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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Portfolio Optimization Results (Jan 2004 - Sep 2022) 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 5.27% to 7.97%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 30.16%
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 19.84%
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$29,995
Annualized Return (CAGR)6.03%
Expected Return6.17%
Standard Deviation7.73%
Best Year19.03%
Worst Year-22.66%
Maximum Drawdown -22.66%
Sharpe Ratio (ex-ante)0.65
Sharpe Ratio (ex-post)0.64
Sortino Ratio0.92
Stock Market Correlation0.80
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Maximum Sharpe Ratio-7.03%-22.66%-19.33%-0.32%2.74%4.83%6.03%10.95%9.42%
Trailing return and volatility are as of last full calendar month ending September 2022
Notes on results:
  • 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 annual results for 2022 are based on full calendar months from January to September.
  • The optimization 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)Equity9.29%14.77%0.5495.00%40.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)Equity9.89%20.08%0.4345.00%20.00%
3iShares MSCI EAFE ETF (EFA)Equity5.33%16.91%0.2455.00%30.00%
4iShares MSCI Emerging Markets ETF (EEM)Equity7.61%21.38%0.3015.00%15.00%
5iShares 20+ Year Treasury Bond ETF (TLT)Fixed Income5.04%13.24%0.2915.00%30.00%
6iShares 7-10 Year Treasury Bond ETF (IEF)Fixed Income3.46%6.36%0.3575.00%30.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)Fixed Income3.90%7.62%0.3565.00%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 TrustSPY1.000.870.880.75-0.20-0.170.40
iShares S&P Small-Cap 600 Value ETFIJS0.871.000.780.70-0.29-0.280.29
iShares MSCI EAFE ETFEFA0.880.781.000.86-0.17-0.130.44
iShares MSCI Emerging Markets ETFEEM0.750.700.861.00-0.17-0.120.39
iShares 20+ Year Treasury Bond ETFTLT-0.20-0.29-0.17-0.171.000.910.56
iShares 7-10 Year Treasury Bond ETFIEF-0.17-0.28-0.13-0.120.911.000.59
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.400.290.440.390.560.591.00
Based on monthly returns from Jan 2004 to Sep 2022
Efficient Frontier Assets
#SPYIJSEFAEEMTLTIEFLQDExpected Return*Standard Deviation*Sharpe Ratio*
113.02%5.00%5.00%5.00%21.98%30.00%20.00%5.27%7.05%0.580
213.66%5.00%5.00%5.00%21.34%30.00%20.00%5.30%7.05%0.584
314.30%5.00%5.00%5.00%20.70%30.00%20.00%5.33%7.06%0.588
414.94%5.00%5.00%5.00%20.06%30.00%20.00%5.36%7.06%0.591
515.58%5.00%5.00%5.00%19.42%30.00%20.00%5.38%7.07%0.594
616.22%5.00%5.00%5.00%18.78%30.00%20.00%5.41%7.08%0.597
716.87%5.00%5.00%5.00%18.13%30.00%20.00%5.44%7.10%0.599
817.35%5.00%5.00%5.00%18.23%30.00%19.42%5.47%7.12%0.602
917.78%5.00%5.00%5.00%18.60%30.00%18.62%5.49%7.13%0.604
1018.21%5.00%5.00%5.00%18.98%30.00%17.82%5.52%7.15%0.606
1118.63%5.00%5.00%5.00%19.35%30.00%17.02%5.55%7.17%0.609
1219.06%5.00%5.00%5.00%19.72%30.00%16.22%5.57%7.19%0.611
1319.49%5.00%5.00%5.00%20.10%30.00%15.42%5.60%7.21%0.613
1419.91%5.00%5.00%5.00%20.47%30.00%14.62%5.63%7.23%0.615
1520.34%5.00%5.00%5.00%20.84%30.00%13.82%5.66%7.25%0.617
1620.77%5.00%5.00%5.00%21.22%30.00%13.02%5.68%7.27%0.619
1721.19%5.00%5.00%5.00%21.59%30.00%12.22%5.71%7.28%0.621
1821.62%5.00%5.00%5.00%21.96%30.00%11.42%5.74%7.31%0.623
1922.05%5.00%5.00%5.00%22.34%30.00%10.62%5.76%7.33%0.625
2022.47%5.00%5.00%5.00%22.71%30.00%9.82%5.79%7.35%0.627
2122.90%5.00%5.00%5.00%23.08%30.00%9.02%5.82%7.37%0.629
2223.33%5.00%5.00%5.00%23.45%30.00%8.22%5.85%7.39%0.631
2323.75%5.00%5.00%5.00%23.83%30.00%7.42%5.87%7.41%0.633
2424.18%5.00%5.00%5.00%24.20%30.00%6.62%5.90%7.43%0.635
2524.61%5.00%5.00%5.00%24.57%30.00%5.82%5.93%7.45%0.637
2625.03%5.00%5.00%5.00%24.95%30.00%5.02%5.96%7.48%0.638
2725.67%5.00%5.00%5.00%24.33%30.00%5.00%5.98%7.50%0.640
2826.31%5.00%5.00%5.00%23.69%30.00%5.00%6.01%7.53%0.641
2926.95%5.00%5.00%5.00%23.05%30.00%5.00%6.04%7.55%0.643
3027.59%5.00%5.00%5.00%22.41%30.00%5.00%6.06%7.59%0.643
3128.23%5.00%5.00%5.00%21.77%30.00%5.00%6.09%7.62%0.644
3228.88%5.00%5.00%5.00%21.12%30.00%5.00%6.12%7.66%0.645
3329.52%5.00%5.00%5.00%20.48%30.00%5.00%6.15%7.69%0.645
3430.16%5.00%5.00%5.00%19.84%30.00%5.00%6.17%7.73%0.645
3530.76%5.00%5.00%5.00%19.34%29.90%5.00%6.20%7.78%0.645
3631.08%5.00%5.00%5.00%19.89%29.03%5.00%6.23%7.82%0.645
3731.40%5.00%5.00%5.00%20.45%28.15%5.00%6.26%7.86%0.645
3831.71%5.00%5.00%5.00%21.01%27.28%5.00%6.28%7.91%0.645
3932.03%5.00%5.00%5.00%21.57%26.40%5.00%6.31%7.95%0.645
4032.35%5.00%5.00%5.00%22.12%25.53%5.00%6.34%8.00%0.644
4132.66%5.00%5.00%5.00%22.68%24.66%5.00%6.36%8.04%0.644
4232.98%5.00%5.00%5.00%23.24%23.78%5.00%6.39%8.09%0.644
4333.29%5.00%5.00%5.00%23.80%22.91%5.00%6.42%8.13%0.644
4433.61%5.00%5.00%5.00%24.35%22.04%5.00%6.45%8.18%0.644
4533.93%5.00%5.00%5.00%24.91%21.16%5.00%6.47%8.22%0.644
4634.24%5.00%5.00%5.00%25.47%20.29%5.00%6.50%8.26%0.643
4734.56%5.00%5.00%5.00%26.03%19.41%5.00%6.53%8.31%0.643
4834.88%5.00%5.00%5.00%26.58%18.54%5.00%6.56%8.35%0.643
4935.19%5.00%5.00%5.00%27.14%17.67%5.00%6.58%8.40%0.643
5035.51%5.00%5.00%5.00%27.70%16.79%5.00%6.61%8.44%0.643
5135.82%5.00%5.00%5.00%28.26%15.92%5.00%6.64%8.49%0.642
5236.14%5.00%5.00%5.00%28.81%15.05%5.00%6.66%8.54%0.642
5336.46%5.00%5.00%5.00%29.37%14.17%5.00%6.69%8.58%0.642
5436.77%5.00%5.00%5.00%29.93%13.30%5.00%6.72%8.63%0.642
5537.22%5.00%5.00%5.00%30.00%12.78%5.00%6.75%8.67%0.641
5637.69%5.00%5.00%5.00%30.00%12.31%5.00%6.77%8.72%0.641
5738.16%5.00%5.00%5.00%30.00%11.84%5.00%6.80%8.77%0.641
5838.62%5.00%5.00%5.00%30.00%11.38%5.00%6.83%8.81%0.641
5939.09%5.00%5.00%5.00%30.00%10.91%5.00%6.86%8.86%0.640
6039.56%5.00%5.00%5.00%30.00%10.44%5.00%6.88%8.91%0.640
6140.00%5.02%5.00%5.00%30.00%9.98%5.00%6.91%8.96%0.639
6240.00%5.45%5.00%5.00%30.00%9.55%5.00%6.94%9.01%0.639
6340.00%5.87%5.00%5.00%30.00%9.13%5.00%6.96%9.06%0.638
6440.00%6.30%5.00%5.00%30.00%8.70%5.00%6.99%9.11%0.637
6540.00%6.72%5.00%5.00%30.00%8.28%5.00%7.02%9.17%0.637
6640.00%7.14%5.00%5.00%30.00%7.86%5.00%7.05%9.22%0.636
6740.00%7.57%5.00%5.00%30.00%7.43%5.00%7.07%9.28%0.635
6840.00%7.99%5.00%5.00%30.00%7.01%5.00%7.10%9.33%0.634
6940.00%8.41%5.00%5.00%30.00%6.59%5.00%7.13%9.39%0.633
7040.00%8.84%5.00%5.00%30.00%6.16%5.00%7.15%9.45%0.632
7140.00%9.26%5.00%5.00%30.00%5.74%5.00%7.18%9.50%0.631
7240.00%9.68%5.00%5.00%30.00%5.32%5.00%7.21%9.56%0.630
7340.00%10.14%5.00%5.00%29.86%5.00%5.00%7.24%9.62%0.629
7440.00%10.70%5.00%5.00%29.30%5.00%5.00%7.26%9.69%0.627
7540.00%11.26%5.00%5.00%28.74%5.00%5.00%7.29%9.76%0.626
7640.00%11.83%5.00%5.00%28.17%5.00%5.00%7.32%9.84%0.624
7740.00%12.39%5.00%5.00%27.61%5.00%5.00%7.35%9.91%0.622
7840.00%12.95%5.00%5.00%27.05%5.00%5.00%7.37%9.99%0.620
7940.00%13.51%5.00%5.00%26.49%5.00%5.00%7.40%10.07%0.617
8040.00%14.07%5.00%5.00%25.93%5.00%5.00%7.43%10.15%0.615
8140.00%14.63%5.00%5.00%25.37%5.00%5.00%7.45%10.23%0.613
8240.00%15.19%5.00%5.00%24.81%5.00%5.00%7.48%10.31%0.611
8340.00%15.76%5.00%5.00%24.24%5.00%5.00%7.51%10.40%0.608
8440.00%16.32%5.00%5.00%23.68%5.00%5.00%7.54%10.49%0.606
8540.00%16.88%5.00%5.00%23.12%5.00%5.00%7.56%10.57%0.603
8640.00%17.44%5.00%5.00%22.56%5.00%5.00%7.59%10.66%0.601
8740.00%18.00%5.00%5.00%22.00%5.00%5.00%7.62%10.75%0.598
8840.00%18.56%5.00%5.00%21.44%5.00%5.00%7.65%10.85%0.596
8940.00%19.12%5.00%5.00%20.88%5.00%5.00%7.67%10.94%0.593
9040.00%19.69%5.00%5.00%20.31%5.00%5.00%7.70%11.04%0.591
9140.00%20.00%5.00%5.47%19.53%5.00%5.00%7.73%11.17%0.586
9240.00%20.00%5.00%6.53%18.47%5.00%5.00%7.75%11.34%0.579
9340.00%20.00%5.00%7.59%17.41%5.00%5.00%7.78%11.52%0.573
9440.00%20.00%5.00%8.64%16.36%5.00%5.00%7.81%11.71%0.566
9540.00%20.00%5.00%9.70%15.30%5.00%5.00%7.84%11.90%0.559
9640.00%20.00%5.00%10.76%14.24%5.00%5.00%7.86%12.09%0.553
9740.00%20.00%5.00%11.82%13.18%5.00%5.00%7.89%12.28%0.546
9840.00%20.00%5.00%12.88%12.12%5.00%5.00%7.92%12.48%0.540
9940.00%20.00%5.00%13.94%11.06%5.00%5.00%7.95%12.69%0.533
10040.00%20.00%5.00%15.00%10.00%5.00%5.00%7.97%12.89%0.527
*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 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%9.85%$10,98510.70%22.60%18.95%24.63%8.71%4.12%5.72%
20053.42%6.73%$11,7244.83%6.00%13.32%32.62%8.61%2.64%1.16%
20062.54%9.59%$12,84815.85%19.37%25.81%31.19%0.71%2.52%4.22%
20074.08%8.92%$13,9945.14%-5.56%9.94%33.31%10.29%10.37%3.73%
20080.09%-8.76%$12,769-36.81%-29.39%-41.04%-48.88%33.93%17.91%2.40%
20092.72%6.53%$13,60326.36%22.36%26.95%68.93%-21.80%-6.59%8.46%
20101.50%13.13%$15,38915.06%24.69%8.15%16.51%9.05%9.37%9.33%
20112.96%10.96%$17,0761.89%-1.65%-12.25%-18.82%33.96%15.64%9.73%
20121.74%10.12%$18,80415.99%18.24%18.82%19.10%2.63%3.66%10.58%
20131.50%6.55%$20,03632.31%39.34%21.40%-3.69%-13.37%-6.09%-2.00%
20140.76%12.36%$22,51113.46%7.56%-6.20%-3.93%27.30%9.07%8.21%
20150.73%-0.39%$22,4231.25%-6.90%-1.00%-16.18%-1.79%1.51%-1.25%
20162.07%6.85%$23,95812.00%31.25%1.37%10.87%1.18%1.00%6.21%
20172.11%12.88%$27,04521.70%11.35%25.10%37.28%9.18%2.55%7.06%
20181.91%-3.36%$26,135-4.56%-12.84%-13.81%-15.31%-1.61%0.99%-3.79%
20192.29%19.03%$31,10931.22%24.12%22.03%18.20%14.12%8.03%17.37%
20201.36%15.50%$35,93118.37%2.63%7.59%17.03%18.15%10.01%10.97%
20217.04%7.93%$38,78228.74%30.53%11.46%-3.61%-4.60%-3.33%-1.85%
20226.23%-22.66%$29,995-23.93%-20.15%-27.20%-27.98%-29.92%-15.68%-21.24%
Annual return for 2022 is from 01/01/2022 to 09/30/2022
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%
200421.86%$10,3511.36%2.50%2.30%3.95%2.28%1.61%1.51%
200430.44%$10,396-1.32%1.82%0.07%0.55%1.41%1.30%0.99%
20044-4.16%$9,964-1.89%-3.93%-3.39%-9.80%-6.23%-4.35%-3.89%
200450.47%$10,0111.71%1.58%1.14%1.17%-0.26%-0.53%-0.52%
200461.45%$10,1561.85%5.35%3.35%0.92%1.06%0.65%0.13%
20047-0.86%$10,069-3.22%-4.75%-4.27%-3.64%1.53%1.21%1.56%
200482.15%$10,2860.24%0.24%1.19%3.53%4.17%2.83%3.08%
200491.29%$10,4181.00%4.69%2.07%6.98%0.95%0.32%0.31%
