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, including 1,452 equity funds, from which this allocation is drawn (see our target allocation in the rightmost column).

Symbol Name Category Launch Year Net Assets ($) Annual Fees (%) TTM Yield (%) Target Allocation (%)
AVGE Avantis All Equity Markets ETF Global Large-Stock Blend 2022 631,230,444 0.23 1.75 5.955397
CCMG CCM Global Equity ETF Global Large-Stock Value 2024 1,026,361,088 0.33 2.15 6.482927
CGDG Capital Group Dividend Growers ETF Global Large-Stock Blend 2023 3,452,923,822 0.47 1.96 7.550160
DEW WisdomTree Global High Dividend Fund Global Large-Stock Value 2006 123,707,069 0.59 3.68 6.743844
EEMV iShares MSCI Emerging Markets Min Vol Factor ETF Diversified Emerging Mkts 2011 4,643,647,347 0.26 3.32 12.863943
FDLO Fidelity Low Volatility Factor ETF Large Blend 2016 1,380,065,875 0.15 1.39 7.508165
GTR WisdomTree Target Range Fund Equity Hedged 2021 61,206,655 0.70 2.35 8.210684
HSCZ iShares Currency Hedged MSCI EAFE Small-Cap ETF Foreign Small/Mid Blend 2015 171,416,723 0.43 3.00 7.187780
NDIA Global X India Active ETF India Equity 2023 49,455,088 0.76 3.56 2.858521
PTLC Pacer Trendpilot™ US Large Cap ETF Large Blend 2015 3,426,290,682 0.60 0.65 6.375300
QAT iShares MSCI Qatar ETF Miscellaneous Region 2014 72,209,088 0.60 3.68 3.434666
QLV FlexShares US Quality Low Volatility Index Fund Large Blend 2019 146,195,836 0.19 1.60 7.702238
QWLD SPDR® MSCI World StrategicFactors ETF Global Large-Stock Blend 2014 173,393,823 0.31 1.71 7.834139
TOLZ ProShares DJ Brookfield Global Infrastructure ETF Infrastructure 2014 157,267,454 0.45 3.96 5.656032
VEGI iShares MSCI Agriculture Producers ETF Natural Resources 2012 90,759,819 0.39 2.44 3.636203

Note: The weighted average annual fees of the allocation are 40 basis points.  

» Recent performance of our allocation versus its benchmark:

 

 

                    Note: The benchmark (Thomson Reuters Global Ex-Frontier Total Return Index) 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 11.0% 11.6% 0.82 6.6% 0.57 -10.7% 1.03 0.93 0.76 87% -3.5% 0.14 69.4% 73.1% -4.8% 4.2% -1.12
BENCHMARK 20.2% 14.2% – 15.8% 1.11 -16.2% 1.25 – – – – – – – – – –
AVGE 16.0% 16.7% 1.18 11.6% 0.69 -17.1% 0.93 0.95 1.12 90% -5.1% 0.14 102.2% 107.7% -6.5% 5.3% -1.23
CCMG 10.2% 15.0% 1.05 5.8% 0.39 -14.5% 0.7 0.87 0.92 76% -6.6% 0.11 80.6% 88.0% -9.4% 7.5% -1.26
CGDG 16.0% 13.6% 0.96 11.6% 0.85 -10.5% 1.52 0.87 0.83 76% -0.4% 0.18 79.7% 79.2% -3.0% 7.0% -0.44
DEW 14.3% 13.3% 0.94 9.9% 0.74 -11.8% 1.21 0.79 0.74 62% -0.1% 0.19 65.6% 63.2% -4.2% 8.6% -0.49
EEMV 5.7% 10.7% 0.76 1.3% 0.12 -12.2% 0.47 0.72 0.54 51% -4.1% 0.1 41.3% 44.3% -8.5% 8.1% -1.05
FDLO 9.8% 13.9% 0.98 5.4% 0.39 -13.7% 0.72 0.89 0.88 80% -6.3% 0.11 76.0% 82.9% -8.5% 6.4% -1.33
GTR 10.7% 11.7% 0.82 6.2% 0.53 -12.9% 0.83 0.93 0.77 86% -3.8% 0.13 78.7% 85.6% -5.1% 4.4% -1.17
HSCZ 20.4% 13.7% 0.97 15.9% 1.16 -12.8% 1.59 0.85 0.83 73% 3.4% 0.24 78.6% 72.1% 0.4% 7.4% 0.06
NDIA -6.3% 16.2% 1.14 -10.7% -0.66 -17.3% 0.37 0.55 0.63 30% -15.4% -0.1 34.5% 52.9% -24.8% 15.4% -1.62
PTLC 6.0% 11.9% 0.84 1.6% 0.13 -15.2% 0.4 0.76 0.64 57% -5.5% 0.09 79.2% 92.9% -9.7% 8.4% -1.16
QAT 9.6% 12.3% 0.86 5.1% 0.42 -8.4% 1.15 0.5 0.43 25% 1.5% 0.21 42.2% 39.5% -7.3% 12.2% -0.6
QLV 11.1% 13.2% 0.93 6.7% 0.51 -12.0% 0.92 0.87 0.82 76% -4.2% 0.13 71.9% 75.8% -6.7% 6.6% -1
QWLD 12.7% 13.9% 0.98 8.3% 0.6 -12.4% 1.02 0.92 0.9 84% -4.2% 0.14 79.6% 83.5% -6.0% 5.7% -1.06
TOLZ 11.4% 13.8% 0.97 6.9% 0.5 -8.8% 1.29 0.58 0.56 33% 0.8% 0.2 53.7% 51.6% -7.6% 12.7% -0.6
VEGI 6.2% 17.3% 1.22 1.8% 0.1 -13.4% 0.46 0.66 0.81 44% -7.6% 0.07 61.7% 68.6% -15.7% 14.2% -1.11
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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