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 (Jul 2006 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 50.00%
IEF iShares 7-10 Year Treasury Bond ETF 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 80.00%
IEF iShares 7-10 Year Treasury Bond ETF 20.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
SSO ProShares Ultra S&P500 50.00%
VUSTX Vanguard Long-Term Treasury Inv 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$23,408 7.04% 6.77%13.11%-9.45%-20.14% 0.891.350.88
Portfolio 2$10,000$25,148 7.66% 11.03%24.63%-25.86%-39.28% 0.640.920.99
Portfolio 3$10,000$35,283 10.61% 13.40%28.72%-22.71%-41.90% 0.751.090.88
Vanguard 500 Index Investor$10,000$25,327 7.72% 14.42%32.18%-37.02%-50.97% 0.520.741.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-5.38%-1.78%5.46%5.76%8.22%7.04%5.15%5.25%
Portfolio 2-10.38%-3.45%7.71%7.34%11.15%7.66%8.43%8.46%
Portfolio 3-13.04%-8.26%8.92%9.83%14.24%10.61%11.23%11.22%
Vanguard 500 Index Investor-13.55%-4.52%9.11%8.34%12.97%7.72%10.96%10.95%
Trailing annualized return and volatility are for full months ending in December 2018 excluding portfolio cashflows.
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 2006 are based on monthly returns from July 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 results assume annual 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
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorSPDR S&P 500 ETF Trust (SPY)iShares 7-10 Year Treasury Bond ETF (IEF)ProShares Ultra S&P500 (SSO)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
2006-0.54%8.84%$10,88410.96%$11,09614.72%$11,47212.66%$11,26612.38%5.30%22.63%6.81%
20074.08%7.75%$11,7286.18%$11,7825.14%$12,0615.39%$11,8735.14%10.37%1.04%9.24%
20080.09%-9.45%$10,620-25.86%$8,735-22.71%$9,322-37.02%$7,478-36.81%17.91%-67.94%22.52%
20092.72%9.89%$11,67019.77%$10,46217.61%$10,96326.49%$9,45826.36%-6.59%47.26%-12.05%
20101.50%12.21%$13,09513.92%$11,91817.88%$12,92414.91%$10,86915.06%9.37%26.83%8.93%
20112.96%8.76%$14,2434.64%$12,47113.18%$14,6271.97%$11,0821.89%15.64%-2.92%29.28%
20121.74%9.83%$15,64213.53%$14,15817.25%$17,15015.82%$12,83615.99%3.66%31.04%3.47%
20131.50%13.11%$17,69324.63%$17,64528.72%$22,07632.18%$16,96632.31%-6.09%70.46%-13.03%
20140.76%11.26%$19,68612.58%$19,86525.40%$27,68413.51%$19,25813.46%9.07%25.53%25.28%
20150.73%1.38%$19,9581.30%$20,124-1.37%$27,3061.25%$19,4991.25%1.51%-1.19%-1.54%
20162.07%6.50%$21,2569.80%$22,09711.37%$30,41111.82%$21,80312.00%1.00%21.55%1.20%
20172.11%12.13%$23,83317.87%$26,04626.47%$38,46121.67%$26,52721.70%2.55%44.35%8.58%
