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 - Dec 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 7.42% to 11.44%. 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 57.76%
TLT iShares 20+ Year Treasury Bond ETF 19.43%
GLD SPDR Gold Shares 22.81%
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$41,544$31,960
CAGR9.96%8.05%
Expected Return 10.50% 8.84%
Stdev9.91%12.02%
Best Year25.05%23.38%
Worst Year-16.56%-21.23%
Max. Drawdown -26.97% -36.98%
Sharpe Ratio (ex-ante)0.940.64
Sharpe Ratio (ex-post)0.900.61
Sortino Ratio1.440.92
US Stock Market Correlation0.850.88
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Maximum Return at 10.00% Volatility8.11%22.79%14.09%13.85%10.72%9.96%11.64%9.66%
Equal Weighted11.35%13.35%8.76%10.50%7.90%8.05%12.71%10.59%
Trailing annualized return and volatility are for full months ending in December 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.
  • 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)10.08%11.44%15.67%0.6580.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)8.06%10.49%20.99%0.4460.00%100.00%
3iShares MSCI EAFE ETF (EFA)4.33%6.01%17.76%0.2750.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)5.87%8.56%22.36%0.3320.00%100.00%
5Vanguard Real Estate ETF (VNQ)6.92%9.85%22.92%0.3800.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)7.02%7.96%13.40%0.5100.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)5.94%6.23%7.42%0.6860.00%100.00%
8SPDR Gold Shares (GLD)8.62%10.30%17.65%0.5190.00%100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (1.13% annualized).

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerVTIIJSEFAEEMVNQTLTLQDGLD
Vanguard Total Stock Market ETFVTI1.000.910.890.790.74-0.330.340.06
iShares S&P Small-Cap 600 Value ETFIJS0.911.000.790.710.74-0.370.28-0.00
iShares MSCI EAFE ETFEFA0.890.791.000.880.70-0.270.410.14
iShares MSCI Emerging Markets ETFEEM0.790.710.881.000.62-0.250.380.29
Vanguard Real Estate ETFVNQ0.740.740.700.621.00-0.010.470.10
iShares 20+ Year Treasury Bond ETFTLT-0.33-0.37-0.27-0.25-0.011.000.470.21
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.340.280.410.380.470.471.000.27
SPDR Gold SharesGLD0.06-0.000.140.290.100.210.271.00
Based on monthly returns from Jan 2006 to Dec 2020
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return*Standard Deviation*Sharpe Ratio*
113.80%0.00%0.00%0.00%0.00%14.82%65.63%5.75%7.42%7.12%0.884
214.31%0.00%0.00%0.00%0.00%15.31%64.49%5.88%7.46%7.12%0.890
314.82%0.00%0.00%0.00%0.00%15.81%63.36%6.01%7.50%7.12%0.895
415.33%0.00%0.00%0.00%0.00%16.30%62.23%6.14%7.54%7.12%0.901
515.83%0.00%0.00%0.00%0.00%16.80%61.10%6.26%7.58%7.12%0.906
616.34%0.00%0.00%0.00%0.00%17.29%59.97%6.39%7.62%7.12%0.911
716.85%0.00%0.00%0.00%0.00%17.79%58.84%6.52%7.66%7.13%0.916
817.36%0.00%0.00%0.00%0.00%18.28%57.71%6.65%7.70%7.13%0.921
917.87%0.00%0.00%0.00%0.00%18.77%56.58%6.78%7.74%7.14%0.926
1018.37%0.00%0.00%0.00%0.00%19.27%55.45%6.91%7.78%7.14%0.931
1118.88%0.00%0.00%0.00%0.00%19.76%54.32%7.03%7.82%7.15%0.936
1219.39%0.00%0.00%0.00%0.00%20.26%53.19%7.16%7.86%7.16%0.941
1319.90%0.00%0.00%0.00%0.00%20.75%52.06%7.29%7.90%7.16%0.945
1420.40%0.00%0.00%0.00%0.00%21.25%50.93%7.42%7.94%7.17%0.950
1520.91%0.00%0.00%0.00%0.00%21.74%49.80%7.55%7.98%7.18%0.954
1621.42%0.00%0.00%0.00%0.00%22.24%48.67%7.68%8.02%7.19%0.958
1721.93%0.00%0.00%0.00%0.00%22.73%47.54%7.80%8.06%7.20%0.963
1822.43%0.00%0.00%0.00%0.00%23.22%46.41%7.93%8.10%7.21%0.967
1922.94%0.00%0.00%0.00%0.00%23.72%45.28%8.06%8.14%7.22%0.971
2023.45%0.00%0.00%0.00%0.00%24.21%44.15%8.19%8.18%7.24%0.975
2123.96%0.00%0.00%0.00%0.00%24.71%43.02%8.32%8.22%7.25%0.978
2224.46%0.00%0.00%0.00%0.00%25.20%41.89%8.44%8.27%7.26%0.982
2324.97%0.00%0.00%0.00%0.00%25.70%40.76%8.57%8.31%7.28%0.986
2425.48%0.00%0.00%0.00%0.00%26.19%39.63%8.70%8.35%7.29%0.989
2525.99%0.00%0.00%0.00%0.00%26.68%38.50%8.83%8.39%7.31%0.993
2626.49%0.00%0.00%0.00%0.00%27.18%37.37%8.96%8.43%7.32%0.996
2727.00%0.00%0.00%0.00%0.00%27.67%36.24%9.09%8.47%7.34%0.999
2827.51%0.00%0.00%0.00%0.00%28.17%35.11%9.21%8.51%7.36%1.002
2928.02%0.00%0.00%0.00%0.00%28.66%33.98%9.34%8.55%7.37%1.005
3028.52%0.00%0.00%0.00%0.00%29.16%32.85%9.47%8.59%7.39%1.008
3129.03%0.00%0.00%0.00%0.00%29.65%31.72%9.60%8.63%7.41%1.011
3229.54%0.00%0.00%0.00%0.00%30.14%30.59%9.73%8.67%7.43%1.014
3330.05%0.00%0.00%0.00%0.00%30.64%29.46%9.86%8.71%7.45%1.017
3430.55%0.00%0.00%0.00%0.00%31.13%28.33%9.98%8.75%7.47%1.019
3531.06%0.00%0.00%0.00%0.00%31.63%27.20%10.11%8.79%7.49%1.022
3631.57%0.00%0.00%0.00%0.00%32.12%26.07%10.24%8.83%7.52%1.024
3732.08%0.00%0.00%0.00%0.00%32.62%24.94%10.37%8.87%7.54%1.026
3832.59%0.00%0.00%0.00%0.00%33.11%23.81%10.50%8.91%7.56%1.029
3933.09%0.00%0.00%0.00%0.00%33.61%22.68%10.63%8.95%7.59%1.031
4033.60%0.00%0.00%0.00%0.00%34.10%21.55%10.75%8.99%7.61%1.033
4134.11%0.00%0.00%0.00%0.00%34.59%20.42%10.88%9.03%7.63%1.035
4234.62%0.00%0.00%0.00%0.00%35.09%19.29%11.01%9.07%7.66%1.037
4335.12%0.00%0.00%0.00%0.00%35.58%18.16%11.14%9.11%7.69%1.038
4435.63%0.00%0.00%0.00%0.00%36.08%17.03%11.27%9.15%7.71%1.040
4536.14%0.00%0.00%0.00%0.00%36.57%15.90%11.39%9.19%7.74%1.042
4636.65%0.00%0.00%0.00%0.00%37.07%14.76%11.52%9.23%7.77%1.043
4737.15%0.00%0.00%0.00%0.00%37.56%13.63%11.65%9.27%7.79%1.045
4837.66%0.00%0.00%0.00%0.00%38.05%12.50%11.78%9.32%7.82%1.046
4938.17%0.00%0.00%0.00%0.00%38.55%11.37%11.91%9.36%7.85%1.047
5038.68%0.00%0.00%0.00%0.00%39.04%10.24%12.04%9.40%7.88%1.049
5139.18%0.00%0.00%0.00%0.00%39.54%9.11%12.16%9.44%7.91%1.050
5239.69%0.00%0.00%0.00%0.00%40.03%7.98%12.29%9.48%7.94%1.051
5340.20%0.00%0.00%0.00%0.00%40.53%6.85%12.42%9.52%7.97%1.052
5440.71%0.00%0.00%0.00%0.00%41.02%5.72%12.55%9.56%8.00%1.053
5541.21%0.00%0.00%0.00%0.00%41.52%4.59%12.68%9.60%8.04%1.054
5641.72%0.00%0.00%0.00%0.00%42.01%3.46%12.81%9.64%8.07%1.055
5742.23%0.00%0.00%0.00%0.00%42.50%2.33%12.93%9.68%8.10%1.055
5842.74%0.00%0.00%0.00%0.00%43.00%1.20%13.06%9.72%8.13%1.056
5943.24%0.00%0.00%0.00%0.00%43.49%0.07%13.19%9.76%8.17%1.057
6044.03%0.00%0.00%0.00%0.00%42.27%0.00%13.70%9.80%8.21%1.057
6144.84%0.00%0.00%0.00%0.00%40.92%0.00%14.24%9.84%8.25%1.056
6245.65%0.00%0.00%0.00%0.00%39.58%0.00%14.77%9.88%8.30%1.054
6346.45%0.00%0.00%0.00%0.00%38.24%0.00%15.31%9.93%8.36%1.051
6447.26%0.00%0.00%0.00%0.00%36.89%0.00%15.85%9.97%8.43%1.048
6548.07%0.00%0.00%0.00%0.00%35.55%0.00%16.38%10.01%8.51%1.043
6648.88%0.00%0.00%0.00%0.00%34.21%0.00%16.92%10.05%8.59%1.038
6749.68%0.00%0.00%0.00%0.00%32.86%0.00%17.45%10.09%8.68%1.032
6850.49%0.00%0.00%0.00%0.00%31.52%0.00%17.99%10.13%8.78%1.025
6951.30%0.00%0.00%0.00%0.00%30.18%0.00%18.53%10.17%8.88%1.018
7052.11%0.00%0.00%0.00%0.00%28.83%0.00%19.06%10.21%8.99%1.010
7152.91%0.00%0.00%0.00%0.00%27.49%0.00%19.60%10.25%9.11%1.002
7253.72%0.00%0.00%0.00%0.00%26.15%0.00%20.13%10.29%9.23%0.993
7354.53%0.00%0.00%0.00%0.00%24.80%0.00%20.67%10.33%9.35%0.984
7455.33%0.00%0.00%0.00%0.00%23.46%0.00%21.21%10.38%9.49%0.974
7556.14%0.00%0.00%0.00%0.00%22.12%0.00%21.74%10.42%9.62%0.965
7656.95%0.00%0.00%0.00%0.00%20.77%0.00%22.28%10.46%9.76%0.955
7757.76%0.00%0.00%0.00%0.00%19.43%0.00%22.81%10.50%9.91%0.945
7858.56%0.00%0.00%0.00%0.00%18.09%0.00%23.35%10.54%10.06%0.935
7959.37%0.00%0.00%0.00%0.00%16.74%0.00%23.89%10.58%10.22%0.925
8060.18%0.00%0.00%0.00%0.00%15.40%0.00%24.42%10.62%10.38%0.914
8160.98%0.00%0.00%0.00%0.00%14.06%0.00%24.96%10.66%10.54%0.904
8261.79%0.00%0.00%0.00%0.00%12.71%0.00%25.49%10.70%10.71%0.894
8362.60%0.00%0.00%0.00%0.00%11.37%0.00%26.03%10.74%10.88%0.883
8463.41%0.00%0.00%0.00%0.00%10.03%0.00%26.57%10.79%11.06%0.873
8564.21%0.00%0.00%0.00%0.00%8.68%0.00%27.10%10.83%11.23%0.863
8665.02%0.00%0.00%0.00%0.00%7.34%0.00%27.64%10.87%11.41%0.853
8765.83%0.00%0.00%0.00%0.00%6.00%0.00%28.17%10.91%11.60%0.843
8866.64%0.00%0.00%0.00%0.00%4.65%0.00%28.71%10.95%11.78%0.833
8967.44%0.00%0.00%0.00%0.00%3.31%0.00%29.25%10.99%11.97%0.823
9068.25%0.00%0.00%0.00%0.00%1.97%0.00%29.78%11.03%12.17%0.814
9169.06%0.00%0.00%0.00%0.00%0.62%0.00%30.32%11.07%12.36%0.804
9271.35%0.00%0.00%0.00%0.00%0.00%0.00%28.65%11.11%12.56%0.795
9374.93%0.00%0.00%0.00%0.00%0.00%0.00%25.07%11.16%12.81%0.782
9478.51%0.00%0.00%0.00%0.00%0.00%0.00%21.49%11.20%13.10%0.768
9582.09%0.00%0.00%0.00%0.00%0.00%0.00%17.91%11.24%13.44%0.752
9685.67%0.00%0.00%0.00%0.00%0.00%0.00%14.33%11.28%13.82%0.734
9789.25%0.00%0.00%0.00%0.00%0.00%0.00%10.75%11.32%14.23%0.716
9892.84%0.00%0.00%0.00%0.00%0.00%0.00%7.16%11.36%14.68%0.697
9996.42%0.00%0.00%0.00%0.00%0.00%0.00%3.58%11.40%15.16%0.677
100100.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%11.44%15.67%0.658
*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 (1.13% 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%14.53%19.39%$11,453$11,93915.69%0.71%22.55%19.37%25.81%31.19%35.30%4.22%
20074.08%11.99%8.39%$12,826$12,9415.37%10.29%30.45%-5.56%9.94%33.31%-16.50%3.73%
20080.09%-16.56%-21.23%$10,702$10,194-36.98%33.93%4.92%-29.39%-41.04%-48.88%-37.00%2.40%
20092.72%17.33%23.38%$12,557$12,57728.89%-21.80%24.03%22.36%26.95%68.93%30.08%8.46%
20101.50%19.46%18.79%$15,000$14,94117.42%9.05%29.27%24.69%8.15%16.51%28.37%9.33%
20112.96%10.06%4.04%$16,510$15,5450.97%33.96%9.57%-1.65%-12.25%-18.82%8.62%9.73%
20121.74%11.89%14.22%$18,473$17,75616.45%2.63%6.60%18.24%18.82%19.10%17.63%10.58%
20131.50%7.22%4.45%$19,807$18,54633.45%-13.37%-28.33%39.34%21.40%-3.69%2.31%-2.00%
20140.76%11.91%8.88%$22,167$20,19312.54%27.30%-2.19%7.56%-6.20%-3.93%30.36%8.21%
20150.73%-2.04%-3.92%$21,715$19,4010.36%-1.79%-10.67%-6.90%-1.00%-16.18%2.42%-1.25%
20162.07%10.14%10.46%$23,916$21,43112.83%1.18%8.03%31.25%1.37%10.87%8.60%6.21%
20172.11%16.96%15.92%$27,973$24,84221.21%9.18%12.81%11.35%25.10%37.28%4.91%7.06%
20181.91%-3.27%-7.18%$27,057$23,059-5.21%-1.61%-1.94%-12.84%-13.81%-15.31%-6.02%-3.79%
20192.29%25.05%22.27%$33,834$28,19530.67%14.12%17.86%24.12%22.03%18.20%28.87%17.37%
20201.27%22.79%13.35%$41,544$31,96021.03%18.15%24.81%2.63%7.59%17.03%-4.68%10.97%
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
200613.86%5.95%$10,386$10,5953.22%-1.34%9.93%8.75%5.77%14.20%7.54%-0.44%
200620.09%-0.19%$10,396$10,5750.22%1.11%-1.11%0.27%-0.70%-3.85%1.86%0.68%
200631.12%1.90%$10,512$10,7762.05%-4.57%3.62%4.86%4.01%2.17%4.73%-1.68%
200642.76%2.26%$10,803$11,0200.96%-2.75%12.03%0.18%4.79%6.52%-3.40%-0.20%
20065-2.20%-3.39%$10,565$10,646-3.22%-0.19%-1.32%-4.55%-3.82%-11.14%-2.70%-0.19%
20066-0.76%0.21%$10,485$10,6690.13%1.18%-4.67%0.04%-0.06%0.21%4.95%-0.09%
200671.07%1.33%$10,597$10,810-0.12%2.16%3.15%-3.10%0.81%2.34%3.89%1.46%
200681.61%2.07%$10,767$11,0332.30%3.06%-1.38%2.70%2.55%1.58%3.48%2.22%
200690.64%0.38%$10,836$11,0752.26%1.91%-4.53%1.19%0.22%-0.87%1.96%0.87%
2006102.50%3.63%$11,107$11,4773.53%0.85%1.29%5.52%3.75%7.06%6.03%1.00%
2006113.37%3.65%$11,481$11,8962.33%2.31%6.89%2.38%3.07%5.98%4.78%1.46%
200612-0.25%0.36%$11,453$11,9391.20%-2.69%-1.83%0.32%3.20%5.44%-1.83%-0.90%
200711.47%1.99%$11,621$12,1771.86%-1.00%2.56%2.14%1.39%0.11%8.78%0.09%
200720.30%-0.08%$11,656$12,167-1.62%3.39%2.55%-0.92%-0.12%-3.24%-2.70%2.00%
200730.06%0.59%$11,663$12,2381.12%-1.70%-1.11%0.91%2.90%5.33%-2.07%-0.68%
200742.97%2.13%$12,009$12,4994.02%0.90%2.05%1.84%3.75%3.73%-0.13%0.89%
200751.17%1.19%$12,150$12,6493.72%-2.31%-2.31%4.63%2.36%5.06%-0.38%-1.23%
20076-1.66%-1.67%$11,949$12,437-1.76%-1.01%-1.94%-2.24%-0.32%3.68%-8.99%-0.81%
20077-0.86%-1.85%$11,847$12,207-3.53%3.32%2.37%-6.26%-2.29%0.71%-8.26%-0.82%
200781.45%1.90%$12,018$12,4401.47%1.79%1.11%1.33%-0.63%1.04%6.74%2.38%
200794.66%4.55%$12,579$13,0063.85%0.23%10.51%0.31%5.32%11.57%3.90%0.73%
2007102.97%3.85%$12,953$13,5071.79%1.81%6.95%1.06%4.25%11.87%2.10%0.97%
200711-1.95%-3.46%$12,700$13,039-4.52%5.35%-1.65%-7.15%-3.62%-7.65%-9.47%1.02%
2007120.99%-0.75%$12,826$12,941-0.70%-0.64%6.65%-0.71%-2.99%-1.43%-5.41%-0.81%
20081-0.68%-1.53%$12,739$12,743-6.17%2.10%10.84%-4.00%-7.85%-8.92%-0.78%2.57%
20082-0.34%-0.50%$12,696$12,680-2.50%-0.46%5.23%-3.36%-1.02%1.99%-3.18%-0.71%
20083-1.47%-0.17%$12,509$12,658-0.90%2.14%-6.00%0.83%0.42%-3.75%6.48%-0.60%
200841.39%2.89%$12,683$13,0234.89%-2.48%-4.16%2.64%5.44%9.14%6.38%1.25%
200850.85%0.76%$12,791$13,1222.02%-2.69%0.92%3.92%1.19%3.16%-0.21%-2.21%
20086-3.14%-4.92%$12,389$12,477-8.12%2.65%4.52%-8.41%-8.80%-9.29%-10.62%-1.29%
20087-0.76%-0.61%$12,295$12,401-0.62%-0.37%-1.44%2.87%-3.32%-5.50%3.12%0.39%
20088-0.74%-1.05%$12,203$12,2711.46%2.74%-9.29%4.76%-4.25%-6.32%2.37%0.15%
20089-4.11%-5.68%$11,701$11,574-9.24%1.47%4.11%-4.82%-11.44%-14.68%-0.11%-10.73%
200810-14.14%-16.93%$10,047$9,615-17.48%-1.86%-16.14%-19.86%-20.83%-25.58%-31.73%-1.95%
2008111.03%-3.55%$10,150$9,273-8.01%14.34%12.57%-11.80%-6.37%-9.75%-22.72%3.35%
2008125.44%9.93%$10,702$10,1941.78%13.64%7.73%6.57%8.88%10.35%16.67%13.80%
20091-5.92%-8.98%$10,068$9,278-8.05%-13.07%5.54%-13.94%-13.73%-9.29%-17.53%-1.80%
20092-6.05%-8.25%$9,459$8,512-10.53%-1.54%1.45%-13.03%-10.39%-6.27%-20.53%-5.20%
200934.98%5.84%$9,931$9,0098.26%4.04%-2.54%7.58%8.39%16.86%3.61%0.47%
200944.24%10.02%$10,351$9,91110.99%-6.95%-3.33%18.89%11.52%15.56%30.68%2.78%
200954.77%5.84%$10,845$10,4915.46%-3.69%10.23%0.67%13.19%15.94%2.62%2.32%
20096-0.83%-0.82%$10,755$10,4040.36%0.76%-5.22%1.52%-1.43%-2.25%-3.23%2.89%
200975.12%7.27%$11,306$11,1607.74%0.58%2.38%11.00%10.04%11.01%10.77%4.63%
200982.59%3.54%$11,599$11,5553.71%2.24%0.05%3.48%4.50%-1.31%14.32%1.31%
200994.20%4.88%$12,086$12,1194.14%2.46%5.84%4.21%3.80%10.20%6.63%1.76%
200910-1.18%-2.32%$11,943$11,838-2.63%-2.62%3.72%-6.07%-2.52%-3.44%-4.46%-0.49%
2009116.44%5.36%$12,712$12,4735.69%1.21%12.79%2.90%3.92%7.85%6.57%1.95%
200912-1.22%0.84%$12,557$12,5772.86%-6.34%-7.20%8.10%0.70%3.27%7.37%-2.07%
20101-1.82%-2.72%$12,328$12,235-3.57%2.69%-1.26%-2.54%-5.07%-7.76%-5.52%1.25%
