Asset Allocation
Find the right asset allocation for Geo 4 Correlation trial
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Geo 4 Correlation trial, 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 13, 2026, the Geo 4 Correlation trial returned 9.58% Year-To-Date and 13.21% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.50% | -0.17% | 8.56% | 8.85% | 22.93% | 19.37% | 11.84% | 13.61% |
Portfolio Geo 4 Correlation trial | 0.22% | -1.71% | 9.58% | 10.18% | 32.14% | 26.32% | 13.25% | 13.21% |
| Portfolio components: | ||||||||
ARTHX Artisan Global Equity Fund | 2.76% | -5.46% | 9.74% | 11.43% | 26.24% | 26.75% | 10.04% | 14.05% |
AU AngloGold Ashanti Limited | 3.75% | -14.67% | 4.15% | 7.11% | 86.54% | 58.20% | 35.46% | 20.46% |
BIAHX Brown Advisory - WMC Strategic European Equity Fund | 1.98% | 1.12% | 1.18% | 2.63% | 9.38% | 21.25% | 11.86% | 12.28% |
BPLEX Boston Partners Long/Short Equity Fund | 0.85% | 3.05% | 12.33% | 13.52% | 30.65% | 36.54% | 24.51% | 13.69% |
DBC Invesco DB Commodity Index Tracking Fund | -1.04% | -8.99% | 27.68% | 28.76% | 34.32% | 12.92% | 11.29% | 8.27% |
DEMIX Delaware Emerging Markets Fund | 11.43% | 5.57% | 103.78% | 121.87% | 211.86% | 63.32% | 25.02% | 21.41% |
EICOX Eaton Vance Emerging and Frontier Countries Equity Fund | 4.58% | 2.17% | 23.31% | 27.38% | 43.01% | 26.00% | 15.16% | 13.30% |
GLD SPDR Gold Shares | 0.06% | -10.21% | -2.47% | -2.25% | 23.81% | 28.89% | 17.08% | 12.15% |
HJPSX Hennessy Japan Small Cap Fund | 1.71% | -1.48% | 12.79% | 15.92% | 28.71% | 18.80% | 8.15% | 10.57% |
IEF iShares 7-10 Year Treasury Bond ETF | -0.17% | 0.19% | -0.47% | -0.18% | 3.39% | 2.86% | -1.24% | 0.59% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 2, 2015, Geo 4 Correlation trial's average daily return is +0.05%, while the average monthly return is +1.01%. At this rate, an investment would double in approximately 5.7 years.
Historically, 62% of months were positive and 38% were negative. The best month was Apr 2020 with a return of +11.1%, while the worst month was Mar 2020 at -8.2%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Geo 4 Correlation trial closed higher 54% of trading days. The best single day was May 28, 2024 with a return of +5.7%, while the worst single day was Mar 18, 2020 at -6.0%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.66% | 5.82% | -6.73% | 5.05% | 3.08% | -2.04% | 9.58% | ||||||
| 2025 | 4.86% | 1.87% | 1.51% | 0.88% | 2.81% | 6.83% | 0.99% | 4.95% | 5.66% | 3.46% | 2.99% | -0.38% | 42.82% |
| 2024 | -1.43% | 2.12% | 3.89% | -3.11% | 9.66% | 3.86% | 3.65% | 2.18% | 0.39% | -2.81% | 1.91% | -1.00% | 20.32% |
| 2023 | 7.03% | -4.67% | 4.07% | 1.75% | -2.79% | 2.59% | 2.50% | -3.23% | -3.12% | -1.53% | 6.97% | 5.54% | 15.09% |
| 2022 | -4.30% | 0.43% | -0.94% | -6.50% | -1.20% | -5.26% | 3.66% | -2.56% | -7.53% | -0.04% | 9.38% | -1.24% | -15.95% |
| 2021 | -0.29% | -0.81% | 0.35% | 2.50% | 0.81% | 0.22% | 0.87% | 0.49% | -2.46% | 3.99% | -1.12% | 2.16% | 6.74% |
Benchmark Metrics
Geo 4 Correlation trial has an annualized alpha of 6.36%, beta of 0.47, and R2 of 0.50 versus S&P 500 Index. Calculated based on daily prices since January 02, 2015.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (64.48%) than losses (50.35%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 6.36% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.47 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
- 6.36%
- Beta
- 0.47
- R²
- 0.50
- Upside Capture
- 64.48%
- Downside Capture
- 50.35%
Expense Ratio
Geo 4 Correlation trial has an expense ratio of 0.64%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Top 10 holdings
Return for Risk
Risk / Return Rank
Geo 4 Correlation trial ranks 77 for risk / return — better than 77% of Portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Geo 4 Correlation trial 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 | 2.51 | 1.86 | +0.65 |
| Sortino ratioReturn per unit of downside risk | 3.21 | 2.53 | +0.67 |
| Omega ratioGain probability vs. loss probability | 1.48 | 1.34 | +0.15 |
| Calmar ratioReturn relative to maximum drawdown | 3.43 | 2.53 | +0.90 |
| Martin ratioReturn relative to average drawdown | 13.66 | 11.37 | +2.28 |
