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 1,541 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 (%)
AVGE Avantis All Equity Markets ETF Global Large-Stock Blend 2022 631,230,444 0.23 1.75 5.065644
CGDG Capital Group Dividend Growers ETF Global Large-Stock Blend 2023 3,452,923,822 0.47 1.96 6.420394
DBC Invesco DB Commodity Index Tracking Fund Commodities Broad Basket 2006 1,288,188,534 0.89 4.96 5.380715
EEMV iShares MSCI Emerging Markets Min Vol Factor ETF Diversified Emerging Mkts 2011 4,643,647,347 0.26 3.32 9.647689
FLIN Franklin FTSE India ETF India Equity 2018 2,441,116,621 0.19 0.83 2.963982
HSCZ iShares Currency Hedged MSCI EAFE Small-Cap ETF Foreign Small/Mid Blend 2015 171,416,723 0.43 3.00 6.074334
KNO AXS Knowledge Leaders ETF Global Large-Stock Blend 2015 39,730,745 0.84 1.33 5.480488
LCR Leuthold Core ETF Tactical Allocation 2020 71,415,141 0.84 1.68 11.428692
PDBA Invesco Agriculture Commodity Strategy No K-1 ETF Commodities Focused 2022 80,228,153 0.59 12.92 3.593011
QLV FlexShares US Quality Low Volatility Index Fund Large Blend 2019 146,195,836 0.19 1.60 7.170363
QWLD SPDR® MSCI World StrategicFactors ETF Global Large-Stock Blend 2014 173,393,823 0.31 1.71 7.116224
TDSC ETC Cabana Target Drawdown 10 ETF Tactical Allocation 2020 131,834,340 0.90 3.69 6.747196
THLV THOR Equal Weight Low Volatility ETF Large Blend 2022 49,549,466 0.55 1.15 7.457472
TRTY Cambria Trinity ETF Tactical Allocation 2018 117,594,946 0.46 2.21 9.756885
VDC Vanguard Consumer Staples Index Fund ETF Shares Consumer Defensive 2004 8,816,795,814 0.10 2.22 5.696910

Note: The weighted average annual fees of the allocation are 50 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 9.1% 10.1% 0.98 4.7% 0.46 -10.1% 0.9 0.96 0.94 93% -2.8% 0.1 86.3% 90.3% -3.3% 2.8% -1.19
BENCHMARK 13.1% 10.4% – 8.7% 0.84 -9.8% 1.34 – – – – – – – – – –
AVGE 16.0% 16.7% 1.61 11.6% 0.69 -17.1% 0.93 0.96 1.55 93% -3.7% 0.1 146.1% 151.6% -4.5% 4.4% -1.01
CGDG 16.0% 13.6% 1.31 11.6% 0.85 -10.5% 1.52 0.93 1.22 86% 0.1% 0.13 117.3% 115.8% -1.2% 5.1% -0.24
DBC 2.6% 15.9% 1.53 -1.8% -0.11 -12.3% 0.21 0.26 0.39 7% -1.2% 0.07 1.6% -6.2% -16.2% 19.3% -0.84
EEMV 5.7% 10.7% 1.03 1.3% 0.12 -12.2% 0.47 0.74 0.77 55% -3.7% 0.08 67.8% 73.3% -7.2% 7.7% -0.93
FLIN -6.8% 14.7% 1.42 -11.3% -0.76 -16.7% 0.41 0.53 0.76 29% -14.7% -0.09 56.4% 84.6% -22.4% 14.2% -1.57
HSCZ 20.4% 13.7% 1.32 15.9% 1.16 -12.8% 1.59 0.88 1.16 77% 4.7% 0.18 112.4% 101.7% 2.3% 6.8% 0.34
KNO 9.8% 15.3% 1.47 5.4% 0.35 -14.5% 0.68 0.93 1.37 86% -6.9% 0.07 131.0% 144.6% -8.2% 5.8% -1.42
LCR 10.2% 8.7% 0.84 5.7% 0.66 -8.6% 1.18 0.93 0.78 87% -0.0% 0.13 79.8% 80.2% -0.8% 3.2% -0.25
PDBA 9.9% 12.9% 1.24 5.5% 0.43 -9.6% 1.03 0.26 0.32 7% 6.4% 0.31 31.7% 18.4% -6.7% 15.7% -0.43
QLV 11.1% 13.2% 1.27 6.7% 0.51 -12.0% 0.92 0.91 1.16 82% -3.4% 0.1 101.7% 105.2% -5.0% 5.7% -0.88
QWLD 12.7% 13.9% 1.34 8.3% 0.6 -12.4% 1.02 0.96 1.28 91% -3.5% 0.1 115.5% 119.7% -4.3% 4.1% -1.04
TDSC 1.2% 12.5% 1.2 -3.3% -0.26 -14.2% 0.08 0.89 1.07 79% -11.2% 0.01 93.9% 115.5% -12.8% 6.0% -2.15
THLV 7.1% 10.6% 1.02 2.6% 0.25 -13.1% 0.54 0.78 0.8 62% -2.9% 0.09 90.6% 99.8% -5.8% 7.0% -0.84
TRTY 10.3% 9.1% 0.88 5.9% 0.65 -9.2% 1.12 0.86 0.75 73% 0.6% 0.14 76.8% 76.1% -1.1% 4.9% -0.23
VDC 0.5% 13.4% 1.29 -3.9% -0.29 -8.9% 0.06 0.53 0.69 28% -7.2% 0.01 48.0% 58.2% -14.8% 13.0% -1.14
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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