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 
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Asset 4
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Asset 6
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Portfolio Analysis Results (Jul 2000 - Oct 2020)

Portfolio Allocations

2.5x TIPS
Ticker Name Allocation
VIPSX Vanguard Inflation-Protected Secs Inv 250.00%
CASHX Cash -150.00%
Save portfolio »
Gold
Ticker Name Allocation
^GOLD Gold Price Index 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
2.5x TIPS$100$73,171 38.31% 10.26%8.26%13.85%38.87%-22.36%-30.25%
(-28.14%)
0.671.020.06
Gold$100$78,652 38.81% 9.67%8.90%16.71%31.92%-27.33%-41.55%
(-32.53%)
0.550.880.05
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
2.5x TIPS-0.16%20.26%21.56%10.25%8.39%6.06%10.26%
Gold-4.23%24.24%24.55%14.00%10.50%3.40%9.67%
Trailing returns are for full months ending in October 2020 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 2000 are based on monthly returns from July to December
  • The annual results for 2020 are based on monthly returns from January to October
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted monthly contribution of $100 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Inflation-Protected Secs Inv (VIPSX)Cash (CASHX)Gold Price Index (^GOLD)
2.5x TIPSGold2.5x TIPSGoldAdjustment
20000.93%10.10%-4.75%$744$704$6045.92%3.08%-4.75%
20011.55%13.49%0.75%$2,081$1,967$1,2327.61%3.70%0.75%
20022.38%38.87%25.57%$4,356$3,861$1,25216.61%1.65%25.57%
20031.88%18.40%19.89%$6,530$6,085$1,2808.00%1.04%19.89%
20043.26%18.55%4.65%$9,173$7,766$1,3158.24%1.32%4.65%
20053.42%1.79%17.77%$10,705$10,704$1,3592.59%3.14%17.77%
20062.54%-6.03%23.20%$11,430$14,638$1,4030.43%4.82%23.20%
20074.08%21.80%31.92%$15,556$21,030$1,44311.59%4.56%31.92%
20080.09%-9.27%4.32%$15,464$23,427$1,499-2.85%1.53%4.32%
20092.72%26.76%25.04%$21,253$30,957$1,49310.80%0.16%25.04%
20101.50%15.20%29.24%$26,065$41,752$1,5186.17%0.14%29.24%
20112.96%32.98%8.93%$36,444$47,019$1,56613.24%0.07%8.93%
20121.74%16.81%8.26%$44,252$52,486$1,5986.78%0.08%8.26%
20131.50%-22.36%-27.33%$35,800$39,559$1,622-8.92%0.05%-27.33%
20140.76%9.52%0.12%$40,843$41,194$1,6483.83%0.03%0.12%
20150.73%-4.64%-12.11%$40,509$37,730$1,650-1.83%0.05%-12.11%
20162.07%10.86%8.10%$46,558$42,327$1,6714.52%0.30%8.10%
20172.11%5.71%12.66%$50,955$49,427$1,7062.81%0.88%12.66%
20181.91%-6.54%-0.93%$49,328$50,738$1,748-1.49%1.90%-0.93%
20192.29%16.90%18.43%$59,525$62,018$1,7808.06%2.13%18.43%
20201.29%20.26%24.24%$73,171$78,652$1,4998.37%0.43%24.24%
Annual returns for 2000 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Inflation-Protected Secs Inv (VIPSX)Cash (CASHX)Gold Price Index (^GOLD)
2.5x TIPSGold2.5x TIPSGold
200071.27%-3.96%$202$1960.80%0.48%-3.96%
200080.96%0.09%$304$2970.69%0.51%0.09%
200090.70%-1.21%$407$3940.59%0.52%-1.21%
2000102.16%-3.34%$516$4821.18%0.51%-3.34%
2000112.80%1.74%$632$5911.46%0.52%1.74%
2000121.82%1.99%$744$7041.06%0.51%1.99%
200114.11%-3.63%$876$7801.93%0.48%-3.63%
200123.58%0.83%$1,010$8881.71%0.41%0.83%
200131.67%-3.37%$1,129$9600.93%0.40%-3.37%
200140.84%2.11%$1,241$1,0830.56%0.35%2.11%
200152.18%1.65%$1,371$1,2041.11%0.32%1.65%
20016-0.63%1.16%$1,466$1,322-0.10%0.30%1.16%
200173.30%-1.74%$1,617$1,4021.58%0.30%-1.74%
200180.26%2.67%$1,724$1,5420.28%0.29%2.67%
200190.89%7.36%$1,843$1,7590.54%0.28%7.36%
2001104.99%-4.90%$2,038$1,7762.30%0.20%-4.90%
200111-5.39%-1.17%$2,031$1,858-2.34%0.17%-1.17%
200112-2.60%0.36%$2,081$1,967-1.05%0.15%0.36%
200211.20%2.10%$2,208$2,1110.56%0.14%2.10%
200223.74%5.15%$2,394$2,3231.59%0.14%5.15%
20023-1.77%1.53%$2,455$2,462-0.64%0.15%1.53%
200246.64%2.26%$2,722$2,6222.79%0.15%2.26%
200253.44%5.97%$2,920$2,8831.54%0.15%5.97%
200262.92%-2.48%$3,110$2,9161.34%0.14%-2.48%
200273.69%-4.35%$3,329$2,8941.70%0.14%-4.35%
200287.88%2.68%$3,696$3,0763.60%0.14%2.68%
200295.13%3.48%$3,991$3,2882.46%0.14%3.48%
200210-5.90%-2.10%$3,861$3,324-2.75%0.13%-2.10%
200211-0.14%0.68%$3,961$3,4520.00%0.12%0.68%
2002127.34%8.82%$4,356$3,8613.45%0.10%8.82%
200311.33%5.85%$4,519$4,1930.59%0.10%5.85%
200329.02%-5.46%$5,033$4,0703.69%0.10%-5.46%
20033-3.95%-3.63%$4,942$4,029-1.62%0.10%-3.63%
20034-0.93%0.57%$5,002$4,159-0.33%0.09%0.57%
2003511.36%7.32%$5,677$4,5704.73%0.09%7.32%
20036-2.13%-4.26%$5,662$4,481-0.88%0.09%-4.26%
20037-10.42%2.53%$5,179$4,701-4.47%0.07%2.53%
200384.08%5.88%$5,497$5,0851.70%0.08%5.88%
200397.54%3.30%$6,018$5,3603.18%0.08%3.30%
2003101.03%-0.45%$6,187$5,4430.49%0.08%-0.45%
2003110.08%3.13%$6,300$5,7210.08%0.08%3.13%
2003121.96%4.49%$6,530$6,0850.90%0.08%4.49%
200412.95%-3.96%$6,830$5,9511.23%0.08%-3.96%
200425.26%-0.98%$7,297$6,0012.18%0.08%-0.98%
200433.48%7.04%$7,660$6,5321.50%0.08%7.04%
20044-11.08%-8.31%$6,920$6,098-4.69%0.08%-8.31%
200454.20%1.22%$7,320$6,2821.72%0.08%1.22%
20046-0.19%0.65%$7,417$6,433-0.02%0.09%0.65%
200472.25%-1.11%$7,694$6,4720.99%0.11%-1.11%
200486.12%4.05%$8,274$6,8442.60%0.12%4.05%
200490.39%2.06%$8,417$7,0950.24%0.13%2.06%
2004101.87%2.38%$8,684$7,3750.88%0.14%2.38%
200411-0.94%6.54%$8,714$7,968-0.32%0.16%6.54%
2004124.00%-3.93%$9,173$7,7661.83%0.18%-3.93%
20051-0.27%-3.09%$9,258$7,6360.00%0.18%-3.09%
20052-1.51%3.15%$9,230$7,988-0.48%0.21%3.15%
20053-0.01%-1.83%$9,341$7,9550.13%0.23%-1.83%
200544.31%1.92%$9,857$8,2201.84%0.23%1.92%
200551.40%-4.88%$10,107$7,9320.71%0.24%-4.88%
200560.45%5.47%$10,265$8,4780.33%0.25%5.47%
20057-5.21%-1.85%$9,844$8,434-1.99%0.26%-1.85%
200585.09%0.99%$10,458$8,6322.19%0.28%0.99%
20059-0.65%9.23%$10,506$9,544-0.09%0.29%9.23%
200510-3.57%-0.53%$10,247$9,609-1.28%0.29%-0.53%
200511-0.08%5.29%$10,353$10,2320.16%0.33%5.29%
2005122.30%3.50%$10,705$10,7041.11%0.32%3.50%
20061-0.09%10.87%$10,810$11,9830.16%0.33%10.87%
20062-0.96%-2.24%$10,822$11,829-0.16%0.37%-2.24%
20063-5.96%4.68%$10,293$12,499-2.14%0.38%4.68%
20064-0.83%10.65%$10,324$13,947-0.08%0.38%10.65%
200650.03%1.40%$10,445$14,2590.25%0.39%1.40%
200660.16%-6.05%$10,579$13,5140.31%0.40%-6.05%
200673.59%3.10%$11,077$14,0511.62%0.41%3.10%
200683.66%-1.42%$11,601$13,9691.68%0.42%-1.42%
20069-0.16%-3.89%$11,700$13,5440.18%0.41%-3.89%
200610-1.03%0.75%$11,697$13,762-0.17%0.40%0.75%
2006112.33%7.11%$12,087$14,8581.17%0.42%7.11%
200612-6.41%-2.27%$11,430$14,638-2.32%0.41%-2.27%
20071-0.19%2.93%$11,525$15,1840.17%0.41%2.93%
200724.46%2.11%$12,157$15,6212.03%0.42%2.11%
20073-0.16%-0.37%$12,257$15,6830.18%0.42%-0.37%
200741.24%2.30%$12,529$16,1640.75%0.41%2.30%
20075-3.59%-2.64%$12,200$15,857-1.24%0.40%-2.64%
20076-1.06%-1.30%$12,192$15,771-0.20%0.39%-1.30%
200775.01%2.31%$12,923$16,2562.25%0.39%2.31%
200781.67%0.98%$13,260$16,5350.93%0.40%0.98%
200792.57%10.57%$13,721$18,4031.26%0.33%10.57%
2007102.34%6.26%$14,164$19,6761.17%0.31%6.26%
2007118.82%-0.76%$15,535$19,6483.97%0.32%-0.76%
200712-0.65%6.41%$15,556$21,030-0.15%0.26%6.41%
200819.02%10.73%$17,082$23,4103.78%0.28%10.73%
200823.09%5.23%$17,732$24,7571.39%0.16%5.23%
200830.01%-3.91%$17,857$23,9120.09%0.15%-3.91%
20084-5.02%-6.70%$17,086$22,436-2.08%0.11%-6.70%
200850.02%1.69%$17,215$22,9410.08%0.12%1.69%
200864.36%5.02%$18,092$24,2211.90%0.15%5.02%
20087-1.50%-1.32%$17,948$24,030-0.55%0.16%-1.32%
200881.12%-9.26%$18,276$21,9320.55%0.14%-9.26%
20089-9.32%6.18%$16,701$23,415-3.88%0.14%6.18%
200810-22.11%-17.38%$13,134$19,470-8.83%0.08%-17.38%
2008110.46%11.46%$13,318$21,8250.18%0.04%11.46%
20081215.20%6.78%$15,464$23,4275.23%0.00%6.78%
200912.37%5.72%$15,954$24,8900.95%0.01%5.72%
20092-4.06%3.53%$15,430$25,892-1.63%0.02%3.53%
2009315.10%-3.73%$17,883$25,0505.99%0.02%-3.73%
20094-4.44%-3.63%$17,213$24,265-1.90%0.02%-3.63%
200954.40%10.44%$18,095$26,9241.85%0.01%10.44%
200960.75%-4.20%$18,356$25,9170.33%0.01%-4.20%
200970.17%0.48%$18,512$26,1670.08%0.02%0.48%
200982.46%1.76%$19,093$26,7521.07%0.02%1.76%
200994.26%4.21%$20,032$28,0041.87%0.01%4.21%
2009103.20%4.44%$20,797$29,3741.44%0.01%4.44%
2009116.05%13.05%$22,180$33,3332.76%0.00%13.05%
200912-4.75%-7.51%$21,253$30,957-2.23%0.01%-7.51%
201013.78%-0.83%$22,181$30,8261.51%0.01%-0.83%
20102-2.89%2.76%$21,666$31,802-1.18%0.01%2.76%
201030.09%0.65%$21,812$32,1370.04%0.01%0.65%
201046.13%5.71%$23,276$34,1002.47%0.01%5.71%
201050.17%2.40%$23,442$35,0430.08%0.01%2.40%
201063.14%3.02%$24,303$36,2291.32%0.01%3.02%
20107-0.20%-6.03%$24,381$34,171-0.08%0.02%-6.03%
201084.53%6.59%$25,613$36,5481.93%0.01%6.59%
201091.60%4.90%$26,150$38,4640.70%0.01%4.90%
2010105.82%3.04%$27,800$39,7612.56%0.01%3.04%
201011-3.75%2.73%$26,886$40,973-1.69%0.01%2.73%
201012-3.53%1.59%$26,065$41,752-1.55%0.01%1.59%
20111-0.02%-5.59%$26,189$39,5470.00%0.01%-5.59%
201122.29%6.33%$26,917$42,1790.92%0.01%6.33%
201132.24%1.98%$27,649$43,1460.91%0.01%1.98%
201145.91%6.71%$29,413$46,1702.43%0.01%6.71%
201150.69%0.07%$29,748$46,3310.30%0.00%0.07%
201161.51%-2.02%$30,330$45,5270.65%0.01%-2.02%
201179.01%8.17%$33,192$49,3783.87%0.00%8.17%
201181.90%11.36%$33,953$55,1180.86%0.01%11.36%
201190.14%-10.67%$34,132$49,3690.06%0.00%-10.67%
2011104.23%6.30%$35,707$52,6091.93%0.00%6.30%
2011110.90%1.39%$36,160$53,4730.42%0.00%1.39%
2011120.42%-12.31%$36,444$47,0190.20%0.00%-12.31%
201215.49%13.91%$38,576$53,6922.20%0.00%13.91%
20122-1.01%1.49%$38,317$54,625-0.42%0.01%1.49%
20123-2.63%-6.07%$37,444$51,440-1.07%0.01%-6.07%
201245.06%-0.68%$39,471$51,2262.05%0.01%-0.68%
201254.31%-5.65%$41,306$48,4661.80%0.01%-5.65%
20126-1.46%2.60%$40,836$49,859-0.62%0.01%2.60%
201274.37%1.47%$42,752$50,7251.85%0.01%1.47%
20128-0.48%1.63%$42,681$51,687-0.20%0.01%1.63%
201291.13%7.73%$43,297$55,8190.49%0.01%7.73%
2012101.54%-3.21%$44,097$54,1620.67%0.01%-3.21%
2012111.06%0.41%$44,696$54,5160.47%0.01%0.41%
201212-1.29%-3.97%$44,252$52,486-0.57%0.01%-3.97%
20131-1.73%0.44%$43,621$52,849-0.69%0.00%0.44%
201320.34%-4.58%$43,905$50,5630.14%0.01%-4.58%
201330.53%0.61%$44,271$51,0080.21%0.01%0.61%
201341.91%-8.09%$45,251$47,0180.76%0.01%-8.09%
20135-10.60%-5.07%$40,588$44,769-4.26%0.00%-5.07%
20136-10.50%-14.52%$36,462$38,403-3.94%0.00%-14.52%
201372.56%10.28%$37,530$42,4850.90%0.00%10.28%
20138-4.80%6.10%$35,865$45,215-1.71%0.00%6.10%
201394.86%-4.89%$37,742$43,1381.68%0.00%-4.89%
2013101.26%-0.19%$38,353$43,1920.45%0.00%-0.19%
201311-2.91%-5.36%$37,371$41,011-1.04%0.00%-5.36%
201312-4.57%-3.87%$35,800$39,559-1.60%0.01%-3.87%
201415.38%3.86%$37,863$41,2222.16%0.01%3.86%
201420.73%6.04%$38,275$43,8460.30%0.00%6.04%
20143-1.13%-2.62%$37,980$42,834-0.47%0.00%-2.62%
201443.30%-0.25%$39,370$42,8641.36%0.00%-0.25%
201454.80%-2.95%$41,396$41,7382.01%0.00%-2.95%
201460.72%5.16%$41,833$44,0290.31%0.00%5.16%
20147-0.00%-2.26%$41,969$43,1710.00%0.00%-2.26%
201481.19%0.04%$42,604$43,3260.51%0.00%0.04%
20149-5.71%-5.39%$40,310$41,130-2.49%0.00%-5.39%
2014101.78%-4.30%$41,165$39,5010.75%0.00%-4.30%
2014110.70%1.59%$41,589$40,2660.30%0.00%1.59%
201412-2.12%1.97%$40,843$41,194-0.91%0.00%1.97%
201517.77%4.50%$44,153$43,1823.11%0.00%4.50%
20152-3.35%-3.67%$42,811$41,734-1.40%0.00%-3.67%
20153-1.03%-2.22%$42,507$40,943-0.42%0.00%-2.22%
201541.65%-0.57%$43,347$40,8470.67%0.00%-0.57%
20155-2.54%0.94%$42,385$41,371-1.04%0.00%0.94%
20156-2.23%-1.71%$41,579$40,801-0.90%0.00%-1.71%
201571.14%-6.20%$42,190$38,4100.46%0.00%-6.20%
20158-2.26%3.33%$41,373$39,828-0.91%0.01%3.33%
20159-1.16%-1.85%$41,030$39,229-0.46%0.01%-1.85%
2015100.58%2.54%$41,407$40,3650.23%0.00%2.54%
201511-0.40%-7.04%$41,380$37,660-0.15%0.01%-7.04%
201512-2.44%-0.18%$40,509$37,730-0.95%0.02%-0.18%
201613.87%4.89%$42,216$39,7111.56%0.01%4.89%
201622.59%11.07%$43,445$44,2461.07%0.03%11.07%
201634.53%0.17%$45,551$44,4591.90%0.03%0.17%
201640.33%3.93%$45,838$46,3460.15%0.02%3.93%
20165-1.59%-5.72%$45,247$43,834-0.67%0.02%-5.72%
201665.31%8.96%$47,789$47,9032.26%0.03%8.96%
201671.48%1.61%$48,638$48,8130.66%0.02%1.61%
20168-1.02%-2.44%$48,281$47,762-0.44%0.02%-2.44%
201691.64%1.01%$49,211$48,3850.73%0.03%1.01%
201610-1.18%-3.82%$48,770$46,678-0.51%0.02%-3.82%
201611-4.70%-7.38%$46,619$43,372-2.04%0.03%-7.38%
201612-0.43%-2.73%$46,558$42,327-0.16%0.04%-2.73%
201712.44%5.84%$47,835$44,9391.00%0.04%5.84%
201720.88%3.53%$48,396$46,6660.38%0.04%3.53%
20173-0.05%-0.86%$48,516$46,4080.01%0.04%-0.86%
201741.03%1.74%$49,156$47,3550.46%0.06%1.74%
20175-0.09%-0.02%$49,252$47,4880.00%0.07%-0.02%
20176-2.44%-1.89%$48,190$46,731-0.95%0.08%-1.89%
201771.20%2.04%$48,911$47,8250.54%0.08%2.04%
201782.12%3.49%$50,089$49,6350.91%0.09%3.49%
20179-1.84%-2.18%$49,309$48,694-0.71%0.08%-2.18%
2017100.44%-1.01%$49,667$48,3460.23%0.09%-1.01%
2017110.05%0.79%$49,835$48,8720.08%0.09%0.79%
2017121.96%0.84%$50,955$49,4270.86%0.10%0.84%
20181-2.47%4.19%$49,839$51,640-0.92%0.11%4.19%
20182-2.54%-2.02%$48,717$50,740-0.93%0.12%-2.02%
201832.16%0.46%$49,914$51,1160.92%0.14%0.46%
20184-0.42%-0.80%$49,851$50,850-0.08%0.14%-0.80%
201850.36%-0.60%$50,175$50,6920.23%0.15%-0.60%
201861.52%-4.21%$51,081$48,7060.69%0.16%-4.21%
20187-1.61%-2.36%$50,406$47,703-0.54%0.16%-2.36%
201881.33%-1.52%$51,222$47,1270.62%0.17%-1.52%
20189-2.66%-1.26%$50,008$46,677-0.95%0.17%-1.26%
201810-3.92%2.33%$48,193$47,913-1.42%0.18%2.33%
2018110.74%0.21%$48,695$48,1620.40%0.19%0.21%
2018121.00%5.05%$49,328$50,7380.50%0.19%5.05%
201913.31%3.46%$51,105$52,6401.44%0.20%3.46%
20192-0.67%-0.31%$50,907$52,623-0.16%0.20%-0.31%
201934.38%-1.80%$53,287$51,8231.90%0.20%-1.80%
201940.28%-1.01%$53,586$51,4470.23%0.20%-1.01%
201953.81%1.03%$55,776$52,1281.71%0.20%1.03%
201961.63%8.76%$56,831$56,8410.80%0.19%8.76%
201970.30%1.32%$57,150$57,7380.23%0.17%1.32%
201985.05%7.06%$60,183$61,9662.27%0.17%7.06%
20199-2.61%-2.82%$58,761$60,367-1.07%0.16%-2.82%
201910-0.54%1.73%$58,591$61,559-0.15%0.15%1.73%
2019110.36%-3.36%$58,949$59,6390.23%0.13%-3.36%
2019120.73%3.74%$59,525$62,0180.39%0.13%3.74%
202015.12%4.58%$62,723$65,0112.12%0.13%4.58%
202022.16%1.62%$64,230$66,2130.97%0.13%1.62%
20203-3.29%-0.06%$62,264$66,326-1.31%0.10%-0.06%
202046.18%5.83%$66,263$70,3422.54%0.01%5.83%
202051.19%1.52%$67,201$71,5620.51%0.01%1.52%
202062.53%2.28%$69,050$73,3431.09%0.01%2.28%
202075.28%11.13%$72,843$81,6572.29%0.01%11.13%
202082.19%-0.38%$74,590$81,4940.98%0.01%-0.38%
20209-0.75%-3.60%$74,180$78,712-0.33%0.01%-3.60%
202010-1.56%-0.27%$73,171$78,652-0.70%0.01%-0.27%
* End-of-month balance includes the monthly contribution/withdrawal
Portfolio return and risk metrics
Metric2.5x TIPSGold
Arithmetic Mean (monthly)0.90%0.89%
Arithmetic Mean (annualized)11.33%11.19%
Geometric Mean (monthly)0.82%0.77%
Geometric Mean (annualized)10.26%9.67%
Volatility (monthly)4.00%4.82%
Volatility (annualized)13.85%16.71%
Downside Deviation (monthly)2.58%2.96%
Max. Drawdown-30.25%-41.55%
US Market Correlation0.060.05
Beta(*)0.060.05
Alpha (annualized)10.37%10.27%
R20.39%0.23%
Sharpe Ratio0.670.55
Sortino Ratio1.020.88
Treynor Ratio (%)167.33178.91
Calmar Ratio1.261.19
Active Return3.87%3.28%
Tracking Error20.14%22.25%
Information Ratio0.190.15
Skewness-0.70-0.13
Excess Kurtosis5.530.83
Historical Value-at-Risk (5%)-5.16%-6.17%
Analytical Value-at-Risk (5%)-5.81%-7.04%
Conditional Value-at-Risk (5%)-9.05%-9.61%
Upside Capture Ratio (%)19.7420.29
Downside Capture Ratio (%)-28.88-24.91
Safe Withdrawal Rate12.04%10.16%
Perpetual Withdrawal Rate7.57%7.06%
Positive Periods156 out of 244 (63.93%)142 out of 244 (58.20%)
Gain/Loss Ratio1.071.16
* 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 PeriodStartEnd2.5x TIPSGold
Subprime CrisisNov 2007Mar 2009-30.25%-24.78%

Drawdowns for 2.5x TIPS

Drawdowns for 2.5x TIPS (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsOct 20091 year1 year 7 months-30.25%
2Dec 2012Dec 20131 year 1 monthAug 20195 years 8 months6 years 9 months-23.37%
3Jun 2003Jul 20032 monthsDec 20035 months7 months-12.33%
4Apr 2004Apr 20041 monthAug 20044 months5 months-11.08%
5Jul 2005Apr 200610 monthsSep 20071 year 5 months2 years 3 months-9.98%
6Nov 2001Dec 20012 monthsApr 20024 months6 months-7.85%
7Nov 2010Jan 20113 monthsApr 20113 months6 months-7.15%
8Oct 2002Nov 20022 monthsDec 20021 month3 months-6.03%
9Mar 2003Apr 20032 monthsMay 20031 month3 months-4.84%
10Dec 2009Dec 20091 monthApr 20104 months5 months-4.75%
Worst 10 drawdowns included above

Drawdowns for Gold

Drawdowns for Gold (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2011Dec 20154 years 4 monthsJul 20204 years 7 months8 years 11 months-41.55%
2Mar 2008Oct 20088 monthsMay 20097 months1 year 3 months-24.78%
3Jul 2000Mar 20019 monthsSep 20016 months1 year 3 months-10.57%
4Feb 2003Mar 20032 monthsAug 20035 months7 months-8.88%
5Dec 2004May 20056 monthsSep 20054 months10 months-8.59%
6Apr 2004Apr 20041 monthOct 20046 months7 months-8.31%
7Dec 2009Jan 20102 monthsApr 20103 months5 months-8.27%
8Jun 2006Sep 20064 monthsFeb 20075 months9 months-8.23%
9Jun 2002Jul 20022 monthsDec 20025 months7 months-6.72%
10Jul 2010Jul 20101 monthAug 20101 month2 months-6.03%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VIPSXVanguard Inflation-Protected Secs Inv5.27%5.69%16.61%-8.92%-12.50%0.671.020.05
CASHXCash1.52%0.49%4.82%0.03%0.00%N/AN/A-0.12
^GOLDGold Price Index9.67%16.71%31.92%-27.33%-41.55%0.550.880.05

Monthly Correlations

Correlations for the portfolio assets
TickerNameVIPSXCASHX^GOLD2.5x TIPSGold
VIPSXVanguard Inflation-Protected Secs Inv1.000.070.421.000.42
CASHXCash0.071.000.040.020.04
^GOLDGold Price Index0.420.041.000.411.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerName2.5x TIPSGold
VIPSXVanguard Inflation-Protected Secs Inv$49,457
CASHXCash-$7,271
^GOLDGold Price Index$47,666

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerName2.5x TIPSGold
VIPSXVanguard Inflation-Protected Secs Inv100.08%
CASHXCash-0.08%
^GOLDGold Price Index100.00%

Annual Asset Returns

Rolling returns summary
Roll Period2.5x TIPSGold
AverageHighLowAverageHighLow
1 year10.46%38.87%-22.36%10.45%31.92%-27.33%
3 years9.15%24.92%-6.75%9.91%24.16%-13.84%
5 years8.32%17.62%-1.02%9.44%22.33%-5.63%
7 years8.37%14.48%0.52%9.48%19.67%-2.54%
10 years9.22%14.87%6.39%10.07%18.67%3.37%
15 years8.19%10.21%6.27%8.99%9.94%7.77%
Result statistics are based on annualized rolling returns over full calendar year periods