This portfolio backtesting tool allows you to construct one or more portfolios based on the selected asset class level allocations in order to analyze and backtest portfolio returns, risk characteristics, drawdowns, and rolling returns. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

You can also use the portfolio backtesting tool to build and compare portfolios based on specific mutual funds, ETFs, and stocks.

Asset Class | Allocation |
---|---|

US Stock Market | 35.00% |

Cash | 5.00% |

Total US Bond Market | 20.00% |

REIT | 35.00% |

Gold | 5.00% |

Save portfolio » |

Asset Class | Allocation |
---|---|

US Stock Market | 40.00% |

Cash | 5.00% |

Total US Bond Market | 20.00% |

REIT | 35.00% |

Save portfolio » |

Asset Class | Allocation |
---|---|

US Stock Market | 35.00% |

Cash | 5.00% |

Total US Bond Market | 20.00% |

REIT | 40.00% |

Save portfolio » |

Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|

Portfolio 1 | $10,000 | $71,552 | 8.19% | 10.55% | 25.29% | -24.60% | -41.80% | 0.57 | 0.82 | 0.84 |

Portfolio 2 | $10,000 | $74,208 | 8.35% | 11.09% | 25.87% | -26.69% | -44.96% | 0.56 | 0.80 | 0.86 |

Portfolio 3 | $10,000 | $74,145 | 8.34% | 11.34% | 26.08% | -26.69% | -45.99% | 0.55 | 0.79 | 0.83 |

Vanguard 500 Index Investor | $10,000 | $85,564 | 8.97% | 14.45% | 37.45% | -37.02% | -50.97% | 0.50 | 0.72 | 0.99 |

Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|

3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |

Portfolio 1 | -6.91% | -4.00% | -4.00% | 4.69% | 5.96% | 9.86% | 8.19% | 7.87% | 7.82% |

Portfolio 2 | -7.93% | -4.17% | -4.17% | 4.83% | 6.29% | 10.30% | 8.35% | 8.40% | 8.23% |

Portfolio 3 | -7.52% | -4.21% | -4.21% | 4.49% | 6.27% | 10.24% | 8.34% | 8.54% | 8.42% |

Vanguard 500 Index Investor | -13.55% | -4.52% | -4.52% | 9.11% | 8.34% | 12.97% | 8.97% | 10.96% | 10.95% |

Trailing return and volatility are as of last full calendar month ending December 2018 |

Notes and Disclosures

- IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
- The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
- Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
- Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
- Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
- The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
- Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
- Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
- The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
- Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
- The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
- The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
- Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
- Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
- Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
- Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
- Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
- Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
- Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
- Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
- Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
- Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
- A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
- Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
- Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
- Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
- Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
- Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
- Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
- Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
- Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
- All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
- The results assume annual rebalancing of portfolio assets to match the specified allocation.

Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | US Stock Market | Cash | Total US Bond Market | REIT | Gold | ||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|

Return | Balance | Return | Balance | Return | Balance | Return | Balance | |||||||

1994 | 2.67% | -3.43% | $9,657 | -3.33% | $9,667 | -3.74% | $9,626 | 1.18% | $10,118 | -0.17% | 4.20% | -2.66% | -8.40% | -2.17% |

1995 | 2.54% | 20.74% | $11,660 | 22.48% | $11,840 | 21.30% | $11,676 | 37.45% | $13,906 | 35.79% | 5.71% | 18.18% | 12.13% | 0.98% |

1996 | 3.32% | 19.93% | $13,983 | 21.20% | $14,351 | 21.85% | $14,227 | 22.88% | $17,088 | 20.96% | 5.17% | 3.58% | 33.84% | -4.59% |

1997 | 1.70% | 18.50% | $16,570 | 21.12% | $17,382 | 20.51% | $17,144 | 33.19% | $22,759 | 30.99% | 5.22% | 9.44% | 18.77% | -21.41% |

1998 | 1.61% | 4.35% | $17,291 | 5.56% | $18,347 | 3.58% | $17,758 | 28.62% | $29,272 | 23.26% | 4.97% | 8.58% | -16.32% | -0.83% |

1999 | 2.68% | 7.05% | $18,510 | 8.20% | $19,852 | 6.81% | $18,966 | 21.07% | $35,439 | 23.81% | 4.77% | -0.76% | -4.04% | 0.85% |

2000 | 3.39% | 7.83% | $19,959 | 7.57% | $21,354 | 9.42% | $20,752 | -9.06% | $32,230 | -10.57% | 5.99% | 11.39% | 26.35% | -5.44% |

2001 | 1.55% | 2.39% | $20,437 | 1.81% | $21,740 | 2.97% | $21,369 | -12.02% | $28,355 | -10.97% | 3.70% | 8.43% | 12.35% | 0.75% |

2002 | 2.38% | -3.01% | $19,822 | -5.34% | $20,580 | -4.10% | $20,493 | -22.15% | $22,075 | -20.96% | 1.65% | 8.26% | 3.75% | 25.57% |

2003 | 1.88% | 25.29% | $24,835 | 25.87% | $25,904 | 26.08% | $25,838 | 28.50% | $28,367 | 31.35% | 1.04% | 3.97% | 35.66% | 19.89% |

2004 | 3.26% | 16.29% | $28,882 | 16.69% | $30,226 | 17.60% | $30,385 | 10.74% | $31,414 | 12.52% | 1.32% | 4.24% | 30.76% | 4.65% |

2005 | 3.42% | 7.78% | $31,128 | 7.19% | $32,399 | 7.49% | $32,660 | 4.77% | $32,914 | 5.98% | 3.14% | 2.40% | 11.89% | 17.76% |

2006 | 2.54% | 19.93% | $37,331 | 19.57% | $38,741 | 20.55% | $39,372 | 15.64% | $38,062 | 15.51% | 4.82% | 4.27% | 35.07% | 22.55% |

2007 | 4.08% | -0.70% | $37,068 | -1.95% | $37,985 | -3.05% | $38,171 | 5.39% | $40,112 | 5.49% | 4.56% | 6.92% | -16.46% | 30.45% |

2008 | 0.09% | -24.60% | $27,951 | -26.69% | $27,845 | -26.69% | $27,981 | -37.02% | $25,263 | -37.04% | 1.53% | 5.05% | -37.05% | 4.92% |

2009 | 2.72% | 22.79% | $34,321 | 23.03% | $34,256 | 23.07% | $34,436 | 26.49% | $31,953 | 28.70% | 0.16% | 5.93% | 29.58% | 24.03% |

2010 | 1.50% | 18.64% | $40,720 | 18.04% | $40,435 | 18.60% | $40,840 | 14.91% | $36,719 | 17.09% | 0.14% | 6.42% | 28.30% | 29.27% |

2011 | 2.96% | 5.29% | $42,875 | 4.86% | $42,401 | 5.24% | $42,979 | 1.97% | $37,441 | 0.96% | 0.07% | 7.56% | 8.47% | 9.57% |

2012 | 1.74% | 12.97% | $48,434 | 13.45% | $48,103 | 13.51% | $48,787 | 15.82% | $43,366 | 16.25% | 0.08% | 4.05% | 17.53% | 6.60% |

2013 | 1.50% | 10.61% | $53,575 | 13.70% | $54,692 | 12.15% | $54,712 | 32.18% | $57,319 | 33.35% | 0.05% | -2.26% | 2.31% | -28.33% |

2014 | 0.76% | 15.94% | $62,115 | 16.67% | $63,810 | 17.56% | $64,317 | 13.51% | $65,062 | 12.43% | 0.03% | 5.76% | 30.13% | -2.19% |

2015 | 0.73% | 0.41% | $62,368 | 0.96% | $64,420 | 1.05% | $64,995 | 1.25% | $65,874 | 0.29% | 0.05% | 0.30% | 2.22% | -10.67% |

2016 | 2.07% | 8.22% | $67,496 | 8.45% | $69,861 | 8.24% | $70,348 | 11.82% | $73,658 | 12.53% | 0.30% | 2.50% | 8.34% | 8.03% |

2017 | 2.11% | 10.43% | $74,537 | 10.84% | $77,437 | 10.03% | $77,406 | 21.67% | $89,618 | 21.05% | 0.88% | 3.45% | 4.83% | 12.81% |

