AB test 09/02

Asset Allocation

Position	Category/Sector	Target Weight
IGLN.L iShares Physical Gold ETC	Gold, Precious Metals	10%
IS3S.DE iShares Edge MSCI World Value Factor UCITS ETF	Global Equities	10%
XDW0.DE Xtrackers MSCI World Energy UCITS ETF 1C	Energy Equities	10%
KO The Coca-Cola Company	Consumer Defensive	5%
NVDA NVIDIA Corporation	Technology	5%
GOOGL Alphabet Inc. Class A	Communication Services	5%
MRK Merck & Co., Inc.	Healthcare	5%
UCG.MI UniCredit S.p.A.	Financial Services	5%
LLY Eli Lilly and Company	Healthcare	5%
AMZN Amazon.com, Inc	Consumer Cyclical	5%
JNJ Johnson & Johnson	Healthcare	5%
BNP.PA BNP Paribas SA	Financial Services	5%
TSM Taiwan Semiconductor Manufacturing Company Limited	Technology	5%
ASML ASML Holding N.V.	Technology	5%
DTE.DE Deutsche Telekom AG	Communication Services	5%
META Meta Platforms, Inc.	Communication Services	5%
MSFT Microsoft Corporation	Technology	5%

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 AB test 09/02, 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 AB test 09/02 returned 17.13% Year-To-Date and 24.33% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.50%	-0.93%	8.56%	8.85%	24.33%	19.37%	11.84%	13.61%
Portfolio AB test 09/02	0.74%	-0.49%	17.13%	19.56%	43.85%	33.89%	25.11%	24.33%
Portfolio components:
AMZN Amazon.com, Inc	-1.23%	-10.73%	3.35%	5.46%	12.47%	23.49%	7.35%	20.83%
ASML ASML Holding N.V.	-1.89%	17.61%	74.80%	73.02%	146.81%	37.59%	22.97%	36.00%
BNP.PA BNP Paribas SA	5.05%	7.22%	21.35%	25.61%	36.95%	30.28%	18.55%	15.11%
DTE.DE Deutsche Telekom AG	1.98%	0.90%	4.08%	7.53%	-4.72%	20.89%	12.36%	11.38%
GOOGL Alphabet Inc. Class A	0.53%	-10.27%	15.06%	16.44%	106.51%	43.10%	24.46%	25.76%
IGLN.L iShares Physical Gold ETC	3.37%	-10.03%	-2.16%	-1.54%	23.07%	29.33%	17.43%	12.45%
IS3S.DE iShares Edge MSCI World Value Factor UCITS ETF	2.78%	4.65%	32.61%	35.27%	63.36%	28.40%	16.11%	13.34%
JNJ Johnson & Johnson	1.07%	4.96%	17.68%	15.11%	57.15%	17.82%	10.94%	10.46%
KO The Coca-Cola Company	0.11%	2.70%	18.99%	17.96%	18.86%	14.33%	11.29%	9.55%
LLY Eli Lilly and Company	-2.41%	12.74%	5.78%	10.64%	39.26%	37.45%	39.59%	33.45%

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

Monthly Returns

Based on dividend-adjusted daily data since Oct 6, 2014, AB test 09/02's average daily return is +0.08%, while the average monthly return is +1.70%. At this rate, an investment would double in approximately 3.4 years.

Historically, 67% of months were positive and 33% were negative. The best month was Nov 2020 with a return of +14.4%, while the worst month was Mar 2020 at -10.3%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.

On a daily basis, AB test 09/02 closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +7.9%, while the worst single day was Mar 12, 2020 at -9.2%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	8.02%	3.25%	-5.75%	7.33%	5.30%	-1.40%							17.13%
2025	5.86%	1.18%	-0.83%	-0.03%	5.65%	5.57%	2.16%	2.45%	5.00%	2.52%	4.80%	1.93%	42.57%
2024	4.81%	6.67%	6.09%	-1.59%	5.00%	2.89%	-0.13%	2.64%	0.93%	-1.11%	0.07%	-0.89%	27.95%
2023	11.02%	-0.79%	6.00%	3.71%	3.14%	5.31%	3.19%	-0.24%	-3.46%	-0.31%	7.16%	3.72%	44.83%
2022	-1.47%	-3.62%	3.49%	-6.66%	4.30%	-8.82%	4.99%	-4.50%	-7.91%	5.18%	10.87%	-3.12%	-9.00%
2021	1.14%	3.94%	2.77%	3.48%	4.73%	2.34%	1.35%	3.24%	-3.35%	5.53%	-1.66%	4.40%	31.30%

Benchmark Metrics

AB test 09/02 has an annualized alpha of 10.70%, beta of 0.77, and R2 of 0.76 versus S&P 500 Index. Calculated based on daily prices since October 06, 2014.

This portfolio captured 112.96% of S&P 500 Index gains but only 73.15% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 10.70% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.

Alpha: 10.70%

Beta: 0.77

R²: 0.76

Upside Capture: 112.96%

Downside Capture: 73.15%

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

Expense Ratio

AB test 09/02 has an expense ratio of 0.07%, 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.

IS3S.DE

iShares Edge MSCI World Value Factor UCITS ETF

XDW0.DE

Xtrackers MSCI World Energy UCITS ETF 1C

IGLN.L

iShares Physical Gold ETC

Return for Risk

Risk / Return Rank

AB test 09/02 ranks 94 for risk / return — in the top 94% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.

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 AB test 09/02 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	3.45	1.86	+1.59
Sortino ratioReturn per unit of downside risk	4.80	2.53	+2.26
Omega ratioGain probability vs. loss probability	1.63	1.34	+0.29
Calmar ratioReturn relative to maximum drawdown	4.80	2.53	+2.27
Martin ratioReturn relative to average drawdown	21.27	11.37	+9.90

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
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
BNP.PA BNP Paribas SA	73	1.13	1.67	1.22	1.67	4.16
DTE.DE Deutsche Telekom AG	31	-0.24	-0.17	0.98	-0.30	-0.54
GOOGL Alphabet Inc. Class A	96	3.62	4.92	1.59	5.20	18.48
IGLN.L iShares Physical Gold ETC	27	0.95	1.35	1.19	1.05	3.27
IS3S.DE iShares Edge MSCI World Value Factor UCITS ETF	96	3.98	5.39	1.70	7.30	26.46
JNJ Johnson & Johnson	96	3.42	4.94	1.61	5.28	15.52
KO The Coca-Cola Company	73	1.06	1.73	1.19	2.26	4.51
LLY Eli Lilly and Company	72	1.07	1.62	1.22	1.72	4.28

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.

The current AB test 09/02 Sharpe ratio is 3.45 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 is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of AB test 09/02 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

AB test 09/02 provided a 1.18% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.18%	1.44%	1.57%	1.32%	1.41%	1.08%	0.87%	1.44%	1.63%	1.25%	1.32%	1.24%
Portfolio components:
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%
BNP.PA BNP Paribas SA	5.34%	9.13%	7.77%	6.23%	6.89%	4.38%	0.00%	5.72%	7.65%	4.34%	3.82%	2.87%
DTE.DE Deutsche Telekom AG	3.53%	3.25%	2.67%	3.22%	3.43%	3.68%	4.01%	4.80%	4.39%	4.05%	3.36%	3.00%
GOOGL Alphabet Inc. Class A	0.24%	0.27%	0.32%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
IGLN.L iShares Physical Gold ETC	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
IS3S.DE iShares Edge MSCI World Value Factor UCITS ETF	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%
KO The Coca-Cola Company	1.88%	2.92%	3.12%	3.12%	2.77%	2.84%	2.99%	2.89%	3.29%	3.23%	3.38%	3.07%
LLY Eli Lilly and Company	0.57%	0.56%	0.67%	0.78%	1.07%	1.23%	1.75%	1.96%	1.94%	2.46%	2.77%	2.37%

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 AB test 09/02. 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 AB test 09/02 was 29.22%, occurring on Mar 23, 2020. Recovery took 80 trading sessions.

The current AB test 09/02 drawdown is 1.77%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-29.22%Mar 2020	1mo 2d	3mo 23d	4mo 25dFeb 2020 - Jul 2020
Bear market2022	-21.23%Oct 2022	9mo 2d	3mo 22d	1y 19dJan 2022 - Feb 2023
Rate-hike selloffLate 2018	-16.14%Dec 2018	2mo 29d	3mo 15d	6mo 14dSep 2018 - Apr 2019
2016 correction2016	-12.31%Feb 2016	2mo 11d	2mo 2d	4mo 13dDec 2015 - Apr 2016
2025 selloff2025	-12.09%Apr 2025	12d	1mo 5d	1mo 17dMar 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 17 assets, with an effective number of assets of 15.38, 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	2.27	2.11	1.88	1.78	1.82

The portfolio has a diversification ratio of 1.82, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.

AB test 09/02 correlation to the S&P 500 Index

AB test 09/02 has a 0.80 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	0.80
Correlation (3Y) Calculated over the trailing 3-year period	0.81
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (10Y) Calculated over the trailing 10-year period	0.83
Correlation (All Time) Calculated using the full available price history since Oct 6, 2014	0.83

Benchmark Correlations

Correlation vs. S&P 500 Index. MSFT has the highest benchmark correlation at 0.73, while IGLN.L has the lowest at 0.00.

0.00

0.30

0.31

0.32

0.35

0.36

0.38

0.39

0.54

0.60

Portfolio Correlations

Correlation vs. AB test 09/02. ASML has the highest portfolio correlation at 0.71, while IGLN.L has the lowest at 0.12.

IGLN.L

0.12

0.32

0.33

0.35

0.38

0.46

0.46

0.53

0.55

Asset Correlations Table

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

	IGLN.L	XDW0.DE	KO	MRK	LLY	JNJ	DTE.DE	UCG.MI	BNP.PA	NVDA	META	AMZN	TSM	IS3S.DE	GOOGL	MSFT	ASML
IGLN.L	1.00	0.06	0.04	0.01	0.00	0.03	0.05	-0.01	-0.00	0.01	0.01	-0.00	0.02	0.05	0.02	-0.01	0.05
XDW0.DE	0.06	1.00	0.13	0.12	0.07	0.12	0.32	0.34	0.42	0.12	0.09	0.08	0.19	0.61	0.13	0.11	0.18
KO	0.04	0.13	1.00	0.37	0.25	0.46	0.27	0.12	0.16	0.08	0.14	0.15	0.11	0.23	0.23	0.25	0.18
MRK	0.01	0.12	0.37	1.00	0.47	0.52	0.22	0.12	0.13	0.08	0.16	0.14	0.10	0.20	0.20	0.22	0.17
LLY	0.00	0.07	0.25	0.47	1.00	0.43	0.12	0.08	0.06	0.21	0.24	0.23	0.18	0.15	0.26	0.28	0.23
JNJ	0.03	0.12	0.46	0.52	0.43	1.00	0.23	0.11	0.14	0.09	0.14	0.15	0.12	0.24	0.23	0.23	0.20
DTE.DE	0.05	0.32	0.27	0.22	0.12	0.23	1.00	0.39	0.46	0.13	0.18	0.15	0.19	0.53	0.18	0.19	0.26
UCG.MI	-0.01	0.34	0.12	0.12	0.08	0.11	0.39	1.00	0.73	0.18	0.17	0.15	0.23	0.57	0.20	0.16	0.27
BNP.PA	-0.00	0.42	0.16	0.13	0.06	0.14	0.46	0.73	1.00	0.18	0.19	0.15	0.26	0.67	0.21	0.17	0.30
NVDA	0.01	0.12	0.08	0.08	0.21	0.09	0.13	0.18	0.18	1.00	0.50	0.53	0.60	0.28	0.51	0.58	0.61
META	0.01	0.09	0.14	0.16	0.24	0.14	0.18	0.17	0.19	0.50	1.00	0.60	0.42	0.26	0.63	0.57	0.47
AMZN	-0.00	0.08	0.15	0.14	0.23	0.15	0.15	0.15	0.15	0.53	0.60	1.00	0.45	0.26	0.66	0.63	0.48
TSM	0.02	0.19	0.11	0.10	0.18	0.12	0.19	0.23	0.26	0.60	0.42	0.45	1.00	0.39	0.46	0.48	0.64
IS3S.DE	0.05	0.61	0.23	0.20	0.15	0.24	0.53	0.57	0.67	0.28	0.26	0.26	0.39	1.00	0.30	0.27	0.43
GOOGL	0.02	0.13	0.23	0.20	0.26	0.23	0.18	0.20	0.21	0.51	0.63	0.66	0.46	0.30	1.00	0.64	0.50
MSFT	-0.01	0.11	0.25	0.22	0.28	0.23	0.19	0.16	0.17	0.58	0.57	0.63	0.48	0.27	0.64	1.00	0.53
ASML	0.05	0.18	0.18	0.17	0.23	0.20	0.26	0.27	0.30	0.61	0.47	0.48	0.64	0.43	0.50	0.53	1.00

The correlation results are calculated based on daily price changes starting from Oct 6, 2014

Diversification Analysis

Find what AB test 09/02 is missing

See which holdings overlap, where AB test 09/02 is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification