FRS 2065
This portfolio seeks to mirror the holdings of a 12 fund state retirement plan for tracking purposes. Collective investment trusts are replaced with the underlying funds they are seeking to replicate or comparable mutual funds.
FRS U.S. Stock Market Index Fund (Comparable Fund: IWV); FRS Foreign Stock Index Fund (Comparable Fund: ACWX); Prudential Retirement Real Estate Fund II (Comparable Fund: PJEZX); Prudential High Quality High Yield (Comparable Fund: VCPIX); Principal Diversified Real Asset Fund; FRS U.S. Bond Enhanced Index Fund (Comparable Fund: WFBIX); Ariel Investments SMID Value (Comparable Fund: SMMD); Stephens Mid Cap Growth; FIAM Intermediate Duration Pool (Comparable Fund: FTHRX); Allspring Core Bond Fund; T Rowe Price Institutional Small-Cap Stock Fund; Prudential Core Plus Bond Fund (Comparable Fund: VCPIX)
Asset Allocation
Performance
Performance Chart
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The earliest data available for this chart is Oct 13, 2021, corresponding to the inception date of VCPIX
Returns By Period
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -1.34% | 5.02% | -3.08% | 9.39% | 14.45% | 10.68% |
| FRS 2065 | 3.34% | 4.24% | 0.39% | 10.51% | N/A | N/A |
| Portfolio components: | ||||||
ACWX iShares MSCI ACWI ex U.S. ETF | 13.98% | 5.15% | 11.75% | 12.16% | 11.04% | 5.23% |
IWV iShares Russell 3000 ETF | -1.26% | 5.10% | -3.78% | 10.23% | 15.44% | 11.84% |
PJEZX PGIM US Real Estate Fund | -2.22% | 0.94% | -8.93% | 13.19% | 10.30% | 6.95% |
PBHAX PGIM High Yield Fund | 2.03% | 1.00% | 2.27% | 8.92% | 5.73% | 4.89% |
PDRDX Principal Diversified Real Asset Fund | 4.94% | 2.01% | 0.35% | 5.37% | 8.31% | 3.19% |
WFBIX iShares U.S. Aggregate Bond Index Fund | 1.37% | -1.02% | 0.41% | 4.58% | -1.12% | 1.33% |
SMMD iShares Russell 2500 ETF | -5.16% | 5.41% | -12.60% | 1.94% | 11.58% | N/A |
STMGX American Beacon Stephens Mid-Cap Growth Fund | 1.09% | 7.45% | -9.38% | 1.86% | 5.79% | 5.51% |
FTHRX Fidelity Intermediate Bond Fund | 2.27% | -0.20% | 2.09% | 6.00% | 0.86% | 1.96% |
MNTRX Allspring Core Bond Fund | 1.29% | -1.02% | 0.33% | 5.12% | -0.46% | 1.52% |
TRSSX T. Rowe Price Institutional Small Cap Stock Fund | -4.18% | 3.79% | -11.85% | 4.57% | 9.93% | 9.02% |
VCPIX Vanguard Core-Plus Bond Fund Investor Shares | 1.86% | -0.89% | 0.76% | 5.24% | N/A | N/A |
Monthly Returns
The table below presents the monthly returns of FRS 2065, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 2.80% | 0.04% | -3.15% | 0.17% | 3.57% | 3.34% | |||||||
| 2024 | -0.41% | 3.85% | 3.02% | -3.76% | 4.10% | 1.45% | 2.46% | 2.45% | 2.33% | -2.11% | 4.15% | -3.47% | 14.50% |
| 2023 | 7.38% | -3.17% | 2.22% | 1.21% | -1.34% | 5.35% | 3.34% | -2.70% | -4.25% | -2.82% | 8.39% | 5.39% | 19.49% |
| 2022 | -4.65% | -2.39% | 1.98% | -7.32% | -0.16% | -7.76% | 7.04% | -4.02% | -9.15% | 5.61% | 7.36% | -4.25% | -17.92% |
| 2021 | 3.29% | -2.17% | 3.61% | 4.71% |
Expense Ratio
FRS 2065 has an expense ratio of 0.36%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of FRS 2065 is 57, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.
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.
| Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
ACWX iShares MSCI ACWI ex U.S. ETF | 0.76 | 1.12 | 1.15 | 0.88 | 2.79 |
IWV iShares Russell 3000 ETF | 0.56 | 0.86 | 1.12 | 0.53 | 2.00 |
PJEZX PGIM US Real Estate Fund | 0.72 | 1.07 | 1.15 | 0.69 | 2.22 |
PBHAX PGIM High Yield Fund | 2.31 | 3.54 | 1.59 | 2.35 | 9.65 |
PDRDX Principal Diversified Real Asset Fund | 0.51 | 0.73 | 1.10 | 0.43 | 1.79 |
WFBIX iShares U.S. Aggregate Bond Index Fund | 0.88 | 1.26 | 1.15 | 0.41 | 2.13 |
SMMD iShares Russell 2500 ETF | 0.13 | 0.29 | 1.04 | 0.08 | 0.23 |
STMGX American Beacon Stephens Mid-Cap Growth Fund | 0.14 | 0.27 | 1.04 | 0.06 | 0.21 |
FTHRX Fidelity Intermediate Bond Fund | 1.68 | 2.62 | 1.32 | 1.21 | 5.39 |
MNTRX Allspring Core Bond Fund | 0.95 | 1.40 | 1.17 | 0.53 | 2.35 |
TRSSX T. Rowe Price Institutional Small Cap Stock Fund | 0.25 | 0.45 | 1.06 | 0.19 | 0.59 |
VCPIX Vanguard Core-Plus Bond Fund Investor Shares | 1.08 | 1.59 | 1.19 | 0.59 | 3.02 |
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Dividends
Dividend yield
FRS 2065 provided a 2.22% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.22% | 2.33% | 2.17% | 2.72% | 2.75% | 1.76% | 2.72% | 2.87% | 2.45% | 3.33% | 2.89% | 2.73% |
| Portfolio components: | ||||||||||||
ACWX iShares MSCI ACWI ex U.S. ETF | 2.61% | 2.97% | 2.96% | 2.68% | 2.73% | 1.88% | 3.22% | 2.65% | 2.40% | 2.77% | 2.51% | 3.18% |
IWV iShares Russell 3000 ETF | 1.12% | 1.08% | 1.30% | 1.56% | 1.04% | 1.30% | 1.69% | 1.97% | 1.58% | 1.79% | 1.99% | 1.62% |
PJEZX PGIM US Real Estate Fund | 1.74% | 1.93% | 1.65% | 3.21% | 9.54% | 1.56% | 6.03% | 5.43% | 6.31% | 15.48% | 9.39% | 6.25% |
PBHAX PGIM High Yield Fund | 7.08% | 7.13% | 6.76% | 6.72% | 6.35% | 5.71% | 5.95% | 6.26% | 6.00% | 6.20% | 6.65% | 6.37% |
PDRDX Principal Diversified Real Asset Fund | 2.11% | 2.42% | 2.52% | 12.87% | 6.56% | 0.51% | 2.36% | 3.47% | 2.22% | 2.61% | 0.99% | 2.17% |
WFBIX iShares U.S. Aggregate Bond Index Fund | 3.73% | 3.66% | 3.15% | 2.60% | 2.06% | 2.65% | 2.88% | 2.71% | 2.25% | 2.28% | 2.21% | 2.59% |
SMMD iShares Russell 2500 ETF | 1.38% | 1.27% | 1.44% | 1.79% | 1.12% | 1.31% | 1.50% | 2.45% | 0.68% | 0.00% | 0.00% | 0.00% |
STMGX American Beacon Stephens Mid-Cap Growth Fund | 4.81% | 4.86% | 0.00% | 3.42% | 7.49% | 1.45% | 3.60% | 9.39% | 5.40% | 6.65% | 5.62% | 7.50% |
FTHRX Fidelity Intermediate Bond Fund | 3.53% | 3.49% | 2.94% | 2.04% | 1.81% | 4.31% | 2.50% | 2.47% | 2.20% | 2.21% | 2.58% | 2.35% |
MNTRX Allspring Core Bond Fund | 4.87% | 5.87% | 4.38% | 2.37% | 1.84% | 6.36% | 2.47% | 2.34% | 1.74% | 1.96% | 1.45% | 1.60% |
TRSSX T. Rowe Price Institutional Small Cap Stock Fund | 20.49% | 19.63% | 5.45% | 5.37% | 8.52% | 4.54% | 6.13% | 13.45% | 6.53% | 0.80% | 7.07% | 6.10% |
VCPIX Vanguard Core-Plus Bond Fund Investor Shares | 4.82% | 4.71% | 4.48% | 3.16% | 0.26% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 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 FRS 2065. 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 FRS 2065 was 25.34%, occurring on Oct 14, 2022. Recovery took 343 trading sessions.
The current FRS 2065 drawdown is 1.71%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -25.34% | Nov 9, 2021 | 237 | Oct 14, 2022 | 343 | Feb 22, 2024 | 580 |
| -14.89% | Feb 19, 2025 | 35 | Apr 8, 2025 | 28 | May 19, 2025 | 63 |
| -6.62% | Jul 17, 2024 | 14 | Aug 5, 2024 | 12 | Aug 21, 2024 | 26 |
| -5.02% | Apr 1, 2024 | 15 | Apr 19, 2024 | 17 | May 14, 2024 | 32 |
| -5.01% | Dec 9, 2024 | 22 | Jan 10, 2025 | 23 | Feb 13, 2025 | 45 |
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 12 assets, with an effective number of assets of 3.18, 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
| ^GSPC | FTHRX | WFBIX | MNTRX | VCPIX | PBHAX | PJEZX | ACWX | PDRDX | STMGX | TRSSX | IWV | SMMD | Portfolio | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.09 | 0.14 | 0.15 | 0.19 | 0.46 | 0.66 | 0.77 | 0.66 | 0.89 | 0.86 | 0.99 | 0.86 | 0.95 |
| FTHRX | 0.09 | 1.00 | 0.93 | 0.94 | 0.92 | 0.52 | 0.24 | 0.15 | 0.26 | 0.11 | 0.11 | 0.10 | 0.11 | 0.16 |
| WFBIX | 0.14 | 0.93 | 1.00 | 0.97 | 0.96 | 0.54 | 0.28 | 0.19 | 0.30 | 0.16 | 0.17 | 0.15 | 0.16 | 0.21 |
| MNTRX | 0.15 | 0.94 | 0.97 | 1.00 | 0.97 | 0.56 | 0.29 | 0.19 | 0.30 | 0.17 | 0.17 | 0.15 | 0.17 | 0.22 |
| VCPIX | 0.19 | 0.92 | 0.96 | 0.97 | 1.00 | 0.57 | 0.31 | 0.26 | 0.35 | 0.21 | 0.22 | 0.20 | 0.22 | 0.27 |
| PBHAX | 0.46 | 0.52 | 0.54 | 0.56 | 0.57 | 1.00 | 0.46 | 0.50 | 0.54 | 0.46 | 0.48 | 0.48 | 0.50 | 0.54 |
| PJEZX | 0.66 | 0.24 | 0.28 | 0.29 | 0.31 | 0.46 | 1.00 | 0.60 | 0.73 | 0.62 | 0.71 | 0.67 | 0.72 | 0.74 |
| ACWX | 0.77 | 0.15 | 0.19 | 0.19 | 0.26 | 0.50 | 0.60 | 1.00 | 0.79 | 0.73 | 0.75 | 0.78 | 0.77 | 0.89 |
| PDRDX | 0.66 | 0.26 | 0.30 | 0.30 | 0.35 | 0.54 | 0.73 | 0.79 | 1.00 | 0.62 | 0.70 | 0.68 | 0.73 | 0.79 |
| STMGX | 0.89 | 0.11 | 0.16 | 0.17 | 0.21 | 0.46 | 0.62 | 0.73 | 0.62 | 1.00 | 0.91 | 0.91 | 0.90 | 0.90 |
| TRSSX | 0.86 | 0.11 | 0.17 | 0.17 | 0.22 | 0.48 | 0.71 | 0.75 | 0.70 | 0.91 | 1.00 | 0.90 | 0.98 | 0.91 |
| IWV | 0.99 | 0.10 | 0.15 | 0.15 | 0.20 | 0.48 | 0.67 | 0.78 | 0.68 | 0.91 | 0.90 | 1.00 | 0.90 | 0.97 |
| SMMD | 0.86 | 0.11 | 0.16 | 0.17 | 0.22 | 0.50 | 0.72 | 0.77 | 0.73 | 0.90 | 0.98 | 0.90 | 1.00 | 0.92 |
| Portfolio | 0.95 | 0.16 | 0.21 | 0.22 | 0.27 | 0.54 | 0.74 | 0.89 | 0.79 | 0.90 | 0.91 | 0.97 | 0.92 | 1.00 |