Non-Reg

Asset Allocation

Position	Category/Sector	Target Weight
VBAL.TO Vanguard Balanced ETF Portfolio	Diversified Portfolio	26.59%
VDY.TO Vanguard FTSE Canadian High Dividend Yield Index ETF	Dividend	11.10%
VCN.TO Vanguard FTSE Canada All Cap Index ETF	Canada Equities	10.52%
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF	Canada Equities	9.26%
FTS.TO Fortis Inc.	Utilities	7.57%
TD.TO The Toronto-Dominion Bank	Financial Services	7.13%
CM.TO Canadian Imperial Bank of Commerce	Financial Services	6.12%
NA.TO National Bank of Canada	Financial Services	5.61%
ZST.TO BMO Ultra Short-Term Bond ETF	Canadian Government Bonds, Ultrashort Bond	5.22%
ZMMK.TO BMO Money Market Fund ETF Series	Money Market	4.08%
T.TO TELUS Corporation	Communication Services	2.77%
CRT-UN.TO CT Real Estate Investment Trust	Real Estate	2.60%
ZAG.TO BMO Aggregate Bond Index ETF	Canadian Government Bonds	1.43%

Benchmark Against

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 Non-Reg, 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	0.30%	0.09%	8.18%	8.17%	23.42%	19.88%	11.91%	13.45%
Portfolio Non-Reg	-0.17%	-0.07%	10.65%	12.33%	27.40%	17.93%	—	—
Portfolio components:
CM.TO Canadian Imperial Bank of Commerce	0.43%	-0.49%	21.72%	23.40%	64.82%	43.58%	19.52%	19.63%
CRT-UN.TO CT Real Estate Investment Trust	-0.39%	-0.65%	9.60%	14.28%	13.99%	10.81%	4.07%	6.65%
FTS.TO Fortis Inc.	-1.44%	-0.99%	7.63%	10.59%	19.94%	12.96%	7.63%	9.35%
NA.TO National Bank of Canada	-0.25%	-3.66%	17.11%	19.67%	54.35%	31.44%	18.37%	19.83%
T.TO TELUS Corporation	-1.32%	-4.62%	-5.59%	-4.76%	-19.10%	-7.71%	-6.36%	11.79%
TD.TO The Toronto-Dominion Bank	0.82%	6.31%	23.04%	31.64%	68.16%	30.33%	14.50%	14.53%
VBAL.TO Vanguard Balanced ETF Portfolio	-0.17%	-1.28%	4.80%	4.92%	14.19%	11.87%	4.58%	—
VCN.TO Vanguard FTSE Canada All Cap Index ETF	-0.13%	-0.79%	7.43%	10.56%	29.94%	21.79%	11.63%	11.53%
VDY.TO Vanguard FTSE Canadian High Dividend Yield Index ETF	0.09%	3.22%	19.43%	21.26%	44.62%	24.93%	14.29%	13.22%
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF	-0.16%	1.93%	20.34%	18.00%	35.82%	18.99%	11.33%	10.85%

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

Monthly Returns

Based on dividend-adjusted daily data since Dec 3, 2021, Non-Reg's average daily return is +0.04%, while the average monthly return is +0.89%. At this rate, an investment would double in approximately 6.5 years.

Historically, 64% of months were positive and 36% were negative. The best month was Nov 2023 with a return of +7.6%, while the worst month was Jun 2022 at -8.6%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.

On a daily basis, Non-Reg closed higher 56% of trading days. The best single day was Apr 9, 2025 with a return of +3.0%, while the worst single day was Jun 13, 2022 at -2.7%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	2.50%	4.17%	-3.77%	7.22%	1.18%	-0.74%							10.65%
2025	1.68%	0.62%	-0.19%	4.21%	4.52%	2.98%	0.69%	3.44%	2.59%	0.88%	2.21%	2.84%	29.78%
2024	-1.59%	-0.02%	2.88%	-2.14%	1.79%	-1.36%	4.38%	4.87%	3.22%	-3.04%	3.05%	-5.00%	6.69%
2023	7.09%	-2.50%	-0.66%	1.88%	-3.67%	4.97%	1.62%	-4.47%	-2.13%	-4.18%	7.63%	7.14%	12.19%
2022	1.24%	0.04%	3.13%	-5.91%	2.36%	-8.60%	3.66%	-4.01%	-7.53%	4.02%	3.84%	-3.43%	-11.75%
2021												3.46%	3.46%

Benchmark Metrics

Non-Reg has an annualized alpha of 5.23%, beta of 0.38, and R2 of 0.37 versus S&P 500 Index. Calculated based on daily prices since December 03, 2021.

This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (60.24%) than losses (58.66%) - typical of diversified or defensive assets.
Beta of 0.38 may look defensive, but with R2 of 0.37 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
R2 of 0.37 means the benchmark explains less than half of this portfolio's behavior - treat beta with caution or consider switching to a more representative benchmark.

Alpha: 5.23%

Beta: 0.38

R²: 0.37

Upside Capture: 60.24%

Downside Capture: 58.66%

Expense Ratio

Non-Reg has an expense ratio of 0.13%, 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.

VBAL.TO

Vanguard Balanced ETF Portfolio

VDY.TO

Vanguard FTSE Canadian High Dividend Yield Index ETF

XEI.TO

iShares S&P/TSX Composite High Dividend Index ETF

ZST.TO

BMO Ultra Short-Term Bond ETF

ZMMK.TO

BMO Money Market Fund ETF Series

ZAG.TO

BMO Aggregate Bond Index ETF

VCN.TO

Vanguard FTSE Canada All Cap Index ETF

Return for Risk

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Non-Reg and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	3.39	1.94	+1.46
Sortino ratioReturn per unit of downside risk	4.81	2.63	+2.18
Omega ratioGain probability vs. loss probability	1.63	1.35	+0.27
Calmar ratioReturn relative to maximum drawdown	5.18	2.59	+2.59
Martin ratioReturn relative to average drawdown	23.07	11.84	+11.22
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.

Position	Risk / Return Rank	Sharpe ratio	Sortino ratio	Omega ratio	Calmar ratio	Martin ratio
CM.TO Canadian Imperial Bank of Commerce	96	3.66	4.43	1.63	6.16	24.45
CRT-UN.TO CT Real Estate Investment Trust	73	1.06	1.60	1.19	2.03	5.72
FTS.TO Fortis Inc.	82	1.49	2.12	1.26	3.31	8.19
NA.TO National Bank of Canada	95	3.27	4.41	1.59	5.61	19.09
T.TO TELUS Corporation	8	-1.09	-1.36	0.82	-0.78	-1.41
TD.TO The Toronto-Dominion Bank	98	4.42	5.41	1.74	9.37	37.39
VBAL.TO Vanguard Balanced ETF Portfolio	50	1.52	2.19	1.28	2.04	8.75
VCN.TO Vanguard FTSE Canada All Cap Index ETF	75	2.21	2.89	1.40	3.15	13.77
VDY.TO Vanguard FTSE Canadian High Dividend Yield Index ETF	98	4.83	6.68	1.91	12.48	43.23
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF	96	4.07	5.58	1.75	7.88	31.74

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.

Non-Reg Sharpe ratios as of Jun 6, 2026 (values are recalculated daily):

1-Year: 3.39
All Time: 0.96

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.63 to 2.51, 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 Non-Reg 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

Non-Reg provided a 2.85% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.85%	3.21%	3.88%	3.95%	3.69%	3.06%	3.66%	3.76%	3.94%	2.84%	2.90%	3.31%
Portfolio components:
CM.TO Canadian Imperial Bank of Commerce	2.67%	3.20%	4.04%	5.47%	7.52%	8.13%	10.74%	10.51%	10.58%	8.39%	8.84%	9.69%
CRT-UN.TO CT Real Estate Investment Trust	5.35%	5.77%	6.40%	6.04%	5.48%	4.76%	5.08%	4.71%	6.34%	4.84%	4.54%	5.11%
FTS.TO Fortis Inc.	3.30%	3.48%	3.99%	4.19%	4.01%	3.36%	3.73%	3.39%	3.79%	3.52%	3.68%	3.73%
NA.TO National Bank of Canada	2.37%	2.75%	3.36%	4.03%	4.03%	3.11%	3.96%	3.77%	4.44%	3.70%	4.03%	5.16%
T.TO TELUS Corporation	9.82%	9.14%	7.99%	6.17%	5.19%	4.27%	4.70%	8.96%	9.28%	8.27%	8.61%	8.78%
TD.TO The Toronto-Dominion Bank	2.67%	3.25%	5.33%	4.48%	4.06%	3.26%	4.32%	3.97%	3.85%	3.19%	3.26%	3.69%
VBAL.TO Vanguard Balanced ETF Portfolio	2.09%	2.23%	2.30%	2.37%	2.21%	1.95%	1.82%	2.25%	2.04%	0.00%	0.00%	0.00%
VCN.TO Vanguard FTSE Canada All Cap Index ETF	2.02%	2.27%	2.71%	3.00%	3.17%	2.49%	2.72%	2.88%	2.83%	2.29%	2.36%	2.68%
VDY.TO Vanguard FTSE Canadian High Dividend Yield Index ETF	2.88%	3.59%	4.37%	4.64%	4.42%	3.46%	4.59%	4.25%	4.44%	3.42%	3.25%	4.11%
XEI.TO iShares S&P/TSX Composite High Dividend Index ETF	3.58%	4.47%	5.45%	4.97%	4.68%	3.58%	5.03%	4.62%	5.42%	4.29%	4.41%	5.64%

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 Non-Reg. 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 Non-Reg was 21.91%, occurring on Oct 12, 2022. Recovery took 468 trading sessions.

The current Non-Reg drawdown is 1.30%.

Related event	Drawdown	Fall	Recovery	Underwater
Bear market2022	-21.91%Oct 2022	6mo 15d	1y 10mo	2y 4moMar 2022 - Aug 2024
2025 selloff2025	-9.09%Apr 2025	6mo 10d	21d	7mo 1dSep 2024 - Apr 2025
2026 pullback2026	-5.31%Mar 2026	1mo 1d	15d	1mo 16dFeb 2026 - Apr 2026
Bear market2022	-3.82%Feb 2022	1mo 7d	25d	2mo 2dJan 2022 - Mar 2022
2025 pullback2025	-2.48%Aug 2025	4d	12d	16dJul 2025 - Aug 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 13 assets, with an effective number of assets of 7.91, 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	1.39	1.30	1.25

The portfolio has a diversification ratio of 1.25, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Non-Reg correlation to the S&P 500 Index

Non-Reg has a 0.52 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	0.52
Correlation (3Y) Calculated over the trailing 3-year period	0.55
Correlation (All Time) Calculated using the full available price history since Dec 3, 2021	0.58

Benchmark Correlations

Correlation vs. S&P 500 Index. VBAL.TO has the highest benchmark correlation at 0.69, while ZMMK.TO has the lowest at 0.04.

0.04

0.05

0.06

0.13

0.20

0.37

0.44

0.46

0.47

0.50

0.52

0.67

0.69

Portfolio Correlations

Correlation vs. Non-Reg. VDY.TO has the highest portfolio correlation at 0.93, while FTS.TO has the lowest at 0.50.

0.50

0.53

0.54

0.56

0.56

0.64

0.74

0.76

0.77

0.88

0.91

0.92

0.93

Asset Correlations Table

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

	FTS.TO	T.TO	ZAG.TO	ZMMK.TO	ZST.TO	CRT-UN.TO	NA.TO	TD.TO	CM.TO	VBAL.TO	XEI.TO	VCN.TO	VDY.TO
FTS.TO	1.00	0.47	0.46	0.40	0.40	0.40	0.26	0.24	0.26	0.35	0.48	0.34	0.41
T.TO	0.47	1.00	0.38	0.37	0.37	0.45	0.34	0.32	0.32	0.43	0.50	0.42	0.45
ZAG.TO	0.46	0.38	1.00	0.66	0.68	0.38	0.30	0.29	0.30	0.63	0.41	0.41	0.38
ZMMK.TO	0.40	0.37	0.66	1.00	0.99	0.32	0.36	0.35	0.35	0.56	0.48	0.42	0.47
ZST.TO	0.40	0.37	0.68	0.99	1.00	0.33	0.36	0.35	0.35	0.57	0.48	0.43	0.47
CRT-UN.TO	0.40	0.45	0.38	0.32	0.33	1.00	0.49	0.42	0.48	0.54	0.59	0.57	0.56
NA.TO	0.26	0.34	0.30	0.36	0.36	0.49	1.00	0.58	0.63	0.61	0.63	0.67	0.68
TD.TO	0.24	0.32	0.29	0.35	0.35	0.42	0.58	1.00	0.64	0.60	0.66	0.70	0.76
CM.TO	0.26	0.32	0.30	0.35	0.35	0.48	0.63	0.64	1.00	0.62	0.67	0.70	0.76
VBAL.TO	0.35	0.43	0.63	0.56	0.57	0.54	0.61	0.60	0.62	1.00	0.72	0.86	0.74
XEI.TO	0.48	0.50	0.41	0.48	0.48	0.59	0.63	0.66	0.67	0.72	1.00	0.85	0.96
VCN.TO	0.34	0.42	0.41	0.42	0.43	0.57	0.67	0.70	0.70	0.86	0.85	1.00	0.89
VDY.TO	0.41	0.45	0.38	0.47	0.47	0.56	0.68	0.76	0.76	0.74	0.96	0.89	1.00

The correlation results are calculated based on daily price changes starting from Dec 3, 2021

Diversification Analysis

Find what Non-Reg is missing

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

Analyze Diversification