Risk Adjusted Returns maximization 9/10
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
ACGL Arch Capital Group Ltd. | Financial Services | 14.29% |
FICO Fair Isaac Corporation | Technology | 14.29% |
IRM Iron Mountain Incorporated | Real Estate | 14.29% |
LLY Eli Lilly and Company | Healthcare | 14.29% |
NRG NRG Energy, Inc. | Utilities | 14.29% |
PGR The Progressive Corporation | Financial Services | 14.29% |
VST Vistra Corp. | Utilities | 14.29% |
Performance
Performance Chart
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The earliest data available for this chart is Oct 5, 2016, corresponding to the inception date of VST
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.92% | 4.38% | -1.84% | 12.48% | 13.71% | 10.99% |
| Risk Adjusted Returns maximization 9/10 | 15.65% | 6.92% | 4.35% | 37.85% | 39.91% | N/A |
| Portfolio components: | ||||||
VST Vistra Corp. | 21.68% | 20.24% | 9.03% | 70.44% | 55.55% | N/A |
PGR The Progressive Corporation | 22.95% | 2.10% | 11.57% | 39.62% | 32.19% | 29.72% |
IRM Iron Mountain Incorporated | -4.50% | 3.87% | -16.91% | 26.91% | 35.30% | 18.62% |
LLY Eli Lilly and Company | -2.86% | -9.10% | -6.23% | -8.30% | 39.02% | 27.61% |
FICO Fair Isaac Corporation | -12.19% | -14.64% | -25.04% | 35.53% | 32.76% | 34.89% |
NRG NRG Energy, Inc. | 77.14% | 35.88% | 60.78% | 99.28% | 38.58% | 23.38% |
ACGL Arch Capital Group Ltd. | 4.24% | 4.10% | -3.05% | -1.35% | 25.63% | 16.81% |
Monthly Returns
The table below presents the monthly returns of Risk Adjusted Returns maximization 9/10, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 5.21% | 0.19% | -5.37% | 5.68% | 7.78% | 1.80% | 15.65% | ||||||
| 2024 | 6.25% | 12.67% | 10.39% | 0.98% | 11.19% | 1.46% | -0.32% | 13.46% | 7.44% | -1.56% | 10.87% | -11.42% | 76.84% |
| 2023 | 4.39% | -0.68% | 3.46% | 4.21% | 0.10% | 7.39% | 2.46% | 6.91% | 0.55% | 4.56% | 9.08% | 2.97% | 55.45% |
| 2022 | -1.42% | 0.22% | 5.85% | -4.27% | 9.36% | -6.65% | 3.69% | 1.52% | -6.58% | 15.05% | 7.03% | -5.14% | 17.39% |
| 2021 | 2.54% | -1.72% | 3.99% | 1.94% | 0.06% | 6.55% | 2.46% | 2.95% | -9.25% | 6.18% | -3.77% | 15.10% | 28.22% |
| 2020 | 3.17% | -8.82% | -12.81% | 9.27% | 6.77% | -0.19% | 4.29% | 2.14% | -4.02% | -3.71% | 7.04% | 11.33% | 12.06% |
| 2019 | 10.45% | 5.85% | 2.10% | -0.05% | -3.82% | 2.16% | 0.15% | 4.47% | 1.76% | -0.62% | 3.56% | 0.67% | 29.31% |
| 2018 | -0.56% | -2.00% | 5.23% | 2.02% | 4.20% | -0.90% | 5.13% | 7.55% | 1.67% | -6.41% | 4.25% | -3.60% | 16.81% |
| 2017 | 9.39% | 3.92% | 2.33% | -2.02% | -0.38% | 3.99% | 8.75% | 1.88% | 2.53% | 0.75% | 3.76% | -0.91% | 38.94% |
| 2016 | -2.21% | -0.76% | 8.71% | 5.50% |
Expense Ratio
Risk Adjusted Returns maximization 9/10 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
With an overall rank of 80, Risk Adjusted Returns maximization 9/10 is among the top 20% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VST Vistra Corp. | 0.95 | 1.46 | 1.21 | 1.29 | 2.87 |
PGR The Progressive Corporation | 1.62 | 2.37 | 1.34 | 3.67 | 9.28 |
IRM Iron Mountain Incorporated | 0.82 | 1.30 | 1.19 | 0.79 | 1.74 |
LLY Eli Lilly and Company | -0.22 | -0.01 | 1.00 | -0.29 | -0.53 |
FICO Fair Isaac Corporation | 0.90 | 1.12 | 1.17 | 0.78 | 2.01 |
NRG NRG Energy, Inc. | 1.84 | 2.44 | 1.34 | 3.56 | 10.66 |
ACGL Arch Capital Group Ltd. | -0.05 | 0.16 | 1.02 | -0.01 | -0.03 |
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Dividends
Dividend yield
Risk Adjusted Returns maximization 9/10 provided a 1.73% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.73% | 1.76% | 1.39% | 1.98% | 2.55% | 2.68% | 2.29% | 1.63% | 1.43% | 4.06% | 2.37% | 2.36% |
| Portfolio components: | ||||||||||||
VST Vistra Corp. | 0.53% | 0.63% | 2.13% | 3.12% | 2.64% | 2.75% | 2.17% | 0.00% | 0.00% | 14.97% | 0.00% | 0.00% |
PGR The Progressive Corporation | 1.70% | 0.48% | 0.25% | 0.31% | 6.23% | 2.68% | 3.89% | 1.86% | 1.21% | 2.50% | 2.16% | 5.53% |
IRM Iron Mountain Incorporated | 2.88% | 3.34% | 3.63% | 4.97% | 4.73% | 8.40% | 7.69% | 7.33% | 5.93% | 6.17% | 7.07% | 6.05% |
LLY Eli Lilly and Company | 0.75% | 0.67% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.95% | 2.46% | 2.77% | 2.37% | 2.84% |
FICO Fair Isaac Corporation | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.01% | 0.07% | 0.08% | 0.11% |
NRG NRG Energy, Inc. | 1.07% | 1.81% | 2.92% | 4.40% | 3.02% | 3.20% | 0.30% | 0.30% | 0.42% | 1.92% | 4.93% | 2.00% |
ACGL Arch Capital Group Ltd. | 5.19% | 5.41% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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 Risk Adjusted Returns maximization 9/10. 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 Risk Adjusted Returns maximization 9/10 was 36.25%, occurring on Mar 23, 2020. Recovery took 188 trading sessions.
The current Risk Adjusted Returns maximization 9/10 drawdown is 4.21%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -36.25% | Feb 19, 2020 | 24 | Mar 23, 2020 | 188 | Dec 17, 2020 | 212 |
| -21.4% | Nov 27, 2024 | 87 | Apr 4, 2025 | 25 | May 12, 2025 | 112 |
| -13.3% | Jun 8, 2022 | 7 | Jun 16, 2022 | 39 | Aug 12, 2022 | 46 |
| -12.69% | Oct 1, 2018 | 59 | Dec 24, 2018 | 16 | Jan 17, 2019 | 75 |
| -11.6% | Aug 19, 2022 | 30 | Sep 30, 2022 | 20 | Oct 28, 2022 | 50 |
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 7 assets, with an effective number of assets of 7.00, 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
| ^GSPC | LLY | PGR | IRM | FICO | ACGL | VST | NRG | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.38 | 0.38 | 0.47 | 0.59 | 0.44 | 0.41 | 0.45 | 0.68 |
| LLY | 0.38 | 1.00 | 0.27 | 0.22 | 0.24 | 0.21 | 0.20 | 0.22 | 0.49 |
| PGR | 0.38 | 0.27 | 1.00 | 0.25 | 0.26 | 0.47 | 0.21 | 0.24 | 0.53 |
| IRM | 0.47 | 0.22 | 0.25 | 1.00 | 0.32 | 0.31 | 0.30 | 0.34 | 0.59 |
| FICO | 0.59 | 0.24 | 0.26 | 0.32 | 1.00 | 0.30 | 0.24 | 0.29 | 0.58 |
| ACGL | 0.44 | 0.21 | 0.47 | 0.31 | 0.30 | 1.00 | 0.27 | 0.28 | 0.56 |
| VST | 0.41 | 0.20 | 0.21 | 0.30 | 0.24 | 0.27 | 1.00 | 0.62 | 0.68 |
| NRG | 0.45 | 0.22 | 0.24 | 0.34 | 0.29 | 0.28 | 0.62 | 1.00 | 0.72 |
| Portfolio | 0.68 | 0.49 | 0.53 | 0.59 | 0.58 | 0.56 | 0.68 | 0.72 | 1.00 |