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 - Dec 2018)

Portfolio optimization results with goal to minimize volatility subject to 8.00% targeted annual return. The possible range of expected annual portfolio returns for the given period is 4.44% to 9.34%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Minimum Volatility at 8.00% Return
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 46.32%
TLT iShares 20+ Year Treasury Bond ETF 38.88%
GLD SPDR Gold Shares 14.80%
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 8.00% ReturnEqual Weighted
Start Balance$10,000$10,000
End Balance$26,084$23,059
CAGR7.65%6.64%
Expected Return 8.00% 7.37%
Stdev8.02%11.68%
Best Year17.05%23.38%
Worst Year-7.22%-21.23%
Max. Drawdown -19.12% -36.98%
Sharpe Ratio (ex-ante)0.860.54
Sharpe Ratio (ex-post)0.830.52
Sortino Ratio1.250.76
US Stock Market Correlation0.660.87
   
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
  • 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)7.85%9.02%14.65%0.5420.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)7.34%9.29%18.99%0.4320.00%100.00%
3iShares MSCI EAFE ETF (EFA)2.84%4.44%17.49%0.1920.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)4.17%6.86%22.55%0.2560.00%100.00%
5Vanguard Real Estate ETF (VNQ)6.33%9.35%23.33%0.3540.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)5.69%6.60%13.26%0.4160.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)4.74%5.01%7.27%0.5400.00%100.00%
8SPDR Gold Shares (GLD)6.80%8.52%18.06%0.4120.00%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 (1.08% annualized).
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return*Standard Deviation*Sharpe Ratio*
10.00%0.00%100.00%0.00%0.00%0.00%0.00%0.00%4.44%17.49%0.192
20.00%0.00%91.37%0.00%0.00%0.00%8.63%0.00%4.49%16.23%0.210
30.00%0.00%82.74%0.00%0.00%0.00%17.26%0.00%4.54%15.00%0.231
40.00%0.00%74.11%0.00%0.00%0.00%25.89%0.00%4.59%13.79%0.255
50.00%0.00%65.49%0.00%0.00%0.00%34.51%0.00%4.64%12.63%0.282
60.00%0.00%56.86%0.00%0.00%0.00%43.14%0.00%4.69%11.52%0.313
70.00%0.00%48.23%0.00%0.00%0.00%51.77%0.00%4.74%10.47%0.349
80.00%0.00%39.60%0.00%0.00%0.00%60.40%0.00%4.78%9.51%0.390
90.00%0.00%30.98%0.00%0.00%0.00%69.02%0.00%4.83%8.68%0.433
100.00%0.00%22.35%0.00%0.00%0.00%77.65%0.00%4.88%8.00%0.475
110.00%0.00%13.72%0.00%0.00%0.00%86.28%0.00%4.93%7.53%0.512
120.00%0.00%5.09%0.00%0.00%0.00%94.91%0.00%4.98%7.29%0.535
130.00%0.00%2.70%0.00%0.00%0.00%96.28%1.02%5.03%7.24%0.545
140.68%0.00%2.04%0.00%0.00%0.00%95.74%1.54%5.08%7.21%0.554
151.65%0.00%1.25%0.00%0.00%0.00%95.39%1.71%5.12%7.18%0.564
162.63%0.00%0.46%0.00%0.00%0.00%95.03%1.88%5.17%7.15%0.573
173.54%0.00%0.00%0.00%0.00%0.00%94.29%2.17%5.22%7.12%0.582
184.29%0.00%0.00%0.00%0.00%0.71%92.60%2.40%5.27%7.09%0.591
195.04%0.00%0.00%0.00%0.00%1.46%90.89%2.61%5.32%7.07%0.600
205.79%0.00%0.00%0.00%0.00%2.21%89.18%2.81%5.37%7.04%0.609
216.55%0.00%0.00%0.00%0.00%2.96%87.47%3.02%5.42%7.02%0.618
227.30%0.00%0.00%0.00%0.00%3.71%85.76%3.23%5.47%7.00%0.627
238.05%0.00%0.00%0.00%0.00%4.46%84.05%3.44%5.52%6.98%0.636
248.80%0.00%0.00%0.00%0.00%5.21%82.34%3.65%5.56%6.96%0.645
259.55%0.00%0.00%0.00%0.00%5.96%80.63%3.86%5.61%6.94%0.653
2610.30%0.00%0.00%0.00%0.00%6.71%78.92%4.06%5.66%6.93%0.662
2711.06%0.00%0.00%0.00%0.00%7.46%77.21%4.27%5.71%6.91%0.670
2811.81%0.00%0.00%0.00%0.00%8.21%75.50%4.48%5.76%6.90%0.678
2912.56%0.00%0.00%0.00%0.00%8.96%73.80%4.69%5.81%6.89%0.687
3013.31%0.00%0.00%0.00%0.00%9.71%72.09%4.90%5.86%6.88%0.695
3114.06%0.00%0.00%0.00%0.00%10.46%70.38%5.11%5.91%6.88%0.702
3214.81%0.00%0.00%0.00%0.00%11.21%68.67%5.31%5.96%6.87%0.710
3315.56%0.00%0.00%0.00%0.00%11.96%66.96%5.52%6.01%6.87%0.718
3416.32%0.00%0.00%0.00%0.00%12.71%65.25%5.73%6.06%6.86%0.725
3517.07%0.00%0.00%0.00%0.00%13.46%63.54%5.94%6.10%6.86%0.732
3617.82%0.00%0.00%0.00%0.00%14.21%61.83%6.15%6.15%6.87%0.739
3718.57%0.00%0.00%0.00%0.00%14.96%60.12%6.36%6.20%6.87%0.746
3819.32%0.00%0.00%0.00%0.00%15.70%58.41%6.56%6.25%6.87%0.753
3920.07%0.00%0.00%0.00%0.00%16.45%56.70%6.77%6.30%6.88%0.759
4020.83%0.00%0.00%0.00%0.00%17.20%54.99%6.98%6.35%6.89%0.766
4121.58%0.00%0.00%0.00%0.00%17.95%53.28%7.19%6.40%6.90%0.772
4222.33%0.00%0.00%0.00%0.00%18.70%51.57%7.40%6.45%6.91%0.778
4323.08%0.00%0.00%0.00%0.00%19.45%49.86%7.61%6.50%6.92%0.783
4423.83%0.00%0.00%0.00%0.00%20.20%48.15%7.82%6.55%6.94%0.789
4524.58%0.00%0.00%0.00%0.00%20.95%46.44%8.02%6.60%6.95%0.794
4625.34%0.00%0.00%0.00%0.00%21.70%44.73%8.23%6.65%6.97%0.799
4726.09%0.00%0.00%0.00%0.00%22.45%43.02%8.44%6.70%6.99%0.804
4826.84%0.00%0.00%0.00%0.00%23.20%41.31%8.65%6.75%7.01%0.809
4927.59%0.00%0.00%0.00%0.00%23.95%39.60%8.86%6.79%7.03%0.813
5028.34%0.00%0.00%0.00%0.00%24.70%37.89%9.07%6.84%7.06%0.817
5129.09%0.00%0.00%0.00%0.00%25.45%36.18%9.27%6.89%7.08%0.821
5229.84%0.00%0.00%0.00%0.00%26.20%34.47%9.48%6.94%7.11%0.825
5330.60%0.00%0.00%0.00%0.00%26.95%32.76%9.69%6.99%7.14%0.829
5431.35%0.00%0.00%0.00%0.00%27.70%31.05%9.90%7.04%7.17%0.832
5532.10%0.00%0.00%0.00%0.00%28.45%29.34%10.11%7.09%7.20%0.835
5632.85%0.00%0.00%0.00%0.00%29.20%27.63%10.32%7.14%7.23%0.838
5733.60%0.00%0.00%0.00%0.00%29.95%25.92%10.52%7.19%7.27%0.841
5834.35%0.00%0.00%0.00%0.00%30.70%24.21%10.73%7.24%7.30%0.844
5935.11%0.00%0.00%0.00%0.00%31.45%22.50%10.94%7.29%7.34%0.846
6035.86%0.00%0.00%0.00%0.00%32.20%20.79%11.15%7.34%7.38%0.849
6136.61%0.00%0.00%0.00%0.00%32.95%19.08%11.36%7.39%7.42%0.851
6237.36%0.00%0.00%0.00%0.00%33.70%17.37%11.57%7.44%7.46%0.853
6338.11%0.00%0.00%0.00%0.00%34.45%15.66%11.77%7.49%7.50%0.855
6438.86%0.00%0.00%0.00%0.00%35.20%13.95%11.98%7.54%7.55%0.856
6539.62%0.00%0.00%0.00%0.00%35.95%12.24%12.19%7.59%7.59%0.858
6640.37%0.00%0.00%0.00%0.00%36.70%10.53%12.40%7.64%7.64%0.859
6741.12%0.00%0.00%0.00%0.00%37.45%8.82%12.61%7.69%7.68%0.860
6841.87%0.00%0.00%0.00%0.00%38.20%7.12%12.82%7.74%7.73%0.861
6942.62%0.00%0.00%0.00%0.00%38.95%5.41%13.03%7.79%7.78%0.862
7043.37%0.00%0.00%0.00%0.00%39.70%3.70%13.23%7.84%7.83%0.863
7144.12%0.00%0.00%0.00%0.00%40.45%1.99%13.44%7.89%7.89%0.864
7244.88%0.00%0.00%0.00%0.00%41.20%0.28%13.65%7.94%7.94%0.864
7346.03%0.00%0.00%0.00%0.00%39.41%0.00%14.55%7.99%8.00%0.864
7447.26%0.00%0.00%0.00%0.00%37.14%0.00%15.59%8.04%8.08%0.861
7548.49%0.00%0.00%0.00%0.00%34.87%0.00%16.63%8.09%8.19%0.856
7649.73%0.00%0.00%0.00%0.00%32.60%0.00%17.67%8.14%8.31%0.850
7750.96%0.00%0.00%0.00%0.00%30.33%0.00%18.71%8.19%8.45%0.842
7852.19%0.00%0.00%0.00%0.00%28.06%0.00%19.75%8.24%8.61%0.832
7953.42%0.00%0.00%0.00%0.00%25.79%0.00%20.79%8.29%8.78%0.821
8054.65%0.00%0.00%0.00%0.00%23.52%0.00%21.82%8.34%8.97%0.809
8155.88%0.00%0.00%0.00%0.00%21.25%0.00%22.86%8.39%9.18%0.797
8257.12%0.00%0.00%0.00%0.00%18.98%0.00%23.90%8.44%9.40%0.783
8358.35%0.00%0.00%0.00%0.00%16.71%0.00%24.94%8.49%9.63%0.770
8459.58%0.00%0.00%0.00%0.00%14.44%0.00%25.98%8.54%9.87%0.756
8560.81%0.00%0.00%0.00%0.00%12.17%0.00%27.02%8.59%10.13%0.742
8662.04%0.00%0.00%0.00%0.00%9.90%0.00%28.05%8.64%10.40%0.727
8763.27%0.00%0.00%0.00%0.00%7.63%0.00%29.09%8.69%10.67%0.713
8864.51%0.00%0.00%0.00%0.00%5.36%0.00%30.13%8.74%10.96%0.699
8965.74%0.00%0.00%0.00%0.00%3.09%0.00%31.17%8.79%11.25%0.686
9066.97%0.00%0.00%0.00%0.00%0.82%0.00%32.21%8.84%11.55%0.672
9162.10%7.67%0.00%0.00%0.00%0.00%0.00%30.23%8.89%11.90%0.656
9250.69%20.43%0.00%0.00%1.19%0.00%0.00%27.69%8.94%12.42%0.633
9339.46%31.29%0.00%0.00%4.04%0.00%0.00%25.20%8.99%13.06%0.606
9428.23%42.15%0.00%0.00%6.89%0.00%0.00%22.72%9.04%13.82%0.576
9517.01%53.01%0.00%0.00%9.74%0.00%0.00%20.24%9.09%14.67%0.547
965.78%63.87%0.00%0.00%12.58%0.00%0.00%17.76%9.14%15.59%0.517
970.00%71.00%0.00%0.00%15.60%0.00%0.00%13.41%9.19%16.58%0.489
980.00%74.14%0.00%0.00%18.79%0.00%0.00%7.07%9.24%17.67%0.462
990.00%77.29%0.00%0.00%21.98%0.00%0.00%0.73%9.29%18.85%0.436
1000.00%0.02%0.00%0.00%99.98%0.00%0.00%0.00%9.35%23.32%0.354
*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 (1.08% annualized).
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard 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)
Minimum Volatility at 8.00% ReturnEqual WeightedMinimum Volatility at 8.00% ReturnEqual Weighted
20062.54%10.95%19.39%$11,095$11,93915.69%0.71%22.55%19.37%25.81%31.19%35.30%4.22%
20074.08%11.10%8.39%$12,327$12,9415.37%10.29%30.45%-5.56%9.94%33.31%-16.50%3.73%
20080.09%-7.22%-21.23%$11,437$10,194-36.98%33.93%4.92%-29.39%-41.04%-48.88%-37.00%2.40%
20092.72%6.79%23.38%$12,214$12,57728.89%-21.80%24.03%22.36%26.95%68.93%30.08%8.46%
20101.50%17.05%18.79%$14,296$14,94117.42%9.05%29.27%24.69%8.15%16.51%28.37%9.33%
20112.96%15.70%4.04%$16,541$15,5450.97%33.96%9.57%-1.65%-12.25%-18.82%8.62%9.73%
20121.74%10.12%14.22%$18,215$17,75616.45%2.63%6.60%18.24%18.82%19.10%17.63%10.58%
20131.50%3.56%4.45%$18,863$18,54633.45%-13.37%-28.33%39.34%21.40%-3.69%2.31%-2.00%
20140.76%15.93%8.88%$21,867$20,19312.54%27.30%-2.19%7.56%-6.20%-3.93%30.36%8.21%
20150.73%-1.53%-3.92%$21,533$19,4010.36%-1.79%-10.67%-6.90%-1.00%-16.18%2.42%-1.25%
20162.07%8.15%10.46%$23,288$21,43112.83%1.18%8.03%31.25%1.37%10.87%8.60%6.21%
20172.11%15.26%15.92%$26,842$24,84221.21%9.18%12.81%11.35%25.10%37.28%4.91%7.06%
20181.91%-2.83%-7.18%$26,084$23,059-5.21%-1.61%-1.94%-12.84%-13.81%-15.31%-6.02%-3.79%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 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)
Minimum Volatility at 8.00% ReturnEqual WeightedMinimum Volatility at 8.00% ReturnEqual Weighted
200612.44%5.95%$10,244$10,5953.22%-1.34%9.93%8.75%5.77%14.20%7.54%-0.44%
200620.37%-0.19%$10,282$10,5750.22%1.11%-1.11%0.27%-0.70%-3.85%1.86%0.68%
20063-0.29%1.90%$10,252$10,7762.05%-4.57%3.62%4.86%4.01%2.17%4.73%-1.68%
200641.15%2.26%$10,370$11,0200.96%-2.75%12.03%0.18%4.79%6.52%-3.40%-0.20%
20065-1.76%-3.39%$10,187$10,646-3.22%-0.19%-1.32%-4.55%-3.82%-11.14%-2.70%-0.19%
20066-0.17%0.21%$10,170$10,6690.13%1.18%-4.67%0.04%-0.06%0.21%4.95%-0.09%
200671.25%1.33%$10,297$10,810-0.12%2.16%3.15%-3.10%0.81%2.34%3.89%1.46%
200682.05%2.07%$10,508$11,0332.30%3.06%-1.38%2.70%2.55%1.58%3.48%2.22%
200691.12%0.38%$10,626$11,0752.26%1.91%-4.53%1.19%0.22%-0.87%1.96%0.87%
2006102.16%3.63%$10,855$11,4773.53%0.85%1.29%5.52%3.75%7.06%6.03%1.00%
2006113.00%3.65%$11,180$11,8962.33%2.31%6.89%2.38%3.07%5.98%4.78%1.46%
200612-0.76%0.36%$11,095$11,9391.20%-2.69%-1.83%0.32%3.20%5.44%-1.83%-0.90%
200710.85%1.99%$11,190$12,1771.86%-1.00%2.56%2.14%1.39%0.11%8.78%0.09%
200720.94%-0.08%$11,295$12,167-1.62%3.39%2.55%-0.92%-0.12%-3.24%-2.70%2.00%
20073-0.31%0.59%$11,261$12,2381.12%-1.70%-1.11%0.91%2.90%5.33%-2.07%-0.68%
200742.52%2.13%$11,544$12,4994.02%0.90%2.05%1.84%3.75%3.73%-0.13%0.89%
200750.48%1.19%$11,600$12,6493.72%-2.31%-2.31%4.63%2.36%5.06%-0.38%-1.23%
20076-1.50%-1.67%$11,427$12,437-1.76%-1.01%-1.94%-2.24%-0.32%3.68%-8.99%-0.81%
200770.00%-1.85%$11,427$12,207-3.53%3.32%2.37%-6.26%-2.29%0.71%-8.26%-0.82%
200781.54%1.90%$11,603$12,4401.47%1.79%1.11%1.33%-0.63%1.04%6.74%2.38%
200793.43%4.55%$12,000$13,0063.85%0.23%10.51%0.31%5.32%11.57%3.90%0.73%
2007102.56%3.85%$12,308$13,5071.79%1.81%6.95%1.06%4.25%11.87%2.10%0.97%
200711-0.26%-3.46%$12,276$13,039-4.52%5.35%-1.65%-7.15%-3.62%-7.65%-9.47%1.02%
2007120.41%-0.75%$12,327$12,941-0.70%-0.64%6.65%-0.71%-2.99%-1.43%-5.41%-0.81%
20081-0.44%-1.53%$12,273$12,743-6.17%2.10%10.84%-4.00%-7.85%-8.92%-0.78%2.57%
20082-0.56%-0.50%$12,204$12,680-2.50%-0.46%5.23%-3.36%-1.02%1.99%-3.18%-0.71%
20083-0.47%-0.17%$12,147$12,658-0.90%2.14%-6.00%0.83%0.42%-3.75%6.48%-0.60%
200840.68%2.89%$12,230$13,0234.89%-2.48%-4.16%2.64%5.44%9.14%6.38%1.25%
200850.03%0.76%$12,233$13,1222.02%-2.69%0.92%3.92%1.19%3.16%-0.21%-2.21%
20086-2.06%-4.92%$11,981$12,477-8.12%2.65%4.52%-8.41%-8.80%-9.29%-10.62%-1.29%
20087-0.65%-0.61%$11,903$12,401-0.62%-0.37%-1.44%2.87%-3.32%-5.50%3.12%0.39%
200880.37%-1.05%$11,947$12,2711.46%2.74%-9.29%4.76%-4.25%-6.32%2.37%0.15%
20089-3.10%-5.68%$11,577$11,574-9.24%1.47%4.11%-4.82%-11.44%-14.68%-0.11%-10.73%
200810-11.21%-16.93%$10,279$9,615-17.48%-1.86%-16.14%-19.86%-20.83%-25.58%-31.73%-1.95%
2008113.72%-3.55%$10,662$9,273-8.01%14.34%12.57%-11.80%-6.37%-9.75%-22.72%3.35%
2008127.27%9.93%$11,437$10,1941.78%13.64%7.73%6.57%8.88%10.35%16.67%13.80%
20091-7.99%-8.98%$10,523$9,278-8.05%-13.07%5.54%-13.94%-13.73%-9.29%-17.53%-1.80%
20092-5.26%-8.25%$9,970$8,512-10.53%-1.54%1.45%-13.03%-10.39%-6.27%-20.53%-5.20%
200935.02%5.84%$10,471$9,0098.26%4.04%-2.54%7.58%8.39%16.86%3.61%0.47%
200941.89%10.02%$10,669$9,91110.99%-6.95%-3.33%18.89%11.52%15.56%30.68%2.78%
200952.61%5.84%$10,947$10,4915.46%-3.69%10.23%0.67%13.19%15.94%2.62%2.32%
20096-0.31%-0.82%$10,914$10,4040.36%0.76%-5.22%1.52%-1.43%-2.25%-3.23%2.89%
200974.16%7.27%$11,368$11,1607.74%0.58%2.38%11.00%10.04%11.01%10.77%4.63%
200982.60%3.54%$11,663$11,5553.71%2.24%0.05%3.48%4.50%-1.31%14.32%1.31%
200993.74%4.88%$12,099$12,1194.14%2.46%5.84%4.21%3.80%10.20%6.63%1.76%
200910-1.69%-2.32%$11,895$11,838-2.63%-2.62%3.72%-6.07%-2.52%-3.44%-4.46%-0.49%
2009115.00%5.36%$12,489$12,4735.69%1.21%12.79%2.90%3.92%7.85%6.57%1.95%
200912-2.21%0.84%$12,214$12,5772.86%-6.34%-7.20%8.10%0.70%3.27%7.37%-2.07%
20101-0.79%-2.72%$12,117$12,235-3.57%2.69%-1.26%-2.54%-5.07%-7.76%-5.52%1.25%
201021.95%2.41%$12,353$12,5303.44%-0.34%3.27%4.76%0.27%1.78%5.58%0.51%
201032.10%4.63%$12,612$13,1106.40%-2.06%-0.44%7.80%6.39%8.11%10.18%0.65%
201043.17%3.01%$13,012$13,5052.18%3.32%5.88%6.63%-2.80%-0.17%7.15%1.91%
20105-1.21%-4.44%$12,854$12,906-7.88%5.11%3.05%-8.54%-11.19%-9.39%-5.33%-1.31%
20106-0.10%-1.42%$12,841$12,723-5.83%5.80%2.36%-8.27%-2.07%-1.40%-5.19%3.28%
201072.13%5.24%$13,115$13,3907.02%-0.95%-5.09%6.71%11.61%10.93%9.59%2.11%
201081.93%-0.50%$13,368$13,323-4.71%8.40%5.71%-7.91%-3.80%-3.24%-1.28%2.86%
201094.11%6.16%$13,917$14,1449.45%-2.51%4.78%10.93%9.97%11.76%4.45%0.46%
2010100.67%2.32%$14,010$14,4724.03%-4.47%3.68%4.04%3.81%3.02%4.74%-0.26%
201011-0.11%-0.97%$13,995$14,3310.51%-1.69%2.11%2.47%-4.82%-2.91%-1.85%-1.62%
2010122.15%4.25%$14,296$14,9416.96%-3.68%2.44%8.97%8.30%7.27%4.54%-0.75%
20111-1.19%-0.76%$14,126$14,8272.05%-3.08%-6.38%-0.24%2.10%-3.84%3.25%0.04%
201123.24%3.11%$14,584$15,2873.70%1.65%6.00%4.21%3.55%-0.04%4.71%1.08%
201130.44%0.75%$14,648$15,4020.42%0.03%1.60%2.21%-2.39%6.29%-1.62%-0.54%
201143.57%3.98%$15,172$16,0152.90%2.34%8.94%1.06%5.63%2.73%5.75%2.50%
201150.57%-0.46%$15,259$15,941-1.06%3.42%-1.79%-1.77%-2.21%-2.94%1.37%1.27%
20116-2.10%-1.80%$14,939$15,655-1.79%-2.33%-2.43%-1.59%-1.19%-0.93%-3.30%-0.80%
201171.91%1.05%$15,225$15,819-2.27%4.42%8.42%-2.77%-2.38%-1.03%1.56%2.43%
201182.75%-1.93%$15,644$15,514-6.09%9.66%12.27%-7.98%-8.75%-9.25%-5.62%0.34%
20119-0.01%-6.90%$15,642$14,443-7.57%13.20%-11.06%-10.57%-10.81%-17.89%-10.85%0.35%
2011104.64%8.93%$16,368$15,73311.37%-3.84%5.87%15.34%9.63%16.27%14.29%2.51%
2011110.84%-0.90%$16,506$15,592-0.37%1.98%1.67%0.63%-2.18%-1.96%-3.80%-3.16%
2011120.21%-0.30%$16,541$15,5450.98%3.44%-10.66%2.02%-2.21%-4.30%4.85%3.49%
201213.91%6.10%$17,187$16,4935.07%-0.33%11.40%7.90%5.27%10.99%6.38%2.14%
201220.51%1.37%$17,274$16,7194.22%-2.59%-2.96%1.71%4.83%5.27%-1.15%1.63%
20123-0.42%0.18%$17,201$16,7503.06%-4.23%-1.32%2.89%0.42%-3.11%5.19%-1.42%
201241.56%0.29%$17,470$16,798-0.64%4.83%-0.15%-1.91%-2.08%-1.70%2.86%1.08%
20125-0.31%-4.54%$17,415$16,036-6.23%9.03%-6.34%-7.18%-11.14%-10.71%-4.51%0.76%
201261.57%3.48%$17,689$16,5944.05%-1.68%2.35%4.54%7.11%5.08%5.52%0.87%
201272.01%1.30%$18,045$16,8090.88%3.82%0.84%-0.69%0.08%-0.03%2.00%3.48%
201281.47%1.74%$18,310$17,1022.70%-1.32%4.94%4.08%3.20%0.41%-0.01%-0.05%
201290.86%1.87%$18,468$17,4222.49%-2.53%4.67%3.14%2.71%5.22%-1.86%1.10%
201210-1.46%-0.76%$18,198$17,289-1.81%-0.48%-2.94%-1.96%1.09%-0.44%-0.91%1.35%
2012110.83%0.87%$18,349$17,4400.77%1.38%-0.47%1.65%2.78%1.56%-0.26%-0.42%
201212-0.73%1.81%$18,215$17,7561.29%-2.49%-2.43%3.55%4.37%6.80%3.72%-0.33%
201311.20%1.62%$18,433$18,0435.42%-3.19%-0.51%5.35%3.73%-0.29%3.74%-1.30%
201320.32%-0.28%$18,492$17,9931.28%1.24%-5.09%1.63%-1.29%-2.28%1.22%1.08%
201331.80%1.46%$18,826$18,2563.95%-0.42%0.95%4.11%1.31%-1.02%2.87%-0.05%
201341.45%1.75%$19,098$18,5751.61%4.68%-7.56%0.12%5.02%1.22%6.73%2.17%
20135-2.42%-2.91%$18,637$18,0352.44%-6.76%-6.20%4.29%-3.02%-4.83%-5.98%-3.22%
20136-3.57%-3.65%$17,971$17,377-1.43%-3.27%-11.06%-0.14%-2.70%-5.35%-1.98%-3.27%
201372.88%3.27%$18,489$17,9455.75%-2.26%7.43%6.56%5.32%1.32%0.90%1.11%
20138-1.15%-1.88%$18,276$17,607-3.03%-1.34%5.20%-3.41%-1.96%-2.54%-6.98%-1.00%
201391.35%3.20%$18,524$18,1713.90%0.66%-4.78%6.59%7.82%7.21%3.49%0.74%
2013102.48%2.82%$18,983$18,6844.27%1.43%-0.34%3.48%3.26%4.17%4.52%1.81%
201311-0.61%-0.79%$18,867$18,5362.70%-2.70%-5.51%4.25%0.55%-0.26%-5.25%-0.14%
201312-0.02%0.05%$18,863$18,5462.73%-1.87%-3.79%1.29%2.16%-0.42%0.10%0.22%
201411.49%-0.58%$19,143$18,438-3.17%6.30%3.42%-3.51%-5.20%-8.64%4.28%1.88%
201423.38%4.00%$19,791$19,1764.87%0.52%6.27%4.63%6.13%3.38%5.07%1.14%
201430.05%0.41%$19,802$19,2550.51%0.73%-3.14%1.34%-0.46%3.88%0.49%-0.03%
201440.92%0.93%$19,984$19,4340.06%2.10%0.49%-2.29%1.67%0.78%3.29%1.33%
201451.67%1.38%$20,317$19,7032.10%2.95%-3.05%0.62%1.60%2.95%2.40%1.51%
201462.05%2.13%$20,734$20,1222.62%-0.25%6.32%3.85%0.92%2.40%1.13%0.01%
20147-1.20%-1.44%$20,485$19,832-1.99%0.67%-3.63%-5.07%-2.60%1.36%0.08%-0.32%
201483.81%2.72%$21,266$20,3724.15%4.72%0.38%4.46%0.18%2.83%3.04%2.00%
20149-2.71%-4.46%$20,691$19,463-2.10%-2.11%-6.18%-5.94%-3.88%-7.77%-6.04%-1.68%
2014101.91%2.74%$21,087$19,9972.75%2.81%-3.05%7.13%-0.27%1.42%9.94%1.23%
2014112.23%0.86%$21,557$20,1692.48%2.97%-0.49%0.48%0.06%-1.54%2.00%0.91%
2014121.44%0.12%$21,867$20,193-0.04%3.25%1.31%2.56%-4.00%-3.99%1.88%-0.02%
201513.84%2.62%$22,706$20,723-2.74%9.82%8.69%-5.32%0.62%-0.69%6.85%3.75%
20152-0.60%0.65%$22,570$20,8585.74%-6.14%-5.91%5.86%6.34%4.41%-3.67%-1.42%
20153-0.43%-0.27%$22,473$20,801-1.16%1.10%-2.15%1.03%-1.43%-1.50%1.74%0.20%
20154-1.07%-0.17%$22,232$20,7660.62%-3.43%-0.17%-1.82%3.65%6.85%-5.85%-1.19%
20155-0.24%-0.64%$22,179$20,6341.30%-2.37%0.56%0.75%0.20%-4.10%-0.30%-1.12%
20156-2.58%-2.43%$21,606$20,133-1.67%-4.07%-1.52%0.42%-3.12%-2.93%-4.68%-1.88%
201571.58%-0.09%$21,947$20,1141.70%4.55%-6.62%-2.70%2.03%-6.31%5.77%0.83%
20158-2.54%-3.88%$21,389$19,333-6.09%-0.69%3.71%-4.62%-7.43%-8.84%-6.29%-0.83%
20159-0.86%-1.23%$21,206$19,095-2.92%1.97%-1.80%-3.77%-4.42%-3.13%3.05%1.19%
2015103.84%4.46%$22,021$19,9467.91%-0.41%2.28%6.57%6.61%6.38%5.76%0.57%
201511-1.06%-1.08%$21,788$19,7320.60%-0.87%-6.75%2.47%-0.75%-2.52%-0.63%-0.15%
201512-1.17%-1.67%$21,533$19,401-2.13%-0.30%-0.45%-5.08%-2.34%-3.83%1.82%-1.08%
201610.32%-1.81%$21,601$19,051-5.72%5.57%5.41%-5.85%-5.52%-5.03%-3.44%0.12%
201622.81%1.58%$22,209$19,351-0.01%3.09%10.93%2.08%-3.33%-0.82%-0.36%1.05%
201633.13%6.15%$22,905$20,5427.11%-0.09%-0.84%9.41%6.58%12.96%10.48%3.62%
201640.77%1.12%$23,083$20,7730.66%-0.74%5.11%2.13%2.22%0.41%-2.35%1.55%
201650.21%-0.65%$23,131$20,6381.73%0.81%-6.14%0.44%-0.09%-3.69%2.25%-0.51%
201664.15%3.65%$24,091$21,3910.27%6.93%8.97%0.83%-2.42%4.56%6.92%3.09%
201672.95%3.50%$24,802$22,1403.98%2.10%1.98%5.06%3.98%5.38%4.26%1.29%
20168-0.78%-0.64%$24,608$21,9990.21%-1.01%-3.26%1.13%0.53%0.88%-3.76%0.18%
20169-0.39%0.25%$24,513$22,0540.21%-1.51%0.69%0.87%1.34%2.52%-1.82%-0.32%
201610-3.15%-2.95%$23,740$21,404-2.19%-4.38%-2.94%-3.74%-2.22%-0.83%-5.74%-1.53%
201611-2.35%-1.22%$23,182$21,1424.49%-8.21%-8.36%13.34%-1.78%-4.42%-1.68%-3.17%
2016120.46%1.37%$23,288$21,4311.98%-0.46%-1.91%3.20%2.71%-0.25%4.82%0.84%
201711.98%2.10%$23,748$21,8811.86%0.81%5.42%-1.21%3.29%6.66%-0.19%0.15%
201722.80%2.20%$24,413$22,3613.69%1.59%3.18%1.35%1.19%1.74%3.51%1.32%
20173-0.29%0.32%$24,342$22,4320.06%-0.65%-0.43%-0.65%3.23%3.69%-2.42%-0.29%
201741.36%1.30%$24,673$22,7241.06%1.57%1.73%0.51%2.42%1.70%0.24%1.19%
201751.18%0.94%$24,965$22,9381.01%1.89%-0.12%-2.26%3.54%2.85%-0.72%1.33%
201760.43%0.81%$25,072$23,1240.95%0.79%-2.16%2.96%0.31%0.93%2.23%0.48%
201770.96%1.85%$25,312$23,5511.88%-0.66%2.31%0.75%2.65%5.82%1.24%0.77%
201782.02%0.97%$25,822$23,7790.15%3.41%4.20%-2.72%-0.04%2.35%-0.26%0.68%
20179-0.27%0.94%$25,752$24,0022.44%-2.32%-3.37%8.58%2.36%-0.04%-0.11%-0.05%
2017100.88%0.76%$25,979$24,1842.17%-0.04%-0.75%0.59%1.68%3.28%-1.07%0.19%
2017111.74%1.34%$26,432$24,5083.03%0.74%0.36%3.76%0.69%-0.39%2.66%-0.12%
2017121.55%1.36%$26,842$24,8421.16%1.81%2.11%-0.37%1.35%3.77%-0.14%1.22%
201811.64%1.80%$27,281$25,2895.23%-3.26%3.23%1.33%5.02%8.30%-4.25%-1.23%
20182-3.23%-4.20%$26,400$24,228-3.76%-3.04%-2.08%-4.04%-4.83%-5.90%-7.68%-2.24%
201830.30%0.88%$26,479$24,441-1.95%2.86%0.63%1.37%-0.84%0.54%3.88%0.56%
20184-0.75%-0.36%$26,282$24,3530.45%-2.09%-0.95%1.76%1.52%-2.82%0.82%-1.57%
201851.86%1.14%$26,772$24,6302.72%2.01%-1.20%5.87%-1.89%-2.62%3.68%0.52%
201860.04%-0.48%$26,783$24,5110.70%0.65%-3.61%0.80%-1.57%-4.54%4.20%-0.49%
201870.65%1.32%$26,956$24,8353.32%-1.44%-2.24%2.62%2.85%3.53%0.60%1.34%
201881.78%0.29%$27,437$24,9083.43%1.31%-2.14%3.14%-2.24%-3.77%2.58%0.02%
20189-1.12%-1.10%$27,130$24,6350.20%-2.86%-0.66%-3.05%0.97%-0.58%-2.64%-0.14%
201810-4.26%-5.00%$25,975$23,402-7.41%-2.93%2.12%-9.94%-8.13%-8.76%-2.93%-2.05%
2018111.68%1.80%$26,411$23,8242.01%1.79%0.34%0.57%0.50%4.90%4.67%-0.36%
201812-1.24%-3.21%$26,084$23,059-9.16%5.85%4.94%-12.38%-5.35%-3.50%-7.96%1.86%
Portfolio return and risk metrics
MetricMinimum Volatility at 8.00% ReturnEqual Weighted
Arithmetic Mean (monthly)0.64%0.59%
Arithmetic Mean (annualized)8.00%7.37%
Geometric Mean (monthly)0.62%0.54%
Geometric Mean (annualized)7.65%6.64%
Volatility (monthly)2.31%3.37%
Volatility (annualized)8.02%11.68%
Downside Deviation (monthly)1.50%2.26%
Max. Drawdown-19.12%-36.98%
US Market Correlation0.660.87
Beta(*)0.360.69
Alpha (annualized)4.65%1.22%
R243.07%74.93%
Sharpe Ratio0.830.52
Sortino Ratio1.250.76
Treynor Ratio (%)18.508.78
Calmar Ratio1.010.67
Information Ratio-0.08-0.19
Diversification Ratio1.821.45
Skewness-1.11-0.82
Excess Kurtosis4.784.80
Historical Value-at-Risk (5%)-3.11%-4.60%
Analytical Value-at-Risk (5%)-3.15%-4.94%
Conditional Value-at-Risk (5%)-5.52%-8.10%
Upside Capture Ratio (%)44.2766.95
Downside Capture Ratio (%)24.2863.28
Sustainable Withdrawal Rate11.17%10.84%
Positive Periods99 out of 156 (63.46%)94 out of 156 (60.26%)
Gain/Loss Ratio1.221.08
* 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 8.00% ReturnEqual Weighted
Subprime CrisisNov 2007Mar 2009-19.12%-36.98%

Drawdowns for Minimum Volatility at 8.00% Return

Drawdowns for Minimum Volatility at 8.00% Return (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsNov 20099 months1 year 11 months-19.12%
2Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-6.61%
3Aug 2016Nov 20164 monthsMay 20176 months10 months-6.53%
4May 2013Jun 20132 monthsJan 20147 months9 months-5.90%
5Sep 2018Oct 20182 months-5.33%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-3.66%
7Dec 2009Jan 20102 monthsMar 20102 months4 months-2.98%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.71%
9Jun 2011Jun 20111 monthAug 20112 months3 months-2.10%
10May 2006Jun 20062 monthsAug 20062 months4 months-1.93%
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%
3Feb 2018Dec 201811 months-8.82%
4Mar 2015Jan 201611 monthsJun 20165 months1 year 4 months-8.66%
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 ETF7.85%14.65%33.45%-36.98%-50.84%0.520.731.00
TLTiShares 20+ Year Treasury Bond ETF5.69%13.26%33.96%-21.80%-21.80%0.400.68-0.31
GLDSPDR Gold Shares6.80%18.06%30.45%-28.33%-42.91%0.400.630.03
IJSiShares S&P Small-Cap 600 Value ETF7.34%18.99%39.34%-29.39%-54.13%0.410.600.91
EFAiShares MSCI EAFE ETF2.84%17.49%26.95%-41.04%-57.38%0.190.260.89
EEMiShares MSCI Emerging Markets ETF4.17%22.55%68.93%-48.88%-60.44%0.250.370.79
VNQVanguard Real Estate ETF6.33%23.33%35.30%-37.00%-68.30%0.340.480.74
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.74%7.27%10.58%-3.79%-15.11%0.520.840.27

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTGLDIJSEFAEEMVNQLQDMinimum Volatility at 8.00% ReturnEqual Weighted
VTIVanguard Total Stock Market ETF--0.320.030.910.890.790.740.270.650.87
TLTiShares 20+ Year Treasury Bond ETF-0.32-0.20-0.33-0.23-0.220.000.510.440.01
GLDSPDR Gold Shares0.030.20--0.020.150.300.090.240.490.36
IJSiShares S&P Small-Cap 600 Value ETF0.91-0.33-0.02-0.760.690.750.200.550.81
EFAiShares MSCI EAFE ETF0.89-0.230.150.76-0.880.680.380.650.89
EEMiShares MSCI Emerging Markets ETF0.79-0.220.300.690.88-0.600.350.630.87
VNQVanguard Real Estate ETF0.740.000.090.750.680.60-0.420.650.84
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.270.510.240.200.380.350.42-0.640.54

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMinimum Volatility at 8.00% ReturnEqual Weighted
VTIVanguard Total Stock Market ETF55.33%13.56%
TLTiShares 20+ Year Treasury Bond ETF28.40%0.14%
GLDSPDR Gold Shares16.27%6.98%
IJSiShares S&P Small-Cap 600 Value ETF16.40%
EFAiShares MSCI EAFE ETF16.63%
EEMiShares MSCI Emerging Markets ETF21.09%
VNQVanguard Real Estate ETF20.98%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.22%

Annual Asset Returns

Rolling returns summary
Roll PeriodMinimum Volatility at 8.00% ReturnEqual Weighted
AverageHighLowAverageHighLow
1 year7.93%17.05%-7.22%7.35%23.38%-21.23%
3 years7.85%14.25%3.25%6.56%15.10%0.64%
5 years8.57%12.35%6.70%7.37%12.71%4.45%
7 years8.66%9.66%6.72%7.50%9.63%5.79%
10 years8.09%8.59%7.70%7.03%8.50%6.02%
Result statistics are based on annualized rolling returns over full calendar year periods