Portfolio 4

Asset Allocation

Position	Category/Sector	Target Weight
XLV State Street Health Care Select Sector SPDR ETF	Health & Biotech Equities	16.67%
RSPU Invesco S&P 500 Equal Weight Utilities ETF	Utilities Equities, S&P 500, Equal Weight	16.67%
QLD ProShares Ultra QQQ	Leveraged Equities	16.67%
SOXX iShares Semiconductor ETF	Semiconductors, Technology Equities	16.67%
QQQ Invesco QQQ ETF	Nasdaq-100	16.67%
VNQ Vanguard Real Estate ETF	REIT	16.67%

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 Portfolio 4, 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 Portfolio 4 returned 28.75% Year-To-Date and 20.87% 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 Portfolio 4	0.97%	3.86%	28.75%	29.30%	52.44%	27.64%	17.38%	20.87%
Portfolio components:
QLD ProShares Ultra QQQ	1.30%	-0.55%	32.65%	32.82%	73.89%	44.57%	23.24%	35.67%
QQQ Invesco QQQ ETF	0.59%	0.22%	17.57%	17.85%	37.55%	26.43%	16.85%	21.79%
RSPU Invesco S&P 500 Equal Weight Utilities ETF	1.00%	0.48%	6.94%	7.66%	15.11%	15.64%	10.86%	9.57%
SOXX iShares Semiconductor ETF	1.59%	12.49%	98.11%	99.51%	171.57%	53.00%	33.69%	35.55%
VNQ Vanguard Real Estate ETF	0.92%	3.35%	12.51%	12.32%	14.02%	10.14%	2.55%	5.65%
XLV State Street Health Care Select Sector SPDR ETF	-0.18%	4.90%	-0.23%	0.67%	15.00%	7.12%	6.00%	9.81%

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

Monthly Returns

Based on dividend-adjusted daily data since Nov 7, 2006, Portfolio 4's average daily return is +0.07%, while the average monthly return is +1.37%. At this rate, an investment would double in approximately 4.2 years.

Historically, 64% of months were positive and 36% were negative. The best month was Apr 2026 with a return of +16.7%, while the worst month was Oct 2008 at -20.6%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 5 months.

On a daily basis, Portfolio 4 closed higher 55% of trading days. The best single day was Oct 28, 2008 with a return of +12.8%, while the worst single day was Mar 16, 2020 at -15.0%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	3.78%	2.30%	-6.37%	16.73%	10.42%	0.49%							28.75%
2025	2.83%	-0.64%	-5.80%	-1.24%	6.27%	6.70%	1.59%	2.01%	5.40%	4.81%	0.73%	-1.48%	22.45%
2024	0.18%	5.61%	2.94%	-5.13%	6.99%	3.76%	1.18%	2.67%	2.51%	-2.92%	4.03%	-3.50%	19.04%
2023	9.37%	-2.64%	7.29%	-0.17%	3.93%	6.37%	3.78%	-3.39%	-6.27%	-3.18%	11.91%	7.52%	38.04%
2022	-9.02%	-3.50%	5.79%	-11.14%	0.41%	-9.87%	11.87%	-6.14%	-12.13%	5.00%	8.63%	-7.62%	-27.39%
2021	0.60%	0.33%	4.38%	5.58%	-0.17%	4.61%	3.64%	3.82%	-6.59%	7.74%	1.73%	5.47%	34.96%

Benchmark Metrics

Portfolio 4 has an annualized alpha of 5.58%, beta of 1.12, and R2 of 0.92 versus S&P 500 Index. Calculated based on daily prices since November 07, 2006.

This portfolio captured 139.34% of S&P 500 Index gains and 108.06% of its losses - amplifying both gains and losses, but participating more in upside than downside.
This portfolio generated an annualized alpha of 5.58% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
With beta of 1.12 and R2 of 0.92, 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: 5.58%

Beta: 1.12

R²: 0.92

Upside Capture: 139.34%

Downside Capture: 108.06%

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

Expense Ratio

Portfolio 4 has an expense ratio of 0.35%, 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.

QLD

ProShares Ultra QQQ

RSPU

Invesco S&P 500 Equal Weight Utilities ETF

SOXX

iShares Semiconductor ETF

QQQ

Invesco QQQ ETF

VNQ

Vanguard Real Estate ETF

XLV

State Street Health Care Select Sector SPDR ETF

Return for Risk

Risk / Return Rank

Portfolio 4 ranks 90 for risk / return — in the top 90% 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 Portfolio 4 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	2.92	1.86	+1.06
Sortino ratioReturn per unit of downside risk	3.74	2.53	+1.21
Omega ratioGain probability vs. loss probability	1.52	1.34	+0.18
Calmar ratioReturn relative to maximum drawdown	4.93	2.53	+2.40
Martin ratioReturn relative to average drawdown	22.11	11.37	+10.74

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
QLD ProShares Ultra QQQ	62	2.04	2.48	1.33	2.78	9.46
QQQ Invesco QQQ ETF	69	2.09	2.73	1.37	3.01	11.22
RSPU Invesco S&P 500 Equal Weight Utilities ETF	31	1.01	1.42	1.18	1.67	3.77
SOXX iShares Semiconductor ETF	96	4.43	4.37	1.62	10.50	38.20
VNQ Vanguard Real Estate ETF	31	0.96	1.39	1.17	1.56	4.90
XLV State Street Health Care Select Sector SPDR ETF	29	0.97	1.55	1.17	1.38	3.31

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.

The current Portfolio 4 Sharpe ratio is 2.92 as of Jun 13, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.53 to 2.41, 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 Portfolio 4 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

Portfolio 4 provided a 1.41% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	1.41%	1.54%	1.57%	1.70%	1.68%	1.23%	1.62%	1.70%	1.96%	1.76%	1.96%	1.98%
Portfolio components:
QLD ProShares Ultra QQQ	0.13%	0.17%	0.25%	0.33%	0.31%	0.00%	0.00%	0.13%	0.06%	0.02%	0.21%	0.11%
QQQ Invesco QQQ ETF	0.39%	0.45%	0.56%	0.62%	0.80%	0.43%	0.55%	0.74%	0.91%	0.84%	1.06%	0.99%
RSPU Invesco S&P 500 Equal Weight Utilities ETF	2.49%	2.54%	2.39%	2.92%	2.35%	2.41%	2.94%	2.54%	3.11%	3.08%	2.98%	4.14%
SOXX iShares Semiconductor ETF	0.28%	0.57%	0.67%	0.78%	1.26%	0.64%	0.81%	1.23%	1.37%	0.90%	1.08%	1.29%
VNQ Vanguard Real Estate ETF	3.54%	3.92%	3.85%	3.95%	3.91%	2.56%	3.93%	3.39%	4.74%	4.23%	4.82%	3.92%
XLV State Street Health Care Select Sector SPDR ETF	1.63%	1.60%	1.67%	1.59%	1.47%	1.33%	1.49%	2.17%	1.57%	1.47%	1.60%	1.43%

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 4. 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 4 was 59.48%, occurring on Mar 9, 2009. Recovery took 483 trading sessions.

The current Portfolio 4 drawdown is 1.35%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-59.48%Mar 2009	1y 5mo	1y 11mo	3y 3moOct 2007 - Feb 2011
COVID crash2020	-36.57%Mar 2020	1mo 2d	3mo 29d	5mo 1dFeb 2020 - Jul 2020
Bear market2022	-33.87%Oct 2022	9mo 18d	1y 2mo	1y 12moDec 2021 - Dec 2023
2025 selloff2025	-21.42%Apr 2025	1mo 17d	2mo 19d	4mo 6dFeb 2025 - Jun 2025
2011 correction2011	-19.54%Aug 2011	2mo 27d	5mo 20d	8mo 17dMay 2011 - Jan 2012

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 6.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.35	1.26	1.20	1.18	1.17

The portfolio has a diversification ratio of 1.17, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.

Portfolio 4 correlation to the S&P 500 Index

Portfolio 4 has a 0.90 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	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.95
Correlation (10Y) Calculated over the trailing 10-year period	0.94
Correlation (All Time) Calculated using the full available price history since Nov 7, 2006	0.93

Benchmark Correlations

Correlation vs. S&P 500 Index. QQQ has the highest benchmark correlation at 0.90, while RSPU has the lowest at 0.46.

0.46

0.66

0.73

0.77

0.89

0.90

Portfolio Correlations

Correlation vs. Portfolio 4. QLD has the highest portfolio correlation at 0.94, while RSPU has the lowest at 0.51.

0.51

0.70

0.72

0.85

0.94

0.94

Asset Correlations Table

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

	RSPU	VNQ	XLV	SOXX	QLD	QQQ
RSPU	1.00	0.54	0.45	0.26	0.33	0.33
VNQ	0.54	1.00	0.54	0.45	0.53	0.53
XLV	0.45	0.54	1.00	0.49	0.62	0.62
SOXX	0.26	0.45	0.49	1.00	0.83	0.83
QLD	0.33	0.53	0.62	0.83	1.00	0.99
QQQ	0.33	0.53	0.62	0.83	0.99	1.00

The correlation results are calculated based on daily price changes starting from Nov 7, 2006

Diversification Analysis

Find what Portfolio 4 is missing

See which holdings overlap, where Portfolio 4 is concentrated, and which low-correlation assets could fill the gaps.

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