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 | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | 70.00% |
| TLT | iShares 20+ Year Treasury Bond ETF | 30.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| TLT | iShares 20+ Year Treasury Bond ETF | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $27,393 | 9.23% | 15.04% | 32.31% | -34.49% | -46.33% | 0.63 | 0.91 | 1.00 |
| Portfolio 2 | $10,000 | $28,854 | 9.73% | 10.01% | 21.66% | -13.35% | -28.06% | 0.93 | 1.36 | 0.89 |
| Portfolio 3 | $10,000 | $22,211 | 7.24% | 14.29% | 35.96% | -21.80% | -21.80% | 0.52 | 0.93 | -0.32 |
| Name | Annualized Return | Annualized Volatility | ||||||
|---|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
| Portfolio 1 | 2.46% | 14.32% | 14.78% | 10.69% | 13.60% | 9.23% | 12.01% | 11.89% |
| Portfolio 2 | 3.71% | 18.00% | 11.88% | 9.36% | 12.07% | 9.73% | 8.09% | 8.10% |
| Portfolio 3 | 6.87% | 27.53% | 5.13% | 6.08% | 7.07% | 7.24% | 11.73% | 12.12% |
| Trailing annualized return and volatility are for full months ending in October 2019 excluding portfolio cashflows. | ||||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | SPDR S&P 500 ETF Trust (SPY) | iShares 20+ Year Treasury Bond ETF (TLT) | |||
|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | ||||
| 2008 | -2.96% | -34.49% | $6,551 | -13.35% | $8,665 | 35.96% | $13,596 | -34.49% | 35.96% |
| 2009 | 2.72% | 26.36% | $8,279 | 11.91% | $9,697 | -21.80% | $10,632 | 26.36% | -21.80% |
| 2010 | 1.50% | 15.06% | $9,525 | 13.25% | $10,982 | 9.05% | $11,593 | 15.06% | 9.05% |
| 2011 | 2.96% | 1.89% | $9,705 | 11.51% | $12,246 | 33.96% | $15,530 | 1.89% | 33.96% |
| 2012 | 1.74% | 15.99% | $11,257 | 11.98% | $13,714 | 2.63% | $15,939 | 15.99% | 2.63% |
| 2013 | 1.50% | 32.31% | $14,893 | 18.60% | $16,265 | -13.37% | $13,808 | 32.31% | -13.37% |
| 2014 | 0.76% | 13.46% | $16,898 | 17.61% | $19,130 | 27.30% | $17,577 | 13.46% | 27.30% |
| 2015 | 0.73% | 1.25% | $17,110 | 0.34% | $19,195 | -1.79% | $17,263 | 1.25% | -1.79% |
| 2016 | 2.07% | 12.00% | $19,163 | 8.75% | $20,875 | 1.18% | $17,467 | 12.00% | 1.18% |
| 2017 | 2.11% | 21.70% | $23,322 | 17.95% | $24,621 | 9.18% | $19,071 | 21.70% | 9.18% |
| 2018 | 1.91% | -4.56% | $22,259 | -3.67% | $23,717 | -1.61% | $18,764 | -4.56% | -1.61% |
| 2019 | 2.43% | 23.06% | $27,393 | 21.66% | $28,854 | 18.37% | $22,211 | 23.06% | 18.37% |
| Annual return for 2008 is from 06/01/2008 to 12/31/2008 and annual return for 2019 is from 01/01/2019 to 10/31/2019 | |||||||||
| Year | Month | Portfolio 1 | Portfolio 2 | Portfolio 3 | SPDR S&P 500 ETF Trust (SPY) | iShares 20+ Year Treasury Bond ETF (TLT) | |||
|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | ||||
| 2008 | 6 | -8.35% | $9,165 | -5.05% | $9,495 | 2.65% | $10,265 | -8.35% | 2.65% |
| 2008 | 7 | -0.90% | $9,083 | -0.73% | $9,426 | -0.37% | $10,228 | -0.90% | -0.37% |
| 2008 | 8 | 1.55% | $9,223 | 1.93% | $9,608 | 2.74% | $10,508 | 1.55% | 2.74% |
| 2008 | 9 | -9.44% | $8,353 | -5.86% | $9,046 | 1.47% | $10,662 | -9.44% | 1.47% |
| 2008 | 10 | -16.52% | $6,973 | -11.34% | $8,020 | -1.86% | $10,464 | -16.52% | -1.86% |
| 2008 | 11 | -6.96% | $6,488 | 1.38% | $8,130 | 14.34% | $11,964 | -6.96% | 14.34% |
| 2008 | 12 | 0.98% | $6,551 | 6.57% | $8,665 | 13.64% | $13,596 | 0.98% | 13.64% |
| 2009 | 1 | -8.21% | $6,013 | -9.67% | $7,827 | -13.07% | $11,819 | -8.21% | -13.07% |
| 2009 | 2 | -10.74% | $5,367 | -8.09% | $7,194 | -1.54% | $11,637 | -10.74% | -1.54% |
| 2009 | 3 | 8.35% | $5,815 | 7.02% | $7,699 | 4.04% | $12,108 | 8.35% | 4.04% |
| 2009 | 4 | 9.93% | $6,393 | 4.86% | $8,073 | -6.95% | $11,266 | 9.93% | -6.95% |
| 2009 | 5 | 5.85% | $6,767 | 3.30% | $8,339 | -3.69% | $10,850 | 5.85% | -3.69% |
| 2009 | 6 | -0.07% | $6,762 | 0.14% | $8,351 | 0.76% | $10,932 | -0.07% | 0.76% |
| 2009 | 7 | 7.46% | $7,267 | 5.74% | $8,830 | 0.58% | $10,995 | 7.46% | 0.58% |
| 2009 | 8 | 3.69% | $7,535 | 3.35% | $9,125 | 2.24% | $11,241 | 3.69% | 2.24% |
| 2009 | 9 | 3.55% | $7,802 | 3.29% | $9,425 | 2.46% | $11,517 | 3.55% | 2.46% |
| 2009 | 10 | -1.92% | $7,652 | -2.09% | $9,229 | -2.62% | $11,216 | -1.92% | -2.62% |
| 2009 | 11 | 6.16% | $8,124 | 5.01% | $9,691 | 1.21% | $11,352 | 6.16% | 1.21% |
| 2009 | 12 | 1.91% | $8,279 | 0.06% | $9,697 | -6.34% | $10,632 | 1.91% | -6.34% |
| 2010 | 1 | -3.63% | $7,978 | -1.74% | $9,529 | 2.69% | $10,918 | -3.63% | 2.69% |
| 2010 | 2 | 3.12% | $8,227 | 2.04% | $9,723 | -0.34% | $10,881 | 3.12% | -0.34% |
| 2010 | 3 | 6.09% | $8,728 | 3.60% | $10,072 | -2.06% | $10,657 | 6.09% | -2.06% |
| 2010 | 4 | 1.55% | $8,863 | 2.06% | $10,280 | 3.32% | $11,011 | 1.55% | 3.32% |
| 2010 | 5 | -7.95% | $8,158 | -4.12% | $9,856 | 5.11% | $11,574 | -7.95% | 5.11% |
| 2010 | 6 | -5.17% | $7,736 | -1.65% | $9,694 | 5.80% | $12,244 | -5.17% | 5.80% |
| 2010 | 7 | 6.83% | $8,265 | 4.14% | $10,095 | -0.95% | $12,128 | 6.83% | -0.95% |
| 2010 | 8 | -4.50% | $7,893 | -0.26% | $10,069 | 8.40% | $13,147 | -4.50% | 8.40% |
| 2010 | 9 | 8.96% | $8,600 | 4.86% | $10,558 | -2.51% | $12,816 | 8.96% | -2.51% |
| 2010 | 10 | 3.82% | $8,928 | 1.07% | $10,671 | -4.47% | $12,244 | 3.82% | -4.47% |
| 2010 | 11 | 0.00% | $8,928 | -0.53% | $10,614 | -1.69% | $12,037 | 0.00% | -1.69% |
| 2010 | 12 | 6.68% | $9,525 | 3.47% | $10,982 | -3.68% | $11,593 | 6.68% | -3.68% |
| 2011 | 1 | 2.33% | $9,747 | 0.71% | $11,060 | -3.08% | $11,236 | 2.33% | -3.08% |
| 2011 | 2 | 3.47% | $10,086 | 2.95% | $11,386 | 1.65% | $11,422 | 3.47% | 1.65% |
| 2011 | 3 | 0.01% | $10,087 | 0.02% | $11,388 | 0.03% | $11,425 | 0.01% | 0.03% |
| 2011 | 4 | 2.90% | $10,379 | 2.74% | $11,699 | 2.34% | $11,692 | 2.90% | 2.34% |
| 2011 | 5 | -1.12% | $10,262 | 0.17% | $11,719 | 3.42% | $12,092 | -1.12% | 3.42% |
| 2011 | 6 | -1.69% | $10,089 | -1.88% | $11,499 | -2.33% | $11,811 | -1.69% | -2.33% |
| 2011 | 7 | -2.00% | $9,887 | -0.13% | $11,484 | 4.42% | $12,332 | -2.00% | 4.42% |
| 2011 | 8 | -5.50% | $9,344 | -0.87% | $11,384 | 9.66% | $13,524 | -5.50% | 9.66% |
| 2011 | 9 | -6.94% | $8,695 | -0.14% | $11,368 | 13.20% | $15,309 | -6.94% | 13.20% |
| 2011 | 10 | 10.91% | $9,644 | 5.27% | $11,967 | -3.84% | $14,722 | 10.91% | -3.84% |
| 2011 | 11 | -0.41% | $9,605 | 0.43% | $12,018 | 1.98% | $15,013 | -0.41% | 1.98% |
| 2011 | 12 | 1.04% | $9,705 | 1.90% | $12,246 | 3.44% | $15,530 | 1.04% | 3.44% |
| 2012 | 1 | 4.64% | $10,155 | 3.15% | $12,632 | -0.33% | $15,479 | 4.64% | -0.33% |
| 2012 | 2 | 4.34% | $10,596 | 2.33% | $12,926 | -2.59% | $15,078 | 4.34% | -2.59% |
| 2012 | 3 | 3.22% | $10,936 | 1.16% | $13,076 | -4.23% | $14,439 | 3.22% | -4.23% |
| 2012 | 4 | -0.67% | $10,863 | 0.77% | $13,177 | 4.83% | $15,137 | -0.67% | 4.83% |
| 2012 | 5 | -6.01% | $10,211 | -1.92% | $12,923 | 9.03% | $16,503 | -6.01% | 9.03% |
| 2012 | 6 | 4.05% | $10,625 | 2.32% | $13,223 | -1.68% | $16,226 | 4.05% | -1.68% |
| 2012 | 7 | 1.18% | $10,750 | 1.95% | $13,481 | 3.82% | $16,845 | 1.18% | 3.82% |
| 2012 | 8 | 2.51% | $11,020 | 1.38% | $13,666 | -1.32% | $16,623 | 2.51% | -1.32% |
| 2012 | 9 | 2.54% | $11,299 | 1.08% | $13,813 | -2.53% | $16,202 | 2.54% | -2.53% |
| 2012 | 10 | -1.82% | $11,094 | -1.45% | $13,613 | -0.48% | $16,123 | -1.82% | -0.48% |
| 2012 | 11 | 0.57% | $11,156 | 0.79% | $13,721 | 1.38% | $16,346 | 0.57% | 1.38% |
| 2012 | 12 | 0.90% | $11,257 | -0.05% | $13,714 | -2.49% | $15,939 | 0.90% | -2.49% |
| 2013 | 1 | 5.12% | $11,833 | 2.63% | $14,074 | -3.19% | $15,432 | 5.12% | -3.19% |
| 2013 | 2 | 1.28% | $11,984 | 1.27% | $14,252 | 1.24% | $15,623 | 1.28% | 1.24% |
| 2013 | 3 | 3.80% | $12,439 | 2.60% | $14,623 | -0.42% | $15,557 | 3.80% | -0.42% |
| 2013 | 4 | 1.92% | $12,678 | 2.68% | $15,015 | 4.68% | $16,286 | 1.92% | 4.68% |
| 2013 | 5 | 2.36% | $12,977 | -0.19% | $14,986 | -6.76% | $15,185 | 2.36% | -6.76% |
| 2013 | 6 | -1.34% | $12,804 | -1.84% | $14,710 | -3.27% | $14,688 | -1.34% | -3.27% |
| 2013 | 7 | 5.17% | $13,466 | 3.25% | $15,189 | -2.26% | $14,356 | 5.17% | -2.26% |
