Backtest Portfolio Asset Class Allocation

This online portfolio backtesting tool allows you to construct a portfolio based on the selected asset class allocation to analyze and backtest portfolio returns, risk characteristics (Sharpe ratio, Sortino ratio), standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can be specified together with the preferred portfolio rebalancing strategy and you can compare the given portfolio allocation against multiple lazy portfolios. You can also use the portfolio backtesting tool to build a portfolio based on specific mutual funds, ETFs and stocks.

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$ .00
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Asset Allocation
US Stock Market
%
%
%
US Large Cap
%
%
%
US Large Cap Value
%
%
%
US Large Cap Growth
%
%
%
US Mid Cap
%
%
%
US Mid Cap Value
%
%
%
US Mid Cap Growth
%
%
%
US Small Cap
%
%
%
US Small Cap Value
%
%
%
US Small Cap Growth
%
%
%
US Micro Cap
%
%
%
Global ex-US Stock Market
%
%
%
Intl Developed ex-US Market
%
%
%
International ex-US Small Cap
%
%
%
International ex-US Value
%
%
%
European Stocks
%
%
%
Pacific Stocks
%
%
%
Emerging Markets
%
%
%
Cash
%
%
%
Short Term Treasury
%
%
%
Intermediate Term Treasury
%
%
%
10-year Treasury
%
%
%
Long Term Treasury
%
%
%
Total US Bond Market
%
%
%
TIPS
%
%
%
Global Bonds (Unhedged)
%
%
%
Global Bonds (USD Hedged)
%
%
%
Short-Term Investment Grade
%
%
%
Corporate Bonds
%
%
%
Long-Term Corporate Bonds
%
%
%
High Yield Corporate Bonds
%
%
%
Short-Term Tax-Exempt
%
%
%
Intermediate-Term Tax-Exempt
%
%
%
Long-Term Tax-Exempt
%
%
%
REIT
%
%
%
Gold
%
%
%
Precious Metals
%
%
%
Commodities
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 1978 - Dec 2016)

Portfolio Allocations

Portfolio 1
Asset Class Allocation
US Stock Market 10.00%
Short Term Treasury 85.00%
Long Term Treasury 5.00%
Save asset allocation »
Portfolio 2
Asset Class Allocation
US Stock Market 10.00%
Short Term Treasury 90.00%
Save asset allocation »
Portfolio 3
Asset Class Allocation
US Stock Market 40.00%
Intermediate Term Treasury 60.00%
Save asset allocation »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$141,925 7.04% 3.60%23.21%-0.77%-3.89% 0.671.110.49
Portfolio 2$10,000$134,679 6.89% 3.37%21.96%-0.45%-3.65% 0.681.130.52
Portfolio 3$10,000$335,180 9.42% 7.39%26.88%-6.82%-15.19% 0.640.990.86
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationUS Stock MarketShort Term TreasuryLong Term TreasuryIntermediate Term TreasuryPortfolio 1Portfolio 2Portfolio 3
ReturnBalanceReturnBalanceReturnBalance
19789.02%8.45%3.35%-1.55%1.15%3.61%$10,3613.86%$10,3864.07%$10,407
197913.29%24.25%8.08%-2.10%5.35%9.19%$11,3139.70%$11,39312.91%$11,751
198012.52%33.15%8.81%-4.99%2.88%10.55%$12,50711.24%$12,67314.99%$13,512
19818.92%-4.15%14.26%0.65%9.41%11.74%$13,97512.42%$14,2483.99%$14,051
19823.83%20.50%22.12%47.10%31.13%23.21%$17,21921.96%$17,37626.88%$17,828
19833.79%22.66%8.00%-1.29%5.22%9.00%$18,7689.46%$19,02112.20%$20,002
19843.95%2.19%14.01%16.24%15.01%12.94%$21,19612.82%$21,4609.88%$21,979
19853.80%31.27%13.83%36.90%22.24%16.73%$24,74315.58%$24,80325.86%$27,662
19861.10%14.57%10.35%30.87%15.10%11.80%$27,66210.77%$27,47614.89%$31,781
19874.43%2.61%4.78%-2.92%1.55%4.18%$28,8194.57%$28,7311.98%$32,410
19884.42%17.32%5.67%9.15%5.26%7.01%$30,8396.84%$30,69510.08%$35,677
19894.65%28.12%11.48%17.93%14.52%13.47%$34,99213.14%$34,72919.96%$42,798
19906.11%-6.08%9.92%5.78%9.46%8.11%$37,8308.32%$37,6183.25%$44,187
19913.06%32.39%11.49%17.43%15.97%13.88%$43,08113.58%$42,72722.54%$54,146
19922.90%9.11%6.75%7.41%7.78%7.01%$46,1036.98%$45,7118.31%$58,645
19932.75%10.62%6.31%16.78%11.43%7.26%$49,4516.74%$48,79011.11%$65,160
19942.67%-0.17%-0.48%-7.04%-4.33%-0.77%$49,068-0.45%$48,573-2.66%$63,424
19952.54%35.79%12.11%30.09%20.44%15.38%$56,61314.48%$55,60426.58%$80,282
19963.32%20.96%4.39%-1.26%1.92%5.77%$59,8786.05%$58,9689.54%$87,938
19971.70%30.99%6.51%13.90%8.96%9.33%$65,4628.96%$64,24917.77%$103,568
19981.61%23.26%7.36%13.05%10.61%9.23%$71,5078.95%$70,00015.67%$119,796
19992.68%23.81%1.85%-8.66%-3.52%3.52%$74,0254.05%$72,8327.41%$128,675
20003.39%-10.57%8.83%19.72%14.03%7.44%$79,5316.89%$77,8534.19%$134,066
20011.55%-10.97%7.80%4.31%7.55%5.75%$84,1015.92%$82,4620.14%$134,256
20022.38%-20.96%8.02%16.67%14.15%5.56%$88,7735.12%$86,6870.11%$134,397
20031.88%31.35%2.38%2.68%2.37%5.29%$93,4735.28%$91,26413.96%$153,162
20043.26%12.52%1.03%7.12%3.40%2.48%$95,7952.18%$93,2527.05%$163,957
20053.42%5.98%1.77%6.61%2.31%2.43%$98,1232.19%$95,2933.78%$170,156
20062.54%15.51%3.77%1.74%3.14%4.84%$102,8724.94%$100,0028.09%$183,915
20074.08%5.49%7.89%9.24%9.98%7.71%$110,8087.65%$107,6498.18%$198,966
20080.09%-37.04%6.68%22.51%13.32%3.10%$114,2412.31%$110,132-6.82%$185,390
20092.72%28.70%1.44%-12.06%-1.69%3.49%$118,2294.17%$114,72010.46%$204,787
20101.50%17.09%2.63%8.92%7.35%4.39%$123,4254.08%$119,40011.25%$227,819
20112.96%0.96%2.26%29.27%9.79%3.48%$127,7172.13%$121,9406.26%$242,077
20121.74%16.25%0.69%3.46%2.67%2.39%$130,7662.25%$124,6828.11%$261,700
20131.50%33.35%-0.10%-13.03%-3.09%2.60%$134,1663.25%$128,73011.49%$291,762
20140.76%12.43%0.71%25.27%4.32%3.11%$138,3441.89%$131,1587.56%$313,825
20150.73%0.29%0.45%-1.54%1.50%0.34%$138,8120.44%$131,7331.02%$317,021
20162.07%12.53%1.09%1.21%1.19%2.24%$141,9252.24%$134,6795.73%$335,180
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.57%0.56%0.78%
Arithmetic Mean (annualized)7.11%6.95%9.72%
Geometric Mean (monthly)0.57%0.56%0.75%
Geometric Mean (annualized)7.04%6.89%9.42%
Volatility (monthly)1.04%0.97%2.13%
Volatility (annualized)3.60%3.37%7.39%
Downside Deviation (monthly)0.40%0.36%1.18%
Max. Drawdown-3.89%-3.65%-15.19%
US Market Correlation0.490.520.86
Beta(*)0.110.110.42
Alpha (annualized)5.51%5.38%4.29%
R223.76%26.61%74.78%
Sharpe Ratio0.670.680.64
Sortino Ratio1.111.130.99
Treynor Ratio (%)20.1819.1511.35
Information Ratio-0.37-0.38-0.28
Diversification Ratio1.341.311.32
Skewness1.201.32-0.18
Excess Kurtosis7.668.721.66
Historical Value-at-Risk (5%)-0.84%-0.71%-2.63%
Analytical Value-at-Risk (5%)-1.14%-1.04%-2.73%
Conditional Value-at-Risk (5%)-1.46%-1.30%-4.17%
Upside Capture Ratio (%)21.9221.5248.86
Downside Capture Ratio (%)-2.53-2.4032.32
Positive Periods347 out of 468 (74.15%)350 out of 468 (74.79%)314 out of 468 (67.09%)
Gain/Loss Ratio1.801.931.28
(*) US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Black Monday PeriodSep 1987Nov 1987-1.66%-1.64%-12.75%
Asian CrisisJul 1997Jan 1998-0.56%-0.43%-2.21%
Russian Crisis / LTCM DefaultJul 1998Oct 1998-0.08%-0.24%-5.50%
Dotcom CrashMar 2000Oct 2002-0.58%-0.42%-5.24%
Subprime CrisisNov 2007Mar 2009-2.34%-1.87%-15.19%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1980Mar 19802 monthsApr 19801 month3 months-3.89%
2Oct 1979Oct 19791 monthDec 19792 months3 months-3.34%
3Feb 1994Apr 19943 monthsFeb 199510 months1 year 1 month-2.92%
4Jan 2009Feb 20092 monthsMay 20093 months5 months-2.34%
5Jul 1980Oct 19804 monthsDec 19802 months6 months-2.30%
6Oct 1978Oct 19781 monthJan 19793 months4 months-1.90%
7Apr 1981Apr 19811 monthMay 19811 month2 months-1.87%
8Jul 1981Aug 19812 monthsOct 19812 months4 months-1.69%
9Feb 1984May 19844 monthsJul 19842 months6 months-1.66%
10Sep 1987Nov 19873 monthsJan 19882 months5 months-1.66%
11Apr 2008Oct 20087 monthsDec 20082 months9 months-1.65%
12Dec 1981Jan 19822 monthsApr 19823 months5 months-1.63%
13Apr 2004May 20042 monthsOct 20045 months7 months-1.54%
14Feb 1999Feb 19991 monthApr 19992 months3 months-1.37%
15Sep 1986Sep 19861 monthNov 19862 months3 months-1.36%
16Apr 1987Apr 19871 monthJun 19872 months3 months-1.23%
17Aug 2016Nov 20164 months-1.15%
18Jul 1983Jul 19831 monthSep 19832 months3 months-1.10%
19Jan 1990Jan 19901 monthMar 19902 months3 months-0.96%
20Jul 2003Jul 20031 monthSep 20032 months3 months-0.95%
21Oct 1992Oct 19921 monthDec 19922 months3 months-0.93%
22Jun 1982Jun 19821 monthJul 19821 month2 months-0.87%
23Dec 2009Dec 20091 monthFeb 20102 months3 months-0.85%
24May 2013Jun 20132 monthsSep 20133 months5 months-0.85%
25Feb 1996Apr 19963 monthsJun 19962 months5 months-0.83%
26Aug 1990Aug 19901 monthOct 19902 months3 months-0.76%
27Aug 2015Aug 20151 monthOct 20152 months3 months-0.76%
28Mar 1997Mar 19971 monthApr 19971 month2 months-0.74%
29Aug 1989Aug 19891 monthOct 19892 months3 months-0.71%
30Sep 2005Oct 20052 monthsNov 20051 month3 months-0.70%
31Jan 1992Mar 19923 monthsApr 19921 month4 months-0.70%
32Nov 2015Dec 20152 monthsFeb 20162 months4 months-0.61%
33Nov 1988Nov 19881 monthJan 19892 months3 months-0.58%
34Nov 2001Dec 20012 monthsFeb 20022 months4 months-0.58%
35Aug 1997Aug 19971 monthSep 19971 month2 months-0.56%
36May 1999May 19991 monthJun 19991 month2 months-0.55%
37Jan 2000Jan 20001 monthFeb 20001 month2 months-0.55%
38Jan 2005Mar 20053 monthsApr 20051 month4 months-0.52%
39Apr 2000May 20002 monthsJun 20001 month3 months-0.50%
40Jan 1978Jan 19781 monthMar 19782 months3 months-0.49%
41Feb 1985Feb 19851 monthMar 19851 month2 months-0.48%
42Mar 2002Mar 20021 monthApr 20021 month2 months-0.48%
43Sep 2014Sep 20141 monthOct 20141 month2 months-0.46%
44Jun 1991Jun 19911 monthJul 19911 month2 months-0.42%
45May 1983May 19831 monthJun 19831 month2 months-0.41%
46Nov 1993Nov 19931 monthDec 19931 month2 months-0.39%
47Jun 2015Jun 20151 monthJul 20151 month2 months-0.39%
48Jan 2003Jan 20031 monthFeb 20031 month2 months-0.38%
49Mar 1988May 19883 monthsJun 19881 month4 months-0.38%
50Oct 2012Oct 20121 monthDec 20122 months3 months-0.36%
51Sep 2011Sep 20111 monthOct 20111 month2 months-0.36%
52Jul 1988Aug 19882 monthsSep 19881 month3 months-0.35%
53Dec 1996Dec 19961 monthJan 19971 month2 months-0.34%
54Jul 1996Jul 19961 monthAug 19961 month2 months-0.34%
55Jun 2011Jun 20111 monthJul 20111 month2 months-0.32%
56May 2006May 20061 monthJul 20062 months3 months-0.30%
57Feb 1981Feb 19811 monthMar 19811 month2 months-0.30%
58Jul 2014Jul 20141 monthAug 20141 month2 months-0.30%
59Apr 1990Apr 19901 monthMay 19901 month2 months-0.29%
60Feb 1989Feb 19891 monthMar 19891 month2 months-0.28%
61Nov 2010Nov 20101 monthJan 20112 months3 months-0.28%
62Jul 1999Aug 19992 monthsSep 19991 month3 months-0.27%
63May 2012May 20121 monthJul 20122 months3 months-0.26%
64May 2010May 20101 monthJul 20102 months3 months-0.23%
65Feb 2001Feb 20011 monthApr 20012 months3 months-0.20%
66Nov 2004Nov 20041 monthDec 20041 month2 months-0.18%
67Nov 2002Nov 20021 monthDec 20021 month2 months-0.17%
68Oct 2009Oct 20091 monthNov 20091 month2 months-0.17%
69Dec 2006Dec 20061 monthJan 20071 month2 months-0.15%
70Jun 1978Jun 19781 monthJul 19781 month2 months-0.12%
71Dec 1986Dec 19861 monthJan 19871 month2 months-0.11%
72Feb 2015Feb 20151 monthMar 20151 month2 months-0.10%
73Mar 2014Mar 20141 monthApr 20141 month2 months-0.09%
74Jul 2005Jul 20051 monthAug 20051 month2 months-0.08%
75Jun 2009Jun 20091 monthJul 20091 month2 months-0.08%
76Aug 1998Aug 19981 monthSep 19981 month2 months-0.08%
77Apr 2015Apr 20151 monthMay 20151 month2 months-0.07%
78May 1993May 19931 monthJun 19931 month2 months-0.07%
79Mar 2011Mar 20111 monthApr 20111 month2 months-0.06%
80May 2007May 20071 monthJun 20071 month2 months-0.05%
81Feb 1979Feb 19791 monthMar 19791 month2 months-0.05%
82Dec 2013Dec 20131 monthJan 20141 month2 months-0.04%
83Dec 2014Dec 20141 monthJan 20151 month2 months-0.03%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1980Mar 19802 monthsApr 19801 month3 months-3.65%
2Oct 1979Oct 19791 monthDec 19792 months3 months-3.08%
3Feb 1994Apr 19943 monthsJan 19959 months1 year-2.59%
4Aug 1980Oct 19803 monthsDec 19802 months5 months-1.93%
5Jan 2009Feb 20092 monthsApr 20092 months4 months-1.87%
6Oct 1978Oct 19781 monthJan 19793 months4 months-1.83%
7Apr 1981Apr 19811 monthMay 19811 month2 months-1.66%
8Sep 1987Nov 19873 monthsJan 19882 months5 months-1.64%
9Dec 1981Jan 19822 monthsApr 19823 months5 months-1.44%
10Apr 2008Oct 20087 monthsDec 20082 months9 months-1.43%
11Jul 1981Aug 19812 monthsOct 19812 months4 months-1.37%
12May 1984May 19841 monthJul 19842 months3 months-1.33%
13Apr 2004May 20042 monthsOct 20045 months7 months-1.30%
14Feb 1999Feb 19991 monthApr 19992 months3 months-1.18%
15Sep 1986Sep 19861 monthNov 19862 months3 months-1.15%
16Aug 2011Sep 20112 monthsOct 20111 month3 months-1.09%
17Apr 1987Apr 19871 monthJun 19872 months3 months-1.05%
18Oct 1992Oct 19921 monthDec 19922 months3 months-0.89%
19Jul 1983Jul 19831 monthSep 19832 months3 months-0.86%
20Jan 1990Jan 19901 monthMar 19902 months3 months-0.78%
21Jun 1982Jun 19821 monthJul 19821 month2 months-0.77%
22Aug 2015Aug 20151 monthMar 20167 months8 months-0.73%
23Dec 2009Dec 20091 monthFeb 20102 months3 months-0.65%
24Mar 1997Mar 19971 monthApr 19971 month2 months-0.64%
25May 2012May 20121 monthJul 20122 months3 months-0.63%
26Jan 2000Jan 20001 monthFeb 20001 month2 months-0.62%
27Aug 1989Aug 19891 monthOct 19892 months3 months-0.61%
28Jan 2005Mar 20053 monthsMay 20052 months5 months-0.57%
29Jul 2003Jul 20031 monthSep 20032 months3 months-0.55%
30Jan 1992Mar 19923 monthsApr 19921 month4 months-0.54%
31Aug 1990Aug 19901 monthOct 19902 months3 months-0.54%
32Feb 1996Mar 19962 monthsJun 19963 months5 months-0.52%
33Nov 1988Nov 19881 monthJan 19892 months3 months-0.50%
34May 1999May 19991 monthJun 19991 month2 months-0.48%
35Sep 2005Oct 20052 monthsNov 20051 month3 months-0.48%
36Aug 2013Aug 20131 monthSep 20131 month2 months-0.47%
37May 2010Jun 20102 monthsJul 20101 month3 months-0.47%
38Aug 1997Aug 19971 monthSep 19971 month2 months-0.43%
39Jan 1978Jan 19781 monthMar 19782 months3 months-0.43%
40Apr 2000May 20002 monthsJun 20001 month3 months-0.42%
41May 2013Jun 20132 monthsJul 20131 month3 months-0.42%
42Aug 2016Nov 20164 months-0.41%
43Jun 1991Jun 19911 monthJul 19911 month2 months-0.38%
44Jan 2003Jan 20031 monthFeb 20031 month2 months-0.37%
45Sep 2014Sep 20141 monthOct 20141 month2 months-0.36%
46Oct 2012Oct 20121 monthDec 20122 months3 months-0.34%
47Jul 2014Jul 20141 monthAug 20141 month2 months-0.34%
48Mar 2002Mar 20021 monthApr 20021 month2 months-0.32%
49Jul 1996Jul 19961 monthAug 19961 month2 months-0.32%
50May 2006May 20061 monthJul 20062 months3 months-0.29%
51Nov 2001Dec 20012 monthsFeb 20022 months4 months-0.28%
52Jul 1988Aug 19882 monthsSep 19881 month3 months-0.27%
53Feb 1985Feb 19851 monthMar 19851 month2 months-0.27%
54Nov 1993Nov 19931 monthDec 19931 month2 months-0.26%
55Feb 1984Mar 19842 monthsApr 19841 month3 months-0.25%
56Feb 2001Feb 20011 monthApr 20012 months3 months-0.25%
57Aug 1998Aug 19981 monthSep 19981 month2 months-0.24%
58Dec 1996Dec 19961 monthJan 19971 month2 months-0.24%
59Jul 1999Jul 19991 monthSep 19992 months3 months-0.23%
60Jun 2011Jun 20111 monthJul 20111 month2 months-0.22%
61May 1983May 19831 monthJun 19831 month2 months-0.21%
62Dec 2014Dec 20141 monthJan 20151 month2 months-0.21%
63Nov 2010Nov 20101 monthDec 20101 month2 months-0.21%
64Jun 2015Jun 20151 monthJul 20151 month2 months-0.21%
65May 1988May 19881 monthJun 19881 month2 months-0.21%
66Feb 1989Feb 19891 monthMar 19891 month2 months-0.20%
67Nov 2002Nov 20021 monthDec 20021 month2 months-0.15%
68Apr 1990Apr 19901 monthMay 19901 month2 months-0.14%
69Mar 2014Mar 20141 monthApr 20141 month2 months-0.13%
70Aug 2010Aug 20101 monthSep 20101 month2 months-0.13%
71May 1993May 19931 monthJun 19931 month2 months-0.11%
72Jun 2009Jun 20091 monthJul 20091 month2 months-0.11%
73Feb 1981Feb 19811 monthMar 19811 month2 months-0.11%
74Oct 2009Oct 20091 monthNov 20091 month2 months-0.09%
75Jun 1978Jun 19781 monthJul 19781 month2 months-0.09%
76Nov 2004Nov 20041 monthDec 20041 month2 months-0.09%
77Mar 1988Mar 19881 monthApr 19881 month2 months-0.08%
78Dec 1986Dec 19861 monthJan 19871 month2 months-0.08%
79Mar 2011Mar 20111 monthApr 20111 month2 months-0.07%
80Nov 2011Nov 20111 monthDec 20111 month2 months-0.06%
81Dec 2006Dec 20061 monthJan 20071 month2 months-0.06%
82Jan 2014Jan 20141 monthFeb 20141 month2 months-0.03%
83Jul 1993Jul 19931 monthAug 19931 month2 months-0.01%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsSep 20097 months1 year 10 months-15.19%
2Sep 1987Nov 19873 monthsOct 198811 months1 year 2 months-12.75%
3Feb 1980Mar 19802 monthsMay 19802 months4 months-8.39%
4Jun 1981Sep 19814 monthsNov 19812 months6 months-6.81%
5Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-6.60%
6Oct 1979Oct 19791 monthDec 19792 months3 months-6.34%
7Sep 1978Oct 19782 monthsMar 19795 months7 months-5.90%
8Feb 1984May 19844 monthsAug 19843 months7 months-5.84%
9Jul 1998Aug 19982 monthsOct 19982 months4 months-5.50%
10Aug 1990Sep 19902 monthsDec 19903 months5 months-5.38%
11Feb 2001Mar 20012 monthsApr 20032 years 1 month2 years 3 months-5.24%
12Dec 1981Mar 19824 monthsAug 19825 months9 months-5.08%
13Sep 1986Sep 19861 monthJan 19874 months5 months-4.37%
14Sep 2000Nov 20003 monthsJan 20012 months5 months-3.84%
15Jun 2011Sep 20114 monthsOct 20111 month5 months-3.65%
16Jan 1990Jan 19901 monthMay 19904 months5 months-3.59%
17Apr 2000May 20002 monthsAug 20003 months5 months-3.46%
18Feb 1999Feb 19991 monthApr 19992 months3 months-3.34%
19May 2010Jun 20102 monthsJul 20101 month3 months-3.13%
20Aug 2015Sep 20152 monthsMar 20166 months8 months-2.87%
21Apr 2004Apr 20041 monthOct 20046 months7 months-2.80%
22Jul 1983Jul 19831 monthSep 19832 months3 months-2.64%
23Jan 1978Feb 19782 monthsApr 19782 months4 months-2.62%
24Mar 1997Mar 19971 monthApr 19971 month2 months-2.60%
25Jul 1999Sep 19993 monthsOct 19991 month4 months-2.48%
26Apr 1987May 19872 monthsJun 19871 month3 months-2.31%
27Dec 1980Feb 19813 monthsMar 19811 month4 months-2.30%
28Jul 1996Jul 19961 monthSep 19962 months3 months-2.23%
29Aug 1997Aug 19971 monthSep 19971 month2 months-2.21%
30Jun 1991Jun 19911 monthJul 19911 month2 months-2.08%
31Apr 1981Apr 19811 monthMay 19811 month2 months-2.02%
32Jan 1992Mar 19923 monthsMay 19922 months5 months-1.98%
33Jan 2000Jan 20001 monthMar 20002 months3 months-1.95%
34Aug 1980Aug 19801 monthNov 19803 months4 months-1.95%
35May 2012May 20121 monthJul 20122 months3 months-1.94%
36Aug 2013Aug 20131 monthSep 20131 month2 months-1.83%
37Jul 1986Jul 19861 monthAug 19861 month2 months-1.64%
38May 1999May 19991 monthJun 19991 month2 months-1.61%
39Sep 2005Oct 20052 monthsNov 20051 month3 months-1.56%
40May 2013Jun 20132 monthsJul 20131 month3 months-1.53%
41Jan 2005Mar 20053 monthsMay 20052 months5 months-1.52%
42Nov 1988Nov 19881 monthJan 19892 months3 months-1.50%
43Aug 2016Oct 20163 months-1.44%
44Dec 1996Dec 19961 monthJan 19971 month2 months-1.37%
45May 2006May 20061 monthAug 20063 months4 months-1.35%
46Nov 1993Nov 19931 monthJan 19942 months3 months-1.34%
47Sep 2014Sep 20141 monthOct 20141 month2 months-1.27%
48Jul 2003Jul 20031 monthSep 20032 months3 months-1.25%
49Sep 1985Sep 19851 monthOct 19851 month2 months-1.17%
50Jun 2007Jul 20072 monthsAug 20071 month3 months-1.16%
51Jun 2015Jun 20151 monthJul 20151 month2 months-1.13%
52Oct 1983Oct 19831 monthNov 19831 month2 months-1.11%
53Feb 1989Feb 19891 monthApr 19892 months3 months-1.09%
54Nov 1991Nov 19911 monthDec 19911 month2 months-1.07%
55Jul 2014Jul 20141 monthAug 20141 month2 months-1.04%
56Oct 2009Oct 20091 monthNov 20091 month2 months-1.02%
57Oct 2012Oct 20121 monthDec 20122 months3 months-0.94%
58Feb 1996Mar 19962 monthsMay 19962 months4 months-0.92%
59Dec 2009Jan 20102 monthsFeb 20101 month3 months-0.65%
60Oct 1997Oct 19971 monthNov 19971 month2 months-0.61%
61Oct 1992Oct 19921 monthNov 19921 month2 months-0.60%
62May 1998May 19981 monthJun 19981 month2 months-0.60%
63Aug 2010Aug 20101 monthSep 20101 month2 months-0.59%
64Jun 1978Jun 19781 monthJul 19781 month2 months-0.56%
65Apr 1993Apr 19931 monthMay 19931 month2 months-0.53%
66Feb 1985Feb 19851 monthMar 19851 month2 months-0.43%
67May 1983May 19831 monthJun 19831 month2 months-0.42%
68Nov 2010Nov 20101 monthDec 20101 month2 months-0.37%
69Dec 1983Dec 19831 monthJan 19841 month2 months-0.36%
70Aug 1989Aug 19891 monthOct 19892 months3 months-0.32%
71Jul 1985Jul 19851 monthAug 19851 month2 months-0.29%
72Jan 2014Jan 20141 monthFeb 20141 month2 months-0.24%
73Dec 2014Dec 20141 monthJan 20151 month2 months-0.21%
74Mar 2014Mar 20141 monthApr 20141 month2 months-0.15%
75Jul 1993Jul 19931 monthAug 19931 month2 months-0.09%
76Aug 1992Aug 19921 monthSep 19921 month2 months-0.09%
77Dec 2006Dec 20061 monthJan 20071 month2 months-0.09%

Portfolio Assets

Performance statistics for portfolio components
NameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
US Stock Market11.39%15.31%35.79%-37.04%-50.89%0.490.701.00
Short Term Treasury6.26%3.22%22.12%-0.48%-4.26%0.520.860.07
Long Term Treasury8.57%11.11%47.10%-13.03%-23.12%0.390.620.06
Intermediate Term Treasury7.44%6.12%31.13%-4.33%-10.70%0.470.730.08

Monthly Correlations

Correlations for the portfolio assets
NameUS Stock MarketShort Term TreasuryLong Term TreasuryIntermediate Term TreasuryPortfolio 1Portfolio 2Portfolio 3
US Stock Market-0.070.060.080.490.520.86
Short Term Treasury0.07-0.730.920.900.890.51
Long Term Treasury0.060.73-0.890.730.650.49
Intermediate Term Treasury0.080.920.89-0.860.820.56

Portfolio Return Decomposition

Portfolio return decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market$28,143$27,392$182,001
Short Term Treasury$93,308$97,287
Long Term Treasury$10,474
Intermediate Term Treasury$143,179

Portfolio Risk Decomposition

Portfolio risk decomposition
NamePortfolio 1Portfolio 2Portfolio 3
US Stock Market20.72%23.50%72.07%
Short Term Treasury67.98%76.50%
Long Term Treasury11.30%
Intermediate Term Treasury27.93%

Annual Asset Returns