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Typically well-balanced portfolio gives ~10% above plain vanilla SPY
Example of diversified low risk ETF-only portfolio suitable for IRA ~50k$ allocation [no international, commodity, leveraged]:
|
Ticker
|
Portfolio Weight
|
Risk Contribution
|
Annualized Volatility
|
Beta
|
Daily VaR (99%)
|
Max Drawdown
|
Return
|
|---|---|---|---|---|---|---|---|
|
ITA
|
7.7%
|
10.0%
|
15.2%
|
1.09
|
2.2%
|
-10.9%
|
9.2%
|
|
TLT
|
7.7%
|
-3.7%
|
10.9%
|
-0.47
|
1.6%
|
-5.0%
|
27.0%
|
|
VNQ
|
7.7%
|
5.2%
|
11.2%
|
0.52
|
1.6%
|
-7.6%
|
34.7%
|
|
VDC
|
7.7%
|
5.8%
|
9.5%
|
0.64
|
1.4%
|
-6.2%
|
17.9%
|
|
VPU
|
7.7%
|
4.9%
|
13.1%
|
0.51
|
1.9%
|
-9.3%
|
27.9%
|
|
XTN
|
7.7%
|
11.8%
|
18.4%
|
1.26
|
2.7%
|
-14.0%
|
27.8%
|
|
UUPT
|
7.7%
|
7.4%
|
25.2%
|
0.38
|
3.7%
|
-9.3%
|
43.2%
|
|
YCS
|
7.7%
|
7.9%
|
16.1%
|
0.74
|
2.4%
|
-8.0%
|
31.7%
|
|
SPHQ
|
7.7%
|
7.6%
|
10.4%
|
0.86
|
1.5%
|
-5.7%
|
18.7%
|
|
IWM
|
7.7%
|
10.6%
|
16.3%
|
1.18
|
2.4%
|
-12.7%
|
5.5%
|
|
DDM
|
7.7%
|
15.7%
|
22.2%
|
1.84
|
3.3%
|
-13.2%
|
23.8%
|
|
QQQ
|
7.7%
|
9.5%
|
14.1%
|
1.12
|
2.1%
|
-8.2%
|
21.9%
|
|
FTCS
|
7.7%
|
7.3%
|
10.4%
|
0.83
|
1.5%
|
-6.1%
|
16.9%
|
|
Portfolio
|
100.0%
|
100.0%
|
9.9%
|
0.81
|
1.5%
|
-4.9%
|
24.0%
|
|
SPY
|
11.6%
|
1.00
|
1.7%
|
-7.3%
|
15.5%
|
Crosscorelation between assets:
|
ITA
|
TLT
|
VNQ
|
VDC
|
VPU
|
XTN
|
UUPT
|
YCS
|
SPHQ
|
IWM
|
DDM
|
QQQ
|
FTCS
|
SPY
|
|
|
ITA
|
1.00
|
-0.43
|
0.45
|
0.63
|
0.32
|
0.76
|
0.15
|
0.46
|
0.85
|
0.79
|
0.82
|
0.76
|
0.81
|
0.83
|
|
TLT
|
-0.43
|
1.00
|
-0.06
|
-0.36
|
0.06
|
-0.46
|
-0.30
|
-0.49
|
-0.49
|
-0.41
|
-0.52
|
-0.45
|
-0.46
|
-0.49
|
|
VNQ
|
0.45
|
-0.06
|
1.00
|
0.54
|
0.56
|
0.39
|
0.03
|
0.19
|
0.54
|
0.49
|
0.49
|
0.49
|
0.50
|
0.54
|
|
VDC
|
0.63
|
-0.36
|
0.54
|
1.00
|
0.50
|
0.56
|
0.16
|
0.41
|
0.83
|
0.58
|
0.79
|
0.67
|
0.80
|
0.78
|
|
VPU
|
0.32
|
0.06
|
0.56
|
0.50
|
1.00
|
0.22
|
-0.03
|
0.12
|
0.48
|
0.30
|
0.42
|
0.32
|
0.40
|
0.45
|
|
XTN
|
0.76
|
-0.46
|
0.39
|
0.56
|
0.22
|
1.00
|
0.22
|
0.50
|
0.78
|
0.78
|
0.74
|
0.77
|
0.77
|
0.80
|
|
UUPT
|
0.15
|
-0.30
|
0.03
|
0.16
|
-0.03
|
0.22
|
1.00
|
0.45
|
0.21
|
0.14
|
0.18
|
0.15
|
0.18
|
0.17
|
|
YCS
|
0.46
|
-0.49
|
0.19
|
0.41
|
0.12
|
0.50
|
0.45
|
1.00
|
0.52
|
0.43
|
0.54
|
0.49
|
0.51
|
0.53
|
|
SPHQ
|
0.85
|
-0.49
|
0.54
|
0.83
|
0.48
|
0.78
|
0.21
|
0.52
|
1.00
|
0.79
|
0.95
|
0.84
|
0.94
|
0.96
|
|
IWM
|
0.79
|
-0.41
|
0.49
|
0.58
|
0.30
|
0.78
|
0.14
|
0.43
|
0.79
|
1.00
|
0.76
|
0.83
|
0.75
|
0.84
|
|
DDM
|
0.82
|
-0.52
|
0.49
|
0.79
|
0.42
|
0.74
|
0.18
|
0.54
|
0.95
|
0.76
|
1.00
|
0.84
|
0.92
|
0.96
|
|
QQQ
|
0.76
|
-0.45
|
0.49
|
0.67
|
0.32
|
0.77
|
0.15
|
0.49
|
0.84
|
0.83
|
0.84
|
1.00
|
0.83
|
0.92
|
|
FTCS
|
0.81
|
-0.46
|
0.50
|
0.80
|
0.40
|
0.77
|
0.18
|
0.51
|
0.94
|
0.75
|
0.92
|
0.83
|
1.00
|
0.93
|
|
SPY
|
0.83
|
-0.49
|
0.54
|
0.78
|
0.45
|
0.80
|
0.17
|
0.53
|
0.96
|
0.84
|
0.96
|
0.92
|
0.93
|
1.00
|
High risk EFT-only nocommodity portfolio [notice x3 risk, x3 reward]
|
Ticker
|
Portfolio Weight
|
Risk Contribution
|
Annualized Volatility
|
Beta
|
Daily VaR (99%)
|
Max Drawdown
|
Return
|
|---|---|---|---|---|---|---|---|
|
INDL
|
12.5%
|
18.9%
|
75.7%
|
3.46
|
11.1%
|
-77.9%
|
-14.0%
|
|
CURE
|
12.5%
|
10.8%
|
40.6%
|
2.38
|
6.0%
|
-22.6%
|
1071.3%
|
|
TNA
|
12.5%
|
16.3%
|
54.9%
|
3.71
|
8.1%
|
-35.8%
|
388.2%
|
|
TQQQ
|
12.5%
|
13.4%
|
45.1%
|
3.09
|
6.6%
|
-31.9%
|
572.4%
|
|
UPRO
|
12.5%
|
12.7%
|
40.2%
|
3.00
|
5.9%
|
-27.8%
|
502.4%
|
|
ITLT
|
12.5%
|
6.0%
|
48.8%
|
0.75
|
7.2%
|
-40.0%
|
277.4%
|
|
SVXY
|
12.5%
|
17.1%
|
60.6%
|
3.69
|
8.9%
|
-42.5%
|
488.8%
|
|
DFE
|
12.5%
|
4.9%
|
18.0%
|
1.05
|
2.6%
|
-22.9%
|
79.5%
|
|
Portfolio
|
100.0%
|
100.0%
|
37.4%
|
2.64
|
5.5%
|
-27.5%
|
393.2%
|
|
SPY
|
13.4%
|
1.00
|
2.0%
|
-9.7%
|
96.1%
|
with correlation:
|
INDL
|
CURE
|
TNA
|
TQQQ
|
UPRO
|
ITLT
|
SVXY
|
DFE
|
SPY
|
|
|
INDL
|
1.00
|
0.47
|
0.56
|
0.55
|
0.61
|
0.17
|
0.49
|
0.57
|
0.61
|
|
CURE
|
0.47
|
1.00
|
0.66
|
0.73
|
0.78
|
0.15
|
0.67
|
0.62
|
0.78
|
|
TNA
|
0.56
|
0.66
|
1.00
|
0.85
|
0.90
|
0.17
|
0.74
|
0.71
|
0.90
|
|
TQQQ
|
0.55
|
0.73
|
0.85
|
1.00
|
0.92
|
0.17
|
0.75
|
0.70
|
0.92
|
|
UPRO
|
0.61
|
0.78
|
0.90
|
0.92
|
1.00
|
0.21
|
0.81
|
0.78
|
1.00
|
|
ITLT
|
0.17
|
0.15
|
0.17
|
0.17
|
0.21
|
1.00
|
0.19
|
0.27
|
0.21
|
|
SVXY
|
0.49
|
0.67
|
0.74
|
0.75
|
0.81
|
0.19
|
1.00
|
0.67
|
0.81
|
|
DFE
|
0.57
|
0.62
|
0.71
|
0.70
|
0.78
|
0.27
|
0.67
|
1.00
|
0.77
|
|
SPY
|
0.61
|
0.78
|
0.90
|
0.92
|
1.00
|
0.21
|
0.81
|
0.77
|
1.00
|