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Innovator Equity Defined Protection ETF - 2 Yr to October 2027 TOCT
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | TOCT | Replication |
|---|---|---|
| Annualized growth | 4.4% | 3.2% |
| Annualized volatility | 2.6% | 2.5% |
| Sharpe ratio | 1.66 | 1.26 |
| Maximum drawdown | 2.0% | 1.8% |
| Replication fit (R²) | 0.82 · Tracking error 1.1% | |
Replication portfolio
The published portfolio below is the investable basket used to model TOCT’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| VCSH | FI · Short Corp | 82.4% |
| VUG | Style · Growth | 7.4% |
| WTMF | Alternatives · Mgt Futures | 6.5% |
| SPHY | FI · High Yield | 3.6% |