This portfolio optimizer tool supports the following portfolio optimization strategies:
Mean Variance Optimization – Find the optimal risk adjusted portfolio that lies on the efficient frontier
Conditional Value-at-Risk – Optimize the portfolio to minimize the expected tail loss
Risk Parity – Find the portfolio that equalizes the risk contribution of portfolio assets
Tracking Error – Find the portfolio that minimizes the tracking error against the selected benchmark
Information Ratio – Find the portfolio that maximizes the information ratio against the selected benchmark
Kelly Criterion – Finds the portfolio with the maximum expected geometric growth rate
Sortino Ratio – Find the portfolio that maximizes the Sortino ratio for the given minimum acceptable return
Omega Ratio – Find the portfolio that maximizes the Omega ratio for the given minimum acceptable return
Maximum Drawdown – Find the portfolio with the minimum worst case drawdown with optional minimum acceptable return
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.
Portfolio Optimization Configuration
Portfolio Optimization Results (Jan 2012 - May 2023) Save
Note: The time period was constrained by the available data for Vanguard Total International Stock ETF (VXUS) [Feb 2011 - May 2023]. You can extend the available time period by using Vanguard Total Intl Stock Index Inv (VGTSX), which is the oldest share class of the fund.
Portfolio optimization results for risk parity. The possible range of expected annual portfolio returns for the given period is 1.45% to 13.19%. Refer to the efficient frontier section for additional details.
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
Portfolio Growth
Annual Returns
Trailing Returns
Trailing Returns
Name
Total Return
Annualized Return
Annualized Standard Deviation
3 Month
Year To Date
1 year
3 year
5 year
10 year
Full
3 year
5 year
Risk Parity
1.26%
3.19%
-3.06%
1.30%
3.12%
3.95%
4.52%
10.13%
9.57%
Trailing return and volatility are as of last full calendar month ending May 2023
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.
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. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. 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 2023 are based on full calendar months from January to May.
The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
Efficient Frontier Assets
#
Asset
Expected Return
Standard Deviation
Sharpe Ratio
Min. Weight
Max. Weight
1
Vanguard Total Stock Market ETF (VTI)
13.19%
14.66%
0.842
0.00%
100.00%
2
Vanguard Total International Stock ETF (VXUS)
6.47%
15.00%
0.375
0.00%
100.00%
3
Vanguard Real Estate ETF (VNQ)
8.12%
16.74%
0.435
0.00%
100.00%
4
Vanguard Total Bond Market ETF (BND)
1.45%
4.38%
0.138
0.00%
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
Name
Ticker
VTI
VXUS
VNQ
BND
Vanguard Total Stock Market ETF
VTI
1.00
0.85
0.71
0.30
Vanguard Total International Stock ETF
VXUS
0.85
1.00
0.64
0.37
Vanguard Real Estate ETF
VNQ
0.71
0.64
1.00
0.52
Vanguard Total Bond Market ETF
BND
0.30
0.37
0.52
1.00
Based on monthly returns from Jan 2012 to May 2023
Note: You can hover over any of the data points on the chart for more information.
Efficient Frontiers
Efficient Frontier Portfolios
Efficient Frontier Assets
#
VTI
VXUS
VNQ
BND
Expected Return *
Standard Deviation *
Sharpe Ratio *
1
0.00%
0.00%
0.00%
100.00%
1.45%
4.38%
0.138
2
1.01%
0.00%
0.00%
98.99%
1.56%
4.38%
0.165
3
2.02%
0.00%
0.00%
97.98%
1.68%
4.39%
0.192
4
3.03%
0.00%
0.00%
96.97%
1.80%
4.40%
0.218
5
4.04%
0.00%
0.00%
95.96%
1.92%
4.42%
0.244
6
5.05%
0.00%
0.00%
94.95%
2.04%
4.44%
0.270
7
6.06%
0.00%
0.00%
93.94%
2.16%
4.46%
0.295
8
7.07%
0.00%
0.00%
92.93%
2.28%
4.49%
0.319
9
8.08%
0.00%
0.00%
91.92%
2.40%
4.53%
0.343
10
9.09%
0.00%
0.00%
90.91%
2.51%
4.56%
0.366
11
10.10%
0.00%
0.00%
89.90%
2.63%
4.61%
0.389
12
11.11%
0.00%
0.00%
88.89%
2.75%
4.65%
0.410
13
12.12%
0.00%
0.00%
87.88%
2.87%
4.70%
0.431
14
13.13%
0.00%
0.00%
86.87%
2.99%
4.75%
0.451
15
14.14%
0.00%
0.00%
85.86%
3.11%
4.81%
0.471
16
15.15%
0.00%
0.00%
84.85%
3.23%
4.87%
0.489
17
16.16%
0.00%
0.00%
83.84%
3.34%
4.94%
0.507
18
17.17%
0.00%
0.00%
82.83%
3.46%
5.00%
0.524
19
18.18%
0.00%
0.00%
81.82%
3.58%
5.07%
0.540
20
19.19%
0.00%
0.00%
80.81%
3.70%
5.15%
0.555
21
20.20%
0.00%
0.00%
79.80%
3.82%
5.22%
0.570
22
21.21%
0.00%
0.00%
78.79%
3.94%
5.30%
0.584
23
22.22%
0.00%
0.00%
77.78%
4.06%
5.38%
0.597
24
23.23%
0.00%
0.00%
76.77%
4.17%
5.46%
0.610
25
24.24%
0.00%
0.00%
75.76%
4.29%
5.55%
0.622
26
25.25%
0.00%
0.00%
74.75%
4.41%
5.64%
0.633
27
26.26%
0.00%
0.00%
73.74%
4.53%
5.73%
0.644
28
27.27%
0.00%
0.00%
72.73%
4.65%
5.82%
0.654
29
28.28%
0.00%
0.00%
71.72%
4.77%
5.91%
0.664
30
29.29%
0.00%
0.00%
70.71%
4.89%
6.01%
0.673
31
30.30%
0.00%
0.00%
69.70%
5.01%
6.11%
0.682
32
31.31%
0.00%
0.00%
68.69%
5.12%
6.21%
0.690
33
32.32%
0.00%
0.00%
67.68%
5.24%
6.31%
0.698
34
33.33%
0.00%
0.00%
66.67%
5.36%
6.41%
0.705
35
34.34%
0.00%
0.00%
65.66%
5.48%
6.51%
0.712
36
35.35%
0.00%
0.00%
64.65%
5.60%
6.62%
0.719
37
36.36%
0.00%
0.00%
63.64%
5.72%
6.72%
0.725
38
37.37%
0.00%
0.00%
62.63%
5.84%
6.83%
0.731
39
38.38%
0.00%
0.00%
61.62%
5.95%
6.94%
0.736
40
39.39%
0.00%
0.00%
60.61%
6.07%
7.05%
0.742
41
40.40%
0.00%
0.00%
59.60%
6.19%
7.16%
0.747
42
41.41%
0.00%
0.00%
58.59%
6.31%
7.27%
0.752
43
42.42%
0.00%
0.00%
57.58%
6.43%
7.39%
0.756
44
43.43%
0.00%
0.00%
56.57%
6.55%
7.50%
0.760
45
44.44%
0.00%
0.00%
55.56%
6.67%
7.62%
0.764
46
45.45%
