Portfolio Optimization

Portfolio Optimization Overview

This portfolio optimizer tool supports the following portfolio optimization strategies:

  • Mean Variance Optimization – Find the optimal risk adjusted portfolio that lies on the efficient frontier
  • Conditional Value-at-Risk – Optimize the portfolio to minimize the expected tail loss
  • Risk Parity – Find the portfolio that equalizes the risk contribution of portfolio assets
  • Tracking Error – Find the portfolio that minimizes the tracking error against the selected benchmark
  • Information Ratio – Find the portfolio that maximizes the information ratio against the selected benchmark
  • Kelly Criterion – Finds the portfolio with the maximum expected geometric growth rate
  • Sortino Ratio – Find the portfolio that maximizes the Sortino ratio for the given minimum acceptable return
  • Omega Ratio – Find the portfolio that maximizes the Omega ratio for the given minimum acceptable return
  • Maximum Drawdown – Find the portfolio with the minimum worst case drawdown with optional minimum acceptable return

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 Configuration

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Portfolio Optimization Results (Jan 2006 - May 2023) Save

Portfolio optimization results with the goal to maximize return subject to 10.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period is 5.10% to 10.13%. Refer to the efficient frontier section for additional details.

Maximum Return at 10.00% Volatility

Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 50.38%
TLT iShares 20+ Year Treasury Bond ETF 23.87%
GLD SPDR Gold Shares 25.75%
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

Performance Summary

MetricMaximum Return at 10.00% VolatilityEqual Weighted
Start Balance$10,000$10,000
End Balance$39,820$30,247
Annualized Return (CAGR)8.26%6.56%
Expected Return8.46%7.13%
Standard Deviation9.95%12.27%
Best Year23.97%23.38%
Worst Year-17.62%-21.23%
Maximum Drawdown -22.12% -36.98%
Sharpe Ratio (ex-ante)0.730.48
Sharpe Ratio (ex-post)0.730.48
Sortino Ratio1.140.71
Stock Market Correlation0.790.88
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Maximum Return at 10.00% Volatility4.55%7.40%0.86%4.14%7.51%7.39%8.26%13.08%12.13%
Equal Weighted-0.03%3.44%-3.77%4.22%4.19%5.31%6.56%13.80%13.50%
Trailing return and volatility are as of last full calendar month ending May 2023
Notes and Disclosures
  • 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, commissions, 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 is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. 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.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • The annual results for 2023 are based on full calendar months from January to May.
  • The optimization 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)10.13%15.91%0.5620.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)9.58%21.00%0.4000.00%100.00%
3iShares MSCI EAFE ETF (EFA)5.40%17.71%0.2380.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)5.82%21.79%0.2120.00%100.00%
5Vanguard Real Estate ETF (VNQ)8.51%22.64%0.3230.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)4.61%13.82%0.2470.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)4.25%8.09%0.3790.00%100.00%
8SPDR Gold Shares (GLD)8.74%17.24%0.4380.00%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

NameTickerVTIIJSEFAEEMVNQTLTLQDGLD
Vanguard Total Stock Market ETFVTI1.000.890.880.760.76-0.180.420.09
iShares S&P Small-Cap 600 Value ETFIJS0.891.000.780.680.74-0.280.300.01
iShares MSCI EAFE ETFEFA0.880.781.000.870.71-0.130.480.18
iShares MSCI Emerging Markets ETFEEM0.760.680.871.000.61-0.130.440.31
Vanguard Real Estate ETFVNQ0.760.740.710.611.000.060.490.13
iShares 20+ Year Treasury Bond ETFTLT-0.18-0.28-0.13-0.130.061.000.570.25
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.420.300.480.440.490.571.000.30
SPDR Gold SharesGLD0.090.010.180.310.130.250.301.00
Based on monthly returns from Jan 2006 to May 2023

Efficient Frontiers

Efficient Frontier Portfolios

#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return *Standard Deviation *Sharpe Ratio *
14.72%3.18%0.00%0.00%0.00%6.83%76.91%8.36%5.10%7.90%0.495
25.57%2.99%0.00%0.00%0.00%7.25%75.62%8.58%5.15%7.90%0.502
36.42%2.79%0.00%0.00%0.00%7.66%74.33%8.79%5.20%7.90%0.508
47.27%2.60%0.00%0.00%0.00%8.08%73.04%9.00%5.25%7.90%0.514
58.12%2.41%0.00%0.00%0.00%8.50%71.75%9.22%5.30%7.91%0.520
68.97%2.22%0.00%0.00%0.00%8.92%70.46%9.43%5.35%7.91%0.527
79.82%2.02%0.00%0.00%0.00%9.34%69.17%9.65%5.41%7.92%0.533
810.68%1.83%0.00%0.00%0.00%9.75%67.88%9.86%5.46%7.92%0.539
911.53%1.64%0.00%0.00%0.00%10.17%66.59%10.08%5.51%7.93%0.545
1012.38%1.45%0.00%0.00%0.00%10.59%65.30%10.29%5.56%7.94%0.550
1113.23%1.25%0.00%0.00%0.00%11.01%64.01%10.50%5.61%7.95%0.556
1214.08%1.06%0.00%0.00%0.00%11.43%62.72%10.72%5.66%7.96%0.562
1314.93%0.87%0.00%0.00%0.00%11.85%61.42%10.93%5.71%7.97%0.567
1415.78%0.68%0.00%0.00%0.00%12.26%60.13%11.15%5.76%7.98%0.573
1516.63%0.48%0.00%0.00%0.00%12.68%58.84%11.36%5.81%8.00%0.578
1617.48%0.29%0.00%0.00%0.00%13.10%57.55%11.58%5.86%8.01%0.584
1718.33%0.10%0.00%0.00%0.00%13.52%56.26%11.79%5.91%8.02%0.589
1819.09%0.00%0.00%0.00%0.00%13.96%54.94%12.01%5.96%8.04%0.594
1919.74%0.00%0.00%0.00%0.00%14.44%53.57%12.25%6.02%8.06%0.599
2020.40%0.00%0.00%0.00%0.00%14.91%52.21%12.48%6.07%8.07%0.604
2121.06%0.00%0.00%0.00%0.00%15.38%50.84%12.72%6.12%8.09%0.609
2221.72%0.00%0.00%0.00%0.00%15.86%49.47%12.95%6.17%8.11%0.614
2322.37%0.00%0.00%0.00%0.00%16.33%48.11%13.19%6.22%8.13%0.618
2423.03%0.00%0.00%0.00%0.00%16.80%46.74%13.42%6.27%8.16%0.623
2523.69%0.00%0.00%0.00%0.00%17.28%45.38%13.65%6.32%8.18%0.628
2624.35%0.00%0.00%0.00%0.00%17.75%44.01%13.89%6.37%8.20%0.632
2725.00%0.00%0.00%0.00%0.00%18.23%42.65%14.12%6.42%8.23%0.636
2825.66%0.00%0.00%0.00%0.00%18.70%41.28%14.36%6.47%8.25%0.640
2926.32%0.00%0.00%0.00%0.00%19.17%39.92%14.59%6.52%8.28%0.645
3026.98%0.00%0.00%0.00%0.00%19.65%38.55%14.83%6.57%8.30%0.649
3127.63%0.00%0.00%0.00%0.00%20.12%37.19%15.06%6.63%8.33%0.653
3228.29%0.00%0.00%0.00%0.00%20.59%35.82%15.29%6.68%8.36%0.656
3328.95%0.00%0.00%0.00%0.00%21.07%34.46%15.53%6.73%8.39%0.660
3429.61%0.00%0.00%0.00%0.00%21.54%33.09%15.76%6.78%8.42%0.664
3530.26%0.00%0.00%0.00%0.00%22.01%31.73%16.00%6.83%8.45%0.667
3630.92%0.00%0.00%0.00%0.00%22.49%30.36%16.23%6.88%8.49%0.671
3731.58%0.00%0.00%0.00%0.00%22.96%29.00%16.47%6.93%8.52%0.674
3832.24%0.00%0.00%0.00%0.00%23.43%27.63%16.70%6.98%8.55%0.677
3932.89%0.00%0.00%0.00%0.00%23.91%26.26%16.93%7.03%8.59%0.681
4033.55%0.00%0.00%0.00%0.00%24.38%24.90%17.17%7.08%8.62%0.684
4134.21%0.00%0.00%0.00%0.00%24.86%23.53%17.40%7.13%8.66%0.687
4234.87%0.00%0.00%0.00%0.00%25.33%22.17%17.64%7.18%8.70%0.690
4335.52%0.00%0.00%0.00%0.00%25.80%20.80%17.87%7.24%8.73%0.692
4436.18%0.00%0.00%0.00%0.00%26.28%19.44%18.11%7.29%8.77%0.695
4536.84%0.00%0.00%0.00%0.00%26.75%18.07%18.34%7.34%8.81%0.698
4637.50%0.00%0.00%0.00%0.00%27.22%16.71%18.57%7.39%8.85%0.700
4738.15%0.00%0.00%0.00%0.00%27.70%15.34%18.81%7.44%8.89%0.703
4838.81%0.00%0.00%0.00%0.00%28.17%13.98%19.04%7.49%8.93%0.705
4939.47%0.00%0.00%0.00%0.00%28.64%12.61%19.28%7.54%8.98%0.708
5040.13%0.00%0.00%0.00%0.00%29.12%11.25%19.51%7.59%9.02%0.710
5140.78%0.00%0.00%0.00%0.00%29.59%9.88%19.75%7.64%9.06%0.712
5241.44%0.00%0.00%0.00%0.00%30.06%8.52%19.98%7.69%9.11%0.714
5342.10%0.00%0.00%0.00%0.00%30.54%7.15%20.21%7.74%9.15%0.716
5442.76%0.00%0.00%0.00%0.00%31.01%5.78%20.45%7.79%9.20%0.718
5543.41%0.00%0.00%0.00%0.00%31.49%4.42%20.68%7.85%9.24%0.720
5644.07%0.00%0.00%0.00%0.00%31.96%3.05%20.92%7.90%9.29%0.722
5744.73%0.00%0.00%0.00%0.00%32.43%1.69%21.15%7.95%9.34%0.724
5845.38%0.00%0.00%0.00%0.00%32.91%0.32%21.39%8.00%9.39%0.726
5945.96%0.00%0.00%0.00%0.00%32.22%0.00%21.82%8.05%9.44%0.727
6046.51%0.00%0.00%0.00%0.00%31.18%0.00%22.31%8.10%9.49%0.728
6147.07%0.00%0.00%0.00%0.00%30.13%0.00%22.80%8.15%9.54%0.729
6247.62%0.00%0.00%0.00%0.00%29.09%0.00%23.29%8.20%9.60%0.730
6348.17%0.00%0.00%0.00%0.00%28.05%0.00%23.78%8.25%9.67%0.731
6448.72%0.00%0.00%0.00%0.00%27.00%0.00%24.27%8.30%9.73%0.731
6549.28%0.00%0.00%0.00%0.00%25.96%0.00%24.76%8.35%9.80%0.731
6649.83%0.00%0.00%0.00%0.00%24.92%0.00%25.25%8.41%9.88%0.731
6750.38%0.00%0.00%0.00%0.00%23.87%0.00%25.75%8.46%9.95%0.730
6850.93%0.00%0.00%0.00%0.00%22.83%0.00%26.24%8.51%10.03%0.730
6951.49%0.00%0.00%0.00%0.00%21.79%0.00%26.73%8.56%10.11%0.729
7052.04%0.00%0.00%0.00%0.00%20.74%0.00%27.22%8.61%10.20%0.728
7152.59%0.00%0.00%0.00%0.00%19.70%0.00%27.71%8.66%10.28%0.727
7253.14%0.00%0.00%0.00%0.00%18.66%0.00%28.20%8.71%10.37%0.725
7353.70%0.00%0.00%0.00%0.00%17.61%0.00%28.69%8.76%10.46%0.724
7454.25%0.00%0.00%0.00%0.00%16.57%0.00%29.18%8.81%10.56%0.722
7554.80%0.00%0.00%0.00%0.00%15.53%0.00%29.67%8.86%10.66%0.720
7655.35%0.00%0.00%0.00%0.00%14.48%0.00%30.17%8.91%10.76%0.718
7755.91%0.00%0.00%0.00%0.00%13.44%0.00%30.66%8.96%10.86%0.716
7856.46%0.00%0.00%0.00%0.00%12.39%0.00%31.15%9.02%10.96%0.714
7957.01%0.00%0.00%0.00%0.00%11.35%0.00%31.64%9.07%11.07%0.712
8057.56%0.00%0.00%0.00%0.00%10.31%0.00%32.13%9.12%11.18%0.709
8158.12%0.00%0.00%0.00%0.00%9.26%0.00%32.62%9.17%11.29%0.707
8258.67%0.00%0.00%0.00%0.00%8.22%0.00%33.11%9.22%11.40%0.704
8359.22%0.00%0.00%0.00%0.00%7.18%0.00%33.60%9.27%11.52%0.702
8459.77%0.00%0.00%0.00%0.00%6.13%0.00%34.09%9.32%11.63%0.699
8560.32%0.00%0.00%0.00%0.00%5.09%0.00%34.59%9.37%11.75%0.696
8660.88%0.00%0.00%0.00%0.00%4.05%0.00%35.08%9.42%11.87%0.693
8761.43%0.00%0.00%0.00%0.00%3.00%0.00%35.57%9.47%12.00%0.691
8861.98%0.00%0.00%0.00%0.00%1.96%0.00%36.06%9.52%12.12%0.688
8962.53%0.00%0.00%0.00%0.00%0.92%0.00%36.55%9.57%12.24%0.685
9063.47%0.00%0.00%0.00%0.00%0.00%0.00%36.53%9.63%12.37%0.682
9167.12%0.00%0.00%0.00%0.00%0.00%0.00%32.88%9.68%12.53%0.677
9270.77%0.00%0.00%0.00%0.00%0.00%0.00%29.23%9.73%12.74%0.670
9374.43%0.00%0.00%0.00%0.00%0.00%0.00%25.57%9.78%13.00%0.661
9478.08%0.00%0.00%0.00%0.00%0.00%0.00%21.92%9.83%13.31%0.649
9581.73%0.00%0.00%0.00%0.00%0.00%0.00%18.27%9.88%13.65%0.637
9685.39%0.00%0.00%0.00%0.00%0.00%0.00%14.61%9.93%14.04%0.623
9789.04%0.00%0.00%0.00%0.00%0.00%0.00%10.96%9.98%14.46%0.608
9892.69%0.00%0.00%0.00%0.00%0.00%0.00%7.31%10.03%14.91%0.593
9996.35%0.00%0.00%0.00%0.00%0.00%0.00%3.65%10.08%15.40%0.578
100100.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%10.13%15.91%0.562
*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

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%14.07%$11,40719.39%$11,93915.69%0.71%22.55%19.37%25.81%31.19%35.30%4.22%
20074.08%12.95%$12,8848.39%$12,9415.37%10.29%30.45%-5.56%9.94%33.31%-16.50%3.73%
20080.09%-12.34%$11,294-21.23%$10,194-36.98%33.93%4.92%-29.39%-41.04%-48.88%-37.00%2.40%
20092.72%14.73%$12,95723.38%$12,57728.89%-21.80%24.03%22.36%26.95%68.93%30.08%8.46%
20101.50%19.47%$15,48018.79%$14,94117.42%9.05%29.27%24.69%8.15%16.51%28.37%9.33%
20112.96%11.85%$17,3144.04%$15,5450.97%33.96%9.57%-1.65%-12.25%-18.82%8.62%9.73%
20121.74%11.04%$19,22614.22%$17,75616.45%2.63%6.60%18.24%18.82%19.10%17.63%10.58%
20131.50%3.33%$19,8674.45%$18,54633.45%-13.37%-28.33%39.34%21.40%-3.69%2.31%-2.00%
20140.76%12.09%$22,2698.88%$20,19312.54%27.30%-2.19%7.56%-6.20%-3.93%30.36%8.21%
20150.73%-2.43%$21,728-3.92%$19,4010.36%-1.79%-10.67%-6.90%-1.00%-16.18%2.42%-1.25%
20162.07%9.49%$23,79010.46%$21,43112.83%1.18%8.03%31.25%1.37%10.87%8.60%6.21%
20172.11%16.18%$27,64015.92%$24,84221.21%9.18%12.81%11.35%25.10%37.28%4.91%7.06%
20181.91%-3.00%$26,812-7.18%$23,059-5.21%-1.61%-1.94%-12.84%-13.81%-15.31%-6.02%-3.79%
20192.29%23.97%$33,23822.27%$28,19530.67%14.12%17.86%24.12%22.03%18.20%28.87%17.37%
20201.36%22.85%$40,83313.35%$31,96021.03%18.15%24.81%2.63%7.59%17.03%-4.68%10.97%
20217.04%10.22%$45,00611.08%$35,50225.67%-4.60%-4.15%30.53%11.46%-3.61%40.52%-1.85%
20226.45%-17.62%$37,076-17.64%$29,241-19.51%-31.24%-0.77%-11.33%-14.35%-20.56%-26.24%-17.93%
20232.21%7.40%$39,8203.44%$30,2478.80%4.23%7.47%-3.26%7.66%0.77%-2.06%3.43%
Annual return for 2023 is from 01/01/2023 to 05/31/2023

Monthly Returns

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
200613.86%$10,3865.95%$10,5953.22%-1.34%9.93%8.75%5.77%14.20%7.54%-0.44%
200620.09%$10,395-0.19%$10,5750.22%1.11%-1.11%0.27%-0.70%-3.85%1.86%0.68%
200630.88%$10,4861.90%$10,7762.05%-4.57%3.62%4.86%4.01%2.17%4.73%-1.68%
200642.92%$10,7922.26%$11,0200.96%-2.75%12.03%0.18%4.79%6.52%-3.40%-0.20%
20065-2.01%$10,576-3.39%$10,646-3.22%-0.19%-1.32%-4.55%-3.82%-11.14%-2.70%-0.19%
20066-0.86%$10,4850.21%$10,6690.13%1.18%-4.67%0.04%-0.06%0.21%4.95%-0.09%
200671.27%$10,6181.33%$10,810-0.12%2.16%3.15%-3.10%0.81%2.34%3.89%1.46%
200681.53%$10,7812.07%$11,0332.30%3.06%-1.38%2.70%2.55%1.58%3.48%2.22%
200690.43%$10,8270.38%$11,0752.26%1.91%-4.53%1.19%0.22%-0.87%1.96%0.87%
2006102.31%$11,0783.63%$11,4773.53%0.85%1.29%5.52%3.75%7.06%6.03%1.00%
2006113.50%$11,4653.65%$11,8962.33%2.31%6.89%2.38%3.07%5.98%4.78%1.46%
200612-0.51%$11,4070.36%$11,9391.20%-2.69%-1.83%0.32%3.20%5.44%-1.83%-0.90%
200711.36%$11,5621.99%$12,1771.86%-1.00%2.56%2.14%1.39%0.11%8.78%0.09%
200720.65%$11,637-0.08%$12,167-1.62%3.39%2.55%-0.92%-0.12%-3.24%-2.70%2.00%
20073-0.13%$11,6220.59%$12,2381.12%-1.70%-1.11%0.91%2.90%5.33%-2.07%-0.68%
200742.77%$11,9442.13%$12,4994.02%0.90%2.05%1.84%3.75%3.73%-0.13%0.89%
200750.73%$12,0311.19%$12,6493.72%-2.31%-2.31%4.63%2.36%5.06%-0.38%-1.23%
20076-1.63%$11,835-1.67%$12,437-1.76%-1.01%-1.94%-2.24%-0.32%3.68%-8.99%-0.81%
20077-0.38%$11,790-1.85%$12,207-3.53%3.32%2.37%-6.26%-2.29%0.71%-8.26%-0.82%
200781.45%$11,9621.90%$12,4401.47%1.79%1.11%1.33%-0.63%1.04%6.74%2.38%
200794.70%$12,5244.55%$13,0063.85%0.23%10.51%0.31%5.32%11.57%3.90%0.73%
2007103.13%$12,9153.85%$13,5071.79%1.81%6.95%1.06%4.25%11.87%2.10%0.97%
200711-1.43%$12,731-3.46%$13,039-4.52%5.35%-1.65%-7.15%-3.62%-7.65%-9.47%1.02%
2007121.21%$12,884-0.75%$12,941-0.70%-0.64%6.65%-0.71%-2.99%-1.43%-5.41%-0.81%
200810.19%$12,908-1.53%$12,743-6.17%2.10%10.84%-4.00%-7.85%-8.92%-0.78%2.57%
20082-0.02%$12,906-0.50%$12,680-2.50%-0.46%5.23%-3.36%-1.02%1.99%-3.18%-0.71%
20083-1.48%$12,714-0.17%$12,658-0.90%2.14%-6.00%0.83%0.42%-3.75%6.48%-0.60%
200840.80%$12,8162.89%$13,0234.89%-2.48%-4.16%2.64%5.44%9.14%6.38%1.25%
200850.61%$12,8940.76%$13,1222.02%-2.69%0.92%3.92%1.19%3.16%-0.21%-2.21%
20086-2.29%$12,598-4.92%$12,477-8.12%2.65%4.52%-8.41%-8.80%-9.29%-10.62%-1.29%
20087-0.77%$12,501-0.61%$12,401-0.62%-0.37%-1.44%2.87%-3.32%-5.50%3.12%0.39%
20088-1.00%$12,375-1.05%$12,2711.46%2.74%-9.29%4.76%-4.25%-6.32%2.37%0.15%
20089-3.25%$11,974-5.68%$11,574-9.24%1.47%4.11%-4.82%-11.44%-14.68%-0.11%-10.73%
200810-13.41%$10,368-16.93%$9,615-17.48%-1.86%-16.14%-19.86%-20.83%-25.58%-31.73%-1.95%
2008112.62%$10,640-3.55%$9,273-8.01%14.34%12.57%-11.80%-6.37%-9.75%-22.72%3.35%
2008126.14%$11,2949.93%$10,1941.78%13.64%7.73%6.57%8.88%10.35%16.67%13.80%
20091-5.75%$10,645-8.98%$9,278-8.05%-13.07%5.54%-13.94%-13.73%-9.29%-17.53%-1.80%
20092-5.30%$10,081-8.25%$8,512-10.53%-1.54%1.45%-13.03%-10.39%-6.27%-20.53%-5.20%
200934.48%$10,5325.84%$9,0098.26%4.04%-2.54%7.58%8.39%16.86%3.61%0.47%
200943.02%$10,85010.02%$9,91110.99%-6.95%-3.33%18.89%11.52%15.56%30.68%2.78%
200954.51%$11,3395.84%$10,4915.46%-3.69%10.23%0.67%13.19%15.94%2.62%2.32%
20096-0.98%$11,228-0.82%$10,4040.36%0.76%-5.22%1.52%-1.43%-2.25%-3.23%2.89%
200974.65%$11,7507.27%$11,1607.74%0.58%2.38%11.00%10.04%11.01%10.77%4.63%
200982.42%$12,0343.54%$11,5553.71%2.24%0.05%3.48%4.50%-1.31%14.32%1.31%
200994.17%$12,5364.88%$12,1194.14%2.46%5.84%4.21%3.80%10.20%6.63%1.76%
200910-0.99%$12,412-2.32%$11,838-2.63%-2.62%3.72%-6.07%-2.52%-3.44%-4.46%-0.49%
2009116.45%$13,2125.36%$12,4735.69%1.21%12.79%2.90%3.92%7.85%6.57%1.95%
200912-1.93%$12,9570.84%$12,5772.86%-6.34%-7.20%8.10%0.70%3.27%7.37%-2.07%
20101-1.48%$12,766-2.72%$12,235-3.57%2.69%-1.26%-2.54%-5.07%-7.76%-5.52%1.25%
201022.50%$13,0842.41%$12,5303.44%-0.34%3.27%4.76%0.27%1.78%5.58%0.51%
201032.62%$13,4274.63%$13,1106.40%-2.06%-0.44%7.80%6.39%8.11%10.18%0.65%
201043.41%$13,8843.01%$13,5052.18%3.32%5.88%6.63%-2.80%-0.17%7.15%1.91%
20105-1.97%$13,611-4.44%$12,906-7.88%5.11%3.05%-8.54%-11.19%-9.39%-5.33%-1.31%
20106-0.95%$13,482-1.42%$12,723-5.83%5.80%2.36%-8.27%-2.07%-1.40%-5.19%3.28%
201072.00%$13,7525.24%$13,3907.02%-0.95%-5.09%6.71%11.61%10.93%9.59%2.11%
201081.10%$13,903-0.50%$13,323-4.71%8.40%5.71%-7.91%-3.80%-3.24%-1.28%2.86%
201095.39%$14,6536.16%$14,1449.45%-2.51%4.78%10.93%9.97%11.76%4.45%0.46%
2010101.91%$14,9332.32%$14,4724.03%-4.47%3.68%4.04%3.81%3.02%4.74%-0.26%
2010110.40%$14,992-0.97%$14,3310.51%-1.69%2.11%2.47%-4.82%-2.91%-1.85%-1.62%
2010123.25%$15,4804.25%$14,9416.96%-3.68%2.44%8.97%8.30%7.27%4.54%-0.75%
20111-1.35%$15,271-0.76%$14,8272.05%-3.08%-6.38%-0.24%2.10%-3.84%3.25%0.04%
201123.80%$15,8523.11%$15,2873.70%1.65%6.00%4.21%3.55%-0.04%4.71%1.08%
201130.63%$15,9520.75%$15,4020.42%0.03%1.60%2.21%-2.39%6.29%-1.62%-0.54%
201144.32%$16,6413.98%$16,0152.90%2.34%8.94%1.06%5.63%2.73%5.75%2.50%
20115-0.18%$16,611-0.46%$15,941-1.06%3.42%-1.79%-1.77%-2.21%-2.94%1.37%1.27%
20116-2.09%$16,264-1.80%$15,655-1.79%-2.33%-2.43%-1.59%-1.19%-0.93%-3.30%-0.80%
201172.08%$16,6031.05%$15,819-2.27%4.42%8.42%-2.77%-2.38%-1.03%1.56%2.43%
201182.40%$17,001-1.93%$15,514-6.09%9.66%12.27%-7.98%-8.75%-9.25%-5.62%0.34%
20119-3.51%$16,404-6.90%$14,443-7.57%13.20%-11.06%-10.57%-10.81%-17.89%-10.85%0.35%
2011106.32%$17,4418.93%$15,73311.37%-3.84%5.87%15.34%9.63%16.27%14.29%2.51%
2011110.71%$17,565-0.90%$15,592-0.37%1.98%1.67%0.63%-2.18%-1.96%-3.80%-3.16%
201112-1.43%$17,314-0.30%$15,5450.98%3.44%-10.66%2.02%-2.21%-4.30%4.85%3.49%
201215.41%$18,2506.10%$16,4935.07%-0.33%11.40%7.90%5.27%10.99%6.38%2.14%
201220.74%$18,3861.37%$16,7194.22%-2.59%-2.96%1.71%4.83%5.27%-1.15%1.63%
201230.19%$18,4210.18%$16,7503.06%-4.23%-1.32%2.89%0.42%-3.11%5.19%-1.42%
201240.79%$18,5680.29%$16,798-0.64%4.83%-0.15%-1.91%-2.08%-1.70%2.86%1.08%
20125-2.61%$18,082-4.54%$16,036-6.23%9.03%-6.34%-7.18%-11.14%-10.71%-4.51%0.76%
201262.25%$18,4893.48%$16,5944.05%-1.68%2.35%4.54%7.11%5.08%5.52%0.87%
201271.57%$18,7791.30%$16,8090.88%3.82%0.84%-0.69%0.08%-0.03%2.00%3.48%
201282.32%$19,2141.74%$17,1022.70%-1.32%4.94%4.08%3.20%0.41%-0.01%-0.05%
201291.85%$19,5701.87%$17,4222.49%-2.53%4.67%3.14%2.71%5.22%-1.86%1.10%
201210-1.78%$19,221-0.76%$17,289-1.81%-0.48%-2.94%-1.96%1.09%-0.44%-0.91%1.35%
2012110.60%$19,3360.87%$17,4400.77%1.38%-0.47%1.65%2.78%1.56%-0.26%-0.42%
201212-0.57%$19,2261.81%$17,7561.29%-2.49%-2.43%3.55%4.37%6.80%3.72%-0.33%
201311.84%$19,5801.62%$18,0435.42%-3.19%-0.51%5.35%3.73%-0.29%3.74%-1.30%
20132-0.37%$19,508-0.28%$17,9931.28%1.24%-5.09%1.63%-1.29%-2.28%1.22%1.08%
201332.13%$19,9241.46%$18,2563.95%-0.42%0.95%4.11%1.31%-1.02%2.87%-0.05%
20134-0.02%$19,9201.75%$18,5751.61%4.68%-7.56%0.12%5.02%1.22%6.73%2.17%
20135-1.98%$19,525-2.91%$18,0352.44%-6.76%-6.20%4.29%-3.02%-4.83%-5.98%-3.22%
20136-4.35%$18,676-3.65%$17,377-1.43%-3.27%-11.06%-0.14%-2.70%-5.35%-1.98%-3.27%
201374.27%$19,4733.27%$17,9455.75%-2.26%7.43%6.56%5.32%1.32%0.90%1.11%
20138-0.51%$19,375-1.88%$17,607-3.03%-1.34%5.20%-3.41%-1.96%-2.54%-6.98%-1.00%
201390.89%$19,5473.20%$18,1713.90%0.66%-4.78%6.59%7.82%7.21%3.49%0.74%
2013102.40%$20,0172.82%$18,6844.27%1.43%-0.34%3.48%3.26%4.17%4.52%1.81%
201311-0.70%$19,876-0.79%$18,5362.70%-2.70%-5.51%4.25%0.55%-0.26%-5.25%-0.14%
201312-0.05%$19,8670.05%$18,5462.73%-1.87%-3.79%1.29%2.16%-0.42%0.10%0.22%
201410.79%$20,023-0.58%$18,438-3.17%6.30%3.42%-3.51%-5.20%-8.64%4.28%1.88%
201424.19%$20,8634.00%$19,1764.87%0.52%6.27%4.63%6.13%3.38%5.07%1.14%
20143-0.38%$20,7840.41%$19,2550.51%0.73%-3.14%1.34%-0.46%3.88%0.49%-0.03%
201440.66%$20,9200.93%$19,4340.06%2.10%0.49%-2.29%1.67%0.78%3.29%1.33%
201450.98%$21,1251.38%$19,7032.10%2.95%-3.05%0.62%1.60%2.95%2.40%1.51%
201462.89%$21,7352.13%$20,1222.62%-0.25%6.32%3.85%0.92%2.40%1.13%0.01%
20147-1.78%$21,348-1.44%$19,832-1.99%0.67%-3.63%-5.07%-2.60%1.36%0.08%-0.32%
201483.32%$22,0562.72%$20,3724.15%4.72%0.38%4.46%0.18%2.83%3.04%2.00%
20149-3.15%$21,361-4.46%$19,463-2.10%-2.11%-6.18%-5.94%-3.88%-7.77%-6.04%-1.68%
2014101.27%$21,6322.74%$19,9972.75%2.81%-3.05%7.13%-0.27%1.42%9.94%1.23%
2014111.83%$22,0280.86%$20,1692.48%2.97%-0.49%0.48%0.06%-1.54%2.00%0.91%
2014121.09%$22,2690.12%$20,193-0.04%3.25%1.31%2.56%-4.00%-3.99%1.88%-0.02%
201513.20%$22,9822.62%$20,723-2.74%9.82%8.69%-5.32%0.62%-0.69%6.85%3.75%
20152-0.09%$22,9610.65%$20,8585.74%-6.14%-5.91%5.86%6.34%4.41%-3.67%-1.42%
20153-0.87%$22,760-0.27%$20,801-1.16%1.10%-2.15%1.03%-1.43%-1.50%1.74%0.20%
20154-0.55%$22,635-0.17%$20,7660.62%-3.43%-0.17%-1.82%3.65%6.85%-5.85%-1.19%
201550.23%$22,687-0.64%$20,6341.30%-2.37%0.56%0.75%0.20%-4.10%-0.30%-1.12%
20156-2.21%$22,187-2.43%$20,133-1.67%-4.07%-1.52%0.42%-3.12%-2.93%-4.68%-1.88%
201570.24%$22,240-0.09%$20,1141.70%4.55%-6.62%-2.70%2.03%-6.31%5.77%0.83%
20158-2.28%$21,733-3.88%$19,333-6.09%-0.69%3.71%-4.62%-7.43%-8.84%-6.29%-0.83%
20159-1.47%$21,414-1.23%$19,095-2.92%1.97%-1.80%-3.77%-4.42%-3.13%3.05%1.19%
2015104.48%$22,3724.46%$19,9467.91%-0.41%2.28%6.57%6.61%6.38%5.76%0.57%
201511-1.64%$22,005-1.08%$19,7320.60%-0.87%-6.75%2.47%-0.75%-2.52%-0.63%-0.15%
201512-1.26%$21,728-1.67%$19,401-2.13%-0.30%-0.45%-5.08%-2.34%-3.83%1.82%-1.08%
20161-0.16%$21,693-1.81%$19,051-5.72%5.57%5.41%-5.85%-5.52%-5.03%-3.44%0.12%
201623.55%$22,4621.58%$19,351-0.01%3.09%10.93%2.08%-3.33%-0.82%-0.36%1.05%
201633.34%$23,2136.15%$20,5427.11%-0.09%-0.84%9.41%6.58%12.96%10.48%3.62%
201641.47%$23,5551.12%$20,7730.66%-0.74%5.11%2.13%2.22%0.41%-2.35%1.55%
20165-0.51%$23,434-0.65%$20,6381.73%0.81%-6.14%0.44%-0.09%-3.69%2.25%-0.51%
201664.10%$24,3953.65%$21,3910.27%6.93%8.97%0.83%-2.42%4.56%6.92%3.09%
201673.02%$25,1313.50%$22,1403.98%2.10%1.98%5.06%3.98%5.38%4.26%1.29%
20168-0.98%$24,885-0.64%$21,9990.21%-1.01%-3.26%1.13%0.53%0.88%-3.76%0.18%
20169-0.08%$24,8660.25%$22,0540.21%-1.51%0.69%0.87%1.34%2.52%-1.82%-0.32%
201610-2.91%$24,143-2.95%$21,404-2.19%-4.38%-2.94%-3.74%-2.22%-0.83%-5.74%-1.53%
201611-1.85%$23,696-1.22%$21,1424.49%-8.21%-8.36%13.34%-1.78%-4.42%-1.68%-3.17%
2016120.40%$23,7901.37%$21,4311.98%-0.46%-1.91%3.20%2.71%-0.25%4.82%0.84%
201712.52%$24,3912.10%$21,8811.86%0.81%5.42%-1.21%3.29%6.66%-0.19%0.15%
201723.06%$25,1372.20%$22,3613.69%1.59%3.18%1.35%1.19%1.74%3.51%1.32%
20173-0.24%$25,0770.32%$22,4320.06%-0.65%-0.43%-0.65%3.23%3.69%-2.42%-0.29%
201741.36%$25,4171.30%$22,7241.06%1.57%1.73%0.51%2.42%1.70%0.24%1.19%
201750.93%$25,6530.94%$22,9381.01%1.89%-0.12%-2.26%3.54%2.85%-0.72%1.33%
201760.11%$25,6820.81%$23,1240.95%0.79%-2.16%2.96%0.31%0.93%2.23%0.48%
201771.39%$26,0381.85%$23,5511.88%-0.66%2.31%0.75%2.65%5.82%1.24%0.77%
201781.97%$26,5510.97%$23,7790.15%3.41%4.20%-2.72%-0.04%2.35%-0.26%0.68%
20179-0.19%$26,4990.94%$24,0022.44%-2.32%-3.37%8.58%2.36%-0.04%-0.11%-0.05%
2017100.89%$26,7360.76%$24,1842.17%-0.04%-0.75%0.59%1.68%3.28%-1.07%0.19%
2017111.80%$27,2161.34%$24,5083.03%0.74%0.36%3.76%0.69%-0.39%2.66%-0.12%
2017121.56%$27,6401.36%$24,8421.16%1.81%2.11%-0.37%1.35%3.77%-0.14%1.22%
201812.69%$28,3841.80%$25,2895.23%-3.26%3.23%1.33%5.02%8.30%-4.25%-1.23%
20182-3.15%$27,488-4.20%$24,228-3.76%-3.04%-2.08%-4.04%-4.83%-5.90%-7.68%-2.24%
20183-0.14%$27,4500.88%$24,441-1.95%2.86%0.63%1.37%-0.84%0.54%3.88%0.56%
20184-0.52%$27,308-0.36%$24,3530.45%-2.09%-0.95%1.76%1.52%-2.82%0.82%-1.57%
201851.54%$27,7291.14%$24,6302.72%2.01%-1.20%5.87%-1.89%-2.62%3.68%0.52%
20186-0.42%$27,612-0.48%$24,5110.70%0.65%-3.61%0.80%-1.57%-4.54%4.20%-0.49%
201870.75%$27,8201.32%$24,8353.32%-1.44%-2.24%2.62%2.85%3.53%0.60%1.34%
201881.49%$28,2350.29%$24,9083.43%1.31%-2.14%3.14%-2.24%-3.77%2.58%0.02%
20189-0.75%$28,022-1.10%$24,6350.20%-2.86%-0.66%-3.05%0.97%-0.58%-2.64%-0.14%
201810-3.89%$26,932-5.00%$23,402-7.41%-2.93%2.12%-9.94%-8.13%-8.76%-2.93%-2.05%
2018111.53%$27,3441.80%$23,8242.01%1.79%0.34%0.57%0.50%4.90%4.67%-0.36%
201812-1.95%$26,812-3.21%$23,059-9.16%5.85%4.94%-12.38%-5.35%-3.50%-7.96%1.86%
201915.14%$28,1897.03%$24,6818.54%0.38%2.89%12.26%6.63%10.34%11.85%3.37%
201921.31%$28,5570.90%$24,9033.56%-1.38%-0.61%4.13%2.54%-1.53%0.70%-0.20%
201931.63%$29,0241.33%$25,2351.42%5.57%-1.60%-3.91%0.92%1.13%4.21%2.93%
201941.33%$29,4101.39%$25,5873.93%-1.99%-0.66%4.32%2.93%2.35%-0.16%0.44%
20195-1.16%$29,068-2.30%$24,998-6.45%6.84%1.76%-9.98%-5.03%-7.33%0.14%1.65%
201965.85%$30,7695.07%$26,2667.08%0.95%8.00%7.66%5.91%6.20%1.54%3.25%
201970.77%$31,0080.04%$26,2771.41%0.26%0.01%1.30%-1.95%-2.66%1.70%0.25%
201983.62%$32,1321.71%$26,726-2.08%11.04%7.91%-5.14%-1.92%-3.78%3.75%3.88%
20199-0.62%$31,9330.91%$26,9701.78%-2.68%-3.39%5.57%3.16%1.69%1.93%-0.76%
2019101.46%$32,3981.84%$27,4662.11%-1.11%2.56%2.00%3.39%4.18%1.13%0.44%
2019110.99%$32,7170.39%$27,5723.79%-0.41%-3.21%2.71%1.13%-0.09%-1.30%0.47%
2019121.59%$33,2382.26%$28,1952.80%-3.20%3.66%2.84%2.98%7.71%0.76%0.53%
202012.96%$34,2230.07%$28,213-0.06%7.69%4.50%-6.31%-2.82%-6.15%1.23%2.45%
20202-2.61%$33,329-3.70%$27,168-8.00%6.63%-0.64%-10.15%-7.77%-3.78%-7.03%1.09%
20203-5.54%$31,482-11.14%$24,142-13.91%6.38%-0.22%-25.76%-14.11%-15.77%-19.42%-6.31%
202048.78%$34,2457.81%$26,02713.13%1.22%7.26%13.89%5.82%7.35%8.96%4.85%
202052.96%$35,2602.67%$26,7225.40%-1.76%2.59%2.55%5.43%2.97%1.73%2.46%
202061.94%$35,9442.95%$27,5112.29%0.34%2.74%3.58%3.51%6.61%2.41%2.13%
202076.73%$38,3635.06%$28,9035.74%4.44%10.79%2.58%1.94%8.25%3.64%3.10%
202082.29%$39,2421.63%$29,3757.10%-5.05%-0.32%5.07%4.72%2.89%0.44%-1.78%
20209-2.68%$38,193-2.29%$28,703-3.54%0.77%-4.17%-5.18%-2.05%-1.01%-2.68%-0.44%
202010-1.92%$37,458-0.98%$28,421-1.95%-3.39%-0.52%3.66%-3.55%1.41%-3.00%-0.51%
2020114.95%$39,3128.00%$30,69411.80%1.66%-5.41%19.21%14.27%8.99%9.67%3.77%
2020123.87%$40,8334.12%$31,9604.68%-1.23%7.01%7.50%5.01%7.14%2.72%0.15%
20211-1.87%$40,071-0.04%$31,946-0.33%-3.63%-3.22%6.25%-0.78%3.17%0.04%-1.83%
20212-1.40%$39,5110.77%$32,1913.14%-5.73%-6.26%10.80%2.24%0.79%3.43%-2.26%
202130.29%$39,6261.04%$32,5263.65%-5.24%-1.14%5.61%2.51%-0.73%5.15%-1.48%
202144.05%$41,2313.23%$33,5765.04%2.49%3.56%1.69%2.95%1.20%7.86%1.04%
202152.21%$42,1412.32%$34,3560.46%0.00%7.68%3.89%3.48%1.65%0.81%0.62%
202160.46%$42,3360.47%$34,5172.48%4.42%-7.15%-0.71%-1.08%0.95%2.64%2.21%
202172.41%$43,3580.47%$34,6811.74%3.72%2.53%-4.36%0.77%-6.44%4.42%1.42%
202181.34%$43,9391.14%$35,0752.86%-0.34%-0.08%1.82%1.45%1.57%2.15%-0.34%
20219-3.77%$42,281-3.30%$33,919-4.46%-2.91%-3.22%-1.46%-3.26%-3.87%-5.68%-1.51%
2021104.34%$44,1153.18%$34,9976.69%2.46%1.48%2.86%3.18%1.07%7.13%0.53%
202111-0.25%$44,004-1.61%$34,435-1.46%2.77%-0.69%-2.62%-4.53%-4.08%-2.11%-0.12%
2021122.28%$45,0063.10%$35,5023.79%-2.01%3.30%4.12%4.41%1.53%9.69%-0.03%
20221-4.42%$43,017-3.97%$34,094-6.06%-3.91%-1.68%-4.40%-3.63%-0.02%-8.42%-3.59%
20222-0.07%$42,989-1.13%$33,707-2.49%-1.63%6.12%2.28%-3.43%-4.32%-3.48%-2.13%
202230.67%$43,2780.01%$33,7113.26%-5.45%1.27%0.50%0.52%-3.38%6.27%-2.89%
20224-7.38%$40,082-6.33%$31,576-9.13%-9.42%-2.07%-6.38%-6.74%-6.14%-4.09%-6.70%
20225-1.50%$39,479-0.46%$31,432-0.25%-2.25%-3.26%2.32%2.00%0.61%-4.69%1.87%
20226-4.86%$37,562-5.62%$29,665-8.23%-1.27%-1.57%-8.96%-8.72%-5.14%-7.46%-3.62%
202274.62%$39,2994.45%$30,9849.35%2.43%-2.59%8.53%5.17%-0.35%8.62%4.44%
20228-3.72%$37,835-4.16%$29,696-3.73%-4.56%-2.94%-4.16%-6.12%-1.33%-6.01%-4.43%
20229-7.36%$35,052-8.79%$27,084-9.22%-8.23%-2.89%-10.41%-9.22%-11.54%-12.86%-5.98%
2022102.20%$35,8242.68%$27,8098.11%-5.97%-1.78%14.40%5.89%-1.98%3.51%-0.75%
2022116.50%$38,1528.27%$30,1095.17%7.15%8.49%3.81%13.17%15.59%6.15%6.65%
202212-2.82%$37,076-2.89%$29,241-5.85%-2.63%2.93%-6.49%-1.82%-2.65%-5.03%-1.56%
202316.80%$39,5968.25%$31,6526.93%7.64%5.76%11.95%9.00%9.13%10.40%5.16%
20232-3.81%$38,088-4.41%$30,256-2.40%-5.09%-5.37%-1.73%-3.07%-7.57%-5.86%-4.17%
202334.56%$39,8242.12%$30,8992.71%4.84%7.92%-6.48%3.13%3.22%-2.18%3.85%
202340.85%$40,1610.36%$31,0111.08%0.34%0.86%-2.39%2.94%-0.84%0.31%0.60%
20235-0.85%$39,820-2.46%$30,2470.43%-3.01%-1.34%-3.66%-4.01%-2.40%-3.96%-1.76%

Risk and Return Metrics

MetricMaximum Return at 10.00% VolatilityEqual Weighted
Arithmetic Mean (monthly)0.70%0.59%
Arithmetic Mean (annualized)8.79%7.37%
Geometric Mean (monthly)0.66%0.53%
Geometric Mean (annualized)8.26%6.56%
Standard Deviation (monthly)2.87%3.54%
Standard Deviation (annualized)9.95%12.27%
Downside Deviation (monthly)1.79%2.37%
Maximum Drawdown-22.12%-36.98%
Stock Market Correlation0.790.88
Beta(*)0.490.68
Alpha (annualized)3.53%0.33%
R261.74%77.58%
Sharpe Ratio0.730.48
Sortino Ratio1.140.71
Treynor Ratio (%)14.818.76
Calmar Ratio0.190.18
Active Return-0.85%-2.55%
Tracking Error10.18%7.75%
Information Ratio-0.08-0.33
Skewness-0.60-0.67
Excess Kurtosis2.523.26
Historical Value-at-Risk (5%)3.79%4.77%
Analytical Value-at-Risk (5%)4.01%5.22%
Conditional Value-at-Risk (5%)6.00%8.05%
Upside Capture Ratio (%)52.8663.70
Downside Capture Ratio (%)40.3765.34
Safe Withdrawal Rate9.92%9.08%
Perpetual Withdrawal Rate5.43%3.88%
Positive Periods126 out of 209 (60.29%)129 out of 209 (61.72%)
Gain/Loss Ratio1.260.99
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndMaximum Return at 10.00% VolatilityEqual Weighted
Subprime CrisisNov 2007Mar 2009-21.95%-36.98%
COVID-19 StartJan 2020Mar 2020-8.01%-14.43%

Drawdowns for Maximum Return at 10.00% Volatility

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2022Sep 20229 months-22.12%
2Nov 2007Feb 20091 year 4 monthsNov 20099 months2 years 1 month-21.95%
3Feb 2020Mar 20202 monthsApr 20201 month3 months-8.01%
4Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-6.83%
5Apr 2013Jun 20133 monthsOct 20134 months7 months-6.26%
6Aug 2016Nov 20164 monthsFeb 20173 months7 months-5.71%
7Feb 2018Dec 201811 monthsFeb 20192 months1 year 1 month-5.54%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-4.55%
9Sep 2021Sep 20211 monthOct 20211 month2 months-3.77%
10Sep 2011Sep 20111 monthOct 20111 month2 months-3.51%
Worst 10 drawdowns included above

Drawdowns for Equal Weighted

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-36.98%
2Jan 2022Sep 20229 months-23.71%
3Feb 2020Mar 20202 monthsJul 20204 months6 months-14.43%
4May 2011Sep 20115 monthsJan 20124 months9 months-9.81%
5Feb 2018Dec 201811 monthsApr 20194 months1 year 3 months-8.82%
6Mar 2015Jan 201611 monthsJun 20165 months1 year 4 months-8.66%
7May 2013Jun 20132 monthsOct 20134 months6 months-6.45%
8May 2012May 20121 monthJul 20122 months3 months-4.54%
9Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.51%
10Sep 2014Sep 20141 monthJan 20154 months5 months-4.46%
Worst 10 drawdowns included above

Portfolio Assets

TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
VTIVanguard Total Stock Market ETF9.22%15.91%33.45%-36.98%-50.84%0.560.821.00
TLTiShares 20+ Year Treasury Bond ETF3.73%13.82%33.96%-31.24%-41.64%0.250.40-0.18
GLDSPDR Gold Shares7.52%17.24%30.45%-28.33%-42.91%0.440.710.09
IJSiShares S&P Small-Cap 600 Value ETF7.60%21.00%39.34%-29.39%-54.13%0.400.580.89
EFAiShares MSCI EAFE ETF3.88%17.71%26.95%-41.04%-57.38%0.240.340.88
EEMiShares MSCI Emerging Markets ETF3.48%21.79%68.93%-48.88%-60.44%0.210.310.76
VNQVanguard Real Estate ETF6.02%22.64%40.52%-37.00%-68.30%0.320.450.76
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.00%8.09%17.37%-17.93%-23.27%0.380.570.42

Portfolio Asset Performance

NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Vanguard Total Stock Market ETF4.26%8.80%2.13%12.17%9.99%11.40%0.03%0.03%
iShares 20+ Year Treasury Bond ETF2.03%4.23%-9.43%-12.71%-1.20%1.31%0.15%0.15%
SPDR Gold Shares7.39%7.47%6.53%3.82%8.17%3.13%0.40%0.40%
iShares S&P Small-Cap 600 Value ETF-12.06%-3.26%-8.86%16.33%3.20%8.10%0.18%0.18%
iShares MSCI EAFE ETF1.90%7.66%3.63%8.79%3.34%4.64%0.33%0.33%
iShares MSCI Emerging Markets ETF-0.10%0.77%-8.29%2.40%-1.39%1.39%0.69%0.69%
Vanguard Real Estate ETF-5.76%-2.06%-15.87%4.80%4.07%5.34%0.12%0.12%
iShares iBoxx $ Invmt Grade Corp Bd ETF2.63%3.43%-2.52%-3.92%1.67%2.34%0.14%0.14%
Trailing returns as of last calendar month ending May 2023

Monthly Correlations

TickerNameVTITLTGLDIJSEFAEEMVNQLQDMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF1.00-0.180.090.890.880.760.760.420.790.88
TLTiShares 20+ Year Treasury Bond ETF-0.181.000.25-0.28-0.13-0.130.060.570.300.10
GLDSPDR Gold Shares0.090.251.000.010.180.310.130.300.600.38
IJSiShares S&P Small-Cap 600 Value ETF0.89-0.280.011.000.780.680.740.300.630.81
EFAiShares MSCI EAFE ETF0.88-0.130.180.781.000.870.710.480.750.90
EEMiShares MSCI Emerging Markets ETF0.76-0.130.310.680.871.000.610.440.710.86
VNQVanguard Real Estate ETF0.760.060.130.740.710.611.000.490.690.85
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.420.570.300.300.480.440.491.000.660.65

Portfolio Return Decomposition

TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF$21,124$4,453
TLTiShares 20+ Year Treasury Bond ETF$2,016$1,184
GLDSPDR Gold Shares$6,679$2,907
IJSiShares S&P Small-Cap 600 Value ETF$3,950
EFAiShares MSCI EAFE ETF$2,064
EEMiShares MSCI Emerging Markets ETF$1,403
VNQVanguard Real Estate ETF$3,068
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF$1,218
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF63.26%14.28%
TLTiShares 20+ Year Treasury Bond ETF9.87%1.47%
GLDSPDR Gold Shares26.87%6.73%
IJSiShares S&P Small-Cap 600 Value ETF17.27%
EFAiShares MSCI EAFE ETF16.22%
EEMiShares MSCI Emerging Markets ETF19.15%
VNQVanguard Real Estate ETF19.55%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.32%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling Returns

Roll PeriodMaximum Return at 10.00% VolatilityEqual Weighted
AverageHighLowAverageHighLow
1 year8.56%29.79%-21.89%7.12%47.20%-32.87%
3 years9.00%22.18%-1.02%7.12%25.23%-6.98%
5 years9.18%15.66%5.75%7.50%17.64%2.45%
7 years8.89%12.13%6.40%7.38%12.50%4.07%
10 years8.81%10.97%6.00%7.30%11.33%4.51%
15 years8.69%9.83%7.04%6.83%8.14%4.93%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years