20 YR/WELLESLEY/SGOV

Asset Allocation

Position	Category/Sector	Target Weight
VWINX Vanguard Wellesley Income Fund Investor Shares	Diversified Portfolio	50%
TLT iShares 20+ Year Treasury Bond ETF	Government Bonds, Long-Term Bond	35%
SGOV iShares 0-3 Month Treasury Bond ETF	Ultrashort Bond	15%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 20 YR/WELLESLEY/SGOV, 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

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 20 YR/WELLESLEY/SGOV	-0.08%	1.87%	2.08%	2.16%	7.22%	4.62%	0.28%	—
Portfolio components:
SGOV iShares 0-3 Month Treasury Bond ETF	0.02%	0.29%	1.61%	1.78%	3.91%	4.71%	3.56%	—
TLT iShares 20+ Year Treasury Bond ETF	-0.24%	1.40%	0.27%	0.45%	3.88%	-1.38%	-6.53%	-1.75%
VWINX Vanguard Wellesley Income Fund Investor Shares	0.77%	0.85%	3.48%	3.45%	10.58%	8.70%	4.00%	5.79%

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

Monthly Returns

Based on dividend-adjusted daily data since May 28, 2020, 20 YR/WELLESLEY/SGOV's average daily return is 0.00%, while the average monthly return is +0.09%. At this rate, an investment would double in approximately 64.2 years.

Historically, 55% of months were positive and 45% were negative. The best month was Nov 2023 with a return of +6.3%, while the worst month was Sep 2022 at -5.8%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 4 months.

On a daily basis, 20 YR/WELLESLEY/SGOV closed higher 51% of trading days. The best single day was Nov 10, 2022 with a return of +2.7%, while the worst single day was Jun 13, 2022 at -2.2%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	0.76%	2.66%	-3.01%	1.00%	0.56%	0.18%							2.08%
2025	1.14%	2.92%	-0.75%	-0.80%	-0.63%	2.24%	-0.36%	1.12%	1.82%	0.63%	1.03%	-0.91%	7.60%
2024	-0.98%	-0.77%	1.62%	-3.38%	2.28%	0.69%	2.85%	1.82%	1.49%	-2.77%	1.89%	-3.63%	0.83%
2023	4.35%	-3.32%	2.48%	0.76%	-2.22%	1.19%	0.00%	-1.78%	-4.13%	-2.90%	6.28%	5.33%	5.49%
2022	-2.11%	-1.27%	-2.22%	-5.43%	0.18%	-2.60%	2.57%	-2.91%	-5.78%	-0.64%	5.22%	-1.68%	-15.89%
2021	-1.91%	-1.64%	-0.87%	1.88%	0.71%	1.80%	1.95%	0.35%	-2.00%	1.82%	0.41%	0.36%	2.76%

Benchmark Metrics

20 YR/WELLESLEY/SGOV has an annualized alpha of -1.57%, beta of 0.16, and R2 of 0.13 versus S&P 500 Index. Calculated based on daily prices since May 28, 2020.

This portfolio participated in 57.33% of S&P 500 Index downside but only 24.63% of its upside - more exposed to losses than it benefited from rallies.
Beta of 0.16 may look defensive, but with R2 of 0.13 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
R2 of 0.13 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

Alpha: -1.57%

Beta: 0.16

R²: 0.13

Upside Capture: 24.63%

Downside Capture: 57.33%

See how alpha, beta & R² have trended over time →

Expense Ratio

20 YR/WELLESLEY/SGOV has an expense ratio of 0.18%, 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.

VWINX

Vanguard Wellesley Income Fund Investor Shares

TLT

iShares 20+ Year Treasury Bond ETF

SGOV

iShares 0-3 Month Treasury Bond ETF

Return for Risk

Risk / Return Rank

20 YR/WELLESLEY/SGOV ranks 18 for risk / return — in the bottom 18% of Portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

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

The table below presents risk-adjusted performance metrics for 20 YR/WELLESLEY/SGOV 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	1.24	1.86	-0.62
Sortino ratioReturn per unit of downside risk	1.77	2.53	-0.76
Omega ratioGain probability vs. loss probability	1.21	1.34	-0.12
Calmar ratioReturn relative to maximum drawdown	1.67	2.53	-0.86
Martin ratioReturn relative to average drawdown	4.80	11.37	-6.57

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
SGOV iShares 0-3 Month Treasury Bond ETF	100	20.28	275.69	195.55	398.20	4,461.98
TLT iShares 20+ Year Treasury Bond ETF	13	0.30	0.50	1.06	0.38	0.92
VWINX Vanguard Wellesley Income Fund Investor Shares	62	2.03	2.94	1.37	2.54	9.54

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. Learn how to interpret the Sharpe ratio.

The current 20 YR/WELLESLEY/SGOV Sharpe ratio is 1.24 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.53 to 2.41, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of 20 YR/WELLESLEY/SGOV 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

20 YR/WELLESLEY/SGOV provided a 6.02% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	6.02%	6.09%	5.58%	4.28%	4.99%	3.55%	2.68%	2.76%	4.70%	2.45%	2.91%	3.71%
Portfolio components:
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%
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%
VWINX Vanguard Wellesley Income Fund Investor Shares	7.69%	7.86%	6.61%	4.73%	7.67%	6.03%	4.30%	3.94%	7.56%	3.20%	4.00%	5.60%

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 20 YR/WELLESLEY/SGOV. 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 20 YR/WELLESLEY/SGOV was 21.54%, occurring on Oct 19, 2023. The portfolio has not yet recovered.

The current 20 YR/WELLESLEY/SGOV drawdown is 2.47%.

Related event	Drawdown	Fall	Recovery	Underwater
2023 bear market2023	-21.54%Oct 2023	1y 10mo	—	4y 6moDec 2021 - now
2021 pullback2021	-5.40%Mar 2021	7mo 15d	3mo 16d	11mo 1dAug 2020 - Jul 2021
2021 pullback2021	-2.88%Oct 2021	1mo 18d	25d	2mo 13dAug 2021 - Nov 2021
2021 pullback2021	-2.15%Nov 2021	13d	10d	23dNov 2021 - Dec 2021
2021 pullback2021	-1.17%Aug 2021	6d	10d	16dAug 2021 - Aug 2021

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	1.12	1.11	1.13	1.16

The portfolio has a diversification ratio of 1.16, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.

20 YR/WELLESLEY/SGOV correlation to the S&P 500 Index

20 YR/WELLESLEY/SGOV has a 0.42 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.42
Correlation (3Y) Calculated over the trailing 3-year period	0.37
Correlation (5Y) Calculated over the trailing 5-year period	0.32
Correlation (All Time) Calculated using the full available price history since May 28, 2020	0.31

Benchmark Correlations

Correlation vs. S&P 500 Index. VWINX has the highest benchmark correlation at 0.68, while SGOV has the lowest at -0.02.

SGOV

-0.02

TLT

0.04

VWINX

0.68

Portfolio Correlations

Correlation vs. 20 YR/WELLESLEY/SGOV. TLT has the highest portfolio correlation at 0.91, while SGOV has the lowest at 0.01.

SGOV

0.01

VWINX

0.76

TLT

0.91

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	SGOV	TLT	VWINX
SGOV	1.00	0.02	-0.01
TLT	0.02	1.00	0.48
VWINX	-0.01	0.48	1.00

The correlation results are calculated based on daily price changes starting from May 28, 2020

Diversification Analysis

Find what 20 YR/WELLESLEY/SGOV is missing

See which holdings overlap, where 20 YR/WELLESLEY/SGOV is concentrated, and which low-correlation assets could fill the gaps.

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