lo-vol, hi-sharpe 40-30-30

Asset Allocation

Position	Category/Sector	Target Weight
BND Vanguard Total Bond Market ETF	Total Bond Market	10%
BNDX Vanguard Total International Bond ETF	Global Bonds	10%
IAU iShares Gold Trust	Gold, Precious Metals	30%
IDV iShares International Select Dividend ETF	Global Equities, Dividend	10%
IGF iShares Global Infrastructure ETF	Industrials Equities	10%
QQQ Invesco QQQ ETF	Large Cap Growth Equities	10%
VCSH Vanguard Short-Term Corporate Bond ETF	Corporate Bonds	5%
VGSH Vanguard Short-Term Treasury ETF	Government Bonds, Short-Term Bond	5%
VYM Vanguard High Dividend Yield ETF	Dividend	10%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in lo-vol, hi-sharpe 40-30-30, 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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The earliest data available for this chart is Jun 4, 2013, corresponding to the inception date of BNDX

Returns By Period

As of Apr 2, 2026, the lo-vol, hi-sharpe 40-30-30 returned 4.88% Year-To-Date and 10.25% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.72%	-4.45%	-3.95%	-2.02%	16.73%	16.96%	10.34%	12.24%
Portfolio lo-vol, hi-sharpe 40-30-30	0.71%	-5.18%	4.88%	10.30%	27.21%	19.01%	11.94%	10.25%
Portfolio components:
IAU iShares Gold Trust	1.72%	-10.66%	10.48%	23.05%	52.36%	33.88%	22.19%	14.27%
VYM Vanguard High Dividend Yield ETF	-0.10%	-4.02%	3.69%	6.19%	17.89%	15.17%	11.02%	11.22%
IGF iShares Global Infrastructure ETF	0.33%	-2.57%	9.55%	11.40%	26.48%	15.89%	11.45%	8.84%
BND Vanguard Total Bond Market ETF	0.04%	-1.30%	0.09%	0.74%	3.96%	3.60%	0.25%	1.68%
BNDX Vanguard Total International Bond ETF	0.15%	-1.65%	0.02%	0.27%	2.71%	3.88%	0.20%	1.75%
VGSH Vanguard Short-Term Treasury ETF	-0.02%	-0.33%	0.25%	1.24%	3.68%	3.97%	1.79%	1.74%
VCSH Vanguard Short-Term Corporate Bond ETF	0.08%	-0.57%	0.22%	1.25%	4.91%	5.39%	2.38%	2.72%
QQQ Invesco QQQ ETF	1.24%	-3.79%	-4.76%	-2.89%	24.21%	22.83%	13.16%	18.99%
IDV iShares International Select Dividend ETF	0.19%	-2.98%	8.60%	18.79%	44.44%	22.95%	12.75%	10.20%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Jun 5, 2013, lo-vol, hi-sharpe 40-30-30's average daily return is +0.03%, while the average monthly return is +0.72%. At this rate, your investment would double in approximately 8.1 years.

Historically, 65% of months were positive and 35% were negative. The best month was Nov 2022 with a return of +6.8%, while the worst month was Mar 2020 at -6.5%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 4 months.

On a daily basis, lo-vol, hi-sharpe 40-30-30 closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +4.3%, while the worst single day was Mar 12, 2020 at -6.1%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	5.45%	4.69%	-5.67%	0.71%									4.88%
2025	3.31%	1.30%	2.62%	2.43%	2.13%	2.06%	0.18%	2.90%	4.73%	1.94%	2.55%	0.80%	30.44%
2024	-0.71%	0.71%	4.23%	-0.47%	2.94%	0.03%	3.45%	2.06%	2.99%	0.13%	0.82%	-1.89%	15.03%
2023	4.98%	-3.31%	4.19%	1.05%	-1.49%	1.10%	2.07%	-1.68%	-3.38%	1.06%	5.08%	3.34%	13.26%
2022	-1.65%	1.07%	1.17%	-4.10%	0.17%	-4.48%	2.16%	-3.16%	-5.99%	2.07%	6.84%	-0.95%	-7.29%
2021	-1.38%	-1.24%	1.40%	2.68%	2.97%	-2.06%	1.48%	0.70%	-2.66%	2.33%	-1.10%	2.82%	5.87%

Benchmark Metrics

lo-vol, hi-sharpe 40-30-30 has an annualized alpha of 4.35%, beta of 0.36, and R² of 0.50 versus S&P 500 Index. Calculated based on daily prices since June 05, 2013.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (45.22%) than losses (35.08%) — typical of diversified or defensive assets.
Beta of 0.36 may look defensive, but with R² of 0.50 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 0.50 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: 4.35%

Beta: 0.36

R²: 0.50

Upside Capture: 45.22%

Downside Capture: 35.08%

Expense Ratio

lo-vol, hi-sharpe 40-30-30 has an expense ratio of 0.20%, 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.

IDV

iShares International Select Dividend ETF

IGF

iShares Global Infrastructure ETF

IAU

iShares Gold Trust

QQQ

Invesco QQQ ETF

BNDX

Vanguard Total International Bond ETF

VYM

Vanguard High Dividend Yield ETF

VCSH

Vanguard Short-Term Corporate Bond ETF

BND

Vanguard Total Bond Market ETF

VGSH

Vanguard Short-Term Treasury ETF

Return for Risk

Risk / Return Rank

lo-vol, hi-sharpe 40-30-30 ranks 90 for risk / return — in the top 90% 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.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	2.30	0.92	+1.38
Sortino ratio Return per unit of downside risk	2.99	1.41	+1.58
Omega ratio Gain probability vs. loss probability	1.47	1.21	+0.25
Calmar ratio Return relative to maximum drawdown	3.20	1.41	+1.79
Martin ratio Return relative to average drawdown	13.51	6.61	+6.89
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.

