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 | 26.63% |
SLY | SPDR S&P 600 Small Cap ETF | 13.30% |
EFA | iShares MSCI EAFE ETF | 0.23% |
EEM | iShares MSCI Emerging Markets ETF | 0.79% |
VNQ | Vanguard Real Estate ETF | 4.30% |
TLT | iShares 20+ Year Treasury Bond ETF | 26.09% |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 9.82% |
GLD | SPDR Gold Shares | 18.85% |
Save portfolio » |
Portfolio | Expected Return | Standard Deviation | Sharpe Ratio |
---|---|---|---|
Provided Portfolio | 7.17% | 12.13% | 0.50 |
Max Sharpe Ratio Portfolio | 7.64% | 9.45% | 0.69 |
# | Asset | Expected Return | Standard Deviation | Sharpe Ratio | Min. Weight | Max. Weight |
---|---|---|---|---|---|---|
1 | SPDR S&P 500 ETF Trust (SPY) | 9.80% | 15.51% | 0.560 | 0.00% | 100.00% |
2 | SPDR S&P 600 Small Cap ETF (SLY) | 10.77% | 20.31% | 0.476 | 0.00% | 100.00% |
3 | iShares MSCI EAFE ETF (EFA) | 5.07% | 17.73% | 0.223 | 0.00% | 100.00% |
4 | iShares MSCI Emerging Markets ETF (EEM) | 5.87% | 21.84% | 0.218 | 0.00% | 100.00% |
5 | Vanguard Real Estate ETF (VNQ) | 8.80% | 22.70% | 0.339 | 0.00% | 100.00% |
6 | iShares 20+ Year Treasury Bond ETF (TLT) | 4.44% | 13.74% | 0.243 | 0.00% | 100.00% |
7 | iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD) | 4.14% | 7.97% | 0.381 | 0.00% | 100.00% |
8 | SPDR Gold Shares (GLD) | 8.50% | 17.25% | 0.429 | 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 | -0.19 | 0.41 | 0.08 |
SPDR S&P 600 Small Cap ETF | SLY | 0.90 | 1.00 | 0.81 | 0.72 | 0.74 | -0.29 | 0.34 | 0.03 |
iShares MSCI EAFE ETF | EFA | 0.88 | 0.81 | 1.00 | 0.87 | 0.71 | -0.16 | 0.47 | 0.17 |
iShares MSCI Emerging Markets ETF | EEM | 0.75 | 0.72 | 0.87 | 1.00 | 0.61 | -0.16 | 0.42 | 0.30 |
Vanguard Real Estate ETF | VNQ | 0.74 | 0.74 | 0.71 | 0.61 | 1.00 | 0.04 | 0.49 | 0.12 |
iShares 20+ Year Treasury Bond ETF | TLT | -0.19 | -0.29 | -0.16 | -0.16 | 0.04 | 1.00 | 0.55 | 0.23 |
iShares iBoxx $ Invmt Grade Corp Bd ETF | LQD | 0.41 | 0.34 | 0.47 | 0.42 | 0.49 | 0.55 | 1.00 | 0.28 |
SPDR Gold Shares | GLD | 0.08 | 0.03 | 0.17 | 0.30 | 0.12 | 0.23 | 0.28 | 1.00 |
Based on monthly returns from Jan 2006 to Dec 2022 |
# | SPY | SLY | EFA | EEM | VNQ | TLT | LQD | GLD | Expected Return * | Standard Deviation * | Sharpe Ratio * |
---|---|---|---|---|---|---|---|---|---|---|---|
1 | 8.91% | 1.52% | 0.02% | 0.00% | 0.00% | 8.63% | 72.33% | 8.59% | 5.15% | 7.75% | 0.522 |
2 | 9.47% | 1.61% | 0.01% | 0.00% | 0.00% | 8.95% | 71.21% | 8.74% | 5.19% | 7.75% | 0.528 |
3 | 9.99% | 1.74% | 0.01% | 0.00% | 0.00% | 9.29% | 70.07% | 8.90% | 5.24% | 7.75% | 0.533 |
4 | 10.48% | 1.87% | 0.01% | 0.00% | 0.01% | 9.66% | 68.91% | 9.06% | 5.28% | 7.76% | 0.539 |
5 | 10.96% | 2.03% | 0.00% | 0.01% | 0.01% | 10.04% | 67.74% | 9.22% | 5.33% | 7.76% | 0.544 |
6 | 11.43% | 2.19% | 0.00% | 0.01% | 0.02% | 10.43% | 66.55% | 9.37% | 5.37% | 7.77% | 0.550 |
7 | 11.91% | 2.36% | 0.00% | 0.01% | 0.03% | 10.81% | 65.33% | 9.54% | 5.42% | 7.78% | 0.555 |
8 | 12.36% | 2.55% | 0.00% | 0.02% | 0.04% | 11.21% | 64.11% | 9.71% | 5.47% | 7.78% | 0.561 |
9 | 12.80% | 2.75% | 0.00% | 0.02% | 0.06% | 11.63% | 62.86% | 9.88% | 5.52% | 7.79% | 0.566 |
10 | 13.24% | 2.94% | 0.00% | 0.03% | 0.08% | 12.06% | 61.61% | 10.04% | 5.56% | 7.81% | 0.571 |
11 | 13.67% | 3.15% | 0.00% | 0.04% | 0.10% | 12.49% | 60.35% | 10.20% | 5.61% | 7.82% | 0.577 |
12 | 14.10% | 3.35% | 0.00% | 0.04% | 0.12% | 12.92% | 59.09% | 10.37% | 5.66% | 7.83% | 0.582 |
13 | 14.50% | 3.58% | 0.00% | 0.05% | 0.15% | 13.36% | 57.83% | 10.53% | 5.70% | 7.85% | 0.587 |
14 | 14.90% | 3.81% | 0.00% | 0.06% | 0.17% | 13.80% | 56.57% | 10.68% | 5.75% | 7.86% | 0.591 |
15 | 15.28% | 4.06% | 0.00% | 0.07% | 0.20% | 14.26% | 55.28% | 10.85% | 5.80% | 7.88% | 0.596 |
16 | 15.65% | 4.32% | 0.00% | 0.08% | 0.24% | 14.72% | 53.97% | 11.03% | 5.85% | 7.90% | 0.601 |
17 | 16.01% | 4.56% | 0.01% | 0.09% | 0.28% | 15.18% | 52.66% | 11.20% | 5.90% | 7.92% | 0.605 |
18 | 16.37% | 4.81% | 0.02% | 0.10% | 0.33% | 15.64% | 51.34% | 11.39% | 5.95% | 7.94% | 0.610 |
19 | 16.74% | 5.05% | 0.03% | 0.12% | 0.38% | 16.12% | 50.00% | 11.57% | 5.99% | 7.96% | 0.614 |
20 | 17.09% | 5.30% | 0.04% | 0.13% | 0.43% | 16.59% | 48.66% | 11.75% | 6.04% | 7.99% | 0.619 |
21 | 17.45% | 5.55% | 0.04% | 0.15% | 0.49% | 17.06% | 47.33% | 11.94% | 6.09% | 8.01% | 0.623 |
22 | 17.81% | 5.79% | 0.05% | 0.17% | 0.55% | 17.53% | 45.99% | 12.12% | 6.14% | 8.04% | 0.627 |
23 | 18.16% | 6.03% | 0.06% | 0.19% | 0.61% | 17.99% | 44.66% | 12.31% | 6.19% | 8.07% | 0.631 |
24 | 18.51% | 6.27% | 0.06% | 0.21% | 0.68% | 18.46% | 43.32% | 12.50% | 6.24% | 8.10% | 0.634 |
25 | 18.86% | 6.51% | 0.07% | 0.23% | 0.75% | 18.92% | 41.98% | 12.68% | 6.29% | 8.13% | 0.638 |
26 | 19.22% | 6.74% | 0.08% | 0.24% | 0.82% | 19.39% | 40.64% | 12.87% | 6.34% | 8.16% | 0.642 |
