Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. 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.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
Asset 1
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Aug 2002 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 50.00%
VTI Vanguard Total Stock Market ETF 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$35,716 9.23% 14.56%33.45%-36.98%-50.84% 0.600.881.00
Portfolio 2$10,000$25,160 6.61% 13.46%33.96%-21.80%-21.80% 0.450.75-0.31
Portfolio 3$10,000$34,093 8.88% 8.32%19.77%-4.82%-20.64% 0.921.400.61
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • 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.
  • 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.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2002 are based on monthly returns from August to December
  • 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 (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The backtested results assume quarterly rebalancing of portfolio assets to match the specified allocation
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20020.44%-2.02%9.72%4.26%$9,798$10,972$10,426-2.02%9.72%
20031.88%30.75%1.62%15.75%$12,811$11,150$12,06930.75%1.62%
20043.26%12.79%8.71%10.99%$14,449$12,122$13,39512.79%8.71%
20053.42%6.31%8.61%7.61%$15,360$13,165$14,4146.31%8.61%
20062.54%15.69%0.71%8.16%$17,771$13,259$15,59015.69%0.71%
20074.08%5.37%10.29%8.04%$18,726$14,623$16,8445.37%10.29%
20080.09%-36.98%33.93%-4.82%$11,801$19,584$16,032-36.98%33.93%
20092.72%28.89%-21.80%1.63%$15,211$15,314$16,29328.89%-21.80%
20101.50%17.42%9.05%14.86%$17,861$16,700$18,71417.42%9.05%
20112.96%0.97%33.96%19.17%$18,034$22,371$22,3020.97%33.96%
20121.74%16.45%2.63%10.19%$21,001$22,960$24,57516.45%2.63%
20131.50%33.45%-13.37%8.17%$28,026$19,890$26,58433.45%-13.37%
20140.76%12.54%27.30%19.77%$31,542$25,319$31,84012.54%27.30%
20150.73%0.36%-1.79%-0.29%$31,655$24,867$31,7480.36%-1.79%
20162.07%12.83%1.18%7.39%$35,716$25,160$34,09312.83%1.18%
Annual returns for 2002 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Market ETF (VTI)iShares 20+ Year Treasury Bond ETF (TLT)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200280.76%5.51%3.14%$10,076$10,551$10,3140.76%5.51%
20029-10.10%4.25%-2.76%$9,058$11,000$10,029-10.10%4.25%
2002107.49%-3.69%1.90%$9,737$10,594$10,2207.49%-3.69%
2002116.00%-0.91%2.73%$10,321$10,497$10,4996.00%-0.91%
200212-5.07%4.53%-0.70%$9,798$10,972$10,426-5.07%4.53%
20031-2.77%-0.58%-1.67%$9,526$10,909$10,252-2.77%-0.58%
20032-1.54%3.10%0.80%$9,379$11,247$10,334-1.54%3.10%
200330.76%-1.37%-0.34%$9,451$11,094$10,2990.76%-1.37%
200348.61%1.05%4.83%$10,265$11,210$10,7968.61%1.05%
200355.83%6.32%6.07%$10,863$11,918$11,4515.83%6.32%
200361.62%-1.80%-0.03%$11,039$11,703$11,4481.62%-1.80%
