Defensive ETFs Portfolio

Asset Allocation

Position	Category/Sector	Target Weight
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF	Corporate Bonds	15%
SCHD Schwab U.S. Dividend Equity ETF	Dividend	25%
SHY iShares 1-3 Year Treasury Bond ETF	Government Bonds	10%
VGIT Vanguard Intermediate-Term Treasury ETF	Government Bonds	25%
VYM Vanguard High Dividend Yield ETF	Dividend	15%
XLP State Street Consumer Staples Select Sector SPDR ETF	Consumer Staples Equities	5%
XLU Utilities Select Sector SPDR Fund	Utilities Equities	5%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

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.

Loading graphics...

The earliest data available for this chart is Oct 20, 2011, corresponding to the inception date of SCHD

Returns By Period

As of Apr 4, 2026, the Defensive ETFs Portfolio returned 4.49% Year-To-Date and 6.73% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-4.18%	-3.84%	-1.98%	21.98%	16.86%	10.37%	12.29%
Portfolio Defensive ETFs Portfolio	0.21%	-1.82%	4.49%	5.27%	10.93%	8.05%	4.99%	6.73%
Portfolio components:
SCHD Schwab U.S. Dividend Equity ETF	0.16%	-2.29%	12.35%	13.59%	18.75%	11.70%	8.35%	12.30%
VYM Vanguard High Dividend Yield ETF	0.11%	-3.01%	3.80%	5.95%	22.37%	14.92%	11.04%	11.27%
XLP State Street Consumer Staples Select Sector SPDR ETF	0.53%	-5.52%	6.01%	6.38%	2.60%	5.77%	6.56%	7.15%
XLU Utilities Select Sector SPDR Fund	0.50%	-1.28%	9.31%	5.76%	20.78%	14.75%	11.01%	9.89%
VGIT Vanguard Intermediate-Term Treasury ETF	0.13%	-0.89%	0.03%	0.93%	3.14%	3.19%	0.33%	1.32%
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF	0.42%	-1.26%	0.15%	0.05%	4.83%	4.23%	0.20%	2.67%
SHY iShares 1-3 Year Treasury Bond ETF	0.05%	-0.17%	0.31%	1.28%	3.31%	3.85%	1.71%	1.65%

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

Monthly Returns

Based on dividend-adjusted daily data since Oct 21, 2011, Defensive ETFs Portfolio's average daily return is +0.03%, while the average monthly return is +0.61%. At this rate, your investment would double in approximately 9.5 years.

Historically, 67% of months were positive and 33% 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%	0.05%									4.49%
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 2.40%, beta of 0.38, and R² of 0.73 versus S&P 500 Index. Calculated based on daily prices since October 21, 2011.

This portfolio participated in 45.46% of S&P 500 Index downside but only 45.15% of its upside — more exposed to losses than it benefited from rallies.
This portfolio generated an annualized alpha of 2.40% 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: 2.40%

Beta: 0.38

R²: 0.73

Upside Capture: 45.15%

Downside Capture: 45.46%

Expense Ratio

Defensive ETFs Portfolio has an expense ratio of 0.08%, 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.

LQD

iShares iBoxx $ Investment Grade Corporate Bond ETF

SHY

iShares 1-3 Year Treasury Bond ETF

XLU

Utilities Select Sector SPDR Fund

XLP

State Street Consumer Staples Select Sector SPDR ETF

SCHD

Schwab U.S. Dividend Equity ETF

VYM

Vanguard High Dividend Yield ETF

VGIT

Vanguard Intermediate-Term Treasury ETF

Return for Risk

Risk / Return Rank

Defensive ETFs Portfolio ranks 42 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.

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	1.25	0.88	+0.36
Sortino ratio Return per unit of downside risk	1.78	1.37	+0.41
Omega ratio Gain probability vs. loss probability	1.25	1.21	+0.05
Calmar ratio Return relative to maximum drawdown	1.57	1.39	+0.18
Martin ratio Return relative to average drawdown	6.32	6.43	-0.12
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
SCHD Schwab U.S. Dividend Equity ETF	40	0.89	1.34	1.19	1.09	3.69
VYM Vanguard High Dividend Yield ETF	58	1.15	1.65	1.25	1.59	6.96
XLP State Street Consumer Staples Select Sector SPDR ETF	15	0.23	0.43	1.05	0.30	0.71
XLU Utilities Select Sector SPDR Fund	61	1.27	1.73	1.24	2.24	5.38
VGIT Vanguard Intermediate-Term Treasury ETF	50	1.08	1.61	1.19	1.64	5.01
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF	35	0.73	1.03	1.14	1.50	4.10
SHY iShares 1-3 Year Treasury Bond ETF	95	2.57	4.23	1.54	4.08	15.52

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.

Defensive ETFs Portfolio Sharpe ratios as of Apr 4, 2026 (values are recalculated daily):

1-Year: 1.25
5-Year: 0.65
10-Year: 0.82
All Time: 0.98

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 0.99 to 1.69, 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 Defensive ETFs Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Loading graphics...

Dividends

Dividend yield

Defensive ETFs Portfolio provided a 3.49% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.49%	3.59%	3.58%	3.22%	2.63%	2.16%	2.60%	2.74%	2.83%	2.36%	2.45%	2.53%
Portfolio components:
SCHD Schwab U.S. Dividend Equity ETF	3.45%	3.82%	3.64%	3.49%	3.39%	2.78%	3.16%	2.98%	3.06%	2.63%	2.89%	2.97%
VYM Vanguard High Dividend Yield ETF	2.37%	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	2.66%	2.75%	2.77%	2.63%	2.47%	2.28%	2.50%	2.57%	3.04%	2.62%	2.53%	2.52%
XLU Utilities Select Sector SPDR Fund	2.57%	2.71%	2.96%	3.39%	2.92%	2.79%	3.14%	2.95%	3.33%	3.33%	3.41%	3.67%
VGIT Vanguard Intermediate-Term Treasury ETF	3.82%	3.79%	3.67%	2.73%	1.74%	1.69%	2.23%	2.24%	2.05%	1.67%	1.69%	1.69%
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF	4.54%	4.48%	4.45%	3.99%	3.30%	2.30%	2.66%	3.29%	3.67%	3.10%	3.34%	3.47%
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%

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 graphics...

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.

The current Defensive ETFs Portfolio drawdown is 2.60%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-16.87%	Feb 18, 2020	25	Mar 23, 2020	53	Jun 8, 2020	78
-13.58%	Jan 5, 2022	186	Sep 30, 2022	369	Mar 21, 2024	555
-7.03%	Jan 29, 2018	229	Dec 24, 2018	34	Feb 13, 2019	263
-6.88%	Dec 2, 2024	87	Apr 8, 2025	57	Jul 1, 2025	144
-6.45%	Feb 25, 2015	127	Aug 25, 2015	126	Feb 25, 2016	253

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

Loading graphics...

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. 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	SHY	VGIT	LQD	XLU	XLP	SCHD	VYM	Portfolio
Benchmark	1.00	-0.10	-0.18	0.12	0.41	0.59	0.82	0.87	0.78
SHY	-0.10	1.00	0.82	0.61	0.15	0.03	-0.08	-0.10	0.17
VGIT	-0.18	0.82	1.00	0.76	0.14	-0.02	-0.17	-0.19	0.13
LQD	0.12	0.61	0.76	1.00	0.27	0.16	0.09	0.09	0.39
XLU	0.41	0.15	0.14	0.27	1.00	0.59	0.48	0.52	0.65
XLP	0.59	0.03	-0.02	0.16	0.59	1.00	0.72	0.70	0.77
SCHD	0.82	-0.08	-0.17	0.09	0.48	0.72	1.00	0.95	0.91
VYM	0.87	-0.10	-0.19	0.09	0.52	0.70	0.95	1.00	0.90
Portfolio	0.78	0.17	0.13	0.39	0.65	0.77	0.91	0.90	1.00

The correlation results are calculated based on daily price changes starting from Oct 21, 2011

Defensive ETFs Portfolio

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