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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jun 2000 - Dec 2020)

Note: The time period was constrained by the available data for iShares Russell 2000 ETF (IWM) [Jun 2000 - Dec 2020].

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
DIA	SPDR Dow Jones Industrial Avrg ETF Tr	-50.00%
IWM	iShares Russell 2000 ETF	-50.00%
QQQ	Invesco QQQ Trust	100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$10,896	0.42%	13.13%	33.98%	-31.72%	-69.58%	-0.01	-0.02	0.28

Trailing Returns

Trailing Returns
Name	Annualized Return						Annualized Volatility
Name	3 Month	1 year	3 year	5 year	10 year	Full	3 year	5 year
Portfolio 1	-1.56%	33.98%	17.82%	10.03%	8.23%	0.42%	9.39%	10.41%
Trailing annualized return and volatility are for full months ending in December 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 June 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
Year	Inflation	Portfolio 1 Return	Portfolio 1 Balance	SPDR Dow Jones Industrial Avrg ETF Tr (DIA)	iShares Russell 2000 ETF (IWM)	Invesco QQQ Trust (QQQ)
2000	1.46%	-31.64%	$6,836	2.22%	1.50%	-29.77%
2001	1.55%	-31.72%	$4,668	-4.96%	1.78%	-33.34%
2002	2.38%	-19.93%	$3,737	-14.69%	-20.37%	-37.37%
2003	1.88%	12.07%	$4,188	27.89%	47.90%	49.67%
2004	3.26%	-0.89%	$4,151	5.02%	18.05%	10.54%
2005	3.42%	-1.42%	$4,092	1.61%	4.46%	1.57%
2006	2.54%	-11.30%	$3,629	18.91%	18.27%	7.14%
2007	4.08%	15.51%	$4,192	8.79%	-1.78%	19.02%
2008	0.09%	-8.87%	$3,821	-32.16%	-34.13%	-41.73%
2009	2.72%	29.49%	$4,947	22.75%	28.51%	54.68%
2010	1.50%	-0.11%	$4,942	14.01%	26.93%	20.14%
2011	2.96%	1.71%	$5,026	8.06%	-4.44%	3.47%
2012	1.74%	4.87%	$5,271	9.94%	16.70%	18.12%
2013	1.50%	2.72%	$5,414	29.64%	38.69%	36.63%
2014	0.76%	11.84%	$6,055	9.82%	5.03%	19.18%
2015	0.73%	11.60%	$6,758	0.10%	-4.47%	9.45%
2016	2.07%	-11.63%	$5,972	16.37%	21.60%	7.10%
2017	2.11%	11.56%	$6,662	28.08%	14.59%	32.66%
2018	1.91%	7.17%	$7,139	-3.74%	-11.11%	-0.12%
2019	2.29%	13.91%	$8,133	25.02%	25.39%	38.96%
2020	1.36%	33.98%	$10,896	9.61%	20.03%	48.40%
Annual return for 2000 is from 06/01/2000 to 12/31/2000

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	SPDR Dow Jones Industrial Avrg ETF Tr (DIA)	iShares Russell 2000 ETF (IWM)	Invesco QQQ Trust (QQQ)
2000	6	8.48%	-0.84%	8.68%	12.41%
2000	7	-3.39%	0.74%	-2.77%	-4.28%
2000	8	7.04%	7.23%	6.97%	13.63%
2000	9	-9.75%	-5.07%	-3.27%	-12.67%
2000	10	-7.34%	2.74%	-4.46%	-7.94%
2000	11	-16.01%	-4.45%	-9.97%	-22.91%
2000	12	-13.25%	2.39%	7.93%	-7.32%
2001	1	6.52%	1.88%	5.38%	10.15%
2001	2	-22.25%	-3.23%	-6.69%	-26.21%
2001	3	-11.19%	-5.44%	-4.64%	-17.49%
2001	4	5.85%	8.24%	8.26%	17.88%
2001	5	-5.76%	1.90%	2.16%	-3.08%
2001	6	2.45%	-3.42%	3.11%	2.17%
2001	7	-4.98%	-0.09%	-5.56%	-8.62%
2001	8	-7.29%	-4.79%	-2.43%	-12.28%
2001	9	-0.98%	-11.34%	-14.58%	-20.88%
2001	10	6.98%	2.75%	6.50%	16.98%
2001	11	3.83%	8.87%	7.64%	16.96%
2001	12	-6.25%	1.44%	5.49%	-1.87%
2002	1	-0.71%	-0.47%	-0.16%	-1.03%
2002	2	-11.68%	2.01%	-3.12%	-12.28%
2002	3	0.95%	2.74%	7.53%	6.75%
2002	4	-10.94%	-3.99%	1.20%	-12.01%
2002	5	-2.28%	-0.11%	-4.74%	-5.33%
2002	6	-5.11%	-6.60%	-5.81%	-13.12%
2002	7	4.27%	-5.65%	-13.35%	-8.62%
2002	8	-0.53%	-0.60%	-0.64%	-1.51%
2002	9	1.71%	-11.95%	-8.03%	-11.79%
2002	10	5.68%	10.34%	4.12%	18.48%
2002	11	2.69%	6.40%	8.47%	12.91%
2002	12	-4.32%	-5.83%	-5.72%	-12.09%
2003	1	2.89%	-3.13%	-2.07%	0.29%
2003	2	5.05%	-1.59%	-3.00%	2.95%
2003	3	-0.09%	0.77%	0.21%	0.36%
2003	4	0.99%	6.45%	10.28%	8.71%
2003	5	1.33%	4.85%	10.87%	8.52%
2003	6	-0.73%	1.47%	1.16%	0.54%
2003	7	1.98%	2.99%	6.50%	6.18%
2003	8	2.06%	2.23%	4.78%	5.00%
2003	9	-1.81%	-1.16%	-1.95%	-2.91%
2003	10	2.45%	5.40%	8.71%	8.51%
2003	11	-1.74%	0.37%	3.74%	0.57%
2003	12	-0.69%	6.77%	1.80%	3.09%
2004	1	-0.77%	0.55%	4.33%	1.67%
2004	2	-2.49%	1.20%	0.95%	-1.35%
2004	3	-1.58%	-1.91%	0.96%	-2.00%
2004	4	0.75%	-1.46%	-5.52%	-2.99%
2004	5	3.90%	0.13%	2.15%	5.12%
2004	6	-0.12%	2.49%	4.23%	3.26%
2004	7	-2.89%	-2.67%	-6.77%	-7.55%
2004	8	-1.91%	0.43%	-1.51%	-2.49%
2004	9	0.95%	-0.90%	5.33%	3.29%
2004	10	4.14%	-0.40%	2.06%	5.01%
2004	11	-0.89%	4.49%	9.20%	6.02%
2004	12	0.28%	3.21%	2.39%	3.02%
2005	1	-3.07%	-2.43%	-4.06%	-6.31%
2005	2	-2.78%	2.99%	1.64%	-0.48%
2005	3	0.99%	-2.36%	-2.84%	-1.75%
2005	4	0.10%	-2.89%	-5.66%	-4.35%
2005	5	3.63%	3.03%	6.46%	8.86%
2005	6	-4.34%	-1.69%	4.08%	-3.32%
2005	7	2.05%	3.87%	6.58%	7.61%
2005	8	0.22%	-1.34%	-2.00%	-1.52%
2005	9	0.71%	0.97%	0.09%	1.23%
2005	10	1.36%	-1.61%	-3.93%	-1.50%
2005	11	0.99%	4.42%	5.75%	6.10%
2005	12	-1.00%	-0.95%	-0.70%	-1.77%
2006	1	-0.96%	1.35%	8.44%	3.93%
2006	2	-3.29%	1.69%	0.32%	-2.14%
2006	3	-1.37%	1.51%	4.91%	2.09%
2006	4	-1.72%	2.42%	0.30%	-0.19%
2006	5	-3.64%	-1.64%	-5.68%	-7.24%
2006	6	-0.15%	0.20%	-0.04%	-0.06%
2006	7	-3.05%	0.24%	-2.86%	-4.31%
2006	8	2.09%	1.93%	3.00%	4.77%
2006	9	3.00%	2.76%	0.64%	4.64%
2006	10	-0.35%	3.54%	5.87%	4.75%
2006	11	1.51%	1.55%	2.41%	3.43%
2006	12	-3.71%	2.01%	0.37%	-1.88%
2007	1	0.49%	1.54%	1.69%	2.11%
2007	2	-0.03%	-2.66%	-0.66%	-1.68%
2007	3	-0.45%	0.99%	0.98%	0.52%
2007	4	1.92%	5.82%	1.62%	5.58%
2007	5	-1.28%	4.57%	4.37%	3.15%
2007	6	2.06%	-1.41%	-1.44%	0.48%
2007	7	4.19%	-1.40%	-7.00%	-0.15%
2007	8	1.35%	1.15%	2.13%	2.82%
2007	9	2.48%	4.31%	1.90%	5.25%
2007	10	6.18%	0.14%	2.85%	7.04%
2007	11	-2.74%	-3.17%	-6.89%	-6.76%
2007	12	0.64%	-0.96%	-0.64%	-0.07%
2008	1	-6.20%	-4.83%	-6.53%	-11.89%
2008	2	-1.97%	-2.19%	-2.93%	-4.83%
2008	3	2.16%	-0.26%	-0.67%	1.87%
2008	4	2.69%	4.86%	4.55%	7.98%
2008	5	4.12%	-1.36%	4.58%	5.93%
2008	6	-0.99%	-9.87%	-7.53%	-9.61%
2008	7	-1.27%	0.39%	3.68%	0.64%
2008	8	-1.16%	1.75%	3.58%	1.45%
2008	9	-7.97%	-5.87%	-7.75%	-15.58%
2008	10	3.53%	-13.56%	-20.96%	-15.47%
2008	11	-1.43%	-5.16%	-11.93%	-11.46%
2008	12	0.00%	-0.57%	4.82%	2.28%
2009	1	6.72%	-8.34%	-9.67%	-2.29%
2009	2	5.04%	-11.20%	-11.98%	-5.26%
2009	3	3.09%	7.44%	7.77%	10.32%
2009	4	2.91%	7.86%	15.39%	13.06%
2009	5	-0.20%	4.87%	3.40%	3.21%
2009	6	2.40%	-0.53%	1.81%	2.95%
2009	7	1.26%	8.44%	9.18%	8.44%
2009	8	-1.48%	4.05%	2.93%	1.47%
2009	9	2.58%	2.33%	5.56%	5.65%
2009	10	-0.34%	0.06%	-6.49%	-3.05%
2009	11	2.48%	7.07%	3.12%	6.35%
2009	12	1.94%	0.86%	7.92%	5.20%
2010	1	-2.91%	-3.38%	-3.73%	-6.47%
2010	2	0.72%	3.00%	4.48%	4.60%
2010	3	0.77%	5.34%	8.23%	7.71%
2010	4	-1.50%	1.46%	5.68%	2.24%
2010	5	0.33%	-7.49%	-7.54%	-7.39%
2010	6	-0.15%	-3.51%	-7.74%	-5.98%
2010	7	0.14%	7.23%	6.73%	7.26%
2010	8	0.71%	-3.94%	-7.44%	-5.13%
2010	9	2.84%	7.89%	12.45%	13.17%
2010	10	2.90%	3.24%	4.15%	6.34%
2010	11	-1.72%	-0.71%	3.49%	-0.17%
2010	12	-2.05%	5.42%	8.03%	4.76%
2011	1	1.67%	2.69%	-0.37%	2.83%
2011	2	-1.16%	3.24%	5.54%	3.16%
2011	3	-2.26%	0.90%	2.52%	-0.45%
2011	4	-0.61%	4.18%	2.64%	2.87%
2011	5	0.60%	-1.66%	-1.79%	-1.22%
2011	6	-0.24%	-1.16%	-2.40%	-2.02%
2011	7	4.76%	-2.09%	-3.41%	1.67%
2011	8	1.14%	-3.90%	-8.89%	-5.07%
2011	9	3.43%	-5.88%	-11.15%	-4.49%
2011	10	-0.66%	9.73%	15.10%	10.40%
2011	11	-2.99%	0.96%	-0.38%	-2.69%
2011	12	-1.70%	1.69%	0.51%	-0.62%
2012	1	3.05%	3.60%	7.15%	8.42%
2012	2	3.99%	2.82%	2.57%	6.41%
2012	3	3.11%	2.14%	2.48%	5.05%
2012	4	-0.52%	0.11%	-1.62%	-1.17%
2012	5	-1.50%	-5.82%	-6.58%	-7.04%
2012	6	-0.56%	4.02%	5.05%	3.62%
2012	7	1.28%	1.13%	-1.52%	1.00%
2012	8	3.24%	1.18%	3.54%	5.19%
2012	9	-1.89%	2.63%	3.26%	0.89%
2012	10	-3.59%	-2.44%	-2.17%	-5.28%
2012	11	1.22%	-0.13%	0.55%	1.31%
2012	12	-2.71%	0.68%	3.62%	-0.46%
2013	1	-3.50%	6.11%	6.24%	2.67%
2013	2	-1.07%	1.61%	1.00%	0.34%
2013	3	-1.50%	3.81%	4.66%	3.03%
2013	4	1.92%	1.96%	-0.35%	2.54%
2013	5	0.37%	2.37%	3.93%	3.58%
2013	6	-1.42%	-1.49%	-0.82%	-2.39%
2013	7	0.27%	4.37%	7.33%	6.31%
2013	8	4.22%	-4.27%	-3.16%	-0.40%
2013	9	0.45%	2.33%	6.49%	4.83%
2013	10	2.83%	2.95%	2.42%	4.96%
2013	11	-0.20%	3.69%	3.96%	3.55%
2013	12	0.54%	3.21%	2.02%	2.92%
2014	1	2.06%	-5.19%	-2.77%	-1.92%
2014	2	0.69%	4.28%	4.78%	5.15%
2014	3	-2.81%	0.92%	-0.75%	-2.73%
2014	4	1.17%	0.82%	-3.75%	-0.32%
2014	5	3.49%	1.15%	0.79%	4.49%
2014	6	0.28%	0.77%	5.27%	3.12%
2014	7	4.87%	-1.44%	-6.05%	1.18%
2014	8	1.23%	3.57%	4.83%	5.01%
2014	9	2.02%	-0.24%	-5.93%	-0.76%
2014	10	-1.05%	2.08%	6.59%	2.64%
2014	11	3.30%	2.94%	0.11%	4.55%
2014	12	-3.66%	0.09%	2.89%	-2.24%
2015	1	1.32%	-3.53%	-3.28%	-2.08%
2015	2	1.30%	5.97%	5.95%	7.22%
2015	3	-2.40%	-1.82%	1.78%	-2.36%
2015	4	3.10%	0.40%	-2.56%	1.92%
2015	5	0.54%	1.31%	2.24%	2.25%
2015	6	-1.91%	-2.12%	0.78%	-2.48%
2015	7	4.94%	0.58%	-1.10%	4.56%
2015	8	-1.04%	-6.20%	-6.31%	-6.82%
2015	9	0.72%	-1.35%	-4.93%	-2.20%
2015	10	4.50%	8.58%	5.62%	11.37%
2015	11	-1.14%	0.74%	3.26%	0.61%
2015	12	1.39%	-1.59%	-5.03%	-1.59%
2016	1	0.12%	-5.48%	-8.58%	-6.91%
2016	2	-1.70%	0.73%	-0.22%	-1.57%
2016	3	-0.85%	7.31%	8.02%	6.85%
2016	4	-4.36%	0.61%	1.67%	-3.19%
2016	5	3.03%	0.38%	2.24%	4.37%
2016	6	-2.84%	0.96%	-0.02%	-2.27%
2016	7	2.59%	2.94%	5.87%	7.15%
2016	8	-0.01%	0.25%	1.78%	1.05%
2016	9	2.05%	-0.44%	1.08%	2.21%
2016	10	1.42%	-0.78%	-4.60%	-1.46%
2016	11	-8.52%	5.95%	11.06%	0.44%
2016	12	-2.61%	3.42%	2.89%	1.13%
2017	1	4.74%	0.53%	0.28%	5.14%
2017	2	1.01%	5.14%	1.93%	4.38%
2017	3	2.39%	-0.59%	0.03%	2.03%
2017	4	1.60%	1.42%	1.15%	2.73%
2017	5	4.65%	0.73%	-1.97%	3.90%
2017	6	-4.68%	1.73%	3.37%	-2.32%
2017	7	2.60%	2.67%	0.86%	4.06%
2017	8	2.52%	0.62%	-1.26%	2.07%
2017	9	-4.19%	2.17%	6.30%	-0.29%
2017	10	2.50%	4.46%	0.73%	4.61%
2017	11	-1.37%	4.19%	2.94%	1.97%
2017	12	-0.24%	2.10%	-0.40%	0.60%
2018	1	4.61%	5.74%	2.56%	8.76%
2018	2	2.59%	-4.05%	-3.84%	-1.29%
2018	3	-3.07%	-3.34%	1.22%	-4.08%
2018	4	-0.02%	0.11%	0.98%	0.51%
2018	5	2.02%	1.38%	6.16%	5.67%
2018	6	1.08%	-0.44%	0.61%	1.15%
2018	7	-0.16%	4.85%	1.65%	2.80%
2018	8	2.78%	2.45%	4.31%	5.78%
2018	9	-0.05%	1.96%	-2.32%	-0.28%
2018	10	-1.45%	-4.94%	-10.99%	-8.60%
2018	11	-1.97%	1.96%	1.73%	-0.26%
2018	12	0.85%	-8.48%	-11.97%	-8.65%
2019	1	-0.32%	7.33%	11.32%	9.01%
2019	2	-1.74%	3.94%	5.18%	2.99%
2019	3	5.66%	0.15%	-2.09%	3.92%
2019	4	2.91%	2.63%	3.40%	5.50%
2019	5	-1.74%	-6.38%	-7.85%	-8.23%
2019	6	0.82%	7.36%	6.98%	7.59%
2019	7	1.73%	1.09%	0.68%	2.33%
2019	8	1.23%	-1.38%	-4.93%	-1.90%
2019	9	-1.14%	2.16%	2.04%	0.92%
2019	10	3.30%	0.55%	2.72%	4.38%
2019	11	0.46%	4.06%	4.07%	4.07%
2019	12	2.19%	1.79%	2.78%	3.89%
2020	1	5.04%	-0.89%	-3.10%	3.04%
2020	2	2.66%	-9.61%	-8.85%	-6.06%
2020	3	7.91%	-13.61%	-21.48%	-7.29%
2020	4	3.80%	11.00%	13.85%	14.97%
2020	5	1.82%	4.76%	6.59%	6.60%
2020	6	3.84%	1.70%	3.42%	6.28%
2020	7	4.82%	2.59%	2.92%	7.35%
2020	8	5.75%	7.77%	5.48%	10.94%
2020	9	-3.84%	-2.15%	-3.25%	-5.78%
2020	10	-2.08%	-4.44%	2.20%	-3.04%
2020	11	0.15%	12.16%	18.24%	11.23%
2020	12	0.38%	3.29%	8.65%	4.90%

