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 - Mar 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 5.15% to 10.54%. 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 39.19%
TLT iShares 20+ Year Treasury Bond ETF 34.81%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 15.04%
GLD SPDR Gold Shares 10.96%
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$26,705$25,235
CAGR7.69%7.24%
Expected Return 8.00% 7.98%
Stdev7.54%11.71%
Best Year15.57%23.38%
Worst Year-5.23%-21.23%
Max. Drawdown -16.85% -36.98%
Sharpe Ratio (ex-ante)0.910.59
Sharpe Ratio (ex-post)0.870.56
Sortino Ratio1.350.84
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 March
  • 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)8.77%9.95%14.69%0.6030.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)8.14%10.13%19.14%0.4720.00%100.00%
3iShares MSCI EAFE ETF (EFA)3.55%5.15%17.42%0.2330.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)4.83%7.52%22.50%0.2850.00%100.00%
5Vanguard Real Estate ETF (VNQ)7.50%10.54%23.32%0.4050.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)5.93%6.84%13.22%0.4340.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)5.12%5.39%7.29%0.5890.00%100.00%
8SPDR Gold Shares (GLD)6.71%8.41%17.91%0.4080.00%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 (1.10% annualized).
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected Return*Standard Deviation*Sharpe Ratio*
10.00%0.00%99.99%0.00%0.00%0.00%0.01%0.00%5.15%17.42%0.233
20.00%0.00%77.74%0.00%0.00%0.00%22.26%0.00%5.21%14.25%0.288
30.00%0.00%55.48%0.00%0.00%0.00%44.52%0.00%5.26%11.32%0.367
40.00%0.00%33.23%0.00%0.00%0.00%66.77%0.00%5.31%8.88%0.474
50.00%0.00%10.97%0.00%0.00%0.00%89.03%0.00%5.37%7.44%0.573
60.00%0.00%2.07%0.00%0.00%0.00%96.86%1.07%5.42%7.25%0.595
70.00%0.05%1.73%0.00%0.00%0.00%95.46%2.76%5.47%7.21%0.606
80.62%0.40%0.91%0.00%0.00%0.00%95.07%3.01%5.53%7.18%0.616
91.93%0.15%0.09%0.00%0.00%0.00%94.69%3.14%5.58%7.15%0.626
102.98%0.00%0.00%0.00%0.00%0.38%93.24%3.40%5.63%7.12%0.636
113.81%0.00%0.00%0.00%0.00%1.16%91.46%3.57%5.69%7.09%0.646
124.63%0.00%0.00%0.00%0.00%1.95%89.68%3.75%5.74%7.07%0.656
135.46%0.00%0.00%0.00%0.00%2.73%87.89%3.92%5.79%7.04%0.666
146.28%0.00%0.00%0.00%0.00%3.52%86.11%4.09%5.85%7.02%0.676
157.11%0.00%0.00%0.00%0.00%4.30%84.33%4.26%5.90%7.00%0.685
167.93%0.00%0.00%0.00%0.00%5.08%82.55%4.43%5.95%6.98%0.695
178.76%0.00%0.00%0.00%0.00%5.87%80.76%4.61%6.01%6.96%0.704
189.58%0.00%0.00%0.00%0.00%6.65%78.98%4.78%6.06%6.95%0.714
1910.41%0.00%0.00%0.00%0.00%7.44%77.20%4.95%6.11%6.94%0.723
2011.23%0.00%0.00%0.00%0.00%8.22%75.42%5.12%6.17%6.92%0.732
2112.06%0.00%0.00%0.00%0.00%9.01%73.64%5.30%6.22%6.91%0.741
2212.88%0.00%0.00%0.00%0.00%9.79%71.85%5.47%6.28%6.90%0.749
2313.71%0.00%0.00%0.00%0.00%10.58%70.07%5.64%6.33%6.90%0.758
2414.54%0.00%0.00%0.00%0.00%11.36%68.29%5.81%6.38%6.89%0.766
2515.36%0.00%0.00%0.00%0.00%12.15%66.51%5.98%6.44%6.89%0.774
2616.19%0.00%0.00%0.00%0.00%12.93%64.73%6.16%6.49%6.89%0.782
2717.01%0.00%0.00%0.00%0.00%13.72%62.94%6.33%6.54%6.89%0.790
2817.84%0.00%0.00%0.00%0.00%14.50%61.16%6.50%6.60%6.89%0.798
2918.66%0.00%0.00%0.00%0.00%15.29%59.38%6.67%6.65%6.89%0.805
3019.49%0.00%0.00%0.00%0.00%16.07%57.60%6.85%6.71%6.90%0.812
3120.31%0.00%0.00%0.00%0.00%16.86%55.81%7.02%6.76%6.91%0.819
3221.14%0.00%0.00%0.00%0.00%17.64%54.03%7.19%6.81%6.92%0.826
3321.96%0.00%0.00%0.00%0.00%18.43%52.25%7.36%6.87%6.93%0.832
3422.79%0.00%0.00%0.00%0.00%19.21%50.47%7.53%6.92%6.94%0.839
3523.61%0.00%0.00%0.00%0.00%20.00%48.69%7.71%6.98%6.96%0.845
3624.44%0.00%0.00%0.00%0.00%20.78%46.90%7.88%7.03%6.97%0.850
3725.26%0.00%0.00%0.00%0.00%21.57%45.12%8.05%7.08%6.99%0.856
3826.09%0.00%0.00%0.00%0.00%22.35%43.34%8.22%7.14%7.01%0.861
3926.91%0.00%0.00%0.00%0.00%23.13%41.56%8.40%7.19%7.03%0.866
4027.74%0.00%0.00%0.00%0.00%23.92%39.78%8.57%7.25%7.05%0.871
4128.56%0.00%0.00%0.00%0.00%24.70%37.99%8.74%7.30%7.08%0.876
4229.39%0.00%0.00%0.00%0.00%25.49%36.21%8.91%7.35%7.11%0.880
4330.21%0.00%0.00%0.00%0.00%26.27%34.43%9.08%7.41%7.13%0.884
4431.04%0.00%0.00%0.00%0.00%27.06%32.65%9.26%7.46%7.16%0.888
4531.86%0.00%0.00%0.00%0.00%27.84%30.87%9.43%7.52%7.20%0.892
4632.69%0.00%0.00%0.00%0.00%28.63%29.08%9.60%7.57%7.23%0.895
4733.51%0.00%0.00%0.00%0.00%29.41%27.30%9.77%7.63%7.26%0.898
4834.34%0.00%0.00%0.00%0.00%30.20%25.52%9.95%7.68%7.30%0.901
4935.16%0.00%0.00%0.00%0.00%30.98%23.74%10.12%7.73%7.34%0.904
5035.99%0.00%0.00%0.00%0.00%31.77%21.95%10.29%7.79%7.38%0.907
5136.81%0.00%0.00%0.00%0.00%32.55%20.17%10.46%7.84%7.42%0.909
5237.64%0.00%0.00%0.00%0.00%33.34%18.39%10.64%7.90%7.46%0.911
5338.46%0.00%0.00%0.00%0.00%34.12%16.61%10.81%7.95%7.50%0.913
5439.29%0.00%0.00%0.00%0.00%34.91%14.83%10.98%8.01%7.55%0.915
5540.11%0.00%0.00%0.00%0.00%35.69%13.04%11.15%8.06%7.59%0.916
5640.94%0.00%0.00%0.00%0.00%36.48%11.26%11.32%8.12%7.64%0.918
5741.76%0.00%0.00%0.00%0.00%37.26%9.48%11.50%8.17%7.69%0.919
5842.59%0.00%0.00%0.00%0.00%38.05%7.70%11.67%8.22%7.74%0.920
5943.41%0.00%0.00%0.00%0.00%38.83%5.92%11.84%8.28%7.79%0.921
6044.24%0.00%0.00%0.00%0.00%39.62%4.13%12.01%8.33%7.84%0.922
6145.06%0.00%0.00%0.00%0.00%40.40%2.35%12.19%8.39%7.90%0.923
6245.89%0.00%0.00%0.00%0.00%41.19%0.57%12.36%8.44%7.95%0.923
6347.23%0.00%0.00%0.00%0.00%40.13%0.00%12.63%8.50%8.01%0.923
6448.82%0.00%0.00%0.00%0.00%38.22%0.00%12.96%8.55%8.09%0.921
6550.41%0.00%0.00%0.00%0.00%36.31%0.00%13.28%8.61%8.19%0.917
6652.00%0.00%0.00%0.00%0.00%34.40%0.00%13.60%8.66%8.30%0.911
6753.59%0.00%0.00%0.00%0.00%32.48%0.00%13.92%8.72%8.43%0.903
6855.18%0.00%0.00%0.00%0.00%30.57%0.00%14.25%8.77%8.58%0.894
6956.77%0.00%0.00%0.00%0.00%28.66%0.00%14.57%8.83%8.74%0.884
7058.36%0.00%0.00%0.00%0.00%26.75%0.00%14.89%8.88%8.92%0.873
7159.95%0.00%0.00%0.00%0.00%24.83%0.00%15.22%8.94%9.11%0.861
7261.54%0.00%0.00%0.00%0.00%22.92%0.00%15.54%8.99%9.31%0.848
7363.13%0.00%0.00%0.00%0.00%21.01%0.00%15.86%9.05%9.52%0.834
7464.72%0.00%0.00%0.00%0.00%19.10%0.00%16.18%9.10%9.75%0.821
7566.31%0.00%0.00%0.00%0.00%17.18%0.00%16.51%9.16%9.98%0.807
7667.90%0.00%0.00%0.00%0.00%15.27%0.00%16.83%9.21%10.23%0.793
7769.49%0.00%0.00%0.00%0.00%13.36%0.00%17.15%9.27%10.48%0.779
7871.08%0.00%0.00%0.00%0.00%11.45%0.00%17.48%9.32%10.74%0.765
7972.67%0.00%0.00%0.00%0.00%9.53%0.00%17.80%9.38%11.01%0.751
8074.26%0.00%0.00%0.00%0.00%7.62%0.00%18.12%9.43%11.29%0.738
8175.85%0.00%0.00%0.00%0.00%5.71%0.00%18.44%9.49%11.57%0.725
8277.44%0.00%0.00%0.00%0.00%3.80%0.00%18.77%9.54%11.86%0.712
8378.13%0.00%0.00%0.00%0.75%2.01%0.00%19.12%9.60%12.16%0.699
8478.79%0.00%0.00%0.00%1.51%0.23%0.00%19.47%9.65%12.46%0.686
8579.50%0.00%0.00%0.00%3.42%0.00%0.00%17.08%9.71%12.77%0.674
8680.22%0.00%0.00%0.00%5.49%0.00%0.00%14.29%9.76%13.12%0.660
8780.93%0.00%0.00%0.00%7.57%0.00%0.00%11.50%9.82%13.50%0.646
8881.64%0.00%0.00%0.00%9.64%0.00%0.00%8.72%9.87%13.90%0.631
8982.36%0.00%0.00%0.00%11.71%0.00%0.00%5.93%9.93%14.33%0.616
9083.07%0.00%0.00%0.00%13.79%0.00%0.00%3.15%9.99%14.78%0.601
9183.78%0.00%0.00%0.00%15.86%0.00%0.00%0.36%10.04%15.25%0.586
9275.64%0.00%0.00%0.00%24.36%0.00%0.00%0.00%10.10%15.79%0.570
9366.19%0.00%0.00%0.00%33.81%0.00%0.00%0.00%10.15%16.44%0.551
9456.73%0.00%0.00%0.00%43.27%0.00%0.00%0.00%10.21%17.20%0.529
9547.28%0.00%0.00%0.00%52.72%0.00%0.00%0.00%10.26%18.05%0.507
9637.82%0.00%0.00%0.00%62.18%0.00%0.00%0.00%10.32%18.99%0.485
9728.37%0.00%0.00%0.00%71.63%0.00%0.00%0.00%10.37%19.99%0.464
9818.91%0.00%0.00%0.00%81.09%0.00%0.00%0.00%10.43%21.05%0.443
997.44%2.89%0.00%0.00%89.67%0.00%0.00%0.00%10.48%22.16%0.423
1000.00%0.00%0.00%0.00%100.00%0.00%0.00%0.00%10.54%23.32%0.405
*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 (1.10% 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%9.53%19.39%$10,953$11,93915.69%0.71%4.22%22.55%19.37%25.81%31.19%35.30%
20074.08%9.68%8.39%$12,013$12,9415.37%10.29%3.73%30.45%-5.56%9.94%33.31%-16.50%
20080.09%-5.23%-21.23%$11,385$10,194-36.98%33.93%2.40%4.92%-29.39%-41.04%-48.88%-37.00%
20092.72%6.19%23.38%$12,090$12,57728.89%-21.80%8.46%24.03%22.36%26.95%68.93%30.08%
20101.50%15.57%18.79%$13,973$14,94117.42%9.05%9.33%29.27%24.69%8.15%16.51%28.37%
20112.96%15.23%4.04%$16,100$15,5450.97%33.96%9.73%9.57%-1.65%-12.25%-18.82%8.62%
20121.74%10.11%14.22%$17,729$17,75616.45%2.63%10.58%6.60%18.24%18.82%19.10%17.63%
20131.50%2.93%4.45%$18,248$18,54633.45%-13.37%-2.00%-28.33%39.34%21.40%-3.69%2.31%
20140.76%15.25%8.88%$21,031$20,19312.54%27.30%8.21%-2.19%7.56%-6.20%-3.93%30.36%
20150.73%-1.33%-3.92%$20,751$19,4010.36%-1.79%-1.25%-10.67%-6.90%-1.00%-16.18%2.42%
20162.07%7.72%10.46%$22,352$21,43112.83%1.18%6.21%8.03%31.25%1.37%10.87%8.60%
20172.11%13.92%15.92%$25,462$24,84221.21%9.18%7.06%12.81%11.35%25.10%37.28%4.91%
20181.91%-2.94%-7.18%$24,713$23,059-5.21%-1.61%-3.79%-1.94%-12.84%-13.81%-15.31%-6.02%
20190.61%8.06%9.44%$26,705$25,23514.00%4.52%6.18%0.63%12.33%10.34%9.88%17.37%
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
200611.82%5.95%$10,182$10,5953.22%-1.34%-0.44%9.93%8.75%5.77%14.20%7.54%
200620.45%-0.19%$10,228$10,5750.22%1.11%0.68%-1.11%0.27%-0.70%-3.85%1.86%
20063-0.64%1.90%$10,162$10,7762.05%-4.57%-1.68%3.62%4.86%4.01%2.17%4.73%
200640.70%2.26%$10,234$11,0200.96%-2.75%-0.20%12.03%0.18%4.79%6.52%-3.40%
20065-1.50%-3.39%$10,080$10,646-3.22%-0.19%-0.19%-1.32%-4.55%-3.82%-11.14%-2.70%
20066-0.06%0.21%$10,074$10,6690.13%1.18%-0.09%-4.67%0.04%-0.06%0.21%4.95%
200671.27%1.33%$10,202$10,810-0.12%2.16%1.46%3.15%-3.10%0.81%2.34%3.89%
200682.15%2.07%$10,421$11,0332.30%3.06%2.22%-1.38%2.70%2.55%1.58%3.48%
200691.19%0.38%$10,544$11,0752.26%1.91%0.87%-4.53%1.19%0.22%-0.87%1.96%
2006101.97%3.63%$10,752$11,4773.53%0.85%1.00%1.29%5.52%3.75%7.06%6.03%
2006112.69%3.65%$11,041$11,8962.33%2.31%1.46%6.89%2.38%3.07%5.98%4.78%
200612-0.80%0.36%$10,953$11,9391.20%-2.69%-0.90%-1.83%0.32%3.20%5.44%-1.83%
200710.68%1.99%$11,027$12,1771.86%-1.00%0.09%2.56%2.14%1.39%0.11%8.78%
200721.12%-0.08%$11,151$12,167-1.62%3.39%2.00%2.55%-0.92%-0.12%-3.24%-2.70%
20073-0.38%0.59%$11,109$12,2381.12%-1.70%-0.68%-1.11%0.91%2.90%5.33%-2.07%
200742.25%2.13%$11,359$12,4994.02%0.90%0.89%2.05%1.84%3.75%3.73%-0.13%
200750.22%1.19%$11,384$12,6493.72%-2.31%-1.23%-2.31%4.63%2.36%5.06%-0.38%
20076-1.38%-1.67%$11,227$12,437-1.76%-1.01%-0.81%-1.94%-2.24%-0.32%3.68%-8.99%
20077-0.10%-1.85%$11,216$12,207-3.53%3.32%-0.82%2.37%-6.26%-2.29%0.71%-8.26%
200781.68%1.90%$11,405$12,4401.47%1.79%2.38%1.11%1.33%-0.63%1.04%6.74%
200792.85%4.55%$11,730$13,0063.85%0.23%0.73%10.51%0.31%5.32%11.57%3.90%
2007102.24%3.85%$11,993$13,5071.79%1.81%0.97%6.95%1.06%4.25%11.87%2.10%
2007110.06%-3.46%$12,000$13,039-4.52%5.35%1.02%-1.65%-7.15%-3.62%-7.65%-9.47%
2007120.11%-0.75%$12,013$12,941-0.70%-0.64%-0.81%6.65%-0.71%-2.99%-1.43%-5.41%
20081-0.11%-1.53%$12,000$12,743-6.17%2.10%2.57%10.84%-4.00%-7.85%-8.92%-0.78%
20082-0.67%-0.50%$11,919$12,680-2.50%-0.46%-0.71%5.23%-3.36%-1.02%1.99%-3.18%
20083-0.35%-0.17%$11,877$12,658-0.90%2.14%-0.60%-6.00%0.83%0.42%-3.75%6.48%
200840.78%2.89%$11,970$13,0234.89%-2.48%1.25%-4.16%2.64%5.44%9.14%6.38%
20085-0.38%0.76%$11,925$13,1222.02%-2.69%-2.21%0.92%3.92%1.19%3.16%-0.21%
20086-1.96%-4.92%$11,692$12,477-8.12%2.65%-1.29%4.52%-8.41%-8.80%-9.29%-10.62%
20087-0.47%-0.61%$11,636$12,401-0.62%-0.37%0.39%-1.44%2.87%-3.32%-5.50%3.12%
200880.53%-1.05%$11,698$12,2711.46%2.74%0.15%-9.29%4.76%-4.25%-6.32%2.37%
20089-4.27%-5.68%$11,198$11,574-9.24%1.47%-10.73%4.11%-4.82%-11.44%-14.68%-0.11%
200810-9.56%-16.93%$10,128$9,615-17.48%-1.86%-1.95%-16.14%-19.86%-20.83%-25.58%-31.73%
2008113.73%-3.55%$10,506$9,273-8.01%14.34%3.35%12.57%-11.80%-6.37%-9.75%-22.72%
2008128.37%9.93%$11,385$10,1941.78%13.64%13.80%7.73%6.57%8.88%10.35%16.67%
20091-7.37%-8.98%$10,546$9,278-8.05%-13.07%-1.80%5.54%-13.94%-13.73%-9.29%-17.53%
20092-5.28%-8.25%$9,989$8,512-10.53%-1.54%-5.20%1.45%-13.03%-10.39%-6.27%-20.53%
200934.44%5.84%$10,432$9,0098.26%4.04%0.47%-2.54%7.58%8.39%16.86%3.61%
200941.94%10.02%$10,635$9,91110.99%-6.95%2.78%-3.33%18.89%11.52%15.56%30.68%
200952.33%5.84%$10,882$10,4915.46%-3.69%2.32%10.23%0.67%13.19%15.94%2.62%
200960.27%-0.82%$10,911$10,4040.36%0.76%2.89%-5.22%1.52%-1.43%-2.25%-3.23%
200974.19%7.27%$11,369$11,1607.74%0.58%4.63%2.38%11.00%10.04%11.01%10.77%
200982.44%3.54%$11,646$11,5553.71%2.24%1.31%0.05%3.48%4.50%-1.31%14.32%
200993.38%4.88%$12,039$12,1194.14%2.46%1.76%5.84%4.21%3.80%10.20%6.63%
200910-1.61%-2.32%$11,846$11,838-2.63%-2.62%-0.49%3.72%-6.07%-2.52%-3.44%-4.46%
2009114.35%5.36%$12,361$12,4735.69%1.21%1.95%12.79%2.90%3.92%7.85%6.57%
200912-2.19%0.84%$12,090$12,5772.86%-6.34%-2.07%-7.20%8.10%0.70%3.27%7.37%
20101-0.41%-2.72%$12,041$12,235-3.57%2.69%1.25%-1.26%-2.54%-5.07%-7.76%-5.52%
201021.67%2.41%$12,241$12,5303.44%-0.34%0.51%3.27%4.76%0.27%1.78%5.58%
201031.84%4.63%$12,466$13,1106.40%-2.06%0.65%-0.44%7.80%6.39%8.11%10.18%
201042.94%3.01%$12,833$13,5052.18%3.32%1.91%5.88%6.63%-2.80%-0.17%7.15%
20105-1.17%-4.44%$12,683$12,906-7.88%5.11%-1.31%3.05%-8.54%-11.19%-9.39%-5.33%
201060.48%-1.42%$12,744$12,723-5.83%5.80%3.28%2.36%-8.27%-2.07%-1.40%-5.19%
201072.18%5.24%$13,022$13,3907.02%-0.95%2.11%-5.09%6.71%11.61%10.93%9.59%
201082.13%-0.50%$13,300$13,323-4.71%8.40%2.86%5.71%-7.91%-3.80%-3.24%-1.28%
201093.42%6.16%$13,755$14,1449.45%-2.51%0.46%4.78%10.93%9.97%11.76%4.45%
2010100.39%2.32%$13,808$14,4724.03%-4.47%-0.26%3.68%4.04%3.81%3.02%4.74%
201011-0.40%-0.97%$13,753$14,3310.51%-1.69%-1.62%2.11%2.47%-4.82%-2.91%-1.85%
2010121.60%4.25%$13,973$14,9416.96%-3.68%-0.75%2.44%8.97%8.30%7.27%4.54%
20111-0.96%-0.76%$13,838$14,8272.05%-3.08%0.04%-6.38%-0.24%2.10%-3.84%3.25%
201122.84%3.11%$14,231$15,2873.70%1.65%1.08%6.00%4.21%3.55%-0.04%4.71%
201130.27%0.75%$14,269$15,4020.42%0.03%-0.54%1.60%2.21%-2.39%6.29%-1.62%
201143.31%3.98%$14,741$16,0152.90%2.34%2.50%8.94%1.06%5.63%2.73%5.75%
201150.77%-0.46%$14,855$15,941-1.06%3.42%1.27%-1.79%-1.77%-2.21%-2.94%1.37%
20116-1.90%-1.80%$14,572$15,655-1.79%-2.33%-0.80%-2.43%-1.59%-1.19%-0.93%-3.30%
201171.94%1.05%$14,855$15,819-2.27%4.42%2.43%8.42%-2.77%-2.38%-1.03%1.56%
201182.37%-1.93%$15,207$15,514-6.09%9.66%0.34%12.27%-7.98%-8.75%-9.25%-5.62%
201190.47%-6.90%$15,278$14,443-7.57%13.20%0.35%-11.06%-10.57%-10.81%-17.89%-10.85%
2011104.14%8.93%$15,911$15,73311.37%-3.84%2.51%5.87%15.34%9.63%16.27%14.29%
2011110.25%-0.90%$15,951$15,592-0.37%1.98%-3.16%1.67%0.63%-2.18%-1.96%-3.80%
2011120.94%-0.30%$16,100$15,5450.98%3.44%3.49%-10.66%2.02%-2.21%-4.30%4.85%
201213.44%6.10%$16,655$16,4935.07%-0.33%2.14%11.40%7.90%5.27%10.99%6.38%
201220.67%1.37%$16,766$16,7194.22%-2.59%1.63%-2.96%1.71%4.83%5.27%-1.15%
20123-0.63%0.18%$16,660$16,7503.06%-4.23%-1.42%-1.32%2.89%0.42%-3.11%5.19%
201241.58%0.29%$16,923$16,798-0.64%4.83%1.08%-0.15%-1.91%-2.08%-1.70%2.86%
201250.12%-4.54%$16,944$16,036-6.23%9.03%0.76%-6.34%-7.18%-11.14%-10.71%-4.51%
201261.39%3.48%$17,180$16,5944.05%-1.68%0.87%2.35%4.54%7.11%5.08%5.52%
201272.29%1.30%$17,573$16,8090.88%3.82%3.48%0.84%-0.69%0.08%-0.03%2.00%
201281.13%1.74%$17,772$17,1022.70%-1.32%-0.05%4.94%4.08%3.20%0.41%-0.01%
201290.77%1.87%$17,909$17,4222.49%-2.53%1.10%4.67%3.14%2.71%5.22%-1.86%
201210-1.00%-0.76%$17,731$17,289-1.81%-0.48%1.35%-2.94%-1.96%1.09%-0.44%-0.91%
2012110.67%0.87%$17,849$17,4400.77%1.38%-0.42%-0.47%1.65%2.78%1.56%-0.26%
201212-0.68%1.81%$17,729$17,7561.29%-2.49%-0.33%-2.43%3.55%4.37%6.80%3.72%
201310.76%1.62%$17,864$18,0435.42%-3.19%-1.30%-0.51%5.35%3.73%-0.29%3.74%
201320.54%-0.28%$17,960$17,9931.28%1.24%1.08%-5.09%1.63%-1.29%-2.28%1.22%
201331.50%1.46%$18,229$18,2563.95%-0.42%-0.05%0.95%4.11%1.31%-1.02%2.87%
201341.76%1.75%$18,549$18,5751.61%4.68%2.17%-7.56%0.12%5.02%1.22%6.73%
20135-2.56%-2.91%$18,074$18,0352.44%-6.76%-3.22%-6.20%4.29%-3.02%-4.83%-5.98%
20136-3.40%-3.65%$17,459$17,377-1.43%-3.27%-3.27%-11.06%-0.14%-2.70%-5.35%-1.98%
201372.45%3.27%$17,886$17,9455.75%-2.26%1.11%7.43%6.56%5.32%1.32%0.90%
20138-1.23%-1.88%$17,666$17,607-3.03%-1.34%-1.00%5.20%-3.41%-1.96%-2.54%-6.98%
201391.34%3.20%$17,903$18,1713.90%0.66%0.74%-4.78%6.59%7.82%7.21%3.49%
2013102.40%2.82%$18,334$18,6844.27%1.43%1.81%-0.34%3.48%3.26%4.17%4.52%
201311-0.51%-0.79%$18,241$18,5362.70%-2.70%-0.14%-5.51%4.25%0.55%-0.26%-5.25%
2013120.04%0.05%$18,248$18,5462.73%-1.87%0.22%-3.79%1.29%2.16%-0.42%0.10%
201411.61%-0.58%$18,542$18,438-3.17%6.30%1.88%3.42%-3.51%-5.20%-8.64%4.28%
201422.95%4.00%$19,088$19,1764.87%0.52%1.14%6.27%4.63%6.13%3.38%5.07%
201430.10%0.41%$19,108$19,2550.51%0.73%-0.03%-3.14%1.34%-0.46%3.88%0.49%
201441.01%0.93%$19,301$19,4340.06%2.10%1.33%0.49%-2.29%1.67%0.78%3.29%
201451.74%1.38%$19,637$19,7032.10%2.95%1.51%-3.05%0.62%1.60%2.95%2.40%
201461.64%2.13%$19,958$20,1222.62%-0.25%0.01%6.32%3.85%0.92%2.40%1.13%
20147-1.00%-1.44%$19,760$19,832-1.99%0.67%-0.32%-3.63%-5.07%-2.60%1.36%0.08%
201483.61%2.72%$20,474$20,3724.15%4.72%2.00%0.38%4.46%0.18%2.83%3.04%
20149-2.49%-4.46%$19,965$19,463-2.10%-2.11%-1.68%-6.18%-5.94%-3.88%-7.77%-6.04%
2014101.91%2.74%$20,345$19,9972.75%2.81%1.23%-3.05%7.13%-0.27%1.42%9.94%
2014112.09%0.86%$20,770$20,1692.48%2.97%0.91%-0.49%0.48%0.06%-1.54%2.00%
2014121.26%0.12%$21,031$20,193-0.04%3.25%-0.02%1.31%2.56%-4.00%-3.99%1.88%
201513.86%2.62%$21,843$20,723-2.74%9.82%3.75%8.69%-5.32%0.62%-0.69%6.85%
20152-0.75%0.65%$21,680$20,8585.74%-6.14%-1.42%-5.91%5.86%6.34%4.41%-3.67%
20153-0.28%-0.27%$21,620$20,801-1.16%1.10%0.20%-2.15%1.03%-1.43%-1.50%1.74%
20154-1.15%-0.17%$21,371$20,7660.62%-3.43%-1.19%-0.17%-1.82%3.65%6.85%-5.85%
20155-0.42%-0.64%$21,281$20,6341.30%-2.37%-1.12%0.56%0.75%0.20%-4.10%-0.30%
20156-2.52%-2.43%$20,744$20,133-1.67%-4.07%-1.88%-1.52%0.42%-3.12%-2.93%-4.68%
201571.65%-0.09%$21,086$20,1141.70%4.55%0.83%-6.62%-2.70%2.03%-6.31%5.77%
20158-2.35%-3.88%$20,592$19,333-6.09%-0.69%-0.83%3.71%-4.62%-7.43%-8.84%-6.29%
20159-0.48%-1.23%$20,493$19,095-2.92%1.97%1.19%-1.80%-3.77%-4.42%-3.13%3.05%
2015103.29%4.46%$21,168$19,9467.91%-0.41%0.57%2.28%6.57%6.61%6.38%5.76%
201511-0.83%-1.08%$20,992$19,7320.60%-0.87%-0.15%-6.75%2.47%-0.75%-2.52%-0.63%
201512-1.15%-1.67%$20,751$19,401-2.13%-0.30%-1.08%-0.45%-5.08%-2.34%-3.83%1.82%
201610.31%-1.81%$20,815$19,051-5.72%5.57%0.12%5.41%-5.85%-5.52%-5.03%-3.44%
201622.43%1.58%$21,320$19,351-0.01%3.09%1.05%10.93%2.08%-3.33%-0.82%-0.36%
201633.21%6.15%$22,004$20,5427.11%-0.09%3.62%-0.84%9.41%6.58%12.96%10.48%
201640.79%1.12%$22,179$20,7730.66%-0.74%1.55%5.11%2.13%2.22%0.41%-2.35%
201650.21%-0.65%$22,225$20,6381.73%0.81%-0.51%-6.14%0.44%-0.09%-3.69%2.25%
201663.97%3.65%$23,108$21,3910.27%6.93%3.09%8.97%0.83%-2.42%4.56%6.92%
201672.70%3.50%$23,732$22,1403.98%2.10%1.29%1.98%5.06%3.98%5.38%4.26%
20168-0.60%-0.64%$23,589$21,9990.21%-1.01%0.18%-3.26%1.13%0.53%0.88%-3.76%
20169-0.42%0.25%$23,491$22,0540.21%-1.51%-0.32%0.69%0.87%1.34%2.52%-1.82%
201610-2.94%-2.95%$22,801$21,404-2.19%-4.38%-1.53%-2.94%-3.74%-2.22%-0.83%-5.74%
201611-2.49%-1.22%$22,233$21,1424.49%-8.21%-3.17%-8.36%13.34%-1.78%-4.42%-1.68%
2016120.53%1.37%$22,352$21,4311.98%-0.46%0.84%-1.91%3.20%2.71%-0.25%4.82%
201711.63%2.10%$22,715$21,8811.86%0.81%0.15%5.42%-1.21%3.29%6.66%-0.19%
201722.55%2.20%$23,294$22,3613.69%1.59%1.32%3.18%1.35%1.19%1.74%3.51%
20173-0.30%0.32%$23,225$22,4320.06%-0.65%-0.29%-0.43%-0.65%3.23%3.69%-2.42%
201741.33%1.30%$23,534$22,7241.06%1.57%1.19%1.73%0.51%2.42%1.70%0.24%
201751.24%0.94%$23,826$22,9381.01%1.89%1.33%-0.12%-2.26%3.54%2.85%-0.72%
201760.48%0.81%$23,941$23,1240.95%0.79%0.48%-2.16%2.96%0.31%0.93%2.23%
201770.88%1.85%$24,151$23,5511.88%-0.66%0.77%2.31%0.75%2.65%5.82%1.24%
201781.81%0.97%$24,588$23,7790.15%3.41%0.68%4.20%-2.72%-0.04%2.35%-0.26%
20179-0.23%0.94%$24,531$24,0022.44%-2.32%-0.05%-3.37%8.58%2.36%-0.04%-0.11%
2017100.78%0.76%$24,724$24,1842.17%-0.04%0.19%-0.75%0.59%1.68%3.28%-1.07%
2017111.47%1.34%$25,086$24,5083.03%0.74%-0.12%0.36%3.76%0.69%-0.39%2.66%
2017121.50%1.36%$25,462$24,8421.16%1.81%1.22%2.11%-0.37%1.35%3.77%-0.14%
201811.09%1.80%$25,739$25,2895.23%-3.26%-1.23%3.23%1.33%5.02%8.30%-4.25%
20182-3.09%-4.20%$24,942$24,228-3.76%-3.04%-2.24%-2.08%-4.04%-4.83%-5.90%-7.68%
201830.38%0.88%$25,038$24,441-1.95%2.86%0.56%0.63%1.37%-0.84%0.54%3.88%
20184-0.89%-0.36%$24,814$24,3530.45%-2.09%-1.57%-0.95%1.76%1.52%-2.82%0.82%
201851.71%1.14%$25,239$24,6302.72%2.01%0.52%-1.20%5.87%-1.89%-2.62%3.68%
201860.03%-0.48%$25,247$24,5110.70%0.65%-0.49%-3.61%0.80%-1.57%-4.54%4.20%
201870.76%1.32%$25,438$24,8353.32%-1.44%1.34%-2.24%2.62%2.85%3.53%0.60%
201881.57%0.29%$25,838$24,9083.43%1.31%0.02%-2.14%3.14%-2.24%-3.77%2.58%
20189-1.01%-1.10%$25,576$24,6350.20%-2.86%-0.14%-0.66%-3.05%0.97%-0.58%-2.64%
201810-4.00%-5.00%$24,553$23,402-7.41%-2.93%-2.05%2.12%-9.94%-8.13%-8.76%-2.93%
2018111.39%1.80%$24,895$23,8242.01%1.79%-0.36%0.34%0.57%0.50%4.90%4.67%
201812-0.73%-3.21%$24,713$23,059-9.16%5.85%1.86%4.94%-12.38%-5.35%-3.50%-7.96%
201914.30%7.03%$25,776$24,6818.54%0.38%3.37%2.89%12.26%6.63%10.34%11.85%
201920.82%0.90%$25,987$24,9033.56%-1.38%-0.20%-0.61%4.13%2.54%-1.53%0.70%
201932.76%1.33%$26,705$25,2351.42%5.57%2.93%-1.60%-3.91%0.92%1.13%4.21%
Portfolio return and risk metrics
MetricMinimum Volatility at 8.00% ReturnEqual Weighted
Arithmetic Mean (monthly)0.64%0.64%
Arithmetic Mean (annualized)8.00%7.98%
Geometric Mean (monthly)0.62%0.58%
Geometric Mean (annualized)7.69%7.24%
Volatility (monthly)2.18%3.38%
Volatility (annualized)7.54%11.71%
Downside Deviation (monthly)1.38%2.24%
Max. Drawdown-16.85%-36.98%
US Market Correlation0.630.87
Beta(*)0.320.69
Alpha (annualized)4.69%1.18%
R239.16%75.30%
Sharpe Ratio0.870.56
Sortino Ratio1.350.84
Treynor Ratio (%)20.619.54
Calmar Ratio1.060.81
Active Return-0.96%-1.41%
Tracking Error11.57%7.37%
Information Ratio-0.08-0.19
Skewness-0.85-0.79
Excess Kurtosis4.014.71
Historical Value-at-Risk (5%)-2.94%-4.54%
Analytical Value-at-Risk (5%)-2.93%-4.90%
Conditional Value-at-Risk (5%)-5.28%-8.10%
Upside Capture Ratio (%)40.8866.87
Downside Capture Ratio (%)20.8563.25
Safe Withdrawal Rate10.88%10.84%
Perpetual Withdrawal Rate5.47%5.06%
Positive Periods106 out of 159 (66.67%)97 out of 159 (61.01%)
Gain/Loss Ratio1.111.09
* 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 8.00% ReturnEqual Weighted
Subprime CrisisNov 2007Mar 2009-16.85%-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 monthsSep 20097 months1 year 9 months-16.85%
2Aug 2016Nov 20164 monthsMay 20176 months10 months-6.31%
3Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-6.18%
4May 2013Jun 20132 monthsFeb 20148 months10 months-5.88%
5Sep 2018Oct 20182 monthsFeb 20194 months6 months-4.97%
6Feb 2018Apr 20183 monthsAug 20184 months7 months-3.59%
7Dec 2009Jan 20102 monthsMar 20102 months4 months-2.59%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.49%
9Jun 2011Jun 20111 monthAug 20112 months3 months-1.90%
10Oct 2009Oct 20091 monthNov 20091 month2 months-1.61%
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 ETF8.77%14.69%33.45%-36.98%-50.84%0.570.821.00
TLTiShares 20+ Year Treasury Bond ETF5.93%13.22%33.96%-21.80%-21.80%0.420.71-0.31
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.12%7.29%10.58%-3.79%-15.11%0.570.930.28
GLDSPDR Gold Shares6.71%17.91%30.45%-28.33%-42.91%0.390.620.04
IJSiShares S&P Small-Cap 600 Value ETF8.14%19.14%39.34%-29.39%-54.13%0.450.660.91
EFAiShares MSCI EAFE ETF3.55%17.42%26.95%-41.04%-57.38%0.230.310.89
EEMiShares MSCI Emerging Markets ETF4.83%22.50%68.93%-48.88%-60.44%0.270.410.80
VNQVanguard Real Estate ETF7.50%23.32%35.30%-37.00%-68.30%0.380.550.74

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTLQDGLDIJSEFAEEMVNQMinimum Volatility at 8.00% ReturnEqual Weighted
VTIVanguard Total Stock Market ETF--0.310.280.040.910.890.790.740.620.87
TLTiShares 20+ Year Treasury Bond ETF-0.31-0.510.19-0.33-0.23-0.210.010.500.01
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.280.51-0.240.210.390.360.430.730.55
GLDSPDR Gold Shares0.040.190.24--0.010.150.300.090.440.36
IJSiShares S&P Small-Cap 600 Value ETF0.91-0.330.21-0.01-0.760.690.750.520.81
EFAiShares MSCI EAFE ETF0.89-0.230.390.150.76-0.880.680.630.89
EEMiShares MSCI Emerging Markets ETF0.79-0.210.360.300.690.88-0.610.610.88
VNQVanguard Real Estate ETF0.740.010.430.090.750.680.61-0.660.84

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMinimum Volatility at 8.00% ReturnEqual Weighted
VTIVanguard Total Stock Market ETF47.57%13.60%
TLTiShares 20+ Year Treasury Bond ETF30.31%0.15%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF10.66%4.27%
GLDSPDR Gold Shares11.45%6.91%
IJSiShares S&P Small-Cap 600 Value ETF16.51%
EFAiShares MSCI EAFE ETF16.53%
EEMiShares MSCI Emerging Markets ETF21.03%
VNQVanguard Real Estate ETF21.01%

Annual Asset Returns

Rolling returns summary
Roll PeriodMinimum Volatility at 8.00% ReturnEqual Weighted
AverageHighLowAverageHighLow
1 year7.43%15.57%-5.23%7.35%23.38%-21.23%
3 years7.49%13.61%3.35%6.56%15.10%0.64%
5 years8.16%11.71%6.25%7.37%12.71%4.45%
7 years8.26%9.18%6.31%7.50%9.63%5.79%
10 years7.71%8.06%7.39%7.03%8.50%6.02%
Result statistics are based on annualized rolling returns over full calendar year periods