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 (Aug 2002 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 60.00%
TLT iShares 20+ Year Treasury Bond ETF 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$569,916 9.91% 8.69%24.52%-11.77%-27.23% 0.991.550.80
Vanguard 500 Index Investor$100,000$585,237 10.07% 14.64%32.18%-37.02%-50.97% 0.650.951.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 16.08%21.73%13.78%13.16%12.40%9.91%10.24%8.52%
Vanguard 500 Index Investor12.12%18.25%14.03%15.07%13.72%10.07%18.80%15.26%
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 2002 are based on monthly returns from August 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 quarterly 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
YearInflationPortfolio 1Vanguard 500 Index InvestorSPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalance
20020.44%2.92%$102,917-2.77%$97,231-2.31%9.72%
20031.88%17.23%$120,65228.50%$124,94328.18%1.62%
20043.26%10.14%$132,89110.74%$138,36210.70%8.71%
20053.42%6.48%$141,5044.77%$144,9694.83%8.61%
20062.54%9.71%$155,24015.64%$167,64415.85%0.71%
20074.08%7.41%$166,7435.39%$176,6745.14%10.29%
20080.09%-11.77%$147,112-37.02%$111,268-36.81%33.93%
20092.72%5.43%$155,09726.49%$140,73826.36%-21.80%
20101.50%14.18%$177,08414.91%$161,72815.06%9.05%
20112.96%16.23%$205,8261.97%$164,9071.89%33.96%
20121.74%11.27%$229,03315.82%$191,00315.99%2.63%
20131.50%12.31%$257,23832.18%$252,46032.31%-13.37%
20140.76%18.88%$305,81113.51%$286,56313.46%27.30%
20150.73%0.43%$307,1301.25%$290,1411.25%-1.79%
20162.07%8.04%$331,81611.82%$324,42612.00%1.18%
20172.11%16.60%$386,89521.67%$394,72221.70%9.18%
20181.91%-2.82%$375,987-4.52%$376,864-4.56%-1.61%
20192.29%24.52%$468,18631.33%$494,92531.22%14.12%
20201.36%21.73%$569,91618.25%$585,23718.37%18.15%
Annual return for 2002 is from 08/01/2002 to 12/31/2002
Monthly returns for the configured portfolios
YearMonthPortfolio 1Vanguard 500 Index InvestorSPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalance
200282.61%$102,6130.65%$100,6530.68%5.51%
20029-4.42%$98,074-10.87%$89,707-10.49%4.25%
2002103.46%$101,4698.78%$97,5868.23%-3.69%
2002113.53%$105,0515.88%$103,3196.17%-0.91%
200212-2.03%$102,917-5.89%$97,231-5.66%4.53%
20031-1.71%$101,161-2.62%$94,679-2.46%-0.58%
200320.45%$101,616-1.52%$93,241-1.35%3.10%
20033-0.45%$101,1630.96%$94,1330.21%-1.37%
200345.50%$106,7238.25%$101,9028.46%1.05%
200355.80%$112,9175.26%$107,2665.48%6.32%
20036-0.04%$112,8731.26%$108,6181.07%-1.80%
20037-2.91%$109,5881.74%$110,5121.80%-9.98%
200381.78%$111,5411.93%$112,6482.06%1.31%
200391.51%$113,221-1.07%$111,441-1.09%5.94%
2003102.00%$115,4865.64%$117,7275.35%-3.03%
2003110.81%$116,4170.86%$118,7451.09%0.34%
2003123.64%$120,6525.22%$124,9435.03%1.35%
200411.93%$122,9811.82%$127,2191.98%1.86%
200421.73%$125,1051.38%$128,9711.36%2.28%
20043-0.22%$124,827-1.51%$127,019-1.32%1.41%
20044-3.63%$120,297-1.58%$125,017-1.89%-6.23%
200450.95%$121,4341.36%$126,7141.71%-0.26%
200461.54%$123,3101.93%$129,1591.85%1.06%
20047-1.32%$121,681-3.31%$124,883-3.22%1.53%
200481.86%$123,9420.38%$125,3610.24%4.17%
200490.98%$125,1561.07%$126,6981.00%0.95%
2004101.48%$127,0081.51%$128,6181.29%1.77%
2004111.71%$129,1744.05%$133,8214.45%-2.39%
2004122.88%$132,8913.39%$138,3623.02%2.66%
200510.08%$133,000-2.45%$134,967-2.24%3.57%
200520.62%$133,8192.09%$137,7922.09%-1.47%
20053-1.27%$132,118-1.76%$135,367-1.83%-0.45%
200540.42%$132,675-1.91%$132,779-1.87%3.86%
200553.19%$136,9043.17%$136,9853.22%3.14%
200560.98%$138,2470.13%$137,1590.15%2.16%
200570.94%$139,5543.71%$142,2433.83%-3.38%
200580.75%$140,605-0.91%$140,944-0.94%3.48%
20059-0.93%$139,2900.79%$142,0630.80%-3.61%
200510-2.31%$136,067-1.68%$139,678-2.37%-2.24%
2005112.91%$140,0293.76%$144,9374.40%0.69%
2005121.05%$141,5040.02%$144,969-0.19%2.98%
200610.91%$142,7862.65%$148,8032.40%-1.34%
200620.78%$143,9030.26%$149,1940.57%1.11%
20063-0.79%$142,7661.23%$151,0311.65%-4.57%
20064-0.34%$142,2771.33%$153,0441.26%-2.75%
20065-1.91%$139,559-2.90%$148,611-3.01%-0.19%
200660.63%$140,4340.13%$148,8010.26%1.18%
200671.13%$142,0260.61%$149,7040.45%2.16%
200682.54%$145,6272.36%$153,2402.18%3.06%
200692.38%$149,0942.56%$157,1682.70%1.91%
2006102.23%$152,4183.25%$162,2783.15%0.85%
2006112.11%$155,6401.89%$165,3441.99%2.31%
200612-0.26%$155,2401.39%$167,6441.34%-2.69%
200710.50%$156,0231.49%$170,1471.50%-1.00%
200720.15%$156,252-1.97%$166,797-1.96%3.39%
20073-0.00%$156,2471.11%$168,6511.16%-1.70%
200743.02%$160,9654.42%$176,1024.43%0.90%
200751.16%$162,8263.48%$182,2253.39%-2.31%
20076-1.29%$160,721-1.68%$179,170-1.46%-1.01%
20077-0.55%$159,834-3.08%$173,643-3.13%3.32%
200781.49%$162,2211.50%$176,2451.28%1.79%
200792.35%$166,0363.72%$182,8083.87%0.23%
2007101.54%$168,5931.58%$185,6941.36%1.81%
200711-0.18%$168,296-4.19%$177,920-3.87%5.35%
200712-0.92%$166,743-0.70%$176,674-1.13%-0.64%
20081-2.79%$162,093-6.02%$166,047-6.05%2.10%
20082-1.69%$159,352-3.25%$160,648-2.58%-0.46%
200830.39%$159,975-0.44%$159,940-0.90%2.14%
200841.87%$162,9644.85%$167,7044.77%-2.48%
20085-0.10%$162,8061.29%$169,8711.51%-2.69%
20086-4.25%$155,893-8.44%$155,537-8.35%2.65%
20087-0.69%$154,824-0.83%$154,244-0.90%-0.37%
200882.02%$157,9581.45%$156,4741.55%2.74%
20089-5.03%$150,015-8.91%$142,539-9.44%1.47%
200810-10.66%$134,028-16.79%$118,603-16.52%-1.86%
2008112.40%$137,242-7.17%$110,093-6.96%14.34%
2008127.19%$147,1121.07%$111,2680.98%13.64%
20091-10.16%$132,173-8.41%$101,908-8.21%-13.07%
20092-7.18%$122,681-10.66%$91,047-10.74%-1.54%
200936.58%$130,7548.76%$99,0238.35%4.04%
200943.18%$134,9119.56%$108,4899.93%-6.95%
200952.40%$138,1555.62%$114,5835.85%-3.69%
200960.21%$138,4500.22%$114,835-0.07%0.76%
200974.71%$144,9677.58%$123,5377.46%0.58%
200983.13%$149,5103.60%$127,9833.69%2.24%
200993.13%$154,1923.72%$132,7403.55%2.46%
200910-2.20%$150,797-1.87%$130,261-1.92%-2.62%
2009114.19%$157,1175.98%$138,0536.16%1.21%
200912-1.29%$155,0971.95%$140,7381.91%-6.34%
20101-1.10%$153,385-3.60%$135,666-3.63%2.69%
201021.68%$155,9663.09%$139,8613.12%-0.34%
201032.77%$160,2926.01%$148,2726.09%-2.06%
201042.26%$163,9101.58%$150,6111.55%3.32%
20105-2.67%$159,535-8.01%$138,555-7.95%5.11%
20106-0.39%$158,918-5.24%$131,295-5.17%5.80%
201073.72%$164,8297.00%$140,4816.83%-0.95%
201080.43%$165,533-4.53%$134,117-4.50%8.40%
201094.23%$172,5298.92%$146,0798.96%-2.51%
2010100.51%$173,4013.79%$151,6133.82%-4.47%
201011-0.64%$172,2880.00%$151,6130.00%-1.69%
2010122.78%$177,0846.67%$161,7286.68%-3.68%
201110.17%$177,3772.36%$165,5402.33%-3.08%
201122.77%$182,2883.42%$171,1953.47%1.65%
201130.02%$182,3190.03%$171,2390.01%0.03%
201142.67%$187,1922.95%$176,2872.90%2.34%
201150.69%$188,483-1.15%$174,268-1.12%3.42%
20116-1.95%$184,807-1.67%$171,354-1.69%-2.33%
201170.57%$185,853-2.05%$167,846-2.00%4.42%
201180.80%$187,338-5.45%$158,704-5.50%9.66%
201192.16%$191,379-7.04%$147,528-6.94%13.20%
2011105.01%$200,97610.91%$163,62810.91%-3.84%
2011110.47%$201,916-0.23%$163,246-0.41%1.98%
2011121.94%$205,8261.02%$164,9071.04%3.44%
201212.65%$211,2824.46%$172,2704.64%-0.33%
201221.65%$214,7624.31%$179,6894.34%-2.59%
201230.44%$215,7133.28%$185,5863.22%-4.23%
201241.53%$219,019-0.64%$184,399-0.67%4.83%
201250.20%$219,463-6.02%$173,302-6.01%9.03%
201261.48%$222,7014.11%$180,4234.05%-1.68%
201272.24%$227,6801.37%$182,8941.18%3.82%
201280.95%$229,8492.24%$186,9902.51%-1.32%
201290.52%$231,0512.58%$191,8082.54%-2.53%
201210-1.29%$228,080-1.86%$188,241-1.82%-0.48%
2012110.90%$230,1220.56%$189,2950.57%1.38%
201212-0.47%$229,0330.90%$191,0030.90%-2.49%
201311.80%$233,1495.18%$200,8905.12%-3.19%
201321.26%$236,0941.34%$203,5801.28%1.24%
201332.19%$241,2723.74%$211,1913.80%-0.42%
201343.03%$248,5731.91%$215,2221.92%4.68%
20135-1.35%$245,2242.33%$220,2312.36%-6.76%
20136-2.08%$240,123-1.35%$217,257-1.34%-3.27%
201372.20%$245,4005.07%$228,2775.17%-2.26%
20138-2.36%$239,601-2.91%$221,629-3.00%-1.34%
201392.20%$244,8653.12%$228,5483.17%0.66%
2013103.35%$253,0704.59%$239,0304.63%1.43%
2013110.74%$254,9433.03%$246,2692.96%-2.70%
2013120.90%$257,2382.51%$252,4602.59%-1.87%
201410.41%$258,283-3.47%$243,702-3.52%6.30%
201422.84%$265,6304.56%$254,8164.55%0.52%
201430.79%$267,7270.82%$256,9150.83%0.73%
201441.26%$271,0900.72%$258,7750.70%2.10%
201452.57%$278,0662.33%$264,8182.32%2.95%
201461.13%$281,2012.05%$270,2522.06%-0.25%
20147-0.54%$279,683-1.39%$266,500-1.34%0.67%
201484.26%$291,5983.98%$277,1113.95%4.72%
20149-1.68%$286,712-1.41%$273,197-1.38%-2.11%
2014102.54%$293,9902.42%$279,8172.36%2.81%
2014112.84%$302,3262.68%$287,3232.75%2.97%
2014121.15%$305,811-0.26%$286,563-0.26%3.25%
201512.15%$312,381-3.02%$277,916-2.96%9.82%
201520.56%$314,1445.74%$293,8675.62%-6.14%
20153-0.50%$312,565-1.59%$289,184-1.57%1.10%
20154-0.78%$310,1230.95%$291,9290.98%-3.43%
20155-0.14%$309,6971.27%$295,6441.29%-2.37%
20156-2.81%$301,007-1.93%$289,929-2.03%-4.07%
201573.18%$310,5642.08%$295,9602.26%4.55%
20158-3.90%$298,437-6.05%$278,065-6.10%-0.69%
20159-0.65%$296,483-2.48%$271,156-2.54%1.97%
2015104.94%$311,1298.42%$293,9948.51%-0.41%
201511-0.10%$310,8100.29%$294,8360.37%-0.87%
201512-1.18%$307,130-1.59%$290,141-1.72%-0.30%
20161-0.76%$304,802-4.98%$275,701-4.98%5.57%
201621.27%$308,661-0.15%$275,301-0.08%3.09%
201633.77%$320,3066.78%$293,9546.72%-0.09%
20164-0.06%$320,1190.37%$295,0520.39%-0.74%
201651.35%$324,4281.78%$300,3131.70%0.81%
