IIM Delphi - Qualitative Score

Asset Allocation

Position	Category/Sector	Target Weight
GOOGL Alphabet Inc. Class A	Communication Services	20%
MSFT Microsoft Corporation	Technology	20%
AMZN Amazon.com, Inc	Consumer Cyclical	20%
META Meta Platforms, Inc.	Communication Services	20%
SPGI S&P Global Inc.	Financial Services	20%

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 IIM Delphi - Qualitative Score, 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 9, 2026, the IIM Delphi - Qualitative Score returned -4.94% Year-To-Date and 22.72% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio IIM Delphi - Qualitative Score	-1.16%	-5.39%	-4.94%	-3.96%	10.39%	23.80%	13.82%	22.72%
Portfolio components:
AMZN Amazon.com, Inc	-0.33%	-10.07%	6.24%	8.08%	14.82%	25.71%	8.37%	21.19%
GOOGL Alphabet Inc. Class A	-1.36%	-9.30%	16.22%	15.96%	110.03%	44.20%	24.94%	25.89%
META Meta Platforms, Inc.	-1.28%	-3.98%	-11.24%	-12.06%	-15.84%	30.58%	12.31%	17.60%
MSFT Microsoft Corporation	-1.18%	-0.60%	-14.48%	-15.77%	-11.77%	8.85%	11.09%	24.64%
SPGI S&P Global Inc.	-1.73%	-0.49%	-19.82%	-14.85%	-19.02%	3.63%	2.49%	15.58%

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

Monthly Returns

Based on dividend-adjusted daily data since May 18, 2012, IIM Delphi - Qualitative Score's average daily return is +0.10%, while the average monthly return is +2.03%. At this rate, an investment would double in approximately 2.9 years.

Historically, 65% of months were positive and 35% were negative. The best month was Apr 2020 with a return of +19.7%, while the worst month was Apr 2022 at -14.0%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 3 months.

On a daily basis, IIM Delphi - Qualitative Score closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +10.8%, while the worst single day was Mar 16, 2020 at -11.2%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.04%	-10.82%	-6.12%	15.97%	2.58%	-6.46%							-4.94%
2025	7.39%	-6.39%	-8.80%	-0.29%	11.31%	7.06%	6.42%	-0.15%	0.47%	3.06%	1.70%	0.16%	22.09%
2024	4.03%	7.94%	2.10%	-3.22%	4.96%	7.00%	-2.49%	1.40%	3.90%	-2.05%	4.86%	3.02%	35.45%
2023	14.79%	-1.34%	13.13%	6.14%	9.51%	5.27%	4.29%	-0.89%	-4.06%	0.55%	11.33%	4.42%	81.74%
2022	-8.67%	-8.66%	5.25%	-13.95%	-3.21%	-8.33%	10.71%	-4.91%	-12.62%	-7.46%	8.82%	-6.93%	-42.20%
2021	-0.40%	2.39%	4.85%	10.82%	-1.83%	6.51%	3.84%	5.64%	-6.90%	7.58%	-0.85%	1.16%	36.55%

Benchmark Metrics

IIM Delphi - Qualitative Score has an annualized alpha of 9.53%, beta of 1.15, and R2 of 0.68 versus S&P 500 Index. Calculated based on daily prices since May 18, 2012.

This portfolio captured 146.50% of S&P 500 Index gains but only 97.14% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 9.53% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.

Alpha: 9.53%

Beta: 1.15

R²: 0.68

Upside Capture: 146.50%

Downside Capture: 97.14%

Expense Ratio

IIM Delphi - Qualitative Score 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

IIM Delphi - Qualitative Score ranks 8 for risk / return — in the bottom 8% 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 IIM Delphi - Qualitative Score and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	0.56	1.94	-1.38
Sortino ratioReturn per unit of downside risk	0.88	2.63	-1.75
Omega ratioGain probability vs. loss probability	1.11	1.35	-0.24
Calmar ratioReturn relative to maximum drawdown	0.49	2.59	-2.10
Martin ratioReturn relative to average drawdown	1.63	11.84	-10.22
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.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AMZN Amazon.com, Inc	56	0.49	0.89	1.11	0.68	1.64
GOOGL Alphabet Inc. Class A	96	3.78	5.10	1.61	5.43	19.79
META Meta Platforms, Inc.	23	-0.45	-0.44	0.94	-0.48	-1.01
MSFT Microsoft Corporation	24	-0.47	-0.49	0.94	-0.35	-0.73
SPGI S&P Global Inc.	15	-0.70	-0.77	0.89	-0.63	-1.21

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.

IIM Delphi - Qualitative Score Sharpe ratios as of Jun 9, 2026 (values are recalculated daily):

1-Year: 0.56
5-Year: 0.54
10-Year: 0.92
All Time: 1.06

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 1.60 to 2.46, 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 IIM Delphi - Qualitative Score 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

IIM Delphi - Qualitative Score provided a 0.49% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	0.49%	0.40%	0.42%	0.31%	0.41%	0.27%	0.35%	0.41%	0.57%	0.57%	0.74%	0.73%
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%
GOOGL Alphabet Inc. Class A	0.29%	0.27%	0.32%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
META Meta Platforms, Inc.	0.36%	0.32%	0.34%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MSFT Microsoft Corporation	0.86%	0.70%	0.73%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%
SPGI S&P Global Inc.	0.93%	0.73%	0.73%	0.82%	0.99%	0.65%	0.82%	0.84%	1.18%	0.97%	1.34%	1.34%

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 IIM Delphi - Qualitative Score. 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 IIM Delphi - Qualitative Score was 49.11%, occurring on Nov 3, 2022. Recovery took 281 trading sessions.

The current IIM Delphi - Qualitative Score drawdown is 7.79%.

Related event	Drawdown	Fall	Recovery	Underwater
Bear market2022	-49.11%Nov 2022	11mo 16d	1y 1mo	2y 26dNov 2021 - Dec 2023
COVID crash2020	-28.06%Mar 2020	25d	2mo 3d	2mo 28dFeb 2020 - May 2020
Rate-hike selloffLate 2018	-26.68%Dec 2018	5mo 1d	3mo 29d	9moJul 2018 - Apr 2019
2025 selloff2025	-23.41%Apr 2025	2mo 15d	2mo 7d	4mo 22dFeb 2025 - Jun 2025
2026 bear market2026	-21.30%Mar 2026	1mo 26d	—	4mo 10dJan 2026 - now

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 5 assets, with an effective number of assets of 5.00, 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	1.57	1.35	1.27	1.24	1.29

The portfolio has a diversification ratio of 1.29, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

IIM Delphi - Qualitative Score correlation to the S&P 500 Index

IIM Delphi - Qualitative Score has a 0.73 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	0.73
Correlation (3Y) Calculated over the trailing 3-year period	0.77
Correlation (5Y) Calculated over the trailing 5-year period	0.82
Correlation (10Y) Calculated over the trailing 10-year period	0.80
Correlation (All Time) Calculated using the full available price history since May 18, 2012	0.78

Benchmark Correlations

Correlation vs. S&P 500 Index. MSFT has the highest benchmark correlation at 0.71, while META has the lowest at 0.56.

Portfolio Correlations

Correlation vs. IIM Delphi - Qualitative Score. AMZN has the highest portfolio correlation at 0.82, while SPGI has the lowest at 0.64.

SPGI

0.64

MSFT

0.77

Asset Correlations Table

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

	SPGI	META	AMZN	MSFT	GOOGL
SPGI	1.00	0.38	0.42	0.51	0.44
META	0.38	1.00	0.57	0.50	0.58
AMZN	0.42	0.57	1.00	0.59	0.64
MSFT	0.51	0.50	0.59	1.00	0.61
GOOGL	0.44	0.58	0.64	0.61	1.00

The correlation results are calculated based on daily price changes starting from May 18, 2012

Diversification Analysis

Find what IIM Delphi - Qualitative Score is missing

See which holdings overlap, where IIM Delphi - Qualitative Score is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification