This portfolio optimizer tool supports the following portfolio optimization strategies:
The optimization is based on the monthly return statistics of the selected portfolio assets for the given time period. The optimization result does not predict what allocation would perform best outside the given time period, and the actual performance of portfolios constructed using the optimized asset weights may vary from the given performance goal.
The required inputs for the optimization include the time range and the portfolio assets. Portfolio asset weights and constraints are optional. You can also use the Black-Litterman model based portfolio optimization, which allows the benchmark portfolio asset weights to be optimized based on investor's views.
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% |
LCORX | Leuthold Core Investment Retail | 12.00% |
LSWWX | Loomis Sayles Global Allocation Y | 12.00% |
FPACX | FPA Crescent | 12.00% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
VBINX | Vanguard Balanced Index Inv | 20.00% |
VFINX | Vanguard 500 Index Investor | 13.97% |
COTZX | Columbia Thermostat Inst | 6.03% |
HSTRX | Hussman Strategic Total Return | 20.00% |
LSWWX | Loomis Sayles Global Allocation Y | 20.00% |
FPACX | FPA Crescent | 20.00% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
VFISX | Vanguard Short-Term Treasury Inv | 20.00% |
VBINX | Vanguard Balanced Index Inv | 20.00% |
COTZX | Columbia Thermostat Inst | 15.56% |
HSTRX | Hussman Strategic Total Return | 20.00% |
LSWWX | Loomis Sayles Global Allocation Y | 4.60% |
FPACX | FPA Crescent | 19.85% |
Save portfolio » |
Metric | Provided Portfolio | Maximum Return at 9.00% Volatility | Maximum Sharpe Ratio Weights | Vanguard Balanced Index Inv |
---|---|---|---|---|
Start Balance | $10,000 | $10,000 | $10,000 | $10,000 |
End Balance | $41,680 | $47,741 | $34,191 | $45,924 |
Annualized Return (CAGR) | 8.14% | 8.94% | 6.97% | 8.71% |
Expected Return | 8.18% | 9.00% | 6.94% | 8.79% |
Standard Deviation | 8.10% | 8.99% | 6.02% | 9.03% |
Best Year | 22.69% | 24.75% | 17.77% | 21.67% |
Worst Year | -21.65% | -23.26% | -13.47% | -22.21% |
Maximum Drawdown | -29.52% | -31.02% | -21.13% | -32.57% |
Sharpe Ratio (ex-ante) | 0.86 | 0.86 | 0.95 | 0.84 |
Sharpe Ratio (ex-post) | 0.85 | 0.86 | 0.94 | 0.83 |
Sortino Ratio | 1.31 | 1.32 | 1.49 | 1.28 |
Active Return | -0.58% | 0.23% | -1.74% | N/A |
Tracking Error | 2.10% | 1.97% | 3.78% | N/A |
Information Ratio | -0.27 | 0.12 | -0.46 | N/A |
Stock Market Correlation | 0.96 | 0.96 | 0.92 | 0.99 |
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Provided Portfolio | 7.65% | 15.04% | 15.04% | 9.58% | 9.31% | 7.72% | 8.14% | 9.55% | 7.75% |
Maximum Return at 9.00% Volatility | 9.21% | 15.75% | 15.75% | 10.72% | 10.62% | 8.69% | 8.94% | 11.63% | 9.42% |
Maximum Sharpe Ratio Weights | 6.93% | 14.36% | 14.36% | 8.92% | 8.04% | 6.38% | 6.97% | 7.46% | 6.04% |
Vanguard Balanced Index Inv | 8.94% | 16.26% | 16.26% | 11.13% | 11.15% | 9.84% | 8.71% | 11.91% | 9.66% |
Trailing return and volatility are as of last full calendar month ending December 2020 |
# | Asset | Expected Return | Standard Deviation | Sharpe Ratio | Min. Weight | Max. Weight |
---|---|---|---|---|---|---|
1 | Vanguard Short-Term Treasury Inv (VFISX) | 2.31% | 1.57% | 0.676 | 0.00% | 20.00% |
2 | Vanguard Balanced Index Inv (VBINX) | 8.79% | 9.03% | 0.835 | 0.00% | 20.00% |
3 | Vanguard 500 Index Investor (VFINX) | 11.37% | 14.44% | 0.701 | 0.00% | 20.00% |
4 | Columbia Thermostat Inst (COTZX) | 8.51% | 9.67% | 0.752 | 0.00% | 20.00% |
5 | Hussman Strategic Total Return (HSTRX) | 5.19% | 5.98% | 0.659 | 0.00% | 20.00% |
6 | Leuthold Core Investment Retail (LCORX) | 8.86% | 10.82% | 0.704 | 0.00% | 20.00% |
7 | Loomis Sayles Global Allocation Y (LSWWX) | 11.26% | 12.79% | 0.784 | 0.00% | 20.00% |
8 | FPA Crescent (FPACX) | 9.26% | 10.61% | 0.756 | 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. |
Name | Ticker | VFISX | VBINX | VFINX | COTZX | HSTRX | LCORX | LSWWX | FPACX |
---|---|---|---|---|---|---|---|---|---|
Vanguard Short-Term Treasury Inv | VFISX | 1.00 | -0.17 | -0.28 | -0.08 | 0.52 | -0.19 | -0.18 | -0.29 |
Vanguard Balanced Index Inv | VBINX | -0.17 | 1.00 | 0.99 | 0.88 | 0.21 | 0.87 | 0.91 | 0.89 |
Vanguard 500 Index Investor | VFINX | -0.28 | 0.99 | 1.00 | 0.85 | 0.11 | 0.85 | 0.89 | 0.88 |
Columbia Thermostat Inst | COTZX | -0.08 | 0.88 | 0.85 | 1.00 | 0.27 | 0.84 | 0.85 | 0.74 |
Hussman Strategic Total Return | HSTRX | 0.52 | 0.21 | 0.11 | 0.27 | 1.00 | 0.26 | 0.24 | 0.16 |
Leuthold Core Investment Retail | LCORX | -0.19 | 0.87 | 0.85 | 0.84 | 0.26 | 1.00 | 0.89 | 0.82 |
Loomis Sayles Global Allocation Y | LSWWX | -0.18 | 0.91 | 0.89 | 0.85 | 0.24 | 0.89 | 1.00 | 0.84 |
FPA Crescent | FPACX | -0.29 | 0.89 | 0.88 | 0.74 | 0.16 | 0.82 | 0.84 | 1.00 |
Based on monthly returns from Oct 2002 to Dec 2020 |
# | VFISX | VBINX | VFINX | COTZX | HSTRX | LCORX | LSWWX | FPACX | Expected Return * | Standard Deviation * | Sharpe Ratio * |
---|---|---|---|---|---|---|---|---|---|---|---|
1 | 20.00% | 20.00% | 0.00% | 20.00% | 20.00% | 0.00% | 0.00% | 20.00% | 6.81% | 5.90% | 0.944 |
2 | 20.00% | 20.00% | 0.00% | 18.86% | 20.00% | 0.00% | 1.14% | 20.00% | 6.84% | 5.93% | 0.945 |
3 | 20.00% | 20.00% | 0.00% | 17.72% | 20.00% | 0.00% | 2.28% | 20.00% | 6.87% | 5.96% | 0.945 |
4 | 20.00% | 20.00% | 0.00% | 16.58% | 20.00% | 0.00% | 3.42% | 20.00% | 6.91% | 5.99% | 0.945 |
5 | 20.00% | 20.00% | 0.00% | 15.56% | 20.00% | 0.00% | 4.60% | 19.85% | 6.94% | 6.02% | 0.945 |
6 | 20.00% | 20.00% | 0.00% | 14.69% | 20.00% | 0.00% | 5.84% | 19.48% | 6.97% | 6.06% | 0.945 |
7 | 20.00% | 20.00% | 0.00% | 13.82% | 20.00% | 0.00% | 7.07% | 19.10% | 7.00% | 6.09% | 0.945 |
8 | 20.00% | 20.00% | 0.00% | 12.95% | 20.00% | 0.00% | 8.31% | 18.73% | 7.03% | 6.13% | 0.944 |
9 | 20.00% | 20.00% | 0.00% | 12.08% | 20.00% | 0.00% | 9.55% | 18.36% | 7.06% | 6.16% | 0.944 |
10 | 20.00% | 20.00% | 0.00% | 11.22% | 20.00% | 0.00% | 10.79% | 17.99% | 7.09% | 6.20% | 0.944 |
11 | 20.00% | 20.00% | 0.00% | 10.35% | 20.00% | 0.00% | 12.03% | 17.62% | 7.12% | 6.24% | 0.943 |
12 | 20.00% | 20.00% | 0.00% | 9.48% | 20.00% | 0.00% | 13.27% | 17.25% | 7.16% | 6.28% | 0.942 |
13 | 20.00% | 20.00% | 0.00% | 8.61% | 20.00% | 0.00% | 14.51% | 16.88% | 7.19% | 6.31% | 0.941 |
14 | 20.00% | 20.00% | 0.00% | 7.74% | 20.00% | 0.00% | 15.75% | 16.51% | 7.22% | 6.35% | 0.941 |
15 | 20.00% | 20.00% | 0.00% | 6.87% | 20.00% | 0.00% | 16.99% | 16.14% | 7.25% | 6.39% | 0.940 |
16 | 20.00% | 20.00% | 0.00% | 6.01% | 20.00% | 0.00% | 18.23% | 15.77% | 7.28% | 6.43% | 0.939 |
17 | 20.00% | 20.00% | 0.00% | 5.14% | 20.00% | 0.00% | 19.47% | 15.40% | 7.31% | 6.47% | 0.937 |
18 | 19.78% | 20.00% | 0.00% | 4.41% | 20.00% | 0.00% | 20.00% | 15.81% | 7.34% | 6.52% | 0.936 |
19 | 19.30% | 20.00% | 0.00% | 4.66% | 20.00% | 0.00% | 20.00% | 16.03% | 7.37% | 6.56% | 0.935 |
20 | 18.83% | 20.00% | 0.00% | 4.92% | 20.00% | 0.00% | 20.00% | 16.25% | 7.41% | 6.60% | 0.933 |
21 | 18.35% | 20.00% | 0.00% | 5.18% | 20.00% | 0.00% | 20.00% | 16.47% | 7.44% | 6.65% | 0.932 |
22 | 17.87% | 20.00% | 0.00% | 5.43% | 20.00% | 0.00% | 20.00% | 16.69% | 7.47% | 6.69% | 0.931 |
23 | 17.39% | 20.00% | 0.00% | 5.69% | 20.00% | 0.00% | 20.00% | 16.92% | 7.50% | 6.73% | 0.929 |
24 | 16.92% | 20.00% | 0.00% | 5.95% | 20.00% | 0.00% | 20.00% | 17.14% | 7.53% | 6.78% | 0.928 |
25 | 16.44% | 20.00% | 0.00% | 6.20% | 20.00% | 0.00% | 20.00% | 17.36% | 7.56% | 6.82% | 0.927 |
26 | 15.96% | 20.00% | 0.00% | 6.46% | 20.00% | 0.00% | 20.00% | 17.58% | 7.59% | 6.86% | 0.925 |
27 | 15.49% | 20.00% | 0.00% | 6.72% | 20.00% | 0.00% | 20.00% | 17.80% | 7.63% | 6.91% | 0.924 |
28 | 15.01% | 20.00% | 0.00% | 6.97% | 20.00% | 0.00% | 20.00% | 18.02% | 7.66% | 6.95% | 0.923 |
29 | 14.53% | 20.00% | 0.00% | 7.23% | 20.00% | 0.00% | 20.00% | 18.24% | 7.69% | 7.00% | 0.921 |
30 | 14.05% | 20.00% | 0.00% | 7.49% | 20.00% | 0.00% | 20.00% | 18.46% | 7.72% | 7.04% | 0.920 |
31 | 13.58% | 20.00% | 0.00% | 7.74% | 20.00% | 0.00% | 20.00% | 18.68% | 7.75% | 7.08% | 0.919 |
32 | 13.10% | 20.00% | 0.00% | 8.00% | 20.00% | 0.00% | 20.00% | 18.90% | 7.78% | 7.13% | 0.917 |
33 | 12.62% | 20.00% | 0.00% | 8.25% | 20.00% | 0.00% | 20.00% | 19.12% | 7.81% | 7.17% | 0.916 |
34 | 12.14% | 20.00% | 0.00% | 8.51% | 20.00% | 0.00% | 20.00% | 19.35% | 7.84% | 7.21% | 0.915 |
35 | 11.67% | 20.00% | 0.00% | 8.77% | 20.00% | 0.00% | 20.00% | 19.57% | 7.88% | 7.26% | 0.914 |
36 | 11.19% | 20.00% | 0.00% | 9.02% | 20.00% | 0.00% | 20.00% | 19.79% | 7.91% | 7.30% | 0.912 |
37 | 10.71% | 20.00% | 0.00% | 9.29% | 20.00% | 0.00% | 20.00% | 20.00% | 7.94% | 7.35% | 0.911 |
38 | 10.21% | 20.00% | 0.00% | 9.79% | 20.00% | 0.00% | 20.00% | 20.00% | 7.97% | 7.39% | 0.910 |
39 | 9.70% | 20.00% | 0.00% | 10.30% | 20.00% | 0.00% | 20.00% | 20.00% | 8.00% | 7.44% | 0.909 |
40 | 9.20% | 20.00% | 0.00% | 10.80% | 20.00% | 0.00% | 20.00% | 20.00% | 8.03% | 7.48% | 0.908 |
41 | 8.69% | 20.00% | 0.00% | 11.31% | 20.00% | 0.00% | 20.00% | 20.00% | 8.06% | 7.52% | 0.906 |
42 | 8.19% | 20.00% | 0.00% | 11.81% | 20.00% | 0.00% | 20.00% | 20.00% | 8.09% | 7.57% | 0.905 |
43 | 7.69% | 20.00% | 0.00% | 12.31% | 20.00% | 0.00% | 20.00% | 20.00% | 8.13% | 7.61% | 0.904 |
44 | 7.18% | 20.00% | 0.00% | 12.82% | 20.00% | 0.00% | 20.00% | 20.00% | 8.16% | 7.66% | 0.903 |
45 | 6.68% | 20.00% | 0.00% | 13.32% | 20.00% | 0.00% | 20.00% | 20.00% | 8.19% | 7.70% | 0.902 |
46 | 6.17% | 20.00% | 0.00% | 13.83% | 20.00% | 0.00% | 20.00% | 20.00% | 8.22% | 7.75% | 0.901 |
47 | 5.67% | 20.00% | 0.00% | 14.33% | 20.00% | 0.00% | 20.00% | 20.00% | 8.25% | 7.79% | 0.899 |
48 | 5.17% | 20.00% | 0.00% | 14.83% | 20.00% | 0.00% | 20.00% | 20.00% | 8.28% | 7.84% | 0.898 |
49 | 4.66% | 20.00% | 0.00% | 15.34% | 20.00% | 0.00% | 20.00% | 20.00% | 8.31% | 7.88% | 0.897 |
50 | 4.16% | 20.00% | 0.00% | 15.84% | 20.00% | 0.00% | 20.00% | 20.00% | 8.34% | 7.93% | 0.896 |
51 | 3.65% | 20.00% | 0.00% | 16.35% | 20.00% | 0.00% | 20.00% | 20.00% | 8.38% | 7.97% | 0.895 |
52 | 3.15% | 20.00% | 0.00% | 16.85% | 20.00% | 0.00% | 20.00% | 20.00% | 8.41% | 8.02% | 0.894 |
53 | 2.65% | 20.00% | 0.00% | 17.35% | 20.00% | 0.00% | 20.00% | 20.00% | 8.44% | 8.06% | 0.893 |
54 | 2.14% | 20.00% | 0.00% | 17.86% | 20.00% | 0.00% | 20.00% | 20.00% | 8.47% | 8.11% | 0.892 |
55 | 1.64% | 20.00% | 0.00% | 18.36% | 20.00% | 0.00% | 20.00% | 20.00% | 8.50% | 8.15% | 0.890 |
56 | 1.13% | 20.00% | 0.00% | 18.87% | 20.00% | 0.00% | 20.00% | 20.00% | 8.53% | 8.20% | 0.889 |
57 | 0.63% | 20.00% | 0.00% | 19.37% | 20.00% | 0.00% | 20.00% | 20.00% | 8.56% | 8.24% | 0.888 |
58 | 0.13% | 20.00% | 0.00% | 19.87% | 20.00% | 0.00% | 20.00% | 20.00% | 8.60% | 8.29% | 0.887 |
59 | 0.00% | 20.00% | 0.82% | 19.18% | 20.00% | 0.00% | 20.00% | 20.00% | 8.63% | 8.34% | 0.886 |
60 | 0.00% | 20.00% | 1.92% | 18.08% | 20.00% | 0.00% | 20.00% | 20.00% | 8.66% | 8.39% | 0.884 |
61 | 0.00% | 20.00% | 3.01% | 16.99% | 20.00% | 0.00% | 20.00% | 20.00% | 8.69% | 8.44% | 0.882 |
62 | 0.00% | 20.00% | 4.11% | 15.89% | 20.00% | 0.00% | 20.00% | 20.00% | 8.72% | 8.49% | 0.881 |
63 | 0.00% | 20.00% | 5.21% | 14.79% | 20.00% | 0.00% | 20.00% | 20.00% | 8.75% | 8.54% | 0.879 |
64 | 0.00% | 20.00% | 6.30% | 13.70% | 20.00% | 0.00% | 20.00% | 20.00% | 8.78% | 8.60% | 0.877 |
65 | 0.00% | 20.00% | 7.40% | 12.60% | 20.00% | 0.00% | 20.00% | 20.00% | 8.81% | 8.65% | 0.875 |
66 | 0.00% | 20.00% | 8.49% | 11.51% | 20.00% | 0.00% | 20.00% | 20.00% | 8.85% | 8.71% | 0.873 |
67 | 0.00% | 20.00% | 9.59% | 10.41% | 20.00% | 0.00% | 20.00% | 20.00% | 8.88% | 8.76% | 0.871 |
68 | 0.00% | 20.00% | 10.68% | 9.32% | 20.00% | 0.00% | 20.00% | 20.00% | 8.91% | 8.82% | 0.869 |
69 | 0.00% | 20.00% | 11.78% | 8.22% | 20.00% | 0.00% | 20.00% | 20.00% | 8.94% | 8.87% | 0.867 |
70 | 0.00% | 20.00% | 12.87% | 7.13% | 20.00% | 0.00% | 20.00% | 20.00% | 8.97% | 8.93% | 0.865 |
71 | 0.00% | 20.00% | 13.97% | 6.03% | 20.00% | 0.00% | 20.00% | 20.00% | 9.00% | 8.99% | 0.863 |
72 | 0.00% | 20.00% | 15.07% | 4.93% | 20.00% | 0.00% | 20.00% | 20.00% | 9.03% | 9.04% | 0.861 |
73 | 0.00% | 20.00% | 16.16% | 3.84% | 20.00% | 0.00% | 20.00% | 20.00% | 9.06% | 9.10% | 0.859 |
74 | 0.00% | 20.00% | 17.26% | 2.74% | 20.00% | 0.00% | 20.00% | 20.00% | 9.10% | 9.16% | 0.857 |
75 | 0.00% | 20.00% | 18.35% | 1.65% | 20.00% | 0.00% | 20.00% | 20.00% | 9.13% | 9.22% | 0.855 |
76 | 0.00% | 20.00% | 19.45% | 0.55% | 20.00% | 0.00% | 20.00% | 20.00% | 9.16% | 9.28% | 0.853 |
77 | 0.00% | 20.00% | 20.00% | 0.47% | 19.53% | 0.00% | 20.00% | 20.00% | 9.19% | 9.34% | 0.851 |
78 | 0.00% | 20.00% | 20.00% | 1.41% | 18.59% | 0.00% | 20.00% | 20.00% | 9.22% | 9.40% | 0.849 |
79 | 0.00% | 20.00% | 20.00% | 2.35% | 17.65% | 0.00% | 20.00% | 20.00% | 9.25% | 9.46% | 0.846 |
80 | 0.00% | 20.00% | 20.00% | 3.29% | 16.71% | 0.00% | 20.00% | 20.00% | 9.28% | 9.53% | 0.844 |
81 | 0.00% | 20.00% | 20.00% | 4.23% | 15.77% | 0.00% | 20.00% | 20.00% | 9.31% | 9.59% | 0.841 |
82 | 0.00% | 20.00% | 20.00% | 5.17% | 14.83% | 0.00% | 20.00% | 20.00% | 9.35% | 9.66% | 0.839 |
83 | 0.00% | 20.00% | 20.00% | 6.11% | 13.89% | 0.00% | 20.00% | 20.00% | 9.38% | 9.72% | 0.837 |
84 | 0.00% | 20.00% | 20.00% | 7.05% | 12.95% | 0.00% | 20.00% | 20.00% | 9.41% | 9.79% | 0.834 |
85 | 0.00% | 20.00% | 20.00% | 7.99% | 12.01% | 0.00% | 20.00% | 20.00% | 9.44% | 9.85% | 0.832 |
86 | 0.00% | 20.00% | 20.00% | 8.93% | 11.07% | 0.00% | 20.00% | 20.00% | 9.47% | 9.92% | 0.829 |
87 | 0.00% | 20.00% | 20.00% | 9.87% | 10.13% | 0.00% | 20.00% | 20.00% | 9.50% | 9.99% | 0.827 |
88 | 0.00% | 20.00% | 20.00% | 10.81% | 9.19% | 0.00% | 20.00% | 20.00% | 9.53% | 10.05% | 0.825 |
89 | 0.00% | 20.00% | 20.00% | 11.75% | 8.25% | 0.00% | 20.00% | 20.00% | 9.57% | 10.12% | 0.822 |
90 | 0.00% | 20.00% | 20.00% | 12.69% | 7.31% | 0.00% | 20.00% | 20.00% | 9.60% | 10.19% | 0.820 |
91 | 0.00% | 20.00% | 20.00% | 13.62% | 6.38% | 0.00% | 20.00% | 20.00% | 9.63% | 10.26% | 0.817 |
92 | 0.00% | 20.00% | 20.00% | 14.56% | 5.44% | 0.00% | 20.00% | 20.00% | 9.66% | 10.33% | 0.815 |
93 | 0.00% | 20.00% | 20.00% | 15.50% | 4.50% | 0.00% | 20.00% | 20.00% | 9.69% | 10.40% | 0.813 |
94 | 0.00% | 20.00% | 20.00% | 16.44% | 3.56% | 0.00% | 20.00% | 20.00% | 9.72% | 10.46% | 0.810 |
95 | 0.00% | 20.00% | 20.00% | 17.38% | 2.62% | 0.00% | 20.00% | 20.00% | 9.75% | 10.53% | 0.808 |
96 | 0.00% | 20.00% | 20.00% | 18.32% | 1.68% | 0.00% | 20.00% | 20.00% | 9.78% | 10.60% | 0.805 |
97 | 0.00% | 20.00% | 20.00% | 19.26% | 0.74% | 0.00% | 20.00% | 20.00% | 9.82% | 10.68% | 0.803 |
98 | 0.00% | 20.00% | 20.00% | 18.04% | 0.00% | 1.96% | 20.00% | 20.00% | 9.85% | 10.75% | 0.800 |
99 | 0.00% | 20.00% | 20.00% | 9.02% | 0.00% | 10.98% | 20.00% | 20.00% | 9.88% | 10.86% | 0.795 |
100 | 0.00% | 20.00% | 20.00% | 0.00% | 0.00% | 20.00% | 20.00% | 20.00% | 9.91% | 10.99% | 0.789 |
*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. |
Year | Inflation | Provided Portfolio | Maximum Return at 9.00% 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) | Leuthold Core Investment Retail (LCORX) | Loomis Sayles Global Allocation Y (LSWWX) | FPA Crescent (FPACX) | ||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | Return | Balance | ||||||||||
2002 | -0.06% | 5.09% | $10,509 | 5.59% | $10,559 | 3.96% | $10,396 | 5.20% | $10,520 | 0.81% | 5.20% | 8.39% | 5.69% | 2.71% | 5.27% | 7.28% | 4.62% |
2003 | 1.88% | 22.41% | $12,864 | 22.47% | $12,932 | 15.89% | $12,047 | 19.87% | $12,610 | 2.38% | 19.87% | 28.50% | 19.79% | 9.80% | 47.18% | 31.16% | 26.15% |
2004 | 3.26% | 8.65% | $13,978 | 10.13% | $14,242 | 7.48% | $12,949 | 9.32% | $13,786 | 1.03% | 9.32% | 10.74% | 9.17% | 6.50% | 8.26% | 14.12% | 10.21% |
2005 | 3.42% | 7.42% | $15,015 | 7.78% | $15,350 | 6.07% | $13,734 | 4.65% | $14,427 | 1.77% | 4.65% | 4.77% | 5.50% | 6.00% | 14.58% | 12.38% | 10.83% |
2006 | 2.54% | 10.33% | $16,567 | 10.89% | $17,021 | 8.75% | $14,936 | 11.02% | $16,017 | 3.77% | 11.02% | 15.64% | 10.86% | 5.66% | 12.21% | 11.06% | 12.43% |
2007 | 4.08% | 11.34% | $18,446 | 11.56% | $18,988 | 9.23% | $16,315 | 6.16% | $17,004 | 7.89% | 6.16% | 5.39% | 8.49% | 12.61% | 19.00% | 26.49% | 6.84% |
2008 | 0.09% | -21.65% | $14,453 | -23.26% | $14,572 | -13.47% | $14,117 | -22.21% | $13,228 | 6.68% | -22.21% | -37.02% | -30.53% | 6.34% | -27.44% | -39.19% | -20.55% |
2009 | 2.72% | 22.69% | $17,733 | 24.75% | $18,179 | 17.77% | $16,625 | 20.05% | $15,880 | 1.44% | 20.05% | 26.49% | 32.29% | 5.84% | 27.49% | 42.52% | 28.37% |
2010 | 1.50% | 11.73% | $19,814 | 14.13% | $20,747 | 10.81% | $18,423 | 13.13% | $17,965 | 2.64% | 13.13% | 14.91% | 17.58% | 7.03% | 3.53% | 21.69% | 12.04% |
2011 | 2.96% | 1.97% | $20,205 | 2.81% | $21,331 | 3.54% | $19,075 | 4.14% | $18,708 | 2.26% | 4.14% | 1.97% | 4.85% | 4.00% | -5.34% | -0.73% | 3.02% |
2012 | 1.74% | 9.59% | $22,141 | 10.66% | $23,605 | 7.46% | $20,499 | 11.33% | $20,828 | 0.69% | 11.33% | 15.82% | 13.69% | 1.14% | 8.32% | 15.49% | 10.33% |
2013 | 1.50% | 13.04% | $25,028 | 13.95% | $26,899 | 7.93% | $22,123 | 17.91% | $24,559 | -0.10% | 17.91% | 32.18% | 9.30% | -8.37% | 19.18% | 16.25% | 21.95% |
2014 | 0.76% | 6.56% | $26,669 | 6.99% | $28,779 | 5.22% | $23,279 | 9.84% | $26,976 | 0.71% | 9.84% | 13.51% | 5.57% | 3.78% | 8.58% | 3.53% | 6.64% |
2015 | 0.73% | 0.16% | $26,712 | 0.13% | $28,816 | -0.21% | $23,229 | 0.37% | $27,075 | 0.45% | 0.37% | 1.25% | 0.33% | -1.01% | -0.98% | 1.69% | -2.06% |
2016 | 2.07% | 6.77% | $28,521 | 8.36% | $31,225 | 6.59% | $24,761 | 8.63% | $29,413 | 0.99% | 8.63% | 11.82% | 4.72% | 8.03% | 4.51% | 4.67% | 10.25% |
2017 | 2.11% | 11.07% | $31,677 | 12.63% | $35,169 | 6.87% | $26,461 | 13.75% | $33,458 | 0.39% | 13.75% | 21.67% | 5.52% | 1.21% | 15.77% | 22.11% | 10.39% |
2018 | 1.91% | -2.72% | $30,815 | -3.29% | $34,013 | -1.63% | $26,030 | -2.97% | $32,466 | 1.35% | -2.97% | -4.52% | 0.12% | 1.48% | -6.21% | -5.04% | -7.43% |
2019 | 2.29% | 17.57% | $36,229 | 21.26% | $41,246 | 14.86% | $29,899 | 21.67% | $39,501 | 3.59% | 21.67% | 31.33% | 15.14% | 11.42% | 11.58% | 26.80% | 20.02% |
2020 | 1.36% | 15.04% | $41,680 | 15.75% | $47,741 | 14.36% | $34,191 | 16.26% | $45,924 | 3.96% | 16.26% | 18.25% | 29.63% | 11.45% | 10.09% | 15.38% | 12.11% |
Annual return for 2002 is from 10/01/2002 to 12/31/2002 |
Year | Month | Provided Portfolio | Maximum Return at 9.00% 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) | Leuthold Core Investment Retail (LCORX) | Loomis Sayles Global Allocation Y (LSWWX) | FPA Crescent (FPACX) | ||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | Return | Balance | ||||||||||
2002 | 10 | 2.69% | $10,269 | 2.56% | $10,256 | 1.31% | $10,131 | 4.26% | $10,426 | 0.02% | 4.26% | 8.78% | 3.76% | -1.31% | 2.91% | 2.52% | 0.06% |
2002 | 11 | 3.51% | $10,630 | 3.66% | $10,631 | 2.51% | $10,385 | 3.58% | $10,799 | -0.66% | 3.58% | 5.88% | 4.70% | -0.41% | 5.47% | 4.15% | 5.45% |
2002 | 12 | -1.13% | $10,509 | -0.68% | $10,559 | 0.11% | $10,396 | -2.59% | $10,520 | 1.46% | -2.59% | -5.89% | -2.71% | 4.49% | -3.01% | 0.47% | -0.85% |
2003 | 1 | -0.71% | $10,435 | -0.95% | $10,459 | -0.88% | $10,304 | -1.47% | $10,365 | -0.13% | -1.47% | -2.62% | -1.44% | 0.10% | 1.25% | 0.90% | -2.01% |
2003 | 2 | -0.42% | $10,391 | -0.43% | $10,414 | -0.38% | $10,264 | -0.39% | $10,325 | 0.68% | -0.39% | -1.52% | -1.56% | 0.29% | -0.28% | 1.02% | -1.52% |
2003 | 3 | 0.46% | $10,438 | 0.43% | $10,459 | 0.39% | $10,305 | 0.58% | $10,385 | 0.23% | 0.58% | 0.96% | 0.89% | -0.90% | 0.26% | 0.25% | 1.31% |
2003 | 4 | 4.34% | $10,891 | 4.65% | $10,945 | 3.22% | $10,637 | 5.22% | $10,926 | 0.11% | 5.22% | 8.25% | 5.10% | 0.00% | 5.22% | 5.01% | 5.70% |
2003 | 5 | 4.80% | $11,414 | 5.05% | $11,498 | 4.14% | $11,077 | 4.34% | $11,400 | 1.05% | 4.34% | 5.26% | 4.58% | 4.25% | 7.66% | 5.25% | 6.34% |
2003 | 6 | 1.22% | $11,553 | 1.12% | $11,627 | 0.95% | $11,182 | 0.88% | $11,501 | 0.01% | 0.88% | 1.26% | 1.32% | 0.66% | 2.95% | 0.79% | 1.99% |
2003 | 7 | 0.48% | $11,609 | -0.05% | $11,621 | -0.23% | $11,157 | 0.06% | $11,508 | -0.91% | 0.06% | 1.74% | 0.62% | -2.56% | 4.07% | -1.24% | 2.11% |
2003 | 8 | 2.22% | $11,867 | 2.49% | $11,910 | 2.09% | $11,390 | 1.66% | $11,699 | 0.02% | 1.66% | 1.93% | 2.02% | 2.53% | 3.60% | 2.05% | 4.23% |
2003 | 9 | 0.80% | $11,961 | 0.95% | $12,024 | 0.71% | $11,471 | 0.41% | $11,746 | 1.15% | 0.41% | -1.07% | -0.26% | 2.87% | 1.20% | 3.91% | -1.60% |
2003 | 10 | 3.25% | $12,350 | 3.06% | $12,392 | 1.93% | $11,692 | 3.21% | $12,123 | -0.34% | 3.21% | 5.64% | 3.45% | 0.09% | 7.02% | 3.87% | 3.14% |
2003 | 11 | 1.15% | $12,492 | 1.01% | $12,517 | 0.83% | $11,789 | 0.96% | $12,240 | -0.07% | 0.96% | 0.86% | 1.08% | 0.75% | 3.35% | 0.93% | 1.48% |
2003 | 12 | 2.98% | $12,864 | 3.32% | $12,932 | 2.19% | $12,047 | 3.03% | $12,610 | 0.59% | 3.03% | 5.22% | 2.65% | 1.48% | 3.31% | 4.96% | 2.68% |
2004 | 1 | 1.27% | $13,028 | 1.53% | $13,129 | 1.21% | $12,193 | 1.70% | $12,824 | 0.22% | 1.70% | 1.82% | 1.38% | 0.57% | 0.83% | 1.52% | 2.16% |
2004 | 2 | 1.28% | $13,195 | 1.53% | $13,330 | 1.38% | $12,361 | 1.29% | $12,990 | 0.58% | 1.29% | 1.38% | 1.12% | 1.50% | 0.85% | 1.20% | 2.38% |
2004 | 3 | 0.16% | $13,216 | 0.28% | $13,368 | 0.46% | $12,417 | -0.37% | $12,942 | 0.40% | -0.37% | -1.51% | 0.40% | 1.94% | -0.19% | 0.98% | -0.22% |
2004 | 4 | -2.69% | $12,860 | -2.86% | $12,986 | -2.50% | $12,107 | -2.31% | $12,643 | -1.20% | -2.31% | -1.58% | -2.05% | -5.45% | -4.46% | -3.70% | -1.10% |
2004 | 5 | 0.61% | $12,938 | 0.67% | $13,074 | 0.53% | $12,171 | 0.66% | $12,726 | -0.16% | 0.66% | 1.36% | 0.32% | 2.02% | 1.01% | -0.30% | -0.04% |
2004 | 6 | 1.50% | $13,132 | 1.57% | $13,279 | 1.12% | $12,308 | 1.47% | $12,914 | 0.02% | 1.47% | 1.93% | 1.59% | -0.07% | 2.54% | 2.13% | 2.49% |
2004 | 7 | -1.54% | $12,929 | -1.55% | $13,073 | -0.83% | $12,207 | -1.89% | $12,670 | 0.32% | -1.89% | -3.31% | -1.50% | 0.38% | -2.87% | -2.19% | -1.27% |
2004 | 8 | 0.70% | $13,020 | 0.78% | $13,175 | 0.73% | $12,296 | 0.99% | $12,795 | 0.80% | 0.99% | 0.38% | 0.64% | 2.37% | 0.34% | 1.42% | -1.34% |
2004 | 9 | 1.68% | $13,238 | 1.74% | $13,404 | 1.39% | $12,466 | 1.15% | $12,942 | 0.04% | 1.15% | 1.07% | 1.28% | 1.18% | 3.75% | 2.10% | 3.12% |
2004 | 10 | 0.96% | $13,365 | 1.25% | $13,571 | 0.83% | $12,570 | 1.30% | $13,111 | 0.33% | 1.30% | 1.51% | 1.66% | 1.10% | -0.58% | 2.75% | -0.48% |
2004 | 11 | 2.98% | $13,764 | 2.97% | $13,974 | 1.77% | $12,793 | 2.52% | $13,441 | -0.63% | 2.52% | 4.05% | 2.40% | 0.83% | 7.03% | 4.78% | 3.17% |
2004 | 12 | 1.55% | $13,978 | 1.91% | $14,242 | 1.22% | $12,949 | 2.57% | $13,786 | 0.33% | 2.57% | 3.39% | 1.66% | 0.18% | 0.19% | 2.89% | 1.07% |
2005 | 1 | -1.04% | $13,832 | -1.35% | $14,049 | -0.85% | $12,838 | -1.34% | $13,602 | 0.04% | -1.34% | -2.45% | -0.69% | -1.63% | -0.38% | -1.36% | -0.51% |
2005 | 2 | 1.92% | $14,098 | 2.04% | $14,336 | 1.35% | $13,011 | 0.99% | $13,736 | -0.36% | 0.99% | 2.09% | 0.92% | 1.38% | 4.62% | 2.67% | 3.41% |
2005 | 3 | -1.32% | $13,912 | -1.36% | $14,141 | -0.83% | $12,902 | -1.29% | $13,560 | -0.05% | -1.29% | -1.76% | -1.37% | -0.95% | -2.29% | -2.69% | -0.21% |
2005 | 4 | -1.48% | $13,707 | -1.64% | $13,909 | -1.07% | $12,764 | -0.84% | $13,445 | 0.72% | -0.84% | -1.91% | -0.85% | -1.29% | -3.41% | -1.57% | -2.94% |
2005 | 5 | 2.17% | $14,004 | 2.48% | $14,254 | 1.87% | $13,003 | 2.76% | $13,816 | 0.44% | 2.76% | 3.17% | 2.49% | 0.74% | 1.80% | 3.18% | 2.77% |
2005 | 6 | 1.16% | $14,167 | 1.34% | $14,445 | 1.20% | $13,159 | 0.72% | $13,916 | 0.24% | 0.72% | 0.13% | 0.98% | 2.00% | 1.84% | 1.72% | 1.87% |
2005 | 7 | 2.22% | $14,481 | 2.18% | $14,761 | 1.15% | $13,310 | 2.11% | $14,210 | -0.41% | 2.11% | 3.71% | 1.68% | -1.28% | 5.08% | 3.84% | 3.15% |
2005 | 8 | 0.41% | $14,540 | 0.53% | $14,839 | 0.72% | $13,406 | -0.10% | $14,196 | 0.75% | -0.10% | -0.91% | 0.08% | 1.67% | 0.24% | 0.60% | 1.11% |
2005 | 9 | 1.11% | $14,702 | 1.19% | $15,016 | 0.85% | $13,521 | 0.11% | $14,211 | -0.31% | 0.11% | 0.79% | 0.08% | 3.19% | 3.27% | 1.11% | 0.98% |
2005 | 10 | -1.02% | $14,553 | -1.33% | $14,817 | -1.13% | $13,368 | -1.47% | $14,001 | -0.11% | -1.47% | -1.68% | -1.28% | -1.42% | 0.06% | -0.68% | -1.52% |
2005 | 11 | 1.95% | $14,837 | 2.31% | $15,159 | 1.63% | $13,585 | 2.58% | $14,363 | 0.39% | 2.58% | 3.76% | 2.36% | 1.58% | 0.81% | 2.98% | 1.07% |
2005 | 12 | 1.20% | $15,015 | 1.26% | $15,350 | 1.10% | $13,734 | 0.45% | $14,427 | 0.41% | 0.45% | 0.02% | 1.05% | 2.00% | 2.41% | 2.17% | 1.33% |
2006 | 1 | 2.60% | $15,406 | 3.08% | $15,823 | 2.31% | $14,052 | 2.12% | $14,733 | 0.14% | 2.12% | 2.65% | 2.32% | 2.43% | 3.14% | 4.18% | 4.13% |
2006 | 2 | -0.47% | $15,334 | -0.63% | $15,723 | -0.51% | $13,980 | 0.15% | $14,755 | 0.01% | 0.15% | 0.26% | 0.31% | -1.14% | -1.13% | -0.79% | -1.64% |
2006 | 3 | 0.93% | $15,476 | 0.98% | $15,878 | 0.79% | $14,090 | 0.69% | $14,856 | 0.05% | 0.69% | 1.23% | 0.47% | 0.07% | 1.85% | 0.48% | 2.68% |
2006 | 4 | 1.15% | $15,655 | 1.19% | $16,066 | 1.05% | $14,238 | 0.54% | $14,937 | 0.33% | 0.54% | 1.33% | 0.93% | 1.78% | 2.02% | 0.71% | 1.70% |
2006 | 5 | -1.93% | $15,352 | -2.33% | $15,691 | -1.31% | $14,051 | -1.96% | $14,644 | 0.05% | -1.96% | -2.90% | -1.84% | -0.96% | -1.76% | -5.09% | -1.08% |
2006 | 6 | 0.22% | $15,386 | 0.16% | $15,717 | 0.29% | $14,093 | 0.16% | $14,668 | 0.25% | 0.16% | 0.13% | 0.39% | 0.88% | 0.38% | -0.41% | -0.04% |
2006 | 7 | 0.47% | $15,458 | 0.47% | $15,790 | 0.49% | $14,162 | 0.50% | $14,741 | 0.76% | 0.50% | 0.61% | 0.48% | 0.97% | 0.06% | 0.58% | -0.27% |
2006 | 8 | 1.16% | $15,638 | 1.41% | $16,013 | 1.19% | $14,331 | 2.00% | $15,037 | 0.75% | 2.00% | 2.36% | 1.99% | 0.35% | -0.79% | 1.48% | 0.96% |
2006 | 9 | 0.79% | $15,761 | 0.86% | $16,150 | 0.50% | $14,402 | 1.68% | $15,289 | 0.55% | 1.68% | 2.56% | 1.32% | -1.92% | -0.47% | 1.54% | 0.80% |
2006 | 10 | 2.50% | $16,154 | 2.56% | $16,563 | 1.77% | $14,657 | 2.43% | $15,660 | 0.46% | 2.43% | 3.25% | 1.69% | 2.07% | 4.76% | 3.76% | 1.74% |
2006 | 11 | 2.17% | $16,505 | 2.36% | $16,954 | 1.93% | $14,941 | 1.80% | $15,943 | 0.55% | 1.80% | 1.89% | 1.66% | 2.55% | 3.51% | 2.77% | 2.86% |
2006 | 12 | 0.37% | $16,567 | 0.39% | $17,021 | -0.03% | $14,936 | 0.47% | $16,017 | -0.20% | 0.47% | 1.39% | 0.70% | -1.43% | 0.24% | 1.65% | 0.08% |
2007 | 1 | 0.82% | $16,702 | 0.86% | $17,167 | 0.52% | $15,013 | 1.08% | $16,190 | 0.19% | 1.08% | 1.49% | 0.95% | -0.09% | 0.91% | 1.73% | 0.27% |
2007 | 2 | -0.10% | $16,687 | -0.34% | $17,110 | 0.37% | $15,069 | -0.32% | $16,137 | 0.93% | -0.32% | -1.97% | 0.71% | 0.72% | 0.11% | -1.18% | 0.26% |
2007 | 3 | 0.97% | $16,849 | 1.17% | $17,309 | 0.74% | $15,181 | 0.65% | $16,242 | 0.28% | 0.65% | 1.11% | 0.63% | 0.09% | 1.01% | 2.47% | 1.66% |
2007 | 4 | 2.42% | $17,257 | 2.56% | $17,752 | 1.83% | $15,459 | 2.60% | $16,664 | 0.46% | 2.60% | 4.42% | 2.10% | 0.81% | 3.30% | 2.63% | 3.04% |
2007 | 5 | 1.94% | $17,592 | 2.21% | $18,144 | 1.05% | $15,621 | 1.90% | $16,981 | -0.40% | 1.90% | 3.48% | 0.84% | -0.63% | 3.45% | 4.34% | 2.73% |
2007 | 6 | -0.42% | $17,518 | -0.62% | $18,032 | -0.35% | $15,566 | -1.15% | $16,785 | 0.37% | -1.15% | -1.68% | -0.86% | 0.00% | 0.59% | -0.27% | -0.25% |
2007 | 7 | -0.11% | $17,498 | -0.36% | $17,967 | 0.10% | $15,582 | -1.72% | $16,496 | 1.06% | -1.72% | -3.08% | -0.47% | 3.11% | 1.42% | 0.89% | -1.79% |
2007 | 8 | 0.65% | $17,612 | 0.63% | $18,081 | 0.73% | $15,696 | 1.43% | $16,732 | 1.15% | 1.43% | 1.50% | 1.89% | 0.27% | -1.16% | 0.68% | -0.82% |
2007 | 9 | 3.09% | $18,157 | 3.54% | $18,721 | 2.31% | $16,059 | 2.45% | $17,143 | 0.74% | 2.45% | 3.72% | 2.08% | 3.19% | 4.01% | 6.80% | 2.02% |
2007 | 10 | 2.18% | $18,554 | 2.71% | $19,227 | 1.53% | $16,304 | 1.47% | $17,395 | 0.45% | 1.47% | 1.58% | 1.44% | 2.25% | 2.31% | 7.69% | 0.59% |
2007 | 11 | -1.05% | $18,358 | -1.73% | $18,895 | -0.42% | $16,237 | -1.94% | $17,058 | 2.16% | -1.94% | -4.19% | -0.89% | 1.24% | 0.01% | -2.46% | -2.30% |
2007 | 12 | 0.48% | $18,446 | 0.49% | $18,988 | 0.48% | $16,315 | -0.32% | $17,004 | 0.25% | -0.32% | -0.70% | -0.18% | 1.05% | 1.68% | 0.90% | 1.37% |
2008 | 1 | -2.29% | $18,024 | -2.95% | $18,427 | -0.42% | $16,246 | -2.91% | $16,510 | 2.01% | -2.91% | -6.02% | -2.04% | 5.04% | -2.33% | -9.60% | -2.49% |
2008 | 2 | -0.33% | $17,965 | -0.56% | $18,324 | 0.16% | $16,271 | -1.78% | $16,216 | 1.09% | -1.78% | -3.25% | -1.25% | 0.99% | 1.25% | -1.05% | 1.70% |
2008 | 3 | -0.41% | $17,891 | -0.38% | $18,255 | -0.40% | $16,206 | -0.19% | $16,185 | 0.25% | -0.19% | -0.44% | -0.76% | -1.23% | -1.01% | 0.42% | -0.36% |
2008 | 4 | 2.86% | $18,403 | 3.21% | $18,841 | 1.73% | $16,485 | 2.83% | $16,644 | -0.96% | 2.83% | 4.85% | 3.65% | -0.92% | 3.86% | 6.19% | 3.44% |
2008 | 5 | 1.35% | $18,651 | 1.68% | $19,156 | 1.19% | $16,682 | 0.98% | $16,807 | -0.51% | 0.98% | 1.29% | 1.23% | 0.59% | 1.86% | 2.05% | 3.48% |
2008 | 6 | -3.91% | $17,921 | -4.01% | $18,388 | -2.41% | $16,279 | -4.98% | $15,970 | 0.33% | -4.98% | -8.44% | -5.27% | 0.59% | -5.14% | -5.52% | -2.65% |
2008 | 7 | -1.22% | $17,703 | -1.53% | $18,107 | -0.89% | $16,134 | -0.44% | $15,899 | 0.52% | -0.44% | -0.83% | -1.55% | -0.17% | -1.48% | -3.64% | -2.35% |
2008 | 8 | -0.11% | $17,683 | -0.20% | $18,070 | 0.28% | $16,179 | 1.23% | $16,095 | 0.56% | 1.23% | 1.45% | 0.44% | -0.50% | -1.50% | -3.49% | 0.60% |
2008 | 9 | -6.55% | $16,526 | -6.71% | $16,857 | -4.10% | $15,516 | -6.04% | $15,124 | 0.53% | -6.04% | -8.91% | -8.81% | 1.34% | -10.75% | -13.59% | -6.40% |
2008 | 10 | -11.95% | $14,550 | -13.05% | $14,657 | -9.63% | $14,022 | -11.59% | $13,370 | 0.49% | -11.59% | -16.79% | -15.69% | -7.40% | -15.19% | -15.90% | -13.89% |
2008 | 11 | -3.79% | $13,999 | -3.58% | $14,133 | -2.04% | $13,736 | -3.43% | $12,912 | 1.03% | -3.43% | -7.17% | -7.49% | 3.62% | -5.89% | -6.71% | -4.09% |
2008 | 12 | 3.24% | $14,453 | 3.10% | $14,572 | 2.77% | $14,117 | 2.44% | $13,228 | 1.17% | 2.44% | 1.07% | 3.52% | 4.81% | 6.86% | 4.85% | 1.61% |
2009 | 1 | -3.68% | $13,922 | -3.38% | $14,079 | -2.48% | $13,766 | -5.18% | $12,542 | -0.09% | -5.18% | -8.41% | -7.57% | 0.09% | -4.04% | -3.00% | -0.66% |
2009 | 2 | -5.58% | $13,144 | -5.79% | $13,264 | -4.42% | $13,157 | -6.48% | $11,729 | -0.01% | -6.48% | -10.66% | -9.38% | -2.59% | -5.59% | -4.97% | -4.62% |
2009 | 3 | 5.11% | $13,816 | 5.44% | $13,985 | 4.25% | $13,716 | 6.10% | $12,445 | 0.90% | 6.10% | 8.76% | 7.73% | 3.99% | 4.45% | 5.70% | 2.96% |
2009 | 4 | 6.00% | $14,644 | 6.20% | $14,853 | 4.41% | $14,321 | 6.40% | $13,240 | -0.25% | 6.40% | 9.56% | 11.10% | -1.88% | 6.33% | 9.46% | 7.01% |
2009 | 5 | 5.14% | $15,396 | 5.75% | $15,707 | 4.34% | $14,943 | 3.58% | $13,715 | 0.21% | 3.58% | 5.62% | 7.43% | 3.65% | 5.57% | 8.84% | 6.50% |
2009 | 6 | 0.17% | $15,423 | 0.35% | $15,762 | 0.18% | $14,970 | 0.50% | $13,783 | -0.17% | 0.50% | 0.22% | -0.02% | -0.42% | -0.23% | 0.65% | 0.87% |
2009 | 7 | 5.05% | $16,202 | 4.80% | $16,519 | 3.40% | $15,478 | 5.28% | $14,512 | 0.22% | 5.28% | 7.58% | 7.51% | 0.76% | 8.60% | 7.16% | 3.26% |
2009 | 8 | 1.92% | $16,512 | 2.03% | $16,854 | 1.67% | $15,737 | 2.62% | $14,892 | 0.37% | 2.62% | 3.60% | 3.39% | 0.33% | 1.15% | 1.63% | 2.04% |
2009 | 9 | 3.50% | $17,089 | 3.55% | $17,453 | 2.68% | $16,159 | 2.98% | $15,335 | 0.29% | 2.98% | 3.72% | 4.71% | 2.00% | 5.69% | 5.56% | 3.22% |
2009 | 10 | -1.00% | $16,919 | -0.60% | $17,348 | -0.24% | $16,121 | -1.33% | $15,132 | 0.24% | -1.33% | -1.87% | -1.47% | 0.25% | -3.61% | -1.28% | 1.10% |
2009 | 11 | 3.71% | $17,547 | 3.70% | $17,990 | 2.83% | $16,577 | 3.88% | $15,718 | 0.87% | 3.88% | 5.98% | 4.76% | 1.49% | 5.19% | 4.20% | 3.30% |
2009 | 12 | 1.06% | $17,733 | 1.05% | $18,179 | 0.29% | $16,625 | 1.03% | $15,880 | -1.13% | 1.03% | 1.95% | 2.27% | -1.75% | 2.19% | 3.16% | 0.78% |
2010 | 1 | -1.83% | $17,409 | -1.65% | $17,879 | -0.47% | $16,547 | -1.50% | $15,642 | 0.95% | -1.50% | -3.60% | -2.22% | 0.67% | -4.77% | -4.55% | 0.32% |
2010 | 2 | 1.55% | $17,679 | 1.71% | $18,185 | 1.15% | $16,737 | 2.10% | $15,970 | 0.19% | 2.10% | 3.09% | 2.18% | 0.25% | 1.09% | 2.43% | 0.96% |
2010 | 3 | 3.65% | $18,324 | 3.68% | $18,855 | 2.27% | $17,117 | 3.74% | $16,568 | -0.36% | 3.74% | 6.01% | 5.19% | -0.50% | 5.67% | 6.47% | 2.94% |
2010 | 4 | 1.15% | $18,535 | 1.23% | $19,088 | 1.05% | $17,296 | 1.74% | $16,856 | 0.39% | 1.74% | 1.58% | 2.03% | 1.08% | 0.66% | 1.56% | 0.08% |
2010 | 5 | -4.43% | $17,713 | -4.43% | $18,243 | -2.75% | $16,820 | -4.45% | $16,106 | 0.48% | -4.45% | -8.01% | -5.61% | 0.74% | -7.49% | -6.42% | -4.71% |
2010 | 6 | -1.91% | $17,375 | -1.58% | $17,955 | -0.84% | $16,678 | -2.75% | $15,663 | 0.56% | -2.75% | -5.24% | -3.02% | 1.92% | -4.01% | -1.17% | -1.34% |
2010 | 7 | 4.04% | $18,077 | 4.30% | $18,727 | 2.79% | $17,144 | 4.50% | $16,368 | 0.38% | 4.50% | 7.00% | 5.94% | 0.00% | 4.05% | 7.58% | 2.75% |
2010 | 8 | -1.64% | $17,780 | -1.39% | $18,467 | -0.75% | $17,016 | -2.33% | $15,986 | 0.37% | -2.33% | -4.53% | -3.44% | 2.66% | -2.53% | -1.69% | -1.38% |
2010 | 9 | 5.84% | $18,818 | 6.24% | $19,620 | 4.30% | $17,748 | 5.59% | $16,880 | 0.18% | 5.59% | 8.92% | 9.08% | 0.39% | 6.25% | 10.30% | 5.96% |
2010 | 10 | 2.37% | $19,263 | 2.48% | $20,108 | 1.74% | $18,057 | 2.52% | $17,306 | 0.26% | 2.52% | 3.79% | 3.00% | 0.47% | 3.00% | 3.59% | 2.29% |
2010 | 11 | -0.13% | $19,239 | -0.10% | $20,088 | -0.18% | $18,024 | 0.14% | $17,332 | -0.30% | 0.14% | 0.00% | 0.08% | -0.17% | -0.30% | 0.20% | -0.68% |
2010 | 12 | 2.99% | $19,814 | 3.28% | $20,747 | 2.21% | $18,423 | 3.66% | $17,965 | -0.48% | 3.66% | 6.67% | 4.15% | -0.65% | 2.88% | 2.81% | 4.69% |
2011 | 1 | 1.03% | $20,017 | 1.11% | $20,978 | 0.69% | $18,550 | 1.36% | $18,209 | 0.25% | 1.36% | 2.36% | 0.80% | -0.41% | 1.07% | 1.42% | 1.31% |
2011 | 2 | 1.87% | $20,392 | 1.96% | $21,389 | 1.30% | $18,790 | 2.26% | $18,620 | -0.22% | 2.26% | 3.42% | 1.75% | 0.66% | 3.17% | 1.97% | 1.99% |
2011 | 3 | 0.54% | $20,502 | 0.62% | $21,522 | 0.38% | $18,862 | 0.23% | $18,663 | -0.13% | 0.23% | 0.03% | 0.55% | -0.08% | 1.09% | 1.69% | 1.08% |
2011 | 4 | 2.55% | $21,025 | 2.74% | $22,112 | 1.93% | $19,226 | 2.35% | $19,102 | 0.71% | 2.35% | 2.95% | 2.65% | 0.74% | 3.37% | 5.16% | 2.61% |
2011 | 5 | -0.50% | $20,920 | -0.52% | $21,998 | -0.06% | $19,214 | -0.18% | $19,069 | 0.52% | -0.18% | -1.15% | -0.38% | 0.90% | -1.41% | -1.46% | -0.94% |
2011 | 6 | -0.92% | $20,726 | -1.06% | $21,764 | -0.82% | $19,057 | -1.21% | $18,838 | -0.04% | -1.21% | -1.67% | -0.77% | -0.98% | -1.01% | -0.59% | -1.13% |
2011 | 7 | -0.41% | $20,641 | -0.28% | $21,702 | 0.02% | $19,061 | -0.72% | $18,702 | 0.52% | -0.72% | -2.05% | 0.08% | 1.48% | -1.79% | 0.60% | -1.37% |
2011 | 8 | -2.47% | $20,130 | -2.65% | $21,128 | -0.95% | $18,880 | -2.81% | $18,176 | 0.52% | -2.81% | -5.45% | -0.70% | 2.67% | -5.06% | -5.81% | -3.27% |
2011 | 9 | -5.23% | $19,077 | -5.66% | $19,933 | -3.77% | $18,168 | -4.39% | $17,377 | -0.22% | -4.39% | -7.04% | -6.34% | -1.68% | -7.02% | -10.00% | -5.38% |
2011 | 10 | 6.13% | $20,247 | 7.12% | $21,352 | 4.80% | $19,040 | 6.98% | $18,589 | 0.15% | 6.98% | 10.91% | 7.27% | 1.28% | 4.84% | 9.78% | 7.75% |
2011 | 11 | -0.24% | $20,198 | -0.10% | $21,331 | 0.20% | $19,077 | -0.28% | $18,538 | -0.04% | -0.28% | -0.23% | 0.08% | 0.97% | -1.42% | -1.72% | 0.66% |
2011 | 12 | 0.03% | $20,205 | 0.00% | $21,331 | -0.01% | $19,075 | 0.92% | $18,708 | 0.21% | 0.92% | 1.02% | 0.27% | -1.52% | -0.64% | -0.41% | 0.24% |
2012 | 1 | 3.27% | $20,865 | 3.51% | $22,080 | 2.54% | $19,560 | 3.40% | $19,344 | 0.23% | 3.40% | 4.46% | 4.26% | 1.46% | 4.09% | 5.16% | 3.14% |
2012 | 2 | 2.39% | $21,364 | 2.63% | $22,661 | 1.50% | $19,854 | 2.49% | $19,825 | -0.14% | 2.49% | 4.31% | 2.95% | -0.56% | 2.76% | 5.03% | 2.28% |
2012 | 3 | 0.99% | $21,576 | 1.05% | $22,898 | 0.49% | $19,950 | 1.62% | $20,145 | -0.13% | 1.62% | 3.28% | 0.88% | -1.06% | 1.09% | 1.02% | 1.10% |
2012 | 4 | -0.01% | $21,573 | 0.03% | $22,905 | 0.21% | $19,992 | 0.04% | $20,154 | 0.32% | 0.04% | -0.64% | 0.44% | 0.73% | -0.71% | 0.12% | -0.42% |
2012 | 5 | -3.71% | $20,773 | -3.97% | $21,997 | -2.46% | $19,500 | -3.34% | $19,481 | 0.06% | -3.34% | -6.02% | -3.70% | 0.24% | -5.63% | -6.46% | -4.96% |
2012 | 6 | 2.02% | $21,192 | 2.23% | $22,487 | 1.40% | $19,772 | 2.28% | $19,925 | -0.13% | 2.28% | 4.11% | 1.94% | 0.15% | 2.50% | 2.66% | 2.59% |
2012 | 7 | 0.82% | $21,366 | 0.88% | $22,685 | 0.61% | $19,892 | 1.17% | $20,159 | 0.29% | 1.17% | 1.37% | 1.18% | -0.24% | 0.56% | 1.67% | 0.51% |
2012 | 8 | 1.64% | $21,717 | 1.86% | $23,108 | 1.43% | $20,176 | 1.55% | $20,471 | 0.11% | 1.55% | 2.24% | 1.98% | 0.73% | 1.73% | 2.12% | 2.75% |
2012 | 9 | 1.46% | $22,034 | 1.53% | $23,461 | 1.04% | $20,385 | 1.58% | $20,795 | 0.03% | 1.58% | 2.58% | 1.65% | 0.62% | 2.06% | 1.90% | 1.23% |
2012 | 10 | -0.79% | $21,860 | -0.85% | $23,262 | -0.53% | $20,276 | -1.01% | $20,586 | -0.16% | -1.01% | -1.86% | -0.35% | -0.16% | -1.07% | -0.76% | -0.90% |
2012 | 11 | 0.44% | $21,957 | 0.47% | $23,371 | 0.42% | $20,361 | 0.51% | $20,690 | 0.12% | 0.51% | 0.56% | 0.92% | -0.42% | 0.24% | 0.53% | 1.05% |
2012 | 12 | 0.84% | $22,141 | 1.00% | $23,605 | 0.68% | $20,499 | 0.66% | $20,828 | 0.09% | 0.66% | 0.90% | 0.95% | -0.33% | 0.74% | 1.99% | 1.77% |
2013 | 1 | 2.48% | $22,689 | 2.52% | $24,200 | 1.61% | $20,828 | 3.03% | $21,459 | -0.06% | 3.03% | 5.18% | 2.26% | -1.40% | 4.09% | 2.51% | 4.16% |
2013 | 2 | 0.41% | $22,783 | 0.42% | $24,301 | 0.31% | $20,892 | 0.98% | $21,669 | 0.12% | 0.98% | 1.34% | 0.48% | -0.67% | 0.23% | -0.06% | 0.75% |
2013 | 3 | 1.87% | $23,208 | 1.95% | $24,774 | 1.30% | $21,163 | 2.36% | $22,180 | 0.03% | 2.36% | 3.74% | 1.31% | 0.55% | 3.12% | 1.65% | 2.17% |
2013 | 4 | 0.64% | $23,357 | 0.64% | $24,932 | 0.29% | $21,223 | 1.39% | $22,489 | 0.12% | 1.39% | 1.91% | 1.29% | -2.94% | 0.17% | 1.51% | 1.52% |
2013 | 5 | 0.48% | $23,469 | 0.54% | $25,066 | 0.15% | $21,255 | 0.74% | $22,656 | -0.34% | 0.74% | 2.33% | 0.27% | -2.17% | 0.51% | 0.11% | 2.28% |
2013 | 6 | -1.50% | $23,116 | -1.60% | $24,664 | -1.16% | $21,007 | -1.41% | $22,335 | -0.26% | -1.41% | -1.35% | -1.48% | -1.48% | -2.43% | -2.87% | -0.86% |
2013 | 7 | 2.67% | $23,733 | 2.96% | $25,393 | 1.85% | $21,395 | 3.33% | $23,078 | 0.12% | 3.33% | 5.07% | 2.11% | 0.27% | 3.46% | 4.03% | 2.97% |
2013 | 8 | -1.45% | $23,389 | -1.62% | $24,981 | -1.02% | $21,177 | -1.95% | $22,627 | -0.16% | -1.95% | -2.91% | -0.73% | -0.81% | -1.95% | -1.91% | -1.19% |
2013 | 9 | 2.30% | $23,926 | 2.43% | $25,589 | 1.62% | $21,520 | 2.56% | $23,207 | 0.40% | 2.56% | 3.12% | 1.54% | 1.06% | 3.92% | 3.89% | 2.00% |
2013 | 10 | 2.54% | $24,534 | 2.89% | $26,329 | 1.85% | $21,919 | 2.83% | $23,865 | 0.13% | 2.83% | 4.59% | 1.45% | 1.62% | 3.44% | 3.64% | 2.74% |
2013 | 11 | 1.24% | $24,838 | 1.22% | $26,652 | 0.57% | $22,044 | 1.60% | $24,247 | 0.13% | 1.60% | 3.03% | 0.26% | -1.24% | 2.54% | 1.81% | 1.76% |
2013 | 12 | 0.77% | $25,028 | 0.93% | $26,899 | 0.36% | $22,123 | 1.29% | $24,559 | -0.33% | 1.29% | 2.51% | 0.23% | -1.40% | 0.85% | 1.09% | 1.83% |
2014 | 1 | -1.01% | $24,775 | -1.29% | $26,552 | -0.15% | $22,089 | -1.24% | $24,255 | 0.32% | -1.24% | -3.47% | 0.28% | 2.28% | -1.10% | -3.63% | -1.52% |
2014 | 2 | 2.71% | $25,446 | 3.02% | $27,355 | 1.81% | $22,489 | 3.02% | $24,987 | 0.03% | 3.02% | 4.56% | 1.66% | 0.89% | 4.11% | 4.78% | 2.74% |
2014 | 3 | 0.18% | $25,493 | 0.11% | $27,384 | 0.08% | $22,507 | 0.21% | $25,039 | -0.21% | 0.21% | 0.82% | 0.00% | -0.26% | 0.88% | -0.82% | 0.84% |
2014 | 4 | 0.27% | $25,561 | 0.40% | $27,494 | 0.31% | $22,577 | 0.36% | $25,129 | 0.23% | 0.36% | 0.72% | 0.34% | 0.80% | -0.59% | 0.41% | -0.18% |
2014 | 5 | 1.49% | $25,942 | 1.61% | $27,936 | 1.12% | $22,831 | 1.71% | $25,559 | 0.13% | 1.71% | 2.33% | 1.02% | 0.79% | 2.41% | 1.80% | 1.79% |
2014 | 6 | 1.45% | $26,318 | 1.84% | $28,451 | 1.23% | $23,112 | 1.57% | $25,960 | 0.04% | 1.57% | 2.05% | 0.72% | 2.10% | 1.33% | 2.58% | 1.32% |
2014 | 7 | -1.07% | $26,036 | -1.18% | $28,115 | -0.71% | $22,948 | -1.28% | $25,627 | -0.14% | -1.28% | -1.39% | -0.67% | -0.60% | -1.70% | -2.37% | -0.47% |
2014 | 8 | 1.98% | $26,553 | 2.17% | $28,727 | 1.37% | $23,262 | 2.95% | $26,383 | 0.14% | 2.95% | 3.98% | 1.28% | 1.21% | 2.73% | 2.58% | 0.97% |
2014 | 9 | -1.78% | $26,081 | -1.91% | $28,178 | -1.51% | $22,911 | -1.57% | $25,969 | -0.14% | -1.57% | -1.41% | -0.93% | -3.19% | -3.69% | -2.07% | -1.45% |
2014 | 10 | 1.06% | $26,357 | 0.89% | $28,428 | 0.60% | $23,048 | 2.09% | $26,511 | 0.33% | 2.09% | 2.42% | 1.55% | -1.51% | 1.70% | 1.06% | 0.65% |
2014 | 11 | 1.36% | $26,716 | 1.57% | $28,874 | 1.10% | $23,302 | 1.74% | $26,972 | 0.23% | 1.74% | 2.68% | 0.33% | 0.99% | 1.80% | 1.09% | 2.05% |
2014 | 12 | -0.17% | $26,669 | -0.33% | $28,779 | -0.10% | $23,279 | 0.01% | $26,976 | -0.24% | 0.01% | -0.26% | -0.10% | 0.36% | 0.64% | -1.62% | -0.19% |
2015 | 1 | -0.19% | $26,619 | -0.08% | $28,755 | 0.63% | $23,426 | -0.77% | $26,767 | 0.61% | -0.77% | -3.02% | 0.75% | 4.81% | -1.19% | -0.64% | -1.93% |
2015 | 2 | 2.27% | $27,222 | 2.79% | $29,558 | 1.27% | $23,724 | 2.95% | $27,558 | -0.42% | 2.95% | 5.74% | 0.74% | -1.44% | 2.36% | 4.56% | 3.66% |
2015 | 3 | -0.58% | $27,065 | -1.07% | $29,242 | -0.75% | $23,547 | -0.44% | $27,437 | 0.33% | -0.44% | -1.59% | 0.00% | -2.09% | 0.81% | -0.21% | -1.49% |
2015 | 4 | 0.53% | $27,207 | 0.94% | $29,518 | 0.69% | $23,710 | 0.10% | $27,464 | 0.05% | 0.10% | 0.95% | 0.27% | 1.67% | -0.96% | 0.98% | 1.21% |
2015 | 5 | 0.50% | $27,343 | 0.42% | $29,642 | 0.12% | $23,738 | 0.63% | $27,638 | 0.06% | 0.63% | 1.27% | 0.20% | -0.69% | 1.29% | 1.02% | 0.20% |
2015 | 6 | -1.15% | $27,028 | -1.48% | $29,204 | -1.02% | $23,496 | -1.42% | $27,245 | -0.04% | -1.42% | -1.93% | -0.73% | -1.13% | -0.74% | -1.71% | -1.55% |
2015 | 7 | 0.55% | $27,176 | 0.51% | $29,355 | -0.08% | $23,476 | 1.31% | $27,603 | 0.15% | 1.31% | 2.08% | 0.34% | -2.92% | 0.64% | 2.41% | 0.21% |
2015 | 8 | -2.64% | $26,458 | -3.03% | $28,464 | -1.74% | $23,069 | -3.72% | $26,576 | -0.13% | -3.72% | -6.05% | -1.44% | 0.64% | -2.97% | -3.95% | -3.47% |
2015 | 9 | -1.10% | $26,167 | -1.67% | $27,989 | -0.82% | $22,879 | -1.45% | $26,191 | 0.43% | -1.45% | -2.48% | -1.18% | 0.09% | 0.71% | -3.39% | -1.51% |
2015 | 10 | 3.30% | $27,030 | 4.26% | $29,180 | 2.59% | $23,471 | 4.61% | $27,398 | -0.13% | 4.61% | 8.42% | 2.60% | 1.18% | 0.70% | 4.58% | 4.25% |
2015 | 11 | -0.21% | $26,973 | -0.13% | $29,143 | -0.23% | $23,418 | 0.24% | $27,462 | -0.31% | 0.24% | 0.29% | -0.21% | -1.34% | -0.75% | -0.15% | 0.48% |
2015 | 12 | -0.97% | $26,712 | -1.12% | $28,816 | -0.81% | $23,229 | -1.41% | $27,075 | -0.16% | -1.41% | -1.59% | -0.96% | 0.45% | -0.79% | -1.40% | -1.85% |
2016 | 1 | -2.27% | $26,107 | -2.80% | $28,008 | -1.43% | $22,896 | -2.81% | $26,316 | 0.82% | -2.81% | -4.98% | -1.42% | 1.90% | -2.50% | -4.15% | -5.05% |
2016 | 2 | 0.49% | $26,236 | 0.52% | $28,152 | 0.70% | $23,056 | 0.28% | $26,390 | 0.15% | 0.28% | -0.15% | 0.14% | 3.28% | 1.28% | -0.75% | -0.17% |
2016 | 3 | 3.74% | $27,216 | 4.50% | $29,418 | 3.04% | $23,757 | 4.59% | $27,601 | 0.26% | 4.59% | 6.78% | 3.16% | 1.37% | 2.93% | 5.53% | 5.30% |
2016 | 4 | 0.99% | $27,486 | 1.62% | $29,895 | 1.48% | $24,108 | 0.54% | $27,750 | -0.03% | 0.54% | 0.37% | 0.90% | 4.07% | -0.73% | 1.10% | 1.87% |
2016 | 5 | 0.59% | $27,647 | 0.60% | $30,074 | 0.16% | $24,148 | 1.04% | $28,038 | -0.10% | 1.04% | 1.78% | 0.48% | -1.06% | 0.84% | 1.36% | 0.25% |
2016 | 6 | 0.04% | $27,658 | 0.12% | $30,111 | 0.49% | $24,265 | 0.93% | $28,299 | 0.75% | 0.93% | 0.25% | 0.42% | 2.43% | -1.56% | -1.35% | -1.71% |
2016 | 7 | 2.21% | $28,271 | 2.64% | $30,906 | 1.63% | $24,660 | 2.64% | $29,047 | -0.10% | 2.64% | 3.68% | 1.26% | 0.56% | 2.72% | 3.87% | 3.19% |
2016 | 8 | 0.16% | $28,316 | 0.26% | $30,988 | 0.14% | $24,695 | 0.06% | $29,066 | -0.29% | 0.06% | 0.13% | 0.21% | -1.52% | 0.11% | 0.42% | 2.20% |
2016 | 9 | 0.13% | $28,354 | 0.20% | $31,051 | 0.14% | $24,729 | 0.08% | $29,088 | 0.23% | 0.08% | 0.01% | 0.28% | 0.12% | -0.39% | 0.89% | -0.15% |
2016 | 10 | -1.36% | $27,968 | -1.51% | $30,582 | -0.99% | $24,484 | -1.68% | $28,600 | -0.12% | -1.68% | -1.83% | -0.75% | -1.54% | -2.21% | -2.33% | -0.49% |
2016 | 11 | 1.12% | $28,281 | 1.12% | $30,924 | 0.45% | $24,594 | 1.61% | $29,060 | -0.58% | 1.61% | 3.70% | -0.41% | -2.23% | 3.13% | -0.05% | 3.80% |
2016 | 12 | 0.85% | $28,521 | 0.98% | $31,225 | 0.68% | $24,761 | 1.21% | $29,413 | -0.00% | 1.21% | 1.96% | 0.43% | 0.59% | 0.99% | 0.39% | 1.18% |
2017 | 1 | 1.31% | $28,894 | 1.52% | $31,701 | 0.92% | $24,990 | 1.25% | $29,781 | 0.26% | 1.25% | 1.88% | 0.56% | 0.84% | 1.75% | 2.85% | 1.20% |
2017 | 2 | 1.82% | $29,420 | 2.14% | $32,381 | 1.31% | $25,318 | 2.48% | $30,519 | 0.07% | 2.48% | 3.96% | 0.76% | 0.08% | 2.04% | 2.35% | 2.82% |
2017 | 3 | 0.06% | $29,438 | 0.08% | $32,408 | -0.01% | $25,315 | 0.02% | $30,525 | 0.02% | 0.02% | 0.10% | 0.21% | 0.25% | -0.13% | 0.66% | -0.65% |
2017 | 4 | 0.97% | $29,724 | 1.14% | $32,776 | 0.68% | $25,488 | 0.93% | $30,810 | 0.19% | 0.93% | 1.02% | 0.68% | 0.08% | 1.21% | 2.69% | 1.07% |
2017 | 5 | 0.97% | $30,014 | 1.06% | $33,125 | 0.60% | $25,642 | 0.89% | $31,085 | 0.09% | 0.89% | 1.39% | 0.88% | 0.17% | 1.41% | 2.37% | 0.65% |
2017 | 6 | 0.25% | $30,090 | 0.20% | $33,190 | -0.02% | $25,638 | 0.55% | $31,258 | -0.09% | 0.55% | 0.61% | 0.09% | -0.91% | 0.87% | 0.77% | 0.12% |
2017 | 7 | 1.32% | $30,486 | 1.51% | $33,692 | 1.03% | $25,903 | 1.28% | $31,658 | 0.28% | 1.28% | 2.04% | 0.75% | 1.25% | 1.63% | 2.06% | 1.31% |
2017 | 8 | 0.31% | $30,581 | 0.20% | $33,761 | 0.23% | $25,962 | 0.42% | $31,792 | 0.19% | 0.42% | 0.29% | 0.41% | 0.91% | 0.90% | 0.09% | -0.73% |
2017 | 9 | 0.90% | $30,856 | 0.93% | $34,075 | 0.34% | $26,051 | 1.26% | $32,192 | -0.20% | 1.26% | 2.06% | 0.27% | -1.28% | 1.96% | 1.83% | 1.32% |
2017 | 10 | 1.18% | $31,221 | 1.37% | $34,540 | 0.70% | $26,234 | 1.31% | $32,614 | -0.08% | 1.31% | 2.32% | 0.34% | -0.41% | 1.85% | 2.30% | 1.91% |
2017 | 11 | 0.89% | $31,499 | 0.98% | $34,880 | 0.32% | $26,318 | 1.79% | $33,199 | -0.27% | 1.79% | 3.06% | 0.13% | -0.08% | 1.37% | 1.26% | -0.23% |
2017 | 12 | 0.56% | $31,677 | 0.83% | $35,169 | 0.54% | $26,461 | 0.78% | $33,458 | -0.07% | 0.78% | 1.10% | 0.30% | 0.34% | -0.10% | 0.97% | 1.21% |
2018 | 1 | 2.63% | $32,510 | 3.09% | $36,257 | 1.38% | $26,827 | 2.71% | $34,364 | -0.44% | 2.71% | 5.71% | 0.00% | 0.08% | 4.48% | 5.31% | 3.37% |
2018 | 2 | -1.94% | $31,880 | -2.25% | $35,441 | -1.39% | $26,455 | -2.61% | $33,468 | -0.08% | -2.61% | -3.69% | -0.62% | -1.50% | -2.66% | -2.74% | -1.65% |
2018 | 3 | -0.75% | $31,641 | -1.01% | $35,083 | -0.42% | $26,343 | -0.93% | $33,155 | 0.29% | -0.93% | -2.56% | 0.42% | 0.98% | -0.78% | -0.84% | -2.61% |
2018 | 4 | -0.26% | $31,558 | -0.05% | $35,064 | -0.21% | $26,287 | -0.09% | $33,126 | -0.30% | -0.09% | 0.37% | -0.49% | -0.59% | -1.35% | 0.00% | 0.29% |
2018 | 5 | 0.97% | $31,863 | 1.13% | $35,461 | 0.73% | $26,479 | 1.93% | $33,765 | 0.36% | 1.93% | 2.39% | 1.05% | 0.34% | 0.10% | 1.55% | -0.15% |
2018 | 6 | 0.03% | $31,873 | 0.17% | $35,520 | 0.13% | $26,513 | 0.40% | $33,900 | 0.10% | 0.40% | 0.61% | 0.23% | -0.19% | -1.11% | -0.04% | 0.17% |
2018 | 7 | 1.54% | $32,365 | 1.86% | $36,180 | 1.14% | $26,817 | 2.01% | $34,581 | -0.10% | 2.01% | 3.71% | 0.56% | -0.93% | 1.63% | 1.44% | 4.00% |
2018 | 8 | 1.06% | $32,708 | 0.95% | $36,522 | 0.53% | $26,958 | 2.31% | $35,379 | 0.37% | 2.31% | 3.25% | 0.90% | -0.94% | 1.56% | 0.82% | 0.00% |
2018 | 9 | -0.33% | $32,601 | -0.14% | $36,469 | -0.20% | $26,905 | -0.13% | $35,333 | -0.20% | -0.13% | 0.55% | -0.48% | -0.25% | -1.60% | -0.73% | 0.14% |
2018 | 10 | -3.36% | $31,505 | -4.16% | $34,952 | -2.39% | $26,261 | -4.76% | $33,650 | 0.10% | -4.76% | -6.85% | -1.73% | 0.69% | -2.93% | -6.15% | -5.27% |
2018 | 11 | 1.03% | $31,831 | 1.29% | $35,403 | 0.87% | $26,489 | 1.48% | $34,149 | 0.38% | 1.48% | 2.03% | 0.70% | 0.94% | 0.30% | 1.83% | 0.56% |
2018 | 12 | -3.19% | $30,815 | -3.92% | $34,013 | -1.73% | $26,030 | -4.93% | $32,466 | 0.88% | -4.93% | -9.04% | -0.39% | 2.89% | -3.75% | -5.08% | -6.07% |
2019 | 1 | 4.73% | $32,273 | 5.81% | $35,989 | 4.01% | $27,074 | 5.55% | $34,267 | 0.30% | 5.55% | 8.00% | 3.44% | 2.07% | 3.84% | 6.87% | 7.92% |
2019 | 2 | 1.42% | $32,733 | 1.92% | $36,679 | 1.06% | $27,360 | 2.10% | $34,985 | -0.01% | 2.10% | 3.20% | 0.92% | -0.49% | 0.17% | 3.21% | 2.26% |
2019 | 3 | 1.24% | $33,140 | 1.44% | $37,208 | 1.26% | $27,705 | 1.65% | $35,562 | 0.78% | 1.65% | 1.94% | 1.54% | 1.95% | 0.22% | 1.40% | 0.40% |
2019 | 4 | 1.93% | $33,780 | 2.46% | $38,124 | 1.42% | $28,098 | 2.39% | $36,413 | 0.15% | 2.39% | 4.04% | 0.62% | -1.20% | 1.38% | 3.65% | 4.46% |
2019 | 5 | -2.56% | $32,914 | -3.31% | $36,862 | -1.80% | $27,592 | -3.21% | $35,245 | 0.88% | -3.21% | -6.36% | -0.82% | 0.81% | -2.39% | -3.35% | -6.11% |
2019 | 6 | 4.23% | $34,307 | 5.11% | $38,744 | 3.68% | $28,609 | 4.63% | $36,878 | 0.48% | 4.63% | 7.03% | 3.59% | 3.90% | 3.32% | 5.64% | 5.36% |
2019 | 7 | 0.65% | $34,529 | 0.70% | $39,014 | 0.45% | $28,738 | 0.97% | $37,236 | -0.09% | 0.97% | 1.43% | 0.74% | 0.00% | 0.81% | 0.63% | 0.66% |
2019 | 8 | 0.13% | $34,574 | -0.24% | $38,920 | 0.31% | $28,827 | -0.11% | $37,196 | 0.92% | -0.11% | -1.59% | 0.94% | 3.12% | 1.18% | -0.33% | -3.05% |
2019 | 9 | 0.26% | $34,665 | 0.42% | $39,082 | 0.10% | $28,855 | 0.80% | $37,493 | -0.22% | 0.80% | 1.86% | 0.27% | -1.98% | -0.64% | 0.25% | 1.64% |
2019 | 10 | 1.12% | $35,053 | 1.20% | $39,550 | 0.95% | $29,130 | 1.39% | $38,012 | 0.25% | 1.39% | 2.15% | 0.99% | 1.55% | 1.33% | 0.59% | 0.67% |
2019 | 11 | 1.55% | $35,595 | 1.98% | $40,332 | 1.16% | $29,468 | 2.24% | $38,862 | -0.05% | 2.24% | 3.62% | 1.31% | -0.76% | 0.44% | 2.74% | 2.75% |
2019 | 12 | 1.78% | $36,229 | 2.27% | $41,246 | 1.46% | $29,899 | 1.64% | $39,501 | 0.14% | 1.64% | 3.01% | 0.73% | 2.08% | 1.51% | 3.11% | 2.18% |
2020 | 1 | 0.37% | $36,364 | 0.31% | $41,374 | 0.55% | $30,064 | 0.82% | $39,824 | 0.60% | 0.82% | -0.05% | 1.21% | 0.90% | -0.10% | 0.00% | -0.50% |
2020 | 2 | -3.09% | $35,238 | -4.02% | $39,712 | -1.77% | $29,531 | -4.22% | $38,142 | 1.04% | -4.22% | -8.24% | 0.40% | -0.22% | -3.62% | -5.45% | -4.55% |
2020 | 3 | -6.59% | $32,917 | -8.61% | $36,294 | -5.16% | $28,008 | -8.48% | $34,908 | 1.01% | -8.48% | -12.37% | 0.07% | 0.02% | -7.53% | -9.65% | -16.31% |
2020 | 4 | 7.37% | $35,343 | 8.57% | $39,406 | 6.23% | $29,752 | 8.55% | $37,891 | 0.22% | 8.55% | 12.81% | 8.66% | 6.45% | 5.89% | 9.17% | 7.14% |
2020 | 5 | 3.07% | $36,430 | 3.50% | $40,786 | 2.38% | $30,461 | 3.45% | $39,200 | 0.38% | 3.45% | 4.76% | 2.80% | 1.06% | 3.39% | 5.15% | 3.68% |
2020 | 6 | 1.53% | $36,987 | 1.95% | $41,582 | 1.60% | $30,947 | 1.73% | $39,878 | 0.09% | 1.73% | 1.98% | 1.43% | 1.21% | 0.86% | 1.48% | 3.53% |
2020 | 7 | 3.51% | $38,286 | 3.98% | $43,237 | 2.64% | $31,764 | 3.99% | $41,468 | 0.18% | 3.99% | 5.63% | 3.36% | 2.34% | 4.05% | 5.88% | 2.73% |
2020 | 8 | 2.98% | $39,429 | 3.44% | $44,724 | 2.20% | $32,462 | 3.86% | $43,068 | 0.19% | 3.86% | 7.18% | 2.80% | 0.07% | 2.20% | 3.49% | 3.93% |
2020 | 9 | -1.81% | $38,717 | -2.25% | $43,716 | -1.50% | $31,977 | -2.12% | $42,157 | 0.06% | -2.12% | -3.81% | -1.28% | -1.17% | -1.20% | -2.15% | -2.78% |
2020 | 10 | -1.12% | $38,284 | -1.12% | $43,227 | -0.60% | $31,783 | -1.48% | $41,533 | -0.06% | -1.48% | -2.67% | -1.18% | -0.41% | -1.57% | -1.74% | 0.26% |
2020 | 11 | 6.17% | $40,646 | 7.19% | $46,336 | 5.22% | $33,442 | 7.66% | $44,715 | 0.11% | 7.66% | 10.94% | 6.09% | 0.21% | 5.70% | 6.70% | 11.92% |
2020 | 12 | 2.54% | $41,680 | 3.03% | $47,741 | 2.24% | $34,191 | 2.70% | $45,924 | 0.08% | 2.70% | 3.84% | 2.32% | 0.64% | 2.44% | 3.13% | 5.30% |
Metric | Provided Portfolio | Maximum Return at 9.00% Volatility | Maximum Sharpe Ratio Weights | Vanguard Balanced Index Inv |
---|---|---|---|---|
Arithmetic Mean (monthly) | 0.68% | 0.75% | 0.58% | 0.73% |
Arithmetic Mean (annualized) | 8.49% | 9.38% | 7.16% | 9.15% |
Geometric Mean (monthly) | 0.65% | 0.72% | 0.56% | 0.70% |
Geometric Mean (annualized) | 8.14% | 8.94% | 6.97% | 8.71% |
Standard Deviation (monthly) | 2.34% | 2.59% | 1.74% | 2.61% |
Standard Deviation (annualized) | 8.10% | 8.99% | 6.02% | 9.03% |
Downside Deviation (monthly) | 1.49% | 1.65% | 1.07% | 1.67% |
Maximum Drawdown | -29.52% | -31.02% | -21.13% | -32.57% |
Stock Market Correlation | 0.96 | 0.96 | 0.92 | 0.99 |
Beta(*) | 0.87 | 0.97 | 0.63 | 1.00 |
Alpha (annualized) | 0.49% | 0.47% | 1.36% | 0.00% |
R2 | 95.20% | 95.28% | 90.64% | 100.00% |
Sharpe Ratio | 0.85 | 0.86 | 0.94 | 0.83 |
Sortino Ratio | 1.31 | 1.32 | 1.49 | 1.28 |
Treynor Ratio (%) | 7.93 | 7.99 | 8.97 | 7.55 |
Calmar Ratio | 1.01 | 0.87 | 1.30 | 0.90 |
Active Return | -0.58% | 0.23% | -1.74% | N/A |
Tracking Error | 2.10% | 1.97% | 3.78% | N/A |
Information Ratio | -0.27 | 0.12 | -0.46 | N/A |
Skewness | -0.89 | -0.87 | -0.91 | -0.72 |
Excess Kurtosis | 4.28 | 4.26 | 6.09 | 2.88 |
Historical Value-at-Risk (5%) | -3.21% | -3.61% | -2.08% | -3.77% |
Analytical Value-at-Risk (5%) | -3.15% | -3.51% | -2.28% | -3.56% |
Conditional Value-at-Risk (5%) | -5.34% | -5.85% | -3.83% | -5.96% |
Upside Capture Ratio (%) | 87.60 | 97.55 | 65.01 | 100.00 |
Downside Capture Ratio (%) | 83.70 | 93.06 | 53.68 | 100.00 |
Safe Withdrawal Rate | 8.79% | 9.21% | 7.99% | 8.56% |
Perpetual Withdrawal Rate | 5.44% | 6.12% | 4.45% | 5.92% |
Positive Periods | 152 out of 219 (69.41%) | 151 out of 219 (68.95%) | 155 out of 219 (70.78%) | 154 out of 219 (70.32%) |
Gain/Loss Ratio | 0.98 | 0.99 | 1.05 | 0.89 |
* Vanguard Balanced Index Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Provided Portfolio | Maximum Return at 9.00% Volatility | Maximum Sharpe Ratio Weights | Vanguard Balanced Index Inv |
---|---|---|---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -29.52% | -31.02% | -21.13% | -32.57% |
COVID-19 Start | Jan 2020 | Mar 2020 | -9.48% | -12.28% | -6.84% | -12.34% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jun 2008 | Feb 2009 | 9 months | Sep 2010 | 1 year 7 months | 2 years 4 months | -29.52% |
2 | Feb 2020 | Mar 2020 | 2 months | May 2020 | 2 months | 4 months | -9.48% |
3 | May 2011 | Sep 2011 | 5 months | Feb 2012 | 5 months | 10 months | -9.26% |
4 | Sep 2018 | Dec 2018 | 4 months | Feb 2019 | 2 months | 6 months | -5.79% |
5 | Jun 2015 | Jan 2016 | 8 months | Apr 2016 | 3 months | 11 months | -4.52% |
6 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -3.72% |
7 | Nov 2007 | Mar 2008 | 5 months | May 2008 | 2 months | 7 months | -3.57% |
8 | Feb 2018 | Apr 2018 | 3 months | Aug 2018 | 4 months | 7 months | -2.93% |
9 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -2.90% |
10 | Mar 2005 | Apr 2005 | 2 months | Jun 2005 | 2 months | 4 months | -2.78% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Sep 2010 | 1 year 7 months | 2 years 11 months | -31.02% |
2 | Feb 2020 | Mar 2020 | 2 months | Jun 2020 | 3 months | 5 months | -12.28% |
3 | May 2011 | Sep 2011 | 5 months | Feb 2012 | 5 months | 10 months | -9.86% |
4 | Sep 2018 | Dec 2018 | 4 months | Feb 2019 | 2 months | 6 months | -6.87% |
5 | Jun 2015 | Sep 2015 | 4 months | Apr 2016 | 7 months | 11 months | -5.58% |
6 | May 2012 | May 2012 | 1 month | Aug 2012 | 3 months | 4 months | -3.97% |
7 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -3.35% |
8 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -3.31% |
9 | Feb 2018 | Apr 2018 | 3 months | Aug 2018 | 4 months | 7 months | -3.29% |
10 | Mar 2005 | Apr 2005 | 2 months | Jun 2005 | 2 months | 4 months | -2.98% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jun 2008 | Feb 2009 | 9 months | Feb 2010 | 1 year | 1 year 9 months | -21.13% |
2 | Feb 2020 | Mar 2020 | 2 months | May 2020 | 2 months | 4 months | -6.84% |
3 | May 2011 | Sep 2011 | 5 months | Jan 2012 | 4 months | 9 months | -5.50% |
4 | Jun 2015 | Sep 2015 | 4 months | Mar 2016 | 6 months | 10 months | -3.62% |
5 | May 2010 | Jun 2010 | 2 months | Sep 2010 | 3 months | 5 months | -3.57% |
6 | Sep 2018 | Dec 2018 | 4 months | Jan 2019 | 1 month | 5 months | -3.44% |
7 | Apr 2004 | Apr 2004 | 1 month | Sep 2004 | 5 months | 6 months | -2.50% |
8 | May 2012 | May 2012 | 1 month | Aug 2012 | 3 months | 4 months | -2.46% |
9 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -2.09% |
10 | Feb 2018 | Apr 2018 | 3 months | Aug 2018 | 4 months | 7 months | -2.01% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Dec 2010 | 1 year 10 months | 3 years 2 months | -32.57% |
2 | Feb 2020 | Mar 2020 | 2 months | Jun 2020 | 3 months | 5 months | -12.34% |
3 | May 2011 | Sep 2011 | 5 months | Jan 2012 | 4 months | 9 months | -9.03% |
4 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -8.23% |
5 | Jun 2015 | Sep 2015 | 4 months | Apr 2016 | 7 months | 11 months | -5.23% |
6 | Dec 2002 | Feb 2003 | 3 months | Apr 2003 | 2 months | 5 months | -4.39% |
7 | Feb 2018 | Apr 2018 | 3 months | Jul 2018 | 3 months | 6 months | -3.60% |
8 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -3.56% |
9 | May 2012 | May 2012 | 1 month | Jul 2012 | 2 months | 3 months | -3.34% |
10 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -3.21% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|
VFISX | Vanguard Short-Term Treasury Inv | 2.32% | 1.57% | 7.89% | -0.10% | -1.46% | 0.70 | 1.24 | -0.29 |
VBINX | Vanguard Balanced Index Inv | 8.71% | 9.03% | 21.67% | -22.21% | -32.57% | 0.83 | 1.28 | 0.99 |
VFINX | Vanguard 500 Index Investor | 10.82% | 14.44% | 32.18% | -37.02% | -50.97% | 0.70 | 1.05 | 1.00 |
COTZX | Columbia Thermostat Inst | 8.35% | 9.67% | 32.29% | -30.53% | -42.44% | 0.75 | 1.14 | 0.86 |
HSTRX | Hussman Strategic Total Return | 5.13% | 5.98% | 12.61% | -8.37% | -9.22% | 0.66 | 1.10 | 0.12 |
LCORX | Leuthold Core Investment Retail | 8.59% | 10.82% | 47.18% | -27.44% | -36.52% | 0.70 | 1.05 | 0.87 |
LSWWX | Loomis Sayles Global Allocation Y | 10.95% | 12.79% | 42.52% | -39.19% | -44.84% | 0.78 | 1.17 | 0.90 |
FPACX | FPA Crescent | 9.04% | 10.61% | 28.37% | -20.55% | -28.84% | 0.75 | 1.12 | 0.90 |
Name | Total Return | Annualized Return | Expense Ratio | |||||
---|---|---|---|---|---|---|---|---|
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% | 0.61% | 0.65% |
Hussman Strategic Total Return | 0.43% | 11.45% | 11.45% | 8.01% | 6.62% | 3.16% | 0.78% | 0.78% |
Leuthold Core Investment Retail | 6.58% | 10.09% | 10.09% | 4.83% | 6.87% | 6.24% | 1.41% | 1.41% |
Loomis Sayles Global Allocation Y | 8.13% | 15.38% | 15.38% | 11.58% | 12.17% | 9.56% | 0.87% | 0.87% |
FPA Crescent | 18.15% | 12.11% | 12.11% | 7.59% | 8.68% | 8.18% | 1.05% | 1.08% |
Trailing returns as of last calendar month ending December 2020 |
Ticker | Name | VFISX | VBINX | VFINX | COTZX | HSTRX | LCORX | LSWWX | FPACX | Provided Portfolio | Maximum Return at 9.00% Volatility | Maximum Sharpe Ratio Weights | Vanguard Balanced Index Inv |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
VFISX | Vanguard Short-Term Treasury Inv | 1.00 | -0.17 | -0.28 | -0.08 | 0.52 | -0.19 | -0.18 | -0.29 | -0.14 | -0.15 | -0.03 | -0.17 |
VBINX | Vanguard Balanced Index Inv | -0.17 | 1.00 | 0.99 | 0.88 | 0.21 | 0.87 | 0.91 | 0.89 | 0.98 | 0.98 | 0.95 | 1.00 |
VFINX | Vanguard 500 Index Investor | -0.28 | 0.99 | 1.00 | 0.85 | 0.11 | 0.85 | 0.89 | 0.88 | 0.95 | 0.95 | 0.91 | 0.99 |
COTZX | Columbia Thermostat Inst | -0.08 | 0.88 | 0.85 | 1.00 | 0.27 | 0.84 | 0.85 | 0.74 | 0.91 | 0.89 | 0.90 | 0.88 |
HSTRX | Hussman Strategic Total Return | 0.52 | 0.21 | 0.11 | 0.27 | 1.00 | 0.26 | 0.24 | 0.16 | 0.31 | 0.32 | 0.44 | 0.21 |
LCORX | Leuthold Core Investment Retail | -0.19 | 0.87 | 0.85 | 0.84 | 0.26 | 1.00 | 0.89 | 0.82 | 0.93 | 0.90 | 0.88 | 0.87 |
LSWWX | Loomis Sayles Global Allocation Y | -0.18 | 0.91 | 0.89 | 0.85 | 0.24 | 0.89 | 1.00 | 0.84 | 0.95 | 0.95 | 0.91 | 0.91 |
FPACX | FPA Crescent | -0.29 | 0.89 | 0.88 | 0.74 | 0.16 | 0.82 | 0.84 | 1.00 | 0.90 | 0.92 | 0.90 | 0.89 |
Ticker | Name | Provided Portfolio | Maximum Return at 9.00% Volatility | Maximum Sharpe Ratio Weights |
---|---|---|---|---|
VFISX | Vanguard Short-Term Treasury Inv | $1,129 | $1,541 | |
VBINX | Vanguard Balanced Index Inv | $4,651 | $7,695 | $6,396 |
VFINX | Vanguard 500 Index Investor | $6,140 | $7,113 | |
COTZX | Columbia Thermostat Inst | $4,430 | $2,213 | $4,744 |
HSTRX | Hussman Strategic Total Return | $2,330 | $4,129 | $3,442 |
LCORX | Leuthold Core Investment Retail | $3,674 | ||
LSWWX | Loomis Sayles Global Allocation Y | $5,097 | $9,072 | $1,761 |
FPACX | FPA Crescent | $4,229 | $7,519 | $6,306 |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Ticker | Name | Provided Portfolio | Maximum Return at 9.00% Volatility | Maximum Sharpe Ratio Weights |
---|---|---|---|---|
VFISX | Vanguard Short-Term Treasury Inv | -0.36% | -0.18% | |
VBINX | Vanguard Balanced Index Inv | 14.15% | 19.63% | 28.55% |
VFINX | Vanguard 500 Index Investor | 22.13% | 21.44% | |
COTZX | Columbia Thermostat Inst | 14.20% | 5.75% | 22.59% |
HSTRX | Hussman Strategic Total Return | 2.77% | 4.31% | 8.70% |
LCORX | Leuthold Core Investment Retail | 14.90% | ||
LSWWX | Loomis Sayles Global Allocation Y | 18.00% | 27.10% | 8.91% |
FPACX | FPA Crescent | 14.20% | 21.77% | 31.43% |
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | Provided Portfolio | Maximum Return at 9.00% Volatility | Maximum Sharpe Ratio Weights | Vanguard Balanced Index Inv | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 7.82% | 34.50% | -26.83% | 8.61% | 37.10% | -27.62% | 6.62% | 27.21% | -19.14% | 8.37% | 36.16% | -27.67% |
3 years | 6.92% | 17.57% | -5.01% | 7.68% | 19.55% | -5.51% | 5.97% | 14.70% | -2.00% | 7.55% | 19.12% | -7.37% |
5 years | 6.58% | 14.12% | -0.08% | 7.31% | 15.58% | -0.10% | 5.78% | 11.32% | 1.26% | 7.24% | 16.33% | -2.02% |
7 years | 6.76% | 10.38% | 5.12% | 7.52% | 11.35% | 5.61% | 5.92% | 8.34% | 4.08% | 7.57% | 12.28% | 4.30% |
10 years | 6.86% | 9.55% | 5.34% | 7.64% | 10.71% | 5.88% | 5.99% | 7.60% | 4.73% | 7.73% | 11.55% | 5.97% |
15 years | 6.83% | 7.87% | 5.91% | 7.57% | 8.64% | 6.49% | 5.92% | 6.59% | 5.27% | 7.43% | 8.32% | 6.51% |