Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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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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Portfolio Analysis Results (Feb 2007 - Jul 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IVV iShares Core S&P 500 ETF 60.00%
SHY iShares 1-3 Year Treasury Bond ETF 40.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
IVV iShares Core S&P 500 ETF 55.00%
CSJ iShares 1-3 Year Credit Bond ETF 45.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
IVV iShares Core S&P 500 ETF 57.00%
SHY iShares 1-3 Year Treasury Bond ETF 19.00%
CSJ iShares 1-3 Year Credit Bond ETF 24.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$19,900 6.17% 8.33%19.47%-19.56%-29.91% 0.681.010.99
Portfolio 2$10,000$19,867 6.15% 8.18%18.28%-18.66%-28.69% 0.681.020.99
Portfolio 3$10,000$19,839 6.14% 8.18%18.73%-18.93%-29.07% 0.681.020.99
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2007 are based on full calendar months from February to December
  • The annual results for 2018 are based on full calendar months from January to July
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares Core S&P 500 ETF (IVV)iShares 1-3 Year Treasury Bond ETF (SHY)iShares 1-3 Year Credit Bond ETF (CSJ)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20073.76%5.16%4.58%4.86%$10,516$10,458$10,4863.81%7.18%5.52%
20080.09%-19.56%-18.66%-18.93%$8,458$8,507$8,501-37.02%6.62%3.79%
20092.72%16.10%17.82%16.93%$9,820$10,023$9,94026.60%0.35%7.08%
20101.50%9.96%9.59%9.72%$10,799$10,984$10,90615.09%2.28%2.86%
20112.96%1.69%1.85%1.77%$10,981$11,187$11,0991.86%1.44%1.84%
20121.74%9.74%10.10%9.88%$12,052$12,317$12,19616.06%0.28%2.83%
20131.50%19.47%18.28%18.73%$14,397$14,569$14,48132.30%0.21%1.16%
20140.76%8.32%7.76%7.98%$15,595$15,700$15,63613.56%0.45%0.67%
20150.73%0.95%0.99%0.97%$15,743$15,856$15,7871.30%0.43%0.63%
20162.07%7.62%7.49%7.51%$16,943$17,044$16,97412.16%0.82%1.79%
20172.11%13.16%12.54%12.76%$19,173$19,181$19,13921.76%0.26%1.27%
20182.22%3.79%3.58%3.66%$19,900$19,867$19,8396.35%-0.04%0.19%
Annual returns for 2007 and 2018 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Core S&P 500 ETF (IVV)iShares 1-3 Year Treasury Bond ETF (SHY)iShares 1-3 Year Credit Bond ETF (CSJ)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20072-0.85%-0.58%-0.70%$9,915$9,942$9,930-1.90%0.73%1.03%
200730.89%0.80%0.84%$10,003$10,022$10,0141.19%0.45%0.34%
200742.69%2.46%2.55%$10,273$10,268$10,2694.31%0.31%0.23%
200752.04%1.89%1.95%$10,482$10,462$10,4693.41%-0.07%-0.01%
20076-0.76%-0.68%-0.71%$10,402$10,391$10,395-1.55%0.48%0.45%
20077-1.59%-1.57%-1.56%$10,237$10,228$10,233-3.19%0.90%0.47%
200781.21%0.96%1.07%$10,361$10,326$10,3431.31%1.05%0.53%
200792.67%2.56%2.60%$10,637$10,591$10,6114.09%0.55%0.68%
2007101.05%0.99%1.01%$10,748$10,696$10,7191.41%0.48%0.46%
200711-1.81%-1.83%-1.80%$10,554$10,500$10,526-4.11%1.79%1.10%
200712-0.37%-0.40%-0.38%$10,516$10,458$10,486-0.82%0.30%0.10%
20081-3.10%-2.50%-2.75%$10,190$10,197$10,198-6.27%1.65%2.12%
20082-1.17%-1.02%-1.08%$10,071$10,093$10,088-2.76%1.03%0.92%
20083-0.25%-0.52%-0.39%$10,045$10,040$10,048-0.63%0.25%-0.40%
200842.38%2.47%2.41%$10,285$10,288$10,2904.82%-0.84%-0.07%
200850.60%0.39%0.48%$10,347$10,327$10,3401.28%-0.35%-0.63%
20086-4.82%-4.34%-4.53%$9,849$9,879$9,871-8.39%0.24%0.32%
20087-0.23%-0.19%-0.21%$9,826$9,860$9,850-0.74%0.43%0.39%
200881.04%0.98%1.00%$9,928$9,956$9,9491.49%0.47%0.44%
20089-4.68%-6.39%-5.56%$9,464$9,320$9,396-8.89%0.78%-3.77%
200810-8.46%-8.77%-8.56%$8,664$8,503$8,592-16.63%1.10%-0.93%
200811-3.10%-2.16%-2.57%$8,395$8,319$8,370-7.46%1.10%2.28%
2008120.76%2.26%1.55%$8,458$8,507$8,5010.97%0.56%3.24%
20091-5.05%-4.06%-4.50%$8,031$8,161$8,118-8.13%-0.44%0.90%
20092-6.19%-6.55%-6.35%$7,534$7,627$7,603-10.56%-0.15%-2.09%
200934.66%4.04%4.30%$7,885$7,935$7,9308.02%0.50%-0.01%
200945.72%6.48%6.09%$8,336$8,449$8,41310.14%-0.17%2.46%
200953.50%4.17%3.84%$8,628$8,801$8,7365.84%0.06%2.20%
20096-0.01%0.29%0.15%$8,627$8,826$8,7490.04%-0.09%0.60%
200974.54%4.72%4.62%$9,018$9,244$9,1527.38%0.11%1.49%
200982.44%2.22%2.31%$9,239$9,449$9,3643.66%0.41%0.37%
200992.38%2.22%2.29%$9,459$9,659$9,5783.63%0.24%0.35%
200910-1.18%-1.03%-1.09%$9,347$9,559$9,473-1.92%0.14%0.20%
2009114.09%3.69%3.86%$9,729$9,912$9,8396.09%0.60%0.47%
2009120.94%1.12%1.03%$9,820$10,023$9,9401.91%-0.84%0.00%
20101-1.91%-1.78%-1.82%$9,633$9,845$9,758-3.71%0.80%0.59%
201021.92%1.83%1.86%$9,818$10,025$9,9403.15%0.16%0.30%
201033.54%3.43%3.46%$10,165$10,369$10,2846.11%-0.27%0.21%
201041.11%0.93%1.01%$10,277$10,466$10,3881.62%0.30%0.06%
20105-4.74%-4.78%-4.73%$9,790$9,966$9,896-8.00%0.45%-0.61%
20106-2.95%-2.61%-2.75%$9,502$9,706$9,624-5.26%0.42%0.58%
201074.13%4.30%4.19%$9,894$10,123$10,0286.99%0.19%1.26%
20108-2.54%-2.22%-2.35%$9,643$9,899$9,793-4.43%0.24%0.42%
201095.19%4.69%4.89%$10,143$10,363$10,2728.81%0.12%0.01%
2010102.41%2.29%2.33%$10,387$10,601$10,5123.84%0.22%0.38%
201011-0.12%-0.15%-0.14%$10,375$10,585$10,497-0.07%-0.20%-0.26%
2010124.09%3.77%3.89%$10,799$10,984$10,9066.78%-0.16%-0.09%
201111.43%1.51%1.47%$10,953$11,149$11,0662.30%0.13%0.55%
201122.05%1.99%2.00%$11,177$11,371$11,2873.46%-0.12%0.16%
20113-0.05%-0.08%-0.07%$11,172$11,362$11,279-0.00%-0.13%-0.18%
201142.02%1.95%1.97%$11,397$11,583$11,5022.95%0.53%0.65%
20115-0.60%-0.58%-0.58%$11,329$11,516$11,435-1.19%0.36%0.23%
20116-1.03%-0.90%-0.96%$11,212$11,412$11,326-1.68%-0.00%0.10%
20117-1.09%-1.03%-1.05%$11,089$11,295$11,206-1.97%0.29%0.17%
20118-3.21%-3.11%-3.14%$10,733$10,944$10,855-5.52%0.34%-0.09%
20119-4.06%-3.93%-3.97%$10,297$10,514$10,424-6.80%-0.10%-0.54%
2011106.14%6.00%6.03%$10,929$11,145$11,05310.65%0.03%0.86%
201111-0.17%-0.51%-0.35%$10,910$11,088$11,014-0.32%0.04%-0.74%
2011120.66%0.88%0.77%$10,981$11,187$11,0991.06%0.05%0.67%
201212.80%2.80%2.78%$11,289$11,499$11,4084.61%0.08%0.58%
201222.52%2.54%2.52%$11,573$11,792$11,6954.21%-0.14%0.42%
201232.01%1.93%1.96%$11,806$12,019$11,9243.29%-0.08%0.14%
20124-0.34%-0.42%-0.38%$11,766$11,969$11,879-0.66%0.20%-0.09%
20125-3.74%-3.43%-3.56%$11,326$11,559$11,457-6.01%0.06%0.07%
201262.53%2.38%2.44%$11,613$11,834$11,7364.20%-0.10%0.07%
201270.86%1.00%0.93%$11,712$11,952$11,8451.24%0.22%0.67%
201281.55%1.57%1.55%$11,893$12,139$12,0292.48%0.01%0.36%
201291.48%1.50%1.48%$12,069$12,321$12,2072.34%0.02%0.36%
201210-1.31%-1.10%-1.19%$11,911$12,186$12,061-2.02%-0.07%0.17%
2012110.57%0.42%0.48%$11,979$12,237$12,1200.87%0.05%-0.19%
2012120.61%0.66%0.63%$12,052$12,317$12,1960.95%0.02%0.25%
201313.07%2.86%2.94%$12,422$12,670$12,5555.11%0.01%0.11%
201320.85%0.85%0.85%$12,528$12,778$12,6621.36%0.06%0.20%
201332.28%2.06%2.15%$12,813$13,041$12,9343.68%0.03%-0.03%
201341.25%1.19%1.21%$12,973$13,197$13,0911.96%0.07%0.15%
201351.46%1.39%1.41%$13,162$13,380$13,2762.40%-0.13%0.01%
20136-1.04%-1.07%-1.05%$13,025$13,237$13,136-1.59%-0.10%-0.34%
201373.46%3.26%3.33%$13,475$13,668$13,5745.39%0.16%0.30%
20138-1.98%-1.84%-1.90%$13,207$13,417$13,317-3.04%-0.10%-0.09%
201392.14%2.03%2.07%$13,490$13,689$13,5923.24%0.22%0.31%
2013102.98%2.83%2.89%$13,893$14,077$13,9854.61%0.07%0.24%
2013111.98%1.87%1.91%$14,167$14,340$14,2522.98%0.09%0.18%
2013121.63%1.60%1.60%$14,397$14,569$14,4812.56%-0.18%0.09%
20141-2.01%-1.89%-1.93%$14,108$14,294$14,201-3.49%0.20%0.08%
201422.71%2.56%2.62%$14,490$14,661$14,5724.56%0.04%0.21%
201430.48%0.43%0.45%$14,560$14,724$14,6380.87%-0.11%-0.10%
201440.49%0.46%0.47%$14,631$14,793$14,7080.74%0.11%0.11%
201451.45%1.40%1.42%$14,844$14,999$14,9162.28%0.18%0.29%
201461.24%1.18%1.20%$15,029$15,176$15,0952.09%-0.08%0.02%
20147-0.89%-0.88%-0.88%$14,895$15,042$14,962-1.40%-0.08%-0.22%
201482.50%2.32%2.39%$15,268$15,391$15,3203.97%0.19%0.21%
20149-0.88%-0.85%-0.86%$15,133$15,261$15,189-1.38%-0.07%-0.14%
2014101.57%1.47%1.51%$15,371$15,485$15,4182.39%0.26%0.26%
2014111.76%1.62%1.67%$15,641$15,735$15,6762.75%0.11%0.09%
201412-0.30%-0.22%-0.26%$15,595$15,700$15,636-0.30%-0.29%-0.12%
20151-1.49%-1.48%-1.47%$15,363$15,468$15,406-2.90%0.63%0.27%
201523.22%3.05%3.11%$15,857$15,941$15,8855.65%-0.29%-0.01%
20153-0.86%-0.77%-0.81%$15,720$15,818$15,757-1.59%0.25%0.25%
201540.60%0.58%0.58%$15,814$15,909$15,8490.97%0.03%0.10%
201550.80%0.75%0.77%$15,941$16,028$15,9711.30%0.04%0.06%
20156-1.19%-1.13%-1.15%$15,752$15,847$15,787-1.98%0.03%-0.08%
201571.34%1.19%1.25%$15,962$16,036$15,9842.19%0.04%-0.03%
20158-3.74%-3.43%-3.56%$15,364$15,486$15,416-6.14%-0.05%-0.02%
20159-1.35%-1.28%-1.30%$15,156$15,288$15,215-2.49%0.30%0.16%
2015104.89%4.64%4.73%$15,898$15,997$15,9348.47%-0.14%0.23%
2015110.13%0.17%0.15%$15,920$16,025$15,9590.39%-0.26%-0.10%
201512-1.11%-1.05%-1.07%$15,743$15,856$15,787-1.73%-0.15%-0.20%
20161-2.74%-2.67%-2.68%$15,311$15,433$15,364-5.00%0.65%0.18%
201620.01%0.06%0.04%$15,314$15,443$15,370-0.06%0.11%0.21%
201634.05%3.95%3.97%$15,934$16,052$15,9816.82%0.14%0.63%
201640.25%0.35%0.30%$15,974$16,109$16,0300.39%0.04%0.31%
201650.97%0.94%0.95%$16,129$16,260$16,1811.69%-0.12%0.01%
201660.39%0.44%0.42%$16,192$16,332$16,2490.25%0.60%0.68%
201672.25%2.12%2.17%$16,556$16,679$16,6013.74%-0.05%0.11%
20168-0.01%0.04%0.02%$16,554$16,686$16,6040.13%-0.23%-0.07%
201690.06%0.01%0.03%$16,563$16,687$16,6090.01%0.13%0.01%
201610-1.11%-1.03%-1.07%$16,379$16,515$16,432-1.78%-0.05%-0.07%
2016112.06%1.86%1.94%$16,716$16,822$16,7513.67%-0.47%-0.44%
2016121.36%1.32%1.33%$16,943$17,044$16,9742.14%0.07%0.23%
201711.09%1.05%1.06%$17,128$17,222$17,1541.75%0.11%0.19%
201722.42%2.31%2.35%$17,542$17,620$17,5573.98%0.04%0.24%
201730.10%0.11%0.11%$17,559$17,640$17,5750.12%0.06%0.11%
201740.66%0.64%0.65%$17,676$17,753$17,6900.97%0.19%0.22%
201750.89%0.88%0.88%$17,832$17,909$17,8451.39%0.07%0.21%
201760.38%0.40%0.39%$17,901$17,981$17,9140.67%-0.08%0.04%
201771.36%1.32%1.33%$18,144$18,218$18,1532.07%0.19%0.33%
201780.25%0.24%0.24%$18,188$18,262$18,1970.27%0.20%0.19%
201791.20%1.14%1.16%$18,408$18,470$18,4092.04%-0.19%-0.07%
2017101.43%1.37%1.39%$18,671$18,723$18,6642.32%-0.09%0.05%
2017111.90%1.71%1.79%$19,026$19,042$18,9983.12%-0.22%-0.28%
2017120.77%0.73%0.74%$19,173$19,181$19,1391.21%-0.02%0.03%
201813.30%3.03%3.13%$19,806$19,762$19,7395.69%-0.29%-0.23%
20182-2.37%-2.27%-2.30%$19,335$19,314$19,284-3.80%-0.10%-0.28%
20183-1.39%-1.33%-1.35%$19,066$19,058$19,024-2.47%0.25%0.10%
201840.12%0.24%0.18%$19,088$19,103$19,0580.35%-0.23%0.10%
201851.59%1.46%1.51%$19,391$19,381$19,3462.41%0.35%0.29%
201860.37%0.33%0.35%$19,463$19,445$19,4140.59%0.04%0.01%
201872.25%2.17%2.19%$19,900$19,867$19,8393.75%-0.06%0.20%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value27.84%24.86%26.19%
Large-cap Growth31.84%29.07%30.16%
Mid-cap Value0.00%0.18%0.00%
Mid-cap Growth0.18%1.41%0.94%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.32%0.14%
Global ex-US Developed Markets0.00%0.46%0.19%
Emerging Markets0.01%0.35%0.21%
Corporate Bonds0.00%8.43%4.39%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries40.13%34.92%37.78%
R Squared99.93%99.24%99.72%
Style analysis is based on monthly returns from Feb 2007 to Jul 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
IVViShares Core S&P 500 ETFLarge Blend60.00%$9,030101.82%Asset Allocation, Capitalization, Sector
SHYiShares 1-3 Year Treasury Bond ETFShort Government40.00%$871-1.82%Asset Allocation, Credit Quality, Maturity

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
IVViShares Core S&P 500 ETFLarge Blend55.00%$8,41394.81%Asset Allocation, Capitalization, Sector
CSJiShares 1-3 Year Credit Bond ETFShort-Term Bond45.00%$1,4545.19%Asset Allocation, Credit Quality, Maturity

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
IVViShares Core S&P 500 ETFLarge Blend57.00%$8,65298.45%Asset Allocation, Capitalization, Sector
SHYiShares 1-3 Year Treasury Bond ETFShort Government19.00%$414-0.89%Asset Allocation, Credit Quality, Maturity
CSJiShares 1-3 Year Credit Bond ETFShort-Term Bond24.00%$7732.44%Asset Allocation, Credit Quality, Maturity

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/03/2018. © 2018 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)0.53%0.53%0.53%
Arithmetic Mean (annualized)6.53%6.51%6.49%
Geometric Mean (monthly)0.50%0.50%0.50%
Geometric Mean (annualized)6.17%6.15%6.14%
Volatility (monthly)2.40%2.36%2.36%
Volatility (annualized)8.33%8.18%8.18%
Downside Deviation (monthly)1.58%1.56%1.56%
Max. Drawdown-29.91%-28.69%-29.07%
US Market Correlation0.990.990.99
Beta(*)0.550.540.54
Alpha (annualized)1.27%1.36%1.32%
R298.31%97.32%98.14%
Sharpe Ratio0.680.680.68
Sortino Ratio1.011.021.02
Treynor Ratio (%)10.2410.4310.36
Information Ratio-0.42-0.41-0.42
Diversification Ratio1.111.111.11
Skewness-0.64-0.74-0.69
Excess Kurtosis1.191.901.51
Historical Value-at-Risk (5%)-4.09%-3.93%-3.99%
Analytical Value-at-Risk (5%)-3.52%-3.44%-3.45%
Conditional Value-at-Risk (5%)-5.65%-5.82%-5.71%
Upside Capture Ratio (%)57.2055.7856.12
Downside Capture Ratio (%)54.9052.9053.48
Positive Periods89 out of 138 (64.49%)91 out of 138 (65.94%)91 out of 138 (65.94%)
Gain/Loss Ratio0.970.920.92
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-29.91%-28.69%-29.07%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-29.91%
2May 2011Sep 20115 monthsFeb 20125 months10 months-9.66%
3Aug 2015Sep 20152 monthsApr 20167 months9 months-5.05%
4Apr 2012May 20122 monthsAug 20123 months5 months-4.07%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-3.74%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-2.34%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-2.01%
8Aug 2013Aug 20131 monthSep 20131 month2 months-1.98%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.78%
10Oct 2012Oct 20121 monthJan 20133 months4 months-1.31%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-28.69%
2May 2011Sep 20115 monthsFeb 20125 months10 months-9.23%
3Aug 2015Sep 20152 monthsMar 20166 months8 months-4.66%
4Apr 2012May 20122 monthsAug 20123 months5 months-3.83%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-3.56%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-2.23%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-1.89%
8Aug 2013Aug 20131 monthSep 20131 month2 months-1.84%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.69%
10Jun 2015Jun 20151 monthJul 20151 month2 months-1.13%
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-29.07%
2May 2011Sep 20115 monthsFeb 20125 months10 months-9.37%
3Aug 2015Sep 20152 monthsApr 20167 months9 months-4.81%
4Apr 2012May 20122 monthsAug 20123 months5 months-3.92%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-3.62%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-2.26%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-1.93%
8Aug 2013Aug 20131 monthSep 20131 month2 months-1.90%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.72%
10Oct 2012Oct 20121 monthJan 20133 months4 months-1.19%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IVViShares Core S&P 500 ETF8.25%14.50%32.30%-37.02%-50.78%0.570.831.00
SHYiShares 1-3 Year Treasury Bond ETF1.74%1.31%7.18%-0.04%-1.18%0.861.74-0.37
CSJiShares 1-3 Year Credit Bond ETF2.56%2.37%7.08%0.19%-4.66%0.781.280.28

Monthly Correlations

Correlations for the portfolio assets
TickerNameIVVSHYCSJPortfolio 1Portfolio 2Portfolio 3
IVViShares Core S&P 500 ETF--0.360.281.000.990.99
SHYiShares 1-3 Year Treasury Bond ETF-0.36-0.28-0.30-0.30-0.30
CSJiShares 1-3 Year Credit Bond ETF0.280.28-0.300.400.36

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IVViShares Core S&P 500 ETF$9,030$8,413$8,652
SHYiShares 1-3 Year Treasury Bond ETF$871$414
CSJiShares 1-3 Year Credit Bond ETF$1,454$773

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IVViShares Core S&P 500 ETF101.82%94.81%98.45%
SHYiShares 1-3 Year Treasury Bond ETF-1.82%-0.89%
CSJiShares 1-3 Year Credit Bond ETF5.19%2.44%

Annual Asset Returns