ETF Portfolios

Returns as of market close on 11/19/2019.

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	13.3%	8.4%	4.9%	0.49	16.4%	24.3%	0.69
Factor Rotation - Momentum with Trend	12/29/2006	12.7%	8.4%	4.3%	0.50	16.9%	25.6%	0.63
Factor Rotation - Macro with Trend	12/29/2006	12.3%	8.4%	3.9%	0.48	16.2%	24.2%	0.64
Factor Rotation - Value with Trend	12/29/2006	11.5%	8.4%	3.1%	0.49	16.5%	25.2%	0.58
Factor Rotation - Composite	12/29/2006	10.5%	8.4%	2.1%	0.96	21.8%	64.0%	0.39
Factor Rotation - Momentum	12/29/2006	10.1%	8.4%	1.7%	0.93	21.1%	57.3%	0.38
Factor Rotation - Macro	12/29/2006	9.2%	8.4%	0.8%	0.96	21.5%	65.5%	0.34
Factor Rotation - Value	12/29/2006	9.1%	8.4%	0.7%	0.95	21.2%	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	9.7%	8.4%	1.3%	0.91	19.0%	48.5%	0.40
Sector Rotation - Value with Trend	12/29/2006	9.3%	8.4%	0.9%	0.47	14.6%	21.7%	0.50
Sector Rotation - Momentum	12/29/2006	9.0%	8.4%	0.6%	0.88	18.7%	46.4%	0.38
Sector Rotation - Momentum with Trend	12/29/2006	8.8%	8.4%	0.4%	0.48	14.7%	21.2%	0.46
Sector Rotation - Macro	12/29/2006	8.5%	8.4%	0.1%	0.90	18.9%	46.5%	0.34
Sector Rotation - Composite	12/29/2006	7.9%	8.4%	-0.5%	0.91	18.9%	46.0%	0.31
Sector Rotation - Macro with Trend	12/29/2006	7.9%	8.4%	-0.5%	0.49	14.7%	22.2%	0.40
Sector Rotation - Composite with Trend	12/29/2006	7.7%	8.4%	-0.7%	0.49	14.8%	22.8%	0.39

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	8.2%	6.2%	2.0%	0.10	11.4%	17.9%	0.54
Modified Permanent Portfolio	12/29/2006	7.2%	6.2%	1.0%	0.07	14.4%	25.1%	0.36
Modified All Weather Portfolio	12/29/2006	7.0%	6.2%	0.8%	0.03	8.4%	10.1%	0.59
All Weather Portfolio	12/29/2006	6.8%	6.2%	0.6%	0.20	8.6%	17.8%	0.56
Permanent Portfolio	12/29/2006	6.6%	6.2%	0.4%	0.16	13.8%	25.1%	0.34
Generalized Protective Momentum	12/29/2006	5.9%	6.2%	-0.3%	-0.05	18.7%	35.4%	0.21
Robust Asset Allocation	12/29/2006	5.2%	6.2%	-1.0%	0.32	10.2%	18.3%	0.32