Portfolio Optimization

This online 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 1987 - Dec 2016)

Portfolio optimization results with goal to maximize sharpe ratio. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 6.35% to 11.26%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 8.62%
VFIIX Vanguard GNMA Inv 81.23%
VWEHX Vanguard High-Yield Corporate Inv 10.15%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Sharpe Ratio
Start Balance$10,000
End Balance$72,317
CAGR6.82%
Expected Return 6.89%
Stdev3.63%
Best Year19.18%
Worst Year-0.82%
Max. Drawdown -5.66%
Sharpe Ratio (ex-ante)1.01
Sharpe Ratio (ex-post)0.97
Sortino Ratio1.56
US Stock Market Correlation0.51
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The year range is automatically adjusted based on the selected year range and available return data for the specified assets
  • See methodology section of the FAQ for more information on portfolio optimization and its limitations.
  • 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 (1-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results include monthly rebalancing of portfolio assets to match the specified allocation.
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included.
Efficient Frontier Assets
#AssetCAGRExpected Return*Standard DeviationSharpe Ratio*Min. WeightMax. Weight
1Vanguard 500 Index Investor (VFINX)10.01%11.27%15.00%0.5360.00%100.00%
2Vanguard Long-Term Treasury Inv (VUSTX)7.54%8.04%9.76%0.4940.00%100.00%
3Vanguard GNMA Inv (VFIIX)6.28%6.35%3.55%0.8800.00%100.00%
4Vanguard Long-Term Investment-Grade Inv (VWESX)7.91%8.27%8.23%0.6130.00%100.00%
5Vanguard High-Yield Corporate Inv (VWEHX)7.26%7.54%7.10%0.6070.00%100.00%
*Expected return is annualized from historical monthly mean return. Ex ante Sharpe Ratio calculated using historical 1-month treasury bill returns as the risk-free rate (3.23% annualized).
Efficient Frontier Assets
#VFINXVUSTXVFIIXVWESXVWEHXExpected Return*Standard Deviation*Sharpe Ratio*
10.00%0.00%100.00%0.00%0.00%6.35%3.55%0.880
20.00%0.00%95.88%0.00%4.12%6.40%3.49%0.910
30.00%0.00%91.76%0.00%8.24%6.45%3.45%0.934
40.00%0.00%87.64%0.00%12.36%6.50%3.44%0.952
51.06%0.00%86.79%0.00%12.15%6.55%3.44%0.966
62.14%0.00%85.99%0.00%11.86%6.59%3.45%0.977
73.22%0.00%85.20%0.00%11.58%6.64%3.46%0.987
84.30%0.00%84.41%0.00%11.29%6.69%3.48%0.995
95.38%0.00%83.61%0.00%11.00%6.74%3.51%1.001
106.46%0.00%82.82%0.00%10.72%6.79%3.55%1.005
117.54%0.00%82.03%0.00%10.43%6.84%3.59%1.007
128.62%0.00%81.23%0.00%10.15%6.89%3.63%1.007
139.70%0.00%80.44%0.00%9.86%6.94%3.69%1.006
1410.78%0.00%79.64%0.00%9.57%6.98%3.74%1.004
1511.84%0.05%78.80%0.00%9.30%7.03%3.81%1.000
1612.46%1.13%77.05%0.00%9.37%7.08%3.87%0.995
1713.08%2.20%75.29%0.00%9.43%7.13%3.94%0.990
1813.70%3.28%73.53%0.00%9.49%7.18%4.01%0.985
1914.32%4.35%71.77%0.00%9.55%7.23%4.08%0.980
2014.94%5.43%70.02%0.00%9.62%7.28%4.16%0.975
2115.56%6.51%68.26%0.00%9.68%7.33%4.23%0.969
2216.18%7.58%66.50%0.00%9.74%7.38%4.31%0.964
2316.79%8.66%64.75%0.00%9.80%7.43%4.38%0.958
2417.41%9.73%62.99%0.00%9.87%7.47%4.46%0.952
2518.03%10.81%61.23%0.00%9.93%7.52%4.54%0.946
2618.65%11.88%59.47%0.00%9.99%7.57%4.62%0.940
2719.27%12.96%57.72%0.00%10.05%7.62%4.70%0.934
2819.89%14.04%55.96%0.00%10.12%7.67%4.79%0.929
2920.51%15.11%54.20%0.00%10.18%7.72%4.87%0.923
3021.13%16.19%52.44%0.00%10.24%7.77%4.95%0.917
3121.75%17.26%50.69%0.00%10.30%7.82%5.04%0.911
3222.35%18.03%49.02%0.41%10.19%7.87%5.13%0.906
3322.96%18.77%47.35%0.84%10.07%7.92%5.21%0.900
3423.57%19.52%45.68%1.28%9.95%7.97%5.30%0.894
3524.18%20.27%44.02%1.71%9.83%8.02%5.39%0.889
3624.78%21.02%42.35%2.14%9.71%8.07%5.48%0.883
3725.39%21.77%40.68%2.57%9.59%8.11%5.57%0.878
3826.00%22.52%39.01%3.00%9.47%8.16%5.66%0.873
3926.61%23.27%37.35%3.43%9.35%8.21%5.75%0.868
4027.21%24.02%35.68%3.86%9.23%8.26%5.84%0.863
4127.82%24.77%34.01%4.29%9.11%8.31%5.93%0.858
4228.43%25.52%32.35%4.73%8.99%8.36%6.02%0.853
4329.04%26.26%30.68%5.16%8.86%8.41%6.11%0.848
4429.64%27.01%29.01%5.59%8.74%8.46%6.21%0.843
4530.25%27.76%27.34%6.02%8.62%8.51%6.30%0.839
4630.86%28.51%25.68%6.45%8.50%8.56%6.39%0.834
4731.46%29.26%24.01%6.88%8.38%8.61%6.49%0.830
4832.07%30.01%22.34%7.31%8.26%8.66%6.58%0.825
4932.68%30.76%20.68%7.74%8.14%8.71%6.68%0.821
5033.29%31.51%19.01%8.18%8.02%8.76%6.77%0.817
5133.89%32.26%17.34%8.61%7.90%8.81%6.87%0.813
5234.50%33.01%15.67%9.04%7.78%8.86%6.96%0.809
5335.11%33.75%14.01%9.47%7.66%8.91%7.06%0.805
5435.72%34.50%12.34%9.90%7.54%8.96%7.16%0.801
5536.32%35.25%10.67%10.33%7.42%9.01%7.25%0.797
5636.93%36.00%9.01%10.76%7.30%9.06%7.35%0.793
5737.54%36.75%7.34%11.19%7.18%9.11%7.45%0.790
5838.15%37.50%5.67%11.63%7.06%9.16%7.54%0.786
5938.75%38.25%4.00%12.06%6.94%9.21%7.64%0.783
6039.36%39.00%2.34%12.49%6.82%9.26%7.74%0.779
6139.97%39.75%0.67%12.92%6.70%9.31%7.84%0.776
6240.87%39.65%0.00%14.09%5.40%9.36%7.93%0.772
6341.97%38.97%0.00%15.76%3.30%9.40%8.03%0.769
6443.07%38.30%0.00%17.42%1.21%9.45%8.13%0.766
6544.44%38.33%0.00%17.23%0.00%9.50%8.24%0.762
6646.19%39.32%0.00%14.50%0.00%9.55%8.35%0.758
6747.93%40.30%0.00%11.76%0.00%9.60%8.46%0.754
6849.68%41.29%0.00%9.03%0.00%9.65%8.58%0.749
6951.43%42.27%0.00%6.30%0.00%9.70%8.71%0.744
7053.18%43.26%0.00%3.56%0.00%9.75%8.85%0.738
7154.93%44.25%0.00%0.83%0.00%9.80%8.99%0.732
7256.54%43.46%0.00%0.00%0.00%9.85%9.13%0.726
7358.09%41.91%0.00%0.00%0.00%9.90%9.28%0.719
7459.64%40.36%0.00%0.00%0.00%9.96%9.44%0.713
7561.19%38.81%0.00%0.00%0.00%10.01%9.61%0.706
7662.75%37.25%0.00%0.00%0.00%10.06%9.78%0.698
7764.30%35.70%0.00%0.00%0.00%10.11%9.95%0.691
7865.85%34.15%0.00%0.00%0.00%10.16%10.13%0.684
7967.40%32.60%0.00%0.00%0.00%10.21%10.32%0.676
8068.95%31.05%0.00%0.00%0.00%10.26%10.51%0.669
8170.51%29.49%0.00%0.00%0.00%10.31%10.71%0.661
8272.06%27.94%0.00%0.00%0.00%10.36%10.91%0.654
8373.61%26.39%0.00%0.00%0.00%10.41%11.11%0.646
8475.16%24.84%0.00%0.00%0.00%10.46%11.32%0.639
8576.72%23.28%0.00%0.00%0.00%10.51%11.53%0.632
8678.27%21.73%0.00%0.00%0.00%10.56%11.74%0.625
8779.82%20.18%0.00%0.00%0.00%10.61%11.96%0.617
8881.37%18.63%0.00%0.00%0.00%10.66%12.18%0.610
8982.92%17.08%0.00%0.00%0.00%10.71%12.40%0.603
9084.48%15.52%0.00%0.00%0.00%10.76%12.63%0.597
9186.03%13.97%0.00%0.00%0.00%10.81%12.85%0.590
9287.58%12.42%0.00%0.00%0.00%10.86%13.08%0.583
9389.13%10.87%0.00%0.00%0.00%10.91%13.32%0.577
9490.69%9.31%0.00%0.00%0.00%10.96%13.55%0.571
9592.24%7.76%0.00%0.00%0.00%11.01%13.79%0.565
9693.79%6.21%0.00%0.00%0.00%11.06%14.03%0.559
9795.34%4.66%0.00%0.00%0.00%11.11%14.27%0.553
9896.90%3.10%0.00%0.00%0.00%11.16%14.51%0.547
9998.45%1.55%0.00%0.00%0.00%11.21%14.76%0.541
100100.00%0.00%0.00%0.00%0.00%11.27%15.00%0.536
*Ex-ante values shown for portfolio return and volatility. Ex ante Sharpe Ratio calculated using historical 1-month treasury bill returns as the risk-free rate (3.23% annualized).
Annual returns for the configured portfolios
YearInflationMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceVanguard 500 Index Investor (VFINX)Vanguard GNMA Inv (VFIIX)Vanguard High-Yield Corporate Inv (VWEHX)
19874.43%2.87%$10,2874.71%2.15%2.65%
19884.42%9.93%$11,30916.22%8.81%13.56%
19894.65%14.80%$12,98331.36%14.77%1.89%
19906.11%7.46%$13,951-3.32%10.32%-5.85%
19913.06%19.18%$16,62730.22%16.77%29.01%
19922.90%7.66%$17,9017.42%6.85%14.24%
19932.75%7.45%$19,2359.89%5.90%18.24%
19942.67%-0.82%$19,0781.18%-0.95%-1.71%
19952.54%18.92%$22,68637.45%17.04%19.15%
19963.32%7.14%$24,30522.88%5.24%9.55%
19971.70%11.68%$27,14333.19%9.47%11.91%
19981.61%8.91%$29,56228.62%7.14%5.62%
19992.68%2.64%$30,34121.07%0.78%2.49%
20003.39%8.17%$32,820-9.06%11.22%-0.88%
20011.55%5.75%$34,708-12.02%7.94%2.90%
20022.38%5.94%$36,769-22.15%9.68%1.73%
20031.88%6.03%$38,98528.50%2.49%17.20%
20043.26%5.15%$40,99410.74%4.13%8.52%
20053.42%3.43%$42,4014.77%3.33%2.77%
20062.54%5.66%$44,80215.64%4.33%8.24%
20074.08%6.41%$47,6765.39%7.01%2.04%
20080.09%-0.33%$47,519-37.02%7.22%-21.29%
20092.72%10.30%$52,41426.49%5.29%39.09%
20101.50%8.35%$56,78814.91%6.95%12.40%
20112.96%7.26%$60,9091.97%7.69%7.13%
20121.74%4.67%$63,75515.82%2.35%14.36%
20131.50%1.10%$64,45332.18%-2.23%4.54%
20140.76%7.05%$68,99513.51%6.65%4.58%
20150.73%1.12%$69,7701.25%1.33%-1.39%
20162.07%3.65%$72,31711.82%1.85%11.19%
Monthly returns for the configured portfolios
YearMonthMaximum Sharpe Ratio ReturnMaximum Sharpe Ratio BalanceVanguard 500 Index Investor (VFINX)Vanguard GNMA Inv (VFIIX)Vanguard High-Yield Corporate Inv (VWEHX)
198712.66%$10,26613.27%1.41%3.66%
198721.29%$10,3983.97%0.93%1.86%
198730.18%$10,4172.86%-0.17%0.67%
19874-3.42%$10,061-0.99%-3.74%-2.93%
19875-0.22%$10,0381.04%-0.27%-0.95%
198761.74%$10,2135.02%1.40%1.69%
198770.82%$10,2974.91%0.45%0.25%
19878-0.35%$10,2613.84%-0.91%0.60%
19879-3.31%$9,922-2.29%-3.38%-3.67%
1987101.35%$10,055-21.73%4.40%-3.48%
1987110.35%$10,090-8.19%0.91%3.14%
1987121.96%$10,2877.55%1.34%2.13%
198814.32%$10,7324.17%4.44%3.55%
198821.48%$10,8914.59%0.96%2.97%
19883-1.11%$10,770-3.04%-0.99%-0.41%
19884-0.07%$10,7621.01%-0.27%0.64%
19885-0.59%$10,6990.81%-0.81%-0.06%
198862.90%$11,0094.56%2.84%2.04%
19887-0.16%$10,992-0.37%-0.28%0.99%
19888-0.25%$10,964-3.40%0.03%0.17%
198892.41%$11,2284.26%2.40%0.87%
1988102.09%$11,4622.73%2.15%1.01%
198811-1.42%$11,299-1.47%-1.63%0.31%
1988120.09%$11,3091.74%-0.17%0.78%
198912.05%$11,5417.32%1.55%1.62%
19892-0.65%$11,466-2.47%-0.61%0.55%
198930.26%$11,4962.26%0.14%-0.51%
198941.94%$11,7195.18%1.89%-0.40%
198952.93%$12,0624.04%2.96%1.77%
198962.39%$12,350-0.59%2.79%1.74%
198972.27%$12,6319.01%1.80%0.29%
19898-0.69%$12,5431.86%-1.09%0.30%
198990.29%$12,580-0.40%0.56%-1.32%
1989101.43%$12,759-2.34%2.24%-1.86%
1989111.07%$12,8962.04%1.07%0.27%
1989120.68%$12,9832.38%0.64%-0.49%
19901-1.54%$12,784-6.72%-0.92%-2.10%
199020.37%$12,8311.27%0.55%-1.82%
199030.57%$12,9042.61%0.22%1.65%
19904-1.04%$12,769-2.50%-1.05%0.22%
199053.61%$13,2309.69%3.12%2.35%
199061.31%$13,404-0.66%1.48%1.62%
199071.44%$13,597-0.35%1.57%1.91%
19908-2.03%$13,321-9.03%-0.92%-4.97%
19909-0.51%$13,252-4.89%0.64%-6.06%
1990100.72%$13,347-0.41%1.17%-1.99%
1990112.67%$13,7046.44%2.32%2.32%
1990121.81%$13,9512.72%1.77%1.33%
199111.54%$14,1674.35%1.36%0.65%
199121.81%$14,4237.12%0.81%5.26%
199131.07%$14,5772.41%0.61%3.63%
199141.07%$14,7330.20%0.91%3.09%
199151.16%$14,9044.27%0.91%0.54%
19916-0.30%$14,860-4.56%-0.11%1.84%
199172.04%$15,1634.63%1.72%2.41%
199182.08%$15,4782.33%2.10%1.65%
199191.64%$15,732-1.67%1.98%1.78%
1991101.55%$15,9751.33%1.47%2.34%
1991110.16%$16,000-4.01%0.49%1.05%
1991123.92%$16,62711.41%3.41%1.60%
19921-1.47%$16,382-1.88%-1.92%2.41%
199221.14%$16,5691.24%1.06%1.68%
19923-0.67%$16,458-1.93%-0.71%0.71%
199241.00%$16,6222.91%0.85%0.58%
199251.77%$16,9160.48%1.93%1.53%
199261.16%$17,111-1.49%1.43%1.24%
199271.48%$17,3644.04%1.12%2.17%
199281.01%$17,539-2.07%1.31%1.21%
199290.89%$17,6951.17%0.82%1.21%
199210-0.91%$17,5340.33%-0.85%-2.50%
1992110.98%$17,7053.40%0.61%1.89%
1992121.10%$17,9011.21%1.06%1.34%
199311.45%$18,1600.81%1.35%2.81%
199321.04%$18,3491.36%0.86%2.22%
199330.70%$18,4772.11%0.44%1.54%
199340.16%$18,505-2.42%0.34%0.88%
199350.69%$18,6332.65%0.41%1.28%
199360.98%$18,8170.27%0.90%2.29%
199370.45%$18,902-0.42%0.49%0.86%
199380.54%$19,0043.79%0.12%1.11%
19939-0.01%$19,001-0.79%0.03%0.36%
1993100.62%$19,1192.08%0.21%2.62%
199311-0.31%$19,060-1.00%-0.27%-0.02%
1993120.92%$19,2351.22%0.88%0.96%
199411.05%$19,4383.38%0.66%2.20%
19942-0.70%$19,302-2.71%-0.45%-0.92%
19943-2.84%$18,753-4.39%-2.48%-4.43%
19944-0.53%$18,6541.29%-0.59%-1.62%
199450.44%$18,7361.60%0.36%0.10%
19946-0.24%$18,692-2.45%-0.13%0.77%
199471.86%$19,0393.28%1.83%0.90%
199480.68%$19,1694.08%0.30%0.90%
19949-1.21%$18,938-2.45%-1.22%-0.05%
199410-0.04%$18,9292.25%-0.30%0.10%
199411-0.41%$18,851-3.65%0.01%-1.02%
1994121.20%$19,0781.46%1.13%1.51%
199511.98%$19,4552.58%1.99%1.36%
199522.65%$19,9703.88%2.48%2.92%
199530.69%$20,1082.95%0.42%0.91%
199541.74%$20,4572.94%1.53%2.37%
199553.13%$21,0983.95%3.12%2.50%
199560.74%$21,2532.31%0.60%0.48%
199570.45%$21,3493.30%0.01%1.54%
199580.96%$21,5550.26%1.10%0.49%
199591.29%$21,8344.21%0.99%1.24%
1995100.99%$22,051-0.36%1.09%1.40%
1995111.42%$22,3644.38%1.18%0.85%
1995121.44%$22,6861.93%1.36%1.64%
199611.05%$22,9243.39%0.77%1.24%
19962-0.77%$22,7480.92%-1.05%0.05%
19963-0.41%$22,6560.98%-0.49%-0.92%
19964-0.21%$22,6081.46%-0.39%-0.18%
199650.02%$22,6122.54%-0.29%0.37%
199661.20%$22,8830.38%1.40%0.21%
19967-0.03%$22,875-4.42%0.30%1.03%
199680.33%$22,9512.10%0.01%1.42%
199692.09%$23,4305.61%1.72%2.05%
1996102.10%$23,9212.76%2.19%0.76%
1996112.14%$24,4327.56%1.57%2.02%
199612-0.52%$24,305-1.96%-0.57%1.14%
199711.17%$24,5906.22%0.69%0.75%
199720.45%$24,7020.79%0.30%1.43%
19973-1.49%$24,335-4.14%-1.15%-1.92%
199742.00%$24,8235.96%1.70%1.12%
199751.58%$25,2166.09%0.98%2.56%
199761.54%$25,6064.45%1.28%1.22%
199772.43%$26,2297.97%1.85%2.38%
19978-0.66%$26,056-5.61%-0.20%-0.14%
199791.74%$26,5095.47%1.36%1.58%
1997100.61%$26,670-3.35%1.06%0.35%
1997110.70%$26,8574.60%0.29%0.70%
1997121.07%$27,1431.72%0.96%1.35%
199811.14%$27,4521.11%1.05%1.86%
199820.82%$27,6767.19%0.18%0.51%
199830.83%$27,9045.10%0.39%0.70%
199840.57%$28,0631.01%0.56%0.31%
199850.52%$28,208-1.74%0.75%0.57%
199860.70%$28,4064.07%0.36%0.55%
199870.44%$28,531-1.05%0.55%0.81%
19988-0.81%$28,301-14.47%1.03%-3.87%
199891.70%$28,7836.41%1.22%1.60%
1998100.36%$28,8888.16%-0.22%-1.60%
1998111.47%$29,3116.07%0.63%4.23%
1998120.85%$29,5625.81%0.44%-0.00%
199911.11%$29,8904.20%0.72%1.59%
19992-0.92%$29,617-3.12%-0.71%-0.65%
199930.94%$29,8944.00%0.63%0.81%
199940.82%$30,1393.85%0.44%1.30%
19995-1.04%$29,827-2.39%-0.82%-1.60%
19996-0.16%$29,7785.56%-0.73%-0.49%
19997-0.78%$29,544-3.13%-0.64%0.05%
19998-0.26%$29,468-0.50%-0.14%-1.01%
199991.30%$29,850-2.74%1.88%0.02%
1999101.01%$30,1526.33%0.56%0.12%
1999110.39%$30,2712.02%0.06%1.66%
1999120.23%$30,3415.98%-0.44%0.71%
20001-1.28%$29,952-5.03%-0.95%-0.77%
200021.00%$30,251-1.91%1.41%0.14%
200032.13%$30,8969.76%1.70%-0.91%
20004-0.29%$30,806-3.01%-0.13%0.74%
200050.01%$30,808-2.04%0.38%-1.20%
200061.85%$31,3772.49%1.70%2.47%
200070.37%$31,495-1.49%0.47%1.18%
200081.98%$32,1196.19%1.58%1.60%
200090.28%$32,208-5.29%1.07%-1.35%
2000100.24%$32,286-0.43%0.57%-1.79%
2000110.24%$32,364-7.88%1.56%-3.46%
2000121.41%$32,8200.50%1.35%2.66%
200112.12%$33,5163.55%1.63%4.82%
20012-0.28%$33,424-9.14%0.55%0.67%
20013-0.23%$33,346-6.36%0.54%-1.25%
200140.70%$33,5807.77%0.06%-0.13%
200150.73%$33,8250.65%0.73%0.77%
20016-0.30%$33,724-2.45%0.24%-2.80%
200171.58%$34,255-1.00%1.89%1.23%
200180.13%$34,299-6.27%0.71%0.90%
20019-0.07%$34,277-8.09%1.37%-4.76%
2001101.43%$34,7661.90%1.36%1.59%
2001110.13%$34,8107.65%-1.01%2.82%
200112-0.29%$34,7080.87%-0.37%-0.66%
200210.82%$34,994-1.47%1.08%0.75%
200220.70%$35,239-1.94%1.17%-0.79%
20023-0.53%$35,0523.74%-1.22%1.35%
200241.21%$35,478-6.07%1.95%1.48%
200250.44%$35,635-0.75%0.68%-0.41%
20026-0.12%$35,592-7.13%0.97%-2.87%
200270.02%$35,600-7.72%1.32%-3.78%
200280.99%$35,9530.65%0.90%1.97%
20029-0.21%$35,877-10.87%1.06%-1.36%
2002100.90%$36,1988.78%0.14%0.20%
2002111.01%$36,5635.88%0.07%4.41%
2002120.56%$36,769-5.89%1.19%1.05%
200310.09%$36,803-2.62%0.20%1.56%
200320.65%$37,041-1.52%0.80%1.30%
200330.25%$37,1350.96%0.04%1.36%
200341.41%$37,6608.25%0.41%3.64%
200350.80%$37,9625.26%0.39%0.33%
200360.47%$38,1391.26%0.20%1.92%
20037-2.51%$37,1811.74%-3.08%-1.60%
200381.04%$37,5671.93%0.97%0.83%
200391.74%$38,222-1.07%2.00%2.11%
2003100.25%$38,3185.64%-0.47%1.45%
2003110.51%$38,5140.86%0.40%1.10%
2003121.22%$38,9855.22%0.69%2.07%
200410.73%$39,2701.82%0.59%0.93%
200420.63%$39,5161.38%0.59%0.26%
200430.27%$39,622-1.51%0.40%0.77%
20044-1.74%$38,933-1.58%-1.89%-0.66%
20045-0.21%$38,8511.36%-0.20%-1.60%
200461.00%$39,2421.93%0.87%1.26%
200470.61%$39,479-3.31%0.96%1.11%
200481.41%$40,0360.38%1.46%1.91%
200490.30%$40,1551.07%0.10%1.22%
2004101.00%$40,5551.51%0.85%1.71%
2004110.14%$40,6114.05%-0.29%0.27%
2004120.94%$40,9943.39%0.66%1.08%
200510.39%$41,153-2.45%0.76%-0.17%
20052-0.01%$41,1492.09%-0.38%1.16%
20053-0.65%$40,880-1.76%-0.28%-2.68%
200540.57%$41,112-1.91%0.97%-0.55%
200551.17%$41,5923.17%0.86%1.90%
200560.37%$41,7440.13%0.28%1.22%
200570.09%$41,7833.71%-0.39%0.92%
200580.65%$42,055-0.91%0.87%0.25%
20059-0.38%$41,8930.79%-0.49%-0.56%
200510-0.60%$41,643-1.68%-0.49%-0.54%
2005110.66%$41,9203.76%0.30%0.91%
2005121.15%$42,4010.02%1.29%0.93%
200610.58%$42,6452.65%0.31%0.92%
200620.28%$42,7630.26%0.22%0.70%
20063-0.43%$42,5801.23%-0.65%-0.04%
20064-0.16%$42,5131.33%-0.37%0.26%
20065-0.50%$42,299-2.90%-0.27%-0.37%
20066-0.08%$42,2640.13%-0.07%-0.40%
200671.22%$42,7780.61%1.34%0.78%
200681.67%$43,4942.36%1.63%1.44%
200690.86%$43,8662.56%0.63%1.25%
2006100.88%$44,2543.25%0.63%0.94%
2006111.07%$44,7271.89%0.92%1.56%
2006120.17%$44,8021.39%-0.06%0.93%
200710.14%$44,8661.49%-0.06%0.60%
200720.98%$45,305-1.97%1.22%1.51%
200730.22%$45,4051.11%0.14%0.13%
200740.86%$45,7954.42%0.43%1.24%
20075-0.08%$45,7583.48%-0.55%0.61%
20076-0.82%$45,382-1.68%-0.55%-2.27%
200770.08%$45,420-3.08%0.84%-3.30%
200781.32%$46,0201.50%1.24%1.84%
200791.28%$46,6113.72%0.84%2.80%
2007101.02%$47,0851.58%1.03%0.46%
2007111.23%$47,666-4.19%2.20%-1.87%
2007120.02%$47,676-0.70%0.04%0.47%
200810.54%$47,933-6.02%1.39%-0.72%
200820.07%$47,965-3.25%0.61%-1.46%
200830.11%$48,019-0.44%0.21%-0.22%
200840.64%$48,3294.85%-0.18%3.65%
20085-0.44%$48,1161.29%-0.65%-0.22%
20086-1.01%$47,633-8.44%0.03%-3.01%
20087-0.16%$47,558-0.83%0.04%-1.13%
200881.02%$48,0421.45%1.02%0.67%
20089-0.88%$47,617-8.91%0.62%-6.13%
200810-4.25%$45,593-16.79%-1.53%-15.39%
2008111.82%$46,421-7.17%3.77%-6.22%
2008122.37%$47,5191.07%1.74%8.46%
20091-0.22%$47,415-8.41%-0.09%5.71%
20092-0.83%$47,020-10.66%0.47%-2.89%
200932.25%$48,0788.76%1.60%1.95%
200941.91%$48,9989.56%0.36%7.83%
200951.06%$49,5185.62%0.17%4.35%
200960.17%$49,6030.22%-0.03%1.70%
200972.05%$50,6217.58%1.00%5.79%
200980.76%$51,0063.60%0.52%0.29%
200991.37%$51,7043.72%0.77%4.17%
2009100.45%$51,937-1.87%0.55%1.60%
2009111.69%$52,8165.98%1.37%0.65%
200912-0.76%$52,4141.95%-1.49%2.76%
201010.88%$52,873-3.60%1.36%0.83%
201020.55%$53,1623.09%0.34%0.05%
201030.98%$53,6856.01%0.24%2.70%
201040.85%$54,1401.58%0.66%1.72%
201050.09%$54,187-8.01%1.38%-3.42%
201060.82%$54,631-5.24%1.35%1.77%
201071.75%$55,5907.00%0.99%3.42%
20108-0.04%$55,566-4.53%0.39%0.28%
201090.78%$55,9988.92%-0.33%2.76%
2010101.45%$56,8103.79%1.11%2.20%
201011-0.25%$56,6700.00%-0.10%-1.66%
2010120.21%$56,7886.67%-0.62%1.32%
201110.55%$57,1012.36%0.18%2.01%
201120.63%$57,4643.42%0.26%1.25%
201130.17%$57,5610.03%0.17%0.28%
201141.54%$58,4462.95%1.38%1.61%
201151.00%$59,033-1.15%1.28%0.59%
20116-0.24%$58,890-1.67%0.00%-0.96%
201170.87%$59,400-2.05%1.10%1.46%
201180.54%$59,721-5.45%1.64%-3.19%
20119-0.57%$59,379-7.04%0.28%-1.91%
2011101.57%$60,31010.91%0.10%5.39%
2011110.13%$60,389-0.23%0.44%-2.05%
2011120.86%$60,9091.02%0.61%2.75%
201211.02%$61,5334.46%0.43%2.87%
201220.47%$61,8234.31%-0.11%1.90%
201230.35%$62,0383.28%0.14%-0.47%
201240.53%$62,368-0.64%0.59%1.04%
20125-0.29%$62,187-6.02%0.41%-0.99%
201260.62%$62,5744.11%0.07%2.08%
201270.88%$63,1271.37%0.68%2.07%
201280.45%$63,4142.24%0.21%0.86%
201290.58%$63,7812.58%0.29%1.17%
201210-0.48%$63,478-1.86%-0.52%1.01%
2012110.12%$63,5560.56%0.01%0.66%
2012120.31%$63,7550.90%0.12%1.34%
201310.06%$63,7955.18%-0.56%0.67%
201320.52%$64,1241.34%0.46%0.29%
201330.55%$64,4753.74%0.17%0.82%
201340.85%$65,0241.91%0.64%1.61%
20135-1.82%$63,8382.33%-2.39%-0.81%
20136-1.27%$63,030-1.35%-1.05%-2.96%
201370.38%$63,2675.07%-0.30%1.85%
20138-0.60%$62,888-2.91%-0.30%-1.02%
201391.77%$64,0033.12%1.73%0.99%
2013101.28%$64,8204.59%0.77%2.51%
201311-0.23%$64,6743.03%-0.64%0.30%
201312-0.34%$64,4532.51%-0.73%0.32%
201411.44%$65,379-3.47%2.05%0.66%
201420.85%$65,9324.56%0.32%1.92%
20143-0.19%$65,8070.82%-0.34%0.14%
201440.85%$66,3680.72%0.90%0.61%
201451.17%$67,1412.33%1.07%0.95%
201460.56%$67,5202.05%0.40%0.61%
20147-0.66%$67,072-1.39%-0.52%-1.17%
201481.37%$67,9893.98%1.06%1.62%
20149-0.51%$67,639-1.41%-0.25%-1.84%
2014101.27%$68,4982.42%1.06%1.97%
2014110.64%$68,9372.68%0.57%-0.54%
2014120.08%$68,995-0.26%0.18%-0.37%
201510.41%$69,278-3.02%0.75%0.64%
201520.48%$69,6135.74%-0.25%1.93%
201530.22%$69,768-1.59%0.51%-0.55%
201540.33%$69,9950.95%0.18%0.95%
20155-0.02%$69,9811.27%-0.20%0.30%
20156-0.92%$69,340-1.93%-0.75%-1.39%
201570.66%$69,8002.08%0.56%0.29%
20158-0.68%$69,323-6.04%-0.09%-0.89%
201590.11%$69,401-2.49%0.67%-2.12%
2015100.95%$70,0578.42%-0.08%2.77%
201511-0.11%$69,9790.29%0.01%-1.44%
201512-0.30%$69,770-1.59%0.02%-1.76%
201610.48%$70,102-4.98%1.24%-0.99%
201620.28%$70,300-0.15%0.31%0.46%
201631.14%$71,1046.78%0.33%2.85%
201640.46%$71,4320.37%0.20%2.60%
201650.31%$71,6511.78%0.19%-0.05%
201660.70%$72,1520.25%0.74%0.80%
201670.73%$72,6763.68%0.25%2.03%
201680.25%$72,8550.13%0.08%1.66%
201690.36%$73,1140.01%0.36%0.62%
201610-0.29%$72,901-1.83%-0.20%0.28%
201611-1.13%$72,0743.70%-1.67%-0.91%
2016120.34%$72,3171.96%0.03%1.39%
Portfolio return and risk metrics
MetricMaximum Sharpe Ratio
Arithmetic Mean (monthly)0.56%
Arithmetic Mean (annualized)6.89%
Geometric Mean (monthly)0.55%
Geometric Mean (annualized)6.82%
Volatility (monthly)1.05%
Volatility (annualized)3.63%
Downside Deviation (monthly)0.53%
Max. Drawdown-5.66%
US Market Correlation0.51
Beta(*)0.12
Alpha (annualized)5.36%
R226.41%
Sharpe Ratio0.97
Sortino Ratio1.56
Treynor Ratio (%)28.47
Calmar Ratio2.75
Active Return-3.12%
Tracking Error13.69%
Information Ratio-0.23
Skewness-0.39
Excess Kurtosis2.45
Historical Value-at-Risk (5%)-1.04%
Analytical Value-at-Risk (5%)-1.17%
Conditional Value-at-Risk (5%)-1.94%
Upside Capture Ratio (%)24.33
Downside Capture Ratio (%)1.65
Sustainable Withdrawal Rate6.32%
Positive Periods266 out of 360 (73.89%)
Gain/Loss Ratio1.42
* 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 Sharpe Ratio
Black Monday PeriodSep 1987Nov 1987-3.31%
Asian CrisisJul 1997Jan 1998-0.66%
Russian Debt DefaultJul 1998Oct 1998-0.81%
Dotcom CrashMar 2000Oct 2002-0.53%
Subprime CrisisNov 2007Mar 2009-5.66%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2008Oct 20086 monthsApr 20096 months1 year-5.66%
2Apr 1987Sep 19876 monthsJan 19884 months10 months-4.75%
3Feb 1994Apr 19943 monthsJan 19959 months1 year-4.03%
4May 2013Aug 20134 monthsJan 20145 months9 months-3.28%
5Aug 1990Sep 19902 monthsNov 19902 months4 months-2.53%
6Jul 2003Jul 20031 monthSep 20032 months3 months-2.51%
7May 1999Aug 19994 monthsOct 19992 months6 months-2.23%
8Apr 2004May 20042 monthsAug 20043 months5 months-1.95%
9Mar 1988May 19883 monthsJun 19881 month4 months-1.77%
10Jan 1990Apr 19904 monthsMay 19901 month5 months-1.65%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor10.01%15.00%37.45%-37.02%-50.97%0.500.720.99
VFIIXVanguard GNMA Inv6.28%3.55%17.04%-2.23%-6.52%0.861.390.05
VWEHXVanguard High-Yield Corporate Inv7.26%7.10%39.09%-21.29%-28.90%0.570.800.62

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVFIIXVWEHXMaximum Sharpe Ratio
VFINXVanguard 500 Index Investor-0.080.590.53
VFIIXVanguard GNMA Inv0.08-0.250.87
VWEHXVanguard High-Yield Corporate Inv0.590.25-0.61

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Sharpe Ratio
VFINXVanguard 500 Index Investor18.99%
VFIIXVanguard GNMA Inv69.02%
VWEHXVanguard High-Yield Corporate Inv11.99%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year6.92%19.18%-0.82%
3 years7.06%13.71%3.05%
5 years7.05%11.72%3.49%
7 years6.96%10.46%4.59%
10 years6.87%10.19%4.86%
15 years6.76%8.86%5.02%
Result statistics are based on annualized rolling returns over full calendar year periods