Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Updated high-sharpe safe PF, 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 Jul 16, 2013, corresponding to the inception date of QLENX
Returns By Period
As of Apr 2, 2026, the Updated high-sharpe safe PF returned 0.93% Year-To-Date and 10.48% 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 Updated high-sharpe safe PF | 0.69% | -2.19% | 0.93% | 4.45% | 19.34% | 16.16% | 11.19% | 10.48% |
| Portfolio components: | ||||||||
BND Vanguard Total Bond Market ETF | 0.04% | -1.30% | 0.09% | 0.74% | 3.96% | 3.60% | 0.25% | 1.68% |
BNDX Vanguard Total International Bond ETF | 0.15% | -1.65% | 0.02% | 0.27% | 2.71% | 3.88% | 0.20% | 1.75% |
IAU iShares Gold Trust | 1.72% | -10.66% | 10.48% | 23.05% | 52.36% | 33.88% | 22.19% | 14.27% |
QLENX AQR Long-Short Equity N | 0.30% | -1.97% | -3.02% | 4.33% | 19.17% | 26.36% | 22.25% | 11.29% |
UUP Invesco DB US Dollar Index Bullish Fund | -0.18% | 1.46% | 2.59% | 4.28% | 0.37% | 4.58% | 5.16% | 3.07% |
XLK State Street Technology Select Sector SPDR ETF | 1.51% | -3.20% | -6.18% | -4.94% | 30.47% | 22.19% | 15.65% | 21.00% |
LCSIX LoCorr Long/Short Commodity Strategies Fund | 0.00% | 0.80% | 2.78% | 1.05% | 0.38% | -2.12% | 1.92% | 2.75% |
VCIT Vanguard Intermediate-Term Corporate Bond ETF | 0.14% | -1.52% | -0.31% | 0.49% | 5.98% | 5.60% | 1.45% | 3.08% |
VTI Vanguard Total Stock Market ETF | 0.76% | -4.38% | -3.29% | -1.26% | 18.60% | 18.14% | 10.63% | 13.69% |
VXUS Vanguard Total International Stock ETF | 1.17% | -5.23% | 3.51% | 7.51% | 29.24% | 15.95% | 7.57% | 9.03% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 17, 2013, Updated high-sharpe safe PF's average daily return is +0.04%, while the average monthly return is +0.80%. At this rate, your investment would double in approximately 7.2 years.
Historically, 69% of months were positive and 31% were negative. The best month was Apr 2020 with a return of +6.4%, while the worst month was Sep 2022 at -5.3%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Updated high-sharpe safe PF closed higher 57% of trading days. The best single day was Apr 9, 2025 with a return of +4.7%, while the worst single day was Mar 12, 2020 at -5.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.07% | 1.56% | -4.24% | 0.69% | 0.93% | ||||||||
| 2025 | 2.68% | 0.30% | -0.38% | 0.78% | 3.01% | 2.94% | 0.91% | 1.88% | 4.16% | 2.29% | 0.56% | 0.96% | 21.94% |
| 2024 | 1.06% | 1.91% | 3.29% | -1.18% | 2.84% | 1.44% | 1.19% | 1.02% | 1.97% | -0.21% | 2.27% | -1.30% | 15.14% |
| 2023 | 4.88% | -1.71% | 3.07% | 0.66% | 0.39% | 2.35% | 2.16% | -0.81% | -2.04% | -0.04% | 5.13% | 2.52% | 17.53% |
| 2022 | -1.63% | -0.22% | 1.20% | -3.56% | 0.16% | -4.40% | 3.51% | -2.74% | -5.28% | 3.30% | 4.83% | -1.95% | -7.14% |
| 2021 | -0.41% | 0.64% | 2.20% | 2.75% | 1.88% | 0.10% | 1.28% | 0.92% | -2.06% | 2.83% | -0.16% | 2.89% | 13.51% |
Benchmark Metrics
Updated high-sharpe safe PF has an annualized alpha of 4.56%, beta of 0.43, and R² of 0.84 versus S&P 500 Index. Calculated based on daily prices since July 17, 2013.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (51.06%) than losses (36.78%) — typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 4.56% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.43 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
- 4.56%
- Beta
- 0.43
- R²
- 0.84
- Upside Capture
- 51.06%
- Downside Capture
- 36.78%
Expense Ratio
Updated high-sharpe safe PF has an expense ratio of 0.83%, 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.
Return for Risk
Risk / Return Rank
Updated high-sharpe safe PF ranks 85 for risk / return — in the top 85% 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 | 1.92 | 0.92 | +1.01 |
Sortino ratioReturn per unit of downside risk | 2.68 | 1.41 | +1.27 |
Omega ratioGain probability vs. loss probability | 1.43 | 1.21 | +0.21 |
Calmar ratioReturn relative to maximum drawdown | 2.89 | 1.41 | +1.48 |
Martin ratioReturn relative to average drawdown | 11.80 | 6.61 | +5.19 |
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 | |
|---|---|---|---|---|---|---|
BND Vanguard Total Bond Market ETF | 50 | 0.93 | 1.32 | 1.16 | 1.75 | 4.78 |
BNDX Vanguard Total International Bond ETF | 40 | 0.85 | 1.19 | 1.15 | 1.01 | 4.10 |
IAU iShares Gold Trust | 86 | 1.90 | 2.33 | 1.35 | 2.72 | 9.95 |
QLENX AQR Long-Short Equity N | 94 | 2.28 | 2.96 | 1.47 | 3.05 | 11.90 |
UUP Invesco DB US Dollar Index Bullish Fund | 12 | 0.05 | 0.12 | 1.01 | 0.08 | 0.15 |
XLK State Street Technology Select Sector SPDR ETF | 65 | 1.13 | 1.71 | 1.24 | 1.97 | 6.31 |
LCSIX LoCorr Long/Short Commodity Strategies Fund | 6 | 0.04 | 0.10 | 1.01 | 0.24 | 0.49 |
VCIT Vanguard Intermediate-Term Corporate Bond ETF | 68 | 1.24 | 1.73 | 1.23 | 2.08 | 7.27 |
VTI Vanguard Total Stock Market ETF | 59 | 0.98 | 1.52 | 1.23 | 1.54 | 7.30 |
VXUS Vanguard Total International Stock ETF | 85 | 1.71 | 2.33 | 1.35 | 2.63 | 10.05 |
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Dividends
Dividend yield
Updated high-sharpe safe PF provided a 1.95% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.95% | 1.96% | 2.69% | 4.18% | 3.68% | 1.74% | 1.36% | 1.49% | 3.29% | 2.04% | 1.83% | 2.46% |
| Portfolio components: | ||||||||||||
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% |
BNDX Vanguard Total International Bond ETF | 4.46% | 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% |
QLENX AQR Long-Short Equity N | 1.69% | 1.64% | 7.13% | 21.21% | 14.09% | 0.00% | 1.59% | 0.00% | 6.09% | 8.91% | 2.87% | 4.91% |
UUP Invesco DB US Dollar Index Bullish Fund | 3.34% | 3.43% | 4.48% | 6.44% | 0.89% | 0.00% | 0.00% | 2.03% | 1.08% | 0.10% | 0.00% | 0.00% |
XLK State Street Technology Select Sector SPDR ETF | 0.57% | 0.54% | 0.66% | 0.76% | 1.04% | 0.65% | 0.92% | 1.16% | 1.60% | 1.37% | 1.74% | 1.79% |
LCSIX LoCorr Long/Short Commodity Strategies Fund | 2.26% | 2.32% | 2.75% | 1.88% | 10.75% | 7.14% | 2.94% | 0.54% | 12.36% | 0.02% | 3.21% | 7.36% |
VCIT Vanguard Intermediate-Term Corporate Bond ETF | 4.76% | 4.62% | 4.43% | 3.72% | 3.03% | 2.87% | 2.78% | 3.37% | 3.61% | 3.21% | 3.29% | 3.34% |
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% |
VXUS Vanguard Total International Stock ETF | 2.93% | 3.18% | 3.37% | 3.24% | 3.09% | 3.10% | 2.14% | 3.06% | 3.18% | 2.73% | 2.93% | 2.83% |
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 Updated high-sharpe safe PF. 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 Updated high-sharpe safe PF was 16.42%, occurring on Mar 20, 2020. Recovery took 73 trading sessions.
The current Updated high-sharpe safe PF drawdown is 4.18%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -16.42% | Feb 20, 2020 | 22 | Mar 20, 2020 | 73 | Jul 6, 2020 | 95 |
| -12.81% | Jan 5, 2022 | 187 | Sep 30, 2022 | 168 | Jun 2, 2023 | 355 |
| -8.47% | Feb 19, 2025 | 35 | Apr 8, 2025 | 23 | May 12, 2025 | 58 |
| -8.18% | Jan 29, 2018 | 229 | Dec 24, 2018 | 42 | Feb 26, 2019 | 271 |
| -6.63% | Jan 29, 2026 | 42 | Mar 30, 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 10 assets, with an effective number of assets of 8.24, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | LCSIX | IAU | BNDX | UUP | BND | QLENX | VCIT | XLK | VTI | VXUS | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | -0.04 | 0.01 | 0.01 | -0.12 | -0.02 | 0.50 | 0.11 | 0.89 | 0.99 | 0.79 | 0.88 |
| LCSIX | -0.04 | 1.00 | 0.12 | 0.11 | -0.05 | 0.13 | 0.00 | 0.12 | -0.03 | -0.04 | -0.03 | 0.11 |
| IAU | 0.01 | 0.12 | 1.00 | 0.25 | -0.46 | 0.35 | -0.03 | 0.34 | 0.00 | 0.01 | 0.18 | 0.34 |
| BNDX | 0.01 | 0.11 | 0.25 | 1.00 | -0.13 | 0.73 | -0.10 | 0.68 | 0.02 | 0.01 | 0.02 | 0.14 |
| UUP | -0.12 | -0.05 | -0.46 | -0.13 | 1.00 | -0.28 | -0.06 | -0.31 | -0.09 | -0.13 | -0.37 | -0.25 |
| BND | -0.02 | 0.13 | 0.35 | 0.73 | -0.28 | 1.00 | -0.13 | 0.91 | -0.01 | -0.02 | 0.03 | 0.14 |
| QLENX | 0.50 | 0.00 | -0.03 | -0.10 | -0.06 | -0.13 | 1.00 | -0.05 | 0.42 | 0.49 | 0.47 | 0.53 |
| VCIT | 0.11 | 0.12 | 0.34 | 0.68 | -0.31 | 0.91 | -0.05 | 1.00 | 0.11 | 0.11 | 0.15 | 0.26 |
| XLK | 0.89 | -0.03 | 0.00 | 0.02 | -0.09 | -0.01 | 0.42 | 0.11 | 1.00 | 0.88 | 0.69 | 0.84 |
| VTI | 0.99 | -0.04 | 0.01 | 0.01 | -0.13 | -0.02 | 0.49 | 0.11 | 0.88 | 1.00 | 0.80 | 0.88 |
| VXUS | 0.79 | -0.03 | 0.18 | 0.02 | -0.37 | 0.03 | 0.47 | 0.15 | 0.69 | 0.80 | 1.00 | 0.83 |
| Portfolio | 0.88 | 0.11 | 0.34 | 0.14 | -0.25 | 0.14 | 0.53 | 0.26 | 0.84 | 0.88 | 0.83 | 1.00 |