Asset Allocation
Find the right asset allocation for Portfolio
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 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 | 1.08% | 2.00% | 9.57% | 10.71% | 25.41% | 19.37% | 12.48% | 13.67% |
Portfolio Portfolio | 0.62% | 3.14% | 8.61% | 8.96% | 20.12% | 15.59% | 8.91% | — |
| Portfolio components: | ||||||||
BND Vanguard Total Bond Market ETF | 0.27% | 1.57% | 0.65% | 0.54% | 4.73% | 4.05% | 0.04% | 1.60% |
EUSA iShares MSCI USA Equal Weighted ETF | 0.47% | 4.24% | 9.38% | 9.41% | 18.63% | 14.76% | 8.22% | 11.59% |
GLDM SPDR Gold MiniShares Trust | -0.41% | -5.93% | -2.26% | -2.73% | 25.12% | 29.08% | 18.94% | — |
SGOV iShares 0-3 Month Treasury Bond ETF | 0.04% | 0.32% | 1.69% | 1.83% | 3.96% | 4.71% | 3.57% | — |
VTI Vanguard Total Stock Market ETF | 1.16% | 2.76% | 10.70% | 11.69% | 27.29% | 20.67% | 12.86% | 15.07% |
VXUS Vanguard Total International Stock ETF | 1.17% | 5.27% | 15.66% | 17.58% | 32.98% | 18.62% | 9.33% | 10.00% |
Monthly Returns
Based on dividend-adjusted daily data since May 28, 2020, Portfolio's average daily return is +0.05%, while the average monthly return is +1.07%. At this rate, an investment would double in approximately 5.4 years.
Historically, 65% of months were positive and 35% were negative. The best month was Nov 2020 with a return of +10.6%, while the worst month was Sep 2022 at -8.3%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Portfolio closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +6.9%, while the worst single day was Jun 11, 2020 at -5.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.57% | 2.30% | -5.35% | 6.29% | 3.19% | -0.30% | 8.61% | ||||||
| 2025 | 3.43% | -0.58% | -2.62% | -0.42% | 3.85% | 3.47% | 0.87% | 2.50% | 2.12% | 0.67% | 0.91% | 0.54% | 15.57% |
| 2024 | -0.44% | 3.54% | 3.67% | -3.71% | 2.94% | 0.59% | 3.20% | 2.18% | 2.17% | -1.16% | 5.24% | -4.30% | 14.28% |
| 2023 | 6.98% | -3.05% | 1.17% | 0.28% | -1.61% | 5.54% | 3.30% | -2.54% | -4.22% | -2.83% | 8.16% | 5.73% | 17.10% |
| 2022 | -4.75% | -1.17% | 1.56% | -7.04% | 0.10% | -7.19% | 6.74% | -3.23% | -8.26% | 6.18% | 6.21% | -3.92% | -15.25% |
| 2021 | -0.57% | 2.91% | 2.93% | 4.01% | 1.51% | 0.99% | 1.13% | 1.86% | -3.57% | 4.51% | -2.18% | 3.57% | 18.13% |
Benchmark Metrics
Portfolio has an annualized alpha of 0.53%, beta of 0.76, and R2 of 0.91 versus S&P 500 Index. Calculated based on daily prices since May 28, 2020.
- This portfolio participated in 82.67% of S&P 500 Index downside but only 76.31% of its upside - more exposed to losses than it benefited from rallies.
- Alpha
- 0.53%
- Beta
- 0.76
- R²
- 0.91
- Upside Capture
- 76.31%
- Downside Capture
- 82.67%
Expense Ratio
Portfolio has an expense ratio of 0.07%, 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.
Return for Risk
Risk / Return Rank
Portfolio ranks 37 for risk / return — below 37% of Portfolios on our site. The returns aren't fully compensating for the risk involved. This isn't necessarily a dealbreaker, but factor it into your decision — especially if you're risk-averse.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for 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 | 1.94 | 2.05 | -0.10 |
| Sortino ratioReturn per unit of downside risk | 2.73 | 2.77 | -0.04 |
| Omega ratioGain probability vs. loss probability | 1.35 | 1.37 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.68 | 2.81 | -0.13 |
| Martin ratioReturn relative to average drawdown | 11.50 | 12.55 | -1.05 |
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 |
|---|---|---|---|---|---|---|
BND Vanguard Total Bond Market ETF | 37 | 1.27 | 1.91 | 1.22 | 1.77 | 5.10 |
EUSA iShares MSCI USA Equal Weighted ETF | 49 | 1.55 | 2.23 | 1.27 | 2.39 | 9.43 |
GLDM SPDR Gold MiniShares Trust | 25 | 0.92 | 1.29 | 1.19 | 1.04 | 2.86 |
SGOV iShares 0-3 Month Treasury Bond ETF | 100 | 20.39 | 276.39 | 196.05 | 399.24 | 4,473.64 |
VTI Vanguard Total Stock Market ETF | 71 | 2.15 | 2.91 | 1.39 | 3.07 | 13.75 |
VXUS Vanguard Total International Stock ETF | 66 | 2.06 | 2.81 | 1.38 | 2.94 | 11.32 |
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Dividends
Dividend yield
Portfolio provided a 1.84% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.84% | 1.95% | 1.95% | 1.93% | 1.84% | 1.38% | 1.46% | 1.68% | 2.01% | 1.62% | 1.72% | 2.04% |
| Portfolio components: | ||||||||||||
BND Vanguard Total Bond Market ETF | 3.95% | 3.86% | 3.67% | 3.09% | 2.60% | 2.12% | 2.38% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% |
EUSA iShares MSCI USA Equal Weighted ETF | 1.48% | 1.63% | 1.47% | 1.53% | 1.73% | 1.23% | 1.45% | 1.49% | 2.01% | 1.50% | 1.59% | 2.21% |
GLDM SPDR Gold MiniShares 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% |
SGOV iShares 0-3 Month Treasury Bond ETF | 3.85% | 4.10% | 5.10% | 4.87% | 1.45% | 0.03% | 0.05% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VTI Vanguard Total Stock Market ETF | 1.02% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
VXUS Vanguard Total International Stock ETF | 3.08% | 3.18% | 3.37% | 3.24% | 3.09% | 3.10% | 2.14% | 3.06% | 3.18% | 2.73% | 2.93% | 2.83% |
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 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 Portfolio was 22.61%, occurring on Oct 14, 2022. Recovery took 332 trading sessions.
The current Portfolio drawdown is 1.45%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -22.61%Oct 2022 | 11mo 1d | 1y 4mo | 2y 2moNov 2021 - Feb 2024 |
2025 selloff2025 | -13.37%Apr 2025 | 1mo 18d | 1mo 29d | 3mo 17dFeb 2025 - Jun 2025 |
2026 pullback2026 | -7.55%Mar 2026 | 1mo 1d | 18d | 1mo 19dFeb 2026 - Apr 2026 |
2020 pullback2020 | -7.14%Jun 2020 | 2d | 1mo 18d | 1mo 20dJun 2020 - Jul 2020 |
2020 pullback2020 | -6.51%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 3.17, 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 | 1.15 | 1.13 | 1.11 | 1.11 |
The portfolio has a diversification ratio of 1.11, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.88 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.89 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.93 |
Correlation (All Time) Calculated using the full available price history since May 28, 2020 | 0.93 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while SGOV has the lowest at -0.02.
Asset Correlations Table
Find what Portfolio is missing
See which holdings overlap, where Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification