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 2004 - Aug 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 7.25% to 9.28%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 23.31%
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 26.77%
IEF iShares 7-10 Year Treasury Bond ETF 29.92%
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$33,788
CAGR7.58%
Expected Return 7.82%
Stdev6.75%
Best Year17.92%
Worst Year-3.93%
Max. Drawdown -17.00%
Sharpe Ratio (ex-ante)0.97
Sharpe Ratio (ex-post)0.93
Sortino Ratio1.41
US Stock Market Correlation0.62
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Maximum Sharpe Ratio5.52%11.16%12.98%9.31%8.79%8.39%7.58%
Trailing returns are for full months ending in August 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
  • The annual results for 2020 are based on full calendar months from January to August
  • 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)Equity9.25%10.36%14.24%0.6385.00%40.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)Equity7.42%9.58%19.78%0.4205.00%20.00%
3iShares MSCI EAFE ETF (EFA)Equity4.97%6.49%16.80%0.3105.00%30.00%
4iShares MSCI Emerging Markets ETF (EEM)Equity7.46%10.10%22.01%0.4015.00%15.00%
5iShares 20+ Year Treasury Bond ETF (TLT)Fixed Income7.51%8.40%13.06%0.5455.00%30.00%
6iShares 7-10 Year Treasury Bond ETF (IEF)Fixed Income5.07%5.26%6.14%0.6485.00%30.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)Fixed Income5.57%5.84%7.22%0.6325.00%20.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (1.28% 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 TrustSPY1.000.890.880.78-0.32-0.310.31
iShares S&P Small-Cap 600 Value ETFIJS0.891.000.770.70-0.36-0.370.24
iShares MSCI EAFE ETFEFA0.880.771.000.88-0.26-0.240.38
iShares MSCI Emerging Markets ETFEEM0.780.700.881.00-0.23-0.190.36
iShares 20+ Year Treasury Bond ETFTLT-0.32-0.36-0.26-0.231.000.910.50
iShares 7-10 Year Treasury Bond ETFIEF-0.31-0.37-0.24-0.190.911.000.51
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.310.240.380.360.500.511.00
Based on provided custom correlation matrix
Efficient Frontier Assets
#SPYIJSEFAEEMTLTIEFLQDExpected Return*Standard Deviation*Sharpe Ratio*
113.75%5.00%5.00%5.00%21.25%30.00%20.00%7.25%6.43%0.928
214.81%5.00%5.00%5.00%20.19%30.00%20.00%7.27%6.43%0.930
315.13%5.00%5.00%5.00%20.42%30.00%19.44%7.29%6.44%0.932
415.41%5.00%5.00%5.00%20.73%30.00%18.86%7.31%6.45%0.934
515.69%5.00%5.00%5.00%21.04%30.00%18.27%7.33%6.46%0.936
615.97%5.00%5.00%5.00%21.35%30.00%17.69%7.35%6.47%0.938
716.25%5.00%5.00%5.00%21.65%30.00%17.10%7.37%6.48%0.939
816.53%5.00%5.00%5.00%21.96%30.00%16.51%7.39%6.49%0.941
916.80%5.00%5.00%5.00%22.27%30.00%15.93%7.41%6.50%0.943
1017.08%5.00%5.00%5.00%22.57%30.00%15.34%7.43%6.51%0.944
1117.36%5.00%5.00%5.00%22.88%30.00%14.76%7.45%6.52%0.946
1217.64%5.00%5.00%5.00%23.19%30.00%14.17%7.47%6.53%0.948
1317.92%5.00%5.00%5.00%23.50%30.00%13.58%7.50%6.54%0.949
1418.20%5.00%5.00%5.00%23.80%30.00%13.00%7.52%6.56%0.951
1518.48%5.00%5.00%5.00%24.11%30.00%12.41%7.54%6.57%0.952
1618.76%5.00%5.00%5.00%24.42%30.00%11.83%7.56%6.58%0.954
1719.04%5.00%5.00%5.00%24.72%30.00%11.24%7.58%6.59%0.955
1819.32%5.00%5.00%5.00%25.03%30.00%10.65%7.60%6.60%0.956
1919.59%5.00%5.00%5.00%25.34%30.00%10.07%7.62%6.61%0.958
2019.87%5.00%5.00%5.00%25.65%30.00%9.48%7.64%6.63%0.959
2120.15%5.00%5.00%5.00%25.95%30.00%8.89%7.66%6.64%0.960
2220.43%5.00%5.00%5.00%26.26%30.00%8.31%7.68%6.65%0.962
2320.71%5.00%5.00%5.00%26.57%30.00%7.72%7.70%6.66%0.963
2420.99%5.00%5.00%5.00%26.87%30.00%7.14%7.72%6.67%0.964
2521.27%5.00%5.00%5.00%27.18%30.00%6.55%7.74%6.69%0.966
2621.55%5.00%5.00%5.00%27.49%30.00%5.96%7.76%6.70%0.967
2721.83%5.00%5.00%5.00%27.80%30.00%5.38%7.78%6.71%0.968
2822.38%5.00%5.00%5.00%27.62%30.00%5.00%7.80%6.73%0.969
2923.31%5.00%5.00%5.00%26.77%29.92%5.00%7.82%6.75%0.969
3023.47%5.00%5.00%5.00%27.16%29.37%5.00%7.84%6.77%0.969
3123.63%5.00%5.00%5.00%27.54%28.82%5.00%7.86%6.79%0.969
3223.79%5.00%5.00%5.00%27.93%28.28%5.00%7.88%6.82%0.968
3323.95%5.00%5.00%5.00%28.32%27.73%5.00%7.90%6.84%0.968
3424.12%5.00%5.00%5.00%28.71%27.18%5.00%7.93%6.86%0.968
3524.28%5.00%5.00%5.00%29.09%26.63%5.00%7.95%6.89%0.967
3624.44%5.00%5.00%5.00%29.48%26.08%5.00%7.97%6.91%0.967
3724.60%5.00%5.00%5.00%29.87%25.53%5.00%7.99%6.93%0.967
3824.92%5.00%5.00%5.00%30.00%25.08%5.00%8.01%6.96%0.966
3925.32%5.00%5.00%5.00%30.00%24.68%5.00%8.03%6.98%0.966
4025.72%5.00%5.00%5.00%30.00%24.28%5.00%8.05%7.01%0.965
4126.12%5.00%5.00%5.00%30.00%23.88%5.00%8.07%7.03%0.965
4226.52%5.00%5.00%5.00%30.00%23.48%5.00%8.09%7.06%0.964
4326.93%5.00%5.00%5.00%30.00%23.07%5.00%8.11%7.08%0.964
4427.33%5.00%5.00%5.00%30.00%22.67%5.00%8.13%7.11%0.963
4527.73%5.00%5.00%5.00%30.00%22.27%5.00%8.15%7.14%0.962
4628.13%5.00%5.00%5.00%30.00%21.87%5.00%8.17%7.17%0.961
4728.53%5.00%5.00%5.00%30.00%21.47%5.00%8.19%7.20%0.960
4828.93%5.00%5.00%5.00%30.00%21.07%5.00%8.21%7.23%0.959
4929.33%5.00%5.00%5.00%30.00%20.67%5.00%8.23%7.26%0.958
5029.74%5.00%5.00%5.00%30.00%20.26%5.00%8.25%7.29%0.957
5130.14%5.00%5.00%5.00%30.00%19.86%5.00%8.27%7.32%0.955
5230.54%5.00%5.00%5.00%30.00%19.46%5.00%8.30%7.35%0.954
5330.94%5.00%5.00%5.00%30.00%19.06%5.00%8.32%7.38%0.953
5431.34%5.00%5.00%5.00%30.00%18.66%5.00%8.34%7.41%0.951
5531.74%5.00%5.00%5.00%30.00%18.26%5.00%8.36%7.45%0.950
5632.15%5.00%5.00%5.00%30.00%17.85%5.00%8.38%7.48%0.948
5732.55%5.00%5.00%5.00%30.00%17.45%5.00%8.40%7.51%0.947
5832.95%5.00%5.00%5.00%30.00%17.05%5.00%8.42%7.55%0.945
5933.35%5.00%5.00%5.00%30.00%16.65%5.00%8.44%7.58%0.944
6033.75%5.00%5.00%5.00%30.00%16.25%5.00%8.46%7.62%0.942
6134.15%5.00%5.00%5.00%30.00%15.85%5.00%8.48%7.65%0.940
6234.55%5.00%5.00%5.00%30.00%15.45%5.00%8.50%7.69%0.939
6334.96%5.00%5.00%5.00%30.00%15.04%5.00%8.52%7.73%0.937
6435.36%5.00%5.00%5.00%30.00%14.64%5.00%8.54%7.76%0.935
6535.76%5.00%5.00%5.00%30.00%14.24%5.00%8.56%7.80%0.933
6636.16%5.00%5.00%5.00%30.00%13.84%5.00%8.58%7.84%0.931
6736.56%5.00%5.00%5.00%30.00%13.44%5.00%8.60%7.88%0.929
6836.96%5.00%5.00%5.00%30.00%13.04%5.00%8.62%7.92%0.927
6937.37%5.00%5.00%5.00%30.00%12.63%5.00%8.65%7.96%0.925
7037.77%5.00%5.00%5.00%30.00%12.23%5.00%8.67%8.00%0.923
7138.17%5.00%5.00%5.00%30.00%11.83%5.00%8.69%8.04%0.921
7238.57%5.00%5.00%5.00%30.00%11.43%5.00%8.71%8.08%0.919
7338.97%5.00%5.00%5.00%30.00%11.03%5.00%8.73%8.12%0.917
7439.37%5.00%5.00%5.00%30.00%10.63%5.00%8.75%8.16%0.915
7539.77%5.00%5.00%5.00%30.00%10.23%5.00%8.77%8.20%0.913
7640.00%5.21%5.00%5.00%30.00%9.79%5.00%8.79%8.25%0.910
7740.00%5.68%5.00%5.00%30.00%9.32%5.00%8.81%8.31%0.906
7840.00%6.15%5.00%5.00%30.00%8.85%5.00%8.83%8.37%0.901
7940.00%6.62%5.00%5.00%30.00%8.38%5.00%8.85%8.44%0.897
8040.00%7.10%5.00%5.00%30.00%7.90%5.00%8.87%8.50%0.893
8140.00%7.57%5.00%5.00%30.00%7.43%5.00%8.89%8.57%0.888
8240.00%8.03%5.00%5.02%30.00%6.96%5.00%8.91%8.63%0.884
8340.00%8.20%5.00%5.28%30.00%6.52%5.00%8.93%8.70%0.879
8440.00%8.38%5.00%5.54%30.00%6.08%5.00%8.96%8.77%0.875
8540.00%8.56%5.00%5.81%30.00%5.63%5.00%8.98%8.83%0.871
8640.00%8.74%5.00%6.07%30.00%5.19%5.00%9.00%8.90%0.866
8740.00%6.53%5.00%8.47%30.00%5.00%5.00%9.02%8.98%0.861
8840.00%5.00%5.00%10.76%29.24%5.00%5.00%9.04%9.14%0.848
8940.00%5.00%5.00%11.98%28.02%5.00%5.00%9.06%9.34%0.832
9040.00%5.00%5.00%13.21%26.79%5.00%5.00%9.08%9.55%0.816
9140.00%5.00%5.00%14.43%25.57%5.00%5.00%9.10%9.76%0.801
9240.00%5.94%5.00%15.00%24.06%5.00%5.00%9.12%10.01%0.783
9340.00%7.70%5.00%15.00%22.30%5.00%5.00%9.14%10.29%0.764
9440.00%9.46%5.00%15.00%20.54%5.00%5.00%9.16%10.58%0.745
9540.00%11.21%5.00%15.00%18.79%5.00%5.00%9.18%10.89%0.726
9640.00%12.97%5.00%15.00%17.03%5.00%5.00%9.20%11.21%0.707
9740.00%14.73%5.00%15.00%15.27%5.00%5.00%9.22%11.53%0.688
9840.00%16.48%5.00%15.00%13.52%5.00%5.00%9.25%11.87%0.670
9940.00%18.24%5.00%15.00%11.76%5.00%5.00%9.27%12.22%0.653
10040.00%20.00%5.00%15.00%10.00%5.00%5.00%9.29%12.58%0.636
*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 (1.28% 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%9.71%$10,97110.70%22.60%18.95%24.63%8.71%4.12%5.72%
20053.42%7.00%$11,7394.83%6.00%13.32%32.62%8.61%2.64%1.16%
20062.54%8.55%$12,74315.85%19.37%25.81%31.19%0.71%2.52%4.22%
20074.08%9.28%$13,9255.14%-5.56%9.94%33.31%10.29%10.37%3.73%
20080.09%-3.93%$13,377-36.81%-29.39%-41.04%-48.88%33.93%17.91%2.40%
20092.72%3.10%$13,79226.36%22.36%26.95%68.93%-21.80%-6.59%8.46%
20101.50%12.73%$15,54715.06%24.69%8.15%16.51%9.05%9.37%9.33%
20112.96%13.14%$17,5901.89%-1.65%-12.25%-18.82%33.96%15.64%9.73%
20121.74%9.23%$19,21315.99%18.24%18.82%19.10%2.63%3.66%10.58%
20131.50%3.50%$19,88432.31%39.34%21.40%-3.69%-13.37%-6.09%-2.00%
20140.76%13.27%$22,52213.46%7.56%-6.20%-3.93%27.30%9.07%8.21%
20150.73%-0.60%$22,3881.25%-6.90%-1.00%-16.18%-1.79%1.51%-1.25%
20162.07%6.12%$23,75812.00%31.25%1.37%10.87%1.18%1.00%6.21%
20172.11%12.05%$26,62121.70%11.35%25.10%37.28%9.18%2.55%7.06%
20181.91%-3.18%$25,775-4.56%-12.84%-13.81%-15.31%-1.61%0.99%-3.79%
20192.29%17.92%$30,39531.22%24.12%22.03%18.20%14.12%8.03%17.37%
20200.83%11.16%$33,7889.68%-18.52%-5.10%-0.15%20.85%11.07%7.80%
Annual returns for 2020 are based on partial year data
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%
200430.63%$10,422-1.32%1.82%0.07%0.55%1.41%1.30%0.99%
20044-4.46%$9,957-1.89%-3.93%-3.39%-9.80%-6.23%-4.35%-3.89%
200450.34%$9,9901.71%1.58%1.14%1.17%-0.26%-0.53%-0.52%
200461.40%$10,1301.85%5.35%3.35%0.92%1.06%0.65%0.13%
20047-0.53%$10,076-3.22%-4.75%-4.27%-3.64%1.53%1.21%1.56%
200482.42%$10,3200.24%0.24%1.19%3.53%4.17%2.83%3.08%
200491.29%$10,4531.00%4.69%2.07%6.98%0.95%0.32%0.31%
2004101.49%$10,6091.29%0.95%3.50%2.85%1.77%0.99%1.18%
2004111.00%$10,7154.45%9.11%6.08%9.95%-2.39%-1.98%-1.22%
2004122.39%$10,9713.02%1.57%4.80%4.74%2.66%1.17%1.39%
200510.47%$11,023-2.24%-3.25%-1.90%-0.53%3.57%0.87%1.23%
200520.46%$11,0732.09%2.90%3.78%9.68%-1.47%-1.37%-0.94%
20053-1.38%$10,921-1.83%-2.36%-2.62%-7.91%-0.45%-0.40%-1.26%
200541.03%$11,033-1.87%-5.12%-1.62%-1.25%3.86%2.52%1.62%
200552.59%$11,3203.22%6.16%-0.86%3.16%3.14%1.84%0.62%
200561.28%$11,4650.15%3.92%1.43%3.97%2.16%0.48%1.22%
200570.12%$11,4783.83%5.84%3.00%7.68%-3.38%-2.18%-0.82%
200581.55%$11,656-0.94%-1.87%3.84%1.32%3.48%2.00%1.50%
20059-0.78%$11,5660.80%0.05%3.69%8.65%-3.61%-1.75%-1.86%
200510-2.25%$11,306-2.37%-3.41%-3.18%-6.34%-2.24%-1.24%-1.58%
2005112.08%$11,5414.40%4.91%2.31%5.79%0.69%0.63%0.66%
2005121.72%$11,739-0.19%-1.06%5.18%6.10%2.98%1.37%0.86%
200611.41%$11,9042.40%8.75%5.77%14.20%-1.34%-0.70%-0.44%
200620.22%$11,9300.57%0.27%-0.70%-3.85%1.11%-0.10%0.68%
20063-0.78%$11,8381.65%4.86%4.01%2.17%-4.57%-1.36%-1.68%
20064-0.07%$11,8301.26%0.18%4.79%6.52%-2.75%-0.63%-0.20%
20065-1.77%$11,621-3.01%-4.55%-3.82%-11.14%-0.19%-0.10%-0.19%
200660.45%$11,6730.26%0.04%-0.06%0.21%1.18%0.23%-0.09%
200671.26%$11,8200.45%-3.10%0.81%2.34%2.16%1.68%1.46%
200682.31%$12,0932.18%2.70%2.55%1.58%3.06%1.76%2.22%
200691.57%$12,2832.70%1.19%0.22%-0.87%1.91%1.21%0.87%
2006101.99%$12,5283.15%5.52%3.75%7.06%0.85%0.54%1.00%
2006112.12%$12,7931.99%2.38%3.07%5.98%2.31%1.31%1.46%
200612-0.39%$12,7431.34%0.32%3.20%5.44%-2.69%-1.28%-0.90%
200710.15%$12,7621.50%2.14%1.39%0.11%-1.00%-0.40%0.09%
200720.95%$12,884-1.96%-0.92%-0.12%-3.24%3.39%2.06%2.00%
200730.20%$12,9091.16%0.91%2.90%5.33%-1.70%-0.14%-0.68%
200741.97%$13,1634.43%1.84%3.75%3.73%0.90%0.61%0.89%
200750.30%$13,2023.39%4.63%2.36%5.06%-2.31%-1.39%-1.23%
20076-0.74%$13,105-1.46%-2.24%-0.32%3.68%-1.01%-0.47%-0.81%
200770.40%$13,157-3.13%-6.26%-2.29%0.71%3.32%2.26%-0.82%
200781.66%$13,3761.28%1.33%-0.63%1.04%1.79%2.26%2.38%
200791.89%$13,6283.87%0.31%5.32%11.57%0.23%0.09%0.73%
2007102.03%$13,9051.36%1.06%4.25%11.87%1.81%1.08%0.97%
2007110.87%$14,026-3.87%-7.15%-3.62%-7.65%5.35%4.04%1.02%
200712-0.72%$13,925-1.13%-0.71%-2.99%-1.43%-0.64%0.05%-0.81%
20081-0.75%$13,820-6.05%-4.00%-7.85%-8.92%2.10%3.36%2.57%
20082-0.51%$13,750-2.58%-3.36%-1.02%1.99%-0.46%1.24%-0.71%
200830.61%$13,833-0.90%0.83%0.42%-3.75%2.14%1.34%-0.60%
200840.65%$13,9234.77%2.64%5.44%9.14%-2.48%-2.41%1.25%
20085-0.60%$13,8401.51%3.92%1.19%3.16%-2.69%-1.78%-2.21%
20086-2.28%$13,524-8.35%-8.41%-8.80%-9.29%2.65%1.14%-1.29%
20087-0.37%$13,474-0.90%2.87%-3.32%-5.50%-0.37%0.72%0.39%
200881.27%$13,6451.55%4.76%-4.25%-6.32%2.74%1.53%0.15%
20089-3.93%$13,108-9.44%-4.82%-11.44%-14.68%1.47%-0.14%-10.73%
200810-8.02%$12,057-16.52%-19.86%-20.83%-25.58%-1.86%-0.87%-1.95%
2008113.31%$12,456-6.96%-11.80%-6.37%-9.75%14.34%7.75%3.35%
2008127.40%$13,3770.98%6.57%8.88%10.35%13.64%5.15%13.80%
20091-8.51%$12,238-8.21%-13.94%-13.73%-9.29%-13.07%-3.89%-1.80%
20092-4.88%$11,641-10.74%-13.03%-10.39%-6.27%-1.54%-0.74%-5.20%
200935.68%$12,3038.35%7.58%8.39%16.86%4.04%3.31%0.47%
200942.07%$12,5579.93%18.89%11.52%15.56%-6.95%-2.75%2.78%
200951.36%$12,7285.85%0.67%13.19%15.94%-3.69%-2.08%2.32%
200960.06%$12,736-0.07%1.52%-1.43%-2.25%0.76%-0.55%2.89%
200973.98%$13,2427.46%11.00%10.04%11.01%0.58%0.83%4.63%
200982.09%$13,5193.69%3.48%4.50%-1.31%2.24%0.77%1.31%
200992.82%$13,9003.55%4.21%3.80%10.20%2.46%1.12%1.76%
200910-1.82%$13,647-1.92%-6.07%-2.52%-3.44%-2.62%-0.14%-0.49%
2009113.20%$14,0836.16%2.90%3.92%7.85%1.21%2.02%1.95%
200912-2.07%$13,7921.91%8.10%0.70%3.27%-6.34%-4.40%-2.07%
20101-0.12%$13,775-3.63%-2.54%-5.07%-7.76%2.69%2.37%1.25%
201021.10%$13,9263.12%4.76%0.27%1.78%-0.34%0.33%0.51%
201031.70%$14,1636.09%7.80%6.39%8.11%-2.06%-1.06%0.65%
201042.02%$14,4501.55%6.63%-2.80%-0.17%3.32%1.65%1.91%
20105-1.13%$14,287-7.95%-8.54%-11.19%-9.39%5.11%2.93%-1.31%
201060.83%$14,406-5.17%-8.27%-2.07%-1.40%5.80%3.05%3.28%
201073.18%$14,8646.83%6.71%11.61%10.93%-0.95%0.91%2.11%
201081.60%$15,101-4.50%-7.91%-3.80%-3.24%8.40%3.36%2.86%
201093.07%$15,5658.96%10.93%9.97%11.76%-2.51%-0.00%0.46%
2010100.22%$15,6003.82%4.04%3.81%3.02%-4.47%-0.01%-0.26%
201011-1.06%$15,4340.00%2.47%-4.82%-2.91%-1.69%-0.90%-1.62%
2010120.74%$15,5476.68%8.97%8.30%7.27%-3.68%-3.43%-0.75%
20111-0.39%$15,4872.33%-0.24%2.10%-3.84%-3.08%-0.02%0.04%
201121.63%$15,7403.47%4.21%3.55%-0.04%1.65%-0.21%1.08%
201130.24%$15,7780.01%2.21%-2.39%6.29%0.03%-0.15%-0.54%
201142.45%$16,1642.90%1.06%5.63%2.73%2.34%1.84%2.50%
201151.12%$16,345-1.12%-1.77%-2.21%-2.94%3.42%2.51%1.27%
20116-1.39%$16,118-1.69%-1.59%-1.19%-0.93%-2.33%-0.51%-0.80%
201171.48%$16,356-2.00%-2.77%-2.38%-1.03%4.42%3.17%2.43%
201181.41%$16,587-5.50%-7.98%-8.75%-9.25%9.66%4.65%0.34%
201190.64%$16,693-6.94%-10.57%-10.81%-17.89%13.20%2.24%0.35%
2011103.32%$17,24710.91%15.34%9.63%16.27%-3.84%-1.29%2.51%
2011110.27%$17,294-0.41%0.63%-2.18%-1.96%1.98%0.58%-3.16%
2011121.71%$17,5901.04%2.02%-2.21%-4.30%3.44%1.99%3.49%
201212.57%$18,0414.64%7.90%5.27%10.99%-0.33%0.86%2.14%
201220.66%$18,1604.34%1.71%4.83%5.27%-2.59%-1.10%1.63%
20123-0.92%$17,9933.22%2.89%0.42%-3.11%-4.23%-1.59%-1.42%
201241.66%$18,291-0.67%-1.91%-2.08%-1.70%4.83%2.51%1.08%
201250.46%$18,376-6.01%-7.18%-11.14%-10.71%9.03%2.87%0.76%
201261.25%$18,6064.05%4.54%7.11%5.08%-1.68%-0.42%0.87%
201271.86%$18,9511.18%-0.69%0.08%-0.03%3.82%1.40%3.48%
201280.58%$19,0612.51%4.08%3.20%0.41%-1.32%-0.12%-0.05%
201290.42%$19,1402.54%3.14%2.71%5.22%-2.53%-0.35%1.10%
201210-0.67%$19,012-1.82%-1.96%1.09%-0.44%-0.48%-0.40%1.35%
2012111.07%$19,2160.57%1.65%2.78%1.56%1.38%0.98%-0.42%
201212-0.02%$19,2130.90%3.55%4.37%6.80%-2.49%-0.94%-0.33%
201310.33%$19,2765.12%5.35%3.73%-0.29%-3.19%-1.29%-1.30%
201320.93%$19,4541.28%1.63%-1.29%-2.28%1.24%1.13%1.08%
201331.08%$19,6633.80%4.11%1.31%-1.02%-0.42%0.29%-0.05%
201342.58%$20,1721.92%0.12%5.02%1.22%4.68%1.52%2.17%
20135-2.53%$19,6622.36%4.29%-3.02%-4.83%-6.76%-3.11%-3.22%
20136-2.52%$19,166-1.34%-0.14%-2.70%-5.35%-3.27%-2.55%-3.27%
201371.21%$19,3985.17%6.56%5.32%1.32%-2.26%-0.35%1.11%
20138-1.93%$19,024-3.00%-3.41%-1.96%-2.54%-1.34%-1.42%-1.00%
201392.59%$19,5163.17%6.59%7.82%7.21%0.66%1.85%0.74%
2013102.33%$19,9714.63%3.48%3.26%4.17%1.43%0.78%1.81%
201311-0.07%$19,9562.96%4.25%0.55%-0.26%-2.70%-0.88%-0.14%
201312-0.36%$19,8842.59%1.29%2.16%-0.42%-1.87%-2.09%0.22%
201411.01%$20,085-3.52%-3.51%-5.20%-8.64%6.30%3.06%1.88%
201422.07%$20,5014.55%4.63%6.13%3.38%0.52%0.36%1.14%
201430.46%$20,5950.83%1.34%-0.46%3.88%0.73%-0.56%-0.03%
201441.02%$20,8060.70%-2.29%1.67%0.78%2.10%0.76%1.33%
201452.21%$21,2662.32%0.62%1.60%2.95%2.95%1.82%1.51%
201460.71%$21,4162.06%3.85%0.92%2.40%-0.25%-0.22%0.01%
20147-0.53%$21,302-1.34%-5.07%-2.60%1.36%0.67%-0.22%-0.32%
201483.22%$21,9883.95%4.46%0.18%2.83%4.72%1.88%2.00%
20149-2.16%$21,513-1.38%-5.94%-3.88%-7.77%-2.11%-1.05%-1.68%
2014102.24%$21,9942.36%7.13%-0.27%1.42%2.81%1.53%1.23%
2014111.82%$22,3932.75%0.48%0.06%-1.54%2.97%1.29%0.91%
2014120.58%$22,522-0.26%2.56%-4.00%-3.99%3.25%0.13%-0.02%
201513.14%$23,230-2.96%-5.32%0.62%-0.69%9.82%4.30%3.75%
20152-0.31%$23,1575.62%5.86%6.34%4.41%-6.14%-2.47%-1.42%
201530.10%$23,180-1.57%1.03%-1.43%-1.50%1.10%0.86%0.20%
20154-0.50%$23,0630.98%-1.82%3.65%6.85%-3.43%-0.63%-1.19%
20155-0.67%$22,9081.29%0.75%0.20%-4.10%-2.37%-0.42%-1.12%
20156-2.43%$22,353-2.03%0.42%-3.12%-2.93%-4.07%-1.63%-1.88%
201571.89%$22,7752.26%-2.70%2.03%-6.31%4.55%1.52%0.83%
20158-2.67%$22,168-6.10%-4.62%-7.43%-8.84%-0.69%0.08%-0.83%
20159-0.10%$22,145-2.54%-3.77%-4.42%-3.13%1.97%1.58%1.19%
2015102.69%$22,7418.51%6.57%6.61%6.38%-0.41%-0.64%0.57%
201511-0.32%$22,6680.37%2.47%-0.75%-2.52%-0.87%-0.43%-0.15%
201512-1.23%$22,388-1.72%-5.08%-2.34%-3.83%-0.30%-0.45%-1.08%
201610.51%$22,503-4.98%-5.85%-5.52%-5.03%5.57%3.33%0.12%
201621.20%$22,773-0.08%2.08%-3.33%-0.82%3.09%1.49%1.05%
201633.15%$23,4916.72%9.41%6.58%12.96%-0.09%-0.06%3.62%
201640.16%$23,5300.39%2.13%2.22%0.41%-0.74%-0.16%1.55%
201650.39%$23,6221.70%0.44%-0.09%-3.69%0.81%-0.10%-0.51%
201663.16%$24,3690.35%0.83%-2.42%4.56%6.93%3.09%3.09%
201672.27%$24,9233.65%5.06%3.98%5.38%2.10%0.25%1.29%
20168-0.41%$24,8210.12%1.13%0.53%0.88%-1.01%-1.01%0.18%
20169-0.11%$24,7930.01%0.87%1.34%2.52%-1.51%0.24%-0.32%
201610-2.44%$24,189-1.73%-3.74%-2.22%-0.83%-4.38%-1.49%-1.53%
201611-2.41%$23,6073.68%13.34%-1.78%-4.42%-8.21%-4.23%-3.17%
2016120.64%$23,7582.03%3.20%2.71%-0.25%-0.46%-0.12%0.84%
201711.14%$24,0301.79%-1.21%3.29%6.66%0.81%0.22%0.15%
201721.84%$24,4713.93%1.35%1.19%1.74%1.59%0.72%1.32%
201730.18%$24,5150.13%-0.65%3.23%3.69%-0.65%0.08%-0.29%
201741.27%$24,8270.99%0.51%2.42%1.70%1.57%1.11%1.19%
201751.36%$25,1641.41%-2.26%3.54%2.85%1.89%0.83%1.33%
201760.44%$25,2750.64%2.96%0.31%0.93%0.79%-0.51%0.48%
201770.92%$25,5062.06%0.75%2.65%5.82%-0.66%0.38%0.77%
201781.43%$25,8710.29%-2.72%-0.04%2.35%3.41%1.46%0.68%
20179-0.04%$25,8602.01%8.58%2.36%-0.04%-2.32%-1.44%-0.05%
2017100.77%$26,0592.36%0.59%1.68%3.28%-0.04%-0.19%0.19%
2017111.02%$26,3263.06%3.76%0.69%-0.39%0.74%-0.28%-0.12%
2017121.12%$26,6211.21%-0.37%1.35%3.77%1.81%0.18%1.22%
201810.47%$26,7465.64%1.33%5.02%8.30%-3.26%-2.15%-1.23%
20182-2.79%$26,000-3.64%-4.04%-4.83%-5.90%-3.04%-0.93%-2.24%
201830.55%$26,144-2.74%1.37%-0.84%0.54%2.86%1.16%0.56%
20184-0.88%$25,9150.52%1.76%1.52%-2.82%-2.09%-1.28%-1.57%
201851.49%$26,3012.43%5.87%-1.89%-2.62%2.01%0.99%0.52%
201860.08%$26,3220.58%0.80%-1.57%-4.54%0.65%0.20%-0.49%
201870.84%$26,5423.70%2.62%2.85%3.53%-1.44%-0.53%1.34%
201881.26%$26,8763.19%3.14%-2.24%-3.77%1.31%1.01%0.02%
20189-1.13%$26,5730.59%-3.05%0.97%-0.58%-2.86%-1.20%-0.14%
201810-3.93%$25,529-6.91%-9.94%-8.13%-8.76%-2.93%-0.30%-2.05%
2018111.59%$25,9341.85%0.57%0.50%4.90%1.79%1.33%-0.36%
201812-0.61%$25,775-8.79%-12.38%-5.35%-3.50%5.85%2.80%1.86%
201913.79%$26,7538.01%12.26%6.63%10.34%0.38%0.65%3.37%
201920.48%$26,8813.24%4.13%2.54%-1.53%-1.38%-0.52%-0.20%
201932.76%$27,6231.81%-3.91%0.92%1.13%5.57%2.66%2.93%
201940.77%$27,8354.09%4.32%2.93%2.35%-1.99%-0.52%0.44%
201950.22%$27,896-6.38%-9.98%-5.03%-7.33%6.84%3.05%1.65%
201963.39%$28,8426.96%7.66%5.91%6.20%0.95%1.22%3.25%
201970.28%$28,9231.51%1.30%-1.95%-2.66%0.26%0.04%0.25%
201983.40%$29,907-1.67%-5.14%-1.92%-3.78%11.04%3.95%3.88%
20199-0.13%$29,8661.95%5.57%3.16%1.69%-2.68%-1.19%-0.76%
2019100.77%$30,0982.21%2.00%3.39%4.18%-1.11%0.19%0.44%
2019110.74%$30,3203.62%2.71%1.13%-0.09%-0.41%-0.69%0.47%
2019120.25%$30,3952.90%2.84%2.98%7.71%-3.20%-0.93%0.53%
202012.44%$31,138-0.04%-6.31%-2.82%-6.15%7.69%3.47%2.45%
20202-0.22%$31,071-7.92%-10.15%-7.77%-3.78%6.63%2.96%1.09%
20203-3.18%$30,083-12.46%-25.76%-14.11%-15.77%6.38%3.72%-6.31%
202044.96%$31,57612.70%13.89%5.82%7.35%1.22%0.27%4.85%
202051.41%$32,0204.76%2.55%5.43%2.97%-1.76%0.33%2.46%
202061.31%$32,4391.78%3.58%3.51%6.61%0.34%0.04%2.13%
202073.61%$33,6105.89%2.58%1.94%8.25%4.44%0.85%3.10%
202080.53%$33,7886.98%5.07%4.72%2.89%-5.05%-0.97%-1.78%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.63%
Arithmetic Mean (annualized)7.82%
Geometric Mean (monthly)0.61%
Geometric Mean (annualized)7.58%
Volatility (monthly)1.95%
Volatility (annualized)6.75%
Downside Deviation (monthly)1.25%
Max. Drawdown-17.00%
US Market Correlation0.62
Beta(*)0.28
Alpha (annualized)4.70%
R238.15%
Sharpe Ratio0.93
Sortino Ratio1.41
Treynor Ratio (%)22.30
Calmar Ratio1.86
Active Return-1.84%
Tracking Error11.88%
Information Ratio-0.16
Skewness-0.98
Excess Kurtosis4.39
Historical Value-at-Risk (5%)-2.53%
Analytical Value-at-Risk (5%)-2.57%
Conditional Value-at-Risk (5%)-4.49%
Upside Capture Ratio (%)37.34
Downside Capture Ratio (%)17.22
Safe Withdrawal Rate8.96%
Perpetual Withdrawal Rate5.33%
Positive Periods142 out of 200 (71.00%)
Gain/Loss Ratio0.98
* 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 2009-17.00%

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-17.00%
2May 2013Aug 20134 monthsFeb 20146 months10 months-5.69%
3Aug 2016Nov 20164 monthsMay 20176 months10 months-5.28%
4Sep 2018Oct 20182 monthsFeb 20194 months6 months-5.01%
5Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-4.67%
6Apr 2004Apr 20041 monthSep 20045 months6 months-4.46%
7Feb 2020Mar 20202 monthsApr 20201 month3 months-3.39%
8Feb 2018Apr 20183 monthsAug 20184 months7 months-3.11%
9Sep 2005Oct 20052 monthsDec 20052 months4 months-3.01%
10Mar 2006May 20063 monthsAug 20063 months6 months-2.60%
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 Trust9.25%14.24%32.31%-36.81%-50.80%0.600.881.00
IJSiShares S&P Small-Cap 600 Value ETF7.42%19.78%39.34%-29.39%-54.13%0.400.560.91
EFAiShares MSCI EAFE ETF4.97%16.80%26.95%-41.04%-57.38%0.300.410.88
EEMiShares MSCI Emerging Markets ETF7.46%22.01%68.93%-48.88%-60.44%0.380.570.78
TLTiShares 20+ Year Treasury Bond ETF7.51%13.06%33.96%-21.80%-21.80%0.520.91-0.33
IEFiShares 7-10 Year Treasury Bond ETF5.07%6.14%17.91%-6.59%-7.60%0.631.09-0.32
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.57%7.22%17.37%-3.79%-15.11%0.610.970.31

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIJSEFAEEMTLTIEFLQDMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust1.000.890.880.78-0.32-0.310.310.62
IJSiShares S&P Small-Cap 600 Value ETF0.891.000.770.70-0.36-0.370.240.52
EFAiShares MSCI EAFE ETF0.880.771.000.88-0.26-0.240.380.63
EEMiShares MSCI Emerging Markets ETF0.780.700.881.00-0.23-0.190.360.61
TLTiShares 20+ Year Treasury Bond ETF-0.32-0.36-0.26-0.231.000.910.500.51
IEFiShares 7-10 Year Treasury Bond ETF-0.31-0.37-0.24-0.190.911.000.510.50
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.310.240.380.360.500.511.000.75

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust30.55%
IJSiShares S&P Small-Cap 600 Value ETF7.58%
EFAiShares MSCI EAFE ETF7.88%
EEMiShares MSCI Emerging Markets ETF9.89%
TLTiShares 20+ Year Treasury Bond ETF26.42%
IEFiShares 7-10 Year Treasury Bond ETF13.66%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.01%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.37%17.92%-3.93%
3 years6.88%11.68%2.67%
5 years6.69%10.31%4.68%
7 years7.05%8.08%5.61%
10 years7.05%8.22%6.43%
15 years6.77%7.03%6.52%
Result statistics are based on annualized rolling returns over full calendar year periods