Portfolio Optimization

Portfolio Optimization Configuration

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Asset Groups
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Portfolio Optimization Results (Jan 2012 - Dec 2022) Save

Portfolio optimization results for risk parity. The possible range of expected annual portfolio returns for the given period is 1.29% to 12.89%. Refer to the efficient frontier section for additional details.

Risk Parity

Risk Parity
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 13.78%
VXUS Vanguard Total International Stock ETF 13.73%
VNQ Vanguard Real Estate ETF 12.03%
BND Vanguard Total Bond Market ETF 60.46%
Save portfolio »

Portfolio Performance Summary

Performance Summary

Portfolio performance statistics
MetricRisk Parity
Start Balance$10,000
End Balance$15,835
Annualized Return (CAGR)4.27%
Expected Return4.43%
Standard Deviation6.93%
Best Year15.97%
Worst Year-15.77%
Maximum Drawdown -19.40%
Sharpe Ratio (ex-ante)0.54
Sharpe Ratio (ex-post)0.54
Sortino Ratio0.76
Stock Market Correlation0.85
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

   

Annual Returns

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Risk Parity4.49%-15.77%-15.77%-0.32%2.12%3.81%4.27%10.73%8.97%
Trailing return and volatility are as of last full calendar month ending December 2022
Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Total Stock Market ETF (VTI)12.90%14.79%0.8250.00%100.00%
2Vanguard Total International Stock ETF (VXUS)6.21%14.94%0.3690.00%100.00%
3Vanguard Real Estate ETF (VNQ)8.54%16.60%0.4730.00%100.00%
4Vanguard Total Bond Market ETF (BND)1.27%4.16%0.1380.00%100.00%
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 Correlations

Efficient Frontier Asset Correlations
NameTickerVTIVXUSVNQBND
Vanguard Total Stock Market ETFVTI1.000.850.710.28
Vanguard Total International Stock ETFVXUS0.851.000.630.33
Vanguard Real Estate ETFVNQ0.710.631.000.51
Vanguard Total Bond Market ETFBND0.280.330.511.00
Based on monthly returns from Jan 2012 to Dec 2022

Efficient Frontiers

Efficient Frontier Portfolios

Efficient Frontier Assets
#VTIVXUSVNQBNDExpected Return *Standard Deviation *Sharpe Ratio *
10.11%0.00%0.00%99.89%1.29%4.16%0.141
21.12%0.00%0.00%98.88%1.40%4.17%0.169
32.13%0.00%0.00%97.87%1.52%4.17%0.197
43.14%0.00%0.00%96.86%1.64%4.19%0.224
54.15%0.00%0.00%95.85%1.75%4.20%0.251
65.16%0.00%0.00%94.84%1.87%4.23%0.278
76.17%0.00%0.00%93.83%1.99%4.25%0.304
87.18%0.00%0.00%92.82%2.11%4.28%0.329
98.19%0.00%0.00%91.81%2.22%4.32%0.353
109.20%0.00%0.00%90.80%2.34%4.36%0.377
1110.20%0.00%0.00%89.80%2.46%4.40%0.400
1211.21%0.00%0.00%88.79%2.58%4.45%0.422
1312.22%0.00%0.00%87.78%2.69%4.51%0.443
1413.23%0.00%0.00%86.77%2.81%4.56%0.463
1514.24%0.00%0.00%85.76%2.93%4.62%0.482
1615.25%0.00%0.00%84.75%3.04%4.69%0.501
1716.26%0.00%0.00%83.74%3.16%4.75%0.518
1817.27%0.00%0.00%82.73%3.28%4.82%0.535
1918.28%0.00%0.00%81.72%3.40%4.90%0.551
2019.28%0.00%0.00%80.72%3.51%4.98%0.566
2120.29%0.00%0.00%79.71%3.63%5.06%0.580
2221.30%0.00%0.00%78.70%3.75%5.14%0.594
2322.31%0.00%0.00%77.69%3.87%5.22%0.606
2423.32%0.00%0.00%76.68%3.98%5.31%0.619
2524.33%0.00%0.00%75.67%4.10%5.40%0.630
2625.34%0.00%0.00%74.66%4.22%5.49%0.641
2726.35%0.00%0.00%73.65%4.33%5.59%0.651
2827.36%0.00%0.00%72.64%4.45%5.69%0.660
2928.36%0.00%0.00%71.64%4.57%5.78%0.669
3029.37%0.00%0.00%70.63%4.69%5.88%0.678
3130.38%0.00%0.00%69.62%4.80%5.99%0.686
3231.39%0.00%0.00%68.61%4.92%6.09%0.694
3332.40%0.00%0.00%67.60%5.04%6.20%0.701
3433.41%0.00%0.00%66.59%5.16%6.30%0.707
3534.42%0.00%0.00%65.58%5.27%6.41%0.714
3635.43%0.00%0.00%64.57%5.39%6.52%0.720
3736.44%0.00%0.00%63.56%5.51%6.63%0.725
3837.45%0.00%0.00%62.55%5.62%6.74%0.731
3938.45%0.00%0.00%61.55%5.74%6.86%0.736
4039.46%0.00%0.00%60.54%5.86%6.97%0.740
4140.47%0.00%0.00%59.53%5.98%7.09%0.745
4241.48%0.00%0.00%58.52%6.09%7.20%0.749
4342.49%0.00%0.00%57.51%6.21%7.32%0.753
4443.50%0.00%0.00%56.50%6.33%7.44%0.757
4544.51%0.00%0.00%55.49%6.45%7.56%0.761
4645.52%0.00%0.00%54.48%6.56%7.68%0.764
4746.53%0.00%0.00%53.47%6.68%7.80%0.767
4847.53%0.00%0.00%52.47%6.80%7.92%0.770
4948.54%0.00%0.00%51.46%6.91%8.04%0.773
5049.55%0.00%0.00%50.45%7.03%8.17%0.776
5150.56%0.00%0.00%49.44%7.15%8.29%0.778
5251.57%0.00%0.00%48.43%7.27%8.41%0.781
5352.58%0.00%0.00%47.42%7.38%8.54%0.783
5453.59%0.00%0.00%46.41%7.50%8.66%0.785
5554.60%0.00%0.00%45.40%7.62%8.79%0.787
5655.61%0.00%0.00%44.39%7.74%8.92%0.789
5756.62%0.00%0.00%43.38%7.85%9.04%0.791
5857.62%0.00%0.00%42.38%7.97%9.17%0.793
5958.63%0.00%0.00%41.37%8.09%9.30%0.795
6059.64%0.00%0.00%40.36%8.20%9.43%0.796
6160.65%0.00%0.00%39.35%8.32%9.56%0.798
6261.66%0.00%0.00%38.34%8.44%9.68%0.799
6362.67%0.00%0.00%37.33%8.56%9.81%0.801
6463.68%0.00%0.00%36.32%8.67%9.94%0.802
6564.69%0.00%0.00%35.31%8.79%10.07%0.803
6665.70%0.00%0.00%34.30%8.91%10.21%0.805
6766.70%0.00%0.00%33.30%9.03%10.34%0.806
6867.71%0.00%0.00%32.29%9.14%10.47%0.807
6968.72%0.00%0.00%31.28%9.26%10.60%0.808
7069.73%0.00%0.00%30.27%9.38%10.73%0.809
7170.74%0.00%0.00%29.26%9.49%10.86%0.810
7271.75%0.00%0.00%28.25%9.61%11.00%0.811
7372.76%0.00%0.00%27.24%9.73%11.13%0.812
7473.77%0.00%0.00%26.23%9.85%11.26%0.812
7574.78%0.00%0.00%25.22%9.96%11.40%0.813
7675.79%0.00%0.00%24.21%10.08%11.53%0.814
7776.79%0.00%0.00%23.21%10.20%11.66%0.815
7877.80%0.00%0.00%22.20%10.32%11.80%0.815
7978.81%0.00%0.00%21.19%10.43%11.93%0.816
8079.82%0.00%0.00%20.18%10.55%12.07%0.817
8180.83%0.00%0.00%19.17%10.67%12.20%0.817
8281.84%0.00%0.00%18.16%10.78%12.33%0.818
8382.85%0.00%0.00%17.15%10.90%12.47%0.818
8483.86%0.00%0.00%16.14%11.02%12.61%0.819
8584.87%0.00%0.00%15.13%11.14%12.74%0.819
8685.87%0.00%0.00%14.13%11.25%12.88%0.820
8786.88%0.00%0.00%13.12%11.37%13.01%0.820
8887.89%0.00%0.00%12.11%11.49%13.15%0.821
8988.90%0.00%0.00%11.10%11.61%13.28%0.821
9089.91%0.00%0.00%10.09%11.72%13.42%0.822
9190.92%0.00%0.00%9.08%11.84%13.56%0.822
9291.93%0.00%0.00%8.07%11.96%13.69%0.822
9392.94%0.00%0.00%7.06%12.07%13.83%0.823
9493.95%0.00%0.00%6.05%12.19%13.97%0.823
9594.96%0.00%0.00%5.04%12.31%14.10%0.823
9695.96%0.00%0.00%4.04%12.43%14.24%0.824
9796.97%0.00%0.00%3.03%12.54%14.38%0.824
9897.98%0.00%0.00%2.02%12.66%14.51%0.824
9998.99%0.00%0.00%1.01%12.78%14.65%0.825
100100.00%0.00%0.00%0.00%12.90%14.79%0.825
*Annualized ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate.

Annual Returns

Annual returns for the configured portfolios
YearInflationRisk Parity ReturnRisk Parity BalanceVanguard Total Stock Market ETF (VTI)Vanguard Total International Stock ETF (VXUS)Vanguard Real Estate ETF (VNQ)Vanguard Total Bond Market ETF (BND)
20121.74%8.92%$10,89216.45%18.61%17.63%3.16%
20131.50%5.16%$11,45433.45%14.61%2.31%-2.10%
20140.76%8.05%$12,37612.54%-4.74%30.36%5.82%
20150.73%0.38%$12,4230.36%-4.19%2.42%0.56%
20162.07%5.17%$13,06512.83%4.81%8.60%2.52%
20172.11%9.13%$14,25921.21%27.45%4.91%3.57%
20181.91%-3.31%$13,786-5.21%-14.43%-6.02%-0.12%
20192.29%15.97%$15,98730.67%21.75%28.87%8.83%
20201.36%9.08%$17,43921.03%10.69%-4.68%7.71%
20217.04%7.81%$18,80025.67%9.00%40.52%-1.86%
20226.45%-15.77%$15,835-19.51%-16.10%-26.24%-13.11%

Monthly Returns

Monthly returns for the configured portfolios
YearMonthRisk Parity ReturnRisk Parity BalanceVanguard Total Stock Market ETF (VTI)Vanguard Total International Stock ETF (VXUS)Vanguard Real Estate ETF (VNQ)Vanguard Total Bond Market ETF (BND)
201212.86%$10,2865.07%7.33%6.38%0.63%
201221.09%$10,3984.22%4.56%-1.15%0.04%
201230.66%$10,4673.06%-0.54%5.19%-0.51%
201240.64%$10,534-0.64%-2.08%2.86%1.10%
20125-2.32%$10,289-6.23%-10.83%-4.51%0.93%
201262.08%$10,5044.05%5.97%5.52%0.07%
201271.15%$10,6240.88%0.31%2.00%1.23%
201280.82%$10,7122.70%2.60%-0.01%0.16%
201290.70%$10,7872.49%3.41%-1.86%0.18%
201210-0.31%$10,753-1.81%0.81%-0.91%-0.10%
2012110.52%$10,8090.77%2.06%-0.26%0.27%
2012120.77%$10,8921.29%4.88%3.72%-0.88%
201311.11%$11,0135.42%2.40%3.74%-0.69%
201320.49%$11,0671.28%-1.14%1.22%0.54%
201331.06%$11,1853.95%0.93%2.87%0.08%
201342.13%$11,4221.61%3.50%6.73%1.01%
20135-2.00%$11,1942.44%-3.30%-5.98%-1.93%
20136-1.92%$10,979-1.43%-3.57%-1.98%-1.65%
201371.76%$11,1735.75%4.62%0.90%0.38%
20138-2.04%$10,944-3.03%-1.95%-6.98%-0.86%
201392.66%$11,2363.90%7.51%3.49%1.11%
2013102.15%$11,4784.27%3.67%4.52%0.86%
201311-0.42%$11,4302.70%0.13%-5.25%-0.29%
2013120.21%$11,4542.73%1.52%0.10%-0.64%
201410.27%$11,485-3.17%-5.40%4.28%1.55%
201422.33%$11,7534.87%5.59%5.07%0.47%
201430.09%$11,7640.51%0.49%0.49%-0.17%
201441.06%$11,8890.06%1.26%3.29%0.80%
201451.48%$12,0652.10%1.93%2.40%1.05%
201460.81%$12,1622.62%1.89%1.13%0.08%
20147-0.67%$12,081-1.99%-1.73%0.08%-0.28%
201481.79%$12,2974.15%1.16%3.04%1.14%
20149-2.05%$12,045-2.10%-5.01%-6.04%-0.57%
2014102.00%$12,2862.75%-0.08%9.94%0.72%
2014111.01%$12,4102.48%-0.51%2.00%0.83%
201412-0.28%$12,376-0.04%-3.87%1.88%0.06%
201511.94%$12,616-2.74%0.27%6.85%2.40%
201520.35%$12,6605.74%5.78%-3.67%-1.31%
201530.18%$12,683-1.16%-1.49%1.74%0.55%
20154-0.15%$12,6630.62%4.81%-5.85%-0.32%
20155-0.28%$12,6271.30%-0.91%-0.30%-0.50%
20156-1.84%$12,395-1.67%-2.73%-4.68%-1.11%
201571.38%$12,5661.70%-0.56%5.77%0.88%
20158-2.77%$12,219-6.09%-7.43%-6.29%-0.25%
20159-0.08%$12,210-2.92%-3.85%3.05%0.81%
2015102.66%$12,5347.91%6.25%5.76%0.03%
201511-0.41%$12,4830.60%-1.32%-0.63%-0.39%
201512-0.48%$12,423-2.13%-2.17%1.82%-0.18%
20161-1.22%$12,271-5.72%-5.45%-3.44%1.20%
201620.13%$12,287-0.01%-2.46%-0.36%0.85%
201633.92%$12,7687.11%8.33%10.48%0.88%
201640.35%$12,8130.66%2.16%-2.35%0.40%
201650.37%$12,8601.73%-0.98%2.25%-0.01%
201661.97%$13,1130.27%-0.90%6.92%2.02%
201672.04%$13,3813.98%4.52%4.26%0.60%
20168-0.55%$13,3080.21%0.45%-3.76%-0.31%
201690.11%$13,3220.21%1.70%-1.82%0.11%
201610-1.82%$13,080-2.19%-1.91%-5.74%-0.94%
201611-1.41%$12,8954.49%-2.01%-1.68%-2.57%
2016121.32%$13,0651.98%1.96%4.82%0.33%
201710.90%$13,1831.86%4.08%-0.19%0.19%
201721.49%$13,3803.69%1.34%3.51%0.62%
201730.10%$13,3930.06%3.00%-2.42%-0.04%
201740.94%$13,5191.06%2.05%0.24%0.80%
201750.89%$13,6391.01%2.96%-0.72%0.71%
201760.52%$13,7100.95%0.63%2.23%0.05%
201771.11%$13,8631.88%3.37%1.24%0.40%
201780.58%$13,9430.15%0.54%-0.26%0.86%
201790.30%$13,9852.44%1.88%-0.11%-0.47%
2017100.43%$14,0452.17%2.03%-1.07%-0.03%
2017110.76%$14,1523.03%0.63%2.66%-0.11%
2017120.75%$14,2591.16%2.07%-0.14%0.54%
201810.25%$14,2945.23%5.72%-4.25%-1.24%
20182-2.79%$13,895-3.76%-5.24%-7.68%-1.04%
201830.56%$13,973-1.95%-0.38%3.88%0.69%
20184-0.29%$13,9320.45%0.46%0.82%-0.85%
201851.01%$14,0722.72%-1.64%3.68%0.68%
201860.28%$14,1120.70%-2.14%4.20%-0.04%
201870.86%$14,2333.32%2.55%0.60%-0.04%
201880.86%$14,3553.43%-2.40%2.58%0.67%
20189-0.59%$14,2700.20%0.21%-2.64%-0.55%
201810-3.07%$13,832-7.41%-8.56%-2.93%-0.86%
2018111.45%$14,0342.01%1.68%4.67%0.64%
201812-1.76%$13,786-9.16%-4.93%-7.96%1.87%
201914.33%$14,3838.54%7.67%11.85%1.11%
201920.74%$14,4903.56%1.63%0.70%-0.09%
201931.98%$14,7771.42%0.77%4.21%1.94%
201940.89%$14,9083.93%2.77%-0.16%-0.02%
20195-0.51%$14,831-6.45%-5.42%0.14%1.83%
201962.71%$15,2337.08%5.77%1.54%1.25%
201970.22%$15,2661.41%-1.99%1.70%0.15%
201981.54%$15,501-2.08%-2.17%3.75%2.77%
201990.51%$15,5801.78%2.73%1.93%-0.57%
2019101.08%$15,7492.11%3.43%1.13%0.31%
2019110.48%$15,8243.79%0.99%-1.30%-0.04%
2019121.03%$15,9872.80%4.38%0.76%-0.07%
202010.87%$16,126-0.06%-3.39%1.23%1.98%
20202-1.85%$15,829-8.00%-6.60%-7.03%1.67%
20203-7.35%$14,666-13.91%-16.26%-19.42%-1.43%
202045.60%$15,48713.13%7.60%8.96%2.76%
202052.04%$15,8035.40%5.01%1.73%0.67%
202061.59%$16,0552.29%4.24%2.41%0.67%
202072.68%$16,4855.74%4.15%3.64%1.45%
202081.07%$16,6627.10%4.43%0.44%-0.94%
20209-1.12%$16,475-3.54%-1.82%-2.68%-0.10%
202010-1.28%$16,264-1.95%-2.30%-3.00%-0.56%
2020115.26%$17,11911.80%12.62%9.67%1.21%
2020121.87%$17,4394.68%5.86%2.72%0.15%
20211-0.53%$17,347-0.33%0.25%0.04%-0.86%
202120.23%$17,3863.14%2.30%3.43%-1.55%
202130.61%$17,4923.65%1.87%5.15%-1.27%
202142.54%$17,9375.04%2.78%7.86%0.87%
202150.67%$18,0580.46%3.07%0.81%0.15%
202161.16%$18,2662.48%-0.34%2.64%0.90%
202171.32%$18,5081.74%-1.13%4.42%1.17%
202180.74%$18,6452.86%1.46%2.15%-0.19%
20219-2.38%$18,200-4.46%-3.45%-5.68%-1.01%
2021102.22%$18,6046.69%2.88%7.13%0.07%
202111-0.92%$18,433-1.46%-4.26%-2.11%0.20%
2021121.99%$18,8003.79%3.58%9.69%-0.31%
20221-3.49%$18,145-6.06%-2.83%-8.42%-2.06%
20222-1.84%$17,811-2.49%-2.85%-3.48%-1.14%
20223-0.50%$17,7223.26%-0.28%6.27%-2.75%
20224-5.04%$16,828-9.13%-6.49%-4.09%-3.97%
202250.11%$16,847-0.25%1.52%-4.69%0.83%
20226-4.13%$16,152-8.23%-7.96%-7.46%-1.66%
202274.26%$16,8419.35%3.64%8.62%2.38%
20228-3.55%$16,244-3.73%-4.49%-6.01%-2.80%
20229-6.71%$15,154-9.22%-9.91%-12.86%-4.18%
2022101.31%$15,3528.11%3.41%3.51%-1.16%
2022115.46%$16,1905.17%13.04%6.15%3.67%
202212-2.19%$15,835-5.85%-2.14%-5.03%-0.81%

Risk and Return Metrics

Portfolio return and risk metrics
MetricRisk Parity
Arithmetic Mean (monthly)0.37%
Arithmetic Mean (annualized)4.52%
Geometric Mean (monthly)0.35%
Geometric Mean (annualized)4.27%
Standard Deviation (monthly)2.00%
Standard Deviation (annualized)6.93%
Downside Deviation (monthly)1.38%
Maximum Drawdown-19.40%
Stock Market Correlation0.85
Beta(*)0.40
Alpha (annualized)-0.67%
R272.30%
Sharpe Ratio0.54
Sortino Ratio0.76
Treynor Ratio (%)9.36
Calmar Ratio-0.02
Active Return-8.07%
Tracking Error9.63%
Information Ratio-0.84
Skewness-0.73
Excess Kurtosis2.64
Historical Value-at-Risk (5%)-2.91%
Analytical Value-at-Risk (5%)-2.91%
Conditional Value-at-Risk (5%)-4.76%
Upside Capture Ratio (%)34.93
Downside Capture Ratio (%)41.38
Safe Withdrawal Rate11.40%
Perpetual Withdrawal Rate1.68%
Positive Periods91 out of 132 (68.94%)
Gain/Loss Ratio0.74
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndRisk Parity
COVID-19 StartJan 2020Mar 2020-9.06%

Drawdowns for Risk Parity

Drawdowns for Risk Parity (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2022Sep 20229 months-19.40%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-9.06%
3May 2013Aug 20134 monthsOct 20132 months6 months-4.19%
4Sep 2018Dec 20184 monthsJan 20191 month5 months-3.97%
5Apr 2015Sep 20156 monthsMar 20166 months1 year-3.73%
6Aug 2016Nov 20164 monthsMar 20174 months8 months-3.64%
7Feb 2018Feb 20181 monthAug 20186 months7 months-2.79%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-2.39%
9Sep 2021Sep 20211 monthDec 20213 months4 months-2.38%
10May 2012May 20121 monthJul 20122 months3 months-2.32%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
VTIVanguard Total Stock Market ETF12.46%14.79%33.45%-19.51%-24.81%0.821.261.00
VXUSVanguard Total International Stock ETF5.21%14.94%27.45%-16.10%-27.76%0.370.540.85
VNQVanguard Real Estate ETF7.39%16.60%40.52%-26.24%-29.31%0.470.690.71
BNDVanguard Total Bond Market ETF1.19%4.16%8.83%-13.11%-17.28%0.140.190.28

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Vanguard Total Stock Market ETF7.05%-19.51%-19.51%6.98%8.68%12.07%0.03%0.03%
Vanguard Total International Stock ETF14.38%-16.10%-16.10%0.41%1.07%3.95%0.07%0.07%
Vanguard Real Estate ETF4.34%-26.24%-26.24%-0.40%3.65%6.42%0.12%0.12%
Vanguard Total Bond Market ETF1.64%-13.11%-13.11%-2.80%-0.03%1.00%0.03%0.03%
Trailing returns as of last calendar month ending December 2022

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIVXUSVNQBNDRisk Parity
VTIVanguard Total Stock Market ETF1.000.850.710.280.85
VXUSVanguard Total International Stock ETF0.851.000.630.330.85
VNQVanguard Real Estate ETF0.710.631.000.510.87
BNDVanguard Total Bond Market ETF0.280.330.511.000.69

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameRisk Parity
VTIVanguard Total Stock Market ETF$2,538
VXUSVanguard Total International Stock ETF$1,133
VNQVanguard Real Estate ETF$1,404
BNDVanguard Total Bond Market ETF$761
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameRisk Parity
VTIVanguard Total Stock Market ETF25.00%
VXUSVanguard Total International Stock ETF25.00%
VNQVanguard Real Estate ETF25.00%
BNDVanguard Total Bond Market ETF25.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year4.82%19.27%-17.48%
3 years5.27%10.89%-0.92%
5 years5.15%7.55%1.62%
7 years5.19%6.28%2.94%
10 years4.73%6.52%3.46%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years