Portfolio Optimization

Portfolio Optimization Overview

This portfolio optimizer tool supports the following portfolio optimization strategies:

Mean Variance Optimization – Find the optimal risk adjusted portfolio that lies on the efficient frontier
Conditional Value-at-Risk – Optimize the portfolio to minimize the expected tail loss
Risk Parity – Find the portfolio that equalizes the risk contribution of portfolio assets
Tracking Error – Find the portfolio that minimizes the tracking error against the selected benchmark
Information Ratio – Find the portfolio that maximizes the information ratio against the selected benchmark
Kelly Criterion – Finds the portfolio with the maximum expected geometric growth rate
Sortino Ratio – Find the portfolio that maximizes the Sortino ratio for the given minimum acceptable return
Omega Ratio – Find the portfolio that maximizes the Omega ratio for the given minimum acceptable return
Maximum Drawdown – Find the portfolio with the minimum worst case drawdown with optional minimum acceptable return

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

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

Portfolio Optimization Configuration

Portfolio Type

Time Period

Start Year

First Month

End Year

Last Month

Optimization Goal

Targeted Annual Return

Targeted Annual Volatility

Targeted Tracking Error

Targeted Monthly CVaR

Robust Optimization

Use Historical Returns

Use Historical Volatility

Use Historical Correlations

Correlation Matrix

Asset Constraints

Group Constraints

Compared Allocation

Benchmark

Benchmark Ticker

Portfolio Assets

Allocation

Expected Return

Volatility

Min. Weight

Max. Weight

Group

Total

Asset Groups

Min. Weight

Max. Weight

Portfolio Optimization Results (Jan 2020 - May 2023) Save

Note: The time period was constrained by the available data for Standpoint Multi-Asset Investor (REMIX) [Jan 2020 - May 2023]. You can extend the available time period by using Standpoint Multi-Asset Institutional (BLNDX), which is the oldest share class of the fund.

Portfolio optimization results with the goal to maximize return subject to 12.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 5.50% to 9.07%. Refer to the efficient frontier section for additional details.

Maximum Return at 12.00% Volatility

Ticker	Name	Allocation
GPANX	Grant Park Multi Alternative Strats N	6.60%
REMIX	Standpoint Multi-Asset Investor	23.89%
PQTAX	PIMCO TRENDS Managed Futures Strat A	18.38%
VGYAX	Vanguard Global Wellesley Income Admiral	0.20%
VWIAX	Vanguard Wellesley Income Admiral	0.07%
VGWAX	Vanguard Global Wellington Admiral	6.93%
COTZX	Columbia Thermostat Inst	18.30%
VTMFX	Vanguard Tax-Managed Balanced Adm	5.87%
SPY	SPDR S&P 500 ETF Trust	19.76%
Save portfolio »

Maximum Sharpe Ratio Weights

Ticker	Name	Allocation
GPANX	Grant Park Multi Alternative Strats N	14.11%
REMIX	Standpoint Multi-Asset Investor	20.74%
PQTAX	PIMCO TRENDS Managed Futures Strat A	24.20%
VGYAX	Vanguard Global Wellesley Income Admiral	2.17%
VWIAX	Vanguard Wellesley Income Admiral	1.77%
VGWAX	Vanguard Global Wellington Admiral	2.08%
COTZX	Columbia Thermostat Inst	22.55%
VTMFX	Vanguard Tax-Managed Balanced Adm	8.06%
SPY	SPDR S&P 500 ETF Trust	4.33%
Save portfolio »

Portfolio Performance Summary

Performance Summary

Portfolio performance statistics
Metric	Maximum Return at 12.00% Volatility	Maximum Sharpe Ratio Weights	Vanguard Balanced Index Adm
Start Balance	$10,000	$10,000	$10,000
End Balance	$13,454	$13,068	$11,745
Annualized Return (CAGR)	9.07%	8.15%	4.82%
Expected Return	9.08%	8.06%	5.65%
Standard Deviation	8.64%	6.42%	13.84%
Best Year	16.78%	15.75%	16.40%
Worst Year	-4.35%	-1.99%	-16.90%
Maximum Drawdown	-6.48%	-3.60%	-20.78%
Sharpe Ratio (ex-ante)	0.91	1.06	0.32
Sharpe Ratio (ex-post)	0.89	1.04	0.32
Sortino Ratio	1.72	2.12	0.46
Active Return	4.25%	3.33%	N/A
Tracking Error	7.54%	10.34%	N/A
Information Ratio	0.56	0.32	N/A
Stock Market Correlation	0.90	0.74	0.99
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

Annual Returns

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return		Annualized Standard Deviation
Name	3 Month	Year To Date	1 year	3 year	Full	3 year
Maximum Return at 12.00% Volatility	1.83%	3.63%	-0.27%	9.35%	9.07%	8.30%
Maximum Sharpe Ratio Weights	0.97%	2.21%	-1.47%	7.61%	8.15%	6.43%
Vanguard Balanced Index Adm	3.33%	6.30%	0.47%	5.75%	4.82%	12.58%
Trailing return and volatility are as of last full calendar month ending May 2023

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.
Monte Carlo method was used to resample the efficient frontier inputs to mitigate the impact of input estimation errors.
The annual results for 2023 are based on full calendar months from January to May.
The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

Efficient Frontier Assets
#	Asset	Expected Return	Standard Deviation	Sharpe Ratio	Min. Weight	Max. Weight
1	Grant Park Multi Alternative Strats N (GPANX)	3.51%	5.46%	0.415	0.00%	25.00%
2	Standpoint Multi-Asset Investor (REMIX)	11.90%	9.92%	1.074	0.00%	25.00%
3	PIMCO TRENDS Managed Futures Strat A (PQTAX)	9.79%	11.75%	0.727	0.00%	25.00%
4	Vanguard Global Wellesley Income Admiral (VGYAX)	2.07%	10.26%	0.081	0.00%	25.00%
5	Vanguard Wellesley Income Admiral (VWIAX)	2.53%	9.85%	0.131	0.00%	25.00%
6	Vanguard Global Wellington Admiral (VGWAX)	5.30%	13.78%	0.294	0.00%	25.00%
7	Columbia Thermostat Inst (COTZX)	7.10%	9.49%	0.617	0.00%	25.00%
8	Vanguard Tax-Managed Balanced Adm (VTMFX)	5.46%	11.69%	0.361	0.00%	25.00%
9	SPDR S&P 500 ETF Trust (SPY)	11.19%	20.13%	0.494	0.00%	25.00%
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

Efficient Frontier Asset Correlations
Name	Ticker	GPANX	REMIX	PQTAX	VGYAX	VWIAX	VGWAX	COTZX	VTMFX	SPY
Grant Park Multi Alternative Strats N	GPANX	1.00	0.75	0.31	0.41	0.42	0.45	0.44	0.43	0.47
Standpoint Multi-Asset Investor	REMIX	0.75	1.00	0.32	0.45	0.48	0.56	0.47	0.50	0.60
PIMCO TRENDS Managed Futures Strat A	PQTAX	0.31	0.32	1.00	-0.49	-0.49	-0.42	-0.43	-0.47	-0.37
Vanguard Global Wellesley Income Admiral	VGYAX	0.41	0.45	-0.49	1.00	0.98	0.97	0.81	0.93	0.89
Vanguard Wellesley Income Admiral	VWIAX	0.42	0.48	-0.49	0.98	1.00	0.96	0.86	0.94	0.91
Vanguard Global Wellington Admiral	VGWAX	0.45	0.56	-0.42	0.97	0.96	1.00	0.78	0.93	0.93
Columbia Thermostat Inst	COTZX	0.44	0.47	-0.43	0.81	0.86	0.78	1.00	0.85	0.81
Vanguard Tax-Managed Balanced Adm	VTMFX	0.43	0.50	-0.47	0.93	0.94	0.93	0.85	1.00	0.97
SPDR S&P 500 ETF Trust	SPY	0.47	0.60	-0.37	0.89	0.91	0.93	0.81	0.97	1.00
Based on monthly returns from Jan 2020 to May 2023

Note: You can hover over any of the data points on the chart for more information.

Efficient Frontiers

Efficient Frontier Portfolios

Efficient Frontier Assets
#	GPANX	REMIX	PQTAX	VGYAX	VWIAX	VGWAX	COTZX	VTMFX	SPY	Expected Return *	Standard Deviation *	Sharpe Ratio *
1	25.00%	0.66%	24.98%	15.44%	13.83%	0.00%	20.01%	0.09%	0.00%	5.50%	5.23%	0.813
2	24.98%	0.87%	24.97%	14.84%	13.59%	0.00%	20.53%	0.23%	0.00%	5.54%	5.23%	0.822
3	24.96%	1.11%	24.96%	14.44%	13.23%	0.00%	20.88%	0.42%	0.00%	5.59%	5.24%	0.830
4	24.93%	1.36%	24.95%	14.01%	12.91%	0.00%	21.19%	0.65%	0.00%	5.63%	5.24%	0.838
5	24.89%	1.62%	24.95%	13.69%	12.50%	0.00%	21.46%	0.89%	0.00%	5.68%	5.25%	0.845
6	24.85%	1.90%	24.94%	13.34%	12.13%	0.00%	21.69%	1.15%	0.00%	5.73%	5.26%	0.853
7	24.81%	2.20%	24.93%	13.01%	11.75%	0.00%	21.85%	1.44%	0.00%	5.77%	5.27%	0.860
8	24.76%	2.51%	24.93%	12.64%	11.43%	0.01%	21.98%	1.75%	0.00%	5.81%	5.28%	0.866
9	24.71%	2.83%	24.92%	12.29%	11.08%	0.01%	22.10%	2.06%	0.00%	5.86%	5.29%	0.873
10	24.65%	3.15%	24.91%	11.93%	10.76%	0.01%	22.18%	2.40%	0.00%	5.90%	5.30%	0.880
11	24.58%	3.47%	24.90%	11.59%	10.42%	0.02%	22.28%	2.74%	0.00%	5.95%	5.31%	0.887
12	24.50%	3.80%	24.90%	11.29%	10.07%	0.02%	22.36%	3.07%	0.00%	5.99%	5.32%	0.893
13	24.40%	4.13%	24.90%	10.99%	9.72%	0.02%	22.45%	3.39%	0.00%	6.04%	5.33%	0.899
14	24.30%	4.46%	24.89%	10.71%	9.39%	0.02%	22.54%	3.70%	0.00%	6.08%	5.34%	0.906
15	24.18%	4.81%	24.88%	10.43%	9.09%	0.02%	22.60%	3.99%	0.00%	6.13%	5.36%	0.912
16	24.05%	5.16%	24.88%	10.15%	8.81%	0.02%	22.66%	4.26%	0.00%	6.17%	5.37%	0.918
17	23.91%	5.53%	24.87%	9.89%	8.54%	0.02%	22.73%	4.50%	0.01%	6.21%	5.38%	0.924
18	23.75%	5.91%	24.86%	9.65%	8.27%	0.03%	22.79%	4.74%	0.01%	6.26%	5.40%	0.929
19	23.58%	6.29%	24.85%	9.40%	8.03%	0.03%	22.83%	4.97%	0.02%	6.30%	5.41%	0.935
20	23.41%	6.69%	24.83%	9.14%	7.83%	0.03%	22.87%	5.18%	0.02%	6.35%	5.43%	0.940
21	23.23%	7.08%	24.82%	8.89%	7.62%	0.03%	22.90%	5.40%	0.03%	6.39%	5.44%	0.946
22	23.04%	7.48%	24.80%	8.66%	7.41%	0.04%	22.93%	5.61%	0.03%	6.43%	5.46%	0.951
23	22.83%	7.88%	24.79%	8.44%	7.20%	0.04%	22.96%	5.82%	0.03%	6.48%	5.47%	0.956
24	22.62%	8.28%	24.78%	8.24%	6.99%	0.04%	23.00%	6.02%	0.04%	6.52%	5.49%	0.961
25	22.41%	8.69%	24.76%	8.03%	6.78%	0.04%	23.03%	6.21%	0.04%	6.56%	5.51%	0.966
26	22.19%	9.12%	24.74%	7.83%	6.60%	0.04%	23.07%	6.37%	0.04%	6.61%	5.52%	0.971
27	21.97%	9.55%	24.73%	7.61%	6.42%	0.04%	23.09%	6.54%	0.05%	6.65%	5.54%	0.976
28	21.74%	9.98%	24.71%	7.40%	6.26%	0.05%	23.12%	6.69%	0.06%	6.70%	5.56%	0.981
29	21.52%	10.41%	24.69%	7.19%	6.10%	0.07%	23.13%	6.83%	0.07%	6.74%	5.58%	0.986
30	21.29%	10.83%	24.67%	6.98%	5.94%	0.10%	23.15%	6.95%	0.08%	6.78%	5.59%	0.990
31	21.06%	11.27%	24.66%	6.80%	5.76%	0.13%	23.14%	7.08%	0.10%	6.83%	5.61%	0.995
32	20.82%	11.72%	24.65%	6.64%	5.59%	0.15%	23.14%	7.17%	0.12%	6.87%	5.63%	1.000
33	20.55%	12.16%	24.64%	6.50%	5.43%	0.17%	23.16%	7.26%	0.14%	6.92%	5.65%	1.004
34	20.27%	12.59%	24.63%	6.36%	5.26%	0.21%	23.17%	7.35%	0.16%	6.96%	5.67%	1.008
35	20.00%	13.03%	24.61%	6.21%	5.09%	0.24%	23.19%	7.45%	0.18%	7.00%	5.69%	1.012
36	19.72%	13.45%	24.59%	6.06%	4.94%	0.28%	23.21%	7.54%	0.20%	7.05%	5.71%	1.016
37	19.45%	13.86%	24.57%	5.91%	4.79%	0.33%	23.23%	7.62%	0.23%	7.09%	5.73%	1.020
38	19.20%	14.27%	24.55%	5.75%	4.65%	0.38%	23.23%	7.70%	0.27%	7.13%	5.76%	1.023
39	18.93%	14.66%	24.54%	5.60%	4.49%	0.44%	23.23%	7.79%	0.31%	7.17%	5.78%	1.027
40	18.68%	15.04%	24.52%	5.42%	4.35%	0.51%	23.24%	7.88%	0.36%	7.21%	5.80%	1.030
41	18.43%	15.43%	24.51%	5.24%	4.19%	0.58%	23.23%	7.99%	0.41%	7.26%	5.82%	1.033
42	18.18%	15.81%	24.50%	5.06%	4.03%	0.65%	23.23%	8.07%	0.47%	7.30%	5.84%	1.037
43	17.95%	16.18%	24.49%	4.87%	3.89%	0.74%	23.20%	8.14%	0.55%	7.34%	5.87%	1.040
44	17.70%	16.52%	24.48%	4.68%	3.77%	0.83%	23.18%	8.21%	0.63%	7.38%	5.89%	1.042
45	17.45%	16.84%	24.47%	4.49%	3.67%	0.91%	23.16%	8.27%	0.73%	7.42%	5.92%	1.045
46	17.22%	17.14%	24.45%	4.33%	3.57%	0.98%	23.13%	8.32%	0.84%	7.46%	5.94%	1.047
47	16.98%	17.45%	24.44%	4.17%	3.46%	1.06%	23.10%	8.39%	0.96%	7.50%	5.97%	1.049
48	16.74%	17.74%	24.43%	4.01%	3.31%	1.15%	23.05%	8.48%	1.08%	7.54%	5.99%	1.051
49	16.52%	18.02%	24.42%	3.84%	3.19%	1.24%	23.00%	8.55%	1.22%	7.57%	6.02%	1.052
50	16.31%	18.28%	24.40%	3.67%	3.08%	1.30%	22.96%	8.61%	1.38%	7.61%	6.05%	1.054
51	16.14%	18.55%	24.38%	3.52%	2.93%	1.38%	22.92%	8.64%	1.55%	7.65%	6.07%	1.055
52	15.96%	18.80%	24.36%	3.36%	2.78%	1.48%	22.88%	8.67%	1.72%	7.69%	6.10%	1.056
53	15.76%	19.04%	24.34%	3.23%	2.62%	1.57%	22.86%	8.69%	1.90%	7.73%	6.13%	1.058
54	15.58%	19.25%	24.32%	3.10%	2.47%	1.63%	22.82%	8.72%	2.10%	7.76%	6.16%	1.059
55	15.40%	19.44%	24.30%	2.96%	2.34%	1.70%	22.76%	8.76%	2.33%	7.80%	6.19%	1.059
56	15.21%	19.63%	24.27%	2.83%	2.24%	1.77%	22.73%	8.75%	2.56%	7.83%	6.22%	1.059
57	15.01%	19.84%	24.26%	2.71%	2.16%	1.82%	22.72%	8.66%	2.83%	7.87%	6.25%	1.060
58	14.81%	20.05%	24.24%	2.60%	2.07%	1.87%	22.69%	8.57%	3.10%	7.91%	6.29%	1.061
59	14.61%	20.23%	24.23%	2.49%	1.99%	1.93%	22.66%	8.48%	3.38%	7.94%	6.32%	1.061
60	14.45%	20.40%	24.23%	2.38%	1.91%	2.00%	22.61%	8.36%	3.68%	7.98%	6.35%	1.061
61	14.28%	20.57%	24.22%	2.27%	1.84%	2.05%	22.58%	8.21%	3.99%	8.02%	6.39%	1.061
62	14.11%	20.74%	24.20%	2.17%	1.77%	2.08%	22.55%	8.06%	4.33%	8.06%	6.42%	1.061
63	13.94%	20.91%	24.18%	2.06%	1.71%	2.12%	22.53%	7.88%	4.66%	8.09%	6.46%	1.061
64	13.76%	21.08%	24.16%	1.98%	1.66%	2.15%	22.50%	7.71%	5.01%	8.13%	6.49%	1.061
65	13.59%	21.24%	24.14%	1.89%	1.60%	2.19%	22.46%	7.54%	5.35%	8.17%	6.53%	1.061
66	13.40%	21.40%	24.11%	1.81%	1.54%	2.23%	22.40%	7.41%	5.71%	8.20%	6.57%	1.060
67	13.21%	21.55%	24.08%	1.72%	1.49%	2.27%	22.31%	7.29%	6.07%	8.24%	6.61%	1.059
68	13.02%	21.68%	24.06%	1.64%	1.45%	2.33%	22.23%	7.15%	6.45%	8.27%	6.65%	1.058
69	12.85%	21.80%	24.03%	1.55%	1.41%	2.38%	22.15%	7.00%	6.85%	8.31%	6.69%	1.057
70	12.67%	21.92%	24.01%	1.47%	1.36%	2.42%	22.09%	6.81%	7.26%	8.35%	6.73%	1.055
71	12.50%	22.03%	23.98%	1.39%	1.29%	2.45%	22.02%	6.64%	7.69%	8.38%	6.78%	1.054
72	12.32%	22.13%	23.96%	1.32%	1.23%	2.52%	21.94%	6.46%	8.12%	8.42%	6.82%	1.053
73	12.11%	22.22%	23.93%	1.25%	1.17%	2.59%	21.85%	6.33%	8.55%	8.46%	6.87%	1.051
74	11.92%	22.31%	23.89%	1.19%	1.12%	2.64%	21.75%	6.20%	8.99%	8.49%	6.92%	1.048
75	11.77%	22.39%	23.84%	1.13%	1.07%	2.70%	21.64%	6.02%	9.44%	8.52%	6.96%	1.046
76	11.63%	22.46%	23.77%	1.08%	1.01%	2.80%	21.51%	5.85%	9.89%	8.56%	7.01%	1.043
77	11.43%	22.58%	23.69%	1.03%	0.95%	2.85%	21.37%	5.74%	10.35%	8.59%	7.06%	1.041
78	11.25%	22.69%	23.60%	0.98%	0.89%	2.89%	21.27%	5.60%	10.83%	8.63%	7.12%	1.038
79	11.09%	22.80%	23.49%	0.94%	0.82%	2.94%	21.17%	5.43%	11.32%	8.66%	7.17%	1.035
80	10.90%	22.91%	23.35%	0.90%	0.77%	2.98%	21.07%	5.32%	11.80%	8.70%	7.23%	1.031
81	10.70%	23.04%	23.19%	0.86%	0.72%	3.03%	20.95%	5.24%	12.28%	8.73%	7.29%	1.027
82	10.51%	23.14%	23.02%	0.83%	0.68%	3.04%	20.85%	5.16%	12.78%	8.76%	7.35%	1.023
83	10.29%	23.23%	22.85%	0.77%	0.64%	3.06%	20.75%	5.14%	13.27%	8.79%	7.42%	1.018
84	10.07%	23.31%	22.67%	0.70%	0.60%	3.13%	20.68%	5.09%	13.75%	8.82%	7.48%	1.014
85	9.86%	23.38%	22.48%	0.64%	0.57%	3.21%	20.58%	5.04%	14.24%	8.85%	7.55%	1.009
86	9.64%	23.43%	22.29%	0.59%	0.54%	3.29%	20.47%	5.01%	14.73%	8.88%	7.61%	1.004
87	9.42%	23.47%	22.11%	0.55%	0.50%	3.39%	20.35%	4.98%	15.22%	8.91%	7.68%	0.999
88	9.21%	23.49%	21.92%	0.52%	0.46%	3.59%	20.22%	4.87%	15.72%	8.94%	7.75%	0.993
89	8.99%	23.53%	21.71%	0.49%	0.41%	3.84%	20.03%	4.81%	16.20%	8.96%	7.83%	0.986
90	8.76%	23.59%	21.45%	0.46%	0.35%	4.03%	19.84%	4.84%	16.67%	8.98%	7.90%	0.980
91	8.51%	23.66%	21.16%	0.43%	0.30%	4.24%	19.64%	4.92%	17.14%	9.01%	7.99%	0.972
92	8.28%	23.72%	20.83%	0.40%	0.25%	4.46%	19.40%	5.05%	17.61%	9.03%	8.08%	0.964
93	8.05%	23.78%	20.44%	0.36%	0.21%	4.72%	19.17%	5.21%	18.07%	9.04%	8.17%	0.955
94	7.78%	23.85%	19.98%	0.33%	0.17%	5.08%	18.93%	5.37%	18.51%	9.05%	8.27%	0.945
95	7.49%	23.92%	19.48%	0.29%	0.13%	5.56%	18.70%	5.50%	18.94%	9.07%	8.38%	0.933
96	7.10%	23.96%	18.96%	0.25%	0.10%	6.17%	18.45%	5.65%	19.36%	9.07%	8.50%	0.921
97	6.60%	23.89%	18.38%	0.20%	0.07%	6.93%	18.30%	5.87%	19.76%	9.08%	8.64%	0.907
98	6.08%	23.76%	17.69%	0.19%	0.04%	7.67%	17.98%	6.36%	20.22%	9.07%	8.80%	0.889
99	5.51%	23.53%	16.94%	0.22%	0.02%	8.72%	17.19%	7.15%	20.71%	9.05%	9.00%	0.867
100	4.50%	23.00%	15.75%	0.25%	0.00%	10.75%	15.63%	8.37%	21.75%	9.01%	9.37%	0.829
^*Annualized ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate.

Annual Returns

Annual returns for the configured portfolios
Year	Inflation	Maximum Return at 12.00% Volatility		Maximum Sharpe Ratio Weights		Vanguard Balanced Index Adm		Grant Park Multi Alternative Strats N (GPANX)	Standpoint Multi-Asset Investor (REMIX)	PIMCO TRENDS Managed Futures Strat A (PQTAX)	Vanguard Global Wellesley Income Admiral (VGYAX)	Vanguard Wellesley Income Admiral (VWIAX)	Vanguard Global Wellington Admiral (VGWAX)	Columbia Thermostat Inst (COTZX)	Vanguard Tax-Managed Balanced Adm (VTMFX)	SPDR S&P 500 ETF Trust (SPY)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	Grant Park Multi Alternative Strats N (GPANX)	Standpoint Multi-Asset Investor (REMIX)	PIMCO TRENDS Managed Futures Strat A (PQTAX)	Vanguard Global Wellesley Income Admiral (VGYAX)	Vanguard Wellesley Income Admiral (VWIAX)	Vanguard Global Wellington Admiral (VGWAX)	Columbia Thermostat Inst (COTZX)	Vanguard Tax-Managed Balanced Adm (VTMFX)	SPDR S&P 500 ETF Trust (SPY)
2020	1.36%	16.78%	$11,678	15.75%	$11,575	16.40%	$11,640	8.85%	16.07%	8.50%	5.52%	8.54%	7.51%	29.63%	13.30%	18.37%
2021	7.04%	16.24%	$13,574	12.69%	$13,044	14.22%	$13,294	5.78%	19.71%	14.51%	6.59%	8.57%	13.53%	6.42%	13.10%	28.74%
2022	6.45%	-4.35%	$12,983	-1.99%	$12,785	-16.90%	$11,048	-2.21%	3.43%	11.05%	-8.06%	-9.01%	-7.04%	-12.92%	-12.68%	-18.17%
2023	2.21%	3.63%	$13,454	2.21%	$13,068	6.30%	$11,745	-0.39%	2.60%	-1.18%	1.96%	0.04%	2.29%	4.47%	5.22%	9.68%
Annual return for 2023 is from 01/01/2023 to 05/31/2023

Monthly Returns

Monthly returns for the configured portfolios
Year	Month	Maximum Return at 12.00% Volatility		Maximum Sharpe Ratio Weights		Vanguard Balanced Index Adm		Grant Park Multi Alternative Strats N (GPANX)	Standpoint Multi-Asset Investor (REMIX)	PIMCO TRENDS Managed Futures Strat A (PQTAX)	Vanguard Global Wellesley Income Admiral (VGYAX)	Vanguard Wellesley Income Admiral (VWIAX)	Vanguard Global Wellington Admiral (VGWAX)	Columbia Thermostat Inst (COTZX)	Vanguard Tax-Managed Balanced Adm (VTMFX)	SPDR S&P 500 ETF Trust (SPY)
Year	Month	Return	Balance	Return	Balance	Return	Balance	Grant Park Multi Alternative Strats N (GPANX)	Standpoint Multi-Asset Investor (REMIX)	PIMCO TRENDS Managed Futures Strat A (PQTAX)	Vanguard Global Wellesley Income Admiral (VGYAX)	Vanguard Wellesley Income Admiral (VWIAX)	Vanguard Global Wellington Admiral (VGWAX)	Columbia Thermostat Inst (COTZX)	Vanguard Tax-Managed Balanced Adm (VTMFX)	SPDR S&P 500 ETF Trust (SPY)
2020	1	-0.36%	$9,964	-0.27%	$9,973	0.84%	$10,084	0.00%	-1.10%	-1.63%	0.23%	1.28%	-0.96%	1.21%	0.91%	-0.04%
2020	2	-2.48%	$9,717	-0.84%	$9,889	-4.22%	$9,658	0.95%	-4.04%	2.38%	-2.13%	-2.45%	-4.61%	0.40%	-3.36%	-7.92%
2020	3	-1.91%	$9,531	0.42%	$9,931	-8.47%	$8,840	0.56%	2.42%	6.27%	-8.57%	-6.29%	-10.62%	0.07%	-7.96%	-12.46%
2020	4	6.04%	$10,107	4.30%	$10,358	8.55%	$9,596	1.03%	5.14%	-0.86%	4.75%	5.71%	6.61%	8.66%	5.63%	12.70%
2020	5	1.80%	$10,289	1.25%	$10,488	3.48%	$9,930	0.65%	-0.39%	-0.29%	1.87%	2.13%	2.92%	2.80%	4.18%	4.76%
2020	6	0.27%	$10,316	-0.11%	$10,476	1.73%	$10,102	0.09%	0.10%	-3.00%	1.26%	0.47%	1.25%	1.43%	1.45%	1.78%
2020	7	3.45%	$10,672	2.94%	$10,784	3.99%	$10,504	1.38%	2.45%	3.14%	2.89%	2.81%	2.82%	3.36%	3.65%	5.89%
2020	8	2.76%	$10,967	1.63%	$10,960	3.88%	$10,912	0.54%	2.49%	-1.08%	0.83%	0.21%	3.30%	2.80%	3.47%	6.98%
2020	9	-2.52%	$10,691	-2.22%	$10,717	-2.11%	$10,682	-1.98%	-2.62%	-2.94%	-1.69%	-0.68%	-1.96%	-1.28%	-1.81%	-3.74%
2020	10	-1.41%	$10,540	-1.04%	$10,605	-1.46%	$10,526	-1.01%	-1.82%	0.21%	-1.20%	-1.28%	-2.31%	-1.18%	-1.21%	-2.49%
2020	11	6.83%	$11,260	5.33%	$11,171	7.64%	$11,330	2.70%	8.41%	1.76%	6.38%	5.73%	9.77%	6.09%	6.14%	10.88%
2020	12	3.71%	$11,678	3.62%	$11,575	2.73%	$11,640	3.72%	4.66%	4.70%	1.58%	1.19%	2.62%	2.32%	2.40%	3.71%
2021	1	-0.38%	$11,634	-0.27%	$11,543	-0.50%	$11,582	0.00%	0.26%	-0.49%	-1.05%	-1.28%	-0.91%	-0.39%	-0.16%	-1.02%
2021	2	2.76%	$11,955	2.45%	$11,826	1.29%	$11,732	2.93%	5.47%	1.58%	0.49%	0.65%	2.27%	1.23%	0.68%	2.78%
2021	3	2.45%	$12,248	1.73%	$12,030	1.57%	$11,916	-0.95%	2.88%	1.94%	1.79%	1.69%	2.91%	1.32%	2.08%	4.54%
2021	4	3.25%	$12,646	2.71%	$12,356	3.46%	$12,328	2.26%	3.76%	1.62%	1.76%	2.03%	2.52%	2.72%	3.06%	5.29%
2021	5	1.19%	$12,796	1.22%	$12,507	0.36%	$12,373	0.94%	1.31%	2.35%	1.32%	1.42%	2.17%	0.42%	0.37%	0.66%
2021	6	0.83%	$12,903	0.48%	$12,567	1.88%	$12,605	-1.52%	0.61%	0.89%	-0.13%	0.50%	-0.29%	0.64%	1.33%	2.25%
2021	7	1.16%	$13,052	0.88%	$12,678	1.50%	$12,794	-0.17%	0.83%	1.10%	1.02%	1.31%	0.75%	0.85%	1.38%	2.44%
2021	8	1.31%	$13,223	0.94%	$12,797	1.66%	$13,006	0.00%	0.90%	1.81%	0.40%	0.93%	0.93%	0.16%	1.34%	2.98%
2021	9	-0.89%	$13,106	-0.03%	$12,793	-3.11%	$12,601	0.26%	-0.22%	3.21%	-1.57%	-1.93%	-1.95%	-1.26%	-2.57%	-4.66%
2021	10	3.84%	$13,609	3.05%	$13,183	4.04%	$13,110	3.93%	5.00%	2.85%	1.40%	1.94%	3.13%	0.37%	3.18%	7.02%
2021	11	-2.68%	$13,245	-2.75%	$12,821	-0.75%	$13,011	-2.14%	-5.33%	-4.87%	-1.24%	-1.16%	-2.67%	-0.05%	-0.22%	-0.80%
2021	12	2.49%	$13,574	1.74%	$13,044	2.18%	$13,294	0.26%	3.10%	1.90%	2.30%	2.26%	4.16%	0.28%	2.03%	4.63%
2022	1	-2.44%	$13,242	-1.73%	$12,818	-4.51%	$12,695	-0.37%	-2.86%	0.18%	-0.87%	-1.48%	-1.01%	-2.28%	-4.03%	-5.27%
2022	2	0.20%	$13,269	0.80%	$12,920	-1.97%	$12,446	1.31%	2.46%	3.06%	-1.50%	-1.39%	-1.79%	-1.29%	-1.55%	-2.95%
2022	3	3.00%	$13,667	2.62%	$13,258	0.84%	$12,551	2.58%	6.21%	5.58%	-0.55%	-0.76%	0.12%	-2.42%	0.26%	3.76%
2022	4	-1.62%	$13,445	-0.14%	$13,240	-6.99%	$11,673	-0.09%	1.24%	6.56%	-3.89%	-4.23%	-4.73%	-3.95%	-5.54%	-8.78%
2022	5	0.34%	$13,491	0.17%	$13,263	0.14%	$11,689	-0.63%	1.08%	-1.29%	1.64%	1.83%	1.82%	0.80%	0.69%	0.23%
2022	6	-2.90%	$13,099	-1.53%	$13,060	-5.66%	$11,027	-1.09%	-2.57%	4.22%	-4.01%	-4.29%	-5.56%	-3.76%	-4.74%	-8.25%
2022	7	2.46%	$13,421	1.07%	$13,200	6.50%	$11,744	1.10%	0.22%	-4.50%	2.73%	3.41%	3.84%	4.00%	5.70%	9.21%
2022	8	-1.93%	$13,162	-1.53%	$12,998	-3.30%	$11,357	-2.53%	-0.95%	0.78%	-3.32%	-2.66%	-3.40%	-2.52%	-2.83%	-4.08%
2022	9	-2.89%	$12,781	-1.36%	$12,822	-7.26%	$10,532	-0.93%	-1.48%	6.84%	-5.72%	-5.85%	-6.79%	-5.85%	-6.03%	-9.24%
2022	10	3.13%	$13,182	1.78%	$13,049	4.27%	$10,982	0.28%	2.70%	-0.07%	2.40%	2.80%	5.54%	1.52%	3.52%	8.13%
2022	11	0.83%	$13,291	-0.46%	$12,989	4.62%	$11,490	-0.47%	-0.44%	-9.02%	6.41%	5.47%	7.61%	3.84%	4.71%	5.56%
2022	12	-2.32%	$12,983	-1.58%	$12,785	-3.84%	$11,048	-1.29%	-1.87%	-0.60%	-1.04%	-1.60%	-1.84%	-1.33%	-2.75%	-5.76%
2023	1	3.41%	$13,426	2.78%	$13,141	5.42%	$11,647	2.05%	2.52%	0.63%	3.96%	3.27%	3.78%	4.26%	4.51%	6.29%
2023	2	-1.59%	$13,213	-1.51%	$12,942	-2.42%	$11,366	-2.58%	-0.67%	-0.09%	-2.50%	-3.29%	-2.52%	-2.38%	-2.18%	-2.51%
2023	3	0.13%	$13,230	-0.74%	$12,846	2.64%	$11,666	-0.39%	-0.15%	-7.01%	1.63%	1.47%	1.76%	2.58%	2.52%	3.71%
2023	4	1.26%	$13,397	1.19%	$12,999	0.87%	$11,767	1.38%	1.13%	1.84%	1.29%	1.19%	1.61%	0.54%	0.53%	1.60%
2023	5	0.43%	$13,454	0.53%	$13,068	-0.19%	$11,745	-0.78%	-0.22%	3.80%	-2.28%	-2.46%	-2.21%	-0.47%	-0.13%	0.46%

Risk and Return Metrics

Portfolio return and risk metrics
Metric	Maximum Return at 12.00% Volatility	Maximum Sharpe Ratio Weights	Vanguard Balanced Index Adm
Arithmetic Mean (monthly)	0.76%	0.67%	0.47%
Arithmetic Mean (annualized)	9.46%	8.36%	5.80%
Geometric Mean (monthly)	0.73%	0.65%	0.39%
Geometric Mean (annualized)	9.07%	8.15%	4.82%
Standard Deviation (monthly)	2.49%	1.85%	3.99%
Standard Deviation (annualized)	8.64%	6.42%	13.84%
Downside Deviation (monthly)	1.24%	0.85%	2.69%
Maximum Drawdown	-6.48%	-3.60%	-20.78%
Stock Market Correlation	0.90	0.74	0.99
Beta^(*)	0.55	0.33	1.00
Alpha (annualized)	5.99%	6.20%	-0.00%
R²	76.57%	50.16%	100.00%
Sharpe Ratio	0.89	1.04	0.32
Sortino Ratio	1.72	2.12	0.46
Treynor Ratio (%)	14.34	20.73	4.41
Calmar Ratio	1.44	2.11	0.28
Active Return	4.25%	3.33%	N/A
Tracking Error	7.54%	10.34%	N/A
Information Ratio	0.56	0.32	N/A
Skewness	0.31	0.37	-0.30
Excess Kurtosis	-0.49	-0.24	-0.22
Historical Value-at-Risk (5%)	2.68%	1.73%	6.99%
Analytical Value-at-Risk (5%)	3.30%	2.34%	6.10%
Conditional Value-at-Risk (5%)	2.90%	2.49%	7.87%
Upside Capture Ratio (%)	75.08	53.36	100.00
Downside Capture Ratio (%)	49.54	27.27	100.00
Safe Withdrawal Rate	39.11%	38.30%	36.60%
Perpetual Withdrawal Rate	4.26%	3.33%	0.00%
Positive Periods	26 out of 41 (63.41%)	24 out of 41 (58.54%)	25 out of 41 (60.98%)
Gain/Loss Ratio	1.21	1.78	0.86
^* Vanguard Balanced Index Adm is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	Maximum Return at 12.00% Volatility	Maximum Sharpe Ratio Weights	Vanguard Balanced Index Adm
COVID-19 Start	Jan 2020	Mar 2020	-4.69%	-1.11%	-12.34%

Drawdowns for Maximum Return at 12.00% Volatility

Drawdowns for Maximum Return at 12.00% Volatility
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Apr 2022	Sep 2022	6 months				-6.48%
2	Jan 2020	Mar 2020	3 months	Apr 2020	1 month	4 months	-4.69%
3	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-3.89%
4	Nov 2021	Jan 2022	3 months	Mar 2022	2 months	5 months	-2.69%
5	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-0.89%
6	Jan 2021	Jan 2021	1 month	Feb 2021	1 month	2 months	-0.38%

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Maximum Sharpe Ratio Weights
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jun 2022	Dec 2022	7 months				-3.60%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-3.24%
3	Nov 2021	Jan 2022	3 months	Mar 2022	2 months	5 months	-2.77%
4	Jan 2020	Feb 2020	2 months	Apr 2020	2 months	4 months	-1.11%
5	Jan 2021	Jan 2021	1 month	Feb 2021	1 month	2 months	-0.27%
6	Apr 2022	Apr 2022	1 month	May 2022	1 month	2 months	-0.14%
7	Jun 2020	Jun 2020	1 month	Jul 2020	1 month	2 months	-0.11%
8	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-0.03%

Drawdowns for Vanguard Balanced Index Adm

Drawdowns for Vanguard Balanced Index Adm
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2022	Sep 2022	9 months				-20.78%
2	Feb 2020	Mar 2020	2 months	Jun 2020	3 months	5 months	-12.34%
3	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-3.54%
4	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-3.11%
5	Nov 2021	Nov 2021	1 month	Dec 2021	1 month	2 months	-0.75%
6	Jan 2021	Jan 2021	1 month	Feb 2021	1 month	2 months	-0.50%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
GPANX	Grant Park Multi Alternative Strats N	3.41%	5.46%	8.85%	-2.21%	-6.47%	0.40	0.68	0.47
REMIX	Standpoint Multi-Asset Investor	12.04%	9.92%	19.71%	2.60%	-5.33%	1.06	2.14	0.61
PQTAX	PIMCO TRENDS Managed Futures Strat A	9.50%	11.75%	14.51%	-1.18%	-15.51%	0.72	1.08	-0.36
VGYAX	Vanguard Global Wellesley Income Admiral	1.56%	10.26%	6.59%	-8.06%	-14.74%	0.08	0.11	0.89
VWIAX	Vanguard Wellesley Income Admiral	2.08%	9.85%	8.57%	-9.01%	-14.71%	0.13	0.18	0.91
VGWAX	Vanguard Global Wellington Admiral	4.46%	13.78%	13.53%	-7.04%	-16.63%	0.29	0.43	0.93
COTZX	Columbia Thermostat Inst	6.87%	9.49%	29.63%	-12.92%	-16.84%	0.61	1.06	0.81
VTMFX	Vanguard Tax-Managed Balanced Adm	4.89%	11.69%	13.30%	-12.68%	-17.17%	0.36	0.52	0.98
SPY	SPDR S&P 500 ETF Trust	9.60%	20.13%	28.74%	-18.17%	-23.93%	0.49	0.75	1.00

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Annualized Return	Expense Ratio
Name	3 Month	Year To Date	1 year	3 year	Net	Gross
Grant Park Multi Alternative Strats N	0.20%	-0.39%	-5.23%	2.80%	1.71%	1.71%
Standpoint Multi-Asset Investor	0.75%	2.60%	-1.90%	13.15%	1.55%	1.77%
PIMCO TRENDS Managed Futures Strat A	-1.71%	-1.18%	-4.29%	8.82%	1.87%	2.11%
Vanguard Global Wellesley Income Admiral	0.60%	1.96%	-1.17%	3.29%	0.29%	0.29%
Vanguard Wellesley Income Admiral	0.15%	0.04%	-3.20%	2.38%	0.16%	0.16%
Vanguard Global Wellington Admiral	1.11%	2.29%	0.71%	7.80%	0.32%	0.32%
Columbia Thermostat Inst	2.65%	4.47%	-0.18%	3.38%	0.60%	0.65%
Vanguard Tax-Managed Balanced Adm	2.93%	5.22%	1.97%	6.02%	0.09%	0.09%
SPDR S&P 500 ETF Trust	5.86%	9.68%	2.92%	12.87%	0.09%	0.09%
Trailing returns as of last calendar month ending May 2023

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	GPANX	REMIX	PQTAX	VGYAX	VWIAX	VGWAX	COTZX	VTMFX	SPY	Maximum Return at 12.00% Volatility	Maximum Sharpe Ratio Weights	Vanguard Balanced Index Adm
GPANX	Grant Park Multi Alternative Strats N	1.00	0.75	0.31	0.41	0.42	0.45	0.44	0.43	0.47	0.71	0.82	0.47
REMIX	Standpoint Multi-Asset Investor	0.75	1.00	0.32	0.45	0.48	0.56	0.47	0.50	0.60	0.86	0.92	0.55
PQTAX	PIMCO TRENDS Managed Futures Strat A	0.31	0.32	1.00	-0.49	-0.49	-0.42	-0.43	-0.47	-0.37	0.01	0.27	-0.43
VGYAX	Vanguard Global Wellesley Income Admiral	0.41	0.45	-0.49	1.00	0.98	0.97	0.81	0.93	0.89	0.78	0.61	0.92
VWIAX	Vanguard Wellesley Income Admiral	0.42	0.48	-0.49	0.98	1.00	0.96	0.86	0.94	0.91	0.80	0.64	0.94
VGWAX	Vanguard Global Wellington Admiral	0.45	0.56	-0.42	0.97	0.96	1.00	0.78	0.93	0.93	0.84	0.68	0.93
COTZX	Columbia Thermostat Inst	0.44	0.47	-0.43	0.81	0.86	0.78	1.00	0.85	0.81	0.77	0.67	0.87
VTMFX	Vanguard Tax-Managed Balanced Adm	0.43	0.50	-0.47	0.93	0.94	0.93	0.85	1.00	0.97	0.84	0.66	0.99
SPY	SPDR S&P 500 ETF Trust	0.47	0.60	-0.37	0.89	0.91	0.93	0.81	0.97	1.00	0.90	0.73	0.99

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Maximum Return at 12.00% Volatility	Maximum Sharpe Ratio Weights
GPANX	Grant Park Multi Alternative Strats N	$82.62	$177
REMIX	Standpoint Multi-Asset Investor	$1,122	$971
PQTAX	PIMCO TRENDS Managed Futures Strat A	$756	$971
VGYAX	Vanguard Global Wellesley Income Admiral	$1.38	$15.63
VWIAX	Vanguard Wellesley Income Admiral	$0.53	$14.65
VGWAX	Vanguard Global Wellington Admiral	$138	$42.63
COTZX	Columbia Thermostat Inst	$412	$530
VTMFX	Vanguard Tax-Managed Balanced Adm	$113	$161
SPY	SPDR S&P 500 ETF Trust	$828	$185
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Maximum Return at 12.00% Volatility	Maximum Sharpe Ratio Weights
GPANX	Grant Park Multi Alternative Strats N	2.97%	9.78%
REMIX	Standpoint Multi-Asset Investor	23.64%	29.44%
PQTAX	PIMCO TRENDS Managed Futures Strat A	0.23%	12.00%
VGYAX	Vanguard Global Wellesley Income Admiral	0.19%	2.10%
VWIAX	Vanguard Wellesley Income Admiral	0.06%	1.74%
VGWAX	Vanguard Global Wellington Admiral	9.28%	3.01%
COTZX	Columbia Thermostat Inst	15.50%	22.23%
VTMFX	Vanguard Tax-Managed Balanced Adm	6.69%	9.76%
SPY	SPDR S&P 500 ETF Trust	41.43%	9.95%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Portfolio Optimization

Portfolio Optimization Overview

Portfolio Optimization Configuration

Portfolio Optimization Results (Jan 2020 - May 2023) Save

Maximum Return at 12.00% Volatility

Maximum Sharpe Ratio Weights

Portfolio Performance Summary

Performance Summary

Portfolio Growth

Annual Returns

Trailing Returns

Efficient Frontier Assets

Asset Correlations

Efficient Frontiers

Efficient Frontier Portfolios

Annual Returns

Monthly Returns

Risk and Return Metrics

Drawdowns

Historical Market Stress Periods

Drawdowns for Maximum Return at 12.00% Volatility

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Vanguard Balanced Index Adm

Portfolio Assets

Portfolio Asset Performance

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns