Portfolio Optimization

This portfolio optimizer tool supports the following portfolio optimization strategies:

The optimization is based on the monthly return statistics of the selected portfolio assets for the given time period. The optimization result does not predict what allocation would perform best outside the given time period, and the actual performance of portfolios constructed using the optimized asset weights may vary from the given performance goal.

The required inputs for the optimization include the time range and the portfolio assets. Portfolio asset weights and constraints are optional. You can also use the Black-Litterman model based portfolio optimization, which allows the benchmark portfolio asset weights to be optimized based on investor's views.

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Asset Groups
Min. Weight
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B
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D
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Portfolio Optimization Results (Jan 2004 - Dec 2019)

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 6.94% to 9.35%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 26.03%
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 23.97%
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$30,683
CAGR7.26%
Expected Return 7.50%
Stdev6.72%
Best Year18.36%
Worst Year-5.87%
Max. Drawdown -18.78%
Sharpe Ratio (ex-ante)0.92
Sharpe Ratio (ex-post)0.88
Sortino Ratio1.32
US Stock Market Correlation0.67
   
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
  • 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)Equity9.02%10.02%13.47%0.6465.00%40.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)Equity9.13%11.00%18.43%0.5265.00%20.00%
3iShares MSCI EAFE ETF (EFA)Equity5.53%6.99%16.45%0.3455.00%30.00%
4iShares MSCI Emerging Markets ETF (EEM)Equity7.79%10.38%21.77%0.4165.00%15.00%
5iShares 20+ Year Treasury Bond ETF (TLT)Fixed Income6.57%7.43%12.92%0.4745.00%30.00%
6iShares 7-10 Year Treasury Bond ETF (IEF)Fixed Income4.59%4.79%6.12%0.5685.00%30.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)Fixed Income5.32%5.57%6.98%0.6105.00%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 TrustSPY1.000.880.880.78-0.31-0.290.26
iShares S&P Small-Cap 600 Value ETFIJS0.881.000.750.69-0.34-0.330.17
iShares MSCI EAFE ETFEFA0.880.751.000.88-0.23-0.200.36
iShares MSCI Emerging Markets ETFEEM0.780.690.881.00-0.21-0.160.33
iShares 20+ Year Treasury Bond ETFTLT-0.31-0.34-0.23-0.211.000.910.55
iShares 7-10 Year Treasury Bond ETFIEF-0.29-0.33-0.20-0.160.911.000.57
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.260.170.360.330.550.571.00
Based on monthly returns from Jan 2004 to Dec 2019
Efficient Frontier Assets
#SPYIJSEFAEEMTLTIEFLQDExpected Return*Standard Deviation*Sharpe Ratio*
115.24%5.00%5.00%5.00%19.76%30.00%20.00%6.94%6.35%0.887
216.18%5.00%5.00%5.00%18.82%30.00%20.00%6.97%6.35%0.890
317.13%5.00%5.00%5.00%17.87%30.00%20.00%6.99%6.36%0.893
417.59%5.00%5.00%5.00%18.09%30.00%19.32%7.02%6.38%0.894
517.97%5.00%5.00%5.00%18.48%30.00%18.55%7.04%6.39%0.896
618.35%5.00%5.00%5.00%18.87%30.00%17.78%7.06%6.41%0.898
718.73%5.00%5.00%5.00%19.27%30.00%17.01%7.09%6.42%0.900
819.11%5.00%5.00%5.00%19.66%30.00%16.23%7.11%6.44%0.901
919.49%5.00%5.00%5.00%20.05%30.00%15.46%7.14%6.45%0.903
1019.87%5.00%5.00%5.00%20.44%30.00%14.69%7.16%6.47%0.905
1120.25%5.00%5.00%5.00%20.83%30.00%13.92%7.19%6.48%0.906
1220.63%5.00%5.00%5.00%21.23%30.00%13.14%7.21%6.50%0.908
1321.01%5.00%5.00%5.00%21.62%30.00%12.37%7.23%6.51%0.909
1421.39%5.00%5.00%5.00%22.01%30.00%11.60%7.26%6.53%0.910
1521.77%5.00%5.00%5.00%22.40%30.00%10.83%7.28%6.55%0.912
1622.15%5.00%5.00%5.00%22.80%30.00%10.05%7.31%6.57%0.913
1722.53%5.00%5.00%5.00%23.19%30.00%9.28%7.33%6.58%0.914
1822.91%5.00%5.00%5.00%23.58%30.00%8.51%7.35%6.60%0.915
1923.29%5.00%5.00%5.00%23.97%30.00%7.73%7.38%6.62%0.917
2023.67%5.00%5.00%5.00%24.37%30.00%6.96%7.40%6.64%0.918
2124.05%5.00%5.00%5.00%24.76%30.00%6.19%7.43%6.66%0.919
2224.43%5.00%5.00%5.00%25.15%30.00%5.42%7.45%6.67%0.920
2325.08%5.00%5.00%5.00%24.92%30.00%5.00%7.48%6.69%0.921
2426.03%5.00%5.00%5.00%23.97%30.00%5.00%7.50%6.72%0.921
2526.32%5.00%5.00%5.00%24.30%29.38%5.00%7.52%6.75%0.921
2626.54%5.00%5.00%5.00%24.77%28.68%5.00%7.55%6.78%0.920
2726.76%5.00%5.00%5.00%25.25%27.99%5.00%7.57%6.81%0.920
2826.98%5.00%5.00%5.00%25.72%27.29%5.00%7.60%6.83%0.920
2927.21%5.00%5.00%5.00%26.20%26.60%5.00%7.62%6.86%0.919
3027.43%5.00%5.00%5.00%26.67%25.90%5.00%7.65%6.89%0.919
3127.65%5.00%5.00%5.00%27.15%25.20%5.00%7.67%6.92%0.919
3227.87%5.00%5.00%5.00%27.62%24.51%5.00%7.69%6.95%0.918
3328.09%5.00%5.00%5.00%28.10%23.81%5.00%7.72%6.98%0.918
3428.31%5.00%5.00%5.00%28.57%23.12%5.00%7.74%7.01%0.918
3528.53%5.00%5.00%5.00%29.05%22.42%5.00%7.77%7.04%0.917
3628.75%5.00%5.00%5.00%29.52%21.73%5.00%7.79%7.07%0.917
3728.97%5.00%5.00%5.00%30.00%21.03%5.00%7.82%7.10%0.917
3829.43%5.00%5.00%5.00%30.00%20.57%5.00%7.84%7.13%0.916
3929.90%5.00%5.00%5.00%30.00%20.10%5.00%7.86%7.16%0.916
4030.36%5.00%5.00%5.00%30.00%19.64%5.00%7.89%7.19%0.915
4130.82%5.00%5.00%5.00%30.00%19.18%5.00%7.91%7.22%0.914
4231.29%5.00%5.00%5.00%30.00%18.71%5.00%7.94%7.25%0.914
4331.75%5.00%5.00%5.00%30.00%18.25%5.00%7.96%7.28%0.913
4432.21%5.00%5.00%5.00%30.00%17.79%5.00%7.99%7.32%0.912
4532.68%5.00%5.00%5.00%30.00%17.32%5.00%8.01%7.35%0.911
4633.14%5.00%5.00%5.00%30.00%16.86%5.00%8.04%7.39%0.910
4733.60%5.00%5.00%5.00%30.00%16.40%5.00%8.06%7.42%0.909
4834.07%5.00%5.00%5.00%30.00%15.93%5.00%8.08%7.46%0.908
4934.53%5.00%5.00%5.00%30.00%15.47%5.00%8.11%7.50%0.907
5035.00%5.00%5.00%5.00%30.00%15.00%5.00%8.13%7.53%0.905
5135.46%5.00%5.00%5.00%30.00%14.54%5.00%8.16%7.57%0.904
5235.92%5.00%5.00%5.00%30.00%14.08%5.00%8.18%7.61%0.903
5336.39%5.00%5.00%5.00%30.00%13.61%5.00%8.21%7.65%0.901
5436.85%5.00%5.00%5.00%30.00%13.15%5.00%8.23%7.69%0.900
5537.31%5.00%5.00%5.00%30.00%12.69%5.00%8.26%7.73%0.898
5637.78%5.00%5.00%5.00%30.00%12.22%5.00%8.28%7.77%0.897
5738.24%5.00%5.00%5.00%30.00%11.76%5.00%8.30%7.81%0.895
5838.70%5.00%5.00%5.00%30.00%11.30%5.00%8.33%7.85%0.894
5939.17%5.00%5.00%5.00%30.00%10.83%5.00%8.35%7.89%0.892
6039.63%5.00%5.00%5.00%30.00%10.37%5.00%8.38%7.94%0.890
6140.00%5.08%5.00%5.00%30.00%9.92%5.00%8.40%7.98%0.888
6240.00%5.47%5.00%5.00%30.00%9.53%5.00%8.43%8.03%0.887
6340.00%5.86%5.00%5.00%30.00%9.14%5.00%8.45%8.07%0.885
6440.00%6.26%5.00%5.00%30.00%8.74%5.00%8.48%8.12%0.883
6540.00%6.65%5.00%5.00%30.00%8.35%5.00%8.50%8.16%0.881
6640.00%7.04%5.00%5.00%30.00%7.96%5.00%8.52%8.21%0.878
6740.00%7.43%5.00%5.00%30.00%7.57%5.00%8.55%8.26%0.876
6840.00%7.82%5.00%5.00%30.00%7.18%5.00%8.57%8.31%0.874
6940.00%8.22%5.00%5.00%30.00%6.78%5.00%8.60%8.35%0.872
7040.00%8.61%5.00%5.00%30.00%6.39%5.00%8.62%8.40%0.870
7140.00%9.00%5.00%5.00%30.00%6.00%5.00%8.65%8.45%0.868
7240.00%9.39%5.00%5.00%30.00%5.61%5.00%8.67%8.50%0.865
7340.00%9.78%5.00%5.00%30.00%5.22%5.00%8.70%8.56%0.863
7438.86%11.14%5.00%5.00%30.00%5.00%5.00%8.72%8.61%0.860
7536.32%13.68%5.00%5.00%30.00%5.00%5.00%8.74%8.69%0.856
7633.78%16.22%5.00%5.00%30.00%5.00%5.00%8.77%8.76%0.851
7731.24%18.76%5.00%5.00%30.00%5.00%5.00%8.79%8.84%0.846
7830.49%20.00%5.00%5.00%29.51%5.00%5.00%8.82%8.93%0.840
7931.44%20.00%5.00%5.00%28.56%5.00%5.00%8.84%9.03%0.834
8032.38%20.00%5.00%5.00%27.62%5.00%5.00%8.87%9.13%0.828
8133.33%20.00%5.00%5.00%26.67%5.00%5.00%8.89%9.23%0.822
8234.28%20.00%5.00%5.00%25.72%5.00%5.00%8.92%9.33%0.815
8335.23%20.00%5.00%5.00%24.77%5.00%5.00%8.94%9.44%0.808
8436.18%20.00%5.00%5.00%23.82%5.00%5.00%8.97%9.55%0.802
8537.13%20.00%5.00%5.00%22.87%5.00%5.00%8.99%9.66%0.795
8638.08%20.00%5.00%5.00%21.92%5.00%5.00%9.01%9.78%0.788
8739.03%20.00%5.00%5.00%20.97%5.00%5.00%9.04%9.90%0.781
8839.98%20.00%5.00%5.00%20.02%5.00%5.00%9.06%10.02%0.774
8940.00%20.00%5.00%5.82%19.18%5.00%5.00%9.09%10.17%0.765
9040.00%20.00%5.00%6.65%18.35%5.00%5.00%9.11%10.32%0.756
9140.00%20.00%5.00%7.49%17.51%5.00%5.00%9.14%10.48%0.747
9240.00%20.00%5.00%8.32%16.68%5.00%5.00%9.16%10.64%0.738
9340.00%20.00%5.00%9.16%15.84%5.00%5.00%9.19%10.80%0.729
9440.00%20.00%5.00%9.99%15.01%5.00%5.00%9.21%10.96%0.720
9540.00%20.00%5.00%10.83%14.17%5.00%5.00%9.24%11.13%0.712
9640.00%20.00%5.00%11.66%13.34%5.00%5.00%9.26%11.30%0.703
9740.00%20.00%5.00%12.50%12.50%5.00%5.00%9.29%11.47%0.695
9840.00%20.00%5.00%13.33%11.67%5.00%5.00%9.31%11.64%0.687
9940.00%20.00%5.00%14.16%10.84%5.00%5.00%9.33%11.82%0.679
10040.00%20.00%5.00%15.00%10.00%5.00%5.00%9.36%11.99%0.671
*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%9.76%$10,97610.70%22.60%18.95%24.63%8.71%4.12%5.72%
20053.42%6.89%$11,7334.83%6.00%13.32%32.62%8.61%2.64%1.16%
20062.54%8.96%$12,78415.85%19.37%25.81%31.19%0.71%2.52%4.22%
20074.08%9.14%$13,9525.14%-5.56%9.94%33.31%10.29%10.37%3.73%
20080.09%-5.87%$13,133-36.81%-29.39%-41.04%-48.88%33.93%17.91%2.40%
20092.72%4.46%$13,71826.36%22.36%26.95%68.93%-21.80%-6.59%8.46%
20101.50%12.89%$15,48715.06%24.69%8.15%16.51%9.05%9.37%9.33%
20112.96%12.27%$17,3871.89%-1.65%-12.25%-18.82%33.96%15.64%9.73%
20121.74%9.58%$19,05315.99%18.24%18.82%19.10%2.63%3.66%10.58%
20131.50%4.70%$19,94932.31%39.34%21.40%-3.69%-13.37%-6.09%-2.00%
20140.76%12.90%$22,52213.46%7.56%-6.20%-3.93%27.30%9.07%8.21%
20150.73%-0.51%$22,4061.25%-6.90%-1.00%-16.18%-1.79%1.51%-1.25%
20162.07%6.41%$23,84212.00%31.25%1.37%10.87%1.18%1.00%6.21%
20172.11%12.38%$26,79321.70%11.35%25.10%37.28%9.18%2.55%7.06%
20181.91%-3.25%$25,923-4.56%-12.84%-13.81%-15.31%-1.61%0.99%-3.79%
20192.29%18.36%$30,68331.22%24.12%22.03%18.20%14.12%8.03%17.37%
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%
200421.90%$10,3541.36%2.50%2.30%3.95%2.28%1.61%1.51%
200430.56%$10,412-1.32%1.82%0.07%0.55%1.41%1.30%0.99%
20044-4.34%$9,960-1.89%-3.93%-3.39%-9.80%-6.23%-4.35%-3.89%
200450.39%$9,9991.71%1.58%1.14%1.17%-0.26%-0.53%-0.52%
200461.42%$10,1411.85%5.35%3.35%0.92%1.06%0.65%0.13%
20047-0.66%$10,073-3.22%-4.75%-4.27%-3.64%1.53%1.21%1.56%
200482.31%$10,3060.24%0.24%1.19%3.53%4.17%2.83%3.08%
200491.29%$10,4391.00%4.69%2.07%6.98%0.95%0.32%0.31%
2004101.48%$10,5941.29%0.95%3.50%2.85%1.77%0.99%1.18%
2004111.19%$10,7194.45%9.11%6.08%9.95%-2.39%-1.98%-1.22%
2004122.40%$10,9763.02%1.57%4.80%4.74%2.66%1.17%1.39%
200510.31%$11,010-2.24%-3.25%-1.90%-0.53%3.57%0.87%1.23%
200520.55%$11,0712.09%2.90%3.78%9.68%-1.47%-1.37%-0.94%
20053-1.41%$10,915-1.83%-2.36%-2.62%-7.91%-0.45%-0.40%-1.26%
200540.88%$11,010-1.87%-5.12%-1.62%-1.25%3.86%2.52%1.62%
200552.60%$11,2963.22%6.16%-0.86%3.16%3.14%1.84%0.62%
200561.23%$11,4350.15%3.92%1.43%3.97%2.16%0.48%1.22%
200570.32%$11,4713.83%5.84%3.00%7.68%-3.38%-2.18%-0.82%
200581.43%$11,635-0.94%-1.87%3.84%1.32%3.48%2.00%1.50%
20059-0.66%$11,5580.80%0.05%3.69%8.65%-3.61%-1.75%-1.86%
200510-2.25%$11,298-2.37%-3.41%-3.18%-6.34%-2.24%-1.24%-1.58%
2005112.18%$11,5454.40%4.91%2.31%5.79%0.69%0.63%0.66%
2005121.63%$11,733-0.19%-1.06%5.18%6.10%2.98%1.37%0.86%
200611.51%$11,9102.40%8.75%5.77%14.20%-1.34%-0.70%-0.44%
200620.20%$11,9340.57%0.27%-0.70%-3.85%1.11%-0.10%0.68%
20063-0.61%$11,8621.65%4.86%4.01%2.17%-4.57%-1.36%-1.68%
200640.04%$11,8671.26%0.18%4.79%6.52%-2.75%-0.63%-0.20%
20065-1.85%$11,648-3.01%-4.55%-3.82%-11.14%-0.19%-0.10%-0.19%
200660.42%$11,6980.26%0.04%-0.06%0.21%1.18%0.23%-0.09%
200671.21%$11,8400.45%-3.10%0.81%2.34%2.16%1.68%1.46%
200682.28%$12,1102.18%2.70%2.55%1.58%3.06%1.76%2.22%
200691.59%$12,3032.70%1.19%0.22%-0.87%1.91%1.21%0.87%
2006102.05%$12,5553.15%5.52%3.75%7.06%0.85%0.54%1.00%
2006112.11%$12,8201.99%2.38%3.07%5.98%2.31%1.31%1.46%
200612-0.28%$12,7841.34%0.32%3.20%5.44%-2.69%-1.28%-0.90%
200710.22%$12,8131.50%2.14%1.39%0.11%-1.00%-0.40%0.09%
200720.80%$12,916-1.96%-0.92%-0.12%-3.24%3.39%2.06%2.00%
200730.28%$12,9511.16%0.91%2.90%5.33%-1.70%-0.14%-0.68%
200742.06%$13,2184.43%1.84%3.75%3.73%0.90%0.61%0.89%
200750.45%$13,2783.39%4.63%2.36%5.06%-2.31%-1.39%-1.23%
20076-0.75%$13,179-1.46%-2.24%-0.32%3.68%-1.01%-0.47%-0.81%
200770.22%$13,208-3.13%-6.26%-2.29%0.71%3.32%2.26%-0.82%
200781.65%$13,4261.28%1.33%-0.63%1.04%1.79%2.26%2.38%
200791.99%$13,6923.87%0.31%5.32%11.57%0.23%0.09%0.73%
2007102.02%$13,9691.36%1.06%4.25%11.87%1.81%1.08%0.97%
2007110.62%$14,055-3.87%-7.15%-3.62%-7.65%5.35%4.04%1.02%
200712-0.73%$13,952-1.13%-0.71%-2.99%-1.43%-0.64%0.05%-0.81%
20081-0.97%$13,816-6.05%-4.00%-7.85%-8.92%2.10%3.36%2.57%
20082-0.57%$13,738-2.58%-3.36%-1.02%1.99%-0.46%1.24%-0.71%
200830.52%$13,810-0.90%0.83%0.42%-3.75%2.14%1.34%-0.60%
200840.84%$13,9274.77%2.64%5.44%9.14%-2.48%-2.41%1.25%
20085-0.48%$13,8601.51%3.92%1.19%3.16%-2.69%-1.78%-2.21%
20086-2.58%$13,502-8.35%-8.41%-8.80%-9.29%2.65%1.14%-1.29%
20087-0.38%$13,450-0.90%2.87%-3.32%-5.50%-0.37%0.72%0.39%
200881.23%$13,6161.55%4.76%-4.25%-6.32%2.74%1.53%0.15%
20089-4.23%$13,040-9.44%-4.82%-11.44%-14.68%1.47%-0.14%-10.73%
200810-8.42%$11,943-16.52%-19.86%-20.83%-25.58%-1.86%-0.87%-1.95%
2008112.72%$12,268-6.96%-11.80%-6.37%-9.75%14.34%7.75%3.35%
2008127.05%$13,1330.98%6.57%8.88%10.35%13.64%5.15%13.80%
20091-8.38%$12,033-8.21%-13.94%-13.73%-9.29%-13.07%-3.89%-1.80%
20092-5.13%$11,416-10.74%-13.03%-10.39%-6.27%-1.54%-0.74%-5.20%
200935.80%$12,0788.35%7.58%8.39%16.86%4.04%3.31%0.47%
200942.53%$12,3849.93%18.89%11.52%15.56%-6.95%-2.75%2.78%
200951.62%$12,5845.85%0.67%13.19%15.94%-3.69%-2.08%2.32%
200960.04%$12,589-0.07%1.52%-1.43%-2.25%0.76%-0.55%2.89%
200974.16%$13,1137.46%11.00%10.04%11.01%0.58%0.83%4.63%
200982.13%$13,3923.69%3.48%4.50%-1.31%2.24%0.77%1.31%
200992.85%$13,7733.55%4.21%3.80%10.20%2.46%1.12%1.76%
200910-1.80%$13,525-1.92%-6.07%-2.52%-3.44%-2.62%-0.14%-0.49%
2009113.33%$13,9766.16%2.90%3.92%7.85%1.21%2.02%1.95%
200912-1.85%$13,7181.91%8.10%0.70%3.27%-6.34%-4.40%-2.07%
20101-0.29%$13,678-3.63%-2.54%-5.07%-7.76%2.69%2.37%1.25%
201021.20%$13,8413.12%4.76%0.27%1.78%-0.34%0.33%0.51%
201031.92%$14,1076.09%7.80%6.39%8.11%-2.06%-1.06%0.65%
201041.97%$14,3861.55%6.63%-2.80%-0.17%3.32%1.65%1.91%
20105-1.48%$14,172-7.95%-8.54%-11.19%-9.39%5.11%2.93%-1.31%
201060.53%$14,248-5.17%-8.27%-2.07%-1.40%5.80%3.05%3.28%
201073.39%$14,7316.83%6.71%11.61%10.93%-0.95%0.91%2.11%
201081.24%$14,914-4.50%-7.91%-3.80%-3.24%8.40%3.36%2.86%
201093.38%$15,4198.96%10.93%9.97%11.76%-2.51%-0.00%0.46%
2010100.45%$15,4893.82%4.04%3.81%3.02%-4.47%-0.01%-0.26%
201011-1.02%$15,3310.00%2.47%-4.82%-2.91%-1.69%-0.90%-1.62%
2010121.02%$15,4876.68%8.97%8.30%7.27%-3.68%-3.43%-0.75%
20111-0.24%$15,4502.33%-0.24%2.10%-3.84%-3.08%-0.02%0.04%
201121.68%$15,7103.47%4.21%3.55%-0.04%1.65%-0.21%1.08%
201130.24%$15,7480.01%2.21%-2.39%6.29%0.03%-0.15%-0.54%
201142.46%$16,1352.90%1.06%5.63%2.73%2.34%1.84%2.50%
201151.00%$16,296-1.12%-1.77%-2.21%-2.94%3.42%2.51%1.27%
20116-1.38%$16,072-1.69%-1.59%-1.19%-0.93%-2.33%-0.51%-0.80%
201171.30%$16,281-2.00%-2.77%-2.38%-1.03%4.42%3.17%2.43%
201181.00%$16,444-5.50%-7.98%-8.75%-9.25%9.66%4.65%0.34%
201190.08%$16,457-6.94%-10.57%-10.81%-17.89%13.20%2.24%0.35%
2011103.72%$17,07010.91%15.34%9.63%16.27%-3.84%-1.29%2.51%
2011110.21%$17,106-0.41%0.63%-2.18%-1.96%1.98%0.58%-3.16%
2011121.64%$17,3871.04%2.02%-2.21%-4.30%3.44%1.99%3.49%
201212.70%$17,8564.64%7.90%5.27%10.99%-0.33%0.86%2.14%
201220.85%$18,0084.34%1.71%4.83%5.27%-2.59%-1.10%1.63%
20123-0.72%$17,8793.22%2.89%0.42%-3.11%-4.23%-1.59%-1.42%
201241.51%$18,149-0.67%-1.91%-2.08%-1.70%4.83%2.51%1.08%
201250.05%$18,158-6.01%-7.18%-11.14%-10.71%9.03%2.87%0.76%
201261.41%$18,4134.05%4.54%7.11%5.08%-1.68%-0.42%0.87%
201271.79%$18,7421.18%-0.69%0.08%-0.03%3.82%1.40%3.48%
201280.68%$18,8702.51%4.08%3.20%0.41%-1.32%-0.12%-0.05%
201290.56%$18,9752.54%3.14%2.71%5.22%-2.53%-0.35%1.10%
201210-0.71%$18,841-1.82%-1.96%1.09%-0.44%-0.48%-0.40%1.35%
2012111.05%$19,0390.57%1.65%2.78%1.56%1.38%0.98%-0.42%
2012120.07%$19,0530.90%3.55%4.37%6.80%-2.49%-0.94%-0.33%
201310.56%$19,1595.12%5.35%3.73%-0.29%-3.19%-1.29%-1.30%
201320.93%$19,3361.28%1.63%-1.29%-2.28%1.24%1.13%1.08%
201331.19%$19,5663.80%4.11%1.31%-1.02%-0.42%0.29%-0.05%
201342.51%$20,0571.92%0.12%5.02%1.22%4.68%1.52%2.17%
20135-2.28%$19,6002.36%4.29%-3.02%-4.83%-6.76%-3.11%-3.22%
20136-2.47%$19,116-1.34%-0.14%-2.70%-5.35%-3.27%-2.55%-3.27%
201371.41%$19,3865.17%6.56%5.32%1.32%-2.26%-0.35%1.11%
20138-1.97%$19,004-3.00%-3.41%-1.96%-2.54%-1.34%-1.42%-1.00%
201392.65%$19,5083.17%6.59%7.82%7.21%0.66%1.85%0.74%
2013102.42%$19,9804.63%3.48%3.26%4.17%1.43%0.78%1.81%
2013110.08%$19,9962.96%4.25%0.55%-0.26%-2.70%-0.88%-0.14%
201312-0.24%$19,9492.59%1.29%2.16%-0.42%-1.87%-2.09%0.22%
201410.74%$20,096-3.52%-3.51%-5.20%-8.64%6.30%3.06%1.88%
201422.18%$20,5354.55%4.63%6.13%3.38%0.52%0.36%1.14%
201430.46%$20,6290.83%1.34%-0.46%3.88%0.73%-0.56%-0.03%
201440.99%$20,8320.70%-2.29%1.67%0.78%2.10%0.76%1.33%
201452.19%$21,2892.32%0.62%1.60%2.95%2.95%1.82%1.51%
201460.77%$21,4532.06%3.85%0.92%2.40%-0.25%-0.22%0.01%
20147-0.59%$21,327-1.34%-5.07%-2.60%1.36%0.67%-0.22%-0.32%
201483.20%$22,0093.95%4.46%0.18%2.83%4.72%1.88%2.00%
20149-2.14%$21,537-1.38%-5.94%-3.88%-7.77%-2.11%-1.05%-1.68%
2014102.22%$22,0162.36%7.13%-0.27%1.42%2.81%1.53%1.23%
2014111.81%$22,4142.75%0.48%0.06%-1.54%2.97%1.29%0.91%
2014120.48%$22,522-0.26%2.56%-4.00%-3.99%3.25%0.13%-0.02%
201512.79%$23,150-2.96%-5.32%0.62%-0.69%9.82%4.30%3.75%
201520.01%$23,1525.62%5.86%6.34%4.41%-6.14%-2.47%-1.42%
201530.03%$23,158-1.57%1.03%-1.43%-1.50%1.10%0.86%0.20%
20154-0.38%$23,0700.98%-1.82%3.65%6.85%-3.43%-0.63%-1.19%
20155-0.57%$22,9381.29%0.75%0.20%-4.10%-2.37%-0.42%-1.12%
20156-2.37%$22,395-2.03%0.42%-3.12%-2.93%-4.07%-1.63%-1.88%
201571.83%$22,8042.26%-2.70%2.03%-6.31%4.55%1.52%0.83%
20158-2.81%$22,162-6.10%-4.62%-7.43%-8.84%-0.69%0.08%-0.83%
20159-0.22%$22,113-2.54%-3.77%-4.42%-3.13%1.97%1.58%1.19%
2015102.93%$22,7618.51%6.57%6.61%6.38%-0.41%-0.64%0.57%
201511-0.29%$22,6950.37%2.47%-0.75%-2.52%-0.87%-0.43%-0.15%
201512-1.27%$22,406-1.72%-5.08%-2.34%-3.83%-0.30%-0.45%-1.08%
201610.23%$22,457-4.98%-5.85%-5.52%-5.03%5.57%3.33%0.12%
201621.11%$22,707-0.08%2.08%-3.33%-0.82%3.09%1.49%1.05%
201633.34%$23,4656.72%9.41%6.58%12.96%-0.09%-0.06%3.62%
201640.19%$23,5110.39%2.13%2.22%0.41%-0.74%-0.16%1.55%
201650.41%$23,6081.70%0.44%-0.09%-3.69%0.81%-0.10%-0.51%
201662.98%$24,3120.35%0.83%-2.42%4.56%6.93%3.09%3.09%
201672.31%$24,8743.65%5.06%3.98%5.38%2.10%0.25%1.29%
20168-0.38%$24,7800.12%1.13%0.53%0.88%-1.01%-1.01%0.18%
20169-0.07%$24,7630.01%0.87%1.34%2.52%-1.51%0.24%-0.32%
201610-2.37%$24,178-1.73%-3.74%-2.22%-0.83%-4.38%-1.49%-1.53%
201611-2.08%$23,6753.68%13.34%-1.78%-4.42%-8.21%-4.23%-3.17%
2016120.71%$23,8422.03%3.20%2.71%-0.25%-0.46%-0.12%0.84%
201711.17%$24,1211.79%-1.21%3.29%6.66%0.81%0.22%0.15%
201721.90%$24,5803.93%1.35%1.19%1.74%1.59%0.72%1.32%
201730.20%$24,6290.13%-0.65%3.23%3.69%-0.65%0.08%-0.29%
201741.26%$24,9390.99%0.51%2.42%1.70%1.57%1.11%1.19%
201751.34%$25,2731.41%-2.26%3.54%2.85%1.89%0.83%1.33%
201760.44%$25,3840.64%2.96%0.31%0.93%0.79%-0.51%0.48%
201770.99%$25,6352.06%0.75%2.65%5.82%-0.66%0.38%0.77%
201781.34%$25,9790.29%-2.72%-0.04%2.35%3.41%1.46%0.68%
201790.08%$26,0002.01%8.58%2.36%-0.04%-2.32%-1.44%-0.05%
2017100.83%$26,2172.36%0.59%1.68%3.28%-0.04%-0.19%0.19%
2017111.09%$26,5013.06%3.76%0.69%-0.39%0.74%-0.28%-0.12%
2017121.10%$26,7931.21%-0.37%1.35%3.77%1.81%0.18%1.22%
201810.71%$26,9845.64%1.33%5.02%8.30%-3.26%-2.15%-1.23%
20182-2.80%$26,227-3.64%-4.04%-4.83%-5.90%-3.04%-0.93%-2.24%
201830.40%$26,332-2.74%1.37%-0.84%0.54%2.86%1.16%0.56%
20184-0.80%$26,1210.52%1.76%1.52%-2.82%-2.09%-1.28%-1.57%
201851.50%$26,5132.43%5.87%-1.89%-2.62%2.01%0.99%0.52%
201860.07%$26,5330.58%0.80%-1.57%-4.54%0.65%0.20%-0.49%
201870.98%$26,7933.70%2.62%2.85%3.53%-1.44%-0.53%1.34%
201881.31%$27,1433.19%3.14%-2.24%-3.77%1.31%1.01%0.02%
20189-1.03%$26,8630.59%-3.05%0.97%-0.58%-2.86%-1.20%-0.14%
201810-4.04%$25,779-6.91%-9.94%-8.13%-8.76%-2.93%-0.30%-2.05%
2018111.59%$26,1891.85%0.57%0.50%4.90%1.79%1.33%-0.36%
201812-1.01%$25,923-8.79%-12.38%-5.35%-3.50%5.85%2.80%1.86%
201914.00%$26,9608.01%12.26%6.63%10.34%0.38%0.65%3.37%
201920.60%$27,1233.24%4.13%2.54%-1.53%-1.38%-0.52%-0.20%
201932.66%$27,8431.81%-3.91%0.92%1.13%5.57%2.66%2.93%
201940.93%$28,1034.09%4.32%2.93%2.35%-1.99%-0.52%0.44%
20195-0.14%$28,064-6.38%-9.98%-5.03%-7.33%6.84%3.05%1.65%
201963.55%$29,0616.96%7.66%5.91%6.20%0.95%1.22%3.25%
201970.31%$29,1531.51%1.30%-1.95%-2.66%0.26%0.04%0.25%
201983.05%$30,042-1.67%-5.14%-1.92%-3.78%11.04%3.95%3.88%
20199-0.01%$30,0391.95%5.57%3.16%1.69%-2.68%-1.19%-0.76%
2019100.87%$30,2992.21%2.00%3.39%4.18%-1.11%0.19%0.44%
2019110.85%$30,5573.62%2.71%1.13%-0.09%-0.41%-0.69%0.47%
2019120.41%$30,6832.90%2.84%2.98%7.71%-3.20%-0.93%0.53%
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)1.94%
Volatility (annualized)6.72%
Downside Deviation (monthly)1.27%
Max. Drawdown-18.78%
US Market Correlation0.67
Beta(*)0.32
Alpha (annualized)4.09%
R244.45%
Sharpe Ratio0.88
Sortino Ratio1.32
Treynor Ratio (%)18.53
Calmar Ratio1.74
Active Return-1.97%
Tracking Error10.71%
Information Ratio-0.18
Skewness-1.11
Excess Kurtosis4.80
Historical Value-at-Risk (5%)-2.51%
Analytical Value-at-Risk (5%)-2.58%
Conditional Value-at-Risk (5%)-4.75%
Upside Capture Ratio (%)40.50
Downside Capture Ratio (%)22.56
Safe Withdrawal Rate8.95%
Perpetual Withdrawal Rate4.81%
Positive Periods140 out of 192 (72.92%)
Gain/Loss Ratio0.87
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndMaximum Sharpe Ratio
Subprime CrisisNov 2007Mar 2009-18.78%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsMar 20101 year 1 month2 years 4 months-18.78%
2May 2013Aug 20134 monthsJan 20145 months9 months-5.25%
3Sep 2018Oct 20182 monthsMar 20195 months7 months-5.03%
4Aug 2016Nov 20164 monthsApr 20175 months9 months-4.82%
5Apr 2015Sep 20156 monthsMar 20166 months1 year-4.52%
6Apr 2004Apr 20041 monthSep 20045 months6 months-4.34%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-3.20%
8Sep 2005Oct 20052 monthsDec 20052 months4 months-2.89%
9Mar 2006May 20063 monthsAug 20063 months6 months-2.40%
10Sep 2014Sep 20141 monthOct 20141 month2 months-2.14%
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 Trust9.02%13.47%32.31%-36.81%-50.80%0.610.891.00
IJSiShares S&P Small-Cap 600 Value ETF9.13%18.43%39.34%-29.39%-54.13%0.500.740.91
EFAiShares MSCI EAFE ETF5.53%16.45%26.95%-41.04%-57.38%0.330.470.88
EEMiShares MSCI Emerging Markets ETF7.79%21.77%68.93%-48.88%-60.44%0.400.600.79
TLTiShares 20+ Year Treasury Bond ETF6.57%12.92%33.96%-21.80%-21.80%0.460.78-0.31
IEFiShares 7-10 Year Treasury Bond ETF4.59%6.12%17.91%-6.59%-7.60%0.550.93-0.30
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.32%6.98%17.37%-3.79%-15.11%0.590.960.26

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIJSEFAEEMTLTIEFLQDMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust-0.880.880.78-0.31-0.290.260.67
IJSiShares S&P Small-Cap 600 Value ETF0.88-0.750.69-0.34-0.330.170.56
EFAiShares MSCI EAFE ETF0.880.75-0.88-0.23-0.200.360.69
EEMiShares MSCI Emerging Markets ETF0.780.690.88--0.21-0.160.330.65
TLTiShares 20+ Year Treasury Bond ETF-0.31-0.34-0.23-0.21-0.910.550.47
IEFiShares 7-10 Year Treasury Bond ETF-0.29-0.33-0.20-0.160.91-0.570.48
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.260.170.360.330.550.57-0.72

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Sharpe Ratio
SPYSPDR S&P 500 ETF Trust34.95%
IJSiShares S&P Small-Cap 600 Value ETF7.74%
EFAiShares MSCI EAFE ETF8.39%
EEMiShares MSCI Emerging Markets ETF10.49%
TLTiShares 20+ Year Treasury Bond ETF21.70%
IEFiShares 7-10 Year Treasury Bond ETF13.00%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.73%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.44%18.36%-5.87%
3 years6.94%11.57%2.38%
5 years6.73%10.42%4.56%
7 years7.13%8.22%5.87%
10 years7.13%8.38%6.43%
15 years6.82%7.09%6.56%
Result statistics are based on annualized rolling returns over full calendar year periods