Asset Allocation
Find the right asset allocation for ChatGPT September Defensive Tilt 2
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in ChatGPT September Defensive Tilt 2, 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 13, 2026, the ChatGPT September Defensive Tilt 2 returned 18.70% Year-To-Date and 16.58% of annualized return in the last 10 years.
| 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 ChatGPT September Defensive Tilt 2 | 0.68% | 2.45% | 18.70% | 18.91% | 36.07% | 23.13% | 14.05% | 16.58% |
| Portfolio components: | ||||||||
GLD SPDR Gold Shares | 0.06% | -9.52% | -2.47% | -2.25% | 22.21% | 28.89% | 17.08% | 12.15% |
QQQ Invesco QQQ ETF | 0.59% | 0.22% | 17.57% | 17.85% | 37.55% | 26.43% | 16.85% | 21.79% |
SCHD Schwab U.S. Dividend Equity ETF | 0.89% | 3.21% | 20.66% | 19.57% | 26.72% | 14.90% | 8.75% | 12.91% |
SCHG Schwab U.S. Large-Cap Growth ETF | 0.12% | -3.66% | 2.58% | 2.96% | 20.32% | 22.68% | 14.33% | 18.50% |
SMH VanEck Semiconductor ETF | 1.72% | 7.20% | 72.15% | 75.62% | 141.99% | 60.05% | 38.42% | 37.49% |
TLT iShares 20+ Year Treasury Bond ETF | -0.24% | 1.40% | 0.27% | 0.45% | 3.88% | -1.38% | -6.53% | -1.75% |
VEA Vanguard FTSE Developed Markets ETF | 0.34% | 1.40% | 14.73% | 16.65% | 31.41% | 19.03% | 9.51% | 10.72% |
XLU State Street Utilities Select Sector SPDR ETF | 1.09% | -0.82% | 5.04% | 5.48% | 12.50% | 13.79% | 9.41% | 9.20% |
Monthly Returns
Based on dividend-adjusted daily data since Oct 20, 2011, ChatGPT September Defensive Tilt 2's average daily return is +0.06%, while the average monthly return is +1.23%. At this rate, an investment would double in approximately 4.7 years.
Historically, 67% of months were positive and 33% were negative. The best month was Apr 2020 with a return of +11.0%, while the worst month was Sep 2022 at -9.0%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, ChatGPT September Defensive Tilt 2 closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +8.0%, while the worst single day was Mar 16, 2020 at -8.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.46% | 3.46% | -4.89% | 9.38% | 5.49% | -0.86% | 18.70% | ||||||
| 2025 | 2.36% | 0.34% | -2.58% | -1.28% | 4.60% | 4.89% | 1.18% | 2.56% | 4.25% | 2.63% | 0.79% | 0.09% | 21.38% |
| 2024 | 0.73% | 3.81% | 3.94% | -3.53% | 4.80% | 2.65% | 2.30% | 1.81% | 2.24% | -0.74% | 3.28% | -3.14% | 19.25% |
| 2023 | 7.12% | -2.51% | 5.26% | -0.26% | 1.67% | 4.24% | 3.19% | -2.05% | -5.25% | -2.05% | 8.60% | 5.77% | 25.22% |
| 2022 | -5.45% | -1.85% | 2.43% | -8.45% | 0.98% | -7.60% | 7.11% | -4.40% | -8.95% | 4.45% | 8.10% | -4.78% | -18.61% |
| 2021 | -0.68% | 1.14% | 3.50% | 3.56% | 1.61% | 1.64% | 2.00% | 2.37% | -4.42% | 5.25% | 0.89% | 3.48% | 21.94% |
Benchmark Metrics
ChatGPT September Defensive Tilt 2 has an annualized alpha of 4.44%, beta of 0.77, and R2 of 0.92 versus S&P 500 Index. Calculated based on daily prices since October 20, 2011.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (88.91%) than losses (73.81%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 4.44% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Alpha
- 4.44%
- Beta
- 0.77
- R²
- 0.92
- Upside Capture
- 88.91%
- Downside Capture
- 73.81%
Expense Ratio
ChatGPT September Defensive Tilt 2 has an expense ratio of 0.15%, 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
ChatGPT September Defensive Tilt 2 ranks 91 for risk / return — in the top 91% 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.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for ChatGPT September Defensive Tilt 2 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 | 2.95 | 1.86 | +1.09 |
| Sortino ratioReturn per unit of downside risk | 3.92 | 2.53 | +1.39 |
| Omega ratioGain probability vs. loss probability | 1.55 | 1.34 | +0.21 |
| Calmar ratioReturn relative to maximum drawdown | 4.78 | 2.53 | +2.25 |
| Martin ratioReturn relative to average drawdown | 20.67 | 11.37 | +9.30 |
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 |
|---|---|---|---|---|---|---|
GLD SPDR Gold Shares | 26 | 0.87 | 1.24 | 1.18 | 0.98 | 2.81 |
QQQ Invesco QQQ ETF | 69 | 2.09 | 2.73 | 1.37 | 3.01 | 11.22 |
SCHD Schwab U.S. Dividend Equity ETF | 86 | 2.41 | 3.72 | 1.43 | 5.70 | 13.97 |
SCHG Schwab U.S. Large-Cap Growth ETF | 32 | 1.18 | 1.64 | 1.21 | 1.14 | 3.78 |
SMH VanEck Semiconductor ETF | 95 | 4.13 | 4.26 | 1.60 | 9.18 | 33.74 |
TLT iShares 20+ Year Treasury Bond ETF | 13 | 0.30 | 0.50 | 1.06 | 0.38 | 0.92 |
VEA Vanguard FTSE Developed Markets ETF | 60 | 1.81 | 2.50 | 1.33 | 2.58 | 9.92 |
XLU State Street Utilities Select Sector SPDR ETF | 25 | 0.81 | 1.18 | 1.15 | 1.30 | 2.80 |
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Dividends
Dividend yield
ChatGPT September Defensive Tilt 2 provided a 1.82% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.82% | 2.04% | 2.03% | 1.94% | 1.91% | 1.46% | 1.59% | 1.80% | 2.01% | 1.75% | 1.85% | 2.02% |
| Portfolio components: | ||||||||||||
GLD SPDR Gold Shares | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QQQ Invesco QQQ ETF | 0.39% | 0.45% | 0.56% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% |
SCHD Schwab U.S. Dividend Equity ETF | 3.22% | 3.82% | 3.64% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% |
SCHG Schwab U.S. Large-Cap Growth ETF | 0.38% | 0.36% | 0.39% | 0.46% | 0.55% | 0.42% | 0.52% | 0.82% | 1.27% | 1.01% | 1.04% | 1.22% |
SMH VanEck Semiconductor ETF | 0.18% | 0.31% | 0.44% | 0.60% | 1.18% | 0.51% | 0.69% | 1.50% | 1.88% | 1.43% | 0.80% | 2.14% |
TLT iShares 20+ Year Treasury Bond ETF | 4.56% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
VEA Vanguard FTSE Developed Markets ETF | 2.62% | 3.22% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% |
XLU State Street Utilities Select Sector SPDR ETF | 2.67% | 2.71% | 2.96% | 3.39% | 2.92% | 2.79% | 3.14% | 2.95% | 3.33% | 3.33% | 3.41% | 3.67% |
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 ChatGPT September Defensive Tilt 2. 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 ChatGPT September Defensive Tilt 2 was 25.71%, occurring on Oct 14, 2022. Recovery took 293 trading sessions.
The current ChatGPT September Defensive Tilt 2 drawdown is 1.66%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -25.71%Oct 2022 | 9mo 20d | 1y 2mo | 1y 11moDec 2021 - Dec 2023 |
COVID crash2020 | -24.39%Mar 2020 | 29d | 2mo 17d | 3mo 16dFeb 2020 - Jun 2020 |
2025 selloff2025 | -14.66%Apr 2025 | 1mo 16d | 2mo 2d | 3mo 18dFeb 2025 - Jun 2025 |
Rate-hike selloffLate 2018 | -13.90%Dec 2018 | 3mo 26d | 2mo 19d | 6mo 15dAug 2018 - Mar 2019 |
2015 correction2015 | -10.61%Aug 2015 | 2mo 29d | 6mo 24d | 9mo 23dMay 2015 - Mar 2016 |
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 5.71, 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 | 1.47 | 1.38 | 1.33 | 1.32 | 1.34 |
The portfolio has a diversification ratio of 1.34, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
ChatGPT September Defensive Tilt 2 correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.88 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.92 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.94 |
Correlation (All Time) Calculated using the full available price history since Oct 20, 2011 | 0.94 |
Benchmark Correlations
Correlation vs. S&P 500 Index. SCHG has the highest benchmark correlation at 0.94, while TLT has the lowest at -0.20.
Asset Correlations Table
| GLD | TLT | XLU | SMH | SCHD | VEA | QQQ | SCHG | |
|---|---|---|---|---|---|---|---|---|
| GLD | 1.00 | 0.24 | 0.14 | 0.05 | 0.04 | 0.19 | 0.05 | 0.05 |
| TLT | 0.24 | 1.00 | 0.11 | -0.17 | -0.20 | -0.16 | -0.14 | -0.16 |
| XLU | 0.14 | 0.11 | 1.00 | 0.18 | 0.48 | 0.36 | 0.27 | 0.30 |
| SMH | 0.05 | -0.17 | 0.18 | 1.00 | 0.58 | 0.65 | 0.83 | 0.79 |
| SCHD | 0.04 | -0.20 | 0.48 | 0.58 | 1.00 | 0.73 | 0.63 | 0.66 |
| VEA | 0.19 | -0.16 | 0.36 | 0.65 | 0.73 | 1.00 | 0.71 | 0.74 |
| QQQ | 0.05 | -0.14 | 0.27 | 0.83 | 0.63 | 0.71 | 1.00 | 0.96 |
| SCHG | 0.05 | -0.16 | 0.30 | 0.79 | 0.66 | 0.74 | 0.96 | 1.00 |
Find what ChatGPT September Defensive Tilt 2 is missing
See which holdings overlap, where ChatGPT September Defensive Tilt 2 is concentrated, and which low-correlation assets could fill the gaps.
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