Historical Model Matrix
Aggregate Model Portfolios
Historical Data - Net of Fees
Quarterly through 12/31/2020
3 YEAR
Standard Deviation
Mean Return
Sharpe Ratio
MVO Score
Standard Deviation
Mean Return
Sharpe Ratio
MVO Score
Standard Deviation
Mean Return
Sharpe Ratio
MVO Score
Standard Deviation
Mean Return
Sharpe Ratio
MVO Score
Standard Deviation
Mean Return
Sharpe Ratio
MVO Score
Standard Deviation
Mean Return
Sharpe Ratio
MVO Score
Benchmark
4.11
5.10
0.87
0.00
8.33
6.76
0.66
0.00
12.24
8.05
0.59
0.00
16.07
9.11
0.55
0.00
19.89
10.11
0.53
0.00
19.89
10.11
0.53
0.00
Model
4.06
6.81
1.29
1.78
6.23
9.08
1.22
4.00
8.99
11.39
1.12
5.45
10.97
13.14
1.10
6.89
13.40
14.12
1.00
7.28
16.18
17.32
1.05
9.08
5 YEAR
Benchmark
3.55
4.80
1.02
0.00
6.89
7.35
0.92
0.00
10.04
9.35
0.86
0.00
13.18
11.07
0.81
0.00
16.33
12.78
0.79
0.00
16.33
12.78
0.79
0.00
Model
3.51
5.72
1.29
0.97
3.46
7.05
1.68
2.54
7.48
10.64
1.29
3.65
9.09
12.11
1.24
4.45
11.08
14.06
1.21
5.36
13.36
17.31
1.27
6.84
10 YEAR
Benchmark
3.33
3.92
1.00
0.00
6.05
5.93
0.91
0.00
8.78
7.51
0.83
0.00
11.76
8.93
0.77
0.00
14.65
10.31
0.74
0.00
14.65
10.31
0.74
0.00
Model
3.28
3.94
1.03
0.08
5.01
5.40
0.98
0.47
7.10
7.23
0.96
1.14
8.50
8.17
0.93
1.69
10.38
9.45
0.90
2.12
12.68
11.17
0.90
2.23
Historical Data Disclosures - All Data and Downloads
Historical data and associated information is not an offer to buy/sell any securities and not a financial planning engagement. $1MM invested shown net of 1.25% Advisory fee billed at .3125% quarterly. Portfolio income and capital gains reinvested. Taxes paid out-of-pocket. Quarterly rebalancing. Time-weighted model data compiled from Morningstar, Inc. Past performance is no guarantee of future results. Not GIPS compliant. It is not possible to invest directly in a benchmark or a model. Holdings and results may vary. All data viewed and/or downloaded is incomplete without complete disclosures.
For complete Portfolio Advisory disclosures, please Click Here. For benchmark methodology, Click Here.
Total Risk and Returns
10-Year Risk/Reward - Gross/Net of Fees
Quarterly through 12/31/2021
Risk-Return Ratio Analysis
10-Year Shape Ratios - Gross/Net of Fees
Through 12/31/2021
Optimization Summary
10-Year MVO Scores - Gross/Net of Fees
Through 12/31/2021
