Spreadsheet: 583753d1532623864-maximization-problem-excel-help
Sheet: P20

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 | -0.00122384 | 0.03355161471295116 | 0.004801773 | 0.04230934208308539 |  | 0.03329957 | 0.05781452693656385 | 0.06712203 | 0.05392095856583574 |  |  |  |  |  |  | 1
AOA | 0.007804716000000001 | 0.02954441717321119 | 0.01944351 | 0.04442859847189991 |  | 0.04677771 | 0.06419980131637071 | 0.09141102999999999 | 0.06217860456601097 |  |  |  |  |  |  | 2
AOM | 0.003737787 | 0.02556087006490597 | 0.009055603 | 0.02775887127485232 |  | 0.02910978 | 0.04318452443686056 | 0.05660941 | 0.04046506582459947 |  |  |  |  |  |  | 3
AOR | 0.005838614 | 0.02439131739911397 | 0.01491044 | 0.03337618661053002 |  | 0.03860691 | 0.05211960448229772 | 0.07428519 | 0.04995266484507024
BNDX | -0.0005684509000000001 | 0.02003335760678605 | -0.004764677 | 0.0192022586548618 |  | 0.00729907 | 0.02392651311631682 | 0.008444499 | 0.02479622827419686
CMF | -0.004368159999999999 | 0.02141197045595633 | -0.002608056 | 0.02643872950082801 |  | 0.01205228 | 0.02219242683673374 | 0.02820917 | 0.02447009752340525 |  |  |  |  |  |  |  | Started
CVY | 0.022261 | 0.05374067741077338 | 0.03720916 | 0.05999153579468687 |  | 0.04658896999999999 | 0.076416864469645 | 0.07854255 | 0.078172873197249 |  |  |  |  |  |  |  | Ended
CWB | 0.001950835 | 0.06327569210124837 | 0.01258475 | 0.06582361001003141 |  | 0.0410744 | 0.0784424647044748 | 0.08918951 | 0.07085342101991488
DLS | 0.01204201 | 0.07742245472066896 | 0.02580845 | 0.07692462857633839 |  | 0.07809875 | 0.08578751922063606 | 0.1633019 | 0.08077597402041972
EFG | 0.001934984 | 0.04770180860074081 | 0.01782204 | 0.06634618348269683 |  | 0.05386703 | 0.08601472045182136 | 0.1341348 | 0.08209762429860143
EMLC | -0.01647723 | 0.07457275240211439 | -0.01139705 | 0.06658819382705967 |  | 0.03598418 | 0.06919868097087208 | 0.06216577 | 0.07960460920711461
EWC | 0.02070902 | 0.04165592743287996 | 0.03450729 | 0.07455976001020834 |  | 0.08669655999999999 | 0.09746250406743791 | 0.08955171 | 0.1131088198784065
FENY | 0.03667214 | 0.09399696804940344 | 0.09170641 | 0.1049216723774276 |  | 0.06768278999999999 | 0.1476152985107691 | -0.02354061 | 0.1513089027903531
FHLC | 0.002257903 | 0.07952668597269495 | 0.02173245 | 0.08971523830051592 |  | 0.0384084 | 0.09640849777375494 | 0.1290854 | 0.0920351210023415
FLRN | 0.001710926 | 0.008002816436135988 | 0.002168089 | 0.007412868495514776 |  | 0.004114884 | 0.008095530375120168 | 0.007667678999999999 | 0.009779244378568742
FNDF | 0.0104659 | 0.04538228220285459 | 0.02922971 | 0.06368201878421566 |  | 0.06702316999999999 | 0.07589942817861474 | 0.1264584 | 0.08799603147270921
FREL | -0.0312 | 0.1423260159362911 | -0.0110204 | 0.1168795729334401 |  | 0.008996119 | 0.109055458166307 | 0.02627819 | 0.1039129740917939
GMF | -0.01283259 | 0.1514663837184453 | 0.008317467 | 0.1226244114673657 |  | 0.09429037 | 0.1219501725391974 | 0.1644628 | 0.1110041254705602
GVI | -0.001231756 | 0.02105580091766337 | -0.002758238 | 0.02369383823719919 |  | 0.006920841 | 0.02005141284702854 | 0.01315943 | 0.02137816509691055
GXC | 0.009580379 | 0.2031386647400077 | 0.04450391 | 0.1609756115638176 |  | 0.1724522 | 0.1570033628134042 | 0.2738609 | 0.1389667760129202
HYEM | 0.004356374 | 0.02816196233855059 | 0.01128859 | 0.03577222725532655 |  | 0.03193379 | 0.03534629961878426 | 0.03723829 | 0.03954656764734453
HYMB | -0.01320021 | 0.05158410982762784 | -0.01422813 | 0.0436806792661292 |  | 0.007427162 | 0.0374475923045487 | 0.01765353 | 0.03511317460112164
IBDL | -0.0001367204 | 0.01663174070409184 | -0.0005277502 | 0.01588856194810331 |  | 0.006638613 | 0.01624494829513236 | 0.01463117 | 0.02000963864119423
IBMG | -0.0002668452 | 0.01453638813895564 | -0.0006196922 | 0.01453798239389717 |  | 0.003780013 | 0.01626502328963874 | 0.003624636 | 0.01712345808727316
IEFA | 0.00735985 | 0.04937825889367722 | 0.0245262 | 0.0642863914691103 |  | 0.05805921 | 0.08531316465340746 | 0.1341852 | 0.08570860282971511
IEMG | -0.005621033 | 0.1273896764385244 | 0.008273579 | 0.1141388891457064 |  | 0.09330144000000001 | 0.1224875873871763 | 0.1525138 | 0.1223095302068171
IEUR | 0.007497467 | 0.06417572306818588 | 0.02939959 | 0.07565729911712354 |  | 0.06080648 | 0.09727886721391413 | 0.1557472 | 0.1012799153385151
IJH | 0.03145753 | 0.05803233804673846 | 0.04697577 | 0.07541843108255195 |  | 0.04055776 | 0.09964248035153035 | 0.07092995 | 0.1056549911556678
ILF | 0.001112656 | 0.1639526309353793 | 0.02828571 | 0.1496752122489101 |  | 0.1780687 | 0.1545152131372798 | 0.1520539 | 0.242050545377891
ILTB | -0.0002859109 | 0.0544934412012392 | -0.002159204 | 0.07043107093454036 |  | 0.02027629 | 0.06567252115717961 | 0.05375893 | 0.07121489501017163
INDA | -0.04569115 | 0.16412591503906 | -0.0443093 | 0.1468208067080493 |  | 0.01071975 | 0.1422767486007371 | 0.03523507 | 0.1405903608382017
IPAC | 0.00354045 | 0.03646976837275127 | 0.01340722 | 0.05313666904310008 |  | 0.05195769 | 0.07592006797787365 | 0.09669873000000001 | 0.07580166091535079
IPE | -0.008614627 | 0.03331977159839972 | -0.005467372000000001 | 0.04319136878551475 |  | 0.008130294 | 0.03900132588098738 | 0.00129581 | 0.04103479273603811
ITE | -0.00180155 | 0.01668619415635988 | -0.004448852 | 0.02176649258436234 |  | 0.004725251 | 0.01923442869127996 | 0.007968641 | 0.0218291467581625
IVOV | 0.03331008 | 0.0564317820936468 | 0.05071821 | 0.08311606773866942 |  | 0.0406604 | 0.1059697545823251 | 0.0559615 | 0.1103915393872378
IWP | 0.01911824 | 0.05677947387840312 | 0.03246351 | 0.06757868508752331 |  | 0.05823442 | 0.09260228132419647 | 0.114863 | 0.09028427689561815
IYF | 0.03064759 | 0.05392051744161511 | 0.04362422 | 0.09735186313569005 |  | 0.04391204 | 0.09875810397733364 | 0.09940212000000001 | 0.1063901639507438
MGV | 0.01896301 | 0.04349747608832938 | 0.03735271 | 0.06300379905020796 |  | 0.04537462 | 0.07040824579238313 | 0.07311927 | 0.0748643446690451
MNA | 0.0009718172999999999 | 0.03470811334762695 | 0.008814887 | 0.0326377856440298 |  | 0.004224894 | 0.03254414067350348 | 0.02589641 | 0.02981926278213055
MUB | -0.002702475 | 0.01762732434896849 | -0.003061086 | 0.01966205473196794 |  | 0.01199397 | 0.01965160841127059 | 0.02659664 | 0.02290475821852484
NFRA | -0.003327095 | 0.06344068392183301 | -0.004610871 | 0.05959080017370622 |  | 0.03397671 | 0.07290211253955965 | 0.06511665999999999 | 0.07092411375107928
NYF | -0.002186895 | 0.02174614889071356 | -0.002268654 | 0.02321589714992545 |  | 0.01044494 | 0.02230878756192035 | 0.02637248 | 0.02415228651554996
PBP | 0.003155997 | 0.0868627548739404 | 0.008939157 | 0.06543977224086749 |  | 0.02116598 | 0.07135935643504875 | 0.05231108 | 0.06017389579477697
PFXF | -0.001065408 | 0.03992546532787986 | -0.004537375 | 0.03579313993966186 |  | 0.01040422 | 0.03673760841439726 | 0.0223444 | 0.0425742250842617
PWZ | -0.003055768 | 0.03640138594982981 | -0.006279928000000001 | 0.03251010852008029 |  | 0.01249678 | 0.03513272005043901 | 0.03990401 | 0.03725733564438253
QAI | 0.005697051 | 0.02246596187255161 | 0.005697051 | 0.02537608044555589 |  | 0.01797829 | 0.03536725613348285 | 0.0341144 | 0.03179807038960785
SCHC | 0.00870542 | 0.05757250781172168 | 0.02307035 | 0.07014962195464321 |  | 0.07384154999999999 | 0.07823555349434573 | 0.1487048 | 0.0795754706345164
SCJ | 0.00961073 | 0.05241877389442309 | 0.01558747 | 0.08005649460882498 |  | 0.07549509 | 0.07613832165830729 | 0.1477386 | 0.07569868158240985
SGDM | -0.01278409 | 0.2100011222763544 | -0.0625 | 0.2616774741809565 |  | 0.08480749 | 0.2570473519284693 | 0.006274132 | 0.2985565386763472
SHYG | 0.003620863 | 0.02421038465973624 | 0.005518067 | 0.0249590596949176 |  | 0.01491299 | 0.02964241251713699 | 0.02922013 | 0.03068763719374192
SLQD | 0.001151755 | 0.01499699601637842 | 0.0003606431 | 0.01409945914488661 |  | 0.007432688 | 0.01248192490597828 | 0.01353311 | 0.01317459858206787
SLV | -0.03441918 | 0.1506924107985501 | -0.06096832 | 0.1650353624507282 |  | 0.03491436000000001 | 0.1717937776329324 | -0.08980301 | 0.1702828547406492
SNLN | 0.002738226 | 0.02409427122438405 | 0.002500265 | 0.0193922222810635 |  | 0.005805637999999999 | 0.02280201430403285 | 0.00924373 | 0.022915548558534
VAW | 0.02837165 | 0.0763656573953879 | 0.05063647 | 0.0824686423493279 |  | 0.07617157 | 0.104373253374894 | 0.1104347 | 0.1154649742277583
VB | 0.03541717 | 0.06381164860043503 | 0.0521909 | 0.07373444349501393 |  | 0.05505242 | 0.1017893269592217 | 0.0893037 | 0.1095111149240279
VCR | 0.01671693 | 0.04235909447326647 | 0.01671693 | 0.06612603417384535 |  | 0.02593559 | 0.0866489350880261 | 0.05433627000000001 | 0.08397694474265424
VGT | 0.008320909 | 0.09200480699678776 | 0.01405948 | 0.0938175529779974 |  | 0.08569171 | 0.1293872887729433 | 0.1406462 | 0.113015482611265
VIOG | 0.05386782 | 0.09155091778083312 | 0.07844643999999999 | 0.08911242774573058 |  | 0.0705534 | 0.1161615958818847 | 0.1163287 | 0.1270977603369505
VIOV | 0.06507964000000001 | 0.07698254843250846 | 0.0933534 | 0.0874748442838771 |  | 0.07900455 | 0.1180198204907866 | 0.1145575 | 0.1303900501289717
VIS | 0.03490361 | 0.04235414814659152 | 0.05808327 | 0.06987795650279485 |  | 0.05456886 | 0.0857011218242008 | 0.111122 | 0.09710879096297965
VNQI | -0.01125226 | 0.0989626261740298 | 0.01214214 | 0.08780898950598628 |  | 0.06962762 | 0.08488012527090115 | 0.1196918 | 0.08042714833686956
VOX | 0.04353288 | 0.1373210389589204 | 0.01131003 | 0.1454046960560404 |  | 0.03852956 | 0.1355736665597224 | 0.001536086 | 0.1335608371116889
VPU | -0.02035659 | 0.120817097724837 | -0.02295878 | 0.1094596183070334 |  | 0.03905505 | 0.09475110322808938 | 0.04547269 | 0.09835625531104167
VTEB | -0.003550752 | 0.0163969103346007 | -0.005086705 | 0.01694434083702237 |  | 0.01108028 | 0.0183115035466397 | 0.02687523 | 0.02184873938221596
VTI | 0.01638355 | 0.04270299634149759 | 0.02948066 | 0.05737169867937636 |  | 0.04909924 | 0.07479213050771465 | 0.08808964 | 0.07593490742858985
VUG | 0.005760171 | 0.05205001945882586 | 0.01307756 | 0.06186736128302648 |  | 0.05165276999999999 | 0.08697216016450621 | 0.1039416 | 0.07897927017264092
XLP | -0.02459313 | 0.07594256558970928 | -0.01258836 | 0.07889150589859299 |  | -0.01042812 | 0.08067351643863006 | 0.002764141 | 0.07466992637209688
YYY | 0.01425618 | 0.0330742605521497 | 0.01735315 | 0.04336069077936398 |  | 0.034538 | 0.06579376299043195 | 0.08362478 | 0.06438104096305469
RFR