Asset Allocation
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Foreign funds, 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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The earliest data available for this chart is Jan 3, 2017, corresponding to the inception date of TIISX
Returns By Period
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio Foreign funds | 2.22% | -2.20% | 5.18% | 8.02% | 32.62% | 17.91% | 9.51% | — |
| Portfolio components: | ||||||||
ABIYX AB International Value Fund | 1.63% | -2.59% | 2.73% | 6.79% | 32.42% | 17.16% | 10.46% | 7.58% |
ARTIX Artisan International Fund | 3.54% | -1.31% | 8.61% | 10.37% | 34.56% | 19.96% | 9.96% | 9.60% |
TCIEX TIAA-CREF International Equity Index Fund Institutional Class | 1.60% | -1.85% | 2.66% | 6.29% | 24.46% | 15.09% | 8.61% | 9.08% |
TIISX TIAA-CREF Quant International Small-Cap Equity Fund | 2.12% | -3.06% | 6.73% | 8.51% | 39.04% | 19.21% | 8.75% | — |
Monthly Returns
Based on dividend-adjusted daily data since Jan 4, 2017, Foreign funds's average daily return is +0.04%, while the average monthly return is +0.84%. At this rate, your investment would double in approximately 6.9 years.
Historically, 64% of months were positive and 36% were negative. The best month was Nov 2022 with a return of +13.4%, while the worst month was Mar 2020 at -17.8%. The longest winning streak lasted 13 consecutive months, and the longest losing streak was 4 months.
On a daily basis, Foreign funds closed higher 55% of trading days. The best single day was Mar 24, 2020 with a return of +8.5%, while the worst single day was Mar 12, 2020 at -11.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 6.86% | 5.31% | -8.56% | 2.22% | 5.18% | ||||||||
| 2025 | 3.99% | 3.08% | 0.47% | 4.85% | 5.85% | 4.54% | -1.07% | 3.75% | 3.19% | 0.08% | 0.23% | 2.82% | 36.50% |
| 2024 | -0.39% | 3.12% | 3.97% | -3.15% | 4.57% | -1.72% | 3.21% | 2.67% | 0.52% | -4.04% | 0.60% | -2.95% | 6.06% |
| 2023 | 8.50% | -2.68% | 2.23% | 1.86% | -3.83% | 4.48% | 3.42% | -3.04% | -3.87% | -3.87% | 8.05% | 5.05% | 16.21% |
| 2022 | -4.17% | -3.72% | -0.39% | -6.30% | 2.08% | -9.56% | 4.64% | -5.06% | -9.71% | 6.41% | 13.43% | -1.99% | -15.65% |
| 2021 | -0.75% | 1.98% | 2.28% | 3.39% | 3.58% | -1.23% | 0.75% | 1.76% | -3.19% | 2.73% | -5.59% | 5.10% | 10.76% |
Benchmark Metrics
Foreign funds has an annualized alpha of 0.32%, beta of 0.74, and R² of 0.71 versus S&P 500 Index. Calculated based on daily prices since January 04, 2017.
- This portfolio participated in 90.35% of S&P 500 Index downside but only 79.88% of its upside — more exposed to losses than it benefited from rallies.
- Alpha
- 0.32%
- Beta
- 0.74
- R²
- 0.71
- Upside Capture
- 79.88%
- Downside Capture
- 90.35%
Expense Ratio
Foreign funds has an expense ratio of 0.74%, placing it in the medium range. 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
Foreign funds ranks 87 for risk / return — in the top 87% of portfolios on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.15 | 0.88 | +1.27 |
Sortino ratioReturn per unit of downside risk | 2.77 | 1.37 | +1.40 |
Omega ratioGain probability vs. loss probability | 1.43 | 1.21 | +0.22 |
Calmar ratioReturn relative to maximum drawdown | 3.04 | 1.39 | +1.65 |
Martin ratioReturn relative to average drawdown | 11.88 | 6.43 | +5.44 |
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.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
ABIYX AB International Value Fund | 87 | 1.95 | 2.53 | 1.38 | 2.71 | 10.37 |
ARTIX Artisan International Fund | 93 | 2.23 | 2.85 | 1.43 | 3.47 | 13.19 |
TCIEX TIAA-CREF International Equity Index Fund Institutional Class | 71 | 1.45 | 1.99 | 1.29 | 2.10 | 7.95 |
TIISX TIAA-CREF Quant International Small-Cap Equity Fund | 94 | 2.56 | 3.25 | 1.50 | 3.25 | 12.65 |
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Dividends
Dividend yield
Foreign funds provided a 8.83% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 8.83% | 9.46% | 6.71% | 2.33% | 2.55% | 8.88% | 2.03% | 3.24% | 5.01% | 2.26% | 1.12% | 1.30% |
| Portfolio components: | ||||||||||||
ABIYX AB International Value Fund | 2.81% | 2.88% | 10.15% | 1.38% | 1.39% | 2.78% | 0.92% | 1.31% | 0.52% | 2.02% | 0.34% | 1.69% |
ARTIX Artisan International Fund | 20.74% | 22.52% | 10.24% | 1.79% | 2.54% | 23.35% | 3.23% | 5.24% | 9.73% | 0.67% | 1.17% | 0.45% |
TCIEX TIAA-CREF International Equity Index Fund Institutional Class | 3.79% | 3.89% | 3.17% | 3.14% | 2.82% | 3.02% | 1.96% | 3.08% | 3.42% | 2.78% | 2.95% | 3.06% |
TIISX TIAA-CREF Quant International Small-Cap Equity Fund | 7.99% | 8.53% | 3.29% | 3.01% | 3.45% | 6.38% | 1.99% | 3.33% | 6.37% | 3.56% | 0.00% | 0.00% |
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 Foreign funds. 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 Foreign funds was 40.40%, occurring on Mar 23, 2020. Recovery took 196 trading sessions.
The current Foreign funds drawdown is 6.61%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -40.4% | Jan 29, 2018 | 541 | Mar 23, 2020 | 196 | Dec 30, 2020 | 737 |
| -31.11% | Sep 7, 2021 | 278 | Oct 12, 2022 | 352 | Mar 7, 2024 | 630 |
| -13.05% | Mar 20, 2025 | 13 | Apr 7, 2025 | 14 | Apr 28, 2025 | 27 |
| -10.95% | Feb 26, 2026 | 23 | Mar 30, 2026 | — | — | — |
| -8.78% | Sep 27, 2024 | 73 | Jan 13, 2025 | 24 | Feb 18, 2025 | 97 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 4 assets, with an effective number of assets of 4.00, 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
| Benchmark | ARTIX | TIISX | ABIYX | TCIEX | Portfolio | |
|---|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.70 | 0.75 | 0.75 | 0.77 | 0.78 |
| ARTIX | 0.70 | 1.00 | 0.83 | 0.84 | 0.88 | 0.93 |
| TIISX | 0.75 | 0.83 | 1.00 | 0.89 | 0.90 | 0.95 |
| ABIYX | 0.75 | 0.84 | 0.89 | 1.00 | 0.96 | 0.97 |
| TCIEX | 0.77 | 0.88 | 0.90 | 0.96 | 1.00 | 0.98 |
| Portfolio | 0.78 | 0.93 | 0.95 | 0.97 | 0.98 | 1.00 |