Portfolio Analysis Report — AVANTAS Research

Key takeaways: Your portfolio delivered 39.7% total return (8.8% annualized) with 37% lower volatility than the S&P 500 and a 14.8% better max drawdown. Risk-adjusted performance (Sharpe 0.80) exceeds the benchmark (0.62). For investors with moderate risk tolerance and ~10% return target, a Moderate tilt toward gold and reduced bond exposure may improve risk-adjusted returns—book a consultation for allocations tailored to your goals, horizon, and constraints.

Portfolio Overview

This portfolio analysis covers a diversified multi-asset portfolio consisting of 5 assets across different asset classes. The portfolio was analyzed using historical data from Alpha Vantage API with comprehensive backtesting and risk analysis.

Asset	Allocation
S&P 500 ETF (SPY)	40.0%
Gold ETF (GLD)	10.0%
Bitcoin USD (BTCUSD)	10.0%
Emerging Markets ETF (EEM)	10.0%
U.S. 10-Year Treasury Bonds ETF (IEF)	30.0%

Performance Dashboard

39.7%

Total Return

8.8%

Annualized Return

11.4%

Volatility

0.80

Sharpe Ratio

-21.6%

Max Drawdown

$139,723

Final Value ($100k invested)

Sharpe Ratio: Risk-adjusted return. (Return − risk-free rate) ÷ volatility. Above 1.0 is good, above 2.0 is excellent.
Volatility: Annualized standard deviation of returns. Lower = more stable performance.
Max Drawdown: Largest peak-to-trough decline. Shows worst loss during the period.
VaR (Value at Risk): Maximum expected loss at a given confidence level (e.g. 95% VaR = worst 5% of outcomes).

Metric	Portfolio	S&P 500	Difference
Total Return	39.7%	46.6%	-6.9%
Annualized Volatility	11.4%	18.2%	37.2% lower
Sharpe Ratio	0.80	0.62	+28.0%
Max Drawdown	-21.6%	-25.4%	14.8% better

Individual Asset Performance

SPY

46.6%

GLD

131.9%

BTCUSD

75.5%

EEM

4.1%

IEF

-14.5%

Asset	Allocation	Return	Volatility	Sharpe
SPY	40.0%	46.6%	18.1%	0.62
GLD	10.0%	131.9%	15.3%	1.46
BTCUSD	10.0%	75.5%	53.6%	0.53
EEM	10.0%	4.1%	18.6%	0.15
IEF	30.0%	-14.5%	8.3%	-0.44

Asset Correlation Matrix

Correlations between assets over the analysis period. Values closer to 0 indicate weaker relationship; negative values can provide diversification benefits.

	SPY	GLD	BTC	EEM	IEF
SPY	1.00	0.20	0.50	0.75	-0.25
GLD	0.20	1.00	0.25	0.40	0.10
BTC	0.50	0.25	1.00	0.45	-0.20
EEM	0.75	0.40	0.45	1.00	-0.20
IEF	-0.25	0.10	-0.20	-0.20	1.00

Risk Analysis

Comprehensive risk metrics derived from historical performance and Monte Carlo simulations over a 1-year horizon.

Drawdown Comparison

Portfolio drawdown (solid) vs S&P 500 drawdown (dashed). Lower drawdown indicates better downside protection during market declines.

Monte Carlo Return Distribution

Monte Carlo simulation generates thousands of possible future annual return scenarios based on historical performance, helping assess potential outcomes over a 1-year period.

Value at Risk Analysis

Value at Risk (VaR) measures the maximum expected annual loss with a specified confidence level (e.g., 95% VaR = worst 5% of annual outcomes).

Probability Analysis

79.7% Probability of Gain

20.3% Probability of Loss

Probability of positive vs negative annual returns based on Monte Carlo simulations, helping assess portfolio risk characteristics over a 1-year period.

Expected Shortfall

Expected Shortfall (ES) measures the average annual loss beyond VaR, providing insight into the severity of losses in worst-case scenarios over a 1-year period.

Metric	95%	99%
Value at Risk (VaR)	-8.3%	-14.7%
Expected Shortfall (CVaR)	-12.9%	-19.4%

Probability of Gain: 79.7% | Probability of Loss: 20.3%

Recommendations

1. Portfolio Construction

Consider reallocating within your current assets based on return target and risk tolerance
Maintain diversification across your existing asset classes
Review allocation to underperforming holdings (e.g. IEF in a rising-rate environment)

2. Rebalancing Strategy

Implement quarterly rebalancing to maintain target allocation
Monitor transaction costs and market impact
Consider threshold-based rebalancing for cost efficiency

3. Risk Management

Your portfolio already shows strong risk-adjusted performance vs benchmark
Align allocation with your return target and risk tolerance—Sharpe is one metric; also consider max drawdown and volatility
Consider tilting toward higher-Sharpe assets (e.g. GLD) if your risk profile allows; reduce bonds if your return target requires more growth

Suggested Allocation (Within Your Assets)

We keep your portfolio assets and propose improved allocations tailored to your return target, risk tolerance, investment horizon, and constraints. Sharpe ratio is one input among several—we also consider max drawdown, volatility, and your goals. Your personalized report will include allocations specific to your profile.

RECOMMENDED FOR MODERATE RISK PROFILES

Moderate suits investors with moderate risk tolerance and a return target of ~10% annual. Best Sharpe (0.85) among these scenarios, with 10.3% return and 12.1% volatility—higher return than Current with similar risk. Tilts toward gold and reduces bond exposure. Not recommended for capital preservation needs or very high growth targets—those investors should consider Conservative or Aggressive respectively.

Asset	Current	Conservative	Moderate	Aggressive
S&P 500 (SPY)	40%	30%	35%	45%
Gold (GLD)	10%	15%	20%	15%
Bitcoin (BTCUSD)	10%	5%	10%	15%
Emerging Markets (EEM)	10%	10%	15%	15%
U.S. 10Y Treasury (IEF)	30%	40%	20%	10%
Est. Ann. Return	8.7%	7.2%	10.3%	10.9%
Est. Ann. Volatility	11.4%	8.6%	12.1%	15.2%
Est. Sharpe Ratio	0.80	0.84	0.85	0.72
Est. Max Drawdown	-21.6%	-16%	-22%	-29%

Returns and volatility are annualized and estimated from historical asset performance over the analysis period (Oct 2021 – Oct 2025). Allocation choice should match your return target, risk tolerance, and horizon—not Sharpe alone.

Conservative: ~7% return, 8.6% vol, -16% max drawdown. For capital preservation, low risk tolerance, shorter horizon.
Moderate: ~10% return, 12.1% vol, -22% max drawdown. For balanced growth, moderate risk tolerance, medium horizon.
Aggressive: ~11% return, 15.2% vol, -29% max drawdown. For growth-oriented investors, high risk tolerance, longer horizon.

Book a consultation for allocations calibrated to your specific goals, constraints, and risk profile.