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.

%
%
%
%
Browse…
1
%
%
%
%
%
2
%
%
%
%
%
3
%
%
%
%
%
4
%
%
%
%
%
5
%
%
%
%
%
6
%
%
%
%
%
7
%
%
%
%
%
8
%
%
%
%
%
9
%
%
%
%
%
10
%
%
%
%
%
Total
%

Asset Groups
Min. Weight
Max. Weight
A
%
%
B
%
%
C
%
%
D
%
%
E
%
%
F
%
%

Portfolio Optimization Results (Jan 2004 - Dec 2020)

Portfolio optimization results with goal to maximize Sharpe ratio. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 7.33% to 9.82%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 23.79%
IJS iShares S&P Small-Cap 600 Value ETF 5.00%
EFA iShares MSCI EAFE ETF 5.00%
EEM iShares MSCI Emerging Markets ETF 5.00%
TLT iShares 20+ Year Treasury Bond ETF 26.26%
IEF iShares 7-10 Year Treasury Bond ETF 29.95%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 5.00%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$35,163
CAGR7.68%
Expected Return 7.93%
Stdev6.83%
Best Year18.00%
Worst Year-4.28%
Max. Drawdown -17.31%
Sharpe Ratio (ex-ante)0.98
Sharpe Ratio (ex-post)0.93
Sortino Ratio1.44
US Stock Market Correlation0.64
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Maximum Sharpe Ratio5.02%15.50%9.68%9.45%8.51%7.68%7.25%6.27%
Trailing annualized return and volatility are for full months ending in December 2020 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.
  • Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks
  • 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
#AssetGroupCAGRExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1SPDR S&P 500 ETF Trust (SPY)Equity9.55%10.69%14.39%0.6555.00%40.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)Equity8.74%11.01%20.21%0.4825.00%20.00%
3iShares MSCI EAFE ETF (EFA)Equity5.65%7.21%17.05%0.3495.00%30.00%
4iShares MSCI Emerging Markets ETF (EEM)Equity8.32%10.96%21.94%0.4425.00%15.00%
5iShares 20+ Year Treasury Bond ETF (TLT)Fixed Income7.22%8.10%12.98%0.5275.00%30.00%
6iShares 7-10 Year Treasury Bond ETF (IEF)Fixed Income4.91%5.10%6.10%0.6295.00%30.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)Fixed Income5.64%5.91%7.20%0.6465.00%20.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (1.26% annualized).
Asset Groups
Asset GroupMin. WeightMax. Weight
Equity20.00%80.00%
Fixed Income20.00%80.00%

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerSPYIJSEFAEEMTLTIEFLQD
SPDR S&P 500 ETF TrustSPY1.000.890.880.78-0.31-0.300.33
iShares S&P Small-Cap 600 Value ETFIJS0.891.000.780.70-0.35-0.360.26
iShares MSCI EAFE ETFEFA0.880.781.000.87-0.25-0.230.40
iShares MSCI Emerging Markets ETFEEM0.780.700.871.00-0.23-0.190.37
iShares 20+ Year Treasury Bond ETFTLT-0.31-0.35-0.25-0.231.000.910.50
iShares 7-10 Year Treasury Bond ETFIEF-0.30-0.36-0.23-0.190.911.000.51
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.330.260.400.370.500.511.00
Based on monthly returns from Jan 2004 to Dec 2020
Efficient Frontier Assets
#SPYIJSEFAEEMTLTIEFLQDExpected Return*Standard Deviation*Sharpe Ratio*
113.20%5.00%5.00%5.00%21.80%30.00%20.00%7.33%6.48%0.936
214.18%5.00%5.00%5.00%20.82%30.00%20.00%7.35%6.48%0.940
314.95%5.00%5.00%5.00%20.29%30.00%19.76%7.38%6.49%0.942
415.31%5.00%5.00%5.00%20.66%30.00%19.03%7.40%6.51%0.944
515.66%5.00%5.00%5.00%21.04%30.00%18.30%7.43%6.52%0.946
616.02%5.00%5.00%5.00%21.41%30.00%17.57%7.45%6.53%0.948
716.37%5.00%5.00%5.00%21.78%30.00%16.85%7.48%6.54%0.950
816.73%5.00%5.00%5.00%22.15%30.00%16.12%7.50%6.56%0.952
917.08%5.00%5.00%5.00%22.53%30.00%15.39%7.53%6.57%0.953
1017.44%5.00%5.00%5.00%22.90%30.00%14.66%7.55%6.58%0.955
1117.79%5.00%5.00%5.00%23.27%30.00%13.93%7.58%6.60%0.957
1218.15%5.00%5.00%5.00%23.65%30.00%13.21%7.60%6.61%0.959
1318.50%5.00%5.00%5.00%24.02%30.00%12.48%7.63%6.63%0.960
1418.86%5.00%5.00%5.00%24.39%30.00%11.75%7.65%6.64%0.962
1519.21%5.00%5.00%5.00%24.76%30.00%11.02%7.68%6.66%0.964
1619.57%5.00%5.00%5.00%25.14%30.00%10.30%7.70%6.67%0.965
1719.92%5.00%5.00%5.00%25.51%30.00%9.57%7.73%6.69%0.967
1820.28%5.00%5.00%5.00%25.88%30.00%8.84%7.75%6.71%0.968
1920.63%5.00%5.00%5.00%26.25%30.00%8.11%7.78%6.72%0.969
2020.99%5.00%5.00%5.00%26.63%30.00%7.38%7.80%6.74%0.971
2121.34%5.00%5.00%5.00%27.00%30.00%6.66%7.83%6.75%0.972
2221.70%5.00%5.00%5.00%27.37%30.00%5.93%7.85%6.77%0.973
2322.05%5.00%5.00%5.00%27.75%30.00%5.20%7.88%6.79%0.975
2422.86%5.00%5.00%5.00%27.14%30.00%5.00%7.90%6.81%0.976
2523.79%5.00%5.00%5.00%26.26%29.95%5.00%7.93%6.83%0.976
2623.98%5.00%5.00%5.00%26.73%29.29%5.00%7.95%6.86%0.975
2724.18%5.00%5.00%5.00%27.19%28.63%5.00%7.98%6.89%0.975
2824.38%5.00%5.00%5.00%27.65%27.97%5.00%8.00%6.92%0.974
2924.58%5.00%5.00%5.00%28.12%27.31%5.00%8.03%6.95%0.974
3024.78%5.00%5.00%5.00%28.58%26.64%5.00%8.05%6.98%0.974
3124.97%5.00%5.00%5.00%29.04%25.98%5.00%8.08%7.01%0.973
3225.17%5.00%5.00%5.00%29.51%25.32%5.00%8.10%7.04%0.973
3325.37%5.00%5.00%5.00%29.97%24.66%5.00%8.13%7.06%0.972
3425.80%5.00%5.00%5.00%30.00%24.20%5.00%8.15%7.09%0.972
3526.25%5.00%5.00%5.00%30.00%23.75%5.00%8.18%7.12%0.971
3626.70%5.00%5.00%5.00%30.00%23.30%5.00%8.20%7.15%0.970
3727.15%5.00%5.00%5.00%30.00%22.85%5.00%8.23%7.19%0.970
3827.60%5.00%5.00%5.00%30.00%22.40%5.00%8.25%7.22%0.969
3928.05%5.00%5.00%5.00%30.00%21.95%5.00%8.28%7.25%0.968
4028.50%5.00%5.00%5.00%30.00%21.50%5.00%8.30%7.29%0.967
4128.95%5.00%5.00%5.00%30.00%21.05%5.00%8.33%7.32%0.966
4229.40%5.00%5.00%5.00%30.00%20.60%5.00%8.36%7.35%0.965
4329.85%5.00%5.00%5.00%30.00%20.15%5.00%8.38%7.39%0.963
4430.29%5.00%5.00%5.00%30.00%19.71%5.00%8.41%7.43%0.962
4530.74%5.00%5.00%5.00%30.00%19.26%5.00%8.43%7.46%0.961
4631.19%5.00%5.00%5.00%30.00%18.81%5.00%8.46%7.50%0.959
4731.64%5.00%5.00%5.00%30.00%18.36%5.00%8.48%7.54%0.958
4832.09%5.00%5.00%5.00%30.00%17.91%5.00%8.51%7.58%0.956
4932.54%5.00%5.00%5.00%30.00%17.46%5.00%8.53%7.62%0.955
5032.99%5.00%5.00%5.00%30.00%17.01%5.00%8.56%7.66%0.953
5133.44%5.00%5.00%5.00%30.00%16.56%5.00%8.58%7.70%0.951
5233.89%5.00%5.00%5.00%30.00%16.11%5.00%8.61%7.74%0.949
5334.34%5.00%5.00%5.00%30.00%15.66%5.00%8.63%7.78%0.948
5434.79%5.00%5.00%5.00%30.00%15.21%5.00%8.66%7.82%0.946
5535.24%5.00%5.00%5.00%30.00%14.76%5.00%8.68%7.86%0.944
5635.69%5.00%5.00%5.00%30.00%14.31%5.00%8.71%7.91%0.942
5736.13%5.00%5.00%5.00%30.00%13.87%5.00%8.73%7.95%0.940
5836.58%5.00%5.00%5.00%30.00%13.42%5.00%8.76%8.00%0.938
5937.03%5.00%5.00%5.00%30.00%12.97%5.00%8.79%8.04%0.936
6037.48%5.00%5.00%5.00%30.00%12.52%5.00%8.81%8.09%0.934
6137.93%5.00%5.00%5.00%30.00%12.07%5.00%8.84%8.13%0.932
6238.38%5.00%5.00%5.00%30.00%11.62%5.00%8.86%8.18%0.929
6338.83%5.00%5.00%5.00%30.00%11.17%5.00%8.89%8.22%0.927
6439.28%5.00%5.00%5.00%30.00%10.72%5.00%8.91%8.27%0.925
6539.73%5.00%5.00%5.00%30.00%10.27%5.00%8.94%8.32%0.923
6640.00%5.17%5.00%5.00%30.00%9.83%5.00%8.96%8.37%0.920
6740.00%5.59%5.00%5.00%30.00%9.41%5.00%8.99%8.43%0.917
6840.00%6.02%5.00%5.00%30.00%8.98%5.00%9.01%8.49%0.914
6940.00%6.45%5.00%5.00%30.00%8.55%5.00%9.04%8.55%0.910
7040.00%6.87%5.00%5.00%30.00%8.13%5.00%9.06%8.60%0.907
7140.00%7.30%5.00%5.00%30.00%7.70%5.00%9.09%8.66%0.904
7240.00%7.72%5.00%5.00%30.00%7.28%5.00%9.11%8.73%0.900
7340.00%8.15%5.00%5.00%30.00%6.85%5.00%9.14%8.79%0.897
7440.00%8.57%5.00%5.00%30.00%6.43%5.00%9.17%8.85%0.893
7540.00%9.00%5.00%5.00%30.00%6.00%5.00%9.19%8.91%0.890
7640.00%9.43%5.00%5.00%30.00%5.57%5.00%9.22%8.98%0.886
7740.00%9.85%5.00%5.00%30.00%5.15%5.00%9.24%9.04%0.883
7840.00%10.57%5.00%5.00%29.43%5.00%5.00%9.27%9.14%0.876
7940.00%11.44%5.00%5.00%28.56%5.00%5.00%9.29%9.27%0.866
8040.00%12.32%5.00%5.00%27.68%5.00%5.00%9.32%9.40%0.857
8140.00%13.20%5.00%5.00%26.80%5.00%5.00%9.34%9.54%0.847
8240.00%14.07%5.00%5.00%25.93%5.00%5.00%9.37%9.68%0.837
8340.00%14.95%5.00%5.00%25.05%5.00%5.00%9.39%9.83%0.828
8440.00%15.82%5.00%5.00%24.18%5.00%5.00%9.42%9.98%0.818
8540.00%16.70%5.00%5.00%23.30%5.00%5.00%9.45%10.13%0.808
8640.00%17.57%5.00%5.00%22.43%5.00%5.00%9.47%10.28%0.798
8740.00%18.39%5.00%5.06%21.55%5.00%5.00%9.50%10.44%0.789
8840.00%18.90%5.00%5.44%20.67%5.00%5.00%9.52%10.60%0.779
8940.00%19.41%5.00%5.81%19.79%5.00%5.00%9.55%10.77%0.770
9040.00%19.92%5.00%6.18%18.91%5.00%5.00%9.57%10.93%0.760
9140.00%20.00%5.00%6.98%18.02%5.00%5.00%9.60%11.10%0.751
9240.00%20.00%5.00%7.87%17.13%5.00%5.00%9.62%11.28%0.742
9340.00%20.00%5.00%8.77%16.23%5.00%5.00%9.65%11.45%0.733
9440.00%20.00%5.00%9.66%15.34%5.00%5.00%9.67%11.63%0.724
9540.00%20.00%5.00%10.55%14.45%5.00%5.00%9.70%11.81%0.715
9640.00%20.00%5.00%11.44%13.56%5.00%5.00%9.73%11.99%0.706
9740.00%20.00%5.00%12.33%12.67%5.00%5.00%9.75%12.18%0.697
9840.00%20.00%5.00%13.22%11.78%5.00%5.00%9.78%12.37%0.689
9940.00%20.00%5.00%14.11%10.89%5.00%5.00%9.80%12.56%0.680
10040.00%20.00%5.00%15.00%10.00%5.00%5.00%9.83%12.75%0.672
*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 (1.26% annualized).
Annual returns for the configured portfolios
YearInflationMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceSPDR S&P 500 ETF Trust (SPY)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)iShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
20043.26%9.72%$10,97210.70%22.60%18.95%24.63%8.71%4.12%5.72%
20053.42%6.98%$11,7384.83%6.00%13.32%32.62%8.61%2.64%1.16%
20062.54%8.62%$12,75015.85%19.37%25.81%31.19%0.71%2.52%4.22%
20074.08%9.25%$13,9305.14%-5.56%9.94%33.31%10.29%10.37%3.73%
20080.09%-4.28%$13,334-36.81%-29.39%-41.04%-48.88%33.93%17.91%2.40%
20092.72%3.34%$13,77926.36%22.36%26.95%68.93%-21.80%-6.59%8.46%
20101.50%12.76%$15,53715.06%24.69%8.15%16.51%9.05%9.37%9.33%
20112.96%12.98%$17,5541.89%-1.65%-12.25%-18.82%33.96%15.64%9.73%
