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.
Portfolio optimization results with goal to maximize Sharpe ratio. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 7.33% to 9.82%. Refer to the efficient frontier section for additional details.
Ticker | Name | Allocation |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 23.79% |
IJS | iShares S&P Small-Cap 600 Value ETF | 5.00% |
EFA | iShares MSCI EAFE ETF | 5.00% |
EEM | iShares MSCI Emerging Markets ETF | 5.00% |
TLT | iShares 20+ Year Treasury Bond ETF | 26.26% |
IEF | iShares 7-10 Year Treasury Bond ETF | 29.95% |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 5.00% |
Save portfolio » |
Metric | Maximum Sharpe Ratio |
---|---|
Start Balance | $10,000 |
End Balance | $35,163 |
CAGR | 7.68% |
Expected Return | 7.93% |
Stdev | 6.83% |
Best Year | 18.00% |
Worst Year | -4.28% |
Max. Drawdown | -17.31% |
Sharpe Ratio (ex-ante) | 0.98 |
Sharpe Ratio (ex-post) | 0.93 |
Sortino Ratio | 1.44 |
US Stock Market Correlation | 0.64 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Maximum Sharpe Ratio | 5.02% | 15.50% | 9.68% | 9.45% | 8.51% | 7.68% | 7.25% | 6.27% |
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows. |
# | Asset | Group | CAGR | Expected Return | Standard Deviation | Sharpe Ratio | Min. Weight | Max. Weight |
---|---|---|---|---|---|---|---|---|
1 | SPDR S&P 500 ETF Trust (SPY) | Equity | 9.55% | 10.69% | 14.39% | 0.655 | 5.00% | 40.00% |
2 | iShares S&P Small-Cap 600 Value ETF (IJS) | Equity | 8.74% | 11.01% | 20.21% | 0.482 | 5.00% | 20.00% |
3 | iShares MSCI EAFE ETF (EFA) | Equity | 5.65% | 7.21% | 17.05% | 0.349 | 5.00% | 30.00% |
4 | iShares MSCI Emerging Markets ETF (EEM) | Equity | 8.32% | 10.96% | 21.94% | 0.442 | 5.00% | 15.00% |
5 | iShares 20+ Year Treasury Bond ETF (TLT) | Fixed Income | 7.22% | 8.10% | 12.98% | 0.527 | 5.00% | 30.00% |
6 | iShares 7-10 Year Treasury Bond ETF (IEF) | Fixed Income | 4.91% | 5.10% | 6.10% | 0.629 | 5.00% | 30.00% |
7 | iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD) | Fixed Income | 5.64% | 5.91% | 7.20% | 0.646 | 5.00% | 20.00% |
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (1.26% annualized). |
Asset Group | Min. Weight | Max. Weight |
---|---|---|
Equity | 20.00% | 80.00% |
Fixed Income | 20.00% | 80.00% |
Name | Ticker | SPY | IJS | EFA | EEM | TLT | IEF | LQD |
---|---|---|---|---|---|---|---|---|
SPDR S&P 500 ETF Trust | SPY | 1.00 | 0.89 | 0.88 | 0.78 | -0.31 | -0.30 | 0.33 |
iShares S&P Small-Cap 600 Value ETF | IJS | 0.89 | 1.00 | 0.78 | 0.70 | -0.35 | -0.36 | 0.26 |
iShares MSCI EAFE ETF | EFA | 0.88 | 0.78 | 1.00 | 0.87 | -0.25 | -0.23 | 0.40 |
iShares MSCI Emerging Markets ETF | EEM | 0.78 | 0.70 | 0.87 | 1.00 | -0.23 | -0.19 | 0.37 |
iShares 20+ Year Treasury Bond ETF | TLT | -0.31 | -0.35 | -0.25 | -0.23 | 1.00 | 0.91 | 0.50 |
iShares 7-10 Year Treasury Bond ETF | IEF | -0.30 | -0.36 | -0.23 | -0.19 | 0.91 | 1.00 | 0.51 |
iShares iBoxx $ Invmt Grade Corp Bd ETF | LQD | 0.33 | 0.26 | 0.40 | 0.37 | 0.50 | 0.51 | 1.00 |
Based on monthly returns from Jan 2004 to Dec 2020 |
# | SPY | IJS | EFA | EEM | TLT | IEF | LQD | Expected Return* | Standard Deviation* | Sharpe Ratio* |
---|---|---|---|---|---|---|---|---|---|---|
1 | 13.20% | 5.00% | 5.00% | 5.00% | 21.80% | 30.00% | 20.00% | 7.33% | 6.48% | 0.936 |
2 | 14.18% | 5.00% | 5.00% | 5.00% | 20.82% | 30.00% | 20.00% | 7.35% | 6.48% | 0.940 |
3 | 14.95% | 5.00% | 5.00% | 5.00% | 20.29% | 30.00% | 19.76% | 7.38% | 6.49% | 0.942 |
4 | 15.31% | 5.00% | 5.00% | 5.00% | 20.66% | 30.00% | 19.03% | 7.40% | 6.51% | 0.944 |
5 | 15.66% | 5.00% | 5.00% | 5.00% | 21.04% | 30.00% | 18.30% | 7.43% | 6.52% | 0.946 |
6 | 16.02% | 5.00% | 5.00% | 5.00% | 21.41% | 30.00% | 17.57% | 7.45% | 6.53% | 0.948 |
7 | 16.37% | 5.00% | 5.00% | 5.00% | 21.78% | 30.00% | 16.85% | 7.48% | 6.54% | 0.950 |
8 | 16.73% | 5.00% | 5.00% | 5.00% | 22.15% | 30.00% | 16.12% | 7.50% | 6.56% | 0.952 |
9 | 17.08% | 5.00% | 5.00% | 5.00% | 22.53% | 30.00% | 15.39% | 7.53% | 6.57% | 0.953 |
10 | 17.44% | 5.00% | 5.00% | 5.00% | 22.90% | 30.00% | 14.66% | 7.55% | 6.58% | 0.955 |
11 | 17.79% | 5.00% | 5.00% | 5.00% | 23.27% | 30.00% | 13.93% | 7.58% | 6.60% | 0.957 |
12 | 18.15% | 5.00% | 5.00% | 5.00% | 23.65% | 30.00% | 13.21% | 7.60% | 6.61% | 0.959 |
13 | 18.50% | 5.00% | 5.00% | 5.00% | 24.02% | 30.00% | 12.48% | 7.63% | 6.63% | 0.960 |
14 | 18.86% | 5.00% | 5.00% | 5.00% | 24.39% | 30.00% | 11.75% | 7.65% | 6.64% | 0.962 |
15 | 19.21% | 5.00% | 5.00% | 5.00% | 24.76% | 30.00% | 11.02% | 7.68% | 6.66% | 0.964 |
16 | 19.57% | 5.00% | 5.00% | 5.00% | 25.14% | 30.00% | 10.30% | 7.70% | 6.67% | 0.965 |
17 | 19.92% | 5.00% | 5.00% | 5.00% | 25.51% | 30.00% | 9.57% | 7.73% | 6.69% | 0.967 |
18 | 20.28% | 5.00% | 5.00% | 5.00% | 25.88% | 30.00% | 8.84% | 7.75% | 6.71% | 0.968 |
19 | 20.63% | 5.00% | 5.00% | 5.00% | 26.25% | 30.00% | 8.11% | 7.78% | 6.72% | 0.969 |
20 | 20.99% | 5.00% | 5.00% | 5.00% | 26.63% | 30.00% | 7.38% | 7.80% | 6.74% | 0.971 |
21 | 21.34% | 5.00% | 5.00% | 5.00% | 27.00% | 30.00% | 6.66% | 7.83% | 6.75% | 0.972 |
22 | 21.70% | 5.00% | 5.00% | 5.00% | 27.37% | 30.00% | 5.93% | 7.85% | 6.77% | 0.973 |
23 | 22.05% | 5.00% | 5.00% | 5.00% | 27.75% | 30.00% | 5.20% | 7.88% | 6.79% | 0.975 |
24 | 22.86% | 5.00% | 5.00% | 5.00% | 27.14% | 30.00% | 5.00% | 7.90% | 6.81% | 0.976 |
25 | 23.79% | 5.00% | 5.00% | 5.00% | 26.26% | 29.95% | 5.00% | 7.93% | 6.83% | 0.976 |
26 | 23.98% | 5.00% | 5.00% | 5.00% | 26.73% | 29.29% | 5.00% | 7.95% | 6.86% | 0.975 |
27 | 24.18% | 5.00% | 5.00% | 5.00% | 27.19% | 28.63% | 5.00% | 7.98% | 6.89% | 0.975 |
28 | 24.38% | 5.00% | 5.00% | 5.00% | 27.65% | 27.97% | 5.00% | 8.00% | 6.92% | 0.974 |
29 | 24.58% | 5.00% | 5.00% | 5.00% | 28.12% | 27.31% | 5.00% | 8.03% | 6.95% | 0.974 |
30 | 24.78% | 5.00% | 5.00% | 5.00% | 28.58% | 26.64% | 5.00% | 8.05% | 6.98% | 0.974 |
31 | 24.97% | 5.00% | 5.00% | 5.00% | 29.04% | 25.98% | 5.00% | 8.08% | 7.01% | 0.973 |
32 | 25.17% | 5.00% | 5.00% | 5.00% | 29.51% | 25.32% | 5.00% | 8.10% | 7.04% | 0.973 |
33 | 25.37% | 5.00% | 5.00% | 5.00% | 29.97% | 24.66% | 5.00% | 8.13% | 7.06% | 0.972 |
34 | 25.80% | 5.00% | 5.00% | 5.00% | 30.00% | 24.20% | 5.00% | 8.15% | 7.09% | 0.972 |
35 | 26.25% | 5.00% | 5.00% | 5.00% | 30.00% | 23.75% | 5.00% | 8.18% | 7.12% | 0.971 |
36 | 26.70% | 5.00% | 5.00% | 5.00% | 30.00% | 23.30% | 5.00% | 8.20% | 7.15% | 0.970 |
37 | 27.15% | 5.00% | 5.00% | 5.00% | 30.00% | 22.85% | 5.00% | 8.23% | 7.19% | 0.970 |
38 | 27.60% | 5.00% | 5.00% | 5.00% | 30.00% | 22.40% | 5.00% | 8.25% | 7.22% | 0.969 |
39 | 28.05% | 5.00% | 5.00% | 5.00% | 30.00% | 21.95% | 5.00% | 8.28% | 7.25% | 0.968 |
40 | 28.50% | 5.00% | 5.00% | 5.00% | 30.00% | 21.50% | 5.00% | 8.30% | 7.29% | 0.967 |
41 | 28.95% | 5.00% | 5.00% | 5.00% | 30.00% | 21.05% | 5.00% | 8.33% | 7.32% | 0.966 |
42 | 29.40% | 5.00% | 5.00% | 5.00% | 30.00% | 20.60% | 5.00% | 8.36% | 7.35% | 0.965 |
43 | 29.85% | 5.00% | 5.00% | 5.00% | 30.00% | 20.15% | 5.00% | 8.38% | 7.39% | 0.963 |
44 | 30.29% | 5.00% | 5.00% | 5.00% | 30.00% | 19.71% | 5.00% | 8.41% | 7.43% | 0.962 |
45 | 30.74% | 5.00% | 5.00% | 5.00% | 30.00% | 19.26% | 5.00% | 8.43% | 7.46% | 0.961 |
46 | 31.19% | 5.00% | 5.00% | 5.00% | 30.00% | 18.81% | 5.00% | 8.46% | 7.50% | 0.959 |
47 | 31.64% | 5.00% | 5.00% | 5.00% | 30.00% | 18.36% | 5.00% | 8.48% | 7.54% | 0.958 |
48 | 32.09% | 5.00% | 5.00% | 5.00% | 30.00% | 17.91% | 5.00% | 8.51% | 7.58% | 0.956 |
49 | 32.54% | 5.00% | 5.00% | 5.00% | 30.00% | 17.46% | 5.00% | 8.53% | 7.62% | 0.955 |
50 | 32.99% | 5.00% | 5.00% | 5.00% | 30.00% | 17.01% | 5.00% | 8.56% | 7.66% | 0.953 |
51 | 33.44% | 5.00% | 5.00% | 5.00% | 30.00% | 16.56% | 5.00% | 8.58% | 7.70% | 0.951 |
52 | 33.89% | 5.00% | 5.00% | 5.00% | 30.00% | 16.11% | 5.00% | 8.61% | 7.74% | 0.949 |
53 | 34.34% | 5.00% | 5.00% | 5.00% | 30.00% | 15.66% | 5.00% | 8.63% | 7.78% | 0.948 |
54 | 34.79% | 5.00% | 5.00% | 5.00% | 30.00% | 15.21% | 5.00% | 8.66% | 7.82% | 0.946 |
55 | 35.24% | 5.00% | 5.00% | 5.00% | 30.00% | 14.76% | 5.00% | 8.68% | 7.86% | 0.944 |
56 | 35.69% | 5.00% | 5.00% | 5.00% | 30.00% | 14.31% | 5.00% | 8.71% | 7.91% | 0.942 |
57 | 36.13% | 5.00% | 5.00% | 5.00% | 30.00% | 13.87% | 5.00% | 8.73% | 7.95% | 0.940 |
58 | 36.58% | 5.00% | 5.00% | 5.00% | 30.00% | 13.42% | 5.00% | 8.76% | 8.00% | 0.938 |
59 | 37.03% | 5.00% | 5.00% | 5.00% | 30.00% | 12.97% | 5.00% | 8.79% | 8.04% | 0.936 |
60 | 37.48% | 5.00% | 5.00% | 5.00% | 30.00% | 12.52% | 5.00% | 8.81% | 8.09% | 0.934 |
61 | 37.93% | 5.00% | 5.00% | 5.00% | 30.00% | 12.07% | 5.00% | 8.84% | 8.13% | 0.932 |
62 | 38.38% | 5.00% | 5.00% | 5.00% | 30.00% | 11.62% | 5.00% | 8.86% | 8.18% | 0.929 |
63 | 38.83% | 5.00% | 5.00% | 5.00% | 30.00% | 11.17% | 5.00% | 8.89% | 8.22% | 0.927 |
64 | 39.28% | 5.00% | 5.00% | 5.00% | 30.00% | 10.72% | 5.00% | 8.91% | 8.27% | 0.925 |
65 | 39.73% | 5.00% | 5.00% | 5.00% | 30.00% | 10.27% | 5.00% | 8.94% | 8.32% | 0.923 |
66 | 40.00% | 5.17% | 5.00% | 5.00% | 30.00% | 9.83% | 5.00% | 8.96% | 8.37% | 0.920 |
67 | 40.00% | 5.59% | 5.00% | 5.00% | 30.00% | 9.41% | 5.00% | 8.99% | 8.43% | 0.917 |
68 | 40.00% | 6.02% | 5.00% | 5.00% | 30.00% | 8.98% | 5.00% | 9.01% | 8.49% | 0.914 |
69 | 40.00% | 6.45% | 5.00% | 5.00% | 30.00% | 8.55% | 5.00% | 9.04% | 8.55% | 0.910 |
70 | 40.00% | 6.87% | 5.00% | 5.00% | 30.00% | 8.13% | 5.00% | 9.06% | 8.60% | 0.907 |
71 | 40.00% | 7.30% | 5.00% | 5.00% | 30.00% | 7.70% | 5.00% | 9.09% | 8.66% | 0.904 |
72 | 40.00% | 7.72% | 5.00% | 5.00% | 30.00% | 7.28% | 5.00% | 9.11% | 8.73% | 0.900 |
73 | 40.00% | 8.15% | 5.00% | 5.00% | 30.00% | 6.85% | 5.00% | 9.14% | 8.79% | 0.897 |
74 | 40.00% | 8.57% | 5.00% | 5.00% | 30.00% | 6.43% | 5.00% | 9.17% | 8.85% | 0.893 |
75 | 40.00% | 9.00% | 5.00% | 5.00% | 30.00% | 6.00% | 5.00% | 9.19% | 8.91% | 0.890 |
76 | 40.00% | 9.43% | 5.00% | 5.00% | 30.00% | 5.57% | 5.00% | 9.22% | 8.98% | 0.886 |
77 | 40.00% | 9.85% | 5.00% | 5.00% | 30.00% | 5.15% | 5.00% | 9.24% | 9.04% | 0.883 |
78 | 40.00% | 10.57% | 5.00% | 5.00% | 29.43% | 5.00% | 5.00% | 9.27% | 9.14% | 0.876 |
79 | 40.00% | 11.44% | 5.00% | 5.00% | 28.56% | 5.00% | 5.00% | 9.29% | 9.27% | 0.866 |
80 | 40.00% | 12.32% | 5.00% | 5.00% | 27.68% | 5.00% | 5.00% | 9.32% | 9.40% | 0.857 |
81 | 40.00% | 13.20% | 5.00% | 5.00% | 26.80% | 5.00% | 5.00% | 9.34% | 9.54% | 0.847 |
82 | 40.00% | 14.07% | 5.00% | 5.00% | 25.93% | 5.00% | 5.00% | 9.37% | 9.68% | 0.837 |
83 | 40.00% | 14.95% | 5.00% | 5.00% | 25.05% | 5.00% | 5.00% | 9.39% | 9.83% | 0.828 |
84 | 40.00% | 15.82% | 5.00% | 5.00% | 24.18% | 5.00% | 5.00% | 9.42% | 9.98% | 0.818 |
85 | 40.00% | 16.70% | 5.00% | 5.00% | 23.30% | 5.00% | 5.00% | 9.45% | 10.13% | 0.808 |
86 | 40.00% | 17.57% | 5.00% | 5.00% | 22.43% | 5.00% | 5.00% | 9.47% | 10.28% | 0.798 |
87 | 40.00% | 18.39% | 5.00% | 5.06% | 21.55% | 5.00% | 5.00% | 9.50% | 10.44% | 0.789 |
88 | 40.00% | 18.90% | 5.00% | 5.44% | 20.67% | 5.00% | 5.00% | 9.52% | 10.60% | 0.779 |
89 | 40.00% | 19.41% | 5.00% | 5.81% | 19.79% | 5.00% | 5.00% | 9.55% | 10.77% | 0.770 |
90 | 40.00% | 19.92% | 5.00% | 6.18% | 18.91% | 5.00% | 5.00% | 9.57% | 10.93% | 0.760 |
91 | 40.00% | 20.00% | 5.00% | 6.98% | 18.02% | 5.00% | 5.00% | 9.60% | 11.10% | 0.751 |
92 | 40.00% | 20.00% | 5.00% | 7.87% | 17.13% | 5.00% | 5.00% | 9.62% | 11.28% | 0.742 |
93 | 40.00% | 20.00% | 5.00% | 8.77% | 16.23% | 5.00% | 5.00% | 9.65% | 11.45% | 0.733 |
94 | 40.00% | 20.00% | 5.00% | 9.66% | 15.34% | 5.00% | 5.00% | 9.67% | 11.63% | 0.724 |
95 | 40.00% | 20.00% | 5.00% | 10.55% | 14.45% | 5.00% | 5.00% | 9.70% | 11.81% | 0.715 |
96 | 40.00% | 20.00% | 5.00% | 11.44% | 13.56% | 5.00% | 5.00% | 9.73% | 11.99% | 0.706 |
97 | 40.00% | 20.00% | 5.00% | 12.33% | 12.67% | 5.00% | 5.00% | 9.75% | 12.18% | 0.697 |
98 | 40.00% | 20.00% | 5.00% | 13.22% | 11.78% | 5.00% | 5.00% | 9.78% | 12.37% | 0.689 |
99 | 40.00% | 20.00% | 5.00% | 14.11% | 10.89% | 5.00% | 5.00% | 9.80% | 12.56% | 0.680 |
100 | 40.00% | 20.00% | 5.00% | 15.00% | 10.00% | 5.00% | 5.00% | 9.83% | 12.75% | 0.672 |
*Ex-ante values shown for portfolio return and volatility. Ex ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate (1.26% annualized). |
Year | Inflation | Maximum Sharpe Ratio Return | Maximum Sharpe Ratio Balance | SPDR 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) |
---|---|---|---|---|---|---|---|---|---|---|
2004 | 3.26% | 9.72% | $10,972 | 10.70% | 22.60% | 18.95% | 24.63% | 8.71% | 4.12% | 5.72% |
2005 | 3.42% | 6.98% | $11,738 | 4.83% | 6.00% | 13.32% | 32.62% | 8.61% | 2.64% | 1.16% |
2006 | 2.54% | 8.62% | $12,750 | 15.85% | 19.37% | 25.81% | 31.19% | 0.71% | 2.52% | 4.22% |
2007 | 4.08% | 9.25% | $13,930 | 5.14% | -5.56% | 9.94% | 33.31% | 10.29% | 10.37% | 3.73% |
2008 | 0.09% | -4.28% | $13,334 | -36.81% | -29.39% | -41.04% | -48.88% | 33.93% | 17.91% | 2.40% |
2009 | 2.72% | 3.34% | $13,779 | 26.36% | 22.36% | 26.95% | 68.93% | -21.80% | -6.59% | 8.46% |
2010 | 1.50% | 12.76% | $15,537 | 15.06% | 24.69% | 8.15% | 16.51% | 9.05% | 9.37% | 9.33% |
2011 | 2.96% | 12.98% | $17,554 | 1.89% | -1.65% | -12.25% | -18.82% | 33.96% | 15.64% | 9.73% |
2012 | 1.74% | 9.29% | $19,185 | 15.99% | 18.24% | 18.82% | 19.10% | 2.63% | 3.66% | 10.58% |
2013 | 1.50% | 3.71% | $19,896 | 32.31% | 39.34% | 21.40% | -3.69% | -13.37% | -6.09% | -2.00% |
2014 | 0.76% | 13.20% | $22,522 | 13.46% | 7.56% | -6.20% | -3.93% | 27.30% | 9.07% | 8.21% |
2015 | 0.73% | -0.58% | $22,391 | 1.25% | -6.90% | -1.00% | -16.18% | -1.79% | 1.51% | -1.25% |
2016 | 2.07% | 6.17% | $23,772 | 12.00% | 31.25% | 1.37% | 10.87% | 1.18% | 1.00% | 6.21% |
2017 | 2.11% | 12.11% | $26,651 | 21.70% | 11.35% | 25.10% | 37.28% | 9.18% | 2.55% | 7.06% |
2018 | 1.91% | -3.19% | $25,801 | -4.56% | -12.84% | -13.81% | -15.31% | -1.61% | 0.99% | -3.79% |
2019 | 2.29% | 18.00% | $30,445 | 31.22% | 24.12% | 22.03% | 18.20% | 14.12% | 8.03% | 17.37% |
2020 | 1.27% | 15.50% | $35,163 | 18.37% | 2.63% | 7.59% | 17.03% | 18.15% | 10.01% | 10.97% |
Year | Month | Maximum Sharpe Ratio Return | Maximum Sharpe Ratio Balance | SPDR 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) |
---|---|---|---|---|---|---|---|---|---|---|
2004 | 1 | 1.61% | $10,161 | 1.98% | 2.17% | 1.13% | 2.42% | 1.86% | 1.02% | 1.22% |
2004 | 2 | 1.92% | $10,356 | 1.36% | 2.50% | 2.30% | 3.95% | 2.28% | 1.61% | 1.51% |
2004 | 3 | 0.62% | $10,420 | -1.32% | 1.82% | 0.07% | 0.55% | 1.41% | 1.30% | 0.99% |
2004 | 4 | -4.44% | $9,957 | -1.89% | -3.93% | -3.39% | -9.80% | -6.23% | -4.35% | -3.89% |
2004 | 5 | 0.35% | $9,992 | 1.71% | 1.58% | 1.14% | 1.17% | -0.26% | -0.53% | -0.52% |
2004 | 6 | 1.40% | $10,132 | 1.85% | 5.35% | 3.35% | 0.92% | 1.06% | 0.65% | 0.13% |
2004 | 7 | -0.56% | $10,076 | -3.22% | -4.75% | -4.27% | -3.64% | 1.53% | 1.21% | 1.56% |
2004 | 8 | 2.40% | $10,318 | 0.24% | 0.24% | 1.19% | 3.53% | 4.17% | 2.83% | 3.08% |
2004 | 9 | 1.29% | $10,450 | 1.00% | 4.69% | 2.07% | 6.98% | 0.95% | 0.32% | 0.31% |
2004 | 10 | 1.49% | $10,606 | 1.29% | 0.95% | 3.50% | 2.85% | 1.77% | 0.99% | 1.18% |
2004 | 11 | 1.03% | $10,716 | 4.45% | 9.11% | 6.08% | 9.95% | -2.39% | -1.98% | -1.22% |
2004 | 12 | 2.39% | $10,972 | 3.02% | 1.57% | 4.80% | 4.74% | 2.66% | 1.17% | 1.39% |
2005 | 1 | 0.44% | $11,020 | -2.24% | -3.25% | -1.90% | -0.53% | 3.57% | 0.87% | 1.23% |
2005 | 2 | 0.47% | $11,073 | 2.09% | 2.90% | 3.78% | 9.68% | -1.47% | -1.37% | -0.94% |
2005 | 3 | -1.38% | $10,919 | -1.83% | -2.36% | -2.62% | -7.91% | -0.45% | -0.40% | -1.26% |
2005 | 4 | 1.00% | $11,029 | -1.87% | -5.12% | -1.62% | -1.25% | 3.86% | 2.52% | 1.62% |
2005 | 5 | 2.59% | $11,315 | 3.22% | 6.16% | -0.86% | 3.16% | 3.14% | 1.84% | 0.62% |
2005 | 6 | 1.27% | $11,459 | 0.15% | 3.92% | 1.43% | 3.97% | 2.16% | 0.48% | 1.22% |
2005 | 7 | 0.15% | $11,477 | 3.83% | 5.84% | 3.00% | 7.68% | -3.38% | -2.18% | -0.82% |
2005 | 8 | 1.53% | $11,652 | -0.94% | -1.87% | 3.84% | 1.32% | 3.48% | 2.00% | 1.50% |
2005 | 9 | -0.76% | $11,564 | 0.80% | 0.05% | 3.69% | 8.65% | -3.61% | -1.75% | -1.86% |
2005 | 10 | -2.25% | $11,304 | -2.37% | -3.41% | -3.18% | -6.34% | -2.24% | -1.24% | -1.58% |
2005 | 11 | 2.10% | $11,542 | 4.40% | 4.91% | 2.31% | 5.79% | 0.69% | 0.63% | 0.66% |
2005 | 12 | 1.70% | $11,738 | -0.19% | -1.06% | 5.18% | 6.10% | 2.98% | 1.37% | 0.86% |
2006 | 1 | 1.42% | $11,905 | 2.40% | 8.75% | 5.77% | 14.20% | -1.34% | -0.70% | -0.44% |
2006 | 2 | 0.22% | $11,931 | 0.57% | 0.27% | -0.70% | -3.85% | 1.11% | -0.10% | 0.68% |
2006 | 3 | -0.75% | $11,842 | 1.65% | 4.86% | 4.01% | 2.17% | -4.57% | -1.36% | -1.68% |
2006 | 4 | -0.05% | $11,836 | 1.26% | 0.18% | 4.79% | 6.52% | -2.75% | -0.63% | -0.20% |
2006 | 5 | -1.78% | $11,625 | -3.01% | -4.55% | -3.82% | -11.14% | -0.19% | -0.10% | -0.19% |
2006 | 6 | 0.45% | $11,677 | 0.26% | 0.04% | -0.06% | 0.21% | 1.18% | 0.23% | -0.09% |
2006 | 7 | 1.25% | $11,824 | 0.45% | -3.10% | 0.81% | 2.34% | 2.16% | 1.68% | 1.46% |
2006 | 8 | 2.30% | $12,096 | 2.18% | 2.70% | 2.55% | 1.58% | 3.06% | 1.76% | 2.22% |
2006 | 9 | 1.58% | $12,287 | 2.70% | 1.19% | 0.22% | -0.87% | 1.91% | 1.21% | 0.87% |
2006 | 10 | 2.00% | $12,532 | 3.15% | 5.52% | 3.75% | 7.06% | 0.85% | 0.54% | 1.00% |
2006 | 11 | 2.12% | $12,797 | 1.99% | 2.38% | 3.07% | 5.98% | 2.31% | 1.31% | 1.46% |
2006 | 12 | -0.37% | $12,750 | 1.34% | 0.32% | 3.20% | 5.44% | -2.69% | -1.28% | -0.90% |
2007 | 1 | 0.16% | $12,771 | 1.50% | 2.14% | 1.39% | 0.11% | -1.00% | -0.40% | 0.09% |
2007 | 2 | 0.93% | $12,889 | -1.96% | -0.92% | -0.12% | -3.24% | 3.39% | 2.06% | 2.00% |
2007 | 3 | 0.21% | $12,916 | 1.16% | 0.91% | 2.90% | 5.33% | -1.70% | -0.14% | -0.68% |
2007 | 4 | 1.98% | $13,173 | 4.43% | 1.84% | 3.75% | 3.73% | 0.90% | 0.61% | 0.89% |
2007 | 5 | 0.32% | $13,215 | 3.39% | 4.63% | 2.36% | 5.06% | -2.31% | -1.39% | -1.23% |
2007 | 6 | -0.74% | $13,118 | -1.46% | -2.24% | -0.32% | 3.68% | -1.01% | -0.47% | -0.81% |
2007 | 7 | 0.37% | $13,166 | -3.13% | -6.26% | -2.29% | 0.71% | 3.32% | 2.26% | -0.82% |
2007 | 8 | 1.66% | $13,384 | 1.28% | 1.33% | -0.63% | 1.04% | 1.79% | 2.26% | 2.38% |
2007 | 9 | 1.90% | $13,639 | 3.87% | 0.31% | 5.32% | 11.57% | 0.23% | 0.09% | 0.73% |
2007 | 10 | 2.03% | $13,916 | 1.36% | 1.06% | 4.25% | 11.87% | 1.81% | 1.08% | 0.97% |
2007 | 11 | 0.82% | $14,031 | -3.87% | -7.15% | -3.62% | -7.65% | 5.35% | 4.04% | 1.02% |
2007 | 12 | -0.72% | $13,930 | -1.13% | -0.71% | -2.99% | -1.43% | -0.64% | 0.05% | -0.81% |
2008 | 1 | -0.79% | $13,819 | -6.05% | -4.00% | -7.85% | -8.92% | 2.10% | 3.36% | 2.57% |
2008 | 2 | -0.52% | $13,748 | -2.58% | -3.36% | -1.02% | 1.99% | -0.46% | 1.24% | -0.71% |
2008 | 3 | 0.59% | $13,829 | -0.90% | 0.83% | 0.42% | -3.75% | 2.14% | 1.34% | -0.60% |
2008 | 4 | 0.68% | $13,924 | 4.77% | 2.64% | 5.44% | 9.14% | -2.48% | -2.41% | 1.25% |
2008 | 5 | -0.58% | $13,843 | 1.51% | 3.92% | 1.19% | 3.16% | -2.69% | -1.78% | -2.21% |
2008 | 6 | -2.34% | $13,520 | -8.35% | -8.41% | -8.80% | -9.29% | 2.65% | 1.14% | -1.29% |
2008 | 7 | -0.37% | $13,470 | -0.90% | 2.87% | -3.32% | -5.50% | -0.37% | 0.72% | 0.39% |
2008 | 8 | 1.26% | $13,639 | 1.55% | 4.76% | -4.25% | -6.32% | 2.74% | 1.53% | 0.15% |
2008 | 9 | -3.98% | $13,096 | -9.44% | -4.82% | -11.44% | -14.68% | 1.47% | -0.14% | -10.73% |
2008 | 10 | -8.09% | $12,037 | -16.52% | -19.86% | -20.83% | -25.58% | -1.86% | -0.87% | -1.95% |
2008 | 11 | 3.20% | $12,422 | -6.96% | -11.80% | -6.37% | -9.75% | 14.34% | 7.75% | 3.35% |
2008 | 12 | 7.34% | $13,334 | 0.98% | 6.57% | 8.88% | 10.35% | 13.64% | 5.15% | 13.80% |
2009 | 1 | -8.49% | $12,202 | -8.21% | -13.94% | -13.73% | -9.29% | -13.07% | -3.89% | -1.80% |
2009 | 2 | -4.92% | $11,601 | -10.74% | -13.03% | -10.39% | -6.27% | -1.54% | -0.74% | -5.20% |
2009 | 3 | 5.70% | $12,263 | 8.35% | 7.58% | 8.39% | 16.86% | 4.04% | 3.31% | 0.47% |
2009 | 4 | 2.15% | $12,527 | 9.93% | 18.89% | 11.52% | 15.56% | -6.95% | -2.75% | 2.78% |
2009 | 5 | 1.40% | $12,703 | 5.85% | 0.67% | 13.19% | 15.94% | -3.69% | -2.08% | 2.32% |
2009 | 6 | 0.05% | $12,710 | -0.07% | 1.52% | -1.43% | -2.25% | 0.76% | -0.55% | 2.89% |
2009 | 7 | 4.01% | $13,219 | 7.46% | 11.00% | 10.04% | 11.01% | 0.58% | 0.83% | 4.63% |
2009 | 8 | 2.09% | $13,496 | 3.69% | 3.48% | 4.50% | -1.31% | 2.24% | 0.77% | 1.31% |
2009 | 9 | 2.82% | $13,877 | 3.55% | 4.21% | 3.80% | 10.20% | 2.46% | 1.12% | 1.76% |
2009 | 10 | -1.81% | $13,626 | -1.92% | -6.07% | -2.52% | -3.44% | -2.62% | -0.14% | -0.49% |
2009 | 11 | 3.22% | $14,065 | 6.16% | 2.90% | 3.92% | 7.85% | 1.21% | 2.02% | 1.95% |
2009 | 12 | -2.03% | $13,779 | 1.91% | 8.10% | 0.70% | 3.27% | -6.34% | -4.40% | -2.07% |
2010 | 1 | -0.15% | $13,758 | -3.63% | -2.54% | -5.07% | -7.76% | 2.69% | 2.37% | 1.25% |
2010 | 2 | 1.12% | $13,912 | 3.12% | 4.76% | 0.27% | 1.78% | -0.34% | 0.33% | 0.51% |
2010 | 3 | 1.74% | $14,154 | 6.09% | 7.80% | 6.39% | 8.11% | -2.06% | -1.06% | 0.65% |
2010 | 4 | 2.01% | $14,439 | 1.55% | 6.63% | -2.80% | -0.17% | 3.32% | 1.65% | 1.91% |
2010 | 5 | -1.19% | $14,267 | -7.95% | -8.54% | -11.19% | -9.39% | 5.11% | 2.93% | -1.31% |
2010 | 6 | 0.78% | $14,378 | -5.17% | -8.27% | -2.07% | -1.40% | 5.80% | 3.05% | 3.28% |
2010 | 7 | 3.22% | $14,840 | 6.83% | 6.71% | 11.61% | 10.93% | -0.95% | 0.91% | 2.11% |
2010 | 8 | 1.54% | $15,068 | -4.50% | -7.91% | -3.80% | -3.24% | 8.40% | 3.36% | 2.86% |
2010 | 9 | 3.13% | $15,539 | 8.96% | 10.93% | 9.97% | 11.76% | -2.51% | -0.00% | 0.46% |
2010 | 10 | 0.26% | $15,580 | 3.82% | 4.04% | 3.81% | 3.02% | -4.47% | -0.01% | -0.26% |
2010 | 11 | -1.06% | $15,416 | 0.00% | 2.47% | -4.82% | -2.91% | -1.69% | -0.90% | -1.62% |
2010 | 12 | 0.79% | $15,537 | 6.68% | 8.97% | 8.30% | 7.27% | -3.68% | -3.43% | -0.75% |
2011 | 1 | -0.36% | $15,481 | 2.33% | -0.24% | 2.10% | -3.84% | -3.08% | -0.02% | 0.04% |
2011 | 2 | 1.64% | $15,735 | 3.47% | 4.21% | 3.55% | -0.04% | 1.65% | -0.21% | 1.08% |
2011 | 3 | 0.24% | $15,773 | 0.01% | 2.21% | -2.39% | 6.29% | 0.03% | -0.15% | -0.54% |
2011 | 4 | 2.45% | $16,159 | 2.90% | 1.06% | 5.63% | 2.73% | 2.34% | 1.84% | 2.50% |
2011 | 5 | 1.10% | $16,337 | -1.12% | -1.77% | -2.21% | -2.94% | 3.42% | 2.51% | 1.27% |
2011 | 6 | -1.39% | $16,110 | -1.69% | -1.59% | -1.19% | -0.93% | -2.33% | -0.51% | -0.80% |
2011 | 7 | 1.45% | $16,343 | -2.00% | -2.77% | -2.38% | -1.03% | 4.42% | 3.17% | 2.43% |
2011 | 8 | 1.34% | $16,562 | -5.50% | -7.98% | -8.75% | -9.25% | 9.66% | 4.65% | 0.34% |
2011 | 9 | 0.54% | $16,651 | -6.94% | -10.57% | -10.81% | -17.89% | 13.20% | 2.24% | 0.35% |
2011 | 10 | 3.39% | $17,216 | 10.91% | 15.34% | 9.63% | 16.27% | -3.84% | -1.29% | 2.51% |
2011 | 11 | 0.26% | $17,261 | -0.41% | 0.63% | -2.18% | -1.96% | 1.98% | 0.58% | -3.16% |
2011 | 12 | 1.70% | $17,554 | 1.04% | 2.02% | -2.21% | -4.30% | 3.44% | 1.99% | 3.49% |
2012 | 1 | 2.59% | $18,008 | 4.64% | 7.90% | 5.27% | 10.99% | -0.33% | 0.86% | 2.14% |
2012 | 2 | 0.69% | $18,134 | 4.34% | 1.71% | 4.83% | 5.27% | -2.59% | -1.10% | 1.63% |
2012 | 3 | -0.88% | $17,973 | 3.22% | 2.89% | 0.42% | -3.11% | -4.23% | -1.59% | -1.42% |
2012 | 4 | 1.63% | $18,266 | -0.67% | -1.91% | -2.08% | -1.70% | 4.83% | 2.51% | 1.08% |
2012 | 5 | 0.39% | $18,337 | -6.01% | -7.18% | -11.14% | -10.71% | 9.03% | 2.87% | 0.76% |
2012 | 6 | 1.28% | $18,572 | 4.05% | 4.54% | 7.11% | 5.08% | -1.68% | -0.42% | 0.87% |
2012 | 7 | 1.85% | $18,914 | 1.18% | -0.69% | 0.08% | -0.03% | 3.82% | 1.40% | 3.48% |
2012 | 8 | 0.60% | $19,027 | 2.51% | 4.08% | 3.20% | 0.41% | -1.32% | -0.12% | -0.05% |
2012 | 9 | 0.44% | $19,111 | 2.54% | 3.14% | 2.71% | 5.22% | -2.53% | -0.35% | 1.10% |
2012 | 10 | -0.68% | $18,982 | -1.82% | -1.96% | 1.09% | -0.44% | -0.48% | -0.40% | 1.35% |
2012 | 11 | 1.07% | $19,185 | 0.57% | 1.65% | 2.78% | 1.56% | 1.38% | 0.98% | -0.42% |
2012 | 12 | -0.00% | $19,185 | 0.90% | 3.55% | 4.37% | 6.80% | -2.49% | -0.94% | -0.33% |
2013 | 1 | 0.37% | $19,255 | 5.12% | 5.35% | 3.73% | -0.29% | -3.19% | -1.29% | -1.30% |
2013 | 2 | 0.93% | $19,433 | 1.28% | 1.63% | -1.29% | -2.28% | 1.24% | 1.13% | 1.08% |
2013 | 3 | 1.10% | $19,646 | 3.80% | 4.11% | 1.31% | -1.02% | -0.42% | 0.29% | -0.05% |
2013 | 4 | 2.57% | $20,151 | 1.92% | 0.12% | 5.02% | 1.22% | 4.68% | 1.52% | 2.17% |
2013 | 5 | -2.48% | $19,651 | 2.36% | 4.29% | -3.02% | -4.83% | -6.76% | -3.11% | -3.22% |
2013 | 6 | -2.51% | $19,157 | -1.34% | -0.14% | -2.70% | -5.35% | -3.27% | -2.55% | -3.27% |
2013 | 7 | 1.25% | $19,396 | 5.17% | 6.56% | 5.32% | 1.32% | -2.26% | -0.35% | 1.11% |
2013 | 8 | -1.94% | $19,020 | -3.00% | -3.41% | -1.96% | -2.54% | -1.34% | -1.42% | -1.00% |
2013 | 9 | 2.60% | $19,515 | 3.17% | 6.59% | 7.82% | 7.21% | 0.66% | 1.85% | 0.74% |
2013 | 10 | 2.35% | $19,972 | 4.63% | 3.48% | 3.26% | 4.17% | 1.43% | 0.78% | 1.81% |
2013 | 11 | -0.05% | $19,963 | 2.96% | 4.25% | 0.55% | -0.26% | -2.70% | -0.88% | -0.14% |
2013 | 12 | -0.34% | $19,896 | 2.59% | 1.29% | 2.16% | -0.42% | -1.87% | -2.09% | 0.22% |
2014 | 1 | 0.96% | $20,087 | -3.52% | -3.51% | -5.20% | -8.64% | 6.30% | 3.06% | 1.88% |
2014 | 2 | 2.09% | $20,507 | 4.55% | 4.63% | 6.13% | 3.38% | 0.52% | 0.36% | 1.14% |
2014 | 3 | 0.46% | $20,601 | 0.83% | 1.34% | -0.46% | 3.88% | 0.73% | -0.56% | -0.03% |
2014 | 4 | 1.02% | $20,810 | 0.70% | -2.29% | 1.67% | 0.78% | 2.10% | 0.76% | 1.33% |
2014 | 5 | 2.21% | $21,270 | 2.32% | 0.62% | 1.60% | 2.95% | 2.95% | 1.82% | 1.51% |
2014 | 6 | 0.72% | $21,423 | 2.06% | 3.85% | 0.92% | 2.40% | -0.25% | -0.22% | 0.01% |
2014 | 7 | -0.54% | $21,307 | -1.34% | -5.07% | -2.60% | 1.36% | 0.67% | -0.22% | -0.32% |
2014 | 8 | 3.22% | $21,992 | 3.95% | 4.46% | 0.18% | 2.83% | 4.72% | 1.88% | 2.00% |
2014 | 9 | -2.16% | $21,517 | -1.38% | -5.94% | -3.88% | -7.77% | -2.11% | -1.05% | -1.68% |
2014 | 10 | 2.23% | $21,998 | 2.36% | 7.13% | -0.27% | 1.42% | 2.81% | 1.53% | 1.23% |
2014 | 11 | 1.81% | $22,397 | 2.75% | 0.48% | 0.06% | -1.54% | 2.97% | 1.29% | 0.91% |
2014 | 12 | 0.56% | $22,522 | -0.26% | 2.56% | -4.00% | -3.99% | 3.25% | 0.13% | -0.02% |
2015 | 1 | 3.08% | $23,216 | -2.96% | -5.32% | 0.62% | -0.69% | 9.82% | 4.30% | 3.75% |
2015 | 2 | -0.26% | $23,156 | 5.62% | 5.86% | 6.34% | 4.41% | -6.14% | -2.47% | -1.42% |
2015 | 3 | 0.09% | $23,176 | -1.57% | 1.03% | -1.43% | -1.50% | 1.10% | 0.86% | 0.20% |
2015 | 4 | -0.48% | $23,064 | 0.98% | -1.82% | 3.65% | 6.85% | -3.43% | -0.63% | -1.19% |
2015 | 5 | -0.65% | $22,913 | 1.29% | 0.75% | 0.20% | -4.10% | -2.37% | -0.42% | -1.12% |
2015 | 6 | -2.42% | $22,360 | -2.03% | 0.42% | -3.12% | -2.93% | -4.07% | -1.63% | -1.88% |
2015 | 7 | 1.88% | $22,780 | 2.26% | -2.70% | 2.03% | -6.31% | 4.55% | 1.52% | 0.83% |
2015 | 8 | -2.69% | $22,167 | -6.10% | -4.62% | -7.43% | -8.84% | -0.69% | 0.08% | -0.83% |
2015 | 9 | -0.12% | $22,139 | -2.54% | -3.77% | -4.42% | -3.13% | 1.97% | 1.58% | 1.19% |
2015 | 10 | 2.73% | $22,744 | 8.51% | 6.57% | 6.61% | 6.38% | -0.41% | -0.64% | 0.57% |
2015 | 11 | -0.32% | $22,672 | 0.37% | 2.47% | -0.75% | -2.52% | -0.87% | -0.43% | -0.15% |
2015 | 12 | -1.24% | $22,391 | -1.72% | -5.08% | -2.34% | -3.83% | -0.30% | -0.45% | -1.08% |
2016 | 1 | 0.46% | $22,495 | -4.98% | -5.85% | -5.52% | -5.03% | 5.57% | 3.33% | 0.12% |
2016 | 2 | 1.19% | $22,761 | -0.08% | 2.08% | -3.33% | -0.82% | 3.09% | 1.49% | 1.05% |
2016 | 3 | 3.19% | $23,486 | 6.72% | 9.41% | 6.58% | 12.96% | -0.09% | -0.06% | 3.62% |
2016 | 4 | 0.17% | $23,526 | 0.39% | 2.13% | 2.22% | 0.41% | -0.74% | -0.16% | 1.55% |
2016 | 5 | 0.39% | $23,619 | 1.70% | 0.44% | -0.09% | -3.69% | 0.81% | -0.10% | -0.51% |
2016 | 6 | 3.13% | $24,359 | 0.35% | 0.83% | -2.42% | 4.56% | 6.93% | 3.09% | 3.09% |
2016 | 7 | 2.28% | $24,914 | 3.65% | 5.06% | 3.98% | 5.38% | 2.10% | 0.25% | 1.29% |
2016 | 8 | -0.40% | $24,813 | 0.12% | 1.13% | 0.53% | 0.88% | -1.01% | -1.01% | 0.18% |
2016 | 9 | -0.10% | $24,788 | 0.01% | 0.87% | 1.34% | 2.52% | -1.51% | 0.24% | -0.32% |
2016 | 10 | -2.43% | $24,186 | -1.73% | -3.74% | -2.22% | -0.83% | -4.38% | -1.49% | -1.53% |
2016 | 11 | -2.35% | $23,618 | 3.68% | 13.34% | -1.78% | -4.42% | -8.21% | -4.23% | -3.17% |
2016 | 12 | 0.65% | $23,772 | 2.03% | 3.20% | 2.71% | -0.25% | -0.46% | -0.12% | 0.84% |
2017 | 1 | 1.15% | $24,045 | 1.79% | -1.21% | 3.29% | 6.66% | 0.81% | 0.22% | 0.15% |
2017 | 2 | 1.85% | $24,490 | 3.93% | 1.35% | 1.19% | 1.74% | 1.59% | 0.72% | 1.32% |
2017 | 3 | 0.18% | $24,534 | 0.13% | -0.65% | 3.23% | 3.69% | -0.65% | 0.08% | -0.29% |
2017 | 4 | 1.27% | $24,846 | 0.99% | 0.51% | 2.42% | 1.70% | 1.57% | 1.11% | 1.19% |
2017 | 5 | 1.35% | $25,182 | 1.41% | -2.26% | 3.54% | 2.85% | 1.89% | 0.83% | 1.33% |
2017 | 6 | 0.44% | $25,293 | 0.64% | 2.96% | 0.31% | 0.93% | 0.79% | -0.51% | 0.48% |
2017 | 7 | 0.93% | $25,528 | 2.06% | 0.75% | 2.65% | 5.82% | -0.66% | 0.38% | 0.77% |
2017 | 8 | 1.41% | $25,889 | 0.29% | -2.72% | -0.04% | 2.35% | 3.41% | 1.46% | 0.68% |
2017 | 9 | -0.02% | $25,884 | 2.01% | 8.58% | 2.36% | -0.04% | -2.32% | -1.44% | -0.05% |
2017 | 10 | 0.78% | $26,086 | 2.36% | 0.59% | 1.68% | 3.28% | -0.04% | -0.19% | 0.19% |
2017 | 11 | 1.04% | $26,356 | 3.06% | 3.76% | 0.69% | -0.39% | 0.74% | -0.28% | -0.12% |
2017 | 12 | 1.12% | $26,651 | 1.21% | -0.37% | 1.35% | 3.77% | 1.81% | 0.18% | 1.22% |
2018 | 1 | 0.51% | $26,787 | 5.64% | 1.33% | 5.02% | 8.30% | -3.26% | -2.15% | -1.23% |
2018 | 2 | -2.79% | $26,039 | -3.64% | -4.04% | -4.83% | -5.90% | -3.04% | -0.93% | -2.24% |
2018 | 3 | 0.53% | $26,176 | -2.74% | 1.37% | -0.84% | 0.54% | 2.86% | 1.16% | 0.56% |
2018 | 4 | -0.86% | $25,950 | 0.52% | 1.76% | 1.52% | -2.82% | -2.09% | -1.28% | -1.57% |
2018 | 5 | 1.49% | $26,338 | 2.43% | 5.87% | -1.89% | -2.62% | 2.01% | 0.99% | 0.52% |
2018 | 6 | 0.08% | $26,358 | 0.58% | 0.80% | -1.57% | -4.54% | 0.65% | 0.20% | -0.49% |
2018 | 7 | 0.86% | $26,585 | 3.70% | 2.62% | 2.85% | 3.53% | -1.44% | -0.53% | 1.34% |
2018 | 8 | 1.27% | $26,922 | 3.19% | 3.14% | -2.24% | -3.77% | 1.31% | 1.01% | 0.02% |
2018 | 9 | -1.11% | $26,623 | 0.59% | -3.05% | 0.97% | -0.58% | -2.86% | -1.20% | -0.14% |
2018 | 10 | -3.95% | $25,572 | -6.91% | -9.94% | -8.13% | -8.76% | -2.93% | -0.30% | -2.05% |
2018 | 11 | 1.59% | $25,978 | 1.85% | 0.57% | 0.50% | 4.90% | 1.79% | 1.33% | -0.36% |
2018 | 12 | -0.68% | $25,801 | -8.79% | -12.38% | -5.35% | -3.50% | 5.85% | 2.80% | 1.86% |
2019 | 1 | 3.83% | $26,789 | 8.01% | 12.26% | 6.63% | 10.34% | 0.38% | 0.65% | 3.37% |
2019 | 2 | 0.50% | $26,922 | 3.24% | 4.13% | 2.54% | -1.53% | -1.38% | -0.52% | -0.20% |
2019 | 3 | 2.74% | $27,661 | 1.81% | -3.91% | 0.92% | 1.13% | 5.57% | 2.66% | 2.93% |
2019 | 4 | 0.80% | $27,881 | 4.09% | 4.32% | 2.93% | 2.35% | -1.99% | -0.52% | 0.44% |
2019 | 5 | 0.16% | $27,925 | -6.38% | -9.98% | -5.03% | -7.33% | 6.84% | 3.05% | 1.65% |
2019 | 6 | 3.42% | $28,880 | 6.96% | 7.66% | 5.91% | 6.20% | 0.95% | 1.22% | 3.25% |
2019 | 7 | 0.29% | $28,963 | 1.51% | 1.30% | -1.95% | -2.66% | 0.26% | 0.04% | 0.25% |
2019 | 8 | 3.34% | $29,929 | -1.67% | -5.14% | -1.92% | -3.78% | 11.04% | 3.95% | 3.88% |
2019 | 9 | -0.11% | $29,896 | 1.95% | 5.57% | 3.16% | 1.69% | -2.68% | -1.19% | -0.76% |
2019 | 10 | 0.79% | $30,132 | 2.21% | 2.00% | 3.39% | 4.18% | -1.11% | 0.19% | 0.44% |
2019 | 11 | 0.76% | $30,361 | 3.62% | 2.71% | 1.13% | -0.09% | -0.41% | -0.69% | 0.47% |
2019 | 12 | 0.28% | $30,445 | 2.90% | 2.84% | 2.98% | 7.71% | -3.20% | -0.93% | 0.53% |
2020 | 1 | 2.41% | $31,177 | -0.04% | -6.31% | -2.82% | -6.15% | 7.69% | 3.47% | 2.45% |
2020 | 2 | -0.29% | $31,088 | -7.92% | -10.15% | -7.77% | -3.78% | 6.63% | 2.96% | 1.09% |
2020 | 3 | -3.27% | $30,071 | -12.46% | -25.76% | -14.11% | -15.77% | 6.38% | 3.72% | -6.31% |
2020 | 4 | 5.02% | $31,580 | 12.70% | 13.89% | 5.82% | 7.35% | 1.22% | 0.27% | 4.85% |
2020 | 5 | 1.44% | $32,035 | 4.76% | 2.55% | 5.43% | 2.97% | -1.76% | 0.33% | 2.46% |
2020 | 6 | 1.31% | $32,456 | 1.78% | 3.58% | 3.51% | 6.61% | 0.34% | 0.04% | 2.13% |
2020 | 7 | 3.61% | $33,629 | 5.89% | 2.58% | 1.94% | 8.25% | 4.44% | 0.85% | 3.10% |
2020 | 8 | 0.59% | $33,827 | 6.98% | 5.07% | 4.72% | 2.89% | -5.05% | -0.97% | -1.78% |
2020 | 9 | -1.02% | $33,481 | -3.74% | -5.18% | -2.05% | -1.01% | 0.77% | 0.33% | -0.44% |
2020 | 10 | -1.85% | $32,863 | -2.49% | 3.66% | -3.55% | 1.41% | -3.39% | -1.38% | -0.51% |
2020 | 11 | 5.44% | $34,650 | 10.88% | 19.21% | 14.27% | 8.99% | 1.66% | 0.34% | 3.77% |
2020 | 12 | 1.48% | $35,163 | 3.71% | 7.50% | 5.01% | 7.14% | -1.23% | -0.24% | 0.15% |
Metric | Maximum Sharpe Ratio |
---|---|
Arithmetic Mean (monthly) | 0.64% |
Arithmetic Mean (annualized) | 7.93% |
Geometric Mean (monthly) | 0.62% |
Geometric Mean (annualized) | 7.68% |
Volatility (monthly) | 1.97% |
Volatility (annualized) | 6.83% |
Downside Deviation (monthly) | 1.25% |
Max. Drawdown | -17.31% |
US Market Correlation | 0.64 |
Beta(*) | 0.29 |
Alpha (annualized) | 4.54% |
R2 | 41.53% |
Sharpe Ratio | 0.93 |
Sortino Ratio | 1.44 |
Treynor Ratio (%) | 21.79 |
Calmar Ratio | 1.93 |
Active Return | -2.20% |
Tracking Error | 11.81% |
Information Ratio | -0.19 |
Skewness | -0.89 |
Excess Kurtosis | 4.13 |
Historical Value-at-Risk (5%) | -2.47% |
Analytical Value-at-Risk (5%) | -2.60% |
Conditional Value-at-Risk (5%) | -4.33% |
Upside Capture Ratio (%) | 37.82 |
Downside Capture Ratio (%) | 18.74 |
Safe Withdrawal Rate | 8.65% |
Perpetual Withdrawal Rate | 5.23% |
Positive Periods | 144 out of 204 (70.59%) |
Gain/Loss Ratio | 1.00 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Maximum Sharpe Ratio |
---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -17.31% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Dec 2007 | Feb 2009 | 1 year 3 months | Nov 2009 | 9 months | 2 years | -17.31% |
2 | May 2013 | Aug 2013 | 4 months | Feb 2014 | 6 months | 10 months | -5.61% |
3 | Aug 2016 | Nov 2016 | 4 months | May 2017 | 6 months | 10 months | -5.20% |
4 | Sep 2018 | Oct 2018 | 2 months | Feb 2019 | 4 months | 6 months | -5.02% |
5 | Feb 2015 | Sep 2015 | 8 months | Mar 2016 | 6 months | 1 year 2 months | -4.64% |
6 | Apr 2004 | Apr 2004 | 1 month | Sep 2004 | 5 months | 6 months | -4.44% |
7 | Feb 2020 | Mar 2020 | 2 months | Apr 2020 | 1 month | 3 months | -3.55% |
8 | Feb 2018 | Apr 2018 | 3 months | Aug 2018 | 4 months | 7 months | -3.12% |
9 | Sep 2005 | Oct 2005 | 2 months | Dec 2005 | 2 months | 4 months | -2.99% |
10 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -2.85% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | 9.55% | 14.39% | 32.31% | -36.81% | -50.80% | 0.62 | 0.91 | 1.00 |
IJS | iShares S&P Small-Cap 600 Value ETF | 8.74% | 20.21% | 39.34% | -29.39% | -54.13% | 0.46 | 0.66 | 0.91 |
EFA | iShares MSCI EAFE ETF | 5.65% | 17.05% | 26.95% | -41.04% | -57.38% | 0.34 | 0.48 | 0.88 |
EEM | iShares MSCI Emerging Markets ETF | 8.32% | 21.94% | 68.93% | -48.88% | -60.44% | 0.42 | 0.63 | 0.78 |
TLT | iShares 20+ Year Treasury Bond ETF | 7.22% | 12.98% | 33.96% | -21.80% | -21.80% | 0.51 | 0.88 | -0.32 |
IEF | iShares 7-10 Year Treasury Bond ETF | 4.91% | 6.10% | 17.91% | -6.59% | -7.60% | 0.61 | 1.05 | -0.31 |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 5.64% | 7.20% | 17.37% | -3.79% | -15.11% | 0.62 | 1.00 | 0.33 |
Ticker | Name | SPY | IJS | EFA | EEM | TLT | IEF | LQD | Maximum Sharpe Ratio |
---|---|---|---|---|---|---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | 1.00 | 0.89 | 0.88 | 0.78 | -0.31 | -0.30 | 0.33 | 0.65 |
IJS | iShares S&P Small-Cap 600 Value ETF | 0.89 | 1.00 | 0.78 | 0.70 | -0.35 | -0.36 | 0.26 | 0.54 |
EFA | iShares MSCI EAFE ETF | 0.88 | 0.78 | 1.00 | 0.87 | -0.25 | -0.23 | 0.40 | 0.66 |
EEM | iShares MSCI Emerging Markets ETF | 0.78 | 0.70 | 0.87 | 1.00 | -0.23 | -0.19 | 0.37 | 0.62 |
TLT | iShares 20+ Year Treasury Bond ETF | -0.31 | -0.35 | -0.25 | -0.23 | 1.00 | 0.91 | 0.50 | 0.49 |
IEF | iShares 7-10 Year Treasury Bond ETF | -0.30 | -0.36 | -0.23 | -0.19 | 0.91 | 1.00 | 0.51 | 0.48 |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 0.33 | 0.26 | 0.40 | 0.37 | 0.50 | 0.51 | 1.00 | 0.75 |
Ticker | Name | Maximum Sharpe Ratio |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 32.43% |
IJS | iShares S&P Small-Cap 600 Value ETF | 8.03% |
EFA | iShares MSCI EAFE ETF | 8.20% |
EEM | iShares MSCI Emerging Markets ETF | 9.90% |
TLT | iShares 20+ Year Treasury Bond ETF | 24.59% |
IEF | iShares 7-10 Year Treasury Bond ETF | 12.90% |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 3.95% |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 7.65% | 19.91% | -15.61% |
3 years | 7.09% | 16.05% | -0.93% |
5 years | 7.04% | 12.07% | 2.30% |
7 years | 7.42% | 10.11% | 5.66% |
10 years | 7.42% | 8.78% | 6.32% |
15 years | 7.16% | 7.60% | 6.52% |