Portfolio Optimization

Portfolio Optimization Configuration

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Portfolio Optimization Results (Jun 2018 - Dec 2021) Save

Portfolio optimization results with the goal to maximize return subject to 14.00% targeted annual volatility. The possible range of expected annual portfolio returns for the given period taking into account the specified constraints is 9.16% to 14.71%. Refer to the efficient frontier section for additional details.

Maximum Return at 14.00% Volatility

Maximum Return at 14.00% Volatility
Ticker Name Allocation
JABAX Janus Henderson Balanced T 20.00%
PRSIX T. Rowe Price Spectrum Cnsrv Allc 15.00%
RLSIX RiverPark Long/Short Opportunity Instl 5.00%
IHI iShares US Medical Devices ETF 5.00%
EWL iShares MSCI Switzerland ETF 5.00%
SPEDX Alger Dynamic Opportunities A 5.00%
INDS Pacer Benchmark Industrial RE SCTR ETF 5.00%
PTNQ Pacer Trendpilot 100 ETF 5.00%
XLU Utilities Select Sector SPDR ETF 5.00%
SPY SPDR S&P 500 ETF Trust 20.00%
VCIT Vanguard Interm-Term Corp Bd ETF 10.00%
Save portfolio »

Maximum Sharpe Ratio Weights

Maximum Sharpe Ratio Weights
Ticker Name Allocation
JABAX Janus Henderson Balanced T 15.00%
PRSIX T. Rowe Price Spectrum Cnsrv Allc 15.00%
ARBIX Absolute Convertible Arbitrage Instl 7.49%
COTZX Columbia Thermostat Inst 10.00%
CMBS iShares CMBS ETF 10.00%
RLSIX RiverPark Long/Short Opportunity Instl 5.00%
INDS Pacer Benchmark Industrial RE SCTR ETF 5.00%
IAU iShares Gold Trust 5.00%
XLU Utilities Select Sector SPDR ETF 2.51%
SPY SPDR S&P 500 ETF Trust 15.00%
VCIT Vanguard Interm-Term Corp Bd ETF 10.00%
Save portfolio »

Portfolio Performance Summary

Performance Summary

Portfolio performance statistics
MetricMaximum Return at 14.00% VolatilityMaximum Sharpe Ratio WeightsFidelity Balanced
Start Balance$10,000$10,000$10,000
End Balance$16,525$15,121$16,875
Annualized Return (CAGR)15.05%12.23%15.72%
Expected Return14.72%11.91%15.56%
Standard Deviation11.24%8.05%13.35%
Best Year23.85%19.05%24.39%
Worst Year-2.90%-1.98%-6.31%
Maximum Drawdown -12.86% -8.68% -14.59%
Sharpe Ratio (ex-ante)1.221.351.09
Sharpe Ratio (ex-post)1.211.341.08
Sortino Ratio1.982.371.75
Active Return-0.68%-3.49%N/A
Tracking Error3.25%5.94%N/A
Information Ratio-0.21-0.59N/A
Stock Market Correlation0.980.950.99
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

   

Annual Returns

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 yearFull3 year
Maximum Return at 14.00% Volatility6.43%16.31%16.31%19.39%15.05%11.22%
Maximum Sharpe Ratio Weights4.56%10.99%10.99%15.54%12.23%8.22%
Fidelity Balanced6.70%18.28%18.28%21.67%15.72%13.24%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes and Disclosures
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio optimization is a process of choosing the proportions of various assets to be held in a portfolio in such a way as to make the portfolio better than any other combination according to the selected objective function such as maximizing risk-adjusted return. Portfolio optimization determines target weights for portfolio assets based on mathematical models that can use either historical or forecasted data as inputs. Optimization results are not guarantees of future performance.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • The annual results for 2018 are based on full calendar months from June to December.
  • The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.

Efficient Frontier Assets

Efficient Frontier Assets
#AssetExpected ReturnStandard DeviationSharpe RatioMin. WeightMax. Weight
1Janus Henderson Balanced T (JABAX)13.70%10.87%1.16315.00%20.00%
2T. Rowe Price Spectrum Cnsrv Allc (PRSIX)8.29%8.48%0.85215.00%20.00%
3Absolute Convertible Arbitrage Instl (ARBIX)5.17%2.84%1.4490.00%10.00%
4Carillon Reams Unconstrained Bond I (SUBFX)5.01%3.67%1.0730.00%10.00%
5Columbia Thermostat Inst (COTZX)13.13%6.60%1.8280.00%10.00%
6iShares CMBS ETF (CMBS)4.29%3.32%0.9720.00%10.00%
7T. Rowe Price Multi-Strategy Ttl Ret Inv (TMSRX)4.35%4.98%0.6600.00%10.00%
8Columbia Diversified Fixed Inc Allc ETF (DIAL)6.08%5.77%0.8710.00%10.00%
9River Canyon Total Return Bond Instl (RCTIX)6.50%5.80%0.9380.00%10.00%
10Columbia Adaptive Risk Allocation Inst (CRAZX)9.20%8.24%0.9870.00%10.00%
11RiverPark Long/Short Opportunity Instl (RLSIX)16.08%14.47%1.0380.00%5.00%
12Driehaus Event Driven (DEVDX)11.75%11.37%0.9400.00%5.00%
13iShares US Medical Devices ETF (IHI)21.27%17.61%1.1480.00%5.00%
14iShares MSCI Switzerland ETF (EWL)16.14%14.01%1.0760.00%5.00%
15Alger Dynamic Opportunities A (SPEDX)13.86%14.13%0.9050.00%5.00%
16Pacer Benchmark Industrial RE SCTR ETF (INDS)26.21%17.74%1.4170.00%5.00%
17iShares Gold Trust (IAU)10.32%14.14%0.6550.00%5.00%
18Pacer Trendpilot 100 ETF (PTNQ)17.90%16.06%1.0480.00%5.00%
19iShares Asia 50 ETF (AIA)7.88%19.28%0.3540.00%5.00%
20Utilities Select Sector SPDR ETF (XLU)14.16%15.56%0.8420.00%5.00%
21SPDR S&P 500 ETF Trust (SPY)19.14%17.52%1.03215.00%20.00%
22Vanguard Interm-Term Corp Bd ETF (VCIT)6.25%6.31%0.82210.00%20.00%
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return. Ex-ante Sharpe Ratio calculated using 3-month treasury bill returns as the risk-free rate.

Asset Correlations

Efficient Frontier Asset Correlations
NameTickerJABAXPRSIXARBIXSUBFXCOTZXCMBSTMSRXDIALRCTIXCRAZXRLSIXDEVDXIHIEWLSPEDXINDSIAUPTNQAIAXLUSPYVCIT
Janus Henderson Balanced TJABAX1.000.930.650.530.740.110.620.670.520.890.510.650.820.860.630.760.160.830.600.510.980.58
T. Rowe Price Spectrum Cnsrv AllcPRSIX0.931.000.800.690.740.180.790.790.680.810.430.790.780.790.660.700.220.790.720.490.930.72
Absolute Convertible Arbitrage InstlARBIX0.650.801.000.720.550.300.840.770.710.510.280.800.510.450.590.490.240.660.600.250.630.74
Carillon Reams Unconstrained Bond ISUBFX0.530.690.721.000.700.480.720.760.560.360.280.620.470.360.470.320.350.540.470.230.500.83
Columbia Thermostat InstCOTZX0.740.740.550.701.000.190.630.600.350.700.580.460.680.600.630.480.310.630.540.200.750.57
iShares CMBS ETFCMBS0.110.180.300.480.191.000.280.600.290.060.150.300.130.180.250.130.450.150.010.17-0.020.64
T. Rowe Price Multi-Strategy Ttl Ret InvTMSRX0.620.790.840.720.630.281.000.730.610.460.460.740.560.430.720.370.280.630.590.220.620.72
Columbia Diversified Fixed Inc Allc ETFDIAL0.670.790.770.760.600.600.731.000.690.560.270.710.620.600.520.550.450.580.500.450.610.95
River Canyon Total Return Bond InstlRCTIX0.520.680.710.560.350.290.610.691.000.41-0.020.760.300.380.380.400.040.450.410.290.510.70
Columbia Adaptive Risk Allocation InstCRAZX0.890.810.510.360.700.060.460.560.411.000.480.510.750.870.510.720.210.730.650.430.890.41
RiverPark Long/Short Opportunity InstlRLSIX0.510.430.280.280.580.150.460.27-0.020.481.000.240.580.410.790.340.120.420.360.050.470.23
Driehaus Event DrivenDEVDX0.650.790.800.620.460.300.740.710.760.510.241.000.480.540.610.400.060.580.630.280.630.68
iShares US Medical Devices ETFIHI0.820.780.510.470.680.130.560.620.300.750.580.481.000.720.700.660.260.650.530.550.830.49
iShares MSCI Switzerland ETFEWL0.860.790.450.360.600.180.430.600.380.870.410.540.721.000.450.730.300.630.550.530.840.48
Alger Dynamic Opportunities ASPEDX0.630.660.590.470.630.250.720.520.380.510.790.610.700.451.000.420.110.540.460.220.620.46
Pacer Benchmark Industrial RE SCTR ETFINDS0.760.700.490.320.480.130.370.550.400.720.340.400.660.730.421.000.330.520.380.680.750.45
iShares Gold TrustIAU0.160.220.240.350.310.450.280.450.040.210.120.060.260.300.110.331.000.190.110.320.120.42
Pacer Trendpilot 100 ETFPTNQ0.830.790.660.540.630.150.630.580.450.730.420.580.650.630.540.520.191.000.620.330.820.54
iShares Asia 50 ETFAIA0.600.720.600.470.540.010.590.500.410.650.360.630.530.550.460.380.110.621.000.140.650.38
Utilities Select Sector SPDR ETFXLU0.510.490.250.230.200.170.220.450.290.430.050.280.550.530.220.680.320.330.141.000.510.36
SPDR S&P 500 ETF TrustSPY0.980.930.630.500.75-0.020.620.610.510.890.470.630.830.840.620.750.120.820.650.511.000.51
Vanguard Interm-Term Corp Bd ETFVCIT0.580.720.740.830.570.640.720.950.700.410.230.680.490.480.460.450.420.540.380.360.511.00
Based on monthly returns from Jun 2018 to Dec 2021

Efficient Frontiers

Efficient Frontier Portfolios

Efficient Frontier Assets
#JABAXPRSIXARBIXSUBFXCOTZXCMBSTMSRXDIALRCTIXCRAZXRLSIXDEVDXIHIEWLSPEDXINDSIAUPTNQAIAXLUSPYVCITExpected Return *Standard Deviation *Sharpe Ratio *
115.00%15.00%10.00%10.00%0.00%10.00%6.64%0.00%6.16%0.00%0.00%0.00%0.00%0.00%0.00%0.00%2.20%0.00%0.00%0.00%15.00%10.00%9.16%6.91%1.172
215.00%15.00%10.00%10.00%0.00%10.00%4.86%0.00%7.48%0.00%0.00%0.00%0.00%0.00%0.00%0.00%2.66%0.00%0.00%0.00%15.00%10.00%9.21%6.91%1.180
315.00%15.00%10.00%10.00%0.00%10.00%3.07%0.00%8.81%0.00%0.00%0.00%0.00%0.00%0.00%0.00%3.12%0.00%0.00%0.00%15.00%10.00%9.27%6.91%1.188
415.00%15.00%10.00%10.00%0.00%10.00%1.37%0.00%10.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%3.63%0.00%0.00%0.00%15.00%10.00%9.33%6.91%1.196
515.00%15.00%10.00%10.00%0.00%10.00%0.43%0.00%10.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%4.57%0.00%0.00%0.00%15.00%10.00%9.38%6.92%1.203
615.00%15.00%10.00%10.00%0.46%10.00%0.00%0.00%9.54%0.00%0.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%9.44%6.92%1.210
715.00%15.00%10.00%10.00%1.31%10.00%0.00%0.00%8.69%0.00%0.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%9.49%6.94%1.216
815.00%15.00%10.00%10.00%2.16%10.00%0.00%0.00%7.84%0.00%0.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%9.55%6.95%1.222
915.00%15.00%10.00%10.00%3.01%10.00%0.00%0.00%6.99%0.00%0.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%9.61%6.96%1.228
1015.00%15.00%10.00%10.00%3.85%10.00%0.00%0.00%6.15%0.00%0.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%9.66%6.97%1.233
1115.00%15.00%10.00%10.00%4.70%10.00%0.00%0.00%5.30%0.00%0.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%9.72%6.99%1.239
1215.00%15.00%10.00%10.00%5.58%10.00%0.00%0.00%4.47%0.00%0.00%0.00%0.00%0.00%0.00%0.00%4.94%0.00%0.00%0.00%15.00%10.00%9.78%7.00%1.245
1315.00%15.00%10.00%10.00%6.47%10.00%0.00%0.00%3.66%0.00%0.00%0.00%0.00%0.00%0.00%0.00%4.87%0.00%0.00%0.00%15.00%10.00%9.83%7.01%1.250
1415.00%15.00%10.00%10.00%7.36%10.00%0.00%0.00%2.84%0.00%0.00%0.00%0.00%0.00%0.00%0.00%4.79%0.00%0.00%0.00%15.00%10.00%9.89%7.03%1.256
1515.00%15.00%10.00%10.00%8.26%10.00%0.00%0.00%2.03%0.00%0.00%0.00%0.00%0.00%0.00%0.00%4.72%0.00%0.00%0.00%15.00%10.00%9.94%7.04%1.261
1615.00%15.00%10.00%10.00%9.15%10.00%0.00%0.00%1.21%0.00%0.00%0.00%0.00%0.00%0.00%0.00%4.64%0.00%0.00%0.00%15.00%10.00%10.00%7.06%1.266
1715.00%15.00%10.00%10.00%10.00%10.00%0.00%0.00%0.37%0.00%0.00%0.00%0.00%0.00%0.00%0.00%4.63%0.00%0.00%0.00%15.00%10.00%10.06%7.08%1.271
1815.00%15.00%10.00%9.62%10.00%10.00%0.00%0.00%0.00%0.00%0.38%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%10.11%7.10%1.275
1915.00%15.00%10.00%9.11%10.00%10.00%0.00%0.00%0.00%0.00%0.89%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%10.17%7.12%1.279
2015.00%15.00%10.00%8.61%10.00%10.00%0.00%0.00%0.00%0.00%1.39%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%10.23%7.14%1.282
2115.00%15.00%10.00%8.10%10.00%10.00%0.00%0.00%0.00%0.00%1.90%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%10.28%7.17%1.286
2215.00%15.00%10.00%7.59%10.00%10.00%0.00%0.00%0.00%0.00%2.41%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%10.34%7.19%1.289
2315.00%15.00%10.00%7.08%10.00%10.00%0.00%0.00%0.00%0.00%2.92%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%10.39%7.22%1.292
2415.00%15.00%10.00%6.58%10.00%10.00%0.00%0.00%0.00%0.00%3.42%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%10.45%7.25%1.295
2515.00%15.00%10.00%6.07%10.00%10.00%0.00%0.00%0.00%0.00%3.93%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%10.51%7.27%1.298
2615.00%15.00%10.00%5.56%10.00%10.00%0.00%0.00%0.00%0.00%4.44%0.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%15.00%10.00%10.56%7.30%1.301
2715.00%15.00%10.00%5.21%10.00%10.00%0.00%0.00%0.00%0.00%4.62%0.00%0.00%0.00%0.00%0.17%5.00%0.00%0.00%0.00%15.00%10.00%10.62%7.33%1.304
2815.00%15.00%10.00%4.89%10.00%10.00%0.00%0.00%0.00%0.00%4.73%0.00%0.00%0.00%0.00%0.38%5.00%0.00%0.00%0.00%15.00%10.00%10.67%7.36%1.306
2915.00%15.00%10.00%4.58%10.00%10.00%0.00%0.00%0.00%0.00%4.84%0.00%0.00%0.00%0.00%0.59%5.00%0.00%0.00%0.00%15.00%10.00%10.73%7.39%1.309
3015.00%15.00%10.00%4.26%10.00%10.00%0.00%0.00%0.00%0.00%4.95%0.00%0.00%0.00%0.00%0.79%5.00%0.00%0.00%0.00%15.00%10.00%10.79%7.41%1.311
3115.00%15.00%10.00%3.97%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%1.03%5.00%0.00%0.00%0.00%15.00%10.00%10.84%7.44%1.314
3215.00%15.00%10.00%3.70%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%1.30%5.00%0.00%0.00%0.00%15.00%10.00%10.90%7.47%1.316
3315.00%15.00%10.00%3.44%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%1.56%5.00%0.00%0.00%0.00%15.00%10.00%10.96%7.50%1.319
3415.00%15.00%10.00%3.17%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%1.83%5.00%0.00%0.00%0.00%15.00%10.00%11.01%7.53%1.321
3515.00%15.00%10.00%2.91%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%2.09%5.00%0.00%0.00%0.00%15.00%10.00%11.07%7.56%1.324
3615.00%15.00%10.00%2.64%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%2.36%5.00%0.00%0.00%0.00%15.00%10.00%11.12%7.59%1.326
3715.00%15.00%10.00%2.38%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%2.62%5.00%0.00%0.00%0.00%15.00%10.00%11.18%7.62%1.328
3815.00%15.00%10.00%2.11%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%2.89%5.00%0.00%0.00%0.00%15.00%10.00%11.24%7.65%1.330
3915.00%15.00%10.00%1.85%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%3.15%5.00%0.00%0.00%0.00%15.00%10.00%11.29%7.68%1.332
4015.00%15.00%10.00%1.58%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%3.42%5.00%0.00%0.00%0.00%15.00%10.00%11.35%7.71%1.334
4115.00%15.00%10.00%1.32%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%3.68%5.00%0.00%0.00%0.00%15.00%10.00%11.40%7.74%1.337
4215.00%15.00%10.00%1.05%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%3.95%5.00%0.00%0.00%0.00%15.00%10.00%11.46%7.77%1.339
4315.00%15.00%10.00%0.79%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%4.21%5.00%0.00%0.00%0.00%15.00%10.00%11.52%7.80%1.341
4415.00%15.00%10.00%0.52%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%4.48%5.00%0.00%0.00%0.00%15.00%10.00%11.57%7.83%1.343
4515.00%15.00%10.00%0.26%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%4.74%5.00%0.00%0.00%0.00%15.00%10.00%11.63%7.86%1.344
4615.00%15.00%9.99%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%0.00%0.00%0.01%15.00%10.00%11.69%7.89%1.346
4715.00%15.00%9.36%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%0.00%0.00%0.64%15.00%10.00%11.74%7.93%1.347
4815.00%15.00%8.74%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%0.00%0.00%1.26%15.00%10.00%11.80%7.97%1.347
4915.00%15.00%8.11%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%0.00%0.00%1.89%15.00%10.00%11.85%8.01%1.347
5015.00%15.00%7.49%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%0.00%0.00%2.51%15.00%10.00%11.91%8.05%1.347
5115.00%15.00%6.86%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%0.00%0.00%3.14%15.00%10.00%11.97%8.09%1.347
5215.00%15.00%6.24%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%0.00%0.00%3.76%15.00%10.00%12.02%8.14%1.347
5315.00%15.00%5.61%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.00%0.00%0.00%5.00%5.00%0.00%0.00%4.39%15.00%10.00%12.08%8.18%1.346
5415.00%15.00%5.01%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.03%0.00%0.00%5.00%5.00%0.00%0.00%4.96%15.00%10.00%12.13%8.23%1.346
5515.00%15.00%4.65%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.35%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.19%8.27%1.345
5615.00%15.00%4.30%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%0.70%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.25%8.32%1.345
5715.00%15.00%3.95%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%1.05%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.30%8.36%1.344
5815.00%15.00%3.60%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%1.40%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.36%8.41%1.343
5915.00%15.00%3.25%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%1.75%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.42%8.45%1.343
6015.00%15.00%2.90%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%2.10%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.47%8.50%1.342
6115.00%15.00%2.55%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%2.45%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.53%8.55%1.341
6215.00%15.00%2.20%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%2.80%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.58%8.59%1.341
6315.00%15.00%1.85%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%3.15%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.64%8.64%1.340
6415.00%15.00%1.51%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.00%3.49%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.70%8.69%1.339
6515.00%15.00%1.03%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.22%3.75%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.75%8.73%1.338
6615.00%15.00%0.54%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.45%4.01%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.81%8.78%1.338
6715.00%15.00%0.06%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.68%4.27%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.86%8.83%1.337
6815.00%15.00%0.00%0.00%10.00%10.00%0.00%0.00%0.00%0.00%5.00%0.19%4.81%0.00%0.00%5.00%5.00%0.00%0.00%5.00%15.00%10.00%12.92%8.87%1.336
6915.00%15.00%0.00%0.00%10.00%9.72%0.00%0.00%0.00%0.00%5.00%0.00%5.00%0.00%0.00%5.00%5.00%0.28%0.00%5.00%15.00%10.00%12.98%8.92%1.335
7015.00%15.00%0.00%0.00%10.00%9.30%0.00%0.00%0.00%0.00%5.00%0.00%5.00%0.00%0.00%5.00%5.00%0.70%0.00%5.00%15.00%10.00%13.03%8.97%1.334
7115.00%15.00%0.00%0.00%10.00%8.89%0.00%0.00%0.00%0.00%5.00%0.00%5.00%0.00%0.00%5.00%5.00%1.11%0.00%5.00%15.00%10.00%13.09%9.02%1.333
7215.00%15.00%0.00%0.00%10.00%8.48%0.00%0.00%0.00%0.00%5.00%0.00%5.00%0.00%0.00%5.00%5.00%1.52%0.00%5.00%15.00%10.00%13.15%9.07%1.332
7315.00%15.00%0.00%0.00%10.00%8.01%0.00%0.00%0.00%0.00%5.00%0.14%5.00%0.00%0.00%5.00%5.00%1.86%0.00%5.00%15.00%10.00%13.20%9.12%1.331
7415.00%15.00%0.00%0.00%10.00%7.50%0.00%0.00%0.00%0.00%5.00%0.33%5.00%0.00%0.00%5.00%5.00%2.16%0.00%5.00%15.00%10.00%13.26%9.17%1.329
7515.00%15.00%0.00%0.00%10.00%7.00%0.00%0.00%0.00%0.00%5.00%0.53%5.00%0.00%0.00%5.00%5.00%2.47%0.00%5.00%15.00%10.00%13.31%9.22%1.328
7615.00%15.00%0.00%0.00%10.00%6.50%0.00%0.00%0.00%0.00%5.00%0.72%5.00%0.00%0.00%5.00%5.00%2.78%0.00%5.00%15.00%10.00%13.37%9.28%1.327
7715.00%15.00%0.00%0.00%10.00%6.00%0.00%0.00%0.00%0.00%5.00%0.92%5.00%0.00%0.00%5.00%5.00%3.08%0.00%5.00%15.00%10.00%13.43%9.33%1.326
7815.00%15.00%0.00%0.00%10.00%5.50%0.00%0.00%0.00%0.00%5.00%1.11%5.00%0.00%0.00%5.00%5.00%3.39%0.00%5.00%15.00%10.00%13.48%9.38%1.324
7915.00%15.00%0.00%0.00%10.00%5.00%0.00%0.00%0.00%0.00%5.00%1.30%5.00%0.00%0.00%5.00%5.00%3.69%0.00%5.00%15.00%10.00%13.54%9.43%1.323
8015.00%15.00%0.00%0.00%10.00%4.50%0.00%0.00%0.00%0.00%5.00%1.50%5.00%0.00%0.00%5.00%5.00%4.00%0.00%5.00%15.00%10.00%13.59%9.48%1.322
8115.00%15.00%0.00%0.00%10.00%4.00%0.00%0.00%0.00%0.00%5.00%1.69%5.00%0.00%0.00%5.00%5.00%4.31%0.00%5.00%15.00%10.00%13.65%9.53%1.321
8215.00%15.00%0.00%0.00%10.00%3.50%0.00%0.00%0.00%0.00%5.00%1.89%5.00%0.00%0.00%5.00%5.00%4.61%0.00%5.00%15.00%10.00%13.71%9.58%1.319
8315.00%15.00%0.00%0.00%10.00%3.00%0.00%0.00%0.00%0.00%5.00%2.08%5.00%0.00%0.00%5.00%5.00%4.92%0.00%5.00%15.00%10.00%13.76%9.63%1.318
8415.00%15.00%0.00%0.00%10.00%2.31%0.00%0.00%0.00%0.00%5.00%2.69%5.00%0.00%0.00%5.00%5.00%5.00%0.00%5.00%15.00%10.00%13.82%9.69%1.317
8515.00%15.00%0.00%0.00%10.00%1.56%0.00%0.00%0.00%0.00%5.00%3.44%5.00%0.00%0.00%5.00%5.00%5.00%0.00%5.00%15.00%10.00%13.88%9.74%1.316
8615.00%15.00%0.00%0.00%10.00%0.81%0.00%0.00%0.00%0.00%5.00%4.19%5.00%0.00%0.00%5.00%5.00%5.00%0.00%5.00%15.00%10.00%13.93%9.79%1.314
8715.00%15.00%0.00%0.00%10.00%0.19%0.00%0.00%0.00%0.00%5.00%4.58%5.00%0.23%0.00%5.00%5.00%5.00%0.00%5.00%15.00%10.00%13.99%9.84%1.313
8815.00%15.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%5.00%3.73%5.00%1.10%0.17%5.00%5.00%5.00%0.00%5.00%15.00%10.00%14.04%9.90%1.311
8915.00%15.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%5.00%2.26%5.00%2.20%0.54%5.00%5.00%5.00%0.00%5.00%15.00%10.00%14.10%9.95%1.310
9015.00%15.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%5.00%0.79%5.00%3.31%0.91%5.00%5.00%5.00%0.00%5.00%15.00%10.00%14.16%10.01%1.308
9115.00%15.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%5.00%5.00%0.00%5.00%4.99%5.00%0.00%5.00%15.01%10.00%14.21%10.07%1.305
9215.00%15.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%5.00%5.00%0.00%5.00%4.35%5.00%0.00%5.00%15.65%10.00%14.27%10.15%1.301
9315.00%15.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%5.00%5.00%0.00%5.00%3.72%5.00%0.00%5.00%16.28%10.00%14.32%10.23%1.296
9415.00%15.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%5.00%5.00%0.00%5.00%3.08%5.00%0.00%5.00%16.92%10.00%14.38%10.31%1.291
9515.00%15.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%5.00%5.00%0.00%5.00%2.44%5.00%0.00%5.00%17.56%10.00%14.44%10.40%1.286
9615.00%15.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%5.00%5.00%0.00%5.00%1.80%5.00%0.00%5.00%18.20%10.00%14.49%10.48%1.282
9715.00%15.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%5.00%5.00%0.00%5.00%1.17%5.00%0.00%5.00%18.83%10.00%14.55%10.56%1.277
9815.00%15.00%0.00%0.00%10.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%5.00%5.00%0.00%5.00%0.53%5.00%0.00%5.00%19.47%10.00%14.61%10.65%1.272
9915.00%15.00%0.00%0.00%8.73%0.00%0.00%0.00%0.00%0.00%5.00%0.00%5.00%5.00%1.27%5.00%0.00%5.00%0.00%5.00%20.00%10.00%14.66%10.78%1.262
10020.00%15.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%5.00%0.00%5.00%5.00%5.00%5.00%0.00%5.00%0.00%5.00%20.00%10.00%14.72%11.24%1.215
*Annualized ex-ante values shown for portfolio return and volatility. Ex-ante Sharpe Ratio calculated using historical 3-month treasury bill returns as the risk-free rate.

Annual Returns

Annual returns for the configured portfolios
YearInflationMaximum Return at 14.00% VolatilityMaximum Sharpe Ratio WeightsFidelity BalancedJanus Henderson Balanced T (JABAX)T. Rowe Price Spectrum Cnsrv Allc (PRSIX)RiverPark Long/Short Opportunity Instl (RLSIX)iShares US Medical Devices ETF (IHI)iShares MSCI Switzerland ETF (EWL)Alger Dynamic Opportunities A (SPEDX)Pacer Benchmark Industrial RE SCTR ETF (INDS)Pacer Trendpilot 100 ETF (PTNQ)Utilities Select Sector SPDR ETF (XLU)SPDR S&P 500 ETF Trust (SPY)Vanguard Interm-Term Corp Bd ETF (VCIT)Absolute Convertible Arbitrage Instl (ARBIX)Columbia Thermostat Inst (COTZX)iShares CMBS ETF (CMBS)iShares Gold Trust (IAU)
ReturnBalanceReturnBalanceReturnBalance
2018-0.14%-2.90%$9,710-1.98%$9,802-6.31%$9,369-2.44%-3.61%-9.72%1.20%-2.88%-8.30%-2.60%-0.45%6.55%-6.37%1.19%0.40%-0.22%1.82%-1.36%
20192.29%23.85%$12,02619.05%$11,66924.39%$11,65322.40%15.11%19.88%32.75%31.58%12.80%42.23%24.00%25.91%31.22%14.10%6.38%15.14%7.93%17.98%
20201.36%18.14%$14,20716.75%$13,62422.43%$14,26714.21%11.70%54.74%24.18%11.79%47.26%12.65%29.38%0.57%18.37%9.46%9.28%29.63%7.86%25.03%
20217.04%16.31%$16,52510.99%$15,12118.28%$16,87517.04%7.10%2.10%21.03%20.19%3.90%53.85%13.16%17.69%28.74%-1.77%2.95%6.42%-1.81%-4.00%
Annual return for 2018 is from 06/01/2018 to 12/31/2018

Monthly Returns

Monthly returns for the configured portfolios
YearMonthMaximum Return at 14.00% VolatilityMaximum Sharpe Ratio WeightsFidelity BalancedJanus Henderson Balanced T (JABAX)T. Rowe Price Spectrum Cnsrv Allc (PRSIX)RiverPark Long/Short Opportunity Instl (RLSIX)iShares US Medical Devices ETF (IHI)iShares MSCI Switzerland ETF (EWL)Alger Dynamic Opportunities A (SPEDX)Pacer Benchmark Industrial RE SCTR ETF (INDS)Pacer Trendpilot 100 ETF (PTNQ)Utilities Select Sector SPDR ETF (XLU)SPDR S&P 500 ETF Trust (SPY)Vanguard Interm-Term Corp Bd ETF (VCIT)Absolute Convertible Arbitrage Instl (ARBIX)Columbia Thermostat Inst (COTZX)iShares CMBS ETF (CMBS)iShares Gold Trust (IAU)
ReturnBalanceReturnBalanceReturnBalance
201860.48%$10,0480.06%$10,0060.83%$10,0830.08%-0.20%-1.40%1.42%0.38%0.21%3.55%1.00%2.81%0.58%-0.17%0.09%0.23%-0.18%-3.53%
201872.15%$10,2651.11%$10,1182.17%$10,3022.43%1.18%0.97%3.80%6.51%-0.50%-1.66%2.64%1.60%3.70%0.79%0.10%0.56%-0.21%-2.33%
201882.50%$10,5211.33%$10,2531.89%$10,4962.38%0.25%3.56%5.56%0.20%7.42%1.52%6.17%1.29%3.19%0.58%0.58%0.90%0.85%-2.04%
201890.08%$10,529-0.27%$10,225-0.16%$10,4800.13%-0.05%-0.07%3.52%-0.23%0.80%-3.21%-0.44%-0.65%0.59%-0.47%-0.10%-0.48%-0.56%-0.61%
201810-4.61%$10,044-2.60%$9,959-5.79%$9,873-4.06%-3.31%-7.60%-9.78%-4.58%-9.49%1.46%-8.55%1.98%-6.91%-0.88%0.10%-1.73%-0.53%2.10%
2018111.20%$10,1640.91%$10,0500.90%$9,9631.48%0.84%-0.62%5.53%0.33%-1.82%2.43%-0.79%3.54%1.85%-0.21%-0.38%0.70%0.68%0.34%
201812-4.47%$9,710-2.46%$9,802-5.96%$9,369-4.65%-2.30%-4.58%-7.60%-5.09%-4.43%-6.34%0.13%-3.99%-8.79%1.56%0.01%-0.39%1.77%4.95%
201915.77%$10,2704.59%$10,2526.59%$9,9864.36%4.38%6.76%7.81%5.71%8.86%14.41%0.17%3.48%8.01%2.78%1.47%3.44%0.58%2.85%
201922.42%$10,5191.55%$10,4112.32%$10,2172.51%1.44%1.54%5.00%3.75%3.78%2.38%0.24%4.11%3.24%0.14%0.58%0.92%0.46%-0.47%
201931.96%$10,7251.56%$10,5741.47%$10,3671.48%1.10%1.77%2.36%2.31%1.68%3.07%3.90%2.79%1.81%2.43%0.77%1.54%2.18%-1.59%
201942.34%$10,9751.71%$10,7553.30%$10,7092.81%1.41%4.22%-2.91%2.35%1.10%2.61%5.66%0.93%4.09%0.47%0.38%0.62%0.00%-0.73%
20195-2.75%$10,673-1.44%$10,600-4.38%$10,240-3.08%-1.54%-1.03%-1.85%-0.66%-1.43%-1.67%-8.22%-0.78%-6.38%1.54%0.00%-0.82%2.08%1.79%
201964.89%$11,1953.93%$11,0174.98%$10,7504.28%3.19%2.57%9.22%6.60%1.59%7.89%7.48%3.18%6.96%2.34%0.92%3.59%1.04%7.91%
201971.07%$11,3150.82%$11,1070.95%$10,8521.45%0.36%1.25%2.33%-1.04%1.36%1.70%2.55%-0.13%1.51%0.27%0.66%0.74%0.25%0.15%
201980.41%$11,3611.04%$11,223-0.76%$10,7700.80%-0.10%0.62%1.19%0.81%0.27%0.83%-2.09%5.09%-1.67%2.60%0.56%0.94%2.06%7.69%
201990.43%$11,4100.26%$11,2520.89%$10,8660.72%0.46%-3.30%-0.73%0.61%-5.76%1.76%0.67%4.25%1.95%-0.42%-0.09%0.27%-0.56%-3.16%
2019101.32%$11,5611.10%$11,3771.95%$11,0780.79%0.76%0.56%0.76%2.33%-1.21%4.71%4.40%-0.76%2.21%0.67%0.28%0.99%-0.21%2.55%
2019112.12%$11,8061.24%$11,5182.71%$11,3792.66%1.16%2.21%4.32%0.83%2.88%1.32%4.00%-1.87%3.62%0.04%0.19%1.31%0.17%-3.32%
2019121.86%$12,0261.31%$11,6692.41%$11,6531.83%1.67%1.44%1.88%4.47%-0.36%-2.24%3.89%3.29%2.90%0.49%0.49%0.73%-0.35%3.72%
202011.77%$12,2391.78%$11,8770.89%$11,7571.09%0.20%6.49%0.11%0.25%5.31%4.17%3.23%6.75%-0.04%2.20%0.66%1.21%2.73%4.62%
20202-4.99%$11,629-2.91%$11,531-4.83%$11,189-4.68%-2.70%-3.93%-8.73%-7.02%-0.76%-7.61%-5.65%-9.86%-7.92%1.13%0.28%0.40%0.64%-0.66%
20203-8.28%$10,666-5.94%$10,847-10.25%$10,043-8.22%-8.88%7.01%-6.68%-6.65%-3.34%-10.60%-11.43%-9.95%-12.46%-7.30%-3.10%0.07%-1.18%0.00%
202048.00%$11,5196.50%$11,55210.37%$11,0847.00%5.88%8.35%14.24%4.30%8.29%5.57%9.05%3.34%12.70%5.20%1.74%8.66%0.25%6.90%
202054.16%$11,9983.13%$11,9144.38%$11,5703.31%3.26%6.12%4.30%3.88%8.18%3.06%6.03%4.24%4.76%2.68%1.14%2.80%1.02%2.61%
202061.88%$12,2241.86%$12,1352.68%$11,8802.10%2.17%2.78%-1.32%3.35%2.09%3.45%6.09%-4.68%1.78%1.93%1.51%1.43%1.67%2.78%
202075.20%$12,8594.31%$12,6574.82%$12,4533.81%3.45%5.68%10.68%4.03%5.42%9.82%7.40%7.80%5.89%1.98%2.23%3.36%1.12%11.01%
202083.72%$13,3382.51%$12,9755.03%$13,0794.96%2.41%2.19%3.70%2.96%2.46%-0.24%11.47%-2.60%6.98%-0.24%1.45%2.80%-0.18%-0.48%
20209-1.80%$13,098-1.44%$12,788-2.12%$12,802-1.95%-1.39%1.41%-1.34%-1.58%1.78%-3.63%-5.93%1.09%-3.74%-0.41%0.09%-1.28%0.76%-4.16%
202010-1.05%$12,961-0.87%$12,676-1.51%$12,609-2.32%-0.24%-0.36%-0.49%-5.21%0.38%-0.46%0.40%5.05%-2.49%-0.15%0.36%-1.18%-0.66%-0.56%
2020116.25%$13,7714.62%$13,2638.72%$13,7086.98%5.43%3.63%5.05%9.25%5.24%4.30%5.08%0.74%10.88%2.01%1.52%6.09%0.55%-5.25%
2020123.17%$14,2072.72%$13,6244.07%$14,2672.49%2.45%5.78%4.63%5.11%4.94%6.13%2.91%0.63%3.71%0.56%1.13%2.32%0.94%6.96%
20211-0.82%$14,091-0.84%$13,510-0.64%$14,176-1.56%-0.05%-2.87%1.87%-1.45%0.88%-1.44%-0.21%-0.88%-1.02%-0.88%0.80%-0.39%0.22%-3.20%
202121.02%$14,2350.61%$13,5932.49%$14,5291.46%1.30%6.53%-1.21%-1.82%3.91%1.41%-0.06%-6.10%2.78%-1.59%0.97%1.23%-1.81%-6.32%
202131.85%$14,4981.16%$13,7512.60%$14,9071.73%0.74%-5.55%0.30%2.27%-1.83%6.05%0.83%10.55%4.54%-1.47%-0.53%1.32%-0.70%-1.09%
202144.34%$15,1273.25%$14,1983.75%$15,4674.05%2.29%7.23%7.28%4.70%5.50%8.44%3.13%4.18%5.29%1.04%-0.18%2.72%0.77%3.63%
202150.08%$15,1390.56%$14,2780.65%$15,5680.23%0.58%-2.79%-2.34%5.27%-2.01%-0.01%-0.68%-2.34%0.66%0.57%0.00%0.42%0.60%7.60%
202162.12%$15,4601.15%$14,4421.85%$15,8562.38%0.62%8.40%4.41%1.64%1.81%2.62%3.20%-2.22%2.25%1.12%0.35%0.64%0.17%-7.03%
202172.31%$15,8171.72%$14,6901.08%$16,0282.51%0.58%0.45%5.79%3.31%-0.05%6.75%1.53%4.33%2.44%1.25%0.09%0.85%0.78%2.52%
202181.99%$16,1321.17%$14,8621.80%$16,3161.61%1.15%1.64%3.02%1.19%4.08%2.50%2.45%3.90%2.98%-0.35%0.18%0.16%0.12%-0.09%
20219-3.75%$15,527-2.70%$14,461-3.07%$15,815-3.67%-1.83%-4.75%-4.23%-8.38%-0.60%-6.72%-3.40%-6.09%-4.66%-1.04%0.53%-1.26%-0.96%-3.24%
2021104.65%$16,2493.11%$14,9105.02%$16,6084.76%1.78%4.52%4.21%6.98%3.34%13.14%4.42%4.74%7.02%-0.37%0.61%0.37%-0.50%1.56%
202111-1.46%$16,011-0.69%$14,807-1.39%$16,378-0.09%-1.53%-6.93%-5.56%-0.90%-9.15%2.80%1.00%-1.70%-0.80%-0.34%-0.26%-0.05%0.16%-0.74%
2021123.21%$16,5252.12%$15,1213.04%$16,8752.72%1.34%-2.27%6.72%6.78%-1.17%9.88%0.46%9.69%4.63%0.32%0.35%0.28%-0.63%3.36%

Risk and Return Metrics

Portfolio return and risk metrics
MetricMaximum Return at 14.00% VolatilityMaximum Sharpe Ratio WeightsFidelity Balanced
Arithmetic Mean (monthly)1.23%0.99%1.30%
Arithmetic Mean (annualized)15.75%12.58%16.72%
Geometric Mean (monthly)1.17%0.97%1.22%
Geometric Mean (annualized)15.05%12.23%15.72%
Standard Deviation (monthly)3.24%2.32%3.85%
Standard Deviation (annualized)11.24%8.05%13.35%
Downside Deviation (monthly)1.95%1.28%2.34%
Maximum Drawdown-12.86%-8.68%-14.59%
Stock Market Correlation0.980.950.99
Beta(*)0.820.581.00
Alpha (annualized)1.89%2.84%0.00%
R296.00%93.39%100.00%
Sharpe Ratio1.211.341.08
Sortino Ratio1.982.371.75
Treynor Ratio (%)16.5618.6214.50
Calmar Ratio1.511.791.49
Active Return-0.68%-3.49%N/A
Tracking Error3.25%5.94%N/A
Information Ratio-0.21-0.59N/A
Skewness-0.70-0.42-0.56
Excess Kurtosis0.971.181.46
Historical Value-at-Risk (5%)-4.59%-2.69%-5.69%
Analytical Value-at-Risk (5%)-4.05%-2.79%-5.04%
Conditional Value-at-Risk (5%)-5.96%-3.85%-7.33%
Upside Capture Ratio (%)88.3163.58100.00
Downside Capture Ratio (%)82.4852.51100.00
Safe Withdrawal Rate30.51%29.53%30.08%
Perpetual Withdrawal Rate9.51%7.47%9.98%
Positive Periods33 out of 43 (76.74%)32 out of 43 (74.42%)31 out of 43 (72.09%)
Gain/Loss Ratio0.771.010.92
* Fidelity Balanced is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndMaximum Return at 14.00% VolatilityMaximum Sharpe Ratio WeightsFidelity Balanced
COVID-19 StartJan 2020Mar 2020-12.86%-8.68%-14.59%

Drawdowns for Maximum Return at 14.00% Volatility

Drawdowns for Maximum Return at 14.00% Volatility
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJul 20204 months6 months-12.86%
2Oct 2018Dec 20183 monthsMar 20193 months6 months-7.78%
3Sep 2021Sep 20211 monthOct 20211 month2 months-3.75%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-2.83%
5May 2019May 20191 monthJun 20191 month2 months-2.75%
6Nov 2021Nov 20211 monthDec 20211 month2 months-1.46%
7Jan 2021Jan 20211 monthFeb 20211 month2 months-0.82%

Drawdowns for Maximum Sharpe Ratio Weights

Drawdowns for Maximum Sharpe Ratio Weights
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-8.68%
2Sep 2018Dec 20184 monthsFeb 20192 months6 months-4.39%
3Sep 2021Sep 20211 monthOct 20211 month2 months-2.70%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-2.30%
5May 2019May 20191 monthJun 20191 month2 months-1.44%
6Jan 2021Jan 20211 monthMar 20212 months3 months-0.84%
7Nov 2021Nov 20211 monthDec 20211 month2 months-0.69%

Drawdowns for Fidelity Balanced

Drawdowns for Fidelity Balanced
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-14.59%
2Sep 2018Dec 20184 monthsApr 20194 months8 months-10.74%
3May 2019May 20191 monthJun 20191 month2 months-4.38%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-3.59%
5Sep 2021Sep 20211 monthOct 20211 month2 months-3.07%
6Nov 2021Nov 20211 monthDec 20211 month2 months-1.39%
7Aug 2019Aug 20191 monthSep 20191 month2 months-0.76%
8Jan 2021Jan 20211 monthFeb 20211 month2 months-0.64%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
JABAXJanus Henderson Balanced T13.94%10.87%22.40%-2.44%-12.51%1.161.840.98
PRSIXT. Rowe Price Spectrum Cnsrv Allc8.23%8.48%15.11%-3.61%-11.34%0.851.260.95
RLSIXRiverPark Long/Short Opportunity Instl16.15%14.47%54.74%-9.72%-12.44%1.031.840.49
IHIiShares US Medical Devices ETF21.66%17.61%32.75%1.20%-14.83%1.142.020.83
EWLiShares MSCI Switzerland ETF16.28%14.01%31.58%-2.88%-13.21%1.071.780.83
SPEDXAlger Dynamic Opportunities A13.67%14.13%47.26%-8.30%-15.07%0.901.490.65
INDSPacer Benchmark Industrial RE SCTR ETF27.69%17.74%53.85%-2.60%-17.41%1.412.740.73
PTNQPacer Trendpilot 100 ETF17.96%16.06%29.38%-0.45%-16.43%1.041.660.82
XLUUtilities Select Sector SPDR ETF13.78%15.56%25.91%0.57%-18.82%0.841.340.48
SPYSPDR S&P 500 ETF Trust19.13%17.52%31.22%-6.37%-19.43%1.031.621.00
VCITVanguard Interm-Term Corp Bd ETF6.22%6.31%14.10%-1.77%-7.30%0.821.220.53
ARBIXAbsolute Convertible Arbitrage Instl5.26%2.84%9.28%0.40%-3.10%1.422.320.67
COTZXColumbia Thermostat Inst13.71%6.60%29.63%-0.22%-2.44%1.817.120.76
CMBSiShares CMBS ETF4.32%3.32%7.93%-1.81%-2.50%0.991.96-0.00
IAUiShares Gold Trust9.78%14.14%25.03%-4.00%-13.79%0.661.210.10

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 yearNetGross
Janus Henderson Balanced T7.52%17.04%17.04%17.83%0.82%0.82%
T. Rowe Price Spectrum Cnsrv Allc1.56%7.10%7.10%11.26%0.60%0.80%
RiverPark Long/Short Opportunity Instl-4.93%2.10%2.10%23.72%1.73%1.73%
iShares US Medical Devices ETF5.02%21.03%21.03%25.89%0.39%0.39%
iShares MSCI Switzerland ETF13.20%20.19%20.19%20.92%0.50%0.50%
Alger Dynamic Opportunities A-7.22%3.90%3.90%19.95%2.00%2.52%
Pacer Benchmark Industrial RE SCTR ETF27.80%53.85%53.85%35.09%0.55%0.60%
Pacer Trendpilot 100 ETF5.95%13.16%13.16%21.99%0.65%0.65%
Utilities Select Sector SPDR ETF12.93%17.69%17.69%14.23%0.10%0.10%
SPDR S&P 500 ETF Trust11.07%28.74%28.74%25.99%0.09%0.09%
Vanguard Interm-Term Corp Bd ETF-0.39%-1.77%-1.77%7.05%0.04%0.04%
Absolute Convertible Arbitrage Instl0.70%2.95%2.95%6.17%1.51%1.75%
Columbia Thermostat Inst0.60%6.42%6.42%16.68%0.61%0.65%
iShares CMBS ETF-0.97%-1.81%-1.81%4.56%0.25%0.25%
iShares Gold Trust4.19%-4.00%-4.00%12.30%0.25%0.25%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameJABAXPRSIXRLSIXIHIEWLSPEDXINDSPTNQXLUSPYVCITARBIXCOTZXCMBSIAUMaximum Return at 14.00% VolatilityMaximum Sharpe Ratio WeightsFidelity Balanced
JABAXJanus Henderson Balanced T1.000.930.510.820.860.630.760.830.510.980.580.650.740.110.160.980.960.97
PRSIXT. Rowe Price Spectrum Cnsrv Allc0.931.000.430.780.790.660.700.790.490.930.720.800.740.180.220.950.960.96
RLSIXRiverPark Long/Short Opportunity Instl0.510.431.000.580.410.790.340.420.050.470.230.280.580.150.120.550.540.51
IHIiShares US Medical Devices ETF0.820.780.581.000.720.700.660.650.550.830.490.510.680.130.260.880.850.82
EWLiShares MSCI Switzerland ETF0.860.790.410.721.000.450.730.630.530.840.480.450.600.180.300.860.850.83
SPEDXAlger Dynamic Opportunities A0.630.660.790.700.451.000.420.540.220.620.460.590.630.250.110.700.690.68
INDSPacer Benchmark Industrial RE SCTR ETF0.760.700.340.660.730.421.000.520.680.750.450.490.480.130.330.790.800.74
PTNQPacer Trendpilot 100 ETF0.830.790.420.650.630.540.521.000.330.820.540.660.630.150.190.820.810.82
XLUUtilities Select Sector SPDR ETF0.510.490.050.550.530.220.680.331.000.510.360.250.200.170.320.570.560.48
SPYSPDR S&P 500 ETF Trust0.980.930.470.830.840.620.750.820.511.000.510.630.75-0.020.120.980.950.99
VCITVanguard Interm-Term Corp Bd ETF0.580.720.230.490.480.460.450.540.360.511.000.740.570.640.420.620.690.58
ARBIXAbsolute Convertible Arbitrage Instl0.650.800.280.510.450.590.490.660.250.630.741.000.550.300.240.680.720.71
COTZXColumbia Thermostat Inst0.740.740.580.680.600.630.480.630.200.750.570.551.000.190.310.760.800.78
CMBSiShares CMBS ETF0.110.180.150.130.180.250.130.150.17-0.020.640.300.191.000.450.150.230.05
IAUiShares Gold Trust0.160.220.120.260.300.110.330.190.320.120.420.240.310.451.000.230.340.15

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameMaximum Return at 14.00% VolatilityMaximum Sharpe Ratio Weights
JABAXJanus Henderson Balanced T$1,231$902
PRSIXT. Rowe Price Spectrum Cnsrv Allc$544$536
RLSIXRiverPark Long/Short Opportunity Instl$337$336
IHIiShares US Medical Devices ETF$460
EWLiShares MSCI Switzerland ETF$363
SPEDXAlger Dynamic Opportunities A$292
INDSPacer Benchmark Industrial RE SCTR ETF$610$588
PTNQPacer Trendpilot 100 ETF$393
XLUUtilities Select Sector SPDR ETF$314$153
SPYSPDR S&P 500 ETF Trust$1,737$1,273
VCITVanguard Interm-Term Corp Bd ETF$242$241
ARBIXAbsolute Convertible Arbitrage Instl$166
COTZXColumbia Thermostat Inst$550
CMBSiShares CMBS ETF$167
IAUiShares Gold Trust$207
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameMaximum Return at 14.00% VolatilityMaximum Sharpe Ratio Weights
JABAXJanus Henderson Balanced T19.00%19.53%
PRSIXT. Rowe Price Spectrum Cnsrv Allc10.76%15.10%
RLSIXRiverPark Long/Short Opportunity Instl3.56%4.89%
IHIiShares US Medical Devices ETF6.86%
EWLiShares MSCI Switzerland ETF5.36%
SPEDXAlger Dynamic Opportunities A4.40%
INDSPacer Benchmark Industrial RE SCTR ETF6.27%8.86%
PTNQPacer Trendpilot 100 ETF5.88%
XLUUtilities Select Sector SPDR ETF3.98%2.74%
SPYSPDR S&P 500 ETF Trust30.44%31.04%
VCITVanguard Interm-Term Corp Bd ETF3.48%5.43%
ARBIXAbsolute Convertible Arbitrage Instl1.90%
COTZXColumbia Thermostat Inst6.58%
CMBSiShares CMBS ETF0.96%
IAUiShares Gold Trust2.98%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns