Portfolio Optimization

This portfolio optimizer tool supports the following portfolio optimization strategies:

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

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

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Asset Groups
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Portfolio Optimization Results (Jan 2006 - Jun 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 7.12% to 12.09%. 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 63.33%
TLT iShares 20+ Year Treasury Bond ETF 21.57%
GLD SPDR Gold Shares 15.09%
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$44,244$34,517
CAGR10.07%8.32%
Expected Return10.62%9.09%
Stdev9.97%11.85%
Best Year25.69%23.38%
Worst Year-18.57%-21.23%
Max. Drawdown -30.55% -36.98%
Sharpe Ratio (ex-ante)0.910.64
Sharpe Ratio (ex-post)0.900.64
Sortino Ratio1.430.96
US Stock Market Correlation0.900.88
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Maximum Return at 10.00% Volatility7.30%6.57%23.82%16.23%13.27%11.59%10.07%12.02%9.97%
Equal Weighted6.12%8.00%25.47%12.09%10.04%8.23%8.32%12.41%10.23%
Trailing annualized return and volatility are for full months ending in June 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 June
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Total Stock Market ETF (VTI)12.09%15.48%0.6700.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)12.09%20.90%0.4970.00%100.00%
3iShares MSCI EAFE ETF (EFA)6.44%17.52%0.2950.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)8.76%22.01%0.3330.00%100.00%
5Vanguard Real Estate ETF (VNQ)10.93%22.66%0.4110.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)7.16%13.45%0.4350.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)5.91%7.39%0.6310.00%100.00%
8SPDR Gold Shares (GLD)9.49%17.71%0.4520.00%100.00%
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate.

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerVTIIJSEFAEEMVNQTLTLQDGLD
Vanguard Total Stock Market ETFVTI1.000.900.890.790.74-0.330.330.06
iShares S&P Small-Cap 600 Value ETFIJS0.901.000.780.700.74-0.380.25-0.01
iShares MSCI EAFE ETFEFA0.890.781.000.880.69-0.270.400.14
iShares MSCI Emerging Markets ETFEEM0.790.700.881.000.61-0.250.380.29
Vanguard Real Estate ETFVNQ0.740.740.690.611.00-0.020.460.10
iShares 20+ Year Treasury Bond ETFTLT-0.33-0.38-0.27-0.25-0.021.000.490.21
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.330.250.400.380.460.491.000.27
SPDR Gold SharesGLD0.06-0.010.140.290.100.210.271.00
Based on monthly returns from Jan 2006 to Jun 2021
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return*Standard Deviation*Sharpe Ratio*
113.89%0.00%0.00%0.00%0.00%13.62%66.82%5.67%7.12%7.10%0.818
214.51%0.00%0.00%0.00%0.00%14.17%65.53%5.79%7.17%7.10%0.824
315.13%0.00%0.00%0.00%0.00%14.73%64.23%5.92%7.22%7.10%0.830
415.75%0.00%0.00%0.00%0.00%15.28%62.93%6.04%7.27%7.10%0.837
516.37%0.00%0.00%0.00%0.00%15.83%61.63%6.16%7.32%7.11%0.843
617.00%0.00%0.00%0.00%0.00%16.38%60.34%6.28%7.37%7.11%0.849
717.62%0.00%0.00%0.00%0.00%16.93%59.04%6.41%7.41%7.12%0.855
818.24%0.00%0.00%0.00%0.00%17.49%57.74%6.53%7.46%7.12%0.860
918.86%0.00%0.00%0.00%0.00%18.04%56.45%6.65%7.51%7.13%0.866
1019.49%0.00%0.00%0.00%0.00%18.59%55.15%6.78%7.56%7.14%0.872
1120.11%0.00%0.00%0.00%0.00%19.14%53.85%6.90%7.61%7.15%0.877
1220.73%0.00%0.00%0.00%0.00%19.69%52.56%7.02%7.66%7.16%0.882
1321.35%0.00%0.00%0.00%0.00%20.25%51.26%7.14%7.71%7.17%0.888
1421.97%0.00%0.00%0.00%0.00%20.80%49.96%7.27%7.76%7.18%0.893
1522.60%0.00%0.00%0.00%0.00%21.35%48.66%7.39%7.81%7.19%0.898
1623.22%0.00%0.00%0.00%0.00%21.90%47.37%7.51%7.86%7.20%0.902
1723.84%0.00%0.00%0.00%0.00%22.45%46.07%7.63%7.91%7.22%0.907
1824.46%0.00%0.00%0.00%0.00%23.01%44.77%7.76%7.96%7.23%0.912
1925.09%0.00%0.00%0.00%0.00%23.56%43.48%7.88%8.01%7.25%0.916
2025.71%0.00%0.00%0.00%0.00%24.11%42.18%8.00%8.06%7.26%0.920
2126.33%0.00%0.00%0.00%0.00%24.66%40.88%8.12%8.11%7.28%0.924
2226.95%0.00%0.00%0.00%0.00%25.22%39.59%8.25%8.16%7.30%0.928
2327.57%0.00%0.00%0.00%0.00%25.77%38.29%8.37%8.21%7.32%0.932
2428.20%0.00%0.00%0.00%0.00%26.32%36.99%8.49%8.26%7.34%0.936
2528.82%0.00%0.00%0.00%0.00%26.87%35.69%8.62%8.31%7.36%0.940
2629.44%0.00%0.00%0.00%0.00%27.42%34.40%8.74%8.36%7.38%0.943
2730.06%0.00%0.00%0.00%0.00%27.98%33.10%8.86%8.41%7.40%0.947
2830.69%0.00%0.00%0.00%0.00%28.53%31.80%8.98%8.46%7.42%0.950
2931.31%0.00%0.00%0.00%0.00%29.08%30.51%9.11%8.51%7.45%0.953
3031.93%0.00%0.00%0.00%0.00%29.63%29.21%9.23%8.56%7.47%0.956
3132.55%0.00%0.00%0.00%0.00%30.18%27.91%9.35%8.60%7.50%0.959
3233.17%0.00%0.00%0.00%0.00%30.74%26.62%9.47%8.65%7.52%0.962
3333.80%0.00%0.00%0.00%0.00%31.29%25.32%9.60%8.70%7.55%0.965
3434.42%0.00%0.00%0.00%0.00%31.84%24.02%9.72%8.75%7.58%0.967
3535.04%0.00%0.00%0.00%0.00%32.39%22.72%9.84%8.80%7.61%0.970
3635.66%0.00%0.00%0.00%0.00%32.94%21.43%9.96%8.85%7.64%0.972
3736.29%0.00%0.00%0.00%0.00%33.50%20.13%10.09%8.90%7.67%0.974
3836.91%0.00%0.00%0.00%0.00%34.05%18.83%10.21%8.95%7.70%0.976
3937.53%0.00%0.00%0.00%0.00%34.60%17.54%10.33%9.00%7.73%0.978
4038.15%0.00%0.00%0.00%0.00%35.15%16.24%10.46%9.05%7.76%0.980
4138.78%0.00%0.00%0.00%0.00%35.70%14.94%10.58%9.10%7.79%0.982
4239.40%0.00%0.00%0.00%0.00%36.26%13.65%10.70%9.15%7.83%0.984
4340.02%0.00%0.00%0.00%0.00%36.81%12.35%10.82%9.20%7.86%0.985
4440.64%0.00%0.00%0.00%0.00%37.36%11.05%10.95%9.25%7.90%0.987
4541.26%0.00%0.00%0.00%0.00%37.91%9.75%11.07%9.30%7.93%0.988
4641.89%0.00%0.00%0.00%0.00%38.46%8.46%11.19%9.35%7.97%0.990
4742.51%0.00%0.00%0.00%0.00%39.02%7.16%11.31%9.40%8.00%0.991
4843.13%0.00%0.00%0.00%0.00%39.57%5.86%11.44%9.46%8.04%0.992
4943.75%0.00%0.00%0.00%0.00%40.12%4.57%11.56%9.51%8.08%0.993
5044.38%0.00%0.00%0.00%0.00%40.67%3.27%11.68%9.56%8.12%0.994
5145.00%0.00%0.00%0.00%0.00%41.22%1.97%11.81%9.61%8.16%0.995
5245.62%0.00%0.00%0.00%0.00%41.78%0.68%11.93%9.66%8.20%0.996
5346.39%0.00%0.00%0.00%0.00%41.53%0.00%12.07%9.71%8.24%0.996
5447.34%0.00%0.00%0.00%0.00%40.42%0.00%12.24%9.76%8.28%0.996
5548.28%0.00%0.00%0.00%0.00%39.32%0.00%12.41%9.81%8.34%0.996
5649.22%0.00%0.00%0.00%0.00%38.21%0.00%12.58%9.86%8.40%0.994
5750.16%0.00%0.00%0.00%0.00%37.10%0.00%12.74%9.91%8.46%0.992
5851.10%0.00%0.00%0.00%0.00%35.99%0.00%12.91%9.96%8.54%0.989
5952.04%0.00%0.00%0.00%0.00%34.88%0.00%13.08%10.01%8.62%0.985
6052.98%0.00%0.00%0.00%0.00%33.77%0.00%13.25%10.06%8.70%0.981
6153.92%0.00%0.00%0.00%0.00%32.66%0.00%13.42%10.11%8.79%0.976
6254.86%0.00%0.00%0.00%0.00%31.55%0.00%13.58%10.16%8.89%0.971
6355.80%0.00%0.00%0.00%0.00%30.44%0.00%13.75%10.21%8.99%0.965
6456.75%0.00%0.00%0.00%0.00%29.34%0.00%13.92%10.26%9.09%0.959
6557.69%0.00%0.00%0.00%0.00%28.23%0.00%14.09%10.31%9.20%0.952
6658.63%0.00%0.00%0.00%0.00%27.12%0.00%14.26%10.36%9.32%0.945
6759.57%0.00%0.00%0.00%0.00%26.01%0.00%14.42%10.41%9.44%0.938
6860.51%0.00%0.00%0.00%0.00%24.90%0.00%14.59%10.46%9.57%0.930
6961.45%0.00%0.00%0.00%0.00%23.79%0.00%14.76%10.51%9.70%0.923
7062.39%0.00%0.00%0.00%0.00%22.68%0.00%14.93%10.56%9.83%0.915
7163.33%0.00%0.00%0.00%0.00%21.57%0.00%15.09%10.62%9.97%0.907
7264.27%0.00%0.00%0.00%0.00%20.46%0.00%15.26%10.67%10.11%0.899
7365.21%0.00%0.00%0.00%0.00%19.36%0.00%15.43%10.72%10.25%0.891
7466.15%0.00%0.00%0.00%0.00%18.25%0.00%15.60%10.77%10.40%0.882
7567.10%0.00%0.00%0.00%0.00%17.14%0.00%15.77%10.82%10.55%0.874
7668.04%0.00%0.00%0.00%0.00%16.03%0.00%15.93%10.87%10.71%0.866
7768.98%0.00%0.00%0.00%0.00%14.92%0.00%16.10%10.92%10.87%0.857
7869.92%0.00%0.00%0.00%0.00%13.81%0.00%16.27%10.97%11.03%0.849
7970.86%0.00%0.00%0.00%0.00%12.70%0.00%16.44%11.02%11.19%0.841
8071.80%0.00%0.00%0.00%0.00%11.59%0.00%16.61%11.07%11.36%0.833
8172.74%0.00%0.00%0.00%0.00%10.49%0.00%16.77%11.12%11.53%0.824
8273.68%0.00%0.00%0.00%0.00%9.38%0.00%16.94%11.17%11.70%0.816
8374.62%0.00%0.00%0.00%0.00%8.27%0.00%17.11%11.22%11.87%0.808
8475.56%0.00%0.00%0.00%0.00%7.16%0.00%17.28%11.28%12.05%0.800
8576.51%0.00%0.00%0.00%0.00%6.05%0.00%17.45%11.33%12.23%0.792
8677.45%0.00%0.00%0.00%0.00%4.94%0.00%17.61%11.38%12.41%0.784
8778.39%0.00%0.00%0.00%0.00%3.83%0.00%17.78%11.43%12.59%0.777
8879.33%0.00%0.00%0.00%0.00%2.72%0.00%17.95%11.48%12.77%0.769
8980.27%0.00%0.00%0.00%0.00%1.61%0.00%18.12%11.53%12.96%0.762
9081.21%0.00%0.00%0.00%0.00%0.51%0.00%18.28%11.58%13.15%0.754
9182.70%0.00%0.00%0.00%0.00%0.00%0.00%17.30%11.63%13.34%0.747
9284.66%0.00%0.00%0.00%0.00%0.00%0.00%15.34%11.68%13.54%0.739
9386.61%0.00%0.00%0.00%0.00%0.00%0.00%13.39%11.74%13.75%0.731
9488.57%0.00%0.00%0.00%0.00%0.00%0.00%11.43%11.79%13.98%0.723
9590.53%0.00%0.00%0.00%0.00%0.00%0.00%9.47%11.84%14.21%0.714
9692.48%0.00%0.00%0.00%0.00%0.00%0.00%7.52%11.89%14.46%0.705
9794.44%0.00%0.00%0.00%0.00%0.00%0.00%5.56%11.94%14.71%0.696
9896.39%0.00%0.00%0.00%0.00%0.00%0.00%3.61%11.99%14.97%0.687
9998.35%0.00%0.00%0.00%0.00%0.00%0.00%1.65%12.04%15.25%0.678
1000.17%99.83%0.00%0.00%0.00%0.00%0.00%0.00%12.09%20.89%0.497
*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.
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%13.61%$11,36119.39%$11,93915.69%0.71%22.55%19.37%25.81%31.19%35.30%4.22%
20074.08%10.24%$12,5248.39%$12,9415.37%10.29%30.45%-5.56%9.94%33.31%-16.50%3.73%
20080.09%-18.57%$10,199-21.23%$10,194-36.98%33.93%4.92%-29.39%-41.04%-48.88%-37.00%2.40%
20092.72%16.27%$11,85723.38%$12,57728.89%-21.80%24.03%22.36%26.95%68.93%30.08%8.46%
20101.50%18.40%$14,03918.79%$14,94117.42%9.05%29.27%24.69%8.15%16.51%28.37%9.33%
20112.96%9.95%$15,4364.04%$15,5450.97%33.96%9.57%-1.65%-12.25%-18.82%8.62%9.73%
20121.74%12.36%$17,34414.22%$17,75616.45%2.63%6.60%18.24%18.82%19.10%17.63%10.58%
20131.50%11.34%$19,3114.45%$18,54633.45%-13.37%-28.33%39.34%21.40%-3.69%2.31%-2.00%
20140.76%13.40%$21,8988.88%$20,19312.54%27.30%-2.19%7.56%-6.20%-3.93%30.36%8.21%
20150.73%-1.25%$21,624-3.92%$19,4010.36%-1.79%-10.67%-6.90%-1.00%-16.18%2.42%-1.25%
20162.07%10.17%$23,82310.46%$21,43112.83%1.18%8.03%31.25%1.37%10.87%8.60%6.21%
20172.11%17.34%$27,95215.92%$24,84221.21%9.18%12.81%11.35%25.10%37.28%4.91%7.06%
20181.91%-3.48%$26,979-7.18%$23,059-5.21%-1.61%-1.94%-12.84%-13.81%-15.31%-6.02%-3.79%
20192.29%25.69%$33,90922.27%$28,19530.67%14.12%17.86%24.12%22.03%18.20%28.87%17.37%
20201.36%22.43%$41,51613.35%$31,96021.03%18.15%24.81%2.63%7.59%17.03%-4.68%10.97%
20214.31%6.57%$44,2448.00%$34,51715.21%-7.87%-7.14%30.41%9.59%7.20%21.41%-1.77%
Annual return for 2021 is from 01/01/2021 to 06/30/2021
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
200613.25%$10,3255.95%$10,5953.22%-1.34%9.93%8.75%5.77%14.20%7.54%-0.44%
200620.21%$10,347-0.19%$10,5750.22%1.11%-1.11%0.27%-0.70%-3.85%1.86%0.68%
200630.86%$10,4361.90%$10,7762.05%-4.57%3.62%4.86%4.01%2.17%4.73%-1.68%
200641.83%$10,6262.26%$11,0200.96%-2.75%12.03%0.18%4.79%6.52%-3.40%-0.20%
20065-2.28%$10,384-3.39%$10,646-3.22%-0.19%-1.32%-4.55%-3.82%-11.14%-2.70%-0.19%
20066-0.37%$10,3460.21%$10,6690.13%1.18%-4.67%0.04%-0.06%0.21%4.95%-0.09%
200670.87%$10,4351.33%$10,810-0.12%2.16%3.15%-3.10%0.81%2.34%3.89%1.46%
200681.91%$10,6342.07%$11,0332.30%3.06%-1.38%2.70%2.55%1.58%3.48%2.22%
200691.16%$10,7580.38%$11,0752.26%1.91%-4.53%1.19%0.22%-0.87%1.96%0.87%
2006102.61%$11,0393.63%$11,4773.53%0.85%1.29%5.52%3.75%7.06%6.03%1.00%
2006113.01%$11,3713.65%$11,8962.33%2.31%6.89%2.38%3.07%5.98%4.78%1.46%
200612-0.10%$11,3610.36%$11,9391.20%-2.69%-1.83%0.32%3.20%5.44%-1.83%-0.90%
200711.35%$11,5141.99%$12,1771.86%-1.00%2.56%2.14%1.39%0.11%8.78%0.09%
200720.09%$11,524-0.08%$12,167-1.62%3.39%2.55%-0.92%-0.12%-3.24%-2.70%2.00%
200730.18%$11,5440.59%$12,2381.12%-1.70%-1.11%0.91%2.90%5.33%-2.07%-0.68%
200743.05%$11,8972.13%$12,4994.02%0.90%2.05%1.84%3.75%3.73%-0.13%0.89%
200751.51%$12,0761.19%$12,6493.72%-2.31%-2.31%4.63%2.36%5.06%-0.38%-1.23%
20076-1.63%$11,880-1.67%$12,437-1.76%-1.01%-1.94%-2.24%-0.32%3.68%-8.99%-0.81%
20077-1.17%$11,741-1.85%$12,207-3.53%3.32%2.37%-6.26%-2.29%0.71%-8.26%-0.82%
200781.49%$11,9161.90%$12,4401.47%1.79%1.11%1.33%-0.63%1.04%6.74%2.38%
200794.07%$12,4014.55%$13,0063.85%0.23%10.51%0.31%5.32%11.57%3.90%0.73%
2007102.58%$12,7203.85%$13,5071.79%1.81%6.95%1.06%4.25%11.87%2.10%0.97%
200711-1.96%$12,471-3.46%$13,039-4.52%5.35%-1.65%-7.15%-3.62%-7.65%-9.47%1.02%
2007120.42%$12,524-0.75%$12,941-0.70%-0.64%6.65%-0.71%-2.99%-1.43%-5.41%-0.81%
20081-1.82%$12,297-1.53%$12,743-6.17%2.10%10.84%-4.00%-7.85%-8.92%-0.78%2.57%
20082-0.89%$12,187-0.50%$12,680-2.50%-0.46%5.23%-3.36%-1.02%1.99%-3.18%-0.71%
20083-1.01%$12,064-0.17%$12,658-0.90%2.14%-6.00%0.83%0.42%-3.75%6.48%-0.60%
200841.93%$12,2972.89%$13,0234.89%-2.48%-4.16%2.64%5.44%9.14%6.38%1.25%
200850.84%$12,4000.76%$13,1222.02%-2.69%0.92%3.92%1.19%3.16%-0.21%-2.21%
20086-3.89%$11,918-4.92%$12,477-8.12%2.65%4.52%-8.41%-8.80%-9.29%-10.62%-1.29%
20087-0.69%$11,835-0.61%$12,401-0.62%-0.37%-1.44%2.87%-3.32%-5.50%3.12%0.39%
200880.11%$11,849-1.05%$12,2711.46%2.74%-9.29%4.76%-4.25%-6.32%2.37%0.15%
20089-4.91%$11,266-5.68%$11,574-9.24%1.47%4.11%-4.82%-11.44%-14.68%-0.11%-10.73%
200810-13.91%$9,699-16.93%$9,615-17.48%-1.86%-16.14%-19.86%-20.83%-25.58%-31.73%-1.95%
200811-0.08%$9,691-3.55%$9,273-8.01%14.34%12.57%-11.80%-6.37%-9.75%-22.72%3.35%
2008125.24%$10,1999.93%$10,1941.78%13.64%7.73%6.57%8.88%10.35%16.67%13.80%
20091-7.08%$9,477-8.98%$9,278-8.05%-13.07%5.54%-13.94%-13.73%-9.29%-17.53%-1.80%
20092-6.78%$8,834-8.25%$8,512-10.53%-1.54%1.45%-13.03%-10.39%-6.27%-20.53%-5.20%
200935.72%$9,3405.84%$9,0098.26%4.04%-2.54%7.58%8.39%16.86%3.61%0.47%
200944.96%$9,80310.02%$9,91110.99%-6.95%-3.33%18.89%11.52%15.56%30.68%2.78%
200954.21%$10,2155.84%$10,4915.46%-3.69%10.23%0.67%13.19%15.94%2.62%2.32%
20096-0.39%$10,175-0.82%$10,4040.36%0.76%-5.22%1.52%-1.43%-2.25%-3.23%2.89%
200975.38%$10,7237.27%$11,1607.74%0.58%2.38%11.00%10.04%11.01%10.77%4.63%
200982.84%$11,0273.54%$11,5553.71%2.24%0.05%3.48%4.50%-1.31%14.32%1.31%
200994.03%$11,4724.88%$12,1194.14%2.46%5.84%4.21%3.80%10.20%6.63%1.76%
200910-1.67%$11,280-2.32%$11,838-2.63%-2.62%3.72%-6.07%-2.52%-3.44%-4.46%-0.49%
2009115.80%$11,9345.36%$12,4735.69%1.21%12.79%2.90%3.92%7.85%6.57%1.95%
200912-0.64%$11,8570.84%$12,5772.86%-6.34%-7.20%8.10%0.70%3.27%7.37%-2.07%
20101-1.87%$11,636-2.72%$12,235-3.57%2.69%-1.26%-2.54%-5.07%-7.76%-5.52%1.25%
201022.60%$11,9392.41%$12,5303.44%-0.34%3.27%4.76%0.27%1.78%5.58%0.51%
201033.54%$12,3614.63%$13,1106.40%-2.06%-0.44%7.80%6.39%8.11%10.18%0.65%
201042.99%$12,7303.01%$13,5052.18%3.32%5.88%6.63%-2.80%-0.17%7.15%1.91%
20105-3.43%$12,294-4.44%$12,906-7.88%5.11%3.05%-8.54%-11.19%-9.39%-5.33%-1.31%
20106-2.09%$12,037-1.42%$12,723-5.83%5.80%2.36%-8.27%-2.07%-1.40%-5.19%3.28%
201073.47%$12,4555.24%$13,3907.02%-0.95%-5.09%6.71%11.61%10.93%9.59%2.11%
20108-0.31%$12,416-0.50%$13,323-4.71%8.40%5.71%-7.91%-3.80%-3.24%-1.28%2.86%
201096.16%$13,1826.16%$14,1449.45%-2.51%4.78%10.93%9.97%11.76%4.45%0.46%
2010102.14%$13,4642.32%$14,4724.03%-4.47%3.68%4.04%3.81%3.02%4.74%-0.26%
2010110.28%$13,502-0.97%$14,3310.51%-1.69%2.11%2.47%-4.82%-2.91%-1.85%-1.62%
2010123.98%$14,0394.25%$14,9416.96%-3.68%2.44%8.97%8.30%7.27%4.54%-0.75%
20111-0.33%$13,992-0.76%$14,8272.05%-3.08%-6.38%-0.24%2.10%-3.84%3.25%0.04%
201123.60%$14,4973.11%$15,2873.70%1.65%6.00%4.21%3.55%-0.04%4.71%1.08%
201130.51%$14,5710.75%$15,4020.42%0.03%1.60%2.21%-2.39%6.29%-1.62%-0.54%
201143.69%$15,1083.98%$16,0152.90%2.34%8.94%1.06%5.63%2.73%5.75%2.50%
20115-0.20%$15,077-0.46%$15,941-1.06%3.42%-1.79%-1.77%-2.21%-2.94%1.37%1.27%
20116-2.01%$14,775-1.80%$15,655-1.79%-2.33%-2.43%-1.59%-1.19%-0.93%-3.30%-0.80%
201170.79%$14,8911.05%$15,819-2.27%4.42%8.42%-2.77%-2.38%-1.03%1.56%2.43%
201180.08%$14,904-1.93%$15,514-6.09%9.66%12.27%-7.98%-8.75%-9.25%-5.62%0.34%
20119-3.62%$14,364-6.90%$14,443-7.57%13.20%-11.06%-10.57%-10.81%-17.89%-10.85%0.35%
2011107.26%$15,4078.93%$15,73311.37%-3.84%5.87%15.34%9.63%16.27%14.29%2.51%
2011110.44%$15,475-0.90%$15,592-0.37%1.98%1.67%0.63%-2.18%-1.96%-3.80%-3.16%
201112-0.25%$15,436-0.30%$15,5450.98%3.44%-10.66%2.02%-2.21%-4.30%4.85%3.49%
201214.86%$16,1866.10%$16,4935.07%-0.33%11.40%7.90%5.27%10.99%6.38%2.14%
201221.66%$16,4561.37%$16,7194.22%-2.59%-2.96%1.71%4.83%5.27%-1.15%1.63%
201230.83%$16,5920.18%$16,7503.06%-4.23%-1.32%2.89%0.42%-3.11%5.19%-1.42%
201240.62%$16,6940.29%$16,798-0.64%4.83%-0.15%-1.91%-2.08%-1.70%2.86%1.08%
20125-2.95%$16,201-4.54%$16,036-6.23%9.03%-6.34%-7.18%-11.14%-10.71%-4.51%0.76%
201262.56%$16,6163.48%$16,5944.05%-1.68%2.35%4.54%7.11%5.08%5.52%0.87%
201271.50%$16,8661.30%$16,8090.88%3.82%0.84%-0.69%0.08%-0.03%2.00%3.48%
201282.17%$17,2321.74%$17,1022.70%-1.32%4.94%4.08%3.20%0.41%-0.01%-0.05%
201291.74%$17,5321.87%$17,4222.49%-2.53%4.67%3.14%2.71%5.22%-1.86%1.10%
201210-1.69%$17,235-0.76%$17,289-1.81%-0.48%-2.94%-1.96%1.09%-0.44%-0.91%1.35%
2012110.72%$17,3590.87%$17,4400.77%1.38%-0.47%1.65%2.78%1.56%-0.26%-0.42%
201212-0.09%$17,3441.81%$17,7561.29%-2.49%-2.43%3.55%4.37%6.80%3.72%-0.33%
201312.67%$17,8061.62%$18,0435.42%-3.19%-0.51%5.35%3.73%-0.29%3.74%-1.30%
201320.31%$17,862-0.28%$17,9931.28%1.24%-5.09%1.63%-1.29%-2.28%1.22%1.08%
201332.55%$18,3171.46%$18,2563.95%-0.42%0.95%4.11%1.31%-1.02%2.87%-0.05%
201340.89%$18,4801.75%$18,5751.61%4.68%-7.56%0.12%5.02%1.22%6.73%2.17%
20135-0.85%$18,323-2.91%$18,0352.44%-6.76%-6.20%4.29%-3.02%-4.83%-5.98%-3.22%
20136-3.28%$17,722-3.65%$17,377-1.43%-3.27%-11.06%-0.14%-2.70%-5.35%-1.98%-3.27%
201374.27%$18,4793.27%$17,9455.75%-2.26%7.43%6.56%5.32%1.32%0.90%1.11%
20138-1.42%$18,216-1.88%$17,607-3.03%-1.34%5.20%-3.41%-1.96%-2.54%-6.98%-1.00%
201391.89%$18,5603.20%$18,1713.90%0.66%-4.78%6.59%7.82%7.21%3.49%0.74%
2013102.96%$19,1102.82%$18,6844.27%1.43%-0.34%3.48%3.26%4.17%4.52%1.81%
2013110.30%$19,167-0.79%$18,5362.70%-2.70%-5.51%4.25%0.55%-0.26%-5.25%-0.14%
2013120.75%$19,3110.05%$18,5462.73%-1.87%-3.79%1.29%2.16%-0.42%0.10%0.22%
20141-0.13%$19,286-0.58%$18,438-3.17%6.30%3.42%-3.51%-5.20%-8.64%4.28%1.88%
201424.14%$20,0844.00%$19,1764.87%0.52%6.27%4.63%6.13%3.38%5.07%1.14%
201430.00%$20,0850.41%$19,2550.51%0.73%-3.14%1.34%-0.46%3.88%0.49%-0.03%
201440.57%$20,1990.93%$19,4340.06%2.10%0.49%-2.29%1.67%0.78%3.29%1.33%
201451.51%$20,5031.38%$19,7032.10%2.95%-3.05%0.62%1.60%2.95%2.40%1.51%
201462.56%$21,0282.13%$20,1222.62%-0.25%6.32%3.85%0.92%2.40%1.13%0.01%
20147-1.67%$20,678-1.44%$19,832-1.99%0.67%-3.63%-5.07%-2.60%1.36%0.08%-0.32%
201483.70%$21,4442.72%$20,3724.15%4.72%0.38%4.46%0.18%2.83%3.04%2.00%
20149-2.72%$20,861-4.46%$19,463-2.10%-2.11%-6.18%-5.94%-3.88%-7.77%-6.04%-1.68%
2014101.88%$21,2542.74%$19,9972.75%2.81%-3.05%7.13%-0.27%1.42%9.94%1.23%
2014112.14%$21,7090.86%$20,1692.48%2.97%-0.49%0.48%0.06%-1.54%2.00%0.91%
2014120.87%$21,8980.12%$20,193-0.04%3.25%1.31%2.56%-4.00%-3.99%1.88%-0.02%
201511.70%$22,2702.62%$20,723-2.74%9.82%8.69%-5.32%0.62%-0.69%6.85%3.75%
201521.42%$22,5860.65%$20,8585.74%-6.14%-5.91%5.86%6.34%4.41%-3.67%-1.42%
20153-0.82%$22,401-0.27%$20,801-1.16%1.10%-2.15%1.03%-1.43%-1.50%1.74%0.20%
20154-0.37%$22,317-0.17%$20,7660.62%-3.43%-0.17%-1.82%3.65%6.85%-5.85%-1.19%
201550.39%$22,405-0.64%$20,6341.30%-2.37%0.56%0.75%0.20%-4.10%-0.30%-1.12%
20156-2.17%$21,919-2.43%$20,133-1.67%-4.07%-1.52%0.42%-3.12%-2.93%-4.68%-1.88%
201571.06%$22,152-0.09%$20,1141.70%4.55%-6.62%-2.70%2.03%-6.31%5.77%0.83%
20158-3.45%$21,388-3.88%$19,333-6.09%-0.69%3.71%-4.62%-7.43%-8.84%-6.29%-0.83%
20159-1.70%$21,025-1.23%$19,095-2.92%1.97%-1.80%-3.77%-4.42%-3.13%3.05%1.19%
2015105.27%$22,1324.46%$19,9467.91%-0.41%2.28%6.57%6.61%6.38%5.76%0.57%
201511-0.83%$21,949-1.08%$19,7320.60%-0.87%-6.75%2.47%-0.75%-2.52%-0.63%-0.15%
201512-1.48%$21,624-1.67%$19,401-2.13%-0.30%-0.45%-5.08%-2.34%-3.83%1.82%-1.08%
20161-1.61%$21,277-1.81%$19,051-5.72%5.57%5.41%-5.85%-5.52%-5.03%-3.44%0.12%
201622.31%$21,7681.58%$19,351-0.01%3.09%10.93%2.08%-3.33%-0.82%-0.36%1.05%
201634.36%$22,7176.15%$20,5427.11%-0.09%-0.84%9.41%6.58%12.96%10.48%3.62%
201641.03%$22,9511.12%$20,7730.66%-0.74%5.11%2.13%2.22%0.41%-2.35%1.55%
201650.35%$23,030-0.65%$20,6381.73%0.81%-6.14%0.44%-0.09%-3.69%2.25%-0.51%
201663.02%$23,7263.65%$21,3910.27%6.93%8.97%0.83%-2.42%4.56%6.92%3.09%
201673.27%$24,5023.50%$22,1403.98%2.10%1.98%5.06%3.98%5.38%4.26%1.29%
20168-0.58%$24,360-0.64%$21,9990.21%-1.01%-3.26%1.13%0.53%0.88%-3.76%0.18%
20169-0.09%$24,3380.25%$22,0540.21%-1.51%0.69%0.87%1.34%2.52%-1.82%-0.32%
201610-2.78%$23,662-2.95%$21,404-2.19%-4.38%-2.94%-3.74%-2.22%-0.83%-5.74%-1.53%
201611-0.19%$23,617-1.22%$21,1424.49%-8.21%-8.36%13.34%-1.78%-4.42%-1.68%-3.17%
2016120.87%$23,8231.37%$21,4311.98%-0.46%-1.91%3.20%2.71%-0.25%4.82%0.84%
201712.17%$24,3392.10%$21,8811.86%0.81%5.42%-1.21%3.29%6.66%-0.19%0.15%
201723.16%$25,1092.20%$22,3613.69%1.59%3.18%1.35%1.19%1.74%3.51%1.32%
20173-0.17%$25,0660.32%$22,4320.06%-0.65%-0.43%-0.65%3.23%3.69%-2.42%-0.29%
201741.27%$25,3851.30%$22,7241.06%1.57%1.73%0.51%2.42%1.70%0.24%1.19%
201751.03%$25,6470.94%$22,9381.01%1.89%-0.12%-2.26%3.54%2.85%-0.72%1.33%
201760.45%$25,7610.81%$23,1240.95%0.79%-2.16%2.96%0.31%0.93%2.23%0.48%
201771.40%$26,1211.85%$23,5511.88%-0.66%2.31%0.75%2.65%5.82%1.24%0.77%
201781.46%$26,5040.97%$23,7790.15%3.41%4.20%-2.72%-0.04%2.35%-0.26%0.68%
201790.54%$26,6450.94%$24,0022.44%-2.32%-3.37%8.58%2.36%-0.04%-0.11%-0.05%
2017101.25%$26,9790.76%$24,1842.17%-0.04%-0.75%0.59%1.68%3.28%-1.07%0.19%
2017112.13%$27,5551.34%$24,5083.03%0.74%0.36%3.76%0.69%-0.39%2.66%-0.12%
2017121.44%$27,9521.36%$24,8421.16%1.81%2.11%-0.37%1.35%3.77%-0.14%1.22%
201813.10%$28,8191.80%$25,2895.23%-3.26%3.23%1.33%5.02%8.30%-4.25%-1.23%
20182-3.35%$27,853-4.20%$24,228-3.76%-3.04%-2.08%-4.04%-4.83%-5.90%-7.68%-2.24%
20183-0.52%$27,7070.88%$24,441-1.95%2.86%0.63%1.37%-0.84%0.54%3.88%0.56%
20184-0.31%$27,621-0.36%$24,3530.45%-2.09%-0.95%1.76%1.52%-2.82%0.82%-1.57%
201851.98%$28,1671.14%$24,6302.72%2.01%-1.20%5.87%-1.89%-2.62%3.68%0.52%
201860.04%$28,178-0.48%$24,5110.70%0.65%-3.61%0.80%-1.57%-4.54%4.20%-0.49%
201871.45%$28,5871.32%$24,8353.32%-1.44%-2.24%2.62%2.85%3.53%0.60%1.34%
201882.13%$29,1970.29%$24,9083.43%1.31%-2.14%3.14%-2.24%-3.77%2.58%0.02%
20189-0.59%$29,024-1.10%$24,6350.20%-2.86%-0.66%-3.05%0.97%-0.58%-2.64%-0.14%
201810-5.01%$27,571-5.00%$23,402-7.41%-2.93%2.12%-9.94%-8.13%-8.76%-2.93%-2.05%
2018111.71%$28,0431.80%$23,8242.01%1.79%0.34%0.57%0.50%4.90%4.67%-0.36%
201812-3.79%$26,979-3.21%$23,059-9.16%5.85%4.94%-12.38%-5.35%-3.50%-7.96%1.86%
201915.93%$28,5787.03%$24,6818.54%0.38%2.89%12.26%6.63%10.34%11.85%3.37%
201921.87%$29,1110.90%$24,9033.56%-1.38%-0.61%4.13%2.54%-1.53%0.70%-0.20%
201931.86%$29,6521.33%$25,2351.42%5.57%-1.60%-3.91%0.92%1.13%4.21%2.93%
201941.96%$30,2331.39%$25,5873.93%-1.99%-0.66%4.32%2.93%2.35%-0.16%0.44%
20195-2.34%$29,524-2.30%$24,998-6.45%6.84%1.76%-9.98%-5.03%-7.33%0.14%1.65%
201965.90%$31,2645.07%$26,2667.08%0.95%8.00%7.66%5.91%6.20%1.54%3.25%
201970.95%$31,5620.04%$26,2771.41%0.26%0.01%1.30%-1.95%-2.66%1.70%0.25%
201982.26%$32,2741.71%$26,726-2.08%11.04%7.91%-5.14%-1.92%-3.78%3.75%3.88%
201990.04%$32,2860.91%$26,9701.78%-2.68%-3.39%5.57%3.16%1.69%1.93%-0.76%
2019101.48%$32,7641.84%$27,4662.11%-1.11%2.56%2.00%3.39%4.18%1.13%0.44%
2019111.83%$33,3630.39%$27,5723.79%-0.41%-3.21%2.71%1.13%-0.09%-1.30%0.47%
2019121.64%$33,9092.26%$28,1952.80%-3.20%3.66%2.84%2.98%7.71%0.76%0.53%
202012.30%$34,6890.07%$28,213-0.06%7.69%4.50%-6.31%-2.82%-6.15%1.23%2.45%
20202-3.73%$33,394-3.70%$27,168-8.00%6.63%-0.64%-10.15%-7.77%-3.78%-7.03%1.09%
20203-7.47%$30,901-11.14%$24,142-13.91%6.38%-0.22%-25.76%-14.11%-15.77%-19.42%-6.31%
202049.68%$33,8917.81%$26,02713.13%1.22%7.26%13.89%5.82%7.35%8.96%4.85%
202053.43%$35,0532.67%$26,7225.40%-1.76%2.59%2.55%5.43%2.97%1.73%2.46%
202061.94%$35,7322.95%$27,5112.29%0.34%2.74%3.58%3.51%6.61%2.41%2.13%
202076.22%$37,9555.06%$28,9035.74%4.44%10.79%2.58%1.94%8.25%3.64%3.10%
202083.36%$39,2321.63%$29,3757.10%-5.05%-0.32%5.07%4.72%2.89%0.44%-1.78%
20209-2.71%$38,169-2.29%$28,703-3.54%0.77%-4.17%-5.18%-2.05%-1.01%-2.68%-0.44%
202010-2.04%$37,390-0.98%$28,421-1.95%-3.39%-0.52%3.66%-3.55%1.41%-3.00%-0.51%
2020117.02%$40,0138.00%$30,69411.80%1.66%-5.41%19.21%14.27%8.99%9.67%3.77%
2020123.76%$41,5164.12%$31,9604.68%-1.23%7.01%7.50%5.01%7.14%2.72%0.15%
20211-1.48%$40,901-0.04%$31,946-0.33%-3.63%-3.22%6.25%-0.78%3.17%0.04%-1.83%
20212-0.19%$40,8220.77%$32,1913.14%-5.73%-6.26%10.80%2.24%0.79%3.43%-2.26%
202131.00%$41,2321.04%$32,5263.65%-5.24%-1.14%5.61%2.51%-0.73%5.15%-1.48%
202144.27%$42,9913.23%$33,5765.04%2.49%3.56%1.69%2.95%1.20%7.86%1.04%
202151.45%$43,6132.32%$34,3560.46%0.00%7.68%3.89%3.48%1.65%0.81%0.62%
202161.45%$44,2440.47%$34,5172.48%4.42%-7.15%-0.71%-1.08%0.95%2.64%2.21%
Portfolio return and risk metrics
MetricMaximum Return at 10.00% VolatilityEqual Weighted
Arithmetic Mean (monthly)0.84%0.73%
Arithmetic Mean (annualized)10.62%9.09%
Geometric Mean (monthly)0.80%0.67%
Geometric Mean (annualized)10.07%8.32%
Volatility (monthly)2.88%3.42%
Volatility (annualized)9.97%11.85%
Downside Deviation (monthly)1.79%2.26%
Max. Drawdown-30.55%-36.98%
US Market Correlation0.900.88
Beta(*)0.580.67
Alpha (annualized)3.52%1.11%
R281.79%76.81%
Sharpe Ratio0.900.64
Sortino Ratio1.430.96
Treynor Ratio (%)15.5411.40
Calmar Ratio1.490.84
Active Return-0.57%-2.31%
Tracking Error7.75%7.66%
Information Ratio-0.07-0.30
Skewness-0.78-0.83
Excess Kurtosis3.754.39
Historical Value-at-Risk (5%)-3.58%-4.46%
Analytical Value-at-Risk (5%)-3.88%-4.88%
Conditional Value-at-Risk (5%)-6.02%-7.68%
Upside Capture Ratio (%)62.6764.50
Downside Capture Ratio (%)48.8161.65
Safe Withdrawal Rate10.21%9.90%
Perpetual Withdrawal Rate7.47%5.92%
Positive Periods123 out of 186 (66.13%)118 out of 186 (63.44%)
Gain/Loss Ratio1.131.05
* 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 2009-30.55%-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-30.55%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-10.92%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-7.60%
4Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.91%
5May 2010Jun 20102 monthsSep 20103 months5 months-5.45%
6May 2011Sep 20115 monthsOct 20111 month6 months-4.93%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-4.70%
8Feb 2018Apr 20183 monthsAug 20184 months7 months-4.16%
9May 2013Jun 20132 monthsSep 20133 months5 months-4.10%
10Aug 2016Nov 20164 monthsFeb 20173 months7 months-3.61%
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 ETF10.75%15.48%33.45%-36.98%-50.84%0.670.981.00
TLTiShares 20+ Year Treasury Bond ETF6.23%13.45%33.96%-21.80%-21.80%0.430.75-0.32
GLDSPDR Gold Shares7.82%17.71%30.45%-28.33%-42.91%0.450.730.06
IJSiShares S&P Small-Cap 600 Value ETF9.65%20.90%39.34%-29.39%-54.13%0.500.720.90
EFAiShares MSCI EAFE ETF4.81%17.52%26.95%-41.04%-57.38%0.290.420.89
EEMiShares MSCI Emerging Markets ETF6.15%22.01%68.93%-48.88%-60.44%0.330.500.79
VNQVanguard Real Estate ETF8.03%22.66%35.30%-37.00%-68.30%0.410.580.74
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.62%7.39%17.37%-3.79%-15.11%0.631.020.33

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTGLDIJSEFAEEMVNQLQDMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF1.00-0.330.060.900.890.790.740.330.900.88
TLTiShares 20+ Year Treasury Bond ETF-0.331.000.21-0.38-0.27-0.25-0.020.490.02-0.03
GLDSPDR Gold Shares0.060.211.00-0.010.140.290.100.270.390.36
IJSiShares S&P Small-Cap 600 Value ETF0.90-0.38-0.011.000.780.700.740.250.770.81
EFAiShares MSCI EAFE ETF0.89-0.270.140.781.000.880.690.400.840.89
EEMiShares MSCI Emerging Markets ETF0.79-0.250.290.700.881.000.610.380.780.87
VNQVanguard Real Estate ETF0.74-0.020.100.740.690.611.000.460.750.84
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.330.490.270.250.400.380.461.000.540.58

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF88.89%14.31%
TLTiShares 20+ Year Treasury Bond ETF0.72%-0.42%
GLDSPDR Gold Shares10.39%6.74%
IJSiShares S&P Small-Cap 600 Value ETF17.93%
EFAiShares MSCI EAFE ETF16.48%
EEMiShares MSCI Emerging Markets ETF20.24%
VNQVanguard Real Estate ETF20.19%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.52%

Annual Asset Returns

Rolling returns summary
Roll PeriodMaximum Return at 10.00% VolatilityEqual Weighted
AverageHighLowAverageHighLow
1 year10.22%35.14%-27.51%8.27%47.20%-32.87%
3 years9.22%23.04%-5.13%7.08%25.23%-6.98%
5 years9.83%17.85%5.95%7.68%17.64%3.02%
7 years9.81%13.75%7.61%7.52%12.50%4.07%
10 years9.77%12.67%7.50%7.54%11.33%5.92%
15 years9.82%10.17%9.58%7.86%8.14%7.63%