Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in KKM Fixed Income Model, 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 Apr 5, 2012, corresponding to the inception date of GHYG
Returns By Period
As of Apr 2, 2026, the KKM Fixed Income Model returned -0.57% Year-To-Date and 3.60% of annualized return in the last 10 years.
| 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 KKM Fixed Income Model | 0.02% | -1.03% | -0.57% | 1.05% | 9.15% | 8.05% | 3.05% | 3.60% |
| Portfolio components: | ||||||||
FLOT iShares Floating Rate Bond ETF | 0.08% | 0.25% | 0.82% | 1.94% | 4.49% | 5.83% | 4.02% | 2.96% |
EUHY iShares Euro High Yield Corporate Bond USD Hedged ETF | 0.53% | -1.09% | -0.44% | -1.19% | 12.04% | 8.98% | 2.17% | 3.56% |
EMHY iShares J.P. Morgan EM High Yield Bond ETF | 0.18% | -1.96% | -0.89% | 2.74% | 10.37% | 11.26% | 4.24% | 4.65% |
GHYG iShares US & Intl High Yield Corp Bond ETF | -0.21% | -0.75% | -1.02% | -0.09% | 7.55% | 8.27% | 3.31% | 5.03% |
LEMB iShares J.P. Morgan EM Local Currency Bond ETF | 0.05% | -1.82% | -1.35% | 1.82% | 11.93% | 5.65% | 0.91% | 1.09% |
Monthly Returns
Based on dividend-adjusted daily data since Apr 9, 2012, KKM Fixed Income Model's average daily return is +0.01%, while the average monthly return is +0.28%. At this rate, your investment would double in approximately 20.7 years.
Historically, 58% of months were positive and 42% were negative. The best month was Nov 2022 with a return of +6.7%, while the worst month was Mar 2020 at -11.6%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.
On a daily basis, KKM Fixed Income Model closed higher 54% of trading days. The best single day was Mar 24, 2020 with a return of +4.0%, while the worst single day was Mar 18, 2020 at -6.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.97% | 0.43% | -2.29% | 0.36% | -0.57% | ||||||||
| 2025 | 1.11% | 1.05% | 0.54% | 1.99% | 1.34% | 2.51% | -0.40% | 1.65% | 0.79% | 0.17% | 0.72% | 0.87% | 13.04% |
| 2024 | -0.87% | 0.79% | 0.71% | -1.08% | 1.99% | -0.59% | 2.16% | 1.94% | 1.84% | -1.57% | 0.13% | -1.03% | 4.41% |
| 2023 | 3.51% | -2.13% | 1.74% | 0.60% | -0.82% | 2.04% | 1.55% | -1.23% | -1.99% | -0.35% | 4.44% | 3.35% | 10.95% |
| 2022 | -1.65% | -2.68% | -0.98% | -4.42% | 0.61% | -5.63% | 2.87% | -2.53% | -3.99% | 1.38% | 6.70% | 0.54% | -9.95% |
| 2021 | -0.63% | -0.60% | -1.07% | 1.65% | 1.19% | -0.60% | -0.10% | 0.37% | -1.71% | -0.62% | -2.04% | 1.47% | -2.74% |
Benchmark Metrics
KKM Fixed Income Model has an annualized alpha of 0.19%, beta of 0.25, and R² of 0.41 versus S&P 500 Index. Calculated based on daily prices since April 09, 2012.
- This portfolio participated in 43.95% of S&P 500 Index downside but only 29.94% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.25 may look defensive, but with R² of 0.41 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 0.41 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
- 0.19%
- Beta
- 0.25
- R²
- 0.41
- Upside Capture
- 29.94%
- Downside Capture
- 43.95%
Expense Ratio
KKM Fixed Income Model has an expense ratio of 0.35%, 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
KKM Fixed Income Model ranks 86 for risk / return — in the top 86% 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 | 1.95 | 0.88 | +1.07 |
Sortino ratioReturn per unit of downside risk | 2.80 | 1.37 | +1.43 |
Omega ratioGain probability vs. loss probability | 1.43 | 1.21 | +0.22 |
Calmar ratioReturn relative to maximum drawdown | 2.80 | 1.39 | +1.41 |
Martin ratioReturn relative to average drawdown | 11.83 | 6.43 | +5.39 |
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 | |
|---|---|---|---|---|---|---|
FLOT iShares Floating Rate Bond ETF | 92 | 2.12 | 2.66 | 1.96 | 2.88 | 22.40 |
EUHY iShares Euro High Yield Corporate Bond USD Hedged ETF | 82 | 1.71 | 2.51 | 1.34 | 3.32 | 7.85 |
EMHY iShares J.P. Morgan EM High Yield Bond ETF | 74 | 1.39 | 1.99 | 1.30 | 2.10 | 9.11 |
GHYG iShares US & Intl High Yield Corp Bond ETF | 70 | 1.36 | 2.05 | 1.28 | 1.98 | 7.45 |
LEMB iShares J.P. Morgan EM Local Currency Bond ETF | 78 | 1.75 | 2.35 | 1.34 | 2.04 | 8.40 |
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Dividends
Dividend yield
KKM Fixed Income Model provided a 4.91% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.91% | 4.68% | 4.78% | 4.54% | 3.05% | 3.51% | 2.50% | 3.74% | 4.46% | 2.47% | 2.74% | 3.24% |
| Portfolio components: | ||||||||||||
FLOT iShares Floating Rate Bond ETF | 4.68% | 4.84% | 5.82% | 5.66% | 2.06% | 0.43% | 1.25% | 2.78% | 2.41% | 1.46% | 0.97% | 0.53% |
EUHY iShares Euro High Yield Corporate Bond USD Hedged ETF | 4.59% | 3.56% | 5.11% | 3.38% | 0.61% | 3.07% | 1.45% | 1.19% | 4.01% | 0.69% | 1.70% | 3.24% |
EMHY iShares J.P. Morgan EM High Yield Bond ETF | 6.55% | 6.52% | 6.86% | 6.73% | 7.08% | 5.58% | 5.44% | 5.72% | 6.79% | 5.59% | 6.43% | 6.99% |
GHYG iShares US & Intl High Yield Corp Bond ETF | 6.25% | 6.03% | 6.11% | 5.60% | 4.64% | 4.57% | 4.36% | 4.61% | 5.62% | 4.60% | 4.61% | 4.79% |
LEMB iShares J.P. Morgan EM Local Currency Bond ETF | 2.48% | 2.44% | 0.00% | 1.34% | 0.86% | 3.89% | 0.00% | 4.39% | 3.46% | 0.00% | 0.00% | 0.64% |
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 KKM Fixed Income Model. 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 KKM Fixed Income Model was 21.95%, occurring on Mar 19, 2020. Recovery took 113 trading sessions.
The current KKM Fixed Income Model drawdown is 2.16%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -21.95% | Jan 17, 2020 | 43 | Mar 19, 2020 | 113 | Aug 28, 2020 | 156 |
| -20.86% | Jun 11, 2021 | 327 | Sep 27, 2022 | 472 | Aug 14, 2024 | 799 |
| -14.61% | Jul 10, 2014 | 387 | Jan 21, 2016 | 330 | May 12, 2017 | 717 |
| -7.58% | Jan 29, 2018 | 229 | Dec 24, 2018 | 129 | Jul 1, 2019 | 358 |
| -6.94% | May 9, 2013 | 32 | Jun 24, 2013 | 172 | Feb 28, 2014 | 204 |
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 5 assets, with an effective number of assets of 5.00, 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 | FLOT | EUHY | EMHY | LEMB | GHYG | Portfolio | |
|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.14 | 0.33 | 0.46 | 0.42 | 0.52 | 0.52 |
| FLOT | 0.14 | 1.00 | 0.09 | 0.14 | 0.11 | 0.14 | 0.18 |
| EUHY | 0.33 | 0.09 | 1.00 | 0.37 | 0.54 | 0.51 | 0.79 |
| EMHY | 0.46 | 0.14 | 0.37 | 1.00 | 0.52 | 0.49 | 0.72 |
| LEMB | 0.42 | 0.11 | 0.54 | 0.52 | 1.00 | 0.48 | 0.81 |
| GHYG | 0.52 | 0.14 | 0.51 | 0.49 | 0.48 | 1.00 | 0.75 |
| Portfolio | 0.52 | 0.18 | 0.79 | 0.72 | 0.81 | 0.75 | 1.00 |