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 1994 - Dec 2009) Save

Portfolio optimization results with goal to maximize Sharpe ratio. The possible range of expected annual portfolio returns for the given period is 6.10% to 8.89%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Asset Class Allocation
US Stock Market 9.70%
Total US Bond Market 87.27%
Global Bonds (Unhedged) 3.03%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$26,465
CAGR6.27%
Expected Return6.35%
Stdev3.96%
Best Year19.96%
Worst Year-2.36%
Max. Drawdown -6.66%
Sharpe Ratio (ex-ante)0.66
Sharpe Ratio (ex-post)0.67
Sortino Ratio1.04
US Stock Market Correlation0.47
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Maximum Sharpe Ratio0.62%8.50%5.08%4.62%5.60%6.27%4.90%4.14%
Trailing annualized return and volatility are for full months ending in December 2009 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • 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 information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • 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.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1US Stock Market8.89%15.84%0.3160.00%100.00%
2Global ex-US Stock Market6.78%17.46%0.1740.00%100.00%
3Total US Bond Market6.05%3.86%0.6060.00%100.00%
4Global Bonds (Unhedged)7.06%7.43%0.4430.00%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 Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)
US Stock Market1.000.830.080.19
Global ex-US Stock Market0.831.000.040.35
Total US Bond Market0.080.041.000.63
Global Bonds (Unhedged)0.190.350.631.00
Based on monthly returns from Jan 1994 to Dec 2009
Efficient Frontier Assets
#US Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)Expected Return*Standard Deviation*Sharpe Ratio*
11.07%3.02%95.90%0.00%6.10%3.80%0.629
22.27%2.22%95.50%0.00%6.13%3.80%0.636
33.47%1.42%95.11%0.00%6.16%3.81%0.642
44.67%0.62%94.71%0.00%6.19%3.81%0.647
55.82%0.00%94.18%0.00%6.21%3.82%0.652
66.82%0.00%93.18%0.00%6.24%3.84%0.657
77.81%0.00%92.19%0.00%6.27%3.86%0.659
88.68%0.00%90.99%0.34%6.30%3.89%0.661
99.19%0.00%89.13%1.68%6.33%3.93%0.662
109.70%0.00%87.27%3.03%6.35%3.96%0.663
1110.21%0.00%85.41%4.38%6.38%4.00%0.663
1210.72%0.00%83.55%5.73%6.41%4.05%0.662
1311.23%0.00%81.70%7.07%6.44%4.09%0.661
1411.74%0.00%79.84%8.42%6.47%4.14%0.660
1512.25%0.00%77.98%9.77%6.49%4.19%0.658
1612.76%0.00%76.12%11.12%6.52%4.25%0.655
1713.27%0.00%74.26%12.47%6.55%4.31%0.652
1813.78%0.00%72.40%13.81%6.58%4.37%0.649
1914.29%0.00%70.55%15.16%6.61%4.43%0.646
2014.80%0.00%68.69%16.51%6.63%4.50%0.642
2115.31%0.00%66.83%17.86%6.66%4.57%0.639
