Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Income 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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The earliest data available for this chart is Jun 17, 2016, corresponding to the inception date of FALN
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio Income Portfolio | -0.05% | 0.20% | -0.46% | 0.64% | 5.38% | 7.87% | 4.51% | — |
| Portfolio components: | ||||||||
SPHY SPDR Portfolio High Yield Bond ETF | 0.22% | -0.22% | 0.15% | 1.27% | 7.25% | 8.56% | 4.41% | 5.33% |
SHYG iShares 0-5 Year High Yield Corporate Bond ETF | 0.19% | 0.10% | 0.17% | 1.34% | 6.67% | 7.81% | 4.80% | 5.42% |
SJNK SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 0.20% | 0.13% | 0.18% | 1.22% | 6.64% | 7.98% | 4.80% | 5.89% |
ANGL VanEck Vectors Fallen Angel High Yield Bond ETF | 0.28% | -1.14% | -0.28% | 0.34% | 6.53% | 7.48% | 3.37% | 6.74% |
FALN iShares Fallen Angels USD Bond ETF | 0.20% | -1.11% | -0.29% | -0.10% | 6.72% | 8.63% | 3.75% | — |
FTSL First Trust Senior Loan Fund | -0.06% | 1.09% | -0.75% | 0.92% | 4.80% | 7.05% | 4.88% | 4.49% |
BKLN Invesco Senior Loan ETF | 0.15% | 1.71% | -0.94% | 1.09% | 5.87% | 7.64% | 5.10% | 4.48% |
SRLN SPDR Blackstone Senior Loan ETF | 0.15% | 1.61% | -1.24% | 0.52% | 5.73% | 7.52% | 4.53% | 4.54% |
VVR Invesco Senior Income Trust | -2.85% | 1.59% | -2.70% | -3.15% | -6.75% | 6.27% | 5.21% | 6.44% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 0.24% | -0.22% | 0.13% | 1.21% | 6.94% | 8.10% | 3.71% | 5.21% |
Monthly Returns
Based on dividend-adjusted daily data since Jun 20, 2016, Income Portfolio's average daily return is +0.02%, while the average monthly return is +0.45%. At this rate, your investment would double in approximately 12.9 years.
Historically, 65% of months were positive and 35% were negative. The best month was Apr 2020 with a return of +5.5%, while the worst month was Mar 2020 at -12.0%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 6 months.
On a daily basis, Income Portfolio closed higher 57% of trading days. The best single day was Apr 9, 2020 with a return of +4.5%, while the worst single day was Mar 18, 2020 at -7.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.47% | -0.81% | -0.24% | 0.12% | -0.46% | ||||||||
| 2025 | 1.31% | 0.90% | -1.73% | -0.38% | 1.87% | 1.81% | 0.30% | 0.79% | 0.60% | -0.20% | 0.80% | 0.44% | 6.66% |
| 2024 | 0.41% | 0.63% | 1.30% | -0.59% | 1.06% | 0.51% | 1.67% | 1.31% | 0.80% | -0.54% | 1.65% | -0.31% | 8.14% |
| 2023 | 3.47% | -0.96% | 0.68% | 0.44% | -0.72% | 2.49% | 1.09% | 0.60% | -0.72% | -0.48% | 3.71% | 2.73% | 12.89% |
| 2022 | -1.61% | -0.84% | -0.67% | -2.87% | -0.03% | -5.19% | 4.66% | -1.88% | -3.21% | 2.61% | 2.83% | -0.90% | -7.27% |
| 2021 | 0.39% | 0.38% | 0.71% | 0.74% | 0.31% | 1.46% | -0.23% | 0.81% | 0.13% | 0.18% | -1.11% | 1.66% | 5.53% |
Benchmark Metrics
Income Portfolio has an annualized alpha of 1.36%, beta of 0.30, and R² of 0.60 versus S&P 500 Index. Calculated based on daily prices since June 20, 2016.
- This portfolio participated in 33.08% of S&P 500 Index downside but only 30.55% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.30 indicates this portfolio moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 1.36%
- Beta
- 0.30
- R²
- 0.60
- Upside Capture
- 30.55%
- Downside Capture
- 33.08%
Expense Ratio
Income Portfolio has an expense ratio of 0.40%, 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
Return for Risk
Risk / Return Rank
Income Portfolio ranks 31 for risk / return — below 31% 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
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.98 | 0.88 | +0.10 |
Sortino ratioReturn per unit of downside risk | 1.42 | 1.37 | +0.05 |
Omega ratioGain probability vs. loss probability | 1.24 | 1.21 | +0.04 |
Calmar ratioReturn relative to maximum drawdown | 1.29 | 1.39 | -0.10 |
Martin ratioReturn relative to average drawdown | 6.43 | 6.43 | -0.01 |
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.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
SPHY SPDR Portfolio High Yield Bond ETF | 72 | 1.33 | 1.96 | 1.31 | 1.82 | 9.48 |
SHYG iShares 0-5 Year High Yield Corporate Bond ETF | 73 | 1.29 | 1.93 | 1.33 | 1.82 | 10.28 |
SJNK SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 72 | 1.28 | 1.89 | 1.32 | 1.78 | 10.12 |
ANGL VanEck Vectors Fallen Angel High Yield Bond ETF | 50 | 1.00 | 1.40 | 1.24 | 1.29 | 5.29 |
FALN iShares Fallen Angels USD Bond ETF | 49 | 0.98 | 1.39 | 1.23 | 1.26 | 5.38 |
FTSL First Trust Senior Loan Fund | 75 | 1.55 | 2.04 | 1.42 | 2.04 | 7.29 |
BKLN Invesco Senior Loan ETF | 73 | 1.38 | 2.16 | 1.39 | 1.91 | 7.15 |
SRLN SPDR Blackstone Senior Loan ETF | 68 | 1.33 | 1.94 | 1.35 | 1.74 | 6.10 |
VVR Invesco Senior Income Trust | 22 | -0.37 | -0.39 | 0.95 | -0.51 | -0.90 |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 70 | 1.25 | 1.88 | 1.29 | 1.82 | 9.56 |
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Dividends
Dividend yield
Income Portfolio provided a 7.36% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 7.36% | 7.22% | 7.48% | 6.98% | 5.77% | 4.28% | 4.89% | 5.28% | 5.42% | 5.02% | 4.94% | 5.01% |
| Portfolio components: | ||||||||||||
SPHY SPDR Portfolio High Yield Bond ETF | 7.36% | 7.38% | 7.80% | 7.30% | 6.47% | 5.13% | 5.63% | 5.73% | 4.09% | 4.41% | 4.27% | 4.29% |
SHYG iShares 0-5 Year High Yield Corporate Bond ETF | 7.07% | 7.03% | 6.93% | 6.54% | 5.57% | 4.83% | 5.07% | 5.33% | 5.90% | 5.49% | 5.53% | 5.17% |
SJNK SPDR Bloomberg Barclays Short Term High Yield Bond ETF | 7.12% | 7.12% | 7.47% | 7.20% | 5.85% | 4.21% | 5.34% | 5.64% | 5.69% | 5.64% | 5.65% | 5.81% |
ANGL VanEck Vectors Fallen Angel High Yield Bond ETF | 6.41% | 6.20% | 6.29% | 5.27% | 4.72% | 3.90% | 4.67% | 5.19% | 5.99% | 5.25% | 5.34% | 5.81% |
FALN iShares Fallen Angels USD Bond ETF | 6.50% | 6.31% | 6.24% | 5.37% | 5.08% | 3.40% | 5.14% | 5.35% | 5.97% | 6.98% | 3.55% | 0.00% |
FTSL First Trust Senior Loan Fund | 6.58% | 6.59% | 7.56% | 7.59% | 4.77% | 3.17% | 3.48% | 4.44% | 4.29% | 3.64% | 3.70% | 3.95% |
BKLN Invesco Senior Loan ETF | 7.03% | 6.95% | 8.41% | 8.59% | 4.93% | 3.11% | 3.56% | 4.86% | 4.52% | 3.50% | 4.54% | 4.12% |
SRLN SPDR Blackstone Senior Loan ETF | 7.69% | 7.67% | 8.58% | 8.44% | 5.72% | 4.45% | 4.91% | 5.39% | 4.98% | 4.01% | 3.94% | 4.43% |
VVR Invesco Senior Income Trust | 14.85% | 13.94% | 13.06% | 11.54% | 11.46% | 7.22% | 6.71% | 6.22% | 6.68% | 5.95% | 6.41% | 7.97% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 5.87% | 5.71% | 6.01% | 5.74% | 5.30% | 4.02% | 4.88% | 4.99% | 5.54% | 5.12% | 5.27% | 5.90% |
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 Income 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 Income Portfolio was 24.35%, occurring on Mar 23, 2020. Recovery took 161 trading sessions.
The current Income Portfolio drawdown is 1.17%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -24.35% | Feb 18, 2020 | 25 | Mar 23, 2020 | 161 | Nov 9, 2020 | 186 |
| -11.57% | Dec 28, 2021 | 189 | Sep 27, 2022 | 278 | Nov 3, 2023 | 467 |
| -6.22% | Oct 2, 2018 | 58 | Dec 24, 2018 | 36 | Feb 15, 2019 | 94 |
| -5.7% | Mar 3, 2025 | 27 | Apr 8, 2025 | 39 | Jun 4, 2025 | 66 |
| -2.68% | Oct 25, 2016 | 14 | Nov 11, 2016 | 17 | Dec 7, 2016 | 31 |
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 13.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.
Asset Correlations Table
| Benchmark | VVR | FTSL | HYHG | SRLN | BKLN | SPHY | FALN | ANGL | IFLN | SJNK | SHYG | HYG | JNK | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.36 | 0.43 | 0.56 | 0.55 | 0.56 | 0.59 | 0.63 | 0.64 | 0.65 | 0.71 | 0.72 | 0.73 | 0.72 | 0.74 |
| VVR | 0.36 | 1.00 | 0.27 | 0.28 | 0.31 | 0.33 | 0.27 | 0.28 | 0.31 | 0.32 | 0.34 | 0.33 | 0.33 | 0.33 | 0.53 |
| FTSL | 0.43 | 0.27 | 1.00 | 0.35 | 0.57 | 0.53 | 0.41 | 0.41 | 0.42 | 0.43 | 0.47 | 0.47 | 0.46 | 0.47 | 0.54 |
| HYHG | 0.56 | 0.28 | 0.35 | 1.00 | 0.45 | 0.45 | 0.46 | 0.51 | 0.52 | 0.52 | 0.58 | 0.58 | 0.58 | 0.59 | 0.66 |
| SRLN | 0.55 | 0.31 | 0.57 | 0.45 | 1.00 | 0.72 | 0.47 | 0.49 | 0.51 | 0.51 | 0.57 | 0.55 | 0.55 | 0.56 | 0.63 |
| BKLN | 0.56 | 0.33 | 0.53 | 0.45 | 0.72 | 1.00 | 0.49 | 0.51 | 0.53 | 0.54 | 0.59 | 0.58 | 0.58 | 0.59 | 0.66 |
| SPHY | 0.59 | 0.27 | 0.41 | 0.46 | 0.47 | 0.49 | 1.00 | 0.70 | 0.72 | 0.74 | 0.76 | 0.77 | 0.78 | 0.78 | 0.79 |
| FALN | 0.63 | 0.28 | 0.41 | 0.51 | 0.49 | 0.51 | 0.70 | 1.00 | 0.84 | 0.81 | 0.82 | 0.82 | 0.84 | 0.84 | 0.84 |
| ANGL | 0.64 | 0.31 | 0.42 | 0.52 | 0.51 | 0.53 | 0.72 | 0.84 | 1.00 | 0.84 | 0.85 | 0.85 | 0.88 | 0.88 | 0.87 |
| IFLN | 0.65 | 0.32 | 0.43 | 0.52 | 0.51 | 0.54 | 0.74 | 0.81 | 0.84 | 1.00 | 0.87 | 0.88 | 0.90 | 0.90 | 0.87 |
| SJNK | 0.71 | 0.34 | 0.47 | 0.58 | 0.57 | 0.59 | 0.76 | 0.82 | 0.85 | 0.87 | 1.00 | 0.95 | 0.95 | 0.95 | 0.92 |
| SHYG | 0.72 | 0.33 | 0.47 | 0.58 | 0.55 | 0.58 | 0.77 | 0.82 | 0.85 | 0.88 | 0.95 | 1.00 | 0.95 | 0.95 | 0.92 |
| HYG | 0.73 | 0.33 | 0.46 | 0.58 | 0.55 | 0.58 | 0.78 | 0.84 | 0.88 | 0.90 | 0.95 | 0.95 | 1.00 | 0.98 | 0.93 |
| JNK | 0.72 | 0.33 | 0.47 | 0.59 | 0.56 | 0.59 | 0.78 | 0.84 | 0.88 | 0.90 | 0.95 | 0.95 | 0.98 | 1.00 | 0.93 |
| Portfolio | 0.74 | 0.53 | 0.54 | 0.66 | 0.63 | 0.66 | 0.79 | 0.84 | 0.87 | 0.87 | 0.92 | 0.92 | 0.93 | 0.93 | 1.00 |