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 - Sep 2021) Save

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 7.05% to 10.00%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 25.97%
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 24.03%
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$36,321
CAGR7.54%
Expected Return7.79%
Stdev6.87%
Best Year18.35%
Worst Year-5.83%
Max. Drawdown -18.74%
Sharpe Ratio (ex-ante)0.92
Sharpe Ratio (ex-post)0.92
Sortino Ratio1.41
US Stock Market Correlation0.69
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Maximum Sharpe Ratio-0.46%2.51%8.00%10.59%7.96%8.23%7.54%7.64%6.56%
Trailing annualized return and volatility are for full months ending in September 2021 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 2021 are based on full calendar months from January to September
  • 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
#AssetGroupExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1SPDR S&P 500 ETF Trust (SPY)Equity11.16%14.24%0.6625.00%40.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)Equity11.98%20.06%0.5075.00%20.00%
3iShares MSCI EAFE ETF (EFA)Equity7.40%16.75%0.3565.00%30.00%
4iShares MSCI Emerging Markets ETF (EEM)Equity10.37%21.58%0.4035.00%15.00%
5iShares 20+ Year Treasury Bond ETF (TLT)Fixed Income7.31%12.99%0.4525.00%30.00%
6iShares 7-10 Year Treasury Bond ETF (IEF)Fixed Income4.68%6.09%0.5555.00%30.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)Fixed Income5.53%7.15%0.5875.00%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 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 TrustSPY1.000.870.880.77-0.30-0.290.32
iShares S&P Small-Cap 600 Value ETFIJS0.871.000.770.70-0.37-0.370.23
iShares MSCI EAFE ETFEFA0.880.771.000.87-0.24-0.220.39
iShares MSCI Emerging Markets ETFEEM0.770.700.871.00-0.22-0.190.36
iShares 20+ Year Treasury Bond ETFTLT-0.30-0.37-0.24-0.221.000.910.52
iShares 7-10 Year Treasury Bond ETFIEF-0.29-0.37-0.22-0.190.911.000.52
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.320.230.390.360.520.521.00
Based on monthly returns from Jan 2004 to Sep 2021
Efficient Frontier Assets
#SPYIJSEFAEEMTLTIEFLQDExpected Return*Standard Deviation*Sharpe Ratio*
113.58%5.00%5.00%5.00%21.42%30.00%20.00%7.05%6.45%0.873
214.36%5.00%5.00%5.00%20.64%30.00%20.00%7.08%6.45%0.877
315.14%5.00%5.00%5.00%19.86%30.00%20.00%7.11%6.46%0.881
415.92%5.00%5.00%5.00%19.08%30.00%20.00%7.14%6.47%0.884
516.39%5.00%5.00%5.00%19.27%30.00%19.34%7.17%6.48%0.886
616.79%5.00%5.00%5.00%19.66%30.00%18.55%7.20%6.50%0.888
717.20%5.00%5.00%5.00%20.04%30.00%17.76%7.23%6.51%0.890
817.60%5.00%5.00%5.00%20.43%30.00%16.97%7.26%6.53%0.892
918.01%5.00%5.00%5.00%20.82%30.00%16.17%7.29%6.54%0.895
1018.41%5.00%5.00%5.00%21.21%30.00%15.38%7.32%6.56%0.897
1118.81%5.00%5.00%5.00%21.60%30.00%14.59%7.35%6.57%0.899
1219.22%5.00%5.00%5.00%21.99%30.00%13.80%7.38%6.59%0.901
1319.62%5.00%5.00%5.00%22.37%30.00%13.00%7.41%6.61%0.902
1420.03%5.00%5.00%5.00%22.76%30.00%12.21%7.43%6.63%0.904
1520.43%5.00%5.00%5.00%23.15%30.00%11.42%7.46%6.64%0.906
1620.84%5.00%5.00%5.00%23.54%30.00%10.63%7.49%6.66%0.908
1721.24%5.00%5.00%5.00%23.93%30.00%9.83%7.52%6.68%0.909
1821.64%5.00%5.00%5.00%24.32%30.00%9.04%7.55%6.70%0.911
1922.05%5.00%5.00%5.00%24.70%30.00%8.25%7.58%6.72%0.913
2022.45%5.00%5.00%5.00%25.09%30.00%7.45%7.61%6.73%0.914
2122.86%5.00%5.00%5.00%25.48%30.00%6.66%7.64%6.75%0.916
2223.26%5.00%5.00%5.00%25.87%30.00%5.87%7.67%6.77%0.917
2323.67%5.00%5.00%5.00%26.26%30.00%5.08%7.70%6.79%0.919
2424.41%5.00%5.00%5.00%25.59%30.00%5.00%7.73%6.82%0.920
2525.19%5.00%5.00%5.00%24.81%30.00%5.00%7.76%6.84%0.920
2625.97%5.00%5.00%5.00%24.03%30.00%5.00%7.79%6.87%0.920
2726.45%5.00%5.00%5.00%23.98%29.57%5.00%7.82%6.90%0.920
2826.69%5.00%5.00%5.00%24.50%28.81%5.00%7.85%6.94%0.919
2926.94%5.00%5.00%5.00%25.01%28.05%5.00%7.88%6.97%0.919
3027.18%5.00%5.00%5.00%25.53%27.29%5.00%7.91%7.01%0.918
3127.43%5.00%5.00%5.00%26.04%26.53%5.00%7.94%7.04%0.918
3227.67%5.00%5.00%5.00%26.56%25.77%5.00%7.97%7.08%0.917
3327.92%5.00%5.00%5.00%27.07%25.01%5.00%8.00%7.11%0.917
3428.17%5.00%5.00%5.00%27.59%24.24%5.00%8.03%7.14%0.916
3528.41%5.00%5.00%5.00%28.10%23.48%5.00%8.06%7.18%0.915
3628.66%5.00%5.00%5.00%28.62%22.72%5.00%8.09%7.21%0.915
3728.90%5.00%5.00%5.00%29.13%21.96%5.00%8.12%7.25%0.914
3829.15%5.00%5.00%5.00%29.65%21.20%5.00%8.15%7.28%0.914
3929.46%5.00%5.00%5.00%30.00%20.54%5.00%8.18%7.32%0.913
4029.92%5.00%5.00%5.00%30.00%20.08%5.00%8.21%7.35%0.913
4130.38%5.00%5.00%5.00%30.00%19.62%5.00%8.24%7.39%0.912
4230.84%5.00%5.00%5.00%30.00%19.16%5.00%8.27%7.43%0.911
4331.29%5.00%5.00%5.00%30.00%18.71%5.00%8.30%7.46%0.910
4431.75%5.00%5.00%5.00%30.00%18.25%5.00%8.33%7.50%0.909
4532.21%5.00%5.00%5.00%30.00%17.79%5.00%8.36%7.54%0.908
4632.67%5.00%5.00%5.00%30.00%17.33%5.00%8.39%7.58%0.907
4733.13%5.00%5.00%5.00%30.00%16.87%5.00%8.41%7.62%0.906
4833.58%5.00%5.00%5.00%30.00%16.42%5.00%8.44%7.66%0.905
4934.04%5.00%5.00%5.00%30.00%15.96%5.00%8.47%7.70%0.904
5034.50%5.00%5.00%5.00%30.00%15.50%5.00%8.50%7.74%0.903
5134.96%5.00%5.00%5.00%30.00%15.04%5.00%8.53%7.78%0.901
5235.42%5.00%5.00%5.00%30.00%14.58%5.00%8.56%7.83%0.900
5335.87%5.00%5.00%5.00%30.00%14.13%5.00%8.59%7.87%0.898
5436.33%5.00%5.00%5.00%30.00%13.67%5.00%8.62%7.91%0.897
5536.79%5.00%5.00%5.00%30.00%13.21%5.00%8.65%7.96%0.895
5637.25%5.00%5.00%5.00%30.00%12.75%5.00%8.68%8.00%0.894
5737.71%5.00%5.00%5.00%30.00%12.29%5.00%8.71%8.05%0.892
5838.16%5.00%5.00%5.00%30.00%11.84%5.00%8.74%8.09%0.891
5938.62%5.00%5.00%5.00%30.00%11.38%5.00%8.77%8.14%0.889
6039.08%5.00%5.00%5.00%30.00%10.92%5.00%8.80%8.19%0.887
6139.54%5.00%5.00%5.00%30.00%10.46%5.00%8.83%8.24%0.886
6240.00%5.00%5.00%5.00%30.00%10.00%5.00%8.86%8.28%0.884
6340.00%5.40%5.00%5.00%30.00%9.60%5.00%8.89%8.33%0.882
6440.00%5.81%5.00%5.00%30.00%9.19%5.00%8.92%8.39%0.879
6540.00%6.22%5.00%5.00%30.00%8.78%5.00%8.95%8.44%0.877
6640.00%6.63%5.00%5.00%30.00%8.37%5.00%8.98%8.49%0.875
6740.00%7.04%5.00%5.00%30.00%7.96%5.00%9.01%8.55%0.872
6840.00%7.44%5.00%5.00%30.00%7.56%5.00%9.04%8.60%0.870
6940.00%7.85%5.00%5.00%30.00%7.15%5.00%9.07%8.66%0.868
7040.00%8.26%5.00%5.00%30.00%6.74%5.00%9.10%8.72%0.865
7140.00%8.67%5.00%5.00%30.00%6.33%5.00%9.13%8.77%0.863
7240.00%9.08%5.00%5.00%30.00%5.92%5.00%9.16%8.83%0.860
7340.00%9.48%5.00%5.00%30.00%5.52%5.00%9.19%8.89%0.858
7440.00%9.89%5.00%5.00%30.00%5.11%5.00%9.22%8.95%0.855
7540.00%10.47%5.00%5.00%29.53%5.00%5.00%9.25%9.03%0.851
7640.00%11.12%5.00%5.00%28.88%5.00%5.00%9.28%9.12%0.845
7740.00%11.76%5.00%5.00%28.24%5.00%5.00%9.31%9.21%0.840
7840.00%12.41%5.00%5.00%27.59%5.00%5.00%9.34%9.30%0.835
7940.00%13.05%5.00%5.00%26.95%5.00%5.00%9.37%9.40%0.829
8040.00%13.70%5.00%5.00%26.30%5.00%5.00%9.40%9.50%0.823
8140.00%14.34%5.00%5.00%25.66%5.00%5.00%9.43%9.60%0.817
8240.00%14.99%5.00%5.00%25.01%5.00%5.00%9.46%9.70%0.812
8340.00%15.63%5.00%5.00%24.37%5.00%5.00%9.49%9.81%0.806
8440.00%16.27%5.00%5.00%23.73%5.00%5.00%9.52%9.92%0.800
8540.00%16.92%5.00%5.00%23.08%5.00%5.00%9.55%10.02%0.794
8640.00%17.56%5.00%5.00%22.44%5.00%5.00%9.58%10.14%0.788
8740.00%18.21%5.00%5.00%21.79%5.00%5.00%9.61%10.25%0.782
8840.00%18.85%5.00%5.00%21.15%5.00%5.00%9.64%10.36%0.776
8940.00%19.50%5.00%5.00%20.50%5.00%5.00%9.67%10.48%0.770
9040.00%20.00%5.00%5.22%19.78%5.00%5.00%9.70%10.61%0.763
9140.00%20.00%5.00%6.19%18.81%5.00%5.00%9.73%10.79%0.753
9240.00%20.00%5.00%7.17%17.83%5.00%5.00%9.76%10.97%0.743
9340.00%20.00%5.00%8.15%16.85%5.00%5.00%9.79%11.16%0.733
9440.00%20.00%5.00%9.13%15.87%5.00%5.00%9.83%11.35%0.723
9540.00%20.00%5.00%10.11%14.89%5.00%5.00%9.86%11.54%0.714
9640.00%20.00%5.00%11.09%13.91%5.00%5.00%9.89%11.74%0.704
9740.00%20.00%5.00%12.06%12.94%5.00%5.00%9.92%11.93%0.695
9840.00%20.00%5.00%13.04%11.96%5.00%5.00%9.95%12.13%0.685
9940.00%20.00%5.00%14.02%10.98%5.00%5.00%9.98%12.34%0.676
10040.00%20.00%5.00%15.00%10.00%5.00%5.00%10.01%12.54%0.667
*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 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%9.76%$10,97610.70%22.60%18.95%24.63%8.71%4.12%5.72%
20053.42%6.90%$11,7334.83%6.00%13.32%32.62%8.61%2.64%1.16%
20062.54%8.95%$12,78415.85%19.37%25.81%31.19%0.71%2.52%4.22%
20074.08%9.14%$13,9525.14%-5.56%9.94%33.31%10.29%10.37%3.73%
20080.09%-5.83%$13,138-36.81%-29.39%-41.04%-48.88%33.93%17.91%2.40%
20092.72%4.43%$13,72026.36%22.36%26.95%68.93%-21.80%-6.59%8.46%
20101.50%12.89%$15,48815.06%24.69%8.15%16.51%9.05%9.37%9.33%
20112.96%12.28%$17,3911.89%-1.65%-12.25%-18.82%33.96%15.64%9.73%
20121.74%9.58%$19,05615.99%18.24%18.82%19.10%2.63%3.66%10.58%
20131.50%4.68%$19,94832.31%39.34%21.40%-3.69%-13.37%-6.09%-2.00%
20140.76%12.90%$22,52213.46%7.56%-6.20%-3.93%27.30%9.07%8.21%
20150.73%-0.51%$22,4061.25%-6.90%-1.00%-16.18%-1.79%1.51%-1.25%
20162.07%6.40%$23,84012.00%31.25%1.37%10.87%1.18%1.00%6.21%
20172.11%12.37%$26,79021.70%11.35%25.10%37.28%9.18%2.55%7.06%
20181.91%-3.25%$25,920-4.56%-12.84%-13.81%-15.31%-1.61%0.99%-3.79%
20192.29%18.35%$30,67731.22%24.12%22.03%18.20%14.12%8.03%17.37%
20201.36%15.50%$35,43218.37%2.63%7.59%17.03%18.15%10.01%10.97%
20215.31%2.51%$36,32115.91%25.15%8.38%-2.07%-7.55%-3.44%-2.21%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
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%
200421.90%$10,3541.36%2.50%2.30%3.95%2.28%1.61%1.51%
200430.56%$10,412-1.32%1.82%0.07%0.55%1.41%1.30%0.99%
20044-4.34%$9,959-1.89%-3.93%-3.39%-9.80%-6.23%-4.35%-3.89%
200450.39%$9,9981.71%1.58%1.14%1.17%-0.26%-0.53%-0.52%
200461.42%$10,1401.85%5.35%3.35%0.92%1.06%0.65%0.13%
20047-0.66%$10,073-3.22%-4.75%-4.27%-3.64%1.53%1.21%1.56%
200482.32%$10,3070.24%0.24%1.19%3.53%4.17%2.83%3.08%
200491.29%$10,4391.00%4.69%2.07%6.98%0.95%0.32%0.31%
2004101.48%$10,5941.29%0.95%3.50%2.85%1.77%0.99%1.18%
2004111.18%$10,7194.45%9.11%6.08%9.95%-2.39%-1.98%-1.22%
2004122.40%$10,9763.02%1.57%4.80%4.74%2.66%1.17%1.39%
200510.31%$11,011-2.24%-3.25%-1.90%-0.53%3.57%0.87%1.23%
200520.55%$11,0712.09%2.90%3.78%9.68%-1.47%-1.37%-0.94%
20053-1.41%$10,915-1.83%-2.36%-2.62%-7.91%-0.45%-0.40%-1.26%
200540.88%$11,011-1.87%-5.12%-1.62%-1.25%3.86%2.52%1.62%
200552.60%$11,2973.22%6.16%-0.86%3.16%3.14%1.84%0.62%
200561.23%$11,4350.15%3.92%1.43%3.97%2.16%0.48%1.22%
200570.31%$11,4713.83%5.84%3.00%7.68%-3.38%-2.18%-0.82%
200581.43%$11,635-0.94%-1.87%3.84%1.32%3.48%2.00%1.50%
20059-0.66%$11,5580.80%0.05%3.69%8.65%-3.61%-1.75%-1.86%
200510-2.25%$11,298-2.37%-3.41%-3.18%-6.34%-2.24%-1.24%-1.58%
2005112.18%$11,5454.40%4.91%2.31%5.79%0.69%0.63%0.66%
2005121.63%$11,733-0.19%-1.06%5.18%6.10%2.98%1.37%0.86%
200611.51%$11,9102.40%8.75%5.77%14.20%-1.34%-0.70%-0.44%
200620.20%$11,9340.57%0.27%-0.70%-3.85%1.11%-0.10%0.68%
20063-0.61%$11,8611.65%4.86%4.01%2.17%-4.57%-1.36%-1.68%
200640.04%$11,8661.26%0.18%4.79%6.52%-2.75%-0.63%-0.20%
20065-1.84%$11,648-3.01%-4.55%-3.82%-11.14%-0.19%-0.10%-0.19%
200660.43%$11,6970.26%0.04%-0.06%0.21%1.18%0.23%-0.09%
200671.22%$11,8390.45%-3.10%0.81%2.34%2.16%1.68%1.46%
200682.28%$12,1102.18%2.70%2.55%1.58%3.06%1.76%2.22%
200691.59%$12,3032.70%1.19%0.22%-0.87%1.91%1.21%0.87%
2006102.05%$12,5553.15%5.52%3.75%7.06%0.85%0.54%1.00%
2006112.11%$12,8191.99%2.38%3.07%5.98%2.31%1.31%1.46%
200612-0.28%$12,7841.34%0.32%3.20%5.44%-2.69%-1.28%-0.90%
200710.22%$12,8111.50%2.14%1.39%0.11%-1.00%-0.40%0.09%
200720.81%$12,915-1.96%-0.92%-0.12%-3.24%3.39%2.06%2.00%
200730.27%$12,9501.16%0.91%2.90%5.33%-1.70%-0.14%-0.68%
200742.06%$13,2174.43%1.84%3.75%3.73%0.90%0.61%0.89%
200750.45%$13,2763.39%4.63%2.36%5.06%-2.31%-1.39%-1.23%
20076-0.75%$13,177-1.46%-2.24%-0.32%3.68%-1.01%-0.47%-0.81%
200770.23%$13,207-3.13%-6.26%-2.29%0.71%3.32%2.26%-0.82%
200781.65%$13,4251.28%1.33%-0.63%1.04%1.79%2.26%2.38%
200791.98%$13,6913.87%0.31%5.32%11.57%0.23%0.09%0.73%
2007102.02%$13,9671.36%1.06%4.25%11.87%1.81%1.08%0.97%
2007110.62%$14,054-3.87%-7.15%-3.62%-7.65%5.35%4.04%1.02%
200712-0.73%$13,952-1.13%-0.71%-2.99%-1.43%-0.64%0.05%-0.81%
20081-0.97%$13,816-6.05%-4.00%-7.85%-8.92%2.10%3.36%2.57%
20082-0.56%$13,738-2.58%-3.36%-1.02%1.99%-0.46%1.24%-0.71%
200830.53%$13,811-0.90%0.83%0.42%-3.75%2.14%1.34%-0.60%
200840.84%$13,9274.77%2.64%5.44%9.14%-2.48%-2.41%1.25%
20085-0.48%$13,8591.51%3.92%1.19%3.16%-2.69%-1.78%-2.21%
20086-2.58%$13,502-8.35%-8.41%-8.80%-9.29%2.65%1.14%-1.29%
20087-0.38%$13,450-0.90%2.87%-3.32%-5.50%-0.37%0.72%0.39%
200881.23%$13,6171.55%4.76%-4.25%-6.32%2.74%1.53%0.15%
20089-4.22%$13,042-9.44%-4.82%-11.44%-14.68%1.47%-0.14%-10.73%
200810-8.41%$11,945-16.52%-19.86%-20.83%-25.58%-1.86%-0.87%-1.95%
2008112.74%$12,272-6.96%-11.80%-6.37%-9.75%14.34%7.75%3.35%
2008127.06%$13,1380.98%6.57%8.88%10.35%13.64%5.15%13.80%
20091-8.38%$12,037-8.21%-13.94%-13.73%-9.29%-13.07%-3.89%-1.80%
20092-5.12%$11,420-10.74%-13.03%-10.39%-6.27%-1.54%-0.74%-5.20%
200935.80%$12,0838.35%7.58%8.39%16.86%4.04%3.31%0.47%
200942.52%$12,3879.93%18.89%11.52%15.56%-6.95%-2.75%2.78%
200951.61%$12,5875.85%0.67%13.19%15.94%-3.69%-2.08%2.32%
200960.04%$12,592-0.07%1.52%-1.43%-2.25%0.76%-0.55%2.89%
200974.16%$13,1157.46%11.00%10.04%11.01%0.58%0.83%4.63%
200982.13%$13,3943.69%3.48%4.50%-1.31%2.24%0.77%1.31%
200992.85%$13,7763.55%4.21%3.80%10.20%2.46%1.12%1.76%
200910-1.80%$13,528-1.92%-6.07%-2.52%-3.44%-2.62%-0.14%-0.49%
2009113.33%$13,9786.16%2.90%3.92%7.85%1.21%2.02%1.95%
200912-1.85%$13,7201.91%8.10%0.70%3.27%-6.34%-4.40%-2.07%
20101-0.29%$13,680-3.63%-2.54%-5.07%-7.76%2.69%2.37%1.25%
201021.19%$13,8433.12%4.76%0.27%1.78%-0.34%0.33%0.51%
201031.92%$14,1096.09%7.80%6.39%8.11%-2.06%-1.06%0.65%
201041.97%$14,3871.55%6.63%-2.80%-0.17%3.32%1.65%1.91%
20105-1.48%$14,175-7.95%-8.54%-11.19%-9.39%5.11%2.93%-1.31%
201060.54%$14,251-5.17%-8.27%-2.07%-1.40%5.80%3.05%3.28%
201073.39%$14,7346.83%6.71%11.61%10.93%-0.95%0.91%2.11%
201081.25%$14,918-4.50%-7.91%-3.80%-3.24%8.40%3.36%2.86%
201093.38%$15,4228.96%10.93%9.97%11.76%-2.51%-0.00%0.46%
2010100.45%$15,4913.82%4.04%3.81%3.02%-4.47%-0.01%-0.26%
201011-1.02%$15,3330.00%2.47%-4.82%-2.91%-1.69%-0.90%-1.62%
2010121.01%$15,4886.68%8.97%8.30%7.27%-3.68%-3.43%-0.75%
20111-0.24%$15,4512.33%-0.24%2.10%-3.84%-3.08%-0.02%0.04%
201121.68%$15,7103.47%4.21%3.55%-0.04%1.65%-0.21%1.08%
201130.24%$15,7480.01%2.21%-2.39%6.29%0.03%-0.15%-0.54%
201142.46%$16,1362.90%1.06%5.63%2.73%2.34%1.84%2.50%
201151.00%$16,297-1.12%-1.77%-2.21%-2.94%3.42%2.51%1.27%
20116-1.38%$16,073-1.69%-1.59%-1.19%-0.93%-2.33%-0.51%-0.80%
201171.31%$16,283-2.00%-2.77%-2.38%-1.03%4.42%3.17%2.43%
201181.01%$16,447-5.50%-7.98%-8.75%-9.25%9.66%4.65%0.34%
201190.09%$16,462-6.94%-10.57%-10.81%-17.89%13.20%2.24%0.35%
2011103.71%$17,07410.91%15.34%9.63%16.27%-3.84%-1.29%2.51%
2011110.21%$17,110-0.41%0.63%-2.18%-1.96%1.98%0.58%-3.16%
2011121.64%$17,3911.04%2.02%-2.21%-4.30%3.44%1.99%3.49%
201212.70%$17,8604.64%7.90%5.27%10.99%-0.33%0.86%2.14%
201220.85%$18,0124.34%1.71%4.83%5.27%-2.59%-1.10%1.63%
20123-0.72%$17,8823.22%2.89%0.42%-3.11%-4.23%-1.59%-1.42%
201241.51%$18,152-0.67%-1.91%-2.08%-1.70%4.83%2.51%1.08%
201250.06%$18,162-6.01%-7.18%-11.14%-10.71%9.03%2.87%0.76%
201261.40%$18,4174.05%4.54%7.11%5.08%-1.68%-0.42%0.87%
201271.79%$18,7461.18%-0.69%0.08%-0.03%3.82%1.40%3.48%
201280.68%$18,8742.51%4.08%3.20%0.41%-1.32%-0.12%-0.05%
201290.55%$18,9782.54%3.14%2.71%5.22%-2.53%-0.35%1.10%
201210-0.71%$18,844-1.82%-1.96%1.09%-0.44%-0.48%-0.40%1.35%
2012111.05%$19,0420.57%1.65%2.78%1.56%1.38%0.98%-0.42%
2012120.07%$19,0560.90%3.55%4.37%6.80%-2.49%-0.94%-0.33%
201310.55%$19,1615.12%5.35%3.73%-0.29%-3.19%-1.29%-1.30%
201320.93%$19,3391.28%1.63%-1.29%-2.28%1.24%1.13%1.08%
201331.19%$19,5693.80%4.11%1.31%-1.02%-0.42%0.29%-0.05%
201342.51%$20,0591.92%0.12%5.02%1.22%4.68%1.52%2.17%
20135-2.28%$19,6012.36%4.29%-3.02%-4.83%-6.76%-3.11%-3.22%
20136-2.47%$19,117-1.34%-0.14%-2.70%-5.35%-3.27%-2.55%-3.27%
201371.41%$19,3875.17%6.56%5.32%1.32%-2.26%-0.35%1.11%
20138-1.97%$19,004-3.00%-3.41%-1.96%-2.54%-1.34%-1.42%-1.00%
201392.65%$19,5093.17%6.59%7.82%7.21%0.66%1.85%0.74%
2013102.42%$19,9804.63%3.48%3.26%4.17%1.43%0.78%1.81%
2013110.08%$19,9962.96%4.25%0.55%-0.26%-2.70%-0.88%-0.14%
201312-0.24%$19,9482.59%1.29%2.16%-0.42%-1.87%-2.09%0.22%
201410.74%$20,096-3.52%-3.51%-5.20%-8.64%6.30%3.06%1.88%
201422.18%$20,5344.55%4.63%6.13%3.38%0.52%0.36%1.14%
201430.46%$20,6280.83%1.34%-0.46%3.88%0.73%-0.56%-0.03%
201440.99%$20,8320.70%-2.29%1.67%0.78%2.10%0.76%1.33%
201452.19%$21,2882.32%0.62%1.60%2.95%2.95%1.82%1.51%
201460.77%$21,4522.06%3.85%0.92%2.40%-0.25%-0.22%0.01%
20147-0.59%$21,327-1.34%-5.07%-2.60%1.36%0.67%-0.22%-0.32%
201483.20%$22,0083.95%4.46%0.18%2.83%4.72%1.88%2.00%
20149-2.14%$21,537-1.38%-5.94%-3.88%-7.77%-2.11%-1.05%-1.68%
2014102.22%$22,0162.36%7.13%-0.27%1.42%2.81%1.53%1.23%
2014111.81%$22,4142.75%0.48%0.06%-1.54%2.97%1.29%0.91%
2014120.48%$22,522-0.26%2.56%-4.00%-3.99%3.25%0.13%-0.02%
201512.80%$23,152-2.96%-5.32%0.62%-0.69%9.82%4.30%3.75%
201520.00%$23,1535.62%5.86%6.34%4.41%-6.14%-2.47%-1.42%
201530.03%$23,159-1.57%1.03%-1.43%-1.50%1.10%0.86%0.20%
20154-0.38%$23,0700.98%-1.82%3.65%6.85%-3.43%-0.63%-1.19%
20155-0.57%$22,9371.29%0.75%0.20%-4.10%-2.37%-0.42%-1.12%
20156-2.37%$22,394-2.03%0.42%-3.12%-2.93%-4.07%-1.63%-1.88%
201571.83%$22,8032.26%-2.70%2.03%-6.31%4.55%1.52%0.83%
20158-2.81%$22,162-6.10%-4.62%-7.43%-8.84%-0.69%0.08%-0.83%
20159-0.22%$22,113-2.54%-3.77%-4.42%-3.13%1.97%1.58%1.19%
2015102.93%$22,7608.51%6.57%6.61%6.38%-0.41%-0.64%0.57%
201511-0.29%$22,6940.37%2.47%-0.75%-2.52%-0.87%-0.43%-0.15%
201512-1.27%$22,406-1.72%-5.08%-2.34%-3.83%-0.30%-0.45%-1.08%
201610.23%$22,458-4.98%-5.85%-5.52%-5.03%5.57%3.33%0.12%
201621.12%$22,708-0.08%2.08%-3.33%-0.82%3.09%1.49%1.05%
201633.33%$23,4656.72%9.41%6.58%12.96%-0.09%-0.06%3.62%
201640.19%$23,5110.39%2.13%2.22%0.41%-0.74%-0.16%1.55%
201650.41%$23,6081.70%0.44%-0.09%-3.69%0.81%-0.10%-0.51%
201662.99%$24,3130.35%0.83%-2.42%4.56%6.93%3.09%3.09%
201672.31%$24,8753.65%5.06%3.98%5.38%2.10%0.25%1.29%
20168-0.38%$24,7810.12%1.13%0.53%0.88%-1.01%-1.01%0.18%
20169-0.07%$24,7640.01%0.87%1.34%2.52%-1.51%0.24%-0.32%
201610-2.37%$24,178-1.73%-3.74%-2.22%-0.83%-4.38%-1.49%-1.53%
201611-2.09%$23,6733.68%13.34%-1.78%-4.42%-8.21%-4.23%-3.17%
2016120.71%$23,8402.03%3.20%2.71%-0.25%-0.46%-0.12%0.84%
201711.17%$24,1191.79%-1.21%3.29%6.66%0.81%0.22%0.15%
201721.90%$24,5773.93%1.35%1.19%1.74%1.59%0.72%1.32%
201730.20%$24,6260.13%-0.65%3.23%3.69%-0.65%0.08%-0.29%
201741.26%$24,9360.99%0.51%2.42%1.70%1.57%1.11%1.19%
201751.34%$25,2711.41%-2.26%3.54%2.85%1.89%0.83%1.33%
201760.44%$25,3820.64%2.96%0.31%0.93%0.79%-0.51%0.48%
201770.99%$25,6322.06%0.75%2.65%5.82%-0.66%0.38%0.77%
201781.34%$25,9770.29%-2.72%-0.04%2.35%3.41%1.46%0.68%
201790.08%$25,9972.01%8.58%2.36%-0.04%-2.32%-1.44%-0.05%
2017100.83%$26,2132.36%0.59%1.68%3.28%-0.04%-0.19%0.19%
2017111.09%$26,4983.06%3.76%0.69%-0.39%0.74%-0.28%-0.12%
2017121.10%$26,7901.21%-0.37%1.35%3.77%1.81%0.18%1.22%
201810.71%$26,9795.64%1.33%5.02%8.30%-3.26%-2.15%-1.23%
20182-2.80%$26,223-3.64%-4.04%-4.83%-5.90%-3.04%-0.93%-2.24%
201830.40%$26,328-2.74%1.37%-0.84%0.54%2.86%1.16%0.56%
20184-0.81%$26,1160.52%1.76%1.52%-2.82%-2.09%-1.28%-1.57%
201851.50%$26,5092.43%5.87%-1.89%-2.62%2.01%0.99%0.52%
201860.07%$26,5280.58%0.80%-1.57%-4.54%0.65%0.20%-0.49%
201870.98%$26,7873.70%2.62%2.85%3.53%-1.44%-0.53%1.34%
201881.31%$27,1373.19%3.14%-2.24%-3.77%1.31%1.01%0.02%
20189-1.04%$26,8560.59%-3.05%0.97%-0.58%-2.86%-1.20%-0.14%
201810-4.03%$25,773-6.91%-9.94%-8.13%-8.76%-2.93%-0.30%-2.05%
2018111.59%$26,1831.85%0.57%0.50%4.90%1.79%1.33%-0.36%
201812-1.01%$25,920-8.79%-12.38%-5.35%-3.50%5.85%2.80%1.86%
201914.00%$26,9568.01%12.26%6.63%10.34%0.38%0.65%3.37%
201920.60%$27,1183.24%4.13%2.54%-1.53%-1.38%-0.52%-0.20%
201932.66%$27,8391.81%-3.91%0.92%1.13%5.57%2.66%2.93%
201940.93%$28,0984.09%4.32%2.93%2.35%-1.99%-0.52%0.44%
20195-0.13%$28,060-6.38%-9.98%-5.03%-7.33%6.84%3.05%1.65%
201963.55%$29,0576.96%7.66%5.91%6.20%0.95%1.22%3.25%
201970.31%$29,1481.51%1.30%-1.95%-2.66%0.26%0.04%0.25%
201983.06%$30,039-1.67%-5.14%-1.92%-3.78%11.04%3.95%3.88%
20199-0.01%$30,0351.95%5.57%3.16%1.69%-2.68%-1.19%-0.76%
2019100.86%$30,2952.21%2.00%3.39%4.18%-1.11%0.19%0.44%
2019110.85%$30,5523.62%2.71%1.13%-0.09%-0.41%-0.69%0.47%
2019120.41%$30,6772.90%2.84%2.98%7.71%-3.20%-0.93%0.53%
202012.24%$31,363-0.04%-6.31%-2.82%-6.15%7.69%3.47%2.45%
20202-0.60%$31,173-7.92%-10.15%-7.77%-3.78%6.63%2.96%1.09%
20203-3.68%$30,025-12.46%-25.76%-14.11%-15.77%6.38%3.72%-6.31%
202045.27%$31,60612.70%13.89%5.82%7.35%1.22%0.27%4.85%
202051.58%$32,1064.76%2.55%5.43%2.97%-1.76%0.33%2.46%
202061.35%$32,5391.78%3.58%3.51%6.61%0.34%0.04%2.13%
202073.64%$33,7255.89%2.58%1.94%8.25%4.44%0.85%3.10%
202080.85%$34,0136.98%5.07%4.72%2.89%-5.05%-0.97%-1.78%
20209-1.12%$33,631-3.74%-5.18%-2.05%-1.01%0.77%0.33%-0.44%
202010-1.83%$33,017-2.49%3.66%-3.55%1.41%-3.39%-1.38%-0.51%
2020115.64%$34,87910.88%19.21%14.27%8.99%1.66%0.34%3.77%
2020121.59%$35,4323.71%7.50%5.01%7.14%-1.23%-0.24%0.15%
20211-1.12%$35,034-1.02%6.25%-0.78%3.17%-3.63%-1.09%-1.83%
20212-0.79%$34,7582.78%10.80%2.24%0.79%-5.73%-2.36%-2.26%
20213-0.50%$34,5844.54%5.61%2.51%-0.73%-5.24%-2.39%-1.48%
202142.62%$35,4895.29%1.69%2.95%1.20%2.49%1.00%1.04%
202150.78%$35,7660.66%3.89%3.48%1.65%0.00%0.42%0.62%
202162.02%$36,4892.25%-0.71%-1.08%0.95%4.42%1.02%2.21%
202171.69%$37,1072.44%-4.36%0.77%-6.44%3.72%1.99%1.42%
202180.80%$37,4032.98%1.82%1.45%1.57%-0.34%-0.39%-0.34%
20219-2.89%$36,321-4.66%-1.46%-3.26%-3.87%-2.91%-1.60%-1.51%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.63%
Arithmetic Mean (annualized)7.79%
Geometric Mean (monthly)0.61%
Geometric Mean (annualized)7.54%
Volatility (monthly)1.98%
Volatility (annualized)6.87%
Downside Deviation (monthly)1.26%
Max. Drawdown-18.74%
US Market Correlation0.69
Beta(*)0.32
Alpha (annualized)4.00%
R248.10%
Sharpe Ratio0.92
Sortino Ratio1.41
Treynor Ratio (%)19.64
Calmar Ratio2.48
Active Return-2.77%
Tracking Error11.19%
Information Ratio-0.25
Skewness-0.89
Excess Kurtosis3.99
Historical Value-at-Risk (5%)-2.51%
Analytical Value-at-Risk (5%)-2.63%
Conditional Value-at-Risk (5%)-4.48%
Upside Capture Ratio (%)39.59
Downside Capture Ratio (%)23.27
Safe Withdrawal Rate8.64%
Perpetual Withdrawal Rate5.11%
Positive Periods153 out of 213 (71.83%)
Gain/Loss Ratio0.92
* 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 2009-18.74%
COVID-19 StartJan 2020Mar 2020-4.27%

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-18.74%
2May 2013Aug 20134 monthsJan 20145 months9 months-5.26%
3Sep 2018Oct 20182 monthsMar 20195 months7 months-5.03%
4Aug 2016Nov 20164 monthsApr 20175 months9 months-4.83%
5Apr 2015Sep 20156 monthsMar 20166 months1 year-4.51%
6Apr 2004Apr 20041 monthSep 20045 months6 months-4.34%
7Feb 2020Mar 20202 monthsApr 20201 month3 months-4.27%
8Feb 2018Apr 20183 monthsAug 20184 months7 months-3.20%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-2.93%
10Sep 2005Oct 20052 monthsDec 20052 months4 months-2.89%
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 Trust10.04%14.24%32.31%-36.81%-50.80%0.660.981.00
IJSiShares S&P Small-Cap 600 Value ETF9.73%20.06%39.34%-29.39%-54.13%0.510.740.90
EFAiShares MSCI EAFE ETF5.88%16.75%26.95%-41.04%-57.38%0.360.500.88
EEMiShares MSCI Emerging Markets ETF7.82%21.58%68.93%-48.88%-60.44%0.400.600.78
TLTiShares 20+ Year Treasury Bond ETF6.43%12.99%33.96%-21.80%-21.80%0.450.77-0.31
IEFiShares 7-10 Year Treasury Bond ETF4.49%6.09%17.91%-6.59%-7.60%0.560.94-0.30
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.26%7.15%17.37%-3.79%-15.11%0.580.940.32

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIJSEFAEEMTLTIEFLQDMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust1.000.870.880.77-0.30-0.290.320.70
IJSiShares S&P Small-Cap 600 Value ETF0.871.000.770.70-0.37-0.370.230.56
EFAiShares MSCI EAFE ETF0.880.771.000.87-0.24-0.220.390.69
EEMiShares MSCI Emerging Markets ETF0.770.700.871.00-0.22-0.190.360.64
TLTiShares 20+ Year Treasury Bond ETF-0.30-0.37-0.24-0.221.000.910.520.45
IEFiShares 7-10 Year Treasury Bond ETF-0.29-0.37-0.22-0.190.911.000.520.44
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.320.230.390.360.520.521.000.74

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust37.47%
IJSiShares S&P Small-Cap 600 Value ETF8.23%
EFAiShares MSCI EAFE ETF8.45%
EEMiShares MSCI Emerging Markets ETF10.11%
TLTiShares 20+ Year Treasury Bond ETF20.25%
IEFiShares 7-10 Year Treasury Bond ETF11.65%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.84%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.85%21.21%-16.87%
3 years7.30%16.40%-1.46%
5 years7.16%12.45%1.98%
7 years7.50%10.32%5.87%
10 years7.56%9.03%6.33%
15 years7.31%7.91%6.56%