High-sharpe income portfolio V2

Asset Allocation

Position	Category/Sector	Target Weight
AQMIX AQR Managed Futures Strategy Fund	Systematic Trend	8%
BTAL AGFiQ US Market Neutral Anti-Beta Fund	Long-Short	8%
BUI BlackRock Utilities, Infrastructure & Power Opportunities Trust	Financial Services	5%
DNP DNP Select Income Fund Inc.	Financial Services	5%
IAU iShares Gold Trust	Gold, Precious Metals	10%
QYLD Global X NASDAQ 100 Covered Call ETF	Derivative Income	5%
RYMTX Guggenheim Managed Futures Strategy Fund	Systematic Trend	6%
SCHD Schwab U.S. Dividend Equity ETF	Dividend	7%
SGOV iShares 0-3 Month Treasury Bond ETF	Ultrashort Bond	3%
TFLO iShares Treasury Floating Rate Bond ETF	Government Bonds	3%
UUP Invesco DB US Dollar Index Bullish Fund	Currency	12%
VIG Vanguard Dividend Appreciation ETF	Dividend	7%
VYM Vanguard High Dividend Yield ETF	Dividend	6%
XLK State Street Technology Select Sector SPDR ETF	Technology Equities	5%
XLY Consumer Discretionary Select Sector SPDR Fund	Consumer Discretionary Equities	5%
XYLD Global X S&P 500 Covered Call ETF	Derivative Income, S&P 500	5%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in High-sharpe income portfolio V2, 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 28, 2020, corresponding to the inception date of SGOV

Returns By Period

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-3.43%	-3.84%	-1.98%	16.08%	16.86%	10.37%	12.29%
Portfolio High-sharpe income portfolio V2	-0.09%	-2.32%	3.05%	5.82%	13.24%	11.96%	9.58%	—
Portfolio components:
SCHD Schwab U.S. Dividend Equity ETF	0.16%	-2.44%	12.35%	13.88%	13.89%	11.70%	8.35%	12.30%
VYM Vanguard High Dividend Yield ETF	0.11%	-2.81%	3.80%	6.43%	17.34%	14.92%	11.04%	11.27%
VIG Vanguard Dividend Appreciation ETF	0.16%	-3.69%	-1.33%	0.36%	12.71%	13.72%	9.86%	12.36%
QYLD Global X NASDAQ 100 Covered Call ETF	0.23%	-0.20%	0.84%	7.58%	16.15%	13.21%	7.06%	8.97%
XYLD Global X S&P 500 Covered Call ETF	0.15%	-1.86%	-0.43%	5.71%	10.79%	10.37%	7.08%	7.91%
DNP DNP Select Income Fund Inc.	0.29%	-1.66%	4.87%	7.33%	13.62%	6.59%	8.91%	8.01%
BUI BlackRock Utilities, Infrastructure & Power Opportunities Trust	-1.39%	-10.74%	4.07%	5.83%	28.34%	12.00%	8.25%	11.35%
XLK State Street Technology Select Sector SPDR ETF	0.80%	-0.98%	-5.43%	-4.69%	30.55%	22.58%	15.84%	21.15%
XLY Consumer Discretionary Select Sector SPDR Fund	-1.50%	-5.24%	-9.25%	-9.29%	7.23%	14.37%	5.86%	11.80%
BTAL AGFiQ US Market Neutral Anti-Beta Fund	1.23%	-1.89%	-2.85%	-8.42%	-29.50%	-8.40%	-1.47%	-3.19%

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

Monthly Returns

Based on dividend-adjusted daily data since May 29, 2020, High-sharpe income portfolio V2's average daily return is +0.04%, while the average monthly return is +0.79%. At this rate, your investment would double in approximately 7.3 years.

Historically, 65% of months were positive and 35% were negative. The best month was Mar 2022 with a return of +3.8%, while the worst month was Sep 2022 at -3.5%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.

On a daily basis, High-sharpe income portfolio V2 closed higher 57% of trading days. The best single day was Apr 9, 2025 with a return of +4.0%, while the worst single day was Apr 4, 2025 at -3.3%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.46%	2.74%	-3.23%	0.19%									3.05%
2025	1.96%	0.41%	-0.37%	-1.03%	1.58%	1.33%	0.54%	1.80%	2.68%	0.97%	1.22%	0.55%	12.21%
2024	1.42%	2.30%	2.71%	-0.55%	1.35%	0.68%	1.53%	1.42%	2.02%	-0.26%	2.33%	-0.40%	15.49%
2023	2.55%	-0.47%	1.48%	0.70%	-0.33%	1.83%	1.03%	-0.43%	-1.39%	0.24%	2.27%	1.07%	8.82%
2022	-0.87%	-0.60%	3.79%	-0.99%	-0.88%	-1.84%	2.27%	-0.83%	-3.51%	3.32%	2.49%	-1.76%	0.29%
2021	-0.11%	-0.30%	2.19%	1.86%	1.29%	-0.23%	0.82%	1.23%	-1.84%	3.25%	-0.55%	2.84%	10.82%

Benchmark Metrics

High-sharpe income portfolio V2 has an annualized alpha of 4.95%, beta of 0.33, and R² of 0.75 versus S&P 500 Index. Calculated based on daily prices since May 29, 2020.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (38.83%) than losses (25.46%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 4.95% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
Beta of 0.33 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: 4.95%

Beta: 0.33

R²: 0.75

Upside Capture: 38.83%

Downside Capture: 25.46%

Expense Ratio

High-sharpe income portfolio V2 has an expense ratio of 0.58%, 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.

Top 10 holdings

BTAL

AGFiQ US Market Neutral Anti-Beta Fund

RYMTX

Guggenheim Managed Futures Strategy Fund

AQMIX

AQR Managed Futures Strategy Fund

UUP

Invesco DB US Dollar Index Bullish Fund

QYLD

Global X NASDAQ 100 Covered Call ETF

XYLD

Global X S&P 500 Covered Call ETF

IAU

iShares Gold Trust

TFLO

iShares Treasury Floating Rate Bond ETF

XLY

Consumer Discretionary Select Sector SPDR Fund

SGOV

iShares 0-3 Month Treasury Bond ETF

Return for Risk

Risk / Return Rank

High-sharpe income portfolio V2 ranks 74 for risk / return — better than 74% of portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.

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	1.65	0.88	+0.77
Sortino ratio Return per unit of downside risk	2.32	1.37	+0.95
Omega ratio Gain probability vs. loss probability	1.38	1.21	+0.18
Calmar ratio Return relative to maximum drawdown	2.00	1.39	+0.61
Martin ratio Return relative to average drawdown	9.65	6.43	+3.21
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
SCHD Schwab U.S. Dividend Equity ETF	40	0.89	1.34	1.19	1.09	3.69
VYM Vanguard High Dividend Yield ETF	60	1.15	1.65	1.25	1.59	6.96
VIG Vanguard Dividend Appreciation ETF	43	0.84	1.28	1.19	1.24	5.41
QYLD Global X NASDAQ 100 Covered Call ETF	63	0.99	1.60	1.31	1.53	10.09
XYLD Global X S&P 500 Covered Call ETF	47	0.77	1.25	1.26	1.10	6.41
DNP DNP Select Income Fund Inc.	72	1.07	1.54	1.23	1.46	6.82
BUI BlackRock Utilities, Infrastructure & Power Opportunities Trust	80	1.59	2.11	1.33	1.81	6.81
XLK State Street Technology Select Sector SPDR ETF	61	1.13	1.71	1.24	1.98	6.27
XLY Consumer Discretionary Select Sector SPDR Fund	21	0.31	0.63	1.08	0.62	2.01
BTAL AGFiQ US Market Neutral Anti-Beta Fund	1	-1.32	-1.98	0.79	-0.89	-1.20

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.

High-sharpe income portfolio V2 Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

1-Year: 1.65
5-Year: 1.49
All Time: 1.52

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 1.00 to 1.70, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of High-sharpe income portfolio V2 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

High-sharpe income portfolio V2 provided a 3.93% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.93%	4.01%	4.30%	4.84%	4.30%	2.81%	3.13%	2.67%	2.64%	2.27%	2.42%	2.98%
Portfolio components:
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%
VYM Vanguard High Dividend Yield ETF	2.37%	2.44%	2.74%	3.12%	3.01%	2.76%	3.18%	3.03%	3.40%	2.80%	2.91%	3.22%
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%
QYLD Global X NASDAQ 100 Covered Call ETF	11.83%	11.55%	12.50%	11.78%	13.75%	12.85%	11.16%	9.84%	12.44%	7.69%	9.15%	9.42%
XYLD Global X S&P 500 Covered Call ETF	10.92%	10.51%	11.54%	10.51%	13.43%	9.07%	7.93%	5.76%	7.12%	5.18%	3.23%	4.65%
DNP DNP Select Income Fund Inc.	7.59%	7.81%	8.84%	9.20%	6.93%	7.18%	7.60%	6.11%	7.50%	7.22%	7.62%	8.71%
BUI BlackRock Utilities, Infrastructure & Power Opportunities Trust	10.14%	10.39%	6.26%	6.65%	6.99%	5.45%	5.80%	6.51%	7.35%	6.72%	7.89%	8.65%
XLK State Street Technology Select Sector SPDR ETF	0.56%	0.54%	0.66%	0.76%	1.04%	0.65%	0.92%	1.16%	1.60%	1.37%	1.74%	1.79%
XLY Consumer Discretionary Select Sector SPDR Fund	0.83%	0.79%	0.72%	0.78%	1.00%	0.53%	0.82%	1.28%	1.34%	1.20%	1.71%	1.43%
BTAL AGFiQ US Market Neutral Anti-Beta Fund	2.56%	2.49%	3.49%	6.14%	1.01%	0.00%	0.00%	0.88%	0.39%	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 High-sharpe income portfolio V2. 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 High-sharpe income portfolio V2 was 7.64%, occurring on Apr 8, 2025. Recovery took 45 trading sessions.

The current High-sharpe income portfolio V2 drawdown is 3.09%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-7.64%	Feb 20, 2025	34	Apr 8, 2025	45	Jun 12, 2025	79
-6.95%	Apr 21, 2022	121	Oct 12, 2022	117	Mar 31, 2023	238
-4.67%	Mar 3, 2026	15	Mar 23, 2026	—	—	—
-4.01%	Sep 3, 2020	14	Sep 23, 2020	38	Nov 16, 2020	52
-3.69%	Jul 17, 2024	14	Aug 5, 2024	10	Aug 19, 2024	24

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 16 assets, with an effective number of assets of 14.08, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

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	SGOV	TFLO	AQMIX	IAU	RYMTX	UUP	DNP	BUI	BTAL	SCHD	QYLD	XLK	XLY	XYLD	VYM	VIG	Portfolio
Benchmark	1.00	-0.02	-0.07	-0.04	0.12	0.30	-0.30	0.34	0.45	-0.59	0.71	0.85	0.90	0.85	0.85	0.79	0.91	0.83
SGOV	-0.02	1.00	0.38	0.03	0.02	0.01	0.04	-0.04	-0.01	0.04	-0.03	0.00	-0.00	-0.02	0.00	-0.03	-0.02	0.01
TFLO	-0.07	0.38	1.00	0.02	-0.00	-0.02	0.04	-0.07	-0.09	0.03	-0.07	-0.04	-0.05	-0.06	-0.07	-0.07	-0.09	-0.07
AQMIX	-0.04	0.03	0.02	1.00	-0.01	0.55	0.14	-0.08	-0.08	0.06	-0.10	-0.01	-0.03	-0.10	-0.02	-0.04	-0.08	0.16
IAU	0.12	0.02	-0.00	-0.01	1.00	0.13	-0.47	0.17	0.15	-0.09	0.12	0.12	0.11	0.08	0.10	0.13	0.13	0.36
RYMTX	0.30	0.01	-0.02	0.55	0.13	1.00	0.00	0.10	0.08	-0.16	0.20	0.25	0.26	0.23	0.23	0.26	0.26	0.46
UUP	-0.30	0.04	0.04	0.14	-0.47	0.00	1.00	-0.16	-0.26	0.21	-0.27	-0.25	-0.24	-0.27	-0.25	-0.28	-0.29	-0.25
DNP	0.34	-0.04	-0.07	-0.08	0.17	0.10	-0.16	1.00	0.37	-0.18	0.41	0.25	0.23	0.27	0.31	0.44	0.40	0.48
BUI	0.45	-0.01	-0.09	-0.08	0.15	0.08	-0.26	0.37	1.00	-0.29	0.46	0.35	0.34	0.38	0.41	0.50	0.49	0.54
BTAL	-0.59	0.04	0.03	0.06	-0.09	-0.16	0.21	-0.18	-0.29	1.00	-0.43	-0.51	-0.53	-0.59	-0.49	-0.49	-0.48	-0.33
SCHD	0.71	-0.03	-0.07	-0.10	0.12	0.20	-0.27	0.41	0.46	-0.43	1.00	0.48	0.48	0.58	0.61	0.94	0.84	0.73
QYLD	0.85	0.00	-0.04	-0.01	0.12	0.25	-0.25	0.25	0.35	-0.51	0.48	1.00	0.87	0.76	0.82	0.54	0.69	0.69
XLK	0.90	-0.00	-0.05	-0.03	0.11	0.26	-0.24	0.23	0.34	-0.53	0.48	0.87	1.00	0.75	0.77	0.55	0.73	0.70
XLY	0.85	-0.02	-0.06	-0.10	0.08	0.23	-0.27	0.27	0.38	-0.59	0.58	0.76	0.75	1.00	0.73	0.63	0.74	0.69
XYLD	0.85	0.00	-0.07	-0.02	0.10	0.23	-0.25	0.31	0.41	-0.49	0.61	0.82	0.77	0.73	1.00	0.67	0.76	0.73
VYM	0.79	-0.03	-0.07	-0.04	0.13	0.26	-0.28	0.44	0.50	-0.49	0.94	0.54	0.55	0.63	0.67	1.00	0.91	0.78
VIG	0.91	-0.02	-0.09	-0.08	0.13	0.26	-0.29	0.40	0.49	-0.48	0.84	0.69	0.73	0.74	0.76	0.91	1.00	0.83
Portfolio	0.83	0.01	-0.07	0.16	0.36	0.46	-0.25	0.48	0.54	-0.33	0.73	0.69	0.70	0.69	0.73	0.78	0.83	1.00

The correlation results are calculated based on daily price changes starting from May 29, 2020

High-sharpe income portfolio V2

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