Portfolio Optimization

Portfolio Optimization Configuration

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Asset Groups
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Portfolio Optimization Results (Mar 2018 - Dec 2021) Save

Portfolio optimization results with the goal to maximize return subject to 8.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 7.64% to 11.86%. Refer to the efficient frontier section for additional details.

Provided Portfolio

Provided Portfolio
Ticker Name Allocation
FMSDX Fidelity Multi-Asset Income 25.00%
FFFDX Fidelity Freedom 2020 20.00%
TMSRX T. Rowe Price Multi-Strategy Ttl Ret Inv 20.00%
CDC VictoryShares US EQ Inc Enh Vol Wtd ETF 20.00%
ARBIX Absolute Convertible Arbitrage Instl 5.00%
FSRRX Fidelity Strategic Real Return 5.00%
IAU iShares Gold Trust 5.00%
Save portfolio »

Maximum Return at 8.00% Volatility

Maximum Return at 8.00% Volatility
Ticker Name Allocation
FMSDX Fidelity Multi-Asset Income 35.00%
FFFDX Fidelity Freedom 2020 11.93%
TMSRX T. Rowe Price Multi-Strategy Ttl Ret Inv 18.07%
CDC VictoryShares US EQ Inc Enh Vol Wtd ETF 20.00%
ARBIX Absolute Convertible Arbitrage Instl 10.00%
IAU iShares Gold Trust 5.00%
Save portfolio »

Portfolio Performance Summary

Performance Summary

Portfolio performance statistics
MetricProvided PortfolioMaximum Return at 8.00% VolatilityVanguard Wellesley Income Admiral
Start Balance$10,000$10,000$10,000
End Balance$14,545$14,827$13,682
Annualized Return (CAGR)10.27%10.82%8.52%
Expected Return10.13%10.63%8.45%
Standard Deviation8.07%7.95%7.02%
Best Year16.51%17.01%16.47%
Worst Year-3.08%-2.51%-0.32%
Maximum Drawdown -9.49% -8.92% -8.58%
Sharpe Ratio (ex-ante)1.121.201.05
Sharpe Ratio (ex-post)1.111.181.04
Sortino Ratio1.952.181.73
Active Return1.75%2.30%N/A
Tracking Error3.34%3.43%N/A
Information Ratio0.520.67N/A
Stock Market Correlation0.960.950.90
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

   

Annual Returns

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 yearFull3 year
Provided Portfolio3.20%12.73%12.73%14.49%10.27%8.42%
Maximum Return at 8.00% Volatility3.40%13.18%13.18%15.00%10.82%8.33%
Vanguard Wellesley Income Admiral3.04%8.57%8.57%11.13%8.52%7.42%
Trailing return and volatility are as of last full calendar month ending December 2021
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.
  • Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks.
  • The annual results for 2018 are based on full calendar months from March to December.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Fidelity Multi-Asset Income (FMSDX)13.91%9.77%1.3100.00%35.00%
2Fidelity Freedom 2020 (FFFDX)8.90%9.49%0.8220.00%35.00%
3T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)3.70%4.95%0.5240.00%35.00%
4VictoryShares US EQ Inc Enh Vol Wtd ETF (CDC)15.32%15.14%0.9390.00%20.00%
5Absolute Convertible Arbitrage Instl (ARBIX)5.04%2.75%1.4320.00%10.00%
6Fidelity Strategic Real Return (FSRRX)7.14%8.72%0.6920.00%5.00%
7iShares Gold Trust (IAU)9.24%13.73%0.5920.00%5.00%
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate.

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerFMSDXFFFDXTMSRXCDCARBIXFSRRXIAU
Fidelity Multi-Asset IncomeFMSDX1.000.950.650.780.700.850.20
Fidelity Freedom 2020FFFDX0.951.000.730.710.760.890.18
T. Rowe Price Multi-Strategy Ttl Ret InvTMSRX0.650.731.000.310.820.690.29
VictoryShares US EQ Inc Enh Vol Wtd ETFCDC0.780.710.311.000.250.550.03
Absolute Convertible Arbitrage InstlARBIX0.700.760.820.251.000.810.24
Fidelity Strategic Real ReturnFSRRX0.850.890.690.550.811.000.19
iShares Gold TrustIAU0.200.180.290.030.240.191.00
Based on monthly returns from Mar 2018 to Dec 2021

Efficient Frontiers

Efficient Frontier Portfolios

Efficient Frontier Assets
#FMSDXFFFDXTMSRXCDCARBIXFSRRXIAUExpected Return *Standard Deviation *Sharpe Ratio *
120.24%24.76%35.00%0.00%10.00%5.00%5.00%7.64%6.43%1.015
221.10%23.90%35.00%0.00%10.00%5.00%5.00%7.68%6.43%1.022
321.95%23.05%35.00%0.00%10.00%5.00%5.00%7.72%6.43%1.028
422.80%22.20%35.00%0.00%10.00%5.00%5.00%7.77%6.43%1.035
523.66%21.34%35.00%0.00%10.00%5.00%5.00%7.81%6.44%1.041
624.51%20.49%35.00%0.00%10.00%5.00%5.00%7.85%6.44%1.048
725.36%19.64%35.00%0.00%10.00%5.00%5.00%7.89%6.44%1.054
826.22%18.78%35.00%0.00%10.00%5.00%5.00%7.94%6.44%1.061
927.07%17.93%35.00%0.00%10.00%5.00%5.00%7.98%6.44%1.068
1027.93%17.07%35.00%0.00%10.00%5.00%5.00%8.02%6.44%1.074
1128.78%16.22%35.00%0.00%10.00%5.00%5.00%8.06%6.44%1.080
1229.63%15.37%35.00%0.00%10.00%5.00%5.00%8.11%6.44%1.087
1330.49%14.51%35.00%0.00%10.00%5.00%5.00%8.15%6.44%1.093
1431.34%13.66%35.00%0.00%10.00%5.00%5.00%8.19%6.44%1.100
1532.19%12.81%35.00%0.00%10.00%5.00%5.00%8.23%6.44%1.106
1633.05%11.95%35.00%0.00%10.00%5.00%5.00%8.28%6.45%1.112
1733.90%11.10%35.00%0.00%10.00%5.00%5.00%8.32%6.45%1.119
1834.76%10.24%35.00%0.00%10.00%5.00%5.00%8.36%6.45%1.125
1935.00%9.52%35.00%0.48%10.00%5.00%5.00%8.41%6.45%1.131
2035.00%8.86%35.00%1.14%10.00%5.00%5.00%8.45%6.46%1.137
2135.00%8.19%35.00%1.81%10.00%5.00%5.00%8.49%6.47%1.142
2235.00%7.53%35.00%2.47%10.00%5.00%5.00%8.53%6.47%1.147
2335.00%6.86%35.00%3.14%10.00%5.00%5.00%8.58%6.48%1.152
2435.00%6.20%35.00%3.80%10.00%5.00%5.00%8.62%6.49%1.157
2535.00%5.53%35.00%4.47%10.00%5.00%5.00%8.66%6.50%1.162
2635.00%4.86%35.00%5.14%10.00%5.00%5.00%8.70%6.51%1.167
2735.00%4.20%35.00%5.80%10.00%5.00%5.00%8.75%6.52%1.171
2835.00%3.53%35.00%6.47%10.00%5.00%5.00%8.79%6.54%1.176
2935.00%2.87%35.00%7.13%10.00%5.00%5.00%8.83%6.55%1.180
3035.00%2.20%35.00%7.80%10.00%5.00%5.00%8.88%6.56%1.184
3135.00%1.53%35.00%8.47%10.00%5.00%5.00%8.92%6.58%1.188
3235.00%0.87%35.00%9.13%10.00%5.00%5.00%8.96%6.59%1.191
3335.00%0.20%35.00%9.80%10.00%5.00%5.00%9.00%6.61%1.195
3435.00%0.00%35.00%10.36%10.00%4.64%5.00%9.05%6.63%1.198
3535.00%0.00%35.00%10.89%10.00%4.11%5.00%9.09%6.65%1.200
3635.00%0.00%35.00%11.41%10.00%3.59%5.00%9.13%6.67%1.203
3735.00%0.00%35.00%11.93%10.00%3.07%5.00%9.17%6.69%1.205
3835.00%0.00%35.00%12.45%10.00%2.55%5.00%9.22%6.72%1.207
3935.00%0.00%35.00%12.98%10.00%2.02%5.00%9.26%6.74%1.209
4035.00%0.00%35.00%13.50%10.00%1.50%5.00%9.30%6.77%1.211
4135.00%0.00%35.00%14.02%10.00%0.98%5.00%9.35%6.79%1.213
4235.00%0.00%35.00%14.54%10.00%0.46%5.00%9.39%6.82%1.215
4335.00%0.00%34.95%15.05%10.00%0.00%5.00%9.43%6.84%1.216
4435.00%0.00%34.59%15.41%10.00%0.00%5.00%9.47%6.88%1.217
4535.00%0.00%34.22%15.78%10.00%0.00%5.00%9.52%6.91%1.218
4635.00%0.00%33.85%16.15%10.00%0.00%5.00%9.56%6.94%1.218
4735.00%0.00%33.48%16.52%10.00%0.00%5.00%9.60%6.97%1.218
4835.00%0.00%33.12%16.88%10.00%0.00%5.00%9.64%7.01%1.219
4935.00%0.00%32.75%17.25%10.00%0.00%5.00%9.69%7.04%1.219
5035.00%0.00%32.38%17.62%10.00%0.00%5.00%9.73%7.07%1.219
5135.00%0.00%32.01%17.99%10.00%0.00%5.00%9.77%7.11%1.220
5235.00%0.00%31.64%18.36%10.00%0.00%5.00%9.82%7.14%1.220
5335.00%0.00%31.28%18.72%10.00%0.00%5.00%9.86%7.17%1.220
5435.00%0.00%30.91%19.09%10.00%0.00%5.00%9.90%7.21%1.220
5535.00%0.00%30.54%19.46%10.00%0.00%5.00%9.94%7.24%1.220
5635.00%0.00%30.17%19.83%10.00%0.00%5.00%9.99%7.28%1.220
5735.00%0.43%29.57%20.00%10.00%0.00%5.00%10.03%7.32%1.219
5835.00%1.25%28.75%20.00%10.00%0.00%5.00%10.07%7.36%1.218
5935.00%2.07%27.93%20.00%10.00%0.00%5.00%10.11%7.41%1.216
6035.00%2.90%27.10%20.00%10.00%0.00%5.00%10.16%7.45%1.215
6135.00%3.72%26.28%20.00%10.00%0.00%5.00%10.20%7.50%1.213
6235.00%4.54%25.46%20.00%10.00%0.00%5.00%10.24%7.54%1.211
6335.00%5.36%24.64%20.00%10.00%0.00%5.00%10.28%7.59%1.210
6435.00%6.18%23.82%20.00%10.00%0.00%5.00%10.33%7.63%1.208
6535.00%7.00%23.00%20.00%10.00%0.00%5.00%10.37%7.68%1.207
6635.00%7.82%22.18%20.00%10.00%0.00%5.00%10.41%7.72%1.205
6735.00%8.64%21.36%20.00%10.00%0.00%5.00%10.46%7.77%1.203
6835.00%9.46%20.54%20.00%10.00%0.00%5.00%10.50%7.82%1.202
6935.00%10.28%19.72%20.00%10.00%0.00%5.00%10.54%7.86%1.200
7035.00%11.10%18.90%20.00%10.00%0.00%5.00%10.58%7.91%1.198
7135.00%11.93%18.07%20.00%10.00%0.00%5.00%10.63%7.95%1.197
7235.00%12.75%17.25%20.00%10.00%0.00%5.00%10.67%8.00%1.195
7335.00%13.57%16.43%20.00%10.00%0.00%5.00%10.71%8.05%1.194
7435.00%14.39%15.61%20.00%10.00%0.00%5.00%10.75%8.09%1.192
7535.00%15.21%14.79%20.00%10.00%0.00%5.00%10.80%8.14%1.190
7635.00%16.03%13.97%20.00%10.00%0.00%5.00%10.84%8.19%1.189
7735.00%16.85%13.15%20.00%10.00%0.00%5.00%10.88%8.24%1.187
7835.00%17.67%12.33%20.00%10.00%0.00%5.00%10.93%8.28%1.185
7935.00%18.49%11.51%20.00%10.00%0.00%5.00%10.97%8.33%1.184
8035.00%19.31%10.69%20.00%10.00%0.00%5.00%11.01%8.38%1.182
8135.00%20.14%9.86%20.00%10.00%0.00%5.00%11.05%8.43%1.181
8235.00%20.96%9.04%20.00%10.00%0.00%5.00%11.10%8.47%1.179
8335.00%21.78%8.22%20.00%10.00%0.00%5.00%11.14%8.52%1.177
8435.00%22.60%7.40%20.00%10.00%0.00%5.00%11.18%8.57%1.176
8535.00%23.42%6.58%20.00%10.00%0.00%5.00%11.22%8.62%1.174
8635.00%24.24%5.76%20.00%10.00%0.00%5.00%11.27%8.66%1.173
8735.00%25.06%4.94%20.00%10.00%0.00%5.00%11.31%8.71%1.171
8835.00%25.88%4.12%20.00%10.00%0.00%5.00%11.35%8.76%1.170
8935.00%26.70%3.30%20.00%10.00%0.00%5.00%11.40%8.81%1.168
9035.00%27.52%2.48%20.00%10.00%0.00%5.00%11.44%8.86%1.166
9135.00%28.35%1.65%20.00%10.00%0.00%5.00%11.48%8.91%1.165
9235.00%29.17%0.83%20.00%10.00%0.00%5.00%11.52%8.95%1.163
9335.00%29.99%0.01%20.00%10.00%0.00%5.00%11.57%9.00%1.162
9435.00%31.09%0.00%20.00%8.91%0.00%5.00%11.61%9.08%1.156
9535.00%32.19%0.00%20.00%7.81%0.00%5.00%11.65%9.16%1.151
9635.00%33.30%0.00%20.00%6.70%0.00%5.00%11.69%9.24%1.145
9735.00%34.40%0.00%20.00%5.60%0.00%5.00%11.74%9.32%1.140
9835.00%35.00%0.00%20.00%4.07%0.93%5.00%11.78%9.42%1.133
9935.00%35.00%0.00%20.00%2.03%2.97%5.00%11.82%9.53%1.124
10035.00%35.00%0.00%20.00%0.00%5.00%5.00%11.87%9.64%1.116
*Annualized ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate.

Annual Returns

Annual returns for the configured portfolios
YearInflationProvided PortfolioMaximum Return at 8.00% VolatilityVanguard Wellesley Income AdmiralFidelity Multi-Asset Income (FMSDX)Fidelity Freedom 2020 (FFFDX)T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)VictoryShares US EQ Inc Enh Vol Wtd ETF (CDC)Absolute Convertible Arbitrage Instl (ARBIX)Fidelity Strategic Real Return (FSRRX)iShares Gold Trust (IAU)
ReturnBalanceReturnBalanceReturnBalance
20180.90%-3.08%$9,692-2.51%$9,749-0.32%$9,968-1.26%-5.49%-3.63%-4.17%1.18%-2.47%-2.92%
20192.29%16.51%$11,29317.01%$11,40716.47%$11,61023.14%17.98%7.36%19.64%6.38%10.48%17.98%
20201.36%14.26%$12,90314.84%$13,1008.54%$12,60116.55%13.76%13.20%12.61%9.28%3.74%25.03%
20217.04%12.73%$14,54513.18%$14,8278.57%$13,68217.80%8.91%-2.07%33.04%2.95%15.81%-4.00%
Annual return for 2018 is from 03/01/2018 to 12/31/2018

Monthly Returns

Monthly returns for the configured portfolios
YearMonthProvided PortfolioMaximum Return at 8.00% VolatilityVanguard Wellesley Income AdmiralFidelity Multi-Asset Income (FMSDX)Fidelity Freedom 2020 (FFFDX)T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)VictoryShares US EQ Inc Enh Vol Wtd ETF (CDC)Absolute Convertible Arbitrage Instl (ARBIX)Fidelity Strategic Real Return (FSRRX)iShares Gold Trust (IAU)
ReturnBalanceReturnBalanceReturnBalance
20183-0.14%$9,986-0.24%$9,976-0.27%$9,973-1.06%-0.66%0.90%0.03%0.10%0.80%0.55%
201840.02%$9,988-0.01%$9,975-0.49%$9,924-0.09%0.12%-0.70%0.69%0.39%0.79%-0.86%
201850.39%$10,0270.51%$10,0260.67%$9,9901.79%0.58%-1.60%0.71%0.29%1.13%-1.27%
201860.38%$10,0650.41%$10,0670.16%$10,0060.31%-0.12%0.92%1.57%0.09%0.11%-3.53%
201870.92%$10,1580.91%$10,1582.06%$10,2130.76%1.23%0.40%2.67%0.10%-0.47%-2.33%
201880.79%$10,2380.90%$10,2500.56%$10,2701.67%0.85%0.10%1.20%0.58%0.34%-2.04%
20189-0.41%$10,196-0.42%$10,207-0.21%$10,249-0.23%-0.18%-0.50%-0.96%-0.10%0.11%-0.61%
201810-2.71%$9,919-2.40%$9,961-2.28%$10,015-1.97%-4.72%-2.02%-4.50%0.10%-1.66%2.10%
2018111.02%$10,0201.06%$10,0671.65%$10,1801.04%0.76%-0.93%3.98%-0.38%0.00%0.34%
201812-3.28%$9,692-3.16%$9,749-2.08%$9,968-3.37%-3.31%-0.22%-8.99%0.01%-3.56%4.95%
201913.59%$10,0403.53%$10,0933.23%$10,2905.28%4.98%2.05%2.15%1.47%4.34%2.85%
201921.51%$10,1921.52%$10,2471.52%$10,4461.59%1.43%0.74%3.13%0.58%0.98%-0.47%
201930.65%$10,2580.61%$10,3101.87%$10,6420.83%1.34%0.42%0.43%0.77%0.85%-1.59%
201941.88%$10,4512.03%$10,5191.10%$10,7593.01%1.77%0.63%3.23%0.38%0.42%-0.73%
20195-2.50%$10,190-2.53%$10,253-0.63%$10,691-2.75%-2.46%-0.42%-6.44%0.00%-0.84%1.79%
201963.97%$10,5944.08%$10,6713.15%$11,0284.55%3.73%1.15%6.74%0.92%1.33%7.91%
201970.83%$10,6820.96%$10,7730.46%$11,0801.42%0.13%0.93%1.02%0.66%0.43%0.15%
201980.09%$10,6920.17%$10,7911.68%$11,2660.54%-0.31%0.41%-2.50%0.56%0.48%7.69%
201990.84%$10,7810.79%$10,8760.63%$11,3370.26%0.69%-0.61%4.48%-0.09%0.48%-3.16%
2019101.05%$10,8941.07%$10,9930.64%$11,4091.69%1.76%-0.10%0.68%0.28%0.33%2.55%
2019111.30%$11,0351.38%$11,1440.60%$11,4781.83%1.60%0.72%2.81%0.19%-0.60%-3.32%
2019122.33%$11,2932.36%$11,4071.15%$11,6102.97%2.19%1.23%2.98%0.49%1.90%3.72%
20201-0.66%$11,218-0.67%$11,3301.28%$11,759-1.13%-0.56%0.83%-3.28%0.66%-0.83%4.62%
20202-3.73%$10,799-3.69%$10,912-2.45%$11,471-3.42%-3.16%0.72%-11.20%0.28%-2.52%-0.66%
20203-5.36%$10,221-4.79%$10,389-6.29%$10,750-6.73%-8.97%-4.68%-1.04%-3.10%-11.59%0.00%
202046.59%$10,8946.57%$11,0725.71%$11,3636.83%6.19%3.95%11.04%1.74%4.19%6.90%
202052.76%$11,1952.72%$11,3732.13%$11,6063.44%3.23%2.57%2.08%1.14%2.82%2.61%
202061.09%$11,3170.92%$11,4770.47%$11,6600.57%2.51%0.90%-0.17%1.51%1.70%2.78%
202073.90%$11,7594.02%$11,9382.81%$11,9885.23%3.55%2.78%2.44%2.23%3.58%11.01%
202082.24%$12,0222.30%$12,2120.21%$12,0133.56%2.99%0.97%1.98%1.45%2.24%-0.48%
20209-1.50%$11,843-1.54%$12,024-0.68%$11,931-2.22%-1.33%0.19%-2.21%0.09%-1.34%-4.16%
202010-0.35%$11,800-0.43%$11,972-1.28%$11,778-1.64%-0.98%0.86%0.49%0.36%-0.18%-0.56%
2020115.91%$12,4986.02%$12,6935.73%$12,4538.49%7.31%1.33%10.23%1.52%4.11%-5.25%
2020123.24%$12,9033.21%$13,1001.19%$12,6013.56%3.28%2.31%3.48%1.13%2.62%6.96%
202110.13%$12,9200.23%$13,131-1.28%$12,4401.02%0.00%0.19%-0.40%0.80%0.71%-3.20%
202122.67%$13,2652.81%$13,4990.65%$12,5213.49%1.40%1.98%6.42%0.97%2.22%-6.32%
202132.40%$13,5832.55%$13,8431.69%$12,7322.43%0.75%-1.29%9.74%-0.53%0.57%-1.09%
202142.52%$13,9252.46%$14,1842.03%$12,9913.35%2.51%0.09%4.02%-0.18%3.64%3.63%
202151.76%$14,1701.75%$14,4311.42%$13,1761.71%1.34%0.65%2.45%0.00%1.32%7.60%
20216-0.50%$14,100-0.54%$14,3540.50%$13,2420.49%0.75%-0.28%-2.16%0.35%1.08%-7.03%
202170.61%$14,1860.54%$14,4311.31%$13,4150.34%0.34%-0.19%1.38%0.09%1.76%2.52%
202181.18%$14,3531.16%$14,5990.93%$13,5401.01%1.14%1.12%2.30%0.18%0.21%-0.09%
20219-1.81%$14,094-1.77%$14,340-1.93%$13,278-1.82%-2.14%-0.74%-3.20%0.53%0.00%-3.24%
2021102.42%$14,4342.53%$14,7021.94%$13,5364.00%2.53%-0.47%3.86%0.61%2.43%1.56%
202111-1.58%$14,207-1.48%$14,485-1.16%$13,379-1.42%-1.57%-1.87%-1.96%-0.26%-1.82%-0.74%
2021122.38%$14,5452.36%$14,8272.26%$13,6822.08%1.63%-1.24%7.30%0.35%2.76%3.36%

Risk and Return Metrics

Portfolio return and risk metrics
MetricProvided PortfolioMaximum Return at 8.00% VolatilityVanguard Wellesley Income Admiral
Arithmetic Mean (monthly)0.84%0.89%0.70%
Arithmetic Mean (annualized)10.62%11.16%8.78%
Geometric Mean (monthly)0.82%0.86%0.68%
Geometric Mean (annualized)10.27%10.82%8.52%
Standard Deviation (monthly)2.33%2.30%2.03%
Standard Deviation (annualized)8.07%7.95%7.02%
Downside Deviation (monthly)1.28%1.21%1.19%
Maximum Drawdown-9.49%-8.92%-8.58%
Stock Market Correlation0.960.950.90
Beta(*)1.051.021.00
Alpha (annualized)1.29%1.99%0.00%
R282.99%81.44%100.00%
Sharpe Ratio1.111.181.04
Sortino Ratio1.952.181.73
Treynor Ratio (%)8.629.317.34
Calmar Ratio1.531.681.30
Active Return1.75%2.30%N/A
Tracking Error3.34%3.43%N/A
Information Ratio0.520.67N/A
Skewness-0.17-0.06-0.44
Excess Kurtosis0.850.632.98
Historical Value-at-Risk (5%)-3.14%-3.00%-2.23%
Analytical Value-at-Risk (5%)-2.94%-2.85%-2.63%
Conditional Value-at-Risk (5%)-4.12%-3.88%-3.67%
Upside Capture Ratio (%)117.16119.03100.00
Downside Capture Ratio (%)110.16105.54100.00
Safe Withdrawal Rate28.29%28.62%28.17%
Perpetual Withdrawal Rate6.33%6.78%4.89%
Positive Periods33 out of 46 (71.74%)32 out of 46 (69.57%)33 out of 46 (71.74%)
Gain/Loss Ratio1.021.191.00
* Vanguard Wellesley Income Admiral is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndProvided PortfolioMaximum Return at 8.00% VolatilityVanguard Wellesley Income Admiral
COVID-19 StartJan 2020Mar 2020-9.49%-8.92%-8.58%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJun 20203 months6 months-9.49%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-5.33%
3May 2019May 20191 monthJun 20191 month2 months-2.50%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-1.85%
5Sep 2021Sep 20211 monthOct 20211 month2 months-1.81%
6Nov 2021Nov 20211 monthDec 20211 month2 months-1.58%
7Jun 2021Jun 20211 monthJul 20211 month2 months-0.50%
8Mar 2018Mar 20181 monthMay 20182 months3 months-0.14%

Drawdowns for Maximum Return at 8.00% Volatility

Drawdowns for Maximum Return at 8.00% Volatility
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJun 20203 months6 months-8.92%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-4.89%
3May 2019May 20191 monthJun 20191 month2 months-2.53%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-1.97%
5Sep 2021Sep 20211 monthOct 20211 month2 months-1.77%
6Nov 2021Nov 20211 monthDec 20211 month2 months-1.48%
7Jun 2021Jun 20211 monthAug 20212 months3 months-0.54%
8Mar 2018Apr 20182 monthsMay 20181 month3 months-0.25%

Drawdowns for Vanguard Wellesley Income Admiral

Drawdowns for Vanguard Wellesley Income Admiral
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-8.58%
2Sep 2018Dec 20184 monthsJan 20191 month5 months-2.94%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-1.95%
4Sep 2021Sep 20211 monthDec 20213 months4 months-1.93%
5Jan 2021Jan 20211 monthMar 20212 months3 months-1.28%
6Mar 2018Apr 20182 monthsJun 20182 months4 months-0.76%
7May 2019May 20191 monthJun 20191 month2 months-0.63%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
FMSDXFidelity Multi-Asset Income14.30%9.77%23.14%-1.26%-10.94%1.302.490.95
FFFDXFidelity Freedom 20208.80%9.49%17.98%-5.49%-12.34%0.821.250.96
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv3.64%4.95%13.20%-3.63%-4.68%0.520.780.62
CDCVictoryShares US EQ Inc Enh Vol Wtd ETF15.16%15.14%33.04%-4.17%-15.01%0.931.550.80
ARBIXAbsolute Convertible Arbitrage Instl5.12%2.75%9.28%1.18%-3.10%1.402.300.67
FSRRXFidelity Strategic Real Return6.97%8.72%15.81%-2.47%-14.54%0.690.910.84
IAUiShares Gold Trust8.66%13.73%25.03%-4.00%-13.79%0.591.090.10

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 yearNetGross
Fidelity Multi-Asset Income4.66%17.80%17.80%19.13%0.78%0.78%
Fidelity Freedom 20202.57%8.91%8.91%13.49%0.58%0.58%
T. Rowe Price Multi-Strategy Ttl Ret Inv-3.53%-2.07%-2.07%5.97%1.20%1.48%
VictoryShares US EQ Inc Enh Vol Wtd ETF9.26%33.04%33.04%21.47%0.35%0.39%
Absolute Convertible Arbitrage Instl0.70%2.95%2.95%6.17%1.51%1.75%
Fidelity Strategic Real Return3.34%15.81%15.81%9.90%0.70%0.78%
iShares Gold Trust4.19%-4.00%-4.00%12.30%0.25%0.25%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameFMSDXFFFDXTMSRXCDCARBIXFSRRXIAUProvided PortfolioMaximum Return at 8.00% VolatilityVanguard Wellesley Income Admiral
FMSDXFidelity Multi-Asset Income1.000.950.650.780.700.850.200.970.970.89
FFFDXFidelity Freedom 20200.951.000.730.710.760.890.180.950.940.92
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv0.650.731.000.310.820.690.290.680.660.65
CDCVictoryShares US EQ Inc Enh Vol Wtd ETF0.780.710.311.000.250.550.030.850.860.71
ARBIXAbsolute Convertible Arbitrage Instl0.700.760.820.251.000.810.240.670.650.66
FSRRXFidelity Strategic Real Return0.850.890.690.550.811.000.190.840.820.83
IAUiShares Gold Trust0.200.180.290.030.240.191.000.250.250.27

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameProvided PortfolioMaximum Return at 8.00% Volatility
FMSDXFidelity Multi-Asset Income$1,554$2,207
FFFDXFidelity Freedom 2020$796$482
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv$301$276
CDCVictoryShares US EQ Inc Enh Vol Wtd ETF$1,424$1,447
ARBIXAbsolute Convertible Arbitrage Instl$110$222
FSRRXFidelity Strategic Real Return$171
IAUiShares Gold Trust$190$193
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameProvided PortfolioMaximum Return at 8.00% Volatility
FMSDXFidelity Multi-Asset Income29.44%41.92%
FFFDXFidelity Freedom 202022.44%13.42%
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv8.35%7.47%
CDCVictoryShares US EQ Inc Enh Vol Wtd ETF31.96%32.78%
ARBIXAbsolute Convertible Arbitrage Instl1.14%2.26%
FSRRXFidelity Strategic Real Return4.55%
IAUiShares Gold Trust2.12%2.16%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns