Portfolio Optimization

Portfolio Optimization Overview

This portfolio optimizer tool supports the following portfolio optimization strategies:

  • Mean Variance Optimization – Find the optimal risk adjusted portfolio that lies on the efficient frontier
  • Conditional Value-at-Risk – Optimize the portfolio to minimize the expected tail loss
  • Risk Parity – Find the portfolio that equalizes the risk contribution of portfolio assets
  • Tracking Error – Find the portfolio that minimizes the tracking error against the selected benchmark
  • Information Ratio – Find the portfolio that maximizes the information ratio against the selected benchmark
  • Kelly Criterion – Finds the portfolio with the maximum expected geometric growth rate
  • Sortino Ratio – Find the portfolio that maximizes the Sortino ratio for the given minimum acceptable return
  • Omega Ratio – Find the portfolio that maximizes the Omega ratio for the given minimum acceptable return
  • Maximum Drawdown – Find the portfolio with the minimum worst case drawdown with optional minimum acceptable return

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 Configuration

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Portfolio Optimization Results (Jan 2004 - May 2023) Save

Portfolio optimization results with the goal to maximize Sharpe ratio. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 5.53% to 8.36%. Refer to the efficient frontier section for additional details.

Maximum Sharpe Ratio

Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 32.66%
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 17.34%
IEF iShares 7-10 Year Treasury Bond ETF 30.00%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 5.00%
Save portfolio »

Portfolio Performance Summary

Performance Summary

MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$33,614
Annualized Return (CAGR)6.44%
Expected Return6.59%
Standard Deviation8.13%
Best Year19.43%
Worst Year-18.94%
Maximum Drawdown -22.99%
Sharpe Ratio (ex-ante)0.65
Sharpe Ratio (ex-post)0.65
Sortino Ratio0.95
Stock Market Correlation0.83
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Maximum Sharpe Ratio2.77%5.32%-2.04%1.37%4.48%5.64%6.44%11.88%10.63%
Trailing return and volatility are as of last full calendar month ending May 2023
Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. 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 the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks.
  • The annual results for 2023 are based on full calendar months from January to May.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

#AssetGroupExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1SPDR S&P 500 ETF Trust (SPY)Equity9.87%14.81%0.5795.00%40.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)Equity10.04%20.33%0.4305.00%20.00%
3iShares MSCI EAFE ETF (EFA)Equity6.44%17.10%0.3015.00%30.00%
4iShares MSCI Emerging Markets ETF (EEM)Equity7.99%21.49%0.3125.00%15.00%
5iShares 20+ Year Treasury Bond ETF (TLT)Fixed Income5.03%13.42%0.2795.00%30.00%
6iShares 7-10 Year Treasury Bond ETF (IEF)Fixed Income3.55%6.48%0.3485.00%30.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)Fixed Income4.18%7.84%0.3685.00%20.00%
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 GroupMin. WeightMax. Weight
Equity20.00%80.00%
Fixed Income20.00%80.00%

Asset Correlations

NameTickerSPYIJSEFAEEMTLTIEFLQD
SPDR S&P 500 ETF TrustSPY1.000.860.880.74-0.17-0.140.41
iShares S&P Small-Cap 600 Value ETFIJS0.861.000.770.68-0.27-0.250.29
iShares MSCI EAFE ETFEFA0.880.771.000.86-0.12-0.080.47
iShares MSCI Emerging Markets ETFEEM0.740.680.861.00-0.11-0.070.42
iShares 20+ Year Treasury Bond ETFTLT-0.17-0.27-0.12-0.111.000.920.58
iShares 7-10 Year Treasury Bond ETFIEF-0.14-0.25-0.08-0.070.921.000.61
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.410.290.470.420.580.611.00
Based on monthly returns from Jan 2004 to May 2023

