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test_TD Ameritrade Commission Free ETFs
test_TD Ameritrade Commission Free ETFs Tactical Asset Allocation Moderate
test_TD Ameritrade Commission Free ETFs Tactical Asset Allocation Moderate
live (public) 0.25% January 03
Delayed
Holdings (As of 10/31/2018)
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| Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
|---|---|---|---|---|
| Real Estate | RWR (SPDR Dow Jones REIT ETF) | 1.30% | SPDR DJ Wilshire REIT | 15.04% |
| Real Estate | VNQ (Vanguard Real Estate ETF) | 1.17% | Vanguard REIT Index ETF | 15.08% |
| General Bond | VGSH (Vanguard Short-Term Treasury ETF) | 0.07% | Vanguard Short-Term Govt Bd Idx ETF | 40.61% |
| Commodities | DJP (iPath Bloomberg Commodity Index Total Return ETN) | 0.56% | iPath Dow Jones-AIG Commodity Idx TR ETN | 14.67% |
| Commodities | DBC (Invesco DB Commodity Index Tracking Fund) | 1.34% | PowerShares DB Commodity Idx Trking Fund | 14.60% |
* Day change on 10/31/2018.
Previous
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Instructions On FolioInvesting.com Download Current Holdings to FolioInvesting CSV file
Performance (As of 01/03/2019)
Since 12/31/2000
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| test_TD Ameritrade Commission Free ETFs Tactical Asset Allocation Moderate | 5.7% | -6.7% | 0.4% | -0.1% | 5.3% | 8.4% |
| VFINX (Vanguard (S&P 500) Index) | 6.7% | 21.6% | 20.9% | 12.9% | 15.0% | 14.4% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 4.3% | 14.9% | 13.9% | 7.1% | 9.4% | 9.3% |
* YTD: Year to Date
** AR: Annualized Return
** portfolio AR is delayed
| Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 Yr | Since 01/02/2001 |
2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Annualized Return(%) | 0.3 | -6.7 | 0.4 | -0.1 | 5.3 | 8.4 | 0.0 | 6.9 | -1.1 | -10.6 | 6.1 | 4.0 | -7.3 | 0.1 | 12.2 | 11.7 | 0.9 | 16.9 | 11.4 | 13.4 | 21.8 | 16.6 | 8.6 | 14.3 | 21.6 | -4.3 | -4.7 |
| Sharpe Ratio | NA | -1.44 | -0.18 | -0.27 | 0.37 | NA | NA | 0.57 | -0.17 | -1.22 | 0.86 | 0.42 | -0.77 | 0.01 | 1.35 | 1.54 | 0.07 | 1.2 | 0.83 | 1.84 | 1.37 | 1.18 | 0.74 | 1.46 | 2.57 | -0.52 | -0.61 |
| Draw Down(%) | NA | 18.5 | 18.5 | 18.5 | 18.5 | NA | NA | 18.6 | 1.1 | 18.5 | 3.3 | 8.2 | 12.8 | 9.0 | 9.8 | 5.1 | 12.3 | 8.7 | 9.8 | 4.7 | 9.6 | 12.1 | 6.1 | 8.7 | 4.0 | 18.6 | 14.7 |
| Standard Deviation(%) | NA | 9.8 | 8.6 | 8.8 | 10.4 | NA | NA | 10.3 | 6.4 | 9.8 | 6.4 | 9.2 | 9.6 | 8.7 | 9.0 | 7.5 | 13.3 | 14.1 | 13.6 | 6.7 | 13.6 | 11.2 | 8.6 | 9.2 | 8.1 | 10.6 | 11.7 |
| Treynor Ratio | NA | -0.31 | -0.03 | -0.05 | 0.09 | NA | NA | 0.21 | 0.05 | -0.26 | 0.1 | 0.08 | -0.15 | 0.0 | 0.19 | 0.23 | 0.02 | 0.26 | 0.71 | -1.37 | 0.26 | 0.14 | 0.1 | 0.23 | 0.87 | -0.28 | -0.18 |
| Alpha | NA | -0.04 | -0.02 | -0.02 | 0.0 | NA | NA | 0.02 | -0.81 | -0.04 | -0.02 | 0.0 | -0.03 | -0.03 | -0.02 | 0.02 | 0.0 | 0.03 | 0.03 | 0.03 | 0.07 | 0.01 | 0.02 | 0.03 | 0.05 | 0.0 | -0.01 |
| Beta | NA | 0.45 | 0.47 | 0.5 | 0.43 | NA | NA | 0.28 | -0.22 | 0.46 | 0.57 | 0.46 | 0.49 | 0.64 | 0.65 | 0.51 | 0.46 | 0.65 | 0.16 | -0.09 | 0.72 | 0.93 | 0.61 | 0.59 | 0.24 | 0.19 | 0.4 |
| RSquared | NA | 0.64 | 0.51 | 0.57 | 0.47 | NA | NA | 0.27 | 1.0 | 0.65 | 0.36 | 0.43 | 0.64 | 0.71 | 0.64 | 0.73 | 0.65 | 0.69 | 0.1 | 0.3 | 0.71 | 0.69 | 0.53 | 0.51 | 0.25 | 0.23 | 0.55 |
| Sortino Ratio | NA | -1.79 | -0.24 | -0.36 | 0.52 | NA | NA | 0.8 | -0.08 | -1.53 | 1.22 | 0.59 | -0.99 | 0.01 | 1.93 | 2.28 | 0.09 | 1.75 | 1.21 | 2.74 | 1.9 | 1.74 | 1.02 | 2.05 | 3.8 | -0.7 | -0.82 |
| Yield(%) | N/A | 1.8 | 2.1 | 2.0 | 3.5 | 6.1 | 5.5 | 0.0 | 0.0 | 1.8 | 2.2 | 1.8 | 1.8 | 2.5 | 2.0 | 4.5 | 2.4 | 3.4 | 3.0 | 3.1 | 3.1 | 3.3 | 4.0 | 3.2 | 2.9 | 3.1 | 2.8 |
| Dividend Growth(%) | N/A | -9.4 | -4.9 | -13.8 | N/A | N/A | N/A | N/A | N/A | -9.4 | 24.8 | -5.3 | -27.4 | 39.0 | -51.6 | 89.0 | -18.3 | 28.5 | 10.2 | 20.7 | 9.5 | -7.9 | 38.7 | 35.8 | -11.4 | 6.2 | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/2000
Portfolio Description
This model portfolio uses Tactical Asset Allocation
. The following is the description on how in general the strategy works for this portfolio. It is for information purpose only. The actual implementation might be
different from the description in some situations where optimization has been implemented.
The strategy first derives trend scores of the 6 major asset classes: Emerging Market Equity, Foreign Equity, Fixed Income, US Equity, Commodity, REITs that are covered in test_TD Ameritrade Commission Free ETFs. It then selects the top 2 risk assets and 1 fixed income asset.
1. Risk allocation: the risk profile of this portfolio is 40.
The total allocation of the 1 fixed income asset should be at least 40%.
2. Asset weights: risk assets selected are equally weighted by
default.
3. Fund selection: about 2 top performing funds among 101 available funds in the plan are chosen for each asset selected. They are usually equally weighted within
the asset by default.
4. Rebalance frequency: the portfolio is reviewed by the strategy program monthly
and the above steps are repeated. Asset weights are rebalanced back to target allocation if it is necessary. During a market downturn, the asset
exposure to risk assets might be reduced and is switched to fixed income instead to avoid big loss.
5.
Simulation: Performance data before this portfolio went public on
11/27/2013
are obtained from historical simulation. They are hypothetical.
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