Portfolio Optimization

Portfolio Optimization Overview

This portfolio optimizer tool supports the following portfolio optimization strategies:

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

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

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

Portfolio Optimization Configuration

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

Asset Constraints

Group Constraints

Compared Allocation

Benchmark

Benchmark Ticker

Portfolio Assets

Allocation

Expected Return

Volatility

Min. Weight

Max. Weight

Group

Total

Asset Groups

Min. Weight

Max. Weight

Portfolio Optimization Results (Oct 2010 - Dec 2020) Save

Note: The time period was constrained by the available data for KL Allocation Advisor (GAVAX) [Oct 2010 - May 2023]. You can extend the available time period by using KL Allocation Institutional (GAVIX), which is the oldest share class of the fund.

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

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

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

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
Metric	Provided Portfolio	Maximum Return at 8.20% Volatility	Maximum Sharpe Ratio Weights	Vanguard 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 Return	8.16%	10.03%	6.43%	10.15%
Standard Deviation	6.77%	8.18%	4.47%	8.42%
Best Year	17.80%	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)	1.12	1.16	1.31	1.14
Sharpe Ratio (ex-post)	1.12	1.15	1.30	1.13
Sortino Ratio	1.99	2.07	2.76	1.92
Active Return	-2.02%	-0.11%	-3.74%	N/A
Tracking Error	2.16%	1.65%	4.86%	N/A
Information Ratio	-0.94	-0.07	-0.77	N/A
Stock Market Correlation	0.97	0.97	0.85	0.99
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

Annual Returns

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return				Annualized Standard Deviation
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year	Full	3 year	5 year
Provided Portfolio	7.45%	16.37%	16.37%	9.77%	9.33%	7.96%	8.23%	9.11%	7.44%
Maximum Return at 8.20% Volatility	7.93%	20.14%	20.14%	11.47%	11.04%	9.77%	10.14%	10.62%	8.74%
Maximum Sharpe Ratio Weights	4.45%	16.43%	16.43%	8.67%	7.62%	6.40%	6.52%	5.69%	4.78%
Vanguard Balanced Index Inv	8.94%	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. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
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
#	Asset	Expected Return	Standard Deviation	Sharpe Ratio	Min. Weight	Max. Weight
1	Vanguard Short-Term Treasury Inv (VFISX)	1.33%	1.09%	0.689	0.00%	20.00%
2	Vanguard Balanced Index Inv (VBINX)	10.15%	8.42%	1.138	0.00%	20.00%
3	Vanguard 500 Index Investor (VFINX)	14.52%	13.52%	1.032	0.00%	20.00%
4	Columbia Thermostat Inst (COTZX)	8.94%	6.06%	1.380	0.00%	20.00%
5	Hussman Strategic Total Return (HSTRX)	3.14%	5.32%	0.481	0.00%	20.00%
6	KL Allocation Advisor (GAVAX)	7.93%	7.07%	1.039	0.00%	20.00%
7	Loomis Sayles Global Allocation Y (LSWWX)	10.19%	11.08%	0.867	0.00%	20.00%
8	FPA Crescent (FPACX)	8.91%	11.04%	0.755	0.00%	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
Name	Ticker	VFISX	VBINX	VFINX	COTZX	HSTRX	GAVAX	LSWWX	FPACX
Vanguard Short-Term Treasury Inv	VFISX	1.00	-0.19	-0.29	0.12	0.49	0.07	-0.15	-0.36
Vanguard Balanced Index Inv	VBINX	-0.19	1.00	0.99	0.82	0.19	0.72	0.94	0.92
Vanguard 500 Index Investor	VFINX	-0.29	0.99	1.00	0.78	0.10	0.69	0.93	0.93
Columbia Thermostat Inst	COTZX	0.12	0.82	0.78	1.00	0.38	0.65	0.83	0.70
Hussman Strategic Total Return	HSTRX	0.49	0.19	0.10	0.38	1.00	0.26	0.19	0.06
KL Allocation Advisor	GAVAX	0.07	0.72	0.69	0.65	0.26	1.00	0.72	0.56
Loomis Sayles Global Allocation Y	LSWWX	-0.15	0.94	0.93	0.83	0.19	0.72	1.00	0.87
FPA Crescent	FPACX	-0.36	0.92	0.93	0.70	0.06	0.56	0.87	1.00
Based on monthly returns from Oct 2010 to Dec 2020

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

Efficient Frontiers

Efficient Frontier Portfolios

Efficient Frontier Assets
#	VFISX	VBINX	VFINX	COTZX	HSTRX	GAVAX	LSWWX	FPACX	Expected Return *	Standard Deviation *	Sharpe Ratio *
1	20.00%	20.00%	0.00%	20.00%	20.00%	20.00%	0.00%	0.00%	6.30%	4.37%	1.309
2	20.00%	20.00%	0.38%	20.00%	19.62%	20.00%	0.00%	0.00%	6.34%	4.40%	1.309
3	20.00%	20.00%	0.75%	20.00%	19.25%	20.00%	0.00%	0.00%	6.39%	4.44%	1.309
4	20.00%	20.00%	1.13%	20.00%	18.87%	20.00%	0.00%	0.00%	6.43%	4.47%	1.309
5	20.00%	20.00%	1.51%	20.00%	18.49%	20.00%	0.00%	0.00%	6.47%	4.50%	1.309
6	20.00%	20.00%	1.88%	20.00%	18.12%	20.00%	0.00%	0.00%	6.51%	4.53%	1.309
7	20.00%	20.00%	2.26%	20.00%	17.74%	20.00%	0.00%	0.00%	6.56%	4.57%	1.309
8	20.00%	20.00%	2.64%	20.00%	17.36%	20.00%	0.00%	0.00%	6.60%	4.60%	1.308
9	20.00%	20.00%	3.01%	20.00%	16.99%	20.00%	0.00%	0.00%	6.64%	4.64%	1.308
10	20.00%	20.00%	3.39%	20.00%	16.61%	20.00%	0.00%	0.00%	6.69%	4.67%	1.307
11	20.00%	20.00%	3.77%	20.00%	16.23%	20.00%	0.00%	0.00%	6.73%	4.71%	1.307
12	20.00%	20.00%	4.14%	20.00%	15.86%	20.00%	0.00%	0.00%	6.77%	4.74%	1.306
13	20.00%	20.00%	4.52%	20.00%	15.48%	20.00%	0.00%	0.00%	6.81%	4.78%	1.305
14	20.00%	20.00%	4.90%	20.00%	15.10%	20.00%	0.00%	0.00%	6.86%	4.81%	1.304
15	20.00%	20.00%	5.27%	20.00%	14.73%	20.00%	0.00%	0.00%	6.90%	4.85%	1.303
16	20.00%	20.00%	5.65%	20.00%	14.35%	20.00%	0.00%	0.00%	6.94%	4.89%	1.302
17	20.00%	20.00%	6.03%	20.00%	13.97%	20.00%	0.00%	0.00%	6.99%	4.92%	1.301
18	20.00%	20.00%	6.40%	20.00%	13.60%	20.00%	0.00%	0.00%	7.03%	4.96%	1.300
19	20.00%	20.00%	6.78%	20.00%	13.22%	20.00%	0.00%	0.00%	7.07%	5.00%	1.299
20	20.00%	20.00%	7.16%	20.00%	12.84%	20.00%	0.00%	0.00%	7.11%	5.04%	1.298
21	20.00%	20.00%	7.53%	20.00%	12.47%	20.00%	0.00%	0.00%	7.16%	5.07%	1.296
22	20.00%	20.00%	7.91%	20.00%	12.09%	20.00%	0.00%	0.00%	7.20%	5.11%	1.295
23	20.00%	20.00%	8.29%	20.00%	11.71%	20.00%	0.00%	0.00%	7.24%	5.15%	1.294
24	20.00%	20.00%	8.66%	20.00%	11.34%	20.00%	0.00%	0.00%	7.29%	5.19%	1.292
25	20.00%	20.00%	9.04%	20.00%	10.96%	20.00%	0.00%	0.00%	7.33%	5.23%	1.291
26	20.00%	20.00%	9.42%	20.00%	10.58%	20.00%	0.00%	0.00%	7.37%	5.27%	1.289
27	20.00%	20.00%	9.79%	20.00%	10.21%	20.00%	0.00%	0.00%	7.41%	5.31%	1.288
28	20.00%	20.00%	10.17%	20.00%	9.83%	20.00%	0.00%	0.00%	7.46%	5.35%	1.286
29	20.00%	20.00%	10.55%	20.00%	9.45%	20.00%	0.00%	0.00%	7.50%	5.39%	1.285
30	20.00%	20.00%	10.92%	20.00%	9.08%	20.00%	0.00%	0.00%	7.54%	5.43%	1.283
31	20.00%	20.00%	11.30%	20.00%	8.70%	20.00%	0.00%	0.00%	7.59%	5.47%	1.281
32	20.00%	20.00%	11.68%	20.00%	8.32%	20.00%	0.00%	0.00%	7.63%	5.51%	1.280
33	20.00%	20.00%	12.05%	20.00%	7.95%	20.00%	0.00%	0.00%	7.67%	5.55%	1.278
34	20.00%	20.00%	12.43%	20.00%	7.57%	20.00%	0.00%	0.00%	7.71%	5.59%	1.276
35	19.92%	20.00%	12.79%	20.00%	7.28%	20.00%	0.00%	0.00%	7.76%	5.63%	1.274
36	19.41%	20.00%	13.09%	20.00%	7.50%	20.00%	0.00%	0.00%	7.80%	5.67%	1.273
37	18.90%	20.00%	13.38%	20.00%	7.71%	20.00%	0.00%	0.00%	7.84%	5.72%	1.271
38	18.39%	20.00%	13.68%	20.00%	7.93%	20.00%	0.00%	0.00%	7.89%	5.76%	1.269
39	17.88%	20.00%	13.98%	20.00%	8.15%	20.00%	0.00%	0.00%	7.93%	5.80%	1.268
40	17.37%	20.00%	14.27%	20.00%	8.36%	20.00%	0.00%	0.00%	7.97%	5.84%	1.266
41	16.86%	20.00%	14.57%	20.00%	8.58%	20.00%	0.00%	0.00%	8.01%	5.88%	1.264
42	16.35%	20.00%	14.86%	20.00%	8.79%	20.00%	0.00%	0.00%	8.06%	5.92%	1.263
43	15.83%	20.00%	15.16%	20.00%	9.01%	20.00%	0.00%	0.00%	8.10%	5.96%	1.261
44	15.32%	20.00%	15.45%	20.00%	9.22%	20.00%	0.00%	0.00%	8.14%	6.01%	1.259
45	14.81%	20.00%	15.75%	20.00%	9.44%	20.00%	0.00%	0.00%	8.19%	6.05%	1.258
46	14.30%	20.00%	16.04%	20.00%	9.65%	20.00%	0.00%	0.00%	8.23%	6.09%	1.256
47	13.79%	20.00%	16.34%	20.00%	9.87%	20.00%	0.00%	0.00%	8.27%	6.13%	1.255
48	13.28%	20.00%	16.64%	20.00%	10.09%	20.00%	0.00%	0.00%	8.31%	6.17%	1.253
49	12.77%	20.00%	16.93%	20.00%	10.30%	20.00%	0.00%	0.00%	8.36%	6.21%	1.252
50	12.26%	20.00%	17.23%	20.00%	10.52%	20.00%	0.00%	0.00%	8.40%	6.26%	1.250
51	11.75%	20.00%	17.52%	20.00%	10.73%	20.00%	0.00%	0.00%	8.44%	6.30%	1.249
52	11.23%	20.00%	17.82%	20.00%	10.95%	20.00%	0.00%	0.00%	8.49%	6.34%	1.247
53	10.72%	20.00%	18.11%	20.00%	11.16%	20.00%	0.00%	0.00%	8.53%	6.38%	1.246
54	10.21%	20.00%	18.41%	20.00%	11.38%	20.00%	0.00%	0.00%	8.57%	6.42%	1.244
55	9.70%	20.00%	18.70%	20.00%	11.60%	20.00%	0.00%	0.00%	8.61%	6.47%	1.243
56	9.19%	20.00%	19.00%	20.00%	11.81%	20.00%	0.00%	0.00%	8.66%	6.51%	1.241
57	8.68%	20.00%	19.30%	20.00%	12.03%	20.00%	0.00%	0.00%	8.70%	6.55%	1.240
58	8.17%	20.00%	19.59%	20.00%	12.24%	20.00%	0.00%	0.00%	8.74%	6.59%	1.239
59	7.66%	20.00%	19.89%	20.00%	12.46%	20.00%	0.00%	0.00%	8.79%	6.63%	1.237
60	6.00%	20.00%	20.00%	20.00%	14.00%	20.00%	0.00%	0.00%	8.83%	6.68%	1.236
61	3.63%	20.00%	20.00%	20.00%	16.37%	20.00%	0.00%	0.00%	8.87%	6.72%	1.234
62	1.25%	20.00%	20.00%	20.00%	18.75%	20.00%	0.00%	0.00%	8.91%	6.77%	1.232
63	0.00%	20.00%	20.00%	20.00%	19.71%	20.00%	0.29%	0.00%	8.96%	6.82%	1.230
64	0.00%	20.00%	20.00%	20.00%	19.11%	20.00%	0.89%	0.00%	9.00%	6.87%	1.227
65	0.00%	20.00%	20.00%	20.00%	18.50%	20.00%	1.50%	0.00%	9.04%	6.92%	1.224
66	0.00%	20.00%	20.00%	20.00%	17.89%	20.00%	2.11%	0.00%	9.09%	6.97%	1.221
67	0.00%	20.00%	20.00%	20.00%	17.28%	20.00%	2.72%	0.00%	9.13%	7.02%	1.218
68	0.00%	20.00%	20.00%	20.00%	16.67%	20.00%	3.33%	0.00%	9.17%	7.07%	1.215
69	0.00%	20.00%	20.00%	20.00%	16.06%	20.00%	3.94%	0.00%	9.22%	7.13%	1.212
70	0.00%	20.00%	20.00%	20.00%	15.46%	20.00%	4.54%	0.00%	9.26%	7.18%	1.209
71	0.00%	20.00%	20.00%	20.00%	14.85%	20.00%	5.15%	0.00%	9.30%	7.23%	1.206
72	0.00%	20.00%	20.00%	20.00%	14.24%	20.00%	5.76%	0.00%	9.34%	7.29%	1.203
73	0.00%	20.00%	20.00%	20.00%	13.63%	20.00%	6.37%	0.00%	9.39%	7.34%	1.200
74	0.00%	20.00%	20.00%	20.00%	13.02%	20.00%	6.98%	0.00%	9.43%	7.40%	1.197
75	0.00%	20.00%	20.00%	20.00%	12.42%	20.00%	7.58%	0.00%	9.47%	7.45%	1.194
76	0.00%	20.00%	20.00%	20.00%	11.81%	20.00%	8.19%	0.00%	9.52%	7.50%	1.191
77	0.00%	20.00%	20.00%	20.00%	11.20%	20.00%	8.80%	0.00%	9.56%	7.56%	1.188
78	0.00%	20.00%	20.00%	20.00%	10.59%	20.00%	9.41%	0.00%	9.60%	7.61%	1.185
79	0.00%	20.00%	20.00%	20.00%	9.98%	20.00%	10.02%	0.00%	9.64%	7.67%	1.182
80	0.00%	20.00%	20.00%	20.00%	9.38%	20.00%	10.62%	0.00%	9.69%	7.72%	1.179
81	0.00%	20.00%	20.00%	20.00%	8.77%	20.00%	11.23%	0.00%	9.73%	7.78%	1.176
82	0.00%	20.00%	20.00%	20.00%	8.16%	20.00%	11.84%	0.00%	9.77%	7.84%	1.173
83	0.00%	20.00%	20.00%	20.00%	7.55%	20.00%	12.45%	0.00%	9.82%	7.89%	1.170
84	0.00%	20.00%	20.00%	20.00%	6.94%	20.00%	13.06%	0.00%	9.86%	7.95%	1.167
85	0.00%	20.00%	20.00%	20.00%	6.34%	20.00%	13.66%	0.00%	9.90%	8.01%	1.165
86	0.00%	20.00%	20.00%	20.00%	5.73%	20.00%	14.27%	0.00%	9.94%	8.06%	1.162
87	0.00%	20.00%	20.00%	20.00%	5.12%	20.00%	14.88%	0.00%	9.99%	8.12%	1.159
88	0.00%	20.00%	20.00%	20.00%	4.51%	20.00%	15.49%	0.00%	10.03%	8.18%	1.156
89	0.00%	20.00%	20.00%	20.00%	3.90%	20.00%	16.10%	0.00%	10.07%	8.23%	1.153
90	0.00%	20.00%	20.00%	20.00%	3.30%	20.00%	16.70%	0.00%	10.12%	8.29%	1.150
91	0.00%	20.00%	20.00%	20.00%	2.69%	20.00%	17.31%	0.00%	10.16%	8.35%	1.147
92	0.00%	20.00%	20.00%	20.00%	2.08%	20.00%	17.92%	0.00%	10.20%	8.41%	1.145
93	0.00%	20.00%	20.00%	20.00%	1.47%	20.00%	18.53%	0.00%	10.24%	8.46%	1.142
94	0.00%	20.00%	20.00%	20.00%	0.86%	20.00%	19.14%	0.00%	10.29%	8.52%	1.139
95	0.00%	20.00%	20.00%	20.00%	0.26%	20.00%	19.74%	0.00%	10.33%	8.58%	1.136
96	0.00%	20.00%	20.00%	20.00%	0.00%	17.47%	20.00%	2.53%	10.37%	8.71%	1.124
97	0.00%	20.00%	20.00%	20.00%	0.00%	13.10%	20.00%	6.90%	10.42%	8.91%	1.104
98	0.00%	20.00%	20.00%	20.00%	0.00%	8.74%	20.00%	11.26%	10.46%	9.12%	1.083
99	0.00%	20.00%	20.00%	20.00%	0.00%	4.37%	20.00%	15.63%	10.50%	9.34%	1.062
100	0.00%	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
Year	Inflation	Provided Portfolio		Maximum Return at 8.20% Volatility		Maximum Sharpe Ratio Weights		Vanguard Balanced Index Inv		Vanguard 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)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	Return	Balance	Vanguard 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)
2010	0.34%	4.65%	$10,465	5.97%	$10,597	2.76%	$10,276	6.42%	$10,642	-0.52%	6.42%	10.71%	7.37%	-0.36%	0.40%	6.71%	6.35%
2011	2.96%	3.50%	$10,832	3.80%	$11,000	4.56%	$10,744	4.14%	$11,083	2.26%	4.14%	1.97%	4.85%	4.00%	7.17%	-0.73%	3.02%
2012	1.74%	9.77%	$11,890	12.58%	$12,384	7.43%	$11,543	11.33%	$12,338	0.69%	11.33%	15.82%	13.69%	1.14%	9.80%	15.49%	10.33%
2013	1.50%	12.98%	$13,434	17.45%	$14,545	7.50%	$12,409	17.91%	$14,548	-0.10%	17.91%	32.18%	9.30%	-8.37%	18.71%	16.25%	21.95%
2014	0.76%	6.21%	$14,268	7.62%	$15,654	5.23%	$13,058	9.84%	$15,981	0.71%	9.84%	13.51%	5.57%	3.78%	5.64%	3.53%	6.64%
2015	0.73%	0.97%	$14,406	1.86%	$15,945	1.32%	$13,231	0.37%	$16,039	0.45%	0.37%	1.25%	0.33%	-1.01%	5.91%	1.69%	-2.06%
2016	2.07%	6.31%	$15,316	6.29%	$16,948	4.71%	$13,854	8.63%	$17,424	0.99%	8.63%	11.82%	4.72%	8.03%	0.79%	4.67%	10.25%
2017	2.11%	11.09%	$17,014	14.70%	$19,439	7.42%	$14,882	13.75%	$19,821	0.39%	13.75%	21.67%	5.52%	1.21%	15.88%	22.11%	10.39%
2018	1.91%	-3.52%	$16,416	-4.64%	$18,537	-2.59%	$14,497	-2.97%	$19,233	1.35%	-2.97%	-4.52%	0.12%	1.48%	-12.51%	-5.04%	-7.43%
2019	2.29%	17.80%	$19,337	20.88%	$22,408	13.16%	$16,405	21.67%	$23,401	3.59%	21.67%	31.33%	15.14%	11.42%	13.24%	26.80%	20.02%
2020	1.36%	16.37%	$22,502	20.14%	$26,921	16.43%	$19,100	16.26%	$27,206	3.96%	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
Year	Month	Provided Portfolio		Maximum Return at 8.20% Volatility		Maximum Sharpe Ratio Weights		Vanguard Balanced Index Inv		Vanguard 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)
Year	Month	Return	Balance	Return	Balance	Return	Balance	Return	Balance	Vanguard 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)
2010	10	2.04%	$10,204	2.50%	$10,250	1.35%	$10,135	2.52%	$10,252	0.26%	2.52%	3.79%	3.00%	0.47%	0.30%	3.59%	2.29%
2010	11	-0.15%	$10,189	-0.03%	$10,247	-0.15%	$10,120	0.14%	$10,267	-0.30%	0.14%	0.00%	0.08%	-0.17%	-0.50%	0.20%	-0.68%
2010	12	2.71%	$10,465	3.42%	$10,597	1.54%	$10,276	3.66%	$10,642	-0.48%	3.66%	6.67%	4.15%	-0.65%	0.60%	2.81%	4.69%
2011	1	0.86%	$10,556	1.05%	$10,708	0.37%	$10,314	1.36%	$10,787	0.25%	1.36%	2.36%	0.80%	-0.41%	-0.30%	1.42%	1.31%
2011	2	1.72%	$10,737	2.20%	$10,944	1.30%	$10,448	2.26%	$11,031	-0.22%	2.26%	3.42%	1.75%	0.66%	1.90%	1.97%	1.99%
2011	3	0.40%	$10,780	0.40%	$10,987	0.09%	$10,458	0.23%	$11,056	-0.13%	0.23%	0.03%	0.55%	-0.08%	-0.10%	1.69%	1.08%
2011	4	2.36%	$11,034	2.78%	$11,292	1.67%	$10,632	2.35%	$11,316	0.71%	2.35%	2.95%	2.65%	0.74%	1.77%	5.16%	2.61%
2011	5	-0.25%	$11,006	-0.39%	$11,248	0.28%	$10,663	-0.18%	$11,296	0.52%	-0.18%	-1.15%	-0.38%	0.90%	0.68%	-1.46%	-0.94%
2011	6	-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%
2011	7	-0.24%	$10,889	-0.46%	$11,096	0.15%	$10,610	-0.72%	$11,079	0.52%	-0.72%	-2.05%	0.08%	1.48%	-0.38%	0.60%	-1.37%
2011	8	-2.06%	$10,664	-2.90%	$10,774	-0.49%	$10,559	-2.81%	$10,767	0.52%	-2.81%	-5.45%	-0.70%	2.67%	-1.64%	-5.81%	-3.27%
2011	9	-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%
2011	10	6.12%	$10,810	7.55%	$10,969	4.19%	$10,700	6.98%	$11,012	0.15%	6.98%	10.91%	7.27%	1.28%	4.74%	9.78%	7.75%
2011	11	0.02%	$10,812	-0.16%	$10,952	0.28%	$10,730	-0.28%	$10,982	-0.04%	-0.28%	-0.23%	0.08%	0.97%	0.75%	-1.72%	0.66%
2011	12	0.19%	$10,832	0.44%	$11,000	0.13%	$10,744	0.92%	$11,083	0.21%	0.92%	1.02%	0.27%	-1.52%	0.65%	-0.41%	0.24%
2012	1	3.31%	$11,191	4.18%	$11,460	2.80%	$11,045	3.40%	$11,459	0.23%	3.40%	4.46%	4.26%	1.46%	4.46%	5.16%	3.14%
2012	2	2.24%	$11,442	3.01%	$11,805	1.30%	$11,189	2.49%	$11,744	-0.14%	2.49%	4.31%	2.95%	-0.56%	1.51%	5.03%	2.28%
2012	3	1.13%	$11,571	1.72%	$12,008	0.77%	$11,275	1.62%	$11,934	-0.13%	1.62%	3.28%	0.88%	-1.06%	2.28%	1.02%	1.10%
2012	4	0.00%	$11,571	-0.10%	$11,996	0.17%	$11,294	0.04%	$11,939	0.32%	0.04%	-0.64%	0.44%	0.73%	-0.60%	0.12%	-0.42%
2012	5	-3.36%	$11,183	-4.15%	$11,498	-1.97%	$11,072	-3.34%	$11,540	0.06%	-3.34%	-6.02%	-3.70%	0.24%	-2.76%	-6.46%	-4.96%
2012	6	2.04%	$11,411	2.63%	$11,801	1.44%	$11,231	2.28%	$11,803	-0.13%	2.28%	4.11%	1.94%	0.15%	2.75%	2.66%	2.59%
2012	7	0.81%	$11,503	1.08%	$11,928	0.59%	$11,297	1.17%	$11,942	0.29%	1.17%	1.37%	1.18%	-0.24%	0.43%	1.67%	0.51%
2012	8	1.63%	$11,691	1.84%	$12,148	1.22%	$11,435	1.55%	$12,127	0.11%	1.55%	2.24%	1.98%	0.73%	1.63%	2.12%	2.75%
2012	9	1.46%	$11,862	1.91%	$12,379	1.22%	$11,574	1.58%	$12,319	0.03%	1.58%	2.58%	1.65%	0.62%	2.11%	1.90%	1.23%
2012	10	-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%
2012	11	0.50%	$11,816	0.61%	$12,312	0.39%	$11,534	0.51%	$12,257	0.12%	0.51%	0.56%	0.92%	-0.42%	0.76%	0.53%	1.05%
2012	12	0.63%	$11,890	0.59%	$12,384	0.08%	$11,543	0.66%	$12,338	0.09%	0.66%	0.90%	0.95%	-0.33%	-1.05%	1.99%	1.77%
2013	1	2.45%	$12,182	3.20%	$12,781	1.62%	$11,730	3.03%	$12,712	-0.06%	3.03%	5.18%	2.26%	-1.40%	3.91%	2.51%	4.16%
2013	2	0.52%	$12,245	0.75%	$12,877	0.43%	$11,781	0.98%	$12,837	0.12%	0.98%	1.34%	0.48%	-0.67%	1.15%	-0.06%	0.75%
2013	3	1.95%	$12,484	2.52%	$13,202	1.65%	$11,975	2.36%	$13,140	0.03%	2.36%	3.74%	1.31%	0.55%	3.80%	1.65%	2.17%
2013	4	0.83%	$12,587	1.36%	$13,382	0.37%	$12,019	1.39%	$13,322	0.12%	1.39%	1.91%	1.29%	-2.94%	1.71%	1.51%	1.52%
2013	5	0.34%	$12,630	0.46%	$13,444	-0.37%	$11,975	0.74%	$13,421	-0.34%	0.74%	2.33%	0.27%	-2.17%	-0.61%	0.11%	2.28%
2013	6	-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%
2013	7	2.56%	$12,796	3.25%	$13,689	1.73%	$12,067	3.33%	$13,671	0.12%	3.33%	5.07%	2.11%	0.27%	2.55%	4.03%	2.97%
2013	8	-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%
2013	9	2.09%	$12,859	2.53%	$13,752	1.57%	$12,094	2.56%	$13,748	0.40%	2.56%	3.12%	1.54%	1.06%	2.17%	3.89%	2.00%
2013	10	2.50%	$13,181	3.03%	$14,169	1.86%	$12,319	2.83%	$14,137	0.13%	2.83%	4.59%	1.45%	1.62%	3.11%	3.64%	2.74%
2013	11	1.10%	$13,326	1.48%	$14,379	0.48%	$12,378	1.60%	$14,364	0.13%	1.60%	3.03%	0.26%	-1.24%	1.40%	1.81%	1.76%
2013	12	0.81%	$13,434	1.16%	$14,545	0.25%	$12,409	1.29%	$14,548	-0.33%	1.29%	2.51%	0.23%	-1.40%	1.23%	1.09%	1.83%
2014	1	-1.12%	$13,283	-1.75%	$14,290	-0.15%	$12,391	-1.24%	$14,369	0.32%	-1.24%	-3.47%	0.28%	2.28%	-2.04%	-3.63%	-1.52%
2014	2	2.78%	$13,652	3.57%	$14,800	2.10%	$12,651	3.02%	$14,802	0.03%	3.02%	4.56%	1.66%	0.89%	4.71%	4.78%	2.74%
2014	3	-0.04%	$13,647	-0.12%	$14,782	-0.23%	$12,622	0.21%	$14,833	-0.21%	0.21%	0.82%	0.00%	-0.26%	-0.96%	-0.82%	0.84%
2014	4	0.22%	$13,677	0.19%	$14,810	0.15%	$12,641	0.36%	$14,886	0.23%	0.36%	0.72%	0.34%	0.80%	-0.97%	0.41%	-0.18%
2014	5	1.40%	$13,869	1.66%	$15,056	1.08%	$12,777	1.71%	$15,141	0.13%	1.71%	2.33%	1.02%	0.79%	1.65%	1.80%	1.79%
2014	6	1.46%	$14,071	1.64%	$15,303	1.17%	$12,926	1.57%	$15,379	0.04%	1.57%	2.05%	0.72%	2.10%	1.40%	2.58%	1.32%
2014	7	-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%
2014	8	1.87%	$14,189	2.45%	$15,473	1.50%	$13,016	2.95%	$15,629	0.14%	2.95%	3.98%	1.28%	1.21%	1.77%	2.58%	0.97%
2014	9	-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%
2014	10	1.17%	$14,128	1.84%	$15,495	1.07%	$12,949	2.09%	$15,705	0.33%	2.09%	2.42%	1.55%	-1.51%	2.67%	1.06%	0.65%
2014	11	1.36%	$14,320	1.53%	$15,731	1.04%	$13,083	1.74%	$15,978	0.23%	1.74%	2.68%	0.33%	0.99%	1.80%	1.09%	2.05%
2014	12	-0.36%	$14,268	-0.49%	$15,654	-0.19%	$13,058	0.01%	$15,981	-0.24%	0.01%	-0.26%	-0.10%	0.36%	-0.95%	-1.62%	-0.19%
2015	1	0.08%	$14,279	-0.29%	$15,609	1.20%	$13,215	-0.77%	$15,857	0.61%	-0.77%	-3.02%	0.75%	4.81%	1.03%	-0.64%	-1.93%
2015	2	2.42%	$14,624	3.25%	$16,117	1.17%	$13,370	2.95%	$16,325	-0.42%	2.95%	5.74%	0.74%	-1.44%	3.63%	4.56%	3.66%
2015	3	-0.66%	$14,528	-0.50%	$16,036	-0.41%	$13,315	-0.44%	$16,253	0.33%	-0.44%	-1.59%	0.00%	-2.09%	0.14%	-0.21%	-1.49%
2015	4	0.61%	$14,616	0.43%	$16,105	0.35%	$13,362	0.10%	$16,270	0.05%	0.10%	0.95%	0.27%	1.67%	-0.28%	0.98%	1.21%
2015	5	0.32%	$14,663	0.51%	$16,187	0.02%	$13,365	0.63%	$16,372	0.06%	0.63%	1.27%	0.20%	-0.69%	-0.21%	1.02%	0.20%
2015	6	-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%
2015	7	0.78%	$14,611	1.51%	$16,227	0.36%	$13,308	1.31%	$16,352	0.15%	1.31%	2.08%	0.34%	-2.92%	2.62%	2.41%	0.21%
2015	8	-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%
2015	9	-1.43%	$14,000	-1.95%	$15,328	-0.85%	$12,951	-1.45%	$15,515	0.43%	-1.45%	-2.48%	-1.18%	0.09%	-2.01%	-3.39%	-1.51%
2015	10	3.81%	$14,533	4.87%	$16,075	2.72%	$13,303	4.61%	$16,230	-0.13%	4.61%	8.42%	2.60%	1.18%	4.92%	4.58%	4.25%
2015	11	0.03%	$14,537	0.23%	$16,112	-0.05%	$13,295	0.24%	$16,269	-0.31%	0.24%	0.29%	-0.21%	-1.34%	1.26%	-0.15%	0.48%
2015	12	-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%
2016	1	-2.30%	$14,075	-2.95%	$15,474	-0.93%	$13,107	-2.81%	$15,589	0.82%	-2.81%	-4.98%	-1.42%	1.90%	-2.78%	-4.15%	-5.05%
2016	2	0.29%	$14,117	0.01%	$15,476	0.66%	$13,193	0.28%	$15,633	0.15%	0.28%	-0.15%	0.14%	3.28%	-0.38%	-0.75%	-0.17%
2016	3	3.86%	$14,661	4.61%	$16,189	2.72%	$13,552	4.59%	$16,351	0.26%	4.59%	6.78%	3.16%	1.37%	3.92%	5.53%	5.30%
2016	4	1.10%	$14,823	0.76%	$16,312	1.10%	$13,701	0.54%	$16,439	-0.03%	0.54%	0.37%	0.90%	4.07%	0.22%	1.10%	1.87%
2016	5	0.72%	$14,929	1.22%	$16,510	0.50%	$13,769	1.04%	$16,610	-0.10%	1.04%	1.78%	0.48%	-1.06%	1.96%	1.36%	0.25%
2016	6	0.49%	$15,002	0.65%	$16,617	1.31%	$13,949	0.93%	$16,764	0.75%	0.93%	0.25%	0.42%	2.43%	2.13%	-1.35%	-1.71%
2016	7	2.16%	$15,326	2.60%	$17,049	1.37%	$14,140	2.64%	$17,208	-0.10%	2.64%	3.68%	1.26%	0.56%	2.29%	3.87%	3.19%
2016	8	0.02%	$15,329	-0.14%	$17,025	-0.51%	$14,068	0.06%	$17,219	-0.29%	0.06%	0.13%	0.21%	-1.52%	-1.09%	0.42%	2.20%
2016	9	0.34%	$15,380	0.48%	$17,106	0.40%	$14,124	0.08%	$17,232	0.23%	0.08%	0.01%	0.28%	0.12%	1.31%	0.89%	-0.15%
2016	10	-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%
2016	11	0.45%	$15,222	0.38%	$16,844	-0.75%	$13,816	1.61%	$17,215	-0.58%	1.61%	3.70%	-0.41%	-2.23%	-2.45%	-0.05%	3.80%
2016	12	0.61%	$15,316	0.62%	$16,948	0.27%	$13,854	1.21%	$17,424	-0.00%	1.21%	1.96%	0.43%	0.59%	-0.95%	0.39%	1.18%
2017	1	1.48%	$15,542	1.85%	$17,261	1.22%	$14,023	1.25%	$17,643	0.26%	1.25%	1.88%	0.56%	0.84%	3.15%	2.85%	1.20%
2017	2	1.65%	$15,798	1.92%	$17,593	0.84%	$14,141	2.48%	$18,079	0.07%	2.48%	3.96%	0.76%	0.08%	0.58%	2.35%	2.82%
2017	3	0.16%	$15,823	0.32%	$17,650	0.24%	$14,175	0.02%	$18,083	0.02%	0.02%	0.10%	0.21%	0.25%	0.72%	0.66%	-0.65%
2017	4	0.94%	$15,972	1.13%	$17,850	0.58%	$14,257	0.93%	$18,252	0.19%	0.93%	1.02%	0.68%	0.08%	0.93%	2.69%	1.07%
2017	5	0.83%	$16,105	1.05%	$18,037	0.46%	$14,323	0.89%	$18,415	0.09%	0.89%	1.39%	0.88%	0.17%	0.21%	2.37%	0.65%
2017	6	0.15%	$16,129	0.33%	$18,097	-0.05%	$14,315	0.55%	$18,517	-0.09%	0.55%	0.61%	0.09%	-0.91%	0.00%	0.77%	0.12%
2017	7	1.43%	$16,359	1.70%	$18,405	1.23%	$14,491	1.28%	$18,754	0.28%	1.28%	2.04%	0.75%	1.25%	2.55%	2.06%	1.31%
2017	8	0.35%	$16,417	0.53%	$18,502	0.63%	$14,582	0.42%	$18,833	0.19%	0.42%	0.29%	0.41%	0.91%	1.24%	0.09%	-0.73%
2017	9	0.72%	$16,535	1.04%	$18,694	0.14%	$14,603	1.26%	$19,071	-0.20%	1.26%	2.06%	0.27%	-1.28%	0.48%	1.83%	1.32%
2017	10	1.26%	$16,744	1.63%	$19,000	0.76%	$14,715	1.31%	$19,321	-0.08%	1.31%	2.32%	0.34%	-0.41%	2.51%	2.30%	1.91%
2017	11	0.69%	$16,859	1.12%	$19,213	0.28%	$14,757	1.79%	$19,667	-0.27%	1.79%	3.06%	0.13%	-0.08%	-0.33%	1.26%	-0.23%
2017	12	0.92%	$17,014	1.17%	$19,439	0.85%	$14,882	0.78%	$19,821	-0.07%	0.78%	1.10%	0.30%	0.34%	2.86%	0.97%	1.21%
2018	1	2.56%	$17,450	3.30%	$20,079	1.32%	$15,079	2.71%	$20,357	-0.44%	2.71%	5.71%	0.00%	0.08%	3.93%	5.31%	3.37%
2018	2	-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%
2018	3	-0.79%	$16,941	-0.93%	$19,346	-0.12%	$14,781	-0.93%	$19,641	0.29%	-0.93%	-2.56%	0.42%	0.98%	-1.14%	-0.84%	-2.61%
2018	4	-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%
2018	5	0.90%	$17,079	1.23%	$19,578	0.66%	$14,841	1.93%	$20,003	0.36%	1.93%	2.39%	1.05%	0.34%	-0.47%	1.55%	-0.15%
2018	6	-0.05%	$17,071	-0.12%	$19,554	-0.24%	$14,806	0.40%	$20,082	0.10%	0.40%	0.61%	0.23%	-0.19%	-1.77%	-0.04%	0.17%
2018	7	1.32%	$17,296	1.40%	$19,827	0.32%	$14,854	2.01%	$20,486	-0.10%	2.01%	3.71%	0.56%	-0.93%	-0.21%	1.44%	4.00%
2018	8	0.58%	$17,397	0.89%	$20,003	0.09%	$14,867	2.31%	$20,958	0.37%	2.31%	3.25%	0.90%	-0.94%	-2.43%	0.82%	0.00%
2018	9	-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%
2018	10	-3.65%	$16,747	-4.65%	$19,060	-2.29%	$14,507	-4.76%	$19,934	0.10%	-4.76%	-6.85%	-1.73%	0.69%	-5.32%	-6.15%	-5.27%
2018	11	1.03%	$16,918	1.21%	$19,291	0.76%	$14,618	1.48%	$20,230	0.38%	1.48%	2.03%	0.70%	0.94%	0.22%	1.83%	0.56%
2018	12	-2.97%	$16,416	-3.91%	$18,537	-0.83%	$14,497	-4.93%	$19,233	0.88%	-4.93%	-9.04%	-0.39%	2.89%	-1.91%	-5.08%	-6.07%
2019	1	4.63%	$17,176	5.16%	$19,493	2.94%	$14,923	5.55%	$20,300	0.30%	5.55%	8.00%	3.44%	2.07%	3.01%	6.87%	7.92%
2019	2	1.60%	$17,451	2.05%	$19,893	0.88%	$15,054	2.10%	$20,725	-0.01%	2.10%	3.20%	0.92%	-0.49%	1.66%	3.21%	2.26%
2019	3	1.39%	$17,693	1.61%	$20,213	1.46%	$15,274	1.65%	$21,067	0.78%	1.65%	1.94%	1.54%	1.95%	1.40%	1.40%	0.40%
2019	4	1.78%	$18,007	1.94%	$20,604	0.47%	$15,346	2.39%	$21,571	0.15%	2.39%	4.04%	0.62%	-1.20%	0.08%	3.65%	4.46%
2019	5	-2.20%	$17,611	-2.44%	$20,102	-0.43%	$15,280	-3.21%	$20,879	0.88%	-3.21%	-6.36%	-0.82%	0.81%	0.61%	-3.35%	-6.11%
2019	6	4.12%	$18,336	4.57%	$21,021	3.03%	$15,743	4.63%	$21,847	0.48%	4.63%	7.03%	3.59%	3.90%	2.36%	5.64%	5.36%
2019	7	0.52%	$18,432	0.68%	$21,164	0.30%	$15,789	0.97%	$22,059	-0.09%	0.97%	1.43%	0.74%	0.00%	-0.22%	0.63%	0.66%
2019	8	0.43%	$18,510	0.67%	$21,305	1.65%	$16,050	-0.11%	$22,035	0.92%	-0.11%	-1.59%	0.94%	3.12%	3.65%	-0.33%	-3.05%
2019	9	0.22%	$18,551	0.33%	$21,376	-0.39%	$15,988	0.80%	$22,211	-0.22%	0.80%	1.86%	0.27%	-1.98%	-1.01%	0.25%	1.64%
2019	10	1.01%	$18,738	1.15%	$21,623	0.93%	$16,137	1.39%	$22,519	0.25%	1.39%	2.15%	0.99%	1.55%	0.44%	0.59%	0.67%
2019	11	1.52%	$19,023	1.87%	$22,026	0.64%	$16,240	2.24%	$23,022	-0.05%	2.24%	3.62%	1.31%	-0.76%	0.22%	2.74%	2.75%
2019	12	1.65%	$19,337	1.73%	$22,408	1.01%	$16,405	1.64%	$23,401	0.14%	1.64%	3.01%	0.73%	2.08%	0.42%	3.11%	2.18%
2020	1	0.67%	$19,467	0.91%	$22,613	1.17%	$16,597	0.82%	$23,592	0.60%	0.82%	-0.05%	1.21%	0.90%	2.38%	0.00%	-0.50%
2020	2	-2.77%	$18,928	-3.45%	$21,833	-0.87%	$16,452	-4.22%	$22,595	1.04%	-4.22%	-8.24%	0.40%	-0.22%	-0.90%	-5.45%	-4.55%
2020	3	-5.70%	$17,849	-5.68%	$20,593	-1.65%	$16,181	-8.48%	$20,679	1.01%	-8.48%	-12.37%	0.07%	0.02%	-0.15%	-9.65%	-16.31%
2020	4	7.30%	$19,152	8.78%	$22,400	5.91%	$17,137	8.55%	$22,447	0.22%	8.55%	12.81%	8.66%	6.45%	5.31%	9.17%	7.14%
2020	5	3.10%	$19,745	3.77%	$23,244	2.30%	$17,531	3.45%	$23,222	0.38%	3.45%	4.76%	2.80%	1.06%	3.60%	5.15%	3.68%
2020	6	1.51%	$20,043	1.45%	$23,581	1.04%	$17,714	1.73%	$23,624	0.09%	1.73%	1.98%	1.43%	1.21%	0.69%	1.48%	3.53%
2020	7	3.43%	$20,731	4.29%	$24,593	2.69%	$18,190	3.99%	$24,566	0.18%	3.99%	5.63%	3.36%	2.34%	3.38%	5.88%	2.73%
2020	8	2.84%	$21,320	3.51%	$25,456	1.66%	$18,492	3.86%	$25,514	0.19%	3.86%	7.18%	2.80%	0.07%	1.00%	3.49%	3.93%
2020	9	-1.77%	$20,942	-2.01%	$24,944	-1.12%	$18,286	-2.12%	$24,974	0.06%	-2.12%	-3.81%	-1.28%	-1.17%	-0.93%	-2.15%	-2.78%
2020	10	-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%
2020	11	5.82%	$21,928	6.55%	$26,161	3.50%	$18,762	7.66%	$26,489	0.11%	7.66%	10.94%	6.09%	0.21%	2.83%	6.70%	11.92%
2020	12	2.62%	$22,502	2.90%	$26,921	1.80%	$19,100	2.70%	$27,206	0.08%	2.70%	3.84%	2.32%	0.64%	3.08%	3.13%	5.30%

Risk and Return Metrics

Portfolio return and risk metrics
Metric	Provided Portfolio	Maximum Return at 8.20% Volatility	Maximum Sharpe Ratio Weights	Vanguard 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 Correlation	0.97	0.97	0.85	0.99
Beta^(*)	0.79	0.95	0.47	1.00
Alpha (annualized)	0.14%	0.36%	1.62%	-0.00%
R²	96.66%	96.17%	79.75%	100.00%
Sharpe Ratio	1.12	1.15	1.30	1.13
Sortino Ratio	1.99	2.07	2.76	1.92
Treynor Ratio (%)	9.60	9.92	12.34	9.58
Calmar Ratio	1.18	1.28	2.25	0.90
Active Return	-2.02%	-0.11%	-3.74%	N/A
Tracking Error	2.16%	1.65%	4.86%	N/A
Information Ratio	-0.94	-0.07	-0.77	N/A
Skewness	0.03	0.04	0.61	-0.29
Excess Kurtosis	1.85	1.39	2.22	2.31
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 (%)	77.56	96.50	50.97	100.00
Downside Capture Ratio (%)	76.57	93.82	37.06	100.00
Safe Withdrawal Rate	12.02%	13.06%	11.06%	13.24%
Perpetual Withdrawal Rate	5.61%	7.14%	4.19%	7.22%
Positive Periods	89 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 Ratio	0.98	1.15	1.38	0.93
^* Vanguard Balanced Index Inv is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	Provided Portfolio	Maximum Return at 8.20% Volatility	Maximum Sharpe Ratio Weights	Vanguard Balanced Index Inv
COVID-19 Start	Jan 2020	Mar 2020	-8.31%	-8.93%	-2.50%	-12.34%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2020	Mar 2020	2 months	May 2020	2 months	4 months	-8.31%
2	May 2011	Sep 2011	5 months	Jan 2012	4 months	9 months	-7.68%
3	Feb 2018	Dec 2018	11 months	Feb 2019	2 months	1 year 1 month	-5.93%
4	Jun 2015	Sep 2015	4 months	Apr 2016	7 months	11 months	-4.52%
5	May 2012	May 2012	1 month	Aug 2012	3 months	4 months	-3.36%
6	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-2.81%
7	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-2.20%
8	Sep 2014	Sep 2014	1 month	Nov 2014	2 months	3 months	-1.59%
9	Aug 2013	Aug 2013	1 month	Sep 2013	1 month	2 months	-1.56%
10	Oct 2016	Oct 2016	1 month	Jan 2017	3 months	4 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)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	May 2011	Sep 2011	5 months	Jan 2012	4 months	9 months	-9.68%
2	Feb 2020	Mar 2020	2 months	May 2020	2 months	4 months	-8.93%
3	Feb 2018	Dec 2018	11 months	Mar 2019	3 months	1 year 2 months	-7.68%
4	Aug 2015	Sep 2015	2 months	Apr 2016	7 months	9 months	-5.54%
5	Apr 2012	May 2012	2 months	Aug 2012	3 months	5 months	-4.25%
6	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-3.55%
7	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-2.44%
8	Aug 2013	Aug 2013	1 month	Sep 2013	1 month	2 months	-2.02%
9	Oct 2016	Oct 2016	1 month	Jan 2017	3 months	4 months	-1.91%
10	Jan 2014	Jan 2014	1 month	Feb 2014	1 month	2 months	-1.75%
Worst 10 drawdowns included above

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Maximum Sharpe Ratio Weights (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2018	Dec 2018	11 months	Mar 2019	3 months	1 year 2 months	-3.86%
2	Jun 2011	Sep 2011	4 months	Oct 2011	1 month	5 months	-3.69%
3	Mar 2015	Sep 2015	7 months	Mar 2016	6 months	1 year 1 month	-3.13%
4	Feb 2020	Mar 2020	2 months	Apr 2020	1 month	3 months	-2.50%
5	Aug 2016	Nov 2016	4 months	Feb 2017	3 months	7 months	-2.29%
6	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-1.97%
7	May 2012	May 2012	1 month	Jul 2012	2 months	3 months	-1.97%
8	Sep 2014	Sep 2014	1 month	Nov 2014	2 months	3 months	-1.57%
9	Aug 2013	Aug 2013	1 month	Sep 2013	1 month	2 months	-1.33%
10	May 2013	Jun 2013	2 months	Jul 2013	1 month	3 months	-1.31%
Worst 10 drawdowns included above

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2020	Mar 2020	2 months	Jun 2020	3 months	5 months	-12.34%
2	May 2011	Sep 2011	5 months	Jan 2012	4 months	9 months	-9.03%
3	Sep 2018	Dec 2018	4 months	Mar 2019	3 months	7 months	-8.23%
4	Jun 2015	Sep 2015	4 months	Apr 2016	7 months	11 months	-5.23%
5	Feb 2018	Apr 2018	3 months	Jul 2018	3 months	6 months	-3.60%
6	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-3.56%
7	May 2012	May 2012	1 month	Jul 2012	2 months	3 months	-3.34%
8	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-3.21%
9	Aug 2013	Aug 2013	1 month	Sep 2013	1 month	2 months	-1.95%
10	Oct 2016	Oct 2016	1 month	Dec 2016	2 months	3 months	-1.68%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
VFISX	Vanguard Short-Term Treasury Inv	1.33%	1.09%	3.96%	-0.52%	-1.15%	0.71	1.34	-0.30
VBINX	Vanguard Balanced Index Inv	10.26%	8.42%	21.67%	-2.97%	-12.34%	1.13	1.92	0.99
VFINX	Vanguard 500 Index Investor	14.50%	13.52%	32.18%	-4.52%	-19.63%	1.03	1.69	1.00
COTZX	Columbia Thermostat Inst	9.12%	6.06%	29.63%	0.12%	-7.99%	1.38	3.06	0.79
HSTRX	Hussman Strategic Total Return	3.04%	5.32%	11.45%	-8.37%	-9.22%	0.48	0.85	0.10
GAVAX	KL Allocation Advisor	7.96%	7.07%	20.74%	-12.51%	-15.82%	1.03	1.87	0.68
LSWWX	Loomis Sayles Global Allocation Y	10.01%	11.08%	26.80%	-5.04%	-16.46%	0.87	1.37	0.94
FPACX	FPA Crescent	8.62%	11.04%	21.95%	-7.43%	-20.51%	0.75	1.12	0.94

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Annualized Return			Expense Ratio
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year	Net	Gross
Vanguard Short-Term Treasury Inv	0.13%	3.96%	3.96%	2.96%	2.05%	1.42%	0.20%	0.20%
Vanguard Balanced Index Inv	8.94%	16.26%	16.26%	11.13%	11.15%	9.84%	0.18%	0.18%
Vanguard 500 Index Investor	12.12%	18.25%	18.25%	14.03%	15.07%	13.72%	0.14%	0.14%
Columbia Thermostat Inst	7.27%	29.63%	29.63%	14.33%	10.55%	8.59%	0.60%	0.65%
Hussman Strategic Total Return	0.43%	11.45%	11.45%	8.01%	6.62%	3.16%	0.78%	0.78%
KL Allocation Advisor	4.87%	20.74%	20.74%	6.16%	6.92%	8.12%	1.53%	1.60%
Loomis Sayles Global Allocation Y	8.13%	15.38%	15.38%	11.58%	12.17%	9.56%	0.89%	0.89%
FPA Crescent	18.15%	12.11%	12.11%	7.59%	8.68%	8.18%	1.06%	1.08%
Trailing returns as of last calendar month ending December 2020

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	VFISX	VBINX	VFINX	COTZX	HSTRX	GAVAX	LSWWX	FPACX	Provided Portfolio	Maximum Return at 8.20% Volatility	Maximum Sharpe Ratio Weights	Vanguard Balanced Index Inv
VFISX	Vanguard Short-Term Treasury Inv	1.00	-0.19	-0.29	0.12	0.49	0.07	-0.15	-0.36	-0.12	-0.12	0.13	-0.19
VBINX	Vanguard Balanced Index Inv	-0.19	1.00	0.99	0.82	0.19	0.72	0.94	0.92	0.98	0.98	0.89	1.00
VFINX	Vanguard 500 Index Investor	-0.29	0.99	1.00	0.78	0.10	0.69	0.93	0.93	0.96	0.97	0.84	0.99
COTZX	Columbia Thermostat Inst	0.12	0.82	0.78	1.00	0.38	0.65	0.83	0.70	0.87	0.87	0.90	0.82
HSTRX	Hussman Strategic Total Return	0.49	0.19	0.10	0.38	1.00	0.26	0.19	0.06	0.29	0.24	0.51	0.19
GAVAX	KL Allocation Advisor	0.07	0.72	0.69	0.65	0.26	1.00	0.72	0.56	0.77	0.80	0.85	0.72
LSWWX	Loomis Sayles Global Allocation Y	-0.15	0.94	0.93	0.83	0.19	0.72	1.00	0.87	0.96	0.97	0.88	0.94
FPACX	FPA Crescent	-0.36	0.92	0.93	0.70	0.06	0.56	0.87	1.00	0.91	0.88	0.74	0.92

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Provided Portfolio	Maximum Return at 8.20% Volatility	Maximum Sharpe Ratio Weights
VFISX	Vanguard Short-Term Treasury Inv	$289		$394
VBINX	Vanguard Balanced Index Inv	$2,004	$3,416	$2,841
VFINX	Vanguard 500 Index Investor	$2,844	$4,838	$229
COTZX	Columbia Thermostat Inst	$1,804	$3,091	$2,539
HSTRX	Hussman Strategic Total Return	$647	$277	$903
GAVAX	KL Allocation Advisor	$1,424	$2,613	$2,194
LSWWX	Loomis Sayles Global Allocation Y	$1,875	$2,687
FPACX	FPA 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
Ticker	Name	Provided Portfolio	Maximum Return at 8.20% Volatility	Maximum Sharpe Ratio Weights
VFISX	Vanguard Short-Term Treasury Inv	-0.25%		0.65%
VBINX	Vanguard Balanced Index Inv	15.90%	20.19%	33.65%
VFINX	Vanguard 500 Index Investor	25.06%	31.98%	2.89%
COTZX	Columbia Thermostat Inst	10.15%	12.94%	24.53%
HSTRX	Hussman Strategic Total Return	2.71%	0.71%	11.40%
GAVAX	KL Allocation Advisor	9.71%	13.91%	26.88%
LSWWX	Loomis Sayles Global Allocation Y	18.94%	20.26%
FPACX	FPA Crescent	17.77%
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 Period	Provided Portfolio			Maximum Return at 8.20% Volatility			Maximum Sharpe Ratio Weights			Vanguard Balanced Index Inv
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low	Average	High	Low
1 year	7.24%	17.80%	-3.52%	9.02%	21.38%	-4.64%	5.92%	16.43%	-2.59%	9.08%	21.67%	-4.24%
3 years	6.89%	11.09%	4.10%	8.58%	14.26%	5.15%	5.18%	8.67%	2.93%	8.97%	14.33%	4.57%
5 years	6.51%	9.33%	4.09%	8.07%	11.04%	4.97%	4.96%	7.62%	3.16%	8.47%	11.15%	4.93%
7 years	6.84%	7.93%	5.24%	8.51%	10.09%	6.56%	5.14%	6.49%	4.33%	8.91%	10.67%	6.69%
10 years	7.73%	7.97%	7.34%	9.57%	9.83%	9.13%	6.24%	6.40%	5.99%	9.63%	9.94%	9.15%

Portfolio Optimization

Portfolio Optimization Overview

Portfolio Optimization Configuration

Portfolio Optimization Results (Oct 2010 - Dec 2020) Save

Provided Portfolio

Maximum Return at 8.20% Volatility

Maximum Sharpe Ratio Weights

Portfolio Performance Summary

Performance Summary

Portfolio Growth

Annual Returns

Trailing Returns

Efficient Frontier Assets

Asset Correlations

Efficient Frontiers

Efficient Frontier Portfolios

Annual Returns

Monthly Returns

Risk and Return Metrics

Drawdowns

Historical Market Stress Periods

Drawdowns for Provided Portfolio

Drawdowns for Maximum Return at 8.20% Volatility

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Vanguard Balanced Index Inv

Portfolio Assets

Portfolio Asset Performance

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns

Rolling Returns

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years