Efficient Frontiers

Efficient Frontier Portfolios

#SPYIJSEFAEEMTLTIEFLQDExpected Return *Standard Deviation *Sharpe Ratio *
113.43%5.00%5.00%5.00%21.57%30.00%20.00%5.53%7.32%0.579
214.02%5.00%5.00%5.00%20.98%30.00%20.00%5.56%7.33%0.583
314.61%5.00%5.00%5.00%20.39%30.00%20.00%5.59%7.33%0.586
415.20%5.00%5.00%5.00%19.80%30.00%20.00%5.62%7.33%0.590
515.79%5.00%5.00%5.00%19.21%30.00%20.00%5.65%7.34%0.593
616.38%5.00%5.00%5.00%18.62%30.00%20.00%5.68%7.35%0.596
716.98%5.00%5.00%5.00%18.02%30.00%20.00%5.71%7.36%0.599
817.57%5.00%5.00%5.00%17.43%30.00%20.00%5.73%7.38%0.602
918.16%5.00%5.00%5.00%16.84%30.00%20.00%5.76%7.40%0.604
1018.63%5.00%5.00%5.00%17.07%30.00%19.30%5.79%7.41%0.607
1119.07%5.00%5.00%5.00%17.44%30.00%18.48%5.82%7.43%0.609
1219.52%5.00%5.00%5.00%17.81%30.00%17.67%5.85%7.45%0.611
1319.97%5.00%5.00%5.00%18.18%30.00%16.85%5.88%7.47%0.614
1420.41%5.00%5.00%5.00%18.55%30.00%16.03%5.91%7.49%0.616
1520.86%5.00%5.00%5.00%18.92%30.00%15.22%5.93%7.51%0.618
1621.31%5.00%5.00%5.00%19.29%30.00%14.40%5.96%7.53%0.620
1721.75%5.00%5.00%5.00%19.66%30.00%13.58%5.99%7.55%0.622
1822.20%5.00%5.00%5.00%20.03%30.00%12.77%6.02%7.57%0.625
1922.65%5.00%5.00%5.00%20.40%30.00%11.95%6.05%7.59%0.627
2023.09%5.00%5.00%5.00%20.78%30.00%11.13%6.08%7.61%0.629
2123.54%5.00%5.00%5.00%21.15%30.00%10.31%6.11%7.63%0.631
2223.99%5.00%5.00%5.00%21.52%30.00%9.50%6.13%7.65%0.633
2324.43%5.00%5.00%5.00%21.89%30.00%8.68%6.16%7.68%0.634
2424.88%5.00%5.00%5.00%22.26%30.00%7.86%6.19%7.70%0.636
2525.33%5.00%5.00%5.00%22.63%30.00%7.05%6.22%7.72%0.638
2625.77%5.00%5.00%5.00%23.00%30.00%6.23%6.25%7.74%0.640
2726.22%5.00%5.00%5.00%23.37%30.00%5.41%6.28%7.77%0.642
2826.74%5.00%5.00%5.00%23.26%30.00%5.00%6.31%7.79%0.644
2927.33%5.00%5.00%5.00%22.67%30.00%5.00%6.33%7.82%0.645
3027.92%5.00%5.00%5.00%22.08%30.00%5.00%6.36%7.84%0.646
3128.51%5.00%5.00%5.00%21.49%30.00%5.00%6.39%7.87%0.648
3229.10%5.00%5.00%5.00%20.90%30.00%5.00%6.42%7.90%0.649
3329.70%5.00%5.00%5.00%20.30%30.00%5.00%6.45%7.94%0.650
3430.29%5.00%5.00%5.00%19.71%30.00%5.00%6.48%7.97%0.650
3530.88%5.00%5.00%5.00%19.12%30.00%5.00%6.51%8.01%0.651
3631.47%5.00%5.00%5.00%18.53%30.00%5.00%6.53%8.05%0.651
3732.06%5.00%5.00%5.00%17.94%30.00%5.00%6.56%8.09%0.652
3832.66%5.00%5.00%5.00%17.34%30.00%5.00%6.59%8.13%0.652
3933.19%5.00%5.00%5.00%17.00%29.81%5.00%6.62%8.18%0.652
4033.52%5.00%5.00%5.00%17.54%28.95%5.00%6.65%8.22%0.652
4133.84%5.00%5.00%5.00%18.07%28.09%5.00%6.68%8.26%0.652
4234.17%5.00%5.00%5.00%18.61%27.22%5.00%6.71%8.31%0.651
4334.50%5.00%5.00%5.00%19.14%26.36%5.00%6.74%8.36%0.651
4434.82%5.00%5.00%5.00%19.68%25.50%5.00%6.76%8.40%0.651
4535.15%5.00%5.00%5.00%20.21%24.64%5.00%6.79%8.45%0.651
4635.48%5.00%5.00%5.00%20.74%23.78%5.00%6.82%8.49%0.651
4735.80%5.00%5.00%5.00%21.28%22.92%5.00%6.85%8.54%0.651
4836.13%5.00%5.00%5.00%21.81%22.06%5.00%6.88%8.58%0.651
4936.46%5.00%5.00%5.00%22.35%21.20%5.00%6.91%8.63%0.651
5036.78%5.00%5.00%5.00%22.88%20.33%5.00%6.94%8.67%0.651
5137.11%5.00%5.00%5.00%23.42%19.47%5.00%6.96%8.72%0.650
5237.44%5.00%5.00%5.00%23.95%18.61%5.00%6.99%8.77%0.650
5337.76%5.00%5.00%5.00%24.49%17.75%5.00%7.02%8.81%0.650
5438.09%5.00%5.00%5.00%25.02%16.89%5.00%7.05%8.86%0.650
5538.42%5.00%5.00%5.00%25.56%16.03%5.00%7.08%8.90%0.650
5638.74%5.00%5.00%5.00%26.09%15.17%5.00%7.11%8.95%0.650
5739.07%5.00%5.00%5.00%26.62%14.30%5.00%7.14%9.00%0.649
5839.40%5.00%5.00%5.00%27.16%13.44%5.00%7.16%9.04%0.649
5939.72%5.00%5.00%5.00%27.69%12.58%5.00%7.19%9.09%0.649
6040.00%5.00%5.00%5.00%28.45%11.55%5.00%7.22%9.14%0.649
6140.00%5.09%5.00%5.00%30.00%9.91%5.00%7.25%9.18%0.649
6240.00%5.53%5.00%5.00%30.00%9.47%5.00%7.28%9.24%0.648
6340.00%5.97%5.00%5.00%30.00%9.03%5.00%7.31%9.29%0.647
6440.00%6.41%5.00%5.00%30.00%8.59%5.00%7.34%9.34%0.647
6540.00%6.85%5.00%5.00%30.00%8.15%5.00%7.36%9.40%0.646
6640.00%7.29%5.00%5.00%30.00%7.71%5.00%7.39%9.45%0.645
6740.00%7.73%5.00%5.00%30.00%7.27%5.00%7.42%9.51%0.644
6840.00%8.17%5.00%5.00%30.00%6.83%5.00%7.45%9.57%0.644
6940.00%8.61%5.00%5.00%30.00%6.39%5.00%7.48%9.62%0.643
7040.00%9.05%5.00%5.00%30.00%5.95%5.00%7.51%9.68%0.642
7140.00%9.49%5.00%5.00%30.00%5.51%5.00%7.54%9.74%0.641
7240.00%9.93%5.00%5.00%30.00%5.07%5.00%7.56%9.80%0.640
7340.00%10.48%5.00%5.00%29.52%5.00%5.00%7.59%9.87%0.638
7440.00%11.06%5.00%5.00%28.94%5.00%5.00%7.62%9.94%0.637
7540.00%11.63%5.00%5.00%28.37%5.00%5.00%7.65%10.01%0.635
7640.00%12.20%5.00%5.00%27.80%5.00%5.00%7.68%10.08%0.633
7740.00%12.77%5.00%5.00%27.23%5.00%5.00%7.71%10.16%0.632
7840.00%13.34%5.00%5.00%26.66%5.00%5.00%7.74%10.23%0.630
7940.00%13.91%5.00%5.00%26.09%5.00%5.00%7.76%10.31%0.628
8040.00%14.49%5.00%5.00%25.51%5.00%5.00%7.79%10.39%0.625
8140.00%15.06%5.00%5.00%24.94%5.00%5.00%7.82%10.48%0.623
8240.00%15.63%5.00%5.00%24.37%5.00%5.00%7.85%10.56%0.621
8340.00%16.20%5.00%5.00%23.80%5.00%5.00%7.88%10.64%0.619
8440.00%16.77%5.00%5.00%23.23%5.00%5.00%7.91%10.73%0.616
8540.00%17.34%5.00%5.00%22.66%5.00%5.00%7.94%10.82%0.614
8640.00%17.91%5.00%5.00%22.09%5.00%5.00%7.96%10.91%0.612
8740.00%18.49%5.00%5.00%21.51%5.00%5.00%7.99%11.00%0.609
8840.00%19.06%5.00%5.00%20.94%5.00%5.00%8.02%11.09%0.607
8940.00%19.63%5.00%5.00%20.37%5.00%5.00%8.05%11.19%0.604
9040.00%20.00%5.00%5.34%19.66%5.00%5.00%8.08%11.30%0.600
9140.00%20.00%5.00%6.31%18.69%5.00%5.00%8.11%11.46%0.595
9240.00%20.00%5.00%7.27%17.73%5.00%5.00%8.14%11.62%0.589
9340.00%20.00%5.00%8.24%16.76%5.00%5.00%8.17%11.78%0.583
9440.00%20.00%5.00%9.20%15.80%5.00%5.00%8.19%11.95%0.578
9540.00%20.00%5.00%10.17%14.83%5.00%5.00%8.22%12.12%0.572
9640.00%20.00%5.00%11.14%13.86%5.00%5.00%8.25%12.29%0.566
9740.00%20.00%5.00%12.10%12.90%5.00%5.00%8.28%12.46%0.561
9840.00%20.00%5.00%13.07%11.93%5.00%5.00%8.31%12.64%0.555
9940.00%20.00%5.00%14.03%10.97%5.00%5.00%8.34%12.82%0.549
10040.00%20.00%5.00%15.00%10.00%5.00%5.00%8.37%13.01%0.544
*Annualized 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

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%9.89%$10,98910.70%22.60%18.95%24.63%8.71%4.12%5.72%
20053.42%6.63%$11,7194.83%6.00%13.32%32.62%8.61%2.64%1.16%
20062.54%9.96%$12,88615.85%19.37%25.81%31.19%0.71%2.52%4.22%
20074.08%8.79%$14,0195.14%-5.56%9.94%33.31%10.29%10.37%3.73%
20080.09%-10.46%$12,552-36.81%-29.39%-41.04%-48.88%33.93%17.91%2.40%
20092.72%7.80%$13,53126.36%22.36%26.95%68.93%-21.80%-6.59%8.46%
20101.50%13.27%$15,32615.06%24.69%8.15%16.51%9.05%9.37%9.33%
20112.96%10.17%$16,8851.89%-1.65%-12.25%-18.82%33.96%15.64%9.73%
20121.74%10.44%$18,64815.99%18.24%18.82%19.10%2.63%3.66%10.58%
20131.50%7.68%$20,08032.31%39.34%21.40%-3.69%-13.37%-6.09%-2.00%
20140.76%12.03%$22,49513.46%7.56%-6.20%-3.93%27.30%9.07%8.21%
20150.73%-0.33%$22,4221.25%-6.90%-1.00%-16.18%-1.79%1.51%-1.25%
20162.07%7.11%$24,01612.00%31.25%1.37%10.87%1.18%1.00%6.21%
20172.11%13.19%$27,18421.70%11.35%25.10%37.28%9.18%2.55%7.06%
20181.91%-3.44%$26,249-4.56%-12.84%-13.81%-15.31%-1.61%0.99%-3.79%
20192.29%19.43%$31,35031.22%24.12%22.03%18.20%14.12%8.03%17.37%
20201.36%15.49%$36,20618.37%2.63%7.59%17.03%18.15%10.01%10.97%
20217.04%8.74%$39,37128.74%30.53%11.46%-3.61%-4.60%-3.33%-1.85%
20226.45%-18.94%$31,915-18.17%-11.33%-14.35%-20.56%-31.24%-15.19%-17.93%
20232.21%5.32%$33,6149.68%-3.26%7.66%0.77%4.23%3.26%3.43%
Annual return for 2023 is from 01/01/2023 to 05/31/2023

Monthly Returns

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)
200411.62%$10,1621.98%2.17%1.13%2.42%1.86%1.02%1.22%
200421.84%$10,3491.36%2.50%2.30%3.95%2.28%1.61%1.51%
200430.37%$10,387-1.32%1.82%0.07%0.55%1.41%1.30%0.99%
20044-4.05%$9,966-1.89%-3.93%-3.39%-9.80%-6.23%-4.35%-3.89%
200450.52%$10,0181.71%1.58%1.14%1.17%-0.26%-0.53%-0.52%
200461.47%$10,1661.85%5.35%3.35%0.92%1.06%0.65%0.13%
20047-0.98%$10,066-3.22%-4.75%-4.27%-3.64%1.53%1.21%1.56%
200482.05%$10,2730.24%0.24%1.19%3.53%4.17%2.83%3.08%
200491.29%$10,4061.00%4.69%2.07%6.98%0.95%0.32%0.31%
2004101.45%$10,5561.29%0.95%3.50%2.85%1.77%0.99%1.18%
2004111.64%$10,7304.45%9.11%6.08%9.95%-2.39%-1.98%-1.22%
2004122.42%$10,9893.02%1.57%4.80%4.74%2.66%1.17%1.39%
20051-0.07%$10,981-2.24%-3.25%-1.90%-0.53%3.57%0.87%1.23%
200520.79%$11,0682.09%2.90%3.78%9.68%-1.47%-1.37%-0.94%
20053-1.50%$10,901-1.83%-2.36%-2.62%-7.91%-0.45%-0.40%-1.26%
200540.49%$10,955-1.87%-5.12%-1.62%-1.25%3.86%2.52%1.62%
200552.60%$11,2403.22%6.16%-0.86%3.16%3.14%1.84%0.62%
200561.09%$11,3630.15%3.92%1.43%3.97%2.16%0.48%1.22%
200570.79%$11,4533.83%5.84%3.00%7.68%-3.38%-2.18%-0.82%
200581.14%$11,584-0.94%-1.87%3.84%1.32%3.48%2.00%1.50%
20059-0.36%$11,5410.80%0.05%3.69%8.65%-3.61%-1.75%-1.86%
200510-2.26%$11,281-2.37%-3.41%-3.18%-6.34%-2.24%-1.24%-1.58%
2005112.43%$11,5544.40%4.91%2.31%5.79%0.69%0.63%0.66%
2005121.42%$11,719-0.19%-1.06%5.18%6.10%2.98%1.37%0.86%
200611.76%$11,9242.40%8.75%5.77%14.20%-1.34%-0.70%-0.44%
200620.17%$11,9440.57%0.27%-0.70%-3.85%1.11%-0.10%0.68%
20063-0.19%$11,9211.65%4.86%4.01%2.17%-4.57%-1.36%-1.68%
200640.31%$11,9581.26%0.18%4.79%6.52%-2.75%-0.63%-0.20%
20065-2.03%$11,715-3.01%-4.55%-3.82%-11.14%-0.19%-0.10%-0.19%
200660.36%$11,7580.26%0.04%-0.06%0.21%1.18%0.23%-0.09%
200671.10%$11,8870.45%-3.10%0.81%2.34%2.16%1.68%1.46%
200682.22%$12,1522.18%2.70%2.55%1.58%3.06%1.76%2.22%
200691.65%$12,3522.70%1.19%0.22%-0.87%1.91%1.21%0.87%
2006102.20%$12,6243.15%5.52%3.75%7.06%0.85%0.54%1.00%
2006112.09%$12,8881.99%2.38%3.07%5.98%2.31%1.31%1.46%
200612-0.01%$12,8861.34%0.32%3.20%5.44%-2.69%-1.28%-0.90%
200710.39%$12,9361.50%2.14%1.39%0.11%-1.00%-0.40%0.09%
200720.45%$12,994-1.96%-0.92%-0.12%-3.24%3.39%2.06%2.00%
200730.47%$13,0551.16%0.91%2.90%5.33%-1.70%-0.14%-0.68%
200742.30%$13,3544.43%1.84%3.75%3.73%0.90%0.61%0.89%
200750.83%$13,4653.39%4.63%2.36%5.06%-2.31%-1.39%-1.23%
20076-0.78%$13,360-1.46%-2.24%-0.32%3.68%-1.01%-0.47%-0.81%
20077-0.20%$13,333-3.13%-6.26%-2.29%0.71%3.32%2.26%-0.82%
200781.61%$13,5481.28%1.33%-0.63%1.04%1.79%2.26%2.38%
200792.23%$13,8503.87%0.31%5.32%11.57%0.23%0.09%0.73%
2007101.99%$14,1261.36%1.06%4.25%11.87%1.81%1.08%0.97%
2007110.01%$14,126-3.87%-7.15%-3.62%-7.65%5.35%4.04%1.02%
200712-0.76%$14,019-1.13%-0.71%-2.99%-1.43%-0.64%0.05%-0.81%
20081-1.51%$13,806-6.05%-4.00%-7.85%-8.92%2.10%3.36%2.57%
20082-0.71%$13,709-2.58%-3.36%-1.02%1.99%-0.46%1.24%-0.71%
200830.32%$13,753-0.90%0.83%0.42%-3.75%2.14%1.34%-0.60%
200841.33%$13,9354.77%2.64%5.44%9.14%-2.48%-2.41%1.25%
20085-0.20%$13,9071.51%3.92%1.19%3.16%-2.69%-1.78%-2.21%
20086-3.31%$13,446-8.35%-8.41%-8.80%-9.29%2.65%1.14%-1.29%
20087-0.42%$13,390-0.90%2.87%-3.32%-5.50%-0.37%0.72%0.39%
200881.15%$13,5441.55%4.76%-4.25%-6.32%2.74%1.53%0.15%
20089-4.95%$12,874-9.44%-4.82%-11.44%-14.68%1.47%-0.14%-10.73%
200810-9.39%$11,665-16.52%-19.86%-20.83%-25.58%-1.86%-0.87%-1.95%
