Spreadsheet: 583753d1532623864-maximization-problem-excel-help
Sheet: P22

Rotational ETF Ranking - MONTH DAY YEAR  BT (Trade Day MONTH DAY)
ETF | 15D Return | 15D Volatility | 30D Return | 30D Volatility | Combined Rank | 90D Return | 90D Volatility | 180D Return | 180D Volatility |  | 15D [NAME] | 30D Ratio | 90D [NAME] | 180D [NAME] | Logical [NAME] |  | Jan 4th | Bought
ACWV | 0.0002421709 | 0.03790216768927248 | 0.01499138 | 0.0392531247846829 |  | 0.02278354 | 0.05134859101938891 | 0.06790825 | 0.05315764877438747 |  |  |  |  |  |  | 1
AOA | 0.001474385 | 0.04155185703547656 | 0.01715019 | 0.03820411633802562 |  | 0.03413486 | 0.06151046145486761 | 0.08220527000000001 | 0.0611005482650115 |  |  |  |  |  |  | 2
AOM | 0.001574799 | 0.0279810838498885 | 0.009292343 | 0.02982509275402338 |  | 0.02112524 | 0.04175200270559522 | 0.04999995 | 0.04023023159787473 |  |  |  |  |  |  | 3
AOR | 0.001769112 | 0.03171687663480117 | 0.01411768 | 0.03125220240768561 |  | 0.0276423 | 0.05082953007011861 | 0.06885763 | 0.04954551404568621
BNDX | 0.001825503 | 0.01908842835221548 | 0.006216539 | 0.01815973548477205 |  | 0.008964846 | 0.02396626552478976 | 0.01480154 | 0.02369362849753188
CMF | -0.002608085 | 0.02445869652180148 | 0.002115346 | 0.02129238501997942 |  | 0.004838667 | 0.02229323425925393 | 0.02630996 | 0.02359268546188407 |  |  |  |  |  |  |  | Started
CVY | -0.002775233 | 0.05700416384242055 | -0.006451637999999999 | 0.056718069200522 |  | 0.02333163 | 0.07044763381198366 | 0.06759295 | 0.07595733954146536 |  |  |  |  |  |  |  | Ended
CWB | 0.005826392000000001 | 0.06358801801779818 | 0.01686768 | 0.06062994552871016 |  | 0.02855512 | 0.07368677732921994 | 0.08520362000000001 | 0.07071920649488728
DLS | -0.005704471 | 0.05411969523611675 | 0.01352261 | 0.0687918582236914 |  | 0.04346392 | 0.07074769048514251 | 0.1150145 | 0.07981448549036399
EFG | 0.002150308 | 0.04829271080067969 | 0.02377573 | 0.05616831163812241 |  | 0.04318635 | 0.0725071420625774 | 0.1009906 | 0.08176774040181917
EMLC | -0.02569481 | 0.07849747043232294 | -0.02775268 | 0.07621896469443377 |  | -0.01888506 | 0.06967692604816698 | 0.0280575 | 0.08109683327298861
EWC | -0.01302705 | 0.07669532991835544 | -0.005183106 | 0.06490624631006467 |  | 0.03189967 | 0.08477426863957754 | 0.1246589 | 0.1097044134579514
FENY | -0.00477198 | 0.07391433253514607 | -0.009498656 | 0.08162849158854782 |  | 0.03786272 | 0.1189379536438907 | 0.036966 | 0.1455773119091081
FHLC | -0.01160155 | 0.08992678924883309 | -0.008350237 | 0.07966938867492408 |  | 0.02770624 | 0.09404737855402912 | 0.07854598 | 0.08960873436223181
FLRN | 0.0006506255 | 0.01004741673730371 | 0.002036162 | 0.008791971316839562 |  | 0.004401681 | 0.008569358486852752 | 0.009593032999999999 | 0.009612757712763695
FNDF | 0.0009917583 | 0.04667312007946366 | 0.01372617 | 0.05174284564058892 |  | 0.03947823 | 0.06784279427440972 | 0.1043035 | 0.0857146890721363
FREL | -0.01377633 | 0.06441763127462188 | 0.003090878 | 0.06894112256049302 |  | 0.002811508 | 0.106123012344215 | 0.04484769 | 0.09991653060082091
GMF | -0.003575931 | 0.07770604267389779 | 0.03962889999999999 | 0.1165239597205756 |  | 0.06255795 | 0.1175340185163067 | 0.186601 | 0.1109786218025951
GVI | -0.001173608 | 0.02058819074393797 | -0.0007842328 | 0.01995607236800934 |  | -0.0002136685 | 0.01940751289666978 | 0.009771415 | 0.0205753706329518
GXC | -0.01389275 | 0.135187150932887 | 0.03170424 | 0.1705114637847379 |  | 0.09233632 | 0.1544578208724168 | 0.2823182 | 0.1426443229838039
HYEM | 0.003630462 | 0.03254964784255965 | 0.007194458999999999 | 0.03367662326016853 |  | 0.02681922 | 0.03623627936271493 | 0.02895851 | 0.03789469764919978
HYMB | -0.009082825 | 0.0274528445608433 | -0.02263506 | 0.04758356635959299 |  | -0.01973308 | 0.04018428095290082 | -0.005407772 | 0.03562536498705719
IBDL | 1.793744786482421e-08 | 0.01051903783907189 | 0.0002552471 | 0.01269706379416438 |  | 0.002845178 | 0.01558555010766751 | 0.01273299 | 0.01717526443812965
IBMG | -0.001569838 | 0.009214375496190141 | -0.001365983 | 0.01146480742703098 |  | -0.0007046529 | 0.01577888504264539 | 0.002428171 | 0.01699064664912132
IEFA | 0.0009971619 | 0.04547526916058921 | 0.01683029 | 0.05209795591197799 |  | 0.03653693 | 0.0673028522875555 | 0.09564235 | 0.08448976924380287
IEMG | -0.006058468 | 0.10725572070279 | 0.0325805 | 0.1180798033876337 |  | 0.0512627 | 0.1189714520741671 | 0.1587305 | 0.1232326695508165
IEUR | -0.004797103 | 0.04302182089099132 | 0.002214189 | 0.05924113315768523 |  | 0.02575198 | 0.07680367621538385 | 0.08379985 | 0.09974507794877727
IJH | 0.008655421 | 0.07041960503566368 | 0.02269428 | 0.0646864921677238 |  | 0.05097858 | 0.09341597116661726 | 0.07187665 | 0.1017510710463427
ILF | -0.04582517 | 0.1667258985139882 | -0.03277291 | 0.1710090294568729 |  | 0.01616762 | 0.1532141511660834 | 0.1074807 | 0.2406478825929892
ILTB | -0.004682372000000001 | 0.05955129332216372 | 0.00269694 | 0.05601159958869564 |  | 0.009683724 | 0.0631860509681777 | 0.05163627 | 0.06957491718369405
INDA | 0.01424457 | 0.104316558682153 | 0.07290712 | 0.1453190719503832 |  | 0.0154134 | 0.143856002908973 | 0.104282 | 0.1393969583065384
IPAC | 0.003089575 | 0.08509755172334975 | 0.03451936 | 0.06753096035450813 |  | 0.04506435 | 0.06871302719118184 | 0.1089262 | 0.07716397098811004
IPE | -0.0007072055 | 0.03124251258927907 | 0.002483158 | 0.03138529949626809 |  | 0.005647309000000001 | 0.03781227257282357 | 0.01131595 | 0.04080487395631122
ITE | -0.001667205 | 0.01832197102057252 | -0.001294861 | 0.01661274444622316 |  | -0.001928922 | 0.0186783533080601 | 0.0051781 | 0.02076929556116913
IVOV | 0.001268423 | 0.06197150861876225 | 0.01041048 | 0.06395810507455896 |  | 0.03731935 | 0.0956671642145685 | 0.05751544 | 0.1055782145979721
IWP | 0.007880146999999999 | 0.07026157718414767 | 0.02827104 | 0.06168648495262861 |  | 0.06900111 | 0.08842093772444955 | 0.1070475 | 0.08939878009954054
IYF | 0.005788461 | 0.05698575619764811 | 0.02283268 | 0.05969251106821608 |  | 0.0445814 | 0.09175498282074862 | 0.1055173 | 0.1015566595950437
MGV | 0.006323851 | 0.0567927525403017 | 0.01964058 | 0.05083043789686601 |  | 0.04498452 | 0.06857612993010828 | 0.08188214 | 0.072211909020814
MNA | 0.006815984000000001 | 0.03684981870033448 | 0.006783307 | 0.03926989782579857 |  | 0.008288655 | 0.0341667315684135 | 0.02885147 | 0.0302816963110412
MUB | -0.003419092 | 0.01767222561292264 | 0.0008985242999999999 | 0.01685053794290675 |  | 0.003641896 | 0.01863389383084652 | 0.02439688 | 0.02113026947747475
NFRA | -0.004992681 | 0.05681822260401833 | -0.00323637 | 0.05233699134935819 |  | -9.024673e-05 | 0.06824901434945847 | 0.05300601000000001 | 0.07119048977791669
NYF | -0.003257914 | 0.02031544789175049 | 0.0008768036999999999 | 0.0204217342584818 |  | 0.002660743 | 0.0217442548280553 | 0.02334336 | 0.02247242573736643
PBP | 0.001344103 | 0.03352253728453643 | 0.00494606 | 0.02812114680265438 |  | 0.01662957 | 0.05995358791211419 | 0.04990806 | 0.05972923176790542
PFXF | 0.002002025 | 0.03417201987010751 | 0.003122048 | 0.03847859700662212 |  | 0.0005441406 | 0.0359750139700145 | 0.02824081 | 0.04109971900817959
PWZ | -0.00880621 | 0.03065424214193629 | 0.0003880868 | 0.03213225285875335 |  | 0.001018394 | 0.03201796060345827 | 0.03068651 | 0.03430341009023312
QAI | 0.0003319775 | 0.02268621822814127 | 0.008366773 | 0.02093437633843138 |  | 0.0151617 | 0.03317917039807437 | 0.03539516 | 0.03164918067910101
SCHC | -0.004126526 | 0.06243472364529352 | 0.01060862 | 0.06297221716477149 |  | 0.03903561 | 0.07095884760151211 | 0.1138462 | 0.07849899655577851
SCJ | 0.01185611 | 0.09952858780313992 | 0.03545427 | 0.08383126053816876 |  | 0.06992614 | 0.07635097651672108 | 0.1366259 | 0.07680485243290484
SGDM | -0.02627811 | 0.1562575347038959 | -0.01163923 | 0.1753264271354155 |  | 0.007414688999999999 | 0.2321279452151216 | 0.0980603 | 0.2866938302291255
SHYG | 0.001679595 | 0.01797868988383724 | 0.001943078 | 0.02058827213308253 |  | 0.006956889000000001 | 0.02748558244474147 | 0.02504879 | 0.03051108497640354
SLQD | 0.0001979172 | 0.01513553593716209 | -3.517159e-05 | 0.01415976413353441 |  | 0.001871953 | 0.01302165905121194 | 0.01155744 | 0.01294520115796516
SLV | -0.0283077 | 0.1242885685379903 | 0.003176618 | 0.1325561012309049 |  | 0.007657943 | 0.1715873835552517 | 0.02333117 | 0.1672608066149268
SNLN | 0.001365324 | 0.01742068760173617 | 0.005677511 | 0.01781091285574693 |  | 0.003635114 | 0.02201916060317347 | 0.01039616 | 0.02257490018857013
VAW | 0.008857555 | 0.08802578266532343 | 0.03688138 | 0.0791022497913453 |  | 0.08385612 | 0.09570325743487978 | 0.1312932 | 0.1107701043936565
VB | 0.005534529999999999 | 0.07311029966013945 | 0.01563826 | 0.06910065512015347 |  | 0.05724947 | 0.09496482337351653 | 0.08145856 | 0.1050241148165155
VCR | 0.006076945 | 0.07956898744689385 | 0.0163946 | 0.06333865947011715 |  | 0.01581399 | 0.08351540000026425 | 0.03995979 | 0.08428165056553207
VGT | 0.04001272 | 0.1145067146575245 | 0.07395221 | 0.1021433115588931 |  | 0.1086662 | 0.1202406751636226 | 0.1702171 | 0.1150519532893459
VIOG | 0.006960982 | 0.1142843513842572 | 0.01242808 | 0.1028957220499457 |  | 0.06858483 | 0.1135194562605034 | 0.08397244000000001 | 0.1231425888565596
VIOV | 0.001946259 | 0.09480093981057053 | 0.006176194 | 0.09620854245052943 |  | 0.0721829 | 0.109107594382579 | 0.08703146 | 0.1242324426569368
VIS | -0.007782146 | 0.09607965111666944 | 0.006628882999999999 | 0.07344969091801294 |  | 0.05446335 | 0.085475706945138 | 0.07963224 | 0.09499273569726265
VNQI | -0.01339507 | 0.07913127981668905 | 0.004208043 | 0.08860323928638257 |  | 0.01887112 | 0.08272927199108886 | 0.1009344 | 0.081186644346979
VOX | -0.02539232 | 0.1134426865147228 | -0.03067418 | 0.1160316878933619 |  | -0.03917835 | 0.1362253355792428 | -0.01748717 | 0.1323796460831644
VPU | 0.0193196 | 0.06968317050461859 | 0.0391334 | 0.09634624425224876 |  | 0.03504127 | 0.0955355679587851 | 0.09302073 | 0.09415806626541923
VTEB | -0.003280557 | 0.0172999761184974 | 0.001474417 | 0.01709327096849239 |  | 0.004533642 | 0.01686142802439721 | 0.02688169 | 0.01924923371671522
VTI | 0.006694574 | 0.05814536231119072 | 0.0216955 | 0.05190131189985733 |  | 0.04703428 | 0.07298895982411423 | 0.08794753 | 0.0742238560414351
VUG | 0.009608961000000001 | 0.07282569260951398 | 0.02892653 | 0.06389224664325331 |  | 0.04920718 | 0.08417432665521493 | 0.09929402 | 0.07942984426055333
XLP | -0.02747756 | 0.07425818217231131 | -0.01648759 | 0.08186668228928644 |  | -0.03254815 | 0.07860392339515666 | -0.02235708 | 0.07423742531005792
YYY | -0.007464790999999999 | 0.06458074957975181 | 0.001562816 | 0.05102584839550737 |  | 0.009465855 | 0.06841203071745913 | 0.0511399 | 0.06477325020828707
RFR