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 (Jan 1997 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
BRK.B Berkshire Hathaway Inc. 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$2,000$144,744 22.62% 10.98%10.11%19.16%52.70%-32.14%-45.86%
(-42.67%)
0.530.880.41
Portfolio 2$2,000$116,287 21.35% 8.23%8.38%14.89%33.48%-36.81%-50.80%
(-43.42%)
0.470.680.99
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   
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.
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
  • Annual contribution of $2,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceBerkshire Hathaway Inc. (BRK.B)SPDR S&P 500 ETF Trust (SPY)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
19971.70%38.40%33.48%$4,768$4,670$2,00038.40%33.48%
19981.61%52.70%28.69%$9,281$8,009$2,00052.70%28.69%
19992.68%-22.13%20.39%$9,227$11,642$2,000-22.13%20.39%
20003.39%28.63%-9.73%$13,869$12,509$2,00028.63%-9.73%
20011.55%7.26%-11.75%$16,877$13,039$2,0007.26%-11.75%
20022.38%-4.04%-21.59%$18,195$12,224$2,000-4.04%-21.59%
20031.88%16.18%28.18%$23,138$17,669$2,00016.18%28.18%
20043.26%4.30%10.70%$26,133$21,560$2,0004.30%10.70%
20053.42%-0.02%4.83%$28,128$24,600$2,000-0.02%4.83%
20062.54%24.89%15.85%$37,128$30,499$2,00024.89%15.85%
20074.08%29.19%5.14%$49,965$34,065$2,00029.19%5.14%
20080.09%-32.14%-36.81%$35,908$23,527$2,000-32.14%-36.81%
20092.72%2.24%26.36%$38,712$31,729$2,0002.24%26.36%
20101.50%21.90%15.06%$49,189$38,507$2,00021.90%15.06%
20112.96%-4.76%1.89%$48,849$41,234$2,000-4.76%1.89%
20121.74%17.56%15.99%$59,428$49,828$2,00017.56%15.99%
20131.50%32.17%32.31%$80,549$67,925$2,00032.17%32.31%
20140.76%26.64%13.46%$104,011$79,070$2,00026.64%13.46%
20150.73%-12.06%1.25%$93,466$82,060$2,000-12.06%1.25%
20162.07%23.43%12.00%$117,367$93,908$2,00023.43%12.00%
20172.11%21.62%21.70%$144,744$116,287$2,00021.62%21.70%
Monthly returns for the configured portfolios
YearMonthReturnBalanceBerkshire Hathaway Inc. (BRK.B)SPDR S&P 500 ETF Trust (SPY)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199713.87%6.18%$2,077$2,1243.87%6.18%
199722.86%0.96%$2,137$2,1442.86%0.96%
199731.85%-4.41%$2,176$2,0491.85%-4.41%
199745.04%6.26%$2,286$2,1785.04%6.26%
1997513.69%6.32%$2,599$2,31513.69%6.32%
199769.34%4.11%$2,842$2,4109.34%4.11%
199770.06%7.93%$2,844$2,6010.06%7.93%
19978-11.95%-5.18%$2,504$2,467-11.95%-5.18%
199797.40%4.81%$2,689$2,5857.40%4.81%
199710-1.74%-2.45%$2,642$2,522-1.74%-2.45%
1997112.65%3.87%$2,712$2,6202.65%3.87%
1997122.06%1.91%$4,768$4,6702.06%1.91%
199818.97%1.29%$5,196$4,7308.97%1.29%
1998210.91%6.93%$5,762$5,05710.91%6.93%
1998320.70%4.88%$6,955$5,30420.70%4.88%
199842.23%1.28%$7,110$5,3722.23%1.28%
199852.31%-2.08%$7,274$5,2602.31%-2.08%
1998611.29%4.26%$8,095$5,48411.29%4.26%
19987-10.37%-1.35%$7,256$5,410-10.37%-1.35%
19988-14.26%-14.12%$6,221$4,646-14.26%-14.12%
19989-0.75%6.36%$6,175$4,942-0.75%6.36%
1998107.78%8.11%$6,655$5,3437.78%8.11%
1998114.80%5.57%$6,974$5,6404.80%5.57%
1998124.40%6.54%$9,281$8,0094.40%6.54%
19991-8.51%3.52%$8,491$8,291-8.51%3.52%
1999210.65%-3.21%$9,395$8,02510.65%-3.21%
19993-1.18%4.15%$9,284$8,359-1.18%4.15%
199945.06%3.80%$9,754$8,6765.06%3.80%
19995-6.15%-2.29%$9,154$8,478-6.15%-2.29%
19996-3.36%5.54%$8,846$8,947-3.36%5.54%
19997-5.04%-3.10%$8,400$8,669-5.04%-3.10%
19998-5.83%-0.52%$7,910$8,625-5.83%-0.52%
19999-7.34%-2.24%$7,330$8,432-7.34%-2.24%
19991012.61%6.41%$8,254$8,97212.61%6.41%
199911-10.77%1.67%$7,365$9,121-10.77%1.67%
199912-1.88%5.71%$9,227$11,642-1.88%5.71%
20001-10.05%-4.98%$8,299$11,062-10.05%-4.98%
20002-12.52%-1.52%$7,261$10,894-12.52%-1.52%
2000326.39%9.69%$9,177$11,95026.39%9.69%
200045.27%-3.51%$9,661$11,5305.27%-3.51%
20005-1.57%-1.57%$9,509$11,349-1.57%-1.57%
20006-6.68%1.97%$8,874$11,572-6.68%1.97%
200073.69%-1.57%$9,202$11,3903.69%-1.57%
200084.82%6.53%$9,645$12,1354.82%6.53%
200098.21%-5.48%$10,437$11,4708.21%-5.48%
2000101.59%-0.47%$10,603$11,4161.59%-0.47%
2000113.38%-7.47%$10,961$10,5643.38%-7.47%
2000128.28%-0.52%$13,869$12,5098.28%-0.52%
20011-4.42%4.45%$13,256$13,065-4.42%4.45%
200123.96%-9.54%$13,781$11,8193.96%-9.54%
20013-6.97%-5.60%$12,820$11,157-6.97%-5.60%
200144.55%8.54%$13,404$12,1114.55%8.54%
20015-0.13%-0.56%$13,386$12,043-0.13%-0.56%
200161.23%-2.38%$13,551$11,7561.23%-2.38%
20017-0.17%-1.02%$13,527$11,636-0.17%-1.02%
200180.70%-5.93%$13,622$10,9460.70%-5.93%
200190.78%-8.16%$13,728$10,0520.78%-8.16%
2001101.03%1.30%$13,869$10,1831.03%1.30%
200111-0.89%7.80%$13,745$10,977-0.89%7.80%
2001128.23%0.56%$16,877$13,0398.23%0.56%
20021-2.85%-0.98%$16,395$12,911-2.85%-0.98%
20022-1.14%-1.79%$16,208$12,680-1.14%-1.79%
20023-2.31%3.32%$15,834$13,101-2.31%3.32%
200242.70%-5.82%$16,262$12,3392.70%-5.82%
200251.60%-0.59%$16,522$12,2661.60%-0.59%
20026-9.63%-7.38%$14,932$11,361-9.63%-7.38%
200272.37%-7.88%$15,286$10,4662.37%-7.88%
200286.69%0.68%$16,308$10,5376.69%0.68%
200291.02%-10.49%$16,475$9,4321.02%-10.49%
200210-0.20%8.23%$16,442$10,208-0.20%8.23%
200211-1.99%6.17%$16,115$10,838-1.99%6.17%
2002120.50%-5.66%$18,195$12,2240.50%-5.66%
20031-8.21%-2.46%$16,700$11,924-8.21%-2.46%
20032-7.15%-1.35%$15,506$11,763-7.15%-1.35%
200333.49%0.21%$16,047$11,7873.49%0.21%
200349.12%8.46%$17,511$12,7849.12%8.46%
200351.80%5.48%$17,827$13,4851.80%5.48%
200362.36%1.07%$18,247$13,6292.36%1.07%
20037-1.11%1.80%$18,045$13,875-1.11%1.80%
200385.29%2.06%$18,998$14,1615.29%2.06%
20039-1.34%-1.09%$18,743$14,007-1.34%-1.09%
2003103.87%5.35%$19,468$14,7573.87%5.35%
2003118.04%1.09%$21,033$14,9188.04%1.09%
2003120.50%5.03%$23,138$17,6690.50%5.03%
200415.90%1.98%$24,503$18,0185.90%1.98%
200425.10%1.36%$25,752$18,2625.10%1.36%
20043-0.70%-1.32%$25,571$18,021-0.70%-1.32%
200440.26%-1.89%$25,637$17,6800.26%-1.89%
20045-4.71%1.71%$24,429$17,983-4.71%1.71%
20046-0.57%1.85%$24,289$18,316-0.57%1.85%
20047-2.06%-3.22%$23,788$17,726-2.06%-3.22%
200480.00%0.24%$23,788$17,7690.00%0.24%
20049-0.79%1.00%$23,599$17,947-0.79%1.00%
200410-2.33%1.29%$23,048$18,178-2.33%1.29%
200411-0.86%4.45%$22,851$18,987-0.86%4.45%
2004125.61%3.02%$26,133$21,5605.61%3.02%
200511.98%-2.24%$26,649$21,0761.98%-2.24%
200520.70%2.09%$26,836$21,5170.70%2.09%
20053-5.27%-1.83%$25,421$21,124-5.27%-1.83%
20054-2.03%-1.87%$24,905$20,728-2.03%-1.87%
200550.43%3.22%$25,011$21,3960.43%3.22%
20056-0.94%0.15%$24,776$21,428-0.94%0.15%
20057-0.05%3.83%$24,762$22,248-0.05%3.83%
20058-0.22%-0.94%$24,709$22,039-0.22%-0.94%
20059-1.62%0.80%$24,308$22,215-1.62%0.80%
2005103.08%-2.37%$25,056$21,6903.08%-2.37%
2005114.97%4.40%$26,302$22,6434.97%4.40%
200512-0.66%-0.19%$28,128$24,600-0.66%-0.19%
20061-0.12%2.40%$28,095$25,191-0.12%2.40%
20062-1.50%0.57%$27,673$25,335-1.50%0.57%
200634.29%1.65%$28,862$25,7534.29%1.65%
20064-1.99%1.26%$28,287$26,079-1.99%1.26%
200653.96%-3.01%$29,408$25,2933.96%-3.01%
20066-0.85%0.26%$29,159$25,360-0.85%0.26%
200670.13%0.45%$29,197$25,4740.13%0.45%
200685.14%2.18%$30,697$26,0295.14%2.18%
20069-0.92%2.70%$30,414$26,732-0.92%2.70%
20061010.74%3.15%$33,681$27,57510.74%3.15%
2006111.14%1.99%$34,065$28,1231.14%1.99%
2006123.12%1.34%$37,128$30,4993.12%1.34%
200710.04%1.50%$37,143$30,9580.04%1.50%
20072-3.94%-1.96%$35,680$30,350-3.94%-1.96%
200733.32%1.16%$36,865$30,7023.32%1.16%
20074-0.33%4.43%$36,743$32,062-0.33%4.43%
20075-0.08%3.39%$36,713$33,150-0.08%3.39%
20076-0.55%-1.46%$36,510$32,664-0.55%-1.46%
20077-0.03%-3.13%$36,500$31,642-0.03%-3.13%
200787.94%1.28%$39,397$32,0487.94%1.28%
200791.59%3.87%$40,025$33,2881.59%3.87%
20071011.69%1.36%$44,704$33,74011.69%1.36%
2007116.25%-3.87%$47,499$32,4336.25%-3.87%
2007120.98%-1.13%$49,965$34,0650.98%-1.13%
20081-3.93%-6.05%$48,003$32,006-3.93%-6.05%
200822.74%-2.58%$49,316$31,1782.74%-2.58%
20083-4.31%-0.90%$47,190$30,897-4.31%-0.90%
20084-0.36%4.77%$47,021$32,369-0.36%4.77%
200850.92%1.51%$47,454$32,8590.92%1.51%
20086-10.80%-8.35%$42,327$30,115-10.80%-8.35%
20087-4.56%-0.90%$40,396$29,844-4.56%-0.90%
200881.91%1.55%$41,166$30,3061.91%1.55%
2008912.63%-9.44%$46,367$27,44612.63%-9.44%
200810-12.63%-16.52%$40,512$22,912-12.63%-16.52%
200811-8.88%-6.96%$36,915$21,317-8.88%-6.96%
200812-8.15%0.98%$35,908$23,527-8.15%0.98%
20091-7.00%-8.21%$33,394$21,595-7.00%-8.21%
20092-14.22%-10.74%$28,646$19,275-14.22%-10.74%
200939.98%8.35%$31,506$20,8849.98%8.35%
200948.69%9.93%$34,243$22,9588.69%9.93%
20095-3.03%5.85%$33,204$24,300-3.03%5.85%
20096-2.56%-0.07%$32,355$24,284-2.56%-0.07%
