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Frank Armstrong’s Ideal Index Portfolio

Last updated Dec 2, 2023

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


SHY 30%VEU 31%VTV 9.25%IJS 9.25%IJT 6.25%VV 6.25%VNQ 8%BondBondEquityEquityReal EstateReal Estate
PositionCategory/SectorWeight
SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds30%
VEU
Vanguard FTSE All-World ex-US ETF
Foreign Large Cap Equities31%
VTV
Vanguard Value ETF
Large Cap Value Equities9.25%
IJS
iShares S&P SmallCap 600 Value ETF
Small Cap Value Equities9.25%
IJT
iShares S&P SmallCap 600 Growth ETF
Small Cap Growth Equities6.25%
VV
Vanguard Large-Cap ETF
Large Cap Growth Equities6.25%
VNQ
Vanguard Real Estate ETF
REIT8%

Performance

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


-4.00%-2.00%0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
3.36%
7.29%
Frank Armstrong’s Ideal Index Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 8, 2007, corresponding to the inception date of VEU

Returns

As of Dec 2, 2023, the Frank Armstrong’s Ideal Index Portfolio returned 7.64% Year-To-Date and 5.30% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
N/AN/AN/AN/AN/AN/A
Frank Armstrong’s Ideal Index Portfolio7.64%6.82%3.36%4.39%5.61%5.30%
VEU
Vanguard FTSE All-World ex-US ETF
11.37%8.07%2.78%8.37%5.55%4.01%
VTV
Vanguard Value ETF
4.94%7.17%5.84%1.62%8.73%9.59%
VNQ
Vanguard Real Estate ETF
4.71%14.13%4.33%-0.35%4.21%6.78%
IJT
iShares S&P SmallCap 600 Growth ETF
6.94%9.59%2.94%-0.58%5.49%8.10%
IJS
iShares S&P SmallCap 600 Value ETF
4.50%12.02%2.57%-1.98%6.19%7.31%
VV
Vanguard Large-Cap ETF
22.43%8.88%8.55%15.26%12.63%11.85%
SHY
iShares 1-3 Year Treasury Bond ETF
3.33%1.12%1.95%3.23%1.14%0.82%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-2.16%3.95%2.84%-2.55%-3.18%-2.46%6.37%

Sharpe Ratio

The current Frank Armstrong’s Ideal Index Portfolio Sharpe ratio is 0.46. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.000.46

The Sharpe ratio of Frank Armstrong’s Ideal Index Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.000.501.00JulyAugustSeptemberOctoberNovemberDecember
0.46
0.91
Frank Armstrong’s Ideal Index Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

Frank Armstrong’s Ideal Index Portfolio granted a 2.69% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
Frank Armstrong’s Ideal Index Portfolio2.69%2.21%1.69%1.68%2.42%2.51%1.96%2.04%1.97%1.98%1.72%1.95%
VEU
Vanguard FTSE All-World ex-US ETF
2.99%3.12%3.08%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%2.94%
VTV
Vanguard Value ETF
2.55%2.52%2.15%2.56%2.50%2.73%2.29%2.44%2.60%2.22%2.21%2.73%
VNQ
Vanguard Real Estate ETF
4.28%3.91%2.56%3.93%3.39%4.74%4.23%4.82%3.92%3.60%4.32%3.56%
IJT
iShares S&P SmallCap 600 Growth ETF
1.19%1.08%0.63%0.68%0.92%0.92%0.86%1.03%1.14%0.78%0.70%1.41%
IJS
iShares S&P SmallCap 600 Value ETF
1.60%1.46%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%1.18%1.87%
VV
Vanguard Large-Cap ETF
1.42%1.66%1.19%1.46%1.81%2.09%1.75%1.98%1.96%1.77%1.75%2.12%
SHY
iShares 1-3 Year Treasury Bond ETF
2.91%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%0.36%0.26%0.37%

Expense Ratio

The Frank Armstrong’s Ideal Index Portfolio features an expense ratio of 0.12%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.25%
0.00%2.15%
0.15%
0.00%2.15%
0.12%
0.00%2.15%
0.07%
0.00%2.15%
0.04%
0.00%2.15%
0.04%
0.00%2.15%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
VEU
Vanguard FTSE All-World ex-US ETF
0.66
VTV
Vanguard Value ETF
0.12
VNQ
Vanguard Real Estate ETF
-0.03
IJT
iShares S&P SmallCap 600 Growth ETF
-0.03
IJS
iShares S&P SmallCap 600 Value ETF
-0.11
VV
Vanguard Large-Cap ETF
1.09
SHY
iShares 1-3 Year Treasury Bond ETF
1.25

Asset Correlations Table

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

SHYVNQVEUIJSIJTVTVVV
SHY1.00-0.09-0.18-0.24-0.23-0.27-0.24
VNQ-0.091.000.590.690.670.690.69
VEU-0.180.591.000.740.750.820.85
IJS-0.240.690.741.000.950.860.83
IJT-0.230.670.750.951.000.840.87
VTV-0.270.690.820.860.841.000.93
VV-0.240.690.850.830.870.931.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%JulyAugustSeptemberOctoberNovemberDecember
-5.76%
-4.21%
Frank Armstrong’s Ideal Index Portfolio
Benchmark (^GSPC)
Portfolio components

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.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-44.57%Nov 1, 2007339Mar 9, 2009480Feb 1, 2011819
-25.37%Jan 21, 202044Mar 23, 2020161Nov 9, 2020205
-19.24%Nov 9, 2021233Oct 12, 2022
-17.54%May 2, 2011108Oct 3, 2011239Sep 13, 2012347
-13.19%Apr 29, 2015200Feb 11, 2016117Jul 29, 2016317

Volatility Chart

The current Frank Armstrong’s Ideal Index Portfolio volatility is 3.20%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.20%
2.79%
Frank Armstrong’s Ideal Index Portfolio
Benchmark (^GSPC)
Portfolio components

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