Asset Allocation
Benchmark: S&P 500 Index · Rebalance: Every 3 months
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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Compare your portfolio against anything
Returns By Period
As of Aug 4, 2026, the Frank Armstrong’s Ideal Index Portfolio returned 11.58% Year-To-Date and 8.06% of annualized return in the last 10 years.
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 1.48% | 1.57% | 8.95% | 11.03% | 21.84% | 19.28% | 11.54% | 13.29% | 8.11% |
Portfolio Frank Armstrong’s Ideal Index Portfolio | 0.56% | 0.57% | 7.51% | 11.58% | 20.75% | 13.15% | 7.00% | 8.06% | 6.27% |
| Portfolio components: | |||||||||
IJS iShares S&P SmallCap 600 Value ETF | 1.63% | 2.02% | 13.63% | 22.21% | 41.71% | 13.61% | 8.71% | 10.13% | 10.00% |
IJT iShares S&P SmallCap 600 Growth ETF | 1.80% | -0.05% | 17.88% | 24.93% | 34.82% | 15.10% | 7.04% | 11.03% | 9.64% |
SHY iShares 1-3 Year Treasury Bond ETF | 0.03% | 0.10% | 0.63% | 0.78% | 2.55% | 4.10% | 1.78% | 1.66% | 1.95% |
VEU Vanguard FTSE All-World ex-US ETF | 0.45% | 0.29% | 7.13% | 13.83% | 28.98% | 18.48% | 9.01% | 9.63% | 5.48% |
VNQ Vanguard Real Estate ETF | 0.12% | 1.07% | 12.41% | 14.15% | 15.73% | 10.35% | 2.55% | 5.01% | 7.73% |
VTV Vanguard Value ETF | 0.48% | 0.83% | 10.86% | 16.93% | 28.55% | 17.83% | 12.43% | 12.46% | 9.69% |
VV Vanguard Large-Cap ETF | 1.54% | 1.73% | 9.64% | 11.47% | 22.84% | 21.03% | 12.67% | 15.17% | 11.04% |
Monthly Returns
Based on dividend-adjusted daily data since Mar 8, 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% | 1.54% | -0.26% | 0.56% | 11.58% | ||||
| 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 -0.21%, beta of 0.68, and R2 of 0.89 versus S&P 500 Index. Calculated based on daily prices since March 08, 2007.
- This portfolio participated in 74.83% of S&P 500 Index downside but only 65.62% 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
- -0.21%
- Beta
- 0.68
- R²
- 0.89
- Upside Capture
- 65.62%
- Downside Capture
- 74.83%
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 80 for risk / return — above 80% of Portfolios peers on PortfoliosLab. Its historical combined result is above most peers.
Risk / Return Metrics
The table below presents risk-adjusted performance metrics for Frank Armstrong’s Ideal Index Portfolio and compares them with S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | 2.16 | 1.71 | +0.45 |
| Sortino ratioReturn per unit of downside risk | 3.10 | 2.36 | +0.74 |
| Omega ratioGain probability vs. loss probability | 1.40 | 1.31 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 3.15 | 2.41 | +0.74 |
| Martin ratioReturn relative to average drawdown | 12.77 | 10.22 | +2.55 |
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 | 91 | 2.37 | 3.39 | 1.41 | 4.51 | 15.48 |
IJT iShares S&P SmallCap 600 Growth ETF | 84 | 1.96 | 2.90 | 1.34 | 3.85 | 13.03 |
SHY iShares 1-3 Year Treasury Bond ETF | 83 | 1.99 | 2.96 | 1.38 | 2.88 | 11.26 |
VEU Vanguard FTSE All-World ex-US ETF | 73 | 1.72 | 2.38 | 1.32 | 2.55 | 9.31 |
VNQ Vanguard Real Estate ETF | 47 | 1.15 | 1.66 | 1.20 | 1.89 | 6.13 |
VTV Vanguard Value ETF | 94 | 2.79 | 3.98 | 1.51 | 4.52 | 17.46 |
VV Vanguard Large-Cap ETF | 75 | 1.77 | 2.45 | 1.32 | 2.49 | 10.49 |
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Dividends
Dividend yield
Frank Armstrong’s Ideal Index Portfolio provided a 2.56% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.56% | 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 | 1.30% | 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 | 0.69% | 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 | 3.64% | 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 | 2.54% | 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 | 3.51% | 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 | 1.85% | 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 | 1.01% | 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.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-44.57%Mar 2009 | 1y 4mo | 1y 10mo | 3y 3moNov 2007 - Feb 2011 | Financial crisis2007–2009 |
-25.37%Mar 2020 | 2mo 2d | 7mo 21d | 9mo 23dJan 2020 - Nov 2020 | COVID crash2020 |
-19.24%Oct 2022 | 11mo 7d | 1y 4mo | 2y 3moNov 2021 - Mar 2024 | Bear market2022 |
-17.54%Oct 2011 | 5mo 4d | 11mo 16d | 1y 4moMay 2011 - Sep 2012 | — |
-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
The gist
The portfolio is a 70% equity allocation spread across regions, sizes, styles, and REITs, paired with 30% short-term government bonds. It is diversified by label more than by behavior: the equity sleeve largely moves as one thing.
The numbers
- Diversification ratio is 1.18 over 1Y and 1.13 since inception, only the 29.8th and 26.6th percentiles on the platform.
- Effective asset count is 4.6 of 7, reflecting meaningful overlap rather than severe concentration.
- Equity correlations average 0.51, while short-term bonds are negatively correlated with every other holding, down to -0.20 with Large Cap Value.
The good
- SHY, the iShares 1–3 Year Treasury Bond ETF, is a genuine diversifier; its portfolio correlation is -0.12.
- The equity sleeve has broad regional and capitalization exposure, including Vanguard FTSE All-World ex-US ETF (VEU) and Vanguard Real Estate ETF (VNQ).
The bad
- iShares Core S&P Small-Cap ETF (IJT) and iShares S&P Small-Cap 600 Value ETF (IJS) correlate at 0.95.
- Vanguard Value ETF (VTV) and Vanguard Large-Cap ETF (VV) correlate at 0.90. Several sleeves are different names for similar equity risk.
The ugly
- A broad equity selloff would likely synchronize VEU, VNQ, IJT, IJS, VTV, and VV, leaving SHY as the portfolio’s main counterweight.
Next steps
- Portfolios with this profile are typically complemented by assets whose drivers sit outside the equity cycle.
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.
Diversification Ratio
1Y | 3Y | 5Y | 10Y | All Time | |
|---|---|---|---|---|---|
Diversification Ratio | 1.18 | 1.17 | 1.16 | 1.14 | 1.13 |
The portfolio has a diversification ratio of 1.13, placing it in the bottom quartile across portfolios. The holdings provided limited volatility reduction when combined.
Frank Armstrong’s Ideal Index Portfolio correlation to the S&P 500 Index
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.83 |
Correlation (3Y) Balances recent behavior with more history. | 0.82 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.86 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.88 |
Correlation (All Time) Calculated using the full available price history since Mar 8, 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