Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 15 June 2025, 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 Jun 26, 2018, corresponding to the inception date of GLDM
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -4.18% | -3.84% | -1.98% | 21.98% | 16.86% | 10.37% | 12.29% |
Portfolio 15 June 2025 | -0.17% | -1.51% | 2.42% | 5.53% | 17.37% | 13.82% | 9.03% | — |
| Portfolio components: | ||||||||
IDMO Invesco S&P International Developed Momentum ETF | -0.89% | -3.62% | 1.06% | 5.63% | 32.53% | 22.78% | 14.31% | 11.76% |
GLDM SPDR Gold MiniShares Trust | -1.93% | -8.99% | 8.33% | 20.23% | 50.28% | 32.89% | 21.86% | — |
IVLU iShares MSCI Intl Value Factor ETF | -0.55% | -2.17% | 5.44% | 13.55% | 41.46% | 22.22% | 14.03% | 10.70% |
LVHI Legg Mason International Low Volatility High Dividend ETF | 0.29% | 1.19% | 11.30% | 19.25% | 35.94% | 21.51% | 16.36% | — |
EDIV SPDR S&P Emerging Markets Dividend ETF | -0.35% | -3.00% | 1.51% | 3.25% | 15.82% | 19.93% | 10.57% | 8.51% |
SPMO Invesco S&P 500 Momentum ETF | 0.21% | -4.32% | -3.57% | -3.95% | 30.58% | 28.37% | 17.71% | 17.43% |
SKOR FlexShares Credit-Scored US Corporate Bond Index Fund | 0.22% | -0.76% | 0.02% | 1.06% | 5.20% | 5.54% | 1.95% | 2.90% |
CMBS iShares CMBS ETF | -0.04% | -1.48% | 0.03% | 0.87% | 4.50% | 5.13% | 1.04% | 2.17% |
STIP iShares 0-5 Year TIPS Bond ETF | 0.18% | 0.37% | 1.11% | 1.45% | 3.53% | 4.66% | 3.51% | 3.11% |
JPIB JPMorgan International Bond Opportunities ETF | -0.19% | -1.94% | -0.92% | -0.03% | 4.72% | 5.13% | 2.61% | — |
Monthly Returns
Based on dividend-adjusted daily data since Jun 27, 2018, 15 June 2025's average daily return is +0.03%, while the average monthly return is +0.65%. At this rate, your investment would double in approximately 8.9 years.
Historically, 68% of months were positive and 32% were negative. The best month was Nov 2022 with a return of +4.6%, while the worst month was Mar 2020 at -7.1%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 3 months.
On a daily basis, 15 June 2025 closed higher 57% of trading days. The best single day was Apr 9, 2025 with a return of +2.8%, while the worst single day was Mar 12, 2020 at -4.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.58% | 2.82% | -3.40% | 0.52% | 2.42% | ||||||||
| 2025 | 2.09% | 1.46% | 0.76% | 1.59% | 2.31% | 1.56% | 0.50% | 2.08% | 1.82% | 0.70% | 1.37% | 1.26% | 18.95% |
| 2024 | 0.74% | 1.84% | 2.58% | -1.01% | 2.27% | 0.51% | 1.70% | 1.60% | 1.23% | -0.92% | 0.92% | -0.77% | 11.17% |
| 2023 | 2.97% | -1.22% | 1.47% | 1.47% | -1.31% | 1.84% | 2.05% | -0.46% | -0.48% | -0.47% | 4.00% | 2.57% | 12.98% |
| 2022 | -0.53% | -1.04% | 0.17% | -2.04% | 0.63% | -3.43% | 1.70% | -1.77% | -3.64% | 2.25% | 4.62% | -0.25% | -3.59% |
| 2021 | -0.25% | 0.18% | 1.44% | 1.12% | 1.28% | -0.07% | 0.65% | 1.18% | -1.21% | 1.18% | -1.30% | 1.98% | 6.31% |
Benchmark Metrics
15 June 2025 has an annualized alpha of 4.24%, beta of 0.28, and R² of 0.71 versus S&P 500 Index. Calculated based on daily prices since June 27, 2018.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (35.18%) than losses (28.44%) — typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 4.24% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.28 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
- 4.24%
- Beta
- 0.28
- R²
- 0.71
- Upside Capture
- 35.18%
- Downside Capture
- 28.44%
Expense Ratio
15 June 2025 has an expense ratio of 0.25%, 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.
Top 10 holdings
Return for Risk
Risk / Return Rank
15 June 2025 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
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.40 | 0.88 | +1.52 |
Sortino ratioReturn per unit of downside risk | 3.29 | 1.37 | +1.93 |
Omega ratioGain probability vs. loss probability | 1.54 | 1.21 | +0.33 |
Calmar ratioReturn relative to maximum drawdown | 3.34 | 1.39 | +1.96 |
Martin ratioReturn relative to average drawdown | 13.67 | 6.43 | +7.24 |
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 | |
|---|---|---|---|---|---|---|
IDMO Invesco S&P International Developed Momentum ETF | 77 | 1.54 | 2.14 | 1.32 | 2.48 | 9.91 |
GLDM SPDR Gold MiniShares Trust | 79 | 1.80 | 2.23 | 1.33 | 2.59 | 9.40 |
IVLU iShares MSCI Intl Value Factor ETF | 89 | 2.11 | 2.80 | 1.42 | 3.19 | 12.14 |
LVHI Legg Mason International Low Volatility High Dividend ETF | 93 | 2.52 | 3.22 | 1.56 | 3.14 | 15.92 |
EDIV SPDR S&P Emerging Markets Dividend ETF | 52 | 1.11 | 1.58 | 1.23 | 1.47 | 5.23 |
SPMO Invesco S&P 500 Momentum ETF | 56 | 1.01 | 1.55 | 1.23 | 1.91 | 6.68 |
SKOR FlexShares Credit-Scored US Corporate Bond Index Fund | 79 | 1.69 | 2.37 | 1.33 | 2.50 | 9.58 |
CMBS iShares CMBS ETF | 63 | 1.29 | 1.93 | 1.23 | 1.90 | 7.03 |
STIP iShares 0-5 Year TIPS Bond ETF | 94 | 2.26 | 3.46 | 1.49 | 4.28 | 14.52 |
JPIB JPMorgan International Bond Opportunities ETF | 60 | 1.39 | 1.87 | 1.28 | 1.29 | 5.70 |
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Dividends
Dividend yield
15 June 2025 provided a 3.86% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.86% | 3.95% | 3.85% | 4.33% | 3.26% | 2.04% | 2.18% | 3.16% | 3.40% | 1.78% | 1.53% | 1.05% |
| Portfolio components: | ||||||||||||
IDMO Invesco S&P International Developed Momentum ETF | 3.77% | 3.71% | 2.24% | 2.89% | 3.66% | 1.81% | 1.63% | 2.78% | 3.27% | 3.08% | 2.18% | 2.52% |
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% |
IVLU iShares MSCI Intl Value Factor ETF | 3.52% | 3.71% | 4.46% | 4.69% | 3.59% | 3.47% | 2.05% | 3.53% | 2.82% | 2.87% | 2.53% | 0.93% |
LVHI Legg Mason International Low Volatility High Dividend ETF | 4.52% | 4.92% | 3.98% | 8.12% | 7.74% | 4.13% | 3.97% | 6.67% | 10.67% | 3.38% | 2.02% | 0.00% |
EDIV SPDR S&P Emerging Markets Dividend ETF | 4.72% | 4.69% | 3.94% | 4.26% | 4.94% | 3.84% | 3.52% | 3.83% | 3.41% | 2.99% | 4.94% | 5.33% |
SPMO Invesco S&P 500 Momentum ETF | 0.88% | 0.73% | 0.48% | 1.63% | 1.66% | 0.52% | 1.27% | 1.39% | 1.05% | 0.77% | 1.94% | 0.36% |
SKOR FlexShares Credit-Scored US Corporate Bond Index Fund | 4.71% | 4.70% | 4.90% | 3.90% | 2.57% | 2.55% | 3.38% | 3.53% | 2.85% | 2.46% | 2.74% | 2.25% |
CMBS iShares CMBS ETF | 3.53% | 3.45% | 3.31% | 2.97% | 2.65% | 2.46% | 2.83% | 2.74% | 2.70% | 2.50% | 2.29% | 2.31% |
STIP iShares 0-5 Year TIPS Bond ETF | 3.42% | 4.11% | 2.62% | 2.84% | 6.04% | 4.15% | 1.40% | 2.06% | 2.44% | 1.59% | 0.89% | 0.00% |
JPIB JPMorgan International Bond Opportunities ETF | 4.95% | 4.85% | 4.57% | 4.35% | 3.10% | 2.59% | 3.14% | 4.66% | 5.83% | 1.81% | 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 15 June 2025. 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 15 June 2025 was 16.15%, occurring on Mar 20, 2020. Recovery took 103 trading sessions.
The current 15 June 2025 drawdown is 2.89%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -16.15% | Feb 20, 2020 | 22 | Mar 20, 2020 | 103 | Aug 17, 2020 | 125 |
| -10.38% | Jan 13, 2022 | 177 | Sep 27, 2022 | 136 | Apr 13, 2023 | 313 |
| -5.15% | Mar 26, 2025 | 10 | Apr 8, 2025 | 11 | Apr 24, 2025 | 21 |
| -4.93% | Mar 2, 2026 | 15 | Mar 20, 2026 | — | — | — |
| -4.77% | Sep 28, 2018 | 60 | Dec 24, 2018 | 25 | Jan 31, 2019 | 85 |
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 12 assets, with an effective number of assets of 9.21, 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
| Benchmark | CMBS | PULS | GLDM | NEAR | STIP | JPIB | SKOR | LVHI | EDIV | SPMO | IDMO | IVLU | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | -0.04 | 0.09 | 0.07 | 0.08 | 0.12 | 0.35 | 0.22 | 0.61 | 0.58 | 0.86 | 0.70 | 0.70 | 0.77 |
| CMBS | -0.04 | 1.00 | 0.19 | 0.23 | 0.35 | 0.39 | 0.26 | 0.52 | -0.06 | -0.01 | -0.03 | 0.03 | -0.04 | 0.10 |
| PULS | 0.09 | 0.19 | 1.00 | 0.14 | 0.39 | 0.26 | 0.20 | 0.33 | 0.11 | 0.11 | 0.07 | 0.12 | 0.12 | 0.20 |
| GLDM | 0.07 | 0.23 | 0.14 | 1.00 | 0.22 | 0.40 | 0.18 | 0.34 | 0.06 | 0.22 | 0.08 | 0.22 | 0.19 | 0.37 |
| NEAR | 0.08 | 0.35 | 0.39 | 0.22 | 1.00 | 0.42 | 0.35 | 0.51 | 0.06 | 0.11 | 0.04 | 0.12 | 0.11 | 0.22 |
| STIP | 0.12 | 0.39 | 0.26 | 0.40 | 0.42 | 1.00 | 0.31 | 0.56 | 0.07 | 0.12 | 0.10 | 0.17 | 0.14 | 0.27 |
| JPIB | 0.35 | 0.26 | 0.20 | 0.18 | 0.35 | 0.31 | 1.00 | 0.50 | 0.29 | 0.30 | 0.28 | 0.33 | 0.33 | 0.44 |
| SKOR | 0.22 | 0.52 | 0.33 | 0.34 | 0.51 | 0.56 | 0.50 | 1.00 | 0.14 | 0.17 | 0.19 | 0.24 | 0.19 | 0.36 |
| LVHI | 0.61 | -0.06 | 0.11 | 0.06 | 0.06 | 0.07 | 0.29 | 0.14 | 1.00 | 0.53 | 0.50 | 0.62 | 0.79 | 0.76 |
| EDIV | 0.58 | -0.01 | 0.11 | 0.22 | 0.11 | 0.12 | 0.30 | 0.17 | 0.53 | 1.00 | 0.50 | 0.58 | 0.68 | 0.75 |
| SPMO | 0.86 | -0.03 | 0.07 | 0.08 | 0.04 | 0.10 | 0.28 | 0.19 | 0.50 | 0.50 | 1.00 | 0.71 | 0.58 | 0.74 |
| IDMO | 0.70 | 0.03 | 0.12 | 0.22 | 0.12 | 0.17 | 0.33 | 0.24 | 0.62 | 0.58 | 0.71 | 1.00 | 0.77 | 0.87 |
| IVLU | 0.70 | -0.04 | 0.12 | 0.19 | 0.11 | 0.14 | 0.33 | 0.19 | 0.79 | 0.68 | 0.58 | 0.77 | 1.00 | 0.88 |
| Portfolio | 0.77 | 0.10 | 0.20 | 0.37 | 0.22 | 0.27 | 0.44 | 0.36 | 0.76 | 0.75 | 0.74 | 0.87 | 0.88 | 1.00 |