200372.33%-9.98%-3.83%$11,296$10,535$11,0092.33%-9.98%
200382.39%1.31%1.88%$11,566$10,673$11,2172.39%1.31%
20039-1.06%5.94%2.20%$11,444$11,307$11,464-1.06%5.94%
2003106.05%-3.03%1.51%$12,137$10,965$11,6376.05%-3.03%
2003111.50%0.34%0.95%$12,319$11,002$11,7471.50%0.34%
2003124.00%1.35%2.74%$12,811$11,150$12,0694.00%1.35%
200412.61%1.86%2.24%$13,146$11,358$12,3392.61%1.86%
200421.40%2.28%1.84%$13,330$11,617$12,5661.40%2.28%
20043-1.03%1.41%0.19%$13,193$11,781$12,590-1.03%1.41%
20044-2.22%-6.23%-4.23%$12,899$11,046$12,057-2.22%-6.23%
200451.45%-0.26%0.61%$13,087$11,018$12,1311.45%-0.26%
200462.03%1.06%1.56%$13,353$11,134$12,3212.03%1.06%
20047-3.56%1.53%-1.01%$12,878$11,305$12,196-3.56%1.53%
200480.06%4.17%2.16%$12,885$11,776$12,4600.06%4.17%
200491.68%0.95%1.30%$13,102$11,887$12,6221.68%0.95%
2004101.80%1.77%1.78%$13,338$12,097$12,8471.80%1.77%
2004114.74%-2.39%1.17%$13,970$11,808$12,9974.74%-2.39%
2004123.43%2.66%3.06%$14,449$12,122$13,3953.43%2.66%
20051-2.50%3.57%0.53%$14,088$12,554$13,466-2.50%3.57%
200522.09%-1.47%0.25%$14,382$12,369$13,5012.09%-1.47%
20053-1.87%-0.45%-1.15%$14,112$12,313$13,345-1.87%-0.45%
20054-2.20%3.86%0.83%$13,802$12,789$13,455-2.20%3.86%
200553.88%3.14%3.50%$14,337$13,190$13,9263.88%3.14%
200560.76%2.16%1.48%$14,446$13,475$14,1320.76%2.16%
200574.38%-3.38%0.50%$15,078$13,020$14,2034.38%-3.38%
20058-1.09%3.48%1.11%$14,914$13,473$14,360-1.09%3.48%
200590.79%-3.61%-1.37%$15,032$12,987$14,1630.79%-3.61%
200510-2.35%-2.24%-2.29%$14,679$12,696$13,838-2.35%-2.24%
2005114.62%0.69%2.65%$15,357$12,784$14,2054.62%0.69%
2005120.02%2.98%1.48%$15,360$13,165$14,4140.02%2.98%
200613.22%-1.34%0.94%$15,855$12,989$14,5503.22%-1.34%
200620.22%1.11%0.65%$15,890$13,133$14,6450.22%1.11%
200632.05%-4.57%-1.20%$16,216$12,533$14,4702.05%-4.57%
200640.96%-2.75%-0.90%$16,371$12,188$14,3400.96%-2.75%
20065-3.22%-0.19%-1.73%$15,843$12,165$14,091-3.22%-0.19%
200660.13%1.18%0.65%$15,864$12,308$14,1830.13%1.18%
20067-0.12%2.16%1.02%$15,845$12,575$14,328-0.12%2.16%
200682.30%3.06%2.68%$16,209$12,959$14,7122.30%3.06%
200692.26%1.91%2.08%$16,575$13,207$15,0192.26%1.91%
2006103.53%0.85%2.19%$17,160$13,319$15,3473.53%0.85%
2006112.33%2.31%2.32%$17,560$13,626$15,7032.33%2.31%
2006121.20%-2.69%-0.72%$17,771$13,259$15,5901.20%-2.69%
200711.86%-1.00%0.43%$18,102$13,127$15,6581.86%-1.00%
20072-1.62%3.39%0.85%$17,808$13,572$15,790-1.62%3.39%
200731.12%-1.70%-0.30%$18,008$13,341$15,7421.12%-1.70%
200744.02%0.90%2.46%$18,732$13,462$16,1304.02%0.90%
200753.72%-2.31%0.75%$19,430$13,150$16,2513.72%-2.31%
20076-1.76%-1.01%-1.40%$19,088$13,017$16,023-1.76%-1.01%
20077-3.53%3.32%-0.11%$18,413$13,449$16,006-3.53%3.32%
200781.47%1.79%1.64%$18,684$13,689$16,2671.47%1.79%
200793.85%0.23%1.97%$19,403$13,721$16,5883.85%0.23%
2007101.79%1.81%1.80%$19,751$13,969$16,8871.79%1.81%
200711-4.52%5.35%0.41%$18,857$14,716$16,957-4.52%5.35%
200712-0.70%-0.64%-0.67%$18,726$14,623$16,844-0.70%-0.64%
20081-6.17%2.10%-2.04%$17,571$14,929$16,502-6.17%2.10%
20082-2.50%-0.46%-1.43%$17,132$14,861$16,265-2.50%-0.46%
20083-0.90%2.14%0.70%$16,979$15,179$16,379-0.90%2.14%
200844.89%-2.48%1.20%$17,809$14,803$16,5764.89%-2.48%
200852.02%-2.69%-0.25%$18,168$14,405$16,5352.02%-2.69%
20086-8.12%2.65%-3.06%$16,693$14,787$16,029-8.12%2.65%
20087-0.62%-0.37%-0.50%$16,588$14,732$15,950-0.62%-0.37%
200881.46%2.74%2.10%$16,831$15,136$16,2851.46%2.74%
20089-9.24%1.47%-3.84%$15,275$15,359$15,659-9.24%1.47%
200810-17.48%-1.86%-9.67%$12,606$15,072$14,145-17.48%-1.86%
200811-8.01%14.34%4.13%$11,595$17,234$14,729-8.01%14.34%
2008121.78%13.64%8.85%$11,801$19,584$16,0321.78%13.64%
20091-8.05%-13.07%-10.56%$10,852$17,025$14,340-8.05%-13.07%
20092-10.53%-1.54%-6.16%$9,710$16,763$13,457-10.53%-1.54%
200938.26%4.04%6.11%$10,512$17,441$14,2798.26%4.04%
2009410.99%-6.95%2.02%$11,667$16,228$14,56710.99%-6.95%
200955.46%-3.69%1.29%$12,305$15,628$14,7555.46%-3.69%
200960.36%0.76%0.54%$12,349$15,747$14,8340.36%0.76%
200977.74%0.58%4.16%$13,305$15,838$15,4517.74%0.58%
200983.71%2.24%3.00%$13,799$16,192$15,9143.71%2.24%
200994.14%2.46%3.33%$14,370$16,590$16,4444.14%2.46%
200910-2.63%-2.62%-2.63%$13,992$16,156$16,013-2.63%-2.62%
2009115.69%1.21%3.45%$14,788$16,352$16,5665.69%1.21%
2009122.86%-6.34%-1.64%$15,211$15,314$16,2932.86%-6.34%
20101-3.57%2.69%-0.44%$14,669$15,727$16,222-3.57%2.69%
201023.44%-0.34%1.49%$15,173$15,673$16,4643.44%-0.34%
201036.40%-2.06%2.12%$16,144$15,351$16,8126.40%-2.06%
201042.18%3.32%2.75%$16,496$15,861$17,2752.18%3.32%
20105-7.88%5.11%-1.35%$15,196$16,671$17,042-7.88%5.11%
20106-5.83%5.80%0.40%$14,309$17,638$17,109-5.83%5.80%
201077.02%-0.95%3.04%$15,314$17,471$17,6297.02%-0.95%
20108-4.71%8.40%1.59%$14,592$18,937$17,909-4.71%8.40%
201099.45%-2.51%3.31%$15,972$18,461$18,5039.45%-2.51%
2010104.03%-4.47%-0.22%$16,615$17,636$18,4624.03%-4.47%
2010110.51%-1.69%-0.54%$16,699$17,339$18,3620.51%-1.69%
2010126.96%-3.68%1.92%$17,861$16,700$18,7146.96%-3.68%
201112.05%-3.08%-0.52%$18,227$16,185$18,6182.05%-3.08%
201123.70%1.65%2.70%$18,901$16,453$19,1213.70%1.65%
201130.42%0.03%0.23%$18,980$16,457$19,1650.42%0.03%
201142.90%2.34%2.62%$19,530$16,842$19,6662.90%2.34%
20115-1.06%3.42%1.17%$19,322$17,418$19,897-1.06%3.42%
20116-1.79%-2.33%-2.07%$18,976$17,013$19,486-1.79%-2.33%
20117-2.27%4.42%1.07%$18,546$17,764$19,695-2.27%4.42%
20118-6.09%9.66%2.05%$17,417$19,481$20,099-6.09%9.66%
20119-7.57%13.20%3.96%$16,097$22,052$20,894-7.57%13.20%
20111011.37%-3.84%3.76%$17,927$21,206$21,68011.37%-3.84%
201111-0.37%1.98%0.72%$17,860$21,626$21,836-0.37%1.98%
2011120.98%3.44%2.13%$18,034$22,371$22,3020.98%3.44%
201215.07%-0.33%2.37%$18,949$22,297$22,8305.07%-0.33%
201224.22%-2.59%0.90%$19,748$21,719$23,0364.22%-2.59%
201233.06%-4.23%-0.37%$20,352$20,799$22,9523.06%-4.23%
20124-0.64%4.83%2.10%$20,223$21,804$23,433-0.64%4.83%
20125-6.23%9.03%1.60%$18,964$23,773$23,810-6.23%9.03%
201264.05%-1.68%0.89%$19,733$23,373$24,0224.05%-1.68%
201270.88%3.82%2.35%$19,905$24,264$24,5860.88%3.82%
201282.70%-1.32%0.66%$20,443$23,944$24,7492.70%-1.32%
201292.49%-2.53%-0.01%$20,953$23,338$24,7472.49%-2.53%
201210-1.81%-0.48%-1.15%$20,574$23,225$24,464-1.81%-0.48%
2012110.77%1.38%1.08%$20,734$23,546$24,7280.77%1.38%
2012121.29%-2.49%-0.62%$21,001$22,960$24,5751.29%-2.49%
201315.42%-3.19%1.12%$22,139$22,229$24,8495.42%-3.19%
201321.28%1.24%1.26%$22,422$22,505$25,1631.28%1.24%
201333.95%-0.42%1.86%$23,307$22,410$25,6303.95%-0.42%
201341.61%4.68%3.14%$23,681$23,459$26,4361.61%4.68%
201352.44%-6.76%-2.23%$24,260$21,873$25,8472.44%-6.76%
20136-1.43%-3.27%-2.32%$23,913$21,157$25,247-1.43%-3.27%
201375.75%-2.26%1.74%$25,287$20,679$25,6875.75%-2.26%
20138-3.03%-1.34%-2.22%$24,520$20,403$25,118-3.03%-1.34%
201393.90%0.66%2.33%$25,477$20,537$25,7023.90%0.66%
2013104.27%1.43%2.85%$26,564$20,831$26,4344.27%1.43%
2013112.70%-2.70%0.04%$27,282$20,268$26,4452.70%-2.70%
2013122.73%-1.87%0.53%$28,026$19,890$26,5842.73%-1.87%
20141-3.17%6.30%1.57%$27,138$21,144$27,000-3.17%6.30%
201424.87%0.52%2.59%$28,459$21,254$27,7004.87%0.52%
201430.51%0.73%0.62%$28,603$21,409$27,8720.51%0.73%
201440.06%2.10%1.08%$28,621$21,858$28,1730.06%2.10%
201452.10%2.95%2.53%$29,222$22,502$28,8862.10%2.95%
201462.62%-0.25%1.17%$29,989$22,446$29,2232.62%-0.25%
20147-1.99%0.67%-0.66%$29,391$22,596$29,029-1.99%0.67%
201484.15%4.72%4.44%$30,611$23,663$30,3174.15%4.72%
20149-2.10%-2.11%-2.10%$29,968$23,164$29,680-2.10%-2.11%
2014102.75%2.81%2.78%$30,791$23,815$30,5052.75%2.81%
2014112.48%2.97%2.72%$31,555$24,522$31,3352.48%2.97%
201412-0.04%3.25%1.61%$31,542$25,319$31,840-0.04%3.25%
20151-2.74%9.82%3.54%$30,679$27,805$32,967-2.74%9.82%
201525.74%-6.14%-0.56%$32,441$26,098$32,7835.74%-6.14%
20153-1.16%1.10%-0.03%$32,066$26,384$32,774-1.16%1.10%
201540.62%-3.43%-1.41%$32,263$25,480$32,3130.62%-3.43%
201551.30%-2.37%-0.50%$32,682$24,876$32,1521.30%-2.37%
20156-1.67%-4.07%-2.83%$32,134$23,864$31,243-1.67%-4.07%
201571.70%4.55%3.12%$32,681$24,949$32,2201.70%4.55%
20158-6.09%-0.69%-3.35%$30,690$24,777$31,139-6.09%-0.69%
20159-2.92%1.97%-0.38%$29,793$25,264$31,022-2.92%1.97%
2015107.91%-0.41%3.75%$32,150$25,160$32,1857.91%-0.41%
2015110.60%-0.87%-0.10%$32,344$24,942$32,1520.60%-0.87%
201512-2.13%-0.30%-1.26%$31,655$24,867$31,748-2.13%-0.30%
20161-5.72%5.57%-0.08%$29,843$26,253$31,724-5.72%5.57%
20162-0.01%3.09%1.63%$29,840$27,063$32,239-0.01%3.09%
201637.11%-0.09%3.25%$31,963$27,039$33,2887.11%-0.09%
201640.66%-0.74%-0.04%$32,173$26,839$33,2750.66%-0.74%
201651.73%0.81%1.27%$32,731$27,056$33,6991.73%0.81%
201660.27%6.93%3.57%$32,821$28,932$34,9000.27%6.93%
201673.98%2.10%3.04%$34,125$29,540$35,9603.98%2.10%
201680.21%-1.01%-0.40%$34,196$29,241$35,8180.21%-1.01%
201690.21%-1.51%-0.64%$34,267$28,800$35,5890.21%-1.51%
201610-2.19%-4.38%-3.29%$33,516$27,538$34,420-2.19%-4.38%
2016114.49%-8.21%-1.79%$35,021$25,276$33,8044.49%-8.21%
2016121.98%-0.46%0.85%$35,716$25,160$34,0931.98%-0.46%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value37.11%0.00%18.66%
Large-cap Growth43.11%0.00%22.04%
Mid-cap Value4.82%0.00%2.33%
Mid-cap Growth7.71%0.00%3.79%
Small-cap Value3.76%0.00%1.74%
Small-cap Growth2.53%0.00%1.24%
Global ex-US Developed Markets0.39%0.00%0.15%
Emerging Markets0.56%0.00%0.16%
REITs0.00%0.00%0.00%
Corporate Bonds0.00%0.00%0.55%
Long-Term Treasuries0.00%100.00%49.32%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.88%100.00%99.91%
Style analysis is based on monthly returns from Apr 2005 to Dec 2016 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend100.00%0.03%19.23$25,716100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
TLTiShares 20+ Year Treasury Bond ETFLong Government100.00%0.15%18.93$15,160100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
TLTiShares 20+ Year Treasury Bond ETFLong Government50.00%0.15%18.93$9,52645.83%
VTIVanguard Total Stock Market ETFLarge Blend50.00%0.03%19.23$14,56754.17%
100.00%0.09%19.2318.93$24,093100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/29/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.83%0.61%0.74%
Arithmetic Mean (annualized)10.40%7.56%9.26%
Geometric Mean (monthly)0.74%0.53%0.71%
Geometric Mean (annualized)9.23%6.61%8.88%
Volatility (monthly)4.20%3.88%2.40%
Volatility (annualized)14.56%13.46%8.32%
Downside Deviation (monthly)2.83%2.31%1.54%
Max. Drawdown-50.84%-21.80%-20.64%
US Market Correlation1.00-0.310.61
Beta(*)1.00-0.290.35
Alpha (annualized)0.13%10.16%5.46%
R299.86%9.88%37.24%
Sharpe Ratio0.600.450.92
Sortino Ratio0.880.751.40
Treynor Ratio (%)8.70-20.9121.94
Calmar Ratio0.950.551.44
Active Return0.14%-2.48%-0.21%
Tracking Error0.55%22.70%11.53%
Information Ratio0.26-0.11-0.02
Skewness-0.730.34-1.01
Excess Kurtosis1.942.164.49
Historical Value-at-Risk (5%)-7.67%-5.04%-3.12%
Analytical Value-at-Risk (5%)-6.08%-5.78%-3.16%
Conditional Value-at-Risk (5%)-9.93%-7.96%-5.62%
Upside Capture Ratio (%)100.60-5.2246.07
Downside Capture Ratio (%)100.09-56.8122.95
Safe Withdrawal Rate10.06%9.41%10.34%
Perpetual Withdrawal Rate6.33%4.11%6.03%
Positive Periods114 out of 173 (65.90%)94 out of 173 (54.34%)113 out of 173 (65.32%)
Gain/Loss Ratio0.861.281.20
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-50.84%-14.41%-20.64%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.84%
2Sep 2002Sep 20021 monthNov 20022 months3 months-10.10%
3Dec 2002Feb 20033 monthsMay 20033 months6 months-9.12%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.82%
6Jun 2007Jul 20072 monthsOct 20073 months5 months-5.23%
7Jan 2005Apr 20054 monthsJul 20053 months7 months-4.48%
8Jul 2004Jul 20041 monthNov 20044 months5 months-3.56%
9Mar 2004Apr 20042 monthsJun 20042 months4 months-3.23%
10May 2006May 20061 monthSep 20064 months5 months-3.22%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Dec 20091 yearSep 20111 year 9 months2 years 9 months-21.80%
2Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-18.03%
3Aug 2016Dec 20165 months-14.83%
4Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-14.17%
5Jun 2003Jul 20032 monthsOct 20041 year 3 months1 year 5 months-11.60%
6Jul 2005May 200611 monthsNov 20066 months1 year 5 months-9.72%
7Jan 2012Mar 20123 monthsMay 20122 months5 months-7.03%
8Apr 2008May 20082 monthsSep 20084 months6 months-5.10%
9Oct 2002Nov 20022 monthsFeb 20033 months5 months-4.57%
10Dec 2006Jun 20077 monthsAug 20072 months9 months-4.47%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsApr 20101 year 2 months2 years 5 months-20.64%
2Aug 2016Nov 20164 months-6.00%
3Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-5.90%
4May 2013Aug 20134 monthsNov 20133 months7 months-4.99%
5Apr 2004Apr 20041 monthSep 20045 months6 months-4.23%
6Jun 2003Jul 20032 monthsSep 20032 months4 months-3.86%
7Mar 2006May 20063 monthsAug 20063 months6 months-3.78%
8Sep 2005Oct 20052 monthsDec 20052 months4 months-3.64%
9Sep 2002Sep 20021 monthNov 20022 months3 months-2.76%
10Dec 2002Jan 20032 monthsApr 20033 months5 months-2.36%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF9.23%14.56%33.45%-36.98%-50.84%0.600.881.00
TLTiShares 20+ Year Treasury Bond ETF6.61%13.46%33.96%-21.80%-21.80%0.450.75-0.31

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTITLTPortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF1.00-0.321.00-0.320.61
TLTiShares 20+ Year Treasury Bond ETF-0.321.00-0.321.000.56

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF$25,716$14,567
TLTiShares 20+ Year Treasury Bond ETF$15,160$9,526

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VTIVanguard Total Stock Market ETF100.00%54.17%
TLTiShares 20+ Year Treasury Bond ETF100.00%45.83%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year11.20%33.45%-36.98%7.22%33.96%-21.80%9.04%19.77%-4.82%
3 years9.00%20.48%-8.41%6.86%14.45%2.70%8.82%14.68%1.48%
5 years8.03%18.88%-1.63%6.95%11.92%0.31%8.55%14.34%4.00%
7 years7.71%15.14%3.22%6.65%9.15%3.47%8.42%11.12%6.47%
10 years7.78%8.14%7.23%6.89%7.66%5.96%8.51%9.04%8.14%
Result statistics are based on annualized rolling returns over full calendar year periods