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 
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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 10
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Portfolio Analysis Results (Aug 2002 - Feb 2021)

Portfolio Allocations

100% Bonds
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 100.00%
Save portfolio »
10% Stocks, 90% Bonds
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 90.00%
SPY SPDR S&P 500 ETF Trust 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
100% Bonds$10,000$33,107 6.65% 13.12%33.96%-21.80%-21.80% 0.460.78-0.32
10% Stocks, 90% Bonds$10,000$37,054 7.30% 11.52%30.75%-16.99%-17.85% 0.560.96-0.21
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
100% Bonds-2.98%18.15%18.15%9.88%7.95%8.12%7.27%13.14%12.08%
10% Stocks, 90% Bonds-1.66%18.17%18.17%10.32%8.68%8.84%7.86%11.26%10.44%
Trailing return and volatility are as of last full calendar quarter ending December 2020
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 2002 are based on monthly returns from August 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
YearInflation100% Bonds10% Stocks, 90% BondsiShares 20+ Year Treasury Bond ETF (TLT)SPDR S&P 500 ETF Trust (SPY)
ReturnBalanceReturnBalance
20020.44%9.72%$10,9728.52%$10,8529.72%-2.31%
20031.88%1.62%$11,1504.28%$11,3161.62%28.18%
20043.26%8.71%$12,1228.91%$12,3258.71%10.70%
20053.42%8.61%$13,1658.23%$13,3398.61%4.83%
20062.54%0.71%$13,2592.23%$13,6360.71%15.85%
20074.08%10.29%$14,6239.77%$14,96810.29%5.14%
20080.09%33.93%$19,58426.86%$18,98833.93%-36.81%
20092.72%-21.80%$15,314-16.99%$15,763-21.80%26.36%
20101.50%9.05%$16,7009.65%$17,2849.05%15.06%
20112.96%33.96%$22,37130.75%$22,59933.96%1.89%
20121.74%2.63%$22,9603.97%$23,4952.63%15.99%
20131.50%-13.37%$19,890-8.80%$21,427-13.37%32.31%
20140.76%27.30%$25,31925.91%$26,98027.30%13.46%
20150.73%-1.79%$24,867-1.48%$26,579-1.79%1.25%
20162.07%1.18%$25,1602.26%$27,1801.18%12.00%
20172.11%9.18%$27,47010.43%$30,0179.18%21.70%
20181.91%-1.61%$27,029-1.90%$29,446-1.61%-4.56%
20192.29%14.12%$30,84615.83%$34,10714.12%31.22%
20201.36%18.15%$36,44518.17%$40,30618.15%18.37%
20210.98%-9.16%$33,107-8.07%$37,054-9.16%1.73%
Annual return for 2002 is from 08/01/2002 to 12/31/2002 and annual return for 2021 is from 01/01/2021 to 02/28/2021
Monthly returns for the configured portfolios
YearMonth100% Bonds10% Stocks, 90% BondsiShares 20+ Year Treasury Bond ETF (TLT)SPDR S&P 500 ETF Trust (SPY)
ReturnBalanceReturnBalance
200285.51%$10,5515.03%$10,5035.51%0.68%
200294.25%$11,0002.84%$10,8014.25%-10.49%
200210-3.69%$10,594-2.70%$10,510-3.69%8.23%
200211-0.91%$10,497-0.26%$10,483-0.91%6.17%
2002124.53%$10,9723.52%$10,8524.53%-5.66%
20031-0.58%$10,909-0.76%$10,769-0.58%-2.46%
200323.10%$11,2472.66%$11,0563.10%-1.35%
20033-1.37%$11,094-1.22%$10,921-1.37%0.21%
200341.05%$11,2101.76%$11,1131.05%8.46%
200356.32%$11,9186.23%$11,8066.32%5.48%
20036-1.80%$11,703-1.51%$11,627-1.80%1.07%
20037-9.98%$10,535-8.75%$10,610-9.98%1.80%
200381.31%$10,6731.39%$10,7581.31%2.06%
200395.94%$11,3075.12%$11,3085.94%-1.09%
200310-3.03%$10,965-2.11%$11,070-3.03%5.35%
2003110.34%$11,0020.43%$11,1180.34%1.09%
2003121.35%$11,1501.79%$11,3161.35%5.03%
200411.86%$11,3581.87%$11,5281.86%1.98%
200422.28%$11,6172.19%$11,7802.28%1.36%
200431.41%$11,7811.14%$11,9151.41%-1.32%
20044-6.23%$11,046-5.81%$11,222-6.23%-1.89%
20045-0.26%$11,018-0.06%$11,215-0.26%1.71%
200461.06%$11,1341.14%$11,3431.06%1.85%
200471.53%$11,3051.04%$11,4611.53%-3.22%
200484.17%$11,7763.78%$11,8944.17%0.24%
200490.95%$11,8870.95%$12,0070.95%1.00%
2004101.77%$12,0971.72%$12,2141.77%1.29%
200411-2.39%$11,808-1.74%$12,001-2.39%4.45%
2004122.66%$12,1222.69%$12,3252.66%3.02%
200513.57%$12,5542.99%$12,6933.57%-2.24%
20052-1.47%$12,369-1.13%$12,549-1.47%2.09%
20053-0.45%$12,313-0.59%$12,475-0.45%-1.83%
200543.86%$12,7893.31%$12,8883.86%-1.87%
200553.14%$13,1903.15%$13,2933.14%3.22%
200562.16%$13,4751.98%$13,5562.16%0.15%
20057-3.38%$13,020-2.73%$13,186-3.38%3.83%
200583.48%$13,4733.05%$13,5893.48%-0.94%
20059-3.61%$12,987-3.20%$13,153-3.61%0.80%
200510-2.24%$12,696-2.25%$12,857-2.24%-2.37%
2005110.69%$12,7841.05%$12,9920.69%4.40%
2005122.98%$13,1652.67%$13,3392.98%-0.19%
20061-1.34%$12,989-0.96%$13,210-1.34%2.40%
200621.11%$13,1331.05%$13,3491.11%0.57%
20063-4.57%$12,533-3.93%$12,825-4.57%1.65%
20064-2.75%$12,188-2.32%$12,528-2.75%1.26%
20065-0.19%$12,165-0.51%$12,465-0.19%-3.01%
200661.18%$12,3081.08%$12,5991.18%0.26%
200672.16%$12,5751.98%$12,8482.16%0.45%
200683.06%$12,9592.96%$13,2283.06%2.18%
200691.91%$13,2072.00%$13,4931.91%2.70%
2006100.85%$13,3191.09%$13,6400.85%3.15%
2006112.31%$13,6262.27%$13,9502.31%1.99%
200612-2.69%$13,259-2.25%$13,636-2.69%1.34%
20071-1.00%$13,127-0.75%$13,534-1.00%1.50%
200723.39%$13,5722.84%$13,9193.39%-1.96%
20073-1.70%$13,341-1.42%$13,721-1.70%1.16%
200740.90%$13,4621.26%$13,8930.90%4.43%
20075-2.31%$13,150-1.73%$13,654-2.31%3.39%
20076-1.01%$13,017-1.06%$13,509-1.01%-1.46%
200773.32%$13,4492.62%$13,8633.32%-3.13%
200781.79%$13,6891.74%$14,1031.79%1.28%
200790.23%$13,7210.60%$14,1880.23%3.87%
2007101.81%$13,9691.77%$14,4381.81%1.36%
2007115.35%$14,7164.38%$15,0715.35%-3.87%
200712-0.64%$14,623-0.68%$14,968-0.64%-1.13%
200812.10%$14,9291.28%$15,1602.10%-6.05%
20082-0.46%$14,861-0.65%$15,061-0.46%-2.58%
200832.14%$15,1791.86%$15,3412.14%-0.90%
20084-2.48%$14,803-1.84%$15,059-2.48%4.77%
20085-2.69%$14,405-2.29%$14,714-2.69%1.51%
200862.65%$14,7871.57%$14,9462.65%-8.35%
20087-0.37%$14,732-0.41%$14,884-0.37%-0.90%
200882.74%$15,1362.63%$15,2762.74%1.55%
200891.47%$15,3590.52%$15,3551.47%-9.44%
200810-1.86%$15,072-3.02%$14,892-1.86%-16.52%
20081114.34%$17,23412.90%$16,81414.34%-6.96%
20081213.64%$19,58412.93%$18,98813.64%0.98%
20091-13.07%$17,025-12.58%$16,599-13.07%-8.21%
20092-1.54%$16,763-2.50%$16,183-1.54%-10.74%
200934.04%$17,4414.46%$16,9044.04%8.35%
20094-6.95%$16,228-5.27%$16,013-6.95%9.93%
20095-3.69%$15,628-2.59%$15,599-3.69%5.85%
200960.76%$15,7470.66%$15,7010.76%-0.07%
200970.58%$15,8381.44%$15,9260.58%7.46%
200982.24%$16,1922.43%$16,3132.24%3.69%
200992.46%$16,5902.60%$16,7382.46%3.55%
200910-2.62%$16,156-2.53%$16,315-2.62%-1.92%
2009111.21%$16,3521.89%$16,6231.21%6.16%
200912-6.34%$15,314-5.18%$15,763-6.34%1.91%
201012.69%$15,7272.06%$16,0882.69%-3.63%
20102-0.34%$15,673-0.01%$16,085-0.34%3.12%
20103-2.06%$15,351-1.26%$15,882-2.06%6.09%
201043.32%$15,8613.14%$16,3803.32%1.55%
201055.11%$16,6713.76%$16,9975.11%-7.95%
201065.80%$17,6384.79%$17,8125.80%-5.17%
20107-0.95%$17,471-0.30%$17,757-0.95%6.83%
201088.40%$18,9377.25%$19,0458.40%-4.50%
20109-2.51%$18,461-1.61%$18,739-2.51%8.96%
201010-4.47%$17,636-3.74%$18,038-4.47%3.82%
201011-1.69%$17,339-1.53%$17,762-1.69%0.00%
201012-3.68%$16,700-2.69%$17,284-3.68%6.68%
20111-3.08%$16,185-2.54%$16,845-3.08%2.33%
201121.65%$16,4531.84%$17,1551.65%3.47%
201130.03%$16,4570.03%$17,1600.03%0.01%
201142.34%$16,8422.40%$17,5712.34%2.90%
201153.42%$17,4182.94%$18,0873.42%-1.12%
20116-2.33%$17,013-2.26%$17,677-2.33%-1.69%
201174.42%$17,7643.75%$18,3404.42%-2.00%
201189.66%$19,4818.18%$19,8419.66%-5.50%
2011913.20%$22,05211.48%$22,11813.20%-6.94%
201110-3.84%$21,206-2.78%$21,502-3.84%10.91%
2011111.98%$21,6261.79%$21,8871.98%-0.41%
2011123.44%$22,3713.25%$22,5993.44%1.04%
20121-0.33%$22,2970.17%$22,636-0.33%4.64%
20122-2.59%$21,719-1.87%$22,213-2.59%4.34%
20123-4.23%$20,799-3.41%$21,456-4.23%3.22%
201244.83%$21,8044.18%$22,3534.83%-0.67%
201259.03%$23,7737.33%$23,9919.03%-6.01%
20126-1.68%$23,373-1.11%$23,723-1.68%4.05%
201273.82%$24,2643.54%$24,5633.82%1.18%
20128-1.32%$23,944-0.93%$24,335-1.32%2.51%
20129-2.53%$23,338-2.00%$23,849-2.53%2.54%
201210-0.48%$23,225-0.63%$23,698-0.48%-1.82%
2012111.38%$23,5461.29%$24,0051.38%0.57%
201212-2.49%$22,960-2.12%$23,495-2.49%0.90%
20131-3.19%$22,229-2.35%$22,942-3.19%5.12%
201321.24%$22,5051.25%$23,2281.24%1.28%
20133-0.42%$22,4100.03%$23,236-0.42%3.80%
201344.68%$23,4594.37%$24,2524.68%1.92%
20135-6.76%$21,873-5.77%$22,853-6.76%2.36%
20136-3.27%$21,157-3.04%$22,158-3.27%-1.34%
20137-2.26%$20,679-1.36%$21,856-2.26%5.17%
20138-1.34%$20,403-1.55%$21,517-1.34%-3.00%
201390.66%$20,5370.97%$21,7270.66%3.17%
2013101.43%$20,8311.85%$22,1281.43%4.63%
201311-2.70%$20,268-1.95%$21,697-2.70%2.96%
201312-1.87%$19,890-1.24%$21,427-1.87%2.59%
201416.30%$21,1445.32%$22,5676.30%-3.52%
201420.52%$21,2540.89%$22,7680.52%4.55%
201430.73%$21,4090.74%$22,9360.73%0.83%
201442.10%$21,8581.96%$23,3872.10%0.70%
201452.95%$22,5022.89%$24,0622.95%2.32%
20146-0.25%$22,446-0.03%$24,054-0.25%2.06%
201470.67%$22,5960.47%$24,1680.67%-1.34%
201484.72%$23,6634.65%$25,2924.72%3.95%
20149-2.11%$23,164-2.04%$24,776-2.11%-1.38%
2014102.81%$23,8152.77%$25,4622.81%2.36%
2014112.97%$24,5222.95%$26,2132.97%2.75%
2014123.25%$25,3192.93%$26,9803.25%-0.26%
201519.82%$27,8058.54%$29,2839.82%-2.96%
20152-6.14%$26,098-5.09%$27,794-6.14%5.62%
201531.10%$26,3840.83%$28,0241.10%-1.57%
20154-3.43%$25,480-3.00%$27,184-3.43%0.98%
20155-2.37%$24,876-2.00%$26,640-2.37%1.29%
20156-4.07%$23,864-3.86%$25,613-4.07%-2.03%
201574.55%$24,9494.31%$26,7154.55%2.26%
20158-0.69%$24,777-1.26%$26,380-0.69%-6.10%
201591.97%$25,2641.52%$26,7801.97%-2.54%
201510-0.41%$25,1600.44%$26,898-0.41%8.51%
201511-0.87%$24,942-0.74%$26,699-0.87%0.37%
201512-0.30%$24,867-0.45%$26,579-0.30%-1.72%
201615.57%$26,2534.52%$27,7805.57%-4.98%
201623.09%$27,0632.80%$28,5583.09%-0.08%
20163-0.09%$27,0390.51%$28,704-0.09%6.72%
20164-0.74%$26,839-0.63%$28,523-0.74%0.39%
201650.81%$27,0560.89%$28,7770.81%1.70%
201666.93%$28,9326.30%$30,5926.93%0.35%
201672.10%$29,5402.24%$31,2772.10%3.65%
20168-1.01%$29,241-0.91%$30,993-1.01%0.12%
20169-1.51%$28,800-1.37%$30,568-1.51%0.01%
201610-4.38%$27,538-4.13%$29,305-4.38%-1.73%
201611-8.21%$25,276-7.07%$27,233-8.21%3.68%
201612-0.46%$25,160-0.19%$27,180-0.46%2.03%
201710.81%$25,3650.91%$27,4280.81%1.79%
201721.59%$25,7671.82%$27,9281.59%3.93%
20173-0.65%$25,599-0.57%$27,768-0.65%0.13%
201741.57%$26,0011.51%$28,1881.57%0.99%
201751.89%$26,4931.84%$28,7071.89%1.41%
201760.79%$26,7020.78%$28,9290.79%0.64%
20177-0.66%$26,527-0.38%$28,820-0.66%2.06%
201783.41%$27,4313.08%$29,7073.41%0.29%
20179-2.32%$26,794-1.88%$29,149-2.32%2.01%
201710-0.04%$26,7840.22%$29,212-0.04%2.36%
2017110.74%$26,9820.99%$29,5030.74%3.06%
2017121.81%$27,4701.74%$30,0171.81%1.21%
20181-3.26%$26,576-2.37%$29,306-3.26%5.64%
20182-3.04%$25,769-3.10%$28,397-3.04%-3.64%
201832.86%$26,5052.26%$29,0372.86%-2.74%
20184-2.09%$25,952-1.82%$28,508-2.09%0.52%
201852.01%$26,4722.05%$29,0932.01%2.43%
201860.65%$26,6430.64%$29,2790.65%0.58%
20187-1.44%$26,260-0.90%$29,016-1.44%3.70%
201881.31%$26,6061.52%$29,4581.31%3.19%
20189-2.86%$25,844-2.48%$28,728-2.86%0.59%
201810-2.93%$25,087-3.39%$27,755-2.93%-6.91%
2018111.79%$25,5351.79%$28,2531.79%1.85%
2018125.85%$27,0294.22%$29,4465.85%-8.79%
201910.38%$27,1311.14%$29,7820.38%8.01%
20192-1.38%$26,758-0.88%$29,519-1.38%3.24%
201935.57%$28,2505.15%$31,0415.57%1.81%
20194-1.99%$27,688-1.33%$30,627-1.99%4.09%
201956.84%$29,5825.34%$32,2616.84%-6.38%
201960.95%$29,8621.56%$32,7630.95%6.96%
201970.26%$29,9390.39%$32,8910.26%1.51%
2019811.04%$33,2469.68%$36,07411.04%-1.67%
20199-2.68%$32,355-2.23%$35,268-2.68%1.95%
201910-1.11%$31,994-0.78%$34,993-1.11%2.21%
201911-0.41%$31,8640.01%$34,997-0.41%3.62%
201912-3.20%$30,846-2.54%$34,107-3.20%2.90%
202017.69%$33,2186.92%$36,4677.69%-0.04%
202026.63%$35,4205.27%$38,3886.63%-7.92%
202036.38%$37,6794.84%$40,2446.38%-12.46%
202041.22%$38,1372.00%$41,0501.22%12.70%
20205-1.76%$37,465-1.27%$40,528-1.76%4.76%
202060.34%$37,5910.45%$40,7120.34%1.78%
202074.44%$39,2594.55%$42,5654.44%5.89%
20208-5.05%$37,278-4.06%$40,838-5.05%6.98%
202090.77%$37,5650.36%$40,9850.77%-3.74%
202010-3.39%$36,294-3.31%$39,629-3.39%-2.49%
2020111.66%$36,8972.48%$40,6121.66%10.88%
202012-1.23%$36,445-0.75%$40,306-1.23%3.71%
20211-3.63%$35,121-3.37%$38,947-3.63%-1.02%
20212-5.73%$33,107-4.86%$37,054-5.73%2.78%

Returns Based Style Analysis

Returns Based Style Analysis
Style Category100% Bonds10% Stocks, 90% Bonds
Large-cap Value0.00%4.56%
Large-cap Growth0.00%5.40%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.07%
Long-Term Treasuries100.00%89.93%
Intermediate-Term Treasuries0.00%0.04%
Short-Term Treasuries0.00%0.00%
R Squared100.00%100.00%
Style analysis is based on monthly returns from April 2005 to February 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 100% Bonds

Holdings Based Style Analysis for 100% Bonds
TickerNameCategoryWeightYieldExpense RatioDurationContribution
SECTTMNetGrossReturnRisk
TLTiShares 20+ Year Treasury Bond ETFLong Government100.00%1.78%1.45%0.15%0.15%18.96$23,107100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for 10% Stocks, 90% Bonds

Holdings Based Style Analysis for 10% Stocks, 90% Bonds
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
TLTiShares 20+ Year Treasury Bond ETFLong Government90.00%1.78%1.45%0.15%0.15%18.96$22,259102.57%
SPYSPDR S&P 500 ETF TrustLarge Blend10.00%1.17%1.24%0.09%0.09%24.03$4,795-2.57%
100.00%1.72%1.43%0.14%0.14%24.0318.96$27,054100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 12/03/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
Metric100% Bonds10% Stocks, 90% Bonds
Arithmetic Mean (monthly)0.61%0.64%
Arithmetic Mean (annualized)7.55%8.00%
Geometric Mean (monthly)0.54%0.59%
Geometric Mean (annualized)6.65%7.30%
Standard Deviation (monthly)3.79%3.32%
Standard Deviation (annualized)13.12%11.52%
Downside Deviation (monthly)2.21%1.92%
Max. Drawdown-21.80%-17.85%
US Market Correlation-0.32-0.21
Beta(*)-0.28-0.16
Alpha (annualized)10.46%9.56%
R210.30%4.52%
Sharpe Ratio0.460.56
Sortino Ratio0.780.96
Treynor Ratio (%)-21.69-39.85
Calmar Ratio0.560.72
Active Return-3.97%-3.32%
Tracking Error22.92%20.81%
Information Ratio-0.17-0.16
Skewness0.420.33
Excess Kurtosis1.942.38
Historical Value-at-Risk (5%)-4.46%-3.92%
Analytical Value-at-Risk (5%)-5.62%-4.78%
Conditional Value-at-Risk (5%)-6.96%-6.04%
Upside Capture Ratio (%)-4.884.44
Downside Capture Ratio (%)-57.58-41.84
Safe Withdrawal Rate8.00%8.29%
Perpetual Withdrawal Rate4.21%4.78%
Positive Periods122 out of 223 (54.71%)128 out of 223 (57.40%)
Gain/Loss Ratio1.271.24
* 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 PeriodStartEnd100% Bonds10% Stocks, 90% Bonds
Subprime CrisisNov 2007Mar 2009-14.41%-14.77%
COVID-19 StartJan 2020Mar 20200.00%0.00%

Drawdowns for 100% Bonds

Drawdowns for 100% Bonds (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Dec 20091 yearSep 20111 year 9 months2 years 9 months-21.80%
2Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-18.03%
3Aug 2020Feb 20217 months-15.67%
4Aug 2016Oct 20182 years 3 monthsMay 20197 months2 years 10 months-15.07%
5Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-14.17%
6Jun 2003Jul 20032 monthsOct 20041 year 3 months1 year 5 months-11.60%
7Jul 2005May 200611 monthsNov 20066 months1 year 5 months-9.72%
8Sep 2019Dec 20194 monthsFeb 20202 months6 months-7.22%
9Jan 2012Mar 20123 monthsMay 20122 months5 months-7.03%
10Apr 2008May 20082 monthsSep 20084 months6 months-5.10%
Worst 10 drawdowns included above

Drawdowns for 10% Stocks, 90% Bonds

Drawdowns for 10% Stocks, 90% Bonds (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009May 20095 monthsAug 20101 year 3 months1 year 8 months-17.85%
2Aug 2016Dec 20165 monthsMay 20192 years 5 months2 years 10 months-13.10%
3Aug 2020Feb 20217 months-12.95%
4Aug 2012Dec 20131 year 5 monthsAug 20148 months2 years 1 month-12.77%
5Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-12.53%
6Sep 2010Jan 20115 monthsAug 20117 months1 year-11.56%
7Jun 2003Jul 20032 monthsMar 20048 months10 months-10.13%
8Sep 2005May 20069 monthsOct 20065 months1 year 2 months-8.27%
9Apr 2004May 20042 monthsSep 20044 months6 months-5.87%
10Sep 2019Dec 20194 monthsJan 20201 month5 months-5.45%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TLTiShares 20+ Year Treasury Bond ETF6.65%13.12%33.96%-21.80%-21.80%0.460.78-0.32
SPYSPDR S&P 500 ETF Trust10.13%14.53%32.31%-36.81%-50.80%0.650.971.00

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
iShares 20+ Year Treasury Bond ETF-2.98%18.15%18.15%9.88%7.95%8.12%0.15%0.15%
SPDR S&P 500 ETF Trust12.12%18.37%18.37%14.03%15.11%13.76%0.09%0.09%
Trailing returns as of last calendar quarter ending December 2020

Monthly Correlations

Correlations for the portfolio assets
TickerNameTLTSPY100% Bonds10% Stocks, 90% Bonds
TLTiShares 20+ Year Treasury Bond ETF1.00-0.311.000.99
SPYSPDR S&P 500 ETF Trust-0.311.00-0.31-0.20

Portfolio Return Decomposition

Portfolio return decomposition
TickerName100% Bonds10% Stocks, 90% Bonds
TLTiShares 20+ Year Treasury Bond ETF$23,107$22,259
SPYSPDR S&P 500 ETF Trust$4,795

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerName100% Bonds10% Stocks, 90% Bonds
TLTiShares 20+ Year Treasury Bond ETF100.00%102.57%
SPYSPDR S&P 500 ETF Trust-2.57%

Annual Asset Returns

Rolling returns summary
Roll Period100% Bonds10% Stocks, 90% Bonds
AverageHighLowAverageHighLow
1 year7.69%37.76%-21.80%8.13%34.38%-16.99%
3 years6.66%15.28%-1.50%7.24%15.54%0.03%
5 years6.77%12.57%0.31%7.34%12.73%2.45%
7 years6.84%9.81%2.29%7.48%10.12%3.71%
10 years7.00%9.39%3.27%7.65%9.74%4.49%
15 years6.54%7.74%5.46%7.14%8.13%6.20%