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
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Annualized Return: 7.13%
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Annualized Real Return: 3.15%
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Maximum Drawdown: 5.22%
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Annualized Volatility: 4.01%
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Sharpe Ratio: 0.59
90-day T-Bill
Benchmark Returns 12/71-12/17
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Annualized Return: 4.82%
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Annualized Real Return: 0.84%
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Maximum Drawdown: 0.00%
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Annualized Volatility: 1.01%
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Sharpe Ratio: NA
Portfolio 2: Tactical Income
Model Returns 12/96-12/17
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Annualized Return: 8.76%
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Annualized Real Return: 6.63%
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Maximum Drawdown: 7.47%
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Annualized Volatility: 6.54%
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Sharpe Ratio: 1.03
Equal weight all component assets
Benchmark Returns 12/96-12/17
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Annualized Return: 7.44%
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Annualized Real Return: 5.31%
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Maximum Drawdown: 23.80%
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Annualized Volatility: 7.03%
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Sharpe Ratio: 0.77
Portfolio 3: Tactical Balanced
Model Returns 12/96-12/17
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Annualized Return: 10.27%
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Annualized Real Return: 8.14%
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Maximum Drawdown: 17.75%
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Annualized Volatility: 9.14%
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Sharpe Ratio: 0.90
Equal weight all component assets
Benchmark Returns 12/96-12/17
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Annualized Return: 6.51%
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Annualized Real Return: 4.38%
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Maximum Drawdown: 29.88%
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Annualized Volatility: 8.79%
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Sharpe Ratio: 0.52
Portfolio 4: Tactical Growth Multi-Sector
Model Returns 12/71-12/17
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Annualized Return: 14.46%
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Annualized Real Return: 10.48%
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Maximum Drawdown: 37.98%
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Annualized Volatility: 16.47%
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Sharpe Ratio: 0.59
S&P 500 Total Return
Benchmark Returns 12/71-12/17
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Annualized Return: 10.25%
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Annualized Real Return: 6.27%
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Maximum Drawdown: 50.95%
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Annualized Volatility: 15.00%
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Sharpe Ratio: 0.36
Portfolio 5: Strategic Growth Multi-Asset
Model Returns 12/71-12/17
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Annualized Return: 8.99%
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Annualized Real Return: 5.01%
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Maximum Drawdown: 34.80%
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Annualized Volatility: 9.08%
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Sharpe Ratio: 0.46
Equal weight all component assets
Benchmark Returns 12/71-12/17
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Annualized Return: 8.66%
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Annualized Real Return: 4.68%
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Maximum Drawdown: 45.66%
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Annualized Volatility: 11.75%
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Sharpe Ratio: 0.33
Portfolio 6: Tactical Growth Multi-Asset
Model Returns 12/71-12/17
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Annualized Return: 14.63%
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Annualized Real Return: 10.65%
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Maximum Drawdown: 18.42%
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Annualized Volatility: 11.50%
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Sharpe Ratio: 0.86
Equal weight all component assets
Benchmark Returns 12/71-12/17
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Annualized Return: 8.66%
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Annualized Real Return: 4.68%
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Maximum Drawdown: 45.66%
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Annualized Volatility: 11.75%
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Sharpe Ratio: 0.33
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