iShares Core Moderate Allocation ETF

AOM Summary

Fund FamilyNA
CategoryNA
StructureNA
Inception DateNA
Expense RatioNA
YieldNA
Net AssetsNA
Avg. VolumeNA

Report Card

D+
Protect
AOM provides poor inflation protection and average market risk protection. It generates -2.1% real returns with 6.7% downside volatility and 7.8% Ulcer Index.

D
Perform
AOM provides poor risk-adjusted returns. It has generated 2.0% annual returns over the last three years which ranks worse than 60% of all funds. It has a -0.1 Sortino ratio and -0.1 UPI, ranking in the bottom 40% of all competing funds for risk-adjusted returns.

F
Participate
AOM has failed to provided any S&P 500 diversification advantage over the last three years. A 60% SPY/40% AOM portfolio reduces downside risk by 11.0% but also reduces annual returns by 31.4%. Diversifying with AOM reduces the risk-adjusted performance of the S&P 500 by 34.2% to a 0.5 UPI.

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Key Performance Metrics

Protect

We measure a funds ability to protect on against stock market declines by comparing various downside specific risk measures. Max drawdown is the largest decline for the security while the Ulcer Index quantifies both the depth and breath of all drawdowns. We also look at downside volatility and beta, both of which are measured relative to the S&P 500.
Statistic1 Year3 Years5 Years
Max Drawdown-6.85%-19.96%-19.96%
Recovery TimeOngoingOngoingOngoing
Ulcer Index2.56%9.17%7.41%
Downside Volatility5.74%7.05%6.41%
Downside Beta0.250.540.46

Perform

We measure a securities ability to Perform by comparing net annual returns relative to our benchmarks. To measure absolute performance, we use the well-known Sharpe and Sortino ratios but prefer a risk-adjusted ratio such as Jenson's Alpha. Ultimately, performance is the most critical variable in fund selection so we take a much deeper dive into this measure.
Statistic1 Year3 Years5 Years
Annual Returns4.81%0.01%3.19%
UPI0.20-0.010.11
Sortino Ratio0.09-0.010.13
Sharpe Ratio0.05-0.010.09
Jensen's Alpha-3.19%-5.33%-3.10%

Participate

Participate measures the ability of a security to improve the effecient frontier of a stock portfolio. If the letter grade for this fund is an F, the fund does not provide any diversification or participation benefit. The Statistics presented are calculated using an either an optimal mix of AOM or, if no participation benefit exists, a 60% S&P 500 and 40% AOM.
Statistic1 Year3 Years5 Years
Ulcer Index3.05%9.61%8.32%
Downside Volatility7.39%9.58%9.73%
Annual Returns7.92%6.36%7.98%
UPI1.190.650.68
Sortino Ratio0.490.650.58

Comparison

Returns
Ulcer impact
StatisticAOMVBINX MAPSA
Value Per 10K$10,003$10,885$11,938
Total Returns0.03%8.85%19.38%
Annual Returns0.01%2.87%6.08%
Standard Deviation 9.89%12.64%10.91%
Downside Deviation 7.05%8.73%6.08%
Max Drawdown -19.96%-21.61%-17.66%
Recovery Time OngoingOngoingOngoing
Ulcer Index 9.17%10.18%9.82%
Sharpe Ratio -0.010.220.55
Sortino Ratio -0.010.320.99
Ulcer Perf. Index -0.010.270.61
Beta 0.520.700.31
Downside Beta 0.540.740.27
Treynor Ratio 0.000.040.20
Jensen's Alpha -5.33%-4.30%2.91%
Mac's Alpha -5.54%-4.71%3.26%

Free Risk Profile Assessment

Risk management is a critical factor in creating long-term financial security, especially for those in retirement. Too often bear markets can sabotage a lifetime of savings. And quantifying risk using yesterday’s data is too often insufficient.

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  • Does my portfolio match my level of risk aversion?
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  • How will my portfolio react in various economic climates?
  • Are there more effective ways to hedge risk than my current approach?