0.00%
0.00%
54.55%
6.78%
7.73%
0.768
47
46.46%
0.00%
0.00%
53.54%
6.90%
7.85%
0.772
48
47.47%
0.00%
0.00%
52.53%
7.02%
7.97%
0.776
49
48.48%
0.00%
0.00%
51.52%
7.14%
8.09%
0.779
50
49.49%
0.00%
0.00%
50.51%
7.26%
8.20%
0.782
51
50.51%
0.00%
0.00%
49.49%
7.38%
8.32%
0.785
52
51.52%
0.00%
0.00%
48.48%
7.50%
8.44%
0.788
53
52.53%
0.00%
0.00%
47.47%
7.61%
8.57%
0.791
54
53.54%
0.00%
0.00%
46.46%
7.73%
8.69%
0.793
55
54.55%
0.00%
0.00%
45.45%
7.85%
8.81%
0.796
56
55.56%
0.00%
0.00%
44.44%
7.97%
8.93%
0.798
57
56.57%
0.00%
0.00%
43.43%
8.09%
9.06%
0.800
58
57.58%
0.00%
0.00%
42.42%
8.21%
9.18%
0.802
59
58.59%
0.00%
0.00%
41.41%
8.33%
9.30%
0.804
60
59.60%
0.00%
0.00%
40.40%
8.45%
9.43%
0.806
61
60.61%
0.00%
0.00%
39.39%
8.56%
9.55%
0.808
62
61.62%
0.00%
0.00%
38.38%
8.68%
9.68%
0.810
63
62.63%
0.00%
0.00%
37.37%
8.80%
9.81%
0.812
64
63.64%
0.00%
0.00%
36.36%
8.92%
9.93%
0.813
65
64.65%
0.00%
0.00%
35.35%
9.04%
10.06%
0.815
66
65.66%
0.00%
0.00%
34.34%
9.16%
10.19%
0.816
67
66.67%
0.00%
0.00%
33.33%
9.28%
10.31%
0.818
68
67.68%
0.00%
0.00%
32.32%
9.39%
10.44%
0.819
69
68.69%
0.00%
0.00%
31.31%
9.51%
10.57%
0.820
70
69.70%
0.00%
0.00%
30.30%
9.63%
10.70%
0.821
71
70.71%
0.00%
0.00%
29.29%
9.75%
10.83%
0.823
72
71.72%
0.00%
0.00%
28.28%
9.87%
10.96%
0.824
73
72.73%
0.00%
0.00%
27.27%
9.99%
11.09%
0.825
74
73.74%
0.00%
0.00%
26.26%
10.11%
11.22%
0.826
75
74.75%
0.00%
0.00%
25.25%
10.22%
11.35%
0.827
76
75.76%
0.00%
0.00%
24.24%
10.34%
11.48%
0.828
77
76.77%
0.00%
0.00%
23.23%
10.46%
11.61%
0.829
78
77.78%
0.00%
0.00%
22.22%
10.58%
11.74%
0.830
79
78.79%
0.00%
0.00%
21.21%
10.70%
11.87%
0.830
80
79.80%
0.00%
0.00%
20.20%
10.82%
12.00%
0.831
81
80.81%
0.00%
0.00%
19.19%
10.94%
12.13%
0.832
82
81.82%
0.00%
0.00%
18.18%
11.05%
12.26%
0.833
83
82.83%
0.00%
0.00%
17.17%
11.17%
12.40%
0.833
84
83.84%
0.00%
0.00%
16.16%
11.29%
12.53%
0.834
85
84.85%
0.00%
0.00%
15.15%
11.41%
12.66%
0.835
86
85.86%
0.00%
0.00%
14.14%
11.53%
12.79%
0.835
87
86.87%
0.00%
0.00%
13.13%
11.65%
12.92%
0.836
88
87.88%
0.00%
0.00%
12.12%
11.77%
13.06%
0.837
89
88.89%
0.00%
0.00%
11.11%
11.89%
13.19%
0.837
90
89.90%
0.00%
0.00%
10.10%
12.00%
13.32%
0.838
91
90.91%
0.00%
0.00%
9.09%
12.12%
13.46%
0.838
92
91.92%
0.00%
0.00%
8.08%
12.24%
13.59%
0.839
93
92.93%
0.00%
0.00%
7.07%
12.36%
13.72%
0.839
94
93.94%
0.00%
0.00%
6.06%
12.48%
13.86%
0.840
95
94.95%
0.00%
0.00%
5.05%
12.60%
13.99%
0.840
96
95.96%
0.00%
0.00%
4.04%
12.72%
14.13%
0.840
97
96.97%
0.00%
0.00%
3.03%
12.83%
14.26%
0.841
98
97.98%
0.00%
0.00%
2.02%
12.95%
14.39%
0.841
99
98.99%
0.00%
0.00%
1.01%
13.07%
14.53%
0.842
100
100.00%
0.00%
0.00%
0.00%
13.19%
14.66%
0.842
*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
Year
Inflation
Risk Parity Return
Risk Parity Balance
Vanguard Total Stock Market ETF (VTI)
Vanguard Total International Stock ETF (VXUS)
Vanguard Real Estate ETF (VNQ)
Vanguard Total Bond Market ETF (BND)
2012
1.74%
9.14%
$10,914
16.45%
18.61%
17.63%
3.16%
2013
1.50%
5.48%
$11,511
33.45%
14.61%
2.31%
-2.10%
2014
0.76%
8.15%
$12,450
12.54%
-4.74%
30.36%
5.82%
2015
0.73%
0.37%
$12,496
0.36%
-4.19%
2.42%
0.56%
2016
2.07%
5.28%
$13,156
12.83%
4.81%
8.60%
2.52%
2017
2.11%
9.35%
$14,386
21.21%
27.45%
4.91%
3.57%
2018
1.91%
-3.43%
$13,894
-5.21%
-14.43%
-6.02%
-0.12%
2019
2.29%
16.26%
$16,152
30.67%
21.75%
28.87%
8.83%
2020
1.36%
9.13%
$17,628
21.03%
10.69%
-4.68%
7.71%
2021
7.04%
8.21%
$19,075
25.67%
9.00%
40.52%
-1.86%
2022
6.45%
-15.88%
$16,045
-19.51%
-16.10%
-26.24%
-13.11%
2023
2.21%
3.19%
$16,557
8.80%
5.19%
-2.06%
2.41%
Annual return for 2023 is from 01/01/2023 to 05/31/2023
Monthly Returns
Monthly returns for the configured portfolios
Year
Month
Risk Parity Return
Risk Parity Balance
Vanguard Total Stock Market ETF (VTI)
Vanguard Total International Stock ETF (VXUS)
Vanguard Real Estate ETF (VNQ)
Vanguard Total Bond Market ETF (BND)
2012
1
2.94%
$10,294
5.07%
7.33%
6.38%
0.63%
2012
2
1.13%
$10,411
4.22%
4.56%
-1.15%
0.04%
2012
3
0.71%
$10,485
3.06%
-0.54%
5.19%
-0.51%
2012
4
0.62%
$10,550
-0.64%
-2.08%
2.86%
1.10%
2012
5
-2.44%
$10,292
-6.23%
-10.83%
-4.51%
0.93%
2012
6
2.16%
$10,514
4.05%
5.97%
5.52%
0.07%
2012
7
1.15%
$10,635
0.88%
0.31%
2.00%
1.23%
2012
8
0.85%
$10,725
2.70%
2.60%
-0.01%
0.16%
2012
9
0.72%
$10,802
2.49%
3.41%
-1.86%
0.18%
2012
10
-0.32%
$10,768
-1.81%
0.81%
-0.91%
-0.10%
2012
11
0.53%
$10,825
0.77%
2.06%
-0.26%
0.27%
2012
12
0.82%
$10,914
1.29%
4.88%
3.72%
-0.88%
2013
1
1.18%
$11,043
5.42%
2.40%
3.74%
-0.69%
2013
2
0.49%
$11,097
1.28%
-1.14%
1.22%
0.54%
2013
3
1.11%
$11,220
3.95%
0.93%
2.87%
0.08%
2013
4
2.16%
$11,463
1.61%
3.50%
6.73%
1.01%
2013
5
-1.99%
$11,234
2.44%
-3.30%
-5.98%
-1.93%
2013
6
-1.93%
$11,018
-1.43%
-3.57%
-1.98%
-1.65%
2013
7
1.82%
$11,218
5.75%
4.62%
0.90%
0.38%
2013
8
-2.09%
$10,984
-3.03%
-1.95%
-6.98%
-0.86%
2013
9
2.72%
$11,282
3.90%
7.51%
3.49%
1.11%
2013
10
2.20%
$11,531
4.27%
3.67%
4.52%
0.86%
2013
11
-0.42%
$11,483
2.70%
0.13%
-5.25%
-0.29%
2013
12
0.25%
$11,511
2.73%
1.52%
0.10%
-0.64%
2014
1
0.22%
$11,537
-3.17%
-5.40%
4.28%
1.55%
2014
2
2.40%
$11,814
4.87%
5.59%
5.07%
0.47%
2014
3
0.10%
$11,826
0.51%
0.49%
0.49%
-0.17%
2014
4
1.07%
$11,953
0.06%
1.26%
3.29%
0.80%
2014
5
1.50%
$12,132
2.10%
1.93%
2.40%
1.05%
2014
6
0.84%
$12,233
2.62%
1.89%
1.13%
0.08%
2014
7
-0.69%
$12,149
-1.99%
-1.73%
0.08%
-0.28%
2014
8
1.82%
$12,370
4.15%
1.16%
3.04%
1.14%
2014
9
-2.10%
$12,110
-2.10%
-5.01%
-6.04%
-0.57%
2014
10
2.05%
$12,359
2.75%
-0.08%
9.94%
0.72%
2014
11
1.03%
$12,485
2.48%
-0.51%
2.00%
0.83%
2014
12
-0.28%
$12,450
-0.04%
-3.87%
1.88%
0.06%
2015
1
1.91%
$12,688
-2.74%
0.27%
6.85%
2.40%
2015
2
0.42%
$12,741
5.74%
5.78%
-3.67%
-1.31%
2015
3
0.16%
$12,762
-1.16%
-1.49%
1.74%
0.55%
2015
4
-0.15%
$12,742
0.62%
4.81%
-5.85%
-0.32%
2015
5
-0.27%
$12,708
1.30%
-0.91%
-0.30%
-0.50%
2015
6
-1.87%
$12,471
-1.67%
-2.73%
-4.68%
-1.11%
2015
7
1.41%
$12,646
1.70%
-0.56%
5.77%
0.88%
2015
8
-2.86%
$12,284
-6.09%
-7.43%
-6.29%
-0.25%
2015
9
-0.11%
$12,271
-2.92%
-3.85%
3.05%
0.81%
2015
10
2.76%
$12,610
7.91%
6.25%
5.76%
0.03%
2015
11
-0.41%
$12,558
0.60%
-1.32%
-0.63%
-0.39%
2015
12
-0.49%
$12,496
-2.13%
-2.17%
1.82%
-0.18%
2016
1
-1.32%
$12,332
-5.72%
-5.45%
-3.44%
1.20%
2016
2
0.11%
$12,345
-0.01%
-2.46%
-0.36%
0.85%
2016
3
4.03%
$12,843
7.11%
8.33%
10.48%
0.88%
2016
4
0.34%
$12,887
0.66%
2.16%
-2.35%
0.40%
2016
5
0.39%
$12,937
1.73%
-0.98%
2.25%
-0.01%
2016
6
1.97%
$13,191
0.27%
-0.90%
6.92%
2.02%
2016
7
2.10%
$13,468
3.98%
4.52%
4.26%
0.60%
2016
8
-0.56%
$13,393
0.21%
0.45%
-3.76%
-0.31%
2016
9
0.11%
$13,408
0.21%
1.70%
-1.82%
0.11%
2016
10
-1.86%
$13,159
-2.19%
-1.91%
-5.74%
-0.94%
2016
11
-1.36%
$12,980
4.49%
-2.01%
-1.68%
-2.57%
2016
12
1.36%
$13,156
1.98%
1.96%
4.82%
0.33%
2017
1
0.93%
$13,279
1.86%
4.08%
-0.19%
0.19%
2017
2
1.52%
$13,481
3.69%
1.34%
3.51%
0.62%
2017
3
0.11%
$13,496
0.06%
3.00%
-2.42%
-0.04%
2017
4
0.94%
$13,623
1.06%
2.05%
0.24%
0.80%
2017
5
0.89%
$13,744
1.01%
2.96%
-0.72%
0.71%
2017
6
0.53%
$13,818
0.95%
0.63%
2.23%
0.05%
2017
7
1.14%
$13,975
1.88%
3.37%
1.24%
0.40%
2017
8
0.57%
$14,055
0.15%
0.54%
-0.26%
0.86%
2017
9
0.33%
$14,101
2.44%
1.88%
-0.11%
-0.47%
2017
10
0.45%
$14,165
2.17%
2.03%
-1.07%
-0.03%
2017
11
0.80%
$14,278
3.03%
0.63%
2.66%
-0.11%
2017
12
0.76%
$14,386
1.16%
2.07%
-0.14%
0.54%
2018
1
0.31%
$14,430
5.23%
5.72%
-4.25%
-1.24%
2018
2
-2.85%
$14,019
-3.76%
-5.24%
-7.68%
-1.04%
2018
3
0.55%
$14,096
-1.95%
-0.38%
3.88%
0.69%
2018
4
-0.27%
$14,058
0.45%
0.46%
0.82%
-0.85%
2018
5
1.02%
$14,202
2.72%
-1.64%
3.68%
0.68%
2018
6
0.30%
$14,244
0.70%
-2.14%
4.20%
-0.04%
2018
7
0.89%
$14,372
3.32%
2.55%
0.60%
-0.04%
2018
8
0.87%
$14,497
3.43%
-2.40%
2.58%
0.67%
2018
9
-0.59%
$14,411
0.20%
0.21%
-2.64%
-0.55%
2018
10
-3.15%
$13,957
-7.41%
-8.56%
-2.93%
-0.86%
2018
11
1.49%
$14,164
2.01%
1.68%
4.67%
0.64%
2018
12
-1.91%
$13,894
-9.16%
-4.93%
-7.96%
1.87%
2019
1
4.45%
$14,512
8.54%
7.67%
11.85%
1.11%
2019
2
0.78%
$14,625
3.56%
1.63%
0.70%
-0.09%
2019
3
1.98%
$14,915
1.42%
0.77%
4.21%
1.94%
2019
4
0.93%
$15,053
3.93%
2.77%
-0.16%
-0.02%
2019
5
-0.60%
$14,962
-6.45%
-5.42%
0.14%
1.83%
2019
6
2.77%
$15,376
7.08%
5.77%
1.54%
1.25%
2019
7
0.22%
$15,410
1.41%
-1.99%
1.70%
0.15%
2019
8
1.49%
$15,640
-2.08%
-2.17%
3.75%
2.77%
2019
9
0.55%
$15,726
1.78%
2.73%
1.93%
-0.57%
2019
10
1.11%
$15,901
2.11%
3.43%
1.13%
0.31%
2019
11
0.50%
$15,981
3.79%
0.99%
-1.30%
-0.04%
2019
12
1.07%
$16,152
2.80%
4.38%
0.76%
-0.07%
2020
1
0.83%
$16,287
-0.06%
-3.39%
1.23%
1.98%
2020
2
-1.98%
$15,964
-8.00%
-6.60%
-7.03%
1.67%
2020
3
-7.57%
$14,755
-13.91%
-16.26%
-19.42%
-1.43%
2020
4
5.72%
$15,599
13.13%
7.60%
8.96%
2.76%
2020
5
2.10%
$15,926
5.40%
5.01%
1.73%
0.67%
2020
6
1.63%
$16,185
2.29%
4.24%
2.41%
0.67%
2020
7
2.73%
$16,627
5.74%
4.15%
3.64%
1.45%
2020
8
1.15%
$16,819
7.10%
4.43%
0.44%
-0.94%
2020
9
-1.16%
$16,623
-3.54%
-1.82%
-2.68%
-0.10%
2020
10
-1.31%
$16,406
-1.95%
-2.30%
-3.00%
-0.56%
2020
11
5.41%
$17,293
11.80%
12.62%
9.67%
1.21%
2020
12
1.93%
$17,628
4.68%
5.86%
2.72%
0.15%
2021
1
-0.52%
$17,537
-0.33%
0.25%
0.04%
-0.86%
2021
2
0.29%
$17,588
3.14%
2.30%
3.43%
-1.55%
2021
3
0.68%
$17,708
3.65%
1.87%
5.15%
-1.27%
2021
4
2.61%
$18,171
5.04%
2.78%
7.86%
0.87%
2021
5
0.69%
$18,296
0.46%
3.07%
0.81%
0.15%
2021
6
1.17%
$18,510
2.48%
-0.34%
2.64%
0.90%
2021
7
1.33%
$18,757
1.74%
-1.13%
4.42%
1.17%
2021
8
0.78%
$18,902
2.86%
1.46%
2.15%
-0.19%
2021
9
-2.44%
$18,441
-4.46%
-3.45%
-5.68%
-1.01%
2021
10
2.30%
$18,866
6.69%
2.88%
7.13%
0.07%
2021
11
-0.95%
$18,686
-1.46%
-4.26%
-2.11%
0.20%
2021
12
2.08%
$19,075
3.79%
3.58%
9.69%
-0.31%
2022
1
-3.54%
$18,399
-6.06%
-2.83%
-8.42%
-2.06%
2022
2
-1.87%
$18,055
-2.49%
-2.85%
-3.48%
-1.14%
2022
3
-0.41%
$17,982
3.26%
-0.28%
6.27%
-2.75%
2022
4
-5.09%
$17,066
-9.13%
-6.49%
-4.09%
-3.97%
2022
5
0.08%
$17,081
-0.25%
1.52%
-4.69%
0.83%
2022
6
-4.22%
$16,359
-8.23%
-7.96%
-7.46%
-1.66%
2022
7
4.34%
$17,070
9.35%
3.64%
8.62%
2.38%
2022
8
-3.57%
$16,460
-3.73%
-4.49%
-6.01%
-2.80%
2022
9
-6.80%
$15,341
-9.22%
-9.91%
-12.86%
-4.18%
2022
10
1.41%
$15,557
8.11%
3.41%
3.51%
-1.16%
2022
11
5.52%
$16,415
5.17%
13.04%
6.15%
3.67%
2022
12
-2.25%
$16,045
-5.85%
-2.14%
-5.03%
-0.81%
2023
1
5.48%
$16,924
6.93%
8.68%
10.40%
3.31%
2023
2
-3.39%
$16,350
-2.40%
-4.27%
-5.86%
-2.90%
2023
3
2.10%
$16,694
2.71%
2.84%
-2.18%
2.68%
2023
4
0.81%
$16,828
1.08%
1.88%
0.31%
0.59%
2023
5
-1.61%
$16,557
0.43%
-3.50%
-3.96%
-1.16%
Risk and Return Metrics
Portfolio return and risk metrics
Metric
Risk Parity
Arithmetic Mean (monthly)
0.39%
Arithmetic Mean (annualized)
4.79%
Geometric Mean (monthly)
0.37%
Geometric Mean (annualized)
4.52%
Standard Deviation (monthly)
2.09%
Standard Deviation (annualized)
7.25%
Downside Deviation (monthly)
1.42%
Maximum Drawdown
-19.58%
Stock Market Correlation
0.85
Beta(*)
0.42
Alpha (annualized)
-0.83%
R2
72.82%
Sharpe Ratio
0.53
Sortino Ratio
0.76
Treynor Ratio (%)
9.12
Calmar Ratio
0.07
Active Return
-8.17%
Tracking Error
9.29%
Information Ratio
-0.88
Skewness
-0.61
Excess Kurtosis
2.32
Historical Value-at-Risk (5%)
3.20%
Analytical Value-at-Risk (5%)
3.04%
Conditional Value-at-Risk (5%)
4.88%
Upside Capture Ratio (%)
36.88
Downside Capture Ratio (%)
44.26
Safe Withdrawal Rate
11.49%
Perpetual Withdrawal Rate
1.88%
Positive Periods
94 out of 137 (68.61%)
Gain/Loss Ratio
0.76
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values.
Drawdowns
Historical Market Stress Periods
Drawdowns for Historical Market Stress Periods
Stress Period
Start
End
Risk Parity
COVID-19 Start
Jan 2020
Mar 2020
-9.40%
Drawdowns for Risk Parity
Drawdowns for Risk Parity (worst 10)
Rank
Start
End
Length
Recovery By
Recovery Time
Underwater Period
Drawdown
1
Jan 2022
Sep 2022
9 months
-19.58%
2
Feb 2020
Mar 2020
2 months
Jul 2020
4 months
6 months
-9.40%
3
May 2013
Aug 2013
4 months
Oct 2013
2 months
6 months
-4.18%
4
Sep 2018
Dec 2018
4 months
Jan 2019
1 month
5 months
-4.16%
5
Apr 2015
Sep 2015
6 months
Mar 2016
6 months
1 year
-3.85%
6
Aug 2016
Nov 2016
4 months
Feb 2017
3 months
7 months
-3.63%
7
Feb 2018
Feb 2018
1 month
Aug 2018
6 months
7 months
-2.85%
8
Sep 2020
Oct 2020
2 months
Nov 2020
1 month
3 months
-2.46%
9
May 2012
May 2012
1 month
Jul 2012
2 months
3 months
-2.44%
10
Sep 2021
Sep 2021
1 month
Dec 2021
3 months
4 months
-2.44%
Worst 10 drawdowns included above
Portfolio Assets
Performance statistics for portfolio components
Ticker
Name
CAGR
Stdev
Best Year
Worst Year
Max Drawdown
Sharpe Ratio
Sortino Ratio
Market Correlation
VTI
Vanguard Total Stock Market ETF
12.81%
14.66%
33.45%
-19.51%
-24.81%
0.84
1.30
1.00
VXUS
Vanguard Total International Stock ETF
5.48%
15.00%
27.45%
-16.10%
-27.76%
0.37
0.55
0.85
VNQ
Vanguard Real Estate ETF
6.91%
16.74%
40.52%
-26.24%
-29.31%
0.43
0.63
0.71
BND
Vanguard Total Bond Market ETF
1.36%
4.38%
8.83%
-13.11%
-17.28%
0.14
0.19
0.30
Portfolio Asset Performance
Performance of portfolio assets
Name
Total Return
Annualized Return
Expense Ratio
3 Month
Year To Date
1 year
3 year
5 year
10 year
Net
Gross
Vanguard Total Stock Market ETF
4.26%
8.80%
2.13%
12.17%
9.99%
11.40%
0.03%
0.03%
Vanguard Total International Stock ETF
1.10%
5.19%
-1.23%
7.64%
2.38%
4.25%
0.07%
0.07%
Vanguard Real Estate ETF
-5.76%
-2.06%
-15.87%
4.80%
4.07%
5.34%
0.12%
0.12%
Vanguard Total Bond Market ETF
2.08%
2.41%
-2.40%
-3.82%
0.80%
1.34%
0.03%
0.03%
Trailing returns as of last calendar month ending May 2023
Monthly Correlations
Correlations for the portfolio assets
Ticker
Name
VTI
VXUS
VNQ
BND
Risk Parity
VTI
Vanguard Total Stock Market ETF
1.00
0.85
0.71
0.30
0.85
VXUS
Vanguard Total International Stock ETF
0.85
1.00
0.64
0.37
0.86
VNQ
Vanguard Real Estate ETF
0.71
0.64
1.00
0.52
0.87
BND
Vanguard Total Bond Market ETF
0.30
0.37
0.52
1.00
0.70
Portfolio Return Decomposition
Portfolio return decomposition
Ticker
Name
Risk Parity
VTI
Vanguard Total Stock Market ETF
$2,883
VXUS
Vanguard Total International Stock ETF
$1,289
VNQ
Vanguard Real Estate ETF
$1,424
BND
Vanguard Total Bond Market ETF
$962
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
Ticker
Name
Risk Parity
VTI
Vanguard Total Stock Market ETF
25.00%
VXUS
Vanguard Total International Stock ETF
25.00%
VNQ
Vanguard Real Estate ETF
25.00%
BND
Vanguard Total Bond Market ETF
25.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.