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 Every 3 months.
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The earliest data available for this chart is Mar 8, 2007, corresponding to the inception date of VEU
Returns By Period
As of Apr 11, 2026, the Frank Armstrong’s Ideal Index Portfolio returned 4.88% Year-To-Date and 7.89% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | -0.11% | 2.78% | -0.42% | 4.03% | 27.10% | 18.38% | 10.55% | 12.70% |
Portfolio Frank Armstrong’s Ideal Index Portfolio | -0.06% | 3.54% | 4.88% | 9.16% | 24.21% | 11.96% | 6.25% | 7.89% |
| Portfolio components: | ||||||||
VEU Vanguard FTSE All-World ex-US ETF | 0.25% | 5.97% | 7.84% | 14.97% | 39.40% | 17.45% | 8.42% | 9.45% |
VTV Vanguard Value ETF | -0.81% | 2.61% | 5.99% | 11.27% | 27.06% | 15.55% | 11.18% | 12.13% |
VNQ Vanguard Real Estate ETF | 0.22% | 1.97% | 6.20% | 7.60% | 15.60% | 8.09% | 3.71% | 5.16% |
IJT iShares S&P SmallCap 600 Growth ETF | -0.67% | 7.40% | 8.54% | 12.54% | 33.34% | 13.13% | 4.35% | 10.58% |
IJS iShares S&P SmallCap 600 Value ETF | -0.30% | 6.18% | 8.25% | 16.77% | 43.48% | 11.46% | 5.60% | 9.92% |
VV Vanguard Large-Cap ETF | -0.09% | 2.79% | -0.56% | 3.97% | 28.60% | 20.21% | 11.65% | 14.60% |
SHY iShares 1-3 Year Treasury Bond ETF | -0.04% | 0.13% | 0.37% | 1.17% | 3.75% | 3.89% | 1.72% | 1.65% |
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 +0.54%. At this rate, an investment would double in approximately 10.7 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% | 3.36% | 4.88% | ||||||||
| 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 -0.15%, 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 66.45% 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
- -0.15%
- Beta
- 0.68
- R²
- 0.89
- Upside Capture
- 66.45%
- Downside Capture
- 75.50%
Expense Ratio
Frank Armstrong’s Ideal Index Portfolio has an expense ratio of 0.12%, 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 73 for risk / return — better than 73% of portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.82 | 2.23 | +0.58 |
Sortino ratioReturn per unit of downside risk | 4.05 | 3.12 | +0.94 |
Omega ratioGain probability vs. loss probability | 1.53 | 1.42 | +0.11 |
Calmar ratioReturn relative to maximum drawdown | 4.48 | 4.05 | +0.44 |
Martin ratioReturn relative to average drawdown | 18.23 | 17.91 | +0.32 |
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.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
VEU Vanguard FTSE All-World ex-US ETF | 77 | 3.00 | 4.04 | 1.56 | 4.44 | 17.78 |
VTV Vanguard Value ETF | 76 | 2.62 | 3.77 | 1.47 | 5.32 | 19.85 |
VNQ Vanguard Real Estate ETF | 28 | 1.26 | 1.77 | 1.23 | 2.54 | 8.05 |
IJT iShares S&P SmallCap 600 Growth ETF | 54 | 1.95 | 2.80 | 1.34 | 4.60 | 15.85 |
IJS iShares S&P SmallCap 600 Value ETF | 66 | 2.33 | 3.31 | 1.40 | 5.32 | 16.74 |
VV Vanguard Large-Cap ETF | 64 | 2.31 | 3.21 | 1.43 | 4.16 | 18.21 |
SHY iShares 1-3 Year Treasury Bond ETF | 69 | 2.55 | 4.08 | 1.53 | 3.92 | 14.60 |
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Dividends
Dividend yield
Frank Armstrong’s Ideal Index Portfolio provided a 2.70% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.70% | 2.88% | 3.01% | 2.75% | 2.21% | 1.69% | 1.68% | 2.42% | 2.51% | 1.96% | 2.04% | 1.97% |
| Portfolio components: | ||||||||||||
VEU Vanguard FTSE All-World ex-US ETF | 2.77% | 3.09% | 3.24% | 3.32% | 3.12% | 3.08% | 2.00% | 3.10% | 3.27% | 2.66% | 2.96% | 2.95% |
VTV Vanguard Value ETF | 1.97% | 2.05% | 2.31% | 2.46% | 2.52% | 2.15% | 2.56% | 2.50% | 2.73% | 2.29% | 2.44% | 2.60% |
VNQ Vanguard Real Estate ETF | 3.75% | 3.92% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% |
IJT iShares S&P SmallCap 600 Growth ETF | 0.82% | 0.91% | 1.06% | 1.02% | 1.08% | 0.63% | 0.68% | 0.92% | 0.92% | 0.86% | 1.03% | 1.14% |
IJS iShares S&P SmallCap 600 Value ETF | 1.37% | 1.62% | 1.78% | 1.42% | 1.46% | 1.52% | 1.00% | 1.66% | 1.75% | 1.41% | 1.22% | 1.59% |
VV Vanguard Large-Cap ETF | 1.09% | 1.08% | 1.24% | 1.41% | 1.66% | 1.19% | 1.46% | 1.81% | 2.09% | 1.75% | 1.98% | 1.96% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.72% | 3.81% | 3.92% | 2.99% | 1.30% | 0.26% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% |
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 1.63%.
