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OK
Performance
Return for Risk
Dividends
Drawdowns
Volatility
Diversification

OK

Currency in USD · Last updated Apr 3, 2026

Asset Allocation

FCUV.TO 12.50%XCV.TO 12.50%ZSP.TO 12.50%XDIV.TO 12.50%VDY.TO 12.50%XEG.TO 12.50%VIDY.TO 12.50%QQQ 12.50%EquityEquity
PositionCategory/SectorTarget Weight
FCUV.TO
Fidelity U.S. Value ETF		Large Cap Value Equities
12.50%
QQQ
Invesco QQQ ETF		Large Cap Growth Equities
12.50%
VDY.TO
Vanguard FTSE Canadian High Dividend Yield Index ETF		Dividend
12.50%
VIDY.TO
Vanguard FTSE Developed ex North America High Dividend Yield Index ETF		Foreign Large Cap Equities, Dividend
12.50%
XCV.TO
iShares Canadian Value Index ETF		Canada Equities
12.50%
XDIV.TO
iShares Core MSCI Canadian Quality Dividend Index ETF		Dividend, Large Cap Value Equities
12.50%
XEG.TO
iShares S&P/TSX Capped Energy Index ETF		Energy Equities
12.50%
ZSP.TO
BMO S&P 500 Index ETF		S&P 500
12.50%

S&P 500 Index

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in OK, 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 10, 2020, corresponding to the inception date of FCUV.TO

Returns By Period

1D1MYTD6M1Y3Y*5Y*10Y*
Benchmark
S&P 500 Index
0.11%-3.43%-3.84%-1.98%16.08%16.86%10.37%12.29%
Portfolio
OK
0.31%0.74%7.71%13.76%33.55%21.44%16.75%—
Portfolio components:
FCUV.TO
Fidelity U.S. Value ETF		-0.10%-1.93%0.73%5.36%18.87%20.72%17.14%—
XCV.TO
iShares Canadian Value Index ETF		0.34%-0.45%7.29%14.13%41.06%21.16%15.36%12.24%
ZSP.TO
BMO S&P 500 Index ETF		0.03%-3.22%-3.65%-1.78%16.46%18.04%11.57%13.79%
XDIV.TO
iShares Core MSCI Canadian Quality Dividend Index ETF		0.00%0.69%6.64%14.18%29.34%18.53%13.37%—
VDY.TO
Vanguard FTSE Canadian High Dividend Yield Index ETF		0.00%-1.24%7.53%16.45%41.11%19.93%14.33%12.88%
XEG.TO
iShares S&P/TSX Capped Energy Index ETF		1.72%10.15%37.56%49.13%58.51%22.56%29.65%12.29%
VIDY.TO
Vanguard FTSE Developed ex North America High Dividend Yield Index ETF		-0.66%-1.11%6.41%13.68%32.45%20.18%13.06%—
QQQ
Invesco QQQ ETF		0.11%-2.64%-4.65%-3.18%23.45%22.97%13.18%19.05%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Jun 11, 2020, OK's average daily return is +0.08%, while the average monthly return is +1.63%. At this rate, your investment would double in approximately 3.6 years.

Historically, 68% of months were positive and 32% were negative. The best month was Nov 2020 with a return of +17.2%, while the worst month was Jun 2022 at -10.9%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.

On a daily basis, OK closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +7.5%, while the worst single day was Apr 4, 2025 at -6.2%.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20263.56%4.32%-0.75%0.45%7.71%
20252.25%0.19%-0.51%0.19%5.50%4.24%0.68%3.98%3.20%1.25%3.72%0.75%28.38%
2024-0.12%3.29%4.94%-2.59%4.47%-0.73%2.71%2.67%1.19%-1.32%4.69%-4.66%14.94%
20238.01%-3.03%0.47%2.85%-3.15%6.23%4.43%-2.16%-2.35%-3.65%7.81%4.56%20.67%
20222.36%0.87%4.58%-5.96%4.01%-10.93%5.53%-3.52%-9.97%9.54%5.76%-5.08%-5.18%
20210.48%6.06%6.38%4.32%4.66%0.68%-0.83%1.32%-0.19%7.82%-3.55%5.32%36.89%

Benchmark Metrics

OK has an annualized alpha of 7.14%, beta of 0.79, and R² of 0.70 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 (98.12%) than losses (76.77%) — typical of diversified or defensive assets.
  • This portfolio generated an annualized alpha of 7.14% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
Alpha
7.14%
Beta
0.79
R²
0.70
Upside Capture
98.12%
Downside Capture
76.77%

Expense Ratio

OK has an expense ratio of 0.31%, 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.

XEG.TO
iShares S&P/TSX Capped Energy Index ETF
XCV.TO
iShares Canadian Value Index ETF
FCUV.TO
Fidelity U.S. Value ETF
VIDY.TO
Vanguard FTSE Developed ex North America High Dividend Yield Index ETF
VDY.TO
Vanguard FTSE Canadian High Dividend Yield Index ETF
QQQ
Invesco QQQ ETF
XDIV.TO
iShares Core MSCI Canadian Quality Dividend Index ETF
ZSP.TO
BMO S&P 500 Index ETF

Return for Risk

Risk / Return Rank

OK ranks 96 for risk / return — in the top 96% 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.

OK Risk / Return Rank: 9696
Overall Rank
OK Sharpe Ratio Rank: 9393
Sharpe Ratio Rank
OK Sortino Ratio Rank: 9393
Sortino Ratio Rank
OK Omega Ratio Rank: 9797
Omega Ratio Rank
OK Calmar Ratio Rank: 100100
Calmar Ratio Rank
OK Martin Ratio Rank: 100100
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

PortfolioBenchmarkDifference

Sharpe ratio

Return per unit of total volatility

2.25

0.88

+1.37

Sortino ratio

Return per unit of downside risk

2.99

1.37

+1.63

Omega ratio

Gain probability vs. loss probability

1.52

1.21

+0.32

Calmar ratio

Return relative to maximum drawdown

17.26

1.39

+15.87

Martin ratio

Return relative to average drawdown

61.00

6.43

+54.56

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 RankSharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
FCUV.TO
Fidelity U.S. Value ETF		540.991.501.211.717.39
XCV.TO
iShares Canadian Value Index ETF		963.063.911.654.3524.49
ZSP.TO
BMO S&P 500 Index ETF		490.901.381.211.426.63
XDIV.TO
iShares Core MSCI Canadian Quality Dividend Index ETF		942.603.311.563.0218.25
VDY.TO
Vanguard FTSE Canadian High Dividend Yield Index ETF		973.254.191.684.2526.79
XEG.TO
iShares S&P/TSX Capped Energy Index ETF		882.172.691.392.9111.77
VIDY.TO
Vanguard FTSE Developed ex North America High Dividend Yield Index ETF		861.902.581.392.8411.43
QQQ
Invesco QQQ ETF		591.041.621.231.937.00

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.

OK Sharpe ratios as of Apr 3, 2026 (values are recalculated daily):

  • 1-Year: 2.25
  • 5-Year: 1.06
  • 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 0.99 to 1.66, 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 OK 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

OK provided a 2.11% dividend yield over the last twelve months.

TTM20252024202320222021202020192018201720162015
Portfolio2.11%2.37%2.75%3.03%3.02%2.15%2.75%2.45%2.27%1.49%1.30%1.67%
Portfolio components:
FCUV.TO
Fidelity U.S. Value ETF		1.03%1.13%1.03%1.42%2.71%1.40%1.14%0.00%0.00%0.00%0.00%0.00%
XCV.TO
iShares Canadian Value Index ETF		2.51%2.71%3.72%3.88%3.18%2.11%3.35%3.06%3.13%2.40%2.50%3.14%
ZSP.TO
BMO S&P 500 Index ETF		0.86%0.82%0.94%1.33%1.44%1.15%1.44%1.47%1.63%1.63%2.20%1.53%
XDIV.TO
iShares Core MSCI Canadian Quality Dividend Index ETF		3.56%3.81%4.29%4.20%3.95%3.58%4.58%4.02%4.85%1.82%0.00%0.00%
VDY.TO
Vanguard FTSE Canadian High Dividend Yield Index ETF		3.19%3.59%4.40%4.64%4.42%3.58%4.59%4.25%4.43%3.82%3.25%4.11%
XEG.TO
iShares S&P/TSX Capped Energy Index ETF		2.75%3.63%3.46%4.26%3.31%1.64%2.96%2.70%2.25%1.41%1.40%3.58%
VIDY.TO
Vanguard FTSE Developed ex North America High Dividend Yield Index ETF		2.53%2.80%3.59%3.89%4.37%3.28%3.34%3.36%0.93%0.00%0.00%0.00%
QQQ
Invesco QQQ ETF		0.48%0.45%0.56%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%

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 OK. 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 OK was 21.16%, occurring on Sep 30, 2022. Recovery took 208 trading sessions.

The current OK drawdown is 0.40%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.16%Mar 28, 2022133Sep 30, 2022208Jul 25, 2023341
-13.62%Feb 21, 202533Apr 8, 202523May 12, 202556
-9.65%Sep 3, 202039Oct 28, 20208Nov 9, 202047
-9.17%Aug 1, 202363Oct 27, 202325Dec 1, 202388
-7.47%Jun 11, 202012Jun 26, 202028Aug 5, 202040

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 8 assets, with an effective number of assets of 8.00, 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.
BenchmarkXEG.TOQQQVIDY.TOFCUV.TOZSP.TOXDIV.TOXCV.TOVDY.TOPortfolio
Benchmark1.000.360.920.630.750.960.610.590.620.79
XEG.TO0.361.000.220.480.470.370.630.700.720.75
QQQ0.920.221.000.490.610.880.430.420.440.64
VIDY.TO0.630.480.491.000.680.640.730.740.740.81
FCUV.TO0.750.470.610.681.000.770.670.690.690.82
ZSP.TO0.960.370.880.640.771.000.620.600.630.80
XDIV.TO0.610.630.430.730.670.621.000.880.940.87
XCV.TO0.590.700.420.740.690.600.881.000.930.89
VDY.TO0.620.720.440.740.690.630.940.931.000.92
Portfolio0.790.750.640.810.820.800.870.890.921.00
The correlation results are calculated based on daily price changes starting from Jun 11, 2020