Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
AGG iShares Core U.S. Aggregate Bond ETF | Total Bond Market | 25% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | 55% |
GLD SPDR Gold Shares | Gold, Precious Metals | 10% |
IQLT iShares MSCI Intl Quality Factor ETF | Foreign Large Cap Equities | 10% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Strategic Liquidity Reserve, 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 6 months.
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The earliest data available for this chart is Jan 15, 2015, corresponding to the inception date of IQLT
Returns By Period
As of Apr 9, 2026, the Strategic Liquidity Reserve returned 2.26% Year-To-Date and 4.07% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 2.51% | -0.19% | -0.92% | 0.43% | 36.13% | 18.22% | 10.44% | 12.72% |
Portfolio Strategic Liquidity Reserve | 0.49% | -0.64% | 2.26% | 3.92% | 12.60% | 8.01% | 4.90% | 4.07% |
| Portfolio components: | ||||||||
BIL SPDR Barclays 1-3 Month T-Bill ETF | 0.00% | 0.29% | 0.93% | 1.82% | 3.96% | 4.69% | 3.30% | 2.13% |
AGG iShares Core U.S. Aggregate Bond ETF | 0.26% | -0.67% | 0.53% | 1.26% | 5.86% | 3.40% | 0.30% | 1.67% |
IQLT iShares MSCI Intl Quality Factor ETF | 3.51% | 2.91% | 6.51% | 8.65% | 38.13% | 13.80% | 7.84% | 9.51% |
GLD SPDR Gold Shares | 0.63% | -8.04% | 9.64% | 16.72% | 57.90% | 32.57% | 21.62% | 13.88% |
Monthly Returns
Based on dividend-adjusted daily data since Jan 16, 2015, Strategic Liquidity Reserve's average daily return is +0.01%, while the average monthly return is +0.30%. At this rate, your investment would double in approximately 19.3 years.
Historically, 63% of months were positive and 37% were negative. The best month was Nov 2022 with a return of +3.3%, while the worst month was Mar 2026 at -2.3%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Strategic Liquidity Reserve closed higher 54% of trading days. The best single day was Nov 10, 2022 with a return of +1.4%, while the worst single day was Mar 12, 2020 at -2.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.92% | 1.94% | -2.31% | 0.74% | 2.26% | ||||||||
| 2025 | 1.48% | 1.18% | 1.13% | 1.32% | 0.44% | 0.82% | -0.31% | 1.37% | 1.93% | 0.83% | 1.02% | 0.61% | 12.44% |
| 2024 | 0.01% | 0.26% | 1.57% | -0.51% | 1.37% | 0.34% | 1.51% | 1.27% | 1.16% | -0.55% | 0.09% | -0.71% | 5.91% |
| 2023 | 2.39% | -1.43% | 2.12% | 0.72% | -0.68% | 0.33% | 0.69% | -0.43% | -1.30% | 0.36% | 2.46% | 1.88% | 7.23% |
| 2022 | -1.16% | 0.01% | -0.37% | -1.85% | -0.10% | -1.20% | 1.04% | -1.72% | -2.09% | 0.11% | 3.25% | 0.05% | -4.07% |
| 2021 | -0.65% | -0.90% | -0.13% | 0.95% | 1.15% | -0.62% | 0.74% | 0.10% | -1.10% | 0.63% | -0.40% | 0.63% | 0.37% |
Benchmark Metrics
Strategic Liquidity Reserve has an annualized alpha of 2.67%, beta of 0.08, and R² of 0.20 versus S&P 500 Index. Calculated based on daily prices since January 16, 2015.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (15.49%) than losses (9.50%) — typical of diversified or defensive assets.
- Beta of 0.08 may look defensive, but with R² of 0.20 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 0.20 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 2.67%
- Beta
- 0.08
- R²
- 0.20
- Upside Capture
- 15.49%
- Downside Capture
- 9.50%
Expense Ratio
Strategic Liquidity Reserve has an expense ratio of 0.15%, which is considered low. 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
Strategic Liquidity Reserve ranks 67 for risk / return — better than 67% 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
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.94 | 2.19 | +0.75 |
Sortino ratioReturn per unit of downside risk | 4.10 | 3.49 | +0.61 |
Omega ratioGain probability vs. loss probability | 1.62 | 1.48 | +0.14 |
Calmar ratioReturn relative to maximum drawdown | 3.34 | 3.70 | -0.36 |
Martin ratioReturn relative to average drawdown | 13.84 | 16.45 | -2.60 |
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 | |
|---|---|---|---|---|---|---|
BIL SPDR Barclays 1-3 Month T-Bill ETF | 100 | 19.40 | 252.58 | 178.89 | 365.78 | 4,106.73 |
AGG iShares Core U.S. Aggregate Bond ETF | 33 | 1.44 | 2.10 | 1.25 | 1.58 | 5.16 |
IQLT iShares MSCI Intl Quality Factor ETF | 74 | 2.43 | 3.73 | 1.47 | 3.30 | 13.06 |
GLD SPDR Gold Shares | 57 | 2.11 | 2.52 | 1.38 | 2.88 | 10.09 |
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Dividends
Dividend yield
Strategic Liquidity Reserve provided a 3.38% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.38% | 3.48% | 3.99% | 3.72% | 1.65% | 0.67% | 0.86% | 2.03% | 1.86% | 1.19% | 0.93% | 0.89% |
| Portfolio components: | ||||||||||||
BIL SPDR Barclays 1-3 Month T-Bill ETF | 3.95% | 4.13% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% |
AGG iShares Core U.S. Aggregate Bond ETF | 3.93% | 3.89% | 3.74% | 3.13% | 2.39% | 1.77% | 2.14% | 2.70% | 2.72% | 2.32% | 2.39% | 2.45% |
IQLT iShares MSCI Intl Quality Factor ETF | 2.18% | 2.33% | 2.87% | 2.27% | 3.14% | 2.24% | 1.61% | 2.28% | 2.72% | 2.36% | 2.91% | 2.78% |
GLD SPDR Gold Shares | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 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 Strategic Liquidity Reserve. 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 Strategic Liquidity Reserve was 8.26%, occurring on Oct 20, 2022. Recovery took 275 trading sessions.
The current Strategic Liquidity Reserve drawdown is 1.58%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -8.26% | Sep 7, 2021 | 284 | Oct 20, 2022 | 275 | Nov 24, 2023 | 559 |
| -5.73% | Mar 9, 2020 | 8 | Mar 18, 2020 | 44 | May 20, 2020 | 52 |
| -3.48% | Mar 2, 2026 | 19 | Mar 26, 2026 | — | — | — |
| -3.38% | Sep 8, 2016 | 70 | Dec 15, 2016 | 106 | May 19, 2017 | 176 |
| -2.98% | May 18, 2015 | 169 | Jan 15, 2016 | 63 | Apr 18, 2016 | 232 |
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 4 assets, with an effective number of assets of 2.60, 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 | BIL | AGG | GLD | IQLT | Portfolio | |
|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.00 | 0.02 | 0.02 | 0.71 | 0.37 |
| BIL | 0.00 | 1.00 | 0.02 | 0.05 | 0.01 | 0.10 |
| AGG | 0.02 | 0.02 | 1.00 | 0.35 | 0.13 | 0.60 |
| GLD | 0.02 | 0.05 | 0.35 | 1.00 | 0.19 | 0.74 |
| IQLT | 0.71 | 0.01 | 0.13 | 0.19 | 1.00 | 0.64 |
| Portfolio | 0.37 | 0.10 | 0.60 | 0.74 | 0.64 | 1.00 |