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 Analysis Results (Jan 2011 - Nov 2021)

Portfolio Allocations

Templeton Global Bond Adv
Ticker Name Allocation
TGBAX Templeton Global Bond Adv 100.00%
Save portfolio »
PIMCO International Bond (USD-Hdg) Instl
Ticker Name Allocation
PFORX PIMCO International Bond (USD-Hdg) Instl 100.00%
Save portfolio »
PIMCO International Bond (Unhedged)Instl
Ticker Name Allocation
PFUIX PIMCO International Bond (Unhedged)Instl 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Templeton Global Bond Adv$10,000$11,532 1.31% 6.92%16.15%-5.43%-12.36% 0.140.200.47
PIMCO International Bond (USD-Hdg) Instl$10,000$17,098 5.04% 3.12%11.19%-1.29%-4.00% 1.422.420.24
PIMCO International Bond (Unhedged)Instl$10,000$12,766 2.26% 7.08%12.32%-6.86%-13.11% 0.270.410.46
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Templeton Global Bond Adv-1.93%-4.36%-3.64%-2.03%0.83%1.90%1.44%5.21%5.83%
PIMCO International Bond (USD-Hdg) Instl-0.11%-1.33%0.75%4.23%3.44%5.07%5.11%3.54%3.00%
PIMCO International Bond (Unhedged)Instl-1.64%-5.56%1.80%3.81%2.13%1.91%2.42%8.08%7.60%
Trailing return and volatility are as of last full calendar quarter ending September 2021
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 2021 are based on monthly returns from January to November
  • 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
YearInflationTempleton Global Bond AdvPIMCO International Bond (USD-Hdg) InstlPIMCO International Bond (Unhedged)InstlTempleton Global Bond Adv (TGBAX)PIMCO International Bond (USD-Hdg) Instl (PFORX)PIMCO International Bond (Unhedged)Instl (PFUIX)
ReturnBalanceReturnBalanceReturnBalance
20112.96%-2.21%$9,7796.77%$10,6778.38%$10,838-2.21%6.77%8.38%
20121.74%16.15%$11,35911.19%$11,8726.71%$11,56516.15%11.19%6.71%
20131.50%2.41%$11,6320.90%$11,978-5.63%$10,9142.41%0.90%-5.63%
20140.76%1.84%$11,84611.16%$13,3151.04%$11,0271.84%11.16%1.04%
20150.73%-4.03%$11,3680.40%$13,368-6.86%$10,271-4.03%0.40%-6.86%
20162.07%6.61%$12,1197.03%$14,3083.81%$10,6626.61%7.03%3.81%
20172.11%2.62%$12,4373.52%$14,81110.82%$11,8162.62%3.52%10.82%
20181.91%1.44%$12,6162.63%$15,201-3.64%$11,3861.44%2.63%-3.64%
20192.29%0.89%$12,7287.34%$16,3187.09%$12,1930.89%7.34%7.09%
20201.36%-4.19%$12,1946.15%$17,32212.32%$13,695-4.19%6.15%12.32%
20216.19%-5.43%$11,532-1.29%$17,098-6.79%$12,766-5.43%-1.29%-6.79%
Annual return for 2021 is from 01/01/2021 to 11/30/2021
Monthly returns for the configured portfolios
YearMonthTempleton Global Bond AdvPIMCO International Bond (USD-Hdg) InstlPIMCO International Bond (Unhedged)InstlTempleton Global Bond Adv (TGBAX)PIMCO International Bond (USD-Hdg) Instl (PFORX)PIMCO International Bond (Unhedged)Instl (PFUIX)
ReturnBalanceReturnBalanceReturnBalance
20111-0.64%$9,936-0.08%$9,9920.38%$10,038-0.64%-0.08%0.38%
201121.36%$10,0710.31%$10,0241.14%$10,1531.36%0.31%1.14%
201131.43%$10,215-0.05%$10,0190.12%$10,1651.43%-0.05%0.12%
201142.87%$10,5090.73%$10,0934.35%$10,6072.87%0.73%4.35%
20115-0.04%$10,5040.72%$10,166-0.87%$10,515-0.04%0.72%-0.87%
20116-0.33%$10,469-0.24%$10,1410.48%$10,565-0.33%-0.24%0.48%
201171.32%$10,6082.15%$10,3594.12%$11,0011.32%2.15%4.12%
20118-1.05%$10,4960.05%$10,3640.30%$11,034-1.05%0.05%0.30%
20119-7.97%$9,6600.62%$10,428-3.02%$10,701-7.97%0.62%-3.02%
2011105.01%$10,1440.60%$10,4901.85%$10,8995.01%0.60%1.85%
201111-3.69%$9,770-1.08%$10,377-2.26%$10,653-3.69%-1.08%-2.26%
2011120.09%$9,7792.90%$10,6771.73%$10,8380.09%2.90%1.73%
201215.29%$10,2961.32%$10,8182.47%$11,1065.29%1.32%2.47%
201222.80%$10,5850.21%$10,841-1.96%$10,8882.80%0.21%-1.96%
20123-0.96%$10,4830.71%$10,918-0.05%$10,883-0.96%0.71%-0.05%
201240.10%$10,4940.88%$11,0142.42%$11,1460.10%0.88%2.42%
20125-5.58%$9,9080.54%$11,073-1.91%$10,934-5.58%0.54%-1.91%
201264.75%$10,3790.17%$11,0920.44%$10,9814.75%0.17%0.44%
201272.60%$10,6501.90%$11,3022.25%$11,2282.60%1.90%2.25%
201280.32%$10,6841.07%$11,4231.95%$11,4470.32%1.07%1.95%
201292.39%$10,9402.00%$11,6523.02%$11,7922.39%2.00%3.02%
2012101.07%$11,0570.28%$11,684-0.52%$11,7311.07%0.28%-0.52%
2012111.21%$11,1911.01%$11,801-0.42%$11,6821.21%1.01%-0.42%
2012121.50%$11,3590.60%$11,872-1.00%$11,5651.50%0.60%-1.00%
201310.39%$11,403-0.02%$11,870-1.40%$11,4030.39%-0.02%-1.40%
201320.77%$11,4910.73%$11,957-2.06%$11,1680.77%0.73%-2.06%
201330.24%$11,5190.81%$12,053-0.52%$11,1100.24%0.81%-0.52%
201341.89%$11,7370.75%$12,1440.66%$11,1831.89%0.75%0.66%
20135-2.19%$11,479-1.91%$11,912-4.29%$10,703-2.19%-1.91%-4.29%
20136-2.39%$11,205-1.86%$11,690-1.21%$10,573-2.39%-1.86%-1.21%
201370.10%$11,2150.86%$11,7912.33%$10,8190.10%0.86%2.33%
20138-1.61%$11,034-0.36%$11,748-0.77%$10,736-1.61%-0.36%-0.77%
201392.63%$11,3250.57%$11,8142.11%$10,9622.63%0.57%2.11%
2013101.72%$11,5200.90%$11,9201.13%$11,0861.72%0.90%1.13%
201311-0.28%$11,4870.55%$11,986-1.17%$10,957-0.28%0.55%-1.17%
2013121.26%$11,632-0.06%$11,978-0.39%$10,9141.26%-0.06%-0.39%
20141-2.66%$11,3230.95%$12,0920.22%$10,938-2.66%0.95%0.22%
201421.91%$11,5390.87%$12,1972.52%$11,2141.91%0.87%2.52%
201431.58%$11,7210.69%$12,2810.92%$11,3161.58%0.69%0.92%
201440.17%$11,7410.70%$12,3681.62%$11,5000.17%0.70%1.62%
201452.02%$11,9780.62%$12,4440.37%$11,5432.02%0.62%0.37%
201460.47%$12,0350.92%$12,5581.82%$11,7530.47%0.92%1.82%
20147-0.05%$12,0290.91%$12,673-0.85%$11,652-0.05%0.91%-0.85%