20181.91%-1.78%$23,408-3.45%$25,148-8.26%$35,283-4.52%$25,327-4.56%0.99%-14.62%-1.90%
Annual return for 2006 is from 07/01/2006 to 12/31/2006
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorSPDR S&P 500 ETF Trust (SPY)iShares 7-10 Year Treasury Bond ETF (IEF)ProShares Ultra S&P500 (SSO)Vanguard Long-Term Treasury Inv (VUSTX)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
200671.06%$10,1060.69%$10,0691.16%$10,1160.61%$10,0610.45%1.68%0.48%1.84%
200681.97%$10,3062.10%$10,2813.49%$10,4692.36%$10,2982.18%1.76%4.25%2.74%
200691.95%$10,5062.40%$10,5273.14%$10,7972.56%$10,5622.70%1.21%4.69%1.58%
2006101.85%$10,7012.63%$10,8043.18%$11,1413.25%$10,9063.15%0.54%5.52%0.77%
2006111.65%$10,8781.86%$11,0052.66%$11,4371.89%$11,1121.99%1.31%3.35%1.91%
2006120.06%$10,8840.83%$11,0960.30%$11,4721.39%$11,2661.34%-1.28%2.52%-2.14%
200710.55%$10,9441.12%$11,2210.64%$11,5451.49%$11,4351.50%-0.40%2.12%-0.85%
200720.03%$10,947-1.17%$11,090-0.88%$11,443-1.97%$11,209-1.96%2.06%-4.57%2.93%
200730.50%$11,0020.90%$11,1890.35%$11,4831.11%$11,3341.16%-0.14%1.90%-1.13%
200742.51%$11,2783.66%$11,5984.68%$12,0214.42%$11,8354.43%0.61%8.57%0.86%
200751.03%$11,3952.46%$11,8832.23%$12,2893.48%$12,2463.39%-1.39%6.17%-1.93%
20076-0.98%$11,283-1.28%$11,732-2.42%$11,991-1.68%$12,041-1.46%-0.47%-3.77%-0.88%
20077-0.53%$11,223-2.11%$11,484-2.58%$11,682-3.08%$11,669-3.13%2.26%-7.04%2.39%
200781.77%$11,4221.48%$11,6541.54%$11,8621.50%$11,8441.28%2.26%1.10%1.97%
200791.98%$11,6483.12%$12,0174.00%$12,3363.72%$12,2853.87%0.09%7.78%0.21%
2007101.22%$11,7911.30%$12,1731.77%$12,5541.58%$12,4791.36%1.08%2.11%1.40%
2007110.00%$11,791-2.34%$11,888-2.22%$12,275-4.19%$11,957-3.87%4.04%-8.50%4.59%
200712-0.53%$11,728-0.89%$11,782-1.74%$12,061-0.70%$11,873-1.13%0.05%-3.07%-0.48%
20081-1.35%$11,570-4.17%$11,292-5.11%$11,445-6.02%$11,159-6.05%3.36%-12.86%2.64%
20082-0.58%$11,503-1.76%$11,093-2.30%$11,182-3.25%$10,796-2.58%1.24%-5.42%0.35%
200830.29%$11,536-0.40%$11,048-0.80%$11,093-0.44%$10,749-0.90%1.34%-3.07%1.02%
200840.90%$11,6403.14%$11,3953.02%$11,4284.85%$11,2704.77%-2.41%9.35%-1.84%
20085-0.20%$11,6160.81%$11,487-0.06%$11,4211.29%$11,4161.51%-1.78%2.36%-2.13%
20086-3.48%$11,212-6.37%$10,755-6.74%$10,651-8.44%$10,453-8.35%1.14%-16.28%1.80%
20087-0.03%$11,209-0.53%$10,698-0.91%$10,555-0.83%$10,366-0.90%0.72%-2.55%0.30%
200881.54%$11,3811.54%$10,8631.99%$10,7641.45%$10,5161.55%1.53%2.25%1.80%
20089-4.40%$10,880-7.32%$10,068-8.04%$9,899-8.91%$9,579-9.44%-0.14%-19.63%0.28%
200810-7.66%$10,046-12.67%$8,792-15.06%$8,408-16.79%$7,971-16.52%-0.87%-34.93%-3.63%
2008111.98%$10,245-2.86%$8,5413.94%$8,740-7.17%$7,399-6.96%7.75%-16.98%12.07%
2008123.66%$10,6202.27%$8,7356.66%$9,3221.07%$7,4780.98%5.15%-1.00%8.87%
20091-6.05%$9,977-7.35%$8,093-12.48%$8,159-8.41%$6,849-8.21%-3.89%-16.48%-8.47%
20092-5.63%$9,416-8.67%$7,392-10.60%$7,294-10.66%$6,119-10.74%-0.74%-21.10%-1.01%
200935.64%$9,9477.21%$7,9259.19%$7,9658.76%$6,6558.35%3.31%14.58%5.27%
200943.26%$10,2717.18%$8,4946.20%$8,4589.56%$7,2919.93%-2.75%20.32%-4.99%
200951.92%$10,4694.28%$8,8574.27%$8,8205.62%$7,7005.85%-2.08%11.20%-2.68%
20096-0.30%$10,437-0.16%$8,844-0.02%$8,8180.22%$7,717-0.07%-0.55%-0.64%0.70%
200974.31%$10,8876.24%$9,3958.05%$9,5287.58%$8,3027.46%0.83%14.46%0.80%
200982.35%$11,1433.18%$9,6944.89%$9,9943.60%$8,6013.69%0.77%7.39%1.68%
200992.45%$11,4163.13%$9,9984.93%$10,4863.72%$8,9213.55%1.12%7.10%1.98%
200910-1.13%$11,288-1.62%$9,835-3.12%$10,159-1.87%$8,754-1.92%-0.14%-4.28%-1.45%
2009114.29%$11,7735.46%$10,3727.95%$10,9675.98%$9,2786.16%2.02%12.33%1.91%
200912-0.87%$11,6700.87%$10,462-0.04%$10,9631.95%$9,4581.91%-4.40%3.66%-5.66%
20101-0.63%$11,596-2.43%$10,208-2.42%$10,698-3.60%$9,117-3.63%2.37%-7.51%2.66%
201021.68%$11,7912.53%$10,4662.78%$10,9963.09%$9,3993.12%0.33%6.11%-0.21%
201032.46%$12,0814.62%$10,9505.28%$11,5776.01%$9,9646.09%-1.06%12.38%-1.51%
201041.60%$12,2741.57%$11,1222.78%$11,8991.58%$10,1221.55%1.65%2.81%2.76%
20105-2.60%$11,955-5.83%$10,473-6.38%$11,140-8.01%$9,311-7.95%2.93%-16.09%4.23%
20106-0.91%$11,846-3.43%$10,114-2.63%$10,846-5.24%$8,824-5.17%3.05%-10.92%4.67%
201073.63%$12,2775.49%$10,6695.93%$11,4897.00%$9,4416.83%0.91%14.06%-0.17%
20108-0.37%$12,231-2.79%$10,371-0.45%$11,437-4.53%$9,013-4.50%3.36%-9.25%7.08%
201094.07%$12,7306.89%$11,0866.70%$12,2038.92%$9,8178.96%-0.00%18.44%-1.82%
2010101.82%$12,9612.99%$11,4181.78%$12,4203.79%$10,1893.82%-0.01%7.57%-3.29%
201011-0.46%$12,901-0.19%$11,396-1.01%$12,2950.00%$10,1890.00%-0.90%-0.40%-1.60%
2010121.51%$13,0954.58%$11,9185.12%$12,9246.67%$10,8696.68%-3.43%13.94%-3.58%
201111.15%$13,2461.86%$12,1400.98%$13,0502.36%$11,1252.33%-0.02%4.33%-2.38%
201121.65%$13,4652.75%$12,4744.18%$13,5963.42%$11,5053.47%-0.21%6.94%1.24%
20113-0.07%$13,456-0.02%$12,471-0.20%$13,5690.03%$11,5080.01%-0.15%-0.39%0.02%
201142.38%$13,7772.70%$12,8084.00%$14,1122.95%$11,8472.90%1.84%5.74%2.04%
201150.63%$13,863-0.44%$12,7520.24%$14,146-1.15%$11,711-1.12%2.51%-2.38%3.29%
20116-1.11%$13,710-1.46%$12,566-2.91%$13,734-1.67%$11,516-1.69%-0.51%-3.74%-2.00%
201170.55%$13,786-0.99%$12,442-0.18%$13,709-2.05%$11,280-2.00%3.17%-4.22%4.18%
20118-0.35%$13,737-3.42%$12,016-2.03%$13,430-5.45%$10,666-5.50%4.65%-12.81%8.68%
20119-2.06%$13,455-4.91%$11,426-0.50%$13,364-7.04%$9,914-6.94%2.24%-13.86%10.16%
2011104.13%$14,0118.01%$12,3416.32%$14,20910.91%$10,99610.91%-1.29%21.81%-3.34%
2011110.11%$14,026-0.19%$12,3170.33%$14,256-0.23%$10,971-0.41%0.58%-1.56%1.82%
2011121.54%$14,2431.25%$12,4712.60%$14,6271.02%$11,0821.04%1.99%1.91%3.13%
201212.75%$14,6343.88%$12,9554.52%$15,2894.46%$11,5774.64%0.86%8.97%0.08%
201221.67%$14,8793.28%$13,3813.39%$15,8074.31%$12,0764.34%-1.10%8.45%-2.11%
201230.92%$15,0162.32%$13,6921.96%$16,1173.28%$12,4723.22%-1.59%6.71%-3.77%
201240.81%$15,138-0.10%$13,6780.95%$16,270-0.64%$12,392-0.67%2.51%-1.61%4.37%
20125-1.80%$14,865-4.38%$13,079-2.90%$15,799-6.02%$11,647-6.01%2.87%-11.37%7.79%
201261.84%$15,1383.17%$13,4942.99%$16,2714.11%$12,1254.05%-0.42%7.27%-1.44%
201271.29%$15,3331.22%$13,6592.90%$16,7431.37%$12,2911.18%1.40%2.53%3.32%
201281.23%$15,5222.00%$13,9331.94%$17,0672.24%$12,5662.51%-0.12%4.61%-1.06%
201291.15%$15,7012.00%$14,2111.68%$17,3542.58%$12,8902.54%-0.35%4.87%-2.10%
201210-1.15%$15,520-1.56%$13,990-2.51%$16,918-1.86%$12,651-1.82%-0.40%-4.15%-0.43%
2012110.76%$15,6390.64%$14,0791.12%$17,1080.56%$12,7210.57%0.98%0.94%1.35%
2012120.02%$15,6420.56%$14,1580.25%$17,1500.90%$12,8360.90%-0.94%2.08%-1.99%
201311.91%$15,9423.84%$14,7013.50%$17,7515.18%$13,5015.12%-1.29%10.27%-3.27%
201321.21%$16,1341.25%$14,8851.74%$18,0601.34%$13,6811.28%1.13%2.16%1.26%
201332.10%$16,4733.13%$15,3513.97%$18,7763.74%$14,1933.80%0.29%7.39%0.03%
201341.73%$16,7581.85%$15,6353.87%$19,5021.91%$14,4641.92%1.52%3.86%3.87%
20135-0.23%$16,7191.35%$15,846-0.27%$19,4492.33%$14,8002.36%-3.11%4.55%-6.23%
20136-1.89%$16,403-1.55%$15,601-3.17%$18,832-1.35%$14,600-1.34%-2.55%-3.11%-3.26%
201372.64%$16,8364.21%$16,2575.22%$19,8165.07%$15,3415.17%-0.35%10.41%-1.93%
20138-2.30%$16,449-2.74%$15,812-4.20%$18,984-2.91%$14,894-3.00%-1.42%-6.08%-1.28%
201392.58%$16,8732.95%$16,2784.22%$19,7853.12%$15,3593.17%1.85%6.48%0.88%
2013102.92%$17,3653.99%$16,9276.04%$20,9814.59%$16,0644.63%0.78%9.07%1.32%
2013111.29%$17,5892.34%$17,3232.69%$21,5443.03%$16,5502.96%-0.88%5.77%-2.49%
2013120.59%$17,6931.86%$17,6452.47%$22,0762.51%$16,9662.59%-2.09%5.13%-2.37%
20141-0.23%$17,652-2.21%$17,255-0.49%$21,968-3.47%$16,378-3.52%3.06%-7.23%6.26%
201422.38%$18,0733.67%$17,8884.54%$22,9664.56%$17,1254.55%0.36%9.06%0.60%
201430.13%$18,0960.55%$17,9861.06%$23,2100.82%$17,2660.83%-0.56%1.52%0.63%
201440.73%$18,2280.71%$18,1141.53%$23,5660.72%$17,3910.70%0.76%1.23%1.82%
201452.07%$18,6052.22%$18,5163.55%$24,4022.33%$17,7972.32%1.82%4.41%2.73%
201460.92%$18,7761.61%$18,8131.93%$24,8742.05%$18,1622.06%-0.22%4.10%-0.16%
20147-0.79%$18,629-1.12%$18,602-1.15%$24,588-1.39%$17,910-1.34%-0.22%-2.88%0.59%
201482.91%$19,1723.53%$19,2596.02%$26,0693.98%$18,6233.95%1.88%7.87%4.23%
20149-1.22%$18,939-1.31%$19,006-2.46%$25,428-1.41%$18,360-1.38%-1.05%-2.93%-1.99%
2014101.95%$19,3082.19%$19,4233.49%$26,3152.42%$18,8052.36%1.53%4.38%2.61%
2014112.03%$19,6992.46%$19,9014.21%$27,4232.68%$19,3092.75%1.29%5.54%2.86%
201412-0.07%$19,686-0.18%$19,8650.95%$27,684-0.26%$19,258-0.26%0.13%-0.84%2.82%
201510.67%$19,818-1.51%$19,5651.41%$28,074-3.02%$18,677-2.96%4.30%-6.15%8.97%
201521.43%$20,1013.91%$20,3302.24%$28,7025.74%$19,7495.62%-2.47%11.40%-5.66%
20153-0.36%$20,028-1.09%$20,108-1.17%$28,365-1.59%$19,434-1.57%0.86%-3.43%1.13%
201540.17%$20,0620.66%$20,240-0.65%$28,1810.95%$19,6190.98%-0.63%1.84%-3.07%
201550.43%$20,1490.95%$20,4310.10%$28,2081.27%$19,8681.29%-0.42%2.31%-2.16%
20156-1.83%$19,780-1.95%$20,033-3.91%$27,104-1.93%$19,484-2.03%-1.63%-4.09%-3.73%
201571.89%$20,1542.11%$20,4564.21%$28,2462.08%$19,8902.26%1.52%4.22%4.21%
20158-3.04%$19,542-4.88%$19,458-6.77%$26,332-6.05%$18,687-6.10%0.08%-12.48%-0.71%
20159-0.44%$19,456-1.69%$19,129-1.69%$25,886-2.48%$18,223-2.54%1.58%-5.54%1.91%
2015103.74%$20,1846.55%$20,3827.85%$27,9198.42%$19,7588.51%-0.64%17.45%-0.48%
201511-0.03%$20,1780.21%$20,424-0.10%$27,8920.29%$19,8140.37%-0.43%0.60%-0.81%
201512-1.09%$19,958-1.47%$20,124-2.10%$27,306-1.59%$19,499-1.72%-0.45%-3.80%-0.34%
20161-0.82%$19,794-3.32%$19,457-2.56%$26,606-4.98%$18,528-4.98%3.33%-10.37%5.24%
201620.73%$19,9390.25%$19,5061.26%$26,941-0.15%$18,501-0.08%1.49%-0.62%2.86%
201633.16%$20,5695.26%$20,5316.34%$28,6496.78%$19,7556.72%-0.06%13.98%0.05%
201640.11%$20,5930.28%$20,589-0.04%$28,6390.37%$19,8290.39%-0.16%0.60%-0.63%
201650.79%$20,7551.33%$20,8631.90%$29,1821.78%$20,1821.70%-0.10%3.18%0.69%
201661.73%$21,1140.90%$21,0513.41%$30,1780.25%$20,2330.35%3.09%0.16%6.57%
201671.91%$21,5182.95%$21,6724.58%$31,5613.68%$20,9763.65%0.25%7.40%2.01%
20168-0.45%$21,422-0.11%$21,648-0.46%$31,4150.13%$21,0040.12%-1.01%0.10%-1.00%
201690.12%$21,4480.05%$21,660-0.81%$31,1620.01%$21,0050.01%0.24%-0.28%-1.32%
201610-1.61%$21,102-1.69%$21,295-3.96%$29,929-1.83%$20,620-1.73%-1.49%-3.68%-4.23%
201611-0.27%$21,0452.11%$21,743-0.36%$29,8223.70%$21,3833.68%-4.23%7.23%-7.86%
2016121.00%$21,2561.63%$22,0971.98%$30,4111.96%$21,8032.03%-0.12%4.00%-0.35%
201711.00%$21,4691.48%$22,4232.06%$31,0371.88%$22,2131.79%0.22%3.47%0.65%
201722.34%$21,9713.30%$23,1624.74%$32,5093.96%$23,0933.93%0.72%7.83%1.57%
201730.10%$21,9940.12%$23,189-0.29%$32,4140.10%$23,1170.13%0.08%-0.02%-0.59%
201741.05%$22,2251.01%$23,4241.72%$32,9721.02%$23,3520.99%1.11%1.85%1.58%
201751.13%$22,4751.30%$23,7292.16%$33,6831.39%$23,6771.41%0.83%2.55%1.73%
201760.08%$22,4930.42%$23,8280.85%$33,9690.61%$23,8220.64%-0.51%1.04%0.63%
201771.24%$22,7721.74%$24,2411.80%$34,5802.04%$24,3092.06%0.38%3.95%-0.59%
201780.85%$22,9660.51%$24,3651.68%$35,1610.29%$24,3800.29%1.46%0.31%3.27%
201790.35%$23,0461.36%$24,6960.96%$35,4992.06%$24,8822.01%-1.44%3.82%-2.27%
2017101.15%$23,3101.89%$25,1632.46%$36,3732.32%$25,4592.36%-0.19%4.53%-0.02%
2017111.50%$23,6592.46%$25,7803.55%$37,6653.06%$26,2383.06%-0.28%5.87%0.63%
2017120.74%$23,8331.03%$26,0462.11%$38,4611.10%$26,5271.21%0.18%2.36%1.78%
201811.74%$24,2494.08%$27,1083.88%$39,9535.71%$28,0425.64%-2.15%11.17%-3.40%
20182-2.34%$23,682-3.13%$26,260-5.66%$37,692-3.69%$27,006-3.64%-0.93%-8.07%-2.89%
20183-0.84%$23,483-1.99%$25,737-1.57%$37,099-2.56%$26,316-2.74%1.16%-5.54%2.75%
20184-0.38%$23,3950.16%$25,778-0.92%$36,7590.37%$26,4140.52%-1.28%0.20%-2.04%
201851.72%$23,7972.15%$26,3323.12%$37,9052.39%$27,0472.43%0.99%4.41%1.79%
201860.39%$23,8900.50%$26,4650.84%$38,2240.61%$27,2100.58%0.20%1.02%0.66%
201871.64%$24,2812.89%$27,2293.01%$39,3763.71%$28,2203.70%-0.53%7.09%-1.28%
201882.15%$24,8032.79%$27,9883.83%$40,8863.25%$29,1363.19%1.01%6.15%1.18%
20189-0.26%$24,7400.27%$28,062-0.76%$40,5760.55%$29,2970.59%-1.20%0.89%-2.74%
201810-3.82%$23,796-5.72%$26,457-9.03%$36,913-6.85%$27,291-6.91%-0.30%-14.01%-2.82%
2018111.60%$24,1771.75%$26,9222.50%$37,8352.03%$27,8441.85%1.33%3.15%1.78%
201812-3.18%$23,408-6.59%$25,148-6.75%$35,283-9.04%$25,327-8.79%2.80%-17.72%5.50%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Large-cap Value23.00%36.80%32.22%47.12%
Large-cap Growth26.61%42.58%37.93%52.72%
Mid-cap Value0.00%0.00%0.00%0.00%
Mid-cap Growth0.13%0.21%6.40%0.00%
Small-cap Value0.00%0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%1.61%0.00%
Emerging Markets0.00%0.00%3.16%0.00%
Corporate Bonds0.44%0.71%0.00%0.00%
Long-Term Treasuries0.00%0.00%18.67%0.00%
Intermediate-Term Treasuries49.75%19.61%0.00%0.17%
Short-Term Treasuries0.06%0.09%0.00%0.00%
R Squared99.90%99.90%93.28%99.93%
Style analysis is based on monthly returns from July 2006 to December 2018 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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend50.00%1.25%0.09%26.07$9,08392.21%
IEFiShares 7-10 Year Treasury Bond ETFLong Government50.00%1.34%0.15%7.86$4,3267.79%
100.00%1.29%0.12%26.077.86$13,408100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend80.00%1.25%0.09%26.07$13,432102.09%
IEFiShares 7-10 Year Treasury Bond ETFLong Government20.00%1.34%0.15%7.86$1,716-2.09%
100.00%1.27%0.11%26.077.86$15,148100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
SSOProShares Ultra S&P500Leveraged Equity50.00%0.13%0.91%$18,41893.93%
VUSTXVanguard Long-Term Treasury InvLong Government50.00%2.00%0.20%17.60$6,8656.07%
100.00%1.06%0.56%17.60$25,283100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/18/2021. (c) 2021 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 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.59%0.67%0.92%0.71%
Arithmetic Mean (annualized)7.29%8.31%11.62%8.85%
Geometric Mean (monthly)0.57%0.62%0.84%0.62%
Geometric Mean (annualized)7.04%7.66%10.61%7.72%
Volatility (monthly)1.95%3.18%3.87%4.16%
Volatility (annualized)6.77%11.03%13.40%14.42%
Downside Deviation (monthly)1.27%2.17%2.64%2.91%
Max. Drawdown-20.14%-39.28%-41.90%-50.97%
US Market Correlation0.880.990.881.00
Beta(*)0.420.760.831.00
Alpha (annualized)3.52%1.56%3.99%0.00%
R278.23%98.39%79.56%100.00%
Sharpe Ratio0.890.640.750.52
Sortino Ratio1.350.921.090.74
Treynor Ratio (%)14.659.2912.157.54
Calmar Ratio0.970.740.650.67
Active Return-0.68%-0.06%2.90%N/A
Tracking Error9.00%3.75%6.54%N/A
Information Ratio-0.08-0.020.44N/A
Skewness-1.00-0.86-1.06-0.82
Excess Kurtosis2.782.072.401.94
Historical Value-at-Risk (5%)-2.84%-5.35%-6.58%-7.12%
Analytical Value-at-Risk (5%)-2.72%-4.65%-5.82%-6.14%
Conditional Value-at-Risk (5%)-4.66%-7.56%-9.43%-9.68%
Upside Capture Ratio (%)49.2479.2096.16100.00
Downside Capture Ratio (%)34.8673.7978.76100.00
Safe Withdrawal Rate10.60%10.12%11.78%9.51%
Perpetual Withdrawal Rate4.78%5.31%7.74%5.36%
Positive Periods101 out of 150 (67.33%)99 out of 150 (66.00%)94 out of 150 (62.67%)101 out of 150 (67.33%)
Gain/Loss Ratio1.070.891.110.74
* Vanguard 500 Index Investor 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 3Vanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-20.14%-39.28%-41.90%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsFeb 20101 year2 years 3 months-20.14%
2Sep 2018Dec 20184 months-5.62%
3Feb 2018Apr 20183 monthsJul 20183 months6 months-3.52%
4May 2010Jun 20102 monthsJul 20101 month3 months-3.49%
5Aug 2015Sep 20152 monthsOct 20151 month3 months-3.46%
6Jun 2011Sep 20114 monthsOct 20111 month5 months-2.95%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.30%
8Aug 2016Nov 20164 monthsFeb 20173 months7 months-2.20%
9May 2013Jun 20132 monthsJul 20131 month3 months-2.12%
10Nov 2015Jan 20163 monthsMar 20162 months5 months-1.93%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-39.28%
2May 2011Sep 20115 monthsJan 20124 months9 months-10.79%
3Oct 2018Dec 20183 months-10.38%
4Aug 2015Sep 20152 monthsMar 20166 months8 months-6.49%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-5.06%
6Apr 2012May 20122 monthsAug 20123 months5 months-4.47%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-3.36%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.74%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.21%
10Jun 2015Jun 20151 monthJul 20151 month2 months-1.95%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-41.90%
2Sep 2018Dec 20184 months-13.70%
3Mar 2015Sep 20157 monthsMay 20168 months1 year 3 months-9.81%
4Feb 2018Apr 20183 monthsAug 20184 months7 months-8.00%
5Jun 2011Sep 20114 monthsOct 20111 month5 months-5.53%
6Aug 2016Nov 20164 monthsFeb 20173 months7 months-5.51%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-4.94%
8Aug 2013Aug 20131 monthOct 20132 months3 months-4.20%
9May 2013Jun 20132 monthsJul 20131 month3 months-3.44%
10May 2012May 20121 monthJun 20121 month2 months-2.90%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Oct 2018Dec 20183 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
5Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
9Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
10Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust7.73%14.38%32.31%-36.81%-50.80%0.520.741.00
IEFiShares 7-10 Year Treasury Bond ETF4.93%6.28%17.91%-6.59%-7.60%0.651.13-0.31
SSOProShares Ultra S&P5009.16%29.33%70.46%-67.94%-81.35%0.420.590.99
VUSTXVanguard Long-Term Treasury Inv6.19%11.38%29.28%-13.03%-16.68%0.500.86-0.29

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYIEFSSOVUSTXPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
SPYSPDR S&P 500 ETF Trust1.00-0.301.00-0.280.880.990.891.00
IEFiShares 7-10 Year Treasury Bond ETF-0.301.00-0.320.930.17-0.190.10-0.30
SSOProShares Ultra S&P5001.00-0.321.00-0.300.870.990.881.00
VUSTXVanguard Long-Term Treasury Inv-0.280.93-0.301.000.15-0.180.15-0.28

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust$9,083$13,432
IEFiShares 7-10 Year Treasury Bond ETF$4,326$1,716
SSOProShares Ultra S&P500$18,418
VUSTXVanguard Long-Term Treasury Inv$6,865

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust92.21%102.09%
IEFiShares 7-10 Year Treasury Bond ETF7.79%-2.09%
SSOProShares Ultra S&P50093.93%
VUSTXVanguard Long-Term Treasury Inv6.07%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year7.43%25.23%-18.14%8.87%41.60%-33.37%12.38%50.74%-34.76%9.73%53.61%-43.32%
3 years7.88%16.48%1.44%9.16%21.88%-4.82%13.20%29.41%-4.11%9.70%25.43%-9.84%
5 years8.49%13.93%5.07%10.14%19.33%1.65%14.61%25.78%4.36%10.94%22.85%-1.26%
7 years8.55%11.31%6.91%10.27%14.87%6.34%14.70%20.52%8.87%11.09%17.12%5.27%
10 years7.52%9.01%6.82%8.45%12.17%7.02%12.21%15.94%10.06%8.66%14.17%6.58%