Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
^GSPC S&P 500 Index | 92.60% | |
^VIX CBOE Volatility Index | 7.40% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in The portfolio of two sides, 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 year.
Loading graphics...
The earliest data available for this chart is Jan 2, 1990, corresponding to the inception date of ^VIX
Returns By Period
As of Apr 4, 2026, the The portfolio of two sides returned 1.08% Year-To-Date and 13.32% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.63% | -3.84% | -1.98% | 29.73% | 16.86% | 10.37% | 12.29% |
Portfolio The portfolio of two sides | -0.24% | -3.14% | 1.08% | 2.37% | 16.40% | 17.46% | 11.06% | 13.32% |
| Portfolio components: | ||||||||
^GSPC S&P 500 Index | 0.11% | -4.18% | -3.84% | -1.98% | 21.98% | 16.86% | 10.37% | 12.29% |
^VIX CBOE Volatility Index | -2.73% | 12.86% | 59.67% | 43.36% | -20.49% | 8.77% | 6.61% | 5.39% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 3, 1990, The portfolio of two sides's average daily return is +0.04%, while the average monthly return is +0.75%. At this rate, your investment would double in approximately 7.7 years.
Historically, 65% of months were positive and 35% were negative. The best month was Dec 1991 with a return of +10.6%, while the worst month was Feb 2009 at -9.8%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 6 months.
On a daily basis, The portfolio of two sides closed higher 52% of trading days. The best single day was Feb 5, 2018 with a return of +9.9%, while the worst single day was Mar 20, 2020 at -5.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.55% | 0.43% | -1.87% | 0.01% | 1.08% | ||||||||
| 2025 | 2.11% | 0.01% | -4.17% | 0.37% | 2.83% | 3.79% | 2.01% | 1.24% | 3.68% | 2.57% | -0.28% | -0.47% | 14.27% |
| 2024 | 2.60% | 4.19% | 2.65% | -2.44% | 2.87% | 2.97% | 3.12% | 1.40% | 2.74% | 2.23% | 0.49% | -0.51% | 24.50% |
| 2023 | 4.93% | -2.02% | 2.59% | 0.42% | 0.94% | 4.69% | 3.00% | -1.72% | -3.47% | -1.88% | 6.72% | 4.11% | 19.23% |
| 2022 | -1.61% | -0.48% | -1.09% | -2.32% | -3.26% | -6.18% | 4.13% | -1.64% | -5.36% | 3.73% | 2.06% | -4.82% | -16.14% |
| 2021 | 2.31% | 0.71% | 1.19% | 4.68% | -0.03% | 1.84% | 2.87% | 2.25% | -2.70% | 4.51% | 2.17% | 1.38% | 23.12% |
Benchmark Metrics
The portfolio of two sides has an annualized alpha of 5.06%, beta of 0.40, and R² of 0.44 versus S&P 500 Index. Calculated based on daily prices since January 03, 1990.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (63.96%) than losses (56.78%) — typical of diversified or defensive assets.
- Beta of 0.40 may look defensive, but with R² of 0.44 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.44 means the benchmark explains less than half of this portfolio's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 5.06%
- Beta
- 0.40
- R²
- 0.44
- Upside Capture
- 63.96%
- Downside Capture
- 56.78%
Expense Ratio
The portfolio of two sides has an expense ratio of 0.00%, meaning no management fees are charged. 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
The portfolio of two sides ranks 91 for risk / return — in the top 91% 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 | 2.23 | 0.88 | +1.35 |
Sortino ratioReturn per unit of downside risk | 3.18 | 1.37 | +1.81 |
Omega ratioGain probability vs. loss probability | 1.44 | 1.21 | +0.23 |
Calmar ratioReturn relative to maximum drawdown | 3.68 | 1.39 | +2.29 |
Martin ratioReturn relative to average drawdown | 14.20 | 6.43 | +7.77 |
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 | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 Index | 62 | 0.88 | 1.37 | 1.21 | 1.39 | 6.43 |
^VIX CBOE Volatility Index | 23 | 0.08 | 1.23 | 1.15 | -0.38 | -0.49 |
Loading graphics...
Dividends
Dividend yield
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.
Loading graphics...
Worst Drawdowns
The table below displays the maximum drawdowns of the The portfolio of two sides. 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 The portfolio of two sides was 46.23%, occurring on Mar 9, 2009. Recovery took 770 trading sessions.
The current The portfolio of two sides drawdown is 4.74%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -46.23% | Nov 13, 2007 | 331 | Mar 9, 2009 | 770 | Mar 26, 2012 | 1101 |
| -42.59% | Mar 28, 2000 | 741 | Mar 11, 2003 | 1066 | Jun 4, 2007 | 1807 |
| -17.52% | Dec 28, 2021 | 258 | Dec 28, 2022 | 269 | Jan 15, 2024 | 527 |
| -14.19% | Mar 18, 2020 | 13 | Apr 3, 2020 | 100 | Aug 26, 2020 | 113 |
| -13.71% | Feb 6, 2018 | 61 | May 3, 2018 | 237 | Apr 12, 2019 | 298 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading graphics...
Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 2 assets, with an effective number of assets of 1.16, 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 | ^VIX | ^GSPC | Portfolio | |
|---|---|---|---|---|
| Benchmark | 1.00 | -0.74 | 1.00 | 0.74 |
| ^VIX | -0.74 | 1.00 | -0.74 | -0.21 |
| ^GSPC | 1.00 | -0.74 | 1.00 | 0.74 |
| Portfolio | 0.74 | -0.21 | 0.74 | 1.00 |