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 - Mar 2020)

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 6.76% to 9.33%. 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 29.61%
TLT iShares 20+ Year Treasury Bond ETF 26.74%
GLD SPDR Gold Shares 43.65%
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$31,682$24,142
CAGR8.43%6.38%
Expected Return 8.94% 7.14%
Stdev9.76%11.87%
Best Year21.14%23.38%
Worst Year-8.63%-21.23%
Max. Drawdown -18.80% -36.98%
Sharpe Ratio (ex-ante)0.790.50
Sharpe Ratio (ex-post)0.760.48
Sortino Ratio1.290.70
US Stock Market Correlation0.360.87
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • 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 information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • 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.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on full calendar months from January to March
  • 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 (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetCAGRExpected Return*Standard DeviationSharpe Ratio*Min. WeightMax. Weight
1Vanguard Total Stock Market ETF (VTI)7.39%8.65%15.17%0.4920.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)4.79%7.06%20.46%0.2870.00%100.00%
3iShares MSCI EAFE ETF (EFA)2.14%3.76%17.59%0.1460.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)3.02%5.68%22.52%0.2000.00%100.00%
5Vanguard Real Estate ETF (VNQ)5.59%8.57%23.23%0.3180.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)7.66%8.62%13.56%0.5480.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)5.27%5.55%7.38%0.5910.00%100.00%
8SPDR Gold Shares (GLD)7.68%9.33%17.61%0.4630.00%100.00%
*Expected return is annualized from historical monthly mean return. Ex ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate (1.19% annualized).

Monthly Correlations

Efficient Frontier Asset Correlations
NameTickerVTIIJSEFAEEMVNQTLTLQDGLD
Vanguard Total Stock Market ETFVTI1.000.910.890.800.74-0.360.310.04
iShares S&P Small-Cap 600 Value ETFIJS0.911.000.780.700.75-0.390.24-0.01
iShares MSCI EAFE ETFEFA0.890.781.000.890.69-0.280.400.15
iShares MSCI Emerging Markets ETFEEM0.800.700.891.000.61-0.260.370.28
Vanguard Real Estate ETFVNQ0.740.750.690.611.00-0.020.460.09
iShares 20+ Year Treasury Bond ETFTLT-0.36-0.39-0.28-0.26-0.021.000.480.21
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.310.240.400.370.460.481.000.26
SPDR Gold SharesGLD0.04-0.010.150.280.090.210.261.00
Based on monthly returns from Jan 2006 to Mar 2020
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return*Standard Deviation*Sharpe Ratio*
116.62%0.00%0.00%0.00%0.00%15.54%61.85%5.99%6.76%6.99%0.798
216.95%0.00%0.00%0.00%0.00%15.95%61.03%6.07%6.78%6.99%0.801
317.27%0.00%0.00%0.00%0.00%16.36%60.21%6.16%6.81%6.99%0.805
417.59%0.00%0.00%0.00%0.00%16.76%59.40%6.25%6.84%6.99%0.808
517.92%0.00%0.00%0.00%0.00%17.17%58.58%6.33%6.86%6.99%0.812
618.24%0.00%0.00%0.00%0.00%17.58%57.76%6.42%6.89%6.99%0.816
718.56%0.00%0.00%0.00%0.00%17.99%56.95%6.50%6.91%6.99%0.819
818.88%0.00%0.00%0.00%0.00%18.40%56.13%6.59%6.94%6.99%0.822
919.21%0.00%0.00%0.00%0.00%18.81%55.31%6.68%6.96%7.00%0.826
1019.53%0.00%0.00%0.00%0.00%19.22%54.49%6.76%6.99%7.00%0.829
1119.85%0.00%0.00%0.00%0.00%19.62%53.68%6.85%7.02%7.00%0.832
1220.17%0.00%0.00%0.00%0.00%20.03%52.86%6.94%7.04%7.01%0.836
1320.50%0.00%0.00%0.00%0.00%20.44%52.04%7.02%7.07%7.01%0.839
1420.82%0.00%0.00%0.00%0.00%20.85%51.22%7.11%7.09%7.01%0.842
1521.14%0.00%0.00%0.00%0.00%21.26%50.41%7.20%7.12%7.02%0.845
1621.46%0.00%0.00%0.00%0.00%21.67%49.59%7.28%7.14%7.02%0.848
1721.79%0.00%0.00%0.00%0.00%22.07%48.77%7.37%7.17%7.03%0.851
1822.11%0.00%0.00%0.00%0.00%22.48%47.95%7.45%7.20%7.03%0.854
1922.43%0.00%0.00%0.00%0.00%22.89%47.14%7.54%7.22%7.04%0.857
2022.76%0.00%0.00%0.00%0.00%23.30%46.32%7.63%7.25%7.05%0.860
2123.08%0.00%0.00%0.00%0.00%23.71%45.50%7.71%7.27%7.05%0.863
2223.40%0.00%0.00%0.00%0.00%24.12%44.68%7.80%7.30%7.06%0.866
2323.72%0.00%0.00%0.00%0.00%24.53%43.87%7.89%7.33%7.07%0.869
2424.05%0.00%0.00%0.00%0.00%24.93%43.05%7.97%7.35%7.07%0.871
2524.37%0.00%0.00%0.00%0.00%25.34%42.23%8.06%7.38%7.08%0.874
2624.69%0.00%0.00%0.00%0.00%25.75%41.41%8.14%7.40%7.09%0.877
2725.01%0.00%0.00%0.00%0.00%26.16%40.60%8.23%7.43%7.10%0.879
2825.34%0.00%0.00%0.00%0.00%26.57%39.78%8.32%7.45%7.11%0.882
2925.66%0.00%0.00%0.00%0.00%26.98%38.96%8.40%7.48%7.12%0.884
3025.98%0.00%0.00%0.00%0.00%27.38%38.14%8.49%7.51%7.13%0.887
3126.30%0.00%0.00%0.00%0.00%27.79%37.33%8.58%7.53%7.14%0.889
3226.63%0.00%0.00%0.00%0.00%28.20%36.51%8.66%7.56%7.15%0.892
3326.95%0.00%0.00%0.00%0.00%28.61%35.69%8.75%7.58%7.16%0.894
3427.27%0.00%0.00%0.00%0.00%29.02%34.87%8.84%7.61%7.17%0.896
3527.60%0.00%0.00%0.00%0.00%29.43%34.06%8.92%7.64%7.18%0.899
3627.92%0.00%0.00%0.00%0.00%29.84%33.24%9.01%7.66%7.19%0.901
3728.24%0.00%0.00%0.00%0.00%30.24%32.42%9.09%7.69%7.20%0.903
3828.56%0.00%0.00%0.00%0.00%30.65%31.60%9.18%7.71%7.21%0.905
3928.89%0.00%0.00%0.00%0.00%31.06%30.79%9.27%7.74%7.22%0.907
4029.21%0.00%0.00%0.00%0.00%31.47%29.97%9.35%7.77%7.24%0.909
4129.53%0.00%0.00%0.00%0.00%31.88%29.15%9.44%7.79%7.25%0.911
4229.85%0.00%0.00%0.00%0.00%32.29%28.33%9.53%7.82%7.26%0.913
4330.18%0.00%0.00%0.00%0.00%32.69%27.52%9.61%7.84%7.28%0.915
4430.50%0.00%0.00%0.00%0.00%33.10%26.70%9.70%7.87%7.29%0.917
4530.82%0.00%0.00%0.00%0.00%33.51%25.88%9.79%7.90%7.30%0.919
4631.14%0.00%0.00%0.00%0.00%33.92%25.06%9.87%7.92%7.32%0.920
4731.47%0.00%0.00%0.00%0.00%34.33%24.25%9.96%7.95%7.33%0.922
4831.79%0.00%0.00%0.00%0.00%34.74%23.43%10.04%7.97%7.35%0.924
4932.11%0.00%0.00%0.00%0.00%35.15%22.61%10.13%8.00%7.36%0.925
5032.44%0.00%0.00%0.00%0.00%35.55%21.79%10.22%8.03%7.38%0.927
5132.76%0.00%0.00%0.00%0.00%35.96%20.98%10.30%8.05%7.39%0.928
5233.08%0.00%0.00%0.00%0.00%36.37%20.16%10.39%8.08%7.41%0.930
5333.40%0.00%0.00%0.00%0.00%36.78%19.34%10.48%8.10%7.43%0.931
5433.73%0.00%0.00%0.00%0.00%37.19%18.52%10.56%8.13%7.44%0.933
5534.05%0.00%0.00%0.00%0.00%37.60%17.71%10.65%8.16%7.46%0.934
5634.37%0.00%0.00%0.00%0.00%38.00%16.89%10.73%8.18%7.48%0.936
5734.69%0.00%0.00%0.00%0.00%38.41%16.07%10.82%8.21%7.50%0.937
5835.02%0.00%0.00%0.00%0.00%38.82%15.25%10.91%8.23%7.51%0.938
5935.34%0.00%0.00%0.00%0.00%39.23%14.44%10.99%8.26%7.53%0.939
6035.66%0.00%0.00%0.00%0.00%39.64%13.62%11.08%8.29%7.55%0.940
6135.98%0.00%0.00%0.00%0.00%40.05%12.80%11.17%8.31%7.57%0.942
6236.31%0.00%0.00%0.00%0.00%40.45%11.98%11.25%8.34%7.59%0.943
6336.63%0.00%0.00%0.00%0.00%40.86%11.17%11.34%8.36%7.61%0.944
6436.95%0.00%0.00%0.00%0.00%41.27%10.35%11.43%8.39%7.63%0.945
6537.28%0.00%0.00%0.00%0.00%41.68%9.53%11.51%8.42%7.64%0.946
6637.60%0.00%0.00%0.00%0.00%42.09%8.72%11.60%8.44%7.66%0.947
6737.92%0.00%0.00%0.00%0.00%42.50%7.90%11.68%8.47%7.68%0.948
6838.24%0.00%0.00%0.00%0.00%42.91%7.08%11.77%8.50%7.70%0.949
6938.57%0.00%0.00%0.00%0.00%43.31%6.26%11.86%8.52%7.73%0.949
7038.89%0.00%0.00%0.00%0.00%43.72%5.45%11.94%8.55%7.75%0.950
7139.21%0.00%0.00%0.00%0.00%44.13%4.63%12.03%8.57%7.77%0.951
7239.53%0.00%0.00%0.00%0.00%44.54%3.81%12.12%8.60%7.79%0.952
7339.86%0.00%0.00%0.00%0.00%44.95%2.99%12.20%8.63%7.81%0.953
7440.18%0.00%0.00%0.00%0.00%45.36%2.18%12.29%8.65%7.83%0.953
7540.50%0.00%0.00%0.00%0.00%45.76%1.36%12.38%8.68%7.85%0.954
7640.82%0.00%0.00%0.00%0.00%46.17%0.54%12.46%8.70%7.88%0.954
7740.57%0.00%0.00%0.00%0.00%45.64%0.00%13.78%8.73%7.90%0.955
7839.20%0.00%0.00%0.00%0.00%43.28%0.00%17.52%8.76%7.97%0.950
7937.83%0.00%0.00%0.00%0.00%40.92%0.00%21.25%8.78%8.09%0.939
8036.46%0.00%0.00%0.00%0.00%38.55%0.00%24.98%8.81%8.26%0.923
8135.09%0.00%0.00%0.00%0.00%36.19%0.00%28.72%8.84%8.48%0.902
8233.72%0.00%0.00%0.00%0.00%33.83%0.00%32.45%8.86%8.74%0.878
8332.35%0.00%0.00%0.00%0.00%31.46%0.00%36.18%8.89%9.05%0.851
8430.98%0.00%0.00%0.00%0.00%29.10%0.00%39.92%8.91%9.39%0.823
8529.61%0.00%0.00%0.00%0.00%26.74%0.00%43.65%8.94%9.76%0.795
8628.24%0.00%0.00%0.00%0.00%24.37%0.00%47.38%8.97%10.16%0.766
8726.87%0.00%0.00%0.00%0.00%22.01%0.00%51.12%8.99%10.59%0.737
8825.50%0.00%0.00%0.00%0.00%19.65%0.00%54.85%9.02%11.04%0.710
8924.13%0.00%0.00%0.00%0.00%17.29%0.00%58.58%9.04%11.50%0.683
9022.76%0.00%0.00%0.00%0.00%14.92%0.00%62.32%9.07%11.99%0.658
9121.39%0.00%0.00%0.00%0.00%12.56%0.00%66.05%9.10%12.49%0.633
9220.02%0.00%0.00%0.00%0.00%10.20%0.00%69.78%9.12%13.01%0.610
9318.65%0.00%0.00%0.00%0.00%7.83%0.00%73.52%9.15%13.54%0.588
9417.28%0.00%0.00%0.00%0.00%5.47%0.00%77.25%9.18%14.08%0.568
9515.91%0.00%0.00%0.00%0.00%3.11%0.00%80.99%9.20%14.62%0.548
9614.54%0.00%0.00%0.00%0.00%0.74%0.00%84.72%9.23%15.18%0.530
9711.48%0.00%0.00%0.00%0.00%0.00%0.00%88.52%9.26%15.75%0.512
987.66%0.00%0.00%0.00%0.00%0.00%0.00%92.34%9.28%16.35%0.495
993.83%0.00%0.00%0.00%0.00%0.00%0.00%96.17%9.31%16.97%0.479
1000.00%0.00%0.00%0.00%0.00%0.00%0.00%100.00%9.33%17.61%0.463
*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 (1.19% annualized).
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Market ETF (VTI)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)Vanguard Real Estate ETF (VNQ)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
Maximum Return at 10.00% VolatilityEqual WeightedMaximum Return at 10.00% VolatilityEqual Weighted
20062.54%14.92%19.39%$11,492$11,93915.69%0.71%22.55%19.37%25.81%31.19%35.30%4.22%
20074.08%17.52%8.39%$13,506$12,9415.37%10.29%30.45%-5.56%9.94%33.31%-16.50%3.73%
20080.09%-1.99%-21.23%$13,238$10,194-36.98%33.93%4.92%-29.39%-41.04%-48.88%-37.00%2.40%
20092.72%12.42%23.38%$14,882$12,57728.89%-21.80%24.03%22.36%26.95%68.93%30.08%8.46%
20101.50%21.12%18.79%$18,025$14,94117.42%9.05%29.27%24.69%8.15%16.51%28.37%9.33%
20112.96%14.50%4.04%$20,639$15,5450.97%33.96%9.57%-1.65%-12.25%-18.82%8.62%9.73%
20121.74%8.95%14.22%$22,487$17,75616.45%2.63%6.60%18.24%18.82%19.10%17.63%10.58%
20131.50%-8.63%4.45%$20,545$18,54633.45%-13.37%-28.33%39.34%21.40%-3.69%2.31%-2.00%
20140.76%9.74%8.88%$22,546$20,19312.54%27.30%-2.19%7.56%-6.20%-3.93%30.36%8.21%
20150.73%-4.53%-3.92%$21,525$19,4010.36%-1.79%-10.67%-6.90%-1.00%-16.18%2.42%-1.25%
20162.07%8.26%10.46%$23,302$21,43112.83%1.18%8.03%31.25%1.37%10.87%8.60%6.21%
20172.11%14.36%15.92%$26,647$24,84221.21%9.18%12.81%11.35%25.10%37.28%4.91%7.06%
20181.91%-2.35%-7.18%$26,021$23,059-5.21%-1.61%-1.94%-12.84%-13.81%-15.31%-6.02%-3.79%
20192.29%21.14%22.27%$31,523$28,19530.67%14.12%17.86%24.12%22.03%18.20%28.87%17.37%
20200.66%0.50%-14.38%$31,682$24,142-20.84%22.15%3.60%-37.50%-23.01%-23.94%-24.16%-2.97%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)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)Vanguard Real Estate ETF (VNQ)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
Maximum Return at 10.00% VolatilityEqual WeightedMaximum Return at 10.00% VolatilityEqual Weighted
200614.93%5.95%$10,493$10,5953.22%-1.34%9.93%8.75%5.77%14.20%7.54%-0.44%
20062-0.12%-0.19%$10,480$10,5750.22%1.11%-1.11%0.27%-0.70%-3.85%1.86%0.68%
200630.97%1.90%$10,581$10,7762.05%-4.57%3.62%4.86%4.01%2.17%4.73%-1.68%
200644.80%2.26%$11,089$11,0200.96%-2.75%12.03%0.18%4.79%6.52%-3.40%-0.20%
20065-1.58%-3.39%$10,914$10,646-3.22%-0.19%-1.32%-4.55%-3.82%-11.14%-2.70%-0.19%
20066-1.69%0.21%$10,730$10,6690.13%1.18%-4.67%0.04%-0.06%0.21%4.95%-0.09%
200671.92%1.33%$10,936$10,810-0.12%2.16%3.15%-3.10%0.81%2.34%3.89%1.46%
200680.90%2.07%$11,034$11,0332.30%3.06%-1.38%2.70%2.55%1.58%3.48%2.22%
20069-0.80%0.38%$10,946$11,0752.26%1.91%-4.53%1.19%0.22%-0.87%1.96%0.87%
2006101.84%3.63%$11,147$11,4773.53%0.85%1.29%5.52%3.75%7.06%6.03%1.00%
2006114.31%3.65%$11,628$11,8962.33%2.31%6.89%2.38%3.07%5.98%4.78%1.46%
200612-1.16%0.36%$11,492$11,9391.20%-2.69%-1.83%0.32%3.20%5.44%-1.83%-0.90%
200711.40%1.99%$11,654$12,1771.86%-1.00%2.56%2.14%1.39%0.11%8.78%0.09%
200721.54%-0.08%$11,833$12,167-1.62%3.39%2.55%-0.92%-0.12%-3.24%-2.70%2.00%
20073-0.61%0.59%$11,761$12,2381.12%-1.70%-1.11%0.91%2.90%5.33%-2.07%-0.68%
200742.33%2.13%$12,035$12,4994.02%0.90%2.05%1.84%3.75%3.73%-0.13%0.89%
20075-0.52%1.19%$11,971$12,6493.72%-2.31%-2.31%4.63%2.36%5.06%-0.38%-1.23%
20076-1.64%-1.67%$11,775$12,437-1.76%-1.01%-1.94%-2.24%-0.32%3.68%-8.99%-0.81%
200770.87%-1.85%$11,878$12,207-3.53%3.32%2.37%-6.26%-2.29%0.71%-8.26%-0.82%
200781.40%1.90%$12,044$12,4401.47%1.79%1.11%1.33%-0.63%1.04%6.74%2.38%
200795.79%4.55%$12,741$13,0063.85%0.23%10.51%0.31%5.32%11.57%3.90%0.73%
2007104.05%3.85%$13,257$13,5071.79%1.81%6.95%1.06%4.25%11.87%2.10%0.97%
200711-0.63%-3.46%$13,174$13,039-4.52%5.35%-1.65%-7.15%-3.62%-7.65%-9.47%1.02%
2007122.53%-0.75%$13,506$12,941-0.70%-0.64%6.65%-0.71%-2.99%-1.43%-5.41%-0.81%
200813.47%-1.53%$13,975$12,743-6.17%2.10%10.84%-4.00%-7.85%-8.92%-0.78%2.57%
200821.42%-0.50%$14,173$12,680-2.50%-0.46%5.23%-3.36%-1.02%1.99%-3.18%-0.71%
20083-2.31%-0.17%$13,846$12,658-0.90%2.14%-6.00%0.83%0.42%-3.75%6.48%-0.60%
20084-1.03%2.89%$13,703$13,0234.89%-2.48%-4.16%2.64%5.44%9.14%6.38%1.25%
200850.28%0.76%$13,741$13,1222.02%-2.69%0.92%3.92%1.19%3.16%-0.21%-2.21%
200860.28%-4.92%$13,779$12,477-8.12%2.65%4.52%-8.41%-8.80%-9.29%-10.62%-1.29%
20087-0.91%-0.61%$13,653$12,401-0.62%-0.37%-1.44%2.87%-3.32%-5.50%3.12%0.39%
20088-2.89%-1.05%$13,259$12,2711.46%2.74%-9.29%4.76%-4.25%-6.32%2.37%0.15%
20089-0.55%-5.68%$13,186$11,574-9.24%1.47%4.11%-4.82%-11.44%-14.68%-0.11%-10.73%
200810-12.72%-16.93%$11,509$9,615-17.48%-1.86%-16.14%-19.86%-20.83%-25.58%-31.73%-1.95%
2008116.95%-3.55%$12,309$9,273-8.01%14.34%12.57%-11.80%-6.37%-9.75%-22.72%3.35%
2008127.55%9.93%$13,238$10,1941.78%13.64%7.73%6.57%8.88%10.35%16.67%13.80%
20091-3.46%-8.98%$12,780$9,278-8.05%-13.07%5.54%-13.94%-13.73%-9.29%-17.53%-1.80%
20092-2.90%-8.25%$12,409$8,512-10.53%-1.54%1.45%-13.03%-10.39%-6.27%-20.53%-5.20%
200932.42%5.84%$12,710$9,0098.26%4.04%-2.54%7.58%8.39%16.86%3.61%0.47%
20094-0.06%10.02%$12,702$9,91110.99%-6.95%-3.33%18.89%11.52%15.56%30.68%2.78%
200955.10%5.84%$13,350$10,4915.46%-3.69%10.23%0.67%13.19%15.94%2.62%2.32%
20096-1.97%-0.82%$13,087$10,4040.36%0.76%-5.22%1.52%-1.43%-2.25%-3.23%2.89%
200973.48%7.27%$13,543$11,1607.74%0.58%2.38%11.00%10.04%11.01%10.77%4.63%
200981.72%3.54%$13,776$11,5553.71%2.24%0.05%3.48%4.50%-1.31%14.32%1.31%
200994.43%4.88%$14,386$12,1194.14%2.46%5.84%4.21%3.80%10.20%6.63%1.76%
2009100.15%-2.32%$14,407$11,838-2.63%-2.62%3.72%-6.07%-2.52%-3.44%-4.46%-0.49%
2009117.59%5.36%$15,501$12,4735.69%1.21%12.79%2.90%3.92%7.85%6.57%1.95%
200912-3.99%0.84%$14,882$12,5772.86%-6.34%-7.20%8.10%0.70%3.27%7.37%-2.07%
20101-0.89%-2.72%$14,750$12,235-3.57%2.69%-1.26%-2.54%-5.07%-7.76%-5.52%1.25%
201022.36%2.41%$15,098$12,5303.44%-0.34%3.27%4.76%0.27%1.78%5.58%0.51%
201031.15%4.63%$15,272$13,1106.40%-2.06%-0.44%7.80%6.39%8.11%10.18%0.65%
201044.10%3.01%$15,898$13,5052.18%3.32%5.88%6.63%-2.80%-0.17%7.15%1.91%
201050.36%-4.44%$15,956$12,906-7.88%5.11%3.05%-8.54%-11.19%-9.39%-5.33%-1.31%
201060.85%-1.42%$16,092$12,723-5.83%5.80%2.36%-8.27%-2.07%-1.40%-5.19%3.28%
20107-0.39%5.24%$16,028$13,3907.02%-0.95%-5.09%6.71%11.61%10.93%9.59%2.11%
201083.34%-0.50%$16,564$13,323-4.71%8.40%5.71%-7.91%-3.80%-3.24%-1.28%2.86%
201094.21%6.16%$17,261$14,1449.45%-2.51%4.78%10.93%9.97%11.76%4.45%0.46%
2010101.60%2.32%$17,538$14,4724.03%-4.47%3.68%4.04%3.81%3.02%4.74%-0.26%
2010110.62%-0.97%$17,647$14,3310.51%-1.69%2.11%2.47%-4.82%-2.91%-1.85%-1.62%
2010122.14%4.25%$18,025$14,9416.96%-3.68%2.44%8.97%8.30%7.27%4.54%-0.75%
20111-3.00%-0.76%$17,484$14,8272.05%-3.08%-6.38%-0.24%2.10%-3.84%3.25%0.04%
201124.15%3.11%$18,210$15,2873.70%1.65%6.00%4.21%3.55%-0.04%4.71%1.08%
201130.83%0.75%$18,361$15,4020.42%0.03%1.60%2.21%-2.39%6.29%-1.62%-0.54%
201145.39%3.98%$19,350$16,0152.90%2.34%8.94%1.06%5.63%2.73%5.75%2.50%
20115-0.18%-0.46%$19,315$15,941-1.06%3.42%-1.79%-1.77%-2.21%-2.94%1.37%1.27%
20116-2.22%-1.80%$18,887$15,655-1.79%-2.33%-2.43%-1.59%-1.19%-0.93%-3.30%-0.80%
201174.18%1.05%$19,677$15,819-2.27%4.42%8.42%-2.77%-2.38%-1.03%1.56%2.43%
201186.14%-1.93%$20,885$15,514-6.09%9.66%12.27%-7.98%-8.75%-9.25%-5.62%0.34%
20119-3.54%-6.90%$20,145$14,443-7.57%13.20%-11.06%-10.57%-10.81%-17.89%-10.85%0.35%
2011104.90%8.93%$21,133$15,73311.37%-3.84%5.87%15.34%9.63%16.27%14.29%2.51%
2011111.15%-0.90%$21,375$15,592-0.37%1.98%1.67%0.63%-2.18%-1.96%-3.80%-3.16%
201112-3.44%-0.30%$20,639$15,5450.98%3.44%-10.66%2.02%-2.21%-4.30%4.85%3.49%
201216.39%6.10%$21,957$16,4935.07%-0.33%11.40%7.90%5.27%10.99%6.38%2.14%
20122-0.74%1.37%$21,795$16,7194.22%-2.59%-2.96%1.71%4.83%5.27%-1.15%1.63%
20123-0.80%0.18%$21,620$16,7503.06%-4.23%-1.32%2.89%0.42%-3.11%5.19%-1.42%
201241.04%0.29%$21,845$16,798-0.64%4.83%-0.15%-1.91%-2.08%-1.70%2.86%1.08%
20125-2.20%-4.54%$21,365$16,036-6.23%9.03%-6.34%-7.18%-11.14%-10.71%-4.51%0.76%
201261.78%3.48%$21,745$16,5944.05%-1.68%2.35%4.54%7.11%5.08%5.52%0.87%
201271.64%1.30%$22,103$16,8090.88%3.82%0.84%-0.69%0.08%-0.03%2.00%3.48%
201282.60%1.74%$22,678$17,1022.70%-1.32%4.94%4.08%3.20%0.41%-0.01%-0.05%
201292.10%1.87%$23,155$17,4222.49%-2.53%4.67%3.14%2.71%5.22%-1.86%1.10%
201210-1.95%-0.76%$22,703$17,289-1.81%-0.48%-2.94%-1.96%1.09%-0.44%-0.91%1.35%
2012110.39%0.87%$22,793$17,4400.77%1.38%-0.47%1.65%2.78%1.56%-0.26%-0.42%
201212-1.34%1.81%$22,487$17,7561.29%-2.49%-2.43%3.55%4.37%6.80%3.72%-0.33%
201310.53%1.62%$22,606$18,0435.42%-3.19%-0.51%5.35%3.73%-0.29%3.74%-1.30%
20132-1.51%-0.28%$22,265$17,9931.28%1.24%-5.09%1.63%-1.29%-2.28%1.22%1.08%
201331.47%1.46%$22,592$18,2563.95%-0.42%0.95%4.11%1.31%-1.02%2.87%-0.05%
20134-1.57%1.75%$22,237$18,5751.61%4.68%-7.56%0.12%5.02%1.22%6.73%2.17%
20135-3.79%-2.91%$21,394$18,0352.44%-6.76%-6.20%4.29%-3.02%-4.83%-5.98%-3.22%
20136-6.13%-3.65%$20,083$17,377-1.43%-3.27%-11.06%-0.14%-2.70%-5.35%-1.98%-3.27%
201374.34%3.27%$20,955$17,9455.75%-2.26%7.43%6.56%5.32%1.32%0.90%1.11%
201381.02%-1.88%$21,168$17,607-3.03%-1.34%5.20%-3.41%-1.96%-2.54%-6.98%-1.00%
20139-0.76%3.20%$21,008$18,1713.90%0.66%-4.78%6.59%7.82%7.21%3.49%0.74%
2013101.50%2.82%$21,322$18,6844.27%1.43%-0.34%3.48%3.26%4.17%4.52%1.81%
201311-2.33%-0.79%$20,826$18,5362.70%-2.70%-5.51%4.25%0.55%-0.26%-5.25%-0.14%
201312-1.35%0.05%$20,545$18,5462.73%-1.87%-3.79%1.29%2.16%-0.42%0.10%0.22%
201412.24%-0.58%$21,005$18,438-3.17%6.30%3.42%-3.51%-5.20%-8.64%4.28%1.88%
201424.32%4.00%$21,912$19,1764.87%0.52%6.27%4.63%6.13%3.38%5.07%1.14%
20143-1.03%0.41%$21,688$19,2550.51%0.73%-3.14%1.34%-0.46%3.88%0.49%-0.03%
201440.79%0.93%$21,860$19,4340.06%2.10%0.49%-2.29%1.67%0.78%3.29%1.33%
201450.08%1.38%$21,877$19,7032.10%2.95%-3.05%0.62%1.60%2.95%2.40%1.51%
201463.47%2.13%$22,636$20,1222.62%-0.25%6.32%3.85%0.92%2.40%1.13%0.01%
20147-2.00%-1.44%$22,184$19,832-1.99%0.67%-3.63%-5.07%-2.60%1.36%0.08%-0.32%
201482.66%2.72%$22,773$20,3724.15%4.72%0.38%4.46%0.18%2.83%3.04%2.00%
20149-3.88%-4.46%$21,889$19,463-2.10%-2.11%-6.18%-5.94%-3.88%-7.77%-6.04%-1.68%
2014100.23%2.74%$21,940$19,9972.75%2.81%-3.05%7.13%-0.27%1.42%9.94%1.23%
2014111.31%0.86%$22,229$20,1692.48%2.97%-0.49%0.48%0.06%-1.54%2.00%0.91%
2014121.43%0.12%$22,546$20,193-0.04%3.25%1.31%2.56%-4.00%-3.99%1.88%-0.02%
201515.61%2.62%$23,811$20,723-2.74%9.82%8.69%-5.32%0.62%-0.69%6.85%3.75%
20152-2.52%0.65%$23,211$20,8585.74%-6.14%-5.91%5.86%6.34%4.41%-3.67%-1.42%
20153-0.99%-0.27%$22,982$20,801-1.16%1.10%-2.15%1.03%-1.43%-1.50%1.74%0.20%
20154-0.81%-0.17%$22,796$20,7660.62%-3.43%-0.17%-1.82%3.65%6.85%-5.85%-1.19%
20155-0.01%-0.64%$22,794$20,6341.30%-2.37%0.56%0.75%0.20%-4.10%-0.30%-1.12%
20156-2.25%-2.43%$22,282$20,133-1.67%-4.07%-1.52%0.42%-3.12%-2.93%-4.68%-1.88%
20157-1.17%-0.09%$22,022$20,1141.70%4.55%-6.62%-2.70%2.03%-6.31%5.77%0.83%
20158-0.37%-3.88%$21,940$19,333-6.09%-0.69%3.71%-4.62%-7.43%-8.84%-6.29%-0.83%
20159-1.13%-1.23%$21,693$19,095-2.92%1.97%-1.80%-3.77%-4.42%-3.13%3.05%1.19%
2015103.23%4.46%$22,394$19,9467.91%-0.41%2.28%6.57%6.61%6.38%5.76%0.57%
201511-3.00%-1.08%$21,722$19,7320.60%-0.87%-6.75%2.47%-0.75%-2.52%-0.63%-0.15%
201512-0.91%-1.67%$21,525$19,401-2.13%-0.30%-0.45%-5.08%-2.34%-3.83%1.82%-1.08%
201612.16%-1.81%$21,989$19,051-5.72%5.57%5.41%-5.85%-5.52%-5.03%-3.44%0.12%
201625.59%1.58%$23,219$19,351-0.01%3.09%10.93%2.08%-3.33%-0.82%-0.36%1.05%
201631.71%6.15%$23,617$20,5427.11%-0.09%-0.84%9.41%6.58%12.96%10.48%3.62%
201642.23%1.12%$24,143$20,7730.66%-0.74%5.11%2.13%2.22%0.41%-2.35%1.55%
20165-1.95%-0.65%$23,672$20,6381.73%0.81%-6.14%0.44%-0.09%-3.69%2.25%-0.51%
201665.85%3.65%$25,057$21,3910.27%6.93%8.97%0.83%-2.42%4.56%6.92%3.09%
201672.60%3.50%$25,710$22,1403.98%2.10%1.98%5.06%3.98%5.38%4.26%1.29%
20168-1.63%-0.64%$25,290$21,9990.21%-1.01%-3.26%1.13%0.53%0.88%-3.76%0.18%
20169-0.04%0.25%$25,280$22,0540.21%-1.51%0.69%0.87%1.34%2.52%-1.82%-0.32%
201610-3.11%-2.95%$24,495$21,404-2.19%-4.38%-2.94%-3.74%-2.22%-0.83%-5.74%-1.53%
201611-4.51%-1.22%$23,389$21,1424.49%-8.21%-8.36%13.34%-1.78%-4.42%-1.68%-3.17%
201612-0.37%1.37%$23,302$21,4311.98%-0.46%-1.91%3.20%2.71%-0.25%4.82%0.84%
201713.13%2.10%$24,032$21,8811.86%0.81%5.42%-1.21%3.29%6.66%-0.19%0.15%
201722.91%2.20%$24,731$22,3613.69%1.59%3.18%1.35%1.19%1.74%3.51%1.32%
20173-0.34%0.32%$24,646$22,4320.06%-0.65%-0.43%-0.65%3.23%3.69%-2.42%-0.29%
201741.49%1.30%$25,013$22,7241.06%1.57%1.73%0.51%2.42%1.70%0.24%1.19%
201750.75%0.94%$25,201$22,9381.01%1.89%-0.12%-2.26%3.54%2.85%-0.72%1.33%
20176-0.45%0.81%$25,088$23,1240.95%0.79%-2.16%2.96%0.31%0.93%2.23%0.48%
201771.39%1.85%$25,436$23,5511.88%-0.66%2.31%0.75%2.65%5.82%1.24%0.77%
201782.79%0.97%$26,146$23,7790.15%3.41%4.20%-2.72%-0.04%2.35%-0.26%0.68%
20179-1.37%0.94%$25,788$24,0022.44%-2.32%-3.37%8.58%2.36%-0.04%-0.11%-0.05%
2017100.31%0.76%$25,866$24,1842.17%-0.04%-0.75%0.59%1.68%3.28%-1.07%0.19%
2017111.25%1.34%$26,190$24,5083.03%0.74%0.36%3.76%0.69%-0.39%2.66%-0.12%
2017121.75%1.36%$26,647$24,8421.16%1.81%2.11%-0.37%1.35%3.77%-0.14%1.22%
201812.09%1.80%$27,205$25,2895.23%-3.26%3.23%1.33%5.02%8.30%-4.25%-1.23%
20182-2.83%-4.20%$26,434$24,228-3.76%-3.04%-2.08%-4.04%-4.83%-5.90%-7.68%-2.24%
201830.46%0.88%$26,556$24,441-1.95%2.86%0.63%1.37%-0.84%0.54%3.88%0.56%
20184-0.84%-0.36%$26,333$24,3530.45%-2.09%-0.95%1.76%1.52%-2.82%0.82%-1.57%
201850.82%1.14%$26,549$24,6302.72%2.01%-1.20%5.87%-1.89%-2.62%3.68%0.52%
20186-1.20%-0.48%$26,231$24,5110.70%0.65%-3.61%0.80%-1.57%-4.54%4.20%-0.49%
20187-0.38%1.32%$26,131$24,8353.32%-1.44%-2.24%2.62%2.85%3.53%0.60%1.34%
201880.43%0.29%$26,245$24,9083.43%1.31%-2.14%3.14%-2.24%-3.77%2.58%0.02%
20189-1.00%-1.10%$25,983$24,6350.20%-2.86%-0.66%-3.05%0.97%-0.58%-2.64%-0.14%
201810-2.05%-5.00%$25,450$23,402-7.41%-2.93%2.12%-9.94%-8.13%-8.76%-2.93%-2.05%
2018111.22%1.80%$25,761$23,8242.01%1.79%0.34%0.57%0.50%4.90%4.67%-0.36%
2018121.01%-3.21%$26,021$23,059-9.16%5.85%4.94%-12.38%-5.35%-3.50%-7.96%1.86%
201913.89%7.03%$27,033$24,6818.54%0.38%2.89%12.26%6.63%10.34%11.85%3.37%
201920.42%0.90%$27,147$24,9033.56%-1.38%-0.61%4.13%2.54%-1.53%0.70%-0.20%
201931.21%1.33%$27,476$25,2351.42%5.57%-1.60%-3.91%0.92%1.13%4.21%2.93%
201940.34%1.39%$27,570$25,5873.93%-1.99%-0.66%4.32%2.93%2.35%-0.16%0.44%
201950.69%-2.30%$27,759$24,998-6.45%6.84%1.76%-9.98%-5.03%-7.33%0.14%1.65%
201965.84%5.07%$29,380$26,2667.08%0.95%8.00%7.66%5.91%6.20%1.54%3.25%
201970.49%0.04%$29,525$26,2771.41%0.26%0.01%1.30%-1.95%-2.66%1.70%0.25%
201985.79%1.71%$31,234$26,726-2.08%11.04%7.91%-5.14%-1.92%-3.78%3.75%3.88%
20199-1.67%0.91%$30,712$26,9701.78%-2.68%-3.39%5.57%3.16%1.69%1.93%-0.76%
2019101.44%1.84%$31,156$27,4662.11%-1.11%2.56%2.00%3.39%4.18%1.13%0.44%
201911-0.39%0.39%$31,035$27,5723.79%-0.41%-3.21%2.71%1.13%-0.09%-1.30%0.47%
2019121.57%2.26%$31,523$28,1952.80%-3.20%3.66%2.84%2.98%7.71%0.76%0.53%
202014.00%0.07%$32,784$28,213-0.06%7.69%4.50%-6.31%-2.82%-6.15%1.23%2.45%
20202-0.87%-3.70%$32,498$27,168-8.00%6.63%-0.64%-10.15%-7.77%-3.78%-7.03%1.09%
20203-2.51%-11.14%$31,682$24,142-13.91%6.38%-0.22%-25.76%-14.11%-15.77%-19.42%-6.31%
Portfolio return and risk metrics
MetricMaximum Return at 10.00% VolatilityEqual Weighted
Arithmetic Mean (monthly)0.72%0.58%
Arithmetic Mean (annualized)8.94%7.14%
Geometric Mean (monthly)0.68%0.52%
Geometric Mean (annualized)8.43%6.38%
Volatility (monthly)2.82%3.43%
Volatility (annualized)9.76%11.87%
Downside Deviation (monthly)1.63%2.34%
Max. Drawdown-18.80%-36.98%
US Market Correlation0.360.87
Beta(*)0.230.68
Alpha (annualized)6.68%1.30%
R213.03%76.26%
Sharpe Ratio0.760.48
Sortino Ratio1.290.70
Treynor Ratio (%)31.918.39
Calmar Ratio1.350.17
Active Return1.15%-0.90%
Tracking Error14.77%7.51%
Information Ratio0.08-0.12
Skewness-0.31-0.89
Excess Kurtosis2.334.57
Historical Value-at-Risk (5%)-3.45%-4.69%
Analytical Value-at-Risk (5%)-3.90%-5.04%
Conditional Value-at-Risk (5%)-5.25%-8.48%
Upside Capture Ratio (%)32.5765.71
Downside Capture Ratio (%)1.6061.90
Safe Withdrawal Rate11.79%10.32%
Perpetual Withdrawal Rate6.09%4.25%
Positive Periods100 out of 171 (58.48%)106 out of 171 (61.99%)
Gain/Loss Ratio1.390.99
* 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 2009-18.80%-36.98%

Drawdowns for Maximum Return at 10.00% Volatility

Drawdowns for Maximum Return at 10.00% Volatility (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-18.80%
2Oct 2012Jun 20139 monthsJan 20151 year 7 months2 years 4 months-13.26%
3Feb 2015Dec 201511 monthsApr 20164 months1 year 3 months-9.60%
4Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-9.36%
5Feb 2018Oct 20189 monthsMar 20195 months1 year 2 months-6.45%
6Dec 2009Jan 20102 monthsApr 20103 months5 months-4.84%
7Sep 2011Sep 20111 monthOct 20111 month2 months-3.54%
8Dec 2011Dec 20111 monthJan 20121 month2 months-3.44%
9Feb 2020Mar 20202 months-3.36%
10May 2006Jun 20062 monthsOct 20064 months6 months-3.24%
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%
2Feb 2020Mar 20202 months-14.43%
3May 2011Sep 20115 monthsJan 20124 months9 months-9.81%
4Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.82%
5Mar 2015Jan 201611 monthsJun 20165 months1 year 4 months-8.66%
6May 2013Jun 20132 monthsOct 20134 months6 months-6.45%
7May 2012May 20121 monthJul 20122 months3 months-4.54%
8Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.51%
9Sep 2014Sep 20141 monthJan 20154 months5 months-4.46%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-3.49%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF7.39%15.17%33.45%-36.98%-50.84%0.470.651.00
TLTiShares 20+ Year Treasury Bond ETF7.66%13.56%33.96%-21.80%-21.80%0.520.94-0.35
GLDSPDR Gold Shares7.68%17.61%30.45%-28.33%-42.91%0.440.710.04
IJSiShares S&P Small-Cap 600 Value ETF4.79%20.46%39.34%-37.50%-54.13%0.280.380.91
EFAiShares MSCI EAFE ETF2.14%17.59%26.95%-41.04%-57.38%0.140.190.89
EEMiShares MSCI Emerging Markets ETF3.02%22.52%68.93%-48.88%-60.44%0.190.280.80
VNQVanguard Real Estate ETF5.59%23.23%35.30%-37.00%-68.30%0.300.420.74
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.27%7.38%17.37%-3.79%-15.11%0.570.910.31

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTGLDIJSEFAEEMVNQLQDMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF1.00-0.360.040.910.890.800.740.310.360.87
TLTiShares 20+ Year Treasury Bond ETF-0.361.000.21-0.39-0.28-0.26-0.020.480.37-0.04
GLDSPDR Gold Shares0.040.211.00-0.010.150.280.090.260.880.36
IJSiShares S&P Small-Cap 600 Value ETF0.91-0.39-0.011.000.780.700.750.240.270.82
EFAiShares MSCI EAFE ETF0.89-0.280.150.781.000.890.690.400.420.89
EEMiShares MSCI Emerging Markets ETF0.80-0.260.280.700.891.000.610.370.490.87
VNQVanguard Real Estate ETF0.74-0.020.090.750.690.611.000.460.410.85
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.310.480.260.240.400.370.461.000.520.57

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF16.55%13.94%
TLTiShares 20+ Year Treasury Bond ETF13.84%-0.58%
GLDSPDR Gold Shares69.61%6.61%
IJSiShares S&P Small-Cap 600 Value ETF17.59%
EFAiShares MSCI EAFE ETF16.55%
EEMiShares MSCI Emerging Markets ETF20.75%
VNQVanguard Real Estate ETF20.73%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.41%

Annual Asset Returns

Rolling returns summary
Roll PeriodMaximum Return at 10.00% VolatilityEqual Weighted
AverageHighLowAverageHighLow
1 year8.96%21.14%-8.63%8.42%23.38%-21.23%
3 years7.73%15.96%-1.45%6.81%15.10%0.64%
5 years7.48%12.51%2.46%7.33%12.71%4.45%
7 years7.05%12.27%3.37%7.41%9.63%5.79%
10 years7.42%7.97%6.99%7.31%8.50%6.02%
Result statistics are based on annualized rolling returns over full calendar year periods