Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
TIP iShares TIPS Bond ETF | Inflation-Protected Bonds | 12.50% |
TLT iShares 20+ Year Treasury Bond ETF | Government Bonds, Long-Term Bond | 12.50% |
IAUM iShares Gold Trust Micro | Gold, Precious Metals | 12.50% |
XLP State Street Consumer Staples Select Sector SPDR ETF | Consumer Staples Equities | 12.50% |
AMLP Alerian MLP ETF | MLPs | 12.50% |
SPLV Invesco S&P 500 Low Volatility ETF | S&P 500, Large Cap Blend Equities | 12.50% |
XLV State Street Health Care Select Sector SPDR ETF | Health & Biotech Equities | 12.50% |
XLRE Real Estate Select Sector SPDR Fund | REIT | 12.50% |
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Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Defense 2025, 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 never rebalanced.
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Returns By Period
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.89% | 0.11% | 10.48% | 9.70% | 19.09% | 18.29% | 11.45% | 13.19% | 8.09% |
Portfolio Defense 2025 | 0.22% | 2.41% | 1.87% | 6.10% | 13.62% | 11.47% | 7.49% | — | 7.74% |
| Portfolio components: | |||||||||
AMLP Alerian MLP ETF | -0.13% | 7.36% | 15.52% | 20.32% | 21.84% | 19.12% | 19.23% | 6.85% | 5.80% |
IAUM iShares Gold Trust Micro | 1.95% | -3.12% | -14.17% | -5.30% | 20.12% | 27.59% | 17.63% | — | 18.00% |
SPLV Invesco S&P 500 Low Volatility ETF | -0.47% | 4.00% | 5.47% | 7.41% | 6.48% | 8.07% | 6.18% | 8.06% | 10.12% |
TIP iShares TIPS Bond ETF | -0.16% | -0.42% | 0.97% | 0.77% | 2.45% | 3.46% | 0.44% | 2.36% | 3.47% |
TLT iShares 20+ Year Treasury Bond ETF | -0.27% | -3.21% | -1.26% | -1.84% | 1.71% | -2.33% | -7.86% | -2.23% | 3.55% |
XLP State Street Consumer Staples Select Sector SPDR ETF | -0.94% | 1.61% | 3.35% | 9.58% | 6.81% | 6.44% | 6.34% | 7.07% | 6.83% |
XLRE Real Estate Select Sector SPDR Fund | -0.07% | 3.96% | 10.88% | 13.76% | 11.33% | 9.06% | 3.10% | 6.28% | 7.50% |
XLV State Street Health Care Select Sector SPDR ETF | 0.63% | 7.74% | 4.00% | 4.40% | 24.38% | 7.34% | 5.98% | 9.71% | 8.58% |
Monthly Returns
Based on dividend-adjusted daily data since Jun 29, 2021, Defense 2025's average daily return is +0.03%, while the average monthly return is +0.66%. At this rate, an investment would double in approximately 8.8 years.
Historically, 61% of months were positive and 39% were negative. The best month was Nov 2023 with a return of +5.9%, while the worst month was Sep 2022 at -7.2%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Defense 2025 closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +3.7%, while the worst single day was Apr 4, 2025 at -4.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.48% | 5.87% | -5.92% | 1.55% | -1.18% | -1.09% | 1.75% | 6.10% | |||||
| 2025 | 3.90% | 3.24% | 0.93% | -1.38% | -0.37% | 0.72% | -0.30% | 2.08% | 1.77% | 0.09% | 4.12% | -0.76% | 14.79% |
| 2024 | 0.53% | 1.81% | 3.31% | -2.59% | 2.08% | 1.41% | 3.11% | 3.34% | 1.40% | -1.71% | 3.62% | -5.18% | 11.26% |
| 2023 | 3.25% | -3.62% | 2.60% | 1.75% | -3.52% | 2.43% | 1.77% | -1.77% | -3.39% | -0.63% | 5.93% | 2.65% | 7.16% |
| 2022 | -2.55% | 0.10% | 2.14% | -2.72% | -0.76% | -4.86% | 4.55% | -2.51% | -7.18% | 5.17% | 4.34% | -2.17% | -7.05% |
| 2021 | 0.41% | 2.14% | 0.65% | -3.21% | 3.89% | -1.40% | 5.57% | 8.05% |
Benchmark Metrics
Defense 2025 has an annualized alpha of 3.21%, beta of 0.38, and R2 of 0.43 versus S&P 500 Index. Calculated based on daily prices since June 29, 2021.
- This portfolio participated in 58.13% of S&P 500 Index downside but only 52.93% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.38 may look defensive, but with R2 of 0.43 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 0.43 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
- 3.21%
- Beta
- 0.38
- R²
- 0.43
- Upside Capture
- 52.93%
- Downside Capture
- 58.13%
Expense Ratio
Defense 2025 has an expense ratio of 0.23%, 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
Defense 2025 ranks 33 for risk / return — below 33% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Defense 2025 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 | 1.48 | 1.52 | -0.04 |
| Sortino ratioReturn per unit of downside risk | 2.06 | 2.11 | -0.05 |
| Omega ratioGain probability vs. loss probability | 1.27 | 1.27 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 1.78 | 2.11 | -0.33 |
| Martin ratioReturn relative to average drawdown | 3.87 | 9.09 | -5.22 |
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 |
|---|---|---|---|---|---|---|
AMLP Alerian MLP ETF | 67 | 1.76 | 2.45 | 1.31 | 2.45 | 6.85 |
IAUM iShares Gold Trust Micro | 25 | 0.73 | 1.08 | 1.15 | 0.77 | 1.78 |
SPLV Invesco S&P 500 Low Volatility ETF | 23 | 0.61 | 0.96 | 1.11 | 0.88 | 2.01 |
TIP iShares TIPS Bond ETF | 28 | 0.71 | 1.06 | 1.12 | 1.25 | 3.49 |
TLT iShares 20+ Year Treasury Bond ETF | 13 | 0.18 | 0.33 | 1.04 | 0.23 | 0.51 |
XLP State Street Consumer Staples Select Sector SPDR ETF | 20 | 0.50 | 0.82 | 1.09 | 0.71 | 1.29 |
XLRE Real Estate Select Sector SPDR Fund | 31 | 0.79 | 1.16 | 1.14 | 1.37 | 3.74 |
XLV State Street Health Care Select Sector SPDR ETF | 61 | 1.55 | 2.42 | 1.27 | 2.34 | 5.52 |
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Dividends
Dividend yield
Defense 2025 provided a 3.24% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.24% | 3.26% | 3.03% | 2.99% | 3.38% | 2.76% | 3.03% | 2.88% | 3.15% | 2.73% | 2.82% | 2.51% |
| Portfolio components: | ||||||||||||
AMLP Alerian MLP ETF | 7.39% | 8.36% | 7.70% | 7.86% | 7.70% | 8.55% | 12.31% | 9.12% | 9.29% | 7.97% | 8.09% | 9.84% |
IAUM iShares Gold Trust Micro | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPLV Invesco S&P 500 Low Volatility ETF | 2.14% | 2.04% | 1.88% | 2.45% | 2.11% | 1.51% | 2.12% | 2.08% | 2.18% | 2.03% | 2.03% | 2.28% |
TIP iShares TIPS Bond ETF | 4.45% | 3.46% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% |
TLT iShares 20+ Year Treasury Bond ETF | 4.67% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
XLP State Street Consumer Staples Select Sector SPDR ETF | 2.61% | 2.75% | 2.77% | 2.63% | 2.47% | 2.28% | 2.50% | 2.57% | 3.04% | 2.62% | 2.53% | 2.52% |
XLRE Real Estate Select Sector SPDR Fund | 3.11% | 3.45% | 3.43% | 3.31% | 3.70% | 2.61% | 3.15% | 3.06% | 3.78% | 3.25% | 4.22% | 1.09% |
XLV State Street Health Care Select Sector SPDR ETF | 1.58% | 1.60% | 1.67% | 1.59% | 1.47% | 1.33% | 1.49% | 2.17% | 1.57% | 1.47% | 1.60% | 1.43% |
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 Defense 2025. 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 Defense 2025 was 15.46%, occurring on Oct 10, 2022. Recovery took 344 trading sessions.
The current Defense 2025 drawdown is 5.17%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-15.46%Oct 2022 | 5mo 22d | 1y 4mo | 1y 10moApr 2022 - Feb 2024 | Bear market2022 |
-7.93%Apr 2025 | 5d | 4mo 14d | 4mo 19dApr 2025 - Aug 2025 | 2025 selloff2025 |
-7.67%Mar 2026 | 20d | — | 4mo 21dMar 2026 - now | — |
-6.12%Dec 2024 | 17d | 1mo 18d | 2mo 5dDec 2024 - Feb 2025 | — |
-4.58%Feb 2022 | 1mo 22d | 1mo 4d | 2mo 26dJan 2022 - Mar 2022 | Bear market2022 |
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 8 assets, with an effective number of assets of 8.00, 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 | 1.70 | 1.56 | 1.56 | 1.56 |
The portfolio has a diversification ratio of 1.56, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Defense 2025 correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.25 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.43 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.56 |
Correlation (All Time) Calculated using the full available price history since Jun 29, 2021 | 0.56 |
Benchmark Correlations
Correlation vs. S&P 500 Index. XLV has the highest benchmark correlation at 0.56, while TLT has the lowest at 0.08.
Asset Correlations Table
| IAUM | TLT | AMLP | TIP | XLP | XLV | XLRE | SPLV | |
|---|---|---|---|---|---|---|---|---|
| IAUM | 1.00 | 0.24 | 0.12 | 0.36 | 0.08 | 0.10 | 0.15 | 0.12 |
| TLT | 0.24 | 1.00 | -0.04 | 0.75 | 0.16 | 0.14 | 0.26 | 0.19 |
| AMLP | 0.12 | -0.04 | 1.00 | 0.10 | 0.26 | 0.26 | 0.36 | 0.37 |
| TIP | 0.36 | 0.75 | 0.10 | 1.00 | 0.20 | 0.18 | 0.32 | 0.25 |
| XLP | 0.08 | 0.16 | 0.26 | 0.20 | 1.00 | 0.58 | 0.58 | 0.81 |
| XLV | 0.10 | 0.14 | 0.26 | 0.18 | 0.58 | 1.00 | 0.60 | 0.72 |
| XLRE | 0.15 | 0.26 | 0.36 | 0.32 | 0.58 | 0.60 | 1.00 | 0.75 |
| SPLV | 0.12 | 0.19 | 0.37 | 0.25 | 0.81 | 0.72 | 0.75 | 1.00 |
Find what Defense 2025 is missing
See which holdings overlap, where Defense 2025 is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification