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 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 (Mar 2003 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
CTFAX Columbia Thermostat A 100.00%
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Portfolio 2
Ticker Name Allocation
VWIAX Vanguard Wellesley Income Admiral 100.00%
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Portfolio 3
Ticker Name Allocation
PRWCX T. Rowe Price Capital Appreciation 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$38,050 7.94% 9.62%31.98%-30.67%-42.55% 0.711.060.85
Portfolio 2$10,000$34,418 7.32% 6.02%16.47%-9.79%-18.72% 0.991.550.81
Portfolio 3$10,000$60,566 10.84% 10.63%33.05%-27.17%-36.61% 0.901.360.96
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 17.72%22.18%26.14%12.28%9.06%9.41%7.94%
Portfolio 23.51%3.47%6.63%6.91%7.56%7.77%7.32%
Portfolio 37.43%7.46%13.76%11.89%11.61%12.72%10.84%
Trailing returns are for full months ending in August 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 2003 are based on monthly returns from March to December
  • The annual results for 2020 are based on monthly returns from January to August
  • 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
YearInflationReturnBalanceColumbia Thermostat A (CTFAX)Vanguard Wellesley Income Admiral (VWIAX)T. Rowe Price Capital Appreciation (PRWCX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20030.66%23.11%11.40%28.73%$12,311$11,140$12,87323.11%11.40%28.73%
20043.26%8.92%7.68%15.29%$13,408$11,995$14,8418.92%7.68%15.29%
20053.42%5.25%3.56%6.85%$14,112$12,421$15,8585.25%3.56%6.85%
20062.54%10.56%11.39%14.54%$15,602$13,836$18,16510.56%11.39%14.54%
20074.08%8.19%5.76%4.56%$16,880$14,633$18,9948.19%5.76%4.56%
20080.09%-30.67%-9.79%-27.17%$11,702$13,200$13,833-30.67%-9.79%-27.17%
20092.72%31.98%16.14%33.05%$15,445$15,329$18,40531.98%16.14%33.05%
20101.50%17.28%10.71%14.07%$18,114$16,971$20,99517.28%10.71%14.07%
20112.96%4.62%9.74%3.19%$18,952$18,625$21,6654.62%9.74%3.19%
20121.74%13.34%10.10%14.70%$21,479$20,506$24,85013.34%10.10%14.70%
20131.50%9.07%9.27%22.43%$23,428$22,407$30,4249.07%9.27%22.43%
20140.76%5.30%8.15%12.25%$24,671$24,233$34,1525.30%8.15%12.25%
20150.73%0.07%1.35%5.42%$24,688$24,560$36,0020.07%1.35%5.42%
20162.07%4.47%8.16%8.22%$25,792$26,563$38,9624.47%8.16%8.22%
20172.11%5.19%10.26%15.38%$27,129$29,288$44,9525.19%10.26%15.38%
20181.91%-0.13%-2.49%0.62%$27,093$28,559$45,229-0.13%-2.49%0.62%
20192.29%14.94%16.47%24.61%$31,142$33,263$56,36014.94%16.47%24.61%
20200.83%22.18%3.47%7.46%$38,050$34,418$60,56622.18%3.47%7.46%
