Asset Allocation
Find the right asset allocation for Pinwheel Portfolio
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in Pinwheel Portfolio, 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 24, 2026, the Pinwheel Portfolio returned 8.80% Year-To-Date and 8.96% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -1.44% | -1.45% | 7.60% | 6.59% | 22.24% | 19.20% | 11.54% | 13.71% |
Portfolio Pinwheel Portfolio | -1.12% | -0.14% | 8.80% | 8.10% | 20.78% | 15.58% | 7.53% | 8.96% |
| Portfolio components: | ||||||||
IAU iShares Gold Trust | -1.87% | -8.82% | -4.73% | -8.68% | 21.45% | 28.61% | 18.02% | 11.76% |
IEFA iShares Core MSCI EAFE ETF | -1.97% | -0.19% | 8.47% | 8.11% | 22.09% | 16.84% | 8.24% | 9.96% |
IEMG iShares Core MSCI Emerging Markets ETF | -5.44% | 1.74% | 21.95% | 22.64% | 43.66% | 22.14% | 7.05% | 10.38% |
SLYV SPDR S&P 600 Small Cap Value ETF | -0.21% | 2.91% | 17.46% | 15.89% | 37.37% | 15.39% | 6.20% | 10.61% |
USRT iShares Core U.S. REIT ETF | 1.30% | 1.84% | 17.49% | 17.97% | 18.57% | 14.08% | 5.53% | 6.53% |
VGIT Vanguard Intermediate-Term Treasury ETF | 0.12% | 0.38% | -0.39% | -0.22% | 2.74% | 3.56% | 0.11% | 1.14% |
VGSH Vanguard Short-Term Treasury ETF | 0.05% | 0.11% | 0.47% | 0.64% | 2.99% | 4.20% | 1.85% | 1.70% |
VTI Vanguard Total Stock Market ETF | -1.39% | -0.84% | 8.82% | 7.71% | 24.22% | 20.62% | 11.90% | 15.14% |
Monthly Returns
Based on dividend-adjusted daily data since Oct 24, 2012, Pinwheel Portfolio's average daily return is +0.03%, while the average monthly return is +0.67%. At this rate, an investment would double in approximately 8.7 years.
Historically, 66% of months were positive and 34% were negative. The best month was Nov 2020 with a return of +7.9%, while the worst month was Mar 2020 at -10.6%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Pinwheel Portfolio closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +5.3%, while the worst single day was Mar 16, 2020 at -7.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.15% | 3.72% | -5.65% | 5.81% | 1.91% | -1.01% | 8.80% | ||||||
| 2025 | 2.43% | 0.72% | -0.69% | 0.31% | 2.74% | 2.59% | -0.03% | 3.67% | 3.01% | 0.99% | 1.32% | 0.57% | 18.98% |
| 2024 | -1.60% | 1.89% | 2.88% | -2.86% | 3.24% | 0.75% | 3.98% | 2.18% | 2.25% | -1.84% | 2.32% | -3.25% | 10.01% |
| 2023 | 7.06% | -3.42% | 1.46% | 0.65% | -1.92% | 3.25% | 2.88% | -2.58% | -3.99% | -1.85% | 6.70% | 5.52% | 13.69% |
| 2022 | -3.52% | -0.94% | 0.69% | -4.87% | -0.62% | -5.36% | 4.50% | -3.74% | -7.78% | 3.80% | 6.74% | -2.69% | -13.89% |
| 2021 | 0.39% | 1.93% | 1.95% | 3.23% | 2.14% | -0.10% | 0.55% | 1.23% | -2.99% | 2.98% | -1.64% | 3.39% | 13.66% |
Benchmark Metrics
Pinwheel Portfolio has an annualized alpha of 0.46%, beta of 0.57, and R2 of 0.80 versus S&P 500 Index. Calculated based on daily prices since October 24, 2012.
- This portfolio participated in 64.72% of S&P 500 Index downside but only 56.66% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.57 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 0.46%
- Beta
- 0.57
- R²
- 0.80
- Upside Capture
- 56.66%
- Downside Capture
- 64.72%
Expense Ratio
Pinwheel Portfolio has an expense ratio of 0.08%, 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
Pinwheel Portfolio ranks 41 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
The table below presents risk-adjusted performance metrics for Pinwheel Portfolio 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 | 2.03 | 1.78 | +0.25 |
| Sortino ratioReturn per unit of downside risk | 2.80 | 2.44 | +0.37 |
| Omega ratioGain probability vs. loss probability | 1.37 | 1.32 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 2.73 | 2.46 | +0.27 |
| Martin ratioReturn relative to average drawdown | 11.32 | 10.92 | +0.40 |
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 |
|---|---|---|---|---|---|---|
IAU iShares Gold Trust | 22 | 0.79 | 1.14 | 1.17 | 0.88 | 2.37 |
IEFA iShares Core MSCI EAFE ETF | 42 | 1.43 | 2.06 | 1.26 | 1.93 | 7.34 |
IEMG iShares Core MSCI Emerging Markets ETF | 64 | 1.98 | 2.56 | 1.38 | 3.32 | 12.15 |
SLYV SPDR S&P 600 Small Cap Value ETF | 70 | 2.06 | 2.97 | 1.35 | 4.01 | 13.30 |
USRT iShares Core U.S. REIT ETF | 42 | 1.35 | 1.87 | 1.24 | 2.32 | 7.44 |
VGIT Vanguard Intermediate-Term Treasury ETF | 22 | 0.82 | 1.24 | 1.14 | 0.97 | 2.61 |
VGSH Vanguard Short-Term Treasury ETF | 77 | 2.29 | 3.63 | 1.48 | 3.40 | 13.02 |
VTI Vanguard Total Stock Market ETF | 59 | 1.90 | 2.59 | 1.34 | 2.73 | 12.14 |
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Dividends
Dividend yield
Pinwheel Portfolio provided a 2.43% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.43% | 2.61% | 2.66% | 2.41% | 1.97% | 1.84% | 1.80% | 2.29% | 2.65% | 2.30% | 2.11% | 2.46% |
| Portfolio components: | ||||||||||||
IAU iShares Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
IEFA iShares Core MSCI EAFE ETF | 3.44% | 3.55% | 3.47% | 3.20% | 2.70% | 3.32% | 1.90% | 3.18% | 3.46% | 2.57% | 2.96% | 2.63% |
IEMG iShares Core MSCI Emerging Markets ETF | 2.21% | 2.75% | 3.20% | 2.89% | 2.71% | 3.06% | 1.87% | 3.15% | 2.76% | 2.35% | 2.28% | 2.53% |
SLYV SPDR S&P 600 Small Cap Value ETF | 1.87% | 2.02% | 2.30% | 2.11% | 1.47% | 1.94% | 1.40% | 1.67% | 2.14% | 5.53% | 2.18% | 6.55% |
USRT iShares Core U.S. REIT ETF | 2.57% | 3.07% | 2.85% | 3.18% | 3.46% | 2.27% | 3.12% | 3.34% | 5.66% | 3.44% | 3.98% | 3.59% |
VGIT Vanguard Intermediate-Term Treasury ETF | 3.86% | 3.79% | 3.67% | 2.73% | 1.74% | 1.69% | 2.23% | 2.24% | 2.05% | 1.67% | 1.69% | 1.69% |
VGSH Vanguard Short-Term Treasury ETF | 3.88% | 4.00% | 4.18% | 3.31% | 1.15% | 0.66% | 1.74% | 2.28% | 1.79% | 1.10% | 0.84% | 0.69% |
VTI Vanguard Total Stock Market ETF | 1.04% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
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 Pinwheel Portfolio. 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 Pinwheel Portfolio was 23.65%, occurring on Mar 23, 2020. Recovery took 97 trading sessions.
The current Pinwheel Portfolio drawdown is 1.55%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -23.65%Mar 2020 | 1mo 1d | 4mo 20d | 5mo 21dFeb 2020 - Aug 2020 |
Bear market2022 | -21.05%Oct 2022 | 11mo 2d | 1y 5mo | 2y 4moNov 2021 - Mar 2024 |
2016 correction2016 | -11.53%Jan 2016 | 8mo 26d | 5mo 5d | 1y 1moApr 2015 - Jun 2016 |
Rate-hike selloffLate 2018 | -11.20%Dec 2018 | 10mo 29d | 3mo 8d | 1y 2moJan 2018 - Apr 2019 |
2025 selloff2025 | -9.83%Apr 2025 | 1mo 18d | 1mo 4d | 2mo 22dFeb 2025 - May 2025 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is a fairly clean 80/20-style bet on global equities plus a smaller stabilizing sleeve of government bonds and gold; the equity side is diversified across geographies and market segments, but the portfolio still lives and dies with the stock cycle.
The numbers
- Diversification ratio is 1.32 at inception, around the 57th percentile on the platform: decent, but not the sort of ratio that makes correlations disappear in a puff of smoke.
- Effective asset count is 7.69 of 8, so the weights are broad rather than crowded; concentration is not the main issue here.
- The bond pair, VGIT and VGSH, has correlation of 0.81, while VTI and IEFA sit at 0.80 and VTI and SLYV at 0.80; there is structure, but also a lot of shared equity beta.
The good
- VTI (Large Cap Blend Equities), IEFA (Foreign Large Cap Equities), SLYV (Small Cap Value Equities), and IEMG (Emerging Markets Diversified) give the portfolio real geographic and style breadth.
- Government bonds, VGIT (Government Bonds) and VGSH (Government Bonds, Short-Term Bond), plus IAU (Gold, Precious Metals), provide the non-equity sleeve that actually changes the drawdown shape.
The bad
- The equity cluster is tight: VTI, IEFA, SLYV, and IEMG all move together more than the label differences suggest.
- VGIT and VGSH are separate holdings, but they behave like two versions of the same duration question.
- Position-to-portfolio correlations are high for the equity sleeves, with IEFA at 0.88 and VTI at 0.87, which says the portfolio is still mostly one macro trade.
The ugly
- In a broad risk-off move driven by rising real rates or an earnings recession, the equity cluster and REITs can all weaken together while the bond sleeve is forced to do the heavy lifting.
- If inflation is sticky enough to pressure both equity multiples and longer-duration government bonds, the portfolio’s clean theoretical diversification gets less cooperative.
Diversification Metrics
Number of Effective Assets
The portfolio contains 8 assets, with an effective number of assets of 7.69, 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 | 1.36 | 1.34 | 1.32 | 1.30 | 1.32 |
The portfolio has a diversification ratio of 1.32, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Pinwheel Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.78 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.79 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.83 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.84 |
Correlation (All Time) Calculated using the full available price history since Oct 24, 2012 | 0.85 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while VGIT has the lowest at -0.14.
Asset Correlations Table
| IAU | VGSH | VGIT | USRT | IEMG | SLYV | IEFA | VTI | |
|---|---|---|---|---|---|---|---|---|
| IAU | 1.00 | 0.34 | 0.36 | 0.10 | 0.18 | 0.02 | 0.16 | 0.03 |
| VGSH | 0.34 | 1.00 | 0.81 | 0.12 | -0.04 | -0.10 | -0.02 | -0.11 |
| VGIT | 0.36 | 0.81 | 1.00 | 0.13 | -0.08 | -0.15 | -0.06 | -0.14 |
| USRT | 0.10 | 0.12 | 0.13 | 1.00 | 0.40 | 0.57 | 0.51 | 0.57 |
| IEMG | 0.18 | -0.04 | -0.08 | 0.40 | 1.00 | 0.57 | 0.78 | 0.70 |
| SLYV | 0.02 | -0.10 | -0.15 | 0.57 | 0.57 | 1.00 | 0.68 | 0.80 |
| IEFA | 0.16 | -0.02 | -0.06 | 0.51 | 0.78 | 0.68 | 1.00 | 0.80 |
| VTI | 0.03 | -0.11 | -0.14 | 0.57 | 0.70 | 0.80 | 0.80 | 1.00 |
Find what Pinwheel Portfolio is missing
See which holdings overlap, where Pinwheel Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification