40/40/20+ Portfolio

Asset Allocation

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

Benchmark Against

Benchmark

S&P 500 Index

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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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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	-2.64%	-0.21%	7.86%	7.47%	23.05%	19.90%	11.79%	13.33%
Portfolio 40/40/20+ Portfolio	-1.71%	-1.08%	5.83%	6.62%	17.57%	13.79%	7.74%	—
Portfolio components:
AVDV Avantis International Small Cap Value ETF	-3.19%	-3.19%	12.92%	15.80%	39.79%	26.89%	13.10%	—
BND Vanguard Total Bond Market ETF	-0.45%	-0.64%	-0.05%	0.11%	4.90%	3.80%	0.02%	1.56%
BSV Vanguard Short-Term Bond Index Fund ETF Shares	-0.26%	-0.36%	0.11%	0.49%	3.67%	4.36%	1.58%	1.93%
DBMF iMGP DBi Managed Futures Strategy ETF	-2.01%	-0.10%	9.70%	11.78%	28.17%	9.96%	7.93%	—
GLDM SPDR Gold MiniShares Trust	-3.67%	-8.63%	0.06%	2.68%	30.23%	29.91%	17.81%	—
JMSIX JPMorgan Income Fund	0.00%	0.15%	1.23%	1.85%	5.92%	7.08%	2.78%	3.96%
QDSNX AQR Diversifying Strategies Fund Class N	-0.27%	1.16%	6.09%	7.59%	14.70%	13.67%	10.81%	—
RLY SPDR SSgA Multi-Asset Real Return ETF	-2.18%	-2.04%	14.42%	15.47%	28.07%	14.14%	9.92%	8.16%
VT Vanguard Total World Stock ETF	-3.07%	-0.97%	9.20%	9.69%	24.82%	19.73%	10.38%	12.30%
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	-0.20%	-0.18%	1.76%	1.81%	4.64%	5.13%	3.31%	3.09%

*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 +0.79%. At this rate, an investment would double in approximately 7.3 years.

Historically, 66% of months were positive and 34% were negative. The best month was Nov 2020 with a return of +5.8%, while the worst month was Sep 2022 at -5.4%. 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 56% of trading days. The best single day was Apr 9, 2025 with a return of +3.9%, while the worst single day was Apr 4, 2025 at -3.1%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.93%	2.62%	-3.73%	3.91%	1.82%	-1.63%							5.83%
2025	2.16%	0.64%	-0.37%	0.89%	2.49%	2.60%	0.45%	2.48%	2.60%	1.38%	1.00%	0.80%	18.46%
2024	0.16%	1.72%	2.91%	-1.33%	2.63%	0.62%	1.65%	1.33%	1.78%	-1.62%	1.88%	-1.67%	10.37%
2023	4.31%	-2.16%	1.64%	0.93%	-1.48%	2.57%	2.16%	-1.22%	-1.91%	-1.23%	4.56%	2.99%	11.40%
2022	-1.93%	-0.40%	0.99%	-3.31%	0.62%	-4.69%	3.34%	-2.40%	-5.41%	3.04%	4.56%	-1.70%	-7.60%
2021	-0.09%	1.40%	1.44%	2.50%	1.69%	-0.08%	0.79%	0.69%	-1.89%	2.44%	-1.74%	2.34%	9.78%

Benchmark Metrics

40/40/20+ Portfolio has an annualized alpha of 3.20%, beta of 0.42, and R2 of 0.82 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 (46.16%) than losses (45.47%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 3.20% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
Beta of 0.42 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: 3.20%

Beta: 0.42

R²: 0.82

Upside Capture: 46.16%

Downside Capture: 45.47%

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

iMGP 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 53 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.

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

The table below presents risk-adjusted performance metrics for 40/40/20+ Portfolio and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.53	2.01	+0.52
Sortino ratioReturn per unit of downside risk	3.47	2.71	+0.75
Omega ratioGain probability vs. loss probability	1.49	1.36	+0.13
Calmar ratioReturn relative to maximum drawdown	3.37	2.69	+0.69
Martin ratioReturn relative to average drawdown	14.61	12.34	+2.27
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.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
AVDV Avantis International Small Cap Value ETF	78	2.51	3.32	1.46	3.02	12.23
BND Vanguard Total Bond Market ETF	35	1.16	1.71	1.20	1.62	4.86
BSV Vanguard Short-Term Bond Index Fund ETF Shares	63	1.87	2.96	1.35	2.63	9.17
DBMF iMGP DBi Managed Futures Strategy ETF	82	2.26	2.97	1.48	4.58	16.82
GLDM SPDR Gold MiniShares Trust	32	1.07	1.45	1.22	1.43	3.63
JMSIX JPMorgan Income Fund	79	2.21	4.35	1.58	3.43	14.27
QDSNX AQR Diversifying Strategies Fund Class N	92	2.93	4.41	1.57	7.42	21.46
RLY SPDR SSgA Multi-Asset Real Return ETF	91	2.75	3.71	1.51	7.32	26.80
VT Vanguard Total World Stock ETF	65	1.98	2.70	1.36	2.68	11.87
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	94	2.96	4.99	1.62	6.39	25.19

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 Jun 6, 2026 (values are recalculated daily):

1-Year: 2.53
5-Year: 0.99
All Time: 1.25

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 1.64 to 2.53, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

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.

Position	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:
AVDV Avantis International Small Cap Value ETF	2.82%	3.05%	4.31%	3.29%	3.17%	2.39%	1.67%	0.36%	0.00%	0.00%	0.00%	0.00%
BND Vanguard Total Bond Market ETF	3.98%	3.86%	3.67%	3.09%	2.60%	2.12%	2.38%	2.72%	2.81%	2.54%	2.51%	2.57%
BSV Vanguard Short-Term Bond Index Fund ETF Shares	4.00%	3.83%	3.38%	2.46%	1.50%	1.45%	1.79%	2.29%	1.99%	1.65%	1.48%	1.40%
DBMF iMGP DBi Managed Futures Strategy ETF	5.22%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	0.00%	0.00%	0.00%
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%
JMSIX JPMorgan Income Fund	6.03%	5.95%	5.78%	4.43%	4.78%	4.00%	4.95%	5.10%	5.43%	5.42%	0.46%	0.00%
QDSNX AQR Diversifying Strategies Fund Class N	1.88%	1.99%	0.00%	11.18%	8.01%	5.99%	1.83%	0.00%	0.00%	0.00%	0.00%	0.00%
RLY SPDR SSgA Multi-Asset Real Return ETF	2.93%	3.24%	3.31%	3.71%	5.66%	12.15%	2.16%	3.45%	2.76%	1.85%	2.07%	1.80%
VT Vanguard Total World Stock ETF	1.64%	1.82%	1.95%	2.08%	2.20%	1.82%	1.66%	2.32%	2.53%	2.11%	2.39%	2.45%
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	3.59%	3.81%	2.70%	2.86%	6.84%	4.68%	1.20%	1.95%	2.45%	1.52%	0.76%	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 13.17%, occurring on Sep 30, 2022. Recovery took 294 trading sessions.

The current 40/40/20+ Portfolio drawdown is 2.45%.

Related event	Drawdown	Fall	Recovery	Underwater
Bear market2022	-13.17%Sep 2022	10mo 25d	1y 2mo	2y 22dNov 2021 - Dec 2023
2025 selloff2025	-7.03%Apr 2025	1mo 18d	27d	2mo 15dFeb 2025 - May 2025
2026 pullback2026	-5.26%Mar 2026	25d	21d	1mo 16dMar 2026 - Apr 2026
2024 pullback2024	-4.04%Aug 2024	19d	16d	1mo 5dJul 2024 - Aug 2024
2020 pullback2020	-3.71%Sep 2020	21d	1mo 12d	2mo 3dSep 2020 - Nov 2020

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. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.

Diversification Ratio

	1Y	3Y	5Y	All Time
Diversification Ratio	1.29	1.31	1.35	1.34

The portfolio has a diversification ratio of 1.34, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

40/40/20+ Portfolio correlation to the S&P 500 Index

40/40/20+ Portfolio has a 0.84 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.85
Correlation (5Y) Calculated over the trailing 5-year period	0.87
Correlation (All Time) Calculated using the full available price history since Jun 11, 2020	0.88

Benchmark Correlations

Correlation vs. S&P 500 Index. VT has the highest benchmark correlation at 0.96, while BSV has the lowest at 0.14.

0.14

0.14

0.17

0.17

0.17

0.17

0.27

0.56

0.69

0.96

Portfolio Correlations

Correlation vs. 40/40/20+ Portfolio. VT has the highest portfolio correlation at 0.96, while DBMF has the lowest at 0.23.

0.23

0.28

0.30

0.30

0.34

0.41

0.42

0.76

0.89

0.96

Asset Correlations Table

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

	QDSNX	DBMF	GLDM	VTIP	BND	BSV	JMSIX	RLY	VT	AVDV
QDSNX	1.00	0.40	0.11	0.07	-0.08	-0.08	-0.07	0.35	0.21	0.28
DBMF	0.40	1.00	0.11	-0.10	-0.31	-0.29	-0.25	0.26	0.18	0.19
GLDM	0.11	0.11	1.00	0.36	0.32	0.36	0.29	0.42	0.23	0.39
VTIP	0.07	-0.10	0.36	1.00	0.55	0.65	0.54	0.32	0.19	0.25
BND	-0.08	-0.31	0.32	0.55	1.00	0.86	0.62	0.10	0.19	0.17
BSV	-0.08	-0.29	0.36	0.65	0.86	1.00	0.69	0.11	0.17	0.19
JMSIX	-0.07	-0.25	0.29	0.54	0.62	0.69	1.00	0.22	0.31	0.33
RLY	0.35	0.26	0.42	0.32	0.10	0.11	0.22	1.00	0.65	0.75
VT	0.21	0.18	0.23	0.19	0.19	0.17	0.31	0.65	1.00	0.82
AVDV	0.28	0.19	0.39	0.25	0.17	0.19	0.33	0.75	0.82	1.00

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

Diversification Analysis

Find what 40/40/20+ Portfolio is missing

See which holdings overlap, where 40/40/20+ Portfolio is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification