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 2006 - Dec 2020)

Portfolio optimization results with goal to maximize return subject to 10.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period is 7.42% to 11.44%. Refer to the efficient frontier section for additional details.

Portfolio Allocations

Maximum Return at 10.00% Volatility
Ticker	Name	Allocation
VTI	Vanguard Total Stock Market ETF	57.76%
TLT	iShares 20+ Year Treasury Bond ETF	19.43%
GLD	SPDR Gold Shares	22.81%
Save portfolio »

Equal Weighted
Ticker	Name	Allocation
VTI	Vanguard Total Stock Market ETF	12.50%
IJS	iShares S&P Small-Cap 600 Value ETF	12.50%
EFA	iShares MSCI EAFE ETF	12.50%
EEM	iShares MSCI Emerging Markets ETF	12.50%
VNQ	Vanguard Real Estate ETF	12.50%
TLT	iShares 20+ Year Treasury Bond ETF	12.50%
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	12.50%
GLD	SPDR Gold Shares	12.50%
Save portfolio »

Portfolio Performance Summary

Portfolio performance statistics
Metric	Maximum Return at 10.00% Volatility	Equal Weighted
Start Balance	$10,000	$10,000
End Balance	$41,544	$31,960
CAGR	9.96%	8.05%
Expected Return	10.50%	8.84%
Stdev	9.91%	12.02%
Best Year	25.05%	23.38%
Worst Year	-16.56%	-21.23%
Max. Drawdown	-26.97%	-36.98%
Sharpe Ratio (ex-ante)	0.94	0.64
Sharpe Ratio (ex-post)	0.90	0.61
Sortino Ratio	1.44	0.92
US Stock Market Correlation	0.85	0.88

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 Return at 10.00% Volatility	8.11%	22.79%	14.09%	13.85%	10.72%	9.96%	11.64%	9.66%
Equal Weighted	11.35%	13.35%	8.76%	10.50%	7.90%	8.05%	12.71%	10.59%
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.
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	CAGR	Expected Return	Standard Deviation	Sharpe Ratio	Min. Weight	Max. Weight
1	Vanguard Total Stock Market ETF (VTI)	10.08%	11.44%	15.67%	0.658	0.00%	100.00%
2	iShares S&P Small-Cap 600 Value ETF (IJS)	8.06%	10.49%	20.99%	0.446	0.00%	100.00%
3	iShares MSCI EAFE ETF (EFA)	4.33%	6.01%	17.76%	0.275	0.00%	100.00%
4	iShares MSCI Emerging Markets ETF (EEM)	5.87%	8.56%	22.36%	0.332	0.00%	100.00%
5	Vanguard Real Estate ETF (VNQ)	6.92%	9.85%	22.92%	0.380	0.00%	100.00%
6	iShares 20+ Year Treasury Bond ETF (TLT)	7.02%	7.96%	13.40%	0.510	0.00%	100.00%
7	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)	5.94%	6.23%	7.42%	0.686	0.00%	100.00%
8	SPDR Gold Shares (GLD)	8.62%	10.30%	17.65%	0.519	0.00%	100.00%
Results based on historical returns. Ex ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate (1.13% annualized).

Asset Correlations

Efficient Frontier Asset Correlations
Name	Ticker	VTI	IJS	EFA	EEM	VNQ	TLT	LQD	GLD
Vanguard Total Stock Market ETF	VTI	1.00	0.91	0.89	0.79	0.74	-0.33	0.34	0.06
iShares S&P Small-Cap 600 Value ETF	IJS	0.91	1.00	0.79	0.71	0.74	-0.37	0.28	-0.00
iShares MSCI EAFE ETF	EFA	0.89	0.79	1.00	0.88	0.70	-0.27	0.41	0.14
iShares MSCI Emerging Markets ETF	EEM	0.79	0.71	0.88	1.00	0.62	-0.25	0.38	0.29
Vanguard Real Estate ETF	VNQ	0.74	0.74	0.70	0.62	1.00	-0.01	0.47	0.10
iShares 20+ Year Treasury Bond ETF	TLT	-0.33	-0.37	-0.27	-0.25	-0.01	1.00	0.47	0.21
iShares iBoxx $ Invmt Grade Corp Bd ETF	LQD	0.34	0.28	0.41	0.38	0.47	0.47	1.00	0.27
SPDR Gold Shares	GLD	0.06	-0.00	0.14	0.29	0.10	0.21	0.27	1.00
Based on monthly returns from Jan 2006 to Dec 2020

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

Efficient Frontier Assets
#	VTI	IJS	EFA	EEM	VNQ	TLT	LQD	GLD	Expected Return^*	Standard Deviation^*	Sharpe Ratio^*
1	13.80%	0.00%	0.00%	0.00%	0.00%	14.82%	65.63%	5.75%	7.42%	7.12%	0.884
2	14.31%	0.00%	0.00%	0.00%	0.00%	15.31%	64.49%	5.88%	7.46%	7.12%	0.890
3	14.82%	0.00%	0.00%	0.00%	0.00%	15.81%	63.36%	6.01%	7.50%	7.12%	0.895
4	15.33%	0.00%	0.00%	0.00%	0.00%	16.30%	62.23%	6.14%	7.54%	7.12%	0.901
5	15.83%	0.00%	0.00%	0.00%	0.00%	16.80%	61.10%	6.26%	7.58%	7.12%	0.906
6	16.34%	0.00%	0.00%	0.00%	0.00%	17.29%	59.97%	6.39%	7.62%	7.12%	0.911
7	16.85%	0.00%	0.00%	0.00%	0.00%	17.79%	58.84%	6.52%	7.66%	7.13%	0.916
8	17.36%	0.00%	0.00%	0.00%	0.00%	18.28%	57.71%	6.65%	7.70%	7.13%	0.921
9	17.87%	0.00%	0.00%	0.00%	0.00%	18.77%	56.58%	6.78%	7.74%	7.14%	0.926
10	18.37%	0.00%	0.00%	0.00%	0.00%	19.27%	55.45%	6.91%	7.78%	7.14%	0.931
11	18.88%	0.00%	0.00%	0.00%	0.00%	19.76%	54.32%	7.03%	7.82%	7.15%	0.936
12	19.39%	0.00%	0.00%	0.00%	0.00%	20.26%	53.19%	7.16%	7.86%	7.16%	0.941
13	19.90%	0.00%	0.00%	0.00%	0.00%	20.75%	52.06%	7.29%	7.90%	7.16%	0.945
14	20.40%	0.00%	0.00%	0.00%	0.00%	21.25%	50.93%	7.42%	7.94%	7.17%	0.950
15	20.91%	0.00%	0.00%	0.00%	0.00%	21.74%	49.80%	7.55%	7.98%	7.18%	0.954
16	21.42%	0.00%	0.00%	0.00%	0.00%	22.24%	48.67%	7.68%	8.02%	7.19%	0.958
17	21.93%	0.00%	0.00%	0.00%	0.00%	22.73%	47.54%	7.80%	8.06%	7.20%	0.963
18	22.43%	0.00%	0.00%	0.00%	0.00%	23.22%	46.41%	7.93%	8.10%	7.21%	0.967
19	22.94%	0.00%	0.00%	0.00%	0.00%	23.72%	45.28%	8.06%	8.14%	7.22%	0.971
20	23.45%	0.00%	0.00%	0.00%	0.00%	24.21%	44.15%	8.19%	8.18%	7.24%	0.975
21	23.96%	0.00%	0.00%	0.00%	0.00%	24.71%	43.02%	8.32%	8.22%	7.25%	0.978
22	24.46%	0.00%	0.00%	0.00%	0.00%	25.20%	41.89%	8.44%	8.27%	7.26%	0.982
23	24.97%	0.00%	0.00%	0.00%	0.00%	25.70%	40.76%	8.57%	8.31%	7.28%	0.986
24	25.48%	0.00%	0.00%	0.00%	0.00%	26.19%	39.63%	8.70%	8.35%	7.29%	0.989
25	25.99%	0.00%	0.00%	0.00%	0.00%	26.68%	38.50%	8.83%	8.39%	7.31%	0.993
26	26.49%	0.00%	0.00%	0.00%	0.00%	27.18%	37.37%	8.96%	8.43%	7.32%	0.996
27	27.00%	0.00%	0.00%	0.00%	0.00%	27.67%	36.24%	9.09%	8.47%	7.34%	0.999
28	27.51%	0.00%	0.00%	0.00%	0.00%	28.17%	35.11%	9.21%	8.51%	7.36%	1.002
29	28.02%	0.00%	0.00%	0.00%	0.00%	28.66%	33.98%	9.34%	8.55%	7.37%	1.005
30	28.52%	0.00%	0.00%	0.00%	0.00%	29.16%	32.85%	9.47%	8.59%	7.39%	1.008
31	29.03%	0.00%	0.00%	0.00%	0.00%	29.65%	31.72%	9.60%	8.63%	7.41%	1.011
32	29.54%	0.00%	0.00%	0.00%	0.00%	30.14%	30.59%	9.73%	8.67%	7.43%	1.014
33	30.05%	0.00%	0.00%	0.00%	0.00%	30.64%	29.46%	9.86%	8.71%	7.45%	1.017
34	30.55%	0.00%	0.00%	0.00%	0.00%	31.13%	28.33%	9.98%	8.75%	7.47%	1.019
35	31.06%	0.00%	0.00%	0.00%	0.00%	31.63%	27.20%	10.11%	8.79%	7.49%	1.022
36	31.57%	0.00%	0.00%	0.00%	0.00%	32.12%	26.07%	10.24%	8.83%	7.52%	1.024
37	32.08%	0.00%	0.00%	0.00%	0.00%	32.62%	24.94%	10.37%	8.87%	7.54%	1.026
38	32.59%	0.00%	0.00%	0.00%	0.00%	33.11%	23.81%	10.50%	8.91%	7.56%	1.029
39	33.09%	0.00%	0.00%	0.00%	0.00%	33.61%	22.68%	10.63%	8.95%	7.59%	1.031
40	33.60%	0.00%	0.00%	0.00%	0.00%	34.10%	21.55%	10.75%	8.99%	7.61%	1.033
41	34.11%	0.00%	0.00%	0.00%	0.00%	34.59%	20.42%	10.88%	9.03%	7.63%	1.035
42	34.62%	0.00%	0.00%	0.00%	0.00%	35.09%	19.29%	11.01%	9.07%	7.66%	1.037
43	35.12%	0.00%	0.00%	0.00%	0.00%	35.58%	18.16%	11.14%	9.11%	7.69%	1.038
44	35.63%	0.00%	0.00%	0.00%	0.00%	36.08%	17.03%	11.27%	9.15%	7.71%	1.040
45	36.14%	0.00%	0.00%	0.00%	0.00%	36.57%	15.90%	11.39%	9.19%	7.74%	1.042
46	36.65%	0.00%	0.00%	0.00%	0.00%	37.07%	14.76%	11.52%	9.23%	7.77%	1.043
47	37.15%	0.00%	0.00%	0.00%	0.00%	37.56%	13.63%	11.65%	9.27%	7.79%	1.045
48	37.66%	0.00%	0.00%	0.00%	0.00%	38.05%	12.50%	11.78%	9.32%	7.82%	1.046
49	38.17%	0.00%	0.00%	0.00%	0.00%	38.55%	11.37%	11.91%	9.36%	7.85%	1.047
50	38.68%	0.00%	0.00%	0.00%	0.00%	39.04%	10.24%	12.04%	9.40%	7.88%	1.049
51	39.18%	0.00%	0.00%	0.00%	0.00%	39.54%	9.11%	12.16%	9.44%	7.91%	1.050
52	39.69%	0.00%	0.00%	0.00%	0.00%	40.03%	7.98%	12.29%	9.48%	7.94%	1.051
53	40.20%	0.00%	0.00%	0.00%	0.00%	40.53%	6.85%	12.42%	9.52%	7.97%	1.052
54	40.71%	0.00%	0.00%	0.00%	0.00%	41.02%	5.72%	12.55%	9.56%	8.00%	1.053
55	41.21%	0.00%	0.00%	0.00%	0.00%	41.52%	4.59%	12.68%	9.60%	8.04%	1.054
56	41.72%	0.00%	0.00%	0.00%	0.00%	42.01%	3.46%	12.81%	9.64%	8.07%	1.055
57	42.23%	0.00%	0.00%	0.00%	0.00%	42.50%	2.33%	12.93%	9.68%	8.10%	1.055
58	42.74%	0.00%	0.00%	0.00%	0.00%	43.00%	1.20%	13.06%	9.72%	8.13%	1.056
59	43.24%	0.00%	0.00%	0.00%	0.00%	43.49%	0.07%	13.19%	9.76%	8.17%	1.057
60	44.03%	0.00%	0.00%	0.00%	0.00%	42.27%	0.00%	13.70%	9.80%	8.21%	1.057
61	44.84%	0.00%	0.00%	0.00%	0.00%	40.92%	0.00%	14.24%	9.84%	8.25%	1.056
62	45.65%	0.00%	0.00%	0.00%	0.00%	39.58%	0.00%	14.77%	9.88%	8.30%	1.054
63	46.45%	0.00%	0.00%	0.00%	0.00%	38.24%	0.00%	15.31%	9.93%	8.36%	1.051
64	47.26%	0.00%	0.00%	0.00%	0.00%	36.89%	0.00%	15.85%	9.97%	8.43%	1.048
65	48.07%	0.00%	0.00%	0.00%	0.00%	35.55%	0.00%	16.38%	10.01%	8.51%	1.043
66	48.88%	0.00%	0.00%	0.00%	0.00%	34.21%	0.00%	16.92%	10.05%	8.59%	1.038
67	49.68%	0.00%	0.00%	0.00%	0.00%	32.86%	0.00%	17.45%	10.09%	8.68%	1.032
68	50.49%	0.00%	0.00%	0.00%	0.00%	31.52%	0.00%	17.99%	10.13%	8.78%	1.025
69	51.30%	0.00%	0.00%	0.00%	0.00%	30.18%	0.00%	18.53%	10.17%	8.88%	1.018
70	52.11%	0.00%	0.00%	0.00%	0.00%	28.83%	0.00%	19.06%	10.21%	8.99%	1.010
71	52.91%	0.00%	0.00%	0.00%	0.00%	27.49%	0.00%	19.60%	10.25%	9.11%	1.002
72	53.72%	0.00%	0.00%	0.00%	0.00%	26.15%	0.00%	20.13%	10.29%	9.23%	0.993
73	54.53%	0.00%	0.00%	0.00%	0.00%	24.80%	0.00%	20.67%	10.33%	9.35%	0.984
74	55.33%	0.00%	0.00%	0.00%	0.00%	23.46%	0.00%	21.21%	10.38%	9.49%	0.974
75	56.14%	0.00%	0.00%	0.00%	0.00%	22.12%	0.00%	21.74%	10.42%	9.62%	0.965
76	56.95%	0.00%	0.00%	0.00%	0.00%	20.77%	0.00%	22.28%	10.46%	9.76%	0.955
77	57.76%	0.00%	0.00%	0.00%	0.00%	19.43%	0.00%	22.81%	10.50%	9.91%	0.945
78	58.56%	0.00%	0.00%	0.00%	0.00%	18.09%	0.00%	23.35%	10.54%	10.06%	0.935
79	59.37%	0.00%	0.00%	0.00%	0.00%	16.74%	0.00%	23.89%	10.58%	10.22%	0.925
80	60.18%	0.00%	0.00%	0.00%	0.00%	15.40%	0.00%	24.42%	10.62%	10.38%	0.914
81	60.98%	0.00%	0.00%	0.00%	0.00%	14.06%	0.00%	24.96%	10.66%	10.54%	0.904
82	61.79%	0.00%	0.00%	0.00%	0.00%	12.71%	0.00%	25.49%	10.70%	10.71%	0.894
83	62.60%	0.00%	0.00%	0.00%	0.00%	11.37%	0.00%	26.03%	10.74%	10.88%	0.883
84	63.41%	0.00%	0.00%	0.00%	0.00%	10.03%	0.00%	26.57%	10.79%	11.06%	0.873
85	64.21%	0.00%	0.00%	0.00%	0.00%	8.68%	0.00%	27.10%	10.83%	11.23%	0.863
86	65.02%	0.00%	0.00%	0.00%	0.00%	7.34%	0.00%	27.64%	10.87%	11.41%	0.853
87	65.83%	0.00%	0.00%	0.00%	0.00%	6.00%	0.00%	28.17%	10.91%	11.60%	0.843
88	66.64%	0.00%	0.00%	0.00%	0.00%	4.65%	0.00%	28.71%	10.95%	11.78%	0.833
89	67.44%	0.00%	0.00%	0.00%	0.00%	3.31%	0.00%	29.25%	10.99%	11.97%	0.823
90	68.25%	0.00%	0.00%	0.00%	0.00%	1.97%	0.00%	29.78%	11.03%	12.17%	0.814
91	69.06%	0.00%	0.00%	0.00%	0.00%	0.62%	0.00%	30.32%	11.07%	12.36%	0.804
92	71.35%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	28.65%	11.11%	12.56%	0.795
93	74.93%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	25.07%	11.16%	12.81%	0.782
94	78.51%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	21.49%	11.20%	13.10%	0.768
95	82.09%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	17.91%	11.24%	13.44%	0.752
96	85.67%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	14.33%	11.28%	13.82%	0.734
97	89.25%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	10.75%	11.32%	14.23%	0.716
98	92.84%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	7.16%	11.36%	14.68%	0.697
99	96.42%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	3.58%	11.40%	15.16%	0.677
100	100.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	11.44%	15.67%	0.658
^*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 (1.13% annualized).

Annual returns for the configured portfolios
Year	Inflation	Return		Balance		Vanguard Total Stock Market ETF (VTI)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)	iShares S&P Small-Cap 600 Value ETF (IJS)	iShares MSCI EAFE ETF (EFA)	iShares MSCI Emerging Markets ETF (EEM)	Vanguard Real Estate ETF (VNQ)	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
Year	Inflation	Maximum Return at 10.00% Volatility	Equal Weighted	Maximum Return at 10.00% Volatility	Equal Weighted	Vanguard Total Stock Market ETF (VTI)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)	iShares S&P Small-Cap 600 Value ETF (IJS)	iShares MSCI EAFE ETF (EFA)	iShares MSCI Emerging Markets ETF (EEM)	Vanguard Real Estate ETF (VNQ)	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
2006	2.54%	14.53%	19.39%	$11,453	$11,939	15.69%	0.71%	22.55%	19.37%	25.81%	31.19%	35.30%	4.22%
2007	4.08%	11.99%	8.39%	$12,826	$12,941	5.37%	10.29%	30.45%	-5.56%	9.94%	33.31%	-16.50%	3.73%
2008	0.09%	-16.56%	-21.23%	$10,702	$10,194	-36.98%	33.93%	4.92%	-29.39%	-41.04%	-48.88%	-37.00%	2.40%
2009	2.72%	17.33%	23.38%	$12,557	$12,577	28.89%	-21.80%	24.03%	22.36%	26.95%	68.93%	30.08%	8.46%
2010	1.50%	19.46%	18.79%	$15,000	$14,941	17.42%	9.05%	29.27%	24.69%	8.15%	16.51%	28.37%	9.33%
2011	2.96%	10.06%	4.04%	$16,510	$15,545	0.97%	33.96%	9.57%	-1.65%	-12.25%	-18.82%	8.62%	9.73%
2012	1.74%	11.89%	14.22%	$18,473	$17,756	16.45%	2.63%	6.60%	18.24%	18.82%	19.10%	17.63%	10.58%
2013	1.50%	7.22%	4.45%	$19,807	$18,546	33.45%	-13.37%	-28.33%	39.34%	21.40%	-3.69%	2.31%	-2.00%
2014	0.76%	11.91%	8.88%	$22,167	$20,193	12.54%	27.30%	-2.19%	7.56%	-6.20%	-3.93%	30.36%	8.21%
2015	0.73%	-2.04%	-3.92%	$21,715	$19,401	0.36%	-1.79%	-10.67%	-6.90%	-1.00%	-16.18%	2.42%	-1.25%
2016	2.07%	10.14%	10.46%	$23,916	$21,431	12.83%	1.18%	8.03%	31.25%	1.37%	10.87%	8.60%	6.21%
2017	2.11%	16.96%	15.92%	$27,973	$24,842	21.21%	9.18%	12.81%	11.35%	25.10%	37.28%	4.91%	7.06%
2018	1.91%	-3.27%	-7.18%	$27,057	$23,059	-5.21%	-1.61%	-1.94%	-12.84%	-13.81%	-15.31%	-6.02%	-3.79%
2019	2.29%	25.05%	22.27%	$33,834	$28,195	30.67%	14.12%	17.86%	24.12%	22.03%	18.20%	28.87%	17.37%
2020	1.36%	22.79%	13.35%	$41,544	$31,960	21.03%	18.15%	24.81%	2.63%	7.59%	17.03%	-4.68%	10.97%

Monthly returns for the configured portfolios
Year	Month	Return		Balance		Vanguard Total Stock Market ETF (VTI)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)	iShares S&P Small-Cap 600 Value ETF (IJS)	iShares MSCI EAFE ETF (EFA)	iShares MSCI Emerging Markets ETF (EEM)	Vanguard Real Estate ETF (VNQ)	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
Year	Month	Maximum Return at 10.00% Volatility	Equal Weighted	Maximum Return at 10.00% Volatility	Equal Weighted	Vanguard Total Stock Market ETF (VTI)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)	iShares S&P Small-Cap 600 Value ETF (IJS)	iShares MSCI EAFE ETF (EFA)	iShares MSCI Emerging Markets ETF (EEM)	Vanguard Real Estate ETF (VNQ)	iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD)
2006	1	3.86%	5.95%	$10,386	$10,595	3.22%	-1.34%	9.93%	8.75%	5.77%	14.20%	7.54%	-0.44%
2006	2	0.09%	-0.19%	$10,396	$10,575	0.22%	1.11%	-1.11%	0.27%	-0.70%	-3.85%	1.86%	0.68%
2006	3	1.12%	1.90%	$10,512	$10,776	2.05%	-4.57%	3.62%	4.86%	4.01%	2.17%	4.73%	-1.68%
2006	4	2.76%	2.26%	$10,803	$11,020	0.96%	-2.75%	12.03%	0.18%	4.79%	6.52%	-3.40%	-0.20%
2006	5	-2.20%	-3.39%	$10,565	$10,646	-3.22%	-0.19%	-1.32%	-4.55%	-3.82%	-11.14%	-2.70%	-0.19%
2006	6	-0.76%	0.21%	$10,485	$10,669	0.13%	1.18%	-4.67%	0.04%	-0.06%	0.21%	4.95%	-0.09%
2006	7	1.07%	1.33%	$10,597	$10,810	-0.12%	2.16%	3.15%	-3.10%	0.81%	2.34%	3.89%	1.46%
2006	8	1.61%	2.07%	$10,767	$11,033	2.30%	3.06%	-1.38%	2.70%	2.55%	1.58%	3.48%	2.22%
2006	9	0.64%	0.38%	$10,836	$11,075	2.26%	1.91%	-4.53%	1.19%	0.22%	-0.87%	1.96%	0.87%
2006	10	2.50%	3.63%	$11,107	$11,477	3.53%	0.85%	1.29%	5.52%	3.75%	7.06%	6.03%	1.00%
2006	11	3.37%	3.65%	$11,481	$11,896	2.33%	2.31%	6.89%	2.38%	3.07%	5.98%	4.78%	1.46%
2006	12	-0.25%	0.36%	$11,453	$11,939	1.20%	-2.69%	-1.83%	0.32%	3.20%	5.44%	-1.83%	-0.90%
2007	1	1.47%	1.99%	$11,621	$12,177	1.86%	-1.00%	2.56%	2.14%	1.39%	0.11%	8.78%	0.09%
2007	2	0.30%	-0.08%	$11,656	$12,167	-1.62%	3.39%	2.55%	-0.92%	-0.12%	-3.24%	-2.70%	2.00%
2007	3	0.06%	0.59%	$11,663	$12,238	1.12%	-1.70%	-1.11%	0.91%	2.90%	5.33%	-2.07%	-0.68%
2007	4	2.97%	2.13%	$12,009	$12,499	4.02%	0.90%	2.05%	1.84%	3.75%	3.73%	-0.13%	0.89%
2007	5	1.17%	1.19%	$12,150	$12,649	3.72%	-2.31%	-2.31%	4.63%	2.36%	5.06%	-0.38%	-1.23%
2007	6	-1.66%	-1.67%	$11,949	$12,437	-1.76%	-1.01%	-1.94%	-2.24%	-0.32%	3.68%	-8.99%	-0.81%
2007	7	-0.86%	-1.85%	$11,847	$12,207	-3.53%	3.32%	2.37%	-6.26%	-2.29%	0.71%	-8.26%	-0.82%
2007	8	1.45%	1.90%	$12,018	$12,440	1.47%	1.79%	1.11%	1.33%	-0.63%	1.04%	6.74%	2.38%
2007	9	4.66%	4.55%	$12,579	$13,006	3.85%	0.23%	10.51%	0.31%	5.32%	11.57%	3.90%	0.73%
2007	10	2.97%	3.85%	$12,953	$13,507	1.79%	1.81%	6.95%	1.06%	4.25%	11.87%	2.10%	0.97%
2007	11	-1.95%	-3.46%	$12,700	$13,039	-4.52%	5.35%	-1.65%	-7.15%	-3.62%	-7.65%	-9.47%	1.02%
2007	12	0.99%	-0.75%	$12,826	$12,941	-0.70%	-0.64%	6.65%	-0.71%	-2.99%	-1.43%	-5.41%	-0.81%
2008	1	-0.68%	-1.53%	$12,739	$12,743	-6.17%	2.10%	10.84%	-4.00%	-7.85%	-8.92%	-0.78%	2.57%
2008	2	-0.34%	-0.50%	$12,696	$12,680	-2.50%	-0.46%	5.23%	-3.36%	-1.02%	1.99%	-3.18%	-0.71%
2008	3	-1.47%	-0.17%	$12,509	$12,658	-0.90%	2.14%	-6.00%	0.83%	0.42%	-3.75%	6.48%	-0.60%
2008	4	1.39%	2.89%	$12,683	$13,023	4.89%	-2.48%	-4.16%	2.64%	5.44%	9.14%	6.38%	1.25%
2008	5	0.85%	0.76%	$12,791	$13,122	2.02%	-2.69%	0.92%	3.92%	1.19%	3.16%	-0.21%	-2.21%
2008	6	-3.14%	-4.92%	$12,389	$12,477	-8.12%	2.65%	4.52%	-8.41%	-8.80%	-9.29%	-10.62%	-1.29%
2008	7	-0.76%	-0.61%	$12,295	$12,401	-0.62%	-0.37%	-1.44%	2.87%	-3.32%	-5.50%	3.12%	0.39%
2008	8	-0.74%	-1.05%	$12,203	$12,271	1.46%	2.74%	-9.29%	4.76%	-4.25%	-6.32%	2.37%	0.15%
2008	9	-4.11%	-5.68%	$11,701	$11,574	-9.24%	1.47%	4.11%	-4.82%	-11.44%	-14.68%	-0.11%	-10.73%
2008	10	-14.14%	-16.93%	$10,047	$9,615	-17.48%	-1.86%	-16.14%	-19.86%	-20.83%	-25.58%	-31.73%	-1.95%
2008	11	1.03%	-3.55%	$10,150	$9,273	-8.01%	14.34%	12.57%	-11.80%	-6.37%	-9.75%	-22.72%	3.35%
2008	12	5.44%	9.93%	$10,702	$10,194	1.78%	13.64%	7.73%	6.57%	8.88%	10.35%	16.67%	13.80%
2009	1	-5.92%	-8.98%	$10,068	$9,278	-8.05%	-13.07%	5.54%	-13.94%	-13.73%	-9.29%	-17.53%	-1.80%
2009	2	-6.05%	-8.25%	$9,459	$8,512	-10.53%	-1.54%	1.45%	-13.03%	-10.39%	-6.27%	-20.53%	-5.20%
2009	3	4.98%	5.84%	$9,931	$9,009	8.26%	4.04%	-2.54%	7.58%	8.39%	16.86%	3.61%	0.47%
2009	4	4.24%	10.02%	$10,351	$9,911	10.99%	-6.95%	-3.33%	18.89%	11.52%	15.56%	30.68%	2.78%
2009	5	4.77%	5.84%	$10,845	$10,491	5.46%	-3.69%	10.23%	0.67%	13.19%	15.94%	2.62%	2.32%
2009	6	-0.83%	-0.82%	$10,755	$10,404	0.36%	0.76%	-5.22%	1.52%	-1.43%	-2.25%	-3.23%	2.89%
2009	7	5.12%	7.27%	$11,306	$11,160	7.74%	0.58%	2.38%	11.00%	10.04%	11.01%	10.77%	4.63%
2009	8	2.59%	3.54%	$11,599	$11,555	3.71%	2.24%	0.05%	3.48%	4.50%	-1.31%	14.32%	1.31%
2009	9	4.20%	4.88%	$12,086	$12,119	4.14%	2.46%	5.84%	4.21%	3.80%	10.20%	6.63%	1.76%
2009	10	-1.18%	-2.32%	$11,943	$11,838	-2.63%	-2.62%	3.72%	-6.07%	-2.52%	-3.44%	-4.46%	-0.49%
2009	11	6.44%	5.36%	$12,712	$12,473	5.69%	1.21%	12.79%	2.90%	3.92%	7.85%	6.57%	1.95%
2009	12	-1.22%	0.84%	$12,557	$12,577	2.86%	-6.34%	-7.20%	8.10%	0.70%	3.27%	7.37%	-2.07%
2010	1	-1.82%	-2.72%	$12,328	$12,235	-3.57%	2.69%	-1.26%	-2.54%	-5.07%	-7.76%	-5.52%	1.25%
2010	2	2.67%	2.41%	$12,657	$12,530	3.44%	-0.34%	3.27%	4.76%	0.27%	1.78%	5.58%	0.51%
2010	3	3.19%	4.63%	$13,061	$13,110	6.40%	-2.06%	-0.44%	7.80%	6.39%	8.11%	10.18%	0.65%
2010	4	3.25%	3.01%	$13,485	$13,505	2.18%	3.32%	5.88%	6.63%	-2.80%	-0.17%	7.15%	1.91%
2010	5	-2.86%	-4.44%	$13,099	$12,906	-7.88%	5.11%	3.05%	-8.54%	-11.19%	-9.39%	-5.33%	-1.31%
2010	6	-1.71%	-1.42%	$12,876	$12,723	-5.83%	5.80%	2.36%	-8.27%	-2.07%	-1.40%	-5.19%	3.28%
2010	7	2.71%	5.24%	$13,225	$13,390	7.02%	-0.95%	-5.09%	6.71%	11.61%	10.93%	9.59%	2.11%
2010	8	0.21%	-0.50%	$13,253	$13,323	-4.71%	8.40%	5.71%	-7.91%	-3.80%	-3.24%	-1.28%	2.86%
2010	9	6.06%	6.16%	$14,056	$14,144	9.45%	-2.51%	4.78%	10.93%	9.97%	11.76%	4.45%	0.46%
2010	10	2.30%	2.32%	$14,379	$14,472	4.03%	-4.47%	3.68%	4.04%	3.81%	3.02%	4.74%	-0.26%
2010	11	0.45%	-0.97%	$14,443	$14,331	0.51%	-1.69%	2.11%	2.47%	-4.82%	-2.91%	-1.85%	-1.62%
2010	12	3.86%	4.25%	$15,000	$14,941	6.96%	-3.68%	2.44%	8.97%	8.30%	7.27%	4.54%	-0.75%
2011	1	-0.87%	-0.76%	$14,870	$14,827	2.05%	-3.08%	-6.38%	-0.24%	2.10%	-3.84%	3.25%	0.04%
2011	2	3.82%	3.11%	$15,438	$15,287	3.70%	1.65%	6.00%	4.21%	3.55%	-0.04%	4.71%	1.08%
2011	3	0.61%	0.75%	$15,533	$15,402	0.42%	0.03%	1.60%	2.21%	-2.39%	6.29%	-1.62%	-0.54%
2011	4	4.17%	3.98%	$16,180	$16,015	2.90%	2.34%	8.94%	1.06%	5.63%	2.73%	5.75%	2.50%
2011	5	-0.36%	-0.46%	$16,122	$15,941	-1.06%	3.42%	-1.79%	-1.77%	-2.21%	-2.94%	1.37%	1.27%
2011	6	-2.04%	-1.80%	$15,793	$15,655	-1.79%	-2.33%	-2.43%	-1.59%	-1.19%	-0.93%	-3.30%	-0.80%
2011	7	1.47%	1.05%	$16,025	$15,819	-2.27%	4.42%	8.42%	-2.77%	-2.38%	-1.03%	1.56%	2.43%
2011	8	1.16%	-1.93%	$16,211	$15,514	-6.09%	9.66%	12.27%	-7.98%	-8.75%	-9.25%	-5.62%	0.34%
2011	9	-4.33%	-6.90%	$15,509	$14,443	-7.57%	13.20%	-11.06%	-10.57%	-10.81%	-17.89%	-10.85%	0.35%
2011	10	7.16%	8.93%	$16,619	$15,733	11.37%	-3.84%	5.87%	15.34%	9.63%	16.27%	14.29%	2.51%
2011	11	0.55%	-0.90%	$16,710	$15,592	-0.37%	1.98%	1.67%	0.63%	-2.18%	-1.96%	-3.80%	-3.16%
2011	12	-1.20%	-0.30%	$16,510	$15,545	0.98%	3.44%	-10.66%	2.02%	-2.21%	-4.30%	4.85%	3.49%
2012	1	5.46%	6.10%	$17,412	$16,493	5.07%	-0.33%	11.40%	7.90%	5.27%	10.99%	6.38%	2.14%
2012	2	1.26%	1.37%	$17,630	$16,719	4.22%	-2.59%	-2.96%	1.71%	4.83%	5.27%	-1.15%	1.63%
2012	3	0.64%	0.18%	$17,744	$16,750	3.06%	-4.23%	-1.32%	2.89%	0.42%	-3.11%	5.19%	-1.42%
2012	4	0.54%	0.29%	$17,839	$16,798	-0.64%	4.83%	-0.15%	-1.91%	-2.08%	-1.70%	2.86%	1.08%
2012	5	-3.29%	-4.54%	$17,253	$16,036	-6.23%	9.03%	-6.34%	-7.18%	-11.14%	-10.71%	-4.51%	0.76%
2012	6	2.55%	3.48%	$17,693	$16,594	4.05%	-1.68%	2.35%	4.54%	7.11%	5.08%	5.52%	0.87%
2012	7	1.44%	1.30%	$17,947	$16,809	0.88%	3.82%	0.84%	-0.69%	0.08%	-0.03%	2.00%	3.48%
2012	8	2.43%	1.74%	$18,384	$17,102	2.70%	-1.32%	4.94%	4.08%	3.20%	0.41%	-0.01%	-0.05%
2012	9	2.01%	1.87%	$18,754	$17,422	2.49%	-2.53%	4.67%	3.14%	2.71%	5.22%	-1.86%	1.10%
2012	10	-1.81%	-0.76%	$18,415	$17,289	-1.81%	-0.48%	-2.94%	-1.96%	1.09%	-0.44%	-0.91%	1.35%
2012	11	0.61%	0.87%	$18,527	$17,440	0.77%	1.38%	-0.47%	1.65%	2.78%	1.56%	-0.26%	-0.42%
2012	12	-0.29%	1.81%	$18,473	$17,756	1.29%	-2.49%	-2.43%	3.55%	4.37%	6.80%	3.72%	-0.33%
2013	1	2.39%	1.62%	$18,915	$18,043	5.42%	-3.19%	-0.51%	5.35%	3.73%	-0.29%	3.74%	-1.30%
2013	2	-0.18%	-0.28%	$18,881	$17,993	1.28%	1.24%	-5.09%	1.63%	-1.29%	-2.28%	1.22%	1.08%
2013	3	2.41%	1.46%	$19,337	$18,256	3.95%	-0.42%	0.95%	4.11%	1.31%	-1.02%	2.87%	-0.05%
2013	4	0.11%	1.75%	$19,358	$18,575	1.61%	4.68%	-7.56%	0.12%	5.02%	1.22%	6.73%	2.17%
2013	5	-1.32%	-2.91%	$19,103	$18,035	2.44%	-6.76%	-6.20%	4.29%	-3.02%	-4.83%	-5.98%	-3.22%
2013	6	-3.99%	-3.65%	$18,342	$17,377	-1.43%	-3.27%	-11.06%	-0.14%	-2.70%	-5.35%	-1.98%	-3.27%
2013	7	4.57%	3.27%	$19,181	$17,945	5.75%	-2.26%	7.43%	6.56%	5.32%	1.32%	0.90%	1.11%
2013	8	-0.82%	-1.88%	$19,023	$17,607	-3.03%	-1.34%	5.20%	-3.41%	-1.96%	-2.54%	-6.98%	-1.00%
2013	9	1.29%	3.20%	$19,268	$18,171	3.90%	0.66%	-4.78%	6.59%	7.82%	7.21%	3.49%	0.74%
2013	10	2.66%	2.82%	$19,782	$18,684	4.27%	1.43%	-0.34%	3.48%	3.26%	4.17%	4.52%	1.81%
2013	11	-0.22%	-0.79%	$19,738	$18,536	2.70%	-2.70%	-5.51%	4.25%	0.55%	-0.26%	-5.25%	-0.14%
2013	12	0.35%	0.05%	$19,807	$18,546	2.73%	-1.87%	-3.79%	1.29%	2.16%	-0.42%	0.10%	0.22%
2014	1	0.17%	-0.58%	$19,841	$18,438	-3.17%	6.30%	3.42%	-3.51%	-5.20%	-8.64%	4.28%	1.88%
2014	2	4.34%	4.00%	$20,703	$19,176	4.87%	0.52%	6.27%	4.63%	6.13%	3.38%	5.07%	1.14%
2014	3	-0.28%	0.41%	$20,645	$19,255	0.51%	0.73%	-3.14%	1.34%	-0.46%	3.88%	0.49%	-0.03%
2014	4	0.56%	0.93%	$20,759	$19,434	0.06%	2.10%	0.49%	-2.29%	1.67%	0.78%	3.29%	1.33%
2014	5	1.09%	1.38%	$20,986	$19,703	2.10%	2.95%	-3.05%	0.62%	1.60%	2.95%	2.40%	1.51%
2014	6	2.91%	2.13%	$21,596	$20,122	2.62%	-0.25%	6.32%	3.85%	0.92%	2.40%	1.13%	0.01%
2014	7	-1.85%	-1.44%	$21,196	$19,832	-1.99%	0.67%	-3.63%	-5.07%	-2.60%	1.36%	0.08%	-0.32%
2014	8	3.40%	2.72%	$21,917	$20,372	4.15%	4.72%	0.38%	4.46%	0.18%	2.83%	3.04%	2.00%
2014	9	-3.03%	-4.46%	$21,253	$19,463	-2.10%	-2.11%	-6.18%	-5.94%	-3.88%	-7.77%	-6.04%	-1.68%
2014	10	1.44%	2.74%	$21,558	$19,997	2.75%	2.81%	-3.05%	7.13%	-0.27%	1.42%	9.94%	1.23%
2014	11	1.90%	0.86%	$21,967	$20,169	2.48%	2.97%	-0.49%	0.48%	0.06%	-1.54%	2.00%	0.91%
2014	12	0.91%	0.12%	$22,167	$20,193	-0.04%	3.25%	1.31%	2.56%	-4.00%	-3.99%	1.88%	-0.02%
2015	1	2.31%	2.62%	$22,678	$20,723	-2.74%	9.82%	8.69%	-5.32%	0.62%	-0.69%	6.85%	3.75%
2015	2	0.78%	0.65%	$22,855	$20,858	5.74%	-6.14%	-5.91%	5.86%	6.34%	4.41%	-3.67%	-1.42%
2015	3	-0.95%	-0.27%	$22,639	$20,801	-1.16%	1.10%	-2.15%	1.03%	-1.43%	-1.50%	1.74%	0.20%
2015	4	-0.35%	-0.17%	$22,560	$20,766	0.62%	-3.43%	-0.17%	-1.82%	3.65%	6.85%	-5.85%	-1.19%
2015	5	0.42%	-0.64%	$22,653	$20,634	1.30%	-2.37%	0.56%	0.75%	0.20%	-4.10%	-0.30%	-1.12%
2015	6	-2.10%	-2.43%	$22,177	$20,133	-1.67%	-4.07%	-1.52%	0.42%	-3.12%	-2.93%	-4.68%	-1.88%
2015	7	0.36%	-0.09%	$22,256	$20,114	1.70%	4.55%	-6.62%	-2.70%	2.03%	-6.31%	5.77%	0.83%
2015	8	-2.81%	-3.88%	$21,631	$19,333	-6.09%	-0.69%	3.71%	-4.62%	-7.43%	-8.84%	-6.29%	-0.83%
2015	9	-1.72%	-1.23%	$21,260	$19,095	-2.92%	1.97%	-1.80%	-3.77%	-4.42%	-3.13%	3.05%	1.19%
2015	10	5.01%	4.46%	$22,325	$19,946	7.91%	-0.41%	2.28%	6.57%	6.61%	6.38%	5.76%	0.57%
2015	11	-1.36%	-1.08%	$22,021	$19,732	0.60%	-0.87%	-6.75%	2.47%	-0.75%	-2.52%	-0.63%	-0.15%
2015	12	-1.39%	-1.67%	$21,715	$19,401	-2.13%	-0.30%	-0.45%	-5.08%	-2.34%	-3.83%	1.82%	-1.08%
2016	1	-0.99%	-1.81%	$21,500	$19,051	-5.72%	5.57%	5.41%	-5.85%	-5.52%	-5.03%	-3.44%	0.12%
2016	2	3.09%	1.58%	$22,164	$19,351	-0.01%	3.09%	10.93%	2.08%	-3.33%	-0.82%	-0.36%	1.05%
2016	3	3.90%	6.15%	$23,028	$20,542	7.11%	-0.09%	-0.84%	9.41%	6.58%	12.96%	10.48%	3.62%
2016	4	1.40%	1.12%	$23,351	$20,773	0.66%	-0.74%	5.11%	2.13%	2.22%	0.41%	-2.35%	1.55%
2016	5	-0.24%	-0.65%	$23,294	$20,638	1.73%	0.81%	-6.14%	0.44%	-0.09%	-3.69%	2.25%	-0.51%
2016	6	3.55%	3.65%	$24,121	$21,391	0.27%	6.93%	8.97%	0.83%	-2.42%	4.56%	6.92%	3.09%
2016	7	3.16%	3.50%	$24,883	$22,140	3.98%	2.10%	1.98%	5.06%	3.98%	5.38%	4.26%	1.29%
2016	8	-0.82%	-0.64%	$24,679	$21,999	0.21%	-1.01%	-3.26%	1.13%	0.53%	0.88%	-3.76%	0.18%
2016	9	-0.02%	0.25%	$24,675	$22,054	0.21%	-1.51%	0.69%	0.87%	1.34%	2.52%	-1.82%	-0.32%
2016	10	-2.79%	-2.95%	$23,987	$21,404	-2.19%	-4.38%	-2.94%	-3.74%	-2.22%	-0.83%	-5.74%	-1.53%
2016	11	-0.91%	-1.22%	$23,769	$21,142	4.49%	-8.21%	-8.36%	13.34%	-1.78%	-4.42%	-1.68%	-3.17%
2016	12	0.62%	1.37%	$23,916	$21,431	1.98%	-0.46%	-1.91%	3.20%	2.71%	-0.25%	4.82%	0.84%
2017	1	2.47%	2.10%	$24,506	$21,881	1.86%	0.81%	5.42%	-1.21%	3.29%	6.66%	-0.19%	0.15%
2017	2	3.17%	2.20%	$25,282	$22,361	3.69%	1.59%	3.18%	1.35%	1.19%	1.74%	3.51%	1.32%
2017	3	-0.19%	0.32%	$25,234	$22,432	0.06%	-0.65%	-0.43%	-0.65%	3.23%	3.69%	-2.42%	-0.29%
2017	4	1.31%	1.30%	$25,565	$22,724	1.06%	1.57%	1.73%	0.51%	2.42%	1.70%	0.24%	1.19%
2017	5	0.92%	0.94%	$25,801	$22,938	1.01%	1.89%	-0.12%	-2.26%	3.54%	2.85%	-0.72%	1.33%
2017	6	0.21%	0.81%	$25,855	$23,124	0.95%	0.79%	-2.16%	2.96%	0.31%	0.93%	2.23%	0.48%
2017	7	1.49%	1.85%	$26,239	$23,551	1.88%	-0.66%	2.31%	0.75%	2.65%	5.82%	1.24%	0.77%
2017	8	1.71%	0.97%	$26,687	$23,779	0.15%	3.41%	4.20%	-2.72%	-0.04%	2.35%	-0.26%	0.68%
2017	9	0.19%	0.94%	$26,738	$24,002	2.44%	-2.32%	-3.37%	8.58%	2.36%	-0.04%	-0.11%	-0.05%
2017	10	1.07%	0.76%	$27,025	$24,184	2.17%	-0.04%	-0.75%	0.59%	1.68%	3.28%	-1.07%	0.19%
2017	11	1.98%	1.34%	$27,559	$24,508	3.03%	0.74%	0.36%	3.76%	0.69%	-0.39%	2.66%	-0.12%
2017	12	1.50%	1.36%	$27,973	$24,842	1.16%	1.81%	2.11%	-0.37%	1.35%	3.77%	-0.14%	1.22%
2018	1	3.13%	1.80%	$28,847	$25,289	5.23%	-3.26%	3.23%	1.33%	5.02%	8.30%	-4.25%	-1.23%
2018	2	-3.24%	-4.20%	$27,914	$24,228	-3.76%	-3.04%	-2.08%	-4.04%	-4.83%	-5.90%	-7.68%	-2.24%
2018	3	-0.43%	0.88%	$27,794	$24,441	-1.95%	2.86%	0.63%	1.37%	-0.84%	0.54%	3.88%	0.56%
2018	4	-0.36%	-0.36%	$27,693	$24,353	0.45%	-2.09%	-0.95%	1.76%	1.52%	-2.82%	0.82%	-1.57%
2018	5	1.69%	1.14%	$28,161	$24,630	2.72%	2.01%	-1.20%	5.87%	-1.89%	-2.62%	3.68%	0.52%
2018	6	-0.29%	-0.48%	$28,078	$24,511	0.70%	0.65%	-3.61%	0.80%	-1.57%	-4.54%	4.20%	-0.49%
2018	7	1.13%	1.32%	$28,395	$24,835	3.32%	-1.44%	-2.24%	2.62%	2.85%	3.53%	0.60%	1.34%
2018	8	1.75%	0.29%	$28,891	$24,908	3.43%	1.31%	-2.14%	3.14%	-2.24%	-3.77%	2.58%	0.02%
2018	9	-0.59%	-1.10%	$28,720	$24,635	0.20%	-2.86%	-0.66%	-3.05%	0.97%	-0.58%	-2.64%	-0.14%
2018	10	-4.37%	-5.00%	$27,466	$23,402	-7.41%	-2.93%	2.12%	-9.94%	-8.13%	-8.76%	-2.93%	-2.05%
2018	11	1.59%	1.80%	$27,902	$23,824	2.01%	1.79%	0.34%	0.57%	0.50%	4.90%	4.67%	-0.36%
2018	12	-3.03%	-3.21%	$27,057	$23,059	-9.16%	5.85%	4.94%	-12.38%	-5.35%	-3.50%	-7.96%	1.86%
2019	1	5.66%	7.03%	$28,590	$24,681	8.54%	0.38%	2.89%	12.26%	6.63%	10.34%	11.85%	3.37%
2019	2	1.65%	0.90%	$29,061	$24,903	3.56%	-1.38%	-0.61%	4.13%	2.54%	-1.53%	0.70%	-0.20%
2019	3	1.54%	1.33%	$29,508	$25,235	1.42%	5.57%	-1.60%	-3.91%	0.92%	1.13%	4.21%	2.93%
2019	4	1.73%	1.39%	$30,018	$25,587	3.93%	-1.99%	-0.66%	4.32%	2.93%	2.35%	-0.16%	0.44%
2019	5	-2.00%	-2.30%	$29,419	$24,998	-6.45%	6.84%	1.76%	-9.98%	-5.03%	-7.33%	0.14%	1.65%
2019	6	6.10%	5.07%	$31,213	$26,266	7.08%	0.95%	8.00%	7.66%	5.91%	6.20%	1.54%	3.25%
2019	7	0.87%	0.04%	$31,484	$26,277	1.41%	0.26%	0.01%	1.30%	-1.95%	-2.66%	1.70%	0.25%
2019	8	2.75%	1.71%	$32,349	$26,726	-2.08%	11.04%	7.91%	-5.14%	-1.92%	-3.78%	3.75%	3.88%
2019	9	-0.27%	0.91%	$32,263	$26,970	1.78%	-2.68%	-3.39%	5.57%	3.16%	1.69%	1.93%	-0.76%
2019	10	1.58%	1.84%	$32,774	$27,466	2.11%	-1.11%	2.56%	2.00%	3.39%	4.18%	1.13%	0.44%
2019	11	1.38%	0.39%	$33,226	$27,572	3.79%	-0.41%	-3.21%	2.71%	1.13%	-0.09%	-1.30%	0.47%
2019	12	1.83%	2.26%	$33,834	$28,195	2.80%	-3.20%	3.66%	2.84%	2.98%	7.71%	0.76%	0.53%
2020	1	2.49%	0.07%	$34,675	$28,213	-0.06%	7.69%	4.50%	-6.31%	-2.82%	-6.15%	1.23%	2.45%
2020	2	-3.48%	-3.70%	$33,470	$27,168	-8.00%	6.63%	-0.64%	-10.15%	-7.77%	-3.78%	-7.03%	1.09%
2020	3	-6.85%	-11.14%	$31,179	$24,142	-13.91%	6.38%	-0.22%	-25.76%	-14.11%	-15.77%	-19.42%	-6.31%
2020	4	9.48%	7.81%	$34,134	$26,027	13.13%	1.22%	7.26%	13.89%	5.82%	7.35%	8.96%	4.85%
2020	5	3.36%	2.67%	$35,282	$26,722	5.40%	-1.76%	2.59%	2.55%	5.43%	2.97%	1.73%	2.46%
2020	6	2.01%	2.95%	$35,993	$27,511	2.29%	0.34%	2.74%	3.58%	3.51%	6.61%	2.41%	2.13%
2020	7	6.64%	5.06%	$38,383	$28,903	5.74%	4.44%	10.79%	2.58%	1.94%	8.25%	3.64%	3.10%
2020	8	3.05%	1.63%	$39,553	$29,375	7.10%	-5.05%	-0.32%	5.07%	4.72%	2.89%	0.44%	-1.78%
2020	9	-2.85%	-2.29%	$38,427	$28,703	-3.54%	0.77%	-4.17%	-5.18%	-2.05%	-1.01%	-2.68%	-0.44%
2020	10	-1.90%	-0.98%	$37,696	$28,421	-1.95%	-3.39%	-0.52%	3.66%	-3.55%	1.41%	-3.00%	-0.51%
2020	11	5.91%	8.00%	$39,922	$30,694	11.80%	1.66%	-5.41%	19.21%	14.27%	8.99%	9.67%	3.77%
2020	12	4.06%	4.12%	$41,544	$31,960	4.68%	-1.23%	7.01%	7.50%	5.01%	7.14%	2.72%	0.15%

Portfolio return and risk metrics
Metric	Maximum Return at 10.00% Volatility	Equal Weighted
Arithmetic Mean (monthly)	0.84%	0.71%
Arithmetic Mean (annualized)	10.50%	8.84%
Geometric Mean (monthly)	0.79%	0.65%
Geometric Mean (annualized)	9.96%	8.05%
Volatility (monthly)	2.86%	3.47%
Volatility (annualized)	9.91%	12.02%
Downside Deviation (monthly)	1.75%	2.29%
Max. Drawdown	-26.97%	-36.98%
US Market Correlation	0.85	0.88
Beta^(*)	0.54	0.67
Alpha (annualized)	4.22%	1.24%
R²	72.59%	77.16%
Sharpe Ratio	0.90	0.61
Sortino Ratio	1.44	0.92
Treynor Ratio (%)	16.53	10.95
Calmar Ratio	1.40	0.61
Active Return	-0.01%	-1.91%
Tracking Error	8.91%	7.70%
Information Ratio	-0.00	-0.25
Skewness	-0.72	-0.81
Excess Kurtosis	3.85	4.20
Historical Value-at-Risk (5%)	-3.30%	-4.47%
Analytical Value-at-Risk (5%)	-3.86%	-4.98%
Conditional Value-at-Risk (5%)	-5.91%	-8.04%
Upside Capture Ratio (%)	59.05	65.06
Downside Capture Ratio (%)	41.93	61.77
Safe Withdrawal Rate	10.53%	9.90%
Perpetual Withdrawal Rate	7.34%	5.71%
Positive Periods	115 out of 180 (63.89%)	113 out of 180 (62.78%)
Gain/Loss Ratio	1.24	1.05
^* 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 Return at 10.00% Volatility	Equal Weighted
Subprime Crisis	Nov 2007	Mar 2009	-26.97%	-36.98%

Drawdowns for Maximum Return at 10.00% Volatility

Drawdowns for Maximum Return at 10.00% Volatility (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Mar 2010	1 year 1 month	2 years 5 months	-26.97%
2	Feb 2020	Mar 2020	2 months	May 2020	2 months	4 months	-10.08%
3	Mar 2015	Sep 2015	7 months	Mar 2016	6 months	1 year 1 month	-6.98%
4	Sep 2018	Dec 2018	4 months	Feb 2019	2 months	6 months	-6.35%
5	May 2013	Jun 2013	2 months	Oct 2013	4 months	6 months	-5.25%
6	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-4.70%
7	May 2010	Jun 2010	2 months	Sep 2010	3 months	5 months	-4.52%
8	Aug 2016	Nov 2016	4 months	Feb 2017	3 months	7 months	-4.48%
9	Sep 2011	Sep 2011	1 month	Oct 2011	1 month	2 months	-4.33%
10	Feb 2018	Apr 2018	3 months	Aug 2018	4 months	7 months	-4.00%
Worst 10 drawdowns included above

Drawdowns for Equal Weighted

Drawdowns for Equal Weighted (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Sep 2010	1 year 7 months	2 years 11 months	-36.98%
2	Feb 2020	Mar 2020	2 months	Jul 2020	4 months	6 months	-14.43%
3	May 2011	Sep 2011	5 months	Jan 2012	4 months	9 months	-9.81%
4	Feb 2018	Dec 2018	11 months	Apr 2019	4 months	1 year 3 months	-8.82%
5	Mar 2015	Jan 2016	11 months	Jun 2016	5 months	1 year 4 months	-8.66%
6	May 2013	Jun 2013	2 months	Oct 2013	4 months	6 months	-6.45%
7	May 2012	May 2012	1 month	Jul 2012	2 months	3 months	-4.54%
8	Aug 2016	Nov 2016	4 months	Feb 2017	3 months	7 months	-4.51%
9	Sep 2014	Sep 2014	1 month	Jan 2015	4 months	5 months	-4.46%
10	Jun 2007	Jul 2007	2 months	Sep 2007	2 months	4 months	-3.49%
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
VTI	Vanguard Total Stock Market ETF	10.08%	15.67%	33.45%	-36.98%	-50.84%	0.62	0.91	1.00
TLT	iShares 20+ Year Treasury Bond ETF	7.02%	13.40%	33.96%	-21.80%	-21.80%	0.49	0.86	-0.33
GLD	SPDR Gold Shares	8.62%	17.65%	30.45%	-28.33%	-42.91%	0.49	0.81	0.06
IJS	iShares S&P Small-Cap 600 Value ETF	8.06%	20.99%	39.34%	-29.39%	-54.13%	0.42	0.61	0.91
EFA	iShares MSCI EAFE ETF	4.33%	17.76%	26.95%	-41.04%	-57.38%	0.27	0.37	0.89
EEM	iShares MSCI Emerging Markets ETF	5.87%	22.36%	68.93%	-48.88%	-60.44%	0.32	0.47	0.79
VNQ	Vanguard Real Estate ETF	6.92%	22.92%	35.30%	-37.00%	-68.30%	0.36	0.51	0.74
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	5.94%	7.42%	17.37%	-3.79%	-15.11%	0.66	1.08	0.34

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	VTI	TLT	GLD	IJS	EFA	EEM	VNQ	LQD	Maximum Return at 10.00% Volatility	Equal Weighted
VTI	Vanguard Total Stock Market ETF	1.00	-0.33	0.06	0.91	0.89	0.79	0.74	0.34	0.85	0.88
TLT	iShares 20+ Year Treasury Bond ETF	-0.33	1.00	0.21	-0.37	-0.27	-0.25	-0.01	0.47	0.04	-0.03
GLD	SPDR Gold Shares	0.06	0.21	1.00	-0.00	0.14	0.29	0.10	0.27	0.52	0.36
IJS	iShares S&P Small-Cap 600 Value ETF	0.91	-0.37	-0.00	1.00	0.79	0.71	0.74	0.28	0.74	0.82
EFA	iShares MSCI EAFE ETF	0.89	-0.27	0.14	0.79	1.00	0.88	0.70	0.41	0.80	0.89
EEM	iShares MSCI Emerging Markets ETF	0.79	-0.25	0.29	0.71	0.88	1.00	0.62	0.38	0.78	0.87
VNQ	Vanguard Real Estate ETF	0.74	-0.01	0.10	0.74	0.70	0.62	1.00	0.47	0.71	0.85
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF	0.34	0.47	0.27	0.28	0.41	0.38	0.47	1.00	0.54	0.59

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Maximum Return at 10.00% Volatility	Equal Weighted
VTI	Vanguard Total Stock Market ETF	77.74%	14.31%
TLT	iShares 20+ Year Treasury Bond ETF	1.13%	-0.44%
GLD	SPDR Gold Shares	21.12%	6.65%
IJS	iShares S&P Small-Cap 600 Value ETF		17.98%
EFA	iShares MSCI EAFE ETF		16.48%
EEM	iShares MSCI Emerging Markets ETF		20.33%
VNQ	Vanguard Real Estate ETF		20.17%
LQD	iShares iBoxx $ Invmt Grade Corp Bd ETF		4.52%

Annual Asset Returns

Rolling returns summary
Roll Period	Maximum Return at 10.00% Volatility			Equal Weighted
Roll Period	Average	High	Low	Average	High	Low
1 year	9.64%	33.80%	-25.49%	7.67%	47.20%	-32.87%
3 years	8.81%	23.06%	-3.10%	6.94%	25.23%	-6.98%
5 years	9.31%	16.96%	6.44%	7.55%	17.64%	3.02%
7 years	9.23%	12.93%	7.06%	7.49%	12.50%	4.07%
10 years	9.28%	11.88%	7.55%	7.50%	11.33%	5.92%