Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
ADM Archer-Daniels-Midland Company | Consumer Defensive | 7.67% |
ARE Alexandria Real Estate Equities, Inc. | Real Estate | 6% |
CME CME Group Inc. | Financial Services | 10% |
CNI Canadian National Railway Company | Industrials | 6% |
ENB Enbridge Inc. | Energy | 6.50% |
GOOGL Alphabet Inc Class A | Communication Services | 5.50% |
HD The Home Depot, Inc. | Consumer Cyclical | 7.50% |
HLT Hilton Worldwide Holdings Inc. | Consumer Cyclical | 7.67% |
PG The Procter & Gamble Company | Consumer Defensive | 11% |
PSA Public Storage | Real Estate | 11% |
TAP Molson Coors Brewing Company | Consumer Defensive | 7% |
TRP TC Energy Corporation | Energy | 6.50% |
WM Waste Management, Inc. | Industrials | 7.67% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in New all stock drawdown estimate, 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 Dec 12, 2013, corresponding to the inception date of HLT
Returns By Period
As of Apr 3, 2026, the New all stock drawdown estimate returned 6.49% Year-To-Date and 15.77% 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 New all stock drawdown estimate | 0.78% | -4.79% | 6.49% | 4.60% | 9.29% | 10.77% | 9.45% | 15.77% |
| Portfolio components: | ||||||||
WM Waste Management, Inc. | 1.91% | -2.91% | 7.58% | 9.39% | 1.89% | 14.58% | 14.51% | 17.02% |
CME CME Group Inc. | 2.75% | -3.91% | 14.40% | 18.24% | 20.66% | 22.20% | 12.78% | 16.60% |
PSA Public Storage | 1.49% | -7.49% | 9.13% | -0.98% | -1.59% | 0.99% | 6.68% | 4.23% |
ARE Alexandria Real Estate Equities, Inc. | -0.14% | -15.91% | -10.27% | -46.76% | -50.07% | -25.89% | -20.58% | -3.79% |
ENB Enbridge Inc. | 0.93% | -0.33% | 14.73% | 11.97% | 26.98% | 19.09% | 15.26% | 10.18% |
TRP TC Energy Corporation | 1.83% | -1.22% | 16.34% | 19.23% | 36.09% | 28.31% | 15.40% | 12.62% |
CNI Canadian National Railway Company | 0.90% | -5.71% | 6.05% | 11.70% | 6.63% | -2.21% | -0.47% | 7.47% |
HD The Home Depot, Inc. | -2.41% | -11.76% | -5.91% | -17.50% | -11.09% | 5.23% | 3.38% | 11.72% |
TAP Molson Coors Brewing Company | 2.66% | -7.42% | -4.68% | -2.65% | -26.07% | -2.33% | -0.30% | -5.14% |
ADM Archer-Daniels-Midland Company | 2.02% | 8.59% | 29.39% | 26.90% | 59.34% | 0.44% | 8.05% | 10.67% |
Monthly Returns
Based on dividend-adjusted daily data since Dec 13, 2013, New all stock drawdown estimate's average daily return is +0.06%, while the average monthly return is +1.30%. At this rate, your investment would double in approximately 4.5 years.
Historically, 62% of months were positive and 38% were negative. The best month was Jan 2017 with a return of +44.3%, while the worst month was Mar 2020 at -12.5%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, New all stock drawdown estimate closed higher 55% of trading days. The best single day was Jan 4, 2017 with a return of +44.2%, while the worst single day was Mar 16, 2020 at -10.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.14% | 6.58% | -6.65% | 0.84% | 6.49% | ||||||||
| 2025 | 1.81% | 1.33% | -1.78% | -0.88% | 3.06% | -1.11% | -0.82% | 5.88% | -0.19% | -4.01% | 3.45% | -1.65% | 4.78% |
| 2024 | -1.41% | 3.18% | 4.22% | -6.03% | 2.55% | 0.58% | 1.14% | 5.62% | 2.97% | -2.22% | 5.87% | -5.58% | 10.47% |
| 2023 | 3.55% | -3.28% | 2.01% | 2.31% | -4.19% | 5.54% | 3.23% | -2.81% | -3.86% | -1.87% | 7.34% | 5.63% | 13.42% |
| 2022 | -1.62% | 0.52% | 5.09% | -3.18% | -3.26% | -6.54% | 6.60% | -2.92% | -8.37% | 6.20% | 5.15% | -5.22% | -8.70% |
| 2021 | -1.18% | 3.12% | 7.27% | 6.02% | 2.14% | -0.70% | 2.87% | 0.82% | -2.06% | 8.51% | -2.18% | 7.46% | 36.19% |
Benchmark Metrics
New all stock drawdown estimate has an annualized alpha of 7.22%, beta of 0.75, and R² of 0.43 versus S&P 500 Index. Calculated based on daily prices since December 13, 2013.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (90.28%) than losses (66.42%) — typical of diversified or defensive assets.
- R² of 0.43 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 7.22%
- Beta
- 0.75
- R²
- 0.43
- Upside Capture
- 90.28%
- Downside Capture
- 66.42%
Expense Ratio
New all stock drawdown estimate 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
New all stock drawdown estimate 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 | 0.71 | 0.88 | -0.17 |
Sortino ratioReturn per unit of downside risk | 1.09 | 1.37 | -0.27 |
Omega ratioGain probability vs. loss probability | 1.14 | 1.21 | -0.07 |
Calmar ratioReturn relative to maximum drawdown | 1.12 | 1.39 | -0.27 |
Martin ratioReturn relative to average drawdown | 3.47 | 6.43 | -2.97 |
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 | |
|---|---|---|---|---|---|---|
WM Waste Management, Inc. | 39 | 0.10 | 0.26 | 1.03 | 0.12 | 0.29 |
CME CME Group Inc. | 70 | 1.06 | 1.45 | 1.19 | 2.05 | 4.03 |
PSA Public Storage | 33 | -0.07 | 0.07 | 1.01 | -0.14 | -0.28 |
ARE Alexandria Real Estate Equities, Inc. | 3 | -1.19 | -1.67 | 0.77 | -0.99 | -1.65 |
ENB Enbridge Inc. | 82 | 1.59 | 2.14 | 1.28 | 3.05 | 7.57 |
TRP TC Energy Corporation | 87 | 1.87 | 2.59 | 1.33 | 4.01 | 10.51 |
CNI Canadian National Railway Company | 47 | 0.29 | 0.59 | 1.07 | 0.57 | 1.02 |
HD The Home Depot, Inc. | 21 | -0.48 | -0.56 | 0.94 | -0.42 | -0.94 |
TAP Molson Coors Brewing Company | 9 | -1.02 | -1.40 | 0.84 | -0.80 | -1.22 |
ADM Archer-Daniels-Midland Company | 90 | 2.10 | 2.77 | 1.36 | 4.54 | 12.66 |
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Dividends
Dividend yield
New all stock drawdown estimate provided a 3.33% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.33% | 3.30% | 3.25% | 3.20% | 3.55% | 2.31% | 2.69% | 2.69% | 3.01% | 5.17% | 2.83% | 3.01% |
| Portfolio components: | ||||||||||||
WM Waste Management, Inc. | 1.45% | 1.50% | 1.49% | 1.56% | 1.66% | 1.38% | 1.85% | 1.80% | 2.09% | 1.97% | 2.31% | 2.89% |
CME CME Group Inc. | 3.67% | 1.83% | 4.48% | 4.58% | 5.05% | 3.00% | 3.24% | 2.74% | 2.42% | 4.20% | 4.90% | 5.41% |
PSA Public Storage | 4.28% | 4.62% | 4.01% | 3.93% | 7.55% | 2.14% | 3.46% | 3.76% | 3.95% | 3.83% | 3.27% | 2.62% |
ARE Alexandria Real Estate Equities, Inc. | 9.44% | 9.56% | 5.32% | 3.91% | 3.24% | 2.01% | 2.38% | 2.48% | 3.24% | 2.64% | 2.91% | 3.38% |
ENB Enbridge Inc. | 5.07% | 5.66% | 6.28% | 7.31% | 6.80% | 6.85% | 7.55% | 5.58% | 6.68% | 4.71% | 4.13% | 4.71% |
TRP TC Energy Corporation | 3.92% | 4.45% | 5.93% | 7.73% | 8.52% | 5.94% | 5.92% | 4.25% | 5.85% | 5.14% | 5.01% | 6.38% |
CNI Canadian National Railway Company | 2.50% | 2.58% | 2.43% | 1.85% | 1.41% | 1.61% | 1.59% | 1.79% | 2.01% | 2.00% | 2.23% | 2.24% |
HD The Home Depot, Inc. | 2.87% | 2.67% | 2.31% | 2.41% | 2.41% | 1.59% | 2.26% | 2.49% | 2.40% | 1.88% | 2.06% | 1.78% |
TAP Molson Coors Brewing Company | 4.29% | 4.03% | 3.07% | 2.68% | 2.95% | 1.47% | 1.26% | 3.64% | 2.92% | 2.00% | 1.69% | 1.75% |
ADM Archer-Daniels-Midland Company | 2.78% | 3.55% | 3.96% | 2.49% | 1.72% | 2.19% | 2.86% | 3.02% | 3.27% | 3.19% | 2.63% | 3.05% |
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 New all stock drawdown estimate. 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 New all stock drawdown estimate was 33.47%, occurring on Mar 23, 2020. Recovery took 172 trading sessions.
The current New all stock drawdown estimate drawdown is 5.86%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -33.47% | Feb 18, 2020 | 25 | Mar 23, 2020 | 172 | Nov 24, 2020 | 197 |
| -20.54% | Apr 21, 2022 | 123 | Oct 14, 2022 | 352 | Mar 12, 2024 | 475 |
| -12.13% | Dec 2, 2024 | 87 | Apr 8, 2025 | 91 | Aug 19, 2025 | 178 |
| -11.93% | Nov 3, 2015 | 53 | Jan 20, 2016 | 36 | Mar 11, 2016 | 89 |
| -11.55% | Mar 23, 2015 | 109 | Aug 25, 2015 | 42 | Oct 23, 2015 | 151 |
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 13 assets, with an effective number of assets of 12.34, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.
Asset Correlations Table
| Benchmark | CME | GOOGL | TAP | PSA | PG | HLT | TRP | ADM | ENB | ARE | WM | HD | CNI | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.36 | 0.69 | 0.38 | 0.34 | 0.37 | 0.57 | 0.40 | 0.44 | 0.44 | 0.46 | 0.45 | 0.60 | 0.57 | 0.76 |
| CME | 0.36 | 1.00 | 0.20 | 0.17 | 0.22 | 0.31 | 0.23 | 0.19 | 0.22 | 0.20 | 0.20 | 0.37 | 0.25 | 0.25 | 0.49 |
| GOOGL | 0.69 | 0.20 | 1.00 | 0.20 | 0.20 | 0.22 | 0.37 | 0.24 | 0.22 | 0.25 | 0.29 | 0.24 | 0.37 | 0.36 | 0.48 |
| TAP | 0.38 | 0.17 | 0.20 | 1.00 | 0.26 | 0.35 | 0.28 | 0.27 | 0.37 | 0.30 | 0.33 | 0.29 | 0.32 | 0.29 | 0.55 |
| PSA | 0.34 | 0.22 | 0.20 | 0.26 | 1.00 | 0.36 | 0.18 | 0.21 | 0.24 | 0.22 | 0.56 | 0.40 | 0.37 | 0.27 | 0.59 |
| PG | 0.37 | 0.31 | 0.22 | 0.35 | 0.36 | 1.00 | 0.20 | 0.22 | 0.31 | 0.24 | 0.33 | 0.45 | 0.36 | 0.30 | 0.58 |
| HLT | 0.57 | 0.23 | 0.37 | 0.28 | 0.18 | 0.20 | 1.00 | 0.27 | 0.32 | 0.31 | 0.29 | 0.28 | 0.40 | 0.38 | 0.57 |
| TRP | 0.40 | 0.19 | 0.24 | 0.27 | 0.21 | 0.22 | 0.27 | 1.00 | 0.32 | 0.73 | 0.27 | 0.29 | 0.26 | 0.43 | 0.55 |
| ADM | 0.44 | 0.22 | 0.22 | 0.37 | 0.24 | 0.31 | 0.32 | 0.32 | 1.00 | 0.36 | 0.30 | 0.31 | 0.33 | 0.39 | 0.58 |
| ENB | 0.44 | 0.20 | 0.25 | 0.30 | 0.22 | 0.24 | 0.31 | 0.73 | 0.36 | 1.00 | 0.30 | 0.30 | 0.28 | 0.45 | 0.59 |
| ARE | 0.46 | 0.20 | 0.29 | 0.33 | 0.56 | 0.33 | 0.29 | 0.27 | 0.30 | 0.30 | 1.00 | 0.35 | 0.42 | 0.33 | 0.61 |
| WM | 0.45 | 0.37 | 0.24 | 0.29 | 0.40 | 0.45 | 0.28 | 0.29 | 0.31 | 0.30 | 0.35 | 1.00 | 0.40 | 0.38 | 0.61 |
| HD | 0.60 | 0.25 | 0.37 | 0.32 | 0.37 | 0.36 | 0.40 | 0.26 | 0.33 | 0.28 | 0.42 | 0.40 | 1.00 | 0.42 | 0.64 |
| CNI | 0.57 | 0.25 | 0.36 | 0.29 | 0.27 | 0.30 | 0.38 | 0.43 | 0.39 | 0.45 | 0.33 | 0.38 | 0.42 | 1.00 | 0.63 |
| Portfolio | 0.76 | 0.49 | 0.48 | 0.55 | 0.59 | 0.58 | 0.57 | 0.55 | 0.58 | 0.59 | 0.61 | 0.61 | 0.64 | 0.63 | 1.00 |