lo-vol, hi-sharpe 40-30-30 (VERSION PP)

Asset Allocation

Position	Category/Sector	Target Weight
IAU iShares Gold Trust	Gold, Precious Metals	30%
BND Vanguard Total Bond Market ETF	Total Bond Market	10%
BNDX Vanguard Total International Bond ETF	Global Bonds	10%
VYM Vanguard High Dividend Yield ETF	Dividend	10%
IGF iShares Global Infrastructure ETF	Industrials Equities	10%
QQQ Invesco QQQ ETF	Nasdaq-100	10%
IDV iShares International Select Dividend ETF	Global Equities, Dividend	10%
VGSH Vanguard Short-Term Treasury ETF	Government Bonds, Short-Term Bond	5%
VCSH Vanguard Short-Term Corporate Bond ETF	Corporate Bonds	5%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of CA$10,000 in lo-vol, hi-sharpe 40-30-30 (VERSION PP), 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

As of Jun 6, 2026, the lo-vol, hi-sharpe 40-30-30 (VERSION PP) returned 6.46% Year-To-Date and 10.94% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-2.55%	1.59%	9.53%	7.06%	25.21%	21.24%	14.93%	14.26%
Portfolio lo-vol, hi-sharpe 40-30-30 (VERSION PP)	-2.01%	-1.20%	6.46%	5.46%	23.08%	20.17%	13.93%	10.94%
Portfolio components:
BND Vanguard Total Bond Market ETF	-0.36%	1.14%	1.50%	-0.27%	6.74%	4.97%	2.83%	2.40%
BNDX Vanguard Total International Bond ETF	-0.05%	1.76%	2.05%	0.05%	3.77%	5.19%	3.14%	2.52%
IAU iShares Gold Trust	-3.54%	-6.97%	1.61%	2.23%	32.29%	31.19%	20.95%	13.90%
IDV iShares International Select Dividend ETF	-1.54%	-0.83%	12.30%	13.13%	35.87%	25.80%	14.74%	10.83%
IGF iShares Global Infrastructure ETF	-0.72%	0.58%	9.52%	8.06%	16.73%	17.13%	13.20%	9.04%
QQQ Invesco QQQ ETF	-4.71%	0.91%	16.69%	12.58%	36.04%	27.88%	19.98%	22.26%
VCSH Vanguard Short-Term Corporate Bond ETF	-0.20%	1.51%	1.96%	0.44%	6.37%	6.65%	5.15%	3.52%
VGSH Vanguard Short-Term Treasury ETF	-0.08%	1.59%	1.91%	0.35%	5.23%	5.28%	4.64%	2.56%
VYM Vanguard High Dividend Yield ETF	-1.26%	3.62%	12.62%	9.92%	26.57%	19.69%	14.29%	12.57%

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

Monthly Returns

Based on dividend-adjusted daily data since Jun 5, 2013, lo-vol, hi-sharpe 40-30-30 (VERSION PP)'s average daily return is +0.04%, while the average monthly return is +0.90%. At this rate, an investment would double in approximately 6.4 years.

Historically, 65% of months were positive and 35% were negative. The best month was Jan 2015 with a return of +11.5%, while the worst month was Jun 2017 at -4.3%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 4 months.

On a daily basis, lo-vol, hi-sharpe 40-30-30 (VERSION PP) closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +4.4%, while the worst single day was Mar 12, 2020 at -5.8%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.89%	6.12%	-3.93%	0.58%	1.59%	-1.63%							6.46%
2025	4.34%	0.95%	1.66%	-1.02%	1.98%	1.14%	1.23%	2.34%	6.00%	2.42%	2.88%	-1.58%	24.49%
2024	0.58%	2.03%	4.30%	0.13%	3.06%	0.14%	4.58%	-0.60%	3.14%	3.08%	1.54%	0.51%	24.77%
2023	3.67%	-1.94%	3.79%	1.64%	-1.49%	-1.50%	2.08%	0.43%	-3.70%	3.58%	3.26%	0.60%	10.57%
2022	-1.54%	1.04%	-0.99%	-1.63%	-1.00%	-2.76%	1.55%	-1.03%	-1.79%	1.58%	6.65%	-1.18%	-1.42%
2021	-0.75%	-2.94%	1.48%	-0.12%	1.24%	0.59%	1.91%	1.99%	-1.54%	-0.94%	2.04%	2.87%	5.82%

Benchmark Metrics

lo-vol, hi-sharpe 40-30-30 (VERSION PP) has an annualized alpha of 4.21%, beta of 0.45, and R2 of 0.55 versus S&P 500 Index. Calculated based on daily prices since June 05, 2013.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (44.98%) than losses (22.15%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 4.21% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
Beta of 0.45 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: 4.21%

Beta: 0.45

R²: 0.55

Upside Capture: 44.98%

Downside Capture: 22.15%

Expense Ratio

lo-vol, hi-sharpe 40-30-30 (VERSION PP) has an expense ratio of 0.20%, 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.

IDV

iShares International Select Dividend ETF

IGF

iShares Global Infrastructure ETF

IAU

iShares Gold Trust

QQQ

Invesco QQQ ETF

BNDX

Vanguard Total International Bond ETF

VYM

Vanguard High Dividend Yield ETF

VCSH

Vanguard Short-Term Corporate Bond ETF

BND

Vanguard Total Bond Market ETF

VGSH

Vanguard Short-Term Treasury ETF

Return for Risk

Risk / Return Rank

lo-vol, hi-sharpe 40-30-30 (VERSION PP) ranks 50 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.

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 lo-vol, hi-sharpe 40-30-30 (VERSION PP) and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.96	2.11	-0.15
Sortino ratioReturn per unit of downside risk	2.54	2.89	-0.36
Omega ratioGain probability vs. loss probability	1.36	1.37	0.00
Calmar ratioReturn relative to maximum drawdown	2.93	2.89	+0.04
Martin ratioReturn relative to average drawdown	10.24	10.80	-0.57
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.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
BND Vanguard Total Bond Market ETF	28	1.00	1.48	1.17	1.33	2.98
BNDX Vanguard Total International Bond ETF	20	0.66	0.97	1.11	0.85	1.78
IAU iShares Gold Trust	35	1.15	1.53	1.23	1.71	4.20
IDV iShares International Select Dividend ETF	86	2.64	3.52	1.47	4.35	16.09
IGF iShares Global Infrastructure ETF	52	1.50	2.16	1.26	3.14	7.68
QQQ Invesco QQQ ETF	70	2.22	2.88	1.38	3.06	10.06
VCSH Vanguard Short-Term Corporate Bond ETF	35	1.24	1.77	1.22	1.66	3.98
VGSH Vanguard Short-Term Treasury ETF	29	1.05	1.50	1.19	1.28	3.13
VYM Vanguard High Dividend Yield ETF	86	2.47	3.56	1.44	4.63	17.18

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.

lo-vol, hi-sharpe 40-30-30 (VERSION PP) Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 1.96
5-Year: 1.24
10-Year: 0.99
All Time: 1.01

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 1.64 to 2.53, 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 lo-vol, hi-sharpe 40-30-30 (VERSION PP) 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

lo-vol, hi-sharpe 40-30-30 (VERSION PP) provided a 2.28% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.28%	2.35%	2.49%	2.43%	1.95%	1.85%	1.70%	2.09%	2.18%	1.76%	1.75%	1.81%
Portfolio components:
BND Vanguard Total Bond Market ETF	3.98%	3.86%	3.67%	3.09%	2.60%	2.12%	2.38%	2.72%	2.81%	2.54%	2.51%	2.57%
BNDX Vanguard Total International Bond ETF	4.49%	4.39%	4.18%	4.42%	1.51%	3.74%	1.11%	3.40%	3.01%	2.23%	1.89%	1.63%
IAU iShares Gold 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%
IDV iShares International Select Dividend ETF	4.52%	4.94%	6.46%	6.51%	7.33%	5.78%	5.47%	5.15%	5.93%	4.52%	4.69%	5.08%
IGF iShares Global Infrastructure ETF	2.99%	3.23%	3.21%	3.36%	2.67%	2.42%	2.33%	3.27%	3.52%	2.95%	2.98%	3.25%
QQQ Invesco QQQ ETF	0.40%	0.45%	0.56%	0.62%	0.80%	0.43%	0.55%	0.74%	0.91%	0.84%	1.06%	0.99%
VCSH Vanguard Short-Term Corporate Bond ETF	4.46%	4.35%	3.96%	3.09%	2.01%	1.81%	2.27%	2.87%	2.65%	2.26%	2.10%	2.08%
VGSH Vanguard Short-Term Treasury ETF	3.88%	4.00%	4.18%	3.31%	1.15%	0.66%	1.74%	2.28%	1.79%	1.10%	0.84%	0.69%
VYM Vanguard High Dividend Yield ETF	2.22%	2.44%	2.74%	3.12%	3.01%	2.76%	3.18%	3.03%	3.40%	2.80%	2.91%	3.22%

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 lo-vol, hi-sharpe 40-30-30 (VERSION PP). 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 lo-vol, hi-sharpe 40-30-30 (VERSION PP) was 12.45%, occurring on Mar 16, 2020. Recovery took 31 trading sessions.

The current lo-vol, hi-sharpe 40-30-30 (VERSION PP) drawdown is 3.38%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-12.45%Mar 2020	21d	1mo 14d	2mo 5dFeb 2020 - Apr 2020
Bear market2022	-9.34%Sep 2022	6mo 20d	2mo 18d	9mo 8dMar 2022 - Dec 2022
2017 pullback2017	-8.00%Sep 2017	3mo 9d	5mo 25d	9mo 4dJun 2017 - Mar 2018
2026 pullback2026	-7.77%Mar 2026	20d	—	3mo 8dMar 2026 - now
2015 pullback2015	-6.62%May 2015	3mo 3d	5mo 18d	8mo 21dFeb 2015 - Oct 2015

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 9 assets, with an effective number of assets of 6.45, 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	10Y	All Time
Diversification Ratio	1.33	1.36	1.35	1.36	1.36

The portfolio has a diversification ratio of 1.36, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

lo-vol, hi-sharpe 40-30-30 (VERSION PP) correlation to the S&P 500 Index

lo-vol, hi-sharpe 40-30-30 (VERSION PP) has a 0.58 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	0.58
Correlation (3Y) Calculated over the trailing 3-year period	0.61
Correlation (5Y) Calculated over the trailing 5-year period	0.66
Correlation (10Y) Calculated over the trailing 10-year period	0.70
Correlation (All Time) Calculated using the full available price history since Jun 5, 2013	0.71

Benchmark Correlations

Correlation vs. S&P 500 Index. QQQ has the highest benchmark correlation at 0.92, while IAU has the lowest at 0.19.

0.19

0.36

0.39

0.39

0.44

0.74

0.74

0.89

0.92

Portfolio Correlations

Correlation vs. lo-vol, hi-sharpe 40-30-30 (VERSION PP). IGF has the highest portfolio correlation at 0.78, while QQQ has the lowest at 0.63.

0.63

0.66

0.66

0.68

0.71

0.71

0.75

0.75

0.78

Asset Correlations Table

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

	IAU	QQQ	IDV	VYM	BND	BNDX	VGSH	IGF	VCSH
IAU	1.00	0.17	0.32	0.21	0.52	0.48	0.46	0.35	0.49
QQQ	0.17	1.00	0.63	0.71	0.31	0.33	0.32	0.61	0.37
IDV	0.32	0.63	1.00	0.78	0.36	0.36	0.38	0.83	0.43
VYM	0.21	0.71	0.78	1.00	0.38	0.40	0.42	0.80	0.47
BND	0.52	0.31	0.36	0.38	1.00	0.92	0.89	0.45	0.92
BNDX	0.48	0.33	0.36	0.40	0.92	1.00	0.91	0.44	0.91
VGSH	0.46	0.32	0.38	0.42	0.89	0.91	1.00	0.43	0.97
IGF	0.35	0.61	0.83	0.80	0.45	0.44	0.43	1.00	0.49
VCSH	0.49	0.37	0.43	0.47	0.92	0.91	0.97	0.49	1.00

The correlation results are calculated based on daily price changes starting from Jun 5, 2013

Diversification Analysis

Find what lo-vol, hi-sharpe 40-30-30 (VERSION PP) is missing

See which holdings overlap, where lo-vol, hi-sharpe 40-30-30 (VERSION PP) is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification