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 
Asset 1
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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 (Dec 2004 - Nov 2021)

Portfolio Allocations

Portfolio 1
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 »
Portfolio 2
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 Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$45,183 9.28% 8.80%21.17%-3.69%-17.17% 0.921.640.42
Portfolio 2$10,000$95,537 14.20% 14.48%33.41%-6.20%-28.22% 0.911.630.41
SPDR S&P 500 ETF Trust$10,000$53,976 10.43% 14.54%32.31%-36.81%-50.80% 0.671.001.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.07%0.30%3.25%13.00%8.60%7.47%9.10%9.25%8.30%
Portfolio 20.10%0.22%4.52%20.22%12.93%11.40%13.89%14.79%13.24%
SPDR S&P 500 ETF Trust0.58%15.91%29.96%15.90%16.80%16.51%10.14%18.69%15.10%
Trailing return and volatility are as of last full calendar quarter ending September 2021
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 2004 are based on monthly returns from December to December
  • The annual results for 2021 are based on monthly returns from January to November
  • 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
YearInflationPortfolio 1Portfolio 2SPDR S&P 500 ETF TrustSPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Cash (CASHX)
ReturnBalanceReturnBalanceReturnBalance
2004-0.37%0.94%$10,0941.39%$10,1393.02%$10,3023.02%2.66%-2.93%0.18%
20053.42%10.34%$11,13815.01%$11,6614.83%$10,7994.83%8.61%17.76%3.14%
20062.54%13.06%$12,59318.29%$13,79415.85%$12,51015.85%0.71%22.55%4.82%
20074.08%15.19%$14,50622.05%$16,8375.14%$13,1535.14%10.29%30.45%4.56%
20080.09%0.31%$14,5500.12%$16,857-36.81%$8,311-36.81%33.93%4.92%1.53%
20092.72%9.70%$15,96115.61%$19,48926.36%$10,50326.36%-21.80%24.03%0.16%
20101.50%17.76%$18,79729.26%$25,19115.06%$12,08415.06%9.05%29.27%0.14%
20112.96%15.01%$21,61724.93%$31,4711.89%$12,3121.89%33.96%9.57%0.07%
20121.74%8.48%$23,45113.82%$35,82015.99%$14,28115.99%2.63%6.60%0.08%
20131.50%-2.78%$22,800-5.20%$33,95832.31%$18,89532.31%-13.37%-28.33%0.05%
20140.76%12.86%$25,73321.19%$41,15413.46%$21,43913.46%27.30%-2.19%0.03%
20150.73%-3.69%$24,784-6.20%$38,6041.25%$21,7071.25%-1.79%-10.67%0.05%
20162.07%7.12%$26,54911.48%$43,03612.00%$24,31212.00%1.18%8.03%0.30%
20172.11%14.64%$30,43523.43%$53,12221.70%$29,58821.70%9.18%12.81%0.88%
20181.91%-2.72%$29,607-5.67%$50,109-4.56%$28,240-4.56%-1.61%-1.94%1.90%
20192.29%21.17%$35,87433.27%$66,78231.22%$37,05731.22%14.12%17.86%2.13%
20201.36%20.43%$43,20233.41%$89,09418.37%$43,86518.37%18.15%24.81%0.44%
20216.19%4.59%$45,1837.23%$95,53723.05%$53,97623.05%-2.64%-7.21%0.04%
Annual return for 2004 is from 12/01/2004 to 12/31/2004 and annual return for 2021 is from 01/01/2021 to 11/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2SPDR S&P 500 ETF TrustSPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Cash (CASHX)
ReturnBalanceReturnBalanceReturnBalance
2004120.94%$10,0941.39%$10,1393.02%$10,3023.02%2.66%-2.93%0.18%
20051-0.78%$10,015-1.37%$10,000-2.24%$10,071-2.24%3.57%-3.61%0.18%
200521.19%$10,1341.82%$10,1822.09%$10,2812.09%-1.47%3.10%0.21%
20053-1.30%$10,002-2.29%$9,949-1.83%$10,093-1.83%-0.45%-1.63%0.23%
200541.08%$10,1101.69%$10,118-1.87%$9,904-1.87%3.86%1.24%0.23%
200550.86%$10,1981.23%$10,2423.22%$10,2233.22%3.14%-3.92%0.24%
200562.15%$10,4173.41%$10,5920.15%$10,2390.15%2.16%4.30%0.25%
20057-0.40%$10,376-0.88%$10,4993.83%$10,6303.83%-3.38%-1.43%0.26%
200581.30%$10,5111.98%$10,708-0.94%$10,531-0.94%3.48%1.35%0.28%
200591.38%$10,6562.07%$10,9290.80%$10,6150.80%-3.61%7.60%0.29%
200510-1.75%$10,470-2.97%$10,604-2.37%$10,364-2.37%-2.24%-0.64%0.29%
2005113.64%$10,8515.69%$11,2084.40%$10,8194.40%0.69%5.82%0.33%
2005122.64%$11,1384.05%$11,661-0.19%$10,799-0.19%2.98%5.05%0.32%
200613.65%$11,5445.83%$12,3412.40%$11,0582.40%-1.34%9.93%0.33%
200620.15%$11,5620.01%$12,3420.57%$11,1210.57%1.11%-1.11%0.37%
200630.36%$11,6030.33%$12,3831.65%$11,3051.65%-4.57%3.62%0.38%
200643.89%$12,0556.09%$13,1371.26%$11,4481.26%-2.75%12.03%0.38%
20065-1.56%$11,867-2.67%$12,786-3.01%$11,103-3.01%-0.19%-1.32%0.39%
20066-1.38%$11,703-2.46%$12,4720.26%$11,1320.26%1.18%-4.67%0.40%
200671.96%$11,9322.93%$12,8370.45%$11,1820.45%2.16%3.15%0.41%
200681.10%$12,0631.48%$13,0272.18%$11,4262.18%3.06%-1.38%0.42%
20069-0.19%$12,040-0.59%$12,9492.70%$11,7342.70%1.91%-4.53%0.41%
2006101.79%$12,2552.58%$13,2843.15%$12,1043.15%0.85%1.29%0.40%
2006113.80%$12,7215.76%$14,0501.99%$12,3451.99%2.31%6.89%0.42%
200612-1.01%$12,593-1.82%$13,7941.34%$12,5101.34%-2.69%-1.83%0.41%
200711.03%$12,7221.42%$13,9911.50%$12,6981.50%-1.00%2.56%0.41%
200721.28%$12,8851.88%$14,254-1.96%$12,449-1.96%3.39%2.55%0.42%
20073-0.56%$12,813-1.20%$14,0841.16%$12,5941.16%-1.70%-1.11%0.42%
200742.48%$13,1313.76%$14,6134.43%$13,1514.43%0.90%2.05%0.41%
20075-0.36%$13,084-0.88%$14,4843.39%$13,5973.39%-2.31%-2.31%0.40%
20076-1.48%$12,891-2.63%$14,103-1.46%$13,398-1.46%-1.01%-1.94%0.39%
200770.71%$12,9820.98%$14,241-3.13%$12,979-3.13%3.32%2.37%0.39%
200781.39%$13,1632.01%$14,5271.28%$13,1451.28%1.79%1.11%0.40%
200794.89%$13,8067.72%$15,6493.87%$13,6543.87%0.23%10.51%0.33%
2007103.46%$14,2835.29%$16,4771.36%$13,8391.36%1.81%6.95%0.31%
200711-0.24%$14,249-0.50%$16,395-3.87%$13,303-3.87%5.35%-1.65%0.32%
2007121.80%$14,5062.69%$16,837-1.13%$13,153-1.13%-0.64%6.65%0.26%
200812.21%$14,8273.61%$17,445-6.05%$12,357-6.05%2.10%10.84%0.28%
200820.91%$14,9621.44%$17,696-2.58%$12,038-2.58%-0.46%5.23%0.16%
20083-1.82%$14,690-3.04%$17,157-0.90%$11,929-0.90%2.14%-6.00%0.15%
20084-0.87%$14,562-1.59%$16,8854.77%$12,4984.77%-2.48%-4.16%0.11%
20085-0.09%$14,549-0.25%$16,8431.51%$12,6871.51%-2.69%0.92%0.12%
20086-0.29%$14,506-0.46%$16,766-8.35%$11,627-8.35%2.65%4.52%0.15%
20087-0.92%$14,373-1.62%$16,493-0.90%$11,523-0.90%-0.37%-1.44%0.16%
20088-2.00%$14,086-3.47%$15,9221.55%$11,7011.55%2.74%-9.29%0.14%
20089-1.04%$13,940-1.72%$15,649-9.44%$10,597-9.44%1.47%4.11%0.14%
200810-11.10%$12,393-18.84%$12,701-16.52%$8,846-16.52%-1.86%-16.14%0.08%
2008118.05%$13,39015.17%$14,628-6.96%$8,231-6.96%14.34%12.57%0.04%
2008128.67%$14,55015.24%$16,8570.98%$8,3110.98%13.64%7.73%0.00%
20091-5.28%$13,782-8.67%$15,396-8.21%$7,629-8.21%-13.07%5.54%0.01%
20092-3.47%$13,303-5.84%$14,497-10.74%$6,809-10.74%-1.54%1.45%0.02%
200932.81%$13,6774.83%$15,1988.35%$7,3788.35%4.04%-2.54%0.02%
20094-0.21%$13,649-0.53%$15,1179.93%$8,1119.93%-6.95%-3.33%0.02%
200954.62%$14,2807.94%$16,3185.85%$8,5855.85%-3.69%10.23%0.01%
20096-1.77%$14,027-3.00%$15,828-0.07%$8,579-0.07%0.76%-5.22%0.01%
200973.73%$14,5516.24%$16,8167.46%$9,2197.46%0.58%2.38%0.02%
200982.01%$14,8433.28%$17,3673.69%$9,5593.69%2.24%0.05%0.02%
200994.05%$15,4456.61%$18,5153.55%$9,8983.55%2.46%5.84%0.01%
200910-0.10%$15,429-0.13%$18,490-1.92%$9,708-1.92%-2.62%3.72%0.01%
2009117.33%$16,56111.70%$20,6546.16%$10,3066.16%1.21%12.79%0.00%
200912-3.62%$15,961-5.64%$19,4891.91%$10,5031.91%-6.34%-7.20%0.01%
20101-0.76%$15,840-1.21%$19,253-3.63%$10,121-3.63%2.69%-1.26%0.01%
201021.99%$16,1553.28%$19,8833.12%$10,4373.12%-0.34%3.27%0.01%
201031.20%$16,3491.88%$20,2576.09%$11,0726.09%-2.06%-0.44%0.01%
201043.54%$16,9275.78%$21,4271.55%$11,2441.55%3.32%5.88%0.01%
20105-0.06%$16,9170.02%$21,433-7.95%$10,350-7.95%5.11%3.05%0.01%
201061.14%$17,1101.90%$21,840-5.17%$9,815-5.17%5.80%2.36%0.01%
20107-0.09%$17,095-0.24%$21,7876.83%$10,4856.83%-0.95%-5.09%0.02%
201083.42%$17,6805.52%$22,989-4.50%$10,013-4.50%8.40%5.71%0.01%
201093.31%$18,2655.06%$24,1518.96%$10,9108.96%-2.51%4.78%0.01%
2010100.89%$18,4281.31%$24,4683.82%$11,3273.82%-4.47%3.68%0.01%
2010110.19%$18,4630.29%$24,5380.00%$11,3270.00%-1.69%2.11%0.01%
2010121.81%$18,7972.66%$25,1916.68%$12,0846.68%-3.68%2.44%0.01%
20111-2.33%$18,359-3.93%$24,2022.33%$12,3662.33%-3.08%-6.38%0.01%
201123.68%$19,0346.16%$25,6923.47%$12,7953.47%1.65%6.00%0.01%
201130.53%$19,1340.87%$25,9150.01%$12,7970.01%0.03%1.60%0.01%
201144.69%$20,0337.69%$27,9072.90%$13,1672.90%2.34%8.94%0.01%
201150.07%$20,0470.13%$27,943-1.12%$13,020-1.12%3.42%-1.79%0.00%
20116-2.14%$19,617-3.41%$26,990-1.69%$12,800-1.69%-2.33%-2.43%0.01%
201173.53%$20,3105.77%$28,546-2.00%$12,544-2.00%4.42%8.42%0.00%
201185.62%$21,4529.01%$31,119-5.50%$11,854-5.50%9.66%12.27%0.01%
20119-1.68%$21,092-2.49%$30,344-6.94%$11,031-6.94%13.20%-11.06%0.00%
2011103.50%$21,8305.29%$31,94910.91%$12,23510.91%-3.84%5.87%0.00%
2011111.17%$22,0841.78%$32,519-0.41%$12,185-0.41%1.98%1.67%0.00%
201112-2.12%$21,617-3.22%$31,4711.04%$12,3121.04%3.44%-10.66%0.00%
201215.23%$22,7478.64%$34,1894.64%$12,8834.64%-0.33%11.40%0.00%
20122-0.38%$22,661-0.68%$33,9554.34%$13,4424.34%-2.59%-2.96%0.01%
20123-0.60%$22,524-1.04%$33,6033.22%$13,8753.22%-4.23%-1.32%0.01%
201241.13%$22,7781.84%$34,222-0.67%$13,782-0.67%4.83%-0.15%0.01%
20125-1.53%$22,430-2.37%$33,411-6.01%$12,954-6.01%9.03%-6.34%0.01%
201261.58%$22,7842.50%$34,2454.05%$13,4794.05%-1.68%2.35%0.01%
201271.93%$23,2243.10%$35,3051.18%$13,6391.18%3.82%0.84%0.01%
201282.00%$23,6893.15%$36,4162.51%$13,9812.51%-1.32%4.94%0.01%
201291.60%$24,0672.47%$37,3172.54%$14,3352.54%-2.53%4.67%0.01%
201210-1.78%$23,638-2.77%$36,285-1.82%$14,074-1.82%-0.48%-2.94%0.01%
2012110.48%$23,7510.74%$36,5550.57%$14,1540.57%1.38%-0.47%0.01%
201212-1.26%$23,451-2.01%$35,8200.90%$14,2810.90%-2.49%-2.43%0.01%
201310.52%$23,5740.78%$36,1015.12%$15,0125.12%-3.19%-0.51%0.00%
20132-0.81%$23,382-1.38%$35,6031.28%$15,2041.28%1.24%-5.09%0.01%
201331.54%$23,7422.50%$36,4933.80%$15,7813.80%-0.42%0.95%0.01%
20134-0.15%$23,707-0.28%$36,3901.92%$16,0841.92%4.68%-7.56%0.01%
20135-3.14%$22,961-5.26%$34,4752.36%$16,4642.36%-6.76%-6.20%0.00%
20136-4.67%$21,890-7.89%$31,756-1.34%$16,244-1.34%-3.27%-11.06%0.00%
201373.34%$22,6205.74%$33,5805.17%$17,0845.17%-2.26%7.43%0.00%
20138-0.27%$22,559-0.40%$33,445-3.00%$16,571-3.00%-1.34%5.20%0.00%
201390.14%$22,5900.17%$33,5003.17%$17,0963.17%0.66%-4.78%0.00%
2013102.30%$23,1103.85%$34,7904.63%$17,8884.63%1.43%-0.34%0.00%
201311-0.99%$22,880-1.75%$34,1822.96%$18,4182.96%-2.70%-5.51%0.00%
201312-0.35%$22,800-0.66%$33,9582.59%$18,8952.59%-1.87%-3.79%0.01%
201412.01%$23,2583.40%$35,114-3.52%$18,229-3.52%6.30%3.42%0.01%
201423.74%$24,1286.08%$37,2484.55%$19,0594.55%0.52%6.27%0.00%
20143-0.56%$23,992-0.92%$36,9050.83%$19,2170.83%0.73%-3.14%0.00%
201441.10%$24,2561.76%$37,5560.70%$19,3510.70%2.10%0.49%0.00%
201450.75%$24,4391.17%$37,9942.32%$19,8002.32%2.95%-3.05%0.00%
201462.62%$25,0784.14%$39,5682.06%$20,2082.06%-0.25%6.32%0.00%
20147-1.42%$24,722-2.22%$38,692-1.34%$19,937-1.34%0.67%-3.63%0.00%
201483.06%$25,4794.79%$40,5463.95%$20,7233.95%4.72%0.38%0.00%
20149-3.15%$24,677-4.89%$38,564-1.38%$20,438-1.38%-2.11%-6.18%0.00%
2014100.87%$24,8911.34%$39,0812.36%$20,9192.36%2.81%-3.05%0.00%
2014111.88%$25,3582.92%$40,2242.75%$21,4942.75%2.97%-0.49%0.00%
2014121.48%$25,7332.31%$41,154-0.26%$21,439-0.26%3.25%1.31%0.00%
201515.10%$27,0458.55%$44,671-2.96%$20,803-2.96%9.82%8.69%0.00%
20152-2.37%$26,405-3.90%$42,9275.62%$21,9735.62%-6.14%-5.91%0.00%
20153-0.88%$26,173-1.42%$42,319-1.57%$21,627-1.57%1.10%-2.15%0.00%
20154-0.88%$25,942-1.47%$41,6960.98%$21,8390.98%-3.43%-0.17%0.00%
20155-0.16%$25,901-0.28%$41,5781.29%$22,1201.29%-2.37%0.56%0.00%
20156-2.52%$25,249-4.15%$39,854-2.03%$21,671-2.03%-4.07%-1.52%0.00%
201570.03%$25,2570.01%$39,8592.26%$22,1612.26%4.55%-6.62%0.00%
20158-1.26%$24,938-2.02%$39,052-6.10%$20,810-6.10%-0.69%3.71%0.01%
20159-0.80%$24,739-1.32%$38,536-2.54%$20,281-2.54%1.97%-1.80%0.01%
2015103.44%$25,5915.75%$40,7518.51%$22,0068.51%-0.41%2.28%0.00%
201511-2.31%$24,999-3.88%$39,1680.37%$22,0860.37%-0.87%-6.75%0.01%
201512-0.86%$24,784-1.44%$38,604-1.72%$21,707-1.72%-0.30%-0.45%0.02%
201611.93%$25,2633.29%$39,876-4.98%$20,626-4.98%5.57%5.41%0.01%
201624.76%$26,4657.81%$42,990-0.08%$20,609-0.08%3.09%10.93%0.03%
201631.70%$26,9152.60%$44,1096.72%$21,9956.72%-0.09%-0.84%0.03%
201641.68%$27,3672.65%$45,2770.39%$22,0820.39%-0.74%5.11%0.02%
20165-1.44%$26,973-2.30%$44,2361.70%$22,4581.70%0.81%-6.14%0.02%
201665.51%$28,4598.70%$48,0850.35%$22,5360.35%6.93%8.97%0.03%
201672.53%$29,1813.83%$49,9263.65%$23,3583.65%2.10%1.98%0.02%
20168-1.46%$28,755-2.23%$48,8150.12%$23,3860.12%-1.01%-3.26%0.02%
20169-0.26%$28,680-0.41%$48,6130.01%$23,3880.01%-1.51%0.69%0.03%
201610-3.04%$27,809-4.63%$46,361-1.73%$22,982-1.73%-4.38%-2.94%0.02%
201611-4.45%$26,572-6.99%$43,1213.68%$23,8293.68%-8.21%-8.36%0.03%
201612-0.09%$26,549-0.20%$43,0362.03%$24,3122.03%-0.46%-1.91%0.04%
201712.67%$27,2574.39%$44,9241.79%$24,7471.79%0.81%5.42%0.04%
201722.92%$28,0524.69%$47,0313.93%$25,7203.93%1.59%3.18%0.04%
20173-0.31%$27,965-0.53%$46,7820.13%$25,7520.13%-0.65%-0.43%0.04%
201741.43%$28,3642.25%$47,8340.99%$26,0080.99%1.57%1.73%0.06%
201751.04%$28,6591.61%$48,6021.41%$26,3751.41%1.89%-0.12%0.07%
20176-0.25%$28,587-0.46%$48,3790.64%$26,5430.64%0.79%-2.16%0.08%
201771.26%$28,9461.92%$49,3102.06%$27,0882.06%-0.66%2.31%0.08%
201782.59%$29,6964.04%$51,3050.29%$27,1670.29%3.41%4.20%0.09%
20179-1.20%$29,338-1.96%$50,3012.01%$27,7152.01%-2.32%-3.37%0.08%
2017100.57%$29,5040.80%$50,7062.36%$28,3682.36%-0.04%-0.75%0.09%
2017111.44%$29,9302.16%$51,8013.06%$29,2353.06%0.74%0.36%0.09%
2017121.69%$30,4352.55%$53,1221.21%$29,5881.21%1.81%2.11%0.10%
201811.91%$31,0163.01%$54,7235.64%$31,2565.64%-3.26%3.23%0.11%
20182-2.93%$30,108-4.84%$52,075-3.64%$30,119-3.64%-3.04%-2.08%0.12%
201830.15%$30,1530.21%$52,183-2.74%$29,293-2.74%2.86%0.63%0.14%
20184-0.82%$29,906-1.48%$51,4120.52%$29,4450.52%-2.09%-0.95%0.14%
201851.07%$30,2251.66%$52,2652.43%$30,1612.43%2.01%-1.20%0.15%
20186-0.79%$29,987-1.44%$51,5140.58%$30,3340.58%0.65%-3.61%0.16%
201870.12%$30,0240.04%$51,5343.70%$31,4583.70%-1.44%-2.24%0.16%
201880.92%$30,3001.38%$52,2463.19%$32,4623.19%1.31%-2.14%0.17%
20189-0.90%$30,028-1.63%$51,3930.59%$32,6550.59%-2.86%-0.66%0.17%
201810-2.90%$29,156-4.90%$48,875-6.91%$30,399-6.91%-2.93%2.12%0.18%
2018111.35%$29,5492.15%$49,9281.85%$30,9631.85%1.79%0.34%0.19%
2018120.20%$29,6070.36%$50,109-8.79%$28,240-8.79%5.85%4.94%0.19%
201913.80%$30,7326.07%$53,1508.01%$30,5018.01%0.38%2.89%0.20%
201920.51%$30,8880.65%$53,4973.24%$31,4893.24%-1.38%-0.61%0.20%
201931.89%$31,4712.91%$55,0551.81%$32,0591.81%5.57%-1.60%0.20%
201940.63%$31,6690.83%$55,5124.09%$33,3684.09%-1.99%-0.66%0.20%
201950.31%$31,7670.49%$55,784-6.38%$31,241-6.38%6.84%1.76%0.20%
201965.26%$33,4398.20%$60,3556.96%$33,4156.96%0.95%8.00%0.19%
201970.62%$33,6470.85%$60,8701.51%$33,9201.51%0.26%0.01%0.17%
201985.47%$35,4898.43%$66,001-1.67%$33,352-1.67%11.04%7.91%0.17%
20199-1.36%$35,006-2.17%$64,5721.95%$34,0021.95%-2.68%-3.39%0.16%
2019101.21%$35,4301.73%$65,6902.21%$34,7532.21%-1.11%2.56%0.15%
2019110.09%$35,4630.02%$65,7053.62%$36,0113.62%-0.41%-3.21%0.13%
2019121.16%$35,8741.64%$66,7822.90%$37,0572.90%-3.20%3.66%0.13%
202014.01%$37,3126.60%$71,190-0.04%$37,042-0.04%7.69%4.50%0.13%
20202-0.53%$37,113-0.82%$70,606-7.92%$34,109-7.92%6.63%-0.64%0.13%
20203-1.51%$36,553-2.34%$68,953-12.46%$29,858-12.46%6.38%-0.22%0.10%
202046.33%$38,86810.23%$76,00612.70%$33,64912.70%1.22%7.26%0.01%
202051.57%$39,4782.42%$77,8464.76%$35,2534.76%-1.76%2.59%0.01%
202061.58%$40,1022.45%$79,7551.78%$35,8791.78%0.34%2.74%0.01%
202077.06%$42,93410.91%$88,4585.89%$37,9925.89%4.44%10.79%0.01%
202080.15%$42,9970.13%$88,5706.98%$40,6436.98%-5.05%-0.32%0.01%
20209-2.39%$41,968-3.55%$85,425-3.74%$39,123-3.74%0.77%-4.17%0.01%
202010-2.11%$41,083-3.18%$82,708-2.49%$38,148-2.49%-3.39%-0.52%0.01%
2020111.97%$41,8912.87%$85,08410.88%$42,29810.88%1.66%-5.41%0.01%
2020123.13%$43,2024.71%$89,0943.71%$43,8653.71%-1.23%7.01%0.01%
20211-2.61%$42,074-4.34%$85,231-1.02%$43,418-1.02%-3.63%-3.22%0.01%
20212-2.96%$40,828-5.08%$80,9022.78%$44,6262.78%-5.73%-6.26%0.01%
20213-0.36%$40,679-0.72%$80,3214.54%$46,6524.54%-5.24%-1.14%0.00%
202143.90%$42,2676.69%$85,6945.29%$49,1205.29%2.49%3.56%0.00%
202152.66%$43,3924.50%$89,5490.66%$49,4430.66%0.00%7.68%0.00%
20216-0.21%$43,301-0.39%$89,1982.25%$50,5542.25%4.42%-7.15%0.00%
202172.86%$44,5374.71%$93,4032.44%$51,7882.44%3.72%2.53%0.00%
202181.03%$44,9971.63%$94,9262.98%$53,3292.98%-0.34%-0.08%0.01%
20219-3.70%$43,333-5.94%$89,291-4.66%$50,845-4.66%-2.91%-3.22%0.00%
2021103.95%$45,0476.46%$95,0577.02%$54,4137.02%2.46%1.48%0.00%
2021110.30%$45,1830.51%$95,537-0.80%$53,976-0.80%2.77%-0.69%0.00%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
SPYSPDR S&P 500 ETF TrustLarge Blend34.00%1.17%1.24%0.09%0.09%24.03$17,68724.38%
TLTiShares 20+ Year Treasury Bond ETFLong Government33.00%1.78%1.45%0.15%0.15%18.96$8,93523.59%
GLDSPDR Gold SharesCommodities Focused33.00%0.40%0.40%$8,56052.03%
100.00%0.99%0.90%0.21%0.21%24.0318.96$35,183100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 12/03/2021. (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 1Portfolio 2SPDR S&P 500 ETF Trust
Arithmetic Mean (monthly)0.77%1.20%0.92%
Arithmetic Mean (annualized)9.69%15.37%11.60%
Geometric Mean (monthly)0.74%1.11%0.83%
Geometric Mean (annualized)9.28%14.20%10.43%
Standard Deviation (monthly)2.54%4.18%4.20%
Standard Deviation (annualized)8.80%14.48%14.54%
Downside Deviation (monthly)1.39%2.30%2.79%
Max. Drawdown-17.17%-28.22%-50.80%
US Market Correlation0.420.411.00
Beta(*)0.260.411.00
Alpha (annualized)6.43%9.85%0.00%
R218.34%17.10%100.00%
Sharpe Ratio0.920.910.67
Sortino Ratio1.641.631.00
Treynor Ratio (%)31.2532.059.84
Calmar Ratio2.602.451.05
Active Return-1.15%3.77%N/A
Tracking Error13.39%15.72%N/A
Information Ratio-0.090.24N/A
Skewness-0.11-0.05-0.66
Excess Kurtosis2.212.781.83
Historical Value-at-Risk (5%)-2.96%-4.88%-6.94%
Analytical Value-at-Risk (5%)-3.37%-5.64%-5.99%
Conditional Value-at-Risk (5%)-4.42%-7.27%-9.48%
Upside Capture Ratio (%)37.6359.14100.00
Downside Capture Ratio (%)8.2814.72100.00
Safe Withdrawal Rate9.81%12.79%7.91%
Perpetual Withdrawal Rate6.47%10.51%7.45%
Positive Periods123 out of 204 (60.29%)124 out of 204 (60.78%)137 out of 204 (67.16%)
Gain/Loss Ratio1.491.410.86
* SPDR S&P 500 ETF Trust 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 2SPDR S&P 500 ETF Trust
Subprime CrisisNov 2007Mar 2009-17.17%-28.22%-50.80%
COVID-19 StartJan 2020Mar 2020-2.03%-3.14%-19.43%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-17.17%
2Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-9.05%
3Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-9.02%
4Feb 2015Sep 20158 monthsApr 20167 months1 year 3 months-8.53%
5Feb 2018Oct 20189 monthsMar 20195 months1 year 2 months-6.00%
6Jan 2021Mar 20213 monthsMay 20212 months5 months-5.84%
7Sep 2020Oct 20202 monthsDec 20202 months4 months-4.45%
8Dec 2009Jan 20102 monthsApr 20103 months5 months-4.36%
9Sep 2021Sep 20211 monthOct 20211 month2 months-3.70%
10Sep 2014Sep 20141 monthDec 20143 months4 months-3.15%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-28.22%
2Oct 2012Jun 20139 monthsApr 201410 months1 year 7 months-14.90%
3Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-13.80%
4Feb 2015Sep 20158 monthsApr 20167 months1 year 3 months-13.73%
5Feb 2018Oct 20189 monthsMar 20195 months1 year 2 months-10.69%
6Jan 2021Mar 20213 monthsMay 20212 months5 months-9.85%
7Dec 2009Jan 20102 monthsApr 20103 months5 months-6.78%
8Sep 2020Oct 20202 monthsDec 20202 months4 months-6.62%
9Sep 2021Sep 20211 monthOct 20211 month2 months-5.94%
10May 2006Jun 20062 monthsOct 20064 months6 months-5.06%
Worst 10 drawdowns included above

Drawdowns for SPDR S&P 500 ETF Trust

Drawdowns for SPDR S&P 500 ETF Trust (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.80%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
6May 2019May 20191 monthJun 20191 month2 months-6.38%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-6.14%
9Sep 2021Sep 20211 monthOct 20211 month2 months-4.66%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.55%
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 Trust10.43%14.54%32.31%-36.81%-50.80%0.671.001.00
TLTiShares 20+ Year Treasury Bond ETF6.69%13.12%33.96%-21.80%-21.80%0.470.81-0.31
GLDSPDR Gold Shares7.94%17.25%30.45%-28.33%-42.91%0.460.750.06
CASHXCash1.19%0.45%4.82%0.03%0.00%N/AN/A-0.08

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
SPDR S&P 500 ETF Trust0.58%15.91%29.96%15.90%16.80%16.51%0.09%0.09%
iShares 20+ Year Treasury Bond ETF0.36%-7.55%-10.30%9.25%3.19%4.33%0.15%0.15%
SPDR Gold Shares-0.85%-7.93%-7.28%13.35%5.50%0.38%0.40%0.40%
Cash0.01%0.03%0.06%1.05%1.09%0.59%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYTLTGLDCASHXPortfolio 1Portfolio 2SPDR S&P 500 ETF Trust
SPYSPDR S&P 500 ETF Trust1.00-0.300.06-0.080.430.411.00
TLTiShares 20+ Year Treasury Bond ETF-0.301.000.200.020.470.49-0.30
GLDSPDR Gold Shares0.060.201.000.100.790.790.06
CASHXCash-0.080.020.101.000.030.00-0.08

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust$17,687$47,646
TLTiShares 20+ Year Treasury Bond ETF$8,935$21,931
GLDSPDR Gold Shares$8,560$19,067
CASHXCash-$3,107

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust24.38%23.10%
TLTiShares 20+ Year Treasury Bond ETF23.59%24.46%
GLDSPDR Gold Shares52.03%52.44%
CASHXCash-0.01%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2SPDR S&P 500 ETF Trust
AverageHighLowAverageHighLowAverageHighLow
1 year9.66%27.60%-13.24%15.13%45.58%-22.92%11.56%56.25%-43.44%
3 years8.91%20.77%0.92%13.78%36.00%1.08%9.43%25.45%-15.09%
5 years8.69%13.27%3.68%13.53%22.33%5.61%10.20%22.86%-1.23%
7 years8.51%12.43%4.22%13.27%19.21%6.26%10.62%17.14%2.58%
10 years8.48%10.44%7.24%13.20%16.15%11.38%10.63%16.55%6.36%
15 years9.18%9.93%8.72%14.06%15.27%13.28%9.50%10.82%7.50%