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Innovator Equity Dual Directional 15 Buffer ETF - March DDFM
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | DDFM | Replication |
|---|---|---|
| Annualized growth | 12.1% | 3.8% |
| Annualized volatility | 4.2% | 3.9% |
| Sharpe ratio | 2.72 | 0.97 |
| Maximum drawdown | 1.6% | 1.3% |
| Replication fit (R²) | 0.85 · Tracking error 1.7% | |
Replication portfolio
The published portfolio below is the investable basket used to model DDFM’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| VCSH | FI · Short Corp | 60.1% |
| WTMF | Alternatives · Mgt Futures | 17.8% |
| SPHY | FI · High Yield | 10.4% |
| VOX | Sector · Communication | 6.4% |
| VUG | Style · Growth | 5.2% |