Asset Allocation
Find the right asset allocation for 2025-FW-RO-MDD
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in 2025-FW-RO-MDD, 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 2025-FW-RO-MDD returned 5.50% Year-To-Date and 6.92% 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 2025-FW-RO-MDD | 0.19% | 1.71% | 5.50% | 5.94% | 14.56% | 10.92% | 4.84% | 6.92% |
| Portfolio components: | ||||||||
BND Vanguard Total Bond Market ETF | -0.12% | 1.03% | 0.52% | 0.91% | 4.77% | 4.17% | 0.03% | 1.58% |
IEI iShares 3-7 Year Treasury Bond ETF | -0.12% | 0.54% | -0.30% | -0.00% | 3.16% | 3.77% | 0.21% | 1.24% |
IUSG iShares Core S&P U.S. Growth ETF | 0.36% | -0.99% | 10.18% | 11.00% | 29.29% | 25.32% | 14.55% | 17.63% |
IWN iShares Russell 2000 Value ETF | 1.17% | 6.00% | 20.82% | 17.48% | 44.79% | 17.41% | 6.89% | 10.58% |
MGK Vanguard Mega Cap Growth ETF | 0.22% | -1.87% | 5.33% | 6.21% | 24.77% | 24.17% | 14.87% | 18.85% |
QUAL iShares MSCI USA Quality Factor ETF | 0.47% | 3.07% | 9.44% | 9.29% | 22.87% | 19.30% | 11.97% | 14.46% |
SPMD SPDR Portfolio S&P 400 Mid Cap ETF | 0.73% | 5.31% | 15.51% | 14.03% | 27.96% | 15.42% | 8.28% | 11.78% |
VCIT Vanguard Intermediate-Term Corporate Bond ETF | -0.07% | 0.96% | 0.41% | 0.89% | 6.00% | 6.37% | 1.11% | 2.93% |
VEA Vanguard FTSE Developed Markets ETF | 0.34% | 3.58% | 14.73% | 16.65% | 31.41% | 19.03% | 9.51% | 10.72% |
VGLT Vanguard Long-Term Treasury ETF | -0.27% | 2.62% | 0.03% | 0.49% | 4.27% | -0.30% | -5.52% | -1.21% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 18, 2013, 2025-FW-RO-MDD's average daily return is +0.03%, while the average monthly return is +0.55%. At this rate, an investment would double in approximately 10.5 years.
Historically, 68% of months were positive and 32% were negative. The best month was Nov 2023 with a return of +6.4%, while the worst month was Mar 2020 at -6.7%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 4 months.
On a daily basis, 2025-FW-RO-MDD closed higher 56% of trading days. The best single day was Mar 13, 2020 with a return of +4.8%, while the worst single day was Mar 12, 2020 at -6.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.55% | 1.88% | -3.76% | 3.96% | 2.12% | -0.21% | 5.50% | ||||||
| 2025 | 1.75% | 0.98% | -1.52% | 0.41% | 1.99% | 2.78% | 0.23% | 2.06% | 1.95% | 0.97% | 0.69% | 0.27% | 13.23% |
| 2024 | 0.01% | 1.22% | 1.99% | -3.04% | 2.98% | 1.15% | 2.40% | 1.81% | 1.59% | -2.38% | 2.49% | -2.46% | 7.78% |
| 2023 | 5.20% | -2.88% | 2.72% | 0.94% | -1.20% | 2.44% | 1.59% | -1.48% | -3.31% | -2.10% | 6.40% | 4.40% | 12.83% |
| 2022 | -3.36% | -1.75% | -0.81% | -5.70% | 0.70% | -4.53% | 4.74% | -3.57% | -6.53% | 2.44% | 5.71% | -2.52% | -14.91% |
| 2021 | -0.67% | 0.44% | 0.86% | 2.31% | 0.81% | 1.08% | 1.16% | 0.89% | -2.52% | 2.31% | -0.89% | 1.57% | 7.49% |
Benchmark Metrics
2025-FW-RO-MDD has an annualized alpha of 1.32%, beta of 0.41, and R2 of 0.80 versus S&P 500 Index. Calculated based on daily prices since July 18, 2013.
- This portfolio participated in 51.92% of S&P 500 Index downside but only 45.38% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.41 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
- 1.32%
- Beta
- 0.41
- R²
- 0.80
- Upside Capture
- 45.38%
- Downside Capture
- 51.92%
Expense Ratio
2025-FW-RO-MDD 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.
Top 10 holdings
Return for Risk
Risk / Return Rank
2025-FW-RO-MDD ranks 52 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for 2025-FW-RO-MDD 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 | 1.98 | 1.86 | +0.11 |
| Sortino ratioReturn per unit of downside risk | 2.84 | 2.53 | +0.31 |
| Omega ratioGain probability vs. loss probability | 1.38 | 1.34 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.58 | 2.53 | +0.05 |
| Martin ratioReturn relative to average drawdown | 11.17 | 11.37 | -0.20 |
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 |
|---|---|---|---|---|---|---|
BND Vanguard Total Bond Market ETF | 36 | 1.18 | 1.77 | 1.21 | 1.65 | 4.81 |
IEI iShares 3-7 Year Treasury Bond ETF | 28 | 1.00 | 1.52 | 1.17 | 1.19 | 3.35 |
IUSG iShares Core S&P U.S. Growth ETF | 53 | 1.69 | 2.29 | 1.30 | 2.13 | 8.79 |
IWN iShares Russell 2000 Value ETF | 84 | 2.35 | 3.27 | 1.40 | 5.02 | 16.91 |
MGK Vanguard Mega Cap Growth ETF | 38 | 1.37 | 1.89 | 1.24 | 1.37 | 4.65 |
QUAL iShares MSCI USA Quality Factor ETF | 57 | 1.74 | 2.46 | 1.31 | 2.32 | 10.60 |
SPMD SPDR Portfolio S&P 400 Mid Cap ETF | 58 | 1.64 | 2.39 | 1.29 | 2.95 | 10.81 |
VCIT Vanguard Intermediate-Term Corporate Bond ETF | 42 | 1.36 | 2.02 | 1.24 | 1.88 | 6.07 |
VEA Vanguard FTSE Developed Markets ETF | 60 | 1.81 | 2.50 | 1.33 | 2.58 | 9.92 |
VGLT Vanguard Long-Term Treasury ETF | 15 | 0.38 | 0.61 | 1.07 | 0.47 | 1.19 |
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Dividends
Dividend yield
2025-FW-RO-MDD provided a 3.00% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.00% | 3.03% | 2.98% | 2.65% | 2.35% | 1.95% | 1.99% | 2.49% | 2.64% | 2.32% | 2.39% | 2.53% |
| Portfolio components: | ||||||||||||
BND Vanguard Total Bond Market ETF | 3.96% | 3.86% | 3.67% | 3.09% | 2.60% | 2.12% | 2.38% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% |
IEI iShares 3-7 Year Treasury Bond ETF | 3.64% | 3.48% | 3.18% | 2.36% | 1.37% | 0.73% | 1.12% | 2.01% | 1.95% | 1.51% | 1.33% | 1.39% |
IUSG iShares Core S&P U.S. Growth ETF | 0.49% | 0.53% | 0.59% | 1.12% | 1.07% | 0.59% | 0.93% | 1.64% | 1.32% | 1.28% | 1.48% | 1.29% |
IWN iShares Russell 2000 Value ETF | 1.42% | 1.70% | 1.80% | 2.04% | 2.12% | 1.48% | 1.60% | 1.92% | 1.99% | 1.78% | 1.74% | 2.15% |
MGK Vanguard Mega Cap Growth ETF | 0.33% | 0.35% | 0.43% | 0.50% | 0.70% | 0.41% | 0.65% | 0.85% | 1.12% | 1.23% | 1.53% | 1.43% |
QUAL iShares MSCI USA Quality Factor ETF | 0.87% | 0.94% | 1.02% | 1.23% | 1.59% | 1.20% | 1.39% | 1.60% | 2.00% | 1.76% | 1.96% | 1.63% |
SPMD SPDR Portfolio S&P 400 Mid Cap ETF | 1.21% | 1.39% | 1.42% | 1.47% | 1.64% | 1.24% | 1.30% | 1.57% | 1.85% | 1.97% | 2.13% | 5.33% |
VCIT Vanguard Intermediate-Term Corporate Bond ETF | 4.79% | 4.62% | 4.43% | 3.72% | 3.03% | 2.87% | 2.78% | 3.37% | 3.61% | 3.21% | 3.29% | 3.34% |
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% |
VGLT Vanguard Long-Term Treasury ETF | 4.59% | 4.44% | 4.33% | 3.33% | 2.84% | 1.82% | 2.15% | 2.46% | 2.71% | 2.55% | 2.69% | 3.21% |
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 2025-FW-RO-MDD. 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 2025-FW-RO-MDD was 20.58%, occurring on Oct 14, 2022. Recovery took 420 trading sessions.
The current 2025-FW-RO-MDD drawdown is 0.50%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -20.58%Oct 2022 | 11mo 10d | 1y 8mo | 2y 7moNov 2021 - Jun 2024 |
COVID crash2020 | -16.64%Mar 2020 | 29d | 2mo 17d | 3mo 16dFeb 2020 - Jun 2020 |
Rate-hike selloffLate 2018 | -8.08%Dec 2018 | 10mo 29d | 2mo 19d | 1y 1moJan 2018 - Mar 2019 |
2016 pullback2016 | -7.03%Jan 2016 | 8mo 28d | 3mo | 11mo 28dApr 2015 - Apr 2016 |
2025 selloff2025 | -7.03%Apr 2025 | 4mo | 1mo 7d | 5mo 7dDec 2024 - May 2025 |
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 13 assets, with an effective number of assets of 5.73, reflecting the diversification based on asset allocation. Your portfolio is dominated by one or two holdings, which significantly increases concentration risk. Consider rebalancing toward more even weights or adding additional positions.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.22 | 1.29 | 1.30 | 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.
2025-FW-RO-MDD 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 | 0.84 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.86 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.87 |
Correlation (All Time) Calculated using the full available price history since Jul 18, 2013 | 0.87 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while VGLT has the lowest at -0.15.
Asset Correlations Table
Find what 2025-FW-RO-MDD is missing
See which holdings overlap, where 2025-FW-RO-MDD is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification