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 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 (Sep 1993 - Oct 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SGOVX First Eagle Overseas A 100.00%
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Portfolio 2
Ticker Name Allocation
TBGVX Tweedy, Browne Global Value 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VWIGX Vanguard International Growth Inv 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$118,559 9.53% 10.86%41.41%-20.97%-32.13% 0.681.030.74
Portfolio 2$10,000$76,972 7.80% 11.93%37.85%-38.31%-47.05% 0.500.700.81
Portfolio 3$10,000$88,340 8.35% 17.36%42.96%-44.94%-56.99% 0.420.600.85
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 1-0.78%-4.80%-2.35%0.42%3.55%4.55%9.53%
Portfolio 2-3.52%-16.72%-14.65%-3.23%1.12%4.39%7.80%
Portfolio 36.44%29.95%42.34%14.88%16.26%10.38%8.35%
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 1993 are based on monthly returns from September to December
  • The annual results for 2020 are based on monthly returns from January to October
  • 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
YearInflationReturnBalanceFirst Eagle Overseas A (SGOVX)Tweedy, Browne Global Value (TBGVX)Vanguard International Growth Inv (VWIGX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19930.69%9.20%7.85%13.31%$10,920$10,785$11,3319.20%7.85%13.31%
19942.67%7.79%4.36%0.76%$11,771$11,255$11,4177.79%4.36%0.76%
19952.54%11.79%10.70%14.89%$13,158$12,460$13,11711.79%10.70%14.89%
19963.32%14.53%20.23%14.65%$15,070$14,980$15,03814.53%20.23%14.65%
19971.70%3.02%22.96%4.12%$15,525$18,420$15,6583.02%22.96%4.12%
19981.61%2.53%10.99%16.93%$15,918$20,445$18,3082.53%10.99%16.93%
19992.68%33.19%25.28%26.34%$21,201$25,613$23,13033.19%25.28%26.34%
20003.39%5.68%12.39%-8.60%$22,405$28,787$21,1415.68%12.39%-8.60%
20011.55%5.35%-4.67%-18.92%$23,603$27,444$17,1425.35%-4.67%-18.92%
20022.38%12.53%-12.14%-17.79%$26,561$24,113$14,09312.53%-12.14%-17.79%
20031.88%41.41%24.93%34.45%$37,560$30,124$18,94741.41%24.93%34.45%
20043.26%21.83%20.01%18.95%$45,758$36,152$22,53821.83%20.01%18.95%
20053.42%16.92%15.42%15.00%$53,501$41,725$25,92016.92%15.42%15.00%
20062.54%22.29%20.14%25.92%$65,429$50,127$32,64022.29%20.14%25.92%
20074.08%8.39%7.54%15.98%$70,916$53,907$37,8568.39%7.54%15.98%
20080.09%-20.97%-38.31%-44.94%$56,042$33,256$20,844-20.97%-38.31%-44.94%
20092.72%20.64%37.85%41.63%$67,611$45,844$29,52120.64%37.85%41.63%
20101.50%19.24%13.82%15.66%$80,617$52,178$34,14419.24%13.82%15.66%
20112.96%-5.60%-4.13%-13.68%$76,101$50,025$29,472-5.60%-4.13%-13.68%
20121.74%13.98%18.38%20.01%$86,740$59,222$35,37013.98%18.38%20.01%
20131.50%11.57%19.62%22.95%$96,778$70,843$43,48611.57%19.62%22.95%
20140.76%-0.97%1.51%-5.63%$95,844$71,909$41,040-0.97%1.51%-5.63%
20150.73%2.27%-1.46%-0.67%$98,023$70,858$40,7652.27%-1.46%-0.67%
20162.07%5.59%5.62%1.71%$103,498$74,841$41,4615.59%5.62%1.71%
20172.11%14.05%15.43%42.96%$118,041$86,392$59,27514.05%15.43%42.96%
20181.91%-10.29%-6.67%-12.69%$105,895$80,628$51,755-10.29%-6.67%-12.69%
20192.29%17.61%14.63%31.35%$124,539$92,426$67,97917.61%14.63%31.35%
20201.29%-4.80%-16.72%29.95%$118,559$76,972$88,340-4.80%-16.72%29.95%
Annual returns for 1993 and 2020 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceFirst Eagle Overseas A (SGOVX)Tweedy, Browne Global Value (TBGVX)Vanguard International Growth Inv (VWIGX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19939-0.10%-3.64%0.75%$9,990$9,636$10,075-0.10%-3.64%0.75%
1993104.40%3.78%4.71%$10,430$10,000$10,5494.40%3.78%4.71%