Portfolio return and risk metrics
Metric	Portfolio 1
Arithmetic Mean (monthly)	0.11%
Arithmetic Mean (annualized)	1.32%
Geometric Mean (monthly)	0.03%
Geometric Mean (annualized)	0.42%
Volatility (monthly)	3.79%
Volatility (annualized)	13.13%
Downside Deviation (monthly)	3.00%
Max. Drawdown	-69.58%
US Market Correlation	0.28
Beta^(*)	0.24
Alpha (annualized)	-0.66%
R²	7.96%
Sharpe Ratio	-0.01
Sortino Ratio	-0.02
Treynor Ratio (%)	-0.83
Calmar Ratio	3.05
Active Return	-6.94%
Tracking Error	17.37%
Information Ratio	-0.40
Skewness	-1.63
Excess Kurtosis	6.42
Historical Value-at-Risk (5%)	-6.07%
Analytical Value-at-Risk (5%)	-6.46%
Conditional Value-at-Risk (5%)	-10.67%
Upside Capture Ratio (%)	21.97
Downside Capture Ratio (%)	32.54
Safe Withdrawal Rate	1.97%
Perpetual Withdrawal Rate	0.00%
Positive Periods	136 out of 247 (55.06%)
Gain/Loss Ratio	0.89
^* 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 Period	Start	End	Portfolio 1
Subprime Crisis	Nov 2007	Mar 2009	-12.58%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Sep 2000	Jun 2002	1 year 10 months	Aug 2020	18 years 2 months	20 years	-69.58%
2	Sep 2020	Oct 2020	2 months				-5.84%
3	Jul 2000	Jul 2000	1 month	Aug 2000	1 month	2 months	-3.39%

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
DIA	SPDR Dow Jones Industrial Avrg ETF Tr	7.72%	14.61%	29.64%	-32.16%	-47.05%	0.48	0.70	0.95
IWM	iShares Russell 2000 ETF	8.56%	20.08%	47.90%	-34.13%	-52.46%	0.44	0.63	0.92
QQQ	Invesco QQQ Trust	7.39%	23.13%	54.68%	-41.73%	-79.61%	0.36	0.51	0.87

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	DIA	IWM	QQQ	Portfolio 1
DIA	SPDR Dow Jones Industrial Avrg ETF Tr	1.00	0.84	0.79	0.15
IWM	iShares Russell 2000 ETF	0.84	1.00	0.77	0.11
QQQ	Invesco QQQ Trust	0.79	0.77	1.00	0.67

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1
DIA	SPDR Dow Jones Industrial Avrg ETF Tr	-$4,885
IWM	iShares Russell 2000 ETF	-$5,663
QQQ	Invesco QQQ Trust	$11,445

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1
DIA	SPDR Dow Jones Industrial Avrg ETF Tr	-8.20%
IWM	iShares Russell 2000 ETF	-8.51%
QQQ	Invesco QQQ Trust	116.71%

Annual Asset Returns

Rolling returns summary
Roll Period	Average	High	Low
1 year	2.70%	48.40%	-59.65%
3 years	2.96%	18.78%	-27.70%
5 years	3.16%	12.44%	-18.60%
7 years	3.57%	11.95%	-14.15%
10 years	3.73%	9.03%	-8.04%
15 years	3.18%	7.29%	-3.69%