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JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2

Currency in USD · Last updated Apr 3, 2026

This version has BTGD swapped for OUNZ

Asset Allocation

4 positions 9.72%3 positions 10.32%AVDV 17.50%RWJ 12.00%AVUV 11.55%SPMO 11.50%DFIV 6.00%RSST 5.00%2 positions 7.98%DFEV 5.00%1 position 3.43%AlternativesAlternativesBondBondCommodityCommodityEquityEquityMulti-AssetMulti-Asset
PositionCategory/SectorTarget Weight
AVDV
Avantis International Small Cap Value ETF		Foreign Small & Mid Cap Equities
17.50%
AVUV
Avantis US Small Cap Value ETF		Small Cap Value Equities
11.55%
BTGD
STKD Bitcoin & Gold ETF		Cryptocurrency, Gold
3.43%
CAOS
Alpha Architect Tail Risk ETF		Options Trading
2.22%
CTA
Simplify Managed Futures Strategy ETF		Systematic Trend
2.50%
DBMF
iM DBi Managed Futures Strategy ETF		Hedge Fund, Actively Managed
2.50%
DFEV
Dimensional Emerging Markets Value ETF		Emerging Markets Diversified
5%
DFIV
Dimensional International Value ETF		Foreign Large Cap Equities
6%
IDMO
Invesco S&P International Developed Momentum ETF		Global Equities
3%
KMLM
KFA Mount Lucas Index Strategy ETF		Long-Short, Actively Managed
2.50%
OUNZ
VanEck Merk Gold Trust		Precious Metals, Gold
0%
RSST
Return Stacked U.S. Stocks & Managed Futures ETF		Large Cap Blend Equities
5%
RWJ
Invesco S&P SmallCap 600 Revenue ETF		Small Cap Value Equities
12%
SPMO
Invesco S&P 500 Momentum ETF		S&P 500
11.50%
VGIT
Vanguard Intermediate-Term Treasury ETF		Government Bonds
3.44%
VGLT
Vanguard Long-Term Treasury ETF		Government Bonds, Long-Term Bond
3.44%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		Inflation-Protected Bonds
3.44%
XMMO
Invesco S&P MidCap Momentum ETF		Mid Cap Growth Equities
4.98%

S&P 500 Index

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2, 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 Oct 16, 2024, corresponding to the inception date of BTGD

Returns By Period

1D1MYTD6M1Y3Y*5Y*10Y*
Benchmark
S&P 500 Index
0.11%-3.43%-3.84%-1.98%16.08%16.86%10.37%12.29%
Portfolio
JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2
-0.03%-1.99%3.88%6.27%26.60%———
Portfolio components:
RWJ
Invesco S&P SmallCap 600 Revenue ETF		0.36%-2.21%4.45%4.56%23.82%12.03%6.97%12.35%
IDMO
Invesco S&P International Developed Momentum ETF		-0.89%-1.97%1.06%6.02%29.40%22.78%14.31%11.76%
VGIT
Vanguard Intermediate-Term Treasury ETF		0.13%-1.05%0.03%0.77%4.08%3.19%0.33%1.32%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		0.23%0.26%1.11%1.40%4.15%4.67%3.51%3.08%
VGLT
Vanguard Long-Term Treasury ETF		0.49%-2.51%0.35%-0.58%0.18%-1.61%-4.79%-0.82%
SPMO
Invesco S&P 500 Momentum ETF		0.21%-3.49%-3.57%-4.50%22.96%28.37%17.71%17.43%
AVUV
Avantis US Small Cap Value ETF		0.68%-0.56%9.54%12.30%27.33%16.21%10.57%—
AVDV
Avantis International Small Cap Value ETF		-0.97%-4.17%7.34%14.94%49.48%23.93%13.58%—
XMMO
Invesco S&P MidCap Momentum ETF		-0.06%-0.54%6.80%9.09%27.24%25.66%12.61%18.43%
DFEV
Dimensional Emerging Markets Value ETF		-0.53%-2.50%6.02%12.20%35.19%18.66%——
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Oct 17, 2024, JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2's average daily return is +0.07%, while the average monthly return is +1.30%. At this rate, your investment would double in approximately 4.5 years.

Historically, 74% of months were positive and 26% were negative. The best month was Nov 2024 with a return of +5.8%, while the worst month was Mar 2026 at -5.0%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 2 months.

On a daily basis, JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 closed higher 57% of trading days. The best single day was Apr 9, 2025 with a return of +6.9%, while the worst single day was Apr 4, 2025 at -4.9%.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20264.66%3.50%-4.95%0.89%3.88%
20253.18%-1.69%-1.95%0.22%5.68%4.12%1.18%4.29%3.14%0.29%1.23%1.21%22.66%
2024-2.67%5.84%-3.44%-0.54%

Benchmark Metrics

JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 has an annualized alpha of 10.46%, beta of 0.77, and R² of 0.81 versus S&P 500 Index. Calculated based on daily prices since October 17, 2024.

  • This portfolio captured 110.29% of S&P 500 Index gains but only 56.19% of its losses — a favorable profile for investors.
  • This portfolio generated an annualized alpha of 10.46% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
Alpha
10.46%
Beta
0.77
R²
0.81
Upside Capture
110.29%
Downside Capture
56.19%

Expense Ratio

JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 has an expense ratio of 0.38%, 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.

Top 10 holdings
RSST
Return Stacked U.S. Stocks & Managed Futures ETF
BTGD
STKD Bitcoin & Gold ETF
KMLM
KFA Mount Lucas Index Strategy ETF
DBMF
iM DBi Managed Futures Strategy ETF
CTA
Simplify Managed Futures Strategy ETF
CAOS
Alpha Architect Tail Risk ETF
DFEV
Dimensional Emerging Markets Value ETF
RWJ
Invesco S&P SmallCap 600 Revenue ETF
AVDV
Avantis International Small Cap Value ETF
XMMO
Invesco S&P MidCap Momentum ETF

Return for Risk

Risk / Return Rank

JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 ranks 76 for risk / return — better than 76% 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.

JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 Risk / Return Rank: 7676
Overall Rank
JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 Sharpe Ratio Rank: 7979
Sharpe Ratio Rank
JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 Sortino Ratio Rank: 7878
Sortino Ratio Rank
JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 Omega Ratio Rank: 7878
Omega Ratio Rank
JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 Calmar Ratio Rank: 7070
Calmar Ratio Rank
JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 Martin Ratio Rank: 7777
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

PortfolioBenchmarkDifference

Sharpe ratio

Return per unit of total volatility

1.69

0.88

+0.81

Sortino ratio

Return per unit of downside risk

2.34

1.37

+0.98

Omega ratio

Gain probability vs. loss probability

1.34

1.21

+0.13

Calmar ratio

Return relative to maximum drawdown

2.45

1.39

+1.06

Martin ratio

Return relative to average drawdown

11.35

6.43

+4.92

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 RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
RWJ
Invesco S&P SmallCap 600 Revenue ETF		510.941.481.201.615.70
IDMO
Invesco S&P International Developed Momentum ETF		791.542.141.322.489.91
VGIT
Vanguard Intermediate-Term Treasury ETF		521.081.611.191.645.01
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		932.183.311.474.1313.26
VGLT
Vanguard Long-Term Treasury ETF		110.020.091.010.010.02
SPMO
Invesco S&P 500 Momentum ETF		581.011.551.231.916.68
AVUV
Avantis US Small Cap Value ETF		631.171.731.241.907.48
AVDV
Avantis International Small Cap Value ETF		952.693.381.553.7615.42
XMMO
Invesco S&P MidCap Momentum ETF		711.251.801.252.2910.83
DFEV
Dimensional Emerging Markets Value ETF		862.002.581.392.7110.83

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 Sharpe ratios as of Apr 3, 2026 (values are recalculated daily):

  • 1-Year: 1.69
  • All Time: 1.20

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.99 to 1.67, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 provided a 2.30% dividend yield over the last twelve months.

TTM20252024202320222021202020192018201720162015
Portfolio2.30%2.33%2.27%2.27%2.73%1.63%0.98%0.99%0.65%0.52%0.55%0.41%
Portfolio components:
RWJ
Invesco S&P SmallCap 600 Revenue ETF		1.12%1.11%1.15%1.34%1.02%0.61%0.89%1.22%1.44%1.11%0.60%0.74%
IDMO
Invesco S&P International Developed Momentum ETF		3.77%3.71%2.24%2.89%3.66%1.81%1.63%2.78%3.27%3.08%2.18%2.52%
VGIT
Vanguard Intermediate-Term Treasury ETF		3.82%3.79%3.67%2.73%1.74%1.69%2.23%2.24%2.05%1.67%1.69%1.69%
VTIP
Vanguard Short-Term Inflation-Protected Securities ETF		3.62%3.81%2.70%2.86%6.84%4.68%1.20%1.95%2.45%1.52%0.76%0.00%
VGLT
Vanguard Long-Term Treasury ETF		4.52%4.44%4.33%3.33%2.84%1.82%2.15%2.46%2.71%2.55%2.69%3.21%
SPMO
Invesco S&P 500 Momentum ETF		0.88%0.73%0.48%1.63%1.66%0.52%1.27%1.39%1.05%0.77%1.94%0.36%
AVUV
Avantis US Small Cap Value ETF		1.39%1.58%1.61%1.65%1.74%1.28%1.21%0.38%0.00%0.00%0.00%0.00%
AVDV
Avantis International Small Cap Value ETF		2.97%3.05%4.31%3.29%3.17%2.39%1.67%0.36%0.00%0.00%0.00%0.00%
XMMO
Invesco S&P MidCap Momentum ETF		0.70%0.78%0.34%0.80%1.43%0.41%0.61%0.60%0.19%0.21%0.22%0.64%
DFEV
Dimensional Emerging Markets Value ETF		2.47%2.69%3.17%3.47%3.35%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 JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2. 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 JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 was 14.76%, occurring on Apr 8, 2025. Recovery took 27 trading sessions.

The current JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 drawdown is 4.36%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-14.76%Feb 19, 202535Apr 8, 202527May 16, 202562
-7.55%Feb 27, 202622Mar 30, 2026———
-5.23%Oct 28, 202518Nov 20, 20259Dec 4, 202527
-4.67%Dec 12, 202420Jan 13, 202522Feb 13, 202542
-3.86%Jul 24, 20257Aug 1, 20257Aug 12, 202514

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 18 assets, with an effective number of assets of 11.03, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
BenchmarkVTIPCTAKMLMVGITVGLTCAOSOUNZBTGDDBMFSPMODFEVRWJAVUVXMMOIDMODFIVAVDVRSSTPortfolio
Benchmark1.00-0.03-0.010.050.040.13-0.330.060.410.390.900.620.710.710.800.680.590.560.850.84
VTIP-0.031.00-0.03-0.040.710.480.100.190.070.12-0.09-0.05-0.01-0.03-0.030.040.070.10-0.010.03
CTA-0.01-0.031.000.35-0.12-0.14-0.040.330.230.31-0.020.080.010.04-0.020.050.060.100.180.12
KMLM0.05-0.040.351.00-0.14-0.15-0.050.240.170.360.030.120.040.050.010.130.120.140.300.15
VGIT0.040.71-0.12-0.141.000.860.050.160.040.06-0.030.040.070.040.070.150.190.190.010.11
VGLT0.130.48-0.14-0.150.861.00-0.080.090.040.060.050.110.150.120.150.190.230.220.070.18
CAOS-0.330.10-0.04-0.050.05-0.081.00-0.00-0.17-0.11-0.28-0.27-0.30-0.30-0.28-0.25-0.22-0.19-0.27-0.32
OUNZ0.060.190.330.240.160.09-0.001.000.480.540.030.300.030.050.080.240.280.410.270.27
BTGD0.410.070.230.170.040.04-0.170.481.000.480.370.420.340.360.390.420.360.430.480.60
DBMF0.390.120.310.360.060.06-0.110.540.481.000.330.440.290.310.320.420.410.480.630.53
SPMO0.90-0.09-0.020.03-0.030.05-0.280.030.370.331.000.520.550.580.780.630.490.470.750.74
DFEV0.62-0.050.080.120.040.11-0.270.300.420.440.521.000.510.500.510.600.680.690.630.71
RWJ0.71-0.010.010.040.070.15-0.300.030.340.290.550.511.000.950.740.560.610.530.630.84
AVUV0.71-0.030.040.050.040.12-0.300.050.360.310.580.500.951.000.770.560.610.540.640.85
XMMO0.80-0.03-0.020.010.070.15-0.280.080.390.320.780.510.740.771.000.610.530.510.690.82
IDMO0.680.040.050.130.150.19-0.250.240.420.420.630.600.560.560.611.000.830.780.680.78
DFIV0.590.070.060.120.190.23-0.220.280.360.410.490.680.610.610.530.831.000.900.640.79
AVDV0.560.100.100.140.190.22-0.190.410.430.480.470.690.530.540.510.780.901.000.620.79
RSST0.85-0.010.180.300.010.07-0.270.270.480.630.750.630.630.640.690.680.640.621.000.84
Portfolio0.840.030.120.150.110.18-0.320.270.600.530.740.710.840.850.820.780.790.790.841.00
The correlation results are calculated based on daily price changes starting from Oct 17, 2024