Portfolio Optimization

This portfolio optimizer tool supports the following portfolio optimization strategies:

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

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

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Asset Groups
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Portfolio Optimization Results (Jan 2014 - Dec 2020) Save

Portfolio optimization results with goal to maximize return subject to 6.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 5.06% to 7.89%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Provided Portfolio
Ticker Name Allocation
VTABX Vanguard Total Intl Bd Idx Admiral 15.00%
MERFX Merger Investor 5.00%
COTZX Columbia Thermostat Inst 15.00%
GAVIX KL Allocation Institutional 10.00%
HSTRX Hussman Strategic Total Return 15.00%
FIKFX Fidelity Freedom Index Income Investor 5.00%
VASIX Vanguard LifeStrategy Income Inv 5.00%
VWIAX Vanguard Wellesley Income Admiral 15.00%
PHDG Invesco S&P 500 Downside Hedged ETF 5.00%
ATACX ATAC Rotation Investor 10.00%
Save portfolio »
Maximum Return at 6.00% Volatility
Ticker Name Allocation
VTABX Vanguard Total Intl Bd Idx Admiral 10.54%
MERFX Merger Investor 5.00%
COTZX Columbia Thermostat Inst 20.00%
GAVIX KL Allocation Institutional 5.00%
HSTRX Hussman Strategic Total Return 5.00%
FIKFX Fidelity Freedom Index Income Investor 5.00%
VASIX Vanguard LifeStrategy Income Inv 5.00%
VWIAX Vanguard Wellesley Income Admiral 20.00%
PHDG Invesco S&P 500 Downside Hedged ETF 5.00%
ATACX ATAC Rotation Investor 19.46%
Save portfolio »
Maximum Sharpe Ratio Weights
Ticker Name Allocation
VTABX Vanguard Total Intl Bd Idx Admiral 20.00%
MERFX Merger Investor 19.63%
COTZX Columbia Thermostat Inst 20.00%
GAVIX KL Allocation Institutional 5.00%
HSTRX Hussman Strategic Total Return 6.30%
FIKFX Fidelity Freedom Index Income Investor 5.00%
VASIX Vanguard LifeStrategy Income Inv 9.06%
VWIAX Vanguard Wellesley Income Admiral 5.00%
PHDG Invesco S&P 500 Downside Hedged ETF 5.00%
ATACX ATAC Rotation Investor 5.00%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricProvided PortfolioMaximum Return at 6.00% VolatilityMaximum Sharpe Ratio WeightsVanguard LifeStrategy Cnsrv Gr Inv
Start Balance$10,000$10,000$10,000$10,000
End Balance$15,707$16,626$14,934$15,710
CAGR6.66%7.53%5.90%6.67%
Expected Return6.78%7.72%5.97%6.86%
Stdev4.72%5.96%3.64%6.01%
Best Year18.57%24.36%15.12%15.68%
Worst Year-1.77%-2.51%0.08%-2.95%
Max. Drawdown -4.03% -5.24% -2.76% -8.65%
Sharpe Ratio (ex-ante)1.221.111.370.97
Sharpe Ratio (ex-post)1.221.111.370.97
Sortino Ratio2.592.233.121.56
Active Return-0.00%0.87%-0.77%N/A
Tracking Error3.25%3.68%3.29%N/A
Information Ratio-0.000.24-0.23N/A
US Stock Market Correlation0.710.710.770.93
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 yearFull3 year5 year
Provided Portfolio4.75%18.57%9.17%8.30%6.66%5.92%5.03%
Maximum Return at 6.00% Volatility6.57%24.36%10.69%9.75%7.53%7.60%6.45%
Maximum Sharpe Ratio Weights4.15%15.12%8.59%7.31%5.90%4.48%3.81%
Vanguard LifeStrategy Cnsrv Gr Inv6.55%11.51%7.78%8.03%6.67%7.92%6.47%
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • 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 information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • 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.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Total Intl Bd Idx Admiral (VTABX)4.62%2.86%1.2965.00%20.00%
2Merger Investor (MERFX)3.46%3.01%0.8625.00%20.00%
3Columbia Thermostat Inst (COTZX)8.46%5.31%1.3815.00%20.00%
4KL Allocation Institutional (GAVIX)7.13%7.41%0.8235.00%20.00%
5Hussman Strategic Total Return (HSTRX)5.26%5.75%0.7525.00%20.00%
6Carillon Reams Unconstrained Bond I (SUBFX)3.05%3.55%0.6190.00%20.00%
7Fidelity Freedom Index Income Investor (FIKFX)4.60%3.30%1.1205.00%20.00%
8Vanguard LifeStrategy Income Inv (VASIX)5.51%3.76%1.2125.00%20.00%
9Schwab Monthly Income Max Payout (SWLRX)4.25%3.43%0.9790.00%20.00%
10Vanguard Target Retirement Income Inv (VTINX)5.75%4.74%1.0100.00%20.00%
11Manning&Napier Unconstrained Bond S (EXCPX)3.20%2.82%0.8300.00%20.00%
12Fidelity Asset Manager 20% (FASIX)4.74%4.18%0.9140.00%20.00%
13iShares Core Conservative Allocation ETF (AOK)5.40%5.18%0.8600.00%20.00%
14Vanguard Wellesley Income Admiral (VWIAX)7.23%5.85%1.0585.00%20.00%
15Invesco S&P 500 Downside Hedged ETF (PHDG)5.06%9.29%0.4455.00%20.00%
16ATAC Rotation Investor (ATACX)13.26%17.48%0.6705.00%20.00%
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate.

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerVTABXMERFXCOTZXGAVIXHSTRXSUBFXFIKFXVASIXSWLRXVTINXEXCPXFASIXAOKVWIAXPHDGATACX
Vanguard Total Intl Bd Idx AdmiralVTABX1.000.190.240.240.470.210.420.620.600.400.440.420.400.45-0.220.21
Merger InvestorMERFX0.191.000.490.410.170.440.560.500.480.590.480.590.570.530.330.26
Columbia Thermostat InstCOTZX0.240.491.000.660.470.650.840.780.780.810.630.800.810.770.450.60
KL Allocation InstitutionalGAVIX0.240.410.661.000.310.440.770.700.690.730.460.710.730.670.450.55
Hussman Strategic Total ReturnHSTRX0.470.170.470.311.000.380.440.500.500.380.420.390.380.38-0.040.42
Carillon Reams Unconstrained Bond ISUBFX0.210.440.650.440.381.000.650.600.600.630.650.670.650.610.110.42
Fidelity Freedom Index Income InvestorFIKFX0.420.560.840.770.440.651.000.960.950.980.780.970.970.940.400.59
Vanguard LifeStrategy Income InvVASIX0.620.500.780.700.500.600.961.000.990.950.830.950.950.930.250.56
Schwab Monthly Income Max PayoutSWLRX0.600.480.780.690.500.600.950.991.000.930.820.940.930.920.200.57
Vanguard Target Retirement Income InvVTINX0.400.590.810.730.380.630.980.950.931.000.830.990.990.960.400.53
Manning&Napier Unconstrained Bond SEXCPX0.440.480.630.460.420.650.780.830.820.831.000.870.820.770.110.46
Fidelity Asset Manager 20%FASIX0.420.590.800.710.390.670.970.950.940.990.871.000.980.940.340.54
iShares Core Conservative Allocation ETFAOK0.400.570.810.730.380.650.970.950.930.990.820.981.000.960.390.52
Vanguard Wellesley Income AdmiralVWIAX0.450.530.770.670.380.610.940.930.920.960.770.940.961.000.300.48
Invesco S&P 500 Downside Hedged ETFPHDG-0.220.330.450.45-0.040.110.400.250.200.400.110.340.390.301.000.27
ATAC Rotation InvestorATACX0.210.260.600.550.420.420.590.560.570.530.460.540.520.480.271.00
Based on monthly returns from Jan 2014 to Dec 2020
Efficient Frontier Assets
#VTABXMERFXCOTZXGAVIXHSTRXSUBFXFIKFXVASIXSWLRXVTINXEXCPXFASIXAOKVWIAXPHDGATACXExpected Return*Standard Deviation*Sharpe Ratio*
120.00%20.00%5.00%5.00%5.00%0.06%5.00%5.00%0.00%0.00%19.94%0.00%0.00%5.00%5.00%5.00%5.06%3.19%1.293
220.00%20.00%5.54%5.00%5.00%0.00%5.00%5.00%0.00%0.00%19.46%0.00%0.00%5.00%5.00%5.00%5.08%3.21%1.296
320.00%20.00%6.08%5.00%5.00%0.00%5.00%5.00%0.00%0.00%18.92%0.00%0.00%5.00%5.00%5.00%5.11%3.22%1.300
420.00%20.00%6.62%5.00%5.00%0.00%5.00%5.00%0.00%0.00%18.38%0.00%0.00%5.00%5.00%5.00%5.14%3.23%1.303
520.00%20.00%7.16%5.00%5.00%0.00%5.00%5.00%0.00%0.00%17.84%0.00%0.00%5.00%5.00%5.00%5.17%3.24%1.307
620.00%20.00%7.70%5.00%5.00%0.00%5.00%5.00%0.00%0.00%17.30%0.00%0.00%5.00%5.00%5.00%5.20%3.26%1.310
720.00%20.00%8.24%5.00%5.00%0.00%5.00%5.00%0.00%0.00%16.76%0.00%0.00%5.00%5.00%5.00%5.23%3.27%1.313
820.00%20.00%8.78%5.00%5.00%0.00%5.00%5.00%0.00%0.00%16.22%0.00%0.00%5.00%5.00%5.00%5.25%3.28%1.316
920.00%20.00%9.33%5.00%5.00%0.00%5.00%5.00%0.00%0.00%15.67%0.00%0.00%5.00%5.00%5.00%5.28%3.29%1.319
1020.00%20.00%9.87%5.00%5.00%0.00%5.00%5.00%0.00%0.00%15.13%0.00%0.00%5.00%5.00%5.00%5.31%3.31%1.322
1120.00%20.00%10.41%5.00%5.00%0.00%5.00%5.00%0.00%0.00%14.59%0.00%0.00%5.00%5.00%5.00%5.34%3.32%1.325
1220.00%20.00%10.95%5.00%5.00%0.00%5.00%5.00%0.00%0.00%14.05%0.00%0.00%5.00%5.00%5.00%5.37%3.33%1.328
1320.00%20.00%11.49%5.00%5.00%0.00%5.00%5.00%0.00%0.00%13.51%0.00%0.00%5.00%5.00%5.00%5.40%3.35%1.331
1420.00%20.00%12.03%5.00%5.00%0.00%5.00%5.00%0.00%0.00%12.97%0.00%0.00%5.00%5.00%5.00%5.42%3.36%1.334
1520.00%20.00%12.57%5.00%5.00%0.00%5.00%5.00%0.00%0.00%12.43%0.00%0.00%5.00%5.00%5.00%5.45%3.37%1.336
1620.00%20.00%13.11%5.00%5.00%0.00%5.00%5.00%0.00%0.00%11.89%0.00%0.00%5.00%5.00%5.00%5.48%3.39%1.339
1720.00%20.00%13.65%5.00%5.00%0.00%5.00%5.00%0.00%0.00%11.35%0.00%0.00%5.00%5.00%5.00%5.51%3.40%1.342
1820.00%20.00%14.19%5.00%5.00%0.00%5.00%5.00%0.00%0.00%10.81%0.00%0.00%5.00%5.00%5.00%5.54%3.41%1.344
1920.00%20.00%14.73%5.00%5.00%0.00%5.00%5.00%0.00%0.00%10.27%0.00%0.00%5.00%5.00%5.00%5.57%3.43%1.347
2020.00%20.00%15.28%5.00%5.00%0.00%5.00%5.00%0.00%0.00%9.72%0.00%0.00%5.00%5.00%5.00%5.60%3.44%1.349
2120.00%20.00%15.82%5.00%5.00%0.00%5.00%5.00%0.00%0.00%9.18%0.00%0.00%5.00%5.00%5.00%5.62%3.46%1.351
2220.00%20.00%16.36%5.00%5.00%0.00%5.00%5.00%0.00%0.00%8.64%0.00%0.00%5.00%5.00%5.00%5.65%3.47%1.354
2320.00%20.00%16.90%5.00%5.00%0.00%5.00%5.00%0.00%0.00%8.10%0.00%0.00%5.00%5.00%5.00%5.68%3.48%1.356
2420.00%20.00%17.44%5.00%5.00%0.00%5.00%5.00%0.00%0.00%7.56%0.00%0.00%5.00%5.00%5.00%5.71%3.50%1.358
2520.00%20.00%17.98%5.00%5.00%0.00%5.00%5.00%0.00%0.00%7.02%0.00%0.00%5.00%5.00%5.00%5.74%3.51%1.360
2620.00%20.00%18.52%5.00%5.00%0.00%5.00%5.00%0.00%0.00%6.48%0.00%0.00%5.00%5.00%5.00%5.77%3.53%1.362
2720.00%20.00%19.06%5.00%5.00%0.00%5.00%5.00%0.00%0.00%5.94%0.00%0.00%5.00%5.00%5.00%5.79%3.54%1.364
2820.00%20.00%19.60%5.00%5.00%0.00%5.00%5.00%0.00%0.00%5.40%0.00%0.00%5.00%5.00%5.00%5.82%3.56%1.366
2920.00%20.00%20.00%5.00%5.36%0.00%5.00%5.00%0.00%0.00%4.64%0.00%0.00%5.00%5.00%5.00%5.85%3.57%1.368
3020.00%20.00%20.00%5.00%6.72%0.00%5.00%5.00%0.00%0.00%3.28%0.00%0.00%5.00%5.00%5.00%5.88%3.59%1.370
3120.00%20.00%20.00%5.00%6.82%0.00%5.00%6.13%0.00%0.00%2.05%0.00%0.00%5.00%5.00%5.00%5.91%3.60%1.371
3220.00%20.00%20.00%5.00%6.86%0.00%5.00%7.31%0.00%0.00%0.83%0.00%0.00%5.00%5.00%5.00%5.94%3.62%1.372
3320.00%19.63%20.00%5.00%6.30%0.00%5.00%9.06%0.00%0.00%0.00%0.00%0.00%5.00%5.00%5.00%5.97%3.64%1.373
3420.00%18.27%20.00%5.00%6.26%0.00%5.00%10.48%0.00%0.00%0.00%0.00%0.00%5.00%5.00%5.00%5.99%3.66%1.372
3520.00%16.90%20.00%5.00%6.21%0.00%5.00%11.89%0.00%0.00%0.00%0.00%0.00%5.00%5.00%5.00%6.02%3.68%1.371
3620.00%15.53%20.00%5.00%6.16%0.00%5.00%13.31%0.00%0.00%0.00%0.00%0.00%5.00%5.00%5.00%6.05%3.71%1.370
3720.00%14.16%20.00%5.00%6.11%0.00%5.00%14.72%0.00%0.00%0.00%0.00%0.00%5.00%5.00%5.00%6.08%3.73%1.369
3820.00%12.80%20.00%5.00%6.07%0.00%5.00%16.14%0.00%0.00%0.00%0.00%0.00%5.00%5.00%5.00%6.11%3.75%1.367
3920.00%11.43%20.00%5.00%6.02%0.00%5.00%17.55%0.00%0.00%0.00%0.00%0.00%5.00%5.00%5.00%6.14%3.78%1.366
4020.00%10.06%20.00%5.00%5.97%0.00%5.00%18.97%0.00%0.00%0.00%0.00%0.00%5.00%5.00%5.00%6.17%3.80%1.364
4120.00%8.65%20.00%5.00%6.34%0.00%5.00%20.00%0.00%0.00%0.00%0.00%0.00%5.01%5.00%5.00%6.19%3.83%1.362
4220.00%7.87%20.00%5.00%6.39%0.00%5.00%20.00%0.00%0.00%0.00%0.00%0.00%5.73%5.00%5.00%6.22%3.85%1.360
4320.00%7.10%20.00%5.00%6.45%0.00%5.00%20.00%0.00%0.00%0.00%0.00%0.00%6.46%5.00%5.00%6.25%3.88%1.358
4420.00%6.32%20.00%5.00%6.50%0.00%5.00%20.00%0.00%0.00%0.00%0.00%0.00%7.18%5.00%5.00%6.28%3.90%1.356
4520.00%5.54%20.00%5.00%6.55%0.00%5.00%20.00%0.00%0.00%0.00%0.00%0.00%7.91%5.00%5.00%6.31%3.93%1.354
4620.00%5.00%20.00%5.00%6.35%0.00%5.00%19.76%0.00%0.00%0.00%0.00%0.00%8.89%5.00%5.00%6.34%3.96%1.351
4720.00%5.00%20.00%5.00%6.59%0.00%5.00%17.82%0.00%0.00%0.00%0.00%0.00%10.58%5.00%5.00%6.37%3.98%1.349
4820.00%5.00%20.00%5.00%6.83%0.00%5.00%15.89%0.00%0.00%0.00%0.00%0.00%12.28%5.00%5.00%6.39%4.01%1.347
4920.00%5.00%20.00%5.00%7.07%0.00%5.00%13.96%0.00%0.00%0.00%0.00%0.00%13.97%5.00%5.00%6.42%4.04%1.344
5020.00%5.00%20.00%5.00%7.31%0.00%5.00%12.02%0.00%0.00%0.00%0.00%0.00%15.67%5.00%5.00%6.45%4.07%1.342
5120.00%5.00%20.00%5.00%7.55%0.00%5.00%10.09%0.00%0.00%0.00%0.00%0.00%17.36%5.00%5.00%6.48%4.09%1.339
5220.00%5.00%20.00%5.00%7.79%0.00%5.00%8.16%0.00%0.00%0.00%0.00%0.00%19.05%5.00%5.00%6.51%4.12%1.336
5320.00%5.00%20.00%5.00%7.00%0.00%5.00%7.86%0.00%0.00%0.00%0.00%0.00%20.00%5.00%5.14%6.54%4.15%1.333
5420.00%5.00%20.00%5.00%6.75%0.00%5.00%7.74%0.00%0.00%0.00%0.00%0.00%20.00%5.00%5.51%6.57%4.19%1.328
5520.00%5.00%20.00%5.00%6.51%0.00%5.00%7.61%0.00%0.00%0.00%0.00%0.00%20.00%5.00%5.88%6.59%4.22%1.323
5620.00%5.00%20.00%5.00%6.27%0.00%5.00%7.49%0.00%0.00%0.00%0.00%0.00%20.00%5.00%6.25%6.62%4.26%1.319
5720.00%5.00%20.00%5.00%6.02%0.00%5.00%7.36%0.00%0.00%0.00%0.00%0.00%20.00%5.00%6.62%6.65%4.30%1.314
5820.00%5.00%20.00%5.00%5.78%0.00%5.00%7.23%0.00%0.00%0.00%0.00%0.00%20.00%5.00%6.99%6.68%4.33%1.309
5920.00%5.00%20.00%5.00%5.53%0.00%5.00%7.11%0.00%0.00%0.00%0.00%0.00%20.00%5.00%7.36%6.71%4.37%1.304
6020.00%5.00%20.00%5.00%5.29%0.00%5.00%6.98%0.00%0.00%0.00%0.00%0.00%20.00%5.00%7.73%6.74%4.41%1.299
6120.00%5.00%20.00%5.00%5.04%0.00%5.00%6.86%0.00%0.00%0.00%0.00%0.00%20.00%5.00%8.10%6.77%4.45%1.294
6220.00%5.00%20.00%5.00%5.00%0.00%5.00%6.52%0.00%0.00%0.00%0.00%0.00%20.00%5.00%8.48%6.80%4.49%1.289
6320.00%5.00%20.00%5.00%5.00%0.00%5.00%6.15%0.00%0.00%0.00%0.00%0.00%20.00%5.00%8.85%6.82%4.52%1.283
6420.00%5.00%20.00%5.00%5.00%0.00%5.00%5.77%0.00%0.00%0.00%0.00%0.00%20.00%5.00%9.23%6.85%4.56%1.278
6520.00%5.00%20.00%5.00%5.00%0.00%5.00%5.39%0.00%0.00%0.00%0.00%0.00%20.00%5.00%9.61%6.88%4.60%1.273
6620.00%5.00%20.00%5.00%5.00%0.00%5.00%5.01%0.00%0.00%0.00%0.00%0.00%20.00%5.00%9.99%6.91%4.64%1.268
6719.67%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%10.33%6.94%4.69%1.262
6819.33%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%10.67%6.97%4.73%1.256
6918.99%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%11.01%7.00%4.78%1.250
7018.66%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%11.34%7.03%4.82%1.244
7118.32%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%11.68%7.05%4.87%1.238
7217.98%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%12.02%7.08%4.91%1.232
7317.64%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%12.36%7.11%4.96%1.226
7417.30%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%12.70%7.14%5.00%1.220
7516.96%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%13.04%7.17%5.05%1.215
7616.63%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%13.37%7.20%5.09%1.209
7716.29%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%13.71%7.23%5.14%1.203
7815.95%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%14.05%7.26%5.19%1.198
7915.61%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%14.39%7.28%5.23%1.192
8015.27%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%14.73%7.31%5.28%1.187
8114.93%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%15.07%7.34%5.33%1.181
8214.60%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%15.40%7.37%5.38%1.176
8314.26%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%15.74%7.40%5.42%1.170
8413.92%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%16.08%7.43%5.47%1.165
8513.58%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%16.42%7.46%5.52%1.160
8613.24%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%16.76%7.49%5.57%1.155
8712.91%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%17.09%7.52%5.62%1.150
8812.57%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%17.43%7.54%5.66%1.144
8912.23%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%17.77%7.57%5.71%1.139
9011.89%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%18.11%7.60%5.76%1.134
9111.55%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%18.45%7.63%5.81%1.129
9211.21%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%18.79%7.66%5.86%1.125
9310.88%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%19.12%7.69%5.91%1.120
9410.54%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%19.46%7.72%5.96%1.115
9510.20%5.00%20.00%5.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%19.80%7.75%6.01%1.110
969.53%5.00%20.00%5.47%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%20.00%7.78%6.06%1.105
978.40%5.00%20.00%6.60%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%20.00%7.80%6.11%1.101
987.27%5.00%20.00%7.73%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%20.00%7.83%6.16%1.096
996.13%5.00%20.00%8.87%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%20.00%7.86%6.22%1.091
1005.00%5.00%20.00%10.00%5.00%0.00%5.00%5.00%0.00%0.00%0.00%0.00%0.00%20.00%5.00%20.00%7.89%6.27%1.086
*Ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate.
Annual returns for the configured portfolios
YearInflationProvided PortfolioMaximum Return at 6.00% VolatilityMaximum Sharpe Ratio WeightsVanguard LifeStrategy Cnsrv Gr InvVanguard Total Intl Bd Idx Admiral (VTABX)Merger Investor (MERFX)Columbia Thermostat Inst (COTZX)KL Allocation Institutional (GAVIX)Hussman Strategic Total Return (HSTRX)Fidelity Freedom Index Income Investor (FIKFX)Vanguard LifeStrategy Income Inv (VASIX)Vanguard Wellesley Income Admiral (VWIAX)Invesco S&P 500 Downside Hedged ETF (PHDG)ATAC Rotation Investor (ATACX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20140.76%4.76%$10,4763.73%$10,3734.84%$10,4846.95%$10,6958.82%1.43%5.57%5.86%3.78%3.91%6.76%8.15%5.25%-6.54%
20150.73%0.62%$10,5410.66%$10,4420.08%$10,493-0.17%$10,6771.06%-0.82%0.33%6.23%-1.01%-0.33%0.22%1.35%-9.88%1.73%
20162.07%5.44%$11,1155.88%$11,0564.44%$10,9595.96%$11,3144.66%2.61%4.72%1.00%8.03%3.75%4.58%8.16%-0.58%8.57%
