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
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 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

Browse…

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 - Dec 2020)

Note: The time period was constrained by the available data for iShares MSCI Emerging Markets ETF (EEM) [May 2003 - Dec 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 7.33% to 9.82%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Sharpe Ratio
Ticker	Name	Allocation
SPY	SPDR S&P 500 ETF Trust	23.79%
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	26.26%
IEF	iShares 7-10 Year Treasury Bond ETF	29.95%
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	$35,163
CAGR	7.68%
Expected Return	7.93%
Stdev	6.83%
Best Year	18.00%
Worst Year	-4.28%
Max. Drawdown	-17.31%
Sharpe Ratio (ex-ante)	0.98
Sharpe Ratio (ex-post)	0.93
Sortino Ratio	1.44
US Stock Market Correlation	0.64

Trailing Returns

Trailing Returns
Name	Annualized Return						Annualized Volatility
Name	3 Month	1 year	3 year	5 year	10 year	Full	3 year	5 year
Maximum Sharpe Ratio	5.02%	15.50%	9.68%	9.45%	8.51%	7.68%	7.25%	6.27%
Trailing annualized return and volatility are for full months ending in December 2020 excluding portfolio cashflows.

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
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	9.55%	10.69%	14.39%	0.655	5.00%	40.00%
2	iShares S&P Small-Cap 600 Value ETF (IJS)	Equity	8.74%	11.01%	20.21%	0.482	5.00%	20.00%
3	iShares MSCI EAFE ETF (EFA)	Equity	5.65%	7.21%	17.05%	0.349	5.00%	30.00%
4	iShares MSCI Emerging Markets ETF (EEM)	Equity	8.32%	10.96%	21.94%	0.442	5.00%	15.00%
5	iShares 20+ Year Treasury Bond ETF (TLT)	Fixed Income	7.22%	8.10%	12.98%	0.527	5.00%	30.00%
6	iShares 7-10 Year Treasury Bond ETF (IEF)	Fixed Income	4.91%	5.10%	6.10%	0.629	5.00%	30.00%
7	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)	Fixed Income	5.64%	5.91%	7.20%	0.646	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 (1.26% 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	-0.31	-0.30	0.33
iShares S&P Small-Cap 600 Value ETF	IJS	0.89	1.00	0.78	0.70	-0.35	-0.36	0.26
iShares MSCI EAFE ETF	EFA	0.88	0.78	1.00	0.87	-0.25	-0.23	0.40
iShares MSCI Emerging Markets ETF	EEM	0.78	0.70	0.87	1.00	-0.23	-0.19	0.37
iShares 20+ Year Treasury Bond ETF	TLT	-0.31	-0.35	-0.25	-0.23	1.00	0.91	0.50
iShares 7-10 Year Treasury Bond ETF	IEF	-0.30	-0.36	-0.23	-0.19	0.91	1.00	0.51
iShares iBoxx $ Invmt Grade Corp Bd ETF	LQD	0.33	0.26	0.40	0.37	0.50	0.51	1.00
Based on monthly returns from Jan 2004 to Dec 2020

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	13.20%	5.00%	5.00%	5.00%	21.80%	30.00%	20.00%	7.33%	6.48%	0.936
2	14.18%	5.00%	5.00%	5.00%	20.82%	30.00%	20.00%	7.35%	6.48%	0.940
3	14.95%	5.00%	5.00%	5.00%	20.29%	30.00%	19.76%	7.38%	6.49%	0.942
4	15.31%	5.00%	5.00%	5.00%	20.66%	30.00%	19.03%	7.40%	6.51%	0.944
5	15.66%	5.00%	5.00%	5.00%	21.04%	30.00%	18.30%	7.43%	6.52%	0.946
6	16.02%	5.00%	5.00%	5.00%	21.41%	30.00%	17.57%	7.45%	6.53%	0.948
7	16.37%	5.00%	5.00%	5.00%	21.78%	30.00%	16.85%	7.48%	6.54%	0.950
8	16.73%	5.00%	5.00%	5.00%	22.15%	30.00%	16.12%	7.50%	6.56%	0.952
9	17.08%	5.00%	5.00%	5.00%	22.53%	30.00%	15.39%	7.53%	6.57%	0.953
10	17.44%	5.00%	5.00%	5.00%	22.90%	30.00%	14.66%	7.55%	6.58%	0.955
11	17.79%	5.00%	5.00%	5.00%	23.27%	30.00%	13.93%	7.58%	6.60%	0.957
12	18.15%	5.00%	5.00%	5.00%	23.65%	30.00%	13.21%	7.60%	6.61%	0.959
13	18.50%	5.00%	5.00%	5.00%	24.02%	30.00%	12.48%	7.63%	6.63%	0.960
14	18.86%	5.00%	5.00%	5.00%	24.39%	30.00%	11.75%	7.65%	6.64%	0.962
15	19.21%	5.00%	5.00%	5.00%	24.76%	30.00%	11.02%	7.68%	6.66%	0.964
16	19.57%	5.00%	5.00%	5.00%	25.14%	30.00%	10.30%	7.70%	6.67%	0.965
17	19.92%	5.00%	5.00%	5.00%	25.51%	30.00%	9.57%	7.73%	6.69%	0.967
18	20.28%	5.00%	5.00%	5.00%	25.88%	30.00%	8.84%	7.75%	6.71%	0.968
19	20.63%	5.00%	5.00%	5.00%	26.25%	30.00%	8.11%	7.78%	6.72%	0.969
20	20.99%	5.00%	5.00%	5.00%	26.63%	30.00%	7.38%	7.80%	6.74%	0.971
21	21.34%	5.00%	5.00%	5.00%	27.00%	30.00%	6.66%	7.83%	6.75%	0.972
22	21.70%	5.00%	5.00%	5.00%	27.37%	30.00%	5.93%	7.85%	6.77%	0.973
23	22.05%	5.00%	5.00%	5.00%	27.75%	30.00%	5.20%	7.88%	6.79%	0.975
24	22.86%	5.00%	5.00%	5.00%	27.14%	30.00%	5.00%	7.90%	6.81%	0.976
25	23.79%	5.00%	5.00%	5.00%	26.26%	29.95%	5.00%	7.93%	6.83%	0.976
26	23.98%	5.00%	5.00%	5.00%	26.73%	29.29%	5.00%	7.95%	6.86%	0.975
27	24.18%	5.00%	5.00%	5.00%	27.19%	28.63%	5.00%	7.98%	6.89%	0.975
28	24.38%	5.00%	5.00%	5.00%	27.65%	27.97%	5.00%	8.00%	6.92%	0.974
29	24.58%	5.00%	5.00%	5.00%	28.12%	27.31%	5.00%	8.03%	6.95%	0.974
30	24.78%	5.00%	5.00%	5.00%	28.58%	26.64%	5.00%	8.05%	6.98%	0.974
31	24.97%	5.00%	5.00%	5.00%	29.04%	25.98%	5.00%	8.08%	7.01%	0.973
32	25.17%	5.00%	5.00%	5.00%	29.51%	25.32%	5.00%	8.10%	7.04%	0.973
33	25.37%	5.00%	5.00%	5.00%	29.97%	24.66%	5.00%	8.13%	7.06%	0.972
34	25.80%	5.00%	5.00%	5.00%	30.00%	24.20%	5.00%	8.15%	7.09%	0.972
35	26.25%	5.00%	5.00%	5.00%	30.00%	23.75%	5.00%	8.18%	7.12%	0.971
36	26.70%	5.00%	5.00%	5.00%	30.00%	23.30%	5.00%	8.20%	7.15%	0.970
37	27.15%	5.00%	5.00%	5.00%	30.00%	22.85%	5.00%	8.23%	7.19%	0.970
38	27.60%	5.00%	5.00%	5.00%	30.00%	22.40%	5.00%	8.25%	7.22%	0.969
39	28.05%	5.00%	5.00%	5.00%	30.00%	21.95%	5.00%	8.28%	7.25%	0.968
40	28.50%	5.00%	5.00%	5.00%	30.00%	21.50%	5.00%	8.30%	7.29%	0.967
41	28.95%	5.00%	5.00%	5.00%	30.00%	21.05%	5.00%	8.33%	7.32%	0.966
42	29.40%	5.00%	5.00%	5.00%	30.00%	20.60%	5.00%	8.36%	7.35%	0.965
43	29.85%	5.00%	5.00%	5.00%	30.00%	20.15%	5.00%	8.38%	7.39%	0.963
44	30.29%	5.00%	5.00%	5.00%	30.00%	19.71%	5.00%	8.41%	7.43%	0.962
45	30.74%	5.00%	5.00%	5.00%	30.00%	19.26%	5.00%	8.43%	7.46%	0.961
46	31.19%	5.00%	5.00%	5.00%	30.00%	18.81%	5.00%	8.46%	7.50%	0.959
47	31.64%	5.00%	5.00%	5.00%	30.00%	18.36%	5.00%	8.48%	7.54%	0.958
48	32.09%	5.00%	5.00%	5.00%	30.00%	17.91%	5.00%	8.51%	7.58%	0.956
49	32.54%	5.00%	5.00%	5.00%	30.00%	17.46%	5.00%	8.53%	7.62%	0.955
50	32.99%	5.00%	5.00%	5.00%	30.00%	17.01%	5.00%	8.56%	7.66%	0.953
51	33.44%	5.00%	5.00%	5.00%	30.00%	16.56%	5.00%	8.58%	7.70%	0.951
52	33.89%	5.00%	5.00%	5.00%	30.00%	16.11%	5.00%	8.61%	7.74%	0.949
53	34.34%	5.00%	5.00%	5.00%	30.00%	15.66%	5.00%	8.63%	7.78%	0.948
54	34.79%	5.00%	5.00%	5.00%	30.00%	15.21%	5.00%	8.66%	7.82%	0.946
55	35.24%	5.00%	5.00%	5.00%	30.00%	14.76%	5.00%	8.68%	7.86%	0.944
56	35.69%	5.00%	5.00%	5.00%	30.00%	14.31%	5.00%	8.71%	7.91%	0.942
57	36.13%	5.00%	5.00%	5.00%	30.00%	13.87%	5.00%	8.73%	7.95%	0.940
58	36.58%	5.00%	5.00%	5.00%	30.00%	13.42%	5.00%	8.76%	8.00%	0.938
59	37.03%	5.00%	5.00%	5.00%	30.00%	12.97%	5.00%	8.79%	8.04%	0.936
60	37.48%	5.00%	5.00%	5.00%	30.00%	12.52%	5.00%	8.81%	8.09%	0.934
61	37.93%	5.00%	5.00%	5.00%	30.00%	12.07%	5.00%	8.84%	8.13%	0.932
62	38.38%	5.00%	5.00%	5.00%	30.00%	11.62%	5.00%	8.86%	8.18%	0.929
63	38.83%	5.00%	5.00%	5.00%	30.00%	11.17%	5.00%	8.89%	8.22%	0.927
64	39.28%	5.00%	5.00%	5.00%	30.00%	10.72%	5.00%	8.91%	8.27%	0.925
65	39.73%	5.00%	5.00%	5.00%	30.00%	10.27%	5.00%	8.94%	8.32%	0.923
66	40.00%	5.17%	5.00%	5.00%	30.00%	9.83%	5.00%	8.96%	8.37%	0.920
67	40.00%	5.59%	5.00%	5.00%	30.00%	9.41%	5.00%	8.99%	8.43%	0.917
68	40.00%	6.02%	5.00%	5.00%	30.00%	8.98%	5.00%	9.01%	8.49%	0.914
69	40.00%	6.45%	5.00%	5.00%	30.00%	8.55%	5.00%	9.04%	8.55%	0.910
70	40.00%	6.87%	5.00%	5.00%	30.00%	8.13%	5.00%	9.06%	8.60%	0.907
71	40.00%	7.30%	5.00%	5.00%	30.00%	7.70%	5.00%	9.09%	8.66%	0.904
72	40.00%	7.72%	5.00%	5.00%	30.00%	7.28%	5.00%	9.11%	8.73%	0.900
73	40.00%	8.15%	5.00%	5.00%	30.00%	6.85%	5.00%	9.14%	8.79%	0.897
74	40.00%	8.57%	5.00%	5.00%	30.00%	6.43%	5.00%	9.17%	8.85%	0.893
75	40.00%	9.00%	5.00%	5.00%	30.00%	6.00%	5.00%	9.19%	8.91%	0.890
76	40.00%	9.43%	5.00%	5.00%	30.00%	5.57%	5.00%	9.22%	8.98%	0.886
77	40.00%	9.85%	5.00%	5.00%	30.00%	5.15%	5.00%	9.24%	9.04%	0.883
78	40.00%	10.57%	5.00%	5.00%	29.43%	5.00%	5.00%	9.27%	9.14%	0.876
79	40.00%	11.44%	5.00%	5.00%	28.56%	5.00%	5.00%	9.29%	9.27%	0.866
80	40.00%	12.32%	5.00%	5.00%	27.68%	5.00%	5.00%	9.32%	9.40%	0.857
81	40.00%	13.20%	5.00%	5.00%	26.80%	5.00%	5.00%	9.34%	9.54%	0.847
82	40.00%	14.07%	5.00%	5.00%	25.93%	5.00%	5.00%	9.37%	9.68%	0.837
83	40.00%	14.95%	5.00%	5.00%	25.05%	5.00%	5.00%	9.39%	9.83%	0.828
84	40.00%	15.82%	5.00%	5.00%	24.18%	5.00%	5.00%	9.42%	9.98%	0.818
85	40.00%	16.70%	5.00%	5.00%	23.30%	5.00%	5.00%	9.45%	10.13%	0.808
86	40.00%	17.57%	5.00%	5.00%	22.43%	5.00%	5.00%	9.47%	10.28%	0.798
87	40.00%	18.39%	5.00%	5.06%	21.55%	5.00%	5.00%	9.50%	10.44%	0.789
88	40.00%	18.90%	5.00%	5.44%	20.67%	5.00%	5.00%	9.52%	10.60%	0.779
89	40.00%	19.41%	5.00%	5.81%	19.79%	5.00%	5.00%	9.55%	10.77%	0.770
90	40.00%	19.92%	5.00%	6.18%	18.91%	5.00%	5.00%	9.57%	10.93%	0.760
91	40.00%	20.00%	5.00%	6.98%	18.02%	5.00%	5.00%	9.60%	11.10%	0.751
92	40.00%	20.00%	5.00%	7.87%	17.13%	5.00%	5.00%	9.62%	11.28%	0.742
93	40.00%	20.00%	5.00%	8.77%	16.23%	5.00%	5.00%	9.65%	11.45%	0.733
94	40.00%	20.00%	5.00%	9.66%	15.34%	5.00%	5.00%	9.67%	11.63%	0.724
95	40.00%	20.00%	5.00%	10.55%	14.45%	5.00%	5.00%	9.70%	11.81%	0.715
96	40.00%	20.00%	5.00%	11.44%	13.56%	5.00%	5.00%	9.73%	11.99%	0.706
97	40.00%	20.00%	5.00%	12.33%	12.67%	5.00%	5.00%	9.75%	12.18%	0.697
98	40.00%	20.00%	5.00%	13.22%	11.78%	5.00%	5.00%	9.78%	12.37%	0.689
99	40.00%	20.00%	5.00%	14.11%	10.89%	5.00%	5.00%	9.80%	12.56%	0.680
100	40.00%	20.00%	5.00%	15.00%	10.00%	5.00%	5.00%	9.83%	12.75%	0.672
^*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 (1.26% 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%	9.72%	$10,972	10.70%	22.60%	18.95%	24.63%	8.71%	4.12%	5.72%
2005	3.42%	6.98%	$11,738	4.83%	6.00%	13.32%	32.62%	8.61%	2.64%	1.16%
2006	2.54%	8.62%	$12,750	15.85%	19.37%	25.81%	31.19%	0.71%	2.52%	4.22%
2007	4.08%	9.25%	$13,930	5.14%	-5.56%	9.94%	33.31%	10.29%	10.37%	3.73%
2008	0.09%	-4.28%	$13,334	-36.81%	-29.39%	-41.04%	-48.88%	33.93%	17.91%	2.40%
2009	2.72%	3.34%	$13,779	26.36%	22.36%	26.95%	68.93%	-21.80%	-6.59%	8.46%
2010	1.50%	12.76%	$15,537	15.06%	24.69%	8.15%	16.51%	9.05%	9.37%	9.33%
2011	2.96%	12.98%	$17,554	1.89%	-1.65%	-12.25%	-18.82%	33.96%	15.64%	9.73%
2012	1.74%	9.29%	$19,185	15.99%	18.24%	18.82%	19.10%	2.63%	3.66%	10.58%
2013	1.50%	3.71%	$19,896	32.31%	39.34%	21.40%	-3.69%	-13.37%	-6.09%	-2.00%
2014	0.76%	13.20%	$22,522	13.46%	7.56%	-6.20%	-3.93%	27.30%	9.07%	8.21%
2015	0.73%	-0.58%	$22,391	1.25%	-6.90%	-1.00%	-16.18%	-1.79%	1.51%	-1.25%
2016	2.07%	6.17%	$23,772	12.00%	31.25%	1.37%	10.87%	1.18%	1.00%	6.21%
2017	2.11%	12.11%	$26,651	21.70%	11.35%	25.10%	37.28%	9.18%	2.55%	7.06%
2018	1.91%	-3.19%	$25,801	-4.56%	-12.84%	-13.81%	-15.31%	-1.61%	0.99%	-3.79%
2019	2.29%	18.00%	$30,445	31.22%	24.12%	22.03%	18.20%	14.12%	8.03%	17.37%
2020	1.27%	15.50%	$35,163	18.37%	2.63%	7.59%	17.03%	18.15%	10.01%	10.97%

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	1.92%	$10,356	1.36%	2.50%	2.30%	3.95%	2.28%	1.61%	1.51%
2004	3	0.62%	$10,420	-1.32%	1.82%	0.07%	0.55%	1.41%	1.30%	0.99%
2004	4	-4.44%	$9,957	-1.89%	-3.93%	-3.39%	-9.80%	-6.23%	-4.35%	-3.89%
2004	5	0.35%	$9,992	1.71%	1.58%	1.14%	1.17%	-0.26%	-0.53%	-0.52%
2004	6	1.40%	$10,132	1.85%	5.35%	3.35%	0.92%	1.06%	0.65%	0.13%
2004	7	-0.56%	$10,076	-3.22%	-4.75%	-4.27%	-3.64%	1.53%	1.21%	1.56%
2004	8	2.40%	$10,318	0.24%	0.24%	1.19%	3.53%	4.17%	2.83%	3.08%
2004	9	1.29%	$10,450	1.00%	4.69%	2.07%	6.98%	0.95%	0.32%	0.31%
2004	10	1.49%	$10,606	1.29%	0.95%	3.50%	2.85%	1.77%	0.99%	1.18%
2004	11	1.03%	$10,716	4.45%	9.11%	6.08%	9.95%	-2.39%	-1.98%	-1.22%
2004	12	2.39%	$10,972	3.02%	1.57%	4.80%	4.74%	2.66%	1.17%	1.39%
2005	1	0.44%	$11,020	-2.24%	-3.25%	-1.90%	-0.53%	3.57%	0.87%	1.23%
2005	2	0.47%	$11,073	2.09%	2.90%	3.78%	9.68%	-1.47%	-1.37%	-0.94%
2005	3	-1.38%	$10,919	-1.83%	-2.36%	-2.62%	-7.91%	-0.45%	-0.40%	-1.26%
2005	4	1.00%	$11,029	-1.87%	-5.12%	-1.62%	-1.25%	3.86%	2.52%	1.62%
2005	5	2.59%	$11,315	3.22%	6.16%	-0.86%	3.16%	3.14%	1.84%	0.62%
2005	6	1.27%	$11,459	0.15%	3.92%	1.43%	3.97%	2.16%	0.48%	1.22%
2005	7	0.15%	$11,477	3.83%	5.84%	3.00%	7.68%	-3.38%	-2.18%	-0.82%
2005	8	1.53%	$11,652	-0.94%	-1.87%	3.84%	1.32%	3.48%	2.00%	1.50%
2005	9	-0.76%	$11,564	0.80%	0.05%	3.69%	8.65%	-3.61%	-1.75%	-1.86%
2005	10	-2.25%	$11,304	-2.37%	-3.41%	-3.18%	-6.34%	-2.24%	-1.24%	-1.58%
2005	11	2.10%	$11,542	4.40%	4.91%	2.31%	5.79%	0.69%	0.63%	0.66%
2005	12	1.70%	$11,738	-0.19%	-1.06%	5.18%	6.10%	2.98%	1.37%	0.86%
2006	1	1.42%	$11,905	2.40%	8.75%	5.77%	14.20%	-1.34%	-0.70%	-0.44%
2006	2	0.22%	$11,931	0.57%	0.27%	-0.70%	-3.85%	1.11%	-0.10%	0.68%
2006	3	-0.75%	$11,842	1.65%	4.86%	4.01%	2.17%	-4.57%	-1.36%	-1.68%
2006	4	-0.05%	$11,836	1.26%	0.18%	4.79%	6.52%	-2.75%	-0.63%	-0.20%
2006	5	-1.78%	$11,625	-3.01%	-4.55%	-3.82%	-11.14%	-0.19%	-0.10%	-0.19%
2006	6	0.45%	$11,677	0.26%	0.04%	-0.06%	0.21%	1.18%	0.23%	-0.09%
2006	7	1.25%	$11,824	0.45%	-3.10%	0.81%	2.34%	2.16%	1.68%	1.46%
2006	8	2.30%	$12,096	2.18%	2.70%	2.55%	1.58%	3.06%	1.76%	2.22%
2006	9	1.58%	$12,287	2.70%	1.19%	0.22%	-0.87%	1.91%	1.21%	0.87%
2006	10	2.00%	$12,532	3.15%	5.52%	3.75%	7.06%	0.85%	0.54%	1.00%
2006	11	2.12%	$12,797	1.99%	2.38%	3.07%	5.98%	2.31%	1.31%	1.46%
2006	12	-0.37%	$12,750	1.34%	0.32%	3.20%	5.44%	-2.69%	-1.28%	-0.90%
2007	1	0.16%	$12,771	1.50%	2.14%	1.39%	0.11%	-1.00%	-0.40%	0.09%
2007	2	0.93%	$12,889	-1.96%	-0.92%	-0.12%	-3.24%	3.39%	2.06%	2.00%
2007	3	0.21%	$12,916	1.16%	0.91%	2.90%	5.33%	-1.70%	-0.14%	-0.68%
2007	4	1.98%	$13,173	4.43%	1.84%	3.75%	3.73%	0.90%	0.61%	0.89%
2007	5	0.32%	$13,215	3.39%	4.63%	2.36%	5.06%	-2.31%	-1.39%	-1.23%
2007	6	-0.74%	$13,118	-1.46%	-2.24%	-0.32%	3.68%	-1.01%	-0.47%	-0.81%
2007	7	0.37%	$13,166	-3.13%	-6.26%	-2.29%	0.71%	3.32%	2.26%	-0.82%
2007	8	1.66%	$13,384	1.28%	1.33%	-0.63%	1.04%	1.79%	2.26%	2.38%
2007	9	1.90%	$13,639	3.87%	0.31%	5.32%	11.57%	0.23%	0.09%	0.73%
2007	10	2.03%	$13,916	1.36%	1.06%	4.25%	11.87%	1.81%	1.08%	0.97%
2007	11	0.82%	$14,031	-3.87%	-7.15%	-3.62%	-7.65%	5.35%	4.04%	1.02%
2007	12	-0.72%	$13,930	-1.13%	-0.71%	-2.99%	-1.43%	-0.64%	0.05%	-0.81%
2008	1	-0.79%	$13,819	-6.05%	-4.00%	-7.85%	-8.92%	2.10%	3.36%	2.57%
2008	2	-0.52%	$13,748	-2.58%	-3.36%	-1.02%	1.99%	-0.46%	1.24%	-0.71%
2008	3	0.59%	$13,829	-0.90%	0.83%	0.42%	-3.75%	2.14%	1.34%	-0.60%
2008	4	0.68%	$13,924	4.77%	2.64%	5.44%	9.14%	-2.48%	-2.41%	1.25%
2008	5	-0.58%	$13,843	1.51%	3.92%	1.19%	3.16%	-2.69%	-1.78%	-2.21%
2008	6	-2.34%	$13,520	-8.35%	-8.41%	-8.80%	-9.29%	2.65%	1.14%	-1.29%
2008	7	-0.37%	$13,470	-0.90%	2.87%	-3.32%	-5.50%	-0.37%	0.72%	0.39%
2008	8	1.26%	$13,639	1.55%	4.76%	-4.25%	-6.32%	2.74%	1.53%	0.15%
2008	9	-3.98%	$13,096	-9.44%	-4.82%	-11.44%	-14.68%	1.47%	-0.14%	-10.73%
2008	10	-8.09%	$12,037	-16.52%	-19.86%	-20.83%	-25.58%	-1.86%	-0.87%	-1.95%
2008	11	3.20%	$12,422	-6.96%	-11.80%	-6.37%	-9.75%	14.34%	7.75%	3.35%
2008	12	7.34%	$13,334	0.98%	6.57%	8.88%	10.35%	13.64%	5.15%	13.80%
2009	1	-8.49%	$12,202	-8.21%	-13.94%	-13.73%	-9.29%	-13.07%	-3.89%	-1.80%
2009	2	-4.92%	$11,601	-10.74%	-13.03%	-10.39%	-6.27%	-1.54%	-0.74%	-5.20%
2009	3	5.70%	$12,263	8.35%	7.58%	8.39%	16.86%	4.04%	3.31%	0.47%
2009	4	2.15%	$12,527	9.93%	18.89%	11.52%	15.56%	-6.95%	-2.75%	2.78%
2009	5	1.40%	$12,703	5.85%	0.67%	13.19%	15.94%	-3.69%	-2.08%	2.32%
2009	6	0.05%	$12,710	-0.07%	1.52%	-1.43%	-2.25%	0.76%	-0.55%	2.89%
2009	7	4.01%	$13,219	7.46%	11.00%	10.04%	11.01%	0.58%	0.83%	4.63%
2009	8	2.09%	$13,496	3.69%	3.48%	4.50%	-1.31%	2.24%	0.77%	1.31%
2009	9	2.82%	$13,877	3.55%	4.21%	3.80%	10.20%	2.46%	1.12%	1.76%
2009	10	-1.81%	$13,626	-1.92%	-6.07%	-2.52%	-3.44%	-2.62%	-0.14%	-0.49%
2009	11	3.22%	$14,065	6.16%	2.90%	3.92%	7.85%	1.21%	2.02%	1.95%
2009	12	-2.03%	$13,779	1.91%	8.10%	0.70%	3.27%	-6.34%	-4.40%	-2.07%
2010	1	-0.15%	$13,758	-3.63%	-2.54%	-5.07%	-7.76%	2.69%	2.37%	1.25%
2010	2	1.12%	$13,912	3.12%	4.76%	0.27%	1.78%	-0.34%	0.33%	0.51%
2010	3	1.74%	$14,154	6.09%	7.80%	6.39%	8.11%	-2.06%	-1.06%	0.65%
2010	4	2.01%	$14,439	1.55%	6.63%	-2.80%	-0.17%	3.32%	1.65%	1.91%
2010	5	-1.19%	$14,267	-7.95%	-8.54%	-11.19%	-9.39%	5.11%	2.93%	-1.31%
2010	6	0.78%	$14,378	-5.17%	-8.27%	-2.07%	-1.40%	5.80%	3.05%	3.28%
2010	7	3.22%	$14,840	6.83%	6.71%	11.61%	10.93%	-0.95%	0.91%	2.11%
2010	8	1.54%	$15,068	-4.50%	-7.91%	-3.80%	-3.24%	8.40%	3.36%	2.86%
2010	9	3.13%	$15,539	8.96%	10.93%	9.97%	11.76%	-2.51%	-0.00%	0.46%
2010	10	0.26%	$15,580	3.82%	4.04%	3.81%	3.02%	-4.47%	-0.01%	-0.26%
2010	11	-1.06%	$15,416	0.00%	2.47%	-4.82%	-2.91%	-1.69%	-0.90%	-1.62%
2010	12	0.79%	$15,537	6.68%	8.97%	8.30%	7.27%	-3.68%	-3.43%	-0.75%
2011	1	-0.36%	$15,481	2.33%	-0.24%	2.10%	-3.84%	-3.08%	-0.02%	0.04%
2011	2	1.64%	$15,735	3.47%	4.21%	3.55%	-0.04%	1.65%	-0.21%	1.08%
2011	3	0.24%	$15,773	0.01%	2.21%	-2.39%	6.29%	0.03%	-0.15%	-0.54%
2011	4	2.45%	$16,159	2.90%	1.06%	5.63%	2.73%	2.34%	1.84%	2.50%
2011	5	1.10%	$16,337	-1.12%	-1.77%	-2.21%	-2.94%	3.42%	2.51%	1.27%
2011	6	-1.39%	$16,110	-1.69%	-1.59%	-1.19%	-0.93%	-2.33%	-0.51%	-0.80%
2011	7	1.45%	$16,343	-2.00%	-2.77%	-2.38%	-1.03%	4.42%	3.17%	2.43%
2011	8	1.34%	$16,562	-5.50%	-7.98%	-8.75%	-9.25%	9.66%	4.65%	0.34%
2011	9	0.54%	$16,651	-6.94%	-10.57%	-10.81%	-17.89%	13.20%	2.24%	0.35%
2011	10	3.39%	$17,216	10.91%	15.34%	9.63%	16.27%	-3.84%	-1.29%	2.51%
2011	11	0.26%	$17,261	-0.41%	0.63%	-2.18%	-1.96%	1.98%	0.58%	-3.16%
2011	12	1.70%	$17,554	1.04%	2.02%	-2.21%	-4.30%	3.44%	1.99%	3.49%
2012	1	2.59%	$18,008	4.64%	7.90%	5.27%	10.99%	-0.33%	0.86%	2.14%
2012	2	0.69%	$18,134	4.34%	1.71%	4.83%	5.27%	-2.59%	-1.10%	1.63%
2012	3	-0.88%	$17,973	3.22%	2.89%	0.42%	-3.11%	-4.23%	-1.59%	-1.42%
2012	4	1.63%	$18,266	-0.67%	-1.91%	-2.08%	-1.70%	4.83%	2.51%	1.08%
2012	5	0.39%	$18,337	-6.01%	-7.18%	-11.14%	-10.71%	9.03%	2.87%	0.76%
2012	6	1.28%	$18,572	4.05%	4.54%	7.11%	5.08%	-1.68%	-0.42%	0.87%
2012	7	1.85%	$18,914	1.18%	-0.69%	0.08%	-0.03%	3.82%	1.40%	3.48%
2012	8	0.60%	$19,027	2.51%	4.08%	3.20%	0.41%	-1.32%	-0.12%	-0.05%
2012	9	0.44%	$19,111	2.54%	3.14%	2.71%	5.22%	-2.53%	-0.35%	1.10%
2012	10	-0.68%	$18,982	-1.82%	-1.96%	1.09%	-0.44%	-0.48%	-0.40%	1.35%
2012	11	1.07%	$19,185	0.57%	1.65%	2.78%	1.56%	1.38%	0.98%	-0.42%
2012	12	-0.00%	$19,185	0.90%	3.55%	4.37%	6.80%	-2.49%	-0.94%	-0.33%
2013	1	0.37%	$19,255	5.12%	5.35%	3.73%	-0.29%	-3.19%	-1.29%	-1.30%
2013	2	0.93%	$19,433	1.28%	1.63%	-1.29%	-2.28%	1.24%	1.13%	1.08%
2013	3	1.10%	$19,646	3.80%	4.11%	1.31%	-1.02%	-0.42%	0.29%	-0.05%
2013	4	2.57%	$20,151	1.92%	0.12%	5.02%	1.22%	4.68%	1.52%	2.17%
2013	5	-2.48%	$19,651	2.36%	4.29%	-3.02%	-4.83%	-6.76%	-3.11%	-3.22%
2013	6	-2.51%	$19,157	-1.34%	-0.14%	-2.70%	-5.35%	-3.27%	-2.55%	-3.27%
2013	7	1.25%	$19,396	5.17%	6.56%	5.32%	1.32%	-2.26%	-0.35%	1.11%
2013	8	-1.94%	$19,020	-3.00%	-3.41%	-1.96%	-2.54%	-1.34%	-1.42%	-1.00%
2013	9	2.60%	$19,515	3.17%	6.59%	7.82%	7.21%	0.66%	1.85%	0.74%
2013	10	2.35%	$19,972	4.63%	3.48%	3.26%	4.17%	1.43%	0.78%	1.81%
2013	11	-0.05%	$19,963	2.96%	4.25%	0.55%	-0.26%	-2.70%	-0.88%	-0.14%
2013	12	-0.34%	$19,896	2.59%	1.29%	2.16%	-0.42%	-1.87%	-2.09%	0.22%
2014	1	0.96%	$20,087	-3.52%	-3.51%	-5.20%	-8.64%	6.30%	3.06%	1.88%
2014	2	2.09%	$20,507	4.55%	4.63%	6.13%	3.38%	0.52%	0.36%	1.14%
2014	3	0.46%	$20,601	0.83%	1.34%	-0.46%	3.88%	0.73%	-0.56%	-0.03%
2014	4	1.02%	$20,810	0.70%	-2.29%	1.67%	0.78%	2.10%	0.76%	1.33%
2014	5	2.21%	$21,270	2.32%	0.62%	1.60%	2.95%	2.95%	1.82%	1.51%
2014	6	0.72%	$21,423	2.06%	3.85%	0.92%	2.40%	-0.25%	-0.22%	0.01%
2014	7	-0.54%	$21,307	-1.34%	-5.07%	-2.60%	1.36%	0.67%	-0.22%	-0.32%
2014	8	3.22%	$21,992	3.95%	4.46%	0.18%	2.83%	4.72%	1.88%	2.00%
2014	9	-2.16%	$21,517	-1.38%	-5.94%	-3.88%	-7.77%	-2.11%	-1.05%	-1.68%
2014	10	2.23%	$21,998	2.36%	7.13%	-0.27%	1.42%	2.81%	1.53%	1.23%
2014	11	1.81%	$22,397	2.75%	0.48%	0.06%	-1.54%	2.97%	1.29%	0.91%
2014	12	0.56%	$22,522	-0.26%	2.56%	-4.00%	-3.99%	3.25%	0.13%	-0.02%
2015	1	3.08%	$23,216	-2.96%	-5.32%	0.62%	-0.69%	9.82%	4.30%	3.75%
2015	2	-0.26%	$23,156	5.62%	5.86%	6.34%	4.41%	-6.14%	-2.47%	-1.42%
2015	3	0.09%	$23,176	-1.57%	1.03%	-1.43%	-1.50%	1.10%	0.86%	0.20%
2015	4	-0.48%	$23,064	0.98%	-1.82%	3.65%	6.85%	-3.43%	-0.63%	-1.19%
2015	5	-0.65%	$22,913	1.29%	0.75%	0.20%	-4.10%	-2.37%	-0.42%	-1.12%
2015	6	-2.42%	$22,360	-2.03%	0.42%	-3.12%	-2.93%	-4.07%	-1.63%	-1.88%
2015	7	1.88%	$22,780	2.26%	-2.70%	2.03%	-6.31%	4.55%	1.52%	0.83%
2015	8	-2.69%	$22,167	-6.10%	-4.62%	-7.43%	-8.84%	-0.69%	0.08%	-0.83%
2015	9	-0.12%	$22,139	-2.54%	-3.77%	-4.42%	-3.13%	1.97%	1.58%	1.19%
2015	10	2.73%	$22,744	8.51%	6.57%	6.61%	6.38%	-0.41%	-0.64%	0.57%
2015	11	-0.32%	$22,672	0.37%	2.47%	-0.75%	-2.52%	-0.87%	-0.43%	-0.15%
2015	12	-1.24%	$22,391	-1.72%	-5.08%	-2.34%	-3.83%	-0.30%	-0.45%	-1.08%
2016	1	0.46%	$22,495	-4.98%	-5.85%	-5.52%	-5.03%	5.57%	3.33%	0.12%
2016	2	1.19%	$22,761	-0.08%	2.08%	-3.33%	-0.82%	3.09%	1.49%	1.05%
2016	3	3.19%	$23,486	6.72%	9.41%	6.58%	12.96%	-0.09%	-0.06%	3.62%
2016	4	0.17%	$23,526	0.39%	2.13%	2.22%	0.41%	-0.74%	-0.16%	1.55%
2016	5	0.39%	$23,619	1.70%	0.44%	-0.09%	-3.69%	0.81%	-0.10%	-0.51%
2016	6	3.13%	$24,359	0.35%	0.83%	-2.42%	4.56%	6.93%	3.09%	3.09%
2016	7	2.28%	$24,914	3.65%	5.06%	3.98%	5.38%	2.10%	0.25%	1.29%
2016	8	-0.40%	$24,813	0.12%	1.13%	0.53%	0.88%	-1.01%	-1.01%	0.18%
2016	9	-0.10%	$24,788	0.01%	0.87%	1.34%	2.52%	-1.51%	0.24%	-0.32%
2016	10	-2.43%	$24,186	-1.73%	-3.74%	-2.22%	-0.83%	-4.38%	-1.49%	-1.53%
2016	11	-2.35%	$23,618	3.68%	13.34%	-1.78%	-4.42%	-8.21%	-4.23%	-3.17%
2016	12	0.65%	$23,772	2.03%	3.20%	2.71%	-0.25%	-0.46%	-0.12%	0.84%
2017	1	1.15%	$24,045	1.79%	-1.21%	3.29%	6.66%	0.81%	0.22%	0.15%
2017	2	1.85%	$24,490	3.93%	1.35%	1.19%	1.74%	1.59%	0.72%	1.32%
2017	3	0.18%	$24,534	0.13%	-0.65%	3.23%	3.69%	-0.65%	0.08%	-0.29%
2017	4	1.27%	$24,846	0.99%	0.51%	2.42%	1.70%	1.57%	1.11%	1.19%
2017	5	1.35%	$25,182	1.41%	-2.26%	3.54%	2.85%	1.89%	0.83%	1.33%
2017	6	0.44%	$25,293	0.64%	2.96%	0.31%	0.93%	0.79%	-0.51%	0.48%
2017	7	0.93%	$25,528	2.06%	0.75%	2.65%	5.82%	-0.66%	0.38%	0.77%
2017	8	1.41%	$25,889	0.29%	-2.72%	-0.04%	2.35%	3.41%	1.46%	0.68%
2017	9	-0.02%	$25,884	2.01%	8.58%	2.36%	-0.04%	-2.32%	-1.44%	-0.05%
2017	10	0.78%	$26,086	2.36%	0.59%	1.68%	3.28%	-0.04%	-0.19%	0.19%
2017	11	1.04%	$26,356	3.06%	3.76%	0.69%	-0.39%	0.74%	-0.28%	-0.12%
2017	12	1.12%	$26,651	1.21%	-0.37%	1.35%	3.77%	1.81%	0.18%	1.22%
2018	1	0.51%	$26,787	5.64%	1.33%	5.02%	8.30%	-3.26%	-2.15%	-1.23%
2018	2	-2.79%	$26,039	-3.64%	-4.04%	-4.83%	-5.90%	-3.04%	-0.93%	-2.24%
2018	3	0.53%	$26,176	-2.74%	1.37%	-0.84%	0.54%	2.86%	1.16%	0.56%
2018	4	-0.86%	$25,950	0.52%	1.76%	1.52%	-2.82%	-2.09%	-1.28%	-1.57%
2018	5	1.49%	$26,338	2.43%	5.87%	-1.89%	-2.62%	2.01%	0.99%	0.52%
2018	6	0.08%	$26,358	0.58%	0.80%	-1.57%	-4.54%	0.65%	0.20%	-0.49%
2018	7	0.86%	$26,585	3.70%	2.62%	2.85%	3.53%	-1.44%	-0.53%	1.34%
2018	8	1.27%	$26,922	3.19%	3.14%	-2.24%	-3.77%	1.31%	1.01%	0.02%
2018	9	-1.11%	$26,623	0.59%	-3.05%	0.97%	-0.58%	-2.86%	-1.20%	-0.14%
2018	10	-3.95%	$25,572	-6.91%	-9.94%	-8.13%	-8.76%	-2.93%	-0.30%	-2.05%
2018	11	1.59%	$25,978	1.85%	0.57%	0.50%	4.90%	1.79%	1.33%	-0.36%
2018	12	-0.68%	$25,801	-8.79%	-12.38%	-5.35%	-3.50%	5.85%	2.80%	1.86%
2019	1	3.83%	$26,789	8.01%	12.26%	6.63%	10.34%	0.38%	0.65%	3.37%
2019	2	0.50%	$26,922	3.24%	4.13%	2.54%	-1.53%	-1.38%	-0.52%	-0.20%
2019	3	2.74%	$27,661	1.81%	-3.91%	0.92%	1.13%	5.57%	2.66%	2.93%
2019	4	0.80%	$27,881	4.09%	4.32%	2.93%	2.35%	-1.99%	-0.52%	0.44%
2019	5	0.16%	$27,925	-6.38%	-9.98%	-5.03%	-7.33%	6.84%	3.05%	1.65%
2019	6	3.42%	$28,880	6.96%	7.66%	5.91%	6.20%	0.95%	1.22%	3.25%
2019	7	0.29%	$28,963	1.51%	1.30%	-1.95%	-2.66%	0.26%	0.04%	0.25%
2019	8	3.34%	$29,929	-1.67%	-5.14%	-1.92%	-3.78%	11.04%	3.95%	3.88%
2019	9	-0.11%	$29,896	1.95%	5.57%	3.16%	1.69%	-2.68%	-1.19%	-0.76%
2019	10	0.79%	$30,132	2.21%	2.00%	3.39%	4.18%	-1.11%	0.19%	0.44%
2019	11	0.76%	$30,361	3.62%	2.71%	1.13%	-0.09%	-0.41%	-0.69%	0.47%
2019	12	0.28%	$30,445	2.90%	2.84%	2.98%	7.71%	-3.20%	-0.93%	0.53%
2020	1	2.41%	$31,177	-0.04%	-6.31%	-2.82%	-6.15%	7.69%	3.47%	2.45%
2020	2	-0.29%	$31,088	-7.92%	-10.15%	-7.77%	-3.78%	6.63%	2.96%	1.09%
2020	3	-3.27%	$30,071	-12.46%	-25.76%	-14.11%	-15.77%	6.38%	3.72%	-6.31%
2020	4	5.02%	$31,580	12.70%	13.89%	5.82%	7.35%	1.22%	0.27%	4.85%
2020	5	1.44%	$32,035	4.76%	2.55%	5.43%	2.97%	-1.76%	0.33%	2.46%
2020	6	1.31%	$32,456	1.78%	3.58%	3.51%	6.61%	0.34%	0.04%	2.13%
2020	7	3.61%	$33,629	5.89%	2.58%	1.94%	8.25%	4.44%	0.85%	3.10%
2020	8	0.59%	$33,827	6.98%	5.07%	4.72%	2.89%	-5.05%	-0.97%	-1.78%
2020	9	-1.02%	$33,481	-3.74%	-5.18%	-2.05%	-1.01%	0.77%	0.33%	-0.44%
2020	10	-1.85%	$32,863	-2.49%	3.66%	-3.55%	1.41%	-3.39%	-1.38%	-0.51%
2020	11	5.44%	$34,650	10.88%	19.21%	14.27%	8.99%	1.66%	0.34%	3.77%
2020	12	1.48%	$35,163	3.71%	7.50%	5.01%	7.14%	-1.23%	-0.24%	0.15%

Portfolio return and risk metrics
Metric	Maximum Sharpe Ratio
Arithmetic Mean (monthly)	0.64%
Arithmetic Mean (annualized)	7.93%
Geometric Mean (monthly)	0.62%
Geometric Mean (annualized)	7.68%
Volatility (monthly)	1.97%
Volatility (annualized)	6.83%
Downside Deviation (monthly)	1.25%
Max. Drawdown	-17.31%
US Market Correlation	0.64
Beta^(*)	0.29
Alpha (annualized)	4.54%
R²	41.53%
Sharpe Ratio	0.93
Sortino Ratio	1.44
Treynor Ratio (%)	21.79
Calmar Ratio	1.93
Active Return	-2.20%
Tracking Error	11.81%
Information Ratio	-0.19
Skewness	-0.89
Excess Kurtosis	4.13
Historical Value-at-Risk (5%)	-2.47%
Analytical Value-at-Risk (5%)	-2.60%
Conditional Value-at-Risk (5%)	-4.33%
Upside Capture Ratio (%)	37.82
Downside Capture Ratio (%)	18.74
Safe Withdrawal Rate	8.65%
Perpetual Withdrawal Rate	5.23%
Positive Periods	144 out of 204 (70.59%)
Gain/Loss Ratio	1.00
^* 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	-17.31%

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	-17.31%
2	May 2013	Aug 2013	4 months	Feb 2014	6 months	10 months	-5.61%
3	Aug 2016	Nov 2016	4 months	May 2017	6 months	10 months	-5.20%
4	Sep 2018	Oct 2018	2 months	Feb 2019	4 months	6 months	-5.02%
5	Feb 2015	Sep 2015	8 months	Mar 2016	6 months	1 year 2 months	-4.64%
6	Apr 2004	Apr 2004	1 month	Sep 2004	5 months	6 months	-4.44%
7	Feb 2020	Mar 2020	2 months	Apr 2020	1 month	3 months	-3.55%
8	Feb 2018	Apr 2018	3 months	Aug 2018	4 months	7 months	-3.12%
9	Sep 2005	Oct 2005	2 months	Dec 2005	2 months	4 months	-2.99%
10	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-2.85%
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	9.55%	14.39%	32.31%	-36.81%	-50.80%	0.62	0.91	1.00
IJS	iShares S&P Small-Cap 600 Value ETF	8.74%	20.21%	39.34%	-29.39%	-54.13%	0.46	0.66	0.91
EFA	iShares MSCI EAFE ETF	5.65%	17.05%	26.95%	-41.04%	-57.38%	0.34	0.48	0.88
EEM	iShares MSCI Emerging Markets ETF	8.32%	21.94%	68.93%	-48.88%	-60.44%	0.42	0.63	0.78
TLT	iShares 20+ Year Treasury Bond ETF	7.22%	12.98%	33.96%	-21.80%	-21.80%	0.51	0.88	-0.32
IEF	iShares 7-10 Year Treasury Bond ETF	4.91%	6.10%	17.91%	-6.59%	-7.60%	0.61	1.05	-0.31
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	5.64%	7.20%	17.37%	-3.79%	-15.11%	0.62	1.00	0.33

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	-0.31	-0.30	0.33	0.65
IJS	iShares S&P Small-Cap 600 Value ETF	0.89	1.00	0.78	0.70	-0.35	-0.36	0.26	0.54
EFA	iShares MSCI EAFE ETF	0.88	0.78	1.00	0.87	-0.25	-0.23	0.40	0.66
EEM	iShares MSCI Emerging Markets ETF	0.78	0.70	0.87	1.00	-0.23	-0.19	0.37	0.62
TLT	iShares 20+ Year Treasury Bond ETF	-0.31	-0.35	-0.25	-0.23	1.00	0.91	0.50	0.49
IEF	iShares 7-10 Year Treasury Bond ETF	-0.30	-0.36	-0.23	-0.19	0.91	1.00	0.51	0.48
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	0.33	0.26	0.40	0.37	0.50	0.51	1.00	0.75

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Maximum Sharpe Ratio
SPY	SPDR S&P 500 ETF Trust	32.43%
IJS	iShares S&P Small-Cap 600 Value ETF	8.03%
EFA	iShares MSCI EAFE ETF	8.20%
EEM	iShares MSCI Emerging Markets ETF	9.90%
TLT	iShares 20+ Year Treasury Bond ETF	24.59%
IEF	iShares 7-10 Year Treasury Bond ETF	12.90%
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	3.95%

Annual Asset Returns

Rolling returns summary
Roll Period	Average	High	Low
1 year	7.65%	19.91%	-15.61%
3 years	7.09%	16.05%	-0.93%
5 years	7.04%	12.07%	2.30%
7 years	7.42%	10.11%	5.66%
10 years	7.42%	8.78%	6.32%
15 years	7.16%	7.60%	6.52%