Asset Allocation
Find the right asset allocation for Doug Browne Permanent20260116
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 Doug Browne Permanent20260116, 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 Doug Browne Permanent20260116 | 1.01% | -1.04% | 10.66% | 11.22% | 28.34% | 19.84% | 11.39% | — |
| Portfolio components: | ||||||||
IAU iShares Gold Trust | 0.20% | -8.43% | 0.26% | 3.08% | 30.27% | 29.88% | 17.71% | 12.71% |
QQQM Invesco NASDAQ 100 ETF | 1.54% | 0.68% | 16.72% | 15.00% | 35.86% | 27.25% | 17.06% | — |
SHY iShares 1-3 Year Treasury Bond ETF | 0.05% | -0.19% | 0.34% | 0.74% | 3.33% | 4.04% | 1.70% | 1.63% |
SMH VanEck Semiconductor ETF | 5.00% | 5.58% | 66.10% | 62.81% | 137.42% | 60.43% | 37.89% | 36.92% |
TLT iShares 20+ Year Treasury Bond ETF | -0.52% | -1.31% | -1.08% | -1.51% | 3.67% | -2.05% | -6.70% | -1.85% |
VTI Vanguard Total Stock Market ETF | 0.30% | 0.44% | 9.05% | 8.94% | 24.96% | 21.05% | 12.25% | 14.84% |
VXUS Vanguard Total International Stock ETF | 0.86% | -1.98% | 11.12% | 13.49% | 27.05% | 17.97% | 7.95% | 9.68% |
Monthly Returns
Based on dividend-adjusted daily data since Oct 14, 2020, Doug Browne Permanent20260116's average daily return is +0.05%, while the average monthly return is +0.94%. At this rate, an investment would double in approximately 6.2 years.
Historically, 68% of months were positive and 32% were negative. The best month was Nov 2022 with a return of +7.0%, while the worst month was Sep 2022 at -6.2%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 3 months.
On a daily basis, Doug Browne Permanent20260116 closed higher 54% of trading days. The best single day was Apr 9, 2025 with a return of +5.1%, while the worst single day was Jun 5, 2026 at -3.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.57% | 2.77% | -5.36% | 6.41% | 4.18% | -1.86% | 10.66% | ||||||
| 2025 | 2.44% | 0.47% | -0.14% | 1.55% | 2.93% | 3.84% | 0.48% | 2.07% | 5.32% | 2.95% | 0.82% | 0.75% | 26.01% |
| 2024 | 0.34% | 2.58% | 3.36% | -1.74% | 3.50% | 2.02% | 1.54% | 1.36% | 2.31% | -0.64% | 0.85% | -1.33% | 14.92% |
| 2023 | 6.46% | -2.40% | 5.17% | 0.03% | 1.37% | 1.82% | 1.99% | -1.52% | -3.81% | -0.20% | 6.08% | 4.07% | 20.08% |
| 2022 | -3.77% | -0.22% | 0.06% | -5.87% | -0.15% | -4.66% | 4.05% | -3.68% | -6.20% | 0.78% | 7.04% | -2.50% | -14.90% |
| 2021 | -0.60% | -0.57% | 0.11% | 2.33% | 2.05% | 0.25% | 1.31% | 1.08% | -2.90% | 2.87% | 0.93% | 1.45% | 8.49% |
Benchmark Metrics
Doug Browne Permanent20260116 has an annualized alpha of 4.09%, beta of 0.51, and R2 of 0.68 versus S&P 500 Index. Calculated based on daily prices since October 14, 2020.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (58.13%) than losses (54.67%) - typical of diversified or defensive assets.
- This portfolio generated an annualized alpha of 4.09% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.51 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
- 4.09%
- Beta
- 0.51
- R²
- 0.68
- Upside Capture
- 58.13%
- Downside Capture
- 54.67%
Expense Ratio
Doug Browne Permanent20260116 has an expense ratio of 0.17%, 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
Doug Browne Permanent20260116 ranks 61 for risk / return — better than 61% of Portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Doug Browne Permanent20260116 and compares them with S&P 500 Index.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.55 | 1.94 | +0.61 |
| Sortino ratioReturn per unit of downside risk | 3.28 | 2.63 | +0.66 |
| Omega ratioGain probability vs. loss probability | 1.50 | 1.35 | +0.15 |
| Calmar ratioReturn relative to maximum drawdown | 3.63 | 2.59 | +1.04 |
| Martin ratioReturn relative to average drawdown | 14.99 | 11.84 | +3.14 |
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 |
|---|---|---|---|---|---|---|
IAU iShares Gold Trust | 33 | 1.14 | 1.52 | 1.23 | 1.52 | 3.80 |
QQQM Invesco NASDAQ 100 ETF | 69 | 2.16 | 2.78 | 1.38 | 3.01 | 11.44 |
SHY iShares 1-3 Year Treasury Bond ETF | 86 | 2.51 | 4.11 | 1.51 | 3.76 | 15.12 |
SMH VanEck Semiconductor ETF | 96 | 4.27 | 4.33 | 1.62 | 9.26 | 34.80 |
TLT iShares 20+ Year Treasury Bond ETF | 15 | 0.38 | 0.62 | 1.07 | 0.49 | 1.19 |
VTI Vanguard Total Stock Market ETF | 68 | 2.02 | 2.73 | 1.36 | 2.81 | 12.85 |
VXUS Vanguard Total International Stock ETF | 56 | 1.73 | 2.36 | 1.32 | 2.41 | 9.34 |
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Dividends
Dividend yield
Doug Browne Permanent20260116 provided a 2.01% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.01% | 2.10% | 2.17% | 1.83% | 1.33% | 0.75% | 0.87% | 1.50% | 1.49% | 1.12% | 1.04% | 1.12% |
| Portfolio components: | ||||||||||||
IAU iShares Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QQQM Invesco NASDAQ 100 ETF | 0.43% | 0.50% | 0.61% | 0.65% | 0.83% | 0.40% | 0.16% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.69% | 3.81% | 3.92% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% |
SMH VanEck Semiconductor ETF | 0.18% | 0.31% | 0.44% | 0.60% | 1.18% | 0.51% | 0.69% | 1.50% | 1.88% | 1.43% | 0.80% | 2.14% |
TLT iShares 20+ Year Treasury Bond ETF | 4.63% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
VTI Vanguard Total Stock Market ETF | 1.03% | 1.12% | 1.27% | 1.44% | 1.66% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% |
VXUS Vanguard Total International Stock ETF | 2.73% | 3.18% | 3.37% | 3.24% | 3.09% | 3.10% | 2.14% | 3.06% | 3.18% | 2.73% | 2.93% | 2.83% |
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 Doug Browne Permanent20260116. 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 Doug Browne Permanent20260116 was 20.80%, occurring on Oct 14, 2022. Recovery took 293 trading sessions.
The current Doug Browne Permanent20260116 drawdown is 3.68%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Bear market2022 | -20.80%Oct 2022 | 10mo 29d | 1y 2mo | 2y 25dNov 2021 - Dec 2023 |
2025 selloff2025 | -7.87%Apr 2025 | 1mo 16d | 27d | 2mo 13dFeb 2025 - May 2025 |
2026 pullback2026 | -7.85%Mar 2026 | 1mo 29d | 18d | 2mo 17dJan 2026 - Apr 2026 |
2021 pullback2021 | -5.77%Mar 2021 | 20d | 2mo | 2mo 20dFeb 2021 - May 2021 |
2024 pullback2024 | -5.29%Aug 2024 | 21d | 14d | 1mo 5dJul 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 7 assets, with an effective number of assets of 5.56, 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 | All Time | |
|---|---|---|---|---|
Diversification Ratio | 1.36 | 1.43 | 1.43 | 1.43 |
The portfolio has a diversification ratio of 1.43, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Doug Browne Permanent20260116 correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.77 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.79 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.81 |
Correlation (All Time) Calculated using the full available price history since Oct 14, 2020 | 0.80 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VTI has the highest benchmark correlation at 0.99, while TLT has the lowest at 0.07.
Asset Correlations Table
Find what Doug Browne Permanent20260116 is missing
See which holdings overlap, where Doug Browne Permanent20260116 is concentrated, and which low-correlation assets could fill the gaps.
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