Portfolio Optimization

Portfolio Optimization Configuration

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Asset Groups
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Portfolio Optimization Results (Jan 2006 - Dec 2022) 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 5.02% to 9.95%. Refer to the efficient frontier section for additional details.

Maximum Return at 10.00% Volatility

Maximum Return at 10.00% Volatility
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 51.12%
TLT iShares 20+ Year Treasury Bond ETF 21.96%
GLD SPDR Gold Shares 26.92%
Save portfolio »

Equal Weighted

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

Portfolio performance statistics
MetricMaximum Return at 10.00% VolatilityEqual Weighted
Start Balance$10,000$10,000
End Balance$37,537$29,241
Annualized Return (CAGR)8.09%6.52%
Expected Return8.31%7.08%
Standard Deviation10.00%12.19%
Best Year24.12%23.38%
Worst Year-17.17%-21.23%
Maximum Drawdown -22.48% -36.98%
Sharpe Ratio (ex-ante)0.720.49
Sharpe Ratio (ex-post)0.720.49
Sortino Ratio1.120.71
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

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Maximum Return at 10.00% Volatility5.98%-17.17%-17.17%3.99%6.24%6.87%8.09%13.84%11.77%
Equal Weighted7.96%-17.64%-17.64%1.22%3.31%5.12%6.52%15.14%12.95%
Trailing return and volatility are as of last full calendar month ending December 2022
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. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. 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 optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Total Stock Market ETF (VTI)9.87%16.01%0.5470.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)9.95%20.96%0.4220.00%100.00%
3iShares MSCI EAFE ETF (EFA)5.07%17.73%0.2230.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)5.87%21.84%0.2180.00%100.00%
5Vanguard Real Estate ETF (VNQ)8.80%22.70%0.3390.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)4.44%13.74%0.2430.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)4.14%7.97%0.3810.00%100.00%
8SPDR Gold Shares (GLD)8.50%17.25%0.4290.00%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 ETFVTI1.000.900.880.760.76-0.210.410.08
iShares S&P Small-Cap 600 Value ETFIJS0.901.000.780.680.74-0.300.300.00
iShares MSCI EAFE ETFEFA0.880.781.000.870.71-0.160.470.17
iShares MSCI Emerging Markets ETFEEM0.760.680.871.000.61-0.160.420.30
Vanguard Real Estate ETFVNQ0.760.740.710.611.000.040.490.12
iShares 20+ Year Treasury Bond ETFTLT-0.21-0.30-0.16-0.160.041.000.550.23
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.410.300.470.420.490.551.000.28
SPDR Gold SharesGLD0.080.000.170.300.120.230.281.00
Based on monthly returns from Jan 2006 to Dec 2022

Efficient Frontiers

Efficient Frontier Portfolios

Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return *Standard Deviation *Sharpe Ratio *
14.42%3.71%0.00%0.00%0.00%8.14%74.98%8.74%5.02%7.75%0.505
25.18%3.63%0.00%0.00%0.00%8.60%73.62%8.97%5.07%7.75%0.511
35.94%3.54%0.00%0.00%0.00%9.05%72.26%9.21%5.12%7.75%0.518
46.69%3.46%0.00%0.00%0.00%9.51%70.90%9.44%5.17%7.75%0.524
57.45%3.37%0.00%0.00%0.00%9.96%69.54%9.67%5.22%7.76%0.530
68.21%3.29%0.00%0.00%0.00%10.42%68.19%9.90%5.26%7.76%0.536
78.97%3.20%0.00%0.00%0.00%10.88%66.83%10.13%5.31%7.77%0.542
89.73%3.12%0.00%0.00%0.00%11.33%65.47%10.36%5.36%7.78%0.548
910.48%3.03%0.00%0.00%0.00%11.79%64.11%10.59%5.41%7.78%0.554
1011.24%2.94%0.00%0.00%0.00%12.24%62.75%10.82%5.46%7.79%0.560
1112.00%2.86%0.00%0.00%0.00%12.70%61.39%11.06%5.51%7.80%0.565
1212.76%2.77%0.00%0.00%0.00%13.15%60.03%11.29%5.56%7.81%0.571
1313.51%2.69%0.00%0.00%0.00%13.61%58.67%11.52%5.61%7.83%0.576
1414.27%2.60%0.00%0.00%0.00%14.06%57.31%11.75%5.66%7.84%0.582
1515.03%2.52%0.00%0.00%0.00%14.52%55.95%11.98%5.71%7.85%0.587
1615.79%2.43%0.00%0.00%0.00%14.98%54.59%12.21%5.76%7.87%0.592
1716.54%2.35%0.00%0.00%0.00%15.43%53.23%12.44%5.81%7.89%0.597
1817.30%2.26%0.00%0.00%0.00%15.89%51.87%12.68%5.86%7.90%0.602
1918.06%2.18%0.00%0.00%0.00%16.34%50.51%12.91%5.91%7.92%0.607
2018.82%2.09%0.00%0.00%0.00%16.80%49.16%13.14%5.96%7.94%0.612
2119.57%2.01%0.00%0.00%0.00%17.25%47.80%13.37%6.01%7.96%0.617
2220.33%1.92%0.00%0.00%0.00%17.71%46.44%13.60%6.06%7.98%0.621
2321.09%1.84%0.00%0.00%0.00%18.17%45.08%13.83%6.11%8.01%0.626
2421.85%1.75%0.00%0.00%0.00%18.62%43.72%14.06%6.16%8.03%0.630
2522.60%1.66%0.00%0.00%0.00%19.08%42.36%14.30%6.21%8.05%0.634
2623.36%1.58%0.00%0.00%0.00%19.53%41.00%14.53%6.26%8.08%0.639
2724.12%1.49%0.00%0.00%0.00%19.99%39.64%14.76%6.31%8.11%0.643
2824.88%1.41%0.00%0.00%0.00%20.44%38.28%14.99%6.36%8.13%0.647
2925.64%1.32%0.00%0.00%0.00%20.90%36.92%15.22%6.41%8.16%0.650
3026.39%1.24%0.00%0.00%0.00%21.35%35.56%15.45%6.46%8.19%0.654
3127.15%1.15%0.00%0.00%0.00%21.81%34.20%15.68%6.51%8.22%0.658
3227.91%1.07%0.00%0.00%0.00%22.27%32.84%15.91%6.56%8.25%0.661
3328.67%0.98%0.00%0.00%0.00%22.72%31.48%16.15%6.61%8.28%0.665
3429.42%0.90%0.00%0.00%0.00%23.18%30.13%16.38%6.66%8.32%0.668
3530.18%0.81%0.00%0.00%0.00%23.63%28.77%16.61%6.71%8.35%0.672
3630.94%0.73%0.00%0.00%0.00%24.09%27.41%16.84%6.76%8.39%0.675
3731.70%0.64%0.00%0.00%0.00%24.54%26.05%17.07%6.81%8.42%0.678
3832.45%0.56%0.00%0.00%0.00%25.00%24.69%17.30%6.86%8.46%0.681
3933.21%0.47%0.00%0.00%0.00%25.46%23.33%17.53%6.91%8.49%0.684
4033.97%0.38%0.00%0.00%0.00%25.91%21.97%17.77%6.96%8.53%0.687
4134.73%0.30%0.00%0.00%0.00%26.37%20.61%18.00%7.01%8.57%0.689
4235.48%0.21%0.00%0.00%0.00%26.82%19.25%18.23%7.06%8.61%0.692
4336.24%0.13%0.00%0.00%0.00%27.28%17.89%18.46%7.11%8.65%0.694
4437.00%0.04%0.00%0.00%0.00%27.73%16.53%18.69%7.16%8.69%0.697
4537.71%0.00%0.00%0.00%0.00%28.20%15.16%18.93%7.21%8.73%0.699
4638.38%0.00%0.00%0.00%0.00%28.68%13.78%19.16%7.26%8.78%0.702
4739.04%0.00%0.00%0.00%0.00%29.15%12.41%19.40%7.31%8.82%0.704
4839.71%0.00%0.00%0.00%0.00%29.63%11.03%19.64%7.36%8.86%0.706
4940.37%0.00%0.00%0.00%0.00%30.10%9.65%19.87%7.41%8.91%0.708
5041.04%0.00%0.00%0.00%0.00%30.58%8.27%20.11%7.46%8.95%0.710
5141.71%0.00%0.00%0.00%0.00%31.06%6.89%20.35%7.51%9.00%0.712
5242.37%0.00%0.00%0.00%0.00%31.53%5.51%20.58%7.56%9.05%0.714
5343.04%0.00%0.00%0.00%0.00%32.01%4.13%20.82%7.61%9.09%0.715
5443.70%0.00%0.00%0.00%0.00%32.48%2.75%21.06%7.66%9.14%0.717
5544.37%0.00%0.00%0.00%0.00%32.96%1.38%21.30%7.71%9.19%0.719
5645.03%0.00%0.00%0.00%0.00%33.43%0.00%21.53%7.76%9.24%0.720
5745.59%0.00%0.00%0.00%0.00%32.39%0.00%22.02%7.81%9.29%0.722
5846.14%0.00%0.00%0.00%0.00%31.35%0.00%22.51%7.86%9.35%0.723
5946.69%0.00%0.00%0.00%0.00%30.30%0.00%23.00%7.91%9.41%0.723
6047.25%0.00%0.00%0.00%0.00%29.26%0.00%23.49%7.96%9.47%0.724
6147.80%0.00%0.00%0.00%0.00%28.22%0.00%23.98%8.01%9.54%0.724
6248.35%0.00%0.00%0.00%0.00%27.18%0.00%24.47%8.06%9.61%0.724
6348.91%0.00%0.00%0.00%0.00%26.13%0.00%24.96%8.11%9.68%0.724
6449.46%0.00%0.00%0.00%0.00%25.09%0.00%25.45%8.16%9.75%0.723
6550.01%0.00%0.00%0.00%0.00%24.05%0.00%25.94%8.21%9.83%0.723
6650.57%0.00%0.00%0.00%0.00%23.01%0.00%26.43%8.26%9.91%0.722
6751.12%0.00%0.00%0.00%0.00%21.96%0.00%26.92%8.31%10.00%0.721
6851.67%0.00%0.00%0.00%0.00%20.92%0.00%27.41%8.36%10.09%0.719
6952.23%0.00%0.00%0.00%0.00%19.88%0.00%27.90%8.41%10.18%0.718
7052.78%0.00%0.00%0.00%0.00%18.83%0.00%28.39%8.46%10.27%0.716
7153.33%0.00%0.00%0.00%0.00%17.79%0.00%28.87%8.51%10.36%0.714
7253.89%0.00%0.00%0.00%0.00%16.75%0.00%29.36%8.56%10.46%0.712
7354.44%0.00%0.00%0.00%0.00%15.71%0.00%29.85%8.61%10.56%0.710
7454.99%0.00%0.00%0.00%0.00%14.66%0.00%30.34%8.66%10.67%0.708
7555.55%0.00%0.00%0.00%0.00%13.62%0.00%30.83%8.71%10.77%0.706
7656.10%0.00%0.00%0.00%0.00%12.58%0.00%31.32%8.76%10.88%0.703
7756.65%0.00%0.00%0.00%0.00%11.54%0.00%31.81%8.81%10.99%0.701
7857.21%0.00%0.00%0.00%0.00%10.49%0.00%32.30%8.86%11.10%0.698
7957.76%0.00%0.00%0.00%0.00%9.45%0.00%32.79%8.91%11.22%0.696
8058.31%0.00%0.00%0.00%0.00%8.41%0.00%33.28%8.96%11.33%0.693
8158.87%0.00%0.00%0.00%0.00%7.36%0.00%33.77%9.01%11.45%0.690
8259.42%0.00%0.00%0.00%0.00%6.32%0.00%34.26%9.06%11.57%0.687
8359.97%0.00%0.00%0.00%0.00%5.28%0.00%34.75%9.11%11.69%0.684
8460.53%0.00%0.00%0.00%0.00%4.24%0.00%35.24%9.15%11.82%0.681
8561.08%0.00%0.00%0.00%0.00%3.19%0.00%35.73%9.20%11.94%0.678
8661.63%0.00%0.00%0.00%0.00%2.15%0.00%36.22%9.25%12.07%0.675
8762.19%0.00%0.00%0.00%0.00%1.11%0.00%36.70%9.30%12.20%0.672
8862.74%0.00%0.00%0.00%0.00%0.07%0.00%37.19%9.35%12.33%0.669
8966.18%0.00%0.00%0.00%0.00%0.00%0.00%33.82%9.40%12.49%0.665
9069.81%0.00%0.00%0.00%0.00%0.00%0.00%30.19%9.45%12.69%0.658
9173.45%0.00%0.00%0.00%0.00%0.00%0.00%26.55%9.50%12.95%0.649
9277.08%0.00%0.00%0.00%0.00%0.00%0.00%22.92%9.55%13.25%0.638
9380.71%0.00%0.00%0.00%0.00%0.00%0.00%19.29%9.60%13.59%0.625
9484.35%0.00%0.00%0.00%0.00%0.00%0.00%15.65%9.65%13.98%0.612
9587.98%0.00%0.00%0.00%0.00%0.00%0.00%12.02%9.70%14.40%0.597
9691.61%0.00%0.00%0.00%0.00%0.00%0.00%8.39%9.75%14.85%0.582
9795.25%0.00%0.00%0.00%0.00%0.00%0.00%4.75%9.80%15.34%0.567
9898.88%0.00%0.00%0.00%0.00%0.00%0.00%1.12%9.85%15.85%0.552
9959.13%40.87%0.00%0.00%0.00%0.00%0.00%0.00%9.90%17.57%0.501
1000.01%99.99%0.00%0.00%0.00%0.00%0.00%0.00%9.95%20.96%0.422
*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

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%14.45%$11,44519.39%$11,93915.69%0.71%22.55%19.37%25.81%31.19%35.30%4.22%
20074.08%13.13%$12,9488.39%$12,9415.37%10.29%30.45%-5.56%9.94%33.31%-16.50%3.73%
20080.09%-13.08%$11,254-21.23%$10,194-36.98%33.93%4.92%-29.39%-41.04%-48.88%-37.00%2.40%
20092.72%15.77%$13,02923.38%$12,57728.89%-21.80%24.03%22.36%26.95%68.93%30.08%8.46%
20101.50%19.75%$15,60218.79%$14,94117.42%9.05%29.27%24.69%8.15%16.51%28.37%9.33%
20112.96%11.33%$17,3704.04%$15,5450.97%33.96%9.57%-1.65%-12.25%-18.82%8.62%9.73%
20121.74%11.18%$19,31114.22%$17,75616.45%2.63%6.60%18.24%18.82%19.10%17.63%10.58%
20131.50%3.44%$19,9754.45%$18,54633.45%-13.37%-28.33%39.34%21.40%-3.69%2.31%-2.00%
20140.76%11.64%$22,3018.88%$20,19312.54%27.30%-2.19%7.56%-6.20%-3.93%30.36%8.21%
20150.73%-2.53%$21,738-3.92%$19,4010.36%-1.79%-10.67%-6.90%-1.00%-16.18%2.42%-1.25%
20162.07%9.67%$23,84010.46%$21,43112.83%1.18%8.03%31.25%1.37%10.87%8.60%6.21%
20172.11%16.32%$27,73015.92%$24,84221.21%9.18%12.81%11.35%25.10%37.28%4.91%7.06%
20181.91%-3.03%$26,891-7.18%$23,059-5.21%-1.61%-1.94%-12.84%-13.81%-15.31%-6.02%-3.79%
20192.29%24.12%$33,37722.27%$28,19530.67%14.12%17.86%24.12%22.03%18.20%28.87%17.37%
20201.36%22.92%$41,02813.35%$31,96021.03%18.15%24.81%2.63%7.59%17.03%-4.68%10.97%
20217.04%10.45%$45,31511.08%$35,50225.67%-4.60%-4.15%30.53%11.46%-3.61%40.52%-1.85%
20226.45%-17.17%$37,537-17.64%$29,241-19.51%-31.24%-0.77%-11.33%-14.35%-20.56%-26.24%-17.93%

Monthly Returns

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
200614.02%$10,4025.95%$10,5953.22%-1.34%9.93%8.75%5.77%14.20%7.54%-0.44%
200620.06%$10,408-0.19%$10,5750.22%1.11%-1.11%0.27%-0.70%-3.85%1.86%0.68%
200631.02%$10,5141.90%$10,7762.05%-4.57%3.62%4.86%4.01%2.17%4.73%-1.68%
200643.12%$10,8432.26%$11,0200.96%-2.75%12.03%0.18%4.79%6.52%-3.40%-0.20%
20065-2.04%$10,621-3.39%$10,646-3.22%-0.19%-1.32%-4.55%-3.82%-11.14%-2.70%-0.19%
20066-0.93%$10,5220.21%$10,6690.13%1.18%-4.67%0.04%-0.06%0.21%4.95%-0.09%
200671.26%$10,6551.33%$10,810-0.12%2.16%3.15%-3.10%0.81%2.34%3.89%1.46%
200681.48%$10,8122.07%$11,0332.30%3.06%-1.38%2.70%2.55%1.58%3.48%2.22%
200690.36%$10,8510.38%$11,0752.26%1.91%-4.53%1.19%0.22%-0.87%1.96%0.87%
2006102.34%$11,1043.63%$11,4773.53%0.85%1.29%5.52%3.75%7.06%6.03%1.00%
2006113.55%$11,4993.65%$11,8962.33%2.31%6.89%2.38%3.07%5.98%4.78%1.46%
200612-0.47%$11,4450.36%$11,9391.20%-2.69%-1.83%0.32%3.20%5.44%-1.83%-0.90%
200711.42%$11,6081.99%$12,1771.86%-1.00%2.56%2.14%1.39%0.11%8.78%0.09%
200720.60%$11,677-0.08%$12,167-1.62%3.39%2.55%-0.92%-0.12%-3.24%-2.70%2.00%
20073-0.10%$11,6660.59%$12,2381.12%-1.70%-1.11%0.91%2.90%5.33%-2.07%-0.68%
200742.81%$11,9932.13%$12,4994.02%0.90%2.05%1.84%3.75%3.73%-0.13%0.89%
200750.77%$12,0861.19%$12,6493.72%-2.31%-2.31%4.63%2.36%5.06%-0.38%-1.23%
20076-1.64%$11,887-1.67%$12,437-1.76%-1.01%-1.94%-2.24%-0.32%3.68%-8.99%-0.81%
20077-0.44%$11,835-1.85%$12,207-3.53%3.32%2.37%-6.26%-2.29%0.71%-8.26%-0.82%
200781.44%$12,0061.90%$12,4401.47%1.79%1.11%1.33%-0.63%1.04%6.74%2.38%
200794.85%$12,5874.55%$13,0063.85%0.23%10.51%0.31%5.32%11.57%3.90%0.73%
2007103.19%$12,9883.85%$13,5071.79%1.81%6.95%1.06%4.25%11.87%2.10%0.97%
200711-1.58%$12,783-3.46%$13,039-4.52%5.35%-1.65%-7.15%-3.62%-7.65%-9.47%1.02%
2007121.29%$12,948-0.75%$12,941-0.70%-0.64%6.65%-0.71%-2.99%-1.43%-5.41%-0.81%
200810.23%$12,977-1.53%$12,743-6.17%2.10%10.84%-4.00%-7.85%-8.92%-0.78%2.57%
200820.03%$12,981-0.50%$12,680-2.50%-0.46%5.23%-3.36%-1.02%1.99%-3.18%-0.71%
20083-1.60%$12,773-0.17%$12,658-0.90%2.14%-6.00%0.83%0.42%-3.75%6.48%-0.60%
200840.83%$12,8802.89%$13,0234.89%-2.48%-4.16%2.64%5.44%9.14%6.38%1.25%
200850.69%$12,9680.76%$13,1222.02%-2.69%0.92%3.92%1.19%3.16%-0.21%-2.21%
20086-2.35%$12,663-4.92%$12,477-8.12%2.65%4.52%-8.41%-8.80%-9.29%-10.62%-1.29%
20087-0.79%$12,564-0.61%$12,401-0.62%-0.37%-1.44%2.87%-3.32%-5.50%3.12%0.39%
20088-1.15%$12,419-1.05%$12,2711.46%2.74%-9.29%4.76%-4.25%-6.32%2.37%0.15%
20089-3.29%$12,010-5.68%$11,574-9.24%1.47%4.11%-4.82%-11.44%-14.68%-0.11%-10.73%
200810-13.69%$10,366-16.93%$9,615-17.48%-1.86%-16.14%-19.86%-20.83%-25.58%-31.73%-1.95%
2008112.44%$10,618-3.55%$9,273-8.01%14.34%12.57%-11.80%-6.37%-9.75%-22.72%3.35%
2008125.99%$11,2549.93%$10,1941.78%13.64%7.73%6.57%8.88%10.35%16.67%13.80%
20091-5.49%$10,636-8.98%$9,278-8.05%-13.07%5.54%-13.94%-13.73%-9.29%-17.53%-1.80%
20092-5.33%$10,069-8.25%$8,512-10.53%-1.54%1.45%-13.03%-10.39%-6.27%-20.53%-5.20%
200934.43%$10,5155.84%$9,0098.26%4.04%-2.54%7.58%8.39%16.86%3.61%0.47%
200943.19%$10,85110.02%$9,91110.99%-6.95%-3.33%18.89%11.52%15.56%30.68%2.78%
200954.74%$11,3655.84%$10,4915.46%-3.69%10.23%0.67%13.19%15.94%2.62%2.32%
20096-1.05%$11,245-0.82%$10,4040.36%0.76%-5.22%1.52%-1.43%-2.25%-3.23%2.89%
200974.72%$11,7767.27%$11,1607.74%0.58%2.38%11.00%10.04%11.01%10.77%4.63%
200982.40%$12,0593.54%$11,5553.71%2.24%0.05%3.48%4.50%-1.31%14.32%1.31%
200994.23%$12,5694.88%$12,1194.14%2.46%5.84%4.21%3.80%10.20%6.63%1.76%
200910-0.92%$12,453-2.32%$11,838-2.63%-2.62%3.72%-6.07%-2.52%-3.44%-4.46%-0.49%
2009116.62%$13,2775.36%$12,4735.69%1.21%12.79%2.90%3.92%7.85%6.57%1.95%
200912-1.87%$13,0290.84%$12,5772.86%-6.34%-7.20%8.10%0.70%3.27%7.37%-2.07%
20101-1.57%$12,825-2.72%$12,235-3.57%2.69%-1.26%-2.54%-5.07%-7.76%-5.52%1.25%
201022.57%$13,1542.41%$12,5303.44%-0.34%3.27%4.76%0.27%1.78%5.58%0.51%
201032.70%$13,5094.63%$13,1106.40%-2.06%-0.44%7.80%6.39%8.11%10.18%0.65%
201043.43%$13,9723.01%$13,5052.18%3.32%5.88%6.63%-2.80%-0.17%7.15%1.91%
20105-2.09%$13,680-4.44%$12,906-7.88%5.11%3.05%-8.54%-11.19%-9.39%-5.33%-1.31%
20106-1.08%$13,533-1.42%$12,723-5.83%5.80%2.36%-8.27%-2.07%-1.40%-5.19%3.28%
201072.01%$13,8055.24%$13,3907.02%-0.95%-5.09%6.71%11.61%10.93%9.59%2.11%
201080.97%$13,940-0.50%$13,323-4.71%8.40%5.71%-7.91%-3.80%-3.24%-1.28%2.86%
201095.57%$14,7156.16%$14,1449.45%-2.51%4.78%10.93%9.97%11.76%4.45%0.46%
2010102.07%$15,0202.32%$14,4724.03%-4.47%3.68%4.04%3.81%3.02%4.74%-0.26%
2010110.46%$15,089-0.97%$14,3310.51%-1.69%2.11%2.47%-4.82%-2.91%-1.85%-1.62%
2010123.40%$15,6024.25%$14,9416.96%-3.68%2.44%8.97%8.30%7.27%4.54%-0.75%
20111-1.35%$15,392-0.76%$14,8272.05%-3.08%-6.38%-0.24%2.10%-3.84%3.25%0.04%
201123.87%$15,9873.11%$15,2873.70%1.65%6.00%4.21%3.55%-0.04%4.71%1.08%
201130.65%$16,0910.75%$15,4020.42%0.03%1.60%2.21%-2.39%6.29%-1.62%-0.54%
201144.40%$16,7993.98%$16,0152.90%2.34%8.94%1.06%5.63%2.73%5.75%2.50%
20115-0.27%$16,753-0.46%$15,941-1.06%3.42%-1.79%-1.77%-2.21%-2.94%1.37%1.27%
20116-2.08%$16,404-1.80%$15,655-1.79%-2.33%-2.43%-1.59%-1.19%-0.93%-3.30%-0.80%
201172.08%$16,7451.05%$15,819-2.27%4.42%8.42%-2.77%-2.38%-1.03%1.56%2.43%
201182.31%$17,133-1.93%$15,514-6.09%9.66%12.27%-7.98%-8.75%-9.25%-5.62%0.34%
20119-3.95%$16,456-6.90%$14,443-7.57%13.20%-11.06%-10.57%-10.81%-17.89%-10.85%0.35%
2011106.55%$17,5338.93%$15,73311.37%-3.84%5.87%15.34%9.63%16.27%14.29%2.51%
2011110.69%$17,655-0.90%$15,592-0.37%1.98%1.67%0.63%-2.18%-1.96%-3.80%-3.16%
201112-1.61%$17,370-0.30%$15,5450.98%3.44%-10.66%2.02%-2.21%-4.30%4.85%3.49%
201215.59%$18,3406.10%$16,4935.07%-0.33%11.40%7.90%5.27%10.99%6.38%2.14%
201220.79%$18,4851.37%$16,7194.22%-2.59%-2.96%1.71%4.83%5.27%-1.15%1.63%
201230.28%$18,5360.18%$16,7503.06%-4.23%-1.32%2.89%0.42%-3.11%5.19%-1.42%
201240.70%$18,6650.29%$16,798-0.64%4.83%-0.15%-1.91%-2.08%-1.70%2.86%1.08%
20125-2.91%$18,123-4.54%$16,036-6.23%9.03%-6.34%-7.18%-11.14%-10.71%-4.51%0.76%
201262.34%$18,5463.48%$16,5944.05%-1.68%2.35%4.54%7.11%5.08%5.52%0.87%
201271.51%$18,8271.30%$16,8090.88%3.82%0.84%-0.69%0.08%-0.03%2.00%3.48%
201282.42%$19,2831.74%$17,1022.70%-1.32%4.94%4.08%3.20%0.41%-0.01%-0.05%
201291.98%$19,6631.87%$17,4222.49%-2.53%4.67%3.14%2.71%5.22%-1.86%1.10%
201210-1.82%$19,305-0.76%$17,289-1.81%-0.48%-2.94%-1.96%1.09%-0.44%-0.91%1.35%
2012110.57%$19,4160.87%$17,4400.77%1.38%-0.47%1.65%2.78%1.56%-0.26%-0.42%
201212-0.54%$19,3111.81%$17,7561.29%-2.49%-2.43%3.55%4.37%6.80%3.72%-0.33%
201311.93%$19,6841.62%$18,0435.42%-3.19%-0.51%5.35%3.73%-0.29%3.74%-1.30%
20132-0.44%$19,597-0.28%$17,9931.28%1.24%-5.09%1.63%-1.29%-2.28%1.22%1.08%
201332.18%$20,0241.46%$18,2563.95%-0.42%0.95%4.11%1.31%-1.02%2.87%-0.05%
20134-0.19%$19,9871.75%$18,5751.61%4.68%-7.56%0.12%5.02%1.22%6.73%2.17%
20135-1.90%$19,606-2.91%$18,0352.44%-6.76%-6.20%4.29%-3.02%-4.83%-5.98%-3.22%
20136-4.43%$18,739-3.65%$17,377-1.43%-3.27%-11.06%-0.14%-2.70%-5.35%-1.98%-3.27%
201374.44%$19,5713.27%$17,9455.75%-2.26%7.43%6.56%5.32%1.32%0.90%1.11%
20138-0.44%$19,484-1.88%$17,607-3.03%-1.34%5.20%-3.41%-1.96%-2.54%-6.98%-1.00%
201390.85%$19,6503.20%$18,1713.90%0.66%-4.78%6.59%7.82%7.21%3.49%0.74%
2013102.40%$20,1222.82%$18,6844.27%1.43%-0.34%3.48%3.26%4.17%4.52%1.81%
201311-0.69%$19,982-0.79%$18,5362.70%-2.70%-5.51%4.25%0.55%-0.26%-5.25%-0.14%
201312-0.04%$19,9750.05%$18,5462.73%-1.87%-3.79%1.29%2.16%-0.42%0.10%0.22%
201410.68%$20,112-0.58%$18,438-3.17%6.30%3.42%-3.51%-5.20%-8.64%4.28%1.88%
201424.29%$20,9754.00%$19,1764.87%0.52%6.27%4.63%6.13%3.38%5.07%1.14%
20143-0.43%$20,8850.41%$19,2550.51%0.73%-3.14%1.34%-0.46%3.88%0.49%-0.03%
201440.62%$21,0160.93%$19,4340.06%2.10%0.49%-2.29%1.67%0.78%3.29%1.33%
201450.90%$21,2051.38%$19,7032.10%2.95%-3.05%0.62%1.60%2.95%2.40%1.51%
201462.99%$21,8392.13%$20,1222.62%-0.25%6.32%3.85%0.92%2.40%1.13%0.01%
20147-1.85%$21,434-1.44%$19,832-1.99%0.67%-3.63%-5.07%-2.60%1.36%0.08%-0.32%
201483.26%$22,1332.72%$20,3724.15%4.72%0.38%4.46%0.18%2.83%3.04%2.00%
20149-3.20%$21,425-4.46%$19,463-2.10%-2.11%-6.18%-5.94%-3.88%-7.77%-6.04%-1.68%
2014101.20%$21,6822.74%$19,9972.75%2.81%-3.05%7.13%-0.27%1.42%9.94%1.23%
2014111.79%$22,0700.86%$20,1692.48%2.97%-0.49%0.48%0.06%-1.54%2.00%0.91%
2014121.05%$22,3010.12%$20,193-0.04%3.25%1.31%2.56%-4.00%-3.99%1.88%-0.02%
201513.10%$22,9922.62%$20,723-2.74%9.82%8.69%-5.32%0.62%-0.69%6.85%3.75%
20152-0.00%$22,9910.65%$20,8585.74%-6.14%-5.91%5.86%6.34%4.41%-3.67%-1.42%
20153-0.93%$22,777-0.27%$20,801-1.16%1.10%-2.15%1.03%-1.43%-1.50%1.74%0.20%
20154-0.48%$22,667-0.17%$20,7660.62%-3.43%-0.17%-1.82%3.65%6.85%-5.85%-1.19%
201550.29%$22,734-0.64%$20,6341.30%-2.37%0.56%0.75%0.20%-4.10%-0.30%-1.12%
20156-2.16%$22,243-2.43%$20,133-1.67%-4.07%-1.52%0.42%-3.12%-2.93%-4.68%-1.88%
201570.09%$22,262-0.09%$20,1141.70%4.55%-6.62%-2.70%2.03%-6.31%5.77%0.83%
20158-2.27%$21,757-3.88%$19,333-6.09%-0.69%3.71%-4.62%-7.43%-8.84%-6.29%-0.83%
20159-1.55%$21,421-1.23%$19,095-2.92%1.97%-1.80%-3.77%-4.42%-3.13%3.05%1.19%
2015104.57%$22,3994.46%$19,9467.91%-0.41%2.28%6.57%6.61%6.38%5.76%0.57%
201511-1.70%$22,018-1.08%$19,7320.60%-0.87%-6.75%2.47%-0.75%-2.52%-0.63%-0.15%
201512-1.28%$21,738-1.67%$19,401-2.13%-0.30%-0.45%-5.08%-2.34%-3.83%1.82%-1.08%
20161-0.25%$21,684-1.81%$19,051-5.72%5.57%5.41%-5.85%-5.52%-5.03%-3.44%0.12%
201623.61%$22,4681.58%$19,351-0.01%3.09%10.93%2.08%-3.33%-0.82%-0.36%1.05%
201633.39%$23,2296.15%$20,5427.11%-0.09%-0.84%9.41%6.58%12.96%10.48%3.62%
201641.55%$23,5891.12%$20,7730.66%-0.74%5.11%2.13%2.22%0.41%-2.35%1.55%
20165-0.59%$23,451-0.65%$20,6381.73%0.81%-6.14%0.44%-0.09%-3.69%2.25%-0.51%
201664.08%$24,4073.65%$21,3910.27%6.93%8.97%0.83%-2.42%4.56%6.92%3.09%
201673.03%$25,1463.50%$22,1403.98%2.10%1.98%5.06%3.98%5.38%4.26%1.29%
20168-0.99%$24,896-0.64%$21,9990.21%-1.01%-3.26%1.13%0.53%0.88%-3.76%0.18%
20169-0.04%$24,8860.25%$22,0540.21%-1.51%0.69%0.87%1.34%2.52%-1.82%-0.32%
201610-2.88%$24,171-2.95%$21,404-2.19%-4.38%-2.94%-3.74%-2.22%-0.83%-5.74%-1.53%
201611-1.76%$23,746-1.22%$21,1424.49%-8.21%-8.36%13.34%-1.78%-4.42%-1.68%-3.17%
2016120.40%$23,8401.37%$21,4311.98%-0.46%-1.91%3.20%2.71%-0.25%4.82%0.84%
201712.59%$24,4572.10%$21,8811.86%0.81%5.42%-1.21%3.29%6.66%-0.19%0.15%
201723.09%$25,2142.20%$22,3613.69%1.59%3.18%1.35%1.19%1.74%3.51%1.32%
20173-0.23%$25,1560.32%$22,4320.06%-0.65%-0.43%-0.65%3.23%3.69%-2.42%-0.29%
201741.35%$25,4961.30%$22,7241.06%1.57%1.73%0.51%2.42%1.70%0.24%1.19%
201750.90%$25,7250.94%$22,9381.01%1.89%-0.12%-2.26%3.54%2.85%-0.72%1.33%
201760.08%$25,7450.81%$23,1240.95%0.79%-2.16%2.96%0.31%0.93%2.23%0.48%
201771.44%$26,1161.85%$23,5511.88%-0.66%2.31%0.75%2.65%5.82%1.24%0.77%
201781.96%$26,6260.97%$23,7790.15%3.41%4.20%-2.72%-0.04%2.35%-0.26%0.68%
20179-0.17%$26,5810.94%$24,0022.44%-2.32%-3.37%8.58%2.36%-0.04%-0.11%-0.05%
2017100.90%$26,8200.76%$24,1842.17%-0.04%-0.75%0.59%1.68%3.28%-1.07%0.19%
2017111.81%$27,3051.34%$24,5083.03%0.74%0.36%3.76%0.69%-0.39%2.66%-0.12%
2017121.56%$27,7301.36%$24,8421.16%1.81%2.11%-0.37%1.35%3.77%-0.14%1.22%
201812.83%$28,5151.80%$25,2895.23%-3.26%3.23%1.33%5.02%8.30%-4.25%-1.23%
20182-3.15%$27,617-4.20%$24,228-3.76%-3.04%-2.08%-4.04%-4.83%-5.90%-7.68%-2.24%
20183-0.20%$27,5620.88%$24,441-1.95%2.86%0.63%1.37%-0.84%0.54%3.88%0.56%
20184-0.49%$27,428-0.36%$24,3530.45%-2.09%-0.95%1.76%1.52%-2.82%0.82%-1.57%
201851.51%$27,8421.14%$24,6302.72%2.01%-1.20%5.87%-1.89%-2.62%3.68%0.52%
20186-0.47%$27,711-0.48%$24,5110.70%0.65%-3.61%0.80%-1.57%-4.54%4.20%-0.49%
201870.78%$27,9261.32%$24,8353.32%-1.44%-2.24%2.62%2.85%3.53%0.60%1.34%
201881.47%$28,3360.29%$24,9083.43%1.31%-2.14%3.14%-2.24%-3.77%2.58%0.02%
20189-0.71%$28,136-1.10%$24,6350.20%-2.86%-0.66%-3.05%0.97%-0.58%-2.64%-0.14%
201810-3.86%$27,050-5.00%$23,402-7.41%-2.93%2.12%-9.94%-8.13%-8.76%-2.93%-2.05%
2018111.51%$27,4591.80%$23,8242.01%1.79%0.34%0.57%0.50%4.90%4.67%-0.36%
201812-2.07%$26,891-3.21%$23,059-9.16%5.85%4.94%-12.38%-5.35%-3.50%-7.96%1.86%
201915.23%$28,2967.03%$24,6818.54%0.38%2.89%12.26%6.63%10.34%11.85%3.37%
201921.35%$28,6790.90%$24,9033.56%-1.38%-0.61%4.13%2.54%-1.53%0.70%-0.20%
201931.52%$29,1151.33%$25,2351.42%5.57%-1.60%-3.91%0.92%1.13%4.21%2.93%
201941.39%$29,5201.39%$25,5873.93%-1.99%-0.66%4.32%2.93%2.35%-0.16%0.44%
20195-1.32%$29,129-2.30%$24,998-6.45%6.84%1.76%-9.98%-5.03%-7.33%0.14%1.65%
201965.98%$30,8715.07%$26,2667.08%0.95%8.00%7.66%5.91%6.20%1.54%3.25%
201970.78%$31,1120.04%$26,2771.41%0.26%0.01%1.30%-1.95%-2.66%1.70%0.25%
201983.49%$32,1981.71%$26,726-2.08%11.04%7.91%-5.14%-1.92%-3.78%3.75%3.88%
20199-0.59%$32,0080.91%$26,9701.78%-2.68%-3.39%5.57%3.16%1.69%1.93%-0.76%
2019101.52%$32,4951.84%$27,4662.11%-1.11%2.56%2.00%3.39%4.18%1.13%0.44%
2019110.98%$32,8140.39%$27,5723.79%-0.41%-3.21%2.71%1.13%-0.09%-1.30%0.47%
2019121.72%$33,3772.26%$28,1952.80%-3.20%3.66%2.84%2.98%7.71%0.76%0.53%
202012.87%$34,3350.07%$28,213-0.06%7.69%4.50%-6.31%-2.82%-6.15%1.23%2.45%
20202-2.80%$33,372-3.70%$27,168-8.00%6.63%-0.64%-10.15%-7.77%-3.78%-7.03%1.09%
20203-5.77%$31,446-11.14%$24,142-13.91%6.38%-0.22%-25.76%-14.11%-15.77%-19.42%-6.31%
202048.94%$34,2567.81%$26,02713.13%1.22%7.26%13.89%5.82%7.35%8.96%4.85%
202053.07%$35,3072.67%$26,7225.40%-1.76%2.59%2.55%5.43%2.97%1.73%2.46%
202061.98%$36,0072.95%$27,5112.29%0.34%2.74%3.58%3.51%6.61%2.41%2.13%
202076.81%$38,4615.06%$28,9035.74%4.44%10.79%2.58%1.94%8.25%3.64%3.10%
202082.44%$39,3981.63%$29,3757.10%-5.05%-0.32%5.07%4.72%2.89%0.44%-1.78%
20209-2.76%$38,309-2.29%$28,703-3.54%0.77%-4.17%-5.18%-2.05%-1.01%-2.68%-0.44%
202010-1.88%$37,589-0.98%$28,421-1.95%-3.39%-0.52%3.66%-3.55%1.41%-3.00%-0.51%
2020114.94%$39,4478.00%$30,69411.80%1.66%-5.41%19.21%14.27%8.99%9.67%3.77%
2020124.01%$41,0284.12%$31,9604.68%-1.23%7.01%7.50%5.01%7.14%2.72%0.15%
20211-1.84%$40,275-0.04%$31,946-0.33%-3.63%-3.22%6.25%-0.78%3.17%0.04%-1.83%
20212-1.34%$39,7360.77%$32,1913.14%-5.73%-6.26%10.80%2.24%0.79%3.43%-2.26%
202130.40%$39,8971.04%$32,5263.65%-5.24%-1.14%5.61%2.51%-0.73%5.15%-1.48%
202144.08%$41,5253.23%$33,5765.04%2.49%3.56%1.69%2.95%1.20%7.86%1.04%
202152.30%$42,4802.32%$34,3560.46%0.00%7.68%3.89%3.48%1.65%0.81%0.62%
202160.31%$42,6140.47%$34,5172.48%4.42%-7.15%-0.71%-1.08%0.95%2.64%2.21%
202172.39%$43,6300.47%$34,6811.74%3.72%2.53%-4.36%0.77%-6.44%4.42%1.42%
202181.37%$44,2261.14%$35,0752.86%-0.34%-0.08%1.82%1.45%1.57%2.15%-0.34%
20219-3.79%$42,550-3.30%$33,919-4.46%-2.91%-3.22%-1.46%-3.26%-3.87%-5.68%-1.51%
2021104.36%$44,4053.18%$34,9976.69%2.46%1.48%2.86%3.18%1.07%7.13%0.53%
202111-0.32%$44,261-1.61%$34,435-1.46%2.77%-0.69%-2.62%-4.53%-4.08%-2.11%-0.12%
2021122.38%$45,3153.10%$35,5023.79%-2.01%3.30%4.12%4.41%1.53%9.69%-0.03%
20221-4.41%$43,317-3.97%$34,094-6.06%-3.91%-1.68%-4.40%-3.63%-0.02%-8.42%-3.59%
202220.02%$43,325-1.13%$33,707-2.49%-1.63%6.12%2.28%-3.43%-4.32%-3.48%-2.13%
202230.82%$43,6780.01%$33,7113.26%-5.45%1.27%0.50%0.52%-3.38%6.27%-2.89%
20224-7.30%$40,492-6.33%$31,576-9.13%-9.42%-2.07%-6.38%-6.74%-6.14%-4.09%-6.70%
20225-1.50%$39,884-0.46%$31,432-0.25%-2.25%-3.26%2.32%2.00%0.61%-4.69%1.87%
20226-4.91%$37,926-5.62%$29,665-8.23%-1.27%-1.57%-8.96%-8.72%-5.14%-7.46%-3.62%
202274.61%$39,6764.45%$30,9849.35%2.43%-2.59%8.53%5.17%-0.35%8.62%4.44%
20228-3.70%$38,208-4.16%$29,696-3.73%-4.56%-2.94%-4.16%-6.12%-1.33%-6.01%-4.43%
20229-7.30%$35,419-8.79%$27,084-9.22%-8.23%-2.89%-10.41%-9.22%-11.54%-12.86%-5.98%
2022102.36%$36,2532.68%$27,8098.11%-5.97%-1.78%14.40%5.89%-1.98%3.51%-0.75%
2022116.50%$38,6098.27%$30,1095.17%7.15%8.49%3.81%13.17%15.59%6.15%6.65%
202212-2.78%$37,537-2.89%$29,241-5.85%-2.63%2.93%-6.49%-1.82%-2.65%-5.03%-1.56%

Risk and Return Metrics

Portfolio return and risk metrics
MetricMaximum Return at 10.00% VolatilityEqual Weighted
Arithmetic Mean (monthly)0.69%0.59%
Arithmetic Mean (annualized)8.63%7.31%
Geometric Mean (monthly)0.65%0.53%
Geometric Mean (annualized)8.09%6.52%
Standard Deviation (monthly)2.89%3.52%
Standard Deviation (annualized)10.00%12.19%
Downside Deviation (monthly)1.82%2.38%
Maximum Drawdown-22.48%-36.98%
Stock Market Correlation0.790.88
Beta(*)0.490.67
Alpha (annualized)3.48%0.52%
R262.91%77.88%
Sharpe Ratio0.720.49
Sortino Ratio1.120.71
Treynor Ratio (%)14.578.91
Calmar Ratio0.180.05
Active Return-0.72%-2.29%
Tracking Error10.14%7.79%
Information Ratio-0.07-0.29
Skewness-0.64-0.73
Excess Kurtosis2.733.44
Historical Value-at-Risk (5%)-3.85%-4.86%
Analytical Value-at-Risk (5%)-4.04%-5.18%
Conditional Value-at-Risk (5%)-6.04%-8.05%
Upside Capture Ratio (%)52.7863.52
Downside Capture Ratio (%)40.5664.38
Safe Withdrawal Rate9.96%9.08%
Perpetual Withdrawal Rate5.22%3.82%
Positive Periods125 out of 204 (61.27%)126 out of 204 (61.76%)
Gain/Loss Ratio1.190.99
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndMaximum Return at 10.00% VolatilityEqual Weighted
Subprime CrisisNov 2007Mar 2009-22.48%-36.98%
COVID-19 StartJan 2020Mar 2020-8.41%-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 monthsNov 20099 months2 years 1 month-22.48%
2Jan 2022Sep 20229 months-21.84%
3Feb 2020Mar 20202 monthsMay 20202 months4 months-8.41%
4Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-6.83%
5Apr 2013Jun 20133 monthsOct 20134 months7 months-6.42%
6Feb 2018Dec 201811 monthsFeb 20192 months1 year 1 month-5.70%
7Aug 2016Nov 20164 monthsFeb 20173 months7 months-5.57%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-4.59%
9Sep 2011Sep 20111 monthOct 20111 month2 months-3.95%
10Sep 2021Sep 20211 monthOct 20211 month2 months-3.79%
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%
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

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
VTIVanguard Total Stock Market ETF8.92%16.01%33.45%-36.98%-50.84%0.550.791.00
TLTiShares 20+ Year Treasury Bond ETF3.57%13.74%33.96%-31.24%-41.64%0.240.39-0.20
GLDSPDR Gold Shares7.25%17.25%30.45%-28.33%-42.91%0.430.700.08
IJSiShares S&P Small-Cap 600 Value ETF8.00%20.96%39.34%-29.39%-54.13%0.420.610.90
EFAiShares MSCI EAFE ETF3.53%17.73%26.95%-41.04%-57.38%0.220.310.88
EEMiShares MSCI Emerging Markets ETF3.52%21.84%68.93%-48.88%-60.44%0.220.320.76
VNQVanguard Real Estate ETF6.31%22.70%40.52%-37.00%-68.30%0.340.470.75
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF3.89%7.97%17.37%-17.93%-23.27%0.380.570.41

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Vanguard Total Stock Market ETF7.05%-19.51%-19.51%6.98%8.68%12.07%0.03%0.03%
iShares 20+ Year Treasury Bond ETF-1.89%-31.24%-31.24%-8.15%-2.74%0.40%0.15%0.15%
SPDR Gold Shares9.68%-0.77%-0.77%5.88%6.53%0.46%0.40%0.40%
iShares S&P Small-Cap 600 Value ETF11.05%-11.33%-11.33%5.91%5.14%10.11%0.18%0.18%
iShares MSCI EAFE ETF17.66%-14.35%-14.35%0.89%1.56%4.44%0.33%0.33%
iShares MSCI Emerging Markets ETF10.30%-20.56%-20.56%-3.59%-2.15%0.57%0.69%0.69%
Vanguard Real Estate ETF4.34%-26.24%-26.24%-0.40%3.65%6.42%0.12%0.12%
iShares iBoxx $ Invmt Grade Corp Bd ETF4.20%-17.93%-17.93%-3.67%0.19%1.86%0.14%0.14%
Trailing returns as of last calendar month ending December 2022

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTGLDIJSEFAEEMVNQLQDMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF1.00-0.210.080.900.880.760.760.410.790.88
TLTiShares 20+ Year Treasury Bond ETF-0.211.000.23-0.30-0.16-0.160.040.550.240.07
GLDSPDR Gold Shares0.080.231.000.000.170.300.120.280.600.37
IJSiShares S&P Small-Cap 600 Value ETF0.90-0.300.001.000.780.680.740.300.640.81
EFAiShares MSCI EAFE ETF0.88-0.160.170.781.000.870.710.470.750.90
EEMiShares MSCI Emerging Markets ETF0.76-0.160.300.680.871.000.610.420.710.86
VNQVanguard Real Estate ETF0.760.040.120.740.710.611.000.490.690.85
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.410.550.280.300.470.420.491.000.630.63

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF$19,804$4,135
TLTiShares 20+ Year Treasury Bond ETF$1,504$1,027
GLDSPDR Gold Shares$6,228$2,628
IJSiShares S&P Small-Cap 600 Value ETF$4,061
EFAiShares MSCI EAFE ETF$1,780
EEMiShares MSCI Emerging Markets ETF$1,372
VNQVanguard Real Estate ETF$3,144
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF$1,094
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
VTIVanguard Total Stock Market ETF64.90%14.49%
TLTiShares 20+ Year Treasury Bond ETF7.31%1.03%
GLDSPDR Gold Shares27.79%6.56%
IJSiShares S&P Small-Cap 600 Value ETF17.43%
EFAiShares MSCI EAFE ETF16.34%
EEMiShares MSCI Emerging Markets ETF19.28%
VNQVanguard Real Estate ETF19.71%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.17%
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

Rolling returns summary
Roll PeriodMaximum Return at 10.00% VolatilityEqual Weighted
AverageHighLowAverageHighLow
1 year8.98%30.64%-22.44%7.46%47.20%-32.87%
3 years9.13%22.45%-1.10%7.18%25.23%-6.98%
5 years9.26%15.81%5.91%7.60%17.64%2.45%
7 years8.93%12.15%6.39%7.42%12.50%4.07%
10 years8.91%11.03%6.06%7.41%11.33%4.51%
15 years8.91%9.87%7.08%6.99%8.14%4.93%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years