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 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 (Mar 2007 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
RYMFX Guggenheim Managed Futures Strategy P 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
SPY SPDR S&P 500 ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$8,427 -1.44% 9.01%10.06%-15.18%-30.23% -0.20-0.27-0.03
Portfolio 2$10,000$15,548 3.80% 4.44%13.32%-3.09%-4.49% 0.711.27-0.26
Portfolio 3$10,000$22,684 7.17% 14.72%32.31%-36.81%-50.80% 0.500.701.00
   
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 March 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceGuggenheim Managed Futures Strategy P (RYMFX)Vanguard Interm-Term Treasury Inv (VFITX)SPDR S&P 500 ETF (SPY)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20073.21%7.09%8.25%5.65%$10,709$10,825$10,5657.09%8.25%5.65%
20080.09%8.53%13.32%-36.81%$11,623$12,267$6,6768.53%13.32%-36.81%
20092.72%-4.25%-1.69%26.36%$11,129$12,061$8,437-4.25%-1.69%26.36%
20101.50%-3.84%7.35%15.06%$10,702$12,948$9,707-3.84%7.35%15.06%
20112.96%-7.14%9.80%1.89%$9,938$14,216$9,890-7.14%9.80%1.89%
20121.74%-11.32%2.67%15.99%$8,813$14,596$11,472-11.32%2.67%15.99%
20131.50%4.33%-3.09%32.31%$9,195$14,145$15,1784.33%-3.09%32.31%
20140.76%10.06%4.32%13.46%$10,120$14,756$17,22110.06%4.32%13.46%
20150.73%-1.06%1.50%1.25%$10,013$14,978$17,437-1.06%1.50%1.25%
20162.07%-15.18%1.19%12.00%$8,493$15,156$19,529-15.18%1.19%12.00%
20172.11%7.68%1.57%21.70%$9,145$15,394$23,7677.68%1.57%21.70%
20181.91%-7.85%1.00%-4.56%$8,427$15,548$22,684-7.85%1.00%-4.56%
Annual returns for 2007 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceGuggenheim Managed Futures Strategy P (RYMFX)Vanguard Interm-Term Treasury Inv (VFITX)SPDR S&P 500 ETF (SPY)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200730.12%0.03%1.16%$10,012$10,003$10,1160.12%0.03%1.16%
200740.68%0.57%4.43%$10,080$10,059$10,5640.68%0.57%4.43%
20075-1.03%-1.18%3.39%$9,976$9,940$10,922-1.03%-1.18%3.39%
200761.44%-0.18%-1.46%$10,120$9,922$10,7621.44%-0.18%-1.46%
20077-0.75%1.81%-3.13%$10,044$10,101$10,426-0.75%1.81%-3.13%
20078-0.84%1.97%1.28%$9,960$10,300$10,559-0.84%1.97%1.28%
200791.16%0.46%3.87%$10,076$10,348$10,9681.16%0.46%3.87%
2007102.90%0.84%1.36%$10,368$10,434$11,1172.90%0.84%1.36%
2007110.59%3.46%-3.87%$10,429$10,795$10,6860.59%3.46%-3.87%
2007122.69%0.27%-1.13%$10,709$10,825$10,5652.69%0.27%-1.13%
200811.42%3.10%-6.05%$10,861$11,160$9,9261.42%3.10%-6.05%
200824.83%1.35%-2.58%$11,385$11,311$9,6704.83%1.35%-2.58%
20083-0.70%0.93%-0.90%$11,305$11,416$9,582-0.70%0.93%-0.90%
200840.42%-2.14%4.77%$11,353$11,172$10,0390.42%-2.14%4.77%
200852.04%-1.32%1.51%$11,585$11,025$10,1912.04%-1.32%1.51%
20086-0.83%0.77%-8.35%$11,489$11,109$9,340-0.83%0.77%-8.35%
20087-5.95%0.77%-0.90%$10,805$11,195$9,256-5.95%0.77%-0.90%
20088-3.33%0.98%1.55%$10,445$11,305$9,399-3.33%0.98%1.55%
200892.83%0.51%-9.44%$10,741$11,362$8,5122.83%0.51%-9.44%
20081010.20%-1.36%-16.52%$11,837$11,208$7,10610.20%-1.36%-16.52%
2008110.64%5.58%-6.96%$11,913$11,834$6,6110.64%5.58%-6.96%
200812-2.43%3.66%0.98%$11,623$12,267$6,676-2.43%3.66%0.98%
200910.07%-2.39%-8.21%$11,631$11,974$6,1280.07%-2.39%-8.21%
200920.39%-0.58%-10.74%$11,677$11,904$5,4700.39%-0.58%-10.74%
20093-4.16%3.20%8.35%$11,191$12,286$5,926-4.16%3.20%8.35%
20094-2.11%-1.76%9.93%$10,955$12,070$6,515-2.11%-1.76%9.93%
200953.98%-1.10%5.85%$11,391$11,937$6,8963.98%-1.10%5.85%
20096-2.08%-0.37%-0.07%$11,154$11,893$6,891-2.08%-0.37%-0.07%
200970.00%0.60%7.46%$11,154$11,963$7,4050.00%0.60%7.46%
200980.19%0.89%3.69%$11,175$12,070$7,6790.19%0.89%3.69%
200991.49%0.92%3.55%$11,341$12,181$7,9511.49%0.92%3.55%
200910-1.39%0.25%-1.92%$11,183$12,212$7,798-1.39%0.25%-1.92%
2009112.38%1.96%6.16%$11,449$12,451$8,2792.38%1.96%6.16%
200912-2.79%-3.13%1.91%$11,129$12,061$8,437-2.79%-3.13%1.91%
20101-4.29%1.97%-3.63%$10,652$12,298$8,130-4.29%1.97%-3.63%
201020.74%0.40%3.12%$10,731$12,348$8,3840.74%0.40%3.12%
20103-0.15%-0.91%6.09%$10,714$12,236$8,894-0.15%-0.91%6.09%
20104-1.39%1.23%1.55%$10,565$12,387$9,032-1.39%1.23%1.55%
20105-0.63%1.85%-7.95%$10,498$12,615$8,314-0.63%1.85%-7.95%
201060.32%2.07%-5.17%$10,531$12,876$7,8840.32%2.07%-5.17%
20107-4.53%1.07%6.83%$10,054$13,014$8,422-4.53%1.07%6.83%
20108-1.20%2.00%-4.50%$9,934$13,275$8,044-1.20%2.00%-4.50%
201092.21%0.36%8.96%$10,154$13,323$8,7642.21%0.36%8.96%
2010102.74%0.45%3.82%$10,432$13,383$9,0992.74%0.45%3.82%
201011-2.23%-0.98%0.00%$10,199$13,251$9,099-2.23%-0.98%0.00%
2010124.92%-2.29%6.68%$10,702$12,948$9,7074.92%-2.29%6.68%
201110.35%0.29%2.33%$10,739$12,985$9,9330.35%0.29%2.33%
201121.28%-0.43%3.47%$10,876$12,929$10,2781.28%-0.43%3.47%
201130.76%-0.12%0.01%$10,959$12,914$10,2790.76%-0.12%0.01%
201141.29%1.60%2.90%$11,100$13,121$10,5771.29%1.60%2.90%
20115-2.84%1.77%-1.12%$10,785$13,353$10,458-2.84%1.77%-1.12%
20116-1.85%-0.16%-1.69%$10,585$13,331$10,282-1.85%-0.16%-1.69%
20117-0.31%2.18%-2.00%$10,552$13,621$10,076-0.31%2.18%-2.00%
20118-0.98%2.70%-5.50%$10,448$13,990$9,522-0.98%2.70%-5.50%
20119-2.07%0.73%-6.94%$10,233$14,092$8,861-2.07%0.73%-6.94%
201110-3.69%-0.42%10.91%$9,855$14,033$9,828-3.69%-0.42%10.91%
2011110.72%0.29%-0.41%$9,925$14,074$9,7880.72%0.29%-0.41%
2011120.13%1.00%1.04%$9,938$14,216$9,8900.13%1.00%1.04%
20121-1.67%0.81%4.64%$9,772$14,331$10,349-1.67%0.81%4.64%
20122-2.12%-0.65%4.34%$9,564$14,237$10,798-2.12%-0.65%4.34%
20123-0.48%-0.79%3.22%$9,519$14,124$11,145-0.48%-0.79%3.22%
20124-1.70%1.50%-0.67%$9,357$14,336$11,071-1.70%1.50%-0.67%
201250.44%1.24%-6.01%$9,398$14,514$10,4060.44%1.24%-6.01%
20126-4.86%-0.22%4.05%$8,942$14,482$10,828-4.86%-0.22%4.05%
201272.41%0.86%1.18%$9,157$14,607$10,9562.41%0.86%1.18%
201280.00%0.10%2.51%$9,157$14,622$11,2300.00%0.10%2.51%
20129-1.86%-0.06%2.54%$8,987$14,612$11,515-1.86%-0.06%2.54%
201210-2.40%-0.32%-1.82%$8,771$14,566$11,305-2.40%-0.32%-1.82%
201211-0.47%0.62%0.57%$8,730$14,656$11,369-0.47%0.62%0.57%
2012120.95%-0.41%0.90%$8,813$14,596$11,4720.95%-0.41%0.90%
201310.52%-0.74%5.12%$8,859$14,488$12,0590.52%-0.74%5.12%
20132-0.14%0.71%1.28%$8,846$14,591$12,213-0.14%0.71%1.28%
201330.89%0.27%3.80%$8,925$14,631$12,6770.89%0.27%3.80%
201342.33%0.71%1.92%$9,132$14,735$12,9202.33%0.71%1.92%
20135-1.91%-1.84%2.36%$8,958$14,464$13,225-1.91%-1.84%2.36%
20136-0.88%-1.62%-1.34%$8,879$14,229$13,048-0.88%-1.62%-1.34%
20137-0.61%0.13%5.17%$8,825$14,247$13,723-0.61%0.13%5.17%
20138-1.46%-1.02%-3.00%$8,697$14,102$13,311-1.46%-1.02%-3.00%
20139-1.15%1.47%3.17%$8,597$14,309$13,733-1.15%1.47%3.17%
2013101.16%0.49%4.63%$8,697$14,379$14,3691.16%0.49%4.63%
2013112.96%-0.14%2.96%$8,954$14,359$14,7952.96%-0.14%2.96%
2013122.69%-1.49%2.59%$9,195$14,145$15,1782.69%-1.49%2.59%
20141-4.42%1.67%-3.52%$8,788$14,381$14,643-4.42%1.67%-3.52%
201420.85%0.21%4.55%$8,863$14,411$15,3090.85%0.21%4.55%
20143-2.15%-0.60%0.83%$8,672$14,325$15,436-2.15%-0.60%0.83%
20144-0.14%0.49%0.70%$8,659$14,395$15,544-0.14%0.49%0.70%
201451.05%1.03%2.32%$8,751$14,543$15,9051.05%1.03%2.32%
201462.80%-0.13%2.06%$8,996$14,525$16,2332.80%-0.13%2.06%
201470.46%-0.39%-1.34%$9,037$14,468$16,0150.46%-0.39%-1.34%
201483.35%1.03%3.95%$9,340$14,617$16,6473.35%1.03%3.95%
201491.29%-0.66%-1.38%$9,460$14,521$16,4171.29%-0.66%-1.38%
201410-1.32%1.12%2.36%$9,336$14,684$16,804-1.32%1.12%2.36%
2014114.80%0.84%2.75%$9,784$14,808$17,2654.80%0.84%2.75%
2014123.43%-0.35%-0.26%$10,120$14,756$17,2213.43%-0.35%-0.26%
201514.69%2.70%-2.96%$10,595$15,154$16,7114.69%2.70%-2.96%
201520.36%-1.59%5.62%$10,633$14,914$17,6500.36%-1.59%5.62%
201533.00%0.76%-1.57%$10,952$15,027$17,3723.00%0.76%-1.57%
20154-4.30%-0.21%0.98%$10,481$14,996$17,543-4.30%-0.21%0.98%
201551.04%-0.12%1.29%$10,591$14,977$17,7691.04%-0.12%1.29%
20156-4.20%-0.74%-2.03%$10,145$14,867$17,408-4.20%-0.74%-2.03%
201572.77%0.85%2.26%$10,427$14,993$17,8012.77%0.85%2.26%
20158-5.12%-0.03%-6.10%$9,893$14,987$16,716-5.12%-0.03%-6.10%
20159-0.38%1.19%-2.54%$9,855$15,165$16,291-0.38%1.19%-2.54%
2015100.51%-0.47%8.51%$9,906$15,094$17,6770.51%-0.47%8.51%
2015113.60%-0.39%0.37%$10,263$15,035$17,7413.60%-0.39%0.37%
201512-2.44%-0.38%-1.72%$10,013$14,978$17,437-2.44%-0.38%-1.72%
201610.39%2.36%-4.98%$10,051$15,331$16,5690.39%2.36%-4.98%
201620.86%0.82%-0.08%$10,138$15,457$16,5550.86%0.82%-0.08%
20163-4.51%0.22%6.72%$9,680$15,491$17,668-4.51%0.22%6.72%
20164-4.63%-0.13%0.39%$9,232$15,471$17,738-4.63%-0.13%0.39%
20165-2.99%-0.21%1.70%$8,956$15,439$18,039-2.99%-0.21%1.70%
201661.59%2.05%0.35%$9,098$15,754$18,1031.59%2.05%0.35%
201672.66%0.04%3.65%$9,340$15,761$18,7632.66%0.04%3.65%
20168-3.51%-0.72%0.12%$9,012$15,647$18,785-3.51%-0.72%0.12%
20169-0.81%0.29%0.01%$8,938$15,692$18,787-0.81%0.29%0.01%
201610-4.68%-0.73%-1.73%$8,520$15,577$18,461-4.68%-0.73%-1.73%
201611-1.42%-2.65%3.68%$8,399$15,164$19,141-1.42%-2.65%3.68%
2016121.12%-0.05%2.03%$8,493$15,156$19,5291.12%-0.05%2.03%
20171-2.14%0.30%1.79%$8,312$15,202$19,879-2.14%0.30%1.79%
201723.88%0.39%3.93%$8,634$15,262$20,6603.88%0.39%3.93%
20173-0.05%0.07%0.13%$8,629$15,272$20,686-0.05%0.07%0.13%
201740.37%0.77%0.99%$8,661$15,390$20,8910.37%0.77%0.99%
201750.00%0.59%1.41%$8,661$15,481$21,1860.00%0.59%1.41%
20176-2.88%-0.47%0.64%$8,411$15,408$21,321-2.88%-0.47%0.64%
201772.48%0.42%2.06%$8,620$15,472$21,7592.48%0.42%2.06%
201781.74%0.86%0.29%$8,770$15,605$21,8231.74%0.86%0.29%
201790.36%-0.83%2.01%$8,802$15,475$22,2620.36%-0.83%2.01%
2017102.53%-0.21%2.36%$9,024$15,443$22,7872.53%-0.21%2.36%
2017110.40%-0.39%3.06%$9,061$15,383$23,4830.40%-0.39%3.06%
2017120.93%0.07%1.21%$9,145$15,394$23,7670.93%0.07%1.21%
201816.44%-1.56%5.64%$9,734$15,154$25,1076.44%-1.56%5.64%
20182-5.71%-0.49%-3.64%$9,178$15,081$24,194-5.71%-0.49%-3.64%
201830.10%0.75%-2.74%$9,188$15,193$23,5310.10%0.75%-2.74%
20184-0.36%-0.92%0.52%$9,155$15,054$23,652-0.36%-0.92%0.52%
20185-3.74%0.76%2.43%$8,812$15,168$24,227-3.74%0.76%2.43%
201860.76%0.11%0.58%$8,879$15,184$24,3670.76%0.11%0.58%
201870.05%-0.35%3.70%$8,884$15,131$25,2690.05%-0.35%3.70%
201883.16%0.77%3.19%$9,164$15,247$26,0763.16%0.77%3.19%
20189-0.99%-0.82%0.59%$9,074$15,123$26,231-0.99%-0.82%0.59%
201810-3.77%-0.06%-6.91%$8,732$15,113$24,418-3.77%-0.06%-6.91%
201811-3.38%0.96%1.85%$8,437$15,259$24,871-3.38%0.96%1.85%
201812-0.11%1.90%-8.79%$8,427$15,548$22,684-0.11%1.90%-8.79%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%45.94%
Large-cap Growth3.94%0.00%53.34%
Mid-cap Value0.00%0.07%0.00%
Mid-cap Growth0.00%0.00%0.29%
Small-cap Value0.00%0.32%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.82%0.00%
Emerging Markets0.00%0.55%0.01%
Corporate Bonds0.00%0.00%0.42%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%63.66%0.00%
Short-Term Treasuries96.06%34.59%0.00%
R Squared1.78%97.37%99.91%
Style analysis is based on monthly returns from Mar 2007 to Dec 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
RYMFXGuggenheim Managed Futures Strategy PManaged Futures1.81%100.00%-$1,573100.00%

Asset Allocation

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFITXVanguard Interm-Term Treasury InvIntermediate Government5.240.20%100.00%$5,548100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%100.00%$12,684100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/03/2019. © 2019 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)-0.09%0.32%0.67%
Arithmetic Mean (annualized)-1.04%3.90%8.34%
Geometric Mean (monthly)-0.12%0.31%0.58%
Geometric Mean (annualized)-1.44%3.80%7.17%
Volatility (monthly)2.60%1.28%4.25%
Volatility (annualized)9.01%4.44%14.72%
Downside Deviation (monthly)1.86%0.69%2.97%
Max. Drawdown-30.23%-4.49%-50.80%
US Market Correlation-0.03-0.261.00
Beta(*)-0.02-0.070.96
Alpha (annualized)-0.91%4.44%0.19%
R20.08%6.55%99.32%
Sharpe Ratio-0.200.710.50
Sortino Ratio-0.271.270.70
Treynor Ratio (%)105.29-41.797.60
Calmar Ratio-0.310.280.68
Active Return-8.63%-3.39%-0.02%
Tracking Error17.90%16.91%1.33%
Information Ratio-0.48-0.20-0.02
Skewness0.280.52-0.76
Excess Kurtosis1.051.871.66
Historical Value-at-Risk (5%)-4.53%-1.74%-7.80%
Analytical Value-at-Risk (5%)-4.37%-1.79%-6.32%
Conditional Value-at-Risk (5%)-5.07%-2.31%-10.00%
Upside Capture Ratio (%)1.652.2097.00
Downside Capture Ratio (%)12.03-20.4896.65
Safe Withdrawal Rate7.17%10.21%9.30%
Perpetual Withdrawal Rate0.00%1.90%4.94%
Positive Periods73 out of 142 (51.41%)83 out of 142 (58.45%)93 out of 142 (65.49%)
Gain/Loss Ratio0.831.400.78
* 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 2009-9.84%-3.43%-50.80%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2008Jan 20178 years 2 months-30.23%
2Jun 2008Aug 20083 monthsOct 20082 months5 months-9.84%
3Jul 2007Aug 20072 monthsOct 20072 months4 months-1.58%
4May 2007May 20071 monthJun 20071 month2 months-1.03%
5Mar 2008Mar 20081 monthMay 20082 months3 months-0.70%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Apr 20181 year 9 months-4.49%
2May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-4.30%
3Nov 2010Mar 20115 monthsJul 20114 months9 months-3.50%
4Apr 2008May 20082 monthsNov 20086 months8 months-3.43%
5Apr 2009Jun 20093 monthsNov 20095 months8 months-3.20%
6Dec 2009Dec 20091 monthMay 20105 months6 months-3.13%
7Jan 2009Feb 20092 monthsMar 20091 month3 months-2.96%
8Feb 2015Jun 20155 monthsSep 20153 months8 months-1.90%
9Feb 2012Mar 20122 monthsApr 20121 month3 months-1.44%
10May 2007Jun 20072 monthsJul 20071 month3 months-1.37%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.80%
2Oct 2018Dec 20183 months-13.52%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-4.55%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.52%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.21%
9Aug 2013Aug 20131 monthSep 20131 month2 months-3.00%
10Jun 2015Jun 20151 monthJul 20151 month2 months-2.03%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
RYMFXGuggenheim Managed Futures Strategy P-1.44%9.01%10.06%-15.18%-30.23%-0.20-0.27-0.03
VFITXVanguard Interm-Term Treasury Inv3.80%4.44%13.32%-3.09%-4.49%0.711.27-0.26
SPYSPDR S&P 500 ETF7.17%14.72%32.31%-36.81%-50.80%0.500.701.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameRYMFXVFITXSPYPortfolio 1Portfolio 2Portfolio 3
RYMFXGuggenheim Managed Futures Strategy P--0.02-0.011.00-0.02-0.01
VFITXVanguard Interm-Term Treasury Inv-0.02--0.25-0.021.00-0.25
SPYSPDR S&P 500 ETF-0.01-0.25--0.01-0.251.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
RYMFXGuggenheim Managed Futures Strategy P-$1,573
VFITXVanguard Interm-Term Treasury Inv$5,548
SPYSPDR S&P 500 ETF$12,684

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
RYMFXGuggenheim Managed Futures Strategy P100.00%
VFITXVanguard Interm-Term Treasury Inv100.00%
SPYSPDR S&P 500 ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year-1.82%10.06%-15.18%3.45%13.32%-3.09%8.97%32.31%-36.81%
3 years-2.68%4.35%-7.48%3.10%6.57%0.87%11.40%20.31%-2.78%
5 years-2.24%0.74%-4.58%2.91%6.16%1.07%12.27%17.85%1.66%
7 years-2.25%-0.81%-3.79%2.91%4.53%1.29%12.18%14.70%7.23%
10 years-2.37%-1.57%-3.16%2.99%3.58%2.40%10.73%13.01%8.45%
Result statistics are based on annualized rolling returns over full calendar year periods