Spreadsheet: 583753d1532623864-maximization-problem-excel-help
Sheet: P13

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 | 0.002072712 | 0.0763445754109346 | 0.007848347 | 0.06531911002396522 |  | 0.03788873 | 0.05621747124495086 | 0.1064151 | 0.06870848486756055 |  |  |  |  |  |  | 1
AOA | -0.00135212 | 0.06241381641063612 | 0.004273519 | 0.06883927305164217 |  | 0.03601234 | 0.0621437490898463 | 0.09743164 | 0.0660409316063227 |  |  |  |  |  |  | 2
AOM | -0.0005363245 | 0.04618715113864941 | 0.005124068000000001 | 0.04663661220289687 |  | 0.02577881 | 0.04038846004584263 | 0.06158209000000001 | 0.04215670377709668 |  |  |  |  |  |  | 3
AOR | -0.001145734 | 0.04852184969654789 | 0.002760528 | 0.05117376419790426 |  | 0.03032131 | 0.0497515566932326 | 0.07991715 | 0.0514837824120504
BNDX | -0.002008402 | 0.02545022750676745 | 0.0008611183999999999 | 0.0244391475004868 |  | 0.01125361 | 0.02466725531503396 | 0.01016634 | 0.03137671367633432
CMF | -0.00025365 | 0.01769285065362879 | 0.004349087 | 0.02028929586540238 |  | 0.02118394 | 0.02512077580935255 | 0.03391818 | 0.04082652911557594 |  |  |  |  |  |  |  | Started
CVY | -0.002981229 | 0.08951114716608304 | 0.01382785 | 0.08727115826419912 |  | 0.02269516 | 0.08201289084426318 | 0.05486529 | 0.08511161828999715 |  |  |  |  |  |  |  | Ended
CWB | 0.0014087 | 0.1026686410891332 | 0.01515715 | 0.09233724585997356 |  | 0.04515444 | 0.06994487444497871 | 0.09836182 | 0.08057582242035827
DLS | 0.005450323999999999 | 0.1254917131042538 | 0.004004881 | 0.1128499453005837 |  | 0.06137654000000001 | 0.08835793687287198 | 0.1670399 | 0.08414915515330446
EFG | 0.00988438 | 0.1196771912428583 | 0.009073879 | 0.1040879599300592 |  | 0.08031449 | 0.09065089130100196 | 0.1887546 | 0.09059934918567918
EMLC | -0.001579827 | 0.07879652171593524 | 0.008992472999999999 | 0.1013880384172058 |  | 0.03262913 | 0.0913919006409349 | 0.1013472 | 0.1151925431617742
EWC | 0.006730204 | 0.1378897236171995 | 0.01436273 | 0.1372680659829262 |  | -0.01039616 | 0.1300027329708066 | 0.02250243 | 0.1234322203573417
FENY | -0.03718216 | 0.2020738240581407 | -0.03614296 | 0.183550438136921 |  | -0.08829653999999999 | 0.1660232601335067 | -0.1538925 | 0.1707065498778582
FHLC | 0.0343772 | 0.1059371642276299 | 0.05563153 | 0.09975160108082237 |  | 0.07507116 | 0.08787322522648107 | 0.1702169 | 0.117162225419514
FLRN | 0.0006514435 | 0.004800034858425336 | 0.001089815 | 0.006622911075728178 |  | 0.00363537 | 0.009637949287359705 | 0.008092243 | 0.01718895559328319
FNDF | -0.002499088 | 0.0930043188420232 | -0.001072559 | 0.09266485727598558 |  | 0.03982135 | 0.1004581755855269 | 0.1158147 | 0.1041166461966895
FREL | 0.007084416 | 0.08693108767192417 | 0.02637079 | 0.08071065793381017 |  | 0.0419876 | 0.09451257051034866 | 0.06962675 | 0.1229665068528568
GMF | 0.01179856 | 0.1201855451867021 | 0.02019941 | 0.1165796724418437 |  | 0.06285233 | 0.1062983137488564 | 0.2235079 | 0.1263445694151716
GVI | 0.0002702593 | 0.02194035141751215 | 0.00207753 | 0.0215029894099129 |  | 0.01165164 | 0.02175141999288014 | 0.01989225 | 0.0234239758939593
GXC | 0.01165783 | 0.1664714103013719 | 0.01842285 | 0.1464412437813414 |  | 0.08194395 | 0.1320895626933093 | 0.2472994 | 0.14349211545851
HYEM | -0.005271667 | 0.02264836001472758 | -0.007502197 | 0.02915192079952698 |  | 0.0104498 | 0.0396135038327819 | 0.05025165 | 0.05941549067034978
HYMB | 0.003676503 | 0.02650746571286322 | 0.006863365 | 0.02752012121687175 |  | 0.02206885 | 0.03002909920757249 | 0.03926555 | 0.06270690193360136
IBDL | 8.972239697868645e-09 | 0.01057452114592775 | -0.0001354667 | 0.0161474304813078 |  | 0.009909587 | 0.01873353851368505 | 0.02179762 | 0.02579029542843948
IBMG | 0.0001804865 | 0.01194069468937931 | 0.001056675 | 0.01290185031648765 |  | 0.003576198 | 0.01826337675845158 | 0.006885113000000001 | 0.01765024193687238
IEFA | 0.004348195 | 0.1311340872691514 | 0.005326615 | 0.1128114445943903 |  | 0.06315358 | 0.09926987359647142 | 0.1577799 | 0.09494645061766555
IEMG | 0.004078738 | 0.1375072702508651 | -0.002092246 | 0.1408840232240427 |  | 0.04061336 | 0.129769627652476 | 0.1790693 | 0.1479961097820096
IEUR | 0.006043224000000001 | 0.1558200774275734 | -0.0009051704000000001 | 0.127739368324005 |  | 0.08467968000000001 | 0.1187728720477064 | 0.1774496 | 0.11032976413954
IJH | -0.01301746 | 0.1044199945313856 | 0.006800084 | 0.114913656300888 |  | 0.01856272 | 0.1122841123919335 | 0.04844195 | 0.1137394344106647
ILF | -0.0008356371 | 0.2071235628602175 | -0.02415487 | 0.4114081264589921 |  | -0.06535787 | 0.3054299091762265 | 0.08057508000000001 | 0.2860154594190283
ILTB | 0.01298087 | 0.06664111292430945 | 0.02075922 | 0.06055387494048685 |  | 0.04539944 | 0.07658232189046543 | 0.0770515 | 0.08790784154035731
INDA | -0.01795218 | 0.1270098192876725 | -0.00793128 | 0.1319507261661861 |  | 0.0153007 | 0.139785090957285 | 0.202981 | 0.155732992536274
IPAC | -0.0009909758000000001 | 0.09758615596718212 | 0.0160988 | 0.09333854361891274 |  | 0.02601944 | 0.08576304374232556 | 0.1175009 | 0.09252320006499096
IPE | -8.10488074876048e-09 | 0.04075382329113861 | -0.001320776 | 0.03896774510990201 |  | 0.000243355 | 0.04476179223102449 | 0.01827397 | 0.0446605611149475
ITE | 0.0006645545999999999 | 0.0180408736711023 | 0.00181285 | 0.01963481211880576 |  | 0.00957208 | 0.02239376928966783 | 0.01677842 | 0.02492273579210309
IVOV | -0.01143987 | 0.1132721579410216 | 0.01057439 | 0.1193208891298347 |  | 0.004274608 | 0.1159360020225384 | 0.01851513 | 0.1199890158301147
IWP | -0.00304708 | 0.09485801686449516 | 0.001205501 | 0.1062612828831801 |  | 0.04127687 | 0.09334926009844899 | 0.1047087 | 0.09707615277548717
IYF | -0.002043153 | 0.09663483736929647 | 0.02402968 | 0.1118188529342355 |  | 0.03086184 | 0.1111690754009385 | 0.05811007 | 0.1172866159319417
MGV | -0.005419342000000001 | 0.06642296697727662 | 0.01034928 | 0.08010692592336346 |  | 0.0153707 | 0.0766452615095477 | 0.03867926 | 0.0805937095110254
MNA | 0.007899962 | 0.03256005823381804 | 0.01306868 | 0.02880493374865113 |  | 0.02168841 | 0.02589257423153284 | 0.04433837 | 0.0346309046449358
MUB | 0.0007231229 | 0.01357953861632606 | 0.004129284 | 0.01987570094789808 |  | 0.02057795 | 0.02307579685840418 | 0.03268056 | 0.03371892371796905
NFRA | -0.002452894 | 0.088750459225965 | 6.404525e-05 | 0.08447767595212756 |  | 0.03917513 | 0.07565015729512627 | 0.09982337 | 0.08550015681157169
NYF | -0.0001902185 | 0.01613108975893733 | 0.003380994 | 0.02269185734023301 |  | 0.02084596 | 0.02337965185188902 | 0.03734699 | 0.03762850892491729
PBP | 0.0009594173000000001 | 0.09928905866802515 | 0.003173929 | 0.07869148933887857 |  | 0.02866288 | 0.06020257598524426 | 0.06791008999999999 | 0.05691764043965657
PFXF | 0.001990019 | 0.03650413293294936 | 0.002477779 | 0.03900352097224109 |  | 0.02230106 | 0.04646894710904072 | 0.06940361 | 0.07363459375733587
PWZ | 0.002491106 | 0.03169401995221945 | 0.007914164 | 0.04236849740093716 |  | 0.03022715 | 0.0365045105888183 | 0.04120116 | 0.04850474920222529
QAI | 0.0006793167 | 0.03735570219899814 | 0.005460719 | 0.03834625988215719 |  | 0.01202331 | 0.03148761906256664 | 0.0275549 | 0.03040588420671388
SCHC | 0.004509917 | 0.1013444058102933 | 0.00420799 | 0.09937375227816662 |  | 0.06401275000000001 | 0.0854845536659146 | 0.151275 | 0.09271667621204789
SCJ | 0.0008260394999999999 | 0.08200618295108195 | 0.02303516 | 0.08279998683673098 |  | 0.04814593 | 0.07813540287037894 | 0.1550612 | 0.09573093503683149
SGDM | -0.0310958 | 0.2440396216512368 | -0.03443192 | 0.2785145205024485 |  | -0.03013837 | 0.3336917907023151 | -0.005572473 | 0.3907884030815206
SHYG | -0.001883662 | 0.03273606782779672 | -0.001788322 | 0.02873576677974387 |  | 0.01506274 | 0.03385094686836923 | 0.03091743 | 0.03942499543996191
SLQD | 0.0007917928000000001 | 0.00920722157015264 | 0.001671671 | 0.0109119803377596 |  | 0.008387985 | 0.01282433260208439 | 0.01687114 | 0.01617499956257304
SLV | -0.01558604 | 0.1209099705655434 | -0.03719512 | 0.147415890137291 |  | -0.08463767999999999 | 0.1642610724143233 | 0.03067887 | 0.1883307478482536
SNLN | -0.003661257 | 0.02477979770019577 | -0.004198512 | 0.01914330067182264 |  | 0.003681444 | 0.02333627485475605 | 0.005198941 | 0.02391773693567284
VAW | -0.009884838 | 0.1315500886386839 | 0.01346264 | 0.1232968920858834 |  | 0.02218097 | 0.1251155575714037 | 0.07366505 | 0.1218284103459314
VB | -0.007546302 | 0.1004857771245587 | 0.008695467 | 0.115805658308377 |  | 0.02005309 | 0.1160876632132158 | 0.04597016 | 0.1216674902129457
VCR | -0.006668041 | 0.08732907498098451 | -0.006807466 | 0.1024072153120093 |  | 0.02573025 | 0.0860429439810251 | 0.09486079 | 0.09463829328127214
VGT | -0.003295898 | 0.1812907891034521 | -0.01952259 | 0.1656209373076491 |  | 0.04862042 | 0.1149916868613384 | 0.162245 | 0.1157251789297557
VIOG | -0.01307265 | 0.1123530422135726 | 0.01490043 | 0.1275224876813871 |  | 0.02293999 | 0.1341038510605768 | 0.03123803 | 0.1432676043692096
VIOV | -0.01849785 | 0.1304550149029493 | 0.01141844 | 0.1291932224221432 |  | 0.01306702 | 0.138550048598568 | -0.007767919 | 0.1506529974801284
VIS | -0.008542997 | 0.08882662345141973 | 0.00614757 | 0.1068487158945069 |  | 0.03561294 | 0.1053412061221196 | 0.07169307 | 0.1092096432942269
VNQI | -0.00789475 | 0.08808707037355636 | 0.007303157 | 0.08860223167125823 |  | 0.05700933 | 0.08113717864272217 | 0.1477572 | 0.1056748640083016
VOX | -0.03943951 | 0.1090299683377481 | -0.007719491 | 0.1189113483113718 |  | -0.02053122 | 0.1298046070544576 | -0.07474066 | 0.1422078166234746
VPU | -0.004079184 | 0.08811654336008068 | 0.001025049 | 0.08167663345859325 |  | 0.03726322 | 0.09451111202270153 | 0.09897884 | 0.1332157409360044
VTEB | 0.001361073 | 0.01398068968243109 | 0.003816901 | 0.0211885359470036 |  | 0.02079387 | 0.0208777350613205 | 0.03364641 | 0.03633037626855699
VTI | -0.003896094 | 0.07101407251209166 | 0.004773358 | 0.08672857434570626 |  | 0.0297516 | 0.07755393251519613 | 0.08202785 | 0.08072390378749826
VUG | -0.0001830841 | 0.09620081008442648 | -0.003309955 | 0.1009584026215312 |  | 0.04763853 | 0.07774694479686152 | 0.1410508 | 0.08360123182944024
XLP | -0.01764595 | 0.1034883426999153 | -0.01486406 | 0.08846562304106755 |  | 0.01477087 | 0.07095703551093609 | 0.07665216 | 0.08986182706380255
YYY | 0.001022534 | 0.04787252685447659 | 0.0005110249 | 0.05976659265368271 |  | 0.04708244 | 0.06276035371311188 | 0.09353961999999999 | 0.07412561699807414
RFR