Portfolio Optimization

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 Type

Time Period

Start Year

First Month

End Year

Last Month

Optimization Goal

Targeted Annual Return

Targeted Annual Volatility

Targeted Tracking Error

Targeted Monthly CVaR

Robust Optimization

Use Historical Returns

Use Historical Volatility

Use Historical Correlations

Correlation Matrix

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Asset Constraints

Group Constraints

Compared Allocation

Benchmark

Benchmark Ticker

Portfolio Assets

Allocation

Expected Return

Volatility

Min. Weight

Max. Weight

Group

Select asset 1

Enter percentage allocation for asset 1 %

Expected return for asset 1 %

Expected volatility for asset 1 %

Minimum allocation for asset 1 %

Maximum allocation for asset 1 %

Group assignment for asset 1

Select asset 2

Enter percentage allocation for asset 2 %

Expected return for asset 2 %

Expected volatility for asset 2 %

Minimum allocation for asset 2 %

Maximum allocation for asset 2 %

Group assignment for asset 2

Select asset 3

Enter percentage allocation for asset 3 %

Expected return for asset 3 %

Expected volatility for asset 3 %

Minimum allocation for asset 3 %

Maximum allocation for asset 3 %

Group assignment for asset 3

Select asset 4

Enter percentage allocation for asset 4 %

Expected return for asset 4 %

Expected volatility for asset 4 %

Minimum allocation for asset 4 %

Maximum allocation for asset 4 %

Group assignment for asset 4

Select asset 5

Enter percentage allocation for asset 5 %

Expected return for asset 5 %

Expected volatility for asset 5 %

Minimum allocation for asset 5 %

Maximum allocation for asset 5 %

Group assignment for asset 5

Select asset 6

Enter percentage allocation for asset 6 %

Expected return for asset 6 %

Expected volatility for asset 6 %

Minimum allocation for asset 6 %

Maximum allocation for asset 6 %

Group assignment for asset 6

Select asset 7

Enter percentage allocation for asset 7 %

Expected return for asset 7 %

Expected volatility for asset 7 %

Minimum allocation for asset 7 %

Maximum allocation for asset 7 %

Group assignment for asset 7

Select asset 8

Enter percentage allocation for asset 8 %

Expected return for asset 8 %

Expected volatility for asset 8 %

Minimum allocation for asset 8 %

Maximum allocation for asset 8 %

Group assignment for asset 8

Select asset 9

Enter percentage allocation for asset 9 %

Expected return for asset 9 %

Expected volatility for asset 9 %

Minimum allocation for asset 9 %

Maximum allocation for asset 9 %

Group assignment for asset 9

Select asset 10

Enter percentage allocation for asset 10 %

Expected return for asset 10 %

Expected volatility for asset 10 %

Minimum allocation for asset 10 %

Maximum allocation for asset 10 %

Group assignment for asset 10

Select asset 11

Enter percentage allocation for asset 11 %

Expected return for asset 11 %

Expected volatility for asset 11 %

Minimum allocation for asset 11 %

Maximum allocation for asset 11 %

Group assignment for asset 11

Select asset 12

Enter percentage allocation for asset 12 %

Expected return for asset 12 %

Expected volatility for asset 12 %

Minimum allocation for asset 12 %

Maximum allocation for asset 12 %

Group assignment for asset 12

Select asset 13

Enter percentage allocation for asset 13 %

Expected return for asset 13 %

Expected volatility for asset 13 %

Minimum allocation for asset 13 %

Maximum allocation for asset 13 %

Group assignment for asset 13

Select asset 14

Enter percentage allocation for asset 14 %

Expected return for asset 14 %

Expected volatility for asset 14 %

Minimum allocation for asset 14 %

Maximum allocation for asset 14 %

Group assignment for asset 14

Select asset 15

Enter percentage allocation for asset 15 %

Expected return for asset 15 %

Expected volatility for asset 15 %

Minimum allocation for asset 15 %

Maximum allocation for asset 15 %

Group assignment for asset 15

Total

Total allocation for portfolio %

Asset Groups

Min. Weight

Max. Weight

Full name for group A at index 1

Minimum allocation for group A at index 1 %

Maximum allocation for group A at index 1 %

Full name for group B at index 2

Minimum allocation for group B at index 2 %

Maximum allocation for group B at index 2 %

Full name for group C at index 3

Minimum allocation for group C at index 3 %

Maximum allocation for group C at index 3 %

Full name for group D at index 4

Minimum allocation for group D at index 4 %

Maximum allocation for group D at index 4 %

Full name for group E at index 5

Minimum allocation for group E at index 5 %

Maximum allocation for group E at index 5 %

Full name for group F at index 6

Minimum allocation for group F at index 6 %

Maximum allocation for group F at index 6 %

Portfolio Optimization Results (Jan 2020 - Dec 2021) Save

Note: The time period was constrained by the available data for Standpoint Multi-Asset Investor (REMIX) [Jan 2020 - Apr 2022]. You can extend the available time period by using Standpoint Multi-Asset Institutional (BLNDX), which is the oldest share class of the fund.

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
Metric	Provided Portfolio	Maximum Return at 10.00% Volatility	Maximum Sharpe Ratio Weights	Fidelity 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 Return	14.68%	15.52%	14.21%	14.97%
Standard Deviation	10.40%	9.96%	8.82%	13.47%
Best Year	15.66%	16.09%	15.75%	16.14%
Worst Year	12.55%	13.89%	11.87%	11.85%
Maximum Drawdown	-10.47%	-9.44%	-7.71%	-14.20%
Sharpe Ratio (ex-ante)	1.30	1.43	1.49	1.02
Sharpe Ratio (ex-post)	1.29	1.42	1.48	1.02
Sortino Ratio	2.28	2.69	2.89	1.62
Active Return	0.12%	1.00%	-0.19%	N/A
Tracking Error	3.77%	4.51%	5.38%	N/A
Information Ratio	0.03	0.22	-0.03	N/A
Stock Market Correlation	0.97	0.97	0.97	0.98
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return
Name	3 Month	Year To Date	1 year	Full
Provided Portfolio	2.28%	12.55%	12.55%	14.10%
Maximum Return at 10.00% Volatility	2.70%	13.89%	13.89%	14.98%
Maximum Sharpe Ratio Weights	2.13%	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
#	Asset	Expected Return	Standard Deviation	Sharpe Ratio	Min. Weight	Max. Weight
1	Fidelity Multi-Asset Income (FMSDX)	17.93%	11.73%	1.395	0.00%	20.00%
2	Columbia Thermostat A (CTFAX)	17.48%	7.90%	2.022	0.00%	15.00%
3	Fidelity Freedom 2020 (FFFDX)	11.98%	11.22%	0.992	0.00%	15.00%
4	Fidelity Strategic Real Return (FSRRX)	10.29%	11.17%	0.859	0.00%	15.00%
5	T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)	5.48%	6.09%	0.837	0.00%	15.00%
6	T. Rowe Price Retirement Balanced (TRRIX)	10.52%	10.00%	0.980	0.00%	15.00%
7	Standpoint Multi-Asset Investor (REMIX)	18.55%	11.07%	1.526	0.00%	10.00%
8	Fidelity Select Medical Tech and Devcs (FSMEX)	29.32%	18.80%	1.370	0.00%	5.00%
9	American Funds New World F1 (NWFFX)	16.53%	19.90%	0.762	0.00%	5.00%
10	Fidelity Low-Priced Stock (FLPSX)	19.50%	22.21%	0.797	0.00%	5.00%
11	Columbia Adaptive Risk Allocation A (CRAAX)	10.31%	8.69%	1.105	0.00%	15.00%
12	Parametric Commodity Strategy A (EAPCX)	19.94%	17.61%	1.027	0.00%	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
Name	Ticker	FMSDX	CTFAX	FFFDX	FSRRX	TMSRX	TRRIX	REMIX	FSMEX	NWFFX	FLPSX	CRAAX	EAPCX
Fidelity Multi-Asset Income	FMSDX	1.00	0.76	0.96	0.87	0.67	0.94	0.73	0.72	0.91	0.94	0.85	0.79
Columbia Thermostat A	CTFAX	0.76	1.00	0.72	0.50	0.59	0.72	0.61	0.62	0.69	0.66	0.65	0.38
Fidelity Freedom 2020	FFFDX	0.96	0.72	1.00	0.93	0.75	0.99	0.58	0.74	0.98	0.94	0.82	0.80
Fidelity Strategic Real Return	FSRRX	0.87	0.50	0.93	1.00	0.73	0.94	0.43	0.71	0.89	0.89	0.70	0.88
T. Rowe Price Multi-Strategy Ttl Ret Inv	TMSRX	0.67	0.59	0.75	0.73	1.00	0.77	0.24	0.59	0.79	0.64	0.37	0.60
T. Rowe Price Retirement Balanced	TRRIX	0.94	0.72	0.99	0.94	0.77	1.00	0.53	0.76	0.96	0.94	0.79	0.77
Standpoint Multi-Asset Investor	REMIX	0.73	0.61	0.58	0.43	0.24	0.53	1.00	0.48	0.53	0.62	0.67	0.52
Fidelity Select Medical Tech and Devcs	FSMEX	0.72	0.62	0.74	0.71	0.59	0.76	0.48	1.00	0.71	0.68	0.63	0.56
American Funds New World F1	NWFFX	0.91	0.69	0.98	0.89	0.79	0.96	0.53	0.71	1.00	0.89	0.78	0.81
Fidelity Low-Priced Stock	FLPSX	0.94	0.66	0.94	0.89	0.64	0.94	0.62	0.68	0.89	1.00	0.75	0.76
Columbia Adaptive Risk Allocation A	CRAAX	0.85	0.65	0.82	0.70	0.37	0.79	0.67	0.63	0.78	0.75	1.00	0.69
Parametric Commodity Strategy A	EAPCX	0.79	0.38	0.80	0.88	0.60	0.77	0.52	0.56	0.81	0.76	0.69	1.00
Based on monthly returns from Jan 2020 to Dec 2021

Note: You can hover over any of the data points on the chart for more information.

Efficient Frontier Assets
#	FMSDX	CTFAX	FFFDX	FSRRX	TMSRX	TRRIX	REMIX	FSMEX	NWFFX	FLPSX	CRAAX	EAPCX	Expected Return^*	Standard Deviation^*	Sharpe Ratio^*
1	1.32%	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
2	2.01%	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
3	2.70%	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
4	3.39%	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
5	4.08%	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
6	4.77%	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
7	5.45%	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
8	6.11%	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
9	6.78%	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
10	7.43%	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
11	8.06%	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
12	8.64%	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
13	9.21%	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
14	9.76%	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
15	10.30%	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
16	10.79%	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
17	11.26%	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
18	11.71%	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
19	12.13%	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
20	12.52%	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
21	12.85%	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
22	13.14%	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
23	13.40%	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
24	13.65%	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
25	13.90%	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
26	14.14%	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
27	14.36%	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
28	14.57%	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
29	14.76%	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
30	14.97%	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
31	15.19%	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
32	15.41%	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
33	15.64%	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
34	15.88%	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
35	16.12%	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
36	16.34%	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
37	16.55%	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
38	16.75%	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
39	16.93%	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
40	17.10%	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
41	17.27%	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
42	17.42%	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
43	17.55%	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
44	17.69%	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
45	17.83%	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
46	17.96%	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
47	18.10%	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
48	18.24%	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
49	18.37%	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
50	18.50%	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
51	18.63%	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
52	18.73%	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
53	18.83%	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
54	18.94%	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
55	19.03%	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
56	19.11%	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
57	19.19%	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
58	19.25%	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
59	19.31%	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
60	19.37%	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
61	19.41%	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
62	19.46%	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
63	19.51%	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
64	19.56%	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
65	19.60%	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
66	19.62%	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
67	19.66%	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
68	19.69%	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
69	19.71%	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
70	19.74%	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
71	19.77%	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
72	19.79%	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
73	19.80%	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
74	19.82%	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
75	19.84%	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
76	19.85%	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
77	19.86%	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
78	19.87%	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
79	19.88%	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
80	19.89%	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
81	19.90%	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
82	19.91%	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
83	19.92%	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
84	19.93%	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
85	19.94%	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
86	19.95%	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
87	19.96%	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
88	19.96%	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
89	19.97%	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
90	19.98%	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
91	19.99%	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
92	19.99%	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
93	19.99%	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
94	19.99%	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
95	19.99%	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
96	19.99%	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
97	19.99%	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
98	19.99%	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
99	20.00%	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
100	20.00%	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
Year	Inflation	Provided Portfolio		Maximum Return at 10.00% Volatility		Maximum Sharpe Ratio Weights		Fidelity 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)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	Return	Balance	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)
2020	1.36%	15.66%	$11,566	16.09%	$11,609	15.75%	$11,575	16.14%	$11,614	16.55%	29.27%	13.76%	3.74%	13.20%	11.47%	16.07%	30.04%	24.81%	9.32%	9.16%	7.73%
2021	7.04%	12.55%	$13,018	13.89%	$13,221	11.87%	$12,949	11.85%	$12,991	17.80%	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
Year	Month	Provided Portfolio		Maximum Return at 10.00% Volatility		Maximum Sharpe Ratio Weights		Fidelity 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)
Year	Month	Return	Balance	Return	Balance	Return	Balance	Return	Balance	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)
2020	1	-0.76%	$9,924	-0.92%	$9,908	-0.52%	$9,948	0.15%	$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%
2020	2	-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%
2020	3	-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%
2020	4	6.60%	$9,544	6.07%	$9,606	5.73%	$9,758	8.32%	$9,308	6.83%	8.66%	6.19%	4.19%	3.95%	6.18%	5.14%	14.43%	9.74%	12.72%	2.22%	0.72%
2020	5	3.06%	$9,836	2.98%	$9,892	2.67%	$10,018	4.29%	$9,708	3.44%	2.76%	3.23%	2.82%	2.57%	3.01%	-0.39%	4.74%	6.38%	4.09%	1.08%	6.95%
2020	6	1.64%	$9,997	1.50%	$10,040	1.24%	$10,142	2.61%	$9,962	0.57%	1.41%	2.51%	1.70%	0.90%	2.01%	0.10%	2.13%	6.57%	1.61%	0.98%	3.59%
2020	7	4.22%	$10,419	4.31%	$10,474	4.01%	$10,549	3.86%	$10,346	5.23%	3.37%	3.55%	3.58%	2.78%	3.00%	2.45%	10.99%	6.13%	4.31%	3.29%	6.71%
2020	8	2.89%	$10,721	3.23%	$10,812	2.91%	$10,856	3.34%	$10,692	3.56%	2.76%	2.99%	2.24%	0.97%	2.59%	2.49%	0.38%	4.74%	4.64%	4.68%	6.29%
2020	9	-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%
2020	10	-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%
2020	11	6.72%	$11,182	6.81%	$11,232	6.01%	$11,229	7.94%	$11,176	8.49%	6.06%	7.31%	4.11%	1.33%	5.62%	8.41%	5.17%	11.88%	13.40%	6.16%	7.13%
2020	12	3.44%	$11,566	3.36%	$11,609	3.08%	$11,575	3.92%	$11,614	3.56%	2.27%	3.28%	2.62%	2.31%	2.60%	4.66%	3.66%	6.51%	5.84%	2.54%	4.95%
2021	1	0.62%	$11,638	0.60%	$11,679	0.45%	$11,627	-0.47%	$11,560	1.02%	-0.38%	0.00%	0.71%	0.19%	-0.03%	0.26%	4.67%	0.11%	1.58%	-0.78%	2.54%
2021	2	2.36%	$11,913	2.42%	$11,961	2.22%	$11,885	1.49%	$11,732	3.49%	1.15%	1.40%	2.22%	1.98%	1.18%	5.47%	-1.63%	1.86%	4.45%	-0.17%	6.73%
2021	3	1.22%	$12,058	1.18%	$12,103	1.00%	$12,004	1.07%	$11,857	2.43%	1.36%	0.75%	0.57%	-1.29%	1.09%	2.88%	0.00%	-1.25%	7.27%	0.96%	-1.82%
2021	4	3.23%	$12,447	3.58%	$12,535	3.11%	$12,377	3.57%	$12,280	3.35%	2.67%	2.51%	3.64%	0.09%	2.22%	3.76%	7.93%	4.40%	3.65%	3.29%	7.94%
2021	5	1.14%	$12,589	1.19%	$12,684	1.02%	$12,504	0.77%	$12,374	1.71%	0.42%	1.34%	1.32%	0.65%	0.84%	1.31%	-3.51%	2.83%	2.61%	1.34%	3.44%
2021	6	0.84%	$12,695	0.95%	$12,805	0.86%	$12,612	1.33%	$12,539	0.49%	0.58%	0.75%	1.08%	-0.28%	0.63%	0.61%	6.27%	1.76%	-1.29%	1.57%	0.91%
2021	7	0.81%	$12,798	1.12%	$12,948	1.07%	$12,747	0.87%	$12,648	0.34%	0.84%	0.34%	1.76%	-0.19%	0.83%	0.83%	6.13%	-2.76%	-0.10%	1.95%	2.40%
2021	8	1.06%	$12,934	0.94%	$13,070	0.93%	$12,866	1.67%	$12,860	1.01%	0.16%	1.14%	0.21%	1.12%	1.00%	0.90%	4.26%	2.32%	1.14%	1.04%	0.00%
2021	9	-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%
2021	10	2.53%	$13,050	2.70%	$13,222	2.36%	$12,978	3.38%	$12,938	4.00%	0.31%	2.53%	2.43%	-0.47%	1.97%	5.00%	5.09%	2.02%	2.76%	2.29%	3.45%
2021	11	-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%
2021	12	1.98%	$13,018	2.11%	$13,221	1.66%	$12,949	2.33%	$12,991	2.08%	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
Metric	Provided Portfolio	Maximum Return at 10.00% Volatility	Maximum Sharpe Ratio Weights	Fidelity 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 Correlation	0.97	0.97	0.97	0.98
Beta^(*)	0.76	0.72	0.63	1.00
Alpha (annualized)	3.13%	4.45%	4.46%	-0.00%
R²	96.58%	94.09%	93.91%	100.00%
Sharpe Ratio	1.29	1.42	1.48	1.02
Sortino Ratio	2.28	2.69	2.89	1.62
Treynor Ratio (%)	17.83	19.90	20.67	13.79
Active Return	0.12%	1.00%	-0.19%	N/A
Tracking Error	3.77%	4.51%	5.38%	N/A
Information Ratio	0.03	0.22	-0.03	N/A
Skewness	-0.50	-0.31	-0.20	-0.86
Excess Kurtosis	1.30	0.46	0.37	2.58
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 (%)	83.04	84.20	75.52	100.00
Downside Capture Ratio (%)	68.16	63.93	55.88	100.00
Safe Withdrawal Rate	58.49%	59.04%	58.36%	58.55%
Perpetual Withdrawal Rate	8.71%	9.41%	8.46%	8.62%
Positive Periods	17 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 Ratio	1.09	1.16	1.22	0.92
^* 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 Period	Start	End	Provided Portfolio	Maximum Return at 10.00% Volatility	Maximum Sharpe Ratio Weights	Fidelity Asset Manager 60%
COVID-19 Start	Jan 2020	Mar 2020	-10.47%	-9.44%	-7.71%	-14.20%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months	Jul 2020	4 months	7 months	-10.47%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-2.27%
3	Nov 2021	Nov 2021	1 month				-2.18%
4	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-1.59%

Drawdowns for Maximum Return at 10.00% Volatility

Drawdowns for Maximum Return at 10.00% Volatility
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months	Jun 2020	3 months	6 months	-9.44%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-2.74%
3	Nov 2021	Nov 2021	1 month				-2.07%
4	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-1.50%

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Maximum Sharpe Ratio Weights
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months	May 2020	2 months	5 months	-7.71%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-2.43%
3	Nov 2021	Nov 2021	1 month				-1.85%
4	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-1.46%

Drawdowns for Fidelity Asset Manager 60%

Drawdowns for Fidelity Asset Manager 60%
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2020	Mar 2020	2 months	Jul 2020	4 months	6 months	-14.20%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-3.16%
3	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-2.68%
4	Nov 2021	Nov 2021	1 month	Dec 2021	1 month	2 months	-1.88%
5	Jan 2021	Jan 2021	1 month	Feb 2021	1 month	2 months	-0.47%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
FMSDX	Fidelity Multi-Asset Income	17.17%	11.73%	17.80%	16.55%	-10.94%	1.39	2.69	0.96
CTFAX	Columbia Thermostat A	17.15%	7.90%	29.27%	6.16%	-2.46%	2.02	10.28	0.75
FFFDX	Fidelity Freedom 2020	11.31%	11.22%	13.76%	8.91%	-12.34%	0.99	1.55	0.97
FSRRX	Fidelity Strategic Real Return	9.61%	11.17%	15.81%	3.74%	-14.54%	0.85	1.11	0.88
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	5.29%	6.09%	13.20%	-2.07%	-4.68%	0.83	1.31	0.65
TRRIX	T. Rowe Price Retirement Balanced	9.99%	10.00%	11.47%	8.53%	-10.96%	0.97	1.47	0.97
REMIX	Standpoint Multi-Asset Investor	17.88%	11.07%	19.71%	16.07%	-5.33%	1.52	3.14	0.64
FSMEX	Fidelity Select Medical Tech and Devcs	27.23%	18.80%	30.04%	24.49%	-14.27%	1.37	2.74	0.78
NWFFX	American Funds New World F1	14.33%	19.90%	24.81%	4.73%	-22.18%	0.76	1.17	0.91
FLPSX	Fidelity Low-Priced Stock	16.67%	22.21%	24.52%	9.32%	-28.04%	0.79	1.21	0.93
CRAAX	Columbia Adaptive Risk Allocation A	9.91%	8.69%	10.67%	9.16%	-7.20%	1.10	1.98	0.86
EAPCX	Parametric Commodity Strategy A	18.16%	17.61%	29.60%	7.73%	-21.44%	1.02	1.58	0.73

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Expense Ratio
Name	3 Month	Year To Date	1 year	Net	Gross
Fidelity Multi-Asset Income	4.66%	17.80%	17.80%	0.78%	0.78%
Columbia Thermostat A	0.50%	6.16%	6.16%	0.86%	0.90%
Fidelity Freedom 2020	2.57%	8.91%	8.91%	0.59%	0.59%
Fidelity Strategic Real Return	3.34%	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 Balanced	2.27%	8.53%	8.53%	0.49%	0.49%
Standpoint Multi-Asset Investor	2.48%	19.71%	19.71%	1.52%	2.19%
Fidelity Select Medical Tech and Devcs	3.00%	24.49%	24.49%	0.68%	0.68%
American Funds New World F1	0.07%	4.73%	4.73%	0.95%	0.95%
Fidelity Low-Priced Stock	6.00%	24.52%	24.52%	0.65%	0.65%
Columbia Adaptive Risk Allocation A	4.78%	10.67%	10.67%	1.06%	1.06%
Parametric Commodity Strategy A	2.60%	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
Ticker	Name	FMSDX	CTFAX	FFFDX	FSRRX	TMSRX	TRRIX	REMIX	FSMEX	NWFFX	FLPSX	CRAAX	EAPCX	Provided Portfolio	Maximum Return at 10.00% Volatility	Maximum Sharpe Ratio Weights	Fidelity Asset Manager 60%
FMSDX	Fidelity Multi-Asset Income	1.00	0.76	0.96	0.87	0.67	0.94	0.73	0.72	0.91	0.94	0.85	0.79	0.98	0.99	0.98	0.95
CTFAX	Columbia Thermostat A	0.76	1.00	0.72	0.50	0.59	0.72	0.61	0.62	0.69	0.66	0.65	0.38	0.76	0.77	0.79	0.74
FFFDX	Fidelity Freedom 2020	0.96	0.72	1.00	0.93	0.75	0.99	0.58	0.74	0.98	0.94	0.82	0.80	0.98	0.97	0.97	0.99
FSRRX	Fidelity Strategic Real Return	0.87	0.50	0.93	1.00	0.73	0.94	0.43	0.71	0.89	0.89	0.70	0.88	0.91	0.89	0.88	0.92
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	0.67	0.59	0.75	0.73	1.00	0.77	0.24	0.59	0.79	0.64	0.37	0.60	0.74	0.70	0.72	0.74
TRRIX	T. Rowe Price Retirement Balanced	0.94	0.72	0.99	0.94	0.77	1.00	0.53	0.76	0.96	0.94	0.79	0.77	0.98	0.96	0.96	0.99
REMIX	Standpoint Multi-Asset Investor	0.73	0.61	0.58	0.43	0.24	0.53	1.00	0.48	0.53	0.62	0.67	0.52	0.67	0.72	0.72	0.58
FSMEX	Fidelity Select Medical Tech and Devcs	0.72	0.62	0.74	0.71	0.59	0.76	0.48	1.00	0.71	0.68	0.63	0.56	0.79	0.78	0.79	0.78
NWFFX	American Funds New World F1	0.91	0.69	0.98	0.89	0.79	0.96	0.53	0.71	1.00	0.89	0.78	0.81	0.95	0.94	0.93	0.96
FLPSX	Fidelity Low-Priced Stock	0.94	0.66	0.94	0.89	0.64	0.94	0.62	0.68	0.89	1.00	0.75	0.76	0.95	0.93	0.92	0.93
CRAAX	Columbia Adaptive Risk Allocation A	0.85	0.65	0.82	0.70	0.37	0.79	0.67	0.63	0.78	0.75	1.00	0.69	0.83	0.86	0.86	0.82
EAPCX	Parametric Commodity Strategy A	0.79	0.38	0.80	0.88	0.60	0.77	0.52	0.56	0.81	0.76	0.69	1.00	0.82	0.83	0.81	0.77

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Provided Portfolio	Maximum Return at 10.00% Volatility	Maximum Sharpe Ratio Weights
FMSDX	Fidelity Multi-Asset Income	19.91%	23.19%	25.27%
CTFAX	Columbia Thermostat A	5.79%	9.18%	10.67%
FFFDX	Fidelity Freedom 2020	10.62%	11.61%	3.41%
FSRRX	Fidelity Strategic Real Return	9.80%	5.47%	7.14%
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	4.77%	2.23%	7.00%
TRRIX	T. Rowe Price Retirement Balanced	9.40%	6.58%	11.17%
REMIX	Standpoint Multi-Asset Investor	6.46%	7.74%	8.91%
FSMEX	Fidelity Select Medical Tech and Devcs	7.11%	7.12%	6.98%
NWFFX	American Funds New World F1	9.12%	2.46%	0.19%
FLPSX	Fidelity Low-Priced Stock	10.10%	4.45%	0.65%
CRAAX	Columbia Adaptive Risk Allocation A	2.77%	8.15%	10.90%
EAPCX	Parametric Commodity Strategy A	4.14%	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.