Sharpe 1 YR Lookback / 3% risk free

Asset Allocation

Position	Category/Sector	Target Weight
SIL Global X Silver Miners ETF	Silver, Precious Metals	15.55%
VNO Vornado Realty Trust	Real Estate	13.35%
GLD SPDR Gold Shares	Gold, Precious Metals	10.77%
SLV iShares Silver Trust	Silver, Precious Metals	10.55%
IBIT iShares Bitcoin Trust ETF	Cryptocurrency	9.87%
MAGS Roundhill Magnificent Seven ETF	Technology Equities, Large Cap Growth Equities	8.27%
VOO Vanguard S&P 500 ETF	S&P 500	6.60%
QQQ Invesco QQQ ETF	Nasdaq-100	6.53%
DIA State Street SPDR Dow Jones Industrial Average ETF Trust	Large Cap Blend Equities	6.49%
SWRSX Schwab Treasury Inflation Protected Securities Index Fund	Inflation-Protected Bonds	6.06%
BND Vanguard Total Bond Market ETF	Total Bond Market	5.96%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

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Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Sharpe 1 YR Lookback / 3% risk free, 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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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio Sharpe 1 YR Lookback / 3% risk free	1.11%	-5.83%	0.56%	5.91%	26.40%	—	—	—
Portfolio components:
BND Vanguard Total Bond Market ETF	-0.03%	-0.67%	-0.07%	0.23%	4.87%	3.89%	-0.05%	1.53%
DIA State Street SPDR Dow Jones Industrial Average ETF Trust	-0.15%	2.63%	6.40%	7.17%	20.62%	16.36%	9.98%	13.18%
GLD SPDR Gold Shares	0.26%	-8.41%	0.24%	3.07%	30.18%	29.71%	17.55%	12.56%
IBIT iShares Bitcoin Trust ETF	5.13%	-21.03%	-27.71%	-30.34%	-39.44%	—	—	—
MAGS Roundhill Magnificent Seven ETF	0.03%	-4.44%	0.86%	0.73%	28.10%	33.16%	—	—
QQQ Invesco QQQ ETF	1.56%	0.68%	16.71%	15.00%	35.78%	27.15%	16.98%	21.59%
SIL Global X Silver Miners ETF	0.38%	-18.16%	-4.72%	7.62%	66.61%	44.84%	12.27%	9.24%
SLV iShares Silver Trust	0.02%	-15.66%	-4.41%	16.83%	88.38%	40.36%	19.02%	14.08%
SWRSX Schwab Treasury Inflation Protected Securities Index Fund	-0.38%	-0.67%	1.13%	1.18%	5.08%	3.79%	1.01%	2.57%
VNO Vornado Realty Trust	2.81%	12.56%	8.77%	8.57%	-8.07%	35.06%	-3.27%	-3.63%

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

Monthly Returns

Based on dividend-adjusted daily data since Jan 11, 2024, Sharpe 1 YR Lookback / 3% risk free's average daily return is +0.12%, while the average monthly return is +2.38%. At this rate, an investment would double in approximately 2.5 years.

Historically, 73% of months were positive and 27% were negative. The best month was Sep 2025 with a return of +10.1%, while the worst month was Mar 2026 at -10.6%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 1 months.

On a daily basis, Sharpe 1 YR Lookback / 3% risk free closed higher 58% of trading days. The best single day was Apr 9, 2025 with a return of +7.2%, while the worst single day was Jan 30, 2026 at -8.1%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.40%	2.40%	-10.57%	5.99%	4.35%	-4.90%							0.56%
2025	5.17%	-2.63%	0.73%	1.28%	5.45%	5.02%	1.49%	4.76%	10.11%	-0.49%	2.65%	4.06%	44.00%
2024	-2.02%	3.92%	8.09%	-1.60%	6.55%	-1.12%	5.40%	0.97%	6.65%	3.70%	4.54%	-2.92%	36.27%

Benchmark Metrics

Sharpe 1 YR Lookback / 3% risk free has an annualized alpha of 13.85%, beta of 0.90, and R2 of 0.47 versus S&P 500 Index. Calculated based on daily prices since January 11, 2024.

This portfolio captured 120.96% of S&P 500 Index gains but only 50.59% of its losses - a favorable profile for investors.
R2 of 0.47 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.

Alpha: 13.85%

Beta: 0.90

R²: 0.47

Upside Capture: 120.96%

Downside Capture: 50.59%

Expense Ratio

Sharpe 1 YR Lookback / 3% risk free has an expense ratio of 0.27%, 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.

SIL

Global X Silver Miners ETF

SLV

iShares Silver Trust

GLD

SPDR Gold Shares

MAGS

Roundhill Magnificent Seven ETF

IBIT

iShares Bitcoin Trust ETF

QQQ

Invesco QQQ ETF

DIA

State Street SPDR Dow Jones Industrial Average ETF Trust

SWRSX

Schwab Treasury Inflation Protected Securities Index Fund

BND

Vanguard Total Bond Market ETF

VOO

Vanguard S&P 500 ETF

Return for Risk

Risk / Return Rank

Sharpe 1 YR Lookback / 3% risk free ranks 15 for risk / return — in the bottom 15% of Portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

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 Sharpe 1 YR Lookback / 3% risk free and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.18	1.94	-0.76
Sortino ratioReturn per unit of downside risk	1.54	2.63	-1.09
Omega ratioGain probability vs. loss probability	1.22	1.35	-0.13
Calmar ratioReturn relative to maximum drawdown	1.32	2.59	-1.27
Martin ratioReturn relative to average drawdown	3.62	11.84	-8.23
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
BND Vanguard Total Bond Market ETF	40	1.32	1.96	1.23	1.83	5.43
DIA State Street SPDR Dow Jones Industrial Average ETF Trust	53	1.69	2.48	1.30	2.12	8.20
GLD SPDR Gold Shares	33	1.13	1.51	1.23	1.51	3.78
IBIT iShares Bitcoin Trust ETF	3	-0.90	-1.24	0.86	-0.76	-1.36
MAGS Roundhill Magnificent Seven ETF	39	1.40	1.93	1.24	1.52	5.22
QQQ Invesco QQQ ETF	69	2.15	2.77	1.38	3.00	11.43
SIL Global X Silver Miners ETF	40	1.31	1.73	1.24	2.03	5.05
SLV iShares Silver Trust	43	1.50	1.80	1.30	2.09	4.40
SWRSX Schwab Treasury Inflation Protected Securities Index Fund	31	1.39	2.11	1.25	2.36	7.16
VNO Vornado Realty Trust	32	-0.25	-0.13	0.99	-0.20	-0.38

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.

Sharpe 1 YR Lookback / 3% risk free Sharpe ratios as of Jun 9, 2026 (values are recalculated daily):

1-Year: 1.18
All Time: 1.60

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 1.59 to 2.46, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Sharpe 1 YR Lookback / 3% risk free 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

Sharpe 1 YR Lookback / 3% risk free provided a 1.24% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.24%	1.28%	1.34%	1.07%	2.36%	1.53%	1.63%	1.75%	1.41%	0.96%	1.45%	2.55%
Portfolio components:
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%
DIA State Street SPDR Dow Jones Industrial Average ETF Trust	1.38%	1.43%	1.61%	1.81%	1.91%	1.58%	1.87%	1.85%	2.24%	1.97%	2.26%	2.33%
GLD SPDR Gold Shares	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
IBIT iShares Bitcoin Trust ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
MAGS Roundhill Magnificent Seven ETF	1.47%	1.48%	0.81%	0.44%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
QQQ Invesco QQQ ETF	0.39%	0.45%	0.56%	0.62%	0.80%	0.43%	0.55%	0.74%	0.91%	0.84%	1.06%	0.99%
SIL Global X Silver Miners ETF	1.24%	1.18%	2.40%	0.59%	0.48%	1.59%	1.92%	1.53%	1.21%	0.02%	3.34%	0.38%
SLV iShares Silver 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%
SWRSX Schwab Treasury Inflation Protected Securities Index Fund	3.80%	4.20%	3.68%	3.11%	7.95%	4.45%	1.33%	2.20%	2.87%	1.75%	1.81%	1.06%
VNO Vornado Realty Trust	2.04%	2.22%	1.76%	2.39%	10.19%	5.06%	6.37%	6.90%	4.06%	3.00%	2.41%	14.41%

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 Sharpe 1 YR Lookback / 3% risk free. 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 Sharpe 1 YR Lookback / 3% risk free was 20.11%, occurring on Mar 26, 2026. The portfolio has not yet recovered.

The current Sharpe 1 YR Lookback / 3% risk free drawdown is 12.36%.

Related event	Drawdown	Fall	Recovery	Underwater
2026 bear market2026	-20.11%Mar 2026	1mo 26d	—	4mo 11dJan 2026 - now
2025 selloff2025	-13.16%Apr 2025	3mo 27d	1mo	4mo 27dDec 2024 - May 2025
2024 correction2024	-10.06%Aug 2024	19d	18d	1mo 7dJul 2024 - Aug 2024
2025 pullback2025	-8.91%Nov 2025	1mo 4d	21d	1mo 25dOct 2025 - Dec 2025
2024 pullback2024	-6.15%May 2024	21d	16d	1mo 7dApr 2024 - May 2024

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 11 assets, with an effective number of assets of 9.86, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	All Time
Diversification Ratio	1.42	1.49

The portfolio has a diversification ratio of 1.49, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Sharpe 1 YR Lookback / 3% risk free correlation to the S&P 500 Index

Sharpe 1 YR Lookback / 3% risk free has a 0.62 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	0.62
Correlation (All Time) Calculated using the full available price history since Jan 11, 2024	0.65

Benchmark Correlations

Correlation vs. S&P 500 Index. VOO has the highest benchmark correlation at 1.00, while GLD has the lowest at 0.15.

0.15

0.17

0.22

0.25

0.33

0.40

0.49

0.81

0.82

0.94

1.00

Portfolio Correlations

Correlation vs. Sharpe 1 YR Lookback / 3% risk free. SIL has the highest portfolio correlation at 0.79, while SWRSX has the lowest at 0.22.

0.22

0.25

0.53

0.53

0.54

0.56

0.62

0.62

0.65

0.73

0.79

Asset Correlations Table

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

	SWRSX	BND	IBIT	GLD	VNO	SLV	SIL	MAGS	DIA	QQQ	VOO
SWRSX	1.00	0.86	0.02	0.21	0.23	0.12	0.18	0.06	0.18	0.11	0.18
BND	0.86	1.00	0.05	0.22	0.27	0.13	0.19	0.09	0.25	0.15	0.22
IBIT	0.02	0.05	1.00	0.14	0.23	0.20	0.21	0.38	0.31	0.41	0.40
GLD	0.21	0.22	0.14	1.00	0.09	0.75	0.72	0.08	0.14	0.13	0.16
VNO	0.23	0.27	0.23	0.09	1.00	0.14	0.23	0.34	0.50	0.40	0.48
SLV	0.12	0.13	0.20	0.75	0.14	1.00	0.80	0.20	0.20	0.25	0.26
SIL	0.18	0.19	0.21	0.72	0.23	0.80	1.00	0.23	0.27	0.31	0.33
MAGS	0.06	0.09	0.38	0.08	0.34	0.20	0.23	1.00	0.50	0.89	0.82
DIA	0.18	0.25	0.31	0.14	0.50	0.20	0.27	0.50	1.00	0.64	0.82
QQQ	0.11	0.15	0.41	0.13	0.40	0.25	0.31	0.89	0.64	1.00	0.93
VOO	0.18	0.22	0.40	0.16	0.48	0.26	0.33	0.82	0.82	0.93	1.00

The correlation results are calculated based on daily price changes starting from Jan 11, 2024

Diversification Analysis

Find what Sharpe 1 YR Lookback / 3% risk free is missing

See which holdings overlap, where Sharpe 1 YR Lookback / 3% risk free is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification