Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 03-12-2026, 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 Aug 28, 2018, corresponding to the inception date of VIDY.TO
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio 03-12-2026 | 0.26% | -0.96% | 6.91% | 14.63% | 36.23% | 18.82% | — | — |
| Portfolio components: | ||||||||
VDY.TO Vanguard FTSE Canadian High Dividend Yield Index ETF | 0.00% | -1.24% | 7.53% | 16.45% | 41.11% | 19.93% | 14.33% | 12.88% |
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF | 0.00% | 0.20% | 12.24% | 17.03% | 38.87% | 16.81% | 12.85% | 11.30% |
EBNK.TO Evolve European Banks Enhanced Yield ETF Hedged CAD | -1.46% | -2.47% | -3.42% | 9.54% | 32.74% | 31.69% | — | — |
VIDY.TO Vanguard FTSE Developed ex North America High Dividend Yield Index ETF | -0.66% | -1.11% | 6.41% | 13.68% | 32.45% | 20.18% | 13.06% | — |
ZLB.TO BMO Low Volatility Canadian Equity ETF | 0.00% | -3.26% | 0.76% | 3.34% | 18.25% | 11.79% | 9.44% | 9.52% |
XST.TO iShares S&P/TSX Capped Consumer Staples Index ETF | 0.27% | -2.43% | 1.76% | 9.82% | 17.63% | 11.82% | 11.36% | 9.05% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 12, 2022, 03-12-2026's average daily return is +0.05%, while the average monthly return is +1.00%. At this rate, your investment would double in approximately 5.8 years.
Historically, 63% of months were positive and 37% were negative. The best month was Nov 2023 with a return of +8.5%, while the worst month was Jun 2022 at -9.7%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 3 months.
On a daily basis, 03-12-2026 closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +5.0%, while the worst single day was Apr 4, 2025 at -5.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.69% | 6.48% | -2.83% | 0.62% | 6.91% | ||||||||
| 2025 | 1.27% | 1.52% | 0.94% | 4.28% | 4.97% | 2.63% | 0.05% | 5.08% | 2.39% | -0.20% | 5.04% | 2.26% | 34.53% |
| 2024 | -1.25% | 0.80% | 3.90% | -3.18% | 4.31% | -2.18% | 5.03% | 4.28% | 2.74% | -2.73% | 3.34% | -5.36% | 9.37% |
| 2023 | 8.36% | -3.65% | -1.12% | 3.71% | -5.95% | 5.20% | 2.33% | -4.12% | -2.48% | -4.34% | 8.54% | 6.45% | 12.02% |
| 2022 | -0.02% | 0.73% | 3.96% | -5.59% | 3.65% | -9.73% | 3.40% | -4.35% | -9.20% | 6.91% | 6.50% | -4.03% | -9.24% |
Benchmark Metrics
03-12-2026 has an annualized alpha of 5.13%, beta of 0.59, and R² of 0.51 versus S&P 500 Index. Calculated based on daily prices since January 12, 2022.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (71.85%) than losses (63.27%) — typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 5.13% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.59 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
- 5.13%
- Beta
- 0.59
- R²
- 0.51
- Upside Capture
- 71.85%
- Downside Capture
- 63.27%
Expense Ratio
03-12-2026 has an expense ratio of 0.28%, 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
03-12-2026 ranks 96 for risk / return — in the top 96% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.94 | 0.88 | +2.06 |
Sortino ratioReturn per unit of downside risk | 3.86 | 1.37 | +2.50 |
Omega ratioGain probability vs. loss probability | 1.63 | 1.21 | +0.42 |
Calmar ratioReturn relative to maximum drawdown | 3.89 | 1.39 | +2.50 |
Martin ratioReturn relative to average drawdown | 23.92 | 6.43 | +17.48 |
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 | |
|---|---|---|---|---|---|---|
VDY.TO Vanguard FTSE Canadian High Dividend Yield Index ETF | 97 | 3.25 | 4.19 | 1.68 | 4.25 | 26.79 |
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF | 97 | 3.25 | 4.19 | 1.70 | 4.06 | 26.17 |
EBNK.TO Evolve European Banks Enhanced Yield ETF Hedged CAD | 61 | 1.09 | 1.71 | 1.24 | 1.93 | 7.59 |
VIDY.TO Vanguard FTSE Developed ex North America High Dividend Yield Index ETF | 86 | 1.90 | 2.58 | 1.39 | 2.84 | 11.43 |
ZLB.TO BMO Low Volatility Canadian Equity ETF | 77 | 1.50 | 2.05 | 1.30 | 2.62 | 9.00 |
XST.TO iShares S&P/TSX Capped Consumer Staples Index ETF | 54 | 1.00 | 1.52 | 1.18 | 2.32 | 5.69 |
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Dividends
Dividend yield
03-12-2026 provided a 2.93% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.93% | 3.24% | 3.98% | 4.13% | 4.05% | 3.20% | 3.96% | 3.69% | 3.52% | 2.92% | 2.60% | 3.13% |
| Portfolio components: | ||||||||||||
VDY.TO Vanguard FTSE Canadian High Dividend Yield Index ETF | 3.19% | 3.59% | 4.40% | 4.64% | 4.42% | 3.58% | 4.59% | 4.25% | 4.43% | 3.82% | 3.25% | 4.11% |
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF | 3.88% | 4.39% | 5.45% | 4.98% | 4.68% | 3.58% | 5.03% | 4.62% | 5.42% | 4.29% | 4.42% | 5.64% |
EBNK.TO Evolve European Banks Enhanced Yield ETF Hedged CAD | 11.60% | 11.05% | 12.56% | 7.32% | 7.52% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VIDY.TO Vanguard FTSE Developed ex North America High Dividend Yield Index ETF | 2.53% | 2.80% | 3.59% | 3.89% | 4.37% | 3.28% | 3.34% | 3.36% | 0.93% | 0.00% | 0.00% | 0.00% |
ZLB.TO BMO Low Volatility Canadian Equity ETF | 1.90% | 1.93% | 2.28% | 2.56% | 2.56% | 2.29% | 2.72% | 2.34% | 2.65% | 2.42% | 2.82% | 2.25% |
XST.TO iShares S&P/TSX Capped Consumer Staples Index ETF | 0.67% | 0.67% | 0.86% | 0.79% | 0.74% | 0.68% | 0.74% | 0.73% | 0.81% | 0.90% | 0.52% | 0.62% |
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 03-12-2026. 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 03-12-2026 was 22.84%, occurring on Oct 12, 2022. Recovery took 400 trading sessions.
The current 03-12-2026 drawdown is 2.26%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -22.84% | Apr 21, 2022 | 120 | Oct 12, 2022 | 400 | May 15, 2024 | 520 |
| -10.06% | Dec 6, 2024 | 84 | Apr 8, 2025 | 11 | Apr 24, 2025 | 95 |
| -4.81% | Jan 18, 2022 | 5 | Jan 24, 2022 | 12 | Feb 9, 2022 | 17 |
| -4.81% | May 21, 2024 | 20 | Jun 17, 2024 | 18 | Jul 12, 2024 | 38 |
| -4.64% | Feb 10, 2022 | 10 | Feb 24, 2022 | 15 | Mar 17, 2022 | 25 |
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 6 assets, with an effective number of assets of 2.35, 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
| Benchmark | EBNK.TO | XST.TO | VIDY.TO | ZLB.TO | XEI.TO | VDY.TO | Portfolio | |
|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.44 | 0.41 | 0.64 | 0.61 | 0.59 | 0.63 | 0.66 |
| EBNK.TO | 0.44 | 1.00 | 0.29 | 0.61 | 0.46 | 0.49 | 0.53 | 0.58 |
| XST.TO | 0.41 | 0.29 | 1.00 | 0.49 | 0.75 | 0.53 | 0.53 | 0.61 |
| VIDY.TO | 0.64 | 0.61 | 0.49 | 1.00 | 0.71 | 0.73 | 0.75 | 0.83 |
| ZLB.TO | 0.61 | 0.46 | 0.75 | 0.71 | 1.00 | 0.82 | 0.80 | 0.87 |
| XEI.TO | 0.59 | 0.49 | 0.53 | 0.73 | 0.82 | 1.00 | 0.97 | 0.96 |
| VDY.TO | 0.63 | 0.53 | 0.53 | 0.75 | 0.80 | 0.97 | 1.00 | 0.98 |
| Portfolio | 0.66 | 0.58 | 0.61 | 0.83 | 0.87 | 0.96 | 0.98 | 1.00 |