| 2013 | 8 | -3.00% | $13,062 | -2.59% | $14,795 | -1.34% | $14,164 | -3.00% | -1.34% |
| 2013 | 9 | 3.17% | $13,476 | 2.55% | $15,172 | 0.66% | $14,257 | 3.17% | 0.66% |
| 2013 | 10 | 4.63% | $14,100 | 3.85% | $15,757 | 1.43% | $14,461 | 4.63% | 1.43% |
| 2013 | 11 | 2.96% | $14,518 | 1.62% | $16,012 | -2.70% | $14,071 | 2.96% | -2.70% |
| 2013 | 12 | 2.59% | $14,893 | 1.58% | $16,265 | -1.87% | $13,808 | 2.59% | -1.87% |
| 2014 | 1 | -3.52% | $14,368 | -0.58% | $16,171 | 6.30% | $14,678 | -3.52% | 6.30% |
| 2014 | 2 | 4.55% | $15,022 | 3.26% | $16,698 | 0.52% | $14,755 | 4.55% | 0.52% |
| 2014 | 3 | 0.83% | $15,147 | 0.80% | $16,832 | 0.73% | $14,863 | 0.83% | 0.73% |
| 2014 | 4 | 0.70% | $15,253 | 1.13% | $17,022 | 2.10% | $15,174 | 0.70% | 2.10% |
| 2014 | 5 | 2.32% | $15,607 | 2.52% | $17,451 | 2.95% | $15,621 | 2.32% | 2.95% |
| 2014 | 6 | 2.06% | $15,929 | 1.33% | $17,683 | -0.25% | $15,583 | 2.06% | -0.25% |
| 2014 | 7 | -1.34% | $15,715 | -0.72% | $17,556 | 0.67% | $15,686 | -1.34% | 0.67% |
| 2014 | 8 | 3.95% | $16,335 | 4.19% | $18,292 | 4.72% | $16,427 | 3.95% | 4.72% |
| 2014 | 9 | -1.38% | $16,109 | -1.61% | $17,998 | -2.11% | $16,081 | -1.38% | -2.11% |
| 2014 | 10 | 2.36% | $16,489 | 2.50% | $18,448 | 2.81% | $16,533 | 2.36% | 2.81% |
| 2014 | 11 | 2.75% | $16,942 | 2.82% | $18,967 | 2.97% | $17,024 | 2.75% | 2.97% |
| 2014 | 12 | -0.26% | $16,898 | 0.86% | $19,130 | 3.25% | $17,577 | -0.26% | 3.25% |
| 2015 | 1 | -2.96% | $16,398 | 0.87% | $19,296 | 9.82% | $19,303 | -2.96% | 9.82% |
| 2015 | 2 | 5.62% | $17,319 | 1.78% | $19,640 | -6.14% | $18,118 | 5.62% | -6.14% |
| 2015 | 3 | -1.57% | $17,047 | -0.77% | $19,489 | 1.10% | $18,316 | -1.57% | 1.10% |
| 2015 | 4 | 0.98% | $17,214 | -0.37% | $19,416 | -3.43% | $17,689 | 0.98% | -3.43% |
| 2015 | 5 | 1.29% | $17,436 | 0.20% | $19,455 | -2.37% | $17,269 | 1.29% | -2.37% |
| 2015 | 6 | -2.03% | $17,082 | -2.62% | $18,945 | -4.07% | $16,567 | -2.03% | -4.07% |
| 2015 | 7 | 2.26% | $17,468 | 2.91% | $19,497 | 4.55% | $17,320 | 2.26% | 4.55% |
| 2015 | 8 | -6.10% | $16,403 | -4.53% | $18,614 | -0.69% | $17,200 | -6.10% | -0.69% |
| 2015 | 9 | -2.54% | $15,986 | -1.18% | $18,394 | 1.97% | $17,538 | -2.54% | 1.97% |
| 2015 | 10 | 8.51% | $17,346 | 5.73% | $19,448 | -0.41% | $17,467 | 8.51% | -0.41% |
| 2015 | 11 | 0.37% | $17,409 | 0.00% | $19,449 | -0.87% | $17,315 | 0.37% | -0.87% |
| 2015 | 12 | -1.72% | $17,110 | -1.31% | $19,195 | -0.30% | $17,263 | -1.72% | -0.30% |
| 2016 | 1 | -4.98% | $16,258 | -1.81% | $18,847 | 5.57% | $18,225 | -4.98% | 5.57% |
| 2016 | 2 | -0.08% | $16,245 | 0.94% | $19,024 | 3.09% | $18,788 | -0.08% | 3.09% |
| 2016 | 3 | 6.72% | $17,337 | 4.48% | $19,876 | -0.09% | $18,771 | 6.72% | -0.09% |
| 2016 | 4 | 0.39% | $17,405 | 0.04% | $19,884 | -0.74% | $18,632 | 0.39% | -0.74% |
| 2016 | 5 | 1.70% | $17,702 | 1.42% | $20,166 | 0.81% | $18,783 | 1.70% | 0.81% |
| 2016 | 6 | 0.35% | $17,763 | 2.40% | $20,649 | 6.93% | $20,085 | 0.35% | 6.93% |
| 2016 | 7 | 3.65% | $18,411 | 3.15% | $21,299 | 2.10% | $20,507 | 3.65% | 2.10% |
| 2016 | 8 | 0.12% | $18,433 | -0.24% | $21,247 | -1.01% | $20,300 | 0.12% | -1.01% |
| 2016 | 9 | 0.01% | $18,435 | -0.48% | $21,146 | -1.51% | $19,993 | 0.01% | -1.51% |
| 2016 | 10 | -1.73% | $18,115 | -2.57% | $20,603 | -4.38% | $19,118 | -1.73% | -4.38% |
| 2016 | 11 | 3.68% | $18,782 | 0.00% | $20,603 | -8.21% | $17,547 | 3.68% | -8.21% |
| 2016 | 12 | 2.03% | $19,163 | 1.32% | $20,875 | -0.46% | $17,467 | 2.03% | -0.46% |
| 2017 | 1 | 1.79% | $19,506 | 1.50% | $21,188 | 0.81% | $17,609 | 1.79% | 0.81% |
| 2017 | 2 | 3.93% | $20,273 | 3.23% | $21,872 | 1.59% | $17,888 | 3.93% | 1.59% |
| 2017 | 3 | 0.13% | $20,298 | -0.10% | $21,850 | -0.65% | $17,771 | 0.13% | -0.65% |
| 2017 | 4 | 0.99% | $20,500 | 1.16% | $22,104 | 1.57% | $18,051 | 0.99% | 1.57% |
| 2017 | 5 | 1.41% | $20,789 | 1.55% | $22,447 | 1.89% | $18,392 | 1.41% | 1.89% |
| 2017 | 6 | 0.64% | $20,922 | 0.68% | $22,600 | 0.79% | $18,537 | 0.64% | 0.79% |
| 2017 | 7 | 2.06% | $21,352 | 1.26% | $22,884 | -0.66% | $18,415 | 2.06% | -0.66% |
| 2017 | 8 | 0.29% | $21,414 | 1.19% | $23,156 | 3.41% | $19,043 | 0.29% | 3.41% |
| 2017 | 9 | 2.01% | $21,845 | 0.74% | $23,327 | -2.32% | $18,601 | 2.01% | -2.32% |
| 2017 | 10 | 2.36% | $22,360 | 1.67% | $23,717 | -0.04% | $18,594 | 2.36% | -0.04% |
| 2017 | 11 | 3.06% | $23,044 | 2.41% | $24,287 | 0.74% | $18,732 | 3.06% | 0.74% |
| 2017 | 12 | 1.21% | $23,322 | 1.37% | $24,621 | 1.81% | $19,071 | 1.21% | 1.81% |
| 2018 | 1 | 5.64% | $24,636 | 2.97% | $25,352 | -3.26% | $18,450 | 5.64% | -3.26% |
| 2018 | 2 | -3.64% | $23,741 | -3.47% | $24,473 | -3.04% | $17,889 | -3.64% | -3.04% |
| 2018 | 3 | -2.74% | $23,090 | -1.16% | $24,190 | 2.86% | $18,400 | -2.74% | 2.86% |
| 2018 | 4 | 0.52% | $23,209 | -0.25% | $24,129 | -2.09% | $18,016 | 0.52% | -2.09% |
| 2018 | 5 | 2.43% | $23,773 | 2.31% | $24,686 | 2.01% | $18,377 | 2.43% | 2.01% |
| 2018 | 6 | 0.58% | $23,910 | 0.60% | $24,834 | 0.65% | $18,496 | 0.58% | 0.65% |
| 2018 | 7 | 3.70% | $24,796 | 2.22% | $25,385 | -1.44% | $18,231 | 3.70% | -1.44% |
| 2018 | 8 | 3.19% | $25,587 | 2.67% | $26,063 | 1.31% | $18,470 | 3.19% | 1.31% |
| 2018 | 9 | 0.59% | $25,740 | -0.35% | $25,971 | -2.86% | $17,941 | 0.59% | -2.86% |
| 2018 | 10 | -6.91% | $23,961 | -5.85% | $24,453 | -2.93% | $17,416 | -6.91% | -2.93% |
| 2018 | 11 | 1.85% | $24,405 | 1.84% | $24,902 | 1.79% | $17,727 | 1.85% | 1.79% |
| 2018 | 12 | -8.79% | $22,259 | -4.76% | $23,717 | 5.85% | $18,764 | -8.79% | 5.85% |
| 2019 | 1 | 8.01% | $24,041 | 5.72% | $25,073 | 0.38% | $18,835 | 8.01% | 0.38% |
| 2019 | 2 | 3.24% | $24,821 | 1.93% | $25,556 | -1.38% | $18,576 | 3.24% | -1.38% |
| 2019 | 3 | 1.81% | $25,269 | 2.85% | $26,284 | 5.57% | $19,612 | 1.81% | 5.57% |
| 2019 | 4 | 4.09% | $26,302 | 2.37% | $26,906 | -1.99% | $19,222 | 4.09% | -1.99% |
| 2019 | 5 | -6.38% | $24,625 | -2.80% | $26,153 | 6.84% | $20,536 | -6.38% | 6.84% |
| 2019 | 6 | 6.96% | $26,338 | 5.17% | $27,505 | 0.95% | $20,731 | 6.96% | 0.95% |
| 2019 | 7 | 1.51% | $26,736 | 1.15% | $27,823 | 0.26% | $20,784 | 1.51% | 0.26% |
| 2019 | 8 | -1.67% | $26,289 | 1.93% | $28,359 | 11.04% | $23,080 | -1.67% | 11.04% |
| 2019 | 9 | 1.95% | $26,801 | 0.52% | $28,507 | -2.68% | $22,461 | 1.95% | -2.68% |
| 2019 | 10 | 2.21% | $27,393 | 1.22% | $28,854 | -1.11% | $22,211 | 2.21% | -1.11% |
| Style Category | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|
| Large-cap Value | 46.02% | 32.11% | 0.00% |
| Large-cap Growth | 53.66% | 37.52% | 0.00% |
| Mid-cap Value | 0.00% | 0.00% | 0.00% |
| Mid-cap Growth | 0.00% | 0.00% | 0.00% |
| Small-cap Value | 0.00% | 0.00% | 0.00% |
| Small-cap Growth | 0.00% | 0.00% | 0.00% |
| Global ex-US Developed Markets | 0.00% | 0.00% | 0.00% |
| Emerging Markets | 0.07% | 0.00% | 0.00% |
| Corporate Bonds | 0.25% | 0.70% | 0.00% |
| Long-Term Treasuries | 0.00% | 29.51% | 100.00% |
| Intermediate-Term Treasuries | 0.00% | 0.16% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.00% | 0.00% |
| R Squared | 99.93% | 99.92% | 100.00% |
| Style analysis is based on monthly returns from June 2008 to October 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 | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | Large Blend | 100.00% | 1.25% | 0.09% | 26.07 | $17,393 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Duration | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | Large Blend | 70.00% | 1.25% | 0.09% | 26.07 | $14,352 | 94.19% | |
| TLT | iShares 20+ Year Treasury Bond ETF | Long Government | 30.00% | 2.13% | 0.15% | 18.58 | $4,501 | 5.81% | |
| 100.00% | 1.51% | 0.11% | 26.07 | 18.58 | $18,854 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | Duration | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| TLT | iShares 20+ Year Treasury Bond ETF | Long Government | 100.00% | 2.13% | 0.15% | 18.58 | $12,211 | 100.00% |
Fund fundamentals data as of 06/18/2021. (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) | 0.83% | 0.82% | 0.67% |
| Arithmetic Mean (annualized) | 10.47% | 10.28% | 8.30% |
| Geometric Mean (monthly) | 0.74% | 0.78% | 0.58% |
| Geometric Mean (annualized) | 9.23% | 9.73% | 7.24% |
| Volatility (monthly) | 4.34% | 2.89% | 4.13% |
| Volatility (annualized) | 15.04% | 10.01% | 14.29% |
| Downside Deviation (monthly) | 2.99% | 1.95% | 2.30% |
| Max. Drawdown | -46.33% | -28.06% | -21.80% |
| US Market Correlation | 1.00 | 0.89 | -0.32 |
| Beta(*) | 0.96 | 0.57 | -0.29 |
| Alpha (annualized) | 0.32% | 4.08% | 10.93% |
| R2 | 99.37% | 78.93% | 10.02% |
| Sharpe Ratio | 0.63 | 0.93 | 0.52 |
| Sortino Ratio | 0.91 | 1.36 | 0.93 |
| Treynor Ratio (%) | 9.80 | 16.22 | -25.63 |
| Calmar Ratio | 1.09 | 1.32 | 0.58 |
| Active Return | 0.05% | 0.54% | -1.94% |
| Tracking Error | 1.31% | 8.08% | 24.22% |
| Information Ratio | 0.04 | 0.07 | -0.08 |
| Skewness | -0.79 | -1.17 | 0.60 |
| Excess Kurtosis | 1.63 | 3.13 | 1.98 |
| Historical Value-at-Risk (5%) | -7.16% | -4.57% | -4.40% |
| Analytical Value-at-Risk (5%) | -6.31% | -3.98% | -6.12% |
| Conditional Value-at-Risk (5%) | -10.00% | -7.23% | -7.42% |
| Upside Capture Ratio (%) | 97.49 | 65.96 | -4.32 |
| Downside Capture Ratio (%) | 96.63 | 51.14 | -56.42 |
| Safe Withdrawal Rate | 10.69% | 12.54% | 12.92% |
| Perpetual Withdrawal Rate | 7.32% | 7.75% | 5.53% |
| Positive Periods | 93 out of 137 (67.88%) | 94 out of 137 (68.61%) | 72 out of 137 (52.55%) |
| Gain/Loss Ratio | 0.76 | 0.97 | 1.41 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | |||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jun 2008 | Feb 2009 | 9 months | Feb 2011 | 2 years | 2 years 9 months | -46.33% |
| 2 | May 2011 | Sep 2011 | 5 months | Feb 2012 | 5 months | 10 months | -16.23% |
| 3 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.52% |
| 4 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.48% |
| 5 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 3 months | 5 months | -6.63% |
| 6 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.38% |
| 7 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.28% |
| 8 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -3.52% |
| 9 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -3.21% |
| 10 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -3.00% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jun 2008 | Feb 2009 | 9 months | Mar 2010 | 1 year 1 month | 1 year 10 months | -28.06% |
| 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 | May 2010 | Jun 2010 | 2 months | Sep 2010 | 3 months | 5 months | -5.70% |
| 5 | Feb 2018 | Apr 2018 | 3 months | Jul 2018 | 3 months | 6 months | -4.82% |
| 6 | Aug 2016 | Oct 2016 | 3 months | Feb 2017 | 4 months | 7 months | -3.27% |
| 7 | Jun 2011 | Sep 2011 | 4 months | Oct 2011 | 1 month | 5 months | -3.00% |
| 8 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -2.80% |
| 9 | Aug 2013 | Aug 2013 | 1 month | Oct 2013 | 2 months | 3 months | -2.59% |
| 10 | May 2013 | Jun 2013 | 2 months | Jul 2013 | 1 month | 3 months | -2.03% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Jan 2009 | Dec 2009 | 1 year | Sep 2011 | 1 year 9 months | 2 years 9 months | -21.80% |
| 2 | Aug 2012 | Dec 2013 | 1 year 5 months | Nov 2014 | 11 months | 2 years 4 months | -18.03% |
| 3 | Aug 2016 | Oct 2018 | 2 years 3 months | May 2019 | 7 months | 2 years 10 months | -15.07% |
| 4 | Feb 2015 | Jun 2015 | 5 months | Jun 2016 | 1 year | 1 year 5 months | -14.17% |
| 5 | Jan 2012 | Mar 2012 | 3 months | May 2012 | 2 months | 5 months | -7.03% |
| 6 | Oct 2011 | Oct 2011 | 1 month | Dec 2011 | 2 months | 3 months | -3.84% |
| 7 | Sep 2019 | Oct 2019 | 2 months | -3.76% | |||
| 8 | Oct 2008 | Oct 2008 | 1 month | Nov 2008 | 1 month | 2 months | -1.86% |
| 9 | Jun 2012 | Jun 2012 | 1 month | Jul 2012 | 1 month | 2 months | -1.68% |
| 10 | Jul 2008 | Jul 2008 | 1 month | Aug 2008 | 1 month | 2 months | -0.37% |
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | 9.23% | 15.04% | 32.31% | -34.49% | -46.33% | 0.63 | 0.91 | 1.00 |
| TLT | iShares 20+ Year Treasury Bond ETF | 7.24% | 14.29% | 35.96% | -21.80% | -21.80% | 0.52 | 0.93 | -0.32 |
| Ticker | Name | SPY | TLT | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | 1.00 | -0.31 | 1.00 | 0.90 | -0.31 |
| TLT | iShares 20+ Year Treasury Bond ETF | -0.31 | 1.00 | -0.31 | 0.14 | 1.00 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | $17,393 | $14,352 | |
| TLT | iShares 20+ Year Treasury Bond ETF | $4,501 | $12,211 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | 100.00% | 94.19% | |
| TLT | iShares 20+ Year Treasury Bond ETF | 5.81% | 100.00% |
| Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | Average | High | Low | |
| 1 year | 13.30% | 53.27% | -32.33% | 11.65% | 35.15% | -16.61% | 6.48% | 37.76% | -21.80% |
| 3 years | 13.46% | 25.45% | 0.43% | 11.86% | 21.57% | 5.43% | 6.21% | 15.28% | -1.50% |
| 5 years | 13.73% | 22.86% | 5.35% | 12.02% | 18.34% | 7.84% | 6.04% | 12.07% | 0.31% |
| 7 years | 13.52% | 17.14% | 8.27% | 11.86% | 14.90% | 9.90% | 6.01% | 9.31% | 2.29% |
| 10 years | 13.19% | 16.55% | 9.05% | 11.68% | 13.52% | 9.46% | 5.73% | 7.46% | 3.27% |