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To beat 60/40 with similar SD
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

To beat 60/40 with similar SD

Currency in USD · Last updated Apr 2, 2026

This portfolio was modeled on 60 VTI/40 BND one with the goal of increasing return while keeping SD reasonably low. Substituting some VOO for VTI and use 10% SHY as less volative. Also have 10% XLK for growth and 20 % of GLD stabilization, and 5% utilities and 2.5% ABBV for stabilization as well.

Portfoliovisualizer using 10 years data up to 31 25 July shows SD=11.14%, drawdown -18.56%, annualized 3 years SD= 11.18, 5 years SD=11.8% and annualized 10 Yr return=13.61% VERSUS VTI60/BND40 SD=10.55%, drawdown =20.7%, annualized 5 years SD=11.65 and annualized 10 Yr return=9.18%. THUS, annualized 5-year SD of this portfolio is just 0.15% higher than that of 60/40, and "SD" (not sure what PW means here) is 0.49% higher. Return (10 yr annualized) meanwhile is 4.43% higher than 60/40.

Asset Allocation

SHY 10.00%GLD 20.00%VOO 27.50%VTI 25.00%XLK 10.00%FUTY 5.00%1 position 2.50%BondBondCommodityCommodityEquityEquity
PositionCategory/SectorTarget Weight
ABBV
AbbVie Inc.		Healthcare
2.50%
FUTY
Fidelity MSCI Utilities Index ETF		Utilities Equities
5%
GLD
SPDR Gold Shares		Gold, Precious Metals
20%
SHY
iShares 1-3 Year Treasury Bond ETF		Government Bonds
10%
VOO
Vanguard S&P 500 ETF		S&P 500
27.50%
VTI
Vanguard Total Stock Market ETF		Large Cap Blend Equities
25%
XLK
State Street Technology Select Sector SPDR ETF		Technology Equities
10%

S&P 500 Index

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in To beat 60/40 with similar SD, 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 Oct 24, 2013, corresponding to the inception date of FUTY

Returns By Period

As of Apr 2, 2026, the To beat 60/40 with similar SD returned -0.02% Year-To-Date and 13.90% of annualized return in the last 10 years.

1D1MYTD6M1Y3Y*5Y*10Y*
Benchmark
S&P 500 Index
0.72%-3.54%-3.95%-2.09%15.95%16.96%10.34%12.24%
Portfolio
To beat 60/40 with similar SD
0.91%-3.66%-0.02%3.39%23.85%20.41%13.48%13.90%
Portfolio components:
VTI
Vanguard Total Stock Market ETF		0.76%-4.38%-3.29%-1.26%18.60%18.14%10.63%13.69%
VOO
Vanguard S&P 500 ETF		0.79%-4.29%-3.66%-1.41%18.17%18.58%11.93%14.14%
SHY
iShares 1-3 Year Treasury Bond ETF		-0.00%-0.29%0.26%1.22%3.57%3.88%1.70%1.65%
GLD
SPDR Gold Shares		1.75%-10.65%10.47%22.97%52.25%33.69%22.00%14.11%
XLK
State Street Technology Select Sector SPDR ETF		1.51%-3.20%-6.18%-4.94%30.47%22.19%15.65%21.00%
ABBV
AbbVie Inc.		-1.15%-8.23%-5.16%-10.68%7.72%14.56%19.12%18.93%
FUTY
Fidelity MSCI Utilities Index ETF		0.49%-2.11%8.19%5.65%19.31%13.99%10.62%9.67%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Oct 25, 2013, To beat 60/40 with similar SD's average daily return is +0.05%, while the average monthly return is +1.02%. At this rate, your investment would double in approximately 5.7 years.

Historically, 70% of months were positive and 30% were negative. The best month was Apr 2020 with a return of +10.1%, while the worst month was Mar 2020 at -8.1%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.

On a daily basis, To beat 60/40 with similar SD closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +7.2%, while the worst single day was Mar 16, 2020 at -8.2%.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20263.30%1.82%-5.80%0.91%-0.02%
20253.08%-0.14%-1.69%0.78%4.27%3.91%1.76%2.44%5.45%2.59%0.95%0.33%26.22%
20240.75%3.56%3.94%-2.36%4.05%2.38%2.23%2.16%2.83%0.23%3.10%-2.17%22.45%
20235.35%-2.59%4.87%0.86%0.34%3.69%2.99%-1.66%-4.34%0.18%6.97%3.70%21.59%
2022-4.15%-0.55%2.97%-6.67%-0.45%-5.69%5.87%-3.54%-7.44%5.01%5.79%-3.41%-12.77%
2021-1.21%0.30%2.73%4.26%1.67%0.29%2.33%2.15%-4.24%5.11%-0.33%4.11%18.13%

Benchmark Metrics

To beat 60/40 with similar SD has an annualized alpha of 4.22%, beta of 0.69, and R² of 0.91 versus S&P 500 Index. Calculated based on daily prices since October 25, 2013.

  • This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (78.05%) than losses (64.91%) — typical of diversified or defensive assets.
  • This portfolio generated an annualized alpha of 4.22% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
  • Beta of 0.69 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
Alpha
4.22%
Beta
0.69
R²
0.91
Upside Capture
78.05%
Downside Capture
64.91%

Expense Ratio

To beat 60/40 with similar SD has an expense ratio of 0.12%, 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.

GLD
SPDR Gold Shares
SHY
iShares 1-3 Year Treasury Bond ETF
XLK
State Street Technology Select Sector SPDR ETF
FUTY
Fidelity MSCI Utilities Index ETF
VTI
Vanguard Total Stock Market ETF
VOO
Vanguard S&P 500 ETF

Return for Risk

Risk / Return Rank

To beat 60/40 with similar SD ranks 79 for risk / return — better than 79% of portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.

To beat 60/40 with similar SD Risk / Return Rank: 7979
Overall Rank
To beat 60/40 with similar SD Sharpe Ratio Rank: 7979
Sharpe Ratio Rank
To beat 60/40 with similar SD Sortino Ratio Rank: 8282
Sortino Ratio Rank
To beat 60/40 with similar SD Omega Ratio Rank: 8585
Omega Ratio Rank
To beat 60/40 with similar SD Calmar Ratio Rank: 7676
Calmar Ratio Rank
To beat 60/40 with similar SD Martin Ratio Rank: 7474
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

PortfolioBenchmarkDifference

Sharpe ratio

Return per unit of total volatility

1.68

0.92

+0.76

Sortino ratio

Return per unit of downside risk

2.40

1.41

+0.98

Omega ratio

Gain probability vs. loss probability

1.37

1.21

+0.15

Calmar ratio

Return relative to maximum drawdown

2.62

1.41

+1.20

Martin ratio

Return relative to average drawdown

10.57

6.61

+3.95

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 RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VTI
Vanguard Total Stock Market ETF		590.981.521.231.547.30
VOO
Vanguard S&P 500 ETF		601.011.531.231.557.31
SHY
iShares 1-3 Year Treasury Bond ETF		962.484.071.524.0615.56
GLD
SPDR Gold Shares		851.892.311.352.709.90
XLK
State Street Technology Select Sector SPDR ETF		651.131.711.241.976.31
ABBV
AbbVie Inc.		470.290.561.080.360.80
FUTY
Fidelity MSCI Utilities Index ETF		651.251.701.232.205.24

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.

To beat 60/40 with similar SD Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

  • 1-Year: 1.68
  • 5-Year: 1.06
  • 10-Year: 1.06
  • All Time: 1.00

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 1.00 to 1.70, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of To beat 60/40 with similar SD 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

To beat 60/40 with similar SD provided a 1.25% dividend yield over the last twelve months.

TTM20252024202320222021202020192018201720162015
Portfolio1.25%1.23%1.35%1.40%1.34%0.97%1.23%1.55%1.66%1.37%1.54%1.61%
Portfolio components:
VTI
Vanguard Total Stock Market ETF		1.17%1.12%1.27%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%
VOO
Vanguard S&P 500 ETF		1.18%1.13%1.24%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%
SHY
iShares 1-3 Year Treasury Bond ETF		3.72%3.81%3.92%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%
GLD
SPDR Gold Shares		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
XLK
State Street Technology Select Sector SPDR ETF		0.57%0.54%0.66%0.76%1.04%0.65%0.92%1.16%1.60%1.37%1.74%1.79%
ABBV
AbbVie Inc.		3.09%2.87%3.49%3.82%3.49%3.84%4.41%4.83%3.89%2.65%3.64%3.41%
FUTY
Fidelity MSCI Utilities Index ETF		2.49%2.67%2.96%3.31%2.72%2.70%3.07%2.82%3.11%3.03%3.35%4.33%

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 To beat 60/40 with similar SD. 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 To beat 60/40 with similar SD was 24.46%, occurring on Mar 23, 2020. Recovery took 74 trading sessions.

The current To beat 60/40 with similar SD drawdown is 6.09%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-24.46%Feb 20, 202023Mar 23, 202074Jul 8, 202097
-19.18%Dec 28, 2021202Oct 14, 2022187Jul 17, 2023389
-12.83%Feb 20, 202534Apr 8, 202526May 15, 202560
-11.76%Sep 21, 201865Dec 24, 201838Feb 20, 2019103
-9.43%Jan 29, 202642Mar 30, 2026———

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 7 assets, with an effective number of assets of 4.97, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
BenchmarkGLDSHYABBVFUTYXLKVTIVOOPortfolio
Benchmark1.000.01-0.090.420.410.890.991.000.93
GLD0.011.000.37-0.030.140.010.010.010.29
SHY-0.090.371.00-0.030.16-0.08-0.09-0.090.03
ABBV0.42-0.03-0.031.000.250.300.410.420.42
FUTY0.410.140.160.251.000.270.400.410.47
XLK0.890.01-0.080.300.271.000.880.890.86
VTI0.990.01-0.090.410.400.881.000.990.93
VOO1.000.01-0.090.420.410.890.991.000.93
Portfolio0.930.290.030.420.470.860.930.931.00
The correlation results are calculated based on daily price changes starting from Oct 25, 2013