Rolling Portfolio Optimization

Portfolio Optimization Overview

This portfolio optimization tool performs rolling portfolio optimization where at the start of each period the portfolio asset weights are optimized for the given performance goal based on the specified timing window of past returns. The following rolling optimization strategies are supported:

Maximize Sharpe Ratio – Maximize the risk adjusted performance for each period based on the past time period
Minimize Variance – Minimize the portfolio volatility based on the past time period
Minimize Conditional Value-at-Risk – Optimize the portfolio to minimize the expected tail loss based on the past time period
Risk Parity – Equalize the risk contribution of portfolio assets based on the past time period

The required inputs for the optimization include the time range and the portfolio assets. Portfolio asset weights and constraints are optional.

Portfolio Optimization Configuration

Portfolio Type

Start Year

End Year

Optimization Goal

Targeted Annual Return

Targeted Annual Volatility

Optimization Frequency

Constrain Weights

Lookback Period

Compared Allocation

Benchmark

Benchmark Ticker

Portfolio Assets

Allocation

Min. Weight

Max. Weight

Asset 1

Asset 2

Asset 3

Asset 4

Asset 5

Asset 6

Asset 7

Asset 8

Asset 9

Asset 10

Total

Portfolio Optimization Results (Jan 1997 - Dec 2020) Save

Rolling portfolio optimization results with the goal to maximize return subject to 10.00% targeted annual volatility using 24-month lookback period and quarterly optimization.

Performance Summary

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Expected Return	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio (ex-ante)	Sharpe Ratio (ex-post)	Sortino Ratio	Market Correlation
Provided Portfolio	$10,000	$55,192	7.38%	7.38%	6.94%	19.94%	-15.83%	-24.39%	0.78	0.77	1.19	0.92
Maximum Return at 10.00% Volatility	$10,000	$61,819	7.89%	7.91%	7.71%	25.51%	-9.98%	-16.41%	0.77	0.77	1.15	0.83
Equal Weighted	$10,000	$55,192	7.38%	7.38%	6.94%	19.94%	-15.83%	-24.39%	0.78	0.77	1.19	0.92
Vanguard 500 Index Investor	$10,000	$77,760	8.92%	9.78%	15.46%	33.19%	-37.02%	-50.97%	0.50	0.50	0.73	0.99
Results based on historical returns. Expected return is the annualized monthly arithmetic mean return.

Portfolio Growth

Annual Returns

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return				Annualized Standard Deviation
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year	Full	3 year	5 year
Provided Portfolio	6.03%	11.15%	11.15%	8.68%	8.98%	8.12%	7.38%	8.56%	6.95%
Maximum Return at 10.00% Volatility	6.15%	0.57%	0.57%	6.43%	8.68%	8.49%	7.89%	11.18%	9.22%
Equal Weighted	6.03%	11.15%	11.15%	8.68%	8.98%	8.12%	7.38%	8.56%	6.95%
Vanguard 500 Index Investor	12.12%	18.25%	18.25%	14.03%	15.07%	13.72%	8.92%	18.80%	15.26%
Trailing return and volatility are as of last full calendar month ending December 2020

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.
Allocation constraints are only applied to the optimized portfolio, not to compared allocations and benchmarks.
The optimization results assume monthly rebalancing of portfolio assets to match the specified allocation.
The optimized allocation will use the risk free cash asset (3-month treasury bill) for periods when all expected asset returns over the risk free rate are negative.

Risk and Return Metrics

Portfolio return and risk metrics
Metric	Provided Portfolio	Maximum Return at 10.00% Volatility	Equal Weighted	Vanguard 500 Index Investor
Arithmetic Mean (monthly)	0.61%	0.66%	0.61%	0.82%
Arithmetic Mean (annualized)	7.63%	8.21%	7.63%	10.23%
Geometric Mean (monthly)	0.59%	0.63%	0.59%	0.71%
Geometric Mean (annualized)	7.38%	7.89%	7.38%	8.92%
Standard Deviation (monthly)	2.00%	2.23%	2.00%	4.46%
Standard Deviation (annualized)	6.94%	7.71%	6.94%	15.46%
Downside Deviation (monthly)	1.23%	1.40%	1.23%	3.00%
Maximum Drawdown	-24.39%	-16.41%	-24.39%	-50.97%
Stock Market Correlation	0.92	0.83	0.92	0.99
Beta^(*)	0.42	0.42	0.42	1.00
Alpha (annualized)	3.26%	3.84%	3.26%	0.00%
R²	87.89%	69.80%	87.89%	100.00%
Sharpe Ratio	0.77	0.77	0.77	0.50
Sortino Ratio	1.19	1.15	1.19	0.73
Treynor Ratio (%)	12.78	14.18	12.78	7.78
Calmar Ratio	0.94	0.46	0.94	0.71
Active Return	-1.54%	-1.04%	-1.54%	N/A
Tracking Error	9.28%	9.96%	9.28%	N/A
Information Ratio	-0.17	-0.10	-0.17	N/A
Skewness	-0.64	-0.69	-0.64	-0.59
Excess Kurtosis	2.37	2.11	2.37	1.05
Historical Value-at-Risk (5%)	-2.85%	-3.14%	-2.85%	-7.53%
Analytical Value-at-Risk (5%)	-2.67%	-3.00%	-2.67%	-6.53%
Conditional Value-at-Risk (5%)	-4.28%	-4.83%	-4.28%	-9.94%
Upside Capture Ratio (%)	47.16	50.98	47.16	100.00
Downside Capture Ratio (%)	35.39	38.38	35.39	100.00
Safe Withdrawal Rate	7.43%	8.16%	7.43%	7.53%
Perpetual Withdrawal Rate	4.92%	5.37%	4.92%	6.27%
Positive Periods	194 out of 288 (67.36%)	198 out of 288 (68.75%)	194 out of 288 (67.36%)	187 out of 288 (64.93%)
Gain/Loss Ratio	1.08	0.97	1.08	0.86
^* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Allocation Drift

Annual Returns

Annual returns for the configured portfolios
Year	Inflation	Provided Portfolio		Maximum Return at 10.00% Volatility		Equal Weighted		Vanguard 500 Index Investor		Vanguard Total Bond Market Index Inv (VBMFX)	Vanguard LifeStrategy Income Inv (VASIX)	Vanguard Wellesley Income Inv (VWINX)	Vanguard Wellington Inv (VWELX)	Vanguard 500 Index Investor (VFINX)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	Return	Balance	Vanguard Total Bond Market Index Inv (VBMFX)	Vanguard LifeStrategy Income Inv (VASIX)	Vanguard Wellesley Income Inv (VWINX)	Vanguard Wellington Inv (VWELX)	Vanguard 500 Index Investor (VFINX)
1997	1.70%	19.94%	$11,994	25.51%	$12,551	19.94%	$11,994	33.19%	$13,319	9.44%	14.23%	20.19%	23.23%	33.19%
1998	1.61%	15.04%	$13,798	16.57%	$14,631	15.04%	$13,798	28.62%	$17,131	8.58%	13.17%	11.84%	12.06%	28.62%
1999	2.68%	4.49%	$14,418	9.66%	$16,044	4.49%	$14,418	21.07%	$20,740	-0.76%	2.82%	-4.14%	4.41%	21.07%
2000	3.39%	7.29%	$15,468	1.54%	$16,291	7.29%	$15,468	-9.06%	$18,861	11.39%	8.06%	16.17%	10.40%	-9.06%
2001	1.55%	2.44%	$15,846	4.27%	$16,987	2.44%	$15,846	-12.02%	$16,594	8.43%	4.06%	7.39%	4.19%	-12.02%
2002	2.38%	-3.50%	$15,291	2.94%	$17,486	-3.50%	$15,291	-22.15%	$12,919	8.26%	0.12%	4.64%	-6.90%	-22.15%
2003	1.88%	14.54%	$17,515	6.92%	$18,696	14.54%	$17,515	28.50%	$16,601	3.97%	10.77%	9.66%	20.75%	28.50%
2004	3.26%	7.95%	$18,907	7.89%	$20,171	7.95%	$18,907	10.74%	$18,384	4.24%	6.00%	7.55%	11.16%	10.74%
2005	3.42%	4.18%	$19,698	4.48%	$21,075	4.18%	$19,698	4.77%	$19,262	2.40%	3.23%	3.48%	6.82%	4.77%
2006	2.54%	10.76%	$21,818	13.29%	$23,876	10.76%	$21,818	15.64%	$22,275	4.27%	7.93%	11.28%	14.97%	15.64%
2007	4.08%	6.66%	$23,271	6.52%	$25,432	6.66%	$23,271	5.39%	$23,475	6.92%	6.70%	5.61%	8.34%	5.39%
2008	0.09%	-15.83%	$19,587	-9.98%	$22,893	-15.83%	$19,587	-37.02%	$14,784	5.05%	-10.53%	-9.84%	-22.30%	-37.02%
2009	2.72%	16.60%	$22,839	9.97%	$25,176	16.60%	$22,839	26.49%	$18,700	5.93%	12.08%	16.02%	22.20%	26.49%
2010	1.50%	10.68%	$25,278	8.74%	$27,376	10.68%	$25,278	14.91%	$21,489	6.42%	9.22%	10.65%	10.94%	14.91%
2011	2.96%	5.49%	$26,665	2.45%	$28,046	5.49%	$26,665	1.97%	$21,911	7.56%	3.77%	9.63%	3.85%	1.97%
2012	1.74%	9.82%	$29,284	10.37%	$30,954	9.82%	$29,284	15.82%	$25,379	4.05%	6.54%	10.06%	12.57%	15.82%
2013	1.50%	11.88%	$32,762	17.81%	$36,467	11.88%	$32,762	32.18%	$33,544	-2.26%	3.40%	9.19%	19.66%	32.18%
2014	0.76%	8.79%	$35,642	10.78%	$40,400	8.79%	$35,642	13.51%	$38,076	5.76%	6.76%	8.07%	9.82%	13.51%
2015	0.73%	0.75%	$35,908	0.95%	$40,782	0.75%	$35,908	1.25%	$38,551	0.30%	0.22%	1.28%	0.06%	1.25%
2016	2.07%	7.63%	$38,649	8.70%	$44,331	7.63%	$38,649	11.82%	$43,107	2.50%	4.58%	8.08%	11.01%	11.82%
2017	2.11%	11.26%	$43,000	15.68%	$51,283	11.26%	$43,000	21.67%	$52,447	3.46%	6.98%	10.20%	14.72%	21.67%
2018	1.91%	-2.19%	$42,057	-3.16%	$49,664	-2.19%	$42,057	-4.52%	$50,074	-0.13%	-1.05%	-2.57%	-3.42%	-4.52%
2019	2.29%	18.07%	$49,656	23.77%	$61,467	18.07%	$49,656	31.33%	$65,761	8.61%	12.05%	16.39%	22.51%	31.33%
2020	1.36%	11.15%	$55,192	0.57%	$61,819	11.15%	$55,192	18.25%	$77,760	7.61%	9.13%	8.45%	10.60%	18.25%

Monthly Returns

Monthly returns for the configured portfolios
Year	Month	Provided Portfolio		Maximum Return at 10.00% Volatility		Equal Weighted		Vanguard 500 Index Investor		Vanguard Total Bond Market Index Inv (VBMFX)	Vanguard LifeStrategy Income Inv (VASIX)	Vanguard Wellesley Income Inv (VWINX)	Vanguard Wellington Inv (VWELX)	Vanguard 500 Index Investor (VFINX)
Year	Month	Return	Balance	Return	Balance	Return	Balance	Return	Balance	Vanguard Total Bond Market Index Inv (VBMFX)	Vanguard LifeStrategy Income Inv (VASIX)	Vanguard Wellesley Income Inv (VWINX)	Vanguard Wellington Inv (VWELX)	Vanguard 500 Index Investor (VFINX)
1997	1	2.50%	$10,250	4.06%	$10,406	2.50%	$10,250	6.22%	$10,622	0.25%	1.47%	1.32%	3.25%	6.22%
1997	2	0.53%	$10,304	0.66%	$10,475	0.53%	$10,304	0.79%	$10,706	0.11%	0.26%	0.67%	0.81%	0.79%
1997	3	-2.55%	$10,041	-3.28%	$10,132	-2.55%	$10,041	-4.14%	$10,263	-0.97%	-1.63%	-2.55%	-3.48%	-4.14%
1997	4	3.17%	$10,360	4.37%	$10,574	3.17%	$10,360	5.96%	$10,874	1.49%	2.27%	2.16%	3.99%	5.96%
1997	5	3.16%	$10,687	4.44%	$11,044	3.16%	$10,687	6.09%	$11,536	0.87%	1.97%	2.65%	4.24%	6.09%
1997	6	2.61%	$10,967	3.44%	$11,423	2.61%	$10,967	4.45%	$12,050	1.16%	1.76%	2.20%	3.50%	4.45%
1997	7	5.36%	$11,554	6.48%	$12,164	5.36%	$11,554	7.97%	$13,010	2.80%	3.84%	5.97%	6.19%	7.97%
1997	8	-2.86%	$11,224	-4.06%	$11,670	-2.86%	$11,224	-5.61%	$12,280	-0.85%	-1.69%	-2.28%	-3.86%	-5.61%
1997	9	3.38%	$11,604	4.29%	$12,171	3.38%	$11,604	5.47%	$12,951	1.45%	2.21%	3.71%	4.08%	5.47%
1997	10	-0.28%	$11,571	-1.57%	$11,979	-0.28%	$11,571	-3.35%	$12,518	1.45%	0.73%	0.67%	-0.91%	-3.35%
1997	11	2.11%	$11,815	3.11%	$12,351	2.11%	$11,815	4.60%	$13,093	0.33%	1.12%	2.40%	2.11%	4.60%
1997	12	1.52%	$11,994	1.62%	$12,551	1.52%	$11,994	1.72%	$13,319	1.04%	1.20%	1.93%	1.69%	1.72%
1998	1	1.12%	$12,128	1.10%	$12,689	1.12%	$12,128	1.11%	$13,467	1.32%	1.45%	0.78%	0.95%	1.11%
1998	2	2.63%	$12,447	4.53%	$13,264	2.63%	$12,447	7.19%	$14,435	-0.10%	1.43%	1.23%	3.40%	7.19%
1998	3	2.52%	$12,761	3.63%	$13,746	2.52%	$12,761	5.10%	$15,172	0.33%	1.33%	2.56%	3.29%	5.10%
1998	4	0.66%	$12,845	0.81%	$13,856	0.66%	$12,845	1.01%	$15,325	0.51%	0.70%	0.00%	1.08%	1.01%
1998	5	-0.00%	$12,845	-0.71%	$13,758	-0.00%	$12,845	-1.74%	$15,058	1.02%	0.46%	0.81%	-0.56%	-1.74%
1998	6	1.59%	$13,050	2.49%	$14,101	1.59%	$13,050	4.07%	$15,671	0.81%	1.47%	1.11%	0.50%	4.07%
1998	7	-0.76%	$12,951	-0.94%	$13,969	-0.76%	$12,951	-1.05%	$15,506	0.23%	-0.08%	-1.29%	-1.58%	-1.05%
1998	8	-4.89%	$12,318	-8.62%	$12,765	-4.89%	$12,318	-14.47%	$13,262	1.90%	-1.85%	-2.39%	-7.65%	-14.47%
1998	9	4.41%	$12,860	5.31%	$13,444	4.41%	$12,860	6.41%	$14,112	1.96%	2.82%	5.49%	5.35%	6.41%
1998	10	2.74%	$13,213	2.93%	$13,837	2.74%	$13,213	8.16%	$15,264	-0.55%	1.54%	0.31%	4.26%	8.16%
1998	11	2.74%	$13,575	3.34%	$14,300	2.74%	$13,575	6.07%	$16,191	0.49%	1.74%	2.38%	3.00%	6.07%
1998	12	1.64%	$13,798	2.32%	$14,631	1.64%	$13,798	5.81%	$17,131	0.38%	1.49%	0.46%	0.07%	5.81%
1999	1	1.28%	$13,975	2.13%	$14,943	1.28%	$13,975	4.20%	$17,851	0.79%	1.44%	-0.54%	0.51%	4.20%
1999	2	-2.57%	$13,616	-2.64%	$14,549	-2.57%	$13,616	-3.12%	$17,293	-1.77%	-2.16%	-2.86%	-2.92%	-3.12%
1999	3	1.83%	$13,865	2.20%	$14,869	1.83%	$13,865	4.00%	$17,984	0.56%	1.22%	0.81%	2.55%	4.00%
1999	4	3.22%	$14,310	2.42%	$15,230	3.22%	$14,310	3.85%	$18,677	0.40%	1.22%	3.22%	7.38%	3.85%
1999	5	-1.39%	$14,112	-1.61%	$14,984	-1.39%	$14,112	-2.39%	$18,231	-0.88%	-1.13%	-0.69%	-1.85%	-2.39%
1999	6	1.51%	$14,325	2.57%	$15,369	1.51%	$14,325	5.56%	$19,243	-0.50%	0.63%	-0.07%	1.94%	5.56%
1999	7	-1.59%	$14,098	-1.84%	$15,087	-1.59%	$14,098	-3.13%	$18,641	-0.39%	-0.84%	-1.64%	-1.93%	-3.13%
1999	8	-0.51%	$14,026	-0.37%	$15,031	-0.51%	$14,026	-0.50%	$18,549	-0.08%	-0.15%	-0.95%	-0.85%	-0.50%
1999	9	-0.82%	$13,911	-0.90%	$14,896	-0.82%	$13,911	-2.74%	$18,041	1.26%	0.46%	-0.53%	-2.55%	-2.74%
1999	10	2.14%	$14,209	3.61%	$15,433	2.14%	$14,209	6.33%	$19,182	0.33%	1.32%	0.88%	1.85%	6.33%
1999	11	0.29%	$14,250	1.01%	$15,589	0.29%	$14,250	2.02%	$19,570	0.02%	0.31%	-0.68%	-0.24%	2.02%
1999	12	1.18%	$14,418	2.92%	$16,044	1.18%	$14,418	5.98%	$20,740	-0.48%	0.55%	-1.04%	0.87%	5.98%
2000	1	-2.12%	$14,112	-2.77%	$15,599	-2.12%	$14,112	-5.03%	$19,696	-0.17%	-0.55%	-1.01%	-3.83%	-5.03%
2000	2	-1.43%	$13,910	-0.80%	$15,474	-1.43%	$13,910	-1.91%	$19,321	1.18%	1.10%	-3.00%	-4.54%	-1.91%
2000	3	5.33%	$14,652	6.27%	$16,444	5.33%	$14,652	9.75%	$21,205	1.40%	2.56%	5.61%	7.34%	9.75%
2000	4	-0.70%	$14,550	-1.69%	$16,167	-0.70%	$14,550	-3.00%	$20,569	-0.49%	-1.00%	0.16%	0.84%	-3.00%
2000	5	-0.03%	$14,546	-0.93%	$16,016	-0.03%	$14,546	-2.04%	$20,150	-0.16%	-0.47%	1.27%	1.27%	-2.04%
2000	6	0.86%	$14,671	2.01%	$16,338	0.86%	$14,671	2.49%	$20,652	2.15%	2.12%	-0.63%	-1.83%	2.49%
2000	7	0.68%	$14,770	-0.10%	$16,322	0.68%	$14,770	-1.50%	$20,343	0.88%	0.62%	1.98%	1.40%	-1.50%
2000	8	3.26%	$15,252	3.86%	$16,953	3.26%	$15,252	6.19%	$21,602	1.40%	2.24%	2.93%	3.56%	6.19%
2000	9	-0.70%	$15,145	-2.11%	$16,594	-0.70%	$15,145	-5.29%	$20,459	0.76%	-0.45%	1.80%	-0.34%	-5.29%
2000	10	0.82%	$15,269	0.32%	$16,647	0.82%	$15,269	-0.43%	$20,372	0.57%	0.31%	1.27%	2.38%	-0.43%
2000	11	-1.02%	$15,113	-3.67%	$16,035	-1.02%	$15,113	-7.89%	$18,765	1.58%	-0.15%	1.20%	0.14%	-7.89%
2000	12	2.35%	$15,468	1.60%	$16,291	2.35%	$15,468	0.51%	$18,861	1.79%	1.53%	3.80%	4.15%	0.51%
2001	1	1.91%	$15,765	2.12%	$16,636	1.91%	$15,765	3.55%	$19,530	1.76%	2.00%	0.25%	2.02%	3.55%
2001	2	-1.79%	$15,482	-1.96%	$16,310	-1.79%	$15,482	-9.14%	$17,746	0.91%	-1.58%	1.23%	-0.38%	-9.14%
2001	3	-1.78%	$15,206	-2.27%	$15,939	-1.78%	$15,206	-6.36%	$16,618	0.54%	-1.14%	-0.07%	-1.87%	-6.36%
2001	4	2.85%	$15,640	2.10%	$16,275	2.85%	$15,640	7.77%	$17,909	-0.46%	1.57%	1.88%	3.51%	7.77%
2001	5	0.98%	$15,794	1.18%	$16,467	0.98%	$15,794	0.65%	$18,025	0.73%	0.77%	1.02%	1.73%	0.65%
2001	6	-0.76%	$15,674	-0.54%	$16,378	-0.76%	$15,674	-2.45%	$17,584	0.52%	-0.01%	-0.18%	-1.67%	-2.45%
2001	7	1.20%	$15,863	2.00%	$16,705	1.20%	$15,863	-1.00%	$17,409	2.23%	1.63%	1.80%	1.36%	-1.00%
2001	8	-1.36%	$15,648	0.77%	$16,834	-1.36%	$15,648	-6.27%	$16,316	1.11%	-0.53%	0.67%	-1.76%	-6.27%
2001	9	-2.85%	$15,202	0.10%	$16,851	-2.85%	$15,202	-8.09%	$14,996	0.89%	-1.20%	-0.56%	-5.29%	-8.09%
2001	10	1.52%	$15,432	1.16%	$17,047	1.52%	$15,432	1.90%	$15,280	1.86%	1.97%	0.43%	1.42%	1.90%
2001	11	2.38%	$15,800	-0.38%	$16,982	2.38%	$15,800	7.65%	$16,450	-1.34%	0.85%	0.14%	4.60%	7.65%
2001	12	0.29%	$15,846	0.03%	$16,987	0.29%	$15,846	0.87%	$16,594	-0.58%	-0.23%	0.57%	0.83%	0.87%
2002	1	0.05%	$15,854	0.53%	$17,078	0.05%	$15,854	-1.47%	$16,349	0.69%	0.31%	0.45%	0.26%	-1.47%
2002	2	0.33%	$15,905	1.18%	$17,279	0.33%	$15,905	-1.94%	$16,033	0.85%	0.16%	1.65%	0.91%	-1.94%
2002	3	0.80%	$16,032	-0.66%	$17,165	0.80%	$16,032	3.74%	$16,633	-1.46%	-0.31%	-0.10%	2.11%	3.74%
2002	4	-1.17%	$15,845	-0.11%	$17,145	-1.17%	$15,845	-6.07%	$15,622	1.69%	-0.08%	0.70%	-2.07%	-6.07%
2002	5	0.49%	$15,923	0.99%	$17,316	0.49%	$15,923	-0.75%	$15,505	0.80%	0.39%	1.33%	0.69%	-0.75%
2002	6	-2.50%	$15,525	-1.55%	$17,047	-2.50%	$15,525	-7.13%	$14,398	0.29%	-1.49%	-0.93%	-3.23%	-7.13%
2002	7	-3.15%	$15,036	-1.00%	$16,877	-3.15%	$15,036	-7.72%	$13,287	0.48%	-1.44%	-2.09%	-4.99%	-7.72%
2002	8	0.94%	$15,178	1.22%	$17,083	0.94%	$15,178	0.65%	$13,374	1.66%	1.22%	0.86%	0.32%	0.65%
2002	9	-4.19%	$14,542	-0.95%	$16,920	-4.19%	$14,542	-10.87%	$11,919	1.53%	-2.25%	-2.67%	-6.66%	-10.87%
2002	10	3.21%	$15,010	0.83%	$17,061	3.21%	$15,010	8.78%	$12,966	-0.61%	2.16%	2.31%	3.43%	8.78%
2002	11	2.95%	$15,452	1.13%	$17,255	2.95%	$15,452	5.88%	$13,728	0.02%	1.79%	2.36%	4.68%	5.88%
2002	12	-1.04%	$15,291	1.34%	$17,486	-1.04%	$15,291	-5.89%	$12,919	2.07%	-0.24%	0.82%	-1.94%	-5.89%
2003	1	-1.39%	$15,079	-0.66%	$17,370	-1.39%	$15,079	-2.62%	$12,580	0.05%	-0.65%	-1.56%	-2.16%	-2.62%
2003	2	-0.16%	$15,055	0.77%	$17,504	-0.16%	$15,055	-1.52%	$12,389	1.38%	0.41%	0.10%	-1.17%	-1.52%
2003	3	0.20%	$15,085	-0.07%	$17,491	0.20%	$15,085	0.96%	$12,507	-0.13%	0.32%	-0.11%	-0.05%	0.96%
2003	4	4.29%	$15,732	2.10%	$17,858	4.29%	$15,732	8.25%	$13,540	0.87%	3.02%	3.40%	5.90%	8.25%
2003	5	3.93%	$16,350	2.88%	$18,371	3.93%	$16,350	5.26%	$14,252	1.82%	2.70%	4.24%	5.61%	5.26%
2003	6	0.46%	$16,426	0.04%	$18,379	0.46%	$16,426	1.26%	$14,432	-0.13%	0.38%	0.18%	0.63%	1.26%
2003	7	-1.44%	$16,189	-3.16%	$17,799	-1.44%	$16,189	1.74%	$14,684	-3.34%	-1.40%	-3.38%	-0.84%	1.74%
2003	8	1.14%	$16,373	0.54%	$17,896	1.14%	$16,373	1.93%	$14,967	0.61%	0.79%	0.40%	1.95%	1.93%
2003	9	1.05%	$16,546	2.20%	$18,290	1.05%	$16,546	-1.07%	$14,807	2.71%	1.64%	1.72%	0.26%	-1.07%
2003	10	1.84%	$16,851	-0.22%	$18,251	1.84%	$16,851	5.64%	$15,642	-0.96%	0.85%	0.44%	3.24%	5.64%
2003	11	0.66%	$16,962	0.40%	$18,323	0.66%	$16,962	0.86%	$15,778	0.27%	0.46%	0.54%	1.17%	0.86%
2003	12	3.26%	$17,515	2.03%	$18,696	3.26%	$17,515	5.22%	$16,601	0.88%	1.84%	3.52%	4.83%	5.22%
2004	1	1.01%	$17,691	0.66%	$18,819	1.01%	$17,691	1.82%	$16,904	0.86%	1.14%	0.48%	0.73%	1.82%
2004	2	1.38%	$17,935	1.52%	$19,104	1.38%	$17,935	1.38%	$17,136	1.03%	1.05%	1.38%	2.07%	1.38%
2004	3	-0.16%	$17,907	0.08%	$19,120	-0.16%	$17,907	-1.51%	$16,877	0.80%	0.22%	0.32%	-0.61%	-1.51%
2004	4	-2.07%	$17,537	-2.40%	$18,661	-2.07%	$17,537	-1.58%	$16,611	-2.61%	-2.23%	-2.17%	-1.74%	-1.58%
2004	5	0.14%	$17,562	-0.34%	$18,598	0.14%	$17,562	1.36%	$16,836	-0.43%	0.08%	-0.34%	0.03%	1.36%
2004	6	1.30%	$17,790	0.80%	$18,746	1.30%	$17,790	1.93%	$17,161	0.56%	0.76%	1.11%	2.16%	1.93%
2004	7	-0.69%	$17,667	-1.40%	$18,484	-0.69%	$17,667	-3.31%	$16,593	0.96%	-0.15%	0.34%	-1.30%	-3.31%
2004	8	1.46%	$17,925	1.25%	$18,714	1.46%	$17,925	0.38%	$16,657	1.94%	1.45%	2.07%	1.46%	0.38%
2004	9	0.77%	$18,063	1.05%	$18,911	0.77%	$18,063	1.07%	$16,834	0.16%	0.45%	0.66%	1.51%	1.07%
2004	10	1.02%	$18,247	1.22%	$19,143	1.02%	$18,247	1.51%	$17,089	0.85%	0.98%	0.66%	1.09%	1.51%
2004	11	1.47%	$18,516	2.62%	$19,643	1.47%	$18,516	4.05%	$17,781	-0.81%	0.60%	0.89%	2.62%	4.05%
2004	12	2.11%	$18,907	2.69%	$20,171	2.11%	$18,907	3.39%	$18,384	0.92%	1.56%	1.96%	2.74%	3.39%
2005	1	-0.68%	$18,778	-1.45%	$19,880	-0.68%	$18,778	-2.45%	$17,933	0.65%	-0.30%	-0.09%	-1.23%	-2.45%
2005	2	1.06%	$18,977	1.60%	$20,197	1.06%	$18,977	2.09%	$18,308	-0.63%	0.30%	1.25%	2.28%	2.09%
2005	3	-1.22%	$18,746	-1.47%	$19,901	-1.22%	$18,746	-1.76%	$17,986	-0.49%	-0.88%	-1.41%	-1.54%	-1.76%
2005	4	-0.01%	$18,745	-0.83%	$19,735	-0.01%	$18,745	-1.91%	$17,642	1.35%	0.23%	0.94%	-0.64%	-1.91%
2005	5	1.72%	$19,067	2.29%	$20,187	1.72%	$19,067	3.17%	$18,201	1.05%	1.65%	1.07%	1.65%	3.17%
2005	6	0.52%	$19,167	0.38%	$20,265	0.52%	$19,167	0.13%	$18,224	0.55%	0.37%	0.87%	0.70%	0.13%
2005	7	1.12%	$19,382	2.27%	$20,724	1.12%	$19,382	3.71%	$18,900	-0.99%	0.59%	0.09%	2.22%	3.71%
2005	8	0.52%	$19,484	-0.02%	$20,721	0.52%	$19,484	-0.91%	$18,727	1.36%	0.52%	0.78%	0.88%	-0.91%
2005	9	0.03%	$19,489	0.44%	$20,812	0.03%	$19,489	0.79%	$18,876	-1.10%	-0.37%	-0.25%	1.07%	0.79%
2005	10	-1.30%	$19,235	-1.54%	$20,492	-1.30%	$19,235	-1.68%	$18,559	-0.81%	-0.89%	-1.34%	-1.80%	-1.68%
2005	11	1.80%	$19,582	2.20%	$20,944	1.80%	$19,582	3.76%	$19,258	0.48%	1.42%	1.03%	2.32%	3.76%
2005	12	0.59%	$19,698	0.63%	$21,075	0.59%	$19,698	0.02%	$19,262	0.99%	0.59%	0.53%	0.82%	0.02%
2006	1	1.37%	$19,968	1.98%	$21,492	1.37%	$19,968	2.65%	$19,771	-0.11%	0.89%	0.85%	2.57%	2.65%
2006	2	0.31%	$20,029	0.10%	$21,514	0.31%	$20,029	0.26%	$19,823	0.37%	0.29%	0.80%	-0.19%	0.26%
2006	3	0.02%	$20,033	0.38%	$21,595	0.02%	$20,033	1.23%	$20,067	-1.00%	-0.08%	-0.66%	0.61%	1.23%
2006	4	0.89%	$20,211	1.35%	$21,886	0.89%	$20,211	1.33%	$20,335	-0.21%	0.30%	1.09%	1.93%	1.33%
2006	5	-1.15%	$19,979	-1.41%	$21,578	-1.15%	$19,979	-2.90%	$19,746	-0.09%	-0.74%	-0.66%	-1.36%	-2.90%
2006	6	0.22%	$20,024	0.18%	$21,618	0.22%	$20,024	0.13%	$19,771	0.10%	0.16%	0.58%	0.14%	0.13%
2006	7	1.34%	$20,292	1.39%	$21,918	1.34%	$20,292	0.61%	$19,891	1.35%	0.97%	2.14%	1.64%	0.61%
2006	8	1.89%	$20,676	1.96%	$22,347	1.89%	$20,676	2.36%	$20,361	1.64%	1.71%	1.81%	1.94%	2.36%
2006	9	1.45%	$20,977	1.55%	$22,692	1.45%	$20,977	2.56%	$20,883	0.81%	1.24%	1.23%	1.41%	2.56%
2006	10	1.93%	$21,382	2.53%	$23,265	1.93%	$21,382	3.25%	$21,562	0.72%	1.45%	1.64%	2.60%	3.25%
2006	11	1.47%	$21,695	1.66%	$23,652	1.47%	$21,695	1.89%	$21,969	1.11%	1.29%	1.30%	1.75%	1.89%
2006	12	0.57%	$21,818	0.95%	$23,876	0.57%	$21,818	1.39%	$22,275	-0.48%	0.20%	0.65%	1.07%	1.39%
2007	1	0.57%	$21,942	0.70%	$24,045	0.57%	$21,942	1.49%	$22,607	-0.08%	0.43%	0.32%	0.68%	1.49%
2007	2	0.08%	$21,959	-0.35%	$23,960	0.08%	$21,959	-1.97%	$22,162	1.50%	0.43%	0.91%	-0.49%	-1.97%
2007	3	0.63%	$22,097	0.81%	$24,153	0.63%	$22,097	1.11%	$22,409	0.02%	0.42%	0.63%	0.95%	1.11%
2007	4	2.33%	$22,613	3.27%	$24,943	2.33%	$22,613	4.42%	$23,399	0.51%	1.57%	1.73%	3.44%	4.42%
2007	5	1.18%	$22,881	2.21%	$25,494	1.18%	$22,881	3.48%	$24,212	-0.78%	0.49%	0.45%	2.28%	3.48%
2007	6	-0.93%	$22,668	-1.22%	$25,184	-0.93%	$22,668	-1.68%	$23,806	-0.39%	-0.56%	-1.19%	-0.84%	-1.68%
2007	7	-0.93%	$22,457	-1.85%	$24,719	-0.93%	$22,457	-3.08%	$23,072	0.84%	-0.21%	-0.73%	-1.47%	-3.08%
2007	8	1.36%	$22,761	1.41%	$25,068	1.36%	$22,761	1.50%	$23,418	1.34%	1.14%	1.42%	1.38%	1.50%
2007	9	2.15%	$23,251	2.88%	$25,790	2.15%	$23,251	3.72%	$24,290	0.72%	1.48%	1.72%	3.13%	3.72%
2007	10	1.12%	$23,513	1.29%	$26,123	1.12%	$23,513	1.58%	$24,673	0.93%	1.19%	0.94%	0.98%	1.58%
2007	11	-0.73%	$23,342	-2.17%	$25,557	-0.73%	$23,342	-4.19%	$23,640	1.91%	0.14%	-0.18%	-1.31%	-4.19%
2007	12	-0.31%	$23,271	-0.49%	$25,432	-0.31%	$23,271	-0.70%	$23,475	0.22%	-0.00%	-0.50%	-0.54%	-0.70%
2008	1	-1.71%	$22,872	-2.60%	$24,772	-1.71%	$22,872	-6.02%	$22,063	1.69%	-0.56%	-0.82%	-2.85%	-6.02%
2008	2	-1.19%	$22,599	-1.22%	$24,468	-1.19%	$22,599	-3.25%	$21,345	0.19%	-0.85%	-1.29%	-0.76%	-3.25%
2008	3	-0.05%	$22,588	-0.21%	$24,417	-0.05%	$22,588	-0.44%	$21,251	0.30%	-0.14%	0.38%	-0.35%	-0.44%
2008	4	1.91%	$23,020	1.45%	$24,771	1.91%	$23,020	4.85%	$22,283	-0.30%	1.22%	1.18%	2.60%	4.85%
2008	5	0.20%	$23,066	0.18%	$24,815	0.20%	$23,066	1.29%	$22,571	-0.79%	0.14%	-0.56%	0.91%	1.29%
2008	6	-3.89%	$22,168	-3.11%	$24,043	-3.89%	$22,168	-8.44%	$20,666	-0.01%	-2.59%	-3.41%	-5.02%	-8.44%
2008	7	-0.44%	$22,069	-0.67%	$23,883	-0.44%	$22,069	-0.83%	$20,494	0.00%	-0.22%	0.15%	-1.32%	-0.83%
2008	8	0.90%	$22,267	0.74%	$24,059	0.90%	$22,267	1.45%	$20,791	0.70%	0.81%	0.78%	0.74%	1.45%
2008	9	-4.96%	$21,162	-4.77%	$22,912	-4.96%	$21,162	-8.91%	$18,939	-1.10%	-3.93%	-3.47%	-7.39%	-8.91%
2008	10	-9.09%	$19,238	-4.69%	$21,837	-9.09%	$19,238	-16.79%	$15,759	-2.53%	-6.76%	-7.19%	-12.18%	-16.79%
2008	11	-1.07%	$19,032	1.82%	$22,235	-1.07%	$19,032	-7.17%	$14,628	3.64%	-0.08%	0.33%	-2.06%	-7.17%
2008	12	2.91%	$19,587	2.96%	$22,893	2.91%	$19,587	1.07%	$14,784	3.32%	2.23%	4.07%	3.87%	1.07%
2009	1	-4.31%	$18,743	-1.76%	$22,491	-4.31%	$18,743	-8.41%	$13,540	-0.70%	-2.37%	-4.62%	-5.44%	-8.41%
2009	2	-5.15%	$17,777	-2.01%	$22,038	-5.15%	$17,777	-10.66%	$12,097	-0.42%	-3.27%	-4.96%	-6.45%	-10.66%
2009	3	4.33%	$18,548	2.42%	$22,570	4.33%	$18,548	8.76%	$13,157	1.48%	3.46%	2.94%	5.04%	8.76%
2009	4	4.47%	$19,377	1.75%	$22,964	4.47%	$19,377	9.56%	$14,415	0.36%	3.04%	3.54%	5.87%	9.56%
2009	5	3.87%	$20,128	1.75%	$23,366	3.87%	$20,128	5.62%	$15,225	0.85%	2.21%	4.39%	6.30%	5.62%
2009	6	0.62%	$20,253	0.63%	$23,513	0.62%	$20,253	0.22%	$15,258	0.54%	0.59%	1.25%	0.52%	0.22%
2009	7	4.69%	$21,203	2.50%	$24,102	4.69%	$21,203	7.58%	$16,414	1.43%	3.05%	5.68%	5.71%	7.58%
2009	8	2.29%	$21,688	1.46%	$24,453	2.29%	$21,688	3.60%	$17,005	1.01%	1.79%	2.32%	2.70%	3.60%
2009	9	2.23%	$22,170	1.51%	$24,821	2.23%	$22,170	3.72%	$17,637	1.19%	1.81%	1.87%	2.54%	3.72%
2009	10	-0.41%	$22,080	0.18%	$24,865	-0.41%	$22,080	-1.87%	$17,308	0.41%	-0.08%	-0.05%	-0.47%	-1.87%
2009	11	3.49%	$22,850	2.20%	$25,412	3.49%	$22,850	5.98%	$18,343	1.36%	2.35%	3.20%	4.54%	5.98%
2009	12	-0.05%	$22,839	-0.93%	$25,176	-0.05%	$22,839	1.95%	$18,700	-1.68%	-0.86%	-0.01%	0.37%	1.95%
2010	1	-0.71%	$22,676	0.71%	$25,355	-0.71%	$22,676	-3.60%	$18,026	1.57%	0.45%	-0.29%	-1.70%	-3.60%
2010	2	1.35%	$22,982	0.62%	$25,513	1.35%	$22,982	3.09%	$18,583	0.20%	0.90%	1.08%	1.48%	3.09%
2010	3	2.62%	$23,584	0.88%	$25,737	2.62%	$23,584	6.01%	$19,701	-0.08%	1.25%	1.99%	3.93%	6.01%
2010	4	1.23%	$23,873	1.25%	$26,060	1.23%	$23,873	1.58%	$20,012	1.06%	1.26%	1.49%	0.74%	1.58%
2010	5	-3.26%	$23,094	-0.76%	$25,863	-3.26%	$23,094	-8.01%	$18,410	0.87%	-1.09%	-2.71%	-5.38%	-8.01%
2010	6	-1.13%	$22,833	0.88%	$26,089	-1.13%	$22,833	-5.24%	$17,445	1.61%	-0.06%	0.19%	-2.17%	-5.24%
2010	7	3.84%	$23,710	2.10%	$26,638	3.84%	$23,710	7.00%	$18,666	0.94%	2.38%	3.49%	5.42%	7.00%
2010	8	-0.87%	$23,505	1.09%	$26,928	-0.87%	$23,505	-4.53%	$17,820	1.48%	0.07%	0.86%	-2.21%	-4.53%
2010	9	3.82%	$24,403	1.30%	$27,278	3.82%	$24,403	8.92%	$19,410	-0.01%	2.23%	2.70%	5.26%	8.92%
2010	10	1.65%	$24,804	0.69%	$27,467	1.65%	$24,804	3.79%	$20,145	0.36%	1.07%	0.88%	2.13%	3.79%
2010	11	-0.59%	$24,659	-0.73%	$27,267	-0.59%	$24,659	0.00%	$20,145	-0.57%	-0.42%	-0.92%	-1.02%	0.00%
2010	12	2.51%	$25,278	0.40%	$27,376	2.51%	$25,278	6.67%	$21,489	-1.15%	0.88%	1.54%	4.61%	6.67%
2011	1	1.12%	$25,560	1.13%	$27,686	1.12%	$25,560	2.36%	$21,995	0.08%	0.50%	0.65%	1.99%	2.36%
2011	2	1.75%	$26,007	1.90%	$28,211	1.75%	$26,007	3.42%	$22,747	0.16%	0.99%	1.88%	2.30%	3.42%
2011	3	0.01%	$26,011	0.02%	$28,216	0.01%	$26,011	0.03%	$22,753	-0.01%	0.08%	0.14%	-0.18%	0.03%
2011	4	2.29%	$26,608	2.56%	$28,940	2.29%	$26,608	2.95%	$23,423	1.32%	1.83%	2.58%	2.80%	2.95%
2011	5	0.17%	$26,652	-0.17%	$28,891	0.17%	$26,652	-1.15%	$23,155	1.30%	0.35%	0.84%	-0.51%	-1.15%
2011	6	-1.02%	$26,380	-1.26%	$28,526	-1.02%	$26,380	-1.67%	$22,768	-0.39%	-0.66%	-1.06%	-1.32%	-1.67%
2011	7	-0.26%	$26,311	-0.94%	$28,258	-0.26%	$26,311	-2.05%	$22,302	1.58%	0.42%	0.04%	-1.30%	-2.05%
2011	8	-1.78%	$25,843	-3.08%	$27,388	-1.78%	$25,843	-5.45%	$21,087	1.46%	-1.11%	-0.27%	-3.52%	-5.45%
2011	9	-2.65%	$25,159	-4.28%	$26,216	-2.65%	$25,159	-7.04%	$19,602	0.89%	-1.51%	-1.46%	-4.12%	-7.04%
2011	10	4.93%	$26,400	5.55%	$27,671	4.93%	$26,400	10.91%	$21,741	0.16%	2.44%	4.03%	7.12%	10.91%
2011	11	-0.43%	$26,288	-0.41%	$27,558	-0.43%	$26,288	-0.23%	$21,691	-0.30%	-0.42%	-0.53%	-0.64%	-0.23%
2011	12	1.44%	$26,665	1.77%	$28,046	1.44%	$26,665	1.02%	$21,911	1.08%	0.88%	2.53%	1.67%	1.02%
2012	1	2.47%	$27,323	2.55%	$28,761	2.47%	$27,323	4.46%	$22,889	0.87%	1.84%	1.88%	3.29%	4.46%
2012	2	1.79%	$27,812	2.01%	$29,339	1.79%	$27,812	4.31%	$23,875	-0.05%	0.83%	1.28%	2.56%	4.31%
2012	3	0.92%	$28,067	1.15%	$29,676	0.92%	$28,067	3.28%	$24,659	-0.58%	-0.09%	0.46%	1.53%	3.28%
2012	4	0.41%	$28,182	0.17%	$29,727	0.41%	$28,182	-0.64%	$24,501	1.14%	0.69%	0.93%	-0.09%	-0.64%
2012	5	-2.25%	$27,549	-3.34%	$28,734	-2.25%	$27,549	-6.02%	$23,027	0.95%	-0.76%	-1.43%	-3.98%	-6.02%
2012	6	2.05%	$28,113	2.71%	$29,512	2.05%	$28,113	4.11%	$23,973	0.04%	0.89%	2.00%	3.22%	4.11%
2012	7	1.59%	$28,562	1.63%	$29,994	1.59%	$28,562	1.37%	$24,301	1.39%	1.31%	2.44%	1.46%	1.37%
2012	8	0.92%	$28,823	1.38%	$30,407	0.92%	$28,823	2.24%	$24,845	0.03%	0.55%	0.53%	1.23%	2.24%
2012	9	1.23%	$29,177	1.68%	$30,919	1.23%	$29,177	2.58%	$25,486	0.11%	0.66%	0.86%	1.93%	2.58%
2012	10	-0.33%	$29,082	-0.91%	$30,638	-0.33%	$29,082	-1.86%	$25,012	0.11%	-0.14%	0.25%	0.00%	-1.86%
2012	11	0.31%	$29,172	0.40%	$30,760	0.31%	$29,172	0.56%	$25,152	0.19%	0.34%	0.29%	0.18%	0.56%
2012	12	0.38%	$29,284	0.63%	$30,954	0.38%	$29,284	0.90%	$25,379	-0.20%	0.25%	0.19%	0.79%	0.90%
2013	1	1.96%	$29,859	2.25%	$31,651	1.96%	$29,859	5.18%	$26,692	-0.71%	0.42%	1.45%	3.49%	5.18%
2013	2	0.91%	$30,131	1.13%	$32,007	0.91%	$30,131	1.34%	$27,050	0.54%	0.56%	1.23%	0.89%	1.34%
2013	3	1.67%	$30,633	1.83%	$32,593	1.67%	$30,633	3.74%	$28,061	0.08%	0.71%	1.26%	2.53%	3.74%
2013	4	1.65%	$31,138	1.75%	$33,165	1.65%	$31,138	1.91%	$28,597	0.91%	1.18%	1.97%	2.28%	1.91%
2013	5	-0.18%	$31,082	0.60%	$33,364	-0.18%	$31,082	2.33%	$29,262	-1.71%	-1.30%	-0.87%	0.65%	2.33%
2013	6	-1.51%	$30,614	-1.48%	$32,872	-1.51%	$30,614	-1.35%	$28,867	-1.65%	-1.59%	-1.59%	-1.35%	-1.35%
2013	7	2.41%	$31,353	3.59%	$34,052	2.41%	$31,353	5.07%	$30,331	0.20%	1.21%	2.04%	3.55%	5.07%
2013	8	-1.73%	$30,811	-2.25%	$33,285	-1.73%	$30,811	-2.91%	$29,448	-0.64%	-0.98%	-1.87%	-2.23%	-2.91%
2013	9	1.94%	$31,407	2.44%	$34,098	1.94%	$31,407	3.12%	$30,367	0.96%	1.68%	1.63%	2.28%	3.12%
2013	10	2.33%	$32,138	3.28%	$35,216	2.33%	$32,138	4.59%	$31,760	0.78%	1.40%	2.10%	2.78%	4.59%
2013	11	1.12%	$32,498	1.96%	$35,908	1.12%	$32,498	3.03%	$32,722	-0.35%	0.21%	0.79%	1.93%	3.03%
2013	12	0.81%	$32,762	1.56%	$36,467	0.81%	$32,762	2.51%	$33,544	-0.65%	-0.09%	0.81%	1.47%	2.51%
2014	1	-0.65%	$32,548	-1.87%	$35,787	-0.65%	$32,548	-3.47%	$32,381	1.54%	0.56%	-0.36%	-1.53%	-3.47%
2014	2	2.28%	$33,292	3.27%	$36,955	2.28%	$33,292	4.56%	$33,857	0.48%	1.32%	2.06%	3.00%	4.56%
2014	3	0.53%	$33,468	0.69%	$37,209	0.53%	$33,468	0.82%	$34,136	-0.15%	0.13%	0.92%	0.92%	0.82%
2014	4	0.88%	$33,762	0.84%	$37,521	0.88%	$33,762	0.72%	$34,383	0.77%	0.62%	1.19%	1.09%	0.72%
2014	5	1.46%	$34,254	1.81%	$38,199	1.46%	$34,254	2.33%	$35,186	1.05%	1.23%	1.21%	1.46%	2.33%
2014	6	0.98%	$34,591	1.45%	$38,754	0.98%	$34,591	2.05%	$35,908	0.11%	0.58%	0.78%	1.40%	2.05%
2014	7	-0.80%	$34,313	-1.06%	$38,344	-0.80%	$34,313	-1.39%	$35,410	-0.26%	-0.34%	-1.00%	-1.03%	-1.39%
2014	8	2.22%	$35,076	2.95%	$39,475	2.22%	$35,076	3.98%	$36,820	1.13%	1.56%	1.99%	2.46%	3.98%
2014	9	-1.17%	$34,665	-1.29%	$38,966	-1.17%	$34,665	-1.41%	$36,300	-0.72%	-1.11%	-1.25%	-1.36%	-1.41%
2014	10	1.45%	$35,168	1.85%	$39,688	1.45%	$35,168	2.42%	$37,179	0.94%	1.15%	1.17%	1.56%	2.42%
2014	11	1.48%	$35,688	1.99%	$40,479	1.48%	$35,688	2.68%	$38,177	0.65%	0.94%	1.31%	1.81%	2.68%
2014	12	-0.13%	$35,642	-0.19%	$40,400	-0.13%	$35,642	-0.26%	$38,076	0.09%	-0.05%	-0.16%	-0.25%	-0.26%
2015	1	-0.03%	$35,633	-1.36%	$39,851	-0.03%	$35,633	-3.02%	$36,927	2.31%	1.41%	0.55%	-1.38%	-3.02%
2015	2	1.81%	$36,279	3.53%	$41,258	1.81%	$36,279	5.74%	$39,046	-1.08%	0.33%	0.82%	3.26%	5.74%
2015	3	-0.42%	$36,128	-0.94%	$40,868	-0.42%	$36,128	-1.59%	$38,424	0.41%	0.18%	-0.10%	-0.98%	-1.59%
2015	4	0.44%	$36,286	0.71%	$41,158	0.44%	$36,286	0.95%	$38,789	-0.36%	0.00%	0.51%	1.10%	0.95%
2015	5	0.15%	$36,342	0.62%	$41,412	0.15%	$36,342	1.27%	$39,282	-0.45%	-0.26%	-0.12%	0.33%	1.27%
2015	6	-1.64%	$35,745	-1.79%	$40,672	-1.64%	$35,745	-1.93%	$38,523	-1.01%	-1.27%	-2.06%	-1.94%	-1.93%
2015	7	1.35%	$36,226	1.68%	$41,356	1.35%	$36,226	2.08%	$39,324	0.76%	0.88%	1.23%	1.78%	2.08%
2015	8	-2.94%	$35,163	-4.34%	$39,563	-2.94%	$35,163	-6.05%	$36,946	-0.36%	-1.61%	-2.16%	-4.51%	-6.05%
2015	9	-0.60%	$34,951	-1.43%	$38,997	-0.60%	$34,951	-2.48%	$36,028	0.76%	-0.05%	0.11%	-1.35%	-2.48%
2015	10	3.77%	$36,268	5.80%	$41,258	3.77%	$36,268	8.42%	$39,063	0.01%	1.57%	3.40%	5.44%	8.42%
2015	11	-0.01%	$36,265	0.12%	$41,307	-0.01%	$36,265	0.29%	$39,175	-0.27%	-0.13%	0.00%	0.08%	0.29%
2015	12	-0.99%	$35,908	-1.27%	$40,782	-0.99%	$35,908	-1.59%	$38,551	-0.38%	-0.77%	-0.79%	-1.40%	-1.59%
2016	1	-1.29%	$35,444	-2.91%	$39,594	-1.29%	$35,444	-4.98%	$36,632	1.43%	0.07%	-0.20%	-2.77%	-4.98%
2016	2	0.24%	$35,529	0.04%	$39,608	0.24%	$35,529	-0.15%	$36,579	0.66%	0.48%	0.45%	-0.25%	-0.15%
2016	3	3.70%	$36,843	5.07%	$41,615	3.70%	$36,843	6.78%	$39,058	0.94%	2.19%	3.52%	5.08%	6.78%
2016	4	0.72%	$37,107	0.54%	$41,842	0.72%	$37,107	0.37%	$39,204	0.38%	0.47%	0.91%	1.45%	0.37%
2016	5	0.69%	$37,363	1.10%	$42,300	0.69%	$37,363	1.78%	$39,903	0.01%	0.27%	0.59%	0.79%	1.78%
2016	6	1.32%	$37,857	1.12%	$42,774	1.32%	$37,857	0.25%	$40,002	1.94%	1.47%	2.18%	0.78%	0.25%
2016	7	1.91%	$38,579	2.46%	$43,827	1.91%	$38,579	3.68%	$41,473	0.64%	1.45%	1.38%	2.39%	3.68%
2016	8	0.03%	$38,592	0.05%	$43,848	0.03%	$38,592	0.13%	$41,527	-0.17%	0.00%	0.00%	0.20%	0.13%
2016	9	-0.09%	$38,557	-0.09%	$43,808	-0.09%	$38,557	0.01%	$41,530	-0.09%	0.08%	-0.32%	-0.13%	0.01%
2016	10	-1.24%	$38,079	-1.48%	$43,159	-1.24%	$38,079	-1.83%	$40,769	-0.81%	-1.17%	-1.22%	-1.16%	-1.83%
2016	11	0.23%	$38,166	1.23%	$43,688	0.23%	$38,166	3.70%	$42,277	-2.64%	-1.39%	-0.74%	2.21%	3.70%
2016	12	1.26%	$38,649	1.47%	$44,331	1.26%	$38,649	1.96%	$43,107	0.24%	0.64%	1.35%	2.12%	1.96%
2017	1	0.77%	$38,946	1.23%	$44,877	0.77%	$38,946	1.88%	$43,918	0.29%	0.47%	0.27%	0.92%	1.88%
2017	2	2.08%	$39,754	2.89%	$46,173	2.08%	$39,754	3.96%	$45,659	0.66%	1.14%	1.96%	2.66%	3.96%
2017	3	0.01%	$39,757	0.03%	$46,185	0.01%	$39,757	0.10%	$45,704	-0.07%	0.22%	-0.04%	-0.18%	0.10%
2017	4	0.82%	$40,083	0.90%	$46,599	0.82%	$40,083	1.02%	$46,170	0.76%	0.86%	0.70%	0.77%	1.02%
2017	5	1.05%	$40,503	1.20%	$47,156	1.05%	$40,503	1.39%	$46,813	0.67%	0.85%	1.15%	1.16%	1.39%
2017	6	0.35%	$40,643	0.49%	$47,386	0.35%	$40,643	0.61%	$47,099	0.01%	0.00%	0.41%	0.69%	0.61%
2017	7	1.06%	$41,073	1.47%	$48,080	1.06%	$41,073	2.04%	$48,061	0.39%	0.78%	0.88%	1.20%	2.04%
2017	8	0.52%	$41,287	0.39%	$48,269	0.52%	$41,287	0.29%	$48,202	0.85%	0.78%	0.53%	0.14%	0.29%
2017	9	0.89%	$41,656	1.47%	$48,980	0.89%	$41,656	2.06%	$49,195	-0.54%	0.08%	0.84%	2.02%	2.06%
2017	10	1.06%	$42,096	1.59%	$49,760	1.06%	$42,096	2.32%	$50,335	0.11%	0.58%	0.90%	1.38%	2.32%
2017	11	1.25%	$42,622	2.03%	$50,771	1.25%	$42,622	3.06%	$51,875	-0.17%	0.45%	1.08%	1.83%	3.06%
2017	12	0.89%	$43,000	1.01%	$51,283	0.89%	$43,000	1.10%	$52,447	0.44%	0.55%	1.08%	1.25%	1.10%
2018	1	1.67%	$43,720	3.41%	$53,032	1.67%	$43,720	5.71%	$55,443	-1.09%	0.32%	0.56%	2.88%	5.71%
2018	2	-2.48%	$42,637	-3.07%	$51,401	-2.48%	$42,637	-3.69%	$53,394	-1.03%	-1.35%	-2.73%	-3.58%	-3.69%
2018	3	-0.61%	$42,378	-1.44%	$50,663	-0.61%	$42,378	-2.56%	$52,030	0.63%	0.26%	-0.27%	-1.10%	-2.56%
2018	4	-0.20%	$42,294	0.08%	$50,703	-0.20%	$42,294	0.37%	$52,224	-0.83%	-0.33%	-0.50%	0.29%	0.37%
2018	5	0.97%	$42,705	1.50%	$51,466	0.97%	$42,705	2.39%	$53,475	0.61%	0.59%	0.65%	0.61%	2.39%
2018	6	0.14%	$42,764	0.30%	$51,619	0.14%	$42,764	0.61%	$53,798	0.03%	0.04%	0.16%	-0.14%	0.61%
2018	7	1.95%	$43,597	2.79%	$53,061	1.95%	$43,597	3.71%	$55,794	0.03%	0.59%	2.04%	3.37%	3.71%
2018	8	1.20%	$44,118	2.01%	$54,127	1.20%	$44,118	3.25%	$57,605	0.52%	0.52%	0.57%	1.13%	3.25%
2018	9	-0.05%	$44,096	0.22%	$54,248	-0.05%	$44,096	0.55%	$57,924	-0.54%	-0.30%	-0.23%	0.26%	0.55%
2018	10	-3.15%	$42,708	-4.71%	$51,695	-3.15%	$42,708	-6.85%	$53,957	-0.73%	-1.95%	-2.27%	-3.93%	-6.85%
2018	11	1.39%	$43,300	1.71%	$52,577	1.39%	$43,300	2.03%	$55,051	0.53%	0.73%	1.63%	2.02%	2.03%
2018	12	-2.87%	$42,057	-5.54%	$49,664	-2.87%	$42,057	-9.04%	$50,074	1.80%	-0.15%	-2.08%	-4.88%	-9.04%
2019	1	3.82%	$43,662	5.55%	$52,421	3.82%	$43,662	8.00%	$54,081	1.01%	2.42%	3.23%	4.42%	8.00%
2019	2	1.52%	$44,328	2.29%	$53,620	1.52%	$44,328	3.20%	$55,812	-0.06%	0.53%	1.51%	2.45%	3.20%
2019	3	1.84%	$45,141	1.85%	$54,611	1.84%	$45,141	1.94%	$56,893	1.96%	1.85%	1.88%	1.56%	1.94%
2019	4	1.66%	$45,890	2.69%	$56,079	1.66%	$45,890	4.04%	$59,192	0.04%	0.71%	1.08%	2.42%	4.04%
2019	5	-1.59%	$45,161	-3.62%	$54,047	-1.59%	$45,161	-6.36%	$55,424	1.83%	0.06%	-0.65%	-2.83%	-6.36%
2019	6	3.60%	$46,786	5.05%	$56,777	3.60%	$46,786	7.03%	$59,322	1.15%	2.27%	3.14%	4.39%	7.03%
2019	7	0.76%	$47,139	1.06%	$57,380	0.76%	$47,139	1.43%	$60,168	0.23%	0.50%	0.49%	1.14%	1.43%
2019	8	0.98%	$47,600	-0.11%	$57,317	0.98%	$47,600	-1.59%	$59,211	2.78%	1.63%	1.68%	0.38%	-1.59%
2019	9	0.70%	$47,934	1.26%	$58,038	0.70%	$47,934	1.86%	$60,312	-0.60%	0.03%	0.59%	1.63%	1.86%
2019	10	0.98%	$48,404	1.49%	$58,905	0.98%	$48,404	2.15%	$61,611	0.21%	0.50%	0.63%	1.42%	2.15%
2019	11	1.27%	$49,018	2.25%	$60,230	1.27%	$49,018	3.62%	$63,842	-0.06%	0.49%	0.62%	1.67%	3.62%
2019	12	1.30%	$49,656	2.05%	$61,467	1.30%	$49,656	3.01%	$65,761	-0.15%	0.48%	1.14%	2.02%	3.01%
2020	1	1.01%	$50,157	0.52%	$61,786	1.01%	$50,157	-0.05%	$65,728	2.11%	1.36%	1.28%	0.35%	-0.05%
2020	2	-2.94%	$48,684	-5.30%	$58,513	-2.94%	$48,684	-8.24%	$60,311	1.71%	-0.37%	-2.46%	-5.33%	-8.24%
2020	3	-6.49%	$45,524	-9.12%	$53,177	-6.49%	$45,524	-12.37%	$52,849	-0.59%	-3.96%	-6.28%	-9.25%	-12.37%
2020	4	6.34%	$48,410	2.82%	$54,678	6.34%	$48,410	12.81%	$59,621	1.69%	3.51%	5.70%	7.98%	12.81%
2020	5	2.32%	$49,531	1.02%	$55,237	2.32%	$49,531	4.76%	$62,457	0.54%	1.36%	2.11%	2.82%	4.76%
2020	6	1.04%	$50,045	0.87%	$55,715	1.04%	$50,045	1.98%	$63,692	0.70%	1.18%	0.47%	0.86%	1.98%
2020	7	3.34%	$51,717	3.49%	$57,657	3.34%	$51,717	5.63%	$67,276	1.55%	2.12%	2.81%	4.60%	5.63%
2020	8	2.03%	$52,765	2.77%	$59,256	2.03%	$52,765	7.18%	$72,104	-1.02%	0.47%	0.22%	3.29%	7.18%
2020	9	-1.35%	$52,052	-1.71%	$58,240	-1.35%	$52,052	-3.81%	$69,356	0.08%	-0.35%	-0.70%	-1.97%	-3.81%
2020	10	-1.34%	$51,354	-1.53%	$57,350	-1.34%	$51,354	-2.67%	$67,504	-0.61%	-0.65%	-1.27%	-1.49%	-2.67%
2020	11	5.67%	$54,264	5.81%	$60,682	5.67%	$54,264	10.94%	$74,886	1.11%	3.11%	5.72%	7.46%	10.94%
2020	12	1.71%	$55,192	1.87%	$61,819	1.71%	$55,192	3.84%	$77,760	0.15%	1.21%	1.16%	2.20%	3.84%

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	Provided Portfolio	Maximum Return at 10.00% Volatility	Equal Weighted	Vanguard 500 Index Investor
Asian Crisis	Jul 1997	Jan 1998	-2.86%	-4.06%	-2.86%	-5.61%
Russian Debt Default	Jul 1998	Oct 1998	-5.61%	-9.47%	-5.61%	-15.38%
Dotcom Crash	Mar 2000	Oct 2002	-9.29%	-5.98%	-9.29%	-44.82%
Subprime Crisis	Nov 2007	Mar 2009	-24.39%	-16.41%	-24.39%	-50.97%
COVID-19 Start	Jan 2020	Mar 2020	-9.24%	-13.93%	-9.24%	-19.63%

Drawdowns for Provided Portfolio

Drawdowns for Provided Portfolio (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	-24.39%
2	Apr 2002	Sep 2002	6 months	May 2003	8 months	1 year 2 months	-9.29%
3	Feb 2020	Mar 2020	2 months	Jul 2020	4 months	6 months	-9.24%
4	Jul 1998	Aug 1998	2 months	Oct 1998	2 months	4 months	-5.61%
5	Jun 2011	Sep 2011	4 months	Dec 2011	3 months	7 months	-5.60%
6	Sep 2018	Dec 2018	4 months	Feb 2019	2 months	6 months	-4.67%
7	May 2010	Jun 2010	2 months	Sep 2010	3 months	5 months	-4.36%
8	Aug 2001	Sep 2001	2 months	Feb 2002	5 months	7 months	-4.17%
9	Jun 2015	Sep 2015	4 months	Mar 2016	6 months	10 months	-3.83%
10	Feb 2001	Mar 2001	2 months	May 2001	2 months	4 months	-3.54%
Worst 10 drawdowns included above

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	Oct 2008	1 year	Jul 2010	1 year 9 months	2 years 9 months	-16.41%
2	Feb 2020	Mar 2020	2 months	Dec 2020	9 months	11 months	-13.93%
3	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-9.47%
4	May 2011	Sep 2011	5 months	Feb 2012	5 months	10 months	-9.41%
5	Oct 2018	Dec 2018	3 months	Mar 2019	3 months	6 months	-8.45%
6	Sep 2000	Mar 2001	7 months	Oct 2001	7 months	1 year 2 months	-5.98%
7	Jun 2015	Sep 2015	4 months	Mar 2016	6 months	10 months	-5.83%
8	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-4.47%
9	Aug 1997	Aug 1997	1 month	Sep 1997	1 month	2 months	-4.06%
10	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-3.62%
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	Mar 2010	1 year 1 month	2 years 5 months	-24.39%
2	Apr 2002	Sep 2002	6 months	May 2003	8 months	1 year 2 months	-9.29%
3	Feb 2020	Mar 2020	2 months	Jul 2020	4 months	6 months	-9.24%
4	Jul 1998	Aug 1998	2 months	Oct 1998	2 months	4 months	-5.61%
5	Jun 2011	Sep 2011	4 months	Dec 2011	3 months	7 months	-5.60%
6	Sep 2018	Dec 2018	4 months	Feb 2019	2 months	6 months	-4.67%
7	May 2010	Jun 2010	2 months	Sep 2010	3 months	5 months	-4.36%
8	Aug 2001	Sep 2001	2 months	Feb 2002	5 months	7 months	-4.17%
9	Jun 2015	Sep 2015	4 months	Mar 2016	6 months	10 months	-3.83%
10	Feb 2001	Mar 2001	2 months	May 2001	2 months	4 months	-3.54%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Aug 2012	3 years 6 months	4 years 10 months	-50.97%
2	Sep 2000	Sep 2002	2 years 1 month	Nov 2006	4 years 2 months	6 years 3 months	-44.82%
3	Jan 2020	Mar 2020	3 months	Jul 2020	4 months	7 months	-19.63%
4	Jul 1998	Aug 1998	2 months	Nov 1998	3 months	5 months	-15.38%
5	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.55%
6	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
7	Jan 2000	Feb 2000	2 months	Mar 2000	1 month	3 months	-6.84%
8	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-6.38%
9	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.36%
10	Jul 1999	Sep 1999	3 months	Nov 1999	2 months	5 months	-6.25%
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	Market Correlation
VBMFX	Vanguard Total Bond Market Index Inv	5.03%	3.41%	11.39%	-2.26%	-3.99%	0.87	1.48	-0.04
VASIX	Vanguard LifeStrategy Income Inv	5.71%	4.39%	14.23%	-10.53%	-15.50%	0.83	1.26	0.80
VWINX	Vanguard Wellesley Income Inv	7.67%	6.19%	20.19%	-9.84%	-18.82%	0.90	1.47	0.72
VWELX	Vanguard Wellington Inv	8.72%	9.81%	23.23%	-22.30%	-32.53%	0.70	1.05	0.90
VFINX	Vanguard 500 Index Investor	8.92%	15.46%	33.19%	-37.02%	-50.97%	0.50	0.73	0.99

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Annualized Return			Expense Ratio
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year	Net	Gross
Vanguard Total Bond Market Index Inv	0.64%	7.61%	7.61%	5.29%	4.36%	3.69%	0.15%	0.15%
Vanguard LifeStrategy Income Inv	3.67%	9.13%	9.13%	6.56%	6.24%	5.17%	0.11%	0.11%
Vanguard Wellesley Income Inv	5.58%	8.45%	8.45%	7.14%	7.93%	7.76%	0.23%	0.23%
Vanguard Wellington Inv	8.18%	10.60%	10.60%	9.38%	10.76%	9.86%	0.24%	0.24%
Vanguard 500 Index Investor	12.12%	18.25%	18.25%	14.03%	15.07%	13.72%	0.14%	0.14%
Trailing returns as of last calendar month ending December 2020

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	VBMFX	VASIX	VWINX	VWELX	VFINX	Provided Portfolio	Maximum Return at 10.00% Volatility	Equal Weighted	Vanguard 500 Index Investor
VBMFX	Vanguard Total Bond Market Index Inv	1.00	0.52	0.46	0.12	-0.04	0.26	0.22	0.26	-0.04
VASIX	Vanguard LifeStrategy Income Inv	0.52	1.00	0.88	0.84	0.81	0.93	0.78	0.93	0.81
VWINX	Vanguard Wellesley Income Inv	0.46	0.88	1.00	0.88	0.74	0.92	0.78	0.92	0.74
VWELX	Vanguard Wellington Inv	0.12	0.84	0.88	1.00	0.92	0.97	0.84	0.97	0.92
VFINX	Vanguard 500 Index Investor	-0.04	0.81	0.74	0.92	1.00	0.94	0.84	0.94	1.00

Annual Asset Returns

Rolling Returns

Rolling returns summary
Roll Period	Provided Portfolio			Maximum Return at 10.00% Volatility			Equal Weighted			Vanguard 500 Index Investor
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low	Average	High	Low
1 year	7.16%	29.28%	-21.34%	7.60%	35.67%	-16.41%	7.16%	29.28%	-21.34%	9.19%	53.61%	-43.32%
3 years	6.51%	16.09%	-3.90%	7.11%	17.52%	0.48%	6.51%	16.09%	-3.90%	7.35%	27.53%	-16.14%
5 years	6.36%	13.37%	-0.18%	6.90%	11.18%	2.42%	6.36%	13.37%	-0.18%	6.61%	22.85%	-6.73%
7 years	6.46%	10.40%	1.60%	6.91%	10.95%	3.54%	6.46%	10.40%	1.60%	6.87%	17.12%	-3.94%
10 years	6.36%	9.57%	2.70%	6.74%	9.34%	4.17%	6.36%	9.57%	2.70%	6.50%	16.52%	-3.51%
15 years	6.40%	7.35%	5.55%	6.80%	7.85%	5.80%	6.40%	7.35%	5.55%	6.59%	10.39%	3.64%

Rolling Portfolio Optimization

Portfolio Optimization Overview

Portfolio Optimization Configuration

Portfolio Optimization Results (Jan 1997 - Dec 2020) Save

Performance Summary

Portfolio Growth

Annual Returns

Trailing Returns

Risk and Return Metrics

Allocation Drift

Annual Returns

Monthly Returns

Drawdowns

Historical Market Stress Periods

Drawdowns for Provided Portfolio

Drawdowns for Maximum Return at 10.00% Volatility

Drawdowns for Equal Weighted

Drawdowns for Vanguard 500 Index Investor

Portfolio Assets

Portfolio Asset Performance

Monthly Correlations

Annual Asset Returns

Rolling Returns

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years