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Frank Armstrong’s Ideal Index Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

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
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%

SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds

30%

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

31%

VNQ
Vanguard Real Estate ETF
REIT

8%

VTV
Vanguard Value ETF
Large Cap Value Equities

9.25%

VV
Vanguard Large-Cap ETF
Large Cap Growth Equities

6.25%

S&P 500

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


150.00%200.00%250.00%300.00%FebruaryMarchAprilMayJuneJuly
148.18%
292.68%
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 Jul 22, 2024, the Frank Armstrong’s Ideal Index Portfolio returned 5.89% Year-To-Date and 5.63% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
15.41%0.33%13.74%21.39%13.11%10.77%
Frank Armstrong’s Ideal Index Portfolio5.89%2.87%7.59%10.08%6.51%5.63%
VEU
Vanguard FTSE All-World ex-US ETF
7.21%1.87%9.97%10.61%6.15%4.24%
VTV
Vanguard Value ETF
11.81%2.58%12.04%15.69%10.86%10.04%
VNQ
Vanguard Real Estate ETF
2.61%7.05%6.16%7.53%3.97%5.68%
IJT
iShares S&P SmallCap 600 Growth ETF
9.17%7.24%11.62%15.80%9.39%9.86%
IJS
iShares S&P SmallCap 600 Value ETF
2.07%8.46%7.64%7.56%8.97%7.97%
VV
Vanguard Large-Cap ETF
16.17%0.85%14.32%23.32%14.63%12.69%
SHY
iShares 1-3 Year Treasury Bond ETF
1.77%0.68%1.78%4.64%1.05%1.07%

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.29%2.13%2.49%-3.06%3.12%0.01%5.89%
20235.98%-2.78%0.49%0.53%-2.16%3.95%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%
20210.97%2.86%2.48%2.37%1.73%0.11%-0.22%1.32%-2.56%2.78%-2.26%3.46%13.61%
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%
20196.22%1.77%0.43%2.10%-3.93%4.28%-0.08%-1.33%1.98%1.88%1.22%2.31%17.80%
20182.48%-3.56%0.11%0.42%0.98%-0.05%2.06%0.67%-0.54%-5.26%1.57%-5.11%-6.42%
20171.37%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%
20132.87%0.13%1.74%2.03%-0.55%-1.52%3.48%-2.14%4.14%2.66%0.90%0.97%15.49%

Expense Ratio

Frank Armstrong’s Ideal Index Portfolio has an expense ratio of 0.12%, which is considered low compared to other funds. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


Expense ratio chart for IJT: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for IJS: current value at 0.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.25%
Expense ratio chart for SHY: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for VNQ: current value at 0.12% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.12%
Expense ratio chart for VEU: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%
Expense ratio chart for VTV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%
Expense ratio chart for VV: current value at 0.04% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.04%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Frank Armstrong’s Ideal Index Portfolio is 21, indicating that it is in the bottom 21% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Frank Armstrong’s Ideal Index Portfolio is 2121
Frank Armstrong’s Ideal Index Portfolio
The Sharpe Ratio Rank of Frank Armstrong’s Ideal Index Portfolio is 2121Sharpe Ratio Rank
The Sortino Ratio Rank of Frank Armstrong’s Ideal Index Portfolio is 2222Sortino Ratio Rank
The Omega Ratio Rank of Frank Armstrong’s Ideal Index Portfolio is 2121Omega Ratio Rank
The Calmar Ratio Rank of Frank Armstrong’s Ideal Index Portfolio is 2121Calmar Ratio Rank
The Martin Ratio Rank of Frank Armstrong’s Ideal Index Portfolio is 2020Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


Frank Armstrong’s Ideal Index Portfolio
Sharpe ratio
The chart of Sharpe ratio for Frank Armstrong’s Ideal Index Portfolio, currently valued at 1.09, compared to the broader market-1.000.001.002.003.004.001.09
Sortino ratio
The chart of Sortino ratio for Frank Armstrong’s Ideal Index Portfolio, currently valued at 1.65, compared to the broader market-2.000.002.004.006.001.65
Omega ratio
The chart of Omega ratio for Frank Armstrong’s Ideal Index Portfolio, currently valued at 1.19, compared to the broader market0.801.001.201.401.601.801.19
Calmar ratio
The chart of Calmar ratio for Frank Armstrong’s Ideal Index Portfolio, currently valued at 0.74, compared to the broader market0.002.004.006.008.0010.000.74
Martin ratio
The chart of Martin ratio for Frank Armstrong’s Ideal Index Portfolio, currently valued at 3.20, compared to the broader market0.0010.0020.0030.0040.003.20
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.82, compared to the broader market-1.000.001.002.003.004.001.82
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.59, compared to the broader market-2.000.002.004.006.002.59
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.45, compared to the broader market0.002.004.006.008.0010.001.45
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.82, compared to the broader market0.0010.0020.0030.0040.006.82

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VEU
Vanguard FTSE All-World ex-US ETF
0.861.281.150.562.44
VTV
Vanguard Value ETF
1.732.491.301.735.45
VNQ
Vanguard Real Estate ETF
0.420.741.090.221.05
IJT
iShares S&P SmallCap 600 Growth ETF
0.841.361.150.552.70
IJS
iShares S&P SmallCap 600 Value ETF
0.300.601.070.260.82
VV
Vanguard Large-Cap ETF
1.972.781.351.757.82
SHY
iShares 1-3 Year Treasury Bond ETF
2.433.921.481.2716.35

Sharpe Ratio

The current Frank Armstrong’s Ideal Index Portfolio Sharpe ratio is 1.09. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.31 to 2.05, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Frank Armstrong’s Ideal Index Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.501.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
1.09
1.82
Frank Armstrong’s Ideal Index Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Frank Armstrong’s Ideal Index Portfolio granted a 2.83% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Frank Armstrong’s Ideal Index Portfolio2.83%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
3.05%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
2.39%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
4.01%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
0.91%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
1.51%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
1.32%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
3.55%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.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%FebruaryMarchAprilMayJuneJuly
-1.54%
-2.86%
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 1.54%.


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 2.13%, 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%FebruaryMarchAprilMayJuneJuly
2.13%
2.76%
Frank Armstrong’s Ideal Index Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

SHYVNQVEUIJSIJTVVVTV
SHY1.00-0.07-0.16-0.21-0.20-0.22-0.24
VNQ-0.071.000.590.690.680.680.69
VEU-0.160.591.000.730.750.840.81
IJS-0.210.690.731.000.950.820.85
IJT-0.200.680.750.951.000.860.83
VV-0.220.680.840.820.861.000.92
VTV-0.240.690.810.850.830.921.00
The correlation results are calculated based on daily price changes starting from Mar 9, 2007