There are currently 4,456 US-listed ETFs in our database, from which we select a smaller sub-universe with the following criteria:

That leaves us with 2,164 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 3,279,125,243 0.20 2.34 4.453798
AOHY Angel Oak High Yield Opportunities ETF High Yield Bond 2009 127,522,443 0.58 6.54 8.063243
AOK iShares Core 30/70 Conservative Allocation ETF Global Conservative Allocation 2008 661,743,723 0.15 3.24 6.087280
AVMA Avantis Moderate Allocation ETF Moderate Allocation 2023 42,698,775 0.21 2.29 3.559764
CERY SPDR Bloomberg Enhanced Roll Yield Commodity Strategy No K-1 ETF Commodities Broad Basket 2024 678,989,196 0.28 0.48 2.251613
CLOI VanEck CLO ETF Ultrashort Bond 2022 1,226,028,366 0.40 5.94 8.086119
DIVZ Opal Dividend Income ETF Large Value 2021 197,883,487 0.65 2.68 2.761172
EDGF 3EDGE Dynamic Fixed Income ETF Intermediate Core Bond 2024 197,530,113 0.80 3.17 14.042877
FMF First Trust Managed Futures Strategy Fund Systematic Trend 2013 185,576,161 0.95 4.36 2.375488
HEGD Swan Hedged Equity US Large Cap ETF Equity Hedged 2020 505,667,076 0.88 0.39 5.436216
JPIE JPMorgan Income ETF Multisector Bond 2021 5,378,887,230 0.40 5.74 12.460258
PHYL PGIM Active High Yield Bond ETF High Yield Bond 2018 484,329,367 0.46 7.55 8.628657
SYSB iShares Systematic Bond ETF Corporate Bond 2015 80,872,402 0.25 5.09 13.489316
TLTE FlexShares Morningstar Emerging Markets Factor Tilt Index Fund Diversified Emerging Mkts 2012 288,705,115 0.58 3.76 2.124235
XFLX FundX Flexible ETF Multisector Bond 2002 52,233,152 1.04 4.46 6.179963

Note: The weighted average annual fees of the allocation are 51 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 6.9% 4.0% 0.63 2.4% 0.61 -3.5% 1.95 0.96 0.61 92% 1.6% 0.11 59.6% 54.1% 1.3% 1.1% 1.16
BENCHMARK 8.8% 6.3% – 4.3% 0.69 -5.0% 1.75 – – – – – – – – – –
ACWV 7.7% 10.9% 1.73 3.3% 0.3 -7.6% 1.02 0.75 1.3 56% -3.1% 0.06 111.7% 116.9% -6.9% 7.7% -0.9
AOHY 6.2% 4.4% 0.7 1.8% 0.4 -4.2% 1.49 0.77 0.54 59% 1.5% 0.12 48.1% 41.4% 0.1% 3.0% 0.02
AOK 8.5% 6.6% 1.04 4.1% 0.62 -5.0% 1.71 0.96 1 93% -0.3% 0.09 101.0% 102.0% -0.6% 1.7% -0.34
AVMA 12.5% 11.8% 1.87 8.1% 0.69 -11.8% 1.06 0.91 1.7 83% -2.1% 0.07 156.2% 159.5% -3.6% 5.0% -0.73
CERY 8.6% 12.6% 2 4.2% 0.33 -10.1% 0.86 0.31 0.62 10% 3.9% 0.14 38.2% 18.7% -8.8% 14.8% -0.59
CLOI 5.8% 4.2% 0.66 1.3% 0.32 -3.3% 1.78 0.42 0.28 18% 3.4% 0.21 21.8% 9.0% -0.1% 4.5% -0.02
DIVZ 13.1% 12.6% 1.99 8.7% 0.69 -9.0% 1.46 0.72 1.44 52% 0.7% 0.09 133.8% 128.3% -4.4% 9.3% -0.47
EDGF 2.1% 2.7% 0.43 -2.4% -0.87 -1.5% 1.4 0.4 0.17 16% 0.6% 0.12 18.8% 17.2% -1.6% 3.0% -0.56
FMF 9.8% 9.0% 1.42 5.4% 0.6 -6.9% 1.43 0.14 0.2 2% 8.5% 0.5 44.6% 24.7% -3.1% 11.7% -0.26
HEGD 13.1% 8.7% 1.38 8.7% 1 -8.1% 1.61 0.76 1.05 58% 3.8% 0.13 117.9% 109.2% 0.7% 5.9% 0.12
JPIE 5.9% 2.3% 0.37 1.5% 0.63 -1.7% 3.44 0.58 0.22 34% 4.0% 0.28 28.3% 17.1% 2.6% 2.1% 1.2
PHYL 7.6% 4.5% 0.71 3.2% 0.72 -4.5% 1.69 0.88 0.62 77% 2.1% 0.12 61.5% 54.2% 1.3% 2.2% 0.61
SYSB 7.1% 3.2% 0.51 2.6% 0.82 -1.7% 4.08 0.76 0.38 57% 3.7% 0.19 43.7% 33.1% 2.5% 2.2% 1.14
TLTE 15.2% 15.9% 2.52 10.7% 0.68 -17.4% 0.87 0.71 1.79 50% 0.0% 0.09 182.0% 182.9% -6.8% 12.1% -0.56
XFLX 0.9% 5.6% 0.9 -3.5% -0.62 -6.3% 0.15 0.9 0.81 81% -5.7% 0.01 64.6% 79.6% -6.4% 2.5% -2.57
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:

 































Check out some of our other analyses and please get in touch if you have any comments or questions.
Note that all the content of this website is provided for informational, entertainment or educational purposes only. This is NOT, and should NOT be considered, investment advice.