2018 | 1.91% | -4.00% | $71,552 | -4.17% | $74,208 | -4.21% | $74,145 | -4.52% | $85,564 | -5.26% | 1.90% | -0.13% | -6.11% | -1.94% |

Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor |
---|---|---|---|---|

Arithmetic Mean (monthly) | 0.71% | 0.72% | 0.72% | 0.81% |

Arithmetic Mean (annualized) | 8.80% | 9.02% | 9.05% | 10.11% |

Geometric Mean (monthly) | 0.66% | 0.67% | 0.67% | 0.72% |

Geometric Mean (annualized) | 8.19% | 8.35% | 8.34% | 8.97% |

Standard Deviation (monthly) | 3.05% | 3.20% | 3.27% | 4.17% |

Standard Deviation (annualized) | 10.55% | 11.09% | 11.34% | 14.45% |

Downside Deviation (monthly) | 2.07% | 2.19% | 2.24% | 2.82% |

Maximum Drawdown | -41.80% | -44.96% | -45.99% | -50.97% |

Stock Market Correlation | 0.84 | 0.86 | 0.83 | 0.99 |

Beta^{(*)} | 0.60 | 0.65 | 0.63 | 1.00 |

Alpha (annualized) | 2.69% | 2.39% | 2.55% | 0.00% |

R^{2} | 66.89% | 71.46% | 65.47% | 100.00% |

Sharpe Ratio | 0.57 | 0.56 | 0.55 | 0.50 |

Sortino Ratio | 0.82 | 0.80 | 0.79 | 0.72 |

Treynor Ratio (%) | 10.13 | 9.64 | 9.90 | 7.26 |

Calmar Ratio | 0.60 | 0.55 | 0.53 | 0.67 |

Active Return | -0.78% | -0.62% | -0.62% | N/A |

Tracking Error | 8.41% | 7.80% | 8.50% | N/A |

Information Ratio | -0.09 | -0.08 | -0.07 | N/A |

Skewness | -1.16 | -1.10 | -1.10 | -0.70 |

Excess Kurtosis | 6.18 | 5.47 | 5.99 | 1.28 |

Historical Value-at-Risk (5%) | -3.95% | -4.31% | -4.21% | -7.05% |

Analytical Value-at-Risk (5%) | -4.30% | -4.55% | -4.66% | -6.06% |

Conditional Value-at-Risk (5%) | -7.10% | -7.50% | -7.69% | -9.52% |

Upside Capture Ratio (%) | 65.15 | 69.88 | 68.70 | 100.00 |

Downside Capture Ratio (%) | 56.54 | 62.49 | 60.78 | 100.00 |

Safe Withdrawal Rate | 8.21% | 8.45% | 8.40% | 9.46% |

Perpetual Withdrawal Rate | 5.53% | 5.67% | 5.67% | 6.21% |

Positive Periods | 201 out of 300 (67.00%) | 200 out of 300 (66.67%) | 199 out of 300 (66.33%) | 198 out of 300 (66.00%) |

Gain/Loss Ratio | 0.92 | 0.91 | 0.92 | 0.84 |

^{*} Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |

Stress Period | Start | End | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor |
---|---|---|---|---|---|---|

Asian Crisis | Jul 1997 | Jan 1998 | -2.25% | -2.16% | -2.12% | -5.61% |

Russian Debt Default | Jul 1998 | Oct 1998 | -11.62% | -12.13% | -11.98% | -15.38% |

Dotcom Crash | Mar 2000 | Oct 2002 | -9.21% | -10.89% | -9.94% | -44.82% |

Subprime Crisis | Nov 2007 | Mar 2009 | -41.80% | -44.63% | -45.45% | -50.97% |

Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|

1 | Nov 2007 | Feb 2009 | 1 year 4 months | Oct 2010 | 1 year 8 months | 3 years | -41.80% |

2 | Apr 1998 | Aug 1998 | 5 months | Apr 1999 | 8 months | 1 year 1 month | -11.86% |

3 | Jun 2011 | Sep 2011 | 4 months | Jan 2012 | 4 months | 8 months | -11.29% |

4 | Apr 2002 | Oct 2002 | 7 months | May 2003 | 7 months | 1 year 2 months | -9.21% |

5 | Feb 1994 | Nov 1994 | 10 months | May 1995 | 6 months | 1 year 4 months | -8.18% |

6 | Sep 2018 | Dec 2018 | 4 months | -7.82% | |||

7 | Jun 2007 | Jul 2007 | 2 months | Oct 2007 | 3 months | 5 months | -7.31% |

8 | Apr 2004 | Apr 2004 | 1 month | Sep 2004 | 5 months | 6 months | -7.01% |

9 | Apr 2015 | Aug 2015 | 5 months | Mar 2016 | 7 months | 1 year | -6.09% |

10 | Feb 2001 | Mar 2001 | 2 months | Jun 2001 | 3 months | 5 months | -5.65% |

Worst 10 drawdowns included above |

Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|

1 | Jun 2007 | Feb 2009 | 1 year 9 months | Jan 2011 | 1 year 11 months | 3 years 8 months | -44.96% |

2 | Jun 2011 | Sep 2011 | 4 months | Jan 2012 | 4 months | 8 months | -12.40% |

3 | Apr 1998 | Aug 1998 | 5 months | Dec 1998 | 4 months | 9 months | -12.21% |

4 | Apr 2002 | Sep 2002 | 6 months | May 2003 | 8 months | 1 year 2 months | -10.89% |

5 | Sep 2018 | Dec 2018 | 4 months | -8.79% | |||

6 | Feb 1994 | Nov 1994 | 10 months | May 1995 | 6 months | 1 year 4 months | -8.44% |

7 | Apr 2004 | Apr 2004 | 1 month | Sep 2004 | 5 months | 6 months | -6.71% |

8 | Feb 2001 | Mar 2001 | 2 months | Jun 2001 | 3 months | 5 months | -6.30% |

9 | Apr 2015 | Sep 2015 | 6 months | Mar 2016 | 6 months | 1 year | -6.11% |

10 | Jul 2001 | Oct 2001 | 4 months | Mar 2002 | 5 months | 9 months | -5.98% |

Worst 10 drawdowns included above |

Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|

1 | Jun 2007 | Feb 2009 | 1 year 9 months | Jan 2011 | 1 year 11 months | 3 years 8 months | -45.99% |

2 | Jun 2011 | Sep 2011 | 4 months | Jan 2012 | 4 months | 8 months | -12.45% |

3 | Apr 1998 | Aug 1998 | 5 months | Apr 1999 | 8 months | 1 year 1 month | -12.33% |

4 | Apr 2002 | Oct 2002 | 7 months | May 2003 | 7 months | 1 year 2 months | -9.94% |

5 | Feb 1994 | Nov 1994 | 10 months | May 1995 | 6 months | 1 year 4 months | -9.07% |

6 | Sep 2018 | Dec 2018 | 4 months | -8.51% | |||

7 | Apr 2004 | Apr 2004 | 1 month | Aug 2004 | 4 months | 5 months | -7.34% |

8 | Apr 2015 | Aug 2015 | 5 months | Mar 2016 | 7 months | 1 year | -6.45% |

9 | Jul 2001 | Oct 2001 | 4 months | Dec 2001 | 2 months | 6 months | -5.61% |

10 | Feb 2001 | Mar 2001 | 2 months | Jun 2001 | 3 months | 5 months | -5.56% |

Worst 10 drawdowns included above |

Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|

1 | Nov 2007 | Feb 2009 | 1 year 4 months | Aug 2012 | 3 years 6 months | 4 years 10 months | -50.97% |

2 | Sep 2000 | Sep 2002 | 2 years 1 month | Nov 2006 | 4 years 2 months | 6 years 3 months | -44.82% |

3 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |

4 | Oct 2018 | Dec 2018 | 3 months | -13.55% | |||

5 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |

6 | Feb 1994 | Mar 1994 | 2 months | Aug 1994 | 5 months | 7 months | -6.98% |

7 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |

8 | Jul 1999 | Sep 1999 | 3 months | Nov 1999 | 2 months | 5 months | -6.25% |

9 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |

10 | Aug 1997 | Aug 1997 | 1 month | Nov 1997 | 3 months | 4 months | -5.61% |

Worst 10 drawdowns included above |

Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|

US Stock Market | 8.94% | 14.79% | 35.79% | -37.04% | -50.89% | 0.49 | 0.70 | 1.00 |

Cash | 2.44% | 0.62% | 5.99% | 0.03% | 0.00% | N/A | N/A | 0.01 |

Total US Bond Market | 4.90% | 3.56% | 18.18% | -2.66% | -5.01% | 0.69 | 1.11 | -0.00 |

REIT | 8.87% | 19.17% | 35.66% | -37.05% | -68.28% | 0.42 | 0.60 | 0.57 |

Gold | 4.60% | 15.68% | 30.45% | -28.33% | -42.91% | 0.21 | 0.33 | 0.01 |

Name | Total Return | Annualized Return | ||||
---|---|---|---|---|---|---|

3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | |

US Stock Market | -14.28% | -5.26% | -5.26% | 8.88% | 7.79% | 13.13% |

Cash | 0.57% | 1.90% | 1.90% | 1.02% | 0.63% | 0.36% |

Total US Bond Market | 1.59% | -0.13% | -0.13% | 1.93% | 2.35% | 3.31% |

REIT | -6.49% | -6.11% | -6.11% | 2.16% | 7.24% | 11.89% |

Gold | 7.53% | -1.94% | -1.94% | 6.12% | 0.87% | 3.43% |

Trailing returns as of last calendar month ending December 2018 |

Name | US Stock Market | Cash | Total US Bond Market | REIT | Gold | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor |
---|---|---|---|---|---|---|---|---|---|

US Stock Market | 1.00 | 0.01 | -0.00 | 0.57 | 0.01 | 0.84 | 0.86 | 0.83 | 0.99 |

Cash | 0.01 | 1.00 | 0.14 | -0.02 | -0.04 | 0.00 | 0.01 | 0.01 | 0.02 |

Total US Bond Market | -0.00 | 0.14 | 1.00 | 0.18 | 0.26 | 0.21 | 0.18 | 0.19 | 0.02 |

REIT | 0.57 | -0.02 | 0.18 | 1.00 | 0.11 | 0.91 | 0.90 | 0.93 | 0.55 |

Gold | 0.01 | -0.04 | 0.26 | 0.11 | 1.00 | 0.18 | 0.10 | 0.10 | -0.01 |

Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|

US Stock Market | $26,708 | $30,895 | $27,212 |

Cash | $689 | $717 | $713 |

Total US Bond Market | $6,592 | $6,780 | $6,766 |

REIT | $25,297 | $25,816 | $29,455 |

Gold | $2,267 | ||

Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |

Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|

US Stock Market | 40.39% | 45.32% | 37.18% |

Cash | 0.00% | 0.00% | 0.00% |

Total US Bond Market | 1.37% | 1.12% | 1.17% |

REIT | 56.96% | 53.56% | 61.65% |

Gold | 1.28% | ||

Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |

Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|

Average | High | Low | Average | High | Low | Average | High | Low | Average | High | Low | |

1 year | 9.47% | 52.62% | -36.20% | 9.74% | 54.59% | -38.10% | 9.76% | 56.92% | -38.90% | 11.18% | 53.61% | -43.32% |

3 years | 9.04% | 25.65% | -11.25% | 9.20% | 26.01% | -12.91% | 9.26% | 26.73% | -13.39% | 9.58% | 32.68% | -16.14% |

5 years | 8.68% | 19.66% | -2.32% | 8.74% | 20.52% | -3.59% | 8.83% | 20.75% | -3.67% | 8.36% | 28.49% | -6.73% |

7 years | 8.47% | 15.36% | 1.59% | 8.39% | 15.98% | 0.50% | 8.55% | 16.30% | 0.63% | 6.99% | 18.22% | -3.94% |

10 years | 8.24% | 11.59% | 3.00% | 8.04% | 12.08% | 2.20% | 8.21% | 12.18% | 2.49% | 6.25% | 14.17% | -3.51% |

15 years | 8.21% | 9.37% | 5.62% | 8.01% | 9.41% | 5.47% | 8.18% | 9.41% | 5.43% | 6.17% | 10.39% | 3.64% |