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 Jul 8, 2026, the Conservative Portfolio returned 5.08% Year-To-Date and 6.75% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.28% | 1.04% | 8.12% | 9.31% | 20.19% | 19.37% | 11.36% | 13.39% |
Portfolio Conservative Portfolio | -0.21% | 0.64% | 4.25% | 5.08% | 11.44% | 10.75% | 5.16% | 6.75% |
| Portfolio components: | ||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 0.00% | 0.28% | 1.75% | 1.83% | 3.82% | 4.59% | 3.48% | 2.22% |
BND Vanguard Total Bond Market ETF | -0.21% | 0.18% | -0.15% | 0.11% | 3.87% | 4.37% | -0.17% | 1.36% |
SCHP Schwab U.S. TIPS ETF | -0.11% | 0.04% | 0.66% | 1.00% | 3.48% | 4.25% | 0.81% | 2.34% |
VTI Vanguard Total Stock Market ETF | -0.37% | 1.33% | 8.94% | 10.50% | 21.92% | 20.66% | 11.83% | 14.80% |
VXUS Vanguard Total International Stock ETF | -0.25% | 1.29% | 9.94% | 12.55% | 25.80% | 18.74% | 8.52% | 9.86% |
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 +0.52%. At this rate, an investment would double in approximately 11.1 years.
Historically, 68% of months were positive and 32% 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% | -0.14% | -0.49% | 5.08% | |||||
| 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 1.47%, 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 46.45% 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
- 1.47%
- Beta
- 0.38
- R²
- 0.87
- Upside Capture
- 42.30%
- Downside Capture
- 46.45%
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 63 for risk / return — better than 63% of Portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
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 | 1.87 | 1.62 | +0.25 |
| Sortino ratioReturn per unit of downside risk | 2.69 | 2.24 | +0.44 |
| Omega ratioGain probability vs. loss probability | 1.35 | 1.30 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 2.58 | 2.23 | +0.35 |
| Martin ratioReturn relative to average drawdown | 11.19 | 9.68 | +1.50 |
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 | 19.30 | 153.58 | 69.55 | 350.30 | 2,484.16 |
BND Vanguard Total Bond Market ETF | 32 | 1.04 | 1.54 | 1.18 | 1.45 | 4.08 |
SCHP Schwab U.S. TIPS ETF | 35 | 1.04 | 1.52 | 1.18 | 1.81 | 5.30 |
VTI Vanguard Total Stock Market ETF | 64 | 1.72 | 2.38 | 1.31 | 2.47 | 10.81 |
VXUS Vanguard Total International Stock ETF | 56 | 1.57 | 2.18 | 1.29 | 2.30 | 8.71 |
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Dividends
Dividend yield
Conservative Portfolio provided a 3.02% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.02% | 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 | 3.82% | 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 | 4.00% | 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 | 4.49% | 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 | 1.06% | 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 | 2.59% | 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 0.68%.
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 classic two-sleeve structure: a bond block and an equity block, with the equity block doing most of the real work and the bond block split between duration, bills, and inflation protection.
The numbers
- The diversification ratio is 1.18 over 1Y and only 1.30 incept, which is modest at best; the 30.8th percentile 1Y reading says the positions have been moving together more than most platform portfolios.
- Effective asset count is 4.26 of 5, so the weights are not especially concentrated; the issue is correlation, not a missing fifth idea.
- VTI (VTI) and VXUS (VXUS) sit at 0.82 correlation, while BND (BND) and SCHP (SCHP) are 0.78, so the portfolio has two clear clusters rather than five independent engines.
The good
- BND, BIL, and SCHP do create a sensible rates-and-inflation sleeve, with BIL (BIL) behaving almost like cash and SCHP (SCHP) doing the specific inflation job.
- The low cross-correlation between bonds and equities keeps the structure recognizably diversified in the broad sense.
The bad
- VTI (VTI) and VXUS (VXUS) are close enough to be one equity risk factor with different labels.
- BND (BND) and SCHP (SCHP) also travel together, so the fixed-income sleeve is less diversified than the tickers suggest.
The ugly
- In a regime where rates rise and equities weaken at the same time, the bond sleeve can stop looking like ballast, and the portfolio’s two clusters can decline together in the way balanced portfolios find unhelpful.
Next steps
- Portfolios with this correlation profile are usually complemented by exposures whose return drivers sit outside the equity and duration complex.
- A higher DR would require more separation between the equity sleeves and more distinction inside fixed income.
- The 1Y DR being below the longer windows suggests recent co-movement has been stronger than the longer history 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