201022.67%2.41%$12,657$12,5303.44%-0.34%3.27%4.76%0.27%1.78%5.58%0.51%
201033.19%4.63%$13,061$13,1106.40%-2.06%-0.44%7.80%6.39%8.11%10.18%0.65%
201043.25%3.01%$13,485$13,5052.18%3.32%5.88%6.63%-2.80%-0.17%7.15%1.91%
20105-2.86%-4.44%$13,099$12,906-7.88%5.11%3.05%-8.54%-11.19%-9.39%-5.33%-1.31%
20106-1.71%-1.42%$12,876$12,723-5.83%5.80%2.36%-8.27%-2.07%-1.40%-5.19%3.28%
201072.71%5.24%$13,225$13,3907.02%-0.95%-5.09%6.71%11.61%10.93%9.59%2.11%
201080.21%-0.50%$13,253$13,323-4.71%8.40%5.71%-7.91%-3.80%-3.24%-1.28%2.86%
201096.06%6.16%$14,056$14,1449.45%-2.51%4.78%10.93%9.97%11.76%4.45%0.46%
2010102.30%2.32%$14,379$14,4724.03%-4.47%3.68%4.04%3.81%3.02%4.74%-0.26%
2010110.45%-0.97%$14,443$14,3310.51%-1.69%2.11%2.47%-4.82%-2.91%-1.85%-1.62%
2010123.86%4.25%$15,000$14,9416.96%-3.68%2.44%8.97%8.30%7.27%4.54%-0.75%
20111-0.87%-0.76%$14,870$14,8272.05%-3.08%-6.38%-0.24%2.10%-3.84%3.25%0.04%
201123.82%3.11%$15,438$15,2873.70%1.65%6.00%4.21%3.55%-0.04%4.71%1.08%
201130.61%0.75%$15,533$15,4020.42%0.03%1.60%2.21%-2.39%6.29%-1.62%-0.54%
201144.17%3.98%$16,180$16,0152.90%2.34%8.94%1.06%5.63%2.73%5.75%2.50%
20115-0.36%-0.46%$16,122$15,941-1.06%3.42%-1.79%-1.77%-2.21%-2.94%1.37%1.27%
20116-2.04%-1.80%$15,793$15,655-1.79%-2.33%-2.43%-1.59%-1.19%-0.93%-3.30%-0.80%
201171.47%1.05%$16,025$15,819-2.27%4.42%8.42%-2.77%-2.38%-1.03%1.56%2.43%
201181.16%-1.93%$16,211$15,514-6.09%9.66%12.27%-7.98%-8.75%-9.25%-5.62%0.34%
20119-4.33%-6.90%$15,509$14,443-7.57%13.20%-11.06%-10.57%-10.81%-17.89%-10.85%0.35%
2011107.16%8.93%$16,619$15,73311.37%-3.84%5.87%15.34%9.63%16.27%14.29%2.51%
2011110.55%-0.90%$16,710$15,592-0.37%1.98%1.67%0.63%-2.18%-1.96%-3.80%-3.16%
201112-1.20%-0.30%$16,510$15,5450.98%3.44%-10.66%2.02%-2.21%-4.30%4.85%3.49%
201215.46%6.10%$17,412$16,4935.07%-0.33%11.40%7.90%5.27%10.99%6.38%2.14%
201221.26%1.37%$17,630$16,7194.22%-2.59%-2.96%1.71%4.83%5.27%-1.15%1.63%
201230.64%0.18%$17,744$16,7503.06%-4.23%-1.32%2.89%0.42%-3.11%5.19%-1.42%
201240.54%0.29%$17,839$16,798-0.64%4.83%-0.15%-1.91%-2.08%-1.70%2.86%1.08%
20125-3.29%-4.54%$17,253$16,036-6.23%9.03%-6.34%-7.18%-11.14%-10.71%-4.51%0.76%
201262.55%3.48%$17,693$16,5944.05%-1.68%2.35%4.54%7.11%5.08%5.52%0.87%
201271.44%1.30%$17,947$16,8090.88%3.82%0.84%-0.69%0.08%-0.03%2.00%3.48%
201282.43%1.74%$18,384$17,1022.70%-1.32%4.94%4.08%3.20%0.41%-0.01%-0.05%
201292.01%1.87%$18,754$17,4222.49%-2.53%4.67%3.14%2.71%5.22%-1.86%1.10%
201210-1.81%-0.76%$18,415$17,289-1.81%-0.48%-2.94%-1.96%1.09%-0.44%-0.91%1.35%
2012110.61%0.87%$18,527$17,4400.77%1.38%-0.47%1.65%2.78%1.56%-0.26%-0.42%
201212-0.29%1.81%$18,473$17,7561.29%-2.49%-2.43%3.55%4.37%6.80%3.72%-0.33%
201312.39%1.62%$18,915$18,0435.42%-3.19%-0.51%5.35%3.73%-0.29%3.74%-1.30%
20132-0.18%-0.28%$18,881$17,9931.28%1.24%-5.09%1.63%-1.29%-2.28%1.22%1.08%
201332.41%1.46%$19,337$18,2563.95%-0.42%0.95%4.11%1.31%-1.02%2.87%-0.05%
201340.11%1.75%$19,358$18,5751.61%4.68%-7.56%0.12%5.02%1.22%6.73%2.17%
20135-1.32%-2.91%$19,103$18,0352.44%-6.76%-6.20%4.29%-3.02%-4.83%-5.98%-3.22%
20136-3.99%-3.65%$18,342$17,377-1.43%-3.27%-11.06%-0.14%-2.70%-5.35%-1.98%-3.27%
201374.57%3.27%$19,181$17,9455.75%-2.26%7.43%6.56%5.32%1.32%0.90%1.11%
20138-0.82%-1.88%$19,023$17,607-3.03%-1.34%5.20%-3.41%-1.96%-2.54%-6.98%-1.00%
201391.29%3.20%$19,268$18,1713.90%0.66%-4.78%6.59%7.82%7.21%3.49%0.74%
2013102.66%2.82%$19,782$18,6844.27%1.43%-0.34%3.48%3.26%4.17%4.52%1.81%
201311-0.22%-0.79%$19,738$18,5362.70%-2.70%-5.51%4.25%0.55%-0.26%-5.25%-0.14%
2013120.35%0.05%$19,807$18,5462.73%-1.87%-3.79%1.29%2.16%-0.42%0.10%0.22%
201410.17%-0.58%$19,841$18,438-3.17%6.30%3.42%-3.51%-5.20%-8.64%4.28%1.88%
201424.34%4.00%$20,703$19,1764.87%0.52%6.27%4.63%6.13%3.38%5.07%1.14%
20143-0.28%0.41%$20,645$19,2550.51%0.73%-3.14%1.34%-0.46%3.88%0.49%-0.03%
201440.56%0.93%$20,759$19,4340.06%2.10%0.49%-2.29%1.67%0.78%3.29%1.33%
201451.09%1.38%$20,986$19,7032.10%2.95%-3.05%0.62%1.60%2.95%2.40%1.51%
201462.91%2.13%$21,596$20,1222.62%-0.25%6.32%3.85%0.92%2.40%1.13%0.01%
20147-1.85%-1.44%$21,196$19,832-1.99%0.67%-3.63%-5.07%-2.60%1.36%0.08%-0.32%
201483.40%2.72%$21,917$20,3724.15%4.72%0.38%4.46%0.18%2.83%3.04%2.00%
20149-3.03%-4.46%$21,253$19,463-2.10%-2.11%-6.18%-5.94%-3.88%-7.77%-6.04%-1.68%
2014101.44%2.74%$21,558$19,9972.75%2.81%-3.05%7.13%-0.27%1.42%9.94%1.23%
2014111.90%0.86%$21,967$20,1692.48%2.97%-0.49%0.48%0.06%-1.54%2.00%0.91%
2014120.91%0.12%$22,167$20,193-0.04%3.25%1.31%2.56%-4.00%-3.99%1.88%-0.02%
201512.31%2.62%$22,678$20,723-2.74%9.82%8.69%-5.32%0.62%-0.69%6.85%3.75%
201520.78%0.65%$22,855$20,8585.74%-6.14%-5.91%5.86%6.34%4.41%-3.67%-1.42%
20153-0.95%-0.27%$22,639$20,801-1.16%1.10%-2.15%1.03%-1.43%-1.50%1.74%0.20%
20154-0.35%-0.17%$22,560$20,7660.62%-3.43%-0.17%-1.82%3.65%6.85%-5.85%-1.19%
201550.42%-0.64%$22,653$20,6341.30%-2.37%0.56%0.75%0.20%-4.10%-0.30%-1.12%
20156-2.10%-2.43%$22,177$20,133-1.67%-4.07%-1.52%0.42%-3.12%-2.93%-4.68%-1.88%
201570.36%-0.09%$22,256$20,1141.70%4.55%-6.62%-2.70%2.03%-6.31%5.77%0.83%
20158-2.81%-3.88%$21,631$19,333-6.09%-0.69%3.71%-4.62%-7.43%-8.84%-6.29%-0.83%
20159-1.72%-1.23%$21,260$19,095-2.92%1.97%-1.80%-3.77%-4.42%-3.13%3.05%1.19%
2015105.01%4.46%$22,325$19,9467.91%-0.41%2.28%6.57%6.61%6.38%5.76%0.57%
201511-1.36%-1.08%$22,021$19,7320.60%-0.87%-6.75%2.47%-0.75%-2.52%-0.63%-0.15%
201512-1.39%-1.67%$21,715$19,401-2.13%-0.30%-0.45%-5.08%-2.34%-3.83%1.82%-1.08%
20161-0.99%-1.81%$21,500$19,051-5.72%5.57%5.41%-5.85%-5.52%-5.03%-3.44%0.12%
201623.09%1.58%$22,164$19,351-0.01%3.09%10.93%2.08%-3.33%-0.82%-0.36%1.05%
201633.90%6.15%$23,028$20,5427.11%-0.09%-0.84%9.41%6.58%12.96%10.48%3.62%
201641.40%1.12%$23,351$20,7730.66%-0.74%5.11%2.13%2.22%0.41%-2.35%1.55%
20165-0.24%-0.65%$23,294$20,6381.73%0.81%-6.14%0.44%-0.09%-3.69%2.25%-0.51%
201663.55%3.65%$24,121$21,3910.27%6.93%8.97%0.83%-2.42%4.56%6.92%3.09%
201673.16%3.50%$24,883$22,1403.98%2.10%1.98%5.06%3.98%5.38%4.26%1.29%
20168-0.82%-0.64%$24,679$21,9990.21%-1.01%-3.26%1.13%0.53%0.88%-3.76%0.18%
20169-0.02%0.25%$24,675$22,0540.21%-1.51%0.69%0.87%1.34%2.52%-1.82%-0.32%
201610-2.79%-2.95%$23,987$21,404-2.19%-4.38%-2.94%-3.74%-2.22%-0.83%-5.74%-1.53%
201611-0.91%-1.22%$23,769$21,1424.49%-8.21%-8.36%13.34%-1.78%-4.42%-1.68%-3.17%
2016120.62%1.37%$23,916$21,4311.98%-0.46%-1.91%3.20%2.71%-0.25%4.82%0.84%
201712.47%2.10%$24,506$21,8811.86%0.81%5.42%-1.21%3.29%6.66%-0.19%0.15%
201723.17%2.20%$25,282$22,3613.69%1.59%3.18%1.35%1.19%1.74%3.51%1.32%
20173-0.19%0.32%$25,234$22,4320.06%-0.65%-0.43%-0.65%3.23%3.69%-2.42%-0.29%
201741.31%1.30%$25,565$22,7241.06%1.57%1.73%0.51%2.42%1.70%0.24%1.19%
201750.92%0.94%$25,801$22,9381.01%1.89%-0.12%-2.26%3.54%2.85%-0.72%1.33%
201760.21%0.81%$25,855$23,1240.95%0.79%-2.16%2.96%0.31%0.93%2.23%0.48%
201771.49%1.85%$26,239$23,5511.88%-0.66%2.31%0.75%2.65%5.82%1.24%0.77%
201781.71%0.97%$26,687$23,7790.15%3.41%4.20%-2.72%-0.04%2.35%-0.26%0.68%
201790.19%0.94%$26,738$24,0022.44%-2.32%-3.37%8.58%2.36%-0.04%-0.11%-0.05%
2017101.07%0.76%$27,025$24,1842.17%-0.04%-0.75%0.59%1.68%3.28%-1.07%0.19%
2017111.98%1.34%$27,559$24,5083.03%0.74%0.36%3.76%0.69%-0.39%2.66%-0.12%
2017121.50%1.36%$27,973$24,8421.16%1.81%2.11%-0.37%1.35%3.77%-0.14%1.22%
201813.13%1.80%$28,847$25,2895.23%-3.26%3.23%1.33%5.02%8.30%-4.25%-1.23%
20182-3.24%-4.20%$27,914$24,228-3.76%-3.04%-2.08%-4.04%-4.83%-5.90%-7.68%-2.24%
20183-0.43%0.88%$27,794$24,441-1.95%2.86%0.63%1.37%-0.84%0.54%3.88%0.56%
20184-0.36%-0.36%$27,693$24,3530.45%-2.09%-0.95%1.76%1.52%-2.82%0.82%-1.57%
201851.69%1.14%$28,161$24,6302.72%2.01%-1.20%5.87%-1.89%-2.62%3.68%0.52%
20186-0.29%-0.48%$28,078$24,5110.70%0.65%-3.61%0.80%-1.57%-4.54%4.20%-0.49%
201871.13%1.32%$28,395$24,8353.32%-1.44%-2.24%2.62%2.85%3.53%0.60%1.34%
201881.75%0.29%$28,891$24,9083.43%1.31%-2.14%3.14%-2.24%-3.77%2.58%0.02%
20189-0.59%-1.10%$28,720$24,6350.20%-2.86%-0.66%-3.05%0.97%-0.58%-2.64%-0.14%
201810-4.37%-5.00%$27,466$23,402-7.41%-2.93%2.12%-9.94%-8.13%-8.76%-2.93%-2.05%
2018111.59%1.80%$27,902$23,8242.01%1.79%0.34%0.57%0.50%4.90%4.67%-0.36%
201812-3.03%-3.21%$27,057$23,059-9.16%5.85%4.94%-12.38%-5.35%-3.50%-7.96%1.86%
201915.66%7.03%$28,590$24,6818.54%0.38%2.89%12.26%6.63%10.34%11.85%3.37%
201921.65%0.90%$29,061$24,9033.56%-1.38%-0.61%4.13%2.54%-1.53%0.70%-0.20%
201931.54%1.33%$29,508$25,2351.42%5.57%-1.60%-3.91%0.92%1.13%4.21%2.93%
201941.73%1.39%$30,018$25,5873.93%-1.99%-0.66%4.32%2.93%2.35%-0.16%0.44%
20195-2.00%-2.30%$29,419$24,998-6.45%6.84%1.76%-9.98%-5.03%-7.33%0.14%1.65%
201966.10%5.07%$31,213$26,2667.08%0.95%8.00%7.66%5.91%6.20%1.54%3.25%
201970.87%0.04%$31,484$26,2771.41%0.26%0.01%1.30%-1.95%-2.66%1.70%0.25%
201982.75%1.71%$32,349$26,726-2.08%11.04%7.91%-5.14%-1.92%-3.78%3.75%3.88%
20199-0.27%0.91%$32,263$26,9701.78%-2.68%-3.39%5.57%3.16%1.69%1.93%-0.76%
2019101.58%1.84%$32,774$27,4662.11%-1.11%2.56%2.00%3.39%4.18%1.13%0.44%
2019111.38%0.39%$33,226$27,5723.79%-0.41%-3.21%2.71%1.13%-0.09%-1.30%0.47%
2019121.83%2.26%$33,834$28,1952.80%-3.20%3.66%2.84%2.98%7.71%0.76%0.53%
202012.49%0.07%$34,675$28,213-0.06%7.69%4.50%-6.31%-2.82%-6.15%1.23%2.45%
20202-3.48%-3.70%$33,470$27,168-8.00%6.63%-0.64%-10.15%-7.77%-3.78%-7.03%1.09%
20203-6.85%-11.14%$31,179$24,142-13.91%6.38%-0.22%-25.76%-14.11%-15.77%-19.42%-6.31%
202049.48%7.81%$34,134$26,02713.13%1.22%7.26%13.89%5.82%7.35%8.96%4.85%
202053.36%2.67%$35,282$26,7225.40%-1.76%2.59%2.55%5.43%2.97%1.73%2.46%
202062.01%2.95%$35,993$27,5112.29%0.34%2.74%3.58%3.51%6.61%2.41%2.13%
202076.64%5.06%$38,383$28,9035.74%4.44%10.79%2.58%1.94%8.25%3.64%3.10%
202083.05%1.63%$39,553$29,3757.10%-5.05%-0.32%5.07%4.72%2.89%0.44%-1.78%
20209-2.85%-2.29%$38,427$28,703-3.54%0.77%-4.17%-5.18%-2.05%-1.01%-2.68%-0.44%
202010-1.90%-0.98%$37,696$28,421-1.95%-3.39%-0.52%3.66%-3.55%1.41%-3.00%-0.51%
2020115.91%8.00%$39,922$30,69411.80%1.66%-5.41%19.21%14.27%8.99%9.67%3.77%
2020124.06%4.12%$41,544$31,9604.68%-1.23%7.01%7.50%5.01%7.14%2.72%0.15%
Portfolio return and risk metrics
MetricMaximum Return at 10.00% VolatilityEqual Weighted
Arithmetic Mean (monthly)0.84%0.71%
Arithmetic Mean (annualized)10.50%8.84%
Geometric Mean (monthly)0.79%0.65%
Geometric Mean (annualized)9.96%8.05%
Volatility (monthly)2.86%3.47%
Volatility (annualized)9.91%12.02%
Downside Deviation (monthly)1.75%2.29%
Max. Drawdown-26.97%-36.98%
US Market Correlation0.850.88
Beta(*)0.540.67
Alpha (annualized)4.22%1.24%
R272.59%77.16%
Sharpe Ratio0.900.61
Sortino Ratio1.440.92
Treynor Ratio (%)16.5310.95
Calmar Ratio1.400.61
Active Return-0.01%-1.91%
Tracking Error8.91%7.70%
Information Ratio-0.00-0.25
Skewness-0.72-0.81
Excess Kurtosis3.854.20
Historical Value-at-Risk (5%)-3.30%-4.47%
Analytical Value-at-Risk (5%)-3.86%-4.98%
Conditional Value-at-Risk (5%)-5.91%-8.04%
Upside Capture Ratio (%)59.0565.06
Downside Capture Ratio (%)41.9361.77
Safe Withdrawal Rate10.53%9.90%
Perpetual Withdrawal Rate7.35%5.72%
Positive Periods115 out of 180 (63.89%)113 out of 180 (62.78%)
Gain/Loss Ratio1.241.05
* 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 2009-26.97%-36.98%

Drawdowns for Maximum Return at 10.00% Volatility

Drawdowns for Maximum Return at 10.00% Volatility (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20101 year 1 month2 years 5 months-26.97%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-10.08%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.98%
4Sep 2018Dec 20184 monthsFeb 20192 months6 months-6.35%
5May 2013Jun 20132 monthsOct 20134 months6 months-5.25%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-4.70%
7May 2010Jun 20102 monthsSep 20103 months5 months-4.52%
8Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.48%
9Sep 2011Sep 20111 monthOct 20111 month2 months-4.33%
10Feb 2018Apr 20183 monthsAug 20184 months7 months-4.00%
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 ETF10.08%15.67%33.45%-36.98%-50.84%0.620.911.00
TLTiShares 20+ Year Treasury Bond ETF7.02%13.40%33.96%-21.80%-21.80%0.490.86-0.33
GLDSPDR Gold Shares8.62%17.65%30.45%-28.33%-42.91%0.490.810.06
IJSiShares S&P Small-Cap 600 Value ETF8.06%20.99%39.34%-29.39%-54.13%0.420.610.91
EFAiShares MSCI EAFE ETF4.33%17.76%26.95%-41.04%-57.38%0.270.370.89
EEMiShares MSCI Emerging Markets ETF5.87%22.36%68.93%-48.88%-60.44%0.320.470.79
VNQVanguard Real Estate ETF6.92%22.92%35.30%-37.00%-68.30%0.360.510.74
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.94%7.42%17.37%-3.79%-15.11%0.661.080.34

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTGLDIJSEFAEEMVNQLQDMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF1.00-0.330.060.910.890.790.740.340.850.88
TLTiShares 20+ Year Treasury Bond ETF-0.331.000.21-0.37-0.27-0.25-0.010.470.04-0.03
GLDSPDR Gold Shares0.060.211.00-0.000.140.290.100.270.520.36
IJSiShares S&P Small-Cap 600 Value ETF0.91-0.37-0.001.000.790.710.740.280.740.82
EFAiShares MSCI EAFE ETF0.89-0.270.140.791.000.880.700.410.800.89
EEMiShares MSCI Emerging Markets ETF0.79-0.250.290.710.881.000.620.380.780.87
VNQVanguard Real Estate ETF0.74-0.010.100.740.700.621.000.470.710.85
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.340.470.270.280.410.380.471.000.540.59

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF77.74%14.31%
TLTiShares 20+ Year Treasury Bond ETF1.13%-0.44%
GLDSPDR Gold Shares21.12%6.65%
IJSiShares S&P Small-Cap 600 Value ETF17.98%
EFAiShares MSCI EAFE ETF16.48%
EEMiShares MSCI Emerging Markets ETF20.33%
VNQVanguard Real Estate ETF20.17%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.52%

Annual Asset Returns

Rolling returns summary
Roll PeriodMaximum Return at 10.00% VolatilityEqual Weighted
AverageHighLowAverageHighLow
1 year9.64%33.80%-25.49%7.67%47.20%-32.87%
3 years8.81%23.06%-3.10%6.94%25.23%-6.98%
5 years9.31%16.96%6.44%7.55%17.64%3.02%
7 years9.23%12.93%7.06%7.49%12.50%4.07%
10 years9.28%11.88%7.55%7.50%11.33%5.92%