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
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Portfolio Optimization Results (Jan 2012 - Apr 2022) Save

Portfolio optimization results for risk parity. The possible range of expected annual portfolio returns for the given period is 2.09% to 15.13%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Risk Parity
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 12.78%
VXUS Vanguard Total International Stock ETF 12.77%
VNQ Vanguard Real Estate ETF 10.95%
BND Vanguard Total Bond Market ETF 63.50%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricRisk Parity
Start Balance$10,000
End Balance$16,393
Annualized Return (CAGR)4.90%
Expected Return5.08%
Standard Deviation5.87%
Best Year15.41%
Worst Year-10.42%
Maximum Drawdown -10.42%
Sharpe Ratio (ex-ante)0.75
Sharpe Ratio (ex-post)0.75
Sortino Ratio1.12
Stock Market Correlation0.82
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
Risk Parity-7.30%-10.42%-6.39%3.84%4.23%4.55%4.90%8.16%6.97%
Trailing return and volatility are as of last full calendar month ending April 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.
  • The annual results for 2022 are based on full calendar months from January to April.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Total Stock Market ETF (VTI)15.14%13.92%0.9770.00%100.00%
2Vanguard Total International Stock ETF (VXUS)7.11%14.13%0.4460.00%100.00%
3Vanguard Real Estate ETF (VNQ)11.37%15.76%0.6490.00%100.00%
4Vanguard Total Bond Market ETF (BND)1.73%3.67%0.3100.00%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 ETFVTI1.000.850.670.16
Vanguard Total International Stock ETFVXUS0.851.000.590.18
Vanguard Real Estate ETFVNQ0.670.591.000.43
Vanguard Total Bond Market ETFBND0.160.180.431.00
Based on monthly returns from Jan 2012 to Apr 2022
Efficient Frontier Assets
#VTIVXUSVNQBNDExpected Return*Standard Deviation*Sharpe Ratio*
12.88%0.00%0.00%97.12%2.09%3.65%0.410
23.86%0.00%0.00%96.14%2.22%3.66%0.443
34.84%0.00%0.00%95.16%2.34%3.66%0.475
45.82%0.00%0.00%94.18%2.47%3.68%0.507
56.81%0.00%0.00%93.19%2.59%3.69%0.538
67.79%0.00%0.00%92.21%2.72%3.72%0.567
78.77%0.00%0.00%91.23%2.84%3.74%0.596
89.75%0.00%0.00%90.25%2.97%3.77%0.623
910.73%0.00%0.00%89.27%3.10%3.81%0.650
1011.71%0.00%0.00%88.29%3.22%3.85%0.674
1112.69%0.00%0.00%87.31%3.35%3.90%0.698
1213.67%0.00%0.00%86.33%3.47%3.95%0.720
1314.65%0.00%0.00%85.35%3.60%4.00%0.741
1415.63%0.00%0.00%84.37%3.73%4.06%0.761
1516.62%0.00%0.00%83.38%3.85%4.12%0.779
1617.60%0.00%0.00%82.40%3.98%4.18%0.797
1718.58%0.00%0.00%81.42%4.11%4.25%0.813
1819.56%0.00%0.00%80.44%4.23%4.32%0.828
1920.54%0.00%0.00%79.46%4.36%4.39%0.842
2021.52%0.00%0.00%78.48%4.49%4.47%0.854
2122.50%0.00%0.00%77.50%4.61%4.55%0.866
2223.48%0.00%0.00%76.52%4.74%4.63%0.877
2324.46%0.00%0.00%75.54%4.87%4.72%0.888
2425.44%0.00%0.00%74.56%5.00%4.80%0.897
2526.43%0.00%0.00%73.57%5.13%4.89%0.906
2627.41%0.00%0.00%72.59%5.25%4.98%0.913
2728.39%0.00%0.00%71.61%5.38%5.08%0.921
2829.37%0.00%0.00%70.63%5.51%5.17%0.927
2930.35%0.00%0.00%69.65%5.64%5.27%0.934
3031.33%0.00%0.00%68.67%5.77%5.37%0.939
3132.31%0.00%0.00%67.69%5.90%5.47%0.944
3233.29%0.00%0.00%66.71%6.02%5.57%0.949
3334.27%0.00%0.00%65.73%6.15%5.67%0.953
3435.25%0.00%0.00%64.75%6.28%5.78%0.957
3536.24%0.00%0.00%63.76%6.41%5.88%0.961
3637.22%0.00%0.00%62.78%6.54%5.99%0.964
3738.20%0.00%0.00%61.80%6.67%6.10%0.967
3839.18%0.00%0.00%60.82%6.80%6.21%0.970
3940.16%0.00%0.00%59.84%6.93%6.32%0.972
4041.14%0.00%0.00%58.86%7.06%6.43%0.974
4142.12%0.00%0.00%57.88%7.19%6.54%0.976
4243.10%0.00%0.00%56.90%7.32%6.65%0.978
4344.08%0.00%0.00%55.92%7.45%6.77%0.980
4445.06%0.00%0.00%54.94%7.58%6.88%0.981
4546.05%0.00%0.00%53.95%7.71%7.00%0.983
4647.03%0.00%0.00%52.97%7.85%7.11%0.984
4748.01%0.00%0.00%51.99%7.98%7.23%0.985
4848.99%0.00%0.00%51.01%8.11%7.35%0.986
4949.97%0.00%0.00%50.03%8.24%7.47%0.986
5050.95%0.00%0.00%49.05%8.37%7.59%0.987
5151.93%0.00%0.00%48.07%8.50%7.70%0.988
5252.91%0.00%0.00%47.09%8.63%7.82%0.988
5353.89%0.00%0.00%46.11%8.77%7.94%0.989
5454.87%0.00%0.00%45.13%8.90%8.07%0.989
5555.86%0.00%0.00%44.14%9.03%8.19%0.989
5656.84%0.00%0.00%43.16%9.16%8.31%0.990
5757.82%0.00%0.00%42.18%9.30%8.43%0.990
5858.80%0.00%0.00%41.20%9.43%8.55%0.990
5959.78%0.00%0.00%40.22%9.56%8.68%0.990
6060.76%0.00%0.00%39.24%9.69%8.80%0.990
6161.74%0.00%0.00%38.26%9.83%8.92%0.990
6262.72%0.00%0.00%37.28%9.96%9.05%0.990
6363.70%0.00%0.00%36.30%10.09%9.17%0.990
6464.68%0.00%0.00%35.32%10.23%9.30%0.990
6565.67%0.00%0.00%34.33%10.36%9.42%0.990
6666.65%0.00%0.00%33.35%10.49%9.55%0.989
6767.63%0.00%0.00%32.37%10.63%9.67%0.989
6868.61%0.00%0.00%31.39%10.76%9.80%0.989
6969.59%0.00%0.00%30.41%10.90%9.92%0.989
7070.57%0.00%0.00%29.43%11.03%10.05%0.988
7171.55%0.00%0.00%28.45%11.17%10.18%0.988
7272.53%0.00%0.00%27.47%11.30%10.30%0.988
7373.51%0.00%0.00%26.49%11.44%10.43%0.988
7474.49%0.00%0.00%25.51%11.57%10.56%0.987
7575.48%0.00%0.00%24.52%11.71%10.68%0.987
7676.46%0.00%0.00%23.54%11.84%10.81%0.987
7777.44%0.00%0.00%22.56%11.98%10.94%0.986
7878.42%0.00%0.00%21.58%12.11%11.07%0.986
7979.40%0.00%0.00%20.60%12.25%11.20%0.986
8080.38%0.00%0.00%19.62%12.39%11.32%0.985
8181.36%0.00%0.00%18.64%12.52%11.45%0.985
8282.34%0.00%0.00%17.66%12.66%11.58%0.984
8383.32%0.00%0.00%16.68%12.79%11.71%0.984
8484.30%0.00%0.00%15.70%12.93%11.84%0.984
8585.29%0.00%0.00%14.71%13.07%11.97%0.983
8686.27%0.00%0.00%13.73%13.20%12.10%0.983
8787.25%0.00%0.00%12.75%13.34%12.23%0.982
8888.23%0.00%0.00%11.77%13.48%12.36%0.982
8989.21%0.00%0.00%10.79%13.62%12.49%0.982
9090.19%0.00%0.00%9.81%13.75%12.62%0.981
9191.17%0.00%0.00%8.83%13.89%12.75%0.981
9292.15%0.00%0.00%7.85%14.03%12.88%0.980
9393.13%0.00%0.00%6.87%14.17%13.01%0.980
9494.11%0.00%0.00%5.89%14.31%13.14%0.980
9595.09%0.00%0.00%4.91%14.44%13.27%0.979
9696.08%0.00%0.00%3.92%14.58%13.40%0.979
9797.06%0.00%0.00%2.94%14.72%13.53%0.978
9898.04%0.00%0.00%1.96%14.86%13.66%0.978
9999.02%0.00%0.00%0.98%15.00%13.79%0.978
100100.00%0.00%0.00%0.00%15.14%13.92%0.977
*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
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%8.48%$10,84816.45%18.61%17.63%3.16%
20131.50%4.61%$11,34833.45%14.61%2.31%-2.10%
20140.76%7.84%$12,23812.54%-4.74%30.36%5.82%
20150.73%0.39%$12,2850.36%-4.19%2.42%0.56%
20162.07%4.97%$12,89612.83%4.81%8.60%2.52%
20172.11%8.73%$14,02121.21%27.45%4.91%3.57%
20181.91%-3.07%$13,591-5.21%-14.43%-6.02%-0.12%
20192.29%15.41%$15,68530.67%21.75%28.87%8.83%
20201.36%9.04%$17,10221.03%10.69%-4.68%7.71%
20217.04%7.01%$18,30025.67%9.00%40.52%-1.86%
20223.70%-10.42%$16,393-14.04%-11.98%-9.91%-9.58%
Annual return for 2022 is from 01/01/2022 to 04/30/2022
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)
201212.69%$10,2695.07%7.33%6.38%0.63%
201221.02%$10,3734.22%4.56%-1.15%0.04%
201230.57%$10,4323.06%-0.54%5.19%-0.51%
201240.67%$10,502-0.64%-2.08%2.86%1.10%
20125-2.08%$10,283-6.23%-10.83%-4.51%0.93%
201261.93%$10,4824.05%5.97%5.52%0.07%
201271.15%$10,6020.88%0.31%2.00%1.23%
201280.78%$10,6852.70%2.60%-0.01%0.16%
201290.67%$10,7562.49%3.41%-1.86%0.18%
201210-0.29%$10,725-1.81%0.81%-0.91%-0.10%
2012110.50%$10,7790.77%2.06%-0.26%0.27%
2012120.64%$10,8481.29%4.88%3.72%-0.88%
201310.97%$10,9535.42%2.40%3.74%-0.69%
201320.49%$11,0071.28%-1.14%1.22%0.54%
201330.99%$11,1153.95%0.93%2.87%0.08%
201342.03%$11,3421.61%3.50%6.73%1.01%
20135-1.99%$11,1162.44%-3.30%-5.98%-1.93%
20136-1.90%$10,905-1.43%-3.57%-1.98%-1.65%
201371.66%$11,0865.75%4.62%0.90%0.38%
20138-1.94%$10,871-3.03%-1.95%-6.98%-0.86%
201392.55%$11,1483.90%7.51%3.49%1.11%
2013102.05%$11,3764.27%3.67%4.52%0.86%
201311-0.40%$11,3312.70%0.13%-5.25%-0.29%
2013120.15%$11,3482.73%1.52%0.10%-0.64%
201410.36%$11,389-3.17%-5.40%4.28%1.55%
201422.19%$11,6384.87%5.59%5.07%0.47%
201430.07%$11,6460.51%0.49%0.49%-0.17%
201441.04%$11,7670.06%1.26%3.29%0.80%
201451.45%$11,9372.10%1.93%2.40%1.05%
201460.75%$12,0272.62%1.89%1.13%0.08%
20147-0.64%$11,950-1.99%-1.73%0.08%-0.28%
201481.74%$12,1584.15%1.16%3.04%1.14%
20149-1.93%$11,923-2.10%-5.01%-6.04%-0.57%
2014101.89%$12,1482.75%-0.08%9.94%0.72%
2014111.00%$12,2692.48%-0.51%2.00%0.83%
201412-0.26%$12,238-0.04%-3.87%1.88%0.06%
201511.96%$12,478-2.74%0.27%6.85%2.40%
201520.24%$12,5085.74%5.78%-3.67%-1.31%
201530.20%$12,533-1.16%-1.49%1.74%0.55%
20154-0.15%$12,5130.62%4.81%-5.85%-0.32%
20155-0.30%$12,4761.30%-0.91%-0.30%-0.50%
20156-1.78%$12,254-1.67%-2.73%-4.68%-1.11%
201571.34%$12,4181.70%-0.56%5.77%0.88%
20158-2.57%$12,098-6.09%-7.43%-6.29%-0.25%
20159-0.02%$12,096-2.92%-3.85%3.05%0.81%
2015102.46%$12,3937.91%6.25%5.76%0.03%
201511-0.41%$12,3430.60%-1.32%-0.63%-0.39%
201512-0.46%$12,285-2.13%-2.17%1.82%-0.18%
20161-1.04%$12,157-5.72%-5.45%-3.44%1.20%
201620.19%$12,180-0.01%-2.46%-0.36%0.85%
201633.68%$12,6287.11%8.33%10.48%0.88%
201640.36%$12,6740.66%2.16%-2.35%0.40%
201650.34%$12,7161.73%-0.98%2.25%-0.01%
201661.96%$12,9660.27%-0.90%6.92%2.02%
201671.93%$13,2163.98%4.52%4.26%0.60%
20168-0.53%$13,1470.21%0.45%-3.76%-0.31%
201690.12%$13,1620.21%1.70%-1.82%0.11%
201610-1.75%$12,932-2.19%-1.91%-5.74%-0.94%
201611-1.50%$12,7384.49%-2.01%-1.68%-2.57%
2016121.24%$12,8961.98%1.96%4.82%0.33%
201710.85%$13,0061.86%4.08%-0.19%0.19%
201721.42%$13,1913.69%1.34%3.51%0.62%
201730.10%$13,2040.06%3.00%-2.42%-0.04%
201740.93%$13,3271.06%2.05%0.24%0.80%
201750.88%$13,4441.01%2.96%-0.72%0.71%
201760.48%$13,5080.95%0.63%2.23%0.05%
201771.06%$13,6521.88%3.37%1.24%0.40%
201780.60%$13,7340.15%0.54%-0.26%0.86%
201790.24%$13,7672.44%1.88%-0.11%-0.47%
2017100.40%$13,8232.17%2.03%-1.07%-0.03%
2017110.69%$13,9183.03%0.63%2.66%-0.11%
2017120.74%$14,0211.16%2.07%-0.14%0.54%
201810.15%$14,0425.23%5.72%-4.25%-1.24%
20182-2.65%$13,670-3.76%-5.24%-7.68%-1.04%
201830.56%$13,747-1.95%-0.38%3.88%0.69%
20184-0.34%$13,7010.45%0.46%0.82%-0.85%
201850.97%$13,8342.72%-1.64%3.68%0.68%
201860.25%$13,8690.70%-2.14%4.20%-0.04%
201870.79%$13,9793.32%2.55%0.60%-0.04%
201880.84%$14,0963.43%-2.40%2.58%0.67%
20189-0.58%$14,0140.20%0.21%-2.64%-0.55%
201810-2.91%$13,606-7.41%-8.56%-2.93%-0.86%
2018111.39%$13,7952.01%1.68%4.67%0.64%
201812-1.48%$13,591-9.16%-4.93%-7.96%1.87%
201914.07%$14,1448.54%7.67%11.85%1.11%
201920.68%$14,2413.56%1.63%0.70%-0.09%
201931.97%$14,5221.42%0.77%4.21%1.94%
201940.82%$14,6413.93%2.77%-0.16%-0.02%
20195-0.34%$14,591-6.45%-5.42%0.14%1.83%
201962.60%$14,9717.08%5.77%1.54%1.25%
201970.21%$15,0021.41%-1.99%1.70%0.15%
201981.62%$15,246-2.08%-2.17%3.75%2.77%
201990.43%$15,3111.78%2.73%1.93%-0.57%
2019101.03%$15,4682.11%3.43%1.13%0.31%
2019110.44%$15,5373.79%0.99%-1.30%-0.04%
2019120.95%$15,6852.80%4.38%0.76%-0.07%
202010.95%$15,834-0.06%-3.39%1.23%1.98%
20202-1.58%$15,584-8.00%-6.60%-7.03%1.67%
20203-6.89%$14,511-13.91%-16.26%-19.42%-1.43%
202045.38%$15,29213.13%7.60%8.96%2.76%
202051.94%$15,5895.40%5.01%1.73%0.67%
202061.52%$15,8272.29%4.24%2.41%0.67%
202072.59%$16,2365.74%4.15%3.64%1.45%
202080.92%$16,3867.10%4.43%0.44%-0.94%
20209-1.04%$16,216-3.54%-1.82%-2.68%-0.10%
202010-1.22%$16,017-1.95%-2.30%-3.00%-0.56%
2020114.95%$16,81011.80%12.62%9.67%1.21%
2020121.74%$17,1024.68%5.86%2.72%0.15%
20211-0.55%$17,007-0.33%0.25%0.04%-0.86%
202120.09%$17,0223.14%2.30%3.43%-1.55%
202130.46%$17,1013.65%1.87%5.15%-1.27%
202142.41%$17,5135.04%2.78%7.86%0.87%
202150.64%$17,6240.46%3.07%0.81%0.15%
202161.13%$17,8242.48%-0.34%2.64%0.90%
202171.30%$18,0561.74%-1.13%4.42%1.17%
202180.67%$18,1772.86%1.46%2.15%-0.19%
20219-2.28%$17,763-4.46%-3.45%-5.68%-1.01%
2021102.05%$18,1276.69%2.88%7.13%0.07%
202111-0.83%$17,976-1.46%-4.26%-2.11%0.20%
2021121.81%$18,3003.79%3.58%9.69%-0.31%
20221-3.37%$17,684-6.06%-2.83%-8.42%-2.06%
20222-1.79%$17,368-2.49%-2.85%-3.48%-1.14%
20223-0.68%$17,2503.26%-0.28%6.27%-2.75%
20224-4.97%$16,393-9.13%-6.49%-4.09%-3.97%
