Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 20/20/40/20 VTI/VBR/HY/GLD, 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 May 2, 2013, corresponding to the inception date of FTSL
Returns By Period
As of Apr 4, 2026, the 20/20/40/20 VTI/VBR/HY/GLD returned 0.70% Year-To-Date and 8.99% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -4.18% | -3.84% | -1.98% | 21.98% | 16.86% | 10.37% | 12.29% |
Portfolio 20/20/40/20 VTI/VBR/HY/GLD | -0.15% | -2.53% | 0.70% | 3.32% | 18.04% | 13.57% | 8.73% | 8.99% |
| Portfolio components: | ||||||||
FFRHX Fidelity Floating Rate High Income Fund | -0.11% | 0.00% | -0.61% | 0.77% | 5.70% | 6.96% | 5.18% | 4.98% |
FTSL First Trust Senior Loan Fund | -0.06% | 0.19% | -0.75% | 0.83% | 5.33% | 7.05% | 4.88% | 4.49% |
NFIAX Neuberger Berman Floating Rate Income Fund | 0.00% | -0.11% | -0.72% | 0.64% | 5.43% | 7.13% | 4.78% | 4.48% |
PRFRX T. Rowe Price Floating Rate Fund | -0.11% | -0.11% | 0.05% | 3.46% | 12.58% | 10.22% | 7.20% | 5.67% |
LFRIX Lord Abbett Floating Rate Fund | 0.00% | -0.00% | -0.80% | 1.07% | 5.88% | 7.45% | 5.18% | 4.57% |
GLD SPDR Gold Shares | -1.92% | -8.98% | 8.35% | 20.07% | 49.92% | 32.51% | 21.53% | 13.97% |
VBR Vanguard Small-Cap Value ETF | 0.20% | -3.60% | 3.80% | 4.63% | 25.96% | 13.63% | 7.68% | 10.27% |
VTI Vanguard Total Stock Market ETF | 0.16% | -3.97% | -3.13% | -1.30% | 24.10% | 18.10% | 10.66% | 13.75% |
Monthly Returns
Based on dividend-adjusted daily data since May 3, 2013, 20/20/40/20 VTI/VBR/HY/GLD's average daily return is +0.03%, while the average monthly return is +0.67%. At this rate, your investment would double in approximately 8.7 years.
Historically, 66% of months were positive and 34% were negative. The best month was Apr 2020 with a return of +8.1%, while the worst month was Mar 2020 at -13.4%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 4 months.
On a daily basis, 20/20/40/20 VTI/VBR/HY/GLD closed higher 56% of trading days. The best single day was Mar 24, 2020 with a return of +4.4%, while the worst single day was Mar 16, 2020 at -6.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.60% | 1.06% | -3.17% | 0.30% | 0.70% | ||||||||
| 2025 | 2.39% | -0.89% | -1.34% | -0.26% | 3.03% | 2.29% | 1.12% | 2.36% | 2.28% | 0.83% | 1.41% | 0.72% | 14.74% |
| 2024 | -0.13% | 2.40% | 2.95% | -1.52% | 2.35% | 0.12% | 3.09% | 0.93% | 1.59% | 0.50% | 3.28% | -2.17% | 14.03% |
| 2023 | 5.12% | -1.19% | 0.20% | 0.42% | -0.79% | 4.07% | 2.65% | -0.64% | -2.07% | -0.96% | 4.48% | 3.97% | 15.97% |
| 2022 | -2.18% | 0.17% | 1.06% | -3.28% | -1.38% | -5.12% | 4.56% | -0.99% | -5.51% | 4.48% | 3.65% | -2.07% | -7.03% |
| 2021 | 0.48% | 2.06% | 1.84% | 2.39% | 1.61% | -0.31% | 0.23% | 1.24% | -1.46% | 2.53% | -1.18% | 2.49% | 12.47% |
Benchmark Metrics
20/20/40/20 VTI/VBR/HY/GLD has an annualized alpha of 2.54%, beta of 0.44, and R² of 0.83 versus S&P 500 Index. Calculated based on daily prices since May 03, 2013.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (51.36%) than losses (50.90%) — typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 2.54% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.44 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
- 2.54%
- Beta
- 0.44
- R²
- 0.83
- Upside Capture
- 51.36%
- Downside Capture
- 50.90%
Expense Ratio
20/20/40/20 VTI/VBR/HY/GLD has an expense ratio of 0.45%, 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.
Return for Risk
Risk / Return Rank
20/20/40/20 VTI/VBR/HY/GLD ranks 76 for risk / return — better than 76% 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.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.66 | 0.88 | +0.77 |
Sortino ratioReturn per unit of downside risk | 2.37 | 1.37 | +1.00 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.21 | +0.15 |
Calmar ratioReturn relative to maximum drawdown | 2.29 | 1.39 | +0.91 |
Martin ratioReturn relative to average drawdown | 10.79 | 6.43 | +4.35 |
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 Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
FFRHX Fidelity Floating Rate High Income Fund | 73 | 1.46 | 2.06 | 1.49 | 1.77 | 8.52 |
FTSL First Trust Senior Loan Fund | 74 | 1.55 | 2.04 | 1.42 | 2.04 | 7.29 |
NFIAX Neuberger Berman Floating Rate Income Fund | 89 | 1.77 | 2.72 | 1.63 | 2.54 | 10.75 |
PRFRX T. Rowe Price Floating Rate Fund | 99 | 3.62 | 7.25 | 2.37 | 6.05 | 28.87 |
LFRIX Lord Abbett Floating Rate Fund | 85 | 1.67 | 2.41 | 1.61 | 2.41 | 9.19 |
GLD SPDR Gold Shares | 78 | 1.77 | 2.19 | 1.32 | 2.57 | 9.28 |
VBR Vanguard Small-Cap Value ETF | 43 | 0.86 | 1.33 | 1.18 | 1.37 | 5.57 |
VTI Vanguard Total Stock Market ETF | 52 | 0.94 | 1.47 | 1.22 | 1.53 | 7.16 |
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Dividends
Dividend yield
20/20/40/20 VTI/VBR/HY/GLD provided a 4.52% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 4.52% | 4.71% | 4.49% | 4.70% | 2.79% | 2.31% | 2.59% | 3.25% | 3.26% | 2.68% | 2.77% | 2.84% |
| Portfolio components: | ||||||||||||
FFRHX Fidelity Floating Rate High Income Fund | 6.75% | 7.41% | 6.94% | 8.24% | 3.81% | 2.74% | 3.84% | 5.15% | 4.74% | 4.05% | 4.44% | 3.69% |
FTSL First Trust Senior Loan Fund | 6.58% | 6.59% | 7.56% | 7.59% | 4.77% | 3.17% | 3.48% | 4.44% | 4.29% | 3.64% | 3.70% | 3.95% |
NFIAX Neuberger Berman Floating Rate Income Fund | 6.24% | 6.84% | 8.05% | 6.89% | 3.97% | 3.36% | 3.68% | 4.71% | 4.32% | 3.44% | 3.46% | 4.05% |
PRFRX T. Rowe Price Floating Rate Fund | 12.92% | 12.91% | 8.17% | 9.57% | 4.03% | 3.86% | 4.00% | 4.84% | 4.87% | 4.04% | 4.07% | 4.07% |
LFRIX Lord Abbett Floating Rate Fund | 6.54% | 7.20% | 7.68% | 7.63% | 3.95% | 4.01% | 4.64% | 5.71% | 5.60% | 4.65% | 4.64% | 4.72% |
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% |
VBR Vanguard Small-Cap Value ETF | 1.89% | 1.95% | 1.98% | 2.12% | 2.03% | 1.75% | 1.68% | 2.06% | 2.35% | 1.79% | 1.77% | 1.99% |
VTI Vanguard Total Stock Market ETF | 1.16% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
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 20/20/40/20 VTI/VBR/HY/GLD. 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 20/20/40/20 VTI/VBR/HY/GLD was 27.03%, occurring on Mar 23, 2020. Recovery took 114 trading sessions.
The current 20/20/40/20 VTI/VBR/HY/GLD drawdown is 3.18%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -27.03% | Feb 21, 2020 | 22 | Mar 23, 2020 | 114 | Sep 2, 2020 | 136 |
| -12.86% | Nov 16, 2021 | 220 | Sep 30, 2022 | 193 | Jul 11, 2023 | 413 |
| -9.92% | Sep 21, 2018 | 65 | Dec 24, 2018 | 68 | Apr 3, 2019 | 133 |
| -9.02% | May 19, 2015 | 170 | Jan 20, 2016 | 71 | May 2, 2016 | 241 |
| -8.84% | Feb 19, 2025 | 35 | Apr 8, 2025 | 28 | May 19, 2025 | 63 |
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 7.14, 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
| Benchmark | GLD | FTSL | NFIAX | PRFRX | LFRIX | FFRHX | VBR | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.01 | 0.37 | 0.22 | 0.24 | 0.27 | 0.28 | 0.82 | 0.99 | 0.88 |
| GLD | 0.01 | 1.00 | 0.06 | -0.01 | 0.01 | -0.03 | -0.00 | 0.01 | 0.01 | 0.23 |
| FTSL | 0.37 | 0.06 | 1.00 | 0.31 | 0.30 | 0.32 | 0.34 | 0.35 | 0.38 | 0.42 |
| NFIAX | 0.22 | -0.01 | 0.31 | 1.00 | 0.70 | 0.71 | 0.70 | 0.21 | 0.22 | 0.30 |
| PRFRX | 0.24 | 0.01 | 0.30 | 0.70 | 1.00 | 0.69 | 0.68 | 0.23 | 0.24 | 0.32 |
| LFRIX | 0.27 | -0.03 | 0.32 | 0.71 | 0.69 | 1.00 | 0.70 | 0.26 | 0.28 | 0.35 |
| FFRHX | 0.28 | -0.00 | 0.34 | 0.70 | 0.68 | 0.70 | 1.00 | 0.28 | 0.28 | 0.37 |
| VBR | 0.82 | 0.01 | 0.35 | 0.21 | 0.23 | 0.26 | 0.28 | 1.00 | 0.85 | 0.92 |
| VTI | 0.99 | 0.01 | 0.38 | 0.22 | 0.24 | 0.28 | 0.28 | 0.85 | 1.00 | 0.91 |
| Portfolio | 0.88 | 0.23 | 0.42 | 0.30 | 0.32 | 0.35 | 0.37 | 0.92 | 0.91 | 1.00 |