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 chart below shows the rolling one-month volatility.
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Diversification
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. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | SHY | VNQ | VEU | IJS | IJT | VTV | VV | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| Benchmark | 1.00 | -0.20 | 0.66 | 0.83 | 0.81 | 0.85 | 0.91 | 1.00 | 0.92 |
| SHY | -0.20 | 1.00 | -0.04 | -0.13 | -0.19 | -0.18 | -0.21 | -0.20 | -0.13 |
| VNQ | 0.66 | -0.04 | 1.00 | 0.58 | 0.68 | 0.66 | 0.69 | 0.66 | 0.75 |
| VEU | 0.83 | -0.13 | 0.58 | 1.00 | 0.72 | 0.74 | 0.80 | 0.83 | 0.93 |
| IJS | 0.81 | -0.19 | 0.68 | 0.72 | 1.00 | 0.95 | 0.85 | 0.81 | 0.90 |
| IJT | 0.85 | -0.18 | 0.66 | 0.74 | 0.95 | 1.00 | 0.83 | 0.85 | 0.90 |
| VTV | 0.91 | -0.21 | 0.69 | 0.80 | 0.85 | 0.83 | 1.00 | 0.91 | 0.91 |
| VV | 1.00 | -0.20 | 0.66 | 0.83 | 0.81 | 0.85 | 0.91 | 1.00 | 0.92 |
| Portfolio | 0.92 | -0.13 | 0.75 | 0.93 | 0.90 | 0.90 | 0.91 | 0.92 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified but exhibits some concentration in correlated equity positions. The correlation matrix shows that most equity ETFs (VNQ, VEU, IJS, IJT, VV, VTV) have relatively high positive correlations with each other, generally ranging from about 0.66 to 0.95. Notably, IJS and IJT have an extremely high correlation of 0.95, indicating these two small- and mid-cap value/growth segments move very closely together, which reduces diversification benefits between these holdings.
The bond ETF SHY stands out as the least correlated position, with correlations near zero or negative with all other positions (e.g., -0.13 to -0.21), providing a valuable diversification anchor against equity risk. This low correlation helps reduce overall portfolio volatility and adds defensive characteristics.
The portfolio’s correlation with individual positions is highest with VEU (0.93), VV (0.92), and IJS/IJT (0.9 each), suggesting these holdings have the greatest influence on the portfolio’s overall returns. The strong correlation with VEU (a broad international equity fund) and VV (a total U.S. stock market fund) implies a significant equity market exposure, while the high correlations with IJS and IJT reinforce concentration in specific market segments.
VNQ (real estate) also has a moderately high correlation with the portfolio (0.75), contributing to equity risk but offering some sector diversification.
Given these correlations, the portfolio is not highly concentrated in a single position but leans heavily toward equity exposure with overlapping segments, which somewhat limits diversification. The presence of SHY as a lowly correlated fixed income position is a key factor enhancing diversification. Overall, the portfolio balances broad equity market exposure with a defensive fixed income sleeve but could improve diversification by reducing overlap among highly correlated equity ETFs.