Portfolio 2025-08

Asset Allocation

Position	Category/Sector	Target Weight
CBK.DE Commerzbank AG	Financial Services	51%
HIMS Hims & Hers Health, Inc.	Healthcare	4%
TMO Thermo Fisher Scientific Inc.	Healthcare	4%
UNH UnitedHealth Group Incorporated	Healthcare	4%
JNJ Johnson & Johnson	Healthcare	4%
MA Mastercard Incorporated	Financial Services	4%
CM Canadian Imperial Bank of Commerce	Financial Services	4%
PYPL PayPal Holdings, Inc.	Financial Services	4%
MSFT Microsoft Corporation	Technology	3%
AMD Advanced Micro Devices, Inc.	Technology	3%
ASML ASML Holding N.V.	Technology	3%
SAP SAP SE	Technology	3%
TSM Taiwan Semiconductor Manufacturing Company Limited	Technology	3%
NKE NIKE, Inc.	Consumer Cyclical	3%
AMZN Amazon.com, Inc	Consumer Cyclical	3%

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 Portfolio 2025-08, 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

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 Portfolio 2025-08	1.37%	4.13%	6.53%	8.33%	30.05%	42.88%	28.12%	—
Portfolio components:
AMD Advanced Micro Devices, Inc.	4.73%	20.62%	138.87%	142.70%	340.40%	60.16%	44.46%	60.93%
AMZN Amazon.com, Inc	-1.23%	-9.69%	3.35%	5.46%	12.47%	23.49%	7.35%	20.83%
ASML ASML Holding N.V.	-1.89%	24.09%	74.80%	73.02%	146.81%	37.59%	22.97%	36.00%
CBK.DE Commerzbank AG	2.83%	3.52%	3.51%	8.20%	35.25%	61.70%	42.82%	21.01%
CM Canadian Imperial Bank of Commerce	1.45%	1.94%	26.25%	24.24%	72.55%	45.12%	19.94%	17.46%
HIMS Hims & Hers Health, Inc.	-7.10%	7.07%	-17.40%	-27.92%	-51.66%	43.69%	17.04%	—
JNJ Johnson & Johnson	1.07%	6.86%	17.68%	15.11%	57.15%	17.82%	10.94%	10.46%
MA Mastercard Incorporated	0.71%	-0.85%	-13.89%	-14.05%	-12.30%	10.32%	6.66%	18.64%
MSFT Microsoft Corporation	0.10%	-7.19%	-18.85%	-17.98%	-17.07%	6.16%	9.56%	24.39%
NKE NIKE, Inc.	-2.24%	8.24%	-28.37%	-32.37%	-23.74%	-23.49%	-18.04%	-0.48%

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

Monthly Returns

Based on dividend-adjusted daily data since Sep 13, 2019, Portfolio 2025-08's average daily return is +0.11%, while the average monthly return is +2.35%. At this rate, an investment would double in approximately 2.5 years.

Historically, 59% of months were positive and 41% were negative. The best month was Nov 2020 with a return of +21.6%, while the worst month was Mar 2020 at -21.6%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Portfolio 2025-08 closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +10.4%, while the worst single day was Mar 12, 2020 at -14.4%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	-2.13%	-2.44%	-8.66%	15.49%	6.73%	-0.91%							6.53%
2025	13.72%	4.21%	-0.03%	7.23%	15.22%	4.13%	10.17%	1.87%	1.71%	0.67%	2.57%	3.71%	86.33%
2024	-0.05%	4.75%	10.89%	1.29%	11.43%	-5.10%	5.58%	-4.39%	14.15%	-3.23%	-2.43%	0.01%	35.31%
2023	15.81%	3.61%	-5.71%	3.66%	-5.63%	8.06%	5.05%	-7.11%	-0.36%	-4.12%	14.30%	0.73%	28.34%
2022	2.72%	-2.85%	-4.40%	-12.16%	15.27%	-14.25%	5.52%	-4.02%	-1.81%	6.96%	7.82%	4.37%	-0.85%
2021	2.64%	-1.18%	-2.97%	6.00%	12.55%	-5.79%	-3.93%	-0.54%	-0.06%	8.12%	-2.89%	5.38%	16.87%

Benchmark Metrics

Portfolio 2025-08 has an annualized alpha of 14.97%, beta of 0.89, and R2 of 0.38 versus S&P 500 Index. Calculated based on daily prices since September 13, 2019.

This portfolio captured 123.01% of S&P 500 Index gains but only 78.16% of its losses - a favorable profile for investors.
R2 of 0.38 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.

Alpha: 14.97%

Beta: 0.89

R²: 0.38

Upside Capture: 123.01%

Downside Capture: 78.16%

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

Expense Ratio

Portfolio 2025-08 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

Portfolio 2025-08 ranks 17 for risk / return — in the bottom 17% 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 Portfolio 2025-08 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	1.14	1.86	-0.72
Sortino ratioReturn per unit of downside risk	1.71	2.53	-0.82
Omega ratioGain probability vs. loss probability	1.20	1.34	-0.14
Calmar ratioReturn relative to maximum drawdown	1.64	2.53	-0.89
Martin ratioReturn relative to average drawdown	4.80	11.37	-6.57

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
AMD Advanced Micro Devices, Inc.	98	5.01	4.54	1.60	12.04	24.74
AMZN Amazon.com, Inc	53	0.40	0.76	1.09	0.55	1.29
ASML ASML Holding N.V.	95	3.27	3.70	1.45	7.83	21.08
CBK.DE Commerzbank AG	68	0.90	1.46	1.17	1.51	3.29
CM Canadian Imperial Bank of Commerce	97	3.82	4.66	1.64	6.72	26.46
HIMS Hims & Hers Health, Inc.	19	-0.55	-0.45	0.95	-0.68	-1.10
JNJ Johnson & Johnson	96	3.42	4.94	1.61	5.28	15.52
MA Mastercard Incorporated	11	-0.74	-0.91	0.89	-0.79	-1.59
MSFT Microsoft Corporation	17	-0.70	-0.84	0.89	-0.53	-1.08
NKE NIKE, Inc.	17	-0.69	-0.84	0.89	-0.58	-1.09

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 Portfolio 2025-08 Sharpe ratio is 1.14 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 Portfolio 2025-08 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

Portfolio 2025-08 provided a 2.11% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.11%	1.48%	1.56%	1.45%	0.73%	0.48%	0.54%	2.54%	0.69%	0.60%	2.11%	0.72%
Portfolio components:
AMD Advanced Micro Devices, 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%
AMZN Amazon.com, 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%
ASML ASML Holding N.V.	0.47%	0.97%	0.97%	0.86%	1.27%	0.50%	0.50%	1.40%	0.94%	0.64%	0.92%	0.73%
CBK.DE Commerzbank AG	2.99%	1.80%	1.93%	1.61%	0.00%	0.00%	0.00%	3.62%	0.00%	0.00%	2.76%	0.00%
CM Canadian Imperial Bank of Commerce	2.61%	3.17%	4.21%	5.88%	7.77%	4.08%	5.06%	6.47%	5.48%	5.28%	5.93%	6.71%
HIMS Hims & Hers Health, 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%
JNJ Johnson & Johnson	2.18%	2.48%	3.40%	3.00%	2.52%	2.45%	2.53%	2.57%	2.74%	2.38%	2.73%	2.87%
MA Mastercard Incorporated	0.67%	0.53%	0.50%	0.53%	0.56%	0.49%	0.45%	0.44%	0.53%	0.58%	0.74%	0.66%
MSFT Microsoft Corporation	0.91%	0.70%	0.73%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%
NKE NIKE, Inc.	3.63%	2.53%	2.00%	1.28%	1.07%	0.68%	0.71%	0.89%	1.11%	1.18%	1.30%	0.93%

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 Portfolio 2025-08. 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 Portfolio 2025-08 was 41.47%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.

The current Portfolio 2025-08 drawdown is 1.16%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-41.47%Mar 2020	1mo 4d	5mo 6d	6mo 10dFeb 2020 - Aug 2020
Bear market2022	-33.71%Jul 2022	5mo 4d	6mo 21d	11mo 25dFeb 2022 - Jan 2023
2026 correction2026	-17.03%Mar 2026	2mo 1d	21d	2mo 22dJan 2026 - Apr 2026
2023 correction2023	-15.98%Sep 2023	2mo 10d	3mo 9d	5mo 19dJul 2023 - Jan 2024
2025 selloff2025	-15.50%Apr 2025	16d	1mo 2d	1mo 18dMar 2025 - May 2025

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 15 assets, with an effective number of assets of 3.60, reflecting the diversification based on asset allocation. Your portfolio is dominated by one or two holdings, which significantly increases concentration risk. Consider rebalancing toward more even weights or adding additional positions.

Diversification Ratio

	1Y	3Y	5Y	All Time
Diversification Ratio	1.60	1.61	1.49	1.44

The portfolio has a diversification ratio of 1.44, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Portfolio 2025-08 correlation to the S&P 500 Index

Portfolio 2025-08 has a 0.60 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	0.60
Correlation (3Y) Calculated over the trailing 3-year period	0.52
Correlation (5Y) Calculated over the trailing 5-year period	0.56
Correlation (All Time) Calculated using the full available price history since Sep 13, 2019	0.57

Benchmark Correlations

Correlation vs. S&P 500 Index. MSFT has the highest benchmark correlation at 0.73, while JNJ has the lowest at 0.28.

0.28

0.28

0.35

0.37

0.52

0.57

0.58

0.60

0.61

0.61

0.62

0.63

AMZN

0.66

ASML

0.69

MSFT

0.73

Portfolio Correlations

Correlation vs. Portfolio 2025-08. CBK.DE has the highest portfolio correlation at 0.90, while JNJ has the lowest at 0.16.

0.16

0.19

0.30

0.33

0.34

0.35

0.37

0.37

0.38

0.40

TSM

0.42

SAP

0.43

ASML

0.48

0.52

CBK.DE

0.90

Asset Correlations Table

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

	JNJ	UNH	CBK.DE	HIMS	TMO	CM	NKE	AMD	TSM	AMZN	MA	SAP	PYPL	MSFT	ASML
JNJ	1.00	0.36	0.09	-0.01	0.32	0.19	0.21	0.04	0.04	0.06	0.27	0.18	0.11	0.14	0.13
UNH	0.36	1.00	0.07	0.07	0.29	0.21	0.21	0.14	0.13	0.14	0.31	0.16	0.18	0.22	0.16
CBK.DE	0.09	0.07	1.00	0.11	0.10	0.39	0.18	0.12	0.20	0.11	0.22	0.24	0.14	0.11	0.23
HIMS	-0.01	0.07	0.11	1.00	0.19	0.24	0.24	0.29	0.26	0.27	0.17	0.25	0.33	0.24	0.31
TMO	0.32	0.29	0.10	0.19	1.00	0.28	0.39	0.31	0.33	0.33	0.40	0.36	0.41	0.41	0.41
CM	0.19	0.21	0.39	0.24	0.28	1.00	0.36	0.30	0.38	0.30	0.39	0.36	0.32	0.32	0.38
NKE	0.21	0.21	0.18	0.24	0.39	0.36	1.00	0.32	0.33	0.38	0.46	0.35	0.43	0.37	0.41
AMD	0.04	0.14	0.12	0.29	0.31	0.30	0.32	1.00	0.60	0.52	0.31	0.39	0.44	0.53	0.62
TSM	0.04	0.13	0.20	0.26	0.33	0.38	0.33	0.60	1.00	0.47	0.32	0.44	0.38	0.49	0.69
AMZN	0.06	0.14	0.11	0.27	0.33	0.30	0.38	0.52	0.47	1.00	0.40	0.46	0.53	0.65	0.52
MA	0.27	0.31	0.22	0.17	0.40	0.39	0.46	0.31	0.32	0.40	1.00	0.46	0.50	0.50	0.39
SAP	0.18	0.16	0.24	0.25	0.36	0.36	0.35	0.39	0.44	0.46	0.46	1.00	0.43	0.54	0.51
PYPL	0.11	0.18	0.14	0.33	0.41	0.32	0.43	0.44	0.38	0.53	0.50	0.43	1.00	0.51	0.46
MSFT	0.14	0.22	0.11	0.24	0.41	0.32	0.37	0.53	0.49	0.65	0.50	0.54	0.51	1.00	0.54
ASML	0.13	0.16	0.23	0.31	0.41	0.38	0.41	0.62	0.69	0.52	0.39	0.51	0.46	0.54	1.00

The correlation results are calculated based on daily price changes starting from Sep 13, 2019

Diversification Analysis

Find what Portfolio 2025-08 is missing

See which holdings overlap, where Portfolio 2025-08 is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification