Asset Allocation
Find the right asset allocation for Candidate (2/13/25)
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Candidate (2/13/25), 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.
Loading charts...
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 Candidate (2/13/25) | 0.36% | 1.39% | 5.06% | 4.77% | 18.46% | 19.10% | 14.68% | — |
| Portfolio components: | ||||||||
AAPL Apple Inc | -1.52% | -3.03% | 7.29% | 4.81% | 48.78% | 17.21% | 18.59% | 29.36% |
ABBV AbbVie Inc. | 1.32% | 8.24% | 1.30% | 3.65% | 23.06% | 22.39% | 18.94% | 19.10% |
ABT Abbott Laboratories | -1.64% | 4.39% | -28.82% | -28.92% | -33.65% | -2.76% | -2.50% | 10.94% |
ACN Accenture plc | 1.65% | 0.86% | -35.62% | -36.39% | -43.95% | -16.94% | -8.24% | 5.50% |
ADBE Adobe Inc | -6.76% | -17.60% | -41.71% | -42.76% | -47.91% | -24.76% | -17.73% | 7.72% |
AMD Advanced Micro Devices, Inc. | 4.73% | 20.62% | 138.87% | 142.70% | 340.40% | 60.16% | 44.46% | 60.93% |
AMZN Amazon.com, Inc | -1.23% | -9.69% | 3.35% | 5.46% | 12.47% | 23.49% | 7.35% | 20.83% |
AVGO Broadcom Inc. | -0.91% | -10.14% | 10.62% | 6.58% | 54.87% | 67.17% | 55.09% | 40.96% |
BAC Bank of America Corporation | 2.31% | 13.98% | 3.72% | 3.46% | 30.78% | 27.43% | 8.79% | 18.19% |
BRK-B Berkshire Hathaway Inc. | 0.71% | 1.36% | -2.67% | -2.06% | 0.35% | 13.30% | 11.27% | 13.22% |
Monthly Returns
Based on dividend-adjusted daily data since Sep 30, 2020, Candidate (2/13/25)'s average daily return is +0.07%, while the average monthly return is +1.38%. At this rate, an investment would double in approximately 4.2 years.
Historically, 63% of months were positive and 37% were negative. The best month was Nov 2020 with a return of +10.5%, while the worst month was Sep 2022 at -7.5%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Candidate (2/13/25) closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +6.8%, while the worst single day was Apr 4, 2025 at -5.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.31% | 1.77% | -4.87% | 4.37% | 3.53% | -0.85% | 5.06% | ||||||
| 2025 | 5.11% | 1.79% | -3.63% | -1.24% | 2.84% | 2.64% | -0.14% | 3.95% | 2.73% | 1.20% | 2.96% | -0.36% | 18.99% |
| 2024 | 3.29% | 4.34% | 2.15% | -3.83% | 2.94% | 2.89% | 3.05% | 4.39% | 1.88% | -1.22% | 5.13% | -3.22% | 23.52% |
| 2023 | 3.64% | -3.06% | 4.40% | 2.65% | -0.75% | 5.57% | 3.08% | -0.80% | -3.93% | -1.73% | 7.40% | 3.57% | 21.15% |
| 2022 | -3.30% | -2.94% | 4.12% | -4.77% | -0.18% | -5.45% | 6.19% | -4.52% | -7.49% | 10.15% | 6.34% | -4.13% | -7.49% |
| 2021 | -0.96% | 0.89% | 5.30% | 4.41% | 1.05% | 1.83% | 3.20% | 2.51% | -4.18% | 6.87% | -1.92% | 6.79% | 28.28% |
Benchmark Metrics
Candidate (2/13/25) has an annualized alpha of 5.60%, beta of 0.74, and R2 of 0.86 versus S&P 500 Index. Calculated based on daily prices since September 30, 2020.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (91.67%) than losses (79.54%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 5.60% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Alpha
- 5.60%
- Beta
- 0.74
- R²
- 0.86
- Upside Capture
- 91.67%
- Downside Capture
- 79.54%
Expense Ratio
Candidate (2/13/25) has an expense ratio of 0.01%, 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.
Return for Risk
Risk / Return Rank
Candidate (2/13/25) ranks 49 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Candidate (2/13/25) 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 | 1.98 | 1.86 | +0.12 |
| Sortino ratioReturn per unit of downside risk | 2.92 | 2.53 | +0.39 |
| Omega ratioGain probability vs. loss probability | 1.35 | 1.34 | +0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.57 | 2.53 | +0.04 |
| Martin ratioReturn relative to average drawdown | 10.36 | 11.37 | -1.01 |
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 | 87 | 2.07 | 2.93 | 1.38 | 3.40 | 8.47 |
ABBV AbbVie Inc. | 67 | 0.92 | 1.42 | 1.18 | 1.29 | 2.88 |
ABT Abbott Laboratories | 3 | -1.40 | -1.92 | 0.75 | -0.88 | -1.92 |
ACN Accenture plc | 3 | -1.26 | -1.93 | 0.77 | -0.94 | -1.72 |
ADBE Adobe Inc | 1 | -1.45 | -2.33 | 0.73 | -1.03 | -1.99 |
AMD Advanced Micro Devices, Inc. | 98 | 5.01 | 4.54 | 1.60 | 12.04 | 24.74 |
AMZN Amazon.com, Inc | 53 | 0.40 | 0.76 | 1.09 | 0.55 | 1.29 |
AVGO Broadcom Inc. | 73 | 1.11 | 1.69 | 1.22 | 1.77 | 4.11 |
BAC Bank of America Corporation | 75 | 1.36 | 1.85 | 1.24 | 1.64 | 4.21 |
BRK-B Berkshire Hathaway Inc. | 38 | -0.02 | 0.08 | 1.01 | -0.02 | -0.05 |
Loading charts...
Dividends
Dividend yield
Candidate (2/13/25) provided a 1.64% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.64% | 1.67% | 1.78% | 1.94% | 1.88% | 1.78% | 2.08% | 2.01% | 2.24% | 2.00% | 2.12% | 2.24% |
| Portfolio components: | ||||||||||||
AAPL Apple Inc | 0.36% | 0.38% | 0.40% | 0.49% | 0.70% | 0.49% | 0.61% | 1.04% | 1.79% | 1.45% | 1.93% | 1.93% |
ABBV AbbVie Inc. | 2.96% | 2.87% | 3.49% | 3.82% | 3.49% | 3.84% | 4.41% | 4.83% | 3.89% | 2.65% | 3.64% | 3.41% |
ABT Abbott Laboratories | 2.77% | 1.88% | 1.95% | 1.85% | 1.71% | 1.28% | 1.32% | 1.47% | 1.55% | 1.86% | 2.71% | 2.14% |
ACN Accenture plc | 3.74% | 2.26% | 1.52% | 1.33% | 1.51% | 0.87% | 1.26% | 1.07% | 1.98% | 1.66% | 1.97% | 2.03% |
ADBE Adobe 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% |
AMD Advanced Micro Devices, 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% |
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% |
AVGO Broadcom Inc. | 0.65% | 0.70% | 0.94% | 1.71% | 3.02% | 2.24% | 3.05% | 3.54% | 3.11% | 1.87% | 1.43% | 1.13% |
BAC Bank of America Corporation | 2.72% | 1.96% | 2.28% | 2.73% | 2.60% | 1.75% | 2.38% | 1.87% | 2.19% | 1.32% | 1.13% | 1.19% |
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% |
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.
Loading charts...
Worst Drawdowns
The table below displays the maximum drawdowns of the Candidate (2/13/25). 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 Candidate (2/13/25) was 17.93%, occurring on Sep 30, 2022. Recovery took 168 trading sessions.
The current Candidate (2/13/25) drawdown is 1.15%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -17.93%Sep 2022 | 8mo 29d | 8mo 5d | 1y 4moJan 2022 - Jun 2023 |
2025 selloff2025 | -13.28%Apr 2025 | 1mo 17d | 2mo 24d | 4mo 11dFeb 2025 - Jul 2025 |
2023 pullback2023 | -8.27%Oct 2023 | 2mo 28d | 28d | 3mo 26dJul 2023 - Nov 2023 |
2020 pullback2020 | -7.13%Oct 2020 | 15d | 12d | 27dOct 2020 - Nov 2020 |
2026 pullback2026 | -6.80%Mar 2026 | 25d | 1mo 16d | 2mo 11dMar 2026 - May 2026 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading charts...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 51 assets, with an effective number of assets of 22.26, reflecting the diversification based on asset allocation. Your portfolio is dominated by one or two holdings, which significantly increases concentration risk. Consider rebalancing toward more even weights or adding additional positions.
Diversification Ratio
1Y | 3Y | 5Y | All Time | |
|---|---|---|---|---|
Diversification Ratio | 2.73 | 2.08 | 1.77 | 1.78 |
The portfolio has a diversification ratio of 1.78, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Candidate (2/13/25) correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.74 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.82 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.89 |
Correlation (All Time) Calculated using the full available price history since Sep 30, 2020 | 0.90 |
Benchmark Correlations
Correlation vs. S&P 500 Index. SPY has the highest benchmark correlation at 1.00, while MRK has the lowest at 0.17.
Portfolio Correlations
Correlation vs. Candidate (2/13/25). SPY has the highest portfolio correlation at 0.90, while XOM has the lowest at 0.27.
Asset Correlations Table
Find what Candidate (2/13/25) is missing
See which holdings overlap, where Candidate (2/13/25) is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification