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 - Jun 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 7.33% to 10.11%. 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 50.45%
TLT iShares 20+ Year Treasury Bond ETF 16.90%
GLD SPDR Gold Shares 32.65%
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$36,158$27,511
CAGR9.27%7.23%
Expected Return 9.80% 8.00%
Stdev9.87%11.95%
Best Year24.19%23.38%
Worst Year-13.86%-21.23%
Max. Drawdown -22.79% -36.98%
Sharpe Ratio (ex-ante)0.870.57
Sharpe Ratio (ex-post)0.830.55
Sortino Ratio1.350.80
US Stock Market Correlation0.750.88
   
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 June
  • 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 ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Total Stock Market ETF (VTI)8.74%10.05%15.44%0.5750.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)6.09%8.41%20.61%0.3510.00%100.00%
3iShares MSCI EAFE ETF (EFA)3.12%4.75%17.57%0.2040.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)4.14%6.82%22.47%0.2520.00%100.00%
5Vanguard Real Estate ETF (VNQ)6.42%9.40%23.14%0.3560.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)7.50%8.45%13.46%0.5410.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)5.85%6.14%7.44%0.6680.00%100.00%
8SPDR Gold Shares (GLD)8.46%10.11%17.55%0.5100.00%100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (1.17% annualized).

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerVTIIJSEFAEEMVNQTLTLQDGLD
Vanguard Total Stock Market ETFVTI1.000.910.890.790.74-0.350.330.06
iShares S&P Small-Cap 600 Value ETFIJS0.911.000.780.710.75-0.380.270.01
iShares MSCI EAFE ETFEFA0.890.781.000.890.69-0.280.410.16
iShares MSCI Emerging Markets ETFEEM0.790.710.891.000.62-0.260.380.29
Vanguard Real Estate ETFVNQ0.740.750.690.621.00-0.020.460.10
iShares 20+ Year Treasury Bond ETFTLT-0.35-0.38-0.28-0.26-0.021.000.460.21
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.330.270.410.380.460.461.000.27
SPDR Gold SharesGLD0.060.010.160.290.100.210.271.00
Based on provided custom correlation matrix
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return*Standard Deviation*Sharpe Ratio*
115.47%0.00%0.00%0.00%0.00%16.25%62.62%5.66%7.33%7.08%0.871
215.84%0.00%0.00%0.00%0.00%16.65%61.75%5.77%7.36%7.08%0.874
316.20%0.00%0.00%0.00%0.00%17.05%60.87%5.87%7.39%7.08%0.878
416.57%0.00%0.00%0.00%0.00%17.46%60.00%5.97%7.42%7.08%0.882
516.94%0.00%0.00%0.00%0.00%17.86%59.12%6.08%7.44%7.08%0.886
617.31%0.00%0.00%0.00%0.00%18.27%58.25%6.18%7.47%7.09%0.890
717.67%0.00%0.00%0.00%0.00%18.67%57.37%6.28%7.50%7.09%0.893
818.04%0.00%0.00%0.00%0.00%19.07%56.50%6.39%7.53%7.09%0.897
918.41%0.00%0.00%0.00%0.00%19.48%55.62%6.49%7.55%7.09%0.900
1018.78%0.00%0.00%0.00%0.00%19.88%54.75%6.60%7.58%7.10%0.904
1119.14%0.00%0.00%0.00%0.00%20.29%53.87%6.70%7.61%7.10%0.907
1219.51%0.00%0.00%0.00%0.00%20.69%53.00%6.80%7.64%7.10%0.911
1319.88%0.00%0.00%0.00%0.00%21.09%52.12%6.91%7.67%7.11%0.914
1420.24%0.00%0.00%0.00%0.00%21.50%51.25%7.01%7.69%7.11%0.917
1520.61%0.00%0.00%0.00%0.00%21.90%50.37%7.12%7.72%7.12%0.921
1620.98%0.00%0.00%0.00%0.00%22.31%49.50%7.22%7.75%7.12%0.924
1721.35%0.00%0.00%0.00%0.00%22.71%48.62%7.32%7.78%7.13%0.927
1821.71%0.00%0.00%0.00%0.00%23.11%47.75%7.43%7.80%7.14%0.930
1922.08%0.00%0.00%0.00%0.00%23.52%46.87%7.53%7.83%7.14%0.933
2022.45%0.00%0.00%0.00%0.00%23.92%46.00%7.63%7.86%7.15%0.936
2122.81%0.00%0.00%0.00%0.00%24.33%45.12%7.74%7.89%7.16%0.939
2223.18%0.00%0.00%0.00%0.00%24.73%44.25%7.84%7.92%7.17%0.942
2323.55%0.00%0.00%0.00%0.00%25.13%43.37%7.95%7.94%7.17%0.945
2423.92%0.00%0.00%0.00%0.00%25.54%42.50%8.05%7.97%7.18%0.947
2524.28%0.00%0.00%0.00%0.00%25.94%41.62%8.15%8.00%7.19%0.950
2624.65%0.00%0.00%0.00%0.00%26.35%40.75%8.26%8.03%7.20%0.953
2725.02%0.00%0.00%0.00%0.00%26.75%39.87%8.36%8.06%7.21%0.955
2825.39%0.00%0.00%0.00%0.00%27.15%39.00%8.46%8.08%7.22%0.958
2925.75%0.00%0.00%0.00%0.00%27.56%38.12%8.57%8.11%7.23%0.960
3026.12%0.00%0.00%0.00%0.00%27.96%37.25%8.67%8.14%7.24%0.963
3126.49%0.00%0.00%0.00%0.00%28.37%36.37%8.78%8.17%7.25%0.965
3226.85%0.00%0.00%0.00%0.00%28.77%35.50%8.88%8.20%7.26%0.967
3327.22%0.00%0.00%0.00%0.00%29.17%34.62%8.98%8.22%7.28%0.970
3427.59%0.00%0.00%0.00%0.00%29.58%33.75%9.09%8.25%7.29%0.972
3527.96%0.00%0.00%0.00%0.00%29.98%32.87%9.19%8.28%7.30%0.974
3628.32%0.00%0.00%0.00%0.00%30.39%31.99%9.30%8.31%7.31%0.976
3728.69%0.00%0.00%0.00%0.00%30.79%31.12%9.40%8.33%7.33%0.978
3829.06%0.00%0.00%0.00%0.00%31.19%30.24%9.50%8.36%7.34%0.980
3929.43%0.00%0.00%0.00%0.00%31.60%29.37%9.61%8.39%7.35%0.982
4029.79%0.00%0.00%0.00%0.00%32.00%28.49%9.71%8.42%7.37%0.984
4130.16%0.00%0.00%0.00%0.00%32.41%27.62%9.81%8.45%7.38%0.986
4230.53%0.00%0.00%0.00%0.00%32.81%26.74%9.92%8.47%7.40%0.988
4330.89%0.00%0.00%0.00%0.00%33.21%25.87%10.02%8.50%7.41%0.989
4431.26%0.00%0.00%0.00%0.00%33.62%24.99%10.13%8.53%7.43%0.991
4531.63%0.00%0.00%0.00%0.00%34.02%24.12%10.23%8.56%7.45%0.993
4632.00%0.00%0.00%0.00%0.00%34.43%23.24%10.33%8.59%7.46%0.994
4732.36%0.00%0.00%0.00%0.00%34.83%22.37%10.44%8.62%7.48%0.996
4832.73%0.00%0.00%0.00%0.00%35.23%21.49%10.54%8.64%7.50%0.997
4933.10%0.00%0.00%0.00%0.00%35.64%20.62%10.65%8.67%7.51%0.999
5033.47%0.00%0.00%0.00%0.00%36.04%19.74%10.75%8.70%7.53%1.000
5133.83%0.00%0.00%0.00%0.00%36.45%18.87%10.85%8.73%7.55%1.002
5234.20%0.00%0.00%0.00%0.00%36.85%17.99%10.96%8.76%7.57%1.003
5334.57%0.00%0.00%0.00%0.00%37.25%17.12%11.06%8.78%7.59%1.004
5434.93%0.00%0.00%0.00%0.00%37.66%16.24%11.16%8.81%7.60%1.005
5535.30%0.00%0.00%0.00%0.00%38.06%15.37%11.27%8.84%7.62%1.006
5635.67%0.00%0.00%0.00%0.00%38.47%14.49%11.37%8.87%7.64%1.008
5736.04%0.00%0.00%0.00%0.00%38.87%13.62%11.48%8.90%7.66%1.009
5836.40%0.00%0.00%0.00%0.00%39.27%12.74%11.58%8.92%7.68%1.010
5936.77%0.00%0.00%0.00%0.00%39.68%11.87%11.68%8.95%7.70%1.011
6037.14%0.00%0.00%0.00%0.00%40.08%10.99%11.79%8.98%7.72%1.011
6137.51%0.00%0.00%0.00%0.00%40.49%10.12%11.89%9.01%7.74%1.012
6237.87%0.00%0.00%0.00%0.00%40.89%9.24%12.00%9.04%7.77%1.013
6338.24%0.00%0.00%0.00%0.00%41.29%8.37%12.10%9.06%7.79%1.014
6438.61%0.00%0.00%0.00%0.00%41.70%7.49%12.20%9.09%7.81%1.015
6538.97%0.00%0.00%0.00%0.00%42.10%6.62%12.31%9.12%7.83%1.015
6639.34%0.00%0.00%0.00%0.00%42.51%5.74%12.41%9.15%7.85%1.016
6739.71%0.00%0.00%0.00%0.00%42.91%4.87%12.51%9.18%7.88%1.017
6840.08%0.00%0.00%0.00%0.00%43.31%3.99%12.62%9.21%7.90%1.017
6940.44%0.00%0.00%0.00%0.00%43.72%3.12%12.72%9.23%7.92%1.018
7040.81%0.00%0.00%0.00%0.00%44.12%2.24%12.83%9.26%7.95%1.018
7141.18%0.00%0.00%0.00%0.00%44.53%1.37%12.93%9.29%7.97%1.019
7241.55%0.00%0.00%0.00%0.00%44.93%0.49%13.03%9.32%8.00%1.019
7341.98%0.00%0.00%0.00%0.00%44.40%0.00%13.61%9.35%8.02%1.020
7442.51%0.00%0.00%0.00%0.00%42.68%0.00%14.80%9.37%8.06%1.019
7543.04%0.00%0.00%0.00%0.00%40.97%0.00%15.99%9.40%8.10%1.016
7643.57%0.00%0.00%0.00%0.00%39.25%0.00%17.18%9.43%8.16%1.012
7744.10%0.00%0.00%0.00%0.00%37.53%0.00%18.37%9.46%8.24%1.007
7844.63%0.00%0.00%0.00%0.00%35.81%0.00%19.56%9.49%8.32%1.000
7945.16%0.00%0.00%0.00%0.00%34.09%0.00%20.75%9.52%8.41%0.992
8045.69%0.00%0.00%0.00%0.00%32.37%0.00%21.94%9.54%8.52%0.984
8146.21%0.00%0.00%0.00%0.00%30.65%0.00%23.13%9.57%8.63%0.974
8246.74%0.00%0.00%0.00%0.00%28.93%0.00%24.32%9.60%8.76%0.963
8347.27%0.00%0.00%0.00%0.00%27.22%0.00%25.51%9.63%8.89%0.952
8447.80%0.00%0.00%0.00%0.00%25.50%0.00%26.70%9.66%9.03%0.940
8548.33%0.00%0.00%0.00%0.00%23.78%0.00%27.89%9.69%9.18%0.928
8648.86%0.00%0.00%0.00%0.00%22.06%0.00%29.08%9.71%9.34%0.915
8749.39%0.00%0.00%0.00%0.00%20.34%0.00%30.27%9.74%9.51%0.902
8849.92%0.00%0.00%0.00%0.00%18.62%0.00%31.46%9.77%9.68%0.888
8950.45%0.00%0.00%0.00%0.00%16.90%0.00%32.65%9.80%9.87%0.875
9050.98%0.00%0.00%0.00%0.00%15.18%0.00%33.84%9.83%10.05%0.861
9151.50%0.00%0.00%0.00%0.00%13.47%0.00%35.03%9.86%10.25%0.848
9252.03%0.00%0.00%0.00%0.00%11.75%0.00%36.22%9.88%10.45%0.834
9352.56%0.00%0.00%0.00%0.00%10.03%0.00%37.41%9.91%10.65%0.821
9453.09%0.00%0.00%0.00%0.00%8.31%0.00%38.60%9.94%10.86%0.808
9553.62%0.00%0.00%0.00%0.00%6.59%0.00%39.79%9.97%11.08%0.794
9654.15%0.00%0.00%0.00%0.00%4.87%0.00%40.98%10.00%11.30%0.781
9754.68%0.00%0.00%0.00%0.00%3.15%0.00%42.17%10.03%11.52%0.769
9855.21%0.00%0.00%0.00%0.00%1.43%0.00%43.36%10.05%11.75%0.756
9947.76%0.00%0.00%0.00%0.00%0.00%0.00%52.24%10.08%12.12%0.736
1000.02%0.00%0.00%0.00%0.00%0.00%0.00%99.98%10.11%17.55%0.510
*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 (1.17% 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%15.65%19.39%$11,565$11,93915.69%0.71%22.55%19.37%25.81%31.19%35.30%4.22%
20074.08%14.25%8.39%$13,213$12,9415.37%10.29%30.45%-5.56%9.94%33.31%-16.50%3.73%
20080.09%-13.86%-21.23%$11,382$10,194-36.98%33.93%4.92%-29.39%-41.04%-48.88%-37.00%2.40%
20092.72%18.50%23.38%$13,487$12,57728.89%-21.80%24.03%22.36%26.95%68.93%30.08%8.46%
20101.50%20.79%18.79%$16,291$14,94117.42%9.05%29.27%24.69%8.15%16.51%28.37%9.33%
20112.96%10.21%4.04%$17,954$15,5450.97%33.96%9.57%-1.65%-12.25%-18.82%8.62%9.73%
20121.74%11.26%14.22%$19,975$17,75616.45%2.63%6.60%18.24%18.82%19.10%17.63%10.58%
20131.50%2.06%4.45%$20,386$18,54633.45%-13.37%-28.33%39.34%21.40%-3.69%2.31%-2.00%
20140.76%10.06%8.88%$22,438$20,19312.54%27.30%-2.19%7.56%-6.20%-3.93%30.36%8.21%
20150.73%-3.07%-3.92%$21,750$19,4010.36%-1.79%-10.67%-6.90%-1.00%-16.18%2.42%-1.25%
20162.07%10.04%10.46%$23,933$21,43112.83%1.18%8.03%31.25%1.37%10.87%8.60%6.21%
20172.11%16.46%15.92%$27,872$24,84221.21%9.18%12.81%11.35%25.10%37.28%4.91%7.06%
20181.91%-3.02%-7.18%$27,030$23,059-5.21%-1.61%-1.94%-12.84%-13.81%-15.31%-6.02%-3.79%
20192.29%24.19%22.27%$33,568$28,19530.67%14.12%17.86%24.12%22.03%18.20%28.87%17.37%
2020-0.23%7.72%-2.43%$36,158$27,511-3.45%21.87%17.12%-24.40%-11.10%-10.35%-13.90%6.46%
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
200614.64%5.95%$10,464$10,5953.22%-1.34%9.93%8.75%5.77%14.20%7.54%-0.44%
20062-0.06%-0.19%$10,457$10,5750.22%1.11%-1.11%0.27%-0.70%-3.85%1.86%0.68%
200631.44%1.90%$10,608$10,7762.05%-4.57%3.62%4.86%4.01%2.17%4.73%-1.68%
200643.95%2.26%$11,027$11,0200.96%-2.75%12.03%0.18%4.79%6.52%-3.40%-0.20%
20065-2.09%-3.39%$10,796$10,646-3.22%-0.19%-1.32%-4.55%-3.82%-11.14%-2.70%-0.19%
20066-1.26%0.21%$10,660$10,6690.13%1.18%-4.67%0.04%-0.06%0.21%4.95%-0.09%
200671.33%1.33%$10,803$10,810-0.12%2.16%3.15%-3.10%0.81%2.34%3.89%1.46%
200681.23%2.07%$10,935$11,0332.30%3.06%-1.38%2.70%2.55%1.58%3.48%2.22%
20069-0.02%0.38%$10,933$11,0752.26%1.91%-4.53%1.19%0.22%-0.87%1.96%0.87%
2006102.35%3.63%$11,190$11,4773.53%0.85%1.29%5.52%3.75%7.06%6.03%1.00%
2006113.81%3.65%$11,617$11,8962.33%2.31%6.89%2.38%3.07%5.98%4.78%1.46%
200612-0.45%0.36%$11,565$11,9391.20%-2.69%-1.83%0.32%3.20%5.44%-1.83%-0.90%
200711.61%1.99%$11,751$12,1771.86%-1.00%2.56%2.14%1.39%0.11%8.78%0.09%
200720.58%-0.08%$11,819$12,167-1.62%3.39%2.55%-0.92%-0.12%-3.24%-2.70%2.00%
20073-0.08%0.59%$11,809$12,2381.12%-1.70%-1.11%0.91%2.90%5.33%-2.07%-0.68%
200742.85%2.13%$12,146$12,4994.02%0.90%2.05%1.84%3.75%3.73%-0.13%0.89%
200750.73%1.19%$12,235$12,6493.72%-2.31%-2.31%4.63%2.36%5.06%-0.38%-1.23%
20076-1.69%-1.67%$12,028$12,437-1.76%-1.01%-1.94%-2.24%-0.32%3.68%-8.99%-0.81%
20077-0.45%-1.85%$11,974$12,207-3.53%3.32%2.37%-6.26%-2.29%0.71%-8.26%-0.82%
200781.41%1.90%$12,143$12,4401.47%1.79%1.11%1.33%-0.63%1.04%6.74%2.38%
200795.41%4.55%$12,800$13,0063.85%0.23%10.51%0.31%5.32%11.57%3.90%0.73%
2007103.48%3.85%$13,245$13,5071.79%1.81%6.95%1.06%4.25%11.87%2.10%0.97%
200711-1.92%-3.46%$12,991$13,039-4.52%5.35%-1.65%-7.15%-3.62%-7.65%-9.47%1.02%
2007121.71%-0.75%$13,213$12,941-0.70%-0.64%6.65%-0.71%-2.99%-1.43%-5.41%-0.81%
200810.78%-1.53%$13,317$12,743-6.17%2.10%10.84%-4.00%-7.85%-8.92%-0.78%2.57%
200820.37%-0.50%$13,366$12,680-2.50%-0.46%5.23%-3.36%-1.02%1.99%-3.18%-0.71%
20083-2.05%-0.17%$13,092$12,658-0.90%2.14%-6.00%0.83%0.42%-3.75%6.48%-0.60%
200840.69%2.89%$13,182$13,0234.89%-2.48%-4.16%2.64%5.44%9.14%6.38%1.25%
200850.86%0.76%$13,296$13,1222.02%-2.69%0.92%3.92%1.19%3.16%-0.21%-2.21%
20086-2.17%-4.92%$13,007$12,477-8.12%2.65%4.52%-8.41%-8.80%-9.29%-10.62%-1.29%
20087-0.85%-0.61%$12,897$12,401-0.62%-0.37%-1.44%2.87%-3.32%-5.50%3.12%0.39%
20088-1.83%-1.05%$12,661$12,2711.46%2.74%-9.29%4.76%-4.25%-6.32%2.37%0.15%
20089-3.07%-5.68%$12,272$11,574-9.24%1.47%4.11%-4.82%-11.44%-14.68%-0.11%-10.73%
200810-14.40%-16.93%$10,505$9,615-17.48%-1.86%-16.14%-19.86%-20.83%-25.58%-31.73%-1.95%
2008112.49%-3.55%$10,766$9,273-8.01%14.34%12.57%-11.80%-6.37%-9.75%-22.72%3.35%
2008125.73%9.93%$11,382$10,1941.78%13.64%7.73%6.57%8.88%10.35%16.67%13.80%
20091-4.46%-8.98%$10,874$9,278-8.05%-13.07%5.54%-13.94%-13.73%-9.29%-17.53%-1.80%
20092-5.10%-8.25%$10,320$8,512-10.53%-1.54%1.45%-13.03%-10.39%-6.27%-20.53%-5.20%
200934.02%5.84%$10,735$9,0098.26%4.04%-2.54%7.58%8.39%16.86%3.61%0.47%
200943.28%10.02%$11,088$9,91110.99%-6.95%-3.33%18.89%11.52%15.56%30.68%2.78%
200955.47%5.84%$11,694$10,4915.46%-3.69%10.23%0.67%13.19%15.94%2.62%2.32%
20096-1.39%-0.82%$11,532$10,4040.36%0.76%-5.22%1.52%-1.43%-2.25%-3.23%2.89%
200974.78%7.27%$12,083$11,1607.74%0.58%2.38%11.00%10.04%11.01%10.77%4.63%
200982.27%3.54%$12,357$11,5553.71%2.24%0.05%3.48%4.50%-1.31%14.32%1.31%
200994.41%4.88%$12,901$12,1194.14%2.46%5.84%4.21%3.80%10.20%6.63%1.76%
200910-0.55%-2.32%$12,830$11,838-2.63%-2.62%3.72%-6.07%-2.52%-3.44%-4.46%-0.49%
2009117.25%5.36%$13,760$12,4735.69%1.21%12.79%2.90%3.92%7.85%6.57%1.95%
200912-1.98%0.84%$13,487$12,5772.86%-6.34%-7.20%8.10%0.70%3.27%7.37%-2.07%
20101-1.75%-2.72%$13,251$12,235-3.57%2.69%-1.26%-2.54%-5.07%-7.76%-5.52%1.25%
201022.75%2.41%$13,615$12,5303.44%-0.34%3.27%4.76%0.27%1.78%5.58%0.51%
201032.74%4.63%$13,987$13,1106.40%-2.06%-0.44%7.80%6.39%8.11%10.18%0.65%
201043.58%3.01%$14,488$13,5052.18%3.32%5.88%6.63%-2.80%-0.17%7.15%1.91%
20105-2.12%-4.44%$14,182$12,906-7.88%5.11%3.05%-8.54%-11.19%-9.39%-5.33%-1.31%
20106-1.19%-1.42%$14,012$12,723-5.83%5.80%2.36%-8.27%-2.07%-1.40%-5.19%3.28%
201071.72%5.24%$14,253$13,3907.02%-0.95%-5.09%6.71%11.61%10.93%9.59%2.11%
201080.91%-0.50%$14,383$13,323-4.71%8.40%5.71%-7.91%-3.80%-3.24%-1.28%2.86%
201095.90%6.16%$15,231$14,1449.45%-2.51%4.78%10.93%9.97%11.76%4.45%0.46%
2010102.48%2.32%$15,609$14,4724.03%-4.47%3.68%4.04%3.81%3.02%4.74%-0.26%
2010110.66%-0.97%$15,712$14,3310.51%-1.69%2.11%2.47%-4.82%-2.91%-1.85%-1.62%
2010123.68%4.25%$16,291$14,9416.96%-3.68%2.44%8.97%8.30%7.27%4.54%-0.75%
20111-1.57%-0.76%$16,035$14,8272.05%-3.08%-6.38%-0.24%2.10%-3.84%3.25%0.04%
201124.10%3.11%$16,693$15,2873.70%1.65%6.00%4.21%3.55%-0.04%4.71%1.08%
201130.74%0.75%$16,816$15,4020.42%0.03%1.60%2.21%-2.39%6.29%-1.62%-0.54%
201144.78%3.98%$17,619$16,0152.90%2.34%8.94%1.06%5.63%2.73%5.75%2.50%
20115-0.54%-0.46%$17,524$15,941-1.06%3.42%-1.79%-1.77%-2.21%-2.94%1.37%1.27%
20116-2.09%-1.80%$17,157$15,655-1.79%-2.33%-2.43%-1.59%-1.19%-0.93%-3.30%-0.80%
201172.35%1.05%$17,560$15,819-2.27%4.42%8.42%-2.77%-2.38%-1.03%1.56%2.43%
201182.57%-1.93%$18,012$15,514-6.09%9.66%12.27%-7.98%-8.75%-9.25%-5.62%0.34%
20119-5.20%-6.90%$17,075$14,443-7.57%13.20%-11.06%-10.57%-10.81%-17.89%-10.85%0.35%
2011107.00%8.93%$18,270$15,73311.37%-3.84%5.87%15.34%9.63%16.27%14.29%2.51%
2011110.69%-0.90%$18,396$15,592-0.37%1.98%1.67%0.63%-2.18%-1.96%-3.80%-3.16%
201112-2.41%-0.30%$17,954$15,5450.98%3.44%-10.66%2.02%-2.21%-4.30%4.85%3.49%
201216.22%6.10%$19,071$16,4935.07%-0.33%11.40%7.90%5.27%10.99%6.38%2.14%
201220.72%1.37%$19,208$16,7194.22%-2.59%-2.96%1.71%4.83%5.27%-1.15%1.63%
201230.40%0.18%$19,285$16,7503.06%-4.23%-1.32%2.89%0.42%-3.11%5.19%-1.42%
201240.45%0.29%$19,371$16,798-0.64%4.83%-0.15%-1.91%-2.08%-1.70%2.86%1.08%
20125-3.68%-4.54%$18,657$16,036-6.23%9.03%-6.34%-7.18%-11.14%-10.71%-4.51%0.76%
201262.53%3.48%$19,129$16,5944.05%-1.68%2.35%4.54%7.11%5.08%5.52%0.87%
201271.36%1.30%$19,389$16,8090.88%3.82%0.84%-0.69%0.08%-0.03%2.00%3.48%
201282.75%1.74%$19,923$17,1022.70%-1.32%4.94%4.08%3.20%0.41%-0.01%-0.05%
201292.35%1.87%$20,392$17,4222.49%-2.53%4.67%3.14%2.71%5.22%-1.86%1.10%
201210-1.95%-0.76%$19,994$17,289-1.81%-0.48%-2.94%-1.96%1.09%-0.44%-0.91%1.35%
2012110.47%0.87%$20,088$17,4400.77%1.38%-0.47%1.65%2.78%1.56%-0.26%-0.42%
201212-0.56%1.81%$19,975$17,7561.29%-2.49%-2.43%3.55%4.37%6.80%3.72%-0.33%
201312.03%1.62%$20,380$18,0435.42%-3.19%-0.51%5.35%3.73%-0.29%3.74%-1.30%
20132-0.80%-0.28%$20,216$17,9931.28%1.24%-5.09%1.63%-1.29%-2.28%1.22%1.08%
201332.23%1.46%$20,667$18,2563.95%-0.42%0.95%4.11%1.31%-1.02%2.87%-0.05%
20134-0.87%1.75%$20,488$18,5751.61%4.68%-7.56%0.12%5.02%1.22%6.73%2.17%
20135-1.93%-2.91%$20,091$18,0352.44%-6.76%-6.20%4.29%-3.02%-4.83%-5.98%-3.22%
20136-4.89%-3.65%$19,110$17,377-1.43%-3.27%-11.06%-0.14%-2.70%-5.35%-1.98%-3.27%
201374.94%3.27%$20,054$17,9455.75%-2.26%7.43%6.56%5.32%1.32%0.90%1.11%
20138-0.06%-1.88%$20,043$17,607-3.03%-1.34%5.20%-3.41%-1.96%-2.54%-6.98%-1.00%
201390.52%3.20%$20,147$18,1713.90%0.66%-4.78%6.59%7.82%7.21%3.49%0.74%
2013102.28%2.82%$20,606$18,6844.27%1.43%-0.34%3.48%3.26%4.17%4.52%1.81%
201311-0.89%-0.79%$20,423$18,5362.70%-2.70%-5.51%4.25%0.55%-0.26%-5.25%-0.14%
201312-0.18%0.05%$20,386$18,5462.73%-1.87%-3.79%1.29%2.16%-0.42%0.10%0.22%
201410.58%-0.58%$20,505$18,438-3.17%6.30%3.42%-3.51%-5.20%-8.64%4.28%1.88%
201424.59%4.00%$21,446$19,1764.87%0.52%6.27%4.63%6.13%3.38%5.07%1.14%
20143-0.65%0.41%$21,308$19,2550.51%0.73%-3.14%1.34%-0.46%3.88%0.49%-0.03%
201440.55%0.93%$21,424$19,4340.06%2.10%0.49%-2.29%1.67%0.78%3.29%1.33%
201450.56%1.38%$21,545$19,7032.10%2.95%-3.05%0.62%1.60%2.95%2.40%1.51%
201463.34%2.13%$22,265$20,1222.62%-0.25%6.32%3.85%0.92%2.40%1.13%0.01%
20147-2.08%-1.44%$21,803$19,832-1.99%0.67%-3.63%-5.07%-2.60%1.36%0.08%-0.32%
201483.02%2.72%$22,460$20,3724.15%4.72%0.38%4.46%0.18%2.83%3.04%2.00%
20149-3.43%-4.46%$21,689$19,463-2.10%-2.11%-6.18%-5.94%-3.88%-7.77%-6.04%-1.68%
2014100.86%2.74%$21,877$19,9972.75%2.81%-3.05%7.13%-0.27%1.42%9.94%1.23%
2014111.59%0.86%$22,225$20,1692.48%2.97%-0.49%0.48%0.06%-1.54%2.00%0.91%
2014120.96%0.12%$22,438$20,193-0.04%3.25%1.31%2.56%-4.00%-3.99%1.88%-0.02%
201513.12%2.62%$23,137$20,723-2.74%9.82%8.69%-5.32%0.62%-0.69%6.85%3.75%
20152-0.07%0.65%$23,121$20,8585.74%-6.14%-5.91%5.86%6.34%4.41%-3.67%-1.42%
20153-1.10%-0.27%$22,867$20,801-1.16%1.10%-2.15%1.03%-1.43%-1.50%1.74%0.20%
20154-0.32%-0.17%$22,793$20,7660.62%-3.43%-0.17%-1.82%3.65%6.85%-5.85%-1.19%
201550.44%-0.64%$22,892$20,6341.30%-2.37%0.56%0.75%0.20%-4.10%-0.30%-1.12%
20156-2.03%-2.43%$22,428$20,133-1.67%-4.07%-1.52%0.42%-3.12%-2.93%-4.68%-1.88%
20157-0.53%-0.09%$22,308$20,1141.70%4.55%-6.62%-2.70%2.03%-6.31%5.77%0.83%
20158-1.98%-3.88%$21,866$19,333-6.09%-0.69%3.71%-4.62%-7.43%-8.84%-6.29%-0.83%
20159-1.73%-1.23%$21,488$19,095-2.92%1.97%-1.80%-3.77%-4.42%-3.13%3.05%1.19%
2015104.67%4.46%$22,491$19,9467.91%-0.41%2.28%6.57%6.61%6.38%5.76%0.57%
201511-2.05%-1.08%$22,030$19,7320.60%-0.87%-6.75%2.47%-0.75%-2.52%-0.63%-0.15%
201512-1.27%-1.67%$21,750$19,401-2.13%-0.30%-0.45%-5.08%-2.34%-3.83%1.82%-1.08%
20161-0.18%-1.81%$21,711$19,051-5.72%5.57%5.41%-5.85%-5.52%-5.03%-3.44%0.12%
201624.09%1.58%$22,598$19,351-0.01%3.09%10.93%2.08%-3.33%-0.82%-0.36%1.05%
201633.30%6.15%$23,343$20,5427.11%-0.09%-0.84%9.41%6.58%12.96%10.48%3.62%
201641.88%1.12%$23,781$20,7730.66%-0.74%5.11%2.13%2.22%0.41%-2.35%1.55%
20165-0.99%-0.65%$23,545$20,6381.73%0.81%-6.14%0.44%-0.09%-3.69%2.25%-0.51%
201664.24%3.65%$24,543$21,3910.27%6.93%8.97%0.83%-2.42%4.56%6.92%3.09%
201673.01%3.50%$25,281$22,1403.98%2.10%1.98%5.06%3.98%5.38%4.26%1.29%
20168-1.13%-0.64%$24,996$21,9990.21%-1.01%-3.26%1.13%0.53%0.88%-3.76%0.18%
201690.07%0.25%$25,014$22,0540.21%-1.51%0.69%0.87%1.34%2.52%-1.82%-0.32%
201610-2.81%-2.95%$24,312$21,404-2.19%-4.38%-2.94%-3.74%-2.22%-0.83%-5.74%-1.53%
201611-1.85%-1.22%$23,862$21,1424.49%-8.21%-8.36%13.34%-1.78%-4.42%-1.68%-3.17%
2016120.30%1.37%$23,933$21,4311.98%-0.46%-1.91%3.20%2.71%-0.25%4.82%0.84%
201712.84%2.10%$24,613$21,8811.86%0.81%5.42%-1.21%3.29%6.66%-0.19%0.15%
201723.17%2.20%$25,394$22,3613.69%1.59%3.18%1.35%1.19%1.74%3.51%1.32%
20173-0.22%0.32%$25,338$22,4320.06%-0.65%-0.43%-0.65%3.23%3.69%-2.42%-0.29%
201741.37%1.30%$25,684$22,7241.06%1.57%1.73%0.51%2.42%1.70%0.24%1.19%
201750.79%0.94%$25,886$22,9381.01%1.89%-0.12%-2.26%3.54%2.85%-0.72%1.33%
20176-0.09%0.81%$25,863$23,1240.95%0.79%-2.16%2.96%0.31%0.93%2.23%0.48%
201771.59%1.85%$26,275$23,5511.88%-0.66%2.31%0.75%2.65%5.82%1.24%0.77%
201782.02%0.97%$26,806$23,7790.15%3.41%4.20%-2.72%-0.04%2.35%-0.26%0.68%
20179-0.26%0.94%$26,736$24,0022.44%-2.32%-3.37%8.58%2.36%-0.04%-0.11%-0.05%
2017100.84%0.76%$26,961$24,1842.17%-0.04%-0.75%0.59%1.68%3.28%-1.07%0.19%
2017111.77%1.34%$27,439$24,5083.03%0.74%0.36%3.76%0.69%-0.39%2.66%-0.12%
2017121.58%1.36%$27,872$24,8421.16%1.81%2.11%-0.37%1.35%3.77%-0.14%1.22%
201813.14%1.80%$28,748$25,2895.23%-3.26%3.23%1.33%5.02%8.30%-4.25%-1.23%
20182-3.09%-4.20%$27,861$24,228-3.76%-3.04%-2.08%-4.04%-4.83%-5.90%-7.68%-2.24%
20183-0.30%0.88%$27,778$24,441-1.95%2.86%0.63%1.37%-0.84%0.54%3.88%0.56%
20184-0.44%-0.36%$27,657$24,3530.45%-2.09%-0.95%1.76%1.52%-2.82%0.82%-1.57%
201851.32%1.14%$28,022$24,6302.72%2.01%-1.20%5.87%-1.89%-2.62%3.68%0.52%
20186-0.72%-0.48%$27,821$24,5110.70%0.65%-3.61%0.80%-1.57%-4.54%4.20%-0.49%
201870.70%1.32%$28,016$24,8353.32%-1.44%-2.24%2.62%2.85%3.53%0.60%1.34%
201881.26%0.29%$28,368$24,9083.43%1.31%-2.14%3.14%-2.24%-3.77%2.58%0.02%
20189-0.60%-1.10%$28,197$24,6350.20%-2.86%-0.66%-3.05%0.97%-0.58%-2.64%-0.14%
201810-3.54%-5.00%$27,198$23,402-7.41%-2.93%2.12%-9.94%-8.13%-8.76%-2.93%-2.05%
2018111.43%1.80%$27,587$23,8242.01%1.79%0.34%0.57%0.50%4.90%4.67%-0.36%
201812-2.02%-3.21%$27,030$23,059-9.16%5.85%4.94%-12.38%-5.35%-3.50%-7.96%1.86%
201915.31%7.03%$28,466$24,6818.54%0.38%2.89%12.26%6.63%10.34%11.85%3.37%
201921.36%0.90%$28,855$24,9033.56%-1.38%-0.61%4.13%2.54%-1.53%0.70%-0.20%
201931.14%1.33%$29,182$25,2351.42%5.57%-1.60%-3.91%0.92%1.13%4.21%2.93%
201941.43%1.39%$29,599$25,5873.93%-1.99%-0.66%4.32%2.93%2.35%-0.16%0.44%
20195-1.52%-2.30%$29,148$24,998-6.45%6.84%1.76%-9.98%-5.03%-7.33%0.14%1.65%
201966.34%5.07%$30,997$26,2667.08%0.95%8.00%7.66%5.91%6.20%1.54%3.25%
201970.76%0.04%$31,232$26,2771.41%0.26%0.01%1.30%-1.95%-2.66%1.70%0.25%
201983.40%1.71%$32,294$26,726-2.08%11.04%7.91%-5.14%-1.92%-3.78%3.75%3.88%
20199-0.66%0.91%$32,079$26,9701.78%-2.68%-3.39%5.57%3.16%1.69%1.93%-0.76%
2019101.71%1.84%$32,628$27,4662.11%-1.11%2.56%2.00%3.39%4.18%1.13%0.44%
2019110.79%0.39%$32,888$27,5723.79%-0.41%-3.21%2.71%1.13%-0.09%-1.30%0.47%
2019122.07%2.26%$33,568$28,1952.80%-3.20%3.66%2.84%2.98%7.71%0.76%0.53%
202012.74%0.07%$34,487$28,213-0.06%7.69%4.50%-6.31%-2.82%-6.15%1.23%2.45%
20202-3.12%-3.70%$33,410$27,168-8.00%6.63%-0.64%-10.15%-7.77%-3.78%-7.03%1.09%
20203-6.01%-11.14%$31,401$24,142-13.91%6.38%-0.22%-25.76%-14.11%-15.77%-19.42%-6.31%
202049.20%7.81%$34,291$26,02713.13%1.22%7.26%13.89%5.82%7.35%8.96%4.85%
202053.27%2.67%$35,412$26,7225.40%-1.76%2.59%2.55%5.43%2.97%1.73%2.46%
202062.11%2.95%$36,158$27,5112.29%0.34%2.74%3.58%3.51%6.61%2.41%2.13%
Portfolio return and risk metrics
MetricMaximum Return at 10.00% VolatilityEqual Weighted
Arithmetic Mean (monthly)0.78%0.64%
Arithmetic Mean (annualized)9.80%8.00%
Geometric Mean (monthly)0.74%0.58%
Geometric Mean (annualized)9.27%7.23%
Volatility (monthly)2.85%3.45%
Volatility (annualized)9.87%11.95%
Downside Deviation (monthly)1.72%2.32%
Max. Drawdown-22.79%-36.98%
US Market Correlation0.750.88
Beta(*)0.480.68
Alpha (annualized)4.85%1.27%
R255.69%76.74%
Sharpe Ratio0.830.55
Sortino Ratio1.350.80
Treynor Ratio (%)17.249.68
Calmar Ratio1.320.41
Active Return0.64%-1.40%
Tracking Error10.41%7.61%
Information Ratio0.06-0.18
Skewness-0.67-0.86
Excess Kurtosis4.114.43
Historical Value-at-Risk (5%)-3.46%-4.63%
Analytical Value-at-Risk (5%)-3.89%-5.01%
Conditional Value-at-Risk (5%)-5.91%-8.48%
Upside Capture Ratio (%)53.1565.44
Downside Capture Ratio (%)32.2061.86
Safe Withdrawal Rate11.31%10.32%
Perpetual Withdrawal Rate7.03%5.20%
Positive Periods105 out of 174 (60.34%)109 out of 174 (62.64%)
Gain/Loss Ratio1.371.01
* 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 2009-22.79%-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 2008Feb 20091 yearNov 20099 months1 year 9 months-22.79%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-8.95%
3Apr 2013Jun 20133 monthsFeb 20148 months11 months-7.53%
4Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-7.13%
5Feb 2018Dec 201811 monthsFeb 20192 months1 year 1 month-5.98%
6Aug 2016Nov 20164 monthsFeb 20173 months7 months-5.61%
7Sep 2011Sep 20111 monthOct 20111 month2 months-5.20%
8Dec 2009Jan 20102 monthsMar 20102 months4 months-3.70%
9May 2012May 20121 monthJul 20122 months3 months-3.68%
10Sep 2014Sep 20141 monthJan 20154 months5 months-3.43%
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 ETF8.74%15.44%33.45%-36.98%-50.84%0.550.781.00
TLTiShares 20+ Year Treasury Bond ETF7.50%13.46%33.96%-21.80%-21.80%0.520.92-0.34
GLDSPDR Gold Shares8.46%17.55%30.45%-28.33%-42.91%0.490.780.06
IJSiShares S&P Small-Cap 600 Value ETF6.09%20.61%39.34%-29.39%-54.13%0.340.470.91
EFAiShares MSCI EAFE ETF3.12%17.57%26.95%-41.04%-57.38%0.200.270.89
EEMiShares MSCI Emerging Markets ETF4.14%22.47%68.93%-48.88%-60.44%0.240.360.79
VNQVanguard Real Estate ETF6.42%23.14%35.30%-37.00%-68.30%0.340.470.74
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.85%7.44%17.37%-3.79%-15.11%0.641.040.33

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTGLDIJSEFAEEMVNQLQDMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF1.00-0.350.060.910.890.790.740.330.750.88
TLTiShares 20+ Year Treasury Bond ETF-0.351.000.21-0.38-0.28-0.26-0.020.460.08-0.04
GLDSPDR Gold Shares0.060.211.000.010.160.290.100.270.680.37
IJSiShares S&P Small-Cap 600 Value ETF0.91-0.380.011.000.780.710.750.270.640.82
EFAiShares MSCI EAFE ETF0.89-0.280.160.781.000.890.690.410.730.89
EEMiShares MSCI Emerging Markets ETF0.79-0.260.290.710.891.000.620.380.740.87
VNQVanguard Real Estate ETF0.74-0.020.100.750.690.621.000.460.640.85
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.330.460.270.270.410.380.461.000.530.58

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF58.86%14.15%
TLTiShares 20+ Year Treasury Bond ETF1.76%-0.57%
GLDSPDR Gold Shares39.38%6.74%
IJSiShares S&P Small-Cap 600 Value ETF17.71%
EFAiShares MSCI EAFE ETF16.40%
EEMiShares MSCI Emerging Markets ETF20.54%
VNQVanguard Real Estate ETF20.51%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.52%

Annual Asset Returns

Rolling returns summary
Roll PeriodMaximum Return at 10.00% VolatilityEqual Weighted
AverageHighLowAverageHighLow
1 year9.54%24.19%-13.86%8.42%23.38%-21.23%
3 years8.17%16.41%2.88%6.81%15.10%0.64%
5 years8.41%12.36%5.80%7.33%12.71%4.45%
7 years8.33%10.39%6.02%7.41%9.63%5.79%
10 years8.39%9.55%7.54%7.31%8.50%6.02%
Result statistics are based on annualized rolling returns over full calendar year periods