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 (Aug 2019 - Dec 2020) Save

Portfolio optimization results with the goal to maximize Sharpe ratio. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 9.51% to 15.71%. Refer to the efficient frontier section for additional details.

Provided Portfolio

Provided Portfolio
Ticker	Name	Allocation
FIXD	First Trust TCWOpportunistic Fxd Inc ETF	10.00%
VTABX	Vanguard Total Intl Bd Idx Admiral	10.00%
SVARX	Spectrum Low Volatility Investor	5.00%
THLGX	Toews Hedged U.S. Fd	5.00%
SWAN	Amplify BlackSwan Gr&Trsry Cor ETF	5.00%
SUBFX	Carillon Reams Unconstrained Bond I	10.00%
FIKFX	Fidelity Freedom Index Income Investor	5.00%
VASIX	Vanguard LifeStrategy Income Inv	5.00%
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	5.00%
VSCGX	Vanguard LifeStrategy Cnsrv Gr Inv	5.00%
SWLRX	Schwab Monthly Income Income Payout	10.00%
PHDG	Invesco S&P 500 Downside Hedged ETF	5.00%
SPEDX	Alger Dynamic Opportunities A	5.00%
FMSDX	Fidelity Multi-Asset Income	5.00%
MAPIX	Matthews Asia Dividend Investor	5.00%
RPGAX	T. Rowe Price Global Allocation	5.00%
Save portfolio »

Maximum Sharpe Ratio

Maximum Sharpe Ratio
Ticker	Name	Allocation
FIXD	First Trust TCWOpportunistic Fxd Inc ETF	10.00%
VTABX	Vanguard Total Intl Bd Idx Admiral	9.89%
SVARX	Spectrum Low Volatility Investor	5.00%
SWAN	Amplify BlackSwan Gr&Trsry Cor ETF	5.00%
DRSK	Aptus Defined Risk ETF	0.11%
SUBFX	Carillon Reams Unconstrained Bond I	10.00%
WAMBX	WSTCM Credit Select Risk Managed Inv	10.00%
JHBTX	Janus Henderson Global Bond T	10.00%
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	7.70%
RPIEX	T. Rowe Price Dynamic Global Bond Inv	10.00%
PHDG	Invesco S&P 500 Downside Hedged ETF	10.00%
SPEDX	Alger Dynamic Opportunities A	10.00%
MAPIX	Matthews Asia Dividend Investor	2.30%
Save portfolio »

Portfolio Performance Summary

Performance Summary

Portfolio performance statistics
Metric	Provided Portfolio	Maximum Sharpe Ratio
Start Balance	$10,000	$10,000
End Balance	$11,821	$11,687
Annualized Return (CAGR)	12.54%	11.63%
Expected Return	12.06%	11.14%
Standard Deviation	6.37%	4.36%
Best Year	15.11%	15.83%
Worst Year	2.70%	0.90%
Maximum Drawdown	-3.98%	-1.13%
Sharpe Ratio (ex-ante)	1.76	2.36
Sharpe Ratio (ex-post)	1.73	2.29
Sortino Ratio	3.59	7.76
Stock Market Correlation	0.93	0.76
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	5.19%	15.11%	15.11%	12.54%
Maximum Sharpe Ratio	4.06%	15.83%	15.83%	11.63%
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. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks.
The annual results for 2019 are based on full calendar months from August 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	First Trust TCWOpportunistic Fxd Inc ETF (FIXD)	Bonds	7.76%	3.95%	1.752	0.00%	10.00%
2	Vanguard Total Intl Bd Idx Admiral (VTABX)	Bonds	3.42%	3.82%	0.677	0.00%	10.00%
3	Spectrum Low Volatility Investor (SVARX)	Defensive	16.21%	6.28%	2.447	0.00%	5.00%
4	Toews Hedged U.S. Fd (THLGX)	Defensive	22.15%	14.06%	1.516	0.00%	5.00%
5	Amplify BlackSwan Gr&Trsry Cor ETF (SWAN)	Defensive	15.20%	7.96%	1.805	0.00%	5.00%
6	Aptus Defined Risk ETF (DRSK)	Defensive	10.42%	7.09%	1.351	0.00%	5.00%
7	Carillon Reams Unconstrained Bond I (SUBFX)	Bonds	9.17%	5.13%	1.624	0.00%	10.00%
8	WSTCM Credit Select Risk Managed Inv (WAMBX)	Bonds	8.28%	5.05%	1.476	0.00%	10.00%
9	Janus Henderson Global Bond T (JHBTX)	Bonds	9.50%	4.85%	1.785	0.00%	10.00%
10	Fidelity Freedom Index Income Investor (FIKFX)	Conservative Mixed Asset	8.05%	4.76%	1.516	0.00%	10.00%
11	Vanguard LifeStrategy Income Inv (VASIX)	Conservative Mixed Asset	8.54%	5.77%	1.337	0.00%	10.00%
12	T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)	International	10.14%	6.31%	1.473	0.00%	10.00%
13	T. Rowe Price Dynamic Global Bond Inv (RPIEX)	Bonds	6.32%	4.48%	1.223	0.00%	10.00%
14	Vanguard LifeStrategy Cnsrv Gr Inv (VSCGX)	International	11.35%	9.60%	1.095	0.00%	10.00%
15	Schwab Monthly Income Income Payout (SWLRX)	Conservative Mixed Asset	7.03%	5.26%	1.177	0.00%	10.00%
16	Invesco S&P 500 Downside Hedged ETF (PHDG)	Conservative Mixed Asset	12.20%	10.52%	1.080	0.00%	10.00%
17	Alger Dynamic Opportunities A (SPEDX)	Aggressive	25.29%	13.37%	1.829	0.00%	10.00%
18	Fidelity Multi-Asset Income (FMSDX)	Aggressive	16.82%	13.18%	1.213	0.00%	10.00%
19	Matthews Asia Dividend Investor (MAPIX)	International	25.62%	18.80%	1.319	0.00%	10.00%
20	T. Rowe Price Global Allocation (RPGAX)	International	14.90%	15.87%	0.886	0.00%	10.00%
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
Bonds	0.00%	100.00%
Defensive	0.00%	15.00%
Conservative Mixed Asset	10.00%	40.00%
Aggressive	10.00%	20.00%
International	10.00%	100.00%

Asset Correlations

Efficient Frontier Asset Correlations
Name	Ticker	FIXD	VTABX	SVARX	THLGX	SWAN	DRSK	SUBFX	WAMBX	JHBTX	FIKFX	VASIX	TMSRX	RPIEX	VSCGX	SWLRX	PHDG	SPEDX	FMSDX	MAPIX	RPGAX
First Trust TCWOpportunistic Fxd Inc ETF	FIXD	1.00	0.87	0.36	0.17	0.57	0.68	0.70	0.07	0.78	0.69	0.73	0.60	-0.25	0.51	0.76	-0.29	0.56	0.38	0.17	0.40
Vanguard Total Intl Bd Idx Admiral	VTABX	0.87	1.00	0.19	-0.09	0.32	0.50	0.63	-0.06	0.66	0.58	0.69	0.65	-0.50	0.48	0.68	-0.46	0.51	0.28	0.21	0.40
Spectrum Low Volatility Investor	SVARX	0.36	0.19	1.00	0.77	0.65	0.44	0.57	0.80	0.54	0.66	0.62	0.63	0.30	0.66	0.60	0.34	0.67	0.70	0.62	0.67
Toews Hedged U.S. Fd	THLGX	0.17	-0.09	0.77	1.00	0.77	0.48	0.39	0.74	0.41	0.54	0.44	0.35	0.28	0.53	0.43	0.66	0.53	0.65	0.37	0.51
Amplify BlackSwan Gr&Trsry Cor ETF	SWAN	0.57	0.32	0.65	0.77	1.00	0.67	0.68	0.53	0.63	0.87	0.80	0.50	-0.07	0.79	0.81	0.20	0.59	0.82	0.48	0.70
Aptus Defined Risk ETF	DRSK	0.68	0.50	0.44	0.48	0.67	1.00	0.67	-0.00	0.45	0.70	0.67	0.59	-0.16	0.59	0.67	0.22	0.63	0.52	0.30	0.51
Carillon Reams Unconstrained Bond I	SUBFX	0.70	0.63	0.57	0.39	0.68	0.67	1.00	0.29	0.59	0.91	0.93	0.86	-0.15	0.90	0.91	-0.06	0.72	0.80	0.72	0.86
WSTCM Credit Select Risk Managed Inv	WAMBX	0.07	-0.06	0.80	0.74	0.53	-0.00	0.29	1.00	0.46	0.43	0.37	0.36	0.42	0.45	0.36	0.39	0.43	0.60	0.45	0.47
Janus Henderson Global Bond T	JHBTX	0.78	0.66	0.54	0.41	0.63	0.45	0.59	0.46	1.00	0.64	0.65	0.50	-0.02	0.50	0.67	-0.14	0.54	0.46	0.28	0.39
Fidelity Freedom Index Income Investor	FIKFX	0.69	0.58	0.66	0.54	0.87	0.70	0.91	0.43	0.64	1.00	0.99	0.82	-0.18	0.97	0.99	-0.04	0.70	0.91	0.73	0.91
Vanguard LifeStrategy Income Inv	VASIX	0.73	0.69	0.62	0.44	0.80	0.67	0.93	0.37	0.65	0.99	1.00	0.86	-0.26	0.96	0.99	-0.13	0.71	0.87	0.73	0.91
T. Rowe Price Multi-Strategy Ttl Ret Inv	TMSRX	0.60	0.65	0.63	0.35	0.50	0.59	0.86	0.36	0.50	0.82	0.86	1.00	-0.06	0.84	0.83	0.01	0.77	0.76	0.74	0.85
T. Rowe Price Dynamic Global Bond Inv	RPIEX	-0.25	-0.50	0.30	0.28	-0.07	-0.16	-0.15	0.42	-0.02	-0.18	-0.26	-0.06	1.00	-0.18	-0.24	0.53	0.04	0.03	-0.01	-0.15
Vanguard LifeStrategy Cnsrv Gr Inv	VSCGX	0.51	0.48	0.66	0.53	0.79	0.59	0.90	0.45	0.50	0.97	0.96	0.84	-0.18	1.00	0.94	-0.00	0.68	0.96	0.85	0.98
Schwab Monthly Income Income Payout	SWLRX	0.76	0.68	0.60	0.43	0.81	0.67	0.91	0.36	0.67	0.99	0.99	0.83	-0.24	0.94	1.00	-0.18	0.67	0.86	0.70	0.88
Invesco S&P 500 Downside Hedged ETF	PHDG	-0.29	-0.46	0.34	0.66	0.20	0.22	-0.06	0.39	-0.14	-0.04	-0.13	0.01	0.53	-0.00	-0.18	1.00	0.20	0.15	0.01	0.03
Alger Dynamic Opportunities A	SPEDX	0.56	0.51	0.67	0.53	0.59	0.63	0.72	0.43	0.54	0.70	0.71	0.77	0.04	0.68	0.67	0.20	1.00	0.64	0.49	0.65
Fidelity Multi-Asset Income	FMSDX	0.38	0.28	0.70	0.65	0.82	0.52	0.80	0.60	0.46	0.91	0.87	0.76	0.03	0.96	0.86	0.15	0.64	1.00	0.85	0.95
Matthews Asia Dividend Investor	MAPIX	0.17	0.21	0.62	0.37	0.48	0.30	0.72	0.45	0.28	0.73	0.73	0.74	-0.01	0.85	0.70	0.01	0.49	0.85	1.00	0.90
T. Rowe Price Global Allocation	RPGAX	0.40	0.40	0.67	0.51	0.70	0.51	0.86	0.47	0.39	0.91	0.91	0.85	-0.15	0.98	0.88	0.03	0.65	0.95	0.90	1.00
Based on monthly returns from Aug 2019 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
#	FIXD	VTABX	SVARX	THLGX	SWAN	DRSK	SUBFX	WAMBX	JHBTX	FIKFX	VASIX	TMSRX	RPIEX	VSCGX	SWLRX	PHDG	SPEDX	FMSDX	MAPIX	RPGAX	Expected Return *	Standard Deviation *	Sharpe Ratio *
1	10.00%	10.00%	0.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	4.08%	5.92%	0.00%	0.00%	9.51%	3.99%	2.172
2	10.00%	10.00%	0.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	4.82%	5.18%	0.00%	0.00%	9.57%	4.00%	2.187
3	10.00%	10.00%	0.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	5.56%	4.44%	0.00%	0.00%	9.64%	4.00%	2.201
4	10.00%	10.00%	0.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	6.30%	3.70%	0.00%	0.00%	9.70%	4.00%	2.214
5	10.00%	10.00%	0.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	7.04%	2.96%	0.00%	0.00%	9.76%	4.01%	2.227
6	10.00%	10.00%	0.12%	0.00%	0.00%	0.00%	9.88%	10.00%	10.00%	10.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	7.68%	2.32%	0.00%	0.00%	9.82%	4.02%	2.238
7	10.00%	10.00%	0.80%	0.00%	0.00%	0.00%	9.20%	10.00%	10.00%	10.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	7.85%	2.15%	0.00%	0.00%	9.89%	4.03%	2.249
8	10.00%	10.00%	1.49%	0.00%	0.00%	0.00%	8.51%	10.00%	10.00%	10.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	8.03%	1.97%	0.00%	0.00%	9.95%	4.03%	2.259
9	10.00%	10.00%	2.17%	0.00%	0.00%	0.00%	7.83%	10.00%	10.00%	10.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	8.20%	1.80%	0.00%	0.00%	10.01%	4.04%	2.269
10	10.00%	10.00%	2.85%	0.00%	0.00%	0.00%	7.15%	10.00%	10.00%	10.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	8.38%	1.62%	0.00%	0.00%	10.07%	4.05%	2.279
11	10.00%	10.00%	3.52%	0.00%	0.00%	0.00%	7.07%	10.00%	10.00%	9.41%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	8.48%	1.52%	0.00%	0.00%	10.14%	4.06%	2.289
12	10.00%	10.00%	4.19%	0.00%	0.00%	0.00%	7.65%	10.00%	10.00%	8.17%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	8.50%	1.50%	0.00%	0.00%	10.20%	4.07%	2.298
13	10.00%	10.00%	4.85%	0.00%	0.00%	0.00%	8.22%	10.00%	10.00%	6.93%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	8.53%	1.47%	0.00%	0.00%	10.26%	4.09%	2.308
14	10.00%	10.00%	5.00%	0.00%	0.00%	0.00%	9.50%	10.00%	10.00%	5.50%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	8.96%	1.04%	0.00%	0.00%	10.33%	4.10%	2.316
15	10.00%	10.00%	5.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	5.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	9.63%	0.37%	0.00%	0.00%	10.39%	4.11%	2.324
16	10.00%	10.00%	5.00%	0.00%	0.44%	0.00%	10.00%	10.00%	10.00%	4.56%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	0.00%	0.00%	10.45%	4.13%	2.331
17	10.00%	10.00%	5.00%	0.00%	1.32%	0.00%	10.00%	10.00%	10.00%	3.68%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	0.00%	0.00%	10.51%	4.14%	2.336
18	10.00%	10.00%	5.00%	0.00%	2.19%	0.00%	10.00%	10.00%	10.00%	2.81%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	0.00%	0.00%	10.58%	4.16%	2.341
19	10.00%	10.00%	5.00%	0.00%	3.07%	0.00%	10.00%	10.00%	10.00%	1.93%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	0.00%	0.00%	10.64%	4.18%	2.346
20	10.00%	10.00%	5.00%	0.00%	3.95%	0.00%	10.00%	10.00%	10.00%	1.05%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	0.00%	0.00%	10.70%	4.20%	2.351
21	10.00%	10.00%	5.00%	0.00%	4.83%	0.00%	10.00%	10.00%	10.00%	0.17%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	0.00%	0.00%	10.76%	4.21%	2.356
22	10.00%	10.00%	5.00%	0.00%	5.00%	0.00%	10.00%	10.00%	10.00%	0.00%	0.00%	9.68%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	0.32%	0.00%	10.83%	4.24%	2.358
23	10.00%	10.00%	5.00%	0.00%	5.00%	0.00%	10.00%	10.00%	10.00%	0.00%	0.00%	9.27%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	0.73%	0.00%	10.89%	4.26%	2.360
24	10.00%	10.00%	5.00%	0.00%	5.00%	0.00%	10.00%	10.00%	10.00%	0.00%	0.00%	8.87%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	1.13%	0.00%	10.95%	4.28%	2.361
25	10.00%	10.00%	5.00%	0.00%	5.00%	0.00%	10.00%	10.00%	10.00%	0.00%	0.00%	8.46%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	1.54%	0.00%	11.01%	4.31%	2.362
26	10.00%	10.00%	5.00%	0.00%	5.00%	0.00%	10.00%	10.00%	10.00%	0.00%	0.00%	8.06%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	1.94%	0.00%	11.08%	4.34%	2.362
27	10.00%	9.89%	5.00%	0.00%	5.00%	0.11%	10.00%	10.00%	10.00%	0.00%	0.00%	7.70%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	2.30%	0.00%	11.14%	4.36%	2.362
28	10.00%	9.40%	5.00%	0.00%	5.00%	0.60%	10.00%	10.00%	10.00%	0.00%	0.00%	7.52%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	2.48%	0.00%	11.20%	4.39%	2.362
29	10.00%	8.91%	5.00%	0.00%	5.00%	1.09%	10.00%	10.00%	10.00%	0.00%	0.00%	7.34%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	2.66%	0.00%	11.27%	4.42%	2.362
30	10.00%	8.42%	5.00%	0.00%	5.00%	1.58%	10.00%	10.00%	10.00%	0.00%	0.00%	7.15%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	2.85%	0.00%	11.33%	4.44%	2.362
31	10.00%	7.93%	5.00%	0.00%	5.00%	2.07%	10.00%	10.00%	10.00%	0.00%	0.00%	6.97%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	3.03%	0.00%	11.39%	4.47%	2.361
32	10.00%	7.44%	5.00%	0.00%	5.00%	2.56%	10.00%	10.00%	10.00%	0.00%	0.00%	6.78%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	3.22%	0.00%	11.45%	4.50%	2.361
33	10.00%	6.95%	5.00%	0.00%	5.00%	3.05%	10.00%	10.00%	10.00%	0.00%	0.00%	6.60%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	3.40%	0.00%	11.52%	4.53%	2.360
34	10.00%	6.46%	5.00%	0.00%	5.00%	3.54%	10.00%	10.00%	10.00%	0.00%	0.00%	6.42%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	3.58%	0.00%	11.58%	4.55%	2.359
35	10.00%	5.97%	5.00%	0.00%	5.00%	4.03%	10.00%	10.00%	10.00%	0.00%	0.00%	6.23%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	3.77%	0.00%	11.64%	4.58%	2.358
36	10.00%	5.48%	5.00%	0.00%	5.00%	4.52%	10.00%	10.00%	10.00%	0.00%	0.00%	6.05%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	3.95%	0.00%	11.70%	4.61%	2.357
37	10.00%	5.00%	5.00%	0.00%	5.00%	5.00%	10.00%	10.00%	10.00%	0.00%	0.00%	5.86%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	4.14%	0.00%	11.77%	4.64%	2.356
38	10.00%	5.00%	5.00%	0.00%	5.00%	5.00%	10.00%	10.00%	10.00%	0.00%	0.00%	5.46%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	4.54%	0.00%	11.83%	4.67%	2.354
39	10.00%	5.00%	5.00%	0.00%	5.00%	5.00%	10.00%	10.00%	10.00%	0.00%	0.00%	5.05%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	4.95%	0.00%	11.89%	4.70%	2.353
40	10.00%	5.00%	5.00%	0.00%	5.00%	5.00%	10.00%	10.00%	10.00%	0.00%	0.00%	4.65%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	5.35%	0.00%	11.96%	4.73%	2.351
41	10.00%	5.00%	5.00%	0.16%	5.00%	4.84%	10.00%	10.00%	10.00%	0.00%	0.00%	4.36%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	5.64%	0.00%	12.02%	4.76%	2.348
42	10.00%	5.00%	5.00%	0.39%	5.00%	4.61%	10.00%	10.00%	10.00%	0.00%	0.00%	4.13%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	5.87%	0.00%	12.08%	4.79%	2.346
43	10.00%	5.00%	5.00%	0.62%	5.00%	4.38%	10.00%	10.00%	10.00%	0.00%	0.00%	3.90%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	6.10%	0.00%	12.14%	4.82%	2.344
44	10.00%	5.00%	5.00%	0.84%	5.00%	4.16%	10.00%	10.00%	10.00%	0.00%	0.00%	3.67%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	6.33%	0.00%	12.21%	4.86%	2.341
45	10.00%	5.00%	5.00%	1.07%	5.00%	3.93%	10.00%	10.00%	10.00%	0.00%	0.00%	3.44%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	6.56%	0.00%	12.27%	4.89%	2.339
46	10.00%	5.00%	5.00%	1.30%	5.00%	3.70%	10.00%	10.00%	10.00%	0.00%	0.00%	3.21%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	6.79%	0.00%	12.33%	4.92%	2.336
47	10.00%	5.00%	5.00%	1.53%	5.00%	3.47%	10.00%	10.00%	10.00%	0.00%	0.00%	2.98%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	7.02%	0.00%	12.39%	4.95%	2.333
48	10.00%	5.00%	5.00%	1.76%	5.00%	3.24%	10.00%	10.00%	10.00%	0.00%	0.00%	2.74%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	7.26%	0.00%	12.46%	4.99%	2.330
49	10.00%	5.00%	5.00%	1.99%	5.00%	3.01%	10.00%	10.00%	10.00%	0.00%	0.00%	2.51%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	7.49%	0.00%	12.52%	5.02%	2.327
50	10.00%	5.00%	5.00%	2.22%	5.00%	2.78%	10.00%	10.00%	10.00%	0.00%	0.00%	2.28%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	7.72%	0.00%	12.58%	5.05%	2.324
51	10.00%	5.00%	5.00%	2.45%	5.00%	2.55%	10.00%	10.00%	10.00%	0.00%	0.00%	2.05%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	7.95%	0.00%	12.64%	5.09%	2.321
52	10.00%	5.00%	5.00%	2.68%	5.00%	2.32%	10.00%	10.00%	10.00%	0.00%	0.00%	1.82%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	8.18%	0.00%	12.71%	5.12%	2.317
53	10.00%	5.00%	5.00%	2.91%	5.00%	2.09%	10.00%	10.00%	10.00%	0.00%	0.00%	1.59%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	8.41%	0.00%	12.77%	5.16%	2.314
54	10.00%	5.00%	5.00%	3.13%	5.00%	1.87%	10.00%	10.00%	10.00%	0.00%	0.00%	1.36%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	8.64%	0.00%	12.83%	5.19%	2.311
55	10.00%	5.00%	5.00%	3.36%	5.00%	1.64%	10.00%	10.00%	10.00%	0.00%	0.00%	1.12%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	8.88%	0.00%	12.90%	5.23%	2.307
56	10.00%	4.82%	5.00%	3.56%	5.00%	1.44%	10.00%	10.00%	10.00%	0.00%	0.00%	1.12%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	9.05%	0.00%	12.96%	5.26%	2.304
57	10.00%	4.16%	5.00%	3.68%	5.00%	1.32%	10.00%	10.00%	10.00%	0.00%	0.00%	1.76%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	9.08%	0.00%	13.02%	5.30%	2.300
58	10.00%	3.50%	5.00%	3.79%	5.00%	1.21%	10.00%	10.00%	10.00%	0.00%	0.00%	2.39%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	9.12%	0.00%	13.08%	5.33%	2.296
59	10.00%	2.83%	5.00%	3.90%	5.00%	1.10%	10.00%	10.00%	10.00%	0.00%	0.00%	3.02%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	9.15%	0.00%	13.15%	5.37%	2.293
60	10.00%	2.17%	5.00%	4.01%	5.00%	0.99%	10.00%	10.00%	10.00%	0.00%	0.00%	3.65%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	9.18%	0.00%	13.21%	5.40%	2.289
61	10.00%	1.50%	5.00%	4.13%	5.00%	0.87%	10.00%	10.00%	10.00%	0.00%	0.00%	4.29%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	9.21%	0.00%	13.27%	5.44%	2.286
62	10.00%	0.84%	5.00%	4.24%	5.00%	0.76%	10.00%	10.00%	10.00%	0.00%	0.00%	4.92%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	9.24%	0.00%	13.33%	5.48%	2.282
63	10.00%	0.18%	5.00%	4.35%	5.00%	0.65%	10.00%	10.00%	10.00%	0.00%	0.00%	5.55%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	9.27%	0.00%	13.40%	5.51%	2.279
64	10.00%	0.00%	5.00%	4.55%	5.00%	0.45%	10.00%	10.00%	10.00%	0.00%	0.00%	5.55%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	9.45%	0.00%	13.46%	5.55%	2.275
65	10.00%	0.00%	5.00%	4.78%	5.00%	0.22%	10.00%	10.00%	10.00%	0.00%	0.00%	5.32%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	9.68%	0.00%	13.52%	5.59%	2.272
66	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	10.00%	10.00%	0.00%	0.00%	5.08%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	9.92%	0.00%	13.59%	5.62%	2.268
67	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	7.29%	10.00%	0.00%	0.00%	7.71%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	10.00%	0.00%	13.65%	5.67%	2.260
68	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	4.76%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	10.00%	0.24%	10.00%	0.00%	13.71%	5.73%	2.248
69	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	4.03%	10.00%	0.00%	0.00%	10.00%	10.00%	0.00%	0.00%	10.00%	10.00%	0.97%	10.00%	0.00%	13.77%	5.79%	2.235
70	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	3.50%	10.00%	0.00%	0.00%	9.73%	10.00%	0.00%	0.00%	10.00%	10.00%	1.76%	10.00%	0.00%	13.84%	5.85%	2.223
71	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	2.98%	10.00%	0.00%	0.00%	9.46%	10.00%	0.00%	0.00%	10.00%	10.00%	2.56%	10.00%	0.00%	13.90%	5.91%	2.210
72	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	2.46%	10.00%	0.00%	0.00%	9.19%	10.00%	0.00%	0.00%	10.00%	10.00%	3.35%	10.00%	0.00%	13.96%	5.97%	2.198
73	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	1.94%	10.00%	0.00%	0.00%	8.92%	10.00%	0.00%	0.00%	10.00%	10.00%	4.14%	10.00%	0.00%	14.02%	6.04%	2.185
74	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	1.41%	10.00%	0.00%	0.00%	8.65%	10.00%	0.00%	0.00%	10.00%	10.00%	4.94%	10.00%	0.00%	14.09%	6.10%	2.173
75	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	0.89%	10.00%	0.00%	0.00%	8.38%	10.00%	0.00%	0.00%	10.00%	10.00%	5.73%	10.00%	0.00%	14.15%	6.16%	2.161
76	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	0.37%	10.00%	0.00%	0.00%	8.11%	10.00%	0.00%	0.00%	10.00%	10.00%	6.52%	10.00%	0.00%	14.21%	6.22%	2.149
77	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	0.00%	10.00%	0.00%	0.00%	7.64%	10.00%	0.00%	0.00%	10.00%	10.00%	7.36%	10.00%	0.00%	14.27%	6.29%	2.137
78	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	9.34%	0.00%	10.00%	0.00%	0.00%	7.46%	10.00%	0.00%	0.00%	10.00%	10.00%	8.20%	10.00%	0.00%	14.34%	6.35%	2.126
79	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	8.28%	0.00%	10.00%	0.00%	0.00%	7.74%	10.00%	0.00%	0.00%	10.00%	10.00%	8.99%	10.00%	0.00%	14.40%	6.42%	2.114
80	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	7.22%	0.00%	10.00%	0.00%	0.00%	8.01%	10.00%	0.00%	0.00%	10.00%	10.00%	9.77%	10.00%	0.00%	14.46%	6.48%	2.103
81	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	5.91%	0.00%	10.00%	0.00%	0.00%	10.00%	9.09%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	0.00%	14.53%	6.55%	2.090
82	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	8.10%	0.00%	10.00%	0.00%	0.00%	10.00%	6.90%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	0.00%	14.59%	6.63%	2.075
83	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	0.44%	10.00%	0.00%	0.00%	10.00%	4.56%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	0.00%	14.65%	6.71%	2.059
84	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	3.62%	10.00%	0.00%	0.00%	10.00%	1.38%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	0.00%	14.71%	6.80%	2.042
85	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	4.46%	10.00%	0.00%	0.00%	10.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	0.54%	14.78%	6.89%	2.022
86	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	3.51%	10.00%	0.00%	0.00%	10.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	1.49%	14.84%	7.00%	2.001
87	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	2.57%	10.00%	0.00%	0.00%	10.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	2.43%	14.90%	7.10%	1.980
88	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	1.62%	10.00%	0.00%	0.00%	10.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	3.38%	14.96%	7.21%	1.959
89	10.00%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	0.67%	10.00%	0.00%	0.00%	10.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	4.33%	15.03%	7.32%	1.939
90	9.74%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	0.00%	10.00%	0.00%	0.00%	10.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	5.26%	15.09%	7.43%	1.919
91	8.86%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	0.00%	10.00%	0.00%	0.00%	10.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	6.14%	15.15%	7.54%	1.899
92	7.99%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	0.00%	10.00%	0.00%	0.00%	10.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	7.01%	15.22%	7.65%	1.879
93	7.17%	0.00%	5.00%	5.00%	5.00%	0.00%	9.92%	0.00%	10.00%	0.00%	0.00%	10.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	7.91%	15.28%	7.77%	1.860
94	6.96%	0.00%	5.00%	5.00%	5.00%	0.00%	9.09%	0.00%	10.00%	0.00%	0.00%	10.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	8.95%	15.34%	7.88%	1.841
95	6.75%	0.00%	5.00%	5.00%	5.00%	0.00%	8.26%	0.00%	10.00%	0.00%	0.00%	10.00%	0.00%	0.00%	0.00%	10.00%	10.00%	10.00%	10.00%	9.99%	15.40%	7.99%	1.822
96	3.95%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	0.00%	10.00%	0.00%	0.00%	10.00%	0.00%	1.05%	0.00%	10.00%	10.00%	10.00%	10.00%	10.00%	15.47%	8.12%	1.803
97	2.21%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	0.00%	10.00%	0.00%	0.00%	10.00%	0.00%	2.79%	0.00%	10.00%	10.00%	10.00%	10.00%	10.00%	15.53%	8.24%	1.783
98	0.46%	0.00%	5.00%	5.00%	5.00%	0.00%	10.00%	0.00%	10.00%	0.00%	0.00%	10.00%	0.00%	4.54%	0.00%	10.00%	10.00%	10.00%	10.00%	10.00%	15.59%	8.37%	1.763
99	0.00%	0.00%	5.00%	5.00%	5.00%	0.00%	7.88%	0.00%	10.00%	0.00%	0.00%	10.00%	0.00%	7.12%	0.00%	10.00%	10.00%	10.00%	10.00%	10.00%	15.65%	8.50%	1.743
100	0.00%	0.00%	5.00%	5.00%	5.00%	0.00%	5.00%	0.00%	10.00%	0.00%	0.00%	10.00%	0.00%	10.00%	0.00%	10.00%	10.00%	10.00%	10.00%	10.00%	15.72%	8.64%	1.723
^*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 Sharpe Ratio		First Trust TCWOpportunistic Fxd Inc ETF (FIXD)	Vanguard Total Intl Bd Idx Admiral (VTABX)	Spectrum Low Volatility Investor (SVARX)	Toews Hedged U.S. Fd (THLGX)	Amplify BlackSwan Gr&Trsry Cor ETF (SWAN)	Carillon Reams Unconstrained Bond I (SUBFX)	Fidelity Freedom Index Income Investor (FIKFX)	Vanguard LifeStrategy Income Inv (VASIX)	T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)	Vanguard LifeStrategy Cnsrv Gr Inv (VSCGX)	Schwab Monthly Income Income Payout (SWLRX)	Invesco S&P 500 Downside Hedged ETF (PHDG)	Alger Dynamic Opportunities A (SPEDX)	Fidelity Multi-Asset Income (FMSDX)	Matthews Asia Dividend Investor (MAPIX)	T. Rowe Price Global Allocation (RPGAX)	Aptus Defined Risk ETF (DRSK)	WSTCM Credit Select Risk Managed Inv (WAMBX)	Janus Henderson Global Bond T (JHBTX)	T. Rowe Price Dynamic Global Bond Inv (RPIEX)
Year	Inflation	Return	Balance	Return	Balance	First Trust TCWOpportunistic Fxd Inc ETF (FIXD)	Vanguard Total Intl Bd Idx Admiral (VTABX)	Spectrum Low Volatility Investor (SVARX)	Toews Hedged U.S. Fd (THLGX)	Amplify BlackSwan Gr&Trsry Cor ETF (SWAN)	Carillon Reams Unconstrained Bond I (SUBFX)	Fidelity Freedom Index Income Investor (FIKFX)	Vanguard LifeStrategy Income Inv (VASIX)	T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)	Vanguard LifeStrategy Cnsrv Gr Inv (VSCGX)	Schwab Monthly Income Income Payout (SWLRX)	Invesco S&P 500 Downside Hedged ETF (PHDG)	Alger Dynamic Opportunities A (SPEDX)	Fidelity Multi-Asset Income (FMSDX)	Matthews Asia Dividend Investor (MAPIX)	T. Rowe Price Global Allocation (RPGAX)	Aptus Defined Risk ETF (DRSK)	WSTCM Credit Select Risk Managed Inv (WAMBX)	Janus Henderson Global Bond T (JHBTX)	T. Rowe Price Dynamic Global Bond Inv (RPIEX)
2019	0.16%	2.70%	$10,270	0.90%	$10,090	2.37%	0.30%	0.97%	3.28%	6.45%	2.20%	3.07%	3.16%	1.65%	4.59%	3.09%	-0.78%	-4.31%	7.48%	6.58%	5.62%	1.44%	1.47%	1.14%	-0.21%
2020	1.36%	15.11%	$11,821	15.83%	$11,687	8.88%	4.54%	24.10%	30.43%	15.87%	11.18%	8.54%	9.13%	13.20%	11.51%	6.93%	18.83%	47.26%	16.55%	31.25%	14.80%	13.81%	10.60%	12.88%	9.42%
Annual return for 2019 is from 08/01/2019 to 12/31/2019

Monthly Returns

Monthly returns for the configured portfolios
Year	Month	Provided Portfolio		Maximum Sharpe Ratio		First Trust TCWOpportunistic Fxd Inc ETF (FIXD)	Vanguard Total Intl Bd Idx Admiral (VTABX)	Spectrum Low Volatility Investor (SVARX)	Toews Hedged U.S. Fd (THLGX)	Amplify BlackSwan Gr&Trsry Cor ETF (SWAN)	Carillon Reams Unconstrained Bond I (SUBFX)	Fidelity Freedom Index Income Investor (FIKFX)	Vanguard LifeStrategy Income Inv (VASIX)	T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)	Vanguard LifeStrategy Cnsrv Gr Inv (VSCGX)	Schwab Monthly Income Income Payout (SWLRX)	Invesco S&P 500 Downside Hedged ETF (PHDG)	Alger Dynamic Opportunities A (SPEDX)	Fidelity Multi-Asset Income (FMSDX)	Matthews Asia Dividend Investor (MAPIX)	T. Rowe Price Global Allocation (RPGAX)	Aptus Defined Risk ETF (DRSK)	WSTCM Credit Select Risk Managed Inv (WAMBX)	Janus Henderson Global Bond T (JHBTX)	T. Rowe Price Dynamic Global Bond Inv (RPIEX)
Year	Month	Return	Balance	Return	Balance	First Trust TCWOpportunistic Fxd Inc ETF (FIXD)	Vanguard Total Intl Bd Idx Admiral (VTABX)	Spectrum Low Volatility Investor (SVARX)	Toews Hedged U.S. Fd (THLGX)	Amplify BlackSwan Gr&Trsry Cor ETF (SWAN)	Carillon Reams Unconstrained Bond I (SUBFX)	Fidelity Freedom Index Income Investor (FIKFX)	Vanguard LifeStrategy Income Inv (VASIX)	T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)	Vanguard LifeStrategy Cnsrv Gr Inv (VSCGX)	Schwab Monthly Income Income Payout (SWLRX)	Invesco S&P 500 Downside Hedged ETF (PHDG)	Alger Dynamic Opportunities A (SPEDX)	Fidelity Multi-Asset Income (FMSDX)	Matthews Asia Dividend Investor (MAPIX)	T. Rowe Price Global Allocation (RPGAX)	Aptus Defined Risk ETF (DRSK)	WSTCM Credit Select Risk Managed Inv (WAMBX)	Janus Henderson Global Bond T (JHBTX)	T. Rowe Price Dynamic Global Bond Inv (RPIEX)
2019	8	0.81%	$10,081	0.54%	$10,054	2.63%	2.07%	-0.64%	0.00%	2.81%	1.33%	1.26%	1.63%	0.41%	0.73%	1.68%	-3.23%	0.27%	0.54%	-2.17%	-0.84%	1.93%	-0.20%	3.15%	-1.51%
2019	9	-0.33%	$10,048	-0.84%	$9,969	-0.48%	-0.47%	-0.32%	-2.14%	0.10%	0.11%	0.09%	0.03%	-0.61%	0.51%	0.01%	-0.15%	-5.76%	0.26%	2.10%	0.93%	-1.89%	0.20%	-1.41%	-0.36%
2019	10	0.31%	$10,078	-0.29%	$9,940	0.03%	-0.55%	-0.18%	-0.59%	0.81%	0.44%	0.59%	0.50%	-0.10%	1.02%	0.60%	-2.95%	-1.21%	1.69%	4.07%	1.46%	-0.26%	-0.39%	0.54%	0.01%
2019	11	0.85%	$10,164	0.58%	$9,998	0.27%	-0.30%	-0.06%	3.38%	1.71%	0.14%	0.55%	0.49%	0.72%	1.01%	0.30%	3.12%	2.88%	1.83%	-0.99%	1.59%	0.95%	0.10%	-1.32%	-0.20%
2019	12	1.04%	$10,270	0.91%	$10,090	-0.07%	-0.43%	2.19%	2.69%	0.89%	0.16%	0.55%	0.48%	1.23%	1.23%	0.47%	2.61%	-0.36%	2.97%	3.56%	2.40%	0.74%	1.77%	0.25%	1.88%
2020	1	1.03%	$10,375	1.20%	$10,211	1.99%	1.98%	1.55%	2.42%	2.51%	0.67%	1.01%	1.36%	0.83%	0.71%	1.07%	0.57%	5.31%	-1.13%	-5.72%	-0.30%	3.23%	-0.10%	1.79%	-1.54%
2020	2	-0.64%	$10,309	0.08%	$10,219	1.58%	0.68%	0.97%	-2.36%	-1.09%	-0.25%	-0.33%	-0.37%	0.72%	-2.22%	-0.10%	-0.82%	-0.76%	-3.42%	-2.85%	-4.02%	2.17%	-1.41%	0.41%	1.49%
2020	3	-3.37%	$9,962	-0.91%	$10,126	-1.33%	-2.46%	-0.92%	1.45%	-1.27%	-2.76%	-2.74%	-3.96%	-4.68%	-6.58%	-3.58%	5.20%	-3.34%	-6.73%	-11.67%	-11.88%	-2.12%	0.41%	-0.55%	3.12%
2020	4	3.96%	$10,356	2.94%	$10,424	2.37%	1.54%	1.62%	2.22%	3.76%	4.43%	3.04%	3.51%	3.95%	5.40%	3.08%	2.29%	8.29%	6.83%	7.88%	7.58%	5.06%	-0.20%	1.73%	1.33%
2020	5	2.50%	$10,615	2.38%	$10,671	0.98%	0.17%	3.91%	5.05%	1.64%	1.88%	1.22%	1.36%	2.57%	2.32%	1.14%	2.24%	8.18%	3.44%	5.33%	4.34%	1.66%	2.45%	0.72%	1.16%
2020	6	1.65%	$10,790	1.30%	$10,810	0.92%	0.47%	3.07%	3.25%	1.25%	1.88%	0.97%	1.18%	0.90%	1.70%	0.74%	1.30%	2.09%	0.57%	5.94%	2.83%	0.91%	0.70%	1.32%	0.12%
2020	7	3.07%	$11,121	3.01%	$11,136	1.73%	1.03%	4.33%	6.88%	3.46%	1.63%	1.86%	2.12%	2.78%	2.85%	1.79%	3.39%	5.42%	5.23%	6.59%	4.05%	0.50%	4.15%	3.38%	1.85%
2020	8	1.88%	$11,330	1.35%	$11,286	-0.67%	-0.74%	1.91%	7.37%	2.30%	0.55%	0.73%	0.47%	0.97%	1.80%	0.15%	7.18%	2.46%	3.56%	6.85%	3.37%	3.53%	0.47%	-0.09%	-0.14%
2020	9	-0.81%	$11,238	-0.50%	$11,230	-0.13%	0.81%	-0.92%	-7.93%	-2.41%	-0.41%	-0.59%	-0.35%	0.19%	-0.94%	-0.60%	-3.90%	1.78%	-2.22%	3.33%	-1.63%	-1.55%	-1.13%	-0.41%	-0.79%
2020	10	-0.49%	$11,183	-0.06%	$11,223	-0.25%	0.42%	-0.12%	-1.97%	-2.71%	0.29%	-0.82%	-0.65%	0.86%	-1.06%	-0.70%	-1.24%	0.38%	-1.64%	0.05%	-0.43%	-1.78%	0.29%	0.12%	0.13%
2020	11	3.68%	$11,595	2.14%	$11,463	1.22%	0.25%	4.26%	7.75%	6.26%	2.07%	3.00%	3.11%	1.33%	5.44%	3.01%	-1.20%	5.24%	8.49%	8.85%	8.04%	1.99%	2.76%	2.22%	0.47%
2020	12	1.95%	$11,821	1.95%	$11,687	0.18%	0.36%	2.30%	3.89%	1.53%	0.82%	1.02%	1.21%	2.31%	2.13%	0.90%	2.87%	4.94%	3.56%	5.16%	3.63%	-0.29%	1.88%	1.60%	1.93%

Risk and Return Metrics

Portfolio return and risk metrics
Metric	Provided Portfolio	Maximum Sharpe Ratio
Arithmetic Mean (monthly)	1.01%	0.93%
Arithmetic Mean (annualized)	12.75%	11.73%
Geometric Mean (monthly)	0.99%	0.92%
Geometric Mean (annualized)	12.54%	11.63%
Standard Deviation (monthly)	1.84%	1.26%
Standard Deviation (annualized)	6.37%	4.36%
Downside Deviation (monthly)	0.87%	0.33%
Maximum Drawdown	-3.98%	-1.13%
Stock Market Correlation	0.93	0.76
Beta^(*)	0.26	0.14
Alpha (annualized)	6.44%	7.99%
R²	86.74%	58.24%
Sharpe Ratio	1.73	2.29
Sortino Ratio	3.59	7.76
Treynor Ratio (%)	43.71	71.57
Active Return	-8.62%	-9.52%
Tracking Error	17.34%	19.99%
Information Ratio	-0.50	-0.48
Skewness	-0.47	0.18
Excess Kurtosis	0.67	-1.05
Historical Value-at-Risk (5%)	-1.32%	-0.86%
Analytical Value-at-Risk (5%)	-1.93%	-1.08%
Conditional Value-at-Risk (5%)	-3.37%	-0.91%
Upside Capture Ratio (%)	30.11	22.23
Downside Capture Ratio (%)	12.47	-1.22
Safe Withdrawal Rate	54.53%	53.73%
Perpetual Withdrawal Rate	7.33%	6.80%
Positive Periods	12 out of 17 (70.59%)	12 out of 17 (70.59%)
Gain/Loss Ratio	1.68	2.94
^* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	Provided Portfolio	Maximum Sharpe Ratio
COVID-19 Start	Jan 2020	Mar 2020	-3.98%	-0.91%

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	May 2020	2 months	4 months	-3.98%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-1.30%
3	Sep 2019	Sep 2019	1 month	Nov 2019	2 months	3 months	-0.33%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Sep 2019	Oct 2019	2 months	Dec 2019	2 months	4 months	-1.13%
2	Mar 2020	Mar 2020	1 month	Apr 2020	1 month	2 months	-0.91%
3	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-0.56%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
FIXD	First Trust TCWOpportunistic Fxd Inc ETF	7.96%	3.95%	8.88%	2.37%	-1.33%	1.75	4.72	0.33
VTABX	Vanguard Total Intl Bd Idx Admiral	3.40%	3.82%	4.54%	0.30%	-2.46%	0.67	1.05	0.29
SVARX	Spectrum Low Volatility Investor	17.26%	6.28%	24.10%	0.97%	-1.20%	2.40	10.64	0.63
THLGX	Toews Hedged U.S. Fd	23.41%	14.06%	30.43%	3.28%	-9.74%	1.51	2.86	0.59
SWAN	Amplify BlackSwan Gr&Trsry Cor ETF	15.96%	7.96%	15.87%	6.45%	-5.06%	1.80	4.19	0.76
SUBFX	Carillon Reams Unconstrained Bond I	9.43%	5.13%	11.18%	2.20%	-3.01%	1.59	3.40	0.83
FIKFX	Fidelity Freedom Index Income Investor	8.24%	4.76%	8.54%	3.07%	-3.06%	1.49	2.81	0.90
VASIX	Vanguard LifeStrategy Income Inv	8.72%	5.77%	9.13%	3.16%	-4.31%	1.32	2.20	0.87
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	10.41%	6.31%	13.20%	1.65%	-4.68%	1.45	2.28	0.78
VSCGX	Vanguard LifeStrategy Cnsrv Gr Inv	11.47%	9.60%	11.51%	4.59%	-8.65%	1.08	1.73	0.97
SWLRX	Schwab Monthly Income Income Payout	7.12%	5.26%	6.93%	3.09%	-3.68%	1.16	1.93	0.84
PHDG	Invesco S&P 500 Downside Hedged ETF	12.33%	10.52%	18.83%	-0.78%	-6.23%	1.07	2.13	0.16
SPEDX	Alger Dynamic Opportunities A	27.39%	13.37%	47.26%	-4.31%	-6.89%	1.81	4.12	0.65
FMSDX	Fidelity Multi-Asset Income	17.24%	13.18%	16.55%	7.48%	-10.94%	1.20	2.30	0.96
MAPIX	Matthews Asia Dividend Investor	26.74%	18.80%	31.25%	6.58%	-19.10%	1.31	2.15	0.85
RPGAX	T. Rowe Price Global Allocation	14.57%	15.87%	14.80%	5.62%	-15.68%	0.88	1.30	0.97
DRSK	Aptus Defined Risk ETF	10.67%	7.09%	13.81%	1.44%	-3.31%	1.34	2.94	0.55
WAMBX	WSTCM Credit Select Risk Managed Inv	8.48%	5.05%	10.60%	1.47%	-1.51%	1.45	4.32	0.48
JHBTX	Janus Henderson Global Bond T	9.80%	4.85%	12.88%	1.14%	-2.19%	1.76	4.53	0.34
RPIEX	T. Rowe Price Dynamic Global Bond Inv	6.40%	4.48%	9.42%	-0.21%	-2.06%	1.21	2.53	-0.10

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Expense Ratio
Name	3 Month	Year To Date	1 year	Net	Gross
First Trust TCWOpportunistic Fxd Inc ETF	1.15%	8.88%	8.88%	0.65%	0.65%
Vanguard Total Intl Bd Idx Admiral	1.03%	4.54%	4.54%	0.11%	0.11%
Spectrum Low Volatility Investor	6.53%	24.10%	24.10%	2.67%	2.67%
Toews Hedged U.S. Fd	9.74%	30.43%	30.43%	1.27%	1.28%
Amplify BlackSwan Gr&Trsry Cor ETF	4.96%	15.87%	15.87%	0.49%	0.49%
Carillon Reams Unconstrained Bond I	3.21%	11.18%	11.18%	0.50%	0.85%
Fidelity Freedom Index Income Investor	3.19%	8.54%	8.54%	0.12%	0.12%
Vanguard LifeStrategy Income Inv	3.67%	9.13%	9.13%	0.11%	0.11%
T. Rowe Price Multi-Strategy Ttl Ret Inv	4.55%	13.20%	13.20%	1.19%	1.37%
Vanguard LifeStrategy Cnsrv Gr Inv	6.55%	11.51%	11.51%	0.12%	0.12%
Schwab Monthly Income Income Payout	3.20%	6.93%	6.93%	0.21%	0.32%
Invesco S&P 500 Downside Hedged ETF	0.38%	18.83%	18.83%	0.39%	0.44%
Alger Dynamic Opportunities A	10.87%	47.26%	47.26%	2.00%	2.77%
Fidelity Multi-Asset Income	10.51%	16.55%	16.55%	0.75%	0.75%
Matthews Asia Dividend Investor	14.52%	31.25%	31.25%	1.02%	1.03%
T. Rowe Price Global Allocation	11.48%	14.80%	14.80%	0.87%	1.00%
Aptus Defined Risk ETF	-0.12%	13.81%	13.81%	0.79%	0.79%
WSTCM Credit Select Risk Managed Inv	4.99%	10.60%	10.60%	1.67%	1.72%
Janus Henderson Global Bond T	3.99%	12.88%	12.88%	0.84%	1.02%
T. Rowe Price Dynamic Global Bond Inv	2.54%	9.42%	9.42%	0.70%	0.70%
Trailing returns as of last calendar month ending December 2020

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	FIXD	VTABX	SVARX	THLGX	SWAN	SUBFX	FIKFX	VASIX	TMSRX	VSCGX	SWLRX	PHDG	SPEDX	FMSDX	MAPIX	RPGAX	DRSK	WAMBX	JHBTX	RPIEX	Provided Portfolio	Maximum Sharpe Ratio
FIXD	First Trust TCWOpportunistic Fxd Inc ETF	1.00	0.87	0.36	0.17	0.57	0.70	0.69	0.73	0.60	0.51	0.76	-0.29	0.56	0.38	0.17	0.40	0.68	0.07	0.78	-0.25	0.58	0.58
VTABX	Vanguard Total Intl Bd Idx Admiral	0.87	1.00	0.19	-0.09	0.32	0.63	0.58	0.69	0.65	0.48	0.68	-0.46	0.51	0.28	0.21	0.40	0.50	-0.06	0.66	-0.50	0.49	0.44
SVARX	Spectrum Low Volatility Investor	0.36	0.19	1.00	0.77	0.65	0.57	0.66	0.62	0.63	0.66	0.60	0.34	0.67	0.70	0.62	0.67	0.44	0.80	0.54	0.30	0.78	0.85
THLGX	Toews Hedged U.S. Fd	0.17	-0.09	0.77	1.00	0.77	0.39	0.54	0.44	0.35	0.53	0.43	0.66	0.53	0.65	0.37	0.51	0.48	0.74	0.41	0.28	0.66	0.74
SWAN	Amplify BlackSwan Gr&Trsry Cor ETF	0.57	0.32	0.65	0.77	1.00	0.68	0.87	0.80	0.50	0.79	0.81	0.20	0.59	0.82	0.48	0.70	0.67	0.53	0.63	-0.07	0.83	0.75
SUBFX	Carillon Reams Unconstrained Bond I	0.70	0.63	0.57	0.39	0.68	1.00	0.91	0.93	0.86	0.90	0.91	-0.06	0.72	0.80	0.72	0.86	0.67	0.29	0.59	-0.15	0.90	0.80
FIKFX	Fidelity Freedom Index Income Investor	0.69	0.58	0.66	0.54	0.87	0.91	1.00	0.99	0.82	0.97	0.99	-0.04	0.70	0.91	0.73	0.91	0.70	0.43	0.64	-0.18	0.96	0.82
VASIX	Vanguard LifeStrategy Income Inv	0.73	0.69	0.62	0.44	0.80	0.93	0.99	1.00	0.86	0.96	0.99	-0.13	0.71	0.87	0.73	0.91	0.67	0.37	0.65	-0.26	0.94	0.80
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	0.60	0.65	0.63	0.35	0.50	0.86	0.82	0.86	1.00	0.84	0.83	0.01	0.77	0.76	0.74	0.85	0.59	0.36	0.50	-0.06	0.87	0.82
VSCGX	Vanguard LifeStrategy Cnsrv Gr Inv	0.51	0.48	0.66	0.53	0.79	0.90	0.97	0.96	0.84	1.00	0.94	-0.00	0.68	0.96	0.85	0.98	0.59	0.45	0.50	-0.18	0.96	0.79
SWLRX	Schwab Monthly Income Income Payout	0.76	0.68	0.60	0.43	0.81	0.91	0.99	0.99	0.83	0.94	1.00	-0.18	0.67	0.86	0.70	0.88	0.67	0.36	0.67	-0.24	0.92	0.77
PHDG	Invesco S&P 500 Downside Hedged ETF	-0.29	-0.46	0.34	0.66	0.20	-0.06	-0.04	-0.13	0.01	-0.00	-0.18	1.00	0.20	0.15	0.01	0.03	0.22	0.39	-0.14	0.53	0.15	0.36
SPEDX	Alger Dynamic Opportunities A	0.56	0.51	0.67	0.53	0.59	0.72	0.70	0.71	0.77	0.68	0.67	0.20	1.00	0.64	0.49	0.65	0.63	0.43	0.54	0.04	0.79	0.89
FMSDX	Fidelity Multi-Asset Income	0.38	0.28	0.70	0.65	0.82	0.80	0.91	0.87	0.76	0.96	0.86	0.15	0.64	1.00	0.85	0.95	0.52	0.60	0.46	0.03	0.94	0.80
MAPIX	Matthews Asia Dividend Investor	0.17	0.21	0.62	0.37	0.48	0.72	0.73	0.73	0.74	0.85	0.70	0.01	0.49	0.85	1.00	0.90	0.30	0.45	0.28	-0.01	0.80	0.62
RPGAX	T. Rowe Price Global Allocation	0.40	0.40	0.67	0.51	0.70	0.86	0.91	0.91	0.85	0.98	0.88	0.03	0.65	0.95	0.90	1.00	0.51	0.47	0.39	-0.15	0.94	0.76
DRSK	Aptus Defined Risk ETF	0.68	0.50	0.44	0.48	0.67	0.67	0.70	0.67	0.59	0.59	0.67	0.22	0.63	0.52	0.30	0.51	1.00	-0.00	0.45	-0.16	0.67	0.66
WAMBX	WSTCM Credit Select Risk Managed Inv	0.07	-0.06	0.80	0.74	0.53	0.29	0.43	0.37	0.36	0.45	0.36	0.39	0.43	0.60	0.45	0.47	-0.00	1.00	0.46	0.42	0.56	0.66
JHBTX	Janus Henderson Global Bond T	0.78	0.66	0.54	0.41	0.63	0.59	0.64	0.65	0.50	0.50	0.67	-0.14	0.54	0.46	0.28	0.39	0.45	0.46	1.00	-0.02	0.60	0.67
RPIEX	T. Rowe Price Dynamic Global Bond Inv	-0.25	-0.50	0.30	0.28	-0.07	-0.15	-0.18	-0.26	-0.06	-0.18	-0.24	0.53	0.04	0.03	-0.01	-0.15	-0.16	0.42	-0.02	1.00	-0.04	0.21

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Provided Portfolio	Maximum Sharpe Ratio
FIXD	First Trust TCWOpportunistic Fxd Inc ETF	$113	$113
VTABX	Vanguard Total Intl Bd Idx Admiral	$51.03	$50.60
SVARX	Spectrum Low Volatility Investor	$123	$123
THLGX	Toews Hedged U.S. Fd	$167
SWAN	Amplify BlackSwan Gr&Trsry Cor ETF	$113	$113
SUBFX	Carillon Reams Unconstrained Bond I	$136	$137
FIKFX	Fidelity Freedom Index Income Investor	$60.06
VASIX	Vanguard LifeStrategy Income Inv	$63.89
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	$77.02	$119
VSCGX	Vanguard LifeStrategy Cnsrv Gr Inv	$85.83
SWLRX	Schwab Monthly Income Income Payout	$104
PHDG	Invesco S&P 500 Downside Hedged ETF	$91.72	$183
SPEDX	Alger Dynamic Opportunities A	$193	$387
FMSDX	Fidelity Multi-Asset Income	$128
MAPIX	Matthews Asia Dividend Investor	$199	$92.46
RPGAX	T. Rowe Price Global Allocation	$115
DRSK	Aptus Defined Risk ETF		$1.73
WAMBX	WSTCM Credit Select Risk Managed Inv		$128
JHBTX	Janus Henderson Global Bond T		$143
RPIEX	T. Rowe Price Dynamic Global Bond Inv		$94.94
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 Sharpe Ratio
FIXD	First Trust TCWOpportunistic Fxd Inc ETF	3.59%	5.25%
VTABX	Vanguard Total Intl Bd Idx Admiral	2.92%	3.79%
SVARX	Spectrum Low Volatility Investor	3.87%	6.14%
THLGX	Toews Hedged U.S. Fd	7.30%
SWAN	Amplify BlackSwan Gr&Trsry Cor ETF	5.18%	6.88%
SUBFX	Carillon Reams Unconstrained Bond I	7.27%	9.37%
FIKFX	Fidelity Freedom Index Income Investor	3.59%
VASIX	Vanguard LifeStrategy Income Inv	4.27%
TMSRX	T. Rowe Price Multi-Strategy Ttl Ret Inv	4.32%	9.12%
VSCGX	Vanguard LifeStrategy Cnsrv Gr Inv	7.26%
SWLRX	Schwab Monthly Income Income Payout	7.61%
PHDG	Invesco S&P 500 Downside Hedged ETF	1.27%	8.66%
SPEDX	Alger Dynamic Opportunities A	8.33%	27.16%
FMSDX	Fidelity Multi-Asset Income	9.73%
MAPIX	Matthews Asia Dividend Investor	11.79%	6.18%
RPGAX	T. Rowe Price Global Allocation	11.71%
DRSK	Aptus Defined Risk ETF		0.12%
WAMBX	WSTCM Credit Select Risk Managed Inv		7.65%
JHBTX	Janus Henderson Global Bond T		7.50%
RPIEX	T. Rowe Price Dynamic Global Bond Inv		2.18%
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 (Aug 2019 - Dec 2020) Save

Provided Portfolio

Maximum Sharpe Ratio

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 Sharpe Ratio

Portfolio Assets

Portfolio Asset Performance

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns