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 1,578 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 (%)
CGDG Capital Group Dividend Growers ETF Global Large-Stock Blend 2023 3,695,049,797 0.47 1.95 5.992378
EEMV iShares MSCI Emerging Markets Min Vol Factor ETF Diversified Emerging Mkts 2011 3,903,111,285 0.25 3.25 10.191857
FBCV Fidelity Blue Chip Value ETF Large Value 2020 136,542,139 0.59 1.60 6.034135
FIW First Trust Water ETF Natural Resources 2007 1,923,381,001 0.51 0.71 3.181980
FTGC First Trust Global Tactical Commodity Strategy Fund Commodities Broad Basket 2013 2,179,904,864 0.95 2.42 8.178128
HSCZ iShares Currency Hedged MSCI EAFE Small-Cap ETF Foreign Small/Mid Blend 2015 168,597,228 0.43 2.94 4.767116
INDY iShares India 50 ETF India Equity 2009 692,577,074 0.89 0.00 3.680035
JIRE JPMorgan International Research Enhanced Equity ETF Foreign Large Blend 1992 9,247,980,175 0.30 2.38 5.010467
LCR Leuthold Core ETF Tactical Allocation 2020 68,955,494 0.84 1.68 8.611378
QLV FlexShares US Quality Low Volatility Index Fund Large Blend 2019 151,363,519 0.19 1.61 6.803864
QWLD SPDR® MSCI World StrategicFactors ETF Global Large-Stock Blend 2014 173,749,163 0.31 1.70 6.369300
TBFC The Brinsmere Fund - Conservative ETF Tactical Allocation 2024 334,634,606 0.40 2.88 14.319774
TDSC ETC Cabana Target Drawdown 10 ETF Tactical Allocation 2020 124,375,171 0.90 3.70 7.302632
THIR THOR Index Rotation ETF Large Blend 2024 158,823,642 0.55 0.23 4.311048
VDC Vanguard Consumer Staples Index Fund ETF Shares Consumer Defensive 2004 8,277,345,552 0.10 2.28 5.245908

Note: The weighted average annual fees of the allocation are 51 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 10.5% 10.2% 0.97 6.2% 0.6 -9.8% 1.08 0.97 0.93 93% -1.3% 0.11 87.5% 88.7% -1.8% 2.7% -0.67
BENCHMARK 12.9% 10.6% – 8.5% 0.81 -9.8% 1.32 – – – – – – – – – –
CGDG 17.7% 13.8% 1.3 13.4% 0.97 -10.5% 1.69 0.93 1.22 87% 1.8% 0.15 119.6% 115.4% 0.6% 5.1% 0.11
EEMV 11.3% 10.7% 1.01 6.9% 0.64 -9.4% 1.2 0.77 0.78 60% 1.3% 0.15 72.0% 67.8% -1.8% 7.2% -0.25
FBCV 6.9% 14.9% 1.4 2.5% 0.17 -14.3% 0.48 0.88 1.23 77% -7.6% 0.06 105.0% 116.6% -9.9% 7.4% -1.33
FIW 2.7% 18.1% 1.71 -1.6% -0.09 -18.1% 0.15 0.82 1.4 68% -12.7% 0.02 136.3% 163.0% -16.5% 10.8% -1.52
FTGC 14.7% 13.1% 1.24 10.3% 0.79 -10.4% 1.42 0.4 0.5 16% 8.6% 0.3 31.5% 9.8% -2.2% 14.3% -0.15
HSCZ 22.4% 14.0% 1.32 18.0% 1.29 -12.8% 1.75 0.88 1.16 77% 6.7% 0.19 112.7% 98.6% 4.2% 7.0% 0.61
INDY 2.9% 13.1% 1.24 -1.5% -0.12 -12.1% 0.24 0.52 0.65 27% -4.5% 0.04 47.4% 52.2% -12.1% 12.8% -0.95
JIRE 24.1% 16.6% 1.56 19.7% 1.19 -13.6% 1.77 0.87 1.36 76% 5.8% 0.18 143.6% 134.0% 2.7% 8.5% 0.32
LCR 7.1% 8.8% 0.83 2.8% 0.31 -8.6% 0.83 0.94 0.78 88% -2.6% 0.09 77.3% 82.6% -3.3% 3.1% -1.07
QLV 9.5% 13.2% 1.24 5.1% 0.39 -12.0% 0.79 0.91 1.13 83% -4.4% 0.08 98.3% 103.5% -5.8% 5.6% -1.05
QWLD 12.3% 14.0% 1.32 7.9% 0.57 -12.4% 0.99 0.95 1.26 91% -3.4% 0.1 113.4% 117.1% -4.2% 4.3% -0.98
TBFC 7.7% 8.0% 0.76 3.3% 0.41 -8.8% 0.87 0.98 0.75 97% -1.8% 0.1 71.7% 74.6% -1.9% 1.5% -1.3
TDSC 1.0% 12.7% 1.19 -3.4% -0.27 -14.2% 0.07 0.89 1.07 80% -11.2% 0.01 96.1% 117.5% -12.7% 5.8% -2.19
THIR 20.7% 12.9% 1.22 16.4% 1.27 -10.1% 2.06 0.63 0.77 40% 10.5% 0.27 122.5% 114.1% 3.6% 11.1% 0.33
VDC 0.7% 13.6% 1.29 -3.7% -0.27 -8.9% 0.07 0.49 0.63 24% -6.3% 0.01 43.5% 51.6% -14.6% 13.8% -1.06
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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