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
Maximize Information Ratio – Find the portfolio that maximizes the information ratio against the selected benchmark
Risk Parity – Find the portfolio that equalizes the risk contribution of portfolio assets
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

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 - Feb 2020)

Note: The time period was constrained by the available data for iShares MSCI Emerging Markets ETF (EEM) [May 2003 - Feb 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 7.03% 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	23.11%
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	26.89%
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	$31,051
CAGR	7.26%
Expected Return	7.50%
Stdev	6.65%
Best Year	17.89%
Worst Year	-3.80%
Max. Drawdown	-16.87%
Sharpe Ratio (ex-ante)	0.93
Sharpe Ratio (ex-post)	0.89
Sortino Ratio	1.34
US Stock Market Correlation	0.59

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 February
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	8.37%	9.37%	13.58%	0.594	5.00%	40.00%
2	iShares S&P Small-Cap 600 Value ETF (IJS)	Equity	7.88%	9.76%	18.62%	0.454	5.00%	20.00%
3	iShares MSCI EAFE ETF (EFA)	Equity	4.76%	6.22%	16.52%	0.297	5.00%	30.00%
4	iShares MSCI Emerging Markets ETF (EEM)	Equity	7.03%	9.59%	21.76%	0.381	5.00%	15.00%
5	iShares 20+ Year Treasury Bond ETF (TLT)	Fixed Income	7.41%	8.30%	13.06%	0.535	5.00%	30.00%
6	iShares 7-10 Year Treasury Bond ETF (IEF)	Fixed Income	4.96%	5.15%	6.17%	0.622	5.00%	30.00%
7	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)	Fixed Income	5.49%	5.74%	6.96%	0.635	5.00%	20.00%
^*Expected return is annualized from historical monthly mean return. Ex ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate (1.31% annualized).

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

Monthly Correlations

Efficient Frontier Asset Correlations
Name	Ticker	SPY	IJS	EFA	EEM	TLT	IEF	LQD
SPDR S&P 500 ETF Trust	SPY	1.00	0.88	0.88	0.77	-0.32	-0.30	0.25
iShares S&P Small-Cap 600 Value ETF	IJS	0.88	1.00	0.76	0.69	-0.36	-0.35	0.16
iShares MSCI EAFE ETF	EFA	0.88	0.76	1.00	0.88	-0.24	-0.21	0.35
iShares MSCI Emerging Markets ETF	EEM	0.77	0.69	0.88	1.00	-0.22	-0.17	0.32
iShares 20+ Year Treasury Bond ETF	TLT	-0.32	-0.36	-0.24	-0.22	1.00	0.91	0.55
iShares 7-10 Year Treasury Bond ETF	IEF	-0.30	-0.35	-0.21	-0.17	0.91	1.00	0.57
iShares iBoxx $ Invmt Grade Corp Bd ETF	LQD	0.25	0.16	0.35	0.32	0.55	0.57	1.00
Based on monthly returns from Jan 2004 to Feb 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	15.33%	5.00%	5.00%	5.00%	19.67%	30.00%	20.00%	7.03%	6.33%	0.902
2	16.28%	5.00%	5.00%	5.00%	19.03%	30.00%	19.69%	7.05%	6.34%	0.904
3	16.54%	5.00%	5.00%	5.00%	19.36%	30.00%	19.10%	7.06%	6.35%	0.905
4	16.81%	5.00%	5.00%	5.00%	19.68%	30.00%	18.51%	7.08%	6.36%	0.907
5	17.08%	5.00%	5.00%	5.00%	20.00%	30.00%	17.92%	7.10%	6.37%	0.908
6	17.35%	5.00%	5.00%	5.00%	20.32%	30.00%	17.33%	7.12%	6.38%	0.909
7	17.62%	5.00%	5.00%	5.00%	20.64%	30.00%	16.74%	7.14%	6.39%	0.911
8	17.88%	5.00%	5.00%	5.00%	20.96%	30.00%	16.15%	7.15%	6.41%	0.912
9	18.15%	5.00%	5.00%	5.00%	21.29%	30.00%	15.56%	7.17%	6.42%	0.913
10	18.42%	5.00%	5.00%	5.00%	21.61%	30.00%	14.97%	7.19%	6.43%	0.914
11	18.69%	5.00%	5.00%	5.00%	21.93%	30.00%	14.38%	7.21%	6.44%	0.915
12	18.96%	5.00%	5.00%	5.00%	22.25%	30.00%	13.79%	7.23%	6.45%	0.916
13	19.22%	5.00%	5.00%	5.00%	22.57%	30.00%	13.20%	7.24%	6.46%	0.918
14	19.49%	5.00%	5.00%	5.00%	22.90%	30.00%	12.61%	7.26%	6.48%	0.919
15	19.76%	5.00%	5.00%	5.00%	23.22%	30.00%	12.02%	7.28%	6.49%	0.920
16	20.03%	5.00%	5.00%	5.00%	23.54%	30.00%	11.43%	7.30%	6.50%	0.921
17	20.30%	5.00%	5.00%	5.00%	23.86%	30.00%	10.84%	7.32%	6.51%	0.922
18	20.56%	5.00%	5.00%	5.00%	24.18%	30.00%	10.25%	7.33%	6.53%	0.923
19	20.83%	5.00%	5.00%	5.00%	24.50%	30.00%	9.66%	7.35%	6.54%	0.924
20	21.10%	5.00%	5.00%	5.00%	24.83%	30.00%	9.07%	7.37%	6.55%	0.924
21	21.37%	5.00%	5.00%	5.00%	25.15%	30.00%	8.48%	7.39%	6.56%	0.925
22	21.64%	5.00%	5.00%	5.00%	25.47%	30.00%	7.89%	7.41%	6.58%	0.926
23	21.90%	5.00%	5.00%	5.00%	25.79%	30.00%	7.31%	7.42%	6.59%	0.927
24	22.17%	5.00%	5.00%	5.00%	26.11%	30.00%	6.72%	7.44%	6.60%	0.928
25	22.44%	5.00%	5.00%	5.00%	26.44%	30.00%	6.13%	7.46%	6.62%	0.929
26	22.71%	5.00%	5.00%	5.00%	26.76%	30.00%	5.54%	7.48%	6.63%	0.929
27	23.11%	5.00%	5.00%	5.00%	26.89%	30.00%	5.00%	7.50%	6.65%	0.930
28	23.63%	5.00%	5.00%	5.00%	26.76%	29.61%	5.00%	7.51%	6.67%	0.930
29	23.78%	5.00%	5.00%	5.00%	27.13%	29.09%	5.00%	7.53%	6.69%	0.930
30	23.93%	5.00%	5.00%	5.00%	27.50%	28.57%	5.00%	7.55%	6.71%	0.930
31	24.08%	5.00%	5.00%	5.00%	27.86%	28.05%	5.00%	7.57%	6.73%	0.929
32	24.23%	5.00%	5.00%	5.00%	28.23%	27.54%	5.00%	7.59%	6.75%	0.929
33	24.38%	5.00%	5.00%	5.00%	28.60%	27.02%	5.00%	7.60%	6.77%	0.929
34	24.54%	5.00%	5.00%	5.00%	28.96%	26.50%	5.00%	7.62%	6.79%	0.929
35	24.69%	5.00%	5.00%	5.00%	29.33%	25.98%	5.00%	7.64%	6.81%	0.928
36	24.84%	5.00%	5.00%	5.00%	29.70%	25.47%	5.00%	7.66%	6.84%	0.928
37	25.04%	5.00%	5.00%	5.00%	30.00%	24.96%	5.00%	7.68%	6.86%	0.928
38	25.46%	5.00%	5.00%	5.00%	30.00%	24.54%	5.00%	7.69%	6.88%	0.928
39	25.89%	5.00%	5.00%	5.00%	30.00%	24.11%	5.00%	7.71%	6.90%	0.927
40	26.31%	5.00%	5.00%	5.00%	30.00%	23.69%	5.00%	7.73%	6.92%	0.927
41	26.74%	5.00%	5.00%	5.00%	30.00%	23.26%	5.00%	7.75%	6.95%	0.926
42	27.17%	5.00%	5.00%	5.00%	30.00%	22.83%	5.00%	7.77%	6.97%	0.926
43	27.59%	5.00%	5.00%	5.00%	30.00%	22.41%	5.00%	7.79%	7.00%	0.925
44	28.02%	5.00%	5.00%	5.00%	30.00%	21.98%	5.00%	7.80%	7.02%	0.924
45	28.44%	5.00%	5.00%	5.00%	30.00%	21.56%	5.00%	7.82%	7.05%	0.923
46	28.87%	5.00%	5.00%	5.00%	30.00%	21.13%	5.00%	7.84%	7.07%	0.922
47	29.30%	5.00%	5.00%	5.00%	30.00%	20.70%	5.00%	7.86%	7.10%	0.921
48	29.72%	5.00%	5.00%	5.00%	30.00%	20.28%	5.00%	7.88%	7.13%	0.920
49	30.15%	5.00%	5.00%	5.00%	30.00%	19.85%	5.00%	7.89%	7.16%	0.919
50	30.57%	5.00%	5.00%	5.00%	30.00%	19.43%	5.00%	7.91%	7.19%	0.918
51	31.00%	5.00%	5.00%	5.00%	30.00%	19.00%	5.00%	7.93%	7.22%	0.917
52	31.43%	5.00%	5.00%	5.00%	30.00%	18.57%	5.00%	7.95%	7.25%	0.915
53	31.85%	5.00%	5.00%	5.00%	30.00%	18.15%	5.00%	7.97%	7.28%	0.914
54	32.28%	5.00%	5.00%	5.00%	30.00%	17.72%	5.00%	7.98%	7.31%	0.913
55	32.70%	5.00%	5.00%	5.00%	30.00%	17.30%	5.00%	8.00%	7.34%	0.911
56	33.13%	5.00%	5.00%	5.00%	30.00%	16.87%	5.00%	8.02%	7.37%	0.910
57	33.56%	5.00%	5.00%	5.00%	30.00%	16.44%	5.00%	8.04%	7.41%	0.908
58	33.98%	5.00%	5.00%	5.00%	30.00%	16.02%	5.00%	8.06%	7.44%	0.906
59	34.41%	5.00%	5.00%	5.00%	30.00%	15.59%	5.00%	8.07%	7.47%	0.905
60	34.83%	5.00%	5.00%	5.00%	30.00%	15.17%	5.00%	8.09%	7.51%	0.903
61	35.26%	5.00%	5.00%	5.00%	30.00%	14.74%	5.00%	8.11%	7.54%	0.901
62	35.69%	5.00%	5.00%	5.00%	30.00%	14.31%	5.00%	8.13%	7.58%	0.899
63	36.11%	5.00%	5.00%	5.00%	30.00%	13.89%	5.00%	8.15%	7.61%	0.897
64	36.54%	5.00%	5.00%	5.00%	30.00%	13.46%	5.00%	8.17%	7.65%	0.895
65	36.96%	5.00%	5.00%	5.00%	30.00%	13.04%	5.00%	8.18%	7.69%	0.894
66	37.39%	5.00%	5.00%	5.00%	30.00%	12.61%	5.00%	8.20%	7.72%	0.892
67	37.82%	5.00%	5.00%	5.00%	30.00%	12.18%	5.00%	8.22%	7.76%	0.890
68	38.24%	5.00%	5.00%	5.00%	30.00%	11.76%	5.00%	8.24%	7.80%	0.888
69	38.67%	5.00%	5.00%	5.00%	30.00%	11.33%	5.00%	8.26%	7.84%	0.885
70	39.09%	5.00%	5.00%	5.00%	30.00%	10.91%	5.00%	8.27%	7.88%	0.883
71	39.52%	5.00%	5.00%	5.00%	30.00%	10.48%	5.00%	8.29%	7.92%	0.881
72	39.95%	5.00%	5.00%	5.00%	30.00%	10.05%	5.00%	8.31%	7.96%	0.879
73	40.00%	5.34%	5.00%	5.00%	30.00%	9.66%	5.00%	8.33%	8.00%	0.877
74	40.00%	5.73%	5.00%	5.00%	30.00%	9.27%	5.00%	8.35%	8.05%	0.874
75	40.00%	6.12%	5.00%	5.00%	30.00%	8.88%	5.00%	8.36%	8.09%	0.871
76	40.00%	6.51%	5.00%	5.00%	30.00%	8.49%	5.00%	8.38%	8.14%	0.868
77	40.00%	6.90%	5.00%	5.00%	30.00%	8.10%	5.00%	8.40%	8.19%	0.866
78	40.00%	7.29%	5.00%	5.00%	30.00%	7.71%	5.00%	8.42%	8.23%	0.863
79	40.00%	7.68%	5.00%	5.00%	30.00%	7.32%	5.00%	8.44%	8.28%	0.860
80	40.00%	8.08%	5.00%	5.00%	30.00%	6.92%	5.00%	8.46%	8.33%	0.857
81	40.00%	8.47%	5.00%	5.00%	30.00%	6.53%	5.00%	8.47%	8.38%	0.854
82	40.00%	8.86%	5.00%	5.00%	30.00%	6.14%	5.00%	8.49%	8.43%	0.851
83	40.00%	9.25%	5.00%	5.00%	30.00%	5.75%	5.00%	8.51%	8.48%	0.848
84	40.00%	9.64%	5.00%	5.00%	30.00%	5.36%	5.00%	8.53%	8.53%	0.846
85	39.67%	10.33%	5.00%	5.00%	30.00%	5.00%	5.00%	8.55%	8.59%	0.842
86	34.97%	15.03%	5.00%	5.00%	30.00%	5.00%	5.00%	8.56%	8.72%	0.831
87	30.28%	19.72%	5.00%	5.00%	30.00%	5.00%	5.00%	8.58%	8.87%	0.819
88	31.60%	20.00%	5.00%	5.00%	28.40%	5.00%	5.00%	8.60%	9.05%	0.806
89	33.31%	20.00%	5.00%	5.00%	26.69%	5.00%	5.00%	8.62%	9.23%	0.792
90	35.01%	20.00%	5.00%	5.00%	24.99%	5.00%	5.00%	8.64%	9.42%	0.777
91	36.72%	20.00%	5.00%	5.00%	23.28%	5.00%	5.00%	8.66%	9.63%	0.763
92	38.42%	20.00%	5.00%	5.00%	21.58%	5.00%	5.00%	8.67%	9.84%	0.748
93	40.00%	20.00%	5.00%	5.10%	19.90%	5.00%	5.00%	8.69%	10.07%	0.733
94	40.00%	20.00%	5.00%	6.52%	18.48%	5.00%	5.00%	8.71%	10.33%	0.716
95	40.00%	20.00%	5.00%	7.93%	17.07%	5.00%	5.00%	8.73%	10.59%	0.700
96	40.00%	20.00%	5.00%	9.34%	15.66%	5.00%	5.00%	8.75%	10.87%	0.684
97	40.00%	20.00%	5.00%	10.76%	14.24%	5.00%	5.00%	8.76%	11.15%	0.668
98	40.00%	20.00%	5.00%	12.17%	12.83%	5.00%	5.00%	8.78%	11.44%	0.653
99	40.00%	20.00%	5.00%	13.59%	11.41%	5.00%	5.00%	8.80%	11.73%	0.638
100	40.00%	20.00%	5.00%	15.00%	10.00%	5.00%	5.00%	8.82%	12.04%	0.624
^*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 (1.31% 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%	9.70%	$10,970	10.70%	22.60%	18.95%	24.63%	8.71%	4.12%	5.72%
2005	3.42%	7.01%	$11,739	4.83%	6.00%	13.32%	32.62%	8.61%	2.64%	1.16%
2006	2.54%	8.52%	$12,739	15.85%	19.37%	25.81%	31.19%	0.71%	2.52%	4.22%
2007	4.08%	9.29%	$13,922	5.14%	-5.56%	9.94%	33.31%	10.29%	10.37%	3.73%
2008	0.09%	-3.80%	$13,394	-36.81%	-29.39%	-41.04%	-48.88%	33.93%	17.91%	2.40%
2009	2.72%	3.01%	$13,797	26.36%	22.36%	26.95%	68.93%	-21.80%	-6.59%	8.46%
2010	1.50%	12.72%	$15,551	15.06%	24.69%	8.15%	16.51%	9.05%	9.37%	9.33%
2011	2.96%	13.19%	$17,602	1.89%	-1.65%	-12.25%	-18.82%	33.96%	15.64%	9.73%
2012	1.74%	9.20%	$19,221	15.99%	18.24%	18.82%	19.10%	2.63%	3.66%	10.58%
2013	1.50%	3.41%	$19,877	32.31%	39.34%	21.40%	-3.69%	-13.37%	-6.09%	-2.00%
2014	0.76%	13.28%	$22,517	13.46%	7.56%	-6.20%	-3.93%	27.30%	9.07%	8.21%
2015	0.73%	-0.60%	$22,381	1.25%	-6.90%	-1.00%	-16.18%	-1.79%	1.51%	-1.25%
2016	2.07%	6.10%	$23,745	12.00%	31.25%	1.37%	10.87%	1.18%	1.00%	6.21%
2017	2.11%	12.02%	$26,600	21.70%	11.35%	25.10%	37.28%	9.18%	2.55%	7.06%
2018	1.91%	-3.17%	$25,757	-4.56%	-12.84%	-13.81%	-15.31%	-1.61%	0.99%	-3.79%
2019	2.29%	17.89%	$30,364	31.22%	24.12%	22.03%	18.20%	14.12%	8.03%	17.37%
2020	0.66%	2.26%	$31,051	-7.95%	-15.81%	-10.37%	-9.69%	14.83%	6.53%	3.56%
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	1.92%	$10,356	1.36%	2.50%	2.30%	3.95%	2.28%	1.61%	1.51%
2004	3	0.64%	$10,422	-1.32%	1.82%	0.07%	0.55%	1.41%	1.30%	0.99%
2004	4	-4.47%	$9,957	-1.89%	-3.93%	-3.39%	-9.80%	-6.23%	-4.35%	-3.89%
2004	5	0.33%	$9,990	1.71%	1.58%	1.14%	1.17%	-0.26%	-0.53%	-0.52%
2004	6	1.40%	$10,129	1.85%	5.35%	3.35%	0.92%	1.06%	0.65%	0.13%
2004	7	-0.52%	$10,076	-3.22%	-4.75%	-4.27%	-3.64%	1.53%	1.21%	1.56%
2004	8	2.43%	$10,321	0.24%	0.24%	1.19%	3.53%	4.17%	2.83%	3.08%
2004	9	1.29%	$10,454	1.00%	4.69%	2.07%	6.98%	0.95%	0.32%	0.31%
2004	10	1.49%	$10,610	1.29%	0.95%	3.50%	2.85%	1.77%	0.99%	1.18%
2004	11	0.99%	$10,715	4.45%	9.11%	6.08%	9.95%	-2.39%	-1.98%	-1.22%
2004	12	2.39%	$10,970	3.02%	1.57%	4.80%	4.74%	2.66%	1.17%	1.39%
2005	1	0.48%	$11,023	-2.24%	-3.25%	-1.90%	-0.53%	3.57%	0.87%	1.23%
2005	2	0.45%	$11,072	2.09%	2.90%	3.78%	9.68%	-1.47%	-1.37%	-0.94%
2005	3	-1.37%	$10,920	-1.83%	-2.36%	-2.62%	-7.91%	-0.45%	-0.40%	-1.26%
2005	4	1.04%	$11,034	-1.87%	-5.12%	-1.62%	-1.25%	3.86%	2.52%	1.62%
2005	5	2.59%	$11,320	3.22%	6.16%	-0.86%	3.16%	3.14%	1.84%	0.62%
2005	6	1.29%	$11,466	0.15%	3.92%	1.43%	3.97%	2.16%	0.48%	1.22%
2005	7	0.11%	$11,478	3.83%	5.84%	3.00%	7.68%	-3.38%	-2.18%	-0.82%
2005	8	1.56%	$11,657	-0.94%	-1.87%	3.84%	1.32%	3.48%	2.00%	1.50%
2005	9	-0.79%	$11,565	0.80%	0.05%	3.69%	8.65%	-3.61%	-1.75%	-1.86%
2005	10	-2.25%	$11,306	-2.37%	-3.41%	-3.18%	-6.34%	-2.24%	-1.24%	-1.58%
2005	11	2.07%	$11,540	4.40%	4.91%	2.31%	5.79%	0.69%	0.63%	0.66%
2005	12	1.72%	$11,739	-0.19%	-1.06%	5.18%	6.10%	2.98%	1.37%	0.86%
2006	1	1.40%	$11,903	2.40%	8.75%	5.77%	14.20%	-1.34%	-0.70%	-0.44%
2006	2	0.22%	$11,929	0.57%	0.27%	-0.70%	-3.85%	1.11%	-0.10%	0.68%
2006	3	-0.79%	$11,835	1.65%	4.86%	4.01%	2.17%	-4.57%	-1.36%	-1.68%
2006	4	-0.07%	$11,827	1.26%	0.18%	4.79%	6.52%	-2.75%	-0.63%	-0.20%
2006	5	-1.76%	$11,618	-3.01%	-4.55%	-3.82%	-11.14%	-0.19%	-0.10%	-0.19%
2006	6	0.45%	$11,671	0.26%	0.04%	-0.06%	0.21%	1.18%	0.23%	-0.09%
2006	7	1.26%	$11,818	0.45%	-3.10%	0.81%	2.34%	2.16%	1.68%	1.46%
2006	8	2.31%	$12,091	2.18%	2.70%	2.55%	1.58%	3.06%	1.76%	2.22%
2006	9	1.57%	$12,281	2.70%	1.19%	0.22%	-0.87%	1.91%	1.21%	0.87%
2006	10	1.98%	$12,524	3.15%	5.52%	3.75%	7.06%	0.85%	0.54%	1.00%
2006	11	2.12%	$12,790	1.99%	2.38%	3.07%	5.98%	2.31%	1.31%	1.46%
2006	12	-0.40%	$12,739	1.34%	0.32%	3.20%	5.44%	-2.69%	-1.28%	-0.90%
2007	1	0.15%	$12,758	1.50%	2.14%	1.39%	0.11%	-1.00%	-0.40%	0.09%
2007	2	0.96%	$12,880	-1.96%	-0.92%	-0.12%	-3.24%	3.39%	2.06%	2.00%
2007	3	0.19%	$12,905	1.16%	0.91%	2.90%	5.33%	-1.70%	-0.14%	-0.68%
2007	4	1.96%	$13,158	4.43%	1.84%	3.75%	3.73%	0.90%	0.61%	0.89%
2007	5	0.28%	$13,195	3.39%	4.63%	2.36%	5.06%	-2.31%	-1.39%	-1.23%
2007	6	-0.73%	$13,099	-1.46%	-2.24%	-0.32%	3.68%	-1.01%	-0.47%	-0.81%
2007	7	0.41%	$13,153	-3.13%	-6.26%	-2.29%	0.71%	3.32%	2.26%	-0.82%
2007	8	1.66%	$13,371	1.28%	1.33%	-0.63%	1.04%	1.79%	2.26%	2.38%
2007	9	1.88%	$13,623	3.87%	0.31%	5.32%	11.57%	0.23%	0.09%	0.73%
2007	10	2.03%	$13,899	1.36%	1.06%	4.25%	11.87%	1.81%	1.08%	0.97%
2007	11	0.89%	$14,022	-3.87%	-7.15%	-3.62%	-7.65%	5.35%	4.04%	1.02%
2007	12	-0.72%	$13,922	-1.13%	-0.71%	-2.99%	-1.43%	-0.64%	0.05%	-0.81%
2008	1	-0.74%	$13,820	-6.05%	-4.00%	-7.85%	-8.92%	2.10%	3.36%	2.57%
2008	2	-0.50%	$13,750	-2.58%	-3.36%	-1.02%	1.99%	-0.46%	1.24%	-0.71%
2008	3	0.61%	$13,834	-0.90%	0.83%	0.42%	-3.75%	2.14%	1.34%	-0.60%
2008	4	0.63%	$13,922	4.77%	2.64%	5.44%	9.14%	-2.48%	-2.41%	1.25%
2008	5	-0.60%	$13,838	1.51%	3.92%	1.19%	3.16%	-2.69%	-1.78%	-2.21%
2008	6	-2.26%	$13,525	-8.35%	-8.41%	-8.80%	-9.29%	2.65%	1.14%	-1.29%
2008	7	-0.37%	$13,475	-0.90%	2.87%	-3.32%	-5.50%	-0.37%	0.72%	0.39%
2008	8	1.27%	$13,646	1.55%	4.76%	-4.25%	-6.32%	2.74%	1.53%	0.15%
2008	9	-3.91%	$13,112	-9.44%	-4.82%	-11.44%	-14.68%	1.47%	-0.14%	-10.73%
2008	10	-7.99%	$12,065	-16.52%	-19.86%	-20.83%	-25.58%	-1.86%	-0.87%	-1.95%
2008	11	3.35%	$12,468	-6.96%	-11.80%	-6.37%	-9.75%	14.34%	7.75%	3.35%
2008	12	7.42%	$13,394	0.98%	6.57%	8.88%	10.35%	13.64%	5.15%	13.80%
2009	1	-8.52%	$12,253	-8.21%	-13.94%	-13.73%	-9.29%	-13.07%	-3.89%	-1.80%
2009	2	-4.86%	$11,657	-10.74%	-13.03%	-10.39%	-6.27%	-1.54%	-0.74%	-5.20%
2009	3	5.67%	$12,319	8.35%	7.58%	8.39%	16.86%	4.04%	3.31%	0.47%
2009	4	2.04%	$12,570	9.93%	18.89%	11.52%	15.56%	-6.95%	-2.75%	2.78%
2009	5	1.34%	$12,738	5.85%	0.67%	13.19%	15.94%	-3.69%	-2.08%	2.32%
2009	6	0.06%	$12,746	-0.07%	1.52%	-1.43%	-2.25%	0.76%	-0.55%	2.89%
2009	7	3.96%	$13,251	7.46%	11.00%	10.04%	11.01%	0.58%	0.83%	4.63%
2009	8	2.08%	$13,527	3.69%	3.48%	4.50%	-1.31%	2.24%	0.77%	1.31%
2009	9	2.82%	$13,908	3.55%	4.21%	3.80%	10.20%	2.46%	1.12%	1.76%
2009	10	-1.82%	$13,655	-1.92%	-6.07%	-2.52%	-3.44%	-2.62%	-0.14%	-0.49%
2009	11	3.19%	$14,091	6.16%	2.90%	3.92%	7.85%	1.21%	2.02%	1.95%
2009	12	-2.09%	$13,797	1.91%	8.10%	0.70%	3.27%	-6.34%	-4.40%	-2.07%
2010	1	-0.11%	$13,781	-3.63%	-2.54%	-5.07%	-7.76%	2.69%	2.37%	1.25%
2010	2	1.10%	$13,932	3.12%	4.76%	0.27%	1.78%	-0.34%	0.33%	0.51%
2010	3	1.68%	$14,167	6.09%	7.80%	6.39%	8.11%	-2.06%	-1.06%	0.65%
2010	4	2.03%	$14,454	1.55%	6.63%	-2.80%	-0.17%	3.32%	1.65%	1.91%
2010	5	-1.10%	$14,294	-7.95%	-8.54%	-11.19%	-9.39%	5.11%	2.93%	-1.31%
2010	6	0.85%	$14,416	-5.17%	-8.27%	-2.07%	-1.40%	5.80%	3.05%	3.28%
2010	7	3.16%	$14,873	6.83%	6.71%	11.61%	10.93%	-0.95%	0.91%	2.11%
2010	8	1.62%	$15,114	-4.50%	-7.91%	-3.80%	-3.24%	8.40%	3.36%	2.86%
2010	9	3.05%	$15,575	8.96%	10.93%	9.97%	11.76%	-2.51%	-0.00%	0.46%
2010	10	0.21%	$15,607	3.82%	4.04%	3.81%	3.02%	-4.47%	-0.01%	-0.26%
2010	11	-1.07%	$15,441	0.00%	2.47%	-4.82%	-2.91%	-1.69%	-0.90%	-1.62%
2010	12	0.72%	$15,551	6.68%	8.97%	8.30%	7.27%	-3.68%	-3.43%	-0.75%
2011	1	-0.39%	$15,490	2.33%	-0.24%	2.10%	-3.84%	-3.08%	-0.02%	0.04%
2011	2	1.62%	$15,741	3.47%	4.21%	3.55%	-0.04%	1.65%	-0.21%	1.08%
2011	3	0.24%	$15,780	0.01%	2.21%	-2.39%	6.29%	0.03%	-0.15%	-0.54%
2011	4	2.45%	$16,165	2.90%	1.06%	5.63%	2.73%	2.34%	1.84%	2.50%
2011	5	1.13%	$16,348	-1.12%	-1.77%	-2.21%	-2.94%	3.42%	2.51%	1.27%
2011	6	-1.39%	$16,120	-1.69%	-1.59%	-1.19%	-0.93%	-2.33%	-0.51%	-0.80%
2011	7	1.49%	$16,360	-2.00%	-2.77%	-2.38%	-1.03%	4.42%	3.17%	2.43%
2011	8	1.44%	$16,596	-5.50%	-7.98%	-8.75%	-9.25%	9.66%	4.65%	0.34%
2011	9	0.67%	$16,707	-6.94%	-10.57%	-10.81%	-17.89%	13.20%	2.24%	0.35%
2011	10	3.29%	$17,257	10.91%	15.34%	9.63%	16.27%	-3.84%	-1.29%	2.51%
2011	11	0.28%	$17,305	-0.41%	0.63%	-2.18%	-1.96%	1.98%	0.58%	-3.16%
2011	12	1.71%	$17,602	1.04%	2.02%	-2.21%	-4.30%	3.44%	1.99%	3.49%
2012	1	2.56%	$18,052	4.64%	7.90%	5.27%	10.99%	-0.33%	0.86%	2.14%
2012	2	0.65%	$18,169	4.34%	1.71%	4.83%	5.27%	-2.59%	-1.10%	1.63%
2012	3	-0.93%	$17,999	3.22%	2.89%	0.42%	-3.11%	-4.23%	-1.59%	-1.42%
2012	4	1.67%	$18,299	-0.67%	-1.91%	-2.08%	-1.70%	4.83%	2.51%	1.08%
2012	5	0.49%	$18,389	-6.01%	-7.18%	-11.14%	-10.71%	9.03%	2.87%	0.76%
2012	6	1.24%	$18,616	4.05%	4.54%	7.11%	5.08%	-1.68%	-0.42%	0.87%
2012	7	1.86%	$18,963	1.18%	-0.69%	0.08%	-0.03%	3.82%	1.40%	3.48%
2012	8	0.57%	$19,071	2.51%	4.08%	3.20%	0.41%	-1.32%	-0.12%	-0.05%
2012	9	0.41%	$19,149	2.54%	3.14%	2.71%	5.22%	-2.53%	-0.35%	1.10%
2012	10	-0.67%	$19,021	-1.82%	-1.96%	1.09%	-0.44%	-0.48%	-0.40%	1.35%
2012	11	1.07%	$19,226	0.57%	1.65%	2.78%	1.56%	1.38%	0.98%	-0.42%
2012	12	-0.02%	$19,221	0.90%	3.55%	4.37%	6.80%	-2.49%	-0.94%	-0.33%
2013	1	0.31%	$19,281	5.12%	5.35%	3.73%	-0.29%	-3.19%	-1.29%	-1.30%
2013	2	0.93%	$19,460	1.28%	1.63%	-1.29%	-2.28%	1.24%	1.13%	1.08%
2013	3	1.07%	$19,668	3.80%	4.11%	1.31%	-1.02%	-0.42%	0.29%	-0.05%
2013	4	2.59%	$20,176	1.92%	0.12%	5.02%	1.22%	4.68%	1.52%	2.17%
2013	5	-2.54%	$19,663	2.36%	4.29%	-3.02%	-4.83%	-6.76%	-3.11%	-3.22%
2013	6	-2.53%	$19,167	-1.34%	-0.14%	-2.70%	-5.35%	-3.27%	-2.55%	-3.27%
2013	7	1.20%	$19,396	5.17%	6.56%	5.32%	1.32%	-2.26%	-0.35%	1.11%
2013	8	-1.92%	$19,023	-3.00%	-3.41%	-1.96%	-2.54%	-1.34%	-1.42%	-1.00%
2013	9	2.58%	$19,514	3.17%	6.59%	7.82%	7.21%	0.66%	1.85%	0.74%
2013	10	2.32%	$19,967	4.63%	3.48%	3.26%	4.17%	1.43%	0.78%	1.81%
2013	11	-0.08%	$19,951	2.96%	4.25%	0.55%	-0.26%	-2.70%	-0.88%	-0.14%
2013	12	-0.37%	$19,877	2.59%	1.29%	2.16%	-0.42%	-1.87%	-2.09%	0.22%
2014	1	1.03%	$20,081	-3.52%	-3.51%	-5.20%	-8.64%	6.30%	3.06%	1.88%
2014	2	2.06%	$20,495	4.55%	4.63%	6.13%	3.38%	0.52%	0.36%	1.14%
2014	3	0.46%	$20,589	0.83%	1.34%	-0.46%	3.88%	0.73%	-0.56%	-0.03%
2014	4	1.03%	$20,800	0.70%	-2.29%	1.67%	0.78%	2.10%	0.76%	1.33%
2014	5	2.21%	$21,260	2.32%	0.62%	1.60%	2.95%	2.95%	1.82%	1.51%
2014	6	0.70%	$21,410	2.06%	3.85%	0.92%	2.40%	-0.25%	-0.22%	0.01%
2014	7	-0.53%	$21,296	-1.34%	-5.07%	-2.60%	1.36%	0.67%	-0.22%	-0.32%
2014	8	3.22%	$21,982	3.95%	4.46%	0.18%	2.83%	4.72%	1.88%	2.00%
2014	9	-2.16%	$21,506	-1.38%	-5.94%	-3.88%	-7.77%	-2.11%	-1.05%	-1.68%
2014	10	2.24%	$21,987	2.36%	7.13%	-0.27%	1.42%	2.81%	1.53%	1.23%
2014	11	1.81%	$22,387	2.75%	0.48%	0.06%	-1.54%	2.97%	1.29%	0.91%
2014	12	0.58%	$22,517	-0.26%	2.56%	-4.00%	-3.99%	3.25%	0.13%	-0.02%
2015	1	3.16%	$23,229	-2.96%	-5.32%	0.62%	-0.69%	9.82%	4.30%	3.75%
2015	2	-0.33%	$23,152	5.62%	5.86%	6.34%	4.41%	-6.14%	-2.47%	-1.42%
2015	3	0.10%	$23,175	-1.57%	1.03%	-1.43%	-1.50%	1.10%	0.86%	0.20%
2015	4	-0.51%	$23,057	0.98%	-1.82%	3.65%	6.85%	-3.43%	-0.63%	-1.19%
2015	5	-0.68%	$22,901	1.29%	0.75%	0.20%	-4.10%	-2.37%	-0.42%	-1.12%
2015	6	-2.43%	$22,345	-2.03%	0.42%	-3.12%	-2.93%	-4.07%	-1.63%	-1.88%
2015	7	1.89%	$22,768	2.26%	-2.70%	2.03%	-6.31%	4.55%	1.52%	0.83%
2015	8	-2.66%	$22,163	-6.10%	-4.62%	-7.43%	-8.84%	-0.69%	0.08%	-0.83%
2015	9	-0.09%	$22,143	-2.54%	-3.77%	-4.42%	-3.13%	1.97%	1.58%	1.19%
2015	10	2.67%	$22,734	8.51%	6.57%	6.61%	6.38%	-0.41%	-0.64%	0.57%
2015	11	-0.32%	$22,660	0.37%	2.47%	-0.75%	-2.52%	-0.87%	-0.43%	-0.15%
2015	12	-1.23%	$22,381	-1.72%	-5.08%	-2.34%	-3.83%	-0.30%	-0.45%	-1.08%
2016	1	0.53%	$22,501	-4.98%	-5.85%	-5.52%	-5.03%	5.57%	3.33%	0.12%
2016	2	1.21%	$22,772	-0.08%	2.08%	-3.33%	-0.82%	3.09%	1.49%	1.05%
2016	3	3.14%	$23,487	6.72%	9.41%	6.58%	12.96%	-0.09%	-0.06%	3.62%
2016	4	0.16%	$23,525	0.39%	2.13%	2.22%	0.41%	-0.74%	-0.16%	1.55%
2016	5	0.39%	$23,616	1.70%	0.44%	-0.09%	-3.69%	0.81%	-0.10%	-0.51%
2016	6	3.18%	$24,366	0.35%	0.83%	-2.42%	4.56%	6.93%	3.09%	3.09%
2016	7	2.27%	$24,918	3.65%	5.06%	3.98%	5.38%	2.10%	0.25%	1.29%
2016	8	-0.41%	$24,816	0.12%	1.13%	0.53%	0.88%	-1.01%	-1.01%	0.18%
2016	9	-0.11%	$24,788	0.01%	0.87%	1.34%	2.52%	-1.51%	0.24%	-0.32%
2016	10	-2.44%	$24,183	-1.73%	-3.74%	-2.22%	-0.83%	-4.38%	-1.49%	-1.53%
2016	11	-2.43%	$23,596	3.68%	13.34%	-1.78%	-4.42%	-8.21%	-4.23%	-3.17%
2016	12	0.63%	$23,745	2.03%	3.20%	2.71%	-0.25%	-0.46%	-0.12%	0.84%
2017	1	1.14%	$24,017	1.79%	-1.21%	3.29%	6.66%	0.81%	0.22%	0.15%
2017	2	1.83%	$24,457	3.93%	1.35%	1.19%	1.74%	1.59%	0.72%	1.32%
2017	3	0.18%	$24,500	0.13%	-0.65%	3.23%	3.69%	-0.65%	0.08%	-0.29%
2017	4	1.28%	$24,812	0.99%	0.51%	2.42%	1.70%	1.57%	1.11%	1.19%
2017	5	1.36%	$25,149	1.41%	-2.26%	3.54%	2.85%	1.89%	0.83%	1.33%
2017	6	0.44%	$25,260	0.64%	2.96%	0.31%	0.93%	0.79%	-0.51%	0.48%
2017	7	0.91%	$25,490	2.06%	0.75%	2.65%	5.82%	-0.66%	0.38%	0.77%
2017	8	1.43%	$25,855	0.29%	-2.72%	-0.04%	2.35%	3.41%	1.46%	0.68%
2017	9	-0.05%	$25,843	2.01%	8.58%	2.36%	-0.04%	-2.32%	-1.44%	-0.05%
2017	10	0.76%	$26,040	2.36%	0.59%	1.68%	3.28%	-0.04%	-0.19%	0.19%
2017	11	1.02%	$26,306	3.06%	3.76%	0.69%	-0.39%	0.74%	-0.28%	-0.12%
2017	12	1.12%	$26,600	1.21%	-0.37%	1.35%	3.77%	1.81%	0.18%	1.22%
2018	1	0.45%	$26,721	5.64%	1.33%	5.02%	8.30%	-3.26%	-2.15%	-1.23%
2018	2	-2.79%	$25,976	-3.64%	-4.04%	-4.83%	-5.90%	-3.04%	-0.93%	-2.24%
2018	3	0.56%	$26,122	-2.74%	1.37%	-0.84%	0.54%	2.86%	1.16%	0.56%
2018	4	-0.88%	$25,892	0.52%	1.76%	1.52%	-2.82%	-2.09%	-1.28%	-1.57%
2018	5	1.49%	$26,278	2.43%	5.87%	-1.89%	-2.62%	2.01%	0.99%	0.52%
2018	6	0.08%	$26,298	0.58%	0.80%	-1.57%	-4.54%	0.65%	0.20%	-0.49%
2018	7	0.83%	$26,516	3.70%	2.62%	2.85%	3.53%	-1.44%	-0.53%	1.34%
2018	8	1.25%	$26,848	3.19%	3.14%	-2.24%	-3.77%	1.31%	1.01%	0.02%
2018	9	-1.13%	$26,544	0.59%	-3.05%	0.97%	-0.58%	-2.86%	-1.20%	-0.14%
2018	10	-3.92%	$25,504	-6.91%	-9.94%	-8.13%	-8.76%	-2.93%	-0.30%	-2.05%
2018	11	1.59%	$25,909	1.85%	0.57%	0.50%	4.90%	1.79%	1.33%	-0.36%
2018	12	-0.59%	$25,757	-8.79%	-12.38%	-5.35%	-3.50%	5.85%	2.80%	1.86%
2019	1	3.78%	$26,730	8.01%	12.26%	6.63%	10.34%	0.38%	0.65%	3.37%
2019	2	0.47%	$26,855	3.24%	4.13%	2.54%	-1.53%	-1.38%	-0.52%	-0.20%
2019	3	2.77%	$27,598	1.81%	-3.91%	0.92%	1.13%	5.57%	2.66%	2.93%
2019	4	0.76%	$27,807	4.09%	4.32%	2.93%	2.35%	-1.99%	-0.52%	0.44%
2019	5	0.25%	$27,875	-6.38%	-9.98%	-5.03%	-7.33%	6.84%	3.05%	1.65%
2019	6	3.38%	$28,817	6.96%	7.66%	5.91%	6.20%	0.95%	1.22%	3.25%
2019	7	0.28%	$28,897	1.51%	1.30%	-1.95%	-2.66%	0.26%	0.04%	0.25%
2019	8	3.42%	$29,885	-1.67%	-5.14%	-1.92%	-3.78%	11.04%	3.95%	3.88%
2019	9	-0.14%	$29,843	1.95%	5.57%	3.16%	1.69%	-2.68%	-1.19%	-0.76%
2019	10	0.77%	$30,072	2.21%	2.00%	3.39%	4.18%	-1.11%	0.19%	0.44%
2019	11	0.73%	$30,292	3.62%	2.71%	1.13%	-0.09%	-0.41%	-0.69%	0.47%
2019	12	0.24%	$30,364	2.90%	2.84%	2.98%	7.71%	-3.20%	-0.93%	0.53%
2020	1	2.46%	$31,110	-0.04%	-6.31%	-2.82%	-6.15%	7.69%	3.47%	2.45%
2020	2	-0.19%	$31,051	-7.92%	-10.15%	-7.77%	-3.78%	6.63%	2.96%	1.09%

Portfolio return and risk metrics
Metric	Maximum Sharpe Ratio
Arithmetic Mean (monthly)	0.60%
Arithmetic Mean (annualized)	7.50%
Geometric Mean (monthly)	0.59%
Geometric Mean (annualized)	7.26%
Volatility (monthly)	1.92%
Volatility (annualized)	6.65%
Downside Deviation (monthly)	1.25%
Max. Drawdown	-16.87%
US Market Correlation	0.59
Beta^(*)	0.28
Alpha (annualized)	4.68%
R²	34.84%
Sharpe Ratio	0.89
Sortino Ratio	1.34
Treynor Ratio (%)	21.30
Calmar Ratio	1.65
Active Return	-1.28%
Tracking Error	11.47%
Information Ratio	-0.11
Skewness	-1.05
Excess Kurtosis	4.76
Historical Value-at-Risk (5%)	-2.53%
Analytical Value-at-Risk (5%)	-2.54%
Conditional Value-at-Risk (5%)	-4.63%
Upside Capture Ratio (%)	37.66
Downside Capture Ratio (%)	16.51
Safe Withdrawal Rate	8.96%
Perpetual Withdrawal Rate	4.84%
Positive Periods	137 out of 194 (70.62%)
Gain/Loss Ratio	0.98
^* 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	-16.87%

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	-16.87%
2	May 2013	Aug 2013	4 months	Feb 2014	6 months	10 months	-5.72%
3	Aug 2016	Nov 2016	4 months	May 2017	6 months	10 months	-5.31%
4	Sep 2018	Oct 2018	2 months	Feb 2019	4 months	6 months	-5.01%
5	Feb 2015	Sep 2015	8 months	Mar 2016	6 months	1 year 2 months	-4.68%
6	Apr 2004	Apr 2004	1 month	Sep 2004	5 months	6 months	-4.47%
7	Feb 2018	Apr 2018	3 months	Aug 2018	4 months	7 months	-3.10%
8	Sep 2005	Oct 2005	2 months	Dec 2005	2 months	4 months	-3.01%
9	Mar 2006	May 2006	3 months	Aug 2006	3 months	6 months	-2.61%
10	Dec 2009	Jan 2010	2 months	Mar 2010	2 months	4 months	-2.19%
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	8.37%	13.58%	32.31%	-36.81%	-50.80%	0.57	0.81	1.00
IJS	iShares S&P Small-Cap 600 Value ETF	7.88%	18.62%	39.34%	-29.39%	-54.13%	0.43	0.63	0.91
EFA	iShares MSCI EAFE ETF	4.76%	16.52%	26.95%	-41.04%	-57.38%	0.29	0.40	0.88
EEM	iShares MSCI Emerging Markets ETF	7.03%	21.76%	68.93%	-48.88%	-60.44%	0.36	0.55	0.78
TLT	iShares 20+ Year Treasury Bond ETF	7.41%	13.06%	33.96%	-21.80%	-21.80%	0.51	0.89	-0.32
IEF	iShares 7-10 Year Treasury Bond ETF	4.96%	6.17%	17.91%	-6.59%	-7.60%	0.60	1.04	-0.31
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	5.49%	6.96%	17.37%	-3.79%	-15.11%	0.61	1.00	0.25

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	0.88	0.88	0.77	-0.32	-0.30	0.25	0.59
IJS	iShares S&P Small-Cap 600 Value ETF	0.88	1.00	0.76	0.69	-0.36	-0.35	0.16	0.49
EFA	iShares MSCI EAFE ETF	0.88	0.76	1.00	0.88	-0.24	-0.21	0.35	0.62
EEM	iShares MSCI Emerging Markets ETF	0.77	0.69	0.88	1.00	-0.22	-0.17	0.32	0.59
TLT	iShares 20+ Year Treasury Bond ETF	-0.32	-0.36	-0.24	-0.22	1.00	0.91	0.55	0.55
IEF	iShares 7-10 Year Treasury Bond ETF	-0.30	-0.35	-0.21	-0.17	0.91	1.00	0.57	0.55
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	0.25	0.16	0.35	0.32	0.55	0.57	1.00	0.74

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Maximum Sharpe Ratio
SPY	SPDR S&P 500 ETF Trust	28.01%
IJS	iShares S&P Small-Cap 600 Value ETF	6.82%
EFA	iShares MSCI EAFE ETF	7.70%
EEM	iShares MSCI Emerging Markets ETF	9.61%
TLT	iShares 20+ Year Treasury Bond ETF	28.81%
IEF	iShares 7-10 Year Treasury Bond ETF	15.18%
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	3.88%

Annual Asset Returns

Rolling returns summary
Roll Period	Average	High	Low
1 year	7.36%	17.89%	-3.80%
3 years	6.88%	11.69%	2.69%
5 years	6.69%	10.29%	4.69%
7 years	7.05%	8.07%	5.59%
10 years	7.04%	8.21%	6.43%
15 years	6.77%	7.02%	6.51%
Result statistics are based on annualized rolling returns over full calendar year periods