Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
GLD SPDR Gold Shares | Gold, Precious Metals | 20% |
IWM iShares Russell 2000 ETF | Small Cap Blend Equities | 40% |
TLT iShares 20+ Year Treasury Bond ETF | Government Bonds, Long-Term Bond | 40% |
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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The earliest data available for this chart is Nov 18, 2004, corresponding to the inception date of GLD
Returns By Period
As of Apr 4, 2026, the 20-40-40 GLD-TLT-IW; returned 2.87% Year-To-Date and 7.13% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.63% | -3.84% | -1.98% | 29.73% | 16.86% | 10.37% | 12.29% |
Portfolio 20-40-40 GLD-TLT-IW; | 0.12% | -3.22% | 2.87% | 4.73% | 23.81% | 10.52% | 3.39% | 7.13% |
| Portfolio components: | ||||||||
GLD SPDR Gold Shares | -1.92% | -8.98% | 8.35% | 20.07% | 49.92% | 32.51% | 21.53% | 13.97% |
TLT iShares 20+ Year Treasury Bond ETF | 0.61% | -2.26% | 0.69% | -0.72% | -1.22% | -2.76% | -5.75% | -1.34% |
IWM iShares Russell 2000 ETF | 0.69% | -3.83% | 2.27% | 2.75% | 33.93% | 13.42% | 3.61% | 10.00% |
Monthly Returns
Based on dividend-adjusted daily data since Nov 19, 2004, 20-40-40 GLD-TLT-IW;'s average daily return is +0.03%, while the average monthly return is +0.68%. At this rate, your investment would double in approximately 8.5 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% | 0.70% | 2.87% | ||||||||
| 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 5.00%, beta of 0.34, and R² of 0.37 versus S&P 500 Index. Calculated based on daily prices since November 19, 2004.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (50.06%) than losses (39.53%) — 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
- 5.00%
- Beta
- 0.34
- R²
- 0.37
- Upside Capture
- 50.06%
- Downside Capture
- 39.53%
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.
Return for Risk
Risk / Return Rank
20-40-40 GLD-TLT-IW; 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.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.44 | 0.88 | +0.56 |
Sortino ratioReturn per unit of downside risk | 2.00 | 1.37 | +0.63 |
Omega ratioGain probability vs. loss probability | 1.27 | 1.21 | +0.06 |
Calmar ratioReturn relative to maximum drawdown | 2.33 | 1.39 | +0.94 |
Martin ratioReturn relative to average drawdown | 7.95 | 6.43 | +1.52 |
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 | |
|---|---|---|---|---|---|---|
GLD SPDR Gold Shares | 78 | 1.77 | 2.19 | 1.32 | 2.57 | 9.28 |
TLT iShares 20+ Year Treasury Bond ETF | 9 | -0.07 | -0.01 | 1.00 | -0.09 | -0.19 |
IWM iShares Russell 2000 ETF | 58 | 1.10 | 1.64 | 1.21 | 1.99 | 7.27 |
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Dividends
Dividend yield
20-40-40 GLD-TLT-IW; provided a 2.21% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.21% | 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% |
TLT iShares 20+ Year Treasury Bond ETF | 4.51% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
IWM iShares Russell 2000 ETF | 1.01% | 1.04% | 1.15% | 1.35% | 1.48% | 0.94% | 1.04% | 1.26% | 1.40% | 1.26% | 1.38% | 1.54% |
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 5.64%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -28.68% | Nov 10, 2021 | 492 | Oct 25, 2023 | 466 | Sep 5, 2025 | 958 |
| -20.05% | Sep 22, 2008 | 43 | Nov 19, 2008 | 202 | Sep 10, 2009 | 245 |
| -18.58% | Mar 9, 2020 | 8 | Mar 18, 2020 | 29 | Apr 29, 2020 | 37 |
| -10.84% | Mar 25, 2015 | 207 | Jan 19, 2016 | 95 | Jun 3, 2016 | 302 |
| -9.3% | Jul 10, 2018 | 117 | Dec 24, 2018 | 37 | Feb 19, 2019 | 154 |
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. 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 | GLD | TLT | IWM | Portfolio | |
|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.06 | -0.25 | 0.85 | 0.59 |
| GLD | 0.06 | 1.00 | 0.17 | 0.07 | 0.47 |
| TLT | -0.25 | 0.17 | 1.00 | -0.24 | 0.35 |
| IWM | 0.85 | 0.07 | -0.24 | 1.00 | 0.71 |
| Portfolio | 0.59 | 0.47 | 0.35 | 0.71 | 1.00 |