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% |
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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 Jun 3, 2026, the Larry Swedroe Minimize FatTails Portfolio returned 5.35% Year-To-Date and 4.84% of annualized return in the last 10 years.
| Position | 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.13% | 5.25% | 11.16% | 11.43% | 28.20% | 21.12% | 12.66% | 13.75% |
Portfolio Larry Swedroe Minimize FatTails Portfolio | 0.38% | 0.94% | 5.35% | 5.73% | 13.45% | 7.86% | 2.92% | 4.84% |
| Portfolio components: | ||||||||
IJS iShares S&P SmallCap 600 Value ETF | 1.07% | 2.26% | 16.54% | 17.68% | 41.12% | 14.47% | 5.86% | 10.20% |
SHY iShares 1-3 Year Treasury Bond ETF | 0.00% | 0.00% | 0.48% | 0.80% | 3.34% | 4.04% | 1.73% | 1.65% |
TIP iShares TIPS Bond ETF | -0.01% | -0.09% | 1.73% | 1.47% | 5.06% | 3.94% | 1.11% | 2.59% |
VWO Vanguard FTSE Emerging Markets ETF | 1.27% | 3.73% | 13.82% | 15.26% | 32.89% | 18.58% | 5.66% | 9.01% |
Monthly Returns
Based on dividend-adjusted daily data since Mar 11, 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% | 0.55% | 5.35% | ||||||
| 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 1.88%, beta of 0.29, and R2 of 0.66 versus S&P 500 Index. Calculated based on daily prices since March 11, 2005.
- This portfolio participated in 34.84% of S&P 500 Index downside but only 34.14% 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
- 1.88%
- Beta
- 0.29
- R²
- 0.66
- Upside Capture
- 34.14%
- Downside Capture
- 34.84%
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.
Return for Risk
Risk / Return Rank
Larry Swedroe Minimize FatTails Portfolio ranks 65 for risk / return — better than 65% 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.
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.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.58 | 2.39 | +0.19 |
Sortino ratioReturn per unit of downside risk | 3.90 | 3.25 | +0.64 |
Omega ratioGain probability vs. loss probability | 1.50 | 1.43 | +0.07 |
Calmar ratioReturn relative to maximum drawdown | 3.88 | 3.11 | +0.76 |
Martin ratioReturn relative to average drawdown | 15.06 | 14.38 | +0.68 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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 | 71 | 2.26 | 3.20 | 1.39 | 4.35 | 14.25 |
SHY iShares 1-3 Year Treasury Bond ETF | 79 | 2.51 | 4.14 | 1.51 | 3.67 | 14.96 |
TIP iShares TIPS Bond ETF | 44 | 1.49 | 2.29 | 1.27 | 2.38 | 7.17 |
VWO Vanguard FTSE Emerging Markets ETF | 61 | 2.09 | 2.88 | 1.39 | 3.03 | 10.94 |
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Dividends
Dividend yield
Larry Swedroe Minimize FatTails Portfolio provided a 3.15% dividend yield over the last twelve months.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 3.15% | 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 | 1.28% | 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 | 3.68% | 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 | 3.75% | 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 | 2.37% | 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.
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
Thesis
The portfolio is a two-sleeve bet: cyclically sensitive equities through iShares S&P Small-Cap 600 Value ETF (IJS) and Vanguard FTSE Emerging Markets ETF (VWO), plus a paired inflation-and-short-rate bond structure through iShares TIPS Bond ETF (TIP) and iShares 1-3 Year Treasury Bond ETF (SHY).
The numbers
- The diversification ratio is 1.44 since inception, 70.5th percentile on the platform, which is real diversification but not a maze.
- The effective number of assets is 3.45 of 4, so the weights are spread; concentration is not the main issue here.
- The portfolio-level correlations cluster into two pairs: IJS/VWO at 0.65 and TIP/SHY at 0.62, which is tidy, and also a clue.
What works
- TIP and SHY are only mildly linked to the equity sleeve, so the bond side is doing actual portfolio work rather than just wearing a different costume.
- The long-run diversification ratio improving from 1.31 over 1Y to 1.44 since inception suggests the sleeves have not all been moving in lockstep all the time, which is useful.
What does not
- IJS and VWO move together a lot, so the equity sleeve is less two views than one broad cyclical trade with different labels.
- TIP and SHY are effectively one rate-sensitive cluster, so the fixed-income side is split by duration more than by economic driver.
Stress Scenario
- If inflation stays sticky while growth weakens, TIP and SHY can stop offsetting each other in the neat way the cluster chart suggests, and the portfolio becomes mostly a pair of correlated macro bets.
Worth knowing
- The portfolio’s diversification is driven more by mixing macro regimes than by holding many independent return streams.
- Portfolios with this structure are often most fragile when equities and inflation-linked bonds are both being priced off the same rate narrative.
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 | 1.31 | 1.33 | 1.39 | 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
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.75 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.70 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.71 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.73 |
Correlation (All Time) Calculated using the full available price history since Mar 11, 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 -0.18.
Asset Correlations Table
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.
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