Portfolio Optimization

This portfolio optimizer tool supports the following portfolio optimization strategies:

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

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

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

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

Portfolio Optimization Results (Jan 2006 - Aug 2019)

Portfolio optimization results with goal to maximize return subject to 10.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period is 7.05% to 10.76%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Return at 10.00% Volatility
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 54.24%
VNQ Vanguard Real Estate ETF 4.65%
TLT iShares 20+ Year Treasury Bond ETF 16.00%
GLD SPDR Gold Shares 25.11%
Save portfolio »
Equal Weighted
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 12.50%
IJS iShares S&P Small-Cap 600 Value ETF 12.50%
EFA iShares MSCI EAFE ETF 12.50%
EEM iShares MSCI Emerging Markets ETF 12.50%
VNQ Vanguard Real Estate ETF 12.50%
TLT iShares 20+ Year Treasury Bond ETF 12.50%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 12.50%
GLD SPDR Gold Shares 12.50%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Return at 10.00% VolatilityEqual Weighted
Start Balance$10,000$10,000
End Balance$32,508$26,726
CAGR9.01%7.46%
Expected Return 9.55% 8.19%
Stdev9.94%11.62%
Best Year20.48%23.38%
Worst Year-17.52%-21.23%
Max. Drawdown -28.57% -36.98%
Sharpe Ratio (ex-ante)0.850.61
Sharpe Ratio (ex-post)0.810.58
Sortino Ratio1.250.87
US Stock Market Correlation0.830.87
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The time period is automatically adjusted based on the selected dates and available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to August
  • See methodology section of the FAQ for more information on portfolio optimization and its limitations.
  • 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 (1-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results include monthly rebalancing of portfolio assets to match the specified allocation.
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included.
Efficient Frontier Assets
#AssetCAGRExpected Return*Standard DeviationSharpe Ratio*Min. WeightMax. Weight
1Vanguard Total Stock Market ETF (VTI)8.75%9.95%14.74%0.5970.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)7.65%9.66%19.25%0.4430.00%100.00%
3iShares MSCI EAFE ETF (EFA)3.41%4.99%17.32%0.2220.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)4.24%6.88%22.36%0.2570.00%100.00%
5Vanguard Real Estate ETF (VNQ)7.80%10.76%22.98%0.4190.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)7.01%7.96%13.45%0.5070.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)5.68%5.95%7.28%0.6610.00%100.00%
8SPDR Gold Shares (GLD)7.79%9.49%17.86%0.4680.00%100.00%
*Expected return is annualized from historical monthly mean return. Ex ante Sharpe Ratio calculated using historical 1-month treasury bill returns as the risk-free rate (1.14% annualized).

Monthly Correlations

Efficient Frontier Asset Correlations
NameTickerVTIIJSEFAEEMVNQTLTLQDGLD
Vanguard Total Stock Market ETFVTI1.000.910.890.800.73-0.330.270.04
iShares S&P Small-Cap 600 Value ETFIJS0.911.000.760.690.74-0.350.19-0.01
iShares MSCI EAFE ETFEFA0.890.761.000.880.68-0.240.380.15
iShares MSCI Emerging Markets ETFEEM0.800.690.881.000.60-0.230.350.29
Vanguard Real Estate ETFVNQ0.730.740.680.601.000.010.430.09
iShares 20+ Year Treasury Bond ETFTLT-0.33-0.35-0.24-0.230.011.000.520.21
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.270.190.380.350.430.521.000.26
SPDR Gold SharesGLD0.04-0.010.150.290.090.210.261.00
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return*Standard Deviation*Sharpe Ratio*
116.54%0.00%0.00%0.00%0.00%12.28%65.60%5.58%7.05%6.91%0.855
217.07%0.00%0.00%0.00%0.00%12.85%64.37%5.72%7.08%6.91%0.860
317.59%0.00%0.00%0.00%0.00%13.42%63.14%5.85%7.12%6.91%0.865
418.12%0.00%0.00%0.00%0.00%13.99%61.91%5.98%7.16%6.91%0.870
518.64%0.00%0.00%0.00%0.00%14.56%60.68%6.12%7.19%6.91%0.875
619.17%0.00%0.00%0.00%0.00%15.13%59.45%6.25%7.23%6.92%0.880
719.69%0.00%0.00%0.00%0.00%15.70%58.22%6.39%7.27%6.92%0.885
820.22%0.00%0.00%0.00%0.00%16.27%56.99%6.52%7.30%6.93%0.890
920.74%0.00%0.00%0.00%0.00%16.84%55.76%6.66%7.34%6.93%0.894
1021.27%0.00%0.00%0.00%0.00%17.41%54.53%6.79%7.38%6.94%0.899
1121.79%0.00%0.00%0.00%0.00%17.98%53.30%6.93%7.42%6.95%0.903
1222.32%0.00%0.00%0.00%0.00%18.55%52.07%7.06%7.45%6.96%0.908
1322.84%0.00%0.00%0.00%0.00%19.12%50.84%7.20%7.49%6.96%0.912
1423.37%0.00%0.00%0.00%0.00%19.69%49.61%7.33%7.53%6.97%0.916
1523.89%0.00%0.00%0.00%0.00%20.26%48.38%7.47%7.56%6.98%0.920
1624.42%0.00%0.00%0.00%0.00%20.83%47.15%7.60%7.60%7.00%0.923
1724.94%0.00%0.00%0.00%0.00%21.40%45.92%7.74%7.64%7.01%0.927
1825.47%0.00%0.00%0.00%0.00%21.97%44.69%7.87%7.68%7.02%0.931
1925.99%0.00%0.00%0.00%0.00%22.54%43.47%8.00%7.71%7.04%0.934
2026.51%0.00%0.00%0.00%0.00%23.11%42.24%8.14%7.75%7.05%0.938
2127.04%0.00%0.00%0.00%0.00%23.68%41.01%8.27%7.79%7.06%0.941
2227.56%0.00%0.00%0.00%0.00%24.25%39.78%8.41%7.82%7.08%0.944
2328.09%0.00%0.00%0.00%0.00%24.82%38.55%8.54%7.86%7.10%0.947
2428.61%0.00%0.00%0.00%0.00%25.39%37.32%8.68%7.90%7.11%0.950
2529.14%0.00%0.00%0.00%0.00%25.96%36.09%8.81%7.94%7.13%0.953
2629.66%0.00%0.00%0.00%0.00%26.53%34.86%8.95%7.97%7.15%0.955
2730.19%0.00%0.00%0.00%0.00%27.10%33.63%9.08%8.01%7.17%0.958
2830.71%0.00%0.00%0.00%0.00%27.67%32.40%9.22%8.05%7.19%0.960
2931.24%0.00%0.00%0.00%0.00%28.24%31.17%9.35%8.09%7.21%0.963
3031.76%0.00%0.00%0.00%0.00%28.81%29.94%9.49%8.12%7.23%0.965
3132.29%0.00%0.00%0.00%0.00%29.38%28.71%9.62%8.16%7.26%0.967
3232.81%0.00%0.00%0.00%0.00%29.95%27.48%9.76%8.20%7.28%0.969
3333.34%0.00%0.00%0.00%0.00%30.52%26.25%9.89%8.23%7.30%0.971
3433.86%0.00%0.00%0.00%0.00%31.09%25.02%10.02%8.27%7.33%0.973
3534.39%0.00%0.00%0.00%0.00%31.66%23.79%10.16%8.31%7.35%0.975
3634.91%0.00%0.00%0.00%0.00%32.24%22.56%10.29%8.35%7.38%0.977
3735.44%0.00%0.00%0.00%0.00%32.81%21.33%10.43%8.38%7.41%0.978
3835.96%0.00%0.00%0.00%0.00%33.38%20.10%10.56%8.42%7.43%0.980
3936.49%0.00%0.00%0.00%0.00%33.95%18.87%10.70%8.46%7.46%0.981
4037.01%0.00%0.00%0.00%0.00%34.52%17.64%10.83%8.50%7.49%0.982
4137.54%0.00%0.00%0.00%0.00%35.09%16.41%10.97%8.53%7.52%0.983
4238.06%0.00%0.00%0.00%0.00%35.66%15.18%11.10%8.57%7.55%0.985
4338.59%0.00%0.00%0.00%0.00%36.23%13.95%11.24%8.61%7.58%0.986
4439.11%0.00%0.00%0.00%0.00%36.80%12.72%11.37%8.65%7.61%0.987
4539.64%0.00%0.00%0.00%0.00%37.37%11.49%11.51%8.68%7.64%0.987
4640.16%0.00%0.00%0.00%0.00%37.94%10.26%11.64%8.72%7.67%0.988
4740.69%0.00%0.00%0.00%0.00%38.51%9.03%11.77%8.76%7.70%0.989
4841.21%0.00%0.00%0.00%0.00%39.08%7.80%11.91%8.80%7.74%0.989
4941.74%0.00%0.00%0.00%0.00%39.65%6.57%12.04%8.83%7.77%0.990
5042.26%0.00%0.00%0.00%0.00%40.22%5.34%12.18%8.87%7.80%0.990
5142.78%0.00%0.00%0.00%0.00%40.79%4.11%12.31%8.91%7.84%0.991
5243.31%0.00%0.00%0.00%0.00%41.36%2.88%12.45%8.95%7.88%0.991
5343.83%0.00%0.00%0.00%0.00%41.93%1.65%12.58%8.98%7.91%0.991
5444.36%0.00%0.00%0.00%0.00%42.50%0.42%12.72%9.02%7.95%0.992
5545.29%0.00%0.00%0.00%0.00%41.31%0.00%13.40%9.06%7.99%0.991
5646.43%0.00%0.00%0.00%0.00%39.21%0.00%14.36%9.10%8.05%0.989
5747.57%0.00%0.00%0.00%0.00%37.10%0.00%15.33%9.13%8.12%0.984
5848.71%0.00%0.00%0.00%0.00%34.99%0.00%16.30%9.17%8.22%0.977
5949.85%0.00%0.00%0.00%0.00%32.88%0.00%17.26%9.21%8.33%0.969
6051.00%0.00%0.00%0.00%0.00%30.78%0.00%18.23%9.25%8.46%0.959
6152.14%0.00%0.00%0.00%0.00%28.67%0.00%19.19%9.28%8.60%0.947
6253.28%0.00%0.00%0.00%0.00%26.56%0.00%20.16%9.32%8.76%0.934
6354.42%0.00%0.00%0.00%0.00%24.45%0.00%21.13%9.36%8.93%0.920
6455.44%0.00%0.00%0.00%0.09%22.39%0.00%22.08%9.40%9.12%0.906
6555.14%0.00%0.00%0.00%1.23%20.79%0.00%22.83%9.44%9.31%0.891
6654.84%0.00%0.00%0.00%2.37%19.19%0.00%23.59%9.47%9.51%0.876
6754.54%0.00%0.00%0.00%3.51%17.60%0.00%24.35%9.51%9.72%0.861
6854.24%0.00%0.00%0.00%4.65%16.00%0.00%25.11%9.55%9.94%0.846
6953.94%0.00%0.00%0.00%5.79%14.40%0.00%25.87%9.59%10.16%0.832
7053.64%0.00%0.00%0.00%6.93%12.80%0.00%26.63%9.62%10.38%0.817
7153.33%0.00%0.00%0.00%8.07%11.20%0.00%27.39%9.66%10.61%0.803
7253.03%0.00%0.00%0.00%9.21%9.61%0.00%28.15%9.70%10.85%0.789
7352.73%0.00%0.00%0.00%10.35%8.01%0.00%28.91%9.74%11.09%0.775
7452.43%0.00%0.00%0.00%11.49%6.41%0.00%29.67%9.78%11.33%0.762
7552.13%0.00%0.00%0.00%12.63%4.81%0.00%30.43%9.81%11.58%0.749
7651.83%0.00%0.00%0.00%13.77%3.22%0.00%31.18%9.85%11.83%0.736
7751.53%0.00%0.00%0.00%14.91%1.62%0.00%31.94%9.89%12.09%0.724
7851.22%0.00%0.00%0.00%16.05%0.02%0.00%32.70%9.93%12.35%0.712
7948.33%0.00%0.00%0.00%20.05%0.00%0.00%31.62%9.97%12.62%0.699
8045.40%0.00%0.00%0.00%24.08%0.00%0.00%30.52%10.00%12.93%0.686
8142.48%0.00%0.00%0.00%28.11%0.00%0.00%29.41%10.04%13.26%0.671
8239.55%0.00%0.00%0.00%32.14%0.00%0.00%28.31%10.08%13.62%0.656
8336.62%0.00%0.00%0.00%36.18%0.00%0.00%27.20%10.12%14.01%0.641
8433.70%0.00%0.00%0.00%40.21%0.00%0.00%26.10%10.15%14.42%0.625
8530.77%0.00%0.00%0.00%44.24%0.00%0.00%24.99%10.19%14.85%0.610
8627.84%0.00%0.00%0.00%48.27%0.00%0.00%23.89%10.23%15.30%0.594
8724.91%0.00%0.00%0.00%52.30%0.00%0.00%22.78%10.27%15.77%0.579
8821.99%0.00%0.00%0.00%56.34%0.00%0.00%21.68%10.31%16.25%0.564
8919.06%0.00%0.00%0.00%60.37%0.00%0.00%20.57%10.34%16.75%0.550
9016.13%0.00%0.00%0.00%64.40%0.00%0.00%19.47%10.38%17.26%0.536
9113.21%0.00%0.00%0.00%68.43%0.00%0.00%18.36%10.42%17.78%0.522
9210.28%0.00%0.00%0.00%72.46%0.00%0.00%17.26%10.46%18.31%0.509
937.35%0.00%0.00%0.00%76.50%0.00%0.00%16.15%10.50%18.86%0.496
944.43%0.00%0.00%0.00%80.53%0.00%0.00%15.05%10.53%19.41%0.484
951.50%0.00%0.00%0.00%84.56%0.00%0.00%13.94%10.57%19.97%0.472
960.00%0.00%0.00%0.00%88.08%0.00%0.00%11.92%10.61%20.54%0.461
970.00%0.00%0.00%0.00%91.06%0.00%0.00%8.94%10.65%21.13%0.450
980.00%0.00%0.00%0.00%94.04%0.00%0.00%5.96%10.69%21.73%0.439
990.00%0.00%0.00%0.00%97.02%0.00%0.00%2.98%10.73%22.35%0.429
1000.00%0.00%0.00%0.00%100.00%0.00%0.00%0.00%10.76%22.98%0.419
*Ex-ante values shown for portfolio return and volatility. Ex ante Sharpe Ratio calculated using historical 1-month treasury bill returns as the risk-free rate (1.14% annualized).
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Market ETF (VTI)Vanguard Real Estate ETF (VNQ)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
Maximum Return at 10.00% VolatilityEqual WeightedMaximum Return at 10.00% VolatilityEqual Weighted
20062.54%16.10%19.39%$11,610$11,93915.69%35.30%0.71%22.55%19.37%25.81%31.19%4.22%
20074.08%11.22%8.39%$12,912$12,9415.37%-16.50%10.29%30.45%-5.56%9.94%33.31%3.73%
20080.09%-17.52%-21.23%$10,649$10,194-36.98%-37.00%33.93%4.92%-29.39%-41.04%-48.88%2.40%
20092.72%19.60%23.38%$12,737$12,57728.89%30.08%-21.80%24.03%22.36%26.95%68.93%8.46%
20101.50%20.48%18.79%$15,345$14,94117.42%28.37%9.05%29.27%24.69%8.15%16.51%9.33%
20112.96%9.55%4.04%$16,810$15,5450.97%8.62%33.96%9.57%-1.65%-12.25%-18.82%9.73%
20121.74%12.16%14.22%$18,855$17,75616.45%17.63%2.63%6.60%18.24%18.82%19.10%10.58%
20131.50%6.00%4.45%$19,986$18,54633.45%2.31%-13.37%-28.33%39.34%21.40%-3.69%-2.00%
20140.76%11.87%8.88%$22,358$20,19312.54%30.36%27.30%-2.19%7.56%-6.20%-3.93%8.21%
20150.73%-2.12%-3.92%$21,883$19,4010.36%2.42%-1.79%-10.67%-6.90%-1.00%-16.18%-1.25%
20162.07%10.27%10.46%$24,130$21,43112.83%8.60%1.18%8.03%31.25%1.37%10.87%6.21%
20172.11%16.41%15.92%$28,090$24,84221.21%4.91%9.18%12.81%11.35%25.10%37.28%7.06%
20181.91%-3.34%-7.18%$27,151$23,059-5.21%-6.02%-1.61%-1.94%-12.84%-13.81%-15.31%-3.79%
20192.12%19.73%15.90%$32,508$26,72617.84%25.73%23.00%18.56%9.12%9.85%3.67%16.57%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)Vanguard Real Estate ETF (VNQ)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
Maximum Return at 10.00% VolatilityEqual WeightedMaximum Return at 10.00% VolatilityEqual Weighted
200614.38%5.95%$10,438$10,5953.22%7.54%-1.34%9.93%8.75%5.77%14.20%-0.44%
200620.10%-0.19%$10,448$10,5750.22%1.86%1.11%-1.11%0.27%-0.70%-3.85%0.68%
200631.51%1.90%$10,606$10,7762.05%4.73%-4.57%3.62%4.86%4.01%2.17%-1.68%
200642.94%2.26%$10,918$11,0200.96%-3.40%-2.75%12.03%0.18%4.79%6.52%-0.20%
20065-2.24%-3.39%$10,674$10,646-3.22%-2.70%-0.19%-1.32%-4.55%-3.82%-11.14%-0.19%
20066-0.68%0.21%$10,601$10,6690.13%4.95%1.18%-4.67%0.04%-0.06%0.21%-0.09%
200671.25%1.33%$10,734$10,810-0.12%3.89%2.16%3.15%-3.10%0.81%2.34%1.46%
200681.55%2.07%$10,901$11,0332.30%3.48%3.06%-1.38%2.70%2.55%1.58%2.22%
200690.48%0.38%$10,954$11,0752.26%1.96%1.91%-4.53%1.19%0.22%-0.87%0.87%
2006102.66%3.63%$11,244$11,4773.53%6.03%0.85%1.29%5.52%3.75%7.06%1.00%
2006113.58%3.65%$11,647$11,8962.33%4.78%2.31%6.89%2.38%3.07%5.98%1.46%
200612-0.32%0.36%$11,610$11,9391.20%-1.83%-2.69%-1.83%0.32%3.20%5.44%-0.90%
200711.90%1.99%$11,831$12,1771.86%8.78%-1.00%2.56%2.14%1.39%0.11%0.09%
200720.17%-0.08%$11,851$12,167-1.62%-2.70%3.39%2.55%-0.92%-0.12%-3.24%2.00%
20073-0.04%0.59%$11,847$12,2381.12%-2.07%-1.70%-1.11%0.91%2.90%5.33%-0.68%
200742.84%2.13%$12,183$12,4994.02%-0.13%0.90%2.05%1.84%3.75%3.73%0.89%
200751.05%1.19%$12,311$12,6493.72%-0.38%-2.31%-2.31%4.63%2.36%5.06%-1.23%
20076-2.02%-1.67%$12,062$12,437-1.76%-8.99%-1.01%-1.94%-2.24%-0.32%3.68%-0.81%
20077-1.18%-1.85%$11,920$12,207-3.53%-8.26%3.32%2.37%-6.26%-2.29%0.71%-0.82%
200781.68%1.90%$12,120$12,4401.47%6.74%1.79%1.11%1.33%-0.63%1.04%2.38%
200794.94%4.55%$12,719$13,0063.85%3.90%0.23%10.51%0.31%5.32%11.57%0.73%
2007103.11%3.85%$13,114$13,5071.79%2.10%1.81%6.95%1.06%4.25%11.87%0.97%
200711-2.45%-3.46%$12,792$13,039-4.52%-9.47%5.35%-1.65%-7.15%-3.62%-7.65%1.02%
2007120.94%-0.75%$12,912$12,941-0.70%-5.41%-0.64%6.65%-0.71%-2.99%-1.43%-0.81%
20081-0.32%-1.53%$12,871$12,743-6.17%-0.78%2.10%10.84%-4.00%-7.85%-8.92%2.57%
20082-0.26%-0.50%$12,837$12,680-2.50%-3.18%-0.46%5.23%-3.36%-1.02%1.99%-0.71%
20083-1.35%-0.17%$12,664$12,658-0.90%6.48%2.14%-6.00%0.83%0.42%-3.75%-0.60%
200841.51%2.89%$12,855$13,0234.89%6.38%-2.48%-4.16%2.64%5.44%9.14%1.25%
200850.89%0.76%$12,968$13,1222.02%-0.21%-2.69%0.92%3.92%1.19%3.16%-2.21%
20086-3.34%-4.92%$12,535$12,477-8.12%-10.62%2.65%4.52%-8.41%-8.80%-9.29%-1.29%
20087-0.61%-0.61%$12,458$12,401-0.62%3.12%-0.37%-1.44%2.87%-3.32%-5.50%0.39%
20088-0.99%-1.05%$12,335$12,2711.46%2.37%2.74%-9.29%4.76%-4.25%-6.32%0.15%
20089-3.75%-5.68%$11,872$11,574-9.24%-0.11%1.47%4.11%-4.82%-11.44%-14.68%-10.73%
200810-15.31%-16.93%$10,055$9,615-17.48%-31.73%-1.86%-16.14%-19.86%-20.83%-25.58%-1.95%
2008110.05%-3.55%$10,060$9,273-8.01%-22.72%14.34%12.57%-11.80%-6.37%-9.75%3.35%
2008125.86%9.93%$10,649$10,1941.78%16.67%13.64%7.73%6.57%8.88%10.35%13.80%
20091-5.88%-8.98%$10,023$9,278-8.05%-17.53%-13.07%5.54%-13.94%-13.73%-9.29%-1.80%
20092-6.55%-8.25%$9,367$8,512-10.53%-20.53%-1.54%1.45%-13.03%-10.39%-6.27%-5.20%
200934.66%5.84%$9,804$9,0098.26%3.61%4.04%-2.54%7.58%8.39%16.86%0.47%
200945.44%10.02%$10,337$9,91110.99%30.68%-6.95%-3.33%18.89%11.52%15.56%2.78%
200955.06%5.84%$10,860$10,4915.46%2.62%-3.69%10.23%0.67%13.19%15.94%2.32%
20096-1.14%-0.82%$10,736$10,4040.36%-3.23%0.76%-5.22%1.52%-1.43%-2.25%2.89%
200975.39%7.27%$11,315$11,1607.74%10.77%0.58%2.38%11.00%10.04%11.01%4.63%
200983.05%3.54%$11,660$11,5553.71%14.32%2.24%0.05%3.48%4.50%-1.31%1.31%
200994.41%4.88%$12,174$12,1194.14%6.63%2.46%5.84%4.21%3.80%10.20%1.76%
200910-1.12%-2.32%$12,038$11,838-2.63%-4.46%-2.62%3.72%-6.07%-2.52%-3.44%-0.49%
2009116.80%5.36%$12,856$12,4735.69%6.57%1.21%12.79%2.90%3.92%7.85%1.95%
200912-0.93%0.84%$12,737$12,5772.86%7.37%-6.34%-7.20%8.10%0.70%3.27%-2.07%
20101-2.08%-2.72%$12,472$12,235-3.57%-5.52%2.69%-1.26%-2.54%-5.07%-7.76%1.25%
201022.89%2.41%$12,833$12,5303.44%5.58%-0.34%3.27%4.76%0.27%1.78%0.51%
201033.50%4.63%$13,283$13,1106.40%10.18%-2.06%-0.44%7.80%6.39%8.11%0.65%
201043.52%3.01%$13,751$13,5052.18%7.15%3.32%5.88%6.63%-2.80%-0.17%1.91%
20105-2.94%-4.44%$13,347$12,906-7.88%-5.33%5.11%3.05%-8.54%-11.19%-9.39%-1.31%
20106-1.89%-1.42%$13,095$12,723-5.83%-5.19%5.80%2.36%-8.27%-2.07%-1.40%3.28%
201072.83%5.24%$13,465$13,3907.02%9.59%-0.95%-5.09%6.71%11.61%10.93%2.11%
201080.16%-0.50%$13,487$13,323-4.71%-1.28%8.40%5.71%-7.91%-3.80%-3.24%2.86%
201096.13%6.16%$14,313$14,1449.45%4.45%-2.51%4.78%10.93%9.97%11.76%0.46%
2010102.61%2.32%$14,688$14,4724.03%4.74%-4.47%3.68%4.04%3.81%3.02%-0.26%
2010110.45%-0.97%$14,754$14,3310.51%-1.85%-1.69%2.11%2.47%-4.82%-2.91%-1.62%
2010124.01%4.25%$15,345$14,9416.96%4.54%-3.68%2.44%8.97%8.30%7.27%-0.75%
20111-0.83%-0.76%$15,217$14,8272.05%3.25%-3.08%-6.38%-0.24%2.10%-3.84%0.04%
201123.99%3.11%$15,825$15,2873.70%4.71%1.65%6.00%4.21%3.55%-0.04%1.08%
201130.56%0.75%$15,913$15,4020.42%-1.62%0.03%1.60%2.21%-2.39%6.29%-0.54%
201144.46%3.98%$16,623$16,0152.90%5.75%2.34%8.94%1.06%5.63%2.73%2.50%
20115-0.41%-0.46%$16,554$15,941-1.06%1.37%3.42%-1.79%-1.77%-2.21%-2.94%1.27%
20116-2.11%-1.80%$16,205$15,655-1.79%-3.30%-2.33%-2.43%-1.59%-1.19%-0.93%-0.80%
201171.66%1.05%$16,474$15,819-2.27%1.56%4.42%8.42%-2.77%-2.38%-1.03%2.43%
201181.06%-1.93%$16,650$15,514-6.09%-5.62%9.66%12.27%-7.98%-8.75%-9.25%0.34%
20119-5.28%-6.90%$15,771$14,443-7.57%-10.85%13.20%-11.06%-10.57%-10.81%-17.89%0.35%
2011107.69%8.93%$16,983$15,73311.37%14.29%-3.84%5.87%15.34%9.63%16.27%2.51%
2011110.36%-0.90%$17,044$15,592-0.37%-3.80%1.98%1.67%0.63%-2.18%-1.96%-3.16%
201112-1.37%-0.30%$16,810$15,5450.98%4.85%3.44%-10.66%2.02%-2.21%-4.30%3.49%
201215.86%6.10%$17,794$16,4935.07%6.38%-0.33%11.40%7.90%5.27%10.99%2.14%
201221.07%1.37%$17,986$16,7194.22%-1.15%-2.59%-2.96%1.71%4.83%5.27%1.63%
201230.89%0.18%$18,146$16,7503.06%5.19%-4.23%-1.32%2.89%0.42%-3.11%-1.42%
201240.52%0.29%$18,241$16,798-0.64%2.86%4.83%-0.15%-1.91%-2.08%-1.70%1.08%
20125-3.73%-4.54%$17,560$16,036-6.23%-4.51%9.03%-6.34%-7.18%-11.14%-10.71%0.76%
201262.78%3.48%$18,048$16,5944.05%5.52%-1.68%2.35%4.54%7.11%5.08%0.87%
201271.39%1.30%$18,299$16,8090.88%2.00%3.82%0.84%-0.69%0.08%-0.03%3.48%
201282.49%1.74%$18,755$17,1022.70%-0.01%-1.32%4.94%4.08%3.20%0.41%-0.05%
201292.03%1.87%$19,136$17,4222.49%-1.86%-2.53%4.67%3.14%2.71%5.22%1.10%
201210-1.84%-0.76%$18,784$17,289-1.81%-0.91%-0.48%-2.94%-1.96%1.09%-0.44%1.35%
2012110.51%0.87%$18,881$17,4400.77%-0.26%1.38%-0.47%1.65%2.78%1.56%-0.42%
201212-0.14%1.81%$18,855$17,7561.29%3.72%-2.49%-2.43%3.55%4.37%6.80%-0.33%
201312.48%1.62%$19,322$18,0435.42%3.74%-3.19%-0.51%5.35%3.73%-0.29%-1.30%
20132-0.33%-0.28%$19,259$17,9931.28%1.22%1.24%-5.09%1.63%-1.29%-2.28%1.08%
201332.44%1.46%$19,729$18,2563.95%2.87%-0.42%0.95%4.11%1.31%-1.02%-0.05%
201340.03%1.75%$19,736$18,5751.61%6.73%4.68%-7.56%0.12%5.02%1.22%2.17%
20135-1.59%-2.91%$19,422$18,0352.44%-5.98%-6.76%-6.20%4.29%-3.02%-4.83%-3.22%
20136-4.17%-3.65%$18,612$17,377-1.43%-1.98%-3.27%-11.06%-0.14%-2.70%-5.35%-3.27%
201374.66%3.27%$19,480$17,9455.75%0.90%-2.26%7.43%6.56%5.32%1.32%1.11%
20138-0.88%-1.88%$19,310$17,607-3.03%-6.98%-1.34%5.20%-3.41%-1.96%-2.54%-1.00%
201391.18%3.20%$19,538$18,1713.90%3.49%0.66%-4.78%6.59%7.82%7.21%0.74%
2013102.67%2.82%$20,059$18,6844.27%4.52%1.43%-0.34%3.48%3.26%4.17%1.81%
201311-0.59%-0.79%$19,940$18,5362.70%-5.25%-2.70%-5.51%4.25%0.55%-0.26%-0.14%
2013120.23%0.05%$19,986$18,5462.73%0.10%-1.87%-3.79%1.29%2.16%-0.42%0.22%
201410.35%-0.58%$20,056$18,438-3.17%4.28%6.30%3.42%-3.51%-5.20%-8.64%1.88%
201424.53%4.00%$20,965$19,1764.87%5.07%0.52%6.27%4.63%6.13%3.38%1.14%
20143-0.37%0.41%$20,886$19,2550.51%0.49%0.73%-3.14%1.34%-0.46%3.88%-0.03%
201440.65%0.93%$21,021$19,4340.06%3.29%2.10%0.49%-2.29%1.67%0.78%1.33%
201450.96%1.38%$21,222$19,7032.10%2.40%2.95%-3.05%0.62%1.60%2.95%1.51%
201463.02%2.13%$21,864$20,1222.62%1.13%-0.25%6.32%3.85%0.92%2.40%0.01%
20147-1.88%-1.44%$21,452$19,832-1.99%0.08%0.67%-3.63%-5.07%-2.60%1.36%-0.32%
201483.24%2.72%$22,148$20,3724.15%3.04%4.72%0.38%4.46%0.18%2.83%2.00%
20149-3.31%-4.46%$21,415$19,463-2.10%-6.04%-2.11%-6.18%-5.94%-3.88%-7.77%-1.68%
2014101.63%2.74%$21,765$19,9972.75%9.94%2.81%-3.05%7.13%-0.27%1.42%1.23%
2014111.79%0.86%$22,155$20,1692.48%2.00%2.97%-0.49%0.48%0.06%-1.54%0.91%
2014120.92%0.12%$22,358$20,193-0.04%1.88%3.25%1.31%2.56%-4.00%-3.99%-0.02%
201512.59%2.62%$22,936$20,723-2.74%6.85%9.82%8.69%-5.32%0.62%-0.69%3.75%
201520.48%0.65%$23,046$20,8585.74%-3.67%-6.14%-5.91%5.86%6.34%4.41%-1.42%
20153-0.91%-0.27%$22,836$20,801-1.16%1.74%1.10%-2.15%1.03%-1.43%-1.50%0.20%
20154-0.53%-0.17%$22,715$20,7660.62%-5.85%-3.43%-0.17%-1.82%3.65%6.85%-1.19%
201550.45%-0.64%$22,818$20,6341.30%-0.30%-2.37%0.56%0.75%0.20%-4.10%-1.12%
20156-2.16%-2.43%$22,325$20,133-1.67%-4.68%-4.07%-1.52%0.42%-3.12%-2.93%-1.88%
201570.26%-0.09%$22,382$20,1141.70%5.77%4.55%-6.62%-2.70%2.03%-6.31%0.83%
20158-2.78%-3.88%$21,761$19,333-6.09%-6.29%-0.69%3.71%-4.62%-7.43%-8.84%-0.83%
20159-1.58%-1.23%$21,417$19,095-2.92%3.05%1.97%-1.80%-3.77%-4.42%-3.13%1.19%
2015105.07%4.46%$22,502$19,9467.91%5.76%-0.41%2.28%6.57%6.61%6.38%0.57%
201511-1.54%-1.08%$22,156$19,7320.60%-0.63%-0.87%-6.75%2.47%-0.75%-2.52%-0.15%
201512-1.23%-1.67%$21,883$19,401-2.13%1.82%-0.30%-0.45%-5.08%-2.34%-3.83%-1.08%
20161-1.01%-1.81%$21,661$19,051-5.72%-3.44%5.57%5.41%-5.85%-5.52%-5.03%0.12%
201623.22%1.58%$22,358$19,351-0.01%-0.36%3.09%10.93%2.08%-3.33%-0.82%1.05%
201634.12%6.15%$23,279$20,5427.11%10.48%-0.09%-0.84%9.41%6.58%12.96%3.62%
201641.41%1.12%$23,608$20,7730.66%-2.35%-0.74%5.11%2.13%2.22%0.41%1.55%
20165-0.37%-0.65%$23,521$20,6381.73%2.25%0.81%-6.14%0.44%-0.09%-3.69%-0.51%
201663.83%3.65%$24,423$21,3910.27%6.92%6.93%8.97%0.83%-2.42%4.56%3.09%
201673.19%3.50%$25,201$22,1403.98%4.26%2.10%1.98%5.06%3.98%5.38%1.29%
20168-1.04%-0.64%$24,939$21,9990.21%-3.76%-1.01%-3.26%1.13%0.53%0.88%0.18%
20169-0.04%0.25%$24,929$22,0540.21%-1.82%-1.51%0.69%0.87%1.34%2.52%-0.32%
201610-2.90%-2.95%$24,207$21,404-2.19%-5.74%-4.38%-2.94%-3.74%-2.22%-0.83%-1.53%
201611-1.05%-1.22%$23,951$21,1424.49%-1.68%-8.21%-8.36%13.34%-1.78%-4.42%-3.17%
2016120.75%1.37%$24,130$21,4311.98%4.82%-0.46%-1.91%3.20%2.71%-0.25%0.84%
201712.49%2.10%$24,730$21,8811.86%-0.19%0.81%5.42%-1.21%3.29%6.66%0.15%
201723.22%2.20%$25,527$22,3613.69%3.51%1.59%3.18%1.35%1.19%1.74%1.32%
20173-0.29%0.32%$25,452$22,4320.06%-2.42%-0.65%-0.43%-0.65%3.23%3.69%-0.29%
201741.27%1.30%$25,776$22,7241.06%0.24%1.57%1.73%0.51%2.42%1.70%1.19%
201750.79%0.94%$25,978$22,9381.01%-0.72%1.89%-0.12%-2.26%3.54%2.85%1.33%
201760.20%0.81%$26,031$23,1240.95%2.23%0.79%-2.16%2.96%0.31%0.93%0.48%
201771.55%1.85%$26,435$23,5511.88%1.24%-0.66%2.31%0.75%2.65%5.82%0.77%
201781.67%0.97%$26,877$23,7790.15%-0.26%3.41%4.20%-2.72%-0.04%2.35%0.68%
201790.10%0.94%$26,904$24,0022.44%-0.11%-2.32%-3.37%8.58%2.36%-0.04%-0.05%
2017100.93%0.76%$27,155$24,1842.17%-1.07%-0.04%-0.75%0.59%1.68%3.28%0.19%
2017111.98%1.34%$27,691$24,5083.03%2.66%0.74%0.36%3.76%0.69%-0.39%-0.12%
2017121.44%1.36%$28,090$24,8421.16%-0.14%1.81%2.11%-0.37%1.35%3.77%1.22%
201812.93%1.80%$28,913$25,2895.23%-4.25%-3.26%3.23%1.33%5.02%8.30%-1.23%
20182-3.40%-4.20%$27,929$24,228-3.76%-7.68%-3.04%-2.08%-4.04%-4.83%-5.90%-2.24%
20183-0.26%0.88%$27,856$24,441-1.95%3.88%2.86%0.63%1.37%-0.84%0.54%0.56%
20184-0.29%-0.36%$27,775$24,3530.45%0.82%-2.09%-0.95%1.76%1.52%-2.82%-1.57%
201851.67%1.14%$28,238$24,6302.72%3.68%2.01%-1.20%5.87%-1.89%-2.62%0.52%
20186-0.23%-0.48%$28,173$24,5110.70%4.20%0.65%-3.61%0.80%-1.57%-4.54%-0.49%
201871.04%1.32%$28,465$24,8353.32%0.60%-1.44%-2.24%2.62%2.85%3.53%1.34%
201881.65%0.29%$28,936$24,9083.43%2.58%1.31%-2.14%3.14%-2.24%-3.77%0.02%
20189-0.64%-1.10%$28,751$24,6350.20%-2.64%-2.86%-0.66%-3.05%0.97%-0.58%-0.14%
201810-4.09%-5.00%$27,574$23,402-7.41%-2.93%-2.93%2.12%-9.94%-8.13%-8.76%-2.05%
2018111.68%1.80%$28,038$23,8242.01%4.67%1.79%0.34%0.57%0.50%4.90%-0.36%
201812-3.16%-3.21%$27,151$23,059-9.16%-7.96%5.85%4.94%-12.38%-5.35%-3.50%1.86%
201915.97%7.03%$28,772$24,6818.54%11.85%0.38%2.89%12.26%6.63%10.34%3.37%
201921.59%0.90%$29,229$24,9033.56%0.70%-1.38%-0.61%4.13%2.54%-1.53%-0.20%
201931.46%1.33%$29,654$25,2351.42%4.21%5.57%-1.60%-3.91%0.92%1.13%2.93%
201941.64%1.39%$30,140$25,5873.93%-0.16%-1.99%-0.66%4.32%2.93%2.35%0.44%
20195-1.96%-2.30%$29,550$24,998-6.45%0.14%6.84%1.76%-9.98%-5.03%-7.33%1.65%
201966.07%5.07%$31,344$26,2667.08%1.54%0.95%8.00%7.66%5.91%6.20%3.25%
201970.89%0.04%$31,623$26,2771.41%1.70%0.26%0.01%1.30%-1.95%-2.66%0.25%
201982.80%1.71%$32,508$26,726-2.08%3.75%11.04%7.91%-5.14%-1.92%-3.78%3.88%
Portfolio return and risk metrics
MetricMaximum Return at 10.00% VolatilityEqual Weighted
Arithmetic Mean (monthly)0.76%0.66%
Arithmetic Mean (annualized)9.55%8.19%
Geometric Mean (monthly)0.72%0.60%
Geometric Mean (annualized)9.01%7.46%
Volatility (monthly)2.87%3.36%
Volatility (annualized)9.94%11.62%
Downside Deviation (monthly)1.81%2.21%
Max. Drawdown-28.57%-36.98%
US Market Correlation0.830.87
Beta(*)0.560.68
Alpha (annualized)3.89%1.47%
R268.84%74.83%
Sharpe Ratio0.810.58
Sortino Ratio1.250.87
Treynor Ratio (%)14.339.91
Calmar Ratio1.500.76
Active Return0.37%-1.18%
Tracking Error8.54%7.48%
Information Ratio0.04-0.16
Skewness-1.01-0.79
Excess Kurtosis5.304.73
Historical Value-at-Risk (5%)-3.65%-4.52%
Analytical Value-at-Risk (5%)-3.94%-4.84%
Conditional Value-at-Risk (5%)-6.09%-7.65%
Upside Capture Ratio (%)60.4666.21
Downside Capture Ratio (%)43.6361.10
Safe Withdrawal Rate11.50%10.84%
Perpetual Withdrawal Rate6.78%5.37%
Positive Periods103 out of 164 (62.80%)101 out of 164 (61.59%)
Gain/Loss Ratio1.221.08
* 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 Return at 10.00% VolatilityEqual Weighted
Subprime CrisisNov 2007Mar 2009-28.57%-36.98%

Drawdowns for Maximum Return at 10.00% Volatility

Drawdowns for Maximum Return at 10.00% Volatility (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20101 year 1 month2 years 5 months-28.57%
2Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-7.07%
3Sep 2018Dec 20184 monthsFeb 20192 months6 months-6.17%
4May 2013Jun 20132 monthsOct 20134 months6 months-5.69%
5Sep 2011Sep 20111 monthOct 20111 month2 months-5.28%
6Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.96%
7May 2010Jun 20102 monthsSep 20103 months5 months-4.77%
8Feb 2018Apr 20183 monthsAug 20184 months7 months-3.94%
9May 2012May 20121 monthJul 20122 months3 months-3.73%
10Sep 2014Sep 20141 monthNov 20142 months3 months-3.31%
Worst 10 drawdowns included above

Drawdowns for Equal Weighted

Drawdowns for Equal Weighted (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-36.98%
2May 2011Sep 20115 monthsJan 20124 months9 months-9.81%
3Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.82%
4Mar 2015Jan 201611 monthsJun 20165 months1 year 4 months-8.66%
5May 2013Jun 20132 monthsOct 20134 months6 months-6.45%
6May 2012May 20121 monthJul 20122 months3 months-4.54%
7Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.51%
8Sep 2014Sep 20141 monthJan 20154 months5 months-4.46%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-3.49%
10May 2006May 20061 monthAug 20063 months4 months-3.39%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF8.75%14.74%33.45%-36.98%-50.84%0.570.821.00
VNQVanguard Real Estate ETF7.80%22.98%35.30%-37.00%-68.30%0.400.570.72
TLTiShares 20+ Year Treasury Bond ETF7.01%13.45%33.96%-21.80%-21.80%0.490.85-0.32
GLDSPDR Gold Shares7.79%17.86%30.45%-28.33%-42.91%0.450.720.04
IJSiShares S&P Small-Cap 600 Value ETF7.65%19.25%39.34%-29.39%-54.13%0.420.620.91
EFAiShares MSCI EAFE ETF3.41%17.32%26.95%-41.04%-57.38%0.220.300.89
EEMiShares MSCI Emerging Markets ETF4.24%22.36%68.93%-48.88%-60.44%0.250.370.80
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.68%7.28%16.57%-3.79%-15.11%0.641.060.27

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIVNQTLTGLDIJSEFAEEMLQDMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF-0.73-0.330.040.910.890.800.270.830.86
VNQVanguard Real Estate ETF0.73-0.010.090.740.680.600.430.740.84
TLTiShares 20+ Year Treasury Bond ETF-0.330.01-0.21-0.35-0.24-0.230.520.050.01
GLDSPDR Gold Shares0.040.090.21--0.010.150.290.260.540.37
IJSiShares S&P Small-Cap 600 Value ETF0.910.74-0.35-0.01-0.760.690.190.730.80
EFAiShares MSCI EAFE ETF0.890.68-0.240.150.76-0.880.380.800.89
EEMiShares MSCI Emerging Markets ETF0.800.60-0.230.290.690.88-0.350.790.87
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.270.430.520.260.190.380.35-0.490.55

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF66.72%13.71%
VNQVanguard Real Estate ETF7.91%20.71%
TLTiShares 20+ Year Treasury Bond ETF1.11%0.09%
GLDSPDR Gold Shares24.26%7.04%
IJSiShares S&P Small-Cap 600 Value ETF16.64%
EFAiShares MSCI EAFE ETF16.53%
EEMiShares MSCI Emerging Markets ETF21.00%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.28%

Annual Asset Returns

Rolling returns summary
Roll PeriodMaximum Return at 10.00% VolatilityEqual Weighted
AverageHighLowAverageHighLow
1 year8.51%20.48%-17.52%7.35%23.38%-21.23%
3 years7.97%16.43%2.12%6.56%15.10%0.64%
5 years8.81%13.42%6.32%7.37%12.71%4.45%
7 years8.89%10.84%7.09%7.50%9.63%5.79%
10 years8.41%9.81%7.59%7.03%8.50%6.02%
Result statistics are based on annualized rolling returns over full calendar year periods