My Portfolio - Recession (2024)

Asset Allocation

Position	Category/Sector	Target Weight
IGLB iShares 10+ Year Investment Grade Corporate Bond ETF	Corporate Bonds	54%
CNYA iShares MSCI China A ETF	China Equities	20%
MCHI iShares MSCI China ETF	China Equities	20%
FLOT iShares Floating Rate Bond ETF	Ultrashort Bond, Corporate Bonds	6%

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 My Portfolio - Recession (2024), 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 My Portfolio - Recession (2024)	-0.54%	-2.76%	-1.11%	-1.23%	10.06%	6.75%	-1.93%	—
Portfolio components:
CNYA iShares MSCI China A ETF	-0.99%	-4.23%	4.11%	6.49%	30.18%	9.91%	-1.67%	—
FLOT iShares Floating Rate Bond ETF	0.00%	0.41%	1.87%	2.15%	4.85%	5.60%	4.20%	3.03%
IGLB iShares 10+ Year Investment Grade Corporate Bond ETF	-0.28%	-0.68%	0.07%	-0.21%	6.90%	4.37%	-2.01%	2.07%
MCHI iShares MSCI China ETF	-0.94%	-7.53%	-10.22%	-12.26%	0.38%	8.32%	-6.07%	4.43%

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

Monthly Returns

Based on dividend-adjusted daily data since Jun 16, 2016, My Portfolio - Recession (2024)'s average daily return is +0.02%, while the average monthly return is +0.37%. At this rate, an investment would double in approximately 15.6 years.

Historically, 59% of months were positive and 41% were negative. The best month was Nov 2022 with a return of +14.5%, while the worst month was Sep 2022 at -9.1%. The longest winning streak lasted 13 consecutive months, and the longest losing streak was 6 months.

On a daily basis, My Portfolio - Recession (2024) closed higher 53% of trading days. The best single day was Mar 13, 2020 with a return of +6.3%, while the worst single day was Mar 12, 2020 at -7.3%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	1.35%	0.51%	-3.66%	2.33%	0.33%	-1.85%							-1.11%
2025	0.64%	4.54%	-0.39%	-2.52%	0.89%	3.51%	1.45%	4.48%	3.80%	-0.59%	-0.17%	-0.50%	15.89%
2024	-3.94%	1.54%	1.44%	-1.02%	2.45%	-1.28%	1.60%	1.02%	9.86%	-3.66%	0.46%	-2.62%	5.25%
2023	8.72%	-6.21%	3.21%	-0.64%	-4.93%	1.40%	3.52%	-4.78%	-3.88%	-3.66%	6.45%	3.19%	1.09%
2022	-4.25%	-2.71%	-5.85%	-8.22%	2.28%	1.20%	-0.82%	-3.77%	-9.12%	-6.43%	14.46%	-0.80%	-23.22%
2021	0.90%	-2.02%	-3.82%	1.60%	1.64%	1.84%	-2.59%	-0.10%	-1.98%	1.83%	-0.98%	-0.66%	-4.47%

Benchmark Metrics

My Portfolio - Recession (2024) has an annualized alpha of -0.84%, beta of 0.37, and R2 of 0.28 versus S&P 500 Index. Calculated based on daily prices since June 16, 2016.

This portfolio participated in 59.16% of S&P 500 Index downside but only 37.50% of its upside - more exposed to losses than it benefited from rallies.
Beta of 0.37 may look defensive, but with R2 of 0.28 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 0.28 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

Alpha: -0.84%

Beta: 0.37

R²: 0.28

Upside Capture: 37.50%

Downside Capture: 59.16%

Expense Ratio

My Portfolio - Recession (2024) has an expense ratio of 0.28%, 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.

CNYA

iShares MSCI China A ETF

MCHI

iShares MSCI China ETF

FLOT

iShares Floating Rate Bond ETF

IGLB

iShares 10+ Year Investment Grade Corporate Bond ETF

Return for Risk

Risk / Return Rank

My Portfolio - Recession (2024) ranks 15 for risk / return — in the bottom 15% of Portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

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 My Portfolio - Recession (2024) and compares them with S&P 500 Index.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	1.09	1.94	-0.85
Sortino ratioReturn per unit of downside risk	1.60	2.63	-1.03
Omega ratioGain probability vs. loss probability	1.20	1.35	-0.15
Calmar ratioReturn relative to maximum drawdown	1.62	2.59	-0.96
Martin ratioReturn relative to average drawdown	4.77	11.84	-7.07
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
CNYA iShares MSCI China A ETF	64	1.71	2.39	1.31	3.99	11.48
FLOT iShares Floating Rate Bond ETF	99	6.54	11.79	3.22	11.27	104.83
IGLB iShares 10+ Year Investment Grade Corporate Bond ETF	27	0.89	1.30	1.16	1.34	3.33
MCHI iShares MSCI China ETF	9	0.02	0.17	1.02	0.02	0.04

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.

My Portfolio - Recession (2024) Sharpe ratios as of Jun 9, 2026 (values are recalculated daily):

1-Year: 1.09
5-Year: -0.15
All Time: 0.30

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 1.62 to 2.49, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of My Portfolio - Recession (2024) 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

My Portfolio - Recession (2024) provided a 3.97% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.97%	3.87%	4.07%	4.20%	3.48%	2.17%	2.24%	2.71%	3.71%	2.72%	2.94%	3.05%
Portfolio components:
CNYA iShares MSCI China A ETF	1.84%	1.92%	2.51%	4.23%	2.69%	1.11%	1.06%	1.21%	3.92%	0.97%	1.38%	0.00%
FLOT iShares Floating Rate Bond ETF	4.54%	4.84%	5.82%	5.66%	2.06%	0.43%	1.25%	2.78%	2.41%	1.46%	0.97%	0.53%
IGLB iShares 10+ Year Investment Grade Corporate Bond ETF	5.30%	5.14%	5.10%	4.59%	4.56%	3.16%	3.22%	3.73%	4.56%	3.94%	4.21%	4.58%
MCHI iShares MSCI China ETF	2.36%	2.12%	2.31%	2.66%	1.78%	1.04%	1.04%	1.45%	1.60%	1.56%	1.66%	2.76%

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 My Portfolio - Recession (2024). 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 My Portfolio - Recession (2024) was 38.93%, occurring on Oct 24, 2022. The portfolio has not yet recovered.

The current My Portfolio - Recession (2024) drawdown is 14.88%.

Related event	Drawdown	Fall	Recovery	Underwater
Bear market2022	-38.93%Oct 2022	1y 8mo	—	5y 3moFeb 2021 - now
COVID crash2020	-21.54%Mar 2020	10d	3mo 6d	3mo 16dMar 2020 - Jun 2020
Rate-hike selloffLate 2018	-18.37%Oct 2018	9mo 3d	1y 3d	1y 9moJan 2018 - Nov 2019
2016 pullback2016	-7.52%Dec 2016	3mo 16d	4mo 26d	8mo 12dSep 2016 - May 2017
2020 pullback2020	-4.32%Sep 2020	1mo 19d	1mo 10d	2mo 29dAug 2020 - Nov 2020

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 4 assets, with an effective number of assets of 2.67, 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	5Y	All Time
Diversification Ratio	1.28	1.32	1.34	1.36

The portfolio has a diversification ratio of 1.36, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

My Portfolio - Recession (2024) correlation to the S&P 500 Index

My Portfolio - Recession (2024) has a 0.56 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	0.56
Correlation (3Y) Calculated over the trailing 3-year period	0.46
Correlation (5Y) Calculated over the trailing 5-year period	0.46
Correlation (All Time) Calculated using the full available price history since Jun 16, 2016	0.49

Benchmark Correlations

Correlation vs. S&P 500 Index. MCHI has the highest benchmark correlation at 0.52, while FLOT has the lowest at 0.18.

0.18

0.20

0.38

0.52

Portfolio Correlations

Correlation vs. My Portfolio - Recession (2024). MCHI has the highest portfolio correlation at 0.79, while FLOT has the lowest at 0.14.

0.14

0.57

0.75

0.79

Asset Correlations Table

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

	FLOT	IGLB	CNYA	MCHI
FLOT	1.00	0.12	0.08	0.10
IGLB	0.12	1.00	0.08	0.10
CNYA	0.08	0.08	1.00	0.72
MCHI	0.10	0.10	0.72	1.00

The correlation results are calculated based on daily price changes starting from Jun 16, 2016

Diversification Analysis

Find what My Portfolio - Recession (2024) is missing

See which holdings overlap, where My Portfolio - Recession (2024) is concentrated, and which low-correlation assets could fill the gaps.

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