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VizMetrics Adaptive Portfolio

for period ending November 30, 2018
 
This portfolio recipe is provided by VizMetrics.
t.aaad is the Recipe ID for this portfolio recipe. This Recipe ID appears in the scatterplots below and on the Summary Page showing all portfolio recipes. You can invest in this portfolio recipe using the "VizMetrics Adaptive Portfolio" Ready-to-Go Folio at FolioInvesting.com. See How to Invest (below) for more details on how buy this portfolio recipe.
 
Use this page to find a high return, lower risk portfolio recipe using the Choose – Invest – RebalanceTM process
 

How to Choose

Risk vs. return for t.aaad:   The scatterplots below show the best portfolio recipes as dots closest to the green smiley the at top left of each scatterplot. The yellow dot shows the total return and risk for this portfolio recipe. The risk is measured by maximum loss over each period. Any dot closer to the top left corner has shown better performance using this metric.

For more metrics (Total Return, Risk and Volatility, Correlation) scroll down on this page. The Summary Page compares all portfolio recipes.
Maximum Drawdown vs. Annual Return
t.aaadPeer group recipesAll other recipesS&P 500 (SPY)U.S. Bonds (BND)Balanced (60% Equity / 40% Bonds)
The location of t.aaad and the identities of all the portfolios on the 3, 5, 7, and 10 year graphs are available to subscribers only. Upgrade your subscription. Only $15 per month. Cancel anytime.
 
Description   VizMetrics Adaptive Portfolio gives investors access to a dynamic portfolio that uses an adaptive asset allocation algorithm that maximizes risk-adjusted return and responds to market conditions. This portfolio recipe uses exchange-traded funds and strives to achieve a favorable risk-adjusted return by using an adaptive algorithm to maximize total return and minimize volatility.

Category   Tactical: DIY. This portfolio recipe is tactical (dynamic) and do-it-yourself.

Ingredients used   This portfolio recipe invests in up to three exchange-traded funds (ETFs). These three ingredients are chosen from a set of 9 possible asset class ETFs. The percentage allocation (i.e., weighting) to each of these ETFs is selected using a dynamic allocation algorithm based on momentum and volatility.

Peer Group   Tactical: DIY

You can see how this recipe has performed compared to its peers by clicking on any "Rank: Group" link in the Compare sections, below.

Methodology   This portfolio recipe is created using an adaptive algorithm that applies both momentum and volatility metrics to choose the ingredients and weightings for each of the four asset class ETFs in this portfolio recipe. VizMetrics Adaptive Portfolio uses a tactical (also called "dynamic" or "active") asset allocation approach. This Folio is allowed to choose from 9 ETFs that represent major asset classes. The steps to create this portfolio are as follows:
  1. VizMetrics defines the set of possible asset classes that can be used as ingredients for this portfolio recipe. The 9 asset classes are as follows: U.S. Large Cap Equity, U.S. Small Cap Equity, NASDAQ 100 Equity, U.S. Real Estate, U.S. Long Term Treasury Bonds, Emerging Markets Equity, International Developed Markets Equity, Gold, and Commodities.
  2. VizMetrics chooses one ETF to represent each asset class, based on liquidity, history, and cost considerations. The ETFs chosen to represent the asset classes are as follows: SPY, IWM, QQQ, IYR, TLT, EEM, EFA, GLD, DBC.
  3. Each month, VizMetrics ranks the nine ETFs based on momentum and chooses the top three ETFs.
  4. VizMetrics applies a percentage allocation to the chosen ETFs which minimizes the variance of the overall portfolio.
Cost   Access to this portfolio recipe is included at no extra charge as part of your VizMetrics Investor subscription. This portfolio is a "Ready-to-Go" Folio that works with the Folio Unlimited Plan at FolioInvesting.com. This allows you to purchase and rebalance all the underlying ETFs in one simple transaction. See How to Invest, below.
 

How to Invest

Recipe ingredients for this portfolio recipe appear on this page only if you have subscribed to VizMetrics Investor. Upgrade your subscription to see the full list of recipe ingredients and % allocation to each ingredient.

Once you have subscribed to VizMetrics Investor, you can invest using this portfolio recipe with a "ready-to-go" Folio at FolioInvesting.com. Buy and rebalance with just a few clicks.

Or you can also use the recipe ingredients on this page to invest at your favorite brokerage. For details on how to invest using this portfolio recipe, see How to Invest in a Ready-to-Go portfolio
 

How to Rebalance

Update frequency:   The recipe for this portfolio can change monthly. In other words, the ingredients and percentage allocation to each ingredient can change at the beginning of each month. Therefore, this portfolio requires a few minutes each month to buy or sell the ingredients to match the updated portfolio recipe.

Where to get the recipe updates&nsbp;&nsbp;This portfolio recipe is available to VizMetrics Investor subscribers. Upgrade your subscription. After subscribing, the exact recipe (ingredient plus percentage allocation to each ingredient) appears on this page under a new section labelled "Recipe ingredients"Rebalancing steps
If you've invested using the "Ready-to-go" portfolio recipe at FolioInvesting.com, you can quickly update your portfolio each month with a few clicks using automated settings. See How to rebalance a Ready-to-Go portfolio for details.
If you've invested at another brokerage, you need to update this portfolio each month to adhere to this portfolio's recipe. See How to rebalance your portfolio

Compare: Risk vs. Return

for period ending November 30, 2018
VizMetricsTM Score This is a 0 to 100 score that measures risk-adjusted return
 1 year3 year5 year7 year10 year
t.aaad56668288100
Peer Group* average7094979399
60% Equity / 40% Bonds89100100100100
Global Equities (ACWI)63100959697
U.S. Equities (SPY)89100100100100
U.S. Bonds (BND)888510089100
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All
Downside Deviation vs. Annual Return
t.aaadPeer group recipesAll other recipesS&P 500 (SPY)U.S. Bonds (BND)Balanced (60% Equity / 40% Bonds)
The location of t.aaad and the identities of all the portfolios on the 3, 5, 7, and 10 year graphs are available to subscribers only. Upgrade your subscription. Only $15 per month. Cancel anytime.
Standard Deviation vs. Annual Return
t.aaadPeer group recipesAll other recipesS&P 500 (SPY)U.S. Bonds (BND)Balanced (60% Equity / 40% Bonds)
The location of t.aaad and the identities of all the portfolios on the 3, 5, 7, and 10 year graphs are available to subscribers only. Upgrade your subscription. Only $15 per month. Cancel anytime.
M-squared
 1 year3 year5 year7 year10 year
t.aaad-10.4%-8.5%-8.2%-7.7%-1.8%
Peer Group* average-8.2%-3.8%-3.8%-5.9%-1.2%
60% Equity / 40% Bonds-2.4%-0.6%0.3%0.3%2.0%
Global Equities (ACWI)-6.6%-3.1%-4.9%-5.5%-4.9%
U.S. Equities (SPY)0.0%0.0%0.0%0.0%0.0%
U.S. Bonds (BND)-19.0%-9.8%-5.6%-8.8%-1.7%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All
Alpha
 1 year3 year5 year7 year10 year
t.aaad-8.5%-4.9%-4.0%-3.2%2.7%
Peer Group* average-5.1%0.4%0.6%0.3%4.2%
60% Equity / 40% Bonds-1.4%-0.3%0.4%0.4%1.4%
Global Equities (ACWI)-6.3%-2.5%-4.4%-4.8%-4.8%
U.S. Equities (SPY)0.0%0.0%0.0%0.0%0.0%
U.S. Bonds (BND)-3.4%0.2%1.5%1.6%3.1%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All
Sharpe
 1 year3 year5 year7 year10 year
t.aaad-0.480.290.250.640.92
Peer Group* average-0.310.770.670.800.96
60% Equity / 40% Bonds0.171.081.051.381.18
Global Equities (ACWI)-0.160.840.570.850.72
U.S. Equities (SPY)0.381.141.031.351.05
U.S. Bonds (BND)-1.230.130.470.510.91
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All

Compare: Total Return

for period ending November 30, 2018
5-year graph t.aaadGlobal equities (ACWI)U.S. equities (SPY)U.S. bonds (BND)60% Equity / 40% Bonds (s.6040)
Total Return (Compound Annual Growth Rate)
 Year-to-dateNov 20181 year3 year5 year7 year10 year
t.aaad-4.6%-1.5%-3.6%3.2%2.6%6.1%11.2%
Peer Group* average-1.5%1.6%-0.6%7.2%6.0%7.3%10.4%
60% Equity / 40% Bonds2.0%1.5%2.9%7.6%7.2%9.3%10.3%
Global Equities (ACWI)-2.1%1.6%-0.6%8.9%6.2%9.4%10.7%
U.S. Equities (SPY)4.6%1.9%5.9%11.9%10.9%14.3%14.2%
U.S. Bonds (BND)-1.8%0.6%-1.3%1.3%2.0%1.9%3.5%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: AllRank: AllRank: All
Historical Return
 20132014201520162017
t.aaad21.6%9.1%-8.4%-1.2%17.6%
Peer Group* average13.0%12.0%-5.0%8.0%17.5%
60% Equity / 40% Bonds18.1%9.9%0.7%8.8%13.9%
Global Equities (ACWI)22.3%2.4%-2.2%8.4%24.3%
U.S. Equities (SPY)32.3%13.5%1.3%12.0%21.7%
U.S. Bonds (BND)-2.1%5.8%0.6%2.5%3.5%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All

Compare: Risk & Volatility

for period ending November 30, 2018
Maximum Drawdown
 1 year3 year5 year7 year10 year
t.aaad-9.3%-9.3%-17.4%-17.4%-17.4%
Peer Group* average-8.1%-8.7%-11.7%-12.0%-14.6%
60% Equity / 40% Bonds-4.9%-4.9%-5.2%-5.2%-11.9%
Global Equities (ACWI)-8.8%-8.8%-13.4%-13.4%-21.9%
U.S. Equities (SPY)-6.9%-6.9%-8.5%-8.5%-18.1%
U.S. Bonds (BND)-2.4%-3.7%-3.7%-4.0%-4.0%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All
Standard Deviation
 1 year3 year5 year7 year10 year
t.aaad9.6%9.0%9.6%9.7%13.2%
Peer Group* average9.3%8.7%9.0%9.1%11.7%
60% Equity / 40% Bonds7.5%6.4%6.6%6.7%9.1%
Global Equities (ACWI)11.2%10.2%10.9%11.6%17.0%
U.S. Equities (SPY)12.2%10.3%11.0%11.3%15.0%
U.S. Bonds (BND)2.4%2.8%2.9%2.9%3.5%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All
Downside Deviation
 1 year3 year5 year7 year10 year
t.aaad7.6%6.3%6.7%6.4%7.6%
Peer Group* average7.1%5.6%5.7%5.6%6.6%
60% Equity / 40% Bonds5.7%4.1%4.0%3.9%5.3%
Global Equities (ACWI)8.8%6.7%7.1%7.4%10.5%
U.S. Equities (SPY)8.8%6.4%6.5%6.4%9.0%
U.S. Bonds (BND)2.0%2.0%1.8%1.9%1.9%
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All
Beta
 1 year3 year5 year7 year10 year
t.aaad0.760.650.580.640.59
Peer Group* average0.650.530.460.470.42
60% Equity / 40% Bonds0.620.630.600.610.62
Global Equities (ACWI)0.930.950.971.001.10
U.S. Equities (SPY)1.001.001.001.001.00
U.S. Bonds (BND)0.060.01-0.01-0.010.00
Ranking: Peer Group*Rank: GroupRank: GroupRank: GroupRank: GroupRank: Group
Ranking: All RecipesRank: AllRank: AllRank: AllRank: AllRank: All

Compare: Correlation

for period ending November 30, 2018
 1 year3 year5 year7 year10 year
to Global Stocks (ACWI)0.810.710.640.710.70
to S&P500 (SPY)0.890.690.620.690.65
to U.S. Bonds (BND)0.280.380.360.310.37
to Commodities (DBC)0.490.410.260.340.46
to Gold (GLD)-0.090.240.290.290.39