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 1,519 growth-oriented funds (a category where we mix equities, alternatives, and commodities), 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 9.241304
AOA iShares Core 80/20 Aggressive Allocation ETF Global Aggressive Allocation 2008 2,463,143,658 0.15 2.21 7.986832
CCMG CCM Global Equity ETF Global Large-Stock Value 2024 1,019,827,184 0.33 2.26 6.067864
DEW WisdomTree Global High Dividend Fund Global Large-Stock Value 2006 120,241,192 0.59 3.87 6.656810
DIVS SmartETFs Dividend Builder ETF Global Large-Stock Blend 2012 41,478,099 1.01 2.60 5.471538
EELV Invesco S&P Emerging Markets Low Volatility ETF Diversified Emerging Mkts 2012 398,720,496 0.29 4.93 6.556959
FTGC First Trust Global Tactical Commodity Strategy Fund Commodities Broad Basket 2013 2,267,189,009 0.95 2.67 7.760337
HSCZ iShares Currency Hedged MSCI EAFE Small-Cap ETF Foreign Small/Mid Blend 2015 165,515,542 0.43 3.12 6.012481
KCCA KraneShares California Carbon Allowance ETF Commodities Focused 2021 109,928,963 0.79 6.27 1.535434
LCR Leuthold Core ETF Tactical Allocation 2020 68,182,034 0.84 1.77 10.652828
PSL Invesco Dorsey Wright Consumer Staples Momentum ETF Consumer Defensive 2006 100,633,905 0.74 0.74 4.371726
QWLD SPDR® MSCI World StrategicFactors ETF Global Large-Stock Blend 2014 166,046,535 0.31 1.79 6.309690
TBFG The Brinsmere Fund - Growth ETF Tactical Allocation 2024 337,531,211 0.42 2.49 9.851411
TDSC ETC Cabana Target Drawdown 10 ETF Tactical Allocation 2020 139,176,173 0.80 3.42 5.326554
THLV THOR Equal Weight Low Volatility ETF Large Blend 2022 44,818,754 0.55 1.19 6.198232

Note: The weighted average annual fees of the allocation are 54 basis points.  

» Recent performance of our allocation versus its benchmark:

 

 

                    Note: The benchmark (S&P Target Risk Growth Index Total Return) 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 11.2% 10.7% 1.01 6.5% 0.61 -10.3% 1.09 0.96 0.98 93% -0.5% 0.12 95.1% 95.6% -1.0% 2.8% -0.35
BENCHMARK 12.1% 10.6% – 7.5% 0.71 -9.8% 1.24 – – – – – – – – – –
ACWV 10.6% 11.0% 1.05 6.0% 0.54 -7.6% 1.4 0.78 0.81 60% 1.0% 0.13 78.3% 75.6% -2.1% 7.4% -0.28
AOA 14.9% 13.5% 1.28 10.2% 0.76 -12.9% 1.15 0.99 1.27 98% -0.4% 0.12 124.6% 124.8% -0.6% 2.0% -0.29
CCMG 10.5% 15.2% 1.44 5.9% 0.39 -14.5% 0.73 0.93 1.34 86% -4.7% 0.08 127.7% 136.1% -6.0% 5.8% -1.04
DEW 16.0% 13.4% 1.27 11.4% 0.85 -11.8% 1.36 0.87 1.1 75% 2.7% 0.15 108.2% 102.5% 0.4% 7.0% 0.05
DIVS 9.7% 13.6% 1.28 5.1% 0.38 -12.6% 0.77 0.88 1.13 78% -3.4% 0.09 112.4% 119.1% -5.2% 6.6% -0.8
EELV 12.5% 11.5% 1.09 7.8% 0.68 -11.8% 1.06 0.78 0.86 61% 2.2% 0.15 85.5% 81.1% -1.0% 7.6% -0.13
FTGC 12.1% 13.4% 1.26 7.5% 0.56 -10.4% 1.17 0.41 0.52 17% 6.3% 0.23 30.4% 12.7% -3.8% 14.5% -0.26
HSCZ 21.6% 14.4% 1.36 17.0% 1.18 -12.8% 1.69 0.88 1.19 77% 6.6% 0.18 118.7% 105.6% 4.2% 7.2% 0.58
KCCA -16.0% 25.3% 2.39 -20.6% -0.82 -34.9% 0.46 -0.13 -0.31 2% -10.1% 0.53 -7.5% 19.7% -39.7% 38.0% -1.04
LCR 8.4% 8.9% 0.85 3.8% 0.43 -8.6% 0.98 0.93 0.79 87% -0.9% 0.11 79.8% 82.0% -1.6% 3.3% -0.5
PSL 13.5% 14.5% 1.37 8.9% 0.62 -10.5% 1.28 0.68 0.94 47% 2.6% 0.15 96.2% 91.8% -3.3% 11.5% -0.28
QWLD 12.2% 14.2% 1.34 7.6% 0.54 -12.4% 0.99 0.96 1.29 92% -2.9% 0.1 120.2% 123.9% -3.5% 4.0% -0.88
TBFG 9.6% 12.0% 1.14 5.0% 0.42 -13.4% 0.72 0.98 1.11 95% -3.3% 0.09 107.1% 113.0% -3.7% 2.6% -1.41
TDSC 2.7% 12.7% 1.2 -1.9% -0.15 -14.2% 0.19 0.89 1.07 79% -8.9% 0.03 97.8% 114.6% -10.4% 6.0% -1.76
THLV 6.9% 10.8% 1.02 2.3% 0.21 -13.1% 0.52 0.78 0.8 61% -2.3% 0.09 93.0% 101.0% -5.1% 7.1% -0.72
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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