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)

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 10.21%
Total US Bond Market 85.41%
Global Bonds (Unhedged) 4.38%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$26,569
CAGR6.30%
Expected Return 6.38%
Stdev4.00%
Best Year20.11%
Worst Year-2.34%
Max. Drawdown -6.96%
Sharpe Ratio (ex-ante)0.69
Sharpe Ratio (ex-post)0.67
Sortino Ratio1.04
US Stock Market Correlation0.49
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Maximum Sharpe Ratio0.64%8.77%5.06%4.60%5.59%6.30%
Trailing returns 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
#AssetCAGRExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1US Stock Market7.52%8.89%15.84%0.3340.00%100.00%
2Global ex-US Stock Market5.15%6.78%17.46%0.1820.00%100.00%
3Total US Bond Market5.97%6.05%3.86%0.6330.00%100.00%
4Global Bonds (Unhedged)6.77%7.06%7.43%0.4640.00%100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (3.61% annualized).

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 provided custom correlation matrix
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%0.657
22.27%2.22%95.50%0.00%6.13%3.80%0.664
33.47%1.42%95.11%0.00%6.16%3.81%0.670
44.67%0.62%94.71%0.00%6.19%3.81%0.676
55.82%0.00%94.18%0.00%6.21%3.82%0.682
66.82%0.00%93.18%0.00%6.24%3.84%0.686
77.81%0.00%92.19%0.00%6.27%3.86%0.689
88.68%0.00%90.99%0.34%6.30%3.89%0.691
99.19%0.00%89.13%1.68%6.33%3.93%0.693
109.70%0.00%87.27%3.03%6.35%3.96%0.693
1110.21%0.00%85.41%4.38%6.38%4.00%0.693
1210.72%0.00%83.55%5.73%6.41%4.05%0.693
1311.23%0.00%81.70%7.07%6.44%4.09%0.692
1411.74%0.00%79.84%8.42%6.47%4.14%0.690
1512.25%0.00%77.98%9.77%6.49%4.19%0.688
1612.76%0.00%76.12%11.12%6.52%4.25%0.686
1713.27%0.00%74.26%12.47%6.55%4.31%0.683
1813.78%0.00%72.40%13.81%6.58%4.37%0.680
1914.29%0.00%70.55%15.16%6.61%4.43%0.676
2014.80%0.00%68.69%16.51%6.63%4.50%0.673
2115.31%0.00%66.83%17.86%6.66%4.57%0.669
2215.82%0.00%64.97%19.21%6.69%4.64%0.665
2316.33%0.00%63.11%20.55%6.72%4.71%0.660
2416.84%0.00%61.26%21.90%6.75%4.78%0.656
2517.35%0.00%59.40%23.25%6.77%4.86%0.651
2617.86%0.00%57.54%24.60%6.80%4.94%0.647
2718.37%0.00%55.68%25.95%6.83%5.02%0.642
2818.88%0.00%53.82%27.29%6.86%5.10%0.637
2919.39%0.00%51.97%28.64%6.89%5.18%0.632
3019.90%0.00%50.11%29.99%6.91%5.27%0.627
3120.41%0.00%48.25%31.34%6.94%5.35%0.623
3220.92%0.00%46.39%32.68%6.97%5.44%0.618
3321.43%0.00%44.53%34.03%7.00%5.53%0.613
3421.94%0.00%42.68%35.38%7.03%5.62%0.608
3522.45%0.00%40.82%36.73%7.05%5.71%0.603
3622.96%0.00%38.96%38.08%7.08%5.81%0.598
3723.47%0.00%37.10%39.42%7.11%5.90%0.594
3823.98%0.00%35.24%40.77%7.14%5.99%0.589
3924.49%0.00%33.39%42.12%7.17%6.09%0.584
4025.00%0.00%31.53%43.47%7.19%6.19%0.580
4125.51%0.00%29.67%44.82%7.22%6.28%0.575
4226.02%0.00%27.81%46.16%7.25%6.38%0.571
4326.54%0.00%25.95%47.51%7.28%6.48%0.566
4427.05%0.00%24.10%48.86%7.31%6.58%0.562
4527.56%0.00%22.24%50.21%7.33%6.68%0.558
4628.07%0.00%20.38%51.56%7.36%6.78%0.554
4728.58%0.00%18.52%52.90%7.39%6.88%0.550
4829.09%0.00%16.66%54.25%7.42%6.99%0.546
4929.60%0.00%14.81%55.60%7.45%7.09%0.542
5030.11%0.00%12.95%56.95%7.48%7.19%0.538
5130.62%0.00%11.09%58.29%7.50%7.30%0.534
5231.13%0.00%9.23%59.64%7.53%7.40%0.530
5331.64%0.00%7.37%60.99%7.56%7.51%0.526
5432.15%0.00%5.51%62.34%7.59%7.61%0.523
5532.66%0.00%3.66%63.69%7.62%7.72%0.519
5633.17%0.00%1.80%65.03%7.64%7.83%0.516
5733.71%0.00%0.00%66.29%7.67%7.93%0.512
5835.25%0.00%0.00%64.75%7.70%8.04%0.509
5936.79%0.00%0.00%63.21%7.73%8.16%0.505
6038.34%0.00%0.00%61.66%7.76%8.28%0.501
6139.88%0.00%0.00%60.12%7.79%8.41%0.497
6241.42%0.00%0.00%58.58%7.81%8.55%0.492
6342.96%0.00%0.00%57.04%7.84%8.68%0.488
6444.50%0.00%0.00%55.50%7.87%8.83%0.483
6546.04%0.00%0.00%53.96%7.90%8.98%0.478
6647.58%0.00%0.00%52.42%7.93%9.13%0.473
6749.13%0.00%0.00%50.87%7.96%9.28%0.468
6850.67%0.00%0.00%49.33%7.98%9.45%0.463
6952.21%0.00%0.00%47.79%8.01%9.61%0.458
7053.75%0.00%0.00%46.25%8.04%9.78%0.453
7155.29%0.00%0.00%44.71%8.07%9.95%0.448
7256.83%0.00%0.00%43.17%8.10%10.12%0.443
7358.38%0.00%0.00%41.62%8.12%10.30%0.439
7459.92%0.00%0.00%40.08%8.15%10.48%0.434
7561.46%0.00%0.00%38.54%8.18%10.66%0.429
7663.00%0.00%0.00%37.00%8.21%10.85%0.424
7764.54%0.00%0.00%35.46%8.24%11.04%0.420
7866.08%0.00%0.00%33.92%8.27%11.23%0.415
7967.63%0.00%0.00%32.37%8.30%11.42%0.410
8069.17%0.00%0.00%30.83%8.32%11.62%0.406
8170.71%0.00%0.00%29.29%8.35%11.81%0.402
8272.25%0.00%0.00%27.75%8.38%12.01%0.397
8373.79%0.00%0.00%26.21%8.41%12.21%0.393
8475.33%0.00%0.00%24.67%8.44%12.42%0.389
8576.88%0.00%0.00%23.12%8.47%12.62%0.385
8678.42%0.00%0.00%21.58%8.49%12.83%0.381
8779.96%0.00%0.00%20.04%8.52%13.03%0.377
8881.50%0.00%0.00%18.50%8.55%13.24%0.373
8983.04%0.00%0.00%16.96%8.58%13.45%0.370
9084.58%0.00%0.00%15.42%8.61%13.66%0.366
9186.12%0.00%0.00%13.88%8.64%13.88%0.362
9287.67%0.00%0.00%12.33%8.66%14.09%0.359
9389.21%0.00%0.00%10.79%8.69%14.30%0.356
9490.75%0.00%0.00%9.25%8.72%14.52%0.352
9592.29%0.00%0.00%7.71%8.75%14.74%0.349
9693.83%0.00%0.00%6.17%8.78%14.95%0.346
9795.37%0.00%0.00%4.63%8.81%15.17%0.343
9896.92%0.00%0.00%3.08%8.84%15.39%0.340
9998.46%0.00%0.00%1.54%8.86%15.61%0.337
100100.00%0.00%0.00%0.00%8.89%15.84%0.334
*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 (3.61% annualized).
