Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in US Bias w/o Alts, 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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The earliest data available for this chart is Mar 23, 2007, corresponding to the inception date of SPEM
Returns By Period
As of Apr 7, 2026, the US Bias w/o Alts returned -1.22% Year-To-Date and 12.73% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.44% | -1.90% | -3.41% | -1.91% | 30.31% | 17.22% | 10.14% | 12.44% |
Portfolio US Bias w/o Alts | 0.45% | -1.16% | -1.22% | 0.49% | 32.34% | 17.47% | 10.18% | 12.73% |
| Portfolio components: | ||||||||
IVV iShares Core S&P 500 ETF | 0.44% | -1.74% | -3.11% | -1.32% | 32.00% | 18.81% | 11.72% | 14.31% |
IWD iShares Russell 1000 Value ETF | 0.51% | -0.13% | 3.37% | 6.46% | 29.37% | 14.58% | 9.15% | 10.63% |
IWF iShares Russell 1000 Growth ETF | 0.40% | -3.34% | -8.70% | -8.53% | 33.07% | 21.74% | 12.04% | 16.80% |
IJH iShares Core S&P Mid-Cap ETF | 0.41% | 0.59% | 3.97% | 4.67% | 31.24% | 13.54% | 6.88% | 10.82% |
EFV iShares MSCI EAFE Value ETF | 0.51% | 1.63% | 5.57% | 12.51% | 45.49% | 20.70% | 12.51% | 9.83% |
EFG iShares MSCI EAFE Growth ETF | 0.51% | -1.34% | -0.44% | -1.81% | 26.55% | 8.66% | 3.79% | 7.47% |
SPEM SPDR Portfolio Emerging Markets ETF | 0.36% | -0.87% | 0.26% | 0.49% | 31.82% | 14.27% | 4.44% | 8.43% |
Monthly Returns
Based on dividend-adjusted daily data since Mar 26, 2007, US Bias w/o Alts's average daily return is +0.04%, while the average monthly return is +0.82%. At this rate, your investment would double in approximately 7.1 years.
Historically, 65% of months were positive and 35% were negative. The best month was Nov 2020 with a return of +11.8%, while the worst month was Oct 2008 at -18.2%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 5 months.
On a daily basis, US Bias w/o Alts closed higher 55% of trading days. The best single day was Oct 13, 2008 with a return of +12.7%, while the worst single day was Mar 16, 2020 at -11.6%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.52% | 0.81% | -5.62% | 1.26% | -1.22% | ||||||||
| 2025 | 3.18% | -0.73% | -4.03% | -0.27% | 5.63% | 4.63% | 1.39% | 2.65% | 3.15% | 1.83% | 0.43% | 0.54% | 19.60% |
| 2024 | 0.55% | 4.70% | 3.46% | -3.72% | 4.59% | 1.98% | 1.95% | 2.34% | 2.22% | -1.62% | 4.90% | -3.02% | 19.40% |
| 2023 | 6.98% | -2.86% | 2.82% | 1.42% | -0.82% | 6.32% | 3.52% | -2.45% | -4.33% | -2.73% | 8.82% | 4.99% | 22.68% |
| 2022 | -4.62% | -2.73% | 2.47% | -8.15% | 0.56% | -8.14% | 7.88% | -3.91% | -9.25% | 7.15% | 7.18% | -4.80% | -17.02% |
| 2021 | -0.55% | 3.09% | 3.73% | 4.60% | 1.14% | 1.45% | 1.26% | 2.57% | -4.25% | 5.86% | -1.93% | 4.30% | 22.91% |
Benchmark Metrics
US Bias w/o Alts has an annualized alpha of 0.74%, beta of 0.99, and R² of 0.97 versus S&P 500 Index. Calculated based on daily prices since March 26, 2007.
- With beta of 0.99 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
- 0.74%
- Beta
- 0.99
- R²
- 0.97
- Upside Capture
- 101.79%
- Downside Capture
- 99.00%
Expense Ratio
US Bias w/o Alts has an expense ratio of 0.15%, 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
US Bias w/o Alts ranks 59 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
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.08 | 1.84 | +0.24 |
Sortino ratioReturn per unit of downside risk | 3.32 | 2.97 | +0.35 |
Omega ratioGain probability vs. loss probability | 1.44 | 1.40 | +0.04 |
Calmar ratioReturn relative to maximum drawdown | 2.13 | 1.82 | +0.30 |
Martin ratioReturn relative to average drawdown | 9.00 | 7.76 | +1.24 |
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 | |
|---|---|---|---|---|---|---|
IVV iShares Core S&P 500 ETF | 81 | 1.95 | 3.13 | 1.43 | 2.04 | 8.67 |
IWD iShares Russell 1000 Value ETF | 81 | 2.13 | 3.33 | 1.43 | 2.06 | 8.76 |
IWF iShares Russell 1000 Growth ETF | 62 | 1.60 | 2.58 | 1.34 | 1.11 | 3.86 |
IJH iShares Core S&P Mid-Cap ETF | 71 | 1.63 | 2.58 | 1.32 | 1.86 | 6.48 |
EFV iShares MSCI EAFE Value ETF | 91 | 2.97 | 4.21 | 1.57 | 3.06 | 11.68 |
EFG iShares MSCI EAFE Growth ETF | 59 | 1.50 | 2.31 | 1.28 | 1.22 | 4.68 |
SPEM SPDR Portfolio Emerging Markets ETF | 74 | 1.92 | 2.71 | 1.38 | 1.94 | 6.91 |
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Dividends
Dividend yield
US Bias w/o Alts provided a 1.58% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.58% | 1.58% | 1.65% | 1.76% | 1.92% | 1.55% | 1.55% | 2.09% | 2.29% | 1.75% | 2.00% | 2.19% |
| Portfolio components: | ||||||||||||
IVV iShares Core S&P 500 ETF | 1.22% | 1.17% | 1.30% | 1.44% | 1.66% | 1.20% | 1.57% | 1.85% | 2.21% | 1.75% | 2.01% | 2.27% |
IWD iShares Russell 1000 Value ETF | 1.65% | 1.69% | 1.87% | 2.02% | 2.15% | 1.62% | 2.05% | 2.45% | 2.71% | 2.09% | 2.25% | 2.47% |
IWF iShares Russell 1000 Growth ETF | 0.39% | 0.36% | 0.46% | 0.67% | 0.91% | 0.49% | 0.66% | 0.99% | 1.27% | 1.10% | 1.43% | 1.37% |
IJH iShares Core S&P Mid-Cap ETF | 1.30% | 1.36% | 1.33% | 1.46% | 1.68% | 1.18% | 1.28% | 1.63% | 1.72% | 1.19% | 1.60% | 1.56% |
EFV iShares MSCI EAFE Value ETF | 3.94% | 4.16% | 4.66% | 4.36% | 4.17% | 4.07% | 2.42% | 4.62% | 4.56% | 3.56% | 3.28% | 3.59% |
EFG iShares MSCI EAFE Growth ETF | 2.54% | 2.53% | 1.64% | 1.63% | 1.27% | 1.54% | 0.85% | 1.69% | 1.98% | 1.56% | 2.20% | 1.75% |
SPEM SPDR Portfolio Emerging Markets ETF | 2.77% | 2.77% | 2.78% | 2.80% | 3.38% | 3.14% | 1.92% | 2.94% | 2.34% | 1.12% | 1.51% | 2.40% |
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 US Bias w/o Alts. 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 US Bias w/o Alts was 56.36%, occurring on Mar 9, 2009. Recovery took 889 trading sessions.
The current US Bias w/o Alts drawdown is 5.16%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -56.36% | Oct 15, 2007 | 352 | Mar 9, 2009 | 889 | Sep 14, 2012 | 1241 |
| -34.39% | Feb 20, 2020 | 23 | Mar 23, 2020 | 107 | Aug 24, 2020 | 130 |
| -24.67% | Jan 5, 2022 | 194 | Oct 12, 2022 | 295 | Dec 14, 2023 | 489 |
| -18.28% | Sep 21, 2018 | 65 | Dec 24, 2018 | 75 | Apr 12, 2019 | 140 |
| -17.08% | Feb 19, 2025 | 35 | Apr 8, 2025 | 41 | Jun 6, 2025 | 76 |
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 7 assets, with an effective number of assets of 4.61, 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 | SPEM | EFV | EFG | IJH | IWF | IWD | IVV | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.73 | 0.79 | 0.83 | 0.89 | 0.95 | 0.92 | 1.00 | 0.98 |
| SPEM | 0.73 | 1.00 | 0.78 | 0.79 | 0.69 | 0.71 | 0.70 | 0.73 | 0.80 |
| EFV | 0.79 | 0.78 | 1.00 | 0.91 | 0.76 | 0.71 | 0.81 | 0.79 | 0.85 |
| EFG | 0.83 | 0.79 | 0.91 | 1.00 | 0.76 | 0.79 | 0.78 | 0.82 | 0.88 |
| IJH | 0.89 | 0.69 | 0.76 | 0.76 | 1.00 | 0.82 | 0.91 | 0.89 | 0.91 |
| IWF | 0.95 | 0.71 | 0.71 | 0.79 | 0.82 | 1.00 | 0.79 | 0.95 | 0.93 |
| IWD | 0.92 | 0.70 | 0.81 | 0.78 | 0.91 | 0.79 | 1.00 | 0.92 | 0.94 |
| IVV | 1.00 | 0.73 | 0.79 | 0.82 | 0.89 | 0.95 | 0.92 | 1.00 | 0.98 |
| Portfolio | 0.98 | 0.80 | 0.85 | 0.88 | 0.91 | 0.93 | 0.94 | 0.98 | 1.00 |