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 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
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$422,542 28.35% 9.05%10.37%9.15%26.09%-15.59%-31.43%
(-22.00%)
0.851.260.89
Portfolio 2$10,000$382,520 27.50% 9.08%9.17%8.45%23.61%-8.69%-19.24%
(-19.24%)
0.921.510.68
Portfolio 3$10,000$280,064 24.88% 8.20%5.26%17.44%30.45%-28.33%-42.91%
(-26.48%)
0.470.750.04
* 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
  • 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
YearInflationReturnBalanceSPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
20053.42%5.96%9.01%17.76%$20,938$21,242$22,118$10,3424.83%8.61%17.76%
20062.54%11.31%13.74%22.55%$33,909$34,765$37,709$10,60415.85%0.71%22.55%
20074.08%6.68%12.75%30.45%$47,212$50,236$60,230$11,0375.14%10.29%30.45%
20080.09%-15.59%-8.69%4.92%$50,901$56,917$74,243$11,047-36.81%33.93%4.92%
20092.72%11.91%13.74%24.03%$68,313$76,085$103,431$11,34826.36%-21.80%24.03%
20101.50%13.25%17.11%29.27%$88,885$100,619$145,223$11,51815.06%9.05%29.27%
20112.96%11.51%11.83%9.57%$110,974$124,376$170,973$11,8591.89%33.96%9.57%
20121.74%11.98%10.30%6.60%$136,337$149,256$194,321$12,06515.99%2.63%6.60%
20131.50%18.60%5.73%-28.33%$173,947$170,052$151,517$12,24632.31%-13.37%-28.33%
20140.76%17.61%13.01%-2.19%$216,924$204,513$160,542$12,33913.46%27.30%-2.19%
20150.73%0.34%-2.49%-10.67%$230,091$211,853$155,839$12,4291.25%-1.79%-10.67%
20162.07%8.75%8.30%8.03%$262,921$242,131$181,045$12,68712.00%1.18%8.03%
20172.11%17.95%16.35%12.81%$323,057$294,670$217,189$12,95421.70%9.18%12.81%
20181.91%-3.67%-3.17%-1.94%$324,397$298,544$226,176$13,202-4.56%-1.61%-1.94%
20192.29%26.09%23.61%17.86%$422,542$382,520$280,064$13,50431.22%14.12%17.86%
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20051-0.50%-1.13%-3.61%$9,950$9,887$9,639-2.24%3.57%-3.61%
200520.98%1.40%3.10%$10,047$10,026$9,9382.09%-1.47%3.10%
20053-1.41%-1.43%-1.63%$9,906$9,882$9,776-1.83%-0.45%-1.63%
20054-0.11%0.37%1.24%$9,895$9,919$9,897-1.87%3.86%1.24%
200553.20%1.42%-3.92%$10,211$10,060$9,5093.22%3.14%-3.92%
200560.79%1.67%4.30%$10,292$10,228$9,9180.15%2.16%4.30%
200571.49%0.60%-1.43%$10,446$10,289$9,7763.83%-3.38%-1.43%
200580.42%0.76%1.35%$10,490$10,367$9,909-0.94%3.48%1.35%
20059-0.60%1.24%7.60%$10,427$10,496$10,6620.80%-3.61%7.60%
200510-2.33%-1.90%-0.64%$10,184$10,297$10,594-2.37%-2.24%-0.64%
2005113.25%3.82%5.82%$10,516$10,690$11,2104.40%0.69%5.82%
2005120.77%1.97%5.05%$20,938$21,242$22,118-0.19%2.98%5.05%
200611.28%3.35%9.93%$21,206$21,953$24,3132.40%-1.34%9.93%
200620.73%0.25%-1.11%$21,360$22,009$24,0430.57%1.11%-1.11%
20063-0.17%0.67%3.62%$21,323$22,156$24,9141.65%-4.57%3.62%
200640.14%3.25%12.03%$21,352$22,877$27,9111.26%-2.75%12.03%
20065-2.24%-1.91%-1.32%$20,873$22,440$27,542-3.01%-0.19%-1.32%
200660.52%-0.99%-4.67%$20,981$22,218$26,2560.26%1.18%-4.67%
200670.93%1.60%3.15%$21,176$22,573$27,0830.45%2.16%3.15%
200682.43%1.35%-1.38%$21,691$22,879$26,7102.18%3.06%-1.38%
200692.48%0.49%-4.53%$22,228$22,992$25,5012.70%1.91%-4.53%
2006102.50%2.12%1.29%$22,783$23,480$25,8313.15%0.85%1.29%
2006112.08%3.36%6.89%$23,256$24,268$27,6111.99%2.31%6.89%
2006120.21%-0.44%-1.83%$33,909$34,765$37,7091.34%-2.69%-1.83%
200710.75%1.14%2.56%$34,165$35,162$38,6761.50%-1.00%2.56%
20072-0.38%0.49%2.55%$34,034$35,335$39,660-1.96%3.39%2.55%
200730.28%-0.15%-1.11%$34,131$35,283$39,2181.16%-1.70%-1.11%
200743.37%2.95%2.05%$35,282$36,322$40,0244.43%0.90%2.05%
200751.72%0.56%-2.31%$35,889$36,525$39,0993.39%-2.31%-2.31%
20076-1.34%-1.47%-1.94%$35,409$35,986$38,341-1.46%-1.01%-1.94%
20077-1.31%-0.25%2.37%$34,945$35,896$39,248-3.13%3.32%2.37%
200781.43%1.36%1.11%$35,445$36,385$39,6841.28%1.79%1.11%
200792.79%4.64%10.51%$36,434$38,073$43,8543.87%0.23%10.51%
2007101.49%2.95%6.95%$36,977$39,197$46,9021.36%1.81%6.95%
200711-1.20%-1.11%-1.65%$36,533$38,763$46,127-3.87%5.35%-1.65%
200712-0.98%1.12%6.65%$47,212$50,236$60,230-1.13%-0.64%6.65%
20081-3.60%0.21%10.84%$45,511$50,342$66,760-6.05%2.10%10.84%
20082-1.91%0.12%5.23%$44,642$50,401$70,252-2.58%-0.46%5.23%
200830.08%-1.61%-6.00%$44,677$49,588$66,037-0.90%2.14%-6.00%
200842.38%0.38%-4.16%$45,741$49,778$63,2914.77%-2.48%-4.16%
200850.20%0.28%0.92%$45,830$49,919$63,8751.51%-2.69%0.92%
20086-5.00%-2.19%4.52%$43,539$48,825$66,760-8.35%2.65%4.52%
20087-0.72%-0.92%-1.44%$43,224$48,378$65,796-0.90%-0.37%-1.44%
200881.94%-1.22%-9.29%$44,062$47,790$59,6821.55%2.74%-9.29%
20089-5.81%-2.94%4.11%$41,503$46,384$62,137-9.44%1.47%4.11%
200810-11.27%-12.25%-16.14%$36,827$40,704$52,108-16.52%-1.86%-16.14%
2008111.48%5.03%12.57%$37,374$42,751$58,660-6.96%14.34%12.57%
2008126.64%7.30%7.73%$50,901$56,917$74,2430.98%13.64%7.73%
20091-9.67%-5.99%5.54%$45,979$53,508$78,353-8.21%-13.07%5.54%
20092-8.09%-5.20%1.45%$42,261$50,729$79,486-10.74%-1.54%1.45%
200937.02%4.05%-2.54%$45,226$52,781$77,4698.35%4.04%-2.54%
200944.86%2.15%-3.33%$47,423$53,914$74,8869.93%-6.95%-3.33%
200953.30%4.93%10.23%$48,988$56,571$82,5495.85%-3.69%10.23%
200960.14%-1.34%-5.22%$49,056$55,812$78,242-0.07%0.76%-5.22%
200975.74%4.68%2.38%$51,870$58,426$80,1047.46%0.58%2.38%
200983.35%2.45%0.05%$53,606$59,858$80,1473.69%2.24%0.05%
200993.29%3.92%5.84%$55,370$62,204$84,8233.55%2.46%5.84%
200910-2.09%-0.58%3.72%$54,215$61,841$87,981-1.92%-2.62%3.72%
2009115.01%7.03%12.79%$56,932$66,188$99,2316.16%1.21%12.79%
2009120.06%-2.19%-7.20%$68,313$76,085$103,4311.91%-6.34%-7.20%
20101-1.74%-1.46%-1.26%$67,127$74,975$102,129-3.63%2.69%-1.26%
201022.04%2.26%3.27%$68,493$76,668$105,4743.12%-0.34%3.27%
201033.60%2.37%-0.44%$70,956$78,484$105,0116.09%-2.06%-0.44%
201042.06%3.05%5.88%$72,418$80,875$111,1901.55%3.32%5.88%
20105-4.12%-1.99%3.05%$69,435$79,269$114,582-7.95%5.11%3.05%
20106-1.65%-0.31%2.36%$68,289$79,025$117,281-5.17%5.80%2.36%
201074.14%1.42%-5.09%$71,118$80,149$111,3156.83%-0.95%-5.09%
20108-0.26%1.60%5.71%$70,934$81,431$117,667-4.50%8.40%5.71%
201094.86%4.53%4.78%$74,379$85,121$123,2868.96%-2.51%4.78%
2010101.07%1.55%3.68%$75,173$86,441$127,8263.82%-4.47%3.68%
201011-0.53%0.15%2.11%$74,775$86,567$130,5240.00%-1.69%2.11%
2010123.47%2.93%2.44%$88,885$100,619$145,2236.68%-3.68%2.44%
201110.71%-1.20%-6.38%$89,513$99,411$135,9582.33%-3.08%-6.38%
201122.95%3.63%6.00%$92,152$103,015$144,1133.47%1.65%6.00%
201130.02%0.40%1.60%$92,166$103,426$146,4160.01%0.03%1.60%
201142.74%4.25%8.94%$94,688$107,817$159,5132.90%2.34%8.94%
201150.17%-0.22%-1.79%$94,848$107,576$156,655-1.12%3.42%-1.79%
20116-1.88%-2.03%-2.43%$93,069$105,390$152,844-1.69%-2.33%-2.43%
20117-0.13%2.18%8.42%$92,950$107,684$165,710-2.00%4.42%8.42%
20118-0.87%3.01%12.27%$92,141$110,922$186,051-5.50%9.66%12.27%
20119-0.14%-2.81%-11.06%$92,007$107,802$165,469-6.94%13.20%-11.06%
2011105.27%5.03%5.87%$96,856$113,224$175,18410.91%-3.84%5.87%
2011110.43%0.82%1.67%$97,270$114,155$178,105-0.41%1.98%1.67%
2011121.90%-1.43%-10.66%$110,974$124,376$170,9731.04%3.44%-10.66%
201213.15%5.09%11.40%$114,466$130,701$190,4574.64%-0.33%11.40%
201222.33%0.76%-2.96%$117,134$131,694$184,8104.34%-2.59%-2.96%
201231.16%0.35%-1.32%$118,492$132,156$182,3693.22%-4.23%-1.32%
201240.77%0.67%-0.15%$119,404$133,036$182,099-0.67%4.83%-0.15%
20125-1.92%-2.66%-6.34%$117,111$129,492$170,557-6.01%9.03%-6.34%
201262.32%2.18%2.35%$119,828$132,318$174,5734.05%-1.68%2.35%
201271.95%1.75%0.84%$122,161$134,629$176,0361.18%3.82%0.84%
201281.38%2.13%4.94%$123,841$137,491$184,7312.51%-1.32%4.94%
201291.08%1.83%4.67%$125,175$140,008$193,3592.54%-2.53%4.67%
201210-1.45%-1.79%-2.94%$123,360$137,498$187,667-1.82%-0.48%-2.94%
2012110.79%0.50%-0.47%$124,341$138,187$186,7900.57%1.38%-0.47%
201212-0.05%-0.72%-2.43%$136,337$149,256$194,3210.90%-2.49%-2.43%
201312.63%1.64%-0.51%$139,920$151,699$193,3385.12%-3.19%-0.51%
201321.27%-0.29%-5.09%$141,692$151,260$183,5031.28%1.24%-5.09%
201332.60%2.11%0.95%$145,382$154,458$185,2423.80%-0.42%0.95%
201342.68%0.39%-7.56%$149,277$155,058$171,2341.92%4.68%-7.56%
20135-0.19%-1.70%-6.20%$148,989$152,425$160,6192.36%-6.76%-6.20%
20136-1.84%-3.76%-11.06%$146,244$146,702$142,857-1.34%-3.27%-11.06%
201373.25%3.85%7.43%$151,002$152,350$153,4715.17%-2.26%7.43%
20138-2.59%-1.05%5.20%$147,086$150,757$161,459-3.00%-1.34%5.20%
201392.55%0.98%-4.78%$150,833$152,235$153,7353.17%0.66%-4.78%
2013103.85%2.96%-0.34%$156,647$156,748$153,2074.63%1.43%-0.34%
2013111.62%0.15%-5.51%$159,188$156,983$144,7642.96%-2.70%-5.51%
2013121.58%0.52%-3.79%$173,947$170,052$151,5172.59%-1.87%-3.79%
20141-0.58%0.67%3.42%$172,944$171,188$156,697-3.52%6.30%3.42%
201423.26%3.93%6.27%$178,580$177,914$166,5224.55%0.52%6.27%
201430.80%-0.24%-3.14%$180,009$177,491$161,2900.83%0.73%-3.14%
201441.13%1.01%0.49%$182,048$179,275$162,0860.70%2.10%0.49%
201452.52%1.12%-3.05%$186,631$181,285$157,1412.32%2.95%-3.05%
201461.33%2.48%6.32%$189,117$185,790$167,0702.06%-0.25%6.32%
20147-0.72%-1.40%-3.63%$187,760$183,185$161,003-1.34%0.67%-3.63%
201484.19%3.27%0.38%$195,629$189,178$161,6163.95%4.72%0.38%
20149-1.61%-2.72%-6.18%$192,478$184,025$151,634-1.38%-2.11%-6.18%
2014102.50%1.23%-3.05%$197,290$186,284$147,0022.36%2.81%-3.05%
2014112.82%2.09%-0.49%$202,847$190,179$146,2852.75%2.97%-0.49%
2014120.86%1.05%1.31%$216,924$204,513$160,542-0.26%3.25%1.31%
201510.87%3.14%8.69%$218,812$210,945$174,493-2.96%9.82%8.69%
201521.78%-0.55%-5.91%$222,708$209,794$164,1885.62%-6.14%-5.91%
20153-0.77%-1.05%-2.15%$220,993$207,597$160,655-1.57%1.10%-2.15%
20154-0.37%-0.43%-0.17%$220,175$206,699$160,3860.98%-3.43%-0.17%
201550.20%0.20%0.56%$220,611$207,103$161,2771.29%-2.37%0.56%
20156-2.62%-2.40%-1.52%$214,830$202,139$158,831-2.03%-4.07%-1.52%
201572.91%0.58%-6.62%$221,088$203,317$148,3152.26%4.55%-6.62%
20158-4.53%-2.48%3.71%$211,077$198,277$153,814-6.10%-0.69%3.71%
20159-1.18%-1.22%-1.80%$208,580$195,853$151,043-2.54%1.97%-1.80%
2015105.73%4.66%2.28%$220,533$204,971$154,4928.51%-0.41%2.28%
2015110.00%-1.65%-6.75%$220,542$201,592$144,0610.37%-0.87%-6.75%
201512-1.31%-1.08%-0.45%$230,091$211,853$155,839-1.72%-0.30%-0.45%
20161-1.81%0.26%5.41%$225,919$212,397$164,272-4.98%5.57%5.41%
201620.94%3.65%10.93%$228,042$220,142$182,227-0.08%3.09%10.93%
201634.48%2.81%-0.84%$238,257$226,331$180,6916.72%-0.09%-0.84%
201640.04%1.39%5.11%$238,347$229,466$189,9230.39%-0.74%5.11%
201651.42%-0.73%-6.14%$241,736$227,799$178,2651.70%0.81%-6.14%
201662.40%4.31%8.97%$247,526$237,612$194,2540.35%6.93%8.97%
201673.15%2.78%1.98%$255,311$244,227$198,1093.65%2.10%1.98%
20168-0.24%-1.10%-3.26%$254,689$241,534$191,6580.12%-1.01%-3.26%
20169-0.48%-0.20%0.69%$253,478$241,053$192,9790.01%-1.51%0.69%
201610-2.57%-2.74%-2.94%$246,968$234,456$187,296-1.73%-4.38%-2.94%
2016110.00%-2.56%-8.36%$246,971$228,450$171,6453.68%-8.21%-8.36%
2016121.32%0.44%-1.91%$262,921$242,131$181,0452.03%-0.46%-1.91%
201711.50%2.45%5.42%$266,857$248,071$190,8561.79%0.81%5.42%
201723.23%3.16%3.18%$275,479$255,913$196,9343.93%1.59%3.18%
20173-0.10%-0.21%-0.43%$275,197$255,388$196,0920.13%-0.65%-0.43%
201741.16%1.32%1.73%$278,393$258,761$199,4780.99%1.57%1.73%
201751.55%1.13%-0.12%$282,712$261,688$199,2301.41%1.89%-0.12%
201760.68%-0.04%-2.16%$284,642$261,594$194,9350.64%0.79%-2.16%
201771.26%1.45%2.31%$288,221$265,396$199,4452.06%-0.66%2.31%
201781.19%2.02%4.20%$291,653$270,764$207,8190.29%3.41%4.20%
201790.74%-0.42%-3.37%$293,799$269,615$200,8162.01%-2.32%-3.37%
2017101.67%1.01%-0.75%$298,711$272,340$199,3132.36%-0.04%-0.75%
2017112.41%1.85%0.36%$305,898$277,373$200,0233.06%0.74%0.36%
2017121.37%1.57%2.11%$323,057$294,670$217,1891.21%1.81%2.11%
201812.97%2.81%3.23%$332,647$302,958$224,2155.64%-3.26%3.23%
20182-3.47%-3.10%-2.08%$321,112$293,555$219,560-3.64%-3.04%-2.08%
20183-1.16%-0.57%0.63%$317,400$291,889$220,948-2.74%2.86%0.63%
20184-0.25%-0.50%-0.95%$316,604$290,443$218,8400.52%-2.09%-0.95%
201852.31%1.40%-1.20%$323,910$294,515$216,2232.43%2.01%-1.20%
201860.60%-0.45%-3.61%$325,842$293,188$208,4070.58%0.65%-3.61%
201872.22%1.02%-2.24%$333,080$296,173$203,7343.70%-1.44%-2.24%
201882.67%1.50%-2.14%$341,972$300,621$199,3783.19%1.31%-2.14%
20189-0.35%-0.51%-0.66%$340,761$299,093$198,0610.59%-2.86%-0.66%
201810-5.85%-3.96%2.12%$320,843$287,250$202,259-6.91%-2.93%2.12%
2018111.84%1.48%0.34%$326,734$291,492$202,9441.85%1.79%0.34%
201812-4.76%-2.11%4.94%$324,397$298,544$226,176-8.79%5.85%4.94%
201915.72%4.82%2.89%$342,946$312,933$232,7048.01%0.38%2.89%
201921.93%1.19%-0.61%$349,553$316,661$231,2873.24%-1.38%-0.61%
201932.85%1.87%-1.60%$359,501$322,569$227,5931.81%5.57%-1.60%
201942.37%1.51%-0.66%$368,010$327,443$226,0824.09%-1.99%-0.66%
20195-2.80%-1.44%1.76%$357,716$322,734$230,055-6.38%6.84%1.76%
201965.17%5.68%8.00%$376,209$341,077$248,4676.96%0.95%8.00%
201971.15%0.85%0.01%$380,548$343,966$248,4851.51%0.26%0.01%
201981.93%3.67%7.91%$387,887$356,582$268,146-1.67%11.04%7.91%
201990.52%-0.57%-3.39%$389,903$354,552$259,0431.95%-2.68%-3.39%
2019101.22%1.46%2.56%$394,650$359,722$265,6842.21%-1.11%2.56%
2019112.44%0.97%-3.21%$404,297$363,199$257,1593.62%-0.41%-3.21%
2019121.17%1.60%3.66%$422,542$382,520$280,0642.90%-3.20%3.66%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value32.26%9.46%
Large-cap Growth36.95%21.01%
Mid-cap Value0.00%5.62%
Mid-cap Growth0.36%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%13.53%
REITs0.00%0.00%
Corporate Bonds0.64%0.00%
Long-Term Treasuries29.40%18.86%
Intermediate-Term Treasuries0.39%31.52%
Short-Term Treasuries0.00%0.00%
R Squared99.89%81.39%
Style analysis is based on monthly returns from Apr 2005 to Dec 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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend70.00%0.09%19.67$190,89394.46%
TLTiShares 20+ Year Treasury Bond ETFLong Government30.00%0.15%18.93$42,4675.54%
100.00%0.11%19.6718.93$233,361100.00%

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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend50.00%0.09%19.67$133,41056.75%
TLTiShares 20+ Year Treasury Bond ETFLong Government25.00%0.15%18.93$34,62910.11%
GLDSPDR Gold SharesCommodities Focused25.00%0.40%$25,30033.15%
100.00%0.18%19.6718.93$193,339100.00%

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
TickerNameCategoryWeightERReturn ContributionRisk Contribution
GLDSPDR Gold SharesCommodities Focused100.00%0.40%$90,883100.00%

Asset Allocation

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 2Portfolio 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 Correlation0.890.680.04
Beta(*)0.570.410.05
Alpha (annualized)3.60%5.16%8.95%
R278.71%46.75%0.15%
Sharpe Ratio0.850.920.47
Sortino Ratio1.261.510.75
Treynor Ratio (%)13.7219.20168.53
Calmar Ratio1.412.010.79
Active Return0.04%0.08%-0.81%
Tracking Error7.45%10.49%22.09%
Information Ratio0.010.01-0.04
Skewness-1.12-0.730.00
Excess Kurtosis3.553.970.33
Historical Value-at-Risk (5%)-4.09%-2.74%-6.75%
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 (%)64.6650.1216.89
Downside Capture Ratio (%)50.3126.96-26.28
Safe Withdrawal Rate9.50%10.66%13.19%
Perpetual Withdrawal Rate6.44%6.47%5.71%
Positive Periods123 out of 180 (68.33%)116 out of 180 (64.44%)95 out of 180 (52.78%)
Gain/Loss Ratio1.001.251.34
* 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 PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-31.43%-19.24%-25.83%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsSep 20101 year 7 months2 years 11 months-31.43%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-9.00%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.34%
