12-ETF Portfolio

Asset Allocation

Position	Category/Sector	Target Weight
AVUV Avantis US Small Cap Value ETF	Small Cap Value Equities	8.33%
CALF Pacer US Small Cap Cash Cows 100 ETF	Small Cap Blend Equities	8.33%
COWZ Pacer US Cash Cows 100 ETF	Mid Cap Value Equities, Dividend	8.33%
DSTL Distillate U.S. Fundamental Stability & Value ETF	Large Cap Value Equities	8.33%
IYW iShares U.S. Technology ETF	Technology Equities	8.33%
LEAD Siren DIVCON Leaders Dividend ETF	Large Cap Growth Equities, Dividend	8.33%
RDVY First Trust Rising Dividend Achievers ETF	Large Cap Blend Equities, Dividend	8.33%
SCHD Schwab U.S. Dividend Equity ETF	Dividend	8.33%
SPGP Invesco S&P 500 GARP ETF	Multi-factor, S&P 500	8.33%
SYLD Cambria Shareholder Yield ETF	Mid Cap Value Equities, Dividend	8.33%
VGT Vanguard Information Technology ETF	Technology Equities	8.33%
XSVM Invesco S&P SmallCap Value with Momentum ETF	Momentum, Small Cap Value Equities	8.33%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 12-ETF Portfolio, 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	0.50%	-0.93%	8.56%	8.85%	24.33%	19.37%	11.84%	13.61%
Portfolio 12-ETF Portfolio	0.80%	3.54%	16.27%	14.91%	32.15%	18.01%	11.34%	—
Portfolio components:
AVUV Avantis US Small Cap Value ETF	0.96%	5.11%	22.73%	19.51%	42.12%	19.24%	11.57%	—
CALF Pacer US Small Cap Cash Cows 100 ETF	0.46%	7.83%	14.10%	11.90%	30.59%	9.56%	3.80%	—
COWZ Pacer US Cash Cows 100 ETF	0.82%	1.75%	6.93%	6.01%	19.20%	13.01%	10.13%	—
DSTL Distillate U.S. Fundamental Stability & Value ETF	0.37%	3.29%	1.84%	1.07%	11.62%	11.92%	8.86%	—
IYW iShares U.S. Technology ETF	0.61%	0.73%	22.66%	23.40%	50.17%	32.06%	21.19%	25.63%
LEAD Siren DIVCON Leaders Dividend ETF	0.83%	2.38%	16.18%	15.19%	28.08%	18.59%	12.25%	14.95%
RDVY First Trust Rising Dividend Achievers ETF	1.11%	5.69%	13.41%	12.60%	31.20%	20.46%	12.03%	16.29%
SCHD Schwab U.S. Dividend Equity ETF	0.89%	3.21%	20.66%	19.57%	26.72%	14.90%	8.75%	12.91%
SPGP Invesco S&P 500 GARP ETF	0.84%	2.86%	6.06%	5.64%	16.85%	11.97%	7.97%	15.11%
SYLD Cambria Shareholder Yield ETF	0.98%	4.18%	17.19%	13.91%	29.68%	12.81%	6.52%	13.58%

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

Monthly Returns

Based on dividend-adjusted daily data since Sep 26, 2019, 12-ETF Portfolio's average daily return is +0.07%, while the average monthly return is +1.46%. At this rate, an investment would double in approximately 4.0 years.

Historically, 61% of months were positive and 39% were negative. The best month was Apr 2020 with a return of +15.5%, while the worst month was Mar 2020 at -17.4%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 4 months.

On a daily basis, 12-ETF Portfolio closed higher 53% of trading days. The best single day was Mar 24, 2020 with a return of +10.0%, while the worst single day was Mar 16, 2020 at -12.2%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.72%	1.60%	-3.58%	8.98%	4.12%	0.85%							16.27%
2025	2.15%	-2.94%	-4.97%	-3.14%	5.70%	4.93%	1.26%	4.76%	1.70%	0.16%	1.19%	0.69%	11.45%
2024	-0.49%	3.97%	4.42%	-5.65%	3.78%	-0.28%	5.87%	-0.53%	0.96%	-1.58%	7.51%	-6.11%	11.41%
2023	8.51%	-1.85%	-0.42%	-0.76%	-0.89%	8.34%	5.64%	-2.02%	-3.60%	-3.64%	8.64%	7.15%	26.47%
2022	-4.52%	-0.77%	1.66%	-6.77%	2.06%	-10.80%	9.58%	-3.57%	-9.98%	11.30%	6.37%	-6.54%	-13.97%
2021	4.39%	5.56%	7.11%	3.70%	2.54%	0.99%	0.42%	2.67%	-3.77%	5.38%	-0.43%	4.87%	38.37%

Benchmark Metrics

12-ETF Portfolio has an annualized alpha of 2.13%, beta of 1.04, and R2 of 0.88 versus S&P 500 Index. Calculated based on daily prices since September 26, 2019.

This portfolio captured 108.16% of S&P 500 Index gains but only 98.86% of its losses - a favorable profile for investors.
This portfolio generated an annualized alpha of 2.13% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
With beta of 1.04 and R2 of 0.88, 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: 2.13%

Beta: 1.04

R²: 0.88

Upside Capture: 108.16%

Downside Capture: 98.86%

See how alpha, beta & R² have trended over time →

Expense Ratio

12-ETF Portfolio has an expense ratio of 0.38%, 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

CALF

Pacer US Small Cap Cash Cows 100 ETF

SYLD

Cambria Shareholder Yield ETF

RDVY

First Trust Rising Dividend Achievers ETF

COWZ

Pacer US Cash Cows 100 ETF

LEAD

Siren DIVCON Leaders Dividend ETF

DSTL

Distillate U.S. Fundamental Stability & Value ETF

IYW

iShares U.S. Technology ETF

XSVM

Invesco S&P SmallCap Value with Momentum ETF

SPGP

Invesco S&P 500 GARP ETF

AVUV

Avantis US Small Cap Value ETF

Return for Risk

Risk / Return Rank

12-ETF Portfolio ranks 77 for risk / return — better than 77% 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

The table below presents risk-adjusted performance metrics for 12-ETF Portfolio and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.30	1.86	+0.44
Sortino ratioReturn per unit of downside risk	3.20	2.53	+0.67
Omega ratioGain probability vs. loss probability	1.41	1.34	+0.07
Calmar ratioReturn relative to maximum drawdown	4.33	2.53	+1.79
Martin ratioReturn relative to average drawdown	16.08	11.37	+4.71

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
AVUV Avantis US Small Cap Value ETF	82	2.28	3.24	1.39	5.06	15.09
CALF Pacer US Small Cap Cash Cows 100 ETF	71	1.84	2.69	1.33	4.77	13.43
COWZ Pacer US Cash Cows 100 ETF	60	1.63	2.42	1.29	3.65	9.73
DSTL Distillate U.S. Fundamental Stability & Value ETF	26	0.86	1.32	1.15	1.24	3.66
IYW iShares U.S. Technology ETF	67	2.24	2.82	1.38	2.70	8.68
LEAD Siren DIVCON Leaders Dividend ETF	60	1.69	2.35	1.29	2.98	12.62
RDVY First Trust Rising Dividend Achievers ETF	72	2.03	2.90	1.36	3.26	13.71
SCHD Schwab U.S. Dividend Equity ETF	86	2.41	3.72	1.43	5.70	13.97
SPGP Invesco S&P 500 GARP ETF	33	1.04	1.57	1.19	1.45	5.54
SYLD Cambria Shareholder Yield ETF	67	1.81	2.75	1.32	4.07	11.04

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.

The current 12-ETF Portfolio Sharpe ratio is 2.30 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.54 to 2.41, 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 12-ETF Portfolio 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

12-ETF Portfolio provided a 1.29% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.29%	1.52%	1.50%	1.52%	1.61%	1.44%	1.38%	1.34%	1.45%	1.12%	1.17%	1.52%
Portfolio components:
AVUV Avantis US Small Cap Value ETF	1.61%	1.58%	1.61%	1.65%	1.74%	1.28%	1.21%	0.38%	0.00%	0.00%	0.00%	0.00%
CALF Pacer US Small Cap Cash Cows 100 ETF	1.20%	1.43%	1.07%	1.18%	0.85%	2.63%	0.82%	0.99%	1.39%	0.70%	0.00%	0.00%
COWZ Pacer US Cash Cows 100 ETF	1.93%	2.19%	1.82%	1.92%	1.96%	1.48%	2.54%	1.96%	1.67%	1.95%	0.13%	0.00%
DSTL Distillate U.S. Fundamental Stability & Value ETF	1.25%	1.31%	1.34%	1.30%	1.35%	1.01%	0.83%	0.97%	0.00%	0.00%	0.00%	0.00%
IYW iShares U.S. Technology ETF	0.11%	0.14%	0.21%	0.34%	0.50%	0.31%	0.56%	0.72%	0.92%	0.82%	1.14%	1.12%
LEAD Siren DIVCON Leaders Dividend ETF	0.57%	0.70%	0.93%	1.13%	1.27%	1.79%	0.81%	1.32%	1.38%	0.97%	1.38%	0.00%
RDVY First Trust Rising Dividend Achievers ETF	0.89%	1.11%	1.64%	2.09%	2.21%	1.04%	1.53%	1.55%	1.68%	1.25%	2.07%	2.14%
SCHD Schwab U.S. Dividend Equity ETF	3.22%	3.82%	3.64%	3.49%	3.39%	2.78%	3.16%	2.98%	3.06%	2.63%	2.89%	2.97%
SPGP Invesco S&P 500 GARP ETF	0.88%	1.04%	1.38%	1.24%	1.22%	0.69%	1.10%	0.86%	0.95%	0.68%	0.89%	1.12%
SYLD Cambria Shareholder Yield ETF	1.81%	2.25%	2.04%	1.92%	2.20%	2.37%	1.99%	2.08%	2.52%	1.57%	1.92%	6.93%

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 12-ETF Portfolio. 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 12-ETF Portfolio was 38.02%, occurring on Mar 23, 2020. Recovery took 107 trading sessions.

The current 12-ETF Portfolio drawdown is 0.58%.

Related event	Drawdown	Fall	Recovery	Underwater
COVID crash2020	-38.02%Mar 2020	2mo 2d	5mo 4d	7mo 6dJan 2020 - Aug 2020
Bear market2022	-23.21%Sep 2022	8mo 28d	9mo 28d	1y 6moJan 2022 - Jul 2023
2025 selloff2025	-23.04%Apr 2025	4mo 13d	4mo 16d	8mo 29dNov 2024 - Aug 2025
2023 correction2023	-10.27%Oct 2023	2mo 27d	1mo 5d	4mo 2dAug 2023 - Dec 2023
2020 pullback2020	-9.03%Sep 2020	20d	16d	1mo 6dSep 2020 - Oct 2020

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 12 assets, with an effective number of assets of 12.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	All Time
Diversification Ratio	1.20	1.13	1.10	1.10

The portfolio has a diversification ratio of 1.10, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.

12-ETF Portfolio correlation to the S&P 500 Index

12-ETF Portfolio has a 0.84 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.85
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (All Time) Calculated using the full available price history since Sep 26, 2019	0.89

Benchmark Correlations

Correlation vs. S&P 500 Index. VGT has the highest benchmark correlation at 0.90, while XSVM has the lowest at 0.67.

0.67

0.71

0.71

0.72

0.73

0.74

0.85

0.86

0.88

0.89

0.90

0.90

Portfolio Correlations

Correlation vs. 12-ETF Portfolio. RDVY has the highest portfolio correlation at 0.95, while IYW has the lowest at 0.73.

0.73

0.75

0.85

0.88

0.89

0.91

0.91

0.92

0.92

0.93

0.95

0.95

Asset Correlations Table

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

	IYW	VGT	SCHD	XSVM	LEAD	CALF	SYLD	COWZ	AVUV	DSTL	SPGP	RDVY
IYW	1.00	0.99	0.48	0.46	0.80	0.53	0.48	0.52	0.51	0.68	0.72	0.65
VGT	0.99	1.00	0.51	0.49	0.82	0.56	0.51	0.55	0.54	0.70	0.75	0.68
SCHD	0.48	0.51	1.00	0.77	0.74	0.77	0.84	0.87	0.81	0.87	0.81	0.85
XSVM	0.46	0.49	0.77	1.00	0.67	0.92	0.92	0.83	0.94	0.75	0.78	0.84
LEAD	0.80	0.82	0.74	0.67	1.00	0.70	0.71	0.74	0.71	0.87	0.88	0.84
CALF	0.53	0.56	0.77	0.92	0.70	1.00	0.91	0.88	0.94	0.80	0.82	0.84
SYLD	0.48	0.51	0.84	0.92	0.71	0.91	1.00	0.91	0.95	0.81	0.84	0.89
COWZ	0.52	0.55	0.87	0.83	0.74	0.88	0.91	1.00	0.88	0.87	0.87	0.88
AVUV	0.51	0.54	0.81	0.94	0.71	0.94	0.95	0.88	1.00	0.79	0.84	0.90
DSTL	0.68	0.70	0.87	0.75	0.87	0.80	0.81	0.87	0.79	1.00	0.90	0.88
SPGP	0.72	0.75	0.81	0.78	0.88	0.82	0.84	0.87	0.84	0.90	1.00	0.92
RDVY	0.65	0.68	0.85	0.84	0.84	0.84	0.89	0.88	0.90	0.88	0.92	1.00

The correlation results are calculated based on daily price changes starting from Sep 26, 2019

Diversification Analysis

Find what 12-ETF Portfolio is missing

See which holdings overlap, where 12-ETF Portfolio is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification