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 (Jan 2020 - Dec 2022) Save

Portfolio optimization results with the goal to maximize return subject to 7.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 4.74% to 8.98%. Refer to the efficient frontier section for additional details.

Provided Portfolio

Ticker Name Allocation
BALPX BlackRock Event Driven Equity Inv A 4.00%
MERFX The Merger Fund A 4.00%
PRPFX Permanent Portfolio Permanent I 4.00%
PAAIX PIMCO All Asset Instl 4.00%
PCBAX BlackRock Tactical Opportunities Inv A 4.00%
ABRZX Invesco Balanced-Risk Allocation A 4.00%
CRAAX Columbia Adaptive Risk Allocation A 4.00%
FTLS First Trust Long/Short Equity ETF 4.00%
NLSAX Neuberger Berman Long Short A 4.00%
DBMF iMGP DBi Managed Futures Strategy ETF 4.00%
AMFAX Virtus AlphaSimplex Mgd Futs Strat A 4.00%
PQTAX PIMCO TRENDS Managed Futures Strat A 4.00%
CSAAX Credit Suisse Managed Futs Strat A 4.00%
AHLPX American Beacon AHL Mgd Futs Strat Inv 4.00%
FMF First Trust Managed Future Strategy ETF 4.00%
CSQAX Credit Suisse Multialternative Strat A 4.00%
GPANX Grant Park Multi Alternative Strats N 4.00%
JAAAX JHancock Alternative Asset Allc A 4.00%
TALTX Morgan Stanley Pathway Alt Strats 4.00%
BAMBX BlackRock Systematic Multi-Strat Inv A 4.00%
TMSRX T. Rowe Price Multi-Strategy Ttl Ret Inv 4.00%
CCOR Core Alternative ETF 4.00%
REMIX Standpoint Multi-Asset Investor 4.00%
FMSDX Fidelity Multi-Asset Income 4.00%
SPY SPDR S&P 500 ETF Trust 4.00%
Save portfolio »

Maximum Return at 7.00% Volatility

Ticker Name Allocation
PRPFX Permanent Portfolio Permanent I 10.00%
PCBAX BlackRock Tactical Opportunities Inv A 10.00%
FTLS First Trust Long/Short Equity ETF 10.00%
NLSAX Neuberger Berman Long Short A 10.00%
DBMF iMGP DBi Managed Futures Strategy ETF 5.00%
AMFAX Virtus AlphaSimplex Mgd Futs Strat A 10.00%
PQTAX PIMCO TRENDS Managed Futures Strat A 10.00%
CSQAX Credit Suisse Multialternative Strat A 10.00%
CCOR Core Alternative ETF 2.41%
REMIX Standpoint Multi-Asset Investor 10.00%
FMSDX Fidelity Multi-Asset Income 2.59%
SPY SPDR S&P 500 ETF Trust 10.00%
Save portfolio »

Portfolio Performance Summary

Performance Summary

MetricProvided PortfolioMaximum Return at 7.00% VolatilitySPDR S&P 500 ETF Trust
Start Balance$10,000$10,000$10,000
End Balance$11,970$12,979$12,471
Annualized Return (CAGR)6.18%9.08%7.64%
Expected Return6.16%8.94%9.56%
Standard Deviation5.57%6.71%21.12%
Best Year9.00%12.78%28.74%
Worst Year0.75%3.18%-18.17%
Maximum Drawdown -4.05% -3.92% -23.93%
Sharpe Ratio (ex-ante)0.971.220.42
Sharpe Ratio (ex-post)0.951.200.42
Sortino Ratio1.872.510.62
Active Return-1.46%1.44%N/A
Tracking Error16.89%16.35%N/A
Information Ratio-0.090.09N/A
Stock Market Correlation0.820.791.00
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 yearFull3 year
Provided Portfolio0.81%0.75%0.75%6.18%6.18%5.57%
Maximum Return at 7.00% Volatility1.38%3.18%3.18%9.08%9.08%6.71%
SPDR S&P 500 ETF Trust7.57%-18.17%-18.17%7.64%7.64%21.12%
Trailing return and volatility 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. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

#AssetGroupExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1BlackRock Event Driven Equity Inv A (BALPX)A2.51%4.78%0.3650.00%10.00%
2The Merger Fund A (MERFX)A1.81%3.24%0.3230.00%10.00%
3Permanent Portfolio Permanent I (PRPFX)B8.22%13.46%0.5540.00%10.00%
4PIMCO All Asset Instl (PAAIX)B4.38%13.81%0.2620.00%10.00%
5BlackRock Tactical Opportunities Inv A (PCBAX)B4.22%5.52%0.6270.00%10.00%
6Invesco Balanced-Risk Allocation A (ABRZX)B1.18%12.08%0.0340.00%10.00%
7Columbia Adaptive Risk Allocation A (CRAAX)B1.28%9.62%0.0540.00%10.00%
8First Trust Long/Short Equity ETF (FTLS)C5.59%11.70%0.4130.00%10.00%
9Neuberger Berman Long Short A (NLSAX)C5.25%9.00%0.4990.00%10.00%
10iMGP DBi Managed Futures Strategy ETF (DBMF)D11.41%12.04%0.8840.00%10.00%
11Virtus AlphaSimplex Mgd Futs Strat A (AMFAX)D16.47%14.76%1.0640.00%10.00%
12PIMCO TRENDS Managed Futures Strat A (PQTAX)D11.43%11.53%0.9250.00%10.00%
13Credit Suisse Managed Futs Strat A (CSAAX)D9.80%10.73%0.8420.00%10.00%
14American Beacon AHL Mgd Futs Strat Inv (AHLPX)D10.46%10.24%0.9470.00%10.00%
15First Trust Managed Future Strategy ETF (FMF)D5.05%8.19%0.5240.00%10.00%
16Credit Suisse Multialternative Strat A (CSQAX)E7.14%6.31%1.0100.00%10.00%
17Grant Park Multi Alternative Strats N (GPANX)E4.10%5.41%0.6170.00%10.00%
18JHancock Alternative Asset Allc A (JAAAX)E2.08%5.71%0.2310.00%10.00%
19Morgan Stanley Pathway Alt Strats (TALTX)E2.91%7.13%0.3000.00%10.00%
20BlackRock Systematic Multi-Strat Inv A (BAMBX)E2.03%5.29%0.2400.00%10.00%
21T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)E1.98%5.39%0.2250.00%10.00%
22Core Alternative ETF (CCOR)F5.68%9.11%0.5390.00%10.00%
23Standpoint Multi-Asset Investor (REMIX)F12.68%10.47%1.1380.00%10.00%
24Fidelity Multi-Asset Income (FMSDX)F6.78%12.64%0.4760.00%10.00%
25SPDR S&P 500 ETF Trust (SPY)F9.56%21.12%0.4170.00%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 GroupMin. WeightMax. Weight
A0.00%25.00%
B0.00%25.00%
C0.00%25.00%
D0.00%25.00%
E0.00%25.00%
F0.00%25.00%

Asset Correlations

NameTickerBALPXMERFXPRPFXPAAIXPCBAXABRZXCRAAXFTLSNLSAXDBMFAMFAXPQTAXCSAAXAHLPXFMFCSQAXGPANXJAAAXTALTXBAMBXTMSRXCCORREMIXFMSDXSPY
BlackRock Event Driven Equity Inv ABALPX1.000.870.810.770.320.680.510.640.67-0.06-0.24-0.30-0.14-0.26-0.12-0.190.260.800.840.610.690.050.340.730.72
The Merger Fund AMERFX0.871.000.630.620.330.510.350.470.460.03-0.11-0.190.01-0.09-0.02-0.130.320.640.680.390.630.020.310.610.53
Permanent Portfolio Permanent IPRPFX0.810.631.000.910.180.880.800.890.82-0.14-0.25-0.35-0.14-0.19-0.09-0.050.500.930.880.710.590.220.560.930.92
PIMCO All Asset InstlPAAIX0.770.620.911.000.230.940.820.830.83-0.24-0.34-0.42-0.21-0.29-0.17-0.140.430.950.900.690.530.310.530.920.90
BlackRock Tactical Opportunities Inv APCBAX0.320.330.180.231.000.160.080.100.12-0.10-0.11-0.110.00-0.100.040.13-0.260.250.220.190.160.130.020.130.12
Invesco Balanced-Risk Allocation AABRZX0.680.510.880.940.161.000.900.830.83-0.28-0.35-0.39-0.23-0.28-0.15-0.120.500.900.820.610.390.390.570.900.91
Columbia Adaptive Risk Allocation ACRAAX0.510.350.800.820.080.901.000.810.85-0.28-0.31-0.36-0.24-0.23-0.180.040.470.810.710.590.310.480.550.870.89
First Trust Long/Short Equity ETFFTLS0.640.470.890.830.100.830.811.000.78-0.09-0.22-0.32-0.14-0.22-0.060.060.440.870.780.710.400.310.580.850.90
Neuberger Berman Long Short ANLSAX0.670.460.820.830.120.830.850.781.00-0.23-0.26-0.36-0.24-0.25-0.19-0.180.400.880.820.640.490.360.530.860.92
iMGP DBi Managed Futures Strategy ETFDBMF-0.060.03-0.14-0.24-0.10-0.28-0.28-0.09-0.231.000.880.810.800.750.830.280.32-0.080.02-0.290.00-0.010.41-0.20-0.20
Virtus AlphaSimplex Mgd Futs Strat AAMFAX-0.24-0.11-0.25-0.34-0.11-0.35-0.31-0.22-0.260.881.000.860.860.880.850.280.34-0.18-0.08-0.46-0.080.050.41-0.26-0.30
PIMCO TRENDS Managed Futures Strat APQTAX-0.30-0.19-0.35-0.42-0.11-0.39-0.36-0.32-0.360.810.861.000.750.830.820.290.33-0.30-0.21-0.47-0.140.000.33-0.33-0.38
Credit Suisse Managed Futs Strat ACSAAX-0.140.01-0.14-0.210.00-0.23-0.24-0.14-0.240.800.860.751.000.880.830.280.40-0.090.01-0.49-0.05-0.000.46-0.12-0.22
American Beacon AHL Mgd Futs Strat InvAHLPX-0.26-0.09-0.19-0.29-0.10-0.28-0.23-0.22-0.250.750.880.830.881.000.830.390.47-0.20-0.09-0.48-0.080.010.46-0.14-0.25
First Trust Managed Future Strategy ETFFMF-0.12-0.02-0.09-0.170.04-0.15-0.18-0.06-0.190.830.850.820.830.831.000.350.44-0.060.04-0.35-0.040.020.54-0.12-0.17
Credit Suisse Multialternative Strat ACSQAX-0.19-0.13-0.05-0.140.13-0.120.040.06-0.180.280.280.290.280.390.351.000.06-0.11-0.21-0.04-0.100.220.350.00-0.04
Grant Park Multi Alternative Strats NGPANX0.260.320.500.43-0.260.500.470.440.400.320.340.330.400.470.440.061.000.460.470.130.230.310.760.540.46
JHancock Alternative Asset Allc AJAAAX0.800.640.930.950.250.900.810.870.88-0.08-0.18-0.30-0.09-0.20-0.06-0.110.461.000.940.700.580.330.600.910.92
Morgan Stanley Pathway Alt StratsTALTX0.840.680.880.900.220.820.710.780.820.02-0.08-0.210.01-0.090.04-0.210.470.941.000.560.690.140.540.850.83
BlackRock Systematic Multi-Strat Inv ABAMBX0.610.390.710.690.190.610.590.710.64-0.29-0.46-0.47-0.49-0.48-0.35-0.040.130.700.561.000.400.190.200.630.70
T. Rowe Price Multi-Strategy Ttl Ret InvTMSRX0.690.630.590.530.160.390.310.400.490.00-0.08-0.14-0.05-0.08-0.04-0.100.230.580.690.401.00-0.200.160.520.43
Core Alternative ETFCCOR0.050.020.220.310.130.390.480.310.36-0.010.050.00-0.000.010.020.220.310.330.140.19-0.201.000.490.310.37
Standpoint Multi-Asset InvestorREMIX0.340.310.560.530.020.570.550.580.530.410.410.330.460.460.540.350.760.600.540.200.160.491.000.630.61
Fidelity Multi-Asset IncomeFMSDX0.730.610.930.920.130.900.870.850.86-0.20-0.26-0.33-0.12-0.14-0.120.000.540.910.850.630.520.310.631.000.95
SPDR S&P 500 ETF TrustSPY0.720.530.920.900.120.910.890.900.92-0.20-0.30-0.38-0.22-0.25-0.17-0.040.460.920.830.700.430.370.610.951.00
Based on monthly returns from Jan 2020 to Dec 2022

Efficient Frontiers

Efficient Frontier Portfolios

#BALPXMERFXPRPFXPAAIXPCBAXABRZXCRAAXFTLSNLSAXDBMFAMFAXPQTAXCSAAXAHLPXFMFCSQAXGPANXJAAAXTALTXBAMBXTMSRXCCORREMIXFMSDXSPYExpected Return *Standard Deviation *Sharpe Ratio *
110.00%10.00%0.00%0.00%10.00%0.00%3.19%0.00%7.66%0.00%0.00%8.44%0.00%5.71%10.00%5.92%0.00%0.00%0.00%10.00%9.08%10.00%0.00%0.00%0.00%4.74%3.19%1.245
210.00%10.00%0.00%0.00%10.00%0.00%2.65%0.00%8.25%0.00%0.00%8.51%0.00%5.74%9.86%6.23%0.00%0.00%0.00%10.00%8.77%10.00%0.00%0.00%0.00%4.78%3.19%1.259
310.00%10.00%0.00%0.00%10.00%0.00%2.30%0.00%8.70%0.00%0.00%8.67%0.00%5.87%9.47%6.45%0.00%0.00%0.00%10.00%8.55%10.00%0.00%0.00%0.00%4.82%3.19%1.272
410.00%10.00%0.00%0.00%10.00%0.00%1.94%0.00%9.15%0.00%0.00%8.82%0.00%6.00%9.09%6.67%0.00%0.00%0.00%10.00%8.33%10.00%0.00%0.00%0.00%4.87%3.19%1.285
510.00%10.00%0.00%0.00%10.00%0.00%1.58%0.00%9.60%0.00%0.00%8.98%0.00%6.13%8.70%6.89%0.00%0.00%0.00%10.00%8.11%10.00%0.00%0.00%0.00%4.91%3.19%1.298
610.00%10.00%0.00%0.00%10.00%0.00%1.28%0.00%10.00%0.00%0.00%9.16%0.00%6.28%8.28%7.10%0.00%0.00%0.00%10.00%7.90%10.00%0.00%0.00%0.00%4.95%3.19%1.311
710.00%10.00%0.00%0.00%10.00%0.00%1.32%0.00%10.00%0.00%0.00%9.48%0.00%6.59%7.61%7.25%0.00%0.00%0.00%10.00%7.75%10.00%0.00%0.00%0.00%4.99%3.20%1.324
810.00%10.00%0.00%0.00%10.00%0.00%1.36%0.00%10.00%0.00%0.00%9.80%0.00%6.89%6.95%7.40%0.00%0.00%0.00%10.00%7.60%10.00%0.00%0.00%0.00%5.04%3.20%1.337
910.00%10.00%0.00%0.00%10.00%0.00%1.39%0.00%10.00%0.00%0.00%10.00%0.00%7.31%6.30%7.56%0.00%0.00%0.00%10.00%7.44%10.00%0.00%0.00%0.00%5.08%3.20%1.349
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783.62%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%2.95%10.00%10.00%0.00%2.05%0.00%10.00%2.67%0.00%0.00%8.66%0.00%10.00%10.00%0.04%0.00%8.04%4.90%1.485
792.96%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%3.44%10.00%10.00%0.00%1.56%0.00%10.00%3.24%0.00%0.00%8.14%0.00%10.00%10.00%0.66%0.00%8.08%4.95%1.478
802.29%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%3.93%10.00%10.00%0.00%1.07%0.00%10.00%3.82%0.00%0.00%7.61%0.00%10.00%10.00%1.28%0.00%8.12%5.00%1.471
811.62%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%4.43%10.00%10.00%0.00%0.57%0.00%10.00%4.40%0.00%0.00%7.08%0.00%10.00%10.00%1.90%0.00%8.17%5.06%1.465
820.95%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%4.92%10.00%10.00%0.00%0.08%0.00%10.00%4.97%0.00%0.00%6.55%0.00%10.00%10.00%2.53%0.00%8.21%5.11%1.458
830.36%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%5.54%0.00%0.00%5.87%0.00%10.00%10.00%3.22%0.00%8.25%5.16%1.451
840.00%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%6.07%0.00%0.00%5.00%0.00%10.00%10.00%3.94%0.00%8.30%5.22%1.444
850.00%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%6.51%0.00%0.00%3.85%0.00%10.00%10.00%4.65%0.00%8.34%5.27%1.437
860.00%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%7.77%0.00%0.00%2.23%0.00%10.00%10.00%5.00%0.00%8.38%5.33%1.430
870.00%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%9.84%0.00%0.00%0.16%0.00%10.00%10.00%5.00%0.00%8.42%5.39%1.423
880.00%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%10.00%0.00%0.00%0.00%0.00%10.00%10.00%3.58%1.42%8.47%5.45%1.413
890.00%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%10.00%0.00%0.00%0.00%0.00%10.00%10.00%2.04%2.96%8.51%5.52%1.403
900.00%0.00%10.00%0.00%10.00%0.00%0.00%0.00%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%10.00%0.00%0.00%0.00%0.00%10.00%10.00%0.50%4.50%8.55%5.60%1.392
910.00%0.00%10.00%0.00%10.00%0.00%0.00%1.33%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%8.67%0.00%0.00%0.00%0.00%9.76%10.00%0.00%5.24%8.60%5.68%1.379
920.00%0.00%10.00%0.00%10.00%0.00%0.00%1.20%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%8.80%0.00%0.00%0.00%0.00%8.61%10.00%0.00%6.39%8.64%5.78%1.363
930.00%0.00%10.00%0.00%10.00%0.00%0.00%1.07%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%8.93%0.00%0.00%0.00%0.00%7.46%10.00%0.00%7.54%8.68%5.88%1.346
940.00%0.00%10.00%0.00%10.00%0.00%0.00%0.94%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%9.06%0.00%0.00%0.00%0.00%6.30%10.00%0.00%8.70%8.72%5.99%1.329
950.00%0.00%10.00%0.00%10.00%0.00%0.00%0.81%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%9.19%0.00%0.00%0.00%0.00%5.15%10.00%0.00%9.85%8.77%6.11%1.311
960.00%0.00%10.00%0.00%10.00%0.00%0.00%3.30%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%6.70%0.00%0.00%0.00%0.00%5.00%10.00%0.00%10.00%8.81%6.23%1.292
970.00%0.00%10.00%0.00%10.00%0.00%0.00%6.17%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%3.83%0.00%0.00%0.00%0.00%5.00%10.00%0.00%10.00%8.85%6.36%1.271
980.00%0.00%10.00%0.00%10.00%0.00%0.00%9.04%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%0.96%0.00%0.00%0.00%0.00%5.00%10.00%0.00%10.00%8.90%6.51%1.249
990.00%0.00%10.00%0.00%10.00%0.00%0.00%10.00%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%2.41%10.00%2.59%10.00%8.94%6.71%1.219
1000.00%0.00%10.00%9.99%0.01%0.00%0.00%10.00%10.00%5.00%10.00%10.00%0.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%0.00%10.00%5.00%10.00%8.98%7.82%1.051
*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

YearInflationProvided PortfolioMaximum Return at 7.00% VolatilitySPDR S&P 500 ETF TrustBlackRock Event Driven Equity Inv A (BALPX)The Merger Fund A (MERFX)Permanent Portfolio Permanent I (PRPFX)PIMCO All Asset Instl (PAAIX)BlackRock Tactical Opportunities Inv A (PCBAX)Invesco Balanced-Risk Allocation A (ABRZX)Columbia Adaptive Risk Allocation A (CRAAX)First Trust Long/Short Equity ETF (FTLS)Neuberger Berman Long Short A (NLSAX)iMGP DBi Managed Futures Strategy ETF (DBMF)Virtus AlphaSimplex Mgd Futs Strat A (AMFAX)PIMCO TRENDS Managed Futures Strat A (PQTAX)Credit Suisse Managed Futs Strat A (CSAAX)American Beacon AHL Mgd Futs Strat Inv (AHLPX)First Trust Managed Future Strategy ETF (FMF)Credit Suisse Multialternative Strat A (CSQAX)Grant Park Multi Alternative Strats N (GPANX)JHancock Alternative Asset Allc A (JAAAX)Morgan Stanley Pathway Alt Strats (TALTX)BlackRock Systematic Multi-Strat Inv A (BAMBX)T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)Core Alternative ETF (CCOR)Standpoint Multi-Asset Investor (REMIX)Fidelity Multi-Asset Income (FMSDX)SPDR S&P 500 ETF Trust (SPY)
ReturnBalanceReturnBalanceReturnBalance
20201.36%9.00%$10,90011.53%$11,15318.37%$11,8376.03%4.87%18.86%8.41%6.49%9.20%9.16%2.56%14.79%1.73%13.27%8.50%1.57%10.42%5.69%6.11%8.85%4.36%5.19%3.34%13.20%4.05%16.07%16.55%18.37%
20217.04%9.00%$11,88112.78%$12,57928.74%$15,2401.60%-0.19%10.86%15.58%0.29%9.19%10.67%19.65%8.65%11.38%3.30%14.51%7.21%4.69%3.58%9.94%5.78%4.77%5.34%5.84%-2.07%9.81%19.71%17.80%28.74%
20226.45%0.75%$11,9703.18%$12,979-18.17%$12,471-0.25%0.71%-5.49%-11.53%5.78%-14.96%-15.13%-5.57%-7.27%21.53%35.37%11.05%21.07%16.47%5.23%5.52%-2.21%-3.11%-2.29%-3.23%-4.69%2.50%3.43%-12.83%-18.17%

Monthly Returns

YearMonthProvided PortfolioMaximum Return at 7.00% VolatilitySPDR S&P 500 ETF TrustBlackRock Event Driven Equity Inv A (BALPX)The Merger Fund A (MERFX)Permanent Portfolio Permanent I (PRPFX)PIMCO All Asset Instl (PAAIX)BlackRock Tactical Opportunities Inv A (PCBAX)Invesco Balanced-Risk Allocation A (ABRZX)Columbia Adaptive Risk Allocation A (CRAAX)First Trust Long/Short Equity ETF (FTLS)Neuberger Berman Long Short A (NLSAX)iMGP DBi Managed Futures Strategy ETF (DBMF)Virtus AlphaSimplex Mgd Futs Strat A (AMFAX)PIMCO TRENDS Managed Futures Strat A (PQTAX)Credit Suisse Managed Futs Strat A (CSAAX)American Beacon AHL Mgd Futs Strat Inv (AHLPX)First Trust Managed Future Strategy ETF (FMF)Credit Suisse Multialternative Strat A (CSQAX)Grant Park Multi Alternative Strats N (GPANX)JHancock Alternative Asset Allc A (JAAAX)Morgan Stanley Pathway Alt Strats (TALTX)BlackRock Systematic Multi-Strat Inv A (BAMBX)T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)Core Alternative ETF (CCOR)Standpoint Multi-Asset Investor (REMIX)Fidelity Multi-Asset Income (FMSDX)SPDR S&P 500 ETF Trust (SPY)
ReturnBalanceReturnBalanceReturnBalance
20201-0.26%$9,9740.00%$10,000-0.04%$9,9960.11%0.41%0.49%-1.52%1.12%-1.64%-1.03%0.66%1.57%1.00%0.11%-1.63%-2.61%-0.60%0.02%-1.18%0.00%-0.28%0.30%0.41%0.83%-0.71%-1.10%-1.13%-0.04%
20202-1.83%$9,792-2.66%$9,734-7.92%$9,205-0.32%-0.29%-3.88%-3.42%-1.04%-3.33%-3.50%-6.63%-1.95%-2.11%0.65%2.38%-2.04%2.50%-1.45%-1.85%0.95%-2.36%-1.80%0.10%0.72%-1.71%-4.04%-3.42%-7.92%
20203-2.01%$9,595-1.29%$9,608-12.46%$8,057-4.95%-2.50%-9.40%-11.74%-0.30%-7.60%-2.84%-6.54%-5.41%1.23%6.22%6.27%3.40%5.75%3.34%6.19%0.56%-4.76%-8.04%-2.72%-4.68%5.00%2.42%-6.73%-12.46%
202043.20%$9,9024.35%$10,02612.70%$9,0814.19%2.21%8.97%5.53%1.12%2.63%2.22%6.00%5.00%2.22%-0.10%-0.86%-1.17%-1.29%-0.46%2.50%1.03%2.91%3.21%5.00%3.95%0.48%5.14%6.83%12.70%
202051.18%$10,0191.31%$10,1574.76%$9,5131.20%0.06%5.04%3.34%2.22%3.10%1.08%3.42%3.03%-3.09%-2.93%-0.29%-0.75%-1.40%1.70%-0.81%0.65%1.59%2.04%1.38%2.57%-1.43%-0.39%3.44%4.76%
202060.12%$10,031-0.06%$10,1511.78%$9,6820.21%0.06%2.60%2.98%-0.29%2.59%0.98%-0.19%1.27%-1.87%-1.25%-3.00%-2.59%-1.99%0.05%-0.51%0.09%0.57%1.26%0.00%0.90%-1.31%0.10%0.57%1.78%
202072.64%$10,2963.37%$10,4935.89%$10,2521.16%1.11%5.94%3.25%0.07%2.12%3.29%4.95%1.98%3.56%4.95%3.14%2.00%2.32%1.06%1.34%1.38%2.48%2.28%2.10%2.78%-0.76%2.45%5.23%5.89%
202081.59%$10,4592.07%$10,7106.98%$10,9680.87%0.35%3.24%0.87%0.22%2.87%4.68%3.23%4.80%-0.64%0.90%-1.08%1.96%0.94%0.49%-0.91%0.54%0.83%1.93%-1.34%0.97%0.93%2.49%3.56%6.98%
20209-1.97%$10,253-2.65%$10,426-3.74%$10,558-0.11%0.29%-4.17%-1.55%-0.87%-1.35%-3.04%-4.13%-0.68%-3.01%-3.08%-2.94%-2.77%-3.18%-3.01%-2.15%-1.98%-0.82%-1.69%-0.68%0.19%-0.01%-2.62%-2.22%-3.74%
202010-0.80%$10,171-0.92%$10,331-2.49%$10,2940.76%0.46%-0.07%-1.25%0.88%-1.36%-1.20%-1.89%-1.12%-0.01%-0.21%0.21%0.22%-1.55%-1.70%-1.57%-1.01%-0.35%-0.51%-0.88%0.86%-2.71%-1.82%-1.64%-2.49%
2020114.10%$10,5884.65%$10,81110.88%$11,4142.26%1.65%5.79%9.03%2.97%8.00%6.16%2.59%4.22%0.73%3.29%1.76%2.08%3.34%2.41%2.88%2.70%2.92%4.18%-0.30%1.33%4.69%8.41%8.49%10.88%
2020122.95%$10,9003.17%$11,1533.71%$11,8370.74%1.05%4.37%4.17%0.27%3.71%2.54%2.08%1.68%4.01%4.47%4.70%4.18%5.60%3.30%2.38%3.72%1.83%2.52%0.42%2.31%1.83%4.66%3.56%3.71%
202110.03%$10,9030.02%$11,156-1.02%$11,717-0.21%0.52%0.48%1.77%-0.65%0.18%-0.78%2.90%-2.31%-0.12%-0.39%-0.49%-0.31%-0.28%0.95%1.95%0.00%-0.47%-0.19%0.59%0.19%-2.90%0.26%1.02%-1.02%
202122.09%$11,1322.17%$11,3982.78%$12,0420.31%0.74%2.45%2.54%-1.96%0.45%-0.17%1.51%0.56%4.44%4.15%1.58%6.71%4.84%2.58%1.57%2.93%0.94%1.73%-1.08%1.98%1.80%5.47%3.49%2.78%
202131.28%$11,2741.95%$11,6204.54%$12,5890.52%-0.40%1.21%1.76%1.40%0.35%0.96%-0.23%2.97%2.92%0.95%1.94%1.06%1.09%0.96%1.10%-0.95%1.00%0.57%1.59%-1.29%2.69%2.88%2.43%4.54%
202142.39%$11,5442.73%$11,9385.29%$13,2551.77%1.19%3.55%2.66%1.46%3.36%3.29%3.07%2.82%2.24%2.44%1.62%3.64%1.97%1.82%0.87%2.26%2.04%2.17%1.08%0.09%1.93%3.76%3.35%5.29%
202151.44%$11,7091.51%$12,1180.66%$13,3420.61%0.34%2.93%2.59%0.93%1.88%1.34%2.48%-0.70%2.89%2.02%2.35%1.85%1.67%1.76%0.65%0.94%0.71%0.83%1.07%0.65%2.46%1.31%1.71%0.66%
20216-0.11%$11,6970.28%$12,1522.25%$13,642-0.61%-0.90%-1.25%0.73%-1.28%0.92%1.57%1.37%2.06%-1.30%-2.07%0.89%-2.54%-0.78%-0.59%1.40%-1.52%0.06%0.09%0.58%-0.28%-2.57%0.61%0.49%2.25%
202170.31%$11,7330.75%$12,2432.44%$13,975-1.62%-2.49%0.12%0.45%-0.86%0.92%1.95%0.79%1.15%0.74%0.55%1.10%-0.65%-0.26%-0.98%0.32%-0.17%0.26%0.09%0.48%-0.19%2.43%0.83%0.34%2.44%
202180.44%$11,7840.95%$12,3592.98%$14,3910.21%0.17%0.26%0.68%0.80%0.99%1.04%1.54%1.48%-2.64%-0.91%1.81%-1.03%-0.70%-1.47%1.59%0.00%0.19%0.27%0.09%1.12%0.53%0.90%1.01%2.98%
20219-0.97%$11,670-1.17%$12,214-4.66%$13,7210.00%0.52%-3.01%-1.71%2.02%-2.20%-3.55%-2.89%-1.85%-0.14%-2.03%3.21%1.61%-0.62%-0.08%-1.35%0.26%-0.96%-0.91%-1.42%-0.74%-1.72%-0.22%-1.82%-4.66%
2021101.91%$11,8932.71%$12,5457.02%$14,6840.00%-0.12%2.49%1.73%-4.59%0.92%2.29%4.24%2.92%4.17%4.04%2.85%1.30%2.04%1.01%-0.21%3.93%0.90%1.10%0.38%-0.47%0.85%5.00%4.00%7.02%
202111-1.85%$11,673-2.08%$12,285-0.80%$14,5660.00%-0.12%-0.84%-2.16%0.81%-1.41%0.08%-0.16%-2.83%-2.37%-7.50%-4.87%-3.86%-4.16%-3.29%2.75%-2.14%-1.66%-2.00%0.77%-1.87%-1.85%-5.33%-1.42%-0.80%
2021121.78%$11,8812.40%$12,5794.63%$15,2400.64%0.38%2.19%3.69%2.42%2.59%2.35%3.68%2.31%0.32%2.59%1.90%-0.37%0.05%1.01%-1.04%0.26%1.71%1.53%1.61%-1.24%6.13%3.10%2.08%4.63%
20221-1.15%$11,745-1.83%$12,349-5.27%$14,436-0.74%0.06%-3.53%-1.57%-0.22%-3.10%-1.88%-3.99%-1.58%0.40%2.72%0.18%2.40%-0.19%0.18%-3.29%-0.37%-0.84%-0.64%-0.86%-1.29%0.29%-2.86%-2.63%-5.27%
202220.32%$11,7820.37%$12,395-2.95%$14,0101.06%0.17%1.91%-1.43%-2.01%0.64%-1.92%-0.66%-2.35%3.11%3.13%3.06%2.95%2.23%1.96%-0.12%1.31%-0.46%-0.28%-1.55%-1.01%-0.86%2.46%-0.43%-2.95%
202232.54%$12,0823.71%$12,8553.76%$14,536-0.32%-0.06%2.53%0.84%0.81%0.85%-1.27%1.87%1.00%7.07%11.40%5.58%7.61%7.41%5.28%0.47%2.58%0.72%1.30%-0.49%-1.42%-1.55%6.21%1.43%3.76%
202240.31%$12,1190.63%$12,937-8.78%$13,260-0.74%-0.46%-5.07%-3.65%1.16%-3.25%-3.37%-1.64%-2.62%10.59%10.00%6.56%6.43%3.27%4.71%1.64%-0.09%-1.04%-0.64%-0.89%-0.21%1.28%1.24%-6.76%-8.78%
20225-0.24%$12,090-0.02%$12,9340.23%$13,290-0.21%-0.64%-0.13%0.08%0.00%0.00%-0.72%2.17%-0.72%-0.98%-1.09%-1.29%-1.04%-0.60%0.68%0.81%-0.63%-0.07%-0.37%1.79%-1.44%-1.14%1.08%-1.91%0.23%
20226-1.52%$11,906-1.21%$12,778-8.25%$12,194-1.17%-0.70%-5.56%-6.87%-1.94%-6.51%-3.30%-4.52%-1.69%3.48%6.60%4.22%0.00%0.86%0.08%1.14%-1.09%-1.98%-1.94%-1.66%0.10%1.11%-2.57%-5.84%-8.25%
202270.84%$12,0060.71%$12,8699.21%$13,3170.94%1.11%3.42%4.01%-0.59%5.10%4.16%3.13%3.62%-3.58%-5.67%-4.50%-3.23%-2.31%-4.31%-1.81%1.10%1.28%1.04%1.79%-0.63%2.64%0.22%4.82%9.21%
20228-0.08%$11,9960.13%$12,887-4.08%$12,7740.64%0.75%-2.68%-2.11%2.73%-4.42%-3.69%-1.85%-1.48%2.72%5.08%0.78%4.41%3.32%1.36%2.87%-2.53%-0.53%-0.28%-1.28%0.84%-0.67%-0.95%-1.08%-4.08%
20229-1.01%$11,875-0.66%$12,801-9.24%$11,593-1.27%-0.52%-4.19%-7.84%0.14%-7.74%-5.32%-4.74%-4.26%5.77%8.62%6.84%6.47%7.95%3.00%1.23%-0.93%-2.94%-1.78%-2.90%-0.42%-4.77%-1.48%-4.89%-9.24%
2022101.68%$12,0742.56%$13,1298.13%$12,5361.51%0.98%4.10%3.33%1.58%3.13%0.90%4.46%1.57%0.97%-0.68%-0.07%-1.86%-1.41%-0.37%1.21%0.28%1.51%0.86%0.93%-0.52%6.68%2.70%2.03%8.13%
2022110.19%$12,0970.12%$13,1455.56%$13,2320.00%-0.46%5.38%5.59%1.20%3.64%3.23%4.27%2.96%-8.84%-6.75%-9.02%-3.22%-4.13%-6.36%0.65%-0.47%1.83%1.13%1.94%0.00%2.75%-0.44%4.31%5.56%
202212-1.05%$11,970-1.26%$12,979-5.76%$12,4710.09%0.48%-1.00%-1.66%2.90%-3.51%-2.68%-3.56%-1.66%0.35%-0.80%-0.60%-0.83%-0.33%-0.49%0.71%-1.29%-0.53%-0.64%0.04%1.24%-2.81%-1.87%-1.92%-5.76%

Risk and Return Metrics

MetricProvided PortfolioMaximum Return at 7.00% VolatilitySPDR S&P 500 ETF Trust
Arithmetic Mean (monthly)0.51%0.74%0.80%
Arithmetic Mean (annualized)6.34%9.31%9.99%
Geometric Mean (monthly)0.50%0.73%0.62%
Geometric Mean (annualized)6.18%9.08%7.64%
Standard Deviation (monthly)1.61%1.94%6.10%
Standard Deviation (annualized)5.57%6.71%21.12%
Downside Deviation (monthly)0.78%0.90%4.01%
Maximum Drawdown-4.05%-3.92%-23.93%
Stock Market Correlation0.820.791.00
Beta(*)0.220.251.00
Alpha (annualized)4.10%6.54%-0.00%
R266.62%62.37%100.00%
Sharpe Ratio0.951.200.42
Sortino Ratio1.872.510.62
Treynor Ratio (%)25.0832.598.80
Calmar Ratio1.522.320.32
Active Return-1.46%1.44%N/A
Tracking Error16.89%16.35%N/A
Information Ratio-0.090.09N/A
Skewness0.240.16-0.25
Excess Kurtosis-0.71-0.70-0.55
Historical Value-at-Risk (5%)1.88%2.22%8.89%
Analytical Value-at-Risk (5%)2.09%2.40%9.23%
Conditional Value-at-Risk (5%)1.99%2.65%10.85%
Upside Capture Ratio (%)27.5435.70100.00
Downside Capture Ratio (%)19.3020.32100.00
Safe Withdrawal Rate35.61%37.58%40.09%
Perpetual Withdrawal Rate1.19%3.81%2.52%
Positive Periods22 out of 36 (61.11%)24 out of 36 (66.67%)21 out of 36 (58.33%)
Gain/Loss Ratio1.431.350.98
* SPDR S&P 500 ETF Trust is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEndProvided PortfolioMaximum Return at 7.00% VolatilitySPDR S&P 500 ETF Trust
COVID-19 StartJan 2020Mar 2020-4.05%-3.92%-19.43%

Drawdowns for Provided Portfolio

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsMay 20202 months5 months-4.05%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-2.76%
3May 2022Sep 20225 months-2.02%
4Nov 2021Nov 20211 monthMar 20224 months5 months-1.85%
5Sep 2021Sep 20211 monthOct 20211 month2 months-0.97%
6Jun 2021Jun 20211 monthJul 20211 month2 months-0.11%

Drawdowns for Maximum Return at 7.00% Volatility

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsApr 20201 month3 months-3.92%
2Sep 2020Oct 20202 monthsNov 20201 month3 months-3.54%
3Nov 2021Nov 20211 monthDec 20211 month2 months-2.08%
4Jan 2022Jan 20221 monthMar 20222 months3 months-1.83%
5Dec 2022Dec 20221 month-1.26%
6May 2022Jun 20222 monthsOct 20224 months6 months-1.23%
7Sep 2021Sep 20211 monthOct 20211 month2 months-1.17%
8Jun 2020Jun 20201 monthJul 20201 month2 months-0.06%

Drawdowns for SPDR S&P 500 ETF Trust

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2022Sep 20229 months-23.93%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
3Sep 2020Oct 20202 monthsNov 20201 month3 months-6.14%
4Sep 2021Sep 20211 monthOct 20211 month2 months-4.66%
5Jan 2021Jan 20211 monthFeb 20211 month2 months-1.02%
6Nov 2021Nov 20211 monthDec 20211 month2 months-0.80%

Portfolio Assets

TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
BALPXBlackRock Event Driven Equity Inv A2.42%4.78%6.03%-0.25%-5.26%0.360.520.75
MERFXThe Merger Fund A1.77%3.24%4.87%-0.19%-4.11%0.320.440.57
PRPFXPermanent Portfolio Permanent I7.59%13.46%18.86%-5.49%-13.66%0.550.840.92
PAAIXPIMCO All Asset Instl3.49%13.81%15.58%-11.53%-17.54%0.260.360.91
PCBAXBlackRock Tactical Opportunities Inv A4.15%5.52%6.49%0.29%-4.59%0.640.960.12
ABRZXInvesco Balanced-Risk Allocation A0.46%12.08%9.20%-14.96%-17.68%0.030.050.91
CRAAXColumbia Adaptive Risk Allocation A0.84%9.62%10.67%-15.13%-16.27%0.050.080.88
FTLSFirst Trust Long/Short Equity ETF5.04%11.70%19.65%-5.57%-12.74%0.410.590.90
NLSAXNeuberger Berman Long Short A4.97%9.00%14.79%-7.27%-10.36%0.490.780.92
DBMFiMGP DBi Managed Futures Strategy ETF11.25%12.04%21.53%1.73%-8.84%0.881.55-0.20
AMFAXVirtus AlphaSimplex Mgd Futs Strat A16.57%14.76%35.37%3.30%-8.14%1.062.07-0.30
PQTAXPIMCO TRENDS Managed Futures Strat A11.33%11.53%14.51%8.50%-9.63%0.921.47-0.38
CSAAXCredit Suisse Managed Futs Strat A9.65%10.73%21.07%1.57%-5.81%0.841.72-0.22
AHLPXAmerican Beacon AHL Mgd Futs Strat Inv10.43%10.24%16.47%4.69%-6.08%0.942.01-0.25
FMFFirst Trust Managed Future Strategy ETF4.83%8.19%5.69%3.58%-7.25%0.520.76-0.16
CSQAXCredit Suisse Multialternative Strat A7.17%6.31%9.94%5.52%-4.57%1.011.94-0.04
GPANXGrant Park Multi Alternative Strats N4.03%5.41%8.85%-2.21%-5.55%0.601.110.46
JAAAXJHancock Alternative Asset Allc A1.94%5.71%4.77%-3.11%-7.26%0.230.320.92
TALTXMorgan Stanley Pathway Alt Strats2.69%7.13%5.34%-2.29%-9.70%0.300.390.85
BAMBXBlackRock Systematic Multi-Strat Inv A1.91%5.29%5.84%-3.23%-5.98%0.240.380.68
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv1.85%5.39%13.20%-4.69%-9.85%0.220.330.47
CCORCore Alternative ETF5.41%9.11%9.81%2.50%-5.41%0.540.960.34
REMIXStandpoint Multi-Asset Investor12.85%10.47%19.71%3.43%-5.33%1.132.270.61
FMSDXFidelity Multi-Asset Income6.17%12.64%17.80%-12.83%-16.49%0.470.740.95
SPYSPDR S&P 500 ETF Trust7.64%21.12%28.74%-18.17%-23.93%0.420.621.00

Portfolio Asset Performance

NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 yearNetGross
BlackRock Event Driven Equity Inv A1.60%-0.25%-0.25%2.42%1.52%1.55%
The Merger Fund A1.00%0.71%0.71%1.77%1.54%1.63%
Permanent Portfolio Permanent I8.60%-5.49%-5.49%7.59%0.81%0.81%
PIMCO All Asset Instl7.28%-11.53%-11.53%3.49%0.89%1.00%
BlackRock Tactical Opportunities Inv A5.78%5.78%5.78%4.15%1.07%1.07%
Invesco Balanced-Risk Allocation A3.13%-14.96%-14.96%0.46%1.38%1.42%
Columbia Adaptive Risk Allocation A1.37%-15.13%-15.13%0.84%1.05%1.05%
First Trust Long/Short Equity ETF5.05%-5.57%-5.57%5.04%1.41%1.41%
Neuberger Berman Long Short A2.85%-7.27%-7.27%4.97%2.06%2.06%
iMGP DBi Managed Futures Strategy ETF-7.63%21.53%21.53%11.25%0.85%0.85%
Virtus AlphaSimplex Mgd Futs Strat A-8.14%35.37%35.37%16.57%1.70%1.70%
PIMCO TRENDS Managed Futures Strat A-9.63%11.05%11.05%11.33%1.87%2.11%
Credit Suisse Managed Futs Strat A-5.81%21.07%21.07%9.65%1.59%1.59%
American Beacon AHL Mgd Futs Strat Inv-5.80%16.47%16.47%10.43%1.84%1.84%
First Trust Managed Future Strategy ETF-7.16%5.23%5.23%4.83%0.95%0.95%
Credit Suisse Multialternative Strat A2.60%5.52%5.52%7.17%1.16%1.74%
Grant Park Multi Alternative Strats N-1.48%-2.21%-2.21%4.03%1.71%1.71%
JHancock Alternative Asset Allc A2.82%-3.11%-3.11%1.94%1.66%1.84%
Morgan Stanley Pathway Alt Strats1.35%-2.29%-2.29%2.69%1.80%2.80%
BlackRock Systematic Multi-Strat Inv A2.93%-3.23%-3.23%1.91%1.20%1.20%
T. Rowe Price Multi-Strategy Ttl Ret Inv0.70%-4.69%-4.69%1.85%1.19%1.37%
Core Alternative ETF6.53%2.50%2.50%5.41%1.07%1.07%
Standpoint Multi-Asset Investor0.34%3.43%3.43%12.85%1.55%1.77%
Fidelity Multi-Asset Income4.38%-12.83%-12.83%6.17%0.75%0.75%
SPDR S&P 500 ETF Trust7.57%-18.17%-18.17%7.64%0.09%0.09%
Trailing returns as of last calendar month ending December 2022

Monthly Correlations

TickerNameBALPXMERFXPRPFXPAAIXPCBAXABRZXCRAAXFTLSNLSAXDBMFAMFAXPQTAXCSAAXAHLPXFMFCSQAXGPANXJAAAXTALTXBAMBXTMSRXCCORREMIXFMSDXSPYProvided PortfolioMaximum Return at 7.00% VolatilitySPDR S&P 500 ETF Trust
BALPXBlackRock Event Driven Equity Inv A1.000.870.810.770.320.680.510.640.67-0.06-0.24-0.30-0.14-0.26-0.12-0.190.260.800.840.610.690.050.340.730.720.650.580.72
MERFXThe Merger Fund A0.871.000.630.620.330.510.350.470.460.03-0.11-0.190.01-0.09-0.02-0.130.320.640.680.390.630.020.310.610.530.560.480.53
PRPFXPermanent Portfolio Permanent I0.810.631.000.910.180.880.800.890.82-0.14-0.25-0.35-0.14-0.19-0.09-0.050.500.930.880.710.590.220.560.930.920.830.780.92
PAAIXPIMCO All Asset Instl0.770.620.911.000.230.940.820.830.83-0.24-0.34-0.42-0.21-0.29-0.17-0.140.430.950.900.690.530.310.530.920.900.780.690.90
PCBAXBlackRock Tactical Opportunities Inv A0.320.330.180.231.000.160.080.100.12-0.10-0.11-0.110.00-0.100.040.13-0.260.250.220.190.160.130.020.130.120.170.160.12
ABRZXInvesco Balanced-Risk Allocation A0.680.510.880.940.161.000.900.830.83-0.28-0.35-0.39-0.23-0.28-0.15-0.120.500.900.820.610.390.390.570.900.910.770.690.91
CRAAXColumbia Adaptive Risk Allocation A0.510.350.800.820.080.901.000.810.85-0.28-0.31-0.36-0.24-0.23-0.180.040.470.810.710.590.310.480.550.870.890.730.690.89
FTLSFirst Trust Long/Short Equity ETF0.640.470.890.830.100.830.811.000.78-0.09-0.22-0.32-0.14-0.22-0.060.060.440.870.780.710.400.310.580.850.900.800.790.90
NLSAXNeuberger Berman Long Short A0.670.460.820.830.120.830.850.781.00-0.23-0.26-0.36-0.24-0.25-0.19-0.180.400.880.820.640.490.360.530.860.920.750.720.92
DBMFiMGP DBi Managed Futures Strategy ETF-0.060.03-0.14-0.24-0.10-0.28-0.28-0.09-0.231.000.880.810.800.750.830.280.32-0.080.02-0.290.00-0.010.41-0.20-0.200.300.36-0.20
AMFAXVirtus AlphaSimplex Mgd Futs Strat A-0.24-0.11-0.25-0.34-0.11-0.35-0.31-0.22-0.260.881.000.860.860.880.850.280.34-0.18-0.08-0.46-0.080.050.41-0.26-0.300.230.30-0.30
PQTAXPIMCO TRENDS Managed Futures Strat A-0.30-0.19-0.35-0.42-0.11-0.39-0.36-0.32-0.360.810.861.000.750.830.820.290.33-0.30-0.21-0.47-0.140.000.33-0.33-0.380.130.20-0.38
CSAAXCredit Suisse Managed Futs Strat A-0.140.01-0.14-0.210.00-0.23-0.24-0.14-0.240.800.860.751.000.880.830.280.40-0.090.01-0.49-0.05-0.000.46-0.12-0.220.310.33-0.22
AHLPXAmerican Beacon AHL Mgd Futs Strat Inv-0.26-0.09-0.19-0.29-0.10-0.28-0.23-0.22-0.250.750.880.830.881.000.830.390.47-0.20-0.09-0.48-0.080.010.46-0.14-0.250.270.31-0.25
FMFFirst Trust Managed Future Strategy ETF-0.12-0.02-0.09-0.170.04-0.15-0.18-0.06-0.190.830.850.820.830.831.000.350.44-0.060.04-0.35-0.040.020.54-0.12-0.170.370.41-0.17
CSQAXCredit Suisse Multialternative Strat A-0.19-0.13-0.05-0.140.13-0.120.040.06-0.180.280.280.290.280.390.351.000.06-0.11-0.21-0.04-0.100.220.350.00-0.040.170.27-0.04
GPANXGrant Park Multi Alternative Strats N0.260.320.500.43-0.260.500.470.440.400.320.340.330.400.470.440.061.000.460.470.130.230.310.760.540.460.710.680.46
JAAAXJHancock Alternative Asset Allc A0.800.640.930.950.250.900.810.870.88-0.08-0.18-0.30-0.09-0.20-0.06-0.110.461.000.940.700.580.330.600.910.920.860.800.92
TALTXMorgan Stanley Pathway Alt Strats0.840.680.880.900.220.820.710.780.820.02-0.08-0.210.01-0.090.04-0.210.470.941.000.560.690.140.540.850.830.840.760.83
BAMBXBlackRock Systematic Multi-Strat Inv A0.610.390.710.690.190.610.590.710.64-0.29-0.46-0.47-0.49-0.48-0.35-0.040.130.700.561.000.400.190.200.630.700.470.450.70
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv0.690.630.590.530.160.390.310.400.490.00-0.08-0.14-0.05-0.08-0.04-0.100.230.580.690.401.00-0.200.160.520.430.470.390.43
CCORCore Alternative ETF0.050.020.220.310.130.390.480.310.36-0.010.050.00-0.000.010.020.220.310.330.140.19-0.201.000.490.310.370.410.430.37
REMIXStandpoint Multi-Asset Investor0.340.310.560.530.020.570.550.580.530.410.410.330.460.460.540.350.760.600.540.200.160.491.000.630.610.870.900.61
FMSDXFidelity Multi-Asset Income0.730.610.930.920.130.900.870.850.86-0.20-0.26-0.33-0.12-0.14-0.120.000.540.910.850.630.520.310.631.000.950.840.780.95
SPYSPDR S&P 500 ETF Trust0.720.530.920.900.120.910.890.900.92-0.20-0.30-0.38-0.22-0.25-0.17-0.040.460.920.830.700.430.370.610.951.000.820.791.00

Portfolio Return Decomposition

TickerNameProvided PortfolioMaximum Return at 7.00% Volatility
BALPXBlackRock Event Driven Equity Inv A$30.53
MERFXThe Merger Fund A$21.86
PRPFXPermanent Portfolio Permanent I$99.26$252
PAAIXPIMCO All Asset Instl$51.86
PCBAXBlackRock Tactical Opportunities Inv A$56.17$148
ABRZXInvesco Balanced-Risk Allocation A$7.75
CRAAXColumbia Adaptive Risk Allocation A$9.78
FTLSFirst Trust Long/Short Equity ETF$72.59$187
NLSAXNeuberger Berman Long Short A$62.66$158
DBMFiMGP DBi Managed Futures Strategy ETF$158$205
AMFAXVirtus AlphaSimplex Mgd Futs Strat A$223$580
PQTAXPIMCO TRENDS Managed Futures Strat A$154$396
CSAAXCredit Suisse Managed Futs Strat A$135
AHLPXAmerican Beacon AHL Mgd Futs Strat Inv$139
FMFFirst Trust Managed Future Strategy ETF$65.16
CSQAXCredit Suisse Multialternative Strat A$94.80$246
GPANXGrant Park Multi Alternative Strats N$49.96
JAAAXJHancock Alternative Asset Allc A$25.13
TALTXMorgan Stanley Pathway Alt Strats$36.04
BAMBXBlackRock Systematic Multi-Strat Inv A$24.57
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv$18.81
CCORCore Alternative ETF$76.04$47.65
REMIXStandpoint Multi-Asset Investor$164$418
FMSDXFidelity Multi-Asset Income$79.47$51.49
SPYSPDR S&P 500 ETF Trust$115$290
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

TickerNameProvided PortfolioMaximum Return at 7.00% Volatility
BALPXBlackRock Event Driven Equity Inv A2.24%
MERFXThe Merger Fund A1.31%
PRPFXPermanent Portfolio Permanent I8.00%15.57%
PAAIXPIMCO All Asset Instl7.74%
PCBAXBlackRock Tactical Opportunities Inv A0.67%1.33%
ABRZXInvesco Balanced-Risk Allocation A6.67%
CRAAXColumbia Adaptive Risk Allocation A5.07%
FTLSFirst Trust Long/Short Equity ETF6.69%13.72%
NLSAXNeuberger Berman Long Short A4.82%9.61%
DBMFiMGP DBi Managed Futures Strategy ETF2.57%3.19%
AMFAXVirtus AlphaSimplex Mgd Futs Strat A2.47%6.59%
PQTAXPIMCO TRENDS Managed Futures Strat A1.04%3.36%
CSAAXCredit Suisse Managed Futs Strat A2.35%
AHLPXAmerican Beacon AHL Mgd Futs Strat Inv1.96%
FMFFirst Trust Managed Future Strategy ETF2.15%
CSQAXCredit Suisse Multialternative Strat A0.79%2.54%
GPANXGrant Park Multi Alternative Strats N2.77%
JAAAXJHancock Alternative Asset Allc A3.54%
TALTXMorgan Stanley Pathway Alt Strats4.30%
BAMBXBlackRock Systematic Multi-Strat Inv A1.78%
TMSRXT. Rowe Price Multi-Strategy Ttl Ret Inv1.82%
CCORCore Alternative ETF2.69%1.40%
REMIXStandpoint Multi-Asset Investor6.56%14.01%
FMSDXFidelity Multi-Asset Income7.62%3.82%
SPYSPDR S&P 500 ETF Trust12.38%24.86%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns