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 - Jun 2020)

Portfolio optimization results with goal to maximize sharpe ratio. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 7.12% to 8.81%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 21.67%
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 28.33%
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$32,350
CAGR7.37%
Expected Return 7.62%
Stdev6.71%
Best Year17.65%
Worst Year-3.13%
Max. Drawdown -15.91%
Sharpe Ratio (ex-ante)0.94
Sharpe Ratio (ex-post)0.90
Sortino Ratio1.37
US Stock Market Correlation0.58
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks
  • The annual results for 2020 are based on full calendar months from January to June
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetGroupCAGRExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1SPDR S&P 500 ETF Trust (SPY)Equity8.52%9.62%14.17%0.5875.00%40.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)Equity7.02%9.18%19.84%0.3975.00%20.00%
3iShares MSCI EAFE ETF (EFA)Equity4.61%6.13%16.85%0.2875.00%30.00%
4iShares MSCI Emerging Markets ETF (EEM)Equity6.84%9.47%22.04%0.3715.00%15.00%
5iShares 20+ Year Treasury Bond ETF (TLT)Fixed Income7.64%8.53%13.01%0.5565.00%30.00%
6iShares 7-10 Year Treasury Bond ETF (IEF)Fixed Income5.13%5.32%6.16%0.6545.00%30.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)Fixed Income5.55%5.82%7.20%0.6285.00%20.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (1.30% annualized).
Asset Groups
Asset GroupMin. WeightMax. Weight
Equity20.00%80.00%
Fixed Income20.00%80.00%

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerSPYIJSEFAEEMTLTIEFLQD
SPDR S&P 500 ETF TrustSPY1.000.890.880.78-0.32-0.310.32
iShares S&P Small-Cap 600 Value ETFIJS0.891.000.770.70-0.36-0.370.25
iShares MSCI EAFE ETFEFA0.880.771.000.88-0.26-0.240.39
iShares MSCI Emerging Markets ETFEEM0.780.700.881.00-0.24-0.190.36
iShares 20+ Year Treasury Bond ETFTLT-0.32-0.36-0.26-0.241.000.910.49
iShares 7-10 Year Treasury Bond ETFIEF-0.31-0.37-0.24-0.190.911.000.51
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.320.250.390.360.490.511.00
Based on provided custom correlation matrix
Efficient Frontier Assets
#SPYIJSEFAEEMTLTIEFLQDExpected Return*Standard Deviation*Sharpe Ratio*
113.69%5.00%5.00%5.00%21.31%30.00%20.00%7.12%6.43%0.907
214.50%5.00%5.00%5.00%20.81%30.00%19.69%7.14%6.43%0.908
314.74%5.00%5.00%5.00%21.10%30.00%19.16%7.16%6.44%0.910
414.99%5.00%5.00%5.00%21.38%30.00%18.63%7.17%6.45%0.911
515.23%5.00%5.00%5.00%21.66%30.00%18.10%7.19%6.46%0.913
615.48%5.00%5.00%5.00%21.95%30.00%17.58%7.21%6.47%0.914
715.72%5.00%5.00%5.00%22.23%30.00%17.05%7.22%6.48%0.916
815.97%5.00%5.00%5.00%22.52%30.00%16.52%7.24%6.48%0.917
916.21%5.00%5.00%5.00%22.80%30.00%15.99%7.26%6.49%0.918
1016.46%5.00%5.00%5.00%23.08%30.00%15.46%7.28%6.50%0.920
1116.70%5.00%5.00%5.00%23.37%30.00%14.93%7.29%6.51%0.921
1216.95%5.00%5.00%5.00%23.65%30.00%14.40%7.31%6.52%0.922
1317.19%5.00%5.00%5.00%23.94%30.00%13.87%7.33%6.53%0.923
1417.44%5.00%5.00%5.00%24.22%30.00%13.34%7.34%6.54%0.925
1517.68%5.00%5.00%5.00%24.50%30.00%12.81%7.36%6.55%0.926
1617.93%5.00%5.00%5.00%24.79%30.00%12.28%7.38%6.56%0.927
1718.17%5.00%5.00%5.00%25.07%30.00%11.76%7.39%6.57%0.928
1818.42%5.00%5.00%5.00%25.36%30.00%11.23%7.41%6.58%0.929
1918.66%5.00%5.00%5.00%25.64%30.00%10.70%7.43%6.59%0.931
2018.91%5.00%5.00%5.00%25.92%30.00%10.17%7.45%6.60%0.932
2119.15%5.00%5.00%5.00%26.21%30.00%9.64%7.46%6.61%0.933
2219.40%5.00%5.00%5.00%26.49%30.00%9.11%7.48%6.62%0.934
2319.64%5.00%5.00%5.00%26.78%30.00%8.58%7.50%6.63%0.935
2419.89%5.00%5.00%5.00%27.06%30.00%8.05%7.51%6.64%0.936
2520.13%5.00%5.00%5.00%27.34%30.00%7.52%7.53%6.65%0.937
2620.38%5.00%5.00%5.00%27.63%30.00%6.99%7.55%6.67%0.938
2720.62%5.00%5.00%5.00%27.91%30.00%6.46%7.56%6.68%0.939
2820.87%5.00%5.00%5.00%28.20%30.00%5.94%7.58%6.69%0.940
2921.11%5.00%5.00%5.00%28.48%30.00%5.41%7.60%6.70%0.941
3021.67%5.00%5.00%5.00%28.33%30.00%5.00%7.62%6.71%0.942
3122.12%5.00%5.00%5.00%28.26%29.62%5.00%7.63%6.73%0.941
3222.26%5.00%5.00%5.00%28.60%29.14%5.00%7.65%6.75%0.941
3322.39%5.00%5.00%5.00%28.95%28.66%5.00%7.67%6.77%0.941
3422.53%5.00%5.00%5.00%29.30%28.17%5.00%7.68%6.79%0.941
3522.66%5.00%5.00%5.00%29.65%27.69%5.00%7.70%6.81%0.940
3622.80%5.00%5.00%5.00%29.99%27.21%5.00%7.72%6.83%0.940
3723.19%5.00%5.00%5.00%30.00%26.81%5.00%7.74%6.85%0.940
3823.58%5.00%5.00%5.00%30.00%26.42%5.00%7.75%6.87%0.939
3923.98%5.00%5.00%5.00%30.00%26.02%5.00%7.77%6.90%0.939
4024.38%5.00%5.00%5.00%30.00%25.62%5.00%7.79%6.92%0.938
4124.77%5.00%5.00%5.00%30.00%25.23%5.00%7.80%6.94%0.938
4225.17%5.00%5.00%5.00%30.00%24.83%5.00%7.82%6.96%0.937
4325.56%5.00%5.00%5.00%30.00%24.44%5.00%7.84%6.99%0.936
4425.96%5.00%5.00%5.00%30.00%24.04%5.00%7.85%7.01%0.935
4526.36%5.00%5.00%5.00%30.00%23.64%5.00%7.87%7.04%0.934
4626.75%5.00%5.00%5.00%30.00%23.25%5.00%7.89%7.06%0.933
4727.15%5.00%5.00%5.00%30.00%22.85%5.00%7.91%7.09%0.932
4827.54%5.00%5.00%5.00%30.00%22.46%5.00%7.92%7.12%0.931
4927.94%5.00%5.00%5.00%30.00%22.06%5.00%7.94%7.14%0.930
5028.34%5.00%5.00%5.00%30.00%21.66%5.00%7.96%7.17%0.929
5128.73%5.00%5.00%5.00%30.00%21.27%5.00%7.97%7.20%0.928
5229.13%5.00%5.00%5.00%30.00%20.87%5.00%7.99%7.23%0.926
5329.52%5.00%5.00%5.00%30.00%20.48%5.00%8.01%7.26%0.925
5429.92%5.00%5.00%5.00%30.00%20.08%5.00%8.03%7.29%0.923
5530.32%5.00%5.00%5.00%30.00%19.68%5.00%8.04%7.32%0.922
5630.71%5.00%5.00%5.00%30.00%19.29%5.00%8.06%7.35%0.920
5731.11%5.00%5.00%5.00%30.00%18.89%5.00%8.08%7.38%0.919
5831.50%5.00%5.00%5.00%30.00%18.50%5.00%8.09%7.41%0.917
5931.90%5.00%5.00%5.00%30.00%18.10%5.00%8.11%7.45%0.915
6032.30%5.00%5.00%5.00%30.00%17.70%5.00%8.13%7.48%0.914
6132.69%5.00%5.00%5.00%30.00%17.31%5.00%8.15%7.51%0.912
6233.09%5.00%5.00%5.00%30.00%16.91%5.00%8.16%7.55%0.910
6333.48%5.00%5.00%5.00%30.00%16.52%5.00%8.18%7.58%0.908
6433.88%5.00%5.00%5.00%30.00%16.12%5.00%8.20%7.62%0.906
6534.28%5.00%5.00%5.00%30.00%15.72%5.00%8.21%7.65%0.904
6634.67%5.00%5.00%5.00%30.00%15.33%5.00%8.23%7.69%0.902
6735.07%5.00%5.00%5.00%30.00%14.93%5.00%8.25%7.72%0.900
6835.46%5.00%5.00%5.00%30.00%14.54%5.00%8.27%7.76%0.898
6935.86%5.00%5.00%5.00%30.00%14.14%5.00%8.28%7.80%0.896
7036.26%5.00%5.00%5.00%30.00%13.74%5.00%8.30%7.83%0.894
7136.65%5.00%5.00%5.00%30.00%13.35%5.00%8.32%7.87%0.892
7237.05%5.00%5.00%5.00%30.00%12.95%5.00%8.33%7.91%0.890
7337.44%5.00%5.00%5.00%30.00%12.56%5.00%8.35%7.95%0.888
7437.84%5.00%5.00%5.00%30.00%12.16%5.00%8.37%7.99%0.886
7538.24%5.00%5.00%5.00%30.00%11.76%5.00%8.39%8.03%0.883
7638.63%5.00%5.00%5.00%30.00%11.37%5.00%8.40%8.07%0.881
7739.03%5.00%5.00%5.00%30.00%10.97%5.00%8.42%8.11%0.879
7839.42%5.00%5.00%5.00%30.00%10.58%5.00%8.44%8.15%0.877
7939.82%5.00%5.00%5.00%30.00%10.18%5.00%8.45%8.19%0.874
8040.00%5.24%5.00%5.00%30.00%9.76%5.00%8.47%8.24%0.871
8140.00%5.68%5.00%5.00%30.00%9.32%5.00%8.49%8.29%0.867
8240.00%6.12%5.00%5.00%30.00%8.88%5.00%8.51%8.35%0.863
8340.00%6.56%5.00%5.00%30.00%8.44%5.00%8.52%8.41%0.859
8440.00%7.00%5.00%5.00%30.00%8.00%5.00%8.54%8.47%0.855
8540.00%7.44%5.00%5.00%30.00%7.56%5.00%8.56%8.53%0.851
8640.00%7.88%5.00%5.00%30.00%7.12%5.00%8.57%8.59%0.847
8740.00%8.32%5.00%5.00%30.00%6.68%5.00%8.59%8.66%0.843
8840.00%8.76%5.00%5.00%30.00%6.24%5.00%8.61%8.72%0.839
8940.00%9.20%5.00%5.00%30.00%5.80%5.00%8.63%8.78%0.834
9040.00%9.64%5.00%5.00%30.00%5.36%5.00%8.64%8.85%0.830
9140.00%8.85%5.00%6.15%30.00%5.00%5.00%8.66%8.92%0.826
9240.00%5.00%5.00%10.66%29.34%5.00%5.00%8.68%9.10%0.811
9340.00%5.00%5.00%12.50%27.50%5.00%5.00%8.69%9.41%0.787
9440.00%5.00%5.00%14.34%25.66%5.00%5.00%8.71%9.73%0.762
9540.00%6.70%5.00%15.00%23.30%5.00%5.00%8.73%10.11%0.735
9640.00%9.36%5.00%15.00%20.64%5.00%5.00%8.75%10.55%0.706
9740.00%12.02%5.00%15.00%17.98%5.00%5.00%8.76%11.02%0.678
9840.00%14.68%5.00%15.00%15.32%5.00%5.00%8.78%11.52%0.650
9940.00%17.34%5.00%15.00%12.66%5.00%5.00%8.80%12.04%0.623
10040.00%20.00%5.00%15.00%10.00%5.00%5.00%8.81%12.58%0.598
*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 (1.30% annualized).
Annual returns for the configured portfolios
YearInflationMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceSPDR S&P 500 ETF Trust (SPY)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)iShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
20043.26%9.67%$10,96710.70%22.60%18.95%24.63%8.71%4.12%5.72%
20053.42%7.06%$11,7424.83%6.00%13.32%32.62%8.61%2.64%1.16%
20062.54%8.31%$12,71715.85%19.37%25.81%31.19%0.71%2.52%4.22%
20074.08%9.36%$13,9075.14%-5.56%9.94%33.31%10.29%10.37%3.73%
20080.09%-2.76%$13,523-36.81%-29.39%-41.04%-48.88%33.93%17.91%2.40%
20092.72%2.30%$13,83426.36%22.36%26.95%68.93%-21.80%-6.59%8.46%
20101.50%12.63%$15,58115.06%24.69%8.15%16.51%9.05%9.37%9.33%
20112.96%13.64%$17,7061.89%-1.65%-12.25%-18.82%33.96%15.64%9.73%
20121.74%9.01%$19,30215.99%18.24%18.82%19.10%2.63%3.66%10.58%
20131.50%2.78%$19,83932.31%39.34%21.40%-3.69%-13.37%-6.09%-2.00%
20140.76%13.47%$22,51113.46%7.56%-6.20%-3.93%27.30%9.07%8.21%
20150.73%-0.65%$22,3651.25%-6.90%-1.00%-16.18%-1.79%1.51%-1.25%
20162.07%5.94%$23,69312.00%31.25%1.37%10.87%1.18%1.00%6.21%
20172.11%11.85%$26,50021.70%11.35%25.10%37.28%9.18%2.55%7.06%
20181.91%-3.13%$25,670-4.56%-12.84%-13.81%-15.31%-1.61%0.99%-3.79%
20192.29%17.65%$30,20131.22%24.12%22.03%18.20%14.12%8.03%17.37%
2020-0.23%7.11%$32,350-3.18%-24.40%-11.10%-10.35%21.87%11.21%6.46%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceSPDR S&P 500 ETF Trust (SPY)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)iShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
200411.61%$10,1611.98%2.17%1.13%2.42%1.86%1.02%1.22%
200421.94%$10,3581.36%2.50%2.30%3.95%2.28%1.61%1.51%
200430.67%$10,427-1.32%1.82%0.07%0.55%1.41%1.30%0.99%
20044-4.53%$9,955-1.89%-3.93%-3.39%-9.80%-6.23%-4.35%-3.89%
200450.31%$9,9861.71%1.58%1.14%1.17%-0.26%-0.53%-0.52%
200461.38%$10,1241.85%5.35%3.35%0.92%1.06%0.65%0.13%
20047-0.46%$10,078-3.22%-4.75%-4.27%-3.64%1.53%1.21%1.56%
200482.48%$10,3280.24%0.24%1.19%3.53%4.17%2.83%3.08%
200491.29%$10,4611.00%4.69%2.07%6.98%0.95%0.32%0.31%
2004101.50%$10,6181.29%0.95%3.50%2.85%1.77%0.99%1.18%
2004110.89%$10,7124.45%9.11%6.08%9.95%-2.39%-1.98%-1.22%
2004122.38%$10,9673.02%1.57%4.80%4.74%2.66%1.17%1.39%
200510.56%$11,029-2.24%-3.25%-1.90%-0.53%3.57%0.87%1.23%
200520.40%$11,0732.09%2.90%3.78%9.68%-1.47%-1.37%-0.94%
20053-1.35%$10,923-1.83%-2.36%-2.62%-7.91%-0.45%-0.40%-1.26%
200541.13%$11,046-1.87%-5.12%-1.62%-1.25%3.86%2.52%1.62%
200552.59%$11,3323.22%6.16%-0.86%3.16%3.14%1.84%0.62%
200561.31%$11,4810.15%3.92%1.43%3.97%2.16%0.48%1.22%
200570.00%$11,4813.83%5.84%3.00%7.68%-3.38%-2.18%-0.82%
200581.62%$11,668-0.94%-1.87%3.84%1.32%3.48%2.00%1.50%
20059-0.85%$11,5690.80%0.05%3.69%8.65%-3.61%-1.75%-1.86%
200510-2.24%$11,309-2.37%-3.41%-3.18%-6.34%-2.24%-1.24%-1.58%
2005112.02%$11,5374.40%4.91%2.31%5.79%0.69%0.63%0.66%
2005121.77%$11,742-0.19%-1.06%5.18%6.10%2.98%1.37%0.86%
200611.34%$11,8992.40%8.75%5.77%14.20%-1.34%-0.70%-0.44%
200620.23%$11,9260.57%0.27%-0.70%-3.85%1.11%-0.10%0.68%
20063-0.88%$11,8221.65%4.86%4.01%2.17%-4.57%-1.36%-1.68%
20064-0.13%$11,8071.26%0.18%4.79%6.52%-2.75%-0.63%-0.20%
20065-1.72%$11,603-3.01%-4.55%-3.82%-11.14%-0.19%-0.10%-0.19%
200660.46%$11,6570.26%0.04%-0.06%0.21%1.18%0.23%-0.09%
200671.29%$11,8070.45%-3.10%0.81%2.34%2.16%1.68%1.46%
200682.32%$12,0812.18%2.70%2.55%1.58%3.06%1.76%2.22%
200691.56%$12,2702.70%1.19%0.22%-0.87%1.91%1.21%0.87%
2006101.95%$12,5093.15%5.52%3.75%7.06%0.85%0.54%1.00%
2006112.12%$12,7751.99%2.38%3.07%5.98%2.31%1.31%1.46%
200612-0.45%$12,7171.34%0.32%3.20%5.44%-2.69%-1.28%-0.90%
200710.11%$12,7311.50%2.14%1.39%0.11%-1.00%-0.40%0.09%
200721.04%$12,863-1.96%-0.92%-0.12%-3.24%3.39%2.06%2.00%
200730.15%$12,8821.16%0.91%2.90%5.33%-1.70%-0.14%-0.68%
200741.91%$13,1284.43%1.84%3.75%3.73%0.90%0.61%0.89%
200750.20%$13,1553.39%4.63%2.36%5.06%-2.31%-1.39%-1.23%
20076-0.73%$13,059-1.46%-2.24%-0.32%3.68%-1.01%-0.47%-0.81%
200770.51%$13,125-3.13%-6.26%-2.29%0.71%3.32%2.26%-0.82%
200781.67%$13,3441.28%1.33%-0.63%1.04%1.79%2.26%2.38%
200791.83%$13,5883.87%0.31%5.32%11.57%0.23%0.09%0.73%
