M-HRP optimized

Asset Allocation

Position	Category/Sector	Target Weight
CEZ.PR Cez A.S.	Utilities	5%
DBMF iM DBi Managed Futures Strategy ETF	Hedge Fund, Actively Managed	15.72%
EMB iShares J.P. Morgan USD Emerging Markets Bond ETF	Emerging Markets Bonds	21.11%
HYG iShares iBoxx $ High Yield Corporate Bond ETF	High Yield Bonds	25%
IEMG iShares Core MSCI Emerging Markets ETF	Emerging Markets Diversified	5%
IVV iShares Core S&P 500 ETF	S&P 500	5%
NOBL ProShares S&P 500 Dividend Aristocrats ETF	S&P 500, Dividend	5%
SPYW.DE SPDR S&P Euro Dividend Aristocrats UCITS ETF (Dist)	Europe Equities	5.90%
VCLT Vanguard Long-Term Corporate Bond ETF	Corporate Bonds	7.27%
VNQI Vanguard Global ex-U.S. Real Estate ETF	REIT	5%

Benchmark Against

Benchmark

S&P 500 Index

Rebalance

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in M-HRP optimized, 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 May 8, 2019, corresponding to the inception date of DBMF

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 M-HRP optimized	0.14%	-1.52%	0.85%	3.10%	13.92%	10.15%	6.07%	—
Portfolio components:
IVV iShares Core S&P 500 ETF	0.14%	-3.32%	-3.54%	-1.40%	17.62%	18.49%	11.96%	14.16%
SPYW.DE SPDR S&P Euro Dividend Aristocrats UCITS ETF (Dist)	-0.28%	0.93%	2.73%	6.02%	20.67%	16.13%	8.34%	7.16%
IEMG iShares Core MSCI Emerging Markets ETF	-1.02%	-3.09%	3.48%	6.02%	32.00%	15.85%	4.31%	8.31%
NOBL ProShares S&P 500 Dividend Aristocrats ETF	-0.04%	-5.88%	2.28%	3.74%	5.84%	7.28%	6.29%	9.59%
EMB iShares J.P. Morgan USD Emerging Markets Bond ETF	0.12%	-2.20%	-1.09%	1.28%	9.38%	8.40%	1.88%	3.24%
VCLT Vanguard Long-Term Corporate Bond ETF	0.67%	-1.58%	0.19%	-1.08%	3.96%	3.10%	-1.56%	2.55%
HYG iShares iBoxx $ High Yield Corporate Bond ETF	0.24%	-0.22%	0.13%	1.21%	6.94%	8.10%	3.71%	5.21%
CEZ.PR Cez A.S.	0.72%	-0.92%	-9.81%	-10.03%	17.89%	14.05%	27.11%	21.01%
DBMF iM DBi Managed Futures Strategy ETF	0.33%	0.36%	8.44%	15.46%	27.06%	10.31%	8.74%	—
VNQI Vanguard Global ex-U.S. Real Estate ETF	-0.29%	-7.28%	-2.23%	-1.45%	15.05%	7.76%	-0.35%	2.56%

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

Monthly Returns

Based on dividend-adjusted daily data since May 9, 2019, M-HRP optimized's average daily return is +0.03%, while the average monthly return is +0.59%. At this rate, your investment would double in approximately 9.8 years.

Historically, 68% of months were positive and 32% were negative. The best month was Nov 2020 with a return of +6.1%, while the worst month was Mar 2020 at -10.9%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.

On a daily basis, M-HRP optimized closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +4.4%, while the worst single day was Mar 12, 2020 at -6.5%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	1.52%	2.89%	-3.99%	0.56%									0.85%
2025	2.15%	0.67%	0.11%	0.52%	2.14%	3.25%	-0.05%	2.07%	2.16%	1.11%	0.92%	0.63%	16.80%
2024	-0.91%	0.72%	2.86%	-1.02%	2.58%	0.06%	1.80%	1.35%	2.25%	-2.78%	1.55%	-2.16%	6.29%
2023	4.48%	-1.44%	0.70%	1.52%	-2.68%	3.29%	2.00%	-1.51%	-1.99%	-1.65%	4.96%	3.11%	10.90%
2022	-2.62%	-1.80%	1.18%	-2.88%	1.30%	-5.05%	3.63%	-3.27%	-5.39%	1.83%	5.29%	-1.52%	-9.50%
2021	-1.01%	0.39%	1.45%	2.63%	1.83%	0.37%	0.62%	1.07%	-1.95%	1.68%	-1.81%	2.89%	8.34%

Benchmark Metrics

M-HRP optimized has an annualized alpha of 1.53%, beta of 0.40, and R² of 0.69 versus S&P 500 Index. Calculated based on daily prices since May 09, 2019.

This portfolio participated in 51.97% of S&P 500 Index downside but only 44.01% of its upside — more exposed to losses than it benefited from rallies.
Beta of 0.40 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: 1.53%

Beta: 0.40

R²: 0.69

Upside Capture: 44.01%

Downside Capture: 51.97%

Expense Ratio

M-HRP optimized has an expense ratio of 0.39%, 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.

DBMF

iM DBi Managed Futures Strategy ETF

HYG

iShares iBoxx $ High Yield Corporate Bond ETF

EMB

iShares J.P. Morgan USD Emerging Markets Bond ETF

NOBL

ProShares S&P 500 Dividend Aristocrats ETF

SPYW.DE

SPDR S&P Euro Dividend Aristocrats UCITS ETF (Dist)

VNQI

Vanguard Global ex-U.S. Real Estate ETF

IEMG

iShares Core MSCI Emerging Markets ETF

VCLT

Vanguard Long-Term Corporate Bond ETF

IVV

iShares Core S&P 500 ETF

Return for Risk

Risk / Return Rank

M-HRP optimized ranks 82 for risk / return — in the top 82% 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

	Portfolio	Benchmark	Difference
Sharpe ratio Return per unit of total volatility	1.76	0.88	+0.87
Sortino ratio Return per unit of downside risk	2.45	1.37	+1.08
Omega ratio Gain probability vs. loss probability	1.36	1.21	+0.16
Calmar ratio Return relative to maximum drawdown	3.38	1.39	+1.99
Martin ratio Return relative to average drawdown	14.97	6.43	+8.53
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
IVV iShares Core S&P 500 ETF	54	0.97	1.48	1.23	1.52	7.13
SPYW.DE SPDR S&P Euro Dividend Aristocrats UCITS ETF (Dist)	61	1.23	1.65	1.25	1.88	6.16
IEMG iShares Core MSCI Emerging Markets ETF	79	1.62	2.21	1.32	2.43	9.12
NOBL ProShares S&P 500 Dividend Aristocrats ETF	21	0.39	0.66	1.08	0.55	1.91
EMB iShares J.P. Morgan USD Emerging Markets Bond ETF	71	1.35	1.91	1.28	2.07	8.24
VCLT Vanguard Long-Term Corporate Bond ETF	22	0.39	0.58	1.08	0.80	1.86
HYG iShares iBoxx $ High Yield Corporate Bond ETF	70	1.25	1.88	1.29	1.82	9.56
CEZ.PR Cez A.S.	63	0.76	1.16	1.18	1.04	2.94
DBMF iM DBi Managed Futures Strategy ETF	94	2.25	3.05	1.48	4.38	18.76
VNQI Vanguard Global ex-U.S. Real Estate ETF	46	1.05	1.50	1.21	1.05	4.47

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.

M-HRP optimized Sharpe ratios as of Apr 2, 2026 (values are recalculated daily):

1-Year: 1.76
5-Year: 0.77
All Time: 0.71

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 1.00 to 1.69, 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 M-HRP optimized 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

M-HRP optimized provided a 4.74% dividend yield over the last twelve months.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	4.74%	4.77%	5.01%	4.69%	4.79%	4.79%	3.24%	5.09%	4.04%	3.53%	3.87%	3.95%
Portfolio components:
IVV iShares Core S&P 500 ETF	1.22%	1.17%	1.30%	1.44%	1.66%	1.20%	1.57%	1.85%	2.21%	1.75%	2.01%	2.27%
SPYW.DE SPDR S&P Euro Dividend Aristocrats UCITS ETF (Dist)	3.62%	4.07%	3.67%	3.31%	3.62%	2.78%	3.05%	3.10%	3.74%	3.15%	2.97%	2.99%
IEMG iShares Core MSCI Emerging Markets ETF	2.66%	2.75%	3.20%	2.89%	2.71%	3.06%	1.87%	3.15%	2.76%	2.35%	2.28%	2.53%
NOBL ProShares S&P 500 Dividend Aristocrats ETF	2.14%	2.14%	2.05%	2.09%	1.94%	1.89%	2.14%	1.89%	2.37%	1.74%	2.13%	2.02%
EMB iShares J.P. Morgan USD Emerging Markets Bond ETF	5.15%	4.98%	5.46%	4.74%	5.04%	3.89%	3.88%	4.51%	5.64%	4.54%	4.83%	4.84%
VCLT Vanguard Long-Term Corporate Bond ETF	5.60%	5.51%	5.19%	4.67%	4.44%	3.07%	3.16%	3.81%	4.55%	4.01%	4.33%	4.68%
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%
CEZ.PR Cez A.S.	3.91%	3.63%	5.43%	15.13%	6.23%	6.29%	6.60%	4.71%	6.17%	6.65%	9.30%	9.00%
DBMF iM DBi Managed Futures Strategy ETF	5.28%	5.91%	5.75%	2.91%	7.72%	10.38%	0.86%	9.35%	0.00%	0.00%	0.00%	0.00%
VNQI Vanguard Global ex-U.S. Real Estate ETF	4.81%	4.70%	5.16%	3.74%	0.57%	6.48%	0.93%	7.58%	4.62%	3.86%	5.18%	2.86%

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 M-HRP optimized. 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 M-HRP optimized was 23.00%, occurring on Mar 19, 2020. Recovery took 166 trading sessions.

The current M-HRP optimized drawdown is 3.62%.

Depth	Start	To Bottom	Bottom	To Recover	End	Total
-23%	Feb 20, 2020	21	Mar 19, 2020	166	Nov 9, 2020	187
-15.18%	Dec 29, 2021	207	Oct 14, 2022	309	Dec 26, 2023	516
-5.66%	Sep 30, 2024	135	Apr 8, 2025	14	Apr 29, 2025	149
-5.34%	Feb 26, 2026	22	Mar 27, 2026	—	—	—
-3.43%	Nov 10, 2021	13	Nov 26, 2021	21	Dec 28, 2021	34

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 10 assets, with an effective number of assets of 6.53, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

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

	Benchmark	DBMF	CEZ.PR	VCLT	SPYW.DE	NOBL	EMB	IEMG	VNQI	HYG	IVV	Portfolio
Benchmark	1.00	0.18	0.21	0.25	0.46	0.76	0.52	0.68	0.62	0.74	1.00	0.79
DBMF	0.18	1.00	-0.01	-0.14	0.07	0.10	-0.05	0.17	0.11	0.01	0.18	0.25
CEZ.PR	0.21	-0.01	1.00	0.12	0.37	0.18	0.22	0.30	0.31	0.22	0.21	0.42
VCLT	0.25	-0.14	0.12	1.00	0.21	0.23	0.70	0.19	0.31	0.51	0.25	0.50
SPYW.DE	0.46	0.07	0.37	0.21	1.00	0.48	0.43	0.52	0.64	0.47	0.45	0.66
NOBL	0.76	0.10	0.18	0.23	0.48	1.00	0.46	0.51	0.61	0.63	0.76	0.70
EMB	0.52	-0.05	0.22	0.70	0.43	0.46	1.00	0.49	0.54	0.71	0.52	0.77
IEMG	0.68	0.17	0.30	0.19	0.52	0.51	0.49	1.00	0.71	0.59	0.68	0.75
VNQI	0.62	0.11	0.31	0.31	0.64	0.61	0.54	0.71	1.00	0.61	0.62	0.78
HYG	0.74	0.01	0.22	0.51	0.47	0.63	0.71	0.59	0.61	1.00	0.74	0.83
IVV	1.00	0.18	0.21	0.25	0.45	0.76	0.52	0.68	0.62	0.74	1.00	0.79
Portfolio	0.79	0.25	0.42	0.50	0.66	0.70	0.77	0.75	0.78	0.83	0.79	1.00

The correlation results are calculated based on daily price changes starting from May 9, 2019

M-HRP optimized

Asset Allocation

Performance

Performance Chart

Returns By Period

Monthly Returns

Benchmark Metrics

Expense Ratio

Return for Risk

Risk / Return Rank

Return / Risk — by metrics

Sharpe ratio

Sortino ratio

Omega ratio

Calmar ratio

Martin ratio

Sharpe Ratio

Dividends

Dividend yield

Drawdowns

Drawdowns Chart

Worst Drawdowns

Volatility

Volatility Chart

Diversification

Diversification Metrics

Number of Effective Assets

Asset Correlations Table