AI Risk Analysis

Asset Allocation

Position	Category/Sector	Target Weight
BND Vanguard Total Bond Market ETF	Total Bond Market	7%
DBC Invesco DB Commodity Index Tracking Fund	Commodities	3.10%
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF	Corporate Bonds	3.52%
O Realty Income Corporation	Real Estate	1.63%
SCHD Schwab U.S. Dividend Equity ETF	Dividend	1.25%
SPLV Invesco S&P 500 Low Volatility ETF	S&P 500, Large Cap Value Equities	1.55%
SPMO Invesco S&P 500 Momentum ETF	S&P 500	1.02%
TIP iShares TIPS Bond ETF	Inflation-Protected Bonds	6.90%
TSM Taiwan Semiconductor Manufacturing Company Limited	Technology	0.87%
USMV iShares MSCI USA Minimum Volatility Factor ETF	Large Cap Blend Equities	1.51%
VIG Vanguard Dividend Appreciation ETF	Dividend	1.23%
VNQ Vanguard Real Estate ETF	REIT	1.12%
VTI Vanguard Total Stock Market ETF	Large Cap Blend Equities	1.07%
VUSXX Vanguard Treasury Money Market Fund	Money Market	62.74%
VYM Vanguard High Dividend Yield ETF	Dividend	1.23%
XLK State Street Technology Select Sector SPDR ETF	Technology Equities	0.92%
XLP State Street Consumer Staples Select Sector SPDR ETF	Consumer Staples Equities	1.90%
XLU Utilities Select Sector SPDR Fund	Utilities Equities	1.43%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in AI Risk Analysis , 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 May 25, 2021, corresponding to the inception date of VUSXX

Returns By Period

	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 AI Risk Analysis	0.20%	-0.22%	2.11%	2.81%	8.38%	4.92%	—	—
Portfolio components:
SPLV Invesco S&P 500 Low Volatility ETF	0.79%	-2.81%	4.06%	2.36%	7.88%	7.95%	7.05%	8.48%
USMV iShares MSCI USA Minimum Volatility Factor ETF	0.74%	-3.17%	-0.44%	-1.07%	8.75%	10.38%	7.75%	9.74%
VIG Vanguard Dividend Appreciation ETF	0.16%	-2.95%	-1.33%	-0.02%	23.99%	13.72%	9.86%	12.36%
SCHD Schwab U.S. Dividend Equity ETF	0.16%	-1.41%	12.35%	13.59%	25.56%	11.70%	8.35%	12.30%
XLP State Street Consumer Staples Select Sector SPDR ETF	0.53%	-3.58%	6.01%	6.38%	7.26%	5.77%	6.56%	7.15%
XLU Utilities Select Sector SPDR Fund	0.50%	-0.50%	9.31%	5.76%	27.89%	14.75%	11.01%	9.89%
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF	0.42%	-0.87%	0.15%	0.05%	4.94%	4.23%	0.20%	2.67%
BND Vanguard Total Bond Market ETF	0.22%	-0.69%	0.31%	0.97%	3.65%	3.53%	0.30%	1.70%
TIP iShares TIPS Bond ETF	0.41%	-0.37%	0.82%	0.71%	3.04%	3.06%	1.33%	2.52%
VNQ Vanguard Real Estate ETF	1.36%	-3.58%	3.06%	0.66%	11.42%	7.33%	3.14%	4.85%

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

Monthly Returns

Based on dividend-adjusted daily data since May 26, 2021, AI Risk Analysis 's average daily return is +0.01%, while the average monthly return is +0.25%. At this rate, your investment would double in approximately 23.1 years.

Historically, 65% of months were positive and 35% were negative. The best month was Nov 2023 with a return of +2.1%, while the worst month was Sep 2022 at -2.9%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.

On a daily basis, AI Risk Analysis closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +1.2%, while the worst single day was Apr 4, 2025 at -1.0%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	1.23%	1.41%	-0.78%	0.25%									2.11%
2025	0.91%	0.84%	-0.07%	-0.22%	0.80%	1.14%	0.44%	0.73%	0.90%	0.27%	0.56%	-0.06%	6.41%
2024	0.13%	0.25%	0.95%	-0.85%	1.25%	0.41%	0.90%	0.93%	0.90%	-0.58%	1.00%	-0.83%	4.51%
2023	1.25%	-1.22%	0.92%	0.19%	-0.88%	0.78%	0.64%	-0.68%	-0.95%	-0.59%	2.05%	1.34%	2.82%
2022	-0.83%	-0.39%	0.57%	-1.21%	0.22%	-1.63%	1.64%	-1.20%	-2.88%	1.34%	1.85%	-0.93%	-3.50%
2021					0.05%	0.43%	0.82%	0.33%	-0.95%	1.25%	-0.42%	1.39%	2.90%

Benchmark Metrics

AI Risk Analysis has an annualized alpha of 1.59%, beta of 0.14, and R² of 0.64 versus S&P 500 Index. Calculated based on daily prices since May 26, 2021.

This portfolio participated in 21.12% of S&P 500 Index downside but only 19.27% of its upside — more exposed to losses than it benefited from rallies.
Beta of 0.14 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: 1.59%

Beta: 0.14

R²: 0.64

Upside Capture: 19.27%

Downside Capture: 21.12%

Expense Ratio

AI Risk Analysis has an expense ratio of 0.11%, 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.

Top 10 holdings

DBC

Invesco DB Commodity Index Tracking Fund

SPLV

Invesco S&P 500 Low Volatility ETF

TIP

iShares TIPS Bond ETF

USMV

iShares MSCI USA Minimum Volatility Factor ETF

LQD

iShares iBoxx $ Investment Grade Corporate Bond ETF

XLU

Utilities Select Sector SPDR Fund

VNQ

Vanguard Real Estate ETF

SPMO

Invesco S&P 500 Momentum ETF

XLP

State Street Consumer Staples Select Sector SPDR ETF

VUSXX

Vanguard Treasury Money Market Fund

Return for Risk

Risk / Return Rank

AI Risk Analysis ranks 91 for risk / return — in the top 91% 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.

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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	2.40	0.88	+1.52
Sortino ratio Return per unit of downside risk	3.45	1.37	+2.08
Omega ratio Gain probability vs. loss probability	1.56	1.21	+0.35
Calmar ratio Return relative to maximum drawdown	2.84	1.39	+1.45
Martin ratio Return relative to average drawdown	15.29	6.43	+8.85
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
SPLV Invesco S&P 500 Low Volatility ETF	12	0.08	0.19	1.03	0.12	0.37
USMV iShares MSCI USA Minimum Volatility Factor ETF	13	0.09	0.21	1.03	0.15	0.65
VIG Vanguard Dividend Appreciation ETF	42	0.84	1.28	1.19	1.24	5.41
SCHD Schwab U.S. Dividend Equity ETF	40	0.89	1.34	1.19	1.09	3.69
XLP State Street Consumer Staples Select Sector SPDR ETF	15	0.23	0.43	1.05	0.30	0.71
XLU Utilities Select Sector SPDR Fund	61	1.27	1.73	1.24	2.24	5.38
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF	35	0.73	1.03	1.14	1.50	4.10
BND Vanguard Total Bond Market ETF	47	1.00	1.42	1.18	1.71	4.64
TIP iShares TIPS Bond ETF	34	0.80	1.11	1.14	1.16	3.36
VNQ Vanguard Real Estate ETF	15	0.18	0.36	1.05	0.29	1.11

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.

AI Risk Analysis Sharpe ratios as of Apr 4, 2026 (values are recalculated daily):

1-Year: 2.40
All Time: 1.04

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 0.99 to 1.69, 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 AI Risk Analysis 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

AI Risk Analysis provided a 3.42% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.42%	3.80%	2.19%	1.42%	1.23%	0.87%	0.76%	0.90%	1.03%	0.86%	0.86%	0.78%
Portfolio components:
SPLV Invesco S&P 500 Low Volatility ETF	2.10%	2.04%	1.88%	2.45%	2.11%	1.51%	2.12%	2.08%	2.18%	2.03%	2.03%	2.28%
USMV iShares MSCI USA Minimum Volatility Factor ETF	1.57%	1.49%	1.67%	1.82%	1.62%	1.26%	1.81%	1.88%	2.12%	1.77%	2.22%	2.02%
VIG Vanguard Dividend Appreciation ETF	1.60%	1.62%	1.73%	1.88%	1.96%	1.55%	1.63%	1.71%	2.08%	1.88%	2.14%	2.34%
SCHD Schwab U.S. Dividend Equity ETF	3.45%	3.82%	3.64%	3.49%	3.39%	2.78%	3.16%	2.98%	3.06%	2.63%	2.89%	2.97%
XLP State Street Consumer Staples Select Sector SPDR ETF	2.66%	2.75%	2.77%	2.63%	2.47%	2.28%	2.50%	2.57%	3.04%	2.62%	2.53%	2.52%
XLU Utilities Select Sector SPDR Fund	2.57%	2.71%	2.96%	3.39%	2.92%	2.79%	3.14%	2.95%	3.33%	3.33%	3.41%	3.67%
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF	4.54%	4.48%	4.45%	3.99%	3.30%	2.30%	2.66%	3.29%	3.67%	3.10%	3.34%	3.47%
BND Vanguard Total Bond Market ETF	3.92%	3.86%	3.67%	3.09%	2.60%	2.12%	2.38%	2.72%	2.81%	2.54%	2.51%	2.57%
TIP iShares TIPS Bond ETF	2.79%	3.46%	2.52%	2.73%	6.96%	4.28%	1.17%	1.75%	2.71%	2.07%	1.48%	0.34%
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%

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 Risk Analysis . 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 Risk Analysis was 5.75%, occurring on Oct 14, 2022. Recovery took 348 trading sessions.

The current AI Risk Analysis drawdown is 0.53%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-5.75%	Jan 5, 2022	196	Oct 14, 2022	348	Mar 6, 2024	544
-2.39%	Apr 3, 2025	4	Apr 8, 2025	26	May 15, 2025	30
-1.34%	Dec 2, 2024	14	Dec 19, 2024	27	Jan 31, 2025	41
-1.16%	Mar 3, 2026	19	Mar 27, 2026	—	—	—
-1.15%	Sep 3, 2021	19	Sep 30, 2021	16	Oct 22, 2021	35

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 18 assets, with an effective number of assets of 2.45, 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

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

	Benchmark	VUSXX	DBC	TIP	BND	TSM	LQD	O	XLU	XLP	XLK	SPMO	SPLV	VNQ	SCHD	VTI	VYM	USMV	VIG	Portfolio
Benchmark	1.00	0.00	0.18	0.17	0.17	0.62	0.31	0.32	0.39	0.44	0.91	0.86	0.55	0.61	0.71	0.99	0.80	0.77	0.90	0.74
VUSXX	0.00	1.00	-0.04	0.03	0.01	-0.03	-0.02	0.09	0.03	0.07	-0.02	-0.02	0.06	0.04	0.05	-0.00	0.03	0.05	0.03	0.17
DBC	0.18	-0.04	1.00	0.10	-0.08	0.15	-0.03	0.06	0.09	0.05	0.13	0.22	0.07	0.09	0.24	0.19	0.26	0.10	0.15	0.32
TIP	0.17	0.03	0.10	1.00	0.81	0.04	0.77	0.28	0.26	0.21	0.13	0.11	0.26	0.32	0.18	0.18	0.17	0.25	0.20	0.55
BND	0.17	0.01	-0.08	0.81	1.00	0.05	0.95	0.28	0.28	0.23	0.13	0.09	0.26	0.34	0.15	0.17	0.14	0.25	0.20	0.52
TSM	0.62	-0.03	0.15	0.04	0.05	1.00	0.16	0.08	0.10	0.07	0.70	0.60	0.10	0.28	0.33	0.62	0.41	0.31	0.48	0.44
LQD	0.31	-0.02	-0.03	0.77	0.95	0.16	1.00	0.32	0.33	0.28	0.26	0.21	0.33	0.42	0.27	0.31	0.27	0.35	0.33	0.61
O	0.32	0.09	0.06	0.28	0.28	0.08	0.32	1.00	0.54	0.52	0.18	0.23	0.62	0.74	0.52	0.33	0.48	0.53	0.45	0.60
XLU	0.39	0.03	0.09	0.26	0.28	0.10	0.33	0.54	1.00	0.58	0.22	0.32	0.75	0.60	0.51	0.38	0.55	0.61	0.51	0.62
XLP	0.44	0.07	0.05	0.21	0.23	0.07	0.28	0.52	0.58	1.00	0.24	0.33	0.82	0.57	0.66	0.42	0.63	0.72	0.63	0.62
XLK	0.91	-0.02	0.13	0.13	0.13	0.70	0.26	0.18	0.22	0.24	1.00	0.79	0.32	0.44	0.50	0.90	0.58	0.60	0.75	0.60
SPMO	0.86	-0.02	0.22	0.11	0.09	0.60	0.21	0.23	0.32	0.33	0.79	1.00	0.45	0.47	0.57	0.85	0.71	0.65	0.77	0.63
SPLV	0.55	0.06	0.07	0.26	0.26	0.10	0.33	0.62	0.75	0.82	0.32	0.45	1.00	0.74	0.77	0.54	0.76	0.88	0.76	0.73
VNQ	0.61	0.04	0.09	0.32	0.34	0.28	0.42	0.74	0.60	0.57	0.44	0.47	0.74	1.00	0.71	0.63	0.70	0.73	0.70	0.77
SCHD	0.71	0.05	0.24	0.18	0.15	0.33	0.27	0.52	0.51	0.66	0.50	0.57	0.77	0.71	1.00	0.73	0.93	0.81	0.85	0.75
VTI	0.99	-0.00	0.19	0.18	0.17	0.62	0.31	0.33	0.38	0.42	0.90	0.85	0.54	0.63	0.73	1.00	0.81	0.77	0.90	0.75
VYM	0.80	0.03	0.26	0.17	0.14	0.41	0.27	0.48	0.55	0.63	0.58	0.71	0.76	0.70	0.93	0.81	1.00	0.82	0.92	0.79
USMV	0.77	0.05	0.10	0.25	0.25	0.31	0.35	0.53	0.61	0.72	0.60	0.65	0.88	0.73	0.81	0.77	0.82	1.00	0.90	0.79
VIG	0.90	0.03	0.15	0.20	0.20	0.48	0.33	0.45	0.51	0.63	0.75	0.77	0.76	0.70	0.85	0.90	0.92	0.90	1.00	0.81
Portfolio	0.74	0.17	0.32	0.55	0.52	0.44	0.61	0.60	0.62	0.62	0.60	0.63	0.73	0.77	0.75	0.75	0.79	0.79	0.81	1.00

The correlation results are calculated based on daily price changes starting from May 26, 2021

AI Risk Analysis

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Top 10 holdings

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table