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Portfolio Optimization

Portfolio Optimization Overview

This portfolio optimizer tool supports the following portfolio optimization strategies:

  • Mean Variance Optimization – Find the optimal risk adjusted portfolio that lies on the efficient frontier
  • Conditional Value-at-Risk – Optimize the portfolio to minimize the expected tail loss
  • Risk Parity – Find the portfolio that equalizes the risk contribution of portfolio assets
  • Tracking Error – Find the portfolio that minimizes the tracking error against the selected benchmark
  • Information Ratio – Find the portfolio that maximizes the information ratio against the selected benchmark
  • Kelly Criterion – Finds the portfolio with the maximum expected geometric growth rate
  • Sortino Ratio – Find the portfolio that maximizes the Sortino ratio for the given minimum acceptable return
  • Omega Ratio – Find the portfolio that maximizes the Omega ratio for the given minimum acceptable return
  • Maximum Drawdown – Find the portfolio with the minimum worst case drawdown with optional minimum acceptable return

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.

Portfolio Optimization Configuration
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Portfolio Optimization Results (Jan 2017 - Sep 2026) Save

Note:
  • The time period was constrained by the available data for Vanguard Real Estate ETF (VNQ) [Dec 2004 - Sep 2026]. You can extend the available time period by using Vanguard Real Estate Index Investor (VGSIX), which is the oldest share class of the fund.
  • The time period of the results is limited to 10 years for free tier accounts.
Portfolio optimization results with the goal to maximize return subject to 10.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period is 3.70% to 21.44%. Refer to the efficient frontier section for additional details.

Maximum Return at 10.00% Volatility

Ticker Name Allocation
QQQ Invesco QQQ Trust 23.79%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 40.96%
GLD SPDR Gold Shares 35.25%

Equal Weighted

Ticker Name Allocation
QQQ Invesco QQQ Trust 12.50%
IJS iShares S&P Small-Cap 600 Value ETF 12.50%
EFA iShares MSCI EAFE ETF 12.50%
EEM iShares MSCI Emerging Markets ETF 12.50%
VNQ Vanguard Real Estate ETF 12.50%
TLT iShares 20+ Year Treasury Bond ETF 12.50%
LQD iShares iBoxx $ Invmt Grade Corp Bd ETF 12.50%
GLD SPDR Gold Shares 12.50%

Performance Summary

MetricMaximum Return at 10.00% VolatilityEqual Weighted
Start Balance$10,000$10,000
End Balance$27,866$22,995
Annualized Return (CAGR)11.08%8.92%
Expected Return11.05%9.28%
Standard Deviation9.96%11.95%
Best Year29.09%23.25%
Worst Year-15.67%-19.37%
Maximum Drawdown -19.82% -24.67%
Sharpe Ratio (ex-ante)0.860.57
Sharpe Ratio (ex-post)0.870.57
Sortino Ratio1.450.86
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 yearFull3 year5 year
Maximum Return at 10.00% Volatility-0.68%2.31%7.14%19.50%10.09%11.08%9.17%11.25%
Equal Weighted-2.99%7.05%10.10%16.45%6.63%8.92%10.94%13.37%
Trailing return and volatility are as of last calendar month ending September 2026

Efficient Frontier Assets

#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Invesco QQQ Trust21.44%19.21%0.9880.00%100.00%
2iShares S&P Small-Cap 600 Value ETF10.27%22.12%0.3530.00%100.00%
3iShares MSCI EAFE ETF10.12%15.07%0.5070.00%100.00%
4iShares MSCI Emerging Markets ETF10.29%17.35%0.4510.00%100.00%
5Vanguard Real Estate ETF6.30%17.75%0.2160.00%100.00%
6iShares 20+ Year Treasury Bond ETF-0.64%13.48%-0.2310.00%100.00%
7iShares iBoxx $ Invmt Grade Corp Bd ETF2.47%8.34%0.0010.00%100.00%
8SPDR Gold Shares13.99%15.31%0.7520.00%100.00%
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using U.S. 3-Month Treasury Bill Rate returns as the risk-free rate.

Asset Correlations

NameTickerQQQIJSEFAEEMVNQTLTLQDGLD
Invesco QQQ TrustQQQ1.000.620.690.650.610.260.580.12
iShares S&P Small-Cap 600 Value ETFIJS0.621.000.760.620.760.040.490.02
iShares MSCI EAFE ETFEFA0.690.761.000.810.750.240.670.30
iShares MSCI Emerging Markets ETFEEM0.650.620.811.000.560.230.590.38
Vanguard Real Estate ETFVNQ0.610.760.750.561.000.410.700.21
iShares 20+ Year Treasury Bond ETFTLT0.260.040.240.230.411.000.760.34
iShares iBoxx $ Invmt Grade Corp Bd ETFLQD0.580.490.670.590.700.761.000.37
SPDR Gold SharesGLD0.120.020.300.380.210.340.371.00
Based on monthly returns from Jan 2017 to Sep 2026

Efficient Frontier

Efficient Frontier Portfolios

#Invesco QQQ TrustiShares S&P Small-Cap 600 Value ETFiShares MSCI EAFE ETFiShares MSCI Emerging Markets ETFVanguard Real Estate ETFiShares 20+ Year Treasury Bond ETFiShares iBoxx $ Invmt Grade Corp Bd ETFSPDR Gold SharesExpected Return *Standard Deviation *Sharpe Ratio *
10.00%0.00%0.00%0.00%0.00%0.00%89.38%10.62%3.70%8.20%0.150
20.00%0.00%0.00%0.00%0.00%0.00%87.82%12.18%3.88%8.21%0.172
30.00%0.00%0.00%0.00%0.00%0.00%86.26%13.74%4.06%8.21%0.193
40.00%0.00%0.00%0.00%0.00%0.00%84.71%15.29%4.24%8.23%0.215
50.45%0.00%0.00%0.00%0.00%0.00%83.44%16.10%4.42%8.25%0.236
61.08%0.00%0.00%0.00%0.00%0.00%82.30%16.62%4.59%8.27%0.257
71.71%0.00%0.00%0.00%0.00%0.00%81.15%17.14%4.77%8.30%0.278
82.34%0.00%0.00%0.00%0.00%0.00%80.00%17.66%4.95%8.32%0.298
92.98%0.00%0.00%0.00%0.00%0.00%78.85%18.17%5.13%8.35%0.319
103.61%0.00%0.00%0.00%0.00%0.00%77.70%18.69%5.31%8.38%0.339
114.24%0.00%0.00%0.00%0.00%0.00%76.55%19.21%5.49%8.41%0.359
124.87%0.00%0.00%0.00%0.00%0.00%75.41%19.73%5.67%8.44%0.379
135.50%0.00%0.00%0.00%0.00%0.00%74.26%20.24%5.85%8.47%0.399
146.13%0.00%0.00%0.00%0.00%0.00%73.11%20.76%6.03%8.50%0.418
156.76%0.00%0.00%0.00%0.00%0.00%71.96%21.28%6.21%8.54%0.438
167.39%0.00%0.00%0.00%0.00%0.00%70.81%21.79%6.39%8.58%0.457
178.02%0.00%0.00%0.00%0.00%0.00%69.67%22.31%6.57%8.61%0.475
188.65%0.00%0.00%0.00%0.00%0.00%68.52%22.83%6.75%8.65%0.494
199.28%0.00%0.00%0.00%0.00%0.00%67.37%23.35%6.92%8.69%0.512
209.91%0.00%0.00%0.00%0.00%0.00%66.22%23.86%7.10%8.74%0.530
2110.55%0.00%0.00%0.00%0.00%0.00%65.07%24.38%7.28%8.78%0.548
2211.18%0.00%0.00%0.00%0.00%0.00%63.92%24.90%7.46%8.83%0.566
2311.81%0.00%0.00%0.00%0.00%0.00%62.78%25.42%7.64%8.87%0.583
2412.44%0.00%0.00%0.00%0.00%0.00%61.63%25.93%7.82%8.92%0.600
2513.07%0.00%0.00%0.00%0.00%0.00%60.48%26.45%8.00%8.97%0.617
2613.70%0.00%0.00%0.00%0.00%0.00%59.33%26.97%8.18%9.02%0.633
2714.33%0.00%0.00%0.00%0.00%0.00%58.18%27.49%8.36%9.07%0.649
2814.96%0.00%0.00%0.00%0.00%0.00%57.04%28.00%8.54%9.12%0.665
2915.59%0.00%0.00%0.00%0.00%0.00%55.89%28.52%8.72%9.17%0.681
3016.22%0.00%0.00%0.00%0.00%0.00%54.74%29.04%8.90%9.23%0.696
3116.85%0.00%0.00%0.00%0.00%0.00%53.59%29.56%9.07%9.28%0.711
3217.48%0.00%0.00%0.00%0.00%0.00%52.44%30.07%9.25%9.34%0.726
3318.12%0.00%0.00%0.00%0.00%0.00%51.29%30.59%9.43%9.40%0.741
3418.75%0.00%0.00%0.00%0.00%0.00%50.15%31.11%9.61%9.46%0.755
3519.38%0.00%0.00%0.00%0.00%0.00%49.00%31.62%9.79%9.52%0.769
3620.01%0.00%0.00%0.00%0.00%0.00%47.85%32.14%9.97%9.58%0.783
3720.64%0.00%0.00%0.00%0.00%0.00%46.70%32.66%10.15%9.64%0.797
3821.27%0.00%0.00%0.00%0.00%0.00%45.55%33.18%10.33%9.70%0.810
3921.90%0.00%0.00%0.00%0.00%0.00%44.41%33.69%10.51%9.77%0.823
4022.53%0.00%0.00%0.00%0.00%0.00%43.26%34.21%10.69%9.83%0.836
4123.16%0.00%0.00%0.00%0.00%0.00%42.11%34.73%10.87%9.90%0.849
4223.79%0.00%0.00%0.00%0.00%0.00%40.96%35.25%11.05%9.96%0.861
4324.42%0.00%0.00%0.00%0.00%0.00%39.81%35.76%11.23%10.03%0.873
4425.05%0.00%0.00%0.00%0.00%0.00%38.66%36.28%11.40%10.10%0.885
4525.69%0.00%0.00%0.00%0.00%0.00%37.52%36.80%11.58%10.17%0.896
4626.32%0.00%0.00%0.00%0.00%0.00%36.37%37.32%11.76%10.24%0.908
4726.95%0.00%0.00%0.00%0.00%0.00%35.22%37.83%11.94%10.31%0.919
4827.58%0.00%0.00%0.00%0.00%0.00%34.07%38.35%12.12%10.38%0.930
4928.21%0.00%0.00%0.00%0.00%0.00%32.92%38.87%12.30%10.45%0.941
5028.84%0.00%0.00%0.00%0.00%0.00%31.78%39.38%12.48%10.52%0.951
5129.47%0.00%0.00%0.00%0.00%0.00%30.63%39.90%12.66%10.60%0.961
5230.10%0.00%0.00%0.00%0.00%0.00%29.48%40.42%12.84%10.67%0.972
5330.73%0.00%0.00%0.00%0.00%0.00%28.33%40.94%13.02%10.75%0.981
5431.36%0.00%0.00%0.00%0.00%0.00%27.18%41.45%13.20%10.82%0.991
5531.99%0.00%0.00%0.00%0.00%0.00%26.03%41.97%13.38%10.90%1.001
5632.62%0.00%0.00%0.00%0.00%0.00%24.89%42.49%13.56%10.98%1.010
5733.26%0.00%0.00%0.00%0.00%0.00%23.74%43.01%13.73%11.05%1.019
5833.89%0.00%0.00%0.00%0.00%0.00%22.59%43.52%13.91%11.13%1.028
5934.52%0.00%0.00%0.00%0.00%0.00%21.44%44.04%14.09%11.21%1.037
6035.15%0.00%0.00%0.00%0.00%0.00%20.29%44.56%14.27%11.29%1.045
6135.78%0.00%0.00%0.00%0.00%0.00%19.15%45.08%14.45%11.37%1.053
6236.41%0.00%0.00%0.00%0.00%0.00%18.00%45.59%14.63%11.45%1.062
6337.04%0.00%0.00%0.00%0.00%0.00%16.85%46.11%14.81%11.54%1.070
6437.67%0.00%0.00%0.00%0.00%0.00%15.70%46.63%14.99%11.62%1.078
6538.30%0.00%0.00%0.00%0.00%0.00%14.55%47.15%15.17%11.70%1.085
6638.93%0.00%0.00%0.00%0.00%0.00%13.40%47.66%15.35%11.78%1.093
6739.56%0.00%0.00%0.00%0.00%0.00%12.26%48.18%15.53%11.87%1.100
6840.19%0.00%0.00%0.00%0.00%0.00%11.11%48.70%15.71%11.95%1.107
6940.83%0.00%0.00%0.00%0.00%0.00%9.96%49.21%15.89%12.04%1.115
7041.46%0.00%0.00%0.00%0.00%0.00%8.81%49.73%16.06%12.12%1.121
7142.09%0.00%0.00%0.00%0.00%0.00%7.66%50.25%16.24%12.21%1.128
7242.72%0.00%0.00%0.00%0.00%0.00%6.52%50.77%16.42%12.29%1.135
7343.35%0.00%0.00%0.00%0.00%0.00%5.37%51.28%16.60%12.38%1.141
7443.98%0.00%0.00%0.00%0.00%0.00%4.22%51.80%16.78%12.47%1.148
7544.61%0.00%0.00%0.00%0.00%0.00%3.07%52.32%16.96%12.56%1.154
7645.24%0.00%0.00%0.00%0.00%0.00%1.92%52.84%17.14%12.64%1.160
7745.87%0.00%0.00%0.00%0.00%0.00%0.77%53.35%17.32%12.73%1.166
7847.08%0.00%0.00%0.00%0.00%0.00%0.00%52.92%17.50%12.82%1.172
7949.48%0.00%0.00%0.00%0.00%0.00%0.00%50.52%17.68%12.93%1.176
8051.89%0.00%0.00%0.00%0.00%0.00%0.00%48.11%17.86%13.06%1.178
8154.30%0.00%0.00%0.00%0.00%0.00%0.00%45.70%18.04%13.22%1.178
8256.70%0.00%0.00%0.00%0.00%0.00%0.00%43.30%18.22%13.39%1.176
8359.11%0.00%0.00%0.00%0.00%0.00%0.00%40.89%18.39%13.59%1.172
8461.51%0.00%0.00%0.00%0.00%0.00%0.00%38.49%18.57%13.80%1.167
8563.92%0.00%0.00%0.00%0.00%0.00%0.00%36.08%18.75%14.03%1.160
8666.32%0.00%0.00%0.00%0.00%0.00%0.00%33.68%18.93%14.29%1.152
8768.73%0.00%0.00%0.00%0.00%0.00%0.00%31.27%19.11%14.55%1.143
8871.13%0.00%0.00%0.00%0.00%0.00%0.00%28.87%19.29%14.84%1.134
8973.54%0.00%0.00%0.00%0.00%0.00%0.00%26.46%19.47%15.14%1.123
9075.95%0.00%0.00%0.00%0.00%0.00%0.00%24.05%19.65%15.45%1.112
9178.35%0.00%0.00%0.00%0.00%0.00%0.00%21.65%19.83%15.78%1.100
9280.76%0.00%0.00%0.00%0.00%0.00%0.00%19.24%20.01%16.12%1.088
9383.16%0.00%0.00%0.00%0.00%0.00%0.00%16.84%20.19%16.47%1.076
9485.57%0.00%0.00%0.00%0.00%0.00%0.00%14.43%20.37%16.83%1.063
9587.97%0.00%0.00%0.00%0.00%0.00%0.00%12.03%20.54%17.21%1.050
9690.38%0.00%0.00%0.00%0.00%0.00%0.00%9.62%20.72%17.59%1.038
9792.78%0.00%0.00%0.00%0.00%0.00%0.00%7.22%20.90%17.98%1.025
9895.19%0.00%0.00%0.00%0.00%0.00%0.00%4.81%21.08%18.38%1.013
9997.59%0.00%0.00%0.00%0.00%0.00%0.00%2.41%21.26%18.79%1.000
100100.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%21.44%19.21%0.988
*Annualized ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical U.S. 3-Month Treasury Bill Rate returns as the risk-free rate.

Risk and Return Metrics

MetricMaximum Return at 10.00% VolatilityEqual Weighted
Arithmetic Mean (monthly)0.92%0.77%
Arithmetic Mean (annualized)11.62%9.69%
Geometric Mean (monthly)0.88%0.71%
Geometric Mean (annualized)11.08%8.92%
Standard Deviation (monthly)2.88%3.45%
Standard Deviation (annualized)9.96%11.95%
Downside Deviation (monthly)1.63%2.20%
Maximum Drawdown-19.82%-24.67%
Benchmark Correlation0.700.88
Beta(*)0.440.66
Alpha (annualized)4.54%-0.56%
R248.97%77.82%
Sharpe Ratio0.870.57
Sortino Ratio1.450.86
Treynor Ratio (%)19.6310.31
Calmar Ratio2.912.69
Modigliani–Modigliani Measure16.27%11.57%
Active Return-3.43%-5.59%
Tracking Error11.46%7.81%
Information Ratio-0.30-0.72
Skewness-0.14-0.36
Excess Kurtosis0.270.87
Historical Value-at-Risk (5%)4.15%5.16%
Analytical Value-at-Risk (5%)3.79%4.88%
Conditional Value-at-Risk (5%)5.25%7.20%
Upside Capture Ratio (%)51.9561.53
Downside Capture Ratio (%)45.1974.26
Safe Withdrawal Rate15.46%14.38%
Perpetual Withdrawal Rate7.46%5.46%
Positive Periods80 out of 117 (68.38%)82 out of 117 (70.09%)
Gain/Loss Ratio1.050.76
* U.S. Stock Market is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Annual Returns

YearInflationMaximum Return at 10.00% VolatilityEqual WeightedInvesco QQQ Trust (QQQ)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)SPDR Gold Shares (GLD)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)Vanguard Real Estate ETF (VNQ)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalance
20263.37%2.31%$27,8667.05%$22,99520.83%-4.35%-3.90%13.77%9.89%22.69%4.19%-8.01%
20252.68%29.09%$27,23720.64%$21,48120.77%7.90%63.68%6.54%31.55%33.98%3.26%4.25%
20242.89%15.55%$21,1008.35%$17,80625.58%0.86%26.66%7.34%3.51%6.50%4.81%-8.06%
20233.35%20.53%$18,25916.46%$16,43554.85%9.40%12.69%14.69%18.40%8.99%11.79%2.77%
20226.45%-15.67%$15,150-19.37%$14,112-32.58%-17.93%-0.77%-11.33%-14.35%-20.56%-26.24%-31.24%
20217.04%3.96%$17,96511.32%$17,50227.42%-1.84%-4.15%30.53%11.46%-3.62%40.52%-4.60%
20201.36%24.78%$17,28116.37%$15,72348.62%10.97%24.81%2.63%7.59%17.03%-4.68%18.15%
20192.29%22.79%$13,84923.25%$13,51138.96%17.37%17.86%24.12%22.03%18.20%28.87%14.12%
20181.91%-1.84%$11,279-6.51%$10,962-0.12%-3.79%-1.94%-12.84%-13.81%-15.31%-6.02%-1.61%
20172.11%14.90%$11,49017.26%$11,72632.66%7.06%12.81%11.35%25.10%37.28%4.91%9.18%
Annual return for 2026 is from 01/01/2026 to 09/30/2026

Monthly Returns

YearMonthMaximum Return at 10.00% VolatilityEqual WeightedInvesco QQQ Trust (QQQ)iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)SPDR Gold Shares (GLD)iShares S&P Small-Cap 600 Value ETF (IJS)iShares MSCI EAFE ETF (EFA)iShares MSCI Emerging Markets ETF (EEM)Vanguard Real Estate ETF (VNQ)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalance
20269-2.98%$27,866-3.49%$22,9953.31%-3.39%-6.75%-5.84%-3.31%-0.34%-6.24%-5.38%
202684.65%$28,7212.44%$23,8284.18%0.39%9.93%0.49%1.77%4.57%-2.54%0.73%
20267-2.18%$27,444-1.88%$23,260-6.57%-2.24%0.86%-0.53%1.64%-6.31%2.61%-4.47%
20266-4.11%$28,056-0.37%$23,705-0.15%0.11%-11.68%5.00%0.68%0.22%1.65%1.17%
202652.32%$29,2572.56%$23,79410.57%0.86%-1.54%1.08%2.42%7.20%-0.65%0.53%
202643.31%$28,5936.17%$23,20015.69%0.28%-1.54%9.15%5.34%12.68%8.60%-0.84%
20263-5.90%$27,678-6.12%$21,852-4.84%-2.07%-11.05%-3.37%-7.83%-9.25%-6.31%-4.23%
202623.08%$29,4123.71%$23,276-2.34%1.38%8.72%1.40%4.61%5.89%5.39%4.63%
202614.76%$28,5334.48%$22,4441.23%0.34%12.27%6.49%4.90%8.02%2.61%-0.03%
2025120.31%$27,2370.19%$21,481-0.67%-0.73%2.17%0.79%2.72%2.17%-2.24%-2.65%
2025111.90%$27,1541.16%$21,440-1.56%0.93%5.37%2.87%0.74%-1.77%2.42%0.27%
2025102.45%$26,6471.48%$21,1944.78%0.15%3.56%-0.35%1.20%3.56%-2.45%1.38%
202596.19%$26,0094.16%$20,8855.38%1.88%11.76%1.42%2.07%7.10%0.07%3.59%
202582.41%$24,4923.29%$20,0520.95%1.04%4.99%8.62%4.52%2.68%3.48%0.01%
202570.32%$23,9160.08%$19,4142.42%-0.09%-0.61%1.38%-2.09%0.66%0.09%-1.14%
202562.52%$23,8383.25%$19,3996.38%2.08%0.41%4.37%2.39%6.99%0.69%2.67%
202552.25%$23,2542.54%$18,7899.18%0.21%-0.06%4.27%4.79%4.02%1.12%-3.21%
202542.13%$22,7420.10%$18,3231.40%-0.27%5.42%-5.81%3.70%0.14%-2.44%-1.36%
202531.33%$22,267-0.93%$18,306-7.59%-0.46%9.45%-6.39%0.18%1.13%-2.58%-1.21%
202520.97%$21,9741.20%$18,478-2.70%2.37%1.82%-5.40%2.95%1.15%3.70%5.69%
202513.14%$21,7632.54%$18,2592.16%0.58%6.79%1.71%4.80%2.15%1.65%0.49%
202412-1.48%$21,100-3.73%$17,8060.45%-2.67%-1.41%-6.86%-2.95%-1.69%-8.38%-6.38%
2024110.91%$21,4172.26%$18,4975.35%1.79%-3.12%10.77%-0.32%-2.68%4.26%1.99%
2024100.01%$21,225-2.33%$18,089-0.86%-3.18%4.30%-1.76%-5.27%-3.07%-3.36%-5.46%
202493.22%$21,2232.80%$18,5212.62%1.96%5.09%0.93%0.78%5.74%3.27%1.99%
202481.77%$20,5611.91%$18,0171.10%1.87%2.09%-1.38%3.26%0.98%5.22%2.11%
202472.57%$20,2044.14%$17,680-1.68%2.64%5.37%11.79%2.59%0.85%7.94%3.64%
202461.74%$19,6971.09%$16,9776.47%0.59%-0.13%-2.70%-1.81%2.62%1.87%1.81%
202452.94%$19,3613.62%$16,7946.15%2.21%1.62%4.56%5.06%1.95%4.56%2.88%
20244-1.31%$18,808-3.62%$16,206-4.37%-3.24%2.99%-6.50%-3.24%-0.22%-7.94%-6.45%
202433.99%$19,0592.96%$16,8161.27%1.54%8.67%3.38%3.38%2.73%1.96%0.78%
202420.63%$18,3281.63%$16,3325.28%-1.94%0.46%2.37%2.99%4.17%1.98%-2.26%
20241-0.25%$18,214-2.22%$16,0701.82%-0.44%-1.42%-5.45%-0.45%-4.53%-5.06%-2.25%
2023123.77%$18,2596.52%$16,4355.59%4.87%1.28%13.35%5.36%3.60%9.43%8.67%
2023116.57%$17,5958.50%$15,42910.82%7.57%2.53%9.07%8.22%7.79%12.08%9.92%
2023101.12%$16,511-2.34%$14,220-2.07%-2.41%7.37%-6.36%-2.90%-3.29%-3.62%-5.46%
20239-4.34%$16,328-5.21%$14,561-5.08%-3.55%-4.76%-6.28%-3.65%-3.11%-7.27%-7.95%
20238-1.31%$17,069-3.26%$15,361-1.48%-1.23%-1.28%-5.01%-3.93%-6.63%-3.38%-3.14%
202371.75%$17,2952.56%$15,8793.86%0.05%2.29%6.03%2.70%6.04%2.03%-2.54%
202361.05%$16,9983.51%$15,4836.30%0.81%-2.22%8.49%4.49%4.40%5.62%0.22%
202350.68%$16,822-1.53%$14,9577.88%-1.76%-1.34%-3.66%-4.01%-2.40%-3.96%-3.01%
202340.67%$16,7080.29%$15,1900.51%0.60%0.86%-2.39%2.94%-0.84%0.31%0.34%
202336.63%$16,5972.97%$15,1469.49%3.85%7.92%-6.48%3.13%3.22%-2.18%4.84%
20232-3.69%$15,565-4.12%$14,708-0.36%-4.17%-5.37%-1.73%-3.07%-7.57%-5.86%-4.85%
202316.68%$16,1618.71%$15,34110.64%5.16%5.76%11.95%9.00%9.13%10.40%7.64%
202212-1.75%$15,150-3.28%$14,112-9.01%-1.56%2.93%-6.49%-1.82%-2.65%-5.03%-2.63%
2022117.03%$15,4198.32%$14,5905.54%6.65%8.49%3.81%13.17%15.59%6.15%7.15%
2022100.02%$14,4062.16%$13,4704.00%-0.75%-1.78%14.40%5.89%-1.98%3.51%-5.97%
20229-5.97%$14,404-8.96%$13,185-10.54%-5.98%-2.89%-10.41%-9.22%-11.54%-12.86%-8.23%
20228-4.07%$15,319-4.33%$14,482-5.13%-4.43%-2.94%-4.16%-6.12%-1.33%-6.01%-4.56%
202273.89%$15,9694.85%$15,13812.55%4.44%-2.59%8.53%5.17%-0.35%8.62%2.43%
20226-4.16%$15,371-5.71%$14,438-8.91%-3.62%-1.57%-8.96%-8.72%-5.14%-7.46%-1.27%
20225-0.76%$16,037-0.62%$15,312-1.59%1.86%-3.26%2.32%2.00%0.61%-4.69%-2.25%
20224-6.71%$16,161-6.89%$15,408-13.60%-6.70%-2.07%-6.38%-6.74%-6.14%-4.09%-9.42%
202230.37%$17,3230.19%$16,5494.67%-2.89%1.27%0.50%0.52%-3.38%6.27%-5.45%
202220.22%$17,258-1.38%$16,518-4.48%-2.13%6.12%2.28%-3.43%-4.32%-3.48%-1.63%
20221-4.14%$17,221-4.30%$16,749-8.75%-3.59%-1.68%-4.40%-3.63%-0.02%-8.42%-3.91%
2021121.42%$17,9652.77%$17,5021.15%-0.03%3.30%4.12%4.41%1.53%9.69%-2.01%
2021110.18%$17,713-1.17%$17,0312.00%-0.12%-0.69%-2.62%-4.53%-4.08%-2.11%2.77%
2021102.61%$17,6813.32%$17,2337.86%0.53%1.48%2.86%3.18%1.07%7.13%2.46%
20219-3.11%$17,231-3.45%$16,679-5.68%-1.51%-3.22%-1.46%-3.26%-3.87%-5.68%-2.91%
202180.84%$17,7831.31%$17,2744.22%-0.34%-0.08%1.82%1.45%1.57%2.15%-0.34%
202172.15%$17,6360.62%$17,0512.86%1.42%2.53%-4.36%0.77%-6.44%4.42%3.72%
20216-0.12%$17,2640.94%$16,9476.26%2.21%-7.15%-0.71%-1.08%0.95%2.64%4.42%
202152.68%$17,2852.12%$16,789-1.20%0.62%7.68%3.89%3.48%1.65%0.81%0.00%
202143.09%$16,8353.34%$16,4415.91%1.04%3.56%1.69%2.95%1.20%7.86%2.49%
20213-0.60%$16,3300.80%$15,9101.71%-1.48%-1.14%5.61%2.51%-0.73%5.15%-5.24%
20212-3.16%$16,4290.36%$15,784-0.13%-2.26%-6.26%10.80%2.24%0.79%3.43%-5.73%
20211-1.82%$16,9660.03%$15,7270.26%-1.83%-3.22%6.25%-0.78%3.17%0.04%-3.63%
2020123.70%$17,2814.15%$15,7234.90%0.15%7.01%7.50%5.02%7.13%2.72%-1.23%
2020112.31%$16,6657.92%$15,09611.23%3.77%-5.41%19.21%14.27%8.99%9.67%1.66%
202010-1.12%$16,288-1.12%$13,987-3.04%-0.51%-0.52%3.66%-3.55%1.41%-3.00%-3.39%
20209-2.99%$16,472-2.55%$14,146-5.64%-0.44%-4.17%-5.18%-2.05%-1.01%-2.68%0.77%
202081.76%$16,9812.11%$14,51610.94%-1.78%-0.32%5.07%4.72%2.89%0.44%-5.05%
202076.82%$16,6875.26%$14,2157.35%3.10%10.79%2.58%1.94%8.25%3.64%4.44%
202063.33%$15,6213.45%$13,5056.28%2.13%2.74%3.58%3.50%6.61%2.41%0.34%
202053.49%$15,1182.82%$13,0556.60%2.46%2.59%2.55%5.43%2.97%1.73%-1.76%
202048.11%$14,6088.04%$12,69614.97%4.85%7.26%13.89%5.82%7.35%8.96%1.22%
20203-4.40%$13,512-10.31%$11,751-7.29%-6.31%-0.22%-25.76%-14.11%-15.77%-19.42%6.38%
20202-1.22%$14,134-3.46%$13,103-6.06%1.09%-0.64%-10.15%-7.77%-3.78%-7.03%6.63%
202013.31%$14,3080.45%$13,5723.04%2.45%4.50%-6.31%-2.82%-6.15%1.23%7.69%
2019122.43%$13,8492.40%$13,5113.89%0.53%3.66%2.84%2.98%7.71%0.76%-3.20%
2019110.03%$13,5210.42%$13,1954.07%0.47%-3.21%2.71%1.13%-0.09%-1.30%-0.41%
2019102.13%$13,5172.12%$13,1404.38%0.44%2.56%2.00%3.39%4.18%1.13%-1.11%
20199-1.29%$13,2350.81%$12,8670.92%-0.76%-3.39%5.57%3.16%1.69%1.93%-2.68%
201983.93%$13,4081.73%$12,764-1.90%3.88%7.91%-5.14%-1.92%-3.78%3.75%11.04%
201970.66%$12,9010.16%$12,5472.33%0.25%0.01%1.30%-1.95%-2.66%1.70%0.26%
201965.96%$12,8165.14%$12,5277.59%3.25%8.00%7.66%5.91%6.21%1.54%0.95%
20195-0.66%$12,096-2.52%$11,915-8.23%1.65%1.76%-9.98%-5.03%-7.33%0.14%6.84%
201941.25%$12,1761.59%$12,2245.50%0.44%-0.66%4.32%2.93%2.35%-0.16%-1.99%
201931.57%$12,0251.65%$12,0323.92%2.93%-1.60%-3.91%0.92%1.13%4.21%5.57%
201920.41%$11,8390.83%$11,8372.99%-0.20%-0.61%4.13%2.54%-1.53%0.70%-1.38%
201914.54%$11,7917.09%$11,7409.01%3.37%2.89%12.26%6.63%10.34%11.85%0.38%
2018120.44%$11,279-3.15%$10,962-8.65%1.86%4.94%-12.38%-5.35%-3.50%-7.96%5.85%
201811-0.09%$11,2291.52%$11,319-0.26%-0.36%0.34%0.57%0.50%4.90%4.67%1.79%
201810-2.14%$11,239-5.15%$11,150-8.60%-2.05%2.12%-9.94%-8.13%-8.76%-2.93%-2.93%
20189-0.36%$11,484-1.16%$11,755-0.28%-0.14%-0.66%-3.05%0.97%-0.58%-2.64%-2.86%
201880.63%$11,5260.59%$11,8935.78%0.02%-2.14%3.14%-2.24%-3.77%2.58%1.31%
201870.43%$11,4531.26%$11,8232.80%1.34%-2.24%2.62%2.85%3.53%0.60%-1.44%
20186-1.20%$11,405-0.43%$11,6761.15%-0.49%-3.61%0.80%-1.57%-4.54%4.20%0.65%
201851.14%$11,5441.50%$11,7275.67%0.52%-1.20%5.87%-1.89%-2.62%3.68%2.01%
20184-0.86%$11,413-0.35%$11,5530.51%-1.57%-0.95%1.76%1.52%-2.82%0.82%-2.09%
20183-0.52%$11,5120.62%$11,593-4.08%0.56%0.63%1.37%-0.84%0.54%3.88%2.86%
20182-1.96%$11,572-3.89%$11,523-1.29%-2.24%-2.08%-4.04%-4.83%-5.90%-7.68%-3.04%
201812.72%$11,8032.24%$11,9898.76%-1.23%3.23%1.33%5.02%8.30%-4.25%-3.26%
2017121.38%$11,4901.29%$11,7260.60%1.22%2.11%-0.37%1.35%3.77%-0.14%1.81%
2017110.54%$11,3331.21%$11,5761.97%-0.12%0.36%3.76%0.69%-0.39%2.66%0.74%
2017100.91%$11,2721.06%$11,4384.61%0.19%-0.75%0.59%1.68%3.28%-1.07%-0.04%
20179-1.28%$11,1700.59%$11,318-0.29%-0.05%-3.37%8.58%2.36%-0.04%-0.11%-2.32%
201782.25%$11,3141.21%$11,2512.07%0.68%4.20%-2.72%-0.04%2.35%-0.26%3.41%
201772.10%$11,0652.12%$11,1174.06%0.77%2.31%0.75%2.65%5.82%1.24%-0.66%
20176-1.11%$10,8380.40%$10,886-2.32%0.48%-2.16%2.96%0.31%0.93%2.23%0.79%
201751.43%$10,9601.30%$10,8423.90%1.33%-0.12%-2.26%3.54%2.85%-0.72%1.89%
201741.74%$10,8061.51%$10,7032.73%1.19%1.73%0.51%2.42%1.70%0.24%1.57%
201730.21%$10,6210.56%$10,5442.03%-0.29%-0.43%-0.65%3.23%3.69%-2.42%-0.65%
201722.70%$10,5982.28%$10,4854.38%1.32%3.18%1.35%1.19%1.74%3.51%1.59%
201713.19%$10,3192.51%$10,2515.14%0.15%5.42%-1.21%3.29%6.66%-0.19%0.81%

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndMaximum Return at 10.00% VolatilityEqual Weighted
COVID-19 StartJan 2020Mar 2020-5.56%-13.42%

Drawdowns for Maximum Return at 10.00% Volatility

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2022Sep 20229 monthsDec 20231 year 3 months2 years-19.82%
2Mar 2026Jul 20265 months-6.69%
3Feb 2020Mar 20202 monthsApr 20201 month3 months-5.56%
4Jan 2021Mar 20213 monthsMay 20212 months5 months-5.50%
5Feb 2018Nov 201810 monthsFeb 20193 months1 year 1 month-4.86%
6Sep 2020Oct 20202 monthsDec 20202 months4 months-4.08%
7Sep 2021Sep 20211 monthDec 20213 months4 months-3.11%
8Dec 2024Dec 20241 monthJan 20251 month2 months-1.48%
9Apr 2024Apr 20241 monthMay 20241 month2 months-1.31%
10Sep 2019Sep 20191 monthOct 20191 month2 months-1.29%
Worst 10 drawdowns included above

Drawdowns for Equal Weighted

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2022Sep 20229 monthsJul 20241 year 10 months2 years 7 months-24.67%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-13.42%
3Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-8.56%
4Mar 2026Mar 20261 monthMay 20262 months3 months-6.12%
5Oct 2024Dec 20243 monthsMay 20255 months8 months-3.86%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-3.64%
7Sep 2026Sep 20261 month-3.49%
8Sep 2021Sep 20211 monthDec 20213 months4 months-3.45%
9May 2019May 20191 monthJun 20191 month2 months-2.52%
10Jun 2026Jul 20262 monthsAug 20261 month3 months-2.25%

Portfolio Assets

TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino Ratio
QQQInvesco QQQ Trust21.49%19.21%54.85%-32.58%-32.58%0.991.67
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF2.15%8.34%17.37%-17.93%-23.27%0.000.00
GLDSPDR Gold Shares13.63%15.31%63.68%-4.15%-23.85%0.761.34
IJSiShares S&P Small-Cap 600 Value ETF8.09%22.12%30.53%-12.84%-40.32%0.350.52
EFAiShares MSCI EAFE ETF9.37%15.07%31.55%-14.35%-27.58%0.510.75
EEMiShares MSCI Emerging Markets ETF9.16%17.35%37.28%-20.56%-36.52%0.450.69
VNQVanguard Real Estate ETF4.82%17.75%40.52%-26.24%-32.78%0.220.30
TLTiShares 20+ Year Treasury Bond ETF-1.53%13.48%18.15%-31.24%-47.61%-0.23-0.32

Portfolio Asset Performance

NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 yearNetGross
Invesco QQQ Trust0.56%20.83%23.79%28.05%16.32%0.18%0.18%
iShares iBoxx $ Invmt Grade Corp Bd ETF-5.18%-4.35%-4.03%4.64%-1.27%0.14%0.14%
SPDR Gold Shares3.38%-3.90%7.14%30.48%18.32%0.40%0.40%
iShares S&P Small-Cap 600 Value ETF-5.88%13.77%17.55%14.63%6.66%0.18%0.18%
iShares MSCI EAFE ETF0.01%9.89%15.07%18.32%9.31%0.32%0.32%
iShares MSCI Emerging Markets ETF-2.37%22.69%27.51%23.65%8.33%0.72%0.72%
Vanguard Real Estate ETF-6.23%4.19%1.76%10.05%1.35%0.13%0.13%
iShares 20+ Year Treasury Bond ETF-8.95%-8.01%-8.97%-0.15%-8.46%0.15%0.15%
Trailing returns as of last calendar month ending September 2026

Monthly Correlations

TickerNameQQQLQDGLDIJSEFAEEMVNQTLTMaximum Return at 10.00% VolatilityEqual Weighted
QQQInvesco QQQ Trust1.000.580.120.620.690.650.610.260.720.79
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF0.581.000.370.490.670.590.700.760.810.83
GLDSPDR Gold Shares0.120.371.000.020.300.380.210.340.720.42
IJSiShares S&P Small-Cap 600 Value ETF0.620.490.021.000.760.620.760.040.470.78
EFAiShares MSCI EAFE ETF0.690.670.300.761.000.810.750.240.710.90
EEMiShares MSCI Emerging Markets ETF0.650.590.380.620.811.000.560.230.710.83
VNQVanguard Real Estate ETF0.610.700.210.760.750.561.000.410.630.86
TLTiShares 20+ Year Treasury Bond ETF0.260.760.340.040.240.230.411.000.570.48

Portfolio Return Decomposition

TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
QQQInvesco QQQ Trust$8,335$3,828
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF$1,049$263
GLDSPDR Gold Shares$8,482$2,627
IJSiShares S&P Small-Cap 600 Value ETF$1,905
EFAiShares MSCI EAFE ETF$1,820
EEMiShares MSCI Emerging Markets ETF$1,928
VNQVanguard Real Estate ETF$1,050
TLTiShares 20+ Year Treasury Bond ETF-$425
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

TickerNameMaximum Return at 10.00% VolatilityEqual Weighted
QQQInvesco QQQ Trust33.06%15.90%
LQDiShares iBoxx $ Invmt Grade Corp Bd ETF27.81%7.23%
GLDSPDR Gold Shares39.13%6.80%
IJSiShares S&P Small-Cap 600 Value ETF18.10%
EFAiShares MSCI EAFE ETF14.16%
EEMiShares MSCI Emerging Markets ETF15.10%
VNQVanguard Real Estate ETF15.91%
TLTiShares 20+ Year Treasury Bond ETF6.79%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling Returns

Roll PeriodMaximum Return at 10.00% VolatilityEqual Weighted
AverageHighLowAverageHighLow
1 year11.97%33.85%-18.52%9.33%35.39%-21.83%
3 years10.69%23.63%-0.29%7.81%16.88%-0.48%
5 years8.93%12.43%5.03%6.68%11.85%3.10%
7 years10.68%13.88%8.14%7.85%10.39%6.11%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years

  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • 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. Other investments not considered may have characteristics similar or superior to those being analyzed.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. 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 the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Risk-free returns are calculated based on U.S. 3-Month Treasury Bill Rate.
  • Inflation is calculated based on U.S. Consumer Price Index.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Invesco QQQ is a paid sponsor of the SRL Analytics Tool, Portfolio Visualizer. The model portfolios are for illustrative purposes only and do not constitute a recommendation or suitability for any investor. Inveso is not affiliated with SRL Global.
  • The annual results for 2026 are based on full calendar months from January to September.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.