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, including 1,434 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 (%)
ACWV iShares MSCI Global Min Vol Factor ETF Global Large-Stock Blend 2011 3,253,947,437 0.20 2.42 9.118194
AVGE Avantis All Equity Markets ETF Global Large-Stock Blend 2022 579,042,903 0.23 1.86 5.856159
CCMG CCM Global Equity ETF Global Large-Stock Value 2024 1,019,827,184 0.33 2.26 6.283639
DBAW Xtrackers MSCI All World ex US Hedged Equity ETF Foreign Large Blend 2014 185,772,578 0.40 3.02 6.373573
DEW WisdomTree Global High Dividend Fund Global Large-Stock Value 2006 120,241,192 0.59 3.87 7.160843
EELV Invesco S&P Emerging Markets Low Volatility ETF Diversified Emerging Mkts 2012 398,720,496 0.29 4.93 5.604886
EMXC iShares MSCI Emerging Markets ex China ETF Diversified Emerging Mkts 2017 13,060,985,343 0.25 2.71 4.298284
EQL ALPS Equal Sector Weight ETF Large Value 2009 535,271,515 0.37 1.76 7.483251
FDLO Fidelity Low Volatility Factor ETF Large Blend 2016 1,257,261,426 0.18 1.42 7.931765
GII SPDR® S&P® Global Infrastructure ETF Infrastructure 2007 582,132,968 0.40 3.00 4.682805
GTR WisdomTree Target Range Fund Equity Hedged 2021 57,883,153 0.70 2.54 8.193365
HEGD Swan Hedged Equity US Large Cap ETF Equity Hedged 2020 460,058,777 0.88 0.40 9.946626
POWA Invesco Bloomberg Pricing Power ETF Large Blend 2006 188,668,208 0.43 0.73 6.340874
VIGI Vanguard International Dividend Appreciation Index Fund ETF Share Foreign Large Growth 2016 8,487,580,229 0.15 1.91 5.019617
WDIV SPDR® S&P Global Dividend ETF Global Large-Stock Value 2013 220,947,543 0.41 4.24 5.706118

Note: The weighted average annual fees of the allocation are 41 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 13.2% 12.1% 0.83 8.5% 0.71 -10.8% 1.22 0.94 0.78 87% -1.2% 0.16 75.0% 76.1% -2.4% 4.3% -0.54
BENCHMARK 19.0% 14.5% – 14.4% 0.99 -16.2% 1.17 – – – – – – – – – –
ACWV 10.6% 11.0% 0.76 6.0% 0.54 -7.6% 1.4 0.72 0.55 52% 0.6% 0.19 50.5% 48.5% -3.6% 8.3% -0.44
AVGE 16.2% 17.1% 1.18 11.6% 0.68 -17.1% 0.95 0.95 1.12 90% -4.0% 0.14 105.5% 109.9% -5.3% 5.4% -0.98
CCMG 10.5% 15.2% 1.05 5.9% 0.39 -14.5% 0.73 0.88 0.93 78% -5.6% 0.11 85.2% 92.0% -8.1% 7.4% -1.1
DBAW 18.7% 15.3% 1.05 14.1% 0.92 -14.1% 1.32 0.88 0.93 78% 1.1% 0.19 85.8% 82.2% -1.4% 7.5% -0.19
DEW 16.0% 13.4% 0.92 11.4% 0.85 -11.8% 1.36 0.8 0.74 64% 2.1% 0.21 69.3% 65.0% -1.6% 8.5% -0.19
EELV 12.5% 11.5% 0.8 7.8% 0.68 -11.8% 1.06 0.74 0.59 55% 1.5% 0.2 55.5% 52.2% -2.6% 8.3% -0.31
EMXC 10.1% 16.7% 1.15 5.5% 0.33 -19.1% 0.53 0.82 0.94 67% -6.0% 0.1 89.1% 97.1% -10.2% 10.1% -1.01
EQL 11.7% 15.3% 1.05 7.1% 0.46 -15.3% 0.77 0.91 0.96 84% -5.2% 0.12 86.0% 91.3% -7.1% 6.3% -1.13
FDLO 10.5% 14.0% 0.97 5.9% 0.42 -13.7% 0.77 0.89 0.86 80% -4.7% 0.12 77.1% 81.9% -6.9% 6.5% -1.05
GII 22.8% 14.1% 0.97 18.2% 1.28 -8.8% 2.59 0.65 0.63 42% 9.9% 0.35 67.8% 54.5% 2.9% 11.8% 0.24
GTR 9.5% 12.1% 0.83 4.9% 0.41 -12.9% 0.74 0.93 0.77 86% -4.2% 0.12 79.7% 86.9% -5.5% 4.6% -1.21
HEGD 12.1% 8.9% 0.61 7.5% 0.84 -8.1% 1.48 0.88 0.54 78% 1.8% 0.22 62.2% 61.7% 0.4% 4.3% 0.09
POWA 10.4% 15.1% 1.04 5.8% 0.38 -15.7% 0.66 0.85 0.89 73% -5.0% 0.11 84.0% 90.7% -8.1% 8.1% -1
VIGI 7.4% 15.0% 1.03 2.8% 0.18 -14.5% 0.51 0.82 0.85 67% -6.9% 0.08 81.3% 91.3% -10.6% 9.0% -1.18
WDIV 20.3% 12.0% 0.83 15.7% 1.31 -9.2% 2.21 0.72 0.59 51% 8.4% 0.33 64.2% 53.4% 3.7% 9.0% 0.4
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 allocations and please get in touch if you have any comments or questions.
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