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 - Aug 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 7.45% to 10.89%. 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 52.20%
TLT iShares 20+ Year Treasury Bond ETF 17.51%
GLD SPDR Gold Shares 30.28%
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$39,735$29,375
CAGR9.86%7.62%
Expected Return 10.40% 8.40%
Stdev9.90%11.94%
Best Year24.40%23.38%
Worst Year-14.51%-21.23%
Max. Drawdown -23.44% -36.98%
Sharpe Ratio (ex-ante)0.930.61
Sharpe Ratio (ex-post)0.890.58
Sortino Ratio1.450.85
US Stock Market Correlation0.770.87
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Maximum Return at 10.00% Volatility12.25%18.09%22.94%14.04%12.74%10.91%9.86%
Equal Weighted9.93%4.19%9.91%7.30%8.73%8.23%7.62%
Trailing returns are for full months ending in August 2020 excluding portfolio cashflows.
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 August
  • 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)9.56%10.89%15.49%0.6280.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)6.56%8.87%20.52%0.3760.00%100.00%
3iShares MSCI EAFE ETF (EFA)3.54%5.17%17.51%0.2290.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)4.86%7.55%22.44%0.2850.00%100.00%
5Vanguard Real Estate ETF (VNQ)6.63%9.59%23.02%0.3660.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)7.35%8.31%13.50%0.5300.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)5.87%6.16%7.45%0.6720.00%100.00%
8SPDR Gold Shares (GLD)9.09%10.77%17.65%0.5450.00%100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (1.16% annualized).

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerVTIIJSEFAEEMVNQTLTLQDGLD
Vanguard Total Stock Market ETFVTI1.000.910.890.790.73-0.350.330.07
iShares S&P Small-Cap 600 Value ETFIJS0.911.000.780.710.75-0.380.260.01
iShares MSCI EAFE ETFEFA0.890.781.000.880.69-0.280.400.16
iShares MSCI Emerging Markets ETFEEM0.790.710.881.000.62-0.250.380.30
Vanguard Real Estate ETFVNQ0.730.750.690.621.00-0.020.460.11
iShares 20+ Year Treasury Bond ETFTLT-0.35-0.38-0.28-0.25-0.021.000.470.22
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.330.260.400.380.460.471.000.28
SPDR Gold SharesGLD0.070.010.160.300.110.220.281.00
Based on provided custom correlation matrix
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return*Standard Deviation*Sharpe Ratio*
115.42%0.00%0.00%0.00%0.00%15.86%63.61%5.12%7.45%7.11%0.885
215.83%0.00%0.00%0.00%0.00%16.28%62.64%5.24%7.49%7.11%0.890
316.25%0.00%0.00%0.00%0.00%16.71%61.68%5.36%7.52%7.11%0.895
416.66%0.00%0.00%0.00%0.00%17.14%60.71%5.48%7.55%7.11%0.899
517.07%0.00%0.00%0.00%0.00%17.57%59.75%5.61%7.59%7.11%0.904
617.49%0.00%0.00%0.00%0.00%18.00%58.78%5.73%7.62%7.12%0.909
717.90%0.00%0.00%0.00%0.00%18.43%57.81%5.85%7.66%7.12%0.913
818.32%0.00%0.00%0.00%0.00%18.86%56.85%5.98%7.69%7.12%0.917
918.73%0.00%0.00%0.00%0.00%19.29%55.88%6.10%7.73%7.13%0.922
1019.14%0.00%0.00%0.00%0.00%19.72%54.92%6.22%7.76%7.13%0.926
1119.56%0.00%0.00%0.00%0.00%20.15%53.95%6.34%7.79%7.14%0.930
1219.97%0.00%0.00%0.00%0.00%20.58%52.98%6.47%7.83%7.14%0.935
1320.38%0.00%0.00%0.00%0.00%21.01%52.02%6.59%7.86%7.15%0.939
1420.80%0.00%0.00%0.00%0.00%21.44%51.05%6.71%7.90%7.15%0.943
1521.21%0.00%0.00%0.00%0.00%21.87%50.09%6.84%7.93%7.16%0.947
1621.63%0.00%0.00%0.00%0.00%22.29%49.12%6.96%7.97%7.17%0.950
1722.04%0.00%0.00%0.00%0.00%22.72%48.16%7.08%8.00%7.17%0.954
1822.45%0.00%0.00%0.00%0.00%23.15%47.19%7.20%8.03%7.18%0.958
1922.87%0.00%0.00%0.00%0.00%23.58%46.22%7.33%8.07%7.19%0.962
2023.28%0.00%0.00%0.00%0.00%24.01%45.26%7.45%8.10%7.20%0.965
2123.69%0.00%0.00%0.00%0.00%24.44%44.29%7.57%8.14%7.21%0.969
2224.11%0.00%0.00%0.00%0.00%24.87%43.33%7.70%8.17%7.22%0.972
2324.52%0.00%0.00%0.00%0.00%25.30%42.36%7.82%8.21%7.23%0.976
2424.94%0.00%0.00%0.00%0.00%25.73%41.40%7.94%8.24%7.24%0.979
2525.35%0.00%0.00%0.00%0.00%26.16%40.43%8.06%8.28%7.25%0.982
2625.76%0.00%0.00%0.00%0.00%26.59%39.46%8.19%8.31%7.26%0.985
2726.18%0.00%0.00%0.00%0.00%27.02%38.50%8.31%8.34%7.27%0.989
2826.59%0.00%0.00%0.00%0.00%27.45%37.53%8.43%8.38%7.28%0.992
2927.00%0.00%0.00%0.00%0.00%27.87%36.57%8.55%8.41%7.30%0.995
3027.42%0.00%0.00%0.00%0.00%28.30%35.60%8.68%8.45%7.31%0.997
3127.83%0.00%0.00%0.00%0.00%28.73%34.63%8.80%8.48%7.32%1.000
3228.25%0.00%0.00%0.00%0.00%29.16%33.67%8.92%8.52%7.34%1.003
3328.66%0.00%0.00%0.00%0.00%29.59%32.70%9.05%8.55%7.35%1.006
3429.07%0.00%0.00%0.00%0.00%30.02%31.74%9.17%8.59%7.37%1.008
3529.49%0.00%0.00%0.00%0.00%30.45%30.77%9.29%8.62%7.38%1.011
3629.90%0.00%0.00%0.00%0.00%30.88%29.81%9.41%8.66%7.40%1.013
3730.31%0.00%0.00%0.00%0.00%31.31%28.84%9.54%8.69%7.42%1.016
3830.73%0.00%0.00%0.00%0.00%31.74%27.87%9.66%8.73%7.43%1.018
3931.14%0.00%0.00%0.00%0.00%32.17%26.91%9.78%8.76%7.45%1.020
4031.56%0.00%0.00%0.00%0.00%32.60%25.94%9.91%8.79%7.47%1.023
4131.97%0.00%0.00%0.00%0.00%33.03%24.98%10.03%8.83%7.49%1.025
4232.38%0.00%0.00%0.00%0.00%33.45%24.01%10.15%8.86%7.51%1.027
4332.80%0.00%0.00%0.00%0.00%33.88%23.05%10.27%8.90%7.52%1.029
4433.21%0.00%0.00%0.00%0.00%34.31%22.08%10.40%8.93%7.54%1.031
4533.62%0.00%0.00%0.00%0.00%34.74%21.11%10.52%8.97%7.56%1.033
4634.04%0.00%0.00%0.00%0.00%35.17%20.15%10.64%9.00%7.58%1.035
4734.45%0.00%0.00%0.00%0.00%35.60%19.18%10.77%9.04%7.60%1.036
4834.87%0.00%0.00%0.00%0.00%36.03%18.22%10.89%9.07%7.63%1.038
4935.28%0.00%0.00%0.00%0.00%36.46%17.25%11.01%9.11%7.65%1.040
5035.69%0.00%0.00%0.00%0.00%36.89%16.28%11.13%9.14%7.67%1.041
5136.11%0.00%0.00%0.00%0.00%37.32%15.32%11.26%9.18%7.69%1.043
5236.52%0.00%0.00%0.00%0.00%37.75%14.35%11.38%9.21%7.71%1.044
5336.93%0.00%0.00%0.00%0.00%38.18%13.39%11.50%9.25%7.74%1.046
5437.35%0.00%0.00%0.00%0.00%38.61%12.42%11.62%9.28%7.76%1.047
5537.76%0.00%0.00%0.00%0.00%39.03%11.46%11.75%9.32%7.78%1.048
5638.18%0.00%0.00%0.00%0.00%39.46%10.49%11.87%9.35%7.81%1.050
5738.59%0.00%0.00%0.00%0.00%39.89%9.52%11.99%9.38%7.83%1.051
5839.00%0.00%0.00%0.00%0.00%40.32%8.56%12.12%9.42%7.86%1.052
5939.42%0.00%0.00%0.00%0.00%40.75%7.59%12.24%9.45%7.88%1.053
6039.83%0.00%0.00%0.00%0.00%41.18%6.63%12.36%9.49%7.91%1.054
6140.24%0.00%0.00%0.00%0.00%41.61%5.66%12.48%9.52%7.93%1.055
6240.66%0.00%0.00%0.00%0.00%42.04%4.70%12.61%9.56%7.96%1.056
6341.07%0.00%0.00%0.00%0.00%42.47%3.73%12.73%9.59%7.98%1.057
6441.49%0.00%0.00%0.00%0.00%42.90%2.76%12.85%9.63%8.01%1.058
6541.90%0.00%0.00%0.00%0.00%43.33%1.80%12.98%9.66%8.04%1.058
6642.31%0.00%0.00%0.00%0.00%43.76%0.83%13.10%9.70%8.07%1.059
6742.74%0.00%0.00%0.00%0.00%43.93%0.00%13.33%9.73%8.09%1.060
6843.24%0.00%0.00%0.00%0.00%42.54%0.00%14.22%9.77%8.13%1.060
6943.74%0.00%0.00%0.00%0.00%41.15%0.00%15.11%9.80%8.17%1.059
7044.23%0.00%0.00%0.00%0.00%39.76%0.00%16.00%9.84%8.22%1.057
7144.73%0.00%0.00%0.00%0.00%38.37%0.00%16.90%9.87%8.27%1.054
7245.23%0.00%0.00%0.00%0.00%36.98%0.00%17.79%9.91%8.34%1.050
7345.73%0.00%0.00%0.00%0.00%35.59%0.00%18.68%9.94%8.41%1.045
7446.23%0.00%0.00%0.00%0.00%34.20%0.00%19.57%9.98%8.48%1.040
7546.72%0.00%0.00%0.00%0.00%32.81%0.00%20.47%10.01%8.57%1.034
7647.22%0.00%0.00%0.00%0.00%31.42%0.00%21.36%10.05%8.66%1.027
7747.72%0.00%0.00%0.00%0.00%30.03%0.00%22.25%10.08%8.76%1.019
7848.22%0.00%0.00%0.00%0.00%28.64%0.00%23.14%10.12%8.86%1.011
7948.72%0.00%0.00%0.00%0.00%27.25%0.00%24.04%10.15%8.97%1.003
8049.21%0.00%0.00%0.00%0.00%25.86%0.00%24.93%10.19%9.09%0.994
8149.71%0.00%0.00%0.00%0.00%24.47%0.00%25.82%10.22%9.21%0.984
8250.21%0.00%0.00%0.00%0.00%23.08%0.00%26.71%10.26%9.34%0.975
8350.71%0.00%0.00%0.00%0.00%21.69%0.00%27.61%10.29%9.47%0.965
8451.21%0.00%0.00%0.00%0.00%20.29%0.00%28.50%10.33%9.61%0.955
8551.71%0.00%0.00%0.00%0.00%18.90%0.00%29.39%10.36%9.75%0.945
8652.20%0.00%0.00%0.00%0.00%17.51%0.00%30.28%10.40%9.90%0.934
8752.70%0.00%0.00%0.00%0.00%16.12%0.00%31.18%10.43%10.05%0.924
8853.20%0.00%0.00%0.00%0.00%14.73%0.00%32.07%10.47%10.20%0.913
8953.70%0.00%0.00%0.00%0.00%13.34%0.00%32.96%10.50%10.36%0.902
9054.20%0.00%0.00%0.00%0.00%11.95%0.00%33.85%10.54%10.52%0.892
9154.69%0.00%0.00%0.00%0.00%10.56%0.00%34.74%10.57%10.69%0.881
9255.19%0.00%0.00%0.00%0.00%9.17%0.00%35.64%10.61%10.86%0.871
9355.69%0.00%0.00%0.00%0.00%7.78%0.00%36.53%10.64%11.03%0.860
9456.19%0.00%0.00%0.00%0.00%6.39%0.00%37.42%10.68%11.21%0.850
9556.69%0.00%0.00%0.00%0.00%5.00%0.00%38.31%10.72%11.39%0.840
9657.18%0.00%0.00%0.00%0.00%3.61%0.00%39.21%10.75%11.57%0.829
9757.68%0.00%0.00%0.00%0.00%2.22%0.00%40.10%10.79%11.75%0.819
9858.18%0.00%0.00%0.00%0.00%0.83%0.00%40.99%10.82%11.94%0.809
9970.44%0.00%0.00%0.00%0.00%0.00%0.00%29.56%10.86%12.43%0.781
10099.99%0.00%0.00%0.00%0.00%0.00%0.00%0.01%10.89%15.49%0.628
*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 (1.16% 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%15.38%19.39%$11,538$11,93915.69%0.71%22.55%19.37%25.81%31.19%35.30%4.22%
20074.08%13.71%8.39%$13,120$12,9415.37%10.29%30.45%-5.56%9.94%33.31%-16.50%3.73%
20080.09%-14.51%-21.23%$11,216$10,194-36.98%33.93%4.92%-29.39%-41.04%-48.88%-37.00%2.40%
20092.72%18.22%23.38%$13,260$12,57728.89%-21.80%24.03%22.36%26.95%68.93%30.08%8.46%
20101.50%20.47%18.79%$15,974$14,94117.42%9.05%29.27%24.69%8.15%16.51%28.37%9.33%
20112.96%10.18%4.04%$17,600$15,5450.97%33.96%9.57%-1.65%-12.25%-18.82%8.62%9.73%
20121.74%11.41%14.22%$19,608$17,75616.45%2.63%6.60%18.24%18.82%19.10%17.63%10.58%
20131.50%3.28%4.45%$20,252$18,54633.45%-13.37%-28.33%39.34%21.40%-3.69%2.31%-2.00%
20140.76%10.51%8.88%$22,380$20,19312.54%27.30%-2.19%7.56%-6.20%-3.93%30.36%8.21%
20150.73%-2.82%-3.92%$21,750$19,4010.36%-1.79%-10.67%-6.90%-1.00%-16.18%2.42%-1.25%
20162.07%10.06%10.46%$23,939$21,43112.83%1.18%8.03%31.25%1.37%10.87%8.60%6.21%
20172.11%16.58%15.92%$27,908$24,84221.21%9.18%12.81%11.35%25.10%37.28%4.91%7.06%
20181.91%-3.08%-7.18%$27,048$23,059-5.21%-1.61%-1.94%-12.84%-13.81%-15.31%-6.02%-3.79%
20192.29%24.40%22.27%$33,647$28,19530.67%14.12%17.86%24.12%22.03%18.20%28.87%17.37%
20200.83%18.09%4.19%$39,735$29,3759.35%20.85%29.34%-18.52%-5.10%-0.15%-10.37%7.80%
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
200614.45%5.95%$10,445$10,5953.22%-1.34%9.93%8.75%5.77%14.20%7.54%-0.44%
20062-0.03%-0.19%$10,442$10,5750.22%1.11%-1.11%0.27%-0.70%-3.85%1.86%0.68%
200631.37%1.90%$10,585$10,7762.05%-4.57%3.62%4.86%4.01%2.17%4.73%-1.68%
200643.66%2.26%$10,973$11,0200.96%-2.75%12.03%0.18%4.79%6.52%-3.40%-0.20%
20065-2.12%-3.39%$10,740$10,646-3.22%-0.19%-1.32%-4.55%-3.82%-11.14%-2.70%-0.19%
20066-1.14%0.21%$10,618$10,6690.13%1.18%-4.67%0.04%-0.06%0.21%4.95%-0.09%
200671.27%1.33%$10,753$10,810-0.12%2.16%3.15%-3.10%0.81%2.34%3.89%1.46%
200681.32%2.07%$10,895$11,0332.30%3.06%-1.38%2.70%2.55%1.58%3.48%2.22%
200690.14%0.38%$10,910$11,0752.26%1.91%-4.53%1.19%0.22%-0.87%1.96%0.87%
2006102.38%3.63%$11,170$11,4773.53%0.85%1.29%5.52%3.75%7.06%6.03%1.00%
2006113.71%3.65%$11,584$11,8962.33%2.31%6.89%2.38%3.07%5.98%4.78%1.46%
200612-0.40%0.36%$11,538$11,9391.20%-2.69%-1.83%0.32%3.20%5.44%-1.83%-0.90%
200711.57%1.99%$11,720$12,1771.86%-1.00%2.56%2.14%1.39%0.11%8.78%0.09%
200720.52%-0.08%$11,780$12,167-1.62%3.39%2.55%-0.92%-0.12%-3.24%-2.70%2.00%
20073-0.05%0.59%$11,774$12,2381.12%-1.70%-1.11%0.91%2.90%5.33%-2.07%-0.68%
200742.88%2.13%$12,113$12,4994.02%0.90%2.05%1.84%3.75%3.73%-0.13%0.89%
200750.84%1.19%$12,215$12,6493.72%-2.31%-2.31%4.63%2.36%5.06%-0.38%-1.23%
20076-1.68%-1.67%$12,009$12,437-1.76%-1.01%-1.94%-2.24%-0.32%3.68%-8.99%-0.81%
20077-0.55%-1.85%$11,944$12,207-3.53%3.32%2.37%-6.26%-2.29%0.71%-8.26%-0.82%
200781.42%1.90%$12,113$12,4401.47%1.79%1.11%1.33%-0.63%1.04%6.74%2.38%
200795.23%4.55%$12,747$13,0063.85%0.23%10.51%0.31%5.32%11.57%3.90%0.73%
2007103.36%3.85%$13,175$13,5071.79%1.81%6.95%1.06%4.25%11.87%2.10%0.97%
200711-1.93%-3.46%$12,921$13,039-4.52%5.35%-1.65%-7.15%-3.62%-7.65%-9.47%1.02%
2007121.54%-0.75%$13,120$12,941-0.70%-0.64%6.65%-0.71%-2.99%-1.43%-5.41%-0.81%
200810.43%-1.53%$13,176$12,743-6.17%2.10%10.84%-4.00%-7.85%-8.92%-0.78%2.57%
200820.20%-0.50%$13,203$12,680-2.50%-0.46%5.23%-3.36%-1.02%1.99%-3.18%-0.71%
20083-1.91%-0.17%$12,951$12,658-0.90%2.14%-6.00%0.83%0.42%-3.75%6.48%-0.60%
200840.86%2.89%$13,062$13,0234.89%-2.48%-4.16%2.64%5.44%9.14%6.38%1.25%
200850.86%0.76%$13,174$13,1222.02%-2.69%0.92%3.92%1.19%3.16%-0.21%-2.21%
20086-2.41%-4.92%$12,857$12,477-8.12%2.65%4.52%-8.41%-8.80%-9.29%-10.62%-1.29%
20087-0.83%-0.61%$12,751$12,401-0.62%-0.37%-1.44%2.87%-3.32%-5.50%3.12%0.39%
20088-1.57%-1.05%$12,550$12,2711.46%2.74%-9.29%4.76%-4.25%-6.32%2.37%0.15%
20089-3.32%-5.68%$12,133$11,574-9.24%1.47%4.11%-4.82%-11.44%-14.68%-0.11%-10.73%
200810-14.34%-16.93%$10,394$9,615-17.48%-1.86%-16.14%-19.86%-20.83%-25.58%-31.73%-1.95%
2008112.14%-3.55%$10,616$9,273-8.01%14.34%12.57%-11.80%-6.37%-9.75%-22.72%3.35%
2008125.66%9.93%$11,216$10,1941.78%13.64%7.73%6.57%8.88%10.35%16.67%13.80%
20091-4.81%-8.98%$10,676$9,278-8.05%-13.07%5.54%-13.94%-13.73%-9.29%-17.53%-1.80%
20092-5.33%-8.25%$10,108$8,512-10.53%-1.54%1.45%-13.03%-10.39%-6.27%-20.53%-5.20%
200934.25%5.84%$10,538$9,0098.26%4.04%-2.54%7.58%8.39%16.86%3.61%0.47%
200943.51%10.02%$10,908$9,91110.99%-6.95%-3.33%18.89%11.52%15.56%30.68%2.78%
200955.30%5.84%$11,486$10,4915.46%-3.69%10.23%0.67%13.19%15.94%2.62%2.32%
20096-1.26%-0.82%$11,342$10,4040.36%0.76%-5.22%1.52%-1.43%-2.25%-3.23%2.89%
200974.86%7.27%$11,893$11,1607.74%0.58%2.38%11.00%10.04%11.01%10.77%4.63%
200982.35%3.54%$12,172$11,5553.71%2.24%0.05%3.48%4.50%-1.31%14.32%1.31%
200994.36%4.88%$12,703$12,1194.14%2.46%5.84%4.21%3.80%10.20%6.63%1.76%
200910-0.71%-2.32%$12,613$11,838-2.63%-2.62%3.72%-6.07%-2.52%-3.44%-4.46%-0.49%
2009117.06%5.36%$13,503$12,4735.69%1.21%12.79%2.90%3.92%7.85%6.57%1.95%
200912-1.80%0.84%$13,260$12,5772.86%-6.34%-7.20%8.10%0.70%3.27%7.37%-2.07%
20101-1.77%-2.72%$13,025$12,235-3.57%2.69%-1.26%-2.54%-5.07%-7.76%-5.52%1.25%
201022.73%2.41%$13,380$12,5303.44%-0.34%3.27%4.76%0.27%1.78%5.58%0.51%
201032.85%4.63%$13,761$13,1106.40%-2.06%-0.44%7.80%6.39%8.11%10.18%0.65%
201043.50%3.01%$14,243$13,5052.18%3.32%5.88%6.63%-2.80%-0.17%7.15%1.91%
20105-2.30%-4.44%$13,916$12,906-7.88%5.11%3.05%-8.54%-11.19%-9.39%-5.33%-1.31%
20106-1.32%-1.42%$13,733$12,723-5.83%5.80%2.36%-8.27%-2.07%-1.40%-5.19%3.28%
201071.96%5.24%$14,002$13,3907.02%-0.95%-5.09%6.71%11.61%10.93%9.59%2.11%
201080.74%-0.50%$14,105$13,323-4.71%8.40%5.71%-7.91%-3.80%-3.24%-1.28%2.86%
201095.94%6.16%$14,943$14,1449.45%-2.51%4.78%10.93%9.97%11.76%4.45%0.46%
2010102.43%2.32%$15,307$14,4724.03%-4.47%3.68%4.04%3.81%3.02%4.74%-0.26%
2010110.61%-0.97%$15,400$14,3310.51%-1.69%2.11%2.47%-4.82%-2.91%-1.85%-1.62%
2010123.72%4.25%$15,974$14,9416.96%-3.68%2.44%8.97%8.30%7.27%4.54%-0.75%
20111-1.40%-0.76%$15,750$14,8272.05%-3.08%-6.38%-0.24%2.10%-3.84%3.25%0.04%
201124.04%3.11%$16,386$15,2873.70%1.65%6.00%4.21%3.55%-0.04%4.71%1.08%
201130.71%0.75%$16,501$15,4020.42%0.03%1.60%2.21%-2.39%6.29%-1.62%-0.54%
201144.63%3.98%$17,266$16,0152.90%2.34%8.94%1.06%5.63%2.73%5.75%2.50%
20115-0.50%-0.46%$17,180$15,941-1.06%3.42%-1.79%-1.77%-2.21%-2.94%1.37%1.27%
20116-2.08%-1.80%$16,822$15,655-1.79%-2.33%-2.43%-1.59%-1.19%-0.93%-3.30%-0.80%
201172.14%1.05%$17,182$15,819-2.27%4.42%8.42%-2.77%-2.38%-1.03%1.56%2.43%
201182.23%-1.93%$17,565$15,514-6.09%9.66%12.27%-7.98%-8.75%-9.25%-5.62%0.34%
20119-4.99%-6.90%$16,688$14,443-7.57%13.20%-11.06%-10.57%-10.81%-17.89%-10.85%0.35%
2011107.04%8.93%$17,863$15,73311.37%-3.84%5.87%15.34%9.63%16.27%14.29%2.51%
2011110.66%-0.90%$17,981$15,592-0.37%1.98%1.67%0.63%-2.18%-1.96%-3.80%-3.16%
201112-2.12%-0.30%$17,600$15,5450.98%3.44%-10.66%2.02%-2.21%-4.30%4.85%3.49%
201216.04%6.10%$18,663$16,4935.07%-0.33%11.40%7.90%5.27%10.99%6.38%2.14%
201220.85%1.37%$18,822$16,7194.22%-2.59%-2.96%1.71%4.83%5.27%-1.15%1.63%
201230.46%0.18%$18,908$16,7503.06%-4.23%-1.32%2.89%0.42%-3.11%5.19%-1.42%
201240.47%0.29%$18,996$16,798-0.64%4.83%-0.15%-1.91%-2.08%-1.70%2.86%1.08%
20125-3.59%-4.54%$18,315$16,036-6.23%9.03%-6.34%-7.18%-11.14%-10.71%-4.51%0.76%
201262.53%3.48%$18,779$16,5944.05%-1.68%2.35%4.54%7.11%5.08%5.52%0.87%
201271.38%1.30%$19,038$16,8090.88%3.82%0.84%-0.69%0.08%-0.03%2.00%3.48%
201282.68%1.74%$19,547$17,1022.70%-1.32%4.94%4.08%3.20%0.41%-0.01%-0.05%
201292.27%1.87%$19,991$17,4222.49%-2.53%4.67%3.14%2.71%5.22%-1.86%1.10%
201210-1.92%-0.76%$19,608$17,289-1.81%-0.48%-2.94%-1.96%1.09%-0.44%-0.91%1.35%
2012110.50%0.87%$19,707$17,4400.77%1.38%-0.47%1.65%2.78%1.56%-0.26%-0.42%
201212-0.50%1.81%$19,608$17,7561.29%-2.49%-2.43%3.55%4.37%6.80%3.72%-0.33%
201312.12%1.62%$20,024$18,0435.42%-3.19%-0.51%5.35%3.73%-0.29%3.74%-1.30%
20132-0.65%-0.28%$19,893$17,9931.28%1.24%-5.09%1.63%-1.29%-2.28%1.22%1.08%
201332.27%1.46%$20,345$18,2563.95%-0.42%0.95%4.11%1.31%-1.02%2.87%-0.05%
20134-0.63%1.75%$20,216$18,5751.61%4.68%-7.56%0.12%5.02%1.22%6.73%2.17%
20135-1.79%-2.91%$19,855$18,0352.44%-6.76%-6.20%4.29%-3.02%-4.83%-5.98%-3.22%
20136-4.67%-3.65%$18,928$17,377-1.43%-3.27%-11.06%-0.14%-2.70%-5.35%-1.98%-3.27%
201374.85%3.27%$19,847$17,9455.75%-2.26%7.43%6.56%5.32%1.32%0.90%1.11%
20138-0.24%-1.88%$19,799$17,607-3.03%-1.34%5.20%-3.41%-1.96%-2.54%-6.98%-1.00%
201390.70%3.20%$19,938$18,1713.90%0.66%-4.78%6.59%7.82%7.21%3.49%0.74%
2013102.37%2.82%$20,412$18,6844.27%1.43%-0.34%3.48%3.26%4.17%4.52%1.81%
201311-0.73%-0.79%$20,262$18,5362.70%-2.70%-5.51%4.25%0.55%-0.26%-5.25%-0.14%
201312-0.05%0.05%$20,252$18,5462.73%-1.87%-3.79%1.29%2.16%-0.42%0.10%0.22%
201410.48%-0.58%$20,350$18,438-3.17%6.30%3.42%-3.51%-5.20%-8.64%4.28%1.88%
201424.53%4.00%$21,272$19,1764.87%0.52%6.27%4.63%6.13%3.38%5.07%1.14%
20143-0.56%0.41%$21,153$19,2550.51%0.73%-3.14%1.34%-0.46%3.88%0.49%-0.03%
201440.55%0.93%$21,270$19,4340.06%2.10%0.49%-2.29%1.67%0.78%3.29%1.33%
201450.69%1.38%$21,416$19,7032.10%2.95%-3.05%0.62%1.60%2.95%2.40%1.51%
201463.24%2.13%$22,110$20,1222.62%-0.25%6.32%3.85%0.92%2.40%1.13%0.01%
20147-2.02%-1.44%$21,662$19,832-1.99%0.67%-3.63%-5.07%-2.60%1.36%0.08%-0.32%
201483.11%2.72%$22,336$20,3724.15%4.72%0.38%4.46%0.18%2.83%3.04%2.00%
20149-3.34%-4.46%$21,591$19,463-2.10%-2.11%-6.18%-5.94%-3.88%-7.77%-6.04%-1.68%
2014101.00%2.74%$21,807$19,9972.75%2.81%-3.05%7.13%-0.27%1.42%9.94%1.23%
2014111.67%0.86%$22,170$20,1692.48%2.97%-0.49%0.48%0.06%-1.54%2.00%0.91%
2014120.95%0.12%$22,380$20,193-0.04%3.25%1.31%2.56%-4.00%-3.99%1.88%-0.02%
201512.92%2.62%$23,034$20,723-2.74%9.82%8.69%-5.32%0.62%-0.69%6.85%3.75%
201520.13%0.65%$23,065$20,8585.74%-6.14%-5.91%5.86%6.34%4.41%-3.67%-1.42%
20153-1.06%-0.27%$22,820$20,801-1.16%1.10%-2.15%1.03%-1.43%-1.50%1.74%0.20%
20154-0.33%-0.17%$22,745$20,7660.62%-3.43%-0.17%-1.82%3.65%6.85%-5.85%-1.19%
201550.43%-0.64%$22,843$20,6341.30%-2.37%0.56%0.75%0.20%-4.10%-0.30%-1.12%
20156-2.05%-2.43%$22,375$20,133-1.67%-4.07%-1.52%0.42%-3.12%-2.93%-4.68%-1.88%
20157-0.32%-0.09%$22,303$20,1141.70%4.55%-6.62%-2.70%2.03%-6.31%5.77%0.83%
20158-2.18%-3.88%$21,818$19,333-6.09%-0.69%3.71%-4.62%-7.43%-8.84%-6.29%-0.83%
20159-1.73%-1.23%$21,441$19,095-2.92%1.97%-1.80%-3.77%-4.42%-3.13%3.05%1.19%
2015104.75%4.46%$22,459$19,9467.91%-0.41%2.28%6.57%6.61%6.38%5.76%0.57%
201511-1.88%-1.08%$22,036$19,7320.60%-0.87%-6.75%2.47%-0.75%-2.52%-0.63%-0.15%
201512-1.30%-1.67%$21,750$19,401-2.13%-0.30%-0.45%-5.08%-2.34%-3.83%1.82%-1.08%
20161-0.37%-1.81%$21,669$19,051-5.72%5.57%5.41%-5.85%-5.52%-5.03%-3.44%0.12%
201623.85%1.58%$22,502$19,351-0.01%3.09%10.93%2.08%-3.33%-0.82%-0.36%1.05%
201633.44%6.15%$23,276$20,5427.11%-0.09%-0.84%9.41%6.58%12.96%10.48%3.62%
201641.76%1.12%$23,686$20,7730.66%-0.74%5.11%2.13%2.22%0.41%-2.35%1.55%
20165-0.81%-0.65%$23,494$20,6381.73%0.81%-6.14%0.44%-0.09%-3.69%2.25%-0.51%
201664.07%3.65%$24,451$21,3910.27%6.93%8.97%0.83%-2.42%4.56%6.92%3.09%
201673.04%3.50%$25,195$22,1403.98%2.10%1.98%5.06%3.98%5.38%4.26%1.29%
20168-1.06%-0.64%$24,929$21,9990.21%-1.01%-3.26%1.13%0.53%0.88%-3.76%0.18%
201690.05%0.25%$24,942$22,0540.21%-1.51%0.69%0.87%1.34%2.52%-1.82%-0.32%
201610-2.80%-2.95%$24,243$21,404-2.19%-4.38%-2.94%-3.74%-2.22%-0.83%-5.74%-1.53%
201611-1.62%-1.22%$23,849$21,1424.49%-8.21%-8.36%13.34%-1.78%-4.42%-1.68%-3.17%
2016120.38%1.37%$23,939$21,4311.98%-0.46%-1.91%3.20%2.71%-0.25%4.82%0.84%
201712.75%2.10%$24,598$21,8811.86%0.81%5.42%-1.21%3.29%6.66%-0.19%0.15%
201723.17%2.20%$25,378$22,3613.69%1.59%3.18%1.35%1.19%1.74%3.51%1.32%
20173-0.21%0.32%$25,323$22,4320.06%-0.65%-0.43%-0.65%3.23%3.69%-2.42%-0.29%
201741.35%1.30%$25,666$22,7241.06%1.57%1.73%0.51%2.42%1.70%0.24%1.19%
201750.82%0.94%$25,877$22,9381.01%1.89%-0.12%-2.26%3.54%2.85%-0.72%1.33%
20176-0.02%0.81%$25,872$23,1240.95%0.79%-2.16%2.96%0.31%0.93%2.23%0.48%
201771.57%1.85%$26,277$23,5511.88%-0.66%2.31%0.75%2.65%5.82%1.24%0.77%
201781.95%0.97%$26,789$23,7790.15%3.41%4.20%-2.72%-0.04%2.35%-0.26%0.68%
20179-0.15%0.94%$26,747$24,0022.44%-2.32%-3.37%8.58%2.36%-0.04%-0.11%-0.05%
2017100.90%0.76%$26,988$24,1842.17%-0.04%-0.75%0.59%1.68%3.28%-1.07%0.19%
2017111.82%1.34%$27,479$24,5083.03%0.74%0.36%3.76%0.69%-0.39%2.66%-0.12%
2017121.56%1.36%$27,908$24,8421.16%1.81%2.11%-0.37%1.35%3.77%-0.14%1.22%
201813.14%1.80%$28,784$25,2895.23%-3.26%3.23%1.33%5.02%8.30%-4.25%-1.23%
20182-3.12%-4.20%$27,885$24,228-3.76%-3.04%-2.08%-4.04%-4.83%-5.90%-7.68%-2.24%
20183-0.33%0.88%$27,794$24,441-1.95%2.86%0.63%1.37%-0.84%0.54%3.88%0.56%
20184-0.42%-0.36%$27,677$24,3530.45%-2.09%-0.95%1.76%1.52%-2.82%0.82%-1.57%
201851.41%1.14%$28,067$24,6302.72%2.01%-1.20%5.87%-1.89%-2.62%3.68%0.52%
20186-0.61%-0.48%$27,895$24,5110.70%0.65%-3.61%0.80%-1.57%-4.54%4.20%-0.49%
201870.80%1.32%$28,118$24,8353.32%-1.44%-2.24%2.62%2.85%3.53%0.60%1.34%
201881.37%0.29%$28,505$24,9083.43%1.31%-2.14%3.14%-2.24%-3.77%2.58%0.02%
20189-0.60%-1.10%$28,334$24,6350.20%-2.86%-0.66%-3.05%0.97%-0.58%-2.64%-0.14%
201810-3.74%-5.00%$27,274$23,402-7.41%-2.93%2.12%-9.94%-8.13%-8.76%-2.93%-2.05%
2018111.47%1.80%$27,674$23,8242.01%1.79%0.34%0.57%0.50%4.90%4.67%-0.36%
201812-2.26%-3.21%$27,048$23,059-9.16%5.85%4.94%-12.38%-5.35%-3.50%-7.96%1.86%
201915.40%7.03%$28,509$24,6818.54%0.38%2.89%12.26%6.63%10.34%11.85%3.37%
201921.43%0.90%$28,917$24,9033.56%-1.38%-0.61%4.13%2.54%-1.53%0.70%-0.20%
201931.23%1.33%$29,273$25,2351.42%5.57%-1.60%-3.91%0.92%1.13%4.21%2.93%
201941.50%1.39%$29,713$25,5873.93%-1.99%-0.66%4.32%2.93%2.35%-0.16%0.44%
20195-1.64%-2.30%$29,226$24,998-6.45%6.84%1.76%-9.98%-5.03%-7.33%0.14%1.65%
201966.28%5.07%$31,063$26,2667.08%0.95%8.00%7.66%5.91%6.20%1.54%3.25%
201970.78%0.04%$31,307$26,2771.41%0.26%0.01%1.30%-1.95%-2.66%1.70%0.25%
201983.24%1.71%$32,322$26,726-2.08%11.04%7.91%-5.14%-1.92%-3.78%3.75%3.88%
20199-0.57%0.91%$32,138$26,9701.78%-2.68%-3.39%5.57%3.16%1.69%1.93%-0.76%
2019101.68%1.84%$32,678$27,4662.11%-1.11%2.56%2.00%3.39%4.18%1.13%0.44%
2019110.93%0.39%$32,984$27,5723.79%-0.41%-3.21%2.71%1.13%-0.09%-1.30%0.47%
2019122.01%2.26%$33,647$28,1952.80%-3.20%3.66%2.84%2.98%7.71%0.76%0.53%
202012.68%0.07%$34,548$28,213-0.06%7.69%4.50%-6.31%-2.82%-6.15%1.23%2.45%
20202-3.21%-3.70%$33,440$27,168-8.00%6.63%-0.64%-10.15%-7.77%-3.78%-7.03%1.09%
20203-6.21%-11.14%$31,363$24,142-13.91%6.38%-0.22%-25.76%-14.11%-15.77%-19.42%-6.31%
202049.27%7.81%$34,269$26,02713.13%1.22%7.26%13.89%5.82%7.35%8.96%4.85%
202053.29%2.67%$35,398$26,7225.40%-1.76%2.59%2.55%5.43%2.97%1.73%2.46%
202062.08%2.95%$36,136$27,5112.29%0.34%2.74%3.58%3.51%6.61%2.41%2.13%
202077.04%5.06%$38,680$28,9035.74%4.44%10.79%2.58%1.94%8.25%3.64%3.10%
202082.73%1.63%$39,735$29,3757.10%-5.05%-0.32%5.07%4.72%2.89%0.44%-1.78%
Portfolio return and risk metrics
MetricMaximum Return at 10.00% VolatilityEqual Weighted
Arithmetic Mean (monthly)0.83%0.67%
Arithmetic Mean (annualized)10.40%8.40%
Geometric Mean (monthly)0.79%0.61%
Geometric Mean (annualized)9.86%7.62%
Volatility (monthly)2.86%3.45%
Volatility (annualized)9.90%11.94%
Downside Deviation (monthly)1.71%2.31%
Max. Drawdown-23.44%-36.98%
US Market Correlation0.770.87
Beta(*)0.490.67
Alpha (annualized)4.85%1.16%
R259.83%76.38%
Sharpe Ratio0.890.58
Sortino Ratio1.450.85
Treynor Ratio (%)17.7810.30
Calmar Ratio1.520.51
Active Return0.41%-1.83%
Tracking Error10.04%7.70%
Information Ratio0.04-0.24
Skewness-0.66-0.87
Excess Kurtosis4.044.42
Historical Value-at-Risk (5%)-3.37%-4.60%
Analytical Value-at-Risk (5%)-3.86%-4.98%
Conditional Value-at-Risk (5%)-5.96%-8.48%
Upside Capture Ratio (%)55.0764.84
Downside Capture Ratio (%)34.2761.84
Safe Withdrawal Rate11.22%10.32%
Perpetual Withdrawal Rate7.59%5.57%
Positive Periods109 out of 176 (61.93%)111 out of 176 (63.07%)
Gain/Loss Ratio1.341.02
* 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 2009-23.44%-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-23.44%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-9.22%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-7.04%
4Apr 2013Jun 20133 monthsOct 20134 months7 months-6.96%
5Feb 2018Dec 201811 monthsFeb 20192 months1 year 1 month-6.03%
6Aug 2016Nov 20164 monthsFeb 20173 months7 months-5.34%
7Sep 2011Sep 20111 monthOct 20111 month2 months-4.99%
8May 2012May 20121 monthJul 20122 months3 months-3.59%
9May 2010Jun 20102 monthsSep 20103 months5 months-3.58%
10Dec 2009Jan 20102 monthsMar 20102 months4 months-3.54%
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 monthsJul 20204 months6 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 ETF9.56%15.49%33.45%-36.98%-50.84%0.590.861.00
TLTiShares 20+ Year Treasury Bond ETF7.35%13.50%33.96%-21.80%-21.80%0.510.90-0.34
GLDSPDR Gold Shares9.09%17.65%30.45%-28.33%-42.91%0.520.840.07
IJSiShares S&P Small-Cap 600 Value ETF6.56%20.52%39.34%-29.39%-54.13%0.360.500.91
EFAiShares MSCI EAFE ETF3.54%17.51%26.95%-41.04%-57.38%0.220.310.89
EEMiShares MSCI Emerging Markets ETF4.86%22.44%68.93%-48.88%-60.44%0.270.400.79
VNQVanguard Real Estate ETF6.63%23.02%35.30%-37.00%-68.30%0.350.490.73
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.87%7.45%17.37%-3.79%-15.11%0.651.050.33

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTGLDIJSEFAEEMVNQLQDMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF1.00-0.350.070.910.890.790.730.330.770.87
TLTiShares 20+ Year Treasury Bond ETF-0.351.000.22-0.38-0.28-0.25-0.020.470.07-0.04
GLDSPDR Gold Shares0.070.221.000.010.160.300.110.280.650.38
IJSiShares S&P Small-Cap 600 Value ETF0.91-0.380.011.000.780.710.750.260.660.82
EFAiShares MSCI EAFE ETF0.89-0.280.160.781.000.880.690.400.740.89
EEMiShares MSCI Emerging Markets ETF0.79-0.250.300.710.881.000.620.380.750.88
VNQVanguard Real Estate ETF0.73-0.020.110.750.690.621.000.460.650.85
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.330.470.280.260.400.380.461.000.530.58

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF63.18%14.18%
TLTiShares 20+ Year Treasury Bond ETF1.71%-0.50%
GLDSPDR Gold Shares35.11%6.94%
IJSiShares S&P Small-Cap 600 Value ETF17.61%
EFAiShares MSCI EAFE ETF16.30%
EEMiShares MSCI Emerging Markets ETF20.56%
VNQVanguard Real Estate ETF20.38%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.53%

Annual Asset Returns

Rolling returns summary
Roll PeriodMaximum Return at 10.00% VolatilityEqual Weighted
AverageHighLowAverageHighLow
1 year9.56%24.40%-14.51%8.42%23.38%-21.23%
3 years8.21%16.20%3.52%6.81%15.10%0.64%
5 years8.51%12.54%5.96%7.33%12.71%4.45%
7 years8.47%10.10%6.33%7.41%9.63%5.79%
10 years8.49%9.76%7.57%7.31%8.50%6.02%
Result statistics are based on annualized rolling returns over full calendar year periods