Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Display Income

Reinvest Dividends

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

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Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2005 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
SPY	SPDR S&P 500 ETF Trust	70.00%
TLT	iShares 20+ Year Treasury Bond ETF	30.00%
Save portfolio »

Portfolio 2
Ticker	Name	Allocation
SPY	SPDR S&P 500 ETF Trust	50.00%
TLT	iShares 20+ Year Treasury Bond ETF	25.00%
GLD	SPDR Gold Shares	25.00%
Save portfolio »

Portfolio 3
Ticker	Name	Allocation
GLD	SPDR Gold Shares	100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	TWRR	MWRR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$422,542	28.35%	9.05%	10.37%	9.15%	26.09%	-15.59%	-31.43% (-22.00%)	0.85	1.26	0.89
Portfolio 2	$10,000	$382,520	27.50%	9.08%	9.17%	8.45%	23.61%	-8.69%	-19.24% (-19.24%)	0.92	1.51	0.68
Portfolio 3	$10,000	$280,064	24.88%	8.20%	5.26%	17.44%	30.45%	-28.33%	-42.91% (-26.48%)	0.47	0.75	0.04
^* The number in parentheses shows the calculated value taking into account the periodic contributions.

Trailing Returns

Trailing Returns
Name	Annualized Return						Annualized Volatility
Name	3 Month	1 year	3 year	5 year	10 year	Full	3 year	5 year
Portfolio 1	4.91%	26.09%	12.73%	9.35%	11.92%	9.05%	8.11%	8.08%
Portfolio 2	4.08%	23.61%	11.67%	8.02%	9.76%	9.08%	6.71%	7.17%
Portfolio 3	2.90%	17.86%	9.24%	4.70%	2.91%	8.20%	10.43%	13.88%
Trailing annualized return and volatility are for full months ending in December 2019 excluding portfolio cashflows.

Notes on results:

Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
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 results assume annual rebalancing of portfolio assets to match the specified allocation
Inflation adjusted annual contribution of $10,000 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
Year	Inflation	Return			Balance				SPDR S&P 500 ETF Trust (SPY)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)
Year	Inflation	Portfolio 1	Portfolio 2	Portfolio 3	Portfolio 1	Portfolio 2	Portfolio 3	Adjustment	SPDR S&P 500 ETF Trust (SPY)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)
2005	3.42%	5.96%	9.01%	17.76%	$20,938	$21,242	$22,118	$10,342	4.83%	8.61%	17.76%
2006	2.54%	11.31%	13.74%	22.55%	$33,909	$34,765	$37,709	$10,604	15.85%	0.71%	22.55%
2007	4.08%	6.68%	12.75%	30.45%	$47,212	$50,236	$60,230	$11,037	5.14%	10.29%	30.45%
2008	0.09%	-15.59%	-8.69%	4.92%	$50,901	$56,917	$74,243	$11,047	-36.81%	33.93%	4.92%
2009	2.72%	11.91%	13.74%	24.03%	$68,313	$76,085	$103,431	$11,348	26.36%	-21.80%	24.03%
2010	1.50%	13.25%	17.11%	29.27%	$88,885	$100,619	$145,223	$11,518	15.06%	9.05%	29.27%
2011	2.96%	11.51%	11.83%	9.57%	$110,974	$124,376	$170,973	$11,859	1.89%	33.96%	9.57%
2012	1.74%	11.98%	10.30%	6.60%	$136,337	$149,256	$194,321	$12,065	15.99%	2.63%	6.60%
2013	1.50%	18.60%	5.73%	-28.33%	$173,947	$170,052	$151,517	$12,246	32.31%	-13.37%	-28.33%
2014	0.76%	17.61%	13.01%	-2.19%	$216,924	$204,513	$160,542	$12,339	13.46%	27.30%	-2.19%
2015	0.73%	0.34%	-2.49%	-10.67%	$230,091	$211,853	$155,839	$12,429	1.25%	-1.79%	-10.67%
2016	2.07%	8.75%	8.30%	8.03%	$262,921	$242,131	$181,045	$12,687	12.00%	1.18%	8.03%
2017	2.11%	17.95%	16.35%	12.81%	$323,057	$294,670	$217,189	$12,954	21.70%	9.18%	12.81%
2018	1.91%	-3.67%	-3.17%	-1.94%	$324,397	$298,544	$226,176	$13,202	-4.56%	-1.61%	-1.94%
2019	2.29%	26.09%	23.61%	17.86%	$422,542	$382,520	$280,064	$13,504	31.22%	14.12%	17.86%

Monthly returns for the configured portfolios
Year	Month	Return			Balance			SPDR S&P 500 ETF Trust (SPY)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)
Year	Month	Portfolio 1	Portfolio 2	Portfolio 3	Portfolio 1	Portfolio 2	Portfolio 3	SPDR S&P 500 ETF Trust (SPY)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)
2005	1	-0.50%	-1.13%	-3.61%	$9,950	$9,887	$9,639	-2.24%	3.57%	-3.61%
2005	2	0.98%	1.40%	3.10%	$10,047	$10,026	$9,938	2.09%	-1.47%	3.10%
2005	3	-1.41%	-1.43%	-1.63%	$9,906	$9,882	$9,776	-1.83%	-0.45%	-1.63%
2005	4	-0.11%	0.37%	1.24%	$9,895	$9,919	$9,897	-1.87%	3.86%	1.24%
2005	5	3.20%	1.42%	-3.92%	$10,211	$10,060	$9,509	3.22%	3.14%	-3.92%
2005	6	0.79%	1.67%	4.30%	$10,292	$10,228	$9,918	0.15%	2.16%	4.30%
2005	7	1.49%	0.60%	-1.43%	$10,446	$10,289	$9,776	3.83%	-3.38%	-1.43%
2005	8	0.42%	0.76%	1.35%	$10,490	$10,367	$9,909	-0.94%	3.48%	1.35%
2005	9	-0.60%	1.24%	7.60%	$10,427	$10,496	$10,662	0.80%	-3.61%	7.60%
2005	10	-2.33%	-1.90%	-0.64%	$10,184	$10,297	$10,594	-2.37%	-2.24%	-0.64%
2005	11	3.25%	3.82%	5.82%	$10,516	$10,690	$11,210	4.40%	0.69%	5.82%
2005	12	0.77%	1.97%	5.05%	$20,938	$21,242	$22,118	-0.19%	2.98%	5.05%
2006	1	1.28%	3.35%	9.93%	$21,206	$21,953	$24,313	2.40%	-1.34%	9.93%
2006	2	0.73%	0.25%	-1.11%	$21,360	$22,009	$24,043	0.57%	1.11%	-1.11%
2006	3	-0.17%	0.67%	3.62%	$21,323	$22,156	$24,914	1.65%	-4.57%	3.62%
2006	4	0.14%	3.25%	12.03%	$21,352	$22,877	$27,911	1.26%	-2.75%	12.03%
2006	5	-2.24%	-1.91%	-1.32%	$20,873	$22,440	$27,542	-3.01%	-0.19%	-1.32%
2006	6	0.52%	-0.99%	-4.67%	$20,981	$22,218	$26,256	0.26%	1.18%	-4.67%
2006	7	0.93%	1.60%	3.15%	$21,176	$22,573	$27,083	0.45%	2.16%	3.15%
2006	8	2.43%	1.35%	-1.38%	$21,691	$22,879	$26,710	2.18%	3.06%	-1.38%
2006	9	2.48%	0.49%	-4.53%	$22,228	$22,992	$25,501	2.70%	1.91%	-4.53%
2006	10	2.50%	2.12%	1.29%	$22,783	$23,480	$25,831	3.15%	0.85%	1.29%
2006	11	2.08%	3.36%	6.89%	$23,256	$24,268	$27,611	1.99%	2.31%	6.89%
2006	12	0.21%	-0.44%	-1.83%	$33,909	$34,765	$37,709	1.34%	-2.69%	-1.83%
2007	1	0.75%	1.14%	2.56%	$34,165	$35,162	$38,676	1.50%	-1.00%	2.56%
2007	2	-0.38%	0.49%	2.55%	$34,034	$35,335	$39,660	-1.96%	3.39%	2.55%
2007	3	0.28%	-0.15%	-1.11%	$34,131	$35,283	$39,218	1.16%	-1.70%	-1.11%
2007	4	3.37%	2.95%	2.05%	$35,282	$36,322	$40,024	4.43%	0.90%	2.05%
2007	5	1.72%	0.56%	-2.31%	$35,889	$36,525	$39,099	3.39%	-2.31%	-2.31%
2007	6	-1.34%	-1.47%	-1.94%	$35,409	$35,986	$38,341	-1.46%	-1.01%	-1.94%
2007	7	-1.31%	-0.25%	2.37%	$34,945	$35,896	$39,248	-3.13%	3.32%	2.37%
2007	8	1.43%	1.36%	1.11%	$35,445	$36,385	$39,684	1.28%	1.79%	1.11%
2007	9	2.79%	4.64%	10.51%	$36,434	$38,073	$43,854	3.87%	0.23%	10.51%
2007	10	1.49%	2.95%	6.95%	$36,977	$39,197	$46,902	1.36%	1.81%	6.95%
2007	11	-1.20%	-1.11%	-1.65%	$36,533	$38,763	$46,127	-3.87%	5.35%	-1.65%
2007	12	-0.98%	1.12%	6.65%	$47,212	$50,236	$60,230	-1.13%	-0.64%	6.65%
2008	1	-3.60%	0.21%	10.84%	$45,511	$50,342	$66,760	-6.05%	2.10%	10.84%
2008	2	-1.91%	0.12%	5.23%	$44,642	$50,401	$70,252	-2.58%	-0.46%	5.23%
2008	3	0.08%	-1.61%	-6.00%	$44,677	$49,588	$66,037	-0.90%	2.14%	-6.00%
2008	4	2.38%	0.38%	-4.16%	$45,741	$49,778	$63,291	4.77%	-2.48%	-4.16%
2008	5	0.20%	0.28%	0.92%	$45,830	$49,919	$63,875	1.51%	-2.69%	0.92%
2008	6	-5.00%	-2.19%	4.52%	$43,539	$48,825	$66,760	-8.35%	2.65%	4.52%
2008	7	-0.72%	-0.92%	-1.44%	$43,224	$48,378	$65,796	-0.90%	-0.37%	-1.44%
2008	8	1.94%	-1.22%	-9.29%	$44,062	$47,790	$59,682	1.55%	2.74%	-9.29%
2008	9	-5.81%	-2.94%	4.11%	$41,503	$46,384	$62,137	-9.44%	1.47%	4.11%
2008	10	-11.27%	-12.25%	-16.14%	$36,827	$40,704	$52,108	-16.52%	-1.86%	-16.14%
2008	11	1.48%	5.03%	12.57%	$37,374	$42,751	$58,660	-6.96%	14.34%	12.57%
2008	12	6.64%	7.30%	7.73%	$50,901	$56,917	$74,243	0.98%	13.64%	7.73%
2009	1	-9.67%	-5.99%	5.54%	$45,979	$53,508	$78,353	-8.21%	-13.07%	5.54%
2009	2	-8.09%	-5.20%	1.45%	$42,261	$50,729	$79,486	-10.74%	-1.54%	1.45%
2009	3	7.02%	4.05%	-2.54%	$45,226	$52,781	$77,469	8.35%	4.04%	-2.54%
2009	4	4.86%	2.15%	-3.33%	$47,423	$53,914	$74,886	9.93%	-6.95%	-3.33%
2009	5	3.30%	4.93%	10.23%	$48,988	$56,571	$82,549	5.85%	-3.69%	10.23%
2009	6	0.14%	-1.34%	-5.22%	$49,056	$55,812	$78,242	-0.07%	0.76%	-5.22%
2009	7	5.74%	4.68%	2.38%	$51,870	$58,426	$80,104	7.46%	0.58%	2.38%
2009	8	3.35%	2.45%	0.05%	$53,606	$59,858	$80,147	3.69%	2.24%	0.05%
2009	9	3.29%	3.92%	5.84%	$55,370	$62,204	$84,823	3.55%	2.46%	5.84%
2009	10	-2.09%	-0.58%	3.72%	$54,215	$61,841	$87,981	-1.92%	-2.62%	3.72%
2009	11	5.01%	7.03%	12.79%	$56,932	$66,188	$99,231	6.16%	1.21%	12.79%
2009	12	0.06%	-2.19%	-7.20%	$68,313	$76,085	$103,431	1.91%	-6.34%	-7.20%
2010	1	-1.74%	-1.46%	-1.26%	$67,127	$74,975	$102,129	-3.63%	2.69%	-1.26%
2010	2	2.04%	2.26%	3.27%	$68,493	$76,668	$105,474	3.12%	-0.34%	3.27%
2010	3	3.60%	2.37%	-0.44%	$70,956	$78,484	$105,011	6.09%	-2.06%	-0.44%
2010	4	2.06%	3.05%	5.88%	$72,418	$80,875	$111,190	1.55%	3.32%	5.88%
2010	5	-4.12%	-1.99%	3.05%	$69,435	$79,269	$114,582	-7.95%	5.11%	3.05%
2010	6	-1.65%	-0.31%	2.36%	$68,289	$79,025	$117,281	-5.17%	5.80%	2.36%
2010	7	4.14%	1.42%	-5.09%	$71,118	$80,149	$111,315	6.83%	-0.95%	-5.09%
2010	8	-0.26%	1.60%	5.71%	$70,934	$81,431	$117,667	-4.50%	8.40%	5.71%
2010	9	4.86%	4.53%	4.78%	$74,379	$85,121	$123,286	8.96%	-2.51%	4.78%
2010	10	1.07%	1.55%	3.68%	$75,173	$86,441	$127,826	3.82%	-4.47%	3.68%
2010	11	-0.53%	0.15%	2.11%	$74,775	$86,567	$130,524	0.00%	-1.69%	2.11%
2010	12	3.47%	2.93%	2.44%	$88,885	$100,619	$145,223	6.68%	-3.68%	2.44%
2011	1	0.71%	-1.20%	-6.38%	$89,513	$99,411	$135,958	2.33%	-3.08%	-6.38%
2011	2	2.95%	3.63%	6.00%	$92,152	$103,015	$144,113	3.47%	1.65%	6.00%
2011	3	0.02%	0.40%	1.60%	$92,166	$103,426	$146,416	0.01%	0.03%	1.60%
2011	4	2.74%	4.25%	8.94%	$94,688	$107,817	$159,513	2.90%	2.34%	8.94%
2011	5	0.17%	-0.22%	-1.79%	$94,848	$107,576	$156,655	-1.12%	3.42%	-1.79%
2011	6	-1.88%	-2.03%	-2.43%	$93,069	$105,390	$152,844	-1.69%	-2.33%	-2.43%
2011	7	-0.13%	2.18%	8.42%	$92,950	$107,684	$165,710	-2.00%	4.42%	8.42%
2011	8	-0.87%	3.01%	12.27%	$92,141	$110,922	$186,051	-5.50%	9.66%	12.27%
2011	9	-0.14%	-2.81%	-11.06%	$92,007	$107,802	$165,469	-6.94%	13.20%	-11.06%
2011	10	5.27%	5.03%	5.87%	$96,856	$113,224	$175,184	10.91%	-3.84%	5.87%
2011	11	0.43%	0.82%	1.67%	$97,270	$114,155	$178,105	-0.41%	1.98%	1.67%
2011	12	1.90%	-1.43%	-10.66%	$110,974	$124,376	$170,973	1.04%	3.44%	-10.66%
2012	1	3.15%	5.09%	11.40%	$114,466	$130,701	$190,457	4.64%	-0.33%	11.40%
2012	2	2.33%	0.76%	-2.96%	$117,134	$131,694	$184,810	4.34%	-2.59%	-2.96%
2012	3	1.16%	0.35%	-1.32%	$118,492	$132,156	$182,369	3.22%	-4.23%	-1.32%
2012	4	0.77%	0.67%	-0.15%	$119,404	$133,036	$182,099	-0.67%	4.83%	-0.15%
2012	5	-1.92%	-2.66%	-6.34%	$117,111	$129,492	$170,557	-6.01%	9.03%	-6.34%
2012	6	2.32%	2.18%	2.35%	$119,828	$132,318	$174,573	4.05%	-1.68%	2.35%
2012	7	1.95%	1.75%	0.84%	$122,161	$134,629	$176,036	1.18%	3.82%	0.84%
2012	8	1.38%	2.13%	4.94%	$123,841	$137,491	$184,731	2.51%	-1.32%	4.94%
2012	9	1.08%	1.83%	4.67%	$125,175	$140,008	$193,359	2.54%	-2.53%	4.67%
2012	10	-1.45%	-1.79%	-2.94%	$123,360	$137,498	$187,667	-1.82%	-0.48%	-2.94%
2012	11	0.79%	0.50%	-0.47%	$124,341	$138,187	$186,790	0.57%	1.38%	-0.47%
2012	12	-0.05%	-0.72%	-2.43%	$136,337	$149,256	$194,321	0.90%	-2.49%	-2.43%
2013	1	2.63%	1.64%	-0.51%	$139,920	$151,699	$193,338	5.12%	-3.19%	-0.51%
2013	2	1.27%	-0.29%	-5.09%	$141,692	$151,260	$183,503	1.28%	1.24%	-5.09%
2013	3	2.60%	2.11%	0.95%	$145,382	$154,458	$185,242	3.80%	-0.42%	0.95%
2013	4	2.68%	0.39%	-7.56%	$149,277	$155,058	$171,234	1.92%	4.68%	-7.56%
2013	5	-0.19%	-1.70%	-6.20%	$148,989	$152,425	$160,619	2.36%	-6.76%	-6.20%
2013	6	-1.84%	-3.76%	-11.06%	$146,244	$146,702	$142,857	-1.34%	-3.27%	-11.06%
2013	7	3.25%	3.85%	7.43%	$151,002	$152,350	$153,471	5.17%	-2.26%	7.43%
2013	8	-2.59%	-1.05%	5.20%	$147,086	$150,757	$161,459	-3.00%	-1.34%	5.20%
2013	9	2.55%	0.98%	-4.78%	$150,833	$152,235	$153,735	3.17%	0.66%	-4.78%
2013	10	3.85%	2.96%	-0.34%	$156,647	$156,748	$153,207	4.63%	1.43%	-0.34%
2013	11	1.62%	0.15%	-5.51%	$159,188	$156,983	$144,764	2.96%	-2.70%	-5.51%
2013	12	1.58%	0.52%	-3.79%	$173,947	$170,052	$151,517	2.59%	-1.87%	-3.79%
2014	1	-0.58%	0.67%	3.42%	$172,944	$171,188	$156,697	-3.52%	6.30%	3.42%
2014	2	3.26%	3.93%	6.27%	$178,580	$177,914	$166,522	4.55%	0.52%	6.27%
2014	3	0.80%	-0.24%	-3.14%	$180,009	$177,491	$161,290	0.83%	0.73%	-3.14%
2014	4	1.13%	1.01%	0.49%	$182,048	$179,275	$162,086	0.70%	2.10%	0.49%
2014	5	2.52%	1.12%	-3.05%	$186,631	$181,285	$157,141	2.32%	2.95%	-3.05%
2014	6	1.33%	2.48%	6.32%	$189,117	$185,790	$167,070	2.06%	-0.25%	6.32%
2014	7	-0.72%	-1.40%	-3.63%	$187,760	$183,185	$161,003	-1.34%	0.67%	-3.63%
2014	8	4.19%	3.27%	0.38%	$195,629	$189,178	$161,616	3.95%	4.72%	0.38%
2014	9	-1.61%	-2.72%	-6.18%	$192,478	$184,025	$151,634	-1.38%	-2.11%	-6.18%
2014	10	2.50%	1.23%	-3.05%	$197,290	$186,284	$147,002	2.36%	2.81%	-3.05%
2014	11	2.82%	2.09%	-0.49%	$202,847	$190,179	$146,285	2.75%	2.97%	-0.49%
2014	12	0.86%	1.05%	1.31%	$216,924	$204,513	$160,542	-0.26%	3.25%	1.31%
2015	1	0.87%	3.14%	8.69%	$218,812	$210,945	$174,493	-2.96%	9.82%	8.69%
2015	2	1.78%	-0.55%	-5.91%	$222,708	$209,794	$164,188	5.62%	-6.14%	-5.91%
2015	3	-0.77%	-1.05%	-2.15%	$220,993	$207,597	$160,655	-1.57%	1.10%	-2.15%
2015	4	-0.37%	-0.43%	-0.17%	$220,175	$206,699	$160,386	0.98%	-3.43%	-0.17%
2015	5	0.20%	0.20%	0.56%	$220,611	$207,103	$161,277	1.29%	-2.37%	0.56%
2015	6	-2.62%	-2.40%	-1.52%	$214,830	$202,139	$158,831	-2.03%	-4.07%	-1.52%
2015	7	2.91%	0.58%	-6.62%	$221,088	$203,317	$148,315	2.26%	4.55%	-6.62%
2015	8	-4.53%	-2.48%	3.71%	$211,077	$198,277	$153,814	-6.10%	-0.69%	3.71%
2015	9	-1.18%	-1.22%	-1.80%	$208,580	$195,853	$151,043	-2.54%	1.97%	-1.80%
2015	10	5.73%	4.66%	2.28%	$220,533	$204,971	$154,492	8.51%	-0.41%	2.28%
2015	11	0.00%	-1.65%	-6.75%	$220,542	$201,592	$144,061	0.37%	-0.87%	-6.75%
2015	12	-1.31%	-1.08%	-0.45%	$230,091	$211,853	$155,839	-1.72%	-0.30%	-0.45%
2016	1	-1.81%	0.26%	5.41%	$225,919	$212,397	$164,272	-4.98%	5.57%	5.41%
2016	2	0.94%	3.65%	10.93%	$228,042	$220,142	$182,227	-0.08%	3.09%	10.93%
2016	3	4.48%	2.81%	-0.84%	$238,257	$226,331	$180,691	6.72%	-0.09%	-0.84%
2016	4	0.04%	1.39%	5.11%	$238,347	$229,466	$189,923	0.39%	-0.74%	5.11%
2016	5	1.42%	-0.73%	-6.14%	$241,736	$227,799	$178,265	1.70%	0.81%	-6.14%
2016	6	2.40%	4.31%	8.97%	$247,526	$237,612	$194,254	0.35%	6.93%	8.97%
2016	7	3.15%	2.78%	1.98%	$255,311	$244,227	$198,109	3.65%	2.10%	1.98%
2016	8	-0.24%	-1.10%	-3.26%	$254,689	$241,534	$191,658	0.12%	-1.01%	-3.26%
2016	9	-0.48%	-0.20%	0.69%	$253,478	$241,053	$192,979	0.01%	-1.51%	0.69%
2016	10	-2.57%	-2.74%	-2.94%	$246,968	$234,456	$187,296	-1.73%	-4.38%	-2.94%
2016	11	0.00%	-2.56%	-8.36%	$246,971	$228,450	$171,645	3.68%	-8.21%	-8.36%
2016	12	1.32%	0.44%	-1.91%	$262,921	$242,131	$181,045	2.03%	-0.46%	-1.91%
2017	1	1.50%	2.45%	5.42%	$266,857	$248,071	$190,856	1.79%	0.81%	5.42%
2017	2	3.23%	3.16%	3.18%	$275,479	$255,913	$196,934	3.93%	1.59%	3.18%
2017	3	-0.10%	-0.21%	-0.43%	$275,197	$255,388	$196,092	0.13%	-0.65%	-0.43%
2017	4	1.16%	1.32%	1.73%	$278,393	$258,761	$199,478	0.99%	1.57%	1.73%
2017	5	1.55%	1.13%	-0.12%	$282,712	$261,688	$199,230	1.41%	1.89%	-0.12%
2017	6	0.68%	-0.04%	-2.16%	$284,642	$261,594	$194,935	0.64%	0.79%	-2.16%
2017	7	1.26%	1.45%	2.31%	$288,221	$265,396	$199,445	2.06%	-0.66%	2.31%
2017	8	1.19%	2.02%	4.20%	$291,653	$270,764	$207,819	0.29%	3.41%	4.20%
2017	9	0.74%	-0.42%	-3.37%	$293,799	$269,615	$200,816	2.01%	-2.32%	-3.37%
2017	10	1.67%	1.01%	-0.75%	$298,711	$272,340	$199,313	2.36%	-0.04%	-0.75%
2017	11	2.41%	1.85%	0.36%	$305,898	$277,373	$200,023	3.06%	0.74%	0.36%
2017	12	1.37%	1.57%	2.11%	$323,057	$294,670	$217,189	1.21%	1.81%	2.11%
2018	1	2.97%	2.81%	3.23%	$332,647	$302,958	$224,215	5.64%	-3.26%	3.23%
2018	2	-3.47%	-3.10%	-2.08%	$321,112	$293,555	$219,560	-3.64%	-3.04%	-2.08%
2018	3	-1.16%	-0.57%	0.63%	$317,400	$291,889	$220,948	-2.74%	2.86%	0.63%
2018	4	-0.25%	-0.50%	-0.95%	$316,604	$290,443	$218,840	0.52%	-2.09%	-0.95%
2018	5	2.31%	1.40%	-1.20%	$323,910	$294,515	$216,223	2.43%	2.01%	-1.20%
2018	6	0.60%	-0.45%	-3.61%	$325,842	$293,188	$208,407	0.58%	0.65%	-3.61%
2018	7	2.22%	1.02%	-2.24%	$333,080	$296,173	$203,734	3.70%	-1.44%	-2.24%
2018	8	2.67%	1.50%	-2.14%	$341,972	$300,621	$199,378	3.19%	1.31%	-2.14%
2018	9	-0.35%	-0.51%	-0.66%	$340,761	$299,093	$198,061	0.59%	-2.86%	-0.66%
2018	10	-5.85%	-3.96%	2.12%	$320,843	$287,250	$202,259	-6.91%	-2.93%	2.12%
2018	11	1.84%	1.48%	0.34%	$326,734	$291,492	$202,944	1.85%	1.79%	0.34%
2018	12	-4.76%	-2.11%	4.94%	$324,397	$298,544	$226,176	-8.79%	5.85%	4.94%
2019	1	5.72%	4.82%	2.89%	$342,946	$312,933	$232,704	8.01%	0.38%	2.89%
2019	2	1.93%	1.19%	-0.61%	$349,553	$316,661	$231,287	3.24%	-1.38%	-0.61%
2019	3	2.85%	1.87%	-1.60%	$359,501	$322,569	$227,593	1.81%	5.57%	-1.60%
2019	4	2.37%	1.51%	-0.66%	$368,010	$327,443	$226,082	4.09%	-1.99%	-0.66%
2019	5	-2.80%	-1.44%	1.76%	$357,716	$322,734	$230,055	-6.38%	6.84%	1.76%
2019	6	5.17%	5.68%	8.00%	$376,209	$341,077	$248,467	6.96%	0.95%	8.00%
2019	7	1.15%	0.85%	0.01%	$380,548	$343,966	$248,485	1.51%	0.26%	0.01%
2019	8	1.93%	3.67%	7.91%	$387,887	$356,582	$268,146	-1.67%	11.04%	7.91%
2019	9	0.52%	-0.57%	-3.39%	$389,903	$354,552	$259,043	1.95%	-2.68%	-3.39%
2019	10	1.22%	1.46%	2.56%	$394,650	$359,722	$265,684	2.21%	-1.11%	2.56%
2019	11	2.44%	0.97%	-3.21%	$404,297	$363,199	$257,159	3.62%	-0.41%	-3.21%
2019	12	1.17%	1.60%	3.66%	$422,542	$382,520	$280,064	2.90%	-3.20%	3.66%
^* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Portfolio 1	Portfolio 2
Large-cap Value	32.26%	9.46%
Large-cap Growth	36.95%	21.01%
Mid-cap Value	0.00%	5.62%
Mid-cap Growth	0.36%	0.00%
Small-cap Value	0.00%	0.00%
Small-cap Growth	0.00%	0.00%
Global ex-US Developed Markets	0.00%	0.00%
Emerging Markets	0.00%	13.53%
Corporate Bonds	0.64%	0.00%
Long-Term Treasuries	29.40%	18.86%
Intermediate-Term Treasuries	0.39%	31.52%
Short-Term Treasuries	0.00%	0.00%
R Squared	99.89%	81.39%
Style analysis is based on monthly returns from April 2005 to December 2019 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
Ticker	Name	Category	Weight	Yield	Fees	P/E	Duration	Return Contribution	Risk Contribution
SPY	SPDR S&P 500 ETF Trust	Large Blend	70.00%	1.52%	0.09%	28.32		$190,893	94.46%
TLT	iShares 20+ Year Treasury Bond ETF	Long Government	30.00%	1.43%	0.15%		19.07	$42,467	5.54%
			100.00%	1.49%	0.11%	28.32	19.07	$233,361	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
Ticker	Name	Category	Weight	Yield	Fees	P/E	Duration	Return Contribution	Risk Contribution
SPY	SPDR S&P 500 ETF Trust	Large Blend	50.00%	1.52%	0.09%	28.32		$133,410	56.75%
TLT	iShares 20+ Year Treasury Bond ETF	Long Government	25.00%	1.43%	0.15%		19.07	$34,629	10.11%
GLD	SPDR Gold Shares	Commodities Focused	25.00%		0.40%			$25,300	33.15%
			100.00%	1.12%	0.18%	28.32	19.07	$193,339	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
Ticker	Name	Category	Weight	Fees	Return Contribution	Risk Contribution
GLD	SPDR Gold Shares	Commodities Focused	100.00%	0.40%	$90,883	100.00%

Asset Allocation

Fund fundamentals data as of 01/22/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
Metric	Portfolio 1	Portfolio 2	Portfolio 3
Arithmetic Mean (monthly)	0.76%	0.76%	0.78%
Arithmetic Mean (annualized)	9.50%	9.47%	9.83%
Geometric Mean (monthly)	0.72%	0.73%	0.66%
Geometric Mean (annualized)	9.05%	9.08%	8.20%
Volatility (monthly)	2.64%	2.44%	5.04%
Volatility (annualized)	9.15%	8.45%	17.44%
Downside Deviation (monthly)	1.75%	1.46%	3.08%
Max. Drawdown	-31.43%	-19.24%	-42.91%
US Market Correlation	0.89	0.68	0.04
Beta^(*)	0.57	0.41	0.05
Alpha (annualized)	3.60%	5.16%	8.95%
R²	78.71%	46.75%	0.15%
Sharpe Ratio	0.85	0.92	0.47
Sortino Ratio	1.26	1.51	0.75
Treynor Ratio (%)	13.72	19.20	168.53
Calmar Ratio	1.41	2.01	0.79
Active Return	0.04%	0.08%	-0.81%
Tracking Error	7.45%	10.49%	22.09%
Information Ratio	0.01	0.01	-0.04
Skewness	-1.12	-0.73	0.00
Excess Kurtosis	3.55	3.97	0.33
Historical Value-at-Risk (5%)	-3.63%	-2.72%	-6.63%
Analytical Value-at-Risk (5%)	-3.62%	-3.24%	-7.50%
Conditional Value-at-Risk (5%)	-6.56%	-4.75%	-9.79%
Upside Capture Ratio (%)	64.66	50.12	16.89
Downside Capture Ratio (%)	50.31	26.96	-26.28
Safe Withdrawal Rate	9.50%	10.66%	13.19%
Perpetual Withdrawal Rate	6.44%	6.47%	5.71%
Positive Periods	123 out of 180 (68.33%)	116 out of 180 (64.44%)	95 out of 180 (52.78%)
Gain/Loss Ratio	1.00	1.25	1.34
^* 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	Portfolio 1	Portfolio 2	Portfolio 3
Subprime Crisis	Nov 2007	Mar 2009	-31.43%	-19.24%	-25.83%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Sep 2010	1 year 7 months	2 years 11 months	-31.43%
2	Sep 2018	Dec 2018	4 months	Mar 2019	3 months	7 months	-9.00%
3	Mar 2015	Sep 2015	7 months	Mar 2016	6 months	1 year 1 month	-6.34%
4	Feb 2018	Apr 2018	3 months	Jul 2018	3 months	6 months	-4.82%
5	Aug 2016	Oct 2016	3 months	Feb 2017	4 months	7 months	-3.27%
6	Jun 2011	Sep 2011	4 months	Oct 2011	1 month	5 months	-3.00%
7	Sep 2005	Oct 2005	2 months	Nov 2005	1 month	3 months	-2.91%
8	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-2.80%
9	Jun 2007	Jul 2007	2 months	Sep 2007	2 months	4 months	-2.63%
10	Aug 2013	Aug 2013	1 month	Oct 2013	2 months	3 months	-2.59%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Mar 2008	Oct 2008	8 months	Nov 2009	1 year 1 month	1 year 9 months	-19.24%
2	Feb 2015	Sep 2015	8 months	Mar 2016	6 months	1 year 2 months	-7.15%
3	Aug 2016	Nov 2016	4 months	Apr 2017	5 months	9 months	-6.46%
4	Feb 2018	Dec 2018	11 months	Mar 2019	3 months	1 year 2 months	-5.81%
5	May 2013	Jun 2013	2 months	Oct 2013	4 months	6 months	-5.39%
6	Dec 2009	Jan 2010	2 months	Mar 2010	2 months	4 months	-3.62%
7	May 2006	Jun 2006	2 months	Aug 2006	2 months	4 months	-2.88%
8	Sep 2011	Sep 2011	1 month	Oct 2011	1 month	2 months	-2.81%
9	Sep 2014	Sep 2014	1 month	Nov 2014	2 months	3 months	-2.72%
10	May 2012	May 2012	1 month	Jul 2012	2 months	3 months	-2.66%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Sep 2011	Dec 2015	4 years 4 months				-42.91%
2	Mar 2008	Oct 2008	8 months	May 2009	7 months	1 year 3 months	-25.83%
3	May 2006	Sep 2006	5 months	Feb 2007	5 months	10 months	-8.63%
4	Dec 2009	Jan 2010	2 months	May 2010	4 months	6 months	-8.37%
5	Jan 2011	Jan 2011	1 month	Mar 2011	2 months	3 months	-6.38%
6	Jun 2009	Jun 2009	1 month	Sep 2009	3 months	4 months	-5.22%
7	Jul 2010	Jul 2010	1 month	Aug 2010	1 month	2 months	-5.09%
8	Jan 2005	May 2005	5 months	Sep 2005	4 months	9 months	-4.91%
9	May 2007	Jun 2007	2 months	Sep 2007	3 months	5 months	-4.20%
10	May 2011	Jun 2011	2 months	Jul 2011	1 month	3 months	-4.18%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
SPY	SPDR S&P 500 ETF Trust	8.91%	13.79%	32.31%	-36.81%	-50.80%	0.59	0.86	1.00
TLT	iShares 20+ Year Treasury Bond ETF	6.42%	13.14%	33.96%	-21.80%	-21.80%	0.44	0.76	-0.32
GLD	SPDR Gold Shares	8.20%	17.44%	30.45%	-28.33%	-42.91%	0.47	0.75	0.04

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	SPY	TLT	GLD	Portfolio 1	Portfolio 2	Portfolio 3
SPY	SPDR S&P 500 ETF Trust	1.00	-0.32	0.03	0.90	0.69	0.03
TLT	iShares 20+ Year Treasury Bond ETF	-0.32	1.00	0.20	0.13	0.26	0.20
GLD	SPDR Gold Shares	0.03	0.20	1.00	0.12	0.64	1.00

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
SPY	SPDR S&P 500 ETF Trust	$190,893	$133,410
TLT	iShares 20+ Year Treasury Bond ETF	$42,467	$34,629
GLD	SPDR Gold Shares		$25,300	$90,883

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2	Portfolio 3
SPY	SPDR S&P 500 ETF Trust	94.46%	56.75%
TLT	iShares 20+ Year Treasury Bond ETF	5.54%	10.11%
GLD	SPDR Gold Shares		33.15%	100.00%

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Portfolio 3
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low
1 year	9.35%	35.15%	-25.88%	9.28%	28.59%	-18.97%	9.57%	54.21%	-28.33%
3 years	8.92%	21.57%	-6.56%	8.63%	20.95%	0.24%	7.46%	32.87%	-15.02%
5 years	9.69%	18.34%	2.92%	9.01%	15.32%	6.10%	6.28%	23.37%	-8.06%
7 years	10.17%	14.90%	5.97%	9.17%	12.15%	6.60%	5.24%	21.95%	-6.20%
10 years	9.68%	13.52%	7.93%	9.01%	10.76%	7.78%	5.78%	11.33%	1.77%