Rolling Portfolio Optimization

This portfolio optimization tool performs rolling portfolio optimization where at the start of each period the portfolio asset weights are optimized for the given performance goal based on the specified timing window of past returns. The following rolling optimization strategies are supported:

The required inputs for the optimization include the time range and the portfolio assets. Portfolio asset weights and constraints are optional.

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Portfolio Optimization Results (Jan 1994 - Feb 2020)

Rolling portfolio optimization results with goal to maximize sharpe ratio using 12-month lookback period and monthly optimization.

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRExpected ReturnStdevBest YearWorst YearMax. DrawdownSharpe Ratio (ex-ante)Sharpe Ratio (ex-post)Sortino RatioUS Mkt Correlation
Provided Portfolio$10,000$64,287 7.37% 7.59% 6.41%21.04%-4.25%-14.33% 0.810.771.240.47
Maximum Sharpe Ratio$10,000$92,000 8.85% 9.28% 8.97%33.19%-7.24%-14.51% 0.770.731.200.37
Equal Weighted$10,000$64,287 7.37% 7.59% 6.41%21.04%-4.25%-14.33% 0.810.771.240.47
Vanguard Balanced Index Inv$10,000$73,617 7.93% 8.36% 8.94%28.64%-22.21%-32.57% 0.660.630.920.99
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on full calendar months from January to February
  • 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 (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
  • The optimized allocation will use the risk free cash asset (3-month treasury bill) for periods when all expected asset returns over the risk free rate are negative.
Portfolio return and risk metrics
MetricProvided PortfolioMaximum Sharpe RatioEqual WeightedVanguard Balanced Index Inv
Arithmetic Mean (monthly)0.61%0.74%0.61%0.67%
Arithmetic Mean (annualized)7.59%9.28%7.59%8.36%
Geometric Mean (monthly)0.59%0.71%0.59%0.64%
Geometric Mean (annualized)7.37%8.85%7.37%7.93%
Volatility (monthly)1.85%2.59%1.85%2.58%
Volatility (annualized)6.41%8.97%6.41%8.94%
Downside Deviation (monthly)1.07%1.47%1.07%1.68%
Max. Drawdown-14.33%-14.51%-14.33%-32.57%
US Market Correlation0.470.370.470.99
Beta(*)0.410.450.411.00
Alpha (annualized)4.04%5.30%4.04%0.00%
R232.54%19.91%32.54%100.00%
Sharpe Ratio0.770.730.770.63
Sortino Ratio1.241.201.240.92
Treynor Ratio (%)12.0914.5612.095.66
Calmar Ratio1.900.311.900.94
Active Return-0.56%0.92%-0.56%N/A
Tracking Error7.46%9.42%7.46%N/A
Information Ratio-0.070.10-0.07N/A
Skewness-0.570.10-0.57-0.76
Excess Kurtosis3.252.523.251.63
Historical Value-at-Risk (5%)-2.28%-3.35%-2.28%-4.22%
Analytical Value-at-Risk (5%)-2.43%-3.52%-2.43%-3.57%
Conditional Value-at-Risk (5%)-3.54%-5.29%-3.54%-5.77%
Upside Capture Ratio (%)51.1565.9151.15100.00
Downside Capture Ratio (%)20.4232.0420.42100.00
Safe Withdrawal Rate6.72%9.56%6.72%7.91%
Perpetual Withdrawal Rate4.83%6.13%4.83%5.33%
Positive Periods202 out of 314 (64.33%)208 out of 314 (66.24%)202 out of 314 (64.33%)212 out of 314 (67.52%)
Gain/Loss Ratio1.311.121.310.91
* Vanguard Balanced Index Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Allocation Drift

Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Long-Term Treasury Inv (VUSTX)Gold Price Index (^GOLD)
Provided PortfolioMaximum Sharpe RatioEqual WeightedVanguard Balanced Index InvProvided PortfolioMaximum Sharpe RatioEqual WeightedVanguard Balanced Index Inv
19942.67%-2.53%-6.25%-2.53%-1.56%$9,747$9,375$9,747$9,8441.18%-2.66%-7.04%-2.17%
19952.54%21.04%28.41%21.04%28.64%$11,799$12,038$11,799$12,66437.45%18.18%30.09%0.98%
19963.32%4.86%19.78%4.86%13.95%$12,373$14,420$12,373$14,43122.88%3.58%-1.26%-4.59%
19971.70%7.38%33.19%7.38%22.24%$13,285$19,205$13,285$17,64133.19%9.44%13.90%-21.41%
19981.61%12.57%12.89%12.57%17.85%$14,955$21,680$14,955$20,79028.62%8.58%13.05%-0.83%
19992.68%3.09%9.62%3.09%13.61%$15,417$23,766$15,417$23,62021.07%-0.76%-8.66%0.85%
20003.39%3.91%5.23%3.91%-2.04%$16,020$25,010$16,020$23,138-9.06%11.39%19.72%-5.44%
20011.55%0.75%6.51%0.75%-3.02%$16,140$26,638$16,140$22,440-12.02%8.43%4.31%0.75%
20022.38%6.28%13.48%6.28%-9.52%$17,153$30,229$17,153$20,304-22.15%8.26%16.67%25.57%
20031.88%13.73%10.30%13.73%19.87%$19,508$33,343$19,508$24,33828.50%3.97%2.68%19.89%
20043.26%6.93%3.66%6.93%9.32%$20,860$34,565$20,860$26,60810.74%4.24%7.12%4.65%
20053.42%8.06%2.58%8.06%4.65%$22,541$35,457$22,541$27,8454.77%2.40%6.61%17.77%
20062.54%11.33%2.32%11.33%11.02%$25,094$36,281$25,094$30,91415.64%4.27%1.74%23.20%
20074.08%13.21%11.96%13.21%6.16%$28,410$40,619$28,410$32,8195.39%6.92%9.24%31.92%
20080.09%-2.80%18.68%-2.80%-22.21%$27,614$48,208$27,614$25,530-37.02%5.05%22.52%4.32%
20092.72%11.25%-3.53%11.25%20.05%$30,722$46,504$30,722$30,64926.49%5.93%-12.05%25.04%
20101.50%15.35%6.39%15.35%13.13%$35,437$49,477$35,437$34,67414.91%6.42%8.93%29.24%
20112.96%12.66%8.14%12.66%4.14%$39,924$53,503$39,924$36,1081.97%7.56%29.28%8.93%
20121.74%8.36%7.05%8.36%11.33%$43,262$57,274$43,262$40,19915.82%4.05%3.47%8.26%
20131.50%-4.25%16.90%-4.25%17.91%$41,423$66,956$41,423$47,39932.18%-2.26%-13.03%-27.33%
20140.76%11.04%14.94%11.04%9.84%$45,996$76,959$45,996$52,06513.51%5.76%25.28%0.12%
20150.73%-2.72%-1.34%-2.72%0.37%$44,747$75,924$44,747$52,2571.25%0.30%-1.54%-12.11%
20162.07%6.32%0.53%6.32%8.63%$47,576$76,324$47,576$56,76811.82%2.50%1.20%8.10%
20172.11%11.50%19.57%11.50%13.75%$53,045$91,259$53,045$64,57621.67%3.46%8.58%12.66%
20181.91%-1.48%-7.24%-1.48%-2.97%$52,258$84,647$52,258$62,661-4.52%-0.13%-1.90%-0.93%
20192.29%18.38%7.71%18.38%21.67%$61,864$91,171$61,864$76,24031.33%8.61%14.13%18.43%
20200.66%3.92%0.91%3.92%-3.44%$64,287$92,000$64,287$73,617-8.29%3.86%14.35%6.28%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)Vanguard Long-Term Treasury Inv (VUSTX)Gold Price Index (^GOLD)
Provided PortfolioMaximum Sharpe RatioEqual WeightedVanguard Balanced Index InvProvided PortfolioMaximum Sharpe RatioEqual WeightedVanguard Balanced Index Inv
199410.87%1.00%0.87%2.29%$10,087$10,100$10,087$10,2293.38%1.39%2.23%-3.54%
19942-1.88%-1.60%-1.88%-2.15%$9,897$9,938$9,897$10,009-2.71%-1.78%-3.99%0.97%
19943-2.13%-2.13%-2.13%-3.60%$9,686$9,726$9,686$9,649-4.39%-2.30%-3.82%2.00%
19944-1.03%-2.48%-1.03%0.10%$9,587$9,485$9,587$9,6581.29%-0.83%-1.29%-3.28%
199451.03%2.08%1.03%0.67%$9,685$9,682$9,685$9,7231.60%0.00%-0.47%2.96%
19946-0.82%-1.85%-0.82%-1.72%$9,606$9,503$9,606$9,556-2.45%-0.18%-0.81%0.17%
199471.74%-1.09%1.74%2.53%$9,773$9,399$9,773$9,7983.28%1.84%2.94%-1.09%
199481.00%4.08%1.00%2.66%$9,871$9,782$9,871$10,0584.08%0.14%-0.67%0.46%
19949-1.13%-1.15%-1.13%-1.76%$9,759$9,669$9,759$9,881-2.45%-1.44%-3.00%2.36%
199410-0.24%-1.73%-0.24%0.85%$9,736$9,502$9,736$9,9662.25%-0.07%-0.36%-2.79%
199411-0.85%-1.79%-0.85%-2.26%$9,653$9,331$9,653$9,741-3.65%-0.18%0.62%-0.20%
1994120.98%0.47%0.98%1.06%$9,747$9,375$9,747$9,8441.46%0.80%1.62%0.04%
199511.23%0.47%1.23%2.13%$9,867$9,419$9,867$10,0542.58%1.90%2.62%-2.18%
199522.30%0.49%2.30%3.22%$10,094$9,465$10,094$10,3783.88%2.17%2.73%0.40%
199532.12%2.95%2.12%1.75%$10,308$9,744$10,308$10,5592.95%0.67%0.72%4.14%
199541.33%2.94%1.33%2.00%$10,446$10,031$10,446$10,7702.94%1.31%1.65%-0.57%
199553.51%3.95%3.51%3.65%$10,812$10,428$10,812$11,1633.95%3.95%7.52%-1.40%
199561.20%1.93%1.20%2.15%$10,942$10,628$10,942$11,4032.31%0.66%1.13%0.72%
199570.17%2.51%0.17%2.29%$10,961$10,896$10,961$11,6643.30%-0.25%-1.40%-0.96%
199580.81%0.26%0.81%1.08%$11,050$10,925$11,050$11,7890.26%1.18%2.05%-0.26%
199591.85%3.66%1.85%2.62%$11,254$11,325$11,254$12,0994.21%0.95%1.81%0.43%
1995100.93%0.82%0.93%0.00%$11,359$11,418$11,359$12,099-0.36%1.47%2.97%-0.35%
1995112.37%3.23%2.37%3.13%$11,628$11,786$11,628$12,4784.38%1.44%2.31%1.35%
1995121.47%2.14%1.47%1.50%$11,799$12,038$11,799$12,6641.93%1.44%2.70%-0.21%
199612.19%2.42%2.19%1.88%$12,057$12,330$12,057$12,9023.39%0.63%-0.05%4.79%
19962-1.74%-0.65%-1.74%0.31%$11,847$12,250$11,847$12,9420.92%-1.76%-4.93%-1.21%
19963-0.71%0.93%-0.71%0.30%$11,762$12,364$11,762$12,9810.98%-0.77%-1.98%-1.07%
19964-0.52%1.46%-0.52%1.15%$11,701$12,544$11,701$13,1311.46%-0.49%-1.78%-1.27%
199650.43%2.54%0.43%1.52%$11,751$12,863$11,751$13,3312.54%-0.17%-0.46%-0.19%
199660.40%0.38%0.40%0.08%$11,798$12,912$11,798$13,3410.38%1.27%2.14%-2.19%
19967-0.84%-4.42%-0.84%-3.09%$11,699$12,342$11,699$12,929-4.42%0.25%-0.05%0.86%
199680.23%2.10%0.23%1.87%$11,727$12,600$11,727$13,1712.10%-0.16%-1.29%0.30%
199692.04%5.61%2.04%3.90%$11,966$13,307$11,966$13,6845.61%1.70%2.79%-1.93%
1996102.24%2.76%2.24%1.77%$12,235$13,673$12,235$13,9262.76%2.21%3.88%0.13%
1996112.60%7.56%2.60%4.72%$12,553$14,708$12,553$14,5847.56%1.76%3.24%-2.16%
199612-1.44%-1.96%-1.44%-1.05%$12,373$14,420$12,373$14,431-1.96%-0.85%-2.38%-0.55%
19971-0.16%6.22%-0.16%3.38%$12,353$15,316$12,353$14,9186.22%0.25%-0.65%-6.43%
199721.15%0.79%1.15%0.00%$12,495$15,437$12,495$14,9180.79%0.11%-0.11%3.79%
19973-2.58%-4.14%-2.58%-3.12%$12,173$14,798$12,173$14,452-4.14%-0.97%-2.29%-2.91%
199741.87%5.96%1.87%3.34%$12,401$15,680$12,401$14,9355.96%1.49%2.35%-2.30%
199752.39%6.09%2.39%4.57%$12,697$16,634$12,697$15,6176.09%0.87%0.98%1.60%
199761.05%4.45%1.05%3.16%$12,830$17,375$12,830$16,1104.45%1.16%1.78%-3.20%
199773.41%7.97%3.41%5.70%$13,268$18,759$13,268$17,0297.97%2.80%5.34%-2.45%
19978-2.34%-5.61%-2.34%-2.61%$12,958$17,707$12,958$16,586-5.61%-0.85%-2.57%-0.31%
199792.91%5.47%2.91%4.01%$13,334$18,675$13,334$17,2515.47%1.45%2.63%2.07%
199710-1.29%-3.35%-1.29%-1.42%$13,163$18,050$13,163$17,007-3.35%1.45%2.99%-6.23%
1997110.38%4.60%0.38%2.19%$13,212$18,880$13,212$17,3794.60%0.33%1.27%-4.69%
1997120.55%1.72%0.55%1.51%$13,285$19,205$13,285$17,6411.72%1.04%1.66%-2.22%
199812.35%1.25%2.35%0.80%$13,597$19,446$13,597$17,7811.11%1.32%1.91%5.05%
199820.97%0.93%0.97%4.32%$13,729$19,626$13,729$18,5507.19%-0.10%-0.75%-2.44%
199831.70%2.69%1.70%3.16%$13,962$20,155$13,962$19,1365.10%0.33%0.14%1.21%
199841.29%0.65%1.29%0.91%$14,142$20,286$14,142$19,3101.01%0.51%0.40%3.22%
19985-1.10%0.22%-1.10%-1.24%$13,987$20,330$13,987$19,070-1.74%1.02%1.83%-5.50%
199862.04%1.71%2.04%2.46%$14,271$20,677$14,271$19,5404.07%0.81%2.35%0.92%
19987-0.96%-0.66%-0.96%-1.24%$14,134$20,542$14,134$19,298-1.05%0.23%-0.51%-2.51%
19988-3.27%-0.29%-3.27%-8.53%$13,671$20,483$13,671$17,652-14.47%1.90%4.83%-5.35%
199894.78%2.82%4.78%4.53%$14,325$21,062$14,325$18,4526.41%1.96%3.29%7.48%
1998101.35%-0.14%1.35%4.25%$14,518$21,031$14,518$19,2368.16%-0.55%-1.69%-0.53%
1998112.07%1.97%2.07%3.96%$14,818$21,445$14,818$19,9986.07%0.49%0.88%0.82%
1998120.92%1.10%0.92%3.96%$14,955$21,680$14,955$20,7905.81%0.38%-0.16%-2.34%
199911.29%1.62%1.29%2.49%$15,147$22,031$15,147$21,3074.20%0.79%0.98%-0.83%
19992-2.27%-4.37%-2.27%-2.90%$14,804$21,067$14,804$20,688-3.12%-1.77%-4.76%0.58%
199930.39%1.29%0.39%2.59%$14,862$21,340$14,862$21,2234.00%0.56%-0.34%-2.65%
199941.75%0.99%1.75%2.89%$15,122$21,551$15,122$21,8373.85%0.40%0.19%2.56%
19995-2.81%-1.17%-2.81%-1.56%$14,697$21,299$14,697$21,496-2.39%-0.88%-1.68%-6.28%
199960.29%5.46%0.29%2.93%$14,740$22,461$14,740$22,1265.56%-0.50%-1.05%-2.83%
19997-1.54%-3.13%-1.54%-1.97%$14,513$21,758$14,513$21,691-3.13%-0.39%-0.58%-2.07%
19998-0.34%-0.50%-0.34%-0.63%$14,463$21,650$14,463$21,553-0.50%-0.08%-0.49%-0.31%
199994.19%-2.74%4.19%-0.96%$15,070$21,057$15,070$21,347-2.74%1.26%0.91%17.35%
1999101.70%5.47%1.70%3.89%$15,326$22,208$15,326$22,1786.33%0.33%0.12%0.03%
199911-0.28%1.39%-0.28%2.08%$15,283$22,516$15,283$22,6402.02%0.02%-0.59%-2.59%
1999120.88%5.55%0.88%4.33%$15,417$23,766$15,417$23,6205.98%-0.48%-1.60%-0.38%
20001-1.59%-4.79%-1.59%-2.57%$15,173$22,628$15,173$23,012-5.03%-0.17%1.25%-2.39%
200021.47%-1.91%1.47%1.98%$15,396$22,197$15,396$23,468-1.91%1.18%2.96%3.65%
200032.14%8.65%2.14%3.97%$15,724$24,116$15,724$24,3999.76%1.40%3.14%-5.76%
20004-1.19%-2.91%-1.19%-3.33%$15,537$23,414$15,537$23,587-3.01%-0.49%-0.66%-0.61%
20005-0.92%-2.04%-0.92%-2.10%$15,394$22,937$15,394$23,093-2.04%-0.16%-0.46%-1.02%
200063.19%2.75%3.19%3.47%$15,886$23,567$15,886$23,8952.49%2.15%2.30%5.84%
20007-0.77%-1.47%-0.77%-0.79%$15,763$23,221$15,763$23,705-1.49%0.88%1.49%-3.96%
200082.44%2.55%2.44%4.90%$16,148$23,813$16,148$24,8676.19%1.40%2.08%0.09%
20009-1.65%-1.67%-1.65%-2.53%$15,882$23,415$15,882$24,239-5.29%0.76%-0.85%-1.21%
200010-0.41%1.23%-0.41%-0.94%$15,817$23,702$15,817$24,012-0.43%0.57%1.57%-3.34%
200011-0.39%2.99%-0.39%-5.38%$15,755$24,411$15,755$22,721-7.88%1.58%2.99%1.74%
2000121.68%2.45%1.68%1.84%$16,020$25,010$16,020$23,1380.50%1.79%2.45%1.99%
200110.49%0.28%0.49%3.04%$16,099$25,081$16,099$23,8423.55%1.76%0.28%-3.63%
20012-1.40%1.10%-1.40%-5.34%$15,873$25,356$15,873$22,568-9.14%0.91%1.80%0.83%
20013-2.45%0.32%-2.45%-3.62%$15,485$25,437$15,485$21,751-6.36%0.54%-0.60%-3.37%
200141.71%-0.46%1.71%4.61%$15,750$25,319$15,750$22,7547.77%-0.46%-2.56%2.11%
200150.81%0.73%0.81%0.86%$15,878$25,505$15,878$22,9500.65%0.73%0.21%1.65%
20016-0.00%0.52%-0.00%-0.80%$15,878$25,638$15,878$22,767-2.45%0.52%0.76%1.16%
200170.78%2.23%0.78%-0.11%$16,001$26,210$16,001$22,742-1.00%2.23%3.61%-1.74%
20018-0.12%1.11%-0.12%-3.09%$15,982$26,500$15,982$22,039-6.27%1.11%2.02%2.67%
200190.26%0.89%0.26%-4.77%$16,024$26,738$16,024$20,987-8.09%0.89%0.88%7.36%
2001101.00%1.51%1.00%2.19%$16,183$27,141$16,183$21,4481.90%1.86%5.12%-4.90%
2001110.02%-1.32%0.02%3.77%$16,187$26,782$16,187$22,2567.65%-1.34%-5.07%-1.17%
200112-0.29%-0.54%-0.29%0.83%$16,140$26,638$16,140$22,4400.87%-0.58%-1.82%0.36%
200210.63%0.73%0.63%-0.45%$16,241$26,832$16,241$22,340-1.47%0.69%1.20%2.10%
200221.33%1.37%1.33%-0.84%$16,457$27,201$16,457$22,151-1.94%0.85%1.24%5.15%
20023-0.01%-0.76%-0.01%1.99%$16,455$26,995$16,455$22,5913.74%-1.46%-3.86%1.53%
200240.40%0.55%0.40%-2.30%$16,522$27,144$16,522$22,073-6.07%1.69%3.73%2.26%
200251.60%1.77%1.60%-0.40%$16,786$27,626$16,786$21,984-0.75%0.80%0.39%5.97%
20026-1.89%-1.44%-1.89%-3.97%$16,469$27,229$16,469$21,111-7.13%0.29%1.76%-2.48%
20027-2.16%-0.71%-2.16%-4.22%$16,112$27,036$16,112$20,219-7.72%0.48%2.93%-4.35%
200282.32%2.93%2.32%0.95%$16,486$27,829$16,486$20,4100.65%1.66%4.28%2.68%
20029-0.46%3.77%-0.46%-5.44%$16,409$28,877$16,409$19,301-10.87%1.53%4.02%3.48%
2002100.81%-2.54%0.81%4.26%$16,542$28,143$16,542$20,1248.78%-0.61%-2.84%-2.10%
2002111.40%0.49%1.40%3.58%$16,774$28,282$16,774$20,8445.88%0.02%-0.98%0.68%
2002122.26%6.89%2.26%-2.59%$17,153$30,229$17,153$20,304-5.89%2.07%4.05%8.82%
200310.71%2.46%0.71%-1.47%$17,275$30,972$17,275$20,006-2.62%0.05%-0.45%5.85%
20032-0.64%-1.73%-0.64%-0.39%$17,164$30,436$17,164$19,928-1.52%1.38%3.03%-5.46%
20033-0.98%-0.41%-0.98%0.58%$16,995$30,311$16,995$20,0430.96%-0.13%-1.13%-3.63%
200342.65%0.91%2.65%5.22%$17,445$30,589$17,445$21,0898.25%0.87%0.91%0.57%
200355.02%1.92%5.02%4.34%$18,321$31,177$18,321$22,0035.26%1.82%5.67%7.32%
20036-1.16%-0.10%-1.16%0.88%$18,109$31,146$18,109$22,1981.26%-0.13%-1.48%-4.26%
20037-1.91%-3.06%-1.91%0.06%$17,764$30,194$17,764$22,2111.74%-3.34%-8.57%2.53%
200382.46%2.13%2.46%1.66%$18,201$30,837$18,201$22,5791.93%0.61%1.43%5.88%
200392.50%2.03%2.50%0.41%$18,656$31,464$18,656$22,671-1.07%2.71%5.07%3.30%
2003100.41%1.40%0.41%3.21%$18,733$31,906$18,733$23,3985.64%-0.96%-2.58%-0.45%
2003111.15%1.17%1.15%0.96%$18,948$32,278$18,948$23,6230.86%0.27%0.31%3.13%
2003122.96%3.30%2.96%3.03%$19,508$33,343$19,508$24,3385.22%0.88%1.23%4.49%
200410.12%0.55%0.12%1.70%$19,531$33,527$19,531$24,7511.82%0.86%1.74%-3.96%
200420.85%1.24%0.85%1.29%$19,696$33,944$19,696$25,0711.38%1.03%1.96%-0.98%
200431.94%-0.77%1.94%-0.37%$20,079$33,682$20,079$24,978-1.51%0.80%1.45%7.04%
20044-4.50%-3.36%-4.50%-2.31%$19,174$32,550$19,174$24,402-1.58%-2.61%-5.52%-8.31%
200450.40%1.35%0.40%0.66%$19,251$32,990$19,251$24,5631.36%-0.43%-0.56%1.22%
200461.00%1.83%1.00%1.47%$19,444$33,594$19,444$24,9251.93%0.56%0.87%0.65%
20047-0.49%-2.97%-0.49%-1.89%$19,349$32,596$19,349$24,453-3.31%0.96%1.52%-1.11%
200482.44%1.31%2.44%0.99%$19,821$33,022$19,821$24,6960.38%1.94%3.39%4.05%
200491.06%0.48%1.06%1.15%$20,031$33,179$20,031$24,9791.07%0.16%0.94%2.06%
2004101.55%1.19%1.55%1.30%$20,341$33,574$20,341$25,3051.51%0.85%1.46%2.38%
2004111.88%0.85%1.88%2.52%$20,724$33,860$20,724$25,9424.05%-0.81%-2.25%6.54%
2004120.65%2.08%0.65%2.57%$20,860$34,565$20,860$26,6083.39%0.92%2.22%-3.93%
20051-0.57%-0.94%-0.57%-1.34%$20,740$34,239$20,740$26,252-2.45%0.65%2.59%-3.09%
200520.84%0.28%0.84%0.99%$20,915$34,336$20,915$26,5122.09%-0.63%-1.24%3.15%
20053-1.21%-1.45%-1.21%-1.29%$20,662$33,837$20,662$26,171-1.76%-0.49%-0.76%-1.83%
200541.15%-1.06%1.15%-0.84%$20,899$33,476$20,899$25,951-1.91%1.35%3.22%1.92%
200550.47%1.16%0.47%2.76%$20,998$33,863$20,998$26,6663.17%1.05%2.55%-4.88%
200561.95%1.86%1.95%0.72%$21,407$34,494$21,407$26,8590.13%0.55%1.64%5.47%
20057-0.43%-1.28%-0.43%2.11%$21,315$34,053$21,315$27,4273.71%-0.99%-2.58%-1.85%
200581.08%1.05%1.08%-0.10%$21,544$34,411$21,544$27,399-0.91%1.36%2.87%0.99%
200591.54%-0.05%1.54%0.11%$21,876$34,393$21,876$27,4280.79%-1.10%-2.78%9.23%
200510-1.19%-1.50%-1.19%-1.47%$21,616$33,877$21,616$27,024-1.68%-0.81%-1.74%-0.53%
2005112.53%2.91%2.53%2.58%$22,162$34,862$22,162$27,7213.76%0.48%0.57%5.29%
2005121.71%1.71%1.71%0.45%$22,541$35,457$22,541$27,8450.02%0.99%2.33%3.50%
200613.13%3.89%3.13%2.12%$23,246$36,835$23,246$28,4352.65%-0.11%-0.90%10.87%
20062-0.20%-0.53%-0.20%0.15%$23,199$36,641$23,199$28,4780.26%0.37%0.81%-2.24%
200630.38%0.69%0.38%0.69%$23,287$36,893$23,287$28,6741.23%-1.00%-3.39%4.68%
200642.46%3.25%2.46%0.54%$23,859$38,094$23,859$28,8291.33%-0.21%-1.96%10.65%
20065-0.41%-1.50%-0.41%-1.96%$23,762$37,521$23,762$28,264-2.90%-0.09%-0.03%1.40%
20066-1.28%-6.05%-1.28%0.16%$23,458$35,251$23,458$28,3090.13%0.10%0.71%-6.05%
200671.72%2.80%1.72%0.50%$23,863$36,239$23,863$28,4520.61%1.35%1.84%3.10%
200681.33%-0.91%1.33%2.00%$24,180$35,910$24,180$29,0222.36%1.64%2.74%-1.42%
200690.27%-3.45%0.27%1.68%$24,244$34,672$24,244$29,5082.56%0.81%1.58%-3.89%
2006101.37%2.21%1.37%2.43%$24,577$35,438$24,577$30,2263.25%0.72%0.77%0.75%
2006113.00%2.81%3.00%1.80%$25,315$36,435$25,315$30,7711.89%1.11%1.91%7.11%
200612-0.87%-0.42%-0.87%0.47%$25,094$36,281$25,094$30,9141.39%-0.48%-2.14%-2.27%
200710.87%1.64%0.87%1.08%$25,313$36,877$25,313$31,2471.49%-0.08%-0.85%2.93%
200721.14%-1.57%1.14%-0.32%$25,602$36,298$25,602$31,146-1.97%1.50%2.93%2.11%
20073-0.09%0.50%-0.09%0.65%$25,579$36,480$25,579$31,3471.11%0.02%-1.13%-0.37%
200742.02%2.32%2.02%2.60%$26,096$37,325$26,096$32,1634.42%0.51%0.86%2.30%
20075-0.47%0.99%-0.47%1.90%$25,974$37,696$25,974$32,7753.48%-0.78%-1.93%-2.64%
20076-1.06%-1.04%-1.06%-1.15%$25,698$37,304$25,698$32,397-1.68%-0.39%-0.88%-1.30%
200770.61%-1.60%0.61%-1.72%$25,855$36,708$25,855$31,839-3.08%0.84%2.39%2.31%
200781.45%1.63%1.45%1.43%$26,229$37,307$26,229$32,2941.50%1.34%1.97%0.98%
200793.81%3.68%3.81%2.45%$27,228$38,680$27,228$33,0863.72%0.72%0.21%10.57%
2007102.54%3.45%2.54%1.47%$27,919$40,016$27,919$33,5741.58%0.93%1.40%6.26%
2007110.39%-2.37%0.39%-1.94%$28,028$39,067$28,028$32,924-4.19%1.91%4.59%-0.76%
2007121.36%3.97%1.36%-0.32%$28,410$40,619$28,410$32,819-0.70%0.22%-0.48%6.41%
200812.26%7.52%2.26%-2.91%$29,053$43,672$29,053$31,865-6.02%1.69%2.64%10.73%
200820.63%1.96%0.63%-1.78%$29,235$44,529$29,235$31,298-3.25%0.19%0.35%5.23%
20083-0.76%-2.15%-0.76%-0.19%$29,014$43,570$29,014$31,239-0.44%0.30%1.02%-3.91%
20084-1.00%-3.18%-1.00%2.83%$28,725$42,186$28,725$32,1244.85%-0.30%-1.84%-6.70%
200850.02%-0.37%0.02%0.98%$28,730$42,028$28,730$32,4391.29%-0.79%-2.13%1.69%
20086-0.41%1.04%-0.41%-4.98%$28,613$42,466$28,613$30,823-8.44%-0.01%1.80%5.02%
20087-0.46%-0.27%-0.46%-0.44%$28,481$42,350$28,481$30,687-0.83%0.00%0.30%-1.32%
20088-1.33%-2.08%-1.33%1.23%$28,103$41,470$28,103$31,0651.45%0.70%1.80%-9.26%
20089-0.89%1.26%-0.89%-6.04%$27,854$41,995$27,854$29,190-8.91%-1.10%0.28%6.18%
200810-10.08%-5.91%-10.08%-11.59%$25,045$39,514$25,045$25,806-16.79%-2.53%-3.63%-17.38%
2008115.00%12.07%5.00%-3.43%$26,297$44,282$26,297$24,922-7.17%3.64%12.07%11.46%
2008125.01%8.87%5.01%2.44%$27,614$48,208$27,614$25,5301.07%3.32%8.87%6.78%
20091-2.96%-8.47%-2.96%-5.18%$26,796$44,125$26,796$24,207-8.41%-0.70%-8.47%5.72%
20092-2.14%-1.01%-2.14%-6.48%$26,223$43,680$26,223$22,637-10.66%-0.42%-1.01%3.53%
200932.94%5.27%2.94%6.10%$26,995$45,980$26,995$24,0198.76%1.48%5.27%-3.73%
200940.32%-4.99%0.32%6.40%$27,082$43,686$27,082$25,5559.56%0.36%-4.99%-3.63%
200953.56%0.43%3.56%3.58%$28,046$43,872$28,046$26,4705.62%0.85%-2.68%10.44%
20096-0.69%0.49%-0.69%0.50%$27,854$44,087$27,854$26,6020.22%0.54%0.70%-4.20%
200972.57%1.43%2.57%5.28%$28,570$44,717$28,570$28,0087.58%1.43%0.80%0.48%
200982.01%1.01%2.01%2.62%$29,145$45,170$29,145$28,7423.60%1.01%1.68%1.76%
200992.78%1.19%2.78%2.98%$29,954$45,707$29,954$29,5983.72%1.19%1.98%4.21%
2009100.38%0.41%0.38%-1.33%$30,069$45,895$30,069$29,205-1.87%0.41%-1.45%4.44%
2009115.58%3.68%5.58%3.88%$31,745$47,584$31,745$30,3375.98%1.36%1.91%13.05%
200912-3.22%-2.27%-3.22%1.03%$30,722$46,504$30,722$30,6491.95%-1.68%-5.66%-7.51%
20101-0.05%0.72%-0.05%-1.50%$30,707$46,839$30,707$30,190-3.60%1.57%2.66%-0.83%
201021.46%0.35%1.46%2.10%$31,155$47,005$31,155$30,8243.09%0.20%-0.21%2.76%
201031.27%1.18%1.27%3.74%$31,550$47,562$31,550$31,9776.01%-0.08%-1.51%0.65%
201042.78%1.19%2.78%1.74%$32,427$48,126$32,427$32,5341.58%1.06%2.76%5.71%
20105-0.13%-1.25%-0.13%-4.45%$32,386$47,525$32,386$31,085-8.01%0.87%4.23%2.40%
201061.01%0.94%1.01%-2.75%$32,714$47,972$32,714$30,230-5.24%1.61%4.67%3.02%
201070.43%1.41%0.43%4.50%$32,856$48,649$32,856$31,5927.00%0.94%-0.17%-6.03%
201082.65%0.96%2.65%-2.33%$33,728$49,115$33,728$30,855-4.53%1.48%7.08%6.59%
201093.00%0.62%3.00%5.59%$34,738$49,421$34,738$32,5808.92%-0.01%-1.82%4.90%
2010100.98%0.68%0.98%2.52%$35,077$49,758$35,077$33,4033.79%0.36%-3.29%3.04%
2010110.14%-0.51%0.14%0.14%$35,127$49,506$35,127$33,4510.00%-0.57%-1.60%2.73%
2010120.88%-0.06%0.88%3.66%$35,437$49,477$35,437$34,6746.67%-1.15%-3.58%1.59%
20111-1.38%-0.44%-1.38%1.36%$34,948$49,260$34,948$35,1442.36%0.08%-2.38%-5.59%
201122.79%1.20%2.79%2.26%$35,922$49,851$35,922$35,9393.42%0.16%1.24%6.33%
201130.51%0.19%0.51%0.23%$36,104$49,948$36,104$36,0210.03%-0.01%0.02%1.98%
201143.25%2.11%3.25%2.35%$37,278$51,004$37,278$36,8692.95%1.32%2.04%6.71%
201150.88%0.86%0.88%-0.18%$37,606$51,443$37,606$36,803-1.15%1.30%3.29%0.07%
20116-1.52%-0.74%-1.52%-1.21%$37,035$51,062$37,035$36,358-1.67%-0.39%-2.00%-2.02%
201172.97%1.44%2.97%-0.72%$38,134$51,795$38,134$36,096-2.05%1.58%4.18%8.17%
201184.01%1.53%4.01%-2.81%$39,665$52,589$39,665$35,080-5.45%1.46%8.68%11.36%
20119-1.66%-2.93%-1.66%-4.39%$39,005$51,047$39,005$33,539-7.04%0.89%10.16%-10.67%
2011103.51%2.33%3.51%6.98%$40,374$52,235$40,374$35,87910.91%0.16%-3.34%6.30%
2011110.67%0.51%0.67%-0.28%$40,644$52,502$40,644$35,780-0.23%-0.30%1.82%1.39%
201112-1.77%1.91%-1.77%0.92%$39,924$53,503$39,924$36,1081.02%1.08%3.13%-12.31%
201214.83%1.38%4.83%3.40%$41,853$54,243$41,853$37,3344.46%0.87%0.08%13.91%
201220.91%0.35%0.91%2.49%$42,234$54,432$42,234$38,2634.31%-0.05%-2.11%1.49%
20123-1.79%-0.58%-1.79%1.62%$41,479$54,116$41,479$38,8813.28%-0.58%-3.77%-6.07%
201241.05%1.49%1.05%0.04%$41,914$54,922$41,914$38,898-0.64%1.14%4.37%-0.68%
20125-0.73%0.90%-0.73%-3.34%$41,607$55,416$41,607$37,599-6.02%0.95%7.79%-5.65%
201261.33%0.75%1.33%2.28%$42,159$55,833$42,159$38,4564.11%0.04%-1.44%2.60%
201271.89%2.42%1.89%1.17%$42,954$57,184$42,954$38,9081.37%1.39%3.32%1.47%
201280.71%0.48%0.71%1.55%$43,259$57,457$43,259$39,5102.24%0.03%-1.06%1.63%
201292.08%0.12%2.08%1.58%$44,159$57,527$44,159$40,1362.58%0.11%-2.10%7.73%
201210-1.35%-1.14%-1.35%-1.01%$43,564$56,870$43,564$39,732-1.86%0.11%-0.43%-3.21%
2012110.63%0.79%0.63%0.51%$43,837$57,322$43,837$39,9340.56%0.19%1.35%0.41%
201212-1.31%-0.08%-1.31%0.66%$43,262$57,274$43,262$40,1990.90%-0.20%-1.99%-3.97%
201310.41%0.17%0.41%3.03%$43,438$57,372$43,438$41,4175.18%-0.71%-3.27%0.44%
20132-0.36%0.78%-0.36%0.98%$43,282$57,819$43,282$41,8231.34%0.54%1.26%-4.58%
201331.12%0.92%1.12%2.36%$43,765$58,352$43,765$42,8103.74%0.08%0.03%0.61%
20134-0.35%1.42%-0.35%1.39%$43,613$59,180$43,613$43,4041.91%0.91%3.87%-8.09%
20135-2.67%-1.17%-2.67%0.74%$42,448$58,489$42,448$43,7272.33%-1.71%-6.23%-5.07%
20136-5.20%-1.49%-5.20%-1.41%$40,242$57,619$40,242$43,108-1.35%-1.65%-3.26%-14.52%
201373.40%5.07%3.40%3.33%$41,612$60,542$41,612$44,5425.07%0.20%-1.93%10.28%
201380.32%-2.91%0.32%-1.95%$41,745$58,779$41,745$43,672-2.91%-0.64%-1.28%6.10%
201390.02%3.12%0.02%2.56%$41,752$60,614$41,752$44,7923.12%0.96%0.88%-4.89%
2013101.62%4.59%1.62%2.83%$42,430$63,394$42,430$46,0604.59%0.78%1.32%-0.19%
201311-1.29%3.03%-1.29%1.60%$41,881$65,314$41,881$46,7973.03%-0.35%-2.49%-5.36%
201312-1.09%2.51%-1.09%1.29%$41,423$66,956$41,423$47,3992.51%-0.65%-2.37%-3.87%
201412.05%-3.47%2.05%-1.24%$42,272$64,633$42,272$46,814-3.47%1.54%6.26%3.86%
201422.92%4.26%2.92%3.02%$43,505$67,389$43,505$48,2264.56%0.48%0.60%6.04%
20143-0.33%0.82%-0.33%0.21%$43,362$67,939$43,362$48,3270.82%-0.15%0.63%-2.62%
201440.77%0.79%0.77%0.36%$43,694$68,473$43,694$48,5000.72%0.77%1.82%-0.25%
201450.79%2.33%0.79%1.71%$44,039$70,071$44,039$49,3312.33%1.05%2.73%-2.95%
201461.79%1.39%1.79%1.57%$44,828$71,047$44,828$50,1052.05%0.11%-0.16%5.16%
20147-0.83%-0.69%-0.83%-1.28%$44,457$70,556$44,457$49,462-1.39%-0.26%0.59%-2.26%
201482.34%3.97%2.34%2.95%$45,499$73,355$45,499$50,9213.98%1.13%4.23%0.04%
20149-2.38%-1.67%-2.38%-1.57%$44,417$72,133$44,417$50,121-1.41%-0.72%-1.99%-5.39%
2014100.42%2.50%0.42%2.09%$44,604$73,937$44,604$51,1682.42%0.94%2.61%-4.30%
2014111.95%2.76%1.95%1.74%$45,472$75,976$45,472$52,0582.68%0.65%2.86%1.59%
2014121.15%1.29%1.15%0.01%$45,996$76,959$45,996$52,065-0.26%0.09%2.82%1.97%
201513.19%4.89%3.19%-0.77%$47,463$80,722$47,463$51,662-3.02%2.31%8.97%4.50%
20152-1.17%-0.39%-1.17%2.95%$46,909$80,408$46,909$53,1885.74%-1.08%-5.66%-3.67%
20153-0.57%-0.49%-0.57%-0.44%$46,641$80,016$46,641$52,955-1.59%0.41%1.13%-2.22%
20154-0.76%-0.84%-0.76%0.10%$46,286$79,344$46,286$53,0070.95%-0.36%-3.07%-0.57%
20155-0.10%-0.07%-0.10%0.63%$46,240$79,292$46,240$53,3421.27%-0.45%-2.16%0.94%
20156-2.10%-2.56%-2.10%-1.42%$45,271$77,261$45,271$52,585-1.93%-1.01%-3.73%-1.71%
201570.21%2.77%0.21%1.31%$45,368$79,403$45,368$53,2752.08%0.76%4.21%-6.20%
20158-0.94%-4.40%-0.94%-3.72%$44,939$75,913$44,939$51,293-6.04%-0.36%-0.71%3.33%
20159-0.42%0.35%-0.42%-1.45%$44,751$76,182$44,751$50,550-2.49%0.76%1.91%-1.85%
2015102.63%0.45%2.63%4.61%$45,926$76,525$45,926$52,8798.42%0.01%-0.48%2.54%
201511-1.96%-0.17%-1.96%0.24%$45,027$76,392$45,027$53,0040.29%-0.27%-0.81%-7.04%
201512-0.62%-0.61%-0.62%-1.41%$44,747$75,924$44,747$52,257-1.59%-0.38%-0.34%-0.18%
201611.64%-0.10%1.64%-2.81%$45,482$75,849$45,482$50,791-4.98%1.43%5.24%4.89%
201623.61%-0.15%3.61%0.28%$47,125$75,739$47,125$50,934-0.15%0.66%2.86%11.07%
201631.99%0.93%1.99%4.59%$48,060$76,442$48,060$53,2716.78%0.94%0.05%0.17%
201641.01%0.54%1.01%0.54%$48,548$76,855$48,548$53,5590.37%0.38%-0.63%3.93%
20165-0.81%-0.29%-0.81%1.04%$48,155$76,629$48,155$54,1161.78%0.01%0.69%-5.72%
201664.43%1.93%4.43%0.93%$50,289$78,105$50,289$54,6190.25%1.94%6.57%8.96%
201671.98%0.94%1.98%2.64%$51,286$78,836$51,286$56,0633.68%0.64%2.01%1.61%
20168-0.87%-0.19%-0.87%0.06%$50,840$78,688$50,840$56,0990.13%-0.17%-1.00%-2.44%
20169-0.10%-0.18%-0.10%0.08%$50,791$78,545$50,791$56,1420.01%-0.09%-1.32%1.01%
201610-2.67%-0.97%-2.67%-1.68%$49,434$77,783$49,434$55,199-1.83%-0.81%-4.23%-3.82%
201611-3.55%-2.29%-3.55%1.61%$47,681$76,005$47,681$56,0883.70%-2.64%-7.86%-7.38%
201612-0.22%0.42%-0.22%1.21%$47,576$76,324$47,576$56,7681.96%0.24%-0.35%-2.73%
201712.17%1.83%2.17%1.25%$48,607$77,725$48,607$57,4801.88%0.29%0.65%5.84%
201722.43%3.90%2.43%2.48%$49,788$80,755$49,788$58,9033.96%0.66%1.57%3.53%
20173-0.35%0.05%-0.35%0.02%$49,612$80,799$49,612$58,9150.10%-0.07%-0.59%-0.86%
201741.27%0.98%1.27%0.93%$50,244$81,590$50,244$59,4651.02%0.76%1.58%1.74%
201750.94%1.26%0.94%0.89%$50,718$82,619$50,718$59,9971.39%0.67%1.73%-0.02%
20176-0.16%0.47%-0.16%0.55%$50,638$83,006$50,638$60,3290.61%0.01%0.63%-1.89%
201770.97%2.04%0.97%1.28%$51,128$84,701$51,128$61,1022.04%0.39%-0.59%2.04%
201781.98%0.29%1.98%0.42%$52,139$84,950$52,139$61,3600.29%0.85%3.27%3.49%
20179-0.73%1.71%-0.73%1.26%$51,757$86,403$51,757$62,1332.06%-0.54%-2.27%-2.18%
2017100.35%2.06%0.35%1.31%$51,938$88,186$51,938$62,9482.32%0.11%-0.02%-1.01%
2017111.08%2.66%1.08%1.79%$52,498$90,531$52,498$64,0763.06%-0.17%0.63%0.79%
2017121.04%0.80%1.04%0.78%$53,045$91,259$53,045$64,5761.10%0.44%1.78%0.84%
201811.35%2.47%1.35%2.71%$53,762$93,511$53,762$66,3245.71%-1.09%-3.40%4.19%
20182-2.41%-2.44%-2.41%-2.61%$52,467$91,233$52,467$64,595-3.69%-1.03%-2.89%-2.02%
201830.32%-2.41%0.32%-0.93%$52,635$89,033$52,635$63,992-2.56%0.63%2.75%0.46%
20184-0.82%-0.43%-0.82%-0.09%$52,201$88,654$52,201$63,9360.37%-0.83%-2.04%-0.80%
201851.05%2.34%1.05%1.93%$52,749$90,729$52,749$65,1692.39%0.61%1.79%-0.60%
20186-0.73%0.61%-0.73%0.40%$52,365$91,281$52,365$65,4290.61%0.03%0.66%-4.21%
201870.03%3.41%0.03%2.01%$52,379$94,396$52,379$66,7443.71%0.03%-1.28%-2.36%
201880.86%3.16%0.86%2.31%$52,828$97,378$52,828$68,2843.25%0.52%1.18%-1.52%
20189-1.00%0.55%-1.00%-0.13%$52,300$97,918$52,300$68,1940.55%-0.54%-2.74%-1.26%
201810-2.02%-6.85%-2.02%-4.76%$51,246$91,212$51,246$64,947-6.85%-0.73%-2.82%2.33%
2018111.14%2.03%1.14%1.48%$51,829$93,060$51,829$65,9102.03%0.53%1.78%0.21%
2018120.83%-9.04%0.83%-4.93%$52,258$84,647$52,258$62,661-9.04%1.80%5.50%5.05%
201913.24%0.20%3.24%5.55%$53,951$84,817$53,951$66,1378.00%1.01%0.49%3.46%
201920.38%-1.31%0.38%2.10%$54,157$83,710$54,157$67,5233.20%-0.06%-1.31%-0.31%
201931.89%1.95%1.89%1.65%$55,181$85,346$55,181$68,6361.94%1.96%5.47%-1.80%
201940.30%0.53%0.30%2.39%$55,345$85,802$55,345$70,2804.04%0.04%-1.88%-1.01%
201950.79%0.92%0.79%-3.21%$55,781$86,596$55,781$68,025-6.36%1.83%6.65%1.03%
201964.49%1.48%4.49%4.63%$58,285$87,878$58,285$71,1777.03%1.15%1.01%8.76%
201970.80%0.37%0.80%0.97%$58,749$88,206$58,749$71,8681.43%0.23%0.22%1.32%
201984.73%3.13%4.73%-0.11%$61,530$90,965$61,530$71,791-1.59%2.78%10.68%7.06%
20199-1.04%-0.95%-1.04%0.80%$60,887$90,105$60,887$72,3631.86%-0.60%-2.62%-2.82%
2019100.75%0.53%0.75%1.39%$61,343$90,581$61,343$73,3662.15%0.21%-1.10%1.73%
201911-0.05%0.38%-0.05%2.24%$61,312$90,927$61,312$75,0073.62%-0.06%-0.39%-3.36%
2019120.90%0.27%0.90%1.64%$61,864$91,171$61,864$76,2403.01%-0.15%-3.00%3.74%
202013.48%1.61%3.48%0.82%$64,020$92,643$64,020$76,862-0.05%2.11%7.29%4.58%
202020.42%-0.69%0.42%-4.22%$64,287$92,000$64,287$73,617-8.24%1.71%6.58%1.62%

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndProvided PortfolioMaximum Sharpe RatioEqual WeightedVanguard Balanced Index Inv
Asian CrisisJul 1997Jan 1998-2.34%-5.61%-2.34%-2.61%
Russian Debt DefaultJul 1998Oct 1998-4.21%-0.94%-4.21%-9.66%
Dotcom CrashMar 2000Oct 2002-4.11%-4.89%-4.11%-22.39%
Subprime CrisisNov 2007Mar 2009-14.33%-11.26%-14.33%-32.57%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-14.33%
2Oct 2012Jun 20139 monthsJun 20141 year1 year 9 months-8.87%
3Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-7.23%
4Feb 2015Dec 201511 monthsMar 20163 months1 year 2 months-5.72%
5Feb 1994Apr 19943 monthsFeb 199510 months1 year 1 month-4.95%
6Feb 2018Oct 20189 monthsJan 20193 months1 year-4.68%
7Feb 1999Aug 19997 monthsOct 19992 months9 months-4.51%
8Apr 2004Apr 20041 monthOct 20046 months7 months-4.50%
9Jul 1998Aug 19982 monthsSep 19981 month3 months-4.21%
10Sep 2000Mar 20017 monthsOct 20017 months1 year 2 months-4.11%
Worst 10 drawdowns included above

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2018Feb 20195 months-14.51%
2Mar 2008Oct 20088 monthsDec 20082 months10 months-11.26%
3Jan 2009Feb 20092 monthsJul 20101 year 5 months1 year 7 months-9.39%
4May 2006Sep 20065 monthsSep 20071 year1 year 5 months-8.98%
5Feb 1994Nov 199410 monthsMay 19956 months1 year 4 months-7.61%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.60%
7Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
8Feb 2015Feb 20161 year 1 monthFeb 20171 year2 years 1 month-6.17%
9Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
10Feb 2018Apr 20183 monthsJul 20183 months6 months-5.19%
Worst 10 drawdowns included above

Drawdowns for Equal Weighted

Drawdowns for Equal Weighted (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-14.33%
2Oct 2012Jun 20139 monthsJun 20141 year1 year 9 months-8.87%
3Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-7.23%
4Feb 2015Dec 201511 monthsMar 20163 months1 year 2 months-5.72%
5Feb 1994Apr 19943 monthsFeb 199510 months1 year 1 month-4.95%
6Feb 2018Oct 20189 monthsJan 20193 months1 year-4.68%
7Feb 1999Aug 19997 monthsOct 19992 months9 months-4.51%
8Apr 2004Apr 20041 monthOct 20046 months7 months-4.50%
9Jul 1998Aug 19982 monthsSep 19981 month3 months-4.21%
10Sep 2000Mar 20017 monthsOct 20017 months1 year 2 months-4.11%
Worst 10 drawdowns included above

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-32.57%
2Sep 2000Sep 20022 years 1 monthFeb 20041 year 5 months3 years 6 months-22.39%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-9.66%
4May 2011Sep 20115 monthsJan 20124 months9 months-9.03%
5Sep 2018Dec 20184 monthsMar 20193 months7 months-8.23%
6Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.58%
7Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
8Jun 2015Sep 20154 monthsApr 20167 months11 months-5.23%
9Feb 2020Feb 20201 month-4.22%
10Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.32%14.48%37.45%-37.02%-50.97%0.530.760.99
VBMFXVanguard Total Bond Market Index Inv5.16%3.57%18.18%-2.66%-5.01%0.771.26-0.02
VUSTXVanguard Long-Term Treasury Inv7.30%10.31%30.09%-13.03%-16.68%0.500.85-0.23
^GOLDGold Price Index5.55%15.77%31.92%-27.33%-41.55%0.270.420.02

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVBMFXVUSTX^GOLDProvided PortfolioMaximum Sharpe RatioEqual WeightedVanguard Balanced Index Inv
VFINXVanguard 500 Index Investor1.00-0.00-0.21-0.010.470.400.470.98
VBMFXVanguard Total Bond Market Index Inv-0.001.000.870.250.640.470.640.14
VUSTXVanguard Long-Term Treasury Inv-0.210.871.000.170.510.390.51-0.09
^GOLDGold Price Index-0.010.250.171.000.710.250.710.05

Annual Asset Returns

Rolling returns summary
Roll PeriodProvided PortfolioMaximum Sharpe RatioEqual WeightedVanguard Balanced Index Inv
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year7.47%21.04%-4.25%9.29%33.19%-7.24%7.47%21.04%-4.25%8.73%28.64%-22.21%
3 years7.24%13.07%1.13%9.49%27.00%2.86%7.24%13.07%1.13%8.14%21.46%-4.92%
5 years7.14%10.62%3.57%9.07%20.45%3.45%7.14%10.62%3.57%7.61%19.13%0.96%
7 years7.17%9.76%3.92%8.82%16.09%5.80%7.17%9.76%3.92%7.12%12.73%1.86%
10 years7.51%9.69%6.33%8.48%13.94%5.79%7.51%9.69%6.33%6.80%10.45%2.08%
15 years7.51%8.19%6.79%8.38%11.27%6.41%7.51%8.19%6.79%6.50%8.02%5.41%
Result statistics are based on annualized rolling returns over full calendar year periods