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Portfolio Optimization

Portfolio Optimization Overview

This portfolio optimizer tool supports the following portfolio optimization strategies:

  • Mean Variance Optimization – Find the optimal risk adjusted portfolio that lies on the efficient frontier
  • Conditional Value-at-Risk – Optimize the portfolio to minimize the expected tail loss
  • Risk Parity – Find the portfolio that equalizes the risk contribution of portfolio assets
  • Tracking Error – Find the portfolio that minimizes the tracking error against the selected benchmark
  • Information Ratio – Find the portfolio that maximizes the information ratio against the selected benchmark
  • Kelly Criterion – Finds the portfolio with the maximum expected geometric growth rate
  • Sortino Ratio – Find the portfolio that maximizes the Sortino ratio for the given minimum acceptable return
  • Omega Ratio – Find the portfolio that maximizes the Omega ratio for the given minimum acceptable return
  • Maximum Drawdown – Find the portfolio with the minimum worst case drawdown with optional minimum acceptable return

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.

Portfolio Optimization Configuration
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Portfolio Optimization Results (Jan 1995 - Dec 2022) Save

Note: The time period was constrained by the available data for Emerging Markets [Jan 1995 - Aug 2026].
Portfolio optimization results with the goal to maximize Sharpe ratio. The possible range of expected annual portfolio returns for the given period is 8.46% to 11.18%. Refer to the efficient frontier section for additional details.

Maximum Sharpe Ratio

Asset Class Allocation
US Large Cap 99.33%
US Small Cap 0.67%

Performance Summary

MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$138,135
Annualized Return (CAGR)9.83%
Expected Return10.61%
Standard Deviation15.36%
Best Year37.39%
Worst Year-37.01%
Maximum Drawdown -50.98%
Sharpe Ratio (ex-ante)0.55
Sharpe Ratio (ex-post)0.55
Sortino Ratio0.80
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 year20 yearFull3 year5 year
Maximum Sharpe Ratio7.52%-18.23%-18.23%7.50%9.26%12.39%9.67%9.83%21.18%18.71%
Trailing return and volatility are as of last calendar month ending December 2022

Efficient Frontier Assets

#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1US Large Cap10.60%15.35%0.5500.00%100.00%
2US Small Cap11.18%19.53%0.4620.00%100.00%
3European Stocks8.02%18.02%0.3250.00%100.00%
4Emerging Markets7.76%22.28%0.2510.00%100.00%
5Pacific Stocks3.76%17.20%0.0930.00%100.00%
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using U.S. 3-Month Treasury Bill Rate returns as the risk-free rate.

Asset Correlations

AssetUS Large CapUS Small CapEuropean StocksEmerging MarketsPacific Stocks
US Large Cap1.000.850.840.720.70
US Small Cap0.851.000.780.730.67
European Stocks0.840.781.000.770.74
Emerging Markets0.720.730.771.000.76
Pacific Stocks0.700.670.740.761.00
Based on monthly returns from Jan 1995 to Dec 2022

Efficient Frontier

Efficient Frontier Portfolios

#US Large CapUS Small CapEuropean StocksEmerging MarketsPacific StocksExpected Return *Standard Deviation *Sharpe Ratio *
168.64%0.00%0.00%0.00%31.36%8.46%14.83%0.425
269.04%0.00%0.00%0.00%30.96%8.49%14.83%0.426
369.45%0.00%0.00%0.00%30.55%8.51%14.83%0.428
469.85%0.00%0.00%0.00%30.15%8.54%14.83%0.430
570.25%0.00%0.00%0.00%29.75%8.57%14.83%0.432
670.66%0.00%0.00%0.00%29.34%8.60%14.83%0.434
771.06%0.00%0.00%0.00%28.94%8.62%14.83%0.436
871.46%0.00%0.00%0.00%28.54%8.65%14.83%0.437
971.86%0.00%0.00%0.00%28.14%8.68%14.84%0.439
1072.27%0.00%0.00%0.00%27.73%8.71%14.84%0.441
1172.67%0.00%0.00%0.00%27.33%8.73%14.84%0.443
1273.07%0.00%0.00%0.00%26.93%8.76%14.84%0.445
1373.47%0.00%0.00%0.00%26.53%8.79%14.84%0.446
1473.88%0.00%0.00%0.00%26.12%8.82%14.84%0.448
1574.28%0.00%0.00%0.00%25.72%8.84%14.85%0.450
1674.68%0.00%0.00%0.00%25.32%8.87%14.85%0.452
1775.09%0.00%0.00%0.00%24.91%8.90%14.85%0.454
1875.49%0.00%0.00%0.00%24.51%8.93%14.86%0.455
1975.89%0.00%0.00%0.00%24.11%8.95%14.86%0.457
2076.29%0.00%0.00%0.00%23.71%8.98%14.86%0.459
2176.70%0.00%0.00%0.00%23.30%9.01%14.87%0.461
2277.10%0.00%0.00%0.00%22.90%9.04%14.87%0.462
2377.50%0.00%0.00%0.00%22.50%9.06%14.87%0.464
2477.91%0.00%0.00%0.00%22.09%9.09%14.88%0.466
2578.31%0.00%0.00%0.00%21.69%9.12%14.88%0.467
2678.71%0.00%0.00%0.00%21.29%9.15%14.88%0.469
2779.11%0.00%0.00%0.00%20.89%9.17%14.89%0.471
2879.52%0.00%0.00%0.00%20.48%9.20%14.89%0.473
2979.92%0.00%0.00%0.00%20.08%9.23%14.90%0.474
3080.32%0.00%0.00%0.00%19.68%9.26%14.90%0.476
3180.72%0.00%0.00%0.00%19.28%9.28%14.91%0.478
3281.13%0.00%0.00%0.00%18.87%9.31%14.91%0.479
3381.53%0.00%0.00%0.00%18.47%9.34%14.92%0.481
3481.93%0.00%0.00%0.00%18.07%9.37%14.93%0.483
3582.34%0.00%0.00%0.00%17.66%9.39%14.93%0.484
3682.74%0.00%0.00%0.00%17.26%9.42%14.94%0.486
3783.14%0.00%0.00%0.00%16.86%9.45%14.94%0.488
3883.54%0.00%0.00%0.00%16.46%9.48%14.95%0.489
3983.95%0.00%0.00%0.00%16.05%9.50%14.96%0.491
4084.35%0.00%0.00%0.00%15.65%9.53%14.96%0.493
4184.75%0.00%0.00%0.00%15.25%9.56%14.97%0.494
4285.15%0.00%0.00%0.00%14.85%9.59%14.98%0.496
4385.56%0.00%0.00%0.00%14.44%9.61%14.98%0.497
4485.96%0.00%0.00%0.00%14.04%9.64%14.99%0.499
4586.36%0.00%0.00%0.00%13.64%9.67%15.00%0.501
4686.77%0.00%0.00%0.00%13.23%9.70%15.01%0.502
4787.17%0.00%0.00%0.00%12.83%9.72%15.02%0.504
4887.57%0.00%0.00%0.00%12.43%9.75%15.02%0.505
4987.97%0.00%0.00%0.00%12.03%9.78%15.03%0.507
5088.38%0.00%0.00%0.00%11.62%9.81%15.04%0.508
5188.78%0.00%0.00%0.00%11.22%9.83%15.05%0.510
5289.18%0.00%0.00%0.00%10.82%9.86%15.06%0.511
5389.59%0.00%0.00%0.00%10.41%9.89%15.07%0.513
5489.99%0.00%0.00%0.00%10.01%9.92%15.08%0.514
5590.39%0.00%0.00%0.00%9.61%9.94%15.08%0.516
5690.79%0.00%0.00%0.00%9.21%9.97%15.09%0.517
5791.20%0.00%0.00%0.00%8.80%10.00%15.10%0.519
5891.60%0.00%0.00%0.00%8.40%10.03%15.11%0.520
5992.00%0.00%0.00%0.00%8.00%10.05%15.12%0.522
6092.40%0.00%0.00%0.00%7.60%10.08%15.13%0.523
6192.81%0.00%0.00%0.00%7.19%10.11%15.14%0.525
6293.21%0.00%0.00%0.00%6.79%10.14%15.15%0.526
6393.61%0.00%0.00%0.00%6.39%10.16%15.16%0.528
6494.02%0.00%0.00%0.00%5.98%10.19%15.18%0.529
6594.42%0.00%0.00%0.00%5.58%10.22%15.19%0.531
6694.82%0.00%0.00%0.00%5.18%10.25%15.20%0.532
6795.22%0.00%0.00%0.00%4.78%10.27%15.21%0.533
6895.63%0.00%0.00%0.00%4.37%10.30%15.22%0.535
6996.03%0.00%0.00%0.00%3.97%10.33%15.23%0.536
7096.43%0.00%0.00%0.00%3.57%10.36%15.24%0.538
7196.84%0.00%0.00%0.00%3.16%10.39%15.26%0.539
7297.24%0.00%0.00%0.00%2.76%10.41%15.27%0.540
7397.64%0.00%0.00%0.00%2.36%10.44%15.28%0.542
7498.04%0.00%0.00%0.00%1.96%10.47%15.29%0.543
7598.45%0.00%0.00%0.00%1.55%10.50%15.30%0.545
7698.85%0.00%0.00%0.00%1.15%10.52%15.32%0.546
7799.25%0.00%0.00%0.00%0.75%10.55%15.33%0.547
7899.65%0.00%0.00%0.00%0.35%10.58%15.34%0.549
7999.33%0.67%0.00%0.00%0.00%10.61%15.36%0.550
8094.60%5.40%0.00%0.00%0.00%10.63%15.43%0.549
8189.87%10.13%0.00%0.00%0.00%10.66%15.51%0.548
8285.14%14.86%0.00%0.00%0.00%10.69%15.61%0.546
8380.41%19.59%0.00%0.00%0.00%10.72%15.72%0.544
8475.68%24.32%0.00%0.00%0.00%10.74%15.85%0.541
8570.95%29.05%0.00%0.00%0.00%10.77%15.99%0.538
8666.22%33.78%0.00%0.00%0.00%10.80%16.15%0.535
8761.49%38.51%0.00%0.00%0.00%10.83%16.31%0.531
8856.76%43.24%0.00%0.00%0.00%10.85%16.50%0.527
8952.03%47.97%0.00%0.00%0.00%10.88%16.69%0.522
9047.30%52.70%0.00%0.00%0.00%10.91%16.90%0.518
9142.57%57.43%0.00%0.00%0.00%10.94%17.11%0.513
9237.84%62.16%0.00%0.00%0.00%10.96%17.34%0.508
9333.11%66.89%0.00%0.00%0.00%10.99%17.58%0.502
9428.38%71.62%0.00%0.00%0.00%11.02%17.83%0.497
9523.65%76.35%0.00%0.00%0.00%11.05%18.09%0.491
9618.92%81.08%0.00%0.00%0.00%11.07%18.36%0.485
9714.19%85.81%0.00%0.00%0.00%11.10%18.64%0.480
989.46%90.54%0.00%0.00%0.00%11.13%18.93%0.474
994.73%95.27%0.00%0.00%0.00%11.16%19.22%0.468
1000.00%100.00%0.00%0.00%0.00%11.18%19.53%0.462
*Annualized ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical U.S. 3-Month Treasury Bill Rate returns as the risk-free rate.

Risk and Return Metrics

MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.88%
Arithmetic Mean (annualized)11.14%
Geometric Mean (monthly)0.78%
Geometric Mean (annualized)9.83%
Standard Deviation (monthly)4.43%
Standard Deviation (annualized)15.36%
Downside Deviation (monthly)2.97%
Maximum Drawdown-50.98%
Benchmark Correlation0.99
Beta(*)0.97
Alpha (annualized)0.35%
R298.17%
Sharpe Ratio0.55
Sortino Ratio0.80
Treynor Ratio (%)8.74
Calmar Ratio0.31
Modigliani–Modigliani Measure10.82%
Active Return0.06%
Tracking Error2.15%
Information Ratio0.03
Skewness-0.62
Excess Kurtosis0.96
Historical Value-at-Risk (5%)7.80%
Analytical Value-at-Risk (5%)6.41%
Conditional Value-at-Risk (5%)9.87%
Upside Capture Ratio (%)96.55
Downside Capture Ratio (%)96.36
Safe Withdrawal Rate10.05%
Perpetual Withdrawal Rate6.70%
Positive Periods223 out of 336 (66.37%)
Gain/Loss Ratio0.84
* U.S. Stock Market is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Annual Returns

YearInflationMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceUS Large CapUS Small Cap
20226.45%-18.23%$138,135-18.23%-17.72%
20217.04%28.47%$168,92528.55%17.59%
20201.36%18.26%$131,48818.25%18.96%
20192.29%31.30%$111,18531.33%27.22%
20181.91%-4.56%$84,680-4.53%-9.43%
20172.11%21.63%$88,72621.67%16.10%
20162.07%11.86%$72,94711.82%18.17%
20150.73%1.22%$65,2131.25%-3.78%
20140.76%13.47%$64,42813.51%7.37%
20131.50%32.21%$56,78032.18%37.62%
20121.74%15.84%$42,94715.82%18.04%
20112.96%1.94%$37,0741.97%-2.80%
20101.50%15.00%$36,37014.91%27.72%
20092.72%26.55%$31,62726.49%36.12%
20080.09%-37.01%$24,991-37.02%-36.07%
20074.08%5.36%$39,6765.39%1.16%
20062.54%15.64%$37,65815.64%15.66%
20053.42%4.79%$32,5634.77%7.36%
20043.26%10.80%$31,07410.74%19.90%
20031.88%28.61%$28,04528.50%45.63%
20022.38%-22.13%$21,806-22.15%-20.02%
20011.55%-11.92%$28,001-12.02%3.10%
20003.39%-8.99%$31,792-9.06%-2.67%
19992.68%21.09%$34,93321.07%23.13%
19981.61%28.38%$28,84928.62%-2.61%
19971.70%33.14%$22,47133.19%24.59%
19963.32%22.85%$16,87822.88%18.12%
19952.54%37.39%$13,73937.45%28.74%

Monthly Returns

YearMonthMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceUS Large CapUS Small Cap
202212-5.77%$138,135-5.77%-5.96%
2022115.57%$146,6005.58%4.42%
2022108.09%$138,8688.08%9.90%
20229-9.22%$128,470-9.22%-9.58%
20228-4.08%$141,522-4.09%-2.62%
202279.22%$147,5439.21%10.56%
20226-8.27%$135,090-8.27%-9.40%
202250.17%$147,2740.17%-0.03%
20224-8.73%$147,025-8.73%-8.25%
202233.68%$161,0833.69%1.47%
20222-2.98%$155,368-3.00%0.85%
20221-5.20%$160,134-5.19%-7.92%
2021124.46%$168,9254.47%3.48%
202111-0.73%$161,706-0.70%-4.35%
2021106.98%$162,8906.99%4.90%
20219-4.65%$152,264-4.66%-3.12%
202183.02%$159,6943.03%1.97%
202172.35%$155,0102.38%-1.45%
202162.30%$151,4482.31%1.42%
202150.68%$148,0400.69%0.06%
202145.31%$147,0345.32%4.03%
202134.35%$139,6154.37%1.60%
202122.78%$133,7922.76%6.12%
20211-1.00%$130,173-1.02%2.20%
2020123.86%$131,4883.84%7.38%
20201110.97%$126,59810.94%16.01%
202010-2.64%$114,083-2.67%2.00%
20209-3.80%$117,177-3.81%-2.73%
202087.16%$121,8107.18%4.05%
202075.62%$113,6755.63%4.49%
202061.98%$107,6271.98%2.54%
202054.78%$105,5364.76%7.73%
2020412.83%$100,72512.81%14.65%
20203-12.44%$89,275-12.37%-21.86%
20202-8.24%$101,954-8.24%-8.67%
20201-0.06%$111,114-0.05%-2.04%
2019123.00%$111,1853.01%2.18%
2019113.62%$107,9473.62%4.14%
2019102.15%$104,1722.15%1.60%
201991.86%$101,9781.86%1.37%
20198-1.61%$100,120-1.59%-4.03%
201971.42%$101,7561.43%1.25%
201967.03%$100,3267.03%7.04%
20195-6.37%$93,734-6.36%-7.25%
201944.04%$100,1124.04%3.59%
201931.92%$96,2261.94%-0.91%
201923.21%$94,4153.20%4.81%
201918.03%$91,4788.00%11.83%
201812-9.05%$84,680-9.04%-11.11%
2018112.03%$93,1102.03%2.16%
201810-6.87%$91,260-6.85%-10.10%
201890.54%$97,9930.55%-1.54%
201883.25%$97,4663.25%4.48%
201873.70%$94,3943.71%1.82%
201860.61%$91,0290.61%0.72%
201852.41%$90,4812.39%5.07%
201840.37%$88,3490.37%0.33%
20183-2.53%$88,021-2.56%1.12%
20182-3.70%$90,307-3.70%-4.07%
201815.69%$93,7775.71%2.84%
2017121.10%$88,7261.10%0.37%
2017113.06%$87,7633.06%3.08%
2017102.31%$85,1572.32%1.55%
201792.07%$83,2332.06%4.40%
201780.29%$81,5410.29%-0.94%
201772.04%$81,3092.04%1.09%
201760.62%$79,6870.61%2.24%
201751.38%$79,1941.39%-1.15%
201741.02%$78,1181.02%0.85%
201730.10%$77,3320.10%-0.24%
201723.95%$77,2563.96%2.34%
201711.88%$74,3191.88%1.57%
2016121.96%$72,9471.96%1.86%
2016113.73%$71,5433.70%8.61%
201610-1.85%$68,969-1.83%-4.12%
201690.01%$70,2680.01%0.39%
201680.13%$70,2610.13%0.62%
201673.69%$70,1683.68%5.07%
201660.25%$67,6730.25%0.25%
201651.78%$67,5051.78%1.93%
201640.38%$66,3210.37%1.72%
201636.79%$66,0696.78%8.35%
20162-0.14%$61,870-0.15%0.92%
20161-4.99%$61,956-4.98%-7.66%
201512-1.61%$65,213-1.59%-4.21%
2015110.30%$66,2780.29%1.81%
2015108.40%$66,0828.42%5.68%
20159-2.50%$60,959-2.49%-4.50%
20158-6.04%$62,524-6.04%-5.85%
201572.06%$66,5442.08%-0.29%
20156-1.93%$65,198-1.93%-0.87%
201551.28%$66,4781.27%2.00%
201540.93%$65,6390.95%-1.69%
20153-1.58%$65,034-1.59%1.18%
201525.74%$66,0745.74%5.82%
20151-3.01%$62,488-3.02%-2.17%
201412-0.25%$64,428-0.26%1.25%
2014112.67%$64,5922.68%0.98%
2014102.44%$62,9122.42%4.48%
20149-1.44%$61,415-1.41%-5.31%
201483.99%$62,3123.98%4.97%
20147-1.41%$59,922-1.39%-4.94%
201462.07%$60,7802.05%4.96%
201452.33%$59,5462.33%1.17%
201440.70%$58,1920.72%-2.33%
201430.82%$57,7860.82%-0.31%
201424.56%$57,3184.56%5.06%
20141-3.46%$54,816-3.47%-2.07%
2013122.51%$56,7802.51%2.57%
2013113.03%$55,3883.03%2.71%
2013104.58%$53,7614.59%3.27%
201393.14%$51,4083.12%5.69%
20138-2.91%$49,843-2.91%-3.17%
201375.08%$51,3395.07%6.66%
20136-1.35%$48,856-1.35%-0.99%
201352.34%$49,5232.33%3.61%
201341.90%$48,3931.91%0.14%
201333.75%$47,4923.74%4.69%
201321.34%$45,7781.34%1.33%
201315.18%$45,1735.18%6.35%
2012120.92%$42,9470.90%3.07%
2012110.56%$42,5560.56%1.16%
201210-1.86%$42,318-1.86%-1.46%
201292.58%$43,1182.58%2.73%
201282.25%$42,0352.24%3.47%
201271.36%$41,1111.37%-0.82%
201264.11%$40,5614.11%4.51%
20125-6.02%$38,959-6.02%-6.78%
20124-0.64%$41,456-0.64%-0.93%
201233.27%$41,7243.28%2.30%
201224.30%$40,4014.31%3.19%
201214.48%$38,7354.46%6.95%
2011121.01%$37,0741.02%0.22%
201111-0.23%$36,702-0.23%-0.41%
20111010.94%$36,78910.91%15.26%
20119-7.07%$33,160-7.04%-11.00%
20118-5.47%$35,683-5.45%-8.31%
20117-2.06%$37,746-2.05%-3.72%
20116-1.67%$38,539-1.67%-1.99%
20115-1.15%$39,195-1.15%-2.03%
201142.95%$39,6522.95%2.94%
201130.04%$38,5160.03%2.42%
201123.43%$38,5003.42%5.34%
201112.35%$37,2242.36%0.86%
2010126.68%$36,3706.67%7.72%
2010110.02%$34,0930.00%3.07%
2010103.79%$34,0863.79%4.08%
201098.94%$32,8418.92%11.98%
20108-4.54%$30,146-4.53%-6.61%
201077.00%$31,5817.00%7.16%
20106-5.26%$29,516-5.24%-7.57%
20105-8.00%$31,153-8.01%-7.80%
201041.60%$33,8641.58%5.54%
201036.03%$33,3296.01%8.08%
201023.10%$31,4343.09%4.97%
20101-3.60%$30,488-3.60%-3.35%
2009121.99%$31,6271.95%7.88%
2009115.96%$31,0115.98%3.33%
200910-1.90%$29,266-1.87%-6.64%
200993.73%$29,8333.72%6.34%
200983.60%$28,7593.60%4.46%
200977.59%$27,7587.58%9.68%
200960.23%$25,7990.22%1.16%
200955.61%$25,7415.62%3.74%
200949.62%$24,3759.56%18.25%
200938.76%$22,2368.76%9.48%
20092-10.67%$20,444-10.66%-11.96%
20091-8.42%$22,885-8.41%-10.25%
2008121.10%$24,9911.07%5.58%
200811-7.20%$24,720-7.17%-11.45%
200810-16.82%$26,638-16.79%-21.56%
20089-8.91%$32,027-8.91%-9.41%
200881.46%$35,1591.45%3.13%
20087-0.81%$34,654-0.83%1.67%
20086-8.44%$34,939-8.44%-8.90%
200851.32%$38,1601.29%5.16%
200844.86%$37,6644.85%5.48%
20083-0.44%$35,918-0.44%-0.50%
20082-3.25%$36,078-3.25%-2.65%
20081-6.02%$37,288-6.02%-6.23%
200712-0.70%$39,676-0.70%-0.72%
200711-4.20%$39,955-4.19%-6.79%
2007101.59%$41,7091.58%2.62%
200793.71%$41,0583.72%2.15%
200781.50%$39,5881.50%1.34%
20077-3.10%$39,004-3.08%-5.76%
20076-1.68%$40,253-1.68%-1.60%
200753.48%$40,9393.48%4.41%
200744.41%$39,5614.42%2.67%
200731.11%$37,8911.11%1.22%
20072-1.96%$37,474-1.97%-0.12%
200711.50%$38,2221.49%2.39%
2006121.38%$37,6581.39%0.01%
2006111.90%$37,1441.89%3.10%
2006103.26%$36,4533.25%5.20%
200692.55%$35,3012.56%0.86%
200682.36%$34,4222.36%2.27%
200670.58%$33,6280.61%-3.31%
200660.13%$33,4340.13%0.20%
20065-2.91%$33,391-2.90%-4.94%
200641.32%$34,3921.33%0.03%
200631.25%$33,9421.23%4.20%
200620.26%$33,5230.26%-0.16%
200612.68%$33,4362.65%7.85%
2005120.02%$32,5630.02%-0.06%
2005113.77%$32,5563.76%4.61%
200510-1.69%$31,374-1.68%-3.23%
200590.79%$31,9130.79%0.71%
20058-0.92%$31,661-0.91%-1.67%
200573.72%$31,9553.71%6.25%
200560.15%$30,8080.13%3.52%
200553.19%$30,7623.17%6.17%
20054-1.93%$29,811-1.91%-4.61%
20053-1.76%$30,398-1.76%-2.26%
200522.09%$30,9442.09%2.09%
20051-2.46%$30,309-2.45%-3.58%
2004123.40%$31,0743.39%3.62%
2004114.07%$30,0544.05%7.57%
2004101.52%$28,8781.51%2.23%
200491.09%$28,4461.07%4.21%
200480.38%$28,1400.38%-0.35%
20047-3.33%$28,034-3.31%-5.88%
200461.94%$28,9991.93%4.06%
200451.36%$28,4461.36%1.92%
20044-1.60%$28,064-1.58%-4.77%
20043-1.50%$28,520-1.51%1.18%
200421.38%$28,9531.38%1.36%
200411.84%$28,5601.82%3.94%
2003125.20%$28,0455.22%2.40%
2003110.88%$26,6580.86%3.77%
2003105.66%$26,4255.64%8.11%
20039-1.08%$25,010-1.07%-1.64%
200381.95%$25,2821.93%4.83%
200371.77%$24,7981.74%5.36%
200361.26%$24,3671.26%2.01%
200355.29%$24,0625.26%9.54%
200348.26%$22,8538.25%9.36%
200330.96%$21,1090.96%1.22%
20032-1.53%$20,909-1.52%-3.02%
20031-2.63%$21,233-2.62%-2.75%
200212-5.89%$21,806-5.89%-5.59%
2002115.90%$23,1715.88%8.88%
2002108.75%$21,8818.78%3.21%
20029-10.85%$20,121-10.87%-7.21%
200280.65%$22,5700.65%-0.25%
20027-7.77%$22,425-7.72%-15.05%
20026-7.12%$24,314-7.13%-4.52%
20025-0.78%$26,177-0.75%-4.33%
20024-6.03%$26,382-6.07%0.92%
200233.77%$28,0743.74%8.02%
20022-1.94%$27,054-1.94%-2.70%
20021-1.47%$27,589-1.47%-1.06%
2001120.91%$28,0010.87%6.05%
2001117.65%$27,7497.65%7.75%
2001101.92%$25,7761.90%5.79%
20019-8.13%$25,290-8.09%-13.47%
20018-6.25%$27,527-6.27%-3.23%
20017-1.03%$29,363-1.00%-5.31%
20016-2.40%$29,669-2.45%4.19%
200150.66%$30,3990.65%2.45%
200147.77%$30,1997.77%7.76%
20013-6.35%$28,021-6.36%-4.87%
20012-9.12%$29,920-9.14%-6.60%
200113.56%$32,9233.55%5.25%
2000120.56%$31,7920.50%8.61%
200011-7.89%$31,615-7.88%-10.27%
200010-0.46%$34,325-0.43%-4.34%
20009-5.27%$34,482-5.29%-2.98%
200086.20%$36,4026.19%7.60%
20007-1.50%$34,277-1.49%-3.38%
200062.53%$34,8002.49%9.29%
20005-2.06%$33,941-2.04%-5.78%
20004-3.03%$34,656-3.01%-5.96%
200039.65%$35,7379.76%-6.69%
20002-1.78%$32,592-1.91%16.51%
20001-5.01%$33,183-5.03%-1.69%
1999126.01%$34,9335.98%11.46%
1999112.05%$32,9522.02%5.98%
1999106.29%$32,2906.33%0.37%
19999-2.72%$30,380-2.74%-0.14%
19998-0.52%$31,230-0.50%-3.79%
19997-3.12%$31,393-3.13%-2.24%
199965.56%$32,4055.56%5.83%
19995-2.36%$30,699-2.39%1.67%
199943.89%$31,4423.85%8.87%
199933.98%$30,2664.00%1.48%
19992-3.16%$29,107-3.12%-8.11%
199914.18%$30,0564.20%1.23%
1998125.81%$28,8495.81%6.23%
1998116.07%$27,2666.07%5.31%
1998108.14%$25,7068.16%4.21%
199896.42%$23,7726.41%7.53%
19988-14.51%$22,338-14.47%-19.29%
19987-1.10%$26,128-1.05%-7.98%
199864.04%$26,4194.07%-0.16%
19985-1.77%$25,392-1.74%-5.36%
199841.00%$25,8491.01%0.50%
199835.10%$25,5925.10%4.15%
199827.19%$24,3517.19%7.49%
199811.09%$22,7171.11%-1.60%
1997121.72%$22,4711.73%1.66%
1997114.56%$22,0904.60%-0.52%
199710-3.36%$21,126-3.35%-4.42%
199795.48%$21,8605.47%7.26%
19978-5.56%$20,724-5.61%2.24%
199777.95%$21,9437.97%5.43%
199764.46%$20,3284.45%5.24%
199756.12%$19,4606.09%11.08%
199745.92%$18,3375.96%0.37%
19973-4.14%$17,313-4.14%-4.74%
199720.77%$18,0600.79%-2.46%
199716.19%$17,9236.22%2.27%
199612-1.93%$16,878-1.96%2.41%
1996117.54%$17,2107.56%4.36%
1996102.73%$16,0032.76%-1.45%
199695.59%$15,5785.61%3.76%
199682.12%$14,7532.10%5.94%
19967-4.45%$14,446-4.42%-8.41%
199660.35%$15,1190.38%-3.83%
199652.55%$15,0652.54%3.93%
199641.48%$14,6901.46%5.59%
199630.98%$14,4750.98%1.87%
199620.94%$14,3350.92%3.43%
199613.36%$14,2013.39%0.16%
1995121.94%$13,7391.93%2.81%
1995114.38%$13,4784.38%3.93%
199510-0.39%$12,912-0.36%-4.34%
199594.19%$12,9634.21%1.72%
199580.28%$12,4410.27%2.15%
199573.32%$12,4073.30%5.82%
199562.33%$12,0082.31%4.95%
199553.94%$11,7353.95%1.87%
199542.94%$11,2902.94%2.23%
199532.95%$10,9682.95%2.15%
199523.88%$10,6543.88%3.64%
199512.56%$10,2562.58%-1.00%

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndMaximum Sharpe Ratio
Asian CrisisJul 1997Jan 1998-5.56%
Russian Debt DefaultJul 1998Oct 1998-15.45%
Dotcom CrashMar 2000Oct 2002-44.73%
Subprime CrisisNov 2007Mar 2009-50.98%
COVID-19 StartJan 2020Mar 2020-19.71%

Drawdowns for Maximum Sharpe Ratio

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.98%
2Sep 2000Sep 20022 years 1 monthOct 20064 years 1 month6 years 2 months-44.73%
3Jan 2022Sep 20229 months-23.95%
4Jan 2020Mar 20203 monthsJul 20204 months7 months-19.71%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-15.45%
6Oct 2018Dec 20183 monthsApr 20194 months7 months-13.59%
7Aug 2015Sep 20152 monthsMay 20168 months10 months-8.39%
8Jan 2000Feb 20002 monthsMar 20001 month3 months-6.70%
9Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
10May 2019May 20191 monthJun 20191 month2 months-6.37%
Worst 10 drawdowns included above

Portfolio Assets

NameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino Ratio
US Large Cap9.83%15.35%37.45%-37.02%-50.97%0.550.80
US Small Cap9.65%19.53%45.63%-36.07%-53.95%0.460.67

Portfolio Asset Performance

NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
US Large Cap7.52%-18.23%-18.23%7.52%9.28%12.41%
US Small Cap7.93%-17.72%-17.72%4.80%5.81%9.97%
Trailing returns as of last calendar month ending December 2022

Monthly Correlations

NameUS Large CapUS Small CapMaximum Sharpe Ratio
US Large Cap1.000.851.00
US Small Cap0.851.000.85

Portfolio Return Decomposition

NameMaximum Sharpe Ratio
US Large Cap$127,326
US Small Cap$809
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

NameMaximum Sharpe Ratio
US Large Cap99.27%
US Small Cap0.73%
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

Roll PeriodAverageHighLow
1 year11.25%56.39%-43.33%
3 years9.66%32.64%-16.10%
5 years8.42%28.42%-6.72%
7 years7.68%17.14%-3.92%
10 years7.69%16.53%-3.47%
15 years7.08%10.77%3.67%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

  • 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. Other investments not considered may have characteristics similar or superior to those being analyzed.
  • 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.
  • 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.
  • Risk-free returns are calculated based on U.S. 3-Month Treasury Bill Rate.
  • Inflation is calculated based on U.S. Consumer Price Index.
  • 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. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. 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.
  • Invesco QQQ is a paid sponsor of the SRL Analytics Tool, Portfolio Visualizer. The model portfolios are for illustrative purposes only and do not constitute a recommendation or suitability for any investor. Inveso is not affiliated with SRL Global.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.