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 (Apr 1999 - Sep 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
QQQ Invesco QQQ Trust 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
DIA SPDR Dow Jones Industrial Avrg ETF Tr 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$60,740 8.75% 24.09%74.15%-41.73%-81.08% 0.400.580.85
Portfolio 2$10,000$45,700 7.32% 14.58%29.64%-32.16%-47.05% 0.440.640.93
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 112.21%31.18%48.04%25.02%23.33%20.14%8.75%
Portfolio 28.19%-0.98%5.45%9.81%13.84%12.51%7.32%
Trailing returns are for full months ending in September 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 1999 are based on monthly returns from April to December
  • The annual results for 2020 are based on monthly returns from January to September
  • 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
YearInflationReturnBalanceInvesco QQQ Trust (QQQ)SPDR Dow Jones Industrial Avrg ETF Tr (DIA)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19992.00%74.15%19.02%$17,415$11,90274.15%19.02%
20003.39%-36.11%-6.04%$11,126$11,183-36.11%-6.04%
20011.55%-33.34%-4.96%$7,416$10,628-33.34%-4.96%
20022.38%-37.37%-14.69%$4,645$9,067-37.37%-14.69%
20031.88%49.67%27.89%$6,952$11,59649.67%27.89%
20043.26%10.54%5.02%$7,684$12,17810.54%5.02%
20053.42%1.57%1.61%$7,805$12,3741.57%1.61%
20062.54%7.14%18.91%$8,362$14,7147.14%18.91%
20074.08%19.02%8.79%$9,953$16,00819.02%8.79%
20080.09%-41.73%-32.16%$5,800$10,860-41.73%-32.16%
20092.72%54.68%22.75%$8,971$13,33054.68%22.75%
20101.50%20.14%14.01%$10,778$15,19820.14%14.01%
20112.96%3.47%8.06%$11,153$16,4233.47%8.06%
20121.74%18.12%9.94%$13,173$18,05518.12%9.94%
20131.50%36.63%29.64%$17,999$23,40736.63%29.64%
20140.76%19.18%9.82%$21,451$25,70419.18%9.82%
20150.73%9.45%0.10%$23,478$25,7319.45%0.10%
20162.07%7.10%16.37%$25,145$29,9457.10%16.37%
20172.11%32.66%28.08%$33,358$38,35332.66%28.08%
20181.91%-0.12%-3.74%$33,320$36,919-0.12%-3.74%
20192.29%38.96%25.02%$46,301$46,15438.96%25.02%
20201.29%31.18%-0.98%$60,740$45,70031.18%-0.98%
Annual returns for 1999 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceInvesco QQQ Trust (QQQ)SPDR Dow Jones Industrial Avrg ETF Tr (DIA)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199942.38%10.12%$10,238$11,0122.38%10.12%
19995-3.14%-2.10%$9,917$10,781-3.14%-2.10%
1999610.75%4.14%$10,983$11,22710.75%4.14%
19997-1.79%-2.74%$10,786$10,919-1.79%-2.74%
199985.47%2.00%$11,376$11,1385.47%2.00%
199990.84%-4.16%$11,471$10,6750.84%-4.16%
1999109.24%3.84%$12,531$11,0849.24%3.84%
19991111.79%1.22%$14,008$11,21911.79%1.22%
19991224.32%6.08%$17,415$11,90224.32%6.08%
20001-1.85%-4.87%$17,094$11,322-1.85%-4.87%
2000219.02%-7.13%$20,345$10,51419.02%-7.13%
200032.58%7.91%$20,870$11,3462.58%7.91%
20004-13.47%-1.67%$18,058$11,156-13.47%-1.67%
20005-12.27%-1.94%$15,843$10,940-12.27%-1.94%
2000612.41%-0.84%$17,808$10,84912.41%-0.84%
20007-4.28%0.74%$17,046$10,930-4.28%0.74%
2000813.63%7.23%$19,369$11,72013.63%7.23%
20009-12.67%-5.07%$16,915$11,125-12.67%-5.07%
200010-7.94%2.74%$15,572$11,430-7.94%2.74%
200011-22.91%-4.45%$12,004$10,922-22.91%-4.45%
200012-7.32%2.39%$11,126$11,183-7.32%2.39%
2001110.15%1.88%$12,255$11,39410.15%1.88%
20012-26.21%-3.23%$9,043$11,026-26.21%-3.23%
20013-17.49%-5.44%$7,462$10,427-17.49%-5.44%
2001417.88%8.24%$8,796$11,28517.88%8.24%
20015-3.08%1.90%$8,525$11,499-3.08%1.90%
200162.17%-3.42%$8,710$11,1062.17%-3.42%
20017-8.62%-0.09%$7,959$11,096-8.62%-0.09%
20018-12.28%-4.79%$6,981$10,564-12.28%-4.79%
20019-20.88%-11.34%$5,523$9,366-20.88%-11.34%
20011016.98%2.75%$6,461$9,62316.98%2.75%
20011116.96%8.87%$7,557$10,47716.96%8.87%
200112-1.87%1.44%$7,416$10,628-1.87%1.44%
20021-1.03%-0.47%$7,340$10,578-1.03%-0.47%
20022-12.28%2.01%$6,438$10,791-12.28%2.01%
200236.75%2.74%$6,873$11,0866.75%2.74%
20024-12.01%-3.99%$6,047$10,644-12.01%-3.99%
20025-5.33%-0.11%$5,725$10,633-5.33%-0.11%
20026-13.12%-6.60%$4,974$9,931-13.12%-6.60%
20027-8.62%-5.65%$4,546$9,370-8.62%-5.65%
20028-1.51%-0.60%$4,477$9,314-1.51%-0.60%
20029-11.79%-11.95%$3,949$8,201-11.79%-11.95%
20021018.48%10.34%$4,679$9,04918.48%10.34%
20021112.91%6.40%$5,283$9,62812.91%6.40%
200212-12.09%-5.83%$4,645$9,067-12.09%-5.83%
200310.29%-3.13%$4,658$8,7830.29%-3.13%
200322.95%-1.59%$4,795$8,6432.95%-1.59%
200330.36%0.77%$4,812$8,7090.36%0.77%
200348.71%6.45%$5,232$9,2718.71%6.45%
200358.52%4.85%$5,678$9,7218.52%4.85%
200360.54%1.47%$5,708$9,8640.54%1.47%
200376.18%2.99%$6,061$10,1596.18%2.99%
200385.00%2.23%$6,364$10,3865.00%2.23%
20039-2.91%-1.16%$6,179$10,266-2.91%-1.16%
2003108.51%5.40%$6,705$10,8208.51%5.40%
2003110.57%0.37%$6,743$10,8600.57%0.37%
2003123.09%6.77%$6,952$11,5963.09%6.77%
200411.67%0.55%$7,068$11,6601.67%0.55%
20042-1.35%1.20%$6,973$11,799-1.35%1.20%
20043-2.00%-1.91%$6,833$11,573-2.00%-1.91%
20044-2.99%-1.46%$6,629$11,405-2.99%-1.46%
200455.12%0.13%$6,969$11,4205.12%0.13%
200463.26%2.49%$7,196$11,7043.26%2.49%
20047-7.55%-2.67%$6,652$11,392-7.55%-2.67%
20048-2.49%0.43%$6,486$11,441-2.49%0.43%
200493.29%-0.90%$6,700$11,3383.29%-0.90%
2004105.01%-0.40%$7,036$11,2935.01%-0.40%
2004116.02%4.49%$7,459$11,8006.02%4.49%
2004123.02%3.21%$7,684$12,1783.02%3.21%
20051-6.31%-2.43%$7,199$11,882-6.31%-2.43%
20052-0.48%2.99%$7,165$12,238-0.48%2.99%
20053-1.75%-2.36%$7,040$11,949-1.75%-2.36%
20054-4.35%-2.89%$6,733$11,604-4.35%-2.89%
200558.86%3.03%$7,330$11,9558.86%3.03%
20056-3.32%-1.69%$7,087$11,753-3.32%-1.69%
200577.61%3.87%$7,626$12,2077.61%3.87%
20058-1.52%-1.34%$7,510$12,043-1.52%-1.34%
200591.23%0.97%$7,603$12,1601.23%0.97%
200510-1.50%-1.61%$7,489$11,964-1.50%-1.61%
2005116.10%4.42%$7,946$12,4936.10%4.42%
200512-1.77%-0.95%$7,805$12,374-1.77%-0.95%
200613.93%1.35%$8,112$12,5413.93%1.35%
20062-2.14%1.69%$7,938$12,753-2.14%1.69%
200632.09%1.51%$8,104$12,9452.09%1.51%
20064-0.19%2.42%$8,089$13,258-0.19%2.42%
20065-7.24%-1.64%$7,503$13,040-7.24%-1.64%
20066-0.06%0.20%$7,498$13,067-0.06%0.20%
20067-4.31%0.24%$7,175$13,098-4.31%0.24%
200684.77%1.93%$7,518$13,3504.77%1.93%
200694.64%2.76%$7,866$13,7184.64%2.76%
2006104.75%3.54%$8,240$14,2054.75%3.54%
2006113.43%1.55%$8,523$14,4243.43%1.55%
200612-1.88%2.01%$8,362$14,714-1.88%2.01%
200712.11%1.54%$8,539$14,9402.11%1.54%
20072-1.68%-2.66%$8,395$14,543-1.68%-2.66%
200730.52%0.99%$8,439$14,6870.52%0.99%
200745.58%5.82%$8,911$15,5415.58%5.82%
200753.15%4.57%$9,192$16,2513.15%4.57%
200760.48%-1.41%$9,236$16,0220.48%-1.41%
20077-0.15%-1.40%$9,222$15,798-0.15%-1.40%
200782.82%1.15%$9,482$15,9802.82%1.15%
200795.25%4.31%$9,980$16,6695.25%4.31%
2007107.04%0.14%$10,683$16,6937.04%0.14%
200711-6.76%-3.17%$9,961$16,163-6.76%-3.17%
200712-0.07%-0.96%$9,953$16,008-0.07%-0.96%
20081-11.89%-4.83%$8,770$15,234-11.89%-4.83%
20082-4.83%-2.19%$8,346$14,901-4.83%-2.19%
200831.87%-0.26%$8,502$14,8631.87%-0.26%
200847.98%4.86%$9,181$15,5857.98%4.86%
200855.93%-1.36%$9,726$15,3735.93%-1.36%
20086-9.61%-9.87%$8,791$13,856-9.61%-9.87%
200870.64%0.39%$8,847$13,9100.64%0.39%
200881.45%1.75%$8,976$14,1541.45%1.75%
20089-15.58%-5.87%$7,577$13,324-15.58%-5.87%
200810-15.47%-13.56%$6,405$11,517-15.47%-13.56%
200811-11.46%-5.16%$5,671$10,923-11.46%-5.16%
2008122.28%-0.57%$5,800$10,8602.28%-0.57%
20091-2.29%-8.34%$5,667$9,954-2.29%-8.34%
20092-5.26%-11.20%$5,369$8,839-5.26%-11.20%
2009310.32%7.44%$5,923$9,49610.32%7.44%
2009413.06%7.86%$6,696$10,24313.06%7.86%
200953.21%4.87%$6,911$10,7423.21%4.87%
200962.95%-0.53%$7,115$10,6852.95%-0.53%
200978.44%8.44%$7,716$11,5878.44%8.44%
200981.47%4.05%$7,829$12,0551.47%4.05%
200995.65%2.33%$8,271$12,3365.65%2.33%
200910-3.05%0.06%$8,019$12,344-3.05%0.06%
2009116.35%7.07%$8,528$13,2166.35%7.07%
2009125.20%0.86%$8,971$13,3305.20%0.86%
20101-6.47%-3.38%$8,391$12,879-6.47%-3.38%
201024.60%3.00%$8,777$13,2654.60%3.00%
201037.71%5.34%$9,454$13,9747.71%5.34%
201042.24%1.46%$9,666$14,1782.24%1.46%
20105-7.39%-7.49%$8,952$13,115-7.39%-7.49%
20106-5.98%-3.51%$8,417$12,655-5.98%-3.51%
201077.26%7.23%$9,028$13,5707.26%7.23%
20108-5.13%-3.94%$8,564$13,035-5.13%-3.94%
2010913.17%7.89%$9,693$14,06413.17%7.89%
2010106.34%3.24%$10,307$14,5196.34%3.24%
201011-0.17%-0.71%$10,289$14,417-0.17%-0.71%
2010124.76%5.42%$10,778$15,1984.76%5.42%
201112.83%2.69%$11,083$15,6082.83%2.69%
201123.16%3.24%$11,434$16,1143.16%3.24%
20113-0.45%0.90%$11,382$16,260-0.45%0.90%
201142.87%4.18%$11,709$16,9382.87%4.18%
20115-1.22%-1.66%$11,567$16,658-1.22%-1.66%
20116-2.02%-1.16%$11,332$16,464-2.02%-1.16%
201171.67%-2.09%$11,521$16,1201.67%-2.09%
20118-5.07%-3.90%$10,937$15,491-5.07%-3.90%
20119-4.49%-5.88%$10,446$14,579-4.49%-5.88%
20111010.40%9.73%$11,532$15,99810.40%9.73%
201111-2.69%0.96%$11,222$16,151-2.69%0.96%
201112-0.62%1.69%$11,153$16,423-0.62%1.69%
201218.42%3.60%$12,092$17,0148.42%3.60%
201226.41%2.82%$12,867$17,4936.41%2.82%
201235.05%2.14%$13,517$17,8675.05%2.14%
20124-1.17%0.11%$13,359$17,888-1.17%0.11%
20125-7.04%-5.82%$12,418$16,847-7.04%-5.82%
201263.62%4.02%$12,868$17,5243.62%4.02%
201271.00%1.13%$12,996$17,7221.00%1.13%
201285.19%1.18%$13,670$17,9325.19%1.18%
201290.89%2.63%$13,791$18,4040.89%2.63%
201210-5.28%-2.44%$13,063$17,956-5.28%-2.44%
2012111.31%-0.13%$13,234$17,9331.31%-0.13%
201212-0.46%0.68%$13,173$18,055-0.46%0.68%
201312.67%6.11%$13,525$19,1592.67%6.11%
201320.34%1.61%$13,572$19,4670.34%1.61%
201333.03%3.81%$13,982$20,2093.03%3.81%
201342.54%1.96%$14,337$20,6042.54%1.96%
201353.58%2.37%$14,850$21,0923.58%2.37%
20136-2.39%-1.49%$14,495$20,778-2.39%-1.49%
201376.31%4.37%$15,410$21,6876.31%4.37%
20138-0.40%-4.27%$15,349$20,761-0.40%-4.27%
201394.83%2.33%$16,091$21,2454.83%2.33%
2013104.96%2.95%$16,888$21,8724.96%2.95%
2013113.55%3.69%$17,488$22,6803.55%3.69%
2013122.92%3.21%$17,999$23,4072.92%3.21%
20141-1.92%-5.19%$17,653$22,191-1.92%-5.19%
201425.15%4.28%$18,563$23,1415.15%4.28%
20143-2.73%0.92%$18,056$23,355-2.73%0.92%
20144-0.32%0.82%$17,998$23,546-0.32%0.82%
201454.49%1.15%$18,805$23,8174.49%1.15%
201463.12%0.77%$19,393$24,0013.12%0.77%
201471.18%-1.44%$19,622$23,6541.18%-1.44%
201485.01%3.57%$20,605$24,4985.01%3.57%
20149-0.76%-0.24%$20,449$24,440-0.76%-0.24%
2014102.64%2.08%$20,989$24,9472.64%2.08%
2014114.55%2.94%$21,943$25,6814.55%2.94%
201412-2.24%0.09%$21,451$25,704-2.24%0.09%
20151-2.08%-3.53%$21,005$24,796-2.08%-3.53%
201527.22%5.97%$22,521$26,2767.22%5.97%
20153-2.36%-1.82%$21,990$25,796-2.36%-1.82%
201541.92%0.40%$22,413$25,9011.92%0.40%
201552.25%1.31%$22,916$26,2392.25%1.31%
20156-2.48%-2.12%$22,347$25,683-2.48%-2.12%
201574.56%0.58%$23,366$25,8334.56%0.58%
20158-6.82%-6.20%$21,771$24,232-6.82%-6.20%
20159-2.20%-1.35%$21,292$23,904-2.20%-1.35%
20151011.37%8.58%$23,712$25,95511.37%8.58%
2015110.61%0.74%$23,857$26,1480.61%0.74%
201512-1.59%-1.59%$23,478$25,731-1.59%-1.59%
20161-6.91%-5.48%$21,855$24,322-6.91%-5.48%
20162-1.57%0.73%$21,513$24,500-1.57%0.73%
201636.85%7.31%$22,987$26,2916.85%7.31%
20164-3.19%0.61%$22,255$26,452-3.19%0.61%
201654.37%0.38%$23,227$26,5534.37%0.38%
20166-2.27%0.96%$22,699$26,809-2.27%0.96%
201677.15%2.94%$24,322$27,5977.15%2.94%
201681.05%0.25%$24,577$27,6661.05%0.25%
201692.21%-0.44%$25,121$27,5462.21%-0.44%
201610-1.46%-0.78%$24,755$27,330-1.46%-0.78%
2016110.44%5.95%$24,863$28,9550.44%5.95%
2016121.13%3.42%$25,145$29,9451.13%3.42%
201715.14%0.53%$26,438$30,1035.14%0.53%
201724.38%5.14%$27,594$31,6494.38%5.14%
201732.03%-0.59%$28,154$31,4602.03%-0.59%
201742.73%1.42%$28,921$31,9062.73%1.42%
201753.90%0.73%$30,048$32,1413.90%0.73%
20176-2.32%1.73%$29,352$32,697-2.32%1.73%
201774.06%2.67%$30,544$33,5714.06%2.67%
201782.07%0.62%$31,178$33,7792.07%0.62%
20179-0.29%2.17%$31,086$34,511-0.29%2.17%
2017104.61%4.46%$32,518$36,0524.61%4.46%
2017111.97%4.19%$33,159$37,5641.97%4.19%
2017120.60%2.10%$33,358$38,3530.60%2.10%
201818.76%5.74%$36,280$40,5568.76%5.74%
20182-1.29%-4.05%$35,810$38,911-1.29%-4.05%
20183-4.08%-3.34%$34,351$37,611-4.08%-3.34%
201840.51%0.11%$34,525$37,6530.51%0.11%
201855.67%1.38%$36,483$38,1725.67%1.38%
201861.15%-0.44%$36,901$38,0021.15%-0.44%
201872.80%4.85%$37,933$39,8442.80%4.85%
201885.78%2.45%$40,126$40,8205.78%2.45%
20189-0.28%1.96%$40,013$41,620-0.28%1.96%
201810-8.60%-4.94%$36,573$39,564-8.60%-4.94%
201811-0.26%1.96%$36,476$40,340-0.26%1.96%
201812-8.65%-8.48%$33,320$36,919-8.65%-8.48%
201919.01%7.33%$36,322$39,6259.01%7.33%
201922.99%3.94%$37,408$41,1872.99%3.94%
201933.92%0.15%$38,876$41,2503.92%0.15%
201945.50%2.63%$41,014$42,3365.50%2.63%
20195-8.23%-6.38%$37,641$39,636-8.23%-6.38%
201967.59%7.36%$40,498$42,5527.59%7.36%
201972.33%1.09%$41,443$43,0152.33%1.09%
20198-1.90%-1.38%$40,656$42,422-1.90%-1.38%
201990.92%2.16%$41,029$43,3370.92%2.16%
2019104.38%0.55%$42,826$43,5744.38%0.55%
2019114.07%4.06%$44,569$45,3444.07%4.06%
2019123.89%1.79%$46,301$46,1543.89%1.79%
202013.04%-0.89%$47,708$45,7423.04%-0.89%
20202-6.06%-9.61%$44,818$41,344-6.06%-9.61%
20203-7.29%-13.61%$41,553$35,718-7.29%-13.61%
2020414.97%11.00%$47,775$39,64714.97%11.00%
202056.60%4.76%$50,928$41,5336.60%4.76%
202066.28%1.70%$54,129$42,2406.28%1.70%
202077.35%2.59%$58,105$43,3367.35%2.59%
2020810.94%7.77%$64,465$46,70410.94%7.77%
20209-5.78%-2.15%$60,740$45,700-5.78%-2.15%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%56.74%
Large-cap Growth90.31%36.01%
Mid-cap Value0.00%0.00%
Mid-cap Growth6.36%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets3.33%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%7.25%
R Squared87.48%94.71%
Style analysis is based on monthly returns from Apr 2005 to Sep 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/EReturn ContributionRisk Contribution
QQQInvesco QQQ TrustLarge Growth100.00%0.20%34.12$50,740100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
DIASPDR Dow Jones Industrial Avrg ETF TrLarge Value100.00%0.16%22.40$35,700100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/27/2020. (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 2
Arithmetic Mean (monthly)0.95%0.68%
Arithmetic Mean (annualized)11.98%8.47%
Geometric Mean (monthly)0.70%0.59%
Geometric Mean (annualized)8.75%7.32%
Volatility (monthly)6.95%4.21%
Volatility (annualized)24.09%14.58%
Downside Deviation (monthly)4.71%2.83%
Max. Drawdown-81.08%-47.05%
US Market Correlation0.850.93
Beta(*)1.330.88
Alpha (annualized)0.76%1.14%
R272.94%87.27%
Sharpe Ratio0.400.44
Sortino Ratio0.580.64
Treynor Ratio (%)7.267.32
Calmar Ratio1.470.43
Active Return1.77%0.34%
Tracking Error13.52%5.53%
Information Ratio0.130.06
Skewness-0.40-0.51
Excess Kurtosis1.770.99
Historical Value-at-Risk (5%)-12.09%-6.39%
Analytical Value-at-Risk (5%)-10.49%-6.25%
Conditional Value-at-Risk (5%)-16.22%-9.93%
Upside Capture Ratio (%)140.2787.50
Downside Capture Ratio (%)133.1184.36
Safe Withdrawal Rate4.21%6.06%
Perpetual Withdrawal Rate6.22%4.94%
Positive Periods152 out of 258 (58.91%)162 out of 258 (62.79%)
Gain/Loss Ratio1.000.90
* 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 2
Dotcom CrashMar 2000Oct 2002-81.08%-30.03%
Subprime CrisisNov 2007Mar 2009-49.74%-47.05%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2000Sep 20022 years 6 monthsOct 201412 years 1 month14 years 7 months-81.08%
2Sep 2018Dec 20184 monthsApr 20194 months8 months-16.96%
3Feb 2020Mar 20202 monthsApr 20201 month3 months-12.90%
4Dec 2015Feb 20163 monthsJul 20165 months8 months-9.82%
5Aug 2015Sep 20152 monthsOct 20151 month3 months-8.88%
6May 2019May 20191 monthJul 20192 months3 months-8.23%
7Sep 2020Sep 20201 month-5.78%
8Feb 2018Mar 20182 monthsMay 20182 months4 months-5.32%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-4.28%
10May 1999May 19991 monthJun 19991 month2 months-3.14%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-47.05%
2Jan 2000Sep 20022 years 9 monthsDec 20042 years 3 months5 years-31.09%
3Jan 2020Mar 20203 monthsAug 20205 months8 months-22.61%
4May 2011Sep 20115 monthsJan 20124 months9 months-13.93%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-11.29%
6Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-9.02%
7Feb 2018Mar 20182 monthsAug 20185 months7 months-7.26%
8May 2019May 20191 monthJun 20191 month2 months-6.38%
9May 2012May 20121 monthAug 20123 months4 months-5.82%
10Jan 2014Jan 20141 monthApr 20143 months4 months-5.19%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
QQQInvesco QQQ Trust8.75%24.09%74.15%-41.73%-81.08%0.400.580.85
DIASPDR Dow Jones Industrial Avrg ETF Tr7.32%14.58%29.64%-32.16%-47.05%0.440.640.93

Monthly Correlations

Correlations for the portfolio assets
TickerNameQQQDIAPortfolio 1Portfolio 2
QQQInvesco QQQ Trust1.000.731.000.73
DIASPDR Dow Jones Industrial Avrg ETF Tr0.731.000.731.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
QQQInvesco QQQ Trust$50,740
DIASPDR Dow Jones Industrial Avrg ETF Tr$35,700

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
QQQInvesco QQQ Trust100.00%
DIASPDR Dow Jones Industrial Avrg ETF Tr100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year8.98%54.68%-41.73%8.22%29.64%-32.16%
3 years8.10%24.36%-35.63%7.63%16.11%-8.67%
5 years9.00%25.42%-15.09%7.71%16.60%-1.30%
7 years9.27%22.11%-9.95%7.72%14.35%0.31%
10 years9.30%19.10%-6.42%7.38%13.22%1.14%
15 years8.79%14.05%1.40%7.59%10.09%5.27%
Result statistics are based on annualized rolling returns over full calendar year periods