Portfolio Optimization

This portfolio optimizer tool supports the following portfolio optimization strategies:

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

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

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Asset Groups
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Portfolio Optimization Results (Oct 2002 - Dec 2020) Save

Portfolio optimization results with goal to maximize return subject to 9.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 7.03% to 10.37%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

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%
LCORX Leuthold Core Investment Retail 12.00%
LSWWX Loomis Sayles Global Allocation Y 12.00%
FPACX FPA Crescent 12.00%
Save portfolio »
Maximum Return at 9.00% Volatility
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 »
Maximum Sharpe Ratio Weights
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 »

Portfolio Performance Summary

Portfolio performance statistics
MetricProvided PortfolioMaximum Return at 9.00% VolatilityMaximum Sharpe Ratio WeightsVanguard 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 Return8.49%9.38%7.16%9.15%
Standard Deviation8.10%8.99%6.02%9.03%
Best Year22.69%24.75%17.77%21.67%
Worst Year-21.65%-23.26%-13.47%-22.21%
Max. Drawdown -29.52% -31.02% -21.13% -32.57%
Sharpe Ratio (ex-ante)0.860.860.950.84
Sharpe Ratio (ex-post)0.850.860.940.83
Sortino Ratio1.311.321.491.28
Active Return-0.58%0.23%-1.74%N/A
Tracking Error2.10%1.97%3.78%N/A
Information Ratio-0.270.12-0.46N/A
US Stock Market Correlation0.960.960.920.99
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Provided Portfolio7.65%15.04%15.04%9.58%9.31%7.72%8.14%9.55%7.75%
Maximum Return at 9.00% Volatility9.21%15.75%15.75%10.72%10.62%8.69%8.94%11.63%9.42%
Maximum Sharpe Ratio Weights6.93%14.36%14.36%8.92%8.04%6.38%6.97%7.46%6.04%
Vanguard Balanced Index Inv8.94%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
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, 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 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.
  • The annual results for 2002 are based on full calendar months from October to December
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Short-Term Treasury Inv (VFISX)2.33%1.57%0.6760.00%20.00%
2Vanguard Balanced Index Inv (VBINX)9.15%9.03%0.8350.00%20.00%
3Vanguard 500 Index Investor (VFINX)11.98%14.44%0.7010.00%20.00%
4Columbia Thermostat Inst (COTZX)8.86%9.67%0.7520.00%20.00%
5Hussman Strategic Total Return (HSTRX)5.31%5.98%0.6590.00%20.00%
6Leuthold Core Investment Retail (LCORX)9.23%10.82%0.7040.00%20.00%
7Loomis Sayles Global Allocation Y (LSWWX)11.86%12.79%0.7840.00%20.00%
8FPA Crescent (FPACX)9.66%10.61%0.7560.00%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
NameTickerVFISXVBINXVFINXCOTZXHSTRXLCORXLSWWXFPACX
Vanguard Short-Term Treasury InvVFISX1.00-0.17-0.28-0.080.52-0.19-0.18-0.29
Vanguard Balanced Index InvVBINX-0.171.000.990.880.210.870.910.89
Vanguard 500 Index InvestorVFINX-0.280.991.000.850.110.850.890.88
Columbia Thermostat InstCOTZX-0.080.880.851.000.270.840.850.74
Hussman Strategic Total ReturnHSTRX0.520.210.110.271.000.260.240.16
Leuthold Core Investment RetailLCORX-0.190.870.850.840.261.000.890.82
Loomis Sayles Global Allocation YLSWWX-0.180.910.890.850.240.891.000.84
FPA CrescentFPACX-0.290.890.880.740.160.820.841.00
Based on monthly returns from Oct 2002 to Dec 2020
Efficient Frontier Assets
#VFISXVBINXVFINXCOTZXHSTRXLCORXLSWWXFPACXExpected Return*Standard Deviation*Sharpe Ratio*
120.00%20.00%0.00%20.00%20.00%0.00%0.00%20.00%7.03%5.90%0.944
220.00%20.00%0.00%18.86%20.00%0.00%1.14%20.00%7.06%5.93%0.945
320.00%20.00%0.00%17.72%20.00%0.00%2.28%20.00%7.10%5.96%0.945
420.00%20.00%0.00%16.58%20.00%0.00%3.42%20.00%7.13%5.99%0.945
520.00%20.00%0.00%15.56%20.00%0.00%4.60%19.85%7.16%6.02%0.945
620.00%20.00%0.00%14.69%20.00%0.00%5.84%19.48%7.20%6.06%0.945
720.00%20.00%0.00%13.82%20.00%0.00%7.07%19.10%7.23%6.09%0.945
820.00%20.00%0.00%12.95%20.00%0.00%8.31%18.73%7.26%6.13%0.944
920.00%20.00%0.00%12.08%20.00%0.00%9.55%18.36%7.30%6.16%0.944
1020.00%20.00%0.00%11.22%20.00%0.00%10.79%17.99%7.33%6.20%0.944
1120.00%20.00%0.00%10.35%20.00%0.00%12.03%17.62%7.36%6.24%0.943
1220.00%20.00%0.00%9.48%20.00%0.00%13.27%17.25%7.40%6.28%0.942
1320.00%20.00%0.00%8.61%20.00%0.00%14.51%16.88%7.43%6.31%0.941
1420.00%20.00%0.00%7.74%20.00%0.00%15.75%16.51%7.46%6.35%0.941
1520.00%20.00%0.00%6.87%20.00%0.00%16.99%16.14%7.50%6.39%0.940
1620.00%20.00%0.00%6.01%20.00%0.00%18.23%15.77%7.53%6.43%0.939
1720.00%20.00%0.00%5.14%20.00%0.00%19.47%15.40%7.56%6.47%0.937
1819.78%20.00%0.00%4.41%20.00%0.00%20.00%15.81%7.60%6.52%0.936
1919.30%20.00%0.00%4.66%20.00%0.00%20.00%16.03%7.63%6.56%0.935
2018.83%20.00%0.00%4.92%20.00%0.00%20.00%16.25%7.66%6.60%0.933
2118.35%20.00%0.00%5.18%20.00%0.00%20.00%16.47%7.70%6.65%0.932
2217.87%20.00%0.00%5.43%20.00%0.00%20.00%16.69%7.73%6.69%0.931
2317.39%20.00%0.00%5.69%20.00%0.00%20.00%16.92%7.76%6.73%0.929
2416.92%20.00%0.00%5.95%20.00%0.00%20.00%17.14%7.80%6.78%0.928
2516.44%20.00%0.00%6.20%20.00%0.00%20.00%17.36%7.83%6.82%0.927
2615.96%20.00%0.00%6.46%20.00%0.00%20.00%17.58%7.86%6.86%0.925
2715.49%20.00%0.00%6.72%20.00%0.00%20.00%17.80%7.90%6.91%0.924
2815.01%20.00%0.00%6.97%20.00%0.00%20.00%18.02%7.93%6.95%0.923
2914.53%20.00%0.00%7.23%20.00%0.00%20.00%18.24%7.96%7.00%0.921
3014.05%20.00%0.00%7.49%20.00%0.00%20.00%18.46%8.00%7.04%0.920
3113.58%20.00%0.00%7.74%20.00%0.00%20.00%18.68%8.03%7.08%0.919
3213.10%20.00%0.00%8.00%20.00%0.00%20.00%18.90%8.07%7.13%0.917
3312.62%20.00%0.00%8.25%20.00%0.00%20.00%19.12%8.10%7.17%0.916
3412.14%20.00%0.00%8.51%20.00%0.00%20.00%19.35%8.13%7.21%0.915
3511.67%20.00%0.00%8.77%20.00%0.00%20.00%19.57%8.17%7.26%0.914
3611.19%20.00%0.00%9.02%20.00%0.00%20.00%19.79%8.20%7.30%0.912
3710.71%20.00%0.00%9.29%20.00%0.00%20.00%20.00%8.23%7.35%0.911
3810.21%20.00%0.00%9.79%20.00%0.00%20.00%20.00%8.27%7.39%0.910
399.70%20.00%0.00%10.30%20.00%0.00%20.00%20.00%8.30%7.44%0.909
409.20%20.00%0.00%10.80%20.00%0.00%20.00%20.00%8.33%7.48%0.908
418.69%20.00%0.00%11.31%20.00%0.00%20.00%20.00%8.37%7.52%0.906
428.19%20.00%0.00%11.81%20.00%0.00%20.00%20.00%8.40%7.57%0.905
437.69%20.00%0.00%12.31%20.00%0.00%20.00%20.00%8.44%7.61%0.904
447.18%20.00%0.00%12.82%20.00%0.00%20.00%20.00%8.47%7.66%0.903
456.68%20.00%0.00%13.32%20.00%0.00%20.00%20.00%8.50%7.70%0.902
466.17%20.00%0.00%13.83%20.00%0.00%20.00%20.00%8.54%7.75%0.901
475.67%20.00%0.00%14.33%20.00%0.00%20.00%20.00%8.57%7.79%0.899
485.17%20.00%0.00%14.83%20.00%0.00%20.00%20.00%8.60%7.84%0.898
494.66%20.00%0.00%15.34%20.00%0.00%20.00%20.00%8.64%7.88%0.897
504.16%20.00%0.00%15.84%20.00%0.00%20.00%20.00%8.67%7.93%0.896
513.65%20.00%0.00%16.35%20.00%0.00%20.00%20.00%8.71%7.97%0.895
523.15%20.00%0.00%16.85%20.00%0.00%20.00%20.00%8.74%8.02%0.894
532.65%20.00%0.00%17.35%20.00%0.00%20.00%20.00%8.77%8.06%0.893
542.14%20.00%0.00%17.86%20.00%0.00%20.00%20.00%8.81%8.11%0.892
551.64%20.00%0.00%18.36%20.00%0.00%20.00%20.00%8.84%8.15%0.890
561.13%20.00%0.00%18.87%20.00%0.00%20.00%20.00%8.87%8.20%0.889
570.63%20.00%0.00%19.37%20.00%0.00%20.00%20.00%8.91%8.24%0.888
580.13%20.00%0.00%19.87%20.00%0.00%20.00%20.00%8.94%8.29%0.887
590.00%20.00%0.82%19.18%20.00%0.00%20.00%20.00%8.98%8.34%0.886
600.00%20.00%1.92%18.08%20.00%0.00%20.00%20.00%9.01%8.39%0.884
610.00%20.00%3.01%16.99%20.00%0.00%20.00%20.00%9.04%8.44%0.882
620.00%20.00%4.11%15.89%20.00%0.00%20.00%20.00%9.08%8.49%0.881
630.00%20.00%5.21%14.79%20.00%0.00%20.00%20.00%9.11%8.54%0.879
640.00%20.00%6.30%13.70%20.00%0.00%20.00%20.00%9.15%8.60%0.877
650.00%20.00%7.40%12.60%20.00%0.00%20.00%20.00%9.18%8.65%0.875
660.00%20.00%8.49%11.51%20.00%0.00%20.00%20.00%9.21%8.71%0.873
670.00%20.00%9.59%10.41%20.00%0.00%20.00%20.00%9.25%8.76%0.871
680.00%20.00%10.68%9.32%20.00%0.00%20.00%20.00%9.28%8.82%0.869
690.00%20.00%11.78%8.22%20.00%0.00%20.00%20.00%9.31%8.87%0.867
700.00%20.00%12.87%7.13%20.00%0.00%20.00%20.00%9.35%8.93%0.865
710.00%20.00%13.97%6.03%20.00%0.00%20.00%20.00%9.38%8.99%0.863
720.00%20.00%15.07%4.93%20.00%0.00%20.00%20.00%9.42%9.04%0.861
730.00%20.00%16.16%3.84%20.00%0.00%20.00%20.00%9.45%9.10%0.859
740.00%20.00%17.26%2.74%20.00%0.00%20.00%20.00%9.48%9.16%0.857
750.00%20.00%18.35%1.65%20.00%0.00%20.00%20.00%9.52%9.22%0.855
760.00%20.00%19.45%0.55%20.00%0.00%20.00%20.00%9.55%9.28%0.853
770.00%20.00%20.00%0.47%19.53%0.00%20.00%20.00%9.59%9.34%0.851
780.00%20.00%20.00%1.41%18.59%0.00%20.00%20.00%9.62%9.40%0.849
790.00%20.00%20.00%2.35%17.65%0.00%20.00%20.00%9.65%9.46%0.846
800.00%20.00%20.00%3.29%16.71%0.00%20.00%20.00%9.69%9.53%0.844
810.00%20.00%20.00%4.23%15.77%0.00%20.00%20.00%9.72%9.59%0.841
820.00%20.00%20.00%5.17%14.83%0.00%20.00%20.00%9.76%9.66%0.839
830.00%20.00%20.00%6.11%13.89%0.00%20.00%20.00%9.79%9.72%0.837
840.00%20.00%20.00%7.05%12.95%0.00%20.00%20.00%9.83%9.79%0.834
850.00%20.00%20.00%7.99%12.01%0.00%20.00%20.00%9.86%9.85%0.832
860.00%20.00%20.00%8.93%11.07%0.00%20.00%20.00%9.89%9.92%0.829
870.00%20.00%20.00%9.87%10.13%0.00%20.00%20.00%9.93%9.99%0.827
880.00%20.00%20.00%10.81%9.19%0.00%20.00%20.00%9.96%10.05%0.825
890.00%20.00%20.00%11.75%8.25%0.00%20.00%20.00%10.00%10.12%0.822
900.00%20.00%20.00%12.69%7.31%0.00%20.00%20.00%10.03%10.19%0.820
910.00%20.00%20.00%13.62%6.38%0.00%20.00%20.00%10.06%10.26%0.817
920.00%20.00%20.00%14.56%5.44%0.00%20.00%20.00%10.10%10.33%0.815
930.00%20.00%20.00%15.50%4.50%0.00%20.00%20.00%10.13%10.40%0.813
940.00%20.00%20.00%16.44%3.56%0.00%20.00%20.00%10.17%10.46%0.810
950.00%20.00%20.00%17.38%2.62%0.00%20.00%20.00%10.20%10.53%0.808
960.00%20.00%20.00%18.32%1.68%0.00%20.00%20.00%10.23%10.60%0.805
970.00%20.00%20.00%19.26%0.74%0.00%20.00%20.00%10.27%10.68%0.803
980.00%20.00%20.00%18.04%0.00%1.96%20.00%20.00%10.30%10.75%0.800
990.00%20.00%20.00%9.02%0.00%10.98%20.00%20.00%10.34%10.86%0.795
1000.00%20.00%20.00%0.00%0.00%20.00%20.00%20.00%10.37%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.
Annual returns for the configured portfolios
YearInflationProvided PortfolioMaximum Return at 9.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index InvVanguard Short-Term Treasury Inv (VFISX)Vanguard Balanced Index Inv (VBINX)Vanguard 500 Index Investor (VFINX)Columbia Thermostat Inst (COTZX)Hussman Strategic Total Return (HSTRX)Leuthold Core Investment Retail (LCORX)Loomis Sayles Global Allocation Y (LSWWX)FPA Crescent (FPACX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
2002-0.06%5.09%$10,5095.59%$10,5593.96%$10,3965.20%$10,5200.81%5.20%8.39%5.69%2.71%5.27%7.28%4.62%
20031.88%22.41%$12,86422.47%$12,93215.89%$12,04719.87%$12,6102.38%19.87%28.50%19.79%9.80%47.18%31.16%26.15%
20043.26%8.65%$13,97810.13%$14,2427.48%$12,9499.32%$13,7861.03%9.32%10.74%9.17%6.50%8.26%14.12%10.21%
20053.42%7.42%$15,0157.78%$15,3506.07%$13,7344.65%$14,4271.77%4.65%4.77%5.50%6.00%14.58%12.38%10.83%
20062.54%10.33%$16,56710.89%$17,0218.75%$14,93611.02%$16,0173.77%11.02%15.64%10.86%5.66%12.21%11.06%12.43%
20074.08%11.34%$18,44611.56%$18,9889.23%$16,3156.16%$17,0047.89%6.16%5.39%8.49%12.61%19.00%26.49%6.84%
20080.09%-21.65%$14,453-23.26%$14,572-13.47%$14,117-22.21%$13,2286.68%-22.21%-37.02%-30.53%6.34%-27.44%-39.19%-20.55%
20092.72%22.69%$17,73324.75%$18,17917.77%$16,62520.05%$15,8801.44%20.05%26.49%32.29%5.84%27.49%42.52%28.37%
20101.50%11.73%$19,81414.13%$20,74710.81%$18,42313.13%$17,9652.64%13.13%14.91%17.58%7.03%3.53%21.69%12.04%
20112.96%1.97%$20,2052.81%$21,3313.54%$19,0754.14%$18,7082.26%4.14%1.97%4.85%4.00%-5.34%-0.73%3.02%
20121.74%9.59%$22,14110.66%$23,6057.46%$20,49911.33%$20,8280.69%11.33%15.82%13.69%1.14%8.32%15.49%10.33%
20131.50%13.04%$25,02813.95%$26,8997.93%$22,12317.91%$24,559-0.10%17.91%32.18%9.30%-8.37%19.18%16.25%21.95%
20140.76%6.56%$26,6696.99%$28,7795.22%$23,2799.84%$26,9760.71%9.84%13.51%5.57%3.78%8.58%3.53%6.64%
20150.73%0.16%$26,7120.13%$28,816-0.21%$23,2290.37%$27,0750.45%0.37%1.25%0.33%-1.01%-0.98%1.69%-2.06%
20162.07%6.77%$28,5218.36%$31,2256.59%$24,7618.63%$29,4130.99%8.63%11.82%4.72%8.03%4.51%4.67%10.25%
20172.11%11.07%$31,67712.63%$35,1696.87%$26,46113.75%$33,4580.39%13.75%21.67%5.52%1.21%15.77%22.11%10.39%
20181.91%-2.72%$30,815-3.29%$34,013-1.63%$26,030-2.97%$32,4661.35%-2.97%-4.52%0.12%1.48%-6.21%-5.04%-7.43%
20192.29%17.57%$36,22921.26%$41,24614.86%$29,89921.67%$39,5013.59%21.67%31.33%15.14%11.42%11.58%26.80%20.02%
20201.36%15.04%$41,68015.75%$47,74114.36%$34,19116.26%$45,9243.96%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
Monthly returns for the configured portfolios
YearMonthProvided PortfolioMaximum Return at 9.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index InvVanguard Short-Term Treasury Inv (VFISX)Vanguard Balanced Index Inv (VBINX)Vanguard 500 Index Investor (VFINX)Columbia Thermostat Inst (COTZX)Hussman Strategic Total Return (HSTRX)Leuthold Core Investment Retail (LCORX)Loomis Sayles Global Allocation Y (LSWWX)FPA Crescent (FPACX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
2002102.69%$10,2692.56%$10,2561.31%$10,1314.26%$10,4260.02%4.26%8.78%3.76%-1.31%2.91%2.52%0.06%
2002113.51%$10,6303.66%$10,6312.51%$10,3853.58%$10,799-0.66%3.58%5.88%4.70%-0.41%5.47%4.15%5.45%
200212-1.13%$10,509-0.68%$10,5590.11%$10,396-2.59%$10,5201.46%-2.59%-5.89%-2.71%4.49%-3.01%0.47%-0.85%
20031-0.71%$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%
20032-0.42%$10,391-0.43%$10,414-0.38%$10,264-0.39%$10,3250.68%-0.39%-1.52%-1.56%0.29%-0.28%1.02%-1.52%
200330.46%$10,4380.43%$10,4590.39%$10,3050.58%$10,3850.23%0.58%0.96%0.89%-0.90%0.26%0.25%1.31%
200344.34%$10,8914.65%$10,9453.22%$10,6375.22%$10,9260.11%5.22%8.25%5.10%0.00%5.22%5.01%5.70%
200354.80%$11,4145.05%$11,4984.14%$11,0774.34%$11,4001.05%4.34%5.26%4.58%4.25%7.66%5.25%6.34%
200361.22%$11,5531.12%$11,6270.95%$11,1820.88%$11,5010.01%0.88%1.26%1.32%0.66%2.95%0.79%1.99%
200370.48%$11,609-0.05%$11,621-0.23%$11,1570.06%$11,508-0.91%0.06%1.74%0.62%-2.56%4.07%-1.24%2.11%
200382.22%$11,8672.49%$11,9102.09%$11,3901.66%$11,6990.02%1.66%1.93%2.02%2.53%3.60%2.05%4.23%
200390.80%$11,9610.95%$12,0240.71%$11,4710.41%$11,7461.15%0.41%-1.07%-0.26%2.87%1.20%3.91%-1.60%
2003103.25%$12,3503.06%$12,3921.93%$11,6923.21%$12,123-0.34%3.21%5.64%3.45%0.09%7.02%3.87%3.14%
2003111.15%$12,4921.01%$12,5170.83%$11,7890.96%$12,240-0.07%0.96%0.86%1.08%0.75%3.35%0.93%1.48%
2003122.98%$12,8643.32%$12,9322.19%$12,0473.03%$12,6100.59%3.03%5.22%2.65%1.48%3.31%4.96%2.68%
200411.27%$13,0281.53%$13,1291.21%$12,1931.70%$12,8240.22%1.70%1.82%1.38%0.57%0.83%1.52%2.16%
200421.28%$13,1951.53%$13,3301.38%$12,3611.29%$12,9900.58%1.29%1.38%1.12%1.50%0.85%1.20%2.38%
200430.16%$13,2160.28%$13,3680.46%$12,417-0.37%$12,9420.40%-0.37%-1.51%0.40%1.94%-0.19%0.98%-0.22%
20044-2.69%$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%
200450.61%$12,9380.67%$13,0740.53%$12,1710.66%$12,726-0.16%0.66%1.36%0.32%2.02%1.01%-0.30%-0.04%
200461.50%$13,1321.57%$13,2791.12%$12,3081.47%$12,9140.02%1.47%1.93%1.59%-0.07%2.54%2.13%2.49%
20047-1.54%$12,929-1.55%$13,073-0.83%$12,207-1.89%$12,6700.32%-1.89%-3.31%-1.50%0.38%-2.87%-2.19%-1.27%
200480.70%$13,0200.78%$13,1750.73%$12,2960.99%$12,7950.80%0.99%0.38%0.64%2.37%0.34%1.42%-1.34%
200491.68%$13,2381.74%$13,4041.39%$12,4661.15%$12,9420.04%1.15%1.07%1.28%1.18%3.75%2.10%3.12%
2004100.96%$13,3651.25%$13,5710.83%$12,5701.30%$13,1110.33%1.30%1.51%1.66%1.10%-0.58%2.75%-0.48%
2004112.98%$13,7642.97%$13,9741.77%$12,7932.52%$13,441-0.63%2.52%4.05%2.40%0.83%7.03%4.78%3.17%
2004121.55%$13,9781.91%$14,2421.22%$12,9492.57%$13,7860.33%2.57%3.39%1.66%0.18%0.19%2.89%1.07%
20051-1.04%$13,832-1.35%$14,049-0.85%$12,838-1.34%$13,6020.04%-1.34%-2.45%-0.69%-1.63%-0.38%-1.36%-0.51%
200521.92%$14,0982.04%$14,3361.35%$13,0110.99%$13,736-0.36%0.99%2.09%0.92%1.38%4.62%2.67%3.41%
20053-1.32%$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%
20054-1.48%$13,707-1.64%$13,909-1.07%$12,764-0.84%$13,4450.72%-0.84%-1.91%-0.85%-1.29%-3.41%-1.57%-2.94%
200552.17%$14,0042.48%$14,2541.87%$13,0032.76%$13,8160.44%2.76%3.17%2.49%0.74%1.80%3.18%2.77%
200561.16%$14,1671.34%$14,4451.20%$13,1590.72%$13,9160.24%0.72%0.13%0.98%2.00%1.84%1.72%1.87%
200572.22%$14,4812.18%$14,7611.15%$13,3102.11%$14,210-0.41%2.11%3.71%1.68%-1.28%5.08%3.84%3.15%
200580.41%$14,5400.53%$14,8390.72%$13,406-0.10%$14,1960.75%-0.10%-0.91%0.08%1.67%0.24%0.60%1.11%
200591.11%$14,7021.19%$15,0160.85%$13,5210.11%$14,211-0.31%0.11%0.79%0.08%3.19%3.27%1.11%0.98%
200510-1.02%$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%
2005111.95%$14,8372.31%$15,1591.63%$13,5852.58%$14,3630.39%2.58%3.76%2.36%1.58%0.81%2.98%1.07%
2005121.20%$15,0151.26%$15,3501.10%$13,7340.45%$14,4270.41%0.45%0.02%1.05%2.00%2.41%2.17%1.33%
200612.60%$15,4063.08%$15,8232.31%$14,0522.12%$14,7330.14%2.12%2.65%2.32%2.43%3.14%4.18%4.13%
20062-0.47%$15,334-0.63%$15,723-0.51%$13,9800.15%$14,7550.01%0.15%0.26%0.31%-1.14%-1.13%-0.79%-1.64%
200630.93%$15,4760.98%$15,8780.79%$14,0900.69%$14,8560.05%0.69%1.23%0.47%0.07%1.85%0.48%2.68%
200641.15%$15,6551.19%$16,0661.05%$14,2380.54%$14,9370.33%0.54%1.33%0.93%1.78%2.02%0.71%1.70%
20065-1.93%$15,352-2.33%$15,691-1.31%$14,051-1.96%$14,6440.05%-1.96%-2.90%-1.84%-0.96%-1.76%-5.09%-1.08%
200660.22%$15,3860.16%$15,7170.29%$14,0930.16%$14,6680.25%0.16%0.13%0.39%0.88%0.38%-0.41%-0.04%
200670.47%$15,4580.47%$15,7900.49%$14,1620.50%$14,7410.76%0.50%0.61%0.48%0.97%0.06%0.58%-0.27%
200681.16%$15,6381.41%$16,0131.19%$14,3312.00%$15,0370.75%2.00%2.36%1.99%0.35%-0.79%1.48%0.96%
200690.79%$15,7610.86%$16,1500.50%$14,4021.68%$15,2890.55%1.68%2.56%1.32%-1.92%-0.47%1.54%0.80%
2006102.50%$16,1542.56%$16,5631.77%$14,6572.43%$15,6600.46%2.43%3.25%1.69%2.07%4.76%3.76%1.74%
2006112.17%$16,5052.36%$16,9541.93%$14,9411.80%$15,9430.55%1.80%1.89%1.66%2.55%3.51%2.77%2.86%
2006120.37%$16,5670.39%$17,021-0.03%$14,9360.47%$16,017-0.20%0.47%1.39%0.70%-1.43%0.24%1.65%0.08%
200710.82%$16,7020.86%$17,1670.52%$15,0131.08%$16,1900.19%1.08%1.49%0.95%-0.09%0.91%1.73%0.27%
20072-0.10%$16,687-0.34%$17,1100.37%$15,069-0.32%$16,1370.93%-0.32%-1.97%0.71%0.72%0.11%-1.18%0.26%
200730.97%$16,8491.17%$17,3090.74%$15,1810.65%$16,2420.28%0.65%1.11%0.63%0.09%1.01%2.47%1.66%
200742.42%$17,2572.56%$17,7521.83%$15,4592.60%$16,6640.46%2.60%4.42%2.10%0.81%3.30%2.63%3.04%
200751.94%$17,5922.21%$18,1441.05%$15,6211.90%$16,981-0.40%1.90%3.48%0.84%-0.63%3.45%4.34%2.73%
20076-0.42%$17,518-0.62%$18,032-0.35%$15,566-1.15%$16,7850.37%-1.15%-1.68%-0.86%0.00%0.59%-0.27%-0.25%
20077-0.11%$17,498-0.36%$17,9670.10%$15,582-1.72%$16,4961.06%-1.72%-3.08%-0.47%3.11%1.42%0.89%-1.79%
200780.65%$17,6120.63%$18,0810.73%$15,6961.43%$16,7321.15%1.43%1.50%1.89%0.27%-1.16%0.68%-0.82%
200793.09%$18,1573.54%$18,7212.31%$16,0592.45%$17,1430.74%2.45%3.72%2.08%3.19%4.01%6.80%2.02%
2007102.18%$18,5542.71%$19,2271.53%$16,3041.47%$17,3950.45%1.47%1.58%1.44%2.25%2.31%7.69%0.59%
200711-1.05%$18,358-1.73%$18,895-0.42%$16,237-1.94%$17,0582.16%-1.94%-4.19%-0.89%1.24%0.01%-2.46%-2.30%
2007120.48%$18,4460.49%$18,9880.48%$16,315-0.32%$17,0040.25%-0.32%-0.70%-0.18%1.05%1.68%0.90%1.37%
20081-2.29%$18,024-2.95%$18,427-0.42%$16,246-2.91%$16,5102.01%-2.91%-6.02%-2.04%5.04%-2.33%-9.60%-2.49%
20082-0.33%$17,965-0.56%$18,3240.16%$16,271-1.78%$16,2161.09%-1.78%-3.25%-1.25%0.99%1.25%-1.05%1.70%
20083-0.41%$17,891-0.38%$18,255-0.40%$16,206-0.19%$16,1850.25%-0.19%-0.44%-0.76%-1.23%-1.01%0.42%-0.36%
200842.86%$18,4033.21%$18,8411.73%$16,4852.83%$16,644-0.96%2.83%4.85%3.65%-0.92%3.86%6.19%3.44%
200851.35%$18,6511.68%$19,1561.19%$16,6820.98%$16,807-0.51%0.98%1.29%1.23%0.59%1.86%2.05%3.48%
20086-3.91%$17,921-4.01%$18,388-2.41%$16,279-4.98%$15,9700.33%-4.98%-8.44%-5.27%0.59%-5.14%-5.52%-2.65%
20087-1.22%$17,703-1.53%$18,107-0.89%$16,134-0.44%$15,8990.52%-0.44%-0.83%-1.55%-0.17%-1.48%-3.64%-2.35%
20088-0.11%$17,683-0.20%$18,0700.28%$16,1791.23%$16,0950.56%1.23%1.45%0.44%-0.50%-1.50%-3.49%0.60%
20089-6.55%$16,526-6.71%$16,857-4.10%$15,516-6.04%$15,1240.53%-6.04%-8.91%-8.81%1.34%-10.75%-13.59%-6.40%
200810-11.95%$14,550-13.05%$14,657-9.63%$14,022-11.59%$13,3700.49%-11.59%-16.79%-15.69%-7.40%-15.19%-15.90%-13.89%
200811-3.79%$13,999-3.58%$14,133-2.04%$13,736-3.43%$12,9121.03%-3.43%-7.17%-7.49%3.62%-5.89%-6.71%-4.09%
2008123.24%$14,4533.10%$14,5722.77%$14,1172.44%$13,2281.17%2.44%1.07%3.52%4.81%6.86%4.85%1.61%
20091-3.68%$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%
20092-5.58%$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%
200935.11%$13,8165.44%$13,9854.25%$13,7166.10%$12,4450.90%6.10%8.76%7.73%3.99%4.45%5.70%2.96%
200946.00%$14,6446.20%$14,8534.41%$14,3216.40%$13,240-0.25%6.40%9.56%11.10%-1.88%6.33%9.46%7.01%
200955.14%$15,3965.75%$15,7074.34%$14,9433.58%$13,7150.21%3.58%5.62%7.43%3.65%5.57%8.84%6.50%
200960.17%$15,4230.35%$15,7620.18%$14,9700.50%$13,783-0.17%0.50%0.22%-0.02%-0.42%-0.23%0.65%0.87%
200975.05%$16,2024.80%$16,5193.40%$15,4785.28%$14,5120.22%5.28%7.58%7.51%0.76%8.60%7.16%3.26%
200981.92%$16,5122.03%$16,8541.67%$15,7372.62%$14,8920.37%2.62%3.60%3.39%0.33%1.15%1.63%2.04%
200993.50%$17,0893.55%$17,4532.68%$16,1592.98%$15,3350.29%2.98%3.72%4.71%2.00%5.69%5.56%3.22%
200910-1.00%$16,919-0.60%$17,348-0.24%$16,121-1.33%$15,1320.24%-1.33%-1.87%-1.47%0.25%-3.61%-1.28%1.10%
2009113.71%$17,5473.70%$17,9902.83%$16,5773.88%$15,7180.87%3.88%5.98%4.76%1.49%5.19%4.20%3.30%
2009121.06%$17,7331.05%$18,1790.29%$16,6251.03%$15,880-1.13%1.03%1.95%2.27%-1.75%2.19%3.16%0.78%
20101-1.83%$17,409-1.65%$17,879-0.47%$16,547-1.50%$15,6420.95%-1.50%-3.60%-2.22%0.67%-4.77%-4.55%0.32%
201021.55%$17,6791.71%$18,1851.15%$16,7372.10%$15,9700.19%2.10%3.09%2.18%0.25%1.09%2.43%0.96%
201033.65%$18,3243.68%$18,8552.27%$17,1173.74%$16,568-0.36%3.74%6.01%5.19%-0.50%5.67%6.47%2.94%
201041.15%$18,5351.23%$19,0881.05%$17,2961.74%$16,8560.39%1.74%1.58%2.03%1.08%0.66%1.56%0.08%
20105-4.43%$17,713-4.43%$18,243-2.75%$16,820-4.45%$16,1060.48%-4.45%-8.01%-5.61%0.74%-7.49%-6.42%-4.71%
20106-1.91%$17,375-1.58%$17,955-0.84%$16,678-2.75%$15,6630.56%-2.75%-5.24%-3.02%1.92%-4.01%-1.17%-1.34%
201074.04%$18,0774.30%$18,7272.79%$17,1444.50%$16,3680.38%4.50%7.00%5.94%0.00%4.05%7.58%2.75%
20108-1.64%$17,780-1.39%$18,467-0.75%$17,016-2.33%$15,9860.37%-2.33%-4.53%-3.44%2.66%-2.53%-1.69%-1.38%
201095.84%$18,8186.24%$19,6204.30%$17,7485.59%$16,8800.18%5.59%8.92%9.08%0.39%6.25%10.30%5.96%
2010102.37%$19,2632.48%$20,1081.74%$18,0572.52%$17,3060.26%2.52%3.79%3.00%0.47%3.00%3.59%2.29%
201011-0.13%$19,239-0.10%$20,088-0.18%$18,0240.14%$17,332-0.30%0.14%0.00%0.08%-0.17%-0.30%0.20%-0.68%
2010122.99%$19,8143.28%$20,7472.21%$18,4233.66%$17,965-0.48%3.66%6.67%4.15%-0.65%2.88%2.81%4.69%
201111.03%$20,0171.11%$20,9780.69%$18,5501.36%$18,2090.25%1.36%2.36%0.80%-0.41%1.07%1.42%1.31%
201121.87%$20,3921.96%$21,3891.30%$18,7902.26%$18,620-0.22%2.26%3.42%1.75%0.66%3.17%1.97%1.99%
201130.54%$20,5020.62%$21,5220.38%$18,8620.23%$18,663-0.13%0.23%0.03%0.55%-0.08%1.09%1.69%1.08%
201142.55%$21,0252.74%$22,1121.93%$19,2262.35%$19,1020.71%2.35%2.95%2.65%0.74%3.37%5.16%2.61%
20115-0.50%$20,920-0.52%$21,998-0.06%$19,214-0.18%$19,0690.52%-0.18%-1.15%-0.38%0.90%-1.41%-1.46%-0.94%
20116-0.92%$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%
20117-0.41%$20,641-0.28%$21,7020.02%$19,061-0.72%$18,7020.52%-0.72%-2.05%0.08%1.48%-1.79%0.60%-1.37%
20118-2.47%$20,130-2.65%$21,128-0.95%$18,880-2.81%$18,1760.52%-2.81%-5.45%-0.70%2.67%-5.06%-5.81%-3.27%
20119-5.23%$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%
2011106.13%$20,2477.12%$21,3524.80%$19,0406.98%$18,5890.15%6.98%10.91%7.27%1.28%4.84%9.78%7.75%
201111-0.24%$20,198-0.10%$21,3310.20%$19,077-0.28%$18,538-0.04%-0.28%-0.23%0.08%0.97%-1.42%-1.72%0.66%
2011120.03%$20,2050.00%$21,331-0.01%$19,0750.92%$18,7080.21%0.92%1.02%0.27%-1.52%-0.64%-0.41%0.24%
201213.27%$20,8653.51%$22,0802.54%$19,5603.40%$19,3440.23%3.40%4.46%4.26%1.46%4.09%5.16%3.14%
201222.39%$21,3642.63%$22,6611.50%$19,8542.49%$19,825-0.14%2.49%4.31%2.95%-0.56%2.76%5.03%2.28%
201230.99%$21,5761.05%$22,8980.49%$19,9501.62%$20,145-0.13%1.62%3.28%0.88%-1.06%1.09%1.02%1.10%
20124-0.01%$21,5730.03%$22,9050.21%$19,9920.04%$20,1540.32%0.04%-0.64%0.44%0.73%-0.71%0.12%-0.42%
20125-3.71%$20,773-3.97%$21,997-2.46%$19,500-3.34%$19,4810.06%-3.34%-6.02%-3.70%0.24%-5.63%-6.46%-4.96%
201262.02%$21,1922.23%$22,4871.40%$19,7722.28%$19,925-0.13%2.28%4.11%1.94%0.15%2.50%2.66%2.59%
201270.82%$21,3660.88%$22,6850.61%$19,8921.17%$20,1590.29%1.17%1.37%1.18%-0.24%0.56%1.67%0.51%
201281.64%$21,7171.86%$23,1081.43%$20,1761.55%$20,4710.11%1.55%2.24%1.98%0.73%1.73%2.12%2.75%
201291.46%$22,0341.53%$23,4611.04%$20,3851.58%$20,7950.03%1.58%2.58%1.65%0.62%2.06%1.90%1.23%
201210-0.79%$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%
2012110.44%$21,9570.47%$23,3710.42%$20,3610.51%$20,6900.12%0.51%0.56%0.92%-0.42%0.24%0.53%1.05%
2012120.84%$22,1411.00%$23,6050.68%$20,4990.66%$20,8280.09%0.66%0.90%0.95%-0.33%0.74%1.99%1.77%
201312.48%$22,6892.52%$24,2001.61%$20,8283.03%$21,459-0.06%3.03%5.18%2.26%-1.40%4.09%2.51%4.16%
201320.41%$22,7830.42%$24,3010.31%$20,8920.98%$21,6690.12%0.98%1.34%0.48%-0.67%0.23%-0.06%0.75%
201331.87%$23,2081.95%$24,7741.30%$21,1632.36%$22,1800.03%2.36%3.74%1.31%0.55%3.12%1.65%2.17%
201340.64%$23,3570.64%$24,9320.29%$21,2231.39%$22,4890.12%1.39%1.91%1.29%-2.94%0.17%1.51%1.52%
201350.48%$23,4690.54%$25,0660.15%$21,2550.74%$22,656-0.34%0.74%2.33%0.27%-2.17%0.51%0.11%2.28%
20136-1.50%$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%
201372.67%$23,7332.96%$25,3931.85%$21,3953.33%$23,0780.12%3.33%5.07%2.11%0.27%3.46%4.03%2.97%
20138-1.45%$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%
201392.30%$23,9262.43%$25,5891.62%$21,5202.56%$23,2070.40%2.56%3.12%1.54%1.06%3.92%3.89%2.00%
2013102.54%$24,5342.89%$26,3291.85%$21,9192.83%$23,8650.13%2.83%4.59%1.45%1.62%3.44%3.64%2.74%
2013111.24%$24,8381.22%$26,6520.57%$22,0441.60%$24,2470.13%1.60%3.03%0.26%-1.24%2.54%1.81%1.76%
2013120.77%$25,0280.93%$26,8990.36%$22,1231.29%$24,559-0.33%1.29%2.51%0.23%-1.40%0.85%1.09%1.83%
20141-1.01%$24,775-1.29%$26,552-0.15%$22,089-1.24%$24,2550.32%-1.24%-3.47%0.28%2.28%-1.10%-3.63%-1.52%
201422.71%$25,4463.02%$27,3551.81%$22,4893.02%$24,9870.03%3.02%4.56%1.66%0.89%4.11%4.78%2.74%
201430.18%$25,4930.11%$27,3840.08%$22,5070.21%$25,039-0.21%0.21%0.82%0.00%-0.26%0.88%-0.82%0.84%
201440.27%$25,5610.40%$27,4940.31%$22,5770.36%$25,1290.23%0.36%0.72%0.34%0.80%-0.59%0.41%-0.18%
201451.49%$25,9421.61%$27,9361.12%$22,8311.71%$25,5590.13%1.71%2.33%1.02%0.79%2.41%1.80%1.79%
201461.45%$26,3181.84%$28,4511.23%$23,1121.57%$25,9600.04%1.57%2.05%0.72%2.10%1.33%2.58%1.32%
20147-1.07%$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%
201481.98%$26,5532.17%$28,7271.37%$23,2622.95%$26,3830.14%2.95%3.98%1.28%1.21%2.73%2.58%0.97%
20149-1.78%$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%
2014101.06%$26,3570.89%$28,4280.60%$23,0482.09%$26,5110.33%2.09%2.42%1.55%-1.51%1.70%1.06%0.65%
2014111.36%$26,7161.57%$28,8741.10%$23,3021.74%$26,9720.23%1.74%2.68%0.33%0.99%1.80%1.09%2.05%
201412-0.17%$26,669-0.33%$28,779-0.10%$23,2790.01%$26,976-0.24%0.01%-0.26%-0.10%0.36%0.64%-1.62%-0.19%
20151-0.19%$26,619-0.08%$28,7550.63%$23,426-0.77%$26,7670.61%-0.77%-3.02%0.75%4.81%-1.19%-0.64%-1.93%
201522.27%$27,2222.79%$29,5581.27%$23,7242.95%$27,558-0.42%2.95%5.74%0.74%-1.44%2.36%4.56%3.66%
20153-0.58%$27,065-1.07%$29,242-0.75%$23,547-0.44%$27,4370.33%-0.44%-1.59%0.00%-2.09%0.81%-0.21%-1.49%
201540.53%$27,2070.94%$29,5180.69%$23,7100.10%$27,4640.05%0.10%0.95%0.27%1.67%-0.96%0.98%1.21%
201550.50%$27,3430.42%$29,6420.12%$23,7380.63%$27,6380.06%0.63%1.27%0.20%-0.69%1.29%1.02%0.20%
20156-1.15%$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%
201570.55%$27,1760.51%$29,355-0.08%$23,4761.31%$27,6030.15%1.31%2.08%0.34%-2.92%0.64%2.41%0.21%
20158-2.64%$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%
20159-1.10%$26,167-1.67%$27,989-0.82%$22,879-1.45%$26,1910.43%-1.45%-2.48%-1.18%0.09%0.71%-3.39%-1.51%
2015103.30%$27,0304.26%$29,1802.59%$23,4714.61%$27,398-0.13%4.61%8.42%2.60%1.18%0.70%4.58%4.25%
201511-0.21%$26,973-0.13%$29,143-0.23%$23,4180.24%$27,462-0.31%0.24%0.29%-0.21%-1.34%-0.75%-0.15%0.48%
201512-0.97%$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%
20161-2.27%$26,107-2.80%$28,008-1.43%$22,896-2.81%$26,3160.82%-2.81%-4.98%-1.42%1.90%-2.50%-4.15%-5.05%
201620.49%$26,2360.52%$28,1520.70%$23,0560.28%$26,3900.15%0.28%-0.15%0.14%3.28%1.28%-0.75%-0.17%
201633.74%$27,2164.50%$29,4183.04%$23,7574.59%$27,6010.26%4.59%6.78%3.16%1.37%2.93%5.53%5.30%
201640.99%$27,4861.62%$29,8951.48%$24,1080.54%$27,750-0.03%0.54%0.37%0.90%4.07%-0.73%1.10%1.87%
201650.59%$27,6470.60%$30,0740.16%$24,1481.04%$28,038-0.10%1.04%1.78%0.48%-1.06%0.84%1.36%0.25%
201660.04%$27,6580.12%$30,1110.49%$24,2650.93%$28,2990.75%0.93%0.25%0.42%2.43%-1.56%-1.35%-1.71%
201672.21%$28,2712.64%$30,9061.63%$24,6602.64%$29,047-0.10%2.64%3.68%1.26%0.56%2.72%3.87%3.19%
201680.16%$28,3160.26%$30,9880.14%$24,6950.06%$29,066-0.29%0.06%0.13%0.21%-1.52%0.11%0.42%2.20%
201690.13%$28,3540.20%$31,0510.14%$24,7290.08%$29,0880.23%0.08%0.01%0.28%0.12%-0.39%0.89%-0.15%
201610-1.36%$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%
2016111.12%$28,2811.12%$30,9240.45%$24,5941.61%$29,060-0.58%1.61%3.70%-0.41%-2.23%3.13%-0.05%3.80%
2016120.85%$28,5210.98%$31,2250.68%$24,7611.21%$29,413-0.00%1.21%1.96%0.43%0.59%0.99%0.39%1.18%
201711.31%$28,8941.52%$31,7010.92%$24,9901.25%$29,7810.26%1.25%1.88%0.56%0.84%1.75%2.85%1.20%
201721.82%$29,4202.14%$32,3811.31%$25,3182.48%$30,5190.07%2.48%3.96%0.76%0.08%2.04%2.35%2.82%
201730.06%$29,4380.08%$32,408-0.01%$25,3150.02%$30,5250.02%0.02%0.10%0.21%0.25%-0.13%0.66%-0.65%
201740.97%$29,7241.14%$32,7760.68%$25,4880.93%$30,8100.19%0.93%1.02%0.68%0.08%1.21%2.69%1.07%
201750.97%$30,0141.06%$33,1250.60%$25,6420.89%$31,0850.09%0.89%1.39%0.88%0.17%1.41%2.37%0.65%
201760.25%$30,0900.20%$33,190-0.02%$25,6380.55%$31,258-0.09%0.55%0.61%0.09%-0.91%0.87%0.77%0.12%
201771.32%$30,4861.51%$33,6921.03%$25,9031.28%$31,6580.28%1.28%2.04%0.75%1.25%1.63%2.06%1.31%
201780.31%$30,5810.20%$33,7610.23%$25,9620.42%$31,7920.19%0.42%0.29%0.41%0.91%0.90%0.09%-0.73%
201790.90%$30,8560.93%$34,0750.34%$26,0511.26%$32,192-0.20%1.26%2.06%0.27%-1.28%1.96%1.83%1.32%
2017101.18%$31,2211.37%$34,5400.70%$26,2341.31%$32,614-0.08%1.31%2.32%0.34%-0.41%1.85%2.30%1.91%
2017110.89%$31,4990.98%$34,8800.32%$26,3181.79%$33,199-0.27%1.79%3.06%0.13%-0.08%1.37%1.26%-0.23%
2017120.56%$31,6770.83%$35,1690.54%$26,4610.78%$33,458-0.07%0.78%1.10%0.30%0.34%-0.10%0.97%1.21%
201812.63%$32,5103.09%$36,2571.38%$26,8272.71%$34,364-0.44%2.71%5.71%0.00%0.08%4.48%5.31%3.37%
20182-1.94%$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%
20183-0.75%$31,641-1.01%$35,083-0.42%$26,343-0.93%$33,1550.29%-0.93%-2.56%0.42%0.98%-0.78%-0.84%-2.61%
20184-0.26%$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%
201850.97%$31,8631.13%$35,4610.73%$26,4791.93%$33,7650.36%1.93%2.39%1.05%0.34%0.10%1.55%-0.15%
201860.03%$31,8730.17%$35,5200.13%$26,5130.40%$33,9000.10%0.40%0.61%0.23%-0.19%-1.11%-0.04%0.17%
201871.54%$32,3651.86%$36,1801.14%$26,8172.01%$34,581-0.10%2.01%3.71%0.56%-0.93%1.63%1.44%4.00%
201881.06%$32,7080.95%$36,5220.53%$26,9582.31%$35,3790.37%2.31%3.25%0.90%-0.94%1.56%0.82%0.00%
20189-0.33%$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%
201810-3.36%$31,505-4.16%$34,952-2.39%$26,261-4.76%$33,6500.10%-4.76%-6.85%-1.73%0.69%-2.93%-6.15%-5.27%
2018111.03%$31,8311.29%$35,4030.87%$26,4891.48%$34,1490.38%1.48%2.03%0.70%0.94%0.30%1.83%0.56%
201812-3.19%$30,815-3.92%$34,013-1.73%$26,030-4.93%$32,4660.88%-4.93%-9.04%-0.39%2.89%-3.75%-5.08%-6.07%
201914.73%$32,2735.81%$35,9894.01%$27,0745.55%$34,2670.30%5.55%8.00%3.44%2.07%3.84%6.87%7.92%
201921.42%$32,7331.92%$36,6791.06%$27,3602.10%$34,985-0.01%2.10%3.20%0.92%-0.49%0.17%3.21%2.26%
201931.24%$33,1401.44%$37,2081.26%$27,7051.65%$35,5620.78%1.65%1.94%1.54%1.95%0.22%1.40%0.40%
201941.93%$33,7802.46%$38,1241.42%$28,0982.39%$36,4130.15%2.39%4.04%0.62%-1.20%1.38%3.65%4.46%
20195-2.56%$32,914-3.31%$36,862-1.80%$27,592-3.21%$35,2450.88%-3.21%-6.36%-0.82%0.81%-2.39%-3.35%-6.11%
201964.23%$34,3075.11%$38,7443.68%$28,6094.63%$36,8780.48%4.63%7.03%3.59%3.90%3.32%5.64%5.36%
201970.65%$34,5290.70%$39,0140.45%$28,7380.97%$37,236-0.09%0.97%1.43%0.74%0.00%0.81%0.63%0.66%
201980.13%$34,574-0.24%$38,9200.31%$28,827-0.11%$37,1960.92%-0.11%-1.59%0.94%3.12%1.18%-0.33%-3.05%
201990.26%$34,6650.42%$39,0820.10%$28,8550.80%$37,493-0.22%0.80%1.86%0.27%-1.98%-0.64%0.25%1.64%
2019101.12%$35,0531.20%$39,5500.95%$29,1301.39%$38,0120.25%1.39%2.15%0.99%1.55%1.33%0.59%0.67%
2019111.55%$35,5951.98%$40,3321.16%$29,4682.24%$38,862-0.05%2.24%3.62%1.31%-0.76%0.44%2.74%2.75%
2019121.78%$36,2292.27%$41,2461.46%$29,8991.64%$39,5010.14%1.64%3.01%0.73%2.08%1.51%3.11%2.18%
202010.37%$36,3640.31%$41,3740.55%$30,0640.82%$39,8240.60%0.82%-0.05%1.21%0.90%-0.10%0.00%-0.50%
20202-3.09%$35,238-4.02%$39,712-1.77%$29,531-4.22%$38,1421.04%-4.22%-8.24%0.40%-0.22%-3.62%-5.45%-4.55%
20203-6.59%$32,917-8.61%$36,294-5.16%$28,008-8.48%$34,9081.01%-8.48%-12.37%0.07%0.02%-7.53%-9.65%-16.31%
202047.37%$35,3438.57%$39,4066.23%$29,7528.55%$37,8910.22%8.55%12.81%8.66%6.45%5.89%9.17%7.14%
202053.07%$36,4303.50%$40,7862.38%$30,4613.45%$39,2000.38%3.45%4.76%2.80%1.06%3.39%5.15%3.68%
202061.53%$36,9871.95%$41,5821.60%$30,9471.73%$39,8780.09%1.73%1.98%1.43%1.21%0.86%1.48%3.53%
202073.51%$38,2863.98%$43,2372.64%$31,7643.99%$41,4680.18%3.99%5.63%3.36%2.34%4.05%5.88%2.73%
202082.98%$39,4293.44%$44,7242.20%$32,4623.86%$43,0680.19%3.86%7.18%2.80%0.07%2.20%3.49%3.93%
20209-1.81%$38,717-2.25%$43,716-1.50%$31,977-2.12%$42,1570.06%-2.12%-3.81%-1.28%-1.17%-1.20%-2.15%-2.78%
202010-1.12%$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%
2020116.17%$40,6467.19%$46,3365.22%$33,4427.66%$44,7150.11%7.66%10.94%6.09%0.21%5.70%6.70%11.92%
2020122.54%$41,6803.03%$47,7412.24%$34,1912.70%$45,9240.08%2.70%3.84%2.32%0.64%2.44%3.13%5.30%
Portfolio return and risk metrics
MetricProvided PortfolioMaximum Return at 9.00% VolatilityMaximum Sharpe Ratio WeightsVanguard 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%
Max. Drawdown-29.52%-31.02%-21.13%-32.57%
US Market Correlation0.960.960.920.99
Beta(*)0.870.970.631.00
Alpha (annualized)0.49%0.47%1.36%0.00%
R295.20%95.28%90.64%100.00%
Sharpe Ratio0.850.860.940.83
Sortino Ratio1.311.321.491.28
Treynor Ratio (%)7.937.998.977.55
Calmar Ratio1.010.871.300.90
Active Return-0.58%0.23%-1.74%N/A
Tracking Error2.10%1.97%3.78%N/A
Information Ratio-0.270.12-0.46N/A
Skewness-0.89-0.87-0.91-0.72
Excess Kurtosis4.284.266.092.88
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 (%)87.6097.5565.01100.00
Downside Capture Ratio (%)83.7093.0653.68100.00
Safe Withdrawal Rate8.79%9.21%7.99%8.56%
Perpetual Withdrawal Rate5.44%6.12%4.45%5.92%
Positive Periods152 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 Ratio0.980.991.050.89
* Vanguard Balanced Index Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndProvided PortfolioMaximum Return at 9.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
Subprime CrisisNov 2007Mar 2009-29.52%-31.02%-21.13%-32.57%
COVID-19 StartJan 2020Mar 2020-9.48%-12.28%-6.84%-12.34%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsSep 20101 year 7 months2 years 4 months-29.52%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-9.48%
3May 2011Sep 20115 monthsFeb 20125 months10 months-9.26%
4Sep 2018Dec 20184 monthsFeb 20192 months6 months-5.79%
5Jun 2015Jan 20168 monthsApr 20163 months11 months-4.52%
6Apr 2012May 20122 monthsAug 20123 months5 months-3.72%
7Nov 2007Mar 20085 monthsMay 20082 months7 months-3.57%
8Feb 2018Apr 20183 monthsAug 20184 months7 months-2.93%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-2.90%
10Mar 2005Apr 20052 monthsJun 20052 months4 months-2.78%
Worst 10 drawdowns included above

Drawdowns for Maximum Return at 9.00% Volatility

Drawdowns for Maximum Return at 9.00% Volatility (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-31.02%
2Feb 2020Mar 20202 monthsJun 20203 months5 months-12.28%
3May 2011Sep 20115 monthsFeb 20125 months10 months-9.86%
4Sep 2018Dec 20184 monthsFeb 20192 months6 months-6.87%
5Jun 2015Sep 20154 monthsApr 20167 months11 months-5.58%
6May 2012May 20121 monthAug 20123 months4 months-3.97%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-3.35%
8May 2019May 20191 monthJun 20191 month2 months-3.31%
9Feb 2018Apr 20183 monthsAug 20184 months7 months-3.29%
10Mar 2005Apr 20052 monthsJun 20052 months4 months-2.98%
Worst 10 drawdowns included above

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Maximum Sharpe Ratio Weights (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsFeb 20101 year1 year 9 months-21.13%
2Feb 2020Mar 20202 monthsMay 20202 months4 months-6.84%
3May 2011Sep 20115 monthsJan 20124 months9 months-5.50%
4Jun 2015Sep 20154 monthsMar 20166 months10 months-3.62%
5May 2010Jun 20102 monthsSep 20103 months5 months-3.57%
6Sep 2018Dec 20184 monthsJan 20191 month5 months-3.44%
7Apr 2004Apr 20041 monthSep 20045 months6 months-2.50%
8May 2012May 20121 monthAug 20123 months4 months-2.46%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-2.09%
10Feb 2018Apr 20183 monthsAug 20184 months7 months-2.01%
Worst 10 drawdowns included above

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-32.57%
2Feb 2020Mar 20202 monthsJun 20203 months5 months-12.34%
3May 2011Sep 20115 monthsJan 20124 months9 months-9.03%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-8.23%
5Jun 2015Sep 20154 monthsApr 20167 months11 months-5.23%
6Dec 2002Feb 20033 monthsApr 20032 months5 months-4.39%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-3.56%
9May 2012May 20121 monthJul 20122 months3 months-3.34%
10May 2019May 20191 monthJun 20191 month2 months-3.21%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFISXVanguard Short-Term Treasury Inv2.32%1.57%7.89%-0.10%-1.46%0.701.24-0.29
VBINXVanguard Balanced Index Inv8.71%9.03%21.67%-22.21%-32.57%0.831.280.99
VFINXVanguard 500 Index Investor10.82%14.44%32.18%-37.02%-50.97%0.701.051.00
COTZXColumbia Thermostat Inst8.35%9.67%32.29%-30.53%-42.44%0.751.140.86
HSTRXHussman Strategic Total Return5.13%5.98%12.61%-8.37%-9.22%0.661.100.12
LCORXLeuthold Core Investment Retail8.59%10.82%47.18%-27.44%-36.52%0.701.050.87
LSWWXLoomis Sayles Global Allocation Y10.95%12.79%42.52%-39.19%-44.84%0.781.170.90
FPACXFPA Crescent9.04%10.61%28.37%-20.55%-28.84%0.751.120.90

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Vanguard Short-Term Treasury Inv0.13%3.96%3.96%2.96%2.05%1.42%0.20%0.20%
Vanguard Balanced Index Inv8.94%16.26%16.26%11.13%11.15%9.84%0.18%0.18%
Vanguard 500 Index Investor12.12%18.25%18.25%14.03%15.07%13.72%0.14%0.14%
Columbia Thermostat Inst7.27%29.63%29.63%14.33%10.55%8.59%0.65%0.71%
Hussman Strategic Total Return0.43%11.45%11.45%8.01%6.62%3.16%0.78%0.78%
Leuthold Core Investment Retail6.58%10.09%10.09%4.83%6.87%6.24%1.41%1.41%
Loomis Sayles Global Allocation Y8.13%15.38%15.38%11.58%12.17%9.56%0.90%0.90%
FPA Crescent18.15%12.11%12.11%7.59%8.68%8.18%1.13%1.15%
Trailing returns as of last calendar month ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFISXVBINXVFINXCOTZXHSTRXLCORXLSWWXFPACXProvided PortfolioMaximum Return at 9.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
VFISXVanguard Short-Term Treasury Inv1.00-0.17-0.28-0.080.52-0.19-0.18-0.29-0.14-0.15-0.03-0.17
VBINXVanguard Balanced Index Inv-0.171.000.990.880.210.870.910.890.980.980.951.00
VFINXVanguard 500 Index Investor-0.280.991.000.850.110.850.890.880.950.950.910.99
COTZXColumbia Thermostat Inst-0.080.880.851.000.270.840.850.740.910.890.900.88
HSTRXHussman Strategic Total Return0.520.210.110.271.000.260.240.160.310.320.440.21
LCORXLeuthold Core Investment Retail-0.190.870.850.840.261.000.890.820.930.900.880.87
LSWWXLoomis Sayles Global Allocation Y-0.180.910.890.850.240.891.000.840.950.950.910.91
FPACXFPA Crescent-0.290.890.880.740.160.820.841.000.900.920.900.89

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameProvided PortfolioMaximum Return at 9.00% VolatilityMaximum Sharpe Ratio Weights
VFISXVanguard Short-Term Treasury Inv-0.36%-0.18%
VBINXVanguard Balanced Index Inv14.15%19.63%28.55%
VFINXVanguard 500 Index Investor22.13%21.44%
COTZXColumbia Thermostat Inst14.20%5.75%22.59%
HSTRXHussman Strategic Total Return2.77%4.31%8.70%
LCORXLeuthold Core Investment Retail14.90%
LSWWXLoomis Sayles Global Allocation Y18.00%27.10%8.91%
FPACXFPA Crescent14.20%21.77%31.43%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll PeriodProvided PortfolioMaximum Return at 9.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year7.82%34.50%-26.83%8.61%37.10%-27.62%6.62%27.21%-19.14%8.37%36.16%-27.67%
3 years6.92%17.57%-5.01%7.68%19.55%-5.51%5.97%14.70%-2.00%7.55%19.12%-7.37%
5 years6.58%14.12%-0.08%7.31%15.58%-0.10%5.78%11.32%1.26%7.24%16.33%-2.02%
7 years6.76%10.38%5.12%7.52%11.35%5.61%5.92%8.34%4.08%7.57%12.28%4.30%
10 years6.86%9.55%5.34%7.64%10.71%5.88%5.99%7.60%4.73%7.73%11.55%5.97%
15 years6.83%7.87%5.91%7.57%8.64%6.49%5.92%6.59%5.27%7.43%8.32%6.51%