201662.95%$334,0030.25%$301,0640.35%6.93%
201673.03%$344,1173.68%$312,1323.65%2.10%
20168-0.33%$342,9860.13%$312,5360.12%-1.01%
20169-0.59%$340,9650.01%$312,5610.01%-1.51%
201610-2.79%$331,445-1.83%$306,832-1.73%-4.38%
201611-1.00%$328,1383.70%$318,1823.68%-8.21%
2016121.12%$331,8161.96%$324,4262.03%-0.46%
201711.40%$336,4591.88%$330,5361.79%0.81%
201723.00%$346,5443.96%$343,6343.93%1.59%
20173-0.18%$345,9230.10%$343,9780.13%-0.65%
201741.22%$350,1571.02%$347,4800.99%1.57%
201751.60%$355,7711.39%$352,3231.41%1.89%
201760.70%$358,2590.61%$354,4780.64%0.79%
201770.97%$361,7352.04%$361,7182.06%-0.66%
201781.52%$367,2260.29%$362,7790.29%3.41%
201790.28%$368,2402.06%$370,2492.01%-2.32%
2017101.40%$373,3902.32%$378,8302.36%-0.04%
2017112.14%$381,3963.06%$390,4203.06%0.74%
2017121.44%$386,8951.10%$394,7221.21%1.81%
201812.08%$394,9405.71%$417,2715.64%-3.26%
20182-3.41%$381,474-3.69%$401,855-3.64%-3.04%
20183-0.61%$379,145-2.56%$391,586-2.74%2.86%
20184-0.53%$377,1540.37%$393,0470.52%-2.09%
201852.26%$385,6902.39%$402,4592.43%2.01%
201860.60%$388,0180.61%$404,8940.58%0.65%
201871.65%$394,4133.71%$419,9133.70%-1.44%
201882.46%$404,1303.25%$433,5443.19%1.31%
20189-0.73%$401,1750.55%$435,9480.59%-2.86%
201810-5.32%$379,841-6.85%$406,090-6.91%-2.93%
2018111.83%$386,7812.03%$414,3201.85%1.79%
201812-2.79%$375,987-9.04%$376,864-8.79%5.85%
201914.96%$394,6188.00%$407,0218.01%0.38%
201921.48%$400,4413.20%$420,0483.24%-1.38%
201933.21%$413,2871.94%$428,1831.81%5.57%
201941.66%$420,1314.04%$445,4864.09%-1.99%
20195-1.28%$414,751-6.36%$417,133-6.38%6.84%
201964.45%$433,2117.03%$446,4706.96%0.95%
201971.01%$437,5861.43%$452,8361.51%0.26%
201983.38%$452,356-1.59%$445,631-1.67%11.04%
20199-0.03%$452,2401.86%$453,9141.95%-2.68%
2019100.88%$456,2232.15%$463,6962.21%-1.11%
2019112.04%$465,5353.62%$480,4843.62%-0.41%
2019120.57%$468,1863.01%$494,9252.90%-3.20%
202013.05%$482,476-0.05%$494,676-0.04%7.69%
20202-1.84%$473,611-8.24%$453,908-7.92%6.63%
20203-3.91%$455,098-12.37%$397,750-12.46%6.38%
202048.11%$491,98712.81%$448,71712.70%1.22%
202052.32%$503,4004.76%$470,0584.76%-1.76%
202061.26%$509,7371.98%$479,3541.78%0.34%
202075.31%$536,7925.63%$506,3275.89%4.44%
202082.21%$548,6517.18%$542,6666.98%-5.05%
20209-2.08%$537,255-3.81%$521,987-3.74%0.77%
202010-2.85%$521,943-2.67%$508,043-2.49%-3.39%
2020117.21%$559,58610.94%$563,60110.88%1.66%
2020121.85%$569,9163.84%$585,2373.71%-1.23%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value27.30%46.05%
Large-cap Growth32.45%53.95%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.01%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.42%0.00%
Long-Term Treasuries39.58%0.00%
Intermediate-Term Treasuries0.23%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.91%99.91%
Style analysis is based on monthly returns from April 2005 to December 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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend60.00%1.39%0.09%28.87$327,61181.53%
TLTiShares 20+ Year Treasury Bond ETFLong Government40.00%2.18%0.15%18.45$142,30518.47%
100.00%1.71%0.12%28.8718.45$469,916100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 04/14/2021. (c) 2021 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 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.82%0.89%
Arithmetic Mean (annualized)10.32%11.25%
Geometric Mean (monthly)0.79%0.80%
Geometric Mean (annualized)9.91%10.07%
Volatility (monthly)2.51%4.23%
Volatility (annualized)8.69%14.64%
Downside Deviation (monthly)1.57%2.82%
Max. Drawdown-27.23%-50.97%
US Market Correlation0.801.00
Beta(*)0.481.00
Alpha (annualized)4.75%0.00%
R264.83%100.00%
Sharpe Ratio0.990.65
Sortino Ratio1.550.95
Treynor Ratio (%)18.039.47
Calmar Ratio1.980.71
Active Return-0.16%N/A
Tracking Error9.22%N/A
Information Ratio-0.02N/A
Skewness-0.84-0.66
Excess Kurtosis3.501.82
Historical Value-at-Risk (5%)-2.91%-7.04%
Analytical Value-at-Risk (5%)-3.31%-6.06%
Conditional Value-at-Risk (5%)-5.62%-9.90%
Upside Capture Ratio (%)57.19100.00
Downside Capture Ratio (%)36.77100.00
Safe Withdrawal Rate8.87%8.43%
Perpetual Withdrawal Rate6.96%7.10%
Positive Periods150 out of 221 (67.87%)151 out of 221 (68.33%)
Gain/Loss Ratio1.130.80
* Vanguard 500 Index Investor 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 1Vanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-27.23%-50.97%

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-27.23%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-6.96%
3Feb 2020Mar 20202 monthsApr 20201 month3 months-5.67%
4Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-5.62%
5Sep 2020Oct 20202 monthsNov 20201 month3 months-4.87%
6Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.64%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-4.50%
8Sep 2002Sep 20021 monthNov 20022 months3 months-4.42%
9Mar 2004Apr 20042 monthsSep 20045 months7 months-3.84%
10Dec 2002Jan 20032 monthsApr 20033 months5 months-3.70%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4Sep 2002Sep 20021 monthNov 20022 months3 months-10.87%
5Dec 2002Feb 20033 monthsMay 20033 months6 months-9.75%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
7Sep 2020Oct 20202 monthsNov 20201 month3 months-6.38%
8May 2019May 20191 monthJun 20191 month2 months-6.36%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust10.12%14.58%32.31%-36.81%-50.80%0.650.971.00
TLTiShares 20+ Year Treasury Bond ETF7.27%13.06%33.96%-21.80%-21.80%0.510.87-0.32

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYTLTPortfolio 1Vanguard 500 Index Investor
SPYSPDR S&P 500 ETF Trust1.00-0.310.811.00
TLTiShares 20+ Year Treasury Bond ETF-0.311.000.31-0.31

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
SPYSPDR S&P 500 ETF Trust$327,611
TLTiShares 20+ Year Treasury Bond ETF$142,305

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
SPYSPDR S&P 500 ETF Trust81.53%
TLTiShares 20+ Year Treasury Bond ETF18.47%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year9.94%27.13%-23.01%10.77%53.61%-43.32%
3 years9.06%20.52%-5.18%9.39%25.43%-15.18%
5 years8.84%16.71%-0.39%8.74%22.85%-6.73%
7 years9.13%14.09%5.01%9.02%17.12%2.20%
10 years9.39%12.73%7.70%9.26%16.52%6.22%
15 years8.90%9.73%7.87%8.99%10.39%7.45%