ETF-only high-sharpe

Asset Allocation

Position	Category/Sector	Target Weight
UUP Invesco DB US Dollar Index Bullish Fund	Currency	25%
XLK State Street Technology Select Sector SPDR ETF	Technology Equities	25%
IAU iShares Gold Trust	Gold, Precious Metals	10%
VTI Vanguard Total Stock Market ETF	Large Cap Blend Equities	10%
DNP DNP Select Income Fund Inc.	Financial Services	10%
VHT Vanguard Health Care ETF	Health & Biotech Equities	5%
VPU Vanguard Utilities ETF	Utilities Equities	5%
VDC Vanguard Consumer Staples ETF	Consumer Staples Equities	5%
VYM Vanguard High Dividend Yield ETF	Dividend	5%

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 ETF-only high-sharpe, 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

As of Jun 6, 2026, the ETF-only high-sharpe returned 12.06% Year-To-Date and 13.27% of annualized return in the last 10 years.

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 ETF-only high-sharpe	0.52%	1.42%	12.06%	11.76%	26.42%	18.24%	13.57%	13.27%
Portfolio components:
DNP DNP Select Income Fund Inc.	-1.03%	-0.14%	9.66%	10.26%	18.20%	9.87%	8.26%	7.97%
IAU iShares Gold Trust	0.20%	-8.43%	0.26%	3.08%	30.27%	29.88%	17.71%	12.71%
UUP Invesco DB US Dollar Index Bullish Fund	0.04%	2.52%	3.70%	3.08%	5.64%	4.21%	6.04%	3.19%
VDC Vanguard Consumer Staples ETF	-0.25%	-2.19%	7.19%	7.44%	4.07%	8.08%	6.63%	7.63%
VHT Vanguard Health Care ETF	-0.29%	5.33%	-1.21%	0.70%	16.43%	7.21%	4.80%	9.66%
VPU Vanguard Utilities ETF	-1.87%	-2.65%	2.68%	3.11%	10.68%	12.74%	8.91%	8.85%
VTI Vanguard Total Stock Market ETF	0.30%	0.44%	9.05%	8.94%	24.96%	21.05%	12.25%	14.84%
VYM Vanguard High Dividend Yield ETF	-0.08%	1.71%	10.82%	10.58%	24.30%	17.89%	11.33%	11.70%
XLK State Street Technology Select Sector SPDR ETF	2.15%	4.93%	28.09%	25.10%	55.42%	31.33%	22.26%	25.04%

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

Monthly Returns

Based on dividend-adjusted daily data since Mar 2, 2007, ETF-only high-sharpe's average daily return is +0.04%, while the average monthly return is +0.84%. At this rate, an investment would double in approximately 6.9 years.

Historically, 67% of months were positive and 33% were negative. The best month was Apr 2020 with a return of +8.3%, while the worst month was Oct 2008 at -9.4%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 4 months.

On a daily basis, ETF-only high-sharpe closed higher 56% of trading days. The best single day was Mar 13, 2020 with a return of +6.6%, while the worst single day was Mar 16, 2020 at -8.0%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.11%	1.87%	-3.32%	6.82%	5.96%	-1.55%							12.06%
2025	2.45%	-0.04%	-2.21%	-0.61%	3.68%	2.97%	2.20%	0.81%	4.11%	3.27%	0.32%	-0.43%	17.59%
2024	1.95%	2.49%	2.82%	-1.80%	2.98%	1.90%	1.40%	1.77%	2.39%	-0.02%	3.12%	-1.68%	18.60%
2023	3.63%	-0.68%	3.57%	0.46%	1.31%	2.88%	1.37%	-0.84%	-3.19%	-0.11%	4.95%	1.76%	15.86%
2022	-2.64%	-0.89%	3.19%	-3.26%	-0.98%	-3.60%	5.62%	-1.88%	-5.76%	4.40%	3.76%	-3.45%	-6.07%
2021	-0.41%	0.04%	2.33%	2.68%	0.60%	1.95%	2.05%	2.02%	-2.90%	3.94%	0.91%	3.28%	17.57%

Benchmark Metrics

ETF-only high-sharpe has an annualized alpha of 4.82%, beta of 0.53, and R2 of 0.90 versus S&P 500 Index. Calculated based on daily prices since March 02, 2007.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (59.33%) than losses (45.44%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 4.82% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
Beta of 0.53 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: 4.82%

Beta: 0.53

R²: 0.90

Upside Capture: 59.33%

Downside Capture: 45.44%

Expense Ratio

ETF-only high-sharpe 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.

UUP

Invesco DB US Dollar Index Bullish Fund

IAU

iShares Gold Trust

VHT

Vanguard Health Care ETF

VPU

Vanguard Utilities ETF

VDC

Vanguard Consumer Staples ETF

XLK

State Street Technology Select Sector SPDR ETF

VYM

Vanguard High Dividend Yield ETF

VTI

Vanguard Total Stock Market ETF

Return for Risk

Risk / Return Rank

ETF-only high-sharpe ranks 88 for risk / return — in the top 88% 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 ETF-only high-sharpe and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	3.04	1.94	+1.11
Sortino ratioReturn per unit of downside risk	4.07	2.63	+1.45
Omega ratioGain probability vs. loss probability	1.60	1.35	+0.25
Calmar ratioReturn relative to maximum drawdown	4.83	2.59	+2.25
Martin ratioReturn relative to average drawdown	21.71	11.84	+9.87
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
DNP DNP Select Income Fund Inc.	86	1.87	2.65	1.33	2.85	11.95
IAU iShares Gold Trust	33	1.14	1.52	1.23	1.52	3.80
UUP Invesco DB US Dollar Index Bullish Fund	29	0.93	1.34	1.16	1.55	4.13
VDC Vanguard Consumer Staples ETF	14	0.33	0.56	1.06	0.44	0.90
VHT Vanguard Health Care ETF	34	1.13	1.77	1.20	1.59	3.95
VPU Vanguard Utilities ETF	23	0.75	1.09	1.14	1.20	2.66
VTI Vanguard Total Stock Market ETF	68	2.02	2.73	1.36	2.81	12.85
VYM Vanguard High Dividend Yield ETF	80	2.36	3.36	1.43	3.65	13.64
XLK State Street Technology Select Sector SPDR ETF	77	2.53	3.06	1.42	3.50	11.58

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.

ETF-only high-sharpe Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 3.04
5-Year: 1.34
10-Year: 1.20
All Time: 0.92

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 1.60 to 2.48, 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 ETF-only high-sharpe 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

ETF-only high-sharpe provided a 2.20% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.20%	2.34%	2.77%	3.39%	1.83%	1.44%	1.64%	2.09%	2.17%	1.75%	1.89%	2.05%
Portfolio components:
DNP DNP Select Income Fund Inc.	7.34%	7.81%	8.84%	9.20%	6.93%	7.18%	7.60%	6.11%	7.50%	7.22%	7.62%	8.71%
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%
UUP Invesco DB US Dollar Index Bullish Fund	3.31%	3.43%	4.48%	6.44%	0.89%	0.00%	0.00%	2.03%	1.08%	0.10%	0.00%	0.00%
VDC Vanguard Consumer Staples ETF	2.14%	2.26%	2.33%	2.65%	2.37%	2.14%	2.50%	2.44%	2.78%	2.52%	2.39%	2.55%
VHT Vanguard Health Care ETF	1.66%	1.61%	1.53%	1.36%	1.33%	1.14%	1.21%	1.89%	1.38%	1.31%	1.45%	1.22%
VPU Vanguard Utilities ETF	2.70%	2.73%	3.02%	3.49%	2.98%	2.70%	3.17%	2.83%	3.23%	3.18%	3.19%	3.63%
VTI Vanguard Total Stock Market ETF	1.03%	1.12%	1.27%	1.44%	1.66%	1.21%	1.42%	1.78%	2.04%	1.71%	1.92%	1.98%
VYM Vanguard High Dividend Yield ETF	2.22%	2.44%	2.74%	3.12%	3.01%	2.76%	3.18%	3.03%	3.40%	2.80%	2.91%	3.22%
XLK State Street Technology Select Sector SPDR ETF	0.41%	0.54%	0.66%	0.76%	1.04%	0.65%	0.92%	1.16%	1.60%	1.37%	1.74%	1.79%

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 ETF-only high-sharpe. 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 ETF-only high-sharpe was 30.38%, occurring on Mar 9, 2009. Recovery took 274 trading sessions.

The current ETF-only high-sharpe drawdown is 3.13%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-30.38%Mar 2009	1y 4mo	1y 1mo	2y 5moNov 2007 - Apr 2010
COVID crash2020	-20.97%Mar 2020	1mo 2d	4mo 1d	5mo 3dFeb 2020 - Jul 2020
2025 selloff2025	-11.61%Apr 2025	1mo 17d	2mo 3d	3mo 20dFeb 2025 - Jun 2025
Bear market2022	-11.19%Oct 2022	6mo 16d	6mo 18d	1y 29dMar 2022 - Apr 2023
Rate-hike selloffLate 2018	-9.92%Dec 2018	2mo 22d	1mo 23d	4mo 15dOct 2018 - Feb 2019

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 9 assets, with an effective number of assets of 6.06, 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	10Y	All Time
Diversification Ratio	1.74	1.59	1.56	1.45	1.50

The portfolio has a diversification ratio of 1.50, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

ETF-only high-sharpe correlation to the S&P 500 Index

ETF-only high-sharpe has a 0.87 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	0.87
Correlation (3Y) Calculated over the trailing 3-year period	0.91
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (10Y) Calculated over the trailing 10-year period	0.93
Correlation (All Time) Calculated using the full available price history since Mar 2, 2007	0.92

Benchmark Correlations

Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while UUP has the lowest at -0.20.

-0.20

0.06

0.31

0.52

0.68

0.76

0.88

0.90

0.99

Portfolio Correlations

Correlation vs. ETF-only high-sharpe. VTI has the highest portfolio correlation at 0.92, while UUP has the lowest at -0.08.

-0.08

0.15

0.44

0.57

0.66

0.73

0.82

0.90

0.92

Asset Correlations Table

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

	IAU	UUP	DNP	VPU	VDC	VHT	XLK	VYM	VTI
IAU	1.00	-0.45	0.09	0.12	0.04	0.04	0.04	0.06	0.07
UUP	-0.45	1.00	-0.10	-0.16	-0.16	-0.15	-0.16	-0.20	-0.20
DNP	0.09	-0.10	1.00	0.43	0.32	0.28	0.24	0.36	0.31
VPU	0.12	-0.16	0.43	1.00	0.62	0.49	0.38	0.60	0.52
VDC	0.04	-0.16	0.32	0.62	1.00	0.65	0.52	0.75	0.67
VHT	0.04	-0.15	0.28	0.49	0.65	1.00	0.62	0.74	0.77
XLK	0.04	-0.16	0.24	0.38	0.52	0.62	1.00	0.71	0.87
VYM	0.06	-0.20	0.36	0.60	0.75	0.74	0.71	1.00	0.89
VTI	0.07	-0.20	0.31	0.52	0.67	0.77	0.87	0.89	1.00

The correlation results are calculated based on daily price changes starting from Mar 2, 2007

Diversification Analysis

Find what ETF-only high-sharpe is missing

See which holdings overlap, where ETF-only high-sharpe is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification