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 3, 2026, the Frank Armstrong’s Ideal Index Portfolio returned 10.11% Year-To-Date and 8.23% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.13% | 5.25% | 11.16% | 11.43% | 28.20% | 21.12% | 12.66% | 13.75% |
Portfolio Frank Armstrong’s Ideal Index Portfolio | 0.51% | 2.50% | 10.11% | 11.39% | 21.53% | 13.69% | 6.61% | 8.23% |
| Portfolio components: | ||||||||
IJS iShares S&P SmallCap 600 Value ETF | 1.07% | 2.26% | 16.54% | 17.68% | 41.12% | 14.47% | 5.86% | 10.20% |
IJT iShares S&P SmallCap 600 Growth ETF | 0.68% | 0.94% | 16.04% | 15.93% | 28.51% | 14.61% | 5.70% | 10.80% |
SHY iShares 1-3 Year Treasury Bond ETF | 0.00% | 0.00% | 0.48% | 0.80% | 3.34% | 4.04% | 1.73% | 1.65% |
VEU Vanguard FTSE All-World ex-US ETF | 0.73% | 5.19% | 15.73% | 18.94% | 33.06% | 20.01% | 9.10% | 10.05% |
VNQ Vanguard Real Estate ETF | 0.46% | -1.60% | 7.96% | 7.15% | 9.88% | 9.19% | 2.21% | 5.22% |
VTV Vanguard Value ETF | 0.88% | 3.55% | 12.28% | 14.14% | 26.90% | 18.27% | 11.31% | 12.48% |
VV Vanguard Large-Cap ETF | 0.18% | 5.61% | 11.49% | 11.76% | 29.28% | 22.98% | 13.92% | 15.66% |
Monthly Returns
Based on dividend-adjusted daily data since Mar 9, 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% | 0.49% | 10.11% | ||||||
| 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 -0.29%, beta of 0.68, and R2 of 0.89 versus S&P 500 Index. Calculated based on daily prices since March 09, 2007.
- This portfolio participated in 75.50% of S&P 500 Index downside but only 65.78% 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
- -0.29%
- Beta
- 0.68
- R²
- 0.89
- Upside Capture
- 65.78%
- Downside Capture
- 75.50%
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 46 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.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.34 | 2.39 | -0.05 |
Sortino ratioReturn per unit of downside risk | 3.36 | 3.25 | +0.10 |
Omega ratioGain probability vs. loss probability | 1.43 | 1.43 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 3.27 | 3.11 | +0.16 |
Martin ratioReturn relative to average drawdown | 13.16 | 14.38 | -1.22 |
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 |
|---|---|---|---|---|---|---|
IJS iShares S&P SmallCap 600 Value ETF | 71 | 2.26 | 3.20 | 1.39 | 4.35 | 14.25 |
IJT iShares S&P SmallCap 600 Growth ETF | 52 | 1.63 | 2.40 | 1.29 | 3.15 | 10.95 |
SHY iShares 1-3 Year Treasury Bond ETF | 79 | 2.51 | 4.14 | 1.51 | 3.67 | 14.96 |
VEU Vanguard FTSE All-World ex-US ETF | 64 | 2.18 | 3.00 | 1.40 | 3.01 | 11.72 |
VNQ Vanguard Real Estate ETF | 23 | 0.75 | 1.11 | 1.14 | 1.20 | 3.80 |
VTV Vanguard Value ETF | 81 | 2.67 | 3.82 | 1.48 | 4.27 | 16.15 |
VV Vanguard Large-Cap ETF | 73 | 2.46 | 3.35 | 1.44 | 3.28 | 15.05 |
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Dividends
Dividend yield
Frank Armstrong’s Ideal Index Portfolio provided a 2.60% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.60% | 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 | 1.28% | 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 | 0.76% | 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 | 2.58% | 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 | 3.69% | 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 | 1.86% | 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 | 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 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.
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
Thesis
The portfolio is mostly a global equity barbell with a large short-term Treasury sleeve, so the bet is on equity-market participation with a cash-like ballast rather than on genuinely independent return drivers.
The numbers
- The diversification ratio is 1.13 incept-to-date and only 1.16 over 1Y, which sits around the 26th-36th percentile on the platform; that is modest diversification, not much more.
- Effective asset count is 4.6 of 7, so the weights are spread out, but several sleeves are close cousins in disguise.
- Correlations average 0.51, with a tight equity cluster and one bond outlier; the math says the portfolio is partly diversified, partly repackaging the same equity cycle.
What works
- SHY (Government Bonds, Short-Term Bond) is genuinely different from the rest, and its slight negative correlations give the portfolio some shock absorption.
- VEU (Foreign Large Cap Equities) does widen the geographic footprint beyond the U.S., which is useful in the narrow and boring way diversification usually is.
What does not
- IJT (Small Cap Growth Equities) and IJS (Small Cap Value Equities) at 0.95 correlation are almost the same exposure wearing different labels.
- VTV (Large Cap Value Equities) and VV (Large Cap Growth Equities) at 0.90 correlation make the style split look more decorative than structural.
- VNQ (REIT) is the lonely semi-different equity sleeve, but its 0.75 portfolio correlation says it still lives mostly in the equity complex.
Stress Scenario
- If rates move sharply while equity multiples compress, the SHY sleeve can help, but the equity cluster tends to move together, so the portfolio behaves less like seven assets and more like one equity book plus a Treasury annex.
Worth knowing
- Portfolios with this profile usually look diversified in position count before they look diversified in correlation terms.
- The clustering suggests the main distinction is between SHY and everything else, which is a perfectly intelligible construction, such as it is.
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 | 1.16 | 1.17 | 1.15 | 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 9, 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