2008111.31%$11,818-6.96%-11.80%-6.37%-9.75%14.34%7.75%3.35%
2008126.21%$12,5520.98%6.57%8.88%10.35%13.64%5.15%13.80%
20091-8.05%$11,541-8.21%-13.94%-13.73%-9.29%-13.07%-3.89%-1.80%
20092-5.74%$10,879-10.74%-13.03%-10.39%-6.27%-1.54%-0.74%-5.20%
200936.09%$11,5418.35%7.58%8.39%16.86%4.04%3.31%0.47%
200943.65%$11,9629.93%18.89%11.52%15.56%-6.95%-2.75%2.78%
200952.25%$12,2325.85%0.67%13.19%15.94%-3.69%-2.08%2.32%
20096-0.02%$12,229-0.07%1.52%-1.43%-2.25%0.76%-0.55%2.89%
200974.62%$12,7947.46%11.00%10.04%11.01%0.58%0.83%4.63%
200982.22%$13,0793.69%3.48%4.50%-1.31%2.24%0.77%1.31%
200992.92%$13,4603.55%4.21%3.80%10.20%2.46%1.12%1.76%
200910-1.75%$13,225-1.92%-6.07%-2.52%-3.44%-2.62%-0.14%-0.49%
2009113.66%$13,7096.16%2.90%3.92%7.85%1.21%2.02%1.95%
200912-1.30%$13,5311.91%8.10%0.70%3.27%-6.34%-4.40%-2.07%
20101-0.71%$13,434-3.63%-2.54%-5.07%-7.76%2.69%2.37%1.25%
201021.43%$13,6263.12%4.76%0.27%1.78%-0.34%0.33%0.51%
201032.46%$13,9616.09%7.80%6.39%8.11%-2.06%-1.06%0.65%
201041.86%$14,2201.55%6.63%-2.80%-0.17%3.32%1.65%1.91%
20105-2.35%$13,886-7.95%-8.54%-11.19%-9.39%5.11%2.93%-1.31%
20106-0.19%$13,859-5.17%-8.27%-2.07%-1.40%5.80%3.05%3.28%
201073.91%$14,4016.83%6.71%11.61%10.93%-0.95%0.91%2.11%
201080.39%$14,457-4.50%-7.91%-3.80%-3.24%8.40%3.36%2.86%
201094.14%$15,0568.96%10.93%9.97%11.76%-2.51%-0.00%0.46%
2010101.00%$15,2073.82%4.04%3.81%3.02%-4.47%-0.01%-0.26%
201011-0.91%$15,0690.00%2.47%-4.82%-2.91%-1.69%-0.90%-1.62%
2010121.71%$15,3266.68%8.97%8.30%7.27%-3.68%-3.43%-0.75%
201110.12%$15,3452.33%-0.24%2.10%-3.84%-3.08%-0.02%0.04%
201121.80%$15,6213.47%4.21%3.55%-0.04%1.65%-0.21%1.08%
201130.24%$15,6580.01%2.21%-2.39%6.29%0.03%-0.15%-0.54%
201142.50%$16,0492.90%1.06%5.63%2.73%2.34%1.84%2.50%
201150.70%$16,161-1.12%-1.77%-2.21%-2.94%3.42%2.51%1.27%
20116-1.33%$15,946-1.69%-1.59%-1.19%-0.93%-2.33%-0.51%-0.80%
201170.88%$16,086-2.00%-2.77%-2.38%-1.03%4.42%3.17%2.43%
20118-0.01%$16,085-5.50%-7.98%-8.75%-9.25%9.66%4.65%0.34%
20119-1.25%$15,883-6.94%-10.57%-10.81%-17.89%13.20%2.24%0.35%
2011104.70%$16,62910.91%15.34%9.63%16.27%-3.84%-1.29%2.51%
2011110.05%$16,638-0.41%0.63%-2.18%-1.96%1.98%0.58%-3.16%
2011121.48%$16,8851.04%2.02%-2.21%-4.30%3.44%1.99%3.49%
201213.03%$17,3964.64%7.90%5.27%10.99%-0.33%0.86%2.14%
201221.31%$17,6244.34%1.71%4.83%5.27%-2.59%-1.10%1.63%
20123-0.22%$17,5853.22%2.89%0.42%-3.11%-4.23%-1.59%-1.42%
201241.14%$17,786-0.67%-1.91%-2.08%-1.70%4.83%2.51%1.08%
20125-0.95%$17,618-6.01%-7.18%-11.14%-10.71%9.03%2.87%0.76%
201261.79%$17,9324.05%4.54%7.11%5.08%-1.68%-0.42%0.87%
201271.61%$18,2211.18%-0.69%0.08%-0.03%3.82%1.40%3.48%
201280.94%$18,3922.51%4.08%3.20%0.41%-1.32%-0.12%-0.05%
201290.89%$18,5562.54%3.14%2.71%5.22%-2.53%-0.35%1.10%
201210-0.80%$18,408-1.82%-1.96%1.09%-0.44%-0.48%-0.40%1.35%
2012111.00%$18,5920.57%1.65%2.78%1.56%1.38%0.98%-0.42%
2012120.30%$18,6480.90%3.55%4.37%6.80%-2.49%-0.94%-0.33%
201311.11%$18,8545.12%5.35%3.73%-0.29%-3.19%-1.29%-1.30%
201320.93%$19,0291.28%1.63%-1.29%-2.28%1.24%1.13%1.08%
201331.47%$19,3093.80%4.11%1.31%-1.02%-0.42%0.29%-0.05%
201342.32%$19,7571.92%0.12%5.02%1.22%4.68%1.52%2.17%
20135-1.67%$19,4272.36%4.29%-3.02%-4.83%-6.76%-3.11%-3.22%
20136-2.34%$18,972-1.34%-0.14%-2.70%-5.35%-3.27%-2.55%-3.27%
201371.91%$19,3345.17%6.56%5.32%1.32%-2.26%-0.35%1.11%
20138-2.08%$18,931-3.00%-3.41%-1.96%-2.54%-1.34%-1.42%-1.00%
201392.82%$19,4653.17%6.59%7.82%7.21%0.66%1.85%0.74%
2013102.63%$19,9774.63%3.48%3.26%4.17%1.43%0.78%1.81%
2013110.46%$20,0682.96%4.25%0.55%-0.26%-2.70%-0.88%-0.14%
2013120.06%$20,0802.59%1.29%2.16%-0.42%-1.87%-2.09%0.22%
201410.09%$20,097-3.52%-3.51%-5.20%-8.64%6.30%3.06%1.88%
201422.45%$20,5894.55%4.63%6.13%3.38%0.52%0.36%1.14%
201430.47%$20,6850.83%1.34%-0.46%3.88%0.73%-0.56%-0.03%
201440.89%$20,8700.70%-2.29%1.67%0.78%2.10%0.76%1.33%
201452.15%$21,3192.32%0.62%1.60%2.95%2.95%1.82%1.51%
201460.92%$21,5162.06%3.85%0.92%2.40%-0.25%-0.22%0.01%
20147-0.72%$21,361-1.34%-5.07%-2.60%1.36%0.67%-0.22%-0.32%
201483.15%$22,0333.95%4.46%0.18%2.83%4.72%1.88%2.00%
20149-2.09%$21,571-1.38%-5.94%-3.88%-7.77%-2.11%-1.05%-1.68%
2014102.19%$22,0442.36%7.13%-0.27%1.42%2.81%1.53%1.23%
2014111.79%$22,4402.75%0.48%0.06%-1.54%2.97%1.29%0.91%
2014120.25%$22,495-0.26%2.56%-4.00%-3.99%3.25%0.13%-0.02%
201511.94%$22,933-2.96%-5.32%0.62%-0.69%9.82%4.30%3.75%
201520.79%$23,1135.62%5.86%6.34%4.41%-6.14%-2.47%-1.42%
20153-0.15%$23,078-1.57%1.03%-1.43%-1.50%1.10%0.86%0.20%
20154-0.09%$23,0580.98%-1.82%3.65%6.85%-3.43%-0.63%-1.19%
20155-0.33%$22,9821.29%0.75%0.20%-4.10%-2.37%-0.42%-1.12%
20156-2.23%$22,469-2.03%0.42%-3.12%-2.93%-4.07%-1.63%-1.88%
201571.68%$22,8452.26%-2.70%2.03%-6.31%4.55%1.52%0.83%
20158-3.17%$22,120-6.10%-4.62%-7.43%-8.84%-0.69%0.08%-0.83%
20159-0.52%$22,005-2.54%-3.77%-4.42%-3.13%1.97%1.58%1.19%
2015103.52%$22,7808.51%6.57%6.61%6.38%-0.41%-0.64%0.57%
201511-0.21%$22,7320.37%2.47%-0.75%-2.52%-0.87%-0.43%-0.15%
201512-1.37%$22,422-1.72%-5.08%-2.34%-3.83%-0.30%-0.45%-1.08%
20161-0.47%$22,316-4.98%-5.85%-5.52%-5.03%5.57%3.33%0.12%
201620.90%$22,517-0.08%2.08%-3.33%-0.82%3.09%1.49%1.05%
201633.79%$23,3716.72%9.41%6.58%12.96%-0.09%-0.06%3.62%
201640.27%$23,4340.39%2.13%2.22%0.41%-0.74%-0.16%1.55%
201650.47%$23,5451.70%0.44%-0.09%-3.69%0.81%-0.10%-0.51%
201662.55%$24,1440.35%0.83%-2.42%4.56%6.93%3.09%3.09%
201672.41%$24,7273.65%5.06%3.98%5.38%2.10%0.25%1.29%
20168-0.30%$24,6520.12%1.13%0.53%0.88%-1.01%-1.01%0.18%
201690.03%$24,6600.01%0.87%1.34%2.52%-1.51%0.24%-0.32%
201610-2.19%$24,120-1.73%-3.74%-2.22%-0.83%-4.38%-1.49%-1.53%
201611-1.29%$23,8093.68%13.34%-1.78%-4.42%-8.21%-4.23%-3.17%
2016120.87%$24,0162.03%3.20%2.71%-0.25%-0.46%-0.12%0.84%
201711.24%$24,3131.79%-1.21%3.29%6.66%0.81%0.22%0.15%
201722.06%$24,8133.93%1.35%1.19%1.74%1.59%0.72%1.32%
201730.25%$24,8750.13%-0.65%3.23%3.69%-0.65%0.08%-0.29%
201741.22%$25,1790.99%0.51%2.42%1.70%1.57%1.11%1.19%
201751.31%$25,5091.41%-2.26%3.54%2.85%1.89%0.83%1.33%
201760.43%$25,6170.64%2.96%0.31%0.93%0.79%-0.51%0.48%
201771.17%$25,9172.06%0.75%2.65%5.82%-0.66%0.38%0.77%
201781.14%$26,2120.29%-2.72%-0.04%2.35%3.41%1.46%0.68%
201790.37%$26,3072.01%8.58%2.36%-0.04%-2.32%-1.44%-0.05%
2017100.99%$26,5692.36%0.59%1.68%3.28%-0.04%-0.19%0.19%
2017111.24%$26,8983.06%3.76%0.69%-0.39%0.74%-0.28%-0.12%
2017121.06%$27,1841.21%-0.37%1.35%3.77%1.81%0.18%1.22%
201811.30%$27,5385.64%1.33%5.02%8.30%-3.26%-2.15%-1.23%
20182-2.84%$26,754-3.64%-4.04%-4.83%-5.90%-3.04%-0.93%-2.24%
201830.03%$26,762-2.74%1.37%-0.84%0.54%2.86%1.16%0.56%
20184-0.63%$26,5930.52%1.76%1.52%-2.82%-2.09%-1.28%-1.57%
201851.53%$27,0002.43%5.87%-1.89%-2.62%2.01%0.99%0.52%
201860.07%$27,0190.58%0.80%-1.57%-4.54%0.65%0.20%-0.49%
201871.32%$27,3763.70%2.62%2.85%3.53%-1.44%-0.53%1.34%
