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.
Ticker | Name | Allocation |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 34.00% |
TLT | iShares 20+ Year Treasury Bond ETF | 33.00% |
GLD | SPDR Gold Shares | 33.00% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 55.00% |
TLT | iShares 20+ Year Treasury Bond ETF | 55.00% |
GLD | SPDR Gold Shares | 55.00% |
CASHX | Cash | -65.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $40,828 | 9.04% | 8.83% | 21.17% | -5.49% | -17.17% | 0.89 | 1.58 | 0.41 |
Portfolio 2 | $10,000 | $80,902 | 13.73% | 14.52% | 33.41% | -9.19% | -28.22% | 0.88 | 1.57 | 0.39 |
SPDR S&P 500 ETF Trust | $10,000 | $44,626 | 9.64% | 14.64% | 32.31% | -36.81% | -50.80% | 0.62 | 0.91 | 1.00 |
Name | Annualized Return | Annualized Volatility | |||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | YTD | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Portfolio 1 | -2.54% | -5.49% | 10.01% | 10.69% | 9.06% | 7.93% | 9.04% | 8.70% | 8.28% |
Portfolio 2 | -4.91% | -9.19% | 14.58% | 15.82% | 13.48% | 12.15% | 13.73% | 13.83% | 13.11% |
SPDR S&P 500 ETF Trust | 5.50% | 1.73% | 30.83% | 14.00% | 16.71% | 13.31% | 9.64% | 18.33% | 14.92% |
Trailing annualized return and volatility are for full months ending in February 2021 excluding portfolio cashflows. |
Year | Inflation | Portfolio 1 | Portfolio 2 | SPDR S&P 500 ETF Trust | SPDR S&P 500 ETF Trust (SPY) | iShares 20+ Year Treasury Bond ETF (TLT) | SPDR Gold Shares (GLD) | Cash (CASHX) | |||
---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | ||||||
2004 | -0.37% | 0.94% | $10,094 | 1.39% | $10,139 | 3.02% | $10,302 | 3.02% | 2.66% | -2.93% | 0.18% |
2005 | 3.42% | 10.34% | $11,138 | 15.01% | $11,661 | 4.83% | $10,799 | 4.83% | 8.61% | 17.76% | 3.14% |
2006 | 2.54% | 13.06% | $12,593 | 18.29% | $13,794 | 15.85% | $12,510 | 15.85% | 0.71% | 22.55% | 4.82% |
2007 | 4.08% | 15.19% | $14,506 | 22.05% | $16,837 | 5.14% | $13,153 | 5.14% | 10.29% | 30.45% | 4.56% |
2008 | 0.09% | 0.31% | $14,550 | 0.12% | $16,857 | -36.81% | $8,311 | -36.81% | 33.93% | 4.92% | 1.53% |
2009 | 2.72% | 9.70% | $15,961 | 15.61% | $19,489 | 26.36% | $10,503 | 26.36% | -21.80% | 24.03% | 0.16% |
2010 | 1.50% | 17.76% | $18,797 | 29.26% | $25,191 | 15.06% | $12,084 | 15.06% | 9.05% | 29.27% | 0.14% |
2011 | 2.96% | 15.01% | $21,617 | 24.93% | $31,471 | 1.89% | $12,312 | 1.89% | 33.96% | 9.57% | 0.07% |
2012 | 1.74% | 8.48% | $23,451 | 13.82% | $35,820 | 15.99% | $14,281 | 15.99% | 2.63% | 6.60% | 0.08% |
2013 | 1.50% | -2.78% | $22,800 | -5.20% | $33,958 | 32.31% | $18,895 | 32.31% | -13.37% | -28.33% | 0.05% |
2014 | 0.76% | 12.86% | $25,733 | 21.19% | $41,154 | 13.46% | $21,439 | 13.46% | 27.30% | -2.19% | 0.03% |
2015 | 0.73% | -3.69% | $24,784 | -6.20% | $38,604 | 1.25% | $21,707 | 1.25% | -1.79% | -10.67% | 0.05% |
2016 | 2.07% | 7.12% | $26,549 | 11.48% | $43,036 | 12.00% | $24,312 | 12.00% | 1.18% | 8.03% | 0.30% |
2017 | 2.11% | 14.64% | $30,435 | 23.43% | $53,122 | 21.70% | $29,588 | 21.70% | 9.18% | 12.81% | 0.88% |
2018 | 1.91% | -2.72% | $29,607 | -5.67% | $50,109 | -4.56% | $28,240 | -4.56% | -1.61% | -1.94% | 1.90% |
2019 | 2.29% | 21.17% | $35,874 | 33.27% | $66,782 | 31.22% | $37,057 | 31.22% | 14.12% | 17.86% | 2.13% |
2020 | 1.36% | 20.43% | $43,202 | 33.41% | $89,094 | 18.37% | $43,865 | 18.37% | 18.15% | 24.81% | 0.44% |
2021 | 0.43% | -5.49% | $40,828 | -9.19% | $80,902 | 1.73% | $44,626 | 1.73% | -9.16% | -9.28% | 0.01% |
Annual return for 2004 is from 12/01/2004 to 12/31/2004 and annual return for 2021 is from 01/01/2021 to 02/28/2021 |
Year | Month | Portfolio 1 Return | Portfolio 2 Return | SPDR S&P 500 ETF Trust Return | SPDR S&P 500 ETF Trust (SPY) | iShares 20+ Year Treasury Bond ETF (TLT) | SPDR Gold Shares (GLD) | Cash (CASHX) |
---|---|---|---|---|---|---|---|---|
2004 | 12 | 0.94% | 1.39% | 3.02% | 3.02% | 2.66% | -2.93% | 0.18% |
2005 | 1 | -0.78% | -1.37% | -2.24% | -2.24% | 3.57% | -3.61% | 0.18% |
2005 | 2 | 1.19% | 1.82% | 2.09% | 2.09% | -1.47% | 3.10% | 0.21% |
2005 | 3 | -1.30% | -2.29% | -1.83% | -1.83% | -0.45% | -1.63% | 0.23% |
2005 | 4 | 1.08% | 1.69% | -1.87% | -1.87% | 3.86% | 1.24% | 0.23% |
2005 | 5 | 0.86% | 1.23% | 3.22% | 3.22% | 3.14% | -3.92% | 0.24% |
2005 | 6 | 2.15% | 3.41% | 0.15% | 0.15% | 2.16% | 4.30% | 0.25% |
2005 | 7 | -0.40% | -0.88% | 3.83% | 3.83% | -3.38% | -1.43% | 0.26% |
2005 | 8 | 1.30% | 1.98% | -0.94% | -0.94% | 3.48% | 1.35% | 0.28% |
2005 | 9 | 1.38% | 2.07% | 0.80% | 0.80% | -3.61% | 7.60% | 0.29% |
2005 | 10 | -1.75% | -2.97% | -2.37% | -2.37% | -2.24% | -0.64% | 0.29% |
2005 | 11 | 3.64% | 5.69% | 4.40% | 4.40% | 0.69% | 5.82% | 0.33% |
2005 | 12 | 2.64% | 4.05% | -0.19% | -0.19% | 2.98% | 5.05% | 0.32% |
2006 | 1 | 3.65% | 5.83% | 2.40% | 2.40% | -1.34% | 9.93% | 0.33% |
2006 | 2 | 0.15% | 0.01% | 0.57% | 0.57% | 1.11% | -1.11% | 0.37% |
2006 | 3 | 0.36% | 0.33% | 1.65% | 1.65% | -4.57% | 3.62% | 0.38% |
2006 | 4 | 3.89% | 6.09% | 1.26% | 1.26% | -2.75% | 12.03% | 0.38% |
2006 | 5 | -1.56% | -2.67% | -3.01% | -3.01% | -0.19% | -1.32% | 0.39% |
2006 | 6 | -1.38% | -2.46% | 0.26% | 0.26% | 1.18% | -4.67% | 0.40% |
2006 | 7 | 1.96% | 2.93% | 0.45% | 0.45% | 2.16% | 3.15% | 0.41% |
2006 | 8 | 1.10% | 1.48% | 2.18% | 2.18% | 3.06% | -1.38% | 0.42% |
2006 | 9 | -0.19% | -0.59% | 2.70% | 2.70% | 1.91% | -4.53% | 0.41% |
2006 | 10 | 1.79% | 2.58% | 3.15% | 3.15% | 0.85% | 1.29% | 0.40% |
2006 | 11 | 3.80% | 5.76% | 1.99% | 1.99% | 2.31% | 6.89% | 0.42% |
2006 | 12 | -1.01% | -1.82% | 1.34% | 1.34% | -2.69% | -1.83% | 0.41% |
2007 | 1 | 1.03% | 1.42% | 1.50% | 1.50% | -1.00% | 2.56% | 0.41% |
2007 | 2 | 1.28% | 1.88% | -1.96% | -1.96% | 3.39% | 2.55% | 0.42% |
2007 | 3 | -0.56% | -1.20% | 1.16% | 1.16% | -1.70% | -1.11% | 0.42% |
2007 | 4 | 2.48% | 3.76% | 4.43% | 4.43% | 0.90% | 2.05% | 0.41% |
2007 | 5 | -0.36% | -0.88% | 3.39% | 3.39% | -2.31% | -2.31% | 0.40% |
2007 | 6 | -1.48% | -2.63% | -1.46% | -1.46% | -1.01% | -1.94% | 0.39% |
2007 | 7 | 0.71% | 0.98% | -3.13% | -3.13% | 3.32% | 2.37% | 0.39% |
2007 | 8 | 1.39% | 2.01% | 1.28% | 1.28% | 1.79% | 1.11% | 0.40% |
2007 | 9 | 4.89% | 7.72% | 3.87% | 3.87% | 0.23% | 10.51% | 0.33% |
2007 | 10 | 3.46% | 5.29% | 1.36% | 1.36% | 1.81% | 6.95% | 0.31% |
2007 | 11 | -0.24% | -0.50% | -3.87% | -3.87% | 5.35% | -1.65% | 0.32% |
2007 | 12 | 1.80% | 2.69% | -1.13% | -1.13% | -0.64% | 6.65% | 0.26% |
2008 | 1 | 2.21% | 3.61% | -6.05% | -6.05% | 2.10% | 10.84% | 0.28% |
2008 | 2 | 0.91% | 1.44% | -2.58% | -2.58% | -0.46% | 5.23% | 0.16% |
2008 | 3 | -1.82% | -3.04% | -0.90% | -0.90% | 2.14% | -6.00% | 0.15% |
2008 | 4 | -0.87% | -1.59% | 4.77% | 4.77% | -2.48% | -4.16% | 0.11% |
2008 | 5 | -0.09% | -0.25% | 1.51% | 1.51% | -2.69% | 0.92% | 0.12% |
2008 | 6 | -0.29% | -0.46% | -8.35% | -8.35% | 2.65% | 4.52% | 0.15% |
2008 | 7 | -0.92% | -1.62% | -0.90% | -0.90% | -0.37% | -1.44% | 0.16% |
2008 | 8 | -2.00% | -3.47% | 1.55% | 1.55% | 2.74% | -9.29% | 0.14% |
2008 | 9 | -1.04% | -1.72% | -9.44% | -9.44% | 1.47% | 4.11% | 0.14% |
2008 | 10 | -11.10% | -18.84% | -16.52% | -16.52% | -1.86% | -16.14% | 0.08% |
2008 | 11 | 8.05% | 15.17% | -6.96% | -6.96% | 14.34% | 12.57% | 0.04% |
2008 | 12 | 8.67% | 15.24% | 0.98% | 0.98% | 13.64% | 7.73% | 0.00% |
2009 | 1 | -5.28% | -8.67% | -8.21% | -8.21% | -13.07% | 5.54% | 0.01% |
2009 | 2 | -3.47% | -5.84% | -10.74% | -10.74% | -1.54% | 1.45% | 0.02% |
2009 | 3 | 2.81% | 4.83% | 8.35% | 8.35% | 4.04% | -2.54% | 0.02% |
2009 | 4 | -0.21% | -0.53% | 9.93% | 9.93% | -6.95% | -3.33% | 0.02% |
2009 | 5 | 4.62% | 7.94% | 5.85% | 5.85% | -3.69% | 10.23% | 0.01% |
2009 | 6 | -1.77% | -3.00% | -0.07% | -0.07% | 0.76% | -5.22% | 0.01% |
2009 | 7 | 3.73% | 6.24% | 7.46% | 7.46% | 0.58% | 2.38% | 0.02% |
2009 | 8 | 2.01% | 3.28% | 3.69% | 3.69% | 2.24% | 0.05% | 0.02% |
2009 | 9 | 4.05% | 6.61% | 3.55% | 3.55% | 2.46% | 5.84% | 0.01% |
2009 | 10 | -0.10% | -0.13% | -1.92% | -1.92% | -2.62% | 3.72% | 0.01% |
2009 | 11 | 7.33% | 11.70% | 6.16% | 6.16% | 1.21% | 12.79% | 0.00% |
2009 | 12 | -3.62% | -5.64% | 1.91% | 1.91% | -6.34% | -7.20% | 0.01% |
2010 | 1 | -0.76% | -1.21% | -3.63% | -3.63% | 2.69% | -1.26% | 0.01% |
2010 | 2 | 1.99% | 3.28% | 3.12% | 3.12% | -0.34% | 3.27% | 0.01% |
2010 | 3 | 1.20% | 1.88% | 6.09% | 6.09% | -2.06% | -0.44% | 0.01% |
2010 | 4 | 3.54% | 5.78% | 1.55% | 1.55% | 3.32% | 5.88% | 0.01% |
2010 | 5 | -0.06% | 0.02% | -7.95% | -7.95% | 5.11% | 3.05% | 0.01% |
2010 | 6 | 1.14% | 1.90% | -5.17% | -5.17% | 5.80% | 2.36% | 0.01% |
2010 | 7 | -0.09% | -0.24% | 6.83% | 6.83% | -0.95% | -5.09% | 0.02% |
2010 | 8 | 3.42% | 5.52% | -4.50% | -4.50% | 8.40% | 5.71% | 0.01% |
2010 | 9 | 3.31% | 5.06% | 8.96% | 8.96% | -2.51% | 4.78% | 0.01% |
2010 | 10 | 0.89% | 1.31% | 3.82% | 3.82% | -4.47% | 3.68% | 0.01% |
2010 | 11 | 0.19% | 0.29% | 0.00% | 0.00% | -1.69% | 2.11% | 0.01% |
2010 | 12 | 1.81% | 2.66% | 6.68% | 6.68% | -3.68% | 2.44% | 0.01% |
2011 | 1 | -2.33% | -3.93% | 2.33% | 2.33% | -3.08% | -6.38% | 0.01% |
2011 | 2 | 3.68% | 6.16% | 3.47% | 3.47% | 1.65% | 6.00% | 0.01% |
2011 | 3 | 0.53% | 0.87% | 0.01% | 0.01% | 0.03% | 1.60% | 0.01% |
2011 | 4 | 4.69% | 7.69% | 2.90% | 2.90% | 2.34% | 8.94% | 0.01% |
2011 | 5 | 0.07% | 0.13% | -1.12% | -1.12% | 3.42% | -1.79% | 0.00% |
2011 | 6 | -2.14% | -3.41% | -1.69% | -1.69% | -2.33% | -2.43% | 0.01% |
2011 | 7 | 3.53% | 5.77% | -2.00% | -2.00% | 4.42% | 8.42% | 0.00% |
2011 | 8 | 5.62% | 9.01% | -5.50% | -5.50% | 9.66% | 12.27% | 0.01% |
2011 | 9 | -1.68% | -2.49% | -6.94% | -6.94% | 13.20% | -11.06% | 0.00% |
2011 | 10 | 3.50% | 5.29% | 10.91% | 10.91% | -3.84% | 5.87% | 0.00% |
2011 | 11 | 1.17% | 1.78% | -0.41% | -0.41% | 1.98% | 1.67% | 0.00% |
2011 | 12 | -2.12% | -3.22% | 1.04% | 1.04% | 3.44% | -10.66% | 0.00% |
2012 | 1 | 5.23% | 8.64% | 4.64% | 4.64% | -0.33% | 11.40% | 0.00% |
2012 | 2 | -0.38% | -0.68% | 4.34% | 4.34% | -2.59% | -2.96% | 0.01% |
2012 | 3 | -0.60% | -1.04% | 3.22% | 3.22% | -4.23% | -1.32% | 0.01% |
2012 | 4 | 1.13% | 1.84% | -0.67% | -0.67% | 4.83% | -0.15% | 0.01% |
2012 | 5 | -1.53% | -2.37% | -6.01% | -6.01% | 9.03% | -6.34% | 0.01% |
2012 | 6 | 1.58% | 2.50% | 4.05% | 4.05% | -1.68% | 2.35% | 0.01% |
2012 | 7 | 1.93% | 3.10% | 1.18% | 1.18% | 3.82% | 0.84% | 0.01% |
2012 | 8 | 2.00% | 3.15% | 2.51% | 2.51% | -1.32% | 4.94% | 0.01% |
2012 | 9 | 1.60% | 2.47% | 2.54% | 2.54% | -2.53% | 4.67% | 0.01% |
2012 | 10 | -1.78% | -2.77% | -1.82% | -1.82% | -0.48% | -2.94% | 0.01% |
2012 | 11 | 0.48% | 0.74% | 0.57% | 0.57% | 1.38% | -0.47% | 0.01% |
2012 | 12 | -1.26% | -2.01% | 0.90% | 0.90% | -2.49% | -2.43% | 0.01% |
2013 | 1 | 0.52% | 0.78% | 5.12% | 5.12% | -3.19% | -0.51% | 0.00% |
2013 | 2 | -0.81% | -1.38% | 1.28% | 1.28% | 1.24% | -5.09% | 0.01% |
2013 | 3 | 1.54% | 2.50% | 3.80% | 3.80% | -0.42% | 0.95% | 0.01% |
2013 | 4 | -0.15% | -0.28% | 1.92% | 1.92% | 4.68% | -7.56% | 0.01% |
2013 | 5 | -3.14% | -5.26% | 2.36% | 2.36% | -6.76% | -6.20% | 0.00% |
2013 | 6 | -4.67% | -7.89% | -1.34% | -1.34% | -3.27% | -11.06% | 0.00% |
2013 | 7 | 3.34% | 5.74% | 5.17% | 5.17% | -2.26% | 7.43% | 0.00% |
2013 | 8 | -0.27% | -0.40% | -3.00% | -3.00% | -1.34% | 5.20% | 0.00% |
2013 | 9 | 0.14% | 0.17% | 3.17% | 3.17% | 0.66% | -4.78% | 0.00% |
2013 | 10 | 2.30% | 3.85% | 4.63% | 4.63% | 1.43% | -0.34% | 0.00% |
2013 | 11 | -0.99% | -1.75% | 2.96% | 2.96% | -2.70% | -5.51% | 0.00% |
2013 | 12 | -0.35% | -0.66% | 2.59% | 2.59% | -1.87% | -3.79% | 0.01% |
2014 | 1 | 2.01% | 3.40% | -3.52% | -3.52% | 6.30% | 3.42% | 0.01% |
2014 | 2 | 3.74% | 6.08% | 4.55% | 4.55% | 0.52% | 6.27% | 0.00% |
2014 | 3 | -0.56% | -0.92% | 0.83% | 0.83% | 0.73% | -3.14% | 0.00% |
2014 | 4 | 1.10% | 1.76% | 0.70% | 0.70% | 2.10% | 0.49% | 0.00% |
2014 | 5 | 0.75% | 1.17% | 2.32% | 2.32% | 2.95% | -3.05% | 0.00% |
2014 | 6 | 2.62% | 4.14% | 2.06% | 2.06% | -0.25% | 6.32% | 0.00% |
2014 | 7 | -1.42% | -2.22% | -1.34% | -1.34% | 0.67% | -3.63% | 0.00% |
2014 | 8 | 3.06% | 4.79% | 3.95% | 3.95% | 4.72% | 0.38% | 0.00% |
2014 | 9 | -3.15% | -4.89% | -1.38% | -1.38% | -2.11% | -6.18% | 0.00% |
2014 | 10 | 0.87% | 1.34% | 2.36% | 2.36% | 2.81% | -3.05% | 0.00% |
2014 | 11 | 1.88% | 2.92% | 2.75% | 2.75% | 2.97% | -0.49% | 0.00% |
2014 | 12 | 1.48% | 2.31% | -0.26% | -0.26% | 3.25% | 1.31% | 0.00% |
2015 | 1 | 5.10% | 8.55% | -2.96% | -2.96% | 9.82% | 8.69% | 0.00% |
2015 | 2 | -2.37% | -3.90% | 5.62% | 5.62% | -6.14% | -5.91% | 0.00% |
2015 | 3 | -0.88% | -1.42% | -1.57% | -1.57% | 1.10% | -2.15% | 0.00% |
2015 | 4 | -0.88% | -1.47% | 0.98% | 0.98% | -3.43% | -0.17% | 0.00% |
2015 | 5 | -0.16% | -0.28% | 1.29% | 1.29% | -2.37% | 0.56% | 0.00% |
2015 | 6 | -2.52% | -4.15% | -2.03% | -2.03% | -4.07% | -1.52% | 0.00% |
2015 | 7 | 0.03% | 0.01% | 2.26% | 2.26% | 4.55% | -6.62% | 0.00% |
2015 | 8 | -1.26% | -2.02% | -6.10% | -6.10% | -0.69% | 3.71% | 0.01% |
2015 | 9 | -0.80% | -1.32% | -2.54% | -2.54% | 1.97% | -1.80% | 0.01% |
2015 | 10 | 3.44% | 5.75% | 8.51% | 8.51% | -0.41% | 2.28% | 0.00% |
2015 | 11 | -2.31% | -3.88% | 0.37% | 0.37% | -0.87% | -6.75% | 0.01% |
2015 | 12 | -0.86% | -1.44% | -1.72% | -1.72% | -0.30% | -0.45% | 0.02% |
2016 | 1 | 1.93% | 3.29% | -4.98% | -4.98% | 5.57% | 5.41% | 0.01% |
2016 | 2 | 4.76% | 7.81% | -0.08% | -0.08% | 3.09% | 10.93% | 0.03% |
2016 | 3 | 1.70% | 2.60% | 6.72% | 6.72% | -0.09% | -0.84% | 0.03% |
2016 | 4 | 1.68% | 2.65% | 0.39% | 0.39% | -0.74% | 5.11% | 0.02% |
2016 | 5 | -1.44% | -2.30% | 1.70% | 1.70% | 0.81% | -6.14% | 0.02% |
2016 | 6 | 5.51% | 8.70% | 0.35% | 0.35% | 6.93% | 8.97% | 0.03% |
2016 | 7 | 2.53% | 3.83% | 3.65% | 3.65% | 2.10% | 1.98% | 0.02% |
2016 | 8 | -1.46% | -2.23% | 0.12% | 0.12% | -1.01% | -3.26% | 0.02% |
2016 | 9 | -0.26% | -0.41% | 0.01% | 0.01% | -1.51% | 0.69% | 0.03% |
2016 | 10 | -3.04% | -4.63% | -1.73% | -1.73% | -4.38% | -2.94% | 0.02% |
2016 | 11 | -4.45% | -6.99% | 3.68% | 3.68% | -8.21% | -8.36% | 0.03% |
2016 | 12 | -0.09% | -0.20% | 2.03% | 2.03% | -0.46% | -1.91% | 0.04% |
2017 | 1 | 2.67% | 4.39% | 1.79% | 1.79% | 0.81% | 5.42% | 0.04% |
2017 | 2 | 2.92% | 4.69% | 3.93% | 3.93% | 1.59% | 3.18% | 0.04% |
2017 | 3 | -0.31% | -0.53% | 0.13% | 0.13% | -0.65% | -0.43% | 0.04% |
2017 | 4 | 1.43% | 2.25% | 0.99% | 0.99% | 1.57% | 1.73% | 0.06% |
2017 | 5 | 1.04% | 1.61% | 1.41% | 1.41% | 1.89% | -0.12% | 0.07% |
2017 | 6 | -0.25% | -0.46% | 0.64% | 0.64% | 0.79% | -2.16% | 0.08% |
2017 | 7 | 1.26% | 1.92% | 2.06% | 2.06% | -0.66% | 2.31% | 0.08% |
2017 | 8 | 2.59% | 4.04% | 0.29% | 0.29% | 3.41% | 4.20% | 0.09% |
2017 | 9 | -1.20% | -1.96% | 2.01% | 2.01% | -2.32% | -3.37% | 0.08% |
2017 | 10 | 0.57% | 0.80% | 2.36% | 2.36% | -0.04% | -0.75% | 0.09% |
2017 | 11 | 1.44% | 2.16% | 3.06% | 3.06% | 0.74% | 0.36% | 0.09% |
2017 | 12 | 1.69% | 2.55% | 1.21% | 1.21% | 1.81% | 2.11% | 0.10% |
2018 | 1 | 1.91% | 3.01% | 5.64% | 5.64% | -3.26% | 3.23% | 0.11% |
2018 | 2 | -2.93% | -4.84% | -3.64% | -3.64% | -3.04% | -2.08% | 0.12% |
2018 | 3 | 0.15% | 0.21% | -2.74% | -2.74% | 2.86% | 0.63% | 0.14% |
2018 | 4 | -0.82% | -1.48% | 0.52% | 0.52% | -2.09% | -0.95% | 0.14% |
