Asset Allocation
Benchmark: S&P 500 Index · Rebalance: Every 3 months
Find the right asset allocation for Bob Clyatt Sandwich Portfolio
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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.
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Returns By Period
As of Aug 5, 2026, the Bob Clyatt Sandwich Portfolio returned 8.92% Year-To-Date and 7.17% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 1.79% | 3.38% | 11.83% | 13.02% | 22.22% | 19.99% | 11.80% | 13.49% | 8.15% |
Portfolio Bob Clyatt Sandwich Portfolio | 0.99% | 1.30% | 6.51% | 8.92% | 14.98% | 11.96% | 5.34% | 7.17% | 6.20% |
| Portfolio components: | |||||||||
BIL SPDR Bloomberg 1-3 Month T-Bill ETF | 0.00% | 0.28% | 1.78% | 2.10% | 3.76% | 4.54% | 3.54% | 2.24% | 1.37% |
EEM iShares MSCI Emerging Markets ETF | 2.61% | 0.46% | 11.31% | 21.26% | 38.18% | 20.47% | 7.22% | 8.42% | 10.01% |
IEI iShares 3-7 Year Treasury Bond ETF | 0.29% | -0.14% | -0.12% | -0.22% | 1.50% | 3.83% | 0.14% | 1.23% | 2.84% |
IJR iShares Core S&P Small-Cap ETF | 1.72% | 2.68% | 17.83% | 25.73% | 38.16% | 15.13% | 8.14% | 11.02% | 10.28% |
SCZ iShares MSCI EAFE Small-Cap ETF | 1.26% | 2.30% | 5.10% | 11.69% | 19.97% | 16.22% | 5.43% | 8.39% | 5.62% |
VEU Vanguard FTSE All-World ex-US ETF | 1.63% | 1.93% | 8.59% | 15.69% | 29.50% | 19.13% | 9.28% | 9.80% | 5.56% |
VNQ Vanguard Real Estate ETF | -0.15% | 0.92% | 12.49% | 13.98% | 14.38% | 10.29% | 2.28% | 4.99% | 7.72% |
VV Vanguard Large-Cap ETF | 1.81% | 3.57% | 12.73% | 13.49% | 23.20% | 21.75% | 12.93% | 15.38% | 11.13% |
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 +0.54%. At this rate, an investment would double in approximately 10.7 years.
Historically, 66% of months were positive and 34% 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% | 0.14% | -0.49% | 1.59% | 8.92% | ||||
| 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
This portfolio has an annualized alpha of 1.11%, 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 58.06% of S&P 500 Index downside but only 52.59% 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
- 1.11%
- Beta
- 0.51
- R²
- 0.89
- Upside Capture
- 52.59%
- Downside Capture
- 58.06%
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 56 for risk / return — above 56% of Portfolios peers on PortfoliosLab. Its historical combined result is near the middle of the peer group.
Risk / Return 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 | 1.84 | 1.73 | +0.11 |
| Sortino ratioReturn per unit of downside risk | 2.65 | 2.40 | +0.25 |
| Omega ratioGain probability vs. loss probability | 1.35 | 1.31 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.55 | 2.45 | +0.10 |
| Martin ratioReturn relative to average drawdown | 10.56 | 10.40 | +0.16 |
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 | 19.07 | 151.51 | 68.62 | 345.49 | 2,450.06 |
EEM iShares MSCI Emerging Markets ETF | 60 | 1.56 | 2.09 | 1.29 | 2.69 | 8.17 |
IEI iShares 3-7 Year Treasury Bond ETF | 20 | 0.52 | 0.75 | 1.09 | 0.60 | 1.37 |
IJR iShares Core S&P Small-Cap ETF | 87 | 2.22 | 3.22 | 1.38 | 4.41 | 15.08 |
SCZ iShares MSCI EAFE Small-Cap ETF | 47 | 1.32 | 1.92 | 1.24 | 1.75 | 6.37 |
VEU Vanguard FTSE All-World ex-US ETF | 67 | 1.75 | 2.41 | 1.32 | 2.59 | 9.48 |
VNQ Vanguard Real Estate ETF | 40 | 1.05 | 1.54 | 1.19 | 1.73 | 5.60 |
VV Vanguard Large-Cap ETF | 69 | 1.79 | 2.48 | 1.32 | 2.53 | 10.66 |
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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 | 3.77% | 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 | 1.69% | 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 | 3.70% | 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 | 1.09% | 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 | 3.12% | 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 | 2.50% | 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 | 3.51% | 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 | 0.99% | 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.
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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.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-32.63%Mar 2009 | 9mo 23d | 1y 1mo | 1y 10moMay 2008 - Apr 2010 | Financial crisis2007–2009 |
-20.47%Oct 2022 | 11mo 10d | 1y 9mo | 2y 8moNov 2021 - Jul 2024 | Bear market2022 |
-18.13%Mar 2020 | 1mo 9d | 2mo 17d | 3mo 26dFeb 2020 - Jun 2020 | COVID crash2020 |
-11.30%Oct 2011 | 2mo 27d | 4mo 1d | 6mo 28dJul 2011 - Feb 2012 | — |
-9.81%Dec 2018 | 10mo 29d | 2mo 27d | 1y 1moJan 2018 - Mar 2019 | Rate-hike selloffLate 2018 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is a globally diversified equity allocation wrapped in 45% government bonds, but several equity sleeves are different labels for the same risk.
The numbers
- Diversification ratio: 1.23 over one year and 1.27 since inception, ranging from the 39th to 56th percentile: modest, not remarkable.
- Effective asset count is 4.24 of 8, or roughly 53% of the nominal count, reflecting concentration in broad equity and bond clusters.
- Mean pairwise correlation is 0.35, with a wide range from -0.24 to 0.91.
The good
- IEI (Government Bonds) and BIL (Ultrashort Government Bonds) have near-zero or negative correlation with equities, giving the portfolio a genuine ballast.
- The bond allocation is large enough to matter rather than serving as decorative diversification.
The bad
- SCZ (Foreign Small and Mid Cap Equities) and VEU (Foreign Large Cap Equities) correlate at 0.91; VV (Large Cap Blend Equities) and IJR (Small Cap Blend Equities) correlate at 0.84.
- EEM, SCZ, and VEU form one international-equity cluster, while VV, IJR, and VNQ form another. Eight tickers are present; fewer independent bets are.
The ugly
- A rate shock could pressure IEI and VNQ simultaneously, while the equity clusters remain exposed to the same global growth cycle.
Next steps
- Portfolios with this structure are typically complemented by risk drivers outside both equity beta and interest-rate sensitivity.
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.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.23 | 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.
Bob Clyatt Sandwich Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.89 |
Correlation (3Y) Balances recent behavior with more history. | 0.87 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.89 |
Correlation (10Y) Provides a long-term view across more market conditions. | 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 -0.24.
Asset Correlations Table
| BIL | IEI | VNQ | EEM | SCZ | IJR | VEU | VV | |
|---|---|---|---|---|---|---|---|---|
| BIL | 1.00 | 0.02 | -0.01 | -0.01 | -0.01 | -0.02 | -0.02 | -0.02 |
| IEI | 0.02 | 1.00 | -0.04 | -0.19 | -0.13 | -0.23 | -0.18 | -0.24 |
| VNQ | -0.01 | -0.04 | 1.00 | 0.50 | 0.56 | 0.67 | 0.57 | 0.65 |
| EEM | -0.01 | -0.19 | 0.50 | 1.00 | 0.77 | 0.65 | 0.89 | 0.75 |
| SCZ | -0.01 | -0.13 | 0.56 | 0.77 | 1.00 | 0.70 | 0.91 | 0.77 |
| IJR | -0.02 | -0.23 | 0.67 | 0.65 | 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.
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