Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
SCHD Schwab U.S. Dividend Equity ETF | Dividend | 50% |
TFLO iShares Treasury Floating Rate Bond ETF | Government Bonds, Ultrashort Bond | 35% |
SGOV iShares 0-3 Month Treasury Bond ETF | Ultrashort Bond | 15% |
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in TFLO, 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 year.
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Returns By Period
| 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 TFLO | 0.49% | 1.99% | 11.13% | 10.73% | 15.16% | 9.82% | 6.32% | — |
| Portfolio components: | ||||||||
SCHD Schwab U.S. Dividend Equity ETF | 0.89% | 3.21% | 20.66% | 19.57% | 26.72% | 14.90% | 8.75% | 12.91% |
SGOV iShares 0-3 Month Treasury Bond ETF | 0.02% | 0.29% | 1.61% | 1.78% | 3.91% | 4.71% | 3.56% | — |
TFLO iShares Treasury Floating Rate Bond ETF | 0.02% | 0.31% | 1.71% | 1.90% | 3.99% | 4.74% | 3.66% | 2.37% |
Monthly Returns
Based on dividend-adjusted daily data since May 28, 2020, TFLO's average daily return is +0.04%, while the average monthly return is +0.74%. At this rate, an investment would double in approximately 7.8 years.
Historically, 62% of months were positive and 38% were negative. The best month was Nov 2020 with a return of +6.8%, while the worst month was Jun 2022 at -3.9%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, TFLO closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +3.0%, while the worst single day was Jun 11, 2020 at -3.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.50% | 3.52% | -1.26% | 2.53% | 0.86% | 0.61% | 11.13% | ||||||
| 2025 | 1.13% | 1.45% | -0.43% | -3.72% | 0.86% | 1.28% | 0.19% | 2.80% | -0.49% | -0.82% | 1.71% | 0.40% | 4.29% |
| 2024 | 0.30% | 1.15% | 2.55% | -2.07% | 1.26% | 0.20% | 3.33% | 1.43% | 0.66% | 0.30% | 2.60% | -3.33% | 8.48% |
| 2023 | 1.19% | -1.48% | -0.31% | -0.19% | -1.78% | 2.78% | 2.26% | -0.50% | -1.85% | -1.60% | 3.20% | 3.24% | 4.83% |
| 2022 | -1.34% | -0.94% | 1.48% | -1.96% | 1.88% | -3.89% | 1.95% | -1.24% | -3.40% | 5.24% | 3.44% | -1.49% | -0.70% |
| 2021 | -0.45% | 3.03% | 4.60% | 1.17% | 1.73% | -0.55% | 0.36% | 1.14% | -2.04% | 2.39% | -1.14% | 4.00% | 14.97% |
Benchmark Metrics
TFLO has an annualized alpha of 3.39%, beta of 0.35, and R2 of 0.60 versus S&P 500 Index. Calculated based on daily prices since May 28, 2020.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (38.57%) than losses (35.48%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 3.39% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.35 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
- 3.39%
- Beta
- 0.35
- R²
- 0.60
- Upside Capture
- 38.57%
- Downside Capture
- 35.48%
Expense Ratio
TFLO has an expense ratio of 0.10%, 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
TFLO 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.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for TFLO 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 | 2.70 | 1.86 | +0.83 |
| Sortino ratioReturn per unit of downside risk | 4.40 | 2.53 | +1.87 |
| Omega ratioGain probability vs. loss probability | 1.52 | 1.34 | +0.18 |
| Calmar ratioReturn relative to maximum drawdown | 6.34 | 2.53 | +3.81 |
| Martin ratioReturn relative to average drawdown | 17.71 | 11.37 | +6.34 |
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 |
|---|---|---|---|---|---|---|
SCHD Schwab U.S. Dividend Equity ETF | 86 | 2.41 | 3.72 | 1.43 | 5.70 | 13.97 |
SGOV iShares 0-3 Month Treasury Bond ETF | 100 | 20.28 | 275.69 | 195.55 | 398.20 | 4,461.98 |
TFLO iShares Treasury Floating Rate Bond ETF | 100 | 14.28 | 51.38 | 14.07 | 203.31 | 831.79 |
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Dividends
Dividend yield
TFLO provided a 3.55% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.55% | 3.98% | 4.41% | 4.19% | 2.50% | 1.40% | 1.71% | 2.22% | 2.11% | 1.62% | 1.55% | 1.54% |
| Portfolio components: | ||||||||||||
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% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.85% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TFLO iShares Treasury Floating Rate Bond ETF | 3.89% | 4.16% | 5.21% | 4.88% | 1.68% | 0.00% | 0.36% | 2.08% | 1.65% | 0.86% | 0.31% | 0.15% |
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 TFLO. 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 TFLO was 8.04%, occurring on Sep 30, 2022. Recovery took 42 trading sessions.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -8.04%Sep 2022 | 8mo 21d | 2mo 1d | 10mo 22dJan 2022 - Nov 2022 |
2025 selloff2025 | -7.71%Apr 2025 | 4mo 7d | 4mo 16d | 8mo 23dDec 2024 - Aug 2025 |
2020 pullback2020 | -5.53%Jun 2020 | 17d | 1mo 12d | 1mo 29dJun 2020 - Aug 2020 |
2023 pullback2023 | -4.70%May 2023 | 3mo 12d | 2mo 6d | 5mo 18dFeb 2023 - Jul 2023 |
2023 pullback2023 | -4.69%Oct 2023 | 2mo 27d | 1mo 15d | 4mo 12dAug 2023 - Dec 2023 |
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 3 assets, with an effective number of assets of 2.53, 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 | All Time | |
|---|---|---|---|---|
Diversification Ratio | 1.02 | 1.02 | 1.02 | 1.02 |
The portfolio has a diversification ratio of 1.02, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
TFLO correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.36 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.55 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.70 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | 0.70 |
Benchmark Correlations
Correlation vs. S&P 500 Index. SCHD has the highest benchmark correlation at 0.70, while TFLO has the lowest at -0.06.
Asset Correlations Table
Find what TFLO is missing
See which holdings overlap, where TFLO is concentrated, and which low-correlation assets could fill the gaps.
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