bear market portfolio

Asset Allocation

Position	Category/Sector	Target Weight
BIL SPDR Barclays 1-3 Month T-Bill ETF	Government Bonds	10%
BND Vanguard Total Bond Market ETF	Total Bond Market	5%
BNDX Vanguard Total International Bond ETF	Global Bonds	5%
IAU iShares Gold Trust	Gold, Precious Metals	15%
SCHD Schwab U.S. Dividend Equity ETF	Dividend	15%
TIP iShares TIPS Bond ETF	Inflation-Protected Bonds	10%
VGLT Vanguard Long-Term Treasury ETF	Government Bonds, Long-Term Bond	15%
VOO Vanguard S&P 500 ETF	S&P 500	10%
VXUS Vanguard Total International Stock ETF	Foreign Large Cap Equities	15%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in bear market 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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The earliest data available for this chart is Jun 4, 2013, corresponding to the inception date of BNDX

Returns By Period

As of Apr 3, 2026, the bear market portfolio returned 3.43% Year-To-Date and 7.66% 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 bear market portfolio	-0.25%	-2.94%	3.43%	6.24%	15.99%	11.61%	6.66%	7.66%
Portfolio components:
VOO Vanguard S&P 500 ETF	0.11%	-3.33%	-3.55%	-1.41%	17.60%	18.47%	11.96%	14.19%
VXUS Vanguard Total International Stock ETF	-0.68%	-2.51%	2.81%	6.58%	28.04%	15.41%	7.43%	9.01%
IAU iShares Gold Trust	-1.94%	-8.32%	8.34%	21.05%	49.18%	32.68%	21.72%	14.14%
BND Vanguard Total Bond Market ETF	0.22%	-0.98%	0.31%	0.85%	4.27%	3.53%	0.30%	1.70%
BNDX Vanguard Total International Bond ETF	-0.10%	-1.55%	-0.08%	0.10%	2.63%	3.79%	0.18%	1.74%
BIL SPDR Barclays 1-3 Month T-Bill ETF	0.02%	0.31%	0.90%	1.85%	4.01%	4.71%	3.28%	2.13%
SCHD Schwab U.S. Dividend Equity ETF	0.16%	-2.44%	12.35%	13.88%	13.89%	11.70%	8.35%	12.30%
VGLT Vanguard Long-Term Treasury ETF	0.49%	-2.51%	0.35%	-0.58%	0.18%	-1.61%	-4.79%	-0.82%
TIP iShares TIPS Bond ETF	0.41%	-0.62%	0.82%	0.60%	3.34%	3.06%	1.33%	2.52%

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

Monthly Returns

Based on dividend-adjusted daily data since Jun 5, 2013, bear market portfolio's average daily return is +0.03%, while the average monthly return is +0.57%. At this rate, your investment would double in approximately 10.2 years.

Historically, 63% of months were positive and 37% were negative. The best month was Nov 2022 with a return of +6.4%, while the worst month was Sep 2022 at -6.2%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 6 months.

On a daily basis, bear market portfolio closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +3.4%, while the worst single day was Mar 12, 2020 at -4.8%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.24%	4.03%	-4.80%	0.19%									3.43%
2025	2.38%	1.98%	0.72%	0.01%	1.05%	2.10%	-0.11%	2.71%	3.08%	1.06%	1.50%	0.44%	18.21%
2024	-0.51%	0.81%	3.17%	-2.16%	2.38%	0.65%	3.22%	1.81%	2.16%	-1.18%	1.28%	-2.97%	8.76%
2023	4.69%	-3.25%	3.15%	0.61%	-1.85%	1.79%	1.57%	-1.71%	-3.77%	-1.04%	5.49%	4.21%	9.75%
2022	-2.55%	-0.36%	-0.14%	-4.73%	-0.06%	-4.12%	2.78%	-3.20%	-6.17%	2.08%	6.35%	-1.64%	-11.75%
2021	-1.26%	-0.54%	1.31%	2.35%	2.27%	-0.37%	1.50%	0.72%	-2.63%	2.39%	-0.60%	2.28%	7.50%

Benchmark Metrics

bear market portfolio has an annualized alpha of 2.95%, beta of 0.32, and R² of 0.56 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 (41.83%) than losses (41.27%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 2.95% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
Beta of 0.32 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: 2.95%

Beta: 0.32

R²: 0.56

Upside Capture: 41.83%

Downside Capture: 41.27%

Expense Ratio

bear market portfolio has an expense ratio of 0.10%, 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.

IAU

iShares Gold Trust

TIP

iShares TIPS Bond ETF

BIL

SPDR Barclays 1-3 Month T-Bill ETF

BNDX

Vanguard Total International Bond ETF

SCHD

Schwab U.S. Dividend Equity ETF

VXUS

Vanguard Total International Stock ETF

VOO

Vanguard S&P 500 ETF

BND

Vanguard Total Bond Market ETF

VGLT

Vanguard Long-Term Treasury ETF

Return for Risk

Risk / Return Rank

bear market portfolio 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.

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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	1.81	0.88	+0.93
Sortino ratio Return per unit of downside risk	2.51	1.37	+1.14
Omega ratio Gain probability vs. loss probability	1.36	1.21	+0.16
Calmar ratio Return relative to maximum drawdown	2.47	1.39	+1.08
Martin ratio Return relative to average drawdown	9.67	6.43	+3.24
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
VOO Vanguard S&P 500 ETF	54	0.98	1.49	1.23	1.53	7.13
VXUS Vanguard Total International Stock ETF	80	1.63	2.25	1.33	2.52	9.49
IAU iShares Gold Trust	80	1.78	2.21	1.33	2.58	9.32
BND Vanguard Total Bond Market ETF	48	1.00	1.42	1.18	1.71	4.64
BNDX Vanguard Total International Bond ETF	34	0.82	1.15	1.15	0.89	3.55
BIL SPDR Barclays 1-3 Month T-Bill ETF	100	19.57	254.91	180.89	367.86	4,130.10
SCHD Schwab U.S. Dividend Equity ETF	40	0.89	1.34	1.19	1.09	3.69
VGLT Vanguard Long-Term Treasury ETF	11	0.02	0.09	1.01	0.01	0.02
TIP iShares TIPS Bond ETF	35	0.80	1.11	1.14	1.16	3.36

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.

bear market portfolio Sharpe ratios as of Apr 3, 2026 (values are recalculated daily):

1-Year: 1.81
5-Year: 0.82
10-Year: 1.00
All Time: 0.93

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 0.98 to 1.66, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of bear market portfolio 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

bear market portfolio provided a 2.85% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.85%	3.00%	2.97%	2.80%	2.60%	2.00%	1.59%	2.15%	2.28%	1.88%	1.85%	1.81%
Portfolio components:
VOO Vanguard S&P 500 ETF	1.18%	1.13%	1.24%	1.46%	1.69%	1.25%	1.54%	1.88%	2.06%	1.78%	2.02%	2.10%
VXUS Vanguard Total International Stock ETF	2.95%	3.18%	3.37%	3.24%	3.09%	3.10%	2.14%	3.06%	3.18%	2.73%	2.93%	2.83%
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%
BND Vanguard Total Bond Market ETF	3.92%	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	4.47%	4.39%	4.18%	4.42%	1.51%	3.74%	1.11%	3.40%	3.01%	2.23%	1.89%	1.63%
BIL SPDR Barclays 1-3 Month T-Bill ETF	3.96%	4.13%	5.03%	4.92%	1.35%	0.00%	0.30%	2.05%	1.66%	0.68%	0.07%	0.00%
SCHD Schwab U.S. Dividend Equity ETF	3.45%	3.82%	3.64%	3.49%	3.39%	2.78%	3.16%	2.98%	3.06%	2.63%	2.89%	2.97%
VGLT Vanguard Long-Term Treasury ETF	4.52%	4.44%	4.33%	3.33%	2.84%	1.82%	2.15%	2.46%	2.71%	2.55%	2.69%	3.21%
TIP iShares TIPS Bond ETF	2.79%	3.46%	2.52%	2.73%	6.96%	4.28%	1.17%	1.75%	2.71%	2.07%	1.48%	0.34%

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 bear market 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 bear market portfolio was 17.84%, occurring on Oct 20, 2022. Recovery took 360 trading sessions.

The current bear market portfolio drawdown is 4.61%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-17.84%	Jan 3, 2022	202	Oct 20, 2022	360	Mar 28, 2024	562
-13.82%	Feb 24, 2020	19	Mar 19, 2020	50	Jun 1, 2020	69
-8.1%	Jan 29, 2018	229	Dec 24, 2018	69	Apr 4, 2019	298
-7.38%	Apr 28, 2015	185	Jan 20, 2016	57	Apr 12, 2016	242
-6.51%	Mar 2, 2026	19	Mar 26, 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 9 assets, with an effective number of assets of 8.00, 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

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

	Benchmark	BIL	IAU	BNDX	TIP	SCHD	BND	VOO	VXUS	VGLT	Portfolio
Benchmark	1.00	0.01	0.01	0.01	-0.00	0.81	-0.02	1.00	0.80	-0.16	0.68
BIL	0.01	1.00	0.04	0.01	-0.00	0.01	0.01	0.01	0.01	0.00	0.04
IAU	0.01	0.04	1.00	0.25	0.38	0.01	0.35	0.01	0.18	0.29	0.52
BNDX	0.01	0.01	0.25	1.00	0.58	-0.02	0.72	0.01	0.03	0.70	0.37
TIP	-0.00	-0.00	0.38	0.58	1.00	-0.01	0.80	-0.00	0.06	0.76	0.46
SCHD	0.81	0.01	0.01	-0.02	-0.01	1.00	-0.03	0.81	0.71	-0.17	0.66
BND	-0.02	0.01	0.35	0.72	0.80	-0.03	1.00	-0.01	0.04	0.90	0.46
VOO	1.00	0.01	0.01	0.01	-0.00	0.81	-0.01	1.00	0.80	-0.16	0.68
VXUS	0.80	0.01	0.18	0.03	0.06	0.71	0.04	0.80	1.00	-0.12	0.76
VGLT	-0.16	0.00	0.29	0.70	0.76	-0.17	0.90	-0.16	-0.12	1.00	0.33
Portfolio	0.68	0.04	0.52	0.37	0.46	0.66	0.46	0.68	0.76	0.33	1.00

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

bear market portfolio

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table