ETF Portfolios

Returns as of market close on 4/8/2020.

Our ETF portfolios use value, momentum and macroeconomic factors to rotate among factors, sectors and asset classes.
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Factor Portfolios

Portfolio	Inception Date	Return	S&P 500	+/- S&P 500	Beta	Standard Deviation	Maximum Drawdown	Sharpe Ratio
Factor Rotation - Momentum with Trend	12/29/2006	10.1%	7.2%	2.9%	0.57	18.5%	34.7%	0.48
Factor Rotation - Composite with Trend	12/29/2006	9.9%	7.2%	2.7%	0.56	18.1%	40.7%	0.48
Factor Rotation - Macro with Trend	12/29/2006	9.3%	7.2%	2.1%	0.55	17.9%	38.9%	0.45
Factor Rotation - Momentum	12/29/2006	8.6%	7.2%	1.4%	0.94	22.4%	57.3%	0.32
Factor Rotation - Composite	12/29/2006	8.1%	7.2%	0.9%	0.97	23.0%	64.0%	0.30
Factor Rotation - Macro	12/29/2006	7.3%	7.2%	0.1%	0.97	22.8%	65.5%	0.27
Factor Rotation - Value with Trend	12/29/2006	7.3%	7.2%	0.1%	0.56	18.3%	49.1%	0.33
Factor Rotation - Value	12/29/2006	6.5%	7.2%	-0.7%	0.96	22.6%	56.2%	0.23

Sector Portfolios

Portfolio	Inception Date	Return	S&P 500	+/- S&P 500	Beta	Standard Deviation	Maximum Drawdown	Sharpe Ratio
Sector Rotation - Momentum	12/29/2006	7.8%	7.2%	0.6%	0.90	20.1%	46.4%	0.32
Sector Rotation - Value	12/29/2006	7.6%	7.2%	0.4%	0.92	20.4%	48.5%	0.31
Sector Rotation - Macro	12/29/2006	7.3%	7.2%	0.1%	0.91	20.1%	46.5%	0.30
Sector Rotation - Momentum with Trend	12/29/2006	6.8%	7.2%	-0.4%	0.55	16.5%	33.9%	0.33
Sector Rotation - Composite	12/29/2006	6.5%	7.2%	-0.7%	0.91	20.2%	46.0%	0.26
Sector Rotation - Value with Trend	12/29/2006	6.3%	7.2%	-0.9%	0.54	16.4%	38.3%	0.30
Sector Rotation - Macro with Trend	12/29/2006	5.8%	7.2%	-1.4%	0.54	16.3%	33.4%	0.27
Sector Rotation - Composite with Trend	12/29/2006	5.4%	7.2%	-1.8%	0.55	16.4%	34.0%	0.25

Risk Managed Portfolios

Portfolio	Inception Date	Return	60/40 Portfolio	+/- 60/40	Beta	Standard Deviation	Maximum Drawdown	Sharpe Ratio
Protective Asset Allocation	12/29/2006	7.4%	6.4%	1.0%	0.11	11.5%	17.9%	0.53
Modified Permanent Portfolio	12/29/2006	7.2%	6.4%	0.8%	0.08	14.3%	25.1%	0.41
Permanent Portfolio	12/29/2006	6.9%	6.4%	0.5%	0.16	13.8%	25.1%	0.41
Modified All Weather Portfolio	12/29/2006	6.8%	6.4%	0.4%	0.04	8.7%	14.6%	0.63
Generalized Protective Momentum	12/29/2006	6.7%	6.4%	0.3%	-0.06	18.6%	35.4%	0.29
All Weather Portfolio	12/29/2006	6.7%	6.4%	0.3%	0.19	8.9%	17.8%	0.61
Robust Asset Allocation	12/29/2006	3.7%	6.4%	-2.7%	0.35	11.1%	24.8%	0.21