Asset Allocation
Find the right asset allocation for 100% Equity - LFP
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in 100% Equity - LFP, 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 13, 2026, the 100% Equity - LFP returned 14.67% Year-To-Date and 12.92% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.50% | -0.93% | 8.56% | 8.85% | 24.33% | 19.37% | 11.84% | 13.61% |
Portfolio 100% Equity - LFP | 0.74% | 1.94% | 14.67% | 14.88% | 29.59% | 19.69% | 10.37% | 12.92% |
| Portfolio components: | ||||||||
ICF iShares Cohen & Steers REIT ETF | 0.96% | 3.62% | 16.93% | 17.09% | 15.91% | 11.06% | 3.38% | 5.99% |
MTUM iShares MSCI USA Momentum Factor ETF | 1.69% | 5.58% | 29.72% | 30.51% | 42.02% | 33.16% | 14.96% | 17.15% |
QUAL iShares MSCI USA Quality Factor ETF | 0.47% | 2.14% | 9.44% | 9.29% | 22.87% | 19.30% | 11.97% | 14.46% |
SPDW SPDR Portfolio World ex-US ETF | 0.29% | 1.53% | 14.86% | 16.65% | 31.27% | 19.01% | 9.30% | 10.64% |
SPEM SPDR Portfolio Emerging Markets ETF | 0.87% | -0.13% | 11.32% | 13.11% | 27.73% | 17.37% | 5.60% | 9.63% |
SPMD SPDR Portfolio S&P 400 Mid Cap ETF | 0.73% | 3.56% | 15.51% | 14.03% | 27.96% | 15.42% | 8.28% | 11.78% |
SPSM State Street SPDR Portfolio S&P 600 Small Cap ETF | 0.99% | 5.61% | 19.73% | 16.52% | 37.11% | 14.81% | 6.32% | 11.30% |
SPYG State Street SPDR Portfolio S&P 500 Growth ETF | 0.41% | -2.81% | 9.70% | 10.60% | 29.17% | 25.85% | 14.92% | 17.91% |
SPYV SPDR Portfolio S&P 500 Value ETF | 0.69% | 1.59% | 8.25% | 8.02% | 21.87% | 15.13% | 10.98% | 12.08% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 18, 2013, 100% Equity - LFP's average daily return is +0.05%, while the average monthly return is +0.98%. At this rate, an investment would double in approximately 5.9 years.
Historically, 69% of months were positive and 31% were negative. The best month was Nov 2020 with a return of +12.5%, while the worst month was Mar 2020 at -15.2%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 3 months.
On a daily basis, 100% Equity - LFP closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +9.2%, while the worst single day was Mar 16, 2020 at -12.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.55% | 2.39% | -5.94% | 9.77% | 4.28% | 0.44% | 14.67% | ||||||
| 2025 | 3.27% | -0.72% | -3.67% | 0.03% | 5.58% | 4.14% | 0.65% | 3.34% | 2.90% | 0.92% | 0.62% | 0.79% | 19.02% |
| 2024 | -0.19% | 4.78% | 3.43% | -4.08% | 4.53% | 1.03% | 3.12% | 2.06% | 2.13% | -2.13% | 4.87% | -4.41% | 15.56% |
| 2023 | 7.16% | -3.19% | 1.17% | 0.99% | -2.13% | 6.36% | 3.66% | -2.78% | -4.57% | -3.10% | 8.84% | 6.09% | 18.74% |
| 2022 | -5.21% | -2.22% | 2.04% | -7.86% | 0.64% | -7.98% | 7.11% | -3.87% | -9.20% | 7.62% | 7.55% | -4.46% | -16.56% |
| 2021 | 0.59% | 3.44% | 3.21% | 4.21% | 1.40% | 0.85% | 0.36% | 2.42% | -3.89% | 5.24% | -2.64% | 4.05% | 20.52% |
Benchmark Metrics
100% Equity - LFP has an annualized alpha of -0.10%, beta of 0.94, and R2 of 0.94 versus S&P 500 Index. Calculated based on daily prices since July 18, 2013.
- This portfolio participated in 95.62% of S&P 500 Index downside but only 92.82% of its upside - more exposed to losses than it benefited from rallies.
- With beta of 0.94 and R2 of 0.94, this portfolio moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- -0.10%
- Beta
- 0.94
- R²
- 0.94
- Upside Capture
- 92.82%
- Downside Capture
- 95.62%
Expense Ratio
100% Equity - LFP has an expense ratio of 0.08%, 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
100% Equity - LFP ranks 60 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for 100% Equity - LFP 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 | 2.07 | 1.86 | +0.21 |
| Sortino ratioReturn per unit of downside risk | 2.86 | 2.53 | +0.33 |
| Omega ratioGain probability vs. loss probability | 1.38 | 1.34 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 3.04 | 2.53 | +0.51 |
| Martin ratioReturn relative to average drawdown | 13.06 | 11.37 | +1.69 |
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 |
|---|---|---|---|---|---|---|
ICF iShares Cohen & Steers REIT ETF | 34 | 1.07 | 1.51 | 1.19 | 1.82 | 5.18 |
MTUM iShares MSCI USA Momentum Factor ETF | 71 | 1.96 | 2.62 | 1.36 | 3.55 | 13.66 |
QUAL iShares MSCI USA Quality Factor ETF | 57 | 1.74 | 2.46 | 1.31 | 2.32 | 10.60 |
SPDW SPDR Portfolio World ex-US ETF | 59 | 1.80 | 2.51 | 1.33 | 2.58 | 9.95 |
SPEM SPDR Portfolio Emerging Markets ETF | 50 | 1.55 | 2.16 | 1.29 | 2.28 | 8.16 |
SPMD SPDR Portfolio S&P 400 Mid Cap ETF | 58 | 1.64 | 2.39 | 1.29 | 2.95 | 10.81 |
SPSM State Street SPDR Portfolio S&P 600 Small Cap ETF | 72 | 1.95 | 2.80 | 1.33 | 3.96 | 13.39 |
SPYG State Street SPDR Portfolio S&P 500 Growth ETF | 50 | 1.65 | 2.26 | 1.29 | 2.01 | 8.08 |
SPYV SPDR Portfolio S&P 500 Value ETF | 73 | 2.08 | 2.92 | 1.37 | 3.33 | 12.73 |
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Dividends
Dividend yield
100% Equity - LFP provided a 1.64% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.64% | 1.87% | 1.96% | 1.90% | 2.16% | 1.83% | 1.62% | 2.14% | 2.30% | 1.82% | 2.17% | 2.54% |
| Portfolio components: | ||||||||||||
ICF iShares Cohen & Steers REIT ETF | 2.38% | 2.88% | 2.66% | 2.76% | 2.64% | 1.82% | 2.38% | 2.55% | 3.20% | 3.10% | 4.21% | 3.30% |
MTUM iShares MSCI USA Momentum Factor ETF | 0.61% | 0.91% | 0.75% | 1.35% | 1.80% | 0.55% | 0.83% | 1.48% | 1.27% | 1.02% | 1.43% | 1.12% |
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% |
SPDW SPDR Portfolio World ex-US ETF | 2.87% | 3.30% | 3.19% | 2.75% | 3.12% | 3.04% | 1.87% | 3.13% | 3.08% | 1.86% | 3.11% | 2.78% |
SPEM SPDR Portfolio Emerging Markets ETF | 2.49% | 2.77% | 2.78% | 2.80% | 3.38% | 3.14% | 1.92% | 2.94% | 2.34% | 1.12% | 1.51% | 2.40% |
SPMD SPDR Portfolio S&P 400 Mid Cap ETF | 1.21% | 1.39% | 1.42% | 1.47% | 1.64% | 1.24% | 1.30% | 1.57% | 1.85% | 1.97% | 2.13% | 5.33% |
SPSM State Street SPDR Portfolio S&P 600 Small Cap ETF | 1.37% | 1.62% | 1.85% | 1.61% | 1.38% | 1.40% | 1.34% | 1.58% | 1.82% | 1.51% | 1.49% | 2.37% |
SPYG State Street SPDR Portfolio S&P 500 Growth ETF | 0.48% | 0.52% | 0.60% | 1.15% | 1.03% | 0.62% | 0.90% | 1.37% | 1.51% | 1.41% | 1.55% | 1.57% |
SPYV SPDR Portfolio S&P 500 Value ETF | 1.68% | 1.77% | 2.29% | 1.75% | 2.22% | 2.10% | 2.38% | 2.25% | 2.97% | 2.77% | 2.39% | 2.53% |
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 100% Equity - LFP. 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 100% Equity - LFP was 35.42%, occurring on Mar 23, 2020. Recovery took 114 trading sessions.
The current 100% Equity - LFP drawdown is 0.48%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -35.42%Mar 2020 | 1mo 9d | 5mo 13d | 6mo 22dFeb 2020 - Sep 2020 |
Bear market2022 | -25.38%Sep 2022 | 10mo 25d | 1y 4mo | 2y 3moNov 2021 - Feb 2024 |
Rate-hike selloffLate 2018 | -18.68%Dec 2018 | 10mo 29d | 4mo 10d | 1y 3moJan 2018 - May 2019 |
2016 correction2016 | -18.28%Feb 2016 | 8mo 25d | 6mo | 1y 2moMay 2015 - Aug 2016 |
2025 selloff2025 | -16.96%Apr 2025 | 1mo 18d | 1mo 29d | 3mo 17dFeb 2025 - Jun 2025 |
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 7.53, reflecting the diversification based on asset allocation. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.15 | 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.
100% Equity - LFP correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.93 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.93 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.94 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.95 |
Correlation (All Time) Calculated using the full available price history since Jul 18, 2013 | 0.95 |
Benchmark Correlations
Correlation vs. S&P 500 Index. QUAL has the highest benchmark correlation at 0.97, while ICF has the lowest at 0.53.
Asset Correlations Table
| ICF | SPEM | MTUM | SPSM | SPDW | SPMD | SPYG | SPYV | QUAL | |
|---|---|---|---|---|---|---|---|---|---|
| ICF | 1.00 | 0.37 | 0.44 | 0.50 | 0.48 | 0.53 | 0.46 | 0.57 | 0.54 |
| SPEM | 0.37 | 1.00 | 0.60 | 0.59 | 0.80 | 0.60 | 0.65 | 0.63 | 0.65 |
| MTUM | 0.44 | 0.60 | 1.00 | 0.66 | 0.69 | 0.70 | 0.88 | 0.69 | 0.84 |
| SPSM | 0.50 | 0.59 | 0.66 | 1.00 | 0.71 | 0.92 | 0.68 | 0.82 | 0.77 |
| SPDW | 0.48 | 0.80 | 0.69 | 0.71 | 1.00 | 0.73 | 0.73 | 0.77 | 0.78 |
| SPMD | 0.53 | 0.60 | 0.70 | 0.92 | 0.73 | 1.00 | 0.71 | 0.83 | 0.80 |
| SPYG | 0.46 | 0.65 | 0.88 | 0.68 | 0.73 | 0.71 | 1.00 | 0.72 | 0.92 |
| SPYV | 0.57 | 0.63 | 0.69 | 0.82 | 0.77 | 0.83 | 0.72 | 1.00 | 0.85 |
| QUAL | 0.54 | 0.65 | 0.84 | 0.77 | 0.78 | 0.80 | 0.92 | 0.85 | 1.00 |
Find what 100% Equity - LFP is missing
See which holdings overlap, where 100% Equity - LFP is concentrated, and which low-correlation assets could fill the gaps.
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