1993110.19%0.09%-3.39%$10,450$10,009$10,1910.19%0.09%-3.39%
1993124.50%7.75%11.19%$10,920$10,785$11,3314.50%7.75%11.19%
199416.50%9.01%5.40%$11,630$11,757$11,9446.50%9.01%5.40%
199420.17%-0.87%-2.53%$11,650$11,654$11,6420.17%-0.87%-2.53%
19943-0.94%-1.68%-4.39%$11,540$11,458$11,130-0.94%-1.68%-4.39%
199441.47%2.85%3.32%$11,710$11,785$11,4991.47%2.85%3.32%
19945-0.17%-0.56%-0.73%$11,690$11,720$11,415-0.17%-0.56%-0.73%
19946-1.03%-2.63%-0.51%$11,570$11,411$11,357-1.03%-2.63%-0.51%
199472.25%2.21%2.29%$11,830$11,664$11,6172.25%2.21%2.29%
199481.44%2.00%3.68%$12,000$11,897$12,0441.44%2.00%3.68%
199490.17%-3.38%-2.72%$12,020$11,495$11,7170.17%-3.38%-2.72%
1994100.83%-0.89%2.51%$12,120$11,393$12,0110.83%-0.89%2.51%
199411-2.81%-1.48%-4.33%$11,780$11,224$11,491-2.81%-1.48%-4.33%
199412-0.08%0.28%-0.64%$11,771$11,255$11,417-0.08%0.28%-0.64%
19951-1.54%-0.76%-5.14%$11,589$11,170$10,830-1.54%-0.76%-5.14%
199520.09%0.25%0.08%$11,600$11,199$10,8390.09%0.25%0.08%
199531.04%-2.54%4.55%$11,720$10,914$11,3321.04%-2.54%4.55%
199542.58%3.39%4.43%$12,022$11,284$11,8342.58%3.39%4.43%
199552.34%2.10%2.08%$12,304$11,521$12,0802.34%2.10%2.08%
199560.74%0.00%0.70%$12,394$11,521$12,1650.74%0.00%0.70%
199572.35%2.55%5.31%$12,686$11,814$12,8112.35%2.55%5.31%
19958-0.63%1.28%-2.46%$12,606$11,966$12,497-0.63%1.28%-2.46%
199591.68%0.55%2.79%$12,817$12,032$12,8451.68%0.55%2.79%
199510-0.16%-1.26%-1.99%$12,797$11,881$12,590-0.16%-1.26%-1.99%
1995110.24%1.99%0.74%$12,827$12,118$12,6840.24%1.99%0.74%
1995122.58%2.82%3.42%$13,158$12,460$13,1172.58%2.82%3.42%
199614.65%5.17%2.46%$13,770$13,104$13,4404.65%5.17%2.46%
19962-0.08%1.98%0.58%$13,760$13,364$13,519-0.08%1.98%0.58%
199631.77%2.81%2.13%$14,003$13,739$13,8071.77%2.81%2.13%
199643.24%2.66%2.85%$14,457$14,105$14,2003.24%2.66%2.85%
19965-0.15%0.75%0.12%$14,436$14,211$14,217-0.15%0.75%0.12%
199660.80%0.95%0.92%$14,552$14,345$14,3480.80%0.95%0.92%
19967-2.83%-4.02%-3.23%$14,140$13,768$13,885-2.83%-4.02%-3.23%
199680.52%1.26%1.45%$14,214$13,941$14,0860.52%1.26%1.45%
199692.30%1.73%2.42%$14,541$14,182$14,4272.30%1.73%2.42%
1996100.80%1.22%-1.39%$14,657$14,355$14,2260.80%1.22%-1.39%
1996113.10%3.75%5.52%$15,111$14,894$15,0123.10%3.75%5.52%
199612-0.28%0.58%0.17%$15,070$14,980$15,038-0.28%0.58%0.17%
199711.88%3.60%-1.03%$15,353$15,520$14,8831.88%3.60%-1.03%
199722.22%2.74%2.39%$15,694$15,945$15,2392.22%2.74%2.39%
199730.07%0.52%1.02%$15,705$16,028$15,3940.07%0.52%1.02%
199740.22%1.81%0.89%$15,739$16,318$15,5310.22%1.81%0.89%
199754.11%3.75%7.18%$16,386$16,929$16,6464.11%3.75%7.18%
199762.98%4.23%5.32%$16,874$17,645$17,5322.98%4.23%5.32%
199771.14%4.99%2.87%$17,067$18,526$18,0351.14%4.99%2.87%
19978-2.93%-3.86%-9.52%$16,568$17,811$16,317-2.93%-3.86%-9.52%
199792.05%4.31%5.99%$16,908$18,578$17,2952.05%4.31%5.99%
199710-6.04%-3.57%-8.93%$15,887$17,914$15,751-6.04%-3.57%-8.93%
199711-1.64%0.69%-1.22%$15,626$18,039$15,559-1.64%0.69%-1.22%
199712-0.64%2.11%0.64%$15,525$18,420$15,658-0.64%2.11%0.64%
199812.80%2.62%2.32%$15,960$18,903$16,0212.80%2.62%2.32%
199823.84%6.30%7.04%$16,573$20,094$17,1483.84%6.30%7.04%
199834.24%6.15%3.01%$17,276$21,330$17,6644.24%6.15%3.01%
199841.18%0.21%1.68%$17,480$21,375$17,9601.18%0.21%1.68%
199850.58%1.10%0.05%$17,582$21,611$17,9700.58%1.10%0.05%
19986-1.96%-0.94%-0.85%$17,237$21,409$17,817-1.96%-0.94%-0.85%
19987-0.67%-1.31%2.31%$17,122$21,128$18,228-0.67%-1.31%2.31%
19988-10.56%-13.35%-13.16%$15,314$18,307$15,830-10.56%-13.35%-13.16%
19989-3.00%-3.93%-1.81%$14,855$17,588$15,543-3.00%-3.93%-1.81%
1998102.90%7.67%7.31%$15,286$18,937$16,6802.90%7.67%7.31%