201881.43%$27,7683.19%3.14%-2.24%-3.77%1.31%1.01%0.02%
20189-0.80%$27,5450.59%-3.05%0.97%-0.58%-2.86%-1.20%-0.14%
201810-4.30%$26,360-6.91%-9.94%-8.13%-8.76%-2.93%-0.30%-2.05%
2018111.60%$26,7811.85%0.57%0.50%4.90%1.79%1.33%-0.36%
201812-1.98%$26,249-8.79%-12.38%-5.35%-3.50%5.85%2.80%1.86%
201914.51%$27,4328.01%12.26%6.63%10.34%0.38%0.65%3.37%
201920.91%$27,6823.24%4.13%2.54%-1.53%-1.38%-0.52%-0.20%
201932.41%$28,3481.81%-3.91%0.92%1.13%5.57%2.66%2.93%
201941.34%$28,7274.09%4.32%2.93%2.35%-1.99%-0.52%0.44%
20195-1.02%$28,435-6.38%-9.98%-5.03%-7.33%6.84%3.05%1.65%
201963.95%$29,5596.96%7.66%5.91%6.20%0.95%1.22%3.25%
201970.40%$29,6761.51%1.30%-1.95%-2.66%0.26%0.04%0.25%
201982.21%$30,331-1.67%-5.14%-1.92%-3.78%11.04%3.95%3.88%
201990.30%$30,4211.95%5.57%3.16%1.69%-2.68%-1.19%-0.76%
2019101.09%$30,7522.21%2.00%3.39%4.18%-1.11%0.19%0.44%
2019111.12%$31,0953.62%2.71%1.13%-0.09%-0.41%-0.69%0.47%
2019120.82%$31,3502.90%2.84%2.98%7.71%-3.20%-0.93%0.53%
202011.72%$31,889-0.04%-6.31%-2.82%-6.15%7.69%3.47%2.45%
20202-1.58%$31,386-7.92%-10.15%-7.77%-3.78%6.63%2.96%1.09%
20203-4.94%$29,834-12.46%-25.76%-14.11%-15.77%6.38%3.72%-6.31%
202046.04%$31,63412.70%13.89%5.82%7.35%1.22%0.27%4.85%
202052.02%$32,2734.76%2.55%5.43%2.97%-1.76%0.33%2.46%
202061.44%$32,7391.78%3.58%3.51%6.61%0.34%0.04%2.13%
202073.74%$33,9645.89%2.58%1.94%8.25%4.44%0.85%3.10%
202081.66%$34,5276.98%5.07%4.72%2.89%-5.05%-0.97%-1.78%
20209-1.42%$34,035-3.74%-5.18%-2.05%-1.01%0.77%0.33%-0.44%
202010-1.77%$33,435-2.49%3.66%-3.55%1.41%-3.39%-1.38%-0.51%
2020116.25%$35,52610.88%19.21%14.27%8.99%1.66%0.34%3.77%
2020121.92%$36,2063.71%7.50%5.01%7.14%-1.23%-0.24%0.15%
20211-0.95%$35,862-1.02%6.25%-0.78%3.17%-3.63%-1.09%-1.83%
20212-0.22%$35,7842.78%10.80%2.24%0.79%-5.73%-2.36%-2.26%
202130.15%$35,8394.54%5.61%2.51%-0.73%-5.24%-2.39%-1.48%
202142.80%$36,8445.29%1.69%2.95%1.20%2.49%1.00%1.04%
202150.82%$37,1480.66%3.89%3.48%1.65%0.00%0.42%0.62%
202161.88%$37,8452.25%-0.71%-1.08%0.95%4.42%1.02%2.21%
202171.61%$38,4542.44%-4.36%0.77%-6.44%3.72%1.99%1.42%
202181.02%$38,8462.98%1.82%1.45%1.57%-0.34%-0.39%-0.34%
20219-3.01%$37,677-4.66%-1.46%-3.26%-3.87%-2.91%-1.60%-1.51%
2021102.97%$38,7957.02%2.86%3.18%1.07%2.46%-0.44%0.53%
202111-0.02%$38,786-0.80%-2.62%-4.53%-4.08%2.77%1.09%-0.12%
2021121.51%$39,3714.63%4.12%4.41%1.53%-2.01%-0.52%-0.03%
20221-3.62%$37,946-5.27%-4.40%-3.63%-0.02%-3.91%-2.11%-3.59%
20222-1.72%$37,294-2.95%2.28%-3.43%-4.32%-1.63%-0.30%-2.13%
20223-1.20%$36,8473.76%0.50%0.52%-3.38%-5.45%-4.06%-2.89%
20224-7.07%$34,243-8.78%-6.38%-6.74%-6.14%-9.42%-4.23%-6.70%
202250.21%$34,3150.23%2.32%2.00%0.61%-2.25%0.62%1.87%
20226-4.50%$32,772-8.25%-8.96%-8.72%-5.14%-1.27%-0.86%-3.62%
202275.21%$34,4789.21%8.53%5.17%-0.35%2.43%2.96%4.44%
20228-4.09%$33,067-4.08%-4.16%-6.12%-1.33%-4.56%-3.89%-4.43%
20229-7.72%$30,513-9.24%-10.41%-9.22%-11.54%-8.23%-4.73%-5.98%
2022102.06%$31,1428.13%14.40%5.89%-1.98%-5.97%-1.46%-0.75%
2022116.10%$33,0415.56%3.81%13.17%15.59%7.15%3.61%6.65%
202212-3.41%$31,915-5.76%-6.49%-1.82%-2.65%-2.63%-1.49%-1.56%
202316.22%$33,8996.29%11.95%9.00%9.13%7.64%3.58%5.16%
20232-3.51%$32,708-2.51%-1.73%-3.07%-7.57%-5.09%-3.27%-4.17%
202333.35%$33,8053.71%-6.48%3.13%3.22%4.84%3.72%3.85%
202340.84%$34,0891.60%-2.39%2.94%-0.84%0.34%0.81%0.60%
20235-1.39%$33,6140.46%-3.66%-4.01%-2.40%-3.01%-1.44%-1.76%

Risk and Return Metrics

MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.55%
Arithmetic Mean (annualized)6.80%
Geometric Mean (monthly)0.52%
Geometric Mean (annualized)6.44%
Standard Deviation (monthly)2.35%
Standard Deviation (annualized)8.13%
Downside Deviation (monthly)1.57%
Maximum Drawdown-22.99%
Stock Market Correlation0.83
Beta(*)0.44
Alpha (annualized)2.21%
R268.87%
Sharpe Ratio0.65
Sortino Ratio0.95
Treynor Ratio (%)12.03
Calmar Ratio0.06
Active Return-2.67%
Tracking Error9.69%
Information Ratio-0.28
Skewness-0.83
Excess Kurtosis2.76
Historical Value-at-Risk (5%)3.56%
Analytical Value-at-Risk (5%)3.30%
Conditional Value-at-Risk (5%)5.70%
Upside Capture Ratio (%)46.63
Downside Capture Ratio (%)40.02
Safe Withdrawal Rate8.00%
Perpetual Withdrawal Rate3.69%
Positive Periods158 out of 233 (67.81%)
Gain/Loss Ratio0.90
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndMaximum Sharpe Ratio
Subprime CrisisNov 2007Mar 2009-22.99%
COVID-19 StartJan 2020Mar 2020-6.44%

Drawdowns for Maximum Sharpe Ratio

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsApr 20101 year 2 months2 years 5 months-22.99%
2Jan 2022Sep 20229 months-22.50%
3Feb 2020Mar 20202 monthsMay 20202 months4 months-6.44%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-5.47%
5Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-4.80%
6May 2013Aug 20134 monthsOct 20132 months6 months-4.18%
7Apr 2004Apr 20041 monthSep 20045 months6 months-4.05%
8Aug 2016Nov 20164 monthsFeb 20173 months7 months-3.71%
9Feb 2018Apr 20183 monthsAug 20184 months7 months-3.43%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-3.16%
Worst 10 drawdowns included above

Portfolio Assets

TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
SPYSPDR S&P 500 ETF Trust9.12%14.81%32.31%-36.81%-50.80%0.580.851.00
IJSiShares S&P Small-Cap 600 Value ETF8.24%20.33%39.34%-29.39%-54.13%0.430.630.89
EFAiShares MSCI EAFE ETF5.08%17.10%26.95%-41.04%-57.38%0.300.430.88
EEMiShares MSCI Emerging Markets ETF5.82%21.49%68.93%-48.88%-60.44%0.310.470.75
TLTiShares 20+ Year Treasury Bond ETF4.23%13.42%33.96%-31.24%-41.64%0.280.45-0.17
IEFiShares 7-10 Year Treasury Bond ETF3.39%6.48%17.91%-15.19%-21.22%0.350.54-0.15
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.94%7.84%17.37%-17.93%-23.27%0.370.550.40

Portfolio Asset Performance

NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
SPDR S&P 500 ETF Trust5.86%9.68%2.92%12.87%10.94%11.90%0.09%0.09%
iShares S&P Small-Cap 600 Value ETF-12.06%-3.26%-8.86%16.33%3.20%8.10%0.18%0.18%
iShares MSCI EAFE ETF1.90%7.66%3.63%8.79%3.34%4.64%0.33%0.33%
iShares MSCI Emerging Markets ETF-0.10%0.77%-8.29%2.40%-1.39%1.39%0.69%0.69%
iShares 20+ Year Treasury Bond ETF2.03%4.23%-9.43%-12.71%-1.20%1.31%0.15%0.15%
iShares 7-10 Year Treasury Bond ETF3.07%3.26%-2.93%-5.73%0.77%1.06%0.15%0.15%
iShares iBoxx $ Invmt Grade Corp Bd ETF2.63%3.43%-2.52%-3.92%1.67%2.34%0.14%0.14%
Trailing returns as of last calendar month ending May 2023

Monthly Correlations

TickerNameSPYIJSEFAEEMTLTIEFLQDMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust1.000.860.880.74-0.17-0.140.410.83
IJSiShares S&P Small-Cap 600 Value ETF0.861.000.770.68-0.27-0.250.290.69
EFAiShares MSCI EAFE ETF0.880.771.000.86-0.12-0.080.470.80
EEMiShares MSCI Emerging Markets ETF0.740.680.861.00-0.11-0.070.420.72
TLTiShares 20+ Year Treasury Bond ETF-0.17-0.27-0.12-0.111.000.920.580.37
IEFiShares 7-10 Year Treasury Bond ETF-0.14-0.25-0.08-0.070.921.000.610.40
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.410.290.470.420.580.611.000.75

Portfolio Return Decomposition

TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust$14,032
IJSiShares S&P Small-Cap 600 Value ETF$1,972
EFAiShares MSCI EAFE ETF$1,144
EEMiShares MSCI Emerging Markets ETF$1,023
TLTiShares 20+ Year Treasury Bond ETF$2,085
IEFiShares 7-10 Year Treasury Bond ETF$2,757
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF$602
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust49.54%
IJSiShares S&P Small-Cap 600 Value ETF8.58%
EFAiShares MSCI EAFE ETF8.46%
EEMiShares MSCI Emerging Markets ETF9.55%
TLTiShares 20+ Year Treasury Bond ETF10.68%
IEFiShares 7-10 Year Treasury Bond ETF9.60%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.60%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling Returns

Roll PeriodAverageHighLow
1 year6.86%25.25%-20.64%
3 years7.26%17.45%-3.07%
5 years7.16%13.61%1.00%
7 years7.48%10.95%4.57%
10 years7.56%9.79%5.10%
15 years7.09%8.14%5.41%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years