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.

%
%
1
%
%
%
%
2
%
%
%
%
3
%
%
%
%
4
%
%
%
%
5
%
%
%
%
6
%
%
%
%
7
%
%
%
%
8
%
%
%
%
9
%
%
%
%
10
%
%
%
%
Total
%

Asset Groups
Min. Weight
Max. Weight
A
%
%
B
%
%
C
%
%
D
%
%
E
%
%
F
%
%

Portfolio Optimization Results (Jan 1997 - Dec 2018)

Portfolio optimization results with goal to minimize conditional value-at-risk. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 4.81% to 9.05%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Provided Portfolio
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 59.50%
VGTSX Vanguard Total Intl Stock Index Inv 25.50%
VBMFX Vanguard Total Bond Market Index Inv 15.00%
Save portfolio »
Minimum Expected Tail Loss
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 3.40%
VBMFX Vanguard Total Bond Market Index Inv 96.60%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricProvided PortfolioMinimum Expected Tail Loss
Start Balance$10,000$10,000
End Balance$41,400$28,625
CAGR6.67%4.90%
Expected Return 7.59% 4.95%
Stdev13.06%3.30%
Best Year29.21%10.62%
Worst Year-33.61%-1.20%
Max. Drawdown -46.76% -4.76%
Sharpe Ratio (ex-ante)0.420.88
Sharpe Ratio (ex-post)0.410.86
Sortino Ratio0.571.40
US Stock Market Correlation0.980.10
   
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 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 Mkt Idx Inv (VTSMX)7.77%9.06%15.36%0.4560.00%100.00%
2Vanguard Total Intl Stock Index Inv (VGTSX)4.29%5.85%17.15%0.2220.00%100.00%
3Vanguard Total Bond Market Index Inv (VBMFX)4.75%4.81%3.40%0.8120.00%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 (2.05% annualized).
Efficient Frontier Assets
#VTSMXVGTSXVBMFXExpected Return*Standard Deviation*Sharpe Ratio*
10.00%0.00%100.00%4.81%3.40%0.812
20.36%2.63%97.01%4.85%3.34%0.839
31.59%1.74%96.67%4.90%3.32%0.858
42.82%0.86%96.32%4.94%3.30%0.875
54.04%0.00%95.96%4.98%3.29%0.892
65.05%0.00%94.95%5.02%3.28%0.908
76.06%0.00%93.94%5.06%3.27%0.921
87.07%0.00%92.93%5.11%3.28%0.932
98.08%0.00%91.92%5.15%3.29%0.941
109.09%0.00%90.91%5.19%3.31%0.948
1110.10%0.00%89.90%5.23%3.34%0.952
1211.11%0.00%88.89%5.28%3.38%0.954
1312.12%0.00%87.88%5.32%3.42%0.954
1413.13%0.00%86.87%5.36%3.48%0.953
1514.14%0.00%85.86%5.40%3.53%0.949
1615.15%0.00%84.85%5.44%3.60%0.944
1716.16%0.00%83.84%5.49%3.67%0.938
1817.17%0.00%82.83%5.53%3.74%0.930
1918.18%0.00%81.82%5.57%3.82%0.922
2019.19%0.00%80.81%5.61%3.91%0.913
2120.20%0.00%79.80%5.66%4.00%0.903
2221.21%0.00%78.79%5.70%4.09%0.892
2322.22%0.00%77.78%5.74%4.19%0.881
2423.23%0.00%76.77%5.78%4.29%0.870
2524.24%0.00%75.76%5.83%4.40%0.859
2625.25%0.00%74.75%5.87%4.51%0.848
2726.26%0.00%73.74%5.91%4.62%0.836
2827.27%0.00%72.73%5.95%4.73%0.825
2928.28%0.00%71.72%6.00%4.85%0.814
3029.29%0.00%70.71%6.04%4.97%0.803
3130.30%0.00%69.70%6.08%5.09%0.792
3231.31%0.00%68.69%6.12%5.22%0.781
3332.32%0.00%67.68%6.17%5.34%0.771
3433.33%0.00%66.67%6.21%5.47%0.760
3534.34%0.00%65.66%6.25%5.60%0.750
3635.35%0.00%64.65%6.30%5.73%0.741
3736.36%0.00%63.64%6.34%5.87%0.731
3837.37%0.00%62.63%6.38%6.00%0.722
3938.38%0.00%61.62%6.42%6.14%0.713
4039.39%0.00%60.61%6.47%6.27%0.704
4140.40%0.00%59.60%6.51%6.41%0.696
4241.41%0.00%58.59%6.55%6.55%0.687
4342.42%0.00%57.58%6.59%6.69%0.679
4443.43%0.00%56.57%6.64%6.83%0.672
4544.44%0.00%55.56%6.68%6.97%0.664
4645.45%0.00%54.55%6.72%7.11%0.657
4746.46%0.00%53.54%6.77%7.26%0.650
4847.47%0.00%52.53%6.81%7.40%0.643
4948.48%0.00%51.52%6.85%7.55%0.636
5049.49%0.00%50.51%6.89%7.69%0.630
5150.51%0.00%49.49%6.94%7.84%0.624
5251.52%0.00%48.48%6.98%7.98%0.618
5352.53%0.00%47.47%7.02%8.13%0.612
5453.54%0.00%46.46%7.07%8.28%0.606
5554.55%0.00%45.45%7.11%8.43%0.600
5655.56%0.00%44.44%7.15%8.57%0.595
5756.57%0.00%43.43%7.20%8.72%0.590
5857.58%0.00%42.42%7.24%8.87%0.585
5958.59%0.00%41.41%7.28%9.02%0.580
6059.60%0.00%40.40%7.32%9.17%0.575
6160.61%0.00%39.39%7.37%9.32%0.570
6261.62%0.00%38.38%7.41%9.47%0.566
6362.63%0.00%37.37%7.45%9.63%0.561
6463.64%0.00%36.36%7.50%9.78%0.557
6564.65%0.00%35.35%7.54%9.93%0.553
6665.66%0.00%34.34%7.58%10.08%0.549
6766.67%0.00%33.33%7.63%10.23%0.545
6867.68%0.00%32.32%7.67%10.39%0.541
6968.69%0.00%31.31%7.71%10.54%0.537
7069.70%0.00%30.30%7.76%10.69%0.534
7170.71%0.00%29.29%7.80%10.84%0.530
7271.72%0.00%28.28%7.84%11.00%0.527
7372.73%0.00%27.27%7.89%11.15%0.523
7473.74%0.00%26.26%7.93%11.31%0.520
7574.75%0.00%25.25%7.97%11.46%0.517
7675.76%0.00%24.24%8.02%11.61%0.514
7776.77%0.00%23.23%8.06%11.77%0.511
7877.78%0.00%22.22%8.10%11.92%0.508
7978.79%0.00%21.21%8.15%12.08%0.505
8079.80%0.00%20.20%8.19%12.23%0.502
8180.81%0.00%19.19%8.23%12.39%0.499
8281.82%0.00%18.18%8.28%12.54%0.496
8382.83%0.00%17.17%8.32%12.70%0.494
8483.84%0.00%16.16%8.36%12.85%0.491
8584.85%0.00%15.15%8.41%13.01%0.489
8685.86%0.00%14.14%8.45%13.17%0.486
8786.87%0.00%13.13%8.49%13.32%0.484
8887.88%0.00%12.12%8.54%13.48%0.481
8988.89%0.00%11.11%8.58%13.63%0.479
9089.90%0.00%10.10%8.62%13.79%0.477
9190.91%0.00%9.09%8.67%13.95%0.474
9291.92%0.00%8.08%8.71%14.10%0.472
9392.93%0.00%7.07%8.75%14.26%0.470
9493.94%0.00%6.06%8.80%14.42%0.468
9594.95%0.00%5.05%8.84%14.57%0.466
9695.96%0.00%4.04%8.88%14.73%0.464
9796.97%0.00%3.03%8.93%14.89%0.462
9897.98%0.00%2.02%8.97%15.04%0.460
9998.99%0.00%1.01%9.02%15.20%0.458
100100.00%0.00%0.00%9.06%15.36%0.456
*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 (2.05% annualized).
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)
Provided PortfolioMinimum Expected Tail LossProvided PortfolioMinimum Expected Tail Loss
19971.70%19.14%10.15%$11,914$11,01530.99%-0.77%9.44%
19981.61%19.54%9.16%$14,243$12,02323.26%15.60%8.58%
19992.68%21.48%0.02%$17,302$12,02623.81%29.92%-0.76%
20003.39%-8.72%10.62%$15,795$13,303-10.57%-15.61%11.39%
20011.55%-10.47%7.79%$14,140$14,339-10.97%-20.15%8.43%
20022.38%-15.28%7.20%$11,980$15,371-20.96%-15.08%8.26%
20031.88%29.21%4.84%$15,479$16,11531.35%40.34%3.97%
20043.26%13.35%4.52%$17,546$16,84412.51%20.84%4.24%
20053.42%7.93%2.53%$18,936$17,2705.98%15.57%2.40%
20062.54%16.54%4.64%$22,069$18,07115.51%26.64%4.27%
20074.08%8.31%6.89%$23,902$19,3175.49%15.52%6.92%
20080.09%-33.61%3.35%$15,867$19,964-37.04%-44.10%5.05%
20092.72%27.45%6.71%$20,224$21,30528.70%36.73%5.93%
20101.50%14.33%6.85%$23,122$22,76317.09%11.12%6.42%
20112.96%-2.06%7.38%$22,646$24,4430.96%-14.56%7.56%
20121.74%15.01%4.46%$26,044$25,53416.25%18.14%4.05%
20131.50%22.75%-1.20%$31,969$25,22733.35%15.04%-2.26%
20140.76%7.03%5.99%$34,217$26,73912.43%-4.24%5.76%
20150.73%-0.76%0.33%$33,957$26,8270.29%-4.37%0.30%
20162.07%9.09%2.85%$37,044$27,59112.53%4.65%2.50%
20172.11%19.84%4.02%$44,395$28,70121.05%27.40%3.46%
20181.91%-6.75%-0.26%$41,400$28,625-5.26%-14.44%-0.13%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Total Intl Stock Index Inv (VGTSX)Vanguard Total Bond Market Index Inv (VBMFX)
Provided PortfolioMinimum Expected Tail LossProvided PortfolioMinimum Expected Tail Loss
199712.68%0.42%$10,268$10,0425.46%-2.37%0.25%
199720.42%0.11%$10,311$10,053-0.11%1.82%0.11%
19973-2.82%-1.09%$10,020$9,943-4.45%-0.10%-0.97%
199742.95%1.59%$10,316$10,1014.50%0.20%1.49%
199756.02%1.08%$10,937$10,2117.10%6.54%0.87%
199764.15%1.27%$11,391$10,3414.37%5.40%1.16%
199775.45%2.97%$12,011$10,6487.77%1.59%2.80%
19978-4.53%-0.95%$11,467$10,547-3.72%-8.60%-0.85%
199795.06%1.60%$12,047$10,7155.77%5.51%1.45%
199710-4.12%1.28%$11,550$10,852-3.40%-9.10%1.45%
1997111.73%0.43%$11,750$10,8993.33%-1.19%0.33%
1997121.40%1.06%$11,914$11,0151.70%0.92%1.04%
199811.24%1.29%$12,061$11,1570.44%3.04%1.32%
199826.11%0.16%$12,798$11,1747.34%6.88%-0.10%
199833.88%0.49%$13,295$11,2295.06%3.22%0.33%
199840.87%0.53%$13,410$11,2881.10%0.53%0.51%
19985-1.84%0.89%$13,163$11,389-2.71%-1.51%1.02%
199862.16%0.90%$13,447$11,4923.54%-0.27%0.81%
19987-1.04%0.14%$13,307$11,508-2.27%1.08%0.23%
19988-12.51%1.30%$11,642$11,658-15.65%-13.66%1.90%
199893.74%2.12%$12,078$11,9056.68%-2.07%1.96%
1998107.13%-0.28%$12,939$11,8727.51%10.77%-0.55%
1998115.11%0.68%$13,600$11,9526.17%5.34%0.49%
1998124.73%0.59%$14,243$12,0236.45%3.26%0.38%
199912.13%0.89%$14,546$12,1303.65%-0.63%0.79%
19992-3.03%-1.83%$14,105$11,908-3.73%-2.16%-1.77%
199933.69%0.68%$14,625$11,9883.93%4.97%0.56%
199944.14%0.55%$15,231$12,0544.68%5.08%0.40%
19995-2.60%-0.92%$14,835$11,943-2.00%-5.00%-0.88%
199964.12%-0.30%$15,446$11,9075.16%4.39%-0.50%
19997-1.38%-0.48%$15,232$11,849-3.20%2.27%-0.39%
19998-0.47%-0.11%$15,160$11,836-0.92%0.33%-0.08%
19999-1.05%1.13%$15,000$11,970-2.44%0.82%1.26%
1999104.74%0.54%$15,712$12,0346.29%3.74%0.33%
1999113.08%0.14%$16,196$12,0513.42%4.08%0.02%
1999126.83%-0.21%$17,302$12,0267.59%9.37%-0.48%
20001-4.10%-0.31%$16,593$11,989-4.18%-6.22%-0.17%
200022.41%1.22%$16,993$12,1352.54%2.83%1.18%
200034.48%1.55%$17,754$12,3235.69%3.48%1.40%
20004-4.55%-0.65%$16,946$12,243-5.21%-5.41%-0.49%
20005-2.73%-0.27%$16,483$12,210-3.41%-2.67%-0.16%
200064.04%2.23%$17,149$12,4814.42%4.27%2.15%
20007-2.17%0.78%$16,778$12,579-1.95%-4.46%0.88%
200084.80%1.60%$17,582$12,7807.28%1.00%1.40%
20009-3.94%0.58%$16,889$12,854-4.67%-5.00%0.76%
200010-1.90%0.48%$16,568$12,915-2.04%-3.03%0.57%
200011-6.79%1.19%$15,443$13,069-9.90%-4.44%1.58%
2000122.28%1.79%$15,795$13,3031.78%3.72%1.79%
200112.82%1.83%$16,240$13,5463.83%1.10%1.76%
20012-7.41%0.56%$15,038$13,622-9.41%-7.61%0.91%
20013-5.74%0.29%$14,174$13,661-6.72%-7.15%0.54%
200146.80%-0.17%$15,138$13,6388.16%7.89%-0.46%
20015-0.19%0.74%$15,110$13,7391.01%-3.52%0.73%
20016-1.87%0.45%$14,827$13,801-1.64%-3.84%0.52%
20017-1.31%2.09%$14,633$14,090-1.71%-2.43%2.23%
20018-3.99%0.87%$14,049$14,213-6.00%-2.30%1.11%
20019-7.95%0.56%$12,932$14,292-9.00%-10.73%0.89%
2001102.54%1.88%$13,260$14,5612.52%2.97%1.86%
2001115.25%-1.03%$13,956$14,4117.63%3.56%-1.34%
2001121.32%-0.50%$14,140$14,3391.78%1.35%-0.58%
20021-1.82%0.62%$13,883$14,428-1.24%-4.63%0.69%
20022-0.86%0.75%$13,764$14,537-2.05%0.90%0.85%
200233.84%-1.26%$14,293$14,3544.38%5.71%-1.46%
20024-2.55%1.47%$13,928$14,565-4.90%0.42%1.69%
20025-0.31%0.73%$13,885$14,671-1.22%1.16%0.80%
20026-5.25%0.04%$13,156$14,677-7.06%-4.28%0.29%
20027-7.20%0.19%$12,209$14,705-8.02%-9.80%0.48%
200280.53%1.62%$12,274$14,9440.53%-0.12%1.66%
20029-8.54%1.13%$11,226$15,114-10.07%-10.88%1.53%
2002105.91%-0.33%$11,890$15,0637.65%5.70%-0.61%
2002114.82%0.23%$12,463$15,0986.06%4.75%0.02%
200212-3.88%1.81%$11,980$15,371-5.57%-3.43%2.07%
20031-2.46%-0.04%$11,685$15,366-2.54%-3.76%0.05%
20032-1.42%1.27%$11,520$15,561-1.69%-2.42%1.38%
200330.13%-0.09%$11,535$15,5481.09%-1.93%-0.13%
200347.49%1.12%$12,399$15,7228.21%9.70%0.87%
200355.48%1.97%$13,078$16,0316.11%6.15%1.82%
200361.51%-0.08%$13,276$16,0181.43%2.66%-0.13%
200371.71%-3.14%$13,503$15,5142.36%3.18%-3.34%
200382.15%0.67%$13,794$15,6192.39%2.51%0.61%
200390.43%2.58%$13,853$16,021-1.15%2.78%2.71%
2003105.15%-0.72%$14,567$15,9066.12%6.49%-0.96%
2003111.41%0.31%$14,772$15,9551.38%2.13%0.27%
2003124.79%1.01%$15,479$16,1154.48%7.80%0.88%
200411.86%0.91%$15,768$16,2622.23%1.60%0.86%
200421.64%1.04%$16,027$16,4321.43%2.50%1.03%
20043-0.40%0.73%$15,962$16,552-1.07%0.45%0.80%
20044-2.45%-2.60%$15,571$16,122-2.11%-3.14%-2.61%
200450.85%-0.37%$15,704$16,0631.35%0.46%-0.43%
200461.94%0.61%$16,009$16,1612.09%2.40%0.56%
20047-2.97%0.80%$15,534$16,291-3.80%-3.34%0.96%
200480.67%1.89%$15,637$16,5980.31%0.75%1.94%
200491.82%0.21%$15,921$16,6341.74%2.96%0.16%
2004101.95%0.88%$16,231$16,7791.68%3.24%0.85%
2004114.51%-0.62%$16,963$16,6754.68%7.23%-0.81%
2004123.43%1.01%$17,546$16,8443.63%4.44%0.92%
20051-1.92%0.54%$17,209$16,935-2.68%-1.67%0.65%
200522.33%-0.53%$17,610$16,8442.07%4.68%-0.63%
20053-1.86%-0.54%$17,283$16,754-1.75%-2.93%-0.49%
20054-1.71%1.23%$16,988$16,960-2.32%-2.07%1.35%
200552.42%1.15%$17,399$17,1543.77%0.08%1.05%
200560.90%0.56%$17,555$17,2510.81%1.30%0.55%
200573.23%-0.82%$18,123$17,1094.11%3.68%-0.99%
200580.37%1.28%$18,190$17,328-0.94%2.85%1.36%
200591.55%-1.03%$18,471$17,1490.86%4.73%-1.10%
200510-2.09%-0.85%$18,086$17,004-1.86%-3.37%-0.81%
2005113.12%0.60%$18,649$17,1053.97%2.67%0.48%
2005121.54%0.96%$18,936$17,2700.14%5.14%0.99%
200613.82%0.02%$19,659$17,2733.50%6.87%-0.11%
20062-0.13%0.36%$19,634$17,3350.00%-0.72%0.37%
200631.73%-0.90%$19,974$17,1791.80%3.17%-1.00%
200641.94%-0.16%$20,361$17,1511.11%5.12%-0.21%
20065-3.07%-0.20%$19,735$17,116-3.23%-4.45%-0.09%
200660.02%0.11%$19,739$17,1340.17%-0.38%0.10%
200670.42%1.30%$19,822$17,356-0.13%1.15%1.35%
200682.27%1.67%$20,271$17,6452.31%2.53%1.64%
200691.53%0.86%$20,582$17,7972.27%0.25%0.81%
2006103.23%0.81%$21,246$17,9423.53%4.00%0.72%
2006112.45%1.15%$21,766$18,1482.23%3.73%1.11%
2006121.39%-0.42%$22,069$18,0711.13%3.09%-0.48%
200711.35%-0.02%$22,367$18,0691.88%0.96%-0.08%
20072-0.72%1.40%$22,206$18,321-1.61%0.06%1.50%
200731.38%0.06%$22,511$18,3321.11%2.80%0.02%
200743.46%0.63%$23,291$18,4484.01%3.92%0.51%
200752.87%-0.62%$23,959$18,3323.69%3.09%-0.78%
20076-0.90%-0.43%$23,744$18,253-1.67%0.61%-0.39%
20077-2.17%0.69%$23,228$18,380-3.41%-1.06%0.84%
200780.88%1.35%$23,433$18,6271.45%-0.72%1.34%
200793.87%0.82%$24,341$18,7803.59%6.38%0.72%
2007102.74%0.96%$25,009$18,9601.85%5.90%0.93%
200711-3.55%1.69%$24,121$19,281-4.49%-4.57%1.91%
200712-0.91%0.19%$23,902$19,317-0.60%-2.28%0.22%
20081-5.54%1.42%$22,577$19,592-6.08%-8.55%1.69%
20082-1.71%0.08%$22,190$19,608-3.07%0.33%0.19%
20083-0.48%0.27%$22,082$19,660-0.58%-0.71%0.30%
200844.43%-0.12%$23,062$19,6365.02%5.85%-0.30%
200851.51%-0.69%$23,410$19,5012.09%1.51%-0.79%
20086-7.17%-0.28%$21,732$19,446-8.19%-8.99%-0.01%
20087-1.39%-0.03%$21,430$19,441-0.77%-3.67%0.00%
20088-0.25%0.73%$21,375$19,5821.58%-5.10%0.70%
20089-9.01%-1.38%$19,449$19,312-9.26%-13.09%-1.10%
200810-16.50%-3.05%$16,239$18,724-17.63%-22.09%-2.53%
200811-5.76%3.25%$15,304$19,332-7.90%-6.29%3.64%
2008123.68%3.27%$15,867$19,9641.86%8.16%3.32%
20091-8.07%-0.95%$14,588$19,774-8.26%-11.96%-0.70%
20092-8.72%-0.76%$13,315$19,623-10.45%-9.58%-0.42%
200937.75%1.72%$14,346$19,9618.65%9.31%1.48%
200949.62%0.71%$15,727$20,10210.61%12.78%0.36%
200956.99%1.00%$16,826$20,3045.38%14.35%0.85%
20096-0.05%0.53%$16,817$20,4120.34%-1.32%0.54%
200977.41%1.65%$18,063$20,7487.82%9.96%1.43%
200983.20%1.10%$18,641$20,9773.63%3.50%1.01%
200994.01%1.29%$19,388$21,2474.23%5.15%1.19%
200910-2.02%0.31%$18,997$21,313-2.57%-2.17%0.41%
2009114.54%1.51%$19,858$21,6345.63%3.86%1.36%
2009121.84%-1.52%$20,224$21,3052.86%1.53%-1.68%
20101-3.14%1.40%$19,589$21,603-3.50%-5.07%1.57%
201022.08%0.30%$19,998$21,6693.36%0.22%0.20%
201035.43%0.14%$21,084$21,6986.27%6.71%-0.08%
201041.02%1.10%$21,298$21,9362.17%-1.71%1.06%
20105-7.38%0.57%$19,726$22,061-8.00%-10.78%0.87%
20106-3.43%1.36%$19,051$22,362-5.66%-1.17%1.61%
201076.94%1.14%$20,372$22,6186.99%10.33%0.94%
20108-3.42%1.27%$19,675$22,905-4.75%-3.22%1.48%
201098.29%0.31%$21,305$22,9769.47%10.41%-0.01%
2010103.30%0.48%$22,009$23,0873.94%3.55%0.36%
201011-0.90%-0.53%$21,812$22,9650.58%-4.52%-0.57%
2010126.01%-0.88%$23,122$22,7636.81%8.34%-1.15%
201111.49%0.15%$23,467$22,7982.19%0.70%0.08%
201122.86%0.28%$24,137$22,8623.60%2.71%0.16%
201130.16%0.01%$24,175$22,8650.45%-0.43%-0.01%
201143.31%1.37%$24,976$23,1792.99%5.24%1.32%
20115-1.23%1.22%$24,669$23,462-1.16%-2.87%1.30%
20116-1.51%-0.44%$24,298$23,359-1.79%-1.51%-0.39%
20117-1.51%1.44%$23,930$23,697-2.28%-1.53%1.58%
20118-5.50%1.21%$22,614$23,984-5.99%-8.45%1.46%
20119-7.61%0.60%$20,892$24,127-7.75%-12.29%0.89%
2011109.48%0.55%$22,872$24,25911.51%10.22%0.16%
201111-0.95%-0.30%$22,654$24,185-0.29%-2.88%-0.30%
201112-0.04%1.07%$22,646$24,4430.80%-2.64%1.08%
201215.01%1.02%$23,780$24,6915.08%7.27%0.87%
201223.84%0.10%$24,693$24,7164.26%5.14%-0.05%
201231.55%-0.46%$25,075$24,6033.07%-0.75%-0.58%
20124-0.67%1.08%$24,906$24,868-0.65%-1.78%1.14%
20125-6.41%0.70%$23,310$25,043-6.24%-11.14%0.95%
201263.87%0.17%$24,212$25,0853.91%6.03%0.04%
201270.94%1.37%$24,439$25,4301.03%0.44%1.39%
201282.18%0.11%$24,970$25,4592.48%2.72%0.03%
201292.47%0.19%$25,588$25,5082.58%3.62%0.11%
201210-0.89%0.05%$25,361$25,520-1.76%0.56%0.11%
2012110.93%0.21%$25,597$25,5740.74%1.82%0.19%
2012121.74%-0.15%$26,044$25,5341.19%4.17%-0.20%
201314.02%-0.50%$27,090$25,4065.50%3.34%-0.71%
201320.53%0.57%$27,233$25,5501.28%-1.23%0.54%
201332.52%0.21%$27,919$25,6053.88%0.77%0.08%
201342.06%0.94%$28,494$25,8451.70%3.58%0.91%
201350.37%-1.57%$28,600$25,4392.32%-2.95%-1.71%
20136-1.96%-1.64%$28,039$25,022-1.27%-3.75%-1.65%
201374.46%0.38%$29,289$25,1165.49%4.56%0.20%
20138-2.19%-0.71%$28,647$24,936-2.82%-1.63%-0.64%
201394.16%1.05%$29,840$25,1993.66%7.21%0.96%
2013103.50%0.89%$30,885$25,4244.22%3.41%0.78%
2013111.69%-0.24%$31,407$25,3632.88%0.12%-0.35%
2013121.79%-0.54%$31,969$25,2272.63%1.25%-0.65%
20141-2.84%1.39%$31,062$25,577-3.11%-4.78%1.54%
201424.26%0.62%$32,386$25,7364.73%5.39%0.48%
201430.39%-0.13%$32,512$25,7040.51%0.41%-0.15%
201440.49%0.75%$32,670$25,8960.06%1.31%0.77%
201451.93%1.09%$33,301$26,1772.17%1.88%1.05%
201461.97%0.19%$33,957$26,2282.54%1.74%0.11%
20147-1.63%-0.32%$33,405$26,145-1.98%-1.61%-0.26%
201482.93%1.23%$34,382$26,4684.18%1.05%1.13%
20149-2.66%-0.77%$33,468$26,263-2.14%-5.01%-0.72%
2014101.69%1.00%$34,035$26,5272.74%-0.31%0.94%
2014111.47%0.71%$34,535$26,7162.41%-0.25%0.65%
201412-0.92%0.09%$34,217$26,739-0.01%-3.65%0.09%
20151-1.27%2.14%$33,782$27,310-2.77%0.13%2.31%
201524.67%-0.85%$35,362$27,0785.76%5.52%-1.08%
20153-0.95%0.36%$35,026$27,175-1.04%-1.54%0.41%
201541.49%-0.34%$35,549$27,0840.42%5.08%-0.36%
201550.52%-0.39%$35,734$26,9791.39%-0.94%-0.45%
20156-1.86%-1.03%$35,071$26,701-1.71%-2.69%-1.01%
201570.88%0.79%$35,379$26,9121.63%-0.80%0.76%
20158-5.50%-0.55%$33,434$26,764-6.03%-7.29%-0.36%
20159-2.63%0.63%$32,556$26,933-2.93%-3.90%0.76%
2015106.27%0.28%$34,596$27,0097.84%6.26%0.01%
201511-0.06%-0.24%$34,577$26,9440.54%-1.32%-0.27%
201512-1.79%-0.44%$33,957$26,827-2.03%-2.07%-0.38%
20161-4.59%1.19%$32,400$27,145-5.67%-5.59%1.43%
20162-0.50%0.64%$32,237$27,318-0.04%-2.27%0.66%
201636.40%1.15%$34,300$27,6327.01%8.19%0.94%
201641.00%0.39%$34,642$27,7390.63%2.22%0.38%
201650.81%0.07%$34,922$27,7601.79%-1.02%0.01%
201660.18%1.88%$34,986$28,2810.23%-0.94%1.94%
201673.57%0.75%$36,236$28,4943.95%4.41%0.64%
201680.32%-0.15%$36,351$28,4510.26%0.74%-0.17%
201690.42%-0.08%$36,505$28,4290.15%1.37%-0.09%
201610-1.88%-0.85%$35,820$28,186-2.21%-1.72%-0.81%
2016111.69%-2.40%$36,427$27,5084.44%-2.15%-2.64%
2016121.69%0.30%$37,044$27,5911.92%2.02%0.24%
201712.17%0.35%$37,847$27,6881.91%3.87%0.29%
201722.69%0.76%$38,865$27,8993.71%1.50%0.66%
201730.75%-0.07%$39,156$27,8800.07%2.82%-0.07%
201741.30%0.77%$39,665$28,0961.05%2.20%0.76%
201751.47%0.68%$40,246$28,2871.01%3.01%0.67%
201760.68%0.05%$40,522$28,3000.92%0.52%0.01%
201772.04%0.44%$41,349$28,4241.87%3.42%0.39%
201780.38%0.83%$41,505$28,6600.15%0.64%0.85%
201791.84%-0.44%$42,268$28,5352.45%1.81%-0.54%
2017101.79%0.18%$43,027$28,5872.16%1.94%0.11%
2017111.98%-0.06%$43,881$28,5693.04%0.78%-0.17%
2017121.17%0.46%$44,395$28,7010.99%2.01%0.44%
201814.42%-0.88%$46,357$28,4495.31%5.59%-1.09%
20182-3.68%-1.12%$44,653$28,131-3.72%-5.14%-1.03%
20183-1.25%0.54%$44,093$28,282-1.99%-0.64%0.63%
201840.31%-0.79%$44,230$28,0590.38%0.83%-0.83%
201851.26%0.68%$44,789$28,2502.79%-1.92%0.61%
20186-0.12%0.05%$44,734$28,2650.68%-2.08%0.03%
201872.62%0.15%$45,907$28,3063.34%2.48%0.03%
201881.57%0.62%$46,626$28,4803.44%-2.19%0.52%
201890.09%-0.52%$46,668$28,3330.16%0.30%-0.54%
201810-6.64%-0.96%$43,568$28,061-7.40%-8.35%-0.73%
2018111.63%0.58%$44,276$28,2242.06%1.26%0.53%
201812-6.50%1.42%$41,400$28,625-9.29%-4.85%1.80%
Portfolio return and risk metrics
MetricProvided PortfolioMinimum Expected Tail Loss
Arithmetic Mean (monthly)0.61%0.40%
Arithmetic Mean (annualized)7.59%4.95%
Geometric Mean (monthly)0.54%0.40%
Geometric Mean (annualized)6.67%4.90%
Volatility (monthly)3.77%0.95%
Volatility (annualized)13.06%3.30%
Downside Deviation (monthly)2.61%0.52%
Max. Drawdown-46.76%-4.76%
US Market Correlation0.980.10
Beta(*)0.840.02
Alpha (annualized)0.06%4.66%
R296.64%0.97%
Sharpe Ratio0.410.86
Sortino Ratio0.571.40
Treynor Ratio (%)6.35133.44
Calmar Ratio0.600.63
Active Return-1.10%-2.88%
Tracking Error3.47%15.39%
Information Ratio-0.32-0.19
Skewness-0.77-0.38
Excess Kurtosis1.671.38
Historical Value-at-Risk (5%)-6.75%-1.03%
Analytical Value-at-Risk (5%)-5.58%-1.16%
Conditional Value-at-Risk (5%)-8.84%-1.82%
Upside Capture Ratio (%)82.2212.16
Downside Capture Ratio (%)84.12-8.68
Safe Withdrawal Rate7.35%6.69%
Perpetual Withdrawal Rate4.28%2.65%
Positive Periods166 out of 264 (62.88%)184 out of 264 (69.70%)
Gain/Loss Ratio0.901.28
* 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 PeriodStartEndProvided PortfolioMinimum Expected Tail Loss
Asian CrisisJul 1997Jan 1998-4.53%-0.95%
Russian Debt DefaultJul 1998Oct 1998-13.43%-0.28%
Dotcom CrashMar 2000Oct 2002-36.77%-1.53%
Subprime CrisisNov 2007Mar 2009-46.76%-4.76%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-46.76%
2Apr 2000Sep 20022 years 6 monthsJul 20052 years 10 months5 years 4 months-36.77%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-13.43%
4Oct 2018Dec 20183 months-11.29%
5Jun 2015Feb 20169 monthsJul 20165 months1 year 2 months-9.79%
6Apr 2012May 20122 monthsSep 20124 months6 months-7.04%
7Feb 2018Mar 20182 monthsAug 20185 months7 months-4.88%
8Aug 1997Aug 19971 monthSep 19971 month2 months-4.53%
9Oct 1997Oct 19971 monthJan 19983 months4 months-4.12%
10Jan 2000Jan 20001 monthMar 20002 months3 months-4.10%
Worst 10 drawdowns included above

Drawdowns for Minimum Expected Tail Loss

Drawdowns for Minimum Expected Tail Loss (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-4.76%
2May 2013Aug 20134 monthsApr 20148 months1 year-3.52%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.46%
4Jun 2003Jul 20032 monthsDec 20035 months7 months-3.22%
5Apr 2004May 20042 monthsAug 20043 months5 months-2.95%
6Feb 1999Aug 19997 monthsFeb 20006 months1 year 1 month-2.42%
7Jan 2018Apr 20184 months-2.24%
8Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.23%
9Sep 2005Oct 20052 monthsFeb 20064 months6 months-1.87%
10Jan 2009Feb 20092 monthsApr 20092 months4 months-1.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSMXVanguard Total Stock Mkt Idx Inv7.77%15.36%33.35%-37.04%-50.89%0.430.611.00
VGTSXVanguard Total Intl Stock Index Inv4.29%17.15%40.34%-44.10%-58.50%0.210.300.85
VBMFXVanguard Total Bond Market Index Inv4.75%3.40%11.39%-2.26%-3.99%0.791.30-0.06

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSMXVGTSXVBMFXProvided PortfolioMinimum Expected Tail Loss
VTSMXVanguard Total Stock Mkt Idx Inv-0.85-0.060.980.10
VGTSXVanguard Total Intl Stock Index Inv0.85-0.010.930.15
VBMFXVanguard Total Bond Market Index Inv-0.060.01-0.000.99

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameProvided PortfolioMinimum Expected Tail Loss
VTSMXVanguard Total Stock Mkt Idx Inv68.77%1.56%
VGTSXVanguard Total Intl Stock Index Inv31.22%
VBMFXVanguard Total Bond Market Index Inv0.01%98.44%

Annual Asset Returns

Rolling returns summary
Roll PeriodProvided PortfolioMinimum Expected Tail Loss
AverageHighLowAverageHighLow
1 year7.88%29.21%-33.61%4.95%10.62%-1.20%
3 years6.64%20.05%-11.53%4.86%8.53%1.66%
5 years5.99%15.04%0.11%4.95%7.47%2.37%
7 years6.22%11.48%1.66%4.96%7.05%2.28%
10 years5.93%10.07%1.09%5.00%6.10%3.67%
15 years6.11%9.13%4.65%4.98%6.14%3.90%
Result statistics are based on annualized rolling returns over full calendar year periods