Objective

The VizMetrics Max Sharpe folio is designed for investors seeking to create an ETF portfolio that responds to market conditions while maximizing risk-adjusted return. The risk-adjusted return is represented by the Sharpe Ratio. Visit www.VizMetrics.com for additional information about the VizMetrics Max Sharpe folio design and asset allocation.

Strategy

The VizMetrics Max Sharpe folio uses a tactical (also called “dynamic” or “active”) asset allocation approach. This folio seeks to maximize risk-adjusted return by choosing an asset allocation that maximizes the Sharpe ratio, which is a measure of risk-adjusted return developed by Nobel Laureate and Stanford Professor William Sharpe. This folio is allowed to choose from 8 ETFs that represent major asset classes: 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, developed markets equity, and gold.

Last Updated:

Category:
Inception Date:
Date Funded: N/A*

Folio S&P 500 Total Return
One-Month N/A 5.2%
Three-Month N/A 3.54%
Year-to-Date N/A 12.21%
One-Year N/A 11.25%
Three-Year (Annualized) N/A 9.84%
Five-Year (Annualized) N/A 15.15%
Since Inception N/A N/A
Volatility N/A 13.68%

Past performance is no guarantee of future results.
See how returns are calculated

* Returns reflect model performance from the Inception Date to the Date Funded, and funded performance since the Date Funded, if funded. Your returns may deviate significantly from the values displayed here, due to many factors, including how long after a strategy has been updated that you place orders to update your holdings.

#SymbolCompanyWeight
(% of Folio)
1IWMishares russell 2000 index fund100.00%

Steps to Create This Folio

  1. VizMetrics chooses the set of possible asset classes that will be used for this folio’s asset allocation, which are the following: 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, and Gold.
  2. VizMetrics chooses one ETF to represent each asset class, based on liquidity, history, and cost considerations.
  3. VizMetrics runs the VizMetrics Max Sharpe investment algorithm to choose the optimal asset allocation portfolio based on the Sharpe Ratio.
  4. VizMetrics determines the weighting (% allocation) for each asset class ETF based on the chosen asset allocation.

Number of Holdings

This folio includes up to eight ETFs.

Update Frequency

VizMetrics Max Sharpe folio is updated monthly.

If the characteristics of the folio have changed substantially, the securities included may change. Also, corporate actions, such as a merger, or other events may cause changes to the securities held at any time. Your returns may deviate significantly from the values displayed here, due to many factors, including how long after a folio has been updated that you place orders to update your holdings.