Asset Allocation
Find the right asset allocation for Safe income systematic hedge
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Safe income systematic hedge, 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.
Loading charts...
Returns By Period
As of Jun 9, 2026, the Safe income systematic hedge returned 6.92% Year-To-Date and 9.48% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.30% | 0.09% | 8.18% | 8.17% | 23.42% | 19.88% | 11.91% | 13.45% |
Portfolio Safe income systematic hedge | -0.00% | 0.09% | 6.92% | 7.77% | 16.48% | 13.60% | 10.46% | 9.48% |
| Portfolio components: | ||||||||
AQMIX AQR Managed Futures Strategy Fund | -0.55% | 1.22% | 12.43% | 14.53% | 25.35% | 12.47% | 12.60% | 4.98% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | -2.26% | -2.66% | -18.69% | -16.94% | -35.41% | -12.18% | -4.53% | -4.76% |
BUI BlackRock Utilities, Infrastructure & Power Opportunities Trust | 0.00% | 0.12% | 11.75% | 15.59% | 26.50% | 15.62% | 8.51% | 11.23% |
DNP DNP Select Income Fund Inc. | -1.03% | -0.14% | 9.66% | 10.26% | 18.20% | 9.87% | 8.26% | 7.97% |
IAU iShares Gold Trust | 0.20% | -8.43% | 0.26% | 3.08% | 30.27% | 29.88% | 17.71% | 12.71% |
QUAL iShares MSCI USA Quality Factor ETF | 0.32% | 1.62% | 7.89% | 8.26% | 19.70% | 19.43% | 11.82% | 14.19% |
RYMTX Guggenheim Managed Futures Strategy Fund | -1.54% | -1.59% | 7.07% | 8.27% | 17.81% | 3.95% | 5.50% | 3.51% |
SCHD Schwab U.S. Dividend Equity ETF | -0.03% | 2.12% | 18.71% | 19.28% | 26.37% | 14.73% | 8.49% | 12.65% |
SCHG Schwab U.S. Large-Cap Growth ETF | 0.15% | -0.94% | 3.75% | 2.93% | 20.82% | 24.03% | 14.90% | 18.53% |
SHV iShares 0-1 Year Treasury Bond ETF | 0.01% | 0.26% | 1.47% | 1.74% | 3.90% | 4.63% | 3.33% | 2.23% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 19, 2013, Safe income systematic hedge's average daily return is +0.03%, while the average monthly return is +0.71%. At this rate, an investment would double in approximately 8.2 years.
Historically, 68% of months were positive and 32% were negative. The best month was Apr 2020 with a return of +6.3%, while the worst month was Feb 2020 at -4.1%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Safe income systematic hedge closed higher 57% of trading days. The best single day was Mar 24, 2020 with a return of +4.0%, while the worst single day was Mar 16, 2020 at -4.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.44% | 2.96% | -3.30% | 3.07% | 1.63% | -0.89% | 6.92% | ||||||
| 2025 | 1.96% | 0.58% | -0.28% | -0.77% | 1.90% | 1.45% | 0.59% | 1.74% | 2.86% | 1.02% | 1.06% | 0.40% | 13.20% |
| 2024 | 1.77% | 2.81% | 2.94% | -0.64% | 1.88% | 0.88% | 1.15% | 1.38% | 1.75% | -0.46% | 2.20% | -0.72% | 15.91% |
| 2023 | 2.13% | -0.35% | 1.50% | 0.91% | -0.23% | 1.88% | 1.16% | -0.16% | -1.32% | 0.32% | 2.41% | 1.06% | 9.64% |
| 2022 | -0.73% | -0.63% | 3.83% | -0.84% | -0.31% | -2.13% | 1.99% | -0.39% | -3.40% | 3.54% | 2.62% | -1.79% | 1.47% |
| 2021 | -0.36% | 0.01% | 1.97% | 2.18% | 1.45% | -0.02% | 0.99% | 1.20% | -2.13% | 3.25% | -0.77% | 2.96% | 11.14% |
Benchmark Metrics
Safe income systematic hedge has an annualized alpha of 4.02%, beta of 0.37, and R2 of 0.79 versus S&P 500 Index. Calculated based on daily prices since July 19, 2013.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (41.00%) than losses (28.05%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 4.02% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.37 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
- 4.02%
- Beta
- 0.37
- R²
- 0.79
- Upside Capture
- 41.00%
- Downside Capture
- 28.05%
Expense Ratio
Safe income systematic hedge has an expense ratio of 0.58%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Top 10 holdings
Return for Risk
Risk / Return Rank
Safe income systematic hedge ranks 81 for risk / return — in the top 81% 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 Safe income systematic hedge and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.80 | 1.94 | +0.87 |
| Sortino ratioReturn per unit of downside risk | 3.83 | 2.63 | +1.21 |
| Omega ratioGain probability vs. loss probability | 1.56 | 1.35 | +0.20 |
| Calmar ratioReturn relative to maximum drawdown | 3.48 | 2.59 | +0.90 |
| Martin ratioReturn relative to average drawdown | 14.27 | 11.84 | +2.42 |
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.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 89 | 2.85 | 3.88 | 1.50 | 8.24 | 26.92 |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 0 | -1.61 | -2.52 | 0.74 | -0.95 | -1.62 |
BUI BlackRock Utilities, Infrastructure & Power Opportunities Trust | 82 | 1.76 | 2.52 | 1.34 | 1.96 | 5.62 |
DNP DNP Select Income Fund Inc. | 86 | 1.87 | 2.65 | 1.33 | 2.85 | 11.95 |
IAU iShares Gold Trust | 33 | 1.14 | 1.52 | 1.23 | 1.52 | 3.80 |
QUAL iShares MSCI USA Quality Factor ETF | 54 | 1.65 | 2.34 | 1.29 | 2.19 | 9.96 |
RYMTX Guggenheim Managed Futures Strategy Fund | 51 | 1.58 | 2.18 | 1.30 | 3.27 | 12.34 |
SCHD Schwab U.S. Dividend Equity ETF | 85 | 2.43 | 3.75 | 1.43 | 5.74 | 14.06 |
SCHG Schwab U.S. Large-Cap Growth ETF | 36 | 1.33 | 1.82 | 1.24 | 1.27 | 4.25 |
SHV iShares 0-1 Year Treasury Bond ETF | 100 | 19.49 | 149.54 | 53.77 | 431.38 | 2,419.80 |
Loading charts...
Dividends
Dividend yield
Safe income systematic hedge provided a 2.87% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.87% | 3.04% | 3.25% | 3.90% | 3.35% | 1.91% | 2.52% | 2.07% | 1.81% | 1.83% | 1.99% | 2.57% |
| Portfolio components: | ||||||||||||
AQMIX AQR Managed Futures Strategy Fund | 2.01% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 3.06% | 2.49% | 3.49% | 6.14% | 1.01% | 0.00% | 0.00% | 0.88% | 0.39% | 0.00% | 0.00% | 0.00% |
BUI BlackRock Utilities, Infrastructure & Power Opportunities Trust | 9.57% | 10.39% | 6.26% | 6.65% | 6.99% | 5.45% | 5.80% | 6.51% | 7.35% | 6.72% | 7.89% | 8.65% |
DNP DNP Select Income Fund Inc. | 7.34% | 7.81% | 8.84% | 9.20% | 6.93% | 7.18% | 7.60% | 6.11% | 7.50% | 7.22% | 7.62% | 8.71% |
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% |
QUAL iShares MSCI USA Quality Factor ETF | 0.88% | 0.94% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% |
RYMTX Guggenheim Managed Futures Strategy Fund | 5.63% | 6.03% | 5.10% | 1.02% | 4.80% | 0.00% | 7.56% | 0.00% | 0.00% | 4.70% | 5.19% | 2.68% |
SCHD Schwab U.S. Dividend Equity ETF | 3.27% | 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 | 0.37% | 0.36% | 0.39% | 0.46% | 0.55% | 0.42% | 0.52% | 0.82% | 1.27% | 1.01% | 1.04% | 1.22% |
SHV iShares 0-1 Year Treasury Bond ETF | 3.83% | 4.09% | 5.02% | 4.73% | 1.39% | 0.00% | 0.74% | 2.19% | 1.66% | 0.72% | 0.34% | 0.03% |
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.
Loading charts...
Worst Drawdowns
The table below displays the maximum drawdowns of the Safe income systematic hedge. 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 Safe income systematic hedge was 15.36%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.
The current Safe income systematic hedge drawdown is 1.29%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -15.36%Mar 2020 | 1mo 2d | 3mo 29d | 5mo 1dFeb 2020 - Jul 2020 |
2025 selloff2025 | -7.56%Apr 2025 | 1mo 17d | 1mo 11d | 2mo 28dFeb 2025 - May 2025 |
Rate-hike selloffLate 2018 | -7.49%Dec 2018 | 2mo 21d | 2mo 17d | 5mo 8dOct 2018 - Mar 2019 |
2015 pullback2015 | -6.59%Aug 2015 | 4mo 14d | 6mo 26d | 11mo 10dApr 2015 - Mar 2016 |
Bear market2022 | -6.20%Sep 2022 | 5mo 12d | 4mo 4d | 9mo 16dApr 2022 - Feb 2023 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading charts...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 17 assets, with an effective number of assets of 14.01, 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 | 2.30 | 2.09 | 2.13 | 1.89 | 1.91 |
The portfolio has a diversification ratio of 1.91, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.
Safe income systematic hedge correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.69 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.77 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.82 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.83 |
Correlation (All Time) Calculated using the full available price history since Jul 19, 2013 | 0.83 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while BTAL has the lowest at -0.52.
Asset Correlations Table
Find what Safe income systematic hedge is missing
See which holdings overlap, where Safe income systematic hedge is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification