Bob Clyatt Sandwich Portfolio

Asset Allocation

Position	Category/Sector	Target Weight
IEI iShares 3-7 Year Treasury Bond ETF	Government Bonds	41%
VV Vanguard Large-Cap ETF	Large Cap Blend Equities	20%
SCZ iShares MSCI EAFE Small-Cap ETF	Foreign Small & Mid Cap Equities	10%
IJR iShares Core S&P Small-Cap ETF	Small Cap Blend Equities	8%
EEM iShares MSCI Emerging Markets ETF	Emerging Markets Diversified	6%
VEU Vanguard FTSE All-World ex-US ETF	Foreign Large Cap Equities	6%
VNQ Vanguard Real Estate ETF	REIT	5%
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	Government Bonds, Ultrashort Bond	4%

Benchmark Against

Benchmark

S&P 500 Index

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Performance

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 Jun 5, 2026, the Bob Clyatt Sandwich Portfolio returned 7.68% Year-To-Date and 7.29% of annualized return in the last 10 years.

Position	1D	1M	YTD	6M	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.41%	4.48%	10.79%	10.60%	27.02%	21.07%	12.39%	13.65%
Portfolio Bob Clyatt Sandwich Portfolio	0.34%	2.00%	7.68%	8.11%	17.43%	12.36%	5.28%	7.29%
Portfolio components:
BIL SPDR Bloomberg 1-3 Month T-Bill ETF	0.00%	0.27%	1.49%	1.76%	3.87%	4.64%	3.41%	2.18%
EEM iShares MSCI Emerging Markets ETF	-1.17%	5.66%	26.30%	29.01%	52.09%	23.47%	6.76%	9.68%
IEI iShares 3-7 Year Treasury Bond ETF	0.09%	-0.13%	-0.33%	-0.22%	2.93%	3.54%	0.25%	1.30%
IJR iShares Core S&P Small-Cap ETF	1.31%	1.56%	16.89%	15.84%	33.61%	15.68%	5.91%	10.68%
SCZ iShares MSCI EAFE Small-Cap ETF	0.88%	2.41%	10.52%	13.03%	24.38%	16.72%	5.21%	8.11%
VEU Vanguard FTSE All-World ex-US ETF	0.15%	3.74%	14.77%	17.23%	31.73%	19.86%	8.71%	9.88%
VNQ Vanguard Real Estate ETF	1.79%	0.36%	9.76%	8.93%	11.63%	10.05%	2.54%	5.47%
VV Vanguard Large-Cap ETF	0.42%	4.83%	11.16%	10.98%	28.29%	22.94%	13.64%	15.57%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Dec 13, 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%	0.08%							7.68%
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 1.13%, beta of 0.51, and R2 of 0.89 versus S&P 500 Index. Calculated based on daily prices since December 13, 2007.

This portfolio participated in 58.21% of S&P 500 Index downside but only 52.69% 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: 1.13%

Beta: 0.51

R²: 0.89

Upside Capture: 52.69%

Downside Capture: 58.21%

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.

EEM

iShares MSCI Emerging Markets ETF

SCZ

iShares MSCI EAFE Small-Cap ETF

IEI

iShares 3-7 Year Treasury Bond ETF

BIL

SPDR Bloomberg 1-3 Month T-Bill ETF

VNQ

Vanguard Real Estate ETF

IJR

iShares Core S&P Small-Cap ETF

Vanguard Large-Cap ETF

VEU

Vanguard FTSE All-World ex-US ETF

Return for Risk

Risk / Return Rank

Bob Clyatt Sandwich Portfolio ranks 49 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.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.

	Portfolio	Benchmark	Difference
Sharpe ratioReturn per unit of total volatility	2.32	2.28	+0.03
Sortino ratioReturn per unit of downside risk	3.37	3.12	+0.25
Omega ratioGain probability vs. loss probability	1.44	1.41	+0.03
Calmar ratioReturn relative to maximum drawdown	2.96	2.98	-0.02
Martin ratioReturn relative to average drawdown	12.70	13.78	-1.08
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

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	19.71	174.16	87.91	355.35	2,817.77
EEM iShares MSCI Emerging Markets ETF	79	2.62	3.42	1.48	3.87	14.91
IEI iShares 3-7 Year Treasury Bond ETF	26	0.98	1.48	1.17	1.18	3.52
IJR iShares Core S&P Small-Cap ETF	64	1.93	2.78	1.33	3.89	12.94
SCZ iShares MSCI EAFE Small-Cap ETF	49	1.69	2.42	1.31	2.14	8.19
VEU Vanguard FTSE All-World ex-US ETF	62	2.09	2.89	1.38	2.79	10.84
VNQ Vanguard Real Estate ETF	27	0.88	1.28	1.16	1.40	4.41
VV Vanguard Large-Cap ETF	72	2.37	3.24	1.43	3.09	14.11

Sharpe Ratio

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Bob Clyatt Sandwich Portfolio Sharpe ratios as of Jun 5, 2026 (values are recalculated daily):

1-Year: 2.32
5-Year: 0.57
10-Year: 0.78
All Time: 0.58

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 1.83 to 2.81, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Bob Clyatt Sandwich Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Dividends

Dividend yield

Bob Clyatt Sandwich Portfolio provided a 2.67% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	2.67%	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	3.86%	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	1.76%	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	3.64%	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	2.98%	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	2.60%	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	3.63%	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	0.97%	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.

The current Bob Clyatt Sandwich Portfolio drawdown is 0.17%.

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.

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Diversification

AI Analysis

Thesis

The portfolio is a classic two-engine structure: a large government-bond sleeve anchored by IEI and BIL, plus a broad equity risk sleeve that mixes U.S., developed foreign, emerging, and REIT exposures. It is, in some sense, a bet that stock-market dispersion matters less than the old equity-versus-duration split.

The numbers

The diversification ratio is 1.24 at 1Y and 1.27 incept-to-date, around the 39th–55th percentile on the platform: some diversification benefit, but not much drama.
Effective asset count is 4.24 of 8, which says the eight holdings are spread out but not all meaningfully independent.
The mean pairwise correlation is 0.35, with a high end of 0.91 among equity sleeves and a low near -0.24 against IEI.

What works

IEI at 41% and BIL at 4% give the portfolio a distinct duration anchor; those positions sit in their own cluster and are the main reason the portfolio is not just eight ways to own equities.
The equity sleeve spans U.S. growth, foreign large cap, foreign small/mid, emerging markets, and small caps, so the geography is real even if the correlations are not.

What does not

VV (Large Cap Growth Equities), VEU (Foreign Large Cap Equities), SCZ (Foreign Small & Mid Cap Equities), and EEM (Emerging Markets Diversified) are highly linked; the portfolio’s equity diversification is thinner than the tickers suggest.
VV, IJR, and VNQ form a second cluster, which is a polite way of saying REITs and domestic equities are not living entirely separate lives.

Stress Scenario

In a rates-shock or inflation-repricing regime, the bond sleeve and equity sleeve can stop offsetting as neatly if duration and equity multiples fall together; then the portfolio behaves like one portfolio with several labels.

Worth knowing

The 1Y diversification ratio is below the longer-window readings, which usually means recent correlations have been a bit less helpful than the full-history average.
Portfolios with this cluster structure are typically more sensitive to the bond/equity mix than to the exact equity labels.

AI-generated analysis. Not investment advice. Verify key facts independently.

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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

Bob Clyatt Sandwich Portfolio has a 0.88 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	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 13, 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.

-0.25

-0.01

0.66

0.74

0.77

0.83

0.84

1.00

Portfolio Correlations

Correlation vs. Bob Clyatt Sandwich Portfolio. VV has the highest portfolio correlation at 0.92, while IEI has the lowest at -0.05.

-0.05

-0.01

0.73

0.83

0.86

0.88

0.91

0.92

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

	BIL	IEI	VNQ	EEM	SCZ	IJR	VEU	VV
BIL	1.00	0.02	-0.02	-0.01	-0.01	-0.02	-0.02	-0.02
IEI	0.02	1.00	-0.04	-0.19	-0.14	-0.24	-0.18	-0.24
VNQ	-0.02	-0.04	1.00	0.51	0.56	0.68	0.58	0.66
EEM	-0.01	-0.19	0.51	1.00	0.77	0.66	0.89	0.75
SCZ	-0.01	-0.14	0.56	0.77	1.00	0.70	0.91	0.77
IJR	-0.02	-0.24	0.68	0.66	0.70	1.00	0.74	0.84
VEU	-0.02	-0.18	0.58	0.89	0.91	0.74	1.00	0.83
VV	-0.02	-0.24	0.66	0.75	0.77	0.84	0.83	1.00

The correlation results are calculated based on daily price changes starting from Dec 13, 2007

Diversification Analysis

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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