Portfolio Optimization

This portfolio optimizer tool supports the following portfolio optimization strategies:

The optimization is based on the monthly return statistics of the selected portfolio assets for the given time period. The optimization result does not predict what allocation would perform best outside the given time period, and the actual performance of portfolios constructed using the optimized asset weights may vary from the given performance goal.

The required inputs for the optimization include the time range and the portfolio assets. Portfolio asset weights and constraints are optional. You can also use the Black-Litterman model based portfolio optimization, which allows the benchmark portfolio asset weights to be optimized based on investor's views.

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Asset Groups
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Portfolio Optimization Results (Jan 2006 - Mar 2021) Save

Portfolio optimization results with goal to maximize return subject to 10.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period is 6.92% to 11.94%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Return at 10.00% Volatility
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 61.65%
TLT iShares 20+ Year Treasury Bond ETF 21.39%
GLD SPDR Gold Shares 16.97%
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$41,098$32,526
CAGR9.71%8.04%
Expected Return 10.25% 8.81%
Stdev9.91%11.92%
Best Year25.48%23.38%
Worst Year-17.87%-21.23%
Max. Drawdown -29.48% -36.98%
Sharpe Ratio (ex-ante)0.920.65
Sharpe Ratio (ex-post)0.870.62
Sortino Ratio1.390.92
US Stock Market Correlation0.890.88
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Maximum Return at 10.00% Volatility-0.96%-0.96%32.59%14.03%12.50%10.75%9.71%11.75%9.77%
Equal Weighted1.77%1.77%34.73%9.99%9.63%7.76%8.04%12.36%10.25%
Trailing annualized return and volatility are for full months ending in March 2021 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 2021 are based on full calendar months from January to March
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetCAGRExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Total Stock Market ETF (VTI)10.37%11.71%15.57%0.6810.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)9.47%11.95%21.05%0.5150.00%100.00%
3iShares MSCI EAFE ETF (EFA)4.53%6.18%17.63%0.2870.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)5.99%8.64%22.19%0.3390.00%100.00%
5Vanguard Real Estate ETF (VNQ)7.39%10.30%22.77%0.4030.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)5.86%6.80%13.51%0.4210.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)5.45%5.74%7.44%0.6220.00%100.00%
8SPDR Gold Shares (GLD)7.70%9.36%17.63%0.4680.00%100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (1.11% annualized).

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerVTIIJSEFAEEMVNQTLTLQDGLD
Vanguard Total Stock Market ETFVTI1.000.910.890.790.74-0.340.330.06
iShares S&P Small-Cap 600 Value ETFIJS0.911.000.780.700.74-0.380.25-0.02
iShares MSCI EAFE ETFEFA0.890.781.000.880.70-0.270.410.14
iShares MSCI Emerging Markets ETFEEM0.790.700.881.000.62-0.250.380.29
Vanguard Real Estate ETFVNQ0.740.740.700.621.00-0.020.460.10
iShares 20+ Year Treasury Bond ETFTLT-0.34-0.38-0.27-0.25-0.021.000.490.22
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.330.250.410.380.460.491.000.28
SPDR Gold SharesGLD0.06-0.020.140.290.100.220.281.00
Based on monthly returns from Jan 2006 to Mar 2021
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return*Standard Deviation*Sharpe Ratio*
114.26%0.00%0.00%0.00%0.00%14.15%66.15%5.44%6.92%7.14%0.813
214.91%0.00%0.00%0.00%0.00%14.72%64.79%5.58%6.97%7.14%0.820
315.57%0.00%0.00%0.00%0.00%15.29%63.42%5.72%7.02%7.14%0.827
416.22%0.00%0.00%0.00%0.00%15.85%62.06%5.86%7.07%7.14%0.833
516.88%0.00%0.00%0.00%0.00%16.42%60.70%6.01%7.12%7.15%0.840
617.53%0.00%0.00%0.00%0.00%16.99%59.33%6.15%7.17%7.15%0.846
718.19%0.00%0.00%0.00%0.00%17.55%57.97%6.29%7.22%7.16%0.853
818.84%0.00%0.00%0.00%0.00%18.12%56.61%6.43%7.27%7.16%0.859
919.50%0.00%0.00%0.00%0.00%18.68%55.24%6.57%7.32%7.17%0.865
1020.15%0.00%0.00%0.00%0.00%19.25%53.88%6.71%7.37%7.18%0.871
1120.81%0.00%0.00%0.00%0.00%19.82%52.52%6.85%7.42%7.19%0.877
1221.47%0.00%0.00%0.00%0.00%20.38%51.16%7.00%7.47%7.20%0.882
1322.12%0.00%0.00%0.00%0.00%20.95%49.79%7.14%7.52%7.21%0.888
1422.78%0.00%0.00%0.00%0.00%21.52%48.43%7.28%7.57%7.23%0.893
1523.43%0.00%0.00%0.00%0.00%22.08%47.07%7.42%7.62%7.24%0.898
1624.09%0.00%0.00%0.00%0.00%22.65%45.70%7.56%7.67%7.25%0.903
1724.74%0.00%0.00%0.00%0.00%23.22%44.34%7.70%7.72%7.27%0.908
1825.40%0.00%0.00%0.00%0.00%23.78%42.98%7.84%7.77%7.29%0.913
1926.05%0.00%0.00%0.00%0.00%24.35%41.61%7.99%7.82%7.30%0.918
2026.71%0.00%0.00%0.00%0.00%24.92%40.25%8.13%7.87%7.32%0.922
2127.36%0.00%0.00%0.00%0.00%25.48%38.89%8.27%7.92%7.34%0.927
2228.02%0.00%0.00%0.00%0.00%26.05%37.52%8.41%7.97%7.36%0.931
2328.67%0.00%0.00%0.00%0.00%26.61%36.16%8.55%8.02%7.38%0.935
2429.33%0.00%0.00%0.00%0.00%27.18%34.80%8.69%8.07%7.40%0.939
2529.98%0.00%0.00%0.00%0.00%27.75%33.44%8.83%8.12%7.43%0.943
2630.64%0.00%0.00%0.00%0.00%28.31%32.07%8.98%8.17%7.45%0.947
2731.29%0.00%0.00%0.00%0.00%28.88%30.71%9.12%8.22%7.48%0.950
2831.95%0.00%0.00%0.00%0.00%29.45%29.35%9.26%8.27%7.50%0.954
2932.60%0.00%0.00%0.00%0.00%30.01%27.98%9.40%8.32%7.53%0.957
3033.26%0.00%0.00%0.00%0.00%30.58%26.62%9.54%8.37%7.56%0.960
3133.91%0.00%0.00%0.00%0.00%31.15%25.26%9.68%8.42%7.58%0.963
3234.57%0.00%0.00%0.00%0.00%31.71%23.89%9.82%8.47%7.61%0.966
3335.22%0.00%0.00%0.00%0.00%32.28%22.53%9.97%8.52%7.64%0.969
3435.88%0.00%0.00%0.00%0.00%32.85%21.17%10.11%8.57%7.67%0.972
3536.53%0.00%0.00%0.00%0.00%33.41%19.80%10.25%8.62%7.71%0.974
3637.19%0.00%0.00%0.00%0.00%33.98%18.44%10.39%8.67%7.74%0.977
3737.85%0.00%0.00%0.00%0.00%34.54%17.08%10.53%8.72%7.77%0.979
3838.50%0.00%0.00%0.00%0.00%35.11%15.72%10.67%8.77%7.81%0.981
3939.16%0.00%0.00%0.00%0.00%35.68%14.35%10.81%8.82%7.84%0.983
4039.81%0.00%0.00%0.00%0.00%36.24%12.99%10.96%8.87%7.88%0.985
4140.47%0.00%0.00%0.00%0.00%36.81%11.63%11.10%8.93%7.91%0.987
4241.12%0.00%0.00%0.00%0.00%37.38%10.26%11.24%8.98%7.95%0.989
4341.78%0.00%0.00%0.00%0.00%37.94%8.90%11.38%9.03%7.99%0.991
4442.43%0.00%0.00%0.00%0.00%38.51%7.54%11.52%9.08%8.03%0.992
4543.09%0.00%0.00%0.00%0.00%39.08%6.17%11.66%9.13%8.06%0.994
4643.74%0.00%0.00%0.00%0.00%39.64%4.81%11.80%9.18%8.10%0.995
4744.40%0.00%0.00%0.00%0.00%40.21%3.45%11.95%9.23%8.15%0.996
4845.05%0.00%0.00%0.00%0.00%40.77%2.08%12.09%9.28%8.19%0.997
4945.71%0.00%0.00%0.00%0.00%41.34%0.72%12.23%9.33%8.23%0.999
5046.47%0.00%0.00%0.00%0.00%41.10%0.00%12.43%9.38%8.27%0.999
5147.37%0.00%0.00%0.00%0.00%39.94%0.00%12.70%9.43%8.32%1.000
5248.26%0.00%0.00%0.00%0.00%38.78%0.00%12.96%9.48%8.38%0.999
5349.15%0.00%0.00%0.00%0.00%37.62%0.00%13.23%9.53%8.44%0.998
5450.04%0.00%0.00%0.00%0.00%36.46%0.00%13.50%9.58%8.51%0.996
5550.94%0.00%0.00%0.00%0.00%35.30%0.00%13.76%9.64%8.58%0.993
5651.83%0.00%0.00%0.00%0.00%34.14%0.00%14.03%9.69%8.66%0.989
5752.72%0.00%0.00%0.00%0.00%32.98%0.00%14.30%9.74%8.75%0.985
5853.61%0.00%0.00%0.00%0.00%31.82%0.00%14.56%9.79%8.84%0.981
5954.51%0.00%0.00%0.00%0.00%30.66%0.00%14.83%9.84%8.94%0.976
6055.40%0.00%0.00%0.00%0.00%29.50%0.00%15.10%9.89%9.05%0.970
6156.29%0.00%0.00%0.00%0.00%28.34%0.00%15.36%9.94%9.16%0.964
6257.18%0.00%0.00%0.00%0.00%27.18%0.00%15.63%9.99%9.27%0.958
6358.08%0.00%0.00%0.00%0.00%26.03%0.00%15.90%10.04%9.39%0.951
6458.97%0.00%0.00%0.00%0.00%24.87%0.00%16.16%10.09%9.51%0.944
6559.86%0.00%0.00%0.00%0.00%23.71%0.00%16.43%10.15%9.64%0.937
6660.75%0.00%0.00%0.00%0.00%22.55%0.00%16.70%10.20%9.77%0.930
6761.65%0.00%0.00%0.00%0.00%21.39%0.00%16.97%10.25%9.91%0.922
6862.54%0.00%0.00%0.00%0.00%20.23%0.00%17.23%10.30%10.05%0.914
6963.43%0.00%0.00%0.00%0.00%19.07%0.00%17.50%10.35%10.19%0.906
7064.32%0.00%0.00%0.00%0.00%17.91%0.00%17.77%10.40%10.34%0.898
7165.22%0.00%0.00%0.00%0.00%16.75%0.00%18.03%10.45%10.49%0.890
7266.11%0.00%0.00%0.00%0.00%15.59%0.00%18.30%10.50%10.64%0.882
7367.00%0.00%0.00%0.00%0.00%14.43%0.00%18.57%10.56%10.80%0.874
7467.89%0.00%0.00%0.00%0.00%13.27%0.00%18.83%10.61%10.96%0.866
7568.79%0.00%0.00%0.00%0.00%12.12%0.00%19.10%10.66%11.12%0.858
7669.68%0.00%0.00%0.00%0.00%10.96%0.00%19.37%10.71%11.29%0.850
7770.57%0.00%0.00%0.00%0.00%9.80%0.00%19.63%10.76%11.46%0.842
7871.46%0.00%0.00%0.00%0.00%8.64%0.00%19.90%10.81%11.63%0.834
7972.36%0.00%0.00%0.00%0.00%7.48%0.00%20.17%10.86%11.80%0.826
8073.25%0.00%0.00%0.00%0.00%6.32%0.00%20.43%10.91%11.98%0.818
8174.14%0.00%0.00%0.00%0.00%5.16%0.00%20.70%10.97%12.16%0.810
8275.03%0.00%0.00%0.00%0.00%4.00%0.00%20.97%11.02%12.34%0.803
8375.93%0.00%0.00%0.00%0.00%2.84%0.00%21.23%11.07%12.52%0.795
8476.82%0.00%0.00%0.00%0.00%1.68%0.00%21.50%11.12%12.71%0.788
8577.71%0.00%0.00%0.00%0.00%0.52%0.00%21.77%11.17%12.89%0.780
8679.31%0.00%0.00%0.00%0.00%0.00%0.00%20.69%11.22%13.08%0.773
8781.49%0.00%0.00%0.00%0.00%0.00%0.00%18.51%11.28%13.29%0.765
8883.67%0.00%0.00%0.00%0.00%0.00%0.00%16.33%11.33%13.51%0.756
8985.85%0.00%0.00%0.00%0.00%0.00%0.00%14.15%11.38%13.74%0.747
9088.02%0.00%0.00%0.00%0.00%0.00%0.00%11.98%11.43%13.99%0.737
9190.20%0.00%0.00%0.00%0.00%0.00%0.00%9.80%11.48%14.25%0.727
9292.38%0.00%0.00%0.00%0.00%0.00%0.00%7.62%11.53%14.52%0.717
9394.56%0.00%0.00%0.00%0.00%0.00%0.00%5.44%11.59%14.81%0.707
9496.74%0.00%0.00%0.00%0.00%0.00%0.00%3.26%11.64%15.11%0.697
9598.92%0.00%0.00%0.00%0.00%0.00%0.00%1.08%11.69%15.41%0.686
9688.81%11.19%0.00%0.00%0.00%0.00%0.00%0.00%11.74%15.99%0.664
9766.61%33.39%0.00%0.00%0.00%0.00%0.00%0.00%11.79%17.00%0.628
9844.41%55.59%0.00%0.00%0.00%0.00%0.00%0.00%11.84%18.21%0.589
9922.21%77.79%0.00%0.00%0.00%0.00%0.00%0.00%11.90%19.57%0.551
1000.01%99.99%0.00%0.00%0.00%0.00%0.00%0.00%11.95%21.05%0.515
*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 (1.11% annualized).
Annual returns for the configured portfolios
YearInflationMaximum Return at 10.00% VolatilityEqual WeightedVanguard 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)
ReturnBalanceReturnBalance
20062.54%13.78%$11,37819.39%$11,93915.69%0.71%22.55%19.37%25.81%31.19%35.30%4.22%
20074.08%10.68%$12,5938.39%$12,9415.37%10.29%30.45%-5.56%9.94%33.31%-16.50%3.73%
20080.09%-17.87%$10,343-21.23%$10,194-36.98%33.93%4.92%-29.39%-41.04%-48.88%-37.00%2.40%
20092.72%16.34%$12,03323.38%$12,57728.89%-21.80%24.03%22.36%26.95%68.93%30.08%8.46%
20101.50%18.63%$14,27518.79%$14,94117.42%9.05%29.27%24.69%8.15%16.51%28.37%9.33%
20112.96%10.10%$15,7164.04%$15,5450.97%33.96%9.57%-1.65%-12.25%-18.82%8.62%9.73%
20121.74%12.20%$17,63414.22%$17,75616.45%2.63%6.60%18.24%18.82%19.10%17.63%10.58%
20131.50%10.18%$19,4284.45%$18,54633.45%-13.37%-28.33%39.34%21.40%-3.69%2.31%-2.00%
20140.76%13.09%$21,9708.88%$20,19312.54%27.30%-2.19%7.56%-6.20%-3.93%30.36%8.21%
20150.73%-1.45%$21,653-3.92%$19,4010.36%-1.79%-10.67%-6.90%-1.00%-16.18%2.42%-1.25%
20162.07%10.12%$23,84510.46%$21,43112.83%1.18%8.03%31.25%1.37%10.87%8.60%6.21%
20172.11%17.20%$27,94715.92%$24,84221.21%9.18%12.81%11.35%25.10%37.28%4.91%7.06%
20181.91%-3.42%$26,993-7.18%$23,059-5.21%-1.61%-1.94%-12.84%-13.81%-15.31%-6.02%-3.79%
20192.29%25.48%$33,87022.27%$28,19530.67%14.12%17.86%24.12%22.03%18.20%28.87%17.37%
20201.36%22.52%$41,49813.35%$31,96021.03%18.15%24.81%2.63%7.59%17.03%-4.68%10.97%
20210.98%-0.96%$41,0981.77%$32,5266.54%-13.92%-10.32%24.32%3.99%3.23%8.79%-5.47%
Annual return for 2021 is from 01/01/2021 to 03/31/2021
Monthly returns for the configured portfolios
YearMonthMaximum Return at 10.00% VolatilityEqual WeightedVanguard 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)
ReturnBalanceReturnBalance
200613.38%$10,3385.95%$10,5953.22%-1.34%9.93%8.75%5.77%14.20%7.54%-0.44%
200620.18%$10,357-0.19%$10,5750.22%1.11%-1.11%0.27%-0.70%-3.85%1.86%0.68%
200630.90%$10,4511.90%$10,7762.05%-4.57%3.62%4.86%4.01%2.17%4.73%-1.68%
200642.04%$10,6642.26%$11,0200.96%-2.75%12.03%0.18%4.79%6.52%-3.40%-0.20%
20065-2.25%$10,424-3.39%$10,646-3.22%-0.19%-1.32%-4.55%-3.82%-11.14%-2.70%-0.19%
20066-0.46%$10,3760.21%$10,6690.13%1.18%-4.67%0.04%-0.06%0.21%4.95%-0.09%
200670.92%$10,4721.33%$10,810-0.12%2.16%3.15%-3.10%0.81%2.34%3.89%1.46%
200681.84%$10,6642.07%$11,0332.30%3.06%-1.38%2.70%2.55%1.58%3.48%2.22%
200691.03%$10,7740.38%$11,0752.26%1.91%-4.53%1.19%0.22%-0.87%1.96%0.87%
2006102.58%$11,0523.63%$11,4773.53%0.85%1.29%5.52%3.75%7.06%6.03%1.00%
2006113.10%$11,3943.65%$11,8962.33%2.31%6.89%2.38%3.07%5.98%4.78%1.46%
200612-0.14%$11,3780.36%$11,9391.20%-2.69%-1.83%0.32%3.20%5.44%-1.83%-0.90%
200711.37%$11,5341.99%$12,1771.86%-1.00%2.56%2.14%1.39%0.11%8.78%0.09%
200720.16%$11,552-0.08%$12,167-1.62%3.39%2.55%-0.92%-0.12%-3.24%-2.70%2.00%
200730.14%$11,5680.59%$12,2381.12%-1.70%-1.11%0.91%2.90%5.33%-2.07%-0.68%
200743.02%$11,9172.13%$12,4994.02%0.90%2.05%1.84%3.75%3.73%-0.13%0.89%
200751.41%$12,0851.19%$12,6493.72%-2.31%-2.31%4.63%2.36%5.06%-0.38%-1.23%
20076-1.63%$11,888-1.67%$12,437-1.76%-1.01%-1.94%-2.24%-0.32%3.68%-8.99%-0.81%
20077-1.07%$11,761-1.85%$12,207-3.53%3.32%2.37%-6.26%-2.29%0.71%-8.26%-0.82%
200781.48%$11,9351.90%$12,4401.47%1.79%1.11%1.33%-0.63%1.04%6.74%2.38%
200794.20%$12,4374.55%$13,0063.85%0.23%10.51%0.31%5.32%11.57%3.90%0.73%
2007102.67%$12,7693.85%$13,5071.79%1.81%6.95%1.06%4.25%11.87%2.10%0.97%
200711-1.92%$12,523-3.46%$13,039-4.52%5.35%-1.65%-7.15%-3.62%-7.65%-9.47%1.02%
2007120.56%$12,593-0.75%$12,941-0.70%-0.64%6.65%-0.71%-2.99%-1.43%-5.41%-0.81%
20081-1.51%$12,403-1.53%$12,743-6.17%2.10%10.84%-4.00%-7.85%-8.92%-0.78%2.57%
20082-0.75%$12,310-0.50%$12,680-2.50%-0.46%5.23%-3.36%-1.02%1.99%-3.18%-0.71%
20083-1.11%$12,173-0.17%$12,658-0.90%2.14%-6.00%0.83%0.42%-3.75%6.48%-0.60%
200841.78%$12,3892.89%$13,0234.89%-2.48%-4.16%2.64%5.44%9.14%6.38%1.25%
200850.82%$12,4910.76%$13,1222.02%-2.69%0.92%3.92%1.19%3.16%-0.21%-2.21%
20086-3.67%$12,033-4.92%$12,477-8.12%2.65%4.52%-8.41%-8.80%-9.29%-10.62%-1.29%
20087-0.71%$11,947-0.61%$12,401-0.62%-0.37%-1.44%2.87%-3.32%-5.50%3.12%0.39%
20088-0.09%$11,937-1.05%$12,2711.46%2.74%-9.29%4.76%-4.25%-6.32%2.37%0.15%
20089-4.68%$11,378-5.68%$11,574-9.24%1.47%4.11%-4.82%-11.44%-14.68%-0.11%-10.73%
200810-13.91%$9,795-16.93%$9,615-17.48%-1.86%-16.14%-19.86%-20.83%-25.58%-31.73%-1.95%
2008110.26%$9,820-3.55%$9,273-8.01%14.34%12.57%-11.80%-6.37%-9.75%-22.72%3.35%
2008125.32%$10,3439.93%$10,1941.78%13.64%7.73%6.57%8.88%10.35%16.67%13.80%
20091-6.82%$9,638-8.98%$9,278-8.05%-13.07%5.54%-13.94%-13.73%-9.29%-17.53%-1.80%
20092-6.57%$9,005-8.25%$8,512-10.53%-1.54%1.45%-13.03%-10.39%-6.27%-20.53%-5.20%
200935.53%$9,5025.84%$9,0098.26%4.04%-2.54%7.58%8.39%16.86%3.61%0.47%
200944.72%$9,95110.02%$9,91110.99%-6.95%-3.33%18.89%11.52%15.56%30.68%2.78%
200954.31%$10,3805.84%$10,4915.46%-3.69%10.23%0.67%13.19%15.94%2.62%2.32%
20096-0.50%$10,329-0.82%$10,4040.36%0.76%-5.22%1.52%-1.43%-2.25%-3.23%2.89%
200975.30%$10,8767.27%$11,1607.74%0.58%2.38%11.00%10.04%11.01%10.77%4.63%
200982.78%$11,1783.54%$11,5553.71%2.24%0.05%3.48%4.50%-1.31%14.32%1.31%
200994.07%$11,6324.88%$12,1194.14%2.46%5.84%4.21%3.80%10.20%6.63%1.76%
200910-1.55%$11,452-2.32%$11,838-2.63%-2.62%3.72%-6.07%-2.52%-3.44%-4.46%-0.49%
2009115.94%$12,1325.36%$12,4735.69%1.21%12.79%2.90%3.92%7.85%6.57%1.95%
200912-0.82%$12,0330.84%$12,5772.86%-6.34%-7.20%8.10%0.70%3.27%7.37%-2.07%
20101-1.84%$11,812-2.72%$12,235-3.57%2.69%-1.26%-2.54%-5.07%-7.76%-5.52%1.25%
201022.60%$12,1202.41%$12,5303.44%-0.34%3.27%4.76%0.27%1.78%5.58%0.51%
201033.43%$12,5354.63%$13,1106.40%-2.06%-0.44%7.80%6.39%8.11%10.18%0.65%
201043.05%$12,9183.01%$13,5052.18%3.32%5.88%6.63%-2.80%-0.17%7.15%1.91%
20105-3.25%$12,498-4.44%$12,906-7.88%5.11%3.05%-8.54%-11.19%-9.39%-5.33%-1.31%
20106-1.96%$12,254-1.42%$12,723-5.83%5.80%2.36%-8.27%-2.07%-1.40%-5.19%3.28%
201073.26%$12,6535.24%$13,3907.02%-0.95%-5.09%6.71%11.61%10.93%9.59%2.11%
20108-0.14%$12,636-0.50%$13,323-4.71%8.40%5.71%-7.91%-3.80%-3.24%-1.28%2.86%
201096.10%$13,4066.16%$14,1449.45%-2.51%4.78%10.93%9.97%11.76%4.45%0.46%
2010102.15%$13,6952.32%$14,4724.03%-4.47%3.68%4.04%3.81%3.02%4.74%-0.26%
2010110.31%$13,737-0.97%$14,3310.51%-1.69%2.11%2.47%-4.82%-2.91%-1.85%-1.62%
2010123.91%$14,2754.25%$14,9416.96%-3.68%2.44%8.97%8.30%7.27%4.54%-0.75%
20111-0.48%$14,207-0.76%$14,8272.05%-3.08%-6.38%-0.24%2.10%-3.84%3.25%0.04%
201123.65%$14,7253.11%$15,2873.70%1.65%6.00%4.21%3.55%-0.04%4.71%1.08%
201130.53%$14,8040.75%$15,4020.42%0.03%1.60%2.21%-2.39%6.29%-1.62%-0.54%
201143.80%$15,3673.98%$16,0152.90%2.34%8.94%1.06%5.63%2.73%5.75%2.50%
20115-0.23%$15,332-0.46%$15,941-1.06%3.42%-1.79%-1.77%-2.21%-2.94%1.37%1.27%
20116-2.02%$15,023-1.80%$15,655-1.79%-2.33%-2.43%-1.59%-1.19%-0.93%-3.30%-0.80%
201170.98%$15,1691.05%$15,819-2.27%4.42%8.42%-2.77%-2.38%-1.03%1.56%2.43%
201180.40%$15,230-1.93%$15,514-6.09%9.66%12.27%-7.98%-8.75%-9.25%-5.62%0.34%
20119-3.72%$14,663-6.90%$14,443-7.57%13.20%-11.06%-10.57%-10.81%-17.89%-10.85%0.35%
2011107.18%$15,7168.93%$15,73311.37%-3.84%5.87%15.34%9.63%16.27%14.29%2.51%
2011110.48%$15,790-0.90%$15,592-0.37%1.98%1.67%0.63%-2.18%-1.96%-3.80%-3.16%
201112-0.47%$15,716-0.30%$15,5450.98%3.44%-10.66%2.02%-2.21%-4.30%4.85%3.49%
201214.99%$16,5006.10%$16,4935.07%-0.33%11.40%7.90%5.27%10.99%6.38%2.14%
201221.54%$16,7551.37%$16,7194.22%-2.59%-2.96%1.71%4.83%5.27%-1.15%1.63%
201230.76%$16,8820.18%$16,7503.06%-4.23%-1.32%2.89%0.42%-3.11%5.19%-1.42%
201240.62%$16,9860.29%$16,798-0.64%4.83%-0.15%-1.91%-2.08%-1.70%2.86%1.08%
20125-2.98%$16,479-4.54%$16,036-6.23%9.03%-6.34%-7.18%-11.14%-10.71%-4.51%0.76%
201262.54%$16,8973.48%$16,5944.05%-1.68%2.35%4.54%7.11%5.08%5.52%0.87%
201271.50%$17,1501.30%$16,8090.88%3.82%0.84%-0.69%0.08%-0.03%2.00%3.48%
201282.22%$17,5311.74%$17,1022.70%-1.32%4.94%4.08%3.20%0.41%-0.01%-0.05%
201291.79%$17,8451.87%$17,4222.49%-2.53%4.67%3.14%2.71%5.22%-1.86%1.10%
201210-1.72%$17,539-0.76%$17,289-1.81%-0.48%-2.94%-1.96%1.09%-0.44%-0.91%1.35%
2012110.69%$17,6600.87%$17,4400.77%1.38%-0.47%1.65%2.78%1.56%-0.26%-0.42%
201212-0.15%$17,6341.81%$17,7561.29%-2.49%-2.43%3.55%4.37%6.80%3.72%-0.33%
201312.57%$18,0871.62%$18,0435.42%-3.19%-0.51%5.35%3.73%-0.29%3.74%-1.30%
201320.19%$18,122-0.28%$17,9931.28%1.24%-5.09%1.63%-1.29%-2.28%1.22%1.08%
201332.50%$18,5761.46%$18,2563.95%-0.42%0.95%4.11%1.31%-1.02%2.87%-0.05%
201340.71%$18,7071.75%$18,5751.61%4.68%-7.56%0.12%5.02%1.22%6.73%2.17%
20135-0.99%$18,522-2.91%$18,0352.44%-6.76%-6.20%4.29%-3.02%-4.83%-5.98%-3.22%
20136-3.46%$17,881-3.65%$17,377-1.43%-3.27%-11.06%-0.14%-2.70%-5.35%-1.98%-3.27%
201374.32%$18,6543.27%$17,9455.75%-2.26%7.43%6.56%5.32%1.32%0.90%1.11%
20138-1.27%$18,417-1.88%$17,607-3.03%-1.34%5.20%-3.41%-1.96%-2.54%-6.98%-1.00%
201391.73%$18,7363.20%$18,1713.90%0.66%-4.78%6.59%7.82%7.21%3.49%0.74%
2013102.88%$19,2752.82%$18,6844.27%1.43%-0.34%3.48%3.26%4.17%4.52%1.81%
2013110.15%$19,305-0.79%$18,5362.70%-2.70%-5.51%4.25%0.55%-0.26%-5.25%-0.14%
2013120.64%$19,4280.05%$18,5462.73%-1.87%-3.79%1.29%2.16%-0.42%0.10%0.22%
20141-0.03%$19,423-0.58%$18,438-3.17%6.30%3.42%-3.51%-5.20%-8.64%4.28%1.88%
201424.18%$20,2344.00%$19,1764.87%0.52%6.27%4.63%6.13%3.38%5.07%1.14%
20143-0.06%$20,2210.41%$19,2550.51%0.73%-3.14%1.34%-0.46%3.88%0.49%-0.03%
201440.57%$20,3370.93%$19,4340.06%2.10%0.49%-2.29%1.67%0.78%3.29%1.33%
201451.41%$20,6231.38%$19,7032.10%2.95%-3.05%0.62%1.60%2.95%2.40%1.51%
201462.64%$21,1672.13%$20,1222.62%-0.25%6.32%3.85%0.92%2.40%1.13%0.01%
20147-1.70%$20,806-1.44%$19,832-1.99%0.67%-3.63%-5.07%-2.60%1.36%0.08%-0.32%
201483.63%$21,5622.72%$20,3724.15%4.72%0.38%4.46%0.18%2.83%3.04%2.00%
20149-2.79%$20,960-4.46%$19,463-2.10%-2.11%-6.18%-5.94%-3.88%-7.77%-6.04%-1.68%
2014101.78%$21,3322.74%$19,9972.75%2.81%-3.05%7.13%-0.27%1.42%9.94%1.23%
2014112.08%$21,7760.86%$20,1692.48%2.97%-0.49%0.48%0.06%-1.54%2.00%0.91%
2014120.89%$21,9700.12%$20,193-0.04%3.25%1.31%2.56%-4.00%-3.99%1.88%-0.02%
201511.89%$22,3852.62%$20,723-2.74%9.82%8.69%-5.32%0.62%-0.69%6.85%3.75%
201521.23%$22,6590.65%$20,8585.74%-6.14%-5.91%5.86%6.34%4.41%-3.67%-1.42%
20153-0.84%$22,468-0.27%$20,801-1.16%1.10%-2.15%1.03%-1.43%-1.50%1.74%0.20%
20154-0.38%$22,382-0.17%$20,7660.62%-3.43%-0.17%-1.82%3.65%6.85%-5.85%-1.19%
201550.39%$22,469-0.64%$20,6341.30%-2.37%0.56%0.75%0.20%-4.10%-0.30%-1.12%
20156-2.16%$21,984-2.43%$20,133-1.67%-4.07%-1.52%0.42%-3.12%-2.93%-4.68%-1.88%
201570.90%$22,181-0.09%$20,1141.70%4.55%-6.62%-2.70%2.03%-6.31%5.77%0.83%
20158-3.27%$21,455-3.88%$19,333-6.09%-0.69%3.71%-4.62%-7.43%-8.84%-6.29%-0.83%
20159-1.69%$21,093-1.23%$19,095-2.92%1.97%-1.80%-3.77%-4.42%-3.13%3.05%1.19%
2015105.18%$22,1854.46%$19,9467.91%-0.41%2.28%6.57%6.61%6.38%5.76%0.57%
201511-0.96%$21,972-1.08%$19,7320.60%-0.87%-6.75%2.47%-0.75%-2.52%-0.63%-0.15%
201512-1.45%$21,653-1.67%$19,401-2.13%-0.30%-0.45%-5.08%-2.34%-3.83%1.82%-1.08%
20161-1.42%$21,346-1.81%$19,051-5.72%5.57%5.41%-5.85%-5.52%-5.03%-3.44%0.12%
201622.51%$21,8811.58%$19,351-0.01%3.09%10.93%2.08%-3.33%-0.82%-0.36%1.05%
201634.22%$22,8056.15%$20,5427.11%-0.09%-0.84%9.41%6.58%12.96%10.48%3.62%
201641.11%$23,0591.12%$20,7730.66%-0.74%5.11%2.13%2.22%0.41%-2.35%1.55%
201650.20%$23,105-0.65%$20,6381.73%0.81%-6.14%0.44%-0.09%-3.69%2.25%-0.51%
201663.17%$23,8393.65%$21,3910.27%6.93%8.97%0.83%-2.42%4.56%6.92%3.09%
201673.24%$24,6103.50%$22,1403.98%2.10%1.98%5.06%3.98%5.38%4.26%1.29%
20168-0.64%$24,452-0.64%$21,9990.21%-1.01%-3.26%1.13%0.53%0.88%-3.76%0.18%
20169-0.08%$24,4330.25%$22,0540.21%-1.51%0.69%0.87%1.34%2.52%-1.82%-0.32%
201610-2.79%$23,752-2.95%$21,404-2.19%-4.38%-2.94%-3.74%-2.22%-0.83%-5.74%-1.53%
201611-0.41%$23,655-1.22%$21,1424.49%-8.21%-8.36%13.34%-1.78%-4.42%-1.68%-3.17%
2016120.80%$23,8451.37%$21,4311.98%-0.46%-1.91%3.20%2.71%-0.25%4.82%0.84%
201712.24%$24,3782.10%$21,8811.86%0.81%5.42%-1.21%3.29%6.66%-0.19%0.15%
201723.16%$25,1482.20%$22,3613.69%1.59%3.18%1.35%1.19%1.74%3.51%1.32%
20173-0.18%$25,1030.32%$22,4320.06%-0.65%-0.43%-0.65%3.23%3.69%-2.42%-0.29%
201741.28%$25,4261.30%$22,7241.06%1.57%1.73%0.51%2.42%1.70%0.24%1.19%
201751.01%$25,6810.94%$22,9381.01%1.89%-0.12%-2.26%3.54%2.85%-0.72%1.33%
201760.39%$25,7810.81%$23,1240.95%0.79%-2.16%2.96%0.31%0.93%2.23%0.48%
201771.41%$26,1451.85%$23,5511.88%-0.66%2.31%0.75%2.65%5.82%1.24%0.77%
201781.53%$26,5460.97%$23,7790.15%3.41%4.20%-2.72%-0.04%2.35%-0.26%0.68%
201790.44%$26,6610.94%$24,0022.44%-2.32%-3.37%8.58%2.36%-0.04%-0.11%-0.05%
2017101.20%$26,9820.76%$24,1842.17%-0.04%-0.75%0.59%1.68%3.28%-1.07%0.19%
2017112.09%$27,5451.34%$24,5083.03%0.74%0.36%3.76%0.69%-0.39%2.66%-0.12%
2017121.46%$27,9471.36%$24,8421.16%1.81%2.11%-0.37%1.35%3.77%-0.14%1.22%
201813.08%$28,8071.80%$25,2895.23%-3.26%3.23%1.33%5.02%8.30%-4.25%-1.23%
20182-3.32%$27,851-4.20%$24,228-3.76%-3.04%-2.08%-4.04%-4.83%-5.90%-7.68%-2.24%
20183-0.49%$27,7160.88%$24,441-1.95%2.86%0.63%1.37%-0.84%0.54%3.88%0.56%
20184-0.33%$27,624-0.36%$24,3530.45%-2.09%-0.95%1.76%1.52%-2.82%0.82%-1.57%
201851.90%$28,1501.14%$24,6302.72%2.01%-1.20%5.87%-1.89%-2.62%3.68%0.52%
20186-0.04%$28,138-0.48%$24,5110.70%0.65%-3.61%0.80%-1.57%-4.54%4.20%-0.49%
201871.36%$28,5201.32%$24,8353.32%-1.44%-2.24%2.62%2.85%3.53%0.60%1.34%
201882.03%$29,1000.29%$24,9083.43%1.31%-2.14%3.14%-2.24%-3.77%2.58%0.02%
20189-0.60%$28,924-1.10%$24,6350.20%-2.86%-0.66%-3.05%0.97%-0.58%-2.64%-0.14%
201810-4.84%$27,526-5.00%$23,402-7.41%-2.93%2.12%-9.94%-8.13%-8.76%-2.93%-2.05%
2018111.68%$27,9891.80%$23,8242.01%1.79%0.34%0.57%0.50%4.90%4.67%-0.36%
201812-3.56%$26,993-3.21%$23,059-9.16%5.85%4.94%-12.38%-5.35%-3.50%-7.96%1.86%
201915.84%$28,5687.03%$24,6818.54%0.38%2.89%12.26%6.63%10.34%11.85%3.37%
201921.80%$29,0810.90%$24,9033.56%-1.38%-0.61%4.13%2.54%-1.53%0.70%-0.20%
201931.79%$29,6031.33%$25,2351.42%5.57%-1.60%-3.91%0.92%1.13%4.21%2.93%
201941.88%$30,1601.39%$25,5873.93%-1.99%-0.66%4.32%2.93%2.35%-0.16%0.44%
20195-2.22%$29,492-2.30%$24,998-6.45%6.84%1.76%-9.98%-5.03%-7.33%0.14%1.65%
201965.92%$31,2395.07%$26,2667.08%0.95%8.00%7.66%5.91%6.20%1.54%3.25%
201970.93%$31,5280.04%$26,2771.41%0.26%0.01%1.30%-1.95%-2.66%1.70%0.25%
201982.42%$32,2921.71%$26,726-2.08%11.04%7.91%-5.14%-1.92%-3.78%3.75%3.88%
20199-0.05%$32,2750.91%$26,9701.78%-2.68%-3.39%5.57%3.16%1.69%1.93%-0.76%
2019101.49%$32,7571.84%$27,4662.11%-1.11%2.56%2.00%3.39%4.18%1.13%0.44%
2019111.70%$33,3160.39%$27,5723.79%-0.41%-3.21%2.71%1.13%-0.09%-1.30%0.47%
2019121.67%$33,8702.26%$28,1952.80%-3.20%3.66%2.84%2.98%7.71%0.76%0.53%
202012.37%$34,6730.07%$28,213-0.06%7.69%4.50%-6.31%-2.82%-6.15%1.23%2.45%
20202-3.62%$33,418-3.70%$27,168-8.00%6.63%-0.64%-10.15%-7.77%-3.78%-7.03%1.09%
20203-7.25%$30,995-11.14%$24,142-13.91%6.38%-0.22%-25.76%-14.11%-15.77%-19.42%-6.31%
202049.59%$33,9677.81%$26,02713.13%1.22%7.26%13.89%5.82%7.35%8.96%4.85%
202053.39%$35,1182.67%$26,7225.40%-1.76%2.59%2.55%5.43%2.97%1.73%2.46%
202061.95%$35,8032.95%$27,5112.29%0.34%2.74%3.58%3.51%6.61%2.41%2.13%
202076.32%$38,0665.06%$28,9035.74%4.44%10.79%2.58%1.94%8.25%3.64%3.10%
202083.25%$39,3011.63%$29,3757.10%-5.05%-0.32%5.07%4.72%2.89%0.44%-1.78%
20209-2.73%$38,229-2.29%$28,703-3.54%0.77%-4.17%-5.18%-2.05%-1.01%-2.68%-0.44%
202010-2.01%$37,459-0.98%$28,421-1.95%-3.39%-0.52%3.66%-3.55%1.41%-3.00%-0.51%
2020116.71%$39,9758.00%$30,69411.80%1.66%-5.41%19.21%14.27%8.99%9.67%3.77%
2020123.81%$41,4984.12%$31,9604.68%-1.23%7.01%7.50%5.01%7.14%2.72%0.15%
20211-1.53%$40,863-0.04%$31,946-0.33%-3.63%-3.22%6.25%-0.78%3.17%0.04%-1.83%
20212-0.35%$40,7190.77%$32,1913.14%-5.73%-6.26%10.80%2.24%0.79%3.43%-2.26%
202130.93%$41,0981.04%$32,5263.65%-5.24%-1.14%5.61%2.51%-0.73%5.15%-1.48%
Portfolio return and risk metrics
MetricMaximum Return at 10.00% VolatilityEqual Weighted
Arithmetic Mean (monthly)0.82%0.71%
Arithmetic Mean (annualized)10.25%8.81%
Geometric Mean (monthly)0.78%0.65%
Geometric Mean (annualized)9.71%8.04%
Volatility (monthly)2.86%3.44%
Volatility (annualized)9.91%11.92%
Downside Deviation (monthly)1.78%2.27%
Max. Drawdown-29.48%-36.98%
US Market Correlation0.890.88
Beta(*)0.570.67
Alpha (annualized)3.56%1.08%
R279.17%76.98%
Sharpe Ratio0.870.62
Sortino Ratio1.390.92
Treynor Ratio (%)15.3610.98
Calmar Ratio1.320.69
Active Return-0.53%-2.20%
Tracking Error8.14%7.68%
Information Ratio-0.07-0.29
Skewness-0.75-0.81
Excess Kurtosis3.784.31
Historical Value-at-Risk (5%)-3.55%-4.46%
Analytical Value-at-Risk (5%)-3.87%-4.94%
Conditional Value-at-Risk (5%)-5.86%-7.68%
Upside Capture Ratio (%)60.8164.35
Downside Capture Ratio (%)46.8061.68
Safe Withdrawal Rate10.29%9.90%
Perpetual Withdrawal Rate7.22%5.76%
Positive Periods117 out of 183 (63.93%)115 out of 183 (62.84%)
Gain/Loss Ratio1.221.06
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndMaximum Return at 10.00% VolatilityEqual Weighted
Subprime CrisisNov 2007Mar 2009-29.48%-36.98%

Drawdowns for Maximum Return at 10.00% Volatility

Drawdowns for Maximum Return at 10.00% Volatility (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20101 year 2 months2 years 6 months-29.48%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-10.61%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-7.24%
4Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.91%
5May 2010Jun 20102 monthsSep 20103 months5 months-5.14%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-4.69%
7May 2011Sep 20115 monthsOct 20111 month6 months-4.58%
8May 2013Jun 20132 monthsSep 20133 months5 months-4.42%
9Feb 2018Apr 20183 monthsAug 20184 months7 months-4.11%
10Aug 2016Nov 20164 monthsFeb 20173 months7 months-3.88%
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 ETF10.37%15.57%33.45%-36.98%-50.84%0.640.941.00
TLTiShares 20+ Year Treasury Bond ETF5.86%13.51%33.96%-21.80%-21.80%0.410.70-0.33
GLDSPDR Gold Shares7.70%17.63%30.45%-28.33%-42.91%0.450.720.06
IJSiShares S&P Small-Cap 600 Value ETF9.47%21.05%39.34%-29.39%-54.13%0.480.710.91
EFAiShares MSCI EAFE ETF4.53%17.63%26.95%-41.04%-57.38%0.280.390.89
EEMiShares MSCI Emerging Markets ETF5.99%22.19%68.93%-48.88%-60.44%0.320.480.79
VNQVanguard Real Estate ETF7.39%22.77%35.30%-37.00%-68.30%0.380.540.74
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.45%7.44%17.37%-5.47%-15.11%0.600.970.33

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTGLDIJSEFAEEMVNQLQDMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF1.00-0.340.060.910.890.790.740.330.890.88
TLTiShares 20+ Year Treasury Bond ETF-0.341.000.22-0.38-0.27-0.25-0.020.490.03-0.03
GLDSPDR Gold Shares0.060.221.00-0.020.140.290.100.280.430.36
IJSiShares S&P Small-Cap 600 Value ETF0.91-0.38-0.021.000.780.700.740.250.760.81
EFAiShares MSCI EAFE ETF0.89-0.270.140.781.000.880.700.410.830.89
EEMiShares MSCI Emerging Markets ETF0.79-0.250.290.700.881.000.620.380.780.87
VNQVanguard Real Estate ETF0.74-0.020.100.740.700.621.000.460.740.85
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.330.490.280.250.410.380.461.000.550.58

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF86.13%14.32%
TLTiShares 20+ Year Treasury Bond ETF1.02%-0.44%
GLDSPDR Gold Shares12.85%6.66%
IJSiShares S&P Small-Cap 600 Value ETF17.96%
EFAiShares MSCI EAFE ETF16.49%
EEMiShares MSCI Emerging Markets ETF20.31%
VNQVanguard Real Estate ETF20.18%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.53%

Annual Asset Returns

Rolling returns summary
Roll PeriodMaximum Return at 10.00% VolatilityEqual Weighted
AverageHighLowAverageHighLow
1 year9.94%34.59%-26.85%7.93%47.20%-32.87%
3 years9.03%23.00%-4.56%6.99%25.23%-6.98%
5 years9.65%17.58%6.36%7.61%17.64%3.02%
7 years9.64%13.52%7.59%7.50%12.50%4.07%
10 years9.60%12.44%7.52%7.52%11.33%5.92%
15 years9.67%9.95%9.56%7.76%8.05%7.63%