Portfolio Optimization

This portfolio optimizer tool supports the following portfolio optimization strategies:

The optimization is based on the monthly return statistics of the selected portfolio assets for the given time period. The optimization result does not predict what allocation would perform best outside the given time period, and the actual performance of portfolios constructed using the optimized asset weights may vary from the given performance goal.

The required inputs for the optimization include the time range and the portfolio assets. Portfolio asset weights and constraints are optional. You can also use the Black-Litterman model based portfolio optimization, which allows the benchmark portfolio asset weights to be optimized based on investor's views.

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Portfolio Optimization Results (Jan 2020 - Dec 2021) Save

Portfolio optimization results with goal to maximize return subject to 10.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 11.80% to 16.30%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Provided Portfolio
Ticker Name Allocation
FMSDX Fidelity Multi-Asset Income 18.00%
CTFAX Columbia Thermostat A 10.00%
FFFDX Fidelity Freedom 2020 10.00%
FSRRX Fidelity Strategic Real Return 10.00%
TMSRX T. Rowe Price Multi-Strategy Ttl Ret Inv 11.00%
TRRIX T. Rowe Price Retirement Balanced 10.00%
REMIX Standpoint Multi-Asset Investor 9.00%
FSMEX Fidelity Select Medical Tech and Devcs 5.00%
NWFFX American Funds New World F1 5.00%
FLPSX Fidelity Low-Priced Stock 5.00%
CRAAX Columbia Adaptive Risk Allocation A 4.00%
EAPCX Parametric Commodity Strategy A 3.00%
Save portfolio »
Maximum Return at 10.00% Volatility
Ticker Name Allocation
FMSDX Fidelity Multi-Asset Income 19.97%
CTFAX Columbia Thermostat A 15.00%
FFFDX Fidelity Freedom 2020 10.60%
FSRRX Fidelity Strategic Real Return 5.46%
TMSRX T. Rowe Price Multi-Strategy Ttl Ret Inv 5.21%
TRRIX T. Rowe Price Retirement Balanced 6.82%
REMIX Standpoint Multi-Asset Investor 9.71%
FSMEX Fidelity Select Medical Tech and Devcs 4.83%
NWFFX American Funds New World F1 1.31%
FLPSX Fidelity Low-Priced Stock 2.14%
CRAAX Columbia Adaptive Risk Allocation A 10.83%
EAPCX Parametric Commodity Strategy A 8.11%
Save portfolio »
Maximum Sharpe Ratio Weights
Ticker Name Allocation
FMSDX Fidelity Multi-Asset Income 19.31%
CTFAX Columbia Thermostat A 15.00%
FFFDX Fidelity Freedom 2020 2.76%
FSRRX Fidelity Strategic Real Return 6.40%
TMSRX T. Rowe Price Multi-Strategy Ttl Ret Inv 14.15%
TRRIX T. Rowe Price Retirement Balanced 10.28%
REMIX Standpoint Multi-Asset Investor 9.90%
FSMEX Fidelity Select Medical Tech and Devcs 4.16%
NWFFX American Funds New World F1 0.09%
FLPSX Fidelity Low-Priced Stock 0.28%
CRAAX Columbia Adaptive Risk Allocation A 12.89%
EAPCX Parametric Commodity Strategy A 4.79%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricProvided PortfolioMaximum Return at 10.00% VolatilityMaximum Sharpe Ratio WeightsFidelity Asset Manager 60%
Start Balance$10,000$10,000$10,000$10,000
End Balance$13,018$13,221$12,949$12,991
Annualized Return (CAGR)14.10%14.98%13.79%13.98%
Expected Return14.68%15.52%14.21%14.97%
Standard Deviation10.40%9.96%8.82%13.47%
Best Year15.66%16.09%15.75%16.14%
Worst Year12.55%13.89%11.87%11.85%
Maximum Drawdown -10.47% -9.44% -7.71% -14.20%
Sharpe Ratio (ex-ante)1.301.431.491.02
Sharpe Ratio (ex-post)1.291.421.481.02
Sortino Ratio2.282.692.891.62
Active Return0.12%1.00%-0.19%N/A
Tracking Error3.77%4.51%5.38%N/A
Information Ratio0.030.22-0.03N/A
Stock Market Correlation0.970.970.970.98
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 yearFull
Provided Portfolio2.28%12.55%12.55%14.10%
Maximum Return at 10.00% Volatility2.70%13.89%13.89%14.98%
Maximum Sharpe Ratio Weights2.13%11.87%11.87%13.79%
Fidelity Asset Manager 60%3.80%11.85%11.85%13.98%
Trailing returns are as of last full calendar month ending December 2021
Notes on results:
  • 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 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.
  • 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. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. 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.
  • Monte Carlo method was used to resample the efficient frontier inputs to mitigate the impact of input estimation errors.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Fidelity Multi-Asset Income (FMSDX)17.93%11.73%1.3950.00%20.00%
2Columbia Thermostat A (CTFAX)17.48%7.90%2.0220.00%15.00%
3Fidelity Freedom 2020 (FFFDX)11.98%11.22%0.9920.00%15.00%
4Fidelity Strategic Real Return (FSRRX)10.29%11.17%0.8590.00%15.00%
5T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)5.48%6.09%0.8370.00%15.00%
6T. Rowe Price Retirement Balanced (TRRIX)10.52%10.00%0.9800.00%15.00%
7Standpoint Multi-Asset Investor (REMIX)18.55%11.07%1.5260.00%10.00%
8Fidelity Select Medical Tech and Devcs (FSMEX)29.32%18.80%1.3700.00%5.00%
9American Funds New World F1 (NWFFX)16.53%19.90%0.7620.00%5.00%
10Fidelity Low-Priced Stock (FLPSX)19.50%22.21%0.7970.00%5.00%
11Columbia Adaptive Risk Allocation A (CRAAX)10.31%8.69%1.1050.00%15.00%
12Parametric Commodity Strategy A (EAPCX)19.94%17.61%1.0270.00%10.00%
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate.

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerFMSDXCTFAXFFFDXFSRRXTMSRXTRRIXREMIXFSMEXNWFFXFLPSXCRAAXEAPCX
Fidelity Multi-Asset IncomeFMSDX1.000.760.960.870.670.940.730.720.910.940.850.79
Columbia Thermostat ACTFAX0.761.000.720.500.590.720.610.620.690.660.650.38
Fidelity Freedom 2020FFFDX0.960.721.000.930.750.990.580.740.980.940.820.80
Fidelity Strategic Real ReturnFSRRX0.870.500.931.000.730.940.430.710.890.890.700.88
T. Rowe Price Multi-Strategy Ttl Ret InvTMSRX0.670.590.750.731.000.770.240.590.790.640.370.60
T. Rowe Price Retirement BalancedTRRIX0.940.720.990.940.771.000.530.760.960.940.790.77
Standpoint Multi-Asset InvestorREMIX0.730.610.580.430.240.531.000.480.530.620.670.52
Fidelity Select Medical Tech and DevcsFSMEX0.720.620.740.710.590.760.481.000.710.680.630.56
American Funds New World F1NWFFX0.910.690.980.890.790.960.530.711.000.890.780.81
Fidelity Low-Priced StockFLPSX0.940.660.940.890.640.940.620.680.891.000.750.76
Columbia Adaptive Risk Allocation ACRAAX0.850.650.820.700.370.790.670.630.780.751.000.69
Parametric Commodity Strategy AEAPCX0.790.380.800.880.600.770.520.560.810.760.691.00
Based on monthly returns from Jan 2020 to Dec 2021
Efficient Frontier Assets
#FMSDXCTFAXFFFDXFSRRXTMSRXTRRIXREMIXFSMEXNWFFXFLPSXCRAAXEAPCXExpected Return*Standard Deviation*Sharpe Ratio*
11.32%15.00%13.58%14.94%15.00%15.00%10.00%0.13%0.00%0.00%15.00%0.03%11.80%8.11%1.352
22.01%15.00%12.89%14.88%15.00%14.99%10.00%0.17%0.00%0.00%15.00%0.06%11.85%8.12%1.357
32.70%15.00%12.21%14.81%15.00%14.98%10.00%0.22%0.00%0.00%15.00%0.08%11.90%8.12%1.361
43.39%15.00%11.53%14.75%15.00%14.97%10.00%0.25%0.00%0.00%15.00%0.09%11.95%8.13%1.366
54.08%15.00%10.85%14.70%15.00%14.96%10.00%0.30%0.00%0.00%15.00%0.11%12.00%8.13%1.370
64.77%15.00%10.17%14.64%15.00%14.95%10.00%0.33%0.00%0.00%15.00%0.13%12.05%8.14%1.375
75.45%15.00%9.51%14.58%15.00%14.95%10.00%0.37%0.00%0.00%15.00%0.15%12.09%8.14%1.379
86.11%15.00%8.86%14.52%15.00%14.94%9.99%0.41%0.00%0.00%15.00%0.16%12.14%8.15%1.383
96.78%15.00%8.22%14.47%15.00%14.91%9.99%0.44%0.00%0.00%15.00%0.18%12.19%8.15%1.387
107.43%15.00%7.60%14.40%15.00%14.90%9.99%0.48%0.00%0.00%15.00%0.20%12.23%8.16%1.391
118.06%15.00%7.02%14.32%15.00%14.89%9.98%0.51%0.00%0.00%15.00%0.22%12.28%8.17%1.395
128.64%15.00%6.48%14.22%15.00%14.89%9.98%0.55%0.00%0.00%14.99%0.25%12.32%8.17%1.399
139.21%15.00%5.95%14.12%15.00%14.87%9.98%0.59%0.00%0.00%14.99%0.29%12.37%8.18%1.403
149.76%15.00%5.45%14.03%15.00%14.85%9.98%0.63%0.00%0.00%14.98%0.32%12.41%8.19%1.406
1510.30%15.00%4.96%13.94%15.00%14.83%9.98%0.68%0.00%0.00%14.97%0.35%12.45%8.19%1.410
1610.79%15.00%4.51%13.83%15.00%14.81%9.98%0.73%0.00%0.00%14.96%0.40%12.50%8.20%1.413
1711.26%15.00%4.12%13.70%15.00%14.79%9.98%0.78%0.00%0.00%14.94%0.43%12.54%8.21%1.417
1811.71%15.00%3.75%13.58%15.00%14.75%9.98%0.84%0.00%0.00%14.92%0.47%12.58%8.22%1.420
1912.13%15.00%3.44%13.44%15.00%14.69%9.98%0.91%0.00%0.00%14.91%0.50%12.62%8.23%1.423
2012.52%15.00%3.16%13.29%15.00%14.64%9.98%0.98%0.00%0.00%14.90%0.55%12.66%8.23%1.426
2112.85%15.00%2.90%13.15%15.00%14.58%9.97%1.06%0.00%0.00%14.88%0.61%12.70%8.24%1.429
2213.14%15.00%2.68%13.03%15.00%14.50%9.97%1.15%0.00%0.00%14.86%0.67%12.74%8.25%1.431
2313.40%15.00%2.48%12.87%15.00%14.44%9.97%1.25%0.00%0.00%14.85%0.73%12.78%8.26%1.434
2413.65%15.00%2.32%12.71%15.00%14.36%9.97%1.35%0.00%0.00%14.83%0.80%12.82%8.27%1.436
2513.90%15.00%2.18%12.53%15.00%14.30%9.97%1.45%0.00%0.00%14.81%0.87%12.86%8.28%1.439
2614.14%15.00%2.06%12.34%15.00%14.23%9.97%1.54%0.00%0.00%14.78%0.94%12.90%8.29%1.441
2714.36%15.00%1.97%12.14%15.00%14.14%9.97%1.64%0.00%0.00%14.76%1.01%12.94%8.31%1.444
2814.57%15.00%1.91%11.94%15.00%14.06%9.96%1.74%0.00%0.00%14.73%1.09%12.98%8.32%1.446
2914.76%15.00%1.85%11.73%15.00%13.98%9.96%1.84%0.00%0.01%14.71%1.17%13.02%8.33%1.448
3014.97%15.00%1.80%11.52%15.00%13.88%9.96%1.94%0.00%0.01%14.68%1.25%13.06%8.34%1.450
3115.19%15.00%1.75%11.32%14.99%13.77%9.96%2.03%0.00%0.01%14.66%1.33%13.10%8.35%1.453
3215.41%15.00%1.70%11.10%14.99%13.67%9.96%2.13%0.00%0.01%14.63%1.41%13.14%8.37%1.455
3315.64%15.00%1.67%10.87%14.99%13.56%9.95%2.22%0.00%0.01%14.60%1.49%13.18%8.38%1.457
3415.88%15.00%1.64%10.63%14.98%13.46%9.95%2.31%0.00%0.01%14.57%1.57%13.22%8.39%1.459
3516.12%15.00%1.61%10.39%14.98%13.34%9.95%2.39%0.00%0.01%14.55%1.65%13.27%8.40%1.461
3616.34%15.00%1.59%10.16%14.98%13.23%9.95%2.48%0.00%0.02%14.52%1.74%13.31%8.42%1.463
3716.55%15.00%1.57%9.93%14.98%13.12%9.94%2.57%0.00%0.02%14.48%1.84%13.35%8.43%1.465
3816.75%15.00%1.57%9.73%14.97%13.00%9.94%2.66%0.00%0.02%14.43%1.94%13.39%8.44%1.467
3916.93%15.00%1.58%9.53%14.96%12.86%9.94%2.74%0.00%0.03%14.39%2.04%13.43%8.46%1.469
4017.10%15.00%1.61%9.33%14.96%12.72%9.93%2.83%0.00%0.03%14.34%2.14%13.47%8.47%1.471
4117.27%15.00%1.66%9.12%14.95%12.57%9.93%2.92%0.00%0.04%14.30%2.25%13.51%8.49%1.472
4217.42%15.00%1.72%8.96%14.93%12.39%9.93%3.01%0.00%0.04%14.25%2.35%13.55%8.50%1.474
4317.55%15.00%1.79%8.77%14.92%12.24%9.92%3.10%0.00%0.05%14.19%2.47%13.58%8.52%1.475
4417.69%15.00%1.87%8.59%14.90%12.08%9.92%3.19%0.00%0.05%14.13%2.59%13.62%8.53%1.477
4517.83%15.00%1.94%8.40%14.88%11.94%9.92%3.28%0.00%0.06%14.05%2.71%13.67%8.55%1.478
4617.96%15.00%1.98%8.21%14.86%11.84%9.91%3.36%0.00%0.06%13.97%2.84%13.70%8.56%1.479
4718.10%15.00%2.03%8.04%14.83%11.73%9.91%3.43%0.00%0.07%13.89%2.97%13.74%8.58%1.481
4818.24%15.00%2.08%7.89%14.80%11.59%9.91%3.50%0.00%0.08%13.81%3.10%13.78%8.60%1.482
4918.37%15.00%2.14%7.74%14.76%11.45%9.91%3.57%0.01%0.09%13.73%3.22%13.82%8.61%1.483
5018.50%15.00%2.19%7.57%14.72%11.34%9.91%3.64%0.01%0.10%13.66%3.35%13.86%8.63%1.484
5118.63%15.00%2.26%7.43%14.68%11.20%9.90%3.70%0.01%0.12%13.58%3.49%13.90%8.65%1.485
5218.73%15.00%2.34%7.25%14.64%11.10%9.90%3.77%0.02%0.13%13.49%3.63%13.94%8.67%1.485
5318.83%15.00%2.41%7.08%14.59%11.01%9.90%3.84%0.02%0.15%13.39%3.77%13.97%8.69%1.486
5418.94%15.00%2.47%6.94%14.54%10.91%9.90%3.90%0.03%0.17%13.29%3.93%14.01%8.71%1.487
5519.03%15.00%2.55%6.84%14.47%10.75%9.90%3.95%0.04%0.19%13.21%4.08%14.05%8.73%1.487
5619.11%15.00%2.60%6.72%14.40%10.63%9.90%4.00%0.05%0.21%13.13%4.25%14.09%8.75%1.487
5719.19%15.00%2.65%6.63%14.32%10.49%9.90%4.06%0.06%0.23%13.05%4.43%14.13%8.77%1.488
5819.25%15.00%2.70%6.52%14.24%10.38%9.90%4.11%0.08%0.25%12.97%4.61%14.17%8.79%1.488
5919.31%15.00%2.76%6.40%14.15%10.28%9.90%4.16%0.09%0.28%12.89%4.79%14.21%8.82%1.488
6019.37%15.00%2.83%6.30%14.04%10.16%9.90%4.21%0.10%0.31%12.81%4.97%14.25%8.84%1.488
6119.41%15.00%2.91%6.19%13.92%10.05%9.89%4.26%0.12%0.33%12.74%5.17%14.29%8.87%1.488
6219.46%15.00%3.02%6.13%13.79%9.88%9.89%4.31%0.13%0.36%12.68%5.35%14.33%8.89%1.488
6319.51%15.00%3.16%6.07%13.64%9.71%9.89%4.35%0.15%0.38%12.62%5.52%14.37%8.92%1.487
6419.56%15.00%3.29%5.96%13.47%9.61%9.88%4.39%0.16%0.41%12.56%5.70%14.41%8.95%1.487
6519.60%15.00%3.44%5.87%13.29%9.51%9.87%4.42%0.18%0.44%12.51%5.88%14.45%8.97%1.486
6619.62%15.00%3.64%5.77%13.09%9.38%9.86%4.45%0.20%0.47%12.47%6.06%14.50%9.00%1.485
6719.66%15.00%3.82%5.64%12.89%9.27%9.85%4.48%0.21%0.50%12.43%6.24%14.54%9.03%1.485
6819.69%15.00%4.06%5.52%12.69%9.15%9.84%4.51%0.23%0.54%12.37%6.40%14.58%9.06%1.484
6919.71%15.00%4.30%5.43%12.47%9.05%9.82%4.54%0.24%0.57%12.30%6.56%14.62%9.09%1.483
7019.74%15.00%4.52%5.36%12.23%8.98%9.80%4.56%0.26%0.62%12.24%6.70%14.66%9.12%1.481
7119.77%15.00%4.76%5.27%11.97%8.90%9.79%4.59%0.28%0.66%12.18%6.84%14.70%9.16%1.480
7219.79%15.00%5.07%5.23%11.69%8.77%9.77%4.61%0.30%0.70%12.12%6.96%14.74%9.19%1.478
7319.80%15.00%5.42%5.23%11.41%8.55%9.75%4.62%0.33%0.75%12.07%7.07%14.78%9.23%1.476
7419.82%15.00%5.82%5.27%11.12%8.28%9.73%4.64%0.36%0.80%12.00%7.16%14.82%9.26%1.474
7519.84%15.00%6.20%5.26%10.79%8.12%9.71%4.65%0.39%0.85%11.93%7.25%14.86%9.30%1.472
7619.85%15.00%6.51%5.30%10.44%7.98%9.71%4.66%0.43%0.91%11.87%7.34%14.90%9.34%1.470
7719.86%15.00%6.82%5.30%10.07%7.90%9.71%4.68%0.47%0.97%11.80%7.42%14.94%9.38%1.468
7819.87%15.00%7.11%5.32%9.69%7.83%9.71%4.69%0.51%1.04%11.74%7.50%14.99%9.42%1.466
7919.88%15.00%7.40%5.39%9.31%7.72%9.70%4.70%0.55%1.11%11.66%7.57%15.03%9.46%1.463
8019.89%15.00%7.75%5.41%8.94%7.62%9.69%4.72%0.59%1.18%11.55%7.65%15.07%9.50%1.461
8119.90%15.00%8.06%5.43%8.55%7.57%9.68%4.73%0.64%1.27%11.45%7.72%15.12%9.55%1.458
8219.91%15.00%8.33%5.48%8.13%7.52%9.68%4.74%0.69%1.36%11.38%7.78%15.17%9.60%1.455
8319.92%15.00%8.64%5.52%7.67%7.46%9.67%4.76%0.74%1.45%11.33%7.83%15.21%9.64%1.452
8419.93%15.00%8.98%5.55%7.23%7.39%9.67%4.77%0.80%1.54%11.24%7.88%15.26%9.69%1.449
8519.94%15.00%9.39%5.53%6.80%7.29%9.67%4.79%0.86%1.64%11.17%7.92%15.31%9.74%1.447
8619.95%15.00%9.73%5.50%6.39%7.21%9.67%4.80%0.94%1.75%11.08%7.97%15.36%9.79%1.444
8719.96%15.00%10.05%5.50%6.00%7.07%9.68%4.81%1.05%1.87%10.99%8.01%15.41%9.84%1.440
8819.96%15.00%10.35%5.48%5.61%6.94%9.70%4.82%1.17%2.00%10.91%8.06%15.47%9.90%1.437
8919.97%15.00%10.60%5.46%5.21%6.82%9.71%4.83%1.31%2.14%10.83%8.11%15.52%9.96%1.434
9019.98%15.00%10.80%5.46%4.84%6.70%9.71%4.84%1.46%2.29%10.74%8.16%15.57%10.01%1.430
9119.99%15.00%10.95%5.46%4.46%6.63%9.70%4.86%1.62%2.45%10.64%8.23%15.63%10.08%1.426
9219.99%15.00%11.16%5.43%4.08%6.53%9.69%4.87%1.79%2.62%10.54%8.30%15.69%10.14%1.422
9319.99%15.00%11.43%5.37%3.71%6.35%9.68%4.88%1.95%2.81%10.44%8.39%15.75%10.20%1.418
9419.99%15.00%11.64%5.31%3.30%6.29%9.69%4.89%2.13%3.00%10.29%8.48%15.81%10.27%1.414
9519.99%15.00%11.92%5.35%2.89%6.12%9.70%4.89%2.31%3.21%10.08%8.56%15.88%10.35%1.410
9619.99%15.00%12.19%5.30%2.48%5.99%9.69%4.90%2.54%3.42%9.84%8.66%15.95%10.43%1.405
9719.99%15.00%12.47%5.24%2.11%5.81%9.66%4.91%2.87%3.64%9.54%8.76%16.02%10.52%1.399
9819.99%15.00%12.77%5.25%1.77%5.44%9.62%4.93%3.29%3.87%9.22%8.86%16.10%10.62%1.392
9920.00%14.98%13.07%5.28%1.42%5.16%9.57%4.94%3.79%4.12%8.66%9.01%16.19%10.74%1.384
10020.00%14.75%14.05%5.42%0.78%5.00%9.45%4.97%4.42%4.42%7.53%9.20%16.31%10.92%1.370
*Annualized ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate.
Annual returns for the configured portfolios
YearInflationProvided PortfolioMaximum Return at 10.00% VolatilityMaximum Sharpe Ratio WeightsFidelity Asset Manager 60%Fidelity Multi-Asset Income (FMSDX)Columbia Thermostat A (CTFAX)Fidelity Freedom 2020 (FFFDX)Fidelity Strategic Real Return (FSRRX)T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)T. Rowe Price Retirement Balanced (TRRIX)Standpoint Multi-Asset Investor (REMIX)Fidelity Select Medical Tech and Devcs (FSMEX)American Funds New World F1 (NWFFX)Fidelity Low-Priced Stock (FLPSX)Columbia Adaptive Risk Allocation A (CRAAX)Parametric Commodity Strategy A (EAPCX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20201.36%15.66%$11,56616.09%$11,60915.75%$11,57516.14%$11,61416.55%29.27%13.76%3.74%13.20%11.47%16.07%30.04%24.81%9.32%9.16%7.73%
20217.04%12.55%$13,01813.89%$13,22111.87%$12,94911.85%$12,99117.80%6.16%8.91%15.81%-2.07%8.53%19.71%24.49%4.73%24.52%10.67%29.60%
Monthly returns for the configured portfolios
YearMonthProvided PortfolioMaximum Return at 10.00% VolatilityMaximum Sharpe Ratio WeightsFidelity Asset Manager 60%Fidelity Multi-Asset Income (FMSDX)Columbia Thermostat A (CTFAX)Fidelity Freedom 2020 (FFFDX)Fidelity Strategic Real Return (FSRRX)T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)T. Rowe Price Retirement Balanced (TRRIX)Standpoint Multi-Asset Investor (REMIX)Fidelity Select Medical Tech and Devcs (FSMEX)American Funds New World F1 (NWFFX)Fidelity Low-Priced Stock (FLPSX)Columbia Adaptive Risk Allocation A (CRAAX)Parametric Commodity Strategy A (EAPCX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20201-0.76%$9,924-0.92%$9,908-0.52%$9,9480.15%$10,015-1.13%1.19%-0.56%-0.83%0.83%0.10%-1.10%0.27%-2.25%-4.36%-1.03%-6.07%
20202-3.09%$9,617-3.00%$9,611-2.43%$9,707-4.22%$9,593-3.42%0.33%-3.16%-2.52%0.72%-2.69%-4.04%-7.39%-5.81%-9.07%-3.50%-4.24%
20203-6.91%$8,953-5.77%$9,056-4.92%$9,229-10.42%$8,593-6.73%0.07%-8.97%-11.59%-4.68%-8.50%2.42%-7.43%-15.47%-17.26%-2.84%-12.66%
202046.60%$9,5446.07%$9,6065.73%$9,7588.32%$9,3086.83%8.66%6.19%4.19%3.95%6.18%5.14%14.43%9.74%12.72%2.22%0.72%
202053.06%$9,8362.98%$9,8922.67%$10,0184.29%$9,7083.44%2.76%3.23%2.82%2.57%3.01%-0.39%4.74%6.38%4.09%1.08%6.95%
202061.64%$9,9971.50%$10,0401.24%$10,1422.61%$9,9620.57%1.41%2.51%1.70%0.90%2.01%0.10%2.13%6.57%1.61%0.98%3.59%
202074.22%$10,4194.31%$10,4744.01%$10,5493.86%$10,3465.23%3.37%3.55%3.58%2.78%3.00%2.45%10.99%6.13%4.31%3.29%6.71%
202082.89%$10,7213.23%$10,8122.91%$10,8563.34%$10,6923.56%2.76%2.99%2.24%0.97%2.59%2.49%0.38%4.74%4.64%4.68%6.29%
20209-1.52%$10,558-1.78%$10,619-1.63%$10,679-1.87%$10,492-2.22%-1.31%-1.33%-1.34%0.19%-1.43%-2.62%0.74%-2.76%-1.11%-3.04%-2.86%
202010-0.77%$10,477-0.97%$10,516-0.81%$10,592-1.32%$10,354-1.64%-1.17%-0.98%-0.18%0.86%-0.70%-1.82%1.01%0.08%-1.65%-1.20%-0.79%
2020116.72%$11,1826.81%$11,2326.01%$11,2297.94%$11,1768.49%6.06%7.31%4.11%1.33%5.62%8.41%5.17%11.88%13.40%6.16%7.13%
2020123.44%$11,5663.36%$11,6093.08%$11,5753.92%$11,6143.56%2.27%3.28%2.62%2.31%2.60%4.66%3.66%6.51%5.84%2.54%4.95%
202110.62%$11,6380.60%$11,6790.45%$11,627-0.47%$11,5601.02%-0.38%0.00%0.71%0.19%-0.03%0.26%4.67%0.11%1.58%-0.78%2.54%
202122.36%$11,9132.42%$11,9612.22%$11,8851.49%$11,7323.49%1.15%1.40%2.22%1.98%1.18%5.47%-1.63%1.86%4.45%-0.17%6.73%
202131.22%$12,0581.18%$12,1031.00%$12,0041.07%$11,8572.43%1.36%0.75%0.57%-1.29%1.09%2.88%0.00%-1.25%7.27%0.96%-1.82%
202143.23%$12,4473.58%$12,5353.11%$12,3773.57%$12,2803.35%2.67%2.51%3.64%0.09%2.22%3.76%7.93%4.40%3.65%3.29%7.94%
202151.14%$12,5891.19%$12,6841.02%$12,5040.77%$12,3741.71%0.42%1.34%1.32%0.65%0.84%1.31%-3.51%2.83%2.61%1.34%3.44%
202160.84%$12,6950.95%$12,8050.86%$12,6121.33%$12,5390.49%0.58%0.75%1.08%-0.28%0.63%0.61%6.27%1.76%-1.29%1.57%0.91%
202170.81%$12,7981.12%$12,9481.07%$12,7470.87%$12,6480.34%0.84%0.34%1.76%-0.19%0.83%0.83%6.13%-2.76%-0.10%1.95%2.40%
202181.06%$12,9340.94%$13,0700.93%$12,8661.67%$12,8601.01%0.16%1.14%0.21%1.12%1.00%0.90%4.26%2.32%1.14%1.04%0.00%
20219-1.59%$12,728-1.50%$12,874-1.46%$12,679-2.68%$12,515-1.82%-1.24%-2.14%0.00%-0.74%-1.76%-0.22%-4.16%-4.40%-2.69%-3.55%1.90%
2021102.53%$13,0502.70%$13,2222.36%$12,9783.38%$12,9384.00%0.31%2.53%2.43%-0.47%1.97%5.00%5.09%2.02%2.76%2.29%3.45%
202111-2.18%$12,766-2.07%$12,948-1.85%$12,737-1.88%$12,695-1.42%-0.05%-1.57%-1.82%-1.87%-1.25%-5.33%-5.51%-3.81%-2.96%0.08%-5.42%
2021121.98%$13,0182.11%$13,2211.66%$12,9492.33%$12,9912.08%0.24%1.63%2.76%-1.24%1.56%3.10%3.73%1.97%6.30%2.35%4.86%
Portfolio return and risk metrics
MetricProvided PortfolioMaximum Return at 10.00% VolatilityMaximum Sharpe Ratio WeightsFidelity Asset Manager 60%
Arithmetic Mean (monthly)1.15%1.21%1.11%1.17%
Arithmetic Mean (annualized)14.68%15.52%14.21%14.97%
Geometric Mean (monthly)1.10%1.17%1.08%1.10%
Geometric Mean (annualized)14.10%14.98%13.79%13.98%
Standard Deviation (monthly)3.00%2.87%2.55%3.89%
Standard Deviation (annualized)10.40%9.96%8.82%13.47%
Downside Deviation (monthly)1.68%1.50%1.28%2.44%
Maximum Drawdown-10.47%-9.44%-7.71%-14.20%
Stock Market Correlation0.970.970.970.98
Beta(*)0.760.720.631.00
Alpha (annualized)3.13%4.45%4.46%-0.00%
R296.58%94.09%93.91%100.00%
Sharpe Ratio1.291.421.481.02
Sortino Ratio2.282.692.891.62
Treynor Ratio (%)17.8319.9020.6713.79
Active Return0.12%1.00%-0.19%N/A
Tracking Error3.77%4.51%5.38%N/A
Information Ratio0.030.22-0.03N/A
Skewness-0.50-0.31-0.20-0.86
Excess Kurtosis1.300.460.372.58
Historical Value-at-Risk (5%)-2.95%-2.86%-2.34%-3.99%
Analytical Value-at-Risk (5%)-3.69%-3.42%-2.99%-5.22%
Conditional Value-at-Risk (5%)-5.00%-4.38%-3.67%-7.32%
Upside Capture Ratio (%)83.0484.2075.52100.00
Downside Capture Ratio (%)68.1663.9355.88100.00
Safe Withdrawal Rate58.49%59.04%58.36%58.55%
Perpetual Withdrawal Rate8.71%9.41%8.46%8.62%
Positive Periods17 out of 24 (70.83%)17 out of 24 (70.83%)17 out of 24 (70.83%)17 out of 24 (70.83%)
Gain/Loss Ratio1.091.161.220.92
* Fidelity Asset Manager 60% is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndProvided PortfolioMaximum Return at 10.00% VolatilityMaximum Sharpe Ratio WeightsFidelity Asset Manager 60%
COVID-19 StartJan 2020Mar 2020-10.47%-9.44%-7.71%-14.20%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-10.47%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-2.27%
3Nov 2021Nov 20211 month-2.18%
4Sep 2021Sep 20211 monthOct 20211 month2 months-1.59%

Drawdowns for Maximum Return at 10.00% Volatility

Drawdowns for Maximum Return at 10.00% Volatility
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJun 20203 months6 months-9.44%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-2.74%
3Nov 2021Nov 20211 month-2.07%
4Sep 2021Sep 20211 monthOct 20211 month2 months-1.50%

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Maximum Sharpe Ratio Weights
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsMay 20202 months5 months-7.71%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-2.43%
3Nov 2021Nov 20211 month-1.85%
4Sep 2021Sep 20211 monthOct 20211 month2 months-1.46%

Drawdowns for Fidelity Asset Manager 60%

Drawdowns for Fidelity Asset Manager 60%
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-14.20%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-3.16%
3Sep 2021Sep 20211 monthOct 20211 month2 months-2.68%
4Nov 2021Nov 20211 monthDec 20211 month2 months-1.88%
5Jan 2021Jan 20211 monthFeb 20211 month2 months-0.47%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
FMSDXFidelity Multi-Asset Income17.17%11.73%17.80%16.55%-10.94%1.392.690.96
CTFAXColumbia Thermostat A17.15%7.90%29.27%6.16%-2.46%2.0210.280.75
FFFDXFidelity Freedom 202011.31%11.22%13.76%8.91%-12.34%0.991.550.97
FSRRXFidelity Strategic Real Return9.61%11.17%15.81%3.74%-14.54%0.851.110.88
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv5.29%6.09%13.20%-2.07%-4.68%0.831.310.65
TRRIXT. Rowe Price Retirement Balanced9.99%10.00%11.47%8.53%-10.96%0.971.470.97
REMIXStandpoint Multi-Asset Investor17.88%11.07%19.71%16.07%-5.33%1.523.140.64
FSMEXFidelity Select Medical Tech and Devcs27.23%18.80%30.04%24.49%-14.27%1.372.740.78
NWFFXAmerican Funds New World F114.33%19.90%24.81%4.73%-22.18%0.761.170.91
FLPSXFidelity Low-Priced Stock16.67%22.21%24.52%9.32%-28.04%0.791.210.93
CRAAXColumbia Adaptive Risk Allocation A9.91%8.69%10.67%9.16%-7.20%1.101.980.86
EAPCXParametric Commodity Strategy A18.16%17.61%29.60%7.73%-21.44%1.021.580.73

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnExpense Ratio
3 MonthYear To Date1 yearNetGross
Fidelity Multi-Asset Income4.66%17.80%17.80%0.78%0.78%
Columbia Thermostat A0.50%6.16%6.16%0.86%0.90%
Fidelity Freedom 20202.57%8.91%8.91%0.59%0.59%
Fidelity Strategic Real Return3.34%15.81%15.81%0.70%0.85%
T. Rowe Price Multi-Strategy Ttl Ret Inv-3.53%-2.07%-2.07%1.20%1.48%
T. Rowe Price Retirement Balanced2.27%8.53%8.53%0.49%0.49%
Standpoint Multi-Asset Investor2.48%19.71%19.71%1.52%2.19%
Fidelity Select Medical Tech and Devcs3.00%24.49%24.49%0.68%0.68%
American Funds New World F10.07%4.73%4.73%0.95%0.95%
Fidelity Low-Priced Stock6.00%24.52%24.52%0.65%0.65%
Columbia Adaptive Risk Allocation A4.78%10.67%10.67%1.06%1.06%
Parametric Commodity Strategy A2.60%29.60%29.60%0.91%0.91%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameFMSDXCTFAXFFFDXFSRRXTMSRXTRRIXREMIXFSMEXNWFFXFLPSXCRAAXEAPCXProvided PortfolioMaximum Return at 10.00% VolatilityMaximum Sharpe Ratio WeightsFidelity Asset Manager 60%
FMSDXFidelity Multi-Asset Income1.000.760.960.870.670.940.730.720.910.940.850.790.980.990.980.95
CTFAXColumbia Thermostat A0.761.000.720.500.590.720.610.620.690.660.650.380.760.770.790.74
FFFDXFidelity Freedom 20200.960.721.000.930.750.990.580.740.980.940.820.800.980.970.970.99
FSRRXFidelity Strategic Real Return0.870.500.931.000.730.940.430.710.890.890.700.880.910.890.880.92
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv0.670.590.750.731.000.770.240.590.790.640.370.600.740.700.720.74
TRRIXT. Rowe Price Retirement Balanced0.940.720.990.940.771.000.530.760.960.940.790.770.980.960.960.99
REMIXStandpoint Multi-Asset Investor0.730.610.580.430.240.531.000.480.530.620.670.520.670.720.720.58
FSMEXFidelity Select Medical Tech and Devcs0.720.620.740.710.590.760.481.000.710.680.630.560.790.780.790.78
NWFFXAmerican Funds New World F10.910.690.980.890.790.960.530.711.000.890.780.810.950.940.930.96
FLPSXFidelity Low-Priced Stock0.940.660.940.890.640.940.620.680.891.000.750.760.950.930.920.93
CRAAXColumbia Adaptive Risk Allocation A0.850.650.820.700.370.790.670.630.780.751.000.690.830.860.860.82
EAPCXParametric Commodity Strategy A0.790.380.800.880.600.770.520.560.810.760.691.000.820.830.810.77

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameProvided PortfolioMaximum Return at 10.00% VolatilityMaximum Sharpe Ratio Weights
FMSDXFidelity Multi-Asset Income19.91%23.19%25.27%
CTFAXColumbia Thermostat A5.79%9.18%10.67%
FFFDXFidelity Freedom 202010.62%11.61%3.41%
FSRRXFidelity Strategic Real Return9.80%5.47%7.14%
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv4.77%2.23%7.00%
TRRIXT. Rowe Price Retirement Balanced9.40%6.58%11.17%
REMIXStandpoint Multi-Asset Investor6.46%7.74%8.91%
FSMEXFidelity Select Medical Tech and Devcs7.11%7.12%6.98%
NWFFXAmerican Funds New World F19.12%2.46%0.19%
FLPSXFidelity Low-Priced Stock10.10%4.45%0.65%
CRAAXColumbia Adaptive Risk Allocation A2.77%8.15%10.90%
EAPCXParametric Commodity Strategy A4.14%11.84%7.71%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns