Big Cap Leaders PORTFOLIOLABS screen

Asset Allocation

Position	Category/Sector	Target Weight
AXP American Express Company	Financial Services	4.17%
BKNG Booking Holdings Inc.	Consumer Cyclical	4.17%
BRK-B Berkshire Hathaway Inc.	Financial Services	4.17%
COST Costco Wholesale Corporation	Consumer Defensive	4.17%
ETN Eaton Corporation plc	Industrials	4.17%
GE General Electric Company	Industrials	4.17%
GS The Goldman Sachs Group, Inc.	Financial Services	4.17%
ISRG Intuitive Surgical, Inc.	Healthcare	4.17%
JPM JPMorgan Chase & Co.	Financial Services	4.17%
KKR KKR & Co. Inc.	Financial Services	4.17%
META Meta Platforms, Inc.	Communication Services	4.17%
MS Morgan Stanley	Financial Services	4.17%
NFLX Netflix, Inc.	Communication Services	4.17%
NVDA NVIDIA Corporation	Technology	4.17%
PGR The Progressive Corporation	Financial Services	4.17%
PM Philip Morris International Inc.	Consumer Defensive	4.17%
RTX Raytheon Technologies Corporation	Industrials	4.17%
RY Royal Bank of Canada	Financial Services	4.17%
SAP SAP SE	Technology	4.17%
TJX The TJX Companies, Inc.	Consumer Cyclical	4.17%
TMUS T-Mobile US, Inc.	Communication Services	4.17%
TSM Taiwan Semiconductor Manufacturing Company Limited	Technology	4.17%
WFC Wells Fargo & Company	Financial Services	4.17%
WMT Walmart Inc.	Consumer Defensive	4.17%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Big Cap Leaders PORTFOLIOLABS screen, 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 May 18, 2012, corresponding to the inception date of META

Returns By Period

As of Apr 15, 2026, the Big Cap Leaders PORTFOLIOLABS screen returned 0.20% Year-To-Date and 23.68% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	1.18%	5.05%	1.78%	4.86%	28.88%	18.97%	10.81%	12.85%
Portfolio Big Cap Leaders PORTFOLIOLABS screen	0.69%	4.69%	0.20%	2.99%	27.04%	35.66%	23.61%	23.68%
Portfolio components:
NVDA NVIDIA Corporation	3.80%	9.02%	5.37%	9.17%	77.54%	94.43%	64.94%	71.19%
NFLX Netflix, Inc.	3.02%	11.51%	13.35%	-12.55%	14.12%	46.41%	14.11%	25.29%
PGR The Progressive Corporation	-1.49%	-4.13%	-8.14%	-12.98%	-24.85%	16.56%	16.97%	22.74%
TSM Taiwan Semiconductor Manufacturing Company Limited	2.79%	12.61%	25.36%	29.06%	146.72%	65.74%	28.37%	34.35%
ISRG Intuitive Surgical, Inc.	1.80%	-1.05%	-17.50%	7.06%	-4.67%	20.50%	11.74%	21.02%
KKR KKR & Co. Inc.	2.33%	16.87%	-21.08%	-20.01%	-2.01%	25.53%	14.65%	24.27%
TMUS T-Mobile US, Inc.	-1.26%	-12.60%	-5.97%	-16.37%	-26.42%	9.72%	8.49%	17.53%
COST Costco Wholesale Corporation	-0.62%	-3.33%	13.20%	3.28%	0.08%	27.37%	22.79%	22.41%
META Meta Platforms, Inc.	4.41%	8.04%	0.45%	-6.36%	25.04%	44.46%	16.75%	19.80%
ETN Eaton Corporation plc	-0.36%	13.08%	26.57%	7.99%	46.43%	37.30%	25.38%	23.30%

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

Monthly Returns

Based on dividend-adjusted daily data since May 21, 2012, Big Cap Leaders PORTFOLIOLABS screen's average daily return is +0.10%, while the average monthly return is +1.99%. At this rate, an investment would double in approximately 2.9 years.

Historically, 70% of months were positive and 30% were negative. The best month was May 2013 with a return of +24.6%, while the worst month was Mar 2020 at -13.1%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Big Cap Leaders PORTFOLIOLABS screen closed higher 56% of trading days. The best single day was May 1, 2013 with a return of +14.6%, while the worst single day was Mar 16, 2020 at -12.2%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	-0.22%	0.13%	-4.79%	5.34%									0.20%
2025	7.57%	0.82%	-6.46%	3.00%	7.67%	5.85%	-0.28%	1.59%	2.42%	-0.98%	0.98%	1.79%	25.77%
2024	5.55%	8.32%	5.12%	-1.73%	8.09%	2.39%	3.55%	5.77%	1.86%	3.31%	9.30%	-4.58%	57.12%
2023	11.54%	0.44%	2.38%	2.61%	0.85%	7.34%	3.00%	-1.01%	-3.68%	-1.62%	10.74%	6.75%	45.53%
2022	-2.99%	-3.43%	0.44%	-10.11%	1.66%	-10.54%	9.61%	-3.01%	-8.45%	11.41%	10.37%	-5.59%	-13.09%
2021	-2.95%	6.95%	4.13%	7.03%	2.90%	1.88%	1.43%	4.15%	-4.27%	6.46%	-3.59%	4.19%	31.15%

Benchmark Metrics

Big Cap Leaders PORTFOLIOLABS screen has an annualized alpha of 10.96%, beta of 1.02, and R² of 0.85 versus S&P 500 Index. Calculated based on daily prices since May 21, 2012.

This portfolio captured 138.57% of S&P 500 Index gains but only 84.42% of its losses — a favorable profile for investors.
This portfolio generated an annualized alpha of 10.96% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
With beta of 1.02 and R² of 0.85, 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: 10.96%

Beta: 1.02

R²: 0.85

Upside Capture: 138.57%

Downside Capture: 84.42%

Expense Ratio

Big Cap Leaders PORTFOLIOLABS screen 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

Big Cap Leaders PORTFOLIOLABS screen ranks 29 for risk / return — below 29% 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	2.09	2.20	-0.11
Sortino ratio Return per unit of downside risk	2.97	3.07	-0.10
Omega ratio Gain probability vs. loss probability	1.37	1.41	-0.04
Calmar ratio Return relative to maximum drawdown	3.15	3.55	-0.39
Martin ratio Return relative to average drawdown	12.04	16.01	-3.97
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
NVDA NVIDIA Corporation	82	2.25	2.81	1.35	4.09	10.23
NFLX Netflix, Inc.	42	0.44	0.84	1.11	0.35	0.73
PGR The Progressive Corporation	6	-1.10	-1.49	0.83	-0.79	-1.25
TSM Taiwan Semiconductor Manufacturing Company Limited	96	4.25	4.62	1.58	8.51	31.26
ISRG Intuitive Surgical, Inc.	25	-0.16	-0.04	1.00	-0.19	-0.34
KKR KKR & Co. Inc.	30	-0.05	0.19	1.02	-0.02	-0.04
TMUS T-Mobile US, Inc.	5	-1.02	-1.33	0.83	-0.81	-1.44
COST Costco Wholesale Corporation	31	0.00	0.14	1.02	0.08	0.17
META Meta Platforms, Inc.	50	0.71	1.28	1.16	0.65	1.59
ETN Eaton Corporation plc	71	1.54	2.09	1.27	2.63	5.93

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.

Big Cap Leaders PORTFOLIOLABS screen Sharpe ratios as of Apr 15, 2026 (values are recalculated daily):

1-Year: 2.09
5-Year: 1.32
10-Year: 1.22
All Time: 1.36

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 2.99, 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 Big Cap Leaders PORTFOLIOLABS screen 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

Big Cap Leaders PORTFOLIOLABS screen provided a 1.41% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.41%	1.15%	1.23%	1.54%	1.53%	1.46%	2.40%	1.86%	2.11%	1.76%	1.77%	2.31%
Portfolio components:
NVDA NVIDIA Corporation	0.02%	0.02%	0.03%	0.03%	0.11%	0.05%	0.12%	0.27%	0.46%	0.29%	0.45%	1.20%
NFLX Netflix, 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%
PGR The Progressive Corporation	7.07%	2.15%	0.48%	0.25%	0.31%	6.23%	2.68%	3.89%	1.86%	1.21%	2.50%	2.16%
TSM Taiwan Semiconductor Manufacturing Company Limited	0.87%	1.00%	1.18%	1.78%	2.49%	1.57%	1.56%	3.46%	3.64%	2.32%	2.61%	2.54%
ISRG Intuitive Surgical, 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%
KKR KKR & Co. Inc.	0.74%	0.57%	0.47%	0.78%	1.31%	0.77%	1.31%	1.71%	3.23%	3.18%	4.16%	10.13%
TMUS T-Mobile US, Inc.	2.00%	1.80%	1.28%	0.41%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
COST Costco Wholesale Corporation	0.53%	0.59%	0.49%	2.87%	0.76%	0.54%	3.38%	0.86%	1.08%	4.81%	1.09%	4.06%
META Meta Platforms, Inc.	0.32%	0.32%	0.34%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
ETN Eaton Corporation plc	1.05%	1.31%	1.13%	1.43%	2.06%	1.76%	1.88%	3.00%	3.85%	3.04%	3.40%	4.23%

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 Big Cap Leaders PORTFOLIOLABS screen. 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 Big Cap Leaders PORTFOLIOLABS screen was 34.15%, occurring on Mar 23, 2020. Recovery took 109 trading sessions.

The current Big Cap Leaders PORTFOLIOLABS screen drawdown is 2.08%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-34.15%	Feb 20, 2020	23	Mar 23, 2020	109	Aug 26, 2020	132
-27.05%	Jan 5, 2022	194	Oct 12, 2022	137	May 1, 2023	331
-24.15%	Sep 21, 2018	65	Dec 24, 2018	89	May 3, 2019	154
-17.74%	Feb 19, 2025	35	Apr 8, 2025	26	May 15, 2025	61
-14.13%	Nov 9, 2015	65	Feb 11, 2016	34	Apr 1, 2016	99

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 24 assets, with an effective number of assets of 24.00, 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	WMT	PM	TMUS	NFLX	PGR	META	COST	TSM	NVDA	ISRG	TJX	SAP	GE	RTX	BKNG	RY	KKR	WFC	ETN	BRK-B	AXP	JPM	MS	GS	Portfolio
Benchmark	1.00	0.39	0.38	0.40	0.47	0.43	0.56	0.53	0.58	0.61	0.61	0.53	0.60	0.54	0.56	0.59	0.60	0.62	0.59	0.68	0.67	0.68	0.65	0.67	0.68	0.91
WMT	0.39	1.00	0.30	0.24	0.18	0.30	0.17	0.57	0.16	0.18	0.23	0.36	0.24	0.23	0.28	0.19	0.22	0.19	0.22	0.25	0.36	0.25	0.24	0.22	0.23	0.38
PM	0.38	0.30	1.00	0.25	0.14	0.31	0.15	0.29	0.17	0.11	0.21	0.29	0.27	0.27	0.32	0.26	0.32	0.19	0.29	0.26	0.39	0.29	0.28	0.28	0.27	0.39
TMUS	0.40	0.24	0.25	1.00	0.24	0.30	0.24	0.28	0.18	0.25	0.26	0.29	0.27	0.21	0.27	0.28	0.26	0.27	0.25	0.25	0.33	0.28	0.26	0.25	0.27	0.43
NFLX	0.47	0.18	0.14	0.24	1.00	0.18	0.45	0.28	0.32	0.42	0.35	0.25	0.33	0.21	0.20	0.37	0.24	0.33	0.19	0.26	0.26	0.27	0.24	0.28	0.28	0.51
PGR	0.43	0.30	0.31	0.30	0.18	1.00	0.19	0.33	0.15	0.17	0.27	0.32	0.26	0.29	0.39	0.25	0.31	0.28	0.37	0.32	0.51	0.38	0.40	0.34	0.34	0.46
META	0.56	0.17	0.15	0.24	0.45	0.19	1.00	0.30	0.37	0.47	0.41	0.29	0.39	0.28	0.22	0.42	0.29	0.38	0.25	0.33	0.29	0.34	0.30	0.33	0.33	0.56
COST	0.53	0.57	0.29	0.28	0.28	0.33	0.30	1.00	0.28	0.31	0.37	0.43	0.33	0.26	0.30	0.28	0.28	0.30	0.26	0.31	0.40	0.33	0.28	0.28	0.30	0.50
TSM	0.58	0.16	0.17	0.18	0.32	0.15	0.37	0.28	1.00	0.57	0.37	0.27	0.43	0.33	0.28	0.39	0.39	0.40	0.31	0.44	0.30	0.38	0.35	0.41	0.40	0.59
NVDA	0.61	0.18	0.11	0.25	0.42	0.17	0.47	0.31	0.57	1.00	0.44	0.26	0.41	0.31	0.26	0.39	0.30	0.41	0.27	0.42	0.28	0.36	0.32	0.39	0.38	0.61
ISRG	0.61	0.23	0.21	0.26	0.35	0.27	0.41	0.37	0.37	0.44	1.00	0.34	0.44	0.28	0.32	0.40	0.33	0.42	0.29	0.39	0.38	0.40	0.33	0.36	0.35	0.59
TJX	0.53	0.36	0.29	0.29	0.25	0.32	0.29	0.43	0.27	0.26	0.34	1.00	0.32	0.36	0.39	0.39	0.36	0.35	0.39	0.39	0.46	0.43	0.41	0.41	0.41	0.56
SAP	0.60	0.24	0.27	0.27	0.33	0.26	0.39	0.33	0.43	0.41	0.44	0.32	1.00	0.34	0.33	0.42	0.42	0.40	0.31	0.40	0.39	0.41	0.35	0.39	0.40	0.59
GE	0.54	0.23	0.27	0.21	0.21	0.29	0.28	0.26	0.33	0.31	0.28	0.36	0.34	1.00	0.48	0.39	0.42	0.40	0.47	0.52	0.46	0.47	0.50	0.49	0.49	0.61
RTX	0.56	0.28	0.32	0.27	0.20	0.39	0.22	0.30	0.28	0.26	0.32	0.39	0.33	0.48	1.00	0.37	0.44	0.39	0.45	0.51	0.53	0.50	0.49	0.47	0.46	0.59
BKNG	0.59	0.19	0.26	0.28	0.37	0.25	0.42	0.28	0.39	0.39	0.40	0.39	0.42	0.39	0.37	1.00	0.41	0.44	0.40	0.43	0.43	0.48	0.43	0.45	0.46	0.64
RY	0.60	0.22	0.32	0.26	0.24	0.31	0.29	0.28	0.39	0.30	0.33	0.36	0.42	0.42	0.44	0.41	1.00	0.44	0.53	0.48	0.52	0.52	0.56	0.55	0.55	0.63
KKR	0.62	0.19	0.19	0.27	0.33	0.28	0.38	0.30	0.40	0.41	0.42	0.35	0.40	0.40	0.39	0.44	0.44	1.00	0.46	0.50	0.45	0.54	0.48	0.54	0.55	0.68
WFC	0.59	0.22	0.29	0.25	0.19	0.37	0.25	0.26	0.31	0.27	0.29	0.39	0.31	0.47	0.45	0.40	0.53	0.46	1.00	0.48	0.61	0.64	0.76	0.70	0.69	0.66
ETN	0.68	0.25	0.26	0.25	0.26	0.32	0.33	0.31	0.44	0.42	0.39	0.39	0.40	0.52	0.51	0.43	0.48	0.50	0.48	1.00	0.52	0.52	0.55	0.55	0.55	0.70
BRK-B	0.67	0.36	0.39	0.33	0.26	0.51	0.29	0.40	0.30	0.28	0.38	0.46	0.39	0.46	0.53	0.43	0.52	0.45	0.61	0.52	1.00	0.62	0.67	0.62	0.62	0.70
AXP	0.68	0.25	0.29	0.28	0.27	0.38	0.34	0.33	0.38	0.36	0.40	0.43	0.41	0.47	0.50	0.48	0.52	0.54	0.64	0.52	0.62	1.00	0.67	0.64	0.65	0.73
JPM	0.65	0.24	0.28	0.26	0.24	0.40	0.30	0.28	0.35	0.32	0.33	0.41	0.35	0.50	0.49	0.43	0.56	0.48	0.76	0.55	0.67	0.67	1.00	0.77	0.77	0.72
MS	0.67	0.22	0.28	0.25	0.28	0.34	0.33	0.28	0.41	0.39	0.36	0.41	0.39	0.49	0.47	0.45	0.55	0.54	0.70	0.55	0.62	0.64	0.77	1.00	0.84	0.75
GS	0.68	0.23	0.27	0.27	0.28	0.34	0.33	0.30	0.40	0.38	0.35	0.41	0.40	0.49	0.46	0.46	0.55	0.55	0.69	0.55	0.62	0.65	0.77	0.84	1.00	0.75
Portfolio	0.91	0.38	0.39	0.43	0.51	0.46	0.56	0.50	0.59	0.61	0.59	0.56	0.59	0.61	0.59	0.64	0.63	0.68	0.66	0.70	0.70	0.73	0.72	0.75	0.75	1.00

The correlation results are calculated based on daily price changes starting from May 21, 2012

Big Cap Leaders PORTFOLIOLABS screen

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