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
Save portfolio »
IJS iShares S&P Small-Cap 600 Value ETF 60.40%
TLT iShares 20+ Year Treasury Bond ETF 14.97%
GLD SPDR Gold Trust 24.63%

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRExpected ReturnStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Minimum Volatility at 10.00% Return$10,000$26,205 9.15% 10.00% 12.40%24.75%-12.69%-28.81% 0.681.060.84
   
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
*Ex ante Sharpe Ratio calculated using historical 1-month treasury bill returns as the risk-free rate (1.04% annualized).
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 REIT ETF (VNQ)11.13%24.86%0.4060.00%100.00%
6iShares 20+ Year Treasury Bond ETF (TLT)7.06%14.02%0.4290.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)5.62%7.75%0.5910.00%100.00%
8SPDR Gold Trust (GLD)9.07%19.28%0.4160.00%100.00%
Efficient Frontier Assets
#VTIIJSEFAEEMVNQTLTLQDGLDExpected ReturnStandard DeviationSharpe Ratio*
*Ex ante Sharpe Ratio calculated using historical 1-month treasury bill returns as the risk-free rate (1.04% annualized).
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%94.36%0.00%0.00%0.00%5.64%0.00%4.51%17.62%0.197
30.00%0.00%88.71%0.00%0.00%0.00%11.29%0.00%4.58%16.76%0.211
40.00%0.00%83.07%0.00%0.00%0.00%16.93%0.00%4.64%15.91%0.227
50.00%0.00%77.43%0.00%0.00%0.00%22.57%0.00%4.71%15.07%0.244
60.00%0.00%71.79%0.00%0.00%0.00%28.21%0.00%4.78%14.26%0.262
70.00%0.00%66.15%0.00%0.00%0.00%33.85%0.00%4.84%13.46%0.283
80.00%0.00%60.50%0.00%0.00%0.00%39.50%0.00%4.91%12.68%0.305
90.00%0.00%54.86%0.00%0.00%0.00%45.14%0.00%4.97%11.93%0.330
100.00%0.00%49.22%0.00%0.00%0.00%50.78%0.00%5.04%11.22%0.357
110.00%0.00%43.58%0.00%0.00%0.00%56.42%0.00%5.11%10.54%0.386
120.00%0.00%37.94%0.00%0.00%0.00%62.06%0.00%5.17%9.91%0.417
130.00%0.00%32.30%0.00%0.00%0.00%67.70%0.00%5.24%9.34%0.449
140.00%0.00%26.65%0.00%0.00%0.00%73.35%0.00%5.30%8.84%0.482
150.00%0.00%21.01%0.00%0.00%0.00%78.99%0.00%5.37%8.42%0.515
160.00%0.00%15.37%0.00%0.00%0.00%84.63%0.00%5.44%8.09%0.544
170.00%0.00%9.73%0.00%0.00%0.00%90.27%0.00%5.50%7.86%0.568
180.00%0.00%4.78%0.00%0.00%0.57%94.64%0.00%5.57%7.75%0.584
190.00%0.00%4.45%0.00%0.00%1.92%92.37%1.27%5.63%7.70%0.597
201.21%0.00%3.51%0.00%0.00%2.20%91.57%1.51%5.70%7.65%0.609
212.50%0.00%2.54%0.00%0.00%2.43%90.86%1.67%5.77%7.61%0.621
223.79%0.00%1.56%0.00%0.00%2.66%90.14%1.84%5.83%7.57%0.634
235.09%0.00%0.59%0.00%0.00%2.90%89.43%2.00%5.90%7.52%0.646
