Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Active Club 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.
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The earliest data available for this chart is Oct 24, 2012, corresponding to the inception date of IEMG
Returns By Period
As of Apr 10, 2026, the Active Club Portfolio returned 22.37% Year-To-Date and 15.86% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.62% | 0.64% | -0.30% | 1.33% | 25.06% | 18.43% | 10.57% | 12.82% |
Portfolio Active Club Portfolio | 0.11% | 4.89% | 22.37% | 38.45% | 103.83% | 33.75% | 15.40% | 15.86% |
| Portfolio components: | ||||||||
IEMG iShares Core MSCI Emerging Markets ETF | -0.27% | 2.54% | 10.00% | 12.95% | 49.19% | 18.29% | 5.70% | 8.95% |
XBI SPDR S&P Biotech ETF | 0.90% | 3.45% | 8.11% | 24.16% | 76.69% | 20.28% | 0.44% | 9.40% |
LRCX Lam Research Corporation | 4.98% | 20.22% | 51.34% | 84.04% | 266.55% | 73.79% | 32.75% | 43.30% |
CAT Caterpillar Inc. | 2.01% | 9.82% | 37.71% | 58.12% | 165.07% | 56.52% | 30.19% | 29.57% |
IAT iShares U.S. Regional Banks ETF | 1.67% | 8.02% | 5.69% | 14.88% | 39.32% | 22.50% | 3.21% | 9.41% |
GS The Goldman Sachs Group, Inc. | -0.22% | 8.38% | 3.35% | 17.05% | 78.47% | 44.11% | 25.23% | 21.98% |
IHE iShares U.S. Pharmaceuticals ETF | 0.51% | -0.10% | 4.36% | 17.93% | 41.22% | 15.29% | 10.47% | 8.08% |
ITA iShares U.S. Aerospace & Defense ETF | -0.18% | -3.26% | 8.02% | 9.79% | 55.51% | 27.10% | 17.95% | 15.91% |
NOC Northrop Grumman Corporation | 0.45% | -6.04% | 21.50% | 9.54% | 36.96% | 15.05% | 17.10% | 15.05% |
LLY Eli Lilly and Company | 0.20% | -4.61% | -10.97% | 12.02% | 27.67% | 38.58% | 40.33% | 31.32% |
Monthly Returns
Based on dividend-adjusted daily data since Oct 25, 2012, Active Club Portfolio's average daily return is +0.06%, while the average monthly return is +1.16%. At this rate, your investment would double in approximately 5.0 years.
Historically, 64% of months were positive and 36% were negative. The best month was Nov 2020 with a return of +15.3%, while the worst month was Mar 2020 at -15.2%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Active Club Portfolio closed higher 54% 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 -13.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 14.74% | 10.45% | -11.43% | 9.02% | 22.37% | ||||||||
| 2025 | 4.89% | 0.22% | -2.18% | 1.39% | 5.92% | 11.95% | 1.99% | 1.83% | 9.85% | 11.32% | -0.14% | 4.44% | 63.76% |
| 2024 | -2.90% | 6.39% | 3.99% | -3.02% | 1.24% | 3.24% | 1.76% | 1.36% | 0.91% | -3.70% | 0.89% | -6.00% | 3.53% |
| 2023 | 9.23% | -6.12% | 1.05% | 0.26% | 0.67% | 4.24% | 5.46% | -4.20% | -4.15% | -4.51% | 11.83% | 6.25% | 19.78% |
| 2022 | -4.72% | -0.34% | -0.57% | -5.75% | 2.38% | -9.37% | 4.47% | -2.74% | -12.04% | 7.45% | 11.74% | -4.26% | -15.17% |
| 2021 | 2.46% | 4.04% | 1.82% | 2.12% | 2.34% | 0.95% | -3.55% | 0.06% | -5.05% | 0.73% | -3.23% | 4.68% | 7.07% |
Benchmark Metrics
Active Club Portfolio has an annualized alpha of 1.50%, beta of 0.97, and R² of 0.75 versus S&P 500 Index. Calculated based on daily prices since October 25, 2012.
- With beta of 0.97 and R² of 0.75, 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
- 1.50%
- Beta
- 0.97
- R²
- 0.75
- Upside Capture
- 100.69%
- Downside Capture
- 96.54%
Expense Ratio
Active Club Portfolio has an expense ratio of 0.26%, which is considered low. 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
Active Club 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
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 4.74 | 1.84 | +2.90 |
Sortino ratioReturn per unit of downside risk | 5.35 | 2.53 | +2.82 |
Omega ratioGain probability vs. loss probability | 1.81 | 1.35 | +0.46 |
Calmar ratioReturn relative to maximum drawdown | 7.47 | 3.83 | +3.64 |
Martin ratioReturn relative to average drawdown | 34.18 | 16.98 | +17.20 |
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 | |
|---|---|---|---|---|---|---|
IEMG iShares Core MSCI Emerging Markets ETF | 74 | 2.76 | 3.62 | 1.52 | 4.32 | 17.07 |
XBI SPDR S&P Biotech ETF | 82 | 2.93 | 3.70 | 1.47 | 8.36 | 25.22 |
LRCX Lam Research Corporation | 97 | 5.48 | 4.63 | 1.63 | 15.95 | 53.83 |
CAT Caterpillar Inc. | 98 | 5.22 | 5.80 | 1.75 | 13.32 | 45.79 |
IAT iShares U.S. Regional Banks ETF | 38 | 1.70 | 2.25 | 1.31 | 2.80 | 8.03 |
GS The Goldman Sachs Group, Inc. | 89 | 2.88 | 3.44 | 1.46 | 5.05 | 17.49 |
IHE iShares U.S. Pharmaceuticals ETF | 62 | 2.18 | 2.97 | 1.38 | 4.92 | 14.92 |
ITA iShares U.S. Aerospace & Defense ETF | 75 | 2.84 | 3.75 | 1.46 | 4.52 | 17.55 |
NOC Northrop Grumman Corporation | 69 | 1.33 | 1.83 | 1.28 | 2.94 | 6.22 |
LLY Eli Lilly and Company | 51 | 0.67 | 1.15 | 1.16 | 1.09 | 2.65 |
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Dividends
Dividend yield
Active Club Portfolio provided a 1.60% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.60% | 1.89% | 2.22% | 2.18% | 1.79% | 2.11% | 1.48% | 2.32% | 2.14% | 2.20% | 1.74% | 2.25% |
| Portfolio components: | ||||||||||||
IEMG iShares Core MSCI Emerging Markets ETF | 2.50% | 2.75% | 3.20% | 2.89% | 2.71% | 3.06% | 1.87% | 3.15% | 2.76% | 2.35% | 2.28% | 2.53% |
XBI SPDR S&P Biotech ETF | 0.33% | 0.37% | 0.15% | 0.02% | 0.00% | 0.04% | 0.20% | 0.00% | 0.28% | 0.24% | 0.26% | 0.61% |
LRCX Lam Research Corporation | 0.39% | 0.57% | 1.19% | 0.95% | 1.53% | 0.78% | 1.04% | 1.54% | 2.79% | 1.01% | 1.28% | 1.36% |
CAT Caterpillar Inc. | 0.75% | 1.02% | 1.49% | 1.69% | 1.93% | 2.07% | 2.26% | 2.56% | 2.58% | 1.97% | 3.32% | 4.33% |
IAT iShares U.S. Regional Banks ETF | 2.80% | 2.94% | 2.95% | 3.56% | 3.12% | 1.88% | 2.87% | 2.49% | 2.48% | 1.55% | 1.52% | 1.78% |
GS The Goldman Sachs Group, Inc. | 1.72% | 1.59% | 2.01% | 2.72% | 2.62% | 1.70% | 1.90% | 1.80% | 1.89% | 1.14% | 1.09% | 1.41% |
IHE iShares U.S. Pharmaceuticals ETF | 1.69% | 1.76% | 1.73% | 1.39% | 2.01% | 1.49% | 1.19% | 1.40% | 1.25% | 1.36% | 0.92% | 1.93% |
ITA iShares U.S. Aerospace & Defense ETF | 0.46% | 0.55% | 0.85% | 0.93% | 0.95% | 0.82% | 1.07% | 1.54% | 1.13% | 0.91% | 1.07% | 1.04% |
NOC Northrop Grumman Corporation | 1.34% | 1.58% | 1.72% | 1.57% | 1.24% | 1.59% | 1.86% | 1.50% | 1.92% | 1.27% | 1.50% | 1.64% |
LLY Eli Lilly and Company | 0.65% | 0.56% | 0.67% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.94% | 2.46% | 2.77% | 2.37% |
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 Active Club 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 Active Club Portfolio was 37.92%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.
The current Active Club Portfolio drawdown is 3.83%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -37.92% | Jan 29, 2018 | 541 | Mar 23, 2020 | 161 | Nov 9, 2020 | 702 |
| -31.68% | Jun 8, 2021 | 333 | Sep 30, 2022 | 369 | Mar 21, 2024 | 702 |
| -25.96% | Apr 24, 2015 | 203 | Feb 11, 2016 | 240 | Jan 25, 2017 | 443 |
| -18.7% | Sep 27, 2024 | 132 | Apr 8, 2025 | 35 | May 29, 2025 | 167 |
| -15.6% | Feb 26, 2026 | 23 | Mar 30, 2026 | — | — | — |
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 5.17, 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
| Benchmark | LLY | NOC | CAH | WDC | XBI | LRCX | EWY | CAT | IHE | IAT | AXP | GS | IEMG | ITA | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.41 | 0.38 | 0.45 | 0.56 | 0.57 | 0.66 | 0.61 | 0.62 | 0.63 | 0.64 | 0.67 | 0.68 | 0.69 | 0.69 | 0.81 |
| LLY | 0.41 | 1.00 | 0.25 | 0.33 | 0.18 | 0.35 | 0.22 | 0.22 | 0.21 | 0.63 | 0.19 | 0.25 | 0.25 | 0.25 | 0.28 | 0.35 |
| NOC | 0.38 | 0.25 | 1.00 | 0.32 | 0.17 | 0.21 | 0.17 | 0.18 | 0.30 | 0.33 | 0.30 | 0.30 | 0.28 | 0.21 | 0.64 | 0.32 |
| CAH | 0.45 | 0.33 | 0.32 | 1.00 | 0.26 | 0.32 | 0.24 | 0.25 | 0.32 | 0.49 | 0.36 | 0.35 | 0.36 | 0.28 | 0.42 | 0.41 |
| WDC | 0.56 | 0.18 | 0.17 | 0.26 | 1.00 | 0.37 | 0.57 | 0.44 | 0.45 | 0.35 | 0.43 | 0.42 | 0.45 | 0.48 | 0.44 | 0.61 |
| XBI | 0.57 | 0.35 | 0.21 | 0.32 | 0.37 | 1.00 | 0.41 | 0.36 | 0.36 | 0.71 | 0.40 | 0.40 | 0.40 | 0.43 | 0.44 | 0.55 |
| LRCX | 0.66 | 0.22 | 0.17 | 0.24 | 0.57 | 0.41 | 1.00 | 0.50 | 0.44 | 0.37 | 0.41 | 0.44 | 0.45 | 0.54 | 0.45 | 0.65 |
| EWY | 0.61 | 0.22 | 0.18 | 0.25 | 0.44 | 0.36 | 0.50 | 1.00 | 0.47 | 0.36 | 0.38 | 0.42 | 0.45 | 0.82 | 0.44 | 0.89 |
| CAT | 0.62 | 0.21 | 0.30 | 0.32 | 0.45 | 0.36 | 0.44 | 0.47 | 1.00 | 0.39 | 0.55 | 0.53 | 0.57 | 0.54 | 0.58 | 0.64 |
| IHE | 0.63 | 0.63 | 0.33 | 0.49 | 0.35 | 0.71 | 0.37 | 0.36 | 0.39 | 1.00 | 0.43 | 0.43 | 0.43 | 0.43 | 0.48 | 0.56 |
| IAT | 0.64 | 0.19 | 0.30 | 0.36 | 0.43 | 0.40 | 0.41 | 0.38 | 0.55 | 0.43 | 1.00 | 0.69 | 0.74 | 0.45 | 0.59 | 0.59 |
| AXP | 0.67 | 0.25 | 0.30 | 0.35 | 0.42 | 0.40 | 0.44 | 0.42 | 0.53 | 0.43 | 0.69 | 1.00 | 0.65 | 0.47 | 0.58 | 0.61 |
| GS | 0.68 | 0.25 | 0.28 | 0.36 | 0.45 | 0.40 | 0.45 | 0.45 | 0.57 | 0.43 | 0.74 | 0.65 | 1.00 | 0.51 | 0.57 | 0.64 |
| IEMG | 0.69 | 0.25 | 0.21 | 0.28 | 0.48 | 0.43 | 0.54 | 0.82 | 0.54 | 0.43 | 0.45 | 0.47 | 0.51 | 1.00 | 0.49 | 0.90 |
| ITA | 0.69 | 0.28 | 0.64 | 0.42 | 0.44 | 0.44 | 0.45 | 0.44 | 0.58 | 0.48 | 0.59 | 0.58 | 0.57 | 0.49 | 1.00 | 0.64 |
| Portfolio | 0.81 | 0.35 | 0.32 | 0.41 | 0.61 | 0.55 | 0.65 | 0.89 | 0.64 | 0.56 | 0.59 | 0.61 | 0.64 | 0.90 | 0.64 | 1.00 |