Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
^GSPC S&P 500 Index | 48.20% | |
^GVZ CBOE Gold Volatility Index | 3.10% | |
^VIX CBOE Volatility Index | 3.70% | |
XAUUSD=X Gold Spot Price US Dollar | 45% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Mete 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 year.
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The earliest data available for this chart is Jun 3, 2008, corresponding to the inception date of ^GVZ
Returns By Period
As of Apr 4, 2026, the Mete portfolio returned 5.91% Year-To-Date and 14.12% 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 Mete portfolio | -0.71% | -5.03% | 5.91% | 13.79% | 35.95% | 25.49% | 16.83% | 14.12% |
| Portfolio components: | ||||||||
XAUUSD=X Gold Spot Price US Dollar | -1.71% | -9.03% | 8.19% | 20.33% | 50.15% | 33.08% | 21.93% | 14.43% |
^GSPC S&P 500 Index | 0.11% | -4.18% | -3.84% | -1.98% | 21.98% | 16.86% | 10.37% | 12.29% |
^VIX CBOE Volatility Index | -2.73% | 12.86% | 59.67% | 43.36% | -20.49% | 8.77% | 6.61% | 5.39% |
^GVZ CBOE Gold Volatility Index | 4.82% | 3.76% | 58.24% | 114.33% | 106.15% | 27.53% | 17.72% | 7.75% |
Monthly Returns
Based on dividend-adjusted daily data since Jun 4, 2008, Mete portfolio's average daily return is +0.04%, while the average monthly return is +0.87%. At this rate, your investment would double in approximately 6.7 years.
Historically, 61% of months were positive and 39% were negative. The best month was Jan 2026 with a return of +9.8%, while the worst month was Oct 2008 at -9.8%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Mete portfolio closed higher 52% of trading days. The best single day was Feb 5, 2018 with a return of +5.6%, while the worst single day was Jan 30, 2026 at -4.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 9.80% | 2.58% | -5.96% | -0.01% | 5.91% | ||||||||
| 2025 | 4.38% | 0.94% | 2.64% | 3.48% | 0.90% | 1.66% | 0.53% | 3.62% | 7.70% | 3.52% | 2.75% | 1.25% | 38.70% |
| 2024 | 0.31% | 1.97% | 6.31% | -0.07% | 2.15% | 1.36% | 4.52% | 1.51% | 4.09% | 3.21% | -1.73% | -1.05% | 24.69% |
| 2023 | 5.09% | -3.73% | 5.45% | 0.55% | -0.30% | 0.80% | 2.71% | -1.56% | -3.78% | 2.79% | 4.35% | 3.02% | 15.90% |
| 2022 | -1.22% | 3.42% | 0.08% | -2.30% | -3.57% | -3.31% | 0.24% | -2.19% | -3.49% | 0.79% | 4.18% | -0.78% | -8.20% |
| 2021 | 0.03% | -2.20% | -0.57% | 3.72% | 3.46% | -2.11% | 2.50% | 1.31% | -2.62% | 3.11% | 1.26% | 1.62% | 9.63% |
Benchmark Metrics
Mete portfolio has an annualized alpha of 8.85%, beta of 0.13, and R² of 0.07 versus S&P 500 Index. Calculated based on daily prices since June 04, 2008.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (36.61%) than losses (9.45%) — typical of diversified or defensive assets.
- Beta of 0.13 may look defensive, but with R² of 0.07 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 0.07 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 8.85%
- Beta
- 0.13
- R²
- 0.07
- Upside Capture
- 36.61%
- Downside Capture
- 9.45%
Expense Ratio
Mete portfolio has an expense ratio of 0.00%, meaning no management fees are charged. 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
Mete 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 | 2.02 | 0.88 | +1.14 |
Sortino ratioReturn per unit of downside risk | 2.80 | 1.37 | +1.43 |
Omega ratioGain probability vs. loss probability | 1.39 | 1.21 | +0.18 |
Calmar ratioReturn relative to maximum drawdown | 2.45 | 1.39 | +1.06 |
Martin ratioReturn relative to average drawdown | 7.96 | 6.43 | +1.53 |
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 | |
|---|---|---|---|---|---|---|
XAUUSD=X Gold Spot Price US Dollar | 91 | 1.61 | 2.08 | 1.31 | 1.93 | 6.72 |
^GSPC S&P 500 Index | 62 | 0.88 | 1.37 | 1.21 | 1.39 | 6.43 |
^VIX CBOE Volatility Index | 23 | 0.08 | 1.23 | 1.15 | -0.38 | -0.49 |
^GVZ CBOE Gold Volatility Index | 72 | 1.10 | 2.19 | 1.23 | 2.31 | 3.64 |
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Dividends
Dividend yield
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 Mete 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 Mete portfolio was 20.28%, occurring on Mar 9, 2009. Recovery took 151 trading sessions.
The current Mete portfolio drawdown is 7.95%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -20.28% | Jul 14, 2008 | 171 | Mar 9, 2009 | 151 | Oct 6, 2009 | 322 |
| -18.61% | Mar 9, 2022 | 172 | Nov 3, 2022 | 295 | Dec 27, 2023 | 467 |
| -11% | Jan 30, 2026 | 44 | Mar 22, 2026 | — | — | — |
| -10.44% | Sep 6, 2011 | 75 | Dec 19, 2011 | 191 | Sep 13, 2012 | 266 |
| -10.38% | Jan 23, 2015 | 256 | Jan 19, 2016 | 73 | Apr 29, 2016 | 329 |
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 4 assets, with an effective number of assets of 2.29, 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 | XAUUSD=X | ^GVZ | ^VIX | ^GSPC | Portfolio | |
|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.05 | -0.29 | -0.78 | 1.00 | 0.31 |
| XAUUSD=X | 0.05 | 1.00 | 0.08 | -0.02 | 0.04 | 0.79 |
| ^GVZ | -0.29 | 0.08 | 1.00 | 0.39 | -0.29 | 0.26 |
| ^VIX | -0.78 | -0.02 | 0.39 | 1.00 | -0.78 | -0.03 |
| ^GSPC | 1.00 | 0.04 | -0.29 | -0.78 | 1.00 | 0.31 |
| Portfolio | 0.31 | 0.79 | 0.26 | -0.03 | 0.31 | 1.00 |