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 2021) Save

Portfolio optimization results with goal to maximize Sharpe ratio. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 7.19% to 10.27%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 25.18%
IJS iShares S&P Small-Cap 600 Value ETF 5.00%
EFA iShares MSCI EAFE ETF 5.00%
EEM iShares MSCI Emerging Markets ETF 5.00%
TLT iShares 20+ Year Treasury Bond ETF 24.82%
IEF iShares 7-10 Year Treasury Bond ETF 30.00%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 5.00%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$36,323
CAGR7.65%
Expected Return7.90%
Stdev6.83%
Best Year18.22%
Worst Year-5.28%
Max. Drawdown -18.23%
Sharpe Ratio (ex-ante)0.94
Sharpe Ratio (ex-post)0.93
Sortino Ratio1.44
US Stock Market Correlation0.67
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Maximum Sharpe Ratio5.50%2.80%11.74%11.13%8.35%8.49%7.65%7.31%6.36%
Trailing annualized return and volatility are for full months ending in June 2021 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks
  • The annual results for 2021 are based on full calendar months from January to 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
#AssetGroupExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1SPDR S&P 500 ETF Trust (SPY)Equity11.28%14.27%0.6675.00%40.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)Equity12.42%20.15%0.5235.00%20.00%
3iShares MSCI EAFE ETF (EFA)Equity7.57%16.84%0.3625.00%30.00%
4iShares MSCI Emerging Markets ETF (EEM)Equity11.07%21.63%0.4315.00%15.00%
5iShares 20+ Year Treasury Bond ETF (TLT)Fixed Income7.39%13.04%0.4555.00%30.00%
6iShares 7-10 Year Treasury Bond ETF (IEF)Fixed Income4.75%6.10%0.5625.00%30.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)Fixed Income5.64%7.17%0.5965.00%20.00%
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate.
Asset Groups
Asset GroupMin. WeightMax. Weight
Equity20.00%80.00%
Fixed Income20.00%80.00%

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerSPYIJSEFAEEMTLTIEFLQD
SPDR S&P 500 ETF TrustSPY1.000.880.880.77-0.31-0.300.32
iShares S&P Small-Cap 600 Value ETFIJS0.881.000.770.70-0.37-0.370.23
iShares MSCI EAFE ETFEFA0.880.771.000.87-0.25-0.230.39
iShares MSCI Emerging Markets ETFEEM0.770.700.871.00-0.22-0.190.36
iShares 20+ Year Treasury Bond ETFTLT-0.31-0.37-0.25-0.221.000.910.51
iShares 7-10 Year Treasury Bond ETFIEF-0.30-0.37-0.23-0.190.911.000.52
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.320.230.390.360.510.521.00
Based on monthly returns from Jan 2004 to Jun 2021
Efficient Frontier Assets
#SPYIJSEFAEEMTLTIEFLQDExpected Return*Standard Deviation*Sharpe Ratio*
113.63%5.00%5.00%5.00%21.37%30.00%20.00%7.19%6.45%0.891
214.43%5.00%5.00%5.00%20.57%30.00%20.00%7.22%6.45%0.895
315.23%5.00%5.00%5.00%19.77%30.00%20.00%7.25%6.46%0.899
416.03%5.00%5.00%5.00%18.98%30.00%19.99%7.28%6.47%0.902
516.45%5.00%5.00%5.00%19.38%30.00%19.16%7.31%6.48%0.904
616.88%5.00%5.00%5.00%19.79%30.00%18.34%7.35%6.50%0.906
717.30%5.00%5.00%5.00%20.19%30.00%17.51%7.38%6.51%0.909
817.72%5.00%5.00%5.00%20.60%30.00%16.68%7.41%6.53%0.911
918.14%5.00%5.00%5.00%21.00%30.00%15.86%7.44%6.55%0.913
1018.56%5.00%5.00%5.00%21.40%30.00%15.03%7.47%6.56%0.915
1118.99%5.00%5.00%5.00%21.81%30.00%14.21%7.50%6.58%0.917
1219.41%5.00%5.00%5.00%22.21%30.00%13.38%7.53%6.60%0.919
1319.83%5.00%5.00%5.00%22.62%30.00%12.55%7.56%6.61%0.921
1420.25%5.00%5.00%5.00%23.02%30.00%11.73%7.59%6.63%0.923
1520.67%5.00%5.00%5.00%23.43%30.00%10.90%7.62%6.65%0.925
1621.10%5.00%5.00%5.00%23.83%30.00%10.07%7.65%6.67%0.927
1721.52%5.00%5.00%5.00%24.23%30.00%9.25%7.68%6.69%0.928
1821.94%5.00%5.00%5.00%24.64%30.00%8.42%7.71%6.71%0.930
1922.36%5.00%5.00%5.00%25.04%30.00%7.60%7.75%6.72%0.932
2022.78%5.00%5.00%5.00%25.45%30.00%6.77%7.78%6.74%0.933
2123.21%5.00%5.00%5.00%25.85%30.00%5.94%7.81%6.76%0.935
2223.63%5.00%5.00%5.00%26.25%30.00%5.12%7.84%6.78%0.936
2324.38%5.00%5.00%5.00%25.62%30.00%5.00%7.87%6.81%0.937
2425.18%5.00%5.00%5.00%24.82%30.00%5.00%7.90%6.83%0.938
2525.98%5.00%5.00%5.00%24.02%30.00%5.00%7.93%6.86%0.938
2626.45%5.00%5.00%5.00%24.02%29.53%5.00%7.96%6.90%0.937
2726.71%5.00%5.00%5.00%24.55%28.74%5.00%7.99%6.93%0.937
2826.96%5.00%5.00%5.00%25.08%27.95%5.00%8.02%6.97%0.936
2927.22%5.00%5.00%5.00%25.62%27.17%5.00%8.05%7.00%0.935
3027.47%5.00%5.00%5.00%26.15%26.38%5.00%8.09%7.04%0.935
3127.73%5.00%5.00%5.00%26.68%25.59%5.00%8.12%7.08%0.934
3227.98%5.00%5.00%5.00%27.21%24.81%5.00%8.15%7.11%0.934
3328.23%5.00%5.00%5.00%27.75%24.02%5.00%8.18%7.15%0.933
3428.49%5.00%5.00%5.00%28.28%23.23%5.00%8.21%7.18%0.932
3528.74%5.00%5.00%5.00%28.81%22.45%5.00%8.24%7.22%0.932
3629.00%5.00%5.00%5.00%29.34%21.66%5.00%8.27%7.25%0.931
3729.25%5.00%5.00%5.00%29.88%20.87%5.00%8.30%7.29%0.930
3829.67%5.00%5.00%5.00%30.00%20.33%5.00%8.33%7.33%0.930
3930.15%5.00%5.00%5.00%30.00%19.85%5.00%8.36%7.36%0.929
4030.62%5.00%5.00%5.00%30.00%19.38%5.00%8.39%7.40%0.928
4131.09%5.00%5.00%5.00%30.00%18.91%5.00%8.43%7.44%0.927
4231.56%5.00%5.00%5.00%30.00%18.44%5.00%8.46%7.48%0.926
4332.04%5.00%5.00%5.00%30.00%17.96%5.00%8.49%7.52%0.925
4432.51%5.00%5.00%5.00%30.00%17.49%5.00%8.52%7.56%0.924
4532.98%5.00%5.00%5.00%30.00%17.02%5.00%8.55%7.60%0.923
4633.46%5.00%5.00%5.00%30.00%16.54%5.00%8.58%7.64%0.922
4733.93%5.00%5.00%5.00%30.00%16.07%5.00%8.61%7.68%0.920
4834.40%5.00%5.00%5.00%30.00%15.60%5.00%8.64%7.73%0.919
4934.87%5.00%5.00%5.00%30.00%15.13%5.00%8.67%7.77%0.917
5035.35%5.00%5.00%5.00%30.00%14.65%5.00%8.71%7.81%0.916
5135.82%5.00%5.00%5.00%30.00%14.18%5.00%8.74%7.86%0.914
5236.29%5.00%5.00%5.00%30.00%13.71%5.00%8.77%7.90%0.913
5336.77%5.00%5.00%5.00%30.00%13.23%5.00%8.80%7.95%0.911
5437.24%5.00%5.00%5.00%30.00%12.76%5.00%8.83%8.00%0.909
5537.71%5.00%5.00%5.00%30.00%12.29%5.00%8.86%8.04%0.908
5638.19%5.00%5.00%5.00%30.00%11.81%5.00%8.89%8.09%0.906
5738.66%5.00%5.00%5.00%30.00%11.34%5.00%8.92%8.14%0.904
5839.13%5.00%5.00%5.00%30.00%10.87%5.00%8.95%8.19%0.902
5939.60%5.00%5.00%5.00%30.00%10.40%5.00%8.99%8.24%0.900
6040.00%5.07%5.00%5.00%30.00%9.93%5.00%9.02%8.29%0.898
6140.00%5.47%5.00%5.00%30.00%9.53%5.00%9.05%8.34%0.896
6240.00%5.88%5.00%5.00%30.00%9.12%5.00%9.08%8.39%0.894
6340.00%6.28%5.00%5.00%30.00%8.72%5.00%9.11%8.45%0.892
6440.00%6.69%5.00%5.00%30.00%8.31%5.00%9.14%8.50%0.889
6540.00%7.09%5.00%5.00%30.00%7.91%5.00%9.17%8.56%0.887
6640.00%7.49%5.00%5.00%30.00%7.51%5.00%9.20%8.61%0.885
6740.00%7.90%5.00%5.00%30.00%7.10%5.00%9.24%8.67%0.882
6840.00%8.30%5.00%5.00%30.00%6.70%5.00%9.27%8.73%0.880
6940.00%8.71%5.00%5.00%30.00%6.29%5.00%9.30%8.78%0.877
7040.00%9.11%5.00%5.00%30.00%5.89%5.00%9.33%8.84%0.875
7140.00%9.52%5.00%5.00%30.00%5.48%5.00%9.36%8.90%0.872
7240.00%9.92%5.00%5.00%30.00%5.08%5.00%9.39%8.96%0.870
7340.00%10.51%5.00%5.00%29.49%5.00%5.00%9.42%9.04%0.865
7440.00%11.13%5.00%5.00%28.87%5.00%5.00%9.45%9.13%0.860
7540.00%11.76%5.00%5.00%28.24%5.00%5.00%9.49%9.22%0.855
7640.00%12.38%5.00%5.00%27.62%5.00%5.00%9.52%9.31%0.849
7740.00%13.00%5.00%5.00%27.00%5.00%5.00%9.55%9.41%0.844
7840.00%13.63%5.00%5.00%26.37%5.00%5.00%9.58%9.50%0.838
7940.00%14.25%5.00%5.00%25.75%5.00%5.00%9.61%9.60%0.832
8040.00%14.88%5.00%5.00%25.12%5.00%5.00%9.64%9.70%0.827
8140.00%15.50%5.00%5.00%24.50%5.00%5.00%9.67%9.81%0.821
8240.00%16.13%5.00%5.00%23.87%5.00%5.00%9.70%9.91%0.815
8340.00%16.75%5.00%5.00%23.25%5.00%5.00%9.74%10.02%0.809
8440.00%17.38%5.00%5.00%22.62%5.00%5.00%9.77%10.13%0.803
8540.00%18.00%5.00%5.00%22.00%5.00%5.00%9.80%10.24%0.798
8640.00%18.62%5.00%5.00%21.38%5.00%5.00%9.83%10.35%0.792
8740.00%19.25%5.00%5.00%20.75%5.00%5.00%9.86%10.46%0.786
8840.00%19.87%5.00%5.00%20.13%5.00%5.00%9.89%10.58%0.780
8940.00%20.00%5.00%5.68%19.32%5.00%5.00%9.92%10.73%0.772
9040.00%20.00%5.00%6.52%18.48%5.00%5.00%9.96%10.88%0.763
9140.00%20.00%5.00%7.37%17.63%5.00%5.00%9.99%11.04%0.755
9240.00%20.00%5.00%8.22%16.78%5.00%5.00%10.02%11.21%0.747
9340.00%20.00%5.00%9.07%15.93%5.00%5.00%10.05%11.37%0.738
9440.00%20.00%5.00%9.91%15.09%5.00%5.00%10.08%11.54%0.730
9540.00%20.00%5.00%10.76%14.24%5.00%5.00%10.11%11.71%0.722
9640.00%20.00%5.00%11.61%13.39%5.00%5.00%10.14%11.88%0.714
9740.00%20.00%5.00%12.46%12.54%5.00%5.00%10.18%12.06%0.706
9840.00%20.00%5.00%13.30%11.70%5.00%5.00%10.21%12.23%0.698
9940.00%20.00%5.00%14.15%10.85%5.00%5.00%10.24%12.41%0.690
10040.00%20.00%5.00%15.00%10.00%5.00%5.00%10.27%12.59%0.683
*Ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate.
Annual returns for the configured portfolios
YearInflationMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceSPDR S&P 500 ETF Trust (SPY)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)iShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
20043.26%9.75%$10,97510.70%22.60%18.95%24.63%8.71%4.12%5.72%
20053.42%6.93%$11,7354.83%6.00%13.32%32.62%8.61%2.64%1.16%
20062.54%8.83%$12,77115.85%19.37%25.81%31.19%0.71%2.52%4.22%
20074.08%9.18%$13,9445.14%-5.56%9.94%33.31%10.29%10.37%3.73%
20080.09%-5.28%$13,208-36.81%-29.39%-41.04%-48.88%33.93%17.91%2.40%
20092.72%4.04%$13,74126.36%22.36%26.95%68.93%-21.80%-6.59%8.46%
20101.50%12.84%$15,50615.06%24.69%8.15%16.51%9.05%9.37%9.33%
20112.96%12.53%$17,4491.89%-1.65%-12.25%-18.82%33.96%15.64%9.73%
20121.74%9.47%$19,10215.99%18.24%18.82%19.10%2.63%3.66%10.58%
20131.50%4.33%$19,92932.31%39.34%21.40%-3.69%-13.37%-6.09%-2.00%
20140.76%13.01%$22,52113.46%7.56%-6.20%-3.93%27.30%9.07%8.21%
20150.73%-0.54%$22,4001.25%-6.90%-1.00%-16.18%-1.79%1.51%-1.25%
20162.07%6.32%$23,81512.00%31.25%1.37%10.87%1.18%1.00%6.21%
20172.11%12.27%$26,73921.70%11.35%25.10%37.28%9.18%2.55%7.06%
20181.91%-3.23%$25,876-4.56%-12.84%-13.81%-15.31%-1.61%0.99%-3.79%
20192.29%18.22%$30,59231.22%24.12%22.03%18.20%14.12%8.03%17.37%
20201.36%15.50%$35,33318.37%2.63%7.59%17.03%18.15%10.01%10.97%
20214.31%2.80%$36,32315.25%30.41%9.59%7.20%-7.87%-3.41%-1.77%
Annual return for 2021 is from 01/01/2021 to 06/30/2021
Monthly returns for the configured portfolios
YearMonthMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceSPDR S&P 500 ETF Trust (SPY)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)iShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
200411.61%$10,1611.98%2.17%1.13%2.42%1.86%1.02%1.22%
200421.91%$10,3551.36%2.50%2.30%3.95%2.28%1.61%1.51%
200430.58%$10,415-1.32%1.82%0.07%0.55%1.41%1.30%0.99%
20044-4.38%$9,959-1.89%-3.93%-3.39%-9.80%-6.23%-4.35%-3.89%
200450.38%$9,9961.71%1.58%1.14%1.17%-0.26%-0.53%-0.52%
200461.41%$10,1371.85%5.35%3.35%0.92%1.06%0.65%0.13%
20047-0.62%$10,074-3.22%-4.75%-4.27%-3.64%1.53%1.21%1.56%
200482.35%$10,3110.24%0.24%1.19%3.53%4.17%2.83%3.08%
200491.29%$10,4431.00%4.69%2.07%6.98%0.95%0.32%0.31%
2004101.48%$10,5981.29%0.95%3.50%2.85%1.77%0.99%1.18%
2004111.13%$10,7184.45%9.11%6.08%9.95%-2.39%-1.98%-1.22%
2004122.39%$10,9753.02%1.57%4.80%4.74%2.66%1.17%1.39%
200510.36%$11,014-2.24%-3.25%-1.90%-0.53%3.57%0.87%1.23%
200520.52%$11,0722.09%2.90%3.78%9.68%-1.47%-1.37%-0.94%
20053-1.40%$10,916-1.83%-2.36%-2.62%-7.91%-0.45%-0.40%-1.26%
200540.92%$11,017-1.87%-5.12%-1.62%-1.25%3.86%2.52%1.62%
200552.60%$11,3033.22%6.16%-0.86%3.16%3.14%1.84%0.62%
200561.24%$11,4440.15%3.92%1.43%3.97%2.16%0.48%1.22%
200570.25%$11,4733.83%5.84%3.00%7.68%-3.38%-2.18%-0.82%
200581.47%$11,641-0.94%-1.87%3.84%1.32%3.48%2.00%1.50%
20059-0.69%$11,5600.80%0.05%3.69%8.65%-3.61%-1.75%-1.86%
200510-2.25%$11,300-2.37%-3.41%-3.18%-6.34%-2.24%-1.24%-1.58%
2005112.15%$11,5434.40%4.91%2.31%5.79%0.69%0.63%0.66%
2005121.66%$11,735-0.19%-1.06%5.18%6.10%2.98%1.37%0.86%
200611.48%$11,9082.40%8.75%5.77%14.20%-1.34%-0.70%-0.44%
200620.21%$11,9330.57%0.27%-0.70%-3.85%1.11%-0.10%0.68%
20063-0.66%$11,8541.65%4.86%4.01%2.17%-4.57%-1.36%-1.68%
200640.01%$11,8551.26%0.18%4.79%6.52%-2.75%-0.63%-0.20%
20065-1.82%$11,640-3.01%-4.55%-3.82%-11.14%-0.19%-0.10%-0.19%
200660.43%$11,6900.26%0.04%-0.06%0.21%1.18%0.23%-0.09%
200671.23%$11,8340.45%-3.10%0.81%2.34%2.16%1.68%1.46%
200682.29%$12,1052.18%2.70%2.55%1.58%3.06%1.76%2.22%
200691.59%$12,2972.70%1.19%0.22%-0.87%1.91%1.21%0.87%
2006102.03%$12,5463.15%5.52%3.75%7.06%0.85%0.54%1.00%
2006112.11%$12,8111.99%2.38%3.07%5.98%2.31%1.31%1.46%
200612-0.31%$12,7711.34%0.32%3.20%5.44%-2.69%-1.28%-0.90%
200710.20%$12,7971.50%2.14%1.39%0.11%-1.00%-0.40%0.09%
200720.85%$12,905-1.96%-0.92%-0.12%-3.24%3.39%2.06%2.00%
200730.25%$12,9381.16%0.91%2.90%5.33%-1.70%-0.14%-0.68%
200742.03%$13,2014.43%1.84%3.75%3.73%0.90%0.61%0.89%
200750.40%$13,2543.39%4.63%2.36%5.06%-2.31%-1.39%-1.23%
20076-0.74%$13,155-1.46%-2.24%-0.32%3.68%-1.01%-0.47%-0.81%
200770.28%$13,192-3.13%-6.26%-2.29%0.71%3.32%2.26%-0.82%
200781.65%$13,4101.28%1.33%-0.63%1.04%1.79%2.26%2.38%
200791.95%$13,6723.87%0.31%5.32%11.57%0.23%0.09%0.73%
2007102.02%$13,9491.36%1.06%4.25%11.87%1.81%1.08%0.97%
2007110.69%$14,046-3.87%-7.15%-3.62%-7.65%5.35%4.04%1.02%
200712-0.73%$13,944-1.13%-0.71%-2.99%-1.43%-0.64%0.05%-0.81%
20081-0.91%$13,817-6.05%-4.00%-7.85%-8.92%2.10%3.36%2.57%
20082-0.55%$13,742-2.58%-3.36%-1.02%1.99%-0.46%1.24%-0.71%
200830.55%$13,817-0.90%0.83%0.42%-3.75%2.14%1.34%-0.60%
200840.78%$13,9264.77%2.64%5.44%9.14%-2.48%-2.41%1.25%
20085-0.52%$13,8541.51%3.92%1.19%3.16%-2.69%-1.78%-2.21%
20086-2.49%$13,508-8.35%-8.41%-8.80%-9.29%2.65%1.14%-1.29%
20087-0.38%$13,457-0.90%2.87%-3.32%-5.50%-0.37%0.72%0.39%
200881.24%$13,6251.55%4.76%-4.25%-6.32%2.74%1.53%0.15%
20089-4.14%$13,061-9.44%-4.82%-11.44%-14.68%1.47%-0.14%-10.73%
200810-8.29%$11,978-16.52%-19.86%-20.83%-25.58%-1.86%-0.87%-1.95%
2008112.90%$12,326-6.96%-11.80%-6.37%-9.75%14.34%7.75%3.35%
2008127.16%$13,2080.98%6.57%8.88%10.35%13.64%5.15%13.80%
20091-8.42%$12,096-8.21%-13.94%-13.73%-9.29%-13.07%-3.89%-1.80%
20092-5.05%$11,485-10.74%-13.03%-10.39%-6.27%-1.54%-0.74%-5.20%
200935.76%$12,1478.35%7.58%8.39%16.86%4.04%3.31%0.47%
200942.39%$12,4389.93%18.89%11.52%15.56%-6.95%-2.75%2.78%
200951.54%$12,6295.85%0.67%13.19%15.94%-3.69%-2.08%2.32%
200960.04%$12,634-0.07%1.52%-1.43%-2.25%0.76%-0.55%2.89%
200974.11%$13,1537.46%11.00%10.04%11.01%0.58%0.83%4.63%
200982.11%$13,4313.69%3.48%4.50%-1.31%2.24%0.77%1.31%
200992.84%$13,8123.55%4.21%3.80%10.20%2.46%1.12%1.76%
200910-1.80%$13,563-1.92%-6.07%-2.52%-3.44%-2.62%-0.14%-0.49%
2009113.29%$14,0096.16%2.90%3.92%7.85%1.21%2.02%1.95%
200912-1.92%$13,7411.91%8.10%0.70%3.27%-6.34%-4.40%-2.07%
20101-0.24%$13,708-3.63%-2.54%-5.07%-7.76%2.69%2.37%1.25%
201021.17%$13,8683.12%4.76%0.27%1.78%-0.34%0.33%0.51%
201031.85%$14,1256.09%7.80%6.39%8.11%-2.06%-1.06%0.65%
201041.99%$14,4061.55%6.63%-2.80%-0.17%3.32%1.65%1.91%
20105-1.37%$14,208-7.95%-8.54%-11.19%-9.39%5.11%2.93%-1.31%
201060.63%$14,297-5.17%-8.27%-2.07%-1.40%5.80%3.05%3.28%
201073.33%$14,7726.83%6.71%11.61%10.93%-0.95%0.91%2.11%
201081.35%$14,972-4.50%-7.91%-3.80%-3.24%8.40%3.36%2.86%
201093.29%$15,4648.96%10.93%9.97%11.76%-2.51%-0.00%0.46%
2010100.38%$15,5233.82%4.04%3.81%3.02%-4.47%-0.01%-0.26%
201011-1.03%$15,3630.00%2.47%-4.82%-2.91%-1.69%-0.90%-1.62%
2010120.93%$15,5066.68%8.97%8.30%7.27%-3.68%-3.43%-0.75%
20111-0.28%$15,4622.33%-0.24%2.10%-3.84%-3.08%-0.02%0.04%
201121.66%$15,7193.47%4.21%3.55%-0.04%1.65%-0.21%1.08%
201130.24%$15,7570.01%2.21%-2.39%6.29%0.03%-0.15%-0.54%
201142.46%$16,1452.90%1.06%5.63%2.73%2.34%1.84%2.50%
201151.04%$16,312-1.12%-1.77%-2.21%-2.94%3.42%2.51%1.27%
20116-1.38%$16,087-1.69%-1.59%-1.19%-0.93%-2.33%-0.51%-0.80%
201171.36%$16,305-2.00%-2.77%-2.38%-1.03%4.42%3.17%2.43%
201181.13%$16,489-5.50%-7.98%-8.75%-9.25%9.66%4.65%0.34%
201190.25%$16,530-6.94%-10.57%-10.81%-17.89%13.20%2.24%0.35%
2011103.60%$17,12510.91%15.34%9.63%16.27%-3.84%-1.29%2.51%
2011110.23%$17,164-0.41%0.63%-2.18%-1.96%1.98%0.58%-3.16%
2011121.66%$17,4491.04%2.02%-2.21%-4.30%3.44%1.99%3.49%
201212.66%$17,9144.64%7.90%5.27%10.99%-0.33%0.86%2.14%
201220.79%$18,0554.34%1.71%4.83%5.27%-2.59%-1.10%1.63%
20123-0.78%$17,9153.22%2.89%0.42%-3.11%-4.23%-1.59%-1.42%
201241.55%$18,193-0.67%-1.91%-2.08%-1.70%4.83%2.51%1.08%
201250.18%$18,225-6.01%-7.18%-11.14%-10.71%9.03%2.87%0.76%
201261.36%$18,4724.05%4.54%7.11%5.08%-1.68%-0.42%0.87%
201271.81%$18,8061.18%-0.69%0.08%-0.03%3.82%1.40%3.48%
201280.65%$18,9292.51%4.08%3.20%0.41%-1.32%-0.12%-0.05%
201290.51%$19,0262.54%3.14%2.71%5.22%-2.53%-0.35%1.10%
201210-0.70%$18,894-1.82%-1.96%1.09%-0.44%-0.48%-0.40%1.35%
2012111.06%$19,0940.57%1.65%2.78%1.56%1.38%0.98%-0.42%
2012120.05%$19,1020.90%3.55%4.37%6.80%-2.49%-0.94%-0.33%
201310.48%$19,1955.12%5.35%3.73%-0.29%-3.19%-1.29%-1.30%
201320.93%$19,3731.28%1.63%-1.29%-2.28%1.24%1.13%1.08%
201331.16%$19,5973.80%4.11%1.31%-1.02%-0.42%0.29%-0.05%
201342.53%$20,0921.92%0.12%5.02%1.22%4.68%1.52%2.17%
20135-2.35%$19,6192.36%4.29%-3.02%-4.83%-6.76%-3.11%-3.22%
20136-2.49%$19,132-1.34%-0.14%-2.70%-5.35%-3.27%-2.55%-3.27%
201371.35%$19,3905.17%6.56%5.32%1.32%-2.26%-0.35%1.11%
20138-1.96%$19,010-3.00%-3.41%-1.96%-2.54%-1.34%-1.42%-1.00%
201392.63%$19,5113.17%6.59%7.82%7.21%0.66%1.85%0.74%
2013102.39%$19,9774.63%3.48%3.26%4.17%1.43%0.78%1.81%
2013110.03%$19,9842.96%4.25%0.55%-0.26%-2.70%-0.88%-0.14%
201312-0.28%$19,9292.59%1.29%2.16%-0.42%-1.87%-2.09%0.22%
201410.82%$20,093-3.52%-3.51%-5.20%-8.64%6.30%3.06%1.88%
201422.15%$20,5244.55%4.63%6.13%3.38%0.52%0.36%1.14%
201430.46%$20,6180.83%1.34%-0.46%3.88%0.73%-0.56%-0.03%
201441.00%$20,8240.70%-2.29%1.67%0.78%2.10%0.76%1.33%
201452.20%$21,2812.32%0.62%1.60%2.95%2.95%1.82%1.51%
201460.75%$21,4412.06%3.85%0.92%2.40%-0.25%-0.22%0.01%
20147-0.57%$21,319-1.34%-5.07%-2.60%1.36%0.67%-0.22%-0.32%
201483.20%$22,0023.95%4.46%0.18%2.83%4.72%1.88%2.00%
20149-2.15%$21,529-1.38%-5.94%-3.88%-7.77%-2.11%-1.05%-1.68%
2014102.23%$22,0092.36%7.13%-0.27%1.42%2.81%1.53%1.23%
2014111.81%$22,4072.75%0.48%0.06%-1.54%2.97%1.29%0.91%
2014120.51%$22,521-0.26%2.56%-4.00%-3.99%3.25%0.13%-0.02%
201512.90%$23,174-2.96%-5.32%0.62%-0.69%9.82%4.30%3.75%
20152-0.09%$23,1535.62%5.86%6.34%4.41%-6.14%-2.47%-1.42%
201530.05%$23,164-1.57%1.03%-1.43%-1.50%1.10%0.86%0.20%
20154-0.42%$23,0670.98%-1.82%3.65%6.85%-3.43%-0.63%-1.19%
20155-0.60%$22,9281.29%0.75%0.20%-4.10%-2.37%-0.42%-1.12%
20156-2.39%$22,381-2.03%0.42%-3.12%-2.93%-4.07%-1.63%-1.88%
201571.85%$22,7952.26%-2.70%2.03%-6.31%4.55%1.52%0.83%
20158-2.77%$22,164-6.10%-4.62%-7.43%-8.84%-0.69%0.08%-0.83%
20159-0.19%$22,122-2.54%-3.77%-4.42%-3.13%1.97%1.58%1.19%
2015102.86%$22,7548.51%6.57%6.61%6.38%-0.41%-0.64%0.57%
201511-0.30%$22,6860.37%2.47%-0.75%-2.52%-0.87%-0.43%-0.15%
201512-1.26%$22,400-1.72%-5.08%-2.34%-3.83%-0.30%-0.45%-1.08%
201610.32%$22,471-4.98%-5.85%-5.52%-5.03%5.57%3.33%0.12%
201621.14%$22,727-0.08%2.08%-3.33%-0.82%3.09%1.49%1.05%
201633.28%$23,4736.72%9.41%6.58%12.96%-0.09%-0.06%3.62%
201640.19%$23,5160.39%2.13%2.22%0.41%-0.74%-0.16%1.55%
201650.41%$23,6121.70%0.44%-0.09%-3.69%0.81%-0.10%-0.51%
201663.04%$24,3290.35%0.83%-2.42%4.56%6.93%3.09%3.09%
201672.30%$24,8883.65%5.06%3.98%5.38%2.10%0.25%1.29%
20168-0.39%$24,7920.12%1.13%0.53%0.88%-1.01%-1.01%0.18%
20169-0.08%$24,7720.01%0.87%1.34%2.52%-1.51%0.24%-0.32%
201610-2.39%$24,180-1.73%-3.74%-2.22%-0.83%-4.38%-1.49%-1.53%
201611-2.18%$23,6533.68%13.34%-1.78%-4.42%-8.21%-4.23%-3.17%
2016120.69%$23,8152.03%3.20%2.71%-0.25%-0.46%-0.12%0.84%
201711.16%$24,0921.79%-1.21%3.29%6.66%0.81%0.22%0.15%
201721.88%$24,5453.93%1.35%1.19%1.74%1.59%0.72%1.32%
201730.19%$24,5930.13%-0.65%3.23%3.69%-0.65%0.08%-0.29%
201741.26%$24,9030.99%0.51%2.42%1.70%1.57%1.11%1.19%
201751.35%$25,2391.41%-2.26%3.54%2.85%1.89%0.83%1.33%
201760.44%$25,3490.64%2.96%0.31%0.93%0.79%-0.51%0.48%
201770.97%$25,5942.06%0.75%2.65%5.82%-0.66%0.38%0.77%
201781.37%$25,9450.29%-2.72%-0.04%2.35%3.41%1.46%0.68%
201790.04%$25,9552.01%8.58%2.36%-0.04%-2.32%-1.44%-0.05%
2017100.81%$26,1672.36%0.59%1.68%3.28%-0.04%-0.19%0.19%
2017111.07%$26,4463.06%3.76%0.69%-0.39%0.74%-0.28%-0.12%
2017121.11%$26,7391.21%-0.37%1.35%3.77%1.81%0.18%1.22%
201810.64%$26,9095.64%1.33%5.02%8.30%-3.26%-2.15%-1.23%
20182-2.80%$26,156-3.64%-4.04%-4.83%-5.90%-3.04%-0.93%-2.24%
201830.45%$26,273-2.74%1.37%-0.84%0.54%2.86%1.16%0.56%
20184-0.83%$26,0560.52%1.76%1.52%-2.82%-2.09%-1.28%-1.57%
201851.50%$26,4462.43%5.87%-1.89%-2.62%2.01%0.99%0.52%
201860.08%$26,4660.58%0.80%-1.57%-4.54%0.65%0.20%-0.49%
201870.94%$26,7143.70%2.62%2.85%3.53%-1.44%-0.53%1.34%
201881.29%$27,0593.19%3.14%-2.24%-3.77%1.31%1.01%0.02%
20189-1.06%$26,7710.59%-3.05%0.97%-0.58%-2.86%-1.20%-0.14%
201810-4.00%$25,700-6.91%-9.94%-8.13%-8.76%-2.93%-0.30%-2.05%
2018111.59%$26,1091.85%0.57%0.50%4.90%1.79%1.33%-0.36%
201812-0.89%$25,876-8.79%-12.38%-5.35%-3.50%5.85%2.80%1.86%
201913.94%$26,8958.01%12.26%6.63%10.34%0.38%0.65%3.37%
201920.56%$27,0473.24%4.13%2.54%-1.53%-1.38%-0.52%-0.20%
201932.69%$27,7741.81%-3.91%0.92%1.13%5.57%2.66%2.93%
201940.88%$28,0194.09%4.32%2.93%2.35%-1.99%-0.52%0.44%
20195-0.03%$28,011-6.38%-9.98%-5.03%-7.33%6.84%3.05%1.65%
201963.50%$28,9926.96%7.66%5.91%6.20%0.95%1.22%3.25%
201970.30%$29,0801.51%1.30%-1.95%-2.66%0.26%0.04%0.25%
201983.16%$29,998-1.67%-5.14%-1.92%-3.78%11.04%3.95%3.88%
20199-0.05%$29,9841.95%5.57%3.16%1.69%-2.68%-1.19%-0.76%
2019100.84%$30,2352.21%2.00%3.39%4.18%-1.11%0.19%0.44%
2019110.82%$30,4823.62%2.71%1.13%-0.09%-0.41%-0.69%0.47%
2019120.36%$30,5922.90%2.84%2.98%7.71%-3.20%-0.93%0.53%
202012.30%$31,295-0.04%-6.31%-2.82%-6.15%7.69%3.47%2.45%
20202-0.49%$31,141-7.92%-10.15%-7.77%-3.78%6.63%2.96%1.09%
20203-3.54%$30,040-12.46%-25.76%-14.11%-15.77%6.38%3.72%-6.31%
202045.18%$31,59612.70%13.89%5.82%7.35%1.22%0.27%4.85%
202051.53%$32,0794.76%2.55%5.43%2.97%-1.76%0.33%2.46%
202061.33%$32,5071.78%3.58%3.51%6.61%0.34%0.04%2.13%
202073.63%$33,6895.89%2.58%1.94%8.25%4.44%0.85%3.10%
202080.76%$33,9446.98%5.07%4.72%2.89%-5.05%-0.97%-1.78%
20209-1.09%$33,576-3.74%-5.18%-2.05%-1.01%0.77%0.33%-0.44%
202010-1.83%$32,961-2.49%3.66%-3.55%1.41%-3.39%-1.38%-0.51%
2020115.57%$34,79510.88%19.21%14.27%8.99%1.66%0.34%3.77%
2020121.55%$35,3333.71%7.50%5.01%7.14%-1.23%-0.24%0.15%
20211-1.15%$34,929-1.02%6.25%-0.78%3.17%-3.63%-1.09%-1.83%
20212-0.85%$34,6302.78%10.80%2.24%0.79%-5.73%-2.36%-2.26%
20213-0.58%$34,4304.54%5.61%2.51%-0.73%-5.24%-2.39%-1.48%
202142.60%$35,3245.29%1.69%2.95%1.20%2.49%1.00%1.04%
202150.78%$35,5980.66%3.89%3.48%1.65%0.00%0.42%0.62%
202162.04%$36,3232.25%-0.71%-1.08%0.95%4.42%1.02%2.21%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.64%
Arithmetic Mean (annualized)7.90%
Geometric Mean (monthly)0.62%
Geometric Mean (annualized)7.65%
Volatility (monthly)1.97%
Volatility (annualized)6.83%
Downside Deviation (monthly)1.25%
Max. Drawdown-18.23%
US Market Correlation0.67
Beta(*)0.31
Alpha (annualized)4.19%
R245.27%
Sharpe Ratio0.93
Sortino Ratio1.44
Treynor Ratio (%)20.69
Calmar Ratio2.22
Active Return-2.82%
Tracking Error11.42%
Information Ratio-0.25
Skewness-0.89
Excess Kurtosis4.10
Historical Value-at-Risk (5%)-2.44%
Analytical Value-at-Risk (5%)-2.60%
Conditional Value-at-Risk (5%)-4.40%
Upside Capture Ratio (%)38.68
Downside Capture Ratio (%)21.30
Safe Withdrawal Rate8.65%
Perpetual Withdrawal Rate5.17%
Positive Periods150 out of 210 (71.43%)
Gain/Loss Ratio0.96
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndMaximum Sharpe Ratio
Subprime CrisisNov 2007Mar 2009-18.23%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsMar 20101 year 1 month2 years 4 months-18.23%
2May 2013Aug 20134 monthsJan 20145 months9 months-5.39%
3Sep 2018Oct 20182 monthsMar 20195 months7 months-5.02%
4Aug 2016Nov 20164 monthsApr 20175 months9 months-4.96%
5Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-4.54%
6Apr 2004Apr 20041 monthSep 20045 months6 months-4.38%
7Feb 2020Mar 20202 monthsApr 20201 month3 months-4.01%
8Feb 2018Apr 20183 monthsAug 20184 months7 months-3.17%
9Sep 2005Oct 20052 monthsDec 20052 months4 months-2.93%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-2.90%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust10.15%14.27%32.31%-36.81%-50.80%0.670.991.00
IJSiShares S&P Small-Cap 600 Value ETF10.14%20.15%39.34%-29.39%-54.13%0.520.770.90
EFAiShares MSCI EAFE ETF6.04%16.84%26.95%-41.04%-57.38%0.360.510.88
EEMiShares MSCI Emerging Markets ETF8.50%21.63%68.93%-48.88%-60.44%0.430.650.78
TLTiShares 20+ Year Treasury Bond ETF6.50%13.04%33.96%-21.80%-21.80%0.460.78-0.31
IEFiShares 7-10 Year Treasury Bond ETF4.55%6.10%17.91%-6.59%-7.60%0.560.96-0.31
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.37%7.17%17.37%-3.79%-15.11%0.590.950.32

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIJSEFAEEMTLTIEFLQDMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust1.000.880.880.77-0.31-0.300.320.68
IJSiShares S&P Small-Cap 600 Value ETF0.881.000.770.70-0.37-0.370.230.55
EFAiShares MSCI EAFE ETF0.880.771.000.87-0.25-0.230.390.68
EEMiShares MSCI Emerging Markets ETF0.770.700.871.00-0.22-0.190.360.64
TLTiShares 20+ Year Treasury Bond ETF-0.31-0.37-0.25-0.221.000.910.510.46
IEFiShares 7-10 Year Treasury Bond ETF-0.30-0.37-0.23-0.190.911.000.520.45
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.320.230.390.360.510.521.000.74

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust35.49%
IJSiShares S&P Small-Cap 600 Value ETF8.12%
EFAiShares MSCI EAFE ETF8.36%
EEMiShares MSCI Emerging Markets ETF10.06%
TLTiShares 20+ Year Treasury Bond ETF21.93%
IEFiShares 7-10 Year Treasury Bond ETF12.13%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.90%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.80%20.74%-16.42%
3 years7.22%16.28%-1.27%
5 years7.12%12.31%2.09%
7 years7.47%10.24%5.79%
10 years7.51%8.94%6.32%
15 years7.25%7.85%6.54%