MPT 10/7

Asset Allocation

Position	Category/Sector	Target Weight
DBMF iMGP DBi Managed Futures Strategy ETF	Systematic Trend	22%
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	Government Bonds, Ultrashort Bond	22%
GLD SPDR Gold Shares	Gold, Precious Metals	18%
QUAL iShares MSCI USA Quality Factor ETF	Large Cap Blend Equities	12%
MTUM iShares MSCI USA Momentum Factor ETF	Momentum, Large Cap Blend Equities	12%
TAIL Cambria Tail Risk ETF	Volatility Hedged Equity	9%
TIP iShares TIPS Bond ETF	Inflation-Protected Bonds	5%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in MPT 10/7, 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 6 months.

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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.50%	-0.93%	8.56%	8.85%	24.33%	19.37%	11.84%	13.61%
Portfolio MPT 10/7	0.33%	-0.98%	6.39%	6.72%	17.91%	14.51%	8.73%	—
Portfolio components:
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	0.03%	0.29%	1.60%	1.76%	3.85%	4.63%	3.43%	2.20%
DBMF iMGP DBi Managed Futures Strategy ETF	0.26%	-1.34%	10.27%	11.24%	26.94%	9.64%	8.01%	—
GLD SPDR Gold Shares	0.06%	-9.52%	-2.47%	-2.25%	22.21%	28.89%	17.08%	12.15%
MTUM iShares MSCI USA Momentum Factor ETF	1.69%	5.58%	29.72%	30.51%	42.02%	33.16%	14.96%	17.15%
QUAL iShares MSCI USA Quality Factor ETF	0.47%	2.14%	9.44%	9.29%	22.87%	19.30%	11.97%	14.46%
TAIL Cambria Tail Risk ETF	-0.60%	-0.32%	-5.78%	-6.25%	-8.88%	-4.93%	-8.40%	—
TIP iShares TIPS Bond ETF	0.01%	-0.11%	1.40%	1.42%	4.76%	4.00%	0.91%	2.53%

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

Monthly Returns

Based on dividend-adjusted daily data since May 8, 2019, MPT 10/7's average daily return is +0.04%, while the average monthly return is +0.78%. At this rate, an investment would double in approximately 7.4 years.

Historically, 70% of months were positive and 30% were negative. The best month was Sep 2025 with a return of +4.6%, while the worst month was Mar 2026 at -4.4%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 3 months.

On a daily basis, MPT 10/7 closed higher 58% of trading days. The best single day was Mar 24, 2020 with a return of +2.6%, while the worst single day was Jan 30, 2026 at -3.2%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.63%	3.77%	-4.35%	2.50%	1.85%	-0.91%							6.39%
2025	2.56%	0.14%	0.33%	2.30%	1.27%	1.51%	-0.12%	1.81%	4.61%	1.67%	1.51%	0.71%	19.82%
2024	1.25%	2.67%	3.54%	0.04%	1.53%	1.66%	0.35%	0.75%	2.00%	-0.49%	0.87%	-1.46%	13.34%
2023	1.05%	-1.86%	0.87%	0.91%	-0.78%	1.59%	0.97%	-0.23%	-1.19%	0.84%	1.47%	1.20%	4.87%
2022	-2.30%	1.19%	2.10%	-0.09%	-1.07%	-0.58%	0.27%	-1.12%	-1.24%	1.73%	0.73%	-0.55%	-1.02%
2021	-0.76%	-0.28%	0.51%	2.65%	1.95%	-0.83%	1.42%	0.10%	-1.87%	2.85%	-1.02%	0.83%	5.57%

Benchmark Metrics

MPT 10/7 has an annualized alpha of 6.37%, beta of 0.22, and R2 of 0.40 versus S&P 500 Index. Calculated based on daily prices since May 08, 2019.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (29.95%) than losses (11.50%) - typical of diversified or defensive assets.
Beta of 0.22 may look defensive, but with R2 of 0.40 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 0.40 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: 6.37%

Beta: 0.22

R²: 0.40

Upside Capture: 29.95%

Downside Capture: 11.50%

See how alpha, beta & R² have trended over time →

Expense Ratio

MPT 10/7 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.

DBMF

iMGP DBi Managed Futures Strategy ETF

TAIL

Cambria Tail Risk ETF

GLD

SPDR Gold Shares

TIP

iShares TIPS Bond ETF

QUAL

iShares MSCI USA Quality Factor ETF

MTUM

iShares MSCI USA Momentum Factor ETF

BIL

SPDR Bloomberg 1-3 Month T-Bill ETF

Return for Risk

Risk / Return Rank

MPT 10/7 ranks 53 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.

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

The table below presents risk-adjusted performance metrics for MPT 10/7 and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.98	1.86	+0.12
Sortino ratioReturn per unit of downside risk	2.55	2.53	+0.02
Omega ratioGain probability vs. loss probability	1.40	1.34	+0.06
Calmar ratioReturn relative to maximum drawdown	2.94	2.53	+0.41
Martin ratioReturn relative to average drawdown	10.56	11.37	-0.81

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
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	100	19.63	175.17	88.41	357.44	2,834.34
DBMF iMGP DBi Managed Futures Strategy ETF	82	2.22	2.92	1.47	4.50	16.30
GLD SPDR Gold Shares	25	0.87	1.24	1.18	0.98	2.81
MTUM iShares MSCI USA Momentum Factor ETF	71	1.96	2.62	1.36	3.55	13.66
QUAL iShares MSCI USA Quality Factor ETF	57	1.74	2.46	1.31	2.32	10.60
TAIL Cambria Tail Risk ETF	2	-1.00	-1.43	0.84	-0.78	-1.82
TIP iShares TIPS Bond ETF	46	1.37	2.11	1.24	2.34	7.00

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.

The current MPT 10/7 Sharpe ratio is 1.98 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.54 to 2.41, 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 MPT 10/7 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

MPT 10/7 provided a 2.67% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.67%	2.86%	3.02%	2.51%	2.88%	2.75%	0.61%	3.11%	1.03%	0.67%	0.50%	0.35%
Portfolio components:
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	3.86%	4.13%	5.03%	4.92%	1.35%	0.00%	0.30%	2.05%	1.66%	0.68%	0.07%	0.00%
DBMF iMGP DBi Managed Futures Strategy ETF	5.19%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	0.00%	0.00%	0.00%
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%
MTUM iShares MSCI USA Momentum Factor ETF	0.61%	0.91%	0.75%	1.35%	1.80%	0.55%	0.83%	1.48%	1.27%	1.02%	1.43%	1.12%
QUAL iShares MSCI USA Quality Factor ETF	0.87%	0.94%	1.02%	1.23%	1.59%	1.20%	1.39%	1.60%	2.00%	1.76%	1.96%	1.63%
TAIL Cambria Tail Risk ETF	3.48%	2.88%	3.48%	3.74%	1.50%	0.49%	0.36%	1.58%	1.52%	0.91%	0.00%	0.00%
TIP iShares TIPS Bond ETF	3.76%	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 MPT 10/7. 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 MPT 10/7 was 8.73%, occurring on Mar 20, 2020. Recovery took 70 trading sessions.

The current MPT 10/7 drawdown is 1.46%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-8.73%Mar 2020	25d	3mo 12d	4mo 7dFeb 2020 - Jun 2020
2026 pullback2026	-6.16%Mar 2026	23d	2mo 8d	3mo 1dMar 2026 - Jun 2026
Bear market2022	-5.16%Sep 2022	5mo 9d	1y 1mo	1y 7moApr 2022 - Nov 2023
2024 pullback2024	-4.67%Aug 2024	21d	1mo 13d	2mo 4dJul 2024 - Sep 2024
Bear market2022	-4.44%Jan 2022	2mo 11d	1mo 25d	4mo 6dNov 2021 - Mar 2022

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 7 assets, with an effective number of assets of 5.93, 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	1.45	1.72	1.96	1.85

The portfolio has a diversification ratio of 1.85, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.

MPT 10/7 correlation to the S&P 500 Index

MPT 10/7 has a 0.59 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	0.59
Correlation (3Y) Calculated over the trailing 3-year period	0.61
Correlation (5Y) Calculated over the trailing 5-year period	0.61
Correlation (All Time) Calculated using the full available price history since May 8, 2019	0.61

Benchmark Correlations

Correlation vs. S&P 500 Index. QUAL has the highest benchmark correlation at 0.97, while TAIL has the lowest at -0.68.

-0.68

-0.01

0.10

0.13

0.18

0.85

0.97

Portfolio Correlations

Correlation vs. MPT 10/7. MTUM has the highest portfolio correlation at 0.66, while TAIL has the lowest at -0.26.

-0.26

0.02

0.33

0.55

0.61

0.65

0.66

Asset Correlations Table

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

	BIL	TIP	DBMF	GLD	TAIL	MTUM	QUAL
BIL	1.00	-0.02	-0.02	0.03	0.02	0.01	0.00
TIP	-0.02	1.00	-0.09	0.39	0.34	0.12	0.14
DBMF	-0.02	-0.09	1.00	0.13	-0.23	0.21	0.16
GLD	0.03	0.39	0.13	1.00	0.14	0.12	0.10
TAIL	0.02	0.34	-0.23	0.14	1.00	-0.59	-0.64
MTUM	0.01	0.12	0.21	0.12	-0.59	1.00	0.82
QUAL	0.00	0.14	0.16	0.10	-0.64	0.82	1.00

The correlation results are calculated based on daily price changes starting from May 8, 2019

Diversification Analysis

Find what MPT 10/7 is missing

See which holdings overlap, where MPT 10/7 is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification