There are currently 4,611 US-listed ETFs in our database, from which we select a smaller sub-universe with the following criteria:

That leaves us with 2,259 funds, from which this broad allocation is drawn (see our target allocation in the rightmost column).

Symbol Name Category Launch Year Net Assets ($) Annual Fees (%) TTM Yield (%) Target Allocation (%)
CGSM Capital Group Short Duration Municipal Income ETF Muni National Short 2023 900,199,763 0.25 3.10 15.169856
DDLS WisdomTree Dynamic International SmallCap Equity ETF Foreign Small/Mid Value 2016 416,273,721 0.49 4.07 1.521231
EEMV iShares MSCI Emerging Markets Min Vol Factor ETF Diversified Emerging Mkts 2011 3,903,111,285 0.25 3.25 2.023978
EMTL State Street® DoubleLine® Emerging Markets Fixed Income ETF Emerging Markets Bond 2016 104,206,905 0.65 5.13 7.470174
GTOS Invesco Short Duration Total Return Bond ETF Short-Term Bond 2022 102,918,608 0.35 5.14 21.034118
HYSD Columbia Short Duration High Yield ETF High Yield Bond 2024 102,787,375 0.44 5.49 7.716706
INKM State Street® Income Allocation ETF Global Moderately Conservative Allocation 2012 66,673,223 0.17 4.93 3.835066
LONZ PIMCO Senior Loan Active Exchange-Traded Fund Bank Loan 2022 548,678,418 0.73 7.24 5.955479
PFM Invesco Dividend Achievers™ ETF Large Value 2005 732,833,003 0.52 1.42 1.605154
QWLD SPDR® MSCI World StrategicFactors ETF Global Large-Stock Blend 2014 173,749,163 0.31 1.70 1.765565
SPSB State Street® SPDR® Portfolio Short Term Corporate Bond ETF Short-Term Bond 2009 8,232,683,769 0.04 4.64 20.536623
TBFC The Brinsmere Fund - Conservative ETF Tactical Allocation 2024 334,634,606 0.40 2.88 3.569760
TBFG The Brinsmere Fund - Growth ETF Tactical Allocation 2024 379,487,071 0.42 2.29 2.074749
VEGI iShares MSCI Agriculture Producers ETF Natural Resources 2012 86,266,428 0.39 2.49 1.090414
XHYC BondBloxx US High Yield Consumer Cyclicals Sector ETF High Yield Bond 2022 30,705,821 0.35 6.61 4.631126

Note: The weighted average annual fees of the allocation are 32 basis points.  

» Recent performance of our allocation versus its benchmark:

 

 

                    Note: The benchmark (S&P Target Risk Conservative Index (TR)) has been scaled to achieve equal volatility over the period, in order to get a pound for pound visual comparison of compounded returns.

 

» Key performance metrics over the last 12 months:

 

Total Return Realized Volatility Relative Volatility / Benchmark Excess Return1 Sharpe Ratio1 Maximum Drawdown2 Calmar Ratio Correlation Beta R-squared3 Annualized Alpha4 Treynor Ratio Up Capture Down Capture Active Return5 Tracking Error5 Information Ratio5
ALLOCATION 6.6% 2.8% 0.45 2.2% 0.77 -2.5% 2.64 0.96 0.43 92% 2.3% 0.15 43.8% 36.4% 2.1% 0.8% 2.68
BENCHMARK 9.9% 6.3% – 5.5% 0.88 -5.0% 1.98 – – – – – – – – – –
CGSM 4.0% 1.7% 0.28 -0.4% -0.21 -1.4% 2.83 0.24 0.07 6% 3.4% 0.6 13.4% 4.3% 1.3% 2.1% 0.6
DDLS 24.3% 14.7% 2.33 19.9% 1.35 -11.7% 2.08 0.75 1.76 57% 6.0% 0.14 173.7% 153.1% -0.3% 10.3% -0.02
EEMV 11.3% 10.7% 1.69 6.9% 0.64 -9.4% 1.2 0.71 1.2 50% -0.3% 0.09 113.7% 112.7% -5.3% 8.2% -0.65
EMTL 7.0% 2.9% 0.46 2.6% 0.9 -2.2% 3.24 0.78 0.36 61% 3.4% 0.2 35.9% 24.6% 2.4% 1.9% 1.27
GTOS 6.1% 1.4% 0.23 1.7% 1.16 -0.7% 8.43 0.48 0.11 23% 5.0% 0.56 20.0% 6.5% 3.7% 1.5% 2.54
HYSD 6.5% 3.9% 0.63 2.1% 0.53 -2.7% 2.41 0.84 0.53 71% 1.3% 0.12 49.8% 44.4% 0.3% 2.2% 0.14
INKM 7.4% 7.6% 1.21 3.0% 0.4 -6.2% 1.2 0.92 1.12 85% -3.3% 0.07 99.7% 107.0% -4.2% 3.0% -1.4
LONZ 5.6% 3.7% 0.58 1.2% 0.32 -4.2% 1.33 0.49 0.28 24% 2.8% 0.2 23.5% 12.5% -0.2% 3.7% -0.06
PFM 9.5% 15.0% 2.38 5.1% 0.34 -14.5% 0.65 0.86 2.05 75% -9.2% 0.05 177.0% 200.6% -12.3% 7.8% -1.57
QWLD 12.3% 14.0% 2.22 7.9% 0.57 -12.4% 0.99 0.89 1.99 80% -6.4% 0.06 171.3% 184.7% -8.6% 6.4% -1.34
SPSB 5.8% 1.5% 0.24 1.4% 0.94 -0.8% 7.58 0.51 0.12 26% 4.6% 0.48 18.4% 5.2% 3.4% 1.5% 2.27
TBFC 7.7% 8.0% 1.28 3.3% 0.41 -8.8% 0.87 0.95 1.21 90% -3.9% 0.06 111.7% 122.1% -4.5% 2.6% -1.74
TBFG 9.0% 12.1% 1.92 4.6% 0.38 -13.4% 0.67 0.91 1.75 83% -7.3% 0.05 160.9% 182.0% -8.9% 5.1% -1.74
VEGI 8.6% 17.4% 2.77 4.2% 0.24 -13.4% 0.64 0.65 1.79 42% -7.3% 0.05 147.3% 162.5% -16.5% 14.6% -1.13
XHYC 5.6% 4.9% 0.78 1.2% 0.25 -5.0% 1.12 0.76 0.6 58% -0.2% 0.09 50.6% 48.2% -2.0% 3.4% -0.59
Notes:
1 For the estimation of the Sharpe ratio, we calculated excess return and excess volatility against the daily returns of the Nasdaq US T-Bill V2 Index (“NQCASH2”).
2 Drawdowns are calculated on daily closing prices (i.e. not intraday highs and lows).
3 The R-squared indicates how much the variance of a security can be explained by the variance of the benchmark: if a security has a low R-squared value, the CAPM single-factor linear relationship doesn’t explain much of the variance of the security, and the CAPM metrics (beta, alpha, Treynor ratio) are not useful for this particular security.
4 The annualized alpha is a compounded calculation from CAPM estimations on daily returns.
5 The active performance metrics are calculated relative to the volatilty-adjusted benchmark (i.e. the benchmark multiplied by the relative volatility of the allocation).

 

» Charting each security in the allocation:

 































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