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

Asset Allocation

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

Benchmark Against

Benchmark

S&P 500 Index

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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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Returns By Period

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 JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2	0.98%	-1.46%	12.82%	14.01%	29.54%	—	—	—
Portfolio components:
AVDV Avantis International Small Cap Value ETF	0.26%	-2.93%	13.22%	16.29%	40.16%	26.61%	13.33%	—
AVUV Avantis US Small Cap Value ETF	1.01%	0.89%	18.87%	18.74%	36.82%	18.46%	10.85%	—
BTGD STKD Bitcoin & Gold ETF	5.44%	-28.40%	-32.80%	-33.78%	-31.91%	—	—	—
CAOS Alpha Architect Tail Risk ETF	-0.09%	-0.08%	0.81%	0.65%	1.88%	4.15%	—	—
CTA Simplify Managed Futures Strategy ETF	0.52%	-4.51%	9.63%	12.55%	10.03%	10.94%	—	—
DBMF iMGP DBi Managed Futures Strategy ETF	0.68%	0.59%	10.45%	12.63%	29.05%	10.02%	7.92%	—
DFEV Dimensional Emerging Markets Value ETF	1.62%	-2.01%	22.81%	25.32%	46.17%	22.74%	—	—
DFIV Dimensional International Value ETF	0.38%	-0.58%	10.17%	14.07%	32.57%	23.03%	—	—
IDMO Invesco S&P International Developed Momentum ETF	0.67%	-3.78%	5.33%	8.93%	19.27%	24.47%	15.15%	12.02%
KMLM KFA Mount Lucas Index Strategy ETF	0.42%	-2.33%	9.83%	12.35%	12.99%	-0.87%	4.40%	—

*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 +0.08%, while the average monthly return is +1.59%. At this rate, an investment would double in approximately 3.7 years.

Historically, 71% of months were positive and 29% were negative. The best month was Apr 2026 with a return of +8.6%, 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 58% 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%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.66%	3.50%	-4.95%	8.62%	2.96%	-2.03%							12.82%
2025	3.18%	-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 8.45%, beta of 0.79, and R2 of 0.81 versus S&P 500 Index. Calculated based on daily prices since October 17, 2024.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (96.91%) than losses (59.94%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 8.45% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.

Alpha: 8.45%

Beta: 0.79

R²: 0.81

Upside Capture: 96.91%

Downside Capture: 59.94%

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

iMGP 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 59 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

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

The table below presents risk-adjusted performance metrics for JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.29	1.94	+0.36
Sortino ratioReturn per unit of downside risk	3.10	2.63	+0.47
Omega ratioGain probability vs. loss probability	1.41	1.35	+0.06
Calmar ratioReturn relative to maximum drawdown	3.93	2.59	+1.35
Martin ratioReturn relative to average drawdown	15.26	11.84	+3.42
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
AVDV Avantis International Small Cap Value ETF	79	2.54	3.35	1.46	3.06	12.34
AVUV Avantis US Small Cap Value ETF	76	2.11	3.02	1.36	4.65	13.81
BTGD STKD Bitcoin & Gold ETF	4	-0.57	-0.55	0.93	-0.60	-1.29
CAOS Alpha Architect Tail Risk ETF	45	1.23	1.97	1.25	2.49	6.17
CTA Simplify Managed Futures Strategy ETF	19	0.50	0.78	1.10	0.92	2.32
DBMF iMGP DBi Managed Futures Strategy ETF	84	2.36	3.08	1.50	4.78	17.53
DFEV Dimensional Emerging Markets Value ETF	83	2.52	3.20	1.47	4.09	15.04
DFIV Dimensional International Value ETF	78	2.36	3.20	1.42	3.39	13.05
IDMO Invesco S&P International Developed Momentum ETF	36	1.12	1.67	1.21	1.57	6.49
KMLM KFA Mount Lucas Index Strategy ETF	38	1.14	1.60	1.21	2.07	6.61

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 Jun 6, 2026 (values are recalculated daily):

1-Year: 2.29
All Time: 1.47

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 1.62 to 2.49, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

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 2.25% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.25%	2.33%	2.27%	2.27%	2.73%	1.63%	0.98%	0.99%	0.65%	0.52%	0.55%	0.41%
Portfolio components:
AVDV Avantis International Small Cap Value ETF	2.81%	3.05%	4.31%	3.29%	3.17%	2.39%	1.67%	0.36%	0.00%	0.00%	0.00%	0.00%
AVUV Avantis US Small Cap Value ETF	1.28%	1.58%	1.61%	1.65%	1.74%	1.28%	1.21%	0.38%	0.00%	0.00%	0.00%	0.00%
BTGD STKD Bitcoin & Gold ETF	5.00%	3.36%	0.19%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
CAOS Alpha Architect Tail Risk ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
CTA Simplify Managed Futures Strategy ETF	4.97%	3.19%	4.80%	7.78%	6.58%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
DBMF iMGP DBi Managed Futures Strategy ETF	5.18%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	0.00%	0.00%	0.00%
DFEV Dimensional Emerging Markets Value ETF	2.13%	2.69%	3.17%	3.47%	3.35%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
DFIV Dimensional International Value ETF	2.59%	2.92%	3.88%	3.93%	3.84%	2.30%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
IDMO Invesco S&P International Developed Momentum ETF	3.61%	3.71%	2.24%	2.89%	3.66%	1.81%	1.63%	2.78%	3.27%	3.08%	2.18%	2.52%
KMLM KFA Mount Lucas Index Strategy ETF	4.57%	5.02%	0.82%	0.00%	13.22%	6.94%	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 3.59%.

Related event	Drawdown	Fall	Recovery	Underwater
2025 selloff2025	-14.76%Apr 2025	1mo 18d	1mo 8d	2mo 26dFeb 2025 - May 2025
2026 pullback2026	-7.55%Mar 2026	1mo 1d	14d	1mo 15dFeb 2026 - Apr 2026
2025 pullback2025	-5.23%Nov 2025	23d	14d	1mo 7dOct 2025 - Dec 2025
2025 pullback2025	-4.67%Jan 2025	1mo 2d	1mo 1d	2mo 3dDec 2024 - Feb 2025
2025 pullback2025	-3.86%Aug 2025	8d	11d	19dJul 2025 - Aug 2025

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. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.

Diversification Ratio

	1Y	All Time
Diversification Ratio	1.33	1.30

The portfolio has a diversification ratio of 1.30, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 correlation to the S&P 500 Index

JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 has a 0.84 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (All Time) Calculated using the full available price history since Oct 17, 2024	0.84

Benchmark Correlations

Correlation vs. S&P 500 Index. SPMO has the highest benchmark correlation at 0.88, while CAOS has the lowest at -0.34.

-0.34

-0.07

-0.01

-0.01

0.11

0.11

0.18

0.32

0.43

0.57

0.59

0.64

0.68

0.70

0.71

0.78

0.85

0.88

Portfolio Correlations

Correlation vs. JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2. AVUV has the highest portfolio correlation at 0.84, while CAOS has the lowest at -0.33.

-0.33

0.05

0.06

0.08

0.18

0.23

0.31

0.46

0.61

0.73

0.76

0.79

0.79

0.79

0.82

0.83

0.83

0.84

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	VTIP	CTA	KMLM	CAOS	VGIT	VGLT	OUNZ	DBMF	BTGD	SPMO	RWJ	DFEV	AVUV	XMMO	DFIV	AVDV	IDMO	RSST
VTIP	1.00	-0.02	-0.03	0.08	0.68	0.46	0.20	0.12	0.08	-0.04	0.00	-0.01	-0.01	0.01	0.08	0.11	0.06	0.01
CTA	-0.02	1.00	0.45	-0.03	-0.19	-0.20	0.22	0.36	0.16	-0.07	-0.04	-0.00	0.01	-0.09	-0.00	0.00	-0.04	0.14
KMLM	-0.03	0.45	1.00	-0.04	-0.21	-0.21	0.14	0.40	0.10	-0.02	-0.00	0.04	0.02	-0.05	0.05	0.05	0.03	0.25
CAOS	0.08	-0.03	-0.04	1.00	0.02	-0.10	-0.02	-0.11	-0.19	-0.29	-0.32	-0.28	-0.32	-0.28	-0.23	-0.21	-0.26	-0.28
VGIT	0.68	-0.19	-0.21	0.02	1.00	0.86	0.22	0.01	0.09	0.03	0.12	0.12	0.09	0.13	0.25	0.25	0.23	0.05
VGLT	0.46	-0.20	-0.21	-0.10	0.86	1.00	0.14	0.02	0.08	0.10	0.20	0.17	0.17	0.20	0.27	0.26	0.25	0.10
OUNZ	0.20	0.22	0.14	-0.02	0.22	0.14	1.00	0.44	0.50	0.07	0.06	0.33	0.08	0.13	0.32	0.45	0.30	0.29
DBMF	0.12	0.36	0.40	-0.11	0.01	0.02	0.44	1.00	0.40	0.29	0.24	0.38	0.28	0.25	0.35	0.39	0.33	0.58
BTGD	0.08	0.16	0.10	-0.19	0.09	0.08	0.50	0.40	1.00	0.40	0.34	0.44	0.36	0.40	0.38	0.46	0.45	0.48
SPMO	-0.04	-0.07	-0.02	-0.29	0.03	0.10	0.07	0.29	0.40	1.00	0.55	0.57	0.57	0.78	0.49	0.48	0.63	0.74
RWJ	0.00	-0.04	-0.00	-0.32	0.12	0.20	0.06	0.24	0.34	0.55	1.00	0.51	0.95	0.72	0.60	0.53	0.56	0.62
DFEV	-0.01	-0.00	0.04	-0.28	0.12	0.17	0.33	0.38	0.44	0.57	0.51	1.00	0.51	0.53	0.67	0.69	0.63	0.64
AVUV	-0.01	0.01	0.02	-0.32	0.09	0.17	0.08	0.28	0.36	0.57	0.95	0.51	1.00	0.75	0.61	0.54	0.56	0.62
XMMO	0.01	-0.09	-0.05	-0.28	0.13	0.20	0.13	0.25	0.40	0.78	0.72	0.53	0.75	1.00	0.54	0.53	0.63	0.67
DFIV	0.08	-0.00	0.05	-0.23	0.25	0.27	0.32	0.35	0.38	0.49	0.60	0.67	0.61	0.54	1.00	0.90	0.84	0.62
AVDV	0.11	0.00	0.05	-0.21	0.25	0.26	0.45	0.39	0.46	0.48	0.53	0.69	0.54	0.53	0.90	1.00	0.80	0.61
IDMO	0.06	-0.04	0.03	-0.26	0.23	0.25	0.30	0.33	0.45	0.63	0.56	0.63	0.56	0.63	0.84	0.80	1.00	0.67
RSST	0.01	0.14	0.25	-0.28	0.05	0.10	0.29	0.58	0.48	0.74	0.62	0.64	0.62	0.67	0.62	0.61	0.67	1.00

The correlation results are calculated based on daily price changes starting from Oct 17, 2024

Diversification Analysis

Find what JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 is missing

See which holdings overlap, where JWAC 80/20 Grand Citadel + 2.22% CAOS Version 1.2 is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification