There are currently 4,347 US-listed ETFs in our database, from which we select a smaller sub-universe with the following criteria:

That leaves us with 2,150 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 (%)
ACWV iShares MSCI Global Min Vol Factor ETF Global Large-Stock Blend 2011 3,253,947,437 0.20 2.42 2.0855038
AOR iShares Core 60/40 Balanced Allocation ETF Global Moderate Allocation 2008 2,612,754,379 0.15 2.60 1.8045289
BINC iShares Flexible Income Active ETF Multisector Bond 2023 10,811,938,808 0.50 6.35 5.4397753
CLOA iShares AAA CLO Active ETF Ultrashort Bond 2023 1,035,847,437 0.20 5.72 8.3552258
DBC Invesco DB Commodity Index Tracking Fund Commodities Broad Basket 2006 1,242,292,586 0.89 4.97 0.9157683
GAL SPDR® SSgA Global Allocation ETF Global Moderate Allocation 2012 261,533,324 0.15 2.78 1.9213492
GMUB Goldman Sachs Municipal Income ETF Muni National Interm 2024 87,263,214 0.25 3.01 3.1004460
GTR WisdomTree Target Range Fund Equity Hedged 2021 57,883,153 0.70 2.54 1.6532894
JPLD Jpmorgan Limited Duration Bond ETF Short-Term Bond 1993 2,129,894,757 0.32 4.29 6.7338165
LCR Leuthold Core ETF Tactical Allocation 2020 68,182,034 0.84 1.77 2.0772765
MFUL Mindful Conservative ETF Moderate Allocation 2021 32,929,698 1.22 3.37 3.2267235
PHYL PGIM Active High Yield Bond ETF High Yield Bond 2018 369,596,423 0.46 7.79 4.0546298
PQDI Principal Spectrum Tax-Advantaged Dividend Active ETF Preferred Stock 2020 58,815,431 0.60 4.92 4.1581813
VUSB Vanguard Ultra-Short Bond ETF Shares Ultrashort Bond 2021 5,498,757,000 0.10 4.92 23.6437958
XBIL F/m US Treasury 6 Month Bill ETF Ultrashort Bond 2023 811,858,664 0.15 4.39 30.8296900

Note: The weighted average annual fees of the allocation are 27 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 5.8% 1.7% 0.27 1.2% 0.74 -1.4% 4.07 0.96 0.25 92% 3.9% 0.23 29.5% 18.4% 3.7% 0.5% 7.6
BENCHMARK 7.7% 6.3% – 3.1% 0.49 -5.0% 1.54 – – – – – – – – – –
ACWV 10.6% 11.0% 1.74 6.0% 0.54 -7.6% 1.4 0.76 1.32 58% 0.6% 0.08 119.2% 114.1% -2.9% 7.6% -0.38
AOR 12.0% 10.5% 1.66 7.4% 0.7 -9.8% 1.23 0.93 1.55 87% 0.1% 0.08 151.5% 150.5% -0.9% 3.9% -0.22
BINC 6.3% 2.8% 0.44 1.7% 0.61 -2.4% 2.66 0.83 0.36 69% 3.5% 0.18 38.9% 28.5% 2.8% 1.6% 1.75
CLOA 5.9% 1.7% 0.26 1.3% 0.76 -1.1% 5.2 0.47 0.12 22% 4.9% 0.48 14.0% -1.1% 3.8% 1.7% 2.17
DBC 3.3% 16.5% 2.59 -1.3% -0.08 -12.3% 0.27 0.22 0.58 5% 0.2% 0.06 13.1% 1.3% -15.9% 20.5% -0.77
GAL 11.7% 10.3% 1.62 7.1% 0.69 -9.1% 1.28 0.93 1.5 86% 0.1% 0.08 146.1% 144.7% -0.8% 3.9% -0.22
GMUB 2.2% 3.7% 0.58 -2.4% -0.64 -3.3% 0.68 0.32 0.18 10% 0.9% 0.12 19.9% 17.5% -2.3% 4.3% -0.52
GTR 9.5% 12.1% 1.91 4.9% 0.41 -12.9% 0.74 0.84 1.61 71% -2.4% 0.06 157.2% 164.2% -4.8% 6.8% -0.71
JPLD 5.4% 1.9% 0.29 0.8% 0.42 -1.2% 4.58 0.32 0.09 10% 4.7% 0.57 17.6% 5.0% 3.0% 2.2% 1.4
LCR 8.4% 8.9% 1.41 3.8% 0.43 -8.6% 0.98 0.86 1.21 74% -0.8% 0.07 115.8% 116.9% -2.3% 4.7% -0.49
MFUL 4.7% 4.6% 0.72 0.1% 0.03 -4.7% 1 0.87 0.63 76% -0.1% 0.08 58.5% 57.6% -0.8% 2.3% -0.35
PHYL 9.1% 4.5% 0.7 4.5% 1.01 -4.5% 2.02 0.88 0.62 77% 4.2% 0.15 64.2% 51.6% 3.5% 2.2% 1.6
PQDI 8.3% 2.7% 0.42 3.7% 1.36 -2.2% 3.67 0.61 0.26 37% 6.2% 0.32 37.2% 20.7% 4.8% 2.4% 2.01
VUSB 5.3% 0.8% 0.12 0.7% 0.97 -0.5% 11.53 0.51 0.06 26% 4.9% 0.89 12.8% -0.8% 4.4% 0.7% 5.88
XBIL 4.5% 0.3% 0.05 -0.1% -0.4 -0.0% 112.23 0 0 0% 4.5% 365.75 7.1% -5.2% 4.0% 0.5% 8.3
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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