2007102.04%$13,8651.36%1.06%4.25%11.87%1.81%1.08%0.97%
2007111.02%$14,006-3.87%-7.15%-3.62%-7.65%5.35%4.04%1.02%
200712-0.71%$13,907-1.13%-0.71%-2.99%-1.43%-0.64%0.05%-0.81%
20081-0.62%$13,821-6.05%-4.00%-7.85%-8.92%2.10%3.36%2.57%
20082-0.47%$13,755-2.58%-3.36%-1.02%1.99%-0.46%1.24%-0.71%
200830.66%$13,846-0.90%0.83%0.42%-3.75%2.14%1.34%-0.60%
200840.53%$13,9194.77%2.64%5.44%9.14%-2.48%-2.41%1.25%
20085-0.66%$13,8271.51%3.92%1.19%3.16%-2.69%-1.78%-2.21%
20086-2.10%$13,535-8.35%-8.41%-8.80%-9.29%2.65%1.14%-1.29%
20087-0.36%$13,487-0.90%2.87%-3.32%-5.50%-0.37%0.72%0.39%
200881.29%$13,6601.55%4.76%-4.25%-6.32%2.74%1.53%0.15%
20089-3.75%$13,147-9.44%-4.82%-11.44%-14.68%1.47%-0.14%-10.73%
200810-7.78%$12,125-16.52%-19.86%-20.83%-25.58%-1.86%-0.87%-1.95%
2008113.65%$12,568-6.96%-11.80%-6.37%-9.75%14.34%7.75%3.35%
2008127.60%$13,5230.98%6.57%8.88%10.35%13.64%5.15%13.80%
20091-8.59%$12,362-8.21%-13.94%-13.73%-9.29%-13.07%-3.89%-1.80%
20092-4.73%$11,777-10.74%-13.03%-10.39%-6.27%-1.54%-0.74%-5.20%
200935.61%$12,4388.35%7.58%8.39%16.86%4.04%3.31%0.47%
200941.80%$12,6629.93%18.89%11.52%15.56%-6.95%-2.75%2.78%
200951.20%$12,8145.85%0.67%13.19%15.94%-3.69%-2.08%2.32%
200960.07%$12,823-0.07%1.52%-1.43%-2.25%0.76%-0.55%2.89%
200973.86%$13,3197.46%11.00%10.04%11.01%0.58%0.83%4.63%
200982.06%$13,5933.69%3.48%4.50%-1.31%2.24%0.77%1.31%
200992.80%$13,9743.55%4.21%3.80%10.20%2.46%1.12%1.76%
200910-1.83%$13,719-1.92%-6.07%-2.52%-3.44%-2.62%-0.14%-0.49%
2009113.12%$14,1466.16%2.90%3.92%7.85%1.21%2.02%1.95%
200912-2.20%$13,8341.91%8.10%0.70%3.27%-6.34%-4.40%-2.07%
20101-0.02%$13,832-3.63%-2.54%-5.07%-7.76%2.69%2.37%1.25%
201021.05%$13,9763.12%4.76%0.27%1.78%-0.34%0.33%0.51%
201031.57%$14,1956.09%7.80%6.39%8.11%-2.06%-1.06%0.65%
201042.05%$14,4861.55%6.63%-2.80%-0.17%3.32%1.65%1.91%
20105-0.92%$14,354-7.95%-8.54%-11.19%-9.39%5.11%2.93%-1.31%
201061.01%$14,499-5.17%-8.27%-2.07%-1.40%5.80%3.05%3.28%
201073.05%$14,9416.83%6.71%11.61%10.93%-0.95%0.91%2.11%
201081.81%$15,211-4.50%-7.91%-3.80%-3.24%8.40%3.36%2.86%
201092.88%$15,6508.96%10.93%9.97%11.76%-2.51%-0.00%0.46%
2010100.09%$15,6643.82%4.04%3.81%3.02%-4.47%-0.01%-0.26%
201011-1.09%$15,4930.00%2.47%-4.82%-2.91%-1.69%-0.90%-1.62%
2010120.57%$15,5816.68%8.97%8.30%7.27%-3.68%-3.43%-0.75%
20111-0.47%$15,5072.33%-0.24%2.10%-3.84%-3.08%-0.02%0.04%
201121.60%$15,7553.47%4.21%3.55%-0.04%1.65%-0.21%1.08%
201130.24%$15,7940.01%2.21%-2.39%6.29%0.03%-0.15%-0.54%
201142.44%$16,1792.90%1.06%5.63%2.73%2.34%1.84%2.50%
201151.20%$16,372-1.12%-1.77%-2.21%-2.94%3.42%2.51%1.27%
20116-1.40%$16,142-1.69%-1.59%-1.19%-0.93%-2.33%-0.51%-0.80%
201171.58%$16,398-2.00%-2.77%-2.38%-1.03%4.42%3.17%2.43%
201181.66%$16,670-5.50%-7.98%-8.75%-9.25%9.66%4.65%0.34%
201190.96%$16,830-6.94%-10.57%-10.81%-17.89%13.20%2.24%0.35%
2011103.08%$17,34810.91%15.34%9.63%16.27%-3.84%-1.29%2.51%
2011110.31%$17,402-0.41%0.63%-2.18%-1.96%1.98%0.58%-3.16%
2011121.75%$17,7061.04%2.02%-2.21%-4.30%3.44%1.99%3.49%
201212.49%$18,1464.64%7.90%5.27%10.99%-0.33%0.86%2.14%
201220.55%$18,2464.34%1.71%4.83%5.27%-2.59%-1.10%1.63%
20123-1.04%$18,0563.22%2.89%0.42%-3.11%-4.23%-1.59%-1.42%
201241.75%$18,371-0.67%-1.91%-2.08%-1.70%4.83%2.51%1.08%
201250.70%$18,500-6.01%-7.18%-11.14%-10.71%9.03%2.87%0.76%
201261.16%$18,7144.05%4.54%7.11%5.08%-1.68%-0.42%0.87%
201271.90%$19,0701.18%-0.69%0.08%-0.03%3.82%1.40%3.48%
201280.52%$19,1682.51%4.08%3.20%0.41%-1.32%-0.12%-0.05%
201290.34%$19,2332.54%3.14%2.71%5.22%-2.53%-0.35%1.10%
201210-0.65%$19,108-1.82%-1.96%1.09%-0.44%-0.48%-0.40%1.35%
2012111.09%$19,3160.57%1.65%2.78%1.56%1.38%0.98%-0.42%
201212-0.07%$19,3020.90%3.55%4.37%6.80%-2.49%-0.94%-0.33%
201310.19%$19,3395.12%5.35%3.73%-0.29%-3.19%-1.29%-1.30%
201320.92%$19,5181.28%1.63%-1.29%-2.28%1.24%1.13%1.08%
201331.01%$19,7143.80%4.11%1.31%-1.02%-0.42%0.29%-0.05%
201342.63%$20,2321.92%0.12%5.02%1.22%4.68%1.52%2.17%
20135-2.67%$19,6912.36%4.29%-3.02%-4.83%-6.76%-3.11%-3.22%
20136-2.55%$19,188-1.34%-0.14%-2.70%-5.35%-3.27%-2.55%-3.27%
201371.09%$19,3975.17%6.56%5.32%1.32%-2.26%-0.35%1.11%
20138-1.90%$19,029-3.00%-3.41%-1.96%-2.54%-1.34%-1.42%-1.00%
201392.54%$19,5133.17%6.59%7.82%7.21%0.66%1.85%0.74%
2013102.28%$19,9584.63%3.48%3.26%4.17%1.43%0.78%1.81%
201311-0.17%$19,9252.96%4.25%0.55%-0.26%-2.70%-0.88%-0.14%
201312-0.43%$19,8392.59%1.29%2.16%-0.42%-1.87%-2.09%0.22%
201411.17%$20,070-3.52%-3.51%-5.20%-8.64%6.30%3.06%1.88%
201422.00%$20,4734.55%4.63%6.13%3.38%0.52%0.36%1.14%
201430.45%$20,5660.83%1.34%-0.46%3.88%0.73%-0.56%-0.03%
201441.05%$20,7810.70%-2.29%1.67%0.78%2.10%0.76%1.33%
201452.22%$21,2422.32%0.62%1.60%2.95%2.95%1.82%1.51%
201460.67%$21,3852.06%3.85%0.92%2.40%-0.25%-0.22%0.01%
20147-0.50%$21,278-1.34%-5.07%-2.60%1.36%0.67%-0.22%-0.32%
201483.23%$21,9653.95%4.46%0.18%2.83%4.72%1.88%2.00%
20149-2.17%$21,488-1.38%-5.94%-3.88%-7.77%-2.11%-1.05%-1.68%
2014102.24%$21,9702.36%7.13%-0.27%1.42%2.81%1.53%1.23%
2014111.82%$22,3692.75%0.48%0.06%-1.54%2.97%1.29%0.91%
2014120.63%$22,511-0.26%2.56%-4.00%-3.99%3.25%0.13%-0.02%
201513.35%$23,264-2.96%-5.32%0.62%-0.69%9.82%4.30%3.75%
20152-0.50%$23,1475.62%5.86%6.34%4.41%-6.14%-2.47%-1.42%
201530.14%$23,180-1.57%1.03%-1.43%-1.50%1.10%0.86%0.20%
20154-0.57%$23,0470.98%-1.82%3.65%6.85%-3.43%-0.63%-1.19%
20155-0.73%$22,8781.29%0.75%0.20%-4.10%-2.37%-0.42%-1.12%
20156-2.46%$22,316-2.03%0.42%-3.12%-2.93%-4.07%-1.63%-1.88%
201571.93%$22,7462.26%-2.70%2.03%-6.31%4.55%1.52%0.83%
20158-2.58%$22,160-6.10%-4.62%-7.43%-8.84%-0.69%0.08%-0.83%
20159-0.03%$22,154-2.54%-3.77%-4.42%-3.13%1.97%1.58%1.19%
2015102.54%$22,7178.51%6.57%6.61%6.38%-0.41%-0.64%0.57%
201511-0.34%$22,6390.37%2.47%-0.75%-2.52%-0.87%-0.43%-0.15%
201512-1.21%$22,365-1.72%-5.08%-2.34%-3.83%-0.30%-0.45%-1.08%
201610.69%$22,518-4.98%-5.85%-5.52%-5.03%5.57%3.33%0.12%
201621.25%$22,800-0.08%2.08%-3.33%-0.82%3.09%1.49%1.05%
201633.04%$23,4946.72%9.41%6.58%12.96%-0.09%-0.06%3.62%
201640.15%$23,5280.39%2.13%2.22%0.41%-0.74%-0.16%1.55%
201650.38%$23,6161.70%0.44%-0.09%-3.69%0.81%-0.10%-0.51%
201663.27%$24,3880.35%0.83%-2.42%4.56%6.93%3.09%3.09%
201672.24%$24,9363.65%5.06%3.98%5.38%2.10%0.25%1.29%
20168-0.43%$24,8290.12%1.13%0.53%0.88%-1.01%-1.01%0.18%
20169-0.13%$24,7960.01%0.87%1.34%2.52%-1.51%0.24%-0.32%
201610-2.48%$24,181-1.73%-3.74%-2.22%-0.83%-4.38%-1.49%-1.53%
201611-2.60%$23,5523.68%13.34%-1.78%-4.42%-8.21%-4.23%-3.17%
2016120.60%$23,6932.03%3.20%2.71%-0.25%-0.46%-0.12%0.84%
201711.13%$23,9611.79%-1.21%3.29%6.66%0.81%0.22%0.15%
201721.80%$24,3923.93%1.35%1.19%1.74%1.59%0.72%1.32%
201730.17%$24,4320.13%-0.65%3.23%3.69%-0.65%0.08%-0.29%
201741.28%$24,7460.99%0.51%2.42%1.70%1.57%1.11%1.19%
201751.36%$25,0831.41%-2.26%3.54%2.85%1.89%0.83%1.33%
201760.44%$25,1940.64%2.96%0.31%0.93%0.79%-0.51%0.48%
201770.87%$25,4142.06%0.75%2.65%5.82%-0.66%0.38%0.77%
201781.48%$25,7900.29%-2.72%-0.04%2.35%3.41%1.46%0.68%
20179-0.11%$25,7612.01%8.58%2.36%-0.04%-2.32%-1.44%-0.05%
2017100.73%$25,9492.36%0.59%1.68%3.28%-0.04%-0.19%0.19%
2017110.99%$26,2053.06%3.76%0.69%-0.39%0.74%-0.28%-0.12%
2017121.13%$26,5001.21%-0.37%1.35%3.77%1.81%0.18%1.22%
201810.32%$26,5875.64%1.33%5.02%8.30%-3.26%-2.15%-1.23%
20182-2.78%$25,848-3.64%-4.04%-4.83%-5.90%-3.04%-0.93%-2.24%
201830.64%$26,014-2.74%1.37%-0.84%0.54%2.86%1.16%0.56%
20184-0.92%$25,7750.52%1.76%1.52%-2.82%-2.09%-1.28%-1.57%
201851.48%$26,1582.43%5.87%-1.89%-2.62%2.01%0.99%0.52%
201860.08%$26,1780.58%0.80%-1.57%-4.54%0.65%0.20%-0.49%
201870.75%$26,3763.70%2.62%2.85%3.53%-1.44%-0.53%1.34%
201881.23%$26,6993.19%3.14%-2.24%-3.77%1.31%1.01%0.02%
20189-1.18%$26,3830.59%-3.05%0.97%-0.58%-2.86%-1.20%-0.14%
201810-3.86%$25,364-6.91%-9.94%-8.13%-8.76%-2.93%-0.30%-2.05%
2018111.59%$25,7671.85%0.57%0.50%4.90%1.79%1.33%-0.36%
201812-0.38%$25,670-8.79%-12.38%-5.35%-3.50%5.85%2.80%1.86%
201913.67%$26,6128.01%12.26%6.63%10.34%0.38%0.65%3.37%
201920.40%$26,7193.24%4.13%2.54%-1.53%-1.38%-0.52%-0.20%
201932.82%$27,4731.81%-3.91%0.92%1.13%5.57%2.66%2.93%
201940.67%$27,6564.09%4.32%2.93%2.35%-1.99%-0.52%0.44%
201950.44%$27,777-6.38%-9.98%-5.03%-7.33%6.84%3.05%1.65%
201963.29%$28,6916.96%7.66%5.91%6.20%0.95%1.22%3.25%
201970.26%$28,7661.51%1.30%-1.95%-2.66%0.26%0.04%0.25%
201983.60%$29,802-1.67%-5.14%-1.92%-3.78%11.04%3.95%3.88%
20199-0.21%$29,7401.95%5.57%3.16%1.69%-2.68%-1.19%-0.76%
2019100.72%$29,9542.21%2.00%3.39%4.18%-1.11%0.19%0.44%
2019110.67%$30,1563.62%2.71%1.13%-0.09%-0.41%-0.69%0.47%
2019120.15%$30,2012.90%2.84%2.98%7.71%-3.20%-0.93%0.53%
202012.57%$30,977-0.04%-6.31%-2.82%-6.15%7.69%3.47%2.45%
202020.02%$30,983-7.92%-10.15%-7.77%-3.78%6.63%2.96%1.09%
20203-2.87%$30,092-12.46%-25.76%-14.11%-15.77%6.38%3.72%-6.31%
202044.77%$31,52912.70%13.89%5.82%7.35%1.22%0.27%4.85%
202051.30%$31,9394.76%2.55%5.43%2.97%-1.76%0.33%2.46%
202061.28%$32,3501.78%3.58%3.51%6.61%0.34%0.04%2.13%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.61%
Arithmetic Mean (annualized)7.62%
Geometric Mean (monthly)0.59%
Geometric Mean (annualized)7.37%
Volatility (monthly)1.94%
Volatility (annualized)6.71%
Downside Deviation (monthly)1.25%
Max. Drawdown-15.91%
US Market Correlation0.58
Beta(*)0.26
Alpha (annualized)4.88%
R233.20%
Sharpe Ratio0.90
Sortino Ratio1.37
Treynor Ratio (%)23.16
Calmar Ratio1.74
Active Return-1.33%
Tracking Error12.18%
Information Ratio-0.11
Skewness-0.95
Excess Kurtosis4.41
Historical Value-at-Risk (5%)-2.60%
Analytical Value-at-Risk (5%)-2.57%
Conditional Value-at-Risk (5%)-4.62%
Upside Capture Ratio (%)36.03
Downside Capture Ratio (%)14.68
Safe Withdrawal Rate8.97%
Perpetual Withdrawal Rate5.14%
Positive Periods141 out of 198 (71.21%)
Gain/Loss Ratio0.95
* 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 2009-15.91%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsNov 20099 months2 years-15.91%
2May 2013Aug 20134 monthsFeb 20146 months10 months-5.95%
3Aug 2016Nov 20164 monthsMay 20176 months10 months-5.55%
4Sep 2018Oct 20182 monthsFeb 20194 months6 months-5.00%
5Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-4.77%
6Apr 2004Apr 20041 monthSep 20045 months6 months-4.53%
7Sep 2005Oct 20052 monthsDec 20052 months4 months-3.07%
8Feb 2018Apr 20183 monthsAug 20184 months7 months-3.05%
9Mar 2020Mar 20201 monthApr 20201 month2 months-2.87%
10Mar 2006May 20063 monthsAug 20063 months6 months-2.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust8.52%14.17%32.31%-36.81%-50.80%0.560.801.00
IJSiShares S&P Small-Cap 600 Value ETF7.02%19.84%39.34%-29.39%-54.13%0.380.530.91
EFAiShares MSCI EAFE ETF4.61%16.85%26.95%-41.04%-57.38%0.280.380.88
EEMiShares MSCI Emerging Markets ETF6.84%22.04%68.93%-48.88%-60.44%0.350.530.79
TLTiShares 20+ Year Treasury Bond ETF7.64%13.01%33.96%-21.80%-21.80%0.530.93-0.33
IEFiShares 7-10 Year Treasury Bond ETF5.13%6.16%17.91%-6.59%-7.60%0.631.10-0.32
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.55%7.20%17.37%-3.79%-15.11%0.600.970.32

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIJSEFAEEMTLTIEFLQDMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust1.000.890.880.78-0.32-0.310.320.58
IJSiShares S&P Small-Cap 600 Value ETF0.891.000.770.70-0.36-0.370.250.48
EFAiShares MSCI EAFE ETF0.880.771.000.88-0.26-0.240.390.60
EEMiShares MSCI Emerging Markets ETF0.780.700.881.00-0.24-0.190.360.57
TLTiShares 20+ Year Treasury Bond ETF-0.32-0.36-0.26-0.241.000.910.490.55
IEFiShares 7-10 Year Treasury Bond ETF-0.31-0.37-0.24-0.190.911.000.510.54
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.320.250.390.360.490.511.000.76

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust26.51%
IJSiShares S&P Small-Cap 600 Value ETF7.08%
EFAiShares MSCI EAFE ETF7.53%
EEMiShares MSCI Emerging Markets ETF9.39%
TLTiShares 20+ Year Treasury Bond ETF30.42%
IEFiShares 7-10 Year Treasury Bond ETF15.01%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.06%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.32%17.65%-3.13%
3 years6.84%11.74%2.85%
5 years6.67%10.23%4.75%
7 years7.00%7.99%5.45%
10 years7.00%8.12%6.42%
15 years6.74%6.99%6.49%
Result statistics are based on annualized rolling returns over full calendar year periods