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.
Ticker | Name | Allocation |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 32.66% |
IJS | iShares S&P Small-Cap 600 Value ETF | 5.00% |
EFA | iShares MSCI EAFE ETF | 5.00% |
EEM | iShares MSCI Emerging Markets ETF | 5.00% |
TLT | iShares 20+ Year Treasury Bond ETF | 17.34% |
IEF | iShares 7-10 Year Treasury Bond ETF | 30.00% |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 5.00% |
Save portfolio » |
Metric | Maximum Sharpe Ratio |
---|---|
Start Balance | $10,000 |
End Balance | $33,614 |
Annualized Return (CAGR) | 6.44% |
Expected Return | 6.59% |
Standard Deviation | 8.13% |
Best Year | 19.43% |
Worst Year | -18.94% |
Maximum Drawdown | -22.99% |
Sharpe Ratio (ex-ante) | 0.65 |
Sharpe Ratio (ex-post) | 0.65 |
Sortino Ratio | 0.95 |
Stock Market Correlation | 0.83 |
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Maximum Sharpe Ratio | 2.77% | 5.32% | -2.04% | 1.37% | 4.48% | 5.64% | 6.44% | 11.88% | 10.63% |
Trailing return and volatility are as of last full calendar month ending May 2023 |
# | Asset | Group | Expected Return | Standard Deviation | Sharpe Ratio | Min. Weight | Max. Weight |
---|---|---|---|---|---|---|---|
1 | SPDR S&P 500 ETF Trust (SPY) | Equity | 9.87% | 14.81% | 0.579 | 5.00% | 40.00% |
2 | iShares S&P Small-Cap 600 Value ETF (IJS) | Equity | 10.04% | 20.33% | 0.430 | 5.00% | 20.00% |
3 | iShares MSCI EAFE ETF (EFA) | Equity | 6.44% | 17.10% | 0.301 | 5.00% | 30.00% |
4 | iShares MSCI Emerging Markets ETF (EEM) | Equity | 7.99% | 21.49% | 0.312 | 5.00% | 15.00% |
5 | iShares 20+ Year Treasury Bond ETF (TLT) | Fixed Income | 5.03% | 13.42% | 0.279 | 5.00% | 30.00% |
6 | iShares 7-10 Year Treasury Bond ETF (IEF) | Fixed Income | 3.55% | 6.48% | 0.348 | 5.00% | 30.00% |
7 | iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD) | Fixed Income | 4.18% | 7.84% | 0.368 | 5.00% | 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 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 | 0.86 | 0.88 | 0.74 | -0.17 | -0.14 | 0.41 |
iShares S&P Small-Cap 600 Value ETF | IJS | 0.86 | 1.00 | 0.77 | 0.68 | -0.27 | -0.25 | 0.29 |
iShares MSCI EAFE ETF | EFA | 0.88 | 0.77 | 1.00 | 0.86 | -0.12 | -0.08 | 0.47 |
iShares MSCI Emerging Markets ETF | EEM | 0.74 | 0.68 | 0.86 | 1.00 | -0.11 | -0.07 | 0.42 |
iShares 20+ Year Treasury Bond ETF | TLT | -0.17 | -0.27 | -0.12 | -0.11 | 1.00 | 0.92 | 0.58 |
iShares 7-10 Year Treasury Bond ETF | IEF | -0.14 | -0.25 | -0.08 | -0.07 | 0.92 | 1.00 | 0.61 |
iShares iBoxx $ Invmt Grade Corp Bd ETF | LQD | 0.41 | 0.29 | 0.47 | 0.42 | 0.58 | 0.61 | 1.00 |
Based on monthly returns from Jan 2004 to May 2023 |
# | SPY | IJS | EFA | EEM | TLT | IEF | LQD | Expected Return * | Standard Deviation * | Sharpe Ratio * |
---|---|---|---|---|---|---|---|---|---|---|
1 | 13.43% | 5.00% | 5.00% | 5.00% | 21.57% | 30.00% | 20.00% | 5.53% | 7.32% | 0.579 |
2 | 14.02% | 5.00% | 5.00% | 5.00% | 20.98% | 30.00% | 20.00% | 5.56% | 7.33% | 0.583 |
3 | 14.61% | 5.00% | 5.00% | 5.00% | 20.39% | 30.00% | 20.00% | 5.59% | 7.33% | 0.586 |
4 | 15.20% | 5.00% | 5.00% | 5.00% | 19.80% | 30.00% | 20.00% | 5.62% | 7.33% | 0.590 |
5 | 15.79% | 5.00% | 5.00% | 5.00% | 19.21% | 30.00% | 20.00% | 5.65% | 7.34% | 0.593 |
6 | 16.38% | 5.00% | 5.00% | 5.00% | 18.62% | 30.00% | 20.00% | 5.68% | 7.35% | 0.596 |
7 | 16.98% | 5.00% | 5.00% | 5.00% | 18.02% | 30.00% | 20.00% | 5.71% | 7.36% | 0.599 |
8 | 17.57% | 5.00% | 5.00% | 5.00% | 17.43% | 30.00% | 20.00% | 5.73% | 7.38% | 0.602 |
9 | 18.16% | 5.00% | 5.00% | 5.00% | 16.84% | 30.00% | 20.00% | 5.76% | 7.40% | 0.604 |
10 | 18.63% | 5.00% | 5.00% | 5.00% | 17.07% | 30.00% | 19.30% | 5.79% | 7.41% | 0.607 |
11 | 19.07% | 5.00% | 5.00% | 5.00% | 17.44% | 30.00% | 18.48% | 5.82% | 7.43% | 0.609 |
12 | 19.52% | 5.00% | 5.00% | 5.00% | 17.81% | 30.00% | 17.67% | 5.85% | 7.45% | 0.611 |
13 | 19.97% | 5.00% | 5.00% | 5.00% | 18.18% | 30.00% | 16.85% | 5.88% | 7.47% | 0.614 |
14 | 20.41% | 5.00% | 5.00% | 5.00% | 18.55% | 30.00% | 16.03% | 5.91% | 7.49% | 0.616 |
15 | 20.86% | 5.00% | 5.00% | 5.00% | 18.92% | 30.00% | 15.22% | 5.93% | 7.51% | 0.618 |
16 | 21.31% | 5.00% | 5.00% | 5.00% | 19.29% | 30.00% | 14.40% | 5.96% | 7.53% | 0.620 |
17 | 21.75% | 5.00% | 5.00% | 5.00% | 19.66% | 30.00% | 13.58% | 5.99% | 7.55% | 0.622 |
18 | 22.20% | 5.00% | 5.00% | 5.00% | 20.03% | 30.00% | 12.77% | 6.02% | 7.57% | 0.625 |
19 | 22.65% | 5.00% | 5.00% | 5.00% | 20.40% | 30.00% | 11.95% | 6.05% | 7.59% | 0.627 |
20 | 23.09% | 5.00% | 5.00% | 5.00% | 20.78% | 30.00% | 11.13% | 6.08% | 7.61% | 0.629 |
21 | 23.54% | 5.00% | 5.00% | 5.00% | 21.15% | 30.00% | 10.31% | 6.11% | 7.63% | 0.631 |
22 | 23.99% | 5.00% | 5.00% | 5.00% | 21.52% | 30.00% | 9.50% | 6.13% | 7.65% | 0.633 |
23 | 24.43% | 5.00% | 5.00% | 5.00% | 21.89% | 30.00% | 8.68% | 6.16% | 7.68% | 0.634 |
24 | 24.88% | 5.00% | 5.00% | 5.00% | 22.26% | 30.00% | 7.86% | 6.19% | 7.70% | 0.636 |
25 | 25.33% | 5.00% | 5.00% | 5.00% | 22.63% | 30.00% | 7.05% | 6.22% | 7.72% | 0.638 |
