Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AMGN Amgen Inc. | Healthcare | 20% |
COST Costco Wholesale Corporation | Consumer Defensive | 20% |
KO The Coca-Cola Company | Consumer Defensive | 20% |
LLY Eli Lilly and Company | Healthcare | 20% |
PEP PepsiCo, Inc. | Consumer Defensive | 20% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Consumer: Health, Staples, Discretionary, 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 Sep 22, 1993, corresponding to the inception date of COST
Returns By Period
As of Apr 3, 2026, the Consumer: Health, Staples, Discretionary returned 6.80% Year-To-Date and 17.28% of annualized return in the last 10 years.
| 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 Consumer: Health, Staples, Discretionary | 0.10% | -3.84% | 6.80% | 16.95% | 14.25% | 20.00% | 19.41% | 17.28% |
| Portfolio components: | ||||||||
COST Costco Wholesale Corporation | 1.85% | 0.71% | 17.86% | 11.02% | 5.74% | 28.60% | 24.74% | 22.54% |
LLY Eli Lilly and Company | -1.98% | -7.16% | -12.80% | 14.47% | 15.19% | 39.72% | 39.64% | 31.19% |
AMGN Amgen Inc. | -1.51% | -7.71% | 7.04% | 18.64% | 17.39% | 16.07% | 10.31% | 11.72% |
PEP PepsiCo, Inc. | 1.53% | -3.94% | 10.38% | 12.40% | 9.51% | -1.63% | 5.35% | 7.43% |
KO The Coca-Cola Company | 0.84% | -2.64% | 10.50% | 17.69% | 10.67% | 10.37% | 11.14% | 8.39% |
Monthly Returns
Based on dividend-adjusted daily data since Sep 23, 1993, Consumer: Health, Staples, Discretionary's average daily return is +0.06%, while the average monthly return is +1.28%. At this rate, your investment would double in approximately 4.5 years.
Historically, 61% of months were positive and 39% were negative. The best month was Jun 2000 with a return of +14.2%, while the worst month was Aug 1998 at -16.6%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 6 months.
On a daily basis, Consumer: Health, Staples, Discretionary closed higher 53% of trading days. The best single day was Oct 13, 2008 with a return of +11.2%, while the worst single day was Aug 31, 1998 at -9.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.84% | 8.70% | -7.11% | 0.89% | 6.80% | ||||||||
| 2025 | 4.51% | 8.78% | -3.89% | -0.18% | -3.53% | -0.63% | -0.80% | 1.54% | -1.57% | 5.14% | 10.46% | -3.24% | 16.49% |
| 2024 | 5.06% | 2.45% | 2.73% | -0.58% | 5.87% | 3.19% | 0.32% | 7.17% | -2.55% | -3.97% | -1.25% | -5.10% | 13.24% |
| 2023 | -1.35% | -4.67% | 5.46% | 4.78% | -1.31% | 4.12% | 2.11% | 4.42% | -0.95% | -1.34% | 5.76% | 4.19% | 22.60% |
| 2022 | -3.65% | 0.34% | 6.86% | -0.46% | 0.52% | 0.15% | 4.74% | -3.86% | -4.54% | 11.27% | 5.23% | -5.48% | 10.12% |
| 2021 | 0.35% | -3.34% | 4.53% | 0.85% | 3.28% | 4.44% | 5.05% | 1.08% | -5.38% | 6.42% | -0.53% | 10.18% | 29.26% |
Benchmark Metrics
Consumer: Health, Staples, Discretionary has an annualized alpha of 9.45%, beta of 0.69, and R² of 0.51 versus S&P 500 Index. Calculated based on daily prices since September 23, 1993.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (87.22%) than losses (52.38%) — typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 9.45% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.69 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
- 9.45%
- Beta
- 0.69
- R²
- 0.51
- Upside Capture
- 87.22%
- Downside Capture
- 52.38%
Expense Ratio
Consumer: Health, Staples, Discretionary 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.
Return for Risk
Risk / Return Rank
Consumer: Health, Staples, Discretionary 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.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.83 | 0.88 | -0.05 |
Sortino ratioReturn per unit of downside risk | 1.29 | 1.37 | -0.07 |
Omega ratioGain probability vs. loss probability | 1.16 | 1.21 | -0.05 |
Calmar ratioReturn relative to maximum drawdown | 1.58 | 1.39 | +0.20 |
Martin ratioReturn relative to average drawdown | 3.77 | 6.43 | -2.66 |
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 | |
|---|---|---|---|---|---|---|
COST Costco Wholesale Corporation | 45 | 0.29 | 0.56 | 1.07 | 0.36 | 0.72 |
LLY Eli Lilly and Company | 51 | 0.36 | 0.78 | 1.11 | 0.56 | 1.37 |
AMGN Amgen Inc. | 59 | 0.60 | 1.07 | 1.13 | 1.10 | 2.65 |
PEP PepsiCo, Inc. | 51 | 0.42 | 0.81 | 1.09 | 0.60 | 1.23 |
KO The Coca-Cola Company | 58 | 0.64 | 1.06 | 1.12 | 1.00 | 2.03 |
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Dividends
Dividend yield
Consumer: Health, Staples, Discretionary provided a 2.05% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.05% | 2.18% | 2.25% | 2.53% | 2.01% | 2.04% | 2.72% | 2.18% | 2.46% | 3.16% | 2.56% | 2.84% |
| Portfolio components: | ||||||||||||
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% |
LLY Eli Lilly and Company | 0.67% | 0.56% | 0.67% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.94% | 2.46% | 2.77% | 2.37% |
AMGN Amgen Inc. | 2.78% | 2.91% | 3.45% | 2.96% | 2.95% | 3.13% | 2.78% | 2.41% | 2.71% | 2.65% | 2.74% | 1.95% |
PEP PepsiCo, Inc. | 3.62% | 3.92% | 3.51% | 2.91% | 2.50% | 2.45% | 2.71% | 2.77% | 3.25% | 2.64% | 2.83% | 2.76% |
KO The Coca-Cola Company | 2.69% | 2.92% | 3.12% | 3.12% | 2.77% | 2.84% | 2.99% | 2.89% | 3.29% | 3.23% | 3.38% | 3.07% |
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 Consumer: Health, Staples, Discretionary. 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 Consumer: Health, Staples, Discretionary was 35.68%, occurring on Mar 9, 2009. Recovery took 449 trading sessions.
The current Consumer: Health, Staples, Discretionary drawdown is 6.28%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -35.68% | Dec 7, 2007 | 314 | Mar 9, 2009 | 449 | Dec 16, 2010 | 763 |
| -31.23% | Feb 13, 2001 | 359 | Jul 23, 2002 | 390 | Feb 9, 2004 | 749 |
| -21.8% | Feb 24, 2020 | 21 | Mar 23, 2020 | 78 | Jul 14, 2020 | 99 |
| -21.73% | Jan 20, 2000 | 38 | Mar 14, 2000 | 72 | Jun 26, 2000 | 110 |
| -20.33% | Jul 22, 1998 | 29 | Aug 31, 1998 | 44 | Nov 2, 1998 | 73 |
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 5 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | COST | AMGN | LLY | PEP | KO | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.51 | 0.46 | 0.45 | 0.41 | 0.44 | 0.65 |
| COST | 0.51 | 1.00 | 0.27 | 0.28 | 0.28 | 0.28 | 0.62 |
| AMGN | 0.46 | 0.27 | 1.00 | 0.36 | 0.28 | 0.27 | 0.67 |
| LLY | 0.45 | 0.28 | 0.36 | 1.00 | 0.30 | 0.31 | 0.67 |
| PEP | 0.41 | 0.28 | 0.28 | 0.30 | 1.00 | 0.53 | 0.62 |
| KO | 0.44 | 0.28 | 0.27 | 0.31 | 0.53 | 1.00 | 0.61 |
| Portfolio | 0.65 | 0.62 | 0.67 | 0.67 | 0.62 | 0.61 | 1.00 |