Annual returns for the configured portfolios
YearInflationMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceUS Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)
19942.67%-2.34%$9,766-0.17%-2.66%-1.71%
19952.54%20.11%$11,73035.79%18.18%22.91%
19963.32%5.59%$12,38520.96%3.58%10.33%
19971.70%11.08%$13,75830.99%9.44%-0.90%
19981.61%10.47%$15,19823.26%8.58%12.43%
19992.68%1.45%$15,41823.81%-0.76%-4.28%
20003.39%8.58%$16,741-10.57%11.39%0.43%
20011.55%6.26%$17,788-10.97%8.43%2.48%
20022.38%5.63%$18,790-20.96%8.26%21.33%
20031.88%7.12%$20,12831.35%3.97%16.59%
20043.26%5.41%$21,21712.52%4.24%11.57%
20053.42%2.40%$21,7275.98%2.40%-6.36%
20062.54%5.46%$22,91315.51%4.27%5.85%
20074.08%6.94%$24,5035.49%6.92%9.26%
20080.09%-0.31%$24,427-37.04%5.05%-2.68%
20092.72%8.77%$26,56928.70%5.93%17.17%
Monthly returns for the configured portfolios
YearMonthMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceUS Stock MarketTotal US Bond MarketGlobal Bonds (Unhedged)
199411.51%$10,1513.08%1.39%0.26%
19942-1.86%$9,963-2.24%-1.78%-2.36%
19943-2.47%$9,716-4.44%-2.30%-1.37%
19944-0.62%$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%
199471.93%$9,8113.08%1.84%0.96%
199480.55%$9,8654.39%0.14%-0.35%
19949-1.40%$9,727-1.85%-1.44%0.45%
1994100.16%$9,7431.55%-0.07%1.42%
199411-0.57%$9,687-3.65%-0.18%-0.92%
1994120.81%$9,7661.23%0.80%0.03%
199511.92%$9,9542.20%1.90%1.72%
199522.39%$10,1924.04%2.17%2.86%
199531.00%$10,2952.65%0.67%3.60%
199541.45%$10,4432.51%1.31%1.61%
199553.88%$10,8493.48%3.95%3.36%
199560.88%$10,9442.98%0.66%0.30%
199570.22%$10,9684.02%-0.25%0.69%
199581.05%$11,0831.07%1.18%-1.44%
199591.24%$11,2213.61%0.95%1.47%
1995101.23%$11,359-1.17%1.47%2.27%
1995111.77%$11,5604.17%1.44%2.61%
1995121.47%$11,7301.54%1.44%1.86%
199610.82%$11,8262.66%0.63%0.23%
19962-1.41%$11,6601.62%-1.76%-1.57%
19963-0.54%$11,5971.14%-0.77%0.11%
19964-0.14%$11,5812.41%-0.49%0.84%
199650.11%$11,5942.66%-0.17%-0.31%
199661.05%$11,716-0.84%1.27%1.19%
19967-0.26%$11,686-5.37%0.25%1.82%
199680.25%$11,7163.09%-0.16%1.76%
199692.07%$11,9585.38%1.70%1.43%
1996102.15%$12,2151.43%2.21%2.73%
1996112.30%$12,4966.81%1.76%2.36%
199612-0.89%$12,385-1.27%-0.85%-0.63%
199710.66%$12,4675.46%0.25%-2.58%
199720.06%$12,474-0.11%0.11%-0.69%
19973-1.34%$12,307-4.45%-0.97%-1.20%
199741.70%$12,5164.50%1.49%-0.62%
199751.58%$12,7147.10%0.87%2.50%
199761.50%$12,9044.37%1.16%1.24%
199773.17%$13,3137.77%2.80%-0.36%
19978-1.13%$13,162-3.72%-0.85%-0.55%
199791.94%$13,4185.77%1.45%2.60%
1997100.89%$13,536-3.40%1.45%-0.06%
1997110.58%$13,6153.33%0.33%-0.82%
1997121.05%$13,7581.70%1.04%-0.25%
199811.19%$13,9220.44%1.32%0.49%
199820.71%$14,0217.34%-0.10%0.95%
199830.83%$14,1375.06%0.33%0.66%
199840.61%$14,2241.10%0.51%1.46%
199850.59%$14,308-2.71%1.02%-0.06%
199861.06%$14,4593.54%0.81%0.16%
19987-0.00%$14,459-2.27%0.23%0.84%
199880.02%$14,462-15.65%1.90%-0.08%
199892.58%$14,8356.68%1.96%5.09%
1998100.30%$14,8807.51%-0.55%0.24%
1998111.01%$15,0316.17%0.49%-0.70%
1998121.11%$15,1986.45%0.38%2.86%
199911.08%$15,3623.65%0.79%0.64%
19992-2.04%$15,049-3.73%-1.77%-3.36%
199930.87%$15,1803.93%0.56%-0.23%
199940.83%$15,3054.68%0.40%0.16%
19995-1.03%$15,147-2.00%-0.83%-2.72%
19996-0.01%$15,1475.16%-0.55%-1.49%
19997-0.56%$15,061-3.20%-0.39%2.14%
19998-0.17%$15,036-0.92%-0.08%-0.18%
199990.90%$15,170-2.44%1.26%1.60%
1999100.93%$15,3116.29%0.33%0.08%
1999110.30%$15,3573.42%0.02%-1.54%
1999120.39%$15,4187.59%-0.48%0.68%
20001-0.72%$15,307-4.18%-0.17%-3.31%
200021.28%$15,5022.54%1.18%0.26%
200031.90%$15,7965.69%1.40%2.68%
20004-1.09%$15,625-5.21%-0.49%-3.10%
20005-0.44%$15,555-3.41%-0.16%1.02%
200062.39%$15,9274.42%2.15%2.30%
200070.51%$16,007-1.95%0.88%-1.07%
200081.90%$16,3117.28%1.40%-0.95%
200090.19%$16,341-4.67%0.76%0.29%
2000100.21%$16,375-2.04%0.57%-1.56%
2000110.41%$16,442-9.90%1.58%1.57%
2000121.82%$16,7411.78%1.79%2.54%
200111.93%$17,0643.83%1.76%0.81%
20012-0.18%$17,033-9.41%0.91%0.05%
20013-0.34%$16,975-6.72%0.54%-2.54%
200140.42%$17,0468.16%-0.46%-0.43%
200150.71%$17,1681.01%0.73%-0.35%
200160.23%$17,207-1.64%0.52%-1.23%
200171.91%$17,535-1.71%2.23%4.05%
200180.51%$17,624-6.00%1.11%3.95%
20019-0.13%$17,600-9.00%0.89%0.45%
2001101.95%$17,9432.52%1.86%2.32%
200111-0.45%$17,8637.63%-1.34%-1.96%
200112-0.42%$17,7881.78%-0.58%-2.39%
200210.42%$17,862-1.24%0.69%-1.04%
200220.55%$17,961-2.05%0.85%0.72%
20023-0.82%$17,8144.38%-1.46%-0.39%
200241.12%$18,013-4.90%1.69%3.91%
200250.67%$18,134-1.22%0.80%2.60%
20026-0.27%$18,084-7.06%0.29%4.61%
20027-0.36%$18,019-8.02%0.48%0.99%
200281.52%$18,2930.53%1.66%1.08%
200290.34%$18,355-10.07%1.53%1.46%
2002100.25%$18,4007.65%-0.61%-0.29%
2002110.67%$18,5246.06%0.02%0.77%
2002121.43%$18,790-5.57%2.07%5.29%
20031-0.14%$18,764-2.54%0.05%1.82%
200321.09%$18,968-1.69%1.38%1.96%
200330.00%$18,9691.09%-0.13%0.02%
200341.64%$19,2818.21%0.87%1.45%
200352.36%$19,7366.11%1.82%4.18%
20036-0.03%$19,7311.43%-0.13%-1.36%
20037-2.75%$19,1882.36%-3.34%-3.22%
200380.76%$19,3342.39%0.61%-0.04%
200392.45%$19,808-1.15%2.71%5.80%
200310-0.21%$19,7666.12%-0.96%-0.35%
2003110.44%$19,8541.38%0.27%1.64%
2003121.38%$20,1284.48%0.88%3.90%
200410.98%$20,3262.23%0.86%0.37%
200421.04%$20,5371.43%1.03%0.32%
200430.64%$20,669-1.07%0.80%1.58%
20044-2.62%$20,128-2.11%-2.61%-3.86%
20045-0.19%$20,0891.35%-0.43%0.77%
200460.71%$20,2322.09%0.56%0.48%
200470.41%$20,314-3.80%0.96%-0.58%
200481.79%$20,6780.31%1.94%2.31%
200490.37%$20,7541.74%0.16%1.16%
2004101.04%$20,9701.68%0.85%3.27%
200411-0.05%$20,9584.68%-0.81%3.55%
2004121.24%$21,2173.63%0.92%1.85%
200510.21%$21,262-2.68%0.65%-1.64%
20052-0.32%$21,1952.07%-0.63%0.14%
20053-0.65%$21,058-1.75%-0.49%-1.08%
200540.99%$21,266-2.32%1.35%1.60%
200551.18%$21,5183.77%1.05%-2.28%
200560.53%$21,6330.81%0.55%-0.55%
20057-0.47%$21,5314.11%-0.99%-0.95%
200581.16%$21,781-0.94%1.36%2.28%
20059-0.95%$21,5730.86%-1.10%-2.34%
200510-0.96%$21,366-1.86%-0.81%-1.76%
2005110.75%$21,5263.97%0.48%-1.47%
2005120.93%$21,7270.14%0.99%1.64%
200610.32%$21,7963.50%-0.11%1.18%
200620.31%$21,8630.00%0.37%-0.21%
20063-0.70%$21,7101.80%-1.00%-0.78%
200640.05%$21,7211.11%-0.21%2.65%
20065-0.36%$21,643-3.23%-0.09%1.18%
200660.07%$21,6580.17%0.10%-0.83%
200671.17%$21,912-0.13%1.35%0.75%
200681.66%$22,2762.31%1.64%0.51%
200690.92%$22,4802.27%0.81%-0.19%
2006101.01%$22,7073.53%0.72%0.84%
2006111.29%$22,9992.23%1.11%2.58%
200612-0.37%$22,9131.13%-0.48%-1.88%
200710.07%$22,9281.88%-0.08%-1.28%
200721.21%$23,207-1.61%1.50%2.11%
200730.14%$23,2401.11%0.02%0.27%
200740.87%$23,4424.01%0.51%0.55%
20075-0.39%$23,3503.69%-0.78%-2.39%
20076-0.53%$23,227-1.67%-0.39%-0.64%
200770.50%$23,344-3.41%0.84%3.12%
200781.30%$23,6491.45%1.34%0.23%
200791.13%$23,9153.59%0.72%3.35%
2007101.04%$24,1651.85%0.93%1.44%
2007111.26%$24,470-4.49%1.91%2.02%
2007120.14%$24,503-0.60%0.22%0.27%
200811.12%$24,778-6.08%1.79%4.94%
20082-0.13%$24,746-3.07%0.09%2.40%
200830.26%$24,810-0.58%0.30%1.55%
200840.06%$24,8255.02%-0.40%-2.57%
20085-0.45%$24,7142.09%-0.69%-1.68%
20086-0.86%$24,500-8.19%-0.01%-0.51%
20087-0.09%$24,480-0.77%0.00%-0.16%
200880.65%$24,6391.58%0.70%-2.46%
20089-2.17%$24,104-9.26%-1.10%-6.41%
200810-4.18%$23,097-17.63%-2.53%-4.94%
2008112.30%$23,628-7.90%3.64%-0.06%
2008123.38%$24,4271.86%3.32%8.10%
20091-1.51%$24,057-8.26%-0.70%-1.76%
20092-1.62%$23,668-10.45%-0.42%-4.34%
200932.24%$24,1988.65%1.48%2.10%
200941.46%$24,55210.61%0.36%1.74%
200951.57%$24,9395.38%0.85%6.86%
200960.55%$25,0760.34%0.54%1.22%
200972.21%$25,6307.82%1.43%4.36%
200981.38%$25,9823.63%1.01%3.17%
200991.60%$26,3994.23%1.19%3.62%
2009100.14%$26,437-2.57%0.41%1.21%
2009111.86%$26,9295.63%1.36%2.88%
200912-1.34%$26,5692.86%-1.68%-4.47%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.52%
Arithmetic Mean (annualized)6.38%
Geometric Mean (monthly)0.51%
Geometric Mean (annualized)6.30%
Volatility (monthly)1.16%
Volatility (annualized)4.00%
Downside Deviation (monthly)0.63%
Max. Drawdown-6.96%
US Market Correlation0.49
Beta(*)0.12
Alpha (annualized)5.15%
R223.79%
Sharpe Ratio0.67
Sortino Ratio1.04
Treynor Ratio (%)21.52
Calmar Ratio0.73
Active Return-1.22%
Tracking Error14.32%
Information Ratio-0.09
Skewness-0.49
Excess Kurtosis1.45
Historical Value-at-Risk (5%)-1.45%
Analytical Value-at-Risk (5%)-1.38%
Conditional Value-at-Risk (5%)-2.36%
Upside Capture Ratio (%)22.62
Downside Capture Ratio (%)2.09
Safe Withdrawal Rate8.79%
Perpetual Withdrawal Rate3.59%
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 1998-1.13%
Russian Debt DefaultJul 1998Oct 1998-0.00%
Dotcom CrashMar 2000Oct 2002-1.52%
Subprime CrisisNov 2007Mar 2009-6.96%

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-6.96%
2Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-5.18%
3Apr 2004May 20042 monthsAug 20043 months5 months-2.81%
4Jun 2003Jul 20032 monthsSep 20032 months4 months-2.78%
5Feb 1999Aug 19997 monthsDec 19994 months11 months-2.12%
6Feb 1996Apr 19963 monthsSep 19965 months8 months-2.07%
7Sep 2005Oct 20052 monthsJan 20063 months5 months-1.90%
8Apr 2000May 20002 monthsJun 20001 month3 months-1.52%
9Dec 1996Mar 19974 monthsApr 19971 month5 months-1.52%
10Dec 2009Dec 20091 month-1.34%
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 Market1.000.080.190.49
Total US Bond Market0.081.000.630.91
Global Bonds (Unhedged)0.190.631.000.67

Portfolio Risk Decomposition

Portfolio risk decomposition
NameMaximum Sharpe Ratio
US Stock Market19.70%
Total US Bond Market74.81%
Global Bonds (Unhedged)5.48%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year6.41%20.11%-2.34%
3 years6.48%12.10%3.98%
5 years6.38%9.56%3.95%
7 years6.35%8.94%4.64%
10 years6.34%8.07%4.86%
15 years6.52%6.90%6.13%
Result statistics are based on annualized rolling returns over full calendar year periods