27 | 19.59% | 6.97% | 0.09% | 0.26% | 0.89% | 19.85% | 39.30% | 13.06% | 6.39% | 8.19% | 0.645 |
28 | 19.95% | 7.21% | 0.09% | 0.28% | 0.96% | 20.31% | 37.95% | 13.25% | 6.44% | 8.22% | 0.648 |
29 | 20.30% | 7.45% | 0.10% | 0.30% | 1.04% | 20.77% | 36.62% | 13.44% | 6.48% | 8.26% | 0.652 |
30 | 20.64% | 7.70% | 0.11% | 0.31% | 1.11% | 21.22% | 35.28% | 13.63% | 6.53% | 8.29% | 0.655 |
31 | 20.97% | 7.94% | 0.11% | 0.33% | 1.19% | 21.67% | 33.96% | 13.82% | 6.58% | 8.33% | 0.658 |
32 | 21.29% | 8.20% | 0.12% | 0.35% | 1.28% | 22.10% | 32.65% | 14.01% | 6.63% | 8.37% | 0.661 |
33 | 21.62% | 8.44% | 0.12% | 0.38% | 1.36% | 22.53% | 31.35% | 14.20% | 6.68% | 8.41% | 0.663 |
34 | 21.94% | 8.69% | 0.13% | 0.39% | 1.45% | 22.95% | 30.05% | 14.40% | 6.73% | 8.45% | 0.666 |
35 | 22.25% | 8.94% | 0.14% | 0.41% | 1.55% | 23.35% | 28.77% | 14.60% | 6.78% | 8.49% | 0.669 |
36 | 22.55% | 9.19% | 0.14% | 0.43% | 1.64% | 23.74% | 27.51% | 14.80% | 6.83% | 8.53% | 0.671 |
37 | 22.85% | 9.45% | 0.15% | 0.45% | 1.74% | 24.12% | 26.24% | 15.00% | 6.88% | 8.57% | 0.673 |
38 | 23.13% | 9.71% | 0.15% | 0.47% | 1.84% | 24.49% | 25.01% | 15.21% | 6.92% | 8.62% | 0.676 |
39 | 23.41% | 9.96% | 0.16% | 0.49% | 1.95% | 24.83% | 23.79% | 15.41% | 6.97% | 8.66% | 0.678 |
40 | 23.70% | 10.22% | 0.16% | 0.50% | 2.06% | 25.15% | 22.59% | 15.62% | 7.02% | 8.71% | 0.680 |
41 | 23.97% | 10.47% | 0.17% | 0.52% | 2.17% | 25.45% | 21.42% | 15.83% | 7.07% | 8.75% | 0.681 |
42 | 24.20% | 10.73% | 0.17% | 0.54% | 2.30% | 25.71% | 20.29% | 16.05% | 7.12% | 8.80% | 0.683 |
43 | 24.43% | 10.99% | 0.18% | 0.56% | 2.44% | 25.93% | 19.21% | 16.27% | 7.16% | 8.85% | 0.685 |
44 | 24.63% | 11.24% | 0.18% | 0.58% | 2.58% | 26.12% | 18.17% | 16.50% | 7.21% | 8.90% | 0.686 |
45 | 24.84% | 11.48% | 0.19% | 0.60% | 2.74% | 26.30% | 17.15% | 16.71% | 7.25% | 8.95% | 0.687 |
46 | 25.05% | 11.72% | 0.19% | 0.62% | 2.89% | 26.43% | 16.16% | 16.94% | 7.30% | 9.00% | 0.688 |
47 | 25.26% | 11.96% | 0.20% | 0.64% | 3.04% | 26.56% | 15.19% | 17.16% | 7.34% | 9.06% | 0.689 |
48 | 25.46% | 12.18% | 0.20% | 0.66% | 3.21% | 26.61% | 14.28% | 17.39% | 7.39% | 9.11% | 0.690 |
49 | 25.66% | 12.39% | 0.21% | 0.68% | 3.39% | 26.62% | 13.43% | 17.62% | 7.43% | 9.17% | 0.690 |
50 | 25.85% | 12.58% | 0.21% | 0.70% | 3.57% | 26.59% | 12.63% | 17.86% | 7.47% | 9.22% | 0.691 |
51 | 26.05% | 12.77% | 0.22% | 0.72% | 3.75% | 26.51% | 11.88% | 18.10% | 7.52% | 9.28% | 0.691 |
52 | 26.24% | 12.96% | 0.22% | 0.74% | 3.93% | 26.41% | 11.15% | 18.34% | 7.56% | 9.34% | 0.692 |
53 | 26.44% | 13.13% | 0.23% | 0.77% | 4.11% | 26.26% | 10.47% | 18.59% | 7.60% | 9.39% | 0.692 |
54 | 26.63% | 13.30% | 0.23% | 0.79% | 4.30% | 26.09% | 9.82% | 18.85% | 7.64% | 9.45% | 0.692 |
55 | 26.81% | 13.47% | 0.24% | 0.81% | 4.48% | 25.89% | 9.19% | 19.11% | 7.68% | 9.51% | 0.692 |
56 | 26.99% | 13.64% | 0.24% | 0.84% | 4.67% | 25.65% | 8.61% | 19.37% | 7.73% | 9.57% | 0.692 |
57 | 27.13% | 13.82% | 0.25% | 0.86% | 4.87% | 25.37% | 8.07% | 19.63% | 7.77% | 9.64% | 0.691 |
58 | 27.26% | 14.01% | 0.25% | 0.88% | 5.07% | 25.07% | 7.57% | 19.89% | 7.81% | 9.70% | 0.691 |
59 | 27.38% | 14.20% | 0.25% | 0.90% | 5.27% | 24.75% | 7.09% | 20.16% | 7.85% | 9.77% | 0.690 |
60 | 27.49% | 14.41% | 0.25% | 0.92% | 5.48% | 24.42% | 6.61% | 20.42% | 7.89% | 9.83% | 0.690 |
61 | 27.61% | 14.59% | 0.25% | 0.94% | 5.69% | 24.06% | 6.17% | 20.69% | 7.93% | 9.90% | 0.689 |
62 | 27.72% | 14.78% | 0.24% | 0.96% | 5.91% | 23.69% | 5.75% | 20.95% | 7.97% | 9.97% | 0.688 |
63 | 27.74% | 15.02% | 0.24% | 0.99% | 6.13% | 23.31% | 5.35% | 21.21% | 8.00% | 10.04% | 0.687 |
64 | 27.77% | 15.25% | 0.24% | 1.01% | 6.36% | 22.92% | 4.98% | 21.47% | 8.04% | 10.11% | 0.686 |
65 | 27.81% | 15.47% | 0.24% | 1.04% | 6.60% | 22.48% | 4.63% | 21.72% | 8.08% | 10.19% | 0.685 |
66 | 27.86% | 15.67% | 0.24% | 1.07% | 6.86% | 22.05% | 4.30% | 21.95% | 8.12% | 10.26% | 0.683 |
67 | 27.89% | 15.88% | 0.24% | 1.10% | 7.12% | 21.61% | 3.98% | 22.17% | 8.15% | 10.34% | 0.682 |
68 | 27.90% | 16.09% | 0.24% | 1.16% | 7.38% | 21.13% | 3.68% | 22.42% | 8.19% | 10.42% | 0.680 |
69 | 27.91% | 16.28% | 0.24% | 1.21% | 7.65% | 20.65% | 3.40% | 22.66% | 8.23% | 10.50% | 0.678 |
70 | 27.90% | 16.47% | 0.24% | 1.26% | 7.93% | 20.14% | 3.15% | 22.90% | 8.26% | 10.59% | 0.676 |
71 | 27.88% | 16.68% | 0.24% | 1.32% | 8.21% | 19.62% | 2.91% | 23.14% | 8.30% | 10.67% | 0.674 |
72 | 27.83% | 16.91% | 0.24% | 1.37% | 8.50% | 19.09% | 2.68% | 23.36% | 8.33% | 10.76% | 0.672 |
73 | 27.79% | 17.15% | 0.25% | 1.45% | 8.80% | 18.55% | 2.45% | 23.57% | 8.37% | 10.85% | 0.670 |
74 | 27.73% | 17.40% | 0.25% | 1.51% | 9.10% | 18.02% | 2.23% | 23.76% | 8.40% | 10.94% | 0.667 |
75 | 27.66% | 17.65% | 0.25% | 1.58% | 9.42% | 17.49% | 2.02% | 23.94% | 8.44% | 11.04% | 0.665 |
76 | 27.55% | 17.94% | 0.23% | 1.67% | 9.73% | 16.97% | 1.83% | 24.09% | 8.47% | 11.13% | 0.662 |
77 | 27.41% | 18.24% | 0.21% | 1.76% | 10.05% | 16.46% | 1.66% | 24.22% | 8.50% | 11.23% | 0.659 |
78 | 27.22% | 18.57% | 0.18% | 1.85% | 10.38% | 15.93% | 1.50% | 24.36% | 8.54% | 11.33% | 0.656 |
79 | 27.04% | 18.93% | 0.16% | 1.95% | 10.72% | 15.39% | 1.36% | 24.45% | 8.57% | 11.43% | 0.653 |
80 | 26.86% | 19.29% | 0.14% | 2.05% | 11.07% | 14.83% | 1.23% | 24.52% | 8.60% | 11.54% | 0.650 |
81 | 26.66% | 19.66% | 0.12% | 2.15% | 11.44% | 14.28% | 1.12% | 24.56% | 8.64% | 11.65% | 0.647 |
82 | 26.41% | 20.05% | 0.12% | 2.26% | 11.81% | 13.74% | 1.03% | 24.59% | 8.67% | 11.76% | 0.643 |
83 | 26.13% | 20.44% | 0.12% | 2.36% | 12.19% | 13.21% | 0.94% | 24.61% | 8.69% | 11.86% | 0.640 |
84 | 25.83% | 20.86% | 0.12% | 2.47% | 12.56% | 12.70% | 0.85% | 24.61% | 8.72% | 11.97% | 0.636 |
85 | 25.51% | 21.28% | 0.12% | 2.57% | 12.96% | 12.20% | 0.77% | 24.58% | 8.75% | 12.09% | 0.633 |
86 | 25.17% | 21.72% | 0.12% | 2.67% | 13.38% | 11.71% | 0.69% | 24.54% | 8.78% | 12.20% | 0.629 |
87 | 24.79% | 22.17% | 0.12% | 2.77% | 13.82% | 11.22% | 0.61% | 24.50% | 8.81% | 12.32% | 0.625 |
88 | 24.32% | 22.69% | 0.11% | 2.87% | 14.30% | 10.77% | 0.53% | 24.40% | 8.83% | 12.44% | 0.621 |
89 | 23.70% | 23.30% | 0.11% | 2.97% | 14.82% | 10.35% | 0.46% | 24.29% | 8.86% | 12.56% | 0.617 |
90 | 22.92% | 24.01% | 0.10% | 3.08% | 15.36% | 9.94% | 0.40% | 24.19% | 8.88% | 12.69% | 0.613 |
91 | 22.01% | 24.83% | 0.09% | 3.19% | 15.92% | 9.55% | 0.34% | 24.08% | 8.91% | 12.82% | 0.609 |
92 | 20.93% | 25.77% | 0.09% | 3.29% | 16.48% | 9.17% | 0.28% | 23.98% | 8.93% | 12.95% | 0.604 |
93 | 19.68% | 26.87% | 0.09% | 3.38% | 17.06% | 8.82% | 0.22% | 23.88% | 8.95% | 13.09% | 0.600 |
94 | 18.34% | 27.97% | 0.09% | 3.47% | 17.70% | 8.50% | 0.18% | 23.76% | 8.98% | 13.24% | 0.595 |
95 | 16.95% | 29.13% | 0.07% | 3.55% | 18.36% | 8.20% | 0.14% | 23.59% | 9.00% | 13.38% | 0.590 |
96 | 15.55% | 30.19% | 0.06% | 3.61% | 19.11% | 7.95% | 0.10% | 23.42% | 9.02% | 13.52% | 0.585 |
97 | 14.19% | 31.12% | 0.04% | 3.66% | 19.96% | 7.74% | 0.07% | 23.22% | 9.03% | 13.66% | 0.581 |
98 | 12.87% | 31.49% | 0.03% | 3.82% | 21.11% | 7.60% | 0.04% | 23.04% | 9.03% | 13.79% | 0.575 |
99 | 11.37% | 31.90% | 0.01% | 3.97% | 22.31% | 7.54% | 0.02% | 22.88% | 9.02% | 13.91% | 0.570 |
100 | 9.50% | 33.49% | 0.00% | 3.50% | 23.00% | 7.50% | 0.00% | 23.00% | 9.05% | 14.01% | 0.568 |
*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. |