1998114.46%7.06%6.07%$15,968$20,274$17,6934.46%7.06%6.07%
199812-0.31%0.84%3.48%$15,918$20,445$18,308-0.31%0.84%3.48%
19991-2.14%0.48%0.59%$15,577$20,542$18,415-2.14%0.48%0.59%
19992-0.46%0.41%-3.23%$15,506$20,627$17,820-0.46%0.41%-3.23%
199934.22%6.54%1.64%$16,160$21,976$18,1134.22%6.54%1.64%
1999410.48%9.29%4.74%$17,853$24,018$18,97110.48%9.29%4.74%
19995-0.96%-1.82%-3.80%$17,682$23,581$18,250-0.96%-1.82%-3.80%
199965.39%6.96%4.12%$18,635$25,221$19,0015.39%6.96%4.12%
199972.44%1.06%0.87%$19,091$25,489$19,1662.44%1.06%0.87%
199981.34%-0.43%0.51%$19,347$25,380$19,2641.34%-0.43%0.51%
199991.18%-1.87%-1.42%$19,574$24,905$18,9911.18%-1.87%-1.42%
1999101.24%-0.29%2.82%$19,816$24,833$19,5271.24%-0.29%2.82%
199911-0.14%1.71%6.79%$19,788$25,258$20,854-0.14%1.71%6.79%
1999127.14%1.41%10.92%$21,201$25,613$23,1307.14%1.41%10.92%
20001-1.56%0.25%-3.96%$20,869$25,676$22,215-1.56%0.25%-3.96%
20002-0.22%1.88%7.50%$20,824$26,158$23,881-0.22%1.88%7.50%
200034.34%2.23%2.71%$21,729$26,741$24,5294.34%2.23%2.71%
20004-4.09%0.47%-5.87%$20,839$26,868$23,089-4.09%0.47%-5.87%
20005-0.14%-0.99%-0.85%$20,809$26,602$22,894-0.14%-0.99%-0.85%
200065.58%1.86%3.68%$21,970$27,096$23,7375.58%1.86%3.68%
20007-2.20%2.20%-2.99%$21,488$27,692$23,027-2.20%2.20%-2.99%
200082.11%4.30%-0.71%$21,940$28,883$22,8632.11%4.30%-0.71%
200091.37%-1.14%-6.48%$22,242$28,553$21,3821.37%-1.14%-6.48%
200010-2.58%-0.18%-3.03%$21,669$28,503$20,734-2.58%-0.18%-3.03%
2000110.77%-0.44%-2.38%$21,834$28,376$20,2400.77%-0.44%-2.38%
2000122.61%1.45%4.45%$22,405$28,787$21,1412.61%1.45%4.45%
200112.72%-0.15%0.53%$23,014$28,744$21,2532.72%-0.15%0.53%
200121.19%0.15%-6.59%$23,289$28,787$19,8521.19%0.15%-6.59%
20013-3.71%-2.30%-6.26%$22,425$28,124$18,609-3.71%-2.30%-6.26%
200145.52%2.46%5.42%$23,662$28,816$19,6175.52%2.46%5.42%
200151.00%2.35%-3.60%$23,897$29,493$18,9111.00%2.35%-3.60%
20016-1.07%-0.10%-3.97%$23,642$29,464$18,161-1.07%-0.10%-3.97%
200170.17%-2.00%-2.22%$23,681$28,874$17,7570.17%-2.00%-2.22%
20018-0.17%-2.30%-2.78%$23,642$28,211$17,264-0.17%-2.30%-2.78%
20019-8.89%-8.73%-11.68%$21,541$25,747$15,248-8.89%-8.73%-11.68%
2001102.19%1.06%3.45%$22,012$26,021$15,7742.19%1.06%3.45%
2001113.84%3.27%5.04%$22,857$26,871$16,5703.84%3.27%5.04%
2001123.26%2.13%3.45%$23,603$27,444$17,1423.26%2.13%3.45%
20021-0.08%0.05%-4.40%$23,583$27,458$16,388-0.08%0.05%-4.40%
200223.33%1.67%-0.14%$24,369$27,918$16,3653.33%1.67%-0.14%
200235.88%4.99%5.16%$25,802$29,310$17,2105.88%4.99%5.16%
200243.35%0.40%0.73%$26,666$29,428$17,3363.35%0.40%0.73%
200254.27%-0.75%-0.79%$27,805$29,206$17,1994.27%-0.75%-0.79%
20026-3.25%-5.48%-4.25%$26,902$27,607$16,468-3.25%-5.48%-4.25%
20027-6.42%-8.05%-10.06%$25,174$25,385$14,812-6.42%-8.05%-10.06%
200280.62%-0.18%0.00%$25,331$25,341$14,8120.62%-0.18%0.00%
20029-4.96%-9.00%-11.95%$24,074$23,060$13,042-4.96%-9.00%-11.95%
2002101.55%1.86%7.01%$24,447$23,489$13,9561.55%1.86%7.01%
2002115.54%3.15%6.22%$25,802$24,230$14,8235.54%3.15%6.22%
2002122.94%-0.48%-4.93%$26,561$24,113$14,0932.94%-0.48%-4.93%
200311.43%-4.87%-3.37%$26,940$22,939$13,6181.43%-4.87%-3.37%
20032-2.82%-2.86%-3.23%$26,181$22,283$13,177-2.82%-2.86%-3.23%
20033-0.53%-1.16%-1.14%$26,042$22,024$13,026-0.53%-1.16%-1.14%
200347.21%7.34%9.79%$27,919$23,640$14,3017.21%7.34%9.79%
200356.80%4.39%5.67%$29,816$24,677$15,1136.80%4.39%5.67%
200361.88%2.10%1.61%$30,375$25,196$15,3561.88%2.10%1.61%
200371.97%3.15%3.02%$30,974$25,989$15,8201.97%3.15%3.02%
200384.19%3.64%2.64%$32,272$26,935$16,2374.19%3.64%2.64%
200394.21%1.42%1.86%$33,630$27,316$16,5384.21%1.42%1.86%
2003103.92%4.58%5.54%$34,948$28,567$17,4543.92%4.58%5.54%
