Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
SCHD Schwab U.S. Dividend Equity ETF | Dividend | 40% |
VOO Vanguard S&P 500 ETF | S&P 500 | 20% |
SCHG Schwab U.S. Large-Cap Growth ETF | Large Cap Growth Equities | 15% |
VGT Vanguard Information Technology ETF | Technology Equities | 15% |
SMH VanEck Semiconductor ETF | Semiconductors, Technology Equities | 10% |
Find the right asset allocation for 24% risk
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 24% risk, 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 year.
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Returns By Period
As of Jun 13, 2026, the 24% risk returned 23.14% Year-To-Date and 19.31% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 1.65% | 1.97% | 10.35% | 10.82% | 26.39% | 19.66% | 12.33% | 13.81% |
Portfolio 24% risk | 1.53% | 4.66% | 23.14% | 23.49% | 41.68% | 24.64% | 16.56% | 19.31% |
| Portfolio components: | ||||||||
SCHD Schwab U.S. Dividend Equity ETF | -0.58% | 2.87% | 19.96% | 18.54% | 25.99% | 14.28% | 8.90% | 12.83% |
SCHG Schwab U.S. Large-Cap Growth ETF | 2.39% | -0.12% | 5.03% | 5.98% | 23.20% | 23.27% | 14.85% | 18.85% |
SMH VanEck Semiconductor ETF | 4.38% | 16.31% | 79.69% | 83.94% | 152.58% | 62.32% | 39.72% | 38.18% |
VGT Vanguard Information Technology ETF | 3.42% | 6.55% | 28.27% | 29.82% | 55.62% | 30.76% | 21.17% | 25.72% |
VOO Vanguard S&P 500 ETF | 1.74% | 2.12% | 10.99% | 11.51% | 27.95% | 21.25% | 13.93% | 15.72% |
Monthly Returns
Based on dividend-adjusted daily data since Oct 20, 2011, 24% risk's average daily return is +0.07%, while the average monthly return is +1.45%. At this rate, an investment would double in approximately 4.0 years.
Historically, 70% of months were positive and 30% were negative. The best month was Apr 2020 with a return of +13.4%, while the worst month was Mar 2020 at -11.4%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, 24% risk closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +9.6%, while the worst single day was Mar 16, 2020 at -11.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.58% | 1.68% | -3.90% | 11.51% | 7.17% | 0.83% | 23.14% | ||||||
| 2025 | 1.54% | -0.71% | -4.97% | -3.10% | 5.81% | 5.91% | 2.00% | 2.79% | 3.39% | 2.77% | -0.36% | 0.48% | 16.06% |
| 2024 | 1.71% | 5.00% | 3.67% | -4.53% | 5.32% | 4.00% | 1.40% | 1.62% | 1.62% | -0.47% | 5.10% | -2.80% | 23.26% |
| 2023 | 6.72% | -1.78% | 4.26% | -0.52% | 2.97% | 5.98% | 3.83% | -1.71% | -5.28% | -2.78% | 10.05% | 5.83% | 29.87% |
| 2022 | -5.73% | -2.87% | 3.21% | -8.48% | 1.68% | -8.99% | 8.45% | -4.35% | -9.26% | 8.45% | 7.02% | -5.61% | -17.47% |
| 2021 | -0.40% | 3.91% | 4.98% | 3.73% | 1.31% | 2.44% | 1.76% | 2.82% | -4.61% | 6.39% | 0.70% | 4.54% | 30.71% |
Benchmark Metrics
24% risk has an annualized alpha of 3.83%, beta of 1.02, and R2 of 0.97 versus S&P 500 Index. Calculated based on daily prices since October 20, 2011.
- This portfolio captured 113.12% of S&P 500 Index gains but only 93.22% of its losses - a favorable profile for investors.
- This portfolio generated an annualized alpha of 3.83% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 1.02 and R2 of 0.97, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 3.83%
- Beta
- 1.02
- R²
- 0.97
- Upside Capture
- 113.12%
- Downside Capture
- 93.22%
Expense Ratio
24% risk 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
24% risk ranks 91 for risk / return — in the top 91% of Portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for 24% risk 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 | 3.25 | 2.14 | +1.11 |
| Sortino ratioReturn per unit of downside risk | 4.18 | 2.89 | +1.29 |
| Omega ratioGain probability vs. loss probability | 1.59 | 1.39 | +0.20 |
| Calmar ratioReturn relative to maximum drawdown | 5.86 | 2.91 | +2.95 |
| Martin ratioReturn relative to average drawdown | 23.90 | 13.08 | +10.82 |
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 |
|---|---|---|---|---|---|---|
SCHD Schwab U.S. Dividend Equity ETF | 85 | 2.39 | 3.69 | 1.43 | 5.66 | 13.87 |
SCHG Schwab U.S. Large-Cap Growth ETF | 40 | 1.45 | 1.98 | 1.26 | 1.42 | 4.68 |
SMH VanEck Semiconductor ETF | 96 | 4.61 | 4.60 | 1.65 | 10.28 | 37.77 |
VGT Vanguard Information Technology ETF | 77 | 2.52 | 3.09 | 1.41 | 3.41 | 10.55 |
VOO Vanguard S&P 500 ETF | 78 | 2.28 | 3.07 | 1.42 | 3.15 | 14.25 |
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Dividends
Dividend yield
24% risk provided a 1.62% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.62% | 1.90% | 1.90% | 1.91% | 2.03% | 1.57% | 1.84% | 2.01% | 2.21% | 1.85% | 1.99% | 2.20% |
| Portfolio components: | ||||||||||||
SCHD Schwab U.S. Dividend Equity ETF | 3.24% | 3.82% | 3.64% | 3.49% | 3.39% | 2.78% | 3.16% | 2.98% | 3.06% | 2.63% | 2.89% | 2.97% |
SCHG Schwab U.S. Large-Cap Growth ETF | 0.37% | 0.36% | 0.39% | 0.46% | 0.55% | 0.42% | 0.52% | 0.82% | 1.27% | 1.01% | 1.04% | 1.22% |
SMH VanEck Semiconductor ETF | 0.17% | 0.31% | 0.44% | 0.60% | 1.18% | 0.51% | 0.69% | 1.50% | 1.88% | 1.43% | 0.80% | 2.14% |
VGT Vanguard Information Technology ETF | 0.32% | 0.40% | 0.60% | 0.65% | 0.91% | 0.64% | 0.82% | 1.11% | 1.29% | 0.99% | 1.31% | 1.28% |
VOO Vanguard S&P 500 ETF | 1.03% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
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 24% risk. 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 24% risk was 32.64%, occurring on Mar 23, 2020. Recovery took 84 trading sessions.
The current 24% risk drawdown is 1.95%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -32.64%Mar 2020 | 1mo 2d | 4mo 1d | 5mo 3dFeb 2020 - Jul 2020 |
Bear market2022 | -25.55%Oct 2022 | 9mo 18d | 9mo 9d | 1y 6moDec 2021 - Jul 2023 |
Rate-hike selloffLate 2018 | -19.68%Dec 2018 | 3mo 4d | 3mo 8d | 6mo 12dSep 2018 - Apr 2019 |
2025 selloff2025 | -19.58%Apr 2025 | 2mo 14d | 2mo 24d | 5mo 8dJan 2025 - Jul 2025 |
2015 correction2015 | -13.45%Aug 2015 | 3mo 5d | 7mo 8d | 10mo 13dMay 2015 - Mar 2016 |
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 5 assets, with an effective number of assets of 3.92, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.26 | 1.16 | 1.11 | 1.09 | 1.08 |
The portfolio has a diversification ratio of 1.08, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
24% risk correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.93 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.96 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.97 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Oct 20, 2011 | 0.97 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VOO has the highest benchmark correlation at 1.00, while SMH has the lowest at 0.77.
Asset Correlations Table
Find what 24% risk is missing
See which holdings overlap, where 24% risk is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification