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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Portfolio Optimization Results (Jan 2017 - Dec 2021) Save

Portfolio optimization results with goal to maximize return subject to 9.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 10.38% to 11.98%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Return at 9.00% Volatility
Ticker Name Allocation
RCTIX River Canyon Total Return Bond Instl 6.80%
COTZX Columbia Thermostat Inst 14.22%
VTMFX Vanguard Tax-Managed Balanced Adm 16.45%
FFFDX Fidelity Freedom 2020 6.75%
FAYZX Fidelity Advisor Multi-Asset Income I 17.26%
DIVO Amplify CWP Enhanced Dividend Income ETF 16.08%
CDC VictoryShares US EQ Inc Enh Vol Wtd ETF 10.50%
IQDG WisdomTree International Qual Div Gr ETF 11.93%
Save portfolio »
Equal Weighted
Ticker Name Allocation
RCTIX River Canyon Total Return Bond Instl 12.50%
COTZX Columbia Thermostat Inst 12.50%
VTMFX Vanguard Tax-Managed Balanced Adm 12.50%
FFFDX Fidelity Freedom 2020 12.50%
FAYZX Fidelity Advisor Multi-Asset Income I 12.50%
DIVO Amplify CWP Enhanced Dividend Income ETF 12.50%
CDC VictoryShares US EQ Inc Enh Vol Wtd ETF 12.50%
IQDG WisdomTree International Qual Div Gr ETF 12.50%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
MetricMaximum Return at 9.00% VolatilityEqual WeightedVanguard LifeStrategy Moderate Gr Inv
Start Balance$10,000$10,000$10,000
End Balance$17,713$17,405$16,329
Annualized Return (CAGR)12.11%11.72%10.30%
Expected Return11.88%11.50%10.27%
Standard Deviation8.99%8.68%9.23%
Best Year20.77%20.08%19.37%
Worst Year-4.12%-4.22%-4.91%
Maximum Drawdown -11.56% -11.40% -12.92%
Sharpe Ratio (ex-ante)1.201.201.00
Sharpe Ratio (ex-post)1.191.190.99
Sortino Ratio2.062.031.52
Active Return1.81%1.42%N/A
Tracking Error2.10%2.00%N/A
Information Ratio0.860.71N/A
Stock Market Correlation0.980.970.98
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 yearFull3 year5 year
Maximum Return at 9.00% Volatility5.09%15.43%15.43%17.39%12.11%12.11%10.36%8.99%
Equal Weighted4.63%14.61%14.61%16.64%11.72%11.72%9.97%8.68%
Vanguard LifeStrategy Moderate Gr Inv3.70%10.08%10.08%14.28%10.30%10.30%10.70%9.23%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • 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.
  • Monte Carlo method was used to resample the efficient frontier inputs to mitigate the impact of input estimation errors.
  • 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
1River Canyon Total Return Bond Instl (RCTIX)Income6.66%5.09%1.0990.00%20.00%
2Columbia Thermostat Inst (COTZX)Mixed Asset10.56%5.75%1.6490.00%20.00%
3Vanguard Tax-Managed Balanced Adm (VTMFX)Mixed Asset10.72%7.98%1.2100.00%20.00%
4Fidelity Freedom 2020 (FFFDX)Mixed Asset9.83%8.58%1.0210.00%20.00%
5Fidelity Advisor Multi-Asset Income I (FAYZX)Mixed Asset11.52%8.83%1.1830.00%20.00%
6Amplify CWP Enhanced Dividend Income ETF (DIVO)Domestic14.96%13.53%1.0260.00%20.00%
7VictoryShares US EQ Inc Enh Vol Wtd ETF (CDC)Domestic14.36%13.66%0.9730.00%15.00%
8WisdomTree International Qual Div Gr ETF (IQDG)International13.42%14.60%0.8460.00%15.00%
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
Income5.00%15.00%
Mixed Asset20.00%75.00%
Domestic5.00%30.00%
International5.00%30.00%

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerRCTIXCOTZXVTMFXFFFDXFAYZXDIVOCDCIQDG
River Canyon Total Return Bond InstlRCTIX1.000.340.590.610.500.450.160.49
Columbia Thermostat InstCOTZX0.341.000.730.720.770.680.600.66
Vanguard Tax-Managed Balanced AdmVTMFX0.590.731.000.960.930.900.730.89
Fidelity Freedom 2020FFFDX0.610.720.961.000.930.880.710.93
Fidelity Advisor Multi-Asset Income IFAYZX0.500.770.930.931.000.880.780.84
Amplify CWP Enhanced Dividend Income ETFDIVO0.450.680.900.880.881.000.840.83
VictoryShares US EQ Inc Enh Vol Wtd ETFCDC0.160.600.730.710.780.841.000.73
WisdomTree International Qual Div Gr ETFIQDG0.490.660.890.930.840.830.731.00
Based on monthly returns from Jan 2017 to Dec 2021
Efficient Frontier Assets
#RCTIXCOTZXVTMFXFFFDXFAYZXDIVOCDCIQDGExpected Return *Standard Deviation *Sharpe Ratio *
115.00%20.00%19.95%17.88%17.09%0.09%4.99%5.00%10.38%7.10%1.311
215.00%20.00%19.92%17.41%17.44%0.17%5.06%5.01%10.39%7.10%1.312
315.00%20.00%19.89%16.99%17.73%0.25%5.13%5.01%10.40%7.11%1.313
415.00%20.00%19.83%16.66%17.95%0.37%5.17%5.02%10.41%7.12%1.313
515.00%20.00%19.79%16.35%18.12%0.48%5.22%5.04%10.43%7.12%1.313
614.99%20.00%19.77%16.07%18.23%0.60%5.28%5.06%10.44%7.13%1.314
714.99%20.00%19.74%15.83%18.28%0.73%5.35%5.08%10.45%7.14%1.314
814.99%20.00%19.73%15.58%18.31%0.85%5.43%5.11%10.46%7.15%1.314
914.98%20.00%19.71%15.35%18.33%0.97%5.52%5.14%10.47%7.15%1.314
1014.98%20.00%19.70%15.12%18.31%1.09%5.62%5.17%10.48%7.16%1.314
1114.98%19.99%19.69%14.91%18.29%1.21%5.73%5.20%10.49%7.17%1.314
1214.97%19.99%19.68%14.69%18.25%1.32%5.84%5.24%10.51%7.18%1.314
1314.97%19.99%19.66%14.47%18.22%1.44%5.96%5.29%10.52%7.19%1.314
1414.97%19.98%19.65%14.25%18.18%1.55%6.09%5.33%10.53%7.20%1.313
1514.96%19.98%19.64%14.04%18.13%1.66%6.21%5.37%10.54%7.21%1.313
1614.96%19.97%19.63%13.83%18.09%1.77%6.35%5.41%10.55%7.22%1.313
1714.95%19.96%19.61%13.63%18.04%1.88%6.48%5.46%10.57%7.23%1.313
1814.95%19.96%19.59%13.40%18.00%1.99%6.61%5.51%10.58%7.24%1.313
1914.94%19.95%19.57%13.18%17.96%2.09%6.74%5.56%10.59%7.25%1.313
2014.93%19.95%19.56%12.95%17.92%2.20%6.87%5.61%10.60%7.26%1.312
2114.92%19.94%19.56%12.73%17.88%2.32%6.99%5.67%10.62%7.28%1.312
2214.91%19.93%19.55%12.51%17.84%2.44%7.10%5.72%10.63%7.29%1.312
2314.90%19.92%19.54%12.31%17.79%2.56%7.22%5.77%10.64%7.30%1.311
2414.89%19.91%19.53%12.11%17.73%2.68%7.33%5.83%10.66%7.31%1.311
2514.87%19.90%19.53%11.89%17.69%2.81%7.43%5.89%10.67%7.32%1.311
2614.85%19.89%19.52%11.68%17.64%2.94%7.53%5.95%10.68%7.33%1.310
2714.84%19.88%19.51%11.48%17.59%3.07%7.62%6.01%10.69%7.35%1.310
2814.82%19.88%19.47%11.30%17.54%3.23%7.70%6.06%10.71%7.36%1.309
2914.80%19.87%19.46%11.11%17.48%3.39%7.77%6.12%10.72%7.37%1.309
3014.78%19.86%19.47%10.90%17.42%3.55%7.85%6.17%10.73%7.38%1.309
3114.76%19.86%19.48%10.68%17.36%3.71%7.92%6.22%10.75%7.40%1.308
3214.73%19.85%19.49%10.48%17.30%3.88%7.98%6.28%10.76%7.41%1.308
3314.71%19.84%19.47%10.30%17.25%4.06%8.05%6.33%10.77%7.42%1.307
3414.68%19.84%19.44%10.12%17.19%4.24%8.10%6.38%10.79%7.44%1.306
3514.65%19.83%19.42%9.93%17.15%4.42%8.15%6.44%10.80%7.45%1.306
3614.62%19.82%19.40%9.75%17.10%4.61%8.20%6.49%10.81%7.46%1.305
3714.59%19.81%19.37%9.57%17.06%4.82%8.24%6.54%10.83%7.48%1.305
3814.56%19.80%19.34%9.41%17.01%5.02%8.28%6.58%10.84%7.49%1.304
3914.52%19.79%19.31%9.26%16.95%5.22%8.31%6.63%10.85%7.51%1.303
4014.49%19.78%19.28%9.10%16.92%5.42%8.34%6.68%10.87%7.52%1.303
4114.45%19.77%19.25%8.93%16.88%5.63%8.37%6.73%10.88%7.54%1.302
4214.40%19.76%19.21%8.77%16.85%5.83%8.39%6.77%10.90%7.55%1.301
4314.36%19.75%19.18%8.63%16.81%6.04%8.42%6.82%10.91%7.57%1.300
4414.31%19.73%19.14%8.49%16.78%6.24%8.44%6.87%10.92%7.58%1.300
4514.27%19.71%19.10%8.35%16.75%6.46%8.46%6.91%10.94%7.60%1.299
4614.22%19.70%19.05%8.22%16.72%6.69%8.46%6.96%10.95%7.61%1.298
4714.17%19.68%19.00%8.06%16.71%6.90%8.47%7.01%10.97%7.63%1.297
4814.11%19.65%18.96%7.92%16.69%7.12%8.49%7.06%10.98%7.64%1.296
4914.06%19.63%18.91%7.78%16.67%7.33%8.51%7.10%10.99%7.66%1.295
5014.00%19.61%18.87%7.64%16.66%7.54%8.53%7.15%11.01%7.68%1.295
5113.94%19.59%18.81%7.51%16.64%7.75%8.56%7.20%11.02%7.69%1.294
5213.87%19.56%18.72%7.42%16.63%7.97%8.58%7.25%11.04%7.71%1.293
5313.80%19.54%18.64%7.35%16.60%8.18%8.59%7.30%11.05%7.73%1.292
5413.72%19.52%18.57%7.26%16.58%8.40%8.61%7.34%11.07%7.75%1.290
5513.63%19.49%18.50%7.18%16.56%8.62%8.63%7.39%11.08%7.77%1.289
5613.55%19.46%18.44%7.10%16.53%8.83%8.64%7.44%11.10%7.78%1.288
5713.46%19.44%18.38%7.03%16.50%9.06%8.65%7.49%11.11%7.80%1.287
5813.37%19.41%18.31%6.96%16.47%9.29%8.65%7.54%11.13%7.82%1.286
5913.28%19.38%18.26%6.88%16.41%9.52%8.66%7.60%11.14%7.84%1.285
6013.19%19.36%18.20%6.81%16.35%9.75%8.69%7.65%11.16%7.86%1.283
6113.09%19.33%18.16%6.73%16.29%9.97%8.72%7.71%11.18%7.88%1.282
6212.99%19.31%18.11%6.65%16.25%10.18%8.75%7.77%11.19%7.90%1.281
6312.88%19.28%18.07%6.57%16.20%10.40%8.78%7.82%11.21%7.92%1.280
6412.78%19.25%18.02%6.50%16.15%10.60%8.81%7.89%11.22%7.94%1.279
6512.67%19.22%17.98%6.42%16.10%10.81%8.85%7.95%11.24%7.96%1.277
6612.55%19.19%17.93%6.36%16.06%11.01%8.89%8.01%11.26%7.98%1.276
6712.44%19.15%17.87%6.30%16.03%11.21%8.92%8.08%11.27%8.01%1.275
6812.31%19.11%17.80%6.25%16.00%11.41%8.97%8.14%11.29%8.03%1.273
6912.19%19.07%17.73%6.20%15.97%11.61%9.02%8.20%11.31%8.05%1.272
7012.05%19.04%17.66%6.16%15.97%11.80%9.07%8.26%11.33%8.07%1.270
7111.90%18.99%17.61%6.12%15.97%11.99%9.11%8.32%11.34%8.10%1.269
7211.74%18.95%17.56%6.08%15.97%12.19%9.15%8.37%11.36%8.12%1.268
7311.57%18.90%17.52%6.05%15.97%12.37%9.20%8.42%11.38%8.14%1.266
7411.40%18.84%17.45%6.02%16.01%12.55%9.25%8.48%11.40%8.17%1.265
7511.22%18.77%17.41%5.98%16.05%12.72%9.30%8.54%11.42%8.19%1.263
7611.04%18.70%17.37%5.94%16.09%12.92%9.33%8.60%11.44%8.22%1.261
7710.86%18.63%17.34%5.90%16.12%13.11%9.37%8.67%11.46%8.25%1.260
7810.68%18.55%17.30%5.88%16.13%13.30%9.41%8.74%11.48%8.27%1.258
7910.49%18.46%17.29%5.85%16.16%13.49%9.44%8.82%11.49%8.30%1.256
8010.30%18.36%17.29%5.81%16.19%13.66%9.49%8.90%11.51%8.33%1.254
8110.10%18.27%17.28%5.76%16.24%13.82%9.53%8.99%11.53%8.36%1.252
829.89%18.17%17.28%5.67%16.34%13.98%9.57%9.09%11.56%8.39%1.250
839.70%18.04%17.25%5.68%16.38%14.15%9.60%9.20%11.57%8.42%1.248
849.51%17.90%17.23%5.67%16.42%14.30%9.63%9.34%11.59%8.45%1.246
859.32%17.77%17.19%5.64%16.45%14.45%9.68%9.49%11.62%8.48%1.244
869.14%17.63%17.15%5.62%16.48%14.60%9.74%9.65%11.64%8.51%1.241
878.96%17.48%17.14%5.59%16.49%14.74%9.80%9.81%11.66%8.54%1.239
888.76%17.31%17.11%5.59%16.52%14.87%9.86%9.98%11.68%8.58%1.236
898.55%17.13%17.07%5.60%16.57%15.00%9.92%10.15%11.70%8.61%1.234
908.35%16.93%17.01%5.62%16.62%15.14%9.99%10.34%11.72%8.65%1.231
918.15%16.69%16.93%5.69%16.68%15.27%10.05%10.53%11.74%8.69%1.228
927.94%16.43%16.80%5.77%16.79%15.39%10.13%10.75%11.77%8.73%1.225
937.73%16.13%16.74%5.83%16.87%15.54%10.20%10.97%11.79%8.78%1.221
947.50%15.77%16.63%6.04%16.92%15.67%10.28%11.18%11.81%8.82%1.217
957.28%15.33%16.59%6.19%17.05%15.79%10.37%11.40%11.83%8.87%1.213
967.05%14.82%16.50%6.44%17.19%15.92%10.43%11.66%11.86%8.93%1.208
976.80%14.22%16.45%6.75%17.26%16.08%10.50%11.93%11.88%8.99%1.203
986.54%13.55%16.48%7.00%17.37%16.26%10.55%12.24%11.91%9.05%1.197
996.24%12.79%16.53%7.27%17.53%16.48%10.62%12.54%11.94%9.13%1.191
1005.80%11.38%16.51%7.95%17.94%16.90%10.62%12.90%11.99%9.25%1.181
*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 for the configured portfolios
YearInflationMaximum Return at 9.00% VolatilityEqual WeightedVanguard LifeStrategy Moderate Gr InvRiver Canyon Total Return Bond Instl (RCTIX)Columbia Thermostat Inst (COTZX)Vanguard Tax-Managed Balanced Adm (VTMFX)Fidelity Freedom 2020 (FFFDX)Fidelity Advisor Multi-Asset Income I (FAYZX)Amplify CWP Enhanced Dividend Income ETF (DIVO)VictoryShares US EQ Inc Enh Vol Wtd ETF (CDC)WisdomTree International Qual Div Gr ETF (IQDG)
ReturnBalanceReturnBalanceReturnBalance
20172.11%14.21%$11,42114.51%$11,45115.04%$11,5049.76%5.52%12.64%15.64%6.24%21.40%15.78%30.63%
20181.91%-4.12%$10,951-4.22%$10,968-4.91%$10,9401.82%0.12%-1.43%-5.20%-3.01%-3.18%-5.96%-16.79%
20192.29%20.77%$13,22620.08%$13,17019.37%$13,05811.71%15.14%18.01%17.98%23.14%24.90%19.64%30.03%
20201.36%16.02%$15,34515.30%$15,18613.59%$14,8346.41%29.63%13.30%13.76%16.56%11.95%12.61%16.54%
20217.04%15.43%$17,71314.61%$17,40510.08%$16,3294.26%6.42%13.10%8.91%17.70%22.40%33.04%12.28%
Monthly returns for the configured portfolios
YearMonthMaximum Return at 9.00% VolatilityEqual WeightedVanguard LifeStrategy Moderate Gr InvRiver Canyon Total Return Bond Instl (RCTIX)Columbia Thermostat Inst (COTZX)Vanguard Tax-Managed Balanced Adm (VTMFX)Fidelity Freedom 2020 (FFFDX)Fidelity Advisor Multi-Asset Income I (FAYZX)Amplify CWP Enhanced Dividend Income ETF (DIVO)VictoryShares US EQ Inc Enh Vol Wtd ETF (CDC)WisdomTree International Qual Div Gr ETF (IQDG)
ReturnBalanceReturnBalanceReturnBalance
201711.39%$10,1391.39%$10,1391.61%$10,1610.30%0.56%1.26%1.93%0.75%1.91%0.54%3.89%
201722.41%$10,3842.45%$10,3882.00%$10,3642.82%0.76%2.13%1.96%1.79%3.92%3.73%2.49%
201730.46%$10,4320.56%$10,4460.68%$10,4350.23%0.21%0.16%0.77%-0.24%-0.41%0.01%3.73%
201741.23%$10,5601.29%$10,5811.19%$10,5590.88%0.68%0.91%1.34%0.38%0.99%0.45%4.68%
201751.25%$10,6931.40%$10,7291.29%$10,6961.66%0.88%1.35%1.48%-0.14%0.44%1.07%4.47%
20176-0.14%$10,678-0.10%$10,7180.44%$10,742-0.05%0.09%0.17%0.31%-0.15%-0.67%0.44%-0.93%
201771.23%$10,8091.22%$10,8491.63%$10,9180.10%0.75%1.30%1.88%0.39%2.14%0.99%2.19%
201780.47%$10,8600.50%$10,9030.54%$10,9770.68%0.41%0.61%0.49%0.17%0.19%0.08%1.38%
201791.04%$10,9731.11%$11,0241.14%$11,1020.88%0.27%0.83%1.10%0.22%1.39%1.93%2.22%
2017101.45%$11,1321.35%$11,1731.32%$11,2480.58%0.34%1.17%1.21%1.07%3.71%1.38%1.37%
2017111.22%$11,2671.27%$11,3151.26%$11,3900.96%0.13%1.09%1.08%0.69%1.85%4.01%0.36%
2017121.36%$11,4211.20%$11,4511.00%$11,5040.35%0.30%1.02%1.07%1.13%4.24%0.21%1.31%
201812.41%$11,6972.40%$11,7262.87%$11,835-0.10%0.00%2.08%3.26%1.59%3.72%2.97%5.64%
20182-2.72%$11,378-2.71%$11,408-2.79%$11,504-0.48%-0.62%-1.88%-2.86%-3.32%-2.46%-4.70%-5.34%
20183-0.88%$11,278-0.70%$11,329-0.59%$11,4370.05%0.42%-0.89%-0.66%-1.15%-3.84%0.03%0.49%
201840.18%$11,2980.22%$11,3540.11%$11,4490.98%-0.49%0.00%0.12%0.01%1.15%0.69%-0.68%
201850.91%$11,4010.79%$11,4440.74%$11,5340.19%1.05%1.68%0.58%1.79%0.20%0.71%0.13%
201860.39%$11,4460.34%$11,483-0.18%$11,5130.49%0.23%0.41%-0.12%0.31%1.64%1.57%-1.80%
201871.84%$11,6561.82%$11,6911.82%$11,7231.46%0.56%1.75%1.23%0.76%3.58%2.67%2.51%
201880.89%$11,7600.78%$11,7830.84%$11,8210.48%0.90%1.69%0.85%1.67%1.09%1.20%-1.63%
20189-0.05%$11,754-0.15%$11,765-0.04%$11,817-0.06%-0.48%-0.07%-0.18%-0.23%2.30%-0.96%-1.56%
201810-3.71%$11,318-3.74%$11,324-4.89%$11,239-0.77%-1.73%-3.72%-4.72%-1.97%-4.21%-4.50%-8.32%
2018111.27%$11,4621.17%$11,4561.26%$11,380-0.48%0.70%1.57%0.76%1.04%2.16%3.98%-0.41%
201812-4.46%$10,951-4.26%$10,968-3.87%$10,9400.06%-0.39%-3.82%-3.31%-3.37%-7.85%-8.99%-6.45%
201914.99%$11,4974.99%$11,5155.28%$11,5185.20%3.44%4.38%4.98%5.18%5.63%2.15%8.93%
201922.04%$11,7321.91%$11,7351.69%$11,712-0.09%0.92%1.91%1.43%1.69%3.08%3.13%3.22%
201931.32%$11,8871.28%$11,8851.47%$11,8840.77%1.54%1.53%1.34%0.83%1.68%0.43%2.09%
201942.21%$12,1492.15%$12,1412.12%$12,1351.30%0.62%2.07%1.77%2.92%2.34%3.23%2.96%
20195-3.05%$11,779-2.92%$11,786-3.05%$11,7651.10%-0.82%-2.43%-2.46%-2.66%-3.70%-6.44%-5.98%
201964.59%$12,3194.36%$12,3004.39%$12,2810.61%3.59%3.49%3.73%4.55%6.34%6.74%5.85%
