Asset Allocation
Find the right asset allocation for Bob Clyatt Sandwich Portfolio
Add portfolio to the optimizer to find optimal allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio OptimizerPerformance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Bob Clyatt Sandwich Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.
Loading charts...
Returns By Period
As of Jun 25, 2026, the Bob Clyatt Sandwich Portfolio returned 6.83% Year-To-Date and 7.42% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.10% | -1.54% | 7.49% | 6.15% | 20.78% | 19.17% | 11.44% | 13.70% |
Portfolio Bob Clyatt Sandwich Portfolio | 0.17% | 0.38% | 6.83% | 6.32% | 14.91% | 12.03% | 5.12% | 7.42% |
| Portfolio components: | ||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 0.01% | 0.29% | 1.69% | 1.74% | 3.85% | 4.61% | 3.45% | 2.20% |
EEM iShares MSCI Emerging Markets ETF | 0.12% | 2.61% | 23.56% | 24.22% | 43.09% | 22.63% | 6.39% | 9.88% |
IEI iShares 3-7 Year Treasury Bond ETF | 0.34% | 0.60% | -0.08% | -0.05% | 2.62% | 3.78% | 0.39% | 1.23% |
IJR iShares Core S&P Small-Cap ETF | 1.16% | 5.43% | 20.72% | 17.82% | 34.67% | 16.60% | 6.51% | 11.43% |
SCZ iShares MSCI EAFE Small-Cap ETF | 0.04% | -2.28% | 7.33% | 6.77% | 19.58% | 15.94% | 4.97% | 8.71% |
VEU Vanguard FTSE All-World ex-US ETF | -0.12% | 0.57% | 12.88% | 12.60% | 27.99% | 19.21% | 8.49% | 10.38% |
VNQ Vanguard Real Estate ETF | -0.87% | 0.25% | 10.80% | 10.46% | 10.33% | 10.98% | 2.52% | 5.35% |
VV Vanguard Large-Cap ETF | -0.09% | -1.36% | 7.81% | 6.49% | 21.84% | 20.96% | 12.56% | 15.61% |
Monthly Returns
Based on dividend-adjusted daily data since Dec 12, 2007, Bob Clyatt Sandwich Portfolio's average daily return is +0.03%, while the average monthly return is +0.53%. At this rate, an investment would double in approximately 10.9 years.
Historically, 65% of months were positive and 35% were negative. The best month was Apr 2009 with a return of +7.7%, while the worst month was Oct 2008 at -11.6%. The longest winning streak lasted 15 consecutive months, and the longest losing streak was 5 months.
On a daily basis, Bob Clyatt Sandwich Portfolio closed higher 54% of trading days. The best single day was Oct 28, 2008 with a return of +5.5%, while the worst single day was Mar 16, 2020 at -5.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 2.19% | 2.04% | -4.18% | 5.32% | 2.25% | -0.71% | 6.83% | ||||||
| 2025 | 1.76% | 0.39% | -1.29% | 0.60% | 2.61% | 3.01% | 0.36% | 2.61% | 1.66% | 0.78% | 0.72% | 0.32% | 14.32% |
| 2024 | -0.69% | 1.44% | 1.87% | -2.84% | 3.05% | 0.86% | 3.12% | 1.52% | 1.84% | -2.48% | 2.53% | -2.49% | 7.73% |
| 2023 | 5.33% | -2.83% | 1.78% | 0.64% | -1.34% | 2.62% | 2.26% | -1.87% | -3.15% | -2.14% | 6.08% | 4.62% | 12.02% |
| 2022 | -3.54% | -1.57% | -0.59% | -4.94% | 0.35% | -4.68% | 4.60% | -3.47% | -6.86% | 3.05% | 5.57% | -2.64% | -14.52% |
| 2021 | 0.39% | 1.37% | 1.34% | 2.42% | 0.94% | 0.51% | 0.61% | 1.21% | -2.61% | 2.18% | -1.48% | 2.22% | 9.35% |
Benchmark Metrics
Bob Clyatt Sandwich Portfolio has an annualized alpha of 1.15%, beta of 0.51, and R2 of 0.89 versus S&P 500 Index. Calculated based on daily prices since December 12, 2007.
- This portfolio participated in 57.99% of S&P 500 Index downside but only 52.65% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.51 indicates this portfolio moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 1.15%
- Beta
- 0.51
- R²
- 0.89
- Upside Capture
- 52.65%
- Downside Capture
- 57.99%
Expense Ratio
Bob Clyatt Sandwich Portfolio has an expense ratio of 0.17%, 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.
Return for Risk
Risk / Return Rank
Bob Clyatt Sandwich Portfolio ranks 45 for risk / return — on par with similar Portfolios. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Bob Clyatt Sandwich Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 1.87 | 1.67 | +0.20 |
| Sortino ratioReturn per unit of downside risk | 2.68 | 2.29 | +0.39 |
| Omega ratioGain probability vs. loss probability | 1.36 | 1.30 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 2.54 | 2.29 | +0.24 |
| Martin ratioReturn relative to average drawdown | 10.67 | 10.15 | +0.53 |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|---|
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 100 | 19.43 | 173.17 | 87.41 | 353.28 | 2,801.36 |
EEM iShares MSCI Emerging Markets ETF | 67 | 1.91 | 2.47 | 1.37 | 3.20 | 11.68 |
IEI iShares 3-7 Year Treasury Bond ETF | 24 | 0.87 | 1.31 | 1.15 | 1.06 | 2.81 |
IJR iShares Core S&P Small-Cap ETF | 72 | 1.97 | 2.85 | 1.34 | 4.01 | 13.47 |
SCZ iShares MSCI EAFE Small-Cap ETF | 41 | 1.31 | 1.91 | 1.24 | 1.72 | 6.45 |
VEU Vanguard FTSE All-World ex-US ETF | 56 | 1.72 | 2.37 | 1.32 | 2.46 | 9.40 |
VNQ Vanguard Real Estate ETF | 24 | 0.75 | 1.11 | 1.14 | 1.24 | 3.92 |
VV Vanguard Large-Cap ETF | 57 | 1.74 | 2.39 | 1.31 | 2.38 | 10.45 |
Loading charts...
Dividends
Dividend yield
Bob Clyatt Sandwich Portfolio provided a 2.69% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.69% | 2.77% | 2.80% | 2.40% | 1.79% | 1.39% | 1.41% | 2.26% | 2.26% | 1.81% | 1.85% | 1.81% |
| Portfolio components: | ||||||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 3.85% | 4.13% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% |
EEM iShares MSCI Emerging Markets ETF | 1.66% | 2.22% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% |
IEI iShares 3-7 Year Treasury Bond ETF | 3.63% | 3.48% | 3.18% | 2.36% | 1.37% | 0.73% | 1.12% | 2.01% | 1.95% | 1.51% | 1.33% | 1.39% |
IJR iShares Core S&P Small-Cap ETF | 1.14% | 1.44% | 2.05% | 1.31% | 1.41% | 1.53% | 1.11% | 1.44% | 1.58% | 1.20% | 1.22% | 1.48% |
SCZ iShares MSCI EAFE Small-Cap ETF | 3.25% | 3.30% | 3.50% | 2.96% | 1.99% | 2.96% | 1.52% | 3.52% | 2.79% | 2.38% | 2.82% | 2.06% |
VEU Vanguard FTSE All-World ex-US ETF | 2.57% | 3.09% | 3.24% | 3.32% | 3.12% | 3.08% | 2.00% | 3.10% | 3.27% | 2.66% | 2.96% | 2.95% |
VNQ Vanguard Real Estate ETF | 3.59% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
VV Vanguard Large-Cap ETF | 1.00% | 1.08% | 1.24% | 1.41% | 1.66% | 1.19% | 1.46% | 1.81% | 2.09% | 1.75% | 1.98% | 1.96% |
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.
Loading charts...
Worst Drawdowns
The table below displays the maximum drawdowns of the Bob Clyatt Sandwich 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 Bob Clyatt Sandwich Portfolio was 32.63%, occurring on Mar 9, 2009. Recovery took 274 trading sessions.
The current Bob Clyatt Sandwich Portfolio drawdown is 1.20%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -32.63%Mar 2009 | 9mo 23d | 1y 1mo | 1y 10moMay 2008 - Apr 2010 |
Bear market2022 | -20.47%Oct 2022 | 11mo 10d | 1y 9mo | 2y 8moNov 2021 - Jul 2024 |
COVID crash2020 | -18.13%Mar 2020 | 1mo 9d | 2mo 17d | 3mo 26dFeb 2020 - Jun 2020 |
2011 correction2011 | -11.30%Oct 2011 | 2mo 27d | 4mo 1d | 6mo 28dJul 2011 - Feb 2012 |
Rate-hike selloffLate 2018 | -9.81%Dec 2018 | 10mo 29d | 2mo 27d | 1y 1moJan 2018 - Mar 2019 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
Loading charts...
Diversification
AI Analysis
The gist
The portfolio is a hybrid of a broad equity sleeve and a very large government-bond sleeve, so the main bet is not on a single asset class but on the balance between equity risk and rates risk. In some sense, the equities are diversified by geography and market cap, while the bond sleeve does most of the real diversification work.
The numbers
- Diversification ratio is 1.24 at 1Y and 1.27 incept, around the 40th-56th percentile on the platform: decent, but not especially rich in cross-asset dispersion.
- Effective asset count is 4.24 of 8, which says the eight tickers behave more like four or five distinct risks after correlations do their usual market thing.
- Mean pairwise correlation is 0.35, but equity pairs run much higher, with SCZ–VEU at 0.91 and VV–VEU at 0.83.
The good
- IEI (Government Bonds) at 41% gives the portfolio a separate rate-sensitive leg, and its low or negative correlations with equities are doing real work.
- The equity sleeve spans U.S., foreign developed, emerging, small, and REIT exposures, so the portfolio is not a single-country equity bet in disguise.
The bad
- The equity positions cluster tightly: VV (Large Cap Blend Equities), VEU (Foreign Large Cap Equities), SCZ (Foreign Small & Mid Cap Equities), and IJR (Small Cap Blend Equities) all move together more than the label list suggests.
- BIL (Government Bonds, Ultrashort Bond) is mostly a cash-like ballast; it stabilizes the portfolio, but only modestly changes its correlation structure.
The ugly
- If rates and equities sell off together, the portfolio loses its main source of internal offset: IEI stops being the calm object in the room, and the equity clusters do what equity clusters do.
- The VNQ (REIT) sleeve sits awkwardly between stocks and bonds, which is a polite way of saying it can fail to diversify exactly when both are already under stress.
Next steps
- Portfolios with this profile are often understood as a pair of distinct engines: an equity beta block and a duration block.
- The correlation map suggests that the portfolio’s diversification is more about asset-class separation than about fine-grained equity stock-picking.
- The current structure would be expected to diversify better in regimes where government bonds remain independent of risk assets.
Diversification Metrics
Number of Effective Assets
The portfolio contains 8 assets, with an effective number of assets of 4.24, reflecting the diversification based on asset allocation. Your allocation shows noticeable concentration: a few holdings carry significantly more weight than the rest. Rebalancing toward more even weights — or adding less correlated assets — could reduce risk.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.24 | 1.28 | 1.27 | 1.26 | 1.27 |
The portfolio has a diversification ratio of 1.27, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.
Bob Clyatt Sandwich Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.88 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.86 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.89 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.90 |
Correlation (All Time) Calculated using the full available price history since Dec 12, 2007 | 0.92 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VV has the highest benchmark correlation at 1.00, while IEI has the lowest at -0.25.
Asset Correlations Table
| BIL | IEI | VNQ | EEM | SCZ | IJR | VEU | VV | |
|---|---|---|---|---|---|---|---|---|
| BIL | 1.00 | 0.02 | -0.02 | -0.01 | -0.02 | -0.02 | -0.02 | -0.02 |
| IEI | 0.02 | 1.00 | -0.04 | -0.19 | -0.13 | -0.24 | -0.18 | -0.24 |
| VNQ | -0.02 | -0.04 | 1.00 | 0.51 | 0.56 | 0.67 | 0.57 | 0.65 |
| EEM | -0.01 | -0.19 | 0.51 | 1.00 | 0.77 | 0.66 | 0.89 | 0.75 |
| SCZ | -0.02 | -0.13 | 0.56 | 0.77 | 1.00 | 0.70 | 0.91 | 0.77 |
| IJR | -0.02 | -0.24 | 0.67 | 0.66 | 0.70 | 1.00 | 0.74 | 0.84 |
| VEU | -0.02 | -0.18 | 0.57 | 0.89 | 0.91 | 0.74 | 1.00 | 0.83 |
| VV | -0.02 | -0.24 | 0.65 | 0.75 | 0.77 | 0.84 | 0.83 | 1.00 |
Find what Bob Clyatt Sandwich Portfolio is missing
See which holdings overlap, where Bob Clyatt Sandwich Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification