JWAC 80/20 Convex Citadel + 5% CAOS

Asset Allocation

Position	Category/Sector	Target Weight
AVDV Avantis International Small Cap Value ETF	Foreign Small & Mid Cap Equities	18.45%
SPMO Invesco S&P 500 Momentum ETF	Momentum, S&P 500	12.50%
RWJ Invesco S&P SmallCap 600 Revenue ETF	Small Cap Value Equities	12%
AVUV Avantis US Small Cap Value ETF	Small Cap Value Equities	11.55%
DFIVX DFA International Value Portfolio Institutional Class	Foreign Large Cap Equities	7.72%
CAOS Alpha Architect Tail Risk ETF	Options Trading	5%
DFEV Dimensional Emerging Markets Value ETF	Emerging Markets Diversified	5%
XMMO Invesco S&P MidCap Momentum ETF	Momentum, Mid Cap Growth Equities	4.48%
VGIT Vanguard Intermediate-Term Treasury ETF	Government Bonds	3.56%
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	Inflation-Protected Bonds	3.56%
VGLT Vanguard Long-Term Treasury ETF	Government Bonds, Long-Term Bond	3.56%
OUNZ VanEck Merk Gold ETF	Gold, Precious Metals	3.56%
IDMO Invesco S&P International Developed Momentum ETF	Momentum, Foreign Large Cap Equities	3%
VFMO Vanguard U.S. Momentum Factor ETF	Momentum, Mid Cap Blend Equities	2.50%
DBMF iMGP DBi Managed Futures Strategy ETF	Systematic Trend	1.78%
CTA Simplify Managed Futures Strategy ETF	Systematic Trend	1.78%

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 JWAC 80/20 Convex Citadel + 5% CAOS , 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%	9.51%	8.73%	18.04%	17.95%	11.30%	13.09%	8.08%
Portfolio JWAC 80/20 Convex Citadel + 5% CAOS	-0.31%	-2.58%	10.87%	14.26%	26.41%	20.45%	—	—	18.77%
Portfolio components:
AVDV Avantis International Small Cap Value ETF	-0.43%	-4.31%	4.67%	10.24%	31.22%	23.59%	13.62%	—	14.50%
AVUV Avantis US Small Cap Value ETF	-0.62%	2.11%	15.52%	22.92%	34.78%	17.14%	13.17%	—	16.12%
CAOS Alpha Architect Tail Risk ETF	0.13%	0.45%	0.61%	1.10%	2.10%	3.68%	—	—	4.85%
CTA Simplify Managed Futures Strategy ETF	0.85%	1.05%	2.11%	3.23%	3.39%	9.23%	—	—	7.62%
DBMF iMGP DBi Managed Futures Strategy ETF	0.23%	0.57%	8.74%	11.26%	26.79%	9.43%	8.59%	—	9.22%
DFEV Dimensional Emerging Markets Value ETF	-0.55%	-10.15%	13.39%	18.56%	33.63%	20.53%	—	—	15.34%
DFIVX DFA International Value Portfolio Institutional Class	-0.19%	1.29%	9.54%	13.26%	34.04%	21.99%	15.84%	12.00%	7.50%
IDMO Invesco S&P International Developed Momentum ETF	-0.78%	-4.04%	3.61%	6.72%	19.40%	23.73%	14.74%	12.15%	8.80%
OUNZ VanEck Merk Gold ETF	-0.23%	-5.03%	-12.66%	-7.16%	19.37%	26.53%	17.02%	11.37%	9.39%
RWJ Invesco S&P SmallCap 600 Revenue ETF	-0.79%	3.74%	15.25%	24.54%	37.36%	16.58%	10.67%	13.23%	12.50%

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

Monthly Returns

Based on dividend-adjusted daily data since Mar 6, 2023, JWAC 80/20 Convex Citadel + 5% CAOS '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, 66% of months were positive and 34% were negative. The best month was Apr 2026 with a return of +8.1%, while the worst month was Mar 2026 at -5.2%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.

On a daily basis, JWAC 80/20 Convex Citadel + 5% CAOS closed higher 55% of trading days. The best single day was Apr 9, 2025 with a return of +6.4%, while the worst single day was Apr 4, 2025 at -4.8%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	4.95%	4.25%	-5.17%	8.08%	3.26%	0.85%	-2.15%						14.26%
2025	3.00%	-0.72%	-1.62%	0.33%	5.46%	4.02%	0.96%	4.65%	2.78%	0.32%	1.86%	1.24%	24.38%
2024	-0.39%	4.09%	4.32%	-3.15%	4.49%	-0.46%	4.60%	0.43%	1.79%	-2.10%	4.59%	-3.52%	15.09%
2023			-3.12%	0.93%	-3.62%	5.44%	4.20%	-1.97%	-2.37%	-3.21%	6.65%	6.75%	9.21%

Benchmark Metrics

JWAC 80/20 Convex Citadel + 5% CAOS has an annualized alpha of 3.76%, beta of 0.75, and R2 of 0.74 versus S&P 500 Index. Calculated based on daily prices since March 06, 2023.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (79.87%) than losses (63.62%) - typical of diversified or defensive assets.
This portfolio generated an annualized alpha of 3.76% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.

Alpha: 3.76%

Beta: 0.75

R²: 0.74

Upside Capture: 79.87%

Downside Capture: 63.62%

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

Expense Ratio

JWAC 80/20 Convex Citadel + 5% CAOS has an expense ratio of 0.30%, 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.

Top 10 holdings

DBMF

iMGP DBi Managed Futures Strategy ETF

CTA

Simplify Managed Futures Strategy ETF

CAOS

Alpha Architect Tail Risk ETF

DFEV

Dimensional Emerging Markets Value ETF

RWJ

Invesco S&P SmallCap 600 Revenue ETF

AVDV

Avantis International Small Cap Value ETF

XMMO

Invesco S&P MidCap Momentum ETF

DFIVX

DFA International Value Portfolio Institutional Class

IDMO

Invesco S&P International Developed Momentum ETF

AVUV

Avantis US Small Cap Value ETF

Return for Risk

Risk / Return Rank

JWAC 80/20 Convex Citadel + 5% CAOS ranks 82 for risk / return — in the top 82% 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 JWAC 80/20 Convex Citadel + 5% CAOS 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	2.11	1.45	+0.66
Sortino ratioReturn per unit of downside risk	2.97	2.03	+0.94
Omega ratioGain probability vs. loss probability	1.38	1.26	+0.12
Calmar ratioReturn relative to maximum drawdown	3.45	2.01	+1.44
Martin ratioReturn relative to average drawdown	13.65	8.68	+4.97

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
AVDV Avantis International Small Cap Value ETF	73	1.89	2.57	1.34	2.38	8.81
AVUV Avantis US Small Cap Value ETF	86	2.04	2.97	1.36	4.39	13.09
CAOS Alpha Architect Tail Risk ETF	61	1.36	2.18	1.28	2.79	6.28
CTA Simplify Managed Futures Strategy ETF	13	0.16	0.36	1.05	0.17	0.47
DBMF iMGP DBi Managed Futures Strategy ETF	88	2.13	2.81	1.44	4.41	14.93
DFEV Dimensional Emerging Markets Value ETF	70	1.63	2.17	1.31	2.98	9.19
DFIVX DFA International Value Portfolio Institutional Class	86	2.37	3.21	1.42	3.53	13.55
IDMO Invesco S&P International Developed Momentum ETF	42	1.05	1.58	1.20	1.58	6.15
OUNZ VanEck Merk Gold ETF	25	0.70	1.04	1.15	0.74	1.73
RWJ Invesco S&P SmallCap 600 Revenue ETF	81	1.98	2.89	1.34	3.32	10.72

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 JWAC 80/20 Convex Citadel + 5% CAOS Sharpe ratio is 2.11 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 JWAC 80/20 Convex Citadel + 5% CAOS 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

JWAC 80/20 Convex Citadel + 5% CAOS provided a 2.07% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.07%	2.19%	2.31%	2.33%	2.45%	1.63%	1.20%	1.26%	1.19%	0.76%	0.83%	0.68%
Portfolio components:
AVDV Avantis International Small Cap Value ETF	2.87%	3.05%	4.31%	3.29%	3.17%	2.39%	1.67%	0.36%	0.00%	0.00%	0.00%	0.00%
AVUV Avantis US Small Cap Value ETF	1.25%	1.58%	1.61%	1.65%	1.74%	1.28%	1.21%	0.38%	0.00%	0.00%	0.00%	0.00%
CAOS Alpha Architect Tail Risk ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
CTA Simplify Managed Futures Strategy ETF	4.86%	3.19%	4.80%	7.78%	6.58%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
DBMF iMGP DBi Managed Futures Strategy ETF	5.11%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	0.00%	0.00%	0.00%
DFEV Dimensional Emerging Markets Value ETF	2.17%	2.69%	3.17%	3.47%	3.35%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
DFIVX DFA International Value Portfolio Institutional Class	3.74%	4.21%	3.94%	4.40%	3.78%	4.37%	2.42%	3.70%	6.60%	2.85%	3.36%	3.45%
IDMO Invesco S&P International Developed Momentum ETF	3.75%	3.71%	2.24%	2.89%	3.66%	1.81%	1.63%	2.78%	3.27%	3.08%	2.18%	2.52%
OUNZ VanEck Merk Gold ETF	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
RWJ Invesco S&P SmallCap 600 Revenue ETF	1.01%	1.11%	1.15%	1.34%	1.02%	0.61%	0.89%	1.22%	1.44%	1.11%	0.60%	0.74%

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 JWAC 80/20 Convex Citadel + 5% CAOS . 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 JWAC 80/20 Convex Citadel + 5% CAOS was 13.25%, occurring on Apr 8, 2025. Recovery took 24 trading sessions.

The current JWAC 80/20 Convex Citadel + 5% CAOS drawdown is 2.96%.

Drawdown	Fall	Recovery	Underwater	Related event
-13.25%Apr 2025	1mo 18d	1mo 5d	2mo 23dFeb 2025 - May 2025	2025 selloff2025
-8.28%Oct 2023	2mo 27d	1mo 5d	4mo 2dAug 2023 - Dec 2023	—
-7.81%Mar 2026	21d	25d	1mo 16dFeb 2026 - Apr 2026	—
-7.09%Mar 2023	11d	3mo 26d	4mo 7dMar 2023 - Jul 2023	—
-6.76%Aug 2024	19d	18d	1mo 7dJul 2024 - Aug 2024	—

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 16 assets, with an effective number of assets of 10.25, 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	All Time
Diversification Ratio	1.31	1.30	1.31

The portfolio has a diversification ratio of 1.31, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

JWAC 80/20 Convex Citadel + 5% CAOS correlation to the S&P 500 Index

JWAC 80/20 Convex Citadel + 5% CAOS has a 0.84 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	0.84
Correlation (3Y) Calculated over the trailing 3-year period	0.83
Correlation (All Time) Calculated using the full available price history since Mar 6, 2023	0.82

Benchmark Correlations

Correlation vs. S&P 500 Index. SPMO has the highest benchmark correlation at 0.84, while CTA has the lowest at -0.08.

-0.08

0.05

0.09

0.09

0.13

0.13

0.30

0.62

0.63

0.65

Portfolio Correlations

Correlation vs. JWAC 80/20 Convex Citadel + 5% CAOS . VFMO has the highest portfolio correlation at 0.87, while CTA has the lowest at -0.04.

-0.04

0.03

0.14

0.17

0.20

0.30

0.34

0.73

0.74

0.82

Asset Correlations Table

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

	CAOS	CTA	VTIP	OUNZ	VGLT	VGIT	DBMF	SPMO	DFEV	RWJ	AVUV	XMMO	IDMO	VFMO	DFIVX	AVDV
CAOS	1.00	-0.05	0.04	-0.03	-0.02	0.01	0.01	0.00	-0.01	0.01	0.01	0.04	0.05	0.03	0.05	0.06
CTA	-0.05	1.00	-0.24	0.05	-0.32	-0.36	0.37	-0.05	-0.04	-0.07	-0.04	-0.07	-0.09	-0.04	-0.04	-0.06
VTIP	0.04	-0.24	1.00	0.33	0.59	0.77	-0.18	0.00	0.11	0.07	0.06	0.04	0.12	0.04	0.15	0.17
OUNZ	-0.03	0.05	0.33	1.00	0.22	0.32	0.19	0.08	0.35	0.09	0.10	0.12	0.30	0.16	0.34	0.42
VGLT	-0.02	-0.32	0.59	0.22	1.00	0.88	-0.28	0.06	0.13	0.14	0.11	0.13	0.18	0.11	0.17	0.19
VGIT	0.01	-0.36	0.77	0.32	0.88	1.00	-0.30	0.02	0.13	0.10	0.06	0.08	0.18	0.07	0.18	0.20
DBMF	0.01	0.37	-0.18	0.19	-0.28	-0.30	1.00	0.29	0.27	0.22	0.25	0.26	0.27	0.32	0.28	0.29
SPMO	0.00	-0.05	0.00	0.08	0.06	0.02	0.29	1.00	0.55	0.50	0.54	0.76	0.66	0.80	0.54	0.51
DFEV	-0.01	-0.04	0.11	0.35	0.13	0.13	0.27	0.55	1.00	0.50	0.51	0.53	0.65	0.60	0.71	0.71
RWJ	0.01	-0.07	0.07	0.09	0.14	0.10	0.22	0.50	0.50	1.00	0.95	0.73	0.56	0.72	0.63	0.61
AVUV	0.01	-0.04	0.06	0.10	0.11	0.06	0.25	0.54	0.51	0.95	1.00	0.77	0.59	0.76	0.66	0.63
XMMO	0.04	-0.07	0.04	0.12	0.13	0.08	0.26	0.76	0.53	0.73	0.77	1.00	0.66	0.90	0.61	0.60
IDMO	0.05	-0.09	0.12	0.30	0.18	0.18	0.27	0.66	0.65	0.56	0.59	0.66	1.00	0.70	0.84	0.82
VFMO	0.03	-0.04	0.04	0.16	0.11	0.07	0.32	0.80	0.60	0.72	0.76	0.90	0.70	1.00	0.64	0.64
DFIVX	0.05	-0.04	0.15	0.34	0.17	0.18	0.28	0.54	0.71	0.63	0.66	0.61	0.84	0.64	1.00	0.90
AVDV	0.06	-0.06	0.17	0.42	0.19	0.20	0.29	0.51	0.71	0.61	0.63	0.60	0.82	0.64	0.90	1.00

The correlation results are calculated based on daily price changes starting from Mar 6, 2023

Diversification Analysis

Find what JWAC 80/20 Convex Citadel + 5% CAOS is missing

See which holdings overlap, where JWAC 80/20 Convex Citadel + 5% CAOS is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification