PortfoliosLab logo
Larry Swedroe Minimize FatTails Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Larry Swedroe Minimize FatTails 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.


150.00%200.00%250.00%300.00%350.00%400.00%December2025FebruaryMarchAprilMay
138.69%
368.05%
Larry Swedroe Minimize FatTails Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 10, 2005, corresponding to the inception date of VWO

Returns By Period

As of May 10, 2025, the Larry Swedroe Minimize FatTails Portfolio returned 0.72% Year-To-Date and 3.36% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-3.77%3.72%-5.60%8.55%14.11%10.45%
Larry Swedroe Minimize FatTails Portfolio0.72%2.07%-1.02%4.91%4.30%3.36%
IJS
iShares S&P SmallCap 600 Value ETF
-12.66%4.21%-17.33%-4.66%12.74%6.55%
TIP
iShares TIPS Bond ETF
3.53%0.35%1.94%5.74%1.42%2.39%
VWO
Vanguard FTSE Emerging Markets ETF
5.13%8.85%1.34%10.07%8.14%3.65%
SHY
iShares 1-3 Year Treasury Bond ETF
1.93%0.19%2.50%5.50%1.06%1.40%
*Annualized

Monthly Returns

The table below presents the monthly returns of Larry Swedroe Minimize FatTails Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20250.99%0.31%-0.32%-0.55%0.30%0.72%
2024-1.11%0.34%1.13%-1.58%1.86%0.37%2.98%0.50%2.02%-1.53%1.58%-1.78%4.74%
20234.03%-2.05%0.89%-0.32%-1.54%1.64%1.91%-1.84%-2.02%-1.57%3.69%3.76%6.46%
2022-1.56%-0.09%-1.56%-2.76%0.26%-3.18%2.81%-1.96%-5.87%2.17%3.56%-1.84%-9.94%
20211.51%1.33%0.75%1.04%1.23%0.29%-0.54%0.51%-1.01%0.89%-0.55%0.90%6.49%
2020-0.83%-1.31%-5.88%4.42%1.13%1.95%2.52%1.51%-1.15%0.50%4.71%2.66%10.20%
20193.88%0.58%0.58%1.11%-1.66%2.30%0.01%-0.18%0.50%0.99%0.57%1.70%10.79%
20181.09%-1.86%0.60%-0.28%0.79%-0.29%0.79%0.16%-1.07%-3.12%1.08%-1.75%-3.89%
20171.03%0.71%0.39%0.53%-0.18%0.23%1.15%0.50%0.84%0.51%0.47%0.83%7.22%
2016-0.95%0.73%3.80%0.56%-0.69%1.84%1.75%0.10%0.74%-0.72%0.45%0.44%8.25%
20150.53%0.95%-0.25%1.09%-0.79%-0.68%-1.15%-2.46%-0.94%1.85%-0.11%-1.74%-3.72%
2014-1.00%1.30%0.64%0.28%1.33%1.16%-0.62%1.51%-2.93%1.80%0.00%-0.76%2.64%

Expense Ratio

Larry Swedroe Minimize FatTails Portfolio has an expense ratio of 0.17%, 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 Larry Swedroe Minimize FatTails Portfolio is 70, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of Larry Swedroe Minimize FatTails Portfolio is 7070
Overall Rank
The Sharpe Ratio Rank of Larry Swedroe Minimize FatTails Portfolio is 6767
Sharpe Ratio Rank
The Sortino Ratio Rank of Larry Swedroe Minimize FatTails Portfolio is 7070
Sortino Ratio Rank
The Omega Ratio Rank of Larry Swedroe Minimize FatTails Portfolio is 6767
Omega Ratio Rank
The Calmar Ratio Rank of Larry Swedroe Minimize FatTails Portfolio is 7474
Calmar Ratio Rank
The Martin Ratio Rank of Larry Swedroe Minimize FatTails Portfolio is 7171
Martin 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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IJS
iShares S&P SmallCap 600 Value ETF
-0.20-0.041.00-0.12-0.35
TIP
iShares TIPS Bond ETF
1.241.781.230.593.82
VWO
Vanguard FTSE Emerging Markets ETF
0.550.921.120.541.77
SHY
iShares 1-3 Year Treasury Bond ETF
3.345.701.745.7516.25

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Larry Swedroe Minimize FatTails Portfolio Sharpe ratios as of May 10, 2025 (values are recalculated daily):

  • 1-Year: 0.80
  • 5-Year: 0.64
  • 10-Year: 0.53
  • All Time: 0.63

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of Larry Swedroe Minimize FatTails Portfolio compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


Rolling 12-month Sharpe Ratio0.001.002.003.00December2025FebruaryMarchAprilMay
0.80
0.44
Larry Swedroe Minimize FatTails Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Larry Swedroe Minimize FatTails Portfolio provided a 3.17% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio3.17%3.00%2.74%3.73%2.20%1.17%2.09%2.24%1.63%1.33%1.03%1.35%
IJS
iShares S&P SmallCap 600 Value ETF
2.04%1.78%1.42%1.47%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%
TIP
iShares TIPS Bond ETF
2.91%2.52%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%
VWO
Vanguard FTSE Emerging Markets ETF
3.06%3.20%3.52%4.11%2.63%1.91%3.24%2.88%2.30%2.52%3.26%2.86%
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.


-20.00%-15.00%-10.00%-5.00%0.00%December2025FebruaryMarchAprilMay
-1.60%
-7.88%
Larry Swedroe Minimize FatTails Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Larry Swedroe Minimize FatTails 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 Larry Swedroe Minimize FatTails Portfolio was 21.61%, occurring on Mar 9, 2009. Recovery took 153 trading sessions.

The current Larry Swedroe Minimize FatTails Portfolio drawdown is 1.60%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.61%May 20, 2008202Mar 9, 2009153Oct 14, 2009355
-14.59%Nov 10, 2021224Sep 30, 2022494Sep 19, 2024718
-13.45%Jan 21, 202041Mar 18, 202056Jun 8, 202097
-9.76%Apr 27, 2015187Jan 21, 2016138Aug 8, 2016325
-6.99%Jul 25, 201150Oct 3, 201172Jan 17, 2012122

Volatility

Volatility Chart

The current Larry Swedroe Minimize FatTails Portfolio volatility is 2.07%, 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.


2.00%4.00%6.00%8.00%10.00%12.00%14.00%December2025FebruaryMarchAprilMay
2.07%
6.82%
Larry Swedroe Minimize FatTails Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Diversification Metrics


Number of Effective Assets

The portfolio contains 4 assets, with an effective number of assets of 3.45, 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

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

^GSPCTIPSHYVWOIJSPortfolio
^GSPC1.00-0.11-0.200.740.820.78
TIP-0.111.000.62-0.06-0.120.24
SHY-0.200.621.00-0.14-0.190.07
VWO0.74-0.06-0.141.000.650.84
IJS0.82-0.12-0.190.651.000.82
Portfolio0.780.240.070.840.821.00
The correlation results are calculated based on daily price changes starting from Mar 11, 2005

AI Insight on Diversification


The portfolio is moderately diversified with a mix of asset classes showing varying degrees of correlation that influence its overall risk profile. The highest correlations among individual positions are between VWO (an emerging markets equity ETF) and IJS (a small-cap value equity ETF) at 0.65, indicating these equity components move somewhat in tandem, which may reduce diversification benefits within the equity sleeve. Additionally, the portfolio’s correlation with VWO (0.84) and IJS (0.82) is quite high, suggesting these two positions dominate the portfolio’s behavior and likely contribute the most to its overall risk and return characteristics.

In contrast, SHY (short-term Treasury bonds) and TIP (Treasury Inflation-Protected Securities) show moderate correlation with each other (0.62) and very low or slightly negative correlations with the equity positions (VWO and IJS), which helps to provide diversification benefits by reducing portfolio volatility during equity market downturns. The portfolio’s low correlation with SHY (0.07) and moderate correlation with TIP (0.24) indicate that these fixed income positions serve as stabilizers but do not dominate the portfolio’s movements.

The negative correlations between SHY and the equity positions (around -0.14 to -0.19) and between TIP and equity positions (around -0.06 to -0.12) are beneficial for diversification, as they suggest these fixed income assets can offset some equity risk. However, the relatively high correlation between VWO and IJS limits diversification on the equity side, concentrating risk in small-cap and emerging market equities.

Overall, the portfolio is not highly concentrated but leans toward equity risk dominated by VWO and IJS. The inclusion of SHY and TIP adds valuable diversification and risk mitigation, but the portfolio could benefit from additional low-correlation assets or further diversification within equities to reduce the impact of correlated equity positions.

Last updated May 10, 2025