20121.74%9.29%$19,18515.99%18.24%18.82%19.10%2.63%3.66%10.58%
20131.50%3.71%$19,89632.31%39.34%21.40%-3.69%-13.37%-6.09%-2.00%
20140.76%13.20%$22,52213.46%7.56%-6.20%-3.93%27.30%9.07%8.21%
20150.73%-0.58%$22,3911.25%-6.90%-1.00%-16.18%-1.79%1.51%-1.25%
20162.07%6.17%$23,77212.00%31.25%1.37%10.87%1.18%1.00%6.21%
20172.11%12.11%$26,65121.70%11.35%25.10%37.28%9.18%2.55%7.06%
20181.91%-3.19%$25,801-4.56%-12.84%-13.81%-15.31%-1.61%0.99%-3.79%
20192.29%18.00%$30,44531.22%24.12%22.03%18.20%14.12%8.03%17.37%
20201.27%15.50%$35,16318.37%2.63%7.59%17.03%18.15%10.01%10.97%
Monthly returns for the configured portfolios
YearMonthMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceSPDR S&P 500 ETF Trust (SPY)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)iShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
200411.61%$10,1611.98%2.17%1.13%2.42%1.86%1.02%1.22%
200421.92%$10,3561.36%2.50%2.30%3.95%2.28%1.61%1.51%
200430.62%$10,420-1.32%1.82%0.07%0.55%1.41%1.30%0.99%
20044-4.44%$9,957-1.89%-3.93%-3.39%-9.80%-6.23%-4.35%-3.89%
200450.35%$9,9921.71%1.58%1.14%1.17%-0.26%-0.53%-0.52%
200461.40%$10,1321.85%5.35%3.35%0.92%1.06%0.65%0.13%
20047-0.56%$10,076-3.22%-4.75%-4.27%-3.64%1.53%1.21%1.56%
200482.40%$10,3180.24%0.24%1.19%3.53%4.17%2.83%3.08%
200491.29%$10,4501.00%4.69%2.07%6.98%0.95%0.32%0.31%
2004101.49%$10,6061.29%0.95%3.50%2.85%1.77%0.99%1.18%
2004111.03%$10,7164.45%9.11%6.08%9.95%-2.39%-1.98%-1.22%
2004122.39%$10,9723.02%1.57%4.80%4.74%2.66%1.17%1.39%
200510.44%$11,020-2.24%-3.25%-1.90%-0.53%3.57%0.87%1.23%
200520.47%$11,0732.09%2.90%3.78%9.68%-1.47%-1.37%-0.94%
20053-1.38%$10,919-1.83%-2.36%-2.62%-7.91%-0.45%-0.40%-1.26%
200541.00%$11,029-1.87%-5.12%-1.62%-1.25%3.86%2.52%1.62%
200552.59%$11,3153.22%6.16%-0.86%3.16%3.14%1.84%0.62%
200561.27%$11,4590.15%3.92%1.43%3.97%2.16%0.48%1.22%
200570.15%$11,4773.83%5.84%3.00%7.68%-3.38%-2.18%-0.82%
200581.53%$11,652-0.94%-1.87%3.84%1.32%3.48%2.00%1.50%
20059-0.76%$11,5640.80%0.05%3.69%8.65%-3.61%-1.75%-1.86%
200510-2.25%$11,304-2.37%-3.41%-3.18%-6.34%-2.24%-1.24%-1.58%
2005112.10%$11,5424.40%4.91%2.31%5.79%0.69%0.63%0.66%
2005121.70%$11,738-0.19%-1.06%5.18%6.10%2.98%1.37%0.86%
200611.42%$11,9052.40%8.75%5.77%14.20%-1.34%-0.70%-0.44%
200620.22%$11,9310.57%0.27%-0.70%-3.85%1.11%-0.10%0.68%
20063-0.75%$11,8421.65%4.86%4.01%2.17%-4.57%-1.36%-1.68%
20064-0.05%$11,8361.26%0.18%4.79%6.52%-2.75%-0.63%-0.20%
20065-1.78%$11,625-3.01%-4.55%-3.82%-11.14%-0.19%-0.10%-0.19%
200660.45%$11,6770.26%0.04%-0.06%0.21%1.18%0.23%-0.09%
200671.25%$11,8240.45%-3.10%0.81%2.34%2.16%1.68%1.46%
200682.30%$12,0962.18%2.70%2.55%1.58%3.06%1.76%2.22%
200691.58%$12,2872.70%1.19%0.22%-0.87%1.91%1.21%0.87%
2006102.00%$12,5323.15%5.52%3.75%7.06%0.85%0.54%1.00%
2006112.12%$12,7971.99%2.38%3.07%5.98%2.31%1.31%1.46%
200612-0.37%$12,7501.34%0.32%3.20%5.44%-2.69%-1.28%-0.90%
200710.16%$12,7711.50%2.14%1.39%0.11%-1.00%-0.40%0.09%
200720.93%$12,889-1.96%-0.92%-0.12%-3.24%3.39%2.06%2.00%
200730.21%$12,9161.16%0.91%2.90%5.33%-1.70%-0.14%-0.68%
200741.98%$13,1734.43%1.84%3.75%3.73%0.90%0.61%0.89%
200750.32%$13,2153.39%4.63%2.36%5.06%-2.31%-1.39%-1.23%
20076-0.74%$13,118-1.46%-2.24%-0.32%3.68%-1.01%-0.47%-0.81%
200770.37%$13,166-3.13%-6.26%-2.29%0.71%3.32%2.26%-0.82%
200781.66%$13,3841.28%1.33%-0.63%1.04%1.79%2.26%2.38%
200791.90%$13,6393.87%0.31%5.32%11.57%0.23%0.09%0.73%
2007102.03%$13,9161.36%1.06%4.25%11.87%1.81%1.08%0.97%
2007110.82%$14,031-3.87%-7.15%-3.62%-7.65%5.35%4.04%1.02%
200712-0.72%$13,930-1.13%-0.71%-2.99%-1.43%-0.64%0.05%-0.81%
20081-0.79%$13,819-6.05%-4.00%-7.85%-8.92%2.10%3.36%2.57%
20082-0.52%$13,748-2.58%-3.36%-1.02%1.99%-0.46%1.24%-0.71%
200830.59%$13,829-0.90%0.83%0.42%-3.75%2.14%1.34%-0.60%
200840.68%$13,9244.77%2.64%5.44%9.14%-2.48%-2.41%1.25%
20085-0.58%$13,8431.51%3.92%1.19%3.16%-2.69%-1.78%-2.21%
20086-2.34%$13,520-8.35%-8.41%-8.80%-9.29%2.65%1.14%-1.29%
20087-0.37%$13,470-0.90%2.87%-3.32%-5.50%-0.37%0.72%0.39%
200881.26%$13,6391.55%4.76%-4.25%-6.32%2.74%1.53%0.15%
20089-3.98%$13,096-9.44%-4.82%-11.44%-14.68%1.47%-0.14%-10.73%
200810-8.09%$12,037-16.52%-19.86%-20.83%-25.58%-1.86%-0.87%-1.95%
2008113.20%$12,422-6.96%-11.80%-6.37%-9.75%14.34%7.75%3.35%
2008127.34%$13,3340.98%6.57%8.88%10.35%13.64%5.15%13.80%
20091-8.49%$12,202-8.21%-13.94%-13.73%-9.29%-13.07%-3.89%-1.80%
20092-4.92%$11,601-10.74%-13.03%-10.39%-6.27%-1.54%-0.74%-5.20%
200935.70%$12,2638.35%7.58%8.39%16.86%4.04%3.31%0.47%
200942.15%$12,5279.93%18.89%11.52%15.56%-6.95%-2.75%2.78%
200951.40%$12,7035.85%0.67%13.19%15.94%-3.69%-2.08%2.32%
200960.05%$12,710-0.07%1.52%-1.43%-2.25%0.76%-0.55%2.89%
200974.01%$13,2197.46%11.00%10.04%11.01%0.58%0.83%4.63%
200982.09%$13,4963.69%3.48%4.50%-1.31%2.24%0.77%1.31%
200992.82%$13,8773.55%4.21%3.80%10.20%2.46%1.12%1.76%
200910-1.81%$13,626-1.92%-6.07%-2.52%-3.44%-2.62%-0.14%-0.49%
2009113.22%$14,0656.16%2.90%3.92%7.85%1.21%2.02%1.95%
200912-2.03%$13,7791.91%8.10%0.70%3.27%-6.34%-4.40%-2.07%
20101-0.15%$13,758-3.63%-2.54%-5.07%-7.76%2.69%2.37%1.25%
201021.12%$13,9123.12%4.76%0.27%1.78%-0.34%0.33%0.51%
201031.74%$14,1546.09%7.80%6.39%8.11%-2.06%-1.06%0.65%
201042.01%$14,4391.55%6.63%-2.80%-0.17%3.32%1.65%1.91%
20105-1.19%$14,267-7.95%-8.54%-11.19%-9.39%5.11%2.93%-1.31%
201060.78%$14,378-5.17%-8.27%-2.07%-1.40%5.80%3.05%3.28%
201073.22%$14,8406.83%6.71%11.61%10.93%-0.95%0.91%2.11%
201081.54%$15,068-4.50%-7.91%-3.80%-3.24%8.40%3.36%2.86%
201093.13%$15,5398.96%10.93%9.97%11.76%-2.51%-0.00%0.46%
2010100.26%$15,5803.82%4.04%3.81%3.02%-4.47%-0.01%-0.26%
201011-1.06%$15,4160.00%2.47%-4.82%-2.91%-1.69%-0.90%-1.62%
2010120.79%$15,5376.68%8.97%8.30%7.27%-3.68%-3.43%-0.75%
20111-0.36%$15,4812.33%-0.24%2.10%-3.84%-3.08%-0.02%0.04%
201121.64%$15,7353.47%4.21%3.55%-0.04%1.65%-0.21%1.08%
201130.24%$15,7730.01%2.21%-2.39%6.29%0.03%-0.15%-0.54%
201142.45%$16,1592.90%1.06%5.63%2.73%2.34%1.84%2.50%
201151.10%$16,337-1.12%-1.77%-2.21%-2.94%3.42%2.51%1.27%
20116-1.39%$16,110-1.69%-1.59%-1.19%-0.93%-2.33%-0.51%-0.80%
201171.45%$16,343-2.00%-2.77%-2.38%-1.03%4.42%3.17%2.43%
201181.34%$16,562-5.50%-7.98%-8.75%-9.25%9.66%4.65%0.34%
201190.54%$16,651-6.94%-10.57%-10.81%-17.89%13.20%2.24%0.35%
2011103.39%$17,21610.91%15.34%9.63%16.27%-3.84%-1.29%2.51%
2011110.26%$17,261-0.41%0.63%-2.18%-1.96%1.98%0.58%-3.16%
2011121.70%$17,5541.04%2.02%-2.21%-4.30%3.44%1.99%3.49%
201212.59%$18,0084.64%7.90%5.27%10.99%-0.33%0.86%2.14%
201220.69%$18,1344.34%1.71%4.83%5.27%-2.59%-1.10%1.63%
20123-0.88%$17,9733.22%2.89%0.42%-3.11%-4.23%-1.59%-1.42%
201241.63%$18,266-0.67%-1.91%-2.08%-1.70%4.83%2.51%1.08%
201250.39%$18,337-6.01%-7.18%-11.14%-10.71%9.03%2.87%0.76%
201261.28%$18,5724.05%4.54%7.11%5.08%-1.68%-0.42%0.87%
201271.85%$18,9141.18%-0.69%0.08%-0.03%3.82%1.40%3.48%
201280.60%$19,0272.51%4.08%3.20%0.41%-1.32%-0.12%-0.05%
201290.44%$19,1112.54%3.14%2.71%5.22%-2.53%-0.35%1.10%
201210-0.68%$18,982-1.82%-1.96%1.09%-0.44%-0.48%-0.40%1.35%
2012111.07%$19,1850.57%1.65%2.78%1.56%1.38%0.98%-0.42%
201212-0.00%$19,1850.90%3.55%4.37%6.80%-2.49%-0.94%-0.33%
201310.37%$19,2555.12%5.35%3.73%-0.29%-3.19%-1.29%-1.30%
201320.93%$19,4331.28%1.63%-1.29%-2.28%1.24%1.13%1.08%
201331.10%$19,6463.80%4.11%1.31%-1.02%-0.42%0.29%-0.05%
201342.57%$20,1511.92%0.12%5.02%1.22%4.68%1.52%2.17%
20135-2.48%$19,6512.36%4.29%-3.02%-4.83%-6.76%-3.11%-3.22%
20136-2.51%$19,157-1.34%-0.14%-2.70%-5.35%-3.27%-2.55%-3.27%
201371.25%$19,3965.17%6.56%5.32%1.32%-2.26%-0.35%1.11%
20138-1.94%$19,020-3.00%-3.41%-1.96%-2.54%-1.34%-1.42%-1.00%
201392.60%$19,5153.17%6.59%7.82%7.21%0.66%1.85%0.74%
2013102.35%$19,9724.63%3.48%3.26%4.17%1.43%0.78%1.81%
201311-0.05%$19,9632.96%4.25%0.55%-0.26%-2.70%-0.88%-0.14%
201312-0.34%$19,8962.59%1.29%2.16%-0.42%-1.87%-2.09%0.22%
201410.96%$20,087-3.52%-3.51%-5.20%-8.64%6.30%3.06%1.88%
201422.09%$20,5074.55%4.63%6.13%3.38%0.52%0.36%1.14%
201430.46%$20,6010.83%1.34%-0.46%3.88%0.73%-0.56%-0.03%
201441.02%$20,8100.70%-2.29%1.67%0.78%2.10%0.76%1.33%
201452.21%$21,2702.32%0.62%1.60%2.95%2.95%1.82%1.51%
201460.72%$21,4232.06%3.85%0.92%2.40%-0.25%-0.22%0.01%
20147-0.54%$21,307-1.34%-5.07%-2.60%1.36%0.67%-0.22%-0.32%
201483.22%$21,9923.95%4.46%0.18%2.83%4.72%1.88%2.00%
20149-2.16%$21,517-1.38%-5.94%-3.88%-7.77%-2.11%-1.05%-1.68%
2014102.23%$21,9982.36%7.13%-0.27%1.42%2.81%1.53%1.23%
2014111.81%$22,3972.75%0.48%0.06%-1.54%2.97%1.29%0.91%
2014120.56%$22,522-0.26%2.56%-4.00%-3.99%3.25%0.13%-0.02%
201513.08%$23,216-2.96%-5.32%0.62%-0.69%9.82%4.30%3.75%
20152-0.26%$23,1565.62%5.86%6.34%4.41%-6.14%-2.47%-1.42%
201530.09%$23,176-1.57%1.03%-1.43%-1.50%1.10%0.86%0.20%
20154-0.48%$23,0640.98%-1.82%3.65%6.85%-3.43%-0.63%-1.19%
20155-0.65%$22,9131.29%0.75%0.20%-4.10%-2.37%-0.42%-1.12%
20156-2.42%$22,360-2.03%0.42%-3.12%-2.93%-4.07%-1.63%-1.88%
201571.88%$22,7802.26%-2.70%2.03%-6.31%4.55%1.52%0.83%
20158-2.69%$22,167-6.10%-4.62%-7.43%-8.84%-0.69%0.08%-0.83%
20159-0.12%$22,139-2.54%-3.77%-4.42%-3.13%1.97%1.58%1.19%
2015102.73%$22,7448.51%6.57%6.61%6.38%-0.41%-0.64%0.57%
201511-0.32%$22,6720.37%2.47%-0.75%-2.52%-0.87%-0.43%-0.15%
201512-1.24%$22,391-1.72%-5.08%-2.34%-3.83%-0.30%-0.45%-1.08%
201610.46%$22,495-4.98%-5.85%-5.52%-5.03%5.57%3.33%0.12%
201621.19%$22,761-0.08%2.08%-3.33%-0.82%3.09%1.49%1.05%
201633.19%$23,4866.72%9.41%6.58%12.96%-0.09%-0.06%3.62%
201640.17%$23,5260.39%2.13%2.22%0.41%-0.74%-0.16%1.55%
201650.39%$23,6191.70%0.44%-0.09%-3.69%0.81%-0.10%-0.51%
201663.13%$24,3590.35%0.83%-2.42%4.56%6.93%3.09%3.09%
201672.28%$24,9143.65%5.06%3.98%5.38%2.10%0.25%1.29%
20168-0.40%$24,8130.12%1.13%0.53%0.88%-1.01%-1.01%0.18%
20169-0.10%$24,7880.01%0.87%1.34%2.52%-1.51%0.24%-0.32%
201610-2.43%$24,186-1.73%-3.74%-2.22%-0.83%-4.38%-1.49%-1.53%
201611-2.35%$23,6183.68%13.34%-1.78%-4.42%-8.21%-4.23%-3.17%
2016120.65%$23,7722.03%3.20%2.71%-0.25%-0.46%-0.12%0.84%
201711.15%$24,0451.79%-1.21%3.29%6.66%0.81%0.22%0.15%
201721.85%$24,4903.93%1.35%1.19%1.74%1.59%0.72%1.32%
201730.18%$24,5340.13%-0.65%3.23%3.69%-0.65%0.08%-0.29%
201741.27%$24,8460.99%0.51%2.42%1.70%1.57%1.11%1.19%
201751.35%$25,1821.41%-2.26%3.54%2.85%1.89%0.83%1.33%
201760.44%$25,2930.64%2.96%0.31%0.93%0.79%-0.51%0.48%
201770.93%$25,5282.06%0.75%2.65%5.82%-0.66%0.38%0.77%
201781.41%$25,8890.29%-2.72%-0.04%2.35%3.41%1.46%0.68%
20179-0.02%$25,8842.01%8.58%2.36%-0.04%-2.32%-1.44%-0.05%
2017100.78%$26,0862.36%0.59%1.68%3.28%-0.04%-0.19%0.19%
2017111.04%$26,3563.06%3.76%0.69%-0.39%0.74%-0.28%-0.12%
2017121.12%$26,6511.21%-0.37%1.35%3.77%1.81%0.18%1.22%
201810.51%$26,7875.64%1.33%5.02%8.30%-3.26%-2.15%-1.23%
20182-2.79%$26,039-3.64%-4.04%-4.83%-5.90%-3.04%-0.93%-2.24%
201830.53%$26,176-2.74%1.37%-0.84%0.54%2.86%1.16%0.56%
20184-0.86%$25,9500.52%1.76%1.52%-2.82%-2.09%-1.28%-1.57%
201851.49%$26,3382.43%5.87%-1.89%-2.62%2.01%0.99%0.52%
201860.08%$26,3580.58%0.80%-1.57%-4.54%0.65%0.20%-0.49%
201870.86%$26,5853.70%2.62%2.85%3.53%-1.44%-0.53%1.34%
201881.27%$26,9223.19%3.14%-2.24%-3.77%1.31%1.01%0.02%
20189-1.11%$26,6230.59%-3.05%0.97%-0.58%-2.86%-1.20%-0.14%
201810-3.95%$25,572-6.91%-9.94%-8.13%-8.76%-2.93%-0.30%-2.05%
2018111.59%$25,9781.85%0.57%0.50%4.90%1.79%1.33%-0.36%
201812-0.68%$25,801-8.79%-12.38%-5.35%-3.50%5.85%2.80%1.86%
201913.83%$26,7898.01%12.26%6.63%10.34%0.38%0.65%3.37%
201920.50%$26,9223.24%4.13%2.54%-1.53%-1.38%-0.52%-0.20%
201932.74%$27,6611.81%-3.91%0.92%1.13%5.57%2.66%2.93%
201940.80%$27,8814.09%4.32%2.93%2.35%-1.99%-0.52%0.44%
201950.16%$27,925-6.38%-9.98%-5.03%-7.33%6.84%3.05%1.65%
201963.42%$28,8806.96%7.66%5.91%6.20%0.95%1.22%3.25%
201970.29%$28,9631.51%1.30%-1.95%-2.66%0.26%0.04%0.25%
201983.34%$29,929-1.67%-5.14%-1.92%-3.78%11.04%3.95%3.88%
20199-0.11%$29,8961.95%5.57%3.16%1.69%-2.68%-1.19%-0.76%
2019100.79%$30,1322.21%2.00%3.39%4.18%-1.11%0.19%0.44%
2019110.76%$30,3613.62%2.71%1.13%-0.09%-0.41%-0.69%0.47%
2019120.28%$30,4452.90%2.84%2.98%7.71%-3.20%-0.93%0.53%
202012.41%$31,177-0.04%-6.31%-2.82%-6.15%7.69%3.47%2.45%
20202-0.29%$31,088-7.92%-10.15%-7.77%-3.78%6.63%2.96%1.09%
20203-3.27%$30,071-12.46%-25.76%-14.11%-15.77%6.38%3.72%-6.31%
202045.02%$31,58012.70%13.89%5.82%7.35%1.22%0.27%4.85%
202051.44%$32,0354.76%2.55%5.43%2.97%-1.76%0.33%2.46%
202061.31%$32,4561.78%3.58%3.51%6.61%0.34%0.04%2.13%
202073.61%$33,6295.89%2.58%1.94%8.25%4.44%0.85%3.10%
202080.59%$33,8276.98%5.07%4.72%2.89%-5.05%-0.97%-1.78%
20209-1.02%$33,481-3.74%-5.18%-2.05%-1.01%0.77%0.33%-0.44%
202010-1.85%$32,863-2.49%3.66%-3.55%1.41%-3.39%-1.38%-0.51%
2020115.44%$34,65010.88%19.21%14.27%8.99%1.66%0.34%3.77%
2020121.48%$35,1633.71%7.50%5.01%7.14%-1.23%-0.24%0.15%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.64%
Arithmetic Mean (annualized)7.93%
Geometric Mean (monthly)0.62%
Geometric Mean (annualized)7.68%
Volatility (monthly)1.97%
Volatility (annualized)6.83%
Downside Deviation (monthly)1.25%
Max. Drawdown-17.31%
US Market Correlation0.64
Beta(*)0.29
Alpha (annualized)4.54%
R241.53%
Sharpe Ratio0.93
Sortino Ratio1.44
Treynor Ratio (%)21.79
Calmar Ratio1.93
Active Return-2.20%
Tracking Error11.81%
Information Ratio-0.19
Skewness-0.89
Excess Kurtosis4.13
Historical Value-at-Risk (5%)-2.47%
Analytical Value-at-Risk (5%)-2.60%
Conditional Value-at-Risk (5%)-4.33%
Upside Capture Ratio (%)37.82
Downside Capture Ratio (%)18.74
Safe Withdrawal Rate8.65%
Perpetual Withdrawal Rate5.23%
Positive Periods144 out of 204 (70.59%)
Gain/Loss Ratio1.00
* 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
Subprime CrisisNov 2007Mar 2009-17.31%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsNov 20099 months2 years-17.31%
2May 2013Aug 20134 monthsFeb 20146 months10 months-5.61%
3Aug 2016Nov 20164 monthsMay 20176 months10 months-5.20%
4Sep 2018Oct 20182 monthsFeb 20194 months6 months-5.02%
5Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-4.64%
6Apr 2004Apr 20041 monthSep 20045 months6 months-4.44%
7Feb 2020Mar 20202 monthsApr 20201 month3 months-3.55%
8Feb 2018Apr 20183 monthsAug 20184 months7 months-3.12%
9Sep 2005Oct 20052 monthsDec 20052 months4 months-2.99%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-2.85%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust9.55%14.39%32.31%-36.81%-50.80%0.620.911.00
IJSiShares S&P Small-Cap 600 Value ETF8.74%20.21%39.34%-29.39%-54.13%0.460.660.91
EFAiShares MSCI EAFE ETF5.65%17.05%26.95%-41.04%-57.38%0.340.480.88
EEMiShares MSCI Emerging Markets ETF8.32%21.94%68.93%-48.88%-60.44%0.420.630.78
TLTiShares 20+ Year Treasury Bond ETF7.22%12.98%33.96%-21.80%-21.80%0.510.88-0.32
IEFiShares 7-10 Year Treasury Bond ETF4.91%6.10%17.91%-6.59%-7.60%0.611.05-0.31
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.64%7.20%17.37%-3.79%-15.11%0.621.000.33

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIJSEFAEEMTLTIEFLQDMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust1.000.890.880.78-0.31-0.300.330.65
IJSiShares S&P Small-Cap 600 Value ETF0.891.000.780.70-0.35-0.360.260.54
EFAiShares MSCI EAFE ETF0.880.781.000.87-0.25-0.230.400.66
EEMiShares MSCI Emerging Markets ETF0.780.700.871.00-0.23-0.190.370.62
TLTiShares 20+ Year Treasury Bond ETF-0.31-0.35-0.25-0.231.000.910.500.49
IEFiShares 7-10 Year Treasury Bond ETF-0.30-0.36-0.23-0.190.911.000.510.48
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.330.260.400.370.500.511.000.75

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust32.43%
IJSiShares S&P Small-Cap 600 Value ETF8.03%
EFAiShares MSCI EAFE ETF8.20%
EEMiShares MSCI Emerging Markets ETF9.90%
TLTiShares 20+ Year Treasury Bond ETF24.59%
IEFiShares 7-10 Year Treasury Bond ETF12.90%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.95%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.65%19.91%-15.61%
3 years7.09%16.05%-0.93%
5 years7.04%12.07%2.30%
7 years7.42%10.11%5.66%
10 years7.42%8.78%6.32%
15 years7.16%7.60%6.52%