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, including 1,481 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 641,559,909 0.23 1.74 5.516474
CGDG Capital Group Dividend Growers ETF Global Large-Stock Blend 2023 3,695,049,797 0.47 1.95 5.633394
DJD Invesco Dow Jones Industrial Average Dividend ETF Large Value 2015 364,637,677 0.07 2.62 6.244257
EEMV iShares MSCI Emerging Markets Min Vol Factor ETF Diversified Emerging Mkts 2011 3,903,111,285 0.25 3.25 8.199595
FUTY Fidelity MSCI Utilities Index ETF Utilities 2013 2,172,403,880 0.08 2.54 3.275482
GLOV Goldman Sachs ActiveBeta(R) World Low Vol Plus Equity ETF Global Large-Stock Blend 2022 1,505,472,983 0.25 1.76 6.321363
GTR WisdomTree Target Range Fund Equity Hedged 2021 61,383,124 0.70 2.32 8.217643
HEQT Simplify Hedged Equity ETF Equity Hedged 2021 325,164,914 0.50 1.20 12.681780
HSCZ iShares Currency Hedged MSCI EAFE Small-Cap ETF Foreign Small/Mid Blend 2015 168,597,228 0.43 2.94 6.370367
INDY iShares India 50 ETF India Equity 2009 692,577,074 0.89 0.00 4.091267
JPEM JPMorgan Diversified Return Emerging Markets Equity ETF Diversified Emerging Mkts 2015 369,059,179 0.44 4.71 6.718813
JPUS JPMorgan Diversified Return U.S. Equity ETF Mid-Cap Value 2015 388,961,354 0.18 2.25 5.828902
POWA Invesco Bloomberg Pricing Power ETF Large Blend 2006 191,458,034 0.43 0.71 5.338581
QWLD SPDR® MSCI World StrategicFactors ETF Global Large-Stock Blend 2014 173,749,163 0.31 1.70 6.813403
WDIV SPDR® S&P Global Dividend ETF Global Large-Stock Value 2013 233,013,461 0.41 4.35 8.748678

Note: The weighted average annual fees of the allocation are 39 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 11.9% 11.3% 0.78 7.5% 0.66 -10.3% 1.15 0.93 0.73 86% 0.1% 0.16 67.7% 66.4% -0.9% 4.2% -0.21
BENCHMARK 16.4% 14.5% – 12.0% 0.83 -16.2% 1.01 – – – – – – – – – –
AVGE 12.6% 17.1% 1.18 8.2% 0.48 -17.1% 0.73 0.95 1.12 90% -4.5% 0.11 103.3% 108.3% -5.8% 5.5% -1.05
CGDG 17.7% 13.8% 0.96 13.4% 0.97 -10.5% 1.69 0.87 0.83 76% 3.7% 0.2 81.9% 76.0% 1.6% 7.0% 0.23
DJD 11.3% 14.0% 0.97 6.9% 0.5 -12.3% 0.92 0.76 0.74 58% -0.2% 0.15 64.0% 62.1% -4.3% 9.6% -0.45
EEMV 11.3% 10.7% 0.74 6.9% 0.64 -9.4% 1.2 0.76 0.56 58% 2.1% 0.19 48.3% 43.4% -0.9% 7.3% -0.13
FUTY 13.2% 15.9% 1.1 8.8% 0.55 -10.1% 1.3 0.52 0.57 27% 4.3% 0.22 58.6% 52.5% -5.2% 15.6% -0.34
GLOV 13.7% 12.9% 0.89 9.3% 0.72 -10.0% 1.37 0.87 0.78 76% 1.1% 0.17 72.6% 69.8% -1.0% 6.6% -0.15
GTR 6.6% 11.8% 0.82 2.2% 0.19 -12.9% 0.51 0.93 0.76 86% -4.9% 0.08 76.3% 84.0% -6.1% 4.5% -1.36
HEQT 6.6% 8.9% 0.62 2.3% 0.25 -10.6% 0.63 0.88 0.55 78% -1.9% 0.12 53.8% 56.6% -3.2% 4.3% -0.74
HSCZ 22.4% 14.0% 0.97 18.0% 1.29 -12.8% 1.75 0.86 0.83 74% 7.8% 0.26 80.6% 68.7% 5.4% 7.5% 0.72
INDY 2.9% 13.1% 0.91 -1.5% -0.12 -12.1% 0.24 0.5 0.45 25% -3.5% 0.06 28.4% 29.7% -11.2% 13.1% -0.85
JPEM 17.4% 12.4% 0.85 13.1% 1.06 -10.3% 1.69 0.79 0.67 62% 5.9% 0.25 66.3% 57.4% 2.7% 8.1% 0.34
JPUS 4.1% 15.2% 1.05 -0.3% -0.02 -16.0% 0.25 0.84 0.88 71% -8.4% 0.04 73.5% 83.4% -11.5% 8.6% -1.34
POWA 5.7% 15.2% 1.05 1.3% 0.09 -15.7% 0.37 0.83 0.87 68% -6.8% 0.06 75.7% 83.7% -10.1% 8.9% -1.13
QWLD 12.3% 14.0% 0.97 7.9% 0.57 -12.4% 0.99 0.91 0.88 83% -1.5% 0.13 78.3% 78.4% -3.2% 6.0% -0.53
WDIV 19.0% 11.8% 0.82 14.6% 1.24 -9.2% 2.06 0.72 0.59 52% 8.5% 0.31 62.2% 50.5% 4.6% 8.8% 0.52
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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