Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
EMLP First Trust North American Energy Infrastructure Fund | MLPs, Actively Managed | 17% |
IAU iShares Gold Trust | Gold, Precious Metals | 21% |
IDMO Invesco S&P International Developed Momentum ETF | Global Equities | 21% |
IOO iShares Global 100 ETF | Large Cap Growth Equities | 25% |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | Government Bonds | 16% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in IOO+EMLP+IAU, 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 Feb 4, 2014, corresponding to the inception date of USFR
Returns By Period
As of Apr 2, 2026, the IOO+EMLP+IAU returned 4.14% Year-To-Date and 12.13% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio IOO+EMLP+IAU | -0.51% | -2.64% | 4.14% | 9.24% | 27.34% | 21.85% | 15.15% | 12.13% |
| Portfolio components: | ||||||||
EMLP First Trust North American Energy Infrastructure Fund | 0.69% | 0.55% | 16.45% | 16.39% | 19.21% | 21.93% | 17.79% | 11.61% |
IAU iShares Gold Trust | -1.94% | -8.32% | 8.34% | 21.05% | 49.18% | 32.68% | 21.72% | 14.14% |
IDMO Invesco S&P International Developed Momentum ETF | -0.89% | -1.97% | 1.06% | 6.02% | 29.40% | 22.78% | 14.31% | 11.76% |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 0.04% | 0.29% | 0.97% | 2.06% | 4.12% | 4.89% | 3.53% | 2.41% |
IOO iShares Global 100 ETF | -0.07% | -2.56% | -3.70% | 0.99% | 27.10% | 21.50% | 14.48% | 15.14% |
Monthly Returns
Based on dividend-adjusted daily data since Feb 5, 2014, IOO+EMLP+IAU's average daily return is +0.04%, while the average monthly return is +0.82%. At this rate, your investment would double in approximately 7.1 years.
Historically, 66% of months were positive and 34% were negative. The best month was Apr 2020 with a return of +8.3%, while the worst month was Mar 2020 at -8.1%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 5 months.
On a daily basis, IOO+EMLP+IAU closed higher 57% of trading days. The best single day was Mar 24, 2020 with a return of +5.9%, while the worst single day was Mar 12, 2020 at -7.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.91% | 4.08% | -5.21% | 0.62% | 4.14% | ||||||||
| 2025 | 3.45% | 1.29% | 1.19% | 1.83% | 3.51% | 2.71% | 1.03% | 2.44% | 4.52% | 1.74% | 2.32% | 0.99% | 30.55% |
| 2024 | 0.59% | 3.01% | 5.25% | -0.99% | 3.57% | 1.27% | 2.31% | 2.07% | 1.58% | 0.23% | 3.02% | -2.03% | 21.53% |
| 2023 | 4.19% | -2.68% | 3.69% | 2.10% | -1.68% | 2.68% | 2.53% | -1.07% | -2.81% | 0.70% | 5.50% | 2.24% | 16.03% |
| 2022 | -1.70% | 0.04% | 2.89% | -4.32% | 1.06% | -5.66% | 3.88% | -2.82% | -6.44% | 4.38% | 6.21% | -1.33% | -4.64% |
| 2021 | -0.37% | -1.40% | 2.16% | 3.61% | 2.16% | -0.59% | 1.40% | 1.72% | -2.63% | 4.03% | -1.72% | 3.63% | 12.36% |
Benchmark Metrics
IOO+EMLP+IAU has an annualized alpha of 3.81%, beta of 0.50, and R² of 0.68 versus S&P 500 Index. Calculated based on daily prices since February 05, 2014.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (59.41%) than losses (52.74%) — typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 3.81% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.50 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
- 3.81%
- Beta
- 0.50
- R²
- 0.68
- Upside Capture
- 59.41%
- Downside Capture
- 52.74%
Expense Ratio
IOO+EMLP+IAU has an expense ratio of 0.39%, 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
IOO+EMLP+IAU ranks 92 for risk / return — in the top 92% 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 | 2.17 | 0.88 | +1.29 |
Sortino ratioReturn per unit of downside risk | 2.90 | 1.37 | +1.53 |
Omega ratioGain probability vs. loss probability | 1.48 | 1.21 | +0.27 |
Calmar ratioReturn relative to maximum drawdown | 3.31 | 1.39 | +1.92 |
Martin ratioReturn relative to average drawdown | 14.57 | 6.43 | +8.14 |
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 | |
|---|---|---|---|---|---|---|
EMLP First Trust North American Energy Infrastructure Fund | 69 | 1.44 | 1.86 | 1.29 | 1.76 | 8.21 |
IAU iShares Gold Trust | 80 | 1.78 | 2.21 | 1.33 | 2.58 | 9.32 |
IDMO Invesco S&P International Developed Momentum ETF | 79 | 1.54 | 2.14 | 1.32 | 2.48 | 9.91 |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 100 | 14.40 | 42.98 | 10.69 | 104.25 | 665.20 |
IOO iShares Global 100 ETF | 77 | 1.41 | 2.10 | 1.31 | 2.22 | 10.34 |
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Dividends
Dividend yield
IOO+EMLP+IAU provided a 2.14% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.14% | 2.21% | 2.11% | 2.47% | 2.09% | 1.32% | 1.58% | 2.05% | 2.39% | 2.01% | 1.81% | 2.04% |
| Portfolio components: | ||||||||||||
EMLP First Trust North American Energy Infrastructure Fund | 2.75% | 3.18% | 3.19% | 3.92% | 3.15% | 3.29% | 4.70% | 3.71% | 4.71% | 3.80% | 3.62% | 4.63% |
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% |
IDMO Invesco S&P International Developed Momentum ETF | 3.77% | 3.71% | 2.24% | 2.89% | 3.66% | 1.81% | 1.63% | 2.78% | 3.27% | 3.08% | 2.18% | 2.52% |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 4.00% | 4.15% | 5.17% | 5.12% | 1.78% | 0.01% | 0.40% | 2.08% | 1.67% | 1.03% | 0.29% | 0.00% |
IOO iShares Global 100 ETF | 0.95% | 0.92% | 1.08% | 1.49% | 2.00% | 1.53% | 1.49% | 2.02% | 2.54% | 2.23% | 2.75% | 2.89% |
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 IOO+EMLP+IAU. 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 IOO+EMLP+IAU was 22.56%, occurring on Mar 23, 2020. Recovery took 82 trading sessions.
The current IOO+EMLP+IAU drawdown is 4.17%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -22.56% | Feb 20, 2020 | 23 | Mar 23, 2020 | 82 | Jul 20, 2020 | 105 |
| -20.55% | May 18, 2015 | 171 | Jan 20, 2016 | 345 | Jun 2, 2017 | 516 |
| -14.4% | Mar 31, 2022 | 127 | Sep 30, 2022 | 133 | Apr 13, 2023 | 260 |
| -12.44% | Jan 25, 2018 | 231 | Dec 24, 2018 | 113 | Jun 7, 2019 | 344 |
| -8.4% | Apr 3, 2025 | 4 | Apr 8, 2025 | 11 | Apr 24, 2025 | 15 |
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 4.87, 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 | USFR | IAU | EMLP | IDMO | IOO | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.01 | 0.01 | 0.57 | 0.57 | 0.94 | 0.75 |
| USFR | 0.01 | 1.00 | 0.03 | 0.02 | -0.01 | 0.01 | 0.03 |
| IAU | 0.01 | 0.03 | 1.00 | 0.14 | 0.16 | 0.05 | 0.44 |
| EMLP | 0.57 | 0.02 | 0.14 | 1.00 | 0.38 | 0.52 | 0.68 |
| IDMO | 0.57 | -0.01 | 0.16 | 0.38 | 1.00 | 0.60 | 0.78 |
| IOO | 0.94 | 0.01 | 0.05 | 0.52 | 0.60 | 1.00 | 0.78 |
| Portfolio | 0.75 | 0.03 | 0.44 | 0.68 | 0.78 | 0.78 | 1.00 |