246.31%0.00%0.00%0.00%0.00%3.47%88.00%2.22%5.97%7.48%0.659
257.44%0.00%0.00%0.00%0.00%4.56%85.47%2.53%6.03%7.45%0.671
268.56%0.00%0.00%0.00%0.00%5.65%82.94%2.84%6.10%7.41%0.683
279.69%0.00%0.00%0.00%0.00%6.75%80.41%3.15%6.17%7.38%0.695
2810.82%0.00%0.00%0.00%0.00%7.84%77.88%3.47%6.23%7.35%0.707
2911.94%0.00%0.00%0.00%0.00%8.94%75.35%3.78%6.30%7.33%0.718
3013.07%0.00%0.00%0.00%0.00%10.03%72.81%4.09%6.37%7.31%0.729
3114.20%0.00%0.00%0.00%0.00%11.12%70.28%4.40%6.43%7.29%0.740
3215.32%0.00%0.00%0.00%0.00%12.22%67.75%4.71%6.50%7.28%0.750
3316.45%0.00%0.00%0.00%0.00%13.31%65.22%5.02%6.57%7.27%0.760
3417.58%0.00%0.00%0.00%0.00%14.41%62.69%5.33%6.63%7.27%0.770
3518.70%0.00%0.00%0.00%0.00%15.50%60.16%5.64%6.70%7.27%0.779
3619.83%0.00%0.00%0.00%0.00%16.59%57.63%5.95%6.77%7.27%0.788
3720.95%0.00%0.00%0.00%0.00%17.69%55.10%6.26%6.83%7.28%0.797
3822.08%0.00%0.00%0.00%0.00%18.78%52.57%6.57%6.90%7.29%0.805
3923.21%0.00%0.00%0.00%0.00%19.88%50.04%6.88%6.97%7.30%0.812
4024.33%0.00%0.00%0.00%0.00%20.97%47.51%7.19%7.04%7.32%0.820
4124.48%0.70%0.00%0.00%0.00%21.93%45.41%7.47%7.10%7.34%0.826
4224.52%1.47%0.00%0.00%0.00%22.88%43.37%7.76%7.17%7.36%0.833
4324.56%2.24%0.00%0.00%0.00%23.83%41.32%8.04%7.24%7.39%0.839
4424.60%3.02%0.00%0.00%0.00%24.78%39.27%8.32%7.31%7.42%0.844
4524.64%3.79%0.00%0.00%0.00%25.73%37.23%8.61%7.37%7.46%0.850
4624.68%4.56%0.00%0.00%0.00%26.68%35.18%8.89%7.44%7.49%0.854
4724.72%5.34%0.00%0.00%0.00%27.63%33.13%9.18%7.51%7.53%0.859
4824.76%6.11%0.00%0.00%0.00%28.58%31.09%9.46%7.57%7.57%0.863
4924.80%6.89%0.00%0.00%0.00%29.53%29.04%9.74%7.64%7.62%0.867
5024.84%7.66%0.00%0.00%0.00%30.48%26.99%10.03%7.71%7.67%0.870
5124.88%8.43%0.00%0.00%0.00%31.43%24.95%10.31%7.78%7.72%0.873
5224.92%9.21%0.00%0.00%0.00%32.38%22.90%10.59%7.84%7.77%0.876
5324.96%9.98%0.00%0.00%0.00%33.33%20.85%10.88%7.91%7.83%0.878
5425.00%10.75%0.00%0.00%0.00%34.28%18.81%11.16%7.98%7.89%0.880
5525.04%11.53%0.00%0.00%0.00%35.23%16.76%11.44%8.05%7.95%0.882
5625.08%12.30%0.00%0.00%0.00%36.18%14.71%11.73%8.12%8.01%0.883
5725.12%13.07%0.00%0.00%0.00%37.13%12.66%12.01%8.18%8.08%0.884
5825.16%13.85%0.00%0.00%0.00%38.08%10.62%12.29%8.25%8.15%0.885
5925.20%14.62%0.00%0.00%0.00%39.03%8.57%12.58%8.32%8.22%0.886
6025.24%15.39%0.00%0.00%0.00%39.98%6.52%12.86%8.39%8.29%0.886
6125.28%16.17%0.00%0.00%0.00%40.93%4.48%13.15%8.45%8.37%0.886
6225.32%16.94%0.00%0.00%0.00%41.88%2.43%13.43%8.52%8.44%0.886
6325.36%17.72%0.00%0.00%0.00%42.82%0.38%13.71%8.59%8.52%0.886
6422.61%20.52%0.00%0.00%0.00%42.72%0.00%14.15%8.66%8.61%0.885
6519.22%23.79%0.00%0.00%0.00%42.37%0.00%14.63%8.73%8.70%0.884
6615.83%27.06%0.00%0.00%0.00%42.02%0.00%15.10%8.79%8.80%0.882
6712.43%30.33%0.00%0.00%0.00%41.67%0.00%15.57%8.86%8.91%0.879
689.04%33.60%0.00%0.00%0.00%41.32%0.00%16.05%8.93%9.02%0.875
695.64%36.87%0.00%0.00%0.00%40.97%0.00%16.52%9.00%9.14%0.871
702.25%40.14%0.00%0.00%0.00%40.62%0.00%17.00%9.07%9.27%0.866
710.00%42.78%0.00%0.00%0.00%39.72%0.00%17.50%9.14%9.41%0.860
720.00%44.18%0.00%0.00%0.00%37.76%0.00%18.07%9.20%9.56%0.854
730.00%45.58%0.00%0.00%0.00%35.79%0.00%18.63%9.27%9.74%0.846
740.00%46.97%0.00%0.00%0.00%33.83%0.00%19.20%9.34%9.93%0.836
750.00%48.37%0.00%0.00%0.00%31.86%0.00%19.76%9.41%10.13%0.826
760.00%49.77%0.00%0.00%0.00%29.90%0.00%20.33%9.48%10.35%0.815
770.00%51.17%0.00%0.00%0.00%27.93%0.00%20.90%9.55%10.59%0.803
780.00%52.57%0.00%0.00%0.00%25.97%0.00%21.46%9.62%10.84%0.791
790.00%53.97%0.00%0.00%0.00%24.00%0.00%22.03%9.68%11.10%0.779
800.00%55.37%0.00%0.00%0.00%22.04%0.00%22.59%9.75%11.38%0.766
810.00%56.77%0.00%0.00%0.00%20.07%0.00%23.16%9.82%11.66%0.753
820.00%58.17%0.00%0.00%0.00%18.11%0.00%23.72%9.89%11.96%0.740
830.00%59.57%0.00%0.00%0.00%16.14%0.00%24.29%9.96%12.26%0.727
840.00%60.97%0.00%0.00%0.00%14.18%0.00%24.85%10.03%12.58%0.715
850.00%62.36%0.00%0.00%0.00%12.22%0.00%25.42%10.10%12.90%0.702
860.00%63.76%0.00%0.00%0.00%10.25%0.00%25.99%10.17%13.23%0.690
870.00%65.16%0.00%0.00%0.00%8.29%0.00%26.55%10.23%13.57%0.678
880.00%66.56%0.00%0.00%0.00%6.32%0.00%27.12%10.30%13.91%0.666
890.00%67.96%0.00%0.00%0.00%4.36%0.00%27.68%10.37%14.26%0.655
900.00%69.36%0.00%0.00%0.00%2.39%0.00%28.25%10.44%14.61%0.643
910.00%70.76%0.00%0.00%0.00%0.43%0.00%28.81%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
Annual returns for the configured portfolios
YearInflationiShares S&P Small-Cap 600 Value ETF (IJS)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Trust (GLD)Total ReturnInflation Adjusted ReturnYear End Balance
20062.54%19.37%0.71%22.55%17.64%14.72%$11,764
20074.08%-5.56%10.29%30.45%5.14%1.02%$12,369
20080.09%-29.39%33.93%4.92%-12.69%-12.77%$10,799
20092.72%22.36%-21.80%24.03%17.13%14.02%$12,648
20101.50%24.69%9.05%29.27%24.75%22.91%$15,778
20112.96%-1.65%33.96%9.57%7.31%4.22%$16,932
20121.74%18.24%2.41%6.60%13.31%11.37%$19,186
20131.50%39.34%-13.37%-28.33%11.07%9.43%$21,310
20140.76%7.56%27.30%-2.19%8.09%7.28%$23,034
20150.73%-6.90%-1.79%-10.67%-6.42%-7.10%$21,555
20162.07%31.25%1.18%8.03%21.57%19.10%$26,205
Monthly returns for the configured portfolios
YearMonthVanguard Total Stock Market ETF (VTI)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)Vanguard REIT ETF (VNQ)iShares 20+ Year Treasury Bond ETF (TLT)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)SPDR Gold Trust (GLD)Total ReturnMonth End Balance
200613.22%8.75%5.77%14.20%7.54%-1.34%-0.44%9.93%7.53%$10,753
200620.22%0.27%-0.70%-3.85%1.86%1.11%0.68%-1.11%0.06%$10,759
200632.05%4.86%4.01%2.17%4.73%-4.57%-1.68%3.62%3.14%$11,097
200640.96%0.18%4.79%6.52%-3.40%-2.75%-0.20%12.03%2.66%$11,392
20065-3.22%-4.55%-3.82%-11.14%-2.70%-0.19%-0.19%-1.32%-3.10%$11,039
200660.13%0.04%-0.06%0.21%4.95%1.18%-0.09%-4.67%-0.95%$10,934
20067-0.12%-3.10%0.81%2.34%3.89%2.16%1.46%3.15%-0.77%$10,850
200682.30%2.70%2.55%1.58%3.48%3.06%2.22%-1.38%1.75%$11,040
200692.26%1.19%0.22%-0.87%1.96%1.91%0.87%-4.53%-0.11%$11,027
2006103.53%5.52%3.75%7.06%6.03%0.85%1.00%1.29%3.78%$11,444
2006112.33%2.38%3.07%5.98%4.78%2.31%1.46%6.89%3.48%$11,842
2006121.20%0.32%3.20%5.44%-1.83%-2.69%-0.90%-1.83%-0.66%$11,764
200711.86%2.14%1.39%0.11%8.78%-1.00%0.09%2.56%1.77%$11,972
20072-1.62%-0.92%-0.12%-3.24%-2.70%3.39%2.00%2.55%0.58%$12,041
200731.12%0.91%2.90%5.33%-2.07%-1.70%-0.68%-1.11%0.02%$12,044
200744.02%1.84%3.75%3.73%-0.13%0.90%0.89%2.05%1.75%$12,254
200753.72%4.63%2.36%5.06%-0.38%-2.31%-1.23%-2.31%1.88%$12,485
20076-1.76%-2.24%-0.32%3.68%-8.99%-1.01%-0.81%-1.94%-1.98%$12,238
20077-3.53%-6.26%-2.29%0.71%-8.26%3.32%-0.82%2.37%-2.70%$11,907
200781.47%1.33%-0.63%1.04%6.74%1.79%2.38%1.11%1.34%$12,067
200793.85%0.31%5.32%11.57%3.90%0.23%0.73%10.51%2.81%$12,407
2007101.79%1.06%4.25%11.87%2.10%1.81%0.97%6.95%2.62%$12,732
200711-4.52%-7.15%-3.62%-7.65%-9.47%5.35%1.02%-1.65%-3.92%$12,233
200712-0.70%-0.71%-2.99%-1.43%-5.41%-0.64%-0.81%6.65%1.11%$12,369
20081-6.17%-4.00%-7.85%-8.92%-0.78%2.10%2.57%10.84%0.57%$12,439
20082-2.50%-3.36%-1.02%1.99%-3.18%-0.46%-0.71%5.23%-0.81%$12,338
20083-0.90%0.83%0.42%-3.75%6.48%2.14%-0.60%-6.00%-0.66%$12,257
200844.89%2.64%5.44%9.14%6.38%-2.48%1.25%-4.16%0.20%$12,282
200852.02%3.92%1.19%3.16%-0.21%-2.69%-2.21%0.92%2.19%$12,550
20086-8.12%-8.41%-8.80%-9.29%-10.62%2.65%-1.29%4.52%-3.57%$12,102
20087-0.62%2.87%-3.32%-5.50%3.12%-0.37%0.39%-1.44%1.32%$12,263
200881.46%4.76%-4.25%-6.32%2.37%2.74%0.15%-9.29%1.00%$12,385
20089-9.24%-4.82%-11.44%-14.68%-0.11%1.47%-10.73%4.11%-1.68%$12,177
200810-17.48%-19.86%-20.83%-25.58%-31.73%-1.86%-1.95%-16.14%-16.25%$10,198
200811-8.01%-11.80%-6.37%-9.75%-22.72%14.34%3.35%12.57%-1.88%$10,007
2008121.78%6.57%8.88%10.35%16.67%13.64%13.80%7.73%7.92%$10,799
20091-8.05%-13.94%-13.73%-9.29%-17.53%-13.07%-1.80%5.54%-9.02%$9,825
20092-10.53%-13.03%-10.39%-6.27%-20.53%-1.54%-5.20%1.45%-7.74%$9,064
200938.26%7.58%8.39%16.86%3.61%4.04%0.47%-2.54%4.56%$9,478
2009410.99%18.89%11.52%15.56%30.68%-6.95%2.78%-3.33%9.55%$10,383
200955.46%0.67%13.19%15.94%2.62%-3.69%2.32%10.23%2.37%$10,629
200960.36%1.52%-1.43%-2.25%-3.23%0.76%2.89%-5.22%-0.25%$10,602
200977.74%11.00%10.04%11.01%10.77%0.58%4.63%2.38%7.32%$11,378
200983.71%3.48%4.50%-1.31%14.32%2.24%1.31%0.05%2.45%$11,657
200994.14%4.21%3.80%10.20%6.63%2.46%1.76%5.84%4.35%$12,164
200910-2.63%-6.07%-2.52%-3.44%-4.46%-2.62%-0.49%3.72%-3.14%$11,781
2009115.69%2.90%3.92%7.85%6.57%1.21%1.95%12.79%5.08%$12,380
2009122.86%8.10%0.70%3.27%7.37%-6.34%-2.07%-7.20%2.17%$12,648
20101-3.57%-2.54%-5.07%-7.76%-5.52%2.69%1.25%-1.26%-1.44%$12,466
201023.44%4.76%0.27%1.78%5.58%-0.34%0.51%3.27%3.63%$12,919
201036.40%7.80%6.39%8.11%10.18%-2.06%0.65%-0.44%4.29%$13,474
201042.18%6.63%-2.80%-0.17%7.15%3.32%1.91%5.88%5.95%$14,276
20105-7.88%-8.54%-11.19%-9.39%-5.33%5.11%-1.31%3.05%-3.64%$13,756
20106-5.83%-8.27%-2.07%-1.40%-5.19%5.80%3.28%2.36%-3.55%$13,267
201077.02%6.71%11.61%10.93%9.59%-0.95%2.11%-5.09%2.66%$13,620
20108-4.71%-7.91%-3.80%-3.24%-1.28%8.40%2.86%5.71%-2.12%$13,332
201099.45%10.93%9.97%11.76%4.45%-2.51%0.46%4.78%7.40%$14,319
2010104.03%4.04%3.81%3.02%4.74%-4.47%-0.26%3.68%2.68%$14,702
2010110.51%2.47%-4.82%-2.91%-1.85%-1.69%-1.62%2.11%1.76%$14,961
2010126.96%8.97%8.30%7.27%4.54%-3.68%-0.75%2.44%5.46%$15,778
201112.05%-0.24%2.10%-3.84%3.25%-3.08%0.04%-6.38%-2.18%$15,435
201123.70%4.21%3.55%-0.04%4.71%1.65%1.08%6.00%4.27%$16,094
201130.42%2.21%-2.39%6.29%-1.62%0.03%-0.54%1.60%1.73%$16,372
201142.90%1.06%5.63%2.73%5.75%2.34%2.50%8.94%3.19%$16,895
20115-1.06%-1.77%-2.21%-2.94%1.37%3.42%1.27%-1.79%-1.00%$16,727
20116-1.79%-1.59%-1.19%-0.93%-3.30%-2.33%-0.80%-2.43%-1.91%$16,408
20117-2.27%-2.77%-2.38%-1.03%1.56%4.42%2.43%8.42%1.06%$16,581
20118-6.09%-7.98%-8.75%-9.25%-5.62%9.66%0.34%12.27%-0.35%$16,524
20119-7.57%-10.57%-10.81%-17.89%-10.85%13.20%0.35%-11.06%-7.13%$15,345
20111011.37%15.34%9.63%16.27%14.29%-3.84%2.51%5.87%10.14%$16,901
201111-0.37%0.63%-2.18%-1.96%-3.80%1.98%-3.16%1.67%1.09%$17,085
2011120.98%2.02%-2.21%-4.30%4.85%3.44%3.49%-10.66%-0.89%$16,932
201215.07%7.90%5.27%10.99%6.38%-0.33%2.14%11.40%7.53%$18,207
201224.22%1.71%4.83%5.27%-1.15%-2.59%1.63%-2.96%-0.08%$18,192
201233.06%2.89%0.42%-3.11%5.19%-4.23%-1.42%-1.32%0.79%$18,335
20124-0.64%-1.91%-2.08%-1.70%2.86%4.83%1.08%-0.15%-0.47%$18,249
20125-6.23%-7.18%-11.14%-10.71%-4.51%9.03%0.76%-6.34%-4.54%$17,420
201264.05%4.54%7.11%5.08%5.52%-1.68%0.87%2.35%3.07%$17,955
201270.88%-0.69%0.08%-0.03%2.00%3.82%3.48%0.84%0.36%$18,020
201282.70%4.08%3.20%0.41%-0.01%-1.32%-0.05%4.94%3.48%$18,647
201292.49%3.14%2.71%5.22%-1.86%-2.53%1.10%4.67%2.67%$19,144
201210-1.81%-1.96%1.09%-0.44%-0.91%-0.48%1.35%-2.94%-1.98%$18,765
2012110.77%1.65%2.78%1.56%-0.26%1.16%-0.72%-0.47%1.06%$18,963
2012121.29%3.55%4.37%6.80%3.72%-2.49%-0.33%-2.43%1.17%$19,186
201315.42%5.35%3.73%-0.29%3.74%-3.19%-1.30%-0.51%2.63%$19,690
201321.28%1.63%-1.29%-2.28%1.22%1.24%1.08%-5.09%-0.08%$19,674
201333.95%4.11%1.31%-1.02%2.87%-0.42%-0.05%0.95%2.65%$20,196
201341.61%0.12%5.02%1.22%6.73%4.68%2.17%-7.56%-1.09%$19,976
201352.44%4.29%-3.02%-4.83%-5.98%-6.76%-3.22%-6.20%0.05%$19,986
20136-1.43%-0.14%-2.70%-5.35%-1.98%-3.27%-3.27%-11.06%-3.30%$19,327
201375.75%6.56%5.32%1.32%0.90%-2.26%1.11%7.43%5.45%$20,381
20138-3.03%-3.41%-1.96%-2.54%-6.98%-1.34%-1.00%5.20%-0.98%$20,181
201393.90%6.59%7.82%7.21%3.49%0.66%0.74%-4.78%2.90%$20,767
2013104.27%3.48%3.26%4.17%4.52%1.43%1.81%-0.34%2.23%$21,231
2013112.70%4.25%0.55%-0.26%-5.25%-2.70%-0.14%-5.51%0.81%$21,403
2013122.73%1.29%2.16%-0.42%0.10%-1.87%0.22%-3.79%-0.43%$21,310
20141-3.17%-3.51%-5.20%-8.64%4.28%6.30%1.88%3.42%-0.34%$21,238
201424.87%4.63%6.13%3.38%5.07%0.52%1.14%6.27%4.42%$22,177
201430.51%1.34%-0.46%3.88%0.49%0.73%-0.03%-3.14%0.15%$22,209
201440.06%-2.29%1.67%0.78%3.29%2.10%1.33%0.49%-0.95%$21,998
201452.10%0.62%1.60%2.95%2.40%2.95%1.51%-3.05%0.07%$22,013
201462.62%3.85%0.92%2.40%1.13%-0.25%0.01%6.32%3.84%$22,859
20147-1.99%-5.07%-2.60%1.36%0.08%0.67%-0.32%-3.63%-3.86%$21,977
201484.15%4.46%0.18%2.83%3.04%4.72%2.00%0.38%3.50%$22,746
20149-2.10%-5.94%-3.88%-7.77%-6.04%-2.11%-1.68%-6.18%-5.43%$21,511
2014102.75%7.13%-0.27%1.42%9.94%2.81%1.23%-3.05%3.98%$22,366
2014112.48%0.48%0.06%-1.54%2.00%2.97%0.91%-0.49%0.61%$22,504
201412-0.04%2.56%-4.00%-3.99%1.88%3.25%-0.02%1.31%2.36%$23,034
20151-2.74%-5.32%0.62%-0.69%6.85%9.82%3.75%8.69%0.40%$23,126
201525.74%5.86%6.34%4.41%-3.67%-6.14%-1.42%-5.91%1.16%$23,395
20153-1.16%1.03%-1.43%-1.50%1.74%1.10%0.20%-2.15%0.26%$23,455
201540.62%-1.82%3.65%6.85%-5.85%-3.43%-1.19%-0.17%-1.66%$23,066
201551.30%0.75%0.20%-4.10%-0.30%-2.37%-1.12%0.56%0.24%$23,121
20156-1.67%0.42%-3.12%-2.93%-4.68%-4.07%-1.88%-1.52%-0.73%$22,952
201571.70%-2.70%2.03%-6.31%5.77%4.55%0.83%-6.62%-2.58%$22,360
20158-6.09%-4.62%-7.43%-8.84%-6.29%-0.69%-0.83%3.71%-1.98%$21,918
20159-2.92%-3.77%-4.42%-3.13%3.05%1.97%1.19%-1.80%-2.43%$21,385
2015107.91%6.57%6.61%6.38%5.76%-0.41%0.57%2.28%4.47%$22,340
2015110.60%2.47%-0.75%-2.52%-0.63%-0.87%-0.15%-6.75%-0.30%$22,273
201512-2.13%-5.08%-2.34%-3.83%1.82%-0.30%-1.08%-0.45%-3.23%$21,555
20161-5.72%-5.85%-5.52%-5.03%-3.44%5.57%0.12%5.41%-1.37%$21,260
20162-0.01%2.08%-3.33%-0.82%-0.36%3.09%1.05%10.93%4.41%$22,198
201637.11%9.41%6.58%12.96%10.48%-0.09%3.62%-0.84%5.47%$23,411
201640.66%2.13%2.22%0.41%-2.35%-0.74%1.55%5.11%2.43%$23,981
201651.73%0.44%-0.09%-3.69%2.25%0.81%-0.51%-6.14%-1.12%$23,711
201660.27%0.83%-2.42%4.56%6.92%6.93%3.09%8.97%3.75%$24,600
201673.98%5.06%3.98%5.38%4.26%2.10%1.29%1.98%3.86%$25,549
201680.21%1.13%0.53%0.88%-3.76%-1.01%0.18%-3.26%-0.27%$25,481
201690.21%0.87%1.34%2.52%-1.82%-1.51%-0.32%0.69%0.47%$25,600
201610-2.19%-3.74%-2.22%-0.83%-5.74%-4.38%-1.53%-2.94%-3.64%$24,668
2016114.49%13.34%-1.78%-4.42%-1.68%-8.21%-3.17%-8.36%4.77%$25,845
2016121.98%3.20%2.71%-0.25%4.82%-0.46%0.84%-1.91%1.39%$26,205
Portfolio return and risk metrics
MetricMinimum Volatility at 10.00% Return
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.80%
Mean Return (annualized)10.00%
Compound Return (monthly)0.73%
Compound Return (annualized)9.15%
Volatility (monthly)3.58%
Volatility (annualized)12.45%
Downside Deviation (monthly)2.30%
Max. Drawdown-28.81%
Market Correlation0.84
Beta(*)0.69
Alpha (annualized)3.56%
R270.02%
Sharpe Ratio0.68
Sortino Ratio1.06
Treynor Ratio (%)12.43
Diversification Ratio1.50
Skewness-0.72
Excess Kurtosis3.56
Historical Value-at-Risk (95%)-4.14%
Delta Normal Value-at-Risk (95%)-5.89%
Conditional Value-at-Risk (95%)-8.35%
Positive Periods80 out of 132 (60.61%)
Gain/Loss Ratio1.19

Drawdowns for Minimum Volatility at 10.00% Return

Drawdowns for Minimum Volatility at 10.00% Return
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20102 years 4 months-28.81%
2Apr 2015Jan 201610 monthsApr 20161 year 1 month-9.36%
3May 2011Sep 20115 monthsOct 20116 months-9.17%
4May 2010Jun 20102 monthsSep 20105 months-7.06%
5Jul 2014Sep 20143 monthsDec 20146 months-5.89%
6Apr 2012May 20122 monthsAug 20125 months-4.99%
7May 2006Jul 20063 monthsOct 20066 months-4.76%
8Jun 2007Jul 20072 monthsOct 20075 months-4.63%
9Apr 2013Jun 20133 monthsJul 20134 months-4.30%
10Oct 2016Oct 20161 monthNov 20162 months-3.64%
11Jan 2011Jan 20111 monthFeb 20112 months-2.18%
12Oct 2012Oct 20121 monthDec 20123 months-1.98%
13May 2016May 20161 monthJun 20162 months-1.12%
14Aug 2013Aug 20131 monthSep 20132 months-0.98%
15Apr 2014Apr 20141 monthJun 20143 months-0.95%
16Dec 2011Dec 20111 monthJan 20122 months-0.89%
17Dec 2013Jan 20142 monthsFeb 20143 months-0.77%
18Dec 2006Dec 20061 monthJan 20072 months-0.66%
19Aug 2016Aug 20161 monthSep 20162 months-0.27%
20Feb 2012Feb 20121 monthMar 20122 months-0.08%
21Feb 2013Feb 20131 monthMar 20132 months-0.08%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF7.97%15.19%33.45%-36.98%-50.84%0.510.741.00
IJSiShares S&P Small-Cap 600 Value ETF9.02%19.59%39.34%-29.39%-54.13%0.490.730.92
EFAiShares MSCI EAFE ETF2.66%18.49%26.95%-41.04%-57.38%0.180.250.90
EEMiShares MSCI Emerging Markets ETF3.52%23.76%68.93%-48.88%-60.44%0.220.330.81
VNQVanguard REIT ETF7.66%24.86%35.30%-37.00%-68.30%0.380.550.75
TLTiShares 20+ Year Treasury Bond ETF6.04%14.02%33.96%-21.80%-21.80%0.410.71-0.32
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF5.31%7.75%10.24%-2.00%-15.11%0.570.930.28
GLDSPDR Gold Trust7.09%19.28%30.45%-28.33%-42.91%0.400.630.05

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIIJSEFAEEMVNQTLTLQDGLDMinimum Volatility at 10.00% Return
VTIVanguard Total Stock Market ETF-0.920.900.810.75-0.330.280.050.84
IJSiShares S&P Small-Cap 600 Value ETF0.92-0.780.720.77-0.340.210.010.90
EFAiShares MSCI EAFE ETF0.900.78-0.880.70-0.240.390.150.76
EEMiShares MSCI Emerging Markets ETF0.810.720.88-0.63-0.240.350.290.76
VNQVanguard REIT ETF0.750.770.700.63--0.010.430.100.76
TLTiShares 20+ Year Treasury Bond ETF-0.33-0.34-0.24-0.24-0.01-0.500.19-0.08
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.280.210.390.350.430.50-0.240.37
GLDSPDR Gold Trust0.050.010.150.290.100.190.24-0.42

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMinimum Volatility at 10.00% Return
VTIVanguard Total Stock Market ETF
IJSiShares S&P Small-Cap 600 Value ETF85.25%
EFAiShares MSCI EAFE ETF
EEMiShares MSCI Emerging Markets ETF
VNQVanguard REIT ETF
TLTiShares 20+ Year Treasury Bond ETF-1.40%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF
GLDSPDR Gold Trust16.15%

Annual Asset Returns