Portfolio Optimization

Portfolio Optimization Configuration

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Asset Groups
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Portfolio Optimization Results (Jan 2004 - Dec 2022) Save

Portfolio optimization results with the goal to maximize Sharpe ratio. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 5.41% to 8.29%. Refer to the efficient frontier section for additional details.

Maximum Sharpe Ratio

Maximum Sharpe Ratio
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 31.62%
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 18.38%
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

Performance Summary

Portfolio performance statistics
MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$31,662
Annualized Return (CAGR)6.25%
Expected Return6.40%
Standard Deviation7.95%
Best Year19.27%
Worst Year-19.08%
Maximum Drawdown -22.56%
Sharpe Ratio (ex-ante)0.65
Sharpe Ratio (ex-post)0.65
Sortino Ratio0.94
Stock Market Correlation0.82
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

   

Annual Returns

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Maximum Sharpe Ratio4.50%-19.08%-19.08%0.44%3.14%5.40%6.25%11.85%10.06%
Trailing return and volatility are as of last full calendar month ending December 2022
Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. 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 the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

Efficient Frontier Assets
#AssetGroupExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1SPDR S&P 500 ETF Trust (SPY)Equity9.58%14.88%0.5625.00%40.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)Equity10.38%20.27%0.4525.00%20.00%
3iShares MSCI EAFE ETF (EFA)Equity6.16%17.10%0.2895.00%30.00%
4iShares MSCI Emerging Markets ETF (EEM)Equity8.09%21.53%0.3195.00%15.00%
5iShares 20+ Year Treasury Bond ETF (TLT)Fixed Income4.90%13.34%0.2765.00%30.00%
6iShares 7-10 Year Treasury Bond ETF (IEF)Fixed Income3.45%6.39%0.3495.00%30.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)Fixed Income4.07%7.72%0.3705.00%20.00%
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate.
Asset Groups
Asset GroupMin. WeightMax. Weight
Equity20.00%80.00%
Fixed Income20.00%80.00%

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerSPYIJSEFAEEMTLTIEFLQD
SPDR S&P 500 ETF TrustSPY1.000.870.880.74-0.19-0.160.40
iShares S&P Small-Cap 600 Value ETFIJS0.871.000.770.68-0.29-0.270.29
iShares MSCI EAFE ETFEFA0.880.771.000.86-0.15-0.110.45
iShares MSCI Emerging Markets ETFEEM0.740.680.861.00-0.14-0.100.41
iShares 20+ Year Treasury Bond ETFTLT-0.19-0.29-0.15-0.141.000.910.57
iShares 7-10 Year Treasury Bond ETFIEF-0.16-0.27-0.11-0.100.911.000.60
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.400.290.450.410.570.601.00
Based on monthly returns from Jan 2004 to Dec 2022

Efficient Frontiers

Efficient Frontier Portfolios

Efficient Frontier Assets
#SPYIJSEFAEEMTLTIEFLQDExpected Return *Standard Deviation *Sharpe Ratio *
113.08%5.00%5.00%5.00%21.92%30.00%20.00%5.41%7.17%0.584
213.70%5.00%5.00%5.00%21.30%30.00%20.00%5.44%7.17%0.588
314.33%5.00%5.00%5.00%20.67%30.00%20.00%5.47%7.17%0.592
414.95%5.00%5.00%5.00%20.05%30.00%20.00%5.49%7.18%0.595
515.57%5.00%5.00%5.00%19.43%30.00%20.00%5.52%7.19%0.599
616.20%5.00%5.00%5.00%18.80%30.00%20.00%5.55%7.20%0.602
716.82%5.00%5.00%5.00%18.18%30.00%20.00%5.58%7.22%0.605
817.44%5.00%5.00%5.00%17.56%30.00%20.00%5.61%7.23%0.607
917.99%5.00%5.00%5.00%17.47%30.00%19.55%5.64%7.25%0.610
1018.46%5.00%5.00%5.00%17.86%30.00%18.69%5.67%7.27%0.612
1118.93%5.00%5.00%5.00%18.25%30.00%17.82%5.70%7.29%0.615
1219.40%5.00%5.00%5.00%18.64%30.00%16.96%5.73%7.31%0.617
1319.87%5.00%5.00%5.00%19.03%30.00%16.10%5.76%7.33%0.619
1420.34%5.00%5.00%5.00%19.42%30.00%15.24%5.79%7.35%0.621
1520.81%5.00%5.00%5.00%19.81%30.00%14.37%5.82%7.37%0.624
1621.28%5.00%5.00%5.00%20.20%30.00%13.51%5.84%7.39%0.626
1721.76%5.00%5.00%5.00%20.60%30.00%12.65%5.87%7.42%0.628
1822.23%5.00%5.00%5.00%20.99%30.00%11.79%5.90%7.44%0.630
1922.70%5.00%5.00%5.00%21.38%30.00%10.92%5.93%7.46%0.632
2023.17%5.00%5.00%5.00%21.77%30.00%10.06%5.96%7.48%0.634
2123.64%5.00%5.00%5.00%22.16%30.00%9.20%5.99%7.51%0.636
2224.11%5.00%5.00%5.00%22.55%30.00%8.34%6.02%7.53%0.638
2324.58%5.00%5.00%5.00%22.94%30.00%7.47%6.05%7.55%0.639
2425.06%5.00%5.00%5.00%23.33%30.00%6.61%6.08%7.58%0.641
2525.53%5.00%5.00%5.00%23.72%30.00%5.75%6.11%7.60%0.643
2626.02%5.00%5.00%5.00%23.98%30.00%5.00%6.14%7.63%0.645
2726.64%5.00%5.00%5.00%23.36%30.00%5.00%6.17%7.65%0.646
2827.26%5.00%5.00%5.00%22.74%30.00%5.00%6.19%7.68%0.648
2927.89%5.00%5.00%5.00%22.11%30.00%5.00%6.22%7.71%0.649
3028.51%5.00%5.00%5.00%21.49%30.00%5.00%6.25%7.75%0.650
3129.13%5.00%5.00%5.00%20.87%30.00%5.00%6.28%7.78%0.651
3229.76%5.00%5.00%5.00%20.24%30.00%5.00%6.31%7.82%0.651
3330.38%5.00%5.00%5.00%19.62%30.00%5.00%6.34%7.86%0.652
3431.00%5.00%5.00%5.00%19.00%30.00%5.00%6.37%7.90%0.652
3531.62%5.00%5.00%5.00%18.38%30.00%5.00%6.40%7.95%0.652
3632.22%5.00%5.00%5.00%17.87%29.91%5.00%6.43%7.99%0.652
3732.56%5.00%5.00%5.00%18.44%29.00%5.00%6.46%8.04%0.652
3832.90%5.00%5.00%5.00%19.01%28.09%5.00%6.49%8.09%0.651
3933.24%5.00%5.00%5.00%19.57%27.18%5.00%6.52%8.13%0.651
4033.59%5.00%5.00%5.00%20.14%26.27%5.00%6.54%8.18%0.651
4133.93%5.00%5.00%5.00%20.71%25.36%5.00%6.57%8.23%0.651
4234.27%5.00%5.00%5.00%21.28%24.45%5.00%6.60%8.28%0.651
4334.61%5.00%5.00%5.00%21.85%23.54%5.00%6.63%8.32%0.650
4434.95%5.00%5.00%5.00%22.42%22.63%5.00%6.66%8.37%0.650
4535.29%5.00%5.00%5.00%22.99%21.72%5.00%6.69%8.42%0.650
4635.63%5.00%5.00%5.00%23.55%20.81%5.00%6.72%8.47%0.650
4735.97%5.00%5.00%5.00%24.12%19.90%5.00%6.75%8.52%0.649
4836.32%5.00%5.00%5.00%24.69%18.99%5.00%6.78%8.56%0.649
4936.66%5.00%5.00%5.00%25.26%18.08%5.00%6.81%8.61%0.649
5037.00%5.00%5.00%5.00%25.83%17.17%5.00%6.84%8.66%0.649
5137.34%5.00%5.00%5.00%26.40%16.26%5.00%6.87%8.71%0.648
5237.68%5.00%5.00%5.00%26.96%15.36%5.00%6.89%8.76%0.648
5338.02%5.00%5.00%5.00%27.53%14.45%5.00%6.92%8.81%0.648
5438.36%5.00%5.00%5.00%28.10%13.54%5.00%6.95%8.85%0.648
5538.70%5.00%5.00%5.00%28.67%12.63%5.00%6.98%8.90%0.647
5639.05%5.00%5.00%5.00%29.24%11.72%5.00%7.01%8.95%0.647
5739.39%5.00%5.00%5.00%29.81%10.81%5.00%7.04%9.00%0.647
5839.82%5.00%5.00%5.00%30.00%10.18%5.00%7.07%9.05%0.646
5940.00%5.26%5.00%5.00%30.00%9.74%5.00%7.10%9.10%0.646
6040.00%5.68%5.00%5.00%30.00%9.32%5.00%7.13%9.15%0.646
6140.00%6.10%5.00%5.00%30.00%8.90%5.00%7.16%9.21%0.645
6240.00%6.52%5.00%5.00%30.00%8.48%5.00%7.19%9.26%0.645
6340.00%6.94%5.00%5.00%30.00%8.06%5.00%7.22%9.31%0.644
6440.00%7.36%5.00%5.00%30.00%7.64%5.00%7.25%9.37%0.643
6540.00%7.78%5.00%5.00%30.00%7.22%5.00%7.27%9.42%0.643
6640.00%8.20%5.00%5.00%30.00%6.80%5.00%7.30%9.48%0.642
6740.00%8.63%5.00%5.00%30.00%6.37%5.00%7.33%9.53%0.641
6840.00%9.05%5.00%5.00%30.00%5.95%5.00%7.36%9.59%0.641
6940.00%9.47%5.00%5.00%30.00%5.53%5.00%7.39%9.65%0.640
7040.00%9.89%5.00%5.00%30.00%5.11%5.00%7.42%9.71%0.639
7140.00%10.39%5.00%5.00%29.61%5.00%5.00%7.45%9.77%0.638
7240.00%10.92%5.00%5.00%29.08%5.00%5.00%7.48%9.83%0.636
7340.00%11.45%5.00%5.00%28.55%5.00%5.00%7.51%9.90%0.635
7440.00%11.99%5.00%5.00%28.01%5.00%5.00%7.54%9.97%0.634
7540.00%12.52%5.00%5.00%27.48%5.00%5.00%7.57%10.04%0.632
7640.00%13.05%5.00%5.00%26.95%5.00%5.00%7.60%10.12%0.630
7740.00%13.58%5.00%5.00%26.42%5.00%5.00%7.62%10.19%0.628
7840.00%14.12%5.00%5.00%25.88%5.00%5.00%7.65%10.27%0.627
7940.00%14.65%5.00%5.00%25.35%5.00%5.00%7.68%10.35%0.625
8040.00%15.18%5.00%5.00%24.82%5.00%5.00%7.71%10.43%0.623
8140.00%15.71%5.00%5.00%24.29%5.00%5.00%7.74%10.51%0.621
8240.00%16.24%5.00%5.00%23.76%5.00%5.00%7.77%10.59%0.619
8340.00%16.78%5.00%5.00%23.22%5.00%5.00%7.80%10.67%0.617
8440.00%17.31%5.00%5.00%22.69%5.00%5.00%7.83%10.76%0.615
8540.00%17.84%5.00%5.00%22.16%5.00%5.00%7.86%10.84%0.612
8640.00%18.37%5.00%5.00%21.63%5.00%5.00%7.89%10.93%0.610
8740.00%18.90%5.00%5.00%21.10%5.00%5.00%7.92%11.02%0.608
8840.00%19.44%5.00%5.00%20.56%5.00%5.00%7.95%11.11%0.606
8940.00%19.97%5.00%5.00%20.03%5.00%5.00%7.97%11.20%0.603
9040.00%20.00%5.00%5.86%19.14%5.00%5.00%8.00%11.34%0.598
9140.00%20.00%5.00%6.77%18.23%5.00%5.00%8.03%11.49%0.593
9240.00%20.00%5.00%7.69%17.31%5.00%5.00%8.06%11.65%0.587
9340.00%20.00%5.00%8.60%16.40%5.00%5.00%8.09%11.81%0.582
9440.00%20.00%5.00%9.52%15.48%5.00%5.00%8.12%11.97%0.577
9540.00%20.00%5.00%10.43%14.57%5.00%5.00%8.15%12.13%0.571
9640.00%20.00%5.00%11.34%13.66%5.00%5.00%8.18%12.30%0.566
9740.00%20.00%5.00%12.26%12.74%5.00%5.00%8.21%12.47%0.560
9840.00%20.00%5.00%13.17%11.83%5.00%5.00%8.24%12.64%0.555
9940.00%20.00%5.00%14.09%10.91%5.00%5.00%8.27%12.82%0.550
10040.00%20.00%5.00%15.00%10.00%5.00%5.00%8.30%12.99%0.545
*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.

Annual Returns

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%9.87%$10,98710.70%22.60%18.95%24.63%8.71%4.12%5.72%
20053.42%6.68%$11,7214.83%6.00%13.32%32.62%8.61%2.64%1.16%
20062.54%9.81%$12,87115.85%19.37%25.81%31.19%0.71%2.52%4.22%
20074.08%8.84%$14,0085.14%-5.56%9.94%33.31%10.29%10.37%3.73%
20080.09%-9.76%$12,641-36.81%-29.39%-41.04%-48.88%33.93%17.91%2.40%
20092.72%7.27%$13,56126.36%22.36%26.95%68.93%-21.80%-6.59%8.46%
20101.50%13.21%$15,35215.06%24.69%8.15%16.51%9.05%9.37%9.33%
20112.96%10.50%$16,9641.89%-1.65%-12.25%-18.82%33.96%15.64%9.73%
20121.74%10.31%$18,71315.99%18.24%18.82%19.10%2.63%3.66%10.58%
20131.50%7.21%$20,06232.31%39.34%21.40%-3.69%-13.37%-6.09%-2.00%
20140.76%12.16%$22,50313.46%7.56%-6.20%-3.93%27.30%9.07%8.21%
20150.73%-0.35%$22,4231.25%-6.90%-1.00%-16.18%-1.79%1.51%-1.25%
20162.07%7.00%$23,99412.00%31.25%1.37%10.87%1.18%1.00%6.21%
20172.11%13.06%$27,12821.70%11.35%25.10%37.28%9.18%2.55%7.06%
20181.91%-3.41%$26,203-4.56%-12.84%-13.81%-15.31%-1.61%0.99%-3.79%
20192.29%19.27%$31,25231.22%24.12%22.03%18.20%14.12%8.03%17.37%
20201.36%15.50%$36,09518.37%2.63%7.59%17.03%18.15%10.01%10.97%
20217.04%8.41%$39,12928.74%30.53%11.46%-3.61%-4.60%-3.33%-1.85%
20226.45%-19.08%$31,662-18.17%-11.33%-14.35%-20.56%-31.24%-15.19%-17.93%

Monthly Returns

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)
200411.62%$10,1621.98%2.17%1.13%2.42%1.86%1.02%1.22%
200421.85%$10,3491.36%2.50%2.30%3.95%2.28%1.61%1.51%
200430.40%$10,391-1.32%1.82%0.07%0.55%1.41%1.30%0.99%
20044-4.10%$9,965-1.89%-3.93%-3.39%-9.80%-6.23%-4.35%-3.89%
200450.50%$10,0151.71%1.58%1.14%1.17%-0.26%-0.53%-0.52%
200461.46%$10,1621.85%5.35%3.35%0.92%1.06%0.65%0.13%
20047-0.93%$10,068-3.22%-4.75%-4.27%-3.64%1.53%1.21%1.56%
200482.09%$10,2780.24%0.24%1.19%3.53%4.17%2.83%3.08%
200491.29%$10,4111.00%4.69%2.07%6.98%0.95%0.32%0.31%
2004101.45%$10,5621.29%0.95%3.50%2.85%1.77%0.99%1.18%
2004111.57%$10,7284.45%9.11%6.08%9.95%-2.39%-1.98%-1.22%
2004122.42%$10,9873.02%1.57%4.80%4.74%2.66%1.17%1.39%
20051-0.01%$10,986-2.24%-3.25%-1.90%-0.53%3.57%0.87%1.23%
200520.75%$11,0682.09%2.90%3.78%9.68%-1.47%-1.37%-0.94%
20053-1.49%$10,903-1.83%-2.36%-2.62%-7.91%-0.45%-0.40%-1.26%
200540.55%$10,964-1.87%-5.12%-1.62%-1.25%3.86%2.52%1.62%
200552.60%$11,2493.22%6.16%-0.86%3.16%3.14%1.84%0.62%
200561.11%$11,3740.15%3.92%1.43%3.97%2.16%0.48%1.22%
200570.72%$11,4563.83%5.84%3.00%7.68%-3.38%-2.18%-0.82%
200581.18%$11,592-0.94%-1.87%3.84%1.32%3.48%2.00%1.50%
20059-0.41%$11,5440.80%0.05%3.69%8.65%-3.61%-1.75%-1.86%
200510-2.26%$11,284-2.37%-3.41%-3.18%-6.34%-2.24%-1.24%-1.58%
2005112.39%$11,5534.40%4.91%2.31%5.79%0.69%0.63%0.66%
2005121.45%$11,721-0.19%-1.06%5.18%6.10%2.98%1.37%0.86%
200611.72%$11,9222.40%8.75%5.77%14.20%-1.34%-0.70%-0.44%
200620.17%$11,9430.57%0.27%-0.70%-3.85%1.11%-0.10%0.68%
20063-0.26%$11,9121.65%4.86%4.01%2.17%-4.57%-1.36%-1.68%
200640.27%$11,9441.26%0.18%4.79%6.52%-2.75%-0.63%-0.20%
20065-2.00%$11,705-3.01%-4.55%-3.82%-11.14%-0.19%-0.10%-0.19%
200660.37%$11,7490.26%0.04%-0.06%0.21%1.18%0.23%-0.09%
200671.12%$11,8800.45%-3.10%0.81%2.34%2.16%1.68%1.46%
200682.23%$12,1462.18%2.70%2.55%1.58%3.06%1.76%2.22%
200691.64%$12,3442.70%1.19%0.22%-0.87%1.91%1.21%0.87%
2006102.18%$12,6143.15%5.52%3.75%7.06%0.85%0.54%1.00%
2006112.09%$12,8771.99%2.38%3.07%5.98%2.31%1.31%1.46%
200612-0.05%$12,8711.34%0.32%3.20%5.44%-2.69%-1.28%-0.90%
200710.36%$12,9171.50%2.14%1.39%0.11%-1.00%-0.40%0.09%
200720.51%$12,982-1.96%-0.92%-0.12%-3.24%3.39%2.06%2.00%
200730.44%$13,0391.16%0.91%2.90%5.33%-1.70%-0.14%-0.68%
200742.26%$13,3334.43%1.84%3.75%3.73%0.90%0.61%0.89%
200750.77%$13,4363.39%4.63%2.36%5.06%-2.31%-1.39%-1.23%
20076-0.77%$13,332-1.46%-2.24%-0.32%3.68%-1.01%-0.47%-0.81%
20077-0.14%$13,314-3.13%-6.26%-2.29%0.71%3.32%2.26%-0.82%
200781.62%$13,5301.28%1.33%-0.63%1.04%1.79%2.26%2.38%
200792.19%$13,8263.87%0.31%5.32%11.57%0.23%0.09%0.73%
2007101.99%$14,1011.36%1.06%4.25%11.87%1.81%1.08%0.97%
2007110.10%$14,115-3.87%-7.15%-3.62%-7.65%5.35%4.04%1.02%
200712-0.76%$14,008-1.13%-0.71%-2.99%-1.43%-0.64%0.05%-0.81%
20081-1.43%$13,808-6.05%-4.00%-7.85%-8.92%2.10%3.36%2.57%
20082-0.68%$13,714-2.58%-3.36%-1.02%1.99%-0.46%1.24%-0.71%
200830.35%$13,762-0.90%0.83%0.42%-3.75%2.14%1.34%-0.60%
200841.25%$13,9344.77%2.64%5.44%9.14%-2.48%-2.41%1.25%
20085-0.25%$13,9001.51%3.92%1.19%3.16%-2.69%-1.78%-2.21%
20086-3.20%$13,455-8.35%-8.41%-8.80%-9.29%2.65%1.14%-1.29%
20087-0.41%$13,399-0.90%2.87%-3.32%-5.50%-0.37%0.72%0.39%
200881.17%$13,5561.55%4.76%-4.25%-6.32%2.74%1.53%0.15%
20089-4.84%$12,900-9.44%-4.82%-11.44%-14.68%1.47%-0.14%-10.73%
200810-9.24%$11,708-16.52%-19.86%-20.83%-25.58%-1.86%-0.87%-1.95%
2008111.53%$11,887-6.96%-11.80%-6.37%-9.75%14.34%7.75%3.35%
2008126.34%$12,6410.98%6.57%8.88%10.35%13.64%5.15%13.80%
20091-8.10%$11,617-8.21%-13.94%-13.73%-9.29%-13.07%-3.89%-1.80%
20092-5.65%$10,961-10.74%-13.03%-10.39%-6.27%-1.54%-0.74%-5.20%
200936.04%$11,6238.35%7.58%8.39%16.86%4.04%3.31%0.47%
200943.48%$12,0289.93%18.89%11.52%15.56%-6.95%-2.75%2.78%
200952.15%$12,2875.85%0.67%13.19%15.94%-3.69%-2.08%2.32%
20096-0.01%$12,285-0.07%1.52%-1.43%-2.25%0.76%-0.55%2.89%
200974.55%$12,8447.46%11.00%10.04%11.01%0.58%0.83%4.63%
200982.21%$13,1283.69%3.48%4.50%-1.31%2.24%0.77%1.31%
200992.91%$13,5103.55%4.21%3.80%10.20%2.46%1.12%1.76%
200910-1.76%$13,272-1.92%-6.07%-2.52%-3.44%-2.62%-0.14%-0.49%
2009113.61%$13,7516.16%2.90%3.92%7.85%1.21%2.02%1.95%
200912-1.38%$13,5611.91%8.10%0.70%3.27%-6.34%-4.40%-2.07%
20101-0.65%$13,473-3.63%-2.54%-5.07%-7.76%2.69%2.37%1.25%
201021.39%$13,6603.12%4.76%0.27%1.78%-0.34%0.33%0.51%
201032.38%$13,9856.09%7.80%6.39%8.11%-2.06%-1.06%0.65%
201041.87%$14,2471.55%6.63%-2.80%-0.17%3.32%1.65%1.91%
20105-2.22%$13,931-7.95%-8.54%-11.19%-9.39%5.11%2.93%-1.31%
20106-0.08%$13,920-5.17%-8.27%-2.07%-1.40%5.80%3.05%3.28%
201073.83%$14,4536.83%6.71%11.61%10.93%-0.95%0.91%2.11%
201080.52%$14,528-4.50%-7.91%-3.80%-3.24%8.40%3.36%2.86%
201094.03%$15,1138.96%10.93%9.97%11.76%-2.51%-0.00%0.46%
2010100.91%$15,2513.82%4.04%3.81%3.02%-4.47%-0.01%-0.26%
201011-0.92%$15,1110.00%2.47%-4.82%-2.91%-1.69%-0.90%-1.62%
2010121.60%$15,3526.68%8.97%8.30%7.27%-3.68%-3.43%-0.75%
201110.07%$15,3632.33%-0.24%2.10%-3.84%-3.08%-0.02%0.04%
201121.78%$15,6363.47%4.21%3.55%-0.04%1.65%-0.21%1.08%
201130.24%$15,6740.01%2.21%-2.39%6.29%0.03%-0.15%-0.54%
201142.49%$16,0642.90%1.06%5.63%2.73%2.34%1.84%2.50%
201150.74%$16,184-1.12%-1.77%-2.21%-2.94%3.42%2.51%1.27%
20116-1.34%$15,967-1.69%-1.59%-1.19%-0.93%-2.33%-0.51%-0.80%
201170.94%$16,118-2.00%-2.77%-2.38%-1.03%4.42%3.17%2.43%
201180.15%$16,142-5.50%-7.98%-8.75%-9.25%9.66%4.65%0.34%
20119-1.05%$15,973-6.94%-10.57%-10.81%-17.89%13.20%2.24%0.35%
2011104.55%$16,69910.91%15.34%9.63%16.27%-3.84%-1.29%2.51%
2011110.08%$16,712-0.41%0.63%-2.18%-1.96%1.98%0.58%-3.16%
2011121.51%$16,9641.04%2.02%-2.21%-4.30%3.44%1.99%3.49%
201212.98%$17,4694.64%7.90%5.27%10.99%-0.33%0.86%2.14%
201221.24%$17,6864.34%1.71%4.83%5.27%-2.59%-1.10%1.63%
20123-0.30%$17,6333.22%2.89%0.42%-3.11%-4.23%-1.59%-1.42%
201241.20%$17,844-0.67%-1.91%-2.08%-1.70%4.83%2.51%1.08%
20125-0.79%$17,703-6.01%-7.18%-11.14%-10.71%9.03%2.87%0.76%
201261.73%$18,0094.05%4.54%7.11%5.08%-1.68%-0.42%0.87%
201271.64%$18,3041.18%-0.69%0.08%-0.03%3.82%1.40%3.48%
201280.90%$18,4682.51%4.08%3.20%0.41%-1.32%-0.12%-0.05%
201290.84%$18,6232.54%3.14%2.71%5.22%-2.53%-0.35%1.10%
201210-0.78%$18,477-1.82%-1.96%1.09%-0.44%-0.48%-0.40%1.35%
2012111.01%$18,6630.57%1.65%2.78%1.56%1.38%0.98%-0.42%
2012120.26%$18,7130.90%3.55%4.37%6.80%-2.49%-0.94%-0.33%
201311.02%$18,9045.12%5.35%3.73%-0.29%-3.19%-1.29%-1.30%
201320.93%$19,0791.28%1.63%-1.29%-2.28%1.24%1.13%1.08%
201331.43%$19,3513.80%4.11%1.31%-1.02%-0.42%0.29%-0.05%
201342.35%$19,8061.92%0.12%5.02%1.22%4.68%1.52%2.17%
20135-1.77%$19,4572.36%4.29%-3.02%-4.83%-6.76%-3.11%-3.22%
20136-2.36%$18,997-1.34%-0.14%-2.70%-5.35%-3.27%-2.55%-3.27%
201371.83%$19,3455.17%6.56%5.32%1.32%-2.26%-0.35%1.11%
20138-2.07%$18,945-3.00%-3.41%-1.96%-2.54%-1.34%-1.42%-1.00%
201392.79%$19,4753.17%6.59%7.82%7.21%0.66%1.85%0.74%
2013102.60%$19,9804.63%3.48%3.26%4.17%1.43%0.78%1.81%
2013110.40%$20,0602.96%4.25%0.55%-0.26%-2.70%-0.88%-0.14%
2013120.01%$20,0622.59%1.29%2.16%-0.42%-1.87%-2.09%0.22%
201410.19%$20,100-3.52%-3.51%-5.20%-8.64%6.30%3.06%1.88%
201422.41%$20,5844.55%4.63%6.13%3.38%0.52%0.36%1.14%
201430.46%$20,6800.83%1.34%-0.46%3.88%0.73%-0.56%-0.03%
201440.91%$20,8670.70%-2.29%1.67%0.78%2.10%0.76%1.33%
201452.16%$21,3172.32%0.62%1.60%2.95%2.95%1.82%1.51%
201460.90%$21,5092.06%3.85%0.92%2.40%-0.25%-0.22%0.01%
20147-0.70%$21,359-1.34%-5.07%-2.60%1.36%0.67%-0.22%-0.32%
201483.15%$22,0323.95%4.46%0.18%2.83%4.72%1.88%2.00%
20149-2.10%$21,569-1.38%-5.94%-3.88%-7.77%-2.11%-1.05%-1.68%
2014102.20%$22,0432.36%7.13%-0.27%1.42%2.81%1.53%1.23%
2014111.80%$22,4392.75%0.48%0.06%-1.54%2.97%1.29%0.91%
2014120.28%$22,503-0.26%2.56%-4.00%-3.99%3.25%0.13%-0.02%
201512.08%$22,970-2.96%-5.32%0.62%-0.69%9.82%4.30%3.75%
201520.67%$23,1235.62%5.86%6.34%4.41%-6.14%-2.47%-1.42%
20153-0.12%$23,094-1.57%1.03%-1.43%-1.50%1.10%0.86%0.20%
20154-0.13%$23,0630.98%-1.82%3.65%6.85%-3.43%-0.63%-1.19%
20155-0.37%$22,9791.29%0.75%0.20%-4.10%-2.37%-0.42%-1.12%
20156-2.25%$22,461-2.03%0.42%-3.12%-2.93%-4.07%-1.63%-1.88%
201571.70%$22,8422.26%-2.70%2.03%-6.31%4.55%1.52%0.83%
20158-3.12%$22,130-6.10%-4.62%-7.43%-8.84%-0.69%0.08%-0.83%
20159-0.48%$22,025-2.54%-3.77%-4.42%-3.13%1.97%1.58%1.19%
2015103.43%$22,7808.51%6.57%6.61%6.38%-0.41%-0.64%0.57%
201511-0.22%$22,7300.37%2.47%-0.75%-2.52%-0.87%-0.43%-0.15%
201512-1.35%$22,423-1.72%-5.08%-2.34%-3.83%-0.30%-0.45%-1.08%
20161-0.36%$22,341-4.98%-5.85%-5.52%-5.03%5.57%3.33%0.12%
201620.94%$22,551-0.08%2.08%-3.33%-0.82%3.09%1.49%1.05%
201633.72%$23,3896.72%9.41%6.58%12.96%-0.09%-0.06%3.62%
201640.26%$23,4500.39%2.13%2.22%0.41%-0.74%-0.16%1.55%
201650.46%$23,5591.70%0.44%-0.09%-3.69%0.81%-0.10%-0.51%
201662.61%$24,1740.35%0.83%-2.42%4.56%6.93%3.09%3.09%
201672.40%$24,7543.65%5.06%3.98%5.38%2.10%0.25%1.29%
20168-0.31%$24,6760.12%1.13%0.53%0.88%-1.01%-1.01%0.18%
201690.02%$24,6800.01%0.87%1.34%2.52%-1.51%0.24%-0.32%
201610-2.22%$24,133-1.73%-3.74%-2.22%-0.83%-4.38%-1.49%-1.53%
201611-1.41%$23,7923.68%13.34%-1.78%-4.42%-8.21%-4.23%-3.17%
2016120.85%$23,9942.03%3.20%2.71%-0.25%-0.46%-0.12%0.84%
201711.23%$24,2881.79%-1.21%3.29%6.66%0.81%0.22%0.15%
201722.03%$24,7813.93%1.35%1.19%1.74%1.59%0.72%1.32%
201730.24%$24,8410.13%-0.65%3.23%3.69%-0.65%0.08%-0.29%
201741.23%$25,1460.99%0.51%2.42%1.70%1.57%1.11%1.19%
201751.31%$25,4761.41%-2.26%3.54%2.85%1.89%0.83%1.33%
201760.43%$25,5860.64%2.96%0.31%0.93%0.79%-0.51%0.48%
201771.14%$25,8782.06%0.75%2.65%5.82%-0.66%0.38%0.77%
201781.17%$26,1800.29%-2.72%-0.04%2.35%3.41%1.46%0.68%
201790.32%$26,2642.01%8.58%2.36%-0.04%-2.32%-1.44%-0.05%
2017100.97%$26,5182.36%0.59%1.68%3.28%-0.04%-0.19%0.19%
2017111.22%$26,8413.06%3.76%0.69%-0.39%0.74%-0.28%-0.12%
2017121.07%$27,1281.21%-0.37%1.35%3.77%1.81%0.18%1.22%
201811.21%$27,4565.64%1.33%5.02%8.30%-3.26%-2.15%-1.23%
20182-2.84%$26,677-3.64%-4.04%-4.83%-5.90%-3.04%-0.93%-2.24%
201830.09%$26,700-2.74%1.37%-0.84%0.54%2.86%1.16%0.56%
20184-0.66%$26,5240.52%1.76%1.52%-2.82%-2.09%-1.28%-1.57%
201851.53%$26,9292.43%5.87%-1.89%-2.62%2.01%0.99%0.52%
201860.07%$26,9480.58%0.80%-1.57%-4.54%0.65%0.20%-0.49%
201871.27%$27,2893.70%2.62%2.85%3.53%-1.44%-0.53%1.34%
201881.41%$27,6753.19%3.14%-2.24%-3.77%1.31%1.01%0.02%
20189-0.84%$27,4420.59%-3.05%0.97%-0.58%-2.86%-1.20%-0.14%
201810-4.26%$26,274-6.91%-9.94%-8.13%-8.76%-2.93%-0.30%-2.05%
2018111.59%$26,6931.85%0.57%0.50%4.90%1.79%1.33%-0.36%
201812-1.83%$26,203-8.79%-12.38%-5.35%-3.50%5.85%2.80%1.86%
201914.43%$27,3638.01%12.26%6.63%10.34%0.38%0.65%3.37%
201920.86%$27,5993.24%4.13%2.54%-1.53%-1.38%-0.52%-0.20%
201932.45%$28,2741.81%-3.91%0.92%1.13%5.57%2.66%2.93%
201941.27%$28,6354.09%4.32%2.93%2.35%-1.99%-0.52%0.44%
20195-0.88%$28,382-6.38%-9.98%-5.03%-7.33%6.84%3.05%1.65%
201963.89%$29,4876.96%7.66%5.91%6.20%0.95%1.22%3.25%
201970.38%$29,6001.51%1.30%-1.95%-2.66%0.26%0.04%0.25%
201982.34%$30,292-1.67%-5.14%-1.92%-3.78%11.04%3.95%3.88%
201990.25%$30,3681.95%5.57%3.16%1.69%-2.68%-1.19%-0.76%
2019101.05%$30,6872.21%2.00%3.39%4.18%-1.11%0.19%0.44%
2019111.07%$31,0173.62%2.71%1.13%-0.09%-0.41%-0.69%0.47%
2019120.76%$31,2522.90%2.84%2.98%7.71%-3.20%-0.93%0.53%
202011.80%$31,814-0.04%-6.31%-2.82%-6.15%7.69%3.47%2.45%
20202-1.43%$31,360-7.92%-10.15%-7.77%-3.78%6.63%2.96%1.09%
20203-4.75%$29,870-12.46%-25.76%-14.11%-15.77%6.38%3.72%-6.31%
202045.92%$31,63712.70%13.89%5.82%7.35%1.22%0.27%4.85%
202051.95%$32,2554.76%2.55%5.43%2.97%-1.76%0.33%2.46%
202061.43%$32,7151.78%3.58%3.51%6.61%0.34%0.04%2.13%
202073.73%$33,9355.89%2.58%1.94%8.25%4.44%0.85%3.10%
202081.53%$34,4556.98%5.07%4.72%2.89%-5.05%-0.97%-1.78%
20209-1.38%$33,981-3.74%-5.18%-2.05%-1.01%0.77%0.33%-0.44%
202010-1.77%$33,378-2.49%3.66%-3.55%1.41%-3.39%-1.38%-0.51%
2020116.16%$35,43410.88%19.21%14.27%8.99%1.66%0.34%3.77%
2020121.87%$36,0953.71%7.50%5.01%7.14%-1.23%-0.24%0.15%
20211-0.98%$35,742-1.02%6.25%-0.78%3.17%-3.63%-1.09%-1.83%
20212-0.31%$35,6332.78%10.80%2.24%0.79%-5.73%-2.36%-2.26%
202130.05%$35,6524.54%5.61%2.51%-0.73%-5.24%-2.39%-1.48%
202142.78%$36,6415.29%1.69%2.95%1.20%2.49%1.00%1.04%
202150.82%$36,9410.66%3.89%3.48%1.65%0.00%0.42%0.62%
202161.90%$37,6422.25%-0.71%-1.08%0.95%4.42%1.02%2.21%
202171.62%$38,2522.44%-4.36%0.77%-6.44%3.72%1.99%1.42%
202180.98%$38,6292.98%1.82%1.45%1.57%-0.34%-0.39%-0.34%
20219-2.99%$37,474-4.66%-1.46%-3.26%-3.87%-2.91%-1.60%-1.51%
2021102.92%$38,5687.02%2.86%3.18%1.07%2.46%-0.44%0.53%
2021110.02%$38,574-0.80%-2.62%-4.53%-4.08%2.77%1.09%-0.12%
2021121.44%$39,1294.63%4.12%4.41%1.53%-2.01%-0.52%-0.03%
20221-3.60%$37,719-5.27%-4.40%-3.63%-0.02%-3.91%-2.11%-3.59%
20222-1.70%$37,076-2.95%2.28%-3.43%-4.32%-1.63%-0.30%-2.13%
20223-1.29%$36,5963.76%0.50%0.52%-3.38%-5.45%-4.06%-2.89%
20224-7.07%$34,007-8.78%-6.38%-6.74%-6.14%-9.42%-4.23%-6.70%
202250.18%$34,0700.23%2.32%2.00%0.61%-2.25%0.62%1.87%
20226-4.42%$32,563-8.25%-8.96%-8.72%-5.14%-1.27%-0.86%-3.62%
202275.14%$34,2359.21%8.53%5.17%-0.35%2.43%2.96%4.44%
20228-4.10%$32,832-4.08%-4.16%-6.12%-1.33%-4.56%-3.89%-4.43%
20229-7.71%$30,300-9.24%-10.41%-9.22%-11.54%-8.23%-4.73%-5.98%
2022101.91%$30,8808.13%14.40%5.89%-1.98%-5.97%-1.46%-0.75%
2022116.12%$32,7695.56%3.81%13.17%15.59%7.15%3.61%6.65%
202212-3.38%$31,662-5.76%-6.49%-1.82%-2.65%-2.63%-1.49%-1.56%

Risk and Return Metrics

Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.53%
Arithmetic Mean (annualized)6.59%
Geometric Mean (monthly)0.51%
Geometric Mean (annualized)6.25%
Standard Deviation (monthly)2.29%
Standard Deviation (annualized)7.95%
Downside Deviation (monthly)1.56%
Maximum Drawdown-22.56%
Stock Market Correlation0.82
Beta(*)0.42
Alpha (annualized)2.30%
R266.86%
Sharpe Ratio0.65
Sortino Ratio0.94
Treynor Ratio (%)12.27
Calmar Ratio0.02
Active Return-2.59%
Tracking Error10.00%
Information Ratio-0.26
Skewness-0.92
Excess Kurtosis3.03
Historical Value-at-Risk (5%)-3.52%
Analytical Value-at-Risk (5%)-3.23%
Conditional Value-at-Risk (5%)-5.65%
Upside Capture Ratio (%)44.88
Downside Capture Ratio (%)37.84
Safe Withdrawal Rate8.00%
Perpetual Withdrawal Rate3.49%
Positive Periods157 out of 228 (68.86%)
Gain/Loss Ratio0.85
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndMaximum Sharpe Ratio
Subprime CrisisNov 2007Mar 2009-22.35%
COVID-19 StartJan 2020Mar 2020-6.11%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2022Sep 20229 months-22.56%
2Dec 2007Feb 20091 year 3 monthsApr 20101 year 2 months2 years 5 months-22.35%
3Feb 2020Mar 20202 monthsMay 20202 months4 months-6.11%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-5.32%
5Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-4.75%
6May 2013Aug 20134 monthsOct 20132 months6 months-4.35%
7Apr 2004Apr 20041 monthSep 20045 months6 months-4.10%
8Aug 2016Nov 20164 monthsFeb 20173 months7 months-3.89%
9Feb 2018Apr 20183 monthsAug 20184 months7 months-3.39%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-3.13%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
SPYSPDR S&P 500 ETF Trust8.80%14.88%32.31%-36.81%-50.80%0.560.821.00
IJSiShares S&P Small-Cap 600 Value ETF8.62%20.27%39.34%-29.39%-54.13%0.450.660.90
EFAiShares MSCI EAFE ETF4.78%17.10%26.95%-41.04%-57.38%0.290.410.88
EEMiShares MSCI Emerging Markets ETF5.91%21.53%68.93%-48.88%-60.44%0.320.480.75
TLTiShares 20+ Year Treasury Bond ETF4.10%13.34%33.96%-31.24%-41.64%0.280.44-0.20
IEFiShares 7-10 Year Treasury Bond ETF3.29%6.39%17.91%-15.19%-21.22%0.350.55-0.17
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.84%7.72%17.37%-17.93%-23.27%0.370.550.40

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
SPDR S&P 500 ETF Trust7.57%-18.17%-18.17%7.64%9.33%12.46%0.09%0.09%
iShares S&P Small-Cap 600 Value ETF11.05%-11.33%-11.33%5.91%5.14%10.11%0.18%0.18%
iShares MSCI EAFE ETF17.66%-14.35%-14.35%0.89%1.56%4.44%0.33%0.33%
iShares MSCI Emerging Markets ETF10.30%-20.56%-20.56%-3.59%-2.15%0.57%0.69%0.69%
iShares 20+ Year Treasury Bond ETF-1.89%-31.24%-31.24%-8.15%-2.74%0.40%0.15%0.15%
iShares 7-10 Year Treasury Bond ETF0.58%-15.19%-15.19%-3.38%-0.32%0.58%0.15%0.15%
iShares iBoxx $ Invmt Grade Corp Bd ETF4.20%-17.93%-17.93%-3.67%0.19%1.86%0.14%0.14%
Trailing returns as of last calendar month ending December 2022

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIJSEFAEEMTLTIEFLQDMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust1.000.870.880.74-0.19-0.160.400.82
IJSiShares S&P Small-Cap 600 Value ETF0.871.000.770.68-0.29-0.270.290.68
EFAiShares MSCI EAFE ETF0.880.771.000.86-0.15-0.110.450.79
EEMiShares MSCI Emerging Markets ETF0.740.680.861.00-0.14-0.100.410.71
TLTiShares 20+ Year Treasury Bond ETF-0.19-0.29-0.15-0.141.000.910.570.37
IEFiShares 7-10 Year Treasury Bond ETF-0.16-0.27-0.11-0.100.911.000.600.40
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.400.290.450.410.570.601.000.74

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust$12,634
IJSiShares S&P Small-Cap 600 Value ETF$2,023
EFAiShares MSCI EAFE ETF$1,023
EEMiShares MSCI Emerging Markets ETF$1,014
TLTiShares 20+ Year Treasury Bond ETF$1,963
IEFiShares 7-10 Year Treasury Bond ETF$2,455
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF$551
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust48.58%
IJSiShares S&P Small-Cap 600 Value ETF8.65%
EFAiShares MSCI EAFE ETF8.51%
EEMiShares MSCI Emerging Markets ETF9.60%
TLTiShares 20+ Year Treasury Bond ETF11.48%
IEFiShares 7-10 Year Treasury Bond ETF9.57%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.61%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.12%24.62%-20.07%
3 years7.35%17.29%-2.82%
5 years7.21%13.43%1.16%
7 years7.51%10.86%4.44%
10 years7.61%9.67%4.99%
15 years7.16%8.11%5.36%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years