20172.11%8.62%$12,07310.88%$12,2596.43%$11,66310.92%$12,5492.39%2.39%5.52%16.14%1.21%6.66%6.98%10.26%15.89%26.94%
20181.91%-1.77%$11,860-2.51%$11,9510.69%$11,744-2.95%$12,1792.93%7.68%0.12%-12.29%1.48%-0.77%-1.05%-2.49%-2.43%-11.45%
20192.29%11.70%$13,24711.87%$13,36910.46%$12,97315.68%$14,0897.88%5.96%15.14%13.60%11.42%10.59%12.05%16.47%8.22%7.73%
20201.36%18.57%$15,70724.36%$16,62615.12%$14,93411.51%$15,7104.54%4.87%29.63%20.94%11.45%8.54%9.13%8.54%18.83%72.51%
Monthly returns for the configured portfolios
YearMonthProvided PortfolioMaximum Return at 6.00% VolatilityMaximum Sharpe Ratio WeightsVanguard LifeStrategy Cnsrv Gr InvVanguard Total Intl Bd Idx Admiral (VTABX)Merger Investor (MERFX)Columbia Thermostat Inst (COTZX)KL Allocation Institutional (GAVIX)Hussman Strategic Total Return (HSTRX)Fidelity Freedom Index Income Investor (FIKFX)Vanguard LifeStrategy Income Inv (VASIX)Vanguard Wellesley Income Admiral (VWIAX)Invesco S&P 500 Downside Hedged ETF (PHDG)ATAC Rotation Investor (ATACX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
201410.50%$10,0500.61%$10,0610.31%$10,031-0.50%$9,9501.48%-0.56%0.28%-2.02%2.28%-0.09%0.56%-0.35%-3.19%3.18%
201421.34%$10,1860.94%$10,1561.27%$10,1582.23%$10,1720.42%1.07%1.66%4.74%0.89%1.42%1.32%2.07%3.63%-2.58%
201430.11%$10,1960.23%$10,1790.10%$10,1680.18%$10,1900.28%0.00%0.00%-0.95%-0.26%-0.01%0.13%0.93%0.77%0.15%
201440.51%$10,2480.70%$10,2500.41%$10,2100.60%$10,2510.63%0.44%0.34%-0.96%0.80%0.52%0.62%1.19%-2.13%1.86%
201450.99%$10,3500.90%$10,3431.03%$10,3141.47%$10,4020.81%1.11%1.02%1.64%0.79%0.96%1.23%1.23%1.82%-0.04%
201461.31%$10,4861.44%$10,4910.99%$10,4171.02%$10,5080.56%0.80%0.72%1.47%2.10%0.53%0.58%0.78%1.44%3.76%
20147-0.99%$10,382-1.51%$10,333-0.59%$10,356-0.75%$10,4290.58%-0.49%-0.67%-1.16%-0.60%-0.54%-0.34%-1.02%0.14%-5.56%
201481.52%$10,5401.64%$10,5031.33%$10,4941.99%$10,6371.29%0.85%1.28%1.75%1.21%1.12%1.56%2.01%1.44%2.31%
20149-1.93%$10,337-2.31%$10,260-1.33%$10,354-1.57%$10,470-0.04%-1.21%-0.93%-2.15%-3.19%-1.06%-1.11%-1.24%-0.03%-7.36%
2014100.79%$10,4180.99%$10,3620.60%$10,4161.34%$10,6100.58%-1.22%1.55%2.71%-1.51%0.77%1.15%1.16%2.57%0.86%
2014111.03%$10,5260.97%$10,4630.84%$10,5041.11%$10,7281.07%0.43%0.33%1.86%0.99%0.61%0.94%1.30%1.86%1.01%
201412-0.47%$10,476-0.86%$10,373-0.19%$10,484-0.31%$10,6950.84%0.24%-0.10%-0.97%0.36%-0.37%-0.05%-0.14%-2.93%-3.65%
201512.15%$10,7012.40%$10,6221.33%$10,6240.54%$10,7531.83%-0.32%0.75%1.09%4.81%0.53%1.41%0.53%-1.69%8.52%
201520.42%$10,7460.30%$10,6550.67%$10,6951.67%$10,933-0.35%1.80%0.74%3.60%-1.44%0.90%0.33%0.84%2.52%-1.85%
20153-0.16%$10,7280.24%$10,680-0.07%$10,688-0.15%$10,9170.67%-0.06%0.00%0.14%-2.09%-0.18%0.18%-0.11%-3.83%2.49%
201540.21%$10,7500.13%$10,694-0.01%$10,6870.43%$10,963-0.81%0.00%0.27%-0.21%1.67%0.35%0.00%0.53%-0.78%0.00%
20155-0.22%$10,727-0.11%$10,682-0.10%$10,6770.00%$10,963-0.70%0.50%0.20%-0.14%-0.69%-0.06%-0.26%-0.13%-0.19%-0.04%
20156-1.63%$10,552-2.00%$10,469-1.40%$10,527-1.49%$10,800-1.44%-1.19%-0.73%-0.63%-1.13%-0.92%-1.27%-2.03%-2.68%-4.64%
201570.47%$10,6020.86%$10,5580.44%$10,5740.87%$10,8941.24%-0.19%0.34%2.66%-2.92%0.42%0.88%1.23%-1.20%2.20%
20158-1.28%$10,466-1.30%$10,421-1.25%$10,442-2.80%$10,589-0.41%-1.21%-1.44%-4.16%0.64%-1.55%-1.61%-2.18%-2.82%0.00%
201590.00%$10,4660.50%$10,473-0.40%$10,400-0.83%$10,5020.59%-1.35%-1.18%-2.07%0.09%-0.55%-0.05%0.16%-2.90%5.03%
2015101.79%$10,6541.45%$10,6241.68%$10,5752.91%$10,8080.54%1.50%2.60%4.95%1.18%1.70%1.57%3.39%3.58%-2.73%
2015110.03%$10,6570.17%$10,643-0.03%$10,572-0.11%$10,7960.26%-0.39%-0.21%1.39%-1.34%-0.18%-0.13%0.00%0.36%1.04%
201512-1.09%$10,541-1.89%$10,442-0.75%$10,493-1.10%$10,677-0.32%0.14%-0.96%-0.23%0.45%-0.73%-0.77%-0.79%-0.47%-7.32%
20161-1.15%$10,420-2.22%$10,210-0.84%$10,405-1.35%$10,5331.58%-1.05%-1.42%-2.74%1.90%-0.71%0.07%-0.19%-2.96%-9.21%
201620.95%$10,5190.79%$10,2910.70%$10,4780.17%$10,5511.08%0.40%0.14%-0.45%3.28%0.27%0.48%0.42%0.42%1.78%
201633.37%$10,8744.41%$10,7452.65%$10,7563.48%$10,9180.75%1.64%3.16%3.95%1.37%2.14%2.19%3.55%4.26%11.37%
201640.95%$10,9770.72%$10,8230.36%$10,7950.72%$10,997-0.17%-0.91%0.90%0.29%4.07%0.45%0.47%0.91%-0.72%1.00%
201650.10%$10,989-0.13%$10,8080.42%$10,8410.33%$11,0330.70%1.17%0.48%1.93%-1.06%0.16%0.27%0.57%0.16%-2.81%
201661.44%$11,1471.45%$10,9650.86%$10,9341.08%$11,1511.84%-0.32%0.42%2.18%2.43%0.88%1.47%2.19%-4.73%3.29%
201671.19%$11,2791.22%$11,0991.04%$11,0482.11%$11,3870.90%0.32%1.26%2.34%0.56%1.12%1.45%1.41%1.44%1.17%
20168-0.21%$11,2550.08%$11,107-0.04%$11,0430.11%$11,3990.01%0.13%0.21%-1.07%-1.52%0.00%0.00%-0.02%0.04%0.82%
201690.10%$11,267-0.04%$11,1030.13%$11,0570.26%$11,429-0.03%0.13%0.28%1.29%0.12%0.26%0.08%-0.29%0.19%-0.71%
201610-1.65%$11,080-1.78%$10,905-1.22%$10,922-1.43%$11,265-1.28%-0.26%-0.75%-3.08%-1.54%-0.79%-1.17%-1.22%-1.93%-4.19%
201611-0.50%$11,0250.22%$10,929-0.34%$10,885-0.54%$11,205-1.24%0.71%-0.41%-2.42%-2.23%-0.53%-1.39%-0.75%2.01%3.98%
2016120.81%$11,1151.16%$11,0560.68%$10,9590.97%$11,3140.47%0.64%0.43%-0.93%0.59%0.48%0.64%1.37%1.56%3.11%
201711.10%$11,2381.45%$11,2160.63%$11,0281.03%$11,430-0.89%0.32%0.56%3.18%0.84%0.79%0.47%0.29%1.13%5.31%
201721.31%$11,3841.71%$11,4081.07%$11,1461.56%$11,6080.97%0.32%0.76%0.57%0.08%0.90%1.14%1.94%3.92%3.73%
20173-0.00%$11,384-0.19%$11,3870.05%$11,1510.45%$11,661-0.10%0.13%0.21%0.71%0.25%0.25%0.22%-0.03%-0.12%-1.47%
201740.65%$11,4580.75%$11,4720.66%$11,2251.00%$11,7780.60%0.70%0.68%0.99%0.08%0.62%0.86%0.70%0.08%1.25%
201750.43%$11,5070.32%$11,5090.55%$11,2871.10%$11,9070.45%0.50%0.88%0.21%0.17%0.62%0.85%1.17%1.75%-1.77%
201760.07%$11,5150.42%$11,557-0.00%$11,2860.20%$11,931-0.42%0.13%0.09%0.00%-0.91%0.17%0.00%0.39%-0.99%2.31%
201771.13%$11,6451.13%$11,6870.81%$11,3771.25%$12,0800.23%0.13%0.75%2.59%1.25%0.79%0.78%0.88%2.61%1.89%
201780.88%$11,7470.97%$11,8010.65%$11,4510.67%$12,1600.92%0.00%0.41%1.30%0.91%0.52%0.78%0.55%0.19%2.54%
201790.64%$11,8231.38%$11,9640.37%$11,4940.58%$12,230-0.50%0.19%0.27%0.47%-1.28%0.28%0.08%0.84%1.54%5.91%
2017100.76%$11,9130.81%$12,0610.68%$11,5720.97%$12,3480.73%0.56%0.34%2.55%-0.41%0.50%0.58%0.93%1.56%1.11%
2017110.26%$11,9440.29%$12,0960.05%$11,5780.86%$12,4540.36%-1.30%0.13%-0.33%-0.08%0.52%0.45%1.07%2.59%-0.45%
2017121.08%$12,0731.35%$12,2590.74%$11,6630.76%$12,5490.03%0.72%0.30%2.89%0.34%0.52%0.55%1.08%0.69%4.03%
201811.91%$12,3032.74%$12,5951.34%$11,8201.60%$12,751-0.46%1.57%0.00%3.95%0.08%0.84%0.32%0.57%5.94%10.51%
20182-2.21%$12,032-3.14%$12,199-0.80%$11,725-2.02%$12,4930.31%1.79%-0.62%-4.37%-1.50%-1.42%-1.35%-2.73%2.91%-11.87%
201830.01%$12,032-0.01%$12,198-0.08%$11,716-0.20%$12,4671.07%-0.91%0.42%-1.06%0.98%0.03%0.26%-0.27%-5.05%0.67%
20184-0.49%$11,974-0.61%$12,123-0.38%$11,671-0.10%$12,455-0.11%-0.12%-0.49%0.13%-0.59%-0.20%-0.33%-0.49%-1.56%-1.40%
201851.26%$12,1242.03%$12,3691.13%$11,8020.66%$12,5370.04%1.66%1.05%-0.40%0.34%0.64%0.59%0.67%1.91%7.43%
201860.04%$12,1290.23%$12,3980.37%$11,847-0.05%$12,5300.46%1.69%0.23%-1.81%-0.19%-0.04%0.04%0.16%-0.87%0.84%
201870.14%$12,1460.13%$12,4140.01%$11,8471.22%$12,683-0.05%-1.30%0.56%-0.21%-0.93%0.66%0.59%2.06%3.29%-2.52%
201880.12%$12,1600.45%$12,4690.35%$11,8890.65%$12,7650.09%0.30%0.90%-2.33%-0.94%0.78%0.52%0.56%2.53%0.52%
20189-0.17%$12,139-0.24%$12,440-0.04%$11,884-0.18%$12,742-0.27%0.90%-0.48%0.35%-0.25%-0.41%-0.30%-0.21%0.37%-0.55%
201810-2.73%$11,807-3.94%$11,950-1.87%$11,662-3.41%$12,3080.27%-0.30%-1.73%-5.31%0.69%-1.88%-1.95%-2.28%-5.75%-12.52%
2018110.29%$11,841-0.13%$11,9350.58%$11,7290.98%$12,4290.46%1.67%0.70%0.22%0.94%0.71%0.73%1.65%-0.39%-4.32%
2018120.15%$11,8600.13%$11,9510.13%$11,744-2.02%$12,1791.09%0.55%-0.39%-1.88%2.89%-0.42%-0.15%-2.08%-5.02%3.66%
201913.23%$12,2434.16%$12,4482.47%$12,0353.86%$12,6481.11%0.67%3.44%3.04%2.07%2.26%2.42%3.23%2.48%10.61%
201920.37%$12,2890.12%$12,4630.54%$12,0991.08%$12,7850.17%0.73%0.92%1.71%-0.49%0.47%0.53%1.52%2.98%-3.53%
201930.98%$12,4090.36%$12,5081.12%$12,2351.69%$13,0011.78%0.66%1.54%1.38%1.95%1.52%1.85%1.87%0.69%-4.69%
201940.55%$12,4781.00%$12,6330.52%$12,2991.36%$13,1780.09%0.30%0.62%0.08%-1.20%0.72%0.71%1.10%2.15%2.62%
20195-0.05%$12,471-0.17%$12,611-0.25%$12,268-1.49%$12,9811.17%-0.83%-0.82%0.68%0.81%-0.09%0.06%-0.63%-5.51%1.22%
201963.16%$12,8653.46%$13,0472.58%$12,5853.36%$13,4171.65%0.90%3.59%2.39%3.90%2.03%2.27%3.15%4.74%5.78%
201970.20%$12,890-0.10%$13,0340.58%$12,6570.39%$13,4701.36%0.89%0.74%-0.22%0.00%0.21%0.50%0.46%1.53%-3.24%
201981.78%$13,1201.55%$13,2361.32%$12,8240.73%$13,5692.07%0.41%0.94%3.66%3.12%1.26%1.63%1.68%-3.23%2.40%
20199-0.55%$13,048-0.47%$13,174-0.22%$12,7950.51%$13,639-0.47%0.41%0.27%-0.92%-1.98%0.09%0.03%0.63%-0.15%-2.44%
2019100.29%$13,0850.15%$13,1940.22%$12,8231.02%$13,778-0.55%0.47%0.99%0.36%1.55%0.59%0.50%0.64%-2.95%-0.72%
2019110.35%$13,1310.49%$13,2580.50%$12,8871.01%$13,917-0.30%0.47%1.31%0.28%-0.76%0.55%0.49%0.60%3.12%-0.36%
2019120.88%$13,2470.84%$13,3690.66%$12,9731.23%$14,089-0.43%0.75%0.73%0.49%2.08%0.55%0.48%1.15%2.61%0.82%
202012.06%$13,5202.70%$13,7301.58%$13,1780.71%$14,1891.98%0.41%1.21%2.33%0.90%1.01%1.36%1.28%0.57%8.54%
202020.13%$13,5370.58%$13,8100.16%$13,200-2.22%$13,8740.68%-0.29%0.40%-0.88%-0.22%-0.33%-0.37%-2.45%-0.82%5.48%
20203-1.47%$13,338-1.64%$13,584-1.50%$13,001-6.58%$12,962-2.46%-2.50%0.07%-0.07%0.02%-2.74%-3.96%-6.29%5.20%0.35%
202046.22%$14,1687.65%$14,6234.91%$13,6395.40%$13,6611.54%2.21%8.66%5.27%6.45%3.04%3.51%5.71%2.29%17.85%
202052.10%$14,4652.59%$15,0011.54%$13,8492.32%$13,9780.17%0.06%2.80%3.60%1.06%1.22%1.36%2.13%2.24%5.69%
202060.80%$14,5800.72%$15,1100.75%$13,9531.70%$14,2160.47%0.06%1.43%0.75%1.21%0.97%1.18%0.47%1.30%0.12%
202073.27%$15,0574.14%$15,7362.55%$14,3092.85%$14,6211.03%1.11%3.36%3.45%2.34%1.86%2.12%2.81%3.39%10.69%
202080.86%$15,1870.96%$15,8870.97%$14,4471.80%$14,885-0.74%0.35%2.80%0.98%0.07%0.73%0.47%0.21%7.18%-0.25%
20209-1.26%$14,995-1.80%$15,601-0.74%$14,340-0.94%$14,7450.81%0.29%-1.28%-0.91%-1.17%-0.59%-0.35%-0.68%-3.90%-5.97%
202010-0.63%$14,900-0.73%$15,488-0.39%$14,284-1.06%$14,5890.42%0.46%-1.18%-1.05%-0.41%-0.82%-0.65%-1.28%-1.24%-0.49%
2020112.94%$15,3383.81%$16,0782.65%$14,6625.44%$15,3830.25%1.65%6.09%2.90%0.21%3.00%3.11%5.73%-1.20%4.83%
2020122.40%$15,7073.41%$16,6261.86%$14,9342.13%$15,7100.36%1.05%2.32%3.02%0.64%1.02%1.21%1.19%2.87%11.18%
Portfolio return and risk metrics
MetricProvided PortfolioMaximum Return at 6.00% VolatilityMaximum Sharpe Ratio WeightsVanguard LifeStrategy Cnsrv Gr Inv
Arithmetic Mean (monthly)0.55%0.62%0.48%0.55%
Arithmetic Mean (annualized)6.78%7.72%5.97%6.86%
Geometric Mean (monthly)0.54%0.61%0.48%0.54%
Geometric Mean (annualized)6.66%7.53%5.90%6.67%
Volatility (monthly)1.36%1.72%1.05%1.74%
Volatility (annualized)4.72%5.96%3.64%6.01%
Downside Deviation (monthly)0.62%0.83%0.44%1.05%
Max. Drawdown-4.03%-5.24%-2.76%-8.65%
US Market Correlation0.710.710.770.93
Beta(*)0.660.800.531.00
Alpha (annualized)2.17%2.11%2.26%-0.00%
R271.17%65.71%77.61%100.00%
Sharpe Ratio1.221.111.370.97
Sortino Ratio2.592.233.121.56
Treynor Ratio (%)8.698.279.375.84
Calmar Ratio2.272.044.500.90
Active Return-0.00%0.87%-0.77%N/A
Tracking Error3.25%3.68%3.29%N/A
Information Ratio-0.000.24-0.23N/A
Skewness0.820.750.91-0.49
Excess Kurtosis3.073.183.203.61
Historical Value-at-Risk (5%)-1.61%-1.98%-1.24%-2.02%
Analytical Value-at-Risk (5%)-1.68%-2.19%-1.23%-2.30%
Conditional Value-at-Risk (5%)-2.03%-2.72%-1.47%-3.40%
Upside Capture Ratio (%)81.0294.4966.99100.00
Downside Capture Ratio (%)57.5371.1140.91100.00
Safe Withdrawal Rate16.17%16.28%15.88%16.58%
Perpetual Withdrawal Rate4.75%5.51%4.06%4.75%
Positive Periods62 out of 84 (73.81%)60 out of 84 (71.43%)58 out of 84 (69.05%)58 out of 84 (69.05%)
Gain/Loss Ratio1.141.161.681.04
* Vanguard LifeStrategy Cnsrv Gr Inv is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndProvided PortfolioMaximum Return at 6.00% VolatilityMaximum Sharpe Ratio WeightsVanguard LifeStrategy Cnsrv Gr Inv
COVID-19 StartJan 2020Mar 2020-1.47%-1.64%-1.50%-8.65%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Oct 20189 monthsMar 20195 months1 year 2 months-4.03%
2May 2015Jan 20169 monthsMar 20162 months11 months-3.07%
3Aug 2016Nov 20164 monthsFeb 20173 months7 months-2.25%
4Sep 2014Sep 20141 monthJan 20154 months5 months-1.93%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-1.89%
6Mar 2020Mar 20201 monthApr 20201 month2 months-1.47%
7Jul 2014Jul 20141 monthAug 20141 month2 months-0.99%
8Sep 2019Sep 20191 monthNov 20192 months3 months-0.55%
9Mar 2015Mar 20151 monthApr 20151 month2 months-0.16%
10May 2019May 20191 monthJun 20191 month2 months-0.05%
Worst 10 drawdowns included above

Drawdowns for Maximum Return at 6.00% Volatility

Drawdowns for Maximum Return at 6.00% Volatility (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Nov 201810 monthsApr 20195 months1 year 3 months-5.24%
2May 2015Jan 20169 monthsMar 20162 months11 months-4.53%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-2.51%
4Sep 2014Sep 20141 monthJan 20154 months5 months-2.31%
5Sep 2016Oct 20162 monthsJan 20173 months5 months-1.82%
6Mar 2020Mar 20201 monthApr 20201 month2 months-1.64%
7Jul 2014Jul 20141 monthAug 20141 month2 months-1.51%
8Sep 2019Sep 20191 monthNov 20192 months3 months-0.47%
9Mar 2017Mar 20171 monthApr 20171 month2 months-0.19%
10May 2019May 20191 monthJun 20191 month2 months-0.17%
Worst 10 drawdowns included above

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Maximum Sharpe Ratio Weights (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-2.76%
2Sep 2018Oct 20182 monthsJan 20193 months5 months-1.91%
3Oct 2016Nov 20162 monthsFeb 20173 months5 months-1.56%
4Mar 2020Mar 20201 monthApr 20201 month2 months-1.50%
5Sep 2014Sep 20141 monthNov 20142 months3 months-1.33%
6Feb 2018Apr 20183 monthsJun 20182 months5 months-1.26%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-1.13%
8Jul 2014Jul 20141 monthAug 20141 month2 months-0.59%
9May 2019May 20191 monthJun 20191 month2 months-0.25%
10Sep 2019Sep 20191 monthNov 20192 months3 months-0.22%
Worst 10 drawdowns included above

Drawdowns for Vanguard LifeStrategy Cnsrv Gr Inv

Drawdowns for Vanguard LifeStrategy Cnsrv Gr Inv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-8.65%
2Sep 2018Dec 20184 monthsFeb 20192 months6 months-4.59%
3Jun 2015Sep 20154 monthsApr 20167 months11 months-4.21%
4Feb 2018Apr 20183 monthsAug 20184 months7 months-2.32%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-1.99%
6Oct 2016Nov 20162 monthsJan 20172 months4 months-1.97%
7Sep 2014Sep 20141 monthNov 20142 months3 months-1.57%
8May 2019May 20191 monthJun 20191 month2 months-1.49%
9Jul 2014Jul 20141 monthAug 20141 month2 months-0.75%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-0.50%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTABXVanguard Total Intl Bd Idx Admiral4.58%2.86%8.82%1.06%-2.94%1.302.340.09
MERFXMerger Investor3.41%3.01%7.68%-0.82%-3.89%0.871.390.61
COTZXColumbia Thermostat Inst8.31%5.31%29.63%0.12%-3.01%1.384.490.76
GAVIXKL Allocation Institutional6.85%7.41%20.94%-12.29%-15.62%0.821.400.64
HSTRXHussman Strategic Total Return5.09%5.75%11.45%-1.01%-6.49%0.751.460.13
FIKFXFidelity Freedom Index Income Investor4.55%3.30%10.59%-0.77%-3.06%1.121.980.85
VASIXVanguard LifeStrategy Income Inv5.43%3.76%12.05%-1.05%-4.31%1.212.060.75
VWIAXVanguard Wellesley Income Admiral7.05%5.85%16.47%-2.49%-8.58%1.051.780.86
PHDGInvesco S&P 500 Downside Hedged ETF4.61%9.29%18.83%-9.88%-16.04%0.440.660.57
ATACXATAC Rotation Investor11.60%17.48%72.51%-11.45%-22.70%0.671.140.43

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTABXMERFXCOTZXGAVIXHSTRXFIKFXVASIXVWIAXPHDGATACXProvided PortfolioMaximum Return at 6.00% VolatilityMaximum Sharpe Ratio WeightsVanguard LifeStrategy Cnsrv Gr Inv
VTABXVanguard Total Intl Bd Idx Admiral1.000.190.240.240.470.420.620.45-0.220.210.440.360.470.34
MERFXMerger Investor0.191.000.490.410.170.560.500.530.330.260.490.470.610.59
COTZXColumbia Thermostat Inst0.240.491.000.660.470.840.780.770.450.600.860.840.900.81
GAVIXKL Allocation Institutional0.240.410.661.000.310.770.700.670.450.550.790.740.770.73
HSTRXHussman Strategic Total Return0.470.170.470.311.000.440.500.38-0.040.420.610.520.560.33
FIKFXFidelity Freedom Index Income Investor0.420.560.840.770.441.000.960.940.400.590.900.870.930.97
VASIXVanguard LifeStrategy Income Inv0.620.500.780.700.500.961.000.930.250.560.880.830.910.93
VWIAXVanguard Wellesley Income Admiral0.450.530.770.670.380.940.931.000.300.480.830.780.850.96
PHDGInvesco S&P 500 Downside Hedged ETF-0.220.330.450.45-0.040.400.250.301.000.270.410.410.450.43
ATACXATAC Rotation Investor0.210.260.600.550.420.590.560.480.271.000.820.900.740.52

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameProvided PortfolioMaximum Return at 6.00% VolatilityMaximum Sharpe Ratio Weights
VTABXVanguard Total Intl Bd Idx Admiral4.00%1.81%7.33%
MERFXMerger Investor1.57%1.18%9.94%
COTZXColumbia Thermostat Inst14.59%15.03%26.23%
GAVIXKL Allocation Institutional12.34%4.61%7.89%
HSTRXHussman Strategic Total Return11.20%2.49%5.58%
FIKFXFidelity Freedom Index Income Investor3.16%2.39%4.21%
VASIXVanguard LifeStrategy Income Inv3.52%2.62%8.50%
VWIAXVanguard Wellesley Income Admiral15.33%15.39%6.84%
PHDGInvesco S&P 500 Downside Hedged ETF3.98%3.20%5.72%
ATACXATAC Rotation Investor30.31%51.29%17.76%

Annual Asset Returns

Rolling returns summary
Roll PeriodProvided PortfolioMaximum Return at 6.00% VolatilityMaximum Sharpe Ratio WeightsVanguard LifeStrategy Cnsrv Gr Inv
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year5.93%18.57%-2.62%6.66%24.36%-3.88%5.23%15.12%-2.06%5.62%15.68%-3.49%
3 years5.24%9.17%3.17%5.99%10.69%3.28%4.71%8.59%2.71%5.61%7.78%3.59%
5 years5.31%8.30%3.47%5.88%9.75%3.63%4.78%7.31%3.27%5.45%8.03%3.49%