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
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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 May 31, 2025, the Frank Armstrong’s Ideal Index Portfolio returned 3.84% Year-To-Date and 5.92% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 0.51% | 6.15% | -2.00% | 12.92% | 14.19% | 10.85% |
| Frank Armstrong’s Ideal Index Portfolio | 3.84% | 2.89% | 0.26% | 9.03% | 8.55% | 5.92% |
| Portfolio components: | ||||||
VEU Vanguard FTSE All-World ex-US ETF | 13.97% | 4.64% | 11.01% | 13.63% | 10.58% | 5.68% |
VTV Vanguard Value ETF | 1.83% | 2.95% | -4.66% | 10.52% | 13.90% | 9.97% |
VNQ Vanguard Real Estate ETF | 1.30% | 1.12% | -7.18% | 13.84% | 6.90% | 5.35% |
IJT iShares S&P SmallCap 600 Growth ETF | -5.07% | 6.03% | -13.85% | -0.43% | 10.42% | 8.08% |
IJS iShares S&P SmallCap 600 Value ETF | -11.53% | 4.27% | -17.60% | -1.56% | 12.12% | 6.55% |
VV Vanguard Large-Cap ETF | 1.11% | 6.46% | -1.36% | 14.82% | 15.76% | 12.75% |
SHY iShares 1-3 Year Treasury Bond ETF | 2.13% | -0.25% | 2.38% | 5.69% | 1.09% | 1.41% |
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% | 2.89% | 3.84% | |||||||
| 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 52, 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 | 0.82 | 1.15 | 1.15 | 0.91 | 2.88 |
VTV Vanguard Value ETF | 0.67 | 0.97 | 1.13 | 0.68 | 2.41 |
VNQ Vanguard Real Estate ETF | 0.77 | 1.17 | 1.15 | 0.60 | 2.46 |
IJT iShares S&P SmallCap 600 Growth ETF | -0.02 | 0.15 | 1.02 | -0.02 | -0.05 |
IJS iShares S&P SmallCap 600 Value ETF | -0.06 | 0.08 | 1.01 | -0.06 | -0.16 |
VV Vanguard Large-Cap ETF | 0.74 | 1.04 | 1.15 | 0.69 | 2.62 |
SHY iShares 1-3 Year Treasury Bond ETF | 3.45 | 5.85 | 1.77 | 5.96 | 15.95 |
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Dividends
Dividend yield
Frank Armstrong’s Ideal Index Portfolio provided a 2.93% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.93% | 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 | 2.82% | 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 | 2.29% | 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 | 1.15% | 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 | 2.01% | 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 | 1.25% | 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.
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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 0.49%.
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
| ^GSPC | SHY | VNQ | VEU | IJS | IJT | VTV | VV | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.21 | 0.68 | 0.83 | 0.82 | 0.85 | 0.92 | 1.00 | 0.92 |
| SHY | -0.21 | 1.00 | -0.06 | -0.15 | -0.20 | -0.19 | -0.23 | -0.21 | -0.15 |
| VNQ | 0.68 | -0.06 | 1.00 | 0.58 | 0.69 | 0.67 | 0.70 | 0.68 | 0.75 |
| VEU | 0.83 | -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 | -0.19 | 0.67 | 0.74 | 0.95 | 1.00 | 0.83 | 0.86 | 0.90 |
| VTV | 0.92 | -0.23 | 0.70 | 0.81 | 0.85 | 0.83 | 1.00 | 0.91 | 0.92 |
| VV | 1.00 | -0.21 | 0.68 | 0.83 | 0.82 | 0.86 | 0.91 | 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 asset classes that exhibit varying degrees of correlation. The correlation matrix reveals that several equity positions—specifically IJS (small-cap value), IJT (small-cap growth), VV (total stock market), and VTV (value stocks)—are highly correlated with each other, with correlations mostly above 0.8. This high correlation among equity components suggests some concentration risk within the equity segment, potentially limiting diversification benefits within that portion of the portfolio.
Conversely, SHY (short-term Treasury bonds) shows consistently low or negative correlations with all equity positions, ranging from about -0.06 to -0.23. This low correlation is beneficial and provides a diversification buffer, reducing overall portfolio volatility. VNQ (real estate investment trusts) and VEU (international equities) have moderate positive correlations with the equity positions (around 0.58 to 0.83), indicating they add some diversification but still move somewhat in tandem with the broader equity market.
The portfolio’s correlation with individual positions is highest with VEU (0.93), VV (0.92), VTV (0.92), and the small-cap funds IJS and IJT (both 0.90), indicating these holdings have the most influence on the portfolio’s overall behavior. SHY, with a correlation of -0.15 to the portfolio, plays a distinct role in offsetting equity risk but does not dominate the portfolio’s returns.
Given the dominance of highly correlated equity positions, the portfolio leans toward concentration within U.S. equities, particularly in value and small-cap segments. However, the inclusion of SHY and VNQ introduces meaningful diversification through exposure to fixed income and real estate, respectively. Overall, the portfolio is somewhat diversified but could benefit from further reduction in equity correlations or increased allocation to less correlated asset classes to enhance risk mitigation.