201480.93%$12,1401.57%$12,8721.07%$11,7760.93%1.57%1.07%
20149-0.80%$12,0430.12%$12,887-4.12%$11,291-0.80%0.12%-4.12%
2014100.55%$12,1090.65%$12,971-0.68%$11,2140.55%0.65%-0.68%
201411-0.51%$12,0481.42%$13,155-1.03%$11,098-0.51%1.42%-1.03%
201412-1.68%$11,8461.21%$13,315-0.64%$11,027-1.68%1.21%-0.64%
20151-0.38%$11,8012.00%$13,581-0.79%$10,940-0.38%2.00%-0.79%
201521.16%$11,937-0.16%$13,559-0.31%$10,9061.16%-0.16%-0.31%
20153-0.54%$11,8720.72%$13,657-1.35%$10,759-0.54%0.72%-1.35%
201540.99%$11,990-1.13%$13,5032.31%$11,0080.99%-1.13%2.31%
201550.02%$11,993-1.21%$13,339-3.89%$10,5800.02%-1.21%-3.89%
20156-1.27%$11,840-1.71%$13,111-0.89%$10,485-1.27%-1.71%-0.89%
20157-0.80%$11,7461.82%$13,350-0.74%$10,407-0.80%1.82%-0.74%
20158-3.54%$11,330-0.86%$13,235-0.99%$10,304-3.54%-0.86%-0.99%
20159-1.88%$11,1170.34%$13,280-0.03%$10,301-1.88%0.34%-0.03%
2015103.37%$11,4910.81%$13,3871.49%$10,4543.37%0.81%1.49%
2015112.07%$11,7290.51%$13,455-1.58%$10,2892.07%0.51%-1.58%
201512-3.08%$11,368-0.65%$13,368-0.17%$10,271-3.08%-0.65%-0.17%
20161-0.66%$11,2921.08%$13,512-0.24%$10,247-0.66%1.08%-0.24%
20162-3.04%$10,9490.46%$13,5742.63%$10,516-3.04%0.46%2.63%
201633.92%$11,3781.21%$13,7394.68%$11,0083.92%1.21%4.68%
20164-0.07%$11,3710.35%$13,7872.56%$11,290-0.07%0.35%2.56%
20165-1.03%$11,2530.57%$13,866-2.62%$10,994-1.03%0.57%-2.62%
201660.74%$11,3362.30%$14,1853.75%$11,4070.74%2.30%3.75%
20167-0.78%$11,2481.01%$14,3291.31%$11,556-0.78%1.01%1.31%
201680.82%$11,3410.32%$14,375-0.31%$11,5200.82%0.32%-0.31%
20169-1.31%$11,1920.39%$14,4301.06%$11,642-1.31%0.39%1.06%
2016104.25%$11,668-0.76%$14,320-3.84%$11,1964.25%-0.76%-3.84%
2016110.46%$11,722-0.86%$14,197-4.37%$10,7060.46%-0.86%-4.37%
2016123.39%$12,1190.78%$14,308-0.40%$10,6623.39%0.78%-0.40%
20171-0.43%$12,067-0.77%$14,1982.39%$10,917-0.43%-0.77%2.39%
201722.74%$12,3981.41%$14,3980.63%$10,9862.74%1.41%0.63%
201732.30%$12,6820.00%$14,3980.55%$11,0472.30%0.00%0.55%
20174-0.61%$12,6050.28%$14,4390.76%$11,131-0.61%0.28%0.76%
20175-1.35%$12,4350.47%$14,5071.61%$11,309-1.35%0.47%1.61%
201760.66%$12,517-0.27%$14,4670.65%$11,3830.66%-0.27%0.65%
20177-0.45%$12,4610.48%$14,5373.28%$11,756-0.45%0.48%3.28%
20178-0.00%$12,4601.06%$14,6900.71%$11,840-0.00%1.06%0.71%
201791.65%$12,666-0.18%$14,664-0.88%$11,7361.65%-0.18%-0.88%
201710-0.59%$12,5920.77%$14,777-1.07%$11,610-0.59%0.77%-1.07%
2017110.23%$12,6200.38%$14,8341.24%$11,7540.23%0.38%1.24%
201712-1.46%$12,437-0.15%$14,8110.52%$11,816-1.46%-0.15%0.52%
201811.17%$12,5820.19%$14,8394.10%$12,3011.17%0.19%4.10%
20182-0.54%$12,5150.20%$14,869-1.70%$12,092-0.54%0.20%-1.70%
201830.73%$12,6060.98%$15,0151.10%$12,2250.73%0.98%1.10%
