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 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2007 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
PRNHX T. Rowe Price New Horizons 50.00%
TLT iShares 20+ Year Treasury Bond ETF 50.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 50.00%
QQQ Invesco QQQ Trust 50.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
QQQ Invesco QQQ Trust 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$53,623 13.08% 9.68%27.58%-2.43%-16.82% 1.232.070.61
Portfolio 2$10,000$56,533 13.51% 9.37%30.04%-3.90%-17.65% 1.312.310.60
Portfolio 3$10,000$77,089 16.12% 18.08%54.68%-41.73%-49.74% 0.871.380.92
T. Rowe Price New Horizons$10,000$70,403 15.35% 18.55%49.11%-38.78%-49.92% 0.821.260.93
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 17.88%27.58%26.48%19.29%15.53%15.05%13.08%
Portfolio 212.37%30.04%34.32%19.19%16.44%14.93%13.51%
Portfolio 326.58%39.23%58.56%27.40%24.25%22.37%16.12%
T. Rowe Price New Horizons16.73%34.31%41.17%27.70%22.45%22.20%15.35%
Trailing returns are for full months ending in August 2020 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.
  • The annual results for 2020 are based on monthly returns from January to August
  • 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
Annual returns for the configured portfolios
YearInflationReturnBalanceT. Rowe Price New Horizons (PRNHX)iShares 20+ Year Treasury Bond ETF (TLT)Invesco QQQ Trust (QQQ)
Portfolio 1Portfolio 2Portfolio 3T. Rowe Price New HorizonsPortfolio 1Portfolio 2Portfolio 3T. Rowe Price New Horizons
20074.08%8.27%14.66%19.02%6.25%$10,827$11,466$11,902$10,6256.25%10.29%19.02%
20080.09%-2.43%-3.90%-41.73%-38.78%$10,564$11,019$6,936$6,504-38.78%33.93%-41.73%
20092.72%11.03%16.44%54.68%43.87%$11,730$12,830$10,728$9,35743.87%-21.80%54.68%
20101.50%21.86%14.59%20.14%34.67%$14,294$14,702$12,889$12,60234.67%9.05%20.14%
20112.96%20.29%18.72%3.47%6.63%$17,195$17,454$13,337$13,4376.63%33.96%3.47%
20121.74%9.42%10.37%18.12%16.20%$18,814$19,265$15,753$15,61416.20%2.63%18.12%
20131.50%17.87%11.63%36.63%49.11%$22,175$21,506$21,524$23,28249.11%-13.37%36.63%
20140.76%16.70%23.24%19.18%6.10%$25,878$26,503$25,652$24,7016.10%27.30%19.18%
20150.73%1.35%3.83%9.45%4.50%$26,228$27,518$28,075$25,8124.50%-1.79%9.45%
20162.07%4.48%4.14%7.10%7.79%$27,405$28,658$30,069$27,8237.79%1.18%7.10%
20172.11%20.34%20.92%32.66%31.49%$32,978$34,654$39,891$36,58531.49%9.18%32.66%
20181.91%1.22%-0.86%-0.12%4.04%$33,380$34,355$39,845$38,0644.04%-1.61%-0.12%
20192.29%25.92%26.54%38.96%37.71%$42,030$43,473$55,368$52,41837.71%14.12%38.96%
20200.83%27.58%30.04%39.23%34.31%$53,623$56,533$77,089$70,40334.31%20.85%39.23%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceT. Rowe Price New Horizons (PRNHX)iShares 20+ Year Treasury Bond ETF (TLT)Invesco QQQ Trust (QQQ)
Portfolio 1Portfolio 2Portfolio 3T. Rowe Price New HorizonsPortfolio 1Portfolio 2Portfolio 3T. Rowe Price New Horizons
200710.97%0.56%2.11%2.94%$10,097$10,056$10,211$10,2942.94%-1.00%2.11%
200721.60%0.82%-1.68%-0.12%$10,259$10,138$10,039$10,282-0.12%3.39%-1.68%
20073-0.43%-0.60%0.52%0.84%$10,215$10,077$10,092$10,3690.84%-1.70%0.52%
200741.46%3.25%5.58%2.00%$10,365$10,404$10,655$10,5762.00%0.90%5.58%
200751.20%0.49%3.15%4.57%$10,489$10,455$10,992$11,0594.57%-2.31%3.15%
20076-1.14%-0.23%0.48%-1.26%$10,369$10,431$11,044$10,920-1.26%-1.01%0.48%
20077-0.13%1.48%-0.15%-3.23%$10,355$10,586$11,028$10,567-3.23%3.32%-0.15%
200782.06%2.33%2.82%2.32%$10,568$10,832$11,339$10,8112.32%1.79%2.82%
200791.85%2.86%5.25%3.41%$10,764$11,141$11,934$11,1803.41%0.23%5.25%
2007101.53%4.61%7.04%1.27%$10,929$11,655$12,775$11,3221.27%1.81%7.04%
200711-0.58%-1.29%-6.76%-6.10%$10,866$11,505$11,911$10,632-6.10%5.35%-6.76%
200712-0.36%-0.34%-0.07%-0.07%$10,827$11,466$11,902$10,625-0.07%-0.64%-0.07%
20081-2.95%-4.90%-11.89%-8.00%$10,507$10,904$10,487$9,775-8.00%2.10%-11.89%
20082-2.13%-2.48%-4.83%-3.99%$10,283$10,633$9,981$9,385-3.99%-0.46%-4.83%
200830.73%2.02%1.87%-0.89%$10,358$10,848$10,167$9,301-0.89%2.14%1.87%
200841.70%2.24%7.98%6.66%$10,535$11,091$10,979$9,9216.66%-2.48%7.98%
200850.52%1.42%5.93%4.00%$10,590$11,249$11,630$10,3184.00%-2.69%5.93%
20086-2.70%-3.46%-9.61%-8.13%$10,304$10,860$10,512$9,479-8.13%2.65%-9.61%
200870.82%0.10%0.64%2.17%$10,388$10,872$10,580$9,6842.17%-0.37%0.64%
200882.17%2.14%1.45%1.55%$10,614$11,104$10,733$9,8341.55%2.74%1.45%
20089-4.25%-6.47%-15.58%-10.66%$10,162$10,386$9,061$8,786-10.66%1.47%-15.58%
200810-10.54%-7.58%-15.47%-21.56%$9,091$9,598$7,659$6,892-21.56%-1.86%-15.47%
2008114.55%4.42%-11.46%-11.02%$9,505$10,023$6,781$6,132-11.02%14.34%-11.46%
20081211.15%9.94%2.28%6.06%$10,564$11,019$6,936$6,5046.06%13.64%2.28%
20091-9.06%-7.68%-2.29%-5.06%$9,606$10,172$6,777$6,175-5.06%-13.07%-2.29%
20092-5.00%-3.51%-5.26%-8.17%$9,126$9,815$6,420$5,671-8.17%-1.54%-5.26%
200937.14%7.30%10.32%10.19%$9,778$10,532$7,083$6,24810.19%4.04%10.32%
200943.00%3.74%13.06%12.23%$10,071$10,926$8,008$7,01212.23%-6.95%13.06%
200950.64%0.33%3.21%3.96%$10,135$10,962$8,265$7,2903.96%-3.69%3.21%
200962.10%2.07%2.95%3.06%$10,349$11,189$8,509$7,5133.06%0.76%2.95%
200975.37%5.33%8.44%8.71%$10,905$11,785$9,227$8,1688.71%0.58%8.44%
200982.13%1.76%1.47%2.06%$11,137$11,992$9,362$8,3362.06%2.24%1.47%
200995.12%4.44%5.65%6.84%$11,707$12,524$9,891$8,9066.84%2.46%5.65%
200910-4.22%-2.89%-3.05%-5.21%$11,213$12,162$9,589$8,442-5.21%-2.62%-3.05%
2009113.04%4.43%6.35%4.20%$11,554$12,701$10,198$8,7964.20%1.21%6.35%
2009121.52%1.02%5.20%6.38%$11,730$12,830$10,728$9,3576.38%-6.34%5.20%
20101-0.28%-1.89%-6.47%-3.24%$11,697$12,588$10,034$9,054-3.24%2.69%-6.47%
201022.02%2.02%4.60%4.53%$11,934$12,842$10,496$9,4644.53%-0.34%4.60%
201033.10%2.72%7.71%8.31%$12,303$13,190$11,306$10,2508.31%-2.06%7.71%
201043.67%2.77%2.24%4.00%$12,755$13,556$11,559$10,6604.00%3.32%2.24%
20105-0.95%-1.27%-7.39%-6.45%$12,634$13,384$10,705$9,972-6.45%5.11%-7.39%
20106-0.25%0.17%-5.98%-6.42%$12,603$13,406$10,065$9,332-6.42%5.80%-5.98%
201072.68%2.74%7.26%6.86%$12,941$13,773$10,795$9,9726.86%-0.95%7.26%
201081.95%2.06%-5.13%-4.95%$13,193$14,057$10,242$9,478-4.95%8.40%-5.13%
201094.35%4.32%13.17%12.74%$13,767$14,664$11,591$10,68512.74%-2.51%13.17%
201010-0.25%0.64%6.34%4.21%$13,733$14,758$12,325$11,1354.21%-4.47%6.34%
2010111.71%-0.93%-0.17%4.99%$13,968$14,620$12,304$11,6914.99%-1.69%-0.17%
2010122.33%0.56%4.76%7.79%$14,294$14,702$12,889$12,6027.79%-3.68%4.76%
20111-1.08%-0.13%2.83%0.93%$14,140$14,684$13,254$12,7190.93%-3.08%2.83%
201123.44%2.43%3.16%5.15%$14,625$15,040$13,673$13,3735.15%1.65%3.16%
201132.03%-0.22%-0.45%3.88%$14,922$15,008$13,611$13,8933.88%0.03%-0.45%
201143.02%2.61%2.87%3.63%$15,372$15,400$14,002$14,3973.63%2.34%2.87%
201150.97%1.02%-1.22%-1.20%$15,521$15,556$13,832$14,224-1.20%3.42%-1.22%
20116-1.53%-2.17%-2.02%-0.79%$15,283$15,218$13,552$14,111-0.79%-2.33%-2.02%
201170.37%3.02%1.67%-3.31%$15,340$15,677$13,777$13,644-3.31%4.42%1.67%
201181.73%2.28%-5.07%-6.07%$15,605$16,035$13,079$12,816-6.07%9.66%-5.07%
201193.32%4.97%-4.49%-8.02%$16,123$16,832$12,491$11,789-8.02%13.20%-4.49%
2011103.43%2.19%10.40%13.69%$16,677$17,200$13,791$13,40313.69%-3.84%10.40%
2011111.35%-0.16%-2.69%0.59%$16,901$17,173$13,420$13,4830.59%1.98%-2.69%
2011121.74%1.63%-0.62%-0.33%$17,195$17,454$13,337$13,437-0.33%3.44%-0.62%
201213.65%4.04%8.42%7.64%$17,823$18,160$14,460$14,4647.64%-0.33%8.42%
201221.16%2.10%6.41%4.64%$18,030$18,541$15,387$15,1354.64%-2.59%6.41%
20123-0.36%0.81%5.05%2.98%$17,965$18,691$16,164$15,5852.98%-4.23%5.05%
201242.04%1.44%-1.17%-0.19%$18,332$18,959$15,975$15,555-0.19%4.83%-1.17%
201250.92%0.17%-7.04%-5.90%$18,501$18,991$14,850$14,637-5.90%9.03%-7.04%
201260.50%1.03%3.62%2.63%$18,594$19,187$15,388$15,0222.63%-1.68%3.62%
201271.25%2.34%1.00%-1.15%$18,825$19,635$15,541$14,849-1.15%3.82%1.00%
201281.26%2.05%5.19%3.79%$19,063$20,038$16,347$15,4123.79%-1.32%5.19%
20129-0.13%-0.71%0.89%2.11%$19,037$19,896$16,492$15,7372.11%-2.53%0.89%
201210-2.24%-3.09%-5.28%-3.80%$18,612$19,282$15,622$15,139-3.80%-0.48%-5.28%
2012111.47%1.34%1.31%1.54%$18,885$19,541$15,826$15,3731.54%1.38%1.31%
201212-0.38%-1.41%-0.46%1.57%$18,814$19,265$15,753$15,6141.57%-2.49%-0.46%
201311.90%-0.26%2.67%6.99%$19,172$19,215$16,174$16,7066.99%-3.19%2.67%
201321.61%0.78%0.34%1.94%$19,481$19,365$16,230$17,0311.94%1.24%0.34%
201331.90%1.35%3.03%3.98%$19,850$19,626$16,721$17,7093.98%-0.42%3.03%
201342.79%3.57%2.54%1.17%$20,405$20,326$17,145$17,9161.17%4.68%2.54%
20135-1.02%-1.43%3.58%4.10%$20,197$20,035$17,758$18,6504.10%-6.76%3.58%
20136-1.20%-2.80%-2.39%0.45%$19,955$19,475$17,333$18,7350.45%-3.27%-2.39%
201373.20%2.41%6.31%7.39%$20,593$19,944$18,428$20,1197.39%-2.26%6.31%
20138-0.52%-0.80%-0.40%0.05%$20,486$19,783$18,355$20,1290.05%-1.34%-0.40%
201394.06%3.03%4.83%6.41%$21,318$20,382$19,242$21,4186.41%0.66%4.83%
2013101.36%3.47%4.96%1.32%$21,608$21,088$20,195$21,7011.32%1.43%4.96%
2013111.41%0.96%3.55%4.10%$21,914$21,291$20,913$22,5904.10%-2.70%3.55%
2013121.19%1.01%2.92%3.06%$22,175$21,506$21,524$23,2823.06%-1.87%2.92%
201412.84%2.19%-1.92%-0.63%$22,805$21,977$21,111$23,136-0.63%6.30%-1.92%
201423.37%2.74%5.15%6.42%$23,573$22,580$22,198$24,6206.42%0.52%5.15%
20143-1.53%-0.97%-2.73%-3.82%$23,211$22,361$21,591$23,679-3.82%0.73%-2.73%
20144-1.91%0.93%-0.32%-6.14%$22,769$22,569$21,523$22,225-6.14%2.10%-0.32%
201452.17%3.68%4.49%1.27%$23,262$23,400$22,488$22,5071.27%2.95%4.49%
201462.91%1.37%3.12%6.62%$23,940$23,720$23,190$23,9966.62%-0.25%3.12%
20147-1.79%0.92%1.18%-4.49%$23,511$23,938$23,464$22,920-4.49%0.67%1.18%
201484.76%4.86%5.01%4.81%$24,630$25,102$24,640$24,0224.81%4.72%5.01%
20149-2.93%-1.45%-0.76%-3.88%$23,909$24,739$24,453$23,091-3.88%-2.11%-0.76%
2014103.62%2.73%2.64%4.58%$24,776$25,414$25,100$24,1474.58%2.81%2.64%
2014112.07%3.75%4.55%1.04%$25,289$26,366$26,241$24,3991.04%2.97%4.55%
2014122.33%0.52%-2.24%1.24%$25,878$26,503$25,652$24,7011.24%3.25%-2.24%
201514.44%3.87%-2.08%-0.94%$27,027$27,528$25,118$24,470-0.94%9.82%-2.08%
20152-0.48%0.16%7.22%5.79%$26,896$27,572$26,932$25,8865.79%-6.14%7.22%
201531.31%-0.65%-2.36%1.53%$27,250$27,393$26,296$26,2811.53%1.10%-2.36%
20154-2.50%-0.77%1.92%-1.59%$26,569$27,181$26,802$25,864-1.59%-3.43%1.92%
201550.21%-0.02%2.25%2.68%$26,624$27,176$27,404$26,5582.68%-2.37%2.25%
20156-1.82%-3.24%-2.48%0.23%$26,139$26,295$26,724$26,6200.23%-4.07%-2.48%
201573.21%4.55%4.56%2.03%$26,977$27,492$27,942$27,1612.03%4.55%4.56%
20158-3.41%-3.91%-6.82%-5.84%$26,059$26,417$26,035$25,576-5.84%-0.69%-6.82%
20159-1.11%-0.16%-2.20%-4.02%$25,770$26,375$25,461$24,549-4.02%1.97%-2.20%
2015102.87%5.46%11.37%6.16%$26,509$27,817$28,356$26,0616.16%-0.41%11.37%
2015110.53%-0.09%0.61%1.84%$26,648$27,792$28,529$26,5411.84%-0.87%0.61%
201512-1.58%-0.98%-1.59%-2.75%$26,228$27,518$28,075$25,812-2.75%-0.30%-1.59%
20161-1.84%-0.67%-6.91%-9.26%$25,745$27,334$26,135$23,423-9.26%5.57%-6.91%
201620.82%0.91%-1.57%-1.82%$25,957$27,582$25,726$22,997-1.82%3.09%-1.57%
201633.39%3.08%6.85%7.64%$26,836$28,433$27,489$24,7547.64%-0.09%6.85%
201640.13%-1.90%-3.19%1.11%$26,870$27,893$26,613$25,0281.11%-0.74%-3.19%
201651.66%2.47%4.37%2.60%$27,315$28,583$27,776$25,6782.60%0.81%4.37%
201664.28%2.55%-2.27%1.37%$28,483$29,311$27,144$26,0311.37%6.93%-2.27%
201673.64%4.39%7.15%5.42%$29,520$30,599$29,085$27,4415.42%2.10%7.15%
201680.07%-0.05%1.05%1.28%$29,542$30,583$29,390$27,7941.28%-1.01%1.05%
20169-0.37%0.24%2.21%0.87%$29,433$30,658$30,041$28,0370.87%-1.51%2.21%
201610-4.48%-2.98%-1.46%-4.60%$28,113$29,745$29,603$26,748-4.60%-4.38%-1.46%
201611-1.53%-3.99%0.44%5.61%$27,683$28,557$29,732$28,2505.61%-8.21%0.44%
201612-1.01%0.35%1.13%-1.51%$27,405$28,658$30,069$27,823-1.51%-0.46%1.13%
201712.58%2.98%5.14%4.34%$28,111$29,511$31,615$29,0304.34%0.81%5.14%
201722.82%3.01%4.38%4.01%$28,903$30,399$32,998$30,1934.01%1.59%4.38%
201730.44%0.73%2.03%1.47%$29,029$30,622$33,667$30,6361.47%-0.65%2.03%
201742.42%2.18%2.73%3.21%$29,732$31,289$34,585$31,6193.21%1.57%2.73%
201752.02%2.95%3.90%2.13%$30,332$32,211$35,933$32,2942.13%1.89%3.90%
201761.17%-0.86%-2.32%1.51%$30,687$31,934$35,100$32,7821.51%0.79%-2.32%
201770.69%1.81%4.06%1.90%$30,898$32,513$36,526$33,4051.90%-0.66%4.06%
201782.24%2.69%2.07%1.21%$31,590$33,389$37,283$33,8101.21%3.41%2.07%
201790.70%-1.24%-0.29%3.42%$31,812$32,974$37,173$34,9663.42%-2.32%-0.29%
2017101.14%2.46%4.61%2.13%$32,174$33,784$38,886$35,7112.13%-0.04%4.61%
2017111.29%1.42%1.97%1.74%$32,589$34,262$39,652$36,3351.74%0.74%1.97%
2017121.19%1.14%0.60%0.69%$32,978$34,654$39,891$36,5850.69%1.81%0.60%
201811.38%2.75%8.76%6.01%$33,433$35,607$43,384$38,7846.01%-3.26%8.76%
20182-2.39%-2.11%-1.29%-1.79%$32,634$34,854$42,823$38,088-1.79%-3.04%-1.29%
201832.43%-0.84%-4.08%2.05%$33,428$34,561$41,078$38,8682.05%2.86%-4.08%
20184-1.32%-0.75%0.51%-0.63%$32,985$34,302$41,286$38,624-0.63%-2.09%0.51%
201853.95%3.92%5.67%5.69%$34,289$35,647$43,628$40,8235.69%2.01%5.67%
201861.95%0.91%1.15%3.07%$34,956$35,972$44,128$42,0763.07%0.65%1.15%
201870.10%0.82%2.80%1.39%$34,990$36,267$45,362$42,6611.39%-1.44%2.80%
201884.58%3.74%5.78%7.26%$36,593$37,623$47,984$45,7587.26%1.31%5.78%
20189-1.10%-1.43%-0.28%0.27%$36,192$37,084$47,848$45,8830.27%-2.86%-0.28%
201810-6.28%-6.10%-8.60%-8.80%$33,919$34,820$43,736$41,846-8.80%-2.93%-8.60%
2018111.35%0.67%-0.26%1.00%$34,376$35,053$43,620$42,2641.00%1.79%-0.26%
201812-2.90%-1.99%-8.65%-9.94%$33,380$34,355$39,845$38,064-9.94%5.85%-8.65%
201915.78%4.69%9.01%11.18%$35,309$35,968$43,435$42,32011.18%0.38%9.01%
201923.26%0.90%2.99%7.45%$36,460$36,291$44,734$45,4717.45%-1.38%2.99%
201933.12%4.70%3.92%1.09%$37,600$37,996$46,490$45,9691.09%5.57%3.92%
201940.77%1.96%5.50%3.16%$37,890$38,741$49,046$47,4223.16%-1.99%5.50%
201951.98%-1.38%-8.23%-2.01%$38,640$38,205$45,012$46,466-2.01%6.84%-8.23%
201964.07%4.32%7.59%6.87%$40,212$39,857$48,429$49,6576.87%0.95%7.59%
201971.05%1.35%2.33%1.72%$40,634$40,393$49,559$50,5101.72%0.26%2.33%
201984.33%4.20%-1.90%-1.27%$42,395$42,088$48,618$49,870-1.27%11.04%-1.90%
20199-3.13%-0.89%0.92%-3.55%$41,069$41,714$49,064$48,101-3.55%-2.68%0.92%
2019100.29%1.67%4.38%1.63%$41,189$42,412$51,213$48,8831.63%-1.11%4.38%
2019113.41%1.92%4.07%6.93%$42,595$43,228$53,297$52,2716.93%-0.41%4.07%
201912-1.32%0.57%3.89%0.28%$42,030$43,473$55,368$52,4180.28%-3.20%3.89%
202016.21%5.36%3.04%4.73%$44,641$45,806$57,051$54,8994.73%7.69%3.04%
202021.88%0.42%-6.06%-3.01%$45,479$46,000$53,595$53,248-3.01%6.63%-6.06%
20203-3.05%0.13%-7.29%-13.71%$44,091$46,059$49,690$45,946-13.71%6.38%-7.29%
202047.55%7.04%14.97%16.37%$47,419$49,303$57,130$53,46916.37%1.22%14.97%
202054.82%2.04%6.60%12.80%$49,704$50,310$60,901$60,31112.80%-1.76%6.60%
202062.52%3.16%6.28%4.82%$50,955$51,902$64,729$63,2164.82%0.34%6.28%
202075.63%5.86%7.35%6.84%$53,825$54,943$69,484$67,5426.84%4.44%7.35%
20208-0.38%2.89%10.94%4.24%$53,623$56,533$77,089$70,4034.24%-5.05%10.94%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3T. Rowe Price New Horizons
Large-cap Value0.00%0.00%0.00%0.00%
Large-cap Growth14.48%53.87%96.24%27.11%
Mid-cap Value0.00%0.00%0.00%0.00%
Mid-cap Growth21.31%0.00%0.00%42.98%
Small-cap Value0.00%0.00%0.00%0.00%
Small-cap Growth14.74%0.00%0.00%29.90%
Global ex-US Developed Markets0.00%0.00%0.00%0.00%
Emerging Markets0.00%0.80%3.76%0.00%
Corporate Bonds0.00%0.00%0.00%0.00%
Long-Term Treasuries49.48%45.32%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%0.00%
R Squared91.33%90.93%88.94%90.45%
Style analysis is based on monthly returns from Jan 2007 to Aug 2020 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
PRNHXT. Rowe Price New HorizonsMid-Cap Growth50.00%0.76%38.99$29,81568.52%
TLTiShares 20+ Year Treasury Bond ETFLong Government50.00%0.15%18.93$13,80831.48%
100.00%0.46%38.9918.93$43,623100.00%

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
TLTiShares 20+ Year Treasury Bond ETFLong Government50.00%0.15%18.93$14,13332.50%
QQQInvesco QQQ TrustLarge Growth50.00%0.20%35.87$32,40067.50%
100.00%0.18%35.8718.93$46,533100.00%

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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
QQQInvesco QQQ TrustLarge Growth100.00%0.20%35.87$67,089100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/28/2020. (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 3T. Rowe Price New Horizons
Arithmetic Mean (monthly)1.07%1.10%1.39%1.34%
Arithmetic Mean (annualized)13.60%14.00%18.01%17.34%
Geometric Mean (monthly)1.03%1.06%1.25%1.20%
Geometric Mean (annualized)13.08%13.51%16.12%15.35%
Volatility (monthly)2.79%2.70%5.22%5.36%
Volatility (annualized)9.68%9.37%18.08%18.55%
Downside Deviation (monthly)1.63%1.50%3.27%3.45%
Max. Drawdown-16.82%-17.65%-49.74%-49.92%
US Market Correlation0.610.600.920.93
Beta(*)0.370.300.861.00
Alpha (annualized)6.85%8.34%2.87%0.00%
R250.55%35.34%77.45%100.00%
Sharpe Ratio1.231.310.870.82
Sortino Ratio2.072.311.381.26
Treynor Ratio (%)32.1740.9418.4115.21
Calmar Ratio2.202.211.621.63
Active Return-2.28%-1.84%0.77%N/A
Tracking Error13.51%15.01%8.98%N/A
Information Ratio-0.17-0.120.09N/A
Skewness-0.56-0.39-0.50-0.62
Excess Kurtosis2.841.290.851.93
Historical Value-at-Risk (5%)-3.34%-3.50%-8.02%-8.16%
Analytical Value-at-Risk (5%)-3.58%-3.36%-7.20%-7.47%
Conditional Value-at-Risk (5%)-5.91%-5.52%-11.19%-11.64%
Upside Capture Ratio (%)46.1842.5091.19100.00
Downside Capture Ratio (%)24.1714.9784.18100.00
Safe Withdrawal Rate12.86%13.36%11.86%11.23%
Perpetual Withdrawal Rate10.42%10.78%12.88%12.27%
Positive Periods114 out of 164 (69.51%)113 out of 164 (68.90%)105 out of 164 (64.02%)112 out of 164 (68.29%)
Gain/Loss Ratio1.181.281.100.89
* T. Rowe Price New Horizons 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 3T. Rowe Price New Horizons
Subprime CrisisNov 2007Mar 2009-16.82%-17.65%-49.74%-49.92%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Oct 20081 yearAug 200910 months1 year 10 months-16.82%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-8.78%
3Sep 2016Dec 20164 monthsApr 20174 months8 months-7.24%
4Apr 2015Jan 201610 monthsMay 20164 months1 year 2 months-5.52%
5Oct 2009Oct 20091 monthDec 20092 months3 months-4.22%
6Mar 2014Apr 20142 monthsJun 20142 months4 months-3.41%
7Sep 2019Sep 20191 monthNov 20192 months3 months-3.13%
8Mar 2020Mar 20201 monthApr 20201 month2 months-3.05%
9Sep 2014Sep 20141 monthOct 20141 month2 months-2.93%
10Feb 2018Feb 20181 monthMay 20183 months4 months-2.39%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Oct 20081 yearJul 20099 months1 year 9 months-17.65%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-8.69%
3Oct 2016Nov 20162 monthsApr 20175 months7 months-6.85%
4Mar 2015Jun 20154 monthsOct 20154 months8 months-4.63%
5May 2013Jun 20132 monthsSep 20133 months5 months-4.19%
6Sep 2012Jan 20135 monthsApr 20133 months8 months-4.10%
7Feb 2018Apr 20183 monthsMay 20181 month4 months-3.67%
8Oct 2009Oct 20091 monthNov 20091 month2 months-2.89%
9Jun 2011Jun 20111 monthJul 20111 month2 months-2.17%
10Apr 2016Apr 20161 monthMay 20161 month2 months-1.90%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-49.74%
2Sep 2018Dec 20184 monthsApr 20194 months8 months-16.96%
3Feb 2020Mar 20202 monthsApr 20201 month3 months-12.90%
4May 2011Sep 20115 monthsJan 20124 months9 months-10.79%
5Dec 2015Feb 20163 monthsJul 20165 months8 months-9.82%
6Aug 2015Sep 20152 monthsOct 20151 month3 months-8.88%
7May 2019May 20191 monthJul 20192 months3 months-8.23%
8Apr 2012May 20122 monthsAug 20123 months5 months-8.13%
9Feb 2018Mar 20182 monthsMay 20182 months4 months-5.32%
10Oct 2012Oct 20121 monthMar 20135 months6 months-5.28%
Worst 10 drawdowns included above

Drawdowns for T. Rowe Price New Horizons

Drawdowns for T. Rowe Price New Horizons (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsNov 20101 year 9 months3 years 1 month-49.92%
2May 2011Sep 20115 monthsJan 20124 months9 months-18.11%
3Oct 2018Dec 20183 monthsMar 20193 months6 months-17.04%
4Feb 2020Mar 20202 monthsMay 20202 months4 months-16.31%
5Aug 2015Feb 20167 monthsJul 20165 months1 year-15.33%
6Mar 2014Apr 20142 monthsDec 20148 months10 months-9.73%
7Apr 2012May 20122 monthsSep 20124 months6 months-6.09%
8Aug 2019Sep 20192 monthsNov 20192 months4 months-4.77%
9Oct 2016Oct 20161 monthNov 20161 month2 months-4.60%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.45%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PRNHXT. Rowe Price New Horizons15.35%18.55%49.11%-38.78%-49.92%0.821.260.93
TLTiShares 20+ Year Treasury Bond ETF7.86%13.81%33.96%-21.80%-21.80%0.550.99-0.35
QQQInvesco QQQ Trust16.12%18.08%54.68%-41.73%-49.74%0.871.380.92

Monthly Correlations

Correlations for the portfolio assets
TickerNamePRNHXTLTQQQPortfolio 1Portfolio 2Portfolio 3T. Rowe Price New Horizons
PRNHXT. Rowe Price New Horizons1.00-0.310.880.710.590.881.00
TLTiShares 20+ Year Treasury Bond ETF-0.311.00-0.340.440.43-0.34-0.31
QQQInvesco QQQ Trust0.88-0.341.000.570.691.000.88

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
PRNHXT. Rowe Price New Horizons$29,815
TLTiShares 20+ Year Treasury Bond ETF$13,808$14,133
QQQInvesco QQQ Trust$32,400$67,089

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
PRNHXT. Rowe Price New Horizons68.52%
TLTiShares 20+ Year Treasury Bond ETF31.48%32.50%
QQQInvesco QQQ Trust67.50%100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3T. Rowe Price New Horizons
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year12.02%25.92%-2.43%12.33%26.54%-3.90%16.74%54.68%-41.73%16.12%49.11%-38.78%
3 years11.94%17.63%5.46%11.95%16.57%7.68%15.45%24.36%2.37%15.50%27.36%-2.19%
5 years12.17%17.15%8.52%12.12%15.62%9.82%15.65%25.42%5.77%15.64%29.05%6.09%
7 years12.41%13.87%9.94%12.28%13.97%10.16%16.46%22.11%11.57%16.52%21.76%12.81%
10 years12.05%13.61%10.61%11.96%12.98%11.10%15.36%19.10%11.64%15.52%19.33%10.77%
Result statistics are based on annualized rolling returns over full calendar year periods