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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Portfolio Optimization Results (Jan 2006 - Dec 2016)

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 taking into account the specified constraints is 4.45% to 11.13%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Minimum Volatility at 10.00% Return
Ticker Name Allocation
IJS iShares S&P Small-Cap 600 Value ETF 60.41%
TLT iShares 20+ Year Treasury Bond ETF 15.15%
GLD SPDR Gold Shares 24.45%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMinimum Volatility at 10.00% Return
Start Balance$10,000
End Balance$26,210
CAGR9.15%
Expected Return 10.00%
Stdev12.44%
Best Year24.71%
Worst Year-12.66%
Max. Drawdown -28.81%
Sharpe Ratio (ex-ante)0.72
Sharpe Ratio (ex-post)0.69
Sortino Ratio1.06
US Stock Market Correlation0.84
   
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 t-bills)
  • 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
#AssetExpected ReturnStandard DeviationSharpe Ratio*Min. WeightMax. Weight
1Vanguard Total Stock Market ETF (VTI)9.23%15.19%0.5390.00%100.00%
2iShares S&P Small-Cap 600 Value ETF (IJS)11.12%19.59%0.5150.00%100.00%
3iShares MSCI EAFE ETF (EFA)4.45%18.49%0.1840.00%100.00%
4iShares MSCI Emerging Markets ETF (EEM)6.48%23.76%0.2290.00%100.00%
5Vanguard Real Estate ETF (VNQ)11.13%24.86%0.4060.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)7.08%14.02%0.4310.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)5.65%7.74%0.5950.00%100.00%
8SPDR Gold Shares (GLD)9.07%19.28%0.4160.00%100.00%
*Ex ante Sharpe Ratio calculated using historical 1-month treasury bill returns as the risk-free rate (1.04% annualized).
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected ReturnStandard DeviationSharpe Ratio*
10.00%0.00%100.00%0.00%0.00%0.00%0.00%0.00%4.45%18.49%0.184
20.00%0.00%94.49%0.00%0.00%0.00%5.51%0.00%4.51%17.64%0.197
30.00%0.00%88.99%0.00%0.00%0.00%11.01%0.00%4.58%16.80%0.211
40.00%0.00%83.48%0.00%0.00%0.00%16.52%0.00%4.64%15.97%0.226
50.00%0.00%77.98%0.00%0.00%0.00%22.02%0.00%4.71%15.16%0.242
60.00%0.00%72.48%0.00%0.00%0.00%27.52%0.00%4.78%14.36%0.260
70.00%0.00%66.97%0.00%0.00%0.00%33.03%0.00%4.84%13.57%0.280
80.00%0.00%61.47%0.00%0.00%0.00%38.53%0.00%4.91%12.81%0.302
90.00%0.00%55.96%0.00%0.00%0.00%44.04%0.00%4.97%12.08%0.326
100.00%0.00%50.46%0.00%0.00%0.00%49.54%0.00%5.04%11.37%0.352
110.00%0.00%44.95%0.00%0.00%0.00%55.05%0.00%5.11%10.70%0.380
120.00%0.00%39.45%0.00%0.00%0.00%60.55%0.00%5.17%10.08%0.410
130.00%0.00%33.94%0.00%0.00%0.00%66.06%0.00%5.24%9.50%0.442
140.00%0.00%28.44%0.00%0.00%0.00%71.56%0.00%5.30%8.99%0.474
150.00%0.00%22.93%0.00%0.00%0.00%77.07%0.00%5.37%8.55%0.506
160.00%0.00%17.43%0.00%0.00%0.00%82.57%0.00%5.44%8.20%0.537
170.00%0.00%11.92%0.00%0.00%0.00%88.08%0.00%5.50%7.94%0.562
180.00%0.00%6.42%0.00%0.00%0.00%93.58%0.00%5.57%7.78%0.582
190.00%0.00%4.62%0.00%0.00%1.48%93.20%0.70%5.63%7.72%0.596
200.67%0.00%3.93%0.00%0.00%2.08%91.85%1.46%5.70%7.67%0.608
211.97%0.00%2.95%0.00%0.00%2.31%91.14%1.63%5.77%7.63%0.620
223.26%0.00%1.97%0.00%0.00%2.55%90.43%1.79%5.83%7.58%0.633
234.56%0.00%1.00%0.00%0.00%2.78%89.72%1.95%5.90%7.54%0.645
245.85%0.00%0.02%0.00%0.00%3.01%89.00%2.12%5.97%7.50%0.657
256.99%0.00%0.00%0.00%0.00%4.10%86.49%2.43%6.03%7.46%0.670
268.12%0.00%0.00%0.00%0.00%5.20%83.93%2.74%6.10%7.42%0.682
279.26%0.00%0.00%0.00%0.00%6.30%81.38%3.05%6.17%7.39%0.694
2810.39%0.00%0.00%0.00%0.00%7.41%78.83%3.36%6.23%7.36%0.706
2911.53%0.00%0.00%0.00%0.00%8.51%76.28%3.68%6.30%7.33%0.717
3012.66%0.00%0.00%0.00%0.00%9.62%73.73%3.99%6.37%7.31%0.729
3113.80%0.00%0.00%0.00%0.00%10.72%71.18%4.30%6.43%7.30%0.739
3214.94%0.00%0.00%0.00%0.00%11.82%68.63%4.61%6.50%7.28%0.750
3316.07%0.00%0.00%0.00%0.00%12.93%66.08%4.92%6.57%7.27%0.760
3417.21%0.00%0.00%0.00%0.00%14.03%63.53%5.24%6.63%7.27%0.770
3518.34%0.00%0.00%0.00%0.00%15.13%60.98%5.55%6.70%7.26%0.779
3619.48%0.00%0.00%0.00%0.00%16.24%58.43%5.86%6.77%7.27%0.789
3720.61%0.00%0.00%0.00%0.00%17.34%55.87%6.17%6.83%7.27%0.797
3821.75%0.00%0.00%0.00%0.00%18.45%53.32%6.48%6.90%7.28%0.805
3922.88%0.00%0.00%0.00%0.00%19.55%50.77%6.80%6.97%7.29%0.813
4024.02%0.00%0.00%0.00%0.00%20.65%48.22%7.11%7.04%7.31%0.820
4124.39%0.54%0.00%0.00%0.00%21.65%46.01%7.40%7.10%7.33%0.827
4224.42%1.33%0.00%0.00%0.00%22.61%43.96%7.69%7.17%7.36%0.834
4324.45%2.11%0.00%0.00%0.00%23.56%41.90%7.97%7.24%7.38%0.840
4424.48%2.90%0.00%0.00%0.00%24.52%39.85%8.25%7.31%7.41%0.845
4524.51%3.69%0.00%0.00%0.00%25.47%37.79%8.54%7.37%7.45%0.851
4624.54%4.47%0.00%0.00%0.00%26.43%35.74%8.82%7.44%7.48%0.856
4724.57%5.26%0.00%0.00%0.00%27.39%33.68%9.11%7.51%7.52%0.860
4824.60%6.04%0.00%0.00%0.00%28.34%31.63%9.39%7.57%7.56%0.864
4924.63%6.83%0.00%0.00%0.00%29.30%29.57%9.68%7.64%7.61%0.868
5024.66%7.61%0.00%0.00%0.00%30.25%27.52%9.96%7.71%7.66%0.871
5124.69%8.40%0.00%0.00%0.00%31.21%25.46%10.25%7.78%7.71%0.874
5224.72%9.18%0.00%0.00%0.00%32.16%23.40%10.53%7.84%7.76%0.877
5324.75%9.97%0.00%0.00%0.00%33.12%21.35%10.82%7.91%7.82%0.879
5424.79%10.75%0.00%0.00%0.00%34.07%19.29%11.10%7.98%7.88%0.881
5524.82%11.54%0.00%0.00%0.00%35.03%17.24%11.38%8.05%7.94%0.883
5624.85%12.32%0.00%0.00%0.00%35.98%15.18%11.67%8.12%8.00%0.885
5724.88%13.11%0.00%0.00%0.00%36.94%13.13%11.95%8.18%8.07%0.886
5824.91%13.89%0.00%0.00%0.00%37.89%11.07%12.24%8.25%8.13%0.887
5924.94%14.68%0.00%0.00%0.00%38.85%9.02%12.52%8.32%8.21%0.887
6024.97%15.46%0.00%0.00%0.00%39.80%6.96%12.81%8.39%8.28%0.888
6125.00%16.25%0.00%0.00%0.00%40.76%4.91%13.09%8.45%8.35%0.888
6225.03%17.03%0.00%0.00%0.00%41.71%2.85%13.38%8.52%8.43%0.888
6325.06%17.82%0.00%0.00%0.00%42.67%0.79%13.66%8.59%8.51%0.887
6422.98%20.13%0.00%0.00%0.00%42.82%0.00%14.06%8.66%8.59%0.887
6519.57%23.41%0.00%0.00%0.00%42.48%0.00%14.53%8.73%8.68%0.885
6616.17%26.70%0.00%0.00%0.00%42.14%0.00%15.00%8.79%8.78%0.883
6712.76%29.98%0.00%0.00%0.00%41.79%0.00%15.47%8.86%8.89%0.880
689.35%33.26%0.00%0.00%0.00%41.45%0.00%15.94%8.93%9.01%0.876
695.94%36.54%0.00%0.00%0.00%41.10%0.00%16.42%9.00%9.13%0.872
702.53%39.82%0.00%0.00%0.00%40.76%0.00%16.89%9.07%9.26%0.867
710.00%42.62%0.00%0.00%0.00%40.00%0.00%17.38%9.14%9.39%0.862
720.00%44.03%0.00%0.00%0.00%38.02%0.00%17.94%9.20%9.54%0.856
730.00%45.45%0.00%0.00%0.00%36.05%0.00%18.50%9.27%9.72%0.848
740.00%46.86%0.00%0.00%0.00%34.08%0.00%19.06%9.34%9.90%0.838
750.00%48.27%0.00%0.00%0.00%32.11%0.00%19.63%9.41%10.11%0.828
760.00%49.68%0.00%0.00%0.00%30.13%0.00%20.19%9.48%10.33%0.817
770.00%51.09%0.00%0.00%0.00%28.16%0.00%20.75%9.55%10.57%0.805
780.00%52.51%0.00%0.00%0.00%26.19%0.00%21.31%9.62%10.82%0.793
790.00%53.92%0.00%0.00%0.00%24.21%0.00%21.87%9.68%11.08%0.780
800.00%55.33%0.00%0.00%0.00%22.24%0.00%22.43%9.75%11.36%0.767
810.00%56.74%0.00%0.00%0.00%20.27%0.00%22.99%9.82%11.64%0.754
820.00%58.15%0.00%0.00%0.00%18.29%0.00%23.55%9.89%11.94%0.741
830.00%59.57%0.00%0.00%0.00%16.32%0.00%24.11%9.96%12.25%0.728
840.00%60.98%0.00%0.00%0.00%14.35%0.00%24.67%10.03%12.56%0.715
850.00%62.39%0.00%0.00%0.00%12.38%0.00%25.23%10.10%12.89%0.703
860.00%63.80%0.00%0.00%0.00%10.40%0.00%25.80%10.17%13.22%0.690
870.00%65.21%0.00%0.00%0.00%8.43%0.00%26.36%10.23%13.56%0.678
880.00%66.63%0.00%0.00%0.00%6.46%0.00%26.92%10.30%13.90%0.666
890.00%68.04%0.00%0.00%0.00%4.48%0.00%27.48%10.37%14.25%0.655
900.00%69.45%0.00%0.00%0.00%2.51%0.00%28.04%10.44%14.61%0.644
910.00%70.86%0.00%0.00%0.00%0.54%0.00%28.60%10.51%14.97%0.633
920.00%73.68%0.00%0.00%0.00%0.00%0.00%26.32%10.58%15.35%0.622
930.00%77.03%0.00%0.00%0.00%0.00%0.00%22.97%10.65%15.77%0.609
940.00%79.78%0.00%0.00%0.60%0.00%0.00%19.62%10.72%16.23%0.596
950.00%82.37%0.00%0.00%1.35%0.00%0.00%16.28%10.79%16.73%0.583
960.00%84.97%0.00%0.00%2.10%0.00%0.00%12.94%10.86%17.26%0.569
970.00%87.56%0.00%0.00%2.85%0.00%0.00%9.59%10.93%17.82%0.555
980.00%90.15%0.00%0.00%3.60%0.00%0.00%6.25%11.00%18.41%0.541
990.00%92.75%0.00%0.00%4.35%0.00%0.00%2.90%11.07%19.03%0.527
1000.00%0.14%0.00%0.00%99.86%0.00%0.00%0.00%11.13%24.85%0.406
*Ex ante Sharpe Ratio calculated using historical 1-month treasury bill returns as the risk-free rate (1.04% annualized).
Annual returns for the configured portfolios
YearInflationMinimum Volatility at 10.00% Return ReturnMinimum Volatility at 10.00% Return BalanceiShares S&P Small-Cap 600 Value ETF (IJS)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)
20062.54%17.60%$11,76019.37%0.71%22.55%
20074.08%5.11%$12,361-5.56%10.29%30.45%
20080.09%-12.66%$10,796-29.39%33.93%4.92%
20092.72%17.03%$12,63522.36%-21.80%24.03%
20101.50%24.71%$15,75724.69%9.05%29.27%
20112.96%7.35%$16,916-1.65%33.96%9.57%
20121.74%13.34%$19,17318.24%2.63%6.60%
20131.50%11.11%$21,30339.34%-13.37%-28.33%
20140.76%8.14%$23,0377.56%27.30%-2.19%
20150.73%-6.41%$21,562-6.90%-1.79%-10.67%
20162.07%21.56%$26,21031.25%1.18%8.03%
Monthly returns for the configured portfolios
YearMonthMinimum Volatility at 10.00% Return ReturnMinimum Volatility at 10.00% Return BalanceiShares S&P Small-Cap 600 Value ETF (IJS)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)
200617.51%$10,7518.75%-1.34%9.93%
200620.06%$10,7580.27%1.11%-1.11%
200633.13%$11,0944.86%-4.57%3.62%
200642.63%$11,3860.18%-2.75%12.03%
20065-3.10%$11,033-4.55%-0.19%-1.32%
20066-0.94%$10,9290.04%1.18%-4.67%
20067-0.77%$10,845-3.10%2.16%3.15%
200681.76%$11,0362.70%3.06%-1.38%
20069-0.10%$11,0251.19%1.91%-4.53%
2006103.78%$11,4415.52%0.85%1.29%
2006113.47%$11,8382.38%2.31%6.89%
200612-0.66%$11,7600.32%-2.69%-1.83%
200711.77%$11,9672.14%-1.00%2.56%
200720.58%$12,037-0.92%3.39%2.55%
200730.02%$12,0390.91%-1.70%-1.11%
200741.75%$12,2491.84%0.90%2.05%
200751.88%$12,4804.63%-2.31%-2.31%
20076-1.98%$12,233-2.24%-1.01%-1.94%
20077-2.70%$11,903-6.26%3.32%2.37%
200781.35%$12,0631.33%1.79%1.11%
200792.79%$12,4000.31%0.23%10.51%
2007102.61%$12,7241.06%1.81%6.95%
200711-3.91%$12,226-7.15%5.35%-1.65%
2007121.10%$12,361-0.71%-0.64%6.65%
200810.55%$12,429-4.00%2.10%10.84%
20082-0.82%$12,327-3.36%-0.46%5.23%
20083-0.64%$12,2470.83%2.14%-6.00%
200840.20%$12,2732.64%-2.48%-4.16%
200852.18%$12,5413.92%-2.69%0.92%
20086-3.58%$12,092-8.41%2.65%4.52%
200871.33%$12,2532.87%-0.37%-1.44%
200881.02%$12,3784.76%2.74%-9.29%
20089-1.68%$12,169-4.82%1.47%4.11%
200810-16.23%$10,195-19.86%-1.86%-16.14%
200811-1.88%$10,003-11.80%14.34%12.57%
2008127.93%$10,7966.57%13.64%7.73%
20091-9.05%$9,819-13.94%-13.07%5.54%
20092-7.75%$9,058-13.03%-1.54%1.45%
200934.57%$9,4737.58%4.04%-2.54%
200949.54%$10,37618.89%-6.95%-3.33%
200952.35%$10,6200.67%-3.69%10.23%
20096-0.24%$10,5941.52%0.76%-5.22%
200977.32%$11,36911.00%0.58%2.38%
200982.46%$11,6493.48%2.24%0.05%
200994.34%$12,1544.21%2.46%5.84%
200910-3.16%$11,771-6.07%-2.62%3.72%
2009115.06%$12,3662.90%1.21%12.79%
2009122.17%$12,6358.10%-6.34%-7.20%
20101-1.43%$12,454-2.54%2.69%-1.26%
201023.63%$12,9054.76%-0.34%3.27%
201034.29%$13,4597.80%-2.06%-0.44%
201045.94%$14,2606.63%3.32%5.88%
20105-3.64%$13,741-8.54%5.11%3.05%
20106-3.54%$13,253-8.27%5.80%2.36%
201072.67%$13,6076.71%-0.95%-5.09%
20108-2.11%$13,320-7.91%8.40%5.71%
201097.39%$14,30410.93%-2.51%4.78%
2010102.66%$14,6854.04%-4.47%3.68%
2010111.75%$14,9422.47%-1.69%2.11%
2010125.45%$15,7578.97%-3.68%2.44%
20111-2.17%$15,415-0.24%-3.08%-6.38%
201124.26%$16,0724.21%1.65%6.00%
201131.73%$16,3502.21%0.03%1.60%
201143.18%$16,8701.06%2.34%8.94%
20115-0.99%$16,704-1.77%3.42%-1.79%
20116-1.91%$16,385-1.59%-2.33%-2.43%
201171.05%$16,557-2.77%4.42%8.42%
20118-0.35%$16,498-7.98%9.66%12.27%
20119-7.09%$15,329-10.57%13.20%-11.06%
20111010.12%$16,88015.34%-3.84%5.87%
2011111.09%$17,0640.63%1.98%1.67%
201112-0.87%$16,9162.02%3.44%-10.66%
201217.51%$18,1867.90%-0.33%11.40%
20122-0.08%$18,1711.71%-2.59%-2.96%
201230.78%$18,3132.89%-4.23%-1.32%
20124-0.46%$18,229-1.91%4.83%-0.15%
20125-4.52%$17,406-7.18%9.03%-6.34%
201263.06%$17,9384.54%-1.68%2.35%
201270.37%$18,004-0.69%3.82%0.84%
201283.47%$18,6294.08%-1.32%4.94%
201292.65%$19,1243.14%-2.53%4.67%
201210-1.98%$18,745-1.96%-0.48%-2.94%
2012111.09%$18,9501.65%1.38%-0.47%
2012121.17%$19,1733.55%-2.49%-2.43%
201312.63%$19,6765.35%-3.19%-0.51%
20132-0.07%$19,6631.63%1.24%-5.09%
201332.65%$20,1834.11%-0.42%0.95%
20134-1.07%$19,9680.12%4.68%-7.56%
201350.05%$19,9784.29%-6.76%-6.20%
20136-3.28%$19,322-0.14%-3.27%-11.06%
201375.44%$20,3736.56%-2.26%7.43%
20138-0.99%$20,171-3.41%-1.34%5.20%
201392.91%$20,7586.59%0.66%-4.78%
2013102.24%$21,2233.48%1.43%-0.34%
2013110.81%$21,3954.25%-2.70%-5.51%
201312-0.43%$21,3031.29%-1.87%-3.79%
20141-0.33%$21,233-3.51%6.30%3.42%
201424.41%$22,1694.63%0.52%6.27%
201430.15%$22,2021.34%0.73%-3.14%
20144-0.95%$21,992-2.29%2.10%0.49%
201450.08%$22,0090.62%2.95%-3.05%
201463.83%$22,8523.85%-0.25%6.32%
20147-3.85%$21,973-5.07%0.67%-3.63%
201483.50%$22,7434.46%4.72%0.38%
20149-5.42%$21,510-5.94%-2.11%-6.18%
2014103.99%$22,3687.13%2.81%-3.05%
2014110.62%$22,5060.48%2.97%-0.49%
2014122.36%$23,0372.56%3.25%1.31%
201510.40%$23,129-5.32%9.82%8.69%
201521.16%$23,3995.86%-6.14%-5.91%
201530.26%$23,4601.03%1.10%-2.15%
20154-1.66%$23,070-1.82%-3.43%-0.17%
201550.23%$23,1230.75%-2.37%0.56%
20156-0.73%$22,9540.42%-4.07%-1.52%
20157-2.56%$22,366-2.70%4.55%-6.62%
20158-1.99%$21,922-4.62%-0.69%3.71%
20159-2.42%$21,391-3.77%1.97%-1.80%
2015104.46%$22,3456.57%-0.41%2.28%
201511-0.29%$22,2802.47%-0.87%-6.75%
201512-3.23%$21,562-5.08%-0.30%-0.45%
20161-1.37%$21,267-5.85%5.57%5.41%
201624.40%$22,2022.08%3.09%10.93%
201635.47%$23,4169.41%-0.09%-0.84%
201642.42%$23,9832.13%-0.74%5.11%
