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 1986 - Dec 2008) Save

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 99.14%
Global ex-US Stock Market 0.86%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$65,670
CAGR8.53%
Expected Return9.85%
Stdev15.43%
Best Year35.49%
Worst Year-37.10%
Max. Drawdown -44.09%
Sharpe Ratio (ex-ante)0.32
Sharpe Ratio (ex-post)0.32
Sortino Ratio0.43
US Stock Market Correlation1.00
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 Ratio-22.71%-37.10%-8.43%-1.72%-0.63%8.53%15.98%13.57%
Trailing annualized return and volatility 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
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1US Stock Market9.86%15.46%0.3210.00%100.00%
2Global ex-US Stock Market8.55%18.21%0.2060.00%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 Market
US Stock Market1.000.63
Global ex-US Stock Market0.631.00
Based on monthly returns from Jan 1986 to Dec 2008
Efficient Frontier Assets
#US Stock MarketGlobal ex-US Stock MarketExpected Return*Standard Deviation*Sharpe Ratio*
171.67%28.33%9.49%14.90%0.310
271.96%28.04%9.49%14.90%0.310
372.25%27.75%9.50%14.90%0.310
472.53%27.47%9.50%14.90%0.311
572.82%27.18%9.50%14.90%0.311
673.10%26.90%9.51%14.90%0.311
773.39%26.61%9.51%14.90%0.311
873.68%26.32%9.52%14.90%0.311
973.96%26.04%9.52%14.90%0.312
1074.25%25.75%9.52%14.90%0.312
1174.54%25.46%9.53%14.90%0.312
1274.82%25.18%9.53%14.91%0.312
1375.11%24.89%9.53%14.91%0.312
1475.39%24.61%9.54%14.91%0.313
1575.68%24.32%9.54%14.91%0.313
1675.97%24.03%9.55%14.91%0.313
1776.25%23.75%9.55%14.91%0.313
1876.54%23.46%9.55%14.92%0.313
1976.82%23.18%9.56%14.92%0.314
2077.11%22.89%9.56%14.92%0.314
2177.40%22.60%9.56%14.92%0.314
2277.68%22.32%9.57%14.92%0.314
2377.97%22.03%9.57%14.93%0.314
2478.25%21.75%9.58%14.93%0.315
2578.54%21.46%9.58%14.93%0.315
2678.83%21.17%9.58%14.93%0.315
2779.11%20.89%9.59%14.94%0.315
2879.40%20.60%9.59%14.94%0.315
2979.69%20.31%9.59%14.94%0.315
3079.97%20.03%9.60%14.95%0.316
3180.26%19.74%9.60%14.95%0.316
3280.54%19.46%9.61%14.95%0.316
3380.83%19.17%9.61%14.96%0.316
3481.12%18.88%9.61%14.96%0.316
3581.40%18.60%9.62%14.97%0.316
3681.69%18.31%9.62%14.97%0.317
3781.97%18.03%9.62%14.97%0.317
3882.26%17.74%9.63%14.98%0.317
3982.55%17.45%9.63%14.98%0.317
4082.83%17.17%9.64%14.99%0.317
4183.12%16.88%9.64%14.99%0.317
4283.40%16.60%9.64%15.00%0.317
4383.69%16.31%9.65%15.00%0.317
4483.98%16.02%9.65%15.01%0.318
4584.26%15.74%9.65%15.01%0.318
4684.55%15.45%9.66%15.02%0.318
4784.84%15.16%9.66%15.02%0.318
4885.12%14.88%9.67%15.03%0.318
4985.41%14.59%9.67%15.03%0.318
5085.69%14.31%9.67%15.04%0.318
5185.98%14.02%9.68%15.04%0.318
5286.27%13.73%9.68%15.05%0.319
5386.55%13.45%9.69%15.06%0.319
5486.84%13.16%9.69%15.06%0.319
5587.12%12.88%9.69%15.07%0.319
5687.41%12.59%9.70%15.07%0.319
5787.70%12.30%9.70%15.08%0.319
5887.98%12.02%9.70%15.09%0.319
5988.27%11.73%9.71%15.09%0.319
6088.55%11.45%9.71%15.10%0.319
6188.84%11.16%9.72%15.11%0.319
6289.13%10.87%9.72%15.11%0.319
6389.41%10.59%9.72%15.12%0.320
6489.70%10.30%9.73%15.13%0.320
6589.99%10.01%9.73%15.14%0.320
6690.27%9.73%9.73%15.14%0.320
6790.56%9.44%9.74%15.15%0.320
6890.84%9.16%9.74%15.16%0.320
6991.13%8.87%9.75%15.17%0.320
7091.42%8.58%9.75%15.17%0.320
7191.70%8.30%9.75%15.18%0.320
7291.99%8.01%9.76%15.19%0.320
7392.27%7.73%9.76%15.20%0.320
7492.56%7.44%9.76%15.21%0.320
7592.85%7.15%9.77%15.22%0.320
7693.13%6.87%9.77%15.22%0.320
7793.42%6.58%9.78%15.23%0.320
7893.70%6.30%9.78%15.24%0.320
7993.99%6.01%9.78%15.25%0.320
8094.28%5.72%9.79%15.26%0.321
8194.56%5.44%9.79%15.27%0.321
8294.85%5.15%9.79%15.28%0.321
8395.14%4.86%9.80%15.29%0.321
8495.42%4.58%9.80%15.30%0.321
8595.71%4.29%9.81%15.31%0.321
8695.99%4.01%9.81%15.32%0.321
8796.28%3.72%9.81%15.33%0.321
8896.57%3.43%9.82%15.34%0.321
8996.85%3.15%9.82%15.35%0.321
9097.14%2.86%9.83%15.36%0.321
9197.42%2.58%9.83%15.37%0.321
9297.71%2.29%9.83%15.38%0.321
9398.00%2.00%9.84%15.39%0.321
9498.28%1.72%9.84%15.40%0.321
9598.57%1.43%9.84%15.41%0.321
9698.85%1.15%9.85%15.42%0.321
9799.14%0.86%9.85%15.43%0.321
9899.43%0.57%9.86%15.44%0.321
9999.71%0.29%9.86%15.45%0.321
100100.00%0.00%9.86%15.46%0.321
*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 MarketGlobal ex-US Stock Market
19861.10%14.95%$11,49514.57%63.38%
19874.43%2.85%$11,8232.61%30.48%
19884.42%17.40%$13,88017.32%25.66%
19894.65%27.99%$17,76528.12%12.85%
19906.11%-6.22%$16,660-6.08%-24.79%
19913.06%32.19%$22,02332.39%9.48%
19922.90%8.89%$23,9819.11%-14.79%
19932.75%10.79%$26,56910.62%29.92%
19942.67%-0.08%$26,547-0.17%9.76%
19952.54%35.49%$35,96835.79%3.98%
19963.32%20.82%$43,45420.96%4.68%
19971.70%30.69%$56,79230.99%-0.77%
19981.61%23.20%$69,97023.26%15.60%
19992.68%23.87%$86,67123.81%29.92%
20003.39%-10.62%$77,470-10.57%-15.61%
20011.55%-11.05%$68,913-10.97%-20.15%
20022.38%-20.91%$54,504-20.96%-15.08%
20031.88%31.43%$71,63431.35%40.34%
20043.26%12.59%$80,65012.52%20.84%
20053.42%6.06%$85,5405.98%15.57%
20062.54%15.60%$98,88815.51%26.64%
20074.08%5.57%$104,4005.49%15.52%
20080.09%-37.10%$65,670-37.04%-44.10%
Monthly returns for the configured portfolios
YearMonthMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceUS Stock MarketGlobal ex-US Stock Market
198610.84%$10,0840.83%2.34%
198627.13%$10,8037.10%10.41%
198635.86%$11,4375.81%12.66%
19864-0.77%$11,349-0.84%7.25%
198654.83%$11,8964.90%-3.22%
198661.38%$12,0611.33%7.37%
19867-5.78%$11,364-5.88%6.08%
198686.42%$12,0936.41%7.22%
19869-7.86%$11,142-7.92%-1.88%
1986104.65%$11,6604.75%-6.95%
1986111.45%$11,8291.42%5.61%
198612-2.82%$11,495-2.89%5.01%
1987112.84%$12,97212.85%11.67%
198724.77%$13,5904.79%2.32%
198732.34%$13,9082.26%11.16%
19874-1.38%$13,716-1.48%10.54%
198750.47%$13,7810.47%0.50%
198764.13%$14,3504.19%-3.10%
198774.53%$15,0004.57%-0.52%
198783.81%$15,5713.77%8.40%
19879-2.07%$15,249-2.08%-1.19%
198710-22.19%$11,866-22.27%-12.42%
198711-7.10%$11,024-7.16%0.47%
1987127.25%$11,8237.30%1.78%
198814.37%$12,3404.38%3.66%
198825.23%$12,9845.21%6.56%
19883-1.36%$12,808-1.42%6.14%
198841.12%$12,9511.11%1.88%
19885-0.08%$12,941-0.06%-2.42%
198864.85%$13,5694.92%-3.00%
19887-0.62%$13,484-0.64%1.69%
19888-2.82%$13,104-2.80%-5.91%
198893.70%$13,5893.71%2.88%
1988101.69%$13,8181.65%6.31%
198811-1.50%$13,611-1.57%6.75%
1988121.98%$13,8802.00%-0.51%
198916.57%$14,7926.61%2.30%
19892-1.80%$14,526-1.82%0.56%
198932.07%$14,8272.11%-2.27%
198944.78%$15,5364.81%1.33%
198953.80%$16,1263.87%-4.80%
19896-0.23%$16,088-0.22%-2.36%
198977.66%$17,3217.63%12.20%
198982.20%$17,7022.25%-3.98%
19899-0.18%$17,670-0.23%5.55%
198910-2.83%$17,170-2.83%-3.67%
1989111.59%$17,4431.56%4.78%
1989121.85%$17,7651.83%3.83%
19901-6.99%$16,524-7.01%-3.64%
199021.53%$16,7781.60%-6.54%
199032.36%$17,1742.47%-10.36%
19904-2.84%$16,687-2.84%-2.75%
199058.79%$18,1548.77%11.68%
19906-0.53%$18,057-0.53%-0.30%
19907-1.07%$17,863-1.10%2.33%
19908-9.03%$16,249-9.02%-10.37%
19909-5.26%$15,395-5.18%-14.18%
199010-1.08%$15,228-1.24%17.08%
1990116.28%$16,1846.40%-7.85%
1990122.94%$16,6602.95%1.34%
199114.93%$17,4814.96%1.66%
199126.96%$18,6976.92%11.05%
199132.82%$19,2252.89%-4.78%
199140.40%$19,3020.39%1.60%
199153.94%$20,0623.98%-0.38%
19916-4.49%$19,161-4.47%-6.58%
199174.82%$20,0854.83%4.04%
199182.60%$20,6082.65%-3.14%
19919-1.13%$20,376-1.19%6.35%
1991101.72%$20,7261.72%2.02%
199111-3.84%$19,930-3.83%-5.27%
19911210.50%$22,02310.56%4.01%
19921-0.03%$22,017-0.01%-2.42%
199221.24%$22,2901.28%-3.69%
19923-2.44%$21,747-2.40%-7.18%
199241.40%$22,0501.41%-0.77%
199250.58%$22,1780.52%7.08%
19926-1.87%$21,763-1.85%-4.63%
199273.79%$22,5883.85%-3.35%
19928-2.00%$22,137-2.07%6.95%
199291.03%$22,3661.07%-2.73%
1992101.11%$22,6151.17%-5.33%
1992114.17%$23,5584.20%0.81%
1992121.79%$23,9811.81%0.45%
199311.01%$24,2221.01%-0.01%
199320.48%$24,3390.46%3.51%
199332.53%$24,9542.46%10.13%
19934-2.66%$24,291-2.77%9.98%
199353.04%$25,0283.03%3.58%
199360.52%$25,1570.55%-2.98%
19937-0.23%$25,100-0.27%4.21%
199383.94%$26,0883.93%4.76%
19939-0.02%$26,0830.01%-3.03%
1993101.64%$26,5111.64%1.34%
199311-1.68%$26,065-1.62%-9.37%
1993121.93%$26,5691.90%6.07%
199413.14%$27,4033.08%9.92%
19942-2.22%$26,795-2.24%0.42%
19943-4.43%$25,608-4.44%-3.02%
199440.91%$25,8420.89%3.28%
199450.96%$26,0910.97%-0.09%
19946-2.69%$25,390-2.73%1.97%
199473.06%$26,1673.08%0.48%
199484.37%$27,3104.39%1.74%
19949-1.86%$26,803-1.85%-2.85%
1994101.56%$27,2221.55%2.77%
199411-3.67%$26,224-3.65%-5.40%
1994121.23%$26,5471.23%0.93%
199512.15%$27,1172.20%-3.94%
199523.97%$28,1924.04%-5.16%
199532.69%$28,9492.65%6.46%
199542.52%$29,6782.51%3.51%
199553.43%$30,6963.48%-1.88%
199562.94%$31,5982.98%-1.80%
199574.04%$32,8734.02%5.72%
199581.04%$33,2131.07%-3.35%
199593.60%$34,4083.61%1.58%
199510-1.18%$34,002-1.17%-2.59%
1995114.15%$35,4144.17%2.55%
1995121.56%$35,9681.54%3.68%
199612.64%$36,9172.66%0.49%
199621.61%$37,5111.62%0.34%
199631.15%$37,9431.14%1.98%
199642.42%$38,8622.41%3.98%
199652.63%$39,8832.66%-1.33%
19966-0.83%$39,551-0.84%0.41%
19967-5.35%$37,435-5.37%-3.24%
199683.07%$38,5833.09%0.01%
199695.35%$40,6485.38%2.13%
1996101.41%$41,2201.43%-1.20%
1996116.78%$44,0156.81%3.13%
199612-1.27%$43,454-1.27%-1.86%
199715.39%$45,7975.46%-2.37%
19972-0.09%$45,756-0.11%1.82%
19973-4.42%$43,735-4.45%-0.10%
199744.46%$45,6854.50%0.20%
199757.10%$48,9277.10%6.54%
199764.38%$51,0694.37%5.40%
199777.72%$55,0107.77%1.59%
19978-3.76%$52,943-3.72%-8.60%
199795.77%$55,9955.77%5.51%
199710-3.44%$54,067-3.40%-9.10%
1997113.29%$55,8473.33%-1.19%
1997121.69%$56,7921.70%0.92%
199810.46%$57,0560.44%3.04%
199827.34%$61,2447.34%6.88%
199835.05%$64,3345.06%3.22%
199841.09%$65,0361.10%0.53%
19985-2.70%$63,280-2.71%-1.51%
199863.51%$65,5023.54%-0.27%
19987-2.24%$64,031-2.27%1.08%
19988-15.64%$54,019-15.65%-13.66%
199896.60%$57,5866.68%-2.07%
1998107.54%$61,9287.51%10.77%
1998116.16%$65,7466.17%5.34%
1998126.43%$69,9706.45%3.26%
199913.61%$72,4963.65%-0.63%
19992-3.72%$69,802-3.73%-2.16%
199933.94%$72,5543.93%4.97%
199944.68%$75,9504.68%5.08%
19995-2.02%$74,413-2.00%-5.00%
199965.15%$78,2485.16%4.39%
19997-3.15%$75,784-3.20%2.27%
19998-0.91%$75,096-0.92%0.33%
19999-2.41%$73,286-2.44%0.82%
1999106.26%$77,8766.29%3.74%
1999113.43%$80,5463.42%4.08%
1999127.60%$86,6717.59%9.37%
20001-4.20%$83,029-4.18%-6.22%
200022.55%$85,1442.54%2.83%
200035.67%$89,9705.69%3.48%
20004-5.21%$85,283-5.21%-5.41%
20005-3.40%$82,382-3.41%-2.67%
200064.42%$86,0224.42%4.27%
20007-1.97%$84,324-1.95%-4.46%
200087.23%$90,4187.28%1.00%
20009-4.67%$86,193-4.67%-5.00%
200010-2.05%$84,424-2.04%-3.03%
200011-9.86%$76,102-9.90%-4.44%
2000121.80%$77,4701.78%3.72%
200113.80%$80,4183.83%1.10%
20012-9.40%$72,859-9.41%-7.61%
20013-6.72%$67,960-6.72%-7.15%
200148.16%$73,5078.16%7.89%
200150.97%$74,2221.01%-3.52%
20016-1.65%$72,994-1.64%-3.84%
20017-1.72%$71,740-1.71%-2.43%
20018-5.97%$67,455-6.00%-2.30%
20019-9.01%$61,376-9.00%-10.73%
2001102.53%$62,9262.52%2.97%
2001117.60%$67,7087.63%3.56%
2001121.78%$68,9131.78%1.35%
20021-1.27%$68,036-1.24%-4.63%
20022-2.02%$66,661-2.05%0.90%
200234.39%$69,5874.38%5.71%
20024-4.85%$66,209-4.90%0.42%
20025-1.20%$65,417-1.22%1.16%
20026-7.04%$60,812-7.06%-4.28%
20027-8.03%$55,926-8.02%-9.80%
200280.52%$56,2190.53%-0.12%
20029-10.07%$50,556-10.07%-10.88%
2002107.63%$54,4137.65%5.70%
2002116.05%$57,7056.06%4.75%
200212-5.55%$54,504-5.57%-3.43%
20031-2.55%$53,113-2.54%-3.76%
20032-1.69%$52,213-1.69%-2.42%
200331.06%$52,7671.09%-1.93%
200348.22%$57,1058.21%9.70%
200356.11%$60,5936.11%6.15%
200361.44%$61,4681.43%2.66%
200372.36%$62,9212.36%3.18%
200382.39%$64,4242.39%2.51%
20039-1.11%$63,708-1.15%2.78%
2003106.12%$67,6066.12%6.49%
2003111.39%$68,5441.38%2.13%
2003124.51%$71,6344.48%7.80%
200412.23%$73,2292.23%1.60%
200421.44%$74,2831.43%2.50%
20043-1.06%$73,498-1.07%0.45%
20044-2.12%$71,943-2.11%-3.14%
200451.34%$72,9051.35%0.46%
200462.09%$74,4292.09%2.40%
20047-3.80%$71,602-3.80%-3.34%
200480.31%$71,8270.31%0.75%
200491.75%$73,0841.74%2.96%
2004101.69%$74,3191.68%3.24%
2004114.71%$77,8164.68%7.23%
2004123.64%$80,6503.63%4.44%
20051-2.67%$78,499-2.68%-1.67%
200522.09%$80,1422.07%4.68%
20053-1.76%$78,734-1.75%-2.93%
20054-2.32%$76,907-2.32%-2.07%
200553.74%$79,7813.77%0.08%
200560.82%$80,4320.81%1.30%
200574.10%$83,7314.11%3.68%
20058-0.91%$82,968-0.94%2.85%
200590.89%$83,7060.86%4.73%
200510-1.88%$82,135-1.86%-3.37%
2005113.96%$85,3883.97%2.67%
2005120.18%$85,5400.14%5.14%
200613.53%$88,5583.50%6.87%
20062-0.01%$88,5530.00%-0.72%
200631.81%$90,1601.80%3.17%
200641.15%$91,1931.11%5.12%
20065-3.25%$88,233-3.23%-4.45%
200660.17%$88,3810.17%-0.38%
20067-0.12%$88,275-0.13%1.15%
200682.31%$90,3192.31%2.53%
200692.25%$92,3502.27%0.25%
2006103.54%$95,6153.53%4.00%
2006112.25%$97,7632.23%3.73%
2006121.15%$98,8881.13%3.09%
200711.87%$100,7371.88%0.96%
20072-1.60%$99,127-1.61%0.06%
200731.12%$100,2401.11%2.80%
200744.01%$104,2594.01%3.92%
200753.68%$108,0993.69%3.09%
20076-1.65%$106,314-1.67%0.61%
20077-3.39%$102,710-3.41%-1.06%
200781.43%$104,1831.45%-0.72%
200793.62%$107,9513.59%6.38%
2007101.88%$109,9851.85%5.90%
200711-4.49%$105,049-4.49%-4.57%
200712-0.62%$104,400-0.60%-2.28%
20081-6.10%$98,030-6.08%-8.55%
20082-3.04%$95,048-3.07%0.33%
20083-0.58%$94,493-0.58%-0.71%
200845.03%$99,2455.02%5.85%
200852.09%$101,3162.09%1.51%
20086-8.20%$93,009-8.19%-8.99%
20087-0.79%$92,271-0.77%-3.67%
200881.52%$93,6781.58%-5.10%
20089-9.30%$84,969-9.26%-13.09%
200810-17.67%$69,958-17.63%-22.09%
200811-7.89%$64,439-7.90%-6.29%
2008121.91%$65,6701.86%8.16%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.79%
Arithmetic Mean (annualized)9.85%
Geometric Mean (monthly)0.68%
Geometric Mean (annualized)8.53%
Volatility (monthly)4.45%
Volatility (annualized)15.43%
Downside Deviation (monthly)3.14%
Max. Drawdown-44.09%
US Market Correlation1.00
Beta(*)1.00
Alpha (annualized)0.01%
R299.99%
Sharpe Ratio0.32
Sortino Ratio0.43
Treynor Ratio (%)4.96
Calmar Ratio-0.20
Active Return-0.01%
Tracking Error0.13%
Information Ratio-0.04
Skewness-1.10
Excess Kurtosis3.39
Historical Value-at-Risk (5%)-7.05%
Analytical Value-at-Risk (5%)-6.54%
Conditional Value-at-Risk (5%)-10.80%
Upside Capture Ratio (%)99.73
Downside Capture Ratio (%)99.71
Safe Withdrawal Rate10.49%
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 1987-29.21%
Asian CrisisJul 1997Jan 1998-3.76%
Russian Debt DefaultJul 1998Oct 1998-17.53%
Dotcom CrashMar 2000Oct 2002-44.09%

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-44.09%
2Nov 2007Nov 20081 year 1 month-41.41%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.21%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-17.53%
5Jun 1990Oct 19905 monthsFeb 19914 months9 months-16.12%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.43%
7Sep 1986Sep 19861 monthJan 19874 months5 months-7.86%
8Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.34%
9Jan 1990Jan 19901 monthMay 19904 months5 months-6.99%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-6.34%
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 Market99.35%
Global ex-US Stock Market0.65%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year10.94%47.10%-38.66%
3 years10.98%30.50%-16.29%
5 years10.89%26.70%-3.89%
7 years10.70%20.26%-0.70%
10 years11.68%18.80%-0.63%
15 years10.77%14.85%6.22%