2018 | 5 | 1.07% | 1.66% | 2.43% | 2.43% | 2.01% | -1.20% | 0.15% |
2018 | 6 | -0.79% | -1.44% | 0.58% | 0.58% | 0.65% | -3.61% | 0.16% |
2018 | 7 | 0.12% | 0.04% | 3.70% | 3.70% | -1.44% | -2.24% | 0.16% |
2018 | 8 | 0.92% | 1.38% | 3.19% | 3.19% | 1.31% | -2.14% | 0.17% |
2018 | 9 | -0.90% | -1.63% | 0.59% | 0.59% | -2.86% | -0.66% | 0.17% |
2018 | 10 | -2.90% | -4.90% | -6.91% | -6.91% | -2.93% | 2.12% | 0.18% |
2018 | 11 | 1.35% | 2.15% | 1.85% | 1.85% | 1.79% | 0.34% | 0.19% |
2018 | 12 | 0.20% | 0.36% | -8.79% | -8.79% | 5.85% | 4.94% | 0.19% |
2019 | 1 | 3.80% | 6.07% | 8.01% | 8.01% | 0.38% | 2.89% | 0.20% |
2019 | 2 | 0.51% | 0.65% | 3.24% | 3.24% | -1.38% | -0.61% | 0.20% |
2019 | 3 | 1.89% | 2.91% | 1.81% | 1.81% | 5.57% | -1.60% | 0.20% |
2019 | 4 | 0.63% | 0.83% | 4.09% | 4.09% | -1.99% | -0.66% | 0.20% |
2019 | 5 | 0.31% | 0.49% | -6.38% | -6.38% | 6.84% | 1.76% | 0.20% |
2019 | 6 | 5.26% | 8.20% | 6.96% | 6.96% | 0.95% | 8.00% | 0.19% |
2019 | 7 | 0.62% | 0.85% | 1.51% | 1.51% | 0.26% | 0.01% | 0.17% |
2019 | 8 | 5.47% | 8.43% | -1.67% | -1.67% | 11.04% | 7.91% | 0.17% |
2019 | 9 | -1.36% | -2.17% | 1.95% | 1.95% | -2.68% | -3.39% | 0.16% |
2019 | 10 | 1.21% | 1.73% | 2.21% | 2.21% | -1.11% | 2.56% | 0.15% |
2019 | 11 | 0.09% | 0.02% | 3.62% | 3.62% | -0.41% | -3.21% | 0.13% |
2019 | 12 | 1.16% | 1.64% | 2.90% | 2.90% | -3.20% | 3.66% | 0.13% |
2020 | 1 | 4.01% | 6.60% | -0.04% | -0.04% | 7.69% | 4.50% | 0.13% |
2020 | 2 | -0.53% | -0.82% | -7.92% | -7.92% | 6.63% | -0.64% | 0.13% |
2020 | 3 | -1.51% | -2.34% | -12.46% | -12.46% | 6.38% | -0.22% | 0.10% |
2020 | 4 | 6.33% | 10.23% | 12.70% | 12.70% | 1.22% | 7.26% | 0.01% |
2020 | 5 | 1.57% | 2.42% | 4.76% | 4.76% | -1.76% | 2.59% | 0.01% |
2020 | 6 | 1.58% | 2.45% | 1.78% | 1.78% | 0.34% | 2.74% | 0.01% |
2020 | 7 | 7.06% | 10.91% | 5.89% | 5.89% | 4.44% | 10.79% | 0.01% |
2020 | 8 | 0.15% | 0.13% | 6.98% | 6.98% | -5.05% | -0.32% | 0.01% |
2020 | 9 | -2.39% | -3.55% | -3.74% | -3.74% | 0.77% | -4.17% | 0.01% |
2020 | 10 | -2.11% | -3.18% | -2.49% | -2.49% | -3.39% | -0.52% | 0.01% |
2020 | 11 | 1.97% | 2.87% | 10.88% | 10.88% | 1.66% | -5.41% | 0.01% |
2020 | 12 | 3.13% | 4.71% | 3.71% | 3.71% | -1.23% | 7.01% | 0.01% |
2021 | 1 | -2.61% | -4.34% | -1.02% | -1.02% | -3.63% | -3.22% | 0.01% |
2021 | 2 | -2.96% | -5.08% | 2.78% | 2.78% | -5.73% | -6.26% | 0.01% |
Ticker | Name | Category | Weight | Yield | Fees | P/E | Duration | Return Contribution | Risk Contribution |
---|---|---|---|---|---|---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | Large Blend | 34.00% | 1.39% | 0.09% | 27.40 | $14,556 | 23.79% | |
TLT | iShares 20+ Year Treasury Bond ETF | Long Government | 33.00% | 1.57% | 0.15% | 19.07 | $8,006 | 23.60% | |
GLD | SPDR Gold Shares | Commodities Focused | 33.00% | 0.40% | $8,265 | 52.61% | |||
100.00% | 0.99% | 0.21% | 27.40 | 19.07 | $30,828 | 100.00% |
Fund fundamentals data as of 02/26/2021. (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.
Metric | Portfolio 1 | Portfolio 2 | SPDR S&P 500 ETF Trust |
---|---|---|---|
Arithmetic Mean (monthly) | 0.76% | 1.16% | 0.86% |
Arithmetic Mean (annualized) | 9.46% | 14.91% | 10.82% |
Geometric Mean (monthly) | 0.72% | 1.08% | 0.77% |
Geometric Mean (annualized) | 9.04% | 13.73% | 9.64% |
Volatility (monthly) | 2.55% | 4.19% | 4.23% |
Volatility (annualized) | 8.83% | 14.52% | 14.64% |
Downside Deviation (monthly) | 1.40% | 2.31% | 2.83% |
Max. Drawdown | -17.17% | -28.22% | -50.80% |
US Market Correlation | 0.41 | 0.39 | 1.00 |
Beta(*) | 0.25 | 0.40 | 1.00 |
Alpha (annualized) | 6.48% | 9.87% | 0.00% |
R2 | 17.35% | 16.11% | 100.00% |
Sharpe Ratio | 0.89 | 0.88 | 0.62 |
Sortino Ratio | 1.58 | 1.57 | 0.91 |
Treynor Ratio (%) | 31.18 | 31.99 | 9.08 |
Calmar Ratio | 1.94 | 1.72 | 0.72 |
Active Return | -0.60% | 4.09% | N/A |
Tracking Error | 13.59% | 15.95% | N/A |
Information Ratio | -0.04 | 0.26 | N/A |
Skewness | -0.08 | -0.02 | -0.65 |
Excess Kurtosis | 2.31 | 2.91 | 1.84 |
Historical Value-at-Risk (5%) | -2.94% | -4.85% | -6.95% |
Analytical Value-at-Risk (5%) | -3.40% | -5.69% | -6.09% |
Conditional Value-at-Risk (5%) | -4.49% | -7.40% | -9.73% |
Upside Capture Ratio (%) | 36.78 | 57.37 | 100.00 |
Downside Capture Ratio (%) | 6.97 | 12.65 | 100.00 |
Safe Withdrawal Rate | 9.81% | 12.79% | 7.91% |
Perpetual Withdrawal Rate | 6.22% | 9.92% | 6.71% |
Positive Periods | 117 out of 195 (60.00%) | 118 out of 195 (60.51%) | 130 out of 195 (66.67%) |
Gain/Loss Ratio | 1.48 | 1.40 | 0.84 |
* SPDR S&P 500 ETF Trust is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Portfolio 1 | Portfolio 2 | SPDR S&P 500 ETF Trust |
---|---|---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -17.17% | -28.22% | -50.80% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Mar 2008 | Oct 2008 | 8 months | Sep 2009 | 11 months | 1 year 7 months | -17.17% |
2 | Oct 2012 | Jun 2013 | 9 months | Feb 2014 | 8 months | 1 year 5 months | -9.05% |
3 | Aug 2016 | Dec 2016 | 5 months | Aug 2017 | 8 months | 1 year 1 month | -9.02% |
4 | Feb 2015 | Sep 2015 | 8 months | Apr 2016 | 7 months | 1 year 3 months | -8.53% |
5 | Feb 2018 | Oct 2018 | 9 months | Mar 2019 | 5 months | 1 year 2 months | -6.00% |
6 | Jan 2021 | Feb 2021 | 2 months | -5.49% | |||
7 | Sep 2020 | Oct 2020 | 2 months | Dec 2020 | 2 months | 4 months | -4.45% |
8 | Dec 2009 | Jan 2010 | 2 months | Apr 2010 | 3 months | 5 months | -4.36% |
9 | Sep 2014 | Sep 2014 | 1 month | Dec 2014 | 3 months | 4 months | -3.15% |
10 | May 2006 | Jun 2006 | 2 months | Aug 2006 | 2 months | 4 months | -2.92% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Mar 2008 | Oct 2008 | 8 months | Sep 2009 | 11 months | 1 year 7 months | -28.22% |
2 | Oct 2012 | Jun 2013 | 9 months | Apr 2014 | 10 months | 1 year 7 months | -14.90% |
3 | Aug 2016 | Dec 2016 | 5 months | Aug 2017 | 8 months | 1 year 1 month | -13.80% |
4 | Feb 2015 | Sep 2015 | 8 months | Apr 2016 | 7 months | 1 year 3 months | -13.73% |
5 | Feb 2018 | Oct 2018 | 9 months | Mar 2019 | 5 months | 1 year 2 months | -10.69% |
6 | Jan 2021 | Feb 2021 | 2 months | -9.19% | |||
7 | Dec 2009 | Jan 2010 | 2 months | Apr 2010 | 3 months | 5 months | -6.78% |
8 | Sep 2020 | Oct 2020 | 2 months | Dec 2020 | 2 months | 4 months | -6.62% |
9 | May 2006 | Jun 2006 | 2 months | Oct 2006 | 4 months | 6 months | -5.06% |
10 | Sep 2014 | Sep 2014 | 1 month | Dec 2014 | 3 months | 4 months | -4.89% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Mar 2012 | 3 years 1 month | 4 years 5 months | -50.80% |
2 | Jan 2020 | Mar 2020 | 3 months | Jul 2020 | 4 months | 7 months | -19.43% |
3 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.52% |
4 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.48% |
5 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.63% |
6 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.38% |
7 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.28% |
8 | Sep 2020 | Oct 2020 | 2 months | Nov 2020 | 1 month | 3 months | -6.14% |
9 | Jun 2007 | Jul 2007 | 2 months | Sep 2007 | 2 months | 4 months | -4.55% |
10 | Jan 2005 | Apr 2005 | 4 months | Jul 2005 | 3 months | 7 months | -3.86% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
---|---|---|---|---|---|---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | 9.64% | 14.64% | 32.31% | -36.81% | -50.80% | 0.62 | 0.91 | 1.00 |
TLT | iShares 20+ Year Treasury Bond ETF | 6.55% | 13.23% | 33.96% | -21.80% | -21.80% | 0.45 | 0.78 | -0.33 |
GLD | SPDR Gold Shares | 8.18% | 17.39% | 30.45% | -28.33% | -42.91% | 0.47 | 0.76 | 0.06 |
CASHX | Cash | 1.25% | 0.46% | 4.82% | 0.01% | 0.00% | N/A | N/A | -0.08 |
Ticker | Name | SPY | TLT | GLD | CASHX | Portfolio 1 | Portfolio 2 | SPDR S&P 500 ETF Trust |
---|---|---|---|---|---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | 1.00 | -0.32 | 0.06 | -0.07 | 0.42 | 0.40 | 1.00 |
TLT | iShares 20+ Year Treasury Bond ETF | -0.32 | 1.00 | 0.21 | 0.03 | 0.47 | 0.48 | -0.32 |
GLD | SPDR Gold Shares | 0.06 | 0.21 | 1.00 | 0.10 | 0.80 | 0.80 | 0.06 |
CASHX | Cash | -0.07 | 0.03 | 0.10 | 1.00 | 0.03 | 0.01 | -0.07 |
Ticker | Name | Portfolio 1 | Portfolio 2 |
---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | $14,556 | $37,202 |
TLT | iShares 20+ Year Treasury Bond ETF | $8,006 | $18,738 |
GLD | SPDR Gold Shares | $8,265 | $18,053 |
CASHX | Cash | -$3,091 |
Ticker | Name | Portfolio 1 | Portfolio 2 |
---|---|---|---|
SPY | SPDR S&P 500 ETF Trust | 23.79% | 22.50% |
TLT | iShares 20+ Year Treasury Bond ETF | 23.60% | 24.51% |
GLD | SPDR Gold Shares | 52.61% | 53.02% |
CASHX | Cash | -0.02% |
Roll Period | Portfolio 1 | Portfolio 2 | SPDR S&P 500 ETF Trust | ||||||
---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 9.77% | 27.60% | -13.24% | 15.33% | 45.58% | -22.92% | 10.22% | 53.27% | -43.44% |
3 years | 8.66% | 20.77% | 0.92% | 13.39% | 36.00% | 1.08% | 8.93% | 25.45% | -15.09% |
5 years | 8.65% | 13.27% | 3.68% | 13.48% | 22.33% | 5.61% | 9.72% | 22.86% | -1.23% |
7 years | 8.52% | 12.43% | 4.22% | 13.30% | 19.21% | 6.26% | 10.34% | 17.14% | 2.58% |
10 years | 8.56% | 10.44% | 7.24% | 13.35% | 16.15% | 11.40% | 10.09% | 16.55% | 6.36% |
15 years | 9.29% | 9.93% | 8.77% | 14.21% | 15.27% | 13.35% | 8.97% | 9.80% | 7.50% |