Portfolio Optimization

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
Minimize 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
Minimize Tracking Error – Find the portfolio that minimizes the tracking error against the selected benchmark
Maximize Information Ratio – Find the portfolio that maximizes the information ratio against the selected benchmark
Maximize Kelly Criterion – Finds the portfolio with the maximum expected geometric growth rate
Maximize Sortino Ratio – Find the portfolio that maximizes the Sortino ratio for the given minimum acceptable return
Maximize Omega Ratio – Find the portfolio that maximizes the Omega ratio for the given minimum acceptable return
Minimize 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 Type

Time Period

Start Year

First Month

End Year

Last Month

Optimization Goal

Targeted Annual Return

Targeted Annual Volatility

Robust Optimization

Use Historical Returns

Use Historical Volatility

Use Historical Correlations

Correlation Matrix

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Asset Constraints

Group Constraints

Compared Allocation

Benchmark

Benchmark Ticker

Portfolio Assets

Allocation

Expected Return

Volatility

Min. Weight

Max. Weight

Group

Select asset 1

Enter percentage allocation for asset 1 %

Expected return for asset 1 %

Expected volatility for asset 1 %

Minimum allocation for asset 1 %

Maximum allocation for asset 1 %

Group assignment for asset 1

Select asset 2

Enter percentage allocation for asset 2 %

Expected return for asset 2 %

Expected volatility for asset 2 %

Minimum allocation for asset 2 %

Maximum allocation for asset 2 %

Group assignment for asset 2

Select asset 3

Enter percentage allocation for asset 3 %

Expected return for asset 3 %

Expected volatility for asset 3 %

Minimum allocation for asset 3 %

Maximum allocation for asset 3 %

Group assignment for asset 3

Select asset 4

Enter percentage allocation for asset 4 %

Expected return for asset 4 %

Expected volatility for asset 4 %

Minimum allocation for asset 4 %

Maximum allocation for asset 4 %

Group assignment for asset 4

Select asset 5

Enter percentage allocation for asset 5 %

Expected return for asset 5 %

Expected volatility for asset 5 %

Minimum allocation for asset 5 %

Maximum allocation for asset 5 %

Group assignment for asset 5

Select asset 6

Enter percentage allocation for asset 6 %

Expected return for asset 6 %

Expected volatility for asset 6 %

Minimum allocation for asset 6 %

Maximum allocation for asset 6 %

Group assignment for asset 6

Select asset 7

Enter percentage allocation for asset 7 %

Expected return for asset 7 %

Expected volatility for asset 7 %

Minimum allocation for asset 7 %

Maximum allocation for asset 7 %

Group assignment for asset 7

Select asset 8

Enter percentage allocation for asset 8 %

Expected return for asset 8 %

Expected volatility for asset 8 %

Minimum allocation for asset 8 %

Maximum allocation for asset 8 %

Group assignment for asset 8

Select asset 9

Enter percentage allocation for asset 9 %

Expected return for asset 9 %

Expected volatility for asset 9 %

Minimum allocation for asset 9 %

Maximum allocation for asset 9 %

Group assignment for asset 9

Select asset 10

Enter percentage allocation for asset 10 %

Expected return for asset 10 %

Expected volatility for asset 10 %

Minimum allocation for asset 10 %

Maximum allocation for asset 10 %

Group assignment for asset 10

Total

Total allocation for portfolio %

Asset Groups

Min. Weight

Max. Weight

Full name for group A at index 1

Minimum allocation for group A at index 1 %

Maximum allocation for group A at index 1 %

Full name for group B at index 2

Minimum allocation for group B at index 2 %

Maximum allocation for group B at index 2 %

Full name for group C at index 3

Minimum allocation for group C at index 3 %

Maximum allocation for group C at index 3 %

Full name for group D at index 4

Minimum allocation for group D at index 4 %

Maximum allocation for group D at index 4 %

Full name for group E at index 5

Minimum allocation for group E at index 5 %

Maximum allocation for group E at index 5 %

Full name for group F at index 6

Minimum allocation for group F at index 6 %

Maximum allocation for group F at index 6 %

Portfolio Optimization Results (Jan 2004 - Jun 2020)

Note: The time period was constrained by the available data for iShares MSCI Emerging Markets ETF (EEM) [May 2003 - Jun 2020].

Portfolio optimization results with goal to maximize sharpe ratio. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 7.12% to 8.81%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Ticker	Name	Allocation
SPY	SPDR S&P 500 ETF Trust	21.67%
IJS	iShares S&P Small-Cap 600 Value ETF	5.00%
EFA	iShares MSCI EAFE ETF	5.00%
EEM	iShares MSCI Emerging Markets ETF	5.00%
TLT	iShares 20+ Year Treasury Bond ETF	28.33%
IEF	iShares 7-10 Year Treasury Bond ETF	30.00%
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	5.00%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
Metric	Maximum Sharpe Ratio
Start Balance	$10,000
End Balance	$32,350
CAGR	7.37%
Expected Return	7.62%
Stdev	6.71%
Best Year	17.65%
Worst Year	-3.13%
Max. Drawdown	-15.91%
Sharpe Ratio (ex-ante)	0.94
Sharpe Ratio (ex-post)	0.90
Sortino Ratio	1.37
US Stock Market Correlation	0.58

Notes on results:

Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks
The annual results for 2020 are based on full calendar months from January to June
CAGR = Compound Annual Growth Rate
Stdev = Annualized standard deviation of monthly returns
Sharpe ratio is calculated and annualized from monthly excess returns over the risk free rate (3-month treasury bill)
Drawdowns are calculated based on monthly returns.
The backtested results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets
#	Asset	Group	CAGR	Expected Return	Standard Deviation	Sharpe Ratio	Min. Weight	Max. Weight
1	SPDR S&P 500 ETF Trust (SPY)	Equity	8.52%	9.62%	14.17%	0.587	5.00%	40.00%
2	iShares S&P Small-Cap 600 Value ETF (IJS)	Equity	7.02%	9.18%	19.84%	0.397	5.00%	20.00%
3	iShares MSCI EAFE ETF (EFA)	Equity	4.61%	6.13%	16.85%	0.287	5.00%	30.00%
4	iShares MSCI Emerging Markets ETF (EEM)	Equity	6.84%	9.47%	22.04%	0.371	5.00%	15.00%
5	iShares 20+ Year Treasury Bond ETF (TLT)	Fixed Income	7.64%	8.53%	13.01%	0.556	5.00%	30.00%
6	iShares 7-10 Year Treasury Bond ETF (IEF)	Fixed Income	5.13%	5.32%	6.16%	0.654	5.00%	30.00%
7	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)	Fixed Income	5.55%	5.82%	7.20%	0.628	5.00%	20.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (1.30% annualized).

Asset Groups
Asset Group	Min. Weight	Max. Weight
Equity	20.00%	80.00%
Fixed Income	20.00%	80.00%

Asset Correlations

Efficient Frontier Asset Correlations
Name	Ticker	SPY	IJS	EFA	EEM	TLT	IEF	LQD
SPDR S&P 500 ETF Trust	SPY	1.00	0.89	0.88	0.78	-0.32	-0.31	0.32
iShares S&P Small-Cap 600 Value ETF	IJS	0.89	1.00	0.77	0.70	-0.36	-0.37	0.25
iShares MSCI EAFE ETF	EFA	0.88	0.77	1.00	0.88	-0.26	-0.24	0.39
iShares MSCI Emerging Markets ETF	EEM	0.78	0.70	0.88	1.00	-0.24	-0.19	0.36
iShares 20+ Year Treasury Bond ETF	TLT	-0.32	-0.36	-0.26	-0.24	1.00	0.91	0.49
iShares 7-10 Year Treasury Bond ETF	IEF	-0.31	-0.37	-0.24	-0.19	0.91	1.00	0.51
iShares iBoxx $ Invmt Grade Corp Bd ETF	LQD	0.32	0.25	0.39	0.36	0.49	0.51	1.00
Based on provided custom correlation matrix

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

Efficient Frontier Assets
#	SPY	IJS	EFA	EEM	TLT	IEF	LQD	Expected Return^*	Standard Deviation^*	Sharpe Ratio^*
1	13.69%	5.00%	5.00%	5.00%	21.31%	30.00%	20.00%	7.12%	6.43%	0.907
2	14.50%	5.00%	5.00%	5.00%	20.81%	30.00%	19.69%	7.14%	6.43%	0.908
3	14.74%	5.00%	5.00%	5.00%	21.10%	30.00%	19.16%	7.16%	6.44%	0.910
4	14.99%	5.00%	5.00%	5.00%	21.38%	30.00%	18.63%	7.17%	6.45%	0.911
5	15.23%	5.00%	5.00%	5.00%	21.66%	30.00%	18.10%	7.19%	6.46%	0.913
6	15.48%	5.00%	5.00%	5.00%	21.95%	30.00%	17.58%	7.21%	6.47%	0.914
7	15.72%	5.00%	5.00%	5.00%	22.23%	30.00%	17.05%	7.22%	6.48%	0.916
8	15.97%	5.00%	5.00%	5.00%	22.52%	30.00%	16.52%	7.24%	6.48%	0.917
9	16.21%	5.00%	5.00%	5.00%	22.80%	30.00%	15.99%	7.26%	6.49%	0.918
10	16.46%	5.00%	5.00%	5.00%	23.08%	30.00%	15.46%	7.28%	6.50%	0.920
11	16.70%	5.00%	5.00%	5.00%	23.37%	30.00%	14.93%	7.29%	6.51%	0.921
12	16.95%	5.00%	5.00%	5.00%	23.65%	30.00%	14.40%	7.31%	6.52%	0.922
13	17.19%	5.00%	5.00%	5.00%	23.94%	30.00%	13.87%	7.33%	6.53%	0.923
14	17.44%	5.00%	5.00%	5.00%	24.22%	30.00%	13.34%	7.34%	6.54%	0.925
15	17.68%	5.00%	5.00%	5.00%	24.50%	30.00%	12.81%	7.36%	6.55%	0.926
16	17.93%	5.00%	5.00%	5.00%	24.79%	30.00%	12.28%	7.38%	6.56%	0.927
17	18.17%	5.00%	5.00%	5.00%	25.07%	30.00%	11.76%	7.39%	6.57%	0.928
18	18.42%	5.00%	5.00%	5.00%	25.36%	30.00%	11.23%	7.41%	6.58%	0.929
19	18.66%	5.00%	5.00%	5.00%	25.64%	30.00%	10.70%	7.43%	6.59%	0.931
20	18.91%	5.00%	5.00%	5.00%	25.92%	30.00%	10.17%	7.45%	6.60%	0.932
21	19.15%	5.00%	5.00%	5.00%	26.21%	30.00%	9.64%	7.46%	6.61%	0.933
22	19.40%	5.00%	5.00%	5.00%	26.49%	30.00%	9.11%	7.48%	6.62%	0.934
23	19.64%	5.00%	5.00%	5.00%	26.78%	30.00%	8.58%	7.50%	6.63%	0.935
24	19.89%	5.00%	5.00%	5.00%	27.06%	30.00%	8.05%	7.51%	6.64%	0.936
25	20.13%	5.00%	5.00%	5.00%	27.34%	30.00%	7.52%	7.53%	6.65%	0.937
26	20.38%	5.00%	5.00%	5.00%	27.63%	30.00%	6.99%	7.55%	6.67%	0.938
27	20.62%	5.00%	5.00%	5.00%	27.91%	30.00%	6.46%	7.56%	6.68%	0.939
28	20.87%	5.00%	5.00%	5.00%	28.20%	30.00%	5.94%	7.58%	6.69%	0.940
29	21.11%	5.00%	5.00%	5.00%	28.48%	30.00%	5.41%	7.60%	6.70%	0.941
30	21.67%	5.00%	5.00%	5.00%	28.33%	30.00%	5.00%	7.62%	6.71%	0.942
31	22.12%	5.00%	5.00%	5.00%	28.26%	29.62%	5.00%	7.63%	6.73%	0.941
32	22.26%	5.00%	5.00%	5.00%	28.60%	29.14%	5.00%	7.65%	6.75%	0.941
33	22.39%	5.00%	5.00%	5.00%	28.95%	28.66%	5.00%	7.67%	6.77%	0.941
34	22.53%	5.00%	5.00%	5.00%	29.30%	28.17%	5.00%	7.68%	6.79%	0.941
35	22.66%	5.00%	5.00%	5.00%	29.65%	27.69%	5.00%	7.70%	6.81%	0.940
36	22.80%	5.00%	5.00%	5.00%	29.99%	27.21%	5.00%	7.72%	6.83%	0.940
37	23.19%	5.00%	5.00%	5.00%	30.00%	26.81%	5.00%	7.74%	6.85%	0.940
38	23.58%	5.00%	5.00%	5.00%	30.00%	26.42%	5.00%	7.75%	6.87%	0.939
39	23.98%	5.00%	5.00%	5.00%	30.00%	26.02%	5.00%	7.77%	6.90%	0.939
40	24.38%	5.00%	5.00%	5.00%	30.00%	25.62%	5.00%	7.79%	6.92%	0.938
41	24.77%	5.00%	5.00%	5.00%	30.00%	25.23%	5.00%	7.80%	6.94%	0.938
42	25.17%	5.00%	5.00%	5.00%	30.00%	24.83%	5.00%	7.82%	6.96%	0.937
43	25.56%	5.00%	5.00%	5.00%	30.00%	24.44%	5.00%	7.84%	6.99%	0.936
44	25.96%	5.00%	5.00%	5.00%	30.00%	24.04%	5.00%	7.85%	7.01%	0.935
45	26.36%	5.00%	5.00%	5.00%	30.00%	23.64%	5.00%	7.87%	7.04%	0.934
46	26.75%	5.00%	5.00%	5.00%	30.00%	23.25%	5.00%	7.89%	7.06%	0.933
47	27.15%	5.00%	5.00%	5.00%	30.00%	22.85%	5.00%	7.91%	7.09%	0.932
48	27.54%	5.00%	5.00%	5.00%	30.00%	22.46%	5.00%	7.92%	7.12%	0.931
49	27.94%	5.00%	5.00%	5.00%	30.00%	22.06%	5.00%	7.94%	7.14%	0.930
50	28.34%	5.00%	5.00%	5.00%	30.00%	21.66%	5.00%	7.96%	7.17%	0.929
51	28.73%	5.00%	5.00%	5.00%	30.00%	21.27%	5.00%	7.97%	7.20%	0.928
52	29.13%	5.00%	5.00%	5.00%	30.00%	20.87%	5.00%	7.99%	7.23%	0.926
53	29.52%	5.00%	5.00%	5.00%	30.00%	20.48%	5.00%	8.01%	7.26%	0.925
54	29.92%	5.00%	5.00%	5.00%	30.00%	20.08%	5.00%	8.03%	7.29%	0.923
55	30.32%	5.00%	5.00%	5.00%	30.00%	19.68%	5.00%	8.04%	7.32%	0.922
56	30.71%	5.00%	5.00%	5.00%	30.00%	19.29%	5.00%	8.06%	7.35%	0.920
57	31.11%	5.00%	5.00%	5.00%	30.00%	18.89%	5.00%	8.08%	7.38%	0.919
58	31.50%	5.00%	5.00%	5.00%	30.00%	18.50%	5.00%	8.09%	7.41%	0.917
59	31.90%	5.00%	5.00%	5.00%	30.00%	18.10%	5.00%	8.11%	7.45%	0.915
60	32.30%	5.00%	5.00%	5.00%	30.00%	17.70%	5.00%	8.13%	7.48%	0.914
61	32.69%	5.00%	5.00%	5.00%	30.00%	17.31%	5.00%	8.15%	7.51%	0.912
62	33.09%	5.00%	5.00%	5.00%	30.00%	16.91%	5.00%	8.16%	7.55%	0.910
63	33.48%	5.00%	5.00%	5.00%	30.00%	16.52%	5.00%	8.18%	7.58%	0.908
64	33.88%	5.00%	5.00%	5.00%	30.00%	16.12%	5.00%	8.20%	7.62%	0.906
65	34.28%	5.00%	5.00%	5.00%	30.00%	15.72%	5.00%	8.21%	7.65%	0.904
66	34.67%	5.00%	5.00%	5.00%	30.00%	15.33%	5.00%	8.23%	7.69%	0.902
67	35.07%	5.00%	5.00%	5.00%	30.00%	14.93%	5.00%	8.25%	7.72%	0.900
68	35.46%	5.00%	5.00%	5.00%	30.00%	14.54%	5.00%	8.27%	7.76%	0.898
69	35.86%	5.00%	5.00%	5.00%	30.00%	14.14%	5.00%	8.28%	7.80%	0.896
70	36.26%	5.00%	5.00%	5.00%	30.00%	13.74%	5.00%	8.30%	7.83%	0.894
71	36.65%	5.00%	5.00%	5.00%	30.00%	13.35%	5.00%	8.32%	7.87%	0.892
72	37.05%	5.00%	5.00%	5.00%	30.00%	12.95%	5.00%	8.33%	7.91%	0.890
73	37.44%	5.00%	5.00%	5.00%	30.00%	12.56%	5.00%	8.35%	7.95%	0.888
74	37.84%	5.00%	5.00%	5.00%	30.00%	12.16%	5.00%	8.37%	7.99%	0.886
75	38.24%	5.00%	5.00%	5.00%	30.00%	11.76%	5.00%	8.39%	8.03%	0.883
76	38.63%	5.00%	5.00%	5.00%	30.00%	11.37%	5.00%	8.40%	8.07%	0.881
77	39.03%	5.00%	5.00%	5.00%	30.00%	10.97%	5.00%	8.42%	8.11%	0.879
78	39.42%	5.00%	5.00%	5.00%	30.00%	10.58%	5.00%	8.44%	8.15%	0.877
79	39.82%	5.00%	5.00%	5.00%	30.00%	10.18%	5.00%	8.45%	8.19%	0.874
80	40.00%	5.24%	5.00%	5.00%	30.00%	9.76%	5.00%	8.47%	8.24%	0.871
81	40.00%	5.68%	5.00%	5.00%	30.00%	9.32%	5.00%	8.49%	8.29%	0.867
82	40.00%	6.12%	5.00%	5.00%	30.00%	8.88%	5.00%	8.51%	8.35%	0.863
83	40.00%	6.56%	5.00%	5.00%	30.00%	8.44%	5.00%	8.52%	8.41%	0.859
84	40.00%	7.00%	5.00%	5.00%	30.00%	8.00%	5.00%	8.54%	8.47%	0.855
85	40.00%	7.44%	5.00%	5.00%	30.00%	7.56%	5.00%	8.56%	8.53%	0.851
86	40.00%	7.88%	5.00%	5.00%	30.00%	7.12%	5.00%	8.57%	8.59%	0.847
87	40.00%	8.32%	5.00%	5.00%	30.00%	6.68%	5.00%	8.59%	8.66%	0.843
88	40.00%	8.76%	5.00%	5.00%	30.00%	6.24%	5.00%	8.61%	8.72%	0.839
89	40.00%	9.20%	5.00%	5.00%	30.00%	5.80%	5.00%	8.63%	8.78%	0.834
90	40.00%	9.64%	5.00%	5.00%	30.00%	5.36%	5.00%	8.64%	8.85%	0.830
91	40.00%	8.85%	5.00%	6.15%	30.00%	5.00%	5.00%	8.66%	8.92%	0.826
92	40.00%	5.00%	5.00%	10.66%	29.34%	5.00%	5.00%	8.68%	9.10%	0.811
93	40.00%	5.00%	5.00%	12.50%	27.50%	5.00%	5.00%	8.69%	9.41%	0.787
94	40.00%	5.00%	5.00%	14.34%	25.66%	5.00%	5.00%	8.71%	9.73%	0.762
95	40.00%	6.70%	5.00%	15.00%	23.30%	5.00%	5.00%	8.73%	10.11%	0.735
96	40.00%	9.36%	5.00%	15.00%	20.64%	5.00%	5.00%	8.75%	10.55%	0.706
97	40.00%	12.02%	5.00%	15.00%	17.98%	5.00%	5.00%	8.76%	11.02%	0.678
98	40.00%	14.68%	5.00%	15.00%	15.32%	5.00%	5.00%	8.78%	11.52%	0.650
99	40.00%	17.34%	5.00%	15.00%	12.66%	5.00%	5.00%	8.80%	12.04%	0.623
100	40.00%	20.00%	5.00%	15.00%	10.00%	5.00%	5.00%	8.81%	12.58%	0.598
^*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 (1.30% annualized).

Annual returns for the configured portfolios
Year	Inflation	Maximum Sharpe Ratio Return	Maximum Sharpe Ratio Balance	SPDR S&P 500 ETF Trust (SPY)	iShares S&P Small-Cap 600 Value ETF (IJS)	iShares MSCI EAFE ETF (EFA)	iShares MSCI Emerging Markets ETF (EEM)	iShares 20+ Year Treasury Bond ETF (TLT)	iShares 7-10 Year Treasury Bond ETF (IEF)	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
2004	3.26%	9.67%	$10,967	10.70%	22.60%	18.95%	24.63%	8.71%	4.12%	5.72%
2005	3.42%	7.06%	$11,742	4.83%	6.00%	13.32%	32.62%	8.61%	2.64%	1.16%
2006	2.54%	8.31%	$12,717	15.85%	19.37%	25.81%	31.19%	0.71%	2.52%	4.22%
2007	4.08%	9.36%	$13,907	5.14%	-5.56%	9.94%	33.31%	10.29%	10.37%	3.73%
2008	0.09%	-2.76%	$13,523	-36.81%	-29.39%	-41.04%	-48.88%	33.93%	17.91%	2.40%
2009	2.72%	2.30%	$13,834	26.36%	22.36%	26.95%	68.93%	-21.80%	-6.59%	8.46%
2010	1.50%	12.63%	$15,581	15.06%	24.69%	8.15%	16.51%	9.05%	9.37%	9.33%
2011	2.96%	13.64%	$17,706	1.89%	-1.65%	-12.25%	-18.82%	33.96%	15.64%	9.73%
2012	1.74%	9.01%	$19,302	15.99%	18.24%	18.82%	19.10%	2.63%	3.66%	10.58%
2013	1.50%	2.78%	$19,839	32.31%	39.34%	21.40%	-3.69%	-13.37%	-6.09%	-2.00%
2014	0.76%	13.47%	$22,511	13.46%	7.56%	-6.20%	-3.93%	27.30%	9.07%	8.21%
2015	0.73%	-0.65%	$22,365	1.25%	-6.90%	-1.00%	-16.18%	-1.79%	1.51%	-1.25%
2016	2.07%	5.94%	$23,693	12.00%	31.25%	1.37%	10.87%	1.18%	1.00%	6.21%
2017	2.11%	11.85%	$26,500	21.70%	11.35%	25.10%	37.28%	9.18%	2.55%	7.06%
2018	1.91%	-3.13%	$25,670	-4.56%	-12.84%	-13.81%	-15.31%	-1.61%	0.99%	-3.79%
2019	2.29%	17.65%	$30,201	31.22%	24.12%	22.03%	18.20%	14.12%	8.03%	17.37%
2020	-0.23%	7.11%	$32,350	-3.18%	-24.40%	-11.10%	-10.35%	21.87%	11.21%	6.46%
Annual returns for 2020 are based on partial year data

Monthly returns for the configured portfolios
Year	Month	Maximum Sharpe Ratio Return	Maximum Sharpe Ratio Balance	SPDR S&P 500 ETF Trust (SPY)	iShares S&P Small-Cap 600 Value ETF (IJS)	iShares MSCI EAFE ETF (EFA)	iShares MSCI Emerging Markets ETF (EEM)	iShares 20+ Year Treasury Bond ETF (TLT)	iShares 7-10 Year Treasury Bond ETF (IEF)	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
2004	1	1.61%	$10,161	1.98%	2.17%	1.13%	2.42%	1.86%	1.02%	1.22%
2004	2	1.94%	$10,358	1.36%	2.50%	2.30%	3.95%	2.28%	1.61%	1.51%
2004	3	0.67%	$10,427	-1.32%	1.82%	0.07%	0.55%	1.41%	1.30%	0.99%
2004	4	-4.53%	$9,955	-1.89%	-3.93%	-3.39%	-9.80%	-6.23%	-4.35%	-3.89%
2004	5	0.31%	$9,986	1.71%	1.58%	1.14%	1.17%	-0.26%	-0.53%	-0.52%
2004	6	1.38%	$10,124	1.85%	5.35%	3.35%	0.92%	1.06%	0.65%	0.13%
2004	7	-0.46%	$10,078	-3.22%	-4.75%	-4.27%	-3.64%	1.53%	1.21%	1.56%
2004	8	2.48%	$10,328	0.24%	0.24%	1.19%	3.53%	4.17%	2.83%	3.08%
2004	9	1.29%	$10,461	1.00%	4.69%	2.07%	6.98%	0.95%	0.32%	0.31%
2004	10	1.50%	$10,618	1.29%	0.95%	3.50%	2.85%	1.77%	0.99%	1.18%
2004	11	0.89%	$10,712	4.45%	9.11%	6.08%	9.95%	-2.39%	-1.98%	-1.22%
2004	12	2.38%	$10,967	3.02%	1.57%	4.80%	4.74%	2.66%	1.17%	1.39%
2005	1	0.56%	$11,029	-2.24%	-3.25%	-1.90%	-0.53%	3.57%	0.87%	1.23%
2005	2	0.40%	$11,073	2.09%	2.90%	3.78%	9.68%	-1.47%	-1.37%	-0.94%
2005	3	-1.35%	$10,923	-1.83%	-2.36%	-2.62%	-7.91%	-0.45%	-0.40%	-1.26%
2005	4	1.13%	$11,046	-1.87%	-5.12%	-1.62%	-1.25%	3.86%	2.52%	1.62%
2005	5	2.59%	$11,332	3.22%	6.16%	-0.86%	3.16%	3.14%	1.84%	0.62%
2005	6	1.31%	$11,481	0.15%	3.92%	1.43%	3.97%	2.16%	0.48%	1.22%
2005	7	0.00%	$11,481	3.83%	5.84%	3.00%	7.68%	-3.38%	-2.18%	-0.82%
2005	8	1.62%	$11,668	-0.94%	-1.87%	3.84%	1.32%	3.48%	2.00%	1.50%
2005	9	-0.85%	$11,569	0.80%	0.05%	3.69%	8.65%	-3.61%	-1.75%	-1.86%
2005	10	-2.24%	$11,309	-2.37%	-3.41%	-3.18%	-6.34%	-2.24%	-1.24%	-1.58%
2005	11	2.02%	$11,537	4.40%	4.91%	2.31%	5.79%	0.69%	0.63%	0.66%
2005	12	1.77%	$11,742	-0.19%	-1.06%	5.18%	6.10%	2.98%	1.37%	0.86%
2006	1	1.34%	$11,899	2.40%	8.75%	5.77%	14.20%	-1.34%	-0.70%	-0.44%
2006	2	0.23%	$11,926	0.57%	0.27%	-0.70%	-3.85%	1.11%	-0.10%	0.68%
2006	3	-0.88%	$11,822	1.65%	4.86%	4.01%	2.17%	-4.57%	-1.36%	-1.68%
2006	4	-0.13%	$11,807	1.26%	0.18%	4.79%	6.52%	-2.75%	-0.63%	-0.20%
2006	5	-1.72%	$11,603	-3.01%	-4.55%	-3.82%	-11.14%	-0.19%	-0.10%	-0.19%
2006	6	0.46%	$11,657	0.26%	0.04%	-0.06%	0.21%	1.18%	0.23%	-0.09%
2006	7	1.29%	$11,807	0.45%	-3.10%	0.81%	2.34%	2.16%	1.68%	1.46%
2006	8	2.32%	$12,081	2.18%	2.70%	2.55%	1.58%	3.06%	1.76%	2.22%
2006	9	1.56%	$12,270	2.70%	1.19%	0.22%	-0.87%	1.91%	1.21%	0.87%
2006	10	1.95%	$12,509	3.15%	5.52%	3.75%	7.06%	0.85%	0.54%	1.00%
2006	11	2.12%	$12,775	1.99%	2.38%	3.07%	5.98%	2.31%	1.31%	1.46%
2006	12	-0.45%	$12,717	1.34%	0.32%	3.20%	5.44%	-2.69%	-1.28%	-0.90%
2007	1	0.11%	$12,731	1.50%	2.14%	1.39%	0.11%	-1.00%	-0.40%	0.09%
2007	2	1.04%	$12,863	-1.96%	-0.92%	-0.12%	-3.24%	3.39%	2.06%	2.00%
2007	3	0.15%	$12,882	1.16%	0.91%	2.90%	5.33%	-1.70%	-0.14%	-0.68%
2007	4	1.91%	$13,128	4.43%	1.84%	3.75%	3.73%	0.90%	0.61%	0.89%
2007	5	0.20%	$13,155	3.39%	4.63%	2.36%	5.06%	-2.31%	-1.39%	-1.23%
2007	6	-0.73%	$13,059	-1.46%	-2.24%	-0.32%	3.68%	-1.01%	-0.47%	-0.81%
2007	7	0.51%	$13,125	-3.13%	-6.26%	-2.29%	0.71%	3.32%	2.26%	-0.82%
2007	8	1.67%	$13,344	1.28%	1.33%	-0.63%	1.04%	1.79%	2.26%	2.38%
2007	9	1.83%	$13,588	3.87%	0.31%	5.32%	11.57%	0.23%	0.09%	0.73%
2007	10	2.04%	$13,865	1.36%	1.06%	4.25%	11.87%	1.81%	1.08%	0.97%
2007	11	1.02%	$14,006	-3.87%	-7.15%	-3.62%	-7.65%	5.35%	4.04%	1.02%
2007	12	-0.71%	$13,907	-1.13%	-0.71%	-2.99%	-1.43%	-0.64%	0.05%	-0.81%
2008	1	-0.62%	$13,821	-6.05%	-4.00%	-7.85%	-8.92%	2.10%	3.36%	2.57%
2008	2	-0.47%	$13,755	-2.58%	-3.36%	-1.02%	1.99%	-0.46%	1.24%	-0.71%
2008	3	0.66%	$13,846	-0.90%	0.83%	0.42%	-3.75%	2.14%	1.34%	-0.60%
2008	4	0.53%	$13,919	4.77%	2.64%	5.44%	9.14%	-2.48%	-2.41%	1.25%
2008	5	-0.66%	$13,827	1.51%	3.92%	1.19%	3.16%	-2.69%	-1.78%	-2.21%
2008	6	-2.10%	$13,535	-8.35%	-8.41%	-8.80%	-9.29%	2.65%	1.14%	-1.29%
2008	7	-0.36%	$13,487	-0.90%	2.87%	-3.32%	-5.50%	-0.37%	0.72%	0.39%
2008	8	1.29%	$13,660	1.55%	4.76%	-4.25%	-6.32%	2.74%	1.53%	0.15%
2008	9	-3.75%	$13,147	-9.44%	-4.82%	-11.44%	-14.68%	1.47%	-0.14%	-10.73%
2008	10	-7.78%	$12,125	-16.52%	-19.86%	-20.83%	-25.58%	-1.86%	-0.87%	-1.95%
2008	11	3.65%	$12,568	-6.96%	-11.80%	-6.37%	-9.75%	14.34%	7.75%	3.35%
2008	12	7.60%	$13,523	0.98%	6.57%	8.88%	10.35%	13.64%	5.15%	13.80%
2009	1	-8.59%	$12,362	-8.21%	-13.94%	-13.73%	-9.29%	-13.07%	-3.89%	-1.80%
2009	2	-4.73%	$11,777	-10.74%	-13.03%	-10.39%	-6.27%	-1.54%	-0.74%	-5.20%
2009	3	5.61%	$12,438	8.35%	7.58%	8.39%	16.86%	4.04%	3.31%	0.47%
2009	4	1.80%	$12,662	9.93%	18.89%	11.52%	15.56%	-6.95%	-2.75%	2.78%
2009	5	1.20%	$12,814	5.85%	0.67%	13.19%	15.94%	-3.69%	-2.08%	2.32%
2009	6	0.07%	$12,823	-0.07%	1.52%	-1.43%	-2.25%	0.76%	-0.55%	2.89%
2009	7	3.86%	$13,319	7.46%	11.00%	10.04%	11.01%	0.58%	0.83%	4.63%
2009	8	2.06%	$13,593	3.69%	3.48%	4.50%	-1.31%	2.24%	0.77%	1.31%
2009	9	2.80%	$13,974	3.55%	4.21%	3.80%	10.20%	2.46%	1.12%	1.76%
2009	10	-1.83%	$13,719	-1.92%	-6.07%	-2.52%	-3.44%	-2.62%	-0.14%	-0.49%
2009	11	3.12%	$14,146	6.16%	2.90%	3.92%	7.85%	1.21%	2.02%	1.95%
2009	12	-2.20%	$13,834	1.91%	8.10%	0.70%	3.27%	-6.34%	-4.40%	-2.07%
2010	1	-0.02%	$13,832	-3.63%	-2.54%	-5.07%	-7.76%	2.69%	2.37%	1.25%
2010	2	1.05%	$13,976	3.12%	4.76%	0.27%	1.78%	-0.34%	0.33%	0.51%
2010	3	1.57%	$14,195	6.09%	7.80%	6.39%	8.11%	-2.06%	-1.06%	0.65%
2010	4	2.05%	$14,486	1.55%	6.63%	-2.80%	-0.17%	3.32%	1.65%	1.91%
2010	5	-0.92%	$14,354	-7.95%	-8.54%	-11.19%	-9.39%	5.11%	2.93%	-1.31%
2010	6	1.01%	$14,499	-5.17%	-8.27%	-2.07%	-1.40%	5.80%	3.05%	3.28%
2010	7	3.05%	$14,941	6.83%	6.71%	11.61%	10.93%	-0.95%	0.91%	2.11%
2010	8	1.81%	$15,211	-4.50%	-7.91%	-3.80%	-3.24%	8.40%	3.36%	2.86%
2010	9	2.88%	$15,650	8.96%	10.93%	9.97%	11.76%	-2.51%	-0.00%	0.46%
2010	10	0.09%	$15,664	3.82%	4.04%	3.81%	3.02%	-4.47%	-0.01%	-0.26%
2010	11	-1.09%	$15,493	0.00%	2.47%	-4.82%	-2.91%	-1.69%	-0.90%	-1.62%
2010	12	0.57%	$15,581	6.68%	8.97%	8.30%	7.27%	-3.68%	-3.43%	-0.75%
2011	1	-0.47%	$15,507	2.33%	-0.24%	2.10%	-3.84%	-3.08%	-0.02%	0.04%
2011	2	1.60%	$15,755	3.47%	4.21%	3.55%	-0.04%	1.65%	-0.21%	1.08%
2011	3	0.24%	$15,794	0.01%	2.21%	-2.39%	6.29%	0.03%	-0.15%	-0.54%
2011	4	2.44%	$16,179	2.90%	1.06%	5.63%	2.73%	2.34%	1.84%	2.50%
2011	5	1.20%	$16,372	-1.12%	-1.77%	-2.21%	-2.94%	3.42%	2.51%	1.27%
2011	6	-1.40%	$16,142	-1.69%	-1.59%	-1.19%	-0.93%	-2.33%	-0.51%	-0.80%
2011	7	1.58%	$16,398	-2.00%	-2.77%	-2.38%	-1.03%	4.42%	3.17%	2.43%
2011	8	1.66%	$16,670	-5.50%	-7.98%	-8.75%	-9.25%	9.66%	4.65%	0.34%
2011	9	0.96%	$16,830	-6.94%	-10.57%	-10.81%	-17.89%	13.20%	2.24%	0.35%
2011	10	3.08%	$17,348	10.91%	15.34%	9.63%	16.27%	-3.84%	-1.29%	2.51%
2011	11	0.31%	$17,402	-0.41%	0.63%	-2.18%	-1.96%	1.98%	0.58%	-3.16%
2011	12	1.75%	$17,706	1.04%	2.02%	-2.21%	-4.30%	3.44%	1.99%	3.49%
2012	1	2.49%	$18,146	4.64%	7.90%	5.27%	10.99%	-0.33%	0.86%	2.14%
2012	2	0.55%	$18,246	4.34%	1.71%	4.83%	5.27%	-2.59%	-1.10%	1.63%
2012	3	-1.04%	$18,056	3.22%	2.89%	0.42%	-3.11%	-4.23%	-1.59%	-1.42%
2012	4	1.75%	$18,371	-0.67%	-1.91%	-2.08%	-1.70%	4.83%	2.51%	1.08%
2012	5	0.70%	$18,500	-6.01%	-7.18%	-11.14%	-10.71%	9.03%	2.87%	0.76%
2012	6	1.16%	$18,714	4.05%	4.54%	7.11%	5.08%	-1.68%	-0.42%	0.87%
2012	7	1.90%	$19,070	1.18%	-0.69%	0.08%	-0.03%	3.82%	1.40%	3.48%
2012	8	0.52%	$19,168	2.51%	4.08%	3.20%	0.41%	-1.32%	-0.12%	-0.05%
2012	9	0.34%	$19,233	2.54%	3.14%	2.71%	5.22%	-2.53%	-0.35%	1.10%
2012	10	-0.65%	$19,108	-1.82%	-1.96%	1.09%	-0.44%	-0.48%	-0.40%	1.35%
2012	11	1.09%	$19,316	0.57%	1.65%	2.78%	1.56%	1.38%	0.98%	-0.42%
2012	12	-0.07%	$19,302	0.90%	3.55%	4.37%	6.80%	-2.49%	-0.94%	-0.33%
2013	1	0.19%	$19,339	5.12%	5.35%	3.73%	-0.29%	-3.19%	-1.29%	-1.30%
2013	2	0.92%	$19,518	1.28%	1.63%	-1.29%	-2.28%	1.24%	1.13%	1.08%
2013	3	1.01%	$19,714	3.80%	4.11%	1.31%	-1.02%	-0.42%	0.29%	-0.05%
2013	4	2.63%	$20,232	1.92%	0.12%	5.02%	1.22%	4.68%	1.52%	2.17%
2013	5	-2.67%	$19,691	2.36%	4.29%	-3.02%	-4.83%	-6.76%	-3.11%	-3.22%
2013	6	-2.55%	$19,188	-1.34%	-0.14%	-2.70%	-5.35%	-3.27%	-2.55%	-3.27%
2013	7	1.09%	$19,397	5.17%	6.56%	5.32%	1.32%	-2.26%	-0.35%	1.11%
2013	8	-1.90%	$19,029	-3.00%	-3.41%	-1.96%	-2.54%	-1.34%	-1.42%	-1.00%
2013	9	2.54%	$19,513	3.17%	6.59%	7.82%	7.21%	0.66%	1.85%	0.74%
2013	10	2.28%	$19,958	4.63%	3.48%	3.26%	4.17%	1.43%	0.78%	1.81%
2013	11	-0.17%	$19,925	2.96%	4.25%	0.55%	-0.26%	-2.70%	-0.88%	-0.14%
2013	12	-0.43%	$19,839	2.59%	1.29%	2.16%	-0.42%	-1.87%	-2.09%	0.22%
2014	1	1.17%	$20,070	-3.52%	-3.51%	-5.20%	-8.64%	6.30%	3.06%	1.88%
2014	2	2.00%	$20,473	4.55%	4.63%	6.13%	3.38%	0.52%	0.36%	1.14%
2014	3	0.45%	$20,566	0.83%	1.34%	-0.46%	3.88%	0.73%	-0.56%	-0.03%
2014	4	1.05%	$20,781	0.70%	-2.29%	1.67%	0.78%	2.10%	0.76%	1.33%
2014	5	2.22%	$21,242	2.32%	0.62%	1.60%	2.95%	2.95%	1.82%	1.51%
2014	6	0.67%	$21,385	2.06%	3.85%	0.92%	2.40%	-0.25%	-0.22%	0.01%
2014	7	-0.50%	$21,278	-1.34%	-5.07%	-2.60%	1.36%	0.67%	-0.22%	-0.32%
2014	8	3.23%	$21,965	3.95%	4.46%	0.18%	2.83%	4.72%	1.88%	2.00%
2014	9	-2.17%	$21,488	-1.38%	-5.94%	-3.88%	-7.77%	-2.11%	-1.05%	-1.68%
2014	10	2.24%	$21,970	2.36%	7.13%	-0.27%	1.42%	2.81%	1.53%	1.23%
2014	11	1.82%	$22,369	2.75%	0.48%	0.06%	-1.54%	2.97%	1.29%	0.91%
2014	12	0.63%	$22,511	-0.26%	2.56%	-4.00%	-3.99%	3.25%	0.13%	-0.02%
2015	1	3.35%	$23,264	-2.96%	-5.32%	0.62%	-0.69%	9.82%	4.30%	3.75%
2015	2	-0.50%	$23,147	5.62%	5.86%	6.34%	4.41%	-6.14%	-2.47%	-1.42%
2015	3	0.14%	$23,180	-1.57%	1.03%	-1.43%	-1.50%	1.10%	0.86%	0.20%
2015	4	-0.57%	$23,047	0.98%	-1.82%	3.65%	6.85%	-3.43%	-0.63%	-1.19%
2015	5	-0.73%	$22,878	1.29%	0.75%	0.20%	-4.10%	-2.37%	-0.42%	-1.12%
2015	6	-2.46%	$22,316	-2.03%	0.42%	-3.12%	-2.93%	-4.07%	-1.63%	-1.88%
2015	7	1.93%	$22,746	2.26%	-2.70%	2.03%	-6.31%	4.55%	1.52%	0.83%
2015	8	-2.58%	$22,160	-6.10%	-4.62%	-7.43%	-8.84%	-0.69%	0.08%	-0.83%
2015	9	-0.03%	$22,154	-2.54%	-3.77%	-4.42%	-3.13%	1.97%	1.58%	1.19%
2015	10	2.54%	$22,717	8.51%	6.57%	6.61%	6.38%	-0.41%	-0.64%	0.57%
2015	11	-0.34%	$22,639	0.37%	2.47%	-0.75%	-2.52%	-0.87%	-0.43%	-0.15%
2015	12	-1.21%	$22,365	-1.72%	-5.08%	-2.34%	-3.83%	-0.30%	-0.45%	-1.08%
2016	1	0.69%	$22,518	-4.98%	-5.85%	-5.52%	-5.03%	5.57%	3.33%	0.12%
2016	2	1.25%	$22,800	-0.08%	2.08%	-3.33%	-0.82%	3.09%	1.49%	1.05%
2016	3	3.04%	$23,494	6.72%	9.41%	6.58%	12.96%	-0.09%	-0.06%	3.62%
2016	4	0.15%	$23,528	0.39%	2.13%	2.22%	0.41%	-0.74%	-0.16%	1.55%
2016	5	0.38%	$23,616	1.70%	0.44%	-0.09%	-3.69%	0.81%	-0.10%	-0.51%
2016	6	3.27%	$24,388	0.35%	0.83%	-2.42%	4.56%	6.93%	3.09%	3.09%
2016	7	2.24%	$24,936	3.65%	5.06%	3.98%	5.38%	2.10%	0.25%	1.29%
2016	8	-0.43%	$24,829	0.12%	1.13%	0.53%	0.88%	-1.01%	-1.01%	0.18%
2016	9	-0.13%	$24,796	0.01%	0.87%	1.34%	2.52%	-1.51%	0.24%	-0.32%
2016	10	-2.48%	$24,181	-1.73%	-3.74%	-2.22%	-0.83%	-4.38%	-1.49%	-1.53%
2016	11	-2.60%	$23,552	3.68%	13.34%	-1.78%	-4.42%	-8.21%	-4.23%	-3.17%
2016	12	0.60%	$23,693	2.03%	3.20%	2.71%	-0.25%	-0.46%	-0.12%	0.84%
2017	1	1.13%	$23,961	1.79%	-1.21%	3.29%	6.66%	0.81%	0.22%	0.15%
2017	2	1.80%	$24,392	3.93%	1.35%	1.19%	1.74%	1.59%	0.72%	1.32%
2017	3	0.17%	$24,432	0.13%	-0.65%	3.23%	3.69%	-0.65%	0.08%	-0.29%
2017	4	1.28%	$24,746	0.99%	0.51%	2.42%	1.70%	1.57%	1.11%	1.19%
2017	5	1.36%	$25,083	1.41%	-2.26%	3.54%	2.85%	1.89%	0.83%	1.33%
2017	6	0.44%	$25,194	0.64%	2.96%	0.31%	0.93%	0.79%	-0.51%	0.48%
2017	7	0.87%	$25,414	2.06%	0.75%	2.65%	5.82%	-0.66%	0.38%	0.77%
2017	8	1.48%	$25,790	0.29%	-2.72%	-0.04%	2.35%	3.41%	1.46%	0.68%
2017	9	-0.11%	$25,761	2.01%	8.58%	2.36%	-0.04%	-2.32%	-1.44%	-0.05%
2017	10	0.73%	$25,949	2.36%	0.59%	1.68%	3.28%	-0.04%	-0.19%	0.19%
2017	11	0.99%	$26,205	3.06%	3.76%	0.69%	-0.39%	0.74%	-0.28%	-0.12%
2017	12	1.13%	$26,500	1.21%	-0.37%	1.35%	3.77%	1.81%	0.18%	1.22%
2018	1	0.32%	$26,587	5.64%	1.33%	5.02%	8.30%	-3.26%	-2.15%	-1.23%
2018	2	-2.78%	$25,848	-3.64%	-4.04%	-4.83%	-5.90%	-3.04%	-0.93%	-2.24%
2018	3	0.64%	$26,014	-2.74%	1.37%	-0.84%	0.54%	2.86%	1.16%	0.56%
2018	4	-0.92%	$25,775	0.52%	1.76%	1.52%	-2.82%	-2.09%	-1.28%	-1.57%
2018	5	1.48%	$26,158	2.43%	5.87%	-1.89%	-2.62%	2.01%	0.99%	0.52%
2018	6	0.08%	$26,178	0.58%	0.80%	-1.57%	-4.54%	0.65%	0.20%	-0.49%
2018	7	0.75%	$26,376	3.70%	2.62%	2.85%	3.53%	-1.44%	-0.53%	1.34%
2018	8	1.23%	$26,699	3.19%	3.14%	-2.24%	-3.77%	1.31%	1.01%	0.02%
2018	9	-1.18%	$26,383	0.59%	-3.05%	0.97%	-0.58%	-2.86%	-1.20%	-0.14%
2018	10	-3.86%	$25,364	-6.91%	-9.94%	-8.13%	-8.76%	-2.93%	-0.30%	-2.05%
2018	11	1.59%	$25,767	1.85%	0.57%	0.50%	4.90%	1.79%	1.33%	-0.36%
2018	12	-0.38%	$25,670	-8.79%	-12.38%	-5.35%	-3.50%	5.85%	2.80%	1.86%
2019	1	3.67%	$26,612	8.01%	12.26%	6.63%	10.34%	0.38%	0.65%	3.37%
2019	2	0.40%	$26,719	3.24%	4.13%	2.54%	-1.53%	-1.38%	-0.52%	-0.20%
2019	3	2.82%	$27,473	1.81%	-3.91%	0.92%	1.13%	5.57%	2.66%	2.93%
2019	4	0.67%	$27,656	4.09%	4.32%	2.93%	2.35%	-1.99%	-0.52%	0.44%
2019	5	0.44%	$27,777	-6.38%	-9.98%	-5.03%	-7.33%	6.84%	3.05%	1.65%
2019	6	3.29%	$28,691	6.96%	7.66%	5.91%	6.20%	0.95%	1.22%	3.25%
2019	7	0.26%	$28,766	1.51%	1.30%	-1.95%	-2.66%	0.26%	0.04%	0.25%
2019	8	3.60%	$29,802	-1.67%	-5.14%	-1.92%	-3.78%	11.04%	3.95%	3.88%
2019	9	-0.21%	$29,740	1.95%	5.57%	3.16%	1.69%	-2.68%	-1.19%	-0.76%
2019	10	0.72%	$29,954	2.21%	2.00%	3.39%	4.18%	-1.11%	0.19%	0.44%
2019	11	0.67%	$30,156	3.62%	2.71%	1.13%	-0.09%	-0.41%	-0.69%	0.47%
2019	12	0.15%	$30,201	2.90%	2.84%	2.98%	7.71%	-3.20%	-0.93%	0.53%
2020	1	2.57%	$30,977	-0.04%	-6.31%	-2.82%	-6.15%	7.69%	3.47%	2.45%
2020	2	0.02%	$30,983	-7.92%	-10.15%	-7.77%	-3.78%	6.63%	2.96%	1.09%
2020	3	-2.87%	$30,092	-12.46%	-25.76%	-14.11%	-15.77%	6.38%	3.72%	-6.31%
2020	4	4.77%	$31,529	12.70%	13.89%	5.82%	7.35%	1.22%	0.27%	4.85%
2020	5	1.30%	$31,939	4.76%	2.55%	5.43%	2.97%	-1.76%	0.33%	2.46%
2020	6	1.28%	$32,350	1.78%	3.58%	3.51%	6.61%	0.34%	0.04%	2.13%

Portfolio return and risk metrics
Metric	Maximum Sharpe Ratio
Arithmetic Mean (monthly)	0.61%
Arithmetic Mean (annualized)	7.62%
Geometric Mean (monthly)	0.59%
Geometric Mean (annualized)	7.37%
Volatility (monthly)	1.94%
Volatility (annualized)	6.71%
Downside Deviation (monthly)	1.25%
Max. Drawdown	-15.91%
US Market Correlation	0.58
Beta^(*)	0.26
Alpha (annualized)	4.88%
R²	33.20%
Sharpe Ratio	0.90
Sortino Ratio	1.37
Treynor Ratio (%)	23.16
Calmar Ratio	1.74
Active Return	-1.33%
Tracking Error	12.18%
Information Ratio	-0.11
Skewness	-0.95
Excess Kurtosis	4.41
Historical Value-at-Risk (5%)	-2.60%
Analytical Value-at-Risk (5%)	-2.57%
Conditional Value-at-Risk (5%)	-4.62%
Upside Capture Ratio (%)	36.03
Downside Capture Ratio (%)	14.68
Safe Withdrawal Rate	8.97%
Perpetual Withdrawal Rate	5.14%
Positive Periods	141 out of 198 (71.21%)
Gain/Loss Ratio	0.95
^* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	Maximum Sharpe Ratio
Subprime Crisis	Nov 2007	Mar 2009	-15.91%

Drawdowns for Maximum Sharpe Ratio

Drawdowns for Maximum Sharpe Ratio (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Dec 2007	Feb 2009	1 year 3 months	Nov 2009	9 months	2 years	-15.91%
2	May 2013	Aug 2013	4 months	Feb 2014	6 months	10 months	-5.95%
3	Aug 2016	Nov 2016	4 months	May 2017	6 months	10 months	-5.55%
4	Sep 2018	Oct 2018	2 months	Feb 2019	4 months	6 months	-5.00%
5	Feb 2015	Sep 2015	8 months	Mar 2016	6 months	1 year 2 months	-4.77%
6	Apr 2004	Apr 2004	1 month	Sep 2004	5 months	6 months	-4.53%
7	Sep 2005	Oct 2005	2 months	Dec 2005	2 months	4 months	-3.07%
8	Feb 2018	Apr 2018	3 months	Aug 2018	4 months	7 months	-3.05%
9	Mar 2020	Mar 2020	1 month	Apr 2020	1 month	2 months	-2.87%
10	Mar 2006	May 2006	3 months	Aug 2006	3 months	6 months	-2.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
SPY	SPDR S&P 500 ETF Trust	8.52%	14.17%	32.31%	-36.81%	-50.80%	0.56	0.80	1.00
IJS	iShares S&P Small-Cap 600 Value ETF	7.02%	19.84%	39.34%	-29.39%	-54.13%	0.38	0.53	0.91
EFA	iShares MSCI EAFE ETF	4.61%	16.85%	26.95%	-41.04%	-57.38%	0.28	0.38	0.88
EEM	iShares MSCI Emerging Markets ETF	6.84%	22.04%	68.93%	-48.88%	-60.44%	0.35	0.53	0.79
TLT	iShares 20+ Year Treasury Bond ETF	7.64%	13.01%	33.96%	-21.80%	-21.80%	0.53	0.93	-0.33
IEF	iShares 7-10 Year Treasury Bond ETF	5.13%	6.16%	17.91%	-6.59%	-7.60%	0.63	1.10	-0.32
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	5.55%	7.20%	17.37%	-3.79%	-15.11%	0.60	0.97	0.32

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	SPY	IJS	EFA	EEM	TLT	IEF	LQD	Maximum Sharpe Ratio
SPY	SPDR S&P 500 ETF Trust	1.00	0.89	0.88	0.78	-0.32	-0.31	0.32	0.58
IJS	iShares S&P Small-Cap 600 Value ETF	0.89	1.00	0.77	0.70	-0.36	-0.37	0.25	0.48
EFA	iShares MSCI EAFE ETF	0.88	0.77	1.00	0.88	-0.26	-0.24	0.39	0.60
EEM	iShares MSCI Emerging Markets ETF	0.78	0.70	0.88	1.00	-0.24	-0.19	0.36	0.57
TLT	iShares 20+ Year Treasury Bond ETF	-0.32	-0.36	-0.26	-0.24	1.00	0.91	0.49	0.55
IEF	iShares 7-10 Year Treasury Bond ETF	-0.31	-0.37	-0.24	-0.19	0.91	1.00	0.51	0.54
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	0.32	0.25	0.39	0.36	0.49	0.51	1.00	0.76

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Maximum Sharpe Ratio
SPY	SPDR S&P 500 ETF Trust	26.51%
IJS	iShares S&P Small-Cap 600 Value ETF	7.08%
EFA	iShares MSCI EAFE ETF	7.53%
EEM	iShares MSCI Emerging Markets ETF	9.39%
TLT	iShares 20+ Year Treasury Bond ETF	30.42%
IEF	iShares 7-10 Year Treasury Bond ETF	15.01%
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	4.06%

Annual Asset Returns

Rolling returns summary
Roll Period	Average	High	Low
1 year	7.32%	17.65%	-3.13%
3 years	6.84%	11.74%	2.85%
5 years	6.67%	10.23%	4.75%
7 years	7.00%	7.99%	5.45%
10 years	7.00%	8.12%	6.42%
15 years	6.74%	6.99%	6.49%
Result statistics are based on annualized rolling returns over full calendar year periods