Asset Allocation
Find the right asset allocation for Defensive ETFs Portfolio
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 Defensive ETFs Portfolio, 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 13, 2026, the Defensive ETFs Portfolio returned 7.81% Year-To-Date and 6.92% of annualized return in the last 10 years.
| 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 Defensive ETFs Portfolio | 0.40% | 1.90% | 7.81% | 7.52% | 13.50% | 9.69% | 4.95% | 6.92% |
| Portfolio components: | ||||||||
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | -0.06% | 0.80% | 0.82% | 1.24% | 5.80% | 5.30% | -0.21% | 2.54% |
SCHD Schwab U.S. Dividend Equity ETF | 0.89% | 3.21% | 20.66% | 19.57% | 26.72% | 14.90% | 8.75% | 12.91% |
SHY iShares 1-3 Year Treasury Bond ETF | -0.02% | 0.19% | 0.55% | 0.80% | 3.29% | 4.15% | 1.74% | 1.65% |
VGIT Vanguard Intermediate-Term Treasury ETF | -0.12% | 0.16% | -0.29% | 0.04% | 3.43% | 3.69% | 0.01% | 1.20% |
VYM Vanguard High Dividend Yield ETF | 0.80% | 1.97% | 12.37% | 11.19% | 25.94% | 18.06% | 11.59% | 11.95% |
XLP State Street Consumer Staples Select Sector SPDR ETF | 0.65% | 0.99% | 11.10% | 9.54% | 8.93% | 8.26% | 6.65% | 7.60% |
XLU State Street Utilities Select Sector SPDR ETF | 1.09% | -0.82% | 5.04% | 5.48% | 12.50% | 13.79% | 9.41% | 9.20% |
Monthly Returns
Based on dividend-adjusted daily data since Oct 20, 2011, Defensive ETFs Portfolio's average daily return is +0.03%, while the average monthly return is +0.62%. At this rate, an investment would double in approximately 9.3 years.
Historically, 68% of months were positive and 32% were negative. The best month was Nov 2020 with a return of +6.2%, while the worst month was Sep 2022 at -5.9%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Defensive ETFs Portfolio closed higher 55% of trading days. The best single day was Mar 13, 2020 with a return of +4.3%, while the worst single day was Mar 12, 2020 at -5.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.34% | 3.81% | -2.65% | 2.34% | 0.33% | 0.53% | 7.81% | ||||||
| 2025 | 1.46% | 2.08% | -0.71% | -2.08% | 0.93% | 1.77% | 0.13% | 2.51% | 0.42% | -0.38% | 1.96% | -0.46% | 7.79% |
| 2024 | 0.10% | 0.30% | 2.88% | -2.70% | 2.31% | 0.04% | 3.81% | 2.17% | 1.46% | -1.36% | 2.85% | -3.71% | 8.13% |
| 2023 | 2.17% | -3.09% | 1.62% | 0.56% | -2.98% | 2.10% | 1.90% | -1.44% | -3.04% | -1.92% | 4.97% | 4.15% | 4.66% |
| 2022 | -2.00% | -1.34% | 0.39% | -3.43% | 1.98% | -4.30% | 3.28% | -2.57% | -5.89% | 4.85% | 5.07% | -2.03% | -6.49% |
| 2021 | -0.99% | 1.16% | 3.84% | 1.57% | 1.41% | -0.22% | 1.10% | 0.96% | -2.42% | 2.10% | -0.94% | 3.73% | 11.68% |
Benchmark Metrics
Defensive ETFs Portfolio has an annualized alpha of 2.28%, beta of 0.38, and R2 of 0.73 versus S&P 500 Index. Calculated based on daily prices since October 20, 2011.
- This portfolio participated in 44.72% of S&P 500 Index downside but only 43.83% of its upside - more exposed to losses than it benefited from rallies.
- This portfolio generated an annualized alpha of 2.28% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.38 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
- 2.28%
- Beta
- 0.38
- R²
- 0.73
- Upside Capture
- 43.83%
- Downside Capture
- 44.72%
Expense Ratio
Defensive ETFs Portfolio has an expense ratio of 0.07%, 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
Defensive ETFs Portfolio ranks 73 for risk / return — better than 73% 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.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Defensive ETFs Portfolio 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 | 2.34 | 1.86 | +0.48 |
| Sortino ratioReturn per unit of downside risk | 3.57 | 2.53 | +1.04 |
| Omega ratioGain probability vs. loss probability | 1.43 | 1.34 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 3.31 | 2.53 | +0.78 |
| Martin ratioReturn relative to average drawdown | 12.38 | 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 |
|---|---|---|---|---|---|---|
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 30 | 0.97 | 1.43 | 1.17 | 1.55 | 4.37 |
SCHD Schwab U.S. Dividend Equity ETF | 86 | 2.41 | 3.72 | 1.43 | 5.70 | 13.97 |
SHY iShares 1-3 Year Treasury Bond ETF | 85 | 2.43 | 3.97 | 1.50 | 3.64 | 14.45 |
VGIT Vanguard Intermediate-Term Treasury ETF | 28 | 0.96 | 1.47 | 1.17 | 1.13 | 3.18 |
VYM Vanguard High Dividend Yield ETF | 81 | 2.37 | 3.37 | 1.42 | 3.70 | 13.81 |
XLP State Street Consumer Staples Select Sector SPDR ETF | 19 | 0.59 | 0.94 | 1.11 | 0.79 | 1.52 |
XLU State Street Utilities Select Sector SPDR ETF | 25 | 0.81 | 1.18 | 1.15 | 1.30 | 2.80 |
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Dividends
Dividend yield
Defensive ETFs Portfolio provided a 3.41% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.41% | 3.59% | 3.58% | 3.22% | 2.63% | 2.16% | 2.60% | 2.74% | 2.83% | 2.36% | 2.45% | 2.53% |
| Portfolio components: | ||||||||||||
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 4.55% | 4.48% | 4.45% | 3.99% | 3.30% | 2.30% | 2.66% | 3.29% | 3.67% | 3.10% | 3.34% | 3.47% |
SCHD Schwab U.S. Dividend Equity ETF | 3.22% | 3.82% | 3.64% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.68% | 3.81% | 3.92% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% |
VGIT Vanguard Intermediate-Term Treasury ETF | 3.86% | 3.79% | 3.67% | 2.73% | 1.74% | 1.69% | 2.23% | 2.24% | 2.05% | 1.67% | 1.69% | 1.69% |
VYM Vanguard High Dividend Yield ETF | 2.19% | 2.44% | 2.74% | 3.12% | 3.01% | 2.76% | 3.18% | 3.03% | 3.40% | 2.80% | 2.91% | 3.22% |
XLP State Street Consumer Staples Select Sector SPDR ETF | 2.53% | 2.75% | 2.77% | 2.63% | 2.47% | 2.28% | 2.50% | 2.57% | 3.04% | 2.62% | 2.53% | 2.52% |
XLU State Street Utilities Select Sector SPDR ETF | 2.67% | 2.71% | 2.96% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.41% | 3.67% |
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 Defensive ETFs Portfolio. 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 Defensive ETFs Portfolio was 16.87%, occurring on Mar 23, 2020. Recovery took 53 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -16.87%Mar 2020 | 1mo 4d | 2mo 17d | 3mo 21dFeb 2020 - Jun 2020 |
Bear market2022 | -13.58%Sep 2022 | 8mo 28d | 1y 5mo | 2y 2moJan 2022 - Mar 2024 |
Rate-hike selloffLate 2018 | -7.03%Dec 2018 | 10mo 29d | 1mo 21d | 1y 15dJan 2018 - Feb 2019 |
2025 selloff2025 | -6.88%Apr 2025 | 4mo 7d | 2mo 24d | 7mo 1dDec 2024 - Jul 2025 |
2015 pullback2015 | -6.45%Aug 2015 | 6mo 1d | 6mo 4d | 1yFeb 2015 - Feb 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 7 assets, with an effective number of assets of 5.41, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.35 | 1.30 | 1.30 | 1.30 | 1.31 |
The portfolio has a diversification ratio of 1.31, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Defensive ETFs Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.49 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.59 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.69 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.74 |
Correlation (All Time) Calculated using the full available price history since Oct 20, 2011 | 0.78 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VYM has the highest benchmark correlation at 0.87, while VGIT has the lowest at -0.17.
Asset Correlations Table
Find what Defensive ETFs Portfolio is missing
See which holdings overlap, where Defensive ETFs Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification