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Project IDEAL
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Project IDEAL

Currency in USD · Last updated May 16, 2025

Asset Allocation

TLTW 10%AGG 10%SGOV 10%GLDM 10%SCHD 20%SPMO 20%XMMO 5%XSMO 5%JEPI 5%VEA 5%AlternativesAlternativesBondBondCommodityCommodityEquityEquity
PositionCategory/SectorTarget Weight
AGG
iShares Core U.S. Aggregate Bond ETF		Total Bond Market
10%
GLDM
SPDR Gold MiniShares Trust		Precious Metals, Gold
10%
JEPI
JPMorgan Equity Premium Income ETF		Actively Managed, Dividend, Derivative Income
5%
SCHD
Schwab US Dividend Equity ETF		Large Cap Growth Equities, Dividend
20%
SGOV
iShares 0-3 Month Treasury Bond ETF		Government Bonds
10%
SPMO
Invesco S&P 500® Momentum ETF		Large Cap Growth Equities
20%
TLTW
iShares 20+ Year Treasury Bond BuyWrite Strategy ETF		Options Trading
10%
VEA
Vanguard FTSE Developed Markets ETF		Foreign Large Cap Equities
5%
XMMO
Invesco S&P MidCap Momentum ETF		Mid Cap Growth Equities
5%
XSMO
Invesco S&P SmallCap Momentum ETF		Small Cap Growth Equities
5%

Performance

Performance Chart

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The earliest data available for this chart is Aug 22, 2022, corresponding to the inception date of TLTW

Returns By Period

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		0.60%9.64%-0.54%11.47%15.67%10.79%
Project IDEAL5.40%5.63%3.74%12.71%N/AN/A
Portfolio components:
SCHD
Schwab US Dividend Equity ETF		-2.42%3.89%-6.83%2.69%13.79%10.54%
AGG
iShares Core U.S. Aggregate Bond ETF		2.03%0.11%1.90%4.30%-0.92%1.49%
TLTW
iShares 20+ Year Treasury Bond BuyWrite Strategy ETF		2.04%-0.40%0.55%3.03%N/AN/A
SPMO
Invesco S&P 500® Momentum ETF		10.31%15.55%10.03%29.33%22.45%N/A
XMMO
Invesco S&P MidCap Momentum ETF		1.20%12.50%-2.83%6.64%19.11%15.09%
XSMO
Invesco S&P SmallCap Momentum ETF		0.55%11.23%-5.75%8.55%17.41%10.75%
GLDM
SPDR Gold MiniShares Trust		23.10%0.00%25.86%35.25%13.01%N/A
SGOV
iShares 0-3 Month Treasury Bond ETF		1.55%0.33%2.16%4.83%N/AN/A
JEPI
JPMorgan Equity Premium Income ETF		-0.06%3.57%-2.52%5.64%N/AN/A
VEA
Vanguard FTSE Developed Markets ETF		14.24%8.07%12.77%9.59%12.69%5.69%
*Annualized

Monthly Returns

The table below presents the monthly returns of Project IDEAL, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20253.16%0.82%-1.25%-0.45%3.08%5.40%
20241.04%3.84%3.83%-3.23%3.43%1.64%3.19%1.96%1.71%-0.52%3.59%-3.65%17.74%
20233.10%-3.16%1.64%0.75%-2.72%3.50%2.03%-0.61%-2.99%-1.81%6.13%4.70%10.50%
2022-2.59%-5.93%6.09%5.06%-2.50%-0.43%

Expense Ratio

Project IDEAL has an expense ratio of 0.16%, 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.

XSMO
Invesco S&P SmallCap Momentum ETF
TLTW
iShares 20+ Year Treasury Bond BuyWrite Strategy ETF
JEPI
JPMorgan Equity Premium Income ETF
XMMO
Invesco S&P MidCap Momentum ETF
GLDM
SPDR Gold MiniShares Trust
SPMO
Invesco S&P 500® Momentum ETF
SCHD
Schwab US Dividend Equity ETF
AGG
iShares Core U.S. Aggregate Bond ETF
VEA
Vanguard FTSE Developed Markets ETF
SGOV
iShares 0-3 Month Treasury Bond ETF

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 83, Project IDEAL is among the top 17% of portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of Project IDEAL is 8383
Overall Rank
The Sharpe Ratio Rank of Project IDEAL is 8080
Sharpe Ratio Rank
The Sortino Ratio Rank of Project IDEAL is 8181
Sortino Ratio Rank
The Omega Ratio Rank of Project IDEAL is 8585
Omega Ratio Rank
The Calmar Ratio Rank of Project IDEAL is 8484
Calmar Ratio Rank
The Martin Ratio Rank of Project IDEAL is 8787
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SCHD
Schwab US Dividend Equity ETF		0.170.411.050.210.68
AGG
iShares Core U.S. Aggregate Bond ETF		0.811.431.171.092.49
TLTW
iShares 20+ Year Treasury Bond BuyWrite Strategy ETF		0.290.571.070.250.75
SPMO
Invesco S&P 500® Momentum ETF		1.181.861.271.625.84
XMMO
Invesco S&P MidCap Momentum ETF		0.270.691.090.371.09
XSMO
Invesco S&P SmallCap Momentum ETF		0.340.791.100.431.21
GLDM
SPDR Gold MiniShares Trust		2.002.871.374.7112.28
SGOV
iShares 0-3 Month Treasury Bond ETF		21.07475.39476.39486.757,726.96
JEPI
JPMorgan Equity Premium Income ETF		0.410.701.110.451.94
VEA
Vanguard FTSE Developed Markets ETF		0.561.051.140.852.57

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.

Project IDEAL Sharpe ratios as of May 16, 2025 (values are recalculated daily):

  • 1-Year: 1.11
  • All Time: 1.16

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 0.52 to 1.01, 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 Project IDEAL compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.

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Dividends

Dividend yield

Project IDEAL provided a 3.97% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio3.97%3.74%4.45%3.13%1.36%1.57%1.36%1.33%1.07%1.38%1.11%1.08%
Portfolio components:
SCHD
Schwab US Dividend Equity ETF		3.94%3.64%3.49%3.39%2.78%3.16%2.98%3.06%2.63%2.89%2.97%2.63%
AGG
iShares Core U.S. Aggregate Bond ETF		3.83%3.74%3.13%2.39%1.77%2.14%2.70%2.96%2.32%2.39%2.45%2.40%
TLTW
iShares 20+ Year Treasury Bond BuyWrite Strategy ETF		16.22%14.47%19.59%8.71%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPMO
Invesco S&P 500® Momentum ETF		0.49%0.48%1.63%1.66%0.52%1.27%1.39%1.05%0.77%1.94%0.36%0.00%
XMMO
Invesco S&P MidCap Momentum ETF		0.49%0.34%0.80%1.43%0.41%0.61%0.60%0.19%0.21%0.22%0.64%1.24%
XSMO
Invesco S&P SmallCap Momentum ETF		0.83%0.63%0.96%1.19%0.30%0.82%0.69%0.65%0.28%0.30%0.35%1.31%
GLDM
SPDR Gold MiniShares 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%
SGOV
iShares 0-3 Month Treasury Bond ETF		4.70%5.10%4.87%1.45%0.03%0.05%0.00%0.00%0.00%0.00%0.00%0.00%
JEPI
JPMorgan Equity Premium Income ETF		8.03%7.33%8.40%11.68%6.59%5.79%0.00%0.00%0.00%0.00%0.00%0.00%
VEA
Vanguard FTSE Developed Markets ETF		2.87%3.35%3.15%2.91%3.16%2.04%3.04%3.35%2.77%3.05%2.92%3.68%

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 Project IDEAL. 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 Project IDEAL was 9.73%, occurring on Sep 27, 2022. Recovery took 40 trading sessions.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-9.73%Aug 26, 202222Sep 27, 202240Nov 22, 202262
-9.53%Feb 20, 202534Apr 8, 202524May 13, 202558
-6.03%Aug 1, 202363Oct 27, 202318Nov 22, 202381
-4.99%Feb 2, 202329Mar 15, 202382Jul 13, 2023111
-4.27%Jul 17, 202416Aug 7, 20247Aug 16, 202423

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 10 assets, with an effective number of assets of 7.69, 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.
^GSPCSGOVGLDMTLTWAGGSPMOSCHDXSMOJEPIVEAXMMOPortfolio
^GSPC1.000.020.150.170.220.830.730.780.820.760.810.87
SGOV0.021.00-0.020.050.06-0.00-0.00-0.04-0.02-0.02-0.02-0.00
GLDM0.15-0.021.000.270.370.110.140.150.140.380.150.36
TLTW0.170.050.271.000.890.080.190.160.190.260.150.36
AGG0.220.060.370.891.000.120.220.190.230.330.180.41
SPMO0.83-0.000.110.080.121.000.570.710.710.620.780.83
SCHD0.73-0.000.140.190.220.571.000.750.840.680.720.82
XSMO0.78-0.040.150.160.190.710.751.000.730.710.910.85
JEPI0.82-0.020.140.190.230.710.840.731.000.690.760.85
VEA0.76-0.020.380.260.330.620.680.710.691.000.700.82
XMMO0.81-0.020.150.150.180.780.720.910.760.701.000.87
Portfolio0.87-0.000.360.360.410.830.820.850.850.820.871.00
The correlation results are calculated based on daily price changes starting from Aug 23, 2022