26 | 25.77% | 5.00% | 5.00% | 5.00% | 23.00% | 30.00% | 6.23% | 6.25% | 7.74% | 0.640 |
27 | 26.22% | 5.00% | 5.00% | 5.00% | 23.37% | 30.00% | 5.41% | 6.28% | 7.77% | 0.642 |
28 | 26.74% | 5.00% | 5.00% | 5.00% | 23.26% | 30.00% | 5.00% | 6.31% | 7.79% | 0.644 |
29 | 27.33% | 5.00% | 5.00% | 5.00% | 22.67% | 30.00% | 5.00% | 6.33% | 7.82% | 0.645 |
30 | 27.92% | 5.00% | 5.00% | 5.00% | 22.08% | 30.00% | 5.00% | 6.36% | 7.84% | 0.646 |
31 | 28.51% | 5.00% | 5.00% | 5.00% | 21.49% | 30.00% | 5.00% | 6.39% | 7.87% | 0.648 |
32 | 29.10% | 5.00% | 5.00% | 5.00% | 20.90% | 30.00% | 5.00% | 6.42% | 7.90% | 0.649 |
33 | 29.70% | 5.00% | 5.00% | 5.00% | 20.30% | 30.00% | 5.00% | 6.45% | 7.94% | 0.650 |
34 | 30.29% | 5.00% | 5.00% | 5.00% | 19.71% | 30.00% | 5.00% | 6.48% | 7.97% | 0.650 |
35 | 30.88% | 5.00% | 5.00% | 5.00% | 19.12% | 30.00% | 5.00% | 6.51% | 8.01% | 0.651 |
36 | 31.47% | 5.00% | 5.00% | 5.00% | 18.53% | 30.00% | 5.00% | 6.53% | 8.05% | 0.651 |
37 | 32.06% | 5.00% | 5.00% | 5.00% | 17.94% | 30.00% | 5.00% | 6.56% | 8.09% | 0.652 |
38 | 32.66% | 5.00% | 5.00% | 5.00% | 17.34% | 30.00% | 5.00% | 6.59% | 8.13% | 0.652 |
39 | 33.19% | 5.00% | 5.00% | 5.00% | 17.00% | 29.81% | 5.00% | 6.62% | 8.18% | 0.652 |
40 | 33.52% | 5.00% | 5.00% | 5.00% | 17.54% | 28.95% | 5.00% | 6.65% | 8.22% | 0.652 |
41 | 33.84% | 5.00% | 5.00% | 5.00% | 18.07% | 28.09% | 5.00% | 6.68% | 8.26% | 0.652 |
42 | 34.17% | 5.00% | 5.00% | 5.00% | 18.61% | 27.22% | 5.00% | 6.71% | 8.31% | 0.651 |
43 | 34.50% | 5.00% | 5.00% | 5.00% | 19.14% | 26.36% | 5.00% | 6.74% | 8.36% | 0.651 |
44 | 34.82% | 5.00% | 5.00% | 5.00% | 19.68% | 25.50% | 5.00% | 6.76% | 8.40% | 0.651 |
45 | 35.15% | 5.00% | 5.00% | 5.00% | 20.21% | 24.64% | 5.00% | 6.79% | 8.45% | 0.651 |
46 | 35.48% | 5.00% | 5.00% | 5.00% | 20.74% | 23.78% | 5.00% | 6.82% | 8.49% | 0.651 |
47 | 35.80% | 5.00% | 5.00% | 5.00% | 21.28% | 22.92% | 5.00% | 6.85% | 8.54% | 0.651 |
48 | 36.13% | 5.00% | 5.00% | 5.00% | 21.81% | 22.06% | 5.00% | 6.88% | 8.58% | 0.651 |
49 | 36.46% | 5.00% | 5.00% | 5.00% | 22.35% | 21.20% | 5.00% | 6.91% | 8.63% | 0.651 |
50 | 36.78% | 5.00% | 5.00% | 5.00% | 22.88% | 20.33% | 5.00% | 6.94% | 8.67% | 0.651 |
51 | 37.11% | 5.00% | 5.00% | 5.00% | 23.42% | 19.47% | 5.00% | 6.96% | 8.72% | 0.650 |
52 | 37.44% | 5.00% | 5.00% | 5.00% | 23.95% | 18.61% | 5.00% | 6.99% | 8.77% | 0.650 |
53 | 37.76% | 5.00% | 5.00% | 5.00% | 24.49% | 17.75% | 5.00% | 7.02% | 8.81% | 0.650 |
54 | 38.09% | 5.00% | 5.00% | 5.00% | 25.02% | 16.89% | 5.00% | 7.05% | 8.86% | 0.650 |
55 | 38.42% | 5.00% | 5.00% | 5.00% | 25.56% | 16.03% | 5.00% | 7.08% | 8.90% | 0.650 |
56 | 38.74% | 5.00% | 5.00% | 5.00% | 26.09% | 15.17% | 5.00% | 7.11% | 8.95% | 0.650 |
57 | 39.07% | 5.00% | 5.00% | 5.00% | 26.62% | 14.30% | 5.00% | 7.14% | 9.00% | 0.649 |
58 | 39.40% | 5.00% | 5.00% | 5.00% | 27.16% | 13.44% | 5.00% | 7.16% | 9.04% | 0.649 |
59 | 39.72% | 5.00% | 5.00% | 5.00% | 27.69% | 12.58% | 5.00% | 7.19% | 9.09% | 0.649 |
60 | 40.00% | 5.00% | 5.00% | 5.00% | 28.45% | 11.55% | 5.00% | 7.22% | 9.14% | 0.649 |
61 | 40.00% | 5.09% | 5.00% | 5.00% | 30.00% | 9.91% | 5.00% | 7.25% | 9.18% | 0.649 |
62 | 40.00% | 5.53% | 5.00% | 5.00% | 30.00% | 9.47% | 5.00% | 7.28% | 9.24% | 0.648 |
63 | 40.00% | 5.97% | 5.00% | 5.00% | 30.00% | 9.03% | 5.00% | 7.31% | 9.29% | 0.647 |
64 | 40.00% | 6.41% | 5.00% | 5.00% | 30.00% | 8.59% | 5.00% | 7.34% | 9.34% | 0.647 |
65 | 40.00% | 6.85% | 5.00% | 5.00% | 30.00% | 8.15% | 5.00% | 7.36% | 9.40% | 0.646 |
66 | 40.00% | 7.29% | 5.00% | 5.00% | 30.00% | 7.71% | 5.00% | 7.39% | 9.45% | 0.645 |
67 | 40.00% | 7.73% | 5.00% | 5.00% | 30.00% | 7.27% | 5.00% | 7.42% | 9.51% | 0.644 |
68 | 40.00% | 8.17% | 5.00% | 5.00% | 30.00% | 6.83% | 5.00% | 7.45% | 9.57% | 0.644 |
69 | 40.00% | 8.61% | 5.00% | 5.00% | 30.00% | 6.39% | 5.00% | 7.48% | 9.62% | 0.643 |
70 | 40.00% | 9.05% | 5.00% | 5.00% | 30.00% | 5.95% | 5.00% | 7.51% | 9.68% | 0.642 |
71 | 40.00% | 9.49% | 5.00% | 5.00% | 30.00% | 5.51% | 5.00% | 7.54% | 9.74% | 0.641 |
72 | 40.00% | 9.93% | 5.00% | 5.00% | 30.00% | 5.07% | 5.00% | 7.56% | 9.80% | 0.640 |
73 | 40.00% | 10.48% | 5.00% | 5.00% | 29.52% | 5.00% | 5.00% | 7.59% | 9.87% | 0.638 |
74 | 40.00% | 11.06% | 5.00% | 5.00% | 28.94% | 5.00% | 5.00% | 7.62% | 9.94% | 0.637 |
75 | 40.00% | 11.63% | 5.00% | 5.00% | 28.37% | 5.00% | 5.00% | 7.65% | 10.01% | 0.635 |
76 | 40.00% | 12.20% | 5.00% | 5.00% | 27.80% | 5.00% | 5.00% | 7.68% | 10.08% | 0.633 |
77 | 40.00% | 12.77% | 5.00% | 5.00% | 27.23% | 5.00% | 5.00% | 7.71% | 10.16% | 0.632 |
78 | 40.00% | 13.34% | 5.00% | 5.00% | 26.66% | 5.00% | 5.00% | 7.74% | 10.23% | 0.630 |
79 | 40.00% | 13.91% | 5.00% | 5.00% | 26.09% | 5.00% | 5.00% | 7.76% | 10.31% | 0.628 |
80 | 40.00% | 14.49% | 5.00% | 5.00% | 25.51% | 5.00% | 5.00% | 7.79% | 10.39% | 0.625 |
81 | 40.00% | 15.06% | 5.00% | 5.00% | 24.94% | 5.00% | 5.00% | 7.82% | 10.48% | 0.623 |
82 | 40.00% | 15.63% | 5.00% | 5.00% | 24.37% | 5.00% | 5.00% | 7.85% | 10.56% | 0.621 |
83 | 40.00% | 16.20% | 5.00% | 5.00% | 23.80% | 5.00% | 5.00% | 7.88% | 10.64% | 0.619 |
84 | 40.00% | 16.77% | 5.00% | 5.00% | 23.23% | 5.00% | 5.00% | 7.91% | 10.73% | 0.616 |
85 | 40.00% | 17.34% | 5.00% | 5.00% | 22.66% | 5.00% | 5.00% | 7.94% | 10.82% | 0.614 |
86 | 40.00% | 17.91% | 5.00% | 5.00% | 22.09% | 5.00% | 5.00% | 7.96% | 10.91% | 0.612 |
87 | 40.00% | 18.49% | 5.00% | 5.00% | 21.51% | 5.00% | 5.00% | 7.99% | 11.00% | 0.609 |
88 | 40.00% | 19.06% | 5.00% | 5.00% | 20.94% | 5.00% | 5.00% | 8.02% | 11.09% | 0.607 |
89 | 40.00% | 19.63% | 5.00% | 5.00% | 20.37% | 5.00% | 5.00% | 8.05% | 11.19% | 0.604 |
90 | 40.00% | 20.00% | 5.00% | 5.34% | 19.66% | 5.00% | 5.00% | 8.08% | 11.30% | 0.600 |
91 | 40.00% | 20.00% | 5.00% | 6.31% | 18.69% | 5.00% | 5.00% | 8.11% | 11.46% | 0.595 |
92 | 40.00% | 20.00% | 5.00% | 7.27% | 17.73% | 5.00% | 5.00% | 8.14% | 11.62% | 0.589 |
93 | 40.00% | 20.00% | 5.00% | 8.24% | 16.76% | 5.00% | 5.00% | 8.17% | 11.78% | 0.583 |
94 | 40.00% | 20.00% | 5.00% | 9.20% | 15.80% | 5.00% | 5.00% | 8.19% | 11.95% | 0.578 |
95 | 40.00% | 20.00% | 5.00% | 10.17% | 14.83% | 5.00% | 5.00% | 8.22% | 12.12% | 0.572 |
96 | 40.00% | 20.00% | 5.00% | 11.14% | 13.86% | 5.00% | 5.00% | 8.25% | 12.29% | 0.566 |
97 | 40.00% | 20.00% | 5.00% | 12.10% | 12.90% | 5.00% | 5.00% | 8.28% | 12.46% | 0.561 |
98 | 40.00% | 20.00% | 5.00% | 13.07% | 11.93% | 5.00% | 5.00% | 8.31% | 12.64% | 0.555 |
99 | 40.00% | 20.00% | 5.00% | 14.03% | 10.97% | 5.00% | 5.00% | 8.34% | 12.82% | 0.549 |
100 | 40.00% | 20.00% | 5.00% | 15.00% | 10.00% | 5.00% | 5.00% | 8.37% | 13.01% | 0.544 |
*Annualized ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate. |
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% | 9.89% | $10,989 | 10.70% | 22.60% | 18.95% | 24.63% | 8.71% | 4.12% | 5.72% |
2005 | 3.42% | 6.63% | $11,719 | 4.83% | 6.00% | 13.32% | 32.62% | 8.61% | 2.64% | 1.16% |
2006 | 2.54% | 9.96% | $12,886 | 15.85% | 19.37% | 25.81% | 31.19% | 0.71% | 2.52% | 4.22% |
2007 | 4.08% | 8.79% | $14,019 | 5.14% | -5.56% | 9.94% | 33.31% | 10.29% | 10.37% | 3.73% |
2008 | 0.09% | -10.46% | $12,552 | -36.81% | -29.39% | -41.04% | -48.88% | 33.93% | 17.91% | 2.40% |
2009 | 2.72% | 7.80% | $13,531 | 26.36% | 22.36% | 26.95% | 68.93% | -21.80% | -6.59% | 8.46% |
2010 | 1.50% | 13.27% | $15,326 | 15.06% | 24.69% | 8.15% | 16.51% | 9.05% | 9.37% | 9.33% |
2011 | 2.96% | 10.17% | $16,885 | 1.89% | -1.65% | -12.25% | -18.82% | 33.96% | 15.64% | 9.73% |
2012 | 1.74% | 10.44% | $18,648 | 15.99% | 18.24% | 18.82% | 19.10% | 2.63% | 3.66% | 10.58% |
2013 | 1.50% | 7.68% | $20,080 | 32.31% | 39.34% | 21.40% | -3.69% | -13.37% | -6.09% | -2.00% |
2014 | 0.76% | 12.03% | $22,495 | 13.46% | 7.56% | -6.20% | -3.93% | 27.30% | 9.07% | 8.21% |
2015 | 0.73% | -0.33% | $22,422 | 1.25% | -6.90% | -1.00% | -16.18% | -1.79% | 1.51% | -1.25% |
2016 | 2.07% | 7.11% | $24,016 | 12.00% | 31.25% | 1.37% | 10.87% | 1.18% | 1.00% | 6.21% |
2017 | 2.11% | 13.19% | $27,184 | 21.70% | 11.35% | 25.10% | 37.28% | 9.18% | 2.55% | 7.06% |
2018 | 1.91% | -3.44% | $26,249 | -4.56% | -12.84% | -13.81% | -15.31% | -1.61% | 0.99% | -3.79% |
2019 | 2.29% | 19.43% | $31,350 | 31.22% | 24.12% | 22.03% | 18.20% | 14.12% | 8.03% | 17.37% |
2020 | 1.36% | 15.49% | $36,206 | 18.37% | 2.63% | 7.59% | 17.03% | 18.15% | 10.01% | 10.97% |
2021 | 7.04% | 8.74% | $39,371 | 28.74% | 30.53% | 11.46% | -3.61% | -4.60% | -3.33% | -1.85% |
2022 | 6.45% | -18.94% | $31,915 | -18.17% | -11.33% | -14.35% | -20.56% | -31.24% | -15.19% | -17.93% |
2023 | 2.21% | 5.32% | $33,614 | 9.68% | -3.26% | 7.66% | 0.77% | 4.23% | 3.26% | 3.43% |
Annual return for 2023 is from 01/01/2023 to 05/31/2023 |
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 | 1.62% | $10,162 | 1.98% | 2.17% | 1.13% | 2.42% | 1.86% | 1.02% | 1.22% |
2004 | 2 | 1.84% | $10,349 | 1.36% | 2.50% | 2.30% | 3.95% | 2.28% | 1.61% | 1.51% |
2004 | 3 | 0.37% | $10,387 | -1.32% | 1.82% | 0.07% | 0.55% | 1.41% | 1.30% | 0.99% |
2004 | 4 | -4.05% | $9,966 | -1.89% | -3.93% | -3.39% | -9.80% | -6.23% | -4.35% | -3.89% |
2004 | 5 | 0.52% | $10,018 | 1.71% | 1.58% | 1.14% | 1.17% | -0.26% | -0.53% | -0.52% |
2004 | 6 | 1.47% | $10,166 | 1.85% | 5.35% | 3.35% | 0.92% | 1.06% | 0.65% | 0.13% |
2004 | 7 | -0.98% | $10,066 | -3.22% | -4.75% | -4.27% | -3.64% | 1.53% | 1.21% | 1.56% |
2004 | 8 | 2.05% | $10,273 | 0.24% | 0.24% | 1.19% | 3.53% | 4.17% | 2.83% | 3.08% |
2004 | 9 | 1.29% | $10,406 | 1.00% | 4.69% | 2.07% | 6.98% | 0.95% | 0.32% | 0.31% |
2004 | 10 | 1.45% | $10,556 | 1.29% | 0.95% | 3.50% | 2.85% | 1.77% | 0.99% | 1.18% |
2004 | 11 | 1.64% | $10,730 | 4.45% | 9.11% | 6.08% | 9.95% | -2.39% | -1.98% | -1.22% |
2004 | 12 | 2.42% | $10,989 | 3.02% | 1.57% | 4.80% | 4.74% | 2.66% | 1.17% | 1.39% |
2005 | 1 | -0.07% | $10,981 | -2.24% | -3.25% | -1.90% | -0.53% | 3.57% | 0.87% | 1.23% |
2005 | 2 | 0.79% | $11,068 | 2.09% | 2.90% | 3.78% | 9.68% | -1.47% | -1.37% | -0.94% |
2005 | 3 | -1.50% | $10,901 | -1.83% | -2.36% | -2.62% | -7.91% | -0.45% | -0.40% | -1.26% |
2005 | 4 | 0.49% | $10,955 | -1.87% | -5.12% | -1.62% | -1.25% | 3.86% | 2.52% | 1.62% |
2005 | 5 | 2.60% | $11,240 | 3.22% | 6.16% | -0.86% | 3.16% | 3.14% | 1.84% | 0.62% |
2005 | 6 | 1.09% | $11,363 | 0.15% | 3.92% | 1.43% | 3.97% | 2.16% | 0.48% | 1.22% |
2005 | 7 | 0.79% | $11,453 | 3.83% | 5.84% | 3.00% | 7.68% | -3.38% | -2.18% | -0.82% |
2005 | 8 | 1.14% | $11,584 | -0.94% | -1.87% | 3.84% | 1.32% | 3.48% | 2.00% | 1.50% |
2005 | 9 | -0.36% | $11,541 | 0.80% | 0.05% | 3.69% | 8.65% | -3.61% | -1.75% | -1.86% |
2005 | 10 | -2.26% | $11,281 | -2.37% | -3.41% | -3.18% | -6.34% | -2.24% | -1.24% | -1.58% |
2005 | 11 | 2.43% | $11,554 | 4.40% | 4.91% | 2.31% | 5.79% | 0.69% | 0.63% | 0.66% |
2005 | 12 | 1.42% | $11,719 | -0.19% | -1.06% | 5.18% | 6.10% | 2.98% | 1.37% | 0.86% |
2006 | 1 | 1.76% | $11,924 | 2.40% | 8.75% | 5.77% | 14.20% | -1.34% | -0.70% | -0.44% |
2006 | 2 | 0.17% | $11,944 | 0.57% | 0.27% | -0.70% | -3.85% | 1.11% | -0.10% | 0.68% |
2006 | 3 | -0.19% | $11,921 | 1.65% | 4.86% | 4.01% | 2.17% | -4.57% | -1.36% | -1.68% |
2006 | 4 | 0.31% | $11,958 | 1.26% | 0.18% | 4.79% | 6.52% | -2.75% | -0.63% | -0.20% |
2006 | 5 | -2.03% | $11,715 | -3.01% | -4.55% | -3.82% | -11.14% | -0.19% | -0.10% | -0.19% |
2006 | 6 | 0.36% | $11,758 | 0.26% | 0.04% | -0.06% | 0.21% | 1.18% | 0.23% | -0.09% |
2006 | 7 | 1.10% | $11,887 | 0.45% | -3.10% | 0.81% | 2.34% | 2.16% | 1.68% | 1.46% |
2006 | 8 | 2.22% | $12,152 | 2.18% | 2.70% | 2.55% | 1.58% | 3.06% | 1.76% | 2.22% |
2006 | 9 | 1.65% | $12,352 | 2.70% | 1.19% | 0.22% | -0.87% | 1.91% | 1.21% | 0.87% |
2006 | 10 | 2.20% | $12,624 | 3.15% | 5.52% | 3.75% | 7.06% | 0.85% | 0.54% | 1.00% |
2006 | 11 | 2.09% | $12,888 | 1.99% | 2.38% | 3.07% | 5.98% | 2.31% | 1.31% | 1.46% |
2006 | 12 | -0.01% | $12,886 | 1.34% | 0.32% | 3.20% | 5.44% | -2.69% | -1.28% | -0.90% |
2007 | 1 | 0.39% | $12,936 | 1.50% | 2.14% | 1.39% | 0.11% | -1.00% | -0.40% | 0.09% |
2007 | 2 | 0.45% | $12,994 | -1.96% | -0.92% | -0.12% | -3.24% | 3.39% | 2.06% | 2.00% |
2007 | 3 | 0.47% | $13,055 | 1.16% | 0.91% | 2.90% | 5.33% | -1.70% | -0.14% | -0.68% |
2007 | 4 | 2.30% | $13,354 | 4.43% | 1.84% | 3.75% | 3.73% | 0.90% | 0.61% | 0.89% |
2007 | 5 | 0.83% | $13,465 | 3.39% | 4.63% | 2.36% | 5.06% | -2.31% | -1.39% | -1.23% |
2007 | 6 | -0.78% | $13,360 | -1.46% | -2.24% | -0.32% | 3.68% | -1.01% | -0.47% | -0.81% |
2007 | 7 | -0.20% | $13,333 | -3.13% | -6.26% | -2.29% | 0.71% | 3.32% | 2.26% | -0.82% |
2007 | 8 | 1.61% | $13,548 | 1.28% | 1.33% | -0.63% | 1.04% | 1.79% | 2.26% | 2.38% |
2007 | 9 | 2.23% | $13,850 | 3.87% | 0.31% | 5.32% | 11.57% | 0.23% | 0.09% | 0.73% |
2007 | 10 | 1.99% | $14,126 | 1.36% | 1.06% | 4.25% | 11.87% | 1.81% | 1.08% | 0.97% |
2007 | 11 | 0.01% | $14,126 | -3.87% | -7.15% | -3.62% | -7.65% | 5.35% | 4.04% | 1.02% |
2007 | 12 | -0.76% | $14,019 | -1.13% | -0.71% | -2.99% | -1.43% | -0.64% | 0.05% | -0.81% |
2008 | 1 | -1.51% | $13,806 | -6.05% | -4.00% | -7.85% | -8.92% | 2.10% | 3.36% | 2.57% |
2008 | 2 | -0.71% | $13,709 | -2.58% | -3.36% | -1.02% | 1.99% | -0.46% | 1.24% | -0.71% |
2008 | 3 | 0.32% | $13,753 | -0.90% | 0.83% | 0.42% | -3.75% | 2.14% | 1.34% | -0.60% |
2008 | 4 | 1.33% | $13,935 | 4.77% | 2.64% | 5.44% | 9.14% | -2.48% | -2.41% | 1.25% |
2008 | 5 | -0.20% | $13,907 | 1.51% | 3.92% | 1.19% | 3.16% | -2.69% | -1.78% | -2.21% |
2008 | 6 | -3.31% | $13,446 | -8.35% | -8.41% | -8.80% | -9.29% | 2.65% | 1.14% | -1.29% |
2008 | 7 | -0.42% | $13,390 | -0.90% | 2.87% | -3.32% | -5.50% | -0.37% | 0.72% | 0.39% |
2008 | 8 | 1.15% | $13,544 | 1.55% | 4.76% | -4.25% | -6.32% | 2.74% | 1.53% | 0.15% |
2008 | 9 | -4.95% | $12,874 | -9.44% | -4.82% | -11.44% | -14.68% | 1.47% | -0.14% | -10.73% |
2008 | 10 | -9.39% | $11,665 | -16.52% | -19.86% | -20.83% | -25.58% | -1.86% | -0.87% | -1.95% |
2008 | 11 | 1.31% | $11,818 | -6.96% | -11.80% | -6.37% | -9.75% | 14.34% | 7.75% | 3.35% |
2008 | 12 | 6.21% | $12,552 | 0.98% | 6.57% | 8.88% | 10.35% | 13.64% | 5.15% | 13.80% |
2009 | 1 | -8.05% | $11,541 | -8.21% | -13.94% | -13.73% | -9.29% | -13.07% | -3.89% | -1.80% |
2009 | 2 | -5.74% | $10,879 | -10.74% | -13.03% | -10.39% | -6.27% | -1.54% | -0.74% | -5.20% |
2009 | 3 | 6.09% | $11,541 | 8.35% | 7.58% | 8.39% | 16.86% | 4.04% | 3.31% | 0.47% |
2009 | 4 | 3.65% | $11,962 | 9.93% | 18.89% | 11.52% | 15.56% | -6.95% | -2.75% | 2.78% |
2009 | 5 | 2.25% | $12,232 | 5.85% | 0.67% | 13.19% | 15.94% | -3.69% | -2.08% | 2.32% |
2009 | 6 | -0.02% | $12,229 | -0.07% | 1.52% | -1.43% | -2.25% | 0.76% | -0.55% | 2.89% |
2009 | 7 | 4.62% | $12,794 | 7.46% | 11.00% | 10.04% | 11.01% | 0.58% | 0.83% | 4.63% |
2009 | 8 | 2.22% | $13,079 | 3.69% | 3.48% | 4.50% | -1.31% | 2.24% | 0.77% | 1.31% |
2009 | 9 | 2.92% | $13,460 | 3.55% | 4.21% | 3.80% | 10.20% | 2.46% | 1.12% | 1.76% |
2009 | 10 | -1.75% | $13,225 | -1.92% | -6.07% | -2.52% | -3.44% | -2.62% | -0.14% | -0.49% |
2009 | 11 | 3.66% | $13,709 | 6.16% | 2.90% | 3.92% | 7.85% | 1.21% | 2.02% | 1.95% |
2009 | 12 | -1.30% | $13,531 | 1.91% | 8.10% | 0.70% | 3.27% | -6.34% | -4.40% | -2.07% |
2010 | 1 | -0.71% | $13,434 | -3.63% | -2.54% | -5.07% | -7.76% | 2.69% | 2.37% | 1.25% |
2010 | 2 | 1.43% | $13,626 | 3.12% | 4.76% | 0.27% | 1.78% | -0.34% | 0.33% | 0.51% |
2010 | 3 | 2.46% | $13,961 | 6.09% | 7.80% | 6.39% | 8.11% | -2.06% | -1.06% | 0.65% |
2010 | 4 | 1.86% | $14,220 | 1.55% | 6.63% | -2.80% | -0.17% | 3.32% | 1.65% | 1.91% |
2010 | 5 | -2.35% | $13,886 | -7.95% | -8.54% | -11.19% | -9.39% | 5.11% | 2.93% | -1.31% |
2010 | 6 | -0.19% | $13,859 | -5.17% | -8.27% | -2.07% | -1.40% | 5.80% | 3.05% | 3.28% |
2010 | 7 | 3.91% | $14,401 | 6.83% | 6.71% | 11.61% | 10.93% | -0.95% | 0.91% | 2.11% |
2010 | 8 | 0.39% | $14,457 | -4.50% | -7.91% | -3.80% | -3.24% | 8.40% | 3.36% | 2.86% |
2010 | 9 | 4.14% | $15,056 | 8.96% | 10.93% | 9.97% | 11.76% | -2.51% | -0.00% | 0.46% |
2010 | 10 | 1.00% | $15,207 | 3.82% | 4.04% | 3.81% | 3.02% | -4.47% | -0.01% | -0.26% |
2010 | 11 | -0.91% | $15,069 | 0.00% | 2.47% | -4.82% | -2.91% | -1.69% | -0.90% | -1.62% |
2010 | 12 | 1.71% | $15,326 | 6.68% | 8.97% | 8.30% | 7.27% | -3.68% | -3.43% | -0.75% |
2011 | 1 | 0.12% | $15,345 | 2.33% | -0.24% | 2.10% | -3.84% | -3.08% | -0.02% | 0.04% |
2011 | 2 | 1.80% | $15,621 | 3.47% | 4.21% | 3.55% | -0.04% | 1.65% | -0.21% | 1.08% |
2011 | 3 | 0.24% | $15,658 | 0.01% | 2.21% | -2.39% | 6.29% | 0.03% | -0.15% | -0.54% |
2011 | 4 | 2.50% | $16,049 | 2.90% | 1.06% | 5.63% | 2.73% | 2.34% | 1.84% | 2.50% |
2011 | 5 | 0.70% | $16,161 | -1.12% | -1.77% | -2.21% | -2.94% | 3.42% | 2.51% | 1.27% |
2011 | 6 | -1.33% | $15,946 | -1.69% | -1.59% | -1.19% | -0.93% | -2.33% | -0.51% | -0.80% |
2011 | 7 | 0.88% | $16,086 | -2.00% | -2.77% | -2.38% | -1.03% | 4.42% | 3.17% | 2.43% |
2011 | 8 | -0.01% | $16,085 | -5.50% | -7.98% | -8.75% | -9.25% | 9.66% | 4.65% | 0.34% |
2011 | 9 | -1.25% | $15,883 | -6.94% | -10.57% | -10.81% | -17.89% | 13.20% | 2.24% | 0.35% |
2011 | 10 | 4.70% | $16,629 | 10.91% | 15.34% | 9.63% | 16.27% | -3.84% | -1.29% | 2.51% |
2011 | 11 | 0.05% | $16,638 | -0.41% | 0.63% | -2.18% | -1.96% | 1.98% | 0.58% | -3.16% |
2011 | 12 | 1.48% | $16,885 | 1.04% | 2.02% | -2.21% | -4.30% | 3.44% | 1.99% | 3.49% |
2012 | 1 | 3.03% | $17,396 | 4.64% | 7.90% | 5.27% | 10.99% | -0.33% | 0.86% | 2.14% |
2012 | 2 | 1.31% | $17,624 | 4.34% | 1.71% | 4.83% | 5.27% | -2.59% | -1.10% | 1.63% |
2012 | 3 | -0.22% | $17,585 | 3.22% | 2.89% | 0.42% | -3.11% | -4.23% | -1.59% | -1.42% |
2012 | 4 | 1.14% | $17,786 | -0.67% | -1.91% | -2.08% | -1.70% | 4.83% | 2.51% | 1.08% |
2012 | 5 | -0.95% | $17,618 | -6.01% | -7.18% | -11.14% | -10.71% | 9.03% | 2.87% | 0.76% |
2012 | 6 | 1.79% | $17,932 | 4.05% | 4.54% | 7.11% | 5.08% | -1.68% | -0.42% | 0.87% |
2012 | 7 | 1.61% | $18,221 | 1.18% | -0.69% | 0.08% | -0.03% | 3.82% | 1.40% | 3.48% |
2012 | 8 | 0.94% | $18,392 | 2.51% | 4.08% | 3.20% | 0.41% | -1.32% | -0.12% | -0.05% |
2012 | 9 | 0.89% | $18,556 | 2.54% | 3.14% | 2.71% | 5.22% | -2.53% | -0.35% | 1.10% |
2012 | 10 | -0.80% | $18,408 | -1.82% | -1.96% | 1.09% | -0.44% | -0.48% | -0.40% | 1.35% |
2012 | 11 | 1.00% | $18,592 | 0.57% | 1.65% | 2.78% | 1.56% | 1.38% | 0.98% | -0.42% |
2012 | 12 | 0.30% | $18,648 | 0.90% | 3.55% | 4.37% | 6.80% | -2.49% | -0.94% | -0.33% |
2013 | 1 | 1.11% | $18,854 | 5.12% | 5.35% | 3.73% | -0.29% | -3.19% | -1.29% | -1.30% |
2013 | 2 | 0.93% | $19,029 | 1.28% | 1.63% | -1.29% | -2.28% | 1.24% | 1.13% | 1.08% |
2013 | 3 | 1.47% | $19,309 | 3.80% | 4.11% | 1.31% | -1.02% | -0.42% | 0.29% | -0.05% |
2013 | 4 | 2.32% | $19,757 | 1.92% | 0.12% | 5.02% | 1.22% | 4.68% | 1.52% | 2.17% |
2013 | 5 | -1.67% | $19,427 | 2.36% | 4.29% | -3.02% | -4.83% | -6.76% | -3.11% | -3.22% |
2013 | 6 | -2.34% | $18,972 | -1.34% | -0.14% | -2.70% | -5.35% | -3.27% | -2.55% | -3.27% |
2013 | 7 | 1.91% | $19,334 | 5.17% | 6.56% | 5.32% | 1.32% | -2.26% | -0.35% | 1.11% |
2013 | 8 | -2.08% | $18,931 | -3.00% | -3.41% | -1.96% | -2.54% | -1.34% | -1.42% | -1.00% |
2013 | 9 | 2.82% | $19,465 | 3.17% | 6.59% | 7.82% | 7.21% | 0.66% | 1.85% | 0.74% |
2013 | 10 | 2.63% | $19,977 | 4.63% | 3.48% | 3.26% | 4.17% | 1.43% | 0.78% | 1.81% |
2013 | 11 | 0.46% | $20,068 | 2.96% | 4.25% | 0.55% | -0.26% | -2.70% | -0.88% | -0.14% |
2013 | 12 | 0.06% | $20,080 | 2.59% | 1.29% | 2.16% | -0.42% | -1.87% | -2.09% | 0.22% |
2014 | 1 | 0.09% | $20,097 | -3.52% | -3.51% | -5.20% | -8.64% | 6.30% | 3.06% | 1.88% |
2014 | 2 | 2.45% | $20,589 | 4.55% | 4.63% | 6.13% | 3.38% | 0.52% | 0.36% | 1.14% |
2014 | 3 | 0.47% | $20,685 | 0.83% | 1.34% | -0.46% | 3.88% | 0.73% | -0.56% | -0.03% |
2014 | 4 | 0.89% | $20,870 | 0.70% | -2.29% | 1.67% | 0.78% | 2.10% | 0.76% | 1.33% |
2014 | 5 | 2.15% | $21,319 | 2.32% | 0.62% | 1.60% | 2.95% | 2.95% | 1.82% | 1.51% |
2014 | 6 | 0.92% | $21,516 | 2.06% | 3.85% | 0.92% | 2.40% | -0.25% | -0.22% | 0.01% |
2014 | 7 | -0.72% | $21,361 | -1.34% | -5.07% | -2.60% | 1.36% | 0.67% | -0.22% | -0.32% |
2014 | 8 | 3.15% | $22,033 | 3.95% | 4.46% | 0.18% | 2.83% | 4.72% | 1.88% | 2.00% |
2014 | 9 | -2.09% | $21,571 | -1.38% | -5.94% | -3.88% | -7.77% | -2.11% | -1.05% | -1.68% |
2014 | 10 | 2.19% | $22,044 | 2.36% | 7.13% | -0.27% | 1.42% | 2.81% | 1.53% | 1.23% |
2014 | 11 | 1.79% | $22,440 | 2.75% | 0.48% | 0.06% | -1.54% | 2.97% | 1.29% | 0.91% |
2014 | 12 | 0.25% | $22,495 | -0.26% | 2.56% | -4.00% | -3.99% | 3.25% | 0.13% | -0.02% |
2015 | 1 | 1.94% | $22,933 | -2.96% | -5.32% | 0.62% | -0.69% | 9.82% | 4.30% | 3.75% |
2015 | 2 | 0.79% | $23,113 | 5.62% | 5.86% | 6.34% | 4.41% | -6.14% | -2.47% | -1.42% |
2015 | 3 | -0.15% | $23,078 | -1.57% | 1.03% | -1.43% | -1.50% | 1.10% | 0.86% | 0.20% |
2015 | 4 | -0.09% | $23,058 | 0.98% | -1.82% | 3.65% | 6.85% | -3.43% | -0.63% | -1.19% |
2015 | 5 | -0.33% | $22,982 | 1.29% | 0.75% | 0.20% | -4.10% | -2.37% | -0.42% | -1.12% |
2015 | 6 | -2.23% | $22,469 | -2.03% | 0.42% | -3.12% | -2.93% | -4.07% | -1.63% | -1.88% |
2015 | 7 | 1.68% | $22,845 | 2.26% | -2.70% | 2.03% | -6.31% | 4.55% | 1.52% | 0.83% |
2015 | 8 | -3.17% | $22,120 | -6.10% | -4.62% | -7.43% | -8.84% | -0.69% | 0.08% | -0.83% |
2015 | 9 | -0.52% | $22,005 | -2.54% | -3.77% | -4.42% | -3.13% | 1.97% | 1.58% | 1.19% |
2015 | 10 | 3.52% | $22,780 | 8.51% | 6.57% | 6.61% | 6.38% | -0.41% | -0.64% | 0.57% |
2015 | 11 | -0.21% | $22,732 | 0.37% | 2.47% | -0.75% | -2.52% | -0.87% | -0.43% | -0.15% |
2015 | 12 | -1.37% | $22,422 | -1.72% | -5.08% | -2.34% | -3.83% | -0.30% | -0.45% | -1.08% |
2016 | 1 | -0.47% | $22,316 | -4.98% | -5.85% | -5.52% | -5.03% | 5.57% | 3.33% | 0.12% |
2016 | 2 | 0.90% | $22,517 | -0.08% | 2.08% | -3.33% | -0.82% | 3.09% | 1.49% | 1.05% |
2016 | 3 | 3.79% | $23,371 | 6.72% | 9.41% | 6.58% | 12.96% | -0.09% | -0.06% | 3.62% |
2016 | 4 | 0.27% | $23,434 | 0.39% | 2.13% | 2.22% | 0.41% | -0.74% | -0.16% | 1.55% |
2016 | 5 | 0.47% | $23,545 | 1.70% | 0.44% | -0.09% | -3.69% | 0.81% | -0.10% | -0.51% |
2016 | 6 | 2.55% | $24,144 | 0.35% | 0.83% | -2.42% | 4.56% | 6.93% | 3.09% | 3.09% |
2016 | 7 | 2.41% | $24,727 | 3.65% | 5.06% | 3.98% | 5.38% | 2.10% | 0.25% | 1.29% |
2016 | 8 | -0.30% | $24,652 | 0.12% | 1.13% | 0.53% | 0.88% | -1.01% | -1.01% | 0.18% |
2016 | 9 | 0.03% | $24,660 | 0.01% | 0.87% | 1.34% | 2.52% | -1.51% | 0.24% | -0.32% |
2016 | 10 | -2.19% | $24,120 | -1.73% | -3.74% | -2.22% | -0.83% | -4.38% | -1.49% | -1.53% |
2016 | 11 | -1.29% | $23,809 | 3.68% | 13.34% | -1.78% | -4.42% | -8.21% | -4.23% | -3.17% |
2016 | 12 | 0.87% | $24,016 | 2.03% | 3.20% | 2.71% | -0.25% | -0.46% | -0.12% | 0.84% |
2017 | 1 | 1.24% | $24,313 | 1.79% | -1.21% | 3.29% | 6.66% | 0.81% | 0.22% | 0.15% |
2017 | 2 | 2.06% | $24,813 | 3.93% | 1.35% | 1.19% | 1.74% | 1.59% | 0.72% | 1.32% |
2017 | 3 | 0.25% | $24,875 | 0.13% | -0.65% | 3.23% | 3.69% | -0.65% | 0.08% | -0.29% |
2017 | 4 | 1.22% | $25,179 | 0.99% | 0.51% | 2.42% | 1.70% | 1.57% | 1.11% | 1.19% |
2017 | 5 | 1.31% | $25,509 | 1.41% | -2.26% | 3.54% | 2.85% | 1.89% | 0.83% | 1.33% |
2017 | 6 | 0.43% | $25,617 | 0.64% | 2.96% | 0.31% | 0.93% | 0.79% | -0.51% | 0.48% |
2017 | 7 | 1.17% | $25,917 | 2.06% | 0.75% | 2.65% | 5.82% | -0.66% | 0.38% | 0.77% |
2017 | 8 | 1.14% | $26,212 | 0.29% | -2.72% | -0.04% | 2.35% | 3.41% | 1.46% | 0.68% |
2017 | 9 | 0.37% | $26,307 | 2.01% | 8.58% | 2.36% | -0.04% | -2.32% | -1.44% | -0.05% |
2017 | 10 | 0.99% | $26,569 | 2.36% | 0.59% | 1.68% | 3.28% | -0.04% | -0.19% | 0.19% |
2017 | 11 | 1.24% | $26,898 | 3.06% | 3.76% | 0.69% | -0.39% | 0.74% | -0.28% | -0.12% |
2017 | 12 | 1.06% | $27,184 | 1.21% | -0.37% | 1.35% | 3.77% | 1.81% | 0.18% | 1.22% |
2018 | 1 | 1.30% | $27,538 | 5.64% | 1.33% | 5.02% | 8.30% | -3.26% | -2.15% | -1.23% |
2018 | 2 | -2.84% | $26,754 | -3.64% | -4.04% | -4.83% | -5.90% | -3.04% | -0.93% | -2.24% |
2018 | 3 | 0.03% | $26,762 | -2.74% | 1.37% | -0.84% | 0.54% | 2.86% | 1.16% | 0.56% |
2018 | 4 | -0.63% | $26,593 | 0.52% | 1.76% | 1.52% | -2.82% | -2.09% | -1.28% | -1.57% |
2018 | 5 | 1.53% | $27,000 | 2.43% | 5.87% | -1.89% | -2.62% | 2.01% | 0.99% | 0.52% |
2018 | 6 | 0.07% | $27,019 | 0.58% | 0.80% | -1.57% | -4.54% | 0.65% | 0.20% | -0.49% |
2018 | 7 | 1.32% | $27,376 | 3.70% | 2.62% | 2.85% | 3.53% | -1.44% | -0.53% | 1.34% |
2018 | 8 | 1.43% | $27,768 | 3.19% | 3.14% | -2.24% | -3.77% | 1.31% | 1.01% | 0.02% |
2018 | 9 | -0.80% | $27,545 | 0.59% | -3.05% | 0.97% | -0.58% | -2.86% | -1.20% | -0.14% |
2018 | 10 | -4.30% | $26,360 | -6.91% | -9.94% | -8.13% | -8.76% | -2.93% | -0.30% | -2.05% |
2018 | 11 | 1.60% | $26,781 | 1.85% | 0.57% | 0.50% | 4.90% | 1.79% | 1.33% | -0.36% |
2018 | 12 | -1.98% | $26,249 | -8.79% | -12.38% | -5.35% | -3.50% | 5.85% | 2.80% | 1.86% |
2019 | 1 | 4.51% | $27,432 | 8.01% | 12.26% | 6.63% | 10.34% | 0.38% | 0.65% | 3.37% |
2019 | 2 | 0.91% | $27,682 | 3.24% | 4.13% | 2.54% | -1.53% | -1.38% | -0.52% | -0.20% |
2019 | 3 | 2.41% | $28,348 | 1.81% | -3.91% | 0.92% | 1.13% | 5.57% | 2.66% | 2.93% |
2019 | 4 | 1.34% | $28,727 | 4.09% | 4.32% | 2.93% | 2.35% | -1.99% | -0.52% | 0.44% |
2019 | 5 | -1.02% | $28,435 | -6.38% | -9.98% | -5.03% | -7.33% | 6.84% | 3.05% | 1.65% |
2019 | 6 | 3.95% | $29,559 | 6.96% | 7.66% | 5.91% | 6.20% | 0.95% | 1.22% | 3.25% |
2019 | 7 | 0.40% | $29,676 | 1.51% | 1.30% | -1.95% | -2.66% | 0.26% | 0.04% | 0.25% |
2019 | 8 | 2.21% | $30,331 | -1.67% | -5.14% | -1.92% | -3.78% | 11.04% | 3.95% | 3.88% |
2019 | 9 | 0.30% | $30,421 | 1.95% | 5.57% | 3.16% | 1.69% | -2.68% | -1.19% | -0.76% |
2019 | 10 | 1.09% | $30,752 | 2.21% | 2.00% | 3.39% | 4.18% | -1.11% | 0.19% | 0.44% |
2019 | 11 | 1.12% | $31,095 | 3.62% | 2.71% | 1.13% | -0.09% | -0.41% | -0.69% | 0.47% |
2019 | 12 | 0.82% | $31,350 | 2.90% | 2.84% | 2.98% | 7.71% | -3.20% | -0.93% | 0.53% |
2020 | 1 | 1.72% | $31,889 | -0.04% | -6.31% | -2.82% | -6.15% | 7.69% | 3.47% | 2.45% |
2020 | 2 | -1.58% | $31,386 | -7.92% | -10.15% | -7.77% | -3.78% | 6.63% | 2.96% | 1.09% |
2020 | 3 | -4.94% | $29,834 | -12.46% | -25.76% | -14.11% | -15.77% | 6.38% | 3.72% | -6.31% |
2020 | 4 | 6.04% | $31,634 | 12.70% | 13.89% | 5.82% | 7.35% | 1.22% | 0.27% | 4.85% |
2020 | 5 | 2.02% | $32,273 | 4.76% | 2.55% | 5.43% | 2.97% | -1.76% | 0.33% | 2.46% |
2020 | 6 | 1.44% | $32,739 | 1.78% | 3.58% | 3.51% | 6.61% | 0.34% | 0.04% | 2.13% |
2020 | 7 | 3.74% | $33,964 | 5.89% | 2.58% | 1.94% | 8.25% | 4.44% | 0.85% | 3.10% |
2020 | 8 | 1.66% | $34,527 | 6.98% | 5.07% | 4.72% | 2.89% | -5.05% | -0.97% | -1.78% |
2020 | 9 | -1.42% | $34,035 | -3.74% | -5.18% | -2.05% | -1.01% | 0.77% | 0.33% | -0.44% |
2020 | 10 | -1.77% | $33,435 | -2.49% | 3.66% | -3.55% | 1.41% | -3.39% | -1.38% | -0.51% |
2020 | 11 | 6.25% | $35,526 | 10.88% | 19.21% | 14.27% | 8.99% | 1.66% | 0.34% | 3.77% |
2020 | 12 | 1.92% | $36,206 | 3.71% | 7.50% | 5.01% | 7.14% | -1.23% | -0.24% | 0.15% |
2021 | 1 | -0.95% | $35,862 | -1.02% | 6.25% | -0.78% | 3.17% | -3.63% | -1.09% | -1.83% |
2021 | 2 | -0.22% | $35,784 | 2.78% | 10.80% | 2.24% | 0.79% | -5.73% | -2.36% | -2.26% |
2021 | 3 | 0.15% | $35,839 | 4.54% | 5.61% | 2.51% | -0.73% | -5.24% | -2.39% | -1.48% |
2021 | 4 | 2.80% | $36,844 | 5.29% | 1.69% | 2.95% | 1.20% | 2.49% | 1.00% | 1.04% |
2021 | 5 | 0.82% | $37,148 | 0.66% | 3.89% | 3.48% | 1.65% | 0.00% | 0.42% | 0.62% |
2021 | 6 | 1.88% | $37,845 | 2.25% | -0.71% | -1.08% | 0.95% | 4.42% | 1.02% | 2.21% |
2021 | 7 | 1.61% | $38,454 | 2.44% | -4.36% | 0.77% | -6.44% | 3.72% | 1.99% | 1.42% |
2021 | 8 | 1.02% | $38,846 | 2.98% | 1.82% | 1.45% | 1.57% | -0.34% | -0.39% | -0.34% |
2021 | 9 | -3.01% | $37,677 | -4.66% | -1.46% | -3.26% | -3.87% | -2.91% | -1.60% | -1.51% |
2021 | 10 | 2.97% | $38,795 | 7.02% | 2.86% | 3.18% | 1.07% | 2.46% | -0.44% | 0.53% |
2021 | 11 | -0.02% | $38,786 | -0.80% | -2.62% | -4.53% | -4.08% | 2.77% | 1.09% | -0.12% |
2021 | 12 | 1.51% | $39,371 | 4.63% | 4.12% | 4.41% | 1.53% | -2.01% | -0.52% | -0.03% |
2022 | 1 | -3.62% | $37,946 | -5.27% | -4.40% | -3.63% | -0.02% | -3.91% | -2.11% | -3.59% |
2022 | 2 | -1.72% | $37,294 | -2.95% | 2.28% | -3.43% | -4.32% | -1.63% | -0.30% | -2.13% |
2022 | 3 | -1.20% | $36,847 | 3.76% | 0.50% | 0.52% | -3.38% | -5.45% | -4.06% | -2.89% |
2022 | 4 | -7.07% | $34,243 | -8.78% | -6.38% | -6.74% | -6.14% | -9.42% | -4.23% | -6.70% |
2022 | 5 | 0.21% | $34,315 | 0.23% | 2.32% | 2.00% | 0.61% | -2.25% | 0.62% | 1.87% |
2022 | 6 | -4.50% | $32,772 | -8.25% | -8.96% | -8.72% | -5.14% | -1.27% | -0.86% | -3.62% |
2022 | 7 | 5.21% | $34,478 | 9.21% | 8.53% | 5.17% | -0.35% | 2.43% | 2.96% | 4.44% |
2022 | 8 | -4.09% | $33,067 | -4.08% | -4.16% | -6.12% | -1.33% | -4.56% | -3.89% | -4.43% |
2022 | 9 | -7.72% | $30,513 | -9.24% | -10.41% | -9.22% | -11.54% | -8.23% | -4.73% | -5.98% |
2022 | 10 | 2.06% | $31,142 | 8.13% | 14.40% | 5.89% | -1.98% | -5.97% | -1.46% | -0.75% |
2022 | 11 | 6.10% | $33,041 | 5.56% | 3.81% | 13.17% | 15.59% | 7.15% | 3.61% | 6.65% |
2022 | 12 | -3.41% | $31,915 | -5.76% | -6.49% | -1.82% | -2.65% | -2.63% | -1.49% | -1.56% |
2023 | 1 | 6.22% | $33,899 | 6.29% | 11.95% | 9.00% | 9.13% | 7.64% | 3.58% | 5.16% |
2023 | 2 | -3.51% | $32,708 | -2.51% | -1.73% | -3.07% | -7.57% | -5.09% | -3.27% | -4.17% |
2023 | 3 | 3.35% | $33,805 | 3.71% | -6.48% | 3.13% | 3.22% | 4.84% | 3.72% | 3.85% |
2023 | 4 | 0.84% | $34,089 | 1.60% | -2.39% | 2.94% | -0.84% | 0.34% | 0.81% | 0.60% |
2023 | 5 | -1.39% | $33,614 | 0.46% | -3.66% | -4.01% | -2.40% | -3.01% | -1.44% | -1.76% |
Metric | Maximum Sharpe Ratio |
---|---|
Arithmetic Mean (monthly) | 0.55% |
Arithmetic Mean (annualized) | 6.80% |
Geometric Mean (monthly) | 0.52% |
Geometric Mean (annualized) | 6.44% |
Standard Deviation (monthly) | 2.35% |
Standard Deviation (annualized) | 8.13% |
Downside Deviation (monthly) | 1.57% |
Maximum Drawdown | -22.99% |
Stock Market Correlation | 0.83 |
Beta(*) | 0.44 |
Alpha (annualized) | 2.21% |
R2 | 68.87% |
Sharpe Ratio | 0.65 |
Sortino Ratio | 0.95 |
Treynor Ratio (%) | 12.03 |
Calmar Ratio | 0.06 |
Active Return | -2.67% |
Tracking Error | 9.69% |
Information Ratio | -0.28 |
Skewness | -0.83 |
Excess Kurtosis | 2.76 |
Historical Value-at-Risk (5%) | 3.56% |
Analytical Value-at-Risk (5%) | 3.30% |
Conditional Value-at-Risk (5%) | 5.70% |
Upside Capture Ratio (%) | 46.63 |
Downside Capture Ratio (%) | 40.02 |
Safe Withdrawal Rate | 8.00% |
Perpetual Withdrawal Rate | 3.69% |
Positive Periods | 158 out of 233 (67.81%) |
Gain/Loss Ratio | 0.90 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Stress Period | Start | End | Maximum Sharpe Ratio |
---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -22.99% |
COVID-19 Start | Jan 2020 | Mar 2020 | -6.44% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Dec 2007 | Feb 2009 | 1 year 3 months | Apr 2010 | 1 year 2 months | 2 years 5 months | -22.99% |
2 | Jan 2022 | Sep 2022 | 9 months | -22.50% | |||
3 | Feb 2020 | Mar 2020 | 2 months | May 2020 | 2 months | 4 months | -6.44% |
4 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -5.47% |
5 | Mar 2015 | Sep 2015 | 7 months | Mar 2016 | 6 months | 1 year 1 month | -4.80% |
6 | May 2013 | Aug 2013 | 4 months | Oct 2013 | 2 months | 6 months | -4.18% |
7 | Apr 2004 | Apr 2004 | 1 month | Sep 2004 | 5 months | 6 months | -4.05% |
8 | Aug 2016 | Nov 2016 | 4 months | Feb 2017 | 3 months | 7 months | -3.71% |
9 | Feb 2018 | Apr 2018 | 3 months | Aug 2018 | 4 months | 7 months | -3.43% |
10 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -3.16% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | 9.12% | 14.81% | 32.31% | -36.81% | -50.80% | 0.58 | 0.85 | 1.00 |
IJS | iShares S&P Small-Cap 600 Value ETF | 8.24% | 20.33% | 39.34% | -29.39% | -54.13% | 0.43 | 0.63 | 0.89 |
EFA | iShares MSCI EAFE ETF | 5.08% | 17.10% | 26.95% | -41.04% | -57.38% | 0.30 | 0.43 | 0.88 |
EEM | iShares MSCI Emerging Markets ETF | 5.82% | 21.49% | 68.93% | -48.88% | -60.44% | 0.31 | 0.47 | 0.75 |
TLT | iShares 20+ Year Treasury Bond ETF | 4.23% | 13.42% | 33.96% | -31.24% | -41.64% | 0.28 | 0.45 | -0.17 |
IEF | iShares 7-10 Year Treasury Bond ETF | 3.39% | 6.48% | 17.91% | -15.19% | -21.22% | 0.35 | 0.54 | -0.15 |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 3.94% | 7.84% | 17.37% | -17.93% | -23.27% | 0.37 | 0.55 | 0.40 |
Name | Total Return | Annualized Return | Expense Ratio | |||||
---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Net | Gross | |
SPDR S&P 500 ETF Trust | 5.86% | 9.68% | 2.92% | 12.87% | 10.94% | 11.90% | 0.09% | 0.09% |
iShares S&P Small-Cap 600 Value ETF | -12.06% | -3.26% | -8.86% | 16.33% | 3.20% | 8.10% | 0.18% | 0.18% |
iShares MSCI EAFE ETF | 1.90% | 7.66% | 3.63% | 8.79% | 3.34% | 4.64% | 0.33% | 0.33% |
iShares MSCI Emerging Markets ETF | -0.10% | 0.77% | -8.29% | 2.40% | -1.39% | 1.39% | 0.69% | 0.69% |
iShares 20+ Year Treasury Bond ETF | 2.03% | 4.23% | -9.43% | -12.71% | -1.20% | 1.31% | 0.15% | 0.15% |
iShares 7-10 Year Treasury Bond ETF | 3.07% | 3.26% | -2.93% | -5.73% | 0.77% | 1.06% | 0.15% | 0.15% |
iShares iBoxx $ Invmt Grade Corp Bd ETF | 2.63% | 3.43% | -2.52% | -3.92% | 1.67% | 2.34% | 0.14% | 0.14% |
Trailing returns as of last calendar month ending May 2023 |
Ticker | Name | SPY | IJS | EFA | EEM | TLT | IEF | LQD | Maximum Sharpe Ratio |
---|---|---|---|---|---|---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | 1.00 | 0.86 | 0.88 | 0.74 | -0.17 | -0.14 | 0.41 | 0.83 |
IJS | iShares S&P Small-Cap 600 Value ETF | 0.86 | 1.00 | 0.77 | 0.68 | -0.27 | -0.25 | 0.29 | 0.69 |
EFA | iShares MSCI EAFE ETF | 0.88 | 0.77 | 1.00 | 0.86 | -0.12 | -0.08 | 0.47 | 0.80 |
EEM | iShares MSCI Emerging Markets ETF | 0.74 | 0.68 | 0.86 | 1.00 | -0.11 | -0.07 | 0.42 | 0.72 |
TLT | iShares 20+ Year Treasury Bond ETF | -0.17 | -0.27 | -0.12 | -0.11 | 1.00 | 0.92 | 0.58 | 0.37 |
IEF | iShares 7-10 Year Treasury Bond ETF | -0.14 | -0.25 | -0.08 | -0.07 | 0.92 | 1.00 | 0.61 | 0.40 |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 0.41 | 0.29 | 0.47 | 0.42 | 0.58 | 0.61 | 1.00 | 0.75 |
Ticker | Name | Maximum Sharpe Ratio |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | $14,032 |
IJS | iShares S&P Small-Cap 600 Value ETF | $1,972 |
EFA | iShares MSCI EAFE ETF | $1,144 |
EEM | iShares MSCI Emerging Markets ETF | $1,023 |
TLT | iShares 20+ Year Treasury Bond ETF | $2,085 |
IEF | iShares 7-10 Year Treasury Bond ETF | $2,757 |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | $602 |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Ticker | Name | Maximum Sharpe Ratio |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 49.54% |
IJS | iShares S&P Small-Cap 600 Value ETF | 8.58% |
EFA | iShares MSCI EAFE ETF | 8.46% |
EEM | iShares MSCI Emerging Markets ETF | 9.55% |
TLT | iShares 20+ Year Treasury Bond ETF | 10.68% |
IEF | iShares 7-10 Year Treasury Bond ETF | 9.60% |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 3.60% |
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 6.86% | 25.25% | -20.64% |
3 years | 7.26% | 17.45% | -3.07% |
5 years | 7.16% | 13.61% | 1.00% |
7 years | 7.48% | 10.95% | 4.57% |
10 years | 7.56% | 9.79% | 5.10% |
15 years | 7.09% | 8.14% | 5.41% |