Frank Armstrong’s Ideal Index Portfolio
The portfolio proposed by investment advisor Frank Armstrong in his book The Informed Investor: A Hype-Free Guide to Constructing a Sound Financial Portfolio.
Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Frank Armstrong’s Ideal Index 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 Quarterly
The earliest data available for this chart is Mar 8, 2007, corresponding to the inception date of VEU
Returns By Period
As of Nov 20, 2024, the Frank Armstrong’s Ideal Index Portfolio returned 9.45% Year-To-Date and 6.02% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y (annualized) | 10Y (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 24.05% | 1.08% | 11.50% | 30.38% | 13.77% | 11.13% |
| Frank Armstrong’s Ideal Index Portfolio | 9.47% | -0.53% | 5.67% | 16.43% | 6.67% | 6.02% |
| Portfolio components: | ||||||
VEU Vanguard FTSE All-World ex-US ETF | 6.93% | -3.93% | 0.00% | 12.97% | 5.60% | 4.83% |
VTV Vanguard Value ETF | 20.03% | 0.08% | 9.78% | 27.87% | 11.46% | 10.42% |
VNQ Vanguard Real Estate ETF | 10.64% | -0.69% | 15.94% | 25.05% | 4.63% | 6.02% |
IJT iShares S&P SmallCap 600 Growth ETF | 15.73% | 4.01% | 10.76% | 30.43% | 10.52% | 10.29% |
IJS iShares S&P SmallCap 600 Value ETF | 10.07% | 4.43% | 12.31% | 26.28% | 9.48% | 8.54% |
VV Vanguard Large-Cap ETF | 25.77% | 1.39% | 12.44% | 32.52% | 15.53% | 13.09% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.35% | -0.13% | 2.90% | 4.89% | 1.19% | 1.19% |
Monthly Returns
The table below presents the monthly returns of Frank Armstrong’s Ideal Index 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -1.29% | 2.13% | 2.49% | -3.06% | 3.13% | 0.01% | 4.02% | 1.64% | 1.70% | -2.42% | 9.47% | ||
| 2023 | 5.98% | -2.78% | 0.49% | 0.53% | -2.16% | 3.95% | 2.84% | -2.55% | -3.18% | -2.46% | 6.28% | 5.39% | 12.19% |
| 2022 | -3.15% | -1.41% | 0.46% | -4.67% | 0.81% | -5.65% | 4.43% | -3.30% | -7.24% | 4.81% | 6.31% | -2.85% | -11.79% |
| 2021 | 0.97% | 2.86% | 2.48% | 2.37% | 1.73% | 0.11% | -0.22% | 1.32% | -2.56% | 2.78% | -2.26% | 3.46% | 13.61% |
| 2020 | -1.69% | -5.19% | -11.18% | 6.74% | 2.82% | 2.22% | 2.85% | 2.95% | -1.97% | -0.78% | 9.44% | 4.01% | 8.89% |
| 2019 | 6.22% | 1.77% | 0.43% | 2.10% | -3.93% | 4.28% | -0.08% | -1.33% | 1.98% | 1.88% | 1.22% | 2.31% | 17.80% |
| 2018 | 2.48% | -3.56% | 0.11% | 0.42% | 0.98% | -0.05% | 2.06% | 0.67% | -0.54% | -5.26% | 1.57% | -5.11% | -6.42% |
| 2017 | 1.37% | 1.50% | 0.66% | 0.91% | 0.68% | 0.96% | 1.62% | -0.18% | 2.11% | 0.94% | 1.41% | 0.78% | 13.51% |
| 2016 | -3.52% | -0.54% | 5.68% | 0.85% | 0.31% | 0.74% | 2.93% | 0.13% | 0.45% | -1.89% | 1.80% | 1.92% | 8.92% |
| 2015 | -0.44% | 3.14% | -0.21% | 0.82% | 0.05% | -1.42% | 0.42% | -4.64% | -1.76% | 4.71% | -0.06% | -1.67% | -1.36% |
| 2014 | -2.52% | 3.48% | 0.58% | 0.43% | 1.17% | 1.59% | -1.52% | 1.82% | -3.06% | 2.33% | 0.49% | -0.64% | 4.02% |
| 2013 | 2.87% | 0.13% | 1.74% | 2.03% | -0.55% | -1.52% | 3.48% | -2.14% | 4.14% | 2.66% | 0.90% | 0.97% | 15.49% |
Expense Ratio
Frank Armstrong’s Ideal Index Portfolio has an expense ratio of 0.12%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Frank Armstrong’s Ideal Index Portfolio is 33, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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 | |
|---|---|---|---|---|---|
VEU Vanguard FTSE All-World ex-US ETF | 0.99 | 1.43 | 1.18 | 1.17 | 4.92 |
VTV Vanguard Value ETF | 2.73 | 3.85 | 1.50 | 5.46 | 17.44 |
VNQ Vanguard Real Estate ETF | 1.49 | 2.10 | 1.26 | 0.89 | 5.37 |
IJT iShares S&P SmallCap 600 Growth ETF | 1.49 | 2.21 | 1.26 | 1.39 | 8.93 |
IJS iShares S&P SmallCap 600 Value ETF | 1.17 | 1.79 | 1.21 | 1.54 | 5.32 |
VV Vanguard Large-Cap ETF | 2.59 | 3.45 | 1.48 | 3.74 | 16.86 |
SHY iShares 1-3 Year Treasury Bond ETF | 2.65 | 4.21 | 1.55 | 2.29 | 13.11 |
Dividends
Dividend yield
Frank Armstrong’s Ideal Index Portfolio provided a 2.87% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.87% | 2.75% | 2.21% | 1.69% | 1.68% | 2.42% | 2.51% | 1.96% | 2.04% | 1.97% | 1.98% | 1.72% |
| Portfolio components: | ||||||||||||
VEU Vanguard FTSE All-World ex-US ETF | 2.98% | 3.32% | 3.12% | 3.07% | 2.00% | 3.10% | 3.27% | 2.66% | 2.96% | 2.95% | 3.52% | 2.66% |
VTV Vanguard Value ETF | 2.25% | 2.46% | 2.52% | 2.15% | 2.56% | 2.50% | 2.73% | 2.29% | 2.44% | 2.60% | 2.22% | 2.21% |
VNQ Vanguard Real Estate ETF | 3.84% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% | 4.32% |
IJT iShares S&P SmallCap 600 Growth ETF | 0.96% | 1.02% | 1.08% | 0.63% | 0.68% | 0.92% | 0.92% | 0.86% | 1.03% | 1.14% | 0.78% | 0.70% |
IJS iShares S&P SmallCap 600 Value ETF | 1.45% | 1.42% | 1.47% | 1.52% | 1.00% | 1.66% | 1.75% | 1.41% | 1.22% | 1.59% | 1.41% | 1.18% |
VV Vanguard Large-Cap ETF | 1.25% | 1.41% | 1.66% | 1.19% | 1.46% | 1.81% | 2.09% | 1.75% | 1.98% | 1.96% | 1.77% | 1.75% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.86% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.72% | 0.54% | 0.36% | 0.26% |
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.
Worst Drawdowns
The table below displays the maximum drawdowns of the Frank Armstrong’s Ideal Index 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 Frank Armstrong’s Ideal Index Portfolio was 44.57%, occurring on Mar 9, 2009. Recovery took 480 trading sessions.
The current Frank Armstrong’s Ideal Index Portfolio drawdown is 1.57%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -44.57% | Nov 1, 2007 | 339 | Mar 9, 2009 | 480 | Feb 1, 2011 | 819 |
| -25.37% | Jan 21, 2020 | 44 | Mar 23, 2020 | 161 | Nov 9, 2020 | 205 |
| -19.24% | Nov 9, 2021 | 233 | Oct 12, 2022 | 351 | Mar 7, 2024 | 584 |
| -17.54% | May 2, 2011 | 108 | Oct 3, 2011 | 239 | Sep 13, 2012 | 347 |
| -13.19% | Apr 29, 2015 | 200 | Feb 11, 2016 | 117 | Jul 29, 2016 | 317 |
Volatility
Volatility Chart
The current Frank Armstrong’s Ideal Index Portfolio volatility is 2.22%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
| SHY | VNQ | VEU | IJS | IJT | VV | VTV | |
|---|---|---|---|---|---|---|---|
| SHY | 1.00 | -0.06 | -0.15 | -0.21 | -0.20 | -0.21 | -0.24 |
| VNQ | -0.06 | 1.00 | 0.58 | 0.69 | 0.67 | 0.68 | 0.69 |
| VEU | -0.15 | 0.58 | 1.00 | 0.73 | 0.75 | 0.84 | 0.81 |
| IJS | -0.21 | 0.69 | 0.73 | 1.00 | 0.95 | 0.82 | 0.85 |
| IJT | -0.20 | 0.67 | 0.75 | 0.95 | 1.00 | 0.86 | 0.83 |
| VV | -0.21 | 0.68 | 0.84 | 0.82 | 0.86 | 1.00 | 0.92 |
| VTV | -0.24 | 0.69 | 0.81 | 0.85 | 0.83 | 0.92 | 1.00 |