Asset Allocation
Find the right asset allocation for 03-12-2026
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 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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Returns By Period
| 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 03-12-2026 | -0.19% | 1.83% | 14.48% | 15.99% | 34.57% | 24.04% | — | — |
| Portfolio components: | ||||||||
EBNK.TO Evolve European Banks Enhanced Yield ETF Hedged CAD | -1.10% | -1.14% | 2.29% | 7.55% | 25.14% | 31.25% | — | — |
VDY.TO Vanguard FTSE Canadian High Dividend Yield Index ETF | 0.09% | 3.22% | 19.43% | 21.26% | 44.62% | 24.93% | 14.29% | 13.22% |
VIDY.TO Vanguard FTSE Developed ex North America High Dividend Yield Index ETF | 0.05% | -1.56% | 8.18% | 12.08% | 25.06% | 20.29% | 11.72% | — |
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF | -0.16% | 1.93% | 20.34% | 18.00% | 35.82% | 18.99% | 11.33% | 10.85% |
XST.TO iShares S&P/TSX Capped Consumer Staples Index ETF | -1.60% | 1.87% | 1.40% | 2.28% | 7.83% | 44.46% | 26.92% | 17.66% |
ZLB.TO BMO Low Volatility Canadian Equity ETF | -0.93% | -0.55% | 2.14% | 0.70% | 10.48% | 13.02% | 7.91% | 9.42% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 12, 2022, 03-12-2026's average daily return is +0.06%, while the average monthly return is +1.20%. At this rate, an investment would double in approximately 4.8 years.
Historically, 67% of months were positive and 33% were negative. The best month was Aug 2024 with a return of +9.8%, while the worst month was Jun 2022 at -9.8%. 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 56% of trading days. The best single day was Aug 9, 2024 with a return of +5.4%, while the worst single day was Apr 4, 2025 at -3.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.42% | 5.25% | -2.79% | 6.58% | 1.09% | 0.42% | 14.48% | ||||||
| 2025 | 1.27% | 1.45% | 1.31% | 3.48% | 4.75% | 2.55% | 0.76% | 4.82% | 2.51% | -0.03% | 4.47% | 2.81% | 34.51% |
| 2024 | -1.13% | 0.53% | 3.56% | -2.09% | 3.09% | -1.91% | 4.83% | 9.78% | 2.77% | -2.67% | 3.17% | -4.96% | 15.04% |
| 2023 | 7.77% | -2.57% | -1.67% | 3.34% | -5.77% | 5.41% | 1.85% | -3.84% | -1.64% | -4.66% | 7.98% | 6.82% | 12.26% |
| 2022 | 0.26% | 0.50% | 4.85% | -5.37% | 3.17% | -9.75% | 3.40% | -3.96% | -8.43% | 5.80% | 5.10% | -2.86% | -8.57% |
Benchmark Metrics
03-12-2026 has an annualized alpha of 8.47%, beta of 0.42, and R2 of 0.33 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 (68.75%) than losses (54.04%) - typical of diversified or defensive assets.
- Beta of 0.42 may look defensive, but with R2 of 0.33 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R2 of 0.33 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 8.47%
- Beta
- 0.42
- R²
- 0.33
- Upside Capture
- 68.75%
- Downside Capture
- 54.04%
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 97 for risk / return — in the top 97% 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
The table below presents risk-adjusted performance metrics for 03-12-2026 and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 3.92 | 1.94 | +1.99 |
| Sortino ratioReturn per unit of downside risk | 5.49 | 2.63 | +2.86 |
| Omega ratioGain probability vs. loss probability | 1.74 | 1.35 | +0.38 |
| Calmar ratioReturn relative to maximum drawdown | 7.40 | 2.59 | +4.82 |
| Martin ratioReturn relative to average drawdown | 30.75 | 11.84 | +18.91 |
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 |
|---|---|---|---|---|---|---|
EBNK.TO Evolve European Banks Enhanced Yield ETF Hedged CAD | 35 | 1.13 | 1.68 | 1.20 | 1.63 | 5.46 |
VDY.TO Vanguard FTSE Canadian High Dividend Yield Index ETF | 98 | 4.83 | 6.68 | 1.91 | 12.48 | 43.23 |
VIDY.TO Vanguard FTSE Developed ex North America High Dividend Yield Index ETF | 57 | 1.78 | 2.52 | 1.32 | 2.35 | 8.96 |
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF | 96 | 4.07 | 5.58 | 1.75 | 7.88 | 31.74 |
XST.TO iShares S&P/TSX Capped Consumer Staples Index ETF | 18 | 0.48 | 0.78 | 1.10 | 0.73 | 1.64 |
ZLB.TO BMO Low Volatility Canadian Equity ETF | 33 | 1.05 | 1.46 | 1.20 | 1.72 | 4.69 |
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Dividends
Dividend yield
03-12-2026 provided a 2.71% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.71% | 3.25% | 3.98% | 4.19% | 4.10% | 3.17% | 4.02% | 3.74% | 3.44% | 2.73% | 2.64% | 3.17% |
| Portfolio components: | ||||||||||||
EBNK.TO Evolve European Banks Enhanced Yield ETF Hedged CAD | 11.11% | 11.05% | 12.56% | 7.32% | 7.52% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VDY.TO Vanguard FTSE Canadian High Dividend Yield Index ETF | 2.88% | 3.59% | 4.37% | 4.64% | 4.42% | 3.46% | 4.59% | 4.25% | 4.44% | 3.42% | 3.25% | 4.11% |
VIDY.TO Vanguard FTSE Developed ex North America High Dividend Yield Index ETF | 2.48% | 2.80% | 3.64% | 3.91% | 4.39% | 3.30% | 3.36% | 3.37% | 0.02% | 0.00% | 0.00% | 0.00% |
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF | 3.58% | 4.47% | 5.45% | 4.97% | 4.68% | 3.58% | 5.03% | 4.62% | 5.42% | 4.29% | 4.41% | 5.64% |
XST.TO iShares S&P/TSX Capped Consumer Staples Index ETF | 0.67% | 0.68% | 0.87% | 1.57% | 1.48% | 1.37% | 1.48% | 1.46% | 1.62% | 1.80% | 1.03% | 1.24% |
ZLB.TO BMO Low Volatility Canadian Equity ETF | 1.91% | 1.99% | 2.37% | 2.67% | 2.66% | 2.39% | 2.83% | 2.44% | 2.76% | 2.55% | 2.94% | 2.34% |
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 22.29%, occurring on Oct 12, 2022. Recovery took 397 trading sessions.
The current 03-12-2026 drawdown is 1.33%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -22.29%Oct 2022 | 6mo 15d | 1y 7mo | 2y 1moMar 2022 - May 2024 |
2025 selloff2025 | -9.67%Apr 2025 | 4mo | 14d | 4mo 14dDec 2024 - Apr 2025 |
2024 pullback2024 | -4.89%Jun 2024 | 26d | 25d | 1mo 21dMay 2024 - Jul 2024 |
2026 pullback2026 | -4.69%Mar 2026 | 17d | 25d | 1mo 12dMar 2026 - Apr 2026 |
Bear market2022 | -4.04%Jan 2022 | 6d | 15d | 21dJan 2022 - Feb 2022 |
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. Your portfolio is dominated by one or two holdings, which significantly increases concentration risk. Consider rebalancing toward more even weights or adding additional positions.
Diversification Ratio
1Y | 3Y | All Time | |
|---|---|---|---|
Diversification Ratio | 1.19 | 1.27 | 1.22 |
The portfolio has a diversification ratio of 1.22, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
03-12-2026 correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.41 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.50 |
Correlation (All Time) Calculated using the full available price history since Jan 12, 2022 | 0.55 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VIDY.TO has the highest benchmark correlation at 0.53, while XST.TO has the lowest at 0.28.
Asset Correlations Table
Find what 03-12-2026 is missing
See which holdings overlap, where 03-12-2026 is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification