PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Frank Armstrong’s Ideal Index Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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 Bonds

30%

VEU
Vanguard FTSE All-World ex-US ETF
Foreign Large Cap Equities

31%

VTV
Vanguard Value ETF
Large Cap Value Equities

9.25%

IJS
iShares S&P SmallCap 600 Value ETF
Small Cap Value Equities

9.25%

IJT
iShares S&P SmallCap 600 Growth ETF
Small Cap Growth Equities

6.25%

VV
Vanguard Large-Cap ETF
Large Cap Growth Equities

6.25%

VNQ
Vanguard Real Estate ETF
REIT

8%

S&P 500

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.


0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.12%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.04%
0.50%1.00%1.50%2.00%0.04%

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
SHY1.00-0.08-0.17-0.23-0.22-0.26-0.23
VNQ-0.081.000.590.690.670.690.69
VEU-0.170.591.000.730.750.820.84
IJS-0.230.690.731.000.950.850.83
IJT-0.220.670.750.951.000.830.86
VTV-0.260.690.820.850.831.000.93
VV-0.230.690.840.830.860.931.00

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


100.00%150.00%200.00%250.00%OctoberNovemberDecember2024FebruaryMarch
137.75%
265.01%
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 By Period

As of Mar 16, 2024, the Frank Armstrong’s Ideal Index Portfolio returned 1.44% Year-To-Date and 5.59% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.28%2.23%14.98%30.65%12.59%10.61%
Frank Armstrong’s Ideal Index Portfolio1.44%1.31%8.00%13.73%6.11%5.66%
VEU
Vanguard FTSE All-World ex-US ETF
3.61%3.09%9.96%18.78%5.87%4.84%
VTV
Vanguard Value ETF
5.98%3.14%11.87%22.50%10.65%10.22%
VNQ
Vanguard Real Estate ETF
-3.59%0.97%6.44%10.42%3.80%6.20%
IJT
iShares S&P SmallCap 600 Growth ETF
0.21%-0.78%11.53%19.75%7.89%8.54%
IJS
iShares S&P SmallCap 600 Value ETF
-4.32%-1.56%7.21%11.38%7.37%7.24%
VV
Vanguard Large-Cap ETF
7.61%2.23%16.12%33.33%14.36%12.54%
SHY
iShares 1-3 Year Treasury Bond ETF
-0.08%0.09%2.51%2.29%1.03%0.91%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.29%2.13%
2023-2.55%-3.18%-2.46%6.28%5.39%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.64
Frank Armstrong’s Ideal Index Portfolio
1.46
VEU
Vanguard FTSE All-World ex-US ETF
1.55
VTV
Vanguard Value ETF
2.03
VNQ
Vanguard Real Estate ETF
0.40
IJT
iShares S&P SmallCap 600 Growth ETF
1.02
IJS
iShares S&P SmallCap 600 Value ETF
0.44
VV
Vanguard Large-Cap ETF
2.84
SHY
iShares 1-3 Year Treasury Bond ETF
1.01

Sharpe Ratio

The current Frank Armstrong’s Ideal Index Portfolio Sharpe ratio is 1.46. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.46

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 Ratio0.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
1.46
2.64
Frank Armstrong’s Ideal Index Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Frank Armstrong’s Ideal Index Portfolio granted a 2.90% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Frank Armstrong’s Ideal Index Portfolio2.90%2.75%2.21%1.69%1.68%2.42%2.51%1.96%2.04%1.97%1.98%1.72%
VEU
Vanguard FTSE All-World ex-US ETF
3.59%3.32%3.12%3.08%2.00%3.10%3.27%2.66%2.96%2.95%3.52%2.66%
VTV
Vanguard Value ETF
2.32%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
4.10%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
1.02%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
1.49%1.42%1.46%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%1.18%
VV
Vanguard Large-Cap ETF
1.31%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
3.22%2.99%1.30%0.26%0.94%2.12%1.72%0.98%0.71%0.54%0.36%0.26%

Drawdowns

Drawdowns Chart

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


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-0.79%
-1.12%
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.

The current Frank Armstrong’s Ideal Index Portfolio drawdown is 0.79%.


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, 2022351Mar 7, 2024584
-17.54%May 2, 2011108Oct 3, 2011239Sep 13, 2012347
-13.19%Apr 29, 2015200Feb 11, 2016117Jul 29, 2016317

Volatility

Volatility Chart

The current Frank Armstrong’s Ideal Index Portfolio volatility is 1.90%, 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%OctoberNovemberDecember2024FebruaryMarch
1.90%
3.36%
Frank Armstrong’s Ideal Index Portfolio
Benchmark (^GSPC)
Portfolio components
0 comments