201970.62%$12,3950.48%$12,3580.33%$12,321-0.10%0.74%1.16%0.13%1.33%0.93%1.02%-1.41%
20198-0.10%$12,383-0.11%$12,345-0.25%$12,2901.68%0.94%-0.24%-0.31%0.54%0.08%-2.50%-1.06%
201991.13%$12,5231.22%$12,4951.05%$12,4190.56%0.27%0.41%0.69%0.26%1.43%4.48%1.63%
2019101.33%$12,6891.34%$12,6621.54%$12,6100.42%0.99%1.12%1.76%1.78%0.07%0.68%3.92%
2019112.07%$12,9521.95%$12,9091.59%$12,8110.18%1.31%1.86%1.60%1.83%3.03%2.81%2.97%
2019122.12%$13,2262.02%$13,1701.93%$13,058-0.39%0.73%1.57%2.19%2.97%1.91%2.98%4.20%
20201-0.73%$13,129-0.75%$13,0710.03%$13,0630.54%1.21%0.91%-0.56%-1.13%-1.72%-3.28%-1.99%
20202-4.75%$12,505-4.50%$12,483-4.02%$12,5381.76%0.40%-3.36%-3.16%-3.43%-8.78%-11.20%-8.24%
20203-6.47%$11,696-6.52%$11,669-9.27%$11,375-7.59%0.07%-7.96%-8.97%-6.73%-9.50%-1.04%-10.43%
202047.98%$12,6297.52%$12,5467.32%$12,2081.30%8.66%5.63%6.19%6.83%12.76%11.04%7.74%
202053.55%$13,0783.48%$12,9833.26%$12,6062.34%2.80%4.18%3.23%3.35%2.70%2.08%7.19%
202061.18%$13,2321.30%$13,1512.16%$12,8791.59%1.43%1.45%2.51%0.57%0.51%-0.17%2.48%
202073.31%$13,6703.04%$13,5513.58%$13,3390.08%3.36%3.65%3.55%5.23%2.76%2.44%3.22%
202083.85%$14,1963.65%$14,0463.21%$13,7683.12%2.80%3.47%2.99%3.65%6.98%1.98%4.24%
20209-1.21%$14,024-1.08%$13,894-1.62%$13,5450.25%-1.28%-1.81%-1.33%-2.30%-0.87%-2.21%0.93%
202010-1.68%$13,789-1.46%$13,691-1.41%$13,3530.38%-1.18%-1.21%-0.98%-1.56%-3.44%0.49%-4.19%
2020117.85%$14,8727.57%$14,7287.76%$14,3892.22%6.09%6.14%7.31%8.50%9.58%10.23%10.50%
2020123.18%$15,3453.11%$15,1863.09%$14,8340.69%2.32%2.40%3.28%3.56%2.81%3.48%6.33%
20211-0.12%$15,327-0.07%$15,175-0.44%$14,7680.74%-0.39%-0.16%0.00%0.94%-1.34%-0.40%0.05%
202122.15%$15,6572.06%$15,4881.08%$14,927-0.14%1.23%0.71%1.40%3.49%2.27%6.42%1.12%
202133.25%$16,1663.19%$15,9821.29%$15,1202.15%1.32%2.05%0.75%2.44%5.83%9.74%1.26%
202143.07%$16,6632.92%$16,4492.73%$15,5320.41%2.72%3.06%2.51%3.35%2.80%4.02%4.48%
202151.50%$16,9131.48%$16,6921.03%$15,6910.23%0.42%0.40%1.34%1.78%1.98%2.45%3.25%
202160.29%$16,9630.19%$16,7241.07%$15,8590.02%0.64%1.30%0.75%0.42%0.58%-2.16%-0.03%
202171.31%$17,1841.21%$16,9260.83%$15,9910.10%0.85%1.38%0.34%0.34%2.30%1.38%2.98%
202180.86%$17,3310.86%$17,0721.33%$16,2030.29%0.16%1.34%1.14%1.00%0.50%2.30%0.18%
20219-2.74%$16,856-2.56%$16,635-2.82%$15,7450.77%-1.26%-2.57%-2.14%-1.83%-4.08%-3.20%-6.20%
2021103.33%$17,4172.98%$17,1302.94%$16,208-0.49%0.37%3.18%2.53%4.00%6.78%3.86%3.57%
202111-1.36%$17,180-1.35%$16,899-1.37%$15,986-0.02%-0.05%-0.22%-1.57%-1.36%-2.40%-1.96%-3.22%
2021123.10%$17,7132.99%$17,4052.14%$16,3290.16%0.28%2.03%1.63%2.01%5.77%7.30%4.76%
Portfolio return and risk metrics
MetricMaximum Return at 9.00% VolatilityEqual WeightedVanguard LifeStrategy Moderate Gr Inv
Arithmetic Mean (monthly)0.99%0.96%0.86%
Arithmetic Mean (annualized)12.55%12.13%10.77%
Geometric Mean (monthly)0.96%0.93%0.82%
Geometric Mean (annualized)12.11%11.72%10.30%
Standard Deviation (monthly)2.59%2.51%2.67%
Standard Deviation (annualized)8.99%8.68%9.23%
Downside Deviation (monthly)1.47%1.44%1.70%
Maximum Drawdown-11.56%-11.40%-12.92%
Stock Market Correlation0.980.970.98
Beta(*)0.950.921.00
Alpha (annualized)2.15%2.07%0.00%
R294.80%95.45%100.00%
Sharpe Ratio1.191.190.99
Sortino Ratio2.062.031.52
Treynor Ratio (%)11.4111.369.20
Calmar Ratio1.501.461.11
Active Return1.81%1.42%N/A
Tracking Error2.10%2.00%N/A
Information Ratio0.860.71N/A
Skewness-0.21-0.28-0.77
Excess Kurtosis1.661.743.59
Historical Value-at-Risk (5%)-3.75%-3.77%-3.88%
Analytical Value-at-Risk (5%)-3.24%-3.13%-3.53%
Conditional Value-at-Risk (5%)-5.23%-5.09%-6.06%
Upside Capture Ratio (%)105.28101.61100.00
Downside Capture Ratio (%)89.8086.83100.00
Safe Withdrawal Rate24.97%24.86%24.46%
Perpetual Withdrawal Rate8.20%7.88%6.69%
Positive Periods44 out of 60 (73.33%)44 out of 60 (73.33%)45 out of 60 (75.00%)
Gain/Loss Ratio1.001.000.80
* Vanguard LifeStrategy Moderate Gr Inv 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 PeriodStartEndMaximum Return at 9.00% VolatilityEqual WeightedVanguard LifeStrategy Moderate Gr Inv
COVID-19 StartJan 2020Mar 2020-11.56%-11.40%-12.92%

Drawdowns for Maximum Return at 9.00% Volatility

Drawdowns for Maximum Return at 9.00% Volatility
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJun 20203 months6 months-11.56%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-6.88%
3Feb 2018Mar 20182 monthsAug 20185 months7 months-3.58%
4May 2019May 20191 monthJun 20191 month2 months-3.05%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-2.87%
6Sep 2021Sep 20211 monthOct 20211 month2 months-2.74%
7Nov 2021Nov 20211 monthDec 20211 month2 months-1.36%
8Jun 2017Jun 20171 monthJul 20171 month2 months-0.14%
9Jan 2021Jan 20211 monthFeb 20211 month2 months-0.12%
10Aug 2019Aug 20191 monthSep 20191 month2 months-0.10%

Drawdowns for Equal Weighted

Drawdowns for Equal Weighted
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 monthsJul 20204 months7 months-11.40%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-6.91%
3Feb 2018Mar 20182 monthsAug 20185 months7 months-3.39%
4May 2019May 20191 monthJun 20191 month2 months-2.92%
5Sep 2021Sep 20211 monthOct 20211 month2 months-2.56%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-2.52%
7Nov 2021Nov 20211 monthDec 20211 month2 months-1.35%
8Aug 2019Aug 20191 monthSep 20191 month2 months-0.11%
9Jun 2017Jun 20171 monthJul 20171 month2 months-0.10%
10Jan 2021Jan 20211 monthFeb 20211 month2 months-0.07%

Drawdowns for Vanguard LifeStrategy Moderate Gr Inv

Drawdowns for Vanguard LifeStrategy Moderate Gr Inv
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-12.92%
2Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-7.57%
3May 2019May 20191 monthJun 20191 month2 months-3.05%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-3.02%
5Sep 2021Sep 20211 monthOct 20211 month2 months-2.82%
6Nov 2021Nov 20211 monthDec 20211 month2 months-1.37%
7Jan 2021Jan 20211 monthFeb 20211 month2 months-0.44%
8Aug 2019Aug 20191 monthSep 20191 month2 months-0.25%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
RCTIXRiver Canyon Total Return Bond Instl6.73%5.09%11.71%1.82%-7.59%1.101.590.52
COTZXColumbia Thermostat Inst10.91%5.75%29.63%0.12%-2.44%1.636.320.73
VTMFXVanguard Tax-Managed Balanced Adm10.92%7.98%18.01%-1.43%-11.05%1.201.880.98
FFFDXFidelity Freedom 20209.89%8.58%17.98%-5.20%-12.34%1.011.560.96
FAYZXFidelity Advisor Multi-Asset Income I11.72%8.83%23.14%-3.01%-10.94%1.172.200.94
DIVOAmplify CWP Enhanced Dividend Income ETF15.00%13.53%24.90%-3.18%-18.86%1.021.700.93
CDCVictoryShares US EQ Inc Enh Vol Wtd ETF14.31%13.66%33.04%-5.96%-15.01%0.971.600.80
IQDGWisdomTree International Qual Div Gr ETF13.08%14.60%30.63%-16.79%-21.23%0.841.300.88

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 yearNetGross
River Canyon Total Return Bond Instl-0.35%4.26%4.26%7.42%6.73%0.67%0.89%
Columbia Thermostat Inst0.60%6.42%6.42%16.68%10.91%0.61%0.65%
Vanguard Tax-Managed Balanced Adm5.05%13.10%13.10%14.78%10.92%0.09%0.09%
Fidelity Freedom 20202.57%8.91%8.91%13.49%9.89%0.58%0.58%
Fidelity Advisor Multi-Asset Income I4.65%17.70%17.70%19.10%11.72%0.80%0.80%
Amplify CWP Enhanced Dividend Income ETF10.24%22.40%22.40%19.61%15.00%0.55%0.55%
VictoryShares US EQ Inc Enh Vol Wtd ETF9.26%33.04%33.04%21.47%14.31%0.35%0.39%
WisdomTree International Qual Div Gr ETF5.01%12.28%12.28%19.38%13.08%0.42%0.42%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameRCTIXCOTZXVTMFXFFFDXFAYZXDIVOCDCIQDGMaximum Return at 9.00% VolatilityEqual WeightedVanguard LifeStrategy Moderate Gr Inv
RCTIXRiver Canyon Total Return Bond Instl1.000.340.590.610.500.450.160.490.510.530.59
COTZXColumbia Thermostat Inst0.341.000.730.720.770.680.600.660.770.770.74
VTMFXVanguard Tax-Managed Balanced Adm0.590.731.000.960.930.900.730.890.960.960.98
FFFDXFidelity Freedom 20200.610.720.961.000.930.880.710.930.960.960.99
FAYZXFidelity Advisor Multi-Asset Income I0.500.770.930.931.000.880.780.840.960.950.93
DIVOAmplify CWP Enhanced Dividend Income ETF0.450.680.900.880.881.000.840.830.950.950.91
CDCVictoryShares US EQ Inc Enh Vol Wtd ETF0.160.600.730.710.780.841.000.730.850.850.75
IQDGWisdomTree International Qual Div Gr ETF0.490.660.890.930.840.830.731.000.920.930.93

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 9.00% VolatilityEqual Weighted
RCTIXRiver Canyon Total Return Bond Instl1.97%3.90%
COTZXColumbia Thermostat Inst7.05%6.35%
VTMFXVanguard Tax-Managed Balanced Adm14.05%11.06%
FFFDXFidelity Freedom 20206.17%11.90%
FAYZXFidelity Advisor Multi-Asset Income I16.23%12.12%
DIVOAmplify CWP Enhanced Dividend Income ETF23.10%18.48%
CDCVictoryShares US EQ Inc Enh Vol Wtd ETF13.55%16.64%
IQDGWisdomTree International Qual Div Gr ETF17.88%19.56%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns