Selected Diversification Portfolio

Asset Allocation

Position	Category/Sector	Target Weight
SPMO Invesco S&P 500 Momentum ETF	Momentum, S&P 500	40%
FNDX Schwab Fundamental U.S. Large Company Index ETF	Large Cap Value Equities	25%
JEPI JPMorgan Equity Premium Income ETF	Dividend, Derivative Income	20%
SHV iShares 0-1 Year Treasury Bond ETF	Government Bonds, Ultrashort Bond	7.50%
IAU iShares Gold Trust	Gold, Precious Metals	5%
XLU State Street Utilities Select Sector SPDR ETF	Utilities Equities	2.50%

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 Selected Diversification 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 Every 3 months.

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Returns By Period

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	1.75%	-0.09%	8.02%	7.15%	22.78%	19.45%	11.73%	13.53%
Portfolio Selected Diversification Portfolio	2.84%	1.93%	15.34%	14.20%	28.77%	25.64%	15.72%	—
Portfolio components:
FNDX Schwab Fundamental U.S. Large Company Index ETF	1.47%	1.97%	14.46%	13.13%	30.72%	20.21%	12.91%	14.32%
IAU iShares Gold Trust	3.05%	-10.80%	-2.51%	-1.75%	25.36%	28.71%	17.22%	12.31%
JEPI JPMorgan Equity Premium Income ETF	0.92%	0.20%	0.86%	0.64%	7.61%	9.04%	7.36%	—
SHV iShares 0-1 Year Treasury Bond ETF	0.02%	0.28%	1.51%	1.73%	3.89%	4.63%	3.34%	2.23%
SPMO Invesco S&P 500 Momentum ETF	4.80%	4.24%	26.56%	24.30%	41.83%	41.24%	23.19%	20.59%
XLU State Street Utilities Select Sector SPDR ETF	0.11%	-2.52%	3.91%	3.83%	11.99%	13.37%	9.18%	9.14%

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

Monthly Returns

Based on dividend-adjusted daily data since May 21, 2020, Selected Diversification Portfolio's average daily return is +0.07%, while the average monthly return is +1.48%. At this rate, an investment would double in approximately 3.9 years.

Historically, 69% of months were positive and 31% were negative. The best month was Apr 2026 with a return of +10.3%, while the worst month was Sep 2022 at -6.9%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 2 months.

On a daily basis, Selected Diversification Portfolio closed higher 57% of trading days. The best single day was Apr 9, 2025 with a return of +8.1%, while the worst single day was Apr 4, 2025 at -5.6%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.39%	1.77%	-4.83%	10.30%	5.71%	-0.26%							15.34%
2025	4.06%	0.32%	-3.92%	-0.06%	6.01%	4.46%	1.45%	1.93%	3.12%	0.79%	0.93%	-0.02%	20.39%
2024	2.64%	6.15%	3.95%	-3.65%	4.67%	3.13%	1.14%	2.83%	1.93%	-0.17%	5.04%	-3.05%	26.97%
2023	1.95%	-3.46%	1.86%	2.09%	-3.43%	4.68%	2.20%	0.16%	-2.34%	-1.22%	7.14%	4.58%	14.47%
2022	-3.77%	-1.14%	3.17%	-5.76%	1.12%	-6.53%	5.91%	-2.59%	-6.90%	9.82%	4.44%	-2.83%	-6.40%
2021	0.25%	0.18%	4.04%	3.91%	1.07%	2.67%	1.69%	2.86%	-3.88%	5.34%	-2.11%	4.11%	21.59%

Benchmark Metrics

Selected Diversification Portfolio has an annualized alpha of 5.83%, beta of 0.75, and R2 of 0.90 versus S&P 500 Index. Calculated based on daily prices since May 21, 2020.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (85.59%) than losses (68.78%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 5.83% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.

Alpha: 5.83%

Beta: 0.75

R²: 0.90

Upside Capture: 85.59%

Downside Capture: 68.78%

See how alpha, beta & R² have trended over time →

Expense Ratio

Selected Diversification Portfolio has an expense ratio of 0.21%, 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.

JEPI

JPMorgan Equity Premium Income ETF

IAU

iShares Gold Trust

FNDX

Schwab Fundamental U.S. Large Company Index ETF

SHV

iShares 0-1 Year Treasury Bond ETF

SPMO

Invesco S&P 500 Momentum ETF

XLU

State Street Utilities Select Sector SPDR ETF

Return for Risk

Risk / Return Rank

Selected Diversification Portfolio ranks 87 for risk / return — in the top 87% 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.

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 Selected Diversification Portfolio and compares them with S&P 500 Index.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.48	1.85	+0.63
Sortino ratioReturn per unit of downside risk	3.44	2.52	+0.92
Omega ratioGain probability vs. loss probability	1.48	1.34	+0.14
Calmar ratioReturn relative to maximum drawdown	3.88	2.52	+1.37
Martin ratioReturn relative to average drawdown	18.55	11.31	+7.24

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
FNDX Schwab Fundamental U.S. Large Company Index ETF	93	2.96	4.11	1.54	5.09	19.73
IAU iShares Gold Trust	30	0.94	1.30	1.19	1.04	3.04
JEPI JPMorgan Equity Premium Income ETF	30	0.95	1.43	1.17	1.14	3.49
SHV iShares 0-1 Year Treasury Bond ETF	100	19.48	149.19	53.64	430.34	2,413.95
SPMO Invesco S&P 500 Momentum ETF	79	2.16	2.89	1.40	3.31	12.52
XLU State Street Utilities Select Sector SPDR ETF	28	0.82	1.19	1.15	1.31	2.84

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.

The current Selected Diversification Portfolio Sharpe ratio is 2.48 as of Jun 12, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.43 to 2.26, 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 Selected Diversification 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

Selected Diversification Portfolio provided a 2.63% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.63%	2.72%	2.55%	3.23%	3.69%	2.01%	2.37%	1.35%	1.23%	0.91%	1.39%	0.74%
Portfolio components:
FNDX Schwab Fundamental U.S. Large Company Index ETF	1.45%	1.63%	1.76%	1.82%	2.07%	1.64%	2.29%	2.23%	2.40%	1.86%	2.01%	2.01%
IAU iShares Gold 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%
JEPI JPMorgan Equity Premium Income ETF	8.21%	8.25%	7.33%	8.40%	11.68%	6.59%	5.79%	0.00%	0.00%	0.00%	0.00%	0.00%
SHV iShares 0-1 Year Treasury Bond ETF	3.83%	4.09%	5.02%	4.73%	1.39%	0.00%	0.74%	2.19%	1.66%	0.72%	0.34%	0.03%
SPMO Invesco S&P 500 Momentum ETF	0.67%	0.73%	0.48%	1.63%	1.66%	0.52%	1.27%	1.39%	1.05%	0.77%	1.94%	0.36%
XLU State Street Utilities Select Sector SPDR ETF	2.70%	2.71%	2.96%	3.39%	2.92%	2.79%	3.14%	2.95%	3.33%	3.33%	3.41%	3.67%

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 Selected Diversification 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 Selected Diversification Portfolio was 16.84%, occurring on Sep 30, 2022. Recovery took 282 trading sessions.

The current Selected Diversification Portfolio drawdown is 1.48%.

Related event	Drawdown	Fall	Recovery	Underwater
Bear market2022	-16.84%Sep 2022	8mo 28d	1y 1mo	1y 10moJan 2022 - Nov 2023
2025 selloff2025	-14.80%Apr 2025	1mo 17d	1mo 11d	2mo 28dFeb 2025 - May 2025
2026 pullback2026	-7.45%Mar 2026	27d	10d	1mo 7dMar 2026 - Apr 2026
2024 pullback2024	-7.03%Aug 2024	19d	14d	1mo 3dJul 2024 - Aug 2024
2020 pullback2020	-6.89%Sep 2020	20d	19d	1mo 9dSep 2020 - Oct 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 6 assets, with an effective number of assets of 3.69, 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	1.21	1.15	1.13	1.15

The portfolio has a diversification ratio of 1.15, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.

Selected Diversification Portfolio correlation to the S&P 500 Index

Selected Diversification Portfolio has a 0.91 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	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.93
Correlation (5Y) Calculated over the trailing 5-year period	0.92
Correlation (All Time) Calculated using the full available price history since May 21, 2020	0.93

Benchmark Correlations

Correlation vs. S&P 500 Index. FNDX has the highest benchmark correlation at 0.87, while SHV has the lowest at 0.02.

0.02

0.14

0.39

0.79

0.85

0.87

Portfolio Correlations

Correlation vs. Selected Diversification Portfolio. SPMO has the highest portfolio correlation at 0.94, while SHV has the lowest at 0.02.

0.02

0.21

0.46

0.81

0.86

0.94

Asset Correlations Table

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

	SHV	IAU	XLU	SPMO	JEPI	FNDX
SHV	1.00	0.13	0.05	0.00	0.01	0.01
IAU	0.13	1.00	0.18	0.13	0.12	0.14
XLU	0.05	0.18	1.00	0.32	0.59	0.45
SPMO	0.00	0.13	0.32	1.00	0.66	0.69
JEPI	0.01	0.12	0.59	0.66	1.00	0.81
FNDX	0.01	0.14	0.45	0.69	0.81	1.00

The correlation results are calculated based on daily price changes starting from May 21, 2020

Diversification Analysis

Find what Selected Diversification Portfolio is missing

See which holdings overlap, where Selected Diversification Portfolio is concentrated, and which low-correlation assets could fill the gaps.

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