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 536 fixed-income 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 (%)
BILZ PIMCO Ultra Short Government Active Exchange-Traded Fund Ultrashort Bond 2023 924,843,338 0.15 4.44 26.657085
EMNT PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund Ultrashort Bond 2019 196,099,604 0.35 4.97 13.328857
EVSB Eaton Vance Ultra-Short Income ETF Ultrashort Bond 2023 221,420,341 0.17 4.64 9.111912
HYDW Xtrackers Low Beta High Yield Bond ETF High Yield Bond 2018 326,703,867 0.25 5.37 2.885930
IGSB iShares 1-5 Year Investment Grade Corporate Bond ETF Short-Term Bond 2007 21,976,740,913 0.04 4.24 3.794009
JPIE JPMorgan Income ETF Multisector Bond 2021 4,473,456,692 0.40 5.80 4.814003
NEAR iShares Short Duration Bond Active ETF Short-Term Bond 2013 3,467,324,228 0.25 4.82 4.965246
OBND SPDR® Loomis Sayles Opportunistic Bond ETF Nontraditional Bond 2021 46,808,673 0.52 6.25 2.014743
PQDI Principal Spectrum Tax-Advantaged Dividend Active ETF Preferred Stock 2020 58,815,431 0.60 4.92 1.768335
PREF Principal Spectrum Preferred Securities Active ETF Preferred Stock 2017 1,255,600,347 0.55 4.65 2.213098
RAVI FlexShares Ultra-Short Income Fund Ultrashort Bond 2012 1,349,909,263 0.26 4.97 11.303449
SDSI American Century® Short Duration Strategic Income ETF Short-Term Bond 2022 82,152,890 0.32 5.37 1.533727
SHM SPDR Nuveen ICE Short Term Municipal Bond ETF Muni National Short 2007 3,427,966,431 0.20 2.42 5.176604
SOFR Amplify Samsung SOFR ETF Ultrashort Bond 2023 263,686,065 0.20 4.55 7.954097
TAXX Bondbloxx IR+M Tax-Aware Short Duration ETF Short-Term Bond 2024 189,583,628 0.35 3.60 2.478906

Note: The weighted average annual fees of the allocation are 25 basis points.  

» Recent performance of our allocation versus its benchmark:

 

 

                    Note: The benchmark (SPDR Portfolio Aggregate Bond ETF (SPAB)) 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 5.1% 0.7% 0.14 0.5% 0.77 -0.5% 10.87 0.81 0.11 66% 4.9% 0.46 17.6% 2.3% 4.8% 0.4% 11.31
BENCHMARK 2.6% 5.0% – -2.1% -0.41 -4.9% 0.52 – – – – – – – – – –
BILZ 4.5% 0.3% 0.05 -0.1% -0.22 -0.0% 457.35 -0.02 0 0% 4.6% -45.45 7.0% -7.4% 4.4% 0.4% 12.21
EMNT 5.0% 0.5% 0.1 0.4% 0.83 -0.1% 45.04 0.39 0.04 15% 5.0% 1.32 11.4% -4.1% 4.7% 0.6% 8.58
EVSB 5.4% 0.8% 0.16 0.8% 1.02 -0.3% 17.34 0.33 0.05 11% 5.3% 1.04 11.8% -4.9% 5.0% 0.9% 5.31
HYDW 6.1% 4.4% 0.87 1.5% 0.33 -2.7% 2.23 0.48 0.42 23% 5.0% 0.15 46.8% 30.9% 3.6% 4.5% 0.81
IGSB 5.9% 2.4% 0.48 1.3% 0.52 -1.3% 4.39 0.89 0.43 79% 4.7% 0.14 48.2% 33.2% 4.5% 1.1% 3.98
JPIE 6.9% 2.4% 0.47 2.3% 0.98 -1.7% 4.02 0.62 0.29 38% 6.2% 0.24 34.2% 14.5% 5.6% 2.1% 2.73
NEAR 5.3% 2.0% 0.4 0.7% 0.35 -1.2% 4.59 0.61 0.25 37% 4.7% 0.22 31.5% 16.8% 4.2% 1.8% 2.36
OBND 6.0% 3.6% 0.71 1.4% 0.41 -3.1% 1.96 0.8 0.57 64% 4.6% 0.11 60.3% 45.7% 4.1% 2.3% 1.82
PQDI 8.3% 2.7% 0.54 3.7% 1.36 -2.2% 3.67 0.38 0.21 15% 7.8% 0.41 27.7% 3.3% 6.7% 3.0% 2.24
PREF 8.2% 3.2% 0.64 3.6% 1.13 -2.6% 3.2 0.19 0.12 4% 8.0% 0.67 19.7% -5.3% 6.4% 4.1% 1.56
RAVI 5.1% 0.5% 0.11 0.5% 0.89 -0.4% 14 0.51 0.06 26% 5.0% 0.93 13.1% -2.5% 4.8% 0.5% 8.9
SDSI 5.5% 2.5% 0.51 0.9% 0.36 -1.3% 4.28 0.53 0.27 28% 4.8% 0.21 31.0% 15.6% 4.1% 2.4% 1.68
SHM 3.4% 2.1% 0.42 -1.2% -0.57 -1.7% 2.04 0.64 0.27 41% 2.7% 0.13 27.2% 18.2% 2.3% 1.8% 1.27
SOFR 4.6% 0.7% 0.14 -0.1% -0.07 -0.4% 11.43 0.05 0.01 0% 4.6% 6.46 8.1% -6.2% 4.2% 1.0% 4.17
TAXX 4.3% 1.8% 0.36 -0.3% -0.18 -0.9% 4.7 0.56 0.2 31% 3.8% 0.22 24.4% 12.4% 3.3% 1.7% 1.98
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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