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 Jul 14, 2026, the Pinwheel Portfolio returned 9.03% Year-To-Date and 8.52% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.79% | 1.13% | 7.71% | 9.79% | 20.06% | 18.60% | 11.43% | 13.27% |
Portfolio Pinwheel Portfolio | -0.83% | -0.57% | 5.96% | 9.03% | 19.01% | 14.20% | 7.50% | 8.52% |
| Portfolio components: | ||||||||
IAU iShares Gold Trust | -2.60% | -4.98% | -13.00% | -7.29% | 18.88% | 26.67% | 16.68% | 11.37% |
IEFA iShares Core MSCI EAFE ETF | -1.10% | -0.25% | 5.45% | 9.24% | 19.91% | 15.49% | 8.40% | 9.41% |
IEMG iShares Core MSCI Emerging Markets ETF | -3.48% | -4.18% | 11.50% | 17.70% | 34.02% | 18.90% | 6.68% | 9.04% |
SLYV SPDR S&P 600 Small Cap Value ETF | 0.14% | 0.15% | 13.31% | 19.66% | 32.29% | 13.64% | 7.81% | 10.05% |
USRT iShares Core U.S. REIT ETF | 0.70% | 1.10% | 17.11% | 19.09% | 21.42% | 11.47% | 5.20% | 6.04% |
VGIT Vanguard Intermediate-Term Treasury ETF | -0.27% | -0.40% | -0.65% | -0.68% | 2.56% | 3.46% | -0.10% | 1.13% |
VGSH Vanguard Short-Term Treasury ETF | -0.10% | -0.00% | 0.55% | 0.57% | 2.98% | 4.17% | 1.85% | 1.72% |
VTI Vanguard Total Stock Market ETF | -0.78% | 1.22% | 8.45% | 10.96% | 21.85% | 19.76% | 12.01% | 14.67% |
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% | -0.10% | -0.70% | 9.03% | |||||
| 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 0.39%, 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 64.76% of S&P 500 Index downside but only 56.46% 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
- 0.39%
- Beta
- 0.57
- R²
- 0.80
- Upside Capture
- 56.46%
- Downside Capture
- 64.76%
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 55 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 | 1.85 | 1.61 | +0.25 |
| Sortino ratioReturn per unit of downside risk | 2.57 | 2.22 | +0.35 |
| Omega ratioGain probability vs. loss probability | 1.34 | 1.29 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 2.49 | 2.21 | +0.28 |
| Martin ratioReturn relative to average drawdown | 10.29 | 9.61 | +0.68 |
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 | 0.68 | 1.02 | 1.15 | 0.72 | 1.77 |
IEFA iShares Core MSCI EAFE ETF | 46 | 1.28 | 1.87 | 1.24 | 1.74 | 6.59 |
IEMG iShares Core MSCI Emerging Markets ETF | 59 | 1.50 | 2.00 | 1.29 | 2.59 | 8.86 |
SLYV SPDR S&P 600 Small Cap Value ETF | 74 | 1.81 | 2.65 | 1.31 | 3.46 | 11.52 |
USRT iShares Core U.S. REIT ETF | 59 | 1.55 | 2.14 | 1.27 | 2.68 | 8.66 |
VGIT Vanguard Intermediate-Term Treasury ETF | 24 | 0.76 | 1.15 | 1.13 | 0.91 | 2.31 |
VGSH Vanguard Short-Term Treasury ETF | 87 | 2.27 | 3.59 | 1.46 | 3.38 | 13.07 |
VTI Vanguard Total Stock Market ETF | 66 | 1.71 | 2.36 | 1.31 | 2.46 | 10.78 |
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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 | 3.42% | 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 | 2.29% | 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 | 1.83% | 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 | 2.54% | 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 | 3.89% | 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 | 3.85% | 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 | 1.05% | 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 1.34%.
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 classic multi-asset equity mix with a modest bond-and-gold sleeve, so the bet is less on any single market and more on the usual thing: broad growth, some real estate, some duration, and a hedge that is not trying too hard.
The numbers
- Diversification ratio is 1.32 at inception and sits around the 57th percentile on the platform, which is respectable but not especially dramatic; the portfolio gets diversification, just not a great deal of it.
- Effective asset count is 7.69 out of 8, so the weights are spread cleanly enough that concentration is not the story here.
- The mean pairwise correlation is 0.28, with equity pairs like VTI (Vanguard Total Stock Market ETF) and IEFA (iShares Core MSCI EAFE ETF) at 0.80, while VGIT and VGSH are tightly linked at 0.81.
The good
- The portfolio does mix distinct return drivers: equities, REITs, government bonds, and gold, which is the standard equipment for lowering one big equity bet into several smaller ones.
- VGIT (Vanguard Intermediate-Term Treasury ETF) and VGSH (Vanguard Short-Term Treasury ETF) sit near zero to the equity book, so the rate-sensitive sleeve is doing actual portfolio work.
- IAU (iShares Gold Trust) remains relatively separate, which helps when equity and bond correlations stop being polite.
The bad
- Most of the capital still lives inside one broad equity cluster, with VTI, IEFA, SLYV, and IEMG moving together more than the labels imply.
- The bond sleeve is diversified mostly by maturity, not by economic driver; VGIT and VGSH are cousins, not strangers.
- USRT (iShares Core U.S. REIT ETF) behaves like equity with a property accent, which is fine, but only in the same way that another equity sleeve is fine.
The ugly
- In an inflationary growth scare, equity, REIT, and gold relationships can all get less helpful at once, while the Treasury sleeve is left carrying more of the burden than its weight suggests.
Next steps
- Portfolios with this structure are often paired with exposures whose earnings drivers sit outside the equity cycle, because the current cluster still dominates the risk budget.
- The gap between 1-year and 10-year diversification is small, which suggests the correlation structure has been stable rather than lately improving or deteriorating.
- The portfolio already has genuine cross-asset pieces; the main issue is that several of them are still responding to the same macro weather.
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 | 0.11 | 0.18 | 0.02 | 0.16 | 0.03 |
| VGSH | 0.34 | 1.00 | 0.81 | 0.12 | -0.04 | -0.10 | -0.02 | -0.10 |
| VGIT | 0.36 | 0.81 | 1.00 | 0.13 | -0.08 | -0.15 | -0.06 | -0.14 |
| USRT | 0.11 | 0.12 | 0.13 | 1.00 | 0.40 | 0.57 | 0.50 | 0.56 |
| 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 | 0.50 | 0.78 | 0.68 | 1.00 | 0.80 |
| VTI | 0.03 | -0.10 | -0.14 | 0.56 | 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