Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Alex, 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 Jul 14, 2016, corresponding to the inception date of EYLD
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.11% | 0.61% | -0.42% | 4.03% | 29.40% | 18.38% | 10.55% | 12.70% |
Portfolio Alex | -0.03% | 2.71% | 10.39% | 17.29% | 39.91% | 15.81% | 7.99% | — |
| Portfolio components: | ||||||||
FYLD Cambria Foreign Shareholder Yield ETF | -0.26% | 3.72% | 17.74% | 27.77% | 63.47% | 20.48% | 12.45% | 11.50% |
EYLD Cambria Emerging Shareholder Yield ETF | 0.16% | 4.47% | 15.37% | 25.99% | 60.06% | 21.93% | 8.89% | — |
PIMIX PIMCO Income Fund Institutional Class | 0.00% | 0.36% | 0.38% | 2.74% | 10.10% | 7.89% | 3.69% | 4.85% |
WIP SPDR FTSE International Government Inflation-Protected Bond ETF | -0.17% | 1.05% | 3.46% | 6.16% | 13.71% | 4.04% | -0.04% | 1.49% |
EMLC VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 0.23% | 1.19% | 1.45% | 5.31% | 15.84% | 7.49% | 2.17% | 2.05% |
SCHP Schwab U.S. TIPS ETF | 0.07% | -0.08% | 1.01% | 0.49% | 5.86% | 3.19% | 1.53% | 2.68% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 0.04% | 0.27% | 1.24% | 1.40% | 4.62% | 4.71% | 3.51% | 3.10% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 15, 2016, Alex's average daily return is +0.04%, while the average monthly return is +0.77%. At this rate, your investment would double in approximately 7.5 years.
Historically, 64% of months were positive and 36% were negative. The best month was Nov 2022 with a return of +10.8%, while the worst month was Mar 2020 at -14.5%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Alex closed higher 55% of trading days. The best single day was Jul 22, 2016 with a return of +8.0%, while the worst single day was Jul 25, 2016 at -7.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 5.90% | 5.14% | -3.75% | 3.00% | 10.39% | ||||||||
| 2025 | 1.14% | 1.46% | 1.29% | 0.26% | 4.20% | 4.13% | 0.36% | 3.16% | 1.31% | 0.99% | 1.90% | 1.48% | 23.85% |
| 2024 | 0.07% | 2.01% | 2.20% | -0.31% | 3.20% | -1.11% | 1.07% | 1.27% | 1.54% | -3.55% | -0.19% | -2.14% | 3.93% |
| 2023 | 5.56% | -2.52% | 0.28% | 0.94% | -3.64% | 3.22% | 4.51% | -2.73% | -0.33% | -2.43% | 5.81% | 4.51% | 13.23% |
| 2022 | -0.06% | -3.06% | -1.29% | -4.55% | 1.52% | -7.68% | 2.47% | -1.06% | -7.21% | 1.69% | 10.77% | -0.63% | -9.91% |
| 2021 | 0.23% | 4.50% | 1.68% | 2.88% | 0.86% | -0.03% | -0.05% | 0.21% | -2.31% | 0.91% | -2.71% | 3.58% | 9.94% |
Benchmark Metrics
Alex has an annualized alpha of 3.60%, beta of 0.43, and R² of 0.45 versus S&P 500 Index. Calculated based on daily prices since July 15, 2016.
- This portfolio participated in 56.99% of S&P 500 Index downside but only 55.84% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.43 may look defensive, but with R² of 0.45 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 0.45 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
- 3.60%
- Beta
- 0.43
- R²
- 0.45
- Upside Capture
- 55.84%
- Downside Capture
- 56.99%
Expense Ratio
Alex has an expense ratio of 0.59%, 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
Alex ranks 97 for risk / return — in the top 97% 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 | 4.51 | 2.23 | +2.28 |
Sortino ratioReturn per unit of downside risk | 6.14 | 3.12 | +3.02 |
Omega ratioGain probability vs. loss probability | 1.93 | 1.42 | +0.51 |
Calmar ratioReturn relative to maximum drawdown | 7.61 | 4.05 | +3.56 |
Martin ratioReturn relative to average drawdown | 29.95 | 17.91 | +12.04 |
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 | |
|---|---|---|---|---|---|---|
FYLD Cambria Foreign Shareholder Yield ETF | 98 | 5.48 | 7.45 | 2.04 | 12.89 | 48.01 |
EYLD Cambria Emerging Shareholder Yield ETF | 92 | 3.65 | 4.67 | 1.69 | 6.56 | 25.40 |
PIMIX PIMCO Income Fund Institutional Class | 44 | 2.34 | 3.54 | 1.46 | 2.18 | 9.12 |
WIP SPDR FTSE International Government Inflation-Protected Bond ETF | 37 | 1.57 | 2.17 | 1.27 | 3.16 | 9.49 |
EMLC VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 60 | 2.37 | 3.38 | 1.48 | 2.90 | 11.93 |
SCHP Schwab U.S. TIPS ETF | 34 | 1.61 | 2.35 | 1.29 | 2.48 | 6.44 |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 78 | 2.73 | 4.16 | 1.59 | 4.31 | 15.29 |
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Dividends
Dividend yield
Alex provided a 4.92% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.92% | 5.13% | 5.55% | 5.85% | 6.18% | 5.28% | 3.81% | 4.48% | 6.03% | 3.58% | 2.94% | 3.81% |
| Portfolio components: | ||||||||||||
FYLD Cambria Foreign Shareholder Yield ETF | 3.67% | 4.07% | 5.41% | 6.06% | 6.13% | 4.74% | 3.94% | 3.73% | 5.17% | 2.85% | 2.72% | 3.98% |
EYLD Cambria Emerging Shareholder Yield ETF | 5.25% | 5.40% | 5.16% | 5.54% | 6.97% | 7.27% | 3.02% | 4.21% | 7.87% | 2.77% | 0.75% | 0.00% |
PIMIX PIMCO Income Fund Institutional Class | 5.94% | 6.01% | 6.27% | 6.21% | 4.98% | 4.02% | 4.88% | 5.83% | 5.66% | 5.37% | 5.52% | 7.88% |
WIP SPDR FTSE International Government Inflation-Protected Bond ETF | 5.23% | 5.51% | 6.06% | 6.54% | 11.15% | 4.63% | 1.59% | 2.49% | 4.05% | 1.91% | 1.27% | 1.14% |
EMLC VanEck Vectors J.P. Morgan EM Local Currency Bond ETF | 5.99% | 5.91% | 6.55% | 5.97% | 5.54% | 5.25% | 4.90% | 6.25% | 6.50% | 5.34% | 5.32% | 6.25% |
SCHP Schwab U.S. TIPS ETF | 3.69% | 4.06% | 2.99% | 3.02% | 7.19% | 4.39% | 1.11% | 2.02% | 2.26% | 1.90% | 1.38% | 0.28% |
VTIP Vanguard Short-Term Inflation-Protected Securities ETF | 3.61% | 3.81% | 2.70% | 2.86% | 6.84% | 4.68% | 1.20% | 1.95% | 2.45% | 1.52% | 0.76% | 0.00% |
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 Alex. 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 Alex was 30.24%, occurring on Mar 23, 2020. Recovery took 169 trading sessions.
The current Alex drawdown is 0.86%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -30.24% | Jan 3, 2020 | 55 | Mar 23, 2020 | 169 | Nov 19, 2020 | 224 |
| -21.17% | Jun 14, 2021 | 329 | Sep 30, 2022 | 335 | Feb 1, 2024 | 664 |
| -14.14% | Jan 29, 2018 | 229 | Dec 24, 2018 | 253 | Dec 26, 2019 | 482 |
| -11.04% | Sep 30, 2024 | 131 | Apr 8, 2025 | 25 | May 14, 2025 | 156 |
| -7.53% | Jul 25, 2016 | 80 | Nov 14, 2016 | 55 | Feb 3, 2017 | 135 |
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 7 assets, with an effective number of assets of 3.56, 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 | SCHP | VTIP | PIMIX | WIP | EYLD | FYLD | EMLC | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.05 | 0.09 | 0.28 | 0.26 | 0.50 | 0.62 | 0.42 | 0.62 |
| SCHP | 0.05 | 1.00 | 0.80 | 0.53 | 0.42 | 0.08 | 0.06 | 0.29 | 0.16 |
| VTIP | 0.09 | 0.80 | 1.00 | 0.49 | 0.37 | 0.10 | 0.15 | 0.30 | 0.20 |
| PIMIX | 0.28 | 0.53 | 0.49 | 1.00 | 0.47 | 0.30 | 0.29 | 0.50 | 0.44 |
| WIP | 0.26 | 0.42 | 0.37 | 0.47 | 1.00 | 0.36 | 0.37 | 0.65 | 0.46 |
| EYLD | 0.50 | 0.08 | 0.10 | 0.30 | 0.36 | 1.00 | 0.61 | 0.53 | 0.90 |
| FYLD | 0.62 | 0.06 | 0.15 | 0.29 | 0.37 | 0.61 | 1.00 | 0.52 | 0.87 |
| EMLC | 0.42 | 0.29 | 0.30 | 0.50 | 0.65 | 0.53 | 0.52 | 1.00 | 0.64 |
| Portfolio | 0.62 | 0.16 | 0.20 | 0.44 | 0.46 | 0.90 | 0.87 | 0.64 | 1.00 |