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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Portfolio Optimization Results (Dec 2018 - Dec 2020) Save

Portfolio optimization results with goal to maximize return subject to 13.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 9.75% to 19.94%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Provided Portfolio
Ticker Name Allocation
VFISX Vanguard Short-Term Treasury Inv 8.00%
VBINX Vanguard Balanced Index Inv 8.00%
VFINX Vanguard 500 Index Investor 8.00%
COTZX Columbia Thermostat Inst 8.00%
HSTRX Hussman Strategic Total Return 8.00%
GAVAX KL Allocation Advisor 8.00%
LSWWX Loomis Sayles Global Allocation Y 8.00%
FPACX FPA Crescent 8.00%
TAIL Cambria Tail Risk ETF 3.00%
DRSK Aptus Defined Risk ETF 3.00%
HNDL Strategy Shares Nasdaq 7 Handl ETF 3.00%
FMSDX Fidelity Multi-Asset Income 8.00%
SWAN Amplify BlackSwan Gr&Trsry Cor ETF 3.00%
ATACX ATAC Rotation Investor 3.00%
BTAL AGFiQ US Market Neutral Anti-Beta 3.00%
PHDG Invesco S&P 500 Downside Hedged ETF 2.00%
TMSRX T. Rowe Price Multi-Strategy Ttl Ret Inv 8.00%
Save portfolio »
Maximum Return at 13.00% Volatility
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 20.00%
COTZX Columbia Thermostat Inst 20.00%
GAVAX KL Allocation Advisor 10.46%
LSWWX Loomis Sayles Global Allocation Y 19.54%
FMSDX Fidelity Multi-Asset Income 20.00%
SWAN Amplify BlackSwan Gr&Trsry Cor ETF 5.00%
ATACX ATAC Rotation Investor 5.00%
Save portfolio »
Maximum Sharpe Ratio Weights
Ticker Name Allocation
VFISX Vanguard Short-Term Treasury Inv 20.00%
COTZX Columbia Thermostat Inst 20.00%
HSTRX Hussman Strategic Total Return 5.92%
GAVAX KL Allocation Advisor 14.46%
TAIL Cambria Tail Risk ETF 5.00%
SWAN Amplify BlackSwan Gr&Trsry Cor ETF 5.00%
BTAL AGFiQ US Market Neutral Anti-Beta 4.62%
PHDG Invesco S&P 500 Downside Hedged ETF 5.00%
TMSRX T. Rowe Price Multi-Strategy Ttl Ret Inv 20.00%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricProvided PortfolioMaximum Return at 13.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
Start Balance$10,000$10,000$10,000$10,000
End Balance$13,160$14,370$12,447$13,448
Annualized Return (CAGR)14.09%19.01%11.08%15.28%
Expected Return14.44%19.84%11.14%16.25%
Standard Deviation8.08%12.20%3.42%13.28%
Best Year16.37%22.39%14.34%21.67%
Worst Year-1.93%-3.75%0.27%-4.93%
Max. Drawdown -5.72% -8.77% -1.33% -12.34%
Sharpe Ratio (ex-ante)1.521.392.721.04
Sharpe Ratio (ex-post)1.501.382.661.04
Sortino Ratio3.102.7710.771.70
Active Return-1.19%3.73%-4.20%N/A
Tracking Error5.74%2.55%11.55%N/A
Information Ratio-0.211.46-0.36N/A
US Stock Market Correlation0.950.970.550.99
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized Return
3 MonthYear To Date1 yearFull
Provided Portfolio6.02%16.37%16.37%14.09%
Maximum Return at 13.00% Volatility9.13%22.39%22.39%19.01%
Maximum Sharpe Ratio Weights2.22%14.34%14.34%11.08%
Vanguard Balanced Index Inv8.94%16.26%16.26%15.28%
Trailing returns are as of last full calendar month ending December 2020
Notes on results:
  • 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, 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 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.
  • The annual results for 2018 are based on full calendar months from December to December
  • 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
#AssetGroupExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Short-Term Treasury Inv (VFISX)4.07%1.32%2.0320.00%20.00%
2Vanguard Balanced Index Inv (VBINX)16.25%13.28%1.0420.00%20.00%
3Vanguard 500 Index Investor (VFINX)20.56%21.10%0.8310.00%20.00%
4Columbia Thermostat Inst (COTZX)21.30%7.72%2.3510.00%20.00%
5Hussman Strategic Total Return (HSTRX)12.70%6.42%1.6660.00%20.00%
6KL Allocation Advisor (GAVAX)15.35%6.42%2.0340.00%20.00%
7Loomis Sayles Global Allocation Y (LSWWX)18.35%15.08%1.0380.00%20.00%
8FPA Crescent (FPACX)13.98%19.37%0.6110.00%20.00%
9Cambria Tail Risk ETF (TAIL)Alternatives2.20%16.68%0.0520.00%5.00%
10Aptus Defined Risk ETF (DRSK)Alternatives11.99%6.59%1.5280.00%5.00%
11Strategy Shares Nasdaq 7 Handl ETF (HNDL)Alternatives13.54%9.38%1.2210.00%5.00%
12Fidelity Multi-Asset Income (FMSDX)17.82%12.24%1.2420.00%20.00%
13Amplify BlackSwan Gr&Trsry Cor ETF (SWAN)Alternatives16.45%8.51%1.6460.00%5.00%
14ATAC Rotation Investor (ATACX)Alternatives39.39%19.77%1.6370.00%5.00%
15AGFiQ US Market Neutral Anti-Beta (BTAL)Alternatives-3.07%17.52%-0.2530.00%5.00%
16Invesco S&P 500 Downside Hedged ETF (PHDG)Alternatives10.72%11.13%0.8010.00%5.00%
17T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)9.85%5.37%1.5120.00%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 Groups
Asset GroupMin. WeightMax. Weight
Alternatives0.00%20.00%

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerVFISXVBINXVFINXCOTZXHSTRXGAVAXLSWWXFPACXTAILDRSKHNDLFMSDXSWANATACXBTALPHDGTMSRX
Vanguard Short-Term Treasury InvVFISX1.00-0.53-0.58-0.160.330.01-0.54-0.630.770.07-0.41-0.50-0.170.130.64-0.27-0.39
Vanguard Balanced Index InvVBINX-0.531.000.990.820.360.710.980.95-0.860.680.970.970.840.45-0.680.380.79
Vanguard 500 Index InvestorVFINX-0.580.991.000.800.310.670.980.93-0.890.640.940.970.820.40-0.700.450.75
Columbia Thermostat InstCOTZX-0.160.820.801.000.600.800.780.67-0.520.730.820.810.790.70-0.510.410.63
Hussman Strategic Total ReturnHSTRX0.330.360.310.601.000.610.370.17-0.030.530.500.360.380.620.100.030.43
KL Allocation AdvisorGAVAX0.010.710.670.800.611.000.710.52-0.420.670.780.690.760.69-0.120.320.62
Loomis Sayles Global Allocation YLSWWX-0.540.980.980.780.370.711.000.93-0.870.650.960.970.800.46-0.620.410.82
FPA CrescentFPACX-0.630.950.930.670.170.520.931.00-0.880.560.880.930.720.36-0.810.280.79
Cambria Tail Risk ETFTAIL0.77-0.86-0.89-0.52-0.03-0.42-0.87-0.881.00-0.42-0.78-0.82-0.60-0.160.70-0.40-0.64
Aptus Defined Risk ETFDRSK0.070.680.640.730.530.670.650.56-0.421.000.700.610.720.57-0.290.390.60
Strategy Shares Nasdaq 7 Handl ETFHNDL-0.410.970.940.820.500.780.960.88-0.780.701.000.930.830.49-0.540.280.81
Fidelity Multi-Asset IncomeFMSDX-0.500.970.970.810.360.690.970.93-0.820.610.931.000.830.47-0.690.380.77
Amplify BlackSwan Gr&Trsry Cor ETFSWAN-0.170.840.820.790.380.760.800.72-0.600.720.830.831.000.43-0.450.480.50
ATAC Rotation InvestorATACX0.130.450.400.700.620.690.460.36-0.160.570.490.470.431.00-0.110.210.58
AGFiQ US Market Neutral Anti-BetaBTAL0.64-0.68-0.70-0.510.10-0.12-0.62-0.810.70-0.29-0.54-0.69-0.45-0.111.00-0.24-0.46
Invesco S&P 500 Downside Hedged ETFPHDG-0.270.380.450.410.030.320.410.28-0.400.390.280.380.480.21-0.241.000.15
T. Rowe Price Multi-Strategy Ttl Ret InvTMSRX-0.390.790.750.630.430.620.820.79-0.640.600.810.770.500.58-0.460.151.00
Based on monthly returns from Dec 2018 to Dec 2020
Efficient Frontier Assets
#VFISXVBINXVFINXCOTZXHSTRXGAVAXLSWWXFPACXTAILDRSKHNDLFMSDXSWANATACXBTALPHDGTMSRXExpected Return*Standard Deviation*Sharpe Ratio*
120.00%0.00%0.00%5.64%16.69%15.92%0.00%1.75%5.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%20.00%9.75%3.29%2.435
220.00%0.00%0.00%7.02%15.97%15.53%0.00%1.49%5.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%20.00%9.85%3.30%2.462
320.00%0.00%0.00%8.40%15.24%15.14%0.00%1.22%5.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%20.00%9.95%3.30%2.489
420.00%0.00%0.00%9.78%14.51%14.74%0.00%0.96%5.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%20.00%10.05%3.30%2.515
520.00%0.00%0.00%11.16%13.79%14.35%0.00%0.70%5.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%20.00%10.14%3.30%2.540
620.00%0.00%0.00%12.55%13.06%13.96%0.00%0.43%5.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%20.00%10.24%3.31%2.565
720.00%0.00%0.00%13.82%12.48%13.53%0.00%0.17%5.00%4.77%0.00%0.00%0.23%0.00%5.00%5.00%20.00%10.34%3.31%2.588
820.00%0.00%0.00%15.08%11.95%12.97%0.00%0.00%5.00%4.47%0.00%0.00%0.53%0.00%5.00%5.00%20.00%10.44%3.32%2.611
920.00%0.00%0.00%16.40%11.46%12.15%0.00%0.00%5.00%4.17%0.00%0.00%0.83%0.00%5.00%5.00%20.00%10.54%3.32%2.633
1020.00%0.00%0.00%17.71%10.96%11.33%0.00%0.00%5.00%3.86%0.00%0.00%1.14%0.00%5.00%5.00%20.00%10.64%3.33%2.654
1120.00%0.00%0.00%19.02%10.47%10.51%0.00%0.00%5.00%3.55%0.00%0.00%1.45%0.00%5.00%5.00%20.00%10.74%3.34%2.674
1220.00%0.00%0.00%20.00%9.97%10.03%0.00%0.00%5.00%2.81%0.00%0.00%2.19%0.00%5.00%5.00%20.00%10.84%3.35%2.692
1320.00%0.00%0.00%20.00%9.47%10.53%0.00%0.00%5.00%0.81%0.00%0.00%4.19%0.00%5.00%5.00%20.00%10.94%3.37%2.707
1420.00%0.00%0.00%20.00%6.96%13.04%0.00%0.00%5.00%0.00%0.00%0.00%5.00%0.00%5.00%5.00%20.00%11.04%3.39%2.716
1520.00%0.00%0.00%20.00%5.92%14.46%0.00%0.00%5.00%0.00%0.00%0.00%5.00%0.00%4.62%5.00%20.00%11.14%3.42%2.717
1620.00%0.00%0.00%20.00%5.73%15.14%0.00%0.00%5.00%0.00%0.00%0.00%5.00%0.00%4.13%5.00%20.00%11.24%3.46%2.716
1720.00%0.00%0.00%20.00%5.54%15.98%0.00%0.00%5.00%0.00%0.00%0.00%5.00%0.00%3.68%4.80%20.00%11.34%3.49%2.713
1820.00%0.00%0.00%20.00%5.35%16.94%0.00%0.00%5.00%0.00%0.00%0.00%5.00%0.00%3.27%4.43%20.00%11.44%3.53%2.709
1920.00%0.00%0.00%20.00%5.16%17.90%0.00%0.00%5.00%0.00%0.00%0.00%5.00%0.00%2.87%4.07%20.00%11.54%3.57%2.703
2020.00%0.00%0.00%20.00%4.97%18.87%0.00%0.00%5.00%0.00%0.00%0.00%5.00%0.00%2.46%3.70%20.00%11.64%3.62%2.696
2120.00%0.00%0.00%20.00%5.03%19.88%0.00%0.00%5.00%0.00%0.00%0.00%5.00%0.00%2.13%3.47%19.49%11.74%3.66%2.689
2220.00%0.00%0.00%20.00%5.64%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%0.15%1.87%3.48%18.85%11.84%3.70%2.680
2320.00%0.00%0.00%20.00%5.92%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%0.42%1.73%3.50%18.43%11.94%3.75%2.672
2420.00%0.00%0.00%20.00%6.19%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%0.69%1.59%3.52%18.01%12.04%3.80%2.663
2520.00%0.00%0.00%20.00%6.46%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%0.97%1.45%3.53%17.59%12.14%3.84%2.655
2620.00%0.00%0.00%20.00%6.74%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%1.24%1.31%3.55%17.16%12.24%3.89%2.646
2720.00%0.00%0.00%20.00%7.01%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%1.51%1.17%3.57%16.74%12.35%3.94%2.638
2820.00%0.00%0.00%20.00%7.28%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%1.78%1.03%3.59%16.32%12.45%3.98%2.629
2920.00%0.00%0.00%20.00%7.56%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%2.05%0.89%3.60%15.90%12.55%4.03%2.621
3020.00%0.00%0.00%20.00%7.83%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%2.33%0.75%3.62%15.47%12.65%4.08%2.612
3120.00%0.00%0.00%20.00%8.10%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%2.60%0.61%3.64%15.05%12.75%4.13%2.604
3220.00%0.00%0.00%20.00%8.38%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%2.87%0.47%3.66%14.63%12.85%4.18%2.595
3320.00%0.00%0.00%20.00%8.65%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%3.14%0.33%3.68%14.21%12.95%4.22%2.587
3420.00%0.00%0.00%20.00%8.92%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%3.41%0.19%3.69%13.78%13.05%4.27%2.578
3520.00%0.00%0.00%20.00%9.20%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%3.69%0.05%3.71%13.36%13.16%4.32%2.570
3620.00%0.00%0.00%20.00%9.29%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%4.02%0.00%3.73%12.95%13.26%4.37%2.562
3720.00%0.00%0.00%20.00%9.30%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%4.40%0.00%3.75%12.56%13.36%4.42%2.553
3820.00%0.00%0.00%20.00%9.31%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%4.77%0.00%3.76%12.16%13.46%4.47%2.545
3919.89%0.00%0.00%20.00%10.41%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%3.83%10.88%13.56%4.52%2.536
4018.65%0.00%0.00%20.00%11.27%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%3.98%11.09%13.67%4.58%2.526
4117.41%0.00%0.00%20.00%12.14%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%4.13%11.31%13.77%4.63%2.516
