High quality >10% 5yr annualized

Asset Allocation

Position	Category/Sector	Target Weight
AEM Agnico Eagle Mines Limited	Basic Materials	1.64%
AMAT Applied Materials, Inc.	Technology	1.64%
APH Amphenol Corporation	Technology	1.64%
ASML ASML Holding N.V.	Technology	1.64%
ASX ASE Technology Holding Co., Ltd.	Technology	1.64%
AU AngloGold Ashanti Limited	Basic Materials	1.64%
B Barrick Mining Corporation	Basic Materials	1.64%
BAP Credicorp Ltd.	Financial Services	1.64%
BCH Banco de Chile	Financial Services	1.64%
BNY The Bank of New York Mellon Corporation	Financial Services	1.64%
CASY Casey's General Stores, Inc.	Consumer Defensive	1.64%
CAT Caterpillar Inc.	Industrials	1.64%
CBOE Cboe Global Markets, Inc.	Financial Services	1.64%
CCJ Cameco Corporation	Energy	1.64%
CHRW C.H. Robinson Worldwide, Inc.	Industrials	1.64%
CMI Cummins Inc.	Industrials	1.64%
CW Curtiss-Wright Corporation	Industrials	1.64%
AXIA AXIA Energia SA	Utilities	1.64%
EC Ecopetrol S.A.	Energy	1.64%
ESLT Elbit Systems Ltd	Industrials	1.64%
EXPD Expeditors International of Washington, Inc.	Industrials	1.64%
FNV Franco-Nevada Corporation	Basic Materials	1.64%
FTI TechnipFMC plc	Energy	1.64%
FUTU Futu Holdings Limited	Financial Services	1.64%
GD General Dynamics Corporation		1.64%
GFI Gold Fields Limited	Basic Materials	1.64%
GOOG Alphabet Inc	Communication Services	1.64%
GOOGL Alphabet Inc. Class A	Communication Services	1.64%
GS The Goldman Sachs Group, Inc.	Financial Services	1.64%
HEI HEICO Corporation	Industrials	1.64%
HEI-A HEICO Corporation	Industrials	1.64%
HWM Howmet Aerospace Inc.	Industrials	1.64%
IMO Imperial Oil Limited	Energy	1.64%
ING ING Groep N.V.	Financial Services	1.64%
KEP Korea Electric Power Corporation	Utilities	1.64%
KGC Kinross Gold Corporation	Basic Materials	1.64%
KLAC KLA Corporation	Technology	1.64%
KTOS Kratos Defense & Security Solutions, Inc.	Industrials	1.64%
LHX L3Harris Technologies, Inc.	Industrials	1.64%
LRCX Lam Research Corporation	Technology	1.64%
MFG Mizuho Financial Group, Inc.	Financial Services	1.64%
MT ArcelorMittal	Basic Materials	1.64%
MUFG Mitsubishi UFJ Financial Group, Inc.	Financial Services	1.64%
NEM Newmont Corporation	Basic Materials	1.64%
NMR Nomura Holdings, Inc.	Financial Services	1.64%
NTRS Northern Trust Corporation	Financial Services	1.64%
NVS Novartis AG	Healthcare	1.64%
PAAS Pan American Silver Corp.	Basic Materials	1.64%
PH Parker-Hannifin Corporation	Industrials	1.64%
PM Philip Morris International Inc.	Consumer Defensive	1.64%
ROK Rockwell Automation, Inc.	Industrials	1.64%
RTX RTX Corporation	Industrials	1.64%
RVMD Revolution Medicines, Inc.	Healthcare	1.64%
SCCO Southern Copper Corporation	Basic Materials	1.64%
SMFG Sumitomo Mitsui Financial Group, Inc.	Financial Services	1.64%
SQM Sociedad Química y Minera de Chile S.A.	Basic Materials	1.64%
STT State Street Corporation	Financial Services	1.64%
STX Seagate Technology plc	Technology	1.64%
ULTA Ulta Beauty, Inc.	Consumer Cyclical	1.64%
WPM Wheaton Precious Metals Corp.	Basic Materials	1.64%
WWD Woodward, Inc.	Industrials	1.64%

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 High quality >10% 5yr annualized, 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

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 High quality >10% 5yr annualized	-4.05%	-2.17%	21.42%	24.10%	80.10%	47.45%	27.70%	—
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%

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

Monthly Returns

Based on dividend-adjusted daily data since Feb 14, 2020, High quality >10% 5yr annualized's average daily return is +0.11%, while the average monthly return is +2.33%. At this rate, an investment would double in approximately 2.5 years.

Historically, 66% of months were positive and 34% were negative. The best month was Apr 2020 with a return of +18.1%, while the worst month was Mar 2020 at -18.6%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 3 months.

On a daily basis, High quality >10% 5yr annualized closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +12.0%, while the worst single day was Mar 12, 2020 at -10.9%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	14.15%	6.50%	-8.50%	8.91%	3.65%	-3.31%							21.42%
2025	8.50%	0.43%	2.14%	1.55%	8.62%	8.70%	3.10%	7.35%	10.99%	3.71%	7.00%	2.67%	86.79%
2024	-1.40%	4.24%	6.51%	-0.10%	6.88%	-1.05%	4.88%	0.93%	2.00%	-0.12%	3.64%	-5.79%	21.77%
2023	9.74%	-4.60%	3.07%	0.02%	-2.51%	7.63%	5.66%	-2.49%	-3.62%	-1.49%	9.28%	5.49%	27.69%
2022	-2.47%	4.15%	4.61%	-8.30%	2.16%	-9.36%	6.91%	-4.62%	-7.75%	7.93%	11.68%	-2.63%	-0.38%
2021	0.33%	7.83%	5.09%	2.80%	5.50%	-3.00%	-0.52%	0.17%	-3.82%	3.98%	-2.04%	3.83%	21.25%

Benchmark Metrics

High quality >10% 5yr annualized has an annualized alpha of 15.90%, beta of 0.94, and R2 of 0.74 versus S&P 500 Index. Calculated based on daily prices since February 14, 2020.

This portfolio captured 137.36% of S&P 500 Index gains but only 80.71% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 15.90% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
With beta of 0.94 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: 15.90%

Beta: 0.94

R²: 0.74

Upside Capture: 137.36%

Downside Capture: 80.71%

Expense Ratio

High quality >10% 5yr annualized 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

High quality >10% 5yr annualized ranks 94 for risk / return — in the top 94% 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.

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 High quality >10% 5yr annualized and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	4.02	2.01	+2.01
Sortino ratioReturn per unit of downside risk	4.66	2.71	+1.95
Omega ratioGain probability vs. loss probability	1.67	1.36	+0.31
Calmar ratioReturn relative to maximum drawdown	6.24	2.69	+3.56
Martin ratioReturn relative to average drawdown	27.03	12.34	+14.69
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

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.

High quality >10% 5yr annualized Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 4.02
5-Year: 1.47
All Time: 1.31

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 1.64 to 2.53, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of High quality >10% 5yr annualized 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

High quality >10% 5yr annualized provided a 1.53% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.53%	1.84%	2.27%	2.44%	2.65%	1.72%	2.07%	1.82%	1.95%	1.42%	2.29%	2.12%
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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the High quality >10% 5yr annualized. 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 High quality >10% 5yr annualized was 37.52%, occurring on Mar 23, 2020. Recovery took 87 trading sessions.

The current High quality >10% 5yr annualized drawdown is 4.05%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-37.52%Mar 2020	1mo 2d	4mo 6d	5mo 8dFeb 2020 - Jul 2020
Bear market2022	-22.50%Sep 2022	6mo 2d	3mo 19d	9mo 21dMar 2022 - Jan 2023
2025 selloff2025	-14.47%Apr 2025	13d	24d	1mo 7dMar 2025 - May 2025
2026 correction2026	-12.98%Mar 2026	1mo 2d	15d	1mo 17dFeb 2026 - Apr 2026
2024 pullback2024	-9.54%Aug 2024	19d	1mo 20d	2mo 9dJul 2024 - Sep 2024

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 61 assets, with an effective number of assets of 61.00, 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	All Time
Diversification Ratio	1.91	1.91	1.85	1.73

The portfolio has a diversification ratio of 1.73, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

High quality >10% 5yr annualized correlation to the S&P 500 Index

High quality >10% 5yr annualized has a 0.73 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	0.73
Correlation (3Y) Calculated over the trailing 3-year period	0.75
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (All Time) Calculated using the full available price history since Feb 14, 2020	0.81

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.

GFI

0.18

0.20

CBOE

0.21

AEM

0.23

0.25

0.25

0.27

0.28

0.29

0.30

0.31

0.32

0.33

0.33

0.33

0.34

0.35

0.35

0.36

0.38

0.38

0.39

0.40

0.42

0.43

0.43

0.44

0.44

0.45

0.46

0.47

0.48

0.48

0.49

0.51

0.52

0.52

0.53

HEI-A

0.54

0.55

0.56

0.57

0.57

0.57

0.58

0.59

0.59

0.59

0.61

0.62

0.66

0.67

0.68

0.69

0.69

0.70

0.70

0.70

0.74

Portfolio Correlations

Correlation vs. High quality >10% 5yr annualized. SCCO has the highest portfolio correlation at 0.71, while CBOE has the lowest at 0.19.

CBOE

0.19

0.34

0.35

0.36

0.39

0.40

0.41

0.41

0.42

0.43

0.44

0.44

0.47

ULTA

0.47

EXPD

0.47

0.48

0.50

0.50

0.50

0.51

0.51

0.51

0.52

0.52

0.52

0.53

0.53

0.53

0.53

0.54

0.55

0.55

0.55

0.56

0.56

0.56

0.57

0.57

0.58

0.60

0.60

0.62

0.62

0.64

0.64

0.64

0.65

0.65

0.65

0.65

0.65

0.65

0.66

0.67

0.69

APH

0.69

CAT

0.70

SCCO

0.71

Asset Correlations Table

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

The correlation results are calculated based on daily price changes starting from Feb 14, 2020

Diversification Analysis

Find what High quality >10% 5yr annualized is missing

See which holdings overlap, where High quality >10% 5yr annualized is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification