Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Portfolio 30, 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 Jan 16, 2020, corresponding to the inception date of GARP
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.11% | 2.16% | -0.42% | 4.03% | 27.10% | 18.38% | 10.55% | 12.70% |
Portfolio Portfolio 30 | 0.27% | 4.46% | 8.16% | 14.02% | 58.95% | 31.59% | 18.24% | — |
| Portfolio components: | ||||||||
QQQ Invesco QQQ ETF | 0.14% | 2.44% | -0.40% | 3.92% | 35.13% | 25.34% | 13.31% | 19.62% |
XMMO Invesco S&P MidCap Momentum ETF | 0.89% | 8.93% | 12.62% | 17.73% | 44.08% | 28.21% | 13.76% | 19.17% |
XME SPDR S&P Metals & Mining ETF | 0.75% | 0.73% | 9.67% | 12.78% | 112.00% | 30.17% | 24.66% | 19.43% |
XAR SPDR S&P Aerospace & Defense ETF | -0.49% | -0.26% | 11.06% | 12.19% | 65.55% | 32.54% | 16.50% | 18.60% |
IVLU iShares MSCI Intl Value Factor ETF | 0.05% | 5.69% | 9.28% | 22.02% | 50.38% | 23.54% | 14.75% | 10.83% |
AIRR First Trust RBA American Industrial Renaissance ETF | -0.24% | 10.20% | 22.47% | 28.01% | 79.62% | 38.10% | 24.05% | 21.49% |
SMH VanEck Semiconductor ETF | 1.53% | 12.56% | 21.31% | 34.70% | 117.69% | 51.47% | 28.60% | 33.21% |
GARP iShares MSCI USA Quality GARP ETF | 0.09% | 2.80% | -0.07% | 5.46% | 39.15% | 28.18% | 15.82% | — |
XLC Communication Services Select Sector SPDR Fund | -0.28% | -0.83% | -2.89% | 1.67% | 26.40% | 26.15% | 9.28% | — |
Monthly Returns
Based on dividend-adjusted daily data since Jan 17, 2020, Portfolio 30's average daily return is +0.09%, while the average monthly return is +1.73%. At this rate, an investment would double in approximately 3.4 years.
Historically, 67% of months were positive and 33% were negative. The best month was Nov 2020 with a return of +15.1%, while the worst month was Mar 2020 at -14.7%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Portfolio 30 closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +10.8%, while the worst single day was Mar 16, 2020 at -11.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.61% | 1.69% | -6.44% | 6.63% | 8.16% | ||||||||
| 2025 | 3.72% | -3.15% | -5.37% | 1.73% | 8.89% | 7.77% | 2.94% | 3.26% | 6.86% | 3.74% | -0.98% | 1.91% | 34.94% |
| 2024 | 0.95% | 7.32% | 4.32% | -4.03% | 7.82% | 0.99% | 2.34% | 0.05% | 2.53% | -0.98% | 7.40% | -4.38% | 26.07% |
| 2023 | 10.79% | -0.56% | 3.16% | -1.22% | 2.29% | 8.24% | 3.92% | -1.68% | -4.07% | -3.03% | 10.12% | 7.08% | 39.29% |
| 2022 | -6.96% | 1.87% | 3.67% | -10.47% | 0.28% | -10.79% | 10.98% | -4.14% | -10.82% | 8.36% | 7.62% | -6.13% | -18.27% |
| 2021 | 0.38% | 4.78% | 4.00% | 3.19% | 1.83% | 1.96% | 1.23% | 2.07% | -4.64% | 5.18% | -0.76% | 3.26% | 24.48% |
Benchmark Metrics
Portfolio 30 has an annualized alpha of 7.02%, beta of 1.09, and R² of 0.92 versus S&P 500 Index. Calculated based on daily prices since January 17, 2020.
- This portfolio captured 130.45% of S&P 500 Index gains but only 98.82% of its losses — a favorable profile for investors.
- This portfolio generated an annualized alpha of 7.02% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- With beta of 1.09 and R² of 0.92, this portfolio moves broadly in line with S&P 500 Index — much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 7.02%
- Beta
- 1.09
- R²
- 0.92
- Upside Capture
- 130.45%
- Downside Capture
- 98.82%
Expense Ratio
Portfolio 30 has an expense ratio of 0.30%, 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
Portfolio 30 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 | 3.52 | 2.23 | +1.29 |
Sortino ratioReturn per unit of downside risk | 4.50 | 3.12 | +1.38 |
Omega ratioGain probability vs. loss probability | 1.62 | 1.42 | +0.20 |
Calmar ratioReturn relative to maximum drawdown | 6.77 | 4.05 | +2.72 |
Martin ratioReturn relative to average drawdown | 29.64 | 17.91 | +11.73 |
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 | |
|---|---|---|---|---|---|---|
QQQ Invesco QQQ ETF | 57 | 2.23 | 3.00 | 1.40 | 3.98 | 14.88 |
XMMO Invesco S&P MidCap Momentum ETF | 78 | 2.60 | 3.51 | 1.45 | 6.46 | 27.34 |
XME SPDR S&P Metals & Mining ETF | 82 | 3.72 | 4.04 | 1.54 | 5.93 | 16.60 |
XAR SPDR S&P Aerospace & Defense ETF | 70 | 2.75 | 3.52 | 1.43 | 4.78 | 16.51 |
IVLU iShares MSCI Intl Value Factor ETF | 88 | 3.72 | 4.93 | 1.67 | 5.31 | 21.66 |
AIRR First Trust RBA American Industrial Renaissance ETF | 87 | 3.33 | 4.11 | 1.52 | 7.24 | 27.48 |
SMH VanEck Semiconductor ETF | 93 | 4.15 | 4.49 | 1.61 | 9.61 | 35.05 |
GARP iShares MSCI USA Quality GARP ETF | 54 | 2.20 | 2.95 | 1.38 | 3.74 | 14.67 |
XLC Communication Services Select Sector SPDR Fund | 46 | 2.00 | 2.88 | 1.35 | 3.21 | 11.31 |
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Dividends
Dividend yield
Portfolio 30 provided a 0.76% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.76% | 0.81% | 0.92% | 1.07% | 1.30% | 0.82% | 0.76% | 1.13% | 1.12% | 0.84% | 0.79% | 1.11% |
| Portfolio components: | ||||||||||||
QQQ Invesco QQQ ETF | 0.46% | 0.45% | 0.56% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% |
XMMO Invesco S&P MidCap Momentum ETF | 0.66% | 0.78% | 0.34% | 0.80% | 1.43% | 0.41% | 0.61% | 0.60% | 0.19% | 0.21% | 0.22% | 0.64% |
XME SPDR S&P Metals & Mining ETF | 0.34% | 0.38% | 0.65% | 1.00% | 1.64% | 0.70% | 0.99% | 2.43% | 2.23% | 1.15% | 1.02% | 2.61% |
XAR SPDR S&P Aerospace & Defense ETF | 0.33% | 0.40% | 0.66% | 0.54% | 0.50% | 0.83% | 0.63% | 0.75% | 1.19% | 0.76% | 1.09% | 2.31% |
IVLU iShares MSCI Intl Value Factor ETF | 3.39% | 3.71% | 4.46% | 4.69% | 3.59% | 3.47% | 2.05% | 3.53% | 2.82% | 2.87% | 2.53% | 0.93% |
AIRR First Trust RBA American Industrial Renaissance ETF | 0.15% | 0.19% | 0.18% | 0.23% | 0.12% | 0.05% | 0.10% | 0.20% | 0.43% | 0.30% | 0.08% | 0.47% |
SMH VanEck Semiconductor ETF | 0.25% | 0.31% | 0.44% | 0.60% | 1.18% | 0.51% | 0.69% | 1.50% | 1.88% | 1.43% | 0.80% | 2.14% |
GARP iShares MSCI USA Quality GARP ETF | 0.30% | 0.31% | 0.38% | 0.75% | 1.85% | 0.67% | 0.75% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
XLC Communication Services Select Sector SPDR Fund | 1.23% | 1.13% | 0.99% | 0.82% | 1.10% | 0.74% | 0.68% | 0.82% | 0.64% | 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 Portfolio 30. 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 Portfolio 30 was 34.92%, occurring on Mar 23, 2020. Recovery took 94 trading sessions.
The current Portfolio 30 drawdown is 1.04%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -34.92% | Feb 20, 2020 | 23 | Mar 23, 2020 | 94 | Aug 5, 2020 | 117 |
| -26.98% | Nov 9, 2021 | 225 | Sep 30, 2022 | 194 | Jul 12, 2023 | 419 |
| -20.52% | Jan 24, 2025 | 52 | Apr 8, 2025 | 33 | May 27, 2025 | 85 |
| -11.03% | Jul 17, 2024 | 14 | Aug 5, 2024 | 46 | Oct 9, 2024 | 60 |
| -10.78% | Feb 26, 2026 | 23 | Mar 30, 2026 | — | — | — |
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 9 assets, with an effective number of assets of 8.33, 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 | XME | IVLU | XAR | XLC | SMH | AIRR | GARP | QQQ | XMMO | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.60 | 0.69 | 0.69 | 0.82 | 0.80 | 0.73 | 0.89 | 0.92 | 0.81 | 0.94 |
| XME | 0.60 | 1.00 | 0.64 | 0.66 | 0.44 | 0.50 | 0.71 | 0.48 | 0.47 | 0.65 | 0.75 |
| IVLU | 0.69 | 0.64 | 1.00 | 0.60 | 0.56 | 0.53 | 0.65 | 0.55 | 0.55 | 0.63 | 0.74 |
| XAR | 0.69 | 0.66 | 0.60 | 1.00 | 0.52 | 0.52 | 0.79 | 0.58 | 0.55 | 0.73 | 0.79 |
| XLC | 0.82 | 0.44 | 0.56 | 0.52 | 1.00 | 0.64 | 0.52 | 0.76 | 0.83 | 0.62 | 0.77 |
| SMH | 0.80 | 0.50 | 0.53 | 0.52 | 0.64 | 1.00 | 0.58 | 0.81 | 0.87 | 0.68 | 0.84 |
| AIRR | 0.73 | 0.71 | 0.65 | 0.79 | 0.52 | 0.58 | 1.00 | 0.61 | 0.57 | 0.81 | 0.83 |
| GARP | 0.89 | 0.48 | 0.55 | 0.58 | 0.76 | 0.81 | 0.61 | 1.00 | 0.93 | 0.75 | 0.87 |
| QQQ | 0.92 | 0.47 | 0.55 | 0.55 | 0.83 | 0.87 | 0.57 | 0.93 | 1.00 | 0.71 | 0.87 |
| XMMO | 0.81 | 0.65 | 0.63 | 0.73 | 0.62 | 0.68 | 0.81 | 0.75 | 0.71 | 1.00 | 0.88 |
| Portfolio | 0.94 | 0.75 | 0.74 | 0.79 | 0.77 | 0.84 | 0.83 | 0.87 | 0.87 | 0.88 | 1.00 |