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 - Jan 2019)

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 4.94% to 10.27%. 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 41.55%
TLT iShares 20+ Year Treasury Bond ETF 36.93%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 9.01%
GLD SPDR Gold Shares 12.51%
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$26,325$24,681
CAGR7.68%7.15%
Expected Return 8.00% 7.90%
Stdev7.74%11.78%
Best Year16.12%23.38%
Worst Year-5.67%-21.23%
Max. Drawdown -17.44% -36.98%
Sharpe Ratio (ex-ante)0.890.58
Sharpe Ratio (ex-post)0.850.55
Sortino Ratio1.320.83
US Stock Market Correlation0.630.87
   
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 2019 are based on full calendar months from January to January
  • 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)8.48%9.67%14.76%0.5820.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)8.24%10.25%19.19%0.4770.00%100.00%
3iShares MSCI EAFE ETF (EFA)3.32%4.94%17.52%0.2200.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)4.93%7.65%22.64%0.2900.00%100.00%
5Vanguard Real Estate ETF (VNQ)7.20%10.27%23.45%0.3920.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)5.68%6.58%13.22%0.4160.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)4.97%5.24%7.30%0.5700.00%100.00%
8SPDR Gold Shares (GLD)6.98%8.70%18.01%0.4230.00%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 (1.09% 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%4.94%17.52%0.220
20.00%0.00%82.45%0.00%0.00%0.00%17.55%0.00%5.00%14.99%0.261
30.00%0.00%64.91%0.00%0.00%0.00%35.09%0.00%5.05%12.59%0.315
40.00%0.00%47.36%0.00%0.00%0.00%52.64%0.00%5.10%10.41%0.386
50.00%0.00%29.82%0.00%0.00%0.00%70.18%0.00%5.15%8.62%0.472
60.00%0.00%12.27%0.00%0.00%0.00%87.73%0.00%5.21%7.50%0.549
70.00%0.00%1.98%0.00%0.00%0.00%97.38%0.64%5.26%7.28%0.574
80.14%0.00%1.67%0.00%0.00%0.08%96.16%1.95%5.31%7.24%0.584
91.13%0.00%0.96%0.00%0.00%0.30%95.52%2.09%5.37%7.21%0.594
102.12%0.00%0.25%0.00%0.00%0.51%94.89%2.23%5.42%7.18%0.603
112.99%0.00%0.00%0.00%0.00%1.07%93.52%2.42%5.47%7.15%0.613
123.81%0.00%0.00%0.00%0.00%1.83%91.73%2.63%5.52%7.12%0.623
134.62%0.00%0.00%0.00%0.00%2.59%89.95%2.85%5.58%7.09%0.633
145.44%0.00%0.00%0.00%0.00%3.34%88.16%3.06%5.63%7.07%0.643
156.25%0.00%0.00%0.00%0.00%4.10%86.38%3.27%5.68%7.05%0.652
167.06%0.00%0.00%0.00%0.00%4.86%84.59%3.48%5.74%7.02%0.662
177.88%0.00%0.00%0.00%0.00%5.62%82.81%3.70%5.79%7.00%0.671
188.69%0.00%0.00%0.00%0.00%6.37%81.02%3.91%5.84%6.99%0.681
199.51%0.00%0.00%0.00%0.00%7.13%79.24%4.12%5.89%6.97%0.690
2010.32%0.00%0.00%0.00%0.00%7.89%77.45%4.34%5.95%6.95%0.699
2111.14%0.00%0.00%0.00%0.00%8.65%75.67%4.55%6.00%6.94%0.708
2211.95%0.00%0.00%0.00%0.00%9.40%73.88%4.76%6.05%6.93%0.717
2312.76%0.00%0.00%0.00%0.00%10.16%72.10%4.98%6.11%6.92%0.725
2413.58%0.00%0.00%0.00%0.00%10.92%70.31%5.19%6.16%6.91%0.734
2514.39%0.00%0.00%0.00%0.00%11.67%68.53%5.40%6.21%6.91%0.742
2615.21%0.00%0.00%0.00%0.00%12.43%66.74%5.62%6.27%6.91%0.750
2716.02%0.00%0.00%0.00%0.00%13.19%64.96%5.83%6.32%6.90%0.758
2816.84%0.00%0.00%0.00%0.00%13.95%63.17%6.04%6.37%6.90%0.766
2917.65%0.00%0.00%0.00%0.00%14.70%61.39%6.26%6.43%6.91%0.773
3018.46%0.00%0.00%0.00%0.00%15.46%59.61%6.47%6.48%6.91%0.781
3119.28%0.00%0.00%0.00%0.00%16.22%57.82%6.68%6.53%6.91%0.788
3220.09%0.00%0.00%0.00%0.00%16.98%56.04%6.89%6.59%6.92%0.795
3320.91%0.00%0.00%0.00%0.00%17.73%54.25%7.11%6.64%6.93%0.801
3421.72%0.00%0.00%0.00%0.00%18.49%52.47%7.32%6.69%6.94%0.808
3522.54%0.00%0.00%0.00%0.00%19.25%50.68%7.53%6.75%6.96%0.814
3623.35%0.00%0.00%0.00%0.00%20.01%48.90%7.75%6.80%6.97%0.820
3724.16%0.00%0.00%0.00%0.00%20.76%47.11%7.96%6.85%6.99%0.825
3824.98%0.00%0.00%0.00%0.00%21.52%45.33%8.17%6.91%7.01%0.831
3925.79%0.00%0.00%0.00%0.00%22.28%43.54%8.39%6.96%7.03%0.836
4026.61%0.00%0.00%0.00%0.00%23.04%41.76%8.60%7.01%7.05%0.841
4127.42%0.00%0.00%0.00%0.00%23.79%39.97%8.81%7.07%7.07%0.846
4228.24%0.00%0.00%0.00%0.00%24.55%38.19%9.03%7.12%7.10%0.850
4329.05%0.00%0.00%0.00%0.00%25.31%36.40%9.24%7.17%7.12%0.855
4429.86%0.00%0.00%0.00%0.00%26.07%34.62%9.45%7.23%7.15%0.859
4530.68%0.00%0.00%0.00%0.00%26.82%32.83%9.67%7.28%7.18%0.863
4631.49%0.00%0.00%0.00%0.00%27.58%31.05%9.88%7.34%7.21%0.866
4732.31%0.00%0.00%0.00%0.00%28.34%29.26%10.09%7.39%7.25%0.870
4833.12%0.00%0.00%0.00%0.00%29.10%27.48%10.30%7.44%7.28%0.873
4933.93%0.00%0.00%0.00%0.00%29.85%25.69%10.52%7.50%7.32%0.876
5034.75%0.00%0.00%0.00%0.00%30.61%23.91%10.73%7.55%7.36%0.878
5135.56%0.00%0.00%0.00%0.00%31.37%22.12%10.94%7.60%7.40%0.881
5236.38%0.00%0.00%0.00%0.00%32.13%20.34%11.16%7.66%7.44%0.883
5337.19%0.00%0.00%0.00%0.00%32.88%18.55%11.37%7.71%7.48%0.886
5438.01%0.00%0.00%0.00%0.00%33.64%16.77%11.58%7.77%7.53%0.887
5538.82%0.00%0.00%0.00%0.00%34.40%14.98%11.80%7.82%7.57%0.889
5639.63%0.00%0.00%0.00%0.00%35.16%13.20%12.01%7.87%7.62%0.891
5740.45%0.00%0.00%0.00%0.00%35.91%11.41%12.22%7.93%7.67%0.892
5841.26%0.00%0.00%0.00%0.00%36.67%9.63%12.44%7.98%7.72%0.893
5942.08%0.00%0.00%0.00%0.00%37.43%7.85%12.65%8.04%7.77%0.894
6042.89%0.00%0.00%0.00%0.00%38.19%6.06%12.86%8.09%7.82%0.895
6143.71%0.00%0.00%0.00%0.00%38.94%4.28%13.07%8.14%7.87%0.896
6244.52%0.00%0.00%0.00%0.00%39.70%2.49%13.29%8.20%7.93%0.897
6345.33%0.00%0.00%0.00%0.00%40.46%0.71%13.50%8.25%7.99%0.897
6446.41%0.00%0.00%0.00%0.00%39.56%0.00%14.03%8.31%8.05%0.897
6547.66%0.00%0.00%0.00%0.00%37.58%0.00%14.76%8.36%8.12%0.896
6648.91%0.00%0.00%0.00%0.00%35.61%0.00%15.49%8.41%8.21%0.892
6750.16%0.00%0.00%0.00%0.00%33.63%0.00%16.21%8.47%8.32%0.887
6851.40%0.00%0.00%0.00%0.00%31.65%0.00%16.94%8.52%8.44%0.881
6952.13%0.44%0.00%0.00%0.00%29.75%0.00%17.68%8.58%8.58%0.873
7052.18%1.44%0.00%0.00%0.00%27.95%0.00%18.43%8.63%8.73%0.864
7152.23%2.44%0.00%0.00%0.00%26.15%0.00%19.18%8.69%8.89%0.855
7252.29%3.43%0.00%0.00%0.00%24.35%0.00%19.93%8.74%9.06%0.844
7352.34%4.43%0.00%0.00%0.00%22.55%0.00%20.68%8.79%9.25%0.833
7452.39%5.43%0.00%0.00%0.00%20.75%0.00%21.43%8.85%9.44%0.822
7552.45%6.43%0.00%0.00%0.00%18.95%0.00%22.18%8.90%9.65%0.810
7652.50%7.43%0.00%0.00%0.00%17.15%0.00%22.93%8.96%9.86%0.798
7752.55%8.43%0.00%0.00%0.00%15.35%0.00%23.67%9.01%10.08%0.786
7852.60%9.42%0.00%0.00%0.00%13.55%0.00%24.42%9.07%10.31%0.774
7952.66%10.42%0.00%0.00%0.00%11.75%0.00%25.17%9.12%10.55%0.761
8052.71%11.42%0.00%0.00%0.00%9.95%0.00%25.92%9.17%10.80%0.749
8152.76%12.42%0.00%0.00%0.00%8.15%0.00%26.67%9.23%11.05%0.737
8252.82%13.42%0.00%0.00%0.00%6.35%0.00%27.42%9.28%11.30%0.725
8352.87%14.42%0.00%0.00%0.00%4.54%0.00%28.17%9.34%11.57%0.713
8452.92%15.42%0.00%0.00%0.00%2.74%0.00%28.92%9.39%11.83%0.702
8552.98%16.41%0.00%0.00%0.00%0.94%0.00%29.67%9.45%12.11%0.691
8649.90%20.57%0.00%0.00%0.00%0.00%0.00%29.52%9.50%12.39%0.679
8743.39%28.21%0.00%0.00%0.00%0.00%0.00%28.40%9.56%12.70%0.667
8836.88%35.56%0.00%0.00%0.28%0.00%0.00%27.28%9.61%13.06%0.653
8930.40%42.04%0.00%0.00%1.40%0.00%0.00%26.16%9.67%13.44%0.639
9023.92%48.51%0.00%0.00%2.52%0.00%0.00%25.04%9.72%13.85%0.624
9117.45%54.99%0.00%0.00%3.65%0.00%0.00%23.92%9.78%14.29%0.608
9210.97%61.46%0.00%0.00%4.77%0.00%0.00%22.80%9.83%14.75%0.593
934.49%67.94%0.00%0.00%5.89%0.00%0.00%21.68%9.89%15.23%0.578
940.00%73.15%0.00%0.00%7.03%0.00%0.00%19.82%9.94%15.73%0.563
950.00%75.48%0.00%0.00%8.23%0.00%0.00%16.29%10.00%16.26%0.548
960.00%77.81%0.00%0.00%9.42%0.00%0.00%12.77%10.05%16.83%0.533
970.00%80.14%0.00%0.00%10.61%0.00%0.00%9.24%10.11%17.43%0.518
980.00%82.47%0.00%0.00%11.81%0.00%0.00%5.72%10.16%18.05%0.503
990.00%84.81%0.00%0.00%13.00%0.00%0.00%2.19%10.22%18.70%0.488
1000.00%0.05%0.00%0.00%99.95%0.00%0.00%0.00%10.27%23.45%0.392
*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 (1.09% annualized).
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)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)
Minimum Volatility at 8.00% ReturnEqual WeightedMinimum Volatility at 8.00% ReturnEqual Weighted
20062.54%10.03%19.39%$11,003$11,93915.69%0.71%4.22%22.55%19.37%25.81%31.19%35.30%
20074.08%10.28%8.39%$12,133$12,9415.37%10.29%3.73%30.45%-5.56%9.94%33.31%-16.50%
20080.09%-5.67%-21.23%$11,445$10,194-36.98%33.93%2.40%4.92%-29.39%-41.04%-48.88%-37.00%
20092.72%6.18%23.38%$12,152$12,57728.89%-21.80%8.46%24.03%22.36%26.95%68.93%30.08%
20101.50%16.12%18.79%$14,111$14,94117.42%9.05%9.33%29.27%24.69%8.15%16.51%28.37%
20112.96%15.58%4.04%$16,310$15,5450.97%33.96%9.73%9.57%-1.65%-12.25%-18.82%8.62%
20121.74%10.05%14.22%$17,949$17,75616.45%2.63%10.58%6.60%18.24%18.82%19.10%17.63%
20131.50%2.96%4.45%$18,479$18,54633.45%-13.37%-2.00%-28.33%39.34%21.40%-3.69%2.31%
20140.76%15.59%8.88%$21,361$20,19312.54%27.30%8.21%-2.19%7.56%-6.20%-3.93%30.36%
20150.73%-1.42%-3.92%$21,057$19,4010.36%-1.79%-1.25%-10.67%-6.90%-1.00%-16.18%2.42%
20162.07%7.83%10.46%$22,705$21,43112.83%1.18%6.21%8.03%31.25%1.37%10.87%8.60%
20172.11%14.40%15.92%$25,974$24,84221.21%9.18%7.06%12.81%11.35%25.10%37.28%4.91%
20181.91%-2.88%-7.18%$25,227$23,059-5.21%-1.61%-3.79%-1.94%-12.84%-13.81%-15.31%-6.02%
20190.00%4.35%7.03%$26,325$24,6818.54%0.38%3.37%2.89%12.26%6.63%10.34%11.85%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)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)
Minimum Volatility at 8.00% ReturnEqual WeightedMinimum Volatility at 8.00% ReturnEqual Weighted
200612.05%5.95%$10,205$10,5953.22%-1.34%-0.44%9.93%8.75%5.77%14.20%7.54%
200620.42%-0.19%$10,248$10,5750.22%1.11%0.68%-1.11%0.27%-0.70%-3.85%1.86%
20063-0.53%1.90%$10,193$10,7762.05%-4.57%-1.68%3.62%4.86%4.01%2.17%4.73%
200640.87%2.26%$10,282$11,0200.96%-2.75%-0.20%12.03%0.18%4.79%6.52%-3.40%
20065-1.59%-3.39%$10,118$10,646-3.22%-0.19%-0.19%-1.32%-4.55%-3.82%-11.14%-2.70%
20066-0.10%0.21%$10,107$10,6690.13%1.18%-0.09%-4.67%0.04%-0.06%0.21%4.95%
200671.28%1.33%$10,236$10,810-0.12%2.16%1.46%3.15%-3.10%0.81%2.34%3.89%
200682.11%2.07%$10,453$11,0332.30%3.06%2.22%-1.38%2.70%2.55%1.58%3.48%
200691.16%0.38%$10,574$11,0752.26%1.91%0.87%-4.53%1.19%0.22%-0.87%1.96%
2006102.03%3.63%$10,788$11,4773.53%0.85%1.00%1.29%5.52%3.75%7.06%6.03%
2006112.81%3.65%$11,092$11,8962.33%2.31%1.46%6.89%2.38%3.07%5.98%4.78%
200612-0.80%0.36%$11,003$11,9391.20%-2.69%-0.90%-1.83%0.32%3.20%5.44%-1.83%
200710.73%1.99%$11,083$12,1771.86%-1.00%0.09%2.56%2.14%1.39%0.11%8.78%
200721.08%-0.08%$11,203$12,167-1.62%3.39%2.00%2.55%-0.92%-0.12%-3.24%-2.70%
20073-0.36%0.59%$11,162$12,2381.12%-1.70%-0.68%-1.11%0.91%2.90%5.33%-2.07%
200742.34%2.13%$11,423$12,4994.02%0.90%0.89%2.05%1.84%3.75%3.73%-0.13%
200750.29%1.19%$11,457$12,6493.72%-2.31%-1.23%-2.31%4.63%2.36%5.06%-0.38%
20076-1.42%-1.67%$11,294$12,437-1.76%-1.01%-0.81%-1.94%-2.24%-0.32%3.68%-8.99%
20077-0.02%-1.85%$11,292$12,207-3.53%3.32%-0.82%2.37%-6.26%-2.29%0.71%-8.26%
200781.63%1.90%$11,475$12,4401.47%1.79%2.38%1.11%1.33%-0.63%1.04%6.74%
200793.06%4.55%$11,827$13,0063.85%0.23%0.73%10.51%0.31%5.32%11.57%3.90%
2007102.37%3.85%$12,107$13,5071.79%1.81%0.97%6.95%1.06%4.25%11.87%2.10%
200711-0.02%-3.46%$12,105$13,039-4.52%5.35%1.02%-1.65%-7.15%-3.62%-7.65%-9.47%
2007120.23%-0.75%$12,133$12,941-0.70%-0.64%-0.81%6.65%-0.71%-2.99%-1.43%-5.41%
20081-0.20%-1.53%$12,109$12,743-6.17%2.10%2.57%10.84%-4.00%-7.85%-8.92%-0.78%
20082-0.62%-0.50%$12,034$12,680-2.50%-0.46%-0.71%5.23%-3.36%-1.02%1.99%-3.18%
20083-0.39%-0.17%$11,988$12,658-0.90%2.14%-0.60%-6.00%0.83%0.42%-3.75%6.48%
200840.71%2.89%$12,073$13,0234.89%-2.48%1.25%-4.16%2.64%5.44%9.14%6.38%
20085-0.24%0.76%$12,044$13,1222.02%-2.69%-2.21%0.92%3.92%1.19%3.16%-0.21%
20086-1.94%-4.92%$11,810$12,477-8.12%2.65%-1.29%4.52%-8.41%-8.80%-9.29%-10.62%
20087-0.54%-0.61%$11,746$12,401-0.62%-0.37%0.39%-1.44%2.87%-3.32%-5.50%3.12%
200880.47%-1.05%$11,801$12,2711.46%2.74%0.15%-9.29%4.76%-4.25%-6.32%2.37%
20089-3.75%-5.68%$11,359$11,574-9.24%1.47%-10.73%4.11%-4.82%-11.44%-14.68%-0.11%
200810-10.14%-16.93%$10,206$9,615-17.48%-1.86%-1.95%-16.14%-19.86%-20.83%-25.58%-31.73%
2008113.84%-3.55%$10,598$9,273-8.01%14.34%3.35%12.57%-11.80%-6.37%-9.75%-22.72%
2008127.99%9.93%$11,445$10,1941.78%13.64%13.80%7.73%6.57%8.88%10.35%16.67%
20091-7.64%-8.98%$10,570$9,278-8.05%-13.07%-1.80%5.54%-13.94%-13.73%-9.29%-17.53%
20092-5.23%-8.25%$10,018$8,512-10.53%-1.54%-5.20%1.45%-13.03%-10.39%-6.27%-20.53%
200934.65%5.84%$10,484$9,0098.26%4.04%0.47%-2.54%7.58%8.39%16.86%3.61%
200941.83%10.02%$10,676$9,91110.99%-6.95%2.78%-3.33%18.89%11.52%15.56%30.68%
200952.39%5.84%$10,931$10,4915.46%-3.69%2.32%10.23%0.67%13.19%15.94%2.62%
200960.04%-0.82%$10,936$10,4040.36%0.76%2.89%-5.22%1.52%-1.43%-2.25%-3.23%
200974.14%7.27%$11,389$11,1607.74%0.58%4.63%2.38%11.00%10.04%11.01%10.77%
200982.49%3.54%$11,673$11,5553.71%2.24%1.31%0.05%3.48%4.50%-1.31%14.32%
200993.52%4.88%$12,083$12,1194.14%2.46%1.76%5.84%4.21%3.80%10.20%6.63%
200910-1.64%-2.32%$11,885$11,838-2.63%-2.62%-0.49%3.72%-6.07%-2.52%-3.44%-4.46%
2009114.59%5.36%$12,430$12,4735.69%1.21%1.95%12.79%2.90%3.92%7.85%6.57%
200912-2.24%0.84%$12,152$12,5772.86%-6.34%-2.07%-7.20%8.10%0.70%3.27%7.37%
20101-0.53%-2.72%$12,087$12,235-3.57%2.69%1.25%-1.26%-2.54%-5.07%-7.76%-5.52%
201021.76%2.41%$12,300$12,5303.44%-0.34%0.51%3.27%4.76%0.27%1.78%5.58%
201031.90%4.63%$12,534$13,1106.40%-2.06%0.65%-0.44%7.80%6.39%8.11%10.18%
201043.04%3.01%$12,915$13,5052.18%3.32%1.91%5.88%6.63%-2.80%-0.17%7.15%
20105-1.12%-4.44%$12,770$12,906-7.88%5.11%-1.31%3.05%-8.54%-11.19%-9.39%-5.33%
201060.31%-1.42%$12,809$12,723-5.83%5.80%3.28%2.36%-8.27%-2.07%-1.40%-5.19%
201072.12%5.24%$13,080$13,3907.02%-0.95%2.11%-5.09%6.71%11.61%10.93%9.59%
201082.11%-0.50%$13,357$13,323-4.71%8.40%2.86%5.71%-7.91%-3.80%-3.24%-1.28%
201093.64%6.16%$13,843$14,1449.45%-2.51%0.46%4.78%10.93%9.97%11.76%4.45%
2010100.46%2.32%$13,906$14,4724.03%-4.47%-0.26%3.68%4.04%3.81%3.02%4.74%
201011-0.29%-0.97%$13,866$14,3310.51%-1.69%-1.62%2.11%2.47%-4.82%-2.91%-1.85%
2010121.77%4.25%$14,111$14,9416.96%-3.68%-0.75%2.44%8.97%8.30%7.27%4.54%
20111-1.08%-0.76%$13,958$14,8272.05%-3.08%0.04%-6.38%-0.24%2.10%-3.84%3.25%
201122.99%3.11%$14,376$15,2873.70%1.65%1.08%6.00%4.21%3.55%-0.04%4.71%
201130.33%0.75%$14,424$15,4020.42%0.03%-0.54%1.60%2.21%-2.39%6.29%-1.62%
201143.41%3.98%$14,916$16,0152.90%2.34%2.50%8.94%1.06%5.63%2.73%5.75%
201150.71%-0.46%$15,023$15,941-1.06%3.42%1.27%-1.79%-1.77%-2.21%-2.94%1.37%
20116-1.98%-1.80%$14,725$15,655-1.79%-2.33%-0.80%-2.43%-1.59%-1.19%-0.93%-3.30%
201171.96%1.05%$15,014$15,819-2.27%4.42%2.43%8.42%-2.77%-2.38%-1.03%1.56%
201182.61%-1.93%$15,405$15,514-6.09%9.66%0.34%12.27%-7.98%-8.75%-9.25%-5.62%
201190.38%-6.90%$15,463$14,443-7.57%13.20%0.35%-11.06%-10.57%-10.81%-17.89%-10.85%
2011104.27%8.93%$16,122$15,73311.37%-3.84%2.51%5.87%15.34%9.63%16.27%14.29%
2011110.50%-0.90%$16,203$15,592-0.37%1.98%-3.16%1.67%0.63%-2.18%-1.96%-3.80%
2011120.66%-0.30%$16,310$15,5450.98%3.44%3.49%-10.66%2.02%-2.21%-4.30%4.85%
201213.60%6.10%$16,897$16,4935.07%-0.33%2.14%11.40%7.90%5.27%10.99%6.38%
201220.57%1.37%$16,994$16,7194.22%-2.59%1.63%-2.96%1.71%4.83%5.27%-1.15%
20123-0.58%0.18%$16,894$16,7503.06%-4.23%-1.42%-1.32%2.89%0.42%-3.11%5.19%
201241.60%0.29%$17,165$16,798-0.64%4.83%1.08%-0.15%-1.91%-2.08%-1.70%2.86%
201250.02%-4.54%$17,168$16,036-6.23%9.03%0.76%-6.34%-7.18%-11.14%-10.71%-4.51%
201261.44%3.48%$17,415$16,5944.05%-1.68%0.87%2.35%4.54%7.11%5.08%5.52%
201272.19%1.30%$17,796$16,8090.88%3.82%3.48%0.84%-0.69%0.08%-0.03%2.00%
201281.25%1.74%$18,019$17,1022.70%-1.32%-0.05%4.94%4.08%3.20%0.41%-0.01%
201290.78%1.87%$18,160$17,4222.49%-2.53%1.10%4.67%3.14%2.71%5.22%-1.86%
201210-1.18%-0.76%$17,946$17,289-1.81%-0.48%1.35%-2.94%-1.96%1.09%-0.44%-0.91%
2012110.74%0.87%$18,078$17,4400.77%1.38%-0.42%-0.47%1.65%2.78%1.56%-0.26%
201212-0.72%1.81%$17,949$17,7561.29%-2.49%-0.33%-2.43%3.55%4.37%6.80%3.72%
201310.89%1.62%$18,109$18,0435.42%-3.19%-1.30%-0.51%5.35%3.73%-0.29%3.74%
201320.45%-0.28%$18,191$17,9931.28%1.24%1.08%-5.09%1.63%-1.29%-2.28%1.22%
201331.60%1.46%$18,482$18,2563.95%-0.42%-0.05%0.95%4.11%1.31%-1.02%2.87%
201341.65%1.75%$18,786$18,5751.61%4.68%2.17%-7.56%0.12%5.02%1.22%6.73%
20135-2.55%-2.91%$18,307$18,0352.44%-6.76%-3.22%-6.20%4.29%-3.02%-4.83%-5.98%
20136-3.48%-3.65%$17,670$17,377-1.43%-3.27%-3.27%-11.06%-0.14%-2.70%-5.35%-1.98%
201372.58%3.27%$18,126$17,9455.75%-2.26%1.11%7.43%6.56%5.32%1.32%0.90%
20138-1.19%-1.88%$17,910$17,607-3.03%-1.34%-1.00%5.20%-3.41%-1.96%-2.54%-6.98%
201391.33%3.20%$18,149$18,1713.90%0.66%0.74%-4.78%6.59%7.82%7.21%3.49%
2013102.42%2.82%$18,588$18,6844.27%1.43%1.81%-0.34%3.48%3.26%4.17%4.52%
201311-0.58%-0.79%$18,481$18,5362.70%-2.70%-0.14%-5.51%4.25%0.55%-0.26%-5.25%
201312-0.01%0.05%$18,479$18,5462.73%-1.87%0.22%-3.79%1.29%2.16%-0.42%0.10%
201411.61%-0.58%$18,776$18,438-3.17%6.30%1.88%3.42%-3.51%-5.20%-8.64%4.28%
201423.10%4.00%$19,359$19,1764.87%0.52%1.14%6.27%4.63%6.13%3.38%5.07%
201430.09%0.41%$19,375$19,2550.51%0.73%-0.03%-3.14%1.34%-0.46%3.88%0.49%
201440.98%0.93%$19,566$19,4340.06%2.10%1.33%0.49%-2.29%1.67%0.78%3.29%
201451.72%1.38%$19,901$19,7032.10%2.95%1.51%-3.05%0.62%1.60%2.95%2.40%
201461.79%2.13%$20,257$20,1222.62%-0.25%0.01%6.32%3.85%0.92%2.40%1.13%
20147-1.07%-1.44%$20,042$19,832-1.99%0.67%-0.32%-3.63%-5.07%-2.60%1.36%0.08%
201483.70%2.72%$20,782$20,3724.15%4.72%2.00%0.38%4.46%0.18%2.83%3.04%
20149-2.58%-4.46%$20,247$19,463-2.10%-2.11%-1.68%-6.18%-5.94%-3.88%-7.77%-6.04%
2014101.91%2.74%$20,634$19,9972.75%2.81%1.23%-3.05%7.13%-0.27%1.42%9.94%
2014112.15%0.86%$21,077$20,1692.48%2.97%0.91%-0.49%0.48%0.06%-1.54%2.00%
2014121.35%0.12%$21,361$20,193-0.04%3.25%-0.02%1.31%2.56%-4.00%-3.99%1.88%
201513.91%2.62%$22,197$20,723-2.74%9.82%3.75%8.69%-5.32%0.62%-0.69%6.85%
20152-0.75%0.65%$22,031$20,8585.74%-6.14%-1.42%-5.91%5.86%6.34%4.41%-3.67%
20153-0.33%-0.27%$21,959$20,801-1.16%1.10%0.20%-2.15%1.03%-1.43%-1.50%1.74%
20154-1.14%-0.17%$21,709$20,7660.62%-3.43%-1.19%-0.17%-1.82%3.65%6.85%-5.85%
20155-0.37%-0.64%$21,629$20,6341.30%-2.37%-1.12%0.56%0.75%0.20%-4.10%-0.30%
20156-2.56%-2.43%$21,076$20,133-1.67%-4.07%-1.88%-1.52%0.42%-3.12%-2.93%-4.68%
201571.63%-0.09%$21,420$20,1141.70%4.55%0.83%-6.62%-2.70%2.03%-6.31%5.77%
20158-2.40%-3.88%$20,906$19,333-6.09%-0.69%-0.83%3.71%-4.62%-7.43%-8.84%-6.29%
20159-0.61%-1.23%$20,780$19,095-2.92%1.97%1.19%-1.80%-3.77%-4.42%-3.13%3.05%
2015103.47%4.46%$21,501$19,9467.91%-0.41%0.57%2.28%6.57%6.61%6.38%5.76%
201511-0.93%-1.08%$21,302$19,7320.60%-0.87%-0.15%-6.75%2.47%-0.75%-2.52%-0.63%
201512-1.15%-1.67%$21,057$19,401-2.13%-0.30%-1.08%-0.45%-5.08%-2.34%-3.83%1.82%
201610.37%-1.81%$21,134$19,051-5.72%5.57%0.12%5.41%-5.85%-5.52%-5.03%-3.44%
201622.60%1.58%$21,683$19,351-0.01%3.09%1.05%10.93%2.08%-3.33%-0.82%-0.36%
201633.14%6.15%$22,365$20,5427.11%-0.09%3.62%-0.84%9.41%6.58%12.96%10.48%
201640.78%1.12%$22,539$20,7730.66%-0.74%1.55%5.11%2.13%2.22%0.41%-2.35%
201650.20%-0.65%$22,585$20,6381.73%0.81%-0.51%-6.14%0.44%-0.09%-3.69%2.25%
201664.08%3.65%$23,506$21,3910.27%6.93%3.09%8.97%0.83%-2.42%4.56%6.92%
201672.79%3.50%$24,162$22,1403.98%2.10%1.29%1.98%5.06%3.98%5.38%4.26%
20168-0.68%-0.64%$23,998$21,9990.21%-1.01%0.18%-3.26%1.13%0.53%0.88%-3.76%
20169-0.41%0.25%$23,899$22,0540.21%-1.51%-0.32%0.69%0.87%1.34%2.52%-1.82%
201610-3.03%-2.95%$23,174$21,404-2.19%-4.38%-1.53%-2.94%-3.74%-2.22%-0.83%-5.74%
201611-2.50%-1.22%$22,595$21,1424.49%-8.21%-3.17%-8.36%13.34%-1.78%-4.42%-1.68%
2016120.49%1.37%$22,705$21,4311.98%-0.46%0.84%-1.91%3.20%2.71%-0.25%4.82%
201711.76%2.10%$23,106$21,8811.86%0.81%0.15%5.42%-1.21%3.29%6.66%-0.19%
201722.64%2.20%$23,715$22,3613.69%1.59%1.32%3.18%1.35%1.19%1.74%3.51%
20173-0.30%0.32%$23,645$22,4320.06%-0.65%-0.29%-0.43%-0.65%3.23%3.69%-2.42%
201741.35%1.30%$23,963$22,7241.06%1.57%1.19%1.73%0.51%2.42%1.70%0.24%
201751.22%0.94%$24,256$22,9381.01%1.89%1.33%-0.12%-2.26%3.54%2.85%-0.72%
201760.46%0.81%$24,367$23,1240.95%0.79%0.48%-2.16%2.96%0.31%0.93%2.23%
201770.90%1.85%$24,586$23,5511.88%-0.66%0.77%2.31%0.75%2.65%5.82%1.24%
201781.91%0.97%$25,054$23,7790.15%3.41%0.68%4.20%-2.72%-0.04%2.35%-0.26%
20179-0.27%0.94%$24,987$24,0022.44%-2.32%-0.05%-3.37%8.58%2.36%-0.04%-0.11%
2017100.81%0.76%$25,190$24,1842.17%-0.04%0.19%-0.75%0.59%1.68%3.28%-1.07%
2017111.57%1.34%$25,584$24,5083.03%0.74%-0.12%0.36%3.76%0.69%-0.39%2.66%
2017121.52%1.36%$25,974$24,8421.16%1.81%1.22%2.11%-0.37%1.35%3.77%-0.14%
201811.27%1.80%$26,302$25,2895.23%-3.26%-1.23%3.23%1.33%5.02%8.30%-4.25%
20182-3.15%-4.20%$25,475$24,228-3.76%-3.04%-2.24%-2.08%-4.04%-4.83%-5.90%-7.68%
201830.37%0.88%$25,570$24,441-1.95%2.86%0.56%0.63%1.37%-0.84%0.54%3.88%
20184-0.85%-0.36%$25,354$24,3530.45%-2.09%-1.57%-0.95%1.76%1.52%-2.82%0.82%
201851.77%1.14%$25,803$24,6302.72%2.01%0.52%-1.20%5.87%-1.89%-2.62%3.68%
201860.03%-0.48%$25,812$24,5110.70%0.65%-0.49%-3.61%0.80%-1.57%-4.54%4.20%
201870.69%1.32%$25,989$24,8353.32%-1.44%1.34%-2.24%2.62%2.85%3.53%0.60%
201881.65%0.29%$26,417$24,9083.43%1.31%0.02%-2.14%3.14%-2.24%-3.77%2.58%
20189-1.07%-1.10%$26,134$24,6350.20%-2.86%-0.14%-0.66%-3.05%0.97%-0.58%-2.64%
201810-4.08%-5.00%$25,068$23,402-7.41%-2.93%-2.05%2.12%-9.94%-8.13%-8.76%-2.93%
2018111.51%1.80%$25,445$23,8242.01%1.79%-0.36%0.34%0.57%0.50%4.90%4.67%
201812-0.86%-3.21%$25,227$23,059-9.16%5.85%1.86%4.94%-12.38%-5.35%-3.50%-7.96%
201914.35%7.03%$26,325$24,6818.54%0.38%3.37%2.89%12.26%6.63%10.34%11.85%
Portfolio return and risk metrics
MetricMinimum Volatility at 8.00% ReturnEqual Weighted
Arithmetic Mean (monthly)0.64%0.64%
Arithmetic Mean (annualized)8.00%7.90%
Geometric Mean (monthly)0.62%0.58%
Geometric Mean (annualized)7.68%7.15%
Volatility (monthly)2.23%3.40%
Volatility (annualized)7.74%11.78%
Downside Deviation (monthly)1.43%2.25%
Max. Drawdown-17.44%-36.98%
US Market Correlation0.630.87
Beta(*)0.330.69
Alpha (annualized)4.68%1.27%
R240.02%75.45%
Sharpe Ratio0.850.55
Sortino Ratio1.320.83
Treynor Ratio (%)20.039.44
Calmar Ratio1.171.02
Active Return-0.68%-1.21%
Tracking Error11.54%7.39%
Information Ratio-0.06-0.16
Skewness-0.94-0.79
Excess Kurtosis4.164.61
Historical Value-at-Risk (5%)-3.05%-4.58%
Analytical Value-at-Risk (5%)-3.02%-4.94%
Conditional Value-at-Risk (5%)-5.35%-8.10%
Upside Capture Ratio (%)41.5067.26
Downside Capture Ratio (%)21.4763.27
Sustainable Withdrawal Rate11.00%10.84%
Positive Periods102 out of 157 (64.97%)95 out of 157 (60.51%)
Gain/Loss Ratio1.171.10
* 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 2009-17.44%-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-17.44%
2Aug 2016Nov 20164 monthsMay 20176 months10 months-6.49%
3Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-6.38%
4May 2013Jun 20132 monthsFeb 20148 months10 months-5.94%
5Sep 2018Oct 20182 months-5.11%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-3.61%
7Dec 2009Jan 20102 monthsMar 20102 months4 months-2.76%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.58%
9Jun 2011Jun 20111 monthAug 20112 months3 months-1.98%
10May 2006Jun 20062 monthsAug 20062 months4 months-1.69%
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 ETF8.48%14.76%33.45%-36.98%-50.84%0.550.791.00
TLTiShares 20+ Year Treasury Bond ETF5.68%13.22%33.96%-21.80%-21.80%0.400.68-0.31
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF4.97%7.30%10.58%-3.79%-15.11%0.550.900.28
GLDSPDR Gold Shares6.98%18.01%30.45%-28.33%-42.91%0.410.640.04
IJSiShares S&P Small-Cap 600 Value ETF8.24%19.19%39.34%-29.39%-54.13%0.450.670.91
EFAiShares MSCI EAFE ETF3.32%17.52%26.95%-41.04%-57.38%0.210.300.89
EEMiShares MSCI Emerging Markets ETF4.93%22.64%68.93%-48.88%-60.44%0.280.420.80
VNQVanguard Real Estate ETF7.20%23.45%35.30%-37.00%-68.30%0.370.530.74

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTLQDGLDIJSEFAEEMVNQMinimum Volatility at 8.00% ReturnEqual Weighted
VTIVanguard Total Stock Market ETF--0.310.280.040.910.890.800.740.630.87
TLTiShares 20+ Year Treasury Bond ETF-0.31-0.500.20-0.32-0.23-0.220.000.480.01
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.280.50-0.240.220.390.360.430.700.55
GLDSPDR Gold Shares0.040.200.24--0.010.150.300.090.470.36
IJSiShares S&P Small-Cap 600 Value ETF0.91-0.320.22-0.01-0.760.690.760.530.81
EFAiShares MSCI EAFE ETF0.89-0.230.390.150.76-0.880.680.630.89
EEMiShares MSCI Emerging Markets ETF0.80-0.220.360.300.690.88-0.610.610.88
VNQVanguard Real Estate ETF0.740.000.430.090.760.680.61-0.650.84

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMinimum Volatility at 8.00% ReturnEqual Weighted
VTIVanguard Total Stock Market ETF49.96%13.60%
TLTiShares 20+ Year Treasury Bond ETF30.52%0.13%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.94%4.26%
GLDSPDR Gold Shares13.58%6.92%
IJSiShares S&P Small-Cap 600 Value ETF16.53%
EFAiShares MSCI EAFE ETF16.52%
EEMiShares MSCI Emerging Markets ETF21.04%
VNQVanguard Real Estate ETF21.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodMinimum Volatility at 8.00% ReturnEqual Weighted
AverageHighLowAverageHighLow
1 year7.62%16.12%-5.67%7.35%23.38%-21.23%
3 years7.63%13.89%3.37%6.56%15.10%0.64%
5 years8.30%11.94%6.42%7.37%12.71%4.45%
7 years8.40%9.34%6.43%7.50%9.63%5.79%
10 years7.84%8.22%7.51%7.03%8.50%6.02%
Result statistics are based on annualized rolling returns over full calendar year periods