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

Portfolio Type

Time Period

Start Year

First Month

End Year

Last Month

Optimization Goal

Targeted Annual Return

Targeted Annual Volatility

Targeted Tracking Error

Targeted Monthly CVaR

Robust Optimization

Use Historical Returns

Use Historical Volatility

Use Historical Correlations

Correlation Matrix

Asset Constraints

Group Constraints

Compared Allocation

Benchmark

Benchmark Ticker

Portfolio Assets

Allocation

Expected Return

Volatility

Min. Weight

Max. Weight

Group

Total

Asset Groups

Min. Weight

Max. Weight

Portfolio Optimization Results (Jan 2020 - Dec 2021) Save

Note: The time period was constrained by the available data for RPAR Risk Parity ETF (RPAR) [Jan 2020 - Dec 2022].

Portfolio optimization results with the goal to maximize return subject to 10.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 6.11% to 15.46%. 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 10.00% Volatility

Maximum Return at 10.00% Volatility
Ticker	Name	Allocation
FMSDX	Fidelity Multi-Asset Income	35.00%
FFFDX	Fidelity Freedom 2020	11.40%
CDC	VictoryShares US EQ Inc Enh Vol Wtd ETF	20.00%
ARBIX	Absolute Convertible Arbitrage Instl	10.00%
IAU	iShares Gold Trust	10.00%
RPAR	RPAR Risk Parity ETF	10.00%
FIKFX	Fidelity Freedom Index Income Investor	3.60%
Save portfolio »

Maximum Sharpe Ratio Weights

Maximum Sharpe Ratio Weights
Ticker	Name	Allocation
FMSDX	Fidelity Multi-Asset Income	21.51%
CDC	VictoryShares US EQ Inc Enh Vol Wtd ETF	20.00%
ARBIX	Absolute Convertible Arbitrage Instl	10.00%
IAU	iShares Gold Trust	7.51%
RPAR	RPAR Risk Parity ETF	10.00%
FIKFX	Fidelity Freedom Index Income Investor	30.97%
Save portfolio »

Portfolio Performance Summary

Performance Summary

Portfolio performance statistics
Metric	Provided Portfolio	Maximum Return at 10.00% Volatility	Maximum Sharpe Ratio Weights	Vanguard Wellesley Income Admiral
Start Balance	$10,000	$10,000	$10,000	$10,000
End Balance	$12,881	$13,247	$12,706	$11,785
Annualized Return (CAGR)	13.49%	15.10%	12.72%	8.56%
Expected Return	13.16%	14.61%	12.34%	8.60%
Standard Deviation	9.58%	9.93%	8.09%	8.68%
Best Year	14.26%	15.89%	13.77%	8.57%
Worst Year	12.73%	14.31%	11.68%	8.54%
Maximum Drawdown	-9.49%	-8.59%	-6.46%	-8.58%
Sharpe Ratio (ex-ante)	1.35	1.45	1.50	0.96
Sharpe Ratio (ex-post)	1.34	1.44	1.48	0.96
Sortino Ratio	2.49	2.88	3.08	1.57
Active Return	4.94%	6.54%	4.16%	N/A
Tracking Error	3.56%	3.77%	3.11%	N/A
Information Ratio	1.38	1.74	1.34	N/A
Stock Market Correlation	0.96	0.94	0.94	0.94
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

Annual Returns

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return
Name	3 Month	Year To Date	1 year	Full
Provided Portfolio	3.20%	12.73%	12.73%	13.49%
Maximum Return at 10.00% Volatility	4.82%	14.31%	14.31%	15.10%
Maximum Sharpe Ratio Weights	4.16%	11.68%	11.68%	12.72%
Vanguard Wellesley Income Admiral	3.04%	8.57%	8.57%	8.56%
Trailing returns 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.
The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

Efficient Frontier Assets
#	Asset	Expected Return	Standard Deviation	Sharpe Ratio	Min. Weight	Max. Weight
1	Fidelity Multi-Asset Income (FMSDX)	16.61%	11.73%	1.395	0.00%	35.00%
2	Fidelity Freedom 2020 (FFFDX)	11.37%	11.22%	0.992	0.00%	35.00%
3	T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)	5.34%	6.09%	0.837	0.00%	35.00%
4	VictoryShares US EQ Inc Enh Vol Wtd ETF (CDC)	21.79%	17.23%	1.251	0.00%	20.00%
5	Absolute Convertible Arbitrage Instl (ARBIX)	5.97%	3.58%	1.601	0.00%	10.00%
6	Fidelity Strategic Real Return (FSRRX)	9.83%	11.17%	0.859	0.00%	10.00%
7	iShares Gold Trust (IAU)	10.36%	15.89%	0.637	0.00%	10.00%
8	IQ Hedge Multi-Strategy Tracker ETF (QAI)	2.76%	6.32%	0.398	0.00%	10.00%
9	RPAR Risk Parity ETF (RPAR)	13.10%	10.53%	1.221	0.00%	10.00%
10	Fidelity Freedom Index Income Investor (FIKFX)	5.58%	4.40%	1.214	0.00%	35.00%
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
Name	Ticker	FMSDX	FFFDX	TMSRX	CDC	ARBIX	FSRRX	IAU	QAI	RPAR	FIKFX
Fidelity Multi-Asset Income	FMSDX	1.00	0.96	0.67	0.77	0.72	0.87	0.24	0.91	0.79	0.85
Fidelity Freedom 2020	FFFDX	0.96	1.00	0.75	0.66	0.81	0.93	0.26	0.98	0.84	0.91
T. Rowe Price Multi-Strategy Ttl Ret Inv	TMSRX	0.67	0.75	1.00	0.27	0.86	0.73	0.34	0.82	0.64	0.70
VictoryShares US EQ Inc Enh Vol Wtd ETF	CDC	0.77	0.66	0.27	1.00	0.24	0.54	0.16	0.55	0.42	0.51
Absolute Convertible Arbitrage Instl	ARBIX	0.72	0.81	0.86	0.24	1.00	0.83	0.22	0.87	0.68	0.73
Fidelity Strategic Real Return	FSRRX	0.87	0.93	0.73	0.54	0.83	1.00	0.24	0.92	0.75	0.80
iShares Gold Trust	IAU	0.24	0.26	0.34	0.16	0.22	0.24	1.00	0.29	0.55	0.40
IQ Hedge Multi-Strategy Tracker ETF	QAI	0.91	0.98	0.82	0.55	0.87	0.92	0.29	1.00	0.83	0.89
RPAR Risk Parity ETF	RPAR	0.79	0.84	0.64	0.42	0.68	0.75	0.55	0.83	1.00	0.95
Fidelity Freedom Index Income Investor	FIKFX	0.85	0.91	0.70	0.51	0.73	0.80	0.40	0.89	0.95	1.00
Based on monthly returns from Jan 2020 to Dec 2021

Note: You can hover over any of the data points on the chart for more information.

Efficient Frontiers

Efficient Frontier Portfolios

Efficient Frontier Assets
#	FMSDX	FFFDX	TMSRX	CDC	ARBIX	FSRRX	IAU	QAI	RPAR	FIKFX	Expected Return *	Standard Deviation *	Sharpe Ratio *
1	0.00%	0.00%	35.00%	3.32%	10.00%	0.00%	6.68%	10.00%	0.00%	35.00%	6.11%	5.05%	1.161
2	0.00%	0.00%	35.00%	4.14%	10.00%	0.00%	5.86%	10.00%	0.00%	35.00%	6.20%	5.06%	1.179
3	0.00%	0.00%	35.00%	4.97%	10.00%	0.00%	5.03%	10.00%	0.00%	35.00%	6.30%	5.07%	1.196
4	0.00%	0.00%	35.00%	5.79%	10.00%	0.00%	4.21%	10.00%	0.00%	35.00%	6.39%	5.08%	1.211
5	0.00%	0.00%	35.00%	6.28%	10.00%	0.00%	4.24%	9.48%	0.00%	35.00%	6.49%	5.10%	1.224
6	0.00%	0.00%	35.00%	6.71%	10.00%	0.00%	4.41%	8.89%	0.00%	35.00%	6.58%	5.12%	1.238
7	0.00%	0.00%	35.00%	7.14%	10.00%	0.00%	4.57%	8.29%	0.00%	35.00%	6.68%	5.14%	1.251
8	0.00%	0.00%	35.00%	7.57%	10.00%	0.00%	4.74%	7.70%	0.00%	35.00%	6.77%	5.16%	1.264
9	0.00%	0.00%	35.00%	8.00%	10.00%	0.00%	4.90%	7.10%	0.00%	35.00%	6.87%	5.19%	1.277
10	0.00%	0.00%	35.00%	8.43%	10.00%	0.00%	5.07%	6.50%	0.00%	35.00%	6.96%	5.21%	1.289
11	0.00%	0.00%	35.00%	8.86%	10.00%	0.00%	5.24%	5.91%	0.00%	35.00%	7.05%	5.24%	1.301
12	0.00%	0.00%	35.00%	9.29%	10.00%	0.00%	5.40%	5.31%	0.00%	35.00%	7.15%	5.26%	1.313
13	0.00%	0.00%	35.00%	9.72%	10.00%	0.00%	5.57%	4.71%	0.00%	35.00%	7.24%	5.29%	1.324
14	0.00%	0.00%	35.00%	10.15%	10.00%	0.00%	5.74%	4.12%	0.00%	35.00%	7.34%	5.31%	1.335
15	0.00%	0.00%	35.00%	10.58%	10.00%	0.00%	5.90%	3.52%	0.00%	35.00%	7.43%	5.34%	1.346
16	0.00%	0.00%	35.00%	10.95%	10.00%	0.00%	6.02%	2.89%	0.14%	35.00%	7.53%	5.37%	1.357
17	0.00%	0.00%	35.00%	11.14%	10.00%	0.00%	5.97%	2.15%	0.75%	35.00%	7.62%	5.40%	1.367
18	0.00%	0.00%	35.00%	11.32%	10.00%	0.00%	5.92%	1.40%	1.36%	35.00%	7.72%	5.43%	1.377
19	0.00%	0.00%	35.00%	11.50%	10.00%	0.00%	5.87%	0.66%	1.97%	35.00%	7.81%	5.46%	1.387
20	0.00%	0.00%	35.00%	11.78%	10.00%	0.00%	5.78%	0.00%	2.44%	35.00%	7.90%	5.48%	1.397
21	0.00%	0.00%	35.00%	12.75%	10.00%	0.00%	5.40%	0.00%	1.85%	35.00%	8.00%	5.52%	1.406
22	0.00%	0.00%	35.00%	13.71%	10.00%	0.00%	5.02%	0.00%	1.26%	35.00%	8.09%	5.55%	1.414
23	0.00%	0.00%	35.00%	14.68%	10.00%	0.00%	4.64%	0.00%	0.67%	35.00%	8.19%	5.60%	1.420
24	0.00%	0.00%	34.46%	15.23%	10.00%	0.00%	4.48%	0.00%	0.83%	35.00%	8.28%	5.64%	1.425
25	0.00%	0.00%	33.58%	15.53%	10.00%	0.00%	4.46%	0.00%	1.43%	35.00%	8.38%	5.69%	1.430
26	0.00%	0.00%	32.71%	15.83%	10.00%	0.00%	4.43%	0.00%	2.03%	35.00%	8.47%	5.73%	1.435
27	0.00%	0.00%	31.84%	16.13%	10.00%	0.00%	4.40%	0.00%	2.63%	35.00%	8.57%	5.78%	1.440
28	0.00%	0.00%	30.97%	16.43%	10.00%	0.00%	4.37%	0.00%	3.23%	35.00%	8.66%	5.83%	1.444
29	0.00%	0.00%	30.10%	16.73%	10.00%	0.00%	4.34%	0.00%	3.83%	35.00%	8.75%	5.88%	1.448
30	0.00%	0.00%	29.22%	17.03%	10.00%	0.00%	4.31%	0.00%	4.44%	35.00%	8.85%	5.93%	1.452
31	0.00%	0.00%	28.35%	17.33%	10.00%	0.00%	4.29%	0.00%	5.04%	35.00%	8.94%	5.98%	1.455
32	0.00%	0.00%	27.48%	17.63%	10.00%	0.00%	4.26%	0.00%	5.64%	35.00%	9.04%	6.03%	1.458
33	0.00%	0.00%	26.61%	17.93%	10.00%	0.00%	4.23%	0.00%	6.24%	35.00%	9.13%	6.08%	1.462
34	0.00%	0.00%	25.73%	18.23%	10.00%	0.00%	4.20%	0.00%	6.84%	35.00%	9.23%	6.14%	1.465
35	0.00%	0.00%	24.86%	18.52%	10.00%	0.00%	4.17%	0.00%	7.44%	35.00%	9.32%	6.19%	1.467
36	0.00%	0.00%	23.99%	18.82%	10.00%	0.00%	4.14%	0.00%	8.04%	35.00%	9.42%	6.24%	1.470
37	0.00%	0.00%	23.12%	19.12%	10.00%	0.00%	4.12%	0.00%	8.64%	35.00%	9.51%	6.30%	1.472
38	0.00%	0.00%	22.25%	19.42%	10.00%	0.00%	4.09%	0.00%	9.24%	35.00%	9.60%	6.35%	1.475
39	0.00%	0.00%	21.37%	19.72%	10.00%	0.00%	4.06%	0.00%	9.85%	35.00%	9.70%	6.40%	1.477
40	0.19%	0.00%	20.45%	20.00%	10.00%	0.00%	4.35%	0.00%	10.00%	35.00%	9.79%	6.46%	1.479
41	0.98%	0.00%	19.55%	20.00%	10.00%	0.00%	4.47%	0.00%	10.00%	35.00%	9.89%	6.52%	1.480
42	1.77%	0.00%	18.65%	20.00%	10.00%	0.00%	4.59%	0.00%	10.00%	35.00%	9.98%	6.58%	1.481
43	2.55%	0.00%	17.74%	20.00%	10.00%	0.00%	4.70%	0.00%	10.00%	35.00%	10.08%	6.63%	1.483
44	3.34%	0.00%	16.84%	20.00%	10.00%	0.00%	4.82%	0.00%	10.00%	35.00%	10.17%	6.69%	1.484
45	4.13%	0.00%	15.94%	20.00%	10.00%	0.00%	4.94%	0.00%	10.00%	35.00%	10.27%	6.75%	1.485
46	4.91%	0.00%	15.03%	20.00%	10.00%	0.00%	5.05%	0.00%	10.00%	35.00%	10.36%	6.81%	1.486
47	5.70%	0.00%	14.13%	20.00%	10.00%	0.00%	5.17%	0.00%	10.00%	35.00%	10.45%	6.87%	1.487
48	6.49%	0.00%	13.23%	20.00%	10.00%	0.00%	5.29%	0.00%	10.00%	35.00%	10.55%	6.93%	1.488
49	7.27%	0.00%	12.32%	20.00%	10.00%	0.00%	5.40%	0.00%	10.00%	35.00%	10.64%	6.99%	1.489
50	8.06%	0.00%	11.42%	20.00%	10.00%	0.00%	5.52%	0.00%	10.00%	35.00%	10.74%	7.05%	1.490
51	8.85%	0.00%	10.52%	20.00%	10.00%	0.00%	5.64%	0.00%	10.00%	35.00%	10.83%	7.11%	1.491
52	9.63%	0.00%	9.61%	20.00%	10.00%	0.00%	5.75%	0.00%	10.00%	35.00%	10.93%	7.17%	1.491
53	10.42%	0.00%	8.71%	20.00%	10.00%	0.00%	5.87%	0.00%	10.00%	35.00%	11.02%	7.23%	1.492
54	11.21%	0.00%	7.81%	20.00%	10.00%	0.00%	5.99%	0.00%	10.00%	35.00%	11.12%	7.29%	1.492
55	11.99%	0.00%	6.90%	20.00%	10.00%	0.00%	6.10%	0.00%	10.00%	35.00%	11.21%	7.35%	1.493
56	12.78%	0.00%	6.00%	20.00%	10.00%	0.00%	6.22%	0.00%	10.00%	35.00%	11.30%	7.41%	1.493
57	13.57%	0.00%	5.10%	20.00%	10.00%	0.00%	6.34%	0.00%	10.00%	35.00%	11.40%	7.47%	1.494
58	14.35%	0.00%	4.19%	20.00%	10.00%	0.00%	6.45%	0.00%	10.00%	35.00%	11.49%	7.53%	1.494
59	15.14%	0.00%	3.29%	20.00%	10.00%	0.00%	6.57%	0.00%	10.00%	35.00%	11.59%	7.59%	1.494
60	15.93%	0.00%	2.39%	20.00%	10.00%	0.00%	6.69%	0.00%	10.00%	35.00%	11.68%	7.65%	1.495
61	16.71%	0.00%	1.48%	20.00%	10.00%	0.00%	6.80%	0.00%	10.00%	35.00%	11.78%	7.72%	1.495
62	17.50%	0.00%	0.58%	20.00%	10.00%	0.00%	6.92%	0.00%	10.00%	35.00%	11.87%	7.78%	1.495
63	18.32%	0.00%	0.00%	20.00%	10.00%	0.00%	6.97%	0.00%	10.00%	34.71%	11.97%	7.84%	1.495
64	19.12%	0.00%	0.00%	20.00%	10.00%	0.00%	7.11%	0.00%	10.00%	33.77%	12.06%	7.90%	1.495
65	19.92%	0.00%	0.00%	20.00%	10.00%	0.00%	7.24%	0.00%	10.00%	32.84%	12.16%	7.97%	1.495
66	20.72%	0.00%	0.00%	20.00%	10.00%	0.00%	7.38%	0.00%	10.00%	31.91%	12.25%	8.03%	1.495
67	21.51%	0.00%	0.00%	20.00%	10.00%	0.00%	7.51%	0.00%	10.00%	30.97%	12.34%	8.09%	1.495
68	22.31%	0.00%	0.00%	20.00%	10.00%	0.00%	7.65%	0.00%	10.00%	30.04%	12.44%	8.16%	1.495
69	23.11%	0.00%	0.00%	20.00%	10.00%	0.00%	7.78%	0.00%	10.00%	29.11%	12.53%	8.22%	1.495
70	23.91%	0.00%	0.00%	20.00%	10.00%	0.00%	7.92%	0.00%	10.00%	28.18%	12.63%	8.28%	1.495
71	24.71%	0.00%	0.00%	20.00%	10.00%	0.00%	8.05%	0.00%	10.00%	27.24%	12.72%	8.35%	1.495
72	25.50%	0.00%	0.00%	20.00%	10.00%	0.00%	8.19%	0.00%	10.00%	26.31%	12.82%	8.41%	1.495
73	26.30%	0.00%	0.00%	20.00%	10.00%	0.00%	8.32%	0.00%	10.00%	25.38%	12.91%	8.47%	1.495
74	27.10%	0.00%	0.00%	20.00%	10.00%	0.00%	8.46%	0.00%	10.00%	24.45%	13.01%	8.54%	1.495
75	27.90%	0.00%	0.00%	20.00%	10.00%	0.00%	8.59%	0.00%	10.00%	23.51%	13.10%	8.60%	1.495
76	28.70%	0.00%	0.00%	20.00%	10.00%	0.00%	8.72%	0.00%	10.00%	22.58%	13.19%	8.67%	1.495
77	29.49%	0.00%	0.00%	20.00%	10.00%	0.00%	8.86%	0.00%	10.00%	21.65%	13.29%	8.73%	1.495
78	30.29%	0.00%	0.00%	20.00%	10.00%	0.00%	8.99%	0.00%	10.00%	20.71%	13.38%	8.79%	1.495
79	31.09%	0.00%	0.00%	20.00%	10.00%	0.00%	9.13%	0.00%	10.00%	19.78%	13.48%	8.86%	1.494
80	31.89%	0.00%	0.00%	20.00%	10.00%	0.00%	9.26%	0.00%	10.00%	18.85%	13.57%	8.92%	1.494
81	32.69%	0.00%	0.00%	20.00%	10.00%	0.00%	9.40%	0.00%	10.00%	17.92%	13.67%	8.99%	1.494
82	33.48%	0.00%	0.00%	20.00%	10.00%	0.00%	9.53%	0.00%	10.00%	16.98%	13.76%	9.05%	1.494
83	34.28%	0.00%	0.00%	20.00%	10.00%	0.00%	9.67%	0.00%	10.00%	16.05%	13.86%	9.11%	1.494
84	35.00%	0.00%	0.00%	20.00%	10.00%	0.00%	9.99%	0.00%	10.00%	15.01%	13.95%	9.18%	1.494
85	35.00%	1.62%	0.00%	20.00%	10.00%	0.00%	10.00%	0.00%	10.00%	13.38%	14.04%	9.28%	1.487
86	35.00%	3.25%	0.00%	20.00%	10.00%	0.00%	10.00%	0.00%	10.00%	11.75%	14.14%	9.39%	1.480
87	35.00%	4.88%	0.00%	20.00%	10.00%	0.00%	10.00%	0.00%	10.00%	10.12%	14.23%	9.50%	1.473
88	35.00%	6.51%	0.00%	20.00%	10.00%	0.00%	10.00%	0.00%	10.00%	8.49%	14.33%	9.61%	1.466
89	35.00%	8.14%	0.00%	20.00%	10.00%	0.00%	10.00%	0.00%	10.00%	6.86%	14.42%	9.71%	1.460
90	35.00%	9.77%	0.00%	20.00%	10.00%	0.00%	10.00%	0.00%	10.00%	5.23%	14.52%	9.82%	1.453
91	35.00%	11.40%	0.00%	20.00%	10.00%	0.00%	10.00%	0.00%	10.00%	3.60%	14.61%	9.93%	1.447
92	35.00%	13.03%	0.00%	20.00%	10.00%	0.00%	10.00%	0.00%	10.00%	1.97%	14.71%	10.04%	1.441
93	35.00%	14.66%	0.00%	20.00%	10.00%	0.00%	10.00%	0.00%	10.00%	0.34%	14.80%	10.15%	1.434
94	35.00%	16.39%	0.00%	20.00%	8.61%	0.00%	10.00%	0.00%	10.00%	0.00%	14.89%	10.29%	1.425
95	35.00%	18.13%	0.00%	20.00%	6.87%	0.00%	10.00%	0.00%	10.00%	0.00%	14.99%	10.43%	1.414
96	35.00%	19.88%	0.00%	20.00%	5.12%	0.00%	10.00%	0.00%	10.00%	0.00%	15.08%	10.57%	1.404
97	35.00%	21.63%	0.00%	20.00%	3.37%	0.00%	10.00%	0.00%	10.00%	0.00%	15.18%	10.71%	1.394
98	35.00%	23.38%	0.00%	20.00%	1.62%	0.00%	10.00%	0.00%	10.00%	0.00%	15.27%	10.86%	1.384
99	35.00%	25.67%	0.00%	20.00%	0.00%	0.00%	9.33%	0.00%	10.00%	0.00%	15.37%	11.02%	1.373
100	35.00%	35.00%	0.00%	20.00%	0.00%	0.00%	0.00%	0.00%	10.00%	0.00%	15.46%	11.52%	1.321
^*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
Year	Inflation	Provided Portfolio		Maximum Return at 10.00% Volatility		Maximum Sharpe Ratio Weights		Vanguard Wellesley Income Admiral		Fidelity 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)	RPAR Risk Parity ETF (RPAR)	Fidelity Freedom Index Income Investor (FIKFX)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	Return	Balance	Fidelity 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)	RPAR Risk Parity ETF (RPAR)	Fidelity Freedom Index Income Investor (FIKFX)
2020	1.36%	14.26%	$11,426	15.89%	$11,589	13.77%	$11,377	8.54%	$10,854	16.55%	13.76%	13.20%	12.61%	9.28%	3.74%	25.03%	19.40%	8.54%
2021	7.04%	12.73%	$12,881	14.31%	$13,247	11.68%	$12,706	8.57%	$11,785	17.80%	8.91%	-2.07%	33.04%	2.95%	15.81%	-4.00%	7.56%	2.79%

Monthly Returns

Monthly returns for the configured portfolios
Year	Month	Provided Portfolio		Maximum Return at 10.00% Volatility		Maximum Sharpe Ratio Weights		Vanguard Wellesley Income Admiral		Fidelity 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)	RPAR Risk Parity ETF (RPAR)	Fidelity Freedom Index Income Investor (FIKFX)
Year	Month	Return	Balance	Return	Balance	Return	Balance	Return	Balance	Fidelity 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)	RPAR Risk Parity ETF (RPAR)	Fidelity Freedom Index Income Investor (FIKFX)
2020	1	-0.66%	$9,934	-0.30%	$9,970	0.08%	$10,008	1.28%	$10,128	-1.13%	-0.56%	0.83%	-3.28%	0.66%	-0.83%	4.62%	2.56%	1.01%
2020	2	-3.73%	$9,563	-3.91%	$9,581	-3.16%	$9,692	-2.45%	$9,881	-3.42%	-3.16%	0.72%	-11.20%	0.28%	-2.52%	-0.66%	-0.57%	-0.33%
2020	3	-5.36%	$9,051	-4.59%	$9,141	-3.41%	$9,362	-6.29%	$9,259	-6.73%	-8.97%	-4.68%	-1.04%	-3.10%	-11.59%	0.00%	-5.94%	-2.74%
2020	4	6.59%	$9,647	6.84%	$9,767	5.87%	$9,912	5.71%	$9,788	6.83%	6.19%	3.95%	11.04%	1.74%	4.19%	6.90%	5.62%	3.04%
2020	5	2.76%	$9,914	2.62%	$10,022	2.05%	$10,115	2.13%	$9,997	3.44%	3.23%	2.57%	2.08%	1.14%	2.82%	2.61%	2.09%	1.22%
2020	6	1.09%	$10,022	1.14%	$10,136	0.97%	$10,213	0.47%	$10,043	0.57%	2.51%	0.90%	-0.17%	1.51%	1.70%	2.78%	2.19%	0.97%
2020	7	3.90%	$10,413	4.75%	$10,617	3.87%	$10,609	2.81%	$10,326	5.23%	3.55%	2.78%	2.44%	2.23%	3.58%	11.01%	6.33%	1.86%
2020	8	2.24%	$10,646	2.16%	$10,847	1.55%	$10,774	0.21%	$10,347	3.56%	2.99%	0.97%	1.98%	1.45%	2.24%	-0.48%	0.58%	0.73%
2020	9	-1.50%	$10,487	-1.97%	$10,633	-1.58%	$10,603	-0.68%	$10,277	-2.22%	-1.33%	0.19%	-2.21%	0.09%	-1.34%	-4.16%	-1.76%	-0.59%
2020	10	-0.35%	$10,450	-0.87%	$10,540	-0.75%	$10,524	-1.28%	$10,145	-1.64%	-0.98%	0.86%	0.49%	0.36%	-0.18%	-0.56%	-2.31%	-0.82%
2020	11	5.91%	$11,068	6.19%	$11,193	5.17%	$11,068	5.73%	$10,726	8.49%	7.31%	1.33%	10.23%	1.52%	4.11%	-5.25%	6.09%	3.00%
2020	12	3.24%	$11,426	3.54%	$11,589	2.79%	$11,377	1.19%	$10,854	3.56%	3.28%	2.31%	3.48%	1.13%	2.62%	6.96%	3.77%	1.02%
2021	1	0.13%	$11,441	-0.10%	$11,578	-0.27%	$11,347	-1.28%	$10,715	1.02%	0.00%	0.19%	-0.40%	0.80%	0.71%	-3.20%	-1.22%	-0.40%
2021	2	2.67%	$11,747	1.93%	$11,801	1.34%	$11,498	0.65%	$10,785	3.49%	1.40%	1.98%	6.42%	0.97%	2.22%	-6.32%	-1.83%	-0.44%
2021	3	2.40%	$12,028	2.58%	$12,105	2.14%	$11,744	1.69%	$10,967	2.43%	0.75%	-1.29%	9.74%	-0.53%	0.57%	-1.09%	-1.40%	-0.18%
2021	4	2.52%	$12,331	2.94%	$12,461	2.48%	$12,036	2.03%	$11,190	3.35%	2.51%	0.09%	4.02%	-0.18%	3.64%	3.63%	2.86%	1.33%
2021	5	1.76%	$12,548	2.31%	$12,750	1.85%	$12,258	1.42%	$11,349	1.71%	1.34%	0.65%	2.45%	0.00%	1.32%	7.60%	2.97%	0.40%
2021	6	-0.50%	$12,486	-0.64%	$12,668	-0.41%	$12,208	0.50%	$11,406	0.49%	0.75%	-0.28%	-2.16%	0.35%	1.08%	-7.03%	1.78%	0.75%
2021	7	0.61%	$12,562	0.97%	$12,791	1.09%	$12,342	1.31%	$11,555	0.34%	0.34%	-0.19%	1.38%	0.09%	1.76%	2.52%	2.38%	0.99%
2021	8	1.18%	$12,710	0.98%	$12,917	0.80%	$12,440	0.93%	$11,662	1.01%	1.14%	1.12%	2.30%	0.18%	0.21%	-0.09%	0.24%	0.29%
2021	9	-1.81%	$12,481	-2.16%	$12,638	-1.94%	$12,199	-1.93%	$11,437	-1.82%	-2.14%	-0.74%	-3.20%	0.53%	0.00%	-3.24%	-3.24%	-1.28%
2021	10	2.42%	$12,782	3.08%	$13,027	2.49%	$12,503	1.94%	$11,659	4.00%	2.53%	-0.47%	3.86%	0.61%	2.43%	1.56%	3.68%	1.00%
2021	11	-1.58%	$12,581	-1.16%	$12,876	-0.83%	$12,399	-1.16%	$11,524	-1.42%	-1.57%	-1.87%	-1.96%	-0.26%	-1.82%	-0.74%	0.12%	-0.19%
2021	12	2.38%	$12,881	2.89%	$13,247	2.47%	$12,706	2.26%	$11,785	2.08%	1.63%	-1.24%	7.30%	0.35%	2.76%	3.36%	1.24%	0.49%

Risk and Return Metrics

Portfolio return and risk metrics
Metric	Provided Portfolio	Maximum Return at 10.00% Volatility	Maximum Sharpe Ratio Weights	Vanguard Wellesley Income Admiral
Arithmetic Mean (monthly)	1.10%	1.22%	1.03%	0.72%
Arithmetic Mean (annualized)	13.99%	15.63%	13.07%	8.95%
Geometric Mean (monthly)	1.06%	1.18%	1.00%	0.69%
Geometric Mean (annualized)	13.49%	15.10%	12.72%	8.56%
Standard Deviation (monthly)	2.77%	2.87%	2.34%	2.51%
Standard Deviation (annualized)	9.58%	9.93%	8.09%	8.68%
Downside Deviation (monthly)	1.46%	1.41%	1.11%	1.51%
Maximum Drawdown	-9.49%	-8.59%	-6.46%	-8.58%
Stock Market Correlation	0.96	0.94	0.94	0.94
Beta^(*)	1.03	1.06	0.87	1.00
Alpha (annualized)	4.34%	5.49%	4.86%	0.00%
R²	86.23%	85.90%	87.17%	100.00%
Sharpe Ratio	1.34	1.44	1.48	0.96
Sortino Ratio	2.49	2.88	3.08	1.57
Treynor Ratio (%)	12.60	13.55	13.90	8.36
Active Return	4.94%	6.54%	4.16%	N/A
Tracking Error	3.56%	3.77%	3.11%	N/A
Information Ratio	1.38	1.74	1.34	N/A
Skewness	-0.28	-0.11	0.01	-0.45
Excess Kurtosis	0.44	-0.12	-0.05	2.14
Historical Value-at-Risk (5%)	-3.44%	-3.64%	-2.97%	-2.37%
Analytical Value-at-Risk (5%)	-3.36%	-3.40%	-2.73%	-3.40%
Conditional Value-at-Risk (5%)	-4.54%	-4.25%	-3.28%	-4.37%
Upside Capture Ratio (%)	127.74	139.74	114.60	100.00
Downside Capture Ratio (%)	94.33	97.80	79.27	100.00
Safe Withdrawal Rate	57.82%	59.05%	57.31%	53.92%
Perpetual Withdrawal Rate	8.22%	9.50%	7.60%	4.05%
Positive Periods	16 out of 24 (66.67%)	15 out of 24 (62.50%)	16 out of 24 (66.67%)	17 out of 24 (70.83%)
Gain/Loss Ratio	1.35	1.72	1.50	0.88
^* 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 Period	Start	End	Provided Portfolio	Maximum Return at 10.00% Volatility	Maximum Sharpe Ratio Weights	Vanguard Wellesley Income Admiral
COVID-19 Start	Jan 2020	Mar 2020	-9.49%	-8.59%	-6.46%	-8.58%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months	Jun 2020	3 months	6 months	-9.49%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-1.85%
3	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-1.81%
4	Nov 2021	Nov 2021	1 month	Dec 2021	1 month	2 months	-1.58%
5	Jun 2021	Jun 2021	1 month	Jul 2021	1 month	2 months	-0.50%

Drawdowns for Maximum Return at 10.00% Volatility

Drawdowns for Maximum Return at 10.00% Volatility
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months	May 2020	2 months	5 months	-8.59%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-2.83%
3	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-2.16%
4	Nov 2021	Nov 2021	1 month	Dec 2021	1 month	2 months	-1.16%
5	Jun 2021	Jun 2021	1 month	Jul 2021	1 month	2 months	-0.64%
6	Jan 2021	Jan 2021	1 month	Feb 2021	1 month	2 months	-0.10%

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Maximum Sharpe Ratio Weights
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2020	Mar 2020	2 months	May 2020	2 months	4 months	-6.46%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-2.31%
3	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-1.94%
4	Nov 2021	Nov 2021	1 month	Dec 2021	1 month	2 months	-0.83%
5	Jun 2021	Jun 2021	1 month	Jul 2021	1 month	2 months	-0.41%
6	Jan 2021	Jan 2021	1 month	Feb 2021	1 month	2 months	-0.27%

Drawdowns for Vanguard Wellesley Income Admiral

Drawdowns for Vanguard Wellesley Income Admiral
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2020	Mar 2020	2 months	Jul 2020	4 months	6 months	-8.58%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-1.95%
3	Sep 2021	Sep 2021	1 month	Dec 2021	3 months	4 months	-1.93%
4	Jan 2021	Jan 2021	1 month	Mar 2021	2 months	3 months	-1.28%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
FMSDX	Fidelity Multi-Asset Income	17.17%	11.73%	17.80%	16.55%	-10.94%	1.39	2.69	0.96
FFFDX	Fidelity Freedom 2020	11.31%	11.22%	13.76%	8.91%	-12.34%	0.99	1.55	0.97
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	5.29%	6.09%	13.20%	-2.07%	-4.68%	0.83	1.31	0.65
CDC	VictoryShares US EQ Inc Enh Vol Wtd ETF	22.40%	17.23%	33.04%	12.61%	-15.01%	1.25	2.37	0.75
ARBIX	Absolute Convertible Arbitrage Instl	6.07%	3.58%	9.28%	2.95%	-3.10%	1.58	2.48	0.72
FSRRX	Fidelity Strategic Real Return	9.61%	11.17%	15.81%	3.74%	-14.54%	0.85	1.11	0.88
IAU	iShares Gold Trust	9.56%	15.89%	25.03%	-4.00%	-13.79%	0.64	1.14	0.23
RPAR	RPAR Risk Parity ETF	13.32%	10.53%	19.40%	7.56%	-6.48%	1.22	2.29	0.80
FIKFX	Fidelity Freedom Index Income Investor	5.63%	4.40%	8.54%	2.79%	-3.06%	1.20	2.23	0.89

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Expense Ratio
Name	3 Month	Year To Date	1 year	Net	Gross
Fidelity Multi-Asset Income	4.66%	17.80%	17.80%	0.78%	0.78%
Fidelity Freedom 2020	2.57%	8.91%	8.91%	0.58%	0.58%
T. Rowe Price Multi-Strategy Ttl Ret Inv	-3.53%	-2.07%	-2.07%	1.20%	1.48%
VictoryShares US EQ Inc Enh Vol Wtd ETF	9.26%	33.04%	33.04%	0.35%	0.39%
Absolute Convertible Arbitrage Instl	0.70%	2.95%	2.95%	1.51%	1.75%
Fidelity Strategic Real Return	3.34%	15.81%	15.81%	0.70%	0.78%
iShares Gold Trust	4.19%	-4.00%	-4.00%	0.25%	0.25%
RPAR Risk Parity ETF	5.09%	7.56%	7.56%	0.51%	0.53%
Fidelity Freedom Index Income Investor	1.31%	2.79%	2.79%	0.12%	0.12%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	FMSDX	FFFDX	TMSRX	CDC	ARBIX	FSRRX	IAU	RPAR	FIKFX	Provided Portfolio	Maximum Return at 10.00% Volatility	Maximum Sharpe Ratio Weights	Vanguard Wellesley Income Admiral
FMSDX	Fidelity Multi-Asset Income	1.00	0.96	0.67	0.77	0.72	0.87	0.24	0.79	0.85	0.98	0.97	0.95	0.91
FFFDX	Fidelity Freedom 2020	0.96	1.00	0.75	0.66	0.81	0.93	0.26	0.84	0.91	0.95	0.93	0.92	0.94
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	0.67	0.75	1.00	0.27	0.86	0.73	0.34	0.64	0.70	0.69	0.63	0.61	0.66
CDC	VictoryShares US EQ Inc Enh Vol Wtd ETF	0.77	0.66	0.27	1.00	0.24	0.54	0.16	0.42	0.51	0.83	0.84	0.84	0.72
ARBIX	Absolute Convertible Arbitrage Instl	0.72	0.81	0.86	0.24	1.00	0.83	0.22	0.68	0.73	0.69	0.64	0.62	0.68
FSRRX	Fidelity Strategic Real Return	0.87	0.93	0.73	0.54	0.83	1.00	0.24	0.75	0.80	0.86	0.82	0.80	0.86
IAU	iShares Gold Trust	0.24	0.26	0.34	0.16	0.22	0.24	1.00	0.55	0.40	0.34	0.42	0.44	0.32
RPAR	RPAR Risk Parity ETF	0.79	0.84	0.64	0.42	0.68	0.75	0.55	1.00	0.95	0.77	0.81	0.82	0.86
FIKFX	Fidelity Freedom Index Income Investor	0.85	0.91	0.70	0.51	0.73	0.80	0.40	0.95	1.00	0.84	0.85	0.87	0.93

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Provided Portfolio	Maximum Return at 10.00% Volatility	Maximum Sharpe Ratio Weights
FMSDX	Fidelity Multi-Asset Income	$918	$1,302	$791
FFFDX	Fidelity Freedom 2020	$497	$288
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	$202
CDC	VictoryShares US EQ Inc Enh Vol Wtd ETF	$983	$996	$980
ARBIX	Absolute Convertible Arbitrage Instl	$63.60	$129	$128
FSRRX	Fidelity Strategic Real Return	$116
IAU	iShares Gold Trust	$100	$202	$154
RPAR	RPAR Risk Parity ETF		$287	$285
FIKFX	Fidelity Freedom Index Income Investor		$43.10	$369
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
Ticker	Name	Provided Portfolio	Maximum Return at 10.00% Volatility	Maximum Sharpe Ratio Weights
FMSDX	Fidelity Multi-Asset Income	29.87%	39.94%	29.72%
FFFDX	Fidelity Freedom 2020	22.29%	11.96%
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	8.77%
CDC	VictoryShares US EQ Inc Enh Vol Wtd ETF	29.98%	29.07%	35.79%
ARBIX	Absolute Convertible Arbitrage Instl	1.29%	2.31%	2.72%
FSRRX	Fidelity Strategic Real Return	5.01%
IAU	iShares Gold Trust	2.79%	6.77%	6.50%
RPAR	RPAR Risk Parity ETF		8.59%	10.72%
FIKFX	Fidelity Freedom Index Income Investor		1.36%	14.56%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Portfolio Optimization

Portfolio Optimization Overview

Portfolio Optimization Configuration

Portfolio Optimization Results (Jan 2020 - Dec 2021) Save

Provided Portfolio

Maximum Return at 10.00% Volatility

Maximum Sharpe Ratio Weights

Portfolio Performance Summary

Performance Summary

Portfolio Growth

Annual Returns

Trailing Returns

Efficient Frontier Assets

Asset Correlations

Efficient Frontiers

Efficient Frontier Portfolios

Annual Returns

Monthly Returns

Risk and Return Metrics

Drawdowns

Historical Market Stress Periods

Drawdowns for Provided Portfolio

Drawdowns for Maximum Return at 10.00% Volatility

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Vanguard Wellesley Income Admiral

Portfolio Assets

Portfolio Asset Performance

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns