Portfolio Optimization

Portfolio Optimization Configuration

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Asset Groups
Min. Weight
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Portfolio Optimization Results (Oct 2010 - Dec 2020) Save

Portfolio optimization results with the goal to maximize return subject to 8.20% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 6.30% to 10.54%. Refer to the efficient frontier section for additional details.

Provided Portfolio

Provided Portfolio
Ticker Name Allocation
VFISX Vanguard Short-Term Treasury Inv 13.00%
VBINX Vanguard Balanced Index Inv 13.00%
VFINX Vanguard 500 Index Investor 13.00%
COTZX Columbia Thermostat Inst 13.00%
HSTRX Hussman Strategic Total Return 12.00%
GAVAX KL Allocation Advisor 12.00%
LSWWX Loomis Sayles Global Allocation Y 12.00%
FPACX FPA Crescent 12.00%
Save portfolio »

Maximum Return at 8.20% Volatility

Maximum Return at 8.20% Volatility
Ticker Name Allocation
VBINX Vanguard Balanced Index Inv 20.00%
VFINX Vanguard 500 Index Investor 20.00%
COTZX Columbia Thermostat Inst 20.00%
HSTRX Hussman Strategic Total Return 4.51%
GAVAX KL Allocation Advisor 20.00%
LSWWX Loomis Sayles Global Allocation Y 15.49%
Save portfolio »

Maximum Sharpe Ratio Weights

Maximum Sharpe Ratio Weights
Ticker Name Allocation
VFISX Vanguard Short-Term Treasury Inv 20.00%
VBINX Vanguard Balanced Index Inv 20.00%
VFINX Vanguard 500 Index Investor 1.13%
COTZX Columbia Thermostat Inst 20.00%
HSTRX Hussman Strategic Total Return 18.87%
GAVAX KL Allocation Advisor 20.00%
Save portfolio »

Portfolio Performance Summary

Performance Summary

Portfolio performance statistics
MetricProvided PortfolioMaximum Return at 8.20% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
Start Balance$10,000$10,000$10,000$10,000
End Balance$22,502$26,921$19,100$27,206
Annualized Return (CAGR)8.23%10.14%6.52%10.26%
Expected Return8.16%10.03%6.43%10.15%
Standard Deviation6.77%8.18%4.47%8.42%
Best Year17.80%20.88%16.43%21.67%
Worst Year-3.52%-4.64%-2.59%-2.97%
Maximum Drawdown -8.31% -9.68% -3.86% -12.34%
Sharpe Ratio (ex-ante)1.121.161.311.14
Sharpe Ratio (ex-post)1.121.151.301.13
Sortino Ratio1.992.072.761.92
Active Return-2.02%-0.11%-3.74%N/A
Tracking Error2.16%1.65%4.86%N/A
Information Ratio-0.94-0.07-0.77N/A
Stock Market Correlation0.970.970.850.99
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

   

Annual Returns

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Provided Portfolio7.45%16.37%16.37%9.77%9.33%7.96%8.23%9.11%7.44%
Maximum Return at 8.20% Volatility7.93%20.14%20.14%11.47%11.04%9.77%10.14%10.62%8.74%
Maximum Sharpe Ratio Weights4.45%16.43%16.43%8.67%7.62%6.40%6.52%5.69%4.78%
Vanguard Balanced Index Inv8.94%16.26%16.26%11.13%11.15%9.84%10.26%11.91%9.66%
Trailing return and volatility are as of last full calendar month ending December 2020
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 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.
  • The annual results for 2010 are based on full calendar months from October to December.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Short-Term Treasury Inv (VFISX)1.33%1.09%0.6890.00%20.00%
2Vanguard Balanced Index Inv (VBINX)10.15%8.42%1.1380.00%20.00%
3Vanguard 500 Index Investor (VFINX)14.52%13.52%1.0320.00%20.00%
4Columbia Thermostat Inst (COTZX)8.94%6.06%1.3800.00%20.00%
5Hussman Strategic Total Return (HSTRX)3.14%5.32%0.4810.00%20.00%
6KL Allocation Advisor (GAVAX)7.93%7.07%1.0390.00%20.00%
7Loomis Sayles Global Allocation Y (LSWWX)10.19%11.08%0.8670.00%20.00%
8FPA Crescent (FPACX)8.91%11.04%0.7550.00%20.00%
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
NameTickerVFISXVBINXVFINXCOTZXHSTRXGAVAXLSWWXFPACX
Vanguard Short-Term Treasury InvVFISX1.00-0.19-0.290.120.490.07-0.15-0.36
Vanguard Balanced Index InvVBINX-0.191.000.990.820.190.720.940.92
Vanguard 500 Index InvestorVFINX-0.290.991.000.780.100.690.930.93
Columbia Thermostat InstCOTZX0.120.820.781.000.380.650.830.70
Hussman Strategic Total ReturnHSTRX0.490.190.100.381.000.260.190.06
KL Allocation AdvisorGAVAX0.070.720.690.650.261.000.720.56
Loomis Sayles Global Allocation YLSWWX-0.150.940.930.830.190.721.000.87
FPA CrescentFPACX-0.360.920.930.700.060.560.871.00
Based on monthly returns from Oct 2010 to Dec 2020

Efficient Frontiers

Efficient Frontier Portfolios

Efficient Frontier Assets
#VFISXVBINXVFINXCOTZXHSTRXGAVAXLSWWXFPACXExpected Return *Standard Deviation *Sharpe Ratio *
120.00%20.00%0.00%20.00%20.00%20.00%0.00%0.00%6.30%4.37%1.309
220.00%20.00%0.38%20.00%19.62%20.00%0.00%0.00%6.34%4.40%1.309
320.00%20.00%0.75%20.00%19.25%20.00%0.00%0.00%6.39%4.44%1.309
420.00%20.00%1.13%20.00%18.87%20.00%0.00%0.00%6.43%4.47%1.309
520.00%20.00%1.51%20.00%18.49%20.00%0.00%0.00%6.47%4.50%1.309
620.00%20.00%1.88%20.00%18.12%20.00%0.00%0.00%6.51%4.53%1.309
720.00%20.00%2.26%20.00%17.74%20.00%0.00%0.00%6.56%4.57%1.309
820.00%20.00%2.64%20.00%17.36%20.00%0.00%0.00%6.60%4.60%1.308
920.00%20.00%3.01%20.00%16.99%20.00%0.00%0.00%6.64%4.64%1.308
1020.00%20.00%3.39%20.00%16.61%20.00%0.00%0.00%6.69%4.67%1.307
1120.00%20.00%3.77%20.00%16.23%20.00%0.00%0.00%6.73%4.71%1.307
1220.00%20.00%4.14%20.00%15.86%20.00%0.00%0.00%6.77%4.74%1.306
1320.00%20.00%4.52%20.00%15.48%20.00%0.00%0.00%6.81%4.78%1.305
1420.00%20.00%4.90%20.00%15.10%20.00%0.00%0.00%6.86%4.81%1.304
1520.00%20.00%5.27%20.00%14.73%20.00%0.00%0.00%6.90%4.85%1.303
1620.00%20.00%5.65%20.00%14.35%20.00%0.00%0.00%6.94%4.89%1.302
1720.00%20.00%6.03%20.00%13.97%20.00%0.00%0.00%6.99%4.92%1.301
1820.00%20.00%6.40%20.00%13.60%20.00%0.00%0.00%7.03%4.96%1.300
1920.00%20.00%6.78%20.00%13.22%20.00%0.00%0.00%7.07%5.00%1.299
2020.00%20.00%7.16%20.00%12.84%20.00%0.00%0.00%7.11%5.04%1.298
2120.00%20.00%7.53%20.00%12.47%20.00%0.00%0.00%7.16%5.07%1.296
2220.00%20.00%7.91%20.00%12.09%20.00%0.00%0.00%7.20%5.11%1.295
2320.00%20.00%8.29%20.00%11.71%20.00%0.00%0.00%7.24%5.15%1.294
2420.00%20.00%8.66%20.00%11.34%20.00%0.00%0.00%7.29%5.19%1.292
2520.00%20.00%9.04%20.00%10.96%20.00%0.00%0.00%7.33%5.23%1.291
2620.00%20.00%9.42%20.00%10.58%20.00%0.00%0.00%7.37%5.27%1.289
2720.00%20.00%9.79%20.00%10.21%20.00%0.00%0.00%7.41%5.31%1.288
2820.00%20.00%10.17%20.00%9.83%20.00%0.00%0.00%7.46%5.35%1.286
2920.00%20.00%10.55%20.00%9.45%20.00%0.00%0.00%7.50%5.39%1.285
3020.00%20.00%10.92%20.00%9.08%20.00%0.00%0.00%7.54%5.43%1.283
3120.00%20.00%11.30%20.00%8.70%20.00%0.00%0.00%7.59%5.47%1.281
3220.00%20.00%11.68%20.00%8.32%20.00%0.00%0.00%7.63%5.51%1.280
3320.00%20.00%12.05%20.00%7.95%20.00%0.00%0.00%7.67%5.55%1.278
3420.00%20.00%12.43%20.00%7.57%20.00%0.00%0.00%7.71%5.59%1.276
3519.92%20.00%12.79%20.00%7.28%20.00%0.00%0.00%7.76%5.63%1.274
3619.41%20.00%13.09%20.00%7.50%20.00%0.00%0.00%7.80%5.67%1.273
3718.90%20.00%13.38%20.00%7.71%20.00%0.00%0.00%7.84%5.72%1.271
3818.39%20.00%13.68%20.00%7.93%20.00%0.00%0.00%7.89%5.76%1.269
3917.88%20.00%13.98%20.00%8.15%20.00%0.00%0.00%7.93%5.80%1.268
4017.37%20.00%14.27%20.00%8.36%20.00%0.00%0.00%7.97%5.84%1.266
4116.86%20.00%14.57%20.00%8.58%20.00%0.00%0.00%8.01%5.88%1.264
4216.35%20.00%14.86%20.00%8.79%20.00%0.00%0.00%8.06%5.92%1.263
4315.83%20.00%15.16%20.00%9.01%20.00%0.00%0.00%8.10%5.96%1.261
4415.32%20.00%15.45%20.00%9.22%20.00%0.00%0.00%8.14%6.01%1.259
4514.81%20.00%15.75%20.00%9.44%20.00%0.00%0.00%8.19%6.05%1.258
4614.30%20.00%16.04%20.00%9.65%20.00%0.00%0.00%8.23%6.09%1.256
4713.79%20.00%16.34%20.00%9.87%20.00%0.00%0.00%8.27%6.13%1.255
4813.28%20.00%16.64%20.00%10.09%20.00%0.00%0.00%8.31%6.17%1.253
4912.77%20.00%16.93%20.00%10.30%20.00%0.00%0.00%8.36%6.21%1.252
5012.26%20.00%17.23%20.00%10.52%20.00%0.00%0.00%8.40%6.26%1.250
5111.75%20.00%17.52%20.00%10.73%20.00%0.00%0.00%8.44%6.30%1.249
5211.23%20.00%17.82%20.00%10.95%20.00%0.00%0.00%8.49%6.34%1.247
5310.72%20.00%18.11%20.00%11.16%20.00%0.00%0.00%8.53%6.38%1.246
5410.21%20.00%18.41%20.00%11.38%20.00%0.00%0.00%8.57%6.42%1.244
559.70%20.00%18.70%20.00%11.60%20.00%0.00%0.00%8.61%6.47%1.243
569.19%20.00%19.00%20.00%11.81%20.00%0.00%0.00%8.66%6.51%1.241
578.68%20.00%19.30%20.00%12.03%20.00%0.00%0.00%8.70%6.55%1.240
588.17%20.00%19.59%20.00%12.24%20.00%0.00%0.00%8.74%6.59%1.239
597.66%20.00%19.89%20.00%12.46%20.00%0.00%0.00%8.79%6.63%1.237
606.00%20.00%20.00%20.00%14.00%20.00%0.00%0.00%8.83%6.68%1.236
613.63%20.00%20.00%20.00%16.37%20.00%0.00%0.00%8.87%6.72%1.234
621.25%20.00%20.00%20.00%18.75%20.00%0.00%0.00%8.91%6.77%1.232
630.00%20.00%20.00%20.00%19.71%20.00%0.29%0.00%8.96%6.82%1.230
640.00%20.00%20.00%20.00%19.11%20.00%0.89%0.00%9.00%6.87%1.227
650.00%20.00%20.00%20.00%18.50%20.00%1.50%0.00%9.04%6.92%1.224
660.00%20.00%20.00%20.00%17.89%20.00%2.11%0.00%9.09%6.97%1.221
670.00%20.00%20.00%20.00%17.28%20.00%2.72%0.00%9.13%7.02%1.218
680.00%20.00%20.00%20.00%16.67%20.00%3.33%0.00%9.17%7.07%1.215
690.00%20.00%20.00%20.00%16.06%20.00%3.94%0.00%9.22%7.13%1.212
700.00%20.00%20.00%20.00%15.46%20.00%4.54%0.00%9.26%7.18%1.209
710.00%20.00%20.00%20.00%14.85%20.00%5.15%0.00%9.30%7.23%1.206
720.00%20.00%20.00%20.00%14.24%20.00%5.76%0.00%9.34%7.29%1.203
730.00%20.00%20.00%20.00%13.63%20.00%6.37%0.00%9.39%7.34%1.200
740.00%20.00%20.00%20.00%13.02%20.00%6.98%0.00%9.43%7.40%1.197
750.00%20.00%20.00%20.00%12.42%20.00%7.58%0.00%9.47%7.45%1.194
760.00%20.00%20.00%20.00%11.81%20.00%8.19%0.00%9.52%7.50%1.191
770.00%20.00%20.00%20.00%11.20%20.00%8.80%0.00%9.56%7.56%1.188
780.00%20.00%20.00%20.00%10.59%20.00%9.41%0.00%9.60%7.61%1.185
790.00%20.00%20.00%20.00%9.98%20.00%10.02%0.00%9.64%7.67%1.182
800.00%20.00%20.00%20.00%9.38%20.00%10.62%0.00%9.69%7.72%1.179
810.00%20.00%20.00%20.00%8.77%20.00%11.23%0.00%9.73%7.78%1.176
820.00%20.00%20.00%20.00%8.16%20.00%11.84%0.00%9.77%7.84%1.173
830.00%20.00%20.00%20.00%7.55%20.00%12.45%0.00%9.82%7.89%1.170
840.00%20.00%20.00%20.00%6.94%20.00%13.06%0.00%9.86%7.95%1.167
850.00%20.00%20.00%20.00%6.34%20.00%13.66%0.00%9.90%8.01%1.165
860.00%20.00%20.00%20.00%5.73%20.00%14.27%0.00%9.94%8.06%1.162
870.00%20.00%20.00%20.00%5.12%20.00%14.88%0.00%9.99%8.12%1.159
880.00%20.00%20.00%20.00%4.51%20.00%15.49%0.00%10.03%8.18%1.156
890.00%20.00%20.00%20.00%3.90%20.00%16.10%0.00%10.07%8.23%1.153
900.00%20.00%20.00%20.00%3.30%20.00%16.70%0.00%10.12%8.29%1.150
910.00%20.00%20.00%20.00%2.69%20.00%17.31%0.00%10.16%8.35%1.147
920.00%20.00%20.00%20.00%2.08%20.00%17.92%0.00%10.20%8.41%1.145
930.00%20.00%20.00%20.00%1.47%20.00%18.53%0.00%10.24%8.46%1.142
940.00%20.00%20.00%20.00%0.86%20.00%19.14%0.00%10.29%8.52%1.139
950.00%20.00%20.00%20.00%0.26%20.00%19.74%0.00%10.33%8.58%1.136
960.00%20.00%20.00%20.00%0.00%17.47%20.00%2.53%10.37%8.71%1.124
970.00%20.00%20.00%20.00%0.00%13.10%20.00%6.90%10.42%8.91%1.104
980.00%20.00%20.00%20.00%0.00%8.74%20.00%11.26%10.46%9.12%1.083
990.00%20.00%20.00%20.00%0.00%4.37%20.00%15.63%10.50%9.34%1.062
1000.00%20.00%20.00%20.00%0.00%0.00%20.00%20.00%10.54%9.58%1.041
*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

Annual returns for the configured portfolios
YearInflationProvided PortfolioMaximum Return at 8.20% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index InvVanguard Short-Term Treasury Inv (VFISX)Vanguard Balanced Index Inv (VBINX)Vanguard 500 Index Investor (VFINX)Columbia Thermostat Inst (COTZX)Hussman Strategic Total Return (HSTRX)KL Allocation Advisor (GAVAX)Loomis Sayles Global Allocation Y (LSWWX)FPA Crescent (FPACX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20100.34%4.65%$10,4655.97%$10,5972.76%$10,2766.42%$10,642-0.52%6.42%10.71%7.37%-0.36%0.40%6.71%6.35%
20112.96%3.50%$10,8323.80%$11,0004.56%$10,7444.14%$11,0832.26%4.14%1.97%4.85%4.00%7.17%-0.73%3.02%
20121.74%9.77%$11,89012.58%$12,3847.43%$11,54311.33%$12,3380.69%11.33%15.82%13.69%1.14%9.80%15.49%10.33%
20131.50%12.98%$13,43417.45%$14,5457.50%$12,40917.91%$14,548-0.10%17.91%32.18%9.30%-8.37%18.71%16.25%21.95%
20140.76%6.21%$14,2687.62%$15,6545.23%$13,0589.84%$15,9810.71%9.84%13.51%5.57%3.78%5.64%3.53%6.64%
20150.73%0.97%$14,4061.86%$15,9451.32%$13,2310.37%$16,0390.45%0.37%1.25%0.33%-1.01%5.91%1.69%-2.06%
20162.07%6.31%$15,3166.29%$16,9484.71%$13,8548.63%$17,4240.99%8.63%11.82%4.72%8.03%0.79%4.67%10.25%
20172.11%11.09%$17,01414.70%$19,4397.42%$14,88213.75%$19,8210.39%13.75%21.67%5.52%1.21%15.88%22.11%10.39%
20181.91%-3.52%$16,416-4.64%$18,537-2.59%$14,497-2.97%$19,2331.35%-2.97%-4.52%0.12%1.48%-12.51%-5.04%-7.43%
20192.29%17.80%$19,33720.88%$22,40813.16%$16,40521.67%$23,4013.59%21.67%31.33%15.14%11.42%13.24%26.80%20.02%
20201.36%16.37%$22,50220.14%$26,92116.43%$19,10016.26%$27,2063.96%16.26%18.25%29.63%11.45%20.74%15.38%12.11%
Annual return for 2010 is from 10/01/2010 to 12/31/2010

Monthly Returns

Monthly returns for the configured portfolios
YearMonthProvided PortfolioMaximum Return at 8.20% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index InvVanguard Short-Term Treasury Inv (VFISX)Vanguard Balanced Index Inv (VBINX)Vanguard 500 Index Investor (VFINX)Columbia Thermostat Inst (COTZX)Hussman Strategic Total Return (HSTRX)KL Allocation Advisor (GAVAX)Loomis Sayles Global Allocation Y (LSWWX)FPA Crescent (FPACX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
2010102.04%$10,2042.50%$10,2501.35%$10,1352.52%$10,2520.26%2.52%3.79%3.00%0.47%0.30%3.59%2.29%
201011-0.15%$10,189-0.03%$10,247-0.15%$10,1200.14%$10,267-0.30%0.14%0.00%0.08%-0.17%-0.50%0.20%-0.68%
2010122.71%$10,4653.42%$10,5971.54%$10,2763.66%$10,642-0.48%3.66%6.67%4.15%-0.65%0.60%2.81%4.69%
201110.86%$10,5561.05%$10,7080.37%$10,3141.36%$10,7870.25%1.36%2.36%0.80%-0.41%-0.30%1.42%1.31%
201121.72%$10,7372.20%$10,9441.30%$10,4482.26%$11,031-0.22%2.26%3.42%1.75%0.66%1.90%1.97%1.99%
201130.40%$10,7800.40%$10,9870.09%$10,4580.23%$11,056-0.13%0.23%0.03%0.55%-0.08%-0.10%1.69%1.08%
201142.36%$11,0342.78%$11,2921.67%$10,6322.35%$11,3160.71%2.35%2.95%2.65%0.74%1.77%5.16%2.61%
20115-0.25%$11,006-0.39%$11,2480.28%$10,663-0.18%$11,2960.52%-0.18%-1.15%-0.38%0.90%0.68%-1.46%-0.94%
20116-0.83%$10,916-0.90%$11,146-0.65%$10,594-1.21%$11,159-0.04%-1.21%-1.67%-0.77%-0.98%-0.19%-0.59%-1.13%
20117-0.24%$10,889-0.46%$11,0960.15%$10,610-0.72%$11,0790.52%-0.72%-2.05%0.08%1.48%-0.38%0.60%-1.37%
20118-2.06%$10,664-2.90%$10,774-0.49%$10,559-2.81%$10,7670.52%-2.81%-5.45%-0.70%2.67%-1.64%-5.81%-3.27%
20119-4.48%$10,186-5.34%$10,199-2.74%$10,269-4.39%$10,294-0.22%-4.39%-7.04%-6.34%-1.68%-0.78%-10.00%-5.38%
2011106.12%$10,8107.55%$10,9694.19%$10,7006.98%$11,0120.15%6.98%10.91%7.27%1.28%4.74%9.78%7.75%
2011110.02%$10,812-0.16%$10,9520.28%$10,730-0.28%$10,982-0.04%-0.28%-0.23%0.08%0.97%0.75%-1.72%0.66%
2011120.19%$10,8320.44%$11,0000.13%$10,7440.92%$11,0830.21%0.92%1.02%0.27%-1.52%0.65%-0.41%0.24%
201213.31%$11,1914.18%$11,4602.80%$11,0453.40%$11,4590.23%3.40%4.46%4.26%1.46%4.46%5.16%3.14%
201222.24%$11,4423.01%$11,8051.30%$11,1892.49%$11,744-0.14%2.49%4.31%2.95%-0.56%1.51%5.03%2.28%
201231.13%$11,5711.72%$12,0080.77%$11,2751.62%$11,934-0.13%1.62%3.28%0.88%-1.06%2.28%1.02%1.10%
201240.00%$11,571-0.10%$11,9960.17%$11,2940.04%$11,9390.32%0.04%-0.64%0.44%0.73%-0.60%0.12%-0.42%
20125-3.36%$11,183-4.15%$11,498-1.97%$11,072-3.34%$11,5400.06%-3.34%-6.02%-3.70%0.24%-2.76%-6.46%-4.96%
201262.04%$11,4112.63%$11,8011.44%$11,2312.28%$11,803-0.13%2.28%4.11%1.94%0.15%2.75%2.66%2.59%
201270.81%$11,5031.08%$11,9280.59%$11,2971.17%$11,9420.29%1.17%1.37%1.18%-0.24%0.43%1.67%0.51%
201281.63%$11,6911.84%$12,1481.22%$11,4351.55%$12,1270.11%1.55%2.24%1.98%0.73%1.63%2.12%2.75%
201291.46%$11,8621.91%$12,3791.22%$11,5741.58%$12,3190.03%1.58%2.58%1.65%0.62%2.11%1.90%1.23%
201210-0.89%$11,757-1.15%$12,237-0.74%$11,489-1.01%$12,195-0.16%-1.01%-1.86%-0.35%-0.16%-1.90%-0.76%-0.90%
2012110.50%$11,8160.61%$12,3120.39%$11,5340.51%$12,2570.12%0.51%0.56%0.92%-0.42%0.76%0.53%1.05%
2012120.63%$11,8900.59%$12,3840.08%$11,5430.66%$12,3380.09%0.66%0.90%0.95%-0.33%-1.05%1.99%1.77%
201312.45%$12,1823.20%$12,7811.62%$11,7303.03%$12,712-0.06%3.03%5.18%2.26%-1.40%3.91%2.51%4.16%
201320.52%$12,2450.75%$12,8770.43%$11,7810.98%$12,8370.12%0.98%1.34%0.48%-0.67%1.15%-0.06%0.75%
201331.95%$12,4842.52%$13,2021.65%$11,9752.36%$13,1400.03%2.36%3.74%1.31%0.55%3.80%1.65%2.17%
201340.83%$12,5871.36%$13,3820.37%$12,0191.39%$13,3220.12%1.39%1.91%1.29%-2.94%1.71%1.51%1.52%
201350.34%$12,6300.46%$13,444-0.37%$11,9750.74%$13,421-0.34%0.74%2.33%0.27%-2.17%-0.61%0.11%2.28%
20136-1.22%$12,476-1.38%$13,259-0.94%$11,862-1.41%$13,231-0.26%-1.41%-1.35%-1.48%-1.48%-0.08%-2.87%-0.86%
201372.56%$12,7963.25%$13,6891.73%$12,0673.33%$13,6710.12%3.33%5.07%2.11%0.27%2.55%4.03%2.97%
20138-1.56%$12,596-2.02%$13,412-1.33%$11,907-1.95%$13,404-0.16%-1.95%-2.91%-0.73%-0.81%-2.86%-1.91%-1.19%
201392.09%$12,8592.53%$13,7521.57%$12,0942.56%$13,7480.40%2.56%3.12%1.54%1.06%2.17%3.89%2.00%
2013102.50%$13,1813.03%$14,1691.86%$12,3192.83%$14,1370.13%2.83%4.59%1.45%1.62%3.11%3.64%2.74%
2013111.10%$13,3261.48%$14,3790.48%$12,3781.60%$14,3640.13%1.60%3.03%0.26%-1.24%1.40%1.81%1.76%
2013120.81%$13,4341.16%$14,5450.25%$12,4091.29%$14,548-0.33%1.29%2.51%0.23%-1.40%1.23%1.09%1.83%
20141-1.12%$13,283-1.75%$14,290-0.15%$12,391-1.24%$14,3690.32%-1.24%-3.47%0.28%2.28%-2.04%-3.63%-1.52%
201422.78%$13,6523.57%$14,8002.10%$12,6513.02%$14,8020.03%3.02%4.56%1.66%0.89%4.71%4.78%2.74%
20143-0.04%$13,647-0.12%$14,782-0.23%$12,6220.21%$14,833-0.21%0.21%0.82%0.00%-0.26%-0.96%-0.82%0.84%
201440.22%$13,6770.19%$14,8100.15%$12,6410.36%$14,8860.23%0.36%0.72%0.34%0.80%-0.97%0.41%-0.18%
201451.40%$13,8691.66%$15,0561.08%$12,7771.71%$15,1410.13%1.71%2.33%1.02%0.79%1.65%1.80%1.79%
201461.46%$14,0711.64%$15,3031.17%$12,9261.57%$15,3790.04%1.57%2.05%0.72%2.10%1.40%2.58%1.32%
20147-1.01%$13,928-1.31%$15,103-0.80%$12,823-1.28%$15,182-0.14%-1.28%-1.39%-0.67%-0.60%-1.24%-2.37%-0.47%
201481.87%$14,1892.45%$15,4731.50%$13,0162.95%$15,6290.14%2.95%3.98%1.28%1.21%1.77%2.58%0.97%
20149-1.59%$13,964-1.67%$15,215-1.57%$12,812-1.57%$15,384-0.14%-1.57%-1.41%-0.93%-3.19%-2.10%-2.07%-1.45%
2014101.17%$14,1281.84%$15,4951.07%$12,9492.09%$15,7050.33%2.09%2.42%1.55%-1.51%2.67%1.06%0.65%
2014111.36%$14,3201.53%$15,7311.04%$13,0831.74%$15,9780.23%1.74%2.68%0.33%0.99%1.80%1.09%2.05%
201412-0.36%$14,268-0.49%$15,654-0.19%$13,0580.01%$15,981-0.24%0.01%-0.26%-0.10%0.36%-0.95%-1.62%-0.19%
201510.08%$14,279-0.29%$15,6091.20%$13,215-0.77%$15,8570.61%-0.77%-3.02%0.75%4.81%1.03%-0.64%-1.93%
201522.42%$14,6243.25%$16,1171.17%$13,3702.95%$16,325-0.42%2.95%5.74%0.74%-1.44%3.63%4.56%3.66%
20153-0.66%$14,528-0.50%$16,036-0.41%$13,315-0.44%$16,2530.33%-0.44%-1.59%0.00%-2.09%0.14%-0.21%-1.49%
201540.61%$14,6160.43%$16,1050.35%$13,3620.10%$16,2700.05%0.10%0.95%0.27%1.67%-0.28%0.98%1.21%
201550.32%$14,6630.51%$16,1870.02%$13,3650.63%$16,3720.06%0.63%1.27%0.20%-0.69%-0.21%1.02%0.20%
20156-1.13%$14,497-1.25%$15,985-0.79%$13,260-1.42%$16,140-0.04%-1.42%-1.93%-0.73%-1.13%-0.56%-1.71%-1.55%
201570.78%$14,6111.51%$16,2270.36%$13,3081.31%$16,3520.15%1.31%2.08%0.34%-2.92%2.62%2.41%0.21%
20158-2.79%$14,203-3.67%$15,632-1.85%$13,062-3.72%$15,744-0.13%-3.72%-6.05%-1.44%0.64%-4.20%-3.95%-3.47%
20159-1.43%$14,000-1.95%$15,328-0.85%$12,951-1.45%$15,5150.43%-1.45%-2.48%-1.18%0.09%-2.01%-3.39%-1.51%
2015103.81%$14,5334.87%$16,0752.72%$13,3034.61%$16,230-0.13%4.61%8.42%2.60%1.18%4.92%4.58%4.25%
2015110.03%$14,5370.23%$16,112-0.05%$13,2950.24%$16,269-0.31%0.24%0.29%-0.21%-1.34%1.26%-0.15%0.48%
201512-0.90%$14,406-1.04%$15,945-0.49%$13,231-1.41%$16,039-0.16%-1.41%-1.59%-0.96%0.45%-0.24%-1.40%-1.85%
20161-2.30%$14,075-2.95%$15,474-0.93%$13,107-2.81%$15,5890.82%-2.81%-4.98%-1.42%1.90%-2.78%-4.15%-5.05%
201620.29%$14,1170.01%$15,4760.66%$13,1930.28%$15,6330.15%0.28%-0.15%0.14%3.28%-0.38%-0.75%-0.17%
201633.86%$14,6614.61%$16,1892.72%$13,5524.59%$16,3510.26%4.59%6.78%3.16%1.37%3.92%5.53%5.30%
201641.10%$14,8230.76%$16,3121.10%$13,7010.54%$16,439-0.03%0.54%0.37%0.90%4.07%0.22%1.10%1.87%
201650.72%$14,9291.22%$16,5100.50%$13,7691.04%$16,610-0.10%1.04%1.78%0.48%-1.06%1.96%1.36%0.25%
201660.49%$15,0020.65%$16,6171.31%$13,9490.93%$16,7640.75%0.93%0.25%0.42%2.43%2.13%-1.35%-1.71%
201672.16%$15,3262.60%$17,0491.37%$14,1402.64%$17,208-0.10%2.64%3.68%1.26%0.56%2.29%3.87%3.19%
201680.02%$15,329-0.14%$17,025-0.51%$14,0680.06%$17,219-0.29%0.06%0.13%0.21%-1.52%-1.09%0.42%2.20%
201690.34%$15,3800.48%$17,1060.40%$14,1240.08%$17,2320.23%0.08%0.01%0.28%0.12%1.31%0.89%-0.15%
201610-1.47%$15,154-1.91%$16,780-1.45%$13,920-1.68%$16,942-0.12%-1.68%-1.83%-0.75%-1.54%-3.12%-2.33%-0.49%
2016110.45%$15,2220.38%$16,844-0.75%$13,8161.61%$17,215-0.58%1.61%3.70%-0.41%-2.23%-2.45%-0.05%3.80%
2016120.61%$15,3160.62%$16,9480.27%$13,8541.21%$17,424-0.00%1.21%1.96%0.43%0.59%-0.95%0.39%1.18%
201711.48%$15,5421.85%$17,2611.22%$14,0231.25%$17,6430.26%1.25%1.88%0.56%0.84%3.15%2.85%1.20%
201721.65%$15,7981.92%$17,5930.84%$14,1412.48%$18,0790.07%2.48%3.96%0.76%0.08%0.58%2.35%2.82%
201730.16%$15,8230.32%$17,6500.24%$14,1750.02%$18,0830.02%0.02%0.10%0.21%0.25%0.72%0.66%-0.65%
201740.94%$15,9721.13%$17,8500.58%$14,2570.93%$18,2520.19%0.93%1.02%0.68%0.08%0.93%2.69%1.07%
201750.83%$16,1051.05%$18,0370.46%$14,3230.89%$18,4150.09%0.89%1.39%0.88%0.17%0.21%2.37%0.65%
201760.15%$16,1290.33%$18,097-0.05%$14,3150.55%$18,517-0.09%0.55%0.61%0.09%-0.91%0.00%0.77%0.12%
201771.43%$16,3591.70%$18,4051.23%$14,4911.28%$18,7540.28%1.28%2.04%0.75%1.25%2.55%2.06%1.31%
201780.35%$16,4170.53%$18,5020.63%$14,5820.42%$18,8330.19%0.42%0.29%0.41%0.91%1.24%0.09%-0.73%
201790.72%$16,5351.04%$18,6940.14%$14,6031.26%$19,071-0.20%1.26%2.06%0.27%-1.28%0.48%1.83%1.32%
2017101.26%$16,7441.63%$19,0000.76%$14,7151.31%$19,321-0.08%1.31%2.32%0.34%-0.41%2.51%2.30%1.91%
2017110.69%$16,8591.12%$19,2130.28%$14,7571.79%$19,667-0.27%1.79%3.06%0.13%-0.08%-0.33%1.26%-0.23%
2017120.92%$17,0141.17%$19,4390.85%$14,8820.78%$19,821-0.07%0.78%1.10%0.30%0.34%2.86%0.97%1.21%
201812.56%$17,4503.30%$20,0791.32%$15,0792.71%$20,357-0.44%2.71%5.71%0.00%0.08%3.93%5.31%3.37%
20182-2.14%$17,077-2.75%$19,528-1.86%$14,799-2.61%$19,826-0.08%-2.61%-3.69%-0.62%-1.50%-4.36%-2.74%-1.65%
20183-0.79%$16,941-0.93%$19,346-0.12%$14,781-0.93%$19,6410.29%-0.93%-2.56%0.42%0.98%-1.14%-0.84%-2.61%
20184-0.08%$16,927-0.04%$19,339-0.25%$14,744-0.09%$19,624-0.30%-0.09%0.37%-0.49%-0.59%0.14%0.00%0.29%
201850.90%$17,0791.23%$19,5780.66%$14,8411.93%$20,0030.36%1.93%2.39%1.05%0.34%-0.47%1.55%-0.15%
20186-0.05%$17,071-0.12%$19,554-0.24%$14,8060.40%$20,0820.10%0.40%0.61%0.23%-0.19%-1.77%-0.04%0.17%
201871.32%$17,2961.40%$19,8270.32%$14,8542.01%$20,486-0.10%2.01%3.71%0.56%-0.93%-0.21%1.44%4.00%
201880.58%$17,3970.89%$20,0030.09%$14,8672.31%$20,9580.37%2.31%3.25%0.90%-0.94%-2.43%0.82%0.00%
20189-0.09%$17,381-0.06%$19,990-0.13%$14,847-0.13%$20,931-0.20%-0.13%0.55%-0.48%-0.25%0.36%-0.73%0.14%
201810-3.65%$16,747-4.65%$19,060-2.29%$14,507-4.76%$19,9340.10%-4.76%-6.85%-1.73%0.69%-5.32%-6.15%-5.27%
2018111.03%$16,9181.21%$19,2910.76%$14,6181.48%$20,2300.38%1.48%2.03%0.70%0.94%0.22%1.83%0.56%
201812-2.97%$16,416-3.91%$18,537-0.83%$14,497-4.93%$19,2330.88%-4.93%-9.04%-0.39%2.89%-1.91%-5.08%-6.07%
201914.63%$17,1765.16%$19,4932.94%$14,9235.55%$20,3000.30%5.55%8.00%3.44%2.07%3.01%6.87%7.92%
201921.60%$17,4512.05%$19,8930.88%$15,0542.10%$20,725-0.01%2.10%3.20%0.92%-0.49%1.66%3.21%2.26%
201931.39%$17,6931.61%$20,2131.46%$15,2741.65%$21,0670.78%1.65%1.94%1.54%1.95%1.40%1.40%0.40%
201941.78%$18,0071.94%$20,6040.47%$15,3462.39%$21,5710.15%2.39%4.04%0.62%-1.20%0.08%3.65%4.46%
20195-2.20%$17,611-2.44%$20,102-0.43%$15,280-3.21%$20,8790.88%-3.21%-6.36%-0.82%0.81%0.61%-3.35%-6.11%
201964.12%$18,3364.57%$21,0213.03%$15,7434.63%$21,8470.48%4.63%7.03%3.59%3.90%2.36%5.64%5.36%
201970.52%$18,4320.68%$21,1640.30%$15,7890.97%$22,059-0.09%0.97%1.43%0.74%0.00%-0.22%0.63%0.66%
201980.43%$18,5100.67%$21,3051.65%$16,050-0.11%$22,0350.92%-0.11%-1.59%0.94%3.12%3.65%-0.33%-3.05%
201990.22%$18,5510.33%$21,376-0.39%$15,9880.80%$22,211-0.22%0.80%1.86%0.27%-1.98%-1.01%0.25%1.64%
2019101.01%$18,7381.15%$21,6230.93%$16,1371.39%$22,5190.25%1.39%2.15%0.99%1.55%0.44%0.59%0.67%
2019111.52%$19,0231.87%$22,0260.64%$16,2402.24%$23,022-0.05%2.24%3.62%1.31%-0.76%0.22%2.74%2.75%
2019121.65%$19,3371.73%$22,4081.01%$16,4051.64%$23,4010.14%1.64%3.01%0.73%2.08%0.42%3.11%2.18%
202010.67%$19,4670.91%$22,6131.17%$16,5970.82%$23,5920.60%0.82%-0.05%1.21%0.90%2.38%0.00%-0.50%
20202-2.77%$18,928-3.45%$21,833-0.87%$16,452-4.22%$22,5951.04%-4.22%-8.24%0.40%-0.22%-0.90%-5.45%-4.55%
20203-5.70%$17,849-5.68%$20,593-1.65%$16,181-8.48%$20,6791.01%-8.48%-12.37%0.07%0.02%-0.15%-9.65%-16.31%
202047.30%$19,1528.78%$22,4005.91%$17,1378.55%$22,4470.22%8.55%12.81%8.66%6.45%5.31%9.17%7.14%
202053.10%$19,7453.77%$23,2442.30%$17,5313.45%$23,2220.38%3.45%4.76%2.80%1.06%3.60%5.15%3.68%
202061.51%$20,0431.45%$23,5811.04%$17,7141.73%$23,6240.09%1.73%1.98%1.43%1.21%0.69%1.48%3.53%
202073.43%$20,7314.29%$24,5932.69%$18,1903.99%$24,5660.18%3.99%5.63%3.36%2.34%3.38%5.88%2.73%
202082.84%$21,3203.51%$25,4561.66%$18,4923.86%$25,5140.19%3.86%7.18%2.80%0.07%1.00%3.49%3.93%
20209-1.77%$20,942-2.01%$24,944-1.12%$18,286-2.12%$24,9740.06%-2.12%-3.81%-1.28%-1.17%-0.93%-2.15%-2.78%
202010-1.06%$20,721-1.57%$24,553-0.87%$18,128-1.48%$24,604-0.06%-1.48%-2.67%-1.18%-0.41%-1.07%-1.74%0.26%
2020115.82%$21,9286.55%$26,1613.50%$18,7627.66%$26,4890.11%7.66%10.94%6.09%0.21%2.83%6.70%11.92%
2020122.62%$22,5022.90%$26,9211.80%$19,1002.70%$27,2060.08%2.70%3.84%2.32%0.64%3.08%3.13%5.30%

Risk and Return Metrics

Portfolio return and risk metrics
MetricProvided PortfolioMaximum Return at 8.20% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
Arithmetic Mean (monthly)0.68%0.84%0.54%0.85%
Arithmetic Mean (annualized)8.48%10.50%6.62%10.64%
Geometric Mean (monthly)0.66%0.81%0.53%0.82%
Geometric Mean (annualized)8.23%10.14%6.52%10.26%
Standard Deviation (monthly)1.95%2.36%1.29%2.43%
Standard Deviation (annualized)6.77%8.18%4.47%8.42%
Downside Deviation (monthly)1.08%1.29%0.59%1.41%
Maximum Drawdown-8.31%-9.68%-3.86%-12.34%
Stock Market Correlation0.970.970.850.99
Beta(*)0.790.950.471.00
Alpha (annualized)0.14%0.36%1.62%-0.00%
R296.66%96.17%79.75%100.00%
Sharpe Ratio1.121.151.301.13
Sortino Ratio1.992.072.761.92
Treynor Ratio (%)9.609.9212.349.58
Calmar Ratio1.181.282.250.90
Active Return-2.02%-0.11%-3.74%N/A
Tracking Error2.16%1.65%4.86%N/A
Information Ratio-0.94-0.07-0.77N/A
Skewness0.030.040.61-0.29
Excess Kurtosis1.851.392.222.31
Historical Value-at-Risk (5%)-2.72%-3.40%-1.56%-3.33%
Analytical Value-at-Risk (5%)-2.52%-3.03%-1.58%-3.15%
Conditional Value-at-Risk (5%)-3.67%-4.41%-1.99%-4.84%
Upside Capture Ratio (%)77.5696.5050.97100.00
Downside Capture Ratio (%)76.5793.8237.06100.00
Safe Withdrawal Rate12.02%13.06%11.06%13.24%
Perpetual Withdrawal Rate5.61%7.14%4.19%7.22%
Positive Periods89 out of 123 (72.36%)85 out of 123 (69.11%)85 out of 123 (69.11%)90 out of 123 (73.17%)
Gain/Loss Ratio0.981.151.380.93
* Vanguard Balanced Index Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndProvided PortfolioMaximum Return at 8.20% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
COVID-19 StartJan 2020Mar 2020-8.31%-8.93%-2.50%-12.34%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-8.31%
2May 2011Sep 20115 monthsJan 20124 months9 months-7.68%
3Feb 2018Dec 201811 monthsFeb 20192 months1 year 1 month-5.93%
4Jun 2015Sep 20154 monthsApr 20167 months11 months-4.52%
5May 2012May 20121 monthAug 20123 months4 months-3.36%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-2.81%
7May 2019May 20191 monthJun 20191 month2 months-2.20%
8Sep 2014Sep 20141 monthNov 20142 months3 months-1.59%
9Aug 2013Aug 20131 monthSep 20131 month2 months-1.56%
10Oct 2016Oct 20161 monthJan 20173 months4 months-1.47%
Worst 10 drawdowns included above

Drawdowns for Maximum Return at 8.20% Volatility

Drawdowns for Maximum Return at 8.20% Volatility (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2011Sep 20115 monthsJan 20124 months9 months-9.68%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-8.93%
3Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-7.68%
4Aug 2015Sep 20152 monthsApr 20167 months9 months-5.54%
5Apr 2012May 20122 monthsAug 20123 months5 months-4.25%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-3.55%
7May 2019May 20191 monthJun 20191 month2 months-2.44%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.02%
9Oct 2016Oct 20161 monthJan 20173 months4 months-1.91%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-1.75%
Worst 10 drawdowns included above

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Maximum Sharpe Ratio Weights (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-3.86%
2Jun 2011Sep 20114 monthsOct 20111 month5 months-3.69%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-3.13%
4Feb 2020Mar 20202 monthsApr 20201 month3 months-2.50%
5Aug 2016Nov 20164 monthsFeb 20173 months7 months-2.29%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-1.97%
7May 2012May 20121 monthJul 20122 months3 months-1.97%
8Sep 2014Sep 20141 monthNov 20142 months3 months-1.57%
9Aug 2013Aug 20131 monthSep 20131 month2 months-1.33%
10May 2013Jun 20132 monthsJul 20131 month3 months-1.31%
Worst 10 drawdowns included above

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-12.34%
2May 2011Sep 20115 monthsJan 20124 months9 months-9.03%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-8.23%
4Jun 2015Sep 20154 monthsApr 20167 months11 months-5.23%
5Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-3.56%
7May 2012May 20121 monthJul 20122 months3 months-3.34%
8May 2019May 20191 monthJun 20191 month2 months-3.21%
9Aug 2013Aug 20131 monthSep 20131 month2 months-1.95%
10Oct 2016Oct 20161 monthDec 20162 months3 months-1.68%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
VFISXVanguard Short-Term Treasury Inv1.33%1.09%3.96%-0.52%-1.15%0.711.34-0.30
VBINXVanguard Balanced Index Inv10.26%8.42%21.67%-2.97%-12.34%1.131.920.99
VFINXVanguard 500 Index Investor14.50%13.52%32.18%-4.52%-19.63%1.031.691.00
COTZXColumbia Thermostat Inst9.12%6.06%29.63%0.12%-7.99%1.383.060.79
HSTRXHussman Strategic Total Return3.04%5.32%11.45%-8.37%-9.22%0.480.850.10
GAVAXKL Allocation Advisor7.96%7.07%20.74%-12.51%-15.82%1.031.870.68
LSWWXLoomis Sayles Global Allocation Y10.01%11.08%26.80%-5.04%-16.46%0.871.370.94
FPACXFPA Crescent8.62%11.04%21.95%-7.43%-20.51%0.751.120.94

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Vanguard Short-Term Treasury Inv0.13%3.96%3.96%2.96%2.05%1.42%0.20%0.20%
Vanguard Balanced Index Inv8.94%16.26%16.26%11.13%11.15%9.84%0.18%0.18%
Vanguard 500 Index Investor12.12%18.25%18.25%14.03%15.07%13.72%0.14%0.14%
Columbia Thermostat Inst7.27%29.63%29.63%14.33%10.55%8.59%0.61%0.65%
Hussman Strategic Total Return0.43%11.45%11.45%8.01%6.62%3.16%0.78%0.78%
KL Allocation Advisor4.87%20.74%20.74%6.16%6.92%8.12%1.53%1.60%
Loomis Sayles Global Allocation Y8.13%15.38%15.38%11.58%12.17%9.56%0.87%0.87%
FPA Crescent18.15%12.11%12.11%7.59%8.68%8.18%1.05%1.08%
Trailing returns as of last calendar month ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFISXVBINXVFINXCOTZXHSTRXGAVAXLSWWXFPACXProvided PortfolioMaximum Return at 8.20% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
VFISXVanguard Short-Term Treasury Inv1.00-0.19-0.290.120.490.07-0.15-0.36-0.12-0.120.13-0.19
VBINXVanguard Balanced Index Inv-0.191.000.990.820.190.720.940.920.980.980.891.00
VFINXVanguard 500 Index Investor-0.290.991.000.780.100.690.930.930.960.970.840.99
COTZXColumbia Thermostat Inst0.120.820.781.000.380.650.830.700.870.870.900.82
HSTRXHussman Strategic Total Return0.490.190.100.381.000.260.190.060.290.240.510.19
GAVAXKL Allocation Advisor0.070.720.690.650.261.000.720.560.770.800.850.72
LSWWXLoomis Sayles Global Allocation Y-0.150.940.930.830.190.721.000.870.960.970.880.94
FPACXFPA Crescent-0.360.920.930.700.060.560.871.000.910.880.740.92

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameProvided PortfolioMaximum Return at 8.20% VolatilityMaximum Sharpe Ratio Weights
VFISXVanguard Short-Term Treasury Inv$289$394
VBINXVanguard Balanced Index Inv$2,004$3,416$2,841
VFINXVanguard 500 Index Investor$2,844$4,838$229
COTZXColumbia Thermostat Inst$1,804$3,091$2,539
HSTRXHussman Strategic Total Return$647$277$903
GAVAXKL Allocation Advisor$1,424$2,613$2,194
LSWWXLoomis Sayles Global Allocation Y$1,875$2,687
FPACXFPA Crescent$1,615
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
TickerNameProvided PortfolioMaximum Return at 8.20% VolatilityMaximum Sharpe Ratio Weights
VFISXVanguard Short-Term Treasury Inv-0.25%0.65%
VBINXVanguard Balanced Index Inv15.90%20.19%33.65%
VFINXVanguard 500 Index Investor25.06%31.98%2.89%
COTZXColumbia Thermostat Inst10.15%12.94%24.53%
HSTRXHussman Strategic Total Return2.71%0.71%11.40%
GAVAXKL Allocation Advisor9.71%13.91%26.88%
LSWWXLoomis Sayles Global Allocation Y18.94%20.26%
FPACXFPA Crescent17.77%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling Returns

Rolling returns summary
Roll PeriodProvided PortfolioMaximum Return at 8.20% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year7.24%17.80%-3.52%9.02%21.38%-4.64%5.92%16.43%-2.59%9.08%21.67%-4.24%
3 years6.89%11.09%4.10%8.58%14.26%5.15%5.18%8.67%2.93%8.97%14.33%4.57%
5 years6.51%9.33%4.09%8.07%11.04%4.97%4.96%7.62%3.16%8.47%11.15%4.93%
7 years6.84%7.93%5.24%8.51%10.09%6.56%5.14%6.49%4.33%8.91%10.67%6.69%
10 years7.73%7.97%7.34%9.57%9.83%9.13%6.24%6.40%5.99%9.63%9.94%9.15%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years