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 |
|---|---|---|---|---|---|---|
ARTHX Artisan Global Equity Fund | 62 | 1.78 | 2.55 | 1.32 | 2.72 | 9.93 |
AU AngloGold Ashanti Limited | 79 | 1.50 | 1.95 | 1.26 | 2.35 | 6.18 |
BIAHX Brown Advisory - WMC Strategic European Equity Fund | 12 | 0.73 | 1.13 | 1.14 | 0.78 | 2.32 |
BPLEX Boston Partners Long/Short Equity Fund | 94 | 2.97 | 4.59 | 1.54 | 5.91 | 21.25 |
DBC Invesco DB Commodity Index Tracking Fund | 64 | 1.82 | 2.42 | 1.32 | 3.48 | 9.64 |
DEMIX Delaware Emerging Markets Fund | 97 | 4.88 | 4.27 | 1.70 | 10.21 | 37.29 |
EICOX Eaton Vance Emerging and Frontier Countries Equity Fund | 83 | 2.45 | 3.15 | 1.49 | 3.26 | 12.15 |
GLD SPDR Gold Shares | 26 | 0.87 | 1.24 | 1.18 | 0.98 | 2.81 |
HJPSX Hennessy Japan Small Cap Fund | 44 | 1.71 | 2.36 | 1.30 | 2.02 | 6.15 |
IEF iShares 7-10 Year Treasury Bond ETF | 22 | 0.72 | 1.10 | 1.12 | 0.84 | 2.35 |
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Dividends
Dividend yield
Geo 4 Correlation trial provided a 5.55% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 5.55% | 6.33% | 6.64% | 3.58% | 2.70% | 3.06% | 4.48% | 3.00% | 3.90% | 1.30% | 1.22% | 2.04% |
| Portfolio components: | ||||||||||||
ARTHX Artisan Global Equity Fund | 21.31% | 23.39% | 11.32% | 0.89% | 0.88% | 18.02% | 11.98% | 8.76% | 18.13% | 0.66% | 0.00% | 2.17% |
AU AngloGold Ashanti Limited | 5.33% | 2.96% | 1.78% | 1.14% | 2.26% | 2.58% | 0.49% | 0.30% | 0.48% | 0.93% | 0.00% | 0.00% |
BIAHX Brown Advisory - WMC Strategic European Equity Fund | 7.51% | 7.60% | 5.16% | 1.13% | 2.66% | 9.72% | 6.39% | 9.78% | 12.12% | 0.83% | 1.19% | 0.00% |
BPLEX Boston Partners Long/Short Equity Fund | 9.74% | 10.94% | 58.72% | 28.35% | 15.19% | 5.11% | 44.84% | 11.33% | 9.69% | 0.83% | 0.00% | 9.91% |
DBC Invesco DB Commodity Index Tracking Fund | 2.61% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% |
DEMIX Delaware Emerging Markets Fund | 9.31% | 18.97% | 1.99% | 2.95% | 1.89% | 3.42% | 0.87% | 0.80% | 0.65% | 1.80% | 0.94% | 0.30% |
EICOX Eaton Vance Emerging and Frontier Countries Equity Fund | 2.99% | 3.68% | 2.02% | 1.95% | 5.72% | 2.71% | 0.10% | 2.00% | 2.95% | 0.00% | 0.59% | 2.35% |
GLD SPDR Gold Shares | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
HJPSX Hennessy Japan Small Cap Fund | 11.74% | 13.25% | 3.64% | 0.85% | 0.61% | 0.43% | 0.23% | 1.30% | 3.46% | 2.09% | 2.03% | 3.34% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.89% | 3.77% | 3.62% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% |
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 Geo 4 Correlation trial. 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 Geo 4 Correlation trial was 24.47%, occurring on Oct 20, 2022. Recovery took 365 trading sessions.
The current Geo 4 Correlation trial drawdown is 2.23%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -24.47%Oct 2022 | 11mo 9d | 1y 5mo | 2y 4moNov 2021 - Apr 2024 |
COVID crash2020 | -22.16%Mar 2020 | 23d | 2mo 16d | 3mo 9dFeb 2020 - Jun 2020 |
Rate-hike selloffLate 2018 | -13.91%Dec 2018 | 10mo 29d | 2mo | 1y 24dJan 2018 - Feb 2019 |
2016 correction2016 | -13.86%Jan 2016 | 9mo 9d | 4mo 14d | 1y 1moApr 2015 - Jun 2016 |
2026 pullback2026 | -9.40%Mar 2026 | 18d | 1mo 17d | 2mo 5dMar 2026 - May 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 13 assets, with an effective number of assets of 9.88, 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 | 1.65 | 1.92 | 1.86 | 1.86 | 1.88 |
The portfolio has a diversification ratio of 1.88, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.
Geo 4 Correlation trial correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.65 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.65 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.68 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.67 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | 0.66 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while TLT has the lowest at -0.13.
Asset Correlations Table
Find what Geo 4 Correlation trial is missing
See which holdings overlap, where Geo 4 Correlation trial is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification