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 2006 - Oct 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 6.95% to 10.87%. 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 61.21%
VNQ Vanguard Real Estate ETF 0.77%
TLT iShares 20+ Year Treasury Bond ETF 15.40%
GLD SPDR Gold Shares 22.62%
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$33,008$27,466
CAGR9.02%7.58%
Expected Return 9.55% 8.30%
Stdev9.88%11.56%
Best Year21.31%23.38%
Worst Year-19.16%-21.23%
Max. Drawdown -29.88% -36.98%
Sharpe Ratio (ex-ante)0.850.62
Sharpe Ratio (ex-post)0.810.59
Sortino Ratio1.260.89
US Stock Market Correlation0.870.87
   
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 October
  • 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)8.95%10.13%14.66%0.6120.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)8.13%10.14%19.18%0.4690.00%100.00%
3iShares MSCI EAFE ETF (EFA)3.85%5.42%17.25%0.2480.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)4.62%7.25%22.25%0.2740.00%100.00%
5Vanguard Real Estate ETF (VNQ)7.94%10.87%22.84%0.4250.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)6.63%7.56%13.40%0.4780.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)5.58%5.86%7.24%0.6490.00%100.00%
8SPDR Gold Shares (GLD)7.62%9.31%17.79%0.4580.00%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 (1.15% 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 ETFIJS0.911.000.760.690.73-0.350.19-0.02
iShares MSCI EAFE ETFEFA0.890.761.000.880.67-0.240.370.15
iShares MSCI Emerging Markets ETFEEM0.800.690.881.000.60-0.230.350.29
Vanguard Real Estate ETFVNQ0.730.730.670.601.000.010.430.09
iShares 20+ Year Treasury Bond ETFTLT-0.33-0.35-0.24-0.230.011.000.520.21
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.270.190.370.350.430.521.000.26
SPDR Gold SharesGLD0.04-0.020.150.290.090.210.261.00
Based on monthly returns from Jan 2006 to Oct 2019
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return*Standard Deviation*Sharpe Ratio*
116.60%0.00%0.00%0.00%0.00%12.19%65.72%5.49%6.95%6.87%0.844
217.17%0.00%0.00%0.00%0.00%12.77%64.43%5.63%6.99%6.87%0.849
317.74%0.00%0.00%0.00%0.00%13.35%63.13%5.78%7.03%6.88%0.855
418.31%0.00%0.00%0.00%0.00%13.93%61.84%5.92%7.07%6.88%0.860
518.88%0.00%0.00%0.00%0.00%14.51%60.55%6.06%7.11%6.88%0.865
619.45%0.00%0.00%0.00%0.00%15.09%59.26%6.20%7.15%6.89%0.871
720.02%0.00%0.00%0.00%0.00%15.67%57.96%6.34%7.18%6.89%0.876
820.59%0.00%0.00%0.00%0.00%16.26%56.67%6.48%7.22%6.90%0.881
921.16%0.00%0.00%0.00%0.00%16.84%55.38%6.62%7.26%6.90%0.885
1021.73%0.00%0.00%0.00%0.00%17.42%54.09%6.77%7.30%6.91%0.890
1122.30%0.00%0.00%0.00%0.00%18.00%52.79%6.91%7.34%6.92%0.895
1222.87%0.00%0.00%0.00%0.00%18.58%51.50%7.05%7.38%6.93%0.899
1323.44%0.00%0.00%0.00%0.00%19.16%50.21%7.19%7.42%6.94%0.903
1424.01%0.00%0.00%0.00%0.00%19.74%48.91%7.33%7.46%6.95%0.908
1524.58%0.00%0.00%0.00%0.00%20.32%47.62%7.47%7.50%6.96%0.912
1625.15%0.00%0.00%0.00%0.00%20.90%46.33%7.62%7.54%6.97%0.916
1725.72%0.00%0.00%0.00%0.00%21.49%45.04%7.76%7.58%6.99%0.919
1826.29%0.00%0.00%0.00%0.00%22.07%43.74%7.90%7.61%7.00%0.923
1926.86%0.00%0.00%0.00%0.00%22.65%42.45%8.04%7.65%7.02%0.927
2027.43%0.00%0.00%0.00%0.00%23.23%41.16%8.18%7.69%7.03%0.930
2128.00%0.00%0.00%0.00%0.00%23.81%39.87%8.32%7.73%7.05%0.933
2228.57%0.00%0.00%0.00%0.00%24.39%38.57%8.46%7.77%7.07%0.937
2329.14%0.00%0.00%0.00%0.00%24.97%37.28%8.61%7.81%7.09%0.940
2429.71%0.00%0.00%0.00%0.00%25.55%35.99%8.75%7.85%7.11%0.943
2530.28%0.00%0.00%0.00%0.00%26.13%34.69%8.89%7.89%7.13%0.945
2630.85%0.00%0.00%0.00%0.00%26.71%33.40%9.03%7.93%7.15%0.948
2731.42%0.00%0.00%0.00%0.00%27.30%32.11%9.17%7.97%7.17%0.951
2831.99%0.00%0.00%0.00%0.00%27.88%30.82%9.31%8.01%7.19%0.953
2932.56%0.00%0.00%0.00%0.00%28.46%29.52%9.45%8.05%7.22%0.956
3033.13%0.00%0.00%0.00%0.00%29.04%28.23%9.60%8.09%7.24%0.958
3133.70%0.00%0.00%0.00%0.00%29.62%26.94%9.74%8.12%7.26%0.960
3234.27%0.00%0.00%0.00%0.00%30.20%25.65%9.88%8.16%7.29%0.962
3334.84%0.00%0.00%0.00%0.00%30.78%24.35%10.02%8.20%7.32%0.964
3435.41%0.00%0.00%0.00%0.00%31.36%23.06%10.16%8.24%7.34%0.966
3535.98%0.00%0.00%0.00%0.00%31.94%21.77%10.30%8.28%7.37%0.967
3636.55%0.00%0.00%0.00%0.00%32.53%20.47%10.45%8.32%7.40%0.969
3737.12%0.00%0.00%0.00%0.00%33.11%19.18%10.59%8.36%7.43%0.970
3837.69%0.00%0.00%0.00%0.00%33.69%17.89%10.73%8.40%7.46%0.972
3938.26%0.00%0.00%0.00%0.00%34.27%16.60%10.87%8.44%7.49%0.973
4038.83%0.00%0.00%0.00%0.00%34.85%15.30%11.01%8.48%7.52%0.974
4139.41%0.00%0.00%0.00%0.00%35.43%14.01%11.15%8.52%7.55%0.975
4239.98%0.00%0.00%0.00%0.00%36.01%12.72%11.29%8.56%7.59%0.976
4340.55%0.00%0.00%0.00%0.00%36.59%11.43%11.44%8.60%7.62%0.977
4441.12%0.00%0.00%0.00%0.00%37.17%10.13%11.58%8.64%7.65%0.978
4541.69%0.00%0.00%0.00%0.00%37.76%8.84%11.72%8.68%7.69%0.979
4642.26%0.00%0.00%0.00%0.00%38.34%7.55%11.86%8.72%7.72%0.979
4742.83%0.00%0.00%0.00%0.00%38.92%6.25%12.00%8.76%7.76%0.980
4843.40%0.00%0.00%0.00%0.00%39.50%4.96%12.14%8.80%7.80%0.980
4943.97%0.00%0.00%0.00%0.00%40.08%3.67%12.28%8.83%7.83%0.981
5044.54%0.00%0.00%0.00%0.00%40.66%2.38%12.43%8.87%7.87%0.981
5145.11%0.00%0.00%0.00%0.00%41.24%1.08%12.57%8.91%7.91%0.981
5245.76%0.00%0.00%0.00%0.00%41.45%0.00%12.79%8.95%7.95%0.981
5346.85%0.00%0.00%0.00%0.00%39.69%0.00%13.45%8.99%8.00%0.980
5447.95%0.00%0.00%0.00%0.00%37.94%0.00%14.11%9.03%8.06%0.978
5549.04%0.00%0.00%0.00%0.00%36.19%0.00%14.77%9.07%8.13%0.974
5650.13%0.00%0.00%0.00%0.00%34.44%0.00%15.43%9.11%8.22%0.968
5751.23%0.00%0.00%0.00%0.00%32.68%0.00%16.09%9.15%8.32%0.962
5852.32%0.00%0.00%0.00%0.00%30.93%0.00%16.75%9.19%8.43%0.954
5953.41%0.00%0.00%0.00%0.00%29.18%0.00%17.41%9.23%8.55%0.945
6054.51%0.00%0.00%0.00%0.00%27.42%0.00%18.07%9.27%8.69%0.935
6155.60%0.00%0.00%0.00%0.00%25.67%0.00%18.73%9.31%8.83%0.924
6256.70%0.00%0.00%0.00%0.00%23.92%0.00%19.39%9.35%8.98%0.913
6357.79%0.00%0.00%0.00%0.00%22.17%0.00%20.05%9.39%9.14%0.901
6458.88%0.00%0.00%0.00%0.00%20.41%0.00%20.70%9.43%9.32%0.889
6559.98%0.00%0.00%0.00%0.00%18.66%0.00%21.36%9.47%9.50%0.876
6661.07%0.00%0.00%0.00%0.00%16.91%0.00%22.02%9.51%9.68%0.863
6761.21%0.00%0.00%0.00%0.77%15.40%0.00%22.62%9.55%9.88%0.850
6861.24%0.00%0.00%0.00%1.64%13.91%0.00%23.21%9.59%10.08%0.837
6961.26%0.00%0.00%0.00%2.51%12.43%0.00%23.79%9.63%10.28%0.825
7061.29%0.00%0.00%0.00%3.38%10.95%0.00%24.38%9.67%10.49%0.812
7161.31%0.00%0.00%0.00%4.25%9.47%0.00%24.97%9.71%10.70%0.800
7261.34%0.00%0.00%0.00%5.12%7.99%0.00%25.55%9.75%10.91%0.788
7361.37%0.00%0.00%0.00%5.99%6.51%0.00%26.14%9.79%11.13%0.776
7461.39%0.00%0.00%0.00%6.86%5.03%0.00%26.73%9.83%11.35%0.764
7561.42%0.00%0.00%0.00%7.73%3.54%0.00%27.31%9.87%11.58%0.753
7661.44%0.00%0.00%0.00%8.59%2.06%0.00%27.90%9.91%11.81%0.742
7761.47%0.00%0.00%0.00%9.46%0.58%0.00%28.49%9.95%12.04%0.731
7860.55%0.00%0.00%0.00%11.85%0.00%0.00%27.60%9.99%12.28%0.720
7959.02%0.00%0.00%0.00%15.21%0.00%0.00%25.77%10.03%12.54%0.708
8057.49%0.00%0.00%0.00%18.57%0.00%0.00%23.94%10.07%12.84%0.694
8155.96%0.00%0.00%0.00%21.94%0.00%0.00%22.10%10.11%13.17%0.680
8254.43%0.00%0.00%0.00%25.30%0.00%0.00%20.27%10.15%13.52%0.665
8352.90%0.00%0.00%0.00%28.66%0.00%0.00%18.44%10.19%13.90%0.650
8451.37%0.00%0.00%0.00%32.03%0.00%0.00%16.61%10.23%14.30%0.635
8549.84%0.00%0.00%0.00%35.39%0.00%0.00%14.77%10.27%14.72%0.620
8648.31%0.00%0.00%0.00%38.75%0.00%0.00%12.94%10.31%15.15%0.604
8746.78%0.00%0.00%0.00%42.11%0.00%0.00%11.11%10.35%15.61%0.589
8845.25%0.00%0.00%0.00%45.48%0.00%0.00%9.27%10.39%16.08%0.575
8943.72%0.00%0.00%0.00%48.84%0.00%0.00%7.44%10.43%16.56%0.560
9042.19%0.00%0.00%0.00%52.20%0.00%0.00%5.61%10.47%17.06%0.546
9140.66%0.00%0.00%0.00%55.56%0.00%0.00%3.78%10.51%17.57%0.533
9239.13%0.00%0.00%0.00%58.93%0.00%0.00%1.94%10.55%18.09%0.520
9337.60%0.00%0.00%0.00%62.29%0.00%0.00%0.11%10.59%18.62%0.507
9432.43%0.00%0.00%0.00%67.57%0.00%0.00%0.00%10.63%19.16%0.495
9527.02%0.00%0.00%0.00%72.98%0.00%0.00%0.00%10.67%19.73%0.482
9621.62%0.00%0.00%0.00%78.38%0.00%0.00%0.00%10.71%20.32%0.470
9716.22%0.00%0.00%0.00%83.78%0.00%0.00%0.00%10.75%20.93%0.459
9810.81%0.00%0.00%0.00%89.19%0.00%0.00%0.00%10.79%21.55%0.447
995.41%0.00%0.00%0.00%94.59%0.00%0.00%0.00%10.83%22.19%0.436
1000.00%0.00%0.00%0.00%100.00%0.00%0.00%0.00%10.87%22.84%0.426
*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 (1.15% 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%15.28%19.39%$11,528$11,93915.69%35.30%0.71%22.55%19.37%25.81%31.19%4.22%
20074.08%11.53%8.39%$12,856$12,9415.37%-16.50%10.29%30.45%-5.56%9.94%33.31%3.73%
20080.09%-19.16%-21.23%$10,393$10,194-36.98%-37.00%33.93%4.92%-29.39%-41.04%-48.88%2.40%
20092.72%19.71%23.38%$12,441$12,57728.89%30.08%-21.80%24.03%22.36%26.95%68.93%8.46%
20101.50%19.80%18.79%$14,904$14,94117.42%28.37%9.05%29.27%24.69%8.15%16.51%9.33%
20112.96%8.76%4.04%$16,209$15,5450.97%8.62%33.96%9.57%-1.65%-12.25%-18.82%9.73%
20121.74%12.43%14.22%$18,223$17,75616.45%17.63%2.63%6.60%18.24%18.82%19.10%10.58%
20131.50%9.00%4.45%$19,862$18,54633.45%2.31%-13.37%-28.33%39.34%21.40%-3.69%-2.00%
20140.76%11.50%8.88%$22,147$20,19312.54%30.36%27.30%-2.19%7.56%-6.20%-3.93%8.21%
20150.73%-1.94%-3.92%$21,718$19,4010.36%2.42%-1.79%-10.67%-6.90%-1.00%-16.18%-1.25%
20162.07%10.58%10.46%$24,017$21,43112.83%8.60%1.18%8.03%31.25%1.37%10.87%6.21%
20172.11%17.34%15.92%$28,181$24,84221.21%4.91%9.18%12.81%11.35%25.10%37.28%7.06%
20181.91%-3.45%-7.18%$27,210$23,059-5.21%-6.02%-1.61%-1.94%-12.84%-13.81%-15.31%-3.79%
20192.20%21.31%19.11%$33,008$27,46622.47%29.60%18.37%17.47%17.51%17.17%9.84%16.20%
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
200614.07%5.95%$10,407$10,5953.22%7.54%-1.34%9.93%8.75%5.77%14.20%-0.44%
200620.07%-0.19%$10,414$10,5750.22%1.86%1.11%-1.11%0.27%-0.70%-3.85%0.68%
200631.41%1.90%$10,561$10,7762.05%4.73%-4.57%3.62%4.86%4.01%2.17%-1.68%
200642.86%2.26%$10,862$11,0200.96%-3.40%-2.75%12.03%0.18%4.79%6.52%-0.20%
20065-2.32%-3.39%$10,610$10,646-3.22%-2.70%-0.19%-1.32%-4.55%-3.82%-11.14%-0.19%
20066-0.76%0.21%$10,530$10,6690.13%4.95%1.18%-4.67%0.04%-0.06%0.21%-0.09%
200671.00%1.33%$10,635$10,810-0.12%3.89%2.16%3.15%-3.10%0.81%2.34%1.46%
200681.59%2.07%$10,805$11,0332.30%3.48%3.06%-1.38%2.70%2.55%1.58%2.22%
200690.67%0.38%$10,877$11,0752.26%1.96%1.91%-4.53%1.19%0.22%-0.87%0.87%
2006102.63%3.63%$11,163$11,4773.53%6.03%0.85%1.29%5.52%3.75%7.06%1.00%
2006113.38%3.65%$11,540$11,8962.33%4.78%2.31%6.89%2.38%3.07%5.98%1.46%
200612-0.11%0.36%$11,528$11,9391.20%-1.83%-2.69%-1.83%0.32%3.20%5.44%-0.90%
200711.63%1.99%$11,716$12,1771.86%8.78%-1.00%2.56%2.14%1.39%0.11%0.09%
200720.08%-0.08%$11,726$12,167-1.62%-2.70%3.39%2.55%-0.92%-0.12%-3.24%2.00%
200730.16%0.59%$11,744$12,2381.12%-2.07%-1.70%-1.11%0.91%2.90%5.33%-0.68%
200743.06%2.13%$12,104$12,4994.02%-0.13%0.90%2.05%1.84%3.75%3.73%0.89%
200751.40%1.19%$12,273$12,6493.72%-0.38%-2.31%-2.31%4.63%2.36%5.06%-1.23%
20076-1.74%-1.67%$12,059$12,437-1.76%-8.99%-1.01%-1.94%-2.24%-0.32%3.68%-0.81%
20077-1.18%-1.85%$11,917$12,207-3.53%-8.26%3.32%2.37%-6.26%-2.29%0.71%-0.82%
200781.48%1.90%$12,093$12,4401.47%6.74%1.79%1.11%1.33%-0.63%1.04%2.38%
200794.80%4.55%$12,673$13,0063.85%3.90%0.23%10.51%0.31%5.32%11.57%0.73%
2007102.96%3.85%$13,049$13,5071.79%2.10%1.81%6.95%1.06%4.25%11.87%0.97%
200711-2.39%-3.46%$12,737$13,039-4.52%-9.47%5.35%-1.65%-7.15%-3.62%-7.65%1.02%
2007120.94%-0.75%$12,856$12,941-0.70%-5.41%-0.64%6.65%-0.71%-2.99%-1.43%-0.81%
20081-1.01%-1.53%$12,727$12,743-6.17%-0.78%2.10%10.84%-4.00%-7.85%-8.92%2.57%
20082-0.44%-0.50%$12,671$12,680-2.50%-3.18%-0.46%5.23%-3.36%-1.02%1.99%-0.71%
20083-1.53%-0.17%$12,478$12,658-0.90%6.48%2.14%-6.00%0.83%0.42%-3.75%-0.60%
200841.72%2.89%$12,692$13,0234.89%6.38%-2.48%-4.16%2.64%5.44%9.14%1.25%
200851.03%0.76%$12,822$13,1222.02%-0.21%-2.69%0.92%3.92%1.19%3.16%-2.21%
20086-3.62%-4.92%$12,358$12,477-8.12%-10.62%2.65%4.52%-8.41%-8.80%-9.29%-1.29%
20087-0.74%-0.61%$12,266$12,401-0.62%3.12%-0.37%-1.44%2.87%-3.32%-5.50%0.39%
20088-0.77%-1.05%$12,172$12,2711.46%2.37%2.74%-9.29%4.76%-4.25%-6.32%0.15%
20089-4.50%-5.68%$11,624$11,574-9.24%-0.11%1.47%4.11%-4.82%-11.44%-14.68%-10.73%
200810-14.88%-16.93%$9,894$9,615-17.48%-31.73%-1.86%-16.14%-19.86%-20.83%-25.58%-1.95%
200811-0.03%-3.55%$9,891$9,273-8.01%-22.72%14.34%12.57%-11.80%-6.37%-9.75%3.35%
2008125.07%9.93%$10,393$10,1941.78%16.67%13.64%7.73%6.57%8.88%10.35%13.80%
20091-5.82%-8.98%$9,788$9,278-8.05%-17.53%-13.07%5.54%-13.94%-13.73%-9.29%-1.80%
20092-6.51%-8.25%$9,150$8,512-10.53%-20.53%-1.54%1.45%-13.03%-10.39%-6.27%-5.20%
200935.14%5.84%$9,620$9,0098.26%3.61%4.04%-2.54%7.58%8.39%16.86%0.47%
200945.14%10.02%$10,115$9,91110.99%30.68%-6.95%-3.33%18.89%11.52%15.56%2.78%
200955.11%5.84%$10,632$10,4915.46%2.62%-3.69%10.23%0.67%13.19%15.94%2.32%
20096-0.87%-0.82%$10,540$10,4040.36%-3.23%0.76%-5.22%1.52%-1.43%-2.25%2.89%
200975.45%7.27%$11,114$11,1607.74%10.77%0.58%2.38%11.00%10.04%11.01%4.63%
200982.74%3.54%$11,418$11,5553.71%14.32%2.24%0.05%3.48%4.50%-1.31%1.31%
200994.28%4.88%$11,907$12,1194.14%6.63%2.46%5.84%4.21%3.80%10.20%1.76%
200910-1.21%-2.32%$11,763$11,838-2.63%-4.46%-2.62%3.72%-6.07%-2.52%-3.44%-0.49%
2009116.61%5.36%$12,541$12,4735.69%6.57%1.21%12.79%2.90%3.92%7.85%1.95%
200912-0.80%0.84%$12,441$12,5772.86%7.37%-6.34%-7.20%8.10%0.70%3.27%-2.07%
20101-2.10%-2.72%$12,180$12,235-3.57%-5.52%2.69%-1.26%-2.54%-5.07%-7.76%1.25%
201022.84%2.41%$12,526$12,5303.44%5.58%-0.34%3.27%4.76%0.27%1.78%0.51%
201033.58%4.63%$12,974$13,1106.40%10.18%-2.06%-0.44%7.80%6.39%8.11%0.65%
201043.23%3.01%$13,394$13,5052.18%7.15%3.32%5.88%6.63%-2.80%-0.17%1.91%
20105-3.39%-4.44%$12,940$12,906-7.88%-5.33%5.11%3.05%-8.54%-11.19%-9.39%-1.31%
20106-2.19%-1.42%$12,657$12,723-5.83%-5.19%5.80%2.36%-8.27%-2.07%-1.40%3.28%
201073.08%5.24%$13,046$13,3907.02%9.59%-0.95%-5.09%6.71%11.61%10.93%2.11%
20108-0.31%-0.50%$13,006$13,323-4.71%-1.28%8.40%5.71%-7.91%-3.80%-3.24%2.86%
201096.51%6.16%$13,853$14,1449.45%4.45%-2.51%4.78%10.93%9.97%11.76%0.46%
2010102.65%2.32%$14,219$14,4724.03%4.74%-4.47%3.68%4.04%3.81%3.02%-0.26%
2010110.52%-0.97%$14,293$14,3310.51%-1.85%-1.69%2.11%2.47%-4.82%-2.91%-1.62%
2010124.28%4.25%$14,904$14,9416.96%4.54%-3.68%2.44%8.97%8.30%7.27%-0.75%
20111-0.64%-0.76%$14,809$14,8272.05%3.25%-3.08%-6.38%-0.24%2.10%-3.84%0.04%
201123.91%3.11%$15,388$15,2873.70%4.71%1.65%6.00%4.21%3.55%-0.04%1.08%
201130.61%0.75%$15,482$15,4020.42%-1.62%0.03%1.60%2.21%-2.39%6.29%-0.54%
201144.20%3.98%$16,132$16,0152.90%5.75%2.34%8.94%1.06%5.63%2.73%2.50%
20115-0.52%-0.46%$16,048$15,941-1.06%1.37%3.42%-1.79%-1.77%-2.21%-2.94%1.27%
20116-2.03%-1.80%$15,722$15,655-1.79%-3.30%-2.33%-2.43%-1.59%-1.19%-0.93%-0.80%
201171.21%1.05%$15,912$15,819-2.27%1.56%4.42%8.42%-2.77%-2.38%-1.03%2.43%
201180.49%-1.93%$15,991$15,514-6.09%-5.62%9.66%12.27%-7.98%-8.75%-9.25%0.34%
20119-5.19%-6.90%$15,161$14,443-7.57%-10.85%13.20%-11.06%-10.57%-10.81%-17.89%0.35%
2011107.80%8.93%$16,344$15,73311.37%14.29%-3.84%5.87%15.34%9.63%16.27%2.51%
2011110.42%-0.90%$16,413$15,592-0.37%-3.80%1.98%1.67%0.63%-2.18%-1.96%-3.16%
201112-1.25%-0.30%$16,209$15,5450.98%4.85%3.44%-10.66%2.02%-2.21%-4.30%3.49%
201215.68%6.10%$17,129$16,4935.07%6.38%-0.33%11.40%7.90%5.27%10.99%2.14%
201221.50%1.37%$17,387$16,7194.22%-1.15%-2.59%-2.96%1.71%4.83%5.27%1.63%
201230.96%0.18%$17,555$16,7503.06%5.19%-4.23%-1.32%2.89%0.42%-3.11%-1.42%
201240.34%0.29%$17,615$16,798-0.64%2.86%4.83%-0.15%-1.91%-2.08%-1.70%1.08%
20125-3.89%-4.54%$16,930$16,036-6.23%-4.51%9.03%-6.34%-7.18%-11.14%-10.71%0.76%
201262.80%3.48%$17,403$16,5944.05%5.52%-1.68%2.35%4.54%7.11%5.08%0.87%
201271.33%1.30%$17,634$16,8090.88%2.00%3.82%0.84%-0.69%0.08%-0.03%3.48%
201282.57%1.74%$18,087$17,1022.70%-0.01%-1.32%4.94%4.08%3.20%0.41%-0.05%
201292.18%1.87%$18,481$17,4222.49%-1.86%-2.53%4.67%3.14%2.71%5.22%1.10%
201210-1.85%-0.76%$18,139$17,289-1.81%-0.91%-0.48%-2.94%-1.96%1.09%-0.44%1.35%
2012110.58%0.87%$18,244$17,4400.77%-0.26%1.38%-0.47%1.65%2.78%1.56%-0.42%
201212-0.11%1.81%$18,223$17,7561.29%3.72%-2.49%-2.43%3.55%4.37%6.80%-0.33%
201312.74%1.62%$18,722$18,0435.42%3.74%-3.19%-0.51%5.35%3.73%-0.29%-1.30%
20132-0.17%-0.28%$18,691$17,9931.28%1.22%1.24%-5.09%1.63%-1.29%-2.28%1.08%
201332.59%1.46%$19,175$18,2563.95%2.87%-0.42%0.95%4.11%1.31%-1.02%-0.05%
201340.05%1.75%$19,184$18,5751.61%6.73%4.68%-7.56%0.12%5.02%1.22%2.17%
20135-0.99%-2.91%$18,993$18,0352.44%-5.98%-6.76%-6.20%4.29%-3.02%-4.83%-3.22%
20136-3.90%-3.65%$18,253$17,377-1.43%-1.98%-3.27%-11.06%-0.14%-2.70%-5.35%-3.27%
201374.86%3.27%$19,139$17,9455.75%0.90%-2.26%7.43%6.56%5.32%1.32%1.11%
20138-0.94%-1.88%$18,960$17,607-3.03%-6.98%-1.34%5.20%-3.41%-1.96%-2.54%-1.00%
201391.43%3.20%$19,232$18,1713.90%3.49%0.66%-4.78%6.59%7.82%7.21%0.74%
2013102.79%2.82%$19,768$18,6844.27%4.52%1.43%-0.34%3.48%3.26%4.17%1.81%
201311-0.05%-0.79%$19,758$18,5362.70%-5.25%-2.70%-5.51%4.25%0.55%-0.26%-0.14%
2013120.53%0.05%$19,862$18,5462.73%0.10%-1.87%-3.79%1.29%2.16%-0.42%0.22%
20141-0.16%-0.58%$19,830$18,438-3.17%4.28%6.30%3.42%-3.51%-5.20%-8.64%1.88%
201424.52%4.00%$20,726$19,1764.87%5.07%0.52%6.27%4.63%6.13%3.38%1.14%
20143-0.28%0.41%$20,667$19,2550.51%0.49%0.73%-3.14%1.34%-0.46%3.88%-0.03%
201440.50%0.93%$20,770$19,4340.06%3.29%2.10%0.49%-2.29%1.67%0.78%1.33%
201451.07%1.38%$20,992$19,7032.10%2.40%2.95%-3.05%0.62%1.60%2.95%1.51%
201463.01%2.13%$21,623$20,1222.62%1.13%-0.25%6.32%3.85%0.92%2.40%0.01%
20147-1.94%-1.44%$21,203$19,832-1.99%0.08%0.67%-3.63%-5.07%-2.60%1.36%-0.32%
201483.38%2.72%$21,919$20,3724.15%3.04%4.72%0.38%4.46%0.18%2.83%2.00%
20149-3.05%-4.46%$21,250$19,463-2.10%-6.04%-2.11%-6.18%-5.94%-3.88%-7.77%-1.68%
2014101.50%2.74%$21,569$19,9972.75%9.94%2.81%-3.05%7.13%-0.27%1.42%1.23%
2014111.88%0.86%$21,974$20,1692.48%2.00%2.97%-0.49%0.48%0.06%-1.54%0.91%
2014120.79%0.12%$22,147$20,193-0.04%1.88%3.25%1.31%2.56%-4.00%-3.99%-0.02%
201511.86%2.62%$22,558$20,723-2.74%6.85%9.82%8.69%-5.32%0.62%-0.69%3.75%
201521.21%0.65%$22,830$20,8585.74%-3.67%-6.14%-5.91%5.86%6.34%4.41%-1.42%
20153-1.01%-0.27%$22,599$20,801-1.16%1.74%1.10%-2.15%1.03%-1.43%-1.50%0.20%
20154-0.23%-0.17%$22,546$20,7660.62%-5.85%-3.43%-0.17%-1.82%3.65%6.85%-1.19%
201550.55%-0.64%$22,671$20,6341.30%-0.30%-2.37%0.56%0.75%0.20%-4.10%-1.12%
20156-2.03%-2.43%$22,210$20,133-1.67%-4.68%-4.07%-1.52%0.42%-3.12%-2.93%-1.88%
201570.29%-0.09%$22,275$20,1141.70%5.77%4.55%-6.62%-2.70%2.03%-6.31%0.83%
20158-3.05%-3.88%$21,596$19,333-6.09%-6.29%-0.69%3.71%-4.62%-7.43%-8.84%-0.83%
20159-1.87%-1.23%$21,192$19,095-2.92%3.05%1.97%-1.80%-3.77%-4.42%-3.13%1.19%
2015105.34%4.46%$22,324$19,9467.91%5.76%-0.41%2.28%6.57%6.61%6.38%0.57%
201511-1.30%-1.08%$22,034$19,7320.60%-0.63%-0.87%-6.75%2.47%-0.75%-2.52%-0.15%
201512-1.44%-1.67%$21,718$19,401-2.13%1.82%-0.30%-0.45%-5.08%-2.34%-3.83%-1.08%
20161-1.45%-1.81%$21,403$19,051-5.72%-3.44%5.57%5.41%-5.85%-5.52%-5.03%0.12%
201622.94%1.58%$22,032$19,351-0.01%-0.36%3.09%10.93%2.08%-3.33%-0.82%1.05%
201634.23%6.15%$22,964$20,5427.11%10.48%-0.09%-0.84%9.41%6.58%12.96%3.62%
201641.43%1.12%$23,292$20,7730.66%-2.35%-0.74%5.11%2.13%2.22%0.41%1.55%
20165-0.18%-0.65%$23,249$20,6381.73%2.25%0.81%-6.14%0.44%-0.09%-3.69%-0.51%
201663.32%3.65%$24,020$21,3910.27%6.92%6.93%8.97%0.83%-2.42%4.56%3.09%
201673.24%3.50%$24,798$22,1403.98%4.26%2.10%1.98%5.06%3.98%5.38%1.29%
20168-0.80%-0.64%$24,601$21,9990.21%-3.76%-1.01%-3.26%1.13%0.53%0.88%0.18%
201690.04%0.25%$24,610$22,0540.21%-1.82%-1.51%0.69%0.87%1.34%2.52%-0.32%
201610-2.73%-2.95%$23,939$21,404-2.19%-5.74%-4.38%-2.94%-3.74%-2.22%-0.83%-1.53%
201611-0.42%-1.22%$23,838$21,1424.49%-1.68%-8.21%-8.36%13.34%-1.78%-4.42%-3.17%
2016120.75%1.37%$24,017$21,4311.98%4.82%-0.46%-1.91%3.20%2.71%-0.25%0.84%
201712.49%2.10%$24,614$21,8811.86%-0.19%0.81%5.42%-1.21%3.29%6.66%0.15%
201723.25%2.20%$25,414$22,3613.69%3.51%1.59%3.18%1.35%1.19%1.74%1.32%
20173-0.18%0.32%$25,368$22,4320.06%-2.42%-0.65%-0.43%-0.65%3.23%3.69%-0.29%
201741.29%1.30%$25,694$22,7241.06%0.24%1.57%1.73%0.51%2.42%1.70%1.19%
201750.88%0.94%$25,919$22,9381.01%-0.72%1.89%-0.12%-2.26%3.54%2.85%1.33%
201760.23%0.81%$25,979$23,1240.95%2.23%0.79%-2.16%2.96%0.31%0.93%0.48%
201771.58%1.85%$26,390$23,5511.88%1.24%-0.66%2.31%0.75%2.65%5.82%0.77%
201781.56%0.97%$26,803$23,7790.15%-0.26%3.41%4.20%-2.72%-0.04%2.35%0.68%
201790.37%0.94%$26,903$24,0022.44%-0.11%-2.32%-3.37%8.58%2.36%-0.04%-0.05%
2017101.14%0.76%$27,211$24,1842.17%-1.07%-0.04%-0.75%0.59%1.68%3.28%0.19%
2017112.07%1.34%$27,774$24,5083.03%2.66%0.74%0.36%3.76%0.69%-0.39%-0.12%
2017121.46%1.36%$28,181$24,8421.16%-0.14%1.81%2.11%-0.37%1.35%3.77%1.22%
201813.40%1.80%$29,139$25,2895.23%-4.25%-3.26%3.23%1.33%5.02%8.30%-1.23%
20182-3.30%-4.20%$28,178$24,228-3.76%-7.68%-3.04%-2.08%-4.04%-4.83%-5.90%-2.24%
20183-0.58%0.88%$28,014$24,441-1.95%3.88%2.86%0.63%1.37%-0.84%0.54%0.56%
20184-0.26%-0.36%$27,942$24,3530.45%0.82%-2.09%-0.95%1.76%1.52%-2.82%-1.57%
201851.73%1.14%$28,426$24,6302.72%3.68%2.01%-1.20%5.87%-1.89%-2.62%0.52%
20186-0.26%-0.48%$28,354$24,5110.70%4.20%0.65%-3.61%0.80%-1.57%-4.54%-0.49%
201871.31%1.32%$28,725$24,8353.32%0.60%-1.44%-2.24%2.62%2.85%3.53%1.34%
201881.84%0.29%$29,253$24,9083.43%2.58%1.31%-2.14%3.14%-2.24%-3.77%0.02%
20189-0.49%-1.10%$29,109$24,6350.20%-2.64%-2.86%-0.66%-3.05%0.97%-0.58%-0.14%
201810-4.53%-5.00%$27,791$23,402-7.41%-2.93%-2.93%2.12%-9.94%-8.13%-8.76%-2.05%
2018111.62%1.80%$28,241$23,8242.01%4.67%1.79%0.34%0.57%0.50%4.90%-0.36%
201812-3.65%-3.21%$27,210$23,059-9.16%-7.96%5.85%4.94%-12.38%-5.35%-3.50%1.86%
201916.03%7.03%$28,851$24,6818.54%11.85%0.38%2.89%12.26%6.63%10.34%3.37%
201921.83%0.90%$29,380$24,9033.56%0.70%-1.38%-0.61%4.13%2.54%-1.53%-0.20%
201931.40%1.33%$29,790$25,2351.42%4.21%5.57%-1.60%-3.91%0.92%1.13%2.93%
201941.95%1.39%$30,370$25,5873.93%-0.16%-1.99%-0.66%4.32%2.93%2.35%0.44%
20195-2.50%-2.30%$29,611$24,998-6.45%0.14%6.84%1.76%-9.98%-5.03%-7.33%1.65%
201966.30%5.07%$31,477$26,2667.08%1.54%0.95%8.00%7.66%5.91%6.20%3.25%
201970.92%0.04%$31,766$26,2771.41%1.70%0.26%0.01%1.30%-1.95%-2.66%0.25%
201982.24%1.71%$32,479$26,726-2.08%3.75%11.04%7.91%-5.14%-1.92%-3.78%3.88%
20199-0.08%0.91%$32,455$26,9701.78%1.93%-2.68%-3.39%5.57%3.16%1.69%-0.76%
2019101.71%1.84%$33,008$27,4662.11%1.13%-1.11%2.56%2.00%3.39%4.18%0.44%
Portfolio return and risk metrics
MetricMaximum Return at 10.00% VolatilityEqual Weighted
Arithmetic Mean (monthly)0.76%0.67%
Arithmetic Mean (annualized)9.55%8.30%
Geometric Mean (monthly)0.72%0.61%
Geometric Mean (annualized)9.02%7.58%
Volatility (monthly)2.85%3.34%
Volatility (annualized)9.88%11.56%
Downside Deviation (monthly)1.81%2.20%
Max. Drawdown-29.88%-36.98%
US Market Correlation0.870.87
Beta(*)0.590.68
Alpha (annualized)3.54%1.46%
R275.48%74.83%
Sharpe Ratio0.810.59
Sortino Ratio1.260.89
Treynor Ratio (%)13.6710.04
Calmar Ratio1.620.98
Active Return0.19%-1.25%
Tracking Error7.79%7.43%
Information Ratio0.02-0.17
Skewness-0.96-0.80
Excess Kurtosis4.824.81
Historical Value-at-Risk (5%)-3.81%-4.51%
Analytical Value-at-Risk (5%)-3.91%-4.80%
Conditional Value-at-Risk (5%)-6.15%-7.65%
Upside Capture Ratio (%)62.9866.26
Downside Capture Ratio (%)47.7961.08
Safe Withdrawal Rate11.31%10.84%
Perpetual Withdrawal Rate6.89%5.56%
Positive Periods103 out of 166 (62.05%)103 out of 166 (62.05%)
Gain/Loss Ratio1.271.07
* 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 2009-29.88%-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 monthsApr 20101 year 2 months2 years 6 months-29.88%
2Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-7.17%
3Sep 2018Dec 20184 monthsFeb 20192 months6 months-6.98%
4May 2011Sep 20115 monthsOct 20111 month6 months-6.02%
5May 2010Jun 20102 monthsSep 20103 months5 months-5.50%
6May 2013Jun 20132 monthsSep 20133 months5 months-4.85%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-4.11%
8May 2012May 20121 monthJul 20122 months3 months-3.89%
9Aug 2016Nov 20164 monthsFeb 20173 months7 months-3.87%
10May 2006Jun 20062 monthsSep 20063 months5 months-3.06%
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 ETF8.95%14.66%33.45%-36.98%-50.84%0.580.841.00
VNQVanguard Real Estate ETF7.94%22.84%35.30%-37.00%-68.30%0.400.580.72
TLTiShares 20+ Year Treasury Bond ETF6.63%13.40%33.96%-21.80%-21.80%0.460.81-0.32
GLDSPDR Gold Shares7.62%17.79%30.45%-28.33%-42.91%0.440.700.04
IJSiShares S&P Small-Cap 600 Value ETF8.13%19.18%39.34%-29.39%-54.13%0.440.650.91
EFAiShares MSCI EAFE ETF3.85%17.25%26.95%-41.04%-57.38%0.240.340.89
EEMiShares MSCI Emerging Markets ETF4.62%22.25%68.93%-48.88%-60.44%0.260.390.80
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.58%7.24%16.20%-3.79%-15.11%0.631.040.27

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIVNQTLTGLDIJSEFAEEMLQDMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF-0.73-0.330.040.910.890.800.270.870.86
VNQVanguard Real Estate ETF0.73-0.010.090.730.670.600.430.720.84
TLTiShares 20+ Year Treasury Bond ETF-0.330.01-0.21-0.35-0.24-0.230.52-0.000.00
GLDSPDR Gold Shares0.040.090.21--0.020.150.290.260.490.37
IJSiShares S&P Small-Cap 600 Value ETF0.910.73-0.35-0.02-0.760.690.190.760.80
EFAiShares MSCI EAFE ETF0.890.67-0.240.150.76-0.880.370.830.89
EEMiShares MSCI Emerging Markets ETF0.800.60-0.230.290.690.88-0.350.800.87
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.270.430.520.260.190.370.35-0.470.55

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF78.87%13.71%
VNQVanguard Real Estate ETF1.28%20.69%
TLTiShares 20+ Year Treasury Bond ETF-0.01%0.07%
GLDSPDR Gold Shares19.87%7.04%
IJSiShares S&P Small-Cap 600 Value ETF16.64%
EFAiShares MSCI EAFE ETF16.55%
EEMiShares MSCI Emerging Markets ETF21.02%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.28%

Annual Asset Returns

Rolling returns summary
Roll PeriodMaximum Return at 10.00% VolatilityEqual Weighted
AverageHighLowAverageHighLow
1 year8.57%19.80%-19.16%7.35%23.38%-21.23%
3 years8.02%15.97%1.29%6.56%15.10%0.64%
5 years8.92%13.83%6.50%7.37%12.71%4.45%
7 years9.04%11.10%7.68%7.50%9.63%5.79%
10 years8.49%10.10%7.62%7.03%8.50%6.02%
Result statistics are based on annualized rolling returns over full calendar year periods