Larry Swedroe Minimize FatTails Portfolio
The Larry Swedroe Minimize Fat Tails Portfolio is a diversified investment strategy designed to reduce the impact of extreme market events or "fat tails" on the portfolio's performance. It allocates assets across domestic small-cap value equities (IJS), emerging markets equities (VWO), and fixed income through TIPS bonds (TIP) and short-term Treasury bonds (SHY). The 70% allocation to bonds (TIP and SHY) provides stability and income, while the 30% allocation to equities (IJS and VWO) offers potential capital appreciation and diversification. This portfolio is suitable for conservative investors seeking to minimize the impact of market extremes while maintaining a balance between income generation and modest growth potential.
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 Quarterly
The earliest data available for this chart is Mar 10, 2005, corresponding to the inception date of VWO
Returns By Period
As of Sep 7, 2024, the Larry Swedroe Minimize FatTails Portfolio returned 3.75% Year-To-Date and 3.22% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.39% | 4.02% | 5.56% | 21.51% | 12.69% | 10.55% |
| Larry Swedroe Minimize FatTails Portfolio | 3.75% | 0.94% | 3.72% | 8.54% | 3.81% | 3.24% |
| Portfolio components: | ||||||
IJS iShares S&P SmallCap 600 Value ETF | 0.35% | 1.31% | 2.81% | 12.93% | 8.04% | 7.69% |
TIP iShares TIPS Bond ETF | 3.92% | 1.22% | 3.82% | 6.83% | 2.26% | 2.20% |
VWO Vanguard FTSE Emerging Markets ETF | 6.35% | -0.11% | 4.67% | 11.97% | 4.14% | 2.55% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.76% | 0.93% | 3.46% | 6.45% | 1.35% | 1.26% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -1.11% | 0.34% | 1.13% | -1.58% | 1.86% | 0.37% | 2.98% | 0.50% | 3.75% | ||||
| 2023 | 4.03% | -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% |
| 2021 | 1.51% | 1.33% | 0.75% | 1.04% | 1.23% | 0.29% | -0.54% | 0.51% | -1.01% | 0.89% | -0.55% | 0.90% | 6.50% |
| 2020 | -0.83% | -1.31% | -5.88% | 4.42% | 1.13% | 1.95% | 2.52% | 1.51% | -1.15% | 0.50% | 4.71% | 2.65% | 10.20% |
| 2019 | 3.88% | 0.58% | 0.58% | 1.11% | -1.66% | 2.30% | 0.01% | -0.18% | 0.50% | 0.99% | 0.57% | 1.70% | 10.79% |
| 2018 | 1.09% | -1.86% | 0.60% | -0.28% | 0.79% | -0.29% | 0.79% | 0.16% | -1.07% | -3.12% | 1.08% | -1.75% | -3.89% |
| 2017 | 1.03% | 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% | 1.85% | 1.75% | 0.10% | 0.74% | -0.72% | 0.45% | 0.44% | 8.25% |
| 2015 | 0.53% | 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% |
| 2013 | 0.65% | -0.01% | 0.57% | 0.62% | -1.65% | -2.13% | 1.46% | -1.72% | 2.78% | 1.31% | 0.18% | -0.40% | 1.56% |
Expense Ratio
Larry Swedroe Minimize FatTails Portfolio has an expense ratio of 0.17%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Larry Swedroe Minimize FatTails Portfolio is 29, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
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 | |
|---|---|---|---|---|---|
IJS iShares S&P SmallCap 600 Value ETF | 0.54 | 0.94 | 1.11 | 0.50 | 2.21 |
TIP iShares TIPS Bond ETF | 1.37 | 2.06 | 1.24 | 0.51 | 6.31 |
VWO Vanguard FTSE Emerging Markets ETF | 0.82 | 1.22 | 1.14 | 0.40 | 4.11 |
SHY iShares 1-3 Year Treasury Bond ETF | 3.38 | 5.73 | 1.75 | 1.99 | 24.47 |
Dividends
Dividend yield
Larry Swedroe Minimize FatTails Portfolio granted a 2.96% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Larry Swedroe Minimize FatTails Portfolio | 2.96% | 2.74% | 3.73% | 2.21% | 1.17% | 2.09% | 2.24% | 1.63% | 1.33% | 1.03% | 1.35% | 1.08% |
| Portfolio components: | ||||||||||||
IJS iShares S&P SmallCap 600 Value ETF | 1.54% | 1.42% | 1.46% | 1.52% | 1.00% | 1.66% | 1.75% | 1.41% | 1.22% | 1.59% | 1.41% | 1.18% |
TIP iShares TIPS Bond ETF | 2.74% | 2.73% | 6.96% | 4.28% | 1.17% | 1.75% | 2.71% | 2.07% | 1.48% | 0.34% | 1.67% | 1.15% |
VWO Vanguard FTSE Emerging Markets ETF | 3.22% | 3.52% | 4.11% | 2.63% | 1.91% | 3.23% | 2.88% | 2.30% | 2.52% | 3.26% | 2.86% | 2.73% |
SHY iShares 1-3 Year Treasury Bond ETF | 3.68% | 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. Drawdowns are calculated considering price movements and all distributions paid, if any.
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 2.02%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -21.61% | May 20, 2008 | 202 | Mar 9, 2009 | 153 | Oct 14, 2009 | 355 |
| -14.59% | Nov 10, 2021 | 224 | Sep 30, 2022 | — | — | — |
| -13.45% | Jan 21, 2020 | 41 | Mar 18, 2020 | 56 | Jun 8, 2020 | 97 |
| -9.76% | Apr 27, 2015 | 187 | Jan 21, 2016 | 138 | Aug 8, 2016 | 325 |
| -6.99% | Jul 25, 2011 | 50 | Oct 3, 2011 | 72 | Jan 17, 2012 | 122 |
Volatility
Volatility Chart
The current Larry Swedroe Minimize FatTails Portfolio volatility is 1.64%, 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.
Diversification
Asset Correlations Table
| TIP | VWO | SHY | IJS | |
|---|---|---|---|---|
| TIP | 1.00 | -0.07 | 0.62 | -0.13 |
| VWO | -0.07 | 1.00 | -0.15 | 0.66 |
| SHY | 0.62 | -0.15 | 1.00 | -0.20 |
| IJS | -0.13 | 0.66 | -0.20 | 1.00 |