Quality FCF Aristocrats Sector

Asset Allocation

Position	Category/Sector	Target Weight
AAPL Apple Inc	Technology	7.14%
ADP Automatic Data Processing, Inc.	Industrials	7.14%
AMGN Amgen Inc.	Healthcare	7.14%
GILD Gilead Sciences, Inc.	Healthcare	7.14%
GOOGL Alphabet Inc Class A	Communication Services	7.14%
JNJ Johnson & Johnson	Healthcare	7.14%
MA Mastercard Inc	Financial Services	7.14%
MCD McDonald's Corporation	Consumer Cyclical	7.14%
MO Altria Group, Inc.	Consumer Defensive	7.14%
MSFT Microsoft Corporation	Technology	7.14%
ORLY O'Reilly Automotive, Inc.	Consumer Cyclical	7.14%
PG The Procter & Gamble Company	Consumer Defensive	7.14%
PM Philip Morris International Inc.	Consumer Defensive	7.14%
V Visa Inc.	Financial Services	7.14%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Quality FCF Aristocrats Sector, 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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The earliest data available for this chart is Mar 19, 2008, corresponding to the inception date of V

Returns By Period

As of Apr 2, 2026, the Quality FCF Aristocrats Sector returned -1.56% Year-To-Date and 16.20% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-3.43%	-3.84%	-1.98%	16.08%	16.86%	10.37%	12.29%
Portfolio Quality FCF Aristocrats Sector	0.01%	-5.41%	-1.56%	0.56%	11.45%	17.41%	14.46%	16.20%
Portfolio components:
AAPL Apple Inc	0.11%	-2.97%	-5.78%	-0.28%	14.80%	16.04%	16.39%	26.10%
GOOGL Alphabet Inc Class A	-0.54%	-2.50%	-5.44%	20.55%	88.99%	41.91%	22.87%	22.80%
ADP Automatic Data Processing, Inc.	1.36%	-4.89%	-20.03%	-28.58%	-31.93%	0.26%	3.69%	10.95%
MCD McDonald's Corporation	-0.05%	-7.54%	1.06%	3.61%	0.86%	5.27%	8.85%	11.85%
ORLY O'Reilly Automotive, Inc.	-0.74%	-2.61%	0.23%	-12.91%	-3.23%	16.47%	21.98%	17.55%
PG The Procter & Gamble Company	-0.67%	-10.39%	0.58%	-4.54%	-13.25%	1.10%	3.87%	8.50%
AMGN Amgen Inc.	-1.51%	-7.71%	7.04%	18.64%	17.39%	16.07%	10.31%	11.72%
MA Mastercard Inc	0.36%	-5.89%	-13.44%	-14.29%	-9.33%	11.07%	6.92%	18.61%
V Visa Inc.	0.77%	-6.24%	-14.05%	-12.70%	-12.50%	10.35%	7.55%	15.28%
PM Philip Morris International Inc.	0.49%	-10.35%	-0.55%	2.89%	4.82%	22.66%	17.88%	9.96%

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

Monthly Returns

Based on dividend-adjusted daily data since Mar 20, 2008, Quality FCF Aristocrats Sector's average daily return is +0.07%, while the average monthly return is +1.40%. At this rate, your investment would double in approximately 4.2 years.

Historically, 66% of months were positive and 34% were negative. The best month was Apr 2020 with a return of +12.4%, while the worst month was Sep 2008 at -9.2%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Quality FCF Aristocrats Sector closed higher 55% of trading days. The best single day was Oct 13, 2008 with a return of +11.8%, while the worst single day was Mar 16, 2020 at -10.5%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.98%	2.23%	-6.10%	-0.41%									-1.56%
2025	3.88%	5.49%	-0.94%	-0.93%	3.74%	-0.96%	2.37%	3.99%	1.27%	-1.25%	4.82%	-1.28%	21.72%
2024	2.52%	0.32%	1.77%	-3.20%	3.26%	2.66%	4.68%	4.07%	1.09%	1.27%	3.23%	-2.14%	21.02%
2023	1.17%	-2.66%	5.44%	3.75%	-2.52%	5.01%	2.17%	0.47%	-3.61%	-1.26%	6.40%	1.74%	16.63%
2022	-1.46%	-3.26%	2.86%	-2.68%	1.09%	-6.12%	6.05%	-2.69%	-7.72%	12.29%	5.84%	-4.04%	-1.65%
2021	-1.40%	1.78%	6.64%	3.81%	0.00%	2.96%	4.35%	0.49%	-3.99%	2.38%	-0.91%	9.16%	27.51%

Benchmark Metrics

Quality FCF Aristocrats Sector has an annualized alpha of 9.33%, beta of 0.78, and R² of 0.82 versus S&P 500 Index. Calculated based on daily prices since March 20, 2008.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (96.97%) than losses (60.91%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 9.33% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.

Alpha: 9.33%

Beta: 0.78

R²: 0.82

Upside Capture: 96.97%

Downside Capture: 60.91%

Expense Ratio

Quality FCF Aristocrats Sector 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

Quality FCF Aristocrats Sector ranks 19 for risk / return — in the bottom 19% 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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	0.88	0.88	0.00
Sortino ratio Return per unit of downside risk	1.33	1.37	-0.04
Omega ratio Gain probability vs. loss probability	1.18	1.21	-0.03
Calmar ratio Return relative to maximum drawdown	1.33	1.39	-0.06
Martin ratio Return relative to average drawdown	5.07	6.43	-1.36
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.

	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AAPL Apple Inc	55	0.47	0.92	1.13	0.66	2.04
GOOGL Alphabet Inc Class A	94	2.91	3.87	1.48	4.37	16.63
ADP Automatic Data Processing, Inc.	3	-1.42	-1.98	0.75	-0.86	-1.78
MCD McDonald's Corporation	37	0.05	0.19	1.02	0.02	0.04
ORLY O'Reilly Automotive, Inc.	30	-0.15	-0.06	0.99	-0.22	-0.47
PG The Procter & Gamble Company	12	-0.71	-0.87	0.90	-0.75	-1.39
AMGN Amgen Inc.	59	0.60	1.07	1.13	1.10	2.65
MA Mastercard Inc	21	-0.39	-0.38	0.95	-0.50	-1.21
V Visa Inc.	16	-0.53	-0.59	0.92	-0.61	-1.33
PM Philip Morris International Inc.	42	0.19	0.40	1.06	0.17	0.36

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.

Quality FCF Aristocrats Sector Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

1-Year: 0.88
5-Year: 1.10
10-Year: 1.02
All Time: 1.02

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 0.98 to 1.66, 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 Quality FCF Aristocrats Sector 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

Quality FCF Aristocrats Sector provided a 2.06% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.06%	2.07%	2.25%	2.43%	2.24%	2.14%	2.37%	2.20%	2.44%	1.94%	2.15%	2.04%
Portfolio components:
AAPL Apple Inc	0.41%	0.38%	0.40%	0.49%	0.70%	0.49%	0.61%	1.04%	1.79%	1.45%	1.93%	1.93%
GOOGL Alphabet Inc Class A	0.28%	0.27%	0.32%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
ADP Automatic Data Processing, Inc.	3.18%	2.46%	1.96%	2.21%	1.83%	1.55%	2.08%	1.92%	2.14%	2.00%	2.10%	2.36%
MCD McDonald's Corporation	2.36%	2.35%	2.34%	2.10%	2.15%	1.96%	2.35%	2.39%	2.36%	2.23%	2.97%	2.91%
ORLY O'Reilly Automotive, 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%
PG The Procter & Gamble Company	2.95%	2.91%	2.36%	2.55%	2.38%	2.08%	2.24%	2.37%	3.09%	2.98%	3.18%	3.31%
AMGN Amgen Inc.	2.78%	2.91%	3.45%	2.96%	2.95%	3.13%	2.78%	2.41%	2.71%	2.65%	2.74%	1.95%
MA Mastercard Inc	0.64%	0.53%	0.50%	0.53%	0.56%	0.49%	0.45%	0.44%	0.53%	0.58%	0.74%	0.66%
V Visa Inc.	0.84%	0.70%	0.68%	0.72%	0.76%	0.62%	0.56%	0.56%	0.67%	0.61%	0.75%	0.64%
PM Philip Morris International Inc.	3.64%	3.52%	4.40%	5.46%	4.98%	5.16%	5.73%	5.43%	6.73%	3.99%	4.50%	4.60%

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 Quality FCF Aristocrats Sector. 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 Quality FCF Aristocrats Sector was 31.72%, occurring on Nov 20, 2008. Recovery took 226 trading sessions.

The current Quality FCF Aristocrats Sector drawdown is 6.68%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-31.72%	Aug 18, 2008	68	Nov 20, 2008	226	Oct 15, 2009	294
-28.19%	Feb 20, 2020	23	Mar 23, 2020	78	Jul 14, 2020	101
-15.48%	Oct 3, 2018	57	Dec 24, 2018	52	Mar 12, 2019	109
-14.36%	Jan 5, 2022	186	Sep 30, 2022	38	Nov 23, 2022	224
-12.27%	Apr 26, 2010	47	Jun 30, 2010	75	Oct 15, 2010	122

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 14 assets, with an effective number of assets of 14.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

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

	Benchmark	MO	ORLY	GILD	PM	AAPL	MCD	AMGN	PG	JNJ	GOOGL	MSFT	V	MA	ADP	Portfolio
Benchmark	1.00	0.38	0.46	0.44	0.43	0.62	0.49	0.49	0.45	0.48	0.67	0.70	0.64	0.66	0.68	0.84
MO	0.38	1.00	0.29	0.27	0.62	0.21	0.35	0.30	0.44	0.39	0.20	0.23	0.26	0.27	0.37	0.52
ORLY	0.46	0.29	1.00	0.29	0.28	0.30	0.39	0.31	0.35	0.32	0.30	0.33	0.34	0.34	0.44	0.55
GILD	0.44	0.27	0.29	1.00	0.28	0.28	0.30	0.54	0.31	0.42	0.30	0.31	0.32	0.32	0.38	0.57
PM	0.43	0.62	0.28	0.28	1.00	0.24	0.38	0.32	0.45	0.41	0.25	0.27	0.30	0.30	0.37	0.55
AAPL	0.62	0.21	0.30	0.28	0.24	1.00	0.31	0.30	0.27	0.26	0.54	0.53	0.43	0.45	0.40	0.61
MCD	0.49	0.35	0.39	0.30	0.38	0.31	1.00	0.34	0.44	0.40	0.33	0.36	0.39	0.41	0.45	0.59
AMGN	0.49	0.30	0.31	0.54	0.32	0.30	0.34	1.00	0.38	0.50	0.34	0.35	0.35	0.36	0.42	0.62
PG	0.45	0.44	0.35	0.31	0.45	0.27	0.44	0.38	1.00	0.51	0.28	0.33	0.34	0.34	0.44	0.59
JNJ	0.48	0.39	0.32	0.42	0.41	0.26	0.40	0.50	0.51	1.00	0.31	0.32	0.36	0.37	0.44	0.60
GOOGL	0.67	0.20	0.30	0.30	0.25	0.54	0.33	0.34	0.28	0.31	1.00	0.59	0.50	0.50	0.46	0.65
MSFT	0.70	0.23	0.33	0.31	0.27	0.53	0.36	0.35	0.33	0.32	0.59	1.00	0.48	0.50	0.51	0.66
V	0.64	0.26	0.34	0.32	0.30	0.43	0.39	0.35	0.34	0.36	0.50	0.48	1.00	0.80	0.53	0.70
MA	0.66	0.27	0.34	0.32	0.30	0.45	0.41	0.36	0.34	0.37	0.50	0.50	0.80	1.00	0.56	0.72
ADP	0.68	0.37	0.44	0.38	0.37	0.40	0.45	0.42	0.44	0.44	0.46	0.51	0.53	0.56	1.00	0.72
Portfolio	0.84	0.52	0.55	0.57	0.55	0.61	0.59	0.62	0.59	0.60	0.65	0.66	0.70	0.72	0.72	1.00

The correlation results are calculated based on daily price changes starting from Mar 20, 2008

Quality FCF Aristocrats Sector

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table