Asset Allocation
Find the right asset allocation for Frank Armstrong’s Ideal Index 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.
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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 Every 3 months.
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Returns By Period
As of Jun 24, 2026, the Frank Armstrong’s Ideal Index Portfolio returned 9.91% Year-To-Date and 8.46% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -1.44% | -1.45% | 7.60% | 6.59% | 22.24% | 19.20% | 11.54% | 13.71% |
Portfolio Frank Armstrong’s Ideal Index Portfolio | -1.08% | 1.19% | 9.91% | 9.51% | 20.21% | 13.77% | 6.57% | 8.46% |
| Portfolio components: | ||||||||
IJS iShares S&P SmallCap 600 Value ETF | -0.23% | 2.94% | 17.37% | 16.01% | 37.29% | 15.33% | 6.10% | 10.48% |
IJT iShares S&P SmallCap 600 Growth ETF | -0.43% | 5.51% | 21.22% | 17.80% | 31.64% | 16.70% | 6.16% | 11.60% |
SHY iShares 1-3 Year Treasury Bond ETF | 0.07% | 0.11% | 0.43% | 0.60% | 2.87% | 4.10% | 1.75% | 1.62% |
VEU Vanguard FTSE All-World ex-US ETF | -3.06% | 0.69% | 13.01% | 12.81% | 30.08% | 19.26% | 8.60% | 10.40% |
VNQ Vanguard Real Estate ETF | 1.31% | 1.13% | 11.77% | 12.16% | 11.59% | 11.30% | 2.83% | 5.44% |
VTV Vanguard Value ETF | -0.56% | 3.10% | 14.47% | 13.93% | 27.19% | 18.66% | 12.22% | 12.95% |
VV Vanguard Large-Cap ETF | -1.44% | -1.27% | 7.90% | 6.95% | 23.37% | 21.00% | 12.65% | 15.62% |
Monthly Returns
Based on dividend-adjusted daily data since Mar 8, 2007, Frank Armstrong’s Ideal Index Portfolio's average daily return is +0.03%, while the average monthly return is +0.56%. At this rate, an investment would double in approximately 10.3 years.
Historically, 64% of months were positive and 36% were negative. The best month was Apr 2009 with a return of +11.1%, while the worst month was Oct 2008 at -15.3%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 6 months.
On a daily basis, Frank Armstrong’s Ideal Index Portfolio closed higher 54% of trading days. The best single day was Oct 13, 2008 with a return of +7.0%, while the worst single day was Mar 16, 2020 at -7.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.41% | 2.86% | -4.61% | 5.92% | 1.95% | 0.31% | 9.91% | ||||||
| 2025 | 2.30% | 0.28% | -1.43% | -0.20% | 2.89% | 2.76% | 0.02% | 3.42% | 1.76% | 0.47% | 1.10% | 0.79% | 14.99% |
| 2024 | -1.29% | 2.13% | 2.49% | -3.06% | 3.12% | 0.01% | 4.02% | 1.64% | 1.70% | -2.42% | 2.94% | -3.44% | 7.73% |
| 2023 | 5.98% | -2.78% | 0.49% | 0.53% | -2.16% | 3.94% | 2.84% | -2.55% | -3.18% | -2.46% | 6.28% | 5.39% | 12.18% |
| 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% |
Benchmark Metrics
Frank Armstrong’s Ideal Index Portfolio has an annualized alpha of -0.18%, beta of 0.68, and R2 of 0.89 versus S&P 500 Index. Calculated based on daily prices since March 08, 2007.
- This portfolio participated in 74.85% of S&P 500 Index downside but only 65.70% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.68 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
- -0.18%
- Beta
- 0.68
- R²
- 0.89
- Upside Capture
- 65.70%
- Downside Capture
- 74.85%
Expense Ratio
Frank Armstrong’s Ideal Index Portfolio has an expense ratio of 0.11%, 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
Frank Armstrong’s Ideal Index 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.
Return / Risk — by metrics
The table below presents risk-adjusted performance metrics for Frank Armstrong’s Ideal Index 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 | 2.10 | 1.78 | +0.31 |
| Sortino ratioReturn per unit of downside risk | 2.99 | 2.44 | +0.56 |
| Omega ratioGain probability vs. loss probability | 1.38 | 1.32 | +0.06 |
| Calmar ratioReturn relative to maximum drawdown | 3.07 | 2.46 | +0.61 |
| Martin ratioReturn relative to average drawdown | 12.29 | 10.92 | +1.37 |
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 |
|---|---|---|---|---|---|---|
IJS iShares S&P SmallCap 600 Value ETF | 69 | 2.05 | 2.93 | 1.35 | 4.04 | 13.28 |
IJT iShares S&P SmallCap 600 Growth ETF | 61 | 1.78 | 2.61 | 1.31 | 3.50 | 12.23 |
SHY iShares 1-3 Year Treasury Bond ETF | 72 | 2.10 | 3.32 | 1.42 | 3.24 | 12.62 |
VEU Vanguard FTSE All-World ex-US ETF | 56 | 1.84 | 2.52 | 1.34 | 2.64 | 10.12 |
VNQ Vanguard Real Estate ETF | 26 | 0.85 | 1.23 | 1.15 | 1.40 | 4.37 |
VTV Vanguard Value ETF | 84 | 2.63 | 3.75 | 1.47 | 4.30 | 16.20 |
VV Vanguard Large-Cap ETF | 57 | 1.86 | 2.54 | 1.33 | 2.55 | 11.23 |
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Dividends
Dividend yield
Frank Armstrong’s Ideal Index Portfolio provided a 2.59% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.59% | 2.88% | 3.01% | 2.75% | 2.21% | 1.69% | 1.68% | 2.42% | 2.51% | 1.96% | 2.04% | 1.97% |
| Portfolio components: | ||||||||||||
IJS iShares S&P SmallCap 600 Value ETF | 1.36% | 1.62% | 1.78% | 1.42% | 1.46% | 1.52% | 1.00% | 1.66% | 1.75% | 1.41% | 1.22% | 1.59% |
IJT iShares S&P SmallCap 600 Growth ETF | 0.71% | 0.91% | 1.06% | 1.02% | 1.08% | 0.63% | 0.68% | 0.92% | 0.92% | 0.86% | 1.03% | 1.14% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.68% | 3.81% | 3.92% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% |
VEU Vanguard FTSE All-World ex-US ETF | 2.56% | 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 | 3.56% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
VTV Vanguard Value ETF | 1.83% | 2.05% | 2.31% | 2.46% | 2.52% | 2.15% | 2.56% | 2.50% | 2.73% | 2.29% | 2.44% | 2.60% |
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.
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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 1.11%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Financial crisis2007–2009 | -44.57%Mar 2009 | 1y 4mo | 1y 10mo | 3y 3moNov 2007 - Feb 2011 |
COVID crash2020 | -25.37%Mar 2020 | 2mo 2d | 7mo 21d | 9mo 23dJan 2020 - Nov 2020 |
Bear market2022 | -19.24%Oct 2022 | 11mo 7d | 1y 4mo | 2y 3moNov 2021 - Mar 2024 |
2011 correction2011 | -17.54%Oct 2011 | 5mo 4d | 11mo 16d | 1y 4moMay 2011 - Sep 2012 |
2016 correction2016 | -13.19%Feb 2016 | 9mo 18d | 5mo 19d | 1y 3moApr 2015 - Jul 2016 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
AI Analysis
The gist
The portfolio is mostly a single equity bet wrapped in a short-duration bond sleeve: six risk assets move together, and Short Treasury ETF (SHY) is doing the actual diversifying.
The numbers
- Diversification ratio is 1.17 at 1Y and 1.13 incept, which sits around the 26th-36th percentile on the platform; that is modest diversification, not a portfolio with many independent engines.
- Effective asset count is 4.6 of 7, but the cluster data says otherwise: one bond sleeve plus one equity cluster, which is the market’s way of saying “technically seven positions.”
- The strongest internal correlations are high: iShares S&P SmallCap 600 Value ETF (IJS) and iShares S&P SmallCap 600 Growth ETF (IJT) at 0.95, and Vanguard Value ETF (VTV) with Vanguard Mega Cap ETF (VV) at 0.90.
The good
- SHY’s -0.12 correlation to the portfolio and its 30% weight give the structure a real stabilizer.
- Vanguard FTSE All-World ex-US ETF (VEU) and Vanguard Real Estate ETF (VNQ) at least introduce non-U.S. and real-asset exposure, which is more varied than a plain U.S. equity basket.
The bad
- The equity sleeve is heavily self-referential: VTV, VV, IJT, and IJS all sit in one cluster, so the value/growth and large/small distinctions matter less than they look on paper.
- VEU’s 0.93 portfolio correlation means foreign equities are behaving like another equity beta source, not a separate risk stream.
- VNQ is the lone non-bond outlier, but at 0.74 portfolio correlation it is still mostly an equity cousin with a different costume.
The ugly
- In an equity selloff driven by rates, earnings revisions, or recession, the cluster can compress further and leave SHY as the only meaningful offset.
- If small-cap style spreads or value/growth spreads widen in a crisis, the portfolio does not own enough independent factor variation for that to matter much.
Diversification Metrics
Number of Effective Assets
The portfolio contains 7 assets, with an effective number of assets of 4.60, 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 | 1.17 | 1.17 | 1.16 | 1.14 | 1.13 |
The portfolio has a diversification ratio of 1.13, placing it in the bottom quartile across portfolios — positions are highly correlated. Consider adding assets from different classes or sectors to reduce risk.
Frank Armstrong’s Ideal Index Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.82 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.82 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.86 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.88 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 2007 | 0.92 |
Benchmark Correlations
Correlation vs. S&P 500 Index. VV has the highest benchmark correlation at 1.00, while SHY has the lowest at -0.19.
Asset Correlations Table
Find what Frank Armstrong’s Ideal Index Portfolio is missing
See which holdings overlap, where Frank Armstrong’s Ideal Index Portfolio is concentrated, and which low-correlation assets could fill the gaps.
Analyze Diversification