Tot Ret I 40

Asset Allocation

Position	Category/Sector	Target Weight
AGG iShares Core U.S. Aggregate Bond ETF	Total Bond Market	27.10%
VCSH Vanguard Short-Term Corporate Bond ETF	Corporate Bonds	14.10%
ICSH iShares Ultra Short Duration Bond Active ETF	Ultrashort Bond	11%
QUAL iShares MSCI USA Quality Factor ETF	Large Cap Blend Equities	7.20%
ANGL VanEck Fallen Angel High Yield Bond ETF	High Yield Bonds	6%
XLP State Street Consumer Staples Select Sector SPDR ETF	Consumer Staples Equities	4.90%
XLV State Street Health Care Select Sector SPDR ETF	Health & Biotech Equities	4.60%
XLU State Street Utilities Select Sector SPDR ETF	Utilities Equities	4.50%
SPYV SPDR Portfolio S&P 500 Value ETF	S&P 500, Large Cap Value Equities	3.30%
XLI Industrial Select Sector SPDR Fund	Industrials Equities	2.90%
MFDX PIMCO RAFI Dynamic Multi-Factor International Equity ETF	Foreign Large Cap Equities, Multi-factor	2.70%
XLE State Street Energy Select Sector SPDR ETF	Energy Equities	2.70%
XLK State Street Technology Select Sector SPDR ETF	Technology Equities	2.50%
GDX VanEck Gold Miners ETF	Gold, Precious Metals	2%
ARKK ARK Innovation ETF	Technology Equities	2%
TLT iShares 20+ Year Treasury Bond ETF	Government Bonds, Long-Term Bond	1.50%
USD=X USD Cash		0.50%
XLF State Street Financial Select Sector SPDR ETF	Financials Equities	0.50%

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 Tot Ret I 40, 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	6M	YTD	1Y	3Y*	5Y*	10Y*	ALL TIME*
Benchmark S&P 500 Index	-0.19%	-0.76%	7.25%	8.73%	18.21%	17.95%	11.30%	13.09%	8.08%
Portfolio Tot Ret I 40	0.00%	-0.08%	2.86%	4.57%	10.74%	9.40%	5.48%	—	6.81%
Portfolio components:
AGG iShares Core U.S. Aggregate Bond ETF	-0.25%	-0.63%	-0.14%	0.03%	3.86%	3.82%	-0.20%	1.42%	3.06%
ANGL VanEck Fallen Angel High Yield Bond ETF	-0.07%	0.07%	1.41%	2.15%	6.47%	8.07%	3.04%	5.77%	6.80%
ARKK ARK Innovation ETF	-0.33%	-6.53%	-8.24%	-2.56%	-3.45%	16.39%	-9.13%	14.94%	12.69%
GDX VanEck Gold Miners ETF	-0.81%	-14.26%	-27.25%	-17.52%	39.36%	32.51%	17.66%	10.49%	4.33%
ICSH iShares Ultra Short Duration Bond Active ETF	0.00%	0.36%	1.77%	1.92%	4.16%	5.09%	3.76%	2.80%	2.32%
MFDX PIMCO RAFI Dynamic Multi-Factor International Equity ETF	-0.66%	-2.18%	4.32%	8.08%	19.69%	16.29%	10.33%	—	8.57%
QUAL iShares MSCI USA Quality Factor ETF	-0.43%	0.49%	7.12%	9.65%	19.00%	17.53%	11.21%	13.93%	13.60%
SPYV SPDR Portfolio S&P 500 Value ETF	-0.65%	1.51%	6.61%	9.18%	18.51%	13.76%	11.49%	11.63%	7.84%
TLT iShares 20+ Year Treasury Bond ETF	-0.75%	-2.94%	-2.29%	-1.57%	2.90%	-2.24%	-7.64%	-2.20%	3.56%
USD=X USD Cash	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

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

Monthly Returns

Based on dividend-adjusted daily data since Sep 6, 2017, Tot Ret I 40's average daily return is +0.02%, while the average monthly return is +0.57%. At this rate, an investment would double in approximately 10.2 years.

Historically, 68% of months were positive and 32% were negative. The best month was Apr 2020 with a return of +6.7%, while the worst month was Mar 2020 at -6.1%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Tot Ret I 40 closed higher 39% of trading days. The best single day was Mar 24, 2020 with a return of +4.0%, while the worst single day was Mar 12, 2020 at -5.4%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	1.70%	2.84%	-3.20%	2.29%	1.03%	0.48%	-0.53%						4.57%
2025	1.97%	1.12%	-0.68%	-0.13%	1.38%	2.36%	0.39%	1.82%	2.10%	0.60%	1.23%	-0.18%	12.61%
2024	-0.12%	0.99%	2.30%	-2.17%	2.37%	0.41%	2.44%	2.00%	1.40%	-1.75%	2.53%	-2.82%	7.63%
2023	3.51%	-2.54%	2.78%	0.83%	-1.45%	2.11%	1.65%	-1.36%	-2.80%	-1.33%	5.40%	3.38%	10.23%
2022	-2.46%	-0.89%	0.62%	-4.25%	0.77%	-4.06%	3.88%	-2.68%	-5.22%	3.08%	4.48%	-1.85%	-8.80%
2021	-0.70%	0.15%	1.66%	1.79%	0.84%	0.78%	1.06%	0.62%	-2.24%	2.43%	-1.03%	2.20%	7.71%

Benchmark Metrics

Tot Ret I 40 has an annualized alpha of 1.69%, beta of 0.36, and R2 of 0.81 versus S&P 500 Index. Calculated based on daily prices since September 06, 2017.

This portfolio participated in 46.02% of S&P 500 Index downside but only 39.94% of its upside - more exposed to losses than it benefited from rallies.
Beta of 0.36 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: 1.69%

Beta: 0.36

R²: 0.81

Upside Capture: 39.94%

Downside Capture: 46.02%

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

Expense Ratio

Tot Ret I 40 has an expense ratio of 0.11%, 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

ARKK

ARK Innovation ETF

GDX

VanEck Gold Miners ETF

MFDX

PIMCO RAFI Dynamic Multi-Factor International Equity ETF

ANGL

VanEck Fallen Angel High Yield Bond ETF

TLT

iShares 20+ Year Treasury Bond ETF

QUAL

iShares MSCI USA Quality Factor ETF

ICSH

iShares Ultra Short Duration Bond Active ETF

XLE

State Street Energy Select Sector SPDR ETF

XLF

State Street Financial Select Sector SPDR ETF

XLI

Industrial Select Sector SPDR Fund

Return for Risk

Risk / Return Rank

Tot Ret I 40 ranks 69 for risk / return — better than 69% of Portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.

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 Tot Ret I 40 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	1.99	1.45	+0.54
Sortino ratioReturn per unit of downside risk	2.88	2.03	+0.85
Omega ratioGain probability vs. loss probability	1.37	1.26	+0.11
Calmar ratioReturn relative to maximum drawdown	2.45	2.01	+0.44
Martin ratioReturn relative to average drawdown	9.45	8.68	+0.77

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
AGG iShares Core U.S. Aggregate Bond ETF	36	1.02	1.51	1.18	1.40	3.83
ANGL VanEck Fallen Angel High Yield Bond ETF	57	1.51	2.17	1.29	1.60	6.73
ARKK ARK Innovation ETF	10	-0.10	0.12	1.01	-0.11	-0.23
GDX VanEck Gold Miners ETF	29	0.82	1.27	1.17	1.02	2.36
ICSH iShares Ultra Short Duration Bond Active ETF	99	10.04	22.35	5.55	42.22	238.25
MFDX PIMCO RAFI Dynamic Multi-Factor International Equity ETF	53	1.38	1.96	1.25	1.85	7.09
QUAL iShares MSCI USA Quality Factor ETF	64	1.57	2.25	1.28	2.11	9.48
SPYV SPDR Portfolio S&P 500 Value ETF	79	1.88	2.65	1.34	2.99	11.36
TLT iShares 20+ Year Treasury Bond ETF	16	0.31	0.52	1.06	0.38	0.87
USD=X USD Cash	—	—	—	—	—	—

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. Learn how to interpret the Sharpe ratio.

The current Tot Ret I 40 Sharpe ratio is 1.99 as of Jul 21, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.20 to 1.99, 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 Tot Ret I 40 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

Tot Ret I 40 provided a 3.31% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.31%	3.30%	3.35%	2.98%	2.24%	1.79%	2.16%	2.69%	2.70%	2.25%	2.25%	2.23%
Portfolio components:
AGG iShares Core U.S. Aggregate Bond ETF	4.02%	3.89%	3.74%	3.13%	2.39%	1.77%	2.14%	2.70%	2.72%	2.32%	2.39%	2.45%
ANGL VanEck Fallen Angel High Yield Bond ETF	6.46%	6.20%	6.29%	5.27%	4.72%	3.90%	4.67%	5.19%	5.99%	5.25%	5.34%	5.81%
ARKK ARK Innovation ETF	0.00%	0.00%	0.00%	0.70%	0.00%	0.55%	1.64%	0.38%	3.14%	1.32%	0.00%	2.27%
GDX VanEck Gold Miners ETF	0.89%	0.74%	1.19%	1.61%	1.66%	1.67%	0.53%	0.67%	0.50%	0.76%	0.26%	0.85%
ICSH iShares Ultra Short Duration Bond Active ETF	4.28%	4.55%	5.24%	4.78%	1.66%	0.42%	1.21%	2.61%	2.20%	1.36%	0.88%	0.54%
MFDX PIMCO RAFI Dynamic Multi-Factor International Equity ETF	2.96%	2.97%	3.16%	3.12%	2.85%	2.99%	1.58%	2.88%	2.13%	0.71%	0.00%	0.00%
QUAL iShares MSCI USA Quality Factor ETF	0.87%	0.94%	1.02%	1.23%	1.59%	1.20%	1.39%	1.60%	2.00%	1.76%	1.96%	1.63%
SPYV SPDR Portfolio S&P 500 Value ETF	1.70%	1.77%	2.29%	1.75%	2.22%	2.10%	2.38%	2.25%	2.97%	2.77%	2.39%	2.53%
TLT iShares 20+ Year Treasury Bond ETF	4.65%	4.43%	4.30%	3.38%	2.67%	1.50%	1.50%	2.27%	2.63%	2.43%	2.60%	2.61%
USD=X USD Cash	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	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 Tot Ret I 40. 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 Tot Ret I 40 was 17.00%, occurring on Mar 20, 2020. Recovery took 77 trading sessions.

The current Tot Ret I 40 drawdown is 0.88%.

Drawdown	Fall	Recovery	Underwater	Related event
-17.00%Mar 2020	28d	2mo 17d	3mo 15dFeb 2020 - Jun 2020	COVID crash2020
-14.23%Oct 2022	9mo 17d	1y 2mo	1y 11moDec 2021 - Dec 2023	Bear market2022
-6.13%Dec 2018	2mo 22d	1mo 13d	4mo 5dOct 2018 - Feb 2019	Rate-hike selloffLate 2018
-5.60%Apr 2025	1mo 16d	1mo 8d	2mo 24dFeb 2025 - May 2025	2025 selloff2025
-4.62%Feb 2018	10d	6mo 22d	7mo 2dJan 2018 - Aug 2018	—

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 18 assets, with an effective number of assets of 7.95, reflecting the diversification based on asset allocation. Your portfolio is dominated by one or two holdings, which significantly increases concentration risk. Consider rebalancing toward more even weights or adding additional positions.

Diversification Ratio

	1Y	3Y	5Y	All Time
Diversification Ratio	1.69	1.54	1.49	1.47

The portfolio has a diversification ratio of 1.47, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Tot Ret I 40 correlation to the S&P 500 Index

Tot Ret I 40 has a 0.77 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	0.77
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (All Time) Calculated using the full available price history since Sep 6, 2017	0.86

Benchmark Correlations

Correlation vs. S&P 500 Index. QUAL has the highest benchmark correlation at 0.97, while TLT has the lowest at -0.07.

-0.07

0.00

0.07

0.09

0.19

0.22

0.37

0.42

0.49

0.65

Portfolio Correlations

Correlation vs. Tot Ret I 40. QUAL has the highest portfolio correlation at 0.80, while USD=X has the lowest at 0.00.

0.00

0.21

0.23

0.39

0.40

0.40

0.45

0.53

0.56

0.58

Asset Correlations Table

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

	USD=X	ICSH	TLT	GDX	AGG	VCSH	XLE	XLU	XLP	ARKK	XLV	XLK	XLF	ANGL	XLI	MFDX	SPYV	QUAL
USD=X	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00	0.00
ICSH	0.00	1.00	0.24	0.13	0.33	0.35	0.01	0.14	0.09	0.11	0.07	0.06	0.05	0.23	0.07	0.12	0.10	0.09
TLT	0.00	0.24	1.00	0.19	0.87	0.59	-0.21	0.17	0.07	0.01	0.01	-0.04	-0.17	0.23	-0.09	-0.02	-0.09	-0.03
GDX	0.00	0.13	0.19	1.00	0.28	0.31	0.14	0.21	0.13	0.18	0.16	0.16	0.09	0.22	0.17	0.36	0.18	0.19
AGG	0.00	0.33	0.87	0.28	1.00	0.79	-0.12	0.24	0.15	0.12	0.12	0.08	-0.06	0.38	0.04	0.13	0.04	0.11
VCSH	0.00	0.35	0.59	0.31	0.79	1.00	-0.06	0.25	0.19	0.18	0.17	0.14	0.02	0.44	0.12	0.23	0.13	0.19
XLE	0.00	0.01	-0.21	0.14	-0.12	-0.06	1.00	0.18	0.22	0.21	0.27	0.24	0.48	0.28	0.48	0.42	0.54	0.36
XLU	0.00	0.14	0.17	0.21	0.24	0.25	0.18	1.00	0.54	0.13	0.40	0.20	0.29	0.29	0.36	0.30	0.42	0.35
XLP	0.00	0.09	0.07	0.13	0.15	0.19	0.22	0.54	1.00	0.17	0.54	0.27	0.41	0.33	0.44	0.42	0.56	0.46
ARKK	0.00	0.11	0.01	0.18	0.12	0.18	0.21	0.13	0.17	1.00	0.39	0.65	0.40	0.51	0.47	0.50	0.48	0.61
XLV	0.00	0.07	0.01	0.16	0.12	0.17	0.27	0.40	0.54	0.39	1.00	0.43	0.49	0.43	0.51	0.52	0.64	0.62
XLK	0.00	0.06	-0.04	0.16	0.08	0.14	0.24	0.20	0.27	0.65	0.43	1.00	0.45	0.52	0.55	0.57	0.57	0.82
XLF	0.00	0.05	-0.17	0.09	-0.06	0.02	0.48	0.29	0.41	0.40	0.49	0.45	1.00	0.44	0.72	0.60	0.83	0.65
ANGL	0.00	0.23	0.23	0.22	0.38	0.44	0.28	0.29	0.33	0.51	0.43	0.52	0.44	1.00	0.52	0.56	0.55	0.61
XLI	0.00	0.07	-0.09	0.17	0.04	0.12	0.48	0.36	0.44	0.47	0.51	0.55	0.72	0.52	1.00	0.65	0.82	0.74
MFDX	0.00	0.12	-0.02	0.36	0.13	0.23	0.42	0.30	0.42	0.50	0.52	0.57	0.60	0.56	0.65	1.00	0.70	0.69
SPYV	0.00	0.10	-0.09	0.18	0.04	0.13	0.54	0.42	0.56	0.48	0.64	0.57	0.83	0.55	0.82	0.70	1.00	0.79
QUAL	0.00	0.09	-0.03	0.19	0.11	0.19	0.36	0.35	0.46	0.61	0.62	0.82	0.65	0.61	0.74	0.69	0.79	1.00

The correlation results are calculated based on daily price changes starting from Sep 6, 2017

Diversification Analysis

Find what Tot Ret I 40 is missing

See which holdings overlap, where Tot Ret I 40 is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification