Asset Allocation
Find the right asset allocation for 2026 Baseline
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 2026 Baseline, 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% | 0.31% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio 2026 Baseline | 0.39% | 1.90% | 11.48% | 12.69% | 27.41% | 19.11% | 11.09% | — |
| Portfolio components: | ||||||||
BDMAX BlackRock Global Equity Market Neutral Fund | 0.95% | 2.32% | 11.51% | 13.10% | 21.47% | 21.11% | 12.45% | 8.14% |
EELDX Eaton Vance Emerging Markets Debt Opportunities Fund | 0.23% | 0.78% | 6.66% | 8.02% | 18.24% | 14.78% | 8.04% | 7.96% |
EMXC iShares MSCI Emerging Markets ex China ETF | 0.55% | 6.57% | 37.25% | 42.23% | 67.80% | 26.47% | 12.14% | — |
FTBFX Fidelity Total Bond Fund | 0.53% | 1.21% | 0.57% | 1.02% | 5.30% | 4.80% | 0.60% | 2.43% |
IVLU iShares MSCI International Value Factor ETF | 0.56% | 2.48% | 12.96% | 14.33% | 35.32% | 23.53% | 14.06% | 11.63% |
LDLVX Lord Abbett Short Duration Income Fund Class R6 | 0.00% | 0.42% | 0.82% | 1.25% | 4.53% | 5.37% | 2.41% | 2.43% |
QLENX AQR Long-Short Equity Fund Class N | 0.90% | 0.25% | -1.51% | -0.07% | 14.37% | 25.84% | 21.74% | 11.68% |
VEA Vanguard FTSE Developed Markets ETF | 0.34% | 3.58% | 14.73% | 16.65% | 31.41% | 19.03% | 9.51% | 10.72% |
VOO Vanguard S&P 500 ETF | 0.55% | 0.37% | 9.08% | 9.44% | 25.76% | 20.95% | 13.43% | 15.50% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 26, 2017, 2026 Baseline's average daily return is +0.05%, while the average monthly return is +0.93%. At this rate, an investment would double in approximately 6.2 years.
Historically, 68% of months were positive and 32% were negative. The best month was Nov 2020 with a return of +10.0%, while the worst month was Mar 2020 at -12.2%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.
On a daily basis, 2026 Baseline closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +6.4%, while the worst single day was Mar 16, 2020 at -8.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.23% | 2.59% | -5.57% | 7.70% | 4.56% | -1.01% | 11.48% | ||||||
| 2025 | 2.66% | 0.47% | -1.75% | 0.99% | 4.47% | 3.95% | 0.63% | 2.60% | 3.02% | 2.19% | 0.64% | 1.63% | 23.55% |
| 2024 | 0.53% | 3.07% | 3.17% | -2.66% | 3.74% | 1.43% | 1.92% | 1.92% | 1.50% | -2.17% | 2.57% | -1.91% | 13.62% |
| 2023 | 6.21% | -2.55% | 2.41% | 1.58% | -0.91% | 4.73% | 2.84% | -2.10% | -3.00% | -2.26% | 7.57% | 4.31% | 19.69% |
| 2022 | -2.38% | -2.51% | 1.08% | -6.11% | 0.92% | -7.53% | 5.41% | -3.47% | -7.89% | 5.35% | 7.25% | -3.11% | -13.52% |
| 2021 | -0.43% | 2.24% | 3.25% | 3.05% | 1.82% | 0.55% | 0.95% | 1.73% | -3.02% | 3.44% | -1.83% | 3.81% | 16.44% |
Benchmark Metrics
2026 Baseline has an annualized alpha of 1.67%, beta of 0.68, and R2 of 0.92 versus S&P 500 Index. Calculated based on daily prices since July 26, 2017.
- This portfolio participated in 75.16% of S&P 500 Index downside but only 71.97% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.68 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 1.67%
- Beta
- 0.68
- R²
- 0.92
- Upside Capture
- 71.97%
- Downside Capture
- 75.16%
Expense Ratio
2026 Baseline has an expense ratio of 0.39%, 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
2026 Baseline ranks 73 for risk / return — better than 73% 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.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for 2026 Baseline 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 | 2.35 | 1.86 | +0.49 |
| Sortino ratioReturn per unit of downside risk | 3.24 | 2.53 | +0.70 |
| Omega ratioGain probability vs. loss probability | 1.44 | 1.34 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 3.19 | 2.53 | +0.66 |
| Martin ratioReturn relative to average drawdown | 13.79 | 11.37 | +2.42 |
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 |
|---|---|---|---|---|---|---|
BDMAX BlackRock Global Equity Market Neutral Fund | 94 | 3.04 | 4.46 | 1.57 | 6.58 | 18.08 |
EELDX Eaton Vance Emerging Markets Debt Opportunities Fund | 97 | 5.24 | 8.07 | 2.37 | 4.94 | 20.13 |
EMXC iShares MSCI Emerging Markets ex China ETF | 88 | 2.74 | 3.35 | 1.50 | 4.55 | 17.51 |
FTBFX Fidelity Total Bond Fund | 29 | 1.36 | 2.05 | 1.24 | 1.80 | 5.30 |
IVLU iShares MSCI International Value Factor ETF | 71 | 2.17 | 2.98 | 1.39 | 2.90 | 11.01 |
LDLVX Lord Abbett Short Duration Income Fund Class R6 | 82 | 1.91 | 3.46 | 1.69 | 3.54 | 14.67 |
QLENX AQR Long-Short Equity Fund Class N | 57 | 2.00 | 2.93 | 1.36 | 2.43 | 7.52 |
VEA Vanguard FTSE Developed Markets ETF | 60 | 1.81 | 2.50 | 1.33 | 2.58 | 9.92 |
VOO Vanguard S&P 500 ETF | 67 | 1.99 | 2.70 | 1.36 | 2.75 | 12.42 |
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Dividends
Dividend yield
2026 Baseline provided a 2.68% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.68% | 2.91% | 3.27% | 3.51% | 2.86% | 2.10% | 2.33% | 2.83% | 2.87% | 2.49% | 2.19% | 2.04% |
| Portfolio components: | ||||||||||||
BDMAX BlackRock Global Equity Market Neutral Fund | 8.02% | 8.94% | 13.39% | 7.14% | 0.00% | 1.25% | 0.04% | 6.60% | 0.85% | 0.00% | 0.00% | 1.56% |
EELDX Eaton Vance Emerging Markets Debt Opportunities Fund | 10.78% | 9.44% | 8.58% | 9.02% | 9.17% | 7.87% | 7.71% | 7.86% | 8.16% | 7.90% | 4.12% | 1.65% |
EMXC iShares MSCI Emerging Markets ex China ETF | 2.05% | 2.82% | 2.69% | 1.83% | 2.85% | 1.78% | 1.45% | 3.25% | 2.63% | 0.99% | 0.00% | 0.00% |
FTBFX Fidelity Total Bond Fund | 4.36% | 4.36% | 4.15% | 4.15% | 2.54% | 1.89% | 5.22% | 3.03% | 3.19% | 2.97% | 3.61% | 3.30% |
IVLU iShares MSCI International Value Factor ETF | 3.28% | 3.71% | 4.46% | 4.69% | 3.59% | 3.47% | 2.05% | 3.53% | 2.82% | 2.87% | 2.53% | 0.93% |
LDLVX Lord Abbett Short Duration Income Fund Class R6 | 5.25% | 5.29% | 4.81% | 4.76% | 2.64% | 2.66% | 3.11% | 3.86% | 4.18% | 2.99% | 0.00% | 0.00% |
QLENX AQR Long-Short Equity Fund Class N | 1.66% | 1.64% | 7.13% | 21.21% | 14.09% | 0.00% | 1.59% | 0.00% | 6.09% | 8.91% | 2.87% | 4.91% |
VEA Vanguard FTSE Developed Markets ETF | 2.62% | 3.22% | 3.35% | 3.15% | 2.91% | 3.16% | 2.04% | 3.04% | 3.35% | 2.77% | 3.05% | 2.92% |
VOO Vanguard S&P 500 ETF | 1.05% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
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 2026 Baseline. 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 2026 Baseline was 28.48%, occurring on Mar 23, 2020. Recovery took 111 trading sessions.
The current 2026 Baseline drawdown is 1.73%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -28.48%Mar 2020 | 1mo 9d | 5mo 8d | 6mo 17dFeb 2020 - Aug 2020 |
Bear market2022 | -21.75%Oct 2022 | 9mo 2d | 1y 2mo | 1y 11moJan 2022 - Dec 2023 |
Rate-hike selloffLate 2018 | -15.32%Dec 2018 | 10mo 29d | 6mo 11d | 1y 5moJan 2018 - Jul 2019 |
2025 selloff2025 | -11.41%Apr 2025 | 1mo 18d | 1mo 4d | 2mo 22dFeb 2025 - May 2025 |
2026 pullback2026 | -8.23%Mar 2026 | 1mo 2d | 18d | 1mo 20dFeb 2026 - Apr 2026 |
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 9 assets, with an effective number of assets of 4.48, reflecting the diversification based on asset allocation. Your portfolio is dominated by one or two holdings, which significantly increases concentration risk. Consider rebalancing toward more even weights or adding additional positions.
Diversification Ratio
1Y | 3Y | 5Y | All Time | |
|---|---|---|---|---|
Diversification Ratio | 1.13 | 1.16 | 1.16 | 1.13 |
The portfolio has a diversification ratio of 1.13, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
2026 Baseline correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.94 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.93 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (All Time) Calculated using the full available price history since Jul 26, 2017 | 0.94 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VOO has the highest benchmark correlation at 1.00, while LDLVX has the lowest at 0.07.
Asset Correlations Table
| BDMAX | LDLVX | FTBFX | EELDX | QLENX | EMXC | IVLU | VOO | VEA | |
|---|---|---|---|---|---|---|---|---|---|
| BDMAX | 1.00 | 0.00 | 0.01 | -0.01 | 0.25 | 0.05 | 0.06 | 0.08 | 0.07 |
| LDLVX | 0.00 | 1.00 | 0.58 | 0.06 | -0.04 | 0.10 | 0.06 | 0.07 | 0.12 |
| FTBFX | 0.01 | 0.58 | 1.00 | -0.01 | -0.11 | 0.11 | 0.06 | 0.08 | 0.13 |
| EELDX | -0.01 | 0.06 | -0.01 | 1.00 | 0.20 | 0.42 | 0.40 | 0.34 | 0.42 |
| QLENX | 0.25 | -0.04 | -0.11 | 0.20 | 1.00 | 0.36 | 0.52 | 0.45 | 0.45 |
| EMXC | 0.05 | 0.10 | 0.11 | 0.42 | 0.36 | 1.00 | 0.71 | 0.68 | 0.80 |
| IVLU | 0.06 | 0.06 | 0.06 | 0.40 | 0.52 | 0.71 | 1.00 | 0.70 | 0.93 |
| VOO | 0.08 | 0.07 | 0.08 | 0.34 | 0.45 | 0.68 | 0.70 | 1.00 | 0.80 |
| VEA | 0.07 | 0.12 | 0.13 | 0.42 | 0.45 | 0.80 | 0.93 | 0.80 | 1.00 |
Find what 2026 Baseline is missing
See which holdings overlap, where 2026 Baseline is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification