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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy 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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Portfolio Analysis Results (Jun 2007 - Feb 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IVV iShares Core S&P 500 ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
EWA iShares MSCI Australia ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VEU Vanguard FTSE All-Wld ex-US ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$1,262,793 2.01% 7.45%6.10%14.89%32.30%-37.02%-50.78%
(-54.39%)
0.510.741.00
Portfolio 2$1,000,000$681,523 -3.21% 2.61%2.03%24.00%68.13%-47.95%-63.81%
(-66.47%)
0.200.290.81
Portfolio 3$1,000,000$533,845 -5.20% 1.62%0.60%19.05%37.59%-43.45%-58.41%
(-61.44%)
0.150.210.89
* The number in parenthesis shows the calculated value taking into account the periodic withdrawals.
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2007 are based on full calendar months from June to December
  • The annual results for 2019 are based on full calendar months from January to February
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include monthly rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Inflation adjusted monthly withdrawal of $3,333 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares Core S&P 500 ETF (IVV)iShares MSCI Australia ETF (EWA)Vanguard FTSE All-Wld ex-US ETF (VEU)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
20071.00%-3.06%8.02%4.41%$946,258$1,056,802$1,020,542-$23,436-3.06%8.02%4.41%
20080.09%-37.02%-47.95%-43.45%$564,074$521,145$546,670-$41,410-37.02%-47.95%-43.45%
20092.72%26.60%68.13%37.59%$664,382$818,442$700,453-$41,26326.60%68.13%37.59%
20101.50%15.09%15.30%11.81%$717,358$894,530$735,591-$41,94015.09%15.30%11.81%
20112.96%1.86%-11.65%-14.02%$687,720$751,121$593,875-$43,2641.86%-11.65%-14.02%
20121.74%16.06%24.11%18.90%$752,161$882,903$657,706-$44,15916.06%24.11%18.90%
20131.50%32.30%1.77%14.18%$944,263$853,777$702,199-$44,80632.30%1.77%14.18%
20140.76%13.56%-4.66%-4.54%$1,023,601$772,307$627,022-$45,53313.56%-4.66%-4.54%
20150.73%1.30%-9.96%-4.78%$991,001$652,026$554,193-$45,5871.30%-9.96%-4.78%
20162.07%12.16%11.11%4.91%$1,061,722$675,354$533,684-$46,16212.16%11.11%4.91%
20172.11%21.76%19.93%27.39%$1,240,987$759,443$627,991-$47,14521.76%19.93%27.39%
20181.91%-4.47%-12.02%-14.19%$1,140,834$623,947$495,770-$48,297-4.47%-12.02%-14.19%
20190.61%11.41%10.55%9.32%$1,262,793$681,523$533,845-$8,08611.41%10.55%9.32%
Annual returns for 2007 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Core S&P 500 ETF (IVV)iShares MSCI Australia ETF (EWA)Vanguard FTSE All-Wld ex-US ETF (VEU)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20076-1.55%2.04%0.67%$981,206$1,017,091$1,003,372-1.55%2.04%0.67%
20077-3.19%-1.51%-1.16%$946,575$998,390$988,415-3.19%-1.51%-1.16%
200781.31%-0.36%-0.20%$955,651$991,497$983,1531.31%-0.36%-0.20%
200794.09%13.78%6.15%$991,403$1,124,779$1,040,3084.09%13.78%6.15%
2007101.41%9.19%6.37%$1,002,054$1,224,744$1,103,1871.41%9.19%6.37%
200711-4.11%-8.84%-4.96%$957,474$1,113,051$1,045,085-4.11%-8.84%-4.96%
200712-0.82%-4.75%-2.03%$946,258$1,056,802$1,020,542-0.82%-4.75%-2.03%
20081-6.27%-6.73%-7.75%$883,548$982,281$938,106-6.27%-6.73%-7.75%
20082-2.76%-1.26%-0.22%$855,808$966,463$932,631-2.76%-1.26%-0.22%
20083-0.63%-2.94%-0.09%$846,968$934,637$928,344-0.63%-2.94%-0.09%
200844.82%7.84%5.92%$884,390$1,004,484$979,8444.82%7.84%5.92%
200851.28%5.36%1.42%$892,275$1,054,888$990,2741.28%5.36%1.42%
20086-8.39%-9.57%-8.38%$813,932$950,469$903,816-8.39%-9.57%-8.38%
20087-0.74%-6.01%-3.68%$804,366$889,851$867,069-0.74%-6.01%-3.68%
200881.49%-4.26%-5.11%$812,820$848,428$819,2701.49%-4.26%-5.11%
20089-8.89%-13.77%-12.48%$737,038$728,093$713,545-8.89%-13.77%-12.48%
200810-16.63%-27.02%-22.76%$610,979$527,888$547,660-16.63%-27.02%-22.76%
200811-7.46%-8.87%-6.77%$561,966$477,646$507,165-7.46%-8.87%-6.77%
2008120.97%9.81%8.45%$564,074$521,145$546,6700.97%9.81%8.45%
20091-8.13%-17.13%-13.00%$514,844$428,485$472,246-8.13%-17.13%-13.00%
20092-10.56%-3.36%-9.21%$457,086$410,691$425,349-10.56%-3.36%-9.21%
200938.02%19.34%10.14%$490,347$486,711$465,0918.02%19.34%10.14%
2009410.14%9.71%13.23%$536,629$530,547$523,20010.14%9.71%13.23%
200955.84%12.12%15.17%$564,534$591,406$599,1395.84%12.12%15.17%
200960.04%2.31%-2.07%$561,287$601,605$583,2650.04%2.31%-2.07%
200977.38%12.68%10.61%$599,286$674,428$641,6977.38%12.68%10.61%
200983.66%7.08%2.92%$617,763$718,710$656,9783.66%7.08%2.92%
200993.63%11.49%5.68%$636,730$797,862$690,8013.63%11.49%5.68%
200910-1.92%-2.96%-3.17%$621,012$770,744$665,429-1.92%-2.96%-3.17%
2009116.09%6.38%4.85%$655,354$816,481$694,2546.09%6.38%4.85%
2009121.91%0.66%1.39%$664,382$818,442$700,4531.91%0.66%1.39%
20101-3.71%-7.62%-5.76%$636,250$752,618$656,665-3.71%-7.62%-5.76%
201023.15%4.93%1.31%$652,810$786,240$661,8183.15%4.93%1.31%
201036.11%8.45%6.72%$689,227$849,159$702,8336.11%8.45%6.72%
201041.62%-2.37%-1.76%$696,893$825,506$687,0031.62%-2.37%-1.76%
20105-8.00%-14.21%-10.90%$637,640$704,734$608,606-8.00%-14.21%-10.90%
20106-5.26%-4.70%-1.34%$600,598$668,151$596,977-5.26%-4.70%-1.34%
201076.99%13.54%10.76%$639,075$755,128$657,7226.99%13.54%10.76%
20108-4.43%-2.27%-3.43%$607,286$734,459$631,633-4.43%-2.27%-3.43%
201098.81%12.73%10.60%$657,300$824,422$695,0658.81%12.73%10.60%
2010103.84%3.07%3.59%$679,055$846,267$716,5153.84%3.07%3.59%
201011-0.07%-3.88%-4.10%$675,091$809,905$683,604-0.07%-3.88%-4.10%
2010126.78%10.88%8.12%$717,358$894,530$735,5916.78%10.88%8.12%
201112.30%-2.24%0.80%$730,306$870,958$737,9172.30%-2.24%0.80%
201123.46%4.99%2.74%$752,035$910,836$754,6163.46%4.99%2.74%
20113-0.00%1.95%-0.22%$748,425$925,046$749,355-0.00%1.95%-0.22%
201142.95%6.20%5.45%$766,933$978,779$786,6222.95%6.20%5.45%
20115-1.19%-5.48%-3.17%$754,183$921,492$758,045-1.19%-5.48%-3.17%
20116-1.68%-0.81%-1.09%$737,925$910,375$746,148-1.68%-0.81%-1.09%
20117-1.97%-3.22%-2.37%$719,759$877,398$724,851-1.97%-3.22%-2.37%
20118-5.52%-3.45%-8.47%$676,373$843,488$659,809-5.52%-3.45%-8.47%
20119-6.80%-17.58%-13.01%$626,764$691,530$570,343-6.80%-17.58%-13.01%
20111010.65%18.34%11.49%$689,896$814,762$632,26210.65%18.34%11.49%
201111-0.32%-2.02%-2.57%$684,077$794,663$612,379-0.32%-2.02%-2.57%
2011121.06%-5.02%-2.43%$687,720$751,121$593,8751.06%-5.02%-2.43%
201214.61%9.24%6.86%$715,809$816,855$630,9824.61%9.24%6.86%
201224.21%1.41%5.31%$742,309$824,715$660,8414.21%1.41%5.31%
201233.29%-1.01%-0.90%$763,057$812,705$651,2403.29%-1.01%-0.90%
20124-0.66%1.40%-1.81%$754,343$820,425$635,770-0.66%1.40%-1.81%
20125-6.01%-12.92%-11.40%$705,328$710,747$559,607-6.01%-12.92%-11.40%
201264.20%7.54%6.52%$731,293$760,653$592,4414.20%7.54%6.52%
201271.24%6.09%0.49%$736,712$803,282$591,6601.24%6.09%0.49%
201282.48%1.25%2.65%$751,271$809,639$603,6292.48%1.25%2.65%
201292.34%1.36%3.49%$765,121$816,969$620,9772.34%1.36%3.49%
201210-2.02%3.32%0.77%$745,941$840,391$622,040-2.02%3.32%0.77%
2012110.87%1.59%1.80%$748,736$850,035$629,5580.87%1.59%1.80%
2012120.95%4.30%5.06%$752,161$882,903$657,7060.95%4.30%5.06%
201315.11%3.90%2.43%$786,935$913,630$669,9725.11%3.90%2.43%
201321.36%2.91%-1.39%$793,884$936,492$656,9581.36%2.91%-1.39%
201333.68%0.60%0.62%$819,359$938,335$657,3073.68%0.60%0.62%
201341.96%3.92%3.75%$831,721$971,392$678,2511.96%3.92%3.75%
201352.40%-13.13%-3.31%$847,945$840,099$652,0972.40%-13.13%-3.31%
20136-1.59%-5.32%-3.58%$830,720$791,640$624,984-1.59%-5.32%-3.58%
201375.39%3.01%4.70%$871,744$811,736$650,6385.39%3.01%4.70%
20138-3.04%0.95%-1.99%$841,517$815,665$633,961-3.04%0.95%-1.99%
201393.24%7.62%7.58%$865,031$874,094$678,2513.24%7.62%7.58%
2013104.61%5.54%3.33%$901,185$918,777$697,1164.61%5.54%3.33%
2013112.98%-4.91%0.34%$924,328$869,913$695,7412.98%-4.91%0.34%
2013122.56%-1.43%1.47%$944,263$853,777$702,1992.56%-1.43%1.47%
20141-3.49%-5.46%-5.80%$907,555$803,432$657,755-3.49%-5.46%-5.80%
201424.56%8.29%5.63%$945,176$866,273$691,0154.56%8.29%5.63%
201430.87%3.69%0.46%$949,632$894,429$690,4130.87%3.69%0.46%
201440.74%2.24%1.47%$952,899$910,682$696,7680.74%2.24%1.47%
201452.28%0.42%1.92%$970,854$910,656$706,3312.28%0.42%1.92%
201462.09%-0.14%1.68%$987,314$905,598$714,3612.09%-0.14%1.68%
20147-1.40%1.76%-1.47%$969,713$917,722$700,023-1.40%1.76%-1.47%
201483.97%2.14%1.01%$1,004,390$933,583$703,2763.97%2.14%1.01%
20149-1.38%-11.86%-4.88%$986,758$819,085$665,156-1.38%-11.86%-4.88%
2014102.39%6.22%0.20%$1,006,494$866,259$662,7012.39%6.22%0.20%
2014112.75%-7.08%-0.32%$1,030,426$801,158$656,7672.75%-7.08%-0.32%
201412-0.30%-3.13%-3.96%$1,023,601$772,307$627,022-0.30%-3.13%-3.96%
20151-2.90%-1.13%-0.02%$990,167$759,852$623,142-2.90%-1.13%-0.02%
201525.65%8.03%5.85%$1,042,304$817,100$655,8245.65%8.03%5.85%
20153-1.59%-3.46%-1.41%$1,021,943$785,021$642,782-1.59%-3.46%-1.41%
201540.97%2.01%4.74%$1,028,084$797,025$669,4610.97%2.01%4.74%
201551.30%-3.34%-1.04%$1,037,647$766,555$658,6971.30%-3.34%-1.04%
20156-1.98%-4.44%-2.81%$1,013,299$728,725$636,381-1.98%-4.44%-2.81%
201572.19%-0.52%-0.29%$1,031,674$721,088$630,7212.19%-0.52%-0.29%
20158-6.14%-10.85%-7.75%$964,471$639,024$578,043-6.14%-10.85%-7.75%
20159-2.49%-3.91%-4.04%$936,616$610,198$550,904-2.49%-3.91%-4.04%
2015108.47%5.58%6.69%$1,012,167$640,437$583,9238.47%5.58%6.69%
2015110.39%0.90%-1.32%$1,012,333$642,387$572,4150.39%0.90%-1.32%
201512-1.73%2.09%-2.52%$991,001$652,026$554,193-1.73%2.09%-2.52%
20161-5.00%-6.96%-5.60%$937,623$602,834$519,373-5.00%-6.96%-5.60%
20162-0.06%-2.04%-2.44%$933,292$586,731$502,899-0.06%-2.04%-2.44%
201636.82%11.81%8.31%$993,152$652,181$540,8596.82%11.81%8.31%
201640.39%3.16%2.11%$993,210$668,938$548,4300.39%3.16%2.11%
201651.69%-2.41%-0.79%$1,006,164$648,977$540,2231.69%-2.41%-0.79%
201660.25%1.42%-0.72%$1,004,839$654,318$532,4850.25%1.42%-0.72%
201673.74%7.40%4.25%$1,038,550$698,905$551,2453.74%7.40%4.25%
201680.13%-3.21%0.69%$1,036,022$672,628$551,2100.13%-3.21%0.69%
201690.01%3.36%1.58%$1,032,265$691,379$556,0630.01%3.36%1.58%
201610-1.78%-2.97%-1.69%$1,010,028$666,995$542,764-1.78%-2.97%-1.69%
2016113.67%0.79%-2.13%$1,043,217$668,389$527,3503.67%0.79%-2.13%
2016122.14%1.62%1.93%$1,061,722$675,354$533,6842.14%1.62%1.93%
201711.75%4.99%4.14%$1,076,423$705,180$551,8981.75%4.99%4.14%
201723.98%3.34%1.26%$1,115,306$724,848$554,9513.98%3.34%1.26%
201730.12%3.01%2.99%$1,112,712$742,735$567,6420.12%3.01%2.99%
201740.97%-0.66%2.09%$1,119,532$733,888$575,5910.97%-0.66%2.09%
201751.39%-4.32%3.05%$1,131,218$698,271$589,2321.39%-4.32%3.05%
201760.67%3.10%0.51%$1,134,877$716,011$588,2830.67%3.10%0.51%
201772.07%4.70%3.38%$1,154,499$745,775$604,2322.07%4.70%3.38%
201780.27%-0.22%0.64%$1,153,723$740,197$604,1520.27%-0.22%0.64%
201792.04%-0.93%1.84%$1,173,316$729,378$611,3062.04%-0.93%1.84%
2017102.32%1.16%1.95%$1,196,639$733,875$619,2982.32%1.16%1.95%
2017113.12%0.31%0.63%$1,230,044$732,185$619,2623.12%0.31%0.63%
2017121.21%4.26%2.05%$1,240,987$759,443$627,9911.21%4.26%2.05%
201815.69%2.59%5.70%$1,307,637$775,136$659,8255.69%2.59%5.70%
20182-3.80%-4.00%-5.31%$1,253,900$740,166$620,812-3.80%-4.00%-5.31%
20183-2.47%-3.51%-0.44%$1,218,975$710,218$614,054-2.47%-3.51%-0.44%
201840.35%0.77%0.57%$1,219,277$711,686$613,5390.35%0.77%0.57%
201852.41%1.71%-1.99%$1,244,638$719,841$597,2762.41%1.71%-1.99%
201860.59%2.14%-2.14%$1,247,896$731,193$580,4790.59%2.14%-2.14%
201873.75%1.37%2.89%$1,290,610$737,179$593,2363.75%1.37%2.89%
201883.23%-1.88%-2.34%$1,328,302$719,307$575,2933.23%-1.88%-2.34%
201890.54%-1.65%0.44%$1,331,387$703,427$573,8060.54%-1.65%0.44%
201810-6.82%-6.87%-8.30%$1,236,507$651,037$522,129-6.82%-6.87%-8.30%
2018111.92%0.97%1.47%$1,256,222$653,319$525,7471.92%0.97%1.47%
201812-8.86%-3.88%-4.94%$1,140,834$623,947$495,770-8.86%-3.88%-4.94%
201917.92%6.96%7.57%$1,227,210$663,345$529,2617.92%6.96%7.57%
201923.23%3.35%1.63%$1,262,793$681,523$533,8453.23%3.35%1.63%
* End-of-month balance includes the monthly contribution/withdrawal

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value46.36%0.00%0.00%
Large-cap Growth53.46%0.00%0.00%
Mid-cap Value0.00%2.88%0.00%
Mid-cap Growth0.00%0.00%0.00%
Small-cap Value0.00%4.78%1.32%
Small-cap Growth0.04%0.00%0.00%
Global ex-US Developed Markets0.00%37.96%73.31%
Emerging Markets0.00%54.38%25.37%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.14%0.00%0.00%
R Squared99.94%82.72%99.72%
Style analysis is based on monthly returns from Jun 2007 to Feb 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IVViShares Core S&P 500 ETFLarge Blend0.04%100.00%$783,880100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
EWAiShares MSCI Australia ETFMiscellaneous Region0.47%100.00%$202,611100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
VEUVanguard FTSE All-Wld ex-US ETFForeign Large Blend0.09%100.00%$54,933100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/03/2019. © 2019 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)0.69%0.46%0.29%
Arithmetic Mean (annualized)8.65%5.65%3.51%
Geometric Mean (monthly)0.60%0.21%0.13%
Geometric Mean (annualized)7.45%2.61%1.62%
Volatility (monthly)4.30%6.93%5.50%
Volatility (annualized)14.89%24.00%19.05%
Downside Deviation (monthly)2.98%4.85%3.91%
Max. Drawdown-50.78%-63.81%-58.41%
US Market Correlation1.000.810.89
Beta(*)0.961.261.09
Alpha (annualized)0.16%-5.21%-5.82%
R299.37%65.96%78.45%
Sharpe Ratio0.510.200.15
Sortino Ratio0.740.290.21
Treynor Ratio (%)7.983.852.57
Calmar Ratio1.130.870.58
Active Return-0.07%-4.91%-5.90%
Tracking Error1.31%14.59%8.97%
Information Ratio-0.05-0.34-0.66
Skewness-0.73-0.42-0.50
Excess Kurtosis1.551.722.03
Historical Value-at-Risk (5%)-7.95%-12.81%-9.14%
Analytical Value-at-Risk (5%)-6.38%-10.94%-8.76%
Conditional Value-at-Risk (5%)-9.92%-16.54%-13.25%
Upside Capture Ratio (%)96.92107.4689.60
Downside Capture Ratio (%)96.76132.74117.85
Safe Withdrawal Rate8.72%7.89%7.03%
Perpetual Withdrawal Rate5.26%0.89%0.00%
Positive Periods92 out of 141 (65.25%)78 out of 141 (55.32%)76 out of 141 (53.90%)
Gain/Loss Ratio0.810.960.99
* 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 2009-50.78%-63.81%-58.41%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.78%
2Oct 2018Dec 20183 months-13.45%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-6.18%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-4.69%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.49%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.19%
9Aug 2013Aug 20131 monthSep 20131 month2 months-3.04%
10Oct 2012Oct 20121 monthJan 20133 months4 months-2.02%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20134 years5 years 4 months-63.81%
2Sep 2014Feb 20161 year 6 monthsDec 20171 year 10 months3 years 4 months-30.84%
3May 2013Jun 20132 monthsJul 20141 year 1 month1 year 3 months-17.76%
4Feb 2018Dec 201811 months-14.24%
5Jul 2007Aug 20072 monthsSep 20071 month3 months-1.86%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMay 20178 years 3 months9 years 7 months-58.41%
2Feb 2018Dec 201811 months-18.82%
3Jul 2007Aug 20072 monthsSep 20071 month3 months-1.35%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IVViShares Core S&P 500 ETF7.45%14.89%32.30%-37.02%-50.78%0.510.741.00
EWAiShares MSCI Australia ETF2.61%24.00%68.13%-47.95%-63.81%0.200.290.81
VEUVanguard FTSE All-Wld ex-US ETF1.62%19.05%37.59%-43.45%-58.41%0.150.210.89

Monthly Correlations

Correlations for the portfolio assets
TickerNameIVVEWAVEUPortfolio 1Portfolio 2Portfolio 3
IVViShares Core S&P 500 ETF-0.810.891.000.810.89
EWAiShares MSCI Australia ETF0.81-0.910.811.000.91
VEUVanguard FTSE All-Wld ex-US ETF0.890.91-0.890.911.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IVViShares Core S&P 500 ETF$783,880
EWAiShares MSCI Australia ETF$202,611
VEUVanguard FTSE All-Wld ex-US ETF$54,933

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IVViShares Core S&P 500 ETF100.00%
EWAiShares MSCI Australia ETF100.00%
VEUVanguard FTSE All-Wld ex-US ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year9.02%32.30%-37.02%4.92%68.13%-47.95%3.07%37.59%-43.45%
3 years11.45%20.36%-2.82%4.88%19.64%-4.40%4.09%9.77%-4.54%
5 years12.32%17.91%1.64%4.15%16.69%-0.85%4.10%12.42%-2.32%
7 years12.23%14.76%7.23%4.05%9.25%1.02%4.04%7.25%-0.44%
10 years10.78%13.08%8.47%5.33%8.09%2.56%4.30%6.47%2.12%
Result statistics are based on annualized rolling returns over full calendar year periods