ETF Portfolios

Returns as of market close on 2/18/2020.

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 - Composite with Trend	12/29/2006	13.1%	9.0%	4.1%	0.49	16.4%	24.3%	0.68
Factor Rotation - Momentum with Trend	12/29/2006	12.8%	9.0%	3.8%	0.51	16.8%	25.6%	0.64
Factor Rotation - Macro with Trend	12/29/2006	12.5%	9.0%	3.5%	0.48	16.1%	24.2%	0.65
Factor Rotation - Value with Trend	12/29/2006	11.3%	9.0%	2.3%	0.49	16.5%	25.2%	0.56
Factor Rotation - Composite	12/29/2006	10.4%	9.0%	1.4%	0.96	21.6%	64.0%	0.39
Factor Rotation - Momentum	12/29/2006	10.3%	9.0%	1.3%	0.93	21.0%	57.3%	0.40
Factor Rotation - Macro	12/29/2006	9.5%	9.0%	0.5%	0.96	21.4%	65.5%	0.35
Factor Rotation - Value	12/29/2006	8.9%	9.0%	-0.1%	0.95	21.1%	56.2%	0.33

Sector Portfolios

Portfolio	Inception Date	Return	S&P 500	+/- S&P 500	Beta	Standard Deviation	Maximum Drawdown	Sharpe Ratio
Sector Rotation - Value	12/29/2006	9.8%	9.0%	0.8%	0.91	18.9%	48.5%	0.41
Sector Rotation - Momentum	12/29/2006	9.5%	9.0%	0.5%	0.88	18.6%	46.4%	0.40
Sector Rotation - Value with Trend	12/29/2006	9.4%	9.0%	0.4%	0.48	14.5%	21.7%	0.51
Sector Rotation - Momentum with Trend	12/29/2006	9.3%	9.0%	0.3%	0.48	14.7%	21.2%	0.49
Sector Rotation - Macro	12/29/2006	8.8%	9.0%	-0.2%	0.90	18.8%	46.5%	0.36
Sector Rotation - Macro with Trend	12/29/2006	8.2%	9.0%	-0.8%	0.49	14.7%	22.2%	0.42
Sector Rotation - Composite	12/29/2006	8.1%	9.0%	-0.9%	0.91	18.8%	46.0%	0.33
Sector Rotation - Composite with Trend	12/29/2006	7.9%	9.0%	-1.1%	0.49	14.7%	22.8%	0.40

Asset Allocation Portfolios

Portfolio	Inception Date	Return	60/40 Portfolio	+/- 60/40	Beta	Standard Deviation	Maximum Drawdown	Sharpe Ratio
Protective Asset Allocation	12/29/2006	8.4%	7.4%	1.0%	0.11	11.4%	17.9%	0.56
Modified Permanent Portfolio	12/29/2006	7.5%	7.4%	0.1%	0.07	14.3%	25.1%	0.39
Modified All Weather Portfolio	12/29/2006	7.3%	7.4%	-0.1%	0.03	8.4%	10.1%	0.63
All Weather Portfolio	12/29/2006	7.1%	7.4%	-0.3%	0.20	8.6%	17.8%	0.59
Permanent Portfolio	12/29/2006	7.0%	7.4%	-0.4%	0.16	13.7%	25.1%	0.36
Generalized Protective Momentum	12/29/2006	6.2%	7.4%	-1.2%	-0.05	18.5%	35.4%	0.23
Robust Asset Allocation	12/29/2006	5.5%	7.4%	-1.9%	0.32	10.2%	18.3%	0.34