Asset Allocation
Find the right asset allocation for (Fidelity) Income growth systematic hedge (LH)
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in (Fidelity) Income growth systematic hedge (LH), 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 9, 2026, the (Fidelity) Income growth systematic hedge (LH) returned 4.58% Year-To-Date and 10.44% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.30% | 0.09% | 8.18% | 8.17% | 23.42% | 19.88% | 11.91% | 13.45% |
Portfolio (Fidelity) Income growth systematic hedge (LH) | -0.17% | 0.08% | 4.58% | 4.96% | 14.51% | 14.23% | 10.58% | 10.44% |
| Portfolio components: | ||||||||
AQMNX AQR Managed Futures Strategy Fund Class N | -0.56% | 1.24% | 12.24% | 14.33% | 24.98% | 12.16% | 12.32% | 4.71% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | -2.26% | -2.66% | -18.69% | -16.94% | -35.41% | -12.18% | -4.53% | -4.76% |
IAU iShares Gold Trust | 0.20% | -8.43% | 0.26% | 3.08% | 30.27% | 29.88% | 17.71% | 12.71% |
RYMTX Guggenheim Managed Futures Strategy Fund | -1.54% | -1.59% | 7.07% | 8.27% | 17.81% | 3.95% | 5.50% | 3.51% |
SCHG Schwab U.S. Large-Cap Growth ETF | 0.15% | -0.94% | 3.75% | 2.93% | 20.82% | 24.03% | 14.90% | 18.53% |
UUP Invesco DB US Dollar Index Bullish Fund | 0.04% | 2.52% | 3.70% | 3.08% | 5.64% | 4.21% | 6.04% | 3.19% |
VDC Vanguard Consumer Staples ETF | -0.25% | -2.19% | 7.19% | 7.44% | 4.07% | 8.08% | 6.63% | 7.63% |
VHT Vanguard Health Care ETF | -0.29% | 5.33% | -1.21% | 0.70% | 16.43% | 7.21% | 4.80% | 9.66% |
VIG Vanguard Dividend Appreciation ETF | 0.03% | 2.32% | 6.58% | 6.47% | 18.31% | 16.04% | 10.62% | 13.05% |
VONG Vanguard Russell 1000 Growth ETF | 0.21% | -0.46% | 4.12% | 3.06% | 21.24% | 23.77% | 14.57% | 18.32% |
Monthly Returns
Based on dividend-adjusted daily data since Sep 14, 2011, (Fidelity) Income growth systematic hedge (LH)'s average daily return is +0.04%, while the average monthly return is +0.82%. At this rate, an investment would double in approximately 7.1 years.
Historically, 69% of months were positive and 31% were negative. The best month was Apr 2020 with a return of +7.1%, while the worst month was Mar 2020 at -5.1%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 3 months.
On a daily basis, (Fidelity) Income growth systematic hedge (LH) closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +4.7%, while the worst single day was Mar 16, 2020 at -6.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.45% | 2.06% | -3.69% | 3.59% | 1.32% | -1.05% | 4.58% | ||||||
| 2025 | 2.38% | 0.60% | -1.72% | -1.03% | 2.41% | 1.82% | 0.74% | 1.73% | 3.12% | 0.95% | 1.79% | -0.43% | 12.96% |
| 2024 | 1.72% | 3.16% | 3.17% | -1.26% | 2.52% | 1.35% | 1.55% | 1.91% | 1.39% | -0.17% | 3.26% | -1.36% | 18.49% |
| 2023 | 2.05% | -1.46% | 1.95% | 1.56% | -0.86% | 2.93% | 1.58% | -0.58% | -1.94% | 0.08% | 3.87% | 1.95% | 11.49% |
| 2022 | -2.00% | -1.23% | 3.59% | -2.27% | 0.04% | -2.99% | 3.37% | -1.62% | -4.45% | 5.43% | 3.27% | -2.49% | -1.91% |
| 2021 | -0.89% | -0.17% | 3.55% | 2.72% | 1.07% | 0.42% | 1.62% | 1.46% | -2.92% | 4.25% | -0.90% | 4.12% | 14.98% |
Benchmark Metrics
(Fidelity) Income growth systematic hedge (LH) has an annualized alpha of 3.04%, beta of 0.50, and R2 of 0.90 versus S&P 500 Index. Calculated based on daily prices since September 14, 2011.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (52.27%) than losses (44.08%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 3.04% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.50 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
- 3.04%
- Beta
- 0.50
- R²
- 0.90
- Upside Capture
- 52.27%
- Downside Capture
- 44.08%
Expense Ratio
(Fidelity) Income growth systematic hedge (LH) has an expense ratio of 0.56%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Top 10 holdings
Return for Risk
Risk / Return Rank
(Fidelity) Income growth systematic hedge (LH) ranks 59 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 (Fidelity) Income growth systematic hedge (LH) and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.28 | 1.94 | +0.35 |
| Sortino ratioReturn per unit of downside risk | 3.21 | 2.63 | +0.59 |
| Omega ratioGain probability vs. loss probability | 1.43 | 1.35 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 2.76 | 2.59 | +0.17 |
| Martin ratioReturn relative to average drawdown | 11.75 | 11.84 | -0.10 |
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 |
|---|---|---|---|---|---|---|
AQMNX AQR Managed Futures Strategy Fund Class N | 90 | 2.84 | 3.85 | 1.50 | 7.83 | 26.39 |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 0 | -1.61 | -2.52 | 0.74 | -0.95 | -1.62 |
IAU iShares Gold Trust | 33 | 1.14 | 1.52 | 1.23 | 1.52 | 3.80 |
RYMTX Guggenheim Managed Futures Strategy Fund | 51 | 1.58 | 2.18 | 1.30 | 3.27 | 12.34 |
SCHG Schwab U.S. Large-Cap Growth ETF | 36 | 1.33 | 1.82 | 1.24 | 1.27 | 4.25 |
UUP Invesco DB US Dollar Index Bullish Fund | 29 | 0.93 | 1.34 | 1.16 | 1.55 | 4.13 |
VDC Vanguard Consumer Staples ETF | 14 | 0.33 | 0.56 | 1.06 | 0.44 | 0.90 |
VHT Vanguard Health Care ETF | 34 | 1.13 | 1.77 | 1.20 | 1.59 | 3.95 |
VIG Vanguard Dividend Appreciation ETF | 58 | 1.82 | 2.65 | 1.33 | 2.33 | 9.37 |
VONG Vanguard Russell 1000 Growth ETF | 37 | 1.36 | 1.87 | 1.24 | 1.31 | 4.39 |
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Dividends
Dividend yield
(Fidelity) Income growth systematic hedge (LH) provided a 1.91% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.91% | 1.98% | 2.34% | 3.03% | 2.37% | 1.44% | 1.74% | 1.72% | 1.59% | 1.45% | 1.55% | 1.94% |
| Portfolio components: | ||||||||||||
AQMNX AQR Managed Futures Strategy Fund Class N | 1.83% | 2.05% | 3.61% | 8.15% | 12.59% | 6.59% | 4.17% | 2.92% | 0.00% | 0.00% | 0.02% | 6.30% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 3.06% | 2.49% | 3.49% | 6.14% | 1.01% | 0.00% | 0.00% | 0.88% | 0.39% | 0.00% | 0.00% | 0.00% |
IAU iShares Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
RYMTX Guggenheim Managed Futures Strategy Fund | 5.63% | 6.03% | 5.10% | 1.02% | 4.80% | 0.00% | 7.56% | 0.00% | 0.00% | 4.70% | 5.19% | 2.68% |
SCHG Schwab U.S. Large-Cap Growth ETF | 0.37% | 0.36% | 0.39% | 0.46% | 0.55% | 0.42% | 0.52% | 0.82% | 1.27% | 1.01% | 1.04% | 1.22% |
UUP Invesco DB US Dollar Index Bullish Fund | 3.31% | 3.43% | 4.48% | 6.44% | 0.89% | 0.00% | 0.00% | 2.03% | 1.08% | 0.10% | 0.00% | 0.00% |
VDC Vanguard Consumer Staples ETF | 2.14% | 2.26% | 2.33% | 2.65% | 2.37% | 2.14% | 2.50% | 2.44% | 2.78% | 2.52% | 2.39% | 2.55% |
VHT Vanguard Health Care ETF | 1.66% | 1.61% | 1.53% | 1.36% | 1.33% | 1.14% | 1.21% | 1.89% | 1.38% | 1.31% | 1.45% | 1.22% |
VIG Vanguard Dividend Appreciation ETF | 1.48% | 1.62% | 1.73% | 1.88% | 1.96% | 1.55% | 1.63% | 1.71% | 2.08% | 1.88% | 2.14% | 2.34% |
VONG Vanguard Russell 1000 Growth ETF | 0.44% | 0.45% | 0.55% | 0.71% | 0.98% | 0.58% | 0.77% | 1.03% | 1.18% | 1.19% | 1.48% | 1.47% |
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 (Fidelity) Income growth systematic hedge (LH). 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 (Fidelity) Income growth systematic hedge (LH) was 19.24%, occurring on Mar 23, 2020. Recovery took 84 trading sessions.
The current (Fidelity) Income growth systematic hedge (LH) drawdown is 1.32%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -19.24%Mar 2020 | 1mo 2d | 4mo 1d | 5mo 3dFeb 2020 - Jul 2020 |
2025 selloff2025 | -9.72%Apr 2025 | 1mo 17d | 2mo 23d | 4mo 10dFeb 2025 - Jun 2025 |
Rate-hike selloffLate 2018 | -9.28%Dec 2018 | 2mo 21d | 2mo | 4mo 21dOct 2018 - Feb 2019 |
Bear market2022 | -9.01%Sep 2022 | 5mo 12d | 6mo 15d | 11mo 27dApr 2022 - Apr 2023 |
2015 pullback2015 | -7.55%Aug 2015 | 4mo 14d | 6mo 24d | 11mo 8dApr 2015 - Mar 2016 |
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 13 assets, with an effective number of assets of 8.87, reflecting the diversification based on asset allocation. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 2.12 | 1.82 | 1.78 | 1.59 | 1.60 |
The portfolio has a diversification ratio of 1.60, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
(Fidelity) Income growth systematic hedge (LH) correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.79 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.85 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.89 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.91 |
Correlation (All Time) Calculated using the full available price history since Sep 14, 2011 | 0.92 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while BTAL has the lowest at -0.52.
Asset Correlations Table
Find what (Fidelity) Income growth systematic hedge (LH) is missing
See which holdings overlap, where (Fidelity) Income growth systematic hedge (LH) is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification