Big Cap Leaders PORTFOLIOLABS screen

Asset Allocation

Position	Category/Sector	Target Weight
NVDA NVIDIA Corporation	Technology	4%
NFLX Netflix, Inc.	Communication Services	4%
PGR The Progressive Corporation	Financial Services	4%
TSM Taiwan Semiconductor Manufacturing Company Limited	Technology	4%
ISRG Intuitive Surgical, Inc.	Healthcare	4%
KKR KKR & Co. Inc.	Financial Services	4%
TMUS T-Mobile US, Inc.	Communication Services	4%
COST Costco Wholesale Corporation	Consumer Defensive	4%
META Meta Platforms, Inc.	Communication Services	4%
ETN Eaton Corporation plc	Industrials	4%
JPM JPMorgan Chase & Co.	Financial Services	4%
BKNG Booking Holdings Inc.	Consumer Cyclical	4%
MS Morgan Stanley	Financial Services	4%
TJX The TJX Companies, Inc.	Consumer Cyclical	4%
SAP SAP SE	Technology	4%
WMT Walmart Inc.	Consumer Defensive	4%
AXP American Express Company	Financial Services	4%
GS The Goldman Sachs Group, Inc.	Financial Services	4%
BRK-B Berkshire Hathaway Inc.	Financial Services	4%
RY Royal Bank of Canada	Financial Services	4%
WFC Wells Fargo & Company	Financial Services	4%
GE General Electric Company	Industrials	4%
PLTR Palantir Technologies Inc.	Technology	4%
PM Philip Morris International Inc.	Consumer Defensive	4%
RTX RTX Corporation	Industrials	4%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Big Cap Leaders PORTFOLIOLABS screen, 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

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.50%	0.31%	8.56%	8.85%	24.33%	19.37%	11.84%	13.61%
Portfolio Big Cap Leaders PORTFOLIOLABS screen	0.61%	2.41%	-0.00%	0.23%	13.03%	35.31%	24.00%	—
Portfolio components:
AXP American Express Company	2.18%	4.05%	-11.56%	-14.47%	14.27%	24.40%	16.02%	19.88%
BKNG Booking Holdings Inc.	0.83%	7.04%	-22.63%	-21.85%	-21.52%	17.23%	12.82%	12.44%
BRK-B Berkshire Hathaway Inc.	0.71%	1.07%	-2.67%	-2.06%	0.35%	13.30%	11.27%	13.22%
COST Costco Wholesale Corporation	0.68%	-5.66%	14.24%	11.38%	-0.24%	25.12%	22.12%	22.27%
ETN Eaton Corporation plc	-0.57%	-4.09%	23.61%	18.59%	22.32%	28.04%	23.65%	23.38%
GE General Electric Company	0.76%	15.01%	9.01%	12.13%	42.47%	58.72%	38.14%	9.96%
GS The Goldman Sachs Group, Inc.	2.62%	10.16%	22.08%	20.84%	76.70%	49.31%	25.98%	24.48%
ISRG Intuitive Surgical, Inc.	-0.45%	-3.97%	-27.42%	-24.20%	-19.74%	9.23%	7.37%	19.09%
JPM JPMorgan Chase & Co.	2.31%	6.94%	0.50%	1.66%	23.40%	34.22%	17.82%	21.02%
KKR KKR & Co. Inc.	0.99%	-3.15%	-24.22%	-29.28%	-20.15%	19.99%	12.18%	24.52%

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

Monthly Returns

Based on dividend-adjusted daily data since Sep 30, 2020, Big Cap Leaders PORTFOLIOLABS screen's average daily return is +0.11%, while the average monthly return is +2.29%. At this rate, an investment would double in approximately 2.6 years.

Historically, 70% of months were positive and 30% were negative. The best month was Nov 2020 with a return of +23.3%, while the worst month was Apr 2022 at -10.7%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Big Cap Leaders PORTFOLIOLABS screen closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +9.7%, while the worst single day was Apr 4, 2025 at -7.0%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	-0.90%	-0.09%	-4.42%	4.52%	0.62%	0.47%							0.00%
2025	7.63%	0.90%	-6.21%	4.46%	7.86%	5.68%	0.40%	1.46%	3.05%	-0.54%	0.22%	1.93%	29.36%
2024	5.08%	9.98%	4.50%	-1.84%	7.74%	2.88%	3.66%	6.24%	2.59%	3.65%	11.56%	-3.44%	65.76%
2023	11.93%	0.45%	2.60%	2.17%	4.12%	7.14%	4.06%	-2.18%	-3.28%	-1.86%	11.69%	5.76%	50.07%
2022	-3.84%	-3.74%	0.87%	-10.68%	1.04%	-10.12%	9.79%	-3.93%	-8.00%	11.27%	9.38%	-5.85%	-15.79%
2021	-1.00%	4.75%	3.93%	6.69%	2.77%	2.37%	0.68%	4.71%	-4.44%	6.51%	-4.26%	3.63%	28.79%

Benchmark Metrics

Big Cap Leaders PORTFOLIOLABS screen has an annualized alpha of 12.56%, beta of 1.03, and R2 of 0.86 versus S&P 500 Index. Calculated based on daily prices since September 30, 2020.

This portfolio captured 137.77% of S&P 500 Index gains but only 82.86% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 12.56% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
With beta of 1.03 and R2 of 0.86, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.

Alpha: 12.56%

Beta: 1.03

R²: 0.86

Upside Capture: 137.77%

Downside Capture: 82.86%

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

Expense Ratio

Big Cap Leaders PORTFOLIOLABS screen 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

Big Cap Leaders PORTFOLIOLABS screen ranks 14 for risk / return — in the bottom 14% 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 Big Cap Leaders PORTFOLIOLABS screen 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	0.95	1.86	-0.91
Sortino ratioReturn per unit of downside risk	1.42	2.53	-1.11
Omega ratioGain probability vs. loss probability	1.17	1.34	-0.17
Calmar ratioReturn relative to maximum drawdown	1.19	2.53	-1.34
Martin ratioReturn relative to average drawdown	3.97	11.37	-7.40

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
AXP American Express Company	52	0.39	0.69	1.09	0.44	0.93
BKNG Booking Holdings Inc.	13	-0.75	-0.93	0.89	-0.72	-1.36
BRK-B Berkshire Hathaway Inc.	38	-0.02	0.08	1.01	-0.02	-0.05
COST Costco Wholesale Corporation	36	-0.08	0.02	1.00	-0.10	-0.22
ETN Eaton Corporation plc	60	0.60	1.00	1.13	1.04	2.25
GE General Electric Company	76	1.29	1.82	1.23	1.95	5.26
GS The Goldman Sachs Group, Inc.	91	2.59	3.19	1.41	3.80	12.61
ISRG Intuitive Surgical, Inc.	15	-0.65	-0.87	0.90	-0.62	-1.24
JPM JPMorgan Chase & Co.	69	1.01	1.43	1.18	1.42	3.36
KKR KKR & Co. Inc.	20	-0.61	-0.67	0.92	-0.51	-0.92

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. Learn how to interpret the Sharpe ratio.

The current Big Cap Leaders PORTFOLIOLABS screen Sharpe ratio is 0.95 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 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 Big Cap Leaders PORTFOLIOLABS screen 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

Big Cap Leaders PORTFOLIOLABS screen provided a 1.33% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.33%	1.10%	1.18%	1.48%	1.47%	1.40%	2.30%	1.79%	2.02%	1.69%	1.70%	2.21%
Portfolio components:
AXP American Express Company	1.05%	0.85%	0.91%	1.24%	1.35%	1.05%	1.42%	1.29%	1.51%	1.32%	1.61%	1.58%
BKNG Booking Holdings Inc.	0.97%	0.72%	0.70%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
BRK-B Berkshire Hathaway 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%
COST Costco Wholesale Corporation	0.55%	0.59%	0.49%	2.87%	0.76%	0.54%	3.38%	0.86%	1.08%	4.81%	1.09%	4.06%
ETN Eaton Corporation plc	1.09%	1.31%	1.13%	1.43%	2.06%	1.76%	1.88%	3.00%	3.85%	3.04%	3.40%	4.23%
GE General Electric Company	0.46%	0.47%	0.67%	0.25%	0.38%	0.34%	0.37%	4.12%	4.89%	4.81%	2.94%	2.95%
GS The Goldman Sachs Group, Inc.	1.60%	1.59%	2.01%	2.72%	2.62%	1.70%	1.90%	1.80%	1.89%	1.14%	1.09%	1.41%
ISRG Intuitive Surgical, 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%
JPM JPMorgan Chase & Co.	1.84%	1.72%	1.92%	2.38%	2.98%	2.34%	2.83%	2.37%	2.54%	1.91%	2.13%	2.54%
KKR KKR & Co. Inc.	0.78%	0.57%	0.47%	0.78%	1.31%	0.77%	1.31%	1.71%	3.23%	3.18%	4.16%	10.13%

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 Big Cap Leaders PORTFOLIOLABS screen. 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 Big Cap Leaders PORTFOLIOLABS screen was 29.25%, occurring on Oct 12, 2022. Recovery took 156 trading sessions.

The current Big Cap Leaders PORTFOLIOLABS screen drawdown is 2.22%.

Related event	Drawdown	Fall	Recovery	Underwater
Bear market2022	-29.25%Oct 2022	11mo 7d	7mo 16d	1y 6moNov 2021 - May 2023
2025 selloff2025	-18.94%Apr 2025	1mo 14d	1mo 10d	2mo 24dFeb 2025 - May 2025
2026 pullback2026	-9.96%Mar 2026	2mo 16d	—	5mo 3dJan 2026 - now
2023 pullback2023	-9.38%Oct 2023	3mo 10d	18d	3mo 28dJul 2023 - Nov 2023
2020 pullback2020	-8.57%Oct 2020	17d	10d	27dOct 2020 - Nov 2020

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 25 assets, with an effective number of assets of 25.00, 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	All Time
Diversification Ratio	2.30	1.78	1.64	1.68

The portfolio has a diversification ratio of 1.68, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Big Cap Leaders PORTFOLIOLABS screen correlation to the S&P 500 Index

Big Cap Leaders PORTFOLIOLABS screen has a 0.84 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	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.87
Correlation (5Y) Calculated over the trailing 5-year period	0.91
Correlation (All Time) Calculated using the full available price history since Sep 30, 2020	0.90

Benchmark Correlations

Correlation vs. S&P 500 Index. NVDA has the highest benchmark correlation at 0.67, while PGR has the lowest at 0.23.

PGR

0.23

0.25

0.30

0.33

0.42

0.50

0.50

0.50

0.52

0.52

0.53

0.53

0.56

0.57

0.58

0.61

TSM

0.62

0.64

Portfolio Correlations

Correlation vs. Big Cap Leaders PORTFOLIOLABS screen. KKR has the highest portfolio correlation at 0.73, while PM has the lowest at 0.28.

0.28

0.29

0.31

0.34

0.47

0.48

0.52

0.53

0.57

0.58

Asset Correlations Table

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

	PM	PGR	TMUS	WMT	NFLX	PLTR	RTX	COST	TSM	SAP	NVDA	META	TJX	BKNG	GE	ISRG	BRK-B	WFC	ETN	RY	JPM	KKR	MS	GS	AXP
PM	1.00	0.27	0.26	0.29	0.10	-0.00	0.25	0.24	0.04	0.18	-0.00	0.10	0.27	0.18	0.18	0.18	0.35	0.25	0.14	0.30	0.24	0.16	0.24	0.22	0.22
PGR	0.27	1.00	0.32	0.28	0.12	-0.00	0.29	0.28	-0.01	0.17	0.02	0.08	0.26	0.14	0.20	0.16	0.46	0.26	0.19	0.24	0.30	0.18	0.19	0.18	0.27
TMUS	0.26	0.32	1.00	0.28	0.23	0.10	0.19	0.33	0.06	0.23	0.13	0.18	0.31	0.21	0.15	0.25	0.33	0.19	0.15	0.23	0.18	0.22	0.15	0.17	0.21
WMT	0.29	0.28	0.28	1.00	0.20	0.13	0.21	0.60	0.09	0.19	0.11	0.19	0.35	0.14	0.20	0.25	0.33	0.17	0.22	0.23	0.21	0.19	0.16	0.19	0.19
NFLX	0.10	0.12	0.23	0.20	1.00	0.41	0.13	0.36	0.33	0.40	0.45	0.50	0.26	0.33	0.23	0.45	0.21	0.17	0.24	0.24	0.21	0.40	0.26	0.24	0.28
PLTR	-0.00	-0.00	0.10	0.13	0.41	1.00	0.17	0.25	0.40	0.37	0.48	0.42	0.21	0.34	0.30	0.40	0.15	0.28	0.32	0.28	0.27	0.42	0.36	0.36	0.33
RTX	0.25	0.29	0.19	0.21	0.13	0.17	1.00	0.19	0.18	0.19	0.15	0.13	0.34	0.27	0.49	0.27	0.47	0.40	0.38	0.41	0.45	0.31	0.41	0.40	0.44
COST	0.24	0.28	0.33	0.60	0.36	0.25	0.19	1.00	0.26	0.34	0.31	0.36	0.39	0.24	0.21	0.43	0.32	0.17	0.28	0.27	0.20	0.33	0.22	0.22	0.27
TSM	0.04	-0.01	0.06	0.09	0.33	0.40	0.18	0.26	1.00	0.42	0.66	0.46	0.23	0.39	0.36	0.41	0.16	0.28	0.49	0.37	0.31	0.45	0.42	0.42	0.38
SAP	0.18	0.17	0.23	0.19	0.40	0.37	0.19	0.34	0.42	1.00	0.41	0.43	0.32	0.39	0.32	0.48	0.31	0.25	0.34	0.38	0.26	0.42	0.34	0.35	0.36
NVDA	-0.00	0.02	0.13	0.11	0.45	0.48	0.15	0.31	0.66	0.41	1.00	0.55	0.23	0.38	0.33	0.48	0.18	0.24	0.45	0.34	0.28	0.48	0.37	0.37	0.35
META	0.10	0.08	0.18	0.19	0.50	0.42	0.13	0.36	0.46	0.43	0.55	1.00	0.29	0.40	0.32	0.49	0.24	0.25	0.37	0.32	0.29	0.46	0.32	0.32	0.37
TJX	0.27	0.26	0.31	0.35	0.26	0.21	0.34	0.39	0.23	0.32	0.23	0.29	1.00	0.39	0.38	0.37	0.44	0.38	0.39	0.39	0.42	0.39	0.40	0.40	0.43
BKNG	0.18	0.14	0.21	0.14	0.33	0.34	0.27	0.24	0.39	0.39	0.38	0.40	0.39	1.00	0.44	0.42	0.38	0.40	0.39	0.42	0.42	0.46	0.45	0.45	0.51
GE	0.18	0.20	0.15	0.20	0.23	0.30	0.49	0.21	0.36	0.32	0.33	0.32	0.38	0.44	1.00	0.34	0.40	0.47	0.53	0.44	0.52	0.44	0.49	0.51	0.50
ISRG	0.18	0.16	0.25	0.25	0.45	0.40	0.27	0.43	0.41	0.48	0.48	0.49	0.37	0.42	0.34	1.00	0.35	0.27	0.42	0.34	0.33	0.52	0.38	0.37	0.41
BRK-B	0.35	0.46	0.33	0.33	0.21	0.15	0.47	0.32	0.16	0.31	0.18	0.24	0.44	0.38	0.40	0.35	1.00	0.56	0.41	0.52	0.63	0.42	0.51	0.52	0.58
WFC	0.25	0.26	0.19	0.17	0.17	0.28	0.40	0.17	0.28	0.25	0.24	0.25	0.38	0.40	0.47	0.27	0.56	1.00	0.42	0.55	0.78	0.48	0.69	0.68	0.64
ETN	0.14	0.19	0.15	0.22	0.24	0.32	0.38	0.28	0.49	0.34	0.45	0.37	0.39	0.39	0.53	0.42	0.41	0.42	1.00	0.45	0.50	0.52	0.52	0.54	0.50
RY	0.30	0.24	0.23	0.23	0.24	0.28	0.41	0.27	0.37	0.38	0.34	0.32	0.39	0.42	0.44	0.34	0.52	0.55	0.45	1.00	0.58	0.48	0.59	0.59	0.55
JPM	0.24	0.30	0.18	0.21	0.21	0.27	0.45	0.20	0.31	0.26	0.28	0.29	0.42	0.42	0.52	0.33	0.63	0.78	0.50	0.58	1.00	0.49	0.72	0.73	0.68
KKR	0.16	0.18	0.22	0.19	0.40	0.42	0.31	0.33	0.45	0.42	0.48	0.46	0.39	0.46	0.44	0.52	0.42	0.48	0.52	0.48	0.49	1.00	0.59	0.59	0.60
MS	0.24	0.19	0.15	0.16	0.26	0.36	0.41	0.22	0.42	0.34	0.37	0.32	0.40	0.45	0.49	0.38	0.51	0.69	0.52	0.59	0.72	0.59	1.00	0.84	0.65
GS	0.22	0.18	0.17	0.19	0.24	0.36	0.40	0.22	0.42	0.35	0.37	0.32	0.40	0.45	0.51	0.37	0.52	0.68	0.54	0.59	0.73	0.59	0.84	1.00	0.64
AXP	0.22	0.27	0.21	0.19	0.28	0.33	0.44	0.27	0.38	0.36	0.35	0.37	0.43	0.51	0.50	0.41	0.58	0.64	0.50	0.55	0.68	0.60	0.65	0.64	1.00

The correlation results are calculated based on daily price changes starting from Sep 30, 2020

Diversification Analysis

Find what Big Cap Leaders PORTFOLIOLABS screen is missing

See which holdings overlap, where Big Cap Leaders PORTFOLIOLABS screen is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification