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
Min. Weight
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Portfolio Optimization Results (Jan 2004 - Nov 2019)

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 6.96% to 9.22%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 24.60%
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 25.40%
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

Portfolio performance statistics
MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$30,430
CAGR7.24%
Expected Return 7.48%
Stdev6.70%
Best Year17.74%
Worst Year-4.86%
Max. Drawdown -17.85%
Sharpe Ratio (ex-ante)0.93
Sharpe Ratio (ex-post)0.89
Sortino Ratio1.33
US Stock Market Correlation0.63
   
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 2019 are based on full calendar months from January to November
  • 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 (1-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results include monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetGroupCAGRExpected Return*Standard DeviationSharpe Ratio*Min. WeightMax. Weight
1SPDR S&P 500 ETF Trust (SPY)Equity8.87%9.87%13.49%0.6375.00%40.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)Equity8.99%10.86%18.47%0.5195.00%20.00%
3iShares MSCI EAFE ETF (EFA)Equity5.37%6.82%16.48%0.3375.00%30.00%
4iShares MSCI Emerging Markets ETF (EEM)Equity7.33%9.90%21.76%0.3975.00%15.00%
5iShares 20+ Year Treasury Bond ETF (TLT)Fixed Income6.82%7.69%12.92%0.4975.00%30.00%
6iShares 7-10 Year Treasury Bond ETF (IEF)Fixed Income4.68%4.87%6.13%0.5885.00%30.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)Fixed Income5.31%5.56%7.00%0.6135.00%20.00%
*Expected return is annualized from historical monthly mean return. Ex ante Sharpe Ratio calculated using historical 1-month treasury bill returns as the risk-free rate (1.27% annualized).
Asset Groups
Asset GroupMin. WeightMax. Weight
Equity20.00%80.00%
Fixed Income20.00%80.00%

Monthly Correlations

Efficient Frontier Asset Correlations
NameTickerSPYIJSEFAEEMTLTIEFLQD
SPDR S&P 500 ETF TrustSPY1.000.880.880.78-0.30-0.290.26
iShares S&P Small-Cap 600 Value ETFIJS0.881.000.750.69-0.34-0.330.17
iShares MSCI EAFE ETFEFA0.880.751.000.88-0.22-0.200.36
iShares MSCI Emerging Markets ETFEEM0.780.690.881.00-0.20-0.160.33
iShares 20+ Year Treasury Bond ETFTLT-0.30-0.34-0.22-0.201.000.910.55
iShares 7-10 Year Treasury Bond ETFIEF-0.29-0.33-0.20-0.160.911.000.57
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.260.170.360.330.550.571.00
Based on monthly returns from Jan 2004 to Nov 2019
Efficient Frontier Assets
#SPYIJSEFAEEMTLTIEFLQDExpected Return*Standard Deviation*Sharpe Ratio*
115.22%5.00%5.00%5.00%19.78%30.00%20.00%6.96%6.37%0.893
216.27%5.00%5.00%5.00%18.73%30.00%20.00%6.98%6.37%0.896
317.02%5.00%5.00%5.00%18.28%30.00%19.70%7.00%6.38%0.898
417.37%5.00%5.00%5.00%18.65%30.00%18.98%7.03%6.40%0.900
517.71%5.00%5.00%5.00%19.03%30.00%18.26%7.05%6.41%0.902
618.06%5.00%5.00%5.00%19.40%30.00%17.55%7.07%6.42%0.903
718.40%5.00%5.00%5.00%19.77%30.00%16.83%7.10%6.43%0.905
818.74%5.00%5.00%5.00%20.14%30.00%16.11%7.12%6.45%0.907
919.09%5.00%5.00%5.00%20.52%30.00%15.40%7.14%6.46%0.908
1019.43%5.00%5.00%5.00%20.89%30.00%14.68%7.16%6.48%0.910
1119.78%5.00%5.00%5.00%21.26%30.00%13.96%7.19%6.49%0.911
1220.12%5.00%5.00%5.00%21.63%30.00%13.25%7.21%6.51%0.912
1320.46%5.00%5.00%5.00%22.01%30.00%12.53%7.23%6.52%0.914
1420.81%5.00%5.00%5.00%22.38%30.00%11.81%7.25%6.54%0.915
1521.15%5.00%5.00%5.00%22.75%30.00%11.10%7.28%6.55%0.917
1621.50%5.00%5.00%5.00%23.13%30.00%10.38%7.30%6.57%0.918
1721.84%5.00%5.00%5.00%23.50%30.00%9.66%7.32%6.58%0.919
1822.18%5.00%5.00%5.00%23.87%30.00%8.94%7.35%6.60%0.920
1922.53%5.00%5.00%5.00%24.24%30.00%8.23%7.37%6.62%0.921
2022.87%5.00%5.00%5.00%24.62%30.00%7.51%7.39%6.63%0.923
2123.22%5.00%5.00%5.00%24.99%30.00%6.79%7.41%6.65%0.924
2223.56%5.00%5.00%5.00%25.36%30.00%6.08%7.44%6.67%0.925
2323.90%5.00%5.00%5.00%25.73%30.00%5.36%7.46%6.68%0.926
2424.60%5.00%5.00%5.00%25.40%30.00%5.00%7.48%6.70%0.927
2525.41%5.00%5.00%5.00%24.78%29.81%5.00%7.51%6.73%0.927
2625.61%5.00%5.00%5.00%25.22%29.16%5.00%7.53%6.75%0.926
2725.81%5.00%5.00%5.00%25.67%28.52%5.00%7.55%6.78%0.926
2826.01%5.00%5.00%5.00%26.12%27.87%5.00%7.57%6.81%0.926
2926.21%5.00%5.00%5.00%26.57%27.22%5.00%7.60%6.83%0.925
3026.41%5.00%5.00%5.00%27.02%26.57%5.00%7.62%6.86%0.925
3126.61%5.00%5.00%5.00%27.46%25.92%5.00%7.64%6.89%0.925
3226.81%5.00%5.00%5.00%27.91%25.27%5.00%7.66%6.91%0.925
3327.01%5.00%5.00%5.00%28.36%24.62%5.00%7.69%6.94%0.924
3427.22%5.00%5.00%5.00%28.81%23.98%5.00%7.71%6.97%0.924
3527.42%5.00%5.00%5.00%29.26%23.33%5.00%7.73%6.99%0.924
3627.62%5.00%5.00%5.00%29.70%22.68%5.00%7.76%7.02%0.923
3727.90%5.00%5.00%5.00%30.00%22.10%5.00%7.78%7.05%0.923
3828.36%5.00%5.00%5.00%30.00%21.64%5.00%7.80%7.08%0.923
3928.81%5.00%5.00%5.00%30.00%21.19%5.00%7.82%7.10%0.922
4029.27%5.00%5.00%5.00%30.00%20.73%5.00%7.85%7.13%0.922
4129.72%5.00%5.00%5.00%30.00%20.28%5.00%7.87%7.16%0.921
4230.18%5.00%5.00%5.00%30.00%19.82%5.00%7.89%7.19%0.920
4330.63%5.00%5.00%5.00%30.00%19.37%5.00%7.92%7.23%0.919
4431.09%5.00%5.00%5.00%30.00%18.91%5.00%7.94%7.26%0.919
4531.55%5.00%5.00%5.00%30.00%18.45%5.00%7.96%7.29%0.918
4632.00%5.00%5.00%5.00%30.00%18.00%5.00%7.98%7.32%0.917
4732.46%5.00%5.00%5.00%30.00%17.54%5.00%8.01%7.36%0.916
4832.91%5.00%5.00%5.00%30.00%17.09%5.00%8.03%7.39%0.914
4933.37%5.00%5.00%5.00%30.00%16.63%5.00%8.05%7.42%0.913
5033.82%5.00%5.00%5.00%30.00%16.18%5.00%8.08%7.46%0.912
5134.28%5.00%5.00%5.00%30.00%15.72%5.00%8.10%7.50%0.911
5234.73%5.00%5.00%5.00%30.00%15.27%5.00%8.12%7.53%0.909
5335.19%5.00%5.00%5.00%30.00%14.81%5.00%8.14%7.57%0.908
5435.64%5.00%5.00%5.00%30.00%14.36%5.00%8.17%7.61%0.906
5536.10%5.00%5.00%5.00%30.00%13.90%5.00%8.19%7.64%0.905
5636.55%5.00%5.00%5.00%30.00%13.45%5.00%8.21%7.68%0.903
5737.01%5.00%5.00%5.00%30.00%12.99%5.00%8.24%7.72%0.902
5837.46%5.00%5.00%5.00%30.00%12.54%5.00%8.26%7.76%0.900
5937.92%5.00%5.00%5.00%30.00%12.08%5.00%8.28%7.80%0.898
6038.37%5.00%5.00%5.00%30.00%11.63%5.00%8.31%7.84%0.897
6138.83%5.00%5.00%5.00%30.00%11.17%5.00%8.33%7.88%0.895
6239.28%5.00%5.00%5.00%30.00%10.72%5.00%8.35%7.93%0.893
6339.74%5.00%5.00%5.00%30.00%10.26%5.00%8.37%7.97%0.891
6440.00%5.16%5.00%5.00%30.00%9.84%5.00%8.40%8.01%0.889
6540.00%5.54%5.00%5.00%30.00%9.46%5.00%8.42%8.05%0.887
6640.00%5.93%5.00%5.00%30.00%9.07%5.00%8.44%8.10%0.885
6740.00%6.31%5.00%5.00%30.00%8.69%5.00%8.47%8.14%0.883
6840.00%6.69%5.00%5.00%30.00%8.31%5.00%8.49%8.19%0.881
6940.00%7.07%5.00%5.00%30.00%7.93%5.00%8.51%8.24%0.879
7040.00%7.45%5.00%5.00%30.00%7.55%5.00%8.53%8.28%0.877
7140.00%7.83%5.00%5.00%30.00%7.17%5.00%8.56%8.33%0.875
7240.00%8.22%5.00%5.00%30.00%6.78%5.00%8.58%8.38%0.872
7340.00%8.60%5.00%5.00%30.00%6.40%5.00%8.60%8.42%0.870
7440.00%8.98%5.00%5.00%30.00%6.02%5.00%8.63%8.47%0.868
7540.00%9.36%5.00%5.00%30.00%5.64%5.00%8.65%8.52%0.866
7640.00%9.74%5.00%5.00%30.00%5.26%5.00%8.67%8.57%0.863
7739.23%10.77%5.00%5.00%30.00%5.00%5.00%8.70%8.63%0.861
7836.87%13.13%5.00%5.00%30.00%5.00%5.00%8.72%8.69%0.857
7934.51%15.49%5.00%5.00%30.00%5.00%5.00%8.74%8.76%0.852
8032.15%17.85%5.00%5.00%30.00%5.00%5.00%8.77%8.84%0.848
8130.10%20.00%5.00%5.00%29.90%5.00%5.00%8.79%8.92%0.843
8231.15%20.00%5.00%5.00%28.85%5.00%5.00%8.81%9.02%0.836
8332.21%20.00%5.00%5.00%27.79%5.00%5.00%8.83%9.13%0.828
8433.26%20.00%5.00%5.00%26.74%5.00%5.00%8.86%9.24%0.821
8534.32%20.00%5.00%5.00%25.68%5.00%5.00%8.88%9.36%0.813
8635.37%20.00%5.00%5.00%24.63%5.00%5.00%8.90%9.48%0.805
8736.43%20.00%5.00%5.00%23.57%5.00%5.00%8.93%9.60%0.797
8837.48%20.00%5.00%5.00%22.52%5.00%5.00%8.95%9.73%0.789
8938.54%20.00%5.00%5.00%21.46%5.00%5.00%8.97%9.86%0.781
9039.59%20.00%5.00%5.00%20.41%5.00%5.00%9.00%9.99%0.773
9140.00%20.00%5.00%5.64%19.36%5.00%5.00%9.02%10.16%0.762
9240.00%20.00%5.00%6.68%18.32%5.00%5.00%9.04%10.35%0.751
9340.00%20.00%5.00%7.72%17.28%5.00%5.00%9.06%10.55%0.739
9440.00%20.00%5.00%8.76%16.24%5.00%5.00%9.09%10.75%0.727
9540.00%20.00%5.00%9.80%15.20%5.00%5.00%9.11%10.95%0.716
9640.00%20.00%5.00%10.84%14.16%5.00%5.00%9.13%11.16%0.705
9740.00%20.00%5.00%11.88%13.12%5.00%5.00%9.16%11.37%0.694
9840.00%20.00%5.00%12.92%12.08%5.00%5.00%9.18%11.58%0.683
9940.00%20.00%5.00%13.96%11.04%5.00%5.00%9.20%11.80%0.672
10040.00%20.00%5.00%15.00%10.00%5.00%5.00%9.23%12.01%0.662
*Ex-ante values shown for portfolio return and volatility. Ex ante Sharpe Ratio calculated using historical 1-month treasury bill returns as the risk-free rate (1.27% 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%9.73%$10,97310.70%22.60%18.95%24.63%8.71%4.12%5.72%
20053.42%6.95%$11,7364.83%6.00%13.32%32.62%8.61%2.64%1.16%
20062.54%8.75%$12,76215.85%19.37%25.81%31.19%0.71%2.52%4.22%
20074.08%9.21%$13,9385.14%-5.56%9.94%33.31%10.29%10.37%3.73%
20080.09%-4.86%$13,260-36.81%-29.39%-41.04%-48.88%33.93%17.91%2.40%
20092.72%3.75%$13,75726.36%22.36%26.95%68.93%-21.80%-6.59%8.46%
20101.50%12.81%$15,51915.06%24.69%8.15%16.51%9.05%9.37%9.33%
20112.96%12.72%$17,4921.89%-1.65%-12.25%-18.82%33.96%15.64%9.73%
20121.74%9.40%$19,13615.99%18.24%18.82%19.10%2.63%3.66%10.58%
20131.50%4.07%$19,91532.31%39.34%21.40%-3.69%-13.37%-6.09%-2.00%
20140.76%13.08%$22,52113.46%7.56%-6.20%-3.93%27.30%9.07%8.21%
20150.73%-0.56%$22,3951.25%-6.90%-1.00%-16.18%-1.79%1.51%-1.25%
20162.07%6.26%$23,79712.00%31.25%1.37%10.87%1.18%1.00%6.21%
20172.11%12.20%$26,70121.70%11.35%25.10%37.28%9.18%2.55%7.06%
20181.91%-3.21%$25,844-4.56%-12.84%-13.81%-15.31%-1.61%0.99%-3.79%
20192.43%17.74%$30,43027.52%20.70%18.49%9.74%17.89%9.04%16.75%
Annual returns for 2019 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%
200421.91%$10,3551.36%2.50%2.30%3.95%2.28%1.61%1.51%
200430.59%$10,417-1.32%1.82%0.07%0.55%1.41%1.30%0.99%
20044-4.40%$9,958-1.89%-3.93%-3.39%-9.80%-6.23%-4.35%-3.89%
200450.36%$9,9941.71%1.58%1.14%1.17%-0.26%-0.53%-0.52%
200461.41%$10,1351.85%5.35%3.35%0.92%1.06%0.65%0.13%
20047-0.60%$10,075-3.22%-4.75%-4.27%-3.64%1.53%1.21%1.56%
200482.37%$10,3130.24%0.24%1.19%3.53%4.17%2.83%3.08%
200491.29%$10,4461.00%4.69%2.07%6.98%0.95%0.32%0.31%
2004101.49%$10,6011.29%0.95%3.50%2.85%1.77%0.99%1.18%
2004111.09%$10,7174.45%9.11%6.08%9.95%-2.39%-1.98%-1.22%
2004122.39%$10,9733.02%1.57%4.80%4.74%2.66%1.17%1.39%
200510.39%$11,017-2.24%-3.25%-1.90%-0.53%3.57%0.87%1.23%
200520.50%$11,0722.09%2.90%3.78%9.68%-1.47%-1.37%-0.94%
20053-1.39%$10,917-1.83%-2.36%-2.62%-7.91%-0.45%-0.40%-1.26%
200540.96%$11,022-1.87%-5.12%-1.62%-1.25%3.86%2.52%1.62%
200552.59%$11,3083.22%6.16%-0.86%3.16%3.14%1.84%0.62%
200561.26%$11,4500.15%3.92%1.43%3.97%2.16%0.48%1.22%
200570.21%$11,4743.83%5.84%3.00%7.68%-3.38%-2.18%-0.82%
200581.49%$11,646-0.94%-1.87%3.84%1.32%3.48%2.00%1.50%
20059-0.72%$11,5620.80%0.05%3.69%8.65%-3.61%-1.75%-1.86%
200510-2.25%$11,302-2.37%-3.41%-3.18%-6.34%-2.24%-1.24%-1.58%
2005112.13%$11,5424.40%4.91%2.31%5.79%0.69%0.63%0.66%
2005121.68%$11,736-0.19%-1.06%5.18%6.10%2.98%1.37%0.86%
200611.45%$11,9062.40%8.75%5.77%14.20%-1.34%-0.70%-0.44%
200620.21%$11,9320.57%0.27%-0.70%-3.85%1.11%-0.10%0.68%
20063-0.69%$11,8491.65%4.86%4.01%2.17%-4.57%-1.36%-1.68%
20064-0.01%$11,8471.26%0.18%4.79%6.52%-2.75%-0.63%-0.20%
20065-1.81%$11,634-3.01%-4.55%-3.82%-11.14%-0.19%-0.10%-0.19%
200660.44%$11,6850.26%0.04%-0.06%0.21%1.18%0.23%-0.09%
200671.24%$11,8290.45%-3.10%0.81%2.34%2.16%1.68%1.46%
200682.30%$12,1012.18%2.70%2.55%1.58%3.06%1.76%2.22%
200691.58%$12,2922.70%1.19%0.22%-0.87%1.91%1.21%0.87%
2006102.02%$12,5403.15%5.52%3.75%7.06%0.85%0.54%1.00%
2006112.11%$12,8051.99%2.38%3.07%5.98%2.31%1.31%1.46%
200612-0.33%$12,7621.34%0.32%3.20%5.44%-2.69%-1.28%-0.90%
200710.18%$12,7861.50%2.14%1.39%0.11%-1.00%-0.40%0.09%
200720.88%$12,898-1.96%-0.92%-0.12%-3.24%3.39%2.06%2.00%
200730.24%$12,9291.16%0.91%2.90%5.33%-1.70%-0.14%-0.68%
200742.01%$13,1894.43%1.84%3.75%3.73%0.90%0.61%0.89%
200750.37%$13,2383.39%4.63%2.36%5.06%-2.31%-1.39%-1.23%
20076-0.74%$13,140-1.46%-2.24%-0.32%3.68%-1.01%-0.47%-0.81%
200770.32%$13,181-3.13%-6.26%-2.29%0.71%3.32%2.26%-0.82%
200781.66%$13,3991.28%1.33%-0.63%1.04%1.79%2.26%2.38%
200791.93%$13,6583.87%0.31%5.32%11.57%0.23%0.09%0.73%
2007102.02%$13,9351.36%1.06%4.25%11.87%1.81%1.08%0.97%
2007110.75%$14,039-3.87%-7.15%-3.62%-7.65%5.35%4.04%1.02%
200712-0.72%$13,938-1.13%-0.71%-2.99%-1.43%-0.64%0.05%-0.81%
20081-0.86%$13,818-6.05%-4.00%-7.85%-8.92%2.10%3.36%2.57%
20082-0.54%$13,744-2.58%-3.36%-1.02%1.99%-0.46%1.24%-0.71%
200830.57%$13,822-0.90%0.83%0.42%-3.75%2.14%1.34%-0.60%
200840.74%$13,9254.77%2.64%5.44%9.14%-2.48%-2.41%1.25%
20085-0.54%$13,8491.51%3.92%1.19%3.16%-2.69%-1.78%-2.21%
20086-2.43%$13,513-8.35%-8.41%-8.80%-9.29%2.65%1.14%-1.29%
20087-0.38%$13,462-0.90%2.87%-3.32%-5.50%-0.37%0.72%0.39%
200881.25%$13,6311.55%4.76%-4.25%-6.32%2.74%1.53%0.15%
20089-4.07%$13,075-9.44%-4.82%-11.44%-14.68%1.47%-0.14%-10.73%
200810-8.21%$12,002-16.52%-19.86%-20.83%-25.58%-1.86%-0.87%-1.95%
2008113.03%$12,366-6.96%-11.80%-6.37%-9.75%14.34%7.75%3.35%
2008127.23%$13,2600.98%6.57%8.88%10.35%13.64%5.15%13.80%
20091-8.44%$12,140-8.21%-13.94%-13.73%-9.29%-13.07%-3.89%-1.80%
20092-5.00%$11,533-10.74%-13.03%-10.39%-6.27%-1.54%-0.74%-5.20%
200935.74%$12,1958.35%7.58%8.39%16.86%4.04%3.31%0.47%
200942.29%$12,4749.93%18.89%11.52%15.56%-6.95%-2.75%2.78%
200951.48%$12,6595.85%0.67%13.19%15.94%-3.69%-2.08%2.32%
200960.05%$12,665-0.07%1.52%-1.43%-2.25%0.76%-0.55%2.89%
200974.07%$13,1807.46%11.00%10.04%11.01%0.58%0.83%4.63%
200982.11%$13,4583.69%3.48%4.50%-1.31%2.24%0.77%1.31%
200992.83%$13,8393.55%4.21%3.80%10.20%2.46%1.12%1.76%
200910-1.81%$13,589-1.92%-6.07%-2.52%-3.44%-2.62%-0.14%-0.49%
2009113.26%$14,0326.16%2.90%3.92%7.85%1.21%2.02%1.95%
200912-1.96%$13,7571.91%8.10%0.70%3.27%-6.34%-4.40%-2.07%
20101-0.20%$13,729-3.63%-2.54%-5.07%-7.76%2.69%2.37%1.25%
201021.15%$13,8863.12%4.76%0.27%1.78%-0.34%0.33%0.51%
201031.81%$14,1376.09%7.80%6.39%8.11%-2.06%-1.06%0.65%
201042.00%$14,4191.55%6.63%-2.80%-0.17%3.32%1.65%1.91%
20105-1.30%$14,232-7.95%-8.54%-11.19%-9.39%5.11%2.93%-1.31%
201060.69%$14,330-5.17%-8.27%-2.07%-1.40%5.80%3.05%3.28%
201073.28%$14,8006.83%6.71%11.61%10.93%-0.95%0.91%2.11%
201081.43%$15,012-4.50%-7.91%-3.80%-3.24%8.40%3.36%2.86%
201093.22%$15,4958.96%10.93%9.97%11.76%-2.51%-0.00%0.46%
2010100.33%$15,5473.82%4.04%3.81%3.02%-4.47%-0.01%-0.26%
201011-1.04%$15,3850.00%2.47%-4.82%-2.91%-1.69%-0.90%-1.62%
2010120.87%$15,5196.68%8.97%8.30%7.27%-3.68%-3.43%-0.75%
20111-0.31%$15,4702.33%-0.24%2.10%-3.84%-3.08%-0.02%0.04%
201121.65%$15,7263.47%4.21%3.55%-0.04%1.65%-0.21%1.08%
201130.24%$15,7640.01%2.21%-2.39%6.29%0.03%-0.15%-0.54%
201142.45%$16,1512.90%1.06%5.63%2.73%2.34%1.84%2.50%
201151.06%$16,322-1.12%-1.77%-2.21%-2.94%3.42%2.51%1.27%
20116-1.38%$16,096-1.69%-1.59%-1.19%-0.93%-2.33%-0.51%-0.80%
201171.39%$16,321-2.00%-2.77%-2.38%-1.03%4.42%3.17%2.43%
201181.21%$16,519-5.50%-7.98%-8.75%-9.25%9.66%4.65%0.34%