2215.82%0.00%64.97%19.21%6.69%4.64%0.635
2316.33%0.00%63.11%20.55%6.72%4.71%0.631
2416.84%0.00%61.26%21.90%6.75%4.78%0.626
2517.35%0.00%59.40%23.25%6.77%4.86%0.622
2617.86%0.00%57.54%24.60%6.80%4.94%0.617
2718.37%0.00%55.68%25.95%6.83%5.02%0.613
2818.88%0.00%53.82%27.29%6.86%5.10%0.608
2919.39%0.00%51.97%28.64%6.89%5.18%0.603
3019.90%0.00%50.11%29.99%6.91%5.27%0.599
3120.41%0.00%48.25%31.34%6.94%5.35%0.594
3220.92%0.00%46.39%32.68%6.97%5.44%0.589
3321.43%0.00%44.53%34.03%7.00%5.53%0.585
3421.94%0.00%42.68%35.38%7.03%5.62%0.580
3522.45%0.00%40.82%36.73%7.05%5.71%0.575
3622.96%0.00%38.96%38.08%7.08%5.81%0.571
3723.47%0.00%37.10%39.42%7.11%5.90%0.566
3823.98%0.00%35.24%40.77%7.14%5.99%0.561
3924.49%0.00%33.39%42.12%7.17%6.09%0.557
4025.00%0.00%31.53%43.47%7.19%6.19%0.553
4125.51%0.00%29.67%44.82%7.22%6.28%0.548
4226.02%0.00%27.81%46.16%7.25%6.38%0.544
4326.54%0.00%25.95%47.51%7.28%6.48%0.540
4427.05%0.00%24.10%48.86%7.31%6.58%0.536
4527.56%0.00%22.24%50.21%7.33%6.68%0.531
4628.07%0.00%20.38%51.56%7.36%6.78%0.527
4728.58%0.00%18.52%52.90%7.39%6.88%0.523
4829.09%0.00%16.66%54.25%7.42%6.99%0.519
4929.60%0.00%14.81%55.60%7.45%7.09%0.516
5030.11%0.00%12.95%56.95%7.48%7.19%0.512
5130.62%0.00%11.09%58.29%7.50%7.30%0.508
5231.13%0.00%9.23%59.64%7.53%7.40%0.505
5331.64%0.00%7.37%60.99%7.56%7.51%0.501
5432.15%0.00%5.51%62.34%7.59%7.61%0.497
5532.66%0.00%3.66%63.69%7.62%7.72%0.494
5633.17%0.00%1.80%65.03%7.64%7.83%0.491
5733.71%0.00%0.00%66.29%7.67%7.93%0.487
5835.25%0.00%0.00%64.75%7.70%8.04%0.484
5936.79%0.00%0.00%63.21%7.73%8.16%0.480
6038.34%0.00%0.00%61.66%7.76%8.28%0.476
6139.88%0.00%0.00%60.12%7.79%8.41%0.472
6241.42%0.00%0.00%58.58%7.81%8.55%0.468
6342.96%0.00%0.00%57.04%7.84%8.68%0.463
6444.50%0.00%0.00%55.50%7.87%8.83%0.459
6546.04%0.00%0.00%53.96%7.90%8.98%0.454
6647.58%0.00%0.00%52.42%7.93%9.13%0.450
6749.13%0.00%0.00%50.87%7.96%9.28%0.445
6850.67%0.00%0.00%49.33%7.98%9.45%0.440
6952.21%0.00%0.00%47.79%8.01%9.61%0.435
7053.75%0.00%0.00%46.25%8.04%9.78%0.430
7155.29%0.00%0.00%44.71%8.07%9.95%0.426
7256.83%0.00%0.00%43.17%8.10%10.12%0.421
7358.38%0.00%0.00%41.62%8.12%10.30%0.416
7459.92%0.00%0.00%40.08%8.15%10.48%0.412
7561.46%0.00%0.00%38.54%8.18%10.66%0.407
7663.00%0.00%0.00%37.00%8.21%10.85%0.402
7764.54%0.00%0.00%35.46%8.24%11.04%0.398
7866.08%0.00%0.00%33.92%8.27%11.23%0.394
7967.63%0.00%0.00%32.37%8.30%11.42%0.389
8069.17%0.00%0.00%30.83%8.32%11.62%0.385
8170.71%0.00%0.00%29.29%8.35%11.81%0.381
8272.25%0.00%0.00%27.75%8.38%12.01%0.377
8373.79%0.00%0.00%26.21%8.41%12.21%0.373
8475.33%0.00%0.00%24.67%8.44%12.42%0.369
8576.88%0.00%0.00%23.12%8.47%12.62%0.365
8678.42%0.00%0.00%21.58%8.49%12.83%0.361
8779.96%0.00%0.00%20.04%8.52%13.03%0.357
8881.50%0.00%0.00%18.50%8.55%13.24%0.354
8983.04%0.00%0.00%16.96%8.58%13.45%0.350
9084.58%0.00%0.00%15.42%8.61%13.66%0.347
9186.12%0.00%0.00%13.88%8.64%13.88%0.343
9287.67%0.00%0.00%12.33%8.66%14.09%0.340
9389.21%0.00%0.00%10.79%8.69%14.30%0.337
9490.75%0.00%0.00%9.25%8.72%14.52%0.333
9592.29%0.00%0.00%7.71%8.75%14.74%0.330
9693.83%0.00%0.00%6.17%8.78%14.95%0.327
9795.37%0.00%0.00%4.63%8.81%15.17%0.324
9896.92%0.00%0.00%3.08%8.84%15.39%0.321
9998.46%0.00%0.00%1.54%8.86%15.61%0.319
100100.00%0.00%0.00%0.00%8.89%15.84%0.316
*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 Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)
19942.67%-2.36%$9,764-0.17%-2.66%-1.71%
19952.54%19.96%$11,71235.79%18.18%22.91%
19963.32%5.41%$12,34620.96%3.58%10.33%
19971.70%11.12%$13,71930.99%9.44%-0.90%
19981.61%10.33%$15,13623.26%8.58%12.43%
19992.68%1.38%$15,34423.81%-0.76%-4.28%
20003.39%8.85%$16,702-10.57%11.39%0.43%
20011.55%6.43%$17,776-10.97%8.43%2.48%
20022.38%5.62%$18,775-20.96%8.26%21.33%
20031.88%6.83%$20,05631.35%3.97%16.59%
20043.26%5.27%$21,11312.52%4.24%11.57%
20053.42%2.50%$21,6425.98%2.40%-6.36%
20062.54%5.38%$22,80715.51%4.27%5.85%
20074.08%6.91%$24,3835.49%6.92%9.26%
20080.09%0.04%$24,391-37.04%5.05%-2.68%
20092.72%8.50%$26,46528.70%5.93%17.17%
Monthly returns for the configured portfolios
YearMonthMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceUS Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)
199411.52%$10,1523.08%1.39%0.26%
19942-1.85%$9,964-2.24%-1.78%-2.36%
19943-2.48%$9,718-4.44%-2.30%-1.37%
19944-0.64%$9,6560.89%-0.83%0.03%
199450.08%$9,6640.97%0.00%-0.53%
19946-0.40%$9,625-2.73%-0.18%0.73%
199471.94%$9,8113.08%1.84%0.96%
199480.54%$9,8644.39%0.14%-0.35%
19949-1.43%$9,724-1.85%-1.44%0.45%
1994100.13%$9,7371.55%-0.07%1.42%
199411-0.54%$9,684-3.65%-0.18%-0.92%
1994120.82%$9,7641.23%0.80%0.03%
199511.92%$9,9512.20%1.90%1.72%
199522.38%$10,1884.04%2.17%2.86%
199530.96%$10,2852.65%0.67%3.60%
199541.44%$10,4332.51%1.31%1.61%
199553.89%$10,8383.48%3.95%3.36%
199560.87%$10,9332.98%0.66%0.30%
199570.19%$10,9534.02%-0.25%0.69%
199581.09%$11,0721.07%1.18%-1.44%
199591.22%$11,2083.61%0.95%1.47%
1995101.23%$11,346-1.17%1.47%2.27%
1995111.74%$11,5434.17%1.44%2.61%
1995121.46%$11,7121.54%1.44%1.86%
199610.81%$11,8072.66%0.63%0.23%
19962-1.43%$11,6391.62%-1.76%-1.57%
19963-0.56%$11,5741.14%-0.77%0.11%
19964-0.17%$11,5542.41%-0.49%0.84%
199650.10%$11,5662.66%-0.17%-0.31%
199661.07%$11,689-0.84%1.27%1.19%
19967-0.25%$11,660-5.37%0.25%1.82%
199680.21%$11,6843.09%-0.16%1.76%
199692.05%$11,9245.38%1.70%1.43%
1996102.15%$12,1801.43%2.21%2.73%
1996112.27%$12,4566.81%1.76%2.36%
199612-0.89%$12,346-1.27%-0.85%-0.63%
199710.67%$12,4285.46%0.25%-2.58%
199720.07%$12,437-0.11%0.11%-0.69%
19973-1.32%$12,273-4.45%-0.97%-1.20%
199741.72%$12,4834.50%1.49%-0.62%
199751.53%$12,6747.10%0.87%2.50%
199761.48%$12,8614.37%1.16%1.24%
199773.19%$13,2717.77%2.80%-0.36%
19978-1.12%$13,122-3.72%-0.85%-0.55%
199791.90%$13,3725.77%1.45%2.60%
1997100.93%$13,496-3.40%1.45%-0.06%
1997110.58%$13,5753.33%0.33%-0.82%
1997121.06%$13,7191.70%1.04%-0.25%
199811.21%$13,8850.44%1.32%0.49%
199820.66%$13,9767.34%-0.10%0.95%
199830.80%$14,0885.06%0.33%0.66%
199840.60%$14,1721.10%0.51%1.46%
199850.63%$14,260-2.71%1.02%-0.06%
199861.05%$14,4113.54%0.81%0.16%
199870.00%$14,411-2.27%0.23%0.84%
199880.14%$14,430-15.65%1.90%-0.08%
199892.51%$14,7936.68%1.96%5.09%
1998100.25%$14,8317.51%-0.55%0.24%
1998111.00%$14,9796.17%0.49%-0.70%
1998121.05%$15,1366.45%0.38%2.86%
199911.06%$15,2973.65%0.79%0.64%
19992-2.01%$14,990-3.73%-1.77%-3.36%
199930.86%$15,1203.93%0.56%-0.23%
199940.81%$15,2424.68%0.40%0.16%
19995-1.00%$15,090-2.00%-0.83%-2.72%
19996-0.02%$15,0865.16%-0.55%-1.49%
19997-0.58%$14,998-3.20%-0.39%2.14%
19998-0.16%$14,974-0.92%-0.08%-0.18%
199990.91%$15,110-2.44%1.26%1.60%
1999100.90%$15,2466.29%0.33%0.08%
1999110.30%$15,2933.42%0.02%-1.54%
1999120.34%$15,3447.59%-0.48%0.68%
20001-0.66%$15,243-4.18%-0.17%-3.31%
200021.28%$15,4392.54%1.18%0.26%
200031.86%$15,7255.69%1.40%2.68%
20004-1.03%$15,564-5.21%-0.49%-3.10%
20005-0.44%$15,495-3.41%-0.16%1.02%
200062.37%$15,8634.42%2.15%2.30%
200070.55%$15,950-1.95%0.88%-1.07%
200081.90%$16,2527.28%1.40%-0.95%
200090.22%$16,288-4.67%0.76%0.29%
2000100.25%$16,329-2.04%0.57%-1.56%
2000110.47%$16,405-9.90%1.58%1.57%
2000121.81%$16,7021.78%1.79%2.54%
200111.93%$17,0243.83%1.76%0.81%
20012-0.12%$17,004-9.41%0.91%0.05%
20013-0.26%$16,960-6.72%0.54%-2.54%
200140.37%$17,0238.16%-0.46%-0.43%
200150.73%$17,1471.01%0.73%-0.35%
200160.26%$17,192-1.64%0.52%-1.23%
200171.90%$17,519-1.71%2.23%4.05%
200180.51%$17,608-6.00%1.11%3.95%
20019-0.08%$17,594-9.00%0.89%0.45%
2001101.94%$17,9352.52%1.86%2.32%
200111-0.49%$17,8487.63%-1.34%-1.96%
200112-0.40%$17,7761.78%-0.58%-2.39%
200210.45%$17,856-1.24%0.69%-1.04%
200220.57%$17,957-2.05%0.85%0.72%
20023-0.86%$17,8024.38%-1.46%-0.39%
200241.12%$18,001-4.90%1.69%3.91%
200250.66%$18,120-1.22%0.80%2.60%
20026-0.29%$18,067-7.06%0.29%4.61%
20027-0.33%$18,008-8.02%0.48%0.99%
200281.53%$18,2840.53%1.66%1.08%
200290.40%$18,358-10.07%1.53%1.46%
2002100.20%$18,3947.65%-0.61%-0.29%
2002110.63%$18,5116.06%0.02%0.77%
2002121.43%$18,775-5.57%2.07%5.29%
20031-0.15%$18,747-2.54%0.05%1.82%
200321.10%$18,953-1.69%1.38%1.96%
20033-0.00%$18,9521.09%-0.13%0.02%
200341.60%$19,2558.21%0.87%1.45%
200352.31%$19,7006.11%1.82%4.18%
20036-0.02%$19,6961.43%-0.13%-1.36%
20037-2.78%$19,1482.36%-3.34%-3.22%
200380.76%$19,2942.39%0.61%-0.04%
200392.43%$19,762-1.15%2.71%5.80%
200310-0.25%$19,7126.12%-0.96%-0.35%
2003110.42%$19,7951.38%0.27%1.64%
2003121.32%$20,0564.48%0.88%3.90%
200410.98%$20,2532.23%0.86%0.37%
200421.05%$20,4661.43%1.03%0.32%
200430.64%$20,596-1.07%0.80%1.58%
20044-2.60%$20,060-2.11%-2.61%-3.86%
20045-0.22%$20,0161.35%-0.43%0.77%
200460.70%$20,1572.09%0.56%0.48%
200470.45%$20,249-3.80%0.96%-0.58%
200481.80%$20,6120.31%1.94%2.31%
200490.34%$20,6831.74%0.16%1.16%
2004101.00%$20,8901.68%0.85%3.27%
200411-0.14%$20,8614.68%-0.81%3.55%
2004121.21%$21,1133.63%0.92%1.85%
200510.26%$21,168-2.68%0.65%-1.64%
20052-0.34%$21,0962.07%-0.63%0.14%
20053-0.63%$20,963-1.75%-0.49%-1.08%
200541.01%$21,174-2.32%1.35%1.60%
200551.22%$21,4313.77%1.05%-2.28%
200560.54%$21,5480.81%0.55%-0.55%
20057-0.50%$21,4414.11%-0.99%-0.95%
200581.16%$21,689-0.94%1.36%2.28%
20059-0.95%$21,4840.86%-1.10%-2.34%
200510-0.94%$21,282-1.86%-0.81%-1.76%
2005110.76%$21,4433.97%0.48%-1.47%
2005120.93%$21,6420.14%0.99%1.64%
200610.28%$21,7033.50%-0.11%1.18%
200620.32%$21,7720.00%0.37%-0.21%
20063-0.72%$21,6161.80%-1.00%-0.78%
200640.01%$21,6171.11%-0.21%2.65%
20065-0.36%$21,539-3.23%-0.09%1.18%
200660.08%$21,5570.17%0.10%-0.83%
200671.19%$21,812-0.13%1.35%0.75%
200681.67%$22,1772.31%1.64%0.51%
200690.92%$22,3822.27%0.81%-0.19%
2006100.99%$22,6043.53%0.72%0.84%
2006111.26%$22,8902.23%1.11%2.58%
200612-0.36%$22,8071.13%-0.48%-1.88%
200710.07%$22,8231.88%-0.08%-1.28%
200721.22%$23,102-1.61%1.50%2.11%
200730.14%$23,1331.11%0.02%0.27%
200740.85%$23,3304.01%0.51%0.55%
20075-0.39%$23,2393.69%-0.78%-2.39%
20076-0.52%$23,118-1.67%-0.39%-0.64%
200770.50%$23,232-3.41%0.84%3.12%
200781.32%$23,5391.45%1.34%0.23%
200791.08%$23,7933.59%0.72%3.35%
2007101.03%$24,0381.85%0.93%1.44%
2007111.29%$24,349-4.49%1.91%2.02%
2007120.14%$24,383-0.60%0.22%0.27%
200811.12%$24,656-6.08%1.79%4.94%
20082-0.14%$24,620-3.07%0.09%2.40%
200830.25%$24,681-0.58%0.30%1.55%
200840.06%$24,6965.02%-0.40%-2.57%
20085-0.45%$24,5862.09%-0.69%-1.68%
20086-0.82%$24,385-8.19%-0.01%-0.51%
20087-0.08%$24,366-0.77%0.00%-0.16%
200880.69%$24,5341.58%0.70%-2.46%
20089-2.06%$24,029-9.26%-1.10%-6.41%
200810-4.07%$23,051-17.63%-2.53%-4.94%
2008112.41%$23,606-7.90%3.64%-0.06%
2008123.33%$24,3911.86%3.32%8.10%
20091-1.46%$24,035-8.26%-0.70%-1.76%
20092-1.51%$23,671-10.45%-0.42%-4.34%
200932.19%$24,1908.65%1.48%2.10%
200941.39%$24,52710.61%0.36%1.74%
200951.47%$24,8885.38%0.85%6.86%
200960.54%$25,0230.34%0.54%1.22%
200972.14%$25,5577.82%1.43%4.36%
200981.33%$25,8983.63%1.01%3.17%
200991.56%$26,3014.23%1.19%3.62%
2009100.15%$26,340-2.57%0.41%1.21%
2009111.82%$26,8195.63%1.36%2.88%
200912-1.32%$26,4652.86%-1.68%-4.47%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.51%
Arithmetic Mean (annualized)6.35%
Geometric Mean (monthly)0.51%
Geometric Mean (annualized)6.27%
Volatility (monthly)1.14%
Volatility (annualized)3.96%
Downside Deviation (monthly)0.62%
Max. Drawdown-6.66%
US Market Correlation0.47
Beta(*)0.12
Alpha (annualized)5.17%
R221.99%
Sharpe Ratio0.67
Sortino Ratio1.04
Treynor Ratio (%)22.39
Calmar Ratio0.76
Active Return-1.25%
Tracking Error14.41%
Information Ratio-0.09
Skewness-0.48
Excess Kurtosis1.41
Historical Value-at-Risk (5%)-1.43%
Analytical Value-at-Risk (5%)-1.37%
Conditional Value-at-Risk (5%)-2.22%
Upside Capture Ratio (%)22.14
Downside Capture Ratio (%)1.47
Safe Withdrawal Rate8.76%
Perpetual Withdrawal Rate3.56%
Positive Periods136 out of 192 (70.83%)
Gain/Loss Ratio1.30
* 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 1998-1.12%
Russian Debt DefaultJul 1998Oct 19980.00%
Dotcom CrashMar 2000Oct 2002-1.46%
Subprime CrisisNov 2007Mar 2009-6.66%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2008Oct 20086 monthsMay 20097 months1 year 1 month-6.66%
2Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-5.19%
3Apr 2004May 20042 monthsAug 20043 months5 months-2.82%
4Jun 2003Jul 20032 monthsSep 20032 months4 months-2.80%
5Feb 1996Apr 19963 monthsSep 19965 months8 months-2.14%
6Feb 1999Aug 19997 monthsDec 19994 months11 months-2.11%
7Sep 2005Oct 20052 monthsJan 20063 months5 months-1.88%
8Dec 1996Mar 19974 monthsApr 19971 month5 months-1.48%
9Apr 2000May 20002 monthsJun 20001 month3 months-1.46%
10Dec 2009Dec 20091 month-1.32%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market7.52%15.84%35.79%-37.04%-50.89%0.320.431.00
Total US Bond Market5.97%3.86%18.18%-2.66%-5.01%0.610.970.08
Global Bonds (Unhedged)6.77%7.43%22.91%-6.36%-17.49%0.440.710.19

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)Maximum Sharpe Ratio
US Stock Market1.000.080.190.47
Total US Bond Market0.081.000.630.92
Global Bonds (Unhedged)0.190.631.000.66

Portfolio Risk Decomposition

Portfolio risk decomposition
NameMaximum Sharpe Ratio
US Stock Market18.18%
Total US Bond Market78.05%
Global Bonds (Unhedged)3.77%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year6.57%19.96%-4.11%
3 years6.48%12.01%2.70%
5 years6.33%9.57%2.95%
7 years6.34%9.13%3.65%
10 years6.32%8.02%4.51%
15 years6.51%7.03%5.91%