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.
Note: The time period was constrained by the available data for iMGP DBi Managed Futures Strategy ETF (DBMF) [Jun 2019 - Oct 2022]. Note: The month-to-date results for the current month are not available under the free tier.
* The number in parentheses shows the calculated value taking into account the percentage based periodic withdrawals.
Trailing Returns
Trailing Returns
Name
Total Return
Annualized Return
Annualized Standard Deviation
3 Month
Year To Date
1 year
3 year
Full
3 year
Risk Parity Ultimate With 6% Annual Distribution
-9.36%
-21.88%
-20.78%
4.40%
7.12%
12.81%
Trailing return and volatility are as of last full calendar month ending October 2022
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.
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 2019 are based on monthly returns from June to December.
The annual results for 2022 are based on monthly returns from January to October.
Drawdown analysis is calculated based on monthly returns excluding cashflows.
The results assume annual rebalancing of portfolio assets to match the specified allocation.
Monthly withdrawal of 0.50% of portfolio balance is reflected in the CAGR and maximum drawdown shown above.
Portfolio cashflows and rebalancing for quarterly and annual periods are based on the start month of the portfolio simulation.
Annual returns for the configured portfolios
Year
Inflation
Risk Parity Ultimate With 6% Annual Distribution
Vanguard 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)
iMGP DBi Managed Futures Strategy ETF (DBMF)
ProShares VIX Mid-Term Futures (VIXM)
Grayscale Bitcoin Trust (BTC) (GBTC)
Return
Balance
Cashflow
2019
0.34%
12.94%
$10,904
-$379
19.66%
17.76%
12.73%
14.24%
57.15%
4.27%
6.15%
15.87%
6.53%
9.05%
4.30%
9.19%
-6.95%
-25.95%
2020
1.36%
26.03%
$12,940
-$687
40.22%
2.79%
5.64%
41.63%
10.08%
18.15%
41.60%
24.81%
7.44%
-10.56%
6.63%
1.73%
72.38%
290.72%
2021
7.04%
16.70%
$14,220
-$827
27.34%
30.63%
20.84%
3.31%
98.56%
-4.60%
-19.81%
-4.15%
7.13%
32.42%
27.85%
11.38%
-16.70%
7.03%
2022
6.89%
-24.71%
$10,183
-$594
-30.28%
-8.42%
-10.98%
-38.46%
-54.14%
-34.10%
-75.10%
-11.14%
-19.74%
-26.08%
7.59%
32.84%
8.37%
-64.96%
Annual return for 2019 is from 06/01/2019 to 12/31/2019 and annual return for 2022 is from 01/01/2022 to 10/31/2022
Monthly returns for the configured portfolios
Year
Month
Risk Parity Ultimate With 6% Annual Distribution Return
Risk Parity Ultimate With 6% Annual Distribution Balance
Vanguard 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)
iMGP DBi Managed Futures Strategy ETF (DBMF)
ProShares VIX Mid-Term Futures (VIXM)
Grayscale Bitcoin Trust (BTC) (GBTC)
2019
6
5.82%
$10,529
6.78%
7.68%
4.98%
6.76%
21.37%
0.95%
1.90%
8.00%
1.31%
1.85%
2.50%
1.34%
-5.46%
36.80%
2019
7
0.72%
$10,552
2.30%
1.31%
1.67%
-0.74%
3.80%
0.26%
0.32%
0.01%
1.80%
0.37%
-0.36%
2.19%
0.28%
-9.85%
2019
8
3.74%
$10,892
-0.57%
-5.29%
1.59%
-2.83%
-6.62%
11.04%
35.11%
7.91%
0.60%
2.73%
0.99%
7.48%
8.81%
-14.08%
2019
9
-0.58%
$10,775
0.29%
5.74%
0.98%
0.33%
5.30%
-2.68%
-9.07%
-3.39%
0.75%
3.06%
-0.92%
-1.53%
0.30%
-9.64%
2019
10
1.10%
$10,839
2.59%
1.83%
-0.23%
3.00%
5.70%
-1.11%
-4.11%
2.56%
0.43%
2.17%
1.14%
-1.13%
-3.55%
5.00%
2019
11
0.42%
$10,831
3.99%
2.79%
1.39%
-0.91%
10.73%
-0.41%
-2.01%
-3.21%
-0.44%
-1.15%
-0.77%
0.73%
-3.15%
-13.94%
2019
12
1.19%
$10,904
2.98%
2.98%
1.77%
8.34%
8.38%
-3.20%
-10.05%
3.66%
1.92%
-0.24%
1.70%
0.04%
-3.71%
-14.42%
2020
1
2.41%
$11,112
3.13%
-6.39%
2.35%
-9.47%
-0.91%
7.69%
23.80%
4.50%
1.52%
0.80%
-4.24%
1.00%
-0.66%
33.09%
2020
2
-2.54%
$10,775
-6.47%
-10.14%
-8.74%
7.75%
-23.04%
6.63%
17.91%
-0.64%
-4.87%
-8.05%
-2.62%
-2.11%
11.58%
-9.63%
2020
3
-6.29%
$10,048
-10.61%
-25.79%
-11.31%
-7.32%
-48.13%
6.38%
11.91%
-0.22%
-11.90%
-24.13%
-3.89%
1.23%
62.89%
-27.72%
2020
4
7.75%
$10,772
15.08%
14.00%
9.37%
3.76%
37.17%
1.22%
2.68%
7.26%
9.45%
6.32%
0.76%
2.22%
1.35%
38.62%
2020
5
1.74%
$10,904
7.06%
2.60%
4.32%
1.01%
13.38%
-1.76%
-6.48%
2.59%
1.92%
0.74%
0.35%
-3.09%
1.54%
10.33%
2020
6
1.96%
$11,063
4.90%
3.66%
-1.11%
9.77%
3.23%
0.34%
0.54%
2.74%
-0.95%
2.66%
0.05%
-1.87%
1.72%
-11.80%
2020
7
7.44%
$11,827
7.56%
2.46%
4.57%
14.85%
17.70%
4.44%
13.13%
10.79%
4.95%
3.21%
4.00%
3.56%
-1.39%
33.42%
2020
8
2.44%
$12,055
10.09%
5.15%
2.73%
4.82%
22.05%
-5.05%
-14.89%
-0.32%
1.90%
1.44%
3.33%
-0.64%
1.06%
5.58%
2020
9
-3.48%
$11,577
-4.72%
-5.16%
-1.66%
-3.38%
-12.26%
0.77%
2.15%
-4.17%
-0.25%
-2.89%
-0.00%
-3.01%
1.45%
-18.92%
2020
10
-0.81%
$11,425
-3.01%
3.59%
-3.25%
3.47%
-8.48%
-3.39%
-10.35%
-0.52%
-0.20%
-3.09%
0.33%
-0.01%
1.30%
40.20%
2020
11
8.04%
$12,283
10.37%
19.19%
8.09%
5.63%
35.20%
1.66%
4.24%
-5.41%
4.61%
12.76%
2.67%
0.73%
-13.08%
50.81%
2020
12
5.88%
$12,940
4.16%
7.67%
2.31%
7.09%
11.14%
-1.23%
-2.32%
7.01%
2.63%
4.13%
6.25%
4.01%
2.46%
37.97%
2021
1
0.11%
$12,889
-1.01%
6.38%
-2.73%
3.57%
-3.71%
-3.63%
-10.84%
-3.22%
-1.71%
-0.42%
2.23%
-0.12%
15.94%
8.41%
2021
2
2.11%
$13,095
0.85%
10.62%
-0.38%
-1.26%
7.74%
-5.73%
-16.79%
-6.26%
-0.88%
4.07%
8.46%
4.44%
-2.94%
24.53%
2021
3
1.94%
$13,282
1.80%
5.63%
5.61%
-5.73%
13.33%
-5.24%
-15.40%
-1.14%
3.17%
3.69%
-1.41%
2.92%
-15.11%
15.83%
2021
4
4.02%
$13,746
6.91%
1.73%
3.99%
3.30%
16.17%
2.49%
6.35%
3.56%
1.18%
6.87%
6.91%
2.24%
-2.57%
-6.37%
2021
5
-0.27%
$13,641
-1.43%
3.87%
0.88%
6.72%
1.36%
0.00%
-0.34%
7.68%
0.79%
1.18%
1.05%
2.89%
-5.94%
-35.50%
2021
6
1.25%
$13,742
6.02%
-0.64%
1.71%
-1.91%
6.59%
4.42%
13.37%
-7.15%
1.67%
1.39%
1.75%
-1.30%
-4.95%
-1.36%
2021
7
2.42%
$14,005
3.18%
-4.51%
3.55%
-6.08%
6.93%
3.72%
10.92%
2.53%
0.60%
4.11%
1.49%
0.74%
3.77%
16.52%
2021
8
1.28%
$14,113
3.67%
1.97%
1.88%
0.49%
8.97%
-0.34%
-1.36%
-0.08%
0.33%
1.56%
0.91%
-2.64%
-3.60%
8.74%
2021
9
-3.69%
$13,524
-5.32%
-1.46%
-4.99%
1.31%
-13.94%
-2.91%
-9.24%
-3.22%
-1.12%
-5.89%
2.13%
-0.14%
5.76%
-10.38%
2021
10
5.59%
$14,209
8.26%
2.80%
5.51%
1.75%
21.90%
2.46%
7.08%
1.48%
1.83%
6.71%
3.41%
4.17%
-5.88%
46.79%
2021
11
-0.25%
$14,102
0.71%
-2.55%
-2.05%
0.21%
-2.71%
2.77%
7.39%
-0.69%
-2.10%
-1.50%
-4.82%
-2.37%
7.99%
-6.98%
2021
12
1.34%
$14,220
1.57%
4.13%
6.84%
1.65%
13.13%
-2.01%
-6.88%
3.30%
3.32%
7.47%
3.37%
0.32%
-6.91%
-25.90%
2022
1
-5.81%
$13,327
-9.41%
-4.40%
-5.98%
-7.00%
-15.89%
-3.91%
-11.80%
-1.68%
-4.51%
-6.44%
3.63%
0.40%
-0.13%
-23.39%
2022
2
-0.20%
$13,234
-4.59%
2.43%
-3.06%
0.69%
-9.85%
-1.63%
-5.48%
6.12%
-3.03%
-2.48%
5.46%
3.11%
5.11%
12.00%
2022
3
0.44%
$13,226
3.80%
0.45%
5.58%
-9.89%
10.07%
-5.45%
-16.51%
1.27%
0.39%
5.07%
5.64%
7.07%
-1.84%
3.91%
2022
4
-7.13%
$12,221
-12.88%
-6.31%
-5.34%
-7.59%
-25.41%
-9.42%
-26.62%
-2.07%
-6.43%
-5.17%
1.48%
10.59%
11.40%
-13.62%
2022
5
-1.81%
$11,941
-2.69%
2.31%
0.04%
1.83%
-2.13%
-2.25%
-7.94%
-3.26%
2.73%
-4.44%
0.13%
-0.98%
-2.14%
-22.14%
2022
6
-5.16%
$11,268
-8.46%
-9.05%
-4.13%
12.56%
-24.93%
-1.27%
-5.32%
-1.57%
-4.98%
-8.16%
-4.74%
3.48%
3.03%
-41.29%
2022
7
4.13%
$11,674
13.04%
8.69%
5.13%
-9.51%
28.62%
2.43%
6.49%
-2.59%
6.17%
8.44%
-2.73%
-3.58%
-8.68%
22.72%
2022
8
-4.62%
$11,080
-5.00%
-4.19%
-3.16%
-4.64%
-13.33%
-4.56%
-14.51%
-2.94%
-3.80%
-6.56%
0.00%
2.72%
3.34%
-15.27%
2022
9
-8.01%
$10,141
-10.44%
-10.43%
-7.07%
-9.41%
-26.91%
-8.23%
-24.35%
-2.89%
-4.43%
-12.04%
-1.13%
5.77%
6.32%
-9.01%
2022
10
0.92%
$10,183
4.11%
14.49%
7.70%
-11.93%
23.06%
-5.97%
-18.79%
-1.78%
-3.15%
3.95%
0.10%
0.97%
-6.68%
5.17%
* End-of-month balance includes the monthly contribution/withdrawal
Returns Based Style Analysis
Returns Based Style Analysis
Style Category
Risk Parity Ultimate With 6% Annual Distribution
Large-cap Value
5.69%
Large-cap Growth
20.34%
Mid-cap Value
12.30%
Mid-cap Growth
12.37%
Small-cap Value
0.00%
Small-cap Growth
0.00%
Global ex-US Developed Markets
0.00%
Emerging Markets
10.92%
Corporate Bonds
0.00%
Long-Term Treasuries
37.76%
Intermediate-Term Treasuries
0.00%
Short-Term Treasuries
0.63%
R Squared
94.06%
Style analysis is based on monthly returns from June 2019 to October 2022 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
Ticker
Name
Category
Weight
Yield
Expense Ratio
P/E
Duration
Contribution
SEC
TTM
Net
Gross
Return
Risk
VUG
Vanguard Growth ETF
Large Growth
12.50%
0.69%
0.68%
0.04%
0.04%
26.39
$612
18.68%
VIOV
Vanguard S&P Small-Cap 600 Value ETF
Small Value
12.50%
1.75%
1.68%
0.15%
0.15%
11.29
$809
17.13%
USMV
iShares MSCI USA Min Vol Factor ETF
Large Blend
5.00%
1.67%
1.51%
0.15%
0.15%
22.19
$143
4.93%
KBA
KraneShares Bosera MSCIChinaA50CntIdETF
China Region
5.00%
1.61%
0.56%
0.79%
11.91
$73.34
2.90%
UPRO
ProShares UltraPro S&P500
Leveraged Equity
5.00%
0.19%
0.91%
0.91%
$548
19.72%
TLT
iShares 20+ Year Treasury Bond ETF
Long Government
15.00%
4.17%
2.56%
0.15%
0.15%
17.15
-$406
6.34%
TMF
Direxion Daily 20+ Yr Trsy Bull 3X ETF
Leveraged Debt
5.00%
1.11%
1.00%
1.00%
-$440
6.73%
GLD
SPDR Gold Shares
Commodities Focused
15.00%
0.40%
0.40%
$338
7.69%
PFF
iShares Preferred&Income Securities ETF
Preferred Stock
5.00%
6.13%
5.37%
0.45%
0.45%
-$11.34
3.78%
REET
iShares Global REIT ETF
Real Estate
5.00%
3.46%
4.03%
0.14%
0.14%
15.78
$23.61
6.65%
COM
Direxion Auspice Broad Cmdty Strat ETF
Commodities Broad Basket
5.00%
15.66%
0.72%
0.72%
$309
1.40%
DBMF
iMGP DBi Managed Futures Strategy ETF
Systematic Trend
5.00%
4.24%
0.95%
0.95%
24.50
$308
-0.33%
VIXM
ProShares VIX Mid-Term Futures
Miscellaneous
3.00%
0.98%
0.98%
$164
-4.17%
GBTC
Grayscale Bitcoin Trust (BTC)
Digital Assets
2.00%
2.00%
2.00%
$200
8.55%
100.00%
1.49%
2.37%
0.42%
0.43%
18.73
17.15
$2,670
100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors
Fixed Income Credit Quality
Fixed Income Maturity
Fund fundamentals data as of 11/25/2022. (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
Metric
Risk Parity Ultimate With 6% Annual Distribution
Arithmetic Mean (monthly)
0.64%
Arithmetic Mean (annualized)
7.93%
Geometric Mean (monthly)
0.57%
Geometric Mean (annualized)
7.12%
Standard Deviation (monthly)
3.60%
Standard Deviation (annualized)
12.47%
Downside Deviation (monthly)
2.25%
Maximum Drawdown
-22.72%
Stock Market Correlation
0.85
Beta(*)
0.52
Alpha (annualized)
0.86%
R2
72.78%
Sharpe Ratio
0.55
Sortino Ratio
0.86
Treynor Ratio (%)
13.12
Calmar Ratio
0.19
Active Return
-4.41%
Tracking Error
11.69%
Information Ratio
-0.38
Skewness
-0.12
Excess Kurtosis
-0.21
Historical Value-at-Risk (5%)
-5.42%
Analytical Value-at-Risk (5%)
-5.90%
Conditional Value-at-Risk (5%)
-6.60%
Upside Capture Ratio (%)
49.44
Downside Capture Ratio (%)
52.10
Safe Withdrawal Rate
43.83%
Perpetual Withdrawal Rate
2.74%
Positive Periods
27 out of 41 (65.85%)
Gain/Loss Ratio
0.82
* 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 Period
Start
End
Risk Parity Ultimate With 6% Annual Distribution
COVID-19 Start
Jan 2020
Mar 2020
-8.66%
Drawdowns for Risk Parity Ultimate With 6% Annual Distribution
Drawdowns for Risk Parity Ultimate With 6% Annual Distribution
Rank
Start
End
Length
Recovery By
Recovery Time
Underwater Period
Drawdown
1
Jan 2022
Sep 2022
9 months
-22.72%
2
Feb 2020
Mar 2020
2 months
May 2020
2 months
4 months
-6.95%
3
Sep 2020
Oct 2020
2 months
Nov 2020
1 month
3 months
-3.79%
4
Sep 2021
Sep 2021
1 month
Oct 2021
1 month
2 months
-3.71%
5
Nov 2021
Nov 2021
1 month
Dec 2021
1 month
2 months
-0.65%
6
Sep 2019
Sep 2019
1 month
Oct 2019
1 month
2 months
-0.58%
7
Jan 2021
Jan 2021
1 month
Feb 2021
1 month
2 months
-0.40%
Portfolio Assets
Performance statistics for portfolio components
Ticker
Name
CAGR
Stdev
Best Year
Worst Year
Max Drawdown
Sharpe Ratio
Sortino Ratio
Market Correlation
VUG
Vanguard Growth ETF
12.37%
22.65%
40.22%
-30.28%
-33.03%
0.59
0.93
0.95
VIOV
Vanguard S&P Small-Cap 600 Value ETF
11.45%
27.01%
30.63%
-8.42%
-37.58%
0.51
0.74
0.87
USMV
iShares MSCI USA Min Vol Factor ETF
7.52%
16.37%
20.84%
-10.98%
-19.06%
0.48
0.71
0.93
KBA
KraneShares Bosera MSCIChinaA50CntIdETF
0.83%
22.28%
41.63%
-38.46%
-40.18%
0.11
0.16
0.19
UPRO
ProShares UltraPro S&P500
14.22%
61.87%
98.56%
-54.14%
-62.73%
0.53
0.79
0.99
TLT
iShares 20+ Year Treasury Bond ETF
-7.21%
15.03%
18.15%
-34.10%
-41.64%
-0.48
-0.64
0.05
TMF
Direxion Daily 20+ Yr Trsy Bull 3X ETF
-29.69%
44.23%
41.60%
-75.10%
-84.16%
-0.59
-0.78
0.07
GLD
SPDR Gold Shares
6.29%
14.94%
24.81%
-11.14%
-18.08%
0.43
0.77
0.23
PFF
iShares Preferred&Income Securities ETF
-0.46%
12.87%
7.44%
-19.74%
-19.74%
-0.03
-0.04
0.85
REET
iShares Global REIT ETF
-1.35%
22.12%
32.42%
-26.08%
-30.66%
0.02
0.02
0.88
COM
Direxion Auspice Broad Cmdty Strat ETF
13.25%
10.55%
27.85%
4.30%
-10.38%
1.15
2.22
0.36
DBMF
iMGP DBi Managed Futures Strategy ETF
15.65%
10.65%
32.84%
1.73%
-5.09%
1.35
3.39
-0.19
VIXM
ProShares VIX Mid-Term Futures
11.44%
40.43%
72.38%
-16.70%
-28.53%
0.41
1.09
-0.65
GBTC
Grayscale Bitcoin Trust (BTC)
2.42%
81.64%
290.72%
-64.96%
-77.20%
0.40
0.70
0.62
Portfolio Asset Performance
Performance of portfolio assets
Name
Total Return
Annualized Return
Expense Ratio
3 Month
Year To Date
1 year
3 year
Net
Gross
Vanguard Growth ETF
-11.42%
-30.28%
-28.68%
10.06%
0.04%
0.04%
Vanguard S&P Small-Cap 600 Value ETF
-1.74%
-8.42%
-7.07%
9.19%
0.15%
0.15%
iShares MSCI USA Min Vol Factor ETF
-3.07%
-10.98%
-6.84%
5.45%
0.15%
0.15%
KraneShares Bosera MSCIChinaA50CntIdETF
-23.92%
-38.46%
-37.31%
-1.13%
0.56%
0.79%
ProShares UltraPro S&P500
-22.05%
-54.14%
-49.53%
6.35%
0.91%
0.91%
iShares 20+ Year Treasury Bond ETF
-17.64%
-34.10%
-33.64%
-10.53%
0.15%
0.15%
Direxion Daily 20+ Yr Trsy Bull 3X ETF
-47.47%
-75.10%
-75.10%
-37.07%
1.00%
1.00%
SPDR Gold Shares
-7.43%
-11.14%
-8.84%
2.17%
0.40%
0.40%
iShares Preferred&Income Securities ETF
-10.96%
-19.74%
-18.81%
-2.13%
0.45%
0.45%
iShares Global REIT ETF
-14.57%
-26.08%
-21.75%
-4.78%
0.14%
0.14%
Direxion Auspice Broad Cmdty Strat ETF
-1.03%
7.59%
5.86%
13.96%
0.72%
0.72%
iMGP DBi Managed Futures Strategy ETF
9.70%
32.84%
30.10%
14.90%
0.95%
0.95%
ProShares VIX Mid-Term Futures
2.54%
8.37%
8.94%
13.22%
0.98%
0.98%
Grayscale Bitcoin Trust (BTC)
-18.92%
-64.96%
-75.85%
2.57%
2.00%
2.00%
Trailing returns as of last calendar month ending October 2022
Monthly Correlations
Correlations for the portfolio assets
Ticker
Name
VUG
VIOV
USMV
KBA
UPRO
TLT
TMF
GLD
PFF
REET
COM
DBMF
VIXM
GBTC
Risk Parity Ultimate With 6% Annual Distribution
VUG
Vanguard Growth ETF
1.00
0.70
0.86
0.22
0.94
0.26
0.28
0.28
0.83
0.81
0.24
-0.27
-0.52
0.62
0.91
VIOV
Vanguard S&P Small-Cap 600 Value ETF
0.70
1.00
0.75
0.24
0.86
-0.26
-0.22
0.05
0.72
0.82
0.44
-0.13
-0.72
0.55
0.70
USMV
iShares MSCI USA Min Vol Factor ETF
0.86
0.75
1.00
0.06
0.94
0.08
0.11
0.30
0.83
0.88
0.30
-0.03
-0.68
0.52
0.83
KBA
KraneShares Bosera MSCIChinaA50CntIdETF
0.22
0.24
0.06
1.00
0.18
0.17
0.17
0.37
0.27
0.15
0.17
-0.17
-0.13
0.07
0.36
UPRO
ProShares UltraPro S&P500
0.94
0.86
0.94
0.18
1.00
0.04
0.07
0.22
0.86
0.90
0.36
-0.18
-0.70
0.61
0.87
TLT
iShares 20+ Year Treasury Bond ETF
0.26
-0.26
0.08
0.17
0.04
1.00
0.99
0.37
0.16
0.06
-0.27
-0.22
0.22
0.11
0.39
TMF
Direxion Daily 20+ Yr Trsy Bull 3X ETF
0.28
-0.22
0.11
0.17
0.07
0.99
1.00
0.38
0.20
0.12
-0.24
-0.19
0.16
0.14
0.42
GLD
SPDR Gold Shares
0.28
0.05
0.30
0.37
0.22
0.37
0.38
1.00
0.30
0.21
0.20
0.24
-0.01
0.21
0.47
PFF
iShares Preferred&Income Securities ETF
0.83
0.72
0.83
0.27
0.86
0.16
0.20
0.30
1.00
0.81
0.25
-0.18
-0.69
0.53
0.81
REET
iShares Global REIT ETF
0.81
0.82
0.88
0.15
0.90
0.06
0.12
0.21
0.81
1.00
0.44
-0.05
-0.77
0.54
0.83
COM
Direxion Auspice Broad Cmdty Strat ETF
0.24
0.44
0.30
0.17
0.36
-0.27
-0.24
0.20
0.25
0.44
1.00
0.33
-0.28
0.31
0.36
DBMF
iMGP DBi Managed Futures Strategy ETF
-0.27
-0.13
-0.03
-0.17
-0.18
-0.22
-0.19
0.24
-0.18
-0.05
0.33
1.00
0.08
0.03
-0.08
VIXM
ProShares VIX Mid-Term Futures
-0.52
-0.72
-0.68
-0.13
-0.70
0.22
0.16
-0.01
-0.69
-0.77
-0.28
0.08
1.00
-0.32
-0.47
GBTC
Grayscale Bitcoin Trust (BTC)
0.62
0.55
0.52
0.07
0.61
0.11
0.14
0.21
0.53
0.54
0.31
0.03
-0.32
1.00
0.72
Portfolio Return Decomposition
Portfolio return decomposition
Ticker
Name
Risk Parity Ultimate With 6% Annual Distribution
VUG
Vanguard Growth ETF
$612
VIOV
Vanguard S&P Small-Cap 600 Value ETF
$809
USMV
iShares MSCI USA Min Vol Factor ETF
$143
KBA
KraneShares Bosera MSCIChinaA50CntIdETF
$73.34
UPRO
ProShares UltraPro S&P500
$548
TLT
iShares 20+ Year Treasury Bond ETF
-$406
TMF
Direxion Daily 20+ Yr Trsy Bull 3X ETF
-$440
GLD
SPDR Gold Shares
$338
PFF
iShares Preferred&Income Securities ETF
-$11.34
REET
iShares Global REIT ETF
$23.61
COM
Direxion Auspice Broad Cmdty Strat ETF
$309
DBMF
iMGP DBi Managed Futures Strategy ETF
$308
VIXM
ProShares VIX Mid-Term Futures
$164
GBTC
Grayscale Bitcoin Trust (BTC)
$200
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
Ticker
Name
Risk Parity Ultimate With 6% Annual Distribution
VUG
Vanguard Growth ETF
18.68%
VIOV
Vanguard S&P Small-Cap 600 Value ETF
17.13%
USMV
iShares MSCI USA Min Vol Factor ETF
4.93%
KBA
KraneShares Bosera MSCIChinaA50CntIdETF
2.90%
UPRO
ProShares UltraPro S&P500
19.72%
TLT
iShares 20+ Year Treasury Bond ETF
6.34%
TMF
Direxion Daily 20+ Yr Trsy Bull 3X ETF
6.73%
GLD
SPDR Gold Shares
7.69%
PFF
iShares Preferred&Income Securities ETF
3.78%
REET
iShares Global REIT ETF
6.65%
COM
Direxion Auspice Broad Cmdty Strat ETF
1.40%
DBMF
iMGP DBi Managed Futures Strategy ETF
-0.33%
VIXM
ProShares VIX Mid-Term Futures
-4.17%
GBTC
Grayscale Bitcoin Trust (BTC)
8.55%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.