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 (May 1996 - Dec 2020) Save

Portfolio optimization results with the goal to maximize return subject to 9.50% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 8.06% to 9.38%. Refer to the efficient frontier section for additional details.

Provided Portfolio

Ticker Name Allocation
VFISX Vanguard Short-Term Treasury Inv 17.00%
VBINX Vanguard Balanced Index Inv 17.00%
VFINX Vanguard 500 Index Investor 17.00%
LCORX Leuthold Core Investment Retail 17.00%
LSWWX Loomis Sayles Global Allocation Y 16.00%
FPACX FPA Crescent 16.00%
Save portfolio »

Maximum Return at 9.50% Volatility

Ticker Name Allocation
VFISX Vanguard Short-Term Treasury Inv 9.90%
VBINX Vanguard Balanced Index Inv 20.00%
VFINX Vanguard 500 Index Investor 10.10%
LCORX Leuthold Core Investment Retail 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%
LCORX Leuthold Core Investment Retail 20.00%
LSWWX Loomis Sayles Global Allocation Y 20.00%
FPACX FPA Crescent 20.00%
Save portfolio »

Portfolio Performance Summary

Performance Summary

MetricProvided PortfolioMaximum Return at 9.50% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
Start Balance$10,000$10,000$10,000$10,000
End Balance$70,698$76,484$66,947$67,502
Annualized Return (CAGR)8.25%8.60%8.01%8.05%
Expected Return8.37%8.73%8.06%8.22%
Standard Deviation9.05%9.50%8.04%9.52%
Best Year25.26%27.53%24.66%22.24%
Worst Year-24.08%-25.61%-21.43%-22.21%
Maximum Drawdown -31.41% -32.69% -27.90% -32.57%
Sharpe Ratio (ex-ante)0.690.700.740.64
Sharpe Ratio (ex-post)0.690.700.740.64
Sortino Ratio1.031.041.120.95
Active Return0.20%0.55%-0.04%N/A
Tracking Error2.32%2.77%3.41%N/A
Information Ratio0.090.20-0.01N/A
Stock Market Correlation0.970.950.930.99
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 Portfolio8.88%13.02%13.02%8.85%9.40%8.22%8.25%11.42%9.30%
Maximum Return at 9.50% Volatility9.54%13.28%13.28%8.87%9.57%8.35%8.60%12.00%9.78%
Maximum Sharpe Ratio Weights8.32%11.90%11.90%7.79%8.28%7.13%8.01%10.08%8.23%
Vanguard Balanced Index Inv8.94%16.26%16.26%11.13%11.15%9.84%8.05%11.91%9.66%
Trailing return and volatility are as of last calendar month ending December 2020
Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • The annual results for 1996 are based on full calendar months from May 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)3.45%1.77%0.7660.00%20.00%
2Vanguard Balanced Index Inv (VBINX)8.22%9.52%0.6440.00%20.00%
3Vanguard 500 Index Investor (VFINX)10.11%15.40%0.5210.00%20.00%
4Leuthold Core Investment Retail (LCORX)8.55%10.57%0.6110.00%20.00%
5Loomis Sayles Global Allocation Y (LSWWX)10.44%13.65%0.6120.00%20.00%
6FPA Crescent (FPACX)9.63%11.24%0.6710.00%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

NameTickerVFISXVBINXVFINXLCORXLSWWXFPACX
Vanguard Short-Term Treasury InvVFISX1.00-0.16-0.26-0.15-0.18-0.21
Vanguard Balanced Index InvVBINX-0.161.000.980.780.820.81
Vanguard 500 Index InvestorVFINX-0.260.981.000.740.780.80
Leuthold Core Investment RetailLCORX-0.150.780.741.000.760.68
Loomis Sayles Global Allocation YLSWWX-0.180.820.780.761.000.65
FPA CrescentFPACX-0.210.810.800.680.651.00
Based on monthly returns from May 1996 to Dec 2020

Efficient Frontiers

Efficient Frontier Portfolios

#VFISXVBINXVFINXLCORXLSWWXFPACXExpected Return *Standard Deviation *Sharpe Ratio *
120.00%20.00%0.00%20.00%20.00%20.00%8.06%8.04%0.743
219.80%20.00%0.20%20.00%20.00%20.00%8.07%8.07%0.742
319.60%20.00%0.40%20.00%20.00%20.00%8.08%8.10%0.741
419.39%20.00%0.61%20.00%20.00%20.00%8.10%8.13%0.740
519.19%20.00%0.81%20.00%20.00%20.00%8.11%8.15%0.739
618.99%20.00%1.01%20.00%20.00%20.00%8.12%8.18%0.738
718.79%20.00%1.21%20.00%20.00%20.00%8.14%8.21%0.737
818.59%20.00%1.41%20.00%20.00%20.00%8.15%8.24%0.736
918.38%20.00%1.62%20.00%20.00%20.00%8.16%8.27%0.735
1018.18%20.00%1.82%20.00%20.00%20.00%8.18%8.30%0.734
1117.98%20.00%2.02%20.00%20.00%20.00%8.19%8.33%0.733
1217.78%20.00%2.22%20.00%20.00%20.00%8.21%8.36%0.732
1317.58%20.00%2.42%20.00%20.00%20.00%8.22%8.38%0.731
1417.37%20.00%2.63%20.00%20.00%20.00%8.23%8.41%0.730
1517.17%20.00%2.83%20.00%20.00%20.00%8.25%8.44%0.730
1616.97%20.00%3.03%20.00%20.00%20.00%8.26%8.47%0.729
1716.77%20.00%3.23%20.00%20.00%20.00%8.27%8.50%0.728
1816.57%20.00%3.43%20.00%20.00%20.00%8.29%8.53%0.727
1916.36%20.00%3.64%20.00%20.00%20.00%8.30%8.56%0.726
2016.16%20.00%3.84%20.00%20.00%20.00%8.31%8.59%0.725
2115.96%20.00%4.04%20.00%20.00%20.00%8.33%8.62%0.724
2215.76%20.00%4.24%20.00%20.00%20.00%8.34%8.65%0.723
2315.56%20.00%4.44%20.00%20.00%20.00%8.35%8.68%0.722
2415.35%20.00%4.65%20.00%20.00%20.00%8.37%8.70%0.721
2515.15%20.00%4.85%20.00%20.00%20.00%8.38%8.73%0.721
2614.95%20.00%5.05%20.00%20.00%20.00%8.39%8.76%0.720
2714.75%20.00%5.25%20.00%20.00%20.00%8.41%8.79%0.719
2814.55%20.00%5.45%20.00%20.00%20.00%8.42%8.82%0.718
2914.34%20.00%5.66%20.00%20.00%20.00%8.43%8.85%0.717
3014.14%20.00%5.86%20.00%20.00%20.00%8.45%8.88%0.716
3113.94%20.00%6.06%20.00%20.00%20.00%8.46%8.91%0.715
3213.74%20.00%6.26%20.00%20.00%20.00%8.47%8.94%0.715
3313.54%20.00%6.46%20.00%20.00%20.00%8.49%8.97%0.714
3413.33%20.00%6.67%20.00%20.00%20.00%8.50%9.00%0.713
3513.13%20.00%6.87%20.00%20.00%20.00%8.51%9.03%0.712
3612.93%20.00%7.07%20.00%20.00%20.00%8.53%9.06%0.711
3712.73%20.00%7.27%20.00%20.00%20.00%8.54%9.09%0.710
3812.53%20.00%7.47%20.00%20.00%20.00%8.56%9.12%0.710
3912.32%20.00%7.68%20.00%20.00%20.00%8.57%9.14%0.709
4012.12%20.00%7.88%20.00%20.00%20.00%8.58%9.17%0.708
4111.92%20.00%8.08%20.00%20.00%20.00%8.60%9.20%0.707
4211.72%20.00%8.28%20.00%20.00%20.00%8.61%9.23%0.706
4311.52%20.00%8.48%20.00%20.00%20.00%8.62%9.26%0.706
4411.31%20.00%8.69%20.00%20.00%20.00%8.64%9.29%0.705
4511.11%20.00%8.89%20.00%20.00%20.00%8.65%9.32%0.704
4610.91%20.00%9.09%20.00%20.00%20.00%8.66%9.35%0.703
4710.71%20.00%9.29%20.00%20.00%20.00%8.68%9.38%0.702
4810.51%20.00%9.49%20.00%20.00%20.00%8.69%9.41%0.702
4910.30%20.00%9.70%20.00%20.00%20.00%8.70%9.44%0.701
5010.10%20.00%9.90%20.00%20.00%20.00%8.72%9.47%0.700
519.90%20.00%10.10%20.00%20.00%20.00%8.73%9.50%0.699
529.70%20.00%10.30%20.00%20.00%20.00%8.74%9.53%0.699
539.49%20.00%10.51%20.00%20.00%20.00%8.76%9.56%0.698
549.29%20.00%10.71%20.00%20.00%20.00%8.77%9.59%0.697
559.09%20.00%10.91%20.00%20.00%20.00%8.78%9.62%0.696
568.89%20.00%11.11%20.00%20.00%20.00%8.80%9.65%0.696
578.69%20.00%11.31%20.00%20.00%20.00%8.81%9.68%0.695
588.48%20.00%11.52%20.00%20.00%20.00%8.82%9.71%0.694
598.28%20.00%11.72%20.00%20.00%20.00%8.84%9.74%0.693
608.08%20.00%11.92%20.00%20.00%20.00%8.85%9.77%0.693
617.88%20.00%12.12%20.00%20.00%20.00%8.86%9.80%0.692
627.68%20.00%12.32%20.00%20.00%20.00%8.88%9.83%0.691
637.47%20.00%12.53%20.00%20.00%20.00%8.89%9.86%0.690
647.27%20.00%12.73%20.00%20.00%20.00%8.91%9.89%0.690
657.07%20.00%12.93%20.00%20.00%20.00%8.92%9.92%0.689
666.87%20.00%13.13%20.00%20.00%20.00%8.93%9.95%0.688
676.67%20.00%13.33%20.00%20.00%20.00%8.95%9.98%0.687
686.46%20.00%13.54%20.00%20.00%20.00%8.96%10.01%0.687
696.26%20.00%13.74%20.00%20.00%20.00%8.97%10.04%0.686
706.06%20.00%13.94%20.00%20.00%20.00%8.99%10.07%0.685
715.86%20.00%14.14%20.00%20.00%20.00%9.00%10.10%0.685
725.66%20.00%14.34%20.00%20.00%20.00%9.01%10.13%0.684
735.45%20.00%14.55%20.00%20.00%20.00%9.03%10.16%0.683
745.25%20.00%14.75%20.00%20.00%20.00%9.04%10.19%0.683
755.05%20.00%14.95%20.00%20.00%20.00%9.05%10.22%0.682
764.85%20.00%15.15%20.00%20.00%20.00%9.07%10.25%0.681
774.65%20.00%15.35%20.00%20.00%20.00%9.08%10.28%0.680
784.44%20.00%15.56%20.00%20.00%20.00%9.09%10.31%0.680
794.24%20.00%15.76%20.00%20.00%20.00%9.11%10.34%0.679
804.04%20.00%15.96%20.00%20.00%20.00%9.12%10.37%0.678
813.84%20.00%16.16%20.00%20.00%20.00%9.13%10.40%0.678
823.64%20.00%16.36%20.00%20.00%20.00%9.15%10.43%0.677
833.43%20.00%16.57%20.00%20.00%20.00%9.16%10.46%0.676
843.23%20.00%16.77%20.00%20.00%20.00%9.17%10.49%0.676
853.03%20.00%16.97%20.00%20.00%20.00%9.19%10.52%0.675
862.83%20.00%17.17%20.00%20.00%20.00%9.20%10.55%0.674
872.63%20.00%17.37%20.00%20.00%20.00%9.21%10.58%0.674
882.42%20.00%17.58%20.00%20.00%20.00%9.23%10.61%0.673
892.22%20.00%17.78%20.00%20.00%20.00%9.24%10.64%0.673
902.02%20.00%17.98%20.00%20.00%20.00%9.26%10.67%0.672
911.82%20.00%18.18%20.00%20.00%20.00%9.27%10.70%0.671
921.62%20.00%18.38%20.00%20.00%20.00%9.28%10.73%0.671
931.41%20.00%18.59%20.00%20.00%20.00%9.30%10.76%0.670
941.21%20.00%18.79%20.00%20.00%20.00%9.31%10.79%0.669
951.01%20.00%18.99%20.00%20.00%20.00%9.32%10.82%0.669
960.81%20.00%19.19%20.00%20.00%20.00%9.34%10.85%0.668
970.61%20.00%19.39%20.00%20.00%20.00%9.35%10.88%0.667
980.40%20.00%19.60%20.00%20.00%20.00%9.36%10.91%0.667
990.20%20.00%19.80%20.00%20.00%20.00%9.38%10.94%0.666
1000.00%20.00%20.00%20.00%20.00%20.00%9.39%10.97%0.666
*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.

Annualized Active Return

Active Return Contribution

Rolling Active Return

Up vs. Down Market Performance

Provided Portfolio vs. Vanguard Balanced Index Inv
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market8910919845%0.42%-0.51%-0.09%
Down Market61379862%0.63%-0.44%0.23%
Total15014629651%0.50%-0.49%0.01%
Maximum Return at 9.50% Volatility vs. Vanguard Balanced Index Inv
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market1009819851%0.55%-0.58%-0.01%
Down Market57419858%0.70%-0.61%0.15%
Total15713929653%0.60%-0.59%0.04%
Maximum Sharpe Ratio Weights vs. Vanguard Balanced Index Inv
Market TypeOccurrencesAverage Active Return
Above BenchmarkBelow BenchmarkTotal% Above BenchmarkAbove BenchmarkBelow BenchmarkTotal
Up Market6313519832%0.55%-0.72%-0.32%
Down Market71279872%0.98%-0.39%0.60%
Total13416229645%0.78%-0.67%-0.01%

Annual Returns

YearInflationProvided PortfolioMaximum Return at 9.50% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index InvVanguard Short-Term Treasury Inv (VFISX)Vanguard Balanced Index Inv (VBINX)Vanguard 500 Index Investor (VFINX)Leuthold Core Investment Retail (LCORX)Loomis Sayles Global Allocation Y (LSWWX)FPA Crescent (FPACX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
19961.47%10.61%$11,06110.80%$11,0809.75%$10,9759.90%$10,9904.64%9.90%14.95%10.63%9.24%14.24%
19971.70%17.34%$12,97916.82%$12,94514.18%$12,53122.24%$13,4346.51%22.24%33.19%17.25%3.51%21.95%
19981.61%12.18%$14,56010.79%$14,3428.75%$13,62817.85%$15,8327.36%17.85%28.62%11.60%2.98%2.79%
19992.68%15.36%$16,79716.39%$16,69314.39%$15,58913.61%$17,9881.85%13.61%21.07%9.52%60.51%-6.28%
20003.39%3.38%$17,3653.97%$17,3565.81%$16,495-2.04%$17,6218.83%-2.04%-9.06%22.71%-4.45%3.59%
20011.55%2.08%$17,7273.15%$17,9025.27%$17,365-3.02%$17,0907.80%-3.02%-12.02%-4.81%-6.22%36.14%
20022.38%-5.42%$16,766-4.85%$17,034-1.69%$17,072-9.52%$15,4638.02%-9.52%-22.15%-10.06%-0.27%3.71%
20031.88%25.26%$21,00227.53%$21,72424.66%$21,28219.87%$18,5352.38%19.87%28.50%47.18%31.16%26.15%
20043.26%8.90%$22,8709.59%$23,8088.60%$23,1129.32%$20,2631.03%9.32%10.74%8.26%14.12%10.21%
20053.42%8.08%$24,7179.12%$25,9818.82%$25,1494.65%$21,2061.77%4.65%4.77%14.58%12.38%10.83%
20062.54%11.01%$27,43811.32%$28,92210.12%$27,69411.02%$23,5433.77%11.02%15.64%12.21%11.06%12.43%
20074.08%11.73%$30,65812.85%$32,63813.12%$31,3286.16%$24,9947.89%6.16%5.39%19.00%26.49%6.84%
20080.09%-24.08%$23,274-25.61%$24,280-21.43%$24,615-22.21%$19,4436.68%-22.21%-37.02%-27.44%-39.19%-20.55%
20092.72%23.91%$28,83926.27%$30,66023.52%$30,40620.05%$23,3411.44%20.05%26.49%27.49%42.52%28.37%
20101.50%11.28%$32,09311.85%$34,29410.62%$33,63513.13%$26,4062.64%13.13%14.91%3.53%21.69%12.04%
20112.96%1.00%$32,4120.71%$34,5370.78%$33,8964.14%$27,4982.26%4.14%1.97%-5.34%-0.73%3.02%
20121.74%10.24%$35,73210.74%$38,2469.20%$37,01511.33%$30,6130.69%11.33%15.82%8.32%15.49%10.33%
20131.50%17.55%$42,00118.11%$45,17114.83%$42,50417.91%$36,097-0.10%17.91%32.18%19.18%16.25%21.95%
20140.76%7.15%$45,0067.14%$48,3985.86%$44,9969.84%$39,6500.71%9.84%13.51%8.58%3.53%6.64%
20150.73%0.22%$45,1070.05%$48,420-0.04%$44,9780.37%$39,7970.45%0.37%1.25%-0.98%1.69%-2.06%
20162.07%6.83%$48,1876.93%$51,7755.85%$47,6108.63%$43,2320.99%8.63%11.82%4.51%4.67%10.25%
20172.11%13.76%$54,81614.48%$59,27312.28%$53,45813.75%$49,1780.39%13.75%21.67%15.77%22.11%10.39%
20181.91%-4.00%$52,622-4.59%$56,552-4.00%$51,317-2.97%$47,7201.35%-2.97%-4.52%-6.21%-5.04%-7.43%
20192.29%18.87%$62,55319.39%$67,51816.58%$59,82721.67%$58,0613.59%21.67%31.33%11.58%26.80%20.02%
20201.36%13.02%$70,69813.28%$76,48411.90%$66,94716.26%$67,5023.96%16.26%18.25%10.09%15.38%12.11%
Annual return for 1996 is from 05/01/1996 to 12/31/1996

Monthly Returns

YearMonthProvided PortfolioMaximum Return at 9.50% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index InvVanguard Short-Term Treasury Inv (VFISX)Vanguard Balanced Index Inv (VBINX)Vanguard 500 Index Investor (VFINX)Leuthold Core Investment Retail (LCORX)Loomis Sayles Global Allocation Y (LSWWX)FPA Crescent (FPACX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
199651.66%$10,1661.75%$10,1751.50%$10,1501.52%$10,1520.09%1.52%2.54%1.81%0.90%3.17%
199660.23%$10,1900.14%$10,1890.19%$10,1690.08%$10,1600.87%0.08%0.38%0.45%0.30%-0.76%
19967-2.05%$9,981-2.07%$9,978-1.59%$10,007-3.09%$9,8460.29%-3.09%-4.42%0.50%-3.36%-2.30%
199681.84%$10,1652.01%$10,1791.83%$10,1901.87%$10,0300.29%1.87%2.10%-0.10%2.45%4.62%
199692.92%$10,4612.84%$10,4682.37%$10,4323.90%$10,4210.97%3.90%5.61%1.56%3.19%2.25%
1996101.82%$10,6511.76%$10,6521.61%$10,6001.77%$10,6061.28%1.77%2.76%2.55%1.93%0.53%
1996114.17%$11,0954.17%$11,0973.49%$10,9714.72%$11,1060.87%4.72%7.56%3.35%4.84%3.70%
199612-0.31%$11,061-0.15%$11,0800.04%$10,975-1.05%$10,990-0.10%-1.05%-1.96%0.09%-1.14%2.40%
199711.83%$11,2631.51%$11,2480.92%$11,0763.38%$11,3610.40%3.38%6.22%-0.39%0.00%1.23%
199720.45%$11,3140.46%$11,3000.40%$11,1210.00%$11,3610.20%0.00%0.79%-0.58%0.19%2.20%
19973-1.47%$11,147-1.31%$11,152-0.91%$11,020-3.12%$11,006-0.20%-3.12%-4.14%-0.97%-0.19%-0.07%
199742.14%$11,3861.85%$11,3591.34%$11,1673.34%$11,3740.88%3.34%5.96%1.09%0.94%0.45%
199753.30%$11,7613.29%$11,7322.75%$11,4744.57%$11,8930.74%4.57%6.09%1.18%2.89%4.36%
199762.44%$12,0482.41%$12,0152.03%$11,7073.16%$12,2690.67%3.16%4.45%1.88%1.18%3.25%
199775.37%$12,6955.53%$12,6794.84%$12,2745.70%$12,9691.18%5.70%7.97%7.62%5.35%4.36%
19978-2.20%$12,416-2.04%$12,420-1.48%$12,093-2.61%$12,6310.01%-2.61%-5.61%-3.85%-2.40%1.46%
199793.75%$12,8823.88%$12,9023.40%$12,5044.01%$13,1380.78%4.01%5.47%5.14%3.95%3.14%
199710-1.56%$12,682-1.66%$12,687-1.24%$12,349-1.42%$12,9520.79%-1.42%-3.35%1.43%-5.75%-1.27%
1997111.65%$12,8911.48%$12,8751.03%$12,4772.19%$13,2350.18%2.19%4.60%1.68%0.09%1.03%
1997120.69%$12,9790.54%$12,9450.44%$12,5311.51%$13,4340.69%1.51%1.72%2.24%-2.31%0.05%
199811.39%$13,1601.47%$13,1351.47%$12,7150.80%$13,5411.07%0.80%1.11%0.79%3.04%1.64%
199823.43%$13,6113.42%$13,5852.69%$13,0584.32%$14,127-0.07%4.32%7.19%0.96%6.10%2.14%
199832.53%$13,9562.48%$13,9232.01%$13,3193.16%$14,5730.37%3.16%5.10%2.72%0.93%2.85%
199840.42%$14,0150.35%$13,9710.30%$13,3600.91%$14,7060.54%0.91%1.01%-0.51%-1.29%1.85%
19985-1.31%$13,832-1.48%$13,765-1.24%$13,193-1.24%$14,5230.56%-1.24%-1.74%-0.77%-4.28%-0.48%
199860.84%$13,9480.47%$13,8300.12%$13,2092.46%$14,8810.54%2.46%4.07%2.41%-4.18%-0.64%
19987-1.19%$13,781-1.38%$13,640-1.23%$13,046-1.24%$14,6970.36%-1.24%-1.05%-1.79%0.00%-3.50%
19988-6.83%$12,840-7.02%$12,682-5.39%$12,342-8.53%$13,4431.63%-8.53%-14.47%1.30%-10.66%-10.70%
199893.03%$13,2292.78%$13,0342.31%$12,6274.53%$14,0521.79%4.53%6.41%3.23%-0.11%2.11%
1998103.71%$13,7203.66%$13,5122.86%$12,9894.25%$14,6490.25%4.25%8.16%-1.25%7.17%3.91%
1998113.39%$14,1863.51%$13,9872.89%$13,3643.96%$15,229-0.15%3.96%6.07%1.18%5.94%3.49%
1998122.64%$14,5602.54%$14,3421.98%$13,6283.96%$15,8320.25%3.96%5.81%2.91%1.74%1.03%
199911.65%$14,8011.49%$14,5561.11%$13,7792.49%$16,2270.41%2.49%4.20%2.45%1.40%-1.21%
19992-2.65%$14,409-2.78%$14,152-2.55%$13,428-2.90%$15,755-0.88%-2.90%-3.12%-4.25%-1.91%-2.80%
199932.68%$14,7952.76%$14,5422.43%$13,7542.59%$16,1630.69%2.59%4.00%2.62%3.14%3.09%
199943.00%$15,2393.20%$15,0072.84%$14,1452.89%$16,6300.31%2.89%3.85%3.81%4.20%3.00%
19995-0.45%$15,170-0.22%$14,974-0.02%$14,142-1.56%$16,370-0.34%-1.56%-2.39%-1.14%0.50%2.45%
199962.43%$15,5382.34%$15,3251.80%$14,3962.93%$16,8500.16%2.93%5.56%1.41%2.30%2.19%
19997-1.11%$15,365-1.02%$15,168-0.69%$14,296-1.97%$16,5190.13%-1.97%-3.13%-0.53%1.86%-2.97%
19998-0.78%$15,246-0.93%$15,027-0.86%$14,173-0.63%$16,4140.14%-0.63%-0.50%0.18%-0.38%-3.61%
19999-1.21%$15,061-1.29%$14,834-0.93%$14,042-0.96%$16,2570.84%-0.96%-2.74%-0.71%-0.77%-3.03%
1999102.52%$15,4402.37%$15,1851.75%$14,2883.89%$16,8900.26%3.89%6.33%0.00%3.89%0.73%
1999112.94%$15,8953.39%$15,6993.20%$14,7452.08%$17,2410.16%2.08%2.02%1.50%15.66%-3.40%
1999125.68%$16,7976.33%$16,6935.72%$15,5894.33%$17,988-0.03%4.33%5.98%4.10%20.72%-0.51%
20001-2.53%$16,372-2.54%$16,268-2.06%$15,268-2.57%$17,525-0.22%-2.57%-5.03%0.00%-3.41%-4.09%
200023.10%$16,8803.87%$16,8984.14%$15,9001.98%$17,8720.76%1.98%-1.91%8.69%14.26%-4.99%
200032.62%$17,3222.10%$17,2531.19%$16,0883.97%$18,5810.70%3.97%9.75%-3.31%-1.45%6.02%
20004-1.82%$17,007-1.92%$16,922-1.59%$15,832-3.33%$17,9630.19%-3.33%-3.00%0.08%-4.60%-0.32%
20005-0.83%$16,867-0.83%$16,781-0.60%$15,738-2.10%$17,5860.30%-2.10%-2.04%1.59%-2.38%-0.40%
200062.00%$17,2052.01%$17,1181.89%$16,0353.47%$18,1971.30%3.47%2.49%1.86%3.08%-0.27%
20007-0.45%$17,127-0.46%$17,039-0.25%$15,995-0.79%$18,0530.61%-0.79%-1.50%0.41%-3.26%1.80%
200084.02%$17,8164.14%$17,7453.61%$16,5734.90%$18,9380.92%4.90%6.19%2.53%2.80%6.91%
20009-1.57%$17,536-1.46%$17,487-0.84%$16,433-2.53%$18,4590.79%-2.53%-5.29%2.12%-2.72%-1.88%
200010-1.66%$17,246-2.07%$17,124-1.97%$16,110-0.94%$18,2860.60%-0.94%-0.43%-0.55%-4.74%-4.21%
200011-3.00%$16,729-2.96%$16,618-2.04%$15,780-5.38%$17,3031.18%-5.38%-7.89%2.07%-5.05%-3.04%
2000123.80%$17,3654.44%$17,3564.53%$16,4951.84%$17,6211.38%1.84%0.51%5.65%4.58%9.19%
200113.57%$17,9853.88%$18,0293.65%$17,0973.04%$18,1571.26%3.04%3.55%0.47%0.85%12.64%
20012-2.85%$17,472-2.57%$17,565-1.57%$16,828-5.34%$17,1870.80%-5.34%-9.14%0.39%-2.52%-1.18%
20013-3.11%$16,929-3.19%$17,005-2.47%$16,413-3.62%$16,5640.77%-3.62%-6.36%-2.07%-4.63%-2.80%
200143.73%$17,5613.70%$17,6342.92%$16,8924.61%$17,3290.06%4.61%7.77%2.97%1.69%5.26%
200151.97%$17,9072.30%$18,0402.28%$17,2770.86%$17,4780.44%0.86%0.65%2.18%1.56%6.37%
20016-0.51%$17,815-0.37%$17,973-0.09%$17,261-0.80%$17,3380.33%-0.80%-2.45%-1.97%-0.77%2.74%
200170.14%$17,8410.14%$17,9970.38%$17,327-0.11%$17,3191.40%-0.11%-1.00%-0.63%-1.10%2.34%
20018-1.81%$17,518-1.59%$17,711-0.88%$17,175-3.09%$16,7840.79%-3.09%-6.27%-1.89%-0.56%0.37%
20019-5.76%$16,509-6.28%$16,599-5.29%$16,266-4.77%$15,9831.68%-4.77%-8.09%-11.76%-4.60%-7.02%
2001102.44%$16,9122.66%$17,0402.58%$16,6862.19%$16,3331.13%2.19%1.90%2.29%2.00%5.29%
2001113.37%$17,4823.36%$17,6122.50%$17,1033.77%$16,949-0.83%3.77%7.65%3.67%1.61%4.27%
2001121.40%$17,7271.64%$17,9021.53%$17,3650.83%$17,090-0.27%0.83%0.87%2.41%0.37%4.31%
20021-0.39%$17,658-0.35%$17,839-0.16%$17,337-0.45%$17,0130.44%-0.45%-1.47%-0.93%-1.48%1.63%
20022-0.76%$17,524-0.76%$17,703-0.50%$17,251-0.84%$16,8690.67%-0.84%-1.94%-2.74%0.25%0.17%
200232.37%$17,9402.58%$18,1592.12%$17,6161.99%$17,204-0.82%1.99%3.74%2.92%1.88%4.63%
20024-0.65%$17,823-0.28%$18,1080.49%$17,701-2.30%$16,8091.54%-2.30%-6.07%-0.26%0.49%2.95%
20025-0.21%$17,785-0.22%$18,068-0.09%$17,686-0.40%$16,7420.59%-0.40%-0.75%-1.38%1.71%-0.95%
20026-3.25%$17,207-3.27%$17,476-2.46%$17,251-3.97%$16,0770.93%-3.97%-7.13%-4.14%-2.28%-2.83%
20027-4.46%$16,440-4.78%$16,641-3.84%$16,588-4.22%$15,3981.54%-4.22%-7.72%-4.39%-4.67%-7.47%
200281.14%$16,6271.25%$16,8491.27%$16,7990.95%$15,5430.86%0.95%0.65%-0.48%1.16%3.85%
20029-4.26%$15,919-4.13%$16,153-2.91%$16,310-5.44%$14,6981.21%-5.44%-10.87%-3.97%-4.08%-2.26%
2002103.13%$16,4182.84%$16,6121.96%$16,6294.26%$15,3250.02%4.26%8.78%2.91%2.52%0.06%
2002113.96%$17,0684.26%$17,3193.60%$17,2273.58%$15,874-0.66%3.58%5.88%5.47%4.15%5.45%
200212-1.77%$16,766-1.65%$17,034-0.90%$17,072-2.59%$15,4631.46%-2.59%-5.89%-3.01%0.47%-0.85%
20031-0.68%$16,652-0.55%$16,941-0.29%$17,022-1.47%$15,235-0.13%-1.47%-2.62%1.25%0.90%-2.01%
20032-0.34%$16,595-0.32%$16,887-0.10%$17,005-0.39%$15,1760.68%-0.39%-1.52%-0.28%1.02%-1.52%
200330.59%$16,6940.60%$16,9880.53%$17,0940.58%$15,2640.23%0.58%0.96%0.26%0.25%1.31%
200344.91%$17,5145.07%$17,8504.25%$17,8215.22%$16,0600.11%5.22%8.25%5.22%5.01%5.70%
200354.97%$18,3845.35%$18,8064.93%$18,6994.34%$16,7571.05%4.34%5.26%7.66%5.25%6.34%
200361.31%$18,6251.45%$19,0791.33%$18,9470.88%$16,9050.01%0.88%1.26%2.95%0.79%1.99%
200370.98%$18,8081.09%$19,2860.82%$19,1020.06%$16,915-0.91%0.06%1.74%4.07%-1.24%2.11%
200382.23%$19,2282.51%$19,7692.31%$19,5441.66%$17,1950.02%1.66%1.93%3.60%2.05%4.23%
200390.66%$19,3540.79%$19,9251.01%$19,7420.41%$17,2651.15%0.41%-1.07%1.20%3.91%-1.60%
2003103.76%$20,0823.98%$20,7193.38%$20,4093.21%$17,819-0.34%3.21%5.64%7.02%3.87%3.14%
2003111.25%$20,3331.42%$21,0141.33%$20,6800.96%$17,990-0.07%0.96%0.86%3.35%0.93%1.48%
2003123.29%$21,0023.38%$21,7242.91%$21,2823.03%$18,5350.59%3.03%5.22%3.31%4.96%2.68%
200411.36%$21,2881.45%$22,0381.28%$21,5561.70%$18,8490.22%1.70%1.82%0.83%1.52%2.16%
200421.27%$21,5581.34%$22,3331.26%$21,8271.29%$19,0930.58%1.29%1.38%0.85%1.20%2.38%
20043-0.16%$21,523-0.07%$22,3170.12%$21,853-0.37%$19,0220.40%-0.37%-1.51%-0.19%0.98%-0.22%
20044-2.39%$21,008-2.59%$21,739-2.55%$21,295-2.31%$18,584-1.20%-2.31%-1.58%-4.46%-3.70%-1.10%
200450.43%$21,0990.39%$21,8230.23%$21,3450.66%$18,706-0.16%0.66%1.36%1.01%-0.30%-0.04%
200461.75%$21,4691.93%$22,2431.73%$21,7141.47%$18,9820.02%1.47%1.93%2.54%2.13%2.49%
20047-1.87%$21,067-1.95%$21,809-1.58%$21,371-1.89%$18,6230.32%-1.89%-3.31%-2.87%-2.19%-1.27%
200480.44%$21,1600.40%$21,8970.44%$21,4660.99%$18,8070.80%0.99%0.38%0.34%1.42%-1.34%
200491.86%$21,5532.14%$22,3642.03%$21,9021.15%$19,0230.04%1.15%1.07%3.75%2.10%3.12%
2004100.80%$21,7250.78%$22,5390.66%$22,0471.30%$19,2710.33%1.30%1.51%-0.58%2.75%-0.48%
2004113.48%$22,4803.85%$23,4063.37%$22,7902.52%$19,756-0.63%2.52%4.05%7.03%4.78%3.17%
2004121.73%$22,8701.72%$23,8081.41%$23,1122.57%$20,2630.33%2.57%3.39%0.19%2.89%1.07%
20051-1.00%$22,641-0.96%$23,580-0.71%$22,948-1.34%$19,9920.04%-1.34%-2.45%-0.38%-1.36%-0.51%
200522.22%$23,1442.51%$24,1732.27%$23,4680.99%$20,190-0.36%0.99%2.09%4.62%2.67%3.41%
20053-1.38%$22,825-1.48%$23,815-1.30%$23,162-1.29%$19,930-0.05%-1.29%-1.76%-2.29%-2.69%-0.21%
20054-1.65%$22,449-1.87%$23,369-1.61%$22,790-0.84%$19,7630.72%-0.84%-1.91%-3.41%-1.57%-2.94%
200552.34%$22,9752.46%$23,9462.19%$23,2892.76%$20,3080.44%2.76%3.17%1.80%3.18%2.77%
200561.07%$23,2211.27%$24,2491.28%$23,5870.72%$20,4550.24%0.72%0.13%1.84%1.72%1.87%
200572.90%$23,8953.17%$25,0182.76%$24,2372.11%$20,887-0.41%2.11%3.71%5.08%3.84%3.15%
200580.27%$23,9600.35%$25,1060.52%$24,363-0.10%$20,8660.75%-0.10%-0.91%0.24%0.60%1.11%
200590.99%$24,1971.14%$25,3931.03%$24,6140.11%$20,888-0.31%0.11%0.79%3.27%1.11%0.98%
200510-0.90%$23,980-0.90%$25,164-0.74%$24,431-1.47%$20,580-0.11%-1.47%-1.68%0.06%-0.68%-1.52%
2005111.93%$24,4431.90%$25,6431.56%$24,8132.58%$21,1110.39%2.58%3.76%0.81%2.98%1.07%
2005121.12%$24,7171.32%$25,9811.36%$25,1490.45%$21,2060.41%0.45%0.02%2.41%2.17%1.33%
200612.70%$25,3832.99%$26,7592.74%$25,8382.12%$21,6550.14%2.12%2.65%3.14%4.18%4.13%
20062-0.51%$25,254-0.65%$26,584-0.68%$25,6630.15%$21,6870.01%0.15%0.26%-1.13%-0.79%-1.64%
200631.15%$25,5451.27%$26,9211.15%$25,9580.69%$21,8370.05%0.69%1.23%1.85%0.48%2.68%
200641.10%$25,8281.16%$27,2341.06%$26,2330.54%$21,9550.33%0.54%1.33%2.02%0.71%1.70%
20065-2.10%$25,284-2.27%$26,616-1.97%$25,717-1.96%$21,5240.05%-1.96%-2.90%-1.76%-5.09%-1.08%
200660.08%$25,3060.06%$26,6310.07%$25,7350.16%$21,5590.25%0.16%0.13%0.38%-0.41%-0.04%
200670.38%$25,4010.31%$26,7140.33%$25,8180.50%$21,6670.76%0.50%0.61%0.06%0.58%-0.27%
200681.13%$25,6881.05%$26,9930.88%$26,0462.00%$22,1010.75%2.00%2.36%-0.79%1.48%0.96%
200691.11%$25,9721.02%$27,2690.82%$26,2601.68%$22,4720.55%1.68%2.56%-0.47%1.54%0.80%
2006102.73%$26,6822.91%$28,0632.63%$26,9502.43%$23,0180.46%2.43%3.25%4.76%3.76%1.74%
2006112.22%$27,2752.44%$28,7472.30%$27,5701.80%$23,4340.55%1.80%1.89%3.51%2.77%2.86%
2006120.60%$27,4380.61%$28,9220.45%$27,6940.47%$23,543-0.20%0.47%1.39%0.24%1.65%0.08%
200710.94%$27,6970.97%$29,2010.83%$27,9241.08%$23,7960.19%1.08%1.49%0.91%1.73%0.27%
20072-0.36%$27,597-0.33%$29,103-0.04%$27,913-0.32%$23,7190.93%-0.32%-1.97%0.11%-1.18%0.26%
200731.18%$27,9221.30%$29,4811.21%$28,2520.65%$23,8730.28%0.65%1.11%1.01%2.47%1.66%
200742.74%$28,6882.81%$30,3082.41%$28,9322.60%$24,4940.46%2.60%4.42%3.30%2.63%3.04%
200752.57%$29,4232.80%$31,1562.41%$29,6281.90%$24,960-0.40%1.90%3.48%3.45%4.34%2.73%
20076-0.40%$29,305-0.35%$31,048-0.14%$29,586-1.15%$24,6720.37%-1.15%-1.68%0.59%-0.27%-0.25%
20077-0.54%$29,148-0.45%$30,909-0.03%$29,578-1.72%$24,2471.06%-1.72%-3.08%1.42%0.89%-1.79%
200780.47%$29,2860.29%$30,9990.26%$29,6531.43%$24,5931.15%1.43%1.50%-1.16%0.68%-0.82%
200793.27%$30,2433.51%$32,0863.21%$30,6042.45%$25,1970.74%2.45%3.72%4.01%6.80%2.02%
2007102.31%$30,9432.62%$32,9262.50%$31,3701.47%$25,5680.45%1.47%1.58%2.31%7.69%0.59%
200711-1.43%$30,499-1.55%$32,417-0.90%$31,086-1.94%$25,0732.16%-1.94%-4.19%0.01%-2.46%-2.30%
2007120.52%$30,6580.68%$32,6380.78%$31,328-0.32%$24,9940.25%-0.32%-0.70%1.68%0.90%1.37%
20081-3.51%$29,583-3.87%$31,373-3.06%$30,368-2.91%$24,2672.01%-2.91%-6.02%-2.33%-9.60%-2.49%
20082-0.35%$29,478-0.20%$31,3120.24%$30,442-1.78%$23,8351.09%-1.78%-3.25%1.25%-1.05%1.70%
20083-0.23%$29,412-0.25%$31,235-0.18%$30,388-0.19%$23,7900.25%-0.19%-0.44%-1.01%0.42%-0.36%
200843.34%$30,3943.66%$32,3783.07%$31,3212.83%$24,464-0.96%2.83%4.85%3.86%6.19%3.44%
200851.50%$30,8501.76%$32,9461.57%$31,8140.98%$24,704-0.51%0.98%1.29%1.86%2.05%3.48%
20086-4.41%$29,491-4.48%$31,470-3.59%$30,671-4.98%$23,4730.33%-4.98%-8.44%-5.14%-5.52%-2.65%
20087-1.34%$29,096-1.61%$30,962-1.48%$30,218-0.44%$23,3700.52%-0.44%-0.83%-1.48%-3.64%-2.35%
20088-0.17%$29,048-0.43%$30,829-0.52%$30,0601.23%$23,6580.56%1.23%1.45%-1.50%-3.49%0.60%
20089-7.48%$26,876-8.20%$28,300-7.25%$27,881-6.04%$22,2290.53%-6.04%-8.91%-10.75%-13.59%-6.40%
200810-12.09%$23,627-12.96%$24,632-11.22%$24,754-11.59%$19,6520.49%-11.59%-16.79%-15.19%-15.90%-13.89%
200811-4.36%$22,597-4.65%$23,487-3.82%$23,809-3.43%$18,9791.03%-3.43%-7.17%-5.89%-6.71%-4.09%
2008123.00%$23,2743.38%$24,2803.39%$24,6152.44%$19,4431.17%2.44%1.07%6.86%4.85%1.61%
20091-3.60%$22,436-3.44%$23,446-2.60%$23,976-5.18%$18,435-0.09%-5.18%-8.41%-4.04%-3.00%-0.66%
20092-5.40%$21,225-5.41%$22,177-4.34%$22,937-6.48%$17,240-0.01%-6.48%-10.66%-5.59%-4.97%-4.62%
200934.82%$22,2484.82%$23,2464.02%$23,8596.10%$18,2920.90%6.10%8.76%4.45%5.70%2.96%
200946.38%$23,6686.78%$24,8225.79%$25,2416.40%$19,461-0.25%6.40%9.56%6.33%9.46%7.01%
200955.00%$24,8525.49%$26,1844.94%$26,4883.58%$20,1590.21%3.58%5.62%5.57%8.84%6.50%
200960.30%$24,9260.36%$26,2790.32%$26,5740.50%$20,259-0.17%0.50%0.22%-0.23%0.65%0.87%
200975.35%$26,2605.65%$27,7634.90%$27,8775.28%$21,3300.22%5.28%7.58%8.60%7.16%3.26%
200981.90%$26,7591.89%$28,2871.56%$28,3132.62%$21,8890.37%2.62%3.60%1.15%1.63%2.04%
200993.56%$27,7123.89%$29,3893.55%$29,3172.98%$22,5400.29%2.98%3.72%5.69%5.56%3.22%
200910-1.14%$27,395-1.19%$29,039-0.98%$29,031-1.33%$22,2410.24%-1.33%-1.87%-3.61%-1.28%1.10%
2009113.91%$28,4644.00%$30,2023.49%$30,0433.88%$23,1030.87%3.88%5.98%5.19%4.20%3.30%
2009121.32%$28,8391.52%$30,6601.21%$30,4061.03%$23,341-1.13%1.03%1.95%2.19%3.16%0.78%
20101-2.19%$28,207-2.37%$29,934-1.91%$29,825-1.50%$22,9910.95%-1.50%-3.60%-4.77%-4.55%0.32%
201021.64%$28,6701.65%$30,4271.35%$30,2292.10%$23,4740.19%2.10%3.09%1.09%2.43%0.96%
201034.07%$29,8364.34%$31,7463.69%$31,3453.74%$24,352-0.36%3.74%6.01%5.67%6.47%2.94%
201041.00%$30,1361.01%$32,0660.89%$31,6231.74%$24,7760.39%1.74%1.58%0.66%1.56%0.08%
20105-5.09%$28,602-5.38%$30,342-4.52%$30,194-4.45%$23,6730.48%-4.45%-8.01%-7.49%-6.42%-4.71%
20106-2.35%$27,931-2.33%$29,636-1.74%$29,668-2.75%$23,0220.56%-2.75%-5.24%-4.01%-1.17%-1.34%
201074.36%$29,1494.52%$30,9753.85%$30,8114.50%$24,0590.38%4.50%7.00%4.05%7.58%2.75%
20108-2.02%$28,559-2.01%$30,353-1.51%$30,345-2.33%$23,4980.37%-2.33%-4.53%-2.53%-1.69%-1.38%
201096.16%$30,3186.54%$32,3385.66%$32,0625.59%$24,8120.18%5.59%8.92%6.25%10.30%5.96%
2010102.57%$31,0972.69%$33,2082.33%$32,8092.52%$25,4380.26%2.52%3.79%3.00%3.59%2.29%
201011-0.16%$31,048-0.16%$33,155-0.19%$32,7470.14%$25,475-0.30%0.14%0.00%-0.30%0.20%-0.68%
2010123.36%$32,0933.43%$34,2942.71%$33,6353.66%$26,406-0.48%3.66%6.67%2.88%2.81%4.69%
201111.29%$32,5071.29%$34,7371.08%$33,9991.36%$26,7640.25%1.36%2.36%1.07%1.42%1.31%
201122.10%$33,1902.20%$35,5021.83%$34,6222.26%$27,369-0.22%2.26%3.42%3.17%1.97%1.99%
201130.65%$33,4050.81%$35,7880.79%$34,8960.23%$27,432-0.13%0.23%0.03%1.09%1.69%1.08%
201142.84%$34,3533.07%$36,8862.84%$35,8872.35%$28,0770.71%2.35%2.95%3.37%5.16%2.61%
20115-0.76%$34,092-0.86%$36,568-0.69%$35,638-0.18%$28,0280.52%-0.18%-1.15%-1.41%-1.46%-0.94%
20116-0.94%$33,771-0.96%$36,217-0.79%$35,355-1.21%$27,688-0.04%-1.21%-1.67%-1.01%-0.59%-1.13%
20117-0.81%$33,498-0.81%$35,923-0.55%$35,160-0.72%$27,4890.52%-0.72%-2.05%-1.79%0.60%-1.37%
20118-3.63%$32,282-3.89%$34,526-3.29%$34,004-2.81%$26,7150.52%-2.81%-5.45%-5.06%-5.81%-3.27%
20119-5.64%$30,462-6.09%$32,422-5.40%$32,167-4.39%$25,541-0.22%-4.39%-7.04%-7.02%-10.00%-5.38%
2011106.70%$32,5026.99%$34,6885.90%$34,0656.98%$27,3240.15%6.98%10.91%4.84%9.78%7.75%
201111-0.50%$32,339-0.58%$34,488-0.56%$33,875-0.28%$27,248-0.04%-0.28%-0.23%-1.42%-1.72%0.66%
2011120.23%$32,4120.14%$34,5370.06%$33,8960.92%$27,4980.21%0.92%1.02%-0.64%-0.41%0.24%
201213.40%$33,5143.63%$35,7923.20%$34,9823.40%$28,4320.23%3.40%4.46%4.09%5.16%3.14%
201222.77%$34,4432.93%$36,8422.48%$35,8512.49%$29,139-0.14%2.49%4.31%2.76%5.03%2.28%
201231.33%$34,9021.28%$37,3140.94%$36,1881.62%$29,610-0.13%1.62%3.28%1.09%1.02%1.10%
20124-0.22%$34,826-0.23%$37,229-0.13%$36,1400.04%$29,6230.32%0.04%-0.64%-0.71%0.12%-0.42%
20125-4.36%$33,307-4.68%$35,488-4.06%$34,672-3.34%$28,6340.06%-3.34%-6.02%-5.63%-6.46%-4.96%
201262.33%$34,0832.41%$36,3421.98%$35,3582.28%$29,286-0.13%2.28%4.11%2.50%2.66%2.59%
201270.92%$34,3980.95%$36,6870.84%$35,6551.17%$29,6300.29%1.17%1.37%0.56%1.67%0.51%
201281.74%$34,9951.87%$37,3721.65%$36,2441.55%$30,0890.11%1.55%2.24%1.73%2.12%2.75%
201291.56%$35,5421.62%$37,9771.36%$36,7381.58%$30,5650.03%1.58%2.58%2.06%1.90%1.23%
201210-0.96%$35,200-0.95%$37,615-0.78%$36,451-1.01%$30,258-0.16%-1.01%-1.86%-1.07%-0.76%-0.90%
2012110.50%$35,3740.53%$37,8160.49%$36,6290.51%$30,4120.12%0.51%0.56%0.24%0.53%1.05%
2012121.01%$35,7321.13%$38,2461.05%$37,0150.66%$30,6130.09%0.66%0.90%0.74%1.99%1.77%
201313.15%$36,8563.27%$39,4982.75%$38,0313.03%$31,541-0.06%3.03%5.18%4.09%2.51%4.16%
201320.56%$37,0650.53%$39,7070.41%$38,1850.98%$31,8500.12%0.98%1.34%0.23%-0.06%0.75%
201332.18%$37,8742.24%$40,5961.87%$38,8982.36%$32,6020.03%2.36%3.74%3.12%1.65%2.17%
201341.10%$38,2891.12%$41,0520.94%$39,2651.39%$33,0550.12%1.39%1.91%0.17%1.51%1.52%
201350.93%$38,6460.93%$41,4340.66%$39,5240.74%$33,300-0.34%0.74%2.33%0.51%0.11%2.28%
20136-1.52%$38,057-1.68%$40,739-1.57%$38,905-1.41%$32,829-0.26%-1.41%-1.35%-2.43%-2.87%-0.86%
201373.16%$39,2593.28%$42,0762.78%$39,9873.33%$33,9210.12%3.33%5.07%3.46%4.03%2.97%
20138-1.68%$38,598-1.71%$41,356-1.43%$39,414-1.95%$33,258-0.16%-1.95%-2.91%-1.95%-1.91%-1.19%
201392.65%$39,6192.83%$42,5272.56%$40,4222.56%$34,1110.40%2.56%3.12%3.92%3.89%2.00%
2013102.89%$40,7643.01%$43,8062.56%$41,4552.83%$35,0770.13%2.83%4.59%3.44%3.64%2.74%
2013111.81%$41,5031.86%$44,6211.57%$42,1051.60%$35,6390.13%1.60%3.03%2.54%1.81%1.76%
2013121.20%$42,0011.23%$45,1710.95%$42,5041.29%$36,097-0.33%1.29%2.51%0.85%1.09%1.83%
20141-1.76%$41,264-1.81%$44,352-1.43%$41,895-1.24%$35,6510.32%-1.24%-3.47%-1.10%-3.63%-1.52%
201423.20%$42,5833.39%$45,8572.94%$43,1253.02%$36,7270.03%3.02%4.56%4.11%4.78%2.74%
201430.29%$42,7080.28%$45,9880.18%$43,2030.21%$36,804-0.21%0.21%0.82%0.88%-0.82%0.84%
201440.16%$42,7760.10%$46,0320.05%$43,2230.36%$36,9360.23%0.36%0.72%-0.59%0.41%-0.18%
201451.69%$43,5011.79%$46,8571.57%$43,9011.71%$37,5680.13%1.71%2.33%2.41%1.80%1.79%
201461.47%$44,1411.57%$47,5921.37%$44,5011.57%$38,1570.04%1.57%2.05%1.33%2.58%1.32%
20147-1.22%$43,602-1.32%$46,965-1.19%$43,970-1.28%$37,668-0.14%-1.28%-1.39%-1.70%-2.37%-0.47%
201482.23%$44,5752.26%$48,0261.87%$44,7932.95%$38,7790.14%2.95%3.98%2.73%2.58%0.97%
20149-1.72%$43,808-1.91%$47,108-1.78%$43,994-1.57%$38,170-0.14%-1.57%-1.41%-3.69%-2.07%-1.45%
2014101.38%$44,4151.38%$47,7561.16%$44,5062.09%$38,9670.33%2.09%2.42%1.70%1.06%0.65%
2014111.60%$45,1251.63%$48,5341.38%$45,1221.74%$39,6450.23%1.74%2.68%1.80%1.09%2.05%
201412-0.26%$45,006-0.28%$48,398-0.28%$44,9960.01%$39,650-0.24%0.01%-0.26%0.64%-1.62%-0.19%
20151-1.15%$44,487-1.15%$47,841-0.78%$44,644-0.77%$39,3430.61%-0.77%-3.02%-1.19%-0.64%-1.93%
201523.12%$45,8763.24%$49,3932.62%$45,8142.95%$40,505-0.42%2.95%5.74%2.36%4.56%3.66%
20153-0.42%$45,682-0.39%$49,199-0.20%$45,723-0.44%$40,3280.33%-0.44%-1.59%0.81%-0.21%-1.49%
201540.37%$45,8530.37%$49,3800.28%$45,8500.10%$40,3680.05%0.10%0.95%-0.96%0.98%1.21%
201550.75%$46,1960.76%$49,7560.64%$46,1430.63%$40,6230.06%0.63%1.27%1.29%1.02%0.20%
20156-1.22%$45,631-1.28%$49,118-1.09%$45,639-1.42%$40,046-0.04%-1.42%-1.93%-0.74%-1.71%-1.55%
201571.13%$46,1471.14%$49,6780.94%$46,0701.31%$40,5720.15%1.31%2.08%0.64%2.41%0.21%
20158-3.37%$44,590-3.45%$47,966-2.85%$44,758-3.72%$39,062-0.13%-3.72%-6.05%-2.97%-3.95%-3.47%
20159-1.26%$44,029-1.33%$47,326-1.04%$44,293-1.45%$38,4970.43%-1.45%-2.48%0.71%-3.39%-1.51%
2015103.73%$45,6703.67%$49,0612.80%$45,5354.61%$40,270-0.13%4.61%8.42%0.70%4.58%4.25%
201511-0.04%$45,652-0.04%$49,042-0.10%$45,4890.24%$40,365-0.31%0.24%0.29%-0.75%-0.15%0.48%
201512-1.19%$45,107-1.27%$48,420-1.12%$44,978-1.41%$39,797-0.16%-1.41%-1.59%-0.79%-1.40%-1.85%
20161-3.08%$43,717-3.32%$46,810-2.74%$43,746-2.81%$38,6800.82%-2.81%-4.98%-2.50%-4.15%-5.05%
201620.12%$43,7690.13%$46,8710.16%$43,8160.28%$38,7890.15%0.28%-0.15%1.28%-0.75%-0.17%
201634.21%$45,6114.38%$48,9243.72%$45,4474.59%$40,5690.26%4.59%6.78%2.93%5.53%5.30%
201640.50%$45,8400.59%$49,2140.55%$45,6980.54%$40,788-0.03%0.54%0.37%-0.73%1.10%1.87%
201650.87%$46,2370.87%$49,6420.68%$46,0091.04%$41,212-0.10%1.04%1.78%0.84%1.36%0.25%
20166-0.43%$46,040-0.64%$49,326-0.59%$45,7380.93%$41,5950.75%0.93%0.25%-1.56%-1.35%-1.71%
201672.65%$47,2602.85%$50,7302.47%$46,8662.64%$42,695-0.10%2.64%3.68%2.72%3.87%3.19%
201680.42%$47,4600.54%$51,0060.50%$47,1010.06%$42,723-0.29%0.06%0.13%0.11%0.42%2.20%
201690.11%$47,5090.11%$51,0610.13%$47,1630.08%$42,7550.23%0.08%0.01%-0.39%0.89%-0.15%
201610-1.45%$46,822-1.54%$50,274-1.37%$46,518-1.68%$42,037-0.12%-1.68%-1.83%-2.21%-2.33%-0.49%
2016111.94%$47,7292.01%$51,2871.58%$47,2541.61%$42,714-0.58%1.61%3.70%3.13%-0.05%3.80%
2016120.96%$48,1870.95%$51,7750.75%$47,6101.21%$43,232-0.00%1.21%1.96%0.99%0.39%1.18%
201711.52%$48,9201.62%$52,6171.46%$48,3051.25%$43,7740.26%1.25%1.88%1.75%2.85%1.20%
201722.28%$50,0352.34%$53,8501.95%$49,2482.48%$44,8580.07%2.48%3.96%2.04%2.35%2.82%
201730.00%$50,038-0.01%$53,847-0.01%$49,2410.02%$44,8670.02%0.02%0.10%-0.13%0.66%-0.65%
201741.17%$50,6231.30%$54,5471.22%$49,8410.93%$45,2860.19%0.93%1.02%1.21%2.69%1.07%
201751.12%$51,1931.21%$55,2091.08%$50,3790.89%$45,6910.09%0.89%1.39%1.41%2.37%0.65%
201760.47%$51,4350.52%$55,4940.45%$50,6030.55%$45,944-0.09%0.55%0.61%0.87%0.77%0.12%
201771.43%$52,1701.49%$56,3201.31%$51,2661.28%$46,5330.28%1.28%2.04%1.63%2.06%1.31%
201780.21%$52,2770.19%$56,4250.18%$51,3560.42%$46,7290.19%0.42%0.29%0.90%0.09%-0.73%
201791.37%$52,9911.46%$57,2491.23%$51,9891.26%$47,318-0.20%1.26%2.06%1.96%1.83%1.32%
2017101.59%$53,8341.70%$58,2221.46%$52,7471.31%$47,938-0.08%1.31%2.32%1.85%2.30%1.91%
2017111.18%$54,4681.12%$58,8750.79%$53,1621.79%$48,797-0.27%1.79%3.06%1.37%1.26%-0.23%
2017120.64%$54,8160.68%$59,2730.56%$53,4580.78%$49,178-0.07%0.78%1.10%-0.10%0.97%1.21%
201813.51%$56,7393.71%$61,4713.09%$55,1082.71%$50,510-0.44%2.71%5.71%4.48%5.31%3.37%
20182-2.24%$55,469-2.31%$60,050-1.95%$54,035-2.61%$49,192-0.08%-2.61%-3.69%-2.66%-2.74%-1.65%
20183-1.23%$54,788-1.26%$59,293-0.97%$53,509-0.93%$48,7330.29%-0.93%-2.56%-0.78%-0.84%-2.61%
20184-0.19%$54,686-0.22%$59,161-0.29%$53,354-0.09%$48,690-0.30%-0.09%0.37%-1.35%0.00%0.29%
201851.04%$55,2540.96%$59,7320.76%$53,7591.93%$49,6300.36%1.93%2.39%0.10%1.55%-0.15%
201860.02%$55,265-0.04%$59,705-0.10%$53,7070.40%$49,8280.10%0.40%0.61%-1.11%-0.04%0.17%
201872.10%$56,4272.18%$61,0081.80%$54,6722.01%$50,829-0.10%2.01%3.71%1.63%1.44%4.00%
201881.40%$57,2191.30%$61,8021.01%$55,2252.31%$52,0010.37%2.31%3.25%1.56%0.82%0.00%
20189-0.33%$57,031-0.43%$61,537-0.50%$54,947-0.13%$51,933-0.20%-0.13%0.55%-1.60%-0.73%0.14%
201810-4.28%$54,589-4.50%$58,765-3.80%$52,857-4.76%$49,4600.10%-4.76%-6.85%-2.93%-6.15%-5.27%
2018111.10%$55,1871.08%$59,3990.91%$53,3391.48%$50,1940.38%1.48%2.03%0.30%1.83%0.56%
201812-4.65%$52,622-4.79%$56,552-3.79%$51,317-4.93%$47,7200.88%-4.93%-9.04%-3.75%-5.08%-6.07%
201915.37%$55,4505.67%$59,7604.89%$53,8295.55%$50,3670.30%5.55%8.00%3.84%6.87%7.92%
201921.80%$56,4491.87%$60,8771.54%$54,6612.10%$51,423-0.01%2.10%3.20%0.17%3.21%2.26%
201931.07%$57,0511.01%$61,4890.89%$55,1461.65%$52,2700.78%1.65%1.94%0.22%1.40%0.40%
201942.65%$58,5642.80%$63,2102.41%$56,4742.39%$53,5220.15%2.39%4.04%1.38%3.65%4.46%
20195-3.40%$56,573-3.57%$60,955-2.84%$54,871-3.21%$51,8050.88%-3.21%-6.36%-2.39%-3.35%-6.11%
201964.39%$59,0564.55%$63,7273.88%$57,0034.63%$54,2050.48%4.63%7.03%3.32%5.64%5.36%
201970.74%$59,4900.75%$64,2040.60%$57,3430.97%$54,731-0.09%0.97%1.43%0.81%0.63%0.66%
20198-0.47%$59,209-0.53%$63,862-0.28%$57,183-0.11%$54,6730.92%-0.11%-1.59%1.18%-0.33%-3.05%
201990.61%$59,5690.58%$64,2300.37%$57,3930.80%$55,108-0.22%0.80%1.86%-0.64%0.25%1.64%
2019101.07%$60,2081.04%$64,8960.85%$57,8781.39%$55,8720.25%1.39%2.15%1.33%0.59%0.67%
2019111.94%$61,3761.99%$66,1901.62%$58,8172.24%$57,122-0.05%2.24%3.62%0.44%2.74%2.75%
2019121.92%$62,5532.01%$67,5181.72%$59,8271.64%$58,0610.14%1.64%3.01%1.51%3.11%2.18%
202010.13%$62,6370.10%$67,5830.16%$59,9240.82%$58,5340.60%0.82%-0.05%-0.10%0.00%-0.50%
20202-4.16%$60,033-4.30%$64,679-3.36%$57,911-4.22%$56,0631.04%-4.22%-8.24%-3.62%-5.45%-4.55%
20203-8.81%$54,746-9.54%$58,506-8.19%$53,167-8.48%$51,3091.01%-8.48%-12.37%-7.53%-9.65%-16.31%
202047.28%$58,7327.47%$62,8746.19%$56,4608.55%$55,6940.22%8.55%12.81%5.89%9.17%7.14%
202053.45%$60,7583.65%$65,1713.21%$58,2733.45%$57,6180.38%3.45%4.76%3.39%5.15%3.68%
202061.59%$61,7261.73%$66,2981.54%$59,1701.73%$58,6150.09%1.73%1.98%0.86%1.48%3.53%
202073.73%$64,0313.92%$68,8963.37%$61,1633.99%$60,9520.18%3.99%5.63%4.05%5.88%2.73%
202083.47%$66,2523.44%$71,2652.73%$62,8353.86%$63,3030.19%3.86%7.18%2.20%3.49%3.93%
20209-1.99%$64,933-2.03%$69,820-1.64%$61,805-2.12%$61,9640.06%-2.12%-3.81%-1.20%-2.15%-2.78%
202010-1.22%$64,140-1.18%$68,993-0.92%$61,237-1.48%$61,047-0.06%-1.48%-2.67%-1.57%-1.74%0.26%
2020117.13%$68,7137.51%$74,1766.42%$65,1687.66%$65,7240.11%7.66%10.94%5.70%6.70%11.92%
2020122.89%$70,6983.11%$76,4842.73%$66,9472.70%$67,5020.08%2.70%3.84%2.44%3.13%5.30%

Risk and Return Metrics

MetricProvided PortfolioMaximum Return at 9.50% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
Arithmetic Mean (monthly)0.70%0.73%0.67%0.69%
Arithmetic Mean (annualized)8.69%9.09%8.36%8.54%
Geometric Mean (monthly)0.66%0.69%0.64%0.65%
Geometric Mean (annualized)8.25%8.60%8.01%8.05%
Standard Deviation (monthly)2.61%2.74%2.32%2.75%
Standard Deviation (annualized)9.05%9.50%8.04%9.52%
Downside Deviation (monthly)1.68%1.77%1.47%1.77%
Maximum Drawdown-31.41%-32.69%-27.90%-32.57%
Stock Market Correlation0.970.950.930.99
Beta(*)0.920.960.791.00
Alpha (annualized)0.79%0.88%1.55%0.00%
R294.13%91.73%88.07%100.00%
Sharpe Ratio0.690.700.740.64
Sortino Ratio1.031.041.120.95
Treynor Ratio (%)6.816.967.546.13
Calmar Ratio0.700.660.690.90
Active Return0.20%0.55%-0.04%N/A
Tracking Error2.32%2.77%3.41%N/A
Information Ratio0.090.20-0.01N/A
Skewness-0.79-0.82-0.83-0.66
Excess Kurtosis2.282.542.871.60
Historical Value-at-Risk (5%)4.18%4.17%3.31%4.27%
Analytical Value-at-Risk (5%)3.59%3.78%3.14%3.84%
Conditional Value-at-Risk (5%)5.86%6.20%5.19%6.05%
Upside Capture Ratio (%)95.2999.2984.40100.00
Downside Capture Ratio (%)90.7193.9375.03100.00
Safe Withdrawal Rate8.10%8.39%8.06%7.44%
Perpetual Withdrawal Rate5.62%5.91%5.41%5.44%
Positive Periods194 out of 296 (65.54%)192 out of 296 (64.86%)196 out of 296 (66.22%)197 out of 296 (66.55%)
Gain/Loss Ratio1.051.081.090.94
* Vanguard Balanced Index Inv is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndProvided PortfolioMaximum Return at 9.50% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
Asian CrisisJul 1997Jan 1998-2.20%-2.04%-1.48%-2.61%
Russian Debt DefaultJul 1998Oct 1998-7.94%-8.30%-6.56%-9.66%
Dotcom CrashMar 2000Oct 2002-11.48%-11.05%-7.86%-22.39%
Subprime CrisisNov 2007Mar 2009-31.41%-32.69%-27.90%-32.57%
COVID-19 StartJan 2020Mar 2020-12.60%-13.43%-11.28%-12.34%

Drawdowns for Provided Portfolio

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-31.41%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-12.60%
3Feb 2001Sep 20021 year 8 monthsMay 20038 months2 years 4 months-11.48%
4May 2011Sep 20115 monthsFeb 20125 months10 months-11.33%
5May 1998Aug 19984 monthsNov 19983 months7 months-8.38%
6Sep 2018Dec 20184 monthsApr 20194 months8 months-8.03%
7Sep 2000Nov 20003 monthsJan 20012 months5 months-6.10%
8Jun 2015Jan 20168 monthsMay 20164 months1 year-5.37%
9Apr 2012May 20122 monthsAug 20123 months5 months-4.57%
10Feb 2018Apr 20183 monthsAug 20184 months7 months-3.62%
Worst 10 drawdowns included above

Drawdowns for Maximum Return at 9.50% Volatility

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsOct 20101 year 8 months2 years 5 months-32.69%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-13.43%
3May 2011Sep 20115 monthsMar 20126 months11 months-12.10%
4Apr 2002Sep 20026 monthsMay 20038 months1 year 2 months-11.05%
5May 1998Aug 19984 monthsNov 19983 months7 months-9.23%
6Sep 2018Dec 20184 monthsApr 20194 months8 months-8.49%
7Jun 2001Sep 20014 monthsMar 20026 months10 months-7.99%
8Sep 2000Nov 20003 monthsJan 20012 months5 months-6.35%
9Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-5.92%
10Feb 2001Mar 20012 monthsMay 20012 months4 months-5.68%
Worst 10 drawdowns included above

Drawdowns for Maximum Sharpe Ratio Weights

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsSep 20101 year 7 months2 years 4 months-27.90%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-11.28%
3May 2011Sep 20115 monthsMar 20126 months11 months-10.37%
4May 2002Sep 20025 monthsApr 20037 months1 year-7.86%
5May 1998Aug 19984 monthsNov 19983 months7 months-7.61%
6Sep 2018Dec 20184 monthsApr 20194 months8 months-7.08%
7Aug 2001Sep 20012 monthsDec 20013 months5 months-6.12%
8Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-5.19%
9Sep 2000Nov 20003 monthsJan 20012 months5 months-4.78%
10Apr 2012May 20122 monthsAug 20123 months5 months-4.19%
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%
2Sep 2000Sep 20022 years 1 monthFeb 20041 year 5 months3 years 6 months-22.39%
3Feb 2020Mar 20202 monthsJun 20203 months5 months-12.34%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-9.66%
5May 2011Sep 20115 monthsJan 20124 months9 months-9.03%
6Sep 2018Dec 20184 monthsMar 20193 months7 months-8.23%
7Apr 2000May 20002 monthsAug 20003 months5 months-5.35%
8Jun 2015Sep 20154 monthsApr 20167 months11 months-5.23%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-3.60%
10Sep 2020Oct 20202 monthsNov 20201 month3 months-3.56%
Worst 10 drawdowns included above

Portfolio Assets

TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
VFISXVanguard Short-Term Treasury Inv3.48%1.77%8.83%-0.10%-1.46%0.821.50-0.27
VBINXVanguard Balanced Index Inv8.05%9.52%22.24%-22.21%-32.57%0.640.950.99
VFINXVanguard 500 Index Investor9.29%15.40%33.19%-37.02%-50.97%0.520.760.99
LCORXLeuthold Core Investment Retail8.28%10.57%47.18%-27.44%-36.52%0.610.900.77
LSWWXLoomis Sayles Global Allocation Y9.95%13.65%60.51%-39.19%-44.84%0.610.970.82
FPACXFPA Crescent9.37%11.24%36.14%-20.55%-28.84%0.671.000.81

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%
Leuthold Core Investment Retail6.58%10.09%10.09%4.83%6.87%6.24%1.38%1.38%
Loomis Sayles Global Allocation Y8.13%15.38%15.38%11.58%12.17%9.56%0.89%0.89%
FPA Crescent18.15%12.11%12.11%7.59%8.68%8.18%1.06%1.08%
Trailing returns as of last calendar month ending December 2020

Monthly Correlations

TickerNameVFISXVBINXVFINXLCORXLSWWXFPACXProvided PortfolioMaximum Return at 9.50% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
VFISXVanguard Short-Term Treasury Inv1.00-0.16-0.26-0.15-0.18-0.21-0.19-0.19-0.15-0.16
VBINXVanguard Balanced Index Inv-0.161.000.980.780.820.810.970.960.941.00
VFINXVanguard 500 Index Investor-0.260.981.000.740.780.800.950.930.900.98
LCORXLeuthold Core Investment Retail-0.150.780.741.000.760.680.870.880.890.78
LSWWXLoomis Sayles Global Allocation Y-0.180.820.780.761.000.650.890.900.910.82
FPACXFPA Crescent-0.210.810.800.680.651.000.860.860.860.81

Portfolio Return Decomposition

TickerNameProvided PortfolioMaximum Return at 9.50% VolatilityMaximum Sharpe Ratio Weights
VFISXVanguard Short-Term Treasury Inv$3,563$2,168$4,156
VBINXVanguard Balanced Index Inv$10,782$13,443$12,682
VFINXVanguard 500 Index Investor$13,708$8,652
LCORXLeuthold Core Investment Retail$9,597$11,852$11,278
LSWWXLoomis Sayles Global Allocation Y$12,266$16,170$15,322
FPACXFPA Crescent$10,782$14,199$13,509
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 9.50% VolatilityMaximum Sharpe Ratio Weights
VFISXVanguard Short-Term Treasury Inv-0.62%-0.35%-0.68%
VBINXVanguard Balanced Index Inv17.37%19.21%22.24%
VFINXVanguard 500 Index Investor27.47%15.27%
LCORXLeuthold Core Investment Retail17.24%19.55%23.44%
LSWWXLoomis Sayles Global Allocation Y21.45%25.87%30.88%
FPACXFPA Crescent17.09%20.45%24.12%
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 9.50% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year8.23%35.08%-28.00%8.60%37.20%-29.17%7.95%31.79%-24.65%8.06%36.16%-27.67%
3 years7.54%17.51%-5.63%7.93%18.43%-5.86%7.48%16.05%-3.67%7.05%19.12%-7.37%
5 years7.23%14.94%-0.31%7.67%15.64%-0.14%7.33%13.53%1.00%6.54%16.33%-2.02%
7 years7.32%10.89%2.77%7.77%11.28%3.27%7.42%10.28%4.15%6.63%12.28%0.31%
10 years7.18%10.28%3.95%7.62%10.63%4.59%7.30%10.12%5.33%6.52%11.55%0.90%
15 years7.19%8.58%6.01%7.63%9.09%6.18%7.31%8.89%5.70%6.51%8.32%4.95%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years