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 Analysis Results (Apr 2017 - Dec 2021)

Portfolio Allocations

Risk Parity Ultimate With 6% Annual Distribution
Ticker Name Allocation
VUG Vanguard Growth ETF 12.50%
VIOV Vanguard S&P Small-Cap 600 Value ETF 12.50%
USMV iShares MSCI USA Min Vol Factor ETF 5.00%
KBA KraneShares Bosera MSCIChinaA50CntIdETF 5.00%
UPRO ProShares UltraPro S&P500 5.00%
TLT iShares 20+ Year Treasury Bond ETF 15.00%
TMF Direxion Daily 20+ Yr Trsy Bull 3X ETF 5.00%
GLD SPDR Gold Shares 15.00%
PFF iShares Preferred&Income Securities ETF 10.00%
REET iShares Global REIT ETF 5.00%
COM Direxion Auspice Broad Cmdty Strat ETF 5.00%
VIXY ProShares VIX Short-Term Futures 3.00%
GBTC Grayscale Bitcoin Trust (BTC) 2.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioMarket Correlation
Risk Parity Ultimate With 6% Annual Distribution$10,000$18,861 14.29% 19.45%19.75%11.79%41.74%-5.97%-7.52%
(-11.44%)
1.483.840.55
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 yearFull3 year
Risk Parity Ultimate With 6% Annual Distribution7.19%12.78%12.78%20.41%19.45%9.51%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
  • Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
  • A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
  • Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
  • The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
  • The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
  • Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
  • Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
  • Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
  • Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
  • Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
  • Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
  • Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
  • Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
  • Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
  • Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
  • Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
  • A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
  • Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
  • Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
  • Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
  • Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
  • Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
  • Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
  • Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
  • Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
  • All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
  • Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
  • Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
  • The annual results for 2017 are based on monthly returns from April to December.
  • Drawdown analysis is calculated based on monthly returns excluding cashflows.
  • The results assume annual rebalancing of portfolio assets to match the specified allocation.
  • Inflation adjusted monthly withdrawal of $50.00 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationRisk Parity Ultimate With 6% Annual DistributionVanguard Growth ETF (VUG)Vanguard S&P Small-Cap 600 Value ETF (VIOV)iShares MSCI USA Min Vol Factor ETF (USMV)KraneShares Bosera MSCIChinaA50CntIdETF (KBA)ProShares UltraPro S&P500 (UPRO)iShares 20+ Year Treasury Bond ETF (TLT)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)SPDR Gold Shares (GLD)iShares Preferred&Income Securities ETF (PFF)iShares Global REIT ETF (REET)Direxion Auspice Broad Cmdty Strat ETF (COM)ProShares VIX Short-Term Futures (VIXY)Grayscale Bitcoin Trust (BTC) (GBTC)
ReturnBalanceCashflow
20171.12%41.74%$13,619-$45316.67%11.99%12.19%21.04%45.97%7.31%18.60%4.15%2.90%6.02%-1.85%-56.06%1,636.28%
20181.91%-5.97%$12,216-$618-3.31%-12.84%1.36%-26.31%-25.15%-1.61%-11.01%-1.94%-4.63%-5.26%-0.04%66.78%-82.10%
20192.29%25.39%$14,644-$62937.03%24.43%27.69%35.44%102.31%14.12%34.74%17.86%15.92%24.39%-0.17%-67.81%106.56%
20201.36%23.45%$17,356-$63740.22%2.79%5.64%41.63%10.08%18.15%41.60%24.81%7.44%-10.56%6.63%10.54%290.72%
20217.04%12.78%$18,861-$66727.34%30.63%20.84%3.31%98.56%-4.60%-19.81%-4.15%7.13%32.42%27.85%-72.40%7.03%
Annual return for 2017 is from 04/01/2017 to 12/31/2017
Monthly returns for the configured portfolios
YearMonthRisk Parity Ultimate With 6% Annual Distribution ReturnRisk Parity Ultimate With 6% Annual Distribution BalanceVanguard Growth ETF (VUG)Vanguard S&P Small-Cap 600 Value ETF (VIOV)iShares MSCI USA Min Vol Factor ETF (USMV)KraneShares Bosera MSCIChinaA50CntIdETF (KBA)ProShares UltraPro S&P500 (UPRO)iShares 20+ Year Treasury Bond ETF (TLT)Direxion Daily 20+ Yr Trsy Bull 3X ETF (TMF)SPDR Gold Shares (GLD)iShares Preferred&Income Securities ETF (PFF)iShares Global REIT ETF (REET)Direxion Auspice Broad Cmdty Strat ETF (COM)ProShares VIX Short-Term Futures (VIXY)Grayscale Bitcoin Trust (BTC) (GBTC)
201741.47%$10,0972.28%0.57%1.40%-1.95%2.77%1.57%4.43%1.73%1.30%0.47%-1.68%-5.01%18.59%
201756.64%$10,7172.80%-2.30%2.00%2.31%3.70%1.89%5.17%-0.12%0.55%0.04%-0.28%-10.15%251.53%
20176-0.98%$10,562-0.42%3.43%-0.35%6.45%1.51%0.79%1.98%-2.16%0.80%0.98%-1.84%-5.43%-19.43%
201771.37%$10,6562.54%0.55%2.02%4.37%5.87%-0.66%-2.43%2.31%0.66%1.96%-1.66%-12.32%7.69%
2017810.99%$11,7781.17%-2.95%0.76%4.00%0.21%3.41%10.13%4.20%-0.06%-0.27%0.83%3.17%139.29%
20179-4.55%$11,1921.03%8.61%0.52%-0.33%5.69%-2.32%-7.29%-3.37%-0.16%-0.31%-1.82%-15.42%-30.15%
2017102.56%$11,4282.89%0.62%1.95%3.28%6.83%-0.04%-0.53%-0.75%-0.37%-1.09%1.66%-13.43%18.00%
20171111.76%$12,7212.42%3.57%3.08%-0.17%8.87%0.74%1.73%0.36%0.68%2.84%0.10%-5.79%83.62%
2017127.45%$13,6190.87%-0.23%0.24%1.63%3.45%1.81%5.04%2.11%-0.52%1.29%2.94%-12.74%32.54%
201811.67%$13,7956.83%1.54%3.49%11.00%18.22%-3.26%-9.77%3.23%-1.18%-1.53%1.05%7.13%-29.63%
20182-2.09%$13,455-2.92%-3.63%-4.25%-7.53%-13.53%-3.04%-9.57%-2.08%0.27%-6.58%-1.77%47.94%14.37%
20183-0.02%$13,402-2.48%0.86%-0.25%-1.30%-8.69%2.86%8.44%0.63%0.54%3.42%0.29%6.70%-41.17%
20184-0.73%$13,2520.27%1.81%0.21%-4.36%-0.14%-2.09%-6.71%-0.95%-0.70%0.98%2.74%-12.31%51.10%
201851.52%$13,4024.39%5.71%1.00%0.51%6.46%2.01%5.27%-1.20%0.81%2.34%2.95%-10.98%-22.52%
20186-0.71%$13,2551.15%0.86%1.70%-10.97%1.29%0.65%1.49%-3.61%1.76%2.39%-3.12%-0.13%-30.54%
201870.28%$13,2412.51%2.58%3.29%-0.64%10.73%-1.44%-4.70%-2.24%0.19%0.90%0.54%-15.20%22.16%
201881.36%$13,3704.67%3.05%3.06%-6.40%9.09%1.31%3.36%-2.14%1.41%1.58%-0.10%-7.50%-8.83%
20189-1.58%$13,1060.48%-3.07%1.25%4.18%1.20%-2.86%-8.77%-0.66%-1.71%-2.12%0.57%-8.35%-16.42%
201810-4.53%$12,460-9.07%-9.96%-4.05%-9.78%-20.78%-2.93%-9.11%2.12%-2.24%-3.37%-2.11%41.07%-15.11%
2018110.46%$12,4660.57%0.72%3.23%0.65%4.28%1.79%4.76%0.34%-2.23%3.78%-1.21%-8.34%-25.96%
201812-1.59%$12,216-8.41%-12.45%-6.68%-3.39%-26.25%5.85%17.93%4.94%-1.53%-6.45%0.34%36.09%-20.54%
201915.74%$12,8669.20%12.37%5.65%11.20%23.89%0.38%0.41%2.89%5.64%11.40%1.75%-24.50%0.63%
201921.95%$13,0653.69%4.24%3.83%12.06%9.28%-1.38%-4.52%-0.61%0.58%0.31%-0.27%-11.42%11.78%
201932.15%$13,2943.13%-3.99%2.72%4.63%4.85%5.57%17.00%-1.60%1.46%3.13%-1.12%-6.97%7.17%
201942.05%$13,5144.71%4.39%2.18%0.53%11.81%-1.99%-6.56%-0.66%0.68%-0.67%0.05%-12.07%38.28%
201950.08%$13,472-6.34%-10.01%-1.61%-9.54%-18.89%6.84%21.11%1.76%0.25%-0.34%-4.66%18.70%67.32%
201966.83%$14,3396.78%7.68%4.98%6.76%21.37%0.95%1.90%8.00%1.31%1.85%2.50%-14.64%36.80%
201970.21%$14,3162.30%1.31%1.67%-0.74%3.80%0.26%0.32%0.01%1.80%0.37%-0.36%-9.35%-9.85%
201982.88%$14,676-0.57%-5.29%1.59%-2.83%-6.62%11.04%35.11%7.91%0.60%2.73%0.99%14.02%-14.08%
20199-0.91%$14,4890.29%5.74%0.98%0.33%5.30%-2.68%-9.07%-3.39%0.75%3.06%-0.92%-11.75%-9.64%
2019101.19%$14,6082.59%1.83%-0.23%3.00%5.70%-1.11%-4.11%2.56%0.43%2.17%1.14%-16.70%5.00%
2019110.03%$14,5603.99%2.79%1.39%-0.91%10.73%-0.41%-2.01%-3.21%-0.44%-1.15%-0.77%-16.67%-13.94%
2019120.94%$14,6442.98%2.98%1.77%8.34%8.38%-3.20%-10.05%3.66%1.92%-0.24%1.70%-8.27%-14.42%
202013.08%$15,0423.13%-6.39%2.35%-9.47%-0.91%7.69%23.80%4.50%1.52%0.80%-4.24%7.56%33.09%
20202-1.11%$14,822-6.47%-10.14%-8.74%7.75%-23.04%6.63%17.91%-0.64%-4.87%-8.05%-2.62%40.91%-9.63%
20203-3.22%$14,291-10.61%-25.79%-11.31%-7.32%-48.13%6.38%11.91%-0.22%-11.90%-24.13%-3.89%101.33%-27.72%
202045.73%$15,05815.08%14.00%9.37%3.76%37.17%1.22%2.68%7.26%9.45%6.32%0.76%-18.09%38.62%
202050.80%$15,1267.06%2.60%4.32%1.01%13.38%-1.76%-6.48%2.59%1.92%0.74%0.35%-12.13%10.33%
202061.78%$15,3434.90%3.66%-1.11%9.77%3.23%0.34%0.54%2.74%-0.95%2.66%0.05%1.68%-11.80%
202076.62%$16,3077.56%2.46%4.57%14.85%17.70%4.44%13.13%10.79%4.95%3.21%4.00%-15.56%33.42%
202080.98%$16,41410.09%5.15%2.73%4.82%22.05%-5.05%-14.89%-0.32%1.90%1.44%3.33%-6.27%5.58%
20209-3.30%$15,818-4.72%-5.16%-1.66%-3.38%-12.26%0.77%2.15%-4.17%-0.25%-2.89%-0.00%-7.10%-18.92%
202010-0.60%$15,670-3.01%3.59%-3.25%3.47%-8.48%-3.39%-10.35%-0.52%-0.20%-3.09%0.33%6.47%40.20%
2020115.65%$16,50210.37%19.19%8.09%5.63%35.20%1.66%4.24%-5.41%4.61%12.76%2.67%-35.25%50.81%
2020125.50%$17,3564.16%7.67%2.31%7.09%11.14%-1.23%-2.32%7.01%2.63%4.13%6.25%-2.35%37.97%
20211-0.18%$17,271-1.01%6.38%-2.73%3.57%-3.71%-3.63%-10.84%-3.22%-1.71%-0.42%2.23%25.91%8.41%
20212-0.53%$17,1260.85%10.62%-0.38%-1.26%7.74%-5.73%-16.79%-6.26%-0.88%4.07%8.46%-24.57%24.53%
202130.33%$17,1271.80%5.63%5.61%-5.73%13.33%-5.24%-15.40%-1.14%3.17%3.69%-1.41%-28.35%15.83%
202143.90%$17,7406.91%1.73%3.99%3.30%16.17%2.49%6.35%3.56%1.18%6.87%6.91%-11.98%-6.37%
202150.84%$17,834-1.43%3.87%0.88%6.72%1.36%0.00%-0.34%7.68%0.79%1.18%1.05%-13.85%-35.50%
202161.15%$17,9846.02%-0.64%1.71%-1.91%6.59%4.42%13.37%-7.15%1.67%1.39%1.75%-15.09%-1.36%
202172.01%$18,2893.18%-4.51%3.55%-6.08%6.93%3.72%10.92%2.53%0.60%4.11%1.49%2.87%16.52%
202181.60%$18,5273.67%1.97%1.88%0.49%8.97%-0.34%-1.36%-0.08%0.33%1.56%0.91%-15.83%8.74%
20219-3.85%$17,757-5.32%-1.46%-4.99%1.31%-13.94%-2.91%-9.24%-3.22%-1.12%-5.89%2.13%9.35%-10.38%
2021105.65%$18,7048.26%2.80%5.51%1.75%21.90%2.46%7.08%1.48%1.83%6.71%3.41%-23.29%46.79%
202111-0.66%$18,5240.71%-2.55%-2.05%0.21%-2.71%2.77%7.39%-0.69%-2.10%-1.50%-4.82%18.35%-6.98%
2021122.13%$18,8611.57%4.13%6.84%1.65%13.13%-2.01%-6.88%3.30%3.32%7.47%3.37%-26.71%-25.90%
* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryRisk Parity Ultimate With 6% Annual Distribution
Large-cap Value0.00%
Large-cap Growth30.25%
Mid-cap Value10.30%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets5.48%
Emerging Markets10.70%
Corporate Bonds6.68%
Long-Term Treasuries36.59%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared84.46%
Style analysis is based on monthly returns from April 2017 to December 2021 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 Risk Parity Ultimate With 6% Annual Distribution

Holdings Based Style Analysis for Risk Parity Ultimate With 6% Annual Distribution
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
VUGVanguard Growth ETFLarge Growth12.50%0.54%0.58%0.04%0.04%28.57$2,01015.06%
VIOVVanguard S&P Small-Cap 600 Value ETFSmall Value12.50%1.54%1.67%0.15%0.15%12.40$1,00112.31%
USMViShares MSCI USA Min Vol Factor ETFLarge Blend5.00%1.37%1.39%0.15%0.15%24.52$4524.51%
KBAKraneShares Bosera MSCIChinaA50CntIdETFChina Region5.00%1.30%0.59%0.79%14.34$4664.65%
UPROProShares UltraPro S&P500Leveraged Equity5.00%0.14%0.91%0.91%$1,57716.80%
TLTiShares 20+ Year Treasury Bond ETFLong Government15.00%2.85%1.90%0.15%0.15%18.91$6065.37%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETFLeveraged Debt5.00%0.26%1.06%1.06%$3615.77%
GLDSPDR Gold SharesCommodities Focused15.00%0.40%0.40%$76810.58%
PFFiShares Preferred&Income Securities ETFPreferred Stock10.00%4.74%4.91%0.46%0.46%$3855.33%
REETiShares Global REIT ETFReal Estate5.00%2.49%3.14%0.14%0.14%21.14$3395.33%
COMDirexion Auspice Broad Cmdty Strat ETFCommodities Broad Basket5.00%10.42%0.72%0.72%$2731.95%
VIXYProShares VIX Short-Term FuturesMiscellaneous3.00%0.87%0.87%-$456-11.12%
GBTCGrayscale Bitcoin Trust (BTC)Digital Assets2.00%2.00%2.00%$4,08323.47%
100.00%1.35%1.89%0.40%0.41%20.3018.91$11,865100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/18/2022. (c) 2022 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
MetricRisk Parity Ultimate With 6% Annual Distribution
Arithmetic Mean (monthly)1.55%
Arithmetic Mean (annualized)20.23%
Geometric Mean (monthly)1.49%
Geometric Mean (annualized)19.45%
Standard Deviation (monthly)3.40%
Standard Deviation (annualized)11.79%
Downside Deviation (monthly)1.27%
Maximum Drawdown-7.52%
Stock Market Correlation0.55
Beta(*)0.40
Alpha (annualized)11.63%
R229.94%
Sharpe Ratio1.48
Sortino Ratio3.84
Treynor Ratio (%)44.17
Calmar Ratio4.75
Active Return1.96%
Tracking Error13.95%
Information Ratio0.14
Skewness0.86
Excess Kurtosis1.12
Historical Value-at-Risk (5%)-3.41%
Analytical Value-at-Risk (5%)-3.39%
Conditional Value-at-Risk (5%)-4.31%
Upside Capture Ratio (%)66.03
Downside Capture Ratio (%)24.24
Safe Withdrawal Rate31.98%
Perpetual Withdrawal Rate13.24%
Positive Periods39 out of 57 (68.42%)
Gain/Loss Ratio1.77
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndRisk Parity Ultimate With 6% Annual Distribution
COVID-19 StartJan 2020Mar 2020-4.30%

Drawdowns for Risk Parity Ultimate With 6% Annual Distribution

Drawdowns for Risk Parity Ultimate With 6% Annual Distribution
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-7.52%
2Sep 2017Sep 20171 monthNov 20172 months3 months-4.55%
3Feb 2020Mar 20202 monthsApr 20201 month3 months-4.30%
4Sep 2020Oct 20202 monthsNov 20201 month3 months-3.88%
5Sep 2021Sep 20211 monthOct 20211 month2 months-3.85%
6Jun 2017Jun 20171 monthJul 20171 month2 months-0.98%
7Sep 2019Sep 20191 monthOct 20191 month2 months-0.91%
8Jan 2021Feb 20212 monthsApr 20212 months4 months-0.71%
9Nov 2021Nov 20211 monthDec 20211 month2 months-0.66%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax DrawdownSharpe RatioSortino RatioMarket Correlation
VUGVanguard Growth ETF23.83%16.95%40.22%-3.31%-16.39%1.292.270.95
VIOVVanguard S&P Small-Cap 600 Value ETF10.85%23.66%30.63%-12.84%-40.22%0.510.720.87
USMViShares MSCI USA Min Vol Factor ETF13.87%12.96%27.69%1.36%-19.06%0.981.490.91
KBAKraneShares Bosera MSCIChinaA50CntIdETF12.74%19.86%41.63%-26.31%-33.61%0.651.060.47
UPROProShares UltraPro S&P50039.32%49.87%102.31%-25.15%-60.44%0.921.400.99
TLTiShares 20+ Year Treasury Bond ETF6.66%12.05%18.15%-4.60%-20.09%0.510.91-0.30
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF10.62%36.06%41.60%-19.81%-50.20%0.420.75-0.27
GLDSPDR Gold Shares7.98%12.89%24.81%-4.15%-13.74%0.571.040.11
PFFiShares Preferred&Income Securities ETF5.84%9.42%15.92%-4.63%-16.20%0.530.770.78
REETiShares Global REIT ETF8.60%17.52%32.42%-10.56%-30.66%0.500.670.80
COMDirexion Auspice Broad Cmdty Strat ETF6.27%9.05%27.85%-1.85%-15.06%0.591.030.49
VIXYProShares VIX Short-Term Futures-42.53%77.28%66.78%-72.40%-92.80%-0.40-0.71-0.82
GBTCGrayscale Bitcoin Trust (BTC)99.90%158.96%1,636.28%-82.10%-82.10%0.922.990.16

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 yearNetGross
Vanguard Growth ETF10.75%27.34%27.34%34.75%0.04%0.04%
Vanguard S&P Small-Cap 600 Value ETF4.31%30.63%30.63%18.66%0.15%0.15%
iShares MSCI USA Min Vol Factor ETF10.42%20.84%20.84%17.69%0.15%0.15%
KraneShares Bosera MSCIChinaA50CntIdETF3.65%3.31%3.31%25.61%0.59%0.79%
ProShares UltraPro S&P50034.17%98.56%98.56%64.14%0.91%0.91%
iShares 20+ Year Treasury Bond ETF3.18%-4.60%-4.60%8.75%0.15%0.15%
Direxion Daily 20+ Yr Trsy Bull 3X ETF7.09%-19.81%-19.81%15.23%1.06%1.06%
SPDR Gold Shares4.10%-4.15%-4.15%12.13%0.40%0.40%
iShares Preferred&Income Securities ETF3.01%7.13%7.13%10.09%0.46%0.46%
iShares Global REIT ETF12.96%32.42%32.42%13.79%0.14%0.14%
Direxion Auspice Broad Cmdty Strat ETF1.74%27.85%27.85%10.82%0.72%0.72%
ProShares VIX Short-Term Futures-33.46%-72.40%-72.40%-53.86%0.87%0.87%
Grayscale Bitcoin Trust (BTC)1.18%7.03%7.03%105.18%2.00%2.00%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameVUGVIOVUSMVKBAUPROTLTTMFGLDPFFREETCOMVIXYGBTCRisk Parity Ultimate With 6% Annual Distribution
VUGVanguard Growth ETF1.000.730.860.460.95-0.14-0.120.170.730.700.42-0.700.190.58
VIOVVanguard S&P Small-Cap 600 Value ETF0.731.000.710.450.85-0.51-0.47-0.070.720.770.50-0.790.070.34
USMViShares MSCI USA Min Vol Factor ETF0.860.711.000.290.92-0.14-0.100.220.820.840.36-0.820.190.57
KBAKraneShares Bosera MSCIChinaA50CntIdETF0.460.450.291.000.47-0.17-0.160.310.260.280.41-0.350.050.39
UPROProShares UltraPro S&P5000.950.850.920.471.00-0.30-0.270.130.790.820.48-0.840.170.55
TLTiShares 20+ Year Treasury Bond ETF-0.14-0.51-0.14-0.17-0.301.000.990.32-0.12-0.11-0.290.320.080.24
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF-0.12-0.47-0.10-0.16-0.270.991.000.33-0.07-0.05-0.270.270.100.26
GLDSPDR Gold Shares0.17-0.070.220.310.130.320.331.000.260.120.140.040.090.45
PFFiShares Preferred&Income Securities ETF0.730.720.820.260.79-0.12-0.070.261.000.810.32-0.730.180.47
REETiShares Global REIT ETF0.700.770.840.280.82-0.11-0.050.120.811.000.45-0.830.130.50
COMDirexion Auspice Broad Cmdty Strat ETF0.420.500.360.410.48-0.29-0.270.140.320.451.00-0.460.080.36
VIXYProShares VIX Short-Term Futures-0.70-0.79-0.82-0.35-0.840.320.270.04-0.73-0.83-0.461.00-0.16-0.39
GBTCGrayscale Bitcoin Trust (BTC)0.190.070.190.050.170.080.100.090.180.130.08-0.161.000.61

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameRisk Parity Ultimate With 6% Annual Distribution
VUGVanguard Growth ETF$2,010
VIOVVanguard S&P Small-Cap 600 Value ETF$1,001
USMViShares MSCI USA Min Vol Factor ETF$452
KBAKraneShares Bosera MSCIChinaA50CntIdETF$466
UPROProShares UltraPro S&P500$1,577
TLTiShares 20+ Year Treasury Bond ETF$606
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF$361
GLDSPDR Gold Shares$768
PFFiShares Preferred&Income Securities ETF$385
REETiShares Global REIT ETF$339
COMDirexion Auspice Broad Cmdty Strat ETF$273
VIXYProShares VIX Short-Term Futures-$456
GBTCGrayscale Bitcoin Trust (BTC)$4,083
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameRisk Parity Ultimate With 6% Annual Distribution
VUGVanguard Growth ETF15.06%
VIOVVanguard S&P Small-Cap 600 Value ETF12.31%
USMViShares MSCI USA Min Vol Factor ETF4.51%
KBAKraneShares Bosera MSCIChinaA50CntIdETF4.65%
UPROProShares UltraPro S&P50016.80%
TLTiShares 20+ Year Treasury Bond ETF5.37%
TMFDirexion Daily 20+ Yr Trsy Bull 3X ETF5.77%
GLDSPDR Gold Shares10.58%
PFFiShares Preferred&Income Securities ETF5.33%
REETiShares Global REIT ETF5.33%
COMDirexion Auspice Broad Cmdty Strat ETF1.95%
VIXYProShares VIX Short-Term Futures-11.12%
GBTCGrayscale Bitcoin Trust (BTC)23.47%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns