2026-04-28

Asset Allocation

Position	Category/Sector	Target Weight
IP International Paper Company	Consumer Cyclical	12.50%
KTOS Kratos Defense & Security Solutions, Inc.	Industrials	12.50%
T AT&T Inc.	Communication Services	12.50%
TSCO Tractor Supply Company	Consumer Cyclical	12.50%
CAG Conagra Brands, Inc.	Consumer Defensive	12.50%
GILD Gilead Sciences, Inc.	Healthcare	12.50%
CPB Campbell Soup Company	Consumer Defensive	12.50%
VALE Vale S.A.	Basic Materials	12.50%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 2026-04-28 , 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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Returns By Period

As of Jun 13, 2026, the 2026-04-28 returned -9.70% Year-To-Date and 11.04% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.50%	0.31%	8.56%	8.85%	24.33%	19.37%	11.84%	13.61%
Portfolio 2026-04-28	1.14%	5.06%	-9.70%	-9.71%	0.48%	10.75%	4.63%	11.04%
Portfolio components:
CAG Conagra Brands, Inc.	2.16%	2.31%	-17.02%	-19.07%	-30.79%	-21.83%	-13.84%	-5.70%
CPB Campbell Soup Company	0.35%	13.99%	-15.45%	-18.01%	-26.35%	-17.59%	-9.79%	-6.46%
GILD Gilead Sciences, Inc.	-0.22%	-3.08%	2.90%	5.60%	16.40%	21.02%	17.08%	7.84%
IP International Paper Company	3.43%	21.24%	-5.93%	-3.85%	-17.46%	9.44%	-5.62%	3.48%
KTOS Kratos Defense & Security Solutions, Inc.	-1.75%	10.87%	-23.92%	-23.97%	38.29%	60.38%	17.13%	30.83%
T AT&T Inc.	2.52%	-1.87%	-2.96%	-1.93%	-12.71%	20.58%	7.38%	3.33%
TSCO Tractor Supply Company	-0.03%	3.05%	-36.72%	-39.11%	-38.10%	-8.75%	-1.51%	7.06%
VALE Vale S.A.	2.28%	-3.74%	20.57%	23.80%	74.77%	12.85%	2.38%	22.05%

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

Monthly Returns

Based on dividend-adjusted daily data since Mar 21, 2002, 2026-04-28 's average daily return is +0.05%, while the average monthly return is +1.07%. At this rate, an investment would double in approximately 5.4 years.

Historically, 60% of months were positive and 40% were negative. The best month was Nov 2002 with a return of +16.7%, while the worst month was Feb 2009 at -14.7%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.

On a daily basis, 2026-04-28 closed higher 53% of trading days. The best single day was Oct 13, 2008 with a return of +9.6%, while the worst single day was Mar 12, 2020 at -10.3%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	12.08%	1.29%	-11.53%	-8.88%	-0.51%	-0.83%							-9.70%
2025	4.44%	1.99%	2.76%	-4.48%	-0.02%	3.93%	3.20%	6.69%	3.72%	-2.79%	0.98%	-2.60%	18.63%
2024	-1.95%	-0.23%	3.39%	-1.74%	6.73%	-2.22%	4.90%	3.41%	5.14%	-1.26%	3.57%	-4.47%	15.56%
2023	5.29%	-3.14%	2.42%	-3.26%	-7.97%	2.21%	2.45%	-2.55%	-2.44%	1.77%	6.43%	4.17%	4.46%
2022	-0.73%	1.76%	3.25%	-4.52%	2.67%	-4.19%	-1.53%	-2.18%	-7.68%	12.89%	6.43%	0.49%	5.19%
2021	0.74%	0.32%	7.92%	3.37%	1.29%	1.76%	-4.22%	-0.66%	-3.74%	-3.93%	-2.64%	6.83%	6.34%

Benchmark Metrics

2026-04-28 has an annualized alpha of 5.65%, beta of 0.82, and R2 of 0.64 versus S&P 500 Index. Calculated based on daily prices since March 21, 2002.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (98.40%) than losses (79.50%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 5.65% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.

Alpha: 5.65%

Beta: 0.82

R²: 0.64

Upside Capture: 98.40%

Downside Capture: 79.50%

See how alpha, beta & R² have trended over time →

Expense Ratio

2026-04-28 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

2026-04-28 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

The table below presents risk-adjusted performance metrics for 2026-04-28 and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	-0.03	1.86	-1.89
Sortino ratioReturn per unit of downside risk	0.09	2.53	-2.44
Omega ratioGain probability vs. loss probability	1.01	1.34	-0.33
Calmar ratioReturn relative to maximum drawdown	-0.02	2.53	-2.55
Martin ratioReturn relative to average drawdown	-0.04	11.37	-11.41

How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
CAG Conagra Brands, Inc.	4	-1.17	-1.69	0.81	-0.90	-1.81
CPB Campbell Soup Company	10	-0.94	-1.29	0.85	-0.72	-1.33
GILD Gilead Sciences, Inc.	58	0.57	1.03	1.12	0.70	1.99
IP International Paper Company	24	-0.46	-0.40	0.95	-0.43	-0.78
KTOS Kratos Defense & Security Solutions, Inc.	59	0.56	1.25	1.15	0.67	1.34
T AT&T Inc.	17	-0.59	-0.72	0.92	-0.59	-1.22
TSCO Tractor Supply Company	6	-1.25	-1.75	0.78	-0.73	-1.67
VALE Vale S.A.	89	2.30	2.85	1.37	3.71	12.21

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. Learn how to interpret the Sharpe ratio.

The current 2026-04-28 Sharpe ratio is -0.03 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.53 to 2.41, 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 2026-04-28 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

2026-04-28 provided a 4.43% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	4.43%	4.32%	4.16%	4.16%	3.95%	5.48%	3.15%	2.86%	3.66%	2.68%	5.53%	3.03%
Portfolio components:
CAG Conagra Brands, Inc.	10.19%	8.09%	5.05%	4.75%	3.32%	3.44%	2.52%	2.48%	3.98%	2.19%	29.36%	2.37%
CPB Campbell Soup Company	6.84%	5.60%	3.53%	3.42%	2.61%	3.41%	2.90%	2.83%	4.24%	2.91%	2.13%	2.37%
GILD Gilead Sciences, Inc.	1.91%	2.57%	3.33%	3.70%	3.40%	3.91%	4.67%	3.88%	3.65%	2.90%	2.57%	1.27%
IP International Paper Company	5.12%	4.70%	3.44%	5.12%	5.34%	4.08%	4.12%	4.37%	4.77%	3.21%	3.36%	4.35%
KTOS Kratos Defense & Security Solutions, 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%
T AT&T Inc.	4.71%	4.47%	4.87%	6.62%	6.66%	8.46%	7.23%	5.22%	7.01%	5.04%	4.51%	5.46%
TSCO Tractor Supply Company	3.01%	1.84%	1.66%	1.92%	1.64%	0.87%	1.07%	1.46%	1.44%	1.40%	1.21%	0.89%
VALE Vale S.A.	3.66%	7.29%	11.41%	7.75%	8.63%	19.70%	2.72%	2.63%	4.16%	3.77%	1.06%	7.48%

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 2026-04-28 . 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 2026-04-28 was 48.46%, occurring on Mar 9, 2009. Recovery took 246 trading sessions.

The current 2026-04-28 drawdown is 24.00%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-48.46%Mar 2009	1y 4mo	11mo 27d	2y 4moOct 2007 - Mar 2010
2026 bear market2026	-27.66%May 2026	3mo 2d	—	4mo 3dFeb 2026 - now
COVID crash2020	-25.99%Mar 2020	2mo 17d	2mo 12d	4mo 29dJan 2020 - Jun 2020
2016 bear market2016	-25.68%Jan 2016	7mo 5d	2mo 25d	10moJun 2015 - Apr 2016
Bear market2022	-21.39%Sep 2022	1y 4mo	6mo 13d	1y 11moMay 2021 - Apr 2023

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. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.99	1.95	1.88	1.77	1.69

The portfolio has a diversification ratio of 1.69, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

2026-04-28 correlation to the S&P 500 Index

2026-04-28 has a 0.42 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.42
Correlation (3Y) Calculated over the trailing 3-year period	0.42
Correlation (5Y) Calculated over the trailing 5-year period	0.53
Correlation (10Y) Calculated over the trailing 10-year period	0.60
Correlation (All Time) Calculated using the full available price history since Mar 21, 2002	0.73

Benchmark Correlations

Correlation vs. S&P 500 Index. IP has the highest benchmark correlation at 0.60, while CPB has the lowest at 0.34.

0.34

0.37

0.40

0.46

0.48

0.48

0.60

Portfolio Correlations

Correlation vs. 2026-04-28 . IP has the highest portfolio correlation at 0.65, while CPB has the lowest at 0.48.

CPB

0.48

CAG

0.51

GILD

0.53

0.54

TSCO

0.55

KTOS

0.58

VALE

0.61

0.65

Asset Correlations Table

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

	KTOS	CPB	VALE	GILD	TSCO	CAG	T	IP
KTOS	1.00	0.10	0.23	0.18	0.23	0.15	0.19	0.27
CPB	0.10	1.00	0.16	0.26	0.23	0.55	0.33	0.27
VALE	0.23	0.16	1.00	0.22	0.22	0.19	0.27	0.40
GILD	0.18	0.26	0.22	1.00	0.27	0.26	0.30	0.30
TSCO	0.23	0.23	0.22	0.27	1.00	0.25	0.26	0.34
CAG	0.15	0.55	0.19	0.26	0.25	1.00	0.34	0.30
T	0.19	0.33	0.27	0.30	0.26	0.34	1.00	0.37
IP	0.27	0.27	0.40	0.30	0.34	0.30	0.37	1.00

The correlation results are calculated based on daily price changes starting from Mar 21, 2002

Diversification Analysis

Find what 2026-04-28 is missing

See which holdings overlap, where 2026-04-28 is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification