Quality FCF Aristocrats Sector

Asset Allocation

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

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 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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Returns By Period

As of Jun 5, 2026, the Quality FCF Aristocrats Sector returned 4.47% Year-To-Date and 17.06% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-2.64%	0.25%	7.86%	7.47%	—	—	—	—
Portfolio Quality FCF Aristocrats Sector	0.88%	1.22%	4.47%	5.04%	14.52%	18.96%	15.04%	17.06%
Portfolio components:
AAPL Apple Inc	-1.25%	7.00%	13.26%	10.45%	53.80%	20.25%	20.16%	29.85%
ADP Automatic Data Processing, Inc.	0.28%	11.94%	-9.08%	-10.03%	-27.11%	4.66%	5.48%	12.74%
AMGN Amgen Inc.	1.15%	6.38%	8.36%	7.51%	25.42%	20.11%	11.56%	11.48%
GILD Gilead Sciences, Inc.	-0.02%	-5.24%	5.83%	7.86%	20.04%	23.34%	18.21%	7.71%
GOOGL Alphabet Inc. Class A	-0.98%	-7.41%	17.82%	14.87%	119.85%	42.91%	25.43%	26.10%
JNJ Johnson & Johnson	2.02%	4.22%	13.72%	16.55%	55.27%	17.11%	10.05%	10.21%
MA Mastercard Incorporated	1.93%	-0.16%	-13.70%	-9.69%	-15.62%	9.57%	6.67%	18.35%
MCD McDonald's Corporation	2.61%	-0.83%	-7.30%	-8.97%	-7.23%	1.82%	6.11%	11.32%
MO Altria Group, Inc.	2.25%	2.88%	27.30%	28.89%	30.10%	26.90%	16.44%	8.10%
MSFT Microsoft Corporation	-2.66%	0.87%	-13.46%	-13.38%	-10.20%	8.53%	11.60%	24.64%

*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 +1.45%. At this rate, an investment would double in approximately 4.0 years.

Historically, 68% of months were positive and 32% 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%	4.81%	0.72%	0.12%							4.47%
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 5.32%, beta of 0.38, and R2 of 0.20 versus S&P 500 Index. Calculated based on daily prices since March 20, 2008.

This portfolio participated in 63.12% of S&P 500 Index downside but only 56.31% of its upside - more exposed to losses than it benefited from rallies.
Beta of 0.38 may look defensive, but with R2 of 0.20 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 0.20 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: 5.32%

Beta: 0.38

R²: 0.20

Upside Capture: 56.31%

Downside Capture: 63.12%

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 16 for risk / return — in the bottom 16% 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 Quality FCF Aristocrats Sector and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.43	—	—
Sortino ratioReturn per unit of downside risk	2.14	—	—
Omega ratioGain probability vs. loss probability	1.24	—	—
Calmar ratioReturn relative to maximum drawdown	1.78	—	—
Martin ratioReturn relative to average drawdown	6.10	—	—
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
AAPL Apple Inc	89	2.42	3.39	1.43	3.92	9.86
ADP Automatic Data Processing, Inc.	9	-1.12	-1.60	0.81	-0.67	-1.19
AMGN Amgen Inc.	68	0.93	1.53	1.19	1.54	3.61
GILD Gilead Sciences, Inc.	63	0.77	1.30	1.15	1.14	2.82
GOOGL Alphabet Inc. Class A	96	4.10	5.42	1.65	5.92	21.69
JNJ Johnson & Johnson	94	3.30	4.77	1.59	5.07	15.08
MA Mastercard Incorporated	12	-0.71	-0.86	0.89	-0.75	-1.54
MCD McDonald's Corporation	23	-0.44	-0.52	0.94	-0.38	-1.00
MO Altria Group, Inc.	74	1.35	1.87	1.26	1.84	4.65
MSFT Microsoft Corporation	26	-0.41	-0.40	0.95	-0.30	-0.64

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 Jun 5, 2026 (values are recalculated daily):

1-Year: 1.43
5-Year: 1.14
10-Year: 1.08
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 1.84 to 2.81, 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 1.99% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.99%	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	0.34%	0.38%	0.40%	0.49%	0.70%	0.49%	0.61%	1.04%	1.79%	1.45%	1.93%	1.93%
ADP Automatic Data Processing, Inc.	2.79%	2.46%	1.96%	2.21%	1.83%	1.55%	2.08%	1.92%	2.14%	2.00%	2.10%	2.36%
AMGN Amgen Inc.	2.80%	2.91%	3.45%	2.96%	2.95%	3.13%	2.78%	2.41%	2.71%	2.65%	2.74%	1.95%
GILD Gilead Sciences, Inc.	2.47%	2.57%	3.33%	3.70%	3.40%	3.91%	4.67%	3.88%	3.65%	2.90%	2.57%	1.27%
GOOGL Alphabet Inc. Class A	0.23%	0.27%	0.32%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
JNJ Johnson & Johnson	2.25%	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	0.66%	0.53%	0.50%	0.53%	0.56%	0.49%	0.45%	0.44%	0.53%	0.58%	0.74%	0.66%
MCD McDonald's Corporation	2.63%	2.35%	2.34%	2.10%	2.15%	1.96%	2.35%	2.39%	2.36%	2.23%	2.97%	2.91%
MO Altria Group, Inc.	5.82%	7.21%	7.65%	9.52%	8.05%	7.43%	8.29%	6.57%	6.07%	3.56%	3.48%	3.73%
MSFT Microsoft Corporation	0.85%	0.70%	0.73%	0.74%	1.06%	0.68%	0.94%	1.20%	1.69%	1.86%	2.37%	2.33%

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 1.97%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-31.72%Nov 2008	3mo 4d	10mo 29d	1y 1moAug 2008 - Oct 2009
COVID crash2020	-28.19%Mar 2020	1mo 2d	3mo 23d	4mo 25dFeb 2020 - Jul 2020
Rate-hike selloffLate 2018	-15.48%Dec 2018	2mo 22d	2mo 18d	5mo 10dOct 2018 - Mar 2019
Bear market2022	-14.36%Sep 2022	8mo 28d	1mo 24d	10mo 22dJan 2022 - Nov 2022
2010 correction2010	-12.27%Jun 2010	2mo 5d	3mo 17d	5mo 22dApr 2010 - Oct 2010

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. 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	2.26	1.95	1.72	1.53	1.48

The portfolio has a diversification ratio of 1.48, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Quality FCF Aristocrats Sector correlation to the S&P 500 Index

Quality FCF Aristocrats Sector has a 0.47 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	0.47
Correlation (3Y) Calculated over the trailing 3-year period	0.47
Correlation (5Y) Calculated over the trailing 5-year period	0.47
Correlation (10Y) Calculated over the trailing 10-year period	0.47
Correlation (All Time) Calculated using the full available price history since Mar 20, 2008	0.47

Benchmark Correlations

Correlation vs. S&P 500 Index. GOOGL has the highest benchmark correlation at 0.57, while MO has the lowest at -0.21.

-0.21

-0.07

JNJ

-0.01

0.01

0.06

0.07

0.15

0.21

0.29

0.30

0.37

MSFT

0.47

AAPL

0.50

GOOGL

0.57

Portfolio Correlations

Correlation vs. Quality FCF Aristocrats Sector. MA has the highest portfolio correlation at 0.72, while MO has the lowest at 0.51.

0.51

0.55

ORLY

0.55

GILD

0.57

0.59

0.59

0.60

0.61

0.62

0.65

0.66

0.70

ADP

0.71

0.72

Asset Correlations Table

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

	ORLY	MO	PM	GILD	PG	MCD	AAPL	JNJ	AMGN	GOOGL	MSFT	V	MA	ADP
ORLY	1.00	0.29	0.28	0.29	0.35	0.39	0.29	0.32	0.31	0.30	0.33	0.34	0.34	0.43
MO	0.29	1.00	0.62	0.27	0.43	0.35	0.21	0.40	0.30	0.20	0.22	0.26	0.27	0.36
PM	0.28	0.62	1.00	0.29	0.45	0.38	0.24	0.41	0.32	0.25	0.26	0.29	0.30	0.36
GILD	0.29	0.27	0.29	1.00	0.31	0.30	0.27	0.42	0.54	0.30	0.30	0.32	0.32	0.37
PG	0.35	0.43	0.45	0.31	1.00	0.44	0.27	0.51	0.39	0.28	0.32	0.34	0.34	0.43
MCD	0.39	0.35	0.38	0.30	0.44	1.00	0.31	0.40	0.34	0.32	0.36	0.39	0.41	0.44
AAPL	0.29	0.21	0.24	0.27	0.27	0.31	1.00	0.26	0.30	0.53	0.52	0.43	0.44	0.39
JNJ	0.32	0.40	0.41	0.42	0.51	0.40	0.26	1.00	0.50	0.30	0.31	0.36	0.36	0.43
AMGN	0.31	0.30	0.32	0.54	0.39	0.34	0.30	0.50	1.00	0.33	0.34	0.35	0.35	0.41
GOOGL	0.30	0.20	0.25	0.30	0.28	0.32	0.53	0.30	0.33	1.00	0.59	0.49	0.50	0.45
MSFT	0.33	0.22	0.26	0.30	0.32	0.36	0.52	0.31	0.34	0.59	1.00	0.48	0.50	0.51
V	0.34	0.26	0.29	0.32	0.34	0.39	0.43	0.36	0.35	0.49	0.48	1.00	0.80	0.53
MA	0.34	0.27	0.30	0.32	0.34	0.41	0.44	0.36	0.35	0.50	0.50	0.80	1.00	0.56
ADP	0.43	0.36	0.36	0.37	0.43	0.44	0.39	0.43	0.41	0.45	0.51	0.53	0.56	1.00

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

Diversification Analysis

Find what Quality FCF Aristocrats Sector is missing

See which holdings overlap, where Quality FCF Aristocrats Sector is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification