3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm

Asset Allocation

Position	Category/Sector	Target Weight
AIT Applied Industrial Technologies, Inc.	Industrials	5%
AZO AutoZone, Inc.	Consumer Cyclical	5%
CBZ CBIZ, Inc.	Industrials	5%
CHG.DE Chapters Group AG	Technology	5%
CLMB Climb Global Solutions	Technology	5%
COKE Coca-Cola Consolidated, Inc.	Consumer Defensive	5%
ETG.DE EnviTec Biogas AG	Utilities	5%
FCNCA First Citizens BancShares, Inc.	Financial Services	5%
FTNT Fortinet, Inc.	Technology	5%
JBL Jabil Inc.	Technology	5%
KEN Kenon Holdings Ltd.	Utilities	5%
LLY Eli Lilly and Company	Healthcare	5%
LPLA LPL Financial Holdings Inc.	Financial Services	5%
META Meta Platforms, Inc.	Communication Services	5%
NBN Northeast Bank	Financial Services	5%
ORLY O'Reilly Automotive, Inc.	Consumer Cyclical	5%
PGR The Progressive Corporation	Financial Services	5%
SNEX StoneX Group Inc.	Financial Services	5%
STLD Steel Dynamics, Inc.	Basic Materials	5%
TPL Texas Pacific Land Corporation	Energy	5%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm, 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 Jan 14, 2015, corresponding to the inception date of KEN

Returns By Period

As of Apr 11, 2026, the 3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm returned 7.84% Year-To-Date and 31.76% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-0.11%	2.16%	-0.42%	4.03%	27.10%	18.38%	10.55%	12.70%
Portfolio 3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm	-0.36%	3.25%	7.84%	14.61%	22.79%	32.49%	31.51%	31.76%
Portfolio components:
COKE Coca-Cola Consolidated, Inc.	-2.69%	-2.99%	32.92%	64.01%	46.93%	58.06%	47.66%	29.56%
FTNT Fortinet, Inc.	-4.91%	-9.12%	-3.41%	-7.63%	-21.52%	4.61%	14.18%	29.55%
TPL Texas Pacific Land Corporation	8.47%	-22.50%	42.90%	38.72%	0.11%	28.36%	19.65%	39.10%
NBN Northeast Bank	-0.50%	13.88%	19.22%	35.54%	49.68%	51.75%	35.49%	28.28%
PGR The Progressive Corporation	-2.88%	-5.34%	-9.29%	-13.93%	-25.00%	12.65%	17.81%	22.12%
LPLA LPL Financial Holdings Inc.	-0.65%	7.91%	-12.41%	-0.69%	0.70%	17.49%	16.93%	30.47%
CBZ CBIZ, Inc.	-2.07%	5.54%	-46.42%	-49.37%	-65.23%	-18.50%	-4.27%	10.70%
STLD Steel Dynamics, Inc.	0.30%	9.17%	12.81%	35.75%	60.41%	22.60%	32.10%	25.90%
META Meta Platforms, Inc.	0.23%	-1.22%	-4.50%	-10.55%	16.24%	43.72%	15.23%	19.09%
FCNCA First Citizens BancShares, Inc.	-0.43%	9.15%	-7.19%	17.18%	20.55%	26.96%	18.87%	23.83%

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

Monthly Returns

Based on dividend-adjusted daily data since Jan 15, 2015, 3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm's average daily return is +0.11%, while the average monthly return is +2.27%. At this rate, an investment would double in approximately 2.6 years.

Historically, 75% of months were positive and 25% were negative. The best month was Apr 2020 with a return of +16.7%, while the worst month was Mar 2020 at -15.5%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 3 months.

On a daily basis, 3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +10.2%, while the worst single day was Mar 16, 2020 at -10.4%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.99%	3.01%	-2.72%	3.49%									7.84%
2025	8.19%	2.73%	-4.14%	1.50%	1.27%	4.40%	0.93%	-0.25%	-0.93%	-1.15%	3.21%	1.94%	18.60%
2024	1.96%	7.93%	4.46%	-4.52%	4.69%	3.09%	3.92%	6.09%	1.94%	3.20%	12.69%	-5.65%	46.09%
2023	4.06%	2.96%	2.50%	0.51%	0.90%	6.91%	3.38%	-0.09%	0.05%	-1.32%	6.79%	5.94%	37.36%
2022	-5.36%	0.73%	5.51%	-3.03%	4.45%	-6.52%	9.65%	-2.00%	-4.28%	12.89%	4.22%	-2.40%	12.48%
2021	-1.09%	10.63%	12.29%	4.59%	5.20%	1.60%	3.56%	4.44%	-2.05%	5.23%	3.10%	8.88%	71.90%

Benchmark Metrics

3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm has an annualized alpha of 18.33%, beta of 0.85, and R² of 0.74 versus S&P 500 Index. Calculated based on daily prices since January 15, 2015.

This portfolio captured 135.22% of S&P 500 Index gains but only 55.07% of its losses — a favorable profile for investors.
This portfolio generated an annualized alpha of 18.33% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
With beta of 0.85 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: 18.33%

Beta: 0.85

R²: 0.74

Upside Capture: 135.22%

Downside Capture: 55.07%

Expense Ratio

3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm 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

3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm ranks 21 for risk / return — below 21% of portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	1.72	2.23	-0.51
Sortino ratio Return per unit of downside risk	2.51	3.12	-0.61
Omega ratio Gain probability vs. loss probability	1.30	1.42	-0.12
Calmar ratio Return relative to maximum drawdown	3.38	4.05	-0.67
Martin ratio Return relative to average drawdown	7.95	17.91	-9.96
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
COKE Coca-Cola Consolidated, Inc.	67	1.54	1.99	1.28	2.32	4.31
FTNT Fortinet, Inc.	17	-0.52	-0.45	0.93	-0.41	-0.62
TPL Texas Pacific Land Corporation	34	0.09	0.46	1.06	0.25	0.38
NBN Northeast Bank	65	1.44	2.02	1.26	1.74	4.29
PGR The Progressive Corporation	7	-1.09	-1.46	0.83	-0.70	-1.11
LPLA LPL Financial Holdings Inc.	35	0.11	0.39	1.05	0.33	0.74
CBZ CBIZ, Inc.	2	-1.27	-2.14	0.71	-0.90	-1.68
STLD Steel Dynamics, Inc.	79	1.89	2.69	1.31	3.70	12.13
META Meta Platforms, Inc.	44	0.44	0.92	1.12	0.71	1.74
FCNCA First Citizens BancShares, Inc.	51	0.78	1.15	1.16	1.16	2.64

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.

3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm Sharpe ratios as of Apr 11, 2026 (values are recalculated daily):

1-Year: 1.72
5-Year: 1.84
10-Year: 1.73
All Time: 1.65

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 2.14 to 3.05, 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 3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm 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

3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm provided a 0.99% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	0.99%	0.90%	1.49%	1.18%	1.78%	1.23%	1.45%	1.58%	6.47%	1.17%	1.43%	3.52%
Portfolio components:
COKE Coca-Cola Consolidated, Inc.	0.49%	0.65%	1.59%	0.54%	0.20%	0.16%	0.38%	0.35%	0.56%	0.46%	0.56%	0.55%
FTNT Fortinet, 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%
TPL Texas Pacific Land Corporation	0.54%	0.74%	1.37%	0.83%	1.37%	0.88%	2.20%	0.22%	0.55%	0.30%	0.10%	0.22%
NBN Northeast Bank	0.03%	0.04%	0.04%	0.07%	0.10%	0.11%	0.18%	0.18%	0.24%	0.17%	0.31%	0.38%
PGR The Progressive Corporation	7.16%	2.15%	0.48%	0.25%	0.31%	6.23%	2.68%	3.89%	1.86%	1.21%	2.50%	2.16%
LPLA LPL Financial Holdings Inc.	0.38%	0.34%	0.37%	0.53%	0.46%	0.62%	0.96%	1.08%	1.64%	1.75%	2.84%	2.34%
CBZ CBIZ, 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%
STLD Steel Dynamics, Inc.	1.07%	1.18%	1.61%	1.44%	1.39%	1.68%	2.71%	2.82%	2.50%	1.44%	1.57%	3.08%
META Meta Platforms, Inc.	0.33%	0.32%	0.34%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
FCNCA First Citizens BancShares, Inc.	0.41%	0.37%	0.33%	0.27%	0.28%	0.23%	0.29%	0.30%	0.38%	0.31%	0.34%	0.46%

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 3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm. 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 3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm was 37.88%, occurring on Mar 23, 2020. Recovery took 53 trading sessions.

The current 3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm drawdown is 0.54%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-37.88%	Jan 22, 2020	44	Mar 23, 2020	53	Jun 5, 2020	97
-17.62%	Sep 26, 2018	64	Dec 24, 2018	37	Feb 15, 2019	101
-14.8%	Dec 2, 2015	52	Feb 15, 2016	105	Jul 12, 2016	157
-14.29%	Feb 20, 2025	34	Apr 8, 2025	58	Jun 30, 2025	92
-11.7%	Aug 17, 2022	29	Sep 26, 2022	21	Oct 25, 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 20 assets, with an effective number of assets of 20.00, 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.

	Benchmark	CHG.DE	ETG.DE	CLMB	KEN	LLY	COKE	NBN	TPL	PGR	AZO	ORLY	META	FTNT	SNEX	STLD	CBZ	LPLA	FCNCA	JBL	AIT	Portfolio
Benchmark	1.00	0.12	0.12	0.20	0.27	0.39	0.33	0.30	0.33	0.40	0.37	0.40	0.61	0.56	0.46	0.50	0.47	0.52	0.52	0.64	0.58	0.78
CHG.DE	0.12	1.00	0.09	0.04	0.09	0.01	0.02	0.04	0.03	0.01	0.02	0.02	0.07	0.08	0.04	0.06	0.04	0.05	0.06	0.08	0.06	0.20
ETG.DE	0.12	0.09	1.00	0.05	0.11	0.03	0.02	0.07	0.06	0.02	0.03	0.04	0.07	0.07	0.04	0.06	0.06	0.07	0.07	0.10	0.08	0.23
CLMB	0.20	0.04	0.05	1.00	0.06	0.06	0.08	0.17	0.15	0.05	0.05	0.06	0.12	0.11	0.18	0.15	0.15	0.14	0.13	0.17	0.20	0.32
KEN	0.27	0.09	0.11	0.06	1.00	0.09	0.10	0.12	0.12	0.08	0.10	0.08	0.17	0.17	0.13	0.18	0.14	0.14	0.20	0.21	0.16	0.36
LLY	0.39	0.01	0.03	0.06	0.09	1.00	0.15	0.08	0.09	0.26	0.21	0.24	0.24	0.25	0.15	0.17	0.22	0.16	0.16	0.19	0.18	0.34
COKE	0.33	0.02	0.02	0.08	0.10	0.15	1.00	0.14	0.13	0.24	0.24	0.24	0.19	0.17	0.20	0.17	0.29	0.19	0.26	0.22	0.29	0.39
NBN	0.30	0.04	0.07	0.17	0.12	0.08	0.14	1.00	0.18	0.14	0.15	0.14	0.15	0.12	0.27	0.28	0.26	0.27	0.35	0.27	0.31	0.43
TPL	0.33	0.03	0.06	0.15	0.12	0.09	0.13	0.18	1.00	0.17	0.12	0.12	0.16	0.18	0.29	0.31	0.24	0.28	0.30	0.29	0.33	0.47
PGR	0.40	0.01	0.02	0.05	0.08	0.26	0.24	0.14	0.17	1.00	0.29	0.31	0.18	0.23	0.24	0.25	0.32	0.31	0.30	0.19	0.29	0.41
AZO	0.37	0.02	0.03	0.05	0.10	0.21	0.24	0.15	0.12	0.29	1.00	0.75	0.18	0.24	0.19	0.21	0.26	0.22	0.22	0.21	0.30	0.41
ORLY	0.40	0.02	0.04	0.06	0.08	0.24	0.24	0.14	0.12	0.31	0.75	1.00	0.22	0.28	0.19	0.22	0.30	0.24	0.25	0.23	0.30	0.44
META	0.61	0.07	0.07	0.12	0.17	0.24	0.19	0.15	0.16	0.18	0.18	0.22	1.00	0.42	0.24	0.24	0.23	0.27	0.27	0.39	0.28	0.47
FTNT	0.56	0.08	0.07	0.11	0.17	0.25	0.17	0.12	0.18	0.23	0.24	0.28	0.42	1.00	0.27	0.25	0.28	0.31	0.26	0.39	0.29	0.51
SNEX	0.46	0.04	0.04	0.18	0.13	0.15	0.20	0.27	0.29	0.24	0.19	0.19	0.24	0.27	1.00	0.36	0.37	0.45	0.45	0.40	0.44	0.57
STLD	0.50	0.06	0.06	0.15	0.18	0.17	0.17	0.28	0.31	0.25	0.21	0.22	0.24	0.25	0.36	1.00	0.34	0.39	0.42	0.46	0.51	0.59
CBZ	0.47	0.04	0.06	0.15	0.14	0.22	0.29	0.26	0.24	0.32	0.26	0.30	0.23	0.28	0.37	0.34	1.00	0.35	0.43	0.35	0.49	0.57
LPLA	0.52	0.05	0.07	0.14	0.14	0.16	0.19	0.27	0.28	0.31	0.22	0.24	0.27	0.31	0.45	0.39	0.35	1.00	0.52	0.44	0.43	0.60
FCNCA	0.52	0.06	0.07	0.13	0.20	0.16	0.26	0.35	0.30	0.30	0.22	0.25	0.27	0.26	0.45	0.42	0.43	0.52	1.00	0.43	0.49	0.63
JBL	0.64	0.08	0.10	0.17	0.21	0.19	0.22	0.27	0.29	0.19	0.21	0.23	0.39	0.39	0.40	0.46	0.35	0.44	0.43	1.00	0.50	0.63
AIT	0.58	0.06	0.08	0.20	0.16	0.18	0.29	0.31	0.33	0.29	0.30	0.30	0.28	0.29	0.44	0.51	0.49	0.43	0.49	0.50	1.00	0.68
Portfolio	0.78	0.20	0.23	0.32	0.36	0.34	0.39	0.43	0.47	0.41	0.41	0.44	0.47	0.51	0.57	0.59	0.57	0.60	0.63	0.63	0.68	1.00

The correlation results are calculated based on daily price changes starting from Jan 15, 2015

3.2 Three 32s -REV ALL(1st + PE-over100PE) (Reb 3m)Calm

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table