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 2006 - Nov 2018)

Portfolio optimization results with goal to minimize volatility subject to 10.00% targeted annual return. The possible range of expected annual portfolio returns for the given period is 4.89% to 10.39%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Minimum Volatility at 10.00% Return
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 54.90%
IJS iShares S&P Small-Cap 600 Value ETF 40.74%
GLD SPDR Gold Shares 4.36%
Save portfolio »
Equal Weighted
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 12.50%
IJS iShares S&P Small-Cap 600 Value ETF 12.50%
EFA iShares MSCI EAFE ETF 12.50%
EEM iShares MSCI Emerging Markets ETF 12.50%
VNQ Vanguard Real Estate ETF 12.50%
TLT iShares 20+ Year Treasury Bond ETF 12.50%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 12.50%
GLD SPDR Gold Shares 12.50%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMinimum Volatility at 10.00% ReturnEqual Weighted
Start Balance$10,000$10,000
End Balance$29,487$23,824
CAGR8.73%6.95%
Expected Return 10.00% 7.69%
Stdev15.21%11.67%
Best Year32.40%23.38%
Worst Year-32.22%-21.23%
Max. Drawdown -49.17% -36.98%
Sharpe Ratio (ex-ante)0.590.57
Sharpe Ratio (ex-post)0.560.54
Sortino Ratio0.810.80
US Stock Market Correlation0.980.87
   
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
  • The annual results for 2018 are based on full calendar months from January to November
  • 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 Total Stock Market ETF (VTI)8.71%9.85%14.43%0.6080.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)8.49%10.40%18.69%0.4990.00%100.00%
3iShares MSCI EAFE ETF (EFA)3.29%4.91%17.48%0.2190.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)4.48%7.19%22.59%0.2710.00%100.00%
5Vanguard Real Estate ETF (VNQ)7.06%10.08%23.27%0.3870.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)5.26%6.16%13.22%0.3850.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)4.62%4.89%7.29%0.5240.00%100.00%
8SPDR Gold Shares (GLD)6.44%8.17%18.07%0.3930.00%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 (1.07% annualized).
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return*Standard Deviation*Sharpe Ratio*
10.00%0.00%0.08%0.00%0.00%0.00%99.92%0.00%4.89%7.29%0.524
20.00%0.00%1.23%0.00%0.00%0.00%97.10%1.68%4.94%7.24%0.535
30.51%0.00%0.77%0.00%0.00%0.00%96.13%2.60%5.00%7.21%0.545
41.53%0.00%0.00%0.00%0.00%0.00%95.72%2.75%5.05%7.18%0.555
52.35%0.00%0.00%0.00%0.00%0.72%94.02%2.92%5.11%7.15%0.565
63.17%0.00%0.00%0.00%0.00%1.43%92.32%3.09%5.16%7.12%0.575
73.99%0.00%0.00%0.00%0.00%2.14%90.62%3.26%5.22%7.09%0.585
84.80%0.00%0.00%0.00%0.00%2.85%88.92%3.43%5.27%7.07%0.594
95.62%0.00%0.00%0.00%0.00%3.56%87.22%3.59%5.33%7.04%0.604
106.44%0.00%0.00%0.00%0.00%4.27%85.52%3.76%5.38%7.02%0.614
117.26%0.00%0.00%0.00%0.00%4.99%83.82%3.93%5.43%7.00%0.623
128.08%0.00%0.00%0.00%0.00%5.70%82.11%4.10%5.49%6.98%0.633
138.90%0.00%0.00%0.00%0.00%6.41%80.41%4.27%5.54%6.96%0.642
149.72%0.00%0.00%0.00%0.00%7.12%78.71%4.44%5.60%6.95%0.651
1510.54%0.00%0.00%0.00%0.00%7.83%77.01%4.61%5.65%6.94%0.661
1611.36%0.00%0.00%0.00%0.00%8.55%75.31%4.78%5.71%6.92%0.670
1712.18%0.00%0.00%0.00%0.00%9.26%73.61%4.95%5.76%6.91%0.679
1813.00%0.00%0.00%0.00%0.00%9.97%71.91%5.12%5.82%6.90%0.687
1913.82%0.00%0.00%0.00%0.00%10.68%70.21%5.29%5.87%6.90%0.696
2014.64%0.00%0.00%0.00%0.00%11.39%68.51%5.46%5.93%6.89%0.704
2115.46%0.00%0.00%0.00%0.00%12.10%66.80%5.63%5.98%6.89%0.713
2216.28%0.00%0.00%0.00%0.00%12.82%65.10%5.80%6.04%6.89%0.721
2317.10%0.00%0.00%0.00%0.00%13.53%63.40%5.97%6.09%6.89%0.729
2417.92%0.00%0.00%0.00%0.00%14.24%61.70%6.14%6.15%6.89%0.737
2518.74%0.00%0.00%0.00%0.00%14.95%60.00%6.31%6.20%6.89%0.744
2619.56%0.00%0.00%0.00%0.00%15.66%58.30%6.48%6.26%6.90%0.752
2720.38%0.00%0.00%0.00%0.00%16.37%56.60%6.65%6.31%6.90%0.759
2821.20%0.00%0.00%0.00%0.00%17.09%54.90%6.82%6.37%6.91%0.766
2922.02%0.00%0.00%0.00%0.00%17.80%53.19%6.99%6.42%6.92%0.773
3022.84%0.00%0.00%0.00%0.00%18.51%51.49%7.16%6.48%6.93%0.780
3123.66%0.00%0.00%0.00%0.00%19.22%49.79%7.33%6.53%6.95%0.786
3224.48%0.00%0.00%0.00%0.00%19.93%48.09%7.50%6.59%6.96%0.792
3325.30%0.00%0.00%0.00%0.00%20.65%46.39%7.67%6.64%6.98%0.798
3426.12%0.00%0.00%0.00%0.00%21.36%44.69%7.84%6.70%7.00%0.804
3526.94%0.00%0.00%0.00%0.00%22.07%42.99%8.01%6.75%7.02%0.809
3627.76%0.00%0.00%0.00%0.00%22.78%41.29%8.18%6.81%7.04%0.815
3728.58%0.00%0.00%0.00%0.00%23.49%39.59%8.35%6.86%7.06%0.820
3829.40%0.00%0.00%0.00%0.00%24.20%37.88%8.52%6.92%7.09%0.825
3930.22%0.00%0.00%0.00%0.00%24.92%36.18%8.68%6.97%7.11%0.830
4031.04%0.00%0.00%0.00%0.00%25.63%34.48%8.85%7.03%7.14%0.834
4131.86%0.00%0.00%0.00%0.00%26.34%32.78%9.02%7.08%7.17%0.838
4232.67%0.00%0.00%0.00%0.00%27.05%31.08%9.19%7.14%7.20%0.842
4333.49%0.00%0.00%0.00%0.00%27.76%29.38%9.36%7.19%7.24%0.846
4434.31%0.00%0.00%0.00%0.00%28.47%27.68%9.53%7.25%7.27%0.850
4535.13%0.00%0.00%0.00%0.00%29.19%25.98%9.70%7.30%7.30%0.853
4635.95%0.00%0.00%0.00%0.00%29.90%24.28%9.87%7.36%7.34%0.857
4736.77%0.00%0.00%0.00%0.00%30.61%22.57%10.04%7.42%7.38%0.860
4837.59%0.00%0.00%0.00%0.00%31.32%20.87%10.21%7.47%7.42%0.863
4938.41%0.00%0.00%0.00%0.00%32.03%19.17%10.38%7.53%7.46%0.865
5039.23%0.00%0.00%0.00%0.00%32.75%17.47%10.55%7.58%7.50%0.868
5140.05%0.00%0.00%0.00%0.00%33.46%15.77%10.72%7.64%7.55%0.870
5240.87%0.00%0.00%0.00%0.00%34.17%14.07%10.89%7.69%7.59%0.872
5341.69%0.00%0.00%0.00%0.00%34.88%12.37%11.06%7.75%7.64%0.874
5442.51%0.00%0.00%0.00%0.00%35.59%10.67%11.23%7.81%7.69%0.876
5543.33%0.00%0.00%0.00%0.00%36.30%8.97%11.40%7.86%7.74%0.878
5644.15%0.00%0.00%0.00%0.00%37.02%7.26%11.57%7.92%7.79%0.879
5744.97%0.00%0.00%0.00%0.00%37.73%5.56%11.74%7.97%7.84%0.881
5845.79%0.00%0.00%0.00%0.00%38.44%3.86%11.91%8.03%7.89%0.882
5946.61%0.00%0.00%0.00%0.00%39.15%2.16%12.08%8.08%7.94%0.883
6047.43%0.00%0.00%0.00%0.00%39.86%0.46%12.25%8.14%8.00%0.884
6148.62%0.00%0.00%0.00%0.00%38.84%0.00%12.53%8.20%8.06%0.884
6249.95%0.00%0.00%0.00%0.00%37.18%0.00%12.86%8.25%8.13%0.883
6351.28%0.00%0.00%0.00%0.00%35.52%0.00%13.19%8.31%8.21%0.881
6452.62%0.00%0.00%0.00%0.00%33.86%0.00%13.52%8.36%8.31%0.878
6553.95%0.00%0.00%0.00%0.00%32.20%0.00%13.85%8.42%8.42%0.873
6655.28%0.00%0.00%0.00%0.00%30.54%0.00%14.18%8.48%8.54%0.867
6756.61%0.00%0.00%0.00%0.00%28.88%0.00%14.51%8.53%8.67%0.860
6857.94%0.00%0.00%0.00%0.00%27.22%0.00%14.84%8.59%8.81%0.853
6959.27%0.00%0.00%0.00%0.00%25.56%0.00%15.17%8.64%8.96%0.845
7060.60%0.00%0.00%0.00%0.00%23.90%0.00%15.50%8.70%9.13%0.836
7161.93%0.00%0.00%0.00%0.00%22.24%0.00%15.83%8.76%9.30%0.827
7263.26%0.00%0.00%0.00%0.00%20.58%0.00%16.15%8.81%9.48%0.817
7364.07%0.45%0.00%0.00%0.00%18.98%0.00%16.50%8.87%9.66%0.807
7464.84%0.93%0.00%0.00%0.00%17.38%0.00%16.85%8.92%9.86%0.797
7565.62%1.40%0.00%0.00%0.00%15.78%0.00%17.20%8.98%10.06%0.786
7666.39%1.88%0.00%0.00%0.00%14.18%0.00%17.55%9.04%10.27%0.776
7767.17%2.35%0.00%0.00%0.00%12.58%0.00%17.90%9.09%10.48%0.765
7867.94%2.83%0.00%0.00%0.00%10.98%0.00%18.25%9.15%10.70%0.755
7968.72%3.30%0.00%0.00%0.00%9.37%0.00%18.60%9.21%10.93%0.744
8069.50%3.78%0.00%0.00%0.00%7.77%0.00%18.95%9.26%11.16%0.734
8170.27%4.26%0.00%0.00%0.00%6.17%0.00%19.30%9.32%11.40%0.724
8271.05%4.73%0.00%0.00%0.00%4.57%0.00%19.65%9.38%11.64%0.714
8371.82%5.21%0.00%0.00%0.00%2.97%0.00%20.00%9.43%11.88%0.704
8472.60%5.68%0.00%0.00%0.00%1.37%0.00%20.35%9.49%12.13%0.694
8572.94%6.70%0.00%0.00%0.00%0.00%0.00%20.36%9.54%12.38%0.684
8670.70%10.93%0.00%0.00%0.00%0.00%0.00%18.37%9.60%12.65%0.674
8768.45%15.16%0.00%0.00%0.00%0.00%0.00%16.38%9.66%12.95%0.663
8866.21%19.40%0.00%0.00%0.00%0.00%0.00%14.39%9.71%13.27%0.651
8963.97%23.63%0.00%0.00%0.00%0.00%0.00%12.40%9.77%13.62%0.639
9061.73%27.86%0.00%0.00%0.00%0.00%0.00%10.41%9.83%13.98%0.626
9159.48%32.09%0.00%0.00%0.00%0.00%0.00%8.42%9.88%14.37%0.613
9257.24%36.33%0.00%0.00%0.00%0.00%0.00%6.43%9.94%14.77%0.600
9355.00%40.56%0.00%0.00%0.00%0.00%0.00%4.44%10.00%15.19%0.588
9452.76%44.79%0.00%0.00%0.00%0.00%0.00%2.45%10.05%15.62%0.575
9550.51%49.02%0.00%0.00%0.00%0.00%0.00%0.46%10.11%16.07%0.562
9641.95%58.05%0.00%0.00%0.00%0.00%0.00%0.00%10.17%16.54%0.550
9731.46%68.54%0.00%0.00%0.00%0.00%0.00%0.00%10.22%17.04%0.537
9820.98%79.02%0.00%0.00%0.00%0.00%0.00%0.00%10.28%17.56%0.524
9910.49%89.51%0.00%0.00%0.00%0.00%0.00%0.00%10.34%18.11%0.512
1000.00%100.00%0.00%0.00%0.00%0.00%0.00%0.00%10.40%18.69%0.499
*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 (1.07% annualized).
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Market ETF (VTI)iShares S&P Small-Cap 600 Value ETF (IJS)SPDR Gold Shares (GLD)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)Vanguard Real Estate ETF (VNQ)iShares 20+ Year Treasury Bond ETF (TLT)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
Minimum Volatility at 10.00% ReturnEqual WeightedMinimum Volatility at 10.00% ReturnEqual Weighted
20062.54%17.61%19.39%$11,761$11,93915.69%19.37%22.55%25.81%31.19%35.30%0.71%4.22%
20074.08%1.81%8.39%$11,974$12,9415.37%-5.56%30.45%9.94%33.31%-16.50%10.29%3.73%
20080.09%-32.22%-21.23%$8,116$10,194-36.98%-29.39%4.92%-41.04%-48.88%-37.00%33.93%2.40%
20092.72%26.57%23.38%$10,273$12,57728.89%22.36%24.03%26.95%68.93%30.08%-21.80%8.46%
20101.50%21.06%18.79%$12,437$14,94117.42%24.69%29.27%8.15%16.51%28.37%9.05%9.33%
20112.96%0.47%4.04%$12,495$15,5450.97%-1.65%9.57%-12.25%-18.82%8.62%33.96%9.73%
20121.74%16.79%14.22%$14,593$17,75616.45%18.24%6.60%18.82%19.10%17.63%2.63%10.58%
20131.50%32.40%4.45%$19,321$18,54633.45%39.34%-28.33%21.40%-3.69%2.31%-13.37%-2.00%
20140.76%9.94%8.88%$21,241$20,19312.54%7.56%-2.19%-6.20%-3.93%30.36%27.30%8.21%
20150.73%-2.98%-3.92%$20,608$19,4010.36%-6.90%-10.67%-1.00%-16.18%2.42%-1.79%-1.25%
20162.07%20.07%10.46%$24,744$21,43112.83%31.25%8.03%1.37%10.87%8.60%1.18%6.21%
20172.11%16.87%15.92%$28,919$24,84221.21%11.35%12.81%25.10%37.28%4.91%9.18%7.06%
20182.58%1.96%-4.10%$29,487$23,8244.35%-0.52%-6.56%-8.93%-12.24%2.11%-7.05%-5.54%
Annual returns for 2018 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)iShares S&P Small-Cap 600 Value ETF (IJS)SPDR Gold Shares (GLD)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)Vanguard Real Estate ETF (VNQ)iShares 20+ Year Treasury Bond ETF (TLT)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
Minimum Volatility at 10.00% ReturnEqual WeightedMinimum Volatility at 10.00% ReturnEqual Weighted
200615.77%5.95%$10,577$10,5953.22%8.75%9.93%5.77%14.20%7.54%-1.34%-0.44%
200620.18%-0.19%$10,596$10,5750.22%0.27%-1.11%-0.70%-3.85%1.86%1.11%0.68%
200633.26%1.90%$10,942$10,7762.05%4.86%3.62%4.01%2.17%4.73%-4.57%-1.68%
200641.12%2.26%$11,064$11,0200.96%0.18%12.03%4.79%6.52%-3.40%-2.75%-0.20%
20065-3.68%-3.39%$10,657$10,646-3.22%-4.55%-1.32%-3.82%-11.14%-2.70%-0.19%-0.19%
20066-0.11%0.21%$10,645$10,6690.13%0.04%-4.67%-0.06%0.21%4.95%1.18%-0.09%
20067-1.19%1.33%$10,518$10,810-0.12%-3.10%3.15%0.81%2.34%3.89%2.16%1.46%
200682.30%2.07%$10,761$11,0332.30%2.70%-1.38%2.55%1.58%3.48%3.06%2.22%
200691.52%0.38%$10,925$11,0752.26%1.19%-4.53%0.22%-0.87%1.96%1.91%0.87%
2006104.24%3.63%$11,388$11,4773.53%5.52%1.29%3.75%7.06%6.03%0.85%1.00%
2006112.55%3.65%$11,678$11,8962.33%2.38%6.89%3.07%5.98%4.78%2.31%1.46%
2006120.71%0.36%$11,761$11,9391.20%0.32%-1.83%3.20%5.44%-1.83%-2.69%-0.90%
200712.00%1.99%$11,997$12,1771.86%2.14%2.56%1.39%0.11%8.78%-1.00%0.09%
20072-1.16%-0.08%$11,858$12,167-1.62%-0.92%2.55%-0.12%-3.24%-2.70%3.39%2.00%
200730.94%0.59%$11,969$12,2381.12%0.91%-1.11%2.90%5.33%-2.07%-1.70%-0.68%
200743.05%2.13%$12,334$12,4994.02%1.84%2.05%3.75%3.73%-0.13%0.90%0.89%
200753.83%1.19%$12,807$12,6493.72%4.63%-2.31%2.36%5.06%-0.38%-2.31%-1.23%
20076-1.96%-1.67%$12,555$12,437-1.76%-2.24%-1.94%-0.32%3.68%-8.99%-1.01%-0.81%
20077-4.39%-1.85%$12,004$12,207-3.53%-6.26%2.37%-2.29%0.71%-8.26%3.32%-0.82%
200781.40%1.90%$12,172$12,4401.47%1.33%1.11%-0.63%1.04%6.74%1.79%2.38%
200792.70%4.55%$12,500$13,0063.85%0.31%10.51%5.32%11.57%3.90%0.23%0.73%
2007101.72%3.85%$12,715$13,5071.79%1.06%6.95%4.25%11.87%2.10%1.81%0.97%
200711-5.47%-3.46%$12,020$13,039-4.52%-7.15%-1.65%-3.62%-7.65%-9.47%5.35%1.02%
200712-0.38%-0.75%$11,974$12,941-0.70%-0.71%6.65%-2.99%-1.43%-5.41%-0.64%-0.81%
20081-4.54%-1.53%$11,430$12,743-6.17%-4.00%10.84%-7.85%-8.92%-0.78%2.10%2.57%
20082-2.51%-0.50%$11,143$12,680-2.50%-3.36%5.23%-1.02%1.99%-3.18%-0.46%-0.71%
20083-0.42%-0.17%$11,097$12,658-0.90%0.83%-6.00%0.42%-3.75%6.48%2.14%-0.60%
200843.58%2.89%$11,494$13,0234.89%2.64%-4.16%5.44%9.14%6.38%-2.48%1.25%
200852.74%0.76%$11,809$13,1222.02%3.92%0.92%1.19%3.16%-0.21%-2.69%-2.21%
20086-7.69%-4.92%$10,901$12,477-8.12%-8.41%4.52%-8.80%-9.29%-10.62%2.65%-1.29%
200870.77%-0.61%$10,984$12,401-0.62%2.87%-1.44%-3.32%-5.50%3.12%-0.37%0.39%
200882.34%-1.05%$11,241$12,2711.46%4.76%-9.29%-4.25%-6.32%2.37%2.74%0.15%
20089-6.86%-5.68%$10,470$11,574-9.24%-4.82%4.11%-11.44%-14.68%-0.11%1.47%-10.73%
200810-18.39%-16.93%$8,545$9,615-17.48%-19.86%-16.14%-20.83%-25.58%-31.73%-1.86%-1.95%
200811-8.66%-3.55%$7,805$9,273-8.01%-11.80%12.57%-6.37%-9.75%-22.72%14.34%3.35%
2008123.99%9.93%$8,116$10,1941.78%6.57%7.73%8.88%10.35%16.67%13.64%13.80%
20091-9.86%-8.98%$7,316$9,278-8.05%-13.94%5.54%-13.73%-9.29%-17.53%-13.07%-1.80%
20092-11.02%-8.25%$6,510$8,512-10.53%-13.03%1.45%-10.39%-6.27%-20.53%-1.54%-5.20%
200937.52%5.84%$6,999$9,0098.26%7.58%-2.54%8.39%16.86%3.61%4.04%0.47%
2009413.58%10.02%$7,950$9,91110.99%18.89%-3.33%11.52%15.56%30.68%-6.95%2.78%
200953.72%5.84%$8,246$10,4915.46%0.67%10.23%13.19%15.94%2.62%-3.69%2.32%
200960.59%-0.82%$8,294$10,4040.36%1.52%-5.22%-1.43%-2.25%-3.23%0.76%2.89%
200978.83%7.27%$9,027$11,1607.74%11.00%2.38%10.04%11.01%10.77%0.58%4.63%
200983.46%3.54%$9,339$11,5553.71%3.48%0.05%4.50%-1.31%14.32%2.24%1.31%
200994.24%4.88%$9,735$12,1194.14%4.21%5.84%3.80%10.20%6.63%2.46%1.76%
200910-3.76%-2.32%$9,370$11,838-2.63%-6.07%3.72%-2.52%-3.44%-4.46%-2.62%-0.49%
2009114.86%5.36%$9,825$12,4735.69%2.90%12.79%3.92%7.85%6.57%1.21%1.95%
2009124.56%0.84%$10,273$12,5772.86%8.10%-7.20%0.70%3.27%7.37%-6.34%-2.07%
20101-3.05%-2.72%$9,960$12,235-3.57%-2.54%-1.26%-5.07%-7.76%-5.52%2.69%1.25%
201023.97%2.41%$10,356$12,5303.44%4.76%3.27%0.27%1.78%5.58%-0.34%0.51%
201036.67%4.63%$11,046$13,1106.40%7.80%-0.44%6.39%8.11%10.18%-2.06%0.65%
201044.15%3.01%$11,505$13,5052.18%6.63%5.88%-2.80%-0.17%7.15%3.32%1.91%
20105-7.67%-4.44%$10,622$12,906-7.88%-8.54%3.05%-11.19%-9.39%-5.33%5.11%-1.31%
20106-6.47%-1.42%$9,935$12,723-5.83%-8.27%2.36%-2.07%-1.40%-5.19%5.80%3.28%
201076.37%5.24%$10,568$13,3907.02%6.71%-5.09%11.61%10.93%9.59%-0.95%2.11%
20108-5.56%-0.50%$9,980$13,323-4.71%-7.91%5.71%-3.80%-3.24%-1.28%8.40%2.86%
201099.85%6.16%$10,963$14,1449.45%10.93%4.78%9.97%11.76%4.45%-2.51%0.46%
2010104.02%2.32%$11,403$14,4724.03%4.04%3.68%3.81%3.02%4.74%-4.47%-0.26%
2010111.38%-0.97%$11,561$14,3310.51%2.47%2.11%-4.82%-2.91%-1.85%-1.69%-1.62%
2010127.58%4.25%$12,437$14,9416.96%8.97%2.44%8.30%7.27%4.54%-3.68%-0.75%
201110.75%-0.76%$12,530$14,8272.05%-0.24%-6.38%2.10%-3.84%3.25%-3.08%0.04%
201124.01%3.11%$13,032$15,2873.70%4.21%6.00%3.55%-0.04%4.71%1.65%1.08%
201131.20%0.75%$13,188$15,4020.42%2.21%1.60%-2.39%6.29%-1.62%0.03%-0.54%
201142.41%3.98%$13,506$16,0152.90%1.06%8.94%5.63%2.73%5.75%2.34%2.50%
20115-1.38%-0.46%$13,320$15,941-1.06%-1.77%-1.79%-2.21%-2.94%1.37%3.42%1.27%
20116-1.74%-1.80%$13,088$15,655-1.79%-1.59%-2.43%-1.19%-0.93%-3.30%-2.33%-0.80%
20117-2.01%1.05%$12,825$15,819-2.27%-2.77%8.42%-2.38%-1.03%1.56%4.42%2.43%
20118-6.06%-1.93%$12,048$15,514-6.09%-7.98%12.27%-8.75%-9.25%-5.62%9.66%0.34%
20119-8.95%-6.90%$10,970$14,443-7.57%-10.57%-11.06%-10.81%-17.89%-10.85%13.20%0.35%
20111012.75%8.93%$12,369$15,73311.37%15.34%5.87%9.63%16.27%14.29%-3.84%2.51%
2011110.12%-0.90%$12,384$15,592-0.37%0.63%1.67%-2.18%-1.96%-3.80%1.98%-3.16%
2011120.89%-0.30%$12,495$15,5450.98%2.02%-10.66%-2.21%-4.30%4.85%3.44%3.49%
201216.50%6.10%$13,306$16,4935.07%7.90%11.40%5.27%10.99%6.38%-0.33%2.14%
201222.89%1.37%$13,690$16,7194.22%1.71%-2.96%4.83%5.27%-1.15%-2.59%1.63%
201232.80%0.18%$14,074$16,7503.06%2.89%-1.32%0.42%-3.11%5.19%-4.23%-1.42%
20124-1.13%0.29%$13,914$16,798-0.64%-1.91%-0.15%-2.08%-1.70%2.86%4.83%1.08%
20125-6.62%-4.54%$12,994$16,036-6.23%-7.18%-6.34%-11.14%-10.71%-4.51%9.03%0.76%
201264.18%3.48%$13,536$16,5944.05%4.54%2.35%7.11%5.08%5.52%-1.68%0.87%
201270.24%1.30%$13,568$16,8090.88%-0.69%0.84%0.08%-0.03%2.00%3.82%3.48%
201283.36%1.74%$14,024$17,1022.70%4.08%4.94%3.20%0.41%-0.01%-1.32%-0.05%
201292.85%1.87%$14,424$17,4222.49%3.14%4.67%2.71%5.22%-1.86%-2.53%1.10%
201210-1.92%-0.76%$14,147$17,289-1.81%-1.96%-2.94%1.09%-0.44%-0.91%-0.48%1.35%
2012111.08%0.87%$14,300$17,4400.77%1.65%-0.47%2.78%1.56%-0.26%1.38%-0.42%
2012122.05%1.81%$14,593$17,7561.29%3.55%-2.43%4.37%6.80%3.72%-2.49%-0.33%
201315.13%1.62%$15,341$18,0435.42%5.35%-0.51%3.73%-0.29%3.74%-3.19%-1.30%
201321.15%-0.28%$15,517$17,9931.28%1.63%-5.09%-1.29%-2.28%1.22%1.24%1.08%
201333.88%1.46%$16,120$18,2563.95%4.11%0.95%1.31%-1.02%2.87%-0.42%-0.05%
201340.60%1.75%$16,217$18,5751.61%0.12%-7.56%5.02%1.22%6.73%4.68%2.17%
201352.82%-2.91%$16,674$18,0352.44%4.29%-6.20%-3.02%-4.83%-5.98%-6.76%-3.22%
20136-1.32%-3.65%$16,453$17,377-1.43%-0.14%-11.06%-2.70%-5.35%-1.98%-3.27%-3.27%
201376.15%3.27%$17,465$17,9455.75%6.56%7.43%5.32%1.32%0.90%-2.26%1.11%
20138-2.83%-1.88%$16,971$17,607-3.03%-3.41%5.20%-1.96%-2.54%-6.98%-1.34%-1.00%
201394.62%3.20%$17,755$18,1713.90%6.59%-4.78%7.82%7.21%3.49%0.66%0.74%
2013103.75%2.82%$18,420$18,6844.27%3.48%-0.34%3.26%4.17%4.52%1.43%1.81%
2013112.98%-0.79%$18,968$18,5362.70%4.25%-5.51%0.55%-0.26%-5.25%-2.70%-0.14%
2013121.86%0.05%$19,321$18,5462.73%1.29%-3.79%2.16%-0.42%0.10%-1.87%0.22%
20141-3.02%-0.58%$18,737$18,438-3.17%-3.51%3.42%-5.20%-8.64%4.28%6.30%1.88%
201424.83%4.00%$19,642$19,1764.87%4.63%6.27%6.13%3.38%5.07%0.52%1.14%
201430.69%0.41%$19,778$19,2550.51%1.34%-3.14%-0.46%3.88%0.49%0.73%-0.03%
20144-0.88%0.93%$19,604$19,4340.06%-2.29%0.49%1.67%0.78%3.29%2.10%1.33%
201451.27%1.38%$19,854$19,7032.10%0.62%-3.05%1.60%2.95%2.40%2.95%1.51%
201463.28%2.13%$20,505$20,1222.62%3.85%6.32%0.92%2.40%1.13%-0.25%0.01%
20147-3.32%-1.44%$19,825$19,832-1.99%-5.07%-3.63%-2.60%1.36%0.08%0.67%-0.32%
201484.11%2.72%$20,641$20,3724.15%4.46%0.38%0.18%2.83%3.04%4.72%2.00%
20149-3.84%-4.46%$19,847$19,463-2.10%-5.94%-6.18%-3.88%-7.77%-6.04%-2.11%-1.68%
2014104.28%2.74%$20,697$19,9972.75%7.13%-3.05%-0.27%1.42%9.94%2.81%1.23%
2014111.54%0.86%$21,014$20,1692.48%0.48%-0.49%0.06%-1.54%2.00%2.97%0.91%
2014121.08%0.12%$21,241$20,193-0.04%2.56%1.31%-4.00%-3.99%1.88%3.25%-0.02%
20151-3.29%2.62%$20,542$20,723-2.74%-5.32%8.69%0.62%-0.69%6.85%9.82%3.75%
201525.28%0.65%$21,627$20,8585.74%5.86%-5.91%6.34%4.41%-3.67%-6.14%-1.42%
20153-0.31%-0.27%$21,560$20,801-1.16%1.03%-2.15%-1.43%-1.50%1.74%1.10%0.20%
20154-0.41%-0.17%$21,471$20,7660.62%-1.82%-0.17%3.65%6.85%-5.85%-3.43%-1.19%
201551.04%-0.64%$21,695$20,6341.30%0.75%0.56%0.20%-4.10%-0.30%-2.37%-1.12%
20156-0.81%-2.43%$21,519$20,133-1.67%0.42%-1.52%-3.12%-2.93%-4.68%-4.07%-1.88%
20157-0.46%-0.09%$21,421$20,1141.70%-2.70%-6.62%2.03%-6.31%5.77%4.55%0.83%
20158-5.06%-3.88%$20,336$19,333-6.09%-4.62%3.71%-7.43%-8.84%-6.29%-0.69%-0.83%
20159-3.22%-1.23%$19,681$19,095-2.92%-3.77%-1.80%-4.42%-3.13%3.05%1.97%1.19%
2015107.12%4.46%$21,082$19,9467.91%6.57%2.28%6.61%6.38%5.76%-0.41%0.57%
2015111.04%-1.08%$21,302$19,7320.60%2.47%-6.75%-0.75%-2.52%-0.63%-0.87%-0.15%
201512-3.26%-1.67%$20,608$19,401-2.13%-5.08%-0.45%-2.34%-3.83%1.82%-0.30%-1.08%
20161-5.29%-1.81%$19,517$19,051-5.72%-5.85%5.41%-5.52%-5.03%-3.44%5.57%0.12%
201621.32%1.58%$19,775$19,351-0.01%2.08%10.93%-3.33%-0.82%-0.36%3.09%1.05%
201637.70%6.15%$21,298$20,5427.11%9.41%-0.84%6.58%12.96%10.48%-0.09%3.62%
201641.45%1.12%$21,607$20,7730.66%2.13%5.11%2.22%0.41%-2.35%-0.74%1.55%
201650.86%-0.65%$21,794$20,6381.73%0.44%-6.14%-0.09%-3.69%2.25%0.81%-0.51%
201660.88%3.65%$21,986$21,3910.27%0.83%8.97%-2.42%4.56%6.92%6.93%3.09%
201674.33%3.50%$22,938$22,1403.98%5.06%1.98%3.98%5.38%4.26%2.10%1.29%
201680.43%-0.64%$23,037$21,9990.21%1.13%-3.26%0.53%0.88%-3.76%-1.01%0.18%
201690.50%0.25%$23,152$22,0540.21%0.87%0.69%1.34%2.52%-1.82%-1.51%-0.32%
201610-2.86%-2.95%$22,490$21,404-2.19%-3.74%-2.94%-2.22%-0.83%-5.74%-4.38%-1.53%
2016117.54%-1.22%$24,186$21,1424.49%13.34%-8.36%-1.78%-4.42%-1.68%-8.21%-3.17%
2016122.31%1.37%$24,744$21,4311.98%3.20%-1.91%2.71%-0.25%4.82%-0.46%0.84%
201710.76%2.10%$24,933$21,8811.86%-1.21%5.42%3.29%6.66%-0.19%0.81%0.15%
201722.72%2.20%$25,611$22,3613.69%1.35%3.18%1.19%1.74%3.51%1.59%1.32%
20173-0.25%0.32%$25,546$22,4320.06%-0.65%-0.43%3.23%3.69%-2.42%-0.65%-0.29%
201740.87%1.30%$25,768$22,7241.06%0.51%1.73%2.42%1.70%0.24%1.57%1.19%
20175-0.37%0.94%$25,672$22,9381.01%-2.26%-0.12%3.54%2.85%-0.72%1.89%1.33%
201761.63%0.81%$26,091$23,1240.95%2.96%-2.16%0.31%0.93%2.23%0.79%0.48%
201771.44%1.85%$26,466$23,5511.88%0.75%2.31%2.65%5.82%1.24%-0.66%0.77%
20178-0.84%0.97%$26,244$23,7790.15%-2.72%4.20%-0.04%2.35%-0.26%3.41%0.68%
201794.69%0.94%$27,474$24,0022.44%8.58%-3.37%2.36%-0.04%-0.11%-2.32%-0.05%
2017101.40%0.76%$27,858$24,1842.17%0.59%-0.75%1.68%3.28%-1.07%-0.04%0.19%
2017113.21%1.34%$28,753$24,5083.03%3.76%0.36%0.69%-0.39%2.66%0.74%-0.12%
2017120.58%1.36%$28,919$24,8421.16%-0.37%2.11%1.35%3.77%-0.14%1.81%1.22%
201813.55%1.80%$29,947$25,2895.23%1.33%3.23%5.02%8.30%-4.25%-3.26%-1.23%
20182-3.80%-4.20%$28,809$24,228-3.76%-4.04%-2.08%-4.83%-5.90%-7.68%-3.04%-2.24%
20183-0.49%0.88%$28,669$24,441-1.95%1.37%0.63%-0.84%0.54%3.88%2.86%0.56%
201840.92%-0.36%$28,933$24,3530.45%1.76%-0.95%1.52%-2.82%0.82%-2.09%-1.57%
201853.83%1.14%$30,043$24,6302.72%5.87%-1.20%-1.89%-2.62%3.68%2.01%0.52%
201860.55%-0.48%$30,209$24,5110.70%0.80%-3.61%-1.57%-4.54%4.20%0.65%-0.49%
201872.79%1.32%$31,052$24,8353.32%2.62%-2.24%2.85%3.53%0.60%-1.44%1.34%
201883.07%0.29%$32,005$24,9083.43%3.14%-2.14%-2.24%-3.77%2.58%1.31%0.02%
20189-1.16%-1.10%$31,632$24,6350.20%-3.05%-0.66%0.97%-0.58%-2.64%-2.86%-0.14%
201810-8.03%-5.00%$29,094$23,402-7.41%-9.94%2.12%-8.13%-8.76%-2.93%-2.93%-2.05%
2018111.35%1.80%$29,487$23,8242.01%0.57%0.34%0.50%4.90%4.67%1.79%-0.36%
Portfolio return and risk metrics
MetricMinimum Volatility at 10.00% ReturnEqual Weighted
Arithmetic Mean (monthly)0.80%0.62%
Arithmetic Mean (annualized)10.00%7.69%
Geometric Mean (monthly)0.70%0.56%
Geometric Mean (annualized)8.73%6.95%
Volatility (monthly)4.39%3.37%
Volatility (annualized)15.21%11.67%
Downside Deviation (monthly)2.99%2.25%
Max. Drawdown-49.17%-36.98%
US Market Correlation0.980.87
Beta(*)1.030.70
Alpha (annualized)-0.04%0.87%
R295.41%75.29%
Sharpe Ratio0.560.54
Sortino Ratio0.810.80
Treynor Ratio (%)8.259.06
Calmar Ratio1.260.87
Information Ratio0.07-0.26
Diversification Ratio1.071.45
Skewness-0.68-0.84
Excess Kurtosis2.424.89
Historical Value-at-Risk (5%)-7.68%-4.62%
Analytical Value-at-Risk (5%)-6.40%-4.91%
Conditional Value-at-Risk (5%)-10.37%-8.10%
Upside Capture Ratio (%)101.9766.94
Downside Capture Ratio (%)101.8564.57
Sustainable Withdrawal Rate10.59%11.53%
Positive Periods102 out of 155 (65.81%)94 out of 155 (60.65%)
Gain/Loss Ratio0.841.09
* 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 PeriodStartEndMinimum Volatility at 10.00% ReturnEqual Weighted
Subprime CrisisNov 2007Mar 2009-48.80%-36.98%

Drawdowns for Minimum Volatility at 10.00% Return

Drawdowns for Minimum Volatility at 10.00% Return (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-49.17%
2May 2011Sep 20115 monthsFeb 20125 months10 months-18.78%
3Jun 2015Jan 20168 monthsMay 20164 months1 year-10.04%
4Sep 2018Oct 20182 months-9.10%
5Apr 2012May 20122 monthsSep 20124 months6 months-7.68%
6May 2006Jul 20063 monthsOct 20063 months6 months-4.94%
7Feb 2018Mar 20182 monthsMay 20182 months4 months-4.27%
8Sep 2014Sep 20141 monthOct 20141 month2 months-3.84%
9Jul 2014Jul 20141 monthAug 20141 month2 months-3.32%
10Jan 2015Jan 20151 monthFeb 20151 month2 months-3.29%
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%
2May 2011Sep 20115 monthsJan 20124 months9 months-9.81%
3Mar 2015Jan 201611 monthsJun 20165 months1 year 4 months-8.66%
4Feb 2018Oct 20189 months-7.46%
5May 2013Jun 20132 monthsOct 20134 months6 months-6.45%
6May 2012May 20121 monthJul 20122 months3 months-4.54%
7Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.51%
8Sep 2014Sep 20141 monthJan 20154 months5 months-4.46%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-3.49%
10May 2006May 20061 monthAug 20063 months4 months-3.39%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF8.71%14.43%33.45%-36.98%-50.84%0.580.831.00
IJSiShares S&P Small-Cap 600 Value ETF8.49%18.69%39.34%-29.39%-54.13%0.470.700.91
GLDSPDR Gold Shares6.44%18.07%30.45%-28.33%-42.91%0.380.600.05
EFAiShares MSCI EAFE ETF3.29%17.48%26.95%-41.04%-57.38%0.210.300.89
EEMiShares MSCI Emerging Markets ETF4.48%22.59%68.93%-48.88%-60.44%0.260.390.80
VNQVanguard Real Estate ETF7.06%23.27%35.30%-37.00%-68.30%0.370.520.73
TLTiShares 20+ Year Treasury Bond ETF5.26%13.22%33.96%-21.80%-21.80%0.370.63-0.30
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.62%7.29%10.58%-5.54%-15.11%0.510.820.29

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIIJSGLDEFAEEMVNQTLTLQDMinimum Volatility at 10.00% ReturnEqual Weighted
VTIVanguard Total Stock Market ETF-0.910.050.890.800.73-0.300.290.980.87
IJSiShares S&P Small-Cap 600 Value ETF0.91--0.010.760.690.75-0.310.220.970.81
GLDSPDR Gold Shares0.05-0.01-0.160.300.090.190.240.070.37
EFAiShares MSCI EAFE ETF0.890.760.16-0.880.68-0.220.390.850.89
EEMiShares MSCI Emerging Markets ETF0.800.690.300.88-0.60-0.210.360.780.87
VNQVanguard Real Estate ETF0.730.750.090.680.60-0.020.430.760.84
TLTiShares 20+ Year Treasury Bond ETF-0.30-0.310.19-0.22-0.210.02-0.51-0.300.02
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.290.220.240.390.360.430.51-0.270.55

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMinimum Volatility at 10.00% ReturnEqual Weighted
VTIVanguard Total Stock Market ETF50.92%13.40%
IJSiShares S&P Small-Cap 600 Value ETF48.70%16.18%
GLDSPDR Gold Shares0.37%7.16%
EFAiShares MSCI EAFE ETF16.61%
EEMiShares MSCI Emerging Markets ETF21.15%
VNQVanguard Real Estate ETF20.92%
TLTiShares 20+ Year Treasury Bond ETF0.28%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.30%

Annual Asset Returns