2004101.46%$10,5701.29%0.95%3.50%2.85%1.77%0.99%1.18%
2004111.47%$10,7264.45%9.11%6.08%9.95%-2.39%-1.98%-1.22%
2004122.41%$10,9853.02%1.57%4.80%4.74%2.66%1.17%1.39%
200510.07%$10,992-2.24%-3.25%-1.90%-0.53%3.57%0.87%1.23%
200520.70%$11,0692.09%2.90%3.78%9.68%-1.47%-1.37%-0.94%
20053-1.47%$10,906-1.83%-2.36%-2.62%-7.91%-0.45%-0.40%-1.26%
200540.64%$10,976-1.87%-5.12%-1.62%-1.25%3.86%2.52%1.62%
200552.60%$11,2613.22%6.16%-0.86%3.16%3.14%1.84%0.62%
200561.14%$11,3900.15%3.92%1.43%3.97%2.16%0.48%1.22%
200570.61%$11,4603.83%5.84%3.00%7.68%-3.38%-2.18%-0.82%
200581.25%$11,603-0.94%-1.87%3.84%1.32%3.48%2.00%1.50%
20059-0.47%$11,5480.80%0.05%3.69%8.65%-3.61%-1.75%-1.86%
200510-2.25%$11,288-2.37%-3.41%-3.18%-6.34%-2.24%-1.24%-1.58%
2005112.33%$11,5514.40%4.91%2.31%5.79%0.69%0.63%0.66%
2005121.50%$11,724-0.19%-1.06%5.18%6.10%2.98%1.37%0.86%
200611.66%$11,9192.40%8.75%5.77%14.20%-1.34%-0.70%-0.44%
200620.18%$11,9410.57%0.27%-0.70%-3.85%1.11%-0.10%0.68%
20063-0.35%$11,8991.65%4.86%4.01%2.17%-4.57%-1.36%-1.68%
200640.21%$11,9241.26%0.18%4.79%6.52%-2.75%-0.63%-0.20%
20065-1.96%$11,690-3.01%-4.55%-3.82%-11.14%-0.19%-0.10%-0.19%
200660.39%$11,7360.26%0.04%-0.06%0.21%1.18%0.23%-0.09%
200671.14%$11,8700.45%-3.10%0.81%2.34%2.16%1.68%1.46%
200682.25%$12,1362.18%2.70%2.55%1.58%3.06%1.76%2.22%
200691.63%$12,3342.70%1.19%0.22%-0.87%1.91%1.21%0.87%
2006102.15%$12,5983.15%5.52%3.75%7.06%0.85%0.54%1.00%
2006112.10%$12,8621.99%2.38%3.07%5.98%2.31%1.31%1.46%
200612-0.11%$12,8481.34%0.32%3.20%5.44%-2.69%-1.28%-0.90%
200710.32%$12,8901.50%2.14%1.39%0.11%-1.00%-0.40%0.09%
200720.58%$12,965-1.96%-0.92%-0.12%-3.24%3.39%2.06%2.00%
200730.39%$13,0161.16%0.91%2.90%5.33%-1.70%-0.14%-0.68%
200742.21%$13,3034.43%1.84%3.75%3.73%0.90%0.61%0.89%
200750.69%$13,3953.39%4.63%2.36%5.06%-2.31%-1.39%-1.23%
20076-0.77%$13,292-1.46%-2.24%-0.32%3.68%-1.01%-0.47%-0.81%
20077-0.04%$13,286-3.13%-6.26%-2.29%0.71%3.32%2.26%-0.82%
200781.63%$13,5031.28%1.33%-0.63%1.04%1.79%2.26%2.38%
200792.14%$13,7913.87%0.31%5.32%11.57%0.23%0.09%0.73%
2007102.00%$14,0671.36%1.06%4.25%11.87%1.81%1.08%0.97%
2007110.24%$14,100-3.87%-7.15%-3.62%-7.65%5.35%4.04%1.02%
200712-0.75%$13,994-1.13%-0.71%-2.99%-1.43%-0.64%0.05%-0.81%
20081-1.31%$13,811-6.05%-4.00%-7.85%-8.92%2.10%3.36%2.57%
20082-0.65%$13,720-2.58%-3.36%-1.02%1.99%-0.46%1.24%-0.71%
200830.40%$13,775-0.90%0.83%0.42%-3.75%2.14%1.34%-0.60%
200841.14%$13,9334.77%2.64%5.44%9.14%-2.48%-2.41%1.25%
20085-0.31%$13,8901.51%3.92%1.19%3.16%-2.69%-1.78%-2.21%
20086-3.04%$13,468-8.35%-8.41%-8.80%-9.29%2.65%1.14%-1.29%
20087-0.41%$13,413-0.90%2.87%-3.32%-5.50%-0.37%0.72%0.39%
200881.18%$13,5721.55%4.76%-4.25%-6.32%2.74%1.53%0.15%
20089-4.68%$12,937-9.44%-4.82%-11.44%-14.68%1.47%-0.14%-10.73%
200810-9.02%$11,770-16.52%-19.86%-20.83%-25.58%-1.86%-0.87%-1.95%
2008111.84%$11,986-6.96%-11.80%-6.37%-9.75%14.34%7.75%3.35%
2008126.53%$12,7690.98%6.57%8.88%10.35%13.64%5.15%13.80%
20091-8.17%$11,725-8.21%-13.94%-13.73%-9.29%-13.07%-3.89%-1.80%
20092-5.51%$11,079-10.74%-13.03%-10.39%-6.27%-1.54%-0.74%-5.20%
200935.98%$11,7418.35%7.58%8.39%16.86%4.04%3.31%0.47%
200943.23%$12,1219.93%18.89%11.52%15.56%-6.95%-2.75%2.78%
200952.01%$12,3655.85%0.67%13.19%15.94%-3.69%-2.08%2.32%
200960.00%$12,365-0.07%1.52%-1.43%-2.25%0.76%-0.55%2.89%
200974.45%$12,9157.46%11.00%10.04%11.01%0.58%0.83%4.63%
200982.19%$13,1973.69%3.48%4.50%-1.31%2.24%0.77%1.31%
200992.89%$13,5793.55%4.21%3.80%10.20%2.46%1.12%1.76%
200910-1.77%$13,339-1.92%-6.07%-2.52%-3.44%-2.62%-0.14%-0.49%
2009113.54%$13,8116.16%2.90%3.92%7.85%1.21%2.02%1.95%
200912-1.50%$13,6031.91%8.10%0.70%3.27%-6.34%-4.40%-2.07%
20101-0.56%$13,527-3.63%-2.54%-5.07%-7.76%2.69%2.37%1.25%
201021.34%$13,7083.12%4.76%0.27%1.78%-0.34%0.33%0.51%
201032.26%$14,0186.09%7.80%6.39%8.11%-2.06%-1.06%0.65%
201041.90%$14,2841.55%6.63%-2.80%-0.17%3.32%1.65%1.91%
20105-2.02%$13,995-7.95%-8.54%-11.19%-9.39%5.11%2.93%-1.31%
201060.08%$14,006-5.17%-8.27%-2.07%-1.40%5.80%3.05%3.28%
201073.71%$14,5266.83%6.71%11.61%10.93%-0.95%0.91%2.11%
201080.71%$14,630-4.50%-7.91%-3.80%-3.24%8.40%3.36%2.86%
201093.86%$15,1948.96%10.93%9.97%11.76%-2.51%-0.00%0.46%
2010100.79%$15,3153.82%4.04%3.81%3.02%-4.47%-0.01%-0.26%
201011-0.95%$15,1700.00%2.47%-4.82%-2.91%-1.69%-0.90%-1.62%
2010121.45%$15,3896.68%8.97%8.30%7.27%-3.68%-3.43%-0.75%
20111-0.01%$15,3872.33%-0.24%2.10%-3.84%-3.08%-0.02%0.04%
201121.75%$15,6573.47%4.21%3.55%-0.04%1.65%-0.21%1.08%
201130.24%$15,6950.01%2.21%-2.39%6.29%0.03%-0.15%-0.54%
201142.49%$16,0852.90%1.06%5.63%2.73%2.34%1.84%2.50%
201150.81%$16,215-1.12%-1.77%-2.21%-2.94%3.42%2.51%1.27%
20116-1.35%$15,996-1.69%-1.59%-1.19%-0.93%-2.33%-0.51%-0.80%
201171.04%$16,162-2.00%-2.77%-2.38%-1.03%4.42%3.17%2.43%
201180.37%$16,222-5.50%-7.98%-8.75%-9.25%9.66%4.65%0.34%
20119-0.75%$16,100-6.94%-10.57%-10.81%-17.89%13.20%2.24%0.35%
2011104.33%$16,79810.91%15.34%9.63%16.27%-3.84%-1.29%2.51%
2011110.11%$16,816-0.41%0.63%-2.18%-1.96%1.98%0.58%-3.16%
2011121.54%$17,0761.04%2.02%-2.21%-4.30%3.44%1.99%3.49%
201212.91%$17,5724.64%7.90%5.27%10.99%-0.33%0.86%2.14%
201221.14%$17,7724.34%1.71%4.83%5.27%-2.59%-1.10%1.63%
20123-0.41%$17,6993.22%2.89%0.42%-3.11%-4.23%-1.59%-1.42%
201241.28%$17,926-0.67%-1.91%-2.08%-1.70%4.83%2.51%1.08%
20125-0.57%$17,823-6.01%-7.18%-11.14%-10.71%9.03%2.87%0.76%
201261.64%$18,1164.05%4.54%7.11%5.08%-1.68%-0.42%0.87%
201271.68%$18,4201.18%-0.69%0.08%-0.03%3.82%1.40%3.48%
201280.84%$18,5752.51%4.08%3.20%0.41%-1.32%-0.12%-0.05%
201290.77%$18,7172.54%3.14%2.71%5.22%-2.53%-0.35%1.10%
201210-0.76%$18,575-1.82%-1.96%1.09%-0.44%-0.48%-0.40%1.35%
2012111.02%$18,7630.57%1.65%2.78%1.56%1.38%0.98%-0.42%
2012120.21%$18,8040.90%3.55%4.37%6.80%-2.49%-0.94%-0.33%
201310.90%$18,9735.12%5.35%3.73%-0.29%-3.19%-1.29%-1.30%
201320.93%$19,1491.28%1.63%-1.29%-2.28%1.24%1.13%1.08%
201331.37%$19,4103.80%4.11%1.31%-1.02%-0.42%0.29%-0.05%
201342.39%$19,8751.92%0.12%5.02%1.22%4.68%1.52%2.17%
20135-1.90%$19,4972.36%4.29%-3.02%-4.83%-6.76%-3.11%-3.22%
20136-2.39%$19,031-1.34%-0.14%-2.70%-5.35%-3.27%-2.55%-3.27%
201371.72%$19,3595.17%6.56%5.32%1.32%-2.26%-0.35%1.11%
20138-2.04%$18,963-3.00%-3.41%-1.96%-2.54%-1.34%-1.42%-1.00%
201392.76%$19,4873.17%6.59%7.82%7.21%0.66%1.85%0.74%
2013102.55%$19,9834.63%3.48%3.26%4.17%1.43%0.78%1.81%
2013110.32%$20,0472.96%4.25%0.55%-0.26%-2.70%-0.88%-0.14%
201312-0.05%$20,0362.59%1.29%2.16%-0.42%-1.87%-2.09%0.22%
201410.33%$20,102-3.52%-3.51%-5.20%-8.64%6.30%3.06%1.88%
201422.35%$20,5744.55%4.63%6.13%3.38%0.52%0.36%1.14%
201430.46%$20,6700.83%1.34%-0.46%3.88%0.73%-0.56%-0.03%
201440.93%$20,8610.70%-2.29%1.67%0.78%2.10%0.76%1.33%
201452.17%$21,3132.32%0.62%1.60%2.95%2.95%1.82%1.51%
201460.87%$21,4982.06%3.85%0.92%2.40%-0.25%-0.22%0.01%
20147-0.67%$21,354-1.34%-5.07%-2.60%1.36%0.67%-0.22%-0.32%
201483.16%$22,0303.95%4.46%0.18%2.83%4.72%1.88%2.00%
20149-2.11%$21,564-1.38%-5.94%-3.88%-7.77%-2.11%-1.05%-1.68%
2014102.20%$22,0402.36%7.13%-0.27%1.42%2.81%1.53%1.23%
2014111.80%$22,4362.75%0.48%0.06%-1.54%2.97%1.29%0.91%
2014120.33%$22,511-0.26%2.56%-4.00%-3.99%3.25%0.13%-0.02%
201512.26%$23,021-2.96%-5.32%0.62%-0.69%9.82%4.30%3.75%
201520.50%$23,1355.62%5.86%6.34%4.41%-6.14%-2.47%-1.42%
20153-0.09%$23,115-1.57%1.03%-1.43%-1.50%1.10%0.86%0.20%
20154-0.20%$23,0690.98%-1.82%3.65%6.85%-3.43%-0.63%-1.19%
20155-0.42%$22,9721.29%0.75%0.20%-4.10%-2.37%-0.42%-1.12%
20156-2.28%$22,447-2.03%0.42%-3.12%-2.93%-4.07%-1.63%-1.88%
201571.73%$22,8362.26%-2.70%2.03%-6.31%4.55%1.52%0.83%
20158-3.04%$22,143-6.10%-4.62%-7.43%-8.84%-0.69%0.08%-0.83%
20159-0.41%$22,052-2.54%-3.77%-4.42%-3.13%1.97%1.58%1.19%
2015103.30%$22,7798.51%6.57%6.61%6.38%-0.41%-0.64%0.57%
201511-0.24%$22,7250.37%2.47%-0.75%-2.52%-0.87%-0.43%-0.15%
201512-1.33%$22,423-1.72%-5.08%-2.34%-3.83%-0.30%-0.45%-1.08%
20161-0.21%$22,376-4.98%-5.85%-5.52%-5.03%5.57%3.33%0.12%
201620.98%$22,595-0.08%2.08%-3.33%-0.82%3.09%1.49%1.05%
201633.62%$23,4136.72%9.41%6.58%12.96%-0.09%-0.06%3.62%
201640.24%$23,4700.39%2.13%2.22%0.41%-0.74%-0.16%1.55%
201650.45%$23,5761.70%0.44%-0.09%-3.69%0.81%-0.10%-0.51%
201662.71%$24,2150.35%0.83%-2.42%4.56%6.93%3.09%3.09%
201672.38%$24,7903.65%5.06%3.98%5.38%2.10%0.25%1.29%
20168-0.33%$24,7080.12%1.13%0.53%0.88%-1.01%-1.01%0.18%
20169-0.01%$24,7070.01%0.87%1.34%2.52%-1.51%0.24%-0.32%
201610-2.26%$24,149-1.73%-3.74%-2.22%-0.83%-4.38%-1.49%-1.53%
201611-1.59%$23,7663.68%13.34%-1.78%-4.42%-8.21%-4.23%-3.17%
2016120.81%$23,9582.03%3.20%2.71%-0.25%-0.46%-0.12%0.84%
201711.21%$24,2491.79%-1.21%3.29%6.66%0.81%0.22%0.15%
201722.00%$24,7333.93%1.35%1.19%1.74%1.59%0.72%1.32%
201730.23%$24,7900.13%-0.65%3.23%3.69%-0.65%0.08%-0.29%
201741.23%$25,0960.99%0.51%2.42%1.70%1.57%1.11%1.19%
201751.32%$25,4281.41%-2.26%3.54%2.85%1.89%0.83%1.33%
201760.43%$25,5370.64%2.96%0.31%0.93%0.79%-0.51%0.48%
201771.10%$25,8192.06%0.75%2.65%5.82%-0.66%0.38%0.77%
201781.21%$26,1320.29%-2.72%-0.04%2.35%3.41%1.46%0.68%
201790.26%$26,1992.01%8.58%2.36%-0.04%-2.32%-1.44%-0.05%
2017100.93%$26,4442.36%0.59%1.68%3.28%-0.04%-0.19%0.19%
2017111.18%$26,7573.06%3.76%0.69%-0.39%0.74%-0.28%-0.12%
2017121.08%$27,0451.21%-0.37%1.35%3.77%1.81%0.18%1.22%
201811.08%$27,3375.64%1.33%5.02%8.30%-3.26%-2.15%-1.23%
20182-2.83%$26,563-3.64%-4.04%-4.83%-5.90%-3.04%-0.93%-2.24%
201830.17%$26,608-2.74%1.37%-0.84%0.54%2.86%1.16%0.56%
20184-0.70%$26,4230.52%1.76%1.52%-2.82%-2.09%-1.28%-1.57%
201851.52%$26,8252.43%5.87%-1.89%-2.62%2.01%0.99%0.52%
201860.07%$26,8440.58%0.80%-1.57%-4.54%0.65%0.20%-0.49%
201871.19%$27,1643.70%2.62%2.85%3.53%-1.44%-0.53%1.34%
201881.39%$27,5403.19%3.14%-2.24%-3.77%1.31%1.01%0.02%
20189-0.89%$27,2950.59%-3.05%0.97%-0.58%-2.86%-1.20%-0.14%
201810-4.20%$26,148-6.91%-9.94%-8.13%-8.76%-2.93%-0.30%-2.05%
2018111.59%$26,5651.85%0.57%0.50%4.90%1.79%1.33%-0.36%
201812-1.62%$26,135-8.79%-12.38%-5.35%-3.50%5.85%2.80%1.86%
201914.32%$27,2638.01%12.26%6.63%10.34%0.38%0.65%3.37%
201920.79%$27,4793.24%4.13%2.54%-1.53%-1.38%-0.52%-0.20%
201932.50%$28,1671.81%-3.91%0.92%1.13%5.57%2.66%2.93%
201941.18%$28,5004.09%4.32%2.93%2.35%-1.99%-0.52%0.44%
20195-0.69%$28,305-6.38%-9.98%-5.03%-7.33%6.84%3.05%1.65%
201963.80%$29,3816.96%7.66%5.91%6.20%0.95%1.22%3.25%
201970.37%$29,4891.51%1.30%-1.95%-2.66%0.26%0.04%0.25%
201982.52%$30,233-1.67%-5.14%-1.92%-3.78%11.04%3.95%3.88%
201990.18%$30,2881.95%5.57%3.16%1.69%-2.68%-1.19%-0.76%
2019101.00%$30,5922.21%2.00%3.39%4.18%-1.11%0.19%0.44%
2019111.02%$30,9033.62%2.71%1.13%-0.09%-0.41%-0.69%0.47%
2019120.67%$31,1092.90%2.84%2.98%7.71%-3.20%-0.93%0.53%
202011.91%$31,703-0.04%-6.31%-2.82%-6.15%7.69%3.47%2.45%
20202-1.21%$31,318-7.92%-10.15%-7.77%-3.78%6.63%2.96%1.09%
20203-4.47%$29,917-12.46%-25.76%-14.11%-15.77%6.38%3.72%-6.31%
202045.75%$31,63712.70%13.89%5.82%7.35%1.22%0.27%4.85%
202051.86%$32,2244.76%2.55%5.43%2.97%-1.76%0.33%2.46%
202061.41%$32,6771.78%3.58%3.51%6.61%0.34%0.04%2.13%
202073.71%$33,8885.89%2.58%1.94%8.25%4.44%0.85%3.10%
202081.36%$34,3496.98%5.07%4.72%2.89%-5.05%-0.97%-1.78%
20209-1.31%$33,899-3.74%-5.18%-2.05%-1.01%0.77%0.33%-0.44%
202010-1.79%$33,293-2.49%3.66%-3.55%1.41%-3.39%-1.38%-0.51%
2020116.02%$35,29810.88%19.21%14.27%8.99%1.66%0.34%3.77%
2020121.79%$35,9313.71%7.50%5.01%7.14%-1.23%-0.24%0.15%
20211-1.02%$35,566-1.02%6.25%-0.78%3.17%-3.63%-1.09%-1.83%
20212-0.43%$35,4132.78%10.80%2.24%0.79%-5.73%-2.36%-2.26%
20213-0.09%$35,3814.54%5.61%2.51%-0.73%-5.24%-2.39%-1.48%
202142.73%$36,3495.29%1.69%2.95%1.20%2.49%1.00%1.04%
202150.81%$36,6430.66%3.89%3.48%1.65%0.00%0.42%0.62%
202161.93%$37,3502.25%-0.71%-1.08%0.95%4.42%1.02%2.21%
202171.64%$37,9622.44%-4.36%0.77%-6.44%3.72%1.99%1.42%
202180.94%$38,3182.98%1.82%1.45%1.57%-0.34%-0.39%-0.34%
20219-2.97%$37,182-4.66%-1.46%-3.26%-3.87%-2.91%-1.60%-1.51%
2021102.85%$38,2437.02%2.86%3.18%1.07%2.46%-0.44%0.53%
2021110.07%$38,269-0.80%-2.62%-4.53%-4.08%2.77%1.09%-0.12%
2021121.34%$38,7824.63%4.12%4.41%1.53%-2.01%-0.52%-0.03%
20221-3.58%$37,392-5.27%-4.40%-3.63%-0.02%-3.91%-2.11%-3.59%
20222-1.69%$36,762-2.95%2.28%-3.43%-4.32%-1.63%-0.30%-2.13%
20223-1.43%$36,2363.76%0.50%0.52%-3.38%-5.45%-4.06%-2.89%
20224-7.08%$33,670-8.78%-6.38%-6.74%-6.14%-9.42%-4.23%-6.70%
202250.15%$33,7190.23%2.32%2.00%0.61%-2.25%0.62%1.87%
20226-4.32%$32,262-8.25%-8.96%-8.72%-5.14%-1.27%-0.86%-3.62%
202275.04%$33,8879.21%8.53%5.17%-0.35%2.43%2.96%4.44%
20228-4.10%$32,496-4.08%-4.16%-6.12%-1.33%-4.56%-3.89%-4.43%
20229-7.70%$29,995-9.24%-10.41%-9.22%-11.54%-8.23%-4.73%-5.98%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.51%
Arithmetic Mean (annualized)6.35%
Geometric Mean (monthly)0.49%
Geometric Mean (annualized)6.03%
Standard Deviation (monthly)2.23%
Standard Deviation (annualized)7.73%
Downside Deviation (monthly)1.53%
Maximum Drawdown-22.66%
Stock Market Correlation0.80
Beta(*)0.40
Alpha (annualized)2.37%
R263.43%
Sharpe Ratio0.64
Sortino Ratio0.92
Treynor Ratio (%)12.39
Calmar Ratio-0.01
Active Return-2.54%
Tracking Error10.26%
Information Ratio-0.25
Skewness-1.01
Excess Kurtosis3.29
Historical Value-at-Risk (5%)-3.47%
Analytical Value-at-Risk (5%)-3.15%
Conditional Value-at-Risk (5%)-5.58%
Upside Capture Ratio (%)43.12
Downside Capture Ratio (%)35.48
Safe Withdrawal Rate8.34%
Perpetual Withdrawal Rate3.41%
Positive Periods154 out of 225 (68.44%)
Gain/Loss Ratio0.86
* 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 2009-21.43%
COVID-19 StartJan 2020Mar 2020-5.63%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2022Sep 20229 months-22.66%
2Dec 2007Feb 20091 year 3 monthsApr 20101 year 2 months2 years 5 months-21.43%
3Feb 2020Mar 20202 monthsMay 20202 months4 months-5.63%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-5.10%
5Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-4.68%
6May 2013Aug 20134 monthsOct 20132 months6 months-4.58%
7Apr 2004Apr 20041 monthSep 20045 months6 months-4.16%
8Aug 2016Nov 20164 monthsMar 20174 months8 months-4.13%
9Feb 2018Apr 20183 monthsAug 20184 months7 months-3.34%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-3.07%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
SPYSPDR S&P 500 ETF Trust8.50%14.77%32.31%-36.81%-50.80%0.550.801.00
IJSiShares S&P Small-Cap 600 Value ETF8.13%20.08%39.34%-29.39%-54.13%0.430.630.90
EFAiShares MSCI EAFE ETF3.94%16.91%26.95%-41.04%-57.38%0.250.340.88
EEMiShares MSCI Emerging Markets ETF5.44%21.38%68.93%-48.88%-60.44%0.300.440.76
TLTiShares 20+ Year Treasury Bond ETF4.26%13.24%33.96%-29.92%-37.93%0.290.47-0.20
IEFiShares 7-10 Year Treasury Bond ETF3.31%6.36%17.91%-15.68%-20.05%0.360.56-0.18
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.67%7.62%17.37%-21.24%-22.69%0.350.520.39

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
SPDR S&P 500 ETF Trust-4.93%-23.93%-15.51%8.11%9.16%11.60%0.09%0.09%
iShares S&P Small-Cap 600 Value ETF-6.82%-20.15%-16.72%4.84%3.77%9.31%0.18%0.18%
iShares MSCI EAFE ETF-10.37%-27.20%-25.14%-2.04%-0.96%3.59%0.32%0.32%
iShares MSCI Emerging Markets ETF-13.02%-27.98%-29.11%-3.06%-2.79%0.36%0.68%0.68%
iShares 20+ Year Treasury Bond ETF-10.29%-29.92%-27.69%-9.02%-1.88%0.43%0.15%0.15%
iShares 7-10 Year Treasury Bond ETF-5.73%-15.68%-15.58%-4.03%-0.50%0.49%0.15%0.15%
iShares iBoxx $ Invmt Grade Corp Bd ETF-6.15%-21.24%-20.94%-4.52%-0.38%1.50%0.14%0.14%
Trailing returns as of last calendar month ending September 2022

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIJSEFAEEMTLTIEFLQDMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust1.000.870.880.75-0.20-0.170.400.80
IJSiShares S&P Small-Cap 600 Value ETF0.871.000.780.70-0.29-0.280.290.66
EFAiShares MSCI EAFE ETF0.880.781.000.86-0.17-0.130.440.77
EEMiShares MSCI Emerging Markets ETF0.750.700.861.00-0.17-0.120.390.69
TLTiShares 20+ Year Treasury Bond ETF-0.20-0.29-0.17-0.171.000.910.560.40
IEFiShares 7-10 Year Treasury Bond ETF-0.17-0.28-0.13-0.120.911.000.590.42
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.400.290.440.390.560.591.000.75

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust45.98%
IJSiShares S&P Small-Cap 600 Value ETF8.55%
EFAiShares MSCI EAFE ETF8.40%
EEMiShares MSCI Emerging Markets ETF9.50%
TLTiShares 20+ Year Treasury Bond ETF13.58%
IEFiShares 7-10 Year Treasury Bond ETF10.30%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.69%
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 summary
Roll PeriodAverageHighLow
1 year7.41%23.73%-19.33%
3 years7.41%17.06%-2.47%
5 years7.24%13.18%1.37%
7 years7.52%10.72%4.49%
10 years7.61%9.51%4.83%
15 years7.23%8.06%5.32%