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 1986 - Dec 2008)

Portfolio optimization results with goal to maximize sharpe ratio. The possible range of expected annual portfolio returns for the given period is 9.49% to 9.86%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Asset Class Allocation
US Stock Market 99.71%
Global ex-US Stock Market 0.29%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$65,722
CAGR8.53%
Expected Return 9.86%
Stdev15.45%
Best Year35.69%
Worst Year-37.06%
Max. Drawdown -44.10%
Sharpe Ratio (ex-ante)0.34
Sharpe Ratio (ex-post)0.32
Sortino Ratio0.43
US Stock Market Correlation1.00
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Maximum Sharpe Ratio-22.72%-37.06%-8.45%-1.75%-0.65%8.53%
Trailing returns are for full months ending in December 2008 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 Market8.53%9.86%15.46%0.3420.00%100.00%
2Global ex-US Stock Market6.76%8.55%18.21%0.2180.00%100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (4.58% annualized).

Asset Correlations

Efficient Frontier Asset Correlations
AssetUS Stock MarketGlobal ex-US Stock Market
US Stock Market1.000.63
Global ex-US Stock Market0.631.00
Based on provided custom correlation matrix
Efficient Frontier Assets
#US Stock MarketGlobal ex-US Stock MarketExpected Return*Standard Deviation*Sharpe Ratio*
171.67%28.33%9.49%14.90%0.330
271.96%28.04%9.49%14.90%0.330
372.25%27.75%9.50%14.90%0.330
472.53%27.47%9.50%14.90%0.330
572.82%27.18%9.50%14.90%0.331
673.10%26.90%9.51%14.90%0.331
773.39%26.61%9.51%14.90%0.331
873.68%26.32%9.52%14.90%0.331
973.96%26.04%9.52%14.90%0.332
1074.25%25.75%9.52%14.90%0.332
1174.54%25.46%9.53%14.90%0.332
1274.82%25.18%9.53%14.91%0.332
1375.11%24.89%9.53%14.91%0.333
1475.39%24.61%9.54%14.91%0.333
1575.68%24.32%9.54%14.91%0.333
1675.97%24.03%9.55%14.91%0.333
1776.25%23.75%9.55%14.91%0.333
1876.54%23.46%9.55%14.92%0.334
1976.82%23.18%9.56%14.92%0.334
2077.11%22.89%9.56%14.92%0.334
2177.40%22.60%9.56%14.92%0.334
2277.68%22.32%9.57%14.92%0.334
2377.97%22.03%9.57%14.93%0.335
2478.25%21.75%9.58%14.93%0.335
2578.54%21.46%9.58%14.93%0.335
2678.83%21.17%9.58%14.93%0.335
2779.11%20.89%9.59%14.94%0.335
2879.40%20.60%9.59%14.94%0.336
2979.69%20.31%9.59%14.94%0.336
3079.97%20.03%9.60%14.95%0.336
3180.26%19.74%9.60%14.95%0.336
3280.54%19.46%9.61%14.95%0.336
3380.83%19.17%9.61%14.96%0.337
3481.12%18.88%9.61%14.96%0.337
3581.40%18.60%9.62%14.97%0.337
3681.69%18.31%9.62%14.97%0.337
3781.97%18.03%9.62%14.97%0.337
3882.26%17.74%9.63%14.98%0.337
3982.55%17.45%9.63%14.98%0.337
4082.83%17.17%9.64%14.99%0.338
4183.12%16.88%9.64%14.99%0.338
4283.40%16.60%9.64%15.00%0.338
4383.69%16.31%9.65%15.00%0.338
4483.98%16.02%9.65%15.01%0.338
4584.26%15.74%9.65%15.01%0.338
4684.55%15.45%9.66%15.02%0.338
4784.84%15.16%9.66%15.02%0.339
4885.12%14.88%9.67%15.03%0.339
4985.41%14.59%9.67%15.03%0.339
5085.69%14.31%9.67%15.04%0.339
5185.98%14.02%9.68%15.04%0.339
5286.27%13.73%9.68%15.05%0.339
5386.55%13.45%9.69%15.06%0.339
5486.84%13.16%9.69%15.06%0.339
5587.12%12.88%9.69%15.07%0.340
5687.41%12.59%9.70%15.07%0.340
5787.70%12.30%9.70%15.08%0.340
5887.98%12.02%9.70%15.09%0.340
5988.27%11.73%9.71%15.09%0.340
6088.55%11.45%9.71%15.10%0.340
6188.84%11.16%9.72%15.11%0.340
6289.13%10.87%9.72%15.11%0.340
6389.41%10.59%9.72%15.12%0.340
6489.70%10.30%9.73%15.13%0.340
6589.99%10.01%9.73%15.14%0.341
6690.27%9.73%9.73%15.14%0.341
6790.56%9.44%9.74%15.15%0.341
6890.84%9.16%9.74%15.16%0.341
6991.13%8.87%9.75%15.17%0.341
7091.42%8.58%9.75%15.17%0.341
7191.70%8.30%9.75%15.18%0.341
7291.99%8.01%9.76%15.19%0.341
7392.27%7.73%9.76%15.20%0.341
7492.56%7.44%9.76%15.21%0.341
7592.85%7.15%9.77%15.22%0.341
7693.13%6.87%9.77%15.22%0.341
7793.42%6.58%9.78%15.23%0.341
7893.70%6.30%9.78%15.24%0.341
7993.99%6.01%9.78%15.25%0.341
8094.28%5.72%9.79%15.26%0.341
8194.56%5.44%9.79%15.27%0.342
8294.85%5.15%9.79%15.28%0.342
8395.14%4.86%9.80%15.29%0.342
8495.42%4.58%9.80%15.30%0.342
8595.71%4.29%9.81%15.31%0.342
8695.99%4.01%9.81%15.32%0.342
8796.28%3.72%9.81%15.33%0.342
8896.57%3.43%9.82%15.34%0.342
8996.85%3.15%9.82%15.35%0.342
9097.14%2.86%9.83%15.36%0.342
9197.42%2.58%9.83%15.37%0.342
9297.71%2.29%9.83%15.38%0.342
9398.00%2.00%9.84%15.39%0.342
9498.28%1.72%9.84%15.40%0.342
9598.57%1.43%9.84%15.41%0.342
9698.85%1.15%9.85%15.42%0.342
9799.14%0.86%9.85%15.43%0.342
9899.43%0.57%9.86%15.44%0.342
9999.71%0.29%9.86%15.45%0.342
100100.00%0.00%9.86%15.46%0.342
*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 (4.58% annualized).
Annual returns for the configured portfolios
YearInflationMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceUS Stock MarketGlobal ex-US Stock Market
19861.10%14.70%$11,47014.57%63.38%
19874.43%2.69%$11,7792.61%30.48%
19884.42%17.34%$13,82217.32%25.66%
19894.65%28.08%$17,70328.12%12.85%
19906.11%-6.13%$16,618-6.08%-24.79%
19913.06%32.32%$21,99032.39%9.48%
19922.90%9.03%$23,9779.11%-14.79%
19932.75%10.68%$26,53810.62%29.92%
19942.67%-0.14%$26,500-0.17%9.76%
19952.54%35.69%$35,95735.79%3.98%
19963.32%20.91%$43,47720.96%4.68%
19971.70%30.89%$56,90930.99%-0.77%
19981.61%23.24%$70,13723.26%15.60%
19992.68%23.83%$86,85123.81%29.92%
20003.39%-10.59%$77,655-10.57%-15.61%
20011.55%-10.99%$69,119-10.97%-20.15%
20022.38%-20.94%$54,643-20.96%-15.08%
20031.88%31.38%$71,78931.35%40.34%
20043.26%12.54%$80,79112.52%20.84%
20053.42%6.01%$85,6455.98%15.57%
20062.54%15.54%$98,95615.51%26.64%
20074.08%5.52%$104,4175.49%15.52%
20080.09%-37.06%$65,722-37.04%-44.10%
Monthly returns for the configured portfolios
YearMonthMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceUS Stock MarketGlobal ex-US Stock Market
198610.83%$10,0830.83%2.34%
198627.11%$10,8007.10%10.41%
198635.83%$11,4295.81%12.66%
19864-0.82%$11,336-0.84%7.25%
198654.87%$11,8894.90%-3.22%
198661.35%$12,0481.33%7.37%
19867-5.85%$11,344-5.88%6.08%
198686.41%$12,0726.41%7.22%
19869-7.90%$11,118-7.92%-1.88%
1986104.71%$11,6424.75%-6.95%
1986111.43%$11,8091.42%5.61%
198612-2.87%$11,470-2.89%5.01%
1987112.85%$12,94412.85%11.67%
198724.78%$13,5634.79%2.32%
198732.29%$13,8732.26%11.16%
19874-1.45%$13,672-1.48%10.54%
198750.47%$13,7370.47%0.50%
198764.17%$14,3104.19%-3.10%
198774.56%$14,9624.57%-0.52%
198783.78%$15,5283.77%8.40%
19879-2.07%$15,206-2.08%-1.19%
198710-22.24%$11,823-22.27%-12.42%
198711-7.14%$10,979-7.16%0.47%
1987127.28%$11,7797.30%1.78%
198814.37%$12,2944.38%3.66%
198825.22%$12,9355.21%6.56%
19883-1.40%$12,754-1.42%6.14%
198841.11%$12,8961.11%1.88%
19885-0.07%$12,888-0.06%-2.42%
198864.90%$13,5194.92%-3.00%
19887-0.63%$13,433-0.64%1.69%
19888-2.80%$13,056-2.80%-5.91%
198893.71%$13,5403.71%2.88%
1988101.66%$13,7651.65%6.31%
198811-1.55%$13,552-1.57%6.75%
1988121.99%$13,8222.00%-0.51%
198916.60%$14,7346.61%2.30%
19892-1.82%$14,466-1.82%0.56%
198932.10%$14,7702.11%-2.27%
198944.80%$15,4794.81%1.33%
198953.85%$16,0753.87%-4.80%
19896-0.22%$16,039-0.22%-2.36%
198977.64%$17,2647.63%12.20%
198982.24%$17,6502.25%-3.98%
19899-0.22%$17,612-0.23%5.55%
198910-2.83%$17,114-2.83%-3.67%
1989111.57%$17,3831.56%4.78%
1989121.84%$17,7031.83%3.83%
19901-7.00%$16,463-7.01%-3.64%
199021.58%$16,7231.60%-6.54%
199032.44%$17,1302.47%-10.36%
19904-2.84%$16,644-2.84%-2.75%
199058.78%$18,1048.77%11.68%
19906-0.53%$18,008-0.53%-0.30%
19907-1.09%$17,811-1.10%2.33%
19908-9.03%$16,203-9.02%-10.37%
19909-5.21%$15,359-5.18%-14.18%
199010-1.19%$15,177-1.24%17.08%
1990116.36%$16,1426.40%-7.85%
1990122.95%$16,6182.95%1.34%
199114.95%$17,4414.96%1.66%
199126.93%$18,6506.92%11.05%
199132.86%$19,1842.89%-4.78%
199140.39%$19,2590.39%1.60%
199153.96%$20,0233.98%-0.38%
19916-4.48%$19,126-4.47%-6.58%
199174.83%$20,0494.83%4.04%
199182.64%$20,5782.65%-3.14%
19919-1.17%$20,337-1.19%6.35%
1991101.72%$20,6861.72%2.02%
199111-3.83%$19,893-3.83%-5.27%
19911210.54%$21,99010.56%4.01%
19921-0.01%$21,987-0.01%-2.42%
199221.27%$22,2661.28%-3.69%
19923-2.41%$21,729-2.40%-7.18%
199241.41%$22,0351.41%-0.77%
199250.54%$22,1550.52%7.08%
19926-1.86%$21,744-1.85%-4.63%
199273.83%$22,5773.85%-3.35%
19928-2.05%$22,115-2.07%6.95%
199291.05%$22,3481.07%-2.73%
1992101.15%$22,6051.17%-5.33%
1992114.19%$23,5524.20%0.81%
1992121.80%$23,9771.81%0.45%
199311.01%$24,2191.01%-0.01%
199320.47%$24,3320.46%3.51%
199332.49%$24,9372.46%10.13%
19934-2.73%$24,256-2.77%9.98%
199353.03%$24,9913.03%3.58%
199360.54%$25,1250.55%-2.98%
19937-0.25%$25,061-0.27%4.21%
199383.93%$26,0473.93%4.76%
19939-0.00%$26,0460.01%-3.03%
1993101.64%$26,4741.64%1.34%
199311-1.64%$26,040-1.62%-9.37%
1993121.91%$26,5381.90%6.07%
199413.10%$27,3603.08%9.92%
19942-2.23%$26,749-2.24%0.42%
19943-4.44%$25,562-4.44%-3.02%
199440.90%$25,7920.89%3.28%
199450.97%$26,0420.97%-0.09%
19946-2.71%$25,336-2.73%1.97%
199473.07%$26,1143.08%0.48%
199484.39%$27,2604.39%1.74%
19949-1.85%$26,755-1.85%-2.85%
1994101.56%$27,1711.55%2.77%
199411-3.66%$26,177-3.65%-5.40%
1994121.23%$26,5001.23%0.93%
199512.18%$27,0782.20%-3.94%
199524.02%$28,1664.04%-5.16%
199532.66%$28,9172.65%6.46%
199542.51%$29,6442.51%3.51%
199553.46%$30,6693.48%-1.88%
199562.96%$31,5782.98%-1.80%
199574.03%$32,8504.02%5.72%
199581.06%$33,1981.07%-3.35%
199593.61%$34,3963.61%1.58%
199510-1.17%$33,993-1.17%-2.59%
1995114.16%$35,4084.17%2.55%
1995121.55%$35,9571.54%3.68%
199612.65%$36,9112.66%0.49%
199621.62%$37,5081.62%0.34%
199631.15%$37,9381.14%1.98%
199642.41%$38,8532.41%3.98%
199652.65%$39,8832.66%-1.33%
19966-0.84%$39,548-0.84%0.41%
19967-5.36%$37,427-5.37%-3.24%
199683.09%$38,5823.09%0.01%
199695.37%$40,6545.38%2.13%
1996101.42%$41,2321.43%-1.20%
1996116.80%$44,0366.81%3.13%
199612-1.27%$43,477-1.27%-1.86%
199715.44%$45,8405.46%-2.37%
19972-0.10%$45,794-0.11%1.82%
19973-4.44%$43,760-4.45%-0.10%
199744.48%$45,7224.50%0.20%
199757.10%$48,9687.10%6.54%
199764.37%$51,1094.37%5.40%
199777.75%$55,0717.77%1.59%
19978-3.73%$53,017-3.72%-8.60%
199795.77%$56,0755.77%5.51%
199710-3.41%$54,162-3.40%-9.10%
1997113.32%$55,9593.33%-1.19%
1997121.70%$56,9091.70%0.92%
199810.45%$57,1640.44%3.04%
199827.34%$61,3627.34%6.88%
199835.06%$64,4645.06%3.22%
199841.09%$65,1701.10%0.53%
19985-2.71%$63,406-2.71%-1.51%
199863.53%$65,6463.54%-0.27%
19987-2.26%$64,160-2.27%1.08%
19988-15.65%$54,119-15.65%-13.66%
199896.65%$57,7206.68%-2.07%
1998107.52%$62,0627.51%10.77%
1998116.17%$65,8916.17%5.34%
1998126.44%$70,1376.45%3.26%
199913.63%$72,6863.65%-0.63%
19992-3.73%$69,978-3.73%-2.16%
199933.94%$72,7323.93%4.97%
199944.68%$76,1354.68%5.08%
19995-2.01%$74,608-2.00%-5.00%
199965.16%$78,4565.16%4.39%
19997-3.18%$75,961-3.20%2.27%
19998-0.92%$75,266-0.92%0.33%
19999-2.43%$73,438-2.44%0.82%
1999106.28%$78,0486.29%3.74%
1999113.42%$80,7213.42%4.08%
1999127.59%$86,8517.59%9.37%
20001-4.19%$83,212-4.18%-6.22%
200022.55%$85,3302.54%2.83%
200035.68%$90,1775.69%3.48%
20004-5.21%$85,480-5.21%-5.41%
20005-3.40%$82,570-3.41%-2.67%
200064.42%$86,2194.42%4.27%
20007-1.96%$84,529-1.95%-4.46%
200087.26%$90,6687.28%1.00%
20009-4.67%$86,433-4.67%-5.00%
200010-2.05%$84,663-2.04%-3.03%
200011-9.89%$76,292-9.90%-4.44%
2000121.79%$77,6551.78%3.72%
200113.82%$80,6223.83%1.10%
20012-9.41%$73,036-9.41%-7.61%
20013-6.72%$68,127-6.72%-7.15%
200148.16%$73,6888.16%7.89%
200151.00%$74,4241.01%-3.52%
20016-1.64%$73,202-1.64%-3.84%
20017-1.71%$71,947-1.71%-2.43%
20018-5.99%$67,635-6.00%-2.30%
20019-9.00%$61,546-9.00%-10.73%
2001102.52%$63,0992.52%2.97%
2001117.62%$67,9097.63%3.56%
2001121.78%$69,1191.78%1.35%
20021-1.25%$68,253-1.24%-4.63%
20022-2.04%$66,862-2.05%0.90%
200234.38%$69,7924.38%5.71%
20024-4.88%$66,383-4.90%0.42%
20025-1.21%$65,579-1.22%1.16%
20026-7.06%$60,952-7.06%-4.28%
20027-8.02%$56,061-8.02%-9.80%
200280.53%$56,3570.53%-0.12%
20029-10.07%$50,683-10.07%-10.88%
2002107.64%$54,5567.65%5.70%
2002116.06%$57,8606.06%4.75%
200212-5.56%$54,643-5.57%-3.43%
20031-2.54%$53,252-2.54%-3.76%
20032-1.69%$52,353-1.69%-2.42%
200331.08%$52,9171.09%-1.93%
200348.21%$57,2638.21%9.70%
200356.11%$60,7606.11%6.15%
200361.44%$61,6331.43%2.66%
200372.36%$63,0872.36%3.18%
200382.39%$64,5942.39%2.51%
20039-1.13%$63,862-1.15%2.78%
2003106.12%$67,7686.12%6.49%
2003111.38%$68,7041.38%2.13%
2003124.49%$71,7894.48%7.80%
200412.23%$73,3902.23%1.60%
200421.43%$74,4421.43%2.50%
20043-1.07%$73,648-1.07%0.45%
20044-2.11%$72,095-2.11%-3.14%
200451.34%$73,0621.35%0.46%
200462.09%$74,5892.09%2.40%
20047-3.80%$71,754-3.80%-3.34%
200480.31%$71,9770.31%0.75%
200491.74%$73,2321.74%2.96%
2004101.68%$74,4631.68%3.24%
2004114.69%$77,9564.68%7.23%
2004123.64%$80,7913.63%4.44%
20051-2.67%$78,631-2.68%-1.67%
200522.08%$80,2662.07%4.68%
20053-1.75%$78,861-1.75%-2.93%
20054-2.32%$77,030-2.32%-2.07%
200553.76%$79,9243.77%0.08%
200560.81%$80,5740.81%1.30%
200574.10%$83,8814.11%3.68%
20058-0.93%$83,099-0.94%2.85%
200590.87%$83,8200.86%4.73%
200510-1.87%$82,254-1.86%-3.37%
2005113.97%$85,5173.97%2.67%
2005120.15%$85,6450.14%5.14%
200613.51%$88,6513.50%6.87%
20062-0.00%$88,6490.00%-0.72%
200631.81%$90,2511.80%3.17%
200641.12%$91,2641.11%5.12%
20065-3.24%$88,309-3.23%-4.45%
200660.17%$88,4590.17%-0.38%
20067-0.13%$88,347-0.13%1.15%
200682.31%$90,3912.31%2.53%
200692.26%$92,4342.27%0.25%
2006103.53%$95,7003.53%4.00%
2006112.24%$97,8412.23%3.73%
2006121.14%$98,9561.13%3.09%
200711.87%$100,8121.88%0.96%
20072-1.61%$99,191-1.61%0.06%
200731.11%$100,2951.11%2.80%
200744.01%$104,3174.01%3.92%
200753.69%$108,1633.69%3.09%
20076-1.66%$106,363-1.67%0.61%
20077-3.40%$102,743-3.41%-1.06%
200781.45%$104,2281.45%-0.72%
200793.60%$107,9813.59%6.38%
2007101.86%$109,9911.85%5.90%
200711-4.49%$105,056-4.49%-4.57%
200712-0.61%$104,417-0.60%-2.28%
20081-6.09%$98,060-6.08%-8.55%
20082-3.06%$95,058-3.07%0.33%
20083-0.58%$94,504-0.58%-0.71%
200845.02%$99,2525.02%5.85%
200852.09%$101,3272.09%1.51%
20086-8.19%$93,024-8.19%-8.99%
20087-0.78%$92,301-0.77%-3.67%
200881.56%$93,7431.58%-5.10%
20089-9.27%$85,049-9.26%-13.09%
200810-17.64%$70,045-17.63%-22.09%
200811-7.90%$64,513-7.90%-6.29%
2008121.87%$65,7221.86%8.16%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.79%
Arithmetic Mean (annualized)9.86%
Geometric Mean (monthly)0.68%
Geometric Mean (annualized)8.53%
Volatility (monthly)4.46%
Volatility (annualized)15.45%
Downside Deviation (monthly)3.14%
Max. Drawdown-44.10%
US Market Correlation1.00
Beta(*)1.00
Alpha (annualized)0.00%
R2100.00%
Sharpe Ratio0.32
Sortino Ratio0.43
Treynor Ratio (%)4.96
Calmar Ratio-0.20
Active Return-0.00%
Tracking Error0.04%
Information Ratio-0.04
Skewness-1.09
Excess Kurtosis3.39
Historical Value-at-Risk (5%)-7.25%
Analytical Value-at-Risk (5%)-6.55%
Conditional Value-at-Risk (5%)-11.09%
Upside Capture Ratio (%)99.91
Downside Capture Ratio (%)99.90
Safe Withdrawal Rate10.48%
Perpetual Withdrawal Rate5.20%
Positive Periods172 out of 276 (62.32%)
Gain/Loss Ratio0.96
* 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 1987-29.29%
Asian CrisisJul 1997Jan 1998-3.73%
Russian Debt DefaultJul 1998Oct 1998-17.56%
Dotcom CrashMar 2000Oct 2002-44.10%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.10%
2Nov 2007Nov 20081 year 1 month-41.35%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.29%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-17.56%
5Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.17%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
7Sep 1986Sep 19861 monthJan 19874 months5 months-7.90%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.40%
9Jan 1990Jan 19901 monthMay 19904 months5 months-7.00%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-6.40%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market8.53%15.46%35.79%-37.04%-44.11%0.320.431.00
Global ex-US Stock Market6.76%18.21%63.38%-44.10%-51.80%0.210.290.63

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketGlobal ex-US Stock MarketMaximum Sharpe Ratio
US Stock Market1.000.631.00
Global ex-US Stock Market0.631.000.64

Portfolio Risk Decomposition

Portfolio risk decomposition
NameMaximum Sharpe Ratio
US Stock Market99.78%
Global ex-US Stock Market0.22%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year10.20%35.69%-37.06%
3 years10.90%29.02%-14.31%
5 years10.88%26.80%-1.75%
7 years10.73%20.19%-0.72%
10 years11.62%17.64%-0.65%
15 years11.00%14.64%6.23%
Result statistics are based on annualized rolling returns over full calendar year periods