40	0.40	0.46	0.48	0.46	0.44	0.55	0.61	1.00	0.67	0.54
PH	0.32	0.39	0.35	0.40	0.41	0.42	0.51	0.51	0.46	0.44	0.53	0.55	0.67	1.00	0.55
CTAS	0.37	0.40	0.46	0.42	0.45	0.48	0.43	0.49	0.52	0.53	0.50	0.51	0.54	0.55	1.00

The correlation results are calculated based on daily price changes starting from Apr 20, 2007

Diversification Analysis

Find what SI-Sat-Stks is missing

See which holdings overlap, where SI-Sat-Stks is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification