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

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Portfolio Optimization Results (Feb 2021 - Dec 2022) Save

Portfolio optimization results with the goal to maximize return subject to 8.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is -0.02% to 8.66%. Refer to the efficient frontier section for additional details.

Maximum Return at 8.00% Volatility

Maximum Return at 8.00% Volatility
Ticker Name Allocation
VCMDX Vanguard Commodity Strategy Admiral 10.00%
CDC VictoryShares US EQ Inc Enh Vol Wtd ETF 5.89%
VDC Vanguard Consumer Staples ETF 10.00%
GLFOX Lazard Global Listed Infrastructure Open 10.00%
DIVO Amplify CWP Enhanced Dividend Income ETF 8.96%
FSRRX Fidelity Strategic Real Return 10.00%
BAMBX BlackRock Systematic Multi-Strat Inv A 10.00%
CVSIX Calamos Market Neutral Income A 10.00%
ICSH iShares Ultra Short-Term Bond ETF 10.00%
EXCPX Manning&Napier Unconstrained Bond S 5.15%
TMSRX T. Rowe Price Multi-Strategy Ttl Ret Inv 10.00%
Save portfolio »

Maximum Sharpe Ratio Weights

Maximum Sharpe Ratio Weights
Ticker Name Allocation
VCMDX Vanguard Commodity Strategy Admiral 10.00%
CDC VictoryShares US EQ Inc Enh Vol Wtd ETF 10.00%
VDC Vanguard Consumer Staples ETF 10.00%
GLFOX Lazard Global Listed Infrastructure Open 10.00%
DIVO Amplify CWP Enhanced Dividend Income ETF 10.00%
FSRRX Fidelity Strategic Real Return 10.00%
BAMBX BlackRock Systematic Multi-Strat Inv A 10.00%
CVSIX Calamos Market Neutral Income A 10.00%
ICSH iShares Ultra Short-Term Bond ETF 10.00%
IAU iShares Gold Trust 3.29%
TMSRX T. Rowe Price Multi-Strategy Ttl Ret Inv 6.71%
Save portfolio »

Portfolio Performance Summary

Performance Summary

MetricMaximum Return at 8.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Adm
Start Balance$10,000$10,000$10,000
End Balance$11,270$11,445$9,539
Annualized Return (CAGR)6.44%7.30%-2.43%
Expected Return6.56%7.43%-1.61%
Standard Deviation7.93%8.78%13.25%
Best Year13.97%15.57%14.79%
Worst Year-1.12%-0.97%-16.90%
Maximum Drawdown -7.86% -8.88% -20.78%
Sharpe Ratio (ex-ante)0.710.74-0.19
Sharpe Ratio (ex-post)0.700.73-0.19
Sortino Ratio1.031.10-0.25
Active Return8.87%9.73%N/A
Tracking Error7.71%7.50%N/A
Information Ratio1.151.30N/A
Stock Market Correlation0.870.860.99
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized Return
3 MonthYear To Date1 yearFull
Maximum Return at 8.00% Volatility5.42%-1.12%-1.12%6.44%
Maximum Sharpe Ratio Weights6.05%-0.97%-0.97%7.30%
Vanguard Balanced Index Adm4.90%-16.90%-16.90%-2.43%
Trailing returns are as of last full calendar month ending December 2022
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.
  • The annual results for 2021 are based on full calendar months from February to December.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Vanguard Commodity Strategy Admiral (VCMDX)22.90%18.35%1.1960.00%10.00%
2VictoryShares US EQ Inc Enh Vol Wtd ETF (CDC)12.18%16.38%0.6850.00%10.00%
3Vanguard Consumer Staples ETF (VDC)10.89%15.61%0.6360.00%10.00%
4Lazard Global Listed Infrastructure Open (GLFOX)11.47%14.90%0.7050.00%10.00%
5Amplify CWP Enhanced Dividend Income ETF (DIVO)11.68%15.63%0.6860.00%10.00%
6Vanguard Global Wellington Admiral (VGWAX)4.04%12.51%0.2460.00%10.00%
7Fidelity Strategic Real Return (FSRRX)6.01%9.84%0.5130.00%10.00%
8Vanguard Global Wellesley Income Admiral (VGYAX)-0.09%9.26%-0.1130.00%10.00%
9Vanguard Wellesley Income Admiral (VWIAX)0.47%9.45%-0.0520.00%10.00%
10BlackRock Systematic Multi-Strat Inv A (BAMBX)0.98%4.66%0.0040.00%10.00%
11Columbia Adaptive Risk Allocation Inst (CRAZX)-2.24%9.13%-0.3510.00%10.00%
12Calamos Market Neutral Income A (CVSIX)0.21%4.46%-0.1690.00%10.00%
13iShares Ultra Short-Term Bond ETF (ICSH)0.43%0.49%-1.0940.00%10.00%
14Fidelity Multi-Asset Income (FMSDX)1.45%11.11%0.0440.00%10.00%
15iShares Gold Trust (IAU)0.16%13.99%-0.0570.00%10.00%
16SPDR S&P 500 ETF Trust (SPY)5.04%19.23%0.2120.00%10.00%
17Manning&Napier Unconstrained Bond S (EXCPX)-2.53%2.92%-1.1980.00%10.00%
18T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)-3.64%3.38%-1.3600.00%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 Correlations

NameTickerVCMDXCDCVDCGLFOXDIVOVGWAXFSRRXVGYAXVWIAXBAMBXCRAZXCVSIXICSHFMSDXIAUSPYEXCPXTMSRX
Vanguard Commodity Strategy AdmiralVCMDX1.000.590.370.540.490.550.860.510.510.310.440.530.000.540.230.480.26-0.05
VictoryShares US EQ Inc Enh Vol Wtd ETFCDC0.591.000.770.840.870.850.790.780.800.690.690.750.120.770.200.810.39-0.09
Vanguard Consumer Staples ETFVDC0.370.771.000.910.850.760.660.690.700.670.690.660.140.620.340.730.34-0.14
Lazard Global Listed Infrastructure OpenGLFOX0.540.840.911.000.870.860.800.830.830.770.780.720.190.720.370.820.40-0.20
Amplify CWP Enhanced Dividend Income ETFDIVO0.490.870.850.871.000.900.810.810.850.730.780.870.220.830.210.930.44-0.10
Vanguard Global Wellington AdmiralVGWAX0.550.850.760.860.901.000.820.970.980.810.850.880.450.880.350.900.64-0.02
Fidelity Strategic Real ReturnFSRRX0.860.790.660.800.810.821.000.780.810.620.760.860.180.850.270.850.48-0.06
Vanguard Global Wellesley Income AdmiralVGYAX0.510.780.690.830.810.970.781.000.990.870.870.850.520.840.410.860.70-0.06
Vanguard Wellesley Income AdmiralVWIAX0.510.800.700.830.850.980.810.991.000.870.910.880.490.880.350.910.72-0.04
BlackRock Systematic Multi-Strat Inv ABAMBX0.310.690.670.770.730.810.620.870.871.000.850.710.450.650.310.760.71-0.22
Columbia Adaptive Risk Allocation InstCRAZX0.440.690.690.780.780.850.760.870.910.851.000.820.290.840.330.900.72-0.05
Calamos Market Neutral Income ACVSIX0.530.750.660.720.870.880.860.850.880.710.821.000.420.940.200.920.650.06
iShares Ultra Short-Term Bond ETFICSH0.000.120.140.190.220.450.180.520.490.450.290.421.000.320.140.240.660.27
Fidelity Multi-Asset IncomeFMSDX0.540.770.620.720.830.880.850.840.880.650.840.940.321.000.300.930.620.09
iShares Gold TrustIAU0.230.200.340.370.210.350.270.410.350.310.330.200.140.301.000.190.32-0.02
SPDR S&P 500 ETF TrustSPY0.480.810.730.820.930.900.850.860.910.760.900.920.240.930.191.000.54-0.08
Manning&Napier Unconstrained Bond SEXCPX0.260.390.340.400.440.640.480.700.720.710.720.650.660.620.320.541.000.31
T. Rowe Price Multi-Strategy Ttl Ret InvTMSRX-0.05-0.09-0.14-0.20-0.10-0.02-0.06-0.06-0.04-0.22-0.050.060.270.09-0.02-0.080.311.00
Based on monthly returns from Feb 2021 to Dec 2022

Efficient Frontiers

Efficient Frontier Portfolios

#VCMDXCDCVDCGLFOXDIVOVGWAXFSRRXVGYAXVWIAXBAMBXCRAZXCVSIXICSHFMSDXIAUSPYEXCPXTMSRXExpected Return *Standard Deviation *Sharpe Ratio *
10.00%0.00%0.00%0.00%0.00%0.00%10.00%10.00%10.00%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%-0.02%5.25%-0.188
20.39%0.00%0.00%0.00%0.00%0.00%10.00%10.00%9.61%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%0.06%5.25%-0.171
30.78%0.00%0.00%0.00%0.00%0.00%10.00%10.00%9.22%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%0.15%5.26%-0.154
41.17%0.00%0.00%0.00%0.00%0.00%10.00%10.00%8.83%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%0.24%5.27%-0.137
51.56%0.00%0.00%0.00%0.00%0.00%10.00%10.00%8.44%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%0.33%5.27%-0.120
61.96%0.00%0.00%0.00%0.00%0.00%10.00%10.00%8.04%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%0.41%5.28%-0.104
72.35%0.00%0.00%0.00%0.00%0.00%10.00%10.00%7.65%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%0.50%5.29%-0.087
82.74%0.00%0.00%0.00%0.00%0.00%10.00%10.00%7.26%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%0.59%5.30%-0.070
93.13%0.00%0.00%0.00%0.00%0.00%10.00%10.00%6.87%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%0.68%5.31%-0.053
103.52%0.00%0.00%0.00%0.00%0.00%10.00%10.00%6.48%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%0.77%5.32%-0.037
113.91%0.00%0.00%0.00%0.00%0.00%10.00%10.00%6.09%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%0.85%5.34%-0.020
124.30%0.00%0.00%0.00%0.00%0.00%10.00%10.00%5.70%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%0.94%5.35%-0.004
134.69%0.00%0.00%0.00%0.00%0.00%10.00%10.00%5.31%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%1.03%5.36%0.013
145.09%0.00%0.00%0.00%0.00%0.00%10.00%10.00%4.91%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%1.12%5.38%0.029
155.48%0.00%0.00%0.00%0.00%0.00%10.00%10.00%4.52%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%1.20%5.39%0.045
165.87%0.00%0.00%0.00%0.00%0.00%10.00%10.00%4.13%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%1.29%5.41%0.061
176.26%0.00%0.00%0.00%0.00%0.00%10.00%10.00%3.74%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%1.38%5.42%0.077
186.65%0.00%0.00%0.00%0.00%0.00%10.00%10.00%3.35%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%1.47%5.44%0.093
196.95%0.00%0.20%0.00%0.00%0.00%10.00%10.00%2.85%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%1.56%5.46%0.109
207.23%0.00%0.44%0.00%0.00%0.00%10.00%10.00%2.33%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%1.64%5.47%0.125
217.50%0.00%0.69%0.00%0.00%0.00%10.00%10.00%1.81%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%1.73%5.49%0.140
227.78%0.00%0.94%0.00%0.00%0.00%10.00%10.00%1.28%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%1.82%5.51%0.156
238.06%0.00%1.18%0.00%0.00%0.00%10.00%10.00%0.76%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%1.91%5.53%0.171
248.33%0.00%1.43%0.00%0.00%0.00%10.00%10.00%0.24%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%1.99%5.55%0.186
258.64%0.00%1.60%0.00%0.00%0.00%10.00%9.76%0.00%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%2.08%5.57%0.201
268.91%0.00%1.84%0.00%0.00%0.00%10.00%9.25%0.00%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%2.17%5.59%0.216
279.17%0.00%2.08%0.00%0.00%0.00%10.00%8.75%0.00%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%2.26%5.61%0.231
289.44%0.00%2.32%0.00%0.00%0.00%10.00%8.24%0.00%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%2.35%5.63%0.246
299.71%0.00%2.56%0.00%0.00%0.00%10.00%7.73%0.00%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%2.43%5.65%0.260
309.97%0.00%2.80%0.00%0.00%0.00%10.00%7.22%0.00%10.00%10.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%2.52%5.67%0.275
3110.00%0.00%3.43%0.00%0.00%0.00%10.00%7.20%0.00%10.00%9.37%10.00%10.00%0.00%10.00%0.00%10.00%10.00%2.61%5.70%0.289
3210.00%0.00%4.04%0.00%0.00%0.00%10.00%7.51%0.00%10.00%8.45%10.00%10.00%0.00%10.00%0.00%10.00%10.00%2.70%5.72%0.303
3310.00%0.00%4.66%0.00%0.00%0.00%10.00%7.81%0.00%10.00%7.53%10.00%10.00%0.00%10.00%0.00%10.00%10.00%2.78%5.74%0.317
3410.00%0.00%5.15%0.00%0.00%0.00%10.00%6.44%1.98%10.00%6.43%10.00%10.00%0.00%10.00%0.00%10.00%10.00%2.87%5.77%0.331
3510.00%0.00%5.57%0.00%0.00%0.00%10.00%4.35%4.81%10.00%5.26%10.00%10.00%0.00%10.00%0.00%10.00%10.00%2.96%5.79%0.345
3610.00%0.00%6.00%0.00%0.00%0.00%10.00%2.27%7.64%10.00%4.09%10.00%10.00%0.00%10.00%0.00%10.00%10.00%3.05%5.82%0.358
3710.00%0.00%6.46%0.00%0.00%0.00%10.00%0.58%10.00%10.00%2.96%10.00%10.00%0.00%10.00%0.00%10.00%10.00%3.13%5.85%0.372
3810.00%0.00%7.08%0.00%0.00%0.00%10.00%0.88%10.00%10.00%2.04%10.00%10.00%0.00%10.00%0.00%10.00%10.00%3.22%5.88%0.385
3910.00%0.00%7.69%0.00%0.00%0.00%10.00%1.18%10.00%10.00%1.12%10.00%10.00%0.00%10.00%0.00%10.00%10.00%3.31%5.90%0.398
4010.00%0.00%8.31%0.00%0.00%0.00%10.00%1.49%10.00%10.00%0.20%10.00%10.00%0.00%10.00%0.00%10.00%10.00%3.40%5.93%0.411
4110.00%0.00%9.07%0.00%0.00%0.00%10.00%0.93%10.00%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%3.49%5.96%0.423
4210.00%0.00%9.87%0.00%0.00%0.00%10.00%0.13%10.00%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%3.57%6.00%0.436
4310.00%0.00%10.00%0.00%0.66%0.00%10.00%0.00%9.34%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%3.66%6.03%0.448
4410.00%0.00%10.00%0.00%1.44%0.00%10.00%0.00%8.56%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%3.75%6.07%0.460
4510.00%0.00%10.00%0.00%2.23%0.00%10.00%0.00%7.77%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%3.84%6.10%0.471
4610.00%0.00%10.00%0.00%3.01%0.00%10.00%0.00%6.99%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%3.92%6.14%0.482
4710.00%0.00%10.00%0.00%3.79%0.00%10.00%0.00%6.21%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%4.01%6.18%0.494
4810.00%0.11%10.00%0.30%4.16%0.00%10.00%0.00%5.42%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%4.10%6.22%0.505
4910.00%0.23%10.00%0.66%4.47%0.00%10.00%0.00%4.64%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%4.19%6.26%0.516
5010.00%0.35%10.00%1.02%4.77%0.00%10.00%0.00%3.86%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%4.28%6.30%0.526
5110.00%0.47%10.00%1.38%5.08%0.00%10.00%0.00%3.07%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%4.36%6.34%0.537
5210.00%0.60%10.00%1.74%5.38%0.00%10.00%0.00%2.29%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%4.45%6.38%0.547
5310.00%0.72%10.00%2.09%5.68%0.00%10.00%0.00%1.50%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%4.54%6.42%0.557
5410.00%0.84%10.00%2.45%5.99%0.00%10.00%0.00%0.72%10.00%0.00%10.00%10.00%0.00%10.00%0.00%10.00%10.00%4.63%6.46%0.567
5510.00%1.49%10.00%2.42%6.13%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%9.97%0.00%10.00%10.00%4.71%6.50%0.577
5610.00%1.55%10.00%3.23%6.03%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%9.19%0.00%10.00%10.00%4.80%6.55%0.586
5710.00%1.62%10.00%4.04%5.92%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%8.42%0.00%10.00%10.00%4.89%6.60%0.595
5810.00%1.69%10.00%4.85%5.82%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%7.64%0.00%10.00%10.00%4.98%6.66%0.603
5910.00%1.76%10.00%5.66%5.71%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%6.87%0.00%10.00%10.00%5.07%6.71%0.611
6010.00%1.83%10.00%6.47%5.61%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%6.10%0.00%10.00%10.00%5.15%6.77%0.619
6110.00%1.89%10.00%7.28%5.50%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%5.32%0.00%10.00%10.00%5.24%6.83%0.627
6210.00%1.96%10.00%8.09%5.40%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%4.55%0.00%10.00%10.00%5.33%6.89%0.634
6310.00%2.03%10.00%8.90%5.29%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%3.77%0.00%10.00%10.00%5.42%6.95%0.641
6410.00%2.10%10.00%9.71%5.19%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%3.00%0.00%10.00%10.00%5.50%7.02%0.647
6510.00%2.38%10.00%10.00%5.38%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%2.25%0.00%10.00%10.00%5.59%7.08%0.654
6610.00%2.78%10.00%10.00%5.72%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%1.50%0.00%10.00%10.00%5.68%7.15%0.660
6710.00%3.18%10.00%10.00%6.07%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.76%0.00%10.00%10.00%5.77%7.22%0.665
6810.00%3.57%10.00%10.00%6.42%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.01%0.00%10.00%10.00%5.86%7.30%0.671
6910.00%4.49%10.00%10.00%6.96%0.00%8.55%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%10.00%10.00%5.94%7.37%0.676
7010.00%4.72%10.00%10.00%7.26%0.00%8.68%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%9.34%10.00%6.03%7.45%0.680
7110.00%4.86%10.00%10.00%7.47%0.00%9.11%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%8.56%10.00%6.12%7.53%0.685
7210.00%5.00%10.00%10.00%7.68%0.00%9.54%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%7.77%10.00%6.21%7.61%0.689
7310.00%5.15%10.00%10.00%7.89%0.00%9.97%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%6.99%10.00%6.29%7.69%0.693
7410.00%5.39%10.00%10.00%8.24%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%6.37%10.00%6.38%7.77%0.698
7510.00%5.64%10.00%10.00%8.60%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%5.76%10.00%6.47%7.85%0.702
7610.00%5.89%10.00%10.00%8.96%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%5.15%10.00%6.56%7.93%0.706
7710.00%6.14%10.00%10.00%9.32%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%4.54%10.00%6.64%8.01%0.710
7810.00%6.39%10.00%10.00%9.68%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%3.93%10.00%6.73%8.09%0.713
7910.00%6.67%10.00%10.00%10.00%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%3.33%10.00%6.82%8.17%0.717
8010.00%7.27%10.00%10.00%10.00%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%2.73%10.00%6.91%8.25%0.721
8110.00%7.87%10.00%10.00%10.00%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%2.13%10.00%7.00%8.33%0.724
8210.00%8.46%10.00%10.00%10.00%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%1.54%10.00%7.08%8.41%0.728
8310.00%9.06%10.00%10.00%10.00%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%0.94%10.00%7.17%8.49%0.731
8410.00%9.66%10.00%10.00%10.00%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.00%0.00%0.34%10.00%7.26%8.58%0.734
8510.00%10.00%10.00%10.00%10.00%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.98%0.00%0.00%9.02%7.35%8.67%0.737
8610.00%10.00%10.00%10.00%10.00%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%3.29%0.00%0.00%6.71%7.43%8.78%0.737
8710.00%10.00%10.00%10.00%10.00%0.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%5.60%0.00%0.00%4.40%7.52%8.91%0.736
8810.00%10.00%10.00%10.00%10.00%0.92%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%6.05%0.00%0.00%3.03%7.61%9.05%0.735
8910.00%10.00%10.00%10.00%10.00%2.03%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%6.12%0.00%0.00%1.85%7.70%9.18%0.734
9010.00%10.00%10.00%10.00%10.00%3.14%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%6.18%0.00%0.00%0.68%7.79%9.32%0.732
9110.00%10.00%10.00%10.00%10.00%4.74%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%5.26%0.00%0.00%0.00%7.87%9.45%0.731
9210.00%10.00%10.00%10.00%10.00%7.00%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%3.00%0.00%0.00%0.00%7.96%9.60%0.729
9310.00%10.00%10.00%10.00%10.00%9.27%10.00%0.00%0.00%10.00%0.00%10.00%10.00%0.00%0.73%0.00%0.00%0.00%8.05%9.76%0.727
9410.00%10.00%10.00%10.00%10.00%10.00%10.00%0.00%0.00%10.00%0.00%8.77%10.00%0.00%0.00%1.23%0.00%0.00%8.14%9.97%0.720
9510.00%10.00%10.00%10.00%10.00%10.00%10.00%0.00%0.00%10.00%0.00%6.96%10.00%0.00%0.00%3.04%0.00%0.00%8.22%10.22%0.711
9610.00%10.00%10.00%10.00%10.00%10.00%10.00%0.00%0.00%10.00%0.00%5.14%10.00%0.00%0.00%4.86%0.00%0.00%8.31%10.46%0.703
9710.00%10.00%10.00%10.00%10.00%10.00%10.00%0.00%0.00%10.00%0.00%3.33%10.00%0.00%0.00%6.67%0.00%0.00%8.40%10.71%0.695
9810.00%10.00%10.00%10.00%10.00%10.00%10.00%0.00%0.00%10.00%0.00%1.51%10.00%0.00%0.00%8.49%0.00%0.00%8.49%10.96%0.687
9910.00%10.00%10.00%10.00%10.00%10.00%10.00%0.00%0.00%10.00%0.00%0.00%8.57%1.43%0.00%10.00%0.00%0.00%8.58%11.30%0.674
10010.00%10.00%10.00%10.00%10.00%10.00%10.00%0.00%0.00%10.00%0.00%0.00%0.00%10.00%0.00%10.00%0.00%0.00%8.66%12.13%0.635
*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

YearInflationMaximum Return at 8.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index AdmVanguard Commodity Strategy Admiral (VCMDX)VictoryShares US EQ Inc Enh Vol Wtd ETF (CDC)Vanguard Consumer Staples ETF (VDC)Lazard Global Listed Infrastructure Open (GLFOX)Amplify CWP Enhanced Dividend Income ETF (DIVO)Fidelity Strategic Real Return (FSRRX)BlackRock Systematic Multi-Strat Inv A (BAMBX)Calamos Market Neutral Income A (CVSIX)iShares Ultra Short-Term Bond ETF (ICSH)Manning&Napier Unconstrained Bond S (EXCPX)T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)iShares Gold Trust (IAU)
ReturnBalanceReturnBalanceReturnBalance
20216.58%13.97%$11,39715.57%$11,55714.79%$11,47931.40%33.57%22.64%23.87%24.06%15.00%5.22%4.92%0.14%2.03%-2.26%-0.83%
20226.45%-1.12%$11,270-0.97%$11,445-16.90%$9,53913.96%-7.84%-1.80%-1.55%-1.47%-3.33%-3.35%-4.49%0.67%-6.71%-4.69%-0.63%
Annual return for 2021 is from 02/01/2021 to 12/31/2021

Monthly Returns

YearMonthMaximum Return at 8.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index AdmVanguard Commodity Strategy Admiral (VCMDX)VictoryShares US EQ Inc Enh Vol Wtd ETF (CDC)Vanguard Consumer Staples ETF (VDC)Lazard Global Listed Infrastructure Open (GLFOX)Amplify CWP Enhanced Dividend Income ETF (DIVO)Fidelity Strategic Real Return (FSRRX)BlackRock Systematic Multi-Strat Inv A (BAMBX)Calamos Market Neutral Income A (CVSIX)iShares Ultra Short-Term Bond ETF (ICSH)Manning&Napier Unconstrained Bond S (EXCPX)T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)iShares Gold Trust (IAU)
ReturnBalanceReturnBalanceReturnBalance
202121.57%$10,1571.60%$10,1601.29%$10,1296.18%6.42%-0.65%0.57%2.27%2.22%-1.08%0.78%0.03%-0.18%1.98%-6.32%
202132.58%$10,4193.05%$10,4701.57%$10,288-1.47%9.74%8.14%6.61%5.83%0.57%1.59%0.71%0.04%-0.15%-1.29%-1.09%
202142.37%$10,6662.64%$10,7463.46%$10,6448.26%4.02%1.83%2.77%2.80%3.64%1.08%0.63%0.06%0.92%0.09%3.63%
202151.48%$10,8251.79%$10,9380.36%$10,6834.17%2.45%1.83%1.73%1.98%1.32%1.07%0.42%0.02%0.82%0.65%7.60%
202160.28%$10,855-0.03%$10,9351.88%$10,8842.34%-2.16%-0.69%0.22%0.58%1.08%0.58%0.20%0.03%0.23%-0.28%-7.03%
202171.27%$10,9941.42%$11,0911.50%$11,0462.86%1.38%1.64%2.84%2.30%1.76%0.48%0.28%0.01%0.36%-0.19%2.52%
202180.53%$11,0520.58%$11,1551.66%$11,230-0.06%2.30%1.14%0.37%0.50%0.21%0.09%0.55%-0.01%0.09%1.12%-0.09%
20219-1.02%$10,939-1.27%$11,014-3.11%$10,8804.51%-3.20%-3.93%-2.74%-4.08%0.00%-1.42%-0.31%0.07%-0.23%-0.74%-3.24%
2021102.26%$11,1852.53%$11,2934.04%$11,3193.19%3.86%3.60%3.89%6.78%2.43%0.38%1.04%-0.07%0.36%-0.47%1.56%
202111-1.49%$11,019-1.54%$11,119-0.75%$11,234-5.83%-1.96%-1.43%-0.92%-2.40%-1.82%0.77%-0.27%-0.01%-0.36%-1.87%-0.74%
2021123.43%$11,3973.94%$11,5572.18%$11,4794.25%7.30%9.91%6.71%5.77%2.76%1.61%0.80%-0.04%0.17%-1.24%3.36%
20221-0.22%$11,372-0.18%$11,536-4.51%$10,9617.36%0.63%-2.07%-2.42%-2.23%0.00%-0.86%-0.75%-0.06%-1.04%-1.29%-1.69%
20222-0.03%$11,3690.22%$11,561-1.97%$10,7466.48%-0.59%-1.00%-0.31%-2.18%1.07%-1.55%-0.96%-0.11%-1.14%-1.01%6.11%
202232.05%$11,6022.45%$11,8440.84%$10,8368.45%3.73%1.48%4.40%3.78%3.50%-0.49%0.35%-0.25%-2.04%-1.42%1.43%
20224-0.35%$11,561-0.53%$11,782-6.99%$10,0793.91%-3.07%2.14%0.96%-3.80%-1.25%-0.89%-2.34%-0.07%-1.09%-0.21%-2.14%
202250.01%$11,5620.10%$11,7930.14%$10,0931.92%3.50%-4.26%0.42%0.70%-0.52%1.79%-0.71%0.16%0.00%-1.44%-3.25%
20226-4.01%$11,098-4.37%$11,278-5.66%$9,521-11.85%-7.67%-2.63%-3.40%-6.40%-6.69%-1.66%-2.82%-0.11%-1.54%0.10%-1.61%
202272.70%$11,3972.73%$11,5866.50%$10,1405.38%2.04%3.43%3.66%5.19%4.51%1.79%2.42%0.18%0.71%-0.63%-2.51%
20228-0.87%$11,298-1.05%$11,465-3.30%$9,806-0.90%-1.45%-1.56%-2.49%-1.42%-0.87%-1.28%-0.29%0.18%-0.51%0.84%-2.96%
20229-5.37%$10,690-5.86%$10,792-7.26%$9,094-9.80%-10.02%-8.37%-10.71%-6.88%-6.33%-2.90%-2.40%-0.02%-1.45%-0.42%-2.87%
2022103.70%$11,0864.05%$11,2304.27%$9,4822.57%6.29%9.41%6.10%11.28%2.99%0.93%1.76%0.12%-0.41%-0.52%-1.74%
2022113.15%$11,4353.56%$11,6304.62%$9,9213.94%3.21%6.19%8.20%4.59%2.85%1.94%1.45%0.46%0.94%0.00%8.46%
202212-1.44%$11,270-1.59%$11,445-3.84%$9,539-1.97%-3.41%-3.30%-4.47%-2.58%-1.91%-0.08%-0.14%0.20%0.70%1.24%2.95%

Risk and Return Metrics

MetricMaximum Return at 8.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Adm
Arithmetic Mean (monthly)0.55%0.62%-0.13%
Arithmetic Mean (annualized)6.76%7.69%-1.60%
Geometric Mean (monthly)0.52%0.59%-0.20%
Geometric Mean (annualized)6.44%7.30%-2.43%
Standard Deviation (monthly)2.29%2.54%3.82%
Standard Deviation (annualized)7.93%8.78%13.25%
Downside Deviation (monthly)1.49%1.63%2.90%
Maximum Drawdown-7.86%-8.88%-20.78%
Stock Market Correlation0.870.860.99
Beta(*)0.510.561.00
Alpha (annualized)7.38%8.34%-0.00%
R272.53%71.21%100.00%
Sharpe Ratio0.700.73-0.19
Sortino Ratio1.031.10-0.25
Treynor Ratio (%)10.9811.57-2.57
Active Return8.87%9.73%N/A
Tracking Error7.71%7.50%N/A
Information Ratio1.151.30N/A
Skewness-0.91-0.86-0.36
Excess Kurtosis0.860.72-0.71
Historical Value-at-Risk (5%)-3.76%-4.09%-6.86%
Analytical Value-at-Risk (5%)-3.14%-3.46%-6.43%
Conditional Value-at-Risk (5%)-4.69%-5.12%-7.13%
Upside Capture Ratio (%)78.8388.10100.00
Downside Capture Ratio (%)41.6745.37100.00
Safe Withdrawal Rate51.49%52.26%47.21%
Perpetual Withdrawal Rate0.00%0.43%0.00%
Positive Periods14 out of 23 (60.87%)14 out of 23 (60.87%)14 out of 23 (60.87%)
Gain/Loss Ratio1.191.200.59
* Vanguard Balanced Index Adm is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Maximum Return at 8.00% Volatility

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2022Sep 20226 months-7.86%
2Nov 2021Nov 20211 monthDec 20211 month2 months-1.49%
3Sep 2021Sep 20211 monthOct 20211 month2 months-1.02%
4Jan 2022Feb 20222 monthsMar 20221 month3 months-0.25%

Drawdowns for Maximum Sharpe Ratio Weights

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2022Sep 20226 months-8.88%
2Nov 2021Nov 20211 monthDec 20211 month2 months-1.54%
3Sep 2021Sep 20211 monthOct 20211 month2 months-1.27%
4Jan 2022Jan 20221 monthFeb 20221 month2 months-0.18%
5Jun 2021Jun 20211 monthJul 20211 month2 months-0.03%

Drawdowns for Vanguard Balanced Index Adm

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2022Sep 20229 months-20.78%
2Sep 2021Sep 20211 monthOct 20211 month2 months-3.11%
3Nov 2021Nov 20211 monthDec 20211 month2 months-0.75%

Portfolio Assets

TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
VCMDXVanguard Commodity Strategy Admiral23.45%18.35%31.40%13.96%-16.96%1.191.800.49
CDCVictoryShares US EQ Inc Enh Vol Wtd ETF11.45%16.38%33.57%-7.84%-16.45%0.681.070.79
VDCVanguard Consumer Staples ETF10.19%15.61%22.64%-1.80%-13.03%0.631.160.71
GLFOXLazard Global Listed Infrastructure Open10.91%14.90%23.87%-1.55%-12.93%0.701.090.80
DIVOAmplify CWP Enhanced Dividend Income ETF11.05%15.63%24.06%-1.47%-13.10%0.691.210.92
FSRRXFidelity Strategic Real Return5.68%9.84%15.00%-3.33%-11.05%0.510.700.85
BAMBXBlackRock Systematic Multi-Strat Inv A0.88%4.66%5.22%-3.35%-5.98%0.000.000.73
CVSIXCalamos Market Neutral Income A0.11%4.46%4.92%-4.49%-7.35%-0.17-0.210.93
ICSHiShares Ultra Short-Term Bond ETF0.43%0.49%0.67%0.14%-0.60%-1.40-1.410.25
EXCPXManning&Napier Unconstrained Bond S-2.54%2.92%2.03%-6.71%-8.39%-1.20-1.260.55
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv-3.63%3.38%-2.26%-4.69%-9.85%-1.39-1.56-0.04
IAUiShares Gold Trust-0.76%13.99%-0.63%-0.83%-15.88%-0.06-0.090.17

Portfolio Asset Performance

NameTotal ReturnExpense Ratio
3 MonthYear To Date1 yearNetGross
Vanguard Commodity Strategy Admiral4.51%13.96%13.96%0.20%0.20%
VictoryShares US EQ Inc Enh Vol Wtd ETF5.96%-7.84%-7.84%0.35%0.39%
Vanguard Consumer Staples ETF12.35%-1.80%-1.80%0.10%0.10%
Lazard Global Listed Infrastructure Open9.66%-1.55%-1.55%1.22%1.22%
Amplify CWP Enhanced Dividend Income ETF13.39%-1.47%-1.47%0.55%0.55%
Fidelity Strategic Real Return3.90%-3.33%-3.33%0.70%0.78%
BlackRock Systematic Multi-Strat Inv A2.79%-3.35%-3.35%1.22%1.25%
Calamos Market Neutral Income A3.09%-4.49%-4.49%1.15%1.15%
iShares Ultra Short-Term Bond ETF0.78%0.67%0.67%0.08%0.08%
Manning&Napier Unconstrained Bond S1.22%-6.71%-6.71%0.74%0.74%
T. Rowe Price Multi-Strategy Ttl Ret Inv0.70%-4.69%-4.69%1.20%1.48%
iShares Gold Trust9.71%-0.63%-0.63%0.25%0.25%
Trailing returns as of last calendar month ending December 2022

Monthly Correlations

TickerNameVCMDXCDCVDCGLFOXDIVOFSRRXBAMBXCVSIXICSHEXCPXTMSRXIAUMaximum Return at 8.00% VolatilityMaximum Sharpe Ratio WeightsVanguard Balanced Index Adm
VCMDXVanguard Commodity Strategy Admiral1.000.590.370.540.490.860.310.530.000.26-0.050.230.720.710.47
CDCVictoryShares US EQ Inc Enh Vol Wtd ETF0.591.000.770.840.870.790.690.750.120.39-0.090.200.910.920.75
VDCVanguard Consumer Staples ETF0.370.771.000.910.850.660.670.660.140.34-0.140.340.860.860.67
GLFOXLazard Global Listed Infrastructure Open0.540.840.911.000.870.800.770.720.190.40-0.200.370.930.940.80
DIVOAmplify CWP Enhanced Dividend Income ETF0.490.870.850.871.000.810.730.870.220.44-0.100.210.920.920.88
FSRRXFidelity Strategic Real Return0.860.790.660.800.811.000.620.860.180.48-0.060.270.940.930.83
BAMBXBlackRock Systematic Multi-Strat Inv A0.310.690.670.770.730.621.000.710.450.71-0.220.310.740.750.79
CVSIXCalamos Market Neutral Income A0.530.750.660.720.870.860.711.000.420.650.060.200.860.840.92
ICSHiShares Ultra Short-Term Bond ETF0.000.120.140.190.220.180.450.421.000.660.270.140.220.200.33
EXCPXManning&Napier Unconstrained Bond S0.260.390.340.400.440.480.710.650.661.000.310.320.500.490.63
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv-0.05-0.09-0.14-0.20-0.10-0.06-0.220.060.270.311.00-0.02-0.07-0.09-0.04
IAUiShares Gold Trust0.230.200.340.370.210.270.310.200.140.32-0.021.000.320.360.22

Portfolio Return Decomposition

TickerNameMaximum Return at 8.00% VolatilityMaximum Sharpe Ratio Weights
VCMDXVanguard Commodity Strategy Admiral$471$475
CDCVictoryShares US EQ Inc Enh Vol Wtd ETF$135$228
VDCVanguard Consumer Staples ETF$211$211
GLFOXLazard Global Listed Infrastructure Open$225$226
DIVOAmplify CWP Enhanced Dividend Income ETF$200$223
FSRRXFidelity Strategic Real Return$114$114
BAMBXBlackRock Systematic Multi-Strat Inv A$16.37$16.02
CVSIXCalamos Market Neutral Income A-$2.71-$3.69
ICSHiShares Ultra Short-Term Bond ETF$8.88$8.98
EXCPXManning&Napier Unconstrained Bond S-$29.47
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv-$79.62-$54.18
IAUiShares Gold Trust$1.55
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

TickerNameMaximum Return at 8.00% VolatilityMaximum Sharpe Ratio Weights
VCMDXVanguard Commodity Strategy Admiral16.68%14.90%
CDCVictoryShares US EQ Inc Enh Vol Wtd ETF11.04%17.10%
VDCVanguard Consumer Staples ETF16.86%15.31%
GLFOXLazard Global Listed Infrastructure Open17.55%15.92%
DIVOAmplify CWP Enhanced Dividend Income ETF16.30%16.41%
FSRRXFidelity Strategic Real Return11.61%10.38%
BAMBXBlackRock Systematic Multi-Strat Inv A4.38%3.95%
CVSIXCalamos Market Neutral Income A4.81%4.29%
ICSHiShares Ultra Short-Term Bond ETF0.13%0.11%
EXCPXManning&Napier Unconstrained Bond S0.95%
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv-0.31%-0.24%
IAUiShares Gold Trust1.86%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns