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 |
|---|---|---|
| PSLDX | PIMCO StocksPLUS Long Duration Instl | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| VOO | Vanguard S&P 500 ETF | 100.00% |
| ZROZ | PIMCO 25+ Year Zero Coupon US Trs ETF | 100.00% |
| CASHX | Cash | -100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| VOO | Vanguard S&P 500 ETF | 100.00% |
| CASHX | Cash | -100.00% |
| ILTB | iShares Core 10+ Year USD 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 | $31,170 | 17.63% | 13.47% | 34.71% | -9.69% | -13.86% | 1.23 | 2.15 | 0.82 |
| Portfolio 2 | $10,000 | $31,291 | 17.70% | 17.97% | 67.13% | -10.28% | -19.59% | 0.97 | 1.63 | 0.37 |
| Portfolio 3 | $10,000 | $31,866 | 18.01% | 14.07% | 36.59% | -11.08% | -14.20% | 1.21 | 2.08 | 0.79 |
| Vanguard 500 Index Investor | $10,000 | $24,759 | 13.83% | 11.07% | 32.18% | -4.52% | -13.55% | 1.17 | 1.92 | 1.00 |
| Name | Annualized Return | Annualized Volatility | |||||
|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | Full | 3 year | 5 year | |
| Portfolio 1 | 8.61% | 20.37% | 15.56% | 16.45% | 17.63% | 13.68% | 14.46% |
| Portfolio 2 | 14.03% | 25.14% | 12.05% | 19.13% | 17.70% | 17.19% | 19.12% |
| Portfolio 3 | 9.20% | 20.74% | 15.55% | 16.61% | 18.01% | 14.40% | 14.72% |
| Vanguard 500 Index Investor | 1.65% | 7.84% | 13.21% | 11.19% | 13.83% | 12.10% | 11.99% |
| Trailing annualized return and volatility are for full months ending in July 2019 excluding portfolio cashflows. | |||||||
| Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | PIMCO StocksPLUS Long Duration Instl (PSLDX) | Vanguard S&P 500 ETF (VOO) | PIMCO 25+ Year Zero Coupon US Trs ETF (ZROZ) | Cash (CASHX) | iShares Core 10+ Year USD Bond ETF (ILTB) | ||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | Return | Balance | |||||||
| 2012 | 0.22% | 3.67% | $10,367 | -5.50% | $9,450 | 2.83% | $10,283 | 4.43% | $10,443 | 3.67% | 4.71% | -9.88% | 0.04% | -1.80% |
| 2013 | 1.50% | 18.86% | $12,323 | 5.30% | $9,951 | 19.95% | $12,335 | 32.18% | $13,804 | 18.86% | 32.39% | -20.91% | 0.05% | -9.32% |
| 2014 | 0.76% | 34.23% | $16,541 | 67.13% | $16,631 | 36.59% | $16,848 | 13.51% | $15,668 | 34.23% | 13.55% | 47.73% | 0.03% | 20.62% |
| 2015 | 0.73% | -3.19% | $16,014 | -4.10% | $15,949 | -2.92% | $16,355 | 1.25% | $15,864 | -3.19% | 1.31% | -6.10% | 0.05% | -4.22% |
| 2016 | 2.07% | 20.42% | $19,283 | 14.84% | $18,316 | 20.61% | $19,726 | 11.82% | $17,738 | 20.42% | 12.17% | 2.05% | 0.30% | 7.82% |
| 2017 | 2.11% | 32.87% | $25,621 | 38.32% | $25,335 | 34.09% | $26,451 | 21.67% | $21,582 | 32.87% | 21.77% | 14.76% | 0.88% | 11.24% |
| 2018 | 1.91% | -9.69% | $23,138 | -10.28% | $22,731 | -11.08% | $23,520 | -4.52% | $20,606 | -9.69% | -4.50% | -4.61% | 1.90% | -5.09% |
| 2019 | 2.12% | 34.71% | $31,170 | 37.66% | $31,291 | 35.49% | $31,866 | 20.16% | $24,759 | 34.71% | 20.11% | 15.37% | 1.37% | 14.48% |
| Annual return for 2012 is from 08/01/2012 to 12/31/2012 and annual return for 2019 is from 01/01/2019 to 07/31/2019 | ||||||||||||||
| Year | Month | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | PIMCO StocksPLUS Long Duration Instl (PSLDX) | Vanguard S&P 500 ETF (VOO) | PIMCO 25+ Year Zero Coupon US Trs ETF (ZROZ) | Cash (CASHX) | iShares Core 10+ Year USD Bond ETF (ILTB) | ||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | Return | Balance | |||||||
| 2012 | 8 | 1.78% | $10,178 | -0.32% | $9,968 | 1.59% | $10,159 | 2.24% | $10,224 | 1.78% | 2.51% | -2.82% | 0.01% | -0.91% |
| 2012 | 9 | 1.90% | $10,371 | -1.56% | $9,812 | 1.96% | $10,358 | 2.58% | $10,487 | 1.90% | 2.55% | -4.11% | 0.01% | -0.59% |
| 2012 | 10 | -0.87% | $10,281 | -2.84% | $9,533 | -1.85% | $10,167 | -1.86% | $10,292 | -0.87% | -1.96% | -0.88% | 0.01% | 0.12% |
| 2012 | 11 | 0.99% | $10,383 | 2.16% | $9,739 | 1.43% | $10,312 | 0.56% | $10,350 | 0.99% | 0.57% | 1.59% | 0.01% | 0.86% |
| 2012 | 12 | -0.15% | $10,367 | -2.97% | $9,450 | -0.28% | $10,283 | 0.90% | $10,443 | -0.15% | 1.02% | -3.98% | 0.01% | -1.29% |
| 2013 | 1 | 2.83% | $10,661 | 0.11% | $9,460 | 1.18% | $10,405 | 5.18% | $10,984 | 2.83% | 5.17% | -5.06% | 0.00% | -3.98% |
| 2013 | 2 | 2.51% | $10,929 | 2.58% | $9,704 | 3.14% | $10,732 | 1.34% | $11,131 | 2.51% | 1.33% | 1.25% | 0.01% | 1.82% |
| 2013 | 3 | 3.51% | $11,313 | 2.58% | $9,954 | 3.50% | $11,108 | 3.74% | $11,547 | 3.51% | 3.61% | -1.02% | 0.01% | -0.10% |
| 2013 | 4 | 5.32% | $11,914 | 10.19% | $10,969 | 6.62% | $11,843 | 1.91% | $11,768 | 5.32% | 2.09% | 8.10% | 0.01% | 4.53% |
| 2013 | 5 | -2.79% | $11,582 | -8.00% | $10,091 | -3.49% | $11,430 | 2.33% | $12,041 | -2.79% | 2.32% | -10.32% | 0.00% | -5.81% |
| 2013 | 6 | -6.45% | $10,834 | -6.18% | $9,467 | -7.01% | $10,628 | -1.35% | $11,879 | -6.45% | -1.50% | -4.67% | 0.00% | -5.51% |
| 2013 | 7 | 4.65% | $11,338 | 1.35% | $9,595 | 6.31% | $11,298 | 5.07% | $12,481 | 4.65% | 5.30% | -3.95% | 0.00% | 1.01% |
| 2013 | 8 | -4.33% | $10,847 | -4.42% | $9,171 | -5.28% | $10,702 | -2.91% | $12,118 | -4.33% | -3.08% | -1.33% | 0.00% | -2.19% |
| 2013 | 9 | 4.04% | $11,286 | 2.90% | $9,437 | 4.56% | $11,190 | 3.12% | $12,496 | 4.04% | 3.39% | -0.49% | 0.00% | 1.17% |
| 2013 | 10 | 6.28% | $11,994 | 6.37% | $10,038 | 6.70% | $11,939 | 4.59% | $13,069 | 6.28% | 4.47% | 1.90% | 0.00% | 2.23% |
| 2013 | 11 | 1.42% | $12,165 | -1.96% | $9,841 | 1.24% | $12,087 | 3.03% | $13,465 | 1.42% | 3.00% | -4.96% | 0.00% | -1.76% |
| 2013 | 12 | 1.30% | $12,323 | 1.12% | $9,951 | 2.05% | $12,335 | 2.51% | $13,804 | 1.30% | 2.64% | -1.52% | 0.01% | -0.59% |
| 2014 | 1 | 1.05% | $12,452 | 6.61% | $10,608 | 0.53% | $12,400 | -3.47% | $13,325 | 1.05% | -3.53% | 10.14% | 0.01% | 4.07% |
| 2014 | 2 | 6.07% | $13,209 | 5.45% | $11,187 | 6.92% | $13,258 | 4.56% | $13,932 | 6.07% | 4.57% | 0.89% | 0.00% | 2.36% |
| 2014 | 3 | 1.12% | $13,356 | 2.67% | $11,485 | 2.09% | $13,535 | 0.82% | $14,047 | 1.12% | 0.88% | 1.79% | 0.00% | 1.21% |
| 2014 | 4 | 2.76% | $13,725 | 4.13% | $11,959 | 2.71% | $13,902 | 0.72% | $14,149 | 2.76% | 0.72% | 3.41% | 0.00% | 1.99% |
| 2014 | 5 | 4.97% | $14,408 | 6.95% | $12,791 | 4.77% | $14,564 | 2.33% | $14,479 | 4.97% | 2.29% | 4.66% | 0.00% | 2.47% |
| 2014 | 6 | 2.18% | $14,721 | 2.00% | $13,046 | 2.71% | $14,958 | 2.05% | $14,776 | 2.18% | 2.09% | -0.09% | 0.00% | 0.62% |
| 2014 | 7 | -1.13% | $14,555 | -0.04% | $13,041 | -1.18% | $14,782 | -1.39% | $14,571 | -1.13% | -1.38% | 1.34% | 0.00% | 0.20% |
| 2014 | 8 | 7.25% | $15,610 | 11.56% | $14,548 | 6.91% | $15,803 | 3.98% | $15,151 | 7.25% | 3.97% | 7.59% | 0.00% | 2.94% |
| 2014 | 9 | -3.75% | $15,025 | -5.31% | $13,776 | -3.42% | $15,262 | -1.41% | $14,937 | -3.75% | -1.38% | -3.93% | 0.00% | -2.04% |
| 2014 | 10 | 4.58% | $15,713 | 6.74% | $14,705 | 4.35% | $15,926 | 2.42% | $15,299 | 4.58% | 2.40% | 4.34% | 0.00% | 1.95% |
| 2014 | 11 | 4.50% | $16,419 | 6.90% | $15,719 | 3.60% | $16,499 | 2.68% | $15,710 | 4.50% | 2.76% | 4.14% | 0.00% | 0.84% |
| 2014 | 12 | 0.74% | $16,541 | 5.80% | $16,631 | 2.11% | $16,848 | -0.26% | $15,668 | 0.74% | -0.32% | 6.12% | 0.00% | 2.43% |
| 2015 | 1 | 2.75% | $16,997 | 13.12% | $18,813 | 3.19% | $17,384 | -3.02% | $15,195 | 2.75% | -2.87% | 16.00% | 0.00% | 6.06% |
| 2015 | 2 | 2.55% | $17,430 | -4.49% | $17,969 | 2.16% | $17,760 | 5.74% | $16,068 | 2.55% | 5.58% | -10.07% | 0.00% | -3.42% |
| 2015 | 3 | -1.10% | $17,238 | -0.40% | $17,897 | -1.05% | $17,573 | -1.59% | $15,812 | -1.10% | -1.57% | 1.17% | 0.00% | 0.52% |
| 2015 | 4 | -1.59% | $16,965 | -4.68% | $17,060 | -1.65% | $17,284 | 0.95% | $15,962 | -1.59% | 1.00% | -5.68% | 0.00% | -2.65% |
| 2015 | 5 | -0.40% | $16,896 | -2.92% | $16,562 | -1.21% | $17,075 | 1.27% | $16,165 | -0.40% | 1.25% | -4.17% | 0.00% | -2.46% |
| 2015 | 6 | -5.41% | $15,982 | -8.66% | $15,128 | -5.29% | $16,172 | -1.93% | $15,852 | -5.41% | -1.95% | -6.71% | 0.00% | -3.33% |
| 2015 | 7 | 4.58% | $16,714 | 9.35% | $16,542 | 5.34% | $17,036 | 2.08% | $16,182 | 4.58% | 2.18% | 7.17% | 0.00% | 3.17% |
| 2015 | 8 | -7.52% | $15,457 | -7.05% | $15,376 | -7.95% | $15,682 | -6.05% | $15,204 | -7.52% | -6.14% | -0.91% | 0.01% | -1.81% |
| 2015 | 9 | -2.26% | $15,107 | -0.37% | $15,319 | -1.56% | $15,438 | -2.48% | $14,826 | -2.26% | -2.47% | 2.10% | 0.01% | 0.92% |
| 2015 | 10 | 9.42% | $16,530 | 7.98% | $16,542 | 9.39% | $16,889 | 8.42% | $16,075 | 9.42% | 8.45% | -0.47% | 0.00% | 0.94% |
| 2015 | 11 | -0.14% | $16,507 | -0.80% | $16,410 | -0.10% | $16,872 | 0.29% | $16,121 | -0.14% | 0.43% | -1.21% | 0.01% | -0.51% |
| 2015 | 12 | -2.99% | $16,014 | -2.81% | $15,949 | -3.06% | $16,355 | -1.59% | $15,864 | -2.99% | -1.74% | -1.05% | 0.02% | -1.30% |
| 2016 | 1 | -3.34% | $15,478 | 4.22% | $16,623 | -2.68% | $15,917 | -4.98% | $15,074 | -3.34% | -4.91% | 9.15% | 0.01% | 2.24% |
| 2016 | 2 | 1.65% | $15,733 | 3.85% | $17,262 | 2.22% | $16,270 | -0.15% | $15,052 | 1.65% | -0.21% | 4.08% | 0.03% | 2.46% |
| 2016 | 3 | 10.26% | $17,348 | 6.95% | $18,462 | 9.85% | $17,873 | 6.78% | $16,072 | 10.26% | 6.87% | 0.10% | 0.03% | 3.01% |
| 2016 | 4 | 1.77% | $17,654 | -1.46% | $18,193 | 1.77% | $18,190 | 0.37% | $16,132 | 1.77% | 0.35% | -1.79% | 0.02% | 1.44% |
| 2016 | 5 | 2.03% | $18,012 | 3.09% | $18,755 | 1.90% | $18,535 | 1.78% | $16,420 | 2.03% | 1.75% | 1.35% | 0.02% | 0.16% |
| 2016 | 6 | 5.16% | $18,941 | 10.36% | $20,699 | 6.21% | $19,687 | 0.25% | $16,461 | 5.16% | 0.32% | 10.07% | 0.03% | 5.92% |
| 2016 | 7 | 6.64% | $20,198 | 7.46% | $22,243 | 4.91% | $20,654 | 3.68% | $17,066 | 6.64% | 3.68% | 3.80% | 0.02% | 1.25% |
| 2016 | 8 | 0.25% | $20,250 | -0.49% | $22,135 | 0.44% | $20,745 | 0.13% | $17,088 | 0.25% | 0.12% | -0.59% | 0.02% | 0.34% |
| 2016 | 9 | -0.86% | $20,076 | -2.93% | $21,487 | -0.93% | $20,552 | 0.01% | $17,090 | -0.86% | 0.04% | -2.94% | 0.03% | -0.94% |
| 2016 | 10 | -4.50% | $19,172 | -8.62% | $19,635 | -4.72% | $19,581 | -1.83% | $16,776 | -4.50% | -1.79% | -6.80% | 0.02% | -2.91% |
| 2016 | 11 | -2.29% | $18,732 | -8.11% | $18,043 | -2.24% | $19,142 | 3.70% | $17,397 | -2.29% | 3.73% | -11.81% | 0.03% | -5.94% |
| 2016 | 12 | 2.94% | $19,283 | 1.51% | $18,316 | 3.05% | $19,726 | 1.96% | $17,738 | 2.94% | 2.07% | -0.52% | 0.04% | 1.02% |
| 2017 | 1 | 2.51% | $19,768 | 2.82% | $18,832 | 2.47% | $20,213 | 1.88% | $18,072 | 2.51% | 1.78% | 1.08% | 0.04% | 0.73% |
| 2017 | 2 | 5.91% | $20,935 | 6.17% | $19,995 | 5.74% | $21,374 | 3.96% | $18,789 | 5.91% | 3.88% | 2.34% | 0.04% | 1.91% |
| 2017 | 3 | -0.41% | $20,850 | -1.10% | $19,776 | -0.33% | $21,303 | 0.10% | $18,807 | -0.41% | 0.13% | -1.18% | 0.04% | -0.42% |
| 2017 | 4 | 2.60% | $21,391 | 2.27% | $20,225 | 2.61% | $21,859 | 1.02% | $18,999 | 2.60% | 1.04% | 1.30% | 0.06% | 1.63% |
| 2017 | 5 | 3.20% | $22,075 | 4.67% | $21,169 | 2.65% | $22,437 | 1.39% | $19,264 | 3.20% | 1.40% | 3.33% | 0.07% | 1.31% |
| 2017 | 6 | 1.23% | $22,347 | 2.10% | $21,613 | 1.68% | $22,814 | 0.61% | $19,382 | 1.23% | 0.63% | 1.55% | 0.08% | 1.13% |
| 2017 | 7 | 2.30% | $22,862 | 0.40% | $21,701 | 2.39% | $23,359 | 2.04% | $19,777 | 2.30% | 2.06% | -1.58% | 0.08% | 0.41% |
| 2017 | 8 | 2.25% | $23,377 | 5.37% | $22,865 | 2.33% | $23,904 | 0.29% | $19,835 | 2.25% | 0.29% | 5.16% | 0.09% | 2.13% |
| 2017 | 9 | 1.08% | $23,629 | -1.38% | $22,551 | 1.03% | $24,151 | 2.06% | $20,244 | 1.08% | 2.04% | -3.33% | 0.08% | -0.93% |
| 2017 | 10 | 2.58% | $24,238 | 2.62% | $23,142 | 2.51% | $24,757 | 2.32% | $20,713 | 2.58% | 2.33% | 0.38% | 0.09% | 0.27% |
| 2017 | 11 | 3.23% | $25,022 | 4.25% | $24,127 | 3.39% | $25,595 | 3.06% | $21,347 | 3.23% | 3.06% | 1.29% | 0.09% | 0.42% |
| 2017 | 12 | 2.40% | $25,621 | 5.01% | $25,335 | 3.34% | $26,451 | 1.10% | $21,582 | 2.40% | 1.28% | 3.83% | 0.10% | 2.16% |
| 2018 | 1 | 3.88% | $26,616 | 0.67% | $25,504 | 3.63% | $27,412 | 5.71% | $22,815 | 3.88% | 5.59% | -4.80% | 0.11% | -1.84% |
| 2018 | 2 | -6.54% | $24,875 | -8.82% | $23,255 | -7.31% | $25,407 | -3.69% | $21,972 | -6.54% | -3.73% | -4.97% | 0.12% | -3.47% |
| 2018 | 3 | -1.27% | $24,560 | 2.05% | $23,730 | -1.24% | $25,093 | -2.56% | $21,410 | -1.27% | -2.48% | 4.66% | 0.14% | 1.38% |
| 2018 | 4 | -1.75% | $24,131 | -2.97% | $23,025 | -2.00% | $24,591 | 0.37% | $21,490 | -1.75% | 0.35% | -3.18% | 0.14% | -2.21% |
| 2018 | 5 | 2.97% | $24,847 | 5.59% | $24,312 | 3.30% | $25,403 | 2.39% | $22,005 | 2.97% | 2.42% | 3.33% | 0.15% | 1.04% |
| 2018 | 6 | 0.46% | $24,962 | 1.58% | $24,696 | -0.00% | $25,402 | 0.61% | $22,138 | 0.46% | 0.76% | 0.98% | 0.16% | -0.60% |
| 2018 | 7 | 3.74% | $25,894 | 1.25% | $25,005 | 3.90% | $26,394 | 3.71% | $22,959 | 3.74% | 3.56% | -2.15% | 0.16% | 0.50% |
| 2018 | 8 | 3.74% | $26,863 | 4.80% | $26,206 | 3.65% | $27,358 | 3.25% | $23,705 | 3.74% | 3.22% | 1.75% | 0.17% | 0.60% |
| 2018 | 9 | -1.04% | $26,584 | -4.01% | $25,156 | -0.48% | $27,228 | 0.55% | $23,836 | -1.04% | 0.58% | -4.41% | 0.17% | -0.88% |
| 2018 | 10 | -9.52% | $24,052 | -12.80% | $21,936 | -10.53% | $24,360 | -6.85% | $22,203 | -9.52% | -6.84% | -5.78% | 0.18% | -3.52% |
| 2018 | 11 | 2.41% | $24,630 | 4.43% | $22,908 | 2.23% | $24,904 | 2.03% | $22,653 | 2.41% | 1.89% | 2.74% | 0.19% | 0.54% |
| 2018 | 12 | -6.06% | $23,138 | -0.77% | $22,731 | -5.56% | $23,520 | -9.04% | $20,606 | -6.06% | -8.84% | 8.26% | 0.19% | 3.47% |
| 2019 | 1 | 9.75% | $25,395 | 8.39% | $24,637 | 10.62% | $26,017 | 8.00% | $22,254 | 9.75% | 7.92% | 0.67% | 0.20% | 2.90% |
| 2019 | 2 | 2.91% | $26,133 | 0.81% | $24,837 | 2.37% | $26,633 | 3.20% | $22,967 | 2.91% | 3.25% | -2.24% | 0.20% | -0.68% |
| 2019 | 3 | 6.19% | $27,752 | 9.78% | $27,265 | 6.25% | $28,298 | 1.94% | $23,411 | 6.19% | 1.92% | 8.06% | 0.20% | 4.53% |
| 2019 | 4 | 3.41% | $28,698 | 0.65% | $27,441 | 3.12% | $29,181 | 4.04% | $24,358 | 3.41% | 4.03% | -3.19% | 0.20% | -0.72% |
| 2019 | 5 | -2.29% | $28,040 | 4.38% | $28,642 | -2.47% | $28,459 | -6.36% | $22,807 | -2.29% | -6.35% | 10.92% | 0.20% | 4.07% |
| 2019 | 6 | 8.92% | $30,541 | 7.32% | $30,739 | 9.70% | $31,221 | 7.03% | $24,411 | 8.92% | 6.99% | 0.52% | 0.19% | 2.91% |
| 2019 | 7 | 2.06% | $31,170 | 1.80% | $31,291 | 2.07% | $31,866 | 1.43% | $24,759 | 2.06% | 1.46% | 0.51% | 0.17% | 0.78% |
| Style Category | Portfolio 1 | Vanguard 500 Index Investor |
|---|---|---|
| Large-cap Value | 0.00% | 46.81% |
| Large-cap Growth | 50.75% | 52.89% |
| Mid-cap Value | 1.11% | 0.00% |
| Mid-cap Growth | 16.58% | 0.00% |
| Small-cap Value | 0.00% | 0.00% |
| Small-cap Growth | 0.00% | 0.30% |
| Global ex-US Developed Markets | 0.00% | 0.00% |
| Emerging Markets | 11.88% | 0.00% |
| Corporate Bonds | 0.00% | 0.00% |
| Long-Term Treasuries | 19.68% | 0.00% |
| Intermediate-Term Treasuries | 0.00% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.00% |
| R Squared | 79.59% | 99.95% |
| Style analysis is based on monthly returns from August 2012 to July 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 | Duration | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| PSLDX | PIMCO StocksPLUS Long Duration Instl | 85%+ Equity | 100.00% | 2.97% | 1.01% | 15.93 | $21,170 | 100.00% |
Fund fundamentals data as of 04/14/2021. (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 | Vanguard 500 Index Investor |
|---|---|---|---|---|
| Arithmetic Mean (monthly) | 1.44% | 1.50% | 1.47% | 1.14% |
| Arithmetic Mean (annualized) | 18.68% | 19.56% | 19.15% | 14.51% |
| Geometric Mean (monthly) | 1.36% | 1.37% | 1.39% | 1.09% |
| Geometric Mean (annualized) | 17.63% | 17.70% | 18.01% | 13.83% |
| Volatility (monthly) | 3.89% | 5.19% | 4.06% | 3.20% |
| Volatility (annualized) | 13.47% | 17.97% | 14.07% | 11.07% |
| Downside Deviation (monthly) | 2.20% | 3.04% | 2.33% | 1.91% |
| Max. Drawdown | -13.86% | -19.59% | -14.20% | -13.55% |
| US Market Correlation | 0.82 | 0.37 | 0.79 | 1.00 |
| Beta(*) | 1.00 | 0.62 | 1.01 | 1.00 |
| Alpha (annualized) | 3.60% | 9.60% | 3.82% | 0.00% |
| R2 | 67.68% | 14.42% | 63.80% | 100.00% |
| Sharpe Ratio | 1.23 | 0.97 | 1.21 | 1.17 |
| Sortino Ratio | 2.15 | 1.63 | 2.08 | 1.92 |
| Treynor Ratio (%) | 16.57 | 28.14 | 16.75 | 12.97 |
| Calmar Ratio | 1.12 | 0.64 | 1.10 | 0.97 |
| Active Return | 3.81% | 3.87% | 4.18% | N/A |
| Tracking Error | 7.66% | 17.16% | 8.47% | N/A |
| Information Ratio | 0.50 | 0.23 | 0.49 | N/A |
| Skewness | -0.33 | -0.29 | -0.39 | -0.57 |
| Excess Kurtosis | 0.43 | -0.04 | 0.57 | 1.09 |
| Historical Value-at-Risk (5%) | -5.96% | -8.09% | -5.52% | -4.78% |
| Analytical Value-at-Risk (5%) | -4.96% | -6.98% | -5.17% | -4.12% |
| Conditional Value-at-Risk (5%) | -7.22% | -9.40% | -7.67% | -6.66% |
| Upside Capture Ratio (%) | 115.79 | 93.23 | 118.32 | 100.00 |
| Downside Capture Ratio (%) | 98.35 | 51.48 | 100.11 | 100.00 |
| Safe Withdrawal Rate | 22.24% | 20.71% | 22.49% | 21.62% |
| Perpetual Withdrawal Rate | 13.60% | 13.65% | 13.88% | 10.71% |
| Positive Periods | 57 out of 84 (67.86%) | 53 out of 84 (63.10%) | 56 out of 84 (66.67%) | 63 out of 84 (75.00%) |
| Gain/Loss Ratio | 1.18 | 1.20 | 1.23 | 0.82 |
| * Vanguard 500 Index Investor 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 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -13.86% |
| 2 | Mar 2015 | Sep 2015 | 7 months | Apr 2016 | 7 months | 1 year 2 months | -13.33% |
| 3 | Feb 2018 | Apr 2018 | 3 months | Aug 2018 | 4 months | 7 months | -9.34% |
| 4 | May 2013 | Jun 2013 | 2 months | Oct 2013 | 4 months | 6 months | -9.07% |
| 5 | Sep 2016 | Nov 2016 | 3 months | Feb 2017 | 3 months | 6 months | -7.49% |
| 6 | Sep 2014 | Sep 2014 | 1 month | Oct 2014 | 1 month | 2 months | -3.75% |
| 7 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -2.29% |
| 8 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 1 month | 2 months | -1.13% |
| 9 | Oct 2012 | Oct 2012 | 1 month | Nov 2012 | 1 month | 2 months | -0.87% |
| 10 | Mar 2017 | Mar 2017 | 1 month | Apr 2017 | 1 month | 2 months | -0.41% |
| Worst 10 drawdowns included above | |||||||
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Feb 2015 | Jun 2015 | 5 months | Jun 2016 | 1 year | 1 year 5 months | -19.59% |
| 2 | Aug 2016 | Nov 2016 | 4 months | Aug 2017 | 9 months | 1 year 1 month | -18.88% |
| 3 | May 2013 | Aug 2013 | 4 months | Feb 2014 | 6 months | 10 months | -16.39% |
| 4 | Sep 2018 | Oct 2018 | 2 months | Mar 2019 | 5 months | 7 months | -16.29% |
| 5 | Feb 2018 | Apr 2018 | 3 months | Aug 2018 | 4 months | 7 months | -9.72% |
| 6 | Aug 2012 | Dec 2012 | 5 months | Apr 2013 | 4 months | 9 months | -5.50% |
| 7 | Sep 2014 | Sep 2014 | 1 month | Oct 2014 | 1 month | 2 months | -5.31% |
| 8 | Sep 2017 | Sep 2017 | 1 month | Oct 2017 | 1 month | 2 months | -1.38% |
| 9 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 1 month | 2 months | -0.04% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Feb 2018 | Dec 2018 | 11 months | Mar 2019 | 3 months | 1 year 2 months | -14.20% |
| 2 | Mar 2015 | Sep 2015 | 7 months | Mar 2016 | 6 months | 1 year 1 month | -13.07% |
| 3 | May 2013 | Jun 2013 | 2 months | Oct 2013 | 4 months | 6 months | -10.26% |
| 4 | Sep 2016 | Nov 2016 | 3 months | Feb 2017 | 3 months | 6 months | -7.73% |
| 5 | Sep 2014 | Sep 2014 | 1 month | Oct 2014 | 1 month | 2 months | -3.42% |
| 6 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -2.47% |
| 7 | Oct 2012 | Oct 2012 | 1 month | Jan 2013 | 3 months | 4 months | -1.85% |
| 8 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 1 month | 2 months | -1.18% |
| 9 | Mar 2017 | Mar 2017 | 1 month | Apr 2017 | 1 month | 2 months | -0.33% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.55% |
| 2 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
| 3 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.36% |
| 4 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |
| 5 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 1 month | 2 months | -3.47% |
| 6 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 1 month | 3 months | -3.27% |
| 7 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 1 month | 2 months | -2.91% |
| 8 | Jun 2015 | Jun 2015 | 1 month | Jul 2015 | 1 month | 2 months | -1.93% |
| 9 | Oct 2012 | Oct 2012 | 1 month | Jan 2013 | 3 months | 4 months | -1.86% |
| 10 | Oct 2016 | Oct 2016 | 1 month | Nov 2016 | 1 month | 2 months | -1.83% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| PSLDX | PIMCO StocksPLUS Long Duration Instl | 17.63% | 13.47% | 34.71% | -9.69% | -13.86% | 1.23 | 2.15 | 0.82 |
| VOO | Vanguard S&P 500 ETF | 13.98% | 11.05% | 32.39% | -4.50% | -13.47% | 1.18 | 1.95 | 1.00 |
| ZROZ | PIMCO 25+ Year Zero Coupon US Trs ETF | 3.52% | 17.11% | 47.73% | -20.91% | -28.72% | 0.25 | 0.39 | -0.25 |
| CASHX | Cash | 0.66% | 0.24% | 1.90% | 0.03% | 0.00% | N/A | N/A | -0.03 |
| ILTB | iShares Core 10+ Year USD Bond ETF | 4.28% | 8.40% | 20.62% | -9.32% | -12.08% | 0.46 | 0.69 | 0.02 |
| Ticker | Name | PSLDX | VOO | ZROZ | CASHX | ILTB | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor |
|---|---|---|---|---|---|---|---|---|---|---|
| PSLDX | PIMCO StocksPLUS Long Duration Instl | 1.00 | 0.83 | 0.31 | 0.02 | 0.57 | 1.00 | 0.81 | 0.99 | 0.82 |
| VOO | Vanguard S&P 500 ETF | 0.83 | 1.00 | -0.24 | -0.03 | 0.03 | 0.83 | 0.38 | 0.80 | 1.00 |
| ZROZ | PIMCO 25+ Year Zero Coupon US Trs ETF | 0.31 | -0.24 | 1.00 | 0.08 | 0.90 | 0.31 | 0.80 | 0.34 | -0.25 |
| CASHX | Cash | 0.02 | -0.03 | 0.08 | 1.00 | 0.10 | 0.02 | 0.04 | 0.02 | -0.03 |
| ILTB | iShares Core 10+ Year USD Bond ETF | 0.57 | 0.03 | 0.90 | 0.10 | 1.00 | 0.57 | 0.87 | 0.62 | 0.02 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| PSLDX | PIMCO StocksPLUS Long Duration Instl | $21,170 | ||
| VOO | Vanguard S&P 500 ETF | $15,953 | $16,481 | |
| ZROZ | PIMCO 25+ Year Zero Coupon US Trs ETF | $6,424 | ||
| CASHX | Cash | -$1,086 | -$1,143 | |
| ILTB | iShares Core 10+ Year USD Bond ETF | $6,528 |
| Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|
| PSLDX | PIMCO StocksPLUS Long Duration Instl | 100.00% | ||
| VOO | Vanguard S&P 500 ETF | 23.67% | 63.12% | |
| ZROZ | PIMCO 25+ Year Zero Coupon US Trs ETF | 76.39% | ||
| CASHX | Cash | -0.06% | -0.04% | |
| ILTB | iShares Core 10+ Year USD Bond ETF | 36.91% |
| Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | ||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | Average | High | Low | Average | High | Low | |
| 1 year | 16.91% | 43.91% | -9.73% | 18.79% | 77.34% | -11.64% | 17.53% | 47.67% | -11.08% | 13.49% | 32.18% | -6.32% |
| 3 years | 16.15% | 23.13% | 12.46% | 18.04% | 34.14% | 8.97% | 16.69% | 24.69% | 12.47% | 11.95% | 17.40% | 8.68% |
| 5 years | 16.97% | 20.08% | 13.43% | 19.11% | 23.37% | 15.99% | 17.55% | 21.38% | 13.78% | 12.71% | 15.74% | 8.34% |