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

Portfolio View

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Leverage Type

Leverage Ratio

Debt Amount

$ .00

Debt Interest

Maintenance Margin

Leveraged Benchmark

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio #1

Portfolio #2

Portfolio #3

Asset Class Allocation

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 2002 - Dec 2022)

US Large Cap

Asset Class	Allocation
US Large Cap	100.00%
Save portfolio »

European Stocks

Asset Class	Allocation
European Stocks	100.00%
Save portfolio »

Gold

Asset Class	Allocation
Gold	100.00%
Save portfolio »

Performance Summary

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
US Large Cap	$1,000	$4,926	7.89%	15.17%	32.18%	-37.02%	-50.97%	0.50	0.72	1.00
European Stocks	$1,000	$2,926	5.25%	19.00%	38.70%	-44.73%	-59.72%	0.30	0.43	0.88
Gold	$1,000	$6,102	8.99%	16.65%	30.45%	-28.33%	-42.91%	0.53	0.87	0.07
Vanguard 500 Index Investor	$1,000	$4,925	7.89%	15.17%	32.18%	-37.02%	-50.97%	0.50	0.72	1.00

Portfolio Growth

Annual Returns

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return				Annualized Standard Deviation
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year	Full	3 year	5 year
US Large Cap	7.52%	-18.23%	-18.23%	7.52%	9.28%	12.41%	7.89%	21.17%	18.69%
European Stocks	21.04%	-16.15%	-16.15%	1.17%	1.81%	4.61%	5.25%	23.63%	20.17%
Gold	9.68%	-0.77%	-0.77%	5.88%	6.53%	0.46%	8.99%	15.04%	13.55%
Vanguard 500 Index Investor	7.52%	-18.23%	-18.23%	7.51%	9.28%	12.41%	7.89%	21.17%	18.69%
Trailing return and volatility are as of last calendar month ending December 2022

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.

Annualized Active Return

Rolling Active Return

Up vs. Down Market Performance

US Large Cap vs. Vanguard 500 Index Investor

Up vs. Down Market Performance - US Large Cap vs. Vanguard 500 Index Investor
Market Type	Occurrences				Average Active Return
Market Type	Above Benchmark	Below Benchmark	Total	% Above Benchmark	Above Benchmark	Below Benchmark	Total
Up Market	116	51	167	69%	0.00%	-0.00%	0.00%
Down Market	50	35	85	59%	0.00%	-0.00%	-0.00%
Total	166	86	252	66%	0.00%	-0.00%	0.00%

European Stocks vs. Vanguard 500 Index Investor

Up vs. Down Market Performance - European Stocks vs. Vanguard 500 Index Investor
Market Type	Occurrences				Average Active Return
Market Type	Above Benchmark	Below Benchmark	Total	% Above Benchmark	Above Benchmark	Below Benchmark	Total
Up Market	85	82	167	51%	2.20%	-2.01%	0.13%
Down Market	32	53	85	38%	1.86%	-2.27%	-0.71%
Total	117	135	252	46%	2.11%	-2.11%	-0.15%

Gold vs. Vanguard 500 Index Investor

Up vs. Down Market Performance - Gold vs. Vanguard 500 Index Investor
Market Type	Occurrences				Average Active Return
Market Type	Above Benchmark	Below Benchmark	Total	% Above Benchmark	Above Benchmark	Below Benchmark	Total
Up Market	55	112	167	33%	3.29%	-5.05%	-2.30%
Down Market	67	18	85	79%	6.82%	-2.56%	4.83%
Total	122	130	252	48%	5.23%	-4.71%	0.10%

Annual Returns

Annual returns for the configured portfolios
Year	Inflation	US Large Cap		European Stocks		Gold		Vanguard 500 Index Investor		US Large Cap	European Stocks	Gold
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	Return	Balance	US Large Cap	European Stocks	Gold
2002	2.38%	-22.15%	$779	-17.95%	$821	25.57%	$1,256	-22.15%	$779	-22.15%	-17.95%	25.57%
2003	1.88%	28.50%	$1,000	38.70%	$1,138	19.89%	$1,505	28.50%	$1,000	28.50%	38.70%	19.89%
2004	3.26%	10.74%	$1,108	20.86%	$1,376	4.65%	$1,575	10.74%	$1,108	10.74%	20.86%	4.65%
2005	3.42%	4.77%	$1,161	9.26%	$1,503	17.76%	$1,855	4.77%	$1,161	4.77%	9.26%	17.76%
2006	2.54%	15.64%	$1,342	33.42%	$2,005	22.55%	$2,274	15.64%	$1,342	15.64%	33.42%	22.55%
2007	4.08%	5.39%	$1,415	13.82%	$2,282	30.45%	$2,966	5.39%	$1,415	5.39%	13.82%	30.45%
2008	0.09%	-37.02%	$891	-44.73%	$1,261	4.92%	$3,112	-37.02%	$891	-37.02%	-44.73%	4.92%
2009	2.72%	26.49%	$1,127	31.91%	$1,664	24.03%	$3,860	26.49%	$1,127	26.49%	31.91%	24.03%
2010	1.50%	14.91%	$1,295	4.91%	$1,746	29.27%	$4,990	14.91%	$1,295	14.91%	4.91%	29.27%
2011	2.96%	1.97%	$1,320	-11.60%	$1,543	9.57%	$5,467	1.97%	$1,320	1.97%	-11.60%	9.57%
2012	1.74%	15.82%	$1,529	20.80%	$1,864	6.60%	$5,828	15.82%	$1,529	15.82%	20.80%	6.60%
2013	1.50%	32.18%	$2,022	24.70%	$2,325	-28.33%	$4,177	32.18%	$2,022	32.18%	24.70%	-28.33%
2014	0.76%	13.51%	$2,295	-6.67%	$2,170	-2.19%	$4,085	13.51%	$2,295	13.51%	-6.67%	-2.19%
2015	0.73%	1.25%	$2,323	-2.00%	$2,126	-10.67%	$3,649	1.25%	$2,323	1.25%	-2.00%	-10.67%
2016	2.07%	11.82%	$2,598	-0.80%	$2,109	8.03%	$3,942	11.82%	$2,598	11.82%	-0.80%	8.03%
2017	2.11%	21.67%	$3,161	26.82%	$2,675	12.81%	$4,447	21.67%	$3,161	21.67%	26.82%	12.81%
2018	1.91%	-4.53%	$3,018	-14.86%	$2,277	-1.94%	$4,361	-4.52%	$3,018	-4.53%	-14.86%	-1.94%
2019	2.29%	31.33%	$3,963	24.06%	$2,825	17.86%	$5,140	31.33%	$3,963	31.33%	24.06%	17.86%
2020	1.36%	18.25%	$4,686	6.30%	$3,003	24.81%	$6,415	18.25%	$4,686	18.25%	6.30%	24.81%
2021	7.04%	28.55%	$6,024	16.19%	$3,489	-4.15%	$6,149	28.53%	$6,023	28.55%	16.19%	-4.15%
2022	6.45%	-18.23%	$4,926	-16.15%	$2,926	-0.77%	$6,102	-18.23%	$4,925	-18.23%	-16.15%	-0.77%

Risk and Return Metrics

Portfolio return and risk metrics
Metric	US Large Cap	European Stocks	Gold	Vanguard 500 Index Investor
Arithmetic Mean (monthly)	0.73%	0.58%	0.83%	0.73%
Arithmetic Mean (annualized)	9.14%	7.18%	10.49%	9.14%
Geometric Mean (monthly)	0.63%	0.43%	0.72%	0.63%
Geometric Mean (annualized)	7.89%	5.25%	8.99%	7.89%
Standard Deviation (monthly)	4.38%	5.49%	4.81%	4.38%
Standard Deviation (annualized)	15.17%	19.00%	16.65%	15.17%
Downside Deviation (monthly)	2.99%	3.78%	2.89%	2.99%
Maximum Drawdown	-50.97%	-59.72%	-42.91%	-50.97%
Stock Market Correlation	1.00	0.88	0.07	1.00
Beta^(*)	1.00	1.10	0.07	1.00
Alpha (annualized)	0.00%	-2.68%	9.41%	0.00%
R²	100.00%	76.67%	0.40%	100.00%
Sharpe Ratio	0.50	0.30	0.53	0.50
Sortino Ratio	0.72	0.43	0.87	0.72
Treynor Ratio (%)	7.55	5.22	126.76	7.55
Calmar Ratio	0.31	0.04	0.33	0.31
Active Return	0.00%	-2.64%	1.11%	N/A
Tracking Error	0.00%	9.30%	21.81%	N/A
Information Ratio	0.16	-0.28	0.05	N/A
Skewness	-0.58	-0.44	0.01	-0.58
Excess Kurtosis	1.14	1.42	0.24	1.14
Historical Value-at-Risk (5%)	7.85%	9.41%	6.36%	7.85%
Analytical Value-at-Risk (5%)	6.47%	8.44%	7.07%	6.47%
Conditional Value-at-Risk (5%)	9.84%	12.80%	8.97%	9.84%
Upside Capture Ratio (%)	100.00	105.27	21.14	100.00
Downside Capture Ratio (%)	100.00	117.38	-18.81	100.00
Safe Withdrawal Rate	6.37%	6.98%	12.29%	6.37%
Perpetual Withdrawal Rate	5.00%	2.61%	5.96%	5.00%
Positive Periods	166 out of 252 (65.87%)	143 out of 252 (56.75%)	134 out of 252 (53.17%)	166 out of 252 (65.87%)
Gain/Loss Ratio	0.79	0.99	1.37	0.79
^* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are monthly values.

Drawdowns

Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress Period	Start	End	US Large Cap	European Stocks	Gold	Vanguard 500 Index Investor
Subprime Crisis	Nov 2007	Mar 2009	-50.97%	-59.72%	-25.83%	-50.97%
COVID-19 Start	Jan 2020	Mar 2020	-19.63%	-25.69%	-0.86%	-19.63%

Drawdowns for US Large Cap

Drawdowns for US Large Cap (worst 10)
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	Apr 2002	Sep 2002	6 months	Jan 2004	1 year 4 months	1 year 10 months	-28.34%
3	Jan 2022	Sep 2022	9 months				-23.95%
4	Jan 2020	Mar 2020	3 months	Jul 2020	4 months	7 months	-19.63%
5	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.55%
6	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
7	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-6.38%
8	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.36%
9	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-6.16%
10	Jun 2007	Jul 2007	2 months	Sep 2007	2 months	4 months	-4.71%
Worst 10 drawdowns included above

Drawdowns for European Stocks

Drawdowns for European Stocks (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Apr 2014	5 years 2 months	6 years 6 months	-59.72%
2	Sep 2021	Sep 2022	1 year 1 month				-30.89%
3	Apr 2002	Sep 2002	6 months	Oct 2003	1 year 1 month	1 year 7 months	-25.96%
4	Jan 2020	Mar 2020	3 months	Nov 2020	8 months	11 months	-25.69%
5	Jun 2014	Feb 2016	1 year 9 months	May 2017	1 year 3 months	3 years	-20.77%
6	Feb 2018	Dec 2018	11 months	Dec 2019	1 year	1 year 11 months	-19.31%
7	Jan 2002	Jan 2002	1 month	Mar 2002	2 months	3 months	-5.09%
8	Mar 2005	May 2005	3 months	Jul 2005	2 months	5 months	-4.49%
9	Mar 2004	Apr 2004	2 months	Sep 2004	5 months	7 months	-3.93%
10	Oct 2005	Oct 2005	1 month	Dec 2005	2 months	3 months	-3.23%
Worst 10 drawdowns included above

Drawdowns for Gold

Drawdowns for Gold (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Sep 2011	Dec 2015	4 years 4 months	Jul 2020	4 years 7 months	8 years 11 months	-42.91%
2	Mar 2008	Oct 2008	8 months	May 2009	7 months	1 year 3 months	-25.83%
3	Aug 2020	Oct 2022	2 years 3 months				-18.08%
4	Feb 2003	Mar 2003	2 months	Aug 2003	5 months	7 months	-8.88%
5	Dec 2004	May 2005	6 months	Sep 2005	4 months	10 months	-8.64%
6	May 2006	Sep 2006	5 months	Feb 2007	5 months	10 months	-8.63%
7	Dec 2009	Jan 2010	2 months	May 2010	4 months	6 months	-8.37%
8	Apr 2004	Apr 2004	1 month	Oct 2004	6 months	7 months	-8.31%
9	Jun 2002	Jul 2002	2 months	Dec 2002	5 months	7 months	-6.72%
10	Jan 2011	Jan 2011	1 month	Mar 2011	2 months	3 months	-6.38%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
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	Apr 2002	Sep 2002	6 months	Jan 2004	1 year 4 months	1 year 10 months	-28.34%
3	Jan 2022	Sep 2022	9 months				-23.95%
4	Jan 2020	Mar 2020	3 months	Jul 2020	4 months	7 months	-19.63%
5	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.55%
6	Aug 2015	Sep 2015	2 months	May 2016	8 months	10 months	-8.38%
7	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-6.38%
8	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.36%
9	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-6.16%
10	Jun 2007	Jul 2007	2 months	Sep 2007	2 months	4 months	-4.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Name	CAGR	Stdev	Best Year	Worst Year	Max Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
US Large Cap	7.89%	15.17%	32.18%	-37.02%	-50.97%	0.50	0.72	1.00
European Stocks	5.25%	19.00%	38.70%	-44.73%	-59.72%	0.30	0.43	0.88
Gold	8.99%	16.65%	30.45%	-28.33%	-42.91%	0.53	0.87	0.07

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Annualized Return
Name	3 Month	Year To Date	1 year	3 year	5 year	10 year
US Large Cap	7.52%	-18.23%	-18.23%	7.52%	9.28%	12.41%
European Stocks	21.04%	-16.15%	-16.15%	1.17%	1.81%	4.61%
Gold	9.68%	-0.77%	-0.77%	5.88%	6.53%	0.46%
Trailing returns as of last calendar month ending December 2022

Monthly Correlations

Correlations for the portfolio assets
Name	US Large Cap	European Stocks	Gold	US Large Cap	European Stocks	Gold	Vanguard 500 Index Investor
US Large Cap	1.00	0.88	0.06	1.00	0.88	0.06	1.00
European Stocks	0.88	1.00	0.17	0.88	1.00	0.17	0.88
Gold	0.06	0.17	1.00	0.06	0.17	1.00	0.06

Portfolio Return Decomposition

Portfolio return decomposition
Name	US Large Cap	European Stocks	Gold
US Large Cap	$3,926
European Stocks		$1,926
Gold			$5,102
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
Name	US Large Cap	European Stocks	Gold
US Large Cap	100.00%
European Stocks		100.00%
Gold			100.00%
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

Rolling returns summary
Roll Period	US Large Cap			European Stocks			Gold			Vanguard 500 Index Investor
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low	Average	High	Low
1 year	10.56%	56.19%	-43.32%	8.19%	58.49%	-52.92%	9.98%	54.21%	-28.33%	10.56%	56.19%	-43.32%
3 years	9.93%	25.91%	-15.18%	6.62%	30.68%	-15.29%	9.45%	32.87%	-15.02%	9.93%	25.91%	-15.18%
5 years	9.47%	22.85%	-6.73%	5.67%	25.49%	-8.16%	8.70%	23.37%	-8.06%	9.47%	22.85%	-6.73%
7 years	9.16%	17.13%	-3.94%	4.70%	11.95%	-1.18%	8.00%	23.33%	-6.20%	9.16%	17.12%	-3.94%
10 years	9.88%	16.52%	2.82%	5.18%	9.90%	0.31%	7.00%	19.55%	-1.05%	9.88%	16.52%	2.82%
15 years	9.05%	10.77%	6.57%	4.94%	8.93%	0.32%	7.98%	10.26%	4.49%	9.05%	10.77%	6.57%

Backtest Portfolio Asset Class Allocation

Asset Class Allocation Overview

Portfolio Model Configuration

Asset Class Allocation

Portfolio Analysis Results (Jan 2002 - Dec 2022)

US Large Cap

European Stocks

Gold

Performance Summary

Portfolio Growth

Annual Returns

Trailing Returns

Annualized Active Return

Rolling Active Return

Up vs. Down Market Performance

US Large Cap vs. Vanguard 500 Index Investor

European Stocks vs. Vanguard 500 Index Investor

Gold vs. Vanguard 500 Index Investor

Annual Returns

Risk and Return Metrics

Drawdowns

Historical Market Stress Periods

Drawdowns for US Large Cap

Drawdowns for European Stocks

Drawdowns for Gold

Drawdowns for Vanguard 500 Index Investor

Portfolio Assets

Portfolio Asset Performance

Monthly Correlations

Portfolio Return Decomposition

Portfolio Risk Decomposition

Annual Asset Returns

Rolling Returns

Annualized Rolling Return - 3 Years

Annualized Rolling Return - 5 Years