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Return for Risk
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Portfolio

Currency in CHF · Last updated Jun 6, 2026

Asset Allocation

CHDVD.SW 100.00%EquityEquity
PositionCategory/SectorTarget Weight
CHDVD.SW
iShares Swiss Dividend ETF (CH)		Europe Equities
100%

S&P 500 Index

Portfolio Optimizer

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Performance

Performance Chart

The chart shows the growth of an initial investment of CHF 10,000 in Portfolio, 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.

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Returns By Period

As of Jun 6, 2026, the Portfolio returned 1.10% Year-To-Date and 9.56% of annualized return in the last 10 years.

Position1D1MYTD6M1Y3Y*5Y*10Y*
Benchmark
S&P 500 Index
-1.92%2.34%8.17%6.31%19.13%14.74%9.08%11.17%
Portfolio
Portfolio
0.86%0.63%1.10%4.21%7.23%9.63%6.89%9.56%
Portfolio components:
CHDVD.SW
iShares Swiss Dividend ETF (CH)		0.86%0.63%1.10%4.21%7.23%9.63%6.89%9.56%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Apr 30, 2014, Portfolio's average daily return is +0.04%, while the average monthly return is +0.74%. At this rate, an investment would double in approximately 7.8 years.

Historically, 61% of months were positive and 39% were negative. The best month was Nov 2020 with a return of +16.8%, while the worst month was Feb 2020 at -8.0%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Portfolio closed higher 53% of trading days. The best single day was Mar 24, 2020 with a return of +7.8%, while the worst single day was Mar 12, 2020 at -12.0%.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2026-0.72%6.10%-6.10%2.53%1.71%-1.97%1.10%
20256.22%4.69%1.37%-2.23%0.82%-2.86%0.17%3.10%-1.63%1.14%4.72%2.32%18.82%
20241.05%1.13%3.22%-3.44%6.09%0.62%3.76%1.75%-1.82%-2.76%1.60%-2.29%8.79%
20233.77%-1.37%2.07%4.52%-2.31%0.76%1.48%-2.13%-0.00%-3.86%4.44%2.27%9.62%
2022-3.47%-1.93%2.62%1.98%-3.58%-7.65%5.28%-2.89%-5.91%6.56%2.61%-3.57%-10.54%
2021-1.20%1.64%7.56%0.83%3.02%4.23%1.69%3.66%-6.19%2.40%-1.52%6.15%23.80%

Benchmark Metrics

Portfolio has an annualized alpha of 4.06%, beta of 0.36, and R2 of 0.22 versus S&P 500 Index. Calculated based on daily prices since April 30, 2014.

  • This portfolio participated in 61.96% of S&P 500 Index downside but only 57.85% of its upside - more exposed to losses than it benefited from rallies.
  • Beta of 0.36 may look defensive, but with R2 of 0.22 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
  • R2 of 0.22 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
Alpha
4.06%
Beta
0.36
R²
0.22
Upside Capture
57.85%
Downside Capture
61.96%

Expense Ratio

Portfolio has an expense ratio of 0.15%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

CHDVD.SW
iShares Swiss Dividend ETF (CH)

Return for Risk

Risk / Return Rank

Portfolio ranks 9 for risk / return — in the bottom 9% 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.

Portfolio Risk / Return Rank: 99
Overall Rank
Portfolio Sharpe Ratio Rank: 99
Sharpe Ratio Rank
Portfolio Sortino Ratio Rank: 88
Sortino Ratio Rank
Portfolio Omega Ratio Rank: 88
Omega Ratio Rank
Portfolio Calmar Ratio Rank: 99
Calmar Ratio Rank
Portfolio Martin Ratio Rank: 1010
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 and compares them with S&P 500 Index.

PortfolioBenchmarkDifference
Sharpe ratioReturn per unit of total volatility

0.66

1.54

-0.88

Sortino ratioReturn per unit of downside risk

1.01

2.05

-1.04

Omega ratioGain probability vs. loss probability

1.13

1.29

-0.17

Calmar ratioReturn relative to maximum drawdown

0.82

2.26

-1.43

Martin ratioReturn relative to average drawdown

2.56

7.50

-4.95

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.

PositionRisk / Return RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
CHDVD.SW
iShares Swiss Dividend ETF (CH)		210.661.011.130.822.56

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.

Portfolio Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

  • 1-Year: 0.66
  • 5-Year: 0.53
  • 10-Year: 0.66
  • All Time: 0.56

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 1.64 to 2.53, 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 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 provided a 3.23% dividend yield over the last twelve months.

PositionTTM20252024202320222021202020192018201720162015
Portfolio3.23%3.46%3.32%3.48%3.48%2.92%3.07%3.25%3.83%3.50%2.70%3.13%
Portfolio components:
CHDVD.SW
iShares Swiss Dividend ETF (CH)		3.23%3.46%3.32%3.48%3.48%2.92%3.07%3.25%3.83%3.50%2.70%3.13%

Monthly Dividends

The table below shows the monthly dividends paid by this portfolio.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
2026CHF 0.00CHF 0.00CHF 0.80CHF 3.70CHF 0.50CHF 0.00CHF 5.00
2025CHF 0.00CHF 0.00CHF 1.72CHF 3.22CHF 0.58CHF 0.00CHF 0.74CHF 0.00CHF 0.00CHF 0.00CHF 0.00CHF 0.00CHF 6.26
2024CHF 0.00CHF 0.00CHF 1.60CHF 2.60CHF 0.62CHF 0.00CHF 0.42CHF 0.00CHF 0.00CHF 0.00CHF 0.00CHF 0.00CHF 5.24
2023CHF 0.00CHF 0.00CHF 2.00CHF 1.98CHF 0.58CHF 0.00CHF 0.66CHF 0.00CHF 0.00CHF 0.00CHF 0.00CHF 0.00CHF 5.22
2022CHF 0.00CHF 0.00CHF 2.04CHF 1.88CHF 0.54CHF 0.00CHF 0.48CHF 0.00CHF 0.00CHF 0.00CHF 0.00CHF 0.00CHF 4.94
2021CHF 0.00CHF 0.00CHF 2.10CHF 2.24CHF 0.00CHF 0.00CHF 0.44CHF 0.00CHF 0.00CHF 0.00CHF 0.00CHF 0.00CHF 4.78

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. 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 was 30.09%, occurring on Mar 23, 2020. Recovery took 200 trading sessions.

The current Portfolio drawdown is 4.02%.

Related event

Drawdown

Fall

Recovery

Underwater

COVID crash2020
-30.09%Mar 2020
1mo 2d9mo 21d
10mo 23dFeb 2020 - Jan 2021
2016 correction2016
-17.31%Feb 2016
8mo 18d1y 2mo
1y 10moMay 2015 - Apr 2017
Bear market2022
-17.08%Sep 2022
1y 1mo1y 5mo
2y 6moAug 2021 - Feb 2024
2025 selloff2025
-14.72%Apr 2025
19d7mo 6d
7mo 25dMar 2025 - Nov 2025
2015 correction2015
-14.00%Jan 2015
2d1mo 19d
1mo 21dJan 2015 - Mar 2015

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 1 assets, with an effective number of assets of 1.00, 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

1.00

1.00

1.00

1.00

1.00

The portfolio has a diversification ratio of 1.00, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.

Portfolio correlation to the S&P 500 Index

Portfolio has a 0.17 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

0.17

Correlation (3Y)
Calculated over the trailing 3-year period

0.19

Correlation (5Y)
Calculated over the trailing 5-year period

0.28

Correlation (10Y)
Calculated over the trailing 10-year period

0.37

Correlation (All Time)
Calculated using the full available price history since Apr 30, 2014

0.40

Benchmark Correlations

Correlation vs. S&P 500 Index

CHDVD.SW
0.40

Portfolio Correlations

Correlation vs. Portfolio

CHDVD.SW
1.00
Diversification Analysis

Find what Portfolio is missing

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

Analyze Diversification