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Grandma's Portfolio

Canadian equity income and alternatives paired with AAA CLO income, measured against VGRO.

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TickerWeightBetaNotes
FINN.NE15%1.53Fidelity Global Innovators ETF, a concentrated global equity sleeve.
VFLO10%0.75Large-cap free-cash-flow value tilt.
EIT-UN.TO15%0.63Canoe EIT Income Fund, Canadian equity income.
PFAE.TO20%1Canadian 130/30 long/short equity with about full-market net exposure.
PFLS.TO10%0.48Global long/short equity diversifier.
PFMN.TO10%0.12Market-neutral long/short equity.
ARB.TO10%0.05Event-driven merger and SPAC arbitrage.
BAAA.TO10%0.05AAA CLO floating-rate credit income.

Weighted portfolio beta (approx.): 0.67

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Total return (vs VGRO.TO)

Range
+19.79%
Portfolio
+16.03%
VGRO.TO (benchmark)
+3.76%
Excess α vs VGRO.TO
-5.21%
Max drawdown
-7.01%
VGRO.TO max DD
1.83
Sharpe
Excess return above the 4.5% risk-free rate divided by annualised volatility. Above 1.0 is good; above 2.0 is excellent. SPY typically scores around 0.5–0.8.
2.85
Sortino
Excess return above the 4.5% risk-free rate divided by annualised downside deviation (penalises losses only). Above 1.5 is good; above 3.0 is excellent.
Portfolio score: A

Alpha score: B+

Max DD score: A

Beta score: A

Beta: 0.67

Net leverage:

Total: 86.0%

Gross longs: 92.0%

Gross shorts: 26.0%

Gross alpha & alts: 20.0%

Portfolio weights:

FINN.NE: 15%

VFLO: 10%

EIT-UN.TO: 15%

PFAE.TO: 20%

PFLS.TO: 10%

PFMN.TO: 10%

ARB.TO: 10%

BAAA.TO: 10%

PortfolioVGRO.TO

Educational model only — not investment advice. Portfolio betas in the holdings table are weighted to the listed names and weights.

FINN.NE: methodology lists TEC.TOas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

VFLO: methodology lists COWZ × GARPas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

PFAE.TO: methodology lists XSP.TO × PFLS.TO × XIU.TO × SSOas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

ARB.TO: methodology lists MRGRas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

BAAA.TO: methodology lists JAAAas Yahoo proxies for joint history before live listing when calendar overlap allows. In this chart's Yahoo range there was no separate pre-listing window to splice—line shows the fund's reported adjusted closes only.

BAAA.TO's inception date of 2020-10-19 is limiting the backtest.

Growthshared core
Long/short
Alpha: long/short equity (PFAE.TO, PFLS.TO, PFMN.TO)Growth: Canadian equity (EIT-UN.TO)
55%
Sideways Chop
Factor
Alpha: equity factor (momentum, value) (FINN.NE, VFLO)Growth: Global equity/US large-cap (FINN.NE, VFLO)
25%
Inflation
Arbitrage
Alpha: merger arbitrage (ARB.TO)
10%
Sideways Chop
Fixed income
Alpha: long-duration bonds (BAAA.TO)
10%
Recession
Deflation