iShares Core Moderate Allocation ETF

New Diversification Testing Tool

In a volatile market proper diversification is critical to minimizing risk while reaching your long term goals. How well does AOM diversify your portfolio?

Find Out Now!

AOM Summary

Fund FamilyiShares
CategoryAllocation--30% to 50% Equity
StructureExchange Traded Fund
Inception Date2008-11-04
Expense Ratio0.15%
Net Assets1.77B
Avg. Volume217.86K


We measure a funds ability to protect on the downside by comparing various downside specific risk measures. First, and perhaps most important, is largest drawdown. We also look at downside deviation and downside beta, both of which are measured relative to the S&P 500. These guages provide an investor with a material expectation of how the fund should perform if the broad market declines.
Statistic1 Year3 Years5 Years
Max Drawdown-11.06%-16.90%-16.90%
Recovery TimeOngoing152 days152 days
Downside Deviation7.17%5.84%5.00%
Downside Beta0.570.500.47


Beta is a widely used calculation to determine how correlated a security is to the S&P 500. We also look to the Treynor Ratio to measure upside alpha plus we integrate upside beta. Upside Beta measures how well a fund participates when the market is going up.
Statistic1 Year3 Years5 Years
Treynor Ratio-16.53%9.34%11.07%
Standard Deviation7.50%8.29%7.18%
Upside Beta0.170.400.39


We measure relative performance by simply comparing annual returns relative to our benchmarks. To measure absolute performance, we use the well-known Sharpe ratio but prefer risk-adjusted ratios such as Jenson's Alpha and our own proprietary tool, Mac's Alpha. Ultimately, performance is the most critical variable in fund selection so we takea much deeper dive into this measure.
Statistic1 Year3 Years5 Years
Annual Returns-7.17%3.94%4.56%
Jensen's Alpha-7.18%-1.86%-1.02%
Sharpe Ratio-0.960.470.63
Sortino Ratio-1.000.670.91


Ulcer impact
Value Per 10K$11,228$12,630$13,909
Total Returns12.28%26.30%39.09%
Annual Returns3.94%8.09%11.63%
Standard Deviation 8.29%12.23%10.68%
Downside Deviation 5.84%8.08%4.75%
Max Drawdown -16.90%-22.78%-11.49%
Recovery Time 152 days152 days314 days
Ulcer Index 3.39%4.36%4.26%
Sharpe Ratio 0.470.661.09
Sortino Ratio 0.671.002.45
Ulcer Perf. Index 1.161.862.73
Beta 0.420.650.28
Downside Beta 0.500.720.12
Treynor Ratio
Jensen's Alpha -1.86%-0.80%7.81%
Mac's Alpha -3.00%-1.79%9.97%

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?