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 (Dec 2018 - Dec 2020) Save

Note: The time period was constrained by the available data for Amplify BlackSwan Gr&Trsry Cor ETF (SWAN) [Dec 2018 - May 2023].

Portfolio optimization results with the 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 9.34% to 18.32%. Refer to the efficient frontier section for additional details.

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	AGF U.S. 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	AGF U.S. 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

Performance Summary

Portfolio performance statistics
Metric	Provided Portfolio	Maximum Return at 13.00% Volatility	Maximum Sharpe Ratio Weights	Vanguard 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 Return	13.56%	18.23%	10.61%	15.15%
Standard Deviation	8.08%	12.20%	3.42%	13.28%
Best Year	16.37%	22.39%	14.34%	21.67%
Worst Year	-1.93%	-3.75%	0.27%	-4.93%
Maximum Drawdown	-5.72%	-8.77%	-1.33%	-12.34%
Sharpe Ratio (ex-ante)	1.52	1.39	2.72	1.04
Sharpe Ratio (ex-post)	1.50	1.38	2.66	1.04
Sortino Ratio	3.10	2.77	10.77	1.70
Active Return	-1.19%	3.73%	-4.20%	N/A
Tracking Error	5.74%	2.55%	11.55%	N/A
Information Ratio	-0.21	1.46	-0.36	N/A
Stock Market Correlation	0.95	0.97	0.55	0.99
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	6.02%	16.37%	16.37%	14.09%
Maximum Return at 13.00% Volatility	9.13%	22.39%	22.39%	19.01%
Maximum Sharpe Ratio Weights	2.22%	14.34%	14.34%	11.08%
Vanguard Balanced Index Inv	8.94%	16.26%	16.26%	15.28%
Trailing returns are as of last full calendar month ending December 2020

Notes and Disclosures

IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
The annual results for 2018 are based on full calendar months from December to December.
The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

Efficient Frontier Assets
#	Asset	Group	Expected Return	Standard Deviation	Sharpe Ratio	Min. Weight	Max. Weight
1	Vanguard Short-Term Treasury Inv (VFISX)		3.99%	1.32%	2.032	0.00%	20.00%
2	Vanguard Balanced Index Inv (VBINX)		15.15%	13.28%	1.042	0.00%	20.00%
3	Vanguard 500 Index Investor (VFINX)		18.85%	21.10%	0.831	0.00%	20.00%
4	Columbia Thermostat Inst (COTZX)		19.47%	7.72%	2.351	0.00%	20.00%
5	Hussman Strategic Total Return (HSTRX)		12.01%	6.42%	1.666	0.00%	20.00%
6	KL Allocation Advisor (GAVAX)		14.37%	6.42%	2.034	0.00%	20.00%
7	Loomis Sayles Global Allocation Y (LSWWX)		16.96%	15.08%	1.038	0.00%	20.00%
8	FPA Crescent (FPACX)		13.15%	19.37%	0.611	0.00%	20.00%
9	Cambria Tail Risk ETF (TAIL)	Alternatives	2.17%	16.68%	0.052	0.00%	5.00%
10	Aptus Defined Risk ETF (DRSK)	Alternatives	11.38%	6.59%	1.528	0.00%	5.00%
11	Strategy Shares Nasdaq 7 Handl ETF (HNDL)	Alternatives	12.76%	9.38%	1.221	0.00%	5.00%
12	Fidelity Multi-Asset Income (FMSDX)		16.51%	12.24%	1.242	0.00%	20.00%
13	Amplify BlackSwan Gr&Trsry Cor ETF (SWAN)	Alternatives	15.32%	8.51%	1.646	0.00%	5.00%
14	ATAC Rotation Investor (ATACX)	Alternatives	33.67%	19.77%	1.637	0.00%	5.00%
15	AGF U.S. Market Neutral Anti-Beta (BTAL)	Alternatives	-3.11%	17.52%	-0.253	0.00%	5.00%
16	Invesco S&P 500 Downside Hedged ETF (PHDG)	Alternatives	10.23%	11.13%	0.801	0.00%	5.00%
17	T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)		9.43%	5.37%	1.512	0.00%	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 Group	Min. Weight	Max. Weight
Alternatives	0.00%	20.00%

Asset Correlations

Efficient Frontier Asset Correlations
Name	Ticker	VFISX	VBINX	VFINX	COTZX	HSTRX	GAVAX	LSWWX	FPACX	TAIL	DRSK	HNDL	FMSDX	SWAN	ATACX	BTAL	PHDG	TMSRX
Vanguard Short-Term Treasury Inv	VFISX	1.00	-0.53	-0.58	-0.16	0.33	0.01	-0.54	-0.63	0.77	0.07	-0.41	-0.50	-0.17	0.13	0.64	-0.27	-0.39
Vanguard Balanced Index Inv	VBINX	-0.53	1.00	0.99	0.82	0.36	0.71	0.98	0.95	-0.86	0.68	0.97	0.97	0.84	0.45	-0.68	0.38	0.79
Vanguard 500 Index Investor	VFINX	-0.58	0.99	1.00	0.80	0.31	0.67	0.98	0.93	-0.89	0.64	0.94	0.97	0.82	0.40	-0.70	0.45	0.75
Columbia Thermostat Inst	COTZX	-0.16	0.82	0.80	1.00	0.60	0.80	0.78	0.67	-0.52	0.73	0.82	0.81	0.79	0.70	-0.51	0.41	0.63
Hussman Strategic Total Return	HSTRX	0.33	0.36	0.31	0.60	1.00	0.61	0.37	0.17	-0.03	0.53	0.50	0.36	0.38	0.62	0.10	0.03	0.43
KL Allocation Advisor	GAVAX	0.01	0.71	0.67	0.80	0.61	1.00	0.71	0.52	-0.42	0.67	0.78	0.69	0.76	0.69	-0.12	0.32	0.62
Loomis Sayles Global Allocation Y	LSWWX	-0.54	0.98	0.98	0.78	0.37	0.71	1.00	0.93	-0.87	0.65	0.96	0.97	0.80	0.46	-0.62	0.41	0.82
FPA Crescent	FPACX	-0.63	0.95	0.93	0.67	0.17	0.52	0.93	1.00	-0.88	0.56	0.88	0.93	0.72	0.36	-0.81	0.28	0.79
Cambria Tail Risk ETF	TAIL	0.77	-0.86	-0.89	-0.52	-0.03	-0.42	-0.87	-0.88	1.00	-0.42	-0.78	-0.82	-0.60	-0.16	0.70	-0.40	-0.64
Aptus Defined Risk ETF	DRSK	0.07	0.68	0.64	0.73	0.53	0.67	0.65	0.56	-0.42	1.00	0.70	0.61	0.72	0.57	-0.29	0.39	0.60
Strategy Shares Nasdaq 7 Handl ETF	HNDL	-0.41	0.97	0.94	0.82	0.50	0.78	0.96	0.88	-0.78	0.70	1.00	0.93	0.83	0.49	-0.54	0.28	0.81
Fidelity Multi-Asset Income	FMSDX	-0.50	0.97	0.97	0.81	0.36	0.69	0.97	0.93	-0.82	0.61	0.93	1.00	0.83	0.47	-0.69	0.38	0.77
Amplify BlackSwan Gr&Trsry Cor ETF	SWAN	-0.17	0.84	0.82	0.79	0.38	0.76	0.80	0.72	-0.60	0.72	0.83	0.83	1.00	0.43	-0.45	0.48	0.50
ATAC Rotation Investor	ATACX	0.13	0.45	0.40	0.70	0.62	0.69	0.46	0.36	-0.16	0.57	0.49	0.47	0.43	1.00	-0.11	0.21	0.58
AGF U.S. Market Neutral Anti-Beta	BTAL	0.64	-0.68	-0.70	-0.51	0.10	-0.12	-0.62	-0.81	0.70	-0.29	-0.54	-0.69	-0.45	-0.11	1.00	-0.24	-0.46
Invesco S&P 500 Downside Hedged ETF	PHDG	-0.27	0.38	0.45	0.41	0.03	0.32	0.41	0.28	-0.40	0.39	0.28	0.38	0.48	0.21	-0.24	1.00	0.15
T. Rowe Price Multi-Strategy Ttl Ret Inv	TMSRX	-0.39	0.79	0.75	0.63	0.43	0.62	0.82	0.79	-0.64	0.60	0.81	0.77	0.50	0.58	-0.46	0.15	1.00
Based on monthly returns from Dec 2018 to Dec 2020

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

Efficient Frontiers

Efficient Frontier Portfolios

Efficient Frontier Assets
#	VFISX	VBINX	VFINX	COTZX	HSTRX	GAVAX	LSWWX	FPACX	TAIL	DRSK	HNDL	FMSDX	SWAN	ATACX	BTAL	PHDG	TMSRX	Expected Return *	Standard Deviation *	Sharpe Ratio *
1	20.00%	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%	9.34%	3.29%	2.435
2	20.00%	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%	9.43%	3.30%	2.462
3	20.00%	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%	9.52%	3.30%	2.489
4	20.00%	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%	9.61%	3.30%	2.515
5	20.00%	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%	9.70%	3.30%	2.540
6	20.00%	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%	9.79%	3.31%	2.565
7	20.00%	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%	9.88%	3.31%	2.588
8	20.00%	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%	9.97%	3.32%	2.611
9	20.00%	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%	10.06%	3.32%	2.633
10	20.00%	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%	10.15%	3.33%	2.654
11	20.00%	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%	10.25%	3.34%	2.674
12	20.00%	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%	10.34%	3.35%	2.692
13	20.00%	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%	10.43%	3.37%	2.707
14	20.00%	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%	10.52%	3.39%	2.716
15	20.00%	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%	10.61%	3.42%	2.717
16	20.00%	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%	10.70%	3.46%	2.716
17	20.00%	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%	10.79%	3.49%	2.713
18	20.00%	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%	10.88%	3.53%	2.709
19	20.00%	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%	10.97%	3.57%	2.703
20	20.00%	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%	11.06%	3.62%	2.696
21	20.00%	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%	11.15%	3.66%	2.689
22	20.00%	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%	11.24%	3.70%	2.680
23	20.00%	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%	11.33%	3.75%	2.672
24	20.00%	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%	11.43%	3.80%	2.663
25	20.00%	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%	11.52%	3.84%	2.655
26	20.00%	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%	11.61%	3.89%	2.646
27	20.00%	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%	11.70%	3.94%	2.638
28	20.00%	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%	11.79%	3.98%	2.629
29	20.00%	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%	11.88%	4.03%	2.621
30	20.00%	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%	11.97%	4.08%	2.612
31	20.00%	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%	12.06%	4.13%	2.604
32	20.00%	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%	12.15%	4.18%	2.595
33	20.00%	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%	12.24%	4.22%	2.587
34	20.00%	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%	12.33%	4.27%	2.578
35	20.00%	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%	12.42%	4.32%	2.570
36	20.00%	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%	12.51%	4.37%	2.562
37	20.00%	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%	12.61%	4.42%	2.553
38	20.00%	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%	12.70%	4.47%	2.545
39	19.89%	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%	12.79%	4.52%	2.536
40	18.65%	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%	12.88%	4.58%	2.526
41	17.41%	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%	12.97%	4.63%	2.516
42	16.18%	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%	13.06%	4.69%	2.506
43	14.94%	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%	13.15%	4.74%	2.496
44	13.71%	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%	13.24%	4.80%	2.487
45	12.47%	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%	13.33%	4.85%	2.477
46	11.24%	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%	13.42%	4.91%	2.468
47	10.00%	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%	13.51%	4.96%	2.458
48	8.77%	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%	13.60%	5.02%	2.449
49	7.53%	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%	13.69%	5.07%	2.440
50	6.26%	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%	13.79%	5.13%	2.431
51	4.59%	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%	13.88%	5.19%	2.422
52	2.92%	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%	13.97%	5.25%	2.412
53	1.25%	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%	14.06%	5.31%	2.402
54	0.00%	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%	14.15%	5.37%	2.391
55	0.00%	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%	14.24%	5.43%	2.380
56	0.00%	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%	14.33%	5.50%	2.368
57	0.00%	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%	14.42%	5.56%	2.356
58	0.00%	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%	14.51%	5.63%	2.344
59	0.00%	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%	14.60%	5.70%	2.331
60	0.00%	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%	14.69%	5.77%	2.318
61	0.00%	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%	14.78%	5.84%	2.305
62	0.00%	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%	14.87%	5.92%	2.292
63	0.00%	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%	14.97%	5.99%	2.279
64	0.00%	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%	15.06%	6.06%	2.266
65	0.00%	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%	15.15%	6.14%	2.253
66	0.00%	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%	15.24%	6.22%	2.239
67	0.00%	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%	15.33%	6.30%	2.226
68	0.00%	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%	15.42%	6.37%	2.213
69	0.00%	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%	15.51%	6.45%	2.199
70	0.00%	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%	15.60%	6.54%	2.185
71	0.00%	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%	15.69%	6.65%	2.161
72	0.00%	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%	15.78%	6.77%	2.136
73	0.00%	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%	15.87%	6.90%	2.111
74	0.00%	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%	15.96%	7.03%	2.084
75	0.00%	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%	16.05%	7.16%	2.058
76	0.00%	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%	16.14%	7.30%	2.031
77	0.00%	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%	16.24%	7.44%	2.005
78	0.00%	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%	16.33%	7.58%	1.980
79	0.00%	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%	16.42%	7.73%	1.955
80	0.00%	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%	16.51%	7.87%	1.930
81	0.00%	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%	16.60%	8.02%	1.906
82	0.00%	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%	16.69%	8.19%	1.878
83	0.00%	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%	16.78%	8.37%	1.849
84	0.00%	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%	16.87%	8.55%	1.820
85	0.00%	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%	16.96%	8.74%	1.791
86	0.00%	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%	17.05%	8.93%	1.763
87	0.00%	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%	17.14%	9.13%	1.735
88	0.00%	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%	17.23%	9.34%	1.705
89	0.00%	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%	17.32%	9.55%	1.676
90	0.00%	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%	17.42%	9.77%	1.648
91	0.00%	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%	17.51%	9.99%	1.620
92	0.00%	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%	17.60%	10.22%	1.594
93	0.00%	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%	17.69%	10.44%	1.568
94	0.00%	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%	17.78%	10.67%	1.544
95	0.00%	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%	17.87%	10.93%	1.514
96	0.00%	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%	17.96%	11.21%	1.485
97	0.00%	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%	18.05%	11.52%	1.452
98	0.00%	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%	18.14%	11.86%	1.419
99	0.00%	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%	18.23%	12.20%	1.387
100	0.00%	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%	18.32%	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

Annual returns for the configured portfolios
Year	Inflation	Provided Portfolio		Maximum Return at 13.00% Volatility		Maximum Sharpe Ratio Weights		Vanguard Balanced Index Inv		Vanguard 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)	AGF U.S. Market Neutral Anti-Beta (BTAL)	Invesco S&P 500 Downside Hedged ETF (PHDG)	T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	Return	Balance	Vanguard 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)	AGF U.S. Market Neutral Anti-Beta (BTAL)	Invesco S&P 500 Downside Hedged ETF (PHDG)	T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)
2018	-0.32%	-1.93%	$9,807	-3.75%	$9,625	0.27%	$10,027	-4.93%	$9,507	0.88%	-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%
2019	2.29%	15.31%	$11,308	21.98%	$11,741	8.56%	$10,886	21.67%	$11,567	3.59%	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%
2020	1.36%	16.37%	$13,160	22.39%	$14,370	14.34%	$12,447	16.26%	$13,448	3.96%	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

Monthly returns for the configured portfolios
Year	Month	Provided Portfolio		Maximum Return at 13.00% Volatility		Maximum Sharpe Ratio Weights		Vanguard Balanced Index Inv		Vanguard 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)	AGF U.S. Market Neutral Anti-Beta (BTAL)	Invesco S&P 500 Downside Hedged ETF (PHDG)	T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)
Year	Month	Return	Balance	Return	Balance	Return	Balance	Return	Balance	Vanguard 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)	AGF U.S. Market Neutral Anti-Beta (BTAL)	Invesco S&P 500 Downside Hedged ETF (PHDG)	T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)
2018	12	-1.93%	$9,807	-3.75%	$9,625	0.27%	$10,027	-4.93%	$9,507	0.88%	-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%
2019	1	3.87%	$10,187	5.72%	$10,175	1.39%	$10,167	5.55%	$10,034	0.30%	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%
2019	2	1.16%	$10,305	1.82%	$10,360	0.55%	$10,223	2.10%	$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%
2019	3	1.16%	$10,425	1.22%	$10,486	1.25%	$10,351	1.65%	$10,414	0.78%	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%
2019	4	1.58%	$10,589	2.49%	$10,748	0.26%	$10,378	2.39%	$10,663	0.15%	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%
2019	5	-1.45%	$10,436	-2.62%	$10,466	0.30%	$10,409	-3.21%	$10,321	0.88%	-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%
2019	6	3.53%	$10,805	4.92%	$10,981	1.80%	$10,596	4.63%	$10,799	0.48%	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%
2019	7	0.51%	$10,861	0.70%	$11,058	0.39%	$10,637	0.97%	$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%
2019	8	0.97%	$10,966	0.55%	$11,119	1.81%	$10,829	-0.11%	$10,892	0.92%	-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%
2019	9	-0.19%	$10,945	0.30%	$11,153	-0.64%	$10,760	0.80%	$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%
2019	10	0.67%	$11,018	1.13%	$11,279	0.19%	$10,781	1.39%	$11,131	0.25%	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%
2019	11	1.18%	$11,148	1.98%	$11,502	0.39%	$10,823	2.24%	$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%
2019	12	1.43%	$11,308	2.08%	$11,741	0.58%	$10,886	1.64%	$11,567	0.14%	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%
2020	1	1.15%	$11,439	0.81%	$11,836	1.49%	$11,048	0.82%	$11,662	0.60%	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%
2020	2	-1.66%	$11,249	-3.19%	$11,458	0.61%	$11,115	-4.22%	$11,169	1.04%	-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%
2020	3	-4.13%	$10,784	-5.76%	$10,799	0.45%	$11,166	-8.48%	$10,222	1.01%	-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%
2020	4	6.34%	$11,468	9.09%	$11,780	3.63%	$11,571	8.55%	$11,096	0.22%	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%
2020	5	2.84%	$11,793	3.95%	$12,245	1.89%	$11,790	3.45%	$11,479	0.38%	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%
2020	6	1.13%	$11,927	1.23%	$12,395	0.62%	$11,863	1.73%	$11,678	0.09%	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%
2020	7	3.51%	$12,345	5.05%	$13,022	2.31%	$12,138	3.99%	$12,143	0.18%	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%
2020	8	2.30%	$12,629	3.60%	$13,490	1.04%	$12,264	3.86%	$12,612	0.19%	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%
2020	9	-1.71%	$12,413	-2.40%	$13,167	-0.71%	$12,177	-2.12%	$12,345	0.06%	-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%
2020	10	-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%
2020	11	4.47%	$12,832	7.26%	$13,882	1.32%	$12,261	7.66%	$13,094	0.11%	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%
2020	12	2.55%	$13,160	3.51%	$14,370	1.52%	$12,447	2.70%	$13,448	0.08%	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%

Risk and Return Metrics

Portfolio return and risk metrics
Metric	Provided Portfolio	Maximum Return at 13.00% Volatility	Maximum Sharpe Ratio Weights	Vanguard 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%
Maximum Drawdown	-5.72%	-8.77%	-1.33%	-12.34%
Stock Market Correlation	0.95	0.97	0.55	0.99
Beta^(*)	0.59	0.90	0.16	1.00
Alpha (annualized)	4.60%	4.55%	8.26%	0.00%
R²	94.62%	96.75%	36.29%	100.00%
Sharpe Ratio	1.50	1.38	2.66	1.04
Sortino Ratio	3.10	2.77	10.77	1.70
Treynor Ratio (%)	20.71	18.73	59.91	13.84
Active Return	-1.19%	3.73%	-4.20%	N/A
Tracking Error	5.74%	2.55%	11.55%	N/A
Information Ratio	-0.21	1.46	-0.36	N/A
Skewness	-0.05	0.01	0.69	-0.53
Excess Kurtosis	0.29	-0.02	1.19	0.81
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 (%)	67.52	101.35	33.10	100.00
Downside Capture Ratio (%)	45.53	77.39	-8.84	100.00
Safe Withdrawal Rate	36.99%	38.12%	36.22%	37.06%
Perpetual Withdrawal Rate	7.74%	10.40%	6.01%	8.40%
Positive Periods	18 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 Ratio	1.30	0.93	1.67	0.89
^* Vanguard Balanced Index Inv is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	Provided Portfolio	Maximum Return at 13.00% Volatility	Maximum Sharpe Ratio Weights	Vanguard Balanced Index Inv
COVID-19 Start	Jan 2020	Mar 2020	-5.72%	-8.77%	0.00%	-12.34%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2020	Mar 2020	2 months	Apr 2020	1 month	3 months	-5.72%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-2.74%
3	Dec 2018	Dec 2018	1 month	Jan 2019	1 month	2 months	-1.93%
4	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-1.45%
5	Sep 2019	Sep 2019	1 month	Oct 2019	1 month	2 months	-0.19%

Drawdowns for Maximum Return at 13.00% Volatility

Drawdowns for Maximum Return at 13.00% Volatility
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2020	Mar 2020	2 months	May 2020	2 months	4 months	-8.77%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-4.07%
3	Dec 2018	Dec 2018	1 month	Jan 2019	1 month	2 months	-3.75%
4	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-2.62%

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Maximum Sharpe Ratio Weights
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Sep 2020	Oct 2020	2 months	Dec 2020	2 months	4 months	-1.33%
2	Sep 2019	Sep 2019	1 month	Dec 2019	3 months	4 months	-0.64%

Drawdowns for Vanguard Balanced Index Inv

Drawdowns for Vanguard Balanced Index Inv
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2020	Mar 2020	2 months	Jun 2020	3 months	5 months	-12.34%
2	Dec 2018	Dec 2018	1 month	Jan 2019	1 month	2 months	-4.93%
3	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-3.56%
4	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-3.21%
5	Aug 2019	Aug 2019	1 month	Sep 2019	1 month	2 months	-0.11%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
VFISX	Vanguard Short-Term Treasury Inv	4.06%	1.32%	3.96%	0.88%	-0.22%	2.14	7.12	-0.59
VBINX	Vanguard Balanced Index Inv	15.28%	13.28%	21.67%	-4.93%	-12.34%	1.04	1.70	0.99
VFINX	Vanguard 500 Index Investor	18.03%	21.10%	31.33%	-9.04%	-19.63%	0.83	1.30	1.00
COTZX	Columbia Thermostat Inst	20.97%	7.72%	29.63%	-0.39%	-2.44%	2.32	12.41	0.80
HSTRX	Hussman Strategic Total Return	12.48%	6.42%	11.45%	2.89%	-1.98%	1.67	4.99	0.29
GAVAX	KL Allocation Advisor	15.13%	6.42%	20.74%	-1.91%	-1.98%	2.01	6.24	0.66
LSWWX	Loomis Sayles Global Allocation Y	17.07%	15.08%	26.80%	-5.08%	-14.58%	1.03	1.71	0.98
FPACX	FPA Crescent	11.89%	19.37%	20.02%	-6.07%	-20.51%	0.61	0.87	0.95
TAIL	Cambria Tail Risk ETF	0.88%	16.68%	11.11%	-14.27%	-14.27%	0.05	0.09	-0.89
DRSK	Aptus Defined Risk ETF	11.77%	6.59%	13.81%	-1.35%	-3.31%	1.53	3.46	0.64
HNDL	Strategy Shares Nasdaq 7 Handl ETF	13.06%	9.38%	17.52%	-2.41%	-9.29%	1.21	2.08	0.94
FMSDX	Fidelity Multi-Asset Income	17.00%	12.24%	23.14%	-3.37%	-10.94%	1.23	2.31	0.97
SWAN	Amplify BlackSwan Gr&Trsry Cor ETF	16.05%	8.51%	22.05%	-3.58%	-5.06%	1.64	3.36	0.81
ATACX	ATAC Rotation Investor	36.99%	19.77%	72.51%	3.66%	-8.05%	1.63	4.84	0.41
BTAL	AGF U.S. Market Neutral Anti-Beta	-4.52%	17.52%	4.31%	-13.86%	-25.73%	-0.25	-0.34	-0.72
PHDG	Invesco S&P 500 Downside Hedged ETF	10.07%	11.13%	18.83%	-5.02%	-6.23%	0.80	1.28	0.42
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	9.70%	5.37%	13.20%	-0.22%	-4.68%	1.48	2.38	0.77

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Expense Ratio
Name	3 Month	Year To Date	1 year	Net	Gross
Vanguard Short-Term Treasury Inv	0.13%	3.96%	3.96%	0.20%	0.20%
Vanguard Balanced Index Inv	8.94%	16.26%	16.26%	0.18%	0.18%
Vanguard 500 Index Investor	12.12%	18.25%	18.25%	0.14%	0.14%
Columbia Thermostat Inst	7.27%	29.63%	29.63%	0.60%	0.65%
Hussman Strategic Total Return	0.43%	11.45%	11.45%	0.78%	0.78%
KL Allocation Advisor	4.87%	20.74%	20.74%	1.53%	1.60%
Loomis Sayles Global Allocation Y	8.13%	15.38%	15.38%	0.89%	0.89%
FPA Crescent	18.15%	12.11%	12.11%	1.06%	1.08%
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 ETF	5.53%	12.62%	12.62%	0.98%	0.98%
Fidelity Multi-Asset Income	10.51%	16.55%	16.55%	0.75%	0.75%
Amplify BlackSwan Gr&Trsry Cor ETF	4.96%	15.87%	15.87%	0.49%	0.49%
ATAC Rotation Investor	15.97%	72.51%	72.51%	1.94%	2.06%
AGF U.S. Market Neutral Anti-Beta	-19.12%	-13.86%	-13.86%	1.54%	2.06%
Invesco S&P 500 Downside Hedged ETF	0.38%	18.83%	18.83%	0.39%	0.44%
T. Rowe Price Multi-Strategy Ttl Ret Inv	4.55%	13.20%	13.20%	1.19%	1.37%
Trailing returns as of last calendar month ending December 2020

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	VFISX	VBINX	VFINX	COTZX	HSTRX	GAVAX	LSWWX	FPACX	TAIL	DRSK	HNDL	FMSDX	SWAN	ATACX	BTAL	PHDG	TMSRX	Provided Portfolio	Maximum Return at 13.00% Volatility	Maximum Sharpe Ratio Weights	Vanguard Balanced Index Inv
VFISX	Vanguard Short-Term Treasury Inv	1.00	-0.53	-0.58	-0.16	0.33	0.01	-0.54	-0.63	0.77	0.07	-0.41	-0.50	-0.17	0.13	0.64	-0.27	-0.39	-0.38	-0.45	0.20	-0.53
VBINX	Vanguard Balanced Index Inv	-0.53	1.00	0.99	0.82	0.36	0.71	0.98	0.95	-0.86	0.68	0.97	0.97	0.84	0.45	-0.68	0.38	0.79	0.97	0.98	0.60	1.00
VFINX	Vanguard 500 Index Investor	-0.58	0.99	1.00	0.80	0.31	0.67	0.98	0.93	-0.89	0.64	0.94	0.97	0.82	0.40	-0.70	0.45	0.75	0.95	0.98	0.56	0.99
COTZX	Columbia Thermostat Inst	-0.16	0.82	0.80	1.00	0.60	0.80	0.78	0.67	-0.52	0.73	0.82	0.81	0.79	0.70	-0.51	0.41	0.63	0.88	0.88	0.84	0.82
HSTRX	Hussman Strategic Total Return	0.33	0.36	0.31	0.60	1.00	0.61	0.37	0.17	-0.03	0.53	0.50	0.36	0.38	0.62	0.10	0.03	0.43	0.51	0.44	0.77	0.36
GAVAX	KL Allocation Advisor	0.01	0.71	0.67	0.80	0.61	1.00	0.71	0.52	-0.42	0.67	0.78	0.69	0.76	0.69	-0.12	0.32	0.62	0.81	0.78	0.91	0.71
LSWWX	Loomis Sayles Global Allocation Y	-0.54	0.98	0.98	0.78	0.37	0.71	1.00	0.93	-0.87	0.65	0.96	0.97	0.80	0.46	-0.62	0.41	0.82	0.97	0.98	0.61	0.98
FPACX	FPA Crescent	-0.63	0.95	0.93	0.67	0.17	0.52	0.93	1.00	-0.88	0.56	0.88	0.93	0.72	0.36	-0.81	0.28	0.79	0.89	0.90	0.39	0.95
TAIL	Cambria Tail Risk ETF	0.77	-0.86	-0.89	-0.52	-0.03	-0.42	-0.87	-0.88	1.00	-0.42	-0.78	-0.82	-0.60	-0.16	0.70	-0.40	-0.64	-0.76	-0.80	-0.22	-0.86
DRSK	Aptus Defined Risk ETF	0.07	0.68	0.64	0.73	0.53	0.67	0.65	0.56	-0.42	1.00	0.70	0.61	0.72	0.57	-0.29	0.39	0.60	0.75	0.70	0.75	0.68
HNDL	Strategy Shares Nasdaq 7 Handl ETF	-0.41	0.97	0.94	0.82	0.50	0.78	0.96	0.88	-0.78	0.70	1.00	0.93	0.83	0.49	-0.54	0.28	0.81	0.97	0.96	0.69	0.97
FMSDX	Fidelity Multi-Asset Income	-0.50	0.97	0.97	0.81	0.36	0.69	0.97	0.93	-0.82	0.61	0.93	1.00	0.83	0.47	-0.69	0.38	0.77	0.96	0.98	0.60	0.97
SWAN	Amplify BlackSwan Gr&Trsry Cor ETF	-0.17	0.84	0.82	0.79	0.38	0.76	0.80	0.72	-0.60	0.72	0.83	0.83	1.00	0.43	-0.45	0.48	0.50	0.85	0.86	0.70	0.84
ATACX	ATAC Rotation Investor	0.13	0.45	0.40	0.70	0.62	0.69	0.46	0.36	-0.16	0.57	0.49	0.47	0.43	1.00	-0.11	0.21	0.58	0.61	0.57	0.79	0.45
BTAL	AGF U.S. Market Neutral Anti-Beta	0.64	-0.68	-0.70	-0.51	0.10	-0.12	-0.62	-0.81	0.70	-0.29	-0.54	-0.69	-0.45	-0.11	1.00	-0.24	-0.46	-0.57	-0.63	-0.03	-0.68
PHDG	Invesco S&P 500 Downside Hedged ETF	-0.27	0.38	0.45	0.41	0.03	0.32	0.41	0.28	-0.40	0.39	0.28	0.38	0.48	0.21	-0.24	1.00	0.15	0.40	0.43	0.37	0.38
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	-0.39	0.79	0.75	0.63	0.43	0.62	0.82	0.79	-0.64	0.60	0.81	0.77	0.50	0.58	-0.46	0.15	1.00	0.83	0.79	0.61	0.79

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Provided Portfolio	Maximum Return at 13.00% Volatility	Maximum Sharpe Ratio Weights
VFISX	Vanguard Short-Term Treasury Inv	$72.57		$179
VBINX	Vanguard Balanced Index Inv	$285
VFINX	Vanguard 500 Index Investor	$355	$910
COTZX	Columbia Thermostat Inst	$364	$931	$909
HSTRX	Hussman Strategic Total Return	$215		$160
GAVAX	KL Allocation Advisor	$268	$360	$484
LSWWX	Loomis Sayles Global Allocation Y	$315	$786
FPACX	FPA Crescent	$255
TAIL	Cambria Tail Risk ETF	$14.37		$19.79
DRSK	Aptus Defined Risk ETF	$77.45
HNDL	Strategy Shares Nasdaq 7 Handl ETF	$88.35
FMSDX	Fidelity Multi-Asset Income	$311	$798
SWAN	Amplify BlackSwan Gr&Trsry Cor ETF	$106	$181	$176
ATACX	ATAC Rotation Investor	$236	$403
BTAL	AGF U.S. Market Neutral Anti-Beta	-$30.83		-$48.52
PHDG	Invesco S&P 500 Downside Hedged ETF	$48.76		$122
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	$179		$446
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 13.00% Volatility	Maximum Sharpe Ratio Weights
VFISX	Vanguard Short-Term Treasury Inv	-0.49%		1.51%
VBINX	Vanguard Balanced Index Inv	12.80%
VFINX	Vanguard 500 Index Investor	19.95%	33.76%
COTZX	Columbia Thermostat Inst	6.76%	11.17%	37.75%
HSTRX	Hussman Strategic Total Return	3.25%		8.60%
GAVAX	KL Allocation Advisor	5.17%	4.30%	24.66%
LSWWX	Loomis Sayles Global Allocation Y	14.47%	23.60%
FPACX	FPA Crescent	17.00%
TAIL	Cambria Tail Risk ETF	-4.71%		-5.41%
DRSK	Aptus Defined Risk ETF	1.82%
HNDL	Strategy Shares Nasdaq 7 Handl ETF	3.38%
FMSDX	Fidelity Multi-Asset Income	11.62%	19.59%
SWAN	Amplify BlackSwan Gr&Trsry Cor ETF	2.70%	2.99%	8.71%
ATACX	ATAC Rotation Investor	4.50%	4.59%
BTAL	AGF U.S. Market Neutral Anti-Beta	-3.72%		-0.83%
PHDG	Invesco S&P 500 Downside Hedged ETF	1.10%		5.97%
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	4.40%		19.04%
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 (Dec 2018 - Dec 2020) Save

Provided Portfolio

Maximum Return at 13.00% 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 13.00% Volatility

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Vanguard Balanced Index Inv

Portfolio Assets

Portfolio Asset Performance

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns