Backtest Portfolio Asset Allocation

Portfolio Backtesting Overview

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

Portfolio Model Configuration

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Leverage Type

Leverage Ratio

Debt Amount

$ .00

Debt Interest

Maintenance Margin

Leveraged Benchmark

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Asset 2

Asset 3

Asset 4

Asset 5

Asset 6

Asset 7

Asset 8

Asset 9

Asset 10

Total

Portfolio Analysis Results (Sep 2018 - Dec 2021)

Note: The time period was constrained by the available data for WisdomTree U.S. Efficient Core Fund (NTSX) [Sep 2018 - May 2023].

Levered Golden Ratio With 7% Annual Distribution

Ticker	Name	Allocation
NTSX	WisdomTree U.S. Efficient Core Fund	35.00%
TNA	Direxion Daily Small Cap Bull 3X ETF	10.00%
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	10.00%
GLD	SPDR Gold Shares	25.00%
O	Realty Income Corporation	15.00%
VIXM	ProShares VIX Mid-Term Futures	3.00%
BLOK	Amplify Transformational Data Shrg ETF	1.00%
GBTC	Grayscale Bitcoin Trust (BTC)	1.00%
Save portfolio »

Performance Summary

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	TWRR	MWRR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
Levered Golden Ratio With 7% Annual Distribution	$10,000	$14,587	11.99%	19.22%	19.00%	15.74%	32.56%	-6.31%	-15.31% (-16.30%)	1.14	2.08	0.87
^* The number in parentheses shows the calculated value taking into account the periodic withdrawals.

Portfolio Growth

Annual Returns

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return		Annualized Standard Deviation
Name	3 Month	Year To Date	1 year	3 year	Full	3 year
Levered Golden Ratio With 7% Annual Distribution	7.41%	11.02%	11.02%	24.24%	19.22%	15.94%
Trailing return and volatility are as of last full calendar month ending December 2021

Notes and Disclosures

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.
Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
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.
Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
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.
Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
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.
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.
Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
The annual results for 2018 are based on monthly returns from September to December.
Drawdown analysis is calculated based on monthly returns excluding cashflows.
The results assume bands based (5.00% corridor) rebalancing of portfolio assets to match the specified allocation.
Inflation adjusted monthly withdrawal of $59.00 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.

Annual Returns

Annual returns for the configured portfolios
Year	Inflation	Levered Golden Ratio With 7% Annual Distribution			WisdomTree U.S. Efficient Core Fund (NTSX)	Direxion Daily Small Cap Bull 3X ETF (TNA)	Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)	SPDR Gold Shares (GLD)	Realty Income Corporation (O)	ProShares VIX Mid-Term Futures (VIXM)	Amplify Transformational Data Shrg ETF (BLOK)	Grayscale Bitcoin Trust (BTC) (GBTC)
Year	Inflation	Return	Balance	Cashflow	WisdomTree U.S. Efficient Core Fund (NTSX)	Direxion Daily Small Cap Bull 3X ETF (TNA)	Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)	SPDR Gold Shares (GLD)	Realty Income Corporation (O)	ProShares VIX Mid-Term Futures (VIXM)	Amplify Transformational Data Shrg ETF (BLOK)	Grayscale Bitcoin Trust (BTC) (GBTC)
2018	-0.36%	-6.31%	$9,136	-$236	-11.24%	-56.24%	2.44%	6.82%	9.20%	25.54%	-26.62%	-58.26%
2019	2.29%	30.32%	$11,127	-$718	32.15%	71.89%	34.74%	17.86%	21.26%	-20.38%	29.57%	106.56%
2020	1.36%	32.56%	$13,862	-$727	24.85%	-7.83%	41.60%	24.81%	-11.55%	72.38%	90.15%	290.72%
2021	7.04%	11.02%	$14,587	-$761	22.20%	27.87%	-19.81%	-4.15%	24.00%	-16.70%	31.19%	7.03%
Annual return for 2018 is from 09/01/2018 to 12/31/2018

Monthly Returns

Monthly returns for the configured portfolios
Year	Month	Levered Golden Ratio With 7% Annual Distribution Return	Levered Golden Ratio With 7% Annual Distribution Balance	WisdomTree U.S. Efficient Core Fund (NTSX)	Direxion Daily Small Cap Bull 3X ETF (TNA)	Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)	SPDR Gold Shares (GLD)	Realty Income Corporation (O)	ProShares VIX Mid-Term Futures (VIXM)	Amplify Transformational Data Shrg ETF (BLOK)	Grayscale Bitcoin Trust (BTC) (GBTC)
2018	9	-2.44%	$9,697	-0.12%	-7.24%	-8.77%	-0.66%	-2.49%	-2.91%	-0.64%	-16.42%
2018	10	-4.09%	$9,241	-5.95%	-30.90%	-9.11%	2.12%	6.33%	20.40%	-13.87%	-15.11%
2018	11	1.96%	$9,363	1.49%	2.99%	4.76%	0.34%	6.70%	-4.42%	-3.67%	-25.96%
2018	12	-1.79%	$9,136	-6.90%	-33.70%	17.93%	4.94%	-1.29%	12.35%	-11.00%	-20.54%
2019	1	8.24%	$9,830	7.86%	35.69%	0.41%	2.89%	9.32%	-12.23%	12.13%	0.63%
2019	2	2.38%	$10,005	2.48%	15.60%	-4.52%	-0.61%	1.01%	-8.39%	6.19%	11.78%
2019	3	2.13%	$10,159	2.86%	-7.42%	17.00%	-1.60%	6.69%	0.42%	0.02%	7.17%
2019	4	1.32%	$10,233	3.45%	9.51%	-6.56%	-0.66%	-4.52%	-1.90%	1.82%	38.28%
2019	5	-1.21%	$10,049	-4.27%	-22.83%	21.11%	1.76%	0.42%	8.03%	-3.02%	67.32%
2019	6	7.24%	$10,717	6.63%	20.99%	1.90%	8.00%	-1.26%	-5.46%	5.35%	36.80%
2019	7	0.45%	$10,705	1.33%	1.12%	0.32%	0.01%	0.68%	0.28%	2.70%	-9.85%
2019	8	4.39%	$11,114	0.40%	-15.97%	35.11%	7.91%	6.97%	8.81%	-4.17%	-14.08%
2019	9	-0.79%	$10,966	1.09%	5.14%	-9.07%	-3.39%	4.20%	0.30%	-0.39%	-9.64%
2019	10	2.45%	$11,174	1.65%	7.13%	-4.11%	2.56%	6.96%	-3.55%	0.95%	5.00%
2019	11	0.12%	$11,128	3.07%	11.90%	-2.01%	-3.21%	-6.03%	-3.15%	3.79%	-13.94%
2019	12	0.54%	$11,127	2.16%	8.09%	-10.05%	3.66%	-3.62%	-3.71%	1.81%	-14.42%
2020	1	4.39%	$11,556	2.03%	-9.68%	23.80%	4.50%	6.81%	-0.66%	0.75%	33.09%
2020	2	-4.13%	$11,018	-6.55%	-24.64%	17.91%	-0.64%	-7.38%	11.58%	-5.35%	-9.63%
2020	3	-11.66%	$9,672	-8.64%	-66.22%	11.91%	-0.22%	-30.80%	62.89%	-14.04%	-27.72%
2020	4	11.97%	$10,770	11.76%	35.77%	2.68%	7.26%	10.62%	1.35%	17.05%	38.62%
2020	5	4.11%	$11,153	5.04%	15.80%	-6.48%	2.59%	1.13%	1.54%	6.84%	10.33%
2020	6	2.97%	$11,424	1.34%	5.31%	0.54%	2.74%	8.00%	1.72%	4.99%	-11.80%
2020	7	7.47%	$12,216	6.08%	7.74%	13.13%	10.79%	1.32%	-1.39%	14.08%	33.42%
2020	8	3.81%	$12,621	6.26%	16.30%	-14.89%	-0.32%	3.69%	1.06%	10.46%	5.58%
2020	9	-3.46%	$12,123	-3.17%	-10.84%	2.15%	-4.17%	-1.69%	1.45%	-3.62%	-18.92%
2020	10	-2.15%	$11,802	-3.22%	5.20%	-10.35%	-0.52%	-4.37%	1.30%	1.51%	40.20%
2020	11	9.81%	$12,899	10.43%	61.76%	4.24%	-5.41%	4.05%	-13.08%	21.72%	50.81%
2020	12	7.93%	$13,862	3.29%	27.39%	-2.32%	7.01%	4.06%	2.46%	17.73%	37.97%
2021	1	-1.07%	$13,652	-1.42%	13.50%	-10.84%	-3.22%	-4.62%	15.94%	9.81%	8.41%
2021	2	0.08%	$13,601	0.61%	17.78%	-16.79%	-6.26%	2.43%	-2.94%	31.81%	24.53%
2021	3	0.50%	$13,607	3.09%	0.97%	-15.40%	-1.14%	5.77%	-15.11%	10.29%	15.83%
2021	4	4.81%	$14,199	4.93%	4.77%	6.35%	3.56%	9.27%	-2.57%	-5.25%	-6.37%
2021	5	0.93%	$14,268	0.74%	-0.42%	-0.34%	7.68%	-0.74%	-5.94%	-13.40%	-35.50%
2021	6	0.53%	$14,279	3.21%	4.82%	13.37%	-7.15%	-2.08%	-4.95%	4.04%	-1.36%
2021	7	1.94%	$14,493	3.25%	-11.68%	10.92%	2.53%	5.67%	3.77%	-6.13%	16.52%
2021	8	2.18%	$14,745	2.67%	5.66%	-1.36%	-0.08%	3.08%	-3.60%	10.61%	8.74%
2021	9	-6.22%	$13,764	-5.23%	-9.25%	-9.24%	-3.22%	-9.86%	5.76%	-9.82%	-10.38%
2021	10	6.91%	$14,650	6.19%	12.47%	7.08%	1.48%	10.13%	-5.88%	24.26%	46.79%
2021	11	-1.53%	$14,361	-0.28%	-13.35%	7.39%	-0.69%	-1.19%	7.99%	-0.36%	-6.98%
2021	12	2.03%	$14,587	2.99%	4.97%	-6.88%	3.30%	5.77%	-6.91%	-16.97%	-25.90%
^* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Levered Golden Ratio With 7% Annual Distribution
Large-cap Value	0.00%
Large-cap Growth	34.75%
Mid-cap Value	18.69%
Mid-cap Growth	4.45%
Small-cap Value	0.00%
Small-cap Growth	7.66%
Global ex-US Developed Markets	0.00%
Emerging Markets	2.95%
Corporate Bonds	0.00%
Long-Term Treasuries	31.49%
Intermediate-Term Treasuries	0.00%
Short-Term Treasuries	0.00%
R Squared	87.60%
Style analysis is based on monthly returns from September 2018 to December 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Levered Golden Ratio With 7% Annual Distribution

Holdings Based Style Analysis for Levered Golden Ratio With 7% Annual Distribution
Ticker	Name	Category	Weight	Yield		Expense Ratio		P/E	Contribution
Ticker	Name	Category	Weight	SEC	TTM	Net	Gross	P/E	Return	Risk
NTSX	WisdomTree U.S. Efficient Core Fund	Large Blend	35.00%	1.17%	1.27%	0.20%	0.20%	21.21	$2,587	32.10%
TNA	Direxion Daily Small Cap Bull 3X ETF	Leveraged Equity	10.00%		0.45%	1.09%	1.09%	11.10	$1,469	38.08%
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	Leveraged Debt	10.00%		1.61%	1.06%	1.06%		$567	2.48%
GLD	SPDR Gold Shares	Commodities Focused	25.00%			0.40%	0.40%		$988	10.38%
O	Realty Income Corporation	Real Estate / REIT - Retail	15.00%		5.04%				$804	17.82%
VIXM	ProShares VIX Mid-Term Futures	Miscellaneous	3.00%			0.93%	0.93%		$163	-5.23%
BLOK	Amplify Transformational Data Shrg ETF	Digital Assets	1.00%	2.28%		0.75%	0.75%		$136	1.47%
GBTC	Grayscale Bitcoin Trust (BTC)	Digital Assets	1.00%			2.00%	2.00%		$314	2.91%
			100.00%	0.43%	1.41%	0.52%	0.52%	18.97	$7,029	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/31/2023. (c) 2023 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Risk and Return Metrics

Portfolio return and risk metrics
Metric	Levered Golden Ratio With 7% Annual Distribution
Arithmetic Mean (monthly)	1.58%
Arithmetic Mean (annualized)	20.64%
Geometric Mean (monthly)	1.48%
Geometric Mean (annualized)	19.22%
Standard Deviation (monthly)	4.54%
Standard Deviation (annualized)	15.74%
Downside Deviation (monthly)	2.45%
Maximum Drawdown	-15.31%
Stock Market Correlation	0.87
Beta^(*)	0.72
Alpha (annualized)	6.02%
R²	75.88%
Sharpe Ratio	1.14
Sortino Ratio	2.08
Treynor Ratio (%)	24.79
Calmar Ratio	1.58
Active Return	1.91%
Tracking Error	9.35%
Information Ratio	0.20
Skewness	-0.19
Excess Kurtosis	1.05
Historical Value-at-Risk (5%)	4.23%
Analytical Value-at-Risk (5%)	5.72%
Conditional Value-at-Risk (5%)	8.94%
Upside Capture Ratio (%)	73.82
Downside Capture Ratio (%)	50.77
Safe Withdrawal Rate	31.73%
Perpetual Withdrawal Rate	11.43%
Positive Periods	28 out of 40 (70.00%)
Gain/Loss Ratio	1.09
^* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	Levered Golden Ratio With 7% Annual Distribution
COVID-19 Start	Jan 2020	Mar 2020	-15.31%

Drawdowns for Levered Golden Ratio With 7% Annual Distribution

Drawdowns for Levered Golden Ratio With 7% Annual Distribution
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2020	Mar 2020	2 months	Jun 2020	3 months	5 months	-15.31%
2	Sep 2018	Oct 2018	2 months	Jan 2019	3 months	5 months	-6.43%
3	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-6.22%
4	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-5.53%
5	Nov 2021	Nov 2021	1 month	Dec 2021	1 month	2 months	-1.53%
6	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-1.21%
7	Jan 2021	Jan 2021	1 month	Apr 2021	3 months	4 months	-1.07%
8	Sep 2019	Sep 2019	1 month	Oct 2019	1 month	2 months	-0.79%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
NTSX	WisdomTree U.S. Efficient Core Fund	19.08%	15.69%	32.15%	-11.24%	-14.63%	1.13	1.94	0.98
TNA	Direxion Daily Small Cap Bull 3X ETF	-3.55%	74.28%	71.89%	-56.24%	-82.71%	0.37	0.54	0.92
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	14.43%	40.91%	41.60%	-19.81%	-50.20%	0.50	0.93	-0.29
GLD	SPDR Gold Shares	13.07%	14.33%	24.81%	-4.15%	-13.74%	0.86	1.63	0.12
O	Realty Income Corporation	11.84%	25.28%	24.00%	-11.55%	-38.00%	0.54	0.71	0.60
VIXM	ProShares VIX Mid-Term Futures	11.45%	42.90%	72.38%	-20.38%	-28.53%	0.40	1.04	-0.73
BLOK	Amplify Transformational Data Shrg ETF	29.57%	37.45%	90.15%	-26.62%	-26.62%	0.84	1.64	0.67
GBTC	Grayscale Bitcoin Trust (BTC)	46.92%	87.53%	290.72%	-58.26%	-58.26%	0.82	1.71	0.41

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Annualized Return	Expense Ratio
Name	3 Month	Year To Date	1 year	3 year	Net	Gross
WisdomTree U.S. Efficient Core Fund	9.06%	22.20%	22.20%	26.33%	0.20%	0.20%
Direxion Daily Small Cap Bull 3X ETF	2.30%	27.87%	27.87%	26.53%	1.09%	1.09%
Direxion Daily 20+ Yr Trsy Bull 3X ETF	7.09%	-19.81%	-19.81%	15.23%	1.06%	1.06%
SPDR Gold Shares	4.10%	-4.15%	-4.15%	12.13%	0.40%	0.40%
Realty Income Corporation	15.10%	24.00%	24.00%	9.97%
ProShares VIX Mid-Term Futures	-5.39%	-16.70%	-16.70%	4.56%	0.93%	0.93%
Amplify Transformational Data Shrg ETF	2.80%	31.19%	31.19%	47.85%	0.75%	0.75%
Grayscale Bitcoin Trust (BTC)	1.18%	7.03%	7.03%	105.18%	2.00%	2.00%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	NTSX	TNA	TMF	GLD	O	VIXM	BLOK	GBTC	Levered Golden Ratio With 7% Annual Distribution
NTSX	WisdomTree U.S. Efficient Core Fund	1.00	0.84	-0.12	0.21	0.59	-0.66	0.62	0.42	0.90
TNA	Direxion Daily Small Cap Bull 3X ETF	0.84	1.00	-0.38	-0.03	0.51	-0.74	0.72	0.45	0.79
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	-0.12	-0.38	1.00	0.33	0.03	0.25	-0.24	0.06	0.09
GLD	SPDR Gold Shares	0.21	-0.03	0.33	1.00	0.27	0.01	-0.14	0.08	0.45
O	Realty Income Corporation	0.59	0.51	0.03	0.27	1.00	-0.68	0.33	0.25	0.73
VIXM	ProShares VIX Mid-Term Futures	-0.66	-0.74	0.25	0.01	-0.68	1.00	-0.42	-0.26	-0.63
BLOK	Amplify Transformational Data Shrg ETF	0.62	0.72	-0.24	-0.14	0.33	-0.42	1.00	0.63	0.60
GBTC	Grayscale Bitcoin Trust (BTC)	0.42	0.45	0.06	0.08	0.25	-0.26	0.63	1.00	0.51

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Levered Golden Ratio With 7% Annual Distribution
NTSX	WisdomTree U.S. Efficient Core Fund	$2,587
TNA	Direxion Daily Small Cap Bull 3X ETF	$1,469
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	$567
GLD	SPDR Gold Shares	$988
O	Realty Income Corporation	$804
VIXM	ProShares VIX Mid-Term Futures	$163
BLOK	Amplify Transformational Data Shrg ETF	$136
GBTC	Grayscale Bitcoin Trust (BTC)	$314
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Levered Golden Ratio With 7% Annual Distribution
NTSX	WisdomTree U.S. Efficient Core Fund	32.10%
TNA	Direxion Daily Small Cap Bull 3X ETF	38.08%
TMF	Direxion Daily 20+ Yr Trsy Bull 3X ETF	2.48%
GLD	SPDR Gold Shares	10.38%
O	Realty Income Corporation	17.82%
VIXM	ProShares VIX Mid-Term Futures	-5.23%
BLOK	Amplify Transformational Data Shrg ETF	1.47%
GBTC	Grayscale Bitcoin Trust (BTC)	2.91%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Levered Golden Ratio With 7% Annual Distribution Rebalancing Events

Rebalancing dates for levered golden ratio with 7% annual distribution
#	Date	Allocation
1	12/31/2018	WisdomTree U.S. Efficient Core Fund (NTSX): 33.16% Direxion Daily Small Cap Bull 3X ETF (TNA): 4.67% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 10.93% SPDR Gold Shares (GLD): 28.50% Realty Income Corporation (O): 17.48% ProShares VIX Mid-Term Futures (VIXM): 4.02% Amplify Transformational Data Shrg ETF (BLOK): 0.78% Grayscale Bitcoin Trust (BTC) (GBTC): 0.45%
2	02/29/2020	WisdomTree U.S. Efficient Core Fund (NTSX): 33.81% Direxion Daily Small Cap Bull 3X ETF (TNA): 8.97% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 15.08% SPDR Gold Shares (GLD): 23.46% Realty Income Corporation (O): 13.80% ProShares VIX Mid-Term Futures (VIXM): 2.03% Amplify Transformational Data Shrg ETF (BLOK): 0.95% Grayscale Bitcoin Trust (BTC) (GBTC): 1.90%
3	03/31/2020	WisdomTree U.S. Efficient Core Fund (NTSX): 36.20% Direxion Daily Small Cap Bull 3X ETF (TNA): 3.82% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 12.67% SPDR Gold Shares (GLD): 28.24% Realty Income Corporation (O): 11.75% ProShares VIX Mid-Term Futures (VIXM): 5.53% Amplify Transformational Data Shrg ETF (BLOK): 0.97% Grayscale Bitcoin Trust (BTC) (GBTC): 0.82%
4	08/31/2020	WisdomTree U.S. Efficient Core Fund (NTSX): 35.05% Direxion Daily Small Cap Bull 3X ETF (TNA): 15.49% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 6.94% SPDR Gold Shares (GLD): 23.31% Realty Income Corporation (O): 14.22% ProShares VIX Mid-Term Futures (VIXM): 2.34% Amplify Transformational Data Shrg ETF (BLOK): 1.24% Grayscale Bitcoin Trust (BTC) (GBTC): 1.42%
5	12/31/2020	WisdomTree U.S. Efficient Core Fund (NTSX): 33.41% Direxion Daily Small Cap Bull 3X ETF (TNA): 17.26% Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF): 8.33% SPDR Gold Shares (GLD): 21.55% Realty Income Corporation (O): 13.64% ProShares VIX Mid-Term Futures (VIXM): 2.45% Amplify Transformational Data Shrg ETF (BLOK): 1.25% Grayscale Bitcoin Trust (BTC) (GBTC): 2.11%