Portfolio Optimization

This portfolio optimizer tool supports the following portfolio optimization strategies:

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

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

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Asset Groups
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Portfolio Optimization Results (Aug 2019 - Dec 2020) Save

Portfolio optimization results with goal to maximize Sharpe ratio. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 9.94% to 16.89%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

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 Max 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
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

Portfolio performance statistics
MetricProvided PortfolioMaximum Sharpe Ratio
Start Balance$10,000$10,000
End Balance$11,821$11,687
CAGR12.54%11.63%
Expected Return12.75%11.73%
Stdev6.37%4.36%
Best Year15.11%15.83%
Worst Year2.70%0.90%
Max. Drawdown -3.98% -1.13%
Sharpe Ratio (ex-ante)1.762.36
Sharpe Ratio (ex-post)1.732.29
Sortino Ratio3.597.76
US Stock Market Correlation0.930.76
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
Name3 Month1 yearFull
Provided Portfolio5.19%15.11%12.54%
Maximum Sharpe Ratio4.06%15.83%11.63%
Trailing annualized returns are for full months ending in December 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks
  • The annual results for 2019 are based on full calendar months from August to December
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
  • Drawdowns are calculated based on monthly returns.
  • The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.
Efficient Frontier Assets
#AssetGroupExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1First Trust TCWOpportunistic Fxd Inc ETF (FIXD)Bonds8.04%3.95%1.7520.00%10.00%
2Vanguard Total Intl Bd Idx Admiral (VTABX)Bonds3.47%3.82%0.6770.00%10.00%
3Spectrum Low Volatility Investor (SVARX)Defensive17.47%6.28%2.4470.00%5.00%
4Toews Hedged U.S. Fd (THLGX)Defensive24.54%14.06%1.5160.00%5.00%
5Amplify BlackSwan Gr&Trsry Cor ETF (SWAN)Defensive16.30%7.96%1.8050.00%5.00%
6Aptus Defined Risk ETF (DRSK)Defensive10.93%7.09%1.3510.00%5.00%
7Carillon Reams Unconstrained Bond I (SUBFX)Bonds9.57%5.13%1.6240.00%10.00%
8WSTCM Credit Select Risk Managed Inv (WAMBX)Bonds8.61%5.05%1.4760.00%10.00%
9Janus Henderson Global Bond T (JHBTX)Bonds9.92%4.85%1.7850.00%10.00%
10Fidelity Freedom Index Income Investor (FIKFX)Conservative Mixed Asset8.36%4.76%1.5160.00%10.00%
11Vanguard LifeStrategy Income Inv (VASIX)Conservative Mixed Asset8.89%5.77%1.3370.00%10.00%
12T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)International10.62%6.31%1.4730.00%10.00%
13T. Rowe Price Dynamic Global Bond Inv (RPIEX)Bonds6.50%4.48%1.2230.00%10.00%
14Vanguard LifeStrategy Cnsrv Gr Inv (VSCGX)International11.96%9.60%1.0950.00%10.00%
15Schwab Monthly Income Max Payout (SWLRX)Conservative Mixed Asset7.26%5.26%1.1770.00%10.00%
16Invesco S&P 500 Downside Hedged ETF (PHDG)Conservative Mixed Asset12.90%10.52%1.0800.00%10.00%
17Alger Dynamic Opportunities A (SPEDX)Aggressive28.43%13.37%1.8290.00%10.00%
18Fidelity Multi-Asset Income (FMSDX)Aggressive18.18%13.18%1.2130.00%10.00%
19Matthews Asia Dividend Investor (MAPIX)International28.86%18.80%1.3190.00%10.00%
20T. Rowe Price Global Allocation (RPGAX)International15.96%15.87%0.8860.00%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 GroupMin. WeightMax. Weight
Bonds0.00%100.00%
Defensive0.00%15.00%
Conservative Mixed Asset10.00%40.00%
Aggressive10.00%20.00%
International10.00%100.00%

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerFIXDVTABXSVARXTHLGXSWANDRSKSUBFXWAMBXJHBTXFIKFXVASIXTMSRXRPIEXVSCGXSWLRXPHDGSPEDXFMSDXMAPIXRPGAX
First Trust TCWOpportunistic Fxd Inc ETFFIXD1.000.870.360.170.570.680.700.070.780.690.730.60-0.250.510.76-0.290.560.380.170.40
Vanguard Total Intl Bd Idx AdmiralVTABX0.871.000.19-0.090.320.500.63-0.060.660.580.690.65-0.500.480.68-0.460.510.280.210.40
Spectrum Low Volatility InvestorSVARX0.360.191.000.770.650.440.570.800.540.660.620.630.300.660.600.340.670.700.620.67
Toews Hedged U.S. FdTHLGX0.17-0.090.771.000.770.480.390.740.410.540.440.350.280.530.430.660.530.650.370.51
Amplify BlackSwan Gr&Trsry Cor ETFSWAN0.570.320.650.771.000.670.680.530.630.870.800.50-0.070.790.810.200.590.820.480.70
Aptus Defined Risk ETFDRSK0.680.500.440.480.671.000.67-0.000.450.700.670.59-0.160.590.670.220.630.520.300.51
Carillon Reams Unconstrained Bond ISUBFX0.700.630.570.390.680.671.000.290.590.910.930.86-0.150.900.91-0.060.720.800.720.86
WSTCM Credit Select Risk Managed InvWAMBX0.07-0.060.800.740.53-0.000.291.000.460.430.370.360.420.450.360.390.430.600.450.47
Janus Henderson Global Bond TJHBTX0.780.660.540.410.630.450.590.461.000.640.650.50-0.020.500.67-0.140.540.460.280.39
Fidelity Freedom Index Income InvestorFIKFX0.690.580.660.540.870.700.910.430.641.000.990.82-0.180.970.99-0.040.700.910.730.91
Vanguard LifeStrategy Income InvVASIX0.730.690.620.440.800.670.930.370.650.991.000.86-0.260.960.99-0.130.710.870.730.91
T. Rowe Price Multi-Strategy Ttl Ret InvTMSRX0.600.650.630.350.500.590.860.360.500.820.861.00-0.060.840.830.010.770.760.740.85
T. Rowe Price Dynamic Global Bond InvRPIEX-0.25-0.500.300.28-0.07-0.16-0.150.42-0.02-0.18-0.26-0.061.00-0.18-0.240.530.040.03-0.01-0.15
Vanguard LifeStrategy Cnsrv Gr InvVSCGX0.510.480.660.530.790.590.900.450.500.970.960.84-0.181.000.94-0.000.680.960.850.98
Schwab Monthly Income Max PayoutSWLRX0.760.680.600.430.810.670.910.360.670.990.990.83-0.240.941.00-0.180.670.860.700.88
Invesco S&P 500 Downside Hedged ETFPHDG-0.29-0.460.340.660.200.22-0.060.39-0.14-0.04-0.130.010.53-0.00-0.181.000.200.150.010.03
Alger Dynamic Opportunities ASPEDX0.560.510.670.530.590.630.720.430.540.700.710.770.040.680.670.201.000.640.490.65
Fidelity Multi-Asset IncomeFMSDX0.380.280.700.650.820.520.800.600.460.910.870.760.030.960.860.150.641.000.850.95
Matthews Asia Dividend InvestorMAPIX0.170.210.620.370.480.300.720.450.280.730.730.74-0.010.850.700.010.490.851.000.90
T. Rowe Price Global AllocationRPGAX0.400.400.670.510.700.510.860.470.390.910.910.85-0.150.980.880.030.650.950.901.00
Based on monthly returns from Aug 2019 to Dec 2020
Efficient Frontier Assets
#FIXDVTABXSVARXTHLGXSWANDRSKSUBFXWAMBXJHBTXFIKFXVASIXTMSRXRPIEXVSCGXSWLRXPHDGSPEDXFMSDXMAPIXRPGAXExpected Return*Standard Deviation*Sharpe Ratio*
110.00%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%9.94%3.99%2.172
210.00%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%10.00%4.00%2.187
310.00%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%10.07%4.00%2.201
410.00%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%10.14%4.00%2.214
510.00%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%10.21%4.01%2.227
610.00%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%10.28%4.02%2.238
710.00%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%10.35%4.03%2.249
810.00%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%10.42%4.03%2.259
910.00%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%10.48%4.04%2.269
1010.00%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%10.55%4.05%2.279
1110.00%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%10.62%4.06%2.289
1210.00%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%10.69%4.07%2.298
1310.00%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%10.76%4.09%2.308
1410.00%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%10.83%4.10%2.316
1510.00%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%10.90%4.11%2.324
1610.00%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%10.97%4.13%2.331
1710.00%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%11.04%4.14%2.336
1810.00%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%11.10%4.16%2.341
1910.00%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%11.17%4.18%2.346
2010.00%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%11.24%4.20%2.351
2110.00%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%11.31%4.21%2.356
2210.00%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%11.38%4.24%2.358
2310.00%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%11.45%4.26%2.360
2410.00%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%11.52%4.28%2.361
2510.00%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%11.59%4.31%2.362
2610.00%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%11.66%4.34%2.362
2710.00%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%11.73%4.36%2.362
2810.00%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%11.80%4.39%2.362
2910.00%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%11.87%4.42%2.362
3010.00%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%11.94%4.44%2.362
3110.00%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%12.01%4.47%2.361
3210.00%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%12.07%4.50%2.361
3310.00%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%12.14%4.53%2.360
3410.00%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%12.21%4.55%2.359
3510.00%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%12.28%4.58%2.358
3610.00%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%12.35%4.61%2.357
3710.00%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%12.42%4.64%2.356
3810.00%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%12.49%4.67%2.354
3910.00%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%12.56%4.70%2.353
4010.00%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%12.63%4.73%2.351
4110.00%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%12.70%4.76%2.348
4210.00%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%12.77%4.79%2.346
4310.00%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%12.84%4.82%2.344
4410.00%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%12.91%4.86%2.341
4510.00%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%12.98%4.89%2.339
4610.00%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%13.05%4.92%2.336
4710.00%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%13.12%4.95%2.333
4810.00%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%13.19%4.99%2.330
4910.00%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%13.26%5.02%2.327
5010.00%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%13.33%5.05%2.324
5110.00%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%13.40%5.09%2.321
5210.00%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%13.47%5.12%2.317
5310.00%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%13.54%5.16%2.314
5410.00%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%13.62%5.19%2.311
5510.00%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%13.69%5.23%2.307
5610.00%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%13.76%5.26%2.304
5710.00%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%13.83%5.30%2.300
5810.00%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%13.90%5.33%2.296
5910.00%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%13.97%5.37%2.293
6010.00%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%14.04%5.40%2.289
6110.00%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%14.11%5.44%2.286
6210.00%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%14.18%5.48%2.282
6310.00%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%14.25%5.51%2.279
6410.00%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%14.32%5.55%2.275
6510.00%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%14.39%5.59%2.272
6610.00%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%14.46%5.62%2.268
6710.00%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%14.53%5.67%2.260
6810.00%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%14.61%5.73%2.248
6910.00%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%14.68%5.79%2.235
7010.00%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%14.75%5.85%2.223
7110.00%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%14.82%5.91%2.210
7210.00%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%14.89%5.97%2.198
7310.00%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%14.96%6.04%2.185
7410.00%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%15.03%6.10%2.173
7510.00%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%15.10%6.16%2.161
7610.00%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%15.18%6.22%2.149
7710.00%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%15.25%6.29%2.137
7810.00%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%15.32%6.35%2.126
7910.00%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%15.39%6.42%2.114
8010.00%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%15.46%6.48%2.103
8110.00%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%15.53%6.55%2.090
8210.00%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%15.60%6.63%2.075
8310.00%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%15.68%6.71%2.059
8410.00%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%15.75%6.80%2.042
8510.00%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%15.82%6.89%2.022
8610.00%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%15.89%7.00%2.001
8710.00%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%15.96%7.10%1.980
8810.00%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%16.03%7.21%1.959
8910.00%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%16.11%7.32%1.939
909.74%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%16.18%7.43%1.919
918.86%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%16.25%7.54%1.899
927.99%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%16.32%7.65%1.879
937.17%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%16.39%7.77%1.860
946.96%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%16.47%7.88%1.841
956.75%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%16.54%7.99%1.822
963.95%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%16.61%8.12%1.803
972.21%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%16.68%8.24%1.783
980.46%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%16.76%8.37%1.763
990.00%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%16.83%8.50%1.743
1000.00%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%16.90%8.64%1.723
*Ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate.
Annual returns for the configured portfolios
YearInflationProvided PortfolioMaximum Sharpe RatioFirst 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 Max 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)
ReturnBalanceReturnBalance
20190.16%2.70%$10,2700.90%$10,0902.37%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%
20201.36%15.11%$11,82115.83%$11,6878.88%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 for the configured portfolios
YearMonthProvided PortfolioMaximum Sharpe RatioFirst 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 Max 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)
ReturnBalanceReturnBalance
201980.81%$10,0810.54%$10,0542.63%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%
20199-0.33%$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%
2019100.31%$10,078-0.29%$9,9400.03%-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%
2019110.85%$10,1640.58%$9,9980.27%-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%
2019121.04%$10,2700.91%$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%
202011.03%$10,3751.20%$10,2111.99%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%
20202-0.64%$10,3090.08%$10,2191.58%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%
20203-3.37%$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%
202043.96%$10,3562.94%$10,4242.37%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%
202052.50%$10,6152.38%$10,6710.98%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%
202061.65%$10,7901.30%$10,8100.92%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%
202073.07%$11,1213.01%$11,1361.73%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%
202081.88%$11,3301.35%$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%
20209-0.81%$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%
202010-0.49%$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%
2020113.68%$11,5952.14%$11,4631.22%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%
2020121.95%$11,8211.95%$11,6870.18%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%
Portfolio return and risk metrics
MetricProvided PortfolioMaximum 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%
Volatility (monthly)1.84%1.26%
Volatility (annualized)6.37%4.36%
Downside Deviation (monthly)0.87%0.33%
Max. Drawdown-3.98%-1.13%
US Market Correlation0.930.76
Beta(*)0.260.14
Alpha (annualized)6.44%7.99%
R286.74%58.24%
Sharpe Ratio1.732.29
Sortino Ratio3.597.76
Treynor Ratio (%)43.7171.57
Active Return-8.62%-9.52%
Tracking Error17.34%19.99%
Information Ratio-0.50-0.48
Skewness-0.470.18
Excess Kurtosis0.67-1.05
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 (%)30.1122.23
Downside Capture Ratio (%)12.47-1.22
Safe Withdrawal Rate54.53%53.73%
Perpetual Withdrawal Rate7.33%6.80%
Positive Periods12 out of 17 (70.59%)12 out of 17 (70.59%)
Gain/Loss Ratio1.682.94
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndProvided PortfolioMaximum Sharpe Ratio
COVID-19 StartJan 2020Mar 2020-3.98%-0.91%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-3.98%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-1.30%
3Sep 2019Sep 20191 monthNov 20192 months3 months-0.33%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2019Oct 20192 monthsDec 20192 months4 months-1.13%
2Mar 2020Mar 20201 monthApr 20201 month2 months-0.91%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-0.56%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FIXDFirst Trust TCWOpportunistic Fxd Inc ETF7.96%3.95%8.88%2.37%-1.33%1.754.720.33
VTABXVanguard Total Intl Bd Idx Admiral3.40%3.82%4.54%0.30%-2.46%0.671.050.29
SVARXSpectrum Low Volatility Investor17.26%6.28%24.10%0.97%-1.20%2.4010.640.63
THLGXToews Hedged U.S. Fd23.41%14.06%30.43%3.28%-9.74%1.512.860.59
SWANAmplify BlackSwan Gr&Trsry Cor ETF15.96%7.96%15.87%6.45%-5.06%1.804.190.76
SUBFXCarillon Reams Unconstrained Bond I9.43%5.13%11.18%2.20%-3.01%1.593.400.83
FIKFXFidelity Freedom Index Income Investor8.24%4.76%8.54%3.07%-3.06%1.492.810.90
VASIXVanguard LifeStrategy Income Inv8.72%5.77%9.13%3.16%-4.31%1.322.200.87
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv10.41%6.31%13.20%1.65%-4.68%1.452.280.78
VSCGXVanguard LifeStrategy Cnsrv Gr Inv11.47%9.60%11.51%4.59%-8.65%1.081.730.97
SWLRXSchwab Monthly Income Max Payout7.12%5.26%6.93%3.09%-3.68%1.161.930.84
PHDGInvesco S&P 500 Downside Hedged ETF12.33%10.52%18.83%-0.78%-6.23%1.072.130.16
SPEDXAlger Dynamic Opportunities A27.39%13.37%47.26%-4.31%-6.89%1.814.120.65
FMSDXFidelity Multi-Asset Income17.24%13.18%16.55%7.48%-10.94%1.202.300.96
MAPIXMatthews Asia Dividend Investor26.74%18.80%31.25%6.58%-19.10%1.312.150.85
RPGAXT. Rowe Price Global Allocation14.57%15.87%14.80%5.62%-15.68%0.881.300.97
DRSKAptus Defined Risk ETF10.67%7.09%13.81%1.44%-3.31%1.342.940.55
WAMBXWSTCM Credit Select Risk Managed Inv8.48%5.05%10.60%1.47%-1.51%1.454.320.48
JHBTXJanus Henderson Global Bond T9.80%4.85%12.88%1.14%-2.19%1.764.530.34
RPIEXT. Rowe Price Dynamic Global Bond Inv6.40%4.48%9.42%-0.21%-2.06%1.212.53-0.10

Monthly Correlations

Correlations for the portfolio assets
TickerNameFIXDVTABXSVARXTHLGXSWANSUBFXFIKFXVASIXTMSRXVSCGXSWLRXPHDGSPEDXFMSDXMAPIXRPGAXDRSKWAMBXJHBTXRPIEXProvided PortfolioMaximum Sharpe Ratio
FIXDFirst Trust TCWOpportunistic Fxd Inc ETF1.000.870.360.170.570.700.690.730.600.510.76-0.290.560.380.170.400.680.070.78-0.250.580.58
VTABXVanguard Total Intl Bd Idx Admiral0.871.000.19-0.090.320.630.580.690.650.480.68-0.460.510.280.210.400.50-0.060.66-0.500.490.44
SVARXSpectrum Low Volatility Investor0.360.191.000.770.650.570.660.620.630.660.600.340.670.700.620.670.440.800.540.300.780.85
THLGXToews Hedged U.S. Fd0.17-0.090.771.000.770.390.540.440.350.530.430.660.530.650.370.510.480.740.410.280.660.74
SWANAmplify BlackSwan Gr&Trsry Cor ETF0.570.320.650.771.000.680.870.800.500.790.810.200.590.820.480.700.670.530.63-0.070.830.75
SUBFXCarillon Reams Unconstrained Bond I0.700.630.570.390.681.000.910.930.860.900.91-0.060.720.800.720.860.670.290.59-0.150.900.80
FIKFXFidelity Freedom Index Income Investor0.690.580.660.540.870.911.000.990.820.970.99-0.040.700.910.730.910.700.430.64-0.180.960.82
VASIXVanguard LifeStrategy Income Inv0.730.690.620.440.800.930.991.000.860.960.99-0.130.710.870.730.910.670.370.65-0.260.940.80
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv0.600.650.630.350.500.860.820.861.000.840.830.010.770.760.740.850.590.360.50-0.060.870.82
VSCGXVanguard LifeStrategy Cnsrv Gr Inv0.510.480.660.530.790.900.970.960.841.000.94-0.000.680.960.850.980.590.450.50-0.180.960.79
SWLRXSchwab Monthly Income Max Payout0.760.680.600.430.810.910.990.990.830.941.00-0.180.670.860.700.880.670.360.67-0.240.920.77
PHDGInvesco S&P 500 Downside Hedged ETF-0.29-0.460.340.660.20-0.06-0.04-0.130.01-0.00-0.181.000.200.150.010.030.220.39-0.140.530.150.36
SPEDXAlger Dynamic Opportunities A0.560.510.670.530.590.720.700.710.770.680.670.201.000.640.490.650.630.430.540.040.790.89
FMSDXFidelity Multi-Asset Income0.380.280.700.650.820.800.910.870.760.960.860.150.641.000.850.950.520.600.460.030.940.80
MAPIXMatthews Asia Dividend Investor0.170.210.620.370.480.720.730.730.740.850.700.010.490.851.000.900.300.450.28-0.010.800.62
RPGAXT. Rowe Price Global Allocation0.400.400.670.510.700.860.910.910.850.980.880.030.650.950.901.000.510.470.39-0.150.940.76
DRSKAptus Defined Risk ETF0.680.500.440.480.670.670.700.670.590.590.670.220.630.520.300.511.00-0.000.45-0.160.670.66
WAMBXWSTCM Credit Select Risk Managed Inv0.07-0.060.800.740.530.290.430.370.360.450.360.390.430.600.450.47-0.001.000.460.420.560.66
JHBTXJanus Henderson Global Bond T0.780.660.540.410.630.590.640.650.500.500.67-0.140.540.460.280.390.450.461.00-0.020.600.67
RPIEXT. Rowe Price Dynamic Global Bond Inv-0.25-0.500.300.28-0.07-0.15-0.18-0.26-0.06-0.18-0.240.530.040.03-0.01-0.15-0.160.42-0.021.00-0.040.21

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameProvided PortfolioMaximum Sharpe Ratio
FIXDFirst Trust TCWOpportunistic Fxd Inc ETF3.59%5.25%
VTABXVanguard Total Intl Bd Idx Admiral2.92%3.79%
SVARXSpectrum Low Volatility Investor3.87%6.14%
THLGXToews Hedged U.S. Fd7.30%
SWANAmplify BlackSwan Gr&Trsry Cor ETF5.18%6.88%
SUBFXCarillon Reams Unconstrained Bond I7.27%9.37%
FIKFXFidelity Freedom Index Income Investor3.59%
VASIXVanguard LifeStrategy Income Inv4.27%
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv4.32%9.12%
VSCGXVanguard LifeStrategy Cnsrv Gr Inv7.26%
SWLRXSchwab Monthly Income Max Payout7.61%
PHDGInvesco S&P 500 Downside Hedged ETF1.27%8.66%
SPEDXAlger Dynamic Opportunities A8.33%27.16%
FMSDXFidelity Multi-Asset Income9.73%
MAPIXMatthews Asia Dividend Investor11.79%6.18%
RPGAXT. Rowe Price Global Allocation11.71%
DRSKAptus Defined Risk ETF0.12%
WAMBXWSTCM Credit Select Risk Managed Inv7.65%
JHBTXJanus Henderson Global Bond T7.50%
RPIEXT. Rowe Price Dynamic Global Bond Inv2.18%

Annual Asset Returns