200979.82%7.46%$35,534$26,0959.82%7.46%
200983.32%3.69%$36,712$27,0593.32%3.69%
200991.13%3.55%$37,126$28,0191.13%3.55%
200910-1.20%-1.92%$36,679$27,480-1.20%-1.92%
2009112.13%6.16%$37,461$29,1732.13%6.16%
200912-2.00%1.91%$38,712$31,729-2.00%1.91%
2010116.30%-3.63%$45,021$30,57616.30%-3.63%
201024.84%3.12%$47,200$31,5304.84%3.12%
201031.42%6.09%$47,872$33,4501.42%6.09%
20104-5.25%1.55%$45,357$33,968-5.25%1.55%
20105-8.38%-7.95%$41,557$31,269-8.38%-7.95%
2010612.96%-5.17%$46,941$29,65112.96%-5.17%
20107-1.97%6.83%$46,016$31,676-1.97%6.83%
201080.84%-4.50%$46,405$30,2510.84%-4.50%
201094.95%8.96%$48,702$32,9604.95%8.96%
201010-3.77%3.82%$46,865$34,220-3.77%3.82%
2010110.15%0.00%$46,935$34,2200.15%0.00%
2010120.54%6.68%$49,189$38,5070.54%6.68%
201112.05%2.33%$50,196$39,4042.05%2.33%
201126.76%3.47%$53,591$40,7736.76%3.47%
20113-4.18%0.01%$51,350$40,777-4.18%0.01%
20114-0.39%2.90%$51,147$41,958-0.39%2.90%
20115-5.08%-1.12%$48,550$41,488-5.08%-1.12%
20116-2.12%-1.69%$47,518$40,787-2.12%-1.69%
20117-4.16%-2.00%$45,541$39,971-4.16%-2.00%
20118-1.58%-5.50%$44,823$37,774-1.58%-5.50%
20119-2.68%-6.94%$43,619$35,150-2.68%-6.94%
2011109.60%10.91%$47,807$38,9879.60%10.91%
2011111.16%-0.41%$48,360$38,8291.16%-0.41%
201112-3.12%1.04%$48,849$41,234-3.12%1.04%
201212.71%4.64%$50,174$43,1462.71%4.64%
201220.10%4.34%$50,226$45,0190.10%4.34%
201233.44%3.22%$51,954$46,4673.44%3.22%
20124-0.86%-0.67%$51,506$46,156-0.86%-0.67%
20125-1.35%-6.01%$50,808$43,384-1.35%-6.01%
201265.00%4.05%$53,350$45,1435.00%4.05%
201271.81%1.18%$54,317$45,6771.81%1.18%
20128-0.59%2.51%$53,997$46,821-0.59%2.51%
201294.58%2.54%$56,468$48,0084.58%2.54%
201210-2.10%-1.82%$55,283$47,134-2.10%-1.82%
2012112.00%0.57%$56,391$47,4012.00%0.57%
2012121.84%0.90%$59,428$49,8281.84%0.90%
201318.06%5.12%$64,218$52,3788.06%5.12%
201325.40%1.28%$67,683$53,0475.40%1.28%
201332.00%3.80%$69,035$55,0612.00%3.80%
201342.03%1.92%$70,439$56,1192.03%1.92%
201357.29%2.36%$75,574$57,4447.29%2.36%
20136-1.88%-1.34%$74,149$56,677-1.88%-1.34%
201373.53%5.17%$76,766$59,6063.53%5.17%
20138-4.01%-3.00%$73,686$57,818-4.01%-3.00%
201392.06%3.17%$75,203$59,6502.06%3.17%
2013101.39%4.63%$76,250$62,4121.39%4.63%
2013111.25%2.96%$77,204$64,2611.25%2.96%
2013121.74%2.59%$80,549$67,9251.74%2.59%
20141-5.87%-3.52%$75,820$65,531-5.87%-3.52%
201423.75%4.55%$78,660$68,5143.75%4.55%
201437.94%0.83%$84,904$69,0837.94%0.83%
201443.10%0.70%$87,540$69,5643.10%0.70%
20145-0.40%2.32%$87,193$71,178-0.40%2.32%
20146-1.39%2.06%$85,984$72,647-1.39%2.06%
20147-0.89%-1.34%$85,216$71,671-0.89%-1.34%
201489.42%3.95%$93,246$74,4999.42%3.95%
201490.65%-1.38%$93,851$73,4710.65%-1.38%
2014101.46%2.36%$95,223$75,2021.46%2.36%
2014116.09%2.75%$101,019$77,2686.09%2.75%
2014120.98%-0.26%$104,011$79,0700.98%-0.26%
20151-4.16%-2.96%$99,688$76,727-4.16%-2.96%
201522.43%5.62%$102,113$81,0402.43%5.62%
20153-2.10%-1.57%$99,972$79,764-2.10%-1.57%
20154-2.15%0.98%$97,818$80,548-2.15%0.98%
201551.27%1.29%$99,058$81,5841.27%1.29%
20156-4.82%-2.03%$94,285$79,928-4.82%-2.03%
201574.87%2.26%$98,878$81,7344.87%2.26%
20158-6.09%-6.10%$92,851$76,752-6.09%-6.10%
20159-2.72%-2.54%$90,330$74,800-2.72%-2.54%
2015104.31%8.51%$94,223$81,1634.31%8.51%
201511-1.42%0.37%$92,886$81,459-1.42%0.37%
201512-1.53%-1.72%$93,466$82,060-1.53%-1.72%
20161-1.72%-4.98%$91,859$77,974-1.72%-4.98%
201623.39%-0.08%$94,973$77,9103.39%-0.08%
201635.75%6.72%$100,431$83,1495.75%6.72%
201642.54%0.39%$102,979$83,4772.54%0.39%
20165-3.40%1.70%$99,482$84,897-3.40%1.70%
201663.02%0.35%$102,491$85,1943.02%0.35%
20167-0.36%3.65%$102,123$88,301-0.36%3.65%
201684.31%0.12%$106,526$88,4064.31%0.12%
20169-4.00%0.01%$102,264$88,413-4.00%0.01%
201610-0.12%-1.73%$102,144$86,881-0.12%-1.73%
2016119.11%3.68%$111,445$90,0819.11%3.68%
2016123.52%2.03%$117,367$93,9083.52%2.03%
201710.71%1.79%$118,202$95,5890.71%1.79%
201724.44%3.93%$123,445$99,3454.44%3.93%
20173-2.77%0.13%$120,031$99,469-2.77%0.13%
20174-0.88%0.99%$118,973$100,457-0.88%0.99%
201750.04%1.41%$119,023$101,8750.04%1.41%
201762.47%0.64%$121,968$102,5242.47%0.64%
201773.31%2.06%$126,001$104,6313.31%2.06%
201783.54%0.29%$130,459$104,9363.54%0.29%
201791.19%2.01%$132,014$107,0501.19%2.01%
2017101.97%2.36%$134,621$109,5731.97%2.36%
2017113.25%3.06%$138,992$112,9223.25%3.06%
2017122.70%1.21%$144,744$116,2872.70%1.21%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value46.27%
Large-cap Growth52.42%
Mid-cap Value0.00%
Mid-cap Growth0.78%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.07%
REITs0.00%
Corporate Bonds0.46%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.89%
Style analysis is based on monthly returns from Apr 2005 to Dec 2017 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 Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk Contribution
BRK.BBerkshire Hathaway Inc.Financial Services / Insurance - Diversified100.00%$100,744100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend100.00%0.09%19.67$72,287100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 05/29/2020. (c) 2020 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 2
Arithmetic Mean (monthly)1.02%0.75%
Arithmetic Mean (annualized)12.97%9.44%
Geometric Mean (monthly)0.87%0.66%
Geometric Mean (annualized)10.98%8.23%
Volatility (monthly)5.53%4.30%
Volatility (annualized)19.16%14.89%
Downside Deviation (monthly)3.25%2.89%
Max. Drawdown-45.86%-50.80%
US Market Correlation0.410.99
Beta(*)0.510.96
Alpha (annualized)7.46%0.13%
R217.02%97.51%
Sharpe Ratio0.530.47
Sortino Ratio0.880.68
Treynor Ratio (%)19.777.29
Calmar Ratio0.711.34
Active Return2.54%-0.20%
Tracking Error18.98%2.44%
Information Ratio0.13-0.08
Skewness0.39-0.62
Excess Kurtosis2.231.13
Historical Value-at-Risk (5%)-8.42%-7.41%
Analytical Value-at-Risk (5%)-8.08%-6.31%
Conditional Value-at-Risk (5%)-11.22%-9.90%
Upside Capture Ratio (%)67.2194.45
Downside Capture Ratio (%)43.8794.47
Safe Withdrawal Rate11.51%7.99%
Perpetual Withdrawal Rate7.98%5.64%
Positive Periods143 out of 252 (56.75%)158 out of 252 (62.70%)
Gain/Loss Ratio1.260.93
* 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 PeriodStartEndPortfolio 1Portfolio 2
Asian CrisisJul 1997Jan 1998-11.95%-5.18%
Russian Debt DefaultJul 1998Oct 1998-23.73%-15.28%
Dotcom CrashMar 2000Oct 2002-11.52%-44.71%
Subprime CrisisNov 2007Mar 2009-45.86%-50.80%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsJan 20133 years 11 months5 years 1 month-45.86%
2Jul 1998Feb 20001 year 8 monthsNov 20033 years 9 months5 years 5 months-44.89%
3Jan 2015Jan 20161 year 1 monthAug 20167 months1 year 8 months-13.57%
4Mar 2004Sep 20051 year 7 monthsAug 200611 months2 years 6 months-12.83%
5Aug 1997Aug 19971 monthJan 19985 months6 months-11.95%
6Jan 2014Jan 20141 monthMar 20142 months3 months-5.87%
7Sep 2016Oct 20162 monthsNov 20161 month3 months-4.11%
8Aug 2013Aug 20131 monthNov 20133 months4 months-4.01%
9Feb 2007Feb 20071 monthAug 20076 months7 months-3.94%
10Mar 2017Apr 20172 monthsJul 20173 months5 months-3.62%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.80%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.71%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.28%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.43%
7Jul 1999Sep 19993 monthsOct 19991 month4 months-5.76%
8Aug 1997Aug 19971 monthNov 19973 months4 months-5.18%
9Apr 2000May 20002 monthsAug 20003 months5 months-5.03%
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
BRK.BBerkshire Hathaway Inc.10.98%19.16%52.70%-32.14%-45.86%0.530.880.41
SPYSPDR S&P 500 ETF Trust8.23%14.89%33.48%-36.81%-50.80%0.470.680.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameBRK.BSPYPortfolio 1Portfolio 2
BRK.BBerkshire Hathaway Inc.1.000.451.000.45
SPYSPDR S&P 500 ETF Trust0.451.000.451.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
BRK.BBerkshire Hathaway Inc.$100,744
SPYSPDR S&P 500 ETF Trust$72,287

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
BRK.BBerkshire Hathaway Inc.100.00%
SPYSPDR S&P 500 ETF Trust100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year12.95%52.70%-32.14%9.88%33.48%-36.81%
3 years9.19%25.31%-5.43%7.13%27.40%-14.52%
5 years9.04%17.97%-1.08%6.10%17.85%-2.38%
7 years8.24%14.19%3.23%5.79%14.70%-1.53%
10 years7.65%12.67%3.18%5.03%8.45%-1.49%
15 years8.18%9.87%6.36%5.70%9.82%4.17%
Result statistics are based on annualized rolling returns over full calendar year periods