201840.87%$12,715-0.14%$14,993-2.66%$11,9000.87%-0.14%-2.66%
20185-2.41%$12,4090.23%$15,028-1.34%$11,740-2.41%0.23%-1.34%
20186-1.03%$12,2820.44%$15,094-0.62%$11,667-1.03%0.44%-0.62%
201873.28%$12,6850.07%$15,1040.36%$11,7103.28%0.07%0.36%
20188-3.73%$12,2120.08%$15,116-1.53%$11,531-3.73%0.08%-1.53%
201891.57%$12,403-0.14%$15,0950.25%$11,5601.57%-0.14%0.25%
2018101.71%$12,6160.25%$15,132-2.11%$11,3161.71%0.25%-2.11%
2018110.93%$12,733-0.01%$15,1310.50%$11,3730.93%-0.01%0.50%
201812-0.92%$12,6160.47%$15,2010.12%$11,386-0.92%0.47%0.12%
201912.36%$12,9141.39%$15,4123.08%$11,7372.36%1.39%3.08%
201921.16%$13,0640.26%$15,452-0.77%$11,6461.16%0.26%-0.77%
20193-1.52%$12,8661.30%$15,6530.51%$11,706-1.52%1.30%0.51%
201941.48%$13,0560.19%$15,683-0.32%$11,6681.48%0.19%-0.32%
20195-1.78%$12,8241.05%$15,8470.35%$11,709-1.78%1.05%0.35%
201961.10%$12,9641.48%$16,0823.08%$12,0701.10%1.48%3.08%
201971.50%$13,1591.00%$16,244-1.33%$11,9101.50%1.00%-1.33%
20198-5.47%$12,4391.53%$16,4930.53%$11,973-5.47%1.53%0.53%
201990.74%$12,532-0.47%$16,416-0.67%$11,8930.74%-0.47%-0.67%
201910-0.24%$12,502-0.38%$16,3531.10%$12,023-0.24%-0.38%1.10%
201911-0.32%$12,462-0.36%$16,294-1.16%$11,884-0.32%-0.36%-1.16%
2019122.14%$12,7280.15%$16,3182.61%$12,1932.14%0.15%2.61%
20201-0.57%$12,6561.57%$16,574-0.12%$12,178-0.57%1.57%-0.12%
20202-0.33%$12,6130.24%$16,614-1.19%$12,034-0.33%0.24%-1.19%
20203-3.56%$12,164-3.68%$16,003-7.47%$11,135-3.56%-3.68%-7.47%
20204-0.09%$12,1532.17%$16,3503.23%$11,494-0.09%2.17%3.23%
202050.21%$12,1790.80%$16,4802.45%$11,7770.21%0.80%2.45%
20206-0.03%$12,1760.77%$16,6082.07%$12,021-0.03%0.77%2.07%
20207-0.25%$12,1451.26%$16,8175.10%$12,633-0.25%1.26%5.10%
20208-0.62%$12,0700.07%$16,8301.84%$12,866-0.62%0.07%1.84%
202090.28%$12,1030.80%$16,964-1.25%$12,7050.28%0.80%-1.25%
2020100.16%$12,1230.71%$17,0840.63%$12,7850.16%0.71%0.63%
2020110.16%$12,1420.59%$17,1843.51%$13,2330.16%0.59%3.51%
2020120.43%$12,1940.80%$17,3223.49%$13,6950.43%0.80%3.49%
20211-0.73%$12,105-0.06%$17,312-0.92%$13,569-0.73%-0.06%-0.92%
20212-1.13%$11,968-1.42%$17,067-1.97%$13,302-1.13%-1.42%-1.97%
20213-0.93%$11,8560.13%$17,089-1.90%$13,049-0.93%0.13%-1.90%
202140.50%$11,916-0.03%$17,0841.71%$13,2720.50%-0.03%1.71%
202150.53%$11,9800.12%$17,1051.18%$13,4280.53%0.12%1.18%
20216-0.73%$11,8920.03%$17,110-2.08%$13,149-0.73%0.03%-2.08%
20217-0.73%$11,8051.05%$17,2901.18%$13,305-0.73%1.05%1.18%
202180.69%$11,886-0.25%$17,247-0.47%$13,2420.69%-0.25%-0.47%
20219-1.87%$11,663-0.90%$17,092-2.33%$12,933-1.87%-0.90%-2.33%
202110-0.59%$11,593-0.63%$16,985-0.80%$12,830-0.59%-0.63%-0.80%
202111-0.53%$11,5320.67%$17,098-0.50%$12,766-0.53%0.67%-0.50%

Holdings Based Style Analysis for Templeton Global Bond Adv

Holdings Based Style Analysis for Templeton Global Bond Adv
TickerNameCategoryWeightYieldExpense RatioDurationContribution
SECTTMNetGrossReturnRisk
TGBAXTempleton Global Bond AdvWorld Bond100.00%2.98%5.19%0.67%0.69%2.14$1,532100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for PIMCO International Bond (USD-Hdg) Instl

Holdings Based Style Analysis for PIMCO International Bond (USD-Hdg) Instl
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
PFORXPIMCO International Bond (USD-Hdg) InstlWorld Bond-USD Hedged100.00%1.29%2.18%0.52%0.52%15.057.36$7,098100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for PIMCO International Bond (Unhedged)Instl

Holdings Based Style Analysis for PIMCO International Bond (Unhedged)Instl
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
PFUIXPIMCO International Bond (Unhedged)InstlWorld Bond100.00%1.30%1.40%0.52%0.52%15.037.42$2,766100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 12/03/2021. (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.

Portfolio return and risk metrics
MetricTempleton Global Bond AdvPIMCO International Bond (USD-Hdg) InstlPIMCO International Bond (Unhedged)Instl
Arithmetic Mean (monthly)0.13%0.41%0.21%
Arithmetic Mean (annualized)1.56%5.09%2.52%
Geometric Mean (monthly)0.11%0.41%0.19%
Geometric Mean (annualized)1.31%5.04%2.26%
Standard Deviation (monthly)2.00%0.90%2.04%
Standard Deviation (annualized)6.92%3.12%7.08%
Downside Deviation (monthly)1.41%0.51%1.35%
Max. Drawdown-12.36%-4.00%-13.11%
US Market Correlation0.470.240.46
Beta(*)0.240.050.24
Alpha (annualized)-1.88%4.20%-0.92%
R222.36%5.57%21.18%
Sharpe Ratio0.141.420.27
Sortino Ratio0.202.420.41
Treynor Ratio (%)4.2583.458.27
Calmar Ratio-0.261.130.45
Active Return-13.11%-9.38%-12.16%
Tracking Error12.22%13.47%12.33%
Information Ratio-1.07-0.70-0.99
Skewness-0.52-0.81-0.27
Excess Kurtosis2.283.190.93
Historical Value-at-Risk (5%)-3.31%-1.11%-2.84%
Analytical Value-at-Risk (5%)-3.16%-1.07%-3.16%
Conditional Value-at-Risk (5%)-4.79%-1.85%-4.43%
Upside Capture Ratio (%)20.8114.2617.49
Downside Capture Ratio (%)39.24-7.2923.67
Safe Withdrawal Rate10.68%12.45%10.34%
Perpetual Withdrawal Rate0.00%2.99%0.11%
Positive Periods69 out of 131 (52.67%)97 out of 131 (74.05%)68 out of 131 (51.91%)
Gain/Loss Ratio1.071.181.20
* 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 PeriodStartEndTempleton Global Bond AdvPIMCO International Bond (USD-Hdg) InstlPIMCO International Bond (Unhedged)Instl
COVID-19 StartJan 2020Mar 2020-4.43%-3.68%-8.68%

Drawdowns for Templeton Global Bond Adv

Drawdowns for Templeton Global Bond Adv (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2019Nov 20212 years 4 months-12.36%
2Sep 2014Feb 20161 year 6 monthsFeb 20171 year2 years 6 months-9.81%
3Aug 2011Sep 20112 monthsJul 201210 months1 year-8.93%
4May 2013Aug 20134 monthsApr 20148 months1 year-5.98%
5May 2018Aug 20184 monthsNov 20183 months7 months-3.96%
6Apr 2017May 20172 monthsApr 201811 months1 year 1 month-1.95%
7Mar 2019May 20193 monthsJul 20192 months5 months-1.84%
8Dec 2018Dec 20181 monthJan 20191 month2 months-0.92%
9Jan 2011Jan 20111 monthFeb 20111 month2 months-0.64%
10May 2011Jun 20112 monthsJul 20111 month3 months-0.38%
Worst 10 drawdowns included above

Drawdowns for PIMCO International Bond (USD-Hdg) Instl

Drawdowns for PIMCO International Bond (USD-Hdg) Instl (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2015Jun 20153 monthsMar 20169 months1 year-4.00%
2May 2013Jun 20132 monthsFeb 20148 months10 months-3.73%
3Mar 2020Mar 20201 monthJul 20204 months5 months-3.68%
4Jan 2021Oct 202110 months-1.95%
5Oct 2016Nov 20162 monthsApr 20175 months7 months-1.61%
6Sep 2019Nov 20193 monthsJan 20202 months5 months-1.21%
7Nov 2011Nov 20111 monthDec 20111 month2 months-1.08%
8Jun 2017Jun 20171 monthJul 20171 month2 months-0.27%
9Jun 2011Jun 20111 monthJul 20111 month2 months-0.24%
10Sep 2017Sep 20171 monthOct 20171 month2 months-0.18%
Worst 10 drawdowns included above

Drawdowns for PIMCO International Bond (Unhedged)Instl

Drawdowns for PIMCO International Bond (Unhedged)Instl
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2012Jan 20163 years 4 monthsAug 20171 year 7 months4 years 11 months-13.11%
2Feb 2018Mar 20202 years 2 monthsJul 20204 months2 years 6 months-9.48%
3Jan 2021Nov 202111 months-6.79%
4Sep 2011Nov 20113 monthsJan 20122 months5 months-3.45%
5Feb 2012Mar 20122 monthsApr 20121 month3 months-2.01%
6Sep 2017Oct 20172 monthsJan 20183 months5 months-1.94%
7May 2012May 20121 monthJul 20122 months3 months-1.91%
8Sep 2020Sep 20201 monthNov 20202 months3 months-1.25%
9May 2011May 20111 monthJul 20112 months3 months-0.87%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TGBAXTempleton Global Bond Adv1.31%6.92%16.15%-5.43%-12.36%0.140.200.47
PFORXPIMCO International Bond (USD-Hdg) Instl5.04%3.12%11.19%-1.29%-4.00%1.422.420.24
PFUIXPIMCO International Bond (Unhedged)Instl2.26%7.08%12.32%-6.86%-13.11%0.270.410.46

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
Quarter to DateYear To Date1 year3 year5 year10 yearNetGross
Templeton Global Bond Adv-1.93%-4.36%-3.64%-2.03%0.83%1.90%0.67%0.69%
PIMCO International Bond (USD-Hdg) Instl-0.11%-1.33%0.75%4.23%3.44%5.07%0.52%0.52%
PIMCO International Bond (Unhedged)Instl-1.64%-5.56%1.80%3.81%2.13%1.91%0.52%0.52%
Trailing returns as of last calendar quarter ending September 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameTGBAXPFORXPFUIXTempleton Global Bond AdvPIMCO International Bond (USD-Hdg) InstlPIMCO International Bond (Unhedged)Instl
TGBAXTempleton Global Bond Adv1.000.230.341.000.230.34
PFORXPIMCO International Bond (USD-Hdg) Instl0.231.000.540.231.000.54
PFUIXPIMCO International Bond (Unhedged)Instl0.340.541.000.340.541.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameTempleton Global Bond AdvPIMCO International Bond (USD-Hdg) InstlPIMCO International Bond (Unhedged)Instl
TGBAXTempleton Global Bond Adv$1,532
PFORXPIMCO International Bond (USD-Hdg) Instl$7,098
PFUIXPIMCO International Bond (Unhedged)Instl$2,766

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameTempleton Global Bond AdvPIMCO International Bond (USD-Hdg) InstlPIMCO International Bond (Unhedged)Instl
TGBAXTempleton Global Bond Adv100.00%
PFORXPIMCO International Bond (USD-Hdg) Instl100.00%
PFUIXPIMCO International Bond (Unhedged)Instl100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodTempleton Global Bond AdvPIMCO International Bond (USD-Hdg) InstlPIMCO International Bond (Unhedged)Instl
AverageHighLowAverageHighLowAverageHighLow
1 year1.68%16.15%-8.28%5.38%13.73%-0.58%2.49%17.19%-12.50%
3 years1.79%7.63%-3.25%5.17%8.23%3.00%1.63%5.04%-4.41%
5 years1.80%4.65%-0.33%5.02%6.94%3.22%1.64%5.92%-0.34%
7 years1.71%3.86%-0.62%5.09%5.95%3.82%1.51%3.30%0.03%
10 years1.53%2.00%1.07%5.33%5.65%4.94%2.30%3.19%1.64%