2003113.03%2.40%1.66%$36,007$29,253$17,7433.03%2.40%1.66%
2003124.31%2.98%6.78%$37,560$30,124$18,9474.31%2.98%6.78%
200411.71%5.47%2.29%$38,201$31,773$19,3821.71%5.47%2.29%
200423.19%3.15%2.48%$39,420$32,774$19,8633.19%3.15%2.48%
200431.57%-0.19%1.30%$40,040$32,713$20,1221.57%-0.19%1.30%
20044-2.79%1.46%-3.62%$38,924$33,190$19,394-2.79%1.46%-3.62%
200450.58%-0.88%-0.30%$39,151$32,898$19,3350.58%-0.88%-0.30%
200462.11%2.48%1.76%$39,978$33,714$19,6752.11%2.48%1.76%
20047-0.88%-1.74%-3.34%$39,627$33,129$19,018-0.88%-1.74%-3.34%
200480.68%0.09%0.86%$39,896$33,159$19,1820.68%0.09%0.86%
200493.16%1.39%2.76%$41,157$33,622$19,7113.16%1.39%2.76%
2004101.71%0.78%2.62%$41,859$33,884$20,2281.71%0.78%2.62%
2004115.33%2.86%6.56%$44,092$34,854$21,5555.33%2.86%6.56%
2004123.78%3.72%4.56%$45,758$36,152$22,5383.78%3.72%4.56%
200510.18%1.64%-2.12%$45,842$36,744$22,0600.18%1.64%-2.12%
200524.26%2.93%4.17%$47,797$37,820$22,9814.26%2.93%4.17%
20053-0.44%-0.74%-2.44%$47,587$37,539$22,419-0.44%-0.74%-2.44%
20054-2.30%-1.87%-2.29%$46,494$36,838$21,905-2.30%-1.87%-2.29%
20055-0.18%2.03%0.11%$46,410$37,586$21,929-0.18%2.03%0.11%
200561.81%2.32%1.14%$47,251$38,459$22,1801.81%2.32%1.14%
200573.43%3.40%3.45%$48,869$39,769$22,9453.43%3.40%3.45%
200580.99%-0.43%3.28%$49,352$39,597$23,6980.99%-0.43%3.28%
200594.26%2.64%4.44%$51,454$40,642$24,7494.26%2.64%4.44%
200510-1.43%-1.73%-3.14%$50,719$39,940$23,972-1.43%-1.73%-3.14%
2005111.66%1.56%2.34%$51,559$40,564$24,5341.66%1.56%2.34%
2005123.77%2.86%5.65%$53,501$41,725$25,9203.77%2.86%5.65%
200615.73%2.84%6.95%$56,567$42,910$27,7215.73%2.84%6.95%
200620.53%3.39%-0.45%$56,868$44,364$27,5980.53%3.39%-0.45%
200632.82%1.75%3.22%$58,471$45,139$28,4862.82%1.75%3.22%
200644.57%1.93%4.50%$61,141$46,008$29,7694.57%1.93%4.50%
20065-2.73%-4.16%-4.77%$59,469$44,096$28,351-2.73%-4.16%-4.77%
200660.39%-0.57%0.35%$59,701$43,843$28,4490.39%-0.57%0.35%
200670.66%1.62%1.08%$60,096$44,554$28,7580.66%1.62%1.08%
200681.28%2.41%2.83%$60,862$45,629$29,5721.28%2.41%2.83%
200690.31%1.59%-0.13%$61,048$46,356$29,5350.31%1.59%-0.13%
2006101.56%1.77%4.05%$62,000$47,178$30,7321.56%1.77%4.05%
2006113.90%1.68%2.93%$64,415$47,968$31,6323.90%1.68%2.93%
2006121.57%4.50%3.18%$65,429$50,127$32,6401.57%4.50%3.18%
200710.40%2.17%1.17%$65,690$51,213$33,0230.40%2.17%1.17%
200721.39%-1.23%-0.79%$66,603$50,581$32,7631.39%-1.23%-0.79%
200732.31%3.52%2.51%$68,142$52,364$33,5832.31%3.52%2.51%
200743.06%5.11%4.64%$70,229$55,038$35,1433.06%5.11%4.64%
200751.04%2.06%3.23%$70,959$56,172$36,2781.04%2.06%3.23%
20076-0.40%-1.24%0.75%$70,673$55,476$36,552-0.40%-1.24%0.75%
200770.18%-0.26%-1.57%$70,803$55,330$35,9770.18%-0.26%-1.57%
20078-1.14%-1.35%-0.65%$69,994$54,584$35,745-1.14%-1.35%-0.65%
200792.53%0.98%6.35%$71,768$55,119$38,0162.53%0.98%6.35%
2007102.11%2.21%5.11%$73,281$56,335$39,9582.11%2.21%5.11%
200711-2.24%-3.62%-3.32%$71,638$54,293$38,631-2.24%-3.62%-3.32%
200712-1.01%-0.71%-2.01%$70,916$53,907$37,856-1.01%-0.71%-2.01%
20081-4.23%-8.32%-8.98%$67,918$49,419$34,455-4.23%-8.32%-8.98%
200822.52%-0.51%0.89%$69,631$49,167$34,7602.52%-0.51%0.89%
20083-0.04%-0.26%-0.97%$69,600$49,041$34,424-0.04%-0.26%-0.97%
200843.12%2.13%5.85%$71,772$50,086$36,4383.12%2.13%5.85%
200851.41%0.14%2.13%$72,782$50,158$37,2161.41%0.14%2.13%
20086-5.38%-10.03%-9.06%$68,866$45,130$33,845-5.38%-10.03%-9.06%
20087-3.69%-2.36%-3.92%$66,327$44,066$32,518-3.69%-2.36%-3.92%
20088-1.66%1.80%-4.17%$65,225$44,859$31,160-1.66%1.80%-4.17%
20089-7.60%-9.56%-12.87%$60,269$40,570$27,149-7.60%-9.56%-12.87%
200810-12.64%-14.53%-22.81%$52,652$34,676$20,957-12.64%-14.53%-22.81%
200811-0.41%-6.34%-7.86%$52,437$32,477$19,309-0.41%-6.34%-7.86%
2008126.87%2.40%7.95%$56,042$33,256$20,8446.87%2.40%7.95%
20091-4.93%-3.71%-10.66%$53,277$32,022$18,623-4.93%-3.71%-10.66%
20092-6.65%-6.85%-7.71%$49,737$29,829$17,188-6.65%-6.85%-7.71%
200931.83%1.00%8.85%$50,647$30,127$18,7081.83%1.00%8.85%
200945.99%10.32%12.60%$53,682$33,235$21,0665.99%10.32%12.60%
200959.17%9.67%14.11%$58,605$36,450$24,0399.17%9.67%14.11%
200960.75%0.64%-1.14%$59,043$36,684$23,7660.75%0.64%-1.14%
200975.20%7.02%10.42%$62,112$39,261$26,2435.20%7.02%10.42%
200983.09%2.87%2.41%$64,034$40,389$26,8753.09%2.87%2.41%
200994.95%5.17%5.40%$67,203$42,475$28,3284.95%5.17%5.40%
200910-2.11%-0.75%-1.69%$65,787$42,156$27,849-2.11%-0.75%-1.69%
2009112.05%3.03%4.29%$67,136$43,434$29,0452.05%3.03%4.29%
2009120.71%5.55%1.64%$67,611$45,844$29,5210.71%5.55%1.64%
20101-1.03%-1.56%-5.06%$66,917$45,131$28,026-1.03%-1.56%-5.06%
201020.52%0.91%0.74%$67,264$45,542$28,2350.52%0.91%0.74%
201034.91%5.08%7.20%$70,565$47,855$30,2684.91%5.08%7.20%
201041.58%0.09%-1.15%$71,676$47,899$29,9201.58%0.09%-1.15%
20105-6.30%-6.41%-10.39%$67,160$44,828$26,810-6.30%-6.41%-10.39%
201060.83%0.24%-0.84%$67,716$44,936$26,5840.83%0.24%-0.84%
201073.59%4.38%9.93%$70,148$46,904$29,2253.59%4.38%9.93%
20108-1.29%-1.11%-3.27%$69,244$46,385$28,270-1.29%-1.11%-3.27%
201096.97%5.22%12.66%$74,074$48,807$31,8496.97%5.22%12.66%
2010102.53%2.61%3.27%$75,950$50,083$32,8922.53%2.61%3.27%
201011-0.05%-1.81%-3.65%$75,915$49,175$31,693-0.05%-1.81%-3.65%
2010126.19%6.11%7.74%$80,617$52,178$34,1446.19%6.11%7.74%
20111-0.44%0.63%-0.05%$80,261$52,507$34,127-0.44%0.63%-0.05%
201122.22%1.67%2.17%$82,040$53,383$34,8682.22%1.67%2.17%
201130.30%-0.86%1.06%$82,289$52,923$35,2390.30%-0.86%1.06%
201143.72%4.18%6.06%$85,349$55,135$37,3753.72%4.18%6.06%
20115-1.96%-0.44%-2.88%$83,677$54,894$36,298-1.96%-0.44%-2.88%
201160.38%-1.44%-1.36%$83,997$54,106$35,8040.38%-1.44%-1.36%
201170.38%-2.06%-1.73%$84,317$52,989$35,1860.38%-2.06%-1.73%
20118-3.92%-5.46%-8.33%$81,008$50,097$32,255-3.92%-5.46%-8.33%
20119-6.98%-5.55%-13.79%$75,352$47,315$27,806-6.98%-5.55%-13.79%
2011105.10%5.32%12.51%$79,194$49,834$31,2845.10%5.32%12.51%
201111-1.35%-1.01%-2.99%$78,127$49,331$30,348-1.35%-1.01%-2.99%
201112-2.59%1.41%-2.89%$76,101$50,025$29,472-2.59%1.41%-2.89%
201214.96%1.78%8.20%$79,876$50,918$31,8884.96%1.78%8.20%
201224.02%4.63%5.37%$83,090$53,276$33,6004.02%4.63%5.37%
20123-0.45%2.23%-0.05%$82,717$54,467$33,582-0.45%2.23%-0.05%
20124-1.63%-0.42%-0.86%$81,371$54,238$33,294-1.63%-0.42%-0.86%
20125-7.17%-5.45%-11.42%$75,540$51,285$29,490-7.17%-5.45%-11.42%
201264.80%4.64%4.95%$79,166$53,666$30,9504.80%4.64%4.95%
201270.33%2.43%1.11%$79,427$54,971$31,2930.33%2.43%1.11%
201282.02%1.62%1.90%$81,035$55,864$31,8882.02%1.62%1.90%
201293.14%0.98%3.84%$83,576$56,413$33,1133.14%0.98%3.84%
201210-0.45%0.45%0.87%$83,202$56,665$33,402-0.45%0.45%0.87%
2012110.76%2.79%2.00%$83,838$58,245$34,0690.76%2.79%2.00%
2012123.46%1.68%3.82%$86,740$59,222$35,3703.46%1.68%3.82%
201311.82%4.69%4.41%$88,315$62,000$36,9301.82%4.69%4.41%
201320.22%1.44%-1.44%$88,512$62,892$36,3980.22%1.44%-1.44%
201331.65%1.74%0.15%$89,970$63,987$36,4531.65%1.74%0.15%
201342.45%1.71%2.77%$92,176$65,083$37,4632.45%1.71%2.77%
20135-2.09%0.27%-0.24%$90,246$65,262$37,371-2.09%0.27%-0.24%
20136-2.31%-2.62%-4.57%$88,158$63,554$35,664-2.31%-2.62%-4.57%
201373.35%4.09%7.05%$91,112$66,153$38,1783.35%4.09%7.05%
20138-1.04%-1.19%-1.83%$90,167$65,363$37,481-1.04%-1.19%-1.83%
201394.37%3.47%8.13%$94,106$67,631$40,5284.37%3.47%8.13%
2013102.13%2.90%3.49%$96,115$69,594$41,9412.13%2.90%3.49%
2013110.08%0.77%1.31%$96,194$70,129$42,4920.08%0.77%1.31%
2013120.61%1.02%2.34%$96,778$70,843$43,4860.61%1.02%2.34%
20141-1.21%-2.78%-5.66%$95,605$68,873$41,027-1.21%-2.78%-5.66%
201424.03%4.06%5.36%$99,458$71,668$43,2264.03%4.06%5.36%
201430.97%0.22%-0.17%$100,421$71,827$43,1510.97%0.22%-0.17%
20144-0.04%1.56%0.39%$100,379$72,945$43,319-0.04%1.56%0.39%
201451.13%2.01%1.55%$101,510$74,409$43,9891.13%2.01%1.55%
201462.15%-0.29%1.14%$103,687$74,196$44,4922.15%-0.29%1.14%
20147-2.02%-1.54%-1.51%$101,593$73,052$43,822-2.02%-1.54%-1.51%
201480.49%1.53%1.15%$102,096$74,169$44,3250.49%1.53%1.15%
20149-3.53%-1.15%-4.58%$98,495$73,318$42,294-3.53%-1.15%-4.58%
201410-1.45%-2.29%0.31%$97,071$71,641$42,424-1.45%-2.29%0.31%
2014111.38%1.71%1.45%$98,411$72,865$43,0391.38%1.71%1.45%
201412-2.61%-1.31%-4.65%$95,844$71,909$41,040-2.61%-1.31%-4.65%
201512.89%0.15%0.23%$98,617$72,020$41,1352.89%0.15%0.23%
201523.26%3.03%5.93%$101,831$74,201$43,5743.26%3.03%5.93%
20153-0.95%0.37%-0.66%$100,863$74,477$43,288-0.95%0.37%-0.66%
201543.06%1.71%4.18%$103,944$75,748$45,0983.06%1.71%4.18%
20155-0.38%-0.58%-0.08%$103,548$75,306$45,060-0.38%-0.58%-0.08%
20156-1.79%-3.04%-2.88%$101,699$73,014$43,764-1.79%-3.04%-2.88%
20157-1.47%1.63%-1.09%$100,202$74,201$43,288-1.47%1.63%-1.09%
20158-2.50%-4.17%-8.32%$97,693$71,108$39,687-2.50%-4.17%-8.32%
20159-4.01%-2.83%-4.03%$93,775$69,093$38,086-4.01%-2.83%-4.03%
2015106.20%5.36%9.20%$99,586$72,793$41,5926.20%5.36%9.20%
201511-1.59%-0.42%0.46%$98,001$72,489$41,783-1.59%-0.42%0.46%
2015120.02%-2.25%-2.44%$98,023$70,858$40,7650.02%-2.25%-2.44%
20161-3.73%-4.37%-7.68%$94,364$67,758$37,635-3.73%-4.37%-7.68%
201621.65%-0.86%-1.69%$95,926$67,179$36,9981.65%-0.86%-1.69%
201635.30%3.02%7.94%$101,012$69,206$39,9345.30%3.02%7.94%
201643.67%2.26%1.98%$104,715$70,771$40,7273.67%2.26%1.98%
20165-1.70%1.11%-0.09%$102,930$71,553$40,688-1.70%1.11%-0.09%
201660.65%-0.57%-1.38%$103,600$71,147$40,1280.65%-0.57%-1.38%
201673.32%1.43%5.54%$107,035$72,161$42,3493.32%1.43%5.54%
20168-0.54%1.08%2.10%$106,455$72,943$43,238-0.54%1.08%2.10%
201690.63%0.75%2.82%$107,124$73,494$44,4550.63%0.75%2.82%
201610-0.62%-0.75%-3.09%$106,455$72,943$43,084-0.62%-0.75%-3.09%
201611-3.52%-0.56%-4.04%$102,707$72,538$41,345-3.52%-0.56%-4.04%
2016120.77%3.18%0.28%$103,498$74,841$41,4610.77%3.18%0.28%
201713.48%1.16%7.27%$107,104$75,708$44,4743.48%1.16%7.27%
201720.99%2.68%0.97%$108,167$77,741$44,9050.99%2.68%0.97%
201731.79%2.81%4.01%$110,108$79,922$46,7051.79%2.81%4.01%
201740.88%1.05%4.23%$111,079$80,759$48,6810.88%1.05%4.23%
201752.25%3.18%5.14%$113,575$83,330$51,1862.25%3.18%5.14%
20176-0.45%-1.18%0.57%$113,067$82,343$51,479-0.45%-1.18%0.57%
201771.39%1.67%5.36%$114,638$83,718$54,2381.39%1.67%5.36%
201780.48%-1.07%2.38%$115,193$82,822$55,5290.48%-1.07%2.38%
201790.52%1.41%2.57%$115,794$83,987$56,9580.52%1.41%2.57%
2017101.12%1.14%2.30%$117,088$84,944$58,2691.12%1.14%2.30%
2017110.39%0.63%0.77%$117,550$85,482$58,7190.39%0.63%0.77%
2017120.42%1.06%0.95%$118,041$86,392$59,2750.42%1.06%0.95%
201813.08%2.60%9.09%$121,675$88,636$64,6623.08%2.60%9.09%
20182-4.17%-2.36%-4.15%$116,607$86,544$61,978-4.17%-2.36%-4.15%
201830.21%-2.28%-1.15%$116,846$84,573$61,2680.21%-2.28%-1.15%
201840.65%4.63%-0.23%$117,611$88,484$61,1300.65%4.63%-0.23%
20185-1.18%-1.64%1.10%$116,225$87,029$61,801-1.18%-1.64%1.10%
20186-1.40%-0.49%-0.19%$114,599$86,604$61,682-1.40%-0.49%-0.19%
201871.21%2.52%1.47%$115,986$88,788$62,5901.21%2.52%1.47%
20188-2.06%-1.09%-1.54%$113,595$87,817$61,623-2.06%-1.09%-1.54%
201890.84%0.69%-1.44%$114,551$88,424$60,7350.84%0.69%-1.44%
201810-5.22%-5.42%-10.66%$108,575$83,633$54,263-5.22%-5.42%-10.66%
201811-0.09%0.91%2.44%$108,480$84,391$55,585-0.09%0.91%2.44%
201812-2.38%-4.46%-6.89%$105,895$80,628$51,755-2.38%-4.46%-6.89%
201915.40%4.78%8.43%$111,608$84,485$56,1185.40%4.78%8.43%
201921.59%2.30%4.26%$113,381$86,429$58,5081.59%2.30%4.26%
201930.74%0.90%1.63%$114,219$87,207$59,4630.74%0.90%1.63%
201941.72%3.83%4.47%$116,189$90,545$62,1231.72%3.83%4.47%
20195-2.88%-4.87%-8.70%$112,839$86,138$56,721-2.88%-4.87%-8.70%
201965.37%5.00%8.17%$118,898$90,448$61,3545.37%5.00%8.17%
20197-1.20%-1.50%-1.63%$117,469$89,087$60,357-1.20%-1.50%-1.63%
201980.42%-1.82%-2.58%$117,962$87,466$58,7990.42%-1.82%-2.58%
201991.67%2.52%1.20%$119,932$89,670$59,5051.67%2.52%1.20%
2019101.23%0.58%4.29%$121,410$90,188$62,0611.23%0.58%4.29%
201911-0.37%1.11%3.65%$120,966$91,193$64,325-0.37%1.11%3.65%
2019122.95%1.35%5.68%$124,539$92,426$67,9792.95%1.35%5.68%
20201-2.55%-1.96%-1.52%$121,367$90,610$66,949-2.55%-1.96%-1.52%
20202-5.74%-7.47%-3.77%$114,399$83,841$64,425-5.74%-7.47%-3.77%
20203-10.41%-13.31%-10.87%$102,491$72,680$57,421-10.41%-13.31%-10.87%
202047.97%6.04%11.25%$110,655$77,071$63,8787.97%6.04%11.25%
202052.73%1.93%9.22%$113,671$78,557$69,7672.73%1.93%9.22%
202061.88%1.68%9.44%$115,803$79,878$76,3511.88%1.68%9.44%
202073.19%-0.12%8.71%$119,495$79,779$82,9973.19%-0.12%8.71%
202082.44%3.06%8.82%$122,407$82,223$90,3172.44%3.06%8.82%
20209-1.15%-2.77%-1.75%$121,003$79,944$88,739-1.15%-2.77%-1.75%
202010-2.02%-3.72%-0.45%$118,559$76,972$88,340-2.02%-3.72%-0.45%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%17.12%0.00%
Large-cap Growth0.00%10.63%22.15%
Mid-cap Value5.51%4.97%0.00%
Mid-cap Growth0.00%0.00%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets38.35%38.68%49.44%
Emerging Markets12.97%0.00%28.41%
Corporate Bonds16.09%3.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries27.08%25.60%0.00%
R Squared87.64%83.61%94.18%
Style analysis is based on monthly returns from Apr 2005 to Oct 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
SGOVXFirst Eagle Overseas AForeign Large Blend100.00%1.15%17.37$108,559100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
TBGVXTweedy, Browne Global ValueForeign Large Value100.00%1.37%18.16$66,972100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VWIGXVanguard International Growth InvForeign Large Growth100.00%0.43%31.84$78,340100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/25/2020. (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)0.81%0.69%0.80%
Arithmetic Mean (annualized)10.18%8.58%10.00%
Geometric Mean (monthly)0.76%0.63%0.67%
Geometric Mean (annualized)9.53%7.80%8.35%
Volatility (monthly)3.14%3.44%5.01%
Volatility (annualized)10.86%11.93%17.36%
Downside Deviation (monthly)1.99%2.36%3.37%
Max. Drawdown-32.13%-47.05%-56.99%
US Market Correlation0.740.810.85
Beta(*)0.530.630.97
Alpha (annualized)4.27%1.76%-0.38%
R255.26%64.87%71.82%
Sharpe Ratio0.680.500.42
Sortino Ratio1.030.700.60
Treynor Ratio (%)13.859.327.44
Calmar Ratio0.02-0.150.75
Active Return0.06%-1.67%-1.12%
Tracking Error10.14%8.99%9.22%
Information Ratio0.01-0.19-0.12
Skewness-0.61-0.89-0.56
Excess Kurtosis1.882.901.61
Historical Value-at-Risk (5%)-4.69%-5.45%-8.85%
Analytical Value-at-Risk (5%)-4.35%-4.98%-7.44%
Conditional Value-at-Risk (5%)-7.24%-8.65%-11.68%
Upside Capture Ratio (%)59.8565.4296.05
Downside Capture Ratio (%)44.2562.78100.67
Safe Withdrawal Rate9.71%8.91%6.67%
Perpetual Withdrawal Rate6.75%5.25%5.73%
Positive Periods211 out of 326 (64.72%)208 out of 326 (63.80%)195 out of 326 (59.82%)
Gain/Loss Ratio1.080.961.01
* 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
Asian CrisisJul 1997Jan 1998-9.03%-3.86%-13.73%
Russian Debt DefaultJul 1998Oct 1998-13.82%-17.85%-14.73%
Dotcom CrashMar 2000Oct 2002-13.42%-21.81%-46.83%
Subprime CrisisNov 2007Mar 2009-32.13%-47.05%-56.99%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-32.13%
2Jan 2020Mar 20203 months-17.70%
3Jun 1998Sep 19984 monthsApr 19997 months11 months-15.51%
4Jun 2002Sep 20024 monthsApr 20037 months11 months-13.42%
5Feb 2018Dec 201811 monthsDec 20191 year1 year 11 months-12.97%
6May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-11.71%
7Jun 2001Sep 20014 monthsFeb 20025 months9 months-9.86%
8May 2015Sep 20155 monthsApr 20167 months1 year-9.78%
9Aug 1997Dec 19975 monthsMar 19983 months8 months-9.03%
10Jul 2014Dec 20146 monthsApr 20154 months10 months-7.56%
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 20123 years 7 months4 years 11 months-47.05%
2Jun 2001Mar 20031 year 10 monthsDec 20039 months2 years 7 months-25.33%
3Jan 2020Mar 20203 months-21.36%
4Jun 1998Sep 19984 monthsMar 19996 months10 months-18.62%
5May 2015Feb 201610 monthsFeb 20171 year1 year 10 months-11.31%
6Aug 2018Dec 20185 monthsApr 20194 months9 months-9.19%
7Sep 1994Mar 19957 monthsAug 19955 months1 year-8.26%
8May 2019May 20191 monthNov 20196 months7 months-4.87%
9May 2006Jun 20062 monthsSep 20063 months5 months-4.71%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-4.58%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20134 years 7 months5 years 11 months-56.99%
2Apr 2000Mar 20033 yearsSep 20052 years 6 months5 years 6 months-46.89%
3Feb 2018Dec 201811 monthsDec 20191 year1 year 11 months-19.96%
4May 2015Feb 201610 monthsMar 20171 year 1 month1 year 11 months-17.96%
5Jan 2020Mar 20203 monthsMay 20202 months5 months-15.53%
6Aug 1998Sep 19982 monthsDec 19983 months5 months-14.73%
7Aug 1997Nov 19974 monthsJul 19988 months1 year-13.73%
8Sep 1994Jan 19955 monthsMay 19954 months9 months-10.08%
9Jul 2014Dec 20146 monthsApr 20154 months10 months-7.76%
10Feb 1994Mar 19942 monthsAug 19945 months7 months-6.81%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SGOVXFirst Eagle Overseas A9.53%10.86%41.41%-20.97%-32.13%0.681.030.74
TBGVXTweedy, Browne Global Value7.80%11.93%37.85%-38.31%-47.05%0.500.700.81
VWIGXVanguard International Growth Inv8.35%17.36%42.96%-44.94%-56.99%0.420.600.85

Monthly Correlations

Correlations for the portfolio assets
TickerNameSGOVXTBGVXVWIGXPortfolio 1Portfolio 2Portfolio 3
SGOVXFirst Eagle Overseas A1.000.840.861.000.840.86
TBGVXTweedy, Browne Global Value0.841.000.820.841.000.82
VWIGXVanguard International Growth Inv0.860.821.000.860.821.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SGOVXFirst Eagle Overseas A$108,559
TBGVXTweedy, Browne Global Value$66,972
VWIGXVanguard International Growth Inv$78,340

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SGOVXFirst Eagle Overseas A100.00%
TBGVXTweedy, Browne Global Value100.00%
VWIGXVanguard International Growth Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year10.55%41.41%-20.97%9.79%37.85%-38.31%9.28%42.96%-44.94%
3 years10.15%26.29%1.10%9.04%20.06%-7.28%7.33%22.52%-15.22%
5 years10.26%22.62%1.82%8.67%18.23%-0.04%6.54%21.85%-2.08%
7 years10.54%18.91%4.40%8.44%15.06%2.78%6.09%11.14%1.03%
10 years10.94%16.40%4.69%8.23%12.85%4.09%6.19%9.64%1.31%
15 years10.74%12.85%6.90%7.92%10.02%6.19%6.04%10.05%3.90%
Result statistics are based on annualized rolling returns over full calendar year periods