Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
VOO Vanguard S&P 500 ETF | S&P 500 | 20% |
INDY iShares India 50 ETF | Emerging Markets Equities, Asia Pacific Equities | 20% |
VHT Vanguard Health Care ETF | Health & Biotech Equities | 20% |
O Realty Income Corporation | Real Estate | 20% |
JEPI JPMorgan Equity Premium Income ETF | Dividend, Derivative Income | 20% |
Find the right asset allocation for 2024
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 2024, 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 | 0.50% | 0.31% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio 2024 | 0.66% | 2.13% | 2.18% | 2.40% | 10.74% | 9.75% | 6.70% | — |
| Portfolio components: | ||||||||
INDY iShares India 50 ETF | 1.16% | 0.02% | -13.37% | -11.62% | -12.55% | 1.97% | 1.75% | 6.65% |
JEPI JPMorgan Equity Premium Income ETF | 0.43% | 0.79% | 1.29% | 1.18% | 8.34% | 9.13% | 7.45% | — |
O Realty Income Corporation | 1.31% | 3.07% | 13.70% | 11.57% | 14.88% | 6.59% | 3.49% | 4.89% |
VHT Vanguard Health Care ETF | -0.12% | 4.51% | -0.11% | 0.45% | 16.49% | 7.19% | 4.78% | 9.87% |
VOO Vanguard S&P 500 ETF | 0.55% | -0.84% | 9.08% | 9.44% | 25.76% | 20.95% | 13.43% | 15.50% |
Monthly Returns
Based on dividend-adjusted daily data since May 21, 2020, 2024's average daily return is +0.05%, while the average monthly return is +1.00%. At this rate, an investment would double in approximately 5.8 years.
Historically, 64% of months were positive and 36% were negative. The best month was Nov 2020 with a return of +8.5%, while the worst month was Sep 2022 at -7.5%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, 2024 closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +5.5%, while the worst single day was Jun 11, 2020 at -5.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.59% | 3.16% | -7.14% | 4.38% | -0.04% | 0.63% | 2.18% | ||||||
| 2025 | 2.62% | 0.15% | -0.58% | -0.35% | 0.51% | 2.82% | -1.50% | 2.68% | 2.09% | 1.43% | 2.66% | -0.78% | 12.26% |
| 2024 | 0.25% | 1.81% | 2.54% | -2.47% | 1.94% | 2.18% | 3.61% | 3.96% | 1.36% | -3.50% | 1.76% | -4.72% | 8.61% |
| 2023 | 2.91% | -3.59% | 1.57% | 2.09% | -1.91% | 3.99% | 2.14% | -2.56% | -4.14% | -2.86% | 7.82% | 5.12% | 10.24% |
| 2022 | -3.64% | -3.02% | 3.82% | -4.17% | -0.83% | -3.60% | 6.88% | -3.93% | -7.51% | 7.04% | 4.63% | -2.89% | -8.18% |
| 2021 | -1.34% | 1.78% | 4.23% | 3.63% | 1.93% | 0.95% | 2.93% | 3.87% | -4.69% | 5.29% | -2.30% | 5.23% | 23.09% |
Benchmark Metrics
2024 has an annualized alpha of 1.53%, beta of 0.65, and R2 of 0.76 versus S&P 500 Index. Calculated based on daily prices since May 21, 2020.
- This portfolio participated in 78.12% of S&P 500 Index downside but only 70.19% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.65 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
- 1.53%
- Beta
- 0.65
- R²
- 0.76
- Upside Capture
- 70.19%
- Downside Capture
- 78.12%
Expense Ratio
2024 has an expense ratio of 0.28%, placing it in the medium range. 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
2024 ranks 15 for risk / return — in the bottom 15% of Portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for 2024 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 | 1.08 | 1.86 | -0.78 |
| Sortino ratioReturn per unit of downside risk | 1.60 | 2.53 | -0.94 |
| Omega ratioGain probability vs. loss probability | 1.20 | 1.34 | -0.14 |
| Calmar ratioReturn relative to maximum drawdown | 1.07 | 2.53 | -1.46 |
| Martin ratioReturn relative to average drawdown | 3.79 | 11.37 | -7.58 |
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 |
|---|---|---|---|---|---|---|
INDY iShares India 50 ETF | 2 | -0.97 | -1.37 | 0.85 | -0.73 | -1.59 |
JEPI JPMorgan Equity Premium Income ETF | 28 | 0.95 | 1.42 | 1.17 | 1.14 | 3.46 |
O Realty Income Corporation | 66 | 0.88 | 1.26 | 1.15 | 1.29 | 3.12 |
VHT Vanguard Health Care ETF | 33 | 1.09 | 1.71 | 1.19 | 1.53 | 3.81 |
VOO Vanguard S&P 500 ETF | 67 | 1.99 | 2.70 | 1.36 | 2.75 | 12.42 |
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Dividends
Dividend yield
2024 provided a 5.08% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 5.08% | 5.06% | 3.14% | 3.39% | 4.62% | 3.99% | 2.63% | 1.61% | 1.64% | 1.56% | 1.63% | 1.66% |
| Portfolio components: | ||||||||||||
INDY iShares India 50 ETF | 9.36% | 8.11% | 0.24% | 0.38% | 3.75% | 7.12% | 0.08% | 0.58% | 0.55% | 0.27% | 0.48% | 0.57% |
JEPI JPMorgan Equity Premium Income ETF | 8.18% | 8.25% | 7.33% | 8.40% | 11.68% | 6.59% | 5.79% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
O Realty Income Corporation | 5.16% | 6.19% | 5.37% | 5.33% | 4.68% | 3.87% | 4.51% | 3.69% | 4.19% | 4.45% | 4.18% | 4.41% |
VHT Vanguard Health Care ETF | 1.64% | 1.61% | 1.53% | 1.36% | 1.33% | 1.14% | 1.21% | 1.89% | 1.38% | 1.31% | 1.45% | 1.22% |
VOO Vanguard S&P 500 ETF | 1.05% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
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 2024. 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 2024 was 16.29%, occurring on Oct 14, 2022. Recovery took 293 trading sessions.
The current 2024 drawdown is 2.50%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -16.29%Oct 2022 | 9mo 12d | 1y 2mo | 1y 11moJan 2022 - Dec 2023 |
2025 selloff2025 | -13.22%Apr 2025 | 5mo 19d | 5mo 4d | 10mo 23dOct 2024 - Sep 2025 |
2026 pullback2026 | -9.15%Mar 2026 | 25d | — | 3mo 15dMar 2026 - now |
2020 pullback2020 | -6.98%Jun 2020 | 2d | 1mo 6d | 1mo 8dJun 2020 - Jul 2020 |
2020 pullback2020 | -6.65%Sep 2020 | 21d | 15d | 1mo 6dSep 2020 - Oct 2020 |
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 5 assets, with an effective number of assets of 5.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | All Time | |
|---|---|---|---|---|
Diversification Ratio | 1.44 | 1.36 | 1.27 | 1.27 |
The portfolio has a diversification ratio of 1.27, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
2024 correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.65 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.71 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.80 |
Correlation (All Time) Calculated using the full available price history since May 21, 2020 | 0.82 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VOO has the highest benchmark correlation at 1.00, while O has the lowest at 0.35.
Asset Correlations Table
Find what 2024 is missing
See which holdings overlap, where 2024 is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification