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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Dec 2004 - Feb 2021)

Note: The time period was constrained by the available data for SPDR Gold Shares (GLD) [Dec 2004 - Feb 2021].
Note: The month-to-date results for the current month are not available under the free tier.

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
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

Trailing Returns

Trailing Returns
Name	Annualized Return							Annualized Volatility
Name	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.

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 February
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
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)
Year	Inflation	Return	Balance	Return	Balance	Return	Balance	SPDR S&P 500 ETF Trust (SPY)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)	Cash (CASHX)
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

Monthly returns for the configured portfolios
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%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
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%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

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.

Portfolio return and risk metrics
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.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
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%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
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

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
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

Drawdowns for SPDR S&P 500 ETF Trust

Drawdowns for SPDR S&P 500 ETF Trust (worst 10)
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

Portfolio Assets

Performance statistics for portfolio components
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

Monthly Correlations

Correlations for the portfolio assets
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

Portfolio Return Decomposition

Portfolio return decomposition
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

Portfolio Risk Decomposition

Portfolio risk decomposition
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%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			SPDR S&P 500 ETF Trust
Roll Period	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%