EPQ Div Diversification_01

Asset Allocation

Position	Category/Sector	Target Weight
ZDI.TO BMO International Dividend ETF	International Equity	25%
ZDY.TO BMO US Dividend ETF (CAD)	Dividend, Large Cap Blend Equities	22.50%
VGG.TO Vanguard U.S. Dividend Appreciation Index ETF	Dividend, Large Cap Blend Equities	22.50%
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF	Canada Equities	10%
XDIV.TO iShares Core MSCI Canadian Quality Dividend Index ETF	Dividend, Large Cap Value Equities	10%
CRT-UN.TO CT Real Estate Investment Trust	Real Estate	10%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of CA$10,000 in EPQ Div Diversification_01, 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 year.

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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-2.55%	1.59%	9.53%	7.06%	25.21%	21.24%	14.93%	14.26%
Portfolio EPQ Div Diversification_01	-1.15%	3.07%	13.14%	9.30%	22.02%	17.19%	12.66%	—
Portfolio components:
CRT-UN.TO CT Real Estate Investment Trust	0.40%	1.53%	11.72%	15.24%	16.43%	12.19%	7.45%	7.42%
VGG.TO Vanguard U.S. Dividend Appreciation Index ETF	-0.97%	4.42%	8.03%	6.88%	19.89%	17.21%	13.05%	13.49%
XDIV.TO iShares Core MSCI Canadian Quality Dividend Index ETF	-0.55%	3.76%	19.61%	18.73%	39.42%	23.41%	16.85%	—
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF	-0.69%	3.93%	22.40%	18.33%	38.42%	20.61%	14.56%	11.59%
ZDI.TO BMO International Dividend ETF	-1.68%	0.35%	9.30%	6.09%	16.50%	15.60%	11.87%	8.79%
ZDY.TO BMO US Dividend ETF (CAD)	-1.89%	4.76%	16.16%	3.79%	17.92%	15.78%	11.99%	10.31%

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

Monthly Returns

Based on dividend-adjusted daily data since Jun 14, 2017, EPQ Div Diversification_01's average daily return is +0.04%, while the average monthly return is +0.87%. At this rate, an investment would double in approximately 6.7 years.

Historically, 65% of months were positive and 35% were negative. The best month was Nov 2020 with a return of +10.7%, while the worst month was Mar 2020 at -14.9%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.

On a daily basis, EPQ Div Diversification_01 closed higher 57% of trading days. The best single day was Mar 24, 2020 with a return of +9.7%, while the worst single day was Mar 16, 2020 at -10.7%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.66%	4.74%	-2.09%	3.61%	3.53%	0.19%							13.14%
2025	3.91%	1.53%	-1.49%	-3.23%	3.55%	1.82%	0.96%	3.19%	3.51%	1.01%	2.36%	-4.19%	13.27%
2024	1.76%	2.09%	3.26%	-2.12%	2.75%	-0.30%	5.04%	1.73%	2.27%	-0.39%	3.77%	-2.52%	18.43%
2023	3.77%	-0.43%	0.11%	2.99%	-4.19%	2.66%	1.99%	-0.57%	-3.39%	-1.12%	5.33%	2.63%	9.71%
2022	-0.57%	-1.92%	1.93%	-1.99%	0.22%	-6.02%	3.81%	-1.94%	-4.14%	6.11%	6.40%	-1.99%	-0.93%
2021	-0.36%	2.31%	4.88%	1.28%	1.06%	1.88%	2.20%	2.22%	-2.96%	3.12%	-0.48%	5.11%	21.92%

Benchmark Metrics

EPQ Div Diversification_01 has an annualized alpha of 2.61%, beta of 0.56, and R2 of 0.63 versus S&P 500 Index. Calculated based on daily prices since June 14, 2017.

This portfolio participated in 69.23% of S&P 500 Index downside but only 66.93% of its upside - more exposed to losses than it benefited from rallies.
This portfolio generated an annualized alpha of 2.61% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
Beta of 0.56 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: 2.61%

Beta: 0.56

R²: 0.63

Upside Capture: 66.93%

Downside Capture: 69.23%

Expense Ratio

EPQ Div Diversification_01 has an expense ratio of 0.28%, 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.

ZDI.TO

BMO International Dividend ETF

ZDY.TO

BMO US Dividend ETF (CAD)

VGG.TO

Vanguard U.S. Dividend Appreciation Index ETF

XEI.TO

iShares S&P/TSX Composite High Dividend Index ETF

XDIV.TO

iShares Core MSCI Canadian Quality Dividend Index ETF

Return for Risk

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for EPQ Div Diversification_01 and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.51	2.11	+0.40
Sortino ratioReturn per unit of downside risk	3.40	2.89	+0.50
Omega ratioGain probability vs. loss probability	1.46	1.37	+0.10
Calmar ratioReturn relative to maximum drawdown	4.07	2.89	+1.18
Martin ratioReturn relative to average drawdown	16.35	10.80	+5.55
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.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
CRT-UN.TO CT Real Estate Investment Trust	76	1.22	1.84	1.21	2.50	6.53
VGG.TO Vanguard U.S. Dividend Appreciation Index ETF	68	2.05	2.94	1.36	2.97	11.07
XDIV.TO iShares Core MSCI Canadian Quality Dividend Index ETF	98	5.08	7.49	2.06	17.25	58.48
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF	97	4.99	6.84	2.01	9.22	41.51
ZDI.TO BMO International Dividend ETF	39	1.25	1.76	1.23	1.68	6.29
ZDY.TO BMO US Dividend ETF (CAD)	42	1.50	1.91	1.30	1.68	4.31

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.

EPQ Div Diversification_01 Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 2.51
5-Year: 1.22
All Time: 0.74

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 1.64 to 2.53, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of EPQ Div Diversification_01 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

EPQ Div Diversification_01 provided a 2.58% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.58%	2.93%	3.34%	3.44%	3.29%	2.94%	3.84%	3.55%	3.96%	3.08%	2.97%	3.10%
Portfolio components:
CRT-UN.TO CT Real Estate Investment Trust	5.34%	5.77%	6.40%	6.04%	5.48%	4.76%	5.08%	4.71%	6.34%	4.84%	4.54%	5.11%
VGG.TO Vanguard U.S. Dividend Appreciation Index ETF	1.02%	1.16%	1.23%	1.37%	1.35%	1.21%	1.25%	1.24%	1.50%	1.45%	1.63%	1.70%
XDIV.TO iShares Core MSCI Canadian Quality Dividend Index ETF	3.31%	3.90%	4.50%	4.42%	4.15%	3.76%	4.85%	4.24%	5.13%	1.92%	0.00%	0.00%
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF	3.59%	4.47%	5.45%	4.97%	4.68%	3.58%	5.03%	4.62%	5.42%	4.29%	4.41%	5.64%
ZDI.TO BMO International Dividend ETF	3.13%	3.41%	3.94%	4.15%	3.99%	3.72%	4.96%	4.92%	5.23%	4.23%	4.62%	4.27%
ZDY.TO BMO US Dividend ETF (CAD)	1.52%	1.80%	1.97%	2.43%	2.48%	2.33%	3.65%	3.02%	2.80%	2.63%	2.46%	2.54%

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 EPQ Div Diversification_01. 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 EPQ Div Diversification_01 was 34.07%, occurring on Mar 23, 2020. Recovery took 242 trading sessions.

The current EPQ Div Diversification_01 drawdown is 0.28%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-34.07%Mar 2020	1mo 9d	11mo 22d	1y 26dFeb 2020 - Mar 2021
Bear market2022	-12.31%Oct 2022	8mo 4d	1mo 20d	9mo 24dFeb 2022 - Dec 2022
2025 selloff2025	-11.55%Apr 2025	1mo 6d	2mo 5d	3mo 11dMar 2025 - Jun 2025
Rate-hike selloffLate 2018	-11.50%Dec 2018	3mo 1d	1mo 27d	4mo 28dSep 2018 - Feb 2019
2018 pullback2018	-7.24%Feb 2018	16d	4mo 7d	4mo 23dJan 2018 - Jun 2018

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 6 assets, with an effective number of assets of 5.16, 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	All Time
Diversification Ratio	1.26	1.25	1.23	1.17

The portfolio has a diversification ratio of 1.17, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.

EPQ Div Diversification_01 correlation to the S&P 500 Index

EPQ Div Diversification_01 has a 0.62 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.62
Correlation (3Y) Calculated over the trailing 3-year period	0.62
Correlation (5Y) Calculated over the trailing 5-year period	0.68
Correlation (All Time) Calculated using the full available price history since Jun 14, 2017	0.67

Benchmark Correlations

Correlation vs. S&P 500 Index. VGG.TO has the highest benchmark correlation at 0.66, while CRT-UN.TO has the lowest at 0.30.

0.30

0.49

0.51

0.56

0.58

0.66

Portfolio Correlations

Correlation vs. EPQ Div Diversification_01. ZDY.TO has the highest portfolio correlation at 0.87, while CRT-UN.TO has the lowest at 0.51.

0.51

0.73

0.75

0.83

0.85

0.87

Asset Correlations Table

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

	CRT-UN.TO	ZDI.TO	XEI.TO	XDIV.TO	VGG.TO	ZDY.TO
CRT-UN.TO	1.00	0.32	0.44	0.41	0.30	0.28
ZDI.TO	0.32	1.00	0.56	0.57	0.60	0.61
XEI.TO	0.44	0.56	1.00	0.86	0.48	0.56
XDIV.TO	0.41	0.57	0.86	1.00	0.52	0.59
VGG.TO	0.30	0.60	0.48	0.52	1.00	0.86
ZDY.TO	0.28	0.61	0.56	0.59	0.86	1.00

The correlation results are calculated based on daily price changes starting from Jun 14, 2017

Diversification Analysis

Find what EPQ Div Diversification_01 is missing

See which holdings overlap, where EPQ Div Diversification_01 is concentrated, and which low-correlation assets could fill the gaps.

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