Portfolio Optimization

This portfolio optimizer tool supports the following portfolio optimization strategies:

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

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

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Asset Groups
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Portfolio Optimization Results (Jan 2006 - Dec 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 6.94% to 12.32%. 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 63.37%
TLT iShares 20+ Year Treasury Bond ETF 23.13%
GLD SPDR Gold Shares 13.50%
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$47,200$35,502
Annualized Return (CAGR)10.18%8.24%
Expected Return10.72%8.99%
Standard Deviation9.87%11.75%
Best Year25.64%23.38%
Worst Year-18.28%-21.23%
Max. Drawdown -30.57% -36.98%
Sharpe Ratio (ex-ante)0.930.65
Sharpe Ratio (ex-post)0.930.64
Sortino Ratio1.460.97
US Stock Market Correlation0.910.88
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Maximum Return at 10.00% Volatility7.10%14.09%14.09%20.60%14.70%11.93%10.18%11.52%10.11%
Equal Weighted4.67%11.08%11.08%15.47%10.62%8.61%8.24%12.03%10.28%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • 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 the total return of assets and assume that all received dividends and distributions are reinvested.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Total Stock Market ETF (VTI)12.32%15.40%0.6890.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)11.72%20.66%0.4880.00%100.00%
3iShares MSCI EAFE ETF (EFA)6.37%17.35%0.2960.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)7.79%21.80%0.2970.00%100.00%
5Vanguard Real Estate ETF (VNQ)11.64%22.56%0.4440.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)7.18%13.33%0.4420.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)5.71%7.30%0.6180.00%100.00%
8SPDR Gold Shares (GLD)9.41%17.48%0.4560.00%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 ETFVTI1.000.900.890.780.74-0.320.340.07
iShares S&P Small-Cap 600 Value ETFIJS0.901.000.780.700.73-0.380.25-0.01
iShares MSCI EAFE ETFEFA0.890.781.000.870.70-0.260.400.15
iShares MSCI Emerging Markets ETFEEM0.780.700.871.000.61-0.250.380.29
Vanguard Real Estate ETFVNQ0.740.730.700.611.00-0.010.460.10
iShares 20+ Year Treasury Bond ETFTLT-0.32-0.38-0.26-0.25-0.011.000.490.21
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.340.250.400.380.460.491.000.27
SPDR Gold SharesGLD0.07-0.010.150.290.100.210.271.00
Based on monthly returns from Jan 2006 to Dec 2021
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return*Standard Deviation*Sharpe Ratio*
112.30%0.61%0.00%0.00%0.00%12.74%68.73%5.61%6.94%7.04%0.805
213.09%0.45%0.00%0.00%0.00%13.26%67.48%5.72%6.99%7.04%0.812
313.87%0.29%0.00%0.00%0.00%13.78%66.23%5.82%7.04%7.04%0.819
414.66%0.14%0.00%0.00%0.00%14.29%64.98%5.93%7.10%7.04%0.826
515.42%0.00%0.00%0.00%0.00%14.82%63.72%6.04%7.15%7.04%0.833
616.05%0.00%0.00%0.00%0.00%15.38%62.42%6.15%7.20%7.05%0.839
716.67%0.00%0.00%0.00%0.00%15.94%61.11%6.27%7.26%7.05%0.846
817.30%0.00%0.00%0.00%0.00%16.50%59.81%6.39%7.31%7.06%0.852
917.92%0.00%0.00%0.00%0.00%17.07%58.50%6.51%7.36%7.07%0.859
1018.55%0.00%0.00%0.00%0.00%17.63%57.20%6.63%7.42%7.07%0.865
1119.17%0.00%0.00%0.00%0.00%18.19%55.89%6.74%7.47%7.08%0.871
1219.80%0.00%0.00%0.00%0.00%18.76%54.58%6.86%7.52%7.09%0.877
1320.42%0.00%0.00%0.00%0.00%19.32%53.28%6.98%7.58%7.10%0.882
1421.05%0.00%0.00%0.00%0.00%19.88%51.97%7.10%7.63%7.11%0.888
1521.67%0.00%0.00%0.00%0.00%20.44%50.67%7.22%7.68%7.13%0.893
1622.30%0.00%0.00%0.00%0.00%21.01%49.36%7.33%7.74%7.14%0.899
1722.92%0.00%0.00%0.00%0.00%21.57%48.06%7.45%7.79%7.15%0.904
1823.55%0.00%0.00%0.00%0.00%22.13%46.75%7.57%7.84%7.17%0.909
1924.17%0.00%0.00%0.00%0.00%22.69%45.45%7.69%7.90%7.18%0.914
2024.80%0.00%0.00%0.00%0.00%23.26%44.14%7.81%7.95%7.20%0.919
2125.42%0.00%0.00%0.00%0.00%23.82%42.84%7.92%8.00%7.22%0.924
2226.05%0.00%0.00%0.00%0.00%24.38%41.53%8.04%8.06%7.24%0.928
2326.67%0.00%0.00%0.00%0.00%24.95%40.22%8.16%8.11%7.26%0.933
2427.29%0.00%0.00%0.00%0.00%25.51%38.92%8.28%8.17%7.28%0.937
2527.92%0.00%0.00%0.00%0.00%26.07%37.61%8.39%8.22%7.30%0.941
2628.54%0.00%0.00%0.00%0.00%26.63%36.31%8.51%8.27%7.32%0.945
2729.17%0.00%0.00%0.00%0.00%27.20%35.00%8.63%8.33%7.34%0.949
2829.79%0.00%0.00%0.00%0.00%27.76%33.70%8.75%8.38%7.36%0.953
2930.42%0.00%0.00%0.00%0.00%28.32%32.39%8.87%8.44%7.39%0.957
3031.04%0.00%0.00%0.00%0.00%28.89%31.09%8.98%8.49%7.41%0.960
3131.67%0.00%0.00%0.00%0.00%29.45%29.78%9.10%8.54%7.44%0.963
3232.29%0.00%0.00%0.00%0.00%30.01%28.48%9.22%8.60%7.47%0.967
3332.92%0.00%0.00%0.00%0.00%30.57%27.17%9.34%8.65%7.49%0.970
3433.54%0.00%0.00%0.00%0.00%31.14%25.87%9.46%8.70%7.52%0.973
3534.17%0.00%0.00%0.00%0.00%31.70%24.56%9.57%8.76%7.55%0.976
3634.79%0.00%0.00%0.00%0.00%32.26%23.25%9.69%8.81%7.58%0.979
3735.42%0.00%0.00%0.00%0.00%32.82%21.95%9.81%8.87%7.61%0.981
3836.04%0.00%0.00%0.00%0.00%33.39%20.64%9.93%8.92%7.64%0.984
3936.67%0.00%0.00%0.00%0.00%33.95%19.34%10.05%8.98%7.67%0.986
4037.29%0.00%0.00%0.00%0.00%34.51%18.03%10.16%9.03%7.70%0.989
4137.92%0.00%0.00%0.00%0.00%35.08%16.73%10.28%9.08%7.74%0.991
4238.54%0.00%0.00%0.00%0.00%35.64%15.42%10.40%9.14%7.77%0.993
4339.17%0.00%0.00%0.00%0.00%36.20%14.12%10.52%9.19%7.81%0.995
4439.79%0.00%0.00%0.00%0.00%36.76%12.81%10.64%9.25%7.84%0.997
4540.41%0.00%0.00%0.00%0.00%37.33%11.51%10.75%9.30%7.88%0.999
4641.04%0.00%0.00%0.00%0.00%37.89%10.20%10.87%9.35%7.91%1.000
4741.66%0.00%0.00%0.00%0.00%38.45%8.89%10.99%9.41%7.95%1.002
4842.29%0.00%0.00%0.00%0.00%39.01%7.59%11.11%9.46%7.99%1.003
4942.91%0.00%0.00%0.00%0.00%39.58%6.28%11.22%9.52%8.03%1.005
5043.54%0.00%0.00%0.00%0.00%40.14%4.98%11.34%9.57%8.07%1.006
5144.16%0.00%0.00%0.00%0.00%40.70%3.67%11.46%9.63%8.11%1.007
5244.79%0.00%0.00%0.00%0.00%41.27%2.37%11.58%9.68%8.15%1.009
5345.41%0.00%0.00%0.00%0.00%41.83%1.06%11.70%9.74%8.19%1.010
5446.11%0.00%0.00%0.00%0.00%42.08%0.00%11.81%9.79%8.23%1.011
5547.13%0.00%0.00%0.00%0.00%40.96%0.00%11.91%9.84%8.28%1.011
5648.14%0.00%0.00%0.00%0.00%39.85%0.00%12.01%9.90%8.33%1.010
5749.16%0.00%0.00%0.00%0.00%38.74%0.00%12.11%9.95%8.39%1.009
5850.17%0.00%0.00%0.00%0.00%37.62%0.00%12.21%10.01%8.46%1.007
5951.19%0.00%0.00%0.00%0.00%36.51%0.00%12.31%10.06%8.53%1.004
6052.20%0.00%0.00%0.00%0.00%35.39%0.00%12.41%10.12%8.61%1.001
6153.22%0.00%0.00%0.00%0.00%34.28%0.00%12.50%10.17%8.70%0.996
6254.23%0.00%0.00%0.00%0.00%33.16%0.00%12.60%10.23%8.79%0.992
6355.25%0.00%0.00%0.00%0.00%32.05%0.00%12.70%10.28%8.89%0.986
6456.27%0.00%0.00%0.00%0.00%30.93%0.00%12.80%10.34%8.99%0.980
6557.28%0.00%0.00%0.00%0.00%29.82%0.00%12.90%10.39%9.10%0.974
6658.30%0.00%0.00%0.00%0.00%28.70%0.00%13.00%10.45%9.22%0.967
6759.31%0.00%0.00%0.00%0.00%27.59%0.00%13.10%10.50%9.34%0.960
6860.33%0.00%0.00%0.00%0.00%26.47%0.00%13.20%10.56%9.46%0.953
6961.34%0.00%0.00%0.00%0.00%25.36%0.00%13.30%10.61%9.59%0.945
7062.36%0.00%0.00%0.00%0.00%24.25%0.00%13.40%10.66%9.73%0.937
7163.37%0.00%0.00%0.00%0.00%23.13%0.00%13.50%10.72%9.87%0.929
7264.39%0.00%0.00%0.00%0.00%22.02%0.00%13.59%10.77%10.01%0.921
7365.40%0.00%0.00%0.00%0.00%20.90%0.00%13.69%10.83%10.16%0.912
7466.42%0.00%0.00%0.00%0.00%19.79%0.00%13.79%10.88%10.31%0.904
7567.44%0.00%0.00%0.00%0.00%18.67%0.00%13.89%10.94%10.46%0.895
7668.45%0.00%0.00%0.00%0.00%17.56%0.00%13.99%10.99%10.62%0.887
7769.47%0.00%0.00%0.00%0.00%16.44%0.00%14.09%11.05%10.78%0.878
7870.48%0.00%0.00%0.00%0.00%15.33%0.00%14.19%11.10%10.94%0.870
7971.50%0.00%0.00%0.00%0.00%14.21%0.00%14.29%11.16%11.11%0.861
8072.51%0.00%0.00%0.00%0.00%13.10%0.00%14.39%11.22%11.28%0.853
8173.53%0.00%0.00%0.00%0.00%11.99%0.00%14.49%11.27%11.46%0.844
8274.54%0.00%0.00%0.00%0.00%10.87%0.00%14.59%11.33%11.63%0.836
8375.56%0.00%0.00%0.00%0.00%9.76%0.00%14.68%11.38%11.81%0.827
8476.57%0.00%0.00%0.00%0.00%8.64%0.00%14.78%11.44%11.99%0.819
8577.59%0.00%0.00%0.00%0.00%7.53%0.00%14.88%11.49%12.17%0.811
8678.61%0.00%0.00%0.00%0.00%6.41%0.00%14.98%11.55%12.36%0.803
8779.62%0.00%0.00%0.00%0.00%5.30%0.00%15.08%11.60%12.55%0.795
8880.64%0.00%0.00%0.00%0.00%4.18%0.00%15.18%11.66%12.73%0.787
8981.65%0.00%0.00%0.00%0.00%3.07%0.00%15.28%11.71%12.93%0.779
9082.67%0.00%0.00%0.00%0.00%1.95%0.00%15.38%11.77%13.12%0.771
9183.68%0.00%0.00%0.00%0.00%0.84%0.00%15.48%11.82%13.31%0.764
9284.91%0.00%0.00%0.00%0.00%0.00%0.00%15.09%11.88%13.51%0.756
9386.80%0.00%0.00%0.00%0.00%0.00%0.00%13.20%11.93%13.71%0.749
9488.68%0.00%0.00%0.00%0.00%0.00%0.00%11.32%11.99%13.93%0.741
9590.57%0.00%0.00%0.00%0.00%0.00%0.00%9.43%12.05%14.15%0.733
9692.46%0.00%0.00%0.00%0.00%0.00%0.00%7.54%12.10%14.39%0.724
9794.34%0.00%0.00%0.00%0.00%0.00%0.00%5.66%12.16%14.63%0.716
9896.23%0.00%0.00%0.00%0.00%0.00%0.00%3.77%12.21%14.88%0.707
9998.11%0.00%0.00%0.00%0.00%0.00%0.00%1.89%12.27%15.14%0.698
100100.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%12.32%15.40%0.689
*Annualized 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%13.24%$11,32419.39%$11,93915.69%0.71%22.55%19.37%25.81%31.19%35.30%4.22%
20074.08%9.94%$12,4508.39%$12,9415.37%10.29%30.45%-5.56%9.94%33.31%-16.50%3.73%
20080.09%-18.28%$10,174-21.23%$10,194-36.98%33.93%4.92%-29.39%-41.04%-48.88%-37.00%2.40%
20092.72%15.41%$11,74223.38%$12,57728.89%-21.80%24.03%22.36%26.95%68.93%30.08%8.46%
20101.50%18.10%$13,86818.79%$14,94117.42%9.05%29.27%24.69%8.15%16.51%28.37%9.33%
20112.96%10.30%$15,2964.04%$15,5450.97%33.96%9.57%-1.65%-12.25%-18.82%8.62%9.73%
20121.74%12.31%$17,17914.22%$17,75616.45%2.63%6.60%18.24%18.82%19.10%17.63%10.58%
20131.50%11.68%$19,1864.45%$18,54633.45%-13.37%-28.33%39.34%21.40%-3.69%2.31%-2.00%
20140.76%13.87%$21,8468.88%$20,19312.54%27.30%-2.19%7.56%-6.20%-3.93%30.36%8.21%
20150.73%-1.11%$21,605-3.92%$19,4010.36%-1.79%-10.67%-6.90%-1.00%-16.18%2.42%-1.25%
20162.07%10.04%$23,77410.46%$21,43112.83%1.18%8.03%31.25%1.37%10.87%8.60%6.21%
20172.11%17.28%$27,88215.92%$24,84221.21%9.18%12.81%11.35%25.10%37.28%4.91%7.06%
20181.91%-3.48%$26,912-7.18%$23,059-5.21%-1.61%-1.94%-12.84%-13.81%-15.31%-6.02%-3.79%
20192.29%25.64%$33,81322.27%$28,19530.67%14.12%17.86%24.12%22.03%18.20%28.87%17.37%
20201.36%22.35%$41,37113.35%$31,96021.03%18.15%24.81%2.63%7.59%17.03%-4.68%10.97%
20217.04%14.09%$47,20011.08%$35,50225.67%-4.60%-4.15%30.53%11.46%-3.61%40.52%-1.85%
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
200613.07%$10,3075.95%$10,5953.22%-1.34%9.93%8.75%5.77%14.20%7.54%-0.44%
200620.25%$10,332-0.19%$10,5750.22%1.11%-1.11%0.27%-0.70%-3.85%1.86%0.68%
200630.73%$10,4081.90%$10,7762.05%-4.57%3.62%4.86%4.01%2.17%4.73%-1.68%
200641.59%$10,5742.26%$11,0200.96%-2.75%12.03%0.18%4.79%6.52%-3.40%-0.20%
20065-2.26%$10,334-3.39%$10,646-3.22%-0.19%-1.32%-4.55%-3.82%-11.14%-2.70%-0.19%
20066-0.28%$10,3060.21%$10,6690.13%1.18%-4.67%0.04%-0.06%0.21%4.95%-0.09%
200670.85%$10,3931.33%$10,810-0.12%2.16%3.15%-3.10%0.81%2.34%3.89%1.46%
200681.98%$10,5992.07%$11,0332.30%3.06%-1.38%2.70%2.55%1.58%3.48%2.22%
200691.26%$10,7330.38%$11,0752.26%1.91%-4.53%1.19%0.22%-0.87%1.96%0.87%
2006102.61%$11,0133.63%$11,4773.53%0.85%1.29%5.52%3.75%7.06%6.03%1.00%
2006112.94%$11,3363.65%$11,8962.33%2.31%6.89%2.38%3.07%5.98%4.78%1.46%
200612-0.11%$11,3240.36%$11,9391.20%-2.69%-1.83%0.32%3.20%5.44%-1.83%-0.90%
200711.30%$11,4711.99%$12,1771.86%-1.00%2.56%2.14%1.39%0.11%8.78%0.09%
200720.10%$11,482-0.08%$12,167-1.62%3.39%2.55%-0.92%-0.12%-3.24%-2.70%2.00%
200730.17%$11,5010.59%$12,2381.12%-1.70%-1.11%0.91%2.90%5.33%-2.07%-0.68%
200743.04%$11,8502.13%$12,4994.02%0.90%2.05%1.84%3.75%3.73%-0.13%0.89%
200751.51%$12,0301.19%$12,6493.72%-2.31%-2.31%4.63%2.36%5.06%-0.38%-1.23%
20076-1.61%$11,836-1.67%$12,437-1.76%-1.01%-1.94%-2.24%-0.32%3.68%-8.99%-0.81%
20077-1.15%$11,699-1.85%$12,207-3.53%3.32%2.37%-6.26%-2.29%0.71%-8.26%-0.82%
200781.50%$11,8741.90%$12,4401.47%1.79%1.11%1.33%-0.63%1.04%6.74%2.38%
200793.91%$12,3394.55%$13,0063.85%0.23%10.51%0.31%5.32%11.57%3.90%0.73%
2007102.49%$12,6463.85%$13,5071.79%1.81%6.95%1.06%4.25%11.87%2.10%0.97%
200711-1.85%$12,412-3.46%$13,039-4.52%5.35%-1.65%-7.15%-3.62%-7.65%-9.47%1.02%
2007120.31%$12,450-0.75%$12,941-0.70%-0.64%6.65%-0.71%-2.99%-1.43%-5.41%-0.81%
20081-1.96%$12,206-1.53%$12,743-6.17%2.10%10.84%-4.00%-7.85%-8.92%-0.78%2.57%
20082-0.98%$12,086-0.50%$12,680-2.50%-0.46%5.23%-3.36%-1.02%1.99%-3.18%-0.71%
20083-0.88%$11,980-0.17%$12,658-0.90%2.14%-6.00%0.83%0.42%-3.75%6.48%-0.60%
200841.96%$12,2152.89%$13,0234.89%-2.48%-4.16%2.64%5.44%9.14%6.38%1.25%
200850.78%$12,3100.76%$13,1222.02%-2.69%0.92%3.92%1.19%3.16%-0.21%-2.21%
20086-3.92%$11,827-4.92%$12,477-8.12%2.65%4.52%-8.41%-8.80%-9.29%-10.62%-1.29%
20087-0.68%$11,747-0.61%$12,401-0.62%-0.37%-1.44%2.87%-3.32%-5.50%3.12%0.39%
200880.30%$11,783-1.05%$12,2711.46%2.74%-9.29%4.76%-4.25%-6.32%2.37%0.15%
20089-4.96%$11,199-5.68%$11,574-9.24%1.47%4.11%-4.82%-11.44%-14.68%-0.11%-10.73%
200810-13.69%$9,666-16.93%$9,615-17.48%-1.86%-16.14%-19.86%-20.83%-25.58%-31.73%-1.95%
200811-0.07%$9,660-3.55%$9,273-8.01%14.34%12.57%-11.80%-6.37%-9.75%-22.72%3.35%
2008125.32%$10,1749.93%$10,1941.78%13.64%7.73%6.57%8.88%10.35%16.67%13.80%
20091-7.38%$9,424-8.98%$9,278-8.05%-13.07%5.54%-13.94%-13.73%-9.29%-17.53%-1.80%
20092-6.83%$8,780-8.25%$8,512-10.53%-1.54%1.45%-13.03%-10.39%-6.27%-20.53%-5.20%
200935.83%$9,2925.84%$9,0098.26%4.04%-2.54%7.58%8.39%16.86%3.61%0.47%
200944.91%$9,74810.02%$9,91110.99%-6.95%-3.33%18.89%11.52%15.56%30.68%2.78%
200953.99%$10,1375.84%$10,4915.46%-3.69%10.23%0.67%13.19%15.94%2.62%2.32%
20096-0.30%$10,106-0.82%$10,4040.36%0.76%-5.22%1.52%-1.43%-2.25%-3.23%2.89%
200975.36%$10,6487.27%$11,1607.74%0.58%2.38%11.00%10.04%11.01%10.77%4.63%
200982.88%$10,9543.54%$11,5553.71%2.24%0.05%3.48%4.50%-1.31%14.32%1.31%
200993.98%$11,3904.88%$12,1194.14%2.46%5.84%4.21%3.80%10.20%6.63%1.76%
200910-1.77%$11,188-2.32%$11,838-2.63%-2.62%3.72%-6.07%-2.52%-3.44%-4.46%-0.49%
2009115.61%$11,8165.36%$12,4735.69%1.21%12.79%2.90%3.92%7.85%6.57%1.95%
200912-0.63%$11,7420.84%$12,5772.86%-6.34%-7.20%8.10%0.70%3.27%7.37%-2.07%
20101-1.81%$11,530-2.72%$12,235-3.57%2.69%-1.26%-2.54%-5.07%-7.76%-5.52%1.25%
201022.54%$11,8232.41%$12,5303.44%-0.34%3.27%4.76%0.27%1.78%5.58%0.51%
201033.52%$12,2394.63%$13,1106.40%-2.06%-0.44%7.80%6.39%8.11%10.18%0.65%
201042.95%$12,6003.01%$13,5052.18%3.32%5.88%6.63%-2.80%-0.17%7.15%1.91%
20105-3.40%$12,171-4.44%$12,906-7.88%5.11%3.05%-8.54%-11.19%-9.39%-5.33%-1.31%
20106-2.04%$11,923-1.42%$12,723-5.83%5.80%2.36%-8.27%-2.07%-1.40%-5.19%3.28%
201073.54%$12,3465.24%$13,3907.02%-0.95%-5.09%6.71%11.61%10.93%9.59%2.11%
20108-0.27%$12,312-0.50%$13,323-4.71%8.40%5.71%-7.91%-3.80%-3.24%-1.28%2.86%
201096.05%$13,0576.16%$14,1449.45%-2.51%4.78%10.93%9.97%11.76%4.45%0.46%
2010102.01%$13,3202.32%$14,4724.03%-4.47%3.68%4.04%3.81%3.02%4.74%-0.26%
2010110.22%$13,349-0.97%$14,3310.51%-1.69%2.11%2.47%-4.82%-2.91%-1.85%-1.62%
2010123.89%$13,8684.25%$14,9416.96%-3.68%2.44%8.97%8.30%7.27%4.54%-0.75%
20111-0.28%$13,830-0.76%$14,8272.05%-3.08%-6.38%-0.24%2.10%-3.84%3.25%0.04%
201123.53%$14,3193.11%$15,2873.70%1.65%6.00%4.21%3.55%-0.04%4.71%1.08%
201130.49%$14,3880.75%$15,4020.42%0.03%1.60%2.21%-2.39%6.29%-1.62%-0.54%
201143.58%$14,9043.98%$16,0152.90%2.34%8.94%1.06%5.63%2.73%5.75%2.50%
20115-0.12%$14,886-0.46%$15,941-1.06%3.42%-1.79%-1.77%-2.21%-2.94%1.37%1.27%
20116-2.00%$14,587-1.80%$15,655-1.79%-2.33%-2.43%-1.59%-1.19%-0.93%-3.30%-0.80%
201170.72%$14,6921.05%$15,819-2.27%4.42%8.42%-2.77%-2.38%-1.03%1.56%2.43%
201180.03%$14,697-1.93%$15,514-6.09%9.66%12.27%-7.98%-8.75%-9.25%-5.62%0.34%
20119-3.24%$14,221-6.90%$14,443-7.57%13.20%-11.06%-10.57%-10.81%-17.89%-10.85%0.35%
2011107.11%$15,2328.93%$15,73311.37%-3.84%5.87%15.34%9.63%16.27%14.29%2.51%
2011110.45%$15,300-0.90%$15,592-0.37%1.98%1.67%0.63%-2.18%-1.96%-3.80%-3.16%
201112-0.02%$15,296-0.30%$15,5450.98%3.44%-10.66%2.02%-2.21%-4.30%4.85%3.49%
201214.67%$16,0116.10%$16,4935.07%-0.33%11.40%7.90%5.27%10.99%6.38%2.14%
201221.67%$16,2791.37%$16,7194.22%-2.59%-2.96%1.71%4.83%5.27%-1.15%1.63%
201230.78%$16,4070.18%$16,7503.06%-4.23%-1.32%2.89%0.42%-3.11%5.19%-1.42%
201240.69%$16,5210.29%$16,798-0.64%4.83%-0.15%-1.91%-2.08%-1.70%2.86%1.08%
20125-2.71%$16,072-4.54%$16,036-6.23%9.03%-6.34%-7.18%-11.14%-10.71%-4.51%0.76%
201262.50%$16,4743.48%$16,5944.05%-1.68%2.35%4.54%7.11%5.08%5.52%0.87%
201271.55%$16,7291.30%$16,8090.88%3.82%0.84%-0.69%0.08%-0.03%2.00%3.48%
201282.07%$17,0761.74%$17,1022.70%-1.32%4.94%4.08%3.20%0.41%-0.01%-0.05%
201291.62%$17,3541.87%$17,4222.49%-2.53%4.67%3.14%2.71%5.22%-1.86%1.10%
201210-1.65%$17,067-0.76%$17,289-1.81%-0.48%-2.94%-1.96%1.09%-0.44%-0.91%1.35%
2012110.75%$17,1940.87%$17,4400.77%1.38%-0.47%1.65%2.78%1.56%-0.26%-0.42%
201212-0.09%$17,1791.81%$17,7561.29%-2.49%-2.43%3.55%4.37%6.80%3.72%-0.33%
201312.63%$17,6311.62%$18,0435.42%-3.19%-0.51%5.35%3.73%-0.29%3.74%-1.30%
201320.41%$17,704-0.28%$17,9931.28%1.24%-5.09%1.63%-1.29%-2.28%1.22%1.08%
201332.53%$18,1521.46%$18,2563.95%-0.42%0.95%4.11%1.31%-1.02%2.87%-0.05%
201341.08%$18,3481.75%$18,5751.61%4.68%-7.56%0.12%5.02%1.22%6.73%2.17%
20135-0.85%$18,191-2.91%$18,0352.44%-6.76%-6.20%4.29%-3.02%-4.83%-5.98%-3.22%
20136-3.16%$17,617-3.65%$17,377-1.43%-3.27%-11.06%-0.14%-2.70%-5.35%-1.98%-3.27%
201374.12%$18,3433.27%$17,9455.75%-2.26%7.43%6.56%5.32%1.32%0.90%1.11%
20138-1.53%$18,063-1.88%$17,607-3.03%-1.34%5.20%-3.41%-1.96%-2.54%-6.98%-1.00%
201391.98%$18,4203.20%$18,1713.90%0.66%-4.78%6.59%7.82%7.21%3.49%0.74%
2013102.99%$18,9712.82%$18,6844.27%1.43%-0.34%3.48%3.26%4.17%4.52%1.81%
2013110.34%$19,036-0.79%$18,5362.70%-2.70%-5.51%4.25%0.55%-0.26%-5.25%-0.14%
2013120.79%$19,1860.05%$18,5462.73%-1.87%-3.79%1.29%2.16%-0.42%0.10%0.22%
20141-0.09%$19,169-0.58%$18,438-3.17%6.30%3.42%-3.51%-5.20%-8.64%4.28%1.88%
201424.05%$19,9454.00%$19,1764.87%0.52%6.27%4.63%6.13%3.38%5.07%1.14%
201430.07%$19,9590.41%$19,2550.51%0.73%-3.14%1.34%-0.46%3.88%0.49%-0.03%
201440.59%$20,0760.93%$19,4340.06%2.10%0.49%-2.29%1.67%0.78%3.29%1.33%
201451.60%$20,3981.38%$19,7032.10%2.95%-3.05%0.62%1.60%2.95%2.40%1.51%
201462.46%$20,8992.13%$20,1222.62%-0.25%6.32%3.85%0.92%2.40%1.13%0.01%
20147-1.60%$20,565-1.44%$19,832-1.99%0.67%-3.63%-5.07%-2.60%1.36%0.08%-0.32%
201483.77%$21,3412.72%$20,3724.15%4.72%0.38%4.46%0.18%2.83%3.04%2.00%
20149-2.65%$20,775-4.46%$19,463-2.10%-2.11%-6.18%-5.94%-3.88%-7.77%-6.04%-1.68%
2014101.98%$21,1862.74%$19,9972.75%2.81%-3.05%7.13%-0.27%1.42%9.94%1.23%
2014112.19%$21,6510.86%$20,1692.48%2.97%-0.49%0.48%0.06%-1.54%2.00%0.91%
2014120.90%$21,8460.12%$20,193-0.04%3.25%1.31%2.56%-4.00%-3.99%1.88%-0.02%
201511.71%$22,2202.62%$20,723-2.74%9.82%8.69%-5.32%0.62%-0.69%6.85%3.75%
201521.42%$22,5360.65%$20,8585.74%-6.14%-5.91%5.86%6.34%4.41%-3.67%-1.42%
20153-0.77%$22,362-0.27%$20,801-1.16%1.10%-2.15%1.03%-1.43%-1.50%1.74%0.20%
20154-0.43%$22,267-0.17%$20,7660.62%-3.43%-0.17%-1.82%3.65%6.85%-5.85%-1.19%
201550.35%$22,345-0.64%$20,6341.30%-2.37%0.56%0.75%0.20%-4.10%-0.30%-1.12%
20156-2.21%$21,852-2.43%$20,133-1.67%-4.07%-1.52%0.42%-3.12%-2.93%-4.68%-1.88%
201571.24%$22,122-0.09%$20,1141.70%4.55%-6.62%-2.70%2.03%-6.31%5.77%0.83%
20158-3.52%$21,343-3.88%$19,333-6.09%-0.69%3.71%-4.62%-7.43%-8.84%-6.29%-0.83%
20159-1.64%$20,993-1.23%$19,095-2.92%1.97%-1.80%-3.77%-4.42%-3.13%3.05%1.19%
2015105.23%$22,0914.46%$19,9467.91%-0.41%2.28%6.57%6.61%6.38%5.76%0.57%
201511-0.73%$21,929-1.08%$19,7320.60%-0.87%-6.75%2.47%-0.75%-2.52%-0.63%-0.15%
201512-1.48%$21,605-1.67%$19,401-2.13%-0.30%-0.45%-5.08%-2.34%-3.83%1.82%-1.08%
20161-1.61%$21,257-1.81%$19,051-5.72%5.57%5.41%-5.85%-5.52%-5.03%-3.44%0.12%
201622.18%$21,7211.58%$19,351-0.01%3.09%10.93%2.08%-3.33%-0.82%-0.36%1.05%
201634.37%$22,6716.15%$20,5427.11%-0.09%-0.84%9.41%6.58%12.96%10.48%3.62%
201640.94%$22,8831.12%$20,7730.66%-0.74%5.11%2.13%2.22%0.41%-2.35%1.55%
201650.46%$22,988-0.65%$20,6381.73%0.81%-6.14%0.44%-0.09%-3.69%2.25%-0.51%
201662.99%$23,6753.65%$21,3910.27%6.93%8.97%0.83%-2.42%4.56%6.92%3.09%
201673.27%$24,4503.50%$22,1403.98%2.10%1.98%5.06%3.98%5.38%4.26%1.29%
20168-0.54%$24,317-0.64%$21,9990.21%-1.01%-3.26%1.13%0.53%0.88%-3.76%0.18%
20169-0.12%$24,2870.25%$22,0540.21%-1.51%0.69%0.87%1.34%2.52%-1.82%-0.32%
201610-2.80%$23,607-2.95%$21,404-2.19%-4.38%-2.94%-3.74%-2.22%-0.83%-5.74%-1.53%
201611-0.18%$23,564-1.22%$21,1424.49%-8.21%-8.36%13.34%-1.78%-4.42%-1.68%-3.17%
2016120.89%$23,7741.37%$21,4311.98%-0.46%-1.91%3.20%2.71%-0.25%4.82%0.84%
201712.10%$24,2722.10%$21,8811.86%0.81%5.42%-1.21%3.29%6.66%-0.19%0.15%
201723.14%$25,0342.20%$22,3613.69%1.59%3.18%1.35%1.19%1.74%3.51%1.32%
20173-0.17%$24,9910.32%$22,4320.06%-0.65%-0.43%-0.65%3.23%3.69%-2.42%-0.29%
201741.27%$25,3081.30%$22,7241.06%1.57%1.73%0.51%2.42%1.70%0.24%1.19%
201751.06%$25,5770.94%$22,9381.01%1.89%-0.12%-2.26%3.54%2.85%-0.72%1.33%
201760.49%$25,7030.81%$23,1240.95%0.79%-2.16%2.96%0.31%0.93%2.23%0.48%
201771.35%$26,0501.85%$23,5511.88%-0.66%2.31%0.75%2.65%5.82%1.24%0.77%
201781.45%$26,4280.97%$23,7790.15%3.41%4.20%-2.72%-0.04%2.35%-0.26%0.68%
201790.55%$26,5740.94%$24,0022.44%-2.32%-3.37%8.58%2.36%-0.04%-0.11%-0.05%
2017101.27%$26,9110.76%$24,1842.17%-0.04%-0.75%0.59%1.68%3.28%-1.07%0.19%
2017112.14%$27,4861.34%$24,5083.03%0.74%0.36%3.76%0.69%-0.39%2.66%-0.12%
2017121.44%$27,8821.36%$24,8421.16%1.81%2.11%-0.37%1.35%3.77%-0.14%1.22%
201813.00%$28,7181.80%$25,2895.23%-3.26%3.23%1.33%5.02%8.30%-4.25%-1.23%
20182-3.37%$27,751-4.20%$24,228-3.76%-3.04%-2.08%-4.04%-4.83%-5.90%-7.68%-2.24%
20183-0.49%$27,6150.88%$24,441-1.95%2.86%0.63%1.37%-0.84%0.54%3.88%0.56%
20184-0.33%$27,525-0.36%$24,3530.45%-2.09%-0.95%1.76%1.52%-2.82%0.82%-1.57%
201852.03%$28,0821.14%$24,6302.72%2.01%-1.20%5.87%-1.89%-2.62%3.68%0.52%
201860.11%$28,113-0.48%$24,5110.70%0.65%-3.61%0.80%-1.57%-4.54%4.20%-0.49%
201871.47%$28,5251.32%$24,8353.32%-1.44%-2.24%2.62%2.85%3.53%0.60%1.34%
201882.19%$29,1500.29%$24,9083.43%1.31%-2.14%3.14%-2.24%-3.77%2.58%0.02%
20189-0.63%$28,967-1.10%$24,6350.20%-2.86%-0.66%-3.05%0.97%-0.58%-2.64%-0.14%
201810-5.09%$27,494-5.00%$23,402-7.41%-2.93%2.12%-9.94%-8.13%-8.76%-2.93%-2.05%
2018111.74%$27,9711.80%$23,8242.01%1.79%0.34%0.57%0.50%4.90%4.67%-0.36%
201812-3.79%$26,912-3.21%$23,059-9.16%5.85%4.94%-12.38%-5.35%-3.50%-7.96%1.86%
201915.89%$28,4967.03%$24,6818.54%0.38%2.89%12.26%6.63%10.34%11.85%3.37%
201921.86%$29,0250.90%$24,9033.56%-1.38%-0.61%4.13%2.54%-1.53%0.70%-0.20%
201931.97%$29,5971.33%$25,2351.42%5.57%-1.60%-3.91%0.92%1.13%4.21%2.93%
201941.94%$30,1711.39%$25,5873.93%-1.99%-0.66%4.32%2.93%2.35%-0.16%0.44%
20195-2.27%$29,487-2.30%$24,998-6.45%6.84%1.76%-9.98%-5.03%-7.33%0.14%1.65%
201965.78%$31,1925.07%$26,2667.08%0.95%8.00%7.66%5.91%6.20%1.54%3.25%
201970.96%$31,4900.04%$26,2771.41%0.26%0.01%1.30%-1.95%-2.66%1.70%0.25%
201982.30%$32,2161.71%$26,726-2.08%11.04%7.91%-5.14%-1.92%-3.78%3.75%3.88%
201990.05%$32,2320.91%$26,9701.78%-2.68%-3.39%5.57%3.16%1.69%1.93%-0.76%
2019101.42%$32,6901.84%$27,4662.11%-1.11%2.56%2.00%3.39%4.18%1.13%0.44%
2019111.87%$33,3030.39%$27,5723.79%-0.41%-3.21%2.71%1.13%-0.09%-1.30%0.47%
2019121.53%$33,8132.26%$28,1952.80%-3.20%3.66%2.84%2.98%7.71%0.76%0.53%
202012.35%$34,6060.07%$28,213-0.06%7.69%4.50%-6.31%-2.82%-6.15%1.23%2.45%
20202-3.62%$33,353-3.70%$27,168-8.00%6.63%-0.64%-10.15%-7.77%-3.78%-7.03%1.09%
20203-7.37%$30,895-11.14%$24,142-13.91%6.38%-0.22%-25.76%-14.11%-15.77%-19.42%-6.31%
202049.58%$33,8567.81%$26,02713.13%1.22%7.26%13.89%5.82%7.35%8.96%4.85%
202053.36%$34,9942.67%$26,7225.40%-1.76%2.59%2.55%5.43%2.97%1.73%2.46%
202061.90%$35,6592.95%$27,5112.29%0.34%2.74%3.58%3.51%6.61%2.41%2.13%
202076.12%$37,8425.06%$28,9035.74%4.44%10.79%2.58%1.94%8.25%3.64%3.10%
202083.29%$39,0881.63%$29,3757.10%-5.05%-0.32%5.07%4.72%2.89%0.44%-1.78%
20209-2.63%$38,059-2.29%$28,703-3.54%0.77%-4.17%-5.18%-2.05%-1.01%-2.68%-0.44%
202010-2.09%$37,265-0.98%$28,421-1.95%-3.39%-0.52%3.66%-3.55%1.41%-3.00%-0.51%
2020117.13%$39,9238.00%$30,69411.80%1.66%-5.41%19.21%14.27%8.99%9.67%3.77%
2020123.63%$41,3714.12%$31,9604.68%-1.23%7.01%7.50%5.01%7.14%2.72%0.15%
20211-1.49%$40,756-0.04%$31,946-0.33%-3.63%-3.22%6.25%-0.78%3.17%0.04%-1.83%
20212-0.18%$40,6820.77%$32,1913.14%-5.73%-6.26%10.80%2.24%0.79%3.43%-2.26%
202130.94%$41,0661.04%$32,5263.65%-5.24%-1.14%5.61%2.51%-0.73%5.15%-1.48%
202144.25%$42,8113.23%$33,5765.04%2.49%3.56%1.69%2.95%1.20%7.86%1.04%
202151.33%$43,3782.32%$34,3560.46%0.00%7.68%3.89%3.48%1.65%0.81%0.62%
202161.63%$44,0850.47%$34,5172.48%4.42%-7.15%-0.71%-1.08%0.95%2.64%2.21%
202172.30%$45,1000.47%$34,6811.74%3.72%2.53%-4.36%0.77%-6.44%4.42%1.42%
202181.72%$45,8761.14%$35,0752.86%-0.34%-0.08%1.82%1.45%1.57%2.15%-0.34%
20219-3.94%$44,070-3.30%$33,919-4.46%-2.91%-3.22%-1.46%-3.26%-3.87%-5.68%-1.51%
2021105.01%$46,2773.18%$34,9976.69%2.46%1.48%2.86%3.18%1.07%7.13%0.53%
202111-0.38%$46,103-1.61%$34,435-1.46%2.77%-0.69%-2.62%-4.53%-4.08%-2.11%-0.12%
2021122.38%$47,2003.10%$35,5023.79%-2.01%3.30%4.12%4.41%1.53%9.69%-0.03%
Portfolio return and risk metrics
MetricMaximum Return at 10.00% VolatilityEqual Weighted
Arithmetic Mean (monthly)0.85%0.72%
Arithmetic Mean (annualized)10.72%8.99%
Geometric Mean (monthly)0.81%0.66%
Geometric Mean (annualized)10.18%8.24%
Standard Deviation (monthly)2.85%3.39%
Standard Deviation (annualized)9.87%11.75%
Downside Deviation (monthly)1.78%2.24%
Max. Drawdown-30.57%-36.98%
US Market Correlation0.910.88
Beta(*)0.580.67
Alpha (annualized)3.51%0.90%
R282.18%76.98%
Sharpe Ratio0.930.64
Sortino Ratio1.460.97
Treynor Ratio (%)15.8011.34
Calmar Ratio1.921.07
Active Return-0.70%-2.64%
Tracking Error7.70%7.61%
Information Ratio-0.09-0.35
Skewness-0.79-0.82
Excess Kurtosis3.624.40
Historical Value-at-Risk (5%)-3.57%-4.45%
Analytical Value-at-Risk (5%)-3.82%-4.85%
Conditional Value-at-Risk (5%)-6.06%-7.68%
Upside Capture Ratio (%)62.7063.95
Downside Capture Ratio (%)49.0162.16
Safe Withdrawal Rate9.86%9.52%
Perpetual Withdrawal Rate7.25%5.58%
Positive Periods127 out of 192 (66.15%)122 out of 192 (63.54%)
Gain/Loss Ratio1.141.04
* 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 2009-30.57%-36.98%
COVID-19 StartJan 2020Mar 2020-10.73%-14.43%

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 monthsSep 20101 year 7 months2 years 11 months-30.57%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-10.73%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-7.68%
4Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.85%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.66%
6May 2011Sep 20115 monthsOct 20111 month6 months-4.58%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-4.15%
8May 2013Jun 20132 monthsSep 20133 months5 months-3.98%
9Sep 2021Sep 20211 monthOct 20211 month2 months-3.94%
10Aug 2016Nov 20164 monthsFeb 20173 months7 months-3.62%
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 ETF11.00%15.40%33.45%-36.98%-50.84%0.691.021.00
TLTiShares 20+ Year Treasury Bond ETF6.26%13.33%33.96%-21.80%-21.80%0.440.76-0.31
GLDSPDR Gold Shares7.78%17.48%30.45%-28.33%-42.91%0.460.740.06
IJSiShares S&P Small-Cap 600 Value ETF9.34%20.66%39.34%-29.39%-54.13%0.490.710.90
EFAiShares MSCI EAFE ETF4.76%17.35%26.95%-41.04%-57.38%0.300.420.89
EEMiShares MSCI Emerging Markets ETF5.25%21.80%68.93%-48.88%-60.44%0.300.440.78
VNQVanguard Real Estate ETF8.76%22.56%40.52%-37.00%-68.30%0.440.630.74
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.44%7.30%17.37%-3.79%-15.11%0.611.000.34

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Vanguard Total Stock Market ETF9.11%25.67%25.67%25.73%17.96%16.29%0.03%0.03%
iShares 20+ Year Treasury Bond ETF3.18%-4.60%-4.60%8.75%6.68%4.51%0.15%0.15%
SPDR Gold Shares4.10%-4.15%-4.15%12.13%9.30%1.18%0.40%0.40%
iShares S&P Small-Cap 600 Value ETF4.30%30.53%30.53%18.47%10.04%13.33%0.18%0.18%
iShares MSCI EAFE ETF2.84%11.46%11.46%13.53%9.55%7.92%0.32%0.32%
iShares MSCI Emerging Markets ETF-1.57%-3.61%-3.61%10.06%9.16%4.73%0.68%0.68%
Vanguard Real Estate ETF15.03%40.52%40.52%19.96%11.22%11.50%0.12%0.12%
iShares iBoxx $ Invmt Grade Corp Bd ETF0.38%-1.85%-1.85%8.53%5.66%4.94%0.14%0.14%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTGLDIJSEFAEEMVNQLQDMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF1.00-0.320.070.900.890.780.740.340.910.88
TLTiShares 20+ Year Treasury Bond ETF-0.321.000.21-0.38-0.26-0.25-0.010.490.05-0.03
GLDSPDR Gold Shares0.070.211.00-0.010.150.290.100.270.370.37
IJSiShares S&P Small-Cap 600 Value ETF0.90-0.38-0.011.000.780.700.730.250.770.81
EFAiShares MSCI EAFE ETF0.89-0.260.150.781.000.870.700.400.830.89
EEMiShares MSCI Emerging Markets ETF0.78-0.250.290.700.871.000.610.380.760.87
VNQVanguard Real Estate ETF0.74-0.010.100.730.700.611.000.460.760.85
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.340.490.270.250.400.380.461.000.550.58

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF89.59%14.37%
TLTiShares 20+ Year Treasury Bond ETF1.54%-0.38%
GLDSPDR Gold Shares8.87%6.79%
IJSiShares S&P Small-Cap 600 Value ETF17.83%
EFAiShares MSCI EAFE ETF16.48%
EEMiShares MSCI Emerging Markets ETF20.13%
VNQVanguard Real Estate ETF20.28%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.49%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll PeriodMaximum Return at 10.00% VolatilityEqual Weighted
AverageHighLowAverageHighLow
1 year10.46%34.66%-27.36%8.57%47.20%-32.87%
3 years9.55%22.85%-5.28%7.31%25.23%-6.98%
5 years10.04%17.83%5.79%7.78%17.64%3.02%
7 years9.97%13.81%7.61%7.56%12.50%4.07%
10 years9.98%12.70%7.51%7.61%11.33%5.92%
15 years9.92%10.28%9.57%7.80%8.14%7.34%