4216.18%0.00%0.00%20.00%13.00%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%4.29%11.53%13.87%4.69%2.506
4314.94%0.00%0.00%20.00%13.87%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%4.44%11.75%13.97%4.74%2.496
4413.71%0.00%0.00%20.00%14.73%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%4.59%11.97%14.07%4.80%2.487
4512.47%0.00%0.00%20.00%15.60%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%4.75%12.18%14.18%4.85%2.477
4611.24%0.00%0.00%20.00%16.46%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%4.90%12.40%14.28%4.91%2.468
4710.00%0.00%0.00%20.00%17.34%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%5.00%12.66%14.38%4.96%2.458
488.77%0.00%0.00%20.00%18.26%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%5.00%12.98%14.48%5.02%2.449
497.53%0.00%0.00%20.00%19.17%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%5.00%13.30%14.59%5.07%2.440
506.26%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%5.00%13.74%14.69%5.13%2.431
514.59%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%5.00%15.41%14.79%5.19%2.422
522.92%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%5.00%17.08%14.90%5.25%2.412
531.25%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%0.00%0.00%0.00%5.00%5.00%0.00%5.00%18.75%15.00%5.31%2.402
540.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%0.00%0.00%0.32%5.00%5.00%0.00%5.00%19.68%15.10%5.37%2.391
550.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%0.00%0.00%1.60%5.00%5.00%0.00%5.00%18.40%15.21%5.43%2.380
560.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%0.00%0.00%2.89%5.00%5.00%0.00%5.00%17.11%15.31%5.50%2.368
570.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%0.00%0.00%4.17%5.00%5.00%0.00%5.00%15.83%15.41%5.56%2.356
580.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%0.00%0.00%5.45%5.00%5.00%0.00%5.00%14.55%15.52%5.63%2.344
590.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%0.13%0.00%6.71%5.00%5.00%0.00%4.87%13.29%15.62%5.70%2.331
600.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%0.43%0.00%7.94%5.00%5.00%0.00%4.57%12.06%15.72%5.77%2.318
610.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%0.73%0.00%9.17%5.00%5.00%0.00%4.27%10.83%15.83%5.84%2.305
620.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%1.03%0.00%10.41%5.00%5.00%0.00%3.97%9.59%15.93%5.92%2.292
630.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%1.33%0.00%11.64%5.00%5.00%0.00%3.67%8.36%16.04%5.99%2.279
640.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%1.63%0.00%12.87%5.00%5.00%0.00%3.37%7.13%16.14%6.06%2.266
650.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%1.93%0.00%14.10%5.00%5.00%0.00%3.07%5.90%16.24%6.14%2.253
660.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%2.23%0.00%15.33%5.00%5.00%0.00%2.77%4.67%16.35%6.22%2.239
670.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%2.53%0.00%16.57%5.00%5.00%0.00%2.47%3.43%16.45%6.30%2.226
680.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%2.83%0.00%17.80%5.00%5.00%0.00%2.17%2.20%16.56%6.37%2.213
690.00%0.00%0.00%20.00%20.00%20.00%0.00%0.00%5.00%3.13%0.00%19.03%5.00%5.00%0.00%1.87%0.97%16.66%6.45%2.199
700.00%0.00%0.00%20.00%20.00%20.00%0.01%0.00%5.00%4.99%0.00%20.00%5.00%5.00%0.00%0.00%0.00%16.77%6.54%2.185
710.00%0.00%0.00%20.00%20.00%20.00%1.64%0.00%5.00%3.36%0.00%20.00%5.00%5.00%0.00%0.00%0.00%16.87%6.65%2.161
720.00%0.00%0.00%20.00%20.00%20.00%3.26%0.00%5.00%1.74%0.00%20.00%5.00%5.00%0.00%0.00%0.00%16.98%6.77%2.136
730.00%0.00%0.00%20.00%20.00%20.00%4.89%0.00%5.00%0.11%0.00%20.00%5.00%5.00%0.00%0.00%0.00%17.08%6.90%2.111
740.00%0.00%0.00%20.00%20.00%20.00%5.57%0.00%4.43%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%17.18%7.03%2.084
750.00%0.00%0.00%20.00%20.00%20.00%6.19%0.00%3.81%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%17.29%7.16%2.058
760.00%0.00%0.00%20.00%20.00%20.00%6.80%0.00%3.20%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%17.39%7.30%2.031
770.00%0.00%0.00%20.00%20.00%20.00%7.41%0.00%2.59%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%17.50%7.44%2.005
780.00%0.00%0.00%20.00%20.00%20.00%8.03%0.00%1.97%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%17.61%7.58%1.980
790.00%0.00%0.00%20.00%20.00%20.00%8.64%0.00%1.36%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%17.71%7.73%1.955
800.00%0.00%0.00%20.00%20.00%20.00%9.25%0.00%0.75%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%17.82%7.87%1.930
810.00%0.00%0.00%20.00%20.00%20.00%9.87%0.00%0.13%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%17.92%8.02%1.906
820.00%0.00%0.00%20.00%18.56%20.00%11.44%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%18.03%8.19%1.878
830.00%0.00%0.00%20.00%16.73%20.00%13.27%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%18.13%8.37%1.849
840.00%0.00%0.00%20.00%14.89%20.00%15.11%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%18.24%8.55%1.820
850.00%0.00%0.00%20.00%13.06%20.00%16.94%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%18.34%8.74%1.791
860.00%0.00%0.00%20.00%11.22%20.00%18.78%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%18.45%8.93%1.763
870.00%0.00%0.44%20.00%9.56%20.00%20.00%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%18.56%9.13%1.735
880.00%0.00%1.77%20.00%8.23%20.00%20.00%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%18.66%9.34%1.705
890.00%0.00%3.10%20.00%6.90%20.00%20.00%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%18.77%9.55%1.676
900.00%0.00%4.43%20.00%5.57%20.00%20.00%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%18.88%9.77%1.648
910.00%0.00%5.76%20.00%4.24%20.00%20.00%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%18.98%9.99%1.620
920.00%0.00%7.08%20.00%2.92%20.00%20.00%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%19.09%10.22%1.594
930.00%0.00%8.41%20.00%1.59%20.00%20.00%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%19.19%10.44%1.568
940.00%0.00%9.74%20.00%0.26%20.00%20.00%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%19.30%10.67%1.544
950.00%0.00%13.88%20.00%0.00%20.00%16.12%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%19.41%10.93%1.514
960.00%0.00%18.70%20.00%0.00%20.00%11.30%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%19.51%11.21%1.485
970.00%0.00%20.00%20.00%0.00%17.45%12.55%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%19.62%11.52%1.452
980.00%0.00%20.00%20.00%0.00%13.96%16.04%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%19.73%11.86%1.419
990.00%0.00%20.00%20.00%0.00%10.46%19.54%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%19.84%12.20%1.387
1000.00%10.00%20.00%20.00%0.00%0.00%20.00%0.00%0.00%0.00%0.00%20.00%5.00%5.00%0.00%0.00%0.00%19.94%13.06%1.302
*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 for the configured portfolios
YearInflationProvided PortfolioMaximum Return at 13.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index InvVanguard Short-Term Treasury Inv (VFISX)Vanguard Balanced Index Inv (VBINX)Vanguard 500 Index Investor (VFINX)Columbia Thermostat Inst (COTZX)Hussman Strategic Total Return (HSTRX)KL Allocation Advisor (GAVAX)Loomis Sayles Global Allocation Y (LSWWX)FPA Crescent (FPACX)Cambria Tail Risk ETF (TAIL)Aptus Defined Risk ETF (DRSK)Strategy Shares Nasdaq 7 Handl ETF (HNDL)Fidelity Multi-Asset Income (FMSDX)Amplify BlackSwan Gr&Trsry Cor ETF (SWAN)ATAC Rotation Investor (ATACX)AGFiQ US Market Neutral Anti-Beta (BTAL)Invesco S&P 500 Downside Hedged ETF (PHDG)T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
2018-0.32%-1.93%$9,807-3.75%$9,6250.27%$10,027-4.93%$9,5070.88%-4.93%-9.04%-0.39%2.89%-1.91%-5.08%-6.07%11.11%-1.35%-2.41%-3.37%-3.58%3.66%4.31%-5.02%-0.22%
20192.29%15.31%$11,30821.98%$11,7418.56%$10,88621.67%$11,5673.59%21.67%31.33%15.14%11.42%13.24%26.80%20.02%-14.27%12.29%17.52%23.14%22.05%7.73%1.07%8.22%7.36%
20201.36%16.37%$13,16022.39%$14,37014.34%$12,44716.26%$13,4483.96%16.26%18.25%29.63%11.45%20.74%15.38%12.11%6.92%13.81%12.62%16.55%15.87%72.51%-13.86%18.83%13.20%
Annual return for 2018 is from 12/01/2018 to 12/31/2018
Monthly returns for the configured portfolios
YearMonthProvided PortfolioMaximum Return at 13.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index InvVanguard Short-Term Treasury Inv (VFISX)Vanguard Balanced Index Inv (VBINX)Vanguard 500 Index Investor (VFINX)Columbia Thermostat Inst (COTZX)Hussman Strategic Total Return (HSTRX)KL Allocation Advisor (GAVAX)Loomis Sayles Global Allocation Y (LSWWX)FPA Crescent (FPACX)Cambria Tail Risk ETF (TAIL)Aptus Defined Risk ETF (DRSK)Strategy Shares Nasdaq 7 Handl ETF (HNDL)Fidelity Multi-Asset Income (FMSDX)Amplify BlackSwan Gr&Trsry Cor ETF (SWAN)ATAC Rotation Investor (ATACX)AGFiQ US Market Neutral Anti-Beta (BTAL)Invesco S&P 500 Downside Hedged ETF (PHDG)T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
201812-1.93%$9,807-3.75%$9,6250.27%$10,027-4.93%$9,5070.88%-4.93%-9.04%-0.39%2.89%-1.91%-5.08%-6.07%11.11%-1.35%-2.41%-3.37%-3.58%3.66%4.31%-5.02%-0.22%
201913.87%$10,1875.72%$10,1751.39%$10,1675.55%$10,0340.30%5.55%8.00%3.44%2.07%3.01%6.87%7.92%-8.91%3.18%4.10%5.28%3.68%10.61%-4.03%2.48%2.05%
201921.16%$10,3051.82%$10,3600.55%$10,2232.10%$10,245-0.01%2.10%3.20%0.92%-0.49%1.66%3.21%2.26%-2.94%0.85%1.85%1.59%0.99%-3.53%-0.94%2.98%0.74%
201931.16%$10,4251.22%$10,4861.25%$10,3511.65%$10,4140.78%1.65%1.94%1.54%1.95%1.40%1.40%0.40%1.28%0.73%2.27%0.83%3.37%-4.69%2.57%0.69%0.42%
201941.58%$10,5892.49%$10,7480.26%$10,3782.39%$10,6630.15%2.39%4.04%0.62%-1.20%0.08%3.65%4.46%-2.26%1.40%0.90%3.01%2.13%2.62%-1.25%2.15%0.63%
20195-1.45%$10,436-2.62%$10,4660.30%$10,409-3.21%$10,3210.88%-3.21%-6.36%-0.82%0.81%0.61%-3.35%-6.11%6.07%-0.20%-0.96%-2.75%-2.12%1.22%6.72%-5.51%-0.42%
201963.53%$10,8054.92%$10,9811.80%$10,5964.63%$10,7990.48%4.63%7.03%3.59%3.90%2.36%5.64%5.36%-2.94%3.71%3.38%4.55%5.05%5.78%-3.48%4.74%1.15%
201970.51%$10,8610.70%$11,0580.39%$10,6370.97%$10,904-0.09%0.97%1.43%0.74%0.00%-0.22%0.63%0.66%-1.86%0.61%0.84%1.42%0.87%-3.24%1.64%1.53%0.93%
201980.97%$10,9660.55%$11,1191.81%$10,829-0.11%$10,8920.92%-0.11%-1.59%0.94%3.12%3.65%-0.33%-3.05%5.03%1.93%1.38%0.54%2.81%2.40%8.93%-3.23%0.41%
20199-0.19%$10,9450.30%$11,153-0.64%$10,7600.80%$10,979-0.22%0.80%1.86%0.27%-1.98%-1.01%0.25%1.64%-2.95%-1.89%0.02%0.26%0.10%-2.44%-2.39%-0.15%-0.61%
2019100.67%$11,0181.13%$11,2790.19%$10,7811.39%$11,1310.25%1.39%2.15%0.99%1.55%0.44%0.59%0.67%-1.27%-0.26%0.64%1.69%0.81%-0.72%-0.55%-2.95%-0.10%
2019111.18%$11,1481.98%$11,5020.39%$10,8232.24%$11,380-0.05%2.24%3.62%1.31%-0.76%0.22%2.74%2.75%-2.14%0.95%0.85%1.83%1.71%-0.36%-2.67%3.12%0.72%
2019121.43%$11,3082.08%$11,7410.58%$10,8861.64%$11,5670.14%1.64%3.01%0.73%2.08%0.42%3.11%2.18%-1.57%0.74%1.08%2.97%0.89%0.82%-2.59%2.61%1.23%
202011.15%$11,4390.81%$11,8361.49%$11,0480.82%$11,6620.60%0.82%-0.05%1.21%0.90%2.38%0.00%-0.50%2.90%3.23%1.64%-1.13%2.51%8.54%5.69%0.57%0.83%
20202-1.66%$11,249-3.19%$11,4580.61%$11,115-4.22%$11,1691.04%-4.22%-8.24%0.40%-0.22%-0.90%-5.45%-4.55%8.00%2.17%-3.40%-3.42%-1.09%5.48%0.43%-0.82%0.72%
20203-4.13%$10,784-5.76%$10,7990.45%$11,166-8.48%$10,2221.01%-8.48%-12.37%0.07%0.02%-0.15%-9.65%-16.31%11.41%-2.12%-6.10%-6.73%-1.27%0.35%9.27%5.20%-4.68%
202046.34%$11,4689.09%$11,7803.63%$11,5718.55%$11,0960.22%8.55%12.81%8.66%6.45%5.31%9.17%7.14%-4.61%5.06%6.75%6.83%3.76%17.85%-3.39%2.29%3.95%
202052.84%$11,7933.95%$12,2451.89%$11,7903.45%$11,4790.38%3.45%4.76%2.80%1.06%3.60%5.15%3.68%-1.80%1.66%2.44%3.44%1.64%5.69%1.25%2.24%2.57%
202061.13%$11,9271.23%$12,3950.62%$11,8631.73%$11,6780.09%1.73%1.98%1.43%1.21%0.69%1.48%3.53%-0.38%0.91%1.88%0.57%1.25%0.12%-3.14%1.30%0.90%
202073.51%$12,3455.05%$13,0222.31%$12,1383.99%$12,1430.18%3.99%5.63%3.36%2.34%3.38%5.88%2.73%-0.72%0.50%3.50%5.23%3.46%10.69%2.47%3.39%2.78%
202082.30%$12,6293.60%$13,4901.04%$12,2643.86%$12,6120.19%3.86%7.18%2.80%0.07%1.00%3.49%3.93%-2.58%3.53%2.13%3.56%2.30%-0.25%-5.29%7.18%0.97%
20209-1.71%$12,413-2.40%$13,167-0.71%$12,177-2.12%$12,3450.06%-2.12%-3.81%-1.28%-1.17%-0.93%-2.15%-2.78%0.41%-1.55%-1.71%-2.22%-2.41%-5.97%-0.13%-3.90%0.19%
202010-1.04%$12,283-1.71%$12,942-0.62%$12,101-1.48%$12,162-0.06%-1.48%-2.67%-1.18%-0.41%-1.07%-1.74%0.26%-0.49%-1.78%-1.04%-1.64%-2.71%-0.49%-3.09%-1.24%0.86%
2020114.47%$12,8327.26%$13,8821.32%$12,2617.66%$13,0940.11%7.66%10.94%6.09%0.21%2.83%6.70%11.92%-3.47%1.99%5.02%8.49%6.26%4.83%-14.96%-1.20%1.33%
2020122.55%$13,1603.51%$14,3701.52%$12,4472.70%$13,4480.08%2.70%3.84%2.32%0.64%3.08%3.13%5.30%-0.80%-0.29%1.54%3.56%1.53%11.18%-1.85%2.87%2.31%
Portfolio return and risk metrics
MetricProvided PortfolioMaximum Return at 13.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
Arithmetic Mean (monthly)1.13%1.52%0.88%1.26%
Arithmetic Mean (annualized)14.44%19.84%11.14%16.25%
Geometric Mean (monthly)1.10%1.46%0.88%1.19%
Geometric Mean (annualized)14.09%19.01%11.08%15.28%
Standard Deviation (monthly)2.33%3.52%0.99%3.83%
Standard Deviation (annualized)8.08%12.20%3.42%13.28%
Downside Deviation (monthly)1.09%1.71%0.23%2.29%
Max. Drawdown-5.72%-8.77%-1.33%-12.34%
US Market Correlation0.950.970.550.99
Beta(*)0.590.900.161.00
Alpha (annualized)4.60%4.55%8.26%0.00%
R294.62%96.75%36.29%100.00%
Sharpe Ratio1.501.382.661.04
Sortino Ratio3.102.7710.771.70
Treynor Ratio (%)20.7118.7359.9113.84
Active Return-1.19%3.73%-4.20%N/A
Tracking Error5.74%2.55%11.55%N/A
Information Ratio-0.211.46-0.36N/A
Skewness-0.050.010.69-0.53
Excess Kurtosis0.29-0.021.190.81
Historical Value-at-Risk (5%)-1.88%-3.64%-0.63%-4.79%
Analytical Value-at-Risk (5%)-2.63%-4.15%-0.71%-5.04%
Conditional Value-at-Risk (5%)-3.03%-4.75%-0.67%-6.70%
Upside Capture Ratio (%)67.52101.3533.10100.00
Downside Capture Ratio (%)45.5377.39-8.84100.00
Safe Withdrawal Rate36.99%38.12%36.22%37.06%
Perpetual Withdrawal Rate7.74%10.40%6.01%8.40%
Positive Periods18 out of 25 (72.00%)19 out of 25 (76.00%)22 out of 25 (88.00%)18 out of 25 (72.00%)
Gain/Loss Ratio1.300.931.670.89
* Vanguard Balanced Index 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 13.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
COVID-19 StartJan 2020Mar 2020-5.72%-8.77%0.00%-12.34%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsApr 20201 month3 months-5.72%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-2.74%
3Dec 2018Dec 20181 monthJan 20191 month2 months-1.93%
4May 2019May 20191 monthJun 20191 month2 months-1.45%
5Sep 2019Sep 20191 monthOct 20191 month2 months-0.19%

Drawdowns for Maximum Return at 13.00% Volatility

Drawdowns for Maximum Return at 13.00% Volatility
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-8.77%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-4.07%
3Dec 2018Dec 20181 monthJan 20191 month2 months-3.75%
4May 2019May 20191 monthJun 20191 month2 months-2.62%

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Maximum Sharpe Ratio Weights
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2020Oct 20202 monthsDec 20202 months4 months-1.33%
2Sep 2019Sep 20191 monthDec 20193 months4 months-0.64%

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-12.34%
2Dec 2018Dec 20181 monthJan 20191 month2 months-4.93%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-3.56%
4May 2019May 20191 monthJun 20191 month2 months-3.21%
5Aug 2019Aug 20191 monthSep 20191 month2 months-0.11%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFISXVanguard Short-Term Treasury Inv4.06%1.32%3.96%0.88%-0.22%2.147.12-0.59
VBINXVanguard Balanced Index Inv15.28%13.28%21.67%-4.93%-12.34%1.041.700.99
VFINXVanguard 500 Index Investor18.03%21.10%31.33%-9.04%-19.63%0.831.301.00
COTZXColumbia Thermostat Inst20.97%7.72%29.63%-0.39%-2.44%2.3212.410.80
HSTRXHussman Strategic Total Return12.48%6.42%11.45%2.89%-1.98%1.674.990.29
GAVAXKL Allocation Advisor15.13%6.42%20.74%-1.91%-1.98%2.016.240.66
LSWWXLoomis Sayles Global Allocation Y17.07%15.08%26.80%-5.08%-14.58%1.031.710.98
FPACXFPA Crescent11.89%19.37%20.02%-6.07%-20.51%0.610.870.95
TAILCambria Tail Risk ETF0.88%16.68%11.11%-14.27%-14.27%0.050.09-0.89
DRSKAptus Defined Risk ETF11.77%6.59%13.81%-1.35%-3.31%1.533.460.64
HNDLStrategy Shares Nasdaq 7 Handl ETF13.06%9.38%17.52%-2.41%-9.29%1.212.080.94
FMSDXFidelity Multi-Asset Income17.00%12.24%23.14%-3.37%-10.94%1.232.310.97
SWANAmplify BlackSwan Gr&Trsry Cor ETF16.05%8.51%22.05%-3.58%-5.06%1.643.360.81
ATACXATAC Rotation Investor36.99%19.77%72.51%3.66%-8.05%1.634.840.41
BTALAGFiQ US Market Neutral Anti-Beta-4.52%17.52%4.31%-13.86%-25.73%-0.25-0.34-0.72
PHDGInvesco S&P 500 Downside Hedged ETF10.07%11.13%18.83%-5.02%-6.23%0.801.280.42
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv9.70%5.37%13.20%-0.22%-4.68%1.482.380.77

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnExpense Ratio
3 MonthYear To Date1 yearNetGross
Vanguard Short-Term Treasury Inv0.13%3.96%3.96%0.20%0.20%
Vanguard Balanced Index Inv8.94%16.26%16.26%0.18%0.18%
Vanguard 500 Index Investor12.12%18.25%18.25%0.14%0.14%
Columbia Thermostat Inst7.27%29.63%29.63%0.65%0.71%
Hussman Strategic Total Return0.43%11.45%11.45%0.78%0.78%
KL Allocation Advisor4.87%20.74%20.74%1.53%1.53%
Loomis Sayles Global Allocation Y8.13%15.38%15.38%0.90%0.90%
FPA Crescent18.15%12.11%12.11%1.13%1.15%
Cambria Tail Risk ETF-4.70%6.92%6.92%0.59%0.59%
Aptus Defined Risk ETF-0.12%13.81%13.81%0.79%0.79%
Strategy Shares Nasdaq 7 Handl ETF5.53%12.62%12.62%0.97%1.12%
Fidelity Multi-Asset Income10.51%16.55%16.55%0.85%0.85%
Amplify BlackSwan Gr&Trsry Cor ETF4.96%15.87%15.87%0.49%0.49%
ATAC Rotation Investor15.97%72.51%72.51%1.90%1.92%
AGFiQ US Market Neutral Anti-Beta-19.12%-13.86%-13.86%2.53%3.01%
Invesco S&P 500 Downside Hedged ETF0.38%18.83%18.83%0.40%0.45%
T. Rowe Price Multi-Strategy Ttl Ret Inv4.55%13.20%13.20%1.29%1.80%
Trailing returns as of last calendar month ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFISXVBINXVFINXCOTZXHSTRXGAVAXLSWWXFPACXTAILDRSKHNDLFMSDXSWANATACXBTALPHDGTMSRXProvided PortfolioMaximum Return at 13.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Inv
VFISXVanguard Short-Term Treasury Inv1.00-0.53-0.58-0.160.330.01-0.54-0.630.770.07-0.41-0.50-0.170.130.64-0.27-0.39-0.38-0.450.20-0.53
VBINXVanguard Balanced Index Inv-0.531.000.990.820.360.710.980.95-0.860.680.970.970.840.45-0.680.380.790.970.980.601.00
VFINXVanguard 500 Index Investor-0.580.991.000.800.310.670.980.93-0.890.640.940.970.820.40-0.700.450.750.950.980.560.99
COTZXColumbia Thermostat Inst-0.160.820.801.000.600.800.780.67-0.520.730.820.810.790.70-0.510.410.630.880.880.840.82
HSTRXHussman Strategic Total Return0.330.360.310.601.000.610.370.17-0.030.530.500.360.380.620.100.030.430.510.440.770.36
GAVAXKL Allocation Advisor0.010.710.670.800.611.000.710.52-0.420.670.780.690.760.69-0.120.320.620.810.780.910.71
LSWWXLoomis Sayles Global Allocation Y-0.540.980.980.780.370.711.000.93-0.870.650.960.970.800.46-0.620.410.820.970.980.610.98
FPACXFPA Crescent-0.630.950.930.670.170.520.931.00-0.880.560.880.930.720.36-0.810.280.790.890.900.390.95
TAILCambria Tail Risk ETF0.77-0.86-0.89-0.52-0.03-0.42-0.87-0.881.00-0.42-0.78-0.82-0.60-0.160.70-0.40-0.64-0.76-0.80-0.22-0.86
DRSKAptus Defined Risk ETF0.070.680.640.730.530.670.650.56-0.421.000.700.610.720.57-0.290.390.600.750.700.750.68
HNDLStrategy Shares Nasdaq 7 Handl ETF-0.410.970.940.820.500.780.960.88-0.780.701.000.930.830.49-0.540.280.810.970.960.690.97
FMSDXFidelity Multi-Asset Income-0.500.970.970.810.360.690.970.93-0.820.610.931.000.830.47-0.690.380.770.960.980.600.97
SWANAmplify BlackSwan Gr&Trsry Cor ETF-0.170.840.820.790.380.760.800.72-0.600.720.830.831.000.43-0.450.480.500.850.860.700.84
ATACXATAC Rotation Investor0.130.450.400.700.620.690.460.36-0.160.570.490.470.431.00-0.110.210.580.610.570.790.45
BTALAGFiQ US Market Neutral Anti-Beta0.64-0.68-0.70-0.510.10-0.12-0.62-0.810.70-0.29-0.54-0.69-0.45-0.111.00-0.24-0.46-0.57-0.63-0.03-0.68
PHDGInvesco S&P 500 Downside Hedged ETF-0.270.380.450.410.030.320.410.28-0.400.390.280.380.480.21-0.241.000.150.400.430.370.38
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv-0.390.790.750.630.430.620.820.79-0.640.600.810.770.500.58-0.460.151.000.830.790.610.79

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameProvided PortfolioMaximum Return at 13.00% VolatilityMaximum Sharpe Ratio Weights
VFISXVanguard Short-Term Treasury Inv-0.49%1.51%
VBINXVanguard Balanced Index Inv12.80%
VFINXVanguard 500 Index Investor19.95%33.76%
COTZXColumbia Thermostat Inst6.76%11.17%37.75%
HSTRXHussman Strategic Total Return3.25%8.60%
GAVAXKL Allocation Advisor5.17%4.30%24.66%
LSWWXLoomis Sayles Global Allocation Y14.47%23.60%
FPACXFPA Crescent17.00%
TAILCambria Tail Risk ETF-4.71%-5.41%
DRSKAptus Defined Risk ETF1.82%
HNDLStrategy Shares Nasdaq 7 Handl ETF3.38%
FMSDXFidelity Multi-Asset Income11.62%19.59%
SWANAmplify BlackSwan Gr&Trsry Cor ETF2.70%2.99%8.71%
ATACXATAC Rotation Investor4.50%4.59%
BTALAGFiQ US Market Neutral Anti-Beta-3.72%-0.83%
PHDGInvesco S&P 500 Downside Hedged ETF1.10%5.97%
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv4.40%19.04%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns