Backtest Portfolio Asset Class Allocation

Asset Class Allocation Overview

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.

Portfolio Model Configuration

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Asset Allocation
US Stock Market
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US Large Cap
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US Large Cap Value
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US Large Cap Growth
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US Mid Cap
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US Mid Cap Value
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US Mid Cap Growth
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US Small Cap
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US Small Cap Value
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US Small Cap Growth
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US Micro Cap
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Global ex-US Stock Market
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Intl Developed ex-US Market
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International ex-US Small Cap
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International ex-US Value
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European Stocks
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Pacific Stocks
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Emerging Markets
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Cash
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Short Term Treasury
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Intermediate Term Treasury
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10-year Treasury
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Long Term Treasury
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Total US Bond Market
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TIPS
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Global Bonds (Unhedged)
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Global Bonds (USD Hedged)
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Short-Term Investment Grade
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Corporate Bonds
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Long-Term Corporate Bonds
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High Yield Corporate Bonds
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Short-Term Tax-Exempt
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Intermediate-Term Tax-Exempt
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Long-Term Tax-Exempt
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REIT
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Gold
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Precious Metals
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Commodities
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Total
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Portfolio Analysis Results (Jan 1979 - Dec 2019)

10-year Treasury

Asset Class Allocation
10-year Treasury 100.00%
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Long-Term Corporate Bonds

Asset Class Allocation
Long-Term Corporate Bonds 100.00%
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High Yield Corporate Bonds

Asset Class Allocation
High Yield Corporate Bonds 100.00%
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Performance Summary

PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
10-year Treasury$10,000$200,572 7.59% 8.46%39.57%-10.17%-15.76% 0.390.610.03
Long-Term Corporate Bonds$10,000$308,051 8.72% 8.39%28.68%-6.23%-16.82% 0.510.810.19
High Yield Corporate Bonds$10,000$265,392 8.33% 7.30%39.09%-21.29%-28.90% 0.530.770.59

Portfolio Growth

   

Annual Returns

Trailing Returns

NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
10-year Treasury-1.42%8.03%8.03%3.76%2.67%4.05%7.59%4.64%5.47%
Long-Term Corporate Bonds-0.32%20.41%20.41%8.23%5.98%7.97%8.72%7.18%7.92%
High Yield Corporate Bonds2.50%15.79%15.79%6.34%5.68%7.10%8.33%4.24%4.54%
Trailing return and volatility are as of last full calendar month ending December 2019
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. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. 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.

Annual Returns

YearInflation10-year TreasuryLong-Term Corporate BondsHigh Yield Corporate Bonds10-year TreasuryLong-Term Corporate BondsHigh Yield Corporate Bonds
ReturnBalanceReturnBalanceReturnBalance
197913.29%1.83%$10,183-0.77%$9,9235.57%$10,5571.83%-0.77%5.57%
198012.52%-1.29%$10,0514.66%$10,3853.16%$10,891-1.29%4.66%3.16%
19818.92%5.28%$10,5828.55%$11,2739.29%$11,9035.28%8.55%9.29%
19823.83%39.57%$14,77028.68%$14,50527.09%$15,12839.57%28.68%27.09%
19833.79%2.30%$15,1096.98%$15,51815.87%$17,5302.30%6.98%15.87%
19843.95%14.87%$17,35614.67%$17,7947.74%$18,88614.87%14.67%7.74%
19853.80%29.85%$22,53721.66%$21,64821.99%$23,03929.85%21.66%21.99%
19861.10%21.35%$27,34814.34%$24,75216.86%$26,92321.35%14.34%16.86%
19874.43%-2.64%$26,6250.20%$24,8012.65%$27,637-2.64%0.20%2.65%
19884.42%6.90%$28,4639.70%$27,20713.56%$31,3846.90%9.70%13.56%
19894.65%17.84%$33,54115.18%$31,3361.89%$31,97717.84%15.18%1.89%
19906.11%7.70%$36,1246.21%$33,281-5.85%$30,1087.70%6.21%-5.85%
19913.06%18.91%$42,95420.90%$40,23829.01%$38,84118.91%20.90%29.01%
19922.90%7.23%$46,0609.78%$44,17314.24%$44,3737.23%9.78%14.24%
19932.75%12.97%$52,03614.49%$50,57518.24%$52,46812.97%14.49%18.24%
19942.67%-7.19%$48,293-5.30%$47,896-1.71%$51,570-7.19%-5.30%-1.71%
19952.54%25.55%$60,63226.40%$60,54319.15%$61,44825.55%26.40%19.15%
19963.32%-0.00%$60,6301.20%$61,2679.55%$67,314-0.00%1.20%9.55%
19971.70%11.97%$67,88513.78%$69,71311.91%$75,32811.97%13.78%11.91%
19981.61%14.64%$77,8229.21%$76,1365.62%$79,55914.64%9.21%5.62%
19992.68%-7.83%$71,731-6.23%$71,3942.49%$81,542-7.83%-6.23%2.49%
20003.39%17.28%$84,12411.76%$79,791-0.88%$80,82717.28%11.76%-0.88%
20011.55%5.40%$88,6689.57%$87,4252.90%$83,1715.40%9.57%2.90%
20022.38%15.45%$102,36713.22%$98,9861.73%$84,61315.45%13.22%1.73%
20031.88%0.15%$102,5236.26%$105,17917.20%$99,1640.15%6.26%17.20%
20043.26%4.50%$107,1338.94%$114,5858.52%$107,6084.50%8.94%8.52%
20053.42%3.01%$110,3635.13%$120,4682.77%$110,5893.01%5.13%2.77%
20062.54%2.19%$112,7812.86%$123,9088.24%$119,6972.19%2.86%8.24%
20074.08%10.42%$124,5383.75%$128,5592.04%$122,14310.42%3.75%2.04%
20080.09%20.53%$150,1102.29%$131,508-21.29%$96,14020.53%2.29%-21.29%
20092.72%-10.17%$134,8408.75%$143,02039.09%$133,718-10.17%8.75%39.09%
20101.50%7.92%$145,52110.71%$158,34212.40%$150,2987.92%10.71%12.40%
20112.96%16.24%$169,16017.18%$185,5437.13%$161,01716.24%17.18%7.13%
20121.74%2.73%$173,78111.66%$207,17014.36%$184,1322.73%11.66%14.36%
20131.50%-8.57%$158,890-5.87%$195,0164.54%$192,487-8.57%-5.87%4.54%
20140.76%10.63%$175,78718.17%$230,4414.58%$201,30910.63%18.17%4.58%
20150.73%1.12%$177,761-2.20%$225,361-1.40%$198,4981.12%-2.20%-1.40%
20162.07%1.00%$179,5467.83%$243,00911.19%$220,7111.00%7.83%11.19%
20172.11%2.39%$183,84411.94%$272,0197.02%$236,2032.39%11.94%7.02%
20181.91%0.99%$185,663-5.95%$255,836-2.96%$229,2010.99%-5.95%-2.96%
20192.29%8.03%$200,57220.41%$308,05115.79%$265,3928.03%20.41%15.79%

Risk and Return Metrics

Metric10-year TreasuryLong-Term Corporate BondsHigh Yield Corporate Bonds
Arithmetic Mean (monthly)0.64%0.73%0.69%
Arithmetic Mean (annualized)7.97%9.10%8.61%
Geometric Mean (monthly)0.61%0.70%0.67%
Geometric Mean (annualized)7.59%8.72%8.33%
Standard Deviation (monthly)2.44%2.42%2.11%
Standard Deviation (annualized)8.46%8.39%7.30%
Downside Deviation (monthly)1.33%1.36%1.29%
Maximum Drawdown-15.76%-16.82%-28.90%
Stock Market Correlation0.030.190.59
Beta(*)0.010.110.29
Alpha (annualized)7.51%7.45%4.78%
R20.06%3.58%34.99%
Sharpe Ratio0.390.510.53
Sortino Ratio0.610.810.77
Treynor Ratio (%)228.8840.8413.45
Calmar Ratio0.750.931.45
Active Return-4.09%-2.96%-3.36%
Tracking Error17.08%15.78%12.24%
Information Ratio-0.24-0.19-0.27
Skewness0.360.17-0.59
Excess Kurtosis1.913.1010.33
Historical Value-at-Risk (5%)3.28%3.16%2.83%
Analytical Value-at-Risk (5%)3.38%3.26%2.78%
Conditional Value-at-Risk (5%)4.42%4.66%4.47%
Upside Capture Ratio (%)17.0024.7735.59
Downside Capture Ratio (%)-16.69-8.2215.24
Safe Withdrawal Rate5.43%5.51%5.61%
Perpetual Withdrawal Rate3.98%4.98%4.63%
Positive Periods299 out of 492 (60.77%)319 out of 492 (64.84%)361 out of 492 (73.37%)
Gain/Loss Ratio1.311.210.91
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Stress PeriodStartEnd10-year TreasuryLong-Term Corporate BondsHigh Yield Corporate Bonds
Black Monday PeriodSep 1987Nov 1987-3.24%-3.52%-7.03%
Asian CrisisJul 1997Jan 1998-1.84%-2.49%-0.14%
Russian Debt DefaultJul 1998Oct 1998-1.22%-2.53%-3.90%
Dotcom CrashMar 2000Oct 2002-6.60%-4.05%-6.93%
Subprime CrisisNov 2007Mar 2009-6.16%-16.82%-28.46%

Drawdowns for 10-year Treasury

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jul 1979Feb 19808 monthsMay 19803 months11 months-15.76%
2Jul 1980Sep 19811 year 3 monthsNov 19812 months1 year 5 months-14.57%
3Mar 1987Sep 19877 monthsJan 19884 months11 months-10.87%
4Aug 2012Dec 20131 year 5 monthsJan 20151 year 1 month2 years 6 months-10.21%
5Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-10.17%
6Nov 1993Nov 19941 year 1 monthMay 19956 months1 year 7 months-10.14%
7Oct 1998Jan 20001 year 4 monthsAug 20007 months1 year 11 months-9.34%
8Jun 2003Jul 20032 monthsOct 20041 year 3 months1 year 5 months-8.35%
9Feb 1984May 19844 monthsAug 19843 months7 months-7.99%
10Aug 2016Apr 20181 year 9 monthsMay 20191 year 1 month2 years 10 months-7.32%
Worst 10 drawdowns included above

Drawdowns for Long-Term Corporate Bonds

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Oct 200811 monthsDec 20082 months1 year 1 month-16.82%
2Sep 1979Feb 19806 monthsMay 19803 months9 months-13.48%
3May 2013Aug 20134 monthsMay 20149 months1 year 1 month-10.14%
4Feb 2015Jun 20155 monthsApr 201610 months1 year 3 months-10.06%
5Mar 1987Sep 19877 monthsJan 19884 months11 months-9.79%
6Jun 2003Jul 20032 monthsFeb 20047 months9 months-9.74%
7Jan 2018Oct 201810 monthsMar 20195 months1 year 3 months-8.87%
8Feb 1994Oct 19949 monthsApr 19956 months1 year 3 months-8.75%
9Sep 2016Nov 20163 monthsAug 20179 months1 year-8.46%
10Jan 2009Mar 20093 monthsJul 20094 months7 months-8.28%
Worst 10 drawdowns included above

Drawdowns for High Yield Corporate Bonds

RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Nov 20081 year 6 monthsSep 200910 months2 years 4 months-28.90%
2Aug 1990Oct 19903 monthsApr 19916 months9 months-12.50%
3Sep 1979Mar 19807 monthsMay 19802 months9 months-9.27%
4Apr 1987Oct 19877 monthsJan 19883 months10 months-8.32%
5Feb 1984May 19844 monthsSep 19844 months8 months-7.74%
6Jul 1981Sep 19813 monthsNov 19812 months5 months-7.30%
7Sep 1989Feb 19906 monthsJul 19905 months11 months-7.14%
8May 2002Jul 20023 monthsJan 20036 months9 months-6.93%
9Feb 1994Apr 19943 monthsFeb 199510 months1 year 1 month-6.83%
10Sep 2000Nov 20003 monthsJan 20012 months5 months-6.46%
Worst 10 drawdowns included above

Portfolio Assets

NameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
10-year Treasury7.59%8.46%39.57%-10.17%-15.76%0.390.610.03
Long-Term Corporate Bonds8.72%8.39%28.68%-6.23%-16.82%0.510.810.19
High Yield Corporate Bonds8.33%7.30%39.09%-21.29%-28.90%0.530.770.59

Portfolio Asset Performance

NameTotal ReturnAnnualized Return
3 MonthYear To Date1 year3 year5 year10 year
10-year Treasury-1.42%8.03%8.03%3.76%2.67%4.05%
Long-Term Corporate Bonds-0.32%20.41%20.41%8.23%5.98%7.97%
High Yield Corporate Bonds2.50%15.79%15.79%6.34%5.68%7.10%
Trailing returns as of last calendar month ending December 2019

Monthly Correlations

Name10-year TreasuryLong-Term Corporate BondsHigh Yield Corporate Bonds10-year TreasuryLong-Term Corporate BondsHigh Yield Corporate Bonds
10-year Treasury1.000.830.301.000.830.30
Long-Term Corporate Bonds0.831.000.550.831.000.55
High Yield Corporate Bonds0.300.551.000.300.551.00

Portfolio Return Decomposition

Name10-year TreasuryLong-Term Corporate BondsHigh Yield Corporate Bonds
10-year Treasury$190,572
Long-Term Corporate Bonds$298,051
High Yield Corporate Bonds$255,392
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Name10-year TreasuryLong-Term Corporate BondsHigh Yield Corporate Bonds
10-year Treasury100.00%
Long-Term Corporate Bonds100.00%
High Yield Corporate Bonds100.00%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling Returns

Roll Period10-year TreasuryLong-Term Corporate BondsHigh Yield Corporate Bonds
AverageHighLowAverageHighLowAverageHighLow
1 year8.08%44.35%-11.12%9.06%35.03%-15.51%8.65%46.80%-27.09%
3 years8.09%23.66%-0.75%9.02%19.81%-2.79%8.60%21.42%-6.82%
5 years8.16%23.75%0.21%9.01%18.42%0.80%8.50%19.83%-1.82%
7 years8.16%17.44%0.90%8.97%15.90%2.47%8.44%16.51%0.82%
10 years8.04%15.70%2.15%8.86%14.02%3.78%8.22%13.36%1.09%
15 years7.90%13.03%3.45%8.66%12.49%5.06%8.02%12.86%3.62%

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years