4Feb 2018Apr 20183 monthsJul 20183 months6 months-4.82%
5Aug 2016Oct 20163 monthsFeb 20174 months7 months-3.27%
6Jun 2011Sep 20114 monthsOct 20111 month5 months-3.00%
7Sep 2005Oct 20052 monthsNov 20051 month3 months-2.91%
8May 2019May 20191 monthJun 20191 month2 months-2.80%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-2.63%
10Aug 2013Aug 20131 monthOct 20132 months3 months-2.59%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsNov 20091 year 1 month1 year 9 months-19.24%
2Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-7.15%
3Aug 2016Nov 20164 monthsApr 20175 months9 months-6.46%
4Feb 2018Dec 201811 monthsMar 20193 months1 year 2 months-5.81%
5May 2013Jun 20132 monthsOct 20134 months6 months-5.39%
6Dec 2009Jan 20102 monthsMar 20102 months4 months-3.62%
7May 2006Jun 20062 monthsAug 20062 months4 months-2.88%
8Sep 2011Sep 20111 monthOct 20111 month2 months-2.81%
9Sep 2014Sep 20141 monthNov 20142 months3 months-2.72%
10May 2012May 20121 monthJul 20122 months3 months-2.66%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2011Dec 20154 years 4 months-42.91%
2Mar 2008Oct 20088 monthsMay 20097 months1 year 3 months-25.83%
3May 2006Sep 20065 monthsFeb 20075 months10 months-8.63%
4Dec 2009Jan 20102 monthsMay 20104 months6 months-8.37%
5Jan 2011Jan 20111 monthMar 20112 months3 months-6.38%
6Jun 2009Jun 20091 monthSep 20093 months4 months-5.22%
7Jul 2010Jul 20101 monthAug 20101 month2 months-5.09%
8Jan 2005May 20055 monthsSep 20054 months9 months-4.91%
9May 2007Jun 20072 monthsSep 20073 months5 months-4.20%
10May 2011Jun 20112 monthsJul 20111 month3 months-4.18%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust8.91%13.79%32.31%-36.81%-50.80%0.590.861.00
TLTiShares 20+ Year Treasury Bond ETF6.42%13.14%33.96%-21.80%-21.80%0.440.76-0.32
GLDSPDR Gold Shares8.20%17.44%30.45%-28.33%-42.91%0.470.750.04

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYTLTGLDPortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust1.00-0.320.030.900.690.03
TLTiShares 20+ Year Treasury Bond ETF-0.321.000.200.130.260.20
GLDSPDR Gold Shares0.030.201.000.120.641.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust$190,893$133,410
TLTiShares 20+ Year Treasury Bond ETF$42,467$34,629
GLDSPDR Gold Shares$25,300$90,883

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust94.46%56.75%
TLTiShares 20+ Year Treasury Bond ETF5.54%10.11%
GLDSPDR Gold Shares33.15%100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year9.51%26.09%-15.59%9.41%23.61%-8.69%9.38%30.45%-28.33%
3 years8.80%16.03%0.08%8.65%14.20%5.23%7.91%23.48%-14.45%
5 years9.09%14.56%3.52%8.55%11.68%6.10%6.39%21.88%-6.33%
7 years9.71%12.22%5.97%8.81%9.80%6.64%5.22%19.45%-3.18%
10 years9.49%11.92%8.05%8.79%9.76%7.88%5.52%10.00%2.91%
15 years9.05%9.05%9.05%9.08%9.08%9.08%8.20%8.20%8.20%
Result statistics are based on annualized rolling returns over full calendar year periods