Portfolio Optimization

Portfolio Optimization Overview

This portfolio optimizer tool supports the following portfolio optimization strategies:

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

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

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

Portfolio Optimization Configuration

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Portfolio Optimization Results (Oct 2002 - Dec 2020) Save

Portfolio optimization results with the 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 6.81% to 9.90%. Refer to the efficient frontier section for additional details.

Provided Portfolio

Provided Portfolio
Ticker Name Allocation
VFISX Vanguard Short-Term Treasury Inv 13.00%
VBINX Vanguard Balanced Index Inv 13.00%
VFINX Vanguard 500 Index Investor 13.00%
COTZX Columbia Thermostat Inst 13.00%
HSTRX Hussman Strategic Total Return 12.00%
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

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

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

Performance Summary

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 Return8.18%9.00%6.94%8.79%
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%
Maximum 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
Stock Market Correlation0.960.960.920.99
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

   

Annual 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 and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • The annual results for 2002 are based on full calendar months from October to December.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Short-Term Treasury Inv (VFISX)2.31%1.57%0.6760.00%20.00%
2Vanguard Balanced Index Inv (VBINX)8.79%9.03%0.8350.00%20.00%
3Vanguard 500 Index Investor (VFINX)11.37%14.44%0.7010.00%20.00%
4Columbia Thermostat Inst (COTZX)8.51%9.67%0.7520.00%20.00%
5Hussman Strategic Total Return (HSTRX)5.19%5.98%0.6590.00%20.00%
6Leuthold Core Investment Retail (LCORX)8.86%10.82%0.7040.00%20.00%
7Loomis Sayles Global Allocation Y (LSWWX)11.26%12.79%0.7840.00%20.00%
8FPA Crescent (FPACX)9.26%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

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 Frontiers

Efficient Frontier Portfolios

#VFISXVBINXVFINXCOTZXHSTRXLCORXLSWWXFPACXExpected Return *Standard Deviation *Sharpe Ratio *
120.00%20.00%0.00%20.00%20.00%0.00%0.00%20.00%6.81%5.90%0.944
220.00%20.00%0.00%18.86%20.00%0.00%1.14%20.00%6.84%5.93%0.945
320.00%20.00%0.00%17.72%20.00%0.00%2.28%20.00%6.87%5.96%0.945
420.00%20.00%0.00%16.58%20.00%0.00%3.42%20.00%6.91%5.99%0.945
520.00%20.00%0.00%15.56%20.00%0.00%4.60%19.85%6.94%6.02%0.945
620.00%20.00%0.00%14.69%20.00%0.00%5.84%19.48%6.97%6.06%0.945
720.00%20.00%0.00%13.82%20.00%0.00%7.07%19.10%7.00%6.09%0.945
820.00%20.00%0.00%12.95%20.00%0.00%8.31%18.73%7.03%6.13%0.944
920.00%20.00%0.00%12.08%20.00%0.00%9.55%18.36%7.06%6.16%0.944
1020.00%20.00%0.00%11.22%20.00%0.00%10.79%17.99%7.09%6.20%0.944
1120.00%20.00%0.00%10.35%20.00%0.00%12.03%17.62%7.12%6.24%0.943
1220.00%20.00%0.00%9.48%20.00%0.00%13.27%17.25%7.16%6.28%0.942
1320.00%20.00%0.00%8.61%20.00%0.00%14.51%16.88%7.19%6.31%0.941
1420.00%20.00%0.00%7.74%20.00%0.00%15.75%16.51%7.22%6.35%0.941
1520.00%20.00%0.00%6.87%20.00%0.00%16.99%16.14%7.25%6.39%0.940
1620.00%20.00%0.00%6.01%20.00%0.00%18.23%15.77%7.28%6.43%0.939
1720.00%20.00%0.00%5.14%20.00%0.00%19.47%15.40%7.31%6.47%0.937
1819.78%20.00%0.00%4.41%20.00%0.00%20.00%15.81%7.34%6.52%0.936
1919.30%20.00%0.00%4.66%20.00%0.00%20.00%16.03%7.37%6.56%0.935
2018.83%20.00%0.00%4.92%20.00%0.00%20.00%16.25%7.41%6.60%0.933
2118.35%20.00%0.00%5.18%20.00%0.00%20.00%16.47%7.44%6.65%0.932
2217.87%20.00%0.00%5.43%20.00%0.00%20.00%16.69%7.47%6.69%0.931
2317.39%20.00%0.00%5.69%20.00%0.00%20.00%16.92%7.50%6.73%0.929
2416.92%20.00%0.00%5.95%20.00%0.00%20.00%17.14%7.53%6.78%0.928
2516.44%20.00%0.00%6.20%20.00%0.00%20.00%17.36%7.56%6.82%0.927
2615.96%20.00%0.00%6.46%20.00%0.00%20.00%17.58%7.59%6.86%0.925
2715.49%20.00%0.00%6.72%20.00%0.00%20.00%17.80%7.63%6.91%0.924
2815.01%20.00%0.00%6.97%20.00%0.00%20.00%18.02%7.66%6.95%0.923
2914.53%20.00%0.00%7.23%20.00%0.00%20.00%18.24%7.69%7.00%0.921
3014.05%20.00%0.00%7.49%20.00%0.00%20.00%18.46%7.72%7.04%0.920
3113.58%20.00%0.00%7.74%20.00%0.00%20.00%18.68%7.75%7.08%0.919
3213.10%20.00%0.00%8.00%20.00%0.00%20.00%18.90%7.78%7.13%0.917
3312.62%20.00%0.00%8.25%20.00%0.00%20.00%19.12%7.81%7.17%0.916
3412.14%20.00%0.00%8.51%20.00%0.00%20.00%19.35%7.84%7.21%0.915
3511.67%20.00%0.00%8.77%20.00%0.00%20.00%19.57%7.88%7.26%0.914
3611.19%20.00%0.00%9.02%20.00%0.00%20.00%19.79%7.91%7.30%0.912
3710.71%20.00%0.00%9.29%20.00%0.00%20.00%20.00%7.94%7.35%0.911
3810.21%20.00%0.00%9.79%20.00%0.00%20.00%20.00%7.97%7.39%0.910
399.70%20.00%0.00%10.30%20.00%0.00%20.00%20.00%8.00%7.44%0.909
409.20%20.00%0.00%10.80%20.00%0.00%20.00%20.00%8.03%7.48%0.908
418.69%20.00%0.00%11.31%20.00%0.00%20.00%20.00%8.06%7.52%0.906
428.19%20.00%0.00%11.81%20.00%0.00%20.00%20.00%8.09%7.57%0.905
437.69%20.00%0.00%12.31%20.00%0.00%20.00%20.00%8.13%7.61%0.904
447.18%20.00%0.00%12.82%20.00%0.00%20.00%20.00%8.16%7.66%0.903
456.68%20.00%0.00%13.32%20.00%0.00%20.00%20.00%8.19%7.70%0.902
466.17%20.00%0.00%13.83%20.00%0.00%20.00%20.00%8.22%7.75%0.901
475.67%20.00%0.00%14.33%20.00%0.00%20.00%20.00%8.25%7.79%0.899
485.17%20.00%0.00%14.83%20.00%0.00%20.00%20.00%8.28%7.84%0.898
494.66%20.00%0.00%15.34%20.00%0.00%20.00%20.00%8.31%7.88%0.897
504.16%20.00%0.00%15.84%20.00%0.00%20.00%20.00%8.34%7.93%0.896
513.65%20.00%0.00%16.35%20.00%0.00%20.00%20.00%8.38%7.97%0.895
523.15%20.00%0.00%16.85%20.00%0.00%20.00%20.00%8.41%8.02%0.894
532.65%20.00%0.00%17.35%20.00%0.00%20.00%20.00%8.44%8.06%0.893
542.14%20.00%0.00%17.86%20.00%0.00%20.00%20.00%8.47%8.11%0.892
551.64%20.00%0.00%18.36%20.00%0.00%20.00%20.00%8.50%8.15%0.890
561.13%20.00%0.00%18.87%20.00%0.00%20.00%20.00%8.53%8.20%0.889
570.63%20.00%0.00%19.37%20.00%0.00%20.00%20.00%8.56%8.24%0.888
580.13%20.00%0.00%19.87%20.00%0.00%20.00%20.00%8.60%8.29%0.887
590.00%20.00%0.82%19.18%20.00%0.00%20.00%20.00%8.63%8.34%0.886
600.00%20.00%1.92%18.08%20.00%0.00%20.00%20.00%8.66%8.39%0.884
610.00%20.00%3.01%16.99%20.00%0.00%20.00%20.00%8.69%8.44%0.882
620.00%20.00%4.11%15.89%20.00%0.00%20.00%20.00%8.72%8.49%0.881
630.00%20.00%5.21%14.79%20.00%0.00%20.00%20.00%8.75%8.54%0.879
640.00%20.00%6.30%13.70%20.00%0.00%20.00%20.00%8.78%8.60%0.877
650.00%20.00%7.40%12.60%20.00%0.00%20.00%20.00%8.81%8.65%0.875
660.00%20.00%8.49%11.51%20.00%0.00%20.00%20.00%8.85%8.71%0.873
670.00%20.00%9.59%10.41%20.00%0.00%20.00%20.00%8.88%8.76%0.871
680.00%20.00%10.68%9.32%20.00%0.00%20.00%20.00%8.91%8.82%0.869
690.00%20.00%11.78%8.22%20.00%0.00%20.00%20.00%8.94%8.87%0.867
700.00%20.00%12.87%7.13%20.00%0.00%20.00%20.00%8.97%8.93%0.865
710.00%20.00%13.97%6.03%20.00%0.00%20.00%20.00%9.00%8.99%0.863
720.00%20.00%15.07%4.93%20.00%0.00%20.00%20.00%9.03%9.04%0.861
730.00%20.00%16.16%3.84%20.00%0.00%20.00%20.00%9.06%9.10%0.859
740.00%20.00%17.26%2.74%20.00%0.00%20.00%20.00%9.10%9.16%0.857
750.00%20.00%18.35%1.65%20.00%0.00%20.00%20.00%9.13%9.22%0.855
760.00%20.00%19.45%0.55%20.00%0.00%20.00%20.00%9.16%9.28%0.853
770.00%20.00%20.00%0.47%19.53%0.00%20.00%20.00%9.19%9.34%0.851
780.00%20.00%20.00%1.41%18.59%0.00%20.00%20.00%9.22%9.40%0.849
790.00%20.00%20.00%2.35%17.65%0.00%20.00%20.00%9.25%9.46%0.846
800.00%20.00%20.00%3.29%16.71%0.00%20.00%20.00%9.28%9.53%0.844
810.00%20.00%20.00%4.23%15.77%0.00%20.00%20.00%9.31%9.59%0.841
820.00%20.00%20.00%5.17%14.83%0.00%20.00%20.00%9.35%9.66%0.839
830.00%20.00%20.00%6.11%13.89%0.00%20.00%20.00%9.38%9.72%0.837
840.00%20.00%20.00%7.05%12.95%0.00%20.00%20.00%9.41%9.79%0.834
850.00%20.00%20.00%7.99%12.01%0.00%20.00%20.00%9.44%9.85%0.832
860.00%20.00%20.00%8.93%11.07%0.00%20.00%20.00%9.47%9.92%0.829
870.00%20.00%20.00%9.87%10.13%0.00%20.00%20.00%9.50%9.99%0.827
880.00%20.00%20.00%10.81%9.19%0.00%20.00%20.00%9.53%10.05%0.825
890.00%20.00%20.00%11.75%8.25%0.00%20.00%20.00%9.57%10.12%0.822
900.00%20.00%20.00%12.69%7.31%0.00%20.00%20.00%9.60%10.19%0.820
910.00%20.00%20.00%13.62%6.38%0.00%20.00%20.00%9.63%10.26%0.817
920.00%20.00%20.00%14.56%5.44%0.00%20.00%20.00%9.66%10.33%0.815
930.00%20.00%20.00%15.50%4.50%0.00%20.00%20.00%9.69%10.40%0.813
940.00%20.00%20.00%16.44%3.56%0.00%20.00%20.00%9.72%10.46%0.810
950.00%20.00%20.00%17.38%2.62%0.00%20.00%20.00%9.75%10.53%0.808
960.00%20.00%20.00%18.32%1.68%0.00%20.00%20.00%9.78%10.60%0.805
970.00%20.00%20.00%19.26%0.74%0.00%20.00%20.00%9.82%10.68%0.803
980.00%20.00%20.00%18.04%0.00%1.96%20.00%20.00%9.85%10.75%0.800
990.00%20.00%20.00%9.02%0.00%10.98%20.00%20.00%9.88%10.86%0.795
1000.00%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.

Annual Returns

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

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%

Risk and Return 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%
Maximum Drawdown-29.52%-31.02%-21.13%-32.57%
Stock 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

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

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

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

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

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

TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket 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

NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Vanguard Short-Term Treasury Inv0.13%3.96%3.96%2.96%2.05%1.42%0.20%0.20%
Vanguard Balanced Index Inv8.94%16.26%16.26%11.13%11.15%9.84%0.18%0.18%
Vanguard 500 Index Investor12.12%18.25%18.25%14.03%15.07%13.72%0.14%0.14%
Columbia Thermostat Inst7.27%29.63%29.63%14.33%10.55%8.59%0.61%0.65%
Hussman Strategic Total Return0.43%11.45%11.45%8.01%6.62%3.16%0.78%0.78%
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%0.87%0.87%
FPA Crescent18.15%12.11%12.11%7.59%8.68%8.18%1.05%1.08%
Trailing returns as of last calendar month ending December 2020

Monthly Correlations

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 Return Decomposition

TickerNameProvided PortfolioMaximum Return at 9.00% VolatilityMaximum Sharpe Ratio Weights
VFISXVanguard Short-Term Treasury Inv$1,129$1,541
VBINXVanguard Balanced Index Inv$4,651$7,695$6,396
VFINXVanguard 500 Index Investor$6,140$7,113
COTZXColumbia Thermostat Inst$4,430$2,213$4,744
HSTRXHussman Strategic Total Return$2,330$4,129$3,442
LCORXLeuthold Core Investment Retail$3,674
LSWWXLoomis Sayles Global Allocation Y$5,097$9,072$1,761
FPACXFPA 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.

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 assets.

Annual Asset Returns

Rolling Returns

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%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years