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Innovator Equity Dual Directional 10 Buffer ETF - July DDTL
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | DDTL | Replication |
|---|---|---|
| Annualized growth | 11.7% | 8.0% |
| Annualized volatility | 4.9% | 5.2% |
| Sharpe ratio | 2.28 | 1.49 |
| Maximum drawdown | 3.3% | 4.0% |
| Replication fit (R²) | 0.79 · Tracking error 2.3% | |
Replication portfolio
The published portfolio below is the investable basket used to model DDTL’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| SPHY | FI · High Yield | 72.5% |
| VOO | US Large Cap | 9.2% |
| VUG | Style · Growth | 7.7% |
| LRGF | Factor · Multi-Factor | 6.0% |
| MTUM | Factor · Momentum | 4.6% |