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.
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.
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 » |
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 » |
Metric | Maximum Return at 10.00% Volatility | Equal Weighted |
---|---|---|
Start Balance | $10,000 | $10,000 |
End Balance | $41,544 | $31,960 |
CAGR | 9.96% | 8.05% |
Expected Return | 10.50% | 8.84% |
Stdev | 9.91% | 12.02% |
Best Year | 25.05% | 23.38% |
Worst Year | -16.56% | -21.23% |
Max. Drawdown | -26.97% | -36.98% |
Sharpe Ratio (ex-ante) | 0.94 | 0.64 |
Sharpe Ratio (ex-post) | 0.90 | 0.61 |
Sortino Ratio | 1.44 | 0.92 |
US Stock Market Correlation | 0.85 | 0.88 |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Maximum Return at 10.00% Volatility | 8.11% | 22.79% | 14.09% | 13.85% | 10.72% | 9.96% | 11.64% | 9.66% |
Equal Weighted | 11.35% | 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. |
# | Asset | CAGR | Expected Return | Standard Deviation | Sharpe Ratio | Min. Weight | Max. Weight |
---|---|---|---|---|---|---|---|
1 | Vanguard Total Stock Market ETF (VTI) | 10.08% | 11.44% | 15.67% | 0.658 | 0.00% | 100.00% |
2 | iShares S&P Small-Cap 600 Value ETF (IJS) | 8.06% | 10.49% | 20.99% | 0.446 | 0.00% | 100.00% |
3 | iShares MSCI EAFE ETF (EFA) | 4.33% | 6.01% | 17.76% | 0.275 | 0.00% | 100.00% |
4 | iShares MSCI Emerging Markets ETF (EEM) | 5.87% | 8.56% | 22.36% | 0.332 | 0.00% | 100.00% |
5 | Vanguard Real Estate ETF (VNQ) | 6.92% | 9.85% | 22.92% | 0.380 | 0.00% | 100.00% |
6 | iShares 20+ Year Treasury Bond ETF (TLT) | 7.02% | 7.96% | 13.40% | 0.510 | 0.00% | 100.00% |
7 | iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD) | 5.94% | 6.23% | 7.42% | 0.686 | 0.00% | 100.00% |
8 | SPDR Gold Shares (GLD) | 8.62% | 10.30% | 17.65% | 0.519 | 0.00% | 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). |
Name | Ticker | VTI | IJS | EFA | EEM | VNQ | TLT | LQD | GLD |
---|---|---|---|---|---|---|---|---|---|
Vanguard Total Stock Market ETF | VTI | 1.00 | 0.91 | 0.89 | 0.79 | 0.74 | -0.33 | 0.34 | 0.06 |
iShares S&P Small-Cap 600 Value ETF | IJS | 0.91 | 1.00 | 0.79 | 0.71 | 0.74 | -0.37 | 0.28 | -0.00 |
iShares MSCI EAFE ETF | EFA | 0.89 | 0.79 | 1.00 | 0.88 | 0.70 | -0.27 | 0.41 | 0.14 |
iShares MSCI Emerging Markets ETF | EEM | 0.79 | 0.71 | 0.88 | 1.00 | 0.62 | -0.25 | 0.38 | 0.29 |
Vanguard Real Estate ETF | VNQ | 0.74 | 0.74 | 0.70 | 0.62 | 1.00 | -0.01 | 0.47 | 0.10 |
iShares 20+ Year Treasury Bond ETF | TLT | -0.33 | -0.37 | -0.27 | -0.25 | -0.01 | 1.00 | 0.47 | 0.21 |
iShares iBoxx $ Invmt Grade Corp Bd ETF | LQD | 0.34 | 0.28 | 0.41 | 0.38 | 0.47 | 0.47 | 1.00 | 0.27 |
SPDR Gold Shares | GLD | 0.06 | -0.00 | 0.14 | 0.29 | 0.10 | 0.21 | 0.27 | 1.00 |
Based on monthly returns from Jan 2006 to Dec 2020 |
# | VTI | IJS | EFA | EEM | VNQ | TLT | LQD | GLD | Expected Return* | Standard Deviation* | Sharpe Ratio* |
---|---|---|---|---|---|---|---|---|---|---|---|
1 | 13.80% | 0.00% | 0.00% | 0.00% | 0.00% | 14.82% | 65.63% | 5.75% | 7.42% | 7.12% | 0.884 |
2 | 14.31% | 0.00% | 0.00% | 0.00% | 0.00% | 15.31% | 64.49% | 5.88% | 7.46% | 7.12% | 0.890 |
3 | 14.82% | 0.00% | 0.00% | 0.00% | 0.00% | 15.81% | 63.36% | 6.01% | 7.50% | 7.12% | 0.895 |
4 | 15.33% | 0.00% | 0.00% | 0.00% | 0.00% | 16.30% | 62.23% | 6.14% | 7.54% | 7.12% | 0.901 |
5 | 15.83% | 0.00% | 0.00% | 0.00% | 0.00% | 16.80% | 61.10% | 6.26% | 7.58% | 7.12% | 0.906 |
6 | 16.34% | 0.00% | 0.00% | 0.00% | 0.00% | 17.29% | 59.97% | 6.39% | 7.62% | 7.12% | 0.911 |
7 | 16.85% | 0.00% | 0.00% | 0.00% | 0.00% | 17.79% | 58.84% | 6.52% | 7.66% | 7.13% | 0.916 |
8 | 17.36% | 0.00% | 0.00% | 0.00% | 0.00% | 18.28% | 57.71% | 6.65% | 7.70% | 7.13% | 0.921 |
9 | 17.87% | 0.00% | 0.00% | 0.00% | 0.00% | 18.77% | 56.58% | 6.78% | 7.74% | 7.14% | 0.926 |
10 | 18.37% | 0.00% | 0.00% | 0.00% | 0.00% | 19.27% | 55.45% | 6.91% | 7.78% | 7.14% | 0.931 |
11 | 18.88% | 0.00% | 0.00% | 0.00% | 0.00% | 19.76% | 54.32% | 7.03% | 7.82% | 7.15% | 0.936 |
12 | 19.39% | 0.00% | 0.00% | 0.00% | 0.00% | 20.26% | 53.19% | 7.16% | 7.86% | 7.16% | 0.941 |
13 | 19.90% | 0.00% | 0.00% | 0.00% | 0.00% | 20.75% | 52.06% | 7.29% | 7.90% | 7.16% | 0.945 |
14 | 20.40% | 0.00% | 0.00% | 0.00% | 0.00% | 21.25% | 50.93% | 7.42% | 7.94% | 7.17% | 0.950 |
15 | 20.91% | 0.00% | 0.00% | 0.00% | 0.00% | 21.74% | 49.80% | 7.55% | 7.98% | 7.18% | 0.954 |
16 | 21.42% | 0.00% | 0.00% | 0.00% | 0.00% | 22.24% | 48.67% | 7.68% | 8.02% | 7.19% | 0.958 |
17 | 21.93% | 0.00% | 0.00% | 0.00% | 0.00% | 22.73% | 47.54% | 7.80% | 8.06% | 7.20% | 0.963 |
18 | 22.43% | 0.00% | 0.00% | 0.00% | 0.00% | 23.22% | 46.41% | 7.93% | 8.10% | 7.21% | 0.967 |
19 | 22.94% | 0.00% | 0.00% | 0.00% | 0.00% | 23.72% | 45.28% | 8.06% | 8.14% | 7.22% | 0.971 |
20 | 23.45% | 0.00% | 0.00% | 0.00% | 0.00% | 24.21% | 44.15% | 8.19% | 8.18% | 7.24% | 0.975 |
21 | 23.96% | 0.00% | 0.00% | 0.00% | 0.00% | 24.71% | 43.02% | 8.32% | 8.22% | 7.25% | 0.978 |
22 | 24.46% | 0.00% | 0.00% | 0.00% | 0.00% | 25.20% | 41.89% | 8.44% | 8.27% | 7.26% | 0.982 |
23 | 24.97% | 0.00% | 0.00% | 0.00% | 0.00% | 25.70% | 40.76% | 8.57% | 8.31% | 7.28% | 0.986 |
24 | 25.48% | 0.00% | 0.00% | 0.00% | 0.00% | 26.19% | 39.63% | 8.70% | 8.35% | 7.29% | 0.989 |
25 | 25.99% | 0.00% | 0.00% | 0.00% | 0.00% | 26.68% | 38.50% | 8.83% | 8.39% | 7.31% | 0.993 |
26 | 26.49% | 0.00% | 0.00% | 0.00% | 0.00% | 27.18% | 37.37% | 8.96% | 8.43% | 7.32% | 0.996 |
27 | 27.00% | 0.00% | 0.00% | 0.00% | 0.00% | 27.67% | 36.24% | 9.09% | 8.47% | 7.34% | 0.999 |
28 | 27.51% | 0.00% | 0.00% | 0.00% | 0.00% | 28.17% | 35.11% | 9.21% | 8.51% | 7.36% | 1.002 |
29 | 28.02% | 0.00% | 0.00% | 0.00% | 0.00% | 28.66% | 33.98% | 9.34% | 8.55% | 7.37% | 1.005 |
30 | 28.52% | 0.00% | 0.00% | 0.00% | 0.00% | 29.16% | 32.85% | 9.47% | 8.59% | 7.39% | 1.008 |
31 | 29.03% | 0.00% | 0.00% | 0.00% | 0.00% | 29.65% | 31.72% | 9.60% | 8.63% | 7.41% | 1.011 |
32 | 29.54% | 0.00% | 0.00% | 0.00% | 0.00% | 30.14% | 30.59% | 9.73% | 8.67% | 7.43% | 1.014 |
33 | 30.05% | 0.00% | 0.00% | 0.00% | 0.00% | 30.64% | 29.46% | 9.86% | 8.71% | 7.45% | 1.017 |
34 | 30.55% | 0.00% | 0.00% | 0.00% | 0.00% | 31.13% | 28.33% | 9.98% | 8.75% | 7.47% | 1.019 |
35 | 31.06% | 0.00% | 0.00% | 0.00% | 0.00% | 31.63% | 27.20% | 10.11% | 8.79% | 7.49% | 1.022 |
36 | 31.57% | 0.00% | 0.00% | 0.00% | 0.00% | 32.12% | 26.07% | 10.24% | 8.83% | 7.52% | 1.024 |
37 | 32.08% | 0.00% | 0.00% | 0.00% | 0.00% | 32.62% | 24.94% | 10.37% | 8.87% | 7.54% | 1.026 |
38 | 32.59% | 0.00% | 0.00% | 0.00% | 0.00% | 33.11% | 23.81% | 10.50% | 8.91% | 7.56% | 1.029 |
39 | 33.09% | 0.00% | 0.00% | 0.00% | 0.00% | 33.61% | 22.68% | 10.63% | 8.95% | 7.59% | 1.031 |
40 | 33.60% | 0.00% | 0.00% | 0.00% | 0.00% | 34.10% | 21.55% | 10.75% | 8.99% | 7.61% | 1.033 |
41 | 34.11% | 0.00% | 0.00% | 0.00% | 0.00% | 34.59% | 20.42% | 10.88% | 9.03% | 7.63% | 1.035 |
42 | 34.62% | 0.00% | 0.00% | 0.00% | 0.00% | 35.09% | 19.29% | 11.01% | 9.07% | 7.66% | 1.037 |
43 | 35.12% | 0.00% | 0.00% | 0.00% | 0.00% | 35.58% | 18.16% | 11.14% | 9.11% | 7.69% | 1.038 |
44 | 35.63% | 0.00% | 0.00% | 0.00% | 0.00% | 36.08% | 17.03% | 11.27% | 9.15% | 7.71% | 1.040 |
45 | 36.14% | 0.00% | 0.00% | 0.00% | 0.00% | 36.57% | 15.90% | 11.39% | 9.19% | 7.74% | 1.042 |
46 | 36.65% | 0.00% | 0.00% | 0.00% | 0.00% | 37.07% | 14.76% | 11.52% | 9.23% | 7.77% | 1.043 |
47 | 37.15% | 0.00% | 0.00% | 0.00% | 0.00% | 37.56% | 13.63% | 11.65% | 9.27% | 7.79% | 1.045 |
48 | 37.66% | 0.00% | 0.00% | 0.00% | 0.00% | 38.05% | 12.50% | 11.78% | 9.32% | 7.82% | 1.046 |
49 | 38.17% | 0.00% | 0.00% | 0.00% | 0.00% | 38.55% | 11.37% | 11.91% | 9.36% | 7.85% | 1.047 |
50 | 38.68% | 0.00% | 0.00% | 0.00% | 0.00% | 39.04% | 10.24% | 12.04% | 9.40% | 7.88% | 1.049 |
51 | 39.18% | 0.00% | 0.00% | 0.00% | 0.00% | 39.54% | 9.11% | 12.16% | 9.44% | 7.91% | 1.050 |
52 | 39.69% | 0.00% | 0.00% | 0.00% | 0.00% | 40.03% | 7.98% | 12.29% | 9.48% | 7.94% | 1.051 |
53 | 40.20% | 0.00% | 0.00% | 0.00% | 0.00% | 40.53% | 6.85% | 12.42% | 9.52% | 7.97% | 1.052 |
54 | 40.71% | 0.00% | 0.00% | 0.00% | 0.00% | 41.02% | 5.72% | 12.55% | 9.56% | 8.00% | 1.053 |
55 | 41.21% | 0.00% | 0.00% | 0.00% | 0.00% | 41.52% | 4.59% | 12.68% | 9.60% | 8.04% | 1.054 |
56 | 41.72% | 0.00% | 0.00% | 0.00% | 0.00% | 42.01% | 3.46% | 12.81% | 9.64% | 8.07% | 1.055 |
57 | 42.23% | 0.00% | 0.00% | 0.00% | 0.00% | 42.50% | 2.33% | 12.93% | 9.68% | 8.10% | 1.055 |
58 | 42.74% | 0.00% | 0.00% | 0.00% | 0.00% | 43.00% | 1.20% | 13.06% | 9.72% | 8.13% | 1.056 |
59 | 43.24% | 0.00% | 0.00% | 0.00% | 0.00% | 43.49% | 0.07% | 13.19% | 9.76% | 8.17% | 1.057 |
60 | 44.03% | 0.00% | 0.00% | 0.00% | 0.00% | 42.27% | 0.00% | 13.70% | 9.80% | 8.21% | 1.057 |
61 | 44.84% | 0.00% | 0.00% | 0.00% | 0.00% | 40.92% | 0.00% | 14.24% | 9.84% | 8.25% | 1.056 |
62 | 45.65% | 0.00% | 0.00% | 0.00% | 0.00% | 39.58% | 0.00% | 14.77% | 9.88% | 8.30% | 1.054 |
63 | 46.45% | 0.00% | 0.00% | 0.00% | 0.00% | 38.24% | 0.00% | 15.31% | 9.93% | 8.36% | 1.051 |
64 | 47.26% | 0.00% | 0.00% | 0.00% | 0.00% | 36.89% | 0.00% | 15.85% | 9.97% | 8.43% | 1.048 |
65 | 48.07% | 0.00% | 0.00% | 0.00% | 0.00% | 35.55% | 0.00% | 16.38% | 10.01% | 8.51% | 1.043 |
66 | 48.88% | 0.00% | 0.00% | 0.00% | 0.00% | 34.21% | 0.00% | 16.92% | 10.05% | 8.59% | 1.038 |
67 | 49.68% | 0.00% | 0.00% | 0.00% | 0.00% | 32.86% | 0.00% | 17.45% | 10.09% | 8.68% | 1.032 |
68 | 50.49% | 0.00% | 0.00% | 0.00% | 0.00% | 31.52% | 0.00% | 17.99% | 10.13% | 8.78% | 1.025 |
69 | 51.30% | 0.00% | 0.00% | 0.00% | 0.00% | 30.18% | 0.00% | 18.53% | 10.17% | 8.88% | 1.018 |
70 | 52.11% | 0.00% | 0.00% | 0.00% | 0.00% | 28.83% | 0.00% | 19.06% | 10.21% | 8.99% | 1.010 |
71 | 52.91% | 0.00% | 0.00% | 0.00% | 0.00% | 27.49% | 0.00% | 19.60% | 10.25% | 9.11% | 1.002 |
72 | 53.72% | 0.00% | 0.00% | 0.00% | 0.00% | 26.15% | 0.00% | 20.13% | 10.29% | 9.23% | 0.993 |
73 | 54.53% | 0.00% | 0.00% | 0.00% | 0.00% | 24.80% | 0.00% | 20.67% | 10.33% | 9.35% | 0.984 |
74 | 55.33% | 0.00% | 0.00% | 0.00% | 0.00% | 23.46% | 0.00% | 21.21% | 10.38% | 9.49% | 0.974 |
75 | 56.14% | 0.00% | 0.00% | 0.00% | 0.00% | 22.12% | 0.00% | 21.74% | 10.42% | 9.62% | 0.965 |
76 | 56.95% | 0.00% | 0.00% | 0.00% | 0.00% | 20.77% | 0.00% | 22.28% | 10.46% | 9.76% | 0.955 |
77 | 57.76% | 0.00% | 0.00% | 0.00% | 0.00% | 19.43% | 0.00% | 22.81% | 10.50% | 9.91% | 0.945 |
78 | 58.56% | 0.00% | 0.00% | 0.00% | 0.00% | 18.09% | 0.00% | 23.35% | 10.54% | 10.06% | 0.935 |
79 | 59.37% | 0.00% | 0.00% | 0.00% | 0.00% | 16.74% | 0.00% | 23.89% | 10.58% | 10.22% | 0.925 |
80 | 60.18% | 0.00% | 0.00% | 0.00% | 0.00% | 15.40% | 0.00% | 24.42% | 10.62% | 10.38% | 0.914 |
81 | 60.98% | 0.00% | 0.00% | 0.00% | 0.00% | 14.06% | 0.00% | 24.96% | 10.66% | 10.54% | 0.904 |
82 | 61.79% | 0.00% | 0.00% | 0.00% | 0.00% | 12.71% | 0.00% | 25.49% | 10.70% | 10.71% | 0.894 |
83 | 62.60% | 0.00% | 0.00% | 0.00% | 0.00% | 11.37% | 0.00% | 26.03% | 10.74% | 10.88% | 0.883 |
84 | 63.41% | 0.00% | 0.00% | 0.00% | 0.00% | 10.03% | 0.00% | 26.57% | 10.79% | 11.06% | 0.873 |
85 | 64.21% | 0.00% | 0.00% | 0.00% | 0.00% | 8.68% | 0.00% | 27.10% | 10.83% | 11.23% | 0.863 |
86 | 65.02% | 0.00% | 0.00% | 0.00% | 0.00% | 7.34% | 0.00% | 27.64% | 10.87% | 11.41% | 0.853 |
87 | 65.83% | 0.00% | 0.00% | 0.00% | 0.00% | 6.00% | 0.00% | 28.17% | 10.91% | 11.60% | 0.843 |
88 | 66.64% | 0.00% | 0.00% | 0.00% | 0.00% | 4.65% | 0.00% | 28.71% | 10.95% | 11.78% | 0.833 |
89 | 67.44% | 0.00% | 0.00% | 0.00% | 0.00% | 3.31% | 0.00% | 29.25% | 10.99% | 11.97% | 0.823 |
90 | 68.25% | 0.00% | 0.00% | 0.00% | 0.00% | 1.97% | 0.00% | 29.78% | 11.03% | 12.17% | 0.814 |
91 | 69.06% | 0.00% | 0.00% | 0.00% | 0.00% | 0.62% | 0.00% | 30.32% | 11.07% | 12.36% | 0.804 |
92 | 71.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 28.65% | 11.11% | 12.56% | 0.795 |
93 | 74.93% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 25.07% | 11.16% | 12.81% | 0.782 |
94 | 78.51% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 21.49% | 11.20% | 13.10% | 0.768 |
95 | 82.09% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 17.91% | 11.24% | 13.44% | 0.752 |
96 | 85.67% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 14.33% | 11.28% | 13.82% | 0.734 |
97 | 89.25% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 10.75% | 11.32% | 14.23% | 0.716 |
98 | 92.84% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 7.16% | 11.36% | 14.68% | 0.697 |
99 | 96.42% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 3.58% | 11.40% | 15.16% | 0.677 |
100 | 100.00% | 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). |
Year | Inflation | Return | Balance | Vanguard 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% Volatility | Equal Weighted | Maximum Return at 10.00% Volatility | Equal Weighted | ||||||||||
2006 | 2.54% | 14.53% | 19.39% | $11,453 | $11,939 | 15.69% | 0.71% | 22.55% | 19.37% | 25.81% | 31.19% | 35.30% | 4.22% |
2007 | 4.08% | 11.99% | 8.39% | $12,826 | $12,941 | 5.37% | 10.29% | 30.45% | -5.56% | 9.94% | 33.31% | -16.50% | 3.73% |
2008 | 0.09% | -16.56% | -21.23% | $10,702 | $10,194 | -36.98% | 33.93% | 4.92% | -29.39% | -41.04% | -48.88% | -37.00% | 2.40% |
2009 | 2.72% | 17.33% | 23.38% | $12,557 | $12,577 | 28.89% | -21.80% | 24.03% | 22.36% | 26.95% | 68.93% | 30.08% | 8.46% |
2010 | 1.50% | 19.46% | 18.79% | $15,000 | $14,941 | 17.42% | 9.05% | 29.27% | 24.69% | 8.15% | 16.51% | 28.37% | 9.33% |
2011 | 2.96% | 10.06% | 4.04% | $16,510 | $15,545 | 0.97% | 33.96% | 9.57% | -1.65% | -12.25% | -18.82% | 8.62% | 9.73% |
2012 | 1.74% | 11.89% | 14.22% | $18,473 | $17,756 | 16.45% | 2.63% | 6.60% | 18.24% | 18.82% | 19.10% | 17.63% | 10.58% |
2013 | 1.50% | 7.22% | 4.45% | $19,807 | $18,546 | 33.45% | -13.37% | -28.33% | 39.34% | 21.40% | -3.69% | 2.31% | -2.00% |
2014 | 0.76% | 11.91% | 8.88% | $22,167 | $20,193 | 12.54% | 27.30% | -2.19% | 7.56% | -6.20% | -3.93% | 30.36% | 8.21% |
2015 | 0.73% | -2.04% | -3.92% | $21,715 | $19,401 | 0.36% | -1.79% | -10.67% | -6.90% | -1.00% | -16.18% | 2.42% | -1.25% |
2016 | 2.07% | 10.14% | 10.46% | $23,916 | $21,431 | 12.83% | 1.18% | 8.03% | 31.25% | 1.37% | 10.87% | 8.60% | 6.21% |
2017 | 2.11% | 16.96% | 15.92% | $27,973 | $24,842 | 21.21% | 9.18% | 12.81% | 11.35% | 25.10% | 37.28% | 4.91% | 7.06% |
2018 | 1.91% | -3.27% | -7.18% | $27,057 | $23,059 | -5.21% | -1.61% | -1.94% | -12.84% | -13.81% | -15.31% | -6.02% | -3.79% |
2019 | 2.29% | 25.05% | 22.27% | $33,834 | $28,195 | 30.67% | 14.12% | 17.86% | 24.12% | 22.03% | 18.20% | 28.87% | 17.37% |
2020 | 1.36% | 22.79% | 13.35% | $41,544 | $31,960 | 21.03% | 18.15% | 24.81% | 2.63% | 7.59% | 17.03% | -4.68% | 10.97% |
Year | Month | Return | Balance | Vanguard 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% Volatility | Equal Weighted | Maximum Return at 10.00% Volatility | Equal Weighted | ||||||||||
2006 | 1 | 3.86% | 5.95% | $10,386 | $10,595 | 3.22% | -1.34% | 9.93% | 8.75% | 5.77% | 14.20% | 7.54% | -0.44% |
2006 | 2 | 0.09% | -0.19% | $10,396 | $10,575 | 0.22% | 1.11% | -1.11% | 0.27% | -0.70% | -3.85% | 1.86% | 0.68% |
2006 | 3 | 1.12% | 1.90% | $10,512 | $10,776 | 2.05% | -4.57% | 3.62% | 4.86% | 4.01% | 2.17% | 4.73% | -1.68% |
2006 | 4 | 2.76% | 2.26% | $10,803 | $11,020 | 0.96% | -2.75% | 12.03% | 0.18% | 4.79% | 6.52% | -3.40% | -0.20% |
2006 | 5 | -2.20% | -3.39% | $10,565 | $10,646 | -3.22% | -0.19% | -1.32% | -4.55% | -3.82% | -11.14% | -2.70% | -0.19% |
2006 | 6 | -0.76% | 0.21% | $10,485 | $10,669 | 0.13% | 1.18% | -4.67% | 0.04% | -0.06% | 0.21% | 4.95% | -0.09% |
2006 | 7 | 1.07% | 1.33% | $10,597 | $10,810 | -0.12% | 2.16% | 3.15% | -3.10% | 0.81% | 2.34% | 3.89% | 1.46% |
2006 | 8 | 1.61% | 2.07% | $10,767 | $11,033 | 2.30% | 3.06% | -1.38% | 2.70% | 2.55% | 1.58% | 3.48% | 2.22% |
2006 | 9 | 0.64% | 0.38% | $10,836 | $11,075 | 2.26% | 1.91% | -4.53% | 1.19% | 0.22% | -0.87% | 1.96% | 0.87% |
2006 | 10 | 2.50% | 3.63% | $11,107 | $11,477 | 3.53% | 0.85% | 1.29% | 5.52% | 3.75% | 7.06% | 6.03% | 1.00% |
2006 | 11 | 3.37% | 3.65% | $11,481 | $11,896 | 2.33% | 2.31% | 6.89% | 2.38% | 3.07% | 5.98% | 4.78% | 1.46% |
2006 | 12 | -0.25% | 0.36% | $11,453 | $11,939 | 1.20% | -2.69% | -1.83% | 0.32% | 3.20% | 5.44% | -1.83% | -0.90% |
2007 | 1 | 1.47% | 1.99% | $11,621 | $12,177 | 1.86% | -1.00% | 2.56% | 2.14% | 1.39% | 0.11% | 8.78% | 0.09% |
2007 | 2 | 0.30% | -0.08% | $11,656 | $12,167 | -1.62% | 3.39% | 2.55% | -0.92% | -0.12% | -3.24% | -2.70% | 2.00% |
2007 | 3 | 0.06% | 0.59% | $11,663 | $12,238 | 1.12% | -1.70% | -1.11% | 0.91% | 2.90% | 5.33% | -2.07% | -0.68% |
2007 | 4 | 2.97% | 2.13% | $12,009 | $12,499 | 4.02% | 0.90% | 2.05% | 1.84% | 3.75% | 3.73% | -0.13% | 0.89% |
2007 | 5 | 1.17% | 1.19% | $12,150 | $12,649 | 3.72% | -2.31% | -2.31% | 4.63% | 2.36% | 5.06% | -0.38% | -1.23% |
2007 | 6 | -1.66% | -1.67% | $11,949 | $12,437 | -1.76% | -1.01% | -1.94% | -2.24% | -0.32% | 3.68% | -8.99% | -0.81% |
2007 | 7 | -0.86% | -1.85% | $11,847 | $12,207 | -3.53% | 3.32% | 2.37% | -6.26% | -2.29% | 0.71% | -8.26% | -0.82% |
2007 | 8 | 1.45% | 1.90% | $12,018 | $12,440 | 1.47% | 1.79% | 1.11% | 1.33% | -0.63% | 1.04% | 6.74% | 2.38% |
2007 | 9 | 4.66% | 4.55% | $12,579 | $13,006 | 3.85% | 0.23% | 10.51% | 0.31% | 5.32% | 11.57% | 3.90% | 0.73% |
2007 | 10 | 2.97% | 3.85% | $12,953 | $13,507 | 1.79% | 1.81% | 6.95% | 1.06% | 4.25% | 11.87% | 2.10% | 0.97% |
2007 | 11 | -1.95% | -3.46% | $12,700 | $13,039 | -4.52% | 5.35% | -1.65% | -7.15% | -3.62% | -7.65% | -9.47% | 1.02% |
2007 | 12 | 0.99% | -0.75% | $12,826 | $12,941 | -0.70% | -0.64% | 6.65% | -0.71% | -2.99% | -1.43% | -5.41% | -0.81% |
2008 | 1 | -0.68% | -1.53% | $12,739 | $12,743 | -6.17% | 2.10% | 10.84% | -4.00% | -7.85% | -8.92% | -0.78% | 2.57% |
2008 | 2 | -0.34% | -0.50% | $12,696 | $12,680 | -2.50% | -0.46% | 5.23% | -3.36% | -1.02% | 1.99% | -3.18% | -0.71% |
2008 | 3 | -1.47% | -0.17% | $12,509 | $12,658 | -0.90% | 2.14% | -6.00% | 0.83% | 0.42% | -3.75% | 6.48% | -0.60% |
2008 | 4 | 1.39% | 2.89% | $12,683 | $13,023 | 4.89% | -2.48% | -4.16% | 2.64% | 5.44% | 9.14% | 6.38% | 1.25% |
2008 | 5 | 0.85% | 0.76% | $12,791 | $13,122 | 2.02% | -2.69% | 0.92% | 3.92% | 1.19% | 3.16% | -0.21% | -2.21% |
2008 | 6 | -3.14% | -4.92% | $12,389 | $12,477 | -8.12% | 2.65% | 4.52% | -8.41% | -8.80% | -9.29% | -10.62% | -1.29% |
2008 | 7 | -0.76% | -0.61% | $12,295 | $12,401 | -0.62% | -0.37% | -1.44% | 2.87% | -3.32% | -5.50% | 3.12% | 0.39% |
2008 | 8 | -0.74% | -1.05% | $12,203 | $12,271 | 1.46% | 2.74% | -9.29% | 4.76% | -4.25% | -6.32% | 2.37% | 0.15% |
2008 | 9 | -4.11% | -5.68% | $11,701 | $11,574 | -9.24% | 1.47% | 4.11% | -4.82% | -11.44% | -14.68% | -0.11% | -10.73% |
2008 | 10 | -14.14% | -16.93% | $10,047 | $9,615 | -17.48% | -1.86% | -16.14% | -19.86% | -20.83% | -25.58% | -31.73% | -1.95% |
2008 | 11 | 1.03% | -3.55% | $10,150 | $9,273 | -8.01% | 14.34% | 12.57% | -11.80% | -6.37% | -9.75% | -22.72% | 3.35% |
2008 | 12 | 5.44% | 9.93% | $10,702 | $10,194 | 1.78% | 13.64% | 7.73% | 6.57% | 8.88% | 10.35% | 16.67% | 13.80% |
2009 | 1 | -5.92% | -8.98% | $10,068 | $9,278 | -8.05% | -13.07% | 5.54% | -13.94% | -13.73% | -9.29% | -17.53% | -1.80% |
2009 | 2 | -6.05% | -8.25% | $9,459 | $8,512 | -10.53% | -1.54% | 1.45% | -13.03% | -10.39% | -6.27% | -20.53% | -5.20% |
2009 | 3 | 4.98% | 5.84% | $9,931 | $9,009 | 8.26% | 4.04% | -2.54% | 7.58% | 8.39% | 16.86% | 3.61% | 0.47% |
2009 | 4 | 4.24% | 10.02% | $10,351 | $9,911 | 10.99% | -6.95% | -3.33% | 18.89% | 11.52% | 15.56% | 30.68% | 2.78% |
2009 | 5 | 4.77% | 5.84% | $10,845 | $10,491 | 5.46% | -3.69% | 10.23% | 0.67% | 13.19% | 15.94% | 2.62% | 2.32% |
2009 | 6 | -0.83% | -0.82% | $10,755 | $10,404 | 0.36% | 0.76% | -5.22% | 1.52% | -1.43% | -2.25% | -3.23% | 2.89% |
2009 | 7 | 5.12% | 7.27% | $11,306 | $11,160 | 7.74% | 0.58% | 2.38% | 11.00% | 10.04% | 11.01% | 10.77% | 4.63% |
2009 | 8 | 2.59% | 3.54% | $11,599 | $11,555 | 3.71% | 2.24% | 0.05% | 3.48% | 4.50% | -1.31% | 14.32% | 1.31% |
2009 | 9 | 4.20% | 4.88% | $12,086 | $12,119 | 4.14% | 2.46% | 5.84% | 4.21% | 3.80% | 10.20% | 6.63% | 1.76% |
2009 | 10 | -1.18% | -2.32% | $11,943 | $11,838 | -2.63% | -2.62% | 3.72% | -6.07% | -2.52% | -3.44% | -4.46% | -0.49% |
2009 | 11 | 6.44% | 5.36% | $12,712 | $12,473 | 5.69% | 1.21% | 12.79% | 2.90% | 3.92% | 7.85% | 6.57% | 1.95% |
2009 | 12 | -1.22% | 0.84% | $12,557 | $12,577 | 2.86% | -6.34% | -7.20% | 8.10% | 0.70% | 3.27% | 7.37% | -2.07% |
2010 | 1 | -1.82% | -2.72% | $12,328 | $12,235 | -3.57% | 2.69% | -1.26% | -2.54% | -5.07% | -7.76% | -5.52% | 1.25% |
2010 | 2 | 2.67% | 2.41% | $12,657 | $12,530 | 3.44% | -0.34% | 3.27% | 4.76% | 0.27% | 1.78% | 5.58% | 0.51% |
2010 | 3 | 3.19% | 4.63% | $13,061 | $13,110 | 6.40% | -2.06% | -0.44% | 7.80% | 6.39% | 8.11% | 10.18% | 0.65% |
2010 | 4 | 3.25% | 3.01% | $13,485 | $13,505 | 2.18% | 3.32% | 5.88% | 6.63% | -2.80% | -0.17% | 7.15% | 1.91% |
2010 | 5 | -2.86% | -4.44% | $13,099 | $12,906 | -7.88% | 5.11% | 3.05% | -8.54% | -11.19% | -9.39% | -5.33% | -1.31% |
2010 | 6 | -1.71% | -1.42% | $12,876 | $12,723 | -5.83% | 5.80% | 2.36% | -8.27% | -2.07% | -1.40% | -5.19% | 3.28% |
2010 | 7 | 2.71% | 5.24% | $13,225 | $13,390 | 7.02% | -0.95% | -5.09% | 6.71% | 11.61% | 10.93% | 9.59% | 2.11% |
2010 | 8 | 0.21% | -0.50% | $13,253 | $13,323 | -4.71% | 8.40% | 5.71% | -7.91% | -3.80% | -3.24% | -1.28% | 2.86% |
2010 | 9 | 6.06% | 6.16% | $14,056 | $14,144 | 9.45% | -2.51% | 4.78% | 10.93% | 9.97% | 11.76% | 4.45% | 0.46% |
2010 | 10 | 2.30% | 2.32% | $14,379 | $14,472 | 4.03% | -4.47% | 3.68% | 4.04% | 3.81% | 3.02% | 4.74% | -0.26% |
2010 | 11 | 0.45% | -0.97% | $14,443 | $14,331 | 0.51% | -1.69% | 2.11% | 2.47% | -4.82% | -2.91% | -1.85% | -1.62% |
2010 | 12 | 3.86% | 4.25% | $15,000 | $14,941 | 6.96% | -3.68% | 2.44% | 8.97% | 8.30% | 7.27% | 4.54% | -0.75% |
2011 | 1 | -0.87% | -0.76% | $14,870 | $14,827 | 2.05% | -3.08% | -6.38% | -0.24% | 2.10% | -3.84% | 3.25% | 0.04% |
2011 | 2 | 3.82% | 3.11% | $15,438 | $15,287 | 3.70% | 1.65% | 6.00% | 4.21% | 3.55% | -0.04% | 4.71% | 1.08% |
2011 | 3 | 0.61% | 0.75% | $15,533 | $15,402 | 0.42% | 0.03% | 1.60% | 2.21% | -2.39% | 6.29% | -1.62% | -0.54% |
2011 | 4 | 4.17% | 3.98% | $16,180 | $16,015 | 2.90% | 2.34% | 8.94% | 1.06% | 5.63% | 2.73% | 5.75% | 2.50% |
2011 | 5 | -0.36% | -0.46% | $16,122 | $15,941 | -1.06% | 3.42% | -1.79% | -1.77% | -2.21% | -2.94% | 1.37% | 1.27% |
2011 | 6 | -2.04% | -1.80% | $15,793 | $15,655 | -1.79% | -2.33% | -2.43% | -1.59% | -1.19% | -0.93% | -3.30% | -0.80% |
2011 | 7 | 1.47% | 1.05% | $16,025 | $15,819 | -2.27% | 4.42% | 8.42% | -2.77% | -2.38% | -1.03% | 1.56% | 2.43% |
2011 | 8 | 1.16% | -1.93% | $16,211 | $15,514 | -6.09% | 9.66% | 12.27% | -7.98% | -8.75% | -9.25% | -5.62% | 0.34% |
2011 | 9 | -4.33% | -6.90% | $15,509 | $14,443 | -7.57% | 13.20% | -11.06% | -10.57% | -10.81% | -17.89% | -10.85% | 0.35% |
2011 | 10 | 7.16% | 8.93% | $16,619 | $15,733 | 11.37% | -3.84% | 5.87% | 15.34% | 9.63% | 16.27% | 14.29% | 2.51% |
2011 | 11 | 0.55% | -0.90% | $16,710 | $15,592 | -0.37% | 1.98% | 1.67% | 0.63% | -2.18% | -1.96% | -3.80% | -3.16% |
2011 | 12 | -1.20% | -0.30% | $16,510 | $15,545 | 0.98% | 3.44% | -10.66% | 2.02% | -2.21% | -4.30% | 4.85% | 3.49% |
2012 | 1 | 5.46% | 6.10% | $17,412 | $16,493 | 5.07% | -0.33% | 11.40% | 7.90% | 5.27% | 10.99% | 6.38% | 2.14% |
2012 | 2 | 1.26% | 1.37% | $17,630 | $16,719 | 4.22% | -2.59% | -2.96% | 1.71% | 4.83% | 5.27% | -1.15% | 1.63% |
2012 | 3 | 0.64% | 0.18% | $17,744 | $16,750 | 3.06% | -4.23% | -1.32% | 2.89% | 0.42% | -3.11% | 5.19% | -1.42% |
2012 | 4 | 0.54% | 0.29% | $17,839 | $16,798 | -0.64% | 4.83% | -0.15% | -1.91% | -2.08% | -1.70% | 2.86% | 1.08% |
2012 | 5 | -3.29% | -4.54% | $17,253 | $16,036 | -6.23% | 9.03% | -6.34% | -7.18% | -11.14% | -10.71% | -4.51% | 0.76% |
2012 | 6 | 2.55% | 3.48% | $17,693 | $16,594 | 4.05% | -1.68% | 2.35% | 4.54% | 7.11% | 5.08% | 5.52% | 0.87% |
2012 | 7 | 1.44% | 1.30% | $17,947 | $16,809 | 0.88% | 3.82% | 0.84% | -0.69% | 0.08% | -0.03% | 2.00% | 3.48% |
2012 | 8 | 2.43% | 1.74% | $18,384 | $17,102 | 2.70% | -1.32% | 4.94% | 4.08% | 3.20% | 0.41% | -0.01% | -0.05% |
2012 | 9 | 2.01% | 1.87% | $18,754 | $17,422 | 2.49% | -2.53% | 4.67% | 3.14% | 2.71% | 5.22% | -1.86% | 1.10% |
2012 | 10 | -1.81% | -0.76% | $18,415 | $17,289 | -1.81% | -0.48% | -2.94% | -1.96% | 1.09% | -0.44% | -0.91% | 1.35% |
2012 | 11 | 0.61% | 0.87% | $18,527 | $17,440 | 0.77% | 1.38% | -0.47% | 1.65% | 2.78% | 1.56% | -0.26% | -0.42% |
2012 | 12 | -0.29% | 1.81% | $18,473 | $17,756 | 1.29% | -2.49% | -2.43% | 3.55% | 4.37% | 6.80% | 3.72% | -0.33% |
2013 | 1 | 2.39% | 1.62% | $18,915 | $18,043 | 5.42% | -3.19% | -0.51% | 5.35% | 3.73% | -0.29% | 3.74% | -1.30% |
2013 | 2 | -0.18% | -0.28% | $18,881 | $17,993 | 1.28% | 1.24% | -5.09% | 1.63% | -1.29% | -2.28% | 1.22% | 1.08% |
2013 | 3 | 2.41% | 1.46% | $19,337 | $18,256 | 3.95% | -0.42% | 0.95% | 4.11% | 1.31% | -1.02% | 2.87% | -0.05% |
2013 | 4 | 0.11% | 1.75% | $19,358 | $18,575 | 1.61% | 4.68% | -7.56% | 0.12% | 5.02% | 1.22% | 6.73% | 2.17% |
2013 | 5 | -1.32% | -2.91% | $19,103 | $18,035 | 2.44% | -6.76% | -6.20% | 4.29% | -3.02% | -4.83% | -5.98% | -3.22% |
2013 | 6 | -3.99% | -3.65% | $18,342 | $17,377 | -1.43% | -3.27% | -11.06% | -0.14% | -2.70% | -5.35% | -1.98% | -3.27% |
2013 | 7 | 4.57% | 3.27% | $19,181 | $17,945 | 5.75% | -2.26% | 7.43% | 6.56% | 5.32% | 1.32% | 0.90% | 1.11% |
2013 | 8 | -0.82% | -1.88% | $19,023 | $17,607 | -3.03% | -1.34% | 5.20% | -3.41% | -1.96% | -2.54% | -6.98% | -1.00% |
2013 | 9 | 1.29% | 3.20% | $19,268 | $18,171 | 3.90% | 0.66% | -4.78% | 6.59% | 7.82% | 7.21% | 3.49% | 0.74% |
2013 | 10 | 2.66% | 2.82% | $19,782 | $18,684 | 4.27% | 1.43% | -0.34% | 3.48% | 3.26% | 4.17% | 4.52% | 1.81% |
2013 | 11 | -0.22% | -0.79% | $19,738 | $18,536 | 2.70% | -2.70% | -5.51% | 4.25% | 0.55% | -0.26% | -5.25% | -0.14% |
2013 | 12 | 0.35% | 0.05% | $19,807 | $18,546 | 2.73% | -1.87% | -3.79% | 1.29% | 2.16% | -0.42% | 0.10% | 0.22% |
2014 | 1 | 0.17% | -0.58% | $19,841 | $18,438 | -3.17% | 6.30% | 3.42% | -3.51% | -5.20% | -8.64% | 4.28% | 1.88% |
2014 | 2 | 4.34% | 4.00% | $20,703 | $19,176 | 4.87% | 0.52% | 6.27% | 4.63% | 6.13% | 3.38% | 5.07% | 1.14% |
2014 | 3 | -0.28% | 0.41% | $20,645 | $19,255 | 0.51% | 0.73% | -3.14% | 1.34% | -0.46% | 3.88% | 0.49% | -0.03% |
2014 | 4 | 0.56% | 0.93% | $20,759 | $19,434 | 0.06% | 2.10% | 0.49% | -2.29% | 1.67% | 0.78% | 3.29% | 1.33% |
2014 | 5 | 1.09% | 1.38% | $20,986 | $19,703 | 2.10% | 2.95% | -3.05% | 0.62% | 1.60% | 2.95% | 2.40% | 1.51% |
2014 | 6 | 2.91% | 2.13% | $21,596 | $20,122 | 2.62% | -0.25% | 6.32% | 3.85% | 0.92% | 2.40% | 1.13% | 0.01% |
2014 | 7 | -1.85% | -1.44% | $21,196 | $19,832 | -1.99% | 0.67% | -3.63% | -5.07% | -2.60% | 1.36% | 0.08% | -0.32% |
2014 | 8 | 3.40% | 2.72% | $21,917 | $20,372 | 4.15% | 4.72% | 0.38% | 4.46% | 0.18% | 2.83% | 3.04% | 2.00% |
2014 | 9 | -3.03% | -4.46% | $21,253 | $19,463 | -2.10% | -2.11% | -6.18% | -5.94% | -3.88% | -7.77% | -6.04% | -1.68% |
2014 | 10 | 1.44% | 2.74% | $21,558 | $19,997 | 2.75% | 2.81% | -3.05% | 7.13% | -0.27% | 1.42% | 9.94% | 1.23% |
2014 | 11 | 1.90% | 0.86% | $21,967 | $20,169 | 2.48% | 2.97% | -0.49% | 0.48% | 0.06% | -1.54% | 2.00% | 0.91% |
2014 | 12 | 0.91% | 0.12% | $22,167 | $20,193 | -0.04% | 3.25% | 1.31% | 2.56% | -4.00% | -3.99% | 1.88% | -0.02% |
2015 | 1 | 2.31% | 2.62% | $22,678 | $20,723 | -2.74% | 9.82% | 8.69% | -5.32% | 0.62% | -0.69% | 6.85% | 3.75% |
2015 | 2 | 0.78% | 0.65% | $22,855 | $20,858 | 5.74% | -6.14% | -5.91% | 5.86% | 6.34% | 4.41% | -3.67% | -1.42% |
2015 | 3 | -0.95% | -0.27% | $22,639 | $20,801 | -1.16% | 1.10% | -2.15% | 1.03% | -1.43% | -1.50% | 1.74% | 0.20% |
2015 | 4 | -0.35% | -0.17% | $22,560 | $20,766 | 0.62% | -3.43% | -0.17% | -1.82% | 3.65% | 6.85% | -5.85% | -1.19% |
2015 | 5 | 0.42% | -0.64% | $22,653 | $20,634 | 1.30% | -2.37% | 0.56% | 0.75% | 0.20% | -4.10% | -0.30% | -1.12% |
2015 | 6 | -2.10% | -2.43% | $22,177 | $20,133 | -1.67% | -4.07% | -1.52% | 0.42% | -3.12% | -2.93% | -4.68% | -1.88% |
2015 | 7 | 0.36% | -0.09% | $22,256 | $20,114 | 1.70% | 4.55% | -6.62% | -2.70% | 2.03% | -6.31% | 5.77% | 0.83% |
2015 | 8 | -2.81% | -3.88% | $21,631 | $19,333 | -6.09% | -0.69% | 3.71% | -4.62% | -7.43% | -8.84% | -6.29% | -0.83% |
2015 | 9 | -1.72% | -1.23% | $21,260 | $19,095 | -2.92% | 1.97% | -1.80% | -3.77% | -4.42% | -3.13% | 3.05% | 1.19% |
2015 | 10 | 5.01% | 4.46% | $22,325 | $19,946 | 7.91% | -0.41% | 2.28% | 6.57% | 6.61% | 6.38% | 5.76% | 0.57% |
2015 | 11 | -1.36% | -1.08% | $22,021 | $19,732 | 0.60% | -0.87% | -6.75% | 2.47% | -0.75% | -2.52% | -0.63% | -0.15% |
2015 | 12 | -1.39% | -1.67% | $21,715 | $19,401 | -2.13% | -0.30% | -0.45% | -5.08% | -2.34% | -3.83% | 1.82% | -1.08% |
2016 | 1 | -0.99% | -1.81% | $21,500 | $19,051 | -5.72% | 5.57% | 5.41% | -5.85% | -5.52% | -5.03% | -3.44% | 0.12% |
2016 | 2 | 3.09% | 1.58% | $22,164 | $19,351 | -0.01% | 3.09% | 10.93% | 2.08% | -3.33% | -0.82% | -0.36% | 1.05% |
2016 | 3 | 3.90% | 6.15% | $23,028 | $20,542 | 7.11% | -0.09% | -0.84% | 9.41% | 6.58% | 12.96% | 10.48% | 3.62% |
2016 | 4 | 1.40% | 1.12% | $23,351 | $20,773 | 0.66% | -0.74% | 5.11% | 2.13% | 2.22% | 0.41% | -2.35% | 1.55% |
2016 | 5 | -0.24% | -0.65% | $23,294 | $20,638 | 1.73% | 0.81% | -6.14% | 0.44% | -0.09% | -3.69% | 2.25% | -0.51% |
2016 | 6 | 3.55% | 3.65% | $24,121 | $21,391 | 0.27% | 6.93% | 8.97% | 0.83% | -2.42% | 4.56% | 6.92% | 3.09% |
2016 | 7 | 3.16% | 3.50% | $24,883 | $22,140 | 3.98% | 2.10% | 1.98% | 5.06% | 3.98% | 5.38% | 4.26% | 1.29% |
2016 | 8 | -0.82% | -0.64% | $24,679 | $21,999 | 0.21% | -1.01% | -3.26% | 1.13% | 0.53% | 0.88% | -3.76% | 0.18% |
2016 | 9 | -0.02% | 0.25% | $24,675 | $22,054 | 0.21% | -1.51% | 0.69% | 0.87% | 1.34% | 2.52% | -1.82% | -0.32% |
2016 | 10 | -2.79% | -2.95% | $23,987 | $21,404 | -2.19% | -4.38% | -2.94% | -3.74% | -2.22% | -0.83% | -5.74% | -1.53% |
2016 | 11 | -0.91% | -1.22% | $23,769 | $21,142 | 4.49% | -8.21% | -8.36% | 13.34% | -1.78% | -4.42% | -1.68% | -3.17% |
2016 | 12 | 0.62% | 1.37% | $23,916 | $21,431 | 1.98% | -0.46% | -1.91% | 3.20% | 2.71% | -0.25% | 4.82% | 0.84% |
2017 | 1 | 2.47% | 2.10% | $24,506 | $21,881 | 1.86% | 0.81% | 5.42% | -1.21% | 3.29% | 6.66% | -0.19% | 0.15% |
2017 | 2 | 3.17% | 2.20% | $25,282 | $22,361 | 3.69% | 1.59% | 3.18% | 1.35% | 1.19% | 1.74% | 3.51% | 1.32% |
2017 | 3 | -0.19% | 0.32% | $25,234 | $22,432 | 0.06% | -0.65% | -0.43% | -0.65% | 3.23% | 3.69% | -2.42% | -0.29% |
2017 | 4 | 1.31% | 1.30% | $25,565 | $22,724 | 1.06% | 1.57% | 1.73% | 0.51% | 2.42% | 1.70% | 0.24% | 1.19% |
2017 | 5 | 0.92% | 0.94% | $25,801 | $22,938 | 1.01% | 1.89% | -0.12% | -2.26% | 3.54% | 2.85% | -0.72% | 1.33% |
2017 | 6 | 0.21% | 0.81% | $25,855 | $23,124 | 0.95% | 0.79% | -2.16% | 2.96% | 0.31% | 0.93% | 2.23% | 0.48% |
2017 | 7 | 1.49% | 1.85% | $26,239 | $23,551 | 1.88% | -0.66% | 2.31% | 0.75% | 2.65% | 5.82% | 1.24% | 0.77% |
2017 | 8 | 1.71% | 0.97% | $26,687 | $23,779 | 0.15% | 3.41% | 4.20% | -2.72% | -0.04% | 2.35% | -0.26% | 0.68% |
2017 | 9 | 0.19% | 0.94% | $26,738 | $24,002 | 2.44% | -2.32% | -3.37% | 8.58% | 2.36% | -0.04% | -0.11% | -0.05% |
2017 | 10 | 1.07% | 0.76% | $27,025 | $24,184 | 2.17% | -0.04% | -0.75% | 0.59% | 1.68% | 3.28% | -1.07% | 0.19% |
2017 | 11 | 1.98% | 1.34% | $27,559 | $24,508 | 3.03% | 0.74% | 0.36% | 3.76% | 0.69% | -0.39% | 2.66% | -0.12% |
2017 | 12 | 1.50% | 1.36% | $27,973 | $24,842 | 1.16% | 1.81% | 2.11% | -0.37% | 1.35% | 3.77% | -0.14% | 1.22% |
2018 | 1 | 3.13% | 1.80% | $28,847 | $25,289 | 5.23% | -3.26% | 3.23% | 1.33% | 5.02% | 8.30% | -4.25% | -1.23% |
2018 | 2 | -3.24% | -4.20% | $27,914 | $24,228 | -3.76% | -3.04% | -2.08% | -4.04% | -4.83% | -5.90% | -7.68% | -2.24% |
2018 | 3 | -0.43% | 0.88% | $27,794 | $24,441 | -1.95% | 2.86% | 0.63% | 1.37% | -0.84% | 0.54% | 3.88% | 0.56% |
2018 | 4 | -0.36% | -0.36% | $27,693 | $24,353 | 0.45% | -2.09% | -0.95% | 1.76% | 1.52% | -2.82% | 0.82% | -1.57% |
2018 | 5 | 1.69% | 1.14% | $28,161 | $24,630 | 2.72% | 2.01% | -1.20% | 5.87% | -1.89% | -2.62% | 3.68% | 0.52% |
2018 | 6 | -0.29% | -0.48% | $28,078 | $24,511 | 0.70% | 0.65% | -3.61% | 0.80% | -1.57% | -4.54% | 4.20% | -0.49% |
2018 | 7 | 1.13% | 1.32% | $28,395 | $24,835 | 3.32% | -1.44% | -2.24% | 2.62% | 2.85% | 3.53% | 0.60% | 1.34% |
2018 | 8 | 1.75% | 0.29% | $28,891 | $24,908 | 3.43% | 1.31% | -2.14% | 3.14% | -2.24% | -3.77% | 2.58% | 0.02% |
2018 | 9 | -0.59% | -1.10% | $28,720 | $24,635 | 0.20% | -2.86% | -0.66% | -3.05% | 0.97% | -0.58% | -2.64% | -0.14% |
2018 | 10 | -4.37% | -5.00% | $27,466 | $23,402 | -7.41% | -2.93% | 2.12% | -9.94% | -8.13% | -8.76% | -2.93% | -2.05% |
2018 | 11 | 1.59% | 1.80% | $27,902 | $23,824 | 2.01% | 1.79% | 0.34% | 0.57% | 0.50% | 4.90% | 4.67% | -0.36% |
2018 | 12 | -3.03% | -3.21% | $27,057 | $23,059 | -9.16% | 5.85% | 4.94% | -12.38% | -5.35% | -3.50% | -7.96% | 1.86% |
2019 | 1 | 5.66% | 7.03% | $28,590 | $24,681 | 8.54% | 0.38% | 2.89% | 12.26% | 6.63% | 10.34% | 11.85% | 3.37% |
2019 | 2 | 1.65% | 0.90% | $29,061 | $24,903 | 3.56% | -1.38% | -0.61% | 4.13% | 2.54% | -1.53% | 0.70% | -0.20% |
2019 | 3 | 1.54% | 1.33% | $29,508 | $25,235 | 1.42% | 5.57% | -1.60% | -3.91% | 0.92% | 1.13% | 4.21% | 2.93% |
2019 | 4 | 1.73% | 1.39% | $30,018 | $25,587 | 3.93% | -1.99% | -0.66% | 4.32% | 2.93% | 2.35% | -0.16% | 0.44% |
2019 | 5 | -2.00% | -2.30% | $29,419 | $24,998 | -6.45% | 6.84% | 1.76% | -9.98% | -5.03% | -7.33% | 0.14% | 1.65% |
2019 | 6 | 6.10% | 5.07% | $31,213 | $26,266 | 7.08% | 0.95% | 8.00% | 7.66% | 5.91% | 6.20% | 1.54% | 3.25% |
2019 | 7 | 0.87% | 0.04% | $31,484 | $26,277 | 1.41% | 0.26% | 0.01% | 1.30% | -1.95% | -2.66% | 1.70% | 0.25% |
2019 | 8 | 2.75% | 1.71% | $32,349 | $26,726 | -2.08% | 11.04% | 7.91% | -5.14% | -1.92% | -3.78% | 3.75% | 3.88% |
2019 | 9 | -0.27% | 0.91% | $32,263 | $26,970 | 1.78% | -2.68% | -3.39% | 5.57% | 3.16% | 1.69% | 1.93% | -0.76% |
2019 | 10 | 1.58% | 1.84% | $32,774 | $27,466 | 2.11% | -1.11% | 2.56% | 2.00% | 3.39% | 4.18% | 1.13% | 0.44% |
2019 | 11 | 1.38% | 0.39% | $33,226 | $27,572 | 3.79% | -0.41% | -3.21% | 2.71% | 1.13% | -0.09% | -1.30% | 0.47% |
2019 | 12 | 1.83% | 2.26% | $33,834 | $28,195 | 2.80% | -3.20% | 3.66% | 2.84% | 2.98% | 7.71% | 0.76% | 0.53% |
2020 | 1 | 2.49% | 0.07% | $34,675 | $28,213 | -0.06% | 7.69% | 4.50% | -6.31% | -2.82% | -6.15% | 1.23% | 2.45% |
2020 | 2 | -3.48% | -3.70% | $33,470 | $27,168 | -8.00% | 6.63% | -0.64% | -10.15% | -7.77% | -3.78% | -7.03% | 1.09% |
2020 | 3 | -6.85% | -11.14% | $31,179 | $24,142 | -13.91% | 6.38% | -0.22% | -25.76% | -14.11% | -15.77% | -19.42% | -6.31% |
2020 | 4 | 9.48% | 7.81% | $34,134 | $26,027 | 13.13% | 1.22% | 7.26% | 13.89% | 5.82% | 7.35% | 8.96% | 4.85% |
2020 | 5 | 3.36% | 2.67% | $35,282 | $26,722 | 5.40% | -1.76% | 2.59% | 2.55% | 5.43% | 2.97% | 1.73% | 2.46% |
2020 | 6 | 2.01% | 2.95% | $35,993 | $27,511 | 2.29% | 0.34% | 2.74% | 3.58% | 3.51% | 6.61% | 2.41% | 2.13% |
2020 | 7 | 6.64% | 5.06% | $38,383 | $28,903 | 5.74% | 4.44% | 10.79% | 2.58% | 1.94% | 8.25% | 3.64% | 3.10% |
2020 | 8 | 3.05% | 1.63% | $39,553 | $29,375 | 7.10% | -5.05% | -0.32% | 5.07% | 4.72% | 2.89% | 0.44% | -1.78% |
2020 | 9 | -2.85% | -2.29% | $38,427 | $28,703 | -3.54% | 0.77% | -4.17% | -5.18% | -2.05% | -1.01% | -2.68% | -0.44% |
2020 | 10 | -1.90% | -0.98% | $37,696 | $28,421 | -1.95% | -3.39% | -0.52% | 3.66% | -3.55% | 1.41% | -3.00% | -0.51% |
2020 | 11 | 5.91% | 8.00% | $39,922 | $30,694 | 11.80% | 1.66% | -5.41% | 19.21% | 14.27% | 8.99% | 9.67% | 3.77% |
2020 | 12 | 4.06% | 4.12% | $41,544 | $31,960 | 4.68% | -1.23% | 7.01% | 7.50% | 5.01% | 7.14% | 2.72% | 0.15% |
Metric | Maximum Return at 10.00% Volatility | Equal 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 Correlation | 0.85 | 0.88 |
Beta(*) | 0.54 | 0.67 |
Alpha (annualized) | 4.22% | 1.24% |
R2 | 72.59% | 77.16% |
Sharpe Ratio | 0.90 | 0.61 |
Sortino Ratio | 1.44 | 0.92 |
Treynor Ratio (%) | 16.53 | 10.95 |
Calmar Ratio | 1.40 | 0.61 |
Active Return | -0.01% | -1.91% |
Tracking Error | 8.91% | 7.70% |
Information Ratio | -0.00 | -0.25 |
Skewness | -0.72 | -0.81 |
Excess Kurtosis | 3.85 | 4.20 |
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 (%) | 59.05 | 65.06 |
Downside Capture Ratio (%) | 41.93 | 61.77 |
Safe Withdrawal Rate | 10.53% | 9.90% |
Perpetual Withdrawal Rate | 7.34% | 5.71% |
Positive Periods | 115 out of 180 (63.89%) | 113 out of 180 (62.78%) |
Gain/Loss Ratio | 1.24 | 1.05 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Maximum Return at 10.00% Volatility | Equal Weighted |
---|---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -26.97% | -36.98% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Mar 2010 | 1 year 1 month | 2 years 5 months | -26.97% |
2 | Feb 2020 | Mar 2020 | 2 months | May 2020 | 2 months | 4 months | -10.08% |
3 | Mar 2015 | Sep 2015 | 7 months | Mar 2016 | 6 months | 1 year 1 month | -6.98% |
4 | Sep 2018 | Dec 2018 | 4 months | Feb 2019 | 2 months | 6 months | -6.35% |
5 | May 2013 | Jun 2013 | 2 months | Oct 2013 | 4 months | 6 months | -5.25% |
6 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -4.70% |
7 | May 2010 | Jun 2010 | 2 months | Sep 2010 | 3 months | 5 months | -4.52% |
8 | Aug 2016 | Nov 2016 | 4 months | Feb 2017 | 3 months | 7 months | -4.48% |
9 | Sep 2011 | Sep 2011 | 1 month | Oct 2011 | 1 month | 2 months | -4.33% |
10 | Feb 2018 | Apr 2018 | 3 months | Aug 2018 | 4 months | 7 months | -4.00% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Sep 2010 | 1 year 7 months | 2 years 11 months | -36.98% |
2 | Feb 2020 | Mar 2020 | 2 months | Jul 2020 | 4 months | 6 months | -14.43% |
3 | May 2011 | Sep 2011 | 5 months | Jan 2012 | 4 months | 9 months | -9.81% |
4 | Feb 2018 | Dec 2018 | 11 months | Apr 2019 | 4 months | 1 year 3 months | -8.82% |
5 | Mar 2015 | Jan 2016 | 11 months | Jun 2016 | 5 months | 1 year 4 months | -8.66% |
6 | May 2013 | Jun 2013 | 2 months | Oct 2013 | 4 months | 6 months | -6.45% |
7 | May 2012 | May 2012 | 1 month | Jul 2012 | 2 months | 3 months | -4.54% |
8 | Aug 2016 | Nov 2016 | 4 months | Feb 2017 | 3 months | 7 months | -4.51% |
9 | Sep 2014 | Sep 2014 | 1 month | Jan 2015 | 4 months | 5 months | -4.46% |
10 | Jun 2007 | Jul 2007 | 2 months | Sep 2007 | 2 months | 4 months | -3.49% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|
VTI | Vanguard Total Stock Market ETF | 10.08% | 15.67% | 33.45% | -36.98% | -50.84% | 0.62 | 0.91 | 1.00 |
TLT | iShares 20+ Year Treasury Bond ETF | 7.02% | 13.40% | 33.96% | -21.80% | -21.80% | 0.49 | 0.86 | -0.33 |
GLD | SPDR Gold Shares | 8.62% | 17.65% | 30.45% | -28.33% | -42.91% | 0.49 | 0.81 | 0.06 |
IJS | iShares S&P Small-Cap 600 Value ETF | 8.06% | 20.99% | 39.34% | -29.39% | -54.13% | 0.42 | 0.61 | 0.91 |
EFA | iShares MSCI EAFE ETF | 4.33% | 17.76% | 26.95% | -41.04% | -57.38% | 0.27 | 0.37 | 0.89 |
EEM | iShares MSCI Emerging Markets ETF | 5.87% | 22.36% | 68.93% | -48.88% | -60.44% | 0.32 | 0.47 | 0.79 |
VNQ | Vanguard Real Estate ETF | 6.92% | 22.92% | 35.30% | -37.00% | -68.30% | 0.36 | 0.51 | 0.74 |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 5.94% | 7.42% | 17.37% | -3.79% | -15.11% | 0.66 | 1.08 | 0.34 |
Ticker | Name | VTI | TLT | GLD | IJS | EFA | EEM | VNQ | LQD | Maximum Return at 10.00% Volatility | Equal Weighted |
---|---|---|---|---|---|---|---|---|---|---|---|
VTI | Vanguard Total Stock Market ETF | 1.00 | -0.33 | 0.06 | 0.91 | 0.89 | 0.79 | 0.74 | 0.34 | 0.85 | 0.88 |
TLT | iShares 20+ Year Treasury Bond ETF | -0.33 | 1.00 | 0.21 | -0.37 | -0.27 | -0.25 | -0.01 | 0.47 | 0.04 | -0.03 |
GLD | SPDR Gold Shares | 0.06 | 0.21 | 1.00 | -0.00 | 0.14 | 0.29 | 0.10 | 0.27 | 0.52 | 0.36 |
IJS | iShares S&P Small-Cap 600 Value ETF | 0.91 | -0.37 | -0.00 | 1.00 | 0.79 | 0.71 | 0.74 | 0.28 | 0.74 | 0.82 |
EFA | iShares MSCI EAFE ETF | 0.89 | -0.27 | 0.14 | 0.79 | 1.00 | 0.88 | 0.70 | 0.41 | 0.80 | 0.89 |
EEM | iShares MSCI Emerging Markets ETF | 0.79 | -0.25 | 0.29 | 0.71 | 0.88 | 1.00 | 0.62 | 0.38 | 0.78 | 0.87 |
VNQ | Vanguard Real Estate ETF | 0.74 | -0.01 | 0.10 | 0.74 | 0.70 | 0.62 | 1.00 | 0.47 | 0.71 | 0.85 |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 0.34 | 0.47 | 0.27 | 0.28 | 0.41 | 0.38 | 0.47 | 1.00 | 0.54 | 0.59 |
Ticker | Name | Maximum Return at 10.00% Volatility | Equal Weighted |
---|---|---|---|
VTI | Vanguard Total Stock Market ETF | 77.74% | 14.31% |
TLT | iShares 20+ Year Treasury Bond ETF | 1.13% | -0.44% |
GLD | SPDR Gold Shares | 21.12% | 6.65% |
IJS | iShares S&P Small-Cap 600 Value ETF | 17.98% | |
EFA | iShares MSCI EAFE ETF | 16.48% | |
EEM | iShares MSCI Emerging Markets ETF | 20.33% | |
VNQ | Vanguard Real Estate ETF | 20.17% | |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 4.52% |
Roll Period | Maximum Return at 10.00% Volatility | Equal Weighted | ||||
---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | |
1 year | 9.64% | 33.80% | -25.49% | 7.67% | 47.20% | -32.87% |
3 years | 8.81% | 23.06% | -3.10% | 6.94% | 25.23% | -6.98% |
5 years | 9.31% | 16.96% | 6.44% | 7.55% | 17.64% | 3.02% |
7 years | 9.23% | 12.93% | 7.06% | 7.49% | 12.50% | 4.07% |
10 years | 9.28% | 11.88% | 7.55% | 7.50% | 11.33% | 5.92% |