Portfolio Optimization

This portfolio optimizer tool supports the following portfolio optimization strategies:

The optimization is based on the monthly return statistics of the selected portfolio assets for the given time period. The optimization result does not predict what allocation would perform best outside the given time period, and the actual performance of portfolios constructed using the optimized asset weights may vary from the given performance goal.

The required inputs for the optimization include the time range and the portfolio assets. Portfolio asset weights and constraints are optional. You can also use the Black-Litterman model based portfolio optimization, which allows the benchmark portfolio asset weights to be optimized based on investor's views.

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Asset Groups
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Portfolio Optimization Results (Jan 1995 - Jul 2022) Save

Portfolio optimization results with goal to maximize Sharpe ratio. The possible range of expected annual portfolio returns for the given period is 9.04% to 12.11%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Asset Class Allocation
US Large Cap 99.93%
Pacific Stocks 0.07%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$147,262
Annualized Return (CAGR)10.24%
Expected Return11.52%
Standard Deviation15.18%
Best Year37.42%
Worst Year-37.02%
Maximum Drawdown -50.97%
Sharpe Ratio (ex-ante)0.58
Sharpe Ratio (ex-post)0.58
Sortino Ratio0.85
Stock Market Correlation0.99
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Maximum Sharpe Ratio0.35%-12.65%-4.78%13.21%12.67%13.64%10.24%19.23%17.33%
Trailing return and volatility are as of last full calendar month ending July 2022
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • The annual results for 2022 are based on full calendar months from January to July.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1US Large Cap11.53%15.18%0.5810.00%100.00%
2US Small Cap12.12%19.43%0.4810.00%100.00%
3European Stocks8.32%17.74%0.3310.00%100.00%
4Emerging Markets8.21%22.17%0.2600.00%100.00%
5Pacific Stocks3.89%16.98%0.0990.00%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.

Asset Correlations

Efficient Frontier Asset Correlations
AssetUS Large CapUS Small CapEuropean StocksEmerging MarketsPacific Stocks
US Large Cap1.000.840.840.730.70
US Small Cap0.841.000.780.740.67
European Stocks0.840.781.000.770.74
Emerging Markets0.730.740.771.000.76
