Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
GLD SPDR Gold Shares | Gold, Precious Metals | 20% |
SPY State Street SPDR S&P 500 ETF | S&P 500 | 40% |
TLT iShares 20+ Year Treasury Bond ETF | Government Bonds, Long-Term Bond | 40% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 20-40-40 GLD-TLT-SPY, 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 4, 2026, the 20-40-40 GLD-TLT-SPY returned 0.55% Year-To-Date and 8.33% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.63% | -3.84% | -1.98% | 29.73% | 16.86% | 10.37% | 12.29% |
Portfolio 20-40-40 GLD-TLT-SPY | -0.12% | -3.81% | 0.55% | 3.07% | 20.75% | 12.51% | 6.65% | 8.33% |
| Portfolio components: | ||||||||
GLD SPDR Gold Shares | -1.92% | -8.98% | 8.35% | 20.07% | 49.92% | 32.51% | 21.53% | 13.97% |
TLT iShares 20+ Year Treasury Bond ETF | 0.61% | -2.26% | 0.69% | -0.72% | -1.22% | -2.76% | -5.75% | -1.34% |
SPY State Street SPDR S&P 500 ETF | 0.09% | -4.02% | -3.56% | -1.44% | 23.60% | 18.37% | 11.88% | 14.11% |
Monthly Returns
Based on dividend-adjusted daily data since Nov 19, 2004, 20-40-40 GLD-TLT-SPY's average daily return is +0.03%, while the average monthly return is +0.71%. At this rate, your investment would double in approximately 8.2 years.
Historically, 64% of months were positive and 36% were negative. The best month was Dec 2008 with a return of +8.5%, while the worst month was Oct 2008 at -10.7%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 6 months.
On a daily basis, 20-40-40 GLD-TLT-SPY closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +5.0%, while the worst single day was Mar 18, 2020 at -4.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.03% | 3.36% | -6.05% | 0.50% | 0.55% | ||||||||
| 2025 | 2.64% | 2.10% | -0.69% | 0.20% | 1.20% | 3.23% | 0.34% | 1.83% | 5.23% | 2.22% | 1.28% | -0.55% | 20.61% |
| 2024 | -0.54% | 1.35% | 3.39% | -3.58% | 3.48% | 2.07% | 3.01% | 2.20% | 2.69% | -1.68% | 2.52% | -3.73% | 11.33% |
| 2023 | 6.72% | -4.02% | 5.00% | 0.95% | -1.28% | 2.31% | 0.75% | -2.14% | -5.96% | -1.60% | 8.01% | 5.51% | 14.00% |
| 2022 | -4.01% | -0.55% | -0.42% | -7.69% | -1.50% | -4.11% | 4.12% | -4.06% | -7.64% | 0.49% | 6.73% | -2.86% | -20.33% |
| 2021 | -2.50% | -2.37% | -0.29% | 3.83% | 1.82% | 1.08% | 2.97% | 1.03% | -3.66% | 4.06% | 0.63% | 1.70% | 8.24% |
Benchmark Metrics
20-40-40 GLD-TLT-SPY has an annualized alpha of 5.87%, beta of 0.29, and R² of 0.36 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 (46.10%) than losses (29.78%) — typical of diversified or defensive assets.
- Beta of 0.29 may look defensive, but with R² of 0.36 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 0.36 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 5.87%
- Beta
- 0.29
- R²
- 0.36
- Upside Capture
- 46.10%
- Downside Capture
- 29.78%
Expense Ratio
20-40-40 GLD-TLT-SPY has an expense ratio of 0.18%, 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
20-40-40 GLD-TLT-SPY ranks 56 for risk / return — on par with similar portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.38 | 0.88 | +0.50 |
Sortino ratioReturn per unit of downside risk | 1.99 | 1.37 | +0.62 |
Omega ratioGain probability vs. loss probability | 1.28 | 1.21 | +0.07 |
Calmar ratioReturn relative to maximum drawdown | 1.97 | 1.39 | +0.58 |
Martin ratioReturn relative to average drawdown | 7.77 | 6.43 | +1.33 |
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 | |
|---|---|---|---|---|---|---|
GLD SPDR Gold Shares | 78 | 1.77 | 2.19 | 1.32 | 2.57 | 9.28 |
TLT iShares 20+ Year Treasury Bond ETF | 9 | -0.07 | -0.01 | 1.00 | -0.09 | -0.19 |
SPY State Street SPDR S&P 500 ETF | 52 | 0.92 | 1.45 | 1.22 | 1.51 | 7.11 |
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Dividends
Dividend yield
20-40-40 GLD-TLT-SPY provided a 2.25% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.25% | 2.20% | 2.20% | 1.91% | 1.73% | 1.08% | 1.21% | 1.61% | 1.87% | 1.69% | 1.85% | 1.87% |
| Portfolio components: | ||||||||||||
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% |
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% |
SPY State Street SPDR S&P 500 ETF | 1.13% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
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 20-40-40 GLD-TLT-SPY. 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 20-40-40 GLD-TLT-SPY was 25.48%, occurring on Oct 20, 2022. Recovery took 456 trading sessions.
The current 20-40-40 GLD-TLT-SPY drawdown is 5.58%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -25.48% | Dec 28, 2021 | 206 | Oct 20, 2022 | 456 | Aug 15, 2024 | 662 |
| -19.51% | May 21, 2008 | 123 | Nov 12, 2008 | 226 | Oct 7, 2009 | 349 |
| -14.9% | Mar 9, 2020 | 8 | Mar 18, 2020 | 21 | Apr 17, 2020 | 29 |
| -8.22% | Aug 1, 2016 | 87 | Dec 1, 2016 | 125 | Jun 2, 2017 | 212 |
| -8.16% | Mar 2, 2026 | 20 | Mar 27, 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 3 assets, with an effective number of assets of 2.78, 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 | TLT | SPY | Portfolio | |
|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.06 | -0.25 | 0.99 | 0.55 |
| GLD | 0.06 | 1.00 | 0.17 | 0.06 | 0.54 |
| TLT | -0.25 | 0.17 | 1.00 | -0.25 | 0.48 |
| SPY | 0.99 | 0.06 | -0.25 | 1.00 | 0.55 |
| Portfolio | 0.55 | 0.54 | 0.48 | 0.55 | 1.00 |