Asset Allocation
Find the right asset allocation for KKM Fixed Income Model
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 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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Returns By Period
As of Jun 9, 2026, the KKM Fixed Income Model returned 1.27% Year-To-Date and 3.57% of annualized return in the last 10 years.
| 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 KKM Fixed Income Model | -0.06% | -0.46% | 1.27% | 2.25% | 7.47% | 8.40% | 2.85% | 3.57% |
| Portfolio components: | ||||||||
EMHY iShares J.P. Morgan EM High Yield Bond ETF | 0.00% | -0.15% | 2.47% | 3.73% | 12.80% | 12.59% | 4.11% | 4.59% |
EUHY iShares Euro High Yield Corporate Bond USD Hedged ETF | -0.12% | 0.05% | 1.70% | 2.27% | 5.47% | 9.44% | 1.82% | 3.68% |
FLOT iShares Floating Rate Bond ETF | 0.00% | 0.41% | 1.87% | 2.15% | 4.85% | 5.60% | 4.20% | 3.03% |
GHYG iShares US & Intl High Yield Corp Bond ETF | -0.02% | -1.01% | 0.09% | 1.21% | 5.72% | 8.59% | 3.16% | 4.68% |
LEMB iShares J.P. Morgan EM Local Currency Bond ETF | -0.14% | -1.58% | 0.19% | 1.78% | 8.43% | 5.42% | 0.39% | 1.21% |
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 +0.29%. At this rate, an investment would double in approximately 19.9 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% | 1.97% | 0.71% | -0.46% | 1.27% | ||||||
| 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 0.10%, 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 43.69% of S&P 500 Index downside but only 29.17% 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
- 0.10%
- Beta
- 0.25
- R²
- 0.41
- Upside Capture
- 29.17%
- Downside Capture
- 43.69%
Expense Ratio
KKM Fixed Income Model has an expense ratio of 0.34%, 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 39 for risk / return — below 39% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for KKM Fixed Income Model and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 1.92 | 1.94 | -0.01 |
| Sortino ratioReturn per unit of downside risk | 2.83 | 2.63 | +0.21 |
| Omega ratioGain probability vs. loss probability | 1.37 | 1.35 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.23 | 2.59 | -0.35 |
| Martin ratioReturn relative to average drawdown | 9.47 | 11.84 | -2.38 |
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 |
|---|---|---|---|---|---|---|
EMHY iShares J.P. Morgan EM High Yield Bond ETF | 78 | 2.27 | 3.37 | 1.46 | 2.96 | 13.44 |
EUHY iShares Euro High Yield Corporate Bond USD Hedged ETF | 31 | 1.00 | 1.45 | 1.19 | 1.57 | 3.75 |
FLOT iShares Floating Rate Bond ETF | 99 | 6.54 | 11.79 | 3.22 | 11.27 | 104.83 |
GHYG iShares US & Intl High Yield Corp Bond ETF | 37 | 1.22 | 1.85 | 1.22 | 1.50 | 5.56 |
LEMB iShares J.P. Morgan EM Local Currency Bond ETF | 37 | 1.28 | 1.78 | 1.24 | 1.41 | 4.73 |
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Dividends
Dividend yield
KKM Fixed Income Model provided a 5.00% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 5.00% | 4.68% | 4.78% | 4.54% | 3.05% | 3.51% | 2.50% | 3.74% | 4.46% | 2.47% | 2.74% | 3.24% |
| Portfolio components: | ||||||||||||
EMHY iShares J.P. Morgan EM High Yield Bond ETF | 6.43% | 6.52% | 6.86% | 6.73% | 7.08% | 5.58% | 5.44% | 5.72% | 6.79% | 5.59% | 6.43% | 6.99% |
EUHY iShares Euro High Yield Corporate Bond USD Hedged ETF | 5.35% | 3.56% | 5.11% | 3.38% | 0.61% | 3.07% | 1.45% | 1.19% | 4.01% | 0.69% | 1.70% | 3.24% |
FLOT iShares Floating Rate Bond ETF | 4.54% | 4.84% | 5.82% | 5.66% | 2.06% | 0.43% | 1.25% | 2.78% | 2.41% | 1.46% | 0.97% | 0.53% |
GHYG iShares US & Intl High Yield Corp Bond ETF | 6.27% | 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 | 2.44% | 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 0.66%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -21.95%Mar 2020 | 2mo 2d | 5mo 12d | 7mo 14dJan 2020 - Aug 2020 |
Bear market2022 | -20.86%Sep 2022 | 1y 3mo | 1y 10mo | 3y 2moJun 2021 - Aug 2024 |
2016 correction2016 | -14.61%Jan 2016 | 1y 6mo | 1y 3mo | 2y 10moJul 2014 - May 2017 |
Rate-hike selloffLate 2018 | -7.58%Dec 2018 | 10mo 29d | 6mo 9d | 1y 5moJan 2018 - Jul 2019 |
2013 pullback2013 | -6.94%Jun 2013 | 1mo 16d | 8mo 9d | 9mo 25dMay 2013 - Feb 2014 |
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. 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 | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.19 | 1.19 | 1.17 | 1.20 | 1.26 |
The portfolio has a diversification ratio of 1.26, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
KKM Fixed Income Model correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.67 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.57 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.61 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.57 |
Correlation (All Time) Calculated using the full available price history since Apr 9, 2012 | 0.53 |
Benchmark Correlations
Correlation vs. S&P 500 Index. GHYG has the highest benchmark correlation at 0.52, while FLOT has the lowest at 0.14.
Asset Correlations Table
Find what KKM Fixed Income Model is missing
See which holdings overlap, where KKM Fixed Income Model is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification