High Sharpe Ratio Stocks

The chart shows the growth of an initial investment of $10,000 in High Sharpe Ratio Stocks, 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 never rebalanced.

Based on dividend-adjusted daily data since Sep 30, 2020, High Sharpe Ratio Stocks's average daily return is +0.13%, while the average monthly return is +2.71%. At this rate, an investment would double in approximately 2.2 years.

Historically, 69% of months were positive and 31% were negative. The best month was Nov 2020 with a return of +25.6%, while the worst month was Jun 2022 at -10.7%. The longest winning streak lasted 13 consecutive months, and the longest losing streak was 3 months.

On a daily basis, High Sharpe Ratio Stocks closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +11.6%, while the worst single day was Jan 27, 2025 at -8.8%.

High Sharpe Ratio Stocks has an annualized alpha of 17.23%, beta of 1.12, and R2 of 0.68 versus S&P 500 Index. Calculated based on daily prices since September 30, 2020.

• This portfolio captured 144.54% of S&P 500 Index gains but only 65.21% of its losses - a favorable profile for investors.
• This portfolio generated an annualized alpha of 17.23% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
• With beta of 1.12 and R2 of 0.68, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.

High Sharpe Ratio Stocks 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.

High Sharpe Ratio Stocks ranks 6 for risk / return — in the bottom 6% 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.

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. Learn how to interpret the Sharpe ratio.

The current High Sharpe Ratio Stocks Sharpe ratio is 0.15 as of Jun 23, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.66 to 2.59, 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 High Sharpe Ratio Stocks compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

High Sharpe Ratio Stocks provided a 1.84% dividend yield over the last twelve months.

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.

The table below displays the maximum drawdowns of the High Sharpe Ratio Stocks. 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 Sharpe Ratio Stocks was 25.62%, occurring on Apr 4, 2025. Recovery took 29 trading sessions.

The current High Sharpe Ratio Stocks drawdown is 8.28%.

The chart below shows the rolling one-month volatility.