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Aronson Family Taxable Portfolio

Last updated Mar 2, 2024

The Aronson Family Taxable Portfolio is a portfolio by Ted Aronson, an asset manager at AJO Partners. It's a well-diversified portfolio consisting of 11 funds that cover 4 major asset classes: Emerging Market Equity, US Equity, Fixed Income, and Foreign Equity.

Asset Allocation


TIP 15%TLT 10%HYG 5%VPL 15%VV 15%IJR 10%EEM 10%IJT 5%VTI 5%VGK 5%IJS 5%BondBondEquityEquity
PositionCategory/SectorWeight
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds

15%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

10%

HYG
iShares iBoxx $ High Yield Corporate Bond ETF
High Yield Bonds

5%

VPL
Vanguard FTSE Pacific ETF
Asia Pacific Equities

15%

VV
Vanguard Large-Cap ETF
Large Cap Growth Equities

15%

IJR
iShares Core S&P Small-Cap ETF
Small Cap Growth Equities

10%

EEM
iShares MSCI Emerging Markets ETF
Asia Pacific Equities

10%

IJT
iShares S&P SmallCap 600 Growth ETF
Small Cap Growth Equities

5%

VTI
Vanguard Total Stock Market ETF
Large Cap Growth Equities

5%

VGK
Vanguard FTSE Europe ETF
Europe Equities

5%

IJS
iShares S&P SmallCap 600 Value ETF
Small Cap Value Equities

5%

S&P 500

Performance

The chart shows the growth of an initial investment of $10,000 in Aronson Family Taxable 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


140.00%160.00%180.00%200.00%220.00%240.00%260.00%OctoberNovemberDecember2024FebruaryMarch
182.80%
257.02%
Aronson Family Taxable Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Apr 11, 2007, corresponding to the inception date of HYG

Returns

As of Mar 2, 2024, the Aronson Family Taxable Portfolio returned 1.90% Year-To-Date and 6.44% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
Aronson Family Taxable Portfolio1.90%2.56%7.61%10.30%6.75%6.42%
VPL
Vanguard FTSE Pacific ETF
4.11%4.14%9.87%14.92%5.57%5.04%
VV
Vanguard Large-Cap ETF
8.07%3.81%15.05%29.71%14.84%12.55%
IJT
iShares S&P SmallCap 600 Growth ETF
2.17%3.97%9.10%10.81%8.04%8.74%
VTI
Vanguard Total Stock Market ETF
7.45%3.96%14.35%27.20%14.06%11.98%
VGK
Vanguard FTSE Europe ETF
2.00%3.25%9.59%11.68%7.51%4.23%
IJS
iShares S&P SmallCap 600 Value ETF
-2.90%2.25%4.14%-0.67%7.21%7.40%
TLT
iShares 20+ Year Treasury Bond ETF
-3.85%-1.36%1.54%-3.93%-2.48%1.23%
IJR
iShares Core S&P Small-Cap ETF
-0.32%3.07%6.78%5.14%7.97%8.32%
EEM
iShares MSCI Emerging Markets ETF
0.67%4.73%4.08%5.13%1.10%2.33%
TIP
iShares TIPS Bond ETF
-0.34%0.11%2.69%1.94%2.64%1.99%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
0.80%0.56%6.02%9.59%3.10%3.25%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-1.29%2.46%
2023-3.11%-4.29%-3.25%7.49%6.36%

Sharpe Ratio

The current Aronson Family Taxable Portfolio Sharpe ratio is 1.14. A Sharpe ratio greater than 1.0 is considered acceptable.

0.002.004.001.14

The Sharpe ratio of Aronson Family Taxable Portfolio is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
1.14
2.44
Aronson Family Taxable Portfolio
Benchmark (^GSPC)
Portfolio components

Dividend yield

Aronson Family Taxable Portfolio granted a 2.44% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Aronson Family Taxable Portfolio2.44%2.46%3.00%2.32%1.58%2.24%2.53%2.10%2.13%2.06%2.24%2.06%
VPL
Vanguard FTSE Pacific ETF
2.99%3.12%2.75%3.19%1.81%2.84%3.06%2.57%2.65%2.43%2.69%2.49%
VV
Vanguard Large-Cap ETF
1.31%1.41%1.66%1.19%1.46%1.81%2.09%1.75%1.98%1.96%1.77%1.75%
IJT
iShares S&P SmallCap 600 Growth ETF
1.00%1.02%1.08%0.63%0.68%0.92%0.92%0.86%1.03%1.14%0.78%0.70%
VTI
Vanguard Total Stock Market ETF
1.34%1.44%1.66%1.21%1.42%1.78%2.04%1.71%1.92%1.98%1.76%1.74%
VGK
Vanguard FTSE Europe ETF
3.09%3.15%3.25%3.05%2.11%3.27%3.95%2.70%3.52%3.25%4.62%2.77%
IJS
iShares S&P SmallCap 600 Value ETF
1.46%1.42%1.46%1.52%1.00%1.66%1.75%1.41%1.22%1.59%1.41%1.18%
TLT
iShares 20+ Year Treasury Bond ETF
3.62%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
IJR
iShares Core S&P Small-Cap ETF
1.32%1.31%1.41%1.53%1.11%1.44%1.58%1.20%1.21%1.48%1.23%1.00%
EEM
iShares MSCI Emerging Markets ETF
2.61%2.63%2.50%1.99%1.45%2.76%2.22%1.87%1.88%2.48%2.22%2.04%
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%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
5.76%5.74%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%6.10%

Expense Ratio

The Aronson Family Taxable Portfolio features an expense ratio of 0.19%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


0.50%1.00%1.50%2.00%0.68%
0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.25%
0.50%1.00%1.50%2.00%0.19%
0.50%1.00%1.50%2.00%0.15%
0.50%1.00%1.50%2.00%0.08%
0.50%1.00%1.50%2.00%0.08%
0.50%1.00%1.50%2.00%0.07%
0.50%1.00%1.50%2.00%0.04%
0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
Aronson Family Taxable Portfolio
1.14
VPL
Vanguard FTSE Pacific ETF
1.26
VV
Vanguard Large-Cap ETF
2.64
IJT
iShares S&P SmallCap 600 Growth ETF
0.65
VTI
Vanguard Total Stock Market ETF
2.31
VGK
Vanguard FTSE Europe ETF
0.91
IJS
iShares S&P SmallCap 600 Value ETF
0.04
TLT
iShares 20+ Year Treasury Bond ETF
-0.14
IJR
iShares Core S&P Small-Cap ETF
0.33
EEM
iShares MSCI Emerging Markets ETF
0.43
TIP
iShares TIPS Bond ETF
0.46
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
1.63

Asset Correlations Table

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

TIPTLTHYGEEMVPLVGKIJSIJTIJRVVVTI
TIP1.000.730.05-0.08-0.07-0.08-0.15-0.14-0.14-0.14-0.14
TLT0.731.00-0.12-0.26-0.25-0.28-0.32-0.30-0.31-0.31-0.31
HYG0.05-0.121.000.580.590.610.570.590.590.660.66
EEM-0.08-0.260.581.000.810.780.660.680.670.760.76
VPL-0.07-0.250.590.811.000.800.690.710.700.780.78
VGK-0.08-0.280.610.780.801.000.700.720.720.810.81
IJS-0.15-0.320.570.660.690.701.000.950.980.830.86
IJT-0.14-0.300.590.680.710.720.951.000.980.870.89
IJR-0.14-0.310.590.670.700.720.980.981.000.850.88
VV-0.14-0.310.660.760.780.810.830.870.851.000.99
VTI-0.14-0.310.660.760.780.810.860.890.880.991.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-5.87%
0
Aronson Family Taxable Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Aronson Family Taxable 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 Aronson Family Taxable Portfolio was 42.95%, occurring on Mar 9, 2009. Recovery took 420 trading sessions.

The current Aronson Family Taxable Portfolio drawdown is 5.87%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-42.95%Nov 1, 2007339Mar 9, 2009420Nov 4, 2010759
-25.12%Jan 17, 202042Mar 18, 202096Aug 4, 2020138
-24.93%Nov 10, 2021234Oct 14, 2022
-14.49%Apr 27, 2015202Feb 11, 2016115Jul 27, 2016317
-14.09%Jan 29, 2018229Dec 24, 2018129Jul 1, 2019358

Volatility Chart

The current Aronson Family Taxable Portfolio volatility is 3.15%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
3.15%
3.47%
Aronson Family Taxable Portfolio
Benchmark (^GSPC)
Portfolio components
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