Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
HELO JPMorgan Hedged Equity Laddered Overlay ETF | Options Trading | 12.50% |
CLSE Convergence Long/Short Equity ETF | Long-Short, Actively Managed | 12.50% |
FTLS First Trust Long/Short Equity ETF | Long-Short | 12.50% |
EZRO AlphaDroid Defensive Sector Rotation ETF | Tactical Allocation | 12.50% |
GRNY Fundstrat Granny Shots U.S. Large Cap ETF | Large Cap Blend Equities | 12.50% |
ORR Militia Long/Short Equity ETF | Long-Short | 12.50% |
HECA Hedgeye Capital Allocation ETF | Global Allocation | 12.50% |
ALLW State Street Bridgewater All Weather ETF | Tactical Allocation | 12.50% |
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in TEST 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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Returns By Period
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.00% | -0.71% | 8.39% | 8.57% | 24.33% | 18.94% | 12.24% | 13.54% |
Portfolio TEST PORTFOLIO | 0.64% | -0.03% | 7.97% | 8.03% | — | — | — | — |
| Portfolio components: | ||||||||
ALLW State Street Bridgewater All Weather ETF | 0.54% | -0.67% | 7.71% | 8.07% | 19.77% | — | — | — |
CLSE Convergence Long/Short Equity ETF | 0.29% | 3.61% | 25.06% | 24.84% | 50.50% | 31.66% | — | — |
EZRO AlphaDroid Defensive Sector Rotation ETF | 2.13% | -5.00% | 4.97% | 5.11% | — | — | — | — |
FTLS First Trust Long/Short Equity ETF | 0.12% | 0.11% | 5.04% | 4.94% | 15.97% | 13.85% | 10.43% | 9.78% |
GRNY Fundstrat Granny Shots U.S. Large Cap ETF | 0.70% | 2.31% | 11.03% | 9.83% | 28.34% | — | — | — |
HECA Hedgeye Capital Allocation ETF | -0.04% | -2.18% | -2.82% | -2.69% | — | — | — | — |
HELO JPMorgan Hedged Equity Laddered Overlay ETF | 0.43% | 0.27% | 2.35% | 2.57% | 10.50% | — | — | — |
ORR Militia Long/Short Equity ETF | 1.09% | 1.56% | 8.52% | 9.51% | 29.39% | — | — | — |
Monthly Returns
Based on dividend-adjusted daily data since Oct 16, 2025, TEST PORTFOLIO's average daily return is +0.06%, while the average monthly return is +1.08%. At this rate, an investment would double in approximately 5.4 years.
Historically, 78% of months were positive and 22% were negative. The best month was Apr 2026 with a return of +4.6%, while the worst month was Mar 2026 at -3.7%. The longest winning streak lasted 5 consecutive months, and the longest losing streak was 1 months.
On a daily basis, TEST PORTFOLIO closed higher 57% of trading days. The best single day was Feb 6, 2026 with a return of +2.1%, while the worst single day was Jun 5, 2026 at -2.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.64% | 2.22% | -3.70% | 4.60% | 1.51% | -0.33% | 7.97% | ||||||
| 2025 | 1.48% | 0.07% | 0.18% | 1.74% |
Benchmark Metrics
TEST PORTFOLIO has an annualized alpha of 2.65%, beta of 0.71, and R2 of 0.82 versus S&P 500 Index. Calculated based on daily prices since October 16, 2025.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (53.21%) than losses (22.87%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 2.65% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Alpha
- 2.65%
- Beta
- 0.71
- R²
- 0.82
- Upside Capture
- 53.21%
- Downside Capture
- 22.87%
Expense Ratio
TEST PORTFOLIO has a high expense ratio of 2.68%, indicating above-average management fees. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for TEST PORTFOLIO 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 | — | 1.94 | — |
| Sortino ratioReturn per unit of downside risk | — | 2.65 | — |
| Omega ratioGain probability vs. loss probability | — | 1.35 | — |
| Calmar ratioReturn relative to maximum drawdown | — | 2.66 | — |
| Martin ratioReturn relative to average drawdown | — | 11.86 | — |
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 |
|---|---|---|---|---|---|---|
ALLW State Street Bridgewater All Weather ETF | 56 | 1.80 | 2.41 | 1.33 | 2.73 | 10.99 |
CLSE Convergence Long/Short Equity ETF | 95 | 3.66 | 4.92 | 1.64 | 10.26 | 37.35 |
EZRO AlphaDroid Defensive Sector Rotation ETF | — | — | — | — | — | — |
FTLS First Trust Long/Short Equity ETF | 66 | 1.89 | 2.73 | 1.34 | 4.17 | 12.93 |
GRNY Fundstrat Granny Shots U.S. Large Cap ETF | 45 | 1.56 | 2.11 | 1.26 | 2.42 | 7.32 |
HECA Hedgeye Capital Allocation ETF | — | — | — | — | — | — |
HELO JPMorgan Hedged Equity Laddered Overlay ETF | 48 | 1.67 | 2.35 | 1.33 | 1.84 | 8.07 |
ORR Militia Long/Short Equity ETF | 60 | 2.11 | 2.93 | 1.36 | 2.96 | 7.31 |
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Dividends
Dividend yield
TEST PORTFOLIO provided a 1.09% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.09% | 1.17% | 0.38% | 0.36% | 0.21% | 0.00% | 0.05% | 0.10% | 0.11% | 0.05% | 0.13% | 0.06% |
| Portfolio components: | ||||||||||||
ALLW State Street Bridgewater All Weather ETF | 4.34% | 4.67% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
CLSE Convergence Long/Short Equity ETF | 0.76% | 0.95% | 0.93% | 1.21% | 0.85% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
EZRO AlphaDroid Defensive Sector Rotation ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
FTLS First Trust Long/Short Equity ETF | 0.90% | 1.07% | 1.50% | 1.49% | 0.81% | 0.01% | 0.44% | 0.83% | 0.87% | 0.43% | 1.04% | 0.49% |
GRNY Fundstrat Granny Shots U.S. Large Cap ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
HECA Hedgeye Capital Allocation ETF | 2.08% | 2.02% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
HELO JPMorgan Hedged Equity Laddered Overlay ETF | 0.62% | 0.67% | 0.60% | 0.19% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ORR Militia Long/Short Equity ETF | 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 TEST 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 TEST PORTFOLIO was 5.71%, occurring on Mar 30, 2026. Recovery took 22 trading sessions.
The current TEST PORTFOLIO drawdown is 1.12%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2026 pullback2026 | -5.71%Mar 2026 | 1mo 2d | 1mo 1d | 2mo 3dFeb 2026 - Apr 2026 |
2025 pullback2025 | -4.03%Nov 2025 | 21d | 20d | 1mo 11dOct 2025 - Dec 2025 |
2026 pullback2026 | -3.93%Jun 2026 | 7d | — | 19d 2hJun 2026 - now |
2025 pullback2025 | -2.66%Dec 2025 | 5d | 6d | 11dDec 2025 - Dec 2025 |
2026 pullback2026 | -2.47%Feb 2026 | 6d | 4d | 10dJan 2026 - Feb 2026 |
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 8 assets, with an effective number of assets of 8.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
All Time | |
|---|---|
Diversification Ratio | 1.28 |
The portfolio has a diversification ratio of 1.28, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
TEST PORTFOLIO correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (All Time) Calculated using the full available price history since Oct 16, 2025 | 0.91 |
Benchmark Correlations
Correlation vs. S&P 500 Index. HELO has the highest benchmark correlation at 0.92, while HECA has the lowest at 0.44.
Asset Correlations Table
| HECA | ORR | ALLW | EZRO | CLSE | FTLS | HELO | GRNY | |
|---|---|---|---|---|---|---|---|---|
| HECA | 1.00 | 0.25 | 0.44 | 0.48 | 0.35 | 0.34 | 0.37 | 0.47 |
| ORR | 0.25 | 1.00 | 0.50 | 0.29 | 0.45 | 0.49 | 0.47 | 0.45 |
| ALLW | 0.44 | 0.50 | 1.00 | 0.41 | 0.50 | 0.50 | 0.59 | 0.60 |
| EZRO | 0.48 | 0.29 | 0.41 | 1.00 | 0.49 | 0.58 | 0.63 | 0.66 |
| CLSE | 0.35 | 0.45 | 0.50 | 0.49 | 1.00 | 0.69 | 0.68 | 0.74 |
| FTLS | 0.34 | 0.49 | 0.50 | 0.58 | 0.69 | 1.00 | 0.78 | 0.71 |
| HELO | 0.37 | 0.47 | 0.59 | 0.63 | 0.68 | 0.78 | 1.00 | 0.81 |
| GRNY | 0.47 | 0.45 | 0.60 | 0.66 | 0.74 | 0.71 | 0.81 | 1.00 |
Find what TEST PORTFOLIO is missing
See which holdings overlap, where TEST PORTFOLIO is concentrated, and which low-correlation assets could fill the gaps.
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