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) Save

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 Return7.35%
Stdev4.25%
Best Year20.06%
Worst Year-2.36%
Max. Drawdown -6.71%
Sharpe Ratio (ex-ante)0.68
Sharpe Ratio (ex-post)0.69
Sortino Ratio1.07
US Stock Market Correlation0.53
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 Ratio0.73%8.50%4.88%4.59%5.48%7.25%4.89%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 Market10.47%15.78%0.3660.00%100.00%
2Global ex-US Stock Market7.78%18.55%0.1770.00%100.00%
3Total US Bond Market6.96%4.09%0.6170.00%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 Market
US Stock Market1.000.690.14
Global ex-US Stock Market0.691.000.05
Total US Bond Market0.140.051.00
Based on monthly returns from Jan 1987 to Dec 2009
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%0.636
21.55%2.82%95.63%7.04%4.03%0.644
32.67%2.28%95.05%7.07%4.04%0.651
43.80%1.74%94.46%7.11%4.05%0.657
54.92%1.19%93.88%7.14%4.06%0.663
66.05%0.65%93.30%7.17%4.08%0.668
77.18%0.11%92.72%7.21%4.10%0.672
88.20%0.00%91.80%7.24%4.13%0.675
99.20%0.00%90.80%7.28%4.16%0.678
1010.19%0.00%89.81%7.31%4.20%0.679
1111.19%0.00%88.81%7.35%4.25%0.680
1212.19%0.00%87.81%7.38%4.29%0.680
1313.19%0.00%86.81%7.42%4.35%0.679
1414.19%0.00%85.81%7.45%4.41%0.677
1515.18%0.00%84.82%7.49%4.47%0.675
1616.18%0.00%83.82%7.52%4.54%0.672
1717.18%0.00%82.82%7.56%4.61%0.668
1818.18%0.00%81.82%7.59%4.69%0.664
1919.18%0.00%80.82%7.63%4.77%0.659
2020.17%0.00%79.83%7.66%4.86%0.655
2121.17%0.00%78.83%7.70%4.95%0.650
2222.17%0.00%77.83%7.73%5.04%0.644
2323.17%0.00%76.83%7.76%5.13%0.639
2424.16%0.00%75.84%7.80%5.23%0.633
2525.16%0.00%74.84%7.83%5.33%0.627
2626.16%0.00%73.84%7.87%5.43%0.621
2727.16%0.00%72.84%7.90%5.54%0.615
2828.16%0.00%71.84%7.94%5.65%0.609
2929.15%0.00%70.85%7.97%5.76%0.603
3030.15%0.00%69.85%8.01%5.87%0.597
3131.15%0.00%68.85%8.04%5.99%0.591
3232.15%0.00%67.85%8.08%6.10%0.585
3333.14%0.00%66.86%8.11%6.22%0.579
3434.14%0.00%65.86%8.15%6.34%0.573
3535.14%0.00%64.86%8.18%6.46%0.567
3636.14%0.00%63.86%8.22%6.59%0.562
3737.14%0.00%62.86%8.25%6.71%0.556
3838.13%0.00%61.87%8.29%6.84%0.551
3939.13%0.00%60.87%8.32%6.96%0.545
4040.13%0.00%59.87%8.36%7.09%0.540
4141.13%0.00%58.87%8.39%7.22%0.535
4242.13%0.00%57.87%8.43%7.35%0.530
4343.12%0.00%56.88%8.46%7.48%0.525
4444.12%0.00%55.88%8.50%7.62%0.520
4545.12%0.00%54.88%8.53%7.75%0.515
4646.12%0.00%53.88%8.57%7.88%0.510
4747.11%0.00%52.89%8.60%8.02%0.506
4848.11%0.00%51.89%8.64%8.16%0.501
4949.11%0.00%50.89%8.67%8.29%0.497
5050.11%0.00%49.89%8.71%8.43%0.493
5151.11%0.00%48.89%8.74%8.57%0.489
5252.10%0.00%47.90%8.78%8.71%0.485
5353.10%0.00%46.90%8.81%8.85%0.481
5454.10%0.00%45.90%8.85%8.99%0.477
5555.10%0.00%44.90%8.88%9.13%0.473
5656.09%0.00%43.91%8.92%9.27%0.469
5757.09%0.00%42.91%8.95%9.41%0.466
5858.09%0.00%41.91%8.99%9.55%0.462
5959.09%0.00%40.91%9.02%9.69%0.459
6060.09%0.00%39.91%9.06%9.84%0.455
6161.08%0.00%38.92%9.09%9.98%0.452
6262.08%0.00%37.92%9.13%10.13%0.449
6363.08%0.00%36.92%9.16%10.27%0.446
6464.08%0.00%35.92%9.20%10.41%0.443
6565.08%0.00%34.92%9.23%10.56%0.440
6666.07%0.00%33.93%9.27%10.70%0.437
6767.07%0.00%32.93%9.31%10.85%0.434
6868.07%0.00%31.93%9.34%11.00%0.431
6969.07%0.00%30.93%9.38%11.14%0.428
7070.06%0.00%29.94%9.41%11.29%0.426
7171.06%0.00%28.94%9.45%11.44%0.423
7272.06%0.00%27.94%9.48%11.58%0.420
7373.06%0.00%26.94%9.52%11.73%0.418
7474.06%0.00%25.94%9.55%11.88%0.415
7575.05%0.00%24.95%9.59%12.03%0.413
7676.05%0.00%23.95%9.62%12.17%0.411
7777.05%0.00%22.95%9.66%12.32%0.408
7878.05%0.00%21.95%9.69%12.47%0.406
7979.05%0.00%20.95%9.73%12.62%0.404
8080.04%0.00%19.96%9.76%12.77%0.402
8181.04%0.00%18.96%9.80%12.92%0.400
8282.04%0.00%17.96%9.84%13.07%0.397
8383.04%0.00%16.96%9.87%13.22%0.395
8484.03%0.00%15.97%9.91%13.37%0.393
8585.03%0.00%14.97%9.94%13.52%0.391
8686.03%0.00%13.97%9.98%13.67%0.390
8787.03%0.00%12.97%10.01%13.82%0.388
8888.03%0.00%11.97%10.05%13.97%0.386
8989.02%0.00%10.98%10.08%14.12%0.384
9090.02%0.00%9.98%10.12%14.27%0.382
9191.02%0.00%8.98%10.15%14.42%0.380
9292.02%0.00%7.98%10.19%14.57%0.379
9393.01%0.00%6.99%10.23%14.72%0.377
9494.01%0.00%5.99%10.26%14.87%0.375
9595.01%0.00%4.99%10.30%15.02%0.374
9696.01%0.00%3.99%10.33%15.18%0.372
9797.01%0.00%2.99%10.37%15.33%0.371
9898.00%0.00%2.00%10.40%15.48%0.369
9999.00%0.00%1.00%10.44%15.63%0.368
100100.00%0.00%0.00%10.47%15.78%0.366
*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 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%)-1.41%
Analytical Value-at-Risk (5%)-1.42%
Conditional Value-at-Risk (5%)-2.30%
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 year7.38%20.06%-4.49%
3 years7.50%13.40%2.61%
5 years7.53%11.93%2.87%
7 years7.49%10.39%3.57%
10 years7.58%10.03%4.47%
15 years7.52%8.85%5.72%