ETF Portfolios

Returns as of market close on 9/23/2020.

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	11.2%	8.3%	2.9%	0.58	18.7%	34.7%	0.53
Factor Rotation - Composite with Trend	12/29/2006	10.8%	8.3%	2.5%	0.57	18.6%	40.7%	0.51
Factor Rotation - Macro with Trend	12/29/2006	9.9%	8.3%	1.6%	0.55	18.1%	38.9%	0.48
Factor Rotation - Momentum	12/29/2006	9.9%	8.3%	1.6%	0.95	22.7%	57.3%	0.38
Factor Rotation - Composite	12/29/2006	9.0%	8.3%	0.7%	0.98	23.4%	64.0%	0.33
Factor Rotation - Value with Trend	12/29/2006	8.4%	8.3%	0.1%	0.57	18.9%	49.1%	0.38
Factor Rotation - Macro	12/29/2006	7.7%	8.3%	-0.6%	0.97	22.9%	65.5%	0.28
Factor Rotation - Value	12/29/2006	7.7%	8.3%	-0.6%	0.97	23.2%	56.2%	0.27

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	8.9%	8.3%	0.6%	0.90	20.2%	46.4%	0.37
Sector Rotation - Value	12/29/2006	8.8%	8.3%	0.5%	0.93	20.8%	48.5%	0.36
Sector Rotation - Macro	12/29/2006	8.3%	8.3%	0.0%	0.91	20.3%	46.5%	0.34
Sector Rotation - Momentum with Trend	12/29/2006	7.8%	8.3%	-0.5%	0.55	16.7%	33.9%	0.39
Sector Rotation - Composite	12/29/2006	7.5%	8.3%	-0.8%	0.91	20.4%	46.0%	0.31
Sector Rotation - Value with Trend	12/29/2006	7.4%	8.3%	-0.9%	0.55	16.7%	38.3%	0.37
Sector Rotation - Macro with Trend	12/29/2006	6.6%	8.3%	-1.7%	0.54	16.4%	33.4%	0.32
Sector Rotation - Composite with Trend	12/29/2006	6.3%	8.3%	-2.0%	0.55	16.5%	34.0%	0.30

Risk Managed Portfolios

Portfolio	Inception Date	Return	60/40 Portfolio	+/- 60/40	Beta	Standard Deviation	Maximum Drawdown	Sharpe Ratio
Modified Permanent Portfolio	12/29/2006	7.6%	7.1%	0.5%	0.08	14.2%	25.1%	0.44
Protective Asset Allocation	12/29/2006	7.4%	7.1%	0.3%	0.11	11.4%	17.9%	0.54
Permanent Portfolio	12/29/2006	7.3%	7.1%	0.2%	0.17	13.7%	25.1%	0.44
All Weather Portfolio	12/29/2006	7.1%	7.1%	0.0%	0.20	9.0%	17.8%	0.65
Modified All Weather Portfolio	12/29/2006	7.1%	7.1%	0.0%	0.04	8.7%	14.6%	0.66
Generalized Protective Momentum	12/29/2006	6.5%	7.1%	-0.6%	-0.06	18.3%	35.4%	0.29
Robust Asset Allocation	12/29/2006	4.3%	7.1%	-2.8%	0.36	11.3%	24.8%	0.26

* Returns are model returns and do not reflect actual trading. Full performance disclaimer

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Performance Disclaimer: Returns presented on Validea.com are model returns and do not represent actual trading. As a result, they do not incorporate any commissions or other trading costs or fees. Model portfolios with inception dates on or after 12/30/2005 include a combination of back tested and live model returns. The back-tested performance results shown are hypothetical and are not the result of real-time management of actual accounts. The back-testing of performance differs from actual account performance because the investment strategy may be adjusted at any time, for any reason and can continue to be changed until desired or better performance results are achieved. Back-tested returns are presented to provide general information regarding how the underlying strategy behind the portfolio performed in our historical testing. A back-tested strategy has the benefit of hindsight and the results do not reflect the impact that material economic or market factors may have had on advisor's decision-making if actual client assets were being managed using this approach.

Optimal portfolios presented on Validea.com represent the rebalancing period that has led to the best historical performance for each of our equity models. Each optimal portfolio was determined after the fact with performance information that was not available at portfolio inception. As a result, an investor could not have invested in the optimal portfolio since its inception. Optimal portfolios are presented to allow investors to quickly determine the portfolio size and rebalancing period that has performed best for each of our models in our historical testing.

Both the model portfolio and benchmark returns presented for all equity portfolios on Validea.com are not inclusive of dividends. Returns for our ETF portfolios and trend following system, and the benchmarks they are compared to, are inclusive of dividends. The S&P 500 is presented as a benchmark because it is the most widely followed benchmark of the overall US market and is most often used by investors for return comparison purposes. As with any investment strategy, there is potential for profit as well as the possibility of loss and investors may incur a loss despite a past history of gains. Past performance does not guarantee future results. Results will vary with economic and market conditions.