Asset Allocation
Find the right asset allocation for High-sharpe income portfolio V2
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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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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Returns By Period
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.30% | 0.09% | 8.18% | 8.17% | 23.42% | 19.88% | 11.91% | 13.45% |
Portfolio High-sharpe income portfolio V2 | 0.06% | -0.13% | 6.15% | 7.14% | 15.78% | 12.53% | 9.63% | — |
| Portfolio components: | ||||||||
AQMIX AQR Managed Futures Strategy Fund | -0.55% | 1.22% | 12.43% | 14.53% | 25.35% | 12.47% | 12.60% | 4.98% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | -2.26% | -2.66% | -18.69% | -16.94% | -35.41% | -12.18% | -4.53% | -4.76% |
BUI BlackRock Utilities, Infrastructure & Power Opportunities Trust | 0.00% | 0.12% | 11.75% | 15.59% | 26.50% | 15.62% | 8.51% | 11.23% |
DNP DNP Select Income Fund Inc. | -1.03% | -0.14% | 9.66% | 10.26% | 18.20% | 9.87% | 8.26% | 7.97% |
IAU iShares Gold Trust | 0.20% | -8.43% | 0.26% | 3.08% | 30.27% | 29.88% | 17.71% | 12.71% |
QYLD Global X NASDAQ 100 Covered Call ETF | 1.07% | 0.23% | 7.05% | 8.87% | 22.45% | 13.42% | 8.24% | 9.77% |
RYMTX Guggenheim Managed Futures Strategy Fund | -1.54% | -1.59% | 7.07% | 8.27% | 17.81% | 3.95% | 5.50% | 3.51% |
SCHD Schwab U.S. Dividend Equity ETF | -0.03% | 2.12% | 18.71% | 19.28% | 26.37% | 14.73% | 8.49% | 12.65% |
SGOV iShares 0-3 Month Treasury Bond ETF | 0.01% | 0.28% | 1.56% | 1.80% | 3.95% | 4.70% | 3.55% | — |
TFLO iShares Treasury Floating Rate Bond ETF | 0.04% | 0.29% | 1.65% | 1.92% | 4.01% | 4.72% | 3.65% | 2.37% |
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 +0.81%. At this rate, an investment would double in approximately 7.2 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% | -3.11% | 2.71% | 1.31% | -0.95% | 6.15% | ||||||
| 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 4.63%, 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 (37.25%) than losses (25.79%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 4.63% 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
- 4.63%
- Beta
- 0.33
- R²
- 0.75
- Upside Capture
- 37.25%
- Downside Capture
- 25.79%
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
Return for Risk
Risk / Return Rank
High-sharpe income portfolio V2 ranks 82 for risk / return — in the top 82% 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
The table below presents risk-adjusted performance metrics for High-sharpe income portfolio V2 and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.86 | 1.94 | +0.92 |
| Sortino ratioReturn per unit of downside risk | 3.94 | 2.63 | +1.31 |
| Omega ratioGain probability vs. loss probability | 1.58 | 1.35 | +0.23 |
| Calmar ratioReturn relative to maximum drawdown | 3.48 | 2.59 | +0.90 |
| Martin ratioReturn relative to average drawdown | 14.42 | 11.84 | +2.57 |
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.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 89 | 2.85 | 3.88 | 1.50 | 8.24 | 26.92 |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 0 | -1.61 | -2.52 | 0.74 | -0.95 | -1.62 |
BUI BlackRock Utilities, Infrastructure & Power Opportunities Trust | 82 | 1.76 | 2.52 | 1.34 | 1.96 | 5.62 |
DNP DNP Select Income Fund Inc. | 86 | 1.87 | 2.65 | 1.33 | 2.85 | 11.95 |
IAU iShares Gold Trust | 33 | 1.14 | 1.52 | 1.23 | 1.52 | 3.80 |
QYLD Global X NASDAQ 100 Covered Call ETF | 89 | 2.56 | 3.53 | 1.57 | 4.54 | 26.31 |
RYMTX Guggenheim Managed Futures Strategy Fund | 51 | 1.58 | 2.18 | 1.30 | 3.27 | 12.34 |
SCHD Schwab U.S. Dividend Equity ETF | 85 | 2.43 | 3.75 | 1.43 | 5.74 | 14.06 |
SGOV iShares 0-3 Month Treasury Bond ETF | 100 | 20.28 | 275.69 | 195.55 | 398.20 | 4,461.99 |
TFLO iShares Treasury Floating Rate Bond ETF | 100 | 14.21 | 51.38 | 14.07 | 203.31 | 831.80 |
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Dividends
Dividend yield
High-sharpe income portfolio V2 provided a 3.85% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.85% | 4.01% | 4.30% | 4.84% | 4.30% | 2.81% | 3.13% | 2.67% | 2.64% | 2.27% | 2.42% | 2.98% |
| Portfolio components: | ||||||||||||
AQMIX AQR Managed Futures Strategy Fund | 2.01% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
BTAL AGFiQ US Market Neutral Anti-Beta Fund | 3.06% | 2.49% | 3.49% | 6.14% | 1.01% | 0.00% | 0.00% | 0.88% | 0.39% | 0.00% | 0.00% | 0.00% |
BUI BlackRock Utilities, Infrastructure & Power Opportunities Trust | 9.57% | 10.39% | 6.26% | 6.65% | 6.99% | 5.45% | 5.80% | 6.51% | 7.35% | 6.72% | 7.89% | 8.65% |
DNP DNP Select Income Fund Inc. | 7.34% | 7.81% | 8.84% | 9.20% | 6.93% | 7.18% | 7.60% | 6.11% | 7.50% | 7.22% | 7.62% | 8.71% |
IAU iShares Gold 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% |
QYLD Global X NASDAQ 100 Covered Call ETF | 11.55% | 11.55% | 12.50% | 11.78% | 13.75% | 12.85% | 11.16% | 9.84% | 12.44% | 7.69% | 9.15% | 9.42% |
RYMTX Guggenheim Managed Futures Strategy Fund | 5.63% | 6.03% | 5.10% | 1.02% | 4.80% | 0.00% | 7.56% | 0.00% | 0.00% | 4.70% | 5.19% | 2.68% |
SCHD Schwab U.S. Dividend Equity ETF | 3.27% | 3.82% | 3.64% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.85% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
TFLO iShares Treasury Floating Rate Bond ETF | 3.90% | 4.16% | 5.21% | 4.88% | 1.68% | 0.00% | 0.36% | 2.08% | 1.65% | 0.86% | 0.31% | 0.15% |
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 1.17%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -7.64%Apr 2025 | 1mo 17d | 2mo 5d | 3mo 22dFeb 2025 - Jun 2025 |
Bear market2022 | -6.95%Oct 2022 | 5mo 24d | 5mo 20d | 11mo 14dApr 2022 - Mar 2023 |
2026 pullback2026 | -4.55%Mar 2026 | 20d | 1mo 19d | 2mo 9dMar 2026 - May 2026 |
2020 pullback2020 | -4.01%Sep 2020 | 20d | 1mo 24d | 2mo 14dSep 2020 - Nov 2020 |
2024 pullback2024 | -3.69%Aug 2024 | 19d | 14d | 1mo 3dJul 2024 - Aug 2024 |
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. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | All Time | |
|---|---|---|---|---|
Diversification Ratio | 2.39 | 2.12 | 2.15 | 2.15 |
The portfolio has a diversification ratio of 2.15, placing it in the top 5% across portfolios — assets in this portfolio move largely independently, providing strong diversification benefit.
High-sharpe income portfolio V2 correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.65 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.75 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.81 |
Correlation (All Time) Calculated using the full available price history since May 29, 2020 | 0.83 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VIG has the highest benchmark correlation at 0.90, while BTAL has the lowest at -0.59.
Asset Correlations Table
Find what High-sharpe income portfolio V2 is missing
See which holdings overlap, where High-sharpe income portfolio V2 is concentrated, and which low-correlation assets could fill the gaps.
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