20-40-40 GLD-TLT-IW;

Asset Allocation

Position	Category/Sector	Target Weight
TLT iShares 20+ Year Treasury Bond ETF	Government Bonds, Long-Term Bond	40%
IWM iShares Russell 2000 ETF	Small Cap Blend Equities	40%
GLD SPDR Gold Shares	Gold, Precious Metals	20%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Portfolio Optimizer

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 20-40-40 GLD-TLT-IW;, 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

As of Jun 13, 2026, the 20-40-40 GLD-TLT-IW; returned 7.59% Year-To-Date and 7.17% of annualized return in the last 10 years.

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 20-40-40 GLD-TLT-IW;	0.31%	2.10%	7.59%	6.53%	22.58%	12.20%	3.37%	7.17%
Portfolio components:
GLD SPDR Gold Shares	0.06%	-9.52%	-2.47%	-2.25%	22.21%	28.89%	17.08%	12.15%
IWM iShares Russell 2000 ETF	0.87%	2.99%	19.22%	16.00%	41.75%	17.23%	6.07%	11.27%
TLT iShares 20+ Year Treasury Bond ETF	-0.24%	1.40%	0.27%	0.45%	3.88%	-1.38%	-6.53%	-1.75%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Nov 18, 2004, 20-40-40 GLD-TLT-IW;'s average daily return is +0.03%, while the average monthly return is +0.69%. At this rate, an investment would double in approximately 8.4 years.

Historically, 62% of months were positive and 38% were negative. The best month was Dec 2008 with a return of +10.2%, while the worst month was Oct 2008 at -12.6%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 4 months.

On a daily basis, 20-40-40 GLD-TLT-IW; closed higher 54% of trading days. The best single day was Nov 10, 2022 with a return of +4.7%, while the worst single day was Mar 18, 2020 at -5.4%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.64%	3.92%	-6.05%	4.26%	1.86%	-0.82%							7.59%
2025	2.56%	0.51%	-1.15%	-0.37%	0.75%	3.36%	0.08%	3.91%	5.05%	1.97%	1.61%	-0.86%	18.63%
2024	-2.74%	1.40%	3.47%	-4.71%	3.45%	0.24%	6.69%	0.52%	2.10%	-1.89%	4.58%	-6.28%	6.16%
2023	8.13%	-3.68%	1.44%	-0.42%	-1.81%	2.89%	1.87%	-3.57%	-6.42%	-3.49%	8.01%	8.48%	10.48%
2022	-5.70%	1.01%	-1.44%	-8.14%	-1.52%	-4.15%	4.66%	-3.18%	-7.85%	1.73%	5.25%	-3.19%	-21.20%
2021	-0.17%	-0.83%	-1.59%	2.43%	1.68%	0.91%	0.55%	0.69%	-2.97%	2.97%	-0.77%	0.71%	3.50%

Benchmark Metrics

20-40-40 GLD-TLT-IW; has an annualized alpha of 4.95%, beta of 0.34, and R2 of 0.37 versus S&P 500 Index. Calculated based on daily prices since November 18, 2004.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (49.50%) than losses (39.55%) - typical of diversified or defensive assets.
Beta of 0.34 may look defensive, but with R2 of 0.37 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 0.37 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: 4.95%

Beta: 0.34

R²: 0.37

Upside Capture: 49.50%

Downside Capture: 39.55%

See how alpha, beta & R² have trended over time →

Expense Ratio

20-40-40 GLD-TLT-IW; has an expense ratio of 0.22%, 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.

GLD

SPDR Gold Shares

IWM

iShares Russell 2000 ETF

TLT

iShares 20+ Year Treasury Bond ETF

Return for Risk

Risk / Return Rank

20-40-40 GLD-TLT-IW; ranks 35 for risk / return — below 35% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.

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 20-40-40 GLD-TLT-IW; 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	1.72	1.86	-0.14
Sortino ratioReturn per unit of downside risk	2.38	2.53	-0.15
Omega ratioGain probability vs. loss probability	1.31	1.34	-0.03
Calmar ratioReturn relative to maximum drawdown	2.61	2.53	+0.07
Martin ratioReturn relative to average drawdown	8.94	11.37	-2.44

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
GLD SPDR Gold Shares	26	0.87	1.24	1.18	0.98	2.81
IWM iShares Russell 2000 ETF	70	1.99	2.75	1.33	3.57	12.63
TLT iShares 20+ Year Treasury Bond ETF	13	0.30	0.50	1.06	0.38	0.92

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. Learn how to interpret the Sharpe ratio.

The current 20-40-40 GLD-TLT-IW; Sharpe ratio is 1.72 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.53 to 2.41, 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 20-40-40 GLD-TLT-IW; 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

20-40-40 GLD-TLT-IW; provided a 2.17% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.17%	2.19%	2.18%	1.89%	1.66%	0.97%	1.02%	1.41%	1.61%	1.48%	1.59%	1.66%
Portfolio components:
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%
IWM iShares Russell 2000 ETF	0.87%	1.04%	1.15%	1.35%	1.48%	0.94%	1.04%	1.26%	1.40%	1.26%	1.38%	1.54%
TLT iShares 20+ Year Treasury Bond ETF	4.56%	4.43%	4.30%	3.38%	2.67%	1.50%	1.50%	2.27%	2.63%	2.43%	2.60%	2.61%

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 20-40-40 GLD-TLT-IW;. 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 20-40-40 GLD-TLT-IW; was 28.68%, occurring on Oct 25, 2023. Recovery took 466 trading sessions.

The current 20-40-40 GLD-TLT-IW; drawdown is 1.31%.

Related event	Drawdown	Fall	Recovery	Underwater
2023 bear market2023	-28.68%Oct 2023	1y 11mo	1y 10mo	3y 10moNov 2021 - Sep 2025
Financial crisis2007–2009	-20.05%Nov 2008	1mo 28d	9mo 25d	11mo 23dSep 2008 - Sep 2009
COVID crash2020	-18.58%Mar 2020	9d	1mo 12d	1mo 21dMar 2020 - Apr 2020
2016 correction2016	-10.84%Jan 2016	10mo	4mo 16d	1y 2moMar 2015 - Jun 2016
Rate-hike selloffLate 2018	-9.30%Dec 2018	5mo 17d	1mo 27d	7mo 14dJul 2018 - Feb 2019

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 3 assets, with an effective number of assets of 2.78, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.40	1.43	1.48	1.59	1.74

The portfolio has a diversification ratio of 1.74, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

20-40-40 GLD-TLT-IW; correlation to the S&P 500 Index

20-40-40 GLD-TLT-IW; has a 0.69 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	0.69
Correlation (3Y) Calculated over the trailing 3-year period	0.64
Correlation (5Y) Calculated over the trailing 5-year period	0.64
Correlation (10Y) Calculated over the trailing 10-year period	0.59
Correlation (All Time) Calculated using the full available price history since Nov 18, 2004	0.59

Benchmark Correlations

Correlation vs. S&P 500 Index. IWM has the highest benchmark correlation at 0.85, while TLT has the lowest at -0.24.

TLT

-0.24

GLD

0.07

IWM

0.85

Portfolio Correlations

Correlation vs. 20-40-40 GLD-TLT-IW;. IWM has the highest portfolio correlation at 0.71, while TLT has the lowest at 0.36.

TLT

0.36

GLD

0.48

IWM

0.71

Asset Correlations Table

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

	GLD	TLT	IWM
GLD	1.00	0.18	0.08
TLT	0.18	1.00	-0.23
IWM	0.08	-0.23	1.00

The correlation results are calculated based on daily price changes starting from Nov 18, 2004

Diversification Analysis

Find what 20-40-40 GLD-TLT-IW; is missing

See which holdings overlap, where 20-40-40 GLD-TLT-IW; is concentrated, and which low-correlation assets could fill the gaps.

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