Frank Armstrong’s Ideal Index Portfolio
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
Performance
Performance Chart
Loading data...
The earliest data available for this chart is Mar 8, 2007, corresponding to the inception date of VEU
Returns By Period
As of May 11, 2025, the Frank Armstrong’s Ideal Index Portfolio returned 2.12% Year-To-Date and 5.75% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.77% | 7.44% | -5.60% | 8.37% | 14.12% | 10.46% |
| Frank Armstrong’s Ideal Index Portfolio | 2.12% | 6.48% | -0.82% | 6.79% | 8.96% | 5.75% |
| Portfolio components: | ||||||
VEU Vanguard FTSE All-World ex-US ETF | 10.81% | 11.07% | 7.19% | 10.24% | 10.95% | 5.24% |
VTV Vanguard Value ETF | -0.17% | 5.29% | -4.89% | 6.55% | 14.52% | 9.82% |
VNQ Vanguard Real Estate ETF | 1.12% | 7.92% | -5.15% | 12.02% | 7.89% | 5.42% |
IJT iShares S&P SmallCap 600 Growth ETF | -6.88% | 10.23% | -13.96% | -2.09% | 11.29% | 8.07% |
IJS iShares S&P SmallCap 600 Value ETF | -12.66% | 9.73% | -17.33% | -4.23% | 13.26% | 6.55% |
VV Vanguard Large-Cap ETF | -3.28% | 7.72% | -4.84% | 10.20% | 15.71% | 12.36% |
SHY iShares 1-3 Year Treasury Bond ETF | 1.93% | 0.20% | 2.50% | 5.59% | 1.07% | 1.40% |
Monthly Returns
The table below presents the monthly returns of Frank Armstrong’s Ideal Index Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.30% | 0.28% | -1.43% | -0.20% | 1.19% | 2.12% | |||||||
| 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% | 12.19% |
| 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% | 3.45% | 13.60% |
| 2020 | -1.69% | -5.19% | -11.18% | 6.74% | 2.82% | 2.22% | 2.85% | 2.95% | -1.97% | -0.78% | 9.44% | 4.01% | 8.89% |
| 2019 | 6.22% | 1.77% | 0.43% | 2.10% | -3.93% | 4.28% | -0.08% | -1.33% | 1.98% | 1.88% | 1.22% | 2.31% | 17.80% |
| 2018 | 2.48% | -3.56% | 0.11% | 0.42% | 0.98% | -0.05% | 2.06% | 0.67% | -0.54% | -5.26% | 1.57% | -5.11% | -6.42% |
| 2017 | 1.37% | 1.50% | 0.66% | 0.91% | 0.68% | 0.96% | 1.62% | -0.18% | 2.11% | 0.94% | 1.41% | 0.78% | 13.51% |
| 2016 | -3.52% | -0.54% | 5.68% | 0.85% | 0.31% | 0.74% | 2.93% | 0.13% | 0.45% | -1.89% | 1.80% | 1.92% | 8.92% |
| 2015 | -0.44% | 3.14% | -0.21% | 0.82% | 0.05% | -1.42% | 0.42% | -4.64% | -1.76% | 4.71% | -0.06% | -1.67% | -1.36% |
| 2014 | -2.52% | 3.48% | 0.58% | 0.43% | 1.17% | 1.59% | -1.52% | 1.82% | -3.06% | 2.33% | 0.49% | -0.64% | 4.02% |
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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Frank Armstrong’s Ideal Index Portfolio is 54, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
VEU Vanguard FTSE All-World ex-US ETF | 0.62 | 1.03 | 1.14 | 0.80 | 2.52 |
VTV Vanguard Value ETF | 0.45 | 0.82 | 1.11 | 0.55 | 2.00 |
VNQ Vanguard Real Estate ETF | 0.66 | 1.09 | 1.14 | 0.54 | 2.35 |
IJT iShares S&P SmallCap 600 Growth ETF | -0.11 | 0.05 | 1.01 | -0.07 | -0.22 |
IJS iShares S&P SmallCap 600 Value ETF | -0.20 | -0.04 | 1.00 | -0.12 | -0.35 |
VV Vanguard Large-Cap ETF | 0.53 | 0.90 | 1.13 | 0.58 | 2.22 |
SHY iShares 1-3 Year Treasury Bond ETF | 3.34 | 5.70 | 1.74 | 5.75 | 16.25 |
Loading data...
Dividends
Dividend yield
Frank Armstrong’s Ideal Index Portfolio provided a 2.97% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.97% | 3.01% | 2.75% | 2.21% | 1.68% | 1.68% | 2.42% | 2.51% | 1.96% | 2.04% | 1.97% | 1.98% |
| Portfolio components: | ||||||||||||
VEU Vanguard FTSE All-World ex-US ETF | 2.90% | 3.24% | 3.32% | 3.12% | 3.07% | 2.00% | 3.10% | 3.27% | 2.66% | 2.96% | 2.95% | 3.52% |
VTV Vanguard Value ETF | 2.33% | 2.31% | 2.46% | 2.52% | 2.15% | 2.56% | 2.50% | 2.73% | 2.29% | 2.44% | 2.60% | 2.22% |
VNQ Vanguard Real Estate ETF | 4.07% | 3.85% | 3.95% | 3.91% | 2.56% | 3.93% | 3.39% | 4.74% | 4.23% | 4.82% | 3.92% | 3.60% |
IJT iShares S&P SmallCap 600 Growth ETF | 1.17% | 1.06% | 1.02% | 1.08% | 0.63% | 0.68% | 0.92% | 0.92% | 0.86% | 1.03% | 1.14% | 0.78% |
IJS iShares S&P SmallCap 600 Value ETF | 2.04% | 1.78% | 1.42% | 1.46% | 1.52% | 1.00% | 1.66% | 1.75% | 1.41% | 1.22% | 1.59% | 1.41% |
VV Vanguard Large-Cap ETF | 1.31% | 1.24% | 1.41% | 1.66% | 1.19% | 1.46% | 1.81% | 2.09% | 1.75% | 1.98% | 1.96% | 1.77% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.95% | 3.92% | 2.99% | 1.30% | 0.24% | 0.94% | 2.12% | 1.72% | 0.98% | 0.71% | 0.54% | 0.36% |
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.
Loading data...
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 1.65%.
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.
Loading data...
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
| ^GSPC | SHY | VNQ | VEU | IJS | IJT | VTV | VV | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.21 | 0.68 | 0.84 | 0.82 | 0.85 | 0.92 | 1.00 | 0.92 |
| SHY | -0.21 | 1.00 | -0.06 | -0.15 | -0.20 | -0.20 | -0.23 | -0.21 | -0.15 |
| VNQ | 0.68 | -0.06 | 1.00 | 0.58 | 0.69 | 0.67 | 0.69 | 0.68 | 0.75 |
| VEU | 0.84 | -0.15 | 0.58 | 1.00 | 0.73 | 0.74 | 0.81 | 0.83 | 0.93 |
| IJS | 0.82 | -0.20 | 0.69 | 0.73 | 1.00 | 0.95 | 0.85 | 0.82 | 0.90 |
| IJT | 0.85 | -0.20 | 0.67 | 0.74 | 0.95 | 1.00 | 0.83 | 0.86 | 0.90 |
| VTV | 0.92 | -0.23 | 0.69 | 0.81 | 0.85 | 0.83 | 1.00 | 0.92 | 0.92 |
| VV | 1.00 | -0.21 | 0.68 | 0.83 | 0.82 | 0.86 | 0.92 | 1.00 | 0.92 |
| Portfolio | 0.92 | -0.15 | 0.75 | 0.93 | 0.90 | 0.90 | 0.92 | 0.92 | 1.00 |
AI Insight on Diversification
The portfolio is moderately diversified, with a mix of positions that exhibit varying degrees of correlation. Several positions show very high correlations with each other, particularly among the equity-focused ETFs: IJS (small-cap value), IJT (small-cap growth), VV (total US stock market), and VTV (value stocks), all with correlations above 0.8. This high correlation cluster suggests these holdings move closely together, which can reduce the benefits of diversification within the equity portion of the portfolio.
VNQ (real estate), VEU (international stocks), and the equity ETFs also have relatively high positive correlations, especially VEU with VV (0.83) and VTV (0.81), indicating that international equities and domestic equities are somewhat aligned in their movements, though not perfectly. This reduces the diversification benefit that might be expected from international exposure.
On the other hand, SHY (short-term Treasury bonds) stands out as a lowly correlated position, with correlations ranging from -0.06 to -0.23 against the equity and real estate ETFs. This negative or near-zero correlation is beneficial, as SHY provides a diversification buffer and potential risk reduction during equity market downturns.
The portfolio’s correlation with individual positions is highest with VEU (0.93), VV (0.92), VTV (0.92), and the small-cap ETFs IJS and IJT (both 0.90), indicating that these holdings have the greatest influence on the portfolio’s overall performance. SHY has the lowest correlation with the portfolio (-0.15), reflecting its role as a diversifier rather than a driver of returns.
Given the dominance of highly correlated equity positions and the relatively small role of the lowly correlated SHY, the portfolio leans toward concentration in equity market risk, particularly in U.S. and international stocks with overlapping exposures. While it is not a narrowly concentrated portfolio, the high correlations among most holdings suggest that diversification benefits are somewhat limited, and the portfolio’s risk profile is largely driven by equity market movements.