Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
BND Vanguard Total Bond Market ETF | Total Bond Market | 30% |
VTI Vanguard Total Stock Market ETF | Large Cap Blend Equities | 30% |
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | Government Bonds, Ultrashort Bond | 15% |
SCHP Schwab U.S. TIPS ETF | Inflation-Protected Bonds | 15% |
VXUS Vanguard Total International Stock ETF | Global Equities | 10% |
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Conservative 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 18, 2026, the Conservative Portfolio returned 4.98% Year-To-Date and 6.93% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -1.21% | 0.23% | 8.39% | 10.39% | 24.03% | 18.94% | 12.24% | 13.61% |
Portfolio Conservative Portfolio | -0.66% | 0.93% | 4.98% | 5.83% | 13.37% | 10.36% | 5.52% | 6.93% |
| Portfolio components: | ||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 0.01% | 0.29% | 1.62% | 1.76% | 3.85% | 4.61% | 3.44% | 2.20% |
BND Vanguard Total Bond Market ETF | -0.37% | 0.96% | 0.38% | 0.48% | 4.50% | 3.96% | -0.02% | 1.55% |
SCHP Schwab U.S. TIPS ETF | -0.64% | -0.15% | 0.88% | 0.87% | 3.93% | 3.74% | 1.04% | 2.56% |
VTI Vanguard Total Stock Market ETF | -1.24% | 0.94% | 9.44% | 11.26% | 25.88% | 20.20% | 12.60% | 15.02% |
VXUS Vanguard Total International Stock ETF | -0.55% | 3.14% | 14.31% | 17.16% | 31.59% | 18.16% | 9.07% | 10.12% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 28, 2011, Conservative Portfolio's average daily return is +0.03%, while the average monthly return is +0.53%. At this rate, an investment would double in approximately 10.9 years.
Historically, 69% of months were positive and 31% were negative. The best month was Apr 2020 with a return of +5.9%, while the worst month was Mar 2020 at -6.1%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Conservative 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 -5.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.23% | 1.07% | -2.96% | 4.21% | 2.21% | -0.72% | 4.98% | ||||||
| 2025 | 1.66% | 0.62% | -1.52% | 0.25% | 2.09% | 2.65% | 0.59% | 1.77% | 1.83% | 1.11% | 0.37% | 0.13% | 12.11% |
| 2024 | 0.22% | 1.38% | 1.76% | -2.44% | 2.64% | 1.28% | 1.87% | 1.51% | 1.56% | -1.62% | 2.46% | -1.89% | 8.92% |
| 2023 | 4.27% | -2.12% | 2.38% | 0.75% | -0.70% | 2.46% | 1.52% | -1.29% | -2.77% | -1.62% | 5.46% | 3.63% | 12.22% |
| 2022 | -3.02% | -1.23% | -0.22% | -4.89% | 0.19% | -4.12% | 4.54% | -2.81% | -6.04% | 2.64% | 4.32% | -2.43% | -12.89% |
| 2021 | -0.29% | 0.47% | 0.91% | 2.26% | 0.65% | 1.09% | 1.17% | 0.93% | -2.12% | 2.47% | -0.71% | 1.49% | 8.54% |
Benchmark Metrics
Conservative Portfolio has an annualized alpha of 1.49%, beta of 0.38, and R2 of 0.87 versus S&P 500 Index. Calculated based on daily prices since January 28, 2011.
- This portfolio participated in 46.43% of S&P 500 Index downside but only 42.30% of its upside - more exposed to losses than it benefited from rallies.
- 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
- 1.49%
- Beta
- 0.38
- R²
- 0.87
- Upside Capture
- 42.30%
- Downside Capture
- 46.43%
Expense Ratio
Conservative Portfolio has an expense ratio of 0.05%, 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
Conservative Portfolio ranks 59 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.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Conservative 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 | 2.21 | 1.94 | +0.27 |
| Sortino ratioReturn per unit of downside risk | 3.17 | 2.64 | +0.53 |
| Omega ratioGain probability vs. loss probability | 1.43 | 1.35 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 3.02 | 2.65 | +0.36 |
| Martin ratioReturn relative to average drawdown | 13.27 | 11.88 | +1.39 |
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 |
|---|---|---|---|---|---|---|
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 100 | 19.61 | 173.16 | 87.41 | 353.28 | 2,801.32 |
BND Vanguard Total Bond Market ETF | 34 | 1.22 | 1.82 | 1.21 | 1.69 | 4.86 |
SCHP Schwab U.S. TIPS ETF | 36 | 1.19 | 1.76 | 1.21 | 2.04 | 6.13 |
VTI Vanguard Total Stock Market ETF | 67 | 2.05 | 2.78 | 1.37 | 2.91 | 13.05 |
VXUS Vanguard Total International Stock ETF | 63 | 1.98 | 2.71 | 1.37 | 2.82 | 10.84 |
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Dividends
Dividend yield
Conservative Portfolio provided a 2.94% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.94% | 3.04% | 3.02% | 2.87% | 2.87% | 1.97% | 1.57% | 2.26% | 2.36% | 1.94% | 1.84% | 1.69% |
| Portfolio components: | ||||||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 3.85% | 4.13% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% |
BND Vanguard Total Bond Market ETF | 3.96% | 3.86% | 3.67% | 3.09% | 2.60% | 2.12% | 2.38% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% |
SCHP Schwab U.S. TIPS ETF | 4.02% | 4.06% | 2.99% | 3.02% | 7.19% | 4.39% | 1.11% | 2.02% | 2.26% | 1.90% | 1.38% | 0.28% |
VTI Vanguard Total Stock Market ETF | 1.03% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
VXUS Vanguard Total International Stock ETF | 2.66% | 3.18% | 3.37% | 3.24% | 3.09% | 3.10% | 2.14% | 3.06% | 3.18% | 2.73% | 2.93% | 2.83% |
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 Conservative 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 Conservative Portfolio was 17.37%, occurring on Oct 14, 2022. Recovery took 358 trading sessions.
The current Conservative Portfolio drawdown is 0.99%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -17.37%Oct 2022 | 11mo 8d | 1y 5mo | 2y 4moNov 2021 - Mar 2024 |
COVID crash2020 | -15.34%Mar 2020 | 27d | 2mo 22d | 3mo 19dFeb 2020 - Jun 2020 |
Rate-hike selloffLate 2018 | -7.45%Dec 2018 | 3mo 26d | 2mo 19d | 6mo 15dAug 2018 - Mar 2019 |
2011 pullback2011 | -7.03%Oct 2011 | 2mo 10d | 3mo 17d | 5mo 27dJul 2011 - Jan 2012 |
2016 pullback2016 | -6.79%Jan 2016 | 8mo 28d | 4mo 18d | 1y 1moApr 2015 - Jun 2016 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is a two-sleeve structure: one equity sleeve, one bond sleeve, with inflation protection and cash-like paper mostly reinforcing the bond side rather than changing the basic shape. It is diversified in the ordinary sense, though the equity side is a single global equity bet wearing two ticker symbols.
The numbers
- Diversification ratio is 1.30 since inception, at the 53.7th percentile; that is modest diversification, not a collage.
- The 1Y DR of 1.18 sits at the 30.9th percentile, which says the assets have been moving together more recently than over the longer sample.
- Effective asset count is 4.26 of 5; the weights are fairly spread, so the main issue is correlation, not position count.
The good
- BND (Total Bond Market), BIL (Government Bonds, Ultrashort Bond), and SCHP (Inflation-Protected Bonds) give the portfolio multiple rate and inflation channels, which is real structure.
- The bond sleeve has a low link to equities: BND and SCHP each sit near 0.21 portfolio correlation, which is what a stabilizing sleeve is supposed to look like.
The bad
- VTI (Large Cap Blend Equities) and VXUS (Global Equities) move together at 0.82, so the equity sleeve is cleaner as a market bet than as two separate sources of diversification.
- BND and SCHP also cluster at 0.78; to be fair, that is what bond funds do when rates are the main macro variable.
The ugly
- In a synchronized equity selloff with higher real yields, the portfolio can lose both the VTI/VXUS sleeve and the BND/SCHP sleeve at once, which is the sort of bad day that makes “multi-asset” sound a little optimistic.
Next steps
- Portfolios with this correlation pattern are usually most differentiated by exposures whose return drivers sit outside both the global equity cycle and the nominal-rate cycle.
- The recent drop in diversification ratio suggests the short-window correlations have tightened, so the portfolio is currently less of a hedge against itself than the long sample implies.
Diversification Metrics
Number of Effective Assets
The portfolio contains 5 assets, with an effective number of assets of 4.26, 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 | 1.18 | 1.24 | 1.26 | 1.26 | 1.30 |
The portfolio has a diversification ratio of 1.30, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Conservative Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.93 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.90 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.91 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.91 |
Correlation (All Time) Calculated using the full available price history since Jan 28, 2011 | 0.92 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while BND has the lowest at -0.07.
Asset Correlations Table
Find what Conservative Portfolio is missing
See which holdings overlap, where Conservative Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification