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 521 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 (%)
EMNT PIMCO Enhanced Short Maturity Active ESG Exchange-Traded Fund Ultrashort Bond 2019 215,872,239 0.35 4.81 13.894787
EVSB Eaton Vance Ultra-Short Income ETF Ultrashort Bond 2023 242,075,294 0.17 4.46 10.381834
FPEI First Trust Institutional Preferred Securities and Income ETF Preferred Stock 2017 1,745,631,517 0.85 5.52 2.513482
LQDH iShares Interest Rate Hedged Corporate Bond ETF Ultrashort Bond 2014 512,961,635 0.30 6.46 3.318236
MSTI Madison Short-Term Strategic Income ETF Short-Term Bond 2023 68,234,069 0.40 5.05 2.846437
NEAR iShares Short Duration Bond Active ETF Short-Term Bond 2013 3,656,472,571 0.25 4.65 8.204945
OPER ClearShares Ultra-Short Maturity ETF Ultrashort Bond 2018 115,115,336 0.20 4.56 16.312132
PHYL PGIM Active High Yield Bond ETF High Yield Bond 2018 484,329,367 0.46 7.55 3.602056
RAVI FlexShares Ultra-Short Income Fund Ultrashort Bond 2012 1,372,868,958 0.26 4.79 11.379433
SCIO First Trust Structured Credit Income Opportunities ETF Multisector Bond 2024 62,193,932 0.95 7.74 1.622504
SLDR Global X Short-Term Treasury Ladder ETF Short Government 2024 30,648,158 0.12 3.53 6.747465
TBUX T. Rowe Price Ultra Short-Term Bond ETF Ultrashort Bond 2021 656,728,780 0.17 4.69 4.262819
VABS Virtus Newfleet ABS/MBS ETF Short-Term Bond 2021 84,025,191 0.49 5.00 1.744042
VCSH Vanguard Short-Term Corporate Bond Index Fund ETF Shares Short-Term Bond 2009 46,029,058,915 0.04 4.22 5.522308
VTES Vanguard Short-Term Tax-Exempt Bond ETF Shares Muni National Short 2023 1,406,467,500 0.07 2.82 7.647518

Note: The weighted average annual fees of the allocation are 26 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 4.8% 0.9% 0.17 0.4% 0.46 -0.6% 8.29 0.8 0.14 65% 4.3% 0.35 20.0% 6.0% 4.2% 0.5% 7.76
BENCHMARK 3.6% 4.9% – -0.8% -0.17 -3.2% 1.12 – – – – – – – – – –
EMNT 4.5% 0.6% 0.12 0.1% 0.15 -0.3% 13.78 0.31 0.04 9% 4.4% 1.24 10.9% -3.2% 4.1% 0.7% 5.85
EVSB 4.8% 0.9% 0.19 0.4% 0.43 -0.3% 14.98 0.27 0.05 7% 4.7% 0.95 11.0% -4.1% 4.1% 1.1% 3.67
FPEI 7.8% 4.1% 0.83 3.3% 0.82 -4.3% 1.82 0.35 0.29 13% 6.8% 0.27 35.7% 13.7% 4.5% 4.6% 0.98
LQDH 6.5% 3.9% 0.79 2.1% 0.54 -4.9% 1.35 0.2 0.16 4% 6.0% 0.41 21.2% 1.5% 3.4% 4.9% 0.7
MSTI 4.8% 2.7% 0.56 0.4% 0.14 -1.1% 4.52 0.68 0.38 46% 3.5% 0.13 44.9% 34.0% 2.7% 2.2% 1.23
NEAR 5.0% 2.0% 0.4 0.5% 0.27 -1.2% 4.3 0.6 0.24 36% 4.1% 0.21 30.1% 17.0% 3.4% 1.8% 1.96
OPER 4.1% 0.5% 0.11 -0.4% -0.66 -0.4% 9.32 -0.04 0 0% 4.1% -9.25 5.6% -7.7% 3.7% 0.8% 4.72
PHYL 7.6% 4.5% 0.91 3.2% 0.72 -4.5% 1.69 0.49 0.45 24% 6.0% 0.17 54.0% 34.9% 4.1% 4.5% 0.91
RAVI 4.6% 0.7% 0.14 0.2% 0.23 -0.4% 12.36 0.41 0.06 17% 4.4% 0.83 13.1% -0.9% 4.1% 0.7% 5.62
SCIO 9.8% 3.9% 0.79 5.3% 1.38 -1.4% 6.93 0.46 0.36 21% 8.5% 0.27 45.4% 18.3% 6.7% 4.0% 1.66
SLDR 4.0% 1.4% 0.28 -0.4% -0.32 -0.6% 7.18 0.51 0.14 26% 3.5% 0.28 18.5% 7.1% 2.9% 1.4% 2.16
TBUX 4.9% 1.2% 0.25 0.5% 0.39 -0.4% 13 0.31 0.08 10% 4.7% 0.63 14.7% -0.2% 4.0% 1.4% 2.75
VABS 5.4% 2.8% 0.57 1.0% 0.34 -1.4% 3.81 0.39 0.22 15% 4.6% 0.25 28.7% 13.9% 3.2% 3.1% 1.04
VCSH 5.2% 2.3% 0.47 0.8% 0.34 -1.3% 4.06 0.87 0.42 76% 3.7% 0.13 45.0% 32.8% 3.4% 1.2% 2.95
VTES 3.3% 2.0% 0.4 -1.1% -0.58 -1.6% 2.08 0.64 0.26 41% 2.4% 0.13 26.7% 18.8% 1.8% 1.7% 1.07
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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