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Beta Top to Bottom
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Beta Top to Bottom

Currency in USD · Last updated May 23, 2025

Asset Allocation

FCN 4%REGN 4%GIS 4%BNTX 4%NBTX 4%LLY 4%PGR 4%HSY 4%YUMC 4%BCH 4%NVO 4%K 4%MCK 4%MOH 4%EDU 4%MFG 4%HUM 4%TMUS 4%WMT 4%NEE 4%CI 4%PEN 4%QLYS 4%UNH 4%COLD 4%EquityEquity
PositionCategory/SectorTarget Weight
BCH
Banco de Chile		Financial Services
4%
BNTX
BioNTech SE		Healthcare
4%
CI
Cigna Corporation		Healthcare
4%
COLD
Americold Realty Trust		Real Estate
4%
EDU
New Oriental Education & Technology Group Inc.		Consumer Defensive
4%
FCN
FTI Consulting, Inc.		Industrials
4%
GIS
General Mills, Inc.		Consumer Defensive
4%
HSY
The Hershey Company		Consumer Defensive
4%
HUM
Humana Inc.		Healthcare
4%
K
Kellogg Company		Consumer Defensive
4%
LLY
Eli Lilly and Company		Healthcare
4%
MCK
McKesson Corporation		Healthcare
4%
MFG
Mizuho Financial Group, Inc.		Financial Services
4%
MOH
Molina Healthcare, Inc.		Healthcare
4%
NBTX
Nanobiotix S.A.		Healthcare
4%
NEE
NextEra Energy, Inc.		Utilities
4%
NVO
Novo Nordisk A/S		Healthcare
4%
PEN
Penumbra, Inc.		Healthcare
4%
PGR
The Progressive Corporation		Financial Services
4%
QLYS
Qualys, Inc.		Technology
4%
REGN
Regeneron Pharmaceuticals, Inc.		Healthcare
4%
TMUS
T-Mobile US, Inc.		Communication Services
4%
UNH
UnitedHealth Group Incorporated		Healthcare
4%
WMT
Walmart Inc.		Consumer Defensive
4%
YUMC
Yum China Holdings, Inc.		Consumer Cyclical
4%

S&P 500

Performance

Performance Chart

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The earliest data available for this chart is Dec 11, 2020, corresponding to the inception date of NBTX

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		-0.67%10.48%-1.79%10.08%14.60%10.64%
Beta Top to Bottom-1.22%-1.78%-6.07%-3.06%N/AN/A
Portfolio components:
FCN
FTI Consulting, Inc.		-12.83%-0.54%-15.94%-25.67%7.62%15.43%
REGN
Regeneron Pharmaceuticals, Inc.		-15.98%2.09%-19.61%-39.16%0.98%1.54%
GIS
General Mills, Inc.		-14.61%-8.13%-15.07%-21.19%0.96%2.89%
BNTX
BioNTech SE		-13.06%-5.36%-8.46%-3.16%14.19%N/A
NBTX
Nanobiotix S.A.		27.48%13.17%-4.47%-41.18%N/AN/A
LLY
Eli Lilly and Company		-7.01%-13.40%-4.27%-10.31%38.06%27.69%
PGR
The Progressive Corporation		18.00%4.54%7.33%37.14%32.61%29.20%
HSY
The Hershey Company		-7.59%-7.33%-10.55%-22.72%5.78%7.62%
YUMC
Yum China Holdings, Inc.		-11.31%-5.05%-8.97%16.50%0.51%N/A
BCH
Banco de Chile		47.38%5.50%42.78%37.67%21.56%9.74%
NVO
Novo Nordisk A/S		-19.47%13.79%-32.51%-48.12%17.94%11.21%
K
Kellogg Company		2.07%-0.63%2.73%37.27%10.90%6.74%
MCK
McKesson Corporation		24.83%2.23%13.36%28.09%37.54%12.32%
MOH
Molina Healthcare, Inc.		6.43%-3.55%4.63%-10.32%11.20%15.87%
EDU
New Oriental Education & Technology Group Inc.		-26.83%5.79%-18.63%-40.72%-16.01%7.10%
MFG
Mizuho Financial Group, Inc.		10.02%10.47%7.17%37.13%24.21%7.01%
HUM
Humana Inc.		-10.18%-12.27%-22.67%-35.54%-9.73%3.18%
TMUS
T-Mobile US, Inc.		9.47%-6.77%2.50%47.56%20.83%21.00%
WMT
Walmart Inc.		6.73%1.38%9.33%48.53%19.98%16.49%
NEE
NextEra Energy, Inc.		-5.86%0.45%-12.17%-9.82%5.25%12.97%
CI
Cigna Corporation		13.79%-7.24%-4.40%-5.47%12.23%9.51%
PEN
Penumbra, Inc.		12.33%-3.78%10.92%34.07%8.55%N/A
QLYS
Qualys, Inc.		-2.70%14.17%-9.16%-6.11%4.03%13.24%
UNH
UnitedHealth Group Incorporated		-41.10%-30.55%-49.94%-42.19%1.95%11.20%
COLD
Americold Realty Trust		-19.15%-13.75%-23.59%-29.74%-10.52%N/A
*Annualized

Monthly Returns

The table below presents the monthly returns of Beta Top to Bottom, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20253.17%2.26%-1.77%-1.02%-3.71%-1.22%
2024-0.03%2.61%2.85%-3.76%5.29%-3.16%3.04%5.67%1.66%-6.31%4.31%-6.43%4.77%
20232.67%-3.01%2.90%0.80%0.25%3.64%4.01%1.59%-1.09%-0.31%3.15%1.97%17.61%
2022-6.26%1.74%4.15%-3.38%1.28%1.36%3.86%2.60%-3.12%5.51%6.04%-0.64%13.06%
20213.65%-1.64%4.38%6.00%0.38%0.21%0.28%1.12%-5.40%4.14%-0.90%4.46%17.36%
20201.68%1.68%

Expense Ratio

Beta Top to Bottom 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.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Beta Top to Bottom is 2, meaning it’s performing worse than 98% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of Beta Top to Bottom is 22
Overall Rank
The Sharpe Ratio Rank of Beta Top to Bottom is 33
Sharpe Ratio Rank
The Sortino Ratio Rank of Beta Top to Bottom is 22
Sortino Ratio Rank
The Omega Ratio Rank of Beta Top to Bottom is 22
Omega Ratio Rank
The Calmar Ratio Rank of Beta Top to Bottom is 22
Calmar Ratio Rank
The Martin Ratio Rank of Beta Top to Bottom is 22
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
FCN
FTI Consulting, Inc.		-0.96-1.130.82-0.77-1.51
REGN
Regeneron Pharmaceuticals, Inc.		-1.22-1.780.78-0.70-1.19
GIS
General Mills, Inc.		-0.97-1.360.84-0.61-1.57
BNTX
BioNTech SE		-0.060.621.070.090.47
NBTX
Nanobiotix S.A.		-0.59-0.880.90-0.58-1.17
LLY
Eli Lilly and Company		-0.27-0.040.99-0.32-0.61
PGR
The Progressive Corporation		1.522.001.282.987.59
HSY
The Hershey Company		-0.84-1.240.86-0.52-1.63
YUMC
Yum China Holdings, Inc.		0.400.761.090.200.95
BCH
Banco de Chile		1.732.371.292.716.41
NVO
Novo Nordisk A/S		-1.13-1.630.79-0.80-1.43
K
Kellogg Company		1.795.441.892.1613.55
MCK
McKesson Corporation		1.021.351.221.112.73
MOH
Molina Healthcare, Inc.		-0.23-0.011.00-0.27-0.76
EDU
New Oriental Education & Technology Group Inc.		-0.75-0.960.88-0.53-1.38
MFG
Mizuho Financial Group, Inc.		0.981.301.191.113.46
HUM
Humana Inc.		-0.81-0.990.86-0.60-1.26
TMUS
T-Mobile US, Inc.		1.792.191.363.348.71
WMT
Walmart Inc.		2.042.871.392.337.62
NEE
NextEra Energy, Inc.		-0.33-0.240.97-0.37-0.74
CI
Cigna Corporation		-0.20-0.040.99-0.17-0.38
PEN
Penumbra, Inc.		0.861.451.170.624.47
QLYS
Qualys, Inc.		-0.160.011.00-0.15-0.48
UNH
UnitedHealth Group Incorporated		-0.95-1.130.80-0.75-2.50
COLD
Americold Realty Trust		-0.97-1.350.84-0.57-1.38

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.

Beta Top to Bottom Sharpe ratios as of May 23, 2025 (values are recalculated daily):

  • 1-Year: -0.22
  • All Time: 0.84

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 0.47 to 0.99, 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 Beta Top to Bottom compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

Beta Top to Bottom provided a 1.78% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio1.78%1.61%1.52%1.34%1.50%1.36%1.47%1.52%1.17%1.36%1.33%1.41%
Portfolio components:
FCN
FTI Consulting, 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%
REGN
Regeneron Pharmaceuticals, Inc.		0.29%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
GIS
General Mills, Inc.		4.50%3.73%3.47%2.50%3.03%3.37%3.66%5.03%3.27%3.01%3.00%3.02%
BNTX
BioNTech SE		0.00%0.00%0.00%1.41%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
NBTX
Nanobiotix S.A.		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LLY
Eli Lilly and Company		0.78%0.67%0.78%1.07%1.23%1.75%1.96%1.95%2.46%2.77%2.37%2.84%
PGR
The Progressive Corporation		1.77%0.48%0.25%0.31%6.23%2.68%3.89%1.86%1.21%2.50%2.16%5.53%
HSY
The Hershey Company		3.56%3.24%2.39%1.67%1.76%2.07%2.03%2.57%2.24%2.32%2.50%1.96%
YUMC
Yum China Holdings, Inc.		1.69%1.33%1.23%0.88%0.96%0.42%1.00%1.25%0.25%0.00%0.00%0.00%
BCH
Banco de Chile		6.81%7.46%9.01%6.39%3.86%4.10%5.04%3.63%2.86%4.35%5.78%5.58%
NVO
Novo Nordisk A/S		2.37%1.68%0.99%1.18%1.34%1.86%2.12%2.46%2.13%3.94%1.31%1.96%
K
Kellogg Company		2.77%2.79%3.99%3.28%3.59%3.66%3.27%3.86%3.12%2.77%2.74%2.90%
MCK
McKesson Corporation		0.39%0.47%0.50%0.54%0.72%0.95%1.16%1.32%0.80%0.80%0.53%0.46%
MOH
Molina Healthcare, 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%
EDU
New Oriental Education & Technology Group Inc.		1.24%0.90%0.00%0.00%0.00%0.00%0.00%0.00%0.46%0.00%1.28%0.00%
MFG
Mizuho Financial Group, Inc.		1.61%3.21%3.73%4.34%5.45%5.52%4.47%4.50%3.69%3.77%3.10%3.71%
HUM
Humana Inc.		1.56%1.40%0.77%0.62%0.60%0.61%0.60%0.70%0.76%0.43%0.64%0.77%
TMUS
T-Mobile US, Inc.		1.27%1.28%0.41%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
WMT
Walmart Inc.		0.92%0.92%1.45%1.58%1.52%1.50%1.78%2.23%2.07%2.89%3.20%2.24%
NEE
NextEra Energy, Inc.		3.15%2.87%3.08%2.03%1.65%1.81%2.06%2.55%2.52%2.91%2.96%2.73%
CI
Cigna Corporation		1.83%2.03%1.64%1.35%1.74%0.02%0.02%0.02%0.02%0.03%0.03%0.04%
PEN
Penumbra, 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%
QLYS
Qualys, 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%
UNH
UnitedHealth Group Incorporated		2.83%1.62%1.38%1.21%1.12%1.38%1.41%1.38%1.30%1.48%1.59%1.39%
COLD
Americold Realty Trust		5.20%4.11%2.91%3.11%2.68%2.25%2.28%2.76%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 Beta Top to Bottom. 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 Beta Top to Bottom was 12.49%, occurring on Apr 8, 2025. The portfolio has not yet recovered.

The current Beta Top to Bottom drawdown is 9.67%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-12.49%Oct 1, 2024130Apr 8, 2025———
-9.99%Apr 11, 202244Jun 13, 202231Jul 28, 202275
-9.28%Dec 31, 202118Jan 26, 202244Mar 30, 202262
-8.44%Sep 7, 202120Oct 4, 202161Dec 30, 202181
-6.58%Sep 13, 202211Sep 27, 202229Nov 7, 202240

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 25 assets, with an effective number of assets of 25.00, 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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPCNBTXEDUBCHMFGYUMCBNTXKFCNPENGISNVOPGRQLYSHSYLLYMCKHUMWMTCOLDNEETMUSREGNCIUNHMOHPortfolio
^GSPC1.000.150.250.330.350.360.330.110.230.440.080.350.290.550.200.360.260.270.390.430.390.400.400.310.290.310.65
NBTX0.151.000.110.070.070.100.06-0.020.070.12-0.020.120.050.090.030.070.040.010.060.140.080.050.050.030.040.080.34
EDU0.250.111.000.180.180.360.16-0.080.040.18-0.060.110.030.17-0.030.070.030.030.020.180.100.120.070.080.040.080.39
BCH0.330.070.181.000.270.260.110.080.070.130.040.110.110.180.080.070.060.080.100.230.140.130.150.110.070.120.33
MFG0.350.070.180.271.000.180.150.020.090.18-0.000.130.170.200.040.110.160.120.130.160.090.150.150.180.100.100.35
YUMC0.360.100.360.260.181.000.22-0.010.070.20-0.000.160.060.240.050.040.000.080.090.240.170.150.110.110.090.120.40
BNTX0.330.060.160.110.150.221.00-0.010.060.230.030.230.060.220.020.170.060.110.130.240.180.140.300.100.080.110.44
K0.11-0.02-0.080.080.02-0.01-0.011.000.20-0.010.670.050.220.020.530.150.200.140.280.200.230.200.160.220.220.160.27
FCN0.230.070.040.070.090.070.060.201.000.130.220.190.210.180.240.220.250.180.180.170.150.170.180.220.220.260.35
PEN0.440.120.180.130.180.200.23-0.010.131.00-0.010.190.070.370.030.180.080.140.190.270.200.170.210.110.120.200.45
GIS0.08-0.02-0.060.04-0.00-0.000.030.670.22-0.011.000.060.280.050.600.120.270.210.290.170.290.250.220.290.270.240.32
NVO0.350.120.110.110.130.160.230.050.190.190.061.000.140.210.110.480.190.170.200.220.200.180.320.140.170.210.45
PGR0.290.050.030.110.170.060.060.220.210.070.280.141.000.130.280.230.340.240.300.170.270.320.190.340.330.250.39
QLYS0.550.090.170.180.200.240.220.020.180.370.050.210.131.000.090.160.130.180.230.280.230.250.280.150.200.240.49
HSY0.200.03-0.030.080.040.050.020.530.240.030.600.110.280.091.000.190.270.240.290.240.340.290.220.310.340.270.37
LLY0.360.070.070.070.110.040.170.150.220.180.120.480.230.160.191.000.290.230.280.180.230.260.380.230.280.250.46
MCK0.260.040.030.060.160.000.060.200.250.080.270.190.340.130.270.291.000.340.270.110.190.290.260.480.400.400.41
HUM0.270.010.030.080.120.080.110.140.180.140.210.170.240.180.240.230.341.000.200.160.150.210.220.470.660.500.44
WMT0.390.060.020.100.130.090.130.280.180.190.290.200.300.230.290.280.270.201.000.250.270.270.240.220.260.270.41
COLD0.430.140.180.230.160.240.240.200.170.270.170.220.170.280.240.180.110.160.251.000.390.250.240.200.180.210.48
NEE0.390.080.100.140.090.170.180.230.150.200.290.200.270.230.340.230.190.150.270.391.000.320.230.270.250.230.46
TMUS0.400.050.120.130.150.150.140.200.170.170.250.180.320.250.290.260.290.210.270.250.321.000.260.270.260.240.44
REGN0.400.050.070.150.150.110.300.160.180.210.220.320.190.280.220.380.260.220.240.240.230.261.000.250.240.290.49
CI0.310.030.080.110.180.110.100.220.220.110.290.140.340.150.310.230.480.470.220.200.270.270.251.000.540.500.48
UNH0.290.040.040.070.100.090.080.220.220.120.270.170.330.200.340.280.400.660.260.180.250.260.240.541.000.580.50
MOH0.310.080.080.120.100.120.110.160.260.200.240.210.250.240.270.250.400.500.270.210.230.240.290.500.581.000.53
Portfolio0.650.340.390.330.350.400.440.270.350.450.320.450.390.490.370.460.410.440.410.480.460.440.490.480.500.531.00
The correlation results are calculated based on daily price changes starting from Dec 14, 2020