Pacific Stocks0.700.670.740.761.00
Based on monthly returns from Jan 1995 to Jul 2022
Efficient Frontier Assets
#US Large CapUS Small CapEuropean StocksEmerging MarketsPacific StocksExpected Return*Standard Deviation*Sharpe Ratio*
168.20%0.00%0.00%0.00%31.80%9.04%14.64%0.447
268.59%0.00%0.00%0.00%31.41%9.07%14.64%0.449
368.99%0.00%0.00%0.00%31.01%9.10%14.64%0.451
469.39%0.00%0.00%0.00%30.61%9.14%14.64%0.453
569.78%0.00%0.00%0.00%30.22%9.17%14.64%0.455
670.18%0.00%0.00%0.00%29.82%9.20%14.64%0.457
770.58%0.00%0.00%0.00%29.42%9.23%14.64%0.459
870.97%0.00%0.00%0.00%29.03%9.26%14.64%0.460
971.37%0.00%0.00%0.00%28.63%9.29%14.65%0.462
1071.77%0.00%0.00%0.00%28.23%9.32%14.65%0.464
1172.16%0.00%0.00%0.00%27.84%9.35%14.65%0.466
1272.56%0.00%0.00%0.00%27.44%9.38%14.65%0.468
1372.96%0.00%0.00%0.00%27.04%9.41%14.65%0.470
1473.35%0.00%0.00%0.00%26.65%9.44%14.65%0.472
1573.75%0.00%0.00%0.00%26.25%9.47%14.66%0.474
1674.15%0.00%0.00%0.00%25.85%9.50%14.66%0.475
1774.54%0.00%0.00%0.00%25.46%9.53%14.66%0.477
1874.94%0.00%0.00%0.00%25.06%9.57%14.66%0.479
1975.34%0.00%0.00%0.00%24.66%9.60%14.67%0.481
2075.73%0.00%0.00%0.00%24.27%9.63%14.67%0.483
2176.13%0.00%0.00%0.00%23.87%9.66%14.67%0.485
2276.53%0.00%0.00%0.00%23.47%9.69%14.68%0.486
2376.92%0.00%0.00%0.00%23.08%9.72%14.68%0.488
2477.32%0.00%0.00%0.00%22.68%9.75%14.69%0.490
2577.72%0.00%0.00%0.00%22.28%9.78%14.69%0.492
2678.11%0.00%0.00%0.00%21.89%9.81%14.69%0.494
2778.51%0.00%0.00%0.00%21.49%9.84%14.70%0.495
2878.91%0.00%0.00%0.00%21.09%9.87%14.70%0.497
2979.30%0.00%0.00%0.00%20.70%9.90%14.71%0.499
3079.70%0.00%0.00%0.00%20.30%9.94%14.71%0.501
3180.10%0.00%0.00%0.00%19.90%9.97%14.72%0.502
3280.49%0.00%0.00%0.00%19.51%10.00%14.72%0.504
3380.89%0.00%0.00%0.00%19.11%10.03%14.73%0.506
3481.29%0.00%0.00%0.00%18.71%10.06%14.73%0.508
3581.68%0.00%0.00%0.00%18.32%10.09%14.74%0.509
3682.08%0.00%0.00%0.00%17.92%10.12%14.74%0.511
3782.48%0.00%0.00%0.00%17.52%10.15%14.75%0.513
3882.87%0.00%0.00%0.00%17.13%10.18%14.76%0.514
3983.27%0.00%0.00%0.00%16.73%10.21%14.76%0.516
4083.67%0.00%0.00%0.00%16.33%10.24%14.77%0.518
4184.06%0.00%0.00%0.00%15.94%10.28%14.78%0.520
4284.46%0.00%0.00%0.00%15.54%10.31%14.78%0.521
4384.86%0.00%0.00%0.00%15.14%10.34%14.79%0.523
4485.25%0.00%0.00%0.00%14.75%10.37%14.80%0.525
4585.65%0.00%0.00%0.00%14.35%10.40%14.80%0.526
4686.05%0.00%0.00%0.00%13.95%10.43%14.81%0.528
4786.44%0.00%0.00%0.00%13.56%10.46%14.82%0.529
4886.84%0.00%0.00%0.00%13.16%10.49%14.83%0.531
4987.24%0.00%0.00%0.00%12.76%10.52%14.84%0.533
5087.63%0.00%0.00%0.00%12.37%10.55%14.84%0.534
5188.03%0.00%0.00%0.00%11.97%10.59%14.85%0.536
5288.43%0.00%0.00%0.00%11.57%10.62%14.86%0.538
5388.82%0.00%0.00%0.00%11.18%10.65%14.87%0.539
5489.22%0.00%0.00%0.00%10.78%10.68%14.88%0.541
5589.62%0.00%0.00%0.00%10.38%10.71%14.89%0.542
5690.01%0.00%0.00%0.00%9.99%10.74%14.90%0.544
5790.41%0.00%0.00%0.00%9.59%10.77%14.91%0.545
5890.81%0.00%0.00%0.00%9.19%10.80%14.92%0.547
5991.20%0.00%0.00%0.00%8.80%10.83%14.92%0.549
6091.60%0.00%0.00%0.00%8.40%10.87%14.93%0.550
6192.00%0.00%0.00%0.00%8.00%10.90%14.94%0.552
6292.39%0.00%0.00%0.00%7.61%10.93%14.95%0.553
6392.79%0.00%0.00%0.00%7.21%10.96%14.96%0.555
6493.19%0.00%0.00%0.00%6.81%10.99%14.98%0.556
6593.58%0.00%0.00%0.00%6.42%11.02%14.99%0.558
6693.98%0.00%0.00%0.00%6.02%11.05%15.00%0.559
6794.37%0.00%0.00%0.00%5.63%11.08%15.01%0.561
6894.77%0.00%0.00%0.00%5.23%11.11%15.02%0.562
6995.17%0.00%0.00%0.00%4.83%11.15%15.03%0.564
7095.56%0.00%0.00%0.00%4.44%11.18%15.04%0.565
7195.96%0.00%0.00%0.00%4.04%11.21%15.05%0.566
7296.36%0.00%0.00%0.00%3.64%11.24%15.06%0.568
7396.75%0.00%0.00%0.00%3.25%11.27%15.08%0.569
7497.15%0.00%0.00%0.00%2.85%11.30%15.09%0.571
7597.55%0.00%0.00%0.00%2.45%11.33%15.10%0.572
7697.94%0.00%0.00%0.00%2.06%11.36%15.11%0.574
7798.34%0.00%0.00%0.00%1.66%11.40%15.13%0.575
7898.74%0.00%0.00%0.00%1.26%11.43%15.14%0.576
7999.13%0.00%0.00%0.00%0.87%11.46%15.15%0.578
8099.53%0.00%0.00%0.00%0.47%11.49%15.16%0.579
8199.93%0.00%0.00%0.00%0.07%11.52%15.18%0.580
8295.66%4.34%0.00%0.00%0.00%11.55%15.24%0.580
8390.34%9.66%0.00%0.00%0.00%11.58%15.33%0.578
8485.03%14.97%0.00%0.00%0.00%11.61%15.44%0.576
8579.71%20.29%0.00%0.00%0.00%11.65%15.57%0.573
8674.40%25.60%0.00%0.00%0.00%11.68%15.72%0.569
8769.09%30.91%0.00%0.00%0.00%11.71%15.89%0.565
8863.77%36.23%0.00%0.00%0.00%11.74%16.07%0.560
8958.46%41.54%0.00%0.00%0.00%11.77%16.28%0.555
9053.14%46.86%0.00%0.00%0.00%11.80%16.49%0.550
9147.83%52.17%0.00%0.00%0.00%11.83%16.73%0.544
9242.51%57.49%0.00%0.00%0.00%11.86%16.98%0.537
9337.20%62.80%0.00%0.00%0.00%11.90%17.24%0.531
9431.89%68.11%0.00%0.00%0.00%11.93%17.52%0.524
9526.57%73.43%0.00%0.00%0.00%11.96%17.81%0.517
9621.26%78.74%0.00%0.00%0.00%11.99%18.11%0.510
9715.94%84.06%0.00%0.00%0.00%12.02%18.42%0.503
9810.63%89.37%0.00%0.00%0.00%12.05%18.75%0.496
995.32%94.68%0.00%0.00%0.00%12.08%19.08%0.488
1000.00%100.00%0.00%0.00%0.00%12.12%19.43%0.481
*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.