	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
IAU iShares Gold Trust	86	1.90	2.33	1.35	2.72	9.95
VYM Vanguard High Dividend Yield ETF	65	1.19	1.70	1.26	1.56	6.86
IGF iShares Global Infrastructure ETF	92	2.09	2.76	1.42	3.10	15.49
BND Vanguard Total Bond Market ETF	50	0.93	1.32	1.16	1.75	4.78
BNDX Vanguard Total International Bond ETF	40	0.85	1.19	1.15	1.01	4.10
VGSH Vanguard Short-Term Treasury ETF	96	2.57	4.13	1.55	4.21	15.93
VCSH Vanguard Short-Term Corporate Bond ETF	94	2.17	3.18	1.45	3.58	14.56
QQQ Invesco QQQ ETF	65	1.07	1.66	1.24	2.00	7.32
IDV iShares International Select Dividend ETF	96	2.86	3.56	1.58	4.18	18.52

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

lo-vol, hi-sharpe 40-30-30 Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

1-Year: 2.30
5-Year: 1.29
10-Year: 1.14
All Time: 1.00

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.01 to 1.70, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of lo-vol, hi-sharpe 40-30-30 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

lo-vol, hi-sharpe 40-30-30 provided a 2.30% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.30%	2.35%	2.49%	2.43%	1.95%	1.85%	1.70%	2.09%	2.18%	1.76%	1.75%	1.81%
Portfolio components:
IAU iShares Gold Trust	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
VYM Vanguard High Dividend Yield ETF	2.37%	2.44%	2.74%	3.12%	3.01%	2.76%	3.18%	3.03%	3.40%	2.80%	2.91%	3.22%
IGF iShares Global Infrastructure ETF	2.94%	3.23%	3.21%	3.36%	2.67%	2.42%	2.33%	3.27%	3.52%	2.95%	2.98%	3.25%
BND Vanguard Total Bond Market ETF	3.93%	3.86%	3.67%	3.09%	2.60%	2.12%	2.38%	2.72%	2.81%	2.54%	2.51%	2.57%
BNDX Vanguard Total International Bond ETF	4.46%	4.39%	4.18%	4.42%	1.51%	3.74%	1.11%	3.40%	3.01%	2.23%	1.89%	1.63%
VGSH Vanguard Short-Term Treasury ETF	3.93%	4.00%	4.18%	3.31%	1.15%	0.66%	1.74%	2.28%	1.79%	1.10%	0.84%	0.69%
VCSH Vanguard Short-Term Corporate Bond ETF	4.43%	4.35%	3.96%	3.09%	2.01%	1.81%	2.27%	2.87%	2.65%	2.26%	2.10%	2.08%
QQQ Invesco QQQ ETF	0.48%	0.45%	0.56%	0.62%	0.80%	0.43%	0.55%	0.74%	0.91%	0.84%	1.06%	0.99%
IDV iShares International Select Dividend ETF	4.60%	4.94%	6.46%	6.51%	7.33%	5.78%	5.47%	5.15%	5.93%	4.52%	4.69%	5.08%

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 lo-vol, hi-sharpe 40-30-30. 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 lo-vol, hi-sharpe 40-30-30 was 17.64%, occurring on Mar 20, 2020. Recovery took 75 trading sessions.

The current lo-vol, hi-sharpe 40-30-30 drawdown is 5.18%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-17.64%	Feb 24, 2020	20	Mar 20, 2020	75	Jul 8, 2020	95
-15.59%	Mar 31, 2022	137	Oct 14, 2022	194	Jul 26, 2023	331
-9.85%	Jan 23, 2015	248	Jan 15, 2016	64	Apr 19, 2016	312
-8.56%	Mar 3, 2026	18	Mar 26, 2026	—	—	—
-7.46%	Jan 29, 2018	229	Dec 24, 2018	42	Feb 26, 2019	271

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 9 assets, with an effective number of assets of 6.45, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	Benchmark	IAU	BNDX	VGSH	BND	QQQ	VCSH	IDV	VYM	IGF	Portfolio
Benchmark	1.00	0.01	0.01	-0.12	-0.02	0.91	0.12	0.69	0.86	0.68	0.62
IAU	0.01	1.00	0.25	0.35	0.35	0.01	0.36	0.18	0.02	0.19	0.68
BNDX	0.01	0.25	1.00	0.53	0.72	0.03	0.59	0.00	-0.02	0.11	0.25
VGSH	-0.12	0.35	0.53	1.00	0.72	-0.11	0.73	-0.03	-0.13	0.05	0.22
BND	-0.02	0.35	0.72	0.72	1.00	0.01	0.79	0.02	-0.04	0.14	0.31
QQQ	0.91	0.01	0.03	-0.11	0.01	1.00	0.12	0.57	0.66	0.54	0.56
VCSH	0.12	0.36	0.59	0.73	0.79	0.12	1.00	0.18	0.09	0.25	0.41
IDV	0.69	0.18	0.00	-0.03	0.02	0.57	0.18	1.00	0.73	0.79	0.71
VYM	0.86	0.02	-0.02	-0.13	-0.04	0.66	0.09	0.73	1.00	0.74	0.60
IGF	0.68	0.19	0.11	0.05	0.14	0.54	0.25	0.79	0.74	1.00	0.72
Portfolio	0.62	0.68	0.25	0.22	0.31	0.56	0.41	0.71	0.60	0.72	1.00

The correlation results are calculated based on daily price changes starting from Jun 5, 2013

lo-vol, hi-sharpe 40-30-30

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table