iShares Core Moderate Allocation ETF

AOM Summary

Fund FamilyiShares
CategoryAllocation--30% to 50% Equity
StructureExchange Traded Fund
Inception Date2008-11-04
Expense Ratio0.15%
Net Assets1.53B
Avg. Volume434.24K

Report Card

AOM provides poor inflation protection and average market risk protection. It generates -3.9% real returns with 7.6% downside volatility and 7.6% Ulcer Index.

AOM provides poor risk-adjusted returns. It has generated 0.2% annual returns over the last three years which ranks worse than 60% of all funds. It has a -0.2 Sortino ratio and -0.2 UPI, ranking in the bottom 40% of all competing funds for risk-adjusted returns.

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 12.9% but also reduces annual returns by 38.0%. Diversifying with AOM reduces the risk-adjusted performance of the S&P 500 by 39.9% to a 0.3 UPI.


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Key Performance Metrics


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-19.53%-19.96%-19.96%
Recovery TimeOngoingOngoingOngoing
Ulcer Index11.88%7.60%6.12%
Downside Volatility11.21%7.64%6.32%
Downside Beta0.580.530.51


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 Returns-14.54%0.18%2.24%
Sortino Ratio-1.31-0.180.13
Sharpe Ratio-1.15-0.130.09
Jensen's Alpha-5.27%-4.18%-2.66%


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 Index13.73%9.15%7.47%
Downside Volatility15.56%11.42%9.89%
Annual Returns-16.72%4.72%6.64%
Sortino Ratio-


Ulcer impact
Value Per 10K$10,055$10,911$11,746
Total Returns0.55%9.11%17.46%
Annual Returns0.18%2.95%5.51%
Standard Deviation 10.37%14.43%11.34%
Downside Deviation 7.64%10.11%6.11%
Max Drawdown -19.96%-22.78%-17.74%
Recovery Time Ongoing152 daysOngoing
Ulcer Index 7.60%8.71%7.72%
Sharpe Ratio -
Sortino Ratio -
Ulcer Perf. Index -
Beta 0.460.670.29
Downside Beta 0.530.740.14
Treynor Ratio -
Jensen's Alpha -4.18%-2.69%2.18%
Mac's Alpha -4.58%-3.07%3.13%

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.

For an extensive, forward-looking risk assessment profile for your investment account, fill out the form and we’ll contact you soon. Our report will answer the following:

  • Does my portfolio match my level of risk aversion?
  • Do my investments properly account for sequence of return risk?
  • What is my interest rate risk exposure?
  • What is my downside risk if the S&P 500 falls 50%?
  • Is my portfolio adequately hedged for inflation?
  • What is the upside expectation for my portfolio when the S&P 500 appreciates?
  • How will my portfolio react in various economic climates?
  • Are there more effective ways to hedge risk than my current approach?