Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
GLD SPDR Gold Shares | Gold, Precious Metals | 7.50% |
IEF iShares 7-10 Year Treasury Bond ETF | Government Bonds | 15% |
TLT iShares 20+ Year Treasury Bond ETF | Government Bonds, Long-Term Bond | 40% |
VPU Vanguard Utilities ETF | Utilities Equities | 7.50% |
VTI Vanguard Total Stock Market ETF | Large Cap Blend Equities | 30% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in All Weather/U, 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 Nov 18, 2004, corresponding to the inception date of GLD
Returns By Period
As of Apr 3, 2026, the All Weather/U returned 0.67% Year-To-Date and 5.88% 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 All Weather/U | 0.22% | -2.92% | 0.67% | 1.41% | 10.40% | 8.03% | 3.19% | 5.88% |
| Portfolio components: | ||||||||
VTI Vanguard Total Stock Market ETF | 0.16% | -3.26% | -3.13% | -1.24% | 17.86% | 18.10% | 10.66% | 13.75% |
GLD SPDR Gold Shares | -1.92% | -8.27% | 8.35% | 21.03% | 49.02% | 32.51% | 21.53% | 13.97% |
IEF iShares 7-10 Year Treasury Bond ETF | 0.23% | -1.48% | 0.01% | 0.50% | 3.83% | 2.14% | -0.73% | 0.79% |
TLT iShares 20+ Year Treasury Bond ETF | 0.61% | -2.56% | 0.69% | -0.91% | -0.77% | -2.76% | -5.75% | -1.34% |
VPU Vanguard Utilities ETF | 0.59% | -0.87% | 8.87% | 6.36% | 19.64% | 14.48% | 10.71% | 9.79% |
Monthly Returns
Based on dividend-adjusted daily data since Nov 19, 2004, All Weather/U's average daily return is +0.03%, while the average monthly return is +0.60%. At this rate, your investment would double in approximately 9.7 years.
Historically, 65% of months were positive and 35% were negative. The best month was Dec 2008 with a return of +8.2%, while the worst month was Oct 2008 at -8.3%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 6 months.
On a daily basis, All Weather/U closed higher 55% of trading days. The best single day was Nov 10, 2022 with a return of +4.2%, while the worst single day was Mar 18, 2020 at -4.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.47% | 3.47% | -4.65% | 0.56% | 0.67% | ||||||||
| 2025 | 1.93% | 2.38% | -1.38% | -0.19% | 0.66% | 2.95% | 0.46% | 1.23% | 3.78% | 1.74% | 0.88% | -1.39% | 13.70% |
| 2024 | -0.91% | 0.56% | 2.61% | -4.00% | 3.64% | 1.35% | 3.37% | 2.18% | 2.49% | -2.68% | 3.05% | -4.48% | 6.93% |
| 2023 | 5.99% | -3.98% | 4.23% | 0.76% | -1.81% | 1.91% | 0.33% | -2.51% | -5.82% | -2.66% | 7.98% | 5.89% | 9.64% |
| 2022 | -4.07% | -1.10% | -1.00% | -7.62% | -0.77% | -3.60% | 4.44% | -3.71% | -7.88% | -0.13% | 6.07% | -2.96% | -20.97% |
| 2021 | -2.03% | -2.54% | -0.53% | 3.22% | 0.61% | 1.92% | 2.79% | 0.92% | -3.45% | 3.41% | 0.64% | 1.19% | 6.02% |
Benchmark Metrics
All Weather/U has an annualized alpha of 5.22%, beta of 0.22, and R² of 0.25 versus S&P 500 Index. Calculated based on daily prices since November 19, 2004.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (38.17%) than losses (24.77%) — typical of diversified or defensive assets.
- Beta of 0.22 may look defensive, but with R² of 0.25 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.25 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 5.22%
- Beta
- 0.22
- R²
- 0.25
- Upside Capture
- 38.17%
- Downside Capture
- 24.77%
Expense Ratio
All Weather/U has an expense ratio of 0.13%, 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.
Return for Risk
Risk / Return Rank
All Weather/U ranks 34 for risk / return — below 34% of portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.12 | 0.88 | +0.24 |
Sortino ratioReturn per unit of downside risk | 1.61 | 1.37 | +0.24 |
Omega ratioGain probability vs. loss probability | 1.22 | 1.21 | +0.01 |
Calmar ratioReturn relative to maximum drawdown | 1.70 | 1.39 | +0.32 |
Martin ratioReturn relative to average drawdown | 6.12 | 6.43 | -0.32 |
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 | |
|---|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 54 | 0.94 | 1.47 | 1.22 | 1.53 | 7.16 |
GLD SPDR Gold Shares | 80 | 1.77 | 2.19 | 1.32 | 2.57 | 9.28 |
IEF iShares 7-10 Year Treasury Bond ETF | 32 | 0.72 | 1.06 | 1.12 | 1.16 | 2.87 |
TLT iShares 20+ Year Treasury Bond ETF | 10 | -0.07 | -0.01 | 1.00 | -0.09 | -0.19 |
VPU Vanguard Utilities ETF | 62 | 1.27 | 1.73 | 1.23 | 2.25 | 5.36 |
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Dividends
Dividend yield
All Weather/U provided a 2.92% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.92% | 2.88% | 2.87% | 2.48% | 2.08% | 1.29% | 1.43% | 1.96% | 2.24% | 2.00% | 2.13% | 2.20% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.16% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
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% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.84% | 3.77% | 3.62% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% |
TLT iShares 20+ Year Treasury Bond ETF | 4.51% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
VPU Vanguard Utilities ETF | 2.54% | 2.73% | 3.02% | 3.49% | 2.98% | 2.70% | 3.17% | 2.83% | 3.23% | 3.18% | 3.19% | 3.63% |
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 All Weather/U. 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 All Weather/U was 25.70%, occurring on Oct 20, 2022. Recovery took 697 trading sessions.
The current All Weather/U drawdown is 4.11%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -25.7% | Dec 28, 2021 | 206 | Oct 20, 2022 | 697 | Aug 4, 2025 | 903 |
| -15.03% | May 21, 2008 | 111 | Oct 27, 2008 | 44 | Dec 30, 2008 | 155 |
| -14.77% | Dec 31, 2008 | 46 | Mar 9, 2009 | 134 | Sep 17, 2009 | 180 |
| -13.99% | Mar 9, 2020 | 8 | Mar 18, 2020 | 29 | Apr 29, 2020 | 37 |
| -8.33% | Jul 11, 2016 | 102 | Dec 1, 2016 | 125 | Jun 2, 2017 | 227 |
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 3.52, 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 | GLD | VPU | TLT | IEF | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.06 | 0.53 | -0.25 | -0.25 | 0.99 | 0.45 |
| GLD | 0.06 | 1.00 | 0.12 | 0.17 | 0.21 | 0.07 | 0.37 |
| VPU | 0.53 | 0.12 | 1.00 | -0.00 | -0.00 | 0.53 | 0.48 |
| TLT | -0.25 | 0.17 | -0.00 | 1.00 | 0.92 | -0.25 | 0.65 |
| IEF | -0.25 | 0.21 | -0.00 | 0.92 | 1.00 | -0.25 | 0.60 |
| VTI | 0.99 | 0.07 | 0.53 | -0.25 | -0.25 | 1.00 | 0.45 |
| Portfolio | 0.45 | 0.37 | 0.48 | 0.65 | 0.60 | 0.45 | 1.00 |