20165-1.11%$23,7160.44%0.81%-6.14%
201663.75%$24,6050.83%6.93%8.97%
201673.86%$25,5545.06%2.10%1.98%
20168-0.27%$25,4861.13%-1.01%-3.26%
201690.46%$25,6050.87%-1.51%0.69%
201610-3.64%$24,672-3.74%-4.38%-2.94%
2016114.77%$25,84913.34%-8.21%-8.36%
2016121.40%$26,2103.20%-0.46%-1.91%
Portfolio return and risk metrics
MetricMinimum Volatility at 10.00% Return
Arithmetic Mean (monthly)0.80%
Arithmetic Mean (annualized)10.00%
Geometric Mean (monthly)0.73%
Geometric Mean (annualized)9.15%
Volatility (monthly)3.59%
Volatility (annualized)12.44%
Downside Deviation (monthly)2.30%
Max. Drawdown-28.81%
US Market Correlation0.84
Beta(*)0.69
Alpha (annualized)3.57%
R270.09%
Sharpe Ratio0.69
Sortino Ratio1.06
Treynor Ratio (%)12.44
Information Ratio0.10
Diversification Ratio1.50
Skewness-0.72
Excess Kurtosis3.57
Historical Value-at-Risk (5%)-4.12%
Analytical Value-at-Risk (5%)-5.08%
Conditional Value-at-Risk (5%)-8.34%
Upside Capture Ratio (%)72.96
Downside Capture Ratio (%)58.72
Positive Periods80 out of 132 (60.61%)
Gain/Loss Ratio1.19
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndMinimum Volatility at 10.00% Return
Subprime CrisisNov 2007Mar 2009-28.81%

Drawdowns for Minimum Volatility at 10.00% Return

Drawdowns for Minimum Volatility at 10.00% Return (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20101 year2 years 4 months-28.81%
2Apr 2015Jan 201610 monthsApr 20163 months1 year 1 month-9.35%
3May 2011Sep 20115 monthsOct 20111 month6 months-9.14%
4May 2010Jun 20102 monthsSep 20103 months5 months-7.06%
5Jul 2014Sep 20143 monthsDec 20143 months6 months-5.87%
6Apr 2012May 20122 monthsAug 20123 months5 months-4.95%
7May 2006Jul 20063 monthsOct 20063 months6 months-4.75%
8Jun 2007Jul 20072 monthsOct 20073 months5 months-4.63%
9Apr 2013Jun 20133 monthsJul 20131 month4 months-4.27%
10Oct 2016Oct 20161 monthNov 20161 month2 months-3.64%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IJSiShares S&P Small-Cap 600 Value ETF9.02%19.59%39.34%-29.39%-54.13%0.490.730.92
TLTiShares 20+ Year Treasury Bond ETF6.06%14.02%33.96%-21.80%-21.80%0.420.71-0.32
GLDSPDR Gold Shares7.09%19.28%30.45%-28.33%-42.91%0.400.630.05

Monthly Correlations

Correlations for the portfolio assets
TickerNameIJSTLTGLDMinimum Volatility at 10.00% Return
IJSiShares S&P Small-Cap 600 Value ETF--0.340.010.90
TLTiShares 20+ Year Treasury Bond ETF-0.34-0.19-0.08
GLDSPDR Gold Shares0.010.19-0.42

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMinimum Volatility at 10.00% Return
IJSiShares S&P Small-Cap 600 Value ETF85.41%
TLTiShares 20+ Year Treasury Bond ETF-1.40%
GLDSPDR Gold Shares15.98%

Annual Asset Returns