Zim Dec. 2023

Asset Allocation

Position	Category/Sector	Target Weight
EFG iShares MSCI EAFE Growth ETF	Foreign Large Cap Equities	5.64%
EFV iShares MSCI EAFE Value ETF	Foreign Large Cap Equities	4.52%
ESGU iShares ESG Aware MSCI USA ETF	Large Cap Blend Equities, ESG	3.52%
FALN iShares Fallen Angels USD Bond ETF	High Yield Bonds	1.11%
GOVT iShares U.S. Treasury Bond ETF	Government Bonds	8.34%
IUSB iShares Core Universal USD Bond ETF	Intermediate Core-Plus Bond	23.87%
IVV iShares Core S&P 500 ETF	S&P 500	24.02%
IYW iShares U.S. Technology ETF	Technology Equities	4.12%
MBB iShares MBS Bond ETF	Mortgage Backed Securities	10.52%
TLH iShares 10-20 Year Treasury Bond ETF	Government Bonds, Long-Term Bond	1.82%
USD=X USD Cash		12.52%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Zim Dec. 2023, 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 Dec 6, 2016, corresponding to the inception date of ESGU

Returns By Period

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	2.51%	-0.19%	-0.92%	0.43%	36.13%	18.22%	10.44%	12.72%
Portfolio Zim Dec. 2023	0.00%	0.18%	0.70%	1.78%	18.96%	9.94%	5.12%	—
Portfolio components:
IVV iShares Core S&P 500 ETF	2.51%	-0.08%	-0.60%	1.00%	37.81%	19.83%	12.03%	14.60%
IUSB iShares Core Universal USD Bond ETF	0.26%	-0.57%	0.53%	1.34%	6.40%	3.97%	0.62%	2.07%
MBB iShares MBS Bond ETF	0.21%	-0.53%	0.88%	2.06%	7.12%	3.88%	0.45%	1.37%
GOVT iShares U.S. Treasury Bond ETF	0.24%	-0.77%	0.35%	0.95%	3.81%	2.27%	-0.21%	0.94%
EFG iShares MSCI EAFE Growth ETF	4.88%	2.24%	3.95%	3.22%	35.29%	10.24%	4.31%	7.94%
EFV iShares MSCI EAFE Value ETF	3.13%	4.15%	8.84%	16.50%	55.00%	21.93%	13.17%	10.16%
IYW iShares U.S. Technology ETF	3.09%	0.74%	-3.26%	-3.80%	57.78%	28.33%	15.85%	22.55%
ESGU iShares ESG Aware MSCI USA ETF	2.49%	-0.00%	-1.02%	0.49%	37.56%	19.18%	10.70%	—
TLH iShares 10-20 Year Treasury Bond ETF	0.37%	-1.78%	0.37%	0.24%	4.13%	-0.64%	-3.38%	-0.68%
FALN iShares Fallen Angels USD Bond ETF	0.74%	0.39%	0.81%	1.41%	14.26%	9.08%	3.92%	—

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

Monthly Returns

Based on dividend-adjusted daily data since Dec 7, 2016, Zim Dec. 2023's average daily return is +0.02%, while the average monthly return is +0.59%. At this rate, your investment would double in approximately 9.8 years.

Historically, 72% of months were positive and 28% were negative. The best month was Nov 2023 with a return of +6.1%, while the worst month was Sep 2022 at -6.0%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 4 months.

On a daily basis, Zim Dec. 2023 closed higher 39% of trading days. The best single day was Apr 9, 2025 with a return of +3.9%, while the worst single day was Mar 12, 2020 at -5.1%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	0.99%	0.82%	-3.22%	2.19%									0.70%
2025	1.31%	0.80%	-1.90%	0.41%	2.33%	2.86%	0.43%	1.62%	2.04%	1.35%	0.18%	0.20%	12.19%
2024	0.56%	1.24%	1.74%	-2.85%	3.03%	1.60%	1.56%	1.76%	1.36%	-2.03%	2.48%	-1.55%	9.06%
2023	4.62%	-2.20%	3.07%	0.93%	-0.31%	2.42%	1.29%	-1.26%	-3.18%	-1.75%	6.06%	3.83%	13.88%
2022	-3.24%	-1.85%	-0.15%	-5.41%	0.47%	-4.26%	4.77%	-3.41%	-6.04%	2.43%	5.09%	-2.69%	-14.07%
2021	-0.56%	0.33%	1.06%	2.37%	0.56%	1.23%	1.36%	1.16%	-2.34%	2.59%	-0.49%	1.77%	9.32%

Benchmark Metrics

Zim Dec. 2023 has an annualized alpha of 1.47%, beta of 0.41, and R² of 0.88 versus S&P 500 Index. Calculated based on daily prices since December 07, 2016.

This portfolio participated in 52.63% of S&P 500 Index downside but only 45.62% of its upside — more exposed to losses than it benefited from rallies.
Beta of 0.41 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: 1.47%

Beta: 0.41

R²: 0.88

Upside Capture: 45.62%

Downside Capture: 52.63%

Expense Ratio

Zim Dec. 2023 has an expense ratio of 0.11%, 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.

IYW

iShares U.S. Technology ETF

EFG

iShares MSCI EAFE Growth ETF

EFV

iShares MSCI EAFE Value ETF

FALN

iShares Fallen Angels USD Bond ETF

GOVT

iShares U.S. Treasury Bond ETF

ESGU

iShares ESG Aware MSCI USA ETF

TLH

iShares 10-20 Year Treasury Bond ETF

IUSB

iShares Core Universal USD Bond ETF

MBB

iShares MBS Bond ETF

IVV

iShares Core S&P 500 ETF

Return for Risk

Risk / Return Rank

Zim Dec. 2023 ranks 33 for risk / return — below 33% of portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	2.19	2.19	+0.01
Sortino ratio Return per unit of downside risk	3.12	3.49	-0.38
Omega ratio Gain probability vs. loss probability	1.43	1.48	-0.05
Calmar ratio Return relative to maximum drawdown	1.86	3.70	-1.84
Martin ratio Return relative to average drawdown	6.90	16.45	-9.55
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 Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
IVV iShares Core S&P 500 ETF	80	2.29	3.64	1.50	3.99	17.75
IUSB iShares Core Universal USD Bond ETF	39	1.65	2.40	1.30	1.83	6.38
MBB iShares MBS Bond ETF	37	1.51	2.19	1.27	2.01	6.61
GOVT iShares U.S. Treasury Bond ETF	22	1.00	1.48	1.17	1.02	2.79
EFG iShares MSCI EAFE Growth ETF	54	1.94	2.99	1.37	2.51	9.81
EFV iShares MSCI EAFE Value ETF	92	3.59	5.13	1.70	4.59	18.52
IYW iShares U.S. Technology ETF	69	2.31	3.38	1.45	3.11	10.20
ESGU iShares ESG Aware MSCI USA ETF	75	2.22	3.49	1.48	3.77	16.49
TLH iShares 10-20 Year Treasury Bond ETF	11	0.48	0.73	1.09	-0.05	-0.11
FALN iShares Fallen Angels USD Bond ETF	75	2.34	3.70	1.57	3.10	13.18

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.

Zim Dec. 2023 Sharpe ratios as of Apr 9, 2026 (values are recalculated daily):

1-Year: 2.19
5-Year: 0.63
All Time: 0.87

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 2.13 to 2.98, 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 Zim Dec. 2023 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

Zim Dec. 2023 provided a 2.53% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.53%	2.53%	2.45%	2.23%	1.84%	1.28%	1.75%	2.11%	2.21%	1.85%	1.88%	1.74%
Portfolio components:
IVV iShares Core S&P 500 ETF	1.19%	1.17%	1.30%	1.44%	1.66%	1.20%	1.57%	1.85%	2.21%	1.75%	2.01%	2.27%
IUSB iShares Core Universal USD Bond ETF	4.23%	4.17%	4.04%	3.46%	2.53%	1.74%	2.68%	3.04%	2.98%	2.56%	2.60%	1.95%
MBB iShares MBS Bond ETF	4.22%	4.21%	3.94%	3.40%	2.31%	1.05%	2.10%	2.77%	2.64%	2.23%	2.58%	2.66%
GOVT iShares U.S. Treasury Bond ETF	3.51%	3.49%	3.14%	2.65%	1.77%	0.96%	2.17%	1.98%	1.97%	1.57%	1.40%	1.25%
EFG iShares MSCI EAFE Growth ETF	2.43%	2.53%	1.64%	1.63%	1.27%	1.54%	0.85%	1.69%	1.98%	1.56%	2.20%	1.75%
EFV iShares MSCI EAFE Value ETF	3.82%	4.16%	4.66%	4.36%	4.17%	4.07%	2.42%	4.62%	4.56%	3.56%	3.28%	3.59%
IYW iShares U.S. Technology ETF	0.14%	0.14%	0.21%	0.34%	0.50%	0.31%	0.56%	0.72%	0.92%	0.82%	1.14%	1.12%
ESGU iShares ESG Aware MSCI USA ETF	1.03%	0.99%	1.18%	1.43%	1.58%	1.06%	1.27%	1.32%	1.73%	1.82%	0.00%	0.00%
TLH iShares 10-20 Year Treasury Bond ETF	4.34%	4.17%	4.28%	3.83%	2.78%	1.50%	2.65%	2.31%	2.17%	1.83%	1.91%	2.13%
FALN iShares Fallen Angels USD Bond ETF	6.43%	6.31%	6.24%	5.37%	5.08%	3.40%	5.14%	5.35%	5.97%	6.98%	3.55%	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.

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Worst Drawdowns

The table below displays the maximum drawdowns of the Zim Dec. 2023. 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 Zim Dec. 2023 was 18.75%, occurring on Oct 14, 2022. Recovery took 504 trading sessions.

The current Zim Dec. 2023 drawdown is 1.35%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-18.75%	Dec 28, 2021	291	Oct 14, 2022	504	Mar 1, 2024	795
-15.01%	Feb 20, 2020	30	Mar 20, 2020	77	Jun 5, 2020	107
-7.5%	Aug 30, 2018	117	Dec 24, 2018	64	Feb 26, 2019	181
-7.33%	Feb 18, 2025	50	Apr 8, 2025	37	May 15, 2025	87
-4.94%	Feb 26, 2026	30	Mar 27, 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 11 assets, with an effective number of assets of 6.37, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

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

	Benchmark	USD=X	TLH	GOVT	MBB	IUSB	EFV	FALN	IYW	EFG	ESGU	IVV	Portfolio
Benchmark	1.00	0.00	-0.09	-0.10	0.07	0.09	0.71	0.63	0.88	0.79	0.96	1.00	0.92
USD=X	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
TLH	-0.09	0.00	1.00	0.94	0.78	0.85	-0.07	0.21	-0.06	0.02	-0.06	-0.08	0.18
GOVT	-0.10	0.00	0.94	1.00	0.81	0.87	-0.06	0.21	-0.07	0.02	-0.07	-0.09	0.18
MBB	0.07	0.00	0.78	0.81	1.00	0.84	0.08	0.33	0.05	0.15	0.07	0.06	0.32
IUSB	0.09	0.00	0.85	0.87	0.84	1.00	0.08	0.39	0.08	0.17	0.10	0.08	0.36
EFV	0.71	0.00	-0.07	-0.06	0.08	0.08	1.00	0.51	0.50	0.80	0.61	0.65	0.69
FALN	0.63	0.00	0.21	0.21	0.33	0.39	0.51	1.00	0.51	0.55	0.56	0.58	0.68
IYW	0.88	0.00	-0.06	-0.07	0.05	0.08	0.50	0.51	1.00	0.65	0.79	0.83	0.79
EFG	0.79	0.00	0.02	0.02	0.15	0.17	0.80	0.55	0.65	1.00	0.72	0.74	0.81
ESGU	0.96	0.00	-0.06	-0.07	0.07	0.10	0.61	0.56	0.79	0.72	1.00	0.93	0.84
IVV	1.00	0.00	-0.08	-0.09	0.06	0.08	0.65	0.58	0.83	0.74	0.93	1.00	0.87
Portfolio	0.92	0.00	0.18	0.18	0.32	0.36	0.69	0.68	0.79	0.81	0.84	0.87	1.00

The correlation results are calculated based on daily price changes starting from Dec 7, 2016

Zim Dec. 2023

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table