Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in AI Conservative 2 - Maximize Calmar, 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 Oct 16, 2012, corresponding to the inception date of VTIP
Returns By Period
As of Apr 7, 2026, the AI Conservative 2 - Maximize Calmar returned 4.95% Year-To-Date and 5.33% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.44% | -1.90% | -3.41% | -1.91% | 30.31% | 17.22% | 10.14% | 12.44% |
Portfolio AI Conservative 2 - Maximize Calmar | 0.04% | 0.85% | 4.95% | 5.48% | 12.82% | 7.71% | 5.41% | 5.33% |
| Portfolio components: | ||||||||
VGSH Vanguard Short-Term Treasury ETF | -0.12% | -0.28% | 0.22% | 1.22% | 3.22% | 3.82% | 1.78% | 1.72% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 0.01% | 0.05% | 1.12% | 1.44% | 3.85% | 4.57% | 3.50% | 3.07% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | -0.16% | -0.69% | -0.01% | 0.22% | 4.78% | 4.05% | 0.17% | 2.62% |
VIG Vanguard Dividend Appreciation ETF | 0.37% | -1.74% | -0.96% | 0.35% | 24.45% | 14.01% | 9.72% | 12.47% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 0.21% | 12.45% | 45.36% | 45.93% | 59.39% | 17.58% | 19.05% | 9.16% |
VNQ Vanguard Real Estate ETF | 0.14% | -2.38% | 3.20% | 1.76% | 11.58% | 7.38% | 3.02% | 4.91% |
SHV iShares Short Treasury Bond ETF | 0.01% | 0.27% | 0.87% | 1.82% | 3.97% | 4.67% | 3.20% | 2.17% |
Monthly Returns
Based on dividend-adjusted daily data since Oct 17, 2012, AI Conservative 2 - Maximize Calmar's average daily return is +0.02%, while the average monthly return is +0.36%. At this rate, your investment would double in approximately 16.1 years.
Historically, 66% of months were positive and 34% were negative. The best month was Nov 2020 with a return of +4.4%, while the worst month was Mar 2020 at -6.9%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, AI Conservative 2 - Maximize Calmar closed higher 55% of trading days. The best single day was Mar 13, 2020 with a return of +3.1%, while the worst single day was Mar 16, 2020 at -4.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.82% | 1.41% | 0.87% | 0.77% | 4.95% | ||||||||
| 2025 | 1.39% | 1.07% | -0.39% | -1.02% | 0.75% | 1.62% | 0.50% | 1.36% | 0.86% | 0.09% | 0.97% | -0.46% | 6.93% |
| 2024 | 0.26% | 0.37% | 1.52% | -1.91% | 1.51% | 0.85% | 2.01% | 1.49% | 1.27% | -1.18% | 1.60% | -1.48% | 6.37% |
| 2023 | 2.59% | -2.34% | 1.39% | 0.46% | -1.91% | 1.94% | 1.84% | -0.58% | -1.49% | -1.14% | 3.50% | 2.66% | 6.90% |
| 2022 | -1.33% | 0.06% | 1.24% | -1.88% | 0.65% | -3.42% | 2.95% | -2.61% | -5.06% | 2.54% | 2.83% | -1.55% | -5.78% |
| 2021 | -0.13% | 1.36% | 1.06% | 2.54% | 0.87% | 0.97% | 1.57% | 0.18% | -1.05% | 2.47% | -1.55% | 2.73% | 11.47% |
Benchmark Metrics
AI Conservative 2 - Maximize Calmar has an annualized alpha of 0.99%, beta of 0.26, and R² of 0.64 versus S&P 500 Index. Calculated based on daily prices since October 17, 2012.
- This portfolio participated in 36.83% of S&P 500 Index downside but only 30.13% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.26 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
- 0.99%
- Beta
- 0.26
- R²
- 0.64
- Upside Capture
- 30.13%
- Downside Capture
- 36.83%
Expense Ratio
AI Conservative 2 - Maximize Calmar has an expense ratio of 0.14%, 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
AI Conservative 2 - Maximize Calmar ranks 90 for risk / return — in the top 90% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.81 | 1.84 | +0.97 |
Sortino ratioReturn per unit of downside risk | 4.37 | 2.97 | +1.40 |
Omega ratioGain probability vs. loss probability | 1.64 | 1.40 | +0.24 |
Calmar ratioReturn relative to maximum drawdown | 2.83 | 1.82 | +1.01 |
Martin ratioReturn relative to average drawdown | 16.55 | 7.76 | +8.79 |
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 | |
|---|---|---|---|---|---|---|
VGSH Vanguard Short-Term Treasury ETF | 94 | 2.33 | 3.60 | 1.48 | 4.18 | 15.53 |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 92 | 2.16 | 3.17 | 1.45 | 4.25 | 13.63 |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 34 | 0.73 | 1.03 | 1.14 | 1.38 | 3.76 |
VIG Vanguard Dividend Appreciation ETF | 74 | 1.80 | 2.97 | 1.37 | 1.66 | 6.34 |
GSG iShares S&P GSCI Commodity-Indexed Trust | 95 | 2.89 | 3.87 | 1.51 | 5.71 | 13.99 |
VNQ Vanguard Real Estate ETF | 28 | 0.76 | 1.17 | 1.15 | 0.33 | 1.11 |
SHV iShares Short Treasury Bond ETF | 100 | 19.58 | 152.33 | 54.64 | 443.15 | 2,490.75 |
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Dividends
Dividend yield
AI Conservative 2 - Maximize Calmar provided a 3.21% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.21% | 3.27% | 3.15% | 2.91% | 2.90% | 1.94% | 1.75% | 2.16% | 2.36% | 1.79% | 1.68% | 1.44% |
| Portfolio components: | ||||||||||||
VGSH Vanguard Short-Term Treasury ETF | 3.93% | 4.00% | 4.18% | 3.31% | 1.15% | 0.66% | 1.74% | 2.28% | 1.79% | 1.10% | 0.84% | 0.69% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.62% | 3.81% | 2.70% | 2.86% | 6.84% | 4.68% | 1.20% | 1.95% | 2.45% | 1.52% | 0.76% | 0.00% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 4.55% | 4.48% | 4.45% | 3.99% | 3.30% | 2.30% | 2.66% | 3.29% | 3.67% | 3.10% | 3.34% | 3.47% |
VIG Vanguard Dividend Appreciation ETF | 1.59% | 1.62% | 1.73% | 1.88% | 1.96% | 1.55% | 1.63% | 1.71% | 2.08% | 1.88% | 2.14% | 2.34% |
GSG iShares S&P GSCI Commodity-Indexed 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% |
VNQ Vanguard Real Estate ETF | 3.86% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
SHV iShares Short Treasury Bond ETF | 3.93% | 4.09% | 5.02% | 4.73% | 1.39% | 0.00% | 0.74% | 2.19% | 1.66% | 0.72% | 0.34% | 0.03% |
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 AI Conservative 2 - Maximize Calmar. 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 AI Conservative 2 - Maximize Calmar was 14.57%, occurring on Mar 20, 2020. Recovery took 163 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -14.57% | Feb 21, 2020 | 21 | Mar 20, 2020 | 163 | Nov 10, 2020 | 184 |
| -10.24% | Mar 7, 2022 | 142 | Sep 27, 2022 | 314 | Dec 27, 2023 | 456 |
| -8.79% | Jun 30, 2014 | 393 | Jan 20, 2016 | 268 | Feb 10, 2017 | 661 |
| -5.95% | Oct 3, 2018 | 57 | Dec 24, 2018 | 36 | Feb 15, 2019 | 93 |
| -4.58% | Mar 3, 2025 | 27 | Apr 8, 2025 | 43 | Jun 10, 2025 | 70 |
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 5.88, 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
| Benchmark | SHV | GSG | VGSH | VTIP | LQD | VNQ | VIG | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | -0.03 | 0.27 | -0.12 | 0.07 | 0.14 | 0.59 | 0.92 | 0.72 |
| SHV | -0.03 | 1.00 | -0.02 | 0.27 | 0.17 | 0.15 | 0.03 | -0.01 | 0.07 |
| GSG | 0.27 | -0.02 | 1.00 | -0.11 | 0.23 | -0.04 | 0.11 | 0.22 | 0.55 |
| VGSH | -0.12 | 0.27 | -0.11 | 1.00 | 0.56 | 0.57 | 0.12 | -0.08 | 0.19 |
| VTIP | 0.07 | 0.17 | 0.23 | 0.56 | 1.00 | 0.49 | 0.20 | 0.07 | 0.42 |
| LQD | 0.14 | 0.15 | -0.04 | 0.57 | 0.49 | 1.00 | 0.31 | 0.15 | 0.43 |
| VNQ | 0.59 | 0.03 | 0.11 | 0.12 | 0.20 | 0.31 | 1.00 | 0.64 | 0.74 |
| VIG | 0.92 | -0.01 | 0.22 | -0.08 | 0.07 | 0.15 | 0.64 | 1.00 | 0.75 |
| Portfolio | 0.72 | 0.07 | 0.55 | 0.19 | 0.42 | 0.43 | 0.74 | 0.75 | 1.00 |