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.
Ticker | Name | Allocation |
---|---|---|
SPY | SPDR S&P 500 ETF Trust | 70.00% |
TLT | iShares 20+ Year Treasury Bond ETF | 30.00% |
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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 » |
Ticker | Name | Allocation |
---|---|---|
GLD | SPDR Gold Shares | 100.00% |
Save portfolio » |
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. |
Name | Annualized Return | Annualized Volatility | ||||||
---|---|---|---|---|---|---|---|---|
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. |
Year | Inflation | Return | Balance | SPDR S&P 500 ETF Trust (SPY) | iShares 20+ Year Treasury Bond ETF (TLT) | SPDR Gold Shares (GLD) | |||||
---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | Portfolio 2 | Portfolio 3 | Portfolio 1 | Portfolio 2 | Portfolio 3 | Adjustment | |||||
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% |
Year | Month | Return | Balance | SPDR S&P 500 ETF Trust (SPY) | iShares 20+ Year Treasury Bond ETF (TLT) | SPDR Gold Shares (GLD) | ||||
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | Portfolio 2 | Portfolio 3 | Portfolio 1 | Portfolio 2 | Portfolio 3 | |||||
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 |
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. |
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% |
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% |
Ticker | Name | Category | Weight | Fees | Return Contribution | Risk Contribution |
---|---|---|---|---|---|---|
GLD | SPDR Gold Shares | Commodities Focused | 100.00% | 0.40% | $90,883 | 100.00% |
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.
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. |
Stress Period | Start | End | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -31.43% | -19.24% | -25.83% |
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 |
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 |
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 |
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 |
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 |
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 |
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% |
Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | ||||||
---|---|---|---|---|---|---|---|---|---|
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% |