Benchmarks

Here are the ProFolio model portfolios simulated results compared against their benchmarks. The model portfolio results are after subtracting a management fee (0.5%) and a third-party brokerage custody/trading fee (0.25%) while the benchmarks have no management or trading fees subtracted out. See Disclosure for additional information.

Portfolio 1: Tactical Capital Preservation

Model Returns 12/71-12/17

  • Annualized Return: 7.13%

  • Annualized Real Return: 3.15%

  • Maximum Drawdown: 5.22%

  • Annualized Volatility: 4.01%

  • Sharpe Ratio: 0.59

90-day T-Bill

Benchmark Returns 12/71-12/17

  • Annualized Return: 4.82%

  • Annualized Real Return: 0.84%

  • Maximum Drawdown: 0.00%

  • Annualized Volatility: 1.01%

  • Sharpe Ratio: NA

Portfolio 2: Tactical Income

Model Returns 12/96-12/17

  • Annualized Return: 8.76%

  • Annualized Real Return: 6.63%

  • Maximum Drawdown: 7.47%

  • Annualized Volatility: 6.54%

  • Sharpe Ratio: 1.03

Equal weight all component assets

Benchmark Returns 12/96-12/17

  • Annualized Return: 7.44%

  • Annualized Real Return: 5.31%

  • Maximum Drawdown: 23.80%

  • Annualized Volatility: 7.03%

  • Sharpe Ratio: 0.77

Portfolio 3: Tactical Balanced

Model Returns 12/96-12/17

  • Annualized Return: 10.27%

  • Annualized Real Return: 8.14%

  • Maximum Drawdown: 17.75%

  • Annualized Volatility: 9.14%

  • Sharpe Ratio: 0.90

Equal weight all component assets

Benchmark Returns 12/96-12/17

  • Annualized Return: 6.51%

  • Annualized Real Return: 4.38%

  • Maximum Drawdown: 29.88%

  • Annualized Volatility: 8.79%

  • Sharpe Ratio: 0.52

Portfolio 4: Tactical Growth Multi-Sector

Model Returns 12/71-12/17

  • Annualized Return: 14.46%

  • Annualized Real Return: 10.48%

  • Maximum Drawdown: 37.98%

  • Annualized Volatility: 16.47%

  • Sharpe Ratio: 0.59

S&P 500 Total Return

Benchmark Returns 12/71-12/17

  • Annualized Return: 10.25%

  • Annualized Real Return: 6.27%

  • Maximum Drawdown: 50.95%

  • Annualized Volatility: 15.00%

  • Sharpe Ratio: 0.36

Portfolio 5: Strategic Growth Multi-Asset

Model Returns 12/71-12/17

  • Annualized Return: 8.99%

  • Annualized Real Return: 5.01%

  • Maximum Drawdown: 34.80%

  • Annualized Volatility: 9.08%

  • Sharpe Ratio: 0.46

Equal weight all component assets

Benchmark Returns 12/71-12/17

  • Annualized Return: 8.66%

  • Annualized Real Return: 4.68%

  • Maximum Drawdown: 45.66%

  • Annualized Volatility: 11.75%

  • Sharpe Ratio: 0.33

Portfolio 6: Tactical Growth Multi-Asset

Model Returns 12/71-12/17

  • Annualized Return: 14.63%

  • Annualized Real Return: 10.65%

  • Maximum Drawdown: 18.42%

  • Annualized Volatility: 11.50%

  • Sharpe Ratio: 0.86

Equal weight all component assets

Benchmark Returns 12/71-12/17

  • Annualized Return: 8.66%

  • Annualized Real Return: 4.68%

  • Maximum Drawdown: 45.66%

  • Annualized Volatility: 11.75%

  • Sharpe Ratio: 0.33

 
 
 
 
 
 
Need more details? Contact us

We are here to assist. Contact us with questions or to get started.

Resources
Legal