Annual returns for the configured portfolios
YearInflationMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceUS Large CapPacific Stocks
19952.54%37.42%$13,74237.45%2.75%
19963.32%22.85%$16,88222.88%-7.82%
19971.70%33.14%$22,47633.19%-25.67%
19981.61%28.60%$28,90428.62%2.41%
19992.68%21.09%$35,00121.07%57.05%
20003.39%-9.07%$31,827-9.06%-25.74%
20011.55%-12.03%$27,997-12.02%-26.34%
20022.38%-22.14%$21,799-22.15%-9.32%
20031.88%28.51%$28,01428.50%38.42%
20043.26%10.75%$31,02510.74%18.83%
20053.42%4.79%$32,5104.77%22.59%
20062.54%15.64%$37,59515.64%11.99%
20074.08%5.39%$39,6205.39%4.78%
20080.09%-37.02%$24,953-37.02%-34.36%
20092.72%26.48%$31,56126.49%21.18%
20101.50%14.91%$36,26814.91%15.77%
20112.96%1.95%$36,9771.97%-14.00%
20121.74%15.82%$42,82815.82%15.49%
20131.50%32.16%$56,60432.18%17.36%
20140.76%13.49%$64,24313.51%-4.69%
20150.73%1.25%$65,0471.25%2.25%
20162.07%11.81%$72,73111.82%5.19%
20172.11%21.67%$88,49321.67%28.39%
20181.91%-4.53%$84,480-4.53%-13.98%
20192.29%31.32%$110,93731.33%17.42%
20201.36%18.25%$131,17918.25%16.37%
20217.04%28.52%$168,59728.55%1.36%
20226.28%-12.65%$147,262-12.65%-13.96%
Annual return for 2022 is from 01/01/2022 to 07/31/2022
Monthly returns for the configured portfolios
YearMonthMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceUS Large CapPacific Stocks
199512.58%$10,2582.58%-6.10%
199523.87%$10,6553.88%-2.82%
199532.96%$10,9702.95%6.98%
199542.94%$11,2932.94%5.08%
199553.95%$11,7393.95%-3.88%
199562.31%$12,0102.31%-4.40%
199573.31%$12,4073.30%7.23%
199580.26%$12,4390.27%-3.85%
199594.21%$12,9634.21%1.00%
199510-0.37%$12,915-0.36%-4.87%
1995114.38%$13,4814.38%4.93%
1995121.93%$13,7421.93%4.87%
199613.38%$14,2073.39%0.35%
199620.92%$14,3380.92%-1.21%
199630.98%$14,4780.98%3.07%
199641.46%$14,6891.46%5.19%
199652.54%$15,0622.54%-4.05%
199660.38%$15,1200.38%0.17%
19967-4.42%$14,452-4.42%-4.80%
199682.09%$14,7542.10%-2.56%
199695.60%$15,5815.61%3.45%
1996102.75%$16,0092.76%-4.65%
1996117.56%$17,2207.56%2.85%
199612-1.96%$16,882-1.96%-5.18%
199716.21%$17,9306.22%-8.37%
199720.79%$18,0720.79%2.08%
19973-4.14%$17,324-4.14%-3.56%
199745.95%$18,3565.96%2.00%
199756.09%$19,4746.09%10.13%
199764.45%$20,3414.45%6.20%
199777.96%$21,9607.97%-2.65%
19978-5.61%$20,727-5.61%-10.26%
199795.46%$21,8605.47%-0.30%
199710-3.36%$21,126-3.35%-12.18%
1997114.59%$22,0964.60%-5.55%
1997121.72%$22,4761.73%-4.38%
199811.11%$22,7271.11%5.31%
199827.19%$24,3617.19%3.44%
199835.10%$25,6025.10%-5.47%
199841.01%$25,8601.01%-2.01%
19985-1.75%$25,408-1.74%-6.80%
199864.07%$26,4414.07%-0.28%
19987-1.05%$26,163-1.05%-1.80%
19988-14.47%$22,376-14.47%-12.10%
199896.41%$23,8106.41%0.00%
1998108.17%$25,7558.16%17.60%
1998116.07%$27,3196.07%4.76%
1998125.80%$28,9045.81%2.68%
199914.20%$30,1184.20%0.64%
19992-3.12%$29,178-3.12%-2.03%
199934.00%$30,3464.00%12.55%
199943.85%$31,5153.85%6.78%
19995-2.39%$30,761-2.39%-5.60%
199965.56%$32,4715.56%8.21%
19997-3.12%$31,457-3.13%7.69%
19998-0.50%$31,301-0.50%-0.88%
19999-2.73%$30,445-2.74%4.74%
1999106.32%$32,3716.33%3.96%
1999112.03%$33,0262.02%4.99%
1999125.98%$35,0015.98%6.33%
20001-5.03%$33,240-5.03%-4.91%
20002-1.91%$32,606-1.91%-2.15%
200039.76%$35,7889.76%7.30%
20004-3.01%$34,711-3.01%-6.97%
20005-2.04%$34,002-2.04%-5.90%
200062.49%$34,8492.49%7.77%
20007-1.50%$34,328-1.49%-9.64%
200086.19%$36,4526.19%5.48%
20009-5.29%$34,524-5.29%-5.10%
200010-0.43%$34,375-0.43%-5.86%
200011-7.87%$31,668-7.88%-3.57%
2000120.50%$31,8270.50%-3.97%
200113.54%$32,9543.55%-0.34%
20012-9.13%$29,944-9.14%-4.26%
20013-6.36%$28,041-6.36%-4.68%
200147.77%$30,2207.77%8.97%
200150.65%$30,4160.65%-2.59%
20016-2.45%$29,671-2.45%-4.86%
20017-1.00%$29,374-1.00%-6.57%
20018-6.27%$27,532-6.27%-2.34%
20019-8.09%$25,304-8.09%-10.40%
2001101.89%$25,7831.90%1.04%
2001117.65%$27,7557.65%1.62%
2001120.87%$27,9970.87%-4.45%
20021-1.48%$27,583-1.47%-5.79%
20022-1.93%$27,050-1.94%2.59%
200233.75%$28,0633.74%7.10%
20024-6.07%$26,361-6.07%3.53%
20025-0.75%$26,163-0.75%4.84%
20026-7.13%$24,297-7.13%-5.16%
20027-7.72%$22,421-7.72%-6.72%
200280.65%$22,5670.65%-0.77%
20029-10.87%$20,114-10.87%-5.72%
2002108.77%$21,8798.78%-3.28%
2002115.87%$23,1645.88%3.56%
200212-5.89%$21,799-5.89%-2.64%
20031-2.62%$21,227-2.62%-2.89%
20032-1.52%$20,905-1.52%0.18%
200330.95%$21,1050.96%-2.97%
200348.25%$22,8458.25%0.90%
200355.26%$24,0485.26%4.82%
200361.26%$24,3521.26%6.30%
200371.75%$24,7771.74%4.49%
200381.94%$25,2571.93%7.82%
20039-1.07%$24,987-1.07%5.41%
2003105.64%$26,3975.64%5.26%
2003110.86%$26,6240.86%-2.31%
2003125.22%$28,0145.22%6.82%
200411.82%$28,5251.82%1.99%
200421.38%$28,9181.38%0.85%
20043-1.51%$28,482-1.51%9.56%
20044-1.58%$28,032-1.58%-6.63%
200451.36%$28,4121.36%-1.30%
200461.93%$28,9611.93%5.04%
20047-3.31%$28,002-3.31%-5.14%
200480.38%$28,1090.38%1.20%
200491.07%$28,4091.07%-0.36%
2004101.52%$28,8391.51%2.98%
2004114.05%$30,0064.05%5.68%
2004123.39%$31,0253.39%4.63%
20051-2.45%$30,264-2.45%-1.81%
200522.09%$30,8972.09%2.61%
20053-1.76%$30,353-1.76%-2.54%
20054-1.91%$29,773-1.91%-1.85%
200553.16%$30,7153.17%-0.89%
200560.13%$30,7550.13%1.12%
200573.71%$31,8943.71%1.88%
20058-0.91%$31,604-0.91%5.96%
200590.80%$31,8570.79%8.69%
200510-1.68%$31,322-1.68%-2.26%
2005113.76%$32,5013.76%3.08%
2005120.03%$32,5100.02%7.37%
200612.65%$33,3712.65%5.20%
200620.26%$33,4580.26%-1.68%
200631.23%$33,8701.23%2.98%
200641.34%$34,3231.33%4.14%
20065-2.90%$33,328-2.90%-5.33%
200660.13%$33,3700.13%-1.43%
200670.61%$33,5720.61%-0.26%
200682.36%$34,3652.36%1.71%
200692.56%$35,2452.56%-1.09%
2006103.25%$36,3913.25%2.97%
2006111.89%$37,0781.89%1.40%
2006121.39%$37,5951.39%3.25%
200711.49%$38,1561.49%1.29%
20072-1.97%$37,406-1.97%3.18%
200731.11%$37,8211.11%-0.08%
200744.41%$39,4914.42%-0.39%
200753.48%$40,8643.48%2.71%
20076-1.67%$40,180-1.68%0.23%
20077-3.08%$38,941-3.08%-0.60%
200781.50%$39,5231.50%-1.97%
200793.73%$40,9963.72%5.63%
2007101.58%$41,6441.58%3.58%
200711-4.19%$39,900-4.19%-3.81%
200712-0.70%$39,620-0.70%-4.59%
20081-6.01%$37,237-6.02%-4.95%
20082-3.25%$36,026-3.25%-1.65%
20083-0.44%$35,867-0.44%-1.77%
200844.86%$37,6094.85%7.28%
200851.29%$38,0951.29%2.00%
20086-8.44%$34,881-8.44%-7.28%
20087-0.83%$34,590-0.83%-4.47%
200881.44%$35,0891.45%-5.04%
20089-8.91%$31,963-8.91%-9.49%
200810-16.79%$26,596-16.79%-18.40%
200811-7.17%$24,688-7.17%-4.03%
2008121.07%$24,9531.07%9.57%
20091-8.41%$22,853-8.41%-10.98%
20092-10.66%$20,418-10.66%-10.27%
200938.76%$22,2068.76%7.94%
200949.56%$24,3299.56%9.48%
200955.62%$25,6975.62%12.02%
200960.22%$25,7540.22%1.04%
200977.58%$27,7057.58%7.19%
200983.60%$28,7023.60%3.30%
200993.72%$29,7693.72%1.96%
200910-1.87%$29,212-1.87%-2.83%
2009115.98%$30,9595.98%1.66%
2009121.95%$31,5611.95%1.71%
20101-3.60%$30,424-3.60%-1.45%
201023.09%$31,3653.09%1.99%
201036.01%$33,2516.01%5.86%
201041.58%$33,7751.58%-1.07%
20105-8.01%$31,071-8.01%-9.52%
20106-5.24%$29,443-5.24%-2.28%
201077.00%$31,5037.00%7.21%
20108-4.53%$30,077-4.53%-2.38%
201098.92%$32,7598.92%7.74%
2010103.79%$34,0003.79%2.36%
2010110.00%$34,0000.00%0.29%
2010126.67%$36,2686.67%7.44%
201112.36%$37,1232.36%-0.18%
201123.42%$38,3913.42%3.96%
201130.02%$38,3990.03%-5.76%
201142.95%$39,5312.95%3.10%
20115-1.15%$39,078-1.15%-2.65%
20116-1.67%$38,425-1.67%0.56%
20117-2.04%$37,639-2.05%1.30%
20118-5.45%$35,589-5.45%-6.62%
20119-7.04%$33,082-7.04%-8.57%
20111010.91%$36,69110.91%4.96%
201111-0.23%$36,605-0.23%-1.23%
2011121.01%$36,9771.02%-2.83%
201214.47%$38,6284.46%6.73%
201224.31%$40,2924.31%4.34%
201233.28%$41,6133.28%0.30%
20124-0.64%$41,347-0.64%-2.08%
20125-6.02%$38,858-6.02%-9.79%
201264.11%$40,4554.11%6.60%
201271.37%$41,0091.37%-0.52%
201282.24%$41,9262.24%0.95%
201292.58%$43,0072.58%1.96%
201210-1.86%$42,207-1.86%0.10%
2012110.56%$42,4440.56%2.28%
2012120.91%$42,8280.90%4.73%
201315.17%$45,0455.18%3.25%
201321.34%$45,6481.34%2.10%
201333.74%$47,3553.74%3.19%
201341.91%$48,2601.91%5.81%
201352.32%$49,3802.33%-7.55%
20136-1.35%$48,713-1.35%-0.70%
201375.07%$51,1835.07%2.17%
20138-2.91%$49,693-2.91%-1.57%
201393.13%$51,2463.12%8.56%
2013104.58%$53,5954.59%1.73%
2013113.03%$55,2173.03%-0.09%
2013122.51%$56,6042.51%0.09%
20141-3.47%$54,640-3.47%-5.60%
201424.56%$57,1314.56%3.28%
201430.82%$57,6010.82%-0.10%
201440.72%$58,0180.72%-0.27%
201452.34%$59,3732.33%3.20%
201462.05%$60,5922.05%2.80%
20147-1.39%$59,752-1.39%0.67%
201483.98%$62,1293.98%-0.17%
20149-1.41%$61,250-1.41%-4.49%
2014102.42%$62,7342.42%2.29%
2014112.68%$64,4142.68%-3.37%
201412-0.27%$64,243-0.26%-2.55%
20151-3.01%$62,307-3.02%1.85%
201525.74%$65,8835.74%5.64%
20153-1.59%$64,834-1.59%0.40%
201540.95%$65,4500.95%4.03%
201551.27%$66,2821.27%-0.83%
20156-1.93%$65,001-1.93%-2.08%
201572.08%$66,3522.08%-0.94%
20158-6.04%$62,342-6.04%-7.51%
20159-2.49%$60,789-2.49%-4.27%
2015108.42%$65,9098.42%7.53%
2015110.29%$66,0980.29%-0.27%
201512-1.59%$65,047-1.59%-0.38%
20161-4.98%$61,810-4.98%-5.74%
20162-0.15%$61,718-0.15%-3.54%
201636.78%$65,9016.78%7.83%
201640.37%$66,1470.37%0.85%
201651.78%$67,3261.78%0.47%
201660.25%$67,4940.25%0.22%
201673.68%$69,9763.68%5.45%
201680.13%$70,0670.13%0.27%
201690.01%$70,0740.01%2.81%
201610-1.83%$68,790-1.83%-1.04%
2016113.70%$71,3323.70%-1.40%
2016121.96%$72,7311.96%-0.39%
201711.89%$74,1021.88%4.69%
201723.96%$77,0373.96%2.16%
201730.10%$77,1150.10%1.69%
201741.02%$77,9001.02%0.83%
201751.39%$78,9861.39%2.23%
201760.61%$79,4700.61%1.76%
201772.04%$81,0942.04%2.63%
201780.29%$81,3320.29%0.16%
201792.06%$83,0062.06%1.16%
2017102.32%$84,9312.32%4.47%
2017113.06%$87,5283.06%2.06%
2017121.10%$88,4931.10%1.51%
201815.71%$93,5485.71%4.69%
20182-3.70%$90,088-3.70%-3.58%
20183-2.55%$87,787-2.56%-0.53%
201840.37%$88,1150.37%0.36%
201852.39%$90,2232.39%-1.00%
201860.60%$90,7670.61%-2.65%
201873.71%$94,1323.71%0.82%
201883.24%$97,1843.25%-0.89%
201890.56%$97,7240.55%1.82%
201810-6.85%$91,029-6.85%-9.67%
2018112.03%$92,8742.03%2.12%
201812-9.04%$84,480-9.04%-5.63%
201918.00%$91,2408.00%7.15%
201923.20%$94,1583.20%0.80%
201931.94%$95,9811.94%0.32%
201944.04%$99,8584.04%1.51%
20195-6.36%$93,503-6.36%-5.18%
201967.03%$100,0787.03%5.36%
201971.42%$101,5031.43%-1.74%
20198-1.59%$99,887-1.59%-2.50%
201991.86%$101,7451.86%4.08%
2019102.16%$103,9392.15%3.58%
2019113.62%$107,7003.62%0.85%
2019123.01%$110,9373.01%2.58%
20201-0.05%$110,878-0.05%-3.47%
20202-8.24%$101,741-8.24%-7.19%
20203-12.37%$89,154-12.37%-11.70%
2020412.81%$100,57412.81%7.05%
202054.76%$105,3584.76%5.79%
202061.98%$107,4431.98%3.02%
202075.62%$113,4855.63%0.41%
202087.18%$121,6287.18%6.04%
20209-3.81%$116,997-3.81%0.27%
202010-2.67%$113,873-2.67%-1.39%
20201110.94%$126,32710.94%12.43%
2020123.84%$131,1793.84%6.51%
20211-1.02%$129,839-1.02%-0.66%
202122.76%$133,4192.76%1.93%
202134.37%$139,2474.37%1.39%
202145.32%$146,6545.32%0.45%
202150.69%$147,6650.69%1.79%
202162.31%$151,0692.31%-0.57%
202172.37%$154,6572.38%-1.40%
202183.03%$159,3403.03%1.16%
20219-4.66%$151,914-4.66%-0.89%
2021106.99%$162,5296.99%-0.39%
202111-0.71%$161,382-0.70%-4.68%
2021124.47%$168,5974.47%3.45%
20221-5.19%$159,854-5.19%-5.10%
20222-3.00%$155,058-3.00%-0.07%
202233.69%$160,7813.69%0.03%
20224-8.73%$146,746-8.73%-7.21%
202250.17%$146,9970.17%1.45%
20226-8.27%$134,847-8.27%-8.64%
202279.21%$147,2629.21%5.47%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.91%
Arithmetic Mean (annualized)11.52%
Geometric Mean (monthly)0.82%
Geometric Mean (annualized)10.24%
Standard Deviation (monthly)4.38%
Standard Deviation (annualized)15.18%
Downside Deviation (monthly)2.92%
Maximum Drawdown-50.97%
Stock Market Correlation0.99
Beta(*)0.96
Alpha (annualized)0.38%
R297.99%
Sharpe Ratio0.58
Sortino Ratio0.85
Treynor Ratio (%)9.14
Calmar Ratio0.66
Active Return0.05%
Tracking Error2.22%
Information Ratio0.02
Skewness-0.63
Excess Kurtosis1.08
Historical Value-at-Risk (5%)-7.45%
Analytical Value-at-Risk (5%)-6.29%
Conditional Value-at-Risk (5%)-9.77%
Upside Capture Ratio (%)96.54
Downside Capture Ratio (%)95.34
Safe Withdrawal Rate10.19%
Perpetual Withdrawal Rate7.16%
Positive Periods221 out of 331 (66.77%)
Gain/Loss Ratio0.85
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndMaximum Sharpe Ratio
Asian CrisisJul 1997Jan 1998-5.61%
Russian Debt DefaultJul 1998Oct 1998-15.37%
Dotcom CrashMar 2000Oct 2002-44.82%
Subprime CrisisNov 2007Mar 2009-50.97%
COVID-19 StartJan 2020Mar 2020-19.64%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jan 2022Jun 20226 months-20.02%
4Jan 2020Mar 20203 monthsJul 20204 months7 months-19.64%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-15.37%
6Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
7Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
8Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
10May 2019May 20191 monthJun 20191 month2 months-6.36%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
US Large Cap10.25%15.18%37.45%-37.02%-50.97%0.580.850.99
Pacific Stocks2.40%16.98%57.05%-34.36%-53.17%0.100.140.71

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
US Large Cap0.35%-12.65%-4.77%13.21%12.68%13.64%
Pacific Stocks-2.25%-13.96%-15.26%3.34%2.37%5.74%
Trailing returns as of last calendar month ending July 2022

Monthly Correlations

Correlations for the portfolio assets
NameUS Large CapPacific StocksMaximum Sharpe Ratio
US Large Cap1.000.701.00
Pacific Stocks0.701.000.70

Portfolio Risk Decomposition

Portfolio risk decomposition
NameMaximum Sharpe Ratio
US Large Cap99.94%
Pacific Stocks0.06%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year11.63%56.19%-43.32%
3 years9.65%32.64%-16.14%
5 years8.37%28.47%-6.72%
7 years7.58%17.12%-3.94%
10 years7.56%16.52%-3.51%
15 years7.01%10.77%3.64%