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

Asset Allocation


TIP 35%SHY 35%IJS 15%VWO 15%BondBondEquityEquity
PositionCategory/SectorWeight
IJS
iShares S&P SmallCap 600 Value ETF
Small Cap Value Equities
15%
SHY
iShares 1-3 Year Treasury Bond ETF
Government Bonds
35%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds
35%
VWO
Vanguard FTSE Emerging Markets ETF
Emerging Markets Equities
15%

S&P 500

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


150.00%200.00%250.00%300.00%350.00%AprilMayJuneJulyAugustSeptember
134.74%
347.25%
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 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-Date1 month6 months1 year5 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 Portfolio3.75%0.94%3.72%8.54%3.81%3.24%
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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.11%0.34%1.13%-1.58%1.86%0.37%2.98%0.50%3.75%
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%6.50%
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%
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%1.85%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%
20130.65%-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.


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 TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
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 VWO: current value at 0.08% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.08%

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.


The Risk-Adjusted Performance Rank of Larry Swedroe Minimize FatTails Portfolio is 2929
Larry Swedroe Minimize FatTails Portfolio
The Sharpe Ratio Rank of Larry Swedroe Minimize FatTails Portfolio is 2727Sharpe Ratio Rank
The Sortino Ratio Rank of Larry Swedroe Minimize FatTails Portfolio is 3535Sortino Ratio Rank
The Omega Ratio Rank of Larry Swedroe Minimize FatTails Portfolio is 3232Omega Ratio Rank
The Calmar Ratio Rank of Larry Swedroe Minimize FatTails Portfolio is 1313Calmar Ratio Rank
The Martin Ratio Rank of Larry Swedroe Minimize FatTails Portfolio is 3535Martin 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.


Larry Swedroe Minimize FatTails Portfolio
Sharpe ratio
The chart of Sharpe ratio for Larry Swedroe Minimize FatTails Portfolio, currently valued at 1.40, compared to the broader market-1.000.001.002.003.001.40
Sortino ratio
The chart of Sortino ratio for Larry Swedroe Minimize FatTails Portfolio, currently valued at 2.15, compared to the broader market-2.000.002.004.002.15
Omega ratio
The chart of Omega ratio for Larry Swedroe Minimize FatTails Portfolio, currently valued at 1.26, compared to the broader market0.801.001.201.401.601.26
Calmar ratio
The chart of Calmar ratio for Larry Swedroe Minimize FatTails Portfolio, currently valued at 0.68, compared to the broader market0.002.004.006.000.68
Martin ratio
The chart of Martin ratio for Larry Swedroe Minimize FatTails Portfolio, currently valued at 7.05, compared to the broader market0.005.0010.0015.0020.0025.0030.007.05
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.66, compared to the broader market-1.000.001.002.003.001.66
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.28, compared to the broader market-2.000.002.004.002.28
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.30
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.49, compared to the broader market0.002.004.006.001.49
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.96, compared to the broader market0.005.0010.0015.0020.0025.0030.007.96

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
IJS
iShares S&P SmallCap 600 Value ETF
0.540.941.110.502.21
TIP
iShares TIPS Bond ETF
1.372.061.240.516.31
VWO
Vanguard FTSE Emerging Markets ETF
0.821.221.140.404.11
SHY
iShares 1-3 Year Treasury Bond ETF
3.385.731.751.9924.47

Sharpe Ratio

The current Larry Swedroe Minimize FatTails Portfolio Sharpe ratio is 1.40. 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 1.33 to 1.92, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of Larry Swedroe Minimize FatTails 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 Ratio0.501.001.502.002.503.00AprilMayJuneJulyAugustSeptember
1.40
1.66
Larry Swedroe Minimize FatTails Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Larry Swedroe Minimize FatTails Portfolio granted a 2.96% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Larry Swedroe Minimize FatTails Portfolio2.96%2.74%3.73%2.21%1.17%2.09%2.24%1.63%1.33%1.03%1.35%1.08%
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.


-8.00%-6.00%-4.00%-2.00%0.00%AprilMayJuneJulyAugustSeptember
-2.02%
-4.57%
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 2.02%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-21.61%May 20, 2008202Mar 9, 2009153Oct 14, 2009355
-14.59%Nov 10, 2021224Sep 30, 2022
-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 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.


1.00%2.00%3.00%4.00%5.00%6.00%AprilMayJuneJulyAugustSeptember
1.64%
4.88%
Larry Swedroe Minimize FatTails 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.

TIPVWOSHYIJS
TIP1.00-0.070.62-0.13
VWO-0.071.00-0.150.66
SHY0.62-0.151.00-0.20
IJS-0.130.66-0.201.00
The correlation results are calculated based on daily price changes starting from Mar 11, 2005