Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Filtered 24, 60, 120, Angerfolio (7/12/24), 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 week.
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The earliest data available for this chart is May 28, 2020, corresponding to the inception date of SGOV
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio Filtered 24, 60, 120, Angerfolio (7/12/24) | 0.94% | -1.25% | 9.34% | 8.39% | 22.16% | 31.12% | 21.96% | — |
| Portfolio components: | ||||||||
DUK Duke Energy Corporation | 1.01% | 0.60% | 13.77% | 10.64% | 13.72% | 16.05% | 10.77% | 9.40% |
NECB Northeast Community Bancorp, Inc. | 0.62% | 1.97% | 8.69% | 23.31% | 6.98% | 26.01% | 18.02% | 19.73% |
FUNC First United Corporation | 0.65% | 1.96% | -0.47% | 4.78% | 26.72% | 34.21% | 19.22% | 15.80% |
MO Altria Group, Inc. | 0.43% | -2.94% | 15.96% | 3.55% | 23.23% | 22.72% | 13.73% | 7.41% |
MCK McKesson Corporation | 1.37% | -11.19% | 7.89% | 16.76% | 28.01% | 35.09% | 36.27% | 19.69% |
KR The Kroger Co. | 2.57% | 5.41% | 16.38% | 10.16% | 9.75% | 15.67% | 17.48% | 8.84% |
COR Cencora Inc. | 2.25% | -12.56% | -3.67% | 5.61% | 17.04% | 27.13% | 24.80% | 17.49% |
VZ Verizon Communications Inc. | 0.02% | -2.89% | 23.39% | 17.79% | 17.97% | 15.58% | 2.85% | 4.39% |
GILD Gilead Sciences, Inc. | -0.42% | -4.96% | 14.47% | 27.92% | 28.18% | 22.94% | 20.43% | 7.76% |
LRN Stride, Inc. | 0.88% | 3.45% | 38.06% | -38.28% | -31.68% | 31.85% | 23.07% | 24.59% |
Monthly Returns
Based on dividend-adjusted daily data since May 29, 2020, Filtered 24, 60, 120, Angerfolio (7/12/24)'s average daily return is +0.10%, while the average monthly return is +1.99%. At this rate, your investment would double in approximately 2.9 years.
Historically, 71% of months were positive and 29% were negative. The best month was Nov 2020 with a return of +13.0%, while the worst month was Sep 2022 at -6.6%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Filtered 24, 60, 120, Angerfolio (7/12/24) closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +4.5%, while the worst single day was Jun 11, 2020 at -5.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.77% | 5.39% | -2.07% | 1.12% | 9.34% | ||||||||
| 2025 | 3.81% | 4.33% | 0.18% | 2.83% | 3.27% | 2.99% | -1.39% | 6.37% | 0.33% | -4.91% | 3.82% | -1.23% | 21.77% |
| 2024 | 1.24% | 1.21% | 5.81% | -1.74% | 4.16% | 0.67% | 10.47% | 4.14% | 3.10% | 1.40% | 11.08% | -6.32% | 39.81% |
| 2023 | 6.52% | -0.97% | -1.28% | -0.12% | -2.50% | 5.40% | 4.24% | -0.15% | -1.49% | 2.31% | 6.62% | 6.03% | 26.76% |
| 2022 | -0.99% | 1.76% | 4.13% | -5.72% | 1.79% | -5.46% | 4.11% | -0.83% | -6.55% | 9.27% | 6.38% | -2.26% | 4.33% |
| 2021 | 2.72% | 3.64% | 7.94% | 0.11% | 2.76% | 0.17% | 0.70% | 3.05% | -2.49% | 2.65% | -1.59% | 5.18% | 27.31% |
Benchmark Metrics
Filtered 24, 60, 120, Angerfolio (7/12/24) has an annualized alpha of 17.79%, beta of 0.53, and R² of 0.54 versus S&P 500 Index. Calculated based on daily prices since May 29, 2020.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (89.28%) than losses (24.75%) — typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 17.79% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.53 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 17.79%
- Beta
- 0.53
- R²
- 0.54
- Upside Capture
- 89.28%
- Downside Capture
- 24.75%
Expense Ratio
Filtered 24, 60, 120, Angerfolio (7/12/24) has an expense ratio of 0.00%, 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
Filtered 24, 60, 120, Angerfolio (7/12/24) ranks 76 for risk / return — better than 76% of portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.71 | 0.88 | +0.83 |
Sortino ratioReturn per unit of downside risk | 2.44 | 1.37 | +1.07 |
Omega ratioGain probability vs. loss probability | 1.33 | 1.21 | +0.12 |
Calmar ratioReturn relative to maximum drawdown | 3.16 | 1.39 | +1.77 |
Martin ratioReturn relative to average drawdown | 11.17 | 6.43 | +4.74 |
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 | |
|---|---|---|---|---|---|---|
DUK Duke Energy Corporation | 63 | 0.86 | 1.25 | 1.15 | 1.20 | 2.82 |
NECB Northeast Community Bancorp, Inc. | 46 | 0.24 | 0.55 | 1.07 | 0.41 | 0.81 |
FUNC First United Corporation | 68 | 0.80 | 1.36 | 1.18 | 2.03 | 4.20 |
MO Altria Group, Inc. | 68 | 1.12 | 1.53 | 1.22 | 1.20 | 3.11 |
MCK McKesson Corporation | 73 | 0.97 | 1.65 | 1.22 | 2.33 | 6.05 |
KR The Kroger Co. | 48 | 0.35 | 0.74 | 1.08 | 0.43 | 0.93 |
COR Cencora Inc. | 60 | 0.67 | 1.02 | 1.14 | 1.04 | 3.20 |
VZ Verizon Communications Inc. | 64 | 0.79 | 1.35 | 1.17 | 1.22 | 2.79 |
GILD Gilead Sciences, Inc. | 71 | 0.98 | 1.58 | 1.18 | 2.10 | 5.65 |
LRN Stride, Inc. | 24 | -0.47 | -0.10 | 0.97 | -0.48 | -0.81 |
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Dividends
Dividend yield
Filtered 24, 60, 120, Angerfolio (7/12/24) provided a 2.51% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.51% | 2.74% | 2.40% | 2.59% | 2.78% | 2.95% | 2.70% | 2.62% | 2.38% | 2.00% | 2.06% | 1.88% |
| Portfolio components: | ||||||||||||
DUK Duke Energy Corporation | 3.21% | 3.60% | 3.84% | 4.18% | 3.86% | 3.72% | 4.17% | 4.11% | 4.21% | 4.15% | 4.33% | 4.54% |
NECB Northeast Community Bancorp, Inc. | 4.11% | 4.20% | 2.29% | 1.01% | 2.82% | 1.82% | 1.09% | 1.00% | 1.08% | 1.19% | 1.52% | 1.69% |
FUNC First United Corporation | 2.59% | 2.46% | 2.43% | 3.32% | 3.05% | 3.09% | 3.35% | 1.66% | 1.70% | 0.00% | 0.00% | 0.00% |
MO Altria Group, Inc. | 6.39% | 7.21% | 7.65% | 9.52% | 8.05% | 7.43% | 8.29% | 6.57% | 6.07% | 3.56% | 3.48% | 3.73% |
MCK McKesson Corporation | 0.36% | 0.37% | 0.47% | 0.50% | 0.54% | 0.72% | 0.95% | 1.16% | 1.32% | 0.80% | 0.80% | 0.53% |
KR The Kroger Co. | 1.89% | 2.14% | 2.00% | 2.41% | 2.11% | 1.72% | 2.14% | 2.07% | 1.93% | 1.79% | 1.30% | 0.94% |
COR Cencora Inc. | 0.71% | 0.67% | 0.93% | 0.96% | 1.13% | 5.13% | 6.74% | 7.48% | 2.07% | 1.61% | 1.77% | 1.17% |
VZ Verizon Communications Inc. | 5.54% | 6.68% | 6.68% | 6.96% | 6.53% | 4.85% | 4.21% | 3.95% | 4.22% | 4.39% | 4.26% | 4.79% |
GILD Gilead Sciences, Inc. | 2.28% | 2.57% | 3.33% | 3.70% | 3.40% | 3.91% | 4.67% | 3.88% | 3.65% | 2.90% | 2.57% | 1.27% |
LRN Stride, 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% |
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 Filtered 24, 60, 120, Angerfolio (7/12/24). 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 Filtered 24, 60, 120, Angerfolio (7/12/24) was 13.39%, occurring on Sep 30, 2022. Recovery took 42 trading sessions.
The current Filtered 24, 60, 120, Angerfolio (7/12/24) drawdown is 2.51%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -13.39% | Apr 11, 2022 | 120 | Sep 30, 2022 | 42 | Nov 30, 2022 | 162 |
| -8.17% | Dec 2, 2024 | 27 | Jan 10, 2025 | 18 | Feb 6, 2025 | 45 |
| -7.2% | Feb 21, 2023 | 52 | May 4, 2023 | 47 | Jul 13, 2023 | 99 |
| -7.11% | Apr 3, 2025 | 4 | Apr 8, 2025 | 10 | Apr 23, 2025 | 14 |
| -7.09% | Jun 9, 2020 | 3 | Jun 11, 2020 | 27 | Jul 21, 2020 | 30 |
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 69 assets, with an effective number of assets of 20.36, 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.