Larry Swedroe Minimize FatTails Portfolio

Asset Allocation

Position	Category/Sector	Target Weight
TIP iShares TIPS Bond ETF	Inflation-Protected Bonds	35%
SHY iShares 1-3 Year Treasury Bond ETF	Government Bonds, Short-Term Bond	35%
IJS iShares S&P SmallCap 600 Value ETF	Small Cap Value Equities	15%
VWO Vanguard FTSE Emerging Markets ETF	Emerging Markets Equities	15%

Benchmark Against

Benchmark

S&P 500 Index

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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.

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Returns By Period

As of Jul 15, 2026, the Larry Swedroe Minimize FatTails Portfolio returned 5.02% Year-To-Date and 4.56% of annualized return in the last 10 years.

Position	1D	1M	6M	YTD	1Y	3Y*	5Y*	10Y*
Benchmark S&P 500 Index	0.38%	1.51%	8.33%	10.20%	20.34%	18.74%	11.59%	13.31%
Portfolio Larry Swedroe Minimize FatTails Portfolio	0.19%	-0.17%	3.41%	5.02%	10.10%	7.24%	2.94%	4.56%
Portfolio components:
IJS iShares S&P SmallCap 600 Value ETF	0.17%	0.36%	13.62%	19.75%	32.52%	13.70%	7.86%	9.96%
SHY iShares 1-3 Year Treasury Bond ETF	0.17%	0.12%	0.64%	0.67%	3.02%	4.11%	1.78%	1.66%
TIP iShares TIPS Bond ETF	0.09%	-0.50%	0.55%	0.89%	3.12%	3.65%	0.47%	2.34%
VWO Vanguard FTSE Emerging Markets ETF	0.49%	-0.67%	5.70%	10.03%	22.10%	15.55%	5.29%	7.96%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since Mar 10, 2005, Larry Swedroe Minimize FatTails Portfolio's average daily return is +0.02%, while the average monthly return is +0.41%. At this rate, an investment would double in approximately 14.1 years.

Historically, 65% of months were positive and 35% were negative. The best month was Oct 2011 with a return of +5.3%, while the worst month was Oct 2008 at -9.8%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 5 months.

On a daily basis, Larry Swedroe Minimize FatTails Portfolio closed higher 53% of trading days. The best single day was Oct 13, 2008 with a return of +3.2%, while the worst single day was May 6, 2010 at -3.6%.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Total
2026	1.98%	1.29%	-2.24%	3.22%	0.53%	0.62%	-0.39%						5.02%
2025	0.99%	0.31%	-0.32%	-0.55%	0.88%	2.03%	0.28%	2.70%	1.33%	0.40%	0.47%	0.15%	8.97%
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%
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%

Benchmark Metrics

Larry Swedroe Minimize FatTails Portfolio has an annualized alpha of 1.85%, beta of 0.29, and R2 of 0.66 versus S&P 500 Index. Calculated based on daily prices since March 10, 2005.

This portfolio participated in 34.59% of S&P 500 Index downside but only 33.95% of its upside - more exposed to losses than it benefited from rallies.
Beta of 0.29 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: 1.85%

Beta: 0.29

R²: 0.66

Upside Capture: 33.95%

Downside Capture: 34.59%

See how alpha, beta & R² have trended over time →

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.

IJS

iShares S&P SmallCap 600 Value ETF

TIP

iShares TIPS Bond ETF

SHY

iShares 1-3 Year Treasury Bond ETF

VWO

Vanguard FTSE Emerging Markets ETF

Return for Risk

Risk / Return Rank

Larry Swedroe Minimize FatTails Portfolio ranks 64 for risk / return — better than 64% of Portfolios on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.

Overall Rank

Sharpe Ratio Rank

Sortino Ratio Rank

Omega Ratio Rank

Calmar Ratio Rank

Martin Ratio Rank

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

Return / Risk — by metrics

The table below presents risk-adjusted performance metrics for Larry Swedroe Minimize FatTails 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	1.83	1.63	+0.21
Sortino ratioReturn per unit of downside risk	2.71	2.25	+0.46
Omega ratioGain probability vs. loss probability	1.34	1.30	+0.05
Calmar ratioReturn relative to maximum drawdown	2.91	2.25	+0.67
Martin ratioReturn relative to average drawdown	11.05	9.74	+1.31

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	75	1.81	2.64	1.32	3.52	11.63
SHY iShares 1-3 Year Treasury Bond ETF	86	2.18	3.45	1.44	3.42	13.39
TIP iShares TIPS Bond ETF	32	0.90	1.34	1.16	1.59	4.52
VWO Vanguard FTSE Emerging Markets ETF	47	1.29	1.83	1.24	1.99	6.79

Sharpe Ratio

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. Learn how to interpret the Sharpe ratio.

The current Larry Swedroe Minimize FatTails Portfolio Sharpe ratio is 1.83 as of Jul 15, 2026 (the value is recalculated daily), calculated over the past 12 months.

Compared to the broad market, where average Sharpe ratios range from 1.33 to 2.10, 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.

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Dividends

Dividend yield

Larry Swedroe Minimize FatTails Portfolio provided a 3.39% dividend yield over the last twelve months.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
Portfolio	3.39%	3.20%	3.00%	2.74%	3.73%	2.21%	1.17%	2.09%	2.24%	1.63%	1.33%	1.03%
Portfolio components:
IJS iShares S&P SmallCap 600 Value ETF	1.33%	1.62%	1.78%	1.42%	1.46%	1.52%	1.00%	1.66%	1.75%	1.41%	1.22%	1.59%
SHY iShares 1-3 Year Treasury Bond ETF	3.66%	3.81%	3.92%	2.99%	1.30%	0.26%	0.94%	2.12%	1.72%	0.98%	0.71%	0.54%
TIP iShares TIPS Bond ETF	4.45%	3.46%	2.52%	2.73%	6.96%	4.28%	1.17%	1.75%	2.71%	2.07%	1.48%	0.34%
VWO Vanguard FTSE Emerging Markets ETF	2.34%	2.79%	3.20%	3.52%	4.11%	2.63%	1.91%	3.23%	2.88%	2.30%	2.52%	3.26%

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.

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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 0.51%.

Related event	Drawdown	Fall	Recovery	Underwater
Financial crisis2007–2009	-21.61%Mar 2009	9mo 23d	7mo 9d	1y 4moMay 2008 - Oct 2009
Bear market2022	-14.58%Sep 2022	10mo 24d	1y 11mo	2y 10moNov 2021 - Sep 2024
COVID crash2020	-13.45%Mar 2020	1mo 27d	2mo 22d	4mo 19dJan 2020 - Jun 2020
2016 pullback2016	-9.76%Jan 2016	8mo 29d	6mo 20d	1y 3moApr 2015 - Aug 2016
2011 pullback2011	-6.99%Oct 2011	2mo 10d	3mo 16d	5mo 26dJul 2011 - Jan 2012

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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Diversification

AI Analysis

The gist

The portfolio is really two portfolios in a trench coat: a small-cap/emerging-equity sleeve and a bond sleeve split between inflation protection and short duration, which is a coherent bet on keeping equity risk and rate risk in separate boxes.

The numbers

Diversification is 1.44 incept, 71.6th percentile, with the shorter windows a bit weaker at 1.29 over 1Y, so the portfolio still diversifies, but the benefit is not especially exotic.
Effective asset count is 3.45 of 4, which says the weights are fairly well spread; concentration is not the issue here.
The correlation structure is tidy: IJS (iShares S&P Small-Cap 600 Value ETF) and VWO (Vanguard FTSE Emerging Markets ETF) cluster at 0.64, while TIP (iShares TIPS Bond ETF) and SHY (iShares 1-3 Year Treasury Bond ETF) cluster at 0.62.

The good

The portfolio has two genuinely distinct economic sleeves: cyclical equities on one side, duration/inflation management on the other, which is cleaner than pretending all risk lives in one asset class.
IJS and VWO do not move perfectly together, so the equity sleeve is not just a single-country index in disguise.
SHY gives the bond sleeve some ballast without much drama, which is often the whole point.

The bad

The equity sleeve is internally linked: IJS and VWO have a position-to-portfolio correlation of 0.82 and 0.84, so most of the portfolio’s action still comes from the same growth-and-risk channel.
TIP and SHY are a bond pair, not two independent sources of return; their 0.62 correlation means the defensive sleeve is diversified, but only politely.

The ugly

In a regime where inflation is sticky but growth also weakens, TIP’s inflation hedge and SHY’s duration behavior can both become awkward at once, and the clean two-sleeve story gets less clean.

Next steps

Portfolios with this correlation profile are often made more robust by exposures whose earnings drivers sit outside the equity-growth and rates complex.
The data also fits a portfolio whose diversification is more about balancing regimes than about finding many unrelated assets.

AI-generated analysis. Not investment advice. Verify key facts independently.

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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. Your capital is well-distributed across most of your holdings, with only mild concentration in a few names. True diversification also depends on the correlations between assets — check the diversification ratio below.

Diversification Ratio

	1Y	3Y	5Y	10Y	All Time
Diversification Ratio	1.29	1.33	1.38	1.41	1.44

The portfolio has a diversification ratio of 1.44, in line with the typical range across portfolios. There's room to improve by adding less correlated assets.

Larry Swedroe Minimize FatTails Portfolio correlation to the S&P 500 Index

Larry Swedroe Minimize FatTails Portfolio has a 0.77 correlation to S&P 500 Index over the trailing 12 months. This section compares each holding's correlation to the benchmark and to the portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.77
Correlation (3Y) Calculated over the trailing 3-year period	0.71
Correlation (5Y) Calculated over the trailing 5-year period	0.72
Correlation (10Y) Calculated over the trailing 10-year period	0.73
Correlation (All Time) Calculated using the full available price history since Mar 10, 2005	0.77

Benchmark Correlations

Correlation vs. S&P 500 Index. IJS has the highest benchmark correlation at 0.81, while SHY has the lowest at -0.17.

-0.17

-0.10

0.74

0.81

Portfolio Correlations

Correlation vs. Larry Swedroe Minimize FatTails Portfolio. VWO has the highest portfolio correlation at 0.84, while SHY has the lowest at 0.09.

0.09

0.25

0.82

0.84

Asset Correlations Table

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

	TIP	SHY	VWO	IJS
TIP	1.00	0.62	-0.05	-0.11
SHY	0.62	1.00	-0.12	-0.16
VWO	-0.05	-0.12	1.00	0.64
IJS	-0.11	-0.16	0.64	1.00

The correlation results are calculated based on daily price changes starting from Mar 10, 2005

Diversification Analysis

Find what Larry Swedroe Minimize FatTails Portfolio is missing

See which holdings overlap, where Larry Swedroe Minimize FatTails Portfolio is concentrated, and which low-correlation assets could fill the gaps.

Analyze Diversification