Ticker | Name | Allocation |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 12.50% |
SLY | SPDR S&P 600 Small Cap ETF | 12.50% |
EFA | iShares MSCI EAFE ETF | 12.50% |
EEM | iShares MSCI Emerging Markets ETF | 12.50% |
VNQ | Vanguard Real Estate ETF | 12.50% |
TLT | iShares 20+ Year Treasury Bond ETF | 12.50% |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 12.50% |
GLD | SPDR Gold Shares | 12.50% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 32.54% |
SLY | SPDR S&P 600 Small Cap ETF | 11.64% |
EFA | iShares MSCI EAFE ETF | 0.25% |
EEM | iShares MSCI Emerging Markets ETF | 0.23% |
VNQ | Vanguard Real Estate ETF | 1.88% |
TLT | iShares 20+ Year Treasury Bond ETF | 25.03% |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 6.76% |
GLD | SPDR Gold Shares | 21.66% |
Save portfolio » |
Portfolio | Expected Return | Standard Deviation | Sharpe Ratio |
---|---|---|---|
Provided Portfolio | 7.23% | 12.20% | 0.50 |
Max Sharpe Ratio Portfolio | 8.03% | 9.59% | 0.71 |
# | Asset | Expected Return | Standard Deviation | Sharpe Ratio | Min. Weight | Max. Weight |
---|---|---|---|---|---|---|
1 | SPDR S&P 500 ETF Trust (SPY) | 10.11% | 15.42% | 0.579 | 0.00% | 100.00% |
2 | SPDR S&P 600 Small Cap ETF (SLY) | 10.43% | 20.25% | 0.456 | 0.00% | 100.00% |
3 | iShares MSCI EAFE ETF (EFA) | 5.40% | 17.71% | 0.238 | 0.00% | 100.00% |
4 | iShares MSCI Emerging Markets ETF (EEM) | 5.82% | 21.79% | 0.212 | 0.00% | 100.00% |
5 | Vanguard Real Estate ETF (VNQ) | 8.51% | 22.64% | 0.323 | 0.00% | 100.00% |
6 | iShares 20+ Year Treasury Bond ETF (TLT) | 4.61% | 13.82% | 0.247 | 0.00% | 100.00% |
7 | iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD) | 4.25% | 8.09% | 0.379 | 0.00% | 100.00% |
8 | SPDR Gold Shares (GLD) | 8.74% | 17.24% | 0.438 | 0.00% | 100.00% |
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate. |
Name | Ticker | SPY | SLY | EFA | EEM | VNQ | TLT | LQD | GLD |
---|---|---|---|---|---|---|---|---|---|
SPDR S&P 500 ETF Trust | SPY | 1.00 | 0.90 | 0.88 | 0.75 | 0.74 | -0.17 | 0.43 | 0.09 |
SPDR S&P 600 Small Cap ETF | SLY | 0.90 | 1.00 | 0.81 | 0.72 | 0.75 | -0.27 | 0.34 | 0.03 |
iShares MSCI EAFE ETF | EFA | 0.88 | 0.81 | 1.00 | 0.87 | 0.71 | -0.13 | 0.48 | 0.18 |
iShares MSCI Emerging Markets ETF | EEM | 0.75 | 0.72 | 0.87 | 1.00 | 0.61 | -0.13 | 0.44 | 0.31 |
Vanguard Real Estate ETF | VNQ | 0.74 | 0.75 | 0.71 | 0.61 | 1.00 | 0.06 | 0.49 | 0.13 |
iShares 20+ Year Treasury Bond ETF | TLT | -0.17 | -0.27 | -0.13 | -0.13 | 0.06 | 1.00 | 0.57 | 0.25 |
iShares iBoxx $ Invmt Grade Corp Bd ETF | LQD | 0.43 | 0.34 | 0.48 | 0.44 | 0.49 | 0.57 | 1.00 | 0.30 |
SPDR Gold Shares | GLD | 0.09 | 0.03 | 0.18 | 0.31 | 0.13 | 0.25 | 0.30 | 1.00 |
Based on monthly returns from Jan 2006 to May 2023 |
# | SPY | SLY | EFA | EEM | VNQ | TLT | LQD | GLD | Expected Return * | Standard Deviation * | Sharpe Ratio * |
---|---|---|---|---|---|---|---|---|---|---|---|
1 | 9.04% | 1.50% | 0.00% | 0.00% | 0.00% | 7.78% | 73.61% | 8.08% | 5.27% | 7.90% | 0.516 |
2 | 9.62% | 1.55% | 0.01% | 0.00% | 0.00% | 8.11% | 72.40% | 8.31% | 5.31% | 7.90% | 0.522 |
3 | 10.18% | 1.63% | 0.02% | 0.00% | 0.00% | 8.47% | 71.17% | 8.53% | 5.36% | 7.90% | 0.528 |
4 | 10.75% | 1.71% | 0.02% | 0.00% | 0.00% | 8.85% | 69.92% | 8.75% | 5.41% | 7.91% | 0.534 |
5 | 11.31% | 1.80% | 0.03% | 0.00% | 0.00% | 9.23% | 68.66% | 8.96% | 5.46% | 7.91% | 0.540 |
6 | 11.85% | 1.91% | 0.04% | 0.00% | 0.00% | 9.63% | 67.40% | 9.17% | 5.51% | 7.92% | 0.546 |
7 | 12.37% | 2.03% | 0.04% | 0.00% | 0.00% | 10.04% | 66.14% | 9.38% | 5.56% | 7.92% | 0.552 |
8 | 12.90% | 2.15% | 0.05% | 0.00% | 0.00% | 10.45% | 64.87% | 9.59% | 5.61% | 7.93% | 0.557 |
9 | 13.41% | 2.28% | 0.06% | 0.00% | 0.00% | 10.87% | 63.59% | 9.79% | 5.66% | 7.94% | 0.563 |
10 | 13.92% | 2.42% | 0.06% | 0.00% | 0.00% | 11.28% | 62.32% | 10.00% | 5.71% | 7.95% | 0.568 |
11 | 14.42% | 2.56% | 0.07% | 0.00% | 0.00% | 11.70% | 61.04% | 10.21% | 5.76% | 7.96% | 0.574 |
12 | 14.92% | 2.71% | 0.07% | 0.00% | 0.00% | 12.12% | 59.76% | 10.42% | 5.81% | 7.97% | 0.579 |
13 | 15.42% | 2.86% | 0.08% | 0.00% | 0.00% | 12.55% | 58.46% | 10.63% | 5.86% | 7.99% | 0.584 |
14 | 15.92% | 3.01% | 0.09% | 0.00% | 0.01% | 12.98% | 57.15% | 10.84% | 5.91% | 8.00% | 0.590 |
15 | 16.41% | 3.17% | 0.09% | 0.00% | 0.01% | 13.42% | 55.84% | 11.06% | 5.96% | 8.02% | 0.595 |
16 | 16.89% | 3.34% | 0.10% | 0.00% | 0.02% | 13.85% | 54.52% | 11.27% | 6.01% | 8.03% | 0.600 |
17 | 17.35% | 3.52% | 0.10% | 0.01% | 0.04% | 14.29% | 53.22% | 11.49% | 6.06% | 8.05% | 0.604 |
18 | 17.80% | 3.69% | 0.10% | 0.01% | 0.06% | 14.72% | 51.92% | 11.71% | 6.10% | 8.07% | 0.609 |
19 | 18.25% | 3.87% | 0.10% | 0.01% | 0.08% | 15.16% | 50.61% | 11.93% | 6.15% | 8.09% | 0.614 |
20 | 18.70% | 4.05% | 0.10% | 0.02% | 0.10% | 15.60% | 49.29% | 12.15% | 6.20% | 8.11% | 0.618 |
21 | 19.15% | 4.23% | 0.10% | 0.02% | 0.12% | 16.04% | 47.96% | 12.37% | 6.25% | 8.13% | 0.623 |
22 | 19.60% | 4.41% | 0.10% | 0.02% | 0.15% | 16.48% | 46.64% | 12.60% | 6.30% | 8.16% | 0.627 |
23 | 20.05% | 4.59% | 0.10% | 0.03% | 0.17% | 16.92% | 45.33% | 12.82% | 6.35% | 8.18% | 0.631 |
24 | 20.50% | 4.77% | 0.10% | 0.03% | 0.20% | 17.35% | 44.01% | 13.05% | 6.41% | 8.21% | 0.636 |
25 | 20.95% | 4.94% | 0.10% | 0.03% | 0.23% | 17.79% | 42.68% | 13.27% | 6.46% | 8.23% | 0.640 |
26 | 21.41% | 5.12% | 0.10% | 0.04% | 0.26% | 18.22% | 41.34% | 13.50% | 6.51% | 8.26% | 0.644 |
27 | 21.87% | 5.31% | 0.10% | 0.04% | 0.29% | 18.67% | 40.00% | 13.73% | 6.56% | 8.29% | 0.648 |
28 | 22.34% | 5.49% | 0.10% | 0.04% | 0.31% | 19.11% | 38.64% | 13.97% | 6.61% | 8.32% | 0.652 |
29 | 22.80% | 5.67% | 0.11% | 0.05% | 0.34% | 19.55% | 37.29% | 14.20% | 6.66% | 8.35% | 0.655 |
30 | 23.26% | 5.85% | 0.11% | 0.05% | 0.37% | 20.00% | 35.93% | 14.44% | 6.71% | 8.38% | 0.659 |
31 | 23.72% | 6.03% | 0.12% | 0.05% | 0.40% | 20.45% | 34.56% | 14.67% | 6.77% | 8.41% | 0.663 |
32 | 24.19% | 6.22% | 0.12% | 0.06% | 0.43% | 20.89% | 33.19% | 14.91% | 6.82% | 8.45% | 0.666 |
33 | 24.65% | 6.41% | 0.12% | 0.06% | 0.45% | 21.34% | 31.82% | 15.15% | 6.87% | 8.48% | 0.670 |
34 | 25.11% | 6.60% | 0.13% | 0.06% | 0.48% | 21.78% | 30.46% | 15.39% | 6.92% | 8.52% | 0.673 |
35 | 25.54% | 6.79% | 0.13% | 0.07% | 0.52% | 22.21% | 29.12% | 15.63% | 6.97% | 8.56% | 0.676 |
36 | 25.97% | 6.99% | 0.13% | 0.07% | 0.56% | 22.62% | 27.79% | 15.87% | 7.02% | 8.59% | 0.679 |
37 | 26.40% | 7.18% | 0.14% | 0.07% | 0.60% | 23.02% | 26.49% | 16.11% | 7.08% | 8.63% | 0.682 |
38 | 26.81% | 7.38% | 0.14% | 0.08% | 0.64% | 23.38% | 25.22% | 16.34% | 7.13% | 8.67% | 0.685 |
39 | 27.20% | 7.58% | 0.15% | 0.08% | 0.69% | 23.73% | 24.00% | 16.58% | 7.17% | 8.71% | 0.687 |
40 | 27.59% | 7.77% | 0.15% | 0.08% | 0.74% | 24.05% | 22.80% | 16.82% | 7.22% | 8.75% | 0.690 |
41 | 27.97% | 7.97% | 0.15% | 0.09% | 0.78% | 24.37% | 21.61% | 17.06% | 7.27% | 8.79% | 0.692 |
42 | 28.33% | 8.18% | 0.16% | 0.10% | 0.83% | 24.67% | 20.43% | 17.30% | 7.32% | 8.83% | 0.694 |
43 | 28.69% | 8.38% | 0.16% | 0.10% | 0.88% | 24.97% | 19.27% | 17.54% | 7.37% | 8.87% | 0.696 |
44 | 29.04% | 8.59% | 0.17% | 0.11% | 0.93% | 25.24% | 18.14% | 17.79% | 7.42% | 8.92% | 0.698 |
45 | 29.36% | 8.81% | 0.17% | 0.12% | 0.98% | 25.47% | 17.05% | 18.04% | 7.46% | 8.96% | 0.700 |
46 | 29.67% | 9.04% | 0.17% | 0.12% | 1.03% | 25.67% | 16.00% | 18.29% | 7.51% | 9.00% | 0.702 |
47 | 29.97% | 9.27% | 0.18% | 0.13% | 1.08% | 25.84% | 14.99% | 18.54% | 7.55% | 9.05% | 0.704 |
48 | 30.26% | 9.51% | 0.18% | 0.13% | 1.13% | 25.97% | 14.01% | 18.80% | 7.60% | 9.09% | 0.705 |
49 | 30.54% | 9.74% | 0.19% | 0.14% | 1.18% | 26.07% | 13.08% | 19.06% | 7.65% | 9.14% | 0.707 |
50 | 30.81% | 9.97% | 0.20% | 0.15% | 1.23% | 26.12% | 12.20% | 19.33% | 7.69% | 9.18% | 0.708 |
51 | 31.05% | 10.20% | 0.20% | 0.16% | 1.29% | 26.10% | 11.38% | 19.61% | 7.73% | 9.23% | 0.709 |
52 | 31.30% | 10.42% | 0.21% | 0.16% | 1.36% | 26.06% | 10.58% | 19.90% | 7.78% | 9.28% | 0.710 |
53 | 31.53% | 10.63% | 0.22% | 0.17% | 1.44% | 25.97% | 9.85% | 20.19% | 7.82% | 9.33% | 0.711 |
54 | 31.74% | 10.84% | 0.22% | 0.18% | 1.52% | 25.84% | 9.17% | 20.49% | 7.86% | 9.38% | 0.712 |
55 | 31.96% | 11.04% | 0.23% | 0.19% | 1.60% | 25.68% | 8.52% | 20.78% | 7.90% | 9.43% | 0.712 |
56 | 32.17% | 11.24% | 0.24% | 0.20% | 1.69% | 25.49% | 7.90% | 21.07% | 7.95% | 9.48% | 0.713 |
57 | 32.36% | 11.44% | 0.24% | 0.21% | 1.78% | 25.28% | 7.31% | 21.37% | 7.99% | 9.54% | 0.713 |
58 | 32.54% | 11.64% | 0.25% | 0.23% | 1.88% | 25.03% | 6.76% | 21.66% | 8.03% | 9.59% | 0.713 |
59 | 32.72% | 11.83% | 0.24% | 0.26% | 1.98% | 24.75% | 6.26% | 21.96% | 8.06% | 9.64% | 0.713 |
60 | 32.89% | 12.01% | 0.24% | 0.30% | 2.08% | 24.43% | 5.79% | 22.27% | 8.10% | 9.70% | 0.713 |
61 | 33.04% | 12.19% | 0.24% | 0.33% | 2.18% | 24.09% | 5.33% | 22.58% | 8.14% | 9.76% | 0.713 |
62 | 33.20% | 12.38% | 0.23% | 0.37% | 2.29% | 23.73% | 4.91% | 22.90% | 8.18% | 9.82% | 0.712 |
63 | 33.34% | 12.57% | 0.23% | 0.40% | 2.39% | 23.35% | 4.50% | 23.22% | 8.22% | 9.88% | 0.712 |
64 | 33.45% | 12.79% | 0.23% | 0.44% | 2.49% | 22.93% | 4.13% | 23.54% | 8.26% | 9.94% | 0.711 |
65 | 33.54% | 13.03% | 0.22% | 0.47% | 2.60% | 22.50% | 3.79% | 23.85% | 8.29% | 10.00% | 0.710 |
66 | 33.63% | 13.25% | 0.22% | 0.51% | 2.71% | 22.05% | 3.47% | 24.17% | 8.33% | 10.06% | 0.710 |
67 | 33.68% | 13.49% | 0.22% | 0.55% | 2.83% | 21.58% | 3.19% | 24.47% | 8.36% | 10.13% | 0.708 |
68 | 33.71% | 13.74% | 0.22% | 0.59% | 2.95% | 21.11% | 2.91% | 24.77% | 8.40% | 10.20% | 0.707 |
69 | 33.73% | 14.01% | 0.22% | 0.62% | 3.07% | 20.62% | 2.67% | 25.06% | 8.43% | 10.26% | 0.706 |
70 | 33.72% | 14.29% | 0.23% | 0.66% | 3.19% | 20.11% | 2.44% | 25.36% | 8.47% | 10.33% | 0.705 |
71 | 33.69% | 14.59% | 0.24% | 0.69% | 3.32% | 19.60% | 2.23% | 25.64% | 8.50% | 10.40% | 0.703 |
72 | 33.63% | 14.92% | 0.25% | 0.73% | 3.45% | 19.08% | 2.04% | 25.91% | 8.54% | 10.47% | 0.701 |
73 | 33.55% | 15.25% | 0.26% | 0.76% | 3.59% | 18.55% | 1.86% | 26.18% | 8.57% | 10.55% | 0.700 |
74 | 33.45% | 15.62% | 0.26% | 0.80% | 3.72% | 18.02% | 1.70% | 26.43% | 8.60% | 10.62% | 0.698 |
75 | 33.29% | 16.03% | 0.27% | 0.84% | 3.86% | 17.49% | 1.54% | 26.68% | 8.63% | 10.70% | 0.696 |
76 | 33.10% | 16.46% | 0.28% | 0.89% | 4.01% | 16.96% | 1.40% | 26.91% | 8.66% | 10.78% | 0.694 |
77 | 32.87% | 16.91% | 0.29% | 0.93% | 4.16% | 16.44% | 1.26% | 27.15% | 8.69% | 10.86% | 0.691 |
78 | 32.65% | 17.36% | 0.29% | 0.97% | 4.33% | 15.92% | 1.11% | 27.36% | 8.73% | 10.94% | 0.689 |
79 | 32.41% | 17.83% | 0.30% | 1.01% | 4.52% | 15.42% | 0.98% | 27.53% | 8.75% | 11.02% | 0.687 |
80 | 32.12% | 18.34% | 0.31% | 1.06% | 4.70% | 14.91% | 0.87% | 27.70% | 8.78% | 11.10% | 0.684 |
81 | 31.82% | 18.87% | 0.32% | 1.11% | 4.86% | 14.40% | 0.76% | 27.86% | 8.81% | 11.19% | 0.681 |
82 | 31.54% | 19.39% | 0.32% | 1.16% | 5.03% | 13.87% | 0.67% | 28.02% | 8.84% | 11.28% | 0.679 |
83 | 31.21% | 19.93% | 0.33% | 1.21% | 5.20% | 13.33% | 0.58% | 28.22% | 8.87% | 11.36% | 0.676 |
84 | 30.84% | 20.50% | 0.33% | 1.26% | 5.36% | 12.81% | 0.50% | 28.40% | 8.90% | 11.45% | 0.673 |
85 | 30.43% | 21.10% | 0.33% | 1.32% | 5.53% | 12.31% | 0.42% | 28.57% | 8.92% | 11.54% | 0.670 |
86 | 30.02% | 21.69% | 0.33% | 1.37% | 5.70% | 11.83% | 0.34% | 28.72% | 8.95% | 11.63% | 0.668 |
87 | 29.51% | 22.30% | 0.33% | 1.43% | 5.93% | 11.36% | 0.27% | 28.87% | 8.97% | 11.72% | 0.664 |
88 | 28.97% | 22.94% | 0.33% | 1.50% | 6.15% | 10.89% | 0.22% | 28.99% | 9.00% | 11.81% | 0.661 |
89 | 28.46% | 23.58% | 0.33% | 1.58% | 6.36% | 10.44% | 0.18% | 29.07% | 9.02% | 11.90% | 0.658 |
90 | 27.93% | 24.26% | 0.33% | 1.65% | 6.58% | 9.99% | 0.15% | 29.11% | 9.04% | 11.99% | 0.655 |
91 | 27.38% | 24.96% | 0.34% | 1.73% | 6.79% | 9.55% | 0.12% | 29.12% | 9.06% | 12.08% | 0.651 |
92 | 26.73% | 25.73% | 0.34% | 1.82% | 6.99% | 9.12% | 0.10% | 29.18% | 9.08% | 12.18% | 0.648 |
93 | 26.02% | 26.49% | 0.34% | 1.91% | 7.21% | 8.70% | 0.08% | 29.27% | 9.10% | 12.27% | 0.645 |
94 | 25.31% | 27.18% | 0.35% | 2.01% | 7.42% | 8.30% | 0.06% | 29.37% | 9.11% | 12.36% | 0.641 |
95 | 24.59% | 27.81% | 0.38% | 2.11% | 7.64% | 7.93% | 0.04% | 29.50% | 9.13% | 12.44% | 0.638 |
96 | 23.84% | 28.38% | 0.40% | 2.22% | 7.86% | 7.59% | 0.02% | 29.69% | 9.14% | 12.52% | 0.635 |
97 | 22.75% | 29.00% | 0.42% | 2.29% | 8.32% | 7.24% | 0.02% | 29.97% | 9.14% | 12.60% | 0.631 |
98 | 21.50% | 29.69% | 0.44% | 2.37% | 9.05% | 6.84% | 0.01% | 30.10% | 9.15% | 12.71% | 0.626 |
99 | 20.04% | 30.21% | 0.47% | 2.42% | 10.06% | 6.41% | 0.00% | 30.41% | 9.15% | 12.82% | 0.621 |
100 | 18.00% | 31.50% | 1.00% | 2.50% | 11.00% | 6.00% | 0.00% | 30.00% | 9.14% | 13.00% | 0.611 |
*Annualized ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate. |