Aronson Family Taxable Portfolio
The Aronson Family Taxable Portfolio is a portfolio by Ted Aronson, an asset manager at AJO Partners. It's a well-diversified portfolio consisting of 11 funds that cover 4 major asset classes: Emerging Market Equity, US Equity, Fixed Income, and Foreign Equity.
Asset Allocation
Performance
Performance Chart
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The earliest data available for this chart is Apr 11, 2007, corresponding to the inception date of HYG
Returns By Period
As of May 31, 2025, the Aronson Family Taxable Portfolio returned 2.96% Year-To-Date and 6.47% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.51% | 6.15% | -2.00% | 12.92% | 14.19% | 10.85% |
| Aronson Family Taxable Portfolio | 2.96% | 3.34% | -1.22% | 7.81% | 7.55% | 6.47% |
| Portfolio components: | ||||||
VPL Vanguard FTSE Pacific ETF | 11.80% | 4.57% | 7.20% | 10.84% | 8.01% | 5.21% |
VV Vanguard Large-Cap ETF | 1.11% | 6.46% | -1.36% | 14.82% | 15.76% | 12.75% |
IJT iShares S&P SmallCap 600 Growth ETF | -5.07% | 6.03% | -13.85% | -0.43% | 10.42% | 8.08% |
VTI Vanguard Total Stock Market ETF | 0.38% | 6.25% | -2.68% | 13.67% | 15.23% | 12.13% |
VGK Vanguard FTSE Europe ETF | 21.43% | 5.28% | 18.10% | 14.62% | 12.96% | 6.41% |
IJS iShares S&P SmallCap 600 Value ETF | -11.53% | 4.27% | -17.60% | -1.56% | 12.12% | 6.55% |
TLT iShares 20+ Year Treasury Bond ETF | 0.19% | -3.21% | -6.21% | 0.06% | -9.59% | -0.69% |
IJR iShares Core S&P Small-Cap ETF | -8.27% | 5.23% | -15.69% | -0.80% | 11.49% | 7.58% |
EEM iShares MSCI Emerging Markets ETF | 8.85% | 4.02% | 7.00% | 10.45% | 6.11% | 3.28% |
TIP iShares TIPS Bond ETF | 3.73% | -0.63% | 1.95% | 5.88% | 1.39% | 2.43% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 3.13% | 1.75% | 2.33% | 9.79% | 4.66% | 4.02% |
Monthly Returns
The table below presents the monthly returns of Aronson Family Taxable Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.35% | -0.11% | -2.27% | -0.28% | 3.34% | 2.96% | |||||||
| 2024 | -1.29% | 2.42% | 2.45% | -3.76% | 3.51% | 0.71% | 3.91% | 1.03% | 1.89% | -2.96% | 3.78% | -4.06% | 7.40% |
| 2023 | 7.11% | -3.21% | 1.51% | -0.01% | -1.42% | 4.30% | 2.90% | -3.11% | -4.29% | -3.25% | 7.49% | 6.36% | 14.19% |
| 2022 | -4.40% | -1.09% | -0.49% | -6.86% | 0.39% | -6.55% | 6.09% | -3.85% | -8.99% | 4.42% | 7.16% | -3.74% | -17.79% |
| 2021 | 0.96% | 1.82% | 1.40% | 2.34% | 1.28% | 1.16% | 0.05% | 1.30% | -2.64% | 2.81% | -1.68% | 2.52% | 11.75% |
| 2020 | -1.02% | -4.54% | -10.60% | 8.02% | 3.53% | 2.60% | 4.16% | 3.36% | -1.94% | -0.66% | 10.00% | 4.82% | 17.20% |
| 2019 | 6.74% | 1.62% | 0.72% | 2.07% | -4.03% | 4.89% | 0.01% | -0.65% | 1.51% | 1.82% | 1.61% | 2.40% | 19.96% |
| 2018 | 2.99% | -3.55% | 0.31% | -0.05% | 1.51% | -0.34% | 1.85% | 1.24% | -0.71% | -6.89% | 1.73% | -5.00% | -7.17% |
| 2017 | 2.08% | 1.92% | 0.81% | 1.14% | 0.94% | 0.99% | 1.80% | 0.32% | 1.95% | 1.68% | 1.67% | 1.16% | 17.73% |
| 2016 | -3.26% | 0.05% | 6.01% | 0.70% | 0.42% | 1.57% | 3.71% | 0.42% | 0.90% | -2.24% | 1.38% | 1.33% | 11.22% |
| 2015 | 0.35% | 3.17% | -0.12% | 0.89% | -0.33% | -1.66% | 0.15% | -4.90% | -2.26% | 5.12% | 0.08% | -2.24% | -2.10% |
| 2014 | -2.56% | 3.31% | 0.56% | 0.14% | 1.98% | 2.11% | -1.43% | 2.57% | -3.75% | 2.85% | 0.14% | -0.25% | 5.52% |
Expense Ratio
Aronson Family Taxable Portfolio has an expense ratio of 0.19%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Aronson Family Taxable Portfolio is 24, meaning it’s performing worse than 76% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VPL Vanguard FTSE Pacific ETF | 0.57 | 0.83 | 1.11 | 0.58 | 1.72 |
VV Vanguard Large-Cap ETF | 0.74 | 1.04 | 1.15 | 0.69 | 2.62 |
IJT iShares S&P SmallCap 600 Growth ETF | -0.02 | 0.15 | 1.02 | -0.02 | -0.05 |
VTI Vanguard Total Stock Market ETF | 0.68 | 0.98 | 1.14 | 0.63 | 2.36 |
VGK Vanguard FTSE Europe ETF | 0.83 | 1.21 | 1.16 | 0.98 | 2.76 |
IJS iShares S&P SmallCap 600 Value ETF | -0.06 | 0.08 | 1.01 | -0.06 | -0.16 |
TLT iShares 20+ Year Treasury Bond ETF | 0.00 | 0.08 | 1.01 | -0.00 | -0.02 |
IJR iShares Core S&P Small-Cap ETF | -0.03 | 0.13 | 1.02 | -0.03 | -0.08 |
EEM iShares MSCI Emerging Markets ETF | 0.55 | 0.77 | 1.10 | 0.31 | 1.40 |
TIP iShares TIPS Bond ETF | 1.25 | 1.74 | 1.22 | 0.60 | 3.74 |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 1.72 | 2.56 | 1.37 | 2.17 | 11.56 |
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Dividends
Dividend yield
Aronson Family Taxable Portfolio provided a 2.62% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.62% | 2.60% | 2.46% | 3.00% | 2.32% | 1.58% | 2.24% | 2.53% | 2.10% | 2.13% | 2.06% | 2.24% |
| Portfolio components: | ||||||||||||
VPL Vanguard FTSE Pacific ETF | 3.00% | 3.15% | 3.12% | 2.75% | 3.19% | 1.81% | 2.85% | 3.06% | 2.57% | 2.65% | 2.43% | 2.69% |
VV Vanguard Large-Cap ETF | 1.25% | 1.24% | 1.41% | 1.66% | 1.19% | 1.46% | 1.81% | 2.09% | 1.75% | 1.98% | 1.96% | 1.77% |
IJT iShares S&P SmallCap 600 Growth ETF | 1.15% | 1.06% | 1.02% | 1.08% | 0.63% | 0.68% | 0.92% | 0.92% | 0.86% | 1.03% | 1.14% | 0.78% |
VTI Vanguard Total Stock Market ETF | 1.29% | 1.27% | 1.44% | 1.67% | 1.21% | 1.42% | 1.78% | 2.04% | 1.71% | 1.92% | 1.98% | 1.76% |
VGK Vanguard FTSE Europe ETF | 2.89% | 3.61% | 3.15% | 3.25% | 3.05% | 2.11% | 3.27% | 3.95% | 2.70% | 3.52% | 3.25% | 4.62% |
IJS iShares S&P SmallCap 600 Value ETF | 2.01% | 1.78% | 1.42% | 1.46% | 1.52% | 1.00% | 1.66% | 1.75% | 1.41% | 1.22% | 1.59% | 1.41% |
TLT iShares 20+ Year Treasury Bond ETF | 4.39% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% |
IJR iShares Core S&P Small-Cap ETF | 2.24% | 2.05% | 1.31% | 1.41% | 1.53% | 1.11% | 1.44% | 1.58% | 1.20% | 1.21% | 1.48% | 1.23% |
EEM iShares MSCI Emerging Markets ETF | 2.23% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% | 2.23% |
TIP iShares TIPS Bond ETF | 2.90% | 2.52% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% | 1.67% |
HYG iShares iBoxx $ High Yield Corporate Bond ETF | 5.81% | 6.01% | 5.74% | 5.30% | 4.02% | 4.88% | 4.99% | 5.54% | 5.12% | 5.27% | 5.90% | 5.69% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Aronson Family Taxable Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Aronson Family Taxable Portfolio was 42.95%, occurring on Mar 9, 2009. Recovery took 420 trading sessions.
The current Aronson Family Taxable Portfolio drawdown is 1.69%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -42.95% | Nov 1, 2007 | 339 | Mar 9, 2009 | 420 | Nov 4, 2010 | 759 |
| -25.12% | Jan 17, 2020 | 42 | Mar 18, 2020 | 96 | Aug 4, 2020 | 138 |
| -24.93% | Nov 10, 2021 | 234 | Oct 14, 2022 | 438 | Jul 16, 2024 | 672 |
| -14.48% | Apr 27, 2015 | 202 | Feb 11, 2016 | 115 | Jul 27, 2016 | 317 |
| -14.09% | Jan 29, 2018 | 229 | Dec 24, 2018 | 129 | Jul 1, 2019 | 358 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 11 assets, with an effective number of assets of 9.09, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.
Asset Correlations Table
| ^GSPC | TIP | TLT | HYG | EEM | VPL | VGK | IJS | IJT | IJR | VV | VTI | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.12 | -0.28 | 0.65 | 0.75 | 0.78 | 0.80 | 0.82 | 0.85 | 0.84 | 1.00 | 0.99 | 0.91 |
| TIP | -0.12 | 1.00 | 0.74 | 0.08 | -0.07 | -0.05 | -0.06 | -0.13 | -0.12 | -0.12 | -0.12 | -0.12 | 0.05 |
| TLT | -0.28 | 0.74 | 1.00 | -0.08 | -0.24 | -0.22 | -0.25 | -0.28 | -0.27 | -0.28 | -0.28 | -0.28 | -0.12 |
| HYG | 0.65 | 0.08 | -0.08 | 1.00 | 0.58 | 0.59 | 0.61 | 0.58 | 0.60 | 0.60 | 0.66 | 0.66 | 0.70 |
| EEM | 0.75 | -0.07 | -0.24 | 0.58 | 1.00 | 0.81 | 0.78 | 0.65 | 0.67 | 0.67 | 0.75 | 0.75 | 0.84 |
| VPL | 0.78 | -0.05 | -0.22 | 0.59 | 0.81 | 1.00 | 0.80 | 0.68 | 0.70 | 0.70 | 0.78 | 0.78 | 0.87 |
| VGK | 0.80 | -0.06 | -0.25 | 0.61 | 0.78 | 0.80 | 1.00 | 0.70 | 0.71 | 0.71 | 0.80 | 0.80 | 0.85 |
| IJS | 0.82 | -0.13 | -0.28 | 0.58 | 0.65 | 0.68 | 0.70 | 1.00 | 0.95 | 0.98 | 0.82 | 0.85 | 0.87 |
| IJT | 0.85 | -0.12 | -0.27 | 0.60 | 0.67 | 0.70 | 0.71 | 0.95 | 1.00 | 0.98 | 0.86 | 0.89 | 0.89 |
| IJR | 0.84 | -0.12 | -0.28 | 0.60 | 0.67 | 0.70 | 0.71 | 0.98 | 0.98 | 1.00 | 0.85 | 0.88 | 0.89 |
| VV | 1.00 | -0.12 | -0.28 | 0.66 | 0.75 | 0.78 | 0.80 | 0.82 | 0.86 | 0.85 | 1.00 | 0.99 | 0.92 |
| VTI | 0.99 | -0.12 | -0.28 | 0.66 | 0.75 | 0.78 | 0.80 | 0.85 | 0.89 | 0.88 | 0.99 | 1.00 | 0.93 |
| Portfolio | 0.91 | 0.05 | -0.12 | 0.70 | 0.84 | 0.87 | 0.85 | 0.87 | 0.89 | 0.89 | 0.92 | 0.93 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified but shows signs of concentration in certain correlated equity positions. The correlation matrix reveals that the portfolio has very high correlations (above 0.85) with most equity ETFs such as VPL (0.87), VGK (0.85), IJS (0.87), IJT (0.89), IJR (0.89), VV (0.92), and VTI (0.93). This indicates that these equity positions move closely together and collectively dominate the portfolio’s behavior, suggesting a strong equity bias.
Within the equity holdings, there are several pairs with extremely high correlations, particularly among U.S. small- and mid-cap ETFs (IJS, IJT, IJR) which show correlations above 0.95 with each other. This high inter-correlation among these similar style ETFs reduces the diversification benefit within the equity sleeve, effectively concentrating risk in a narrow segment of the market.
On the other hand, the portfolio holds fixed income positions such as TIP (Treasury Inflation-Protected Securities) and TLT (long-term Treasury bonds) which have low to negative correlations with the equity ETFs (mostly between -0.12 and 0.05 with the portfolio). These fixed income assets provide valuable diversification benefits by behaving differently from equities, especially TLT which has a negative correlation (-0.12) with the portfolio, indicating potential risk reduction during equity downturns.
The high correlation of the portfolio with HYG (0.7) and emerging market equities like EEM (0.84) and developed international equities (VPL, VGK) suggests that these positions also contribute meaningfully to the portfolio’s overall risk and return profile, but they are less dominant than the core U.S. equity ETFs.
In summary, while the portfolio benefits from some diversification through fixed income and international exposure, it remains heavily concentrated in correlated U.S. equity segments. The dominance of highly correlated equity positions limits the portfolio’s ability to reduce risk through diversification. Incorporating assets with lower correlations or alternative risk factors could enhance diversification further.