Asset Allocation
Performance
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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The earliest data available for this chart is Oct 24, 2012, corresponding to the inception date of IEFA
Returns By Period
As of Apr 11, 2026, the Pinwheel Portfolio returned 5.43% Year-To-Date and 8.63% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.11% | 2.78% | -0.42% | 4.03% | 27.10% | 18.38% | 10.55% | 12.70% |
Portfolio Pinwheel Portfolio | 0.04% | 2.42% | 5.43% | 9.81% | 27.15% | 14.23% | 7.67% | 8.63% |
| Portfolio components: | ||||||||
VTI Vanguard Total Stock Market ETF | -0.12% | 3.06% | 0.25% | 4.74% | 29.52% | 19.61% | 10.91% | 14.16% |
IEFA iShares Core MSCI EAFE ETF | 0.19% | 6.17% | 6.55% | 12.86% | 34.80% | 16.19% | 8.59% | 9.26% |
USRT iShares Core U.S. REIT ETF | 0.37% | 2.29% | 9.49% | 11.44% | 20.85% | 10.58% | 6.11% | 5.95% |
SLYV SPDR S&P 600 Small Cap Value ETF | -0.29% | 6.13% | 8.33% | 16.80% | 43.62% | 11.48% | 5.67% | 10.03% |
IEMG iShares Core MSCI Emerging Markets ETF | 0.42% | 6.48% | 10.46% | 17.63% | 48.01% | 18.18% | 5.79% | 8.83% |
VGIT Vanguard Intermediate-Term Treasury ETF | -0.12% | 0.01% | 0.10% | 0.60% | 5.23% | 3.21% | 0.31% | 1.32% |
VGSH Vanguard Short-Term Treasury ETF | -0.03% | 0.13% | 0.39% | 1.21% | 3.85% | 4.00% | 1.81% | 1.74% |
IAU iShares Gold Trust | -0.18% | -5.11% | 10.34% | 18.50% | 46.92% | 33.09% | 21.94% | 13.95% |
Monthly Returns
Based on dividend-adjusted daily data since Oct 25, 2012, Pinwheel Portfolio's average daily return is +0.03%, while the average monthly return is +0.66%. At this rate, an investment would double in approximately 8.8 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 54% 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% | 3.44% | 5.43% | ||||||||
| 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 0.60%, beta of 0.57, and R² of 0.80 versus S&P 500 Index. Calculated based on daily prices since October 25, 2012.
- This portfolio participated in 65.28% of S&P 500 Index downside but only 57.57% 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
- 0.60%
- Beta
- 0.57
- R²
- 0.80
- Upside Capture
- 57.57%
- Downside Capture
- 65.28%
Expense Ratio
Pinwheel Portfolio has an expense ratio of 0.09%, 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 77 for risk / return — better than 77% 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.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.09 | 2.23 | +0.86 |
Sortino ratioReturn per unit of downside risk | 4.25 | 3.12 | +1.14 |
Omega ratioGain probability vs. loss probability | 1.59 | 1.42 | +0.17 |
Calmar ratioReturn relative to maximum drawdown | 4.35 | 4.05 | +0.30 |
Martin ratioReturn relative to average drawdown | 18.57 | 17.91 | +0.66 |
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 | |
|---|---|---|---|---|---|---|
VTI Vanguard Total Stock Market ETF | 66 | 2.36 | 3.28 | 1.44 | 4.38 | 19.06 |
IEFA iShares Core MSCI EAFE ETF | 69 | 2.66 | 3.67 | 1.49 | 3.99 | 16.11 |
USRT iShares Core U.S. REIT ETF | 38 | 1.64 | 2.24 | 1.29 | 3.37 | 10.88 |
SLYV SPDR S&P 600 Small Cap Value ETF | 65 | 2.31 | 3.31 | 1.40 | 5.29 | 16.84 |
IEMG iShares Core MSCI Emerging Markets ETF | 77 | 2.96 | 3.85 | 1.56 | 4.55 | 17.94 |
VGIT Vanguard Intermediate-Term Treasury ETF | 25 | 1.32 | 1.98 | 1.23 | 1.67 | 5.25 |
VGSH Vanguard Short-Term Treasury ETF | 72 | 2.70 | 4.29 | 1.57 | 3.92 | 14.51 |
IAU iShares Gold Trust | 40 | 1.84 | 2.26 | 1.34 | 3.08 | 10.60 |
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Dividends
Dividend yield
Pinwheel Portfolio provided a 2.49% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.49% | 2.61% | 2.66% | 2.41% | 1.97% | 1.84% | 1.80% | 2.29% | 2.65% | 2.30% | 2.11% | 2.46% |
| Portfolio components: | ||||||||||||
VTI Vanguard Total Stock Market ETF | 1.13% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
IEFA iShares Core MSCI EAFE ETF | 3.33% | 3.55% | 3.47% | 3.20% | 2.70% | 3.32% | 1.90% | 3.18% | 3.46% | 2.57% | 2.96% | 2.63% |
USRT iShares Core U.S. REIT ETF | 2.75% | 3.07% | 2.85% | 3.18% | 3.46% | 2.27% | 3.12% | 3.34% | 5.66% | 3.44% | 3.98% | 3.59% |
SLYV SPDR S&P 600 Small Cap Value ETF | 1.93% | 2.02% | 2.30% | 2.11% | 1.47% | 1.94% | 1.40% | 1.67% | 2.14% | 5.53% | 2.18% | 6.55% |
IEMG iShares Core MSCI Emerging Markets ETF | 2.49% | 2.75% | 3.20% | 2.89% | 2.71% | 3.06% | 1.87% | 3.15% | 2.76% | 2.35% | 2.28% | 2.53% |
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% |
VGSH Vanguard Short-Term Treasury ETF | 3.92% | 4.00% | 4.18% | 3.31% | 1.15% | 0.66% | 1.74% | 2.28% | 1.79% | 1.10% | 0.84% | 0.69% |
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% |
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 2.44%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -23.65% | Feb 21, 2020 | 22 | Mar 23, 2020 | 97 | Aug 10, 2020 | 119 |
| -21.05% | Nov 16, 2021 | 230 | Oct 14, 2022 | 363 | Mar 27, 2024 | 593 |
| -11.53% | Apr 29, 2015 | 184 | Jan 20, 2016 | 108 | Jun 23, 2016 | 292 |
| -11.2% | Jan 29, 2018 | 229 | Dec 24, 2018 | 66 | Apr 1, 2019 | 295 |
| -9.83% | Feb 19, 2025 | 35 | Apr 8, 2025 | 23 | May 12, 2025 | 58 |
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 8 assets, with an effective number of assets of 7.69, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| Benchmark | IAU | VGSH | VGIT | USRT | IEMG | SLYV | IEFA | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.01 | -0.12 | -0.15 | 0.56 | 0.69 | 0.76 | 0.79 | 0.99 | 0.85 |
| IAU | 0.01 | 1.00 | 0.34 | 0.36 | 0.10 | 0.18 | 0.01 | 0.15 | 0.02 | 0.28 |
| VGSH | -0.12 | 0.34 | 1.00 | 0.80 | 0.12 | -0.05 | -0.12 | -0.04 | -0.12 | 0.06 |
| VGIT | -0.15 | 0.36 | 0.80 | 1.00 | 0.13 | -0.09 | -0.16 | -0.08 | -0.15 | 0.04 |
| USRT | 0.56 | 0.10 | 0.12 | 0.13 | 1.00 | 0.41 | 0.57 | 0.51 | 0.57 | 0.74 |
| IEMG | 0.69 | 0.18 | -0.05 | -0.09 | 0.41 | 1.00 | 0.57 | 0.78 | 0.70 | 0.79 |
| SLYV | 0.76 | 0.01 | -0.12 | -0.16 | 0.57 | 0.57 | 1.00 | 0.68 | 0.80 | 0.81 |
| IEFA | 0.79 | 0.15 | -0.04 | -0.08 | 0.51 | 0.78 | 0.68 | 1.00 | 0.80 | 0.87 |
| VTI | 0.99 | 0.02 | -0.12 | -0.15 | 0.57 | 0.70 | 0.80 | 0.80 | 1.00 | 0.87 |
| Portfolio | 0.85 | 0.28 | 0.06 | 0.04 | 0.74 | 0.79 | 0.81 | 0.87 | 0.87 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified, with a mix of asset classes that exhibit varying degrees of correlation. Several observations stand out from the correlation matrix:
1. High correlations among equity positions: The portfolio's equity components—IEFA (developed international), VTI (U.S. total stock market), SLYV (small-cap value), IEMG (emerging markets), and USRT (U.S. real estate)—show strong positive correlations, generally ranging from 0.5 to 0.8. Notably, IEFA and VTI have a correlation of 0.8, and SLYV correlates strongly with VTI (0.8) and IEFA (0.68). This clustering indicates that these equity positions tend to move together, which reduces diversification benefits within the equity sleeve.
2. Low to negative correlations between bonds and equities: The bond positions VGSH (short-term government bonds) and VGIT (intermediate-term government bonds) have low or slightly negative correlations with the equity holdings, often near zero or negative (e.g., VGSH and SLYV at -0.12, VGIT and VTI at -0.15). This suggests that the bond allocations provide some diversification by not moving in tandem with equities.
3. Gold's moderate correlation: IAU (gold) has low to moderate positive correlations with most positions, ranging from near zero to about 0.36 with VGIT. Its correlation with the portfolio is 0.28, indicating that gold behaves somewhat independently and can serve as a diversification tool.
4. Portfolio correlation dominance: The portfolio's highest correlations are with IEFA (0.87) and VTI (0.87), followed by SLYV (0.81) and IEMG (0.79). These high correlations suggest that the portfolio's performance is heavily influenced by these equity positions, indicating some concentration risk in developed and emerging equity markets.
5. Bonds and gold have lower portfolio correlations (VGSH 0.06, VGIT 0.04, IAU 0.28), reflecting their role as diversifiers but also their smaller influence on overall portfolio returns.
In summary, while the portfolio includes a variety of asset classes, the strong correlations among equity holdings imply that diversification benefits within equities are limited. The presence of bonds and gold helps reduce overall portfolio volatility due to their low correlations with equities. However, the portfolio's performance is largely driven by a few dominant equity positions, making it somewhat concentrated rather than broadly diversified.