Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Modified Perma Portfolio, 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 Oct 16, 2012, corresponding to the inception date of VTIP
Returns By Period
As of Apr 2, 2026, the Modified Perma Portfolio returned 1.89% Year-To-Date and 4.75% 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 Modified Perma Portfolio | 0.03% | 0.31% | 1.89% | 2.79% | 8.00% | 7.23% | 4.63% | 4.75% |
| Portfolio components: | ||||||||
VTI Vanguard Total Stock Market ETF | 0.76% | -4.38% | -3.29% | -1.26% | 18.60% | 18.14% | 10.63% | 13.69% |
BSV Vanguard Short-Term Bond Index Fund ETF Shares | 0.02% | -0.57% | 0.16% | 1.15% | 4.05% | 4.27% | 1.68% | 1.97% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | -0.11% | 0.03% | 0.87% | 1.15% | 3.80% | 4.62% | 3.46% | 3.05% |
BND Vanguard Total Bond Market ETF | 0.04% | -1.30% | 0.09% | 0.74% | 3.96% | 3.60% | 0.25% | 1.68% |
GSG iShares S&P GSCI Commodity-Indexed Trust | -1.05% | 18.45% | 38.38% | 39.22% | 40.14% | 16.62% | 17.68% | 8.98% |
Monthly Returns
Based on dividend-adjusted daily data since Oct 17, 2012, Modified Perma Portfolio's average daily return is +0.02%, while the average monthly return is +0.32%. At this rate, your investment would double in approximately 18.1 years.
Historically, 70% of months were positive and 30% were negative. The best month was Nov 2020 with a return of +2.7%, while the worst month was Mar 2020 at -3.9%. The longest winning streak lasted 13 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Modified Perma Portfolio closed higher 57% of trading days. The best single day was Mar 13, 2020 with a return of +2.2%, while the worst single day was Mar 16, 2020 at -2.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.03% | 0.53% | 0.29% | 0.03% | 1.89% | ||||||||
| 2025 | 1.17% | 0.56% | -0.21% | 0.12% | 0.76% | 1.56% | 0.58% | 1.32% | 0.69% | 0.61% | 0.38% | 0.04% | 7.83% |
| 2024 | 0.67% | 0.44% | 1.15% | -1.06% | 1.43% | 1.00% | 1.18% | 0.91% | 1.08% | -0.75% | 1.38% | -0.49% | 7.12% |
| 2023 | 1.98% | -1.34% | 1.97% | 0.32% | -0.73% | 0.93% | 1.40% | -0.17% | -0.90% | -0.51% | 2.48% | 1.90% | 7.49% |
| 2022 | -1.07% | 0.27% | -0.11% | -1.78% | 0.80% | -2.58% | 2.55% | -1.98% | -3.80% | 1.79% | 1.68% | -1.21% | -5.51% |
| 2021 | 0.29% | 0.83% | 0.45% | 1.63% | 0.57% | 0.60% | 1.02% | 0.27% | -0.59% | 1.36% | -0.76% | 1.03% | 6.89% |
Benchmark Metrics
Modified Perma Portfolio has an annualized alpha of 1.61%, beta of 0.18, and R² of 0.66 versus S&P 500 Index. Calculated based on daily prices since October 17, 2012.
- This portfolio participated in 23.15% of S&P 500 Index downside but only 22.37% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.18 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
- 1.61%
- Beta
- 0.18
- R²
- 0.66
- Upside Capture
- 22.37%
- Downside Capture
- 23.15%
Expense Ratio
Modified Perma Portfolio has an expense ratio of 0.07%, 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
Modified Perma Portfolio ranks 94 for risk / return — in the top 94% 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
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.43 | 0.92 | +1.51 |
Sortino ratioReturn per unit of downside risk | 3.57 | 1.41 | +2.16 |
Omega ratioGain probability vs. loss probability | 1.58 | 1.21 | +0.36 |
Calmar ratioReturn relative to maximum drawdown | 3.35 | 1.41 | +1.93 |
Martin ratioReturn relative to average drawdown | 18.59 | 6.61 | +11.97 |
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 | |
|---|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 59 | 0.98 | 1.52 | 1.23 | 1.54 | 7.30 |
BSV Vanguard Short-Term Bond Index Fund ETF Shares | 92 | 2.04 | 3.25 | 1.40 | 3.23 | 12.23 |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 92 | 2.01 | 3.03 | 1.42 | 3.90 | 12.53 |
BND Vanguard Total Bond Market ETF | 50 | 0.93 | 1.32 | 1.16 | 1.75 | 4.78 |
GSG iShares S&P GSCI Commodity-Indexed Trust | 87 | 1.91 | 2.58 | 1.35 | 3.37 | 9.40 |
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Dividends
Dividend yield
Modified Perma Portfolio provided a 3.21% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.21% | 3.23% | 2.66% | 2.37% | 3.49% | 2.58% | 1.46% | 2.00% | 2.12% | 1.58% | 1.27% | 0.97% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.17% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
BSV Vanguard Short-Term Bond Index Fund ETF Shares | 3.93% | 3.83% | 3.38% | 2.46% | 1.50% | 1.45% | 1.79% | 2.29% | 1.99% | 1.65% | 1.48% | 1.40% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.63% | 3.81% | 2.70% | 2.86% | 6.84% | 4.68% | 1.20% | 1.95% | 2.45% | 1.52% | 0.76% | 0.00% |
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% |
GSG iShares S&P GSCI Commodity-Indexed 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% |
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 Modified Perma Portfolio. 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 Modified Perma Portfolio was 9.25%, occurring on Mar 18, 2020. Recovery took 56 trading sessions.
The current Modified Perma Portfolio drawdown is 0.27%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -9.25% | Feb 21, 2020 | 19 | Mar 18, 2020 | 56 | Jun 8, 2020 | 75 |
| -7.94% | Nov 10, 2021 | 224 | Sep 30, 2022 | 302 | Dec 13, 2023 | 526 |
| -5.18% | Jul 2, 2014 | 391 | Jan 20, 2016 | 143 | Aug 12, 2016 | 534 |
| -3.9% | Oct 3, 2018 | 57 | Dec 24, 2018 | 36 | Feb 15, 2019 | 93 |
| -2.6% | May 22, 2013 | 23 | Jun 24, 2013 | 18 | Jul 19, 2013 | 41 |
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 5 assets, with an effective number of assets of 3.31, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | GSG | BND | BSV | VTIP | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.27 | -0.03 | -0.06 | 0.07 | 0.99 | 0.76 |
| GSG | 0.27 | 1.00 | -0.11 | -0.10 | 0.23 | 0.27 | 0.53 |
| BND | -0.03 | -0.11 | 1.00 | 0.83 | 0.55 | -0.03 | 0.32 |
| BSV | -0.06 | -0.10 | 0.83 | 1.00 | 0.60 | -0.06 | 0.33 |
| VTIP | 0.07 | 0.23 | 0.55 | 0.60 | 1.00 | 0.07 | 0.53 |
| VTI | 0.99 | 0.27 | -0.03 | -0.06 | 0.07 | 1.00 | 0.77 |
| Portfolio | 0.76 | 0.53 | 0.32 | 0.33 | 0.53 | 0.77 | 1.00 |