Annual returns for 2003 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceColumbia Thermostat A (CTFAX)Vanguard Wellesley Income Admiral (VWIAX)T. Rowe Price Capital Appreciation (PRWCX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200330.89%-0.07%-0.36%$10,089$9,993$9,9640.89%-0.07%-0.36%
200345.10%3.38%5.36%$10,604$10,332$10,4985.10%3.38%5.36%
200354.48%4.28%5.23%$11,079$10,774$11,0474.48%4.28%5.23%
200361.33%0.16%1.96%$11,226$10,792$11,2641.33%0.16%1.96%
200370.53%-3.36%0.13%$11,286$10,429$11,2780.53%-3.36%0.13%
200382.02%0.39%1.98%$11,514$10,469$11,5022.02%0.39%1.98%
20039-0.26%1.75%-0.13%$11,484$10,653$11,487-0.26%1.75%-0.13%
2003103.36%0.43%4.78%$11,870$10,699$12,0363.36%0.43%4.78%
2003111.17%0.59%1.92%$12,009$10,762$12,2671.17%0.59%1.92%
2003122.51%3.51%4.94%$12,311$11,140$12,8732.51%3.51%4.94%
200411.38%0.45%1.03%$12,481$11,190$13,0051.38%0.45%1.03%
200421.12%1.41%2.32%$12,621$11,348$13,3071.12%1.41%2.32%
200430.32%0.32%-0.44%$12,661$11,385$13,2480.32%0.32%-0.44%
20044-2.06%-2.14%-1.17%$12,401$11,141$13,093-2.06%-2.14%-1.17%
200450.32%-0.34%0.22%$12,441$11,103$13,1230.32%-0.34%0.22%
200461.59%1.10%3.14%$12,639$11,225$13,5351.59%1.10%3.14%
20047-1.51%0.38%-1.09%$12,448$11,268$13,388-1.51%0.38%-1.09%
200480.56%2.07%0.55%$12,518$11,501$13,4610.56%2.07%0.55%
200491.28%0.69%2.30%$12,679$11,580$13,7701.28%0.69%2.30%
2004101.66%0.66%0.48%$12,889$11,657$13,8361.66%0.66%0.48%
2004112.33%0.87%5.16%$13,190$11,758$14,5502.33%0.87%5.16%
2004121.66%2.01%2.00%$13,408$11,995$14,8411.66%2.01%2.00%
20051-0.69%-0.11%-1.44%$13,316$11,981$14,628-0.69%-0.11%-1.44%
200520.84%1.24%2.45%$13,429$12,130$14,9860.84%1.24%2.45%
20053-1.29%-1.39%-1.37%$13,255$11,962$14,781-1.29%-1.39%-1.37%
20054-0.93%0.97%-1.55%$13,132$12,077$14,552-0.93%0.97%-1.55%
200552.41%1.07%1.88%$13,449$12,207$14,8262.41%1.07%1.88%
200561.06%0.88%1.08%$13,592$12,314$14,9861.06%0.88%1.08%
200571.61%0.11%3.46%$13,811$12,328$15,5041.61%0.11%3.46%
200580.08%0.80%-0.05%$13,821$12,426$15,4960.08%0.80%-0.05%
200590.08%-0.28%0.34%$13,832$12,391$15,5500.08%-0.28%0.34%
200510-1.28%-1.32%-1.67%$13,655$12,228$15,291-1.28%-1.32%-1.67%
2005112.29%1.04%2.94%$13,967$12,356$15,7402.29%1.04%2.94%
2005121.04%0.53%0.75%$14,112$12,421$15,8581.04%0.53%0.75%
200612.32%0.88%2.69%$14,440$12,531$16,2852.32%0.88%2.69%
200620.31%0.78%0.19%$14,485$12,628$16,3170.31%0.78%0.19%
200630.39%-0.63%1.07%$14,542$12,549$16,4910.39%-0.63%1.07%
200640.93%1.10%1.01%$14,677$12,686$16,6570.93%1.10%1.01%
20065-1.85%-0.66%-1.66%$14,406$12,603$16,380-1.85%-0.66%-1.66%
200660.28%0.59%-0.19%$14,447$12,677$16,3490.28%0.59%-0.19%
200670.48%2.16%1.06%$14,516$12,950$16,5220.48%2.16%1.06%
200681.99%1.84%1.82%$14,804$13,189$16,8231.99%1.84%1.82%
200691.32%1.23%1.93%$15,000$13,351$17,1471.32%1.23%1.93%
2006101.69%1.64%2.44%$15,254$13,569$17,5661.69%1.64%2.44%
2006111.59%1.31%2.16%$15,496$13,747$17,9451.59%1.31%2.16%
2006120.69%0.64%1.22%$15,602$13,836$18,1650.69%0.64%1.22%
200710.95%0.36%1.41%$15,751$13,885$18,4200.95%0.36%1.41%
200720.63%0.91%-0.67%$15,850$14,011$18,2970.63%0.91%-0.67%
200730.63%0.66%0.77%$15,949$14,104$18,4380.63%0.66%0.77%
200742.10%1.71%3.54%$16,284$14,345$19,0902.10%1.71%3.54%
200750.84%0.46%2.68%$16,420$14,411$19,6010.84%0.46%2.68%
20076-0.95%-1.18%-0.45%$16,265$14,240$19,513-0.95%-1.18%-0.45%
20077-0.39%-0.71%-3.21%$16,201$14,139$18,887-0.39%-0.71%-3.21%
200781.80%1.44%0.51%$16,494$14,342$18,9841.80%1.44%0.51%
200792.08%1.70%1.67%$16,837$14,586$19,3012.08%1.70%1.67%
2007101.36%0.94%1.37%$17,065$14,723$19,5661.36%0.94%1.37%
200711-0.89%-0.17%-2.48%$16,913$14,699$19,081-0.89%-0.17%-2.48%
200712-0.19%-0.45%-0.46%$16,880$14,633$18,994-0.19%-0.45%-0.46%
20081-2.03%-0.85%-2.26%$16,537$14,508$18,564-2.03%-0.85%-2.26%
20082-1.24%-1.30%-1.80%$16,331$14,320$18,230-1.24%-1.30%-1.80%
20083-0.84%0.39%0.16%$16,194$14,377$18,259-0.84%0.39%0.16%
200843.73%1.21%3.82%$16,798$14,550$18,9563.73%1.21%3.82%
200851.14%-0.58%2.11%$16,990$14,466$19,3571.14%-0.58%2.11%
20086-5.26%-3.40%-5.23%$16,095$13,975$18,345-5.26%-3.40%-5.23%
20087-1.54%0.14%-0.16%$15,847$13,995$18,316-1.54%0.14%-0.16%
200880.35%0.81%2.55%$15,902$14,108$18,7840.35%0.81%2.55%
20089-8.85%-3.47%-9.15%$14,494$13,619$17,066-8.85%-3.47%-9.15%
200810-15.71%-7.18%-17.23%$12,216$12,641$14,126-15.71%-7.18%-17.23%
200811-7.46%0.36%-5.41%$11,305$12,687$13,362-7.46%0.36%-5.41%
2008123.51%4.04%3.52%$11,702$13,200$13,8333.51%4.04%3.52%
20091-7.63%-4.60%-3.01%$10,810$12,592$13,417-7.63%-4.60%-3.01%
20092-9.31%-4.96%-7.39%$9,804$11,968$12,425-9.31%-4.96%-7.39%
200937.66%2.99%7.18%$10,555$12,325$13,3187.66%2.99%7.18%
2009411.01%3.51%10.28%$11,717$12,758$14,68611.01%3.51%10.28%
200957.50%4.40%5.47%$12,595$13,319$15,4897.50%4.40%5.47%
20096-0.09%1.29%1.92%$12,583$13,491$15,787-0.09%1.29%1.92%
200977.43%5.70%5.15%$13,518$14,260$16,6007.43%5.70%5.15%
200983.46%2.30%2.63%$13,986$14,588$17,0363.46%2.30%2.63%
200994.56%1.89%2.91%$14,623$14,863$17,5324.56%1.89%2.91%
200910-1.45%-0.04%-0.85%$14,411$14,857$17,383-1.45%-0.04%-0.85%
2009114.82%3.18%3.88%$15,105$15,330$18,0584.82%3.18%3.88%
2009122.25%-0.00%1.92%$15,445$15,329$18,4052.25%-0.00%1.92%
20101-2.29%-0.24%-0.83%$15,091$15,292$18,253-2.29%-0.24%-0.83%
201022.16%1.08%2.28%$15,417$15,457$18,6692.16%1.08%2.28%
201035.24%1.96%4.34%$16,225$15,760$19,4805.24%1.96%4.34%
201041.92%1.55%1.61%$16,536$16,005$19,7941.92%1.55%1.61%
20105-5.66%-2.72%-5.43%$15,601$15,569$18,719-5.66%-2.72%-5.43%
20106-3.03%0.18%-3.36%$15,129$15,598$18,091-3.03%0.18%-3.36%
201075.98%3.51%3.98%$16,033$16,145$18,8115.98%3.51%3.98%
20108-3.49%0.82%-2.75%$15,474$16,279$18,294-3.49%0.82%-2.75%
201099.00%2.75%5.48%$16,866$16,727$19,2979.00%2.75%5.48%
2010102.98%0.88%3.10%$17,368$16,874$19,8952.98%0.88%3.10%
2010110.17%-0.95%0.00%$17,397$16,714$19,8950.17%-0.95%0.00%
2010124.12%1.54%5.53%$18,114$16,971$20,9954.12%1.54%5.53%
201110.72%0.68%1.67%$18,244$17,088$21,3460.72%0.68%1.67%
201121.82%1.87%2.81%$18,575$17,407$21,9461.82%1.87%2.81%
201130.47%0.15%0.05%$18,661$17,434$21,9560.47%0.15%0.05%
201142.70%2.58%2.54%$19,165$17,884$22,5142.70%2.58%2.54%
20115-0.45%0.84%-0.05%$19,079$18,034$22,504-0.45%0.84%-0.05%
20116-0.84%-1.04%-1.33%$18,919$17,846$22,204-0.84%-1.04%-1.33%
201170.08%0.06%-1.63%$18,934$17,855$21,8420.08%0.06%-1.63%
20118-0.62%-0.29%-4.83%$18,817$17,803$20,788-0.62%-0.29%-4.83%
20119-6.43%-1.44%-5.22%$17,607$17,547$19,702-6.43%-1.44%-5.22%
2011107.28%4.07%8.92%$18,890$18,261$21,4607.28%4.07%8.92%
2011110.08%-0.53%0.14%$18,904$18,164$21,4910.08%-0.53%0.14%
2011120.25%2.54%0.81%$18,952$18,625$21,6650.25%2.54%0.81%
201214.21%1.85%3.88%$19,750$18,970$22,5054.21%1.85%3.88%
201222.92%1.31%3.36%$20,326$19,218$23,2622.92%1.31%3.36%
201230.87%0.45%1.99%$20,504$19,305$23,7240.87%0.45%1.99%
201240.36%0.95%-0.62%$20,578$19,488$23,5770.36%0.95%-0.62%
20125-3.74%-1.42%-3.43%$19,809$19,211$22,768-3.74%-1.42%-3.43%
201262.00%2.02%1.75%$20,205$19,599$23,1672.00%2.02%1.75%
201271.17%2.43%1.41%$20,442$20,076$23,4931.17%2.43%1.41%
201281.88%0.53%2.28%$20,826$20,182$24,0291.88%0.53%2.28%
201291.63%0.89%1.57%$21,167$20,362$24,4071.63%0.89%1.57%
201210-0.35%0.24%-0.39%$21,093$20,410$24,313-0.35%0.24%-0.39%
2012110.91%0.29%1.21%$21,285$20,469$24,6070.91%0.29%1.21%
2012120.91%0.18%0.99%$21,479$20,506$24,8500.91%0.18%0.99%
201312.24%1.47%3.78%$21,960$20,808$25,7892.24%1.47%3.78%
201320.55%1.21%1.21%$22,080$21,061$26,1010.55%1.21%1.21%
201331.29%1.28%2.48%$22,366$21,331$26,7491.29%1.28%2.48%
201341.28%1.97%1.46%$22,651$21,752$27,1401.28%1.97%1.46%
201350.20%-0.86%1.40%$22,696$21,564$27,5200.20%-0.86%1.40%
20136-1.53%-1.58%-0.45%$22,349$21,223$27,397-1.53%-1.58%-0.45%
201372.09%2.05%4.16%$22,815$21,658$28,5362.09%2.05%4.16%
20138-0.73%-1.89%-1.88%$22,650$21,247$28,000-0.73%-1.89%-1.88%
201391.53%1.64%2.23%$22,996$21,597$28,6251.53%1.64%2.23%
2013101.44%2.13%2.65%$23,327$22,056$29,3851.44%2.13%2.65%
2013110.19%0.77%1.63%$23,372$22,225$29,8650.19%0.77%1.63%
2013120.24%0.82%1.87%$23,428$22,407$30,4240.24%0.82%1.87%
201410.27%-0.35%-0.94%$23,492$22,329$30,1390.27%-0.35%-0.94%
201421.57%2.07%3.46%$23,862$22,790$31,1821.57%2.07%3.46%
201430.00%0.93%0.34%$23,862$23,002$31,2890.00%0.93%0.34%
201440.40%1.19%0.68%$23,958$23,276$31,5030.40%1.19%0.68%
201450.94%1.23%2.03%$24,183$23,562$32,1430.94%1.23%2.03%
201460.64%0.78%1.25%$24,338$23,746$32,5460.64%0.78%1.25%
20147-0.66%-1.02%-1.31%$24,177$23,503$32,119-0.66%-1.02%-1.31%
201481.34%2.01%2.69%$24,500$23,976$32,9851.34%2.01%2.69%
20149-1.05%-1.24%-1.22%$24,241$23,679$32,582-1.05%-1.24%-1.22%
2014101.53%1.16%2.80%$24,613$23,954$33,4941.53%1.16%2.80%
2014110.39%1.30%2.05%$24,710$24,266$34,1820.39%1.30%2.05%
201412-0.16%-0.14%-0.09%$24,671$24,233$34,152-0.16%-0.14%-0.09%
201510.67%0.53%-0.69%$24,837$24,362$33,9160.67%0.53%-0.69%
201520.74%0.84%3.85%$25,019$24,566$35,2230.74%0.84%3.85%
201530.00%-0.11%0.07%$25,019$24,539$35,2490.00%-0.11%0.07%
201540.27%0.53%-0.33%$25,086$24,669$35,1320.27%0.53%-0.33%
201550.20%-0.13%1.93%$25,135$24,638$35,8110.20%-0.13%1.93%
20156-0.79%-2.03%-1.09%$24,937$24,137$35,419-0.79%-2.03%-1.09%
201570.34%1.23%2.44%$25,022$24,435$36,2820.34%1.23%2.44%
20158-1.42%-2.18%-3.60%$24,666$23,903$34,975-1.42%-2.18%-3.60%
20159-1.24%0.16%-1.53%$24,361$23,942$34,439-1.24%0.16%-1.53%
2015102.57%3.39%5.65%$24,988$24,754$36,3872.57%3.39%5.65%
201511-0.27%0.00%0.29%$24,921$24,754$36,491-0.27%0.00%0.29%
201512-0.93%-0.79%-1.34%$24,688$24,560$36,002-0.93%-0.79%-1.34%
20161-1.47%-0.19%-2.83%$24,326$24,514$34,982-1.47%-0.19%-2.83%
201620.14%0.42%0.29%$24,361$24,618$35,0820.14%0.42%0.29%
201633.12%3.55%4.71%$25,120$25,493$36,7353.12%3.55%4.71%
201640.89%0.91%1.13%$25,344$25,726$37,1520.89%0.91%1.13%
201650.48%0.57%2.01%$25,465$25,872$37,8990.48%0.57%2.01%
201660.41%2.19%-0.08%$25,569$26,438$37,8710.41%2.19%-0.08%
201671.24%1.41%2.31%$25,887$26,811$38,7471.24%1.41%2.31%
201680.14%-0.02%0.11%$25,922$26,807$38,7900.14%-0.02%0.11%
201690.27%-0.29%0.30%$25,993$26,729$38,9050.27%-0.29%0.30%
201610-0.75%-1.22%-1.40%$25,799$26,403$38,359-0.75%-1.22%-1.40%
201611-0.48%-0.75%0.71%$25,675$26,205$38,632-0.48%-0.75%0.71%
2016120.45%1.37%0.85%$25,792$26,563$38,9620.45%1.37%0.85%
201710.48%0.29%1.79%$25,915$26,641$39,6610.48%0.29%1.79%
201720.82%1.94%2.74%$26,127$27,157$40,7470.82%1.94%2.74%
201730.14%-0.03%0.73%$26,163$27,150$41,0450.14%-0.03%0.73%
201740.68%0.70%1.45%$26,339$27,341$41,6400.68%0.70%1.45%
201750.87%1.17%1.64%$26,569$27,662$42,3240.87%1.17%1.64%
201760.09%0.39%0.49%$26,593$27,770$42,5320.09%0.39%0.49%
201770.68%0.88%0.70%$26,773$28,015$42,8300.68%0.88%0.70%
201780.40%0.55%0.94%$26,881$28,167$43,2310.40%0.55%0.94%
201790.27%0.84%1.00%$26,953$28,403$43,6630.27%0.84%1.00%
2017100.33%0.93%1.02%$27,043$28,667$44,1090.33%0.93%1.02%
2017110.13%1.07%1.85%$27,079$28,975$44,9270.13%1.07%1.85%
2017120.19%1.08%0.06%$27,129$29,288$44,9520.19%1.08%0.06%
201810.07%0.57%3.64%$27,148$29,454$46,5900.07%0.57%3.64%
20182-0.68%-2.73%-2.76%$26,963$28,651$45,302-0.68%-2.73%-2.76%
201830.41%-0.27%-0.35%$27,074$28,574$45,1430.41%-0.27%-0.35%
20184-0.48%-0.49%0.32%$26,944$28,434$45,286-0.48%-0.49%0.32%
201850.96%0.67%0.81%$27,204$28,623$45,6520.96%0.67%0.81%
201860.23%0.16%0.97%$27,266$28,669$46,0970.23%0.16%0.97%
201870.55%2.06%2.34%$27,416$29,261$47,1780.55%2.06%2.34%
201880.89%0.56%2.39%$27,661$29,425$48,3060.89%0.56%2.39%
20189-0.54%-0.21%-0.07%$27,510$29,363$48,275-0.54%-0.21%-0.07%
201810-1.78%-2.28%-3.98%$27,021$28,694$46,351-1.78%-2.28%-3.98%
2018110.77%1.65%2.26%$27,228$29,166$47,4000.77%1.65%2.26%
201812-0.50%-2.08%-4.58%$27,093$28,559$45,229-0.50%-2.08%-4.58%
201913.47%3.23%7.09%$28,032$29,481$48,4343.47%3.23%7.09%
201920.98%1.52%2.46%$28,306$29,930$49,6280.98%1.52%2.46%
201931.45%1.87%1.99%$28,717$30,491$50,6161.45%1.87%1.99%
201940.54%1.10%2.43%$28,873$30,826$51,8440.54%1.10%2.43%
20195-0.81%-0.63%-2.14%$28,638$30,632$50,736-0.81%-0.63%-2.14%
201963.61%3.15%4.67%$29,672$31,597$53,1063.61%3.15%4.67%
201970.66%0.46%0.61%$29,869$31,744$53,4290.66%0.46%0.61%
201980.99%1.68%-0.35%$30,165$32,278$53,2420.99%1.68%-0.35%
201990.20%0.63%0.32%$30,224$32,481$53,4120.20%0.63%0.32%
2019100.98%0.64%1.15%$30,520$32,688$54,0260.98%0.64%1.15%
2019111.29%0.60%2.43%$30,914$32,885$55,3391.29%0.60%2.43%
2019120.74%1.15%1.84%$31,142$33,263$56,3600.74%1.15%1.84%
202011.19%1.28%2.02%$31,512$33,690$57,4971.19%1.28%2.02%
202020.33%-2.45%-4.90%$31,615$32,866$54,6810.33%-2.45%-4.90%
202030.07%-6.29%-9.28%$31,636$30,799$49,6080.07%-6.29%-9.28%
202048.66%5.71%9.68%$34,375$32,557$54,4108.66%5.71%9.68%
202052.76%2.13%3.62%$35,323$33,252$56,3782.76%2.13%3.62%
202061.41%0.47%0.10%$35,820$33,407$56,4321.41%0.47%0.10%
202073.37%2.81%5.12%$37,029$34,346$59,3203.37%2.81%5.12%
202082.76%0.21%2.10%$38,050$34,418$60,5662.76%0.21%2.10%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value16.10%23.57%22.43%
Large-cap Growth11.31%8.08%25.66%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth12.95%0.00%18.32%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets10.36%3.51%0.64%
Emerging Markets7.65%0.01%0.93%
Corporate Bonds1.24%22.81%15.78%
Long-Term Treasuries0.00%6.56%0.00%
Intermediate-Term Treasuries25.82%9.68%0.00%
Short-Term Treasuries14.55%25.78%16.24%
R Squared78.91%93.39%93.85%
Style analysis is based on monthly returns from Apr 2005 to Aug 2020 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/EDurationReturn ContributionRisk Contribution
CTFAXColumbia Thermostat ATactical Allocation100.00%0.89%22.994.68$28,050100.00%

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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VWIAXVanguard Wellesley Income Admiral30% to 50% Equity100.00%0.16%16.508.03$24,418100.00%

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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
PRWCXT. Rowe Price Capital Appreciation50% to 70% Equity100.00%0.70%27.402.69$50,566100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (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)0.68%0.61%0.91%
Arithmetic Mean (annualized)8.44%7.51%11.47%
Geometric Mean (monthly)0.64%0.59%0.86%
Geometric Mean (annualized)7.94%7.32%10.84%
Volatility (monthly)2.78%1.74%3.07%
Volatility (annualized)9.62%6.02%10.63%
Downside Deviation (monthly)1.84%1.08%2.02%
Max. Drawdown-42.55%-18.72%-36.61%
US Market Correlation0.850.810.96
Beta(*)0.560.330.69
Alpha (annualized)1.70%3.45%2.93%
R272.76%65.50%91.79%
Sharpe Ratio0.710.990.90
Sortino Ratio1.061.551.36
Treynor Ratio (%)12.2918.1113.92
Calmar Ratio5.310.800.87
Active Return-3.00%-3.62%-0.10%
Tracking Error8.20%10.44%5.45%
Information Ratio-0.37-0.35-0.02
Skewness-0.97-0.80-1.19
Excess Kurtosis8.403.486.59
Historical Value-at-Risk (5%)-3.24%-2.36%-4.69%
Analytical Value-at-Risk (5%)-3.89%-2.25%-4.14%
Conditional Value-at-Risk (5%)-7.35%-4.12%-7.40%
Upside Capture Ratio (%)53.2438.1672.61
Downside Capture Ratio (%)45.9723.6159.64
Safe Withdrawal Rate9.15%8.83%11.33%
Perpetual Withdrawal Rate5.65%5.09%8.20%
Positive Periods155 out of 210 (73.81%)150 out of 210 (71.43%)146 out of 210 (69.52%)
Gain/Loss Ratio0.761.020.99
* 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 2009-42.55%-18.72%-36.49%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20101 year 8 months3 years-42.55%
2May 2011Sep 20115 monthsJan 20124 months9 months-8.13%
3May 2012May 20121 monthAug 20123 months4 months-3.74%
4Jun 2015Jan 20168 monthsApr 20163 months11 months-3.22%
5Sep 2018Oct 20182 monthsJan 20193 months5 months-2.31%
6Mar 2005Apr 20052 monthsMay 20051 month3 months-2.21%
7Apr 2004Apr 20041 monthSep 20045 months6 months-2.06%
8May 2006May 20061 monthAug 20063 months4 months-1.85%
9Jun 2013Jun 20131 monthJul 20131 month2 months-1.53%
10Jun 2007Jul 20072 monthsAug 20071 month3 months-1.33%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20097 months1 year 11 months-18.72%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-8.58%
3Feb 2018Apr 20183 monthsJan 20199 months1 year-3.46%
4Jul 2003Jul 20031 monthDec 20035 months6 months-3.36%
5May 2015Aug 20154 monthsOct 20152 months6 months-3.11%
6May 2010May 20101 monthJul 20102 months3 months-2.72%
7Jun 2011Sep 20114 monthsOct 20111 month5 months-2.70%
8Apr 2004May 20042 monthsAug 20043 months5 months-2.47%
9May 2013Jun 20132 monthsOct 20134 months6 months-2.43%
10Aug 2016Nov 20164 monthsFeb 20173 months7 months-2.26%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20101 year 2 months2 years 11 months-36.61%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-13.72%
3May 2011Sep 20115 monthsFeb 20125 months10 months-12.49%
4May 2010Jun 20102 monthsOct 20104 months6 months-8.60%
5Sep 2018Dec 20184 monthsJan 20191 month5 months-6.37%
6Aug 2015Sep 20152 monthsOct 20151 month3 months-5.08%
7Dec 2015Jan 20162 monthsMar 20162 months4 months-4.14%
8Apr 2012May 20122 monthsAug 20123 months5 months-4.03%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-3.10%
10Mar 2005Apr 20052 monthsJun 20052 months4 months-2.90%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
CTFAXColumbia Thermostat A7.94%9.62%31.98%-30.67%-42.55%0.711.060.85
VWIAXVanguard Wellesley Income Admiral7.32%6.02%16.47%-9.79%-18.72%0.991.550.81
PRWCXT. Rowe Price Capital Appreciation10.84%10.63%33.05%-27.17%-36.61%0.901.360.96

Monthly Correlations

Correlations for the portfolio assets
TickerNameCTFAXVWIAXPRWCXPortfolio 1Portfolio 2Portfolio 3
CTFAXColumbia Thermostat A1.000.780.881.000.780.88
VWIAXVanguard Wellesley Income Admiral0.781.000.840.781.000.84
PRWCXT. Rowe Price Capital Appreciation0.880.841.000.880.841.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
CTFAXColumbia Thermostat A$28,050
VWIAXVanguard Wellesley Income Admiral$24,418
PRWCXT. Rowe Price Capital Appreciation$50,566

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
CTFAXColumbia Thermostat A100.00%
VWIAXVanguard Wellesley Income Admiral100.00%
PRWCXT. Rowe Price Capital Appreciation100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.77%31.98%-30.67%7.28%16.47%-9.79%10.50%33.05%-27.17%
3 years5.73%17.43%-6.05%6.97%12.16%2.05%9.19%16.38%-4.45%
5 years5.49%14.89%-1.01%6.89%11.16%3.45%8.85%17.07%1.45%
7 years6.40%11.25%5.07%7.37%9.28%6.20%9.67%14.64%5.55%
10 years6.39%8.76%4.86%7.37%8.05%6.74%9.65%12.58%7.93%
15 years5.59%5.78%5.40%6.76%7.04%6.48%9.02%9.30%8.74%
Result statistics are based on annualized rolling returns over full calendar year periods