201190.37%$16,580-6.94%-10.57%-10.81%-17.89%13.20%2.24%0.35%
2011103.51%$17,16210.91%15.34%9.63%16.27%-3.84%-1.29%2.51%
2011110.24%$17,204-0.41%0.63%-2.18%-1.96%1.98%0.58%-3.16%
2011121.68%$17,4921.04%2.02%-2.21%-4.30%3.44%1.99%3.49%
201212.63%$17,9524.64%7.90%5.27%10.99%-0.33%0.86%2.14%
201220.75%$18,0874.34%1.71%4.83%5.27%-2.59%-1.10%1.63%
20123-0.82%$17,9393.22%2.89%0.42%-3.11%-4.23%-1.59%-1.42%
201241.59%$18,223-0.67%-1.91%-2.08%-1.70%4.83%2.51%1.08%
201250.26%$18,271-6.01%-7.18%-11.14%-10.71%9.03%2.87%0.76%
201261.32%$18,5134.05%4.54%7.11%5.08%-1.68%-0.42%0.87%
201271.82%$18,8501.18%-0.69%0.08%-0.03%3.82%1.40%3.48%
201280.63%$18,9692.51%4.08%3.20%0.41%-1.32%-0.12%-0.05%
201290.48%$19,0612.54%3.14%2.71%5.22%-2.53%-0.35%1.10%
201210-0.69%$18,930-1.82%-1.96%1.09%-0.44%-0.48%-0.40%1.35%
2012111.06%$19,1310.57%1.65%2.78%1.56%1.38%0.98%-0.42%
2012120.03%$19,1360.90%3.55%4.37%6.80%-2.49%-0.94%-0.33%
201310.44%$19,2195.12%5.35%3.73%-0.29%-3.19%-1.29%-1.30%
201320.93%$19,3971.28%1.63%-1.29%-2.28%1.24%1.13%1.08%
201331.13%$19,6173.80%4.11%1.31%-1.02%-0.42%0.29%-0.05%
201342.55%$20,1161.92%0.12%5.02%1.22%4.68%1.52%2.17%
20135-2.41%$19,6322.36%4.29%-3.02%-4.83%-6.76%-3.11%-3.22%
20136-2.50%$19,142-1.34%-0.14%-2.70%-5.35%-3.27%-2.55%-3.27%
201371.31%$19,3925.17%6.56%5.32%1.32%-2.26%-0.35%1.11%
20138-1.95%$19,014-3.00%-3.41%-1.96%-2.54%-1.34%-1.42%-1.00%
201392.62%$19,5123.17%6.59%7.82%7.21%0.66%1.85%0.74%
2013102.37%$19,9754.63%3.48%3.26%4.17%1.43%0.78%1.81%
2013110.00%$19,9752.96%4.25%0.55%-0.26%-2.70%-0.88%-0.14%
201312-0.30%$19,9152.59%1.29%2.16%-0.42%-1.87%-2.09%0.22%
201410.88%$20,090-3.52%-3.51%-5.20%-8.64%6.30%3.06%1.88%
201422.12%$20,5174.55%4.63%6.13%3.38%0.52%0.36%1.14%
201430.46%$20,6100.83%1.34%-0.46%3.88%0.73%-0.56%-0.03%
201441.01%$20,8180.70%-2.29%1.67%0.78%2.10%0.76%1.33%
201452.20%$21,2762.32%0.62%1.60%2.95%2.95%1.82%1.51%
201460.74%$21,4332.06%3.85%0.92%2.40%-0.25%-0.22%0.01%
20147-0.56%$21,313-1.34%-5.07%-2.60%1.36%0.67%-0.22%-0.32%
201483.21%$21,9973.95%4.46%0.18%2.83%4.72%1.88%2.00%
20149-2.15%$21,523-1.38%-5.94%-3.88%-7.77%-2.11%-1.05%-1.68%
2014102.23%$22,0032.36%7.13%-0.27%1.42%2.81%1.53%1.23%
2014111.81%$22,4022.75%0.48%0.06%-1.54%2.97%1.29%0.91%
2014120.53%$22,521-0.26%2.56%-4.00%-3.99%3.25%0.13%-0.02%
201512.97%$23,190-2.96%-5.32%0.62%-0.69%9.82%4.30%3.75%
20152-0.16%$23,1535.62%5.86%6.34%4.41%-6.14%-2.47%-1.42%
201530.06%$23,168-1.57%1.03%-1.43%-1.50%1.10%0.86%0.20%
20154-0.44%$23,0650.98%-1.82%3.65%6.85%-3.43%-0.63%-1.19%
20155-0.62%$22,9211.29%0.75%0.20%-4.10%-2.37%-0.42%-1.12%
20156-2.40%$22,372-2.03%0.42%-3.12%-2.93%-4.07%-1.63%-1.88%
201571.86%$22,7882.26%-2.70%2.03%-6.31%4.55%1.52%0.83%
20158-2.74%$22,164-6.10%-4.62%-7.43%-8.84%-0.69%0.08%-0.83%
20159-0.16%$22,129-2.54%-3.77%-4.42%-3.13%1.97%1.58%1.19%
2015102.80%$22,7498.51%6.57%6.61%6.38%-0.41%-0.64%0.57%
201511-0.31%$22,6790.37%2.47%-0.75%-2.52%-0.87%-0.43%-0.15%
201512-1.25%$22,395-1.72%-5.08%-2.34%-3.83%-0.30%-0.45%-1.08%
201610.38%$22,480-4.98%-5.85%-5.52%-5.03%5.57%3.33%0.12%
201621.16%$22,740-0.08%2.08%-3.33%-0.82%3.09%1.49%1.05%
201633.24%$23,4776.72%9.41%6.58%12.96%-0.09%-0.06%3.62%
201640.18%$23,5190.39%2.13%2.22%0.41%-0.74%-0.16%1.55%
201650.40%$23,6141.70%0.44%-0.09%-3.69%0.81%-0.10%-0.51%
201663.08%$24,3400.35%0.83%-2.42%4.56%6.93%3.09%3.09%
201672.29%$24,8973.65%5.06%3.98%5.38%2.10%0.25%1.29%
20168-0.39%$24,7990.12%1.13%0.53%0.88%-1.01%-1.01%0.18%
20169-0.09%$24,7770.01%0.87%1.34%2.52%-1.51%0.24%-0.32%
201610-2.40%$24,182-1.73%-3.74%-2.22%-0.83%-4.38%-1.49%-1.53%
201611-2.25%$23,6383.68%13.34%-1.78%-4.42%-8.21%-4.23%-3.17%
2016120.67%$23,7972.03%3.20%2.71%-0.25%-0.46%-0.12%0.84%
201711.16%$24,0721.79%-1.21%3.29%6.66%0.81%0.22%0.15%
201721.87%$24,5213.93%1.35%1.19%1.74%1.59%0.72%1.32%
201730.19%$24,5670.13%-0.65%3.23%3.69%-0.65%0.08%-0.29%
201741.27%$24,8790.99%0.51%2.42%1.70%1.57%1.11%1.19%
201751.35%$25,2141.41%-2.26%3.54%2.85%1.89%0.83%1.33%
201760.44%$25,3250.64%2.96%0.31%0.93%0.79%-0.51%0.48%
201770.95%$25,5662.06%0.75%2.65%5.82%-0.66%0.38%0.77%
201781.39%$25,9200.29%-2.72%-0.04%2.35%3.41%1.46%0.68%
201790.02%$25,9252.01%8.58%2.36%-0.04%-2.32%-1.44%-0.05%
2017100.80%$26,1322.36%0.59%1.68%3.28%-0.04%-0.19%0.19%
2017111.05%$26,4073.06%3.76%0.69%-0.39%0.74%-0.28%-0.12%
2017121.11%$26,7011.21%-0.37%1.35%3.77%1.81%0.18%1.22%
201810.59%$26,8575.64%1.33%5.02%8.30%-3.26%-2.15%-1.23%
20182-2.80%$26,106-3.64%-4.04%-4.83%-5.90%-3.04%-0.93%-2.24%
201830.48%$26,231-2.74%1.37%-0.84%0.54%2.86%1.16%0.56%
20184-0.84%$26,0110.52%1.76%1.52%-2.82%-2.09%-1.28%-1.57%
201851.50%$26,4002.43%5.87%-1.89%-2.62%2.01%0.99%0.52%
201860.08%$26,4200.58%0.80%-1.57%-4.54%0.65%0.20%-0.49%
201870.91%$26,6593.70%2.62%2.85%3.53%-1.44%-0.53%1.34%
201881.28%$27,0013.19%3.14%-2.24%-3.77%1.31%1.01%0.02%
20189-1.08%$26,7080.59%-3.05%0.97%-0.58%-2.86%-1.20%-0.14%
201810-3.98%$25,646-6.91%-9.94%-8.13%-8.76%-2.93%-0.30%-2.05%
2018111.59%$26,0531.85%0.57%0.50%4.90%1.79%1.33%-0.36%
201812-0.81%$25,844-8.79%-12.38%-5.35%-3.50%5.85%2.80%1.86%
201913.89%$26,8498.01%12.26%6.63%10.34%0.38%0.65%3.37%
201920.54%$26,9943.24%4.13%2.54%-1.53%-1.38%-0.52%-0.20%
201932.71%$27,7261.81%-3.91%0.92%1.13%5.57%2.66%2.93%
201940.85%$27,9604.09%4.32%2.93%2.35%-1.99%-0.52%0.44%
201950.05%$27,974-6.38%-9.98%-5.03%-7.33%6.84%3.05%1.65%
201963.47%$28,9446.96%7.66%5.91%6.20%0.95%1.22%3.25%
201970.30%$29,0301.51%1.30%-1.95%-2.66%0.26%0.04%0.25%
201983.23%$29,967-1.67%-5.14%-1.92%-3.78%11.04%3.95%3.88%
20199-0.07%$29,9451.95%5.57%3.16%1.69%-2.68%-1.19%-0.76%
2019100.82%$30,1902.21%2.00%3.39%4.18%-1.11%0.19%0.44%
2019110.79%$30,4303.62%2.71%1.13%-0.09%-0.41%-0.69%0.47%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.60%
Arithmetic Mean (annualized)7.48%
Geometric Mean (monthly)0.58%
Geometric Mean (annualized)7.24%
Volatility (monthly)1.93%
Volatility (annualized)6.70%
Downside Deviation (monthly)1.27%
Max. Drawdown-17.85%
US Market Correlation0.63
Beta(*)0.30
Alpha (annualized)4.29%
R240.18%
Sharpe Ratio0.89
Sortino Ratio1.33
Treynor Ratio (%)19.65
Calmar Ratio1.75
Active Return-1.84%
Tracking Error11.02%
Information Ratio-0.17
Skewness-1.09
Excess Kurtosis4.75
Historical Value-at-Risk (5%)-2.46%
Analytical Value-at-Risk (5%)-2.57%
Conditional Value-at-Risk (5%)-4.68%
Upside Capture Ratio (%)39.33
Downside Capture Ratio (%)20.40
Safe Withdrawal Rate9.34%
Perpetual Withdrawal Rate5.06%
Positive Periods138 out of 191 (72.25%)
Gain/Loss Ratio0.90
* 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 2009-17.85%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsMar 20101 year 1 month2 years 4 months-17.85%
2May 2013Aug 20134 monthsFeb 20146 months10 months-5.48%
3Aug 2016Nov 20164 monthsMay 20176 months10 months-5.06%
4Sep 2018Oct 20182 monthsMar 20195 months7 months-5.02%
5Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-4.58%
6Apr 2004Apr 20041 monthSep 20045 months6 months-4.40%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-3.15%
8Sep 2005Oct 20052 monthsDec 20052 months4 months-2.95%
9Mar 2006May 20063 monthsAug 20063 months6 months-2.50%
10Sep 2014Sep 20141 monthOct 20141 month2 months-2.15%
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 Trust8.87%13.49%32.31%-36.81%-50.80%0.610.881.00
IJSiShares S&P Small-Cap 600 Value ETF8.99%18.47%39.34%-29.39%-54.13%0.490.730.91
EFAiShares MSCI EAFE ETF5.37%16.48%26.95%-41.04%-57.38%0.320.460.88
EEMiShares MSCI Emerging Markets ETF7.33%21.76%68.93%-48.88%-60.44%0.380.570.79
TLTiShares 20+ Year Treasury Bond ETF6.82%12.92%33.96%-21.80%-21.80%0.480.82-0.31
IEFiShares 7-10 Year Treasury Bond ETF4.68%6.13%17.91%-6.59%-7.60%0.570.97-0.30
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.31%7.00%16.75%-3.79%-15.11%0.590.960.26

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIJSEFAEEMTLTIEFLQDMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust-0.880.880.78-0.30-0.290.260.64
IJSiShares S&P Small-Cap 600 Value ETF0.88-0.750.69-0.34-0.330.170.53
EFAiShares MSCI EAFE ETF0.880.75-0.88-0.22-0.200.360.66
EEMiShares MSCI Emerging Markets ETF0.780.690.88--0.20-0.160.330.63
TLTiShares 20+ Year Treasury Bond ETF-0.30-0.34-0.22-0.20-0.910.550.51
IEFiShares 7-10 Year Treasury Bond ETF-0.29-0.33-0.20-0.160.91-0.570.51
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.260.170.360.330.550.57-0.73

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust31.57%
IJSiShares S&P Small-Cap 600 Value ETF7.35%
EFAiShares MSCI EAFE ETF8.10%
EEMiShares MSCI Emerging Markets ETF10.16%
TLTiShares 20+ Year Treasury Bond ETF24.98%
IEFiShares 7-10 Year Treasury Bond ETF14.04%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.81%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year6.69%13.08%-4.86%
3 years6.78%11.63%2.53%
5 years6.75%10.36%4.62%
7 years7.11%8.14%5.73%
10 years6.88%7.45%6.43%
15 years6.53%6.53%6.53%
Result statistics are based on annualized rolling returns over full calendar year periods