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.

%
%
1
%
%
%
%
%
2
%
%
%
%
%
3
%
%
%
%
%
4
%
%
%
%
%
5
%
%
%
%
%
6
%
%
%
%
%
7
%
%
%
%
%
8
%
%
%
%
%
9
%
%
%
%
%
10
%
%
%
%
%
Total
%

Asset Groups
Min. Weight
Max. Weight
A
%
%
B
%
%
C
%
%
D
%
%
E
%
%
F
%
%

Portfolio Optimization Results (Jan 2004 - Feb 2020)

Portfolio optimization results with goal to maximize sharpe ratio. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 7.03% to 8.81%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 23.11%
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 26.89%
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$31,051
CAGR7.26%
Expected Return 7.50%
Stdev6.65%
Best Year17.89%
Worst Year-3.80%
Max. Drawdown -16.87%
Sharpe Ratio (ex-ante)0.93
Sharpe Ratio (ex-post)0.89
Sortino Ratio1.34
US Stock Market Correlation0.59
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks
  • The annual results for 2020 are based on full calendar months from January to February
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetGroupCAGRExpected Return*Standard DeviationSharpe Ratio*Min. WeightMax. Weight
1SPDR S&P 500 ETF Trust (SPY)Equity8.37%9.37%13.58%0.5945.00%40.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)Equity7.88%9.76%18.62%0.4545.00%20.00%
3iShares MSCI EAFE ETF (EFA)Equity4.76%6.22%16.52%0.2975.00%30.00%
4iShares MSCI Emerging Markets ETF (EEM)Equity7.03%9.59%21.76%0.3815.00%15.00%
5iShares 20+ Year Treasury Bond ETF (TLT)Fixed Income7.41%8.30%13.06%0.5355.00%30.00%
6iShares 7-10 Year Treasury Bond ETF (IEF)Fixed Income4.96%5.15%6.17%0.6225.00%30.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)Fixed Income5.49%5.74%6.96%0.6355.00%20.00%
*Expected return is annualized from historical monthly mean return. Ex ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate (1.31% annualized).
Asset Groups
Asset GroupMin. WeightMax. Weight
Equity20.00%80.00%
Fixed Income20.00%80.00%

Monthly Correlations

Efficient Frontier Asset Correlations
NameTickerSPYIJSEFAEEMTLTIEFLQD
SPDR S&P 500 ETF TrustSPY1.000.880.880.77-0.32-0.300.25
iShares S&P Small-Cap 600 Value ETFIJS0.881.000.760.69-0.36-0.350.16
iShares MSCI EAFE ETFEFA0.880.761.000.88-0.24-0.210.35
iShares MSCI Emerging Markets ETFEEM0.770.690.881.00-0.22-0.170.32
iShares 20+ Year Treasury Bond ETFTLT-0.32-0.36-0.24-0.221.000.910.55
iShares 7-10 Year Treasury Bond ETFIEF-0.30-0.35-0.21-0.170.911.000.57
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.250.160.350.320.550.571.00
Based on monthly returns from Jan 2004 to Feb 2020
Efficient Frontier Assets
#SPYIJSEFAEEMTLTIEFLQDExpected Return*Standard Deviation*Sharpe Ratio*
115.33%5.00%5.00%5.00%19.67%30.00%20.00%7.03%6.33%0.902
216.28%5.00%5.00%5.00%19.03%30.00%19.69%7.05%6.34%0.904
316.54%5.00%5.00%5.00%19.36%30.00%19.10%7.06%6.35%0.905
416.81%5.00%5.00%5.00%19.68%30.00%18.51%7.08%6.36%0.907
517.08%5.00%5.00%5.00%20.00%30.00%17.92%7.10%6.37%0.908
617.35%5.00%5.00%5.00%20.32%30.00%17.33%7.12%6.38%0.909
717.62%5.00%5.00%5.00%20.64%30.00%16.74%7.14%6.39%0.911
817.88%5.00%5.00%5.00%20.96%30.00%16.15%7.15%6.41%0.912
918.15%5.00%5.00%5.00%21.29%30.00%15.56%7.17%6.42%0.913
1018.42%5.00%5.00%5.00%21.61%30.00%14.97%7.19%6.43%0.914
1118.69%5.00%5.00%5.00%21.93%30.00%14.38%7.21%6.44%0.915
1218.96%5.00%5.00%5.00%22.25%30.00%13.79%7.23%6.45%0.916
1319.22%5.00%5.00%5.00%22.57%30.00%13.20%7.24%6.46%0.918
1419.49%5.00%5.00%5.00%22.90%30.00%12.61%7.26%6.48%0.919
1519.76%5.00%5.00%5.00%23.22%30.00%12.02%7.28%6.49%0.920
1620.03%5.00%5.00%5.00%23.54%30.00%11.43%7.30%6.50%0.921
1720.30%5.00%5.00%5.00%23.86%30.00%10.84%7.32%6.51%0.922
1820.56%5.00%5.00%5.00%24.18%30.00%10.25%7.33%6.53%0.923
1920.83%5.00%5.00%5.00%24.50%30.00%9.66%7.35%6.54%0.924
2021.10%5.00%5.00%5.00%24.83%30.00%9.07%7.37%6.55%0.924
2121.37%5.00%5.00%5.00%25.15%30.00%8.48%7.39%6.56%0.925
2221.64%5.00%5.00%5.00%25.47%30.00%7.89%7.41%6.58%0.926
2321.90%5.00%5.00%5.00%25.79%30.00%7.31%7.42%6.59%0.927
2422.17%5.00%5.00%5.00%26.11%30.00%6.72%7.44%6.60%0.928
2522.44%5.00%5.00%5.00%26.44%30.00%6.13%7.46%6.62%0.929
2622.71%5.00%5.00%5.00%26.76%30.00%5.54%7.48%6.63%0.929
2723.11%5.00%5.00%5.00%26.89%30.00%5.00%7.50%6.65%0.930
2823.63%5.00%5.00%5.00%26.76%29.61%5.00%7.51%6.67%0.930
2923.78%5.00%5.00%5.00%27.13%29.09%5.00%7.53%6.69%0.930
3023.93%5.00%5.00%5.00%27.50%28.57%5.00%7.55%6.71%0.930
3124.08%5.00%5.00%5.00%27.86%28.05%5.00%7.57%6.73%0.929
3224.23%5.00%5.00%5.00%28.23%27.54%5.00%7.59%6.75%0.929
3324.38%5.00%5.00%5.00%28.60%27.02%5.00%7.60%6.77%0.929
3424.54%5.00%5.00%5.00%28.96%26.50%5.00%7.62%6.79%0.929
3524.69%5.00%5.00%5.00%29.33%25.98%5.00%7.64%6.81%0.928
3624.84%5.00%5.00%5.00%29.70%25.47%5.00%7.66%6.84%0.928
3725.04%5.00%5.00%5.00%30.00%24.96%5.00%7.68%6.86%0.928
3825.46%5.00%5.00%5.00%30.00%24.54%5.00%7.69%6.88%0.928
3925.89%5.00%5.00%5.00%30.00%24.11%5.00%7.71%6.90%0.927
4026.31%5.00%5.00%5.00%30.00%23.69%5.00%7.73%6.92%0.927
4126.74%5.00%5.00%5.00%30.00%23.26%5.00%7.75%6.95%0.926
4227.17%5.00%5.00%5.00%30.00%22.83%5.00%7.77%6.97%0.926
4327.59%5.00%5.00%5.00%30.00%22.41%5.00%7.79%7.00%0.925
4428.02%5.00%5.00%5.00%30.00%21.98%5.00%7.80%7.02%0.924
4528.44%5.00%5.00%5.00%30.00%21.56%5.00%7.82%7.05%0.923
4628.87%5.00%5.00%5.00%30.00%21.13%5.00%7.84%7.07%0.922
4729.30%5.00%5.00%5.00%30.00%20.70%5.00%7.86%7.10%0.921
4829.72%5.00%5.00%5.00%30.00%20.28%5.00%7.88%7.13%0.920
4930.15%5.00%5.00%5.00%30.00%19.85%5.00%7.89%7.16%0.919
5030.57%5.00%5.00%5.00%30.00%19.43%5.00%7.91%7.19%0.918
5131.00%5.00%5.00%5.00%30.00%19.00%5.00%7.93%7.22%0.917
5231.43%5.00%5.00%5.00%30.00%18.57%5.00%7.95%7.25%0.915
5331.85%5.00%5.00%5.00%30.00%18.15%5.00%7.97%7.28%0.914
5432.28%5.00%5.00%5.00%30.00%17.72%5.00%7.98%7.31%0.913
5532.70%5.00%5.00%5.00%30.00%17.30%5.00%8.00%7.34%0.911
5633.13%5.00%5.00%5.00%30.00%16.87%5.00%8.02%7.37%0.910
5733.56%5.00%5.00%5.00%30.00%16.44%5.00%8.04%7.41%0.908
5833.98%5.00%5.00%5.00%30.00%16.02%5.00%8.06%7.44%0.906
5934.41%5.00%5.00%5.00%30.00%15.59%5.00%8.07%7.47%0.905
6034.83%5.00%5.00%5.00%30.00%15.17%5.00%8.09%7.51%0.903
6135.26%5.00%5.00%5.00%30.00%14.74%5.00%8.11%7.54%0.901
6235.69%5.00%5.00%5.00%30.00%14.31%5.00%8.13%7.58%0.899
6336.11%5.00%5.00%5.00%30.00%13.89%5.00%8.15%7.61%0.897
6436.54%5.00%5.00%5.00%30.00%13.46%5.00%8.17%7.65%0.895
6536.96%5.00%5.00%5.00%30.00%13.04%5.00%8.18%7.69%0.894
6637.39%5.00%5.00%5.00%30.00%12.61%5.00%8.20%7.72%0.892
6737.82%5.00%5.00%5.00%30.00%12.18%5.00%8.22%7.76%0.890
6838.24%5.00%5.00%5.00%30.00%11.76%5.00%8.24%7.80%0.888
6938.67%5.00%5.00%5.00%30.00%11.33%5.00%8.26%7.84%0.885
7039.09%5.00%5.00%5.00%30.00%10.91%5.00%8.27%7.88%0.883
7139.52%5.00%5.00%5.00%30.00%10.48%5.00%8.29%7.92%0.881
7239.95%5.00%5.00%5.00%30.00%10.05%5.00%8.31%7.96%0.879
7340.00%5.34%5.00%5.00%30.00%9.66%5.00%8.33%8.00%0.877
7440.00%5.73%5.00%5.00%30.00%9.27%5.00%8.35%8.05%0.874
7540.00%6.12%5.00%5.00%30.00%8.88%5.00%8.36%8.09%0.871
7640.00%6.51%5.00%5.00%30.00%8.49%5.00%8.38%8.14%0.868
7740.00%6.90%5.00%5.00%30.00%8.10%5.00%8.40%8.19%0.866
7840.00%7.29%5.00%5.00%30.00%7.71%5.00%8.42%8.23%0.863
7940.00%7.68%5.00%5.00%30.00%7.32%5.00%8.44%8.28%0.860
8040.00%8.08%5.00%5.00%30.00%6.92%5.00%8.46%8.33%0.857
8140.00%8.47%5.00%5.00%30.00%6.53%5.00%8.47%8.38%0.854
8240.00%8.86%5.00%5.00%30.00%6.14%5.00%8.49%8.43%0.851
8340.00%9.25%5.00%5.00%30.00%5.75%5.00%8.51%8.48%0.848
8440.00%9.64%5.00%5.00%30.00%5.36%5.00%8.53%8.53%0.846
8539.67%10.33%5.00%5.00%30.00%5.00%5.00%8.55%8.59%0.842
8634.97%15.03%5.00%5.00%30.00%5.00%5.00%8.56%8.72%0.831
8730.28%19.72%5.00%5.00%30.00%5.00%5.00%8.58%8.87%0.819
8831.60%20.00%5.00%5.00%28.40%5.00%5.00%8.60%9.05%0.806
8933.31%20.00%5.00%5.00%26.69%5.00%5.00%8.62%9.23%0.792
9035.01%20.00%5.00%5.00%24.99%5.00%5.00%8.64%9.42%0.777
9136.72%20.00%5.00%5.00%23.28%5.00%5.00%8.66%9.63%0.763
9238.42%20.00%5.00%5.00%21.58%5.00%5.00%8.67%9.84%0.748
9340.00%20.00%5.00%5.10%19.90%5.00%5.00%8.69%10.07%0.733
9440.00%20.00%5.00%6.52%18.48%5.00%5.00%8.71%10.33%0.716
9540.00%20.00%5.00%7.93%17.07%5.00%5.00%8.73%10.59%0.700
9640.00%20.00%5.00%9.34%15.66%5.00%5.00%8.75%10.87%0.684
9740.00%20.00%5.00%10.76%14.24%5.00%5.00%8.76%11.15%0.668
9840.00%20.00%5.00%12.17%12.83%5.00%5.00%8.78%11.44%0.653
9940.00%20.00%5.00%13.59%11.41%5.00%5.00%8.80%11.73%0.638
10040.00%20.00%5.00%15.00%10.00%5.00%5.00%8.82%12.04%0.624
*Ex-ante values shown for portfolio return and volatility. Ex ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate (1.31% annualized).
Annual returns for the configured portfolios
YearInflationMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceSPDR S&P 500 ETF Trust (SPY)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)iShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
20043.26%9.70%$10,97010.70%22.60%18.95%24.63%8.71%4.12%5.72%
20053.42%7.01%$11,7394.83%6.00%13.32%32.62%8.61%2.64%1.16%
20062.54%8.52%$12,73915.85%19.37%25.81%31.19%0.71%2.52%4.22%
20074.08%9.29%$13,9225.14%-5.56%9.94%33.31%10.29%10.37%3.73%
20080.09%-3.80%$13,394-36.81%-29.39%-41.04%-48.88%33.93%17.91%2.40%
20092.72%3.01%$13,79726.36%22.36%26.95%68.93%-21.80%-6.59%8.46%
20101.50%12.72%$15,55115.06%24.69%8.15%16.51%9.05%9.37%9.33%
20112.96%13.19%$17,6021.89%-1.65%-12.25%-18.82%33.96%15.64%9.73%
20121.74%9.20%$19,22115.99%18.24%18.82%19.10%2.63%3.66%10.58%
20131.50%3.41%$19,87732.31%39.34%21.40%-3.69%-13.37%-6.09%-2.00%
20140.76%13.28%$22,51713.46%7.56%-6.20%-3.93%27.30%9.07%8.21%
20150.73%-0.60%$22,3811.25%-6.90%-1.00%-16.18%-1.79%1.51%-1.25%
20162.07%6.10%$23,74512.00%31.25%1.37%10.87%1.18%1.00%6.21%
20172.11%12.02%$26,60021.70%11.35%25.10%37.28%9.18%2.55%7.06%
20181.91%-3.17%$25,757-4.56%-12.84%-13.81%-15.31%-1.61%0.99%-3.79%
20192.29%17.89%$30,36431.22%24.12%22.03%18.20%14.12%8.03%17.37%
20200.66%2.26%$31,051-7.95%-15.81%-10.37%-9.69%14.83%6.53%3.56%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceSPDR S&P 500 ETF Trust (SPY)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)iShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
200411.61%$10,1611.98%2.17%1.13%2.42%1.86%1.02%1.22%
200421.92%$10,3561.36%2.50%2.30%3.95%2.28%1.61%1.51%
200430.64%$10,422-1.32%1.82%0.07%0.55%1.41%1.30%0.99%
20044-4.47%$9,957-1.89%-3.93%-3.39%-9.80%-6.23%-4.35%-3.89%
200450.33%$9,9901.71%1.58%1.14%1.17%-0.26%-0.53%-0.52%
200461.40%$10,1291.85%5.35%3.35%0.92%1.06%0.65%0.13%
20047-0.52%$10,076-3.22%-4.75%-4.27%-3.64%1.53%1.21%1.56%
200482.43%$10,3210.24%0.24%1.19%3.53%4.17%2.83%3.08%
200491.29%$10,4541.00%4.69%2.07%6.98%0.95%0.32%0.31%
2004101.49%$10,6101.29%0.95%3.50%2.85%1.77%0.99%1.18%
2004110.99%$10,7154.45%9.11%6.08%9.95%-2.39%-1.98%-1.22%
2004122.39%$10,9703.02%1.57%4.80%4.74%2.66%1.17%1.39%
200510.48%$11,023-2.24%-3.25%-1.90%-0.53%3.57%0.87%1.23%
200520.45%$11,0722.09%2.90%3.78%9.68%-1.47%-1.37%-0.94%
20053-1.37%$10,920-1.83%-2.36%-2.62%-7.91%-0.45%-0.40%-1.26%
200541.04%$11,034-1.87%-5.12%-1.62%-1.25%3.86%2.52%1.62%
200552.59%$11,3203.22%6.16%-0.86%3.16%3.14%1.84%0.62%
200561.29%$11,4660.15%3.92%1.43%3.97%2.16%0.48%1.22%
200570.11%$11,4783.83%5.84%3.00%7.68%-3.38%-2.18%-0.82%
200581.56%$11,657-0.94%-1.87%3.84%1.32%3.48%2.00%1.50%
20059-0.79%$11,5650.80%0.05%3.69%8.65%-3.61%-1.75%-1.86%
200510-2.25%$11,306-2.37%-3.41%-3.18%-6.34%-2.24%-1.24%-1.58%
2005112.07%$11,5404.40%4.91%2.31%5.79%0.69%0.63%0.66%
2005121.72%$11,739-0.19%-1.06%5.18%6.10%2.98%1.37%0.86%
200611.40%$11,9032.40%8.75%5.77%14.20%-1.34%-0.70%-0.44%
200620.22%$11,9290.57%0.27%-0.70%-3.85%1.11%-0.10%0.68%
20063-0.79%$11,8351.65%4.86%4.01%2.17%-4.57%-1.36%-1.68%
20064-0.07%$11,8271.26%0.18%4.79%6.52%-2.75%-0.63%-0.20%
20065-1.76%$11,618-3.01%-4.55%-3.82%-11.14%-0.19%-0.10%-0.19%
200660.45%$11,6710.26%0.04%-0.06%0.21%1.18%0.23%-0.09%
200671.26%$11,8180.45%-3.10%0.81%2.34%2.16%1.68%1.46%
200682.31%$12,0912.18%2.70%2.55%1.58%3.06%1.76%2.22%
200691.57%$12,2812.70%1.19%0.22%-0.87%1.91%1.21%0.87%
2006101.98%$12,5243.15%5.52%3.75%7.06%0.85%0.54%1.00%
2006112.12%$12,7901.99%2.38%3.07%5.98%2.31%1.31%1.46%
200612-0.40%$12,7391.34%0.32%3.20%5.44%-2.69%-1.28%-0.90%
200710.15%$12,7581.50%2.14%1.39%0.11%-1.00%-0.40%0.09%
200720.96%$12,880-1.96%-0.92%-0.12%-3.24%3.39%2.06%2.00%
200730.19%$12,9051.16%0.91%2.90%5.33%-1.70%-0.14%-0.68%
200741.96%$13,1584.43%1.84%3.75%3.73%0.90%0.61%0.89%
200750.28%$13,1953.39%4.63%2.36%5.06%-2.31%-1.39%-1.23%
20076-0.73%$13,099-1.46%-2.24%-0.32%3.68%-1.01%-0.47%-0.81%
200770.41%$13,153-3.13%-6.26%-2.29%0.71%3.32%2.26%-0.82%
200781.66%$13,3711.28%1.33%-0.63%1.04%1.79%2.26%2.38%
200791.88%$13,6233.87%0.31%5.32%11.57%0.23%0.09%0.73%
2007102.03%$13,8991.36%1.06%4.25%11.87%1.81%1.08%0.97%
2007110.89%$14,022-3.87%-7.15%-3.62%-7.65%5.35%4.04%1.02%
200712-0.72%$13,922-1.13%-0.71%-2.99%-1.43%-0.64%0.05%-0.81%
20081-0.74%$13,820-6.05%-4.00%-7.85%-8.92%2.10%3.36%2.57%
20082-0.50%$13,750-2.58%-3.36%-1.02%1.99%-0.46%1.24%-0.71%
200830.61%$13,834-0.90%0.83%0.42%-3.75%2.14%1.34%-0.60%
200840.63%$13,9224.77%2.64%5.44%9.14%-2.48%-2.41%1.25%
20085-0.60%$13,8381.51%3.92%1.19%3.16%-2.69%-1.78%-2.21%
20086-2.26%$13,525-8.35%-8.41%-8.80%-9.29%2.65%1.14%-1.29%
20087-0.37%$13,475-0.90%2.87%-3.32%-5.50%-0.37%0.72%0.39%
200881.27%$13,6461.55%4.76%-4.25%-6.32%2.74%1.53%0.15%
20089-3.91%$13,112-9.44%-4.82%-11.44%-14.68%1.47%-0.14%-10.73%
200810-7.99%$12,065-16.52%-19.86%-20.83%-25.58%-1.86%-0.87%-1.95%
2008113.35%$12,468-6.96%-11.80%-6.37%-9.75%14.34%7.75%3.35%
2008127.42%$13,3940.98%6.57%8.88%10.35%13.64%5.15%13.80%
20091-8.52%$12,253-8.21%-13.94%-13.73%-9.29%-13.07%-3.89%-1.80%
20092-4.86%$11,657-10.74%-13.03%-10.39%-6.27%-1.54%-0.74%-5.20%
200935.67%$12,3198.35%7.58%8.39%16.86%4.04%3.31%0.47%
200942.04%$12,5709.93%18.89%11.52%15.56%-6.95%-2.75%2.78%
200951.34%$12,7385.85%0.67%13.19%15.94%-3.69%-2.08%2.32%
200960.06%$12,746-0.07%1.52%-1.43%-2.25%0.76%-0.55%2.89%
200973.96%$13,2517.46%11.00%10.04%11.01%0.58%0.83%4.63%
200982.08%$13,5273.69%3.48%4.50%-1.31%2.24%0.77%1.31%
200992.82%$13,9083.55%4.21%3.80%10.20%2.46%1.12%1.76%
200910-1.82%$13,655-1.92%-6.07%-2.52%-3.44%-2.62%-0.14%-0.49%
2009113.19%$14,0916.16%2.90%3.92%7.85%1.21%2.02%1.95%
200912-2.09%$13,7971.91%8.10%0.70%3.27%-6.34%-4.40%-2.07%
20101-0.11%$13,781-3.63%-2.54%-5.07%-7.76%2.69%2.37%1.25%
201021.10%$13,9323.12%4.76%0.27%1.78%-0.34%0.33%0.51%
201031.68%$14,1676.09%7.80%6.39%8.11%-2.06%-1.06%0.65%
201042.03%$14,4541.55%6.63%-2.80%-0.17%3.32%1.65%1.91%
20105-1.10%$14,294-7.95%-8.54%-11.19%-9.39%5.11%2.93%-1.31%
201060.85%$14,416-5.17%-8.27%-2.07%-1.40%5.80%3.05%3.28%
201073.16%$14,8736.83%6.71%11.61%10.93%-0.95%0.91%2.11%
201081.62%$15,114-4.50%-7.91%-3.80%-3.24%8.40%3.36%2.86%
201093.05%$15,5758.96%10.93%9.97%11.76%-2.51%-0.00%0.46%
2010100.21%$15,6073.82%4.04%3.81%3.02%-4.47%-0.01%-0.26%
201011-1.07%$15,4410.00%2.47%-4.82%-2.91%-1.69%-0.90%-1.62%
2010120.72%$15,5516.68%8.97%8.30%7.27%-3.68%-3.43%-0.75%
20111-0.39%$15,4902.33%-0.24%2.10%-3.84%-3.08%-0.02%0.04%
201121.62%$15,7413.47%4.21%3.55%-0.04%1.65%-0.21%1.08%
201130.24%$15,7800.01%2.21%-2.39%6.29%0.03%-0.15%-0.54%
201142.45%$16,1652.90%1.06%5.63%2.73%2.34%1.84%2.50%
201151.13%$16,348-1.12%-1.77%-2.21%-2.94%3.42%2.51%1.27%
20116-1.39%$16,120-1.69%-1.59%-1.19%-0.93%-2.33%-0.51%-0.80%
201171.49%$16,360-2.00%-2.77%-2.38%-1.03%4.42%3.17%2.43%
201181.44%$16,596-5.50%-7.98%-8.75%-9.25%9.66%4.65%0.34%
201190.67%$16,707-6.94%-10.57%-10.81%-17.89%13.20%2.24%0.35%
2011103.29%$17,25710.91%15.34%9.63%16.27%-3.84%-1.29%2.51%
2011110.28%$17,305-0.41%0.63%-2.18%-1.96%1.98%0.58%-3.16%
2011121.71%$17,6021.04%2.02%-2.21%-4.30%3.44%1.99%3.49%
201212.56%$18,0524.64%7.90%5.27%10.99%-0.33%0.86%2.14%
201220.65%$18,1694.34%1.71%4.83%5.27%-2.59%-1.10%1.63%
20123-0.93%$17,9993.22%2.89%0.42%-3.11%-4.23%-1.59%-1.42%
201241.67%$18,299-0.67%-1.91%-2.08%-1.70%4.83%2.51%1.08%
201250.49%$18,389-6.01%-7.18%-11.14%-10.71%9.03%2.87%0.76%
201261.24%$18,6164.05%4.54%7.11%5.08%-1.68%-0.42%0.87%
201271.86%$18,9631.18%-0.69%0.08%-0.03%3.82%1.40%3.48%
201280.57%$19,0712.51%4.08%3.20%0.41%-1.32%-0.12%-0.05%
201290.41%$19,1492.54%3.14%2.71%5.22%-2.53%-0.35%1.10%
201210-0.67%$19,021-1.82%-1.96%1.09%-0.44%-0.48%-0.40%1.35%
2012111.07%$19,2260.57%1.65%2.78%1.56%1.38%0.98%-0.42%
201212-0.02%$19,2210.90%3.55%4.37%6.80%-2.49%-0.94%-0.33%
201310.31%$19,2815.12%5.35%3.73%-0.29%-3.19%-1.29%-1.30%
201320.93%$19,4601.28%1.63%-1.29%-2.28%1.24%1.13%1.08%
201331.07%$19,6683.80%4.11%1.31%-1.02%-0.42%0.29%-0.05%
201342.59%$20,1761.92%0.12%5.02%1.22%4.68%1.52%2.17%
20135-2.54%$19,6632.36%4.29%-3.02%-4.83%-6.76%-3.11%-3.22%
20136-2.53%$19,167-1.34%-0.14%-2.70%-5.35%-3.27%-2.55%-3.27%
201371.20%$19,3965.17%6.56%5.32%1.32%-2.26%-0.35%1.11%
20138-1.92%$19,023-3.00%-3.41%-1.96%-2.54%-1.34%-1.42%-1.00%
201392.58%$19,5143.17%6.59%7.82%7.21%0.66%1.85%0.74%
2013102.32%$19,9674.63%3.48%3.26%4.17%1.43%0.78%1.81%
201311-0.08%$19,9512.96%4.25%0.55%-0.26%-2.70%-0.88%-0.14%
201312-0.37%$19,8772.59%1.29%2.16%-0.42%-1.87%-2.09%0.22%
201411.03%$20,081-3.52%-3.51%-5.20%-8.64%6.30%3.06%1.88%
201422.06%$20,4954.55%4.63%6.13%3.38%0.52%0.36%1.14%
201430.46%$20,5890.83%1.34%-0.46%3.88%0.73%-0.56%-0.03%
201441.03%$20,8000.70%-2.29%1.67%0.78%2.10%0.76%1.33%
201452.21%$21,2602.32%0.62%1.60%2.95%2.95%1.82%1.51%
201460.70%$21,4102.06%3.85%0.92%2.40%-0.25%-0.22%0.01%
20147-0.53%$21,296-1.34%-5.07%-2.60%1.36%0.67%-0.22%-0.32%
201483.22%$21,9823.95%4.46%0.18%2.83%4.72%1.88%2.00%
20149-2.16%$21,506-1.38%-5.94%-3.88%-7.77%-2.11%-1.05%-1.68%
2014102.24%$21,9872.36%7.13%-0.27%1.42%2.81%1.53%1.23%
2014111.81%$22,3872.75%0.48%0.06%-1.54%2.97%1.29%0.91%
2014120.58%$22,517-0.26%2.56%-4.00%-3.99%3.25%0.13%-0.02%
201513.16%$23,229-2.96%-5.32%0.62%-0.69%9.82%4.30%3.75%
20152-0.33%$23,1525.62%5.86%6.34%4.41%-6.14%-2.47%-1.42%
201530.10%$23,175-1.57%1.03%-1.43%-1.50%1.10%0.86%0.20%
20154-0.51%$23,0570.98%-1.82%3.65%6.85%-3.43%-0.63%-1.19%
20155-0.68%$22,9011.29%0.75%0.20%-4.10%-2.37%-0.42%-1.12%
20156-2.43%$22,345-2.03%0.42%-3.12%-2.93%-4.07%-1.63%-1.88%
201571.89%$22,7682.26%-2.70%2.03%-6.31%4.55%1.52%0.83%
20158-2.66%$22,163-6.10%-4.62%-7.43%-8.84%-0.69%0.08%-0.83%
20159-0.09%$22,143-2.54%-3.77%-4.42%-3.13%1.97%1.58%1.19%
2015102.67%$22,7348.51%6.57%6.61%6.38%-0.41%-0.64%0.57%
201511-0.32%$22,6600.37%2.47%-0.75%-2.52%-0.87%-0.43%-0.15%
201512-1.23%$22,381-1.72%-5.08%-2.34%-3.83%-0.30%-0.45%-1.08%
201610.53%$22,501-4.98%-5.85%-5.52%-5.03%5.57%3.33%0.12%
201621.21%$22,772-0.08%2.08%-3.33%-0.82%3.09%1.49%1.05%
201633.14%$23,4876.72%9.41%6.58%12.96%-0.09%-0.06%3.62%
201640.16%$23,5250.39%2.13%2.22%0.41%-0.74%-0.16%1.55%
201650.39%$23,6161.70%0.44%-0.09%-3.69%0.81%-0.10%-0.51%
201663.18%$24,3660.35%0.83%-2.42%4.56%6.93%3.09%3.09%
201672.27%$24,9183.65%5.06%3.98%5.38%2.10%0.25%1.29%
20168-0.41%$24,8160.12%1.13%0.53%0.88%-1.01%-1.01%0.18%
20169-0.11%$24,7880.01%0.87%1.34%2.52%-1.51%0.24%-0.32%
201610-2.44%$24,183-1.73%-3.74%-2.22%-0.83%-4.38%-1.49%-1.53%
201611-2.43%$23,5963.68%13.34%-1.78%-4.42%-8.21%-4.23%-3.17%
2016120.63%$23,7452.03%3.20%2.71%-0.25%-0.46%-0.12%0.84%
201711.14%$24,0171.79%-1.21%3.29%6.66%0.81%0.22%0.15%
201721.83%$24,4573.93%1.35%1.19%1.74%1.59%0.72%1.32%
201730.18%$24,5000.13%-0.65%3.23%3.69%-0.65%0.08%-0.29%
201741.28%$24,8120.99%0.51%2.42%1.70%1.57%1.11%1.19%
201751.36%$25,1491.41%-2.26%3.54%2.85%1.89%0.83%1.33%
201760.44%$25,2600.64%2.96%0.31%0.93%0.79%-0.51%0.48%
201770.91%$25,4902.06%0.75%2.65%5.82%-0.66%0.38%0.77%
201781.43%$25,8550.29%-2.72%-0.04%2.35%3.41%1.46%0.68%
20179-0.05%$25,8432.01%8.58%2.36%-0.04%-2.32%-1.44%-0.05%
2017100.76%$26,0402.36%0.59%1.68%3.28%-0.04%-0.19%0.19%
2017111.02%$26,3063.06%3.76%0.69%-0.39%0.74%-0.28%-0.12%
2017121.12%$26,6001.21%-0.37%1.35%3.77%1.81%0.18%1.22%
201810.45%$26,7215.64%1.33%5.02%8.30%-3.26%-2.15%-1.23%
20182-2.79%$25,976-3.64%-4.04%-4.83%-5.90%-3.04%-0.93%-2.24%
201830.56%$26,122-2.74%1.37%-0.84%0.54%2.86%1.16%0.56%
20184-0.88%$25,8920.52%1.76%1.52%-2.82%-2.09%-1.28%-1.57%
201851.49%$26,2782.43%5.87%-1.89%-2.62%2.01%0.99%0.52%
201860.08%$26,2980.58%0.80%-1.57%-4.54%0.65%0.20%-0.49%
201870.83%$26,5163.70%2.62%2.85%3.53%-1.44%-0.53%1.34%
201881.25%$26,8483.19%3.14%-2.24%-3.77%1.31%1.01%0.02%
20189-1.13%$26,5440.59%-3.05%0.97%-0.58%-2.86%-1.20%-0.14%
201810-3.92%$25,504-6.91%-9.94%-8.13%-8.76%-2.93%-0.30%-2.05%
2018111.59%$25,9091.85%0.57%0.50%4.90%1.79%1.33%-0.36%
201812-0.59%$25,757-8.79%-12.38%-5.35%-3.50%5.85%2.80%1.86%
201913.78%$26,7308.01%12.26%6.63%10.34%0.38%0.65%3.37%
201920.47%$26,8553.24%4.13%2.54%-1.53%-1.38%-0.52%-0.20%
201932.77%$27,5981.81%-3.91%0.92%1.13%5.57%2.66%2.93%
201940.76%$27,8074.09%4.32%2.93%2.35%-1.99%-0.52%0.44%
201950.25%$27,875-6.38%-9.98%-5.03%-7.33%6.84%3.05%1.65%
201963.38%$28,8176.96%7.66%5.91%6.20%0.95%1.22%3.25%
201970.28%$28,8971.51%1.30%-1.95%-2.66%0.26%0.04%0.25%
201983.42%$29,885-1.67%-5.14%-1.92%-3.78%11.04%3.95%3.88%
20199-0.14%$29,8431.95%5.57%3.16%1.69%-2.68%-1.19%-0.76%
2019100.77%$30,0722.21%2.00%3.39%4.18%-1.11%0.19%0.44%
2019110.73%$30,2923.62%2.71%1.13%-0.09%-0.41%-0.69%0.47%
2019120.24%$30,3642.90%2.84%2.98%7.71%-3.20%-0.93%0.53%
202012.46%$31,110-0.04%-6.31%-2.82%-6.15%7.69%3.47%2.45%
20202-0.19%$31,051-7.92%-10.15%-7.77%-3.78%6.63%2.96%1.09%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.60%
Arithmetic Mean (annualized)7.50%
Geometric Mean (monthly)0.59%
Geometric Mean (annualized)7.26%
Volatility (monthly)1.92%
Volatility (annualized)6.65%
Downside Deviation (monthly)1.25%
Max. Drawdown-16.87%
US Market Correlation0.59
Beta(*)0.28
Alpha (annualized)4.68%
R234.84%
Sharpe Ratio0.89
Sortino Ratio1.34
Treynor Ratio (%)21.30
Calmar Ratio1.65
Active Return-1.28%
Tracking Error11.47%
Information Ratio-0.11
Skewness-1.05
Excess Kurtosis4.76
Historical Value-at-Risk (5%)-2.53%
Analytical Value-at-Risk (5%)-2.54%
Conditional Value-at-Risk (5%)-4.63%
Upside Capture Ratio (%)37.66
Downside Capture Ratio (%)16.51
Safe Withdrawal Rate8.96%
Perpetual Withdrawal Rate4.84%
Positive Periods137 out of 194 (70.62%)
Gain/Loss Ratio0.98
* 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 2009-16.87%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsNov 20099 months2 years-16.87%
2May 2013Aug 20134 monthsFeb 20146 months10 months-5.72%
3Aug 2016Nov 20164 monthsMay 20176 months10 months-5.31%
4Sep 2018Oct 20182 monthsFeb 20194 months6 months-5.01%
5Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-4.68%
6Apr 2004Apr 20041 monthSep 20045 months6 months-4.47%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-3.10%
8Sep 2005Oct 20052 monthsDec 20052 months4 months-3.01%
9Mar 2006May 20063 monthsAug 20063 months6 months-2.61%
10Dec 2009Jan 20102 monthsMar 20102 months4 months-2.19%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust8.37%13.58%32.31%-36.81%-50.80%0.570.811.00
IJSiShares S&P Small-Cap 600 Value ETF7.88%18.62%39.34%-29.39%-54.13%0.430.630.91
EFAiShares MSCI EAFE ETF4.76%16.52%26.95%-41.04%-57.38%0.290.400.88
EEMiShares MSCI Emerging Markets ETF7.03%21.76%68.93%-48.88%-60.44%0.360.550.78
TLTiShares 20+ Year Treasury Bond ETF7.41%13.06%33.96%-21.80%-21.80%0.510.89-0.32
IEFiShares 7-10 Year Treasury Bond ETF4.96%6.17%17.91%-6.59%-7.60%0.601.04-0.31
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.49%6.96%17.37%-3.79%-15.11%0.611.000.25

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIJSEFAEEMTLTIEFLQDMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust1.000.880.880.77-0.32-0.300.250.59
IJSiShares S&P Small-Cap 600 Value ETF0.881.000.760.69-0.36-0.350.160.49
EFAiShares MSCI EAFE ETF0.880.761.000.88-0.24-0.210.350.62
EEMiShares MSCI Emerging Markets ETF0.770.690.881.00-0.22-0.170.320.59
TLTiShares 20+ Year Treasury Bond ETF-0.32-0.36-0.24-0.221.000.910.550.55
IEFiShares 7-10 Year Treasury Bond ETF-0.30-0.35-0.21-0.170.911.000.570.55
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.250.160.350.320.550.571.000.74

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust28.01%
IJSiShares S&P Small-Cap 600 Value ETF6.82%
EFAiShares MSCI EAFE ETF7.70%
EEMiShares MSCI Emerging Markets ETF9.61%
TLTiShares 20+ Year Treasury Bond ETF28.81%
IEFiShares 7-10 Year Treasury Bond ETF15.18%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.88%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.36%17.89%-3.80%
3 years6.88%11.69%2.69%
5 years6.69%10.29%4.69%
7 years7.05%8.07%5.59%
10 years7.04%8.21%6.43%
15 years6.77%7.02%6.51%
Result statistics are based on annualized rolling returns over full calendar year periods