Ted Aronson is an asset manager. His family taxable account portfolio has been featured and tracked by MarketWatch.com's lazy portfolios, maintained by Paul Farrel. The lazy portfolio has done very well prior to 2008-2009 crash.
The portfolio consists of the following index funds and their ETF substitutes:
- 20% in Vanguard Emerging Markets Stock Index (VEIEX) --- ETF: VWO
- 15% in Vanguard 500 Index (VFINX) --- ETF: VOO
- 15% in Vanguard Pacific Stock Index (VPACX) -- ETF: VPL
- 10% in Vanguard Extended Market Index (VEXMX) -- ETF: VXF
- 10% in Vanguard Inflation-Protected Securities (VIPSX) -- ETF: TIP
- 5% in Vanguard European Stock Index (VEURX) --- ETF: VGK
- 5% in Vanguard High-Yield Corporate (VWEHX) --- ETF: JNK
- 5% in Vanguard Long-Term U.S. Treasury (VUSTX) -- ETF: VGLT
- 5% in Vanguard Small Cap Growth (VISGX) --- ETF: VBK
- 5% in Vanguard Small Cap Value Index (VISVX) --- ETF: VBR
- 5% in Vanguard Total Stock Market Index (VTSMX) --- ETF: VTI
Asset Class | Ticker | Name |
---|---|---|
DIVERSIFIED EMERGING MKTS | VWO | Vanguard Emerging Markets Stock ETF |
LARGE BLEND | VOO | Vanguard S&P 500 ETF |
DIVERSIFIED PACIFIC/ASIA | VPL | Vanguard Pacific Stock ETF |
MID-CAP BLEND | VXF | Vanguard Extended Market Index ETF |
Inflation-Protected Bond | TIP | iShares Barclays TIPS Bond |
EUROPE STOCK | VGK | Vanguard European ETF |
High Yield Bond | JNK | SPDR Barclays Capital High Yield Bond |
LONG GOVERNMENT | VGLT | Vanguard Long-Term Govt Bd Idx ETF |
Small Growth | VBK | Vanguard Small Cap Growth ETF |
SMALL VALUE | VBR | Vanguard Small Cap Value ETF |
LARGE BLEND | VTI | Vanguard Total Stock Market ETF |
'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'
Applying this definition to our asset in some examples:'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'
Applying this definition to our asset in some examples:'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'
Applying this definition to our asset in some examples:'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'
Using this definition on our asset we see for example:'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'
Which means for our asset as example:'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'
Which means for our asset as example:'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'
Which means for our asset as example:'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'
Applying this definition to our asset in some examples:'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'
Using this definition on our asset we see for example:'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'
Using this definition on our asset we see for example: