40/40/20+ Portfolio

Asset Allocation

Position	Category/Sector	Target Weight
AVDV Avantis International Small Cap Value ETF	Foreign Small & Mid Cap Equities	5%
BND Vanguard Total Bond Market ETF	Total Bond Market	10%
BSV Vanguard Short-Term Bond Index Fund ETF Shares	Short-Term Bond	10%
DBMF iM DBi Managed Futures Strategy ETF	Hedge Fund, Actively Managed	5%
GLDM SPDR Gold MiniShares Trust	Precious Metals, Gold	5%
JMSIX JPMorgan Income Fund	Multisector Bonds	10%
QDSNX AQR Diversifying Strategies Fund Class N	Tactical Allocation	5%
RLY SPDR SSgA Multi-Asset Real Return ETF	Hedge Fund, Actively Managed	5%
VT Vanguard Total World Stock ETF	Global Equities	35%
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	Inflation-Protected Bonds	10%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in 40/40/20+ 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 when any position deviates by more than 20.0% from its target allocation.

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The earliest data available for this chart is Jun 10, 2020, corresponding to the inception date of QDSNX

Returns By Period

	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.11%	-3.43%	-3.84%	-1.98%	16.08%	16.86%	10.37%	12.29%
Portfolio 40/40/20+ Portfolio	-0.23%	-2.21%	2.32%	5.65%	19.93%	13.60%	8.25%	—
Portfolio components:
RLY SPDR SSgA Multi-Asset Real Return ETF	0.69%	2.01%	15.69%	20.20%	31.13%	12.84%	12.16%	8.92%
GLDM SPDR Gold MiniShares Trust	-1.93%	-8.33%	8.33%	21.17%	49.47%	32.89%	21.86%	—
DBMF iM DBi Managed Futures Strategy ETF	0.33%	0.36%	8.44%	15.46%	27.06%	10.31%	8.74%	—
QDSNX AQR Diversifying Strategies Fund Class N	0.56%	0.63%	3.72%	6.64%	12.40%	12.79%	11.07%	—
BND Vanguard Total Bond Market ETF	0.22%	-0.98%	0.31%	0.85%	4.27%	3.53%	0.30%	1.70%
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	0.23%	0.26%	1.11%	1.40%	4.15%	4.67%	3.51%	3.08%
BSV Vanguard Short-Term Bond Index Fund ETF Shares	0.08%	-0.44%	0.23%	1.22%	4.20%	4.23%	1.70%	1.98%
JMSIX JPMorgan Income Fund	0.12%	-0.81%	-0.06%	1.33%	5.27%	6.44%	2.81%	3.96%
VT Vanguard Total World Stock ETF	-0.23%	-3.01%	-0.97%	1.52%	21.33%	16.97%	9.38%	11.66%
AVDV Avantis International Small Cap Value ETF	-0.97%	-4.17%	7.34%	14.94%	49.48%	23.93%	13.58%	—

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Jun 11, 2020, 40/40/20+ Portfolio's average daily return is +0.04%, while the average monthly return is +0.80%. At this rate, your investment would double in approximately 7.2 years.

Historically, 66% of months were positive and 34% were negative. The best month was Nov 2020 with a return of +5.9%, while the worst month was Sep 2022 at -5.5%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.

On a daily basis, 40/40/20+ Portfolio closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +4.4%, while the worst single day was Apr 4, 2025 at -3.6%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.60%	3.12%	-4.69%	0.49%									2.32%
2025	2.37%	0.51%	-0.52%	0.78%	2.95%	2.88%	0.53%	2.76%	3.04%	1.51%	1.11%	0.97%	20.50%
2024	0.11%	2.06%	3.16%	-1.44%	2.83%	0.59%	1.61%	1.34%	1.84%	-1.70%	2.09%	-1.91%	10.92%
2023	4.41%	-2.19%	1.41%	0.96%	-1.62%	2.91%	2.38%	-1.39%	-1.93%	-1.39%	4.68%	3.09%	11.54%
2022	-2.13%	-0.54%	1.17%	-3.48%	0.60%	-5.02%	3.32%	-2.41%	-5.45%	3.22%	4.43%	-1.85%	-8.39%
2021	-0.13%	1.54%	1.57%	2.66%	1.72%	-0.04%	0.76%	0.82%	-2.10%	2.72%	-1.97%	2.53%	10.39%

Benchmark Metrics

40/40/20+ Portfolio has an annualized alpha of 3.48%, beta of 0.45, and R² of 0.81 versus S&P 500 Index. Calculated based on daily prices since June 11, 2020.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (51.07%) than losses (48.34%) — typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 3.48% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
Beta of 0.45 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: 3.48%

Beta: 0.45

R²: 0.81

Upside Capture: 51.07%

Downside Capture: 48.34%

Expense Ratio

40/40/20+ Portfolio has an expense ratio of 0.33%, placing it in the medium range. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

QDSNX

AQR Diversifying Strategies Fund Class N

DBMF

iM DBi Managed Futures Strategy ETF

RLY

SPDR SSgA Multi-Asset Real Return ETF

JMSIX

JPMorgan Income Fund

AVDV

Avantis International Small Cap Value ETF

GLDM

SPDR Gold MiniShares Trust

Vanguard Total World Stock ETF

BND

Vanguard Total Bond Market ETF

VTIP

Vanguard Short-Term Inflation-Protected Securities ETF

BSV

Vanguard Short-Term Bond Index Fund ETF Shares

Return for Risk

Risk / Return Rank

40/40/20+ Portfolio ranks 87 for risk / return — in the top 87% 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.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	1.97	0.88	+1.09
Sortino ratio Return per unit of downside risk	2.71	1.37	+1.35
Omega ratio Gain probability vs. loss probability	1.42	1.21	+0.21
Calmar ratio Return relative to maximum drawdown	2.91	1.39	+1.52
Martin ratio Return relative to average drawdown	12.14	6.43	+5.71
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
RLY SPDR SSgA Multi-Asset Real Return ETF	93	2.36	3.07	1.48	3.15	18.59
GLDM SPDR Gold MiniShares Trust	81	1.80	2.23	1.33	2.59	9.40
DBMF iM DBi Managed Futures Strategy ETF	94	2.25	3.05	1.48	4.38	18.76
QDSNX AQR Diversifying Strategies Fund Class N	86	1.96	2.47	1.41	2.33	9.92
BND Vanguard Total Bond Market ETF	48	1.00	1.42	1.18	1.71	4.64
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	93	2.18	3.31	1.47	4.13	13.26
BSV Vanguard Short-Term Bond Index Fund ETF Shares	91	2.11	3.37	1.42	3.21	12.06
JMSIX JPMorgan Income Fund	93	2.03	3.57	1.50	3.22	11.97
VT Vanguard Total World Stock ETF	68	1.24	1.83	1.27	1.86	8.47
AVDV Avantis International Small Cap Value ETF	95	2.69	3.38	1.55	3.76	15.42

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

40/40/20+ Portfolio Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

1-Year: 1.97
5-Year: 0.96
All Time: 1.15

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.00 to 1.69, this portfolio's current Sharpe ratio is in the top 25%. This signifies superior risk-adjusted performance, meaning the portfolio is delivering strong returns for the level of risk taken compared to most others.

The chart below shows the rolling Sharpe ratio of 40/40/20+ Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

40/40/20+ Portfolio provided a 2.98% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.98%	3.09%	2.91%	3.07%	3.57%	3.41%	1.94%	2.67%	2.29%	1.94%	1.46%	1.35%
Portfolio components:
RLY SPDR SSgA Multi-Asset Real Return ETF	2.90%	3.24%	3.31%	3.71%	5.66%	12.15%	2.16%	3.45%	2.76%	1.85%	2.07%	1.80%
GLDM SPDR Gold MiniShares 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%
DBMF iM DBi Managed Futures Strategy ETF	5.28%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	0.00%	0.00%	0.00%
QDSNX AQR Diversifying Strategies Fund Class N	1.92%	1.99%	0.00%	11.18%	8.01%	5.99%	1.83%	0.00%	0.00%	0.00%	0.00%	0.00%
BND Vanguard Total Bond Market ETF	3.92%	3.86%	3.67%	3.09%	2.60%	2.12%	2.38%	2.72%	2.81%	2.54%	2.51%	2.57%
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	3.62%	3.81%	2.70%	2.86%	6.84%	4.68%	1.20%	1.95%	2.45%	1.52%	0.76%	0.00%
BSV Vanguard Short-Term Bond Index Fund ETF Shares	3.93%	3.83%	3.38%	2.46%	1.50%	1.45%	1.79%	2.29%	1.99%	1.65%	1.48%	1.40%
JMSIX JPMorgan Income Fund	5.51%	5.95%	5.78%	4.43%	4.78%	4.00%	4.95%	5.10%	5.43%	5.42%	0.46%	0.00%
VT Vanguard Total World Stock ETF	1.80%	1.82%	1.95%	2.08%	2.20%	1.82%	1.66%	2.32%	2.53%	2.11%	2.39%	2.45%
AVDV Avantis International Small Cap Value ETF	2.97%	3.05%	4.31%	3.29%	3.17%	2.39%	1.67%	0.36%	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 40/40/20+ 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 40/40/20+ Portfolio was 13.94%, occurring on Sep 30, 2022. Recovery took 303 trading sessions.

The current 40/40/20+ Portfolio drawdown is 4.05%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-13.94%	Nov 9, 2021	225	Sep 30, 2022	303	Dec 14, 2023	528
-8.3%	Feb 19, 2025	35	Apr 8, 2025	23	May 12, 2025	58
-6.44%	Mar 2, 2026	21	Mar 30, 2026	—	—	—
-4.86%	Jul 17, 2024	14	Aug 5, 2024	14	Aug 23, 2024	28
-3.81%	Sep 3, 2020	15	Sep 24, 2020	32	Nov 9, 2020	47

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 10 assets, with an effective number of assets of 5.71, 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

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	Benchmark	QDSNX	DBMF	GLDM	VTIP	BND	BSV	JMSIX	RLY	VT	AVDV	Portfolio
Benchmark	1.00	0.17	0.17	0.13	0.17	0.15	0.12	0.26	0.57	0.96	0.69	0.88
QDSNX	0.17	1.00	0.40	0.11	0.07	-0.08	-0.08	-0.07	0.35	0.21	0.29	0.30
DBMF	0.17	0.40	1.00	0.13	-0.11	-0.31	-0.29	-0.24	0.26	0.19	0.21	0.26
GLDM	0.13	0.11	0.13	1.00	0.37	0.30	0.34	0.28	0.42	0.22	0.37	0.40
VTIP	0.17	0.07	-0.11	0.37	1.00	0.56	0.65	0.55	0.32	0.19	0.25	0.30
BND	0.15	-0.08	-0.31	0.30	0.56	1.00	0.86	0.62	0.10	0.18	0.16	0.25
BSV	0.12	-0.08	-0.29	0.34	0.65	0.86	1.00	0.68	0.11	0.15	0.17	0.24
JMSIX	0.26	-0.07	-0.24	0.28	0.55	0.62	0.68	1.00	0.22	0.30	0.32	0.37
RLY	0.57	0.35	0.26	0.42	0.32	0.10	0.11	0.22	1.00	0.66	0.76	0.77
VT	0.96	0.21	0.19	0.22	0.19	0.18	0.15	0.30	0.66	1.00	0.82	0.96
AVDV	0.69	0.29	0.21	0.37	0.25	0.16	0.17	0.32	0.76	0.82	1.00	0.89
Portfolio	0.88	0.30	0.26	0.40	0.30	0.25	0.24	0.37	0.77	0.96	0.89	1.00

The correlation results are calculated based on daily price changes starting from Jun 11, 2020

40/40/20+ Portfolio

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table