good sharpe portfolio

Asset Allocation

Position	Category/Sector	Target Weight
APH Amphenol Corporation	Technology	12.50%
BRO Brown & Brown, Inc.	Financial Services	12.50%
COST Costco Wholesale Corporation	Consumer Defensive	12.50%
CTAS Cintas Corporation	Industrials	12.50%
PGR The Progressive Corporation	Financial Services	12.50%
PH Parker-Hannifin Corporation	Industrials	12.50%
RSG Republic Services, Inc.	Industrials	12.50%
V Visa Inc.	Financial Services	12.50%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in good sharpe 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 month.

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The earliest data available for this chart is Mar 19, 2008, corresponding to the inception date of V

Returns By Period

As of Apr 4, 2026, the good sharpe portfolio returned -3.07% Year-To-Date and 22.63% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-3.63%	-3.84%	-1.98%	29.73%	16.86%	10.37%	12.29%
Portfolio good sharpe portfolio	0.93%	-6.09%	-3.07%	-4.69%	9.21%	23.69%	20.15%	22.63%
Portfolio components:
CTAS Cintas Corporation	1.34%	-14.76%	-7.09%	-13.55%	-7.61%	15.81%	15.96%	24.15%
COST Costco Wholesale Corporation	1.85%	3.30%	17.86%	11.19%	11.35%	28.60%	24.74%	22.54%
PH Parker-Hannifin Corporation	-1.38%	-5.94%	3.50%	19.46%	77.19%	40.46%	25.12%	25.46%
V Visa Inc.	0.77%	-5.94%	-14.05%	-13.67%	-3.22%	10.35%	7.55%	15.28%
RSG Republic Services, Inc.	1.44%	-3.39%	5.92%	0.15%	-4.15%	19.30%	18.99%	18.99%
BRO Brown & Brown, Inc.	2.41%	-9.81%	-17.06%	-30.24%	-42.24%	5.28%	7.96%	15.06%
APH Amphenol Corporation	0.23%	-5.86%	-5.10%	5.14%	118.15%	47.86%	32.00%	25.52%
PGR The Progressive Corporation	1.03%	-7.23%	-8.77%	-15.44%	-19.30%	13.80%	18.00%	22.03%

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

Monthly Returns

Based on dividend-adjusted daily data since Mar 20, 2008, good sharpe portfolio's average daily return is +0.08%, while the average monthly return is +1.61%. At this rate, your investment would double in approximately 3.6 years.

Historically, 68% of months were positive and 32% were negative. The best month was Apr 2008 with a return of +14.8%, while the worst month was Oct 2008 at -17.4%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 4 months.

On a daily basis, good sharpe portfolio closed higher 56% of trading days. The best single day was Oct 13, 2008 with a return of +11.7%, while the worst single day was Mar 16, 2020 at -11.1%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	0.69%	3.88%	-8.37%	1.14%									-3.07%
2025	6.68%	5.38%	-2.12%	1.97%	6.36%	-0.82%	-3.59%	1.62%	0.12%	-4.77%	3.72%	-0.66%	13.91%
2024	4.83%	7.61%	4.18%	-1.50%	4.08%	0.60%	3.56%	7.65%	-0.13%	0.36%	9.86%	-8.36%	36.37%
2023	5.34%	-0.04%	2.44%	0.83%	-1.43%	9.32%	1.33%	1.42%	-2.69%	1.64%	9.67%	4.29%	36.25%
2022	-4.71%	-2.49%	5.87%	-5.82%	-0.59%	-4.45%	11.04%	-2.49%	-6.96%	8.94%	4.97%	-5.34%	-4.01%
2021	-7.28%	2.44%	6.20%	5.93%	0.04%	2.32%	3.97%	1.73%	-3.94%	7.54%	0.59%	7.93%	29.75%

Benchmark Metrics

good sharpe portfolio has an annualized alpha of 10.39%, beta of 0.92, and R² of 0.84 versus S&P 500 Index. Calculated based on daily prices since March 20, 2008.

This portfolio captured 116.67% of S&P 500 Index gains but only 72.98% of its losses — a favorable profile for investors.
This portfolio generated an annualized alpha of 10.39% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
With beta of 0.92 and R² of 0.84, 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: 10.39%

Beta: 0.92

R²: 0.84

Upside Capture: 116.67%

Downside Capture: 72.98%

Expense Ratio

good sharpe portfolio 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

good sharpe portfolio ranks 4 for risk / return — in the bottom 4% of portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

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	-0.06	0.88	-0.94
Sortino ratio Return per unit of downside risk	0.03	1.37	-1.33
Omega ratio Gain probability vs. loss probability	1.00	1.21	-0.20
Calmar ratio Return relative to maximum drawdown	-0.00	1.39	-1.39
Martin ratio Return relative to average drawdown	-0.00	6.43	-6.43
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
CTAS Cintas Corporation	14	-0.74	-0.92	0.88	-0.58	-1.24
COST Costco Wholesale Corporation	46	0.29	0.56	1.07	0.36	0.72
PH Parker-Hannifin Corporation	83	1.49	2.08	1.31	2.83	10.67
V Visa Inc.	16	-0.53	-0.59	0.92	-0.61	-1.33
RSG Republic Services, Inc.	23	-0.42	-0.45	0.94	-0.35	-0.60
BRO Brown & Brown, Inc.	2	-1.65	-2.39	0.68	-0.96	-1.58
APH Amphenol Corporation	88	2.20	2.57	1.39	3.37	11.48
PGR The Progressive Corporation	6	-1.04	-1.35	0.83	-0.91	-1.47

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.

good sharpe portfolio Sharpe ratios as of Apr 4, 2026 (values are recalculated daily):

1-Year: -0.06
5-Year: 1.25
10-Year: 1.26
All Time: 0.99

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 0.99 to 1.69, 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 good sharpe portfolio 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

good sharpe portfolio provided a 1.62% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.62%	0.95%	0.70%	1.11%	0.97%	1.51%	1.52%	1.42%	1.37%	1.60%	1.43%	1.96%
Portfolio components:
CTAS Cintas Corporation	1.00%	0.89%	0.80%	0.83%	0.93%	0.77%	0.99%	0.95%	1.22%	1.04%	1.15%	1.15%
COST Costco Wholesale Corporation	0.51%	0.59%	0.49%	2.87%	0.76%	0.54%	3.38%	0.86%	1.08%	4.81%	1.09%	4.06%
PH Parker-Hannifin Corporation	0.79%	0.80%	1.00%	1.25%	1.73%	1.25%	1.29%	1.65%	1.97%	1.32%	1.80%	2.60%
V Visa Inc.	0.84%	0.70%	0.68%	0.72%	0.76%	0.62%	0.56%	0.56%	0.67%	0.61%	0.75%	0.64%
RSG Republic Services, Inc.	1.10%	1.12%	0.82%	1.25%	1.48%	1.27%	1.72%	1.74%	2.00%	1.97%	2.17%	2.64%
BRO Brown & Brown, Inc.	0.96%	0.77%	0.53%	0.67%	0.74%	0.54%	0.73%	0.82%	1.11%	1.08%	1.12%	1.41%
APH Amphenol Corporation	0.65%	0.55%	0.79%	1.07%	1.06%	0.89%	0.80%	0.89%	1.09%	0.80%	0.86%	1.01%
PGR The Progressive Corporation	7.12%	2.15%	0.48%	0.25%	0.31%	6.23%	2.68%	3.89%	1.86%	1.21%	2.50%	2.16%

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 good sharpe 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 good sharpe portfolio was 45.58%, occurring on Mar 9, 2009. Recovery took 277 trading sessions.

The current good sharpe portfolio drawdown is 7.98%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-45.58%	Jun 6, 2008	190	Mar 9, 2009	277	Apr 14, 2010	467
-33.89%	Feb 20, 2020	23	Mar 23, 2020	95	Aug 6, 2020	118
-21.88%	Jul 8, 2011	22	Aug 8, 2011	113	Jan 19, 2012	135
-18.49%	Sep 14, 2018	70	Dec 24, 2018	45	Mar 1, 2019	115
-17.25%	Dec 30, 2021	118	Jun 17, 2022	38	Aug 12, 2022	156

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 8 assets, with an effective number of assets of 8.00, 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

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

	Benchmark	COST	PGR	RSG	V	BRO	PH	APH	CTAS	Portfolio
Benchmark	1.00	0.55	0.52	0.53	0.64	0.58	0.71	0.74	0.69	0.85
COST	0.55	1.00	0.37	0.40	0.38	0.39	0.35	0.42	0.46	0.61
PGR	0.52	0.37	1.00	0.45	0.39	0.51	0.41	0.39	0.46	0.66
RSG	0.53	0.40	0.45	1.00	0.39	0.48	0.41	0.42	0.55	0.66
V	0.64	0.38	0.39	0.39	1.00	0.47	0.46	0.48	0.50	0.69
BRO	0.58	0.39	0.51	0.48	0.47	1.00	0.45	0.44	0.53	0.71
PH	0.71	0.35	0.41	0.41	0.46	0.45	1.00	0.61	0.55	0.74
APH	0.74	0.42	0.39	0.42	0.48	0.44	0.61	1.00	0.56	0.74
CTAS	0.69	0.46	0.46	0.55	0.50	0.53	0.55	0.56	1.00	0.78
Portfolio	0.85	0.61	0.66	0.66	0.69	0.71	0.74	0.74	0.78	1.00

The correlation results are calculated based on daily price changes starting from Mar 20, 2008

good sharpe portfolio

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