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.
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.
Asset Class | Allocation |
---|---|
US Stock Market | 99.71% |
Global ex-US Stock Market | 0.29% |
Save portfolio » |
Metric | Maximum Sharpe Ratio |
---|---|
Start Balance | $10,000 |
End Balance | $65,722 |
CAGR | 8.53% |
Expected Return | 9.86% |
Stdev | 15.45% |
Best Year | 35.69% |
Worst Year | -37.06% |
Max. Drawdown | -44.10% |
Sharpe Ratio (ex-ante) | 0.34 |
Sharpe Ratio (ex-post) | 0.32 |
Sortino Ratio | 0.43 |
US Stock Market Correlation | 1.00 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Maximum Sharpe Ratio | -22.72% | -37.06% | -8.45% | -1.75% | -0.65% | 8.53% | 15.96% | 13.55% |
Trailing annualized return and volatility are for full months ending in December 2008 excluding portfolio cashflows. |
# | Asset | CAGR | Expected Return | Standard Deviation | Sharpe Ratio | Min. Weight | Max. Weight |
---|---|---|---|---|---|---|---|
1 | US Stock Market | 8.53% | 9.86% | 15.46% | 0.342 | 0.00% | 100.00% |
2 | Global ex-US Stock Market | 6.76% | 8.55% | 18.21% | 0.218 | 0.00% | 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 | US Stock Market | Global ex-US Stock Market |
---|---|---|
US Stock Market | 1.00 | 0.63 |
Global ex-US Stock Market | 0.63 | 1.00 |
Based on monthly returns from Jan 1986 to Dec 2008 |
# | US Stock Market | Global ex-US Stock Market | Expected Return* | Standard Deviation* | Sharpe Ratio* |
---|---|---|---|---|---|
1 | 71.67% | 28.33% | 9.49% | 14.90% | 0.330 |
2 | 71.96% | 28.04% | 9.49% | 14.90% | 0.330 |
3 | 72.25% | 27.75% | 9.50% | 14.90% | 0.330 |
4 | 72.53% | 27.47% | 9.50% | 14.90% | 0.330 |
5 | 72.82% | 27.18% | 9.50% | 14.90% | 0.331 |
6 | 73.10% | 26.90% | 9.51% | 14.90% | 0.331 |
7 | 73.39% | 26.61% | 9.51% | 14.90% | 0.331 |
8 | 73.68% | 26.32% | 9.52% | 14.90% | 0.331 |
9 | 73.96% | 26.04% | 9.52% | 14.90% | 0.332 |
10 | 74.25% | 25.75% | 9.52% | 14.90% | 0.332 |
11 | 74.54% | 25.46% | 9.53% | 14.90% | 0.332 |
12 | 74.82% | 25.18% | 9.53% | 14.91% | 0.332 |
13 | 75.11% | 24.89% | 9.53% | 14.91% | 0.333 |
14 | 75.39% | 24.61% | 9.54% | 14.91% | 0.333 |
15 | 75.68% | 24.32% | 9.54% | 14.91% | 0.333 |
16 | 75.97% | 24.03% | 9.55% | 14.91% | 0.333 |
17 | 76.25% | 23.75% | 9.55% | 14.91% | 0.333 |
18 | 76.54% | 23.46% | 9.55% | 14.92% | 0.334 |
19 | 76.82% | 23.18% | 9.56% | 14.92% | 0.334 |
20 | 77.11% | 22.89% | 9.56% | 14.92% | 0.334 |
21 | 77.40% | 22.60% | 9.56% | 14.92% | 0.334 |
22 | 77.68% | 22.32% | 9.57% | 14.92% | 0.334 |
23 | 77.97% | 22.03% | 9.57% | 14.93% | 0.335 |
24 | 78.25% | 21.75% | 9.58% | 14.93% | 0.335 |
25 | 78.54% | 21.46% | 9.58% | 14.93% | 0.335 |
26 | 78.83% | 21.17% | 9.58% | 14.93% | 0.335 |
27 | 79.11% | 20.89% | 9.59% | 14.94% | 0.335 |
28 | 79.40% | 20.60% | 9.59% | 14.94% | 0.336 |
29 | 79.69% | 20.31% | 9.59% | 14.94% | 0.336 |
30 | 79.97% | 20.03% | 9.60% | 14.95% | 0.336 |
31 | 80.26% | 19.74% | 9.60% | 14.95% | 0.336 |
32 | 80.54% | 19.46% | 9.61% | 14.95% | 0.336 |
33 | 80.83% | 19.17% | 9.61% | 14.96% | 0.337 |
34 | 81.12% | 18.88% | 9.61% | 14.96% | 0.337 |
35 | 81.40% | 18.60% | 9.62% | 14.97% | 0.337 |
36 | 81.69% | 18.31% | 9.62% | 14.97% | 0.337 |
37 | 81.97% | 18.03% | 9.62% | 14.97% | 0.337 |
38 | 82.26% | 17.74% | 9.63% | 14.98% | 0.337 |
39 | 82.55% | 17.45% | 9.63% | 14.98% | 0.337 |
40 | 82.83% | 17.17% | 9.64% | 14.99% | 0.338 |
41 | 83.12% | 16.88% | 9.64% | 14.99% | 0.338 |
42 | 83.40% | 16.60% | 9.64% | 15.00% | 0.338 |
43 | 83.69% | 16.31% | 9.65% | 15.00% | 0.338 |
44 | 83.98% | 16.02% | 9.65% | 15.01% | 0.338 |
45 | 84.26% | 15.74% | 9.65% | 15.01% | 0.338 |
46 | 84.55% | 15.45% | 9.66% | 15.02% | 0.338 |
47 | 84.84% | 15.16% | 9.66% | 15.02% | 0.339 |
48 | 85.12% | 14.88% | 9.67% | 15.03% | 0.339 |
49 | 85.41% | 14.59% | 9.67% | 15.03% | 0.339 |
50 | 85.69% | 14.31% | 9.67% | 15.04% | 0.339 |
51 | 85.98% | 14.02% | 9.68% | 15.04% | 0.339 |
52 | 86.27% | 13.73% | 9.68% | 15.05% | 0.339 |
53 | 86.55% | 13.45% | 9.69% | 15.06% | 0.339 |
54 | 86.84% | 13.16% | 9.69% | 15.06% | 0.339 |
55 | 87.12% | 12.88% | 9.69% | 15.07% | 0.340 |
56 | 87.41% | 12.59% | 9.70% | 15.07% | 0.340 |
57 | 87.70% | 12.30% | 9.70% | 15.08% | 0.340 |
58 | 87.98% | 12.02% | 9.70% | 15.09% | 0.340 |
59 | 88.27% | 11.73% | 9.71% | 15.09% | 0.340 |
60 | 88.55% | 11.45% | 9.71% | 15.10% | 0.340 |
61 | 88.84% | 11.16% | 9.72% | 15.11% | 0.340 |
62 | 89.13% | 10.87% | 9.72% | 15.11% | 0.340 |
63 | 89.41% | 10.59% | 9.72% | 15.12% | 0.340 |
64 | 89.70% | 10.30% | 9.73% | 15.13% | 0.340 |
65 | 89.99% | 10.01% | 9.73% | 15.14% | 0.341 |
66 | 90.27% | 9.73% | 9.73% | 15.14% | 0.341 |
67 | 90.56% | 9.44% | 9.74% | 15.15% | 0.341 |
68 | 90.84% | 9.16% | 9.74% | 15.16% | 0.341 |
69 | 91.13% | 8.87% | 9.75% | 15.17% | 0.341 |
70 | 91.42% | 8.58% | 9.75% | 15.17% | 0.341 |
71 | 91.70% | 8.30% | 9.75% | 15.18% | 0.341 |
72 | 91.99% | 8.01% | 9.76% | 15.19% | 0.341 |
73 | 92.27% | 7.73% | 9.76% | 15.20% | 0.341 |
74 | 92.56% | 7.44% | 9.76% | 15.21% | 0.341 |
75 | 92.85% | 7.15% | 9.77% | 15.22% | 0.341 |
76 | 93.13% | 6.87% | 9.77% | 15.22% | 0.341 |
77 | 93.42% | 6.58% | 9.78% | 15.23% | 0.341 |
78 | 93.70% | 6.30% | 9.78% | 15.24% | 0.341 |
79 | 93.99% | 6.01% | 9.78% | 15.25% | 0.341 |
80 | 94.28% | 5.72% | 9.79% | 15.26% | 0.341 |
81 | 94.56% | 5.44% | 9.79% | 15.27% | 0.342 |
82 | 94.85% | 5.15% | 9.79% | 15.28% | 0.342 |
83 | 95.14% | 4.86% | 9.80% | 15.29% | 0.342 |
84 | 95.42% | 4.58% | 9.80% | 15.30% | 0.342 |
85 | 95.71% | 4.29% | 9.81% | 15.31% | 0.342 |
86 | 95.99% | 4.01% | 9.81% | 15.32% | 0.342 |
87 | 96.28% | 3.72% | 9.81% | 15.33% | 0.342 |
88 | 96.57% | 3.43% | 9.82% | 15.34% | 0.342 |
89 | 96.85% | 3.15% | 9.82% | 15.35% | 0.342 |
90 | 97.14% | 2.86% | 9.83% | 15.36% | 0.342 |
91 | 97.42% | 2.58% | 9.83% | 15.37% | 0.342 |
92 | 97.71% | 2.29% | 9.83% | 15.38% | 0.342 |
93 | 98.00% | 2.00% | 9.84% | 15.39% | 0.342 |
94 | 98.28% | 1.72% | 9.84% | 15.40% | 0.342 |
95 | 98.57% | 1.43% | 9.84% | 15.41% | 0.342 |
96 | 98.85% | 1.15% | 9.85% | 15.42% | 0.342 |
97 | 99.14% | 0.86% | 9.85% | 15.43% | 0.342 |
98 | 99.43% | 0.57% | 9.86% | 15.44% | 0.342 |
99 | 99.71% | 0.29% | 9.86% | 15.45% | 0.342 |
100 | 100.00% | 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). |
Year | Inflation | Maximum Sharpe Ratio Return | Maximum Sharpe Ratio Balance | US Stock Market | Global ex-US Stock Market |
---|---|---|---|---|---|
1986 | 1.10% | 14.70% | $11,470 | 14.57% | 63.38% |
1987 | 4.43% | 2.69% | $11,779 | 2.61% | 30.48% |
1988 | 4.42% | 17.34% | $13,822 | 17.32% | 25.66% |
1989 | 4.65% | 28.08% | $17,703 | 28.12% | 12.85% |
1990 | 6.11% | -6.13% | $16,618 | -6.08% | -24.79% |
1991 | 3.06% | 32.32% | $21,990 | 32.39% | 9.48% |
1992 | 2.90% | 9.03% | $23,977 | 9.11% | -14.79% |
1993 | 2.75% | 10.68% | $26,538 | 10.62% | 29.92% |
1994 | 2.67% | -0.14% | $26,500 | -0.17% | 9.76% |
1995 | 2.54% | 35.69% | $35,957 | 35.79% | 3.98% |
1996 | 3.32% | 20.91% | $43,477 | 20.96% | 4.68% |
1997 | 1.70% | 30.89% | $56,909 | 30.99% | -0.77% |
1998 | 1.61% | 23.24% | $70,137 | 23.26% | 15.60% |
1999 | 2.68% | 23.83% | $86,851 | 23.81% | 29.92% |
2000 | 3.39% | -10.59% | $77,655 | -10.57% | -15.61% |
2001 | 1.55% | -10.99% | $69,119 | -10.97% | -20.15% |
2002 | 2.38% | -20.94% | $54,643 | -20.96% | -15.08% |
2003 | 1.88% | 31.38% | $71,789 | 31.35% | 40.34% |
2004 | 3.26% | 12.54% | $80,791 | 12.52% | 20.84% |
2005 | 3.42% | 6.01% | $85,645 | 5.98% | 15.57% |
2006 | 2.54% | 15.54% | $98,956 | 15.51% | 26.64% |
2007 | 4.08% | 5.52% | $104,417 | 5.49% | 15.52% |
2008 | 0.09% | -37.06% | $65,722 | -37.04% | -44.10% |
Year | Month | Maximum Sharpe Ratio Return | US Stock Market | Global ex-US Stock Market |
---|---|---|---|---|
1986 | 1 | 0.83% | 0.83% | 2.34% |
1986 | 2 | 7.11% | 7.10% | 10.41% |
1986 | 3 | 5.83% | 5.81% | 12.66% |
1986 | 4 | -0.82% | -0.84% | 7.25% |
1986 | 5 | 4.87% | 4.90% | -3.22% |
1986 | 6 | 1.35% | 1.33% | 7.37% |
1986 | 7 | -5.85% | -5.88% | 6.08% |
1986 | 8 | 6.41% | 6.41% | 7.22% |
1986 | 9 | -7.90% | -7.92% | -1.88% |
1986 | 10 | 4.71% | 4.75% | -6.95% |
1986 | 11 | 1.43% | 1.42% | 5.61% |
1986 | 12 | -2.87% | -2.89% | 5.01% |
1987 | 1 | 12.85% | 12.85% | 11.67% |
1987 | 2 | 4.78% | 4.79% | 2.32% |
1987 | 3 | 2.29% | 2.26% | 11.16% |
1987 | 4 | -1.45% | -1.48% | 10.54% |
1987 | 5 | 0.47% | 0.47% | 0.50% |
1987 | 6 | 4.17% | 4.19% | -3.10% |
1987 | 7 | 4.56% | 4.57% | -0.52% |
1987 | 8 | 3.78% | 3.77% | 8.40% |
1987 | 9 | -2.07% | -2.08% | -1.19% |
1987 | 10 | -22.24% | -22.27% | -12.42% |
1987 | 11 | -7.14% | -7.16% | 0.47% |
1987 | 12 | 7.28% | 7.30% | 1.78% |
1988 | 1 | 4.37% | 4.38% | 3.66% |
1988 | 2 | 5.22% | 5.21% | 6.56% |
1988 | 3 | -1.40% | -1.42% | 6.14% |
1988 | 4 | 1.11% | 1.11% | 1.88% |
1988 | 5 | -0.07% | -0.06% | -2.42% |
1988 | 6 | 4.90% | 4.92% | -3.00% |
1988 | 7 | -0.63% | -0.64% | 1.69% |
1988 | 8 | -2.80% | -2.80% | -5.91% |
1988 | 9 | 3.71% | 3.71% | 2.88% |
1988 | 10 | 1.66% | 1.65% | 6.31% |
1988 | 11 | -1.55% | -1.57% | 6.75% |
1988 | 12 | 1.99% | 2.00% | -0.51% |
1989 | 1 | 6.60% | 6.61% | 2.30% |
1989 | 2 | -1.82% | -1.82% | 0.56% |
1989 | 3 | 2.10% | 2.11% | -2.27% |
1989 | 4 | 4.80% | 4.81% | 1.33% |
1989 | 5 | 3.85% | 3.87% | -4.80% |
1989 | 6 | -0.22% | -0.22% | -2.36% |
1989 | 7 | 7.64% | 7.63% | 12.20% |
1989 | 8 | 2.24% | 2.25% | -3.98% |
1989 | 9 | -0.22% | -0.23% | 5.55% |
1989 | 10 | -2.83% | -2.83% | -3.67% |
1989 | 11 | 1.57% | 1.56% | 4.78% |
1989 | 12 | 1.84% | 1.83% | 3.83% |
1990 | 1 | -7.00% | -7.01% | -3.64% |
1990 | 2 | 1.58% | 1.60% | -6.54% |
1990 | 3 | 2.44% | 2.47% | -10.36% |
1990 | 4 | -2.84% | -2.84% | -2.75% |
1990 | 5 | 8.78% | 8.77% | 11.68% |
1990 | 6 | -0.53% | -0.53% | -0.30% |
1990 | 7 | -1.09% | -1.10% | 2.33% |
1990 | 8 | -9.03% | -9.02% | -10.37% |
1990 | 9 | -5.21% | -5.18% | -14.18% |
1990 | 10 | -1.19% | -1.24% | 17.08% |
1990 | 11 | 6.36% | 6.40% | -7.85% |
1990 | 12 | 2.95% | 2.95% | 1.34% |
1991 | 1 | 4.95% | 4.96% | 1.66% |
1991 | 2 | 6.93% | 6.92% | 11.05% |
1991 | 3 | 2.86% | 2.89% | -4.78% |
1991 | 4 | 0.39% | 0.39% | 1.60% |
1991 | 5 | 3.96% | 3.98% | -0.38% |
1991 | 6 | -4.48% | -4.47% | -6.58% |
1991 | 7 | 4.83% | 4.83% | 4.04% |
1991 | 8 | 2.64% | 2.65% | -3.14% |
1991 | 9 | -1.17% | -1.19% | 6.35% |
1991 | 10 | 1.72% | 1.72% | 2.02% |
1991 | 11 | -3.83% | -3.83% | -5.27% |
1991 | 12 | 10.54% | 10.56% | 4.01% |
1992 | 1 | -0.01% | -0.01% | -2.42% |
1992 | 2 | 1.27% | 1.28% | -3.69% |
1992 | 3 | -2.41% | -2.40% | -7.18% |
1992 | 4 | 1.41% | 1.41% | -0.77% |
1992 | 5 | 0.54% | 0.52% | 7.08% |
1992 | 6 | -1.86% | -1.85% | -4.63% |
1992 | 7 | 3.83% | 3.85% | -3.35% |
1992 | 8 | -2.05% | -2.07% | 6.95% |
1992 | 9 | 1.05% | 1.07% | -2.73% |
1992 | 10 | 1.15% | 1.17% | -5.33% |
1992 | 11 | 4.19% | 4.20% | 0.81% |
1992 | 12 | 1.80% | 1.81% | 0.45% |
1993 | 1 | 1.01% | 1.01% | -0.01% |
1993 | 2 | 0.47% | 0.46% | 3.51% |
1993 | 3 | 2.49% | 2.46% | 10.13% |
1993 | 4 | -2.73% | -2.77% | 9.98% |
1993 | 5 | 3.03% | 3.03% | 3.58% |
1993 | 6 | 0.54% | 0.55% | -2.98% |
1993 | 7 | -0.25% | -0.27% | 4.21% |
1993 | 8 | 3.93% | 3.93% | 4.76% |
1993 | 9 | -0.00% | 0.01% | -3.03% |
1993 | 10 | 1.64% | 1.64% | 1.34% |
1993 | 11 | -1.64% | -1.62% | -9.37% |
1993 | 12 | 1.91% | 1.90% | 6.07% |
1994 | 1 | 3.10% | 3.08% | 9.92% |
1994 | 2 | -2.23% | -2.24% | 0.42% |
1994 | 3 | -4.44% | -4.44% | -3.02% |
1994 | 4 | 0.90% | 0.89% | 3.28% |
1994 | 5 | 0.97% | 0.97% | -0.09% |
1994 | 6 | -2.71% | -2.73% | 1.97% |
1994 | 7 | 3.07% | 3.08% | 0.48% |
1994 | 8 | 4.39% | 4.39% | 1.74% |
1994 | 9 | -1.85% | -1.85% | -2.85% |
1994 | 10 | 1.56% | 1.55% | 2.77% |
1994 | 11 | -3.66% | -3.65% | -5.40% |
1994 | 12 | 1.23% | 1.23% | 0.93% |
1995 | 1 | 2.18% | 2.20% | -3.94% |
1995 | 2 | 4.02% | 4.04% | -5.16% |
1995 | 3 | 2.66% | 2.65% | 6.46% |
1995 | 4 | 2.51% | 2.51% | 3.51% |
1995 | 5 | 3.46% | 3.48% | -1.88% |
1995 | 6 | 2.96% | 2.98% | -1.80% |
1995 | 7 | 4.03% | 4.02% | 5.72% |
1995 | 8 | 1.06% | 1.07% | -3.35% |
1995 | 9 | 3.61% | 3.61% | 1.58% |
1995 | 10 | -1.17% | -1.17% | -2.59% |
1995 | 11 | 4.16% | 4.17% | 2.55% |
1995 | 12 | 1.55% | 1.54% | 3.68% |
1996 | 1 | 2.65% | 2.66% | 0.49% |
1996 | 2 | 1.62% | 1.62% | 0.34% |
1996 | 3 | 1.15% | 1.14% | 1.98% |
1996 | 4 | 2.41% | 2.41% | 3.98% |
1996 | 5 | 2.65% | 2.66% | -1.33% |
1996 | 6 | -0.84% | -0.84% | 0.41% |
1996 | 7 | -5.36% | -5.37% | -3.24% |
1996 | 8 | 3.09% | 3.09% | 0.01% |
1996 | 9 | 5.37% | 5.38% | 2.13% |
1996 | 10 | 1.42% | 1.43% | -1.20% |
1996 | 11 | 6.80% | 6.81% | 3.13% |
1996 | 12 | -1.27% | -1.27% | -1.86% |
1997 | 1 | 5.44% | 5.46% | -2.37% |
1997 | 2 | -0.10% | -0.11% | 1.82% |
1997 | 3 | -4.44% | -4.45% | -0.10% |
1997 | 4 | 4.48% | 4.50% | 0.20% |
1997 | 5 | 7.10% | 7.10% | 6.54% |
1997 | 6 | 4.37% | 4.37% | 5.40% |
1997 | 7 | 7.75% | 7.77% | 1.59% |
1997 | 8 | -3.73% | -3.72% | -8.60% |
1997 | 9 | 5.77% | 5.77% | 5.51% |
1997 | 10 | -3.41% | -3.40% | -9.10% |
1997 | 11 | 3.32% | 3.33% | -1.19% |
1997 | 12 | 1.70% | 1.70% | 0.92% |
1998 | 1 | 0.45% | 0.44% | 3.04% |
1998 | 2 | 7.34% | 7.34% | 6.88% |
1998 | 3 | 5.06% | 5.06% | 3.22% |
1998 | 4 | 1.09% | 1.10% | 0.53% |
1998 | 5 | -2.71% | -2.71% | -1.51% |
1998 | 6 | 3.53% | 3.54% | -0.27% |
1998 | 7 | -2.26% | -2.27% | 1.08% |
1998 | 8 | -15.65% | -15.65% | -13.66% |
1998 | 9 | 6.65% | 6.68% | -2.07% |
1998 | 10 | 7.52% | 7.51% | 10.77% |
1998 | 11 | 6.17% | 6.17% | 5.34% |
1998 | 12 | 6.44% | 6.45% | 3.26% |
1999 | 1 | 3.63% | 3.65% | -0.63% |
1999 | 2 | -3.73% | -3.73% | -2.16% |
1999 | 3 | 3.94% | 3.93% | 4.97% |
1999 | 4 | 4.68% | 4.68% | 5.08% |
1999 | 5 | -2.01% | -2.00% | -5.00% |
1999 | 6 | 5.16% | 5.16% | 4.39% |
1999 | 7 | -3.18% | -3.20% | 2.27% |
1999 | 8 | -0.92% | -0.92% | 0.33% |
1999 | 9 | -2.43% | -2.44% | 0.82% |
1999 | 10 | 6.28% | 6.29% | 3.74% |
1999 | 11 | 3.42% | 3.42% | 4.08% |
1999 | 12 | 7.59% | 7.59% | 9.37% |
2000 | 1 | -4.19% | -4.18% | -6.22% |
2000 | 2 | 2.55% | 2.54% | 2.83% |
2000 | 3 | 5.68% | 5.69% | 3.48% |
2000 | 4 | -5.21% | -5.21% | -5.41% |
2000 | 5 | -3.40% | -3.41% | -2.67% |
2000 | 6 | 4.42% | 4.42% | 4.27% |
2000 | 7 | -1.96% | -1.95% | -4.46% |
2000 | 8 | 7.26% | 7.28% | 1.00% |
2000 | 9 | -4.67% | -4.67% | -5.00% |
2000 | 10 | -2.05% | -2.04% | -3.03% |
2000 | 11 | -9.89% | -9.90% | -4.44% |
2000 | 12 | 1.79% | 1.78% | 3.72% |
2001 | 1 | 3.82% | 3.83% | 1.10% |
2001 | 2 | -9.41% | -9.41% | -7.61% |
2001 | 3 | -6.72% | -6.72% | -7.15% |
2001 | 4 | 8.16% | 8.16% | 7.89% |
2001 | 5 | 1.00% | 1.01% | -3.52% |
2001 | 6 | -1.64% | -1.64% | -3.84% |
2001 | 7 | -1.71% | -1.71% | -2.43% |
2001 | 8 | -5.99% | -6.00% | -2.30% |
2001 | 9 | -9.00% | -9.00% | -10.73% |
2001 | 10 | 2.52% | 2.52% | 2.97% |
2001 | 11 | 7.62% | 7.63% | 3.56% |
2001 | 12 | 1.78% | 1.78% | 1.35% |
2002 | 1 | -1.25% | -1.24% | -4.63% |
2002 | 2 | -2.04% | -2.05% | 0.90% |
2002 | 3 | 4.38% | 4.38% | 5.71% |
2002 | 4 | -4.88% | -4.90% | 0.42% |
2002 | 5 | -1.21% | -1.22% | 1.16% |
2002 | 6 | -7.06% | -7.06% | -4.28% |
2002 | 7 | -8.02% | -8.02% | -9.80% |
2002 | 8 | 0.53% | 0.53% | -0.12% |
2002 | 9 | -10.07% | -10.07% | -10.88% |
2002 | 10 | 7.64% | 7.65% | 5.70% |
2002 | 11 | 6.06% | 6.06% | 4.75% |
2002 | 12 | -5.56% | -5.57% | -3.43% |
2003 | 1 | -2.54% | -2.54% | -3.76% |
2003 | 2 | -1.69% | -1.69% | -2.42% |
2003 | 3 | 1.08% | 1.09% | -1.93% |
2003 | 4 | 8.21% | 8.21% | 9.70% |
2003 | 5 | 6.11% | 6.11% | 6.15% |
2003 | 6 | 1.44% | 1.43% | 2.66% |
2003 | 7 | 2.36% | 2.36% | 3.18% |
2003 | 8 | 2.39% | 2.39% | 2.51% |
2003 | 9 | -1.13% | -1.15% | 2.78% |
2003 | 10 | 6.12% | 6.12% | 6.49% |
2003 | 11 | 1.38% | 1.38% | 2.13% |
2003 | 12 | 4.49% | 4.48% | 7.80% |
2004 | 1 | 2.23% | 2.23% | 1.60% |
2004 | 2 | 1.43% | 1.43% | 2.50% |
2004 | 3 | -1.07% | -1.07% | 0.45% |
2004 | 4 | -2.11% | -2.11% | -3.14% |
2004 | 5 | 1.34% | 1.35% | 0.46% |
2004 | 6 | 2.09% | 2.09% | 2.40% |
2004 | 7 | -3.80% | -3.80% | -3.34% |
2004 | 8 | 0.31% | 0.31% | 0.75% |
2004 | 9 | 1.74% | 1.74% | 2.96% |
2004 | 10 | 1.68% | 1.68% | 3.24% |
2004 | 11 | 4.69% | 4.68% | 7.23% |
2004 | 12 | 3.64% | 3.63% | 4.44% |
2005 | 1 | -2.67% | -2.68% | -1.67% |
2005 | 2 | 2.08% | 2.07% | 4.68% |
2005 | 3 | -1.75% | -1.75% | -2.93% |
2005 | 4 | -2.32% | -2.32% | -2.07% |
2005 | 5 | 3.76% | 3.77% | 0.08% |
2005 | 6 | 0.81% | 0.81% | 1.30% |
2005 | 7 | 4.10% | 4.11% | 3.68% |
2005 | 8 | -0.93% | -0.94% | 2.85% |
2005 | 9 | 0.87% | 0.86% | 4.73% |
2005 | 10 | -1.87% | -1.86% | -3.37% |
2005 | 11 | 3.97% | 3.97% | 2.67% |
2005 | 12 | 0.15% | 0.14% | 5.14% |
2006 | 1 | 3.51% | 3.50% | 6.87% |
2006 | 2 | -0.00% | 0.00% | -0.72% |
2006 | 3 | 1.81% | 1.80% | 3.17% |
2006 | 4 | 1.12% | 1.11% | 5.12% |
2006 | 5 | -3.24% | -3.23% | -4.45% |
2006 | 6 | 0.17% | 0.17% | -0.38% |
2006 | 7 | -0.13% | -0.13% | 1.15% |
2006 | 8 | 2.31% | 2.31% | 2.53% |
2006 | 9 | 2.26% | 2.27% | 0.25% |
2006 | 10 | 3.53% | 3.53% | 4.00% |
2006 | 11 | 2.24% | 2.23% | 3.73% |
2006 | 12 | 1.14% | 1.13% | 3.09% |
2007 | 1 | 1.87% | 1.88% | 0.96% |
2007 | 2 | -1.61% | -1.61% | 0.06% |
2007 | 3 | 1.11% | 1.11% | 2.80% |
2007 | 4 | 4.01% | 4.01% | 3.92% |
2007 | 5 | 3.69% | 3.69% | 3.09% |
2007 | 6 | -1.66% | -1.67% | 0.61% |
2007 | 7 | -3.40% | -3.41% | -1.06% |
2007 | 8 | 1.45% | 1.45% | -0.72% |
2007 | 9 | 3.60% | 3.59% | 6.38% |
2007 | 10 | 1.86% | 1.85% | 5.90% |
2007 | 11 | -4.49% | -4.49% | -4.57% |
2007 | 12 | -0.61% | -0.60% | -2.28% |
2008 | 1 | -6.09% | -6.08% | -8.55% |
2008 | 2 | -3.06% | -3.07% | 0.33% |
2008 | 3 | -0.58% | -0.58% | -0.71% |
2008 | 4 | 5.02% | 5.02% | 5.85% |
2008 | 5 | 2.09% | 2.09% | 1.51% |
2008 | 6 | -8.19% | -8.19% | -8.99% |
2008 | 7 | -0.78% | -0.77% | -3.67% |
2008 | 8 | 1.56% | 1.58% | -5.10% |
2008 | 9 | -9.27% | -9.26% | -13.09% |
2008 | 10 | -17.64% | -17.63% | -22.09% |
2008 | 11 | -7.90% | -7.90% | -6.29% |
2008 | 12 | 1.87% | 1.86% | 8.16% |
Metric | Maximum 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 Correlation | 1.00 |
Beta(*) | 1.00 |
Alpha (annualized) | 0.00% |
R2 | 100.00% |
Sharpe Ratio | 0.32 |
Sortino Ratio | 0.43 |
Treynor Ratio (%) | 4.96 |
Calmar Ratio | -0.20 |
Active Return | -0.00% |
Tracking Error | 0.04% |
Information Ratio | -0.04 |
Skewness | -1.09 |
Excess Kurtosis | 3.39 |
Historical Value-at-Risk (5%) | -7.08% |
Analytical Value-at-Risk (5%) | -6.55% |
Conditional Value-at-Risk (5%) | -10.81% |
Upside Capture Ratio (%) | 99.91 |
Downside Capture Ratio (%) | 99.90 |
Safe Withdrawal Rate | 10.48% |
Perpetual Withdrawal Rate | 5.20% |
Positive Periods | 172 out of 276 (62.32%) |
Gain/Loss Ratio | 0.96 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Maximum Sharpe Ratio |
---|---|---|---|
Black Monday Period | Sep 1987 | Nov 1987 | -29.29% |
Asian Crisis | Jul 1997 | Jan 1998 | -3.73% |
Russian Debt Default | Jul 1998 | Oct 1998 | -17.56% |
Dotcom Crash | Mar 2000 | Oct 2002 | -44.10% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Sep 2000 | Sep 2002 | 2 years 1 month | Apr 2006 | 3 years 7 months | 5 years 8 months | -44.10% |
2 | Nov 2007 | Nov 2008 | 1 year 1 month | -41.35% | |||
3 | Sep 1987 | Nov 1987 | 3 months | May 1989 | 1 year 6 months | 1 year 9 months | -29.29% |
4 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -17.56% |
5 | Jun 1990 | Oct 1990 | 5 months | Feb 1991 | 4 months | 9 months | -16.17% |
6 | Apr 2000 | May 2000 | 2 months | Aug 2000 | 3 months | 5 months | -8.44% |
7 | Sep 1986 | Sep 1986 | 1 month | Jan 1987 | 4 months | 5 months | -7.90% |
8 | Feb 1994 | Jun 1994 | 5 months | Feb 1995 | 8 months | 1 year 1 month | -7.40% |
9 | Jan 1990 | Jan 1990 | 1 month | May 1990 | 4 months | 5 months | -7.00% |
10 | Jul 1999 | Sep 1999 | 3 months | Nov 1999 | 2 months | 5 months | -6.40% |
Worst 10 drawdowns included above |
Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|
US Stock Market | 8.53% | 15.46% | 35.79% | -37.04% | -44.11% | 0.32 | 0.43 | 1.00 |
Global ex-US Stock Market | 6.76% | 18.21% | 63.38% | -44.10% | -51.80% | 0.21 | 0.29 | 0.63 |
Name | US Stock Market | Global ex-US Stock Market | Maximum Sharpe Ratio |
---|---|---|---|
US Stock Market | 1.00 | 0.63 | 1.00 |
Global ex-US Stock Market | 0.63 | 1.00 | 0.64 |
Name | Maximum Sharpe Ratio |
---|---|
US Stock Market | 99.78% |
Global ex-US Stock Market | 0.22% |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 10.95% | 47.31% | -38.59% |
3 years | 11.00% | 30.63% | -16.28% |
5 years | 10.92% | 26.80% | -3.87% |
7 years | 10.73% | 20.32% | -0.73% |
10 years | 11.71% | 18.86% | -0.65% |
15 years | 10.80% | 14.87% | 6.23% |