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
YearInflationiShares S&P Small-Cap 600 Value ETF (IJS)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Minimum Volatility at 10.00% Return
ReturnBalance
20062.54%19.37%0.71%22.55%17.60%$11,760
20074.08%-5.56%10.29%30.45%5.11%$12,361
20080.09%-29.39%33.93%4.92%-12.66%$10,796
20092.72%22.36%-21.80%24.03%17.03%$12,635
20101.50%24.69%9.05%29.27%24.71%$15,757
20112.96%-1.65%33.96%9.57%7.35%$16,916
20121.74%18.24%2.63%6.60%13.34%$19,173
20131.50%39.34%-13.37%-28.33%11.11%$21,303
20140.76%7.56%27.30%-2.19%8.14%$23,037
20150.73%-6.90%-1.79%-10.67%-6.41%$21,562
20162.07%31.25%1.18%8.03%21.56%$26,210
Monthly returns for the configured portfolios
YearMonthiShares S&P Small-Cap 600 Value ETF (IJS)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Minimum Volatility at 10.00% Return
ReturnBalance
200618.75%-1.34%9.93%7.51%$10,751
200620.27%1.11%-1.11%0.06%$10,758
200634.86%-4.57%3.62%3.13%$11,094
200640.18%-2.75%12.03%2.63%$11,386
20065-4.55%-0.19%-1.32%-3.10%$11,033
200660.04%1.18%-4.67%-0.94%$10,929
20067-3.10%2.16%3.15%-0.77%$10,845
200682.70%3.06%-1.38%1.76%$11,036
200691.19%1.91%-4.53%-0.10%$11,025
2006105.52%0.85%1.29%3.78%$11,441
2006112.38%2.31%6.89%3.47%$11,838
2006120.32%-2.69%-1.83%-0.66%$11,760
200712.14%-1.00%2.56%1.77%$11,967
20072-0.92%3.39%2.55%0.58%$12,037
200730.91%-1.70%-1.11%0.02%$12,039
200741.84%0.90%2.05%1.75%$12,249
200754.63%-2.31%-2.31%1.88%$12,480
20076-2.24%-1.01%-1.94%-1.98%$12,233
20077-6.26%3.32%2.37%-2.70%$11,903
200781.33%1.79%1.11%1.35%$12,063
200790.31%0.23%10.51%2.79%$12,400
2007101.06%1.81%6.95%2.61%$12,724
200711-7.15%5.35%-1.65%-3.91%$12,226
200712-0.71%-0.64%6.65%1.10%$12,361
20081-4.00%2.10%10.84%0.55%$12,429
20082-3.36%-0.46%5.23%-0.82%$12,327
200830.83%2.14%-6.00%-0.64%$12,247
200842.64%-2.48%-4.16%0.20%$12,273
200853.92%-2.69%0.92%2.18%$12,541
20086-8.41%2.65%4.52%-3.58%$12,092
200872.87%-0.37%-1.44%1.33%$12,253
200884.76%2.74%-9.29%1.02%$12,378
20089-4.82%1.47%4.11%-1.68%$12,169
200810-19.86%-1.86%-16.14%-16.23%$10,195
200811-11.80%14.34%12.57%-1.88%$10,003
2008126.57%13.64%7.73%7.93%$10,796
20091-13.94%-13.07%5.54%-9.05%$9,819
20092-13.03%-1.54%1.45%-7.75%$9,058
200937.58%4.04%-2.54%4.57%$9,473
2009418.89%-6.95%-3.33%9.54%$10,376
200950.67%-3.69%10.23%2.35%$10,620
200961.52%0.76%-5.22%-0.24%$10,594
2009711.00%0.58%2.38%7.32%$11,369
200983.48%2.24%0.05%2.46%$11,649
200994.21%2.46%5.84%4.34%$12,154
200910-6.07%-2.62%3.72%-3.16%$11,771
2009112.90%1.21%12.79%5.06%$12,366
2009128.10%-6.34%-7.20%2.17%$12,635
20101-2.54%2.69%-1.26%-1.43%$12,454
201024.76%-0.34%3.27%3.63%$12,905
201037.80%-2.06%-0.44%4.29%$13,459
201046.63%3.32%5.88%5.94%$14,260
20105-8.54%5.11%3.05%-3.64%$13,741
20106-8.27%5.80%2.36%-3.54%$13,253
201076.71%-0.95%-5.09%2.67%$13,607
20108-7.91%8.40%5.71%-2.11%$13,320
2010910.93%-2.51%4.78%7.39%$14,304
2010104.04%-4.47%3.68%2.66%$14,685
2010112.47%-1.69%2.11%1.75%$14,942
2010128.97%-3.68%2.44%5.45%$15,757
20111-0.24%-3.08%-6.38%-2.17%$15,415
201124.21%1.65%6.00%4.26%$16,072
201132.21%0.03%1.60%1.73%$16,350
201141.06%2.34%8.94%3.18%$16,870
20115-1.77%3.42%-1.79%-0.99%$16,704
20116-1.59%-2.33%-2.43%-1.91%$16,385
20117-2.77%4.42%8.42%1.05%$16,557
20118-7.98%9.66%12.27%-0.35%$16,498
20119-10.57%13.20%-11.06%-7.09%$15,329
20111015.34%-3.84%5.87%10.12%$16,880
2011110.63%1.98%1.67%1.09%$17,064
2011122.02%3.44%-10.66%-0.87%$16,916
201217.90%-0.33%11.40%7.51%$18,186
201221.71%-2.59%-2.96%-0.08%$18,171
201232.89%-4.23%-1.32%0.78%$18,313
20124-1.91%4.83%-0.15%-0.46%$18,229
20125-7.18%9.03%-6.34%-4.52%$17,406
201264.54%-1.68%2.35%3.06%$17,938
20127-0.69%3.82%0.84%0.37%$18,004
201284.08%-1.32%4.94%3.47%$18,629
201293.14%-2.53%4.67%2.65%$19,124
201210-1.96%-0.48%-2.94%-1.98%$18,745
2012111.65%1.38%-0.47%1.09%$18,950
2012123.55%-2.49%-2.43%1.17%$19,173
201315.35%-3.19%-0.51%2.63%$19,676
201321.63%1.24%-5.09%-0.07%$19,663
201334.11%-0.42%0.95%2.65%$20,183
201340.12%4.68%-7.56%-1.07%$19,968
201354.29%-6.76%-6.20%0.05%$19,978
20136-0.14%-3.27%-11.06%-3.28%$19,322
201376.56%-2.26%7.43%5.44%$20,373
20138-3.41%-1.34%5.20%-0.99%$20,171
201396.59%0.66%-4.78%2.91%$20,758
2013103.48%1.43%-0.34%2.24%$21,223
2013114.25%-2.70%-5.51%0.81%$21,395
2013121.29%-1.87%-3.79%-0.43%$21,303
20141-3.51%6.30%3.42%-0.33%$21,233
201424.63%0.52%6.27%4.41%$22,169
201431.34%0.73%-3.14%0.15%$22,202
20144-2.29%2.10%0.49%-0.95%$21,992
201450.62%2.95%-3.05%0.08%$22,009
201463.85%-0.25%6.32%3.83%$22,852
20147-5.07%0.67%-3.63%-3.85%$21,973
201484.46%4.72%0.38%3.50%$22,743
20149-5.94%-2.11%-6.18%-5.42%$21,510
2014107.13%2.81%-3.05%3.99%$22,368
2014110.48%2.97%-0.49%0.62%$22,506
2014122.56%3.25%1.31%2.36%$23,037
20151-5.32%9.82%8.69%0.40%$23,129
201525.86%-6.14%-5.91%1.16%$23,399
201531.03%1.10%-2.15%0.26%$23,460
20154-1.82%-3.43%-0.17%-1.66%$23,070
201550.75%-2.37%0.56%0.23%$23,123
201560.42%-4.07%-1.52%-0.73%$22,954
20157-2.70%4.55%-6.62%-2.56%$22,366
20158-4.62%-0.69%3.71%-1.99%$21,922
20159-3.77%1.97%-1.80%-2.42%$21,391
2015106.57%-0.41%2.28%4.46%$22,345
2015112.47%-0.87%-6.75%-0.29%$22,280
201512-5.08%-0.30%-0.45%-3.23%$21,562
20161-5.85%5.57%5.41%-1.37%$21,267
201622.08%3.09%10.93%4.40%$22,202
201639.41%-0.09%-0.84%5.47%$23,416
201642.13%-0.74%5.11%2.42%$23,983
201650.44%0.81%-6.14%-1.11%$23,716
201660.83%6.93%8.97%3.75%$24,605
201675.06%2.10%1.98%3.86%$25,554
201681.13%-1.01%-3.26%-0.27%$25,486
201690.87%-1.51%0.69%0.46%$25,605
201610-3.74%-4.38%-2.94%-3.64%$24,672
20161113.34%-8.21%-8.36%4.77%$25,849
2016123.20%-0.46%-1.91%1.40%$26,210
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
RankDrawdown StartDrawdown EndDrawdown LengthRecovery 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%
11Jan 2011Jan 20111 monthFeb 20111 month2 months-2.17%
12Oct 2012Oct 20121 monthDec 20122 months3 months-1.98%
13May 2016May 20161 monthJun 20161 month2 months-1.11%
14Aug 2013Aug 20131 monthSep 20131 month2 months-0.99%
15Apr 2014Apr 20141 monthJun 20142 months3 months-0.95%
16Dec 2011Dec 20111 monthJan 20121 month2 months-0.87%
17Dec 2013Jan 20142 monthsFeb 20141 month3 months-0.76%
18Dec 2006Dec 20061 monthJan 20071 month2 months-0.66%
19Aug 2016Aug 20161 monthSep 20161 month2 months-0.27%
20Feb 2012Feb 20121 monthMar 20121 month2 months-0.08%
21Feb 2013Feb 20131 monthMar 20131 month2 months-0.07%

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