Portfolio return and risk metrics
MetricRisk Parity
Arithmetic Mean (monthly)0.41%
Arithmetic Mean (annualized)5.08%
Geometric Mean (monthly)0.40%
Geometric Mean (annualized)4.90%
Standard Deviation (monthly)1.69%
Standard Deviation (annualized)5.87%
Downside Deviation (monthly)1.11%
Maximum Drawdown-10.42%
Stock Market Correlation0.82
Beta(*)0.35
Alpha (annualized)0.08%
R267.82%
Sharpe Ratio0.75
Sortino Ratio1.12
Treynor Ratio (%)12.64
Calmar Ratio0.37
Active Return-9.03%
Tracking Error9.68%
Information Ratio-0.93
Skewness-0.73
Excess Kurtosis3.23
Historical Value-at-Risk (5%)-2.25%
Analytical Value-at-Risk (5%)-2.36%
Conditional Value-at-Risk (5%)-3.66%
Upside Capture Ratio (%)31.83
Downside Capture Ratio (%)34.07
Safe Withdrawal Rate12.41%
Perpetual Withdrawal Rate2.44%
Positive Periods87 out of 124 (70.16%)
Gain/Loss Ratio0.82
* 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 PeriodStartEndRisk Parity
COVID-19 StartJan 2020Mar 2020-8.35%

Drawdowns for Risk Parity

Drawdowns for Risk Parity (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2022Apr 20224 months-10.42%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-8.35%
3May 2013Aug 20134 monthsOct 20132 months6 months-4.15%
4Aug 2016Nov 20164 monthsApr 20175 months9 months-3.62%
5Sep 2018Dec 20184 monthsJan 20191 month5 months-3.59%
6Apr 2015Sep 20156 monthsMar 20166 months1 year-3.48%
7Feb 2018Feb 20181 monthAug 20186 months7 months-2.65%
8Sep 2021Sep 20211 monthDec 20213 months4 months-2.28%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-2.25%
10May 2012May 20121 monthJul 20122 months3 months-2.08%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
VTIVanguard Total Stock Market ETF14.04%13.92%33.45%-14.04%-20.84%0.981.531.00
VXUSVanguard Total International Stock ETF6.04%14.13%27.45%-14.43%-25.54%0.450.650.85
VNQVanguard Real Estate ETF9.99%15.76%40.52%-9.91%-25.08%0.650.980.67
BNDVanguard Total Bond Market ETF1.66%3.67%8.83%-9.58%-11.48%0.310.450.16

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Vanguard Total Stock Market ETF-8.50%-14.04%-3.47%12.98%12.94%13.24%0.03%0.03%
Vanguard Total International Stock ETF-9.42%-11.98%-10.65%4.49%4.93%5.31%0.07%0.07%
Vanguard Real Estate ETF-1.62%-9.91%7.89%9.89%8.70%8.93%0.12%0.12%
Vanguard Total Bond Market ETF-7.68%-9.58%-8.71%0.34%1.16%1.59%0.03%0.03%
Trailing returns as of last calendar month ending April 2022

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIVXUSVNQBNDRisk Parity
VTIVanguard Total Stock Market ETF1.000.850.670.160.82
VXUSVanguard Total International Stock ETF0.851.000.590.180.81
VNQVanguard Real Estate ETF0.670.591.000.430.85
BNDVanguard Total Bond Market ETF0.160.180.431.000.63

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 summary
Roll PeriodAverageHighLow
1 year5.80%17.85%-6.39%
3 years5.44%10.43%3.01%
5 years5.23%7.25%2.97%
7 years5.29%6.07%3.88%
10 years5.36%6.23%4.55%