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
Min. Weight
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Portfolio Optimization Results (Jan 1987 - Dec 2009)

Portfolio optimization results with goal to maximize sharpe ratio. The possible range of expected annual portfolio returns for the given period is 7.00% to 10.47%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Asset Class Allocation
US Stock Market 11.19%
Total US Bond Market 88.81%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$50,046
CAGR7.25%
Expected Return 7.35%
Stdev4.25%
Best Year20.06%
Worst Year-2.36%
Max. Drawdown -6.71%
Sharpe Ratio (ex-ante)0.72
Sharpe Ratio (ex-post)0.69
Sortino Ratio1.07
US Stock Market Correlation0.53
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Maximum Sharpe Ratio0.73%8.50%4.88%4.59%5.48%7.25%
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 Market9.08%10.47%15.78%0.3910.00%100.00%
2Global ex-US Stock Market5.93%7.78%18.55%0.1870.00%100.00%
3Total US Bond Market6.87%6.96%4.09%0.6490.00%100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (4.31% annualized).

Asset Correlations

Efficient Frontier Asset Correlations
AssetUS Stock MarketGlobal ex-US Stock MarketTotal US Bond Market
US Stock Market1.000.690.14
Global ex-US Stock Market0.691.000.05
Total US Bond Market0.140.051.00
Based on provided custom correlation matrix
Efficient Frontier Assets
#US Stock MarketGlobal ex-US Stock MarketTotal US Bond MarketExpected Return*Standard Deviation*Sharpe Ratio*
10.42%3.36%96.21%7.00%4.03%0.669
21.55%2.82%95.63%7.04%4.03%0.677
32.67%2.28%95.05%7.07%4.04%0.685
43.80%1.74%94.46%7.11%4.05%0.691
54.92%1.19%93.88%7.14%4.06%0.697
66.05%0.65%93.30%7.17%4.08%0.703
77.18%0.11%92.72%7.21%4.10%0.707
88.20%0.00%91.80%7.24%4.13%0.711
99.20%0.00%90.80%7.28%4.16%0.714
1010.19%0.00%89.81%7.31%4.20%0.716
1111.19%0.00%88.81%7.35%4.25%0.716
1212.19%0.00%87.81%7.38%4.29%0.716
1313.19%0.00%86.81%7.42%4.35%0.715
1414.19%0.00%85.81%7.45%4.41%0.713
1515.18%0.00%84.82%7.49%4.47%0.711
1616.18%0.00%83.82%7.52%4.54%0.708
1717.18%0.00%82.82%7.56%4.61%0.704
1818.18%0.00%81.82%7.59%4.69%0.700
1919.18%0.00%80.82%7.63%4.77%0.695
2020.17%0.00%79.83%7.66%4.86%0.690
2121.17%0.00%78.83%7.70%4.95%0.685
2222.17%0.00%77.83%7.73%5.04%0.680
2323.17%0.00%76.83%7.76%5.13%0.674
2424.16%0.00%75.84%7.80%5.23%0.668
2525.16%0.00%74.84%7.83%5.33%0.662
2626.16%0.00%73.84%7.87%5.43%0.656
2727.16%0.00%72.84%7.90%5.54%0.649
2828.16%0.00%71.84%7.94%5.65%0.643
2929.15%0.00%70.85%7.97%5.76%0.637
3030.15%0.00%69.85%8.01%5.87%0.630
3131.15%0.00%68.85%8.04%5.99%0.624
3232.15%0.00%67.85%8.08%6.10%0.618
3333.14%0.00%66.86%8.11%6.22%0.612
3434.14%0.00%65.86%8.15%6.34%0.606
3535.14%0.00%64.86%8.18%6.46%0.600
3636.14%0.00%63.86%8.22%6.59%0.594
3737.14%0.00%62.86%8.25%6.71%0.588
3838.13%0.00%61.87%8.29%6.84%0.582
3939.13%0.00%60.87%8.32%6.96%0.577
4040.13%0.00%59.87%8.36%7.09%0.571
4141.13%0.00%58.87%8.39%7.22%0.566
4242.13%0.00%57.87%8.43%7.35%0.560
4343.12%0.00%56.88%8.46%7.48%0.555
4444.12%0.00%55.88%8.50%7.62%0.550
4545.12%0.00%54.88%8.53%7.75%0.545
4646.12%0.00%53.88%8.57%7.88%0.540
4747.11%0.00%52.89%8.60%8.02%0.536
4848.11%0.00%51.89%8.64%8.16%0.531
4949.11%0.00%50.89%8.67%8.29%0.526
5050.11%0.00%49.89%8.71%8.43%0.522
5151.11%0.00%48.89%8.74%8.57%0.518
5252.10%0.00%47.90%8.78%8.71%0.513
5353.10%0.00%46.90%8.81%8.85%0.509
5454.10%0.00%45.90%8.85%8.99%0.505
5555.10%0.00%44.90%8.88%9.13%0.501
5656.09%0.00%43.91%8.92%9.27%0.498
5757.09%0.00%42.91%8.95%9.41%0.494
5858.09%0.00%41.91%8.99%9.55%0.490
5959.09%0.00%40.91%9.02%9.69%0.487
6060.09%0.00%39.91%9.06%9.84%0.483
6161.08%0.00%38.92%9.09%9.98%0.480
6262.08%0.00%37.92%9.13%10.13%0.476
6363.08%0.00%36.92%9.16%10.27%0.473
6464.08%0.00%35.92%9.20%10.41%0.470
6565.08%0.00%34.92%9.23%10.56%0.467
6666.07%0.00%33.93%9.27%10.70%0.464
6767.07%0.00%32.93%9.31%10.85%0.461
6868.07%0.00%31.93%9.34%11.00%0.458
6969.07%0.00%30.93%9.38%11.14%0.455
7070.06%0.00%29.94%9.41%11.29%0.452
7171.06%0.00%28.94%9.45%11.44%0.449
7272.06%0.00%27.94%9.48%11.58%0.447
7373.06%0.00%26.94%9.52%11.73%0.444
7474.06%0.00%25.94%9.55%11.88%0.442
7575.05%0.00%24.95%9.59%12.03%0.439
7676.05%0.00%23.95%9.62%12.17%0.437
7777.05%0.00%22.95%9.66%12.32%0.434
7878.05%0.00%21.95%9.69%12.47%0.432
7979.05%0.00%20.95%9.73%12.62%0.430
8080.04%0.00%19.96%9.76%12.77%0.427
8181.04%0.00%18.96%9.80%12.92%0.425
8282.04%0.00%17.96%9.84%13.07%0.423
8383.04%0.00%16.96%9.87%13.22%0.421
8484.03%0.00%15.97%9.91%13.37%0.419
8585.03%0.00%14.97%9.94%13.52%0.417
8686.03%0.00%13.97%9.98%13.67%0.415
8787.03%0.00%12.97%10.01%13.82%0.413
8888.03%0.00%11.97%10.05%13.97%0.411
8989.02%0.00%10.98%10.08%14.12%0.409
9090.02%0.00%9.98%10.12%14.27%0.407
9191.02%0.00%8.98%10.15%14.42%0.405
9292.02%0.00%7.98%10.19%14.57%0.404
9393.01%0.00%6.99%10.23%14.72%0.402
9494.01%0.00%5.99%10.26%14.87%0.400
9595.01%0.00%4.99%10.30%15.02%0.399
9696.01%0.00%3.99%10.33%15.18%0.397
9797.01%0.00%2.99%10.37%15.33%0.395
9898.00%0.00%2.00%10.40%15.48%0.394
9999.00%0.00%1.00%10.44%15.63%0.392
100100.00%0.00%0.00%10.47%15.78%0.391
*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 (4.31% annualized).
Annual returns for the configured portfolios
YearInflationMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceUS Stock MarketTotal US Bond Market
19874.43%2.19%$10,2192.61%1.54%
19884.42%8.45%$11,08217.32%7.35%
19894.65%15.25%$12,77228.12%13.64%
19906.11%7.00%$13,667-6.08%8.65%
19913.06%17.15%$16,01132.39%15.25%
19922.90%7.39%$17,1949.11%7.14%
19932.75%9.81%$18,88110.62%9.68%
19942.67%-2.36%$18,436-0.17%-2.66%
19952.54%20.06%$22,13535.79%18.18%
19963.32%5.46%$23,34320.96%3.58%
19971.70%11.76%$26,09030.99%9.44%
19981.61%10.46%$28,81823.26%8.58%
19992.68%1.83%$29,34623.81%-0.76%
20003.39%8.84%$31,941-10.57%11.39%
20011.55%6.33%$33,962-10.97%8.43%
20022.38%4.79%$35,589-20.96%8.26%
20031.88%6.84%$38,02231.35%3.97%
20043.26%5.17%$39,98812.52%4.24%
20053.42%2.84%$41,1235.98%2.40%
20062.54%5.50%$43,38315.51%4.27%
20074.08%6.82%$46,3425.49%6.92%
20080.09%-0.47%$46,125-37.04%5.05%
20092.72%8.50%$50,04628.70%5.93%
Monthly returns for the configured portfolios
YearMonthMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceUS Stock MarketTotal US Bond Market
198712.59%$10,25912.85%1.29%
198721.02%$10,3634.79%0.54%
19873-0.32%$10,3302.26%-0.64%
19874-3.00%$10,020-1.48%-3.20%
19875-0.30%$9,9900.47%-0.39%
198761.73%$10,1634.19%1.42%
198770.41%$10,2054.57%-0.11%
19878-0.27%$10,1783.77%-0.77%
19879-2.23%$9,951-2.08%-2.25%
1987100.61%$10,012-22.27%3.50%
198711-0.18%$9,993-7.16%0.69%
1987122.26%$10,2197.30%1.62%
198813.23%$10,5494.38%3.09%
198821.64%$10,7225.21%1.19%
19883-1.18%$10,596-1.42%-1.15%
19884-0.37%$10,5571.11%-0.56%
19885-0.86%$10,466-0.06%-0.96%
198862.94%$10,7734.92%2.68%
19887-0.50%$10,720-0.64%-0.48%
19888-0.15%$10,703-2.80%0.18%
198892.36%$10,9563.71%2.19%
1988101.48%$11,1181.65%1.46%
198811-0.94%$11,014-1.57%-0.86%
1988120.62%$11,0822.00%0.45%
198911.51%$11,2506.61%0.87%
19892-0.75%$11,165-1.82%-0.62%
198930.46%$11,2172.11%0.26%
198942.29%$11,4744.81%1.98%
198952.69%$11,7833.87%2.54%
198962.58%$12,087-0.22%2.93%
198972.79%$12,4257.63%2.19%
19898-1.17%$12,2792.25%-1.60%
198990.39%$12,327-0.23%0.47%
1989101.87%$12,558-2.83%2.46%
1989110.84%$12,6641.56%0.75%
1989120.86%$12,7721.83%0.74%
19901-2.46%$12,458-7.01%-1.89%
199020.85%$12,5631.60%0.75%
199030.34%$12,6062.47%0.08%
19904-1.12%$12,465-2.84%-0.90%
199053.52%$12,9048.77%2.86%
199061.36%$13,080-0.53%1.60%
199071.00%$13,211-1.10%1.27%
19908-2.09%$12,935-9.02%-1.21%
199090.06%$12,943-5.18%0.72%
1990101.18%$13,096-1.24%1.49%
1990112.70%$13,4496.40%2.23%
1990121.62%$13,6672.95%1.45%
199111.55%$13,8784.96%1.12%
199121.47%$14,0826.92%0.78%
199130.94%$14,2132.89%0.69%
199140.92%$14,3440.39%0.99%
199151.05%$14,4943.98%0.68%
19916-0.55%$14,414-4.47%-0.06%
199171.71%$14,6614.83%1.32%
199182.11%$14,9712.65%2.05%
199191.65%$15,218-1.19%2.01%
1991101.04%$15,3771.72%0.96%
1991110.23%$15,412-3.83%0.74%
1991123.89%$16,01110.56%3.04%
19921-1.23%$15,814-0.01%-1.39%
199220.69%$15,9231.28%0.62%
19923-0.71%$15,810-2.40%-0.50%
199240.79%$15,9351.41%0.71%
199251.70%$16,2050.52%1.84%
199260.96%$16,360-1.85%1.31%
199272.13%$16,7093.85%1.91%
199280.64%$16,816-2.07%0.98%
199291.24%$17,0241.07%1.26%
199210-0.95%$16,8621.17%-1.22%
1992110.45%$16,9384.20%-0.02%
1992121.51%$17,1941.81%1.48%
199311.70%$17,4871.01%1.79%
199321.80%$17,8010.46%1.97%
199330.60%$17,9082.46%0.37%
199340.35%$17,971-2.77%0.74%
199350.46%$18,0543.03%0.14%
199361.66%$18,3530.55%1.80%
199370.51%$18,447-0.27%0.61%
199381.94%$18,8053.93%1.69%
199390.36%$18,8720.01%0.40%
1993100.45%$18,9581.64%0.30%
199311-1.04%$18,761-1.62%-0.97%
1993120.64%$18,8811.90%0.48%
199411.58%$19,1793.08%1.39%
19942-1.84%$18,827-2.24%-1.78%
19943-2.54%$18,349-4.44%-2.30%
19944-0.64%$18,2320.89%-0.83%
199450.11%$18,2530.97%0.00%
19946-0.47%$18,167-2.73%-0.18%
199471.98%$18,5283.08%1.84%
199480.62%$18,6424.39%0.14%
19949-1.49%$18,364-1.85%-1.44%
1994100.11%$18,3851.55%-0.07%
199411-0.57%$18,280-3.65%-0.18%
1994120.85%$18,4361.23%0.80%
199511.93%$18,7922.20%1.90%
199522.38%$19,2404.04%2.17%
199530.90%$19,4122.65%0.67%
199541.45%$19,6932.51%1.31%
199553.90%$20,4613.48%3.95%
199560.92%$20,6482.98%0.66%
199570.22%$20,6944.02%-0.25%
199581.16%$20,9351.07%1.18%
199591.25%$21,1963.61%0.95%
1995101.17%$21,445-1.17%1.47%
1995111.75%$21,8194.17%1.44%
1995121.45%$22,1351.54%1.44%
199610.86%$22,3252.66%0.63%
19962-1.38%$22,0161.62%-1.76%
19963-0.56%$21,8931.14%-0.77%
19964-0.17%$21,8572.41%-0.49%
199650.14%$21,8892.66%-0.17%
199661.04%$22,116-0.84%1.27%
19967-0.38%$22,032-5.37%0.25%
199680.20%$22,0763.09%-0.16%
199692.11%$22,5435.38%1.70%
1996102.12%$23,0211.43%2.21%
1996112.32%$23,5566.81%1.76%
199612-0.90%$23,343-1.27%-0.85%
199710.83%$23,5375.46%0.25%
199720.09%$23,558-0.11%0.11%
19973-1.36%$23,237-4.45%-0.97%
199741.83%$23,6614.50%1.49%
199751.57%$24,0327.10%0.87%
199761.52%$24,3984.37%1.16%
199773.36%$25,2187.77%2.80%
19978-1.17%$24,922-3.72%-0.85%
199791.93%$25,4035.77%1.45%
1997100.90%$25,633-3.40%1.45%
1997110.66%$25,8033.33%0.33%
1997121.11%$26,0901.70%1.04%
199811.22%$26,4090.44%1.32%
199820.74%$26,6037.34%-0.10%
199830.86%$26,8315.06%0.33%
199840.58%$26,9861.10%0.51%
199850.60%$27,148-2.71%1.02%
199861.11%$27,4513.54%0.81%
19987-0.05%$27,436-2.27%0.23%
19988-0.07%$27,418-15.65%1.90%
199892.49%$28,1006.68%1.96%
1998100.35%$28,1987.51%-0.55%
1998111.12%$28,5156.17%0.49%
1998121.06%$28,8186.45%0.38%
199911.11%$29,1393.65%0.79%
19992-1.99%$28,560-3.73%-1.77%
199930.94%$28,8283.93%0.56%
199940.88%$29,0814.68%0.40%
19995-0.96%$28,802-2.00%-0.83%
199960.09%$28,8285.16%-0.55%
19997-0.70%$28,626-3.20%-0.39%
19998-0.17%$28,577-0.92%-0.08%
199990.84%$28,818-2.44%1.26%
1999101.00%$29,1066.29%0.33%
1999110.40%$29,2223.42%0.02%
1999120.42%$29,3467.59%-0.48%
20001-0.62%$29,163-4.18%-0.17%
200021.33%$29,5512.54%1.18%
200031.88%$30,1075.69%1.40%
20004-1.02%$29,801-5.21%-0.49%
20005-0.53%$29,644-3.41%-0.16%
200062.40%$30,3574.42%2.15%
200070.56%$30,528-1.95%0.88%
200082.06%$31,1557.28%1.40%
200090.15%$31,203-4.67%0.76%
2000100.27%$31,289-2.04%0.57%
2000110.30%$31,381-9.90%1.58%
2000121.79%$31,9411.78%1.79%
200111.99%$32,5783.83%1.76%
20012-0.25%$32,497-9.41%0.91%
20013-0.27%$32,408-6.72%0.54%
200140.50%$32,5718.16%-0.46%
200150.76%$32,8201.01%0.73%
200160.28%$32,913-1.64%0.52%
200171.79%$33,501-1.71%2.23%
200180.31%$33,606-6.00%1.11%
20019-0.21%$33,534-9.00%0.89%
2001101.94%$34,1832.52%1.86%
200111-0.33%$34,0697.63%-1.34%
200112-0.31%$33,9621.78%-0.58%
200210.47%$34,123-1.24%0.69%
200220.53%$34,303-2.05%0.85%
20023-0.81%$34,0264.38%-1.46%
200240.95%$34,351-4.90%1.69%
200250.57%$34,548-1.22%0.80%
20026-0.53%$34,364-7.06%0.29%
20027-0.47%$34,203-8.02%0.48%
200281.53%$34,7280.53%1.66%
200290.23%$34,808-10.07%1.53%
2002100.31%$34,9177.65%-0.61%
2002110.70%$35,1616.06%0.02%
2002121.22%$35,589-5.57%2.07%
20031-0.24%$35,504-2.54%0.05%
200321.03%$35,871-1.69%1.38%
200330.01%$35,8741.09%-0.13%
200341.69%$36,4808.21%0.87%
200352.30%$37,3206.11%1.82%
200360.04%$37,3351.43%-0.13%
20037-2.70%$36,3272.36%-3.34%
200380.81%$36,6212.39%0.61%
200392.28%$37,454-1.15%2.71%
200310-0.17%$37,3926.12%-0.96%
2003110.39%$37,5391.38%0.27%
2003121.29%$38,0224.48%0.88%
200411.02%$38,4082.23%0.86%
200421.08%$38,8211.43%1.03%
200430.59%$39,049-1.07%0.80%
20044-2.56%$38,051-2.11%-2.61%
20045-0.23%$37,9641.35%-0.43%
200460.73%$38,2412.09%0.56%
200470.43%$38,405-3.80%0.96%
200481.76%$39,0810.31%1.94%
200490.34%$39,2131.74%0.16%
2004100.94%$39,5821.68%0.85%
200411-0.19%$39,5064.68%-0.81%
2004121.22%$39,9883.63%0.92%
200510.28%$40,101-2.68%0.65%
20052-0.32%$39,9712.07%-0.63%
20053-0.63%$39,718-1.75%-0.49%
200540.94%$40,092-2.32%1.35%
200551.36%$40,6373.77%1.05%
200560.58%$40,8730.81%0.55%
20057-0.42%$40,7004.11%-0.99%
200581.10%$41,147-0.94%1.36%
20059-0.88%$40,7850.86%-1.10%
200510-0.93%$40,407-1.86%-0.81%
2005110.87%$40,7583.97%0.48%
2005120.89%$41,1230.14%0.99%
200610.30%$41,2443.50%-0.11%
200620.33%$41,3820.00%0.37%
20063-0.68%$41,0981.80%-1.00%
20064-0.06%$41,0741.11%-0.21%
20065-0.45%$40,890-3.23%-0.09%
200660.11%$40,9360.17%0.10%
200671.18%$41,420-0.13%1.35%
200681.72%$42,1312.31%1.64%
200690.97%$42,5422.27%0.81%
2006101.03%$42,9813.53%0.72%
2006111.23%$43,5112.23%1.11%
200612-0.30%$43,3831.13%-0.48%
200710.14%$43,4421.88%-0.08%
200721.16%$43,944-1.61%1.50%
200730.14%$44,0071.11%0.02%
200740.90%$44,4054.01%0.51%
20075-0.28%$44,2823.69%-0.78%
20076-0.53%$44,047-1.67%-0.39%
200770.36%$44,207-3.41%0.84%
200781.35%$44,8051.45%1.34%
200791.04%$45,2723.59%0.72%
2007101.03%$45,7381.85%0.93%
2007111.19%$46,284-4.49%1.91%
2007120.12%$46,342-0.60%0.22%
200810.91%$46,763-6.08%1.79%
20082-0.26%$46,640-3.07%0.09%
200830.20%$46,732-0.58%0.30%
200840.21%$46,8305.02%-0.40%
20085-0.38%$46,6532.09%-0.69%
20086-0.92%$46,223-8.19%-0.01%
20087-0.09%$46,183-0.77%0.00%
200880.80%$46,5521.58%0.70%
20089-2.02%$45,613-9.26%-1.10%
200810-4.22%$43,686-17.63%-2.53%
2008112.35%$44,712-7.90%3.64%
2008123.16%$46,1251.86%3.32%
20091-1.54%$45,413-8.26%-0.70%
20092-1.55%$44,711-10.45%-0.42%
200932.28%$45,7328.65%1.48%
200941.50%$46,42010.61%0.36%
200951.36%$47,0505.38%0.85%
200960.52%$47,2930.34%0.54%
200972.14%$48,3067.82%1.43%
200981.31%$48,9383.63%1.01%
200991.53%$49,6864.23%1.19%
2009100.08%$49,724-2.57%0.41%
2009111.84%$50,6385.63%1.36%
200912-1.17%$50,0462.86%-1.68%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.59%
Arithmetic Mean (annualized)7.35%
Geometric Mean (monthly)0.59%
Geometric Mean (annualized)7.25%
Volatility (monthly)1.23%
Volatility (annualized)4.25%
Downside Deviation (monthly)0.63%
Max. Drawdown-6.71%
US Market Correlation0.53
Beta(*)0.14
Alpha (annualized)5.68%
R228.30%
Sharpe Ratio0.69
Sortino Ratio1.07
Treynor Ratio (%)20.18
Calmar Ratio0.73
Active Return-1.83%
Tracking Error13.99%
Information Ratio-0.13
Skewness-0.37
Excess Kurtosis0.91
Historical Value-at-Risk (5%)-1.50%
Analytical Value-at-Risk (5%)-1.42%
Conditional Value-at-Risk (5%)-2.36%
Upside Capture Ratio (%)26.88
Downside Capture Ratio (%)3.95
Safe Withdrawal Rate7.17%
Perpetual Withdrawal Rate4.01%
Positive Periods198 out of 276 (71.74%)
Gain/Loss Ratio1.33
* 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
Black Monday PeriodSep 1987Nov 1987-2.23%
Asian CrisisJul 1997Jan 1998-1.17%
Russian Debt DefaultJul 1998Oct 1998-0.12%
Dotcom CrashMar 2000Oct 2002-1.54%
Subprime CrisisNov 2007Mar 2009-6.71%

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-6.71%
2Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-5.27%
3Mar 1987Sep 19877 monthsJan 19884 months11 months-3.98%
4Apr 2004May 20042 monthsAug 20043 months5 months-2.78%
5Jul 2003Jul 20031 monthSep 20032 months3 months-2.70%
6Jan 1990Jan 19901 monthMay 19904 months5 months-2.46%
7Mar 1988May 19883 monthsJun 19881 month4 months-2.39%
8Feb 1996Apr 19963 monthsSep 19965 months8 months-2.09%
9Aug 1990Aug 19901 monthNov 19903 months4 months-2.09%
10Feb 1999Feb 19991 monthNov 19999 months10 months-1.99%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market9.08%15.78%35.79%-37.04%-50.89%0.370.501.00
Total US Bond Market6.87%4.09%18.18%-2.66%-5.86%0.620.970.14

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketTotal US Bond MarketMaximum Sharpe Ratio
US Stock Market1.000.140.53
Total US Bond Market0.141.000.91

Portfolio Risk Decomposition

Portfolio risk decomposition
NameMaximum Sharpe Ratio
US Stock Market22.13%
Total US Bond Market77.87%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.37%20.06%-2.36%
3 years7.52%13.05%3.90%
5 years7.52%11.24%3.94%
7 years7.49%10.39%4.47%
10 years7.56%10.03%4.82%
15 years7.55%8.67%6.14%
Result statistics are based on annualized rolling returns over full calendar year periods