Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in safe haven, 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 Sep 8, 2022, corresponding to the inception date of IDVO
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -2.33% | -3.84% | -1.98% | 29.73% | 16.86% | 10.37% | 12.29% |
Portfolio safe haven | -0.21% | 1.17% | 6.91% | 13.21% | 51.29% | 21.76% | — | — |
| Portfolio components: | ||||||||
VLUE iShares Edge MSCI USA Value Factor ETF | 0.32% | 0.89% | 6.67% | 15.16% | 54.95% | 18.92% | 9.91% | 11.92% |
OPPJ WisdomTree Japan Opportunities ETF | -0.75% | 4.78% | 19.60% | 32.32% | 81.20% | 35.17% | 23.43% | 16.88% |
IXUS iShares Core MSCI Total International Stock ETF | -0.59% | -0.59% | 2.89% | 5.69% | 39.56% | 15.46% | 7.33% | 9.00% |
FVAL Fidelity Value Factor ETF | 0.11% | -2.10% | -2.89% | 1.53% | 31.52% | 16.83% | 10.98% | — |
IDVO Amplify International Enhanced Dividend Income ETF | -0.15% | 2.35% | 8.23% | 12.18% | 51.44% | 21.50% | — | — |
Monthly Returns
Based on dividend-adjusted daily data since Sep 9, 2022, safe haven's average daily return is +0.08%, while the average monthly return is +1.62%. At this rate, your investment would double in approximately 3.6 years.
Historically, 68% of months were positive and 32% were negative. The best month was Nov 2022 with a return of +7.9%, while the worst month was Sep 2022 at -7.7%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, safe haven closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +7.4%, while the worst single day was Apr 4, 2025 at -5.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 7.05% | 4.50% | -5.62% | 1.27% | 6.91% | ||||||||
| 2025 | 3.08% | 0.60% | -1.10% | -0.33% | 4.55% | 4.38% | -0.01% | 5.69% | 4.14% | 2.76% | 1.91% | 2.41% | 31.67% |
| 2024 | 0.47% | 3.29% | 4.31% | -2.61% | 3.38% | 0.15% | 2.16% | 0.06% | 1.69% | -1.32% | 3.07% | -2.55% | 12.46% |
| 2023 | 7.41% | -2.66% | 1.58% | 1.00% | -2.39% | 6.98% | 3.77% | -2.17% | -2.15% | -2.11% | 7.30% | 4.29% | 21.90% |
| 2022 | -7.71% | 6.87% | 7.91% | -4.23% | 1.92% |
Benchmark Metrics
safe haven has an annualized alpha of 8.34%, beta of 0.79, and R² of 0.79 versus S&P 500 Index. Calculated based on daily prices since September 09, 2022.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (94.04%) than losses (59.89%) — typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 8.34% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Alpha
- 8.34%
- Beta
- 0.79
- R²
- 0.79
- Upside Capture
- 94.04%
- Downside Capture
- 59.89%
Expense Ratio
safe haven has an expense ratio of 0.32%, 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.
Return for Risk
Risk / Return Rank
safe haven ranks 89 for risk / return — in the top 89% 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 | 2.18 | 0.88 | +1.30 |
Sortino ratioReturn per unit of downside risk | 2.91 | 1.37 | +1.54 |
Omega ratioGain probability vs. loss probability | 1.45 | 1.21 | +0.24 |
Calmar ratioReturn relative to maximum drawdown | 3.16 | 1.39 | +1.77 |
Martin ratioReturn relative to average drawdown | 14.00 | 6.43 | +7.57 |
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 | |
|---|---|---|---|---|---|---|
VLUE iShares Edge MSCI USA Value Factor ETF | 88 | 1.97 | 2.64 | 1.38 | 3.08 | 13.28 |
OPPJ WisdomTree Japan Opportunities ETF | 97 | 3.04 | 3.77 | 1.52 | 5.72 | 22.90 |
IXUS iShares Core MSCI Total International Stock ETF | 79 | 1.63 | 2.26 | 1.34 | 2.52 | 9.49 |
FVAL Fidelity Value Factor ETF | 55 | 1.02 | 1.58 | 1.24 | 1.59 | 7.07 |
IDVO Amplify International Enhanced Dividend Income ETF | 87 | 1.99 | 2.61 | 1.40 | 2.92 | 12.55 |
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Dividends
Dividend yield
safe haven provided a 2.77% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.77% | 2.83% | 3.56% | 3.18% | 2.41% | 1.94% | 1.78% | 1.93% | 1.97% | 1.54% | 1.35% | 1.76% |
| Portfolio components: | ||||||||||||
VLUE iShares Edge MSCI USA Value Factor ETF | 1.96% | 2.11% | 2.73% | 2.66% | 3.18% | 2.22% | 2.42% | 2.61% | 2.70% | 2.14% | 2.07% | 2.39% |
OPPJ WisdomTree Japan Opportunities ETF | 1.59% | 1.78% | 4.02% | 2.71% | 2.63% | 2.96% | 3.04% | 2.17% | 2.06% | 1.53% | 1.66% | 3.61% |
IXUS iShares Core MSCI Total International Stock ETF | 3.15% | 3.24% | 3.33% | 3.13% | 2.48% | 3.12% | 1.85% | 3.09% | 3.00% | 2.41% | 2.58% | 2.81% |
FVAL Fidelity Value Factor ETF | 1.70% | 1.61% | 1.60% | 1.69% | 1.79% | 1.41% | 1.61% | 1.77% | 2.06% | 1.62% | 0.45% | 0.00% |
IDVO Amplify International Enhanced Dividend Income ETF | 5.48% | 5.42% | 6.14% | 5.72% | 1.96% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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 safe haven. 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 safe haven was 14.70%, occurring on Apr 8, 2025. Recovery took 26 trading sessions.
The current safe haven drawdown is 5.20%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -14.7% | Feb 19, 2025 | 35 | Apr 8, 2025 | 26 | May 15, 2025 | 61 |
| -10.27% | Sep 13, 2022 | 11 | Sep 27, 2022 | 32 | Nov 10, 2022 | 43 |
| -9.86% | Jul 17, 2024 | 14 | Aug 5, 2024 | 37 | Sep 26, 2024 | 51 |
| -9.09% | Feb 26, 2026 | 23 | Mar 30, 2026 | — | — | — |
| -7.82% | Aug 1, 2023 | 63 | Oct 27, 2023 | 22 | Nov 29, 2023 | 85 |
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 5 assets, with an effective number of assets of 5.00, 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 | OPPJ | IDVO | VLUE | IXUS | FVAL | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.42 | 0.72 | 0.81 | 0.76 | 0.95 | 0.85 |
| OPPJ | 0.42 | 1.00 | 0.45 | 0.42 | 0.50 | 0.42 | 0.67 |
| IDVO | 0.72 | 0.45 | 1.00 | 0.70 | 0.89 | 0.71 | 0.87 |
| VLUE | 0.81 | 0.42 | 0.70 | 1.00 | 0.74 | 0.88 | 0.88 |
| IXUS | 0.76 | 0.50 | 0.89 | 0.74 | 1.00 | 0.76 | 0.91 |
| FVAL | 0.95 | 0.42 | 0.71 | 0.88 | 0.76 | 1.00 | 0.88 |
| Portfolio | 0.85 | 0.67 | 0.87 | 0.88 | 0.91 | 0.88 | 1.00 |