2025-FW-RO-MDD

Asset Allocation

Position	Category/Sector	Target Weight
BND Vanguard Total Bond Market ETF	Total Bond Market	35%
IEI iShares 3-7 Year Treasury Bond ETF	Government Bonds	9%
IUSG iShares Core S&P U.S. Growth ETF	Large Cap Growth Equities	2%
IWN iShares Russell 2000 Value ETF	Small Cap Value Equities	1%
MGK Vanguard Mega Cap Growth ETF	Large Cap Growth Equities	2%
QUAL iShares MSCI USA Quality Factor ETF	Large Cap Blend Equities	7%
SPMD SPDR Portfolio S&P 400 Mid Cap ETF	Mid Cap Blend Equities	3%
VCIT Vanguard Intermediate-Term Corporate Bond ETF	Corporate Bonds	11%
VEA Vanguard FTSE Developed Markets ETF	Foreign Large Cap Equities	11%
VGLT Vanguard Long-Term Treasury ETF	Government Bonds, Long-Term Bond	2%
VTI Vanguard Total Stock Market ETF	Large Cap Blend Equities	10%
VTV Vanguard Value ETF	Large Cap Value Equities	4%
VWO Vanguard FTSE Emerging Markets ETF	Emerging Markets Equities	3%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

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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The earliest data available for this chart is Jul 18, 2013, corresponding to the inception date of QUAL

Returns By Period

As of Apr 2, 2026, the 2025-FW-RO-MDD returned -0.00% Year-To-Date and 6.43% of annualized return in the last 10 years.

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.72%	-3.54%	-3.95%	-2.09%	15.95%	16.96%	10.34%	12.24%
Portfolio 2025-FW-RO-MDD	0.42%	-2.03%	-0.00%	1.42%	11.29%	9.47%	4.45%	6.43%
Portfolio components:
BND Vanguard Total Bond Market ETF	0.04%	-1.30%	0.09%	0.74%	3.96%	3.60%	0.25%	1.68%
IEI iShares 3-7 Year Treasury Bond ETF	-0.08%	-1.15%	-0.13%	0.68%	3.73%	3.40%	0.45%	1.35%
IUSG iShares Core S&P U.S. Growth ETF	1.35%	-4.30%	-6.29%	-4.63%	23.27%	21.89%	12.17%	15.66%
IWN iShares Russell 2000 Value ETF	0.62%	-3.85%	5.56%	8.36%	28.61%	13.77%	5.38%	9.47%
MGK Vanguard Mega Cap Growth ETF	1.17%	-4.13%	-9.86%	-7.94%	19.83%	22.59%	12.64%	16.97%
QUAL iShares MSCI USA Quality Factor ETF	0.50%	-5.52%	-2.74%	-1.05%	13.65%	17.10%	10.71%	12.99%
SPMD SPDR Portfolio S&P 400 Mid Cap ETF	0.79%	-5.34%	3.40%	4.73%	17.66%	12.40%	6.76%	10.82%
VCIT Vanguard Intermediate-Term Corporate Bond ETF	0.14%	-1.52%	-0.31%	0.49%	5.98%	5.60%	1.45%	3.08%
VEA Vanguard FTSE Developed Markets ETF	1.65%	-5.45%	4.45%	9.91%	31.74%	16.71%	8.93%	9.55%
VGLT Vanguard Long-Term Treasury ETF	-0.05%	-3.18%	-0.14%	-0.79%	-0.40%	-1.59%	-4.89%	-0.87%

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

Monthly Returns

Based on dividend-adjusted daily data since Jul 19, 2013, 2025-FW-RO-MDD's average daily return is +0.03%, while the average monthly return is +0.52%. At this rate, your investment would double in approximately 11.1 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%	0.42%									0.00%
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 1.35%, beta of 0.41, and R² of 0.80 versus S&P 500 Index. Calculated based on daily prices since July 19, 2013.

This portfolio participated in 52.25% of S&P 500 Index downside but only 46.04% 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: 1.35%

Beta: 0.41

R²: 0.80

Upside Capture: 46.04%

Downside Capture: 52.25%

Expense Ratio

2025-FW-RO-MDD has an expense ratio of 0.06%, 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

IWN

iShares Russell 2000 Value ETF

IEI

iShares 3-7 Year Treasury Bond ETF

QUAL

iShares MSCI USA Quality Factor ETF

VWO

Vanguard FTSE Emerging Markets ETF

MGK

Vanguard Mega Cap Growth ETF

SPMD

SPDR Portfolio S&P 400 Mid Cap ETF

IUSG

iShares Core S&P U.S. Growth ETF

VCIT

Vanguard Intermediate-Term Corporate Bond ETF

VTV

Vanguard Value ETF

BND

Vanguard Total Bond Market ETF

Return for Risk

Risk / Return Rank

2025-FW-RO-MDD ranks 62 for risk / return — better than 62% of portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.

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	1.40	0.92	+0.48
Sortino ratio Return per unit of downside risk	2.04	1.41	+0.62
Omega ratio Gain probability vs. loss probability	1.29	1.21	+0.08
Calmar ratio Return relative to maximum drawdown	2.05	1.41	+0.63
Martin ratio Return relative to average drawdown	8.55	6.61	+1.93
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
BND Vanguard Total Bond Market ETF	50	0.93	1.32	1.16	1.75	4.78
IEI iShares 3-7 Year Treasury Bond ETF	59	1.09	1.64	1.20	1.78	5.68
IUSG iShares Core S&P U.S. Growth ETF	64	1.06	1.64	1.23	1.87	7.25
IWN iShares Russell 2000 Value ETF	72	1.32	1.91	1.25	2.07	8.21
MGK Vanguard Mega Cap Growth ETF	46	0.85	1.39	1.19	1.23	4.27
QUAL iShares MSCI USA Quality Factor ETF	45	0.79	1.24	1.18	1.21	5.50
SPMD SPDR Portfolio S&P 400 Mid Cap ETF	47	0.84	1.32	1.18	1.30	5.57
VCIT Vanguard Intermediate-Term Corporate Bond ETF	68	1.24	1.73	1.23	2.08	7.27
VEA Vanguard FTSE Developed Markets ETF	87	1.81	2.46	1.36	2.77	10.77
VGLT Vanguard Long-Term Treasury ETF	11	-0.04	0.02	1.00	0.04	0.09

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.

2025-FW-RO-MDD Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

1-Year: 1.40
5-Year: 0.53
10-Year: 0.78
All Time: 0.79

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 1.00 to 1.70, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of 2025-FW-RO-MDD 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

2025-FW-RO-MDD provided a 3.05% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.05%	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	3.93%	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	3.58%	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	0.57%	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	1.62%	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	0.39%	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	0.98%	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	1.36%	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	4.76%	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	2.88%	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	4.54%	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 3.40%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-20.58%	Nov 8, 2021	236	Oct 14, 2022	420	Jun 18, 2024	656
-16.64%	Feb 20, 2020	22	Mar 20, 2020	53	Jun 5, 2020	75
-8.08%	Jan 29, 2018	229	Dec 24, 2018	53	Mar 13, 2019	282
-7.03%	Apr 27, 2015	186	Jan 20, 2016	62	Apr 19, 2016	248
-7.03%	Dec 9, 2024	82	Apr 8, 2025	26	May 15, 2025	108

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. 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	BND	IEI	VCIT	VGLT	VWO	IWN	VEA	SPMD	MGK	VTV	IUSG	QUAL	VTI	Portfolio
Benchmark	1.00	-0.02	-0.14	0.11	-0.16	0.68	0.77	0.80	0.81	0.93	0.87	0.96	0.97	0.99	0.87
BND	-0.02	1.00	0.91	0.91	0.90	0.01	-0.05	0.04	-0.02	0.01	-0.06	0.00	0.00	-0.02	0.34
IEI	-0.14	0.91	1.00	0.84	0.83	-0.08	-0.15	-0.06	-0.13	-0.10	-0.17	-0.12	-0.12	-0.14	0.21
VCIT	0.11	0.91	0.84	1.00	0.78	0.11	0.07	0.16	0.09	0.13	0.06	0.12	0.12	0.11	0.45
VGLT	-0.16	0.90	0.83	0.78	1.00	-0.12	-0.18	-0.12	-0.15	-0.12	-0.20	-0.13	-0.14	-0.16	0.17
VWO	0.68	0.01	-0.08	0.11	-0.12	1.00	0.58	0.79	0.59	0.63	0.61	0.64	0.65	0.68	0.72
IWN	0.77	-0.05	-0.15	0.07	-0.18	0.58	1.00	0.71	0.91	0.62	0.83	0.68	0.74	0.82	0.73
VEA	0.80	0.04	-0.06	0.16	-0.12	0.79	0.71	1.00	0.73	0.71	0.77	0.74	0.78	0.81	0.85
SPMD	0.81	-0.02	-0.13	0.09	-0.15	0.59	0.91	0.73	1.00	0.68	0.83	0.74	0.80	0.85	0.78
MGK	0.93	0.01	-0.10	0.13	-0.12	0.63	0.62	0.71	0.68	1.00	0.67	0.98	0.90	0.92	0.81
VTV	0.87	-0.06	-0.17	0.06	-0.20	0.61	0.83	0.77	0.83	0.67	1.00	0.73	0.84	0.87	0.79
IUSG	0.96	0.00	-0.12	0.12	-0.13	0.64	0.68	0.74	0.74	0.98	0.73	1.00	0.93	0.95	0.83
QUAL	0.97	0.00	-0.12	0.12	-0.14	0.65	0.74	0.78	0.80	0.90	0.84	0.93	1.00	0.96	0.87
VTI	0.99	-0.02	-0.14	0.11	-0.16	0.68	0.82	0.81	0.85	0.92	0.87	0.95	0.96	1.00	0.88
Portfolio	0.87	0.34	0.21	0.45	0.17	0.72	0.73	0.85	0.78	0.81	0.79	0.83	0.87	0.88	1.00

The correlation results are calculated based on daily price changes starting from Jul 19, 2013

2025-FW-RO-MDD

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Top 10 holdings

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