Backtest Portfolio Asset Allocation

This online 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 
Asset 1
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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 2005 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF 90.00%
AMZN Amazon.com, Inc. 10.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
SPY SPDR S&P 500 ETF 80.00%
AMZN Amazon.com, Inc. 10.00%
GOOG Alphabet Inc. 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000$36,657 31.92% 8.45%10.92%13.72%32.31%-36.81%-50.80%
(-34.54%)
0.580.841.00
Portfolio 2$1,000$45,510 34.14% 11.31%13.75%14.32%39.96%-37.59%-47.89%
(-32.26%)
0.741.140.96
Portfolio 3$1,000$48,920 34.88% 12.87%14.68%14.72%47.48%-39.46%-47.66%
(-31.88%)
0.821.280.94
* The number in parenthesis shows the calculated value taking into account the periodic contributions.
   
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
  • 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
  • The backtested results include annual 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
  • Monthly contribution of $100 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
YearInflationReturnBalanceSPDR S&P 500 ETF (SPY)Amazon.com, Inc. (AMZN)Alphabet Inc. (GOOG)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
20053.42%4.83%4.99%16.03%$2,298$2,314$2,498$1,2004.83%6.46%115.19%
20062.54%15.85%12.63%12.15%$3,965$3,910$4,108$1,20015.85%-16.31%11.00%
20074.08%5.14%18.10%22.60%$5,369$5,885$6,338$1,2005.14%134.77%50.17%
20080.09%-36.81%-37.59%-39.46%$4,319$4,598$4,756$1,200-36.81%-44.65%-55.51%
20092.72%26.36%39.96%47.48%$6,906$7,947$8,556$1,20026.36%162.32%101.52%
20101.50%15.06%16.93%15.01%$9,297$10,667$11,216$1,20015.06%33.81%-4.20%
20112.96%1.89%1.32%2.00%$10,664$11,984$12,632$1,2001.89%-3.83%8.74%
20121.74%15.99%18.88%18.24%$13,618$15,506$16,201$1,20015.99%44.93%9.52%
20131.50%32.31%34.97%37.58%$19,380$22,315$23,692$1,20032.31%58.96%58.43%
20140.76%13.46%9.90%7.96%$23,274$25,796$26,834$1,20013.46%-22.18%-5.97%
20150.73%1.25%12.91%17.24%$24,773$30,400$32,765$1,2001.25%117.78%44.56%
20162.07%12.00%11.90%10.87%$29,038$35,307$37,612$1,20012.00%10.95%1.71%
20172.11%21.70%25.13%26.51%$36,657$45,510$48,920$1,20021.70%55.96%35.58%
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF (SPY)Amazon.com, Inc. (AMZN)Alphabet Inc. (GOOG)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20051-2.24%-2.26%-1.89%$1,078$1,077$1,081-2.24%-2.42%1.47%
200522.09%0.02%-0.59%$1,200$1,178$1,1752.09%-18.60%-3.90%
20053-1.83%-1.89%-2.10%$1,278$1,255$1,250-1.83%-2.59%-3.98%
20054-1.87%-2.17%0.16%$1,354$1,328$1,352-1.87%-5.57%21.88%
200553.22%3.73%6.44%$1,498$1,478$1,5393.22%9.73%26.03%
200560.15%-0.42%0.44%$1,600$1,571$1,6460.15%-6.81%6.09%
200573.83%6.34%5.31%$1,761$1,771$1,8333.83%36.45%-2.17%
20058-0.94%-1.38%-1.32%$1,845$1,847$1,909-0.94%-5.43%-0.61%
200590.80%1.30%2.65%$1,960$1,971$2,0600.80%6.09%10.65%
200510-2.37%-3.32%-0.27%$2,013$2,005$2,154-2.37%-12.01%17.59%
2005114.40%5.95%6.60%$2,202$2,224$2,3974.40%21.58%8.81%
200512-0.19%-0.45%0.05%$2,298$2,314$2,498-0.19%-2.70%2.46%
200612.40%1.67%1.86%$2,453$2,453$2,6442.40%-4.94%4.29%
200620.57%-1.02%-2.73%$2,567$2,528$2,6720.57%-16.47%-16.19%
200631.65%1.33%1.84%$2,709$2,662$2,8211.65%-2.43%7.55%
200641.26%0.89%1.44%$2,843$2,785$2,9621.26%-3.61%7.16%
20065-3.01%-2.92%-3.71%$2,858$2,804$2,952-3.01%-1.70%-11.04%
200660.26%1.11%2.26%$2,965$2,935$3,1190.26%11.76%12.78%
200670.45%-2.06%-2.90%$3,079$2,975$3,1280.45%-30.48%-7.81%
200682.18%2.90%2.50%$3,246$3,161$3,3072.18%14.65%-2.09%
200692.70%2.79%3.11%$3,433$3,349$3,5092.70%4.18%6.17%
2006103.15%4.16%5.61%$3,641$3,588$3,8063.15%18.59%18.53%
2006111.99%2.28%2.26%$3,814$3,770$3,9921.99%5.91%1.77%
2006121.34%1.07%0.40%$3,965$3,910$4,1081.34%-2.18%-5.02%
200711.50%0.90%1.64%$4,125$4,046$4,2761.50%-4.54%8.91%
20072-1.96%-1.41%-2.31%$4,144$4,089$4,277-1.96%3.90%-10.38%
200731.16%1.21%1.29%$4,292$4,238$4,4321.16%1.66%1.94%
200744.43%9.41%9.26%$4,582$4,737$4,9424.43%54.13%2.89%
200753.39%4.71%4.92%$4,837$5,060$5,2853.39%12.73%5.63%
20076-1.46%-1.40%-0.80%$4,866$5,089$5,343-1.46%-1.06%4.98%
20077-3.13%-0.40%-0.34%$4,814$5,169$5,425-3.13%14.81%-2.43%
200781.28%1.36%1.34%$4,976$5,339$5,5981.28%1.74%1.03%
200793.87%6.11%6.70%$5,268$5,766$6,0733.87%16.57%10.10%
2007101.36%0.26%2.60%$5,440$5,881$6,3311.36%-4.29%24.63%
200711-3.87%-2.86%-2.67%$5,329$5,812$6,262-3.87%1.58%-1.98%
200712-1.13%-0.47%-0.38%$5,369$5,885$6,338-1.13%2.30%-0.22%
20081-6.05%-7.05%-8.29%$5,144$5,570$5,912-6.05%-16.13%-18.39%
20082-2.58%-3.89%-5.14%$5,111$5,453$5,708-2.58%-17.03%-16.50%
20083-0.90%-0.01%-0.42%$5,165$5,553$5,784-0.90%10.59%-6.52%
200844.77%5.24%7.14%$5,511$5,944$6,2974.77%10.28%30.38%
200851.51%1.72%1.77%$5,695$6,146$6,5081.51%3.80%2.00%
20086-8.35%-8.52%-8.68%$5,319$5,723$6,043-8.35%-10.16%-10.14%
20087-0.90%-0.45%-1.24%$5,371$5,797$6,068-0.90%4.10%-10.01%
200881.55%1.95%1.66%$5,554$6,010$6,2691.55%5.86%-2.21%
20089-9.44%-9.49%-9.81%$5,130$5,540$5,754-9.44%-9.96%-13.55%
200810-16.52%-16.99%-16.54%$4,383$4,699$4,902-16.52%-21.33%-10.28%
200811-6.96%-8.67%-9.63%$4,178$4,391$4,530-6.96%-25.40%-18.48%
2008120.98%2.43%2.77%$4,319$4,598$4,7560.98%20.09%5.01%
20091-8.21%-5.92%-4.10%$4,064$4,426$4,661-8.21%14.70%10.04%
20092-10.74%-8.20%-7.03%$3,727$4,163$4,433-10.74%10.15%-0.16%
200938.35%9.08%8.40%$4,139$4,641$4,9068.35%13.35%2.98%
200949.93%9.89%10.34%$4,650$5,200$5,5139.93%9.64%13.76%
200955.85%4.48%4.46%$5,021$5,533$5,8595.85%-3.14%5.37%
20096-0.07%0.96%1.07%$5,118$5,687$6,022-0.07%7.27%1.04%
200977.46%6.72%6.45%$5,600$6,169$6,5107.46%2.51%5.09%
200983.69%2.40%2.50%$5,907$6,417$6,7733.69%-5.33%4.20%
200993.55%5.06%5.49%$6,216$6,842$7,2453.55%14.99%7.40%
200910-1.92%2.31%3.43%$6,197$7,100$7,593-1.92%27.26%8.12%
2009116.16%7.65%7.92%$6,678$7,743$8,2946.16%14.39%8.74%
2009121.91%1.34%1.95%$6,906$7,947$8,5561.91%-1.02%6.34%
20101-3.63%-3.95%-5.04%$6,755$7,733$8,225-3.63%-6.77%-14.52%
201023.12%2.27%1.93%$7,066$8,009$8,4843.12%-5.59%-0.59%
201036.09%6.86%7.01%$7,596$8,659$9,1786.09%14.67%7.65%
201041.55%1.49%0.71%$7,813$8,888$9,3441.55%0.98%-7.30%
20105-7.95%-8.00%-7.97%$7,293$8,277$8,699-7.95%-8.49%-7.62%
20106-5.17%-5.91%-6.19%$7,015$7,888$8,260-5.17%-12.91%-8.38%
201076.83%6.92%7.10%$7,594$8,534$8,9476.83%7.90%8.97%
20108-4.50%-3.58%-3.77%$7,353$8,329$8,709-4.50%5.89%-7.18%
201098.96%10.60%11.26%$8,111$9,312$9,7908.96%25.82%16.84%
2010103.82%3.97%5.04%$8,521$9,782$10,3833.82%5.20%16.72%
2010110.00%0.69%-0.17%$8,621$9,949$10,4650.00%6.16%-9.45%
2010126.68%6.20%6.21%$9,297$10,667$11,2166.68%2.62%6.88%
201112.33%1.52%1.40%$9,614$10,929$11,4722.33%-5.76%1.08%
201123.47%3.35%3.22%$10,048$11,395$11,9423.47%2.15%2.17%
201130.01%0.37%-0.06%$10,149$11,537$12,0350.01%3.95%-4.34%
201142.90%3.45%2.49%$10,543$12,035$12,4352.90%8.70%-7.27%
20115-1.12%-0.96%-1.10%$10,525$12,019$12,398-1.12%0.45%-2.77%
20116-1.69%-1.12%-1.32%$10,447$11,985$12,334-1.69%3.97%-4.28%
20117-2.00%-0.85%0.90%$10,338$11,983$12,545-2.00%8.82%19.22%
20118-5.50%-5.24%-5.71%$9,870$11,456$11,929-5.50%-3.28%-10.39%
20119-6.94%-6.06%-5.86%$9,284$10,861$11,330-6.94%0.46%-4.79%
20111010.91%9.36%9.74%$10,398$11,978$12,53310.91%-1.26%15.07%
201111-0.41%-1.50%-1.36%$10,455$11,898$12,463-0.41%-9.94%1.14%
2011121.04%-0.12%0.55%$10,664$11,984$12,6321.04%-9.98%7.76%
201214.64%5.41%3.92%$11,259$12,732$13,2284.64%12.33%-10.19%
201224.34%3.07%3.24%$11,848$13,223$13,7574.34%-7.59%6.57%
201233.22%4.12%4.18%$12,329$13,868$14,4323.22%12.70%3.72%
20124-0.67%0.90%0.48%$12,346$14,093$14,601-0.67%14.51%-5.67%
20125-6.01%-6.26%-6.10%$11,705$13,311$13,810-6.01%-8.19%-3.97%
201264.05%4.42%4.07%$12,279$13,999$14,4724.05%7.25%-0.14%
201271.18%1.30%1.95%$12,524$14,281$14,8551.18%2.17%9.12%
201282.51%2.97%3.48%$12,938$14,805$15,4712.51%6.42%8.23%
201292.54%2.52%3.22%$13,366$15,279$16,0692.54%2.44%10.13%
201210-1.82%-2.63%-3.42%$13,223$14,976$15,621-1.82%-8.43%-9.83%
2012110.57%1.45%1.65%$13,398$15,294$15,9780.57%8.23%2.66%
2012120.90%0.73%0.77%$13,618$15,506$16,2010.90%-0.47%1.29%
201315.12%5.19%5.36%$14,416$16,411$17,1695.12%5.83%6.83%
201321.28%1.10%1.58%$14,700$16,691$17,5411.28%-0.46%6.02%
201333.80%3.50%3.01%$15,358$17,376$18,1693.80%0.84%-0.87%
201341.92%1.28%1.47%$15,753$17,698$18,5371.92%-4.76%3.83%
201352.36%2.70%3.04%$16,225$18,275$19,2002.36%6.06%5.66%
20136-1.34%-0.92%-0.66%$16,108$18,208$19,173-1.34%3.15%1.05%
201375.17%5.49%5.02%$17,040$19,308$20,2355.17%8.47%0.84%
20138-3.00%-3.37%-3.54%$16,629$18,757$19,619-3.00%-6.72%-4.60%
201393.17%3.95%3.98%$17,256$19,598$20,4993.17%11.27%3.43%
2013104.63%5.85%7.19%$18,155$20,845$22,0724.63%16.44%17.66%
2013112.96%3.55%3.53%$18,793$21,686$22,9512.96%8.13%2.81%
2013122.59%2.44%2.80%$19,380$22,315$23,6922.59%1.31%5.77%
20141-3.52%-4.18%-3.29%$18,797$21,482$23,013-3.52%-10.06%5.38%
201424.55%4.21%4.04%$19,752$22,487$24,0434.55%0.95%2.94%
201430.83%0.11%-0.87%$20,017$22,612$23,9350.83%-7.11%-8.28%
201440.70%-0.17%-0.79%$20,256$22,673$23,8470.70%-9.58%-5.44%
201452.32%2.35%2.73%$20,826$23,307$24,5992.32%2.77%6.31%
201462.06%2.21%2.27%$21,356$23,921$25,2582.06%3.91%2.75%
20147-1.34%-1.52%-1.45%$21,169$23,657$24,991-1.34%-3.63%-0.64%
201483.95%4.28%3.89%$22,104$24,770$26,0633.95%8.32%0.00%
20149-1.38%-1.66%-1.43%$21,899$24,459$25,790-1.38%-4.90%1.01%
2014102.36%1.77%1.23%$22,515$24,992$26,2062.36%-5.27%-3.17%
2014112.75%3.33%2.78%$23,233$25,923$27,0352.75%10.86%-3.09%
201412-0.26%-0.88%-1.12%$23,274$25,796$26,834-0.26%-8.35%-2.85%
20151-2.96%-1.24%-0.79%$22,684$25,576$26,721-2.96%14.24%1.54%
201525.62%5.81%5.69%$24,059$27,161$28,3415.62%7.23%4.47%
20153-1.57%-1.64%-1.67%$23,780$26,816$27,968-1.57%-2.12%-1.86%
201540.98%2.43%2.15%$24,114$27,566$28,6700.98%13.35%-1.68%
201551.29%1.35%1.13%$24,524$28,038$29,0941.29%1.77%-0.97%
20156-2.03%-1.62%-1.63%$24,127$27,684$28,719-2.03%1.13%-2.18%
201572.26%5.09%6.79%$24,772$29,193$30,7702.26%23.51%20.19%
20158-6.10%-5.82%-5.30%$23,362$27,594$29,239-6.10%-4.34%-1.18%
20159-2.54%-2.17%-2.07%$22,868$27,095$28,733-2.54%-0.19%-1.59%
2015108.51%10.74%11.62%$24,913$30,105$32,1738.51%22.27%16.83%
2015110.37%1.41%1.86%$25,104$30,631$32,8730.37%6.22%4.47%
201512-1.72%-1.08%-0.63%$24,773$30,400$32,765-1.72%1.67%2.19%
20161-4.98%-5.80%-5.51%$23,639$28,738$31,060-4.98%-13.15%-2.10%
20162-0.08%-0.62%-1.24%$23,720$28,660$30,776-0.08%-5.87%-6.08%
201636.72%6.79%6.79%$25,415$30,706$32,9666.72%7.44%6.76%
201640.39%1.34%0.61%$25,615$31,216$33,2680.39%11.11%-6.97%
201651.70%2.46%2.87%$26,151$32,084$34,3241.70%9.58%6.16%
201660.35%0.21%-0.38%$26,342$32,251$34,2940.35%-0.99%-5.93%
201673.65%3.89%4.55%$27,403$33,606$35,9553.65%6.04%11.08%
201680.12%0.25%0.22%$27,536$33,790$36,1330.12%1.36%-0.23%
201690.01%0.94%1.07%$27,638$34,207$36,6190.01%8.86%1.33%
201610-1.73%-2.18%-1.93%$27,259$33,561$36,012-1.73%-5.67%0.93%
2016113.68%2.74%2.05%$28,363$34,580$36,8513.68%-4.97%-3.38%
2016122.03%1.81%1.79%$29,038$35,307$37,6122.03%-0.09%1.82%
201711.79%2.59%2.74%$29,658$36,323$38,7411.79%9.82%3.24%
201723.93%3.79%3.73%$30,923$37,799$40,2853.93%2.62%3.32%
201730.13%0.63%0.70%$31,062$38,138$40,6660.13%4.91%0.77%
201740.99%1.36%2.18%$31,470$38,757$41,6540.99%4.34%9.21%
201751.41%2.11%2.64%$32,014$39,673$42,8551.41%7.53%6.50%
201760.64%0.24%-0.47%$32,319$39,869$42,7540.64%-2.68%-5.82%
201772.06%2.05%2.09%$33,083$40,788$43,7472.06%2.04%2.40%
201780.29%0.17%0.24%$33,279$40,959$43,9540.29%-0.73%0.95%
201792.01%1.56%1.57%$34,050$41,696$44,7442.01%-1.96%2.11%
2017102.36%3.76%4.13%$34,952$43,363$46,6942.36%14.97%6.00%
2017113.06%3.48%3.19%$36,120$44,970$48,2843.06%6.47%0.47%
2017121.21%0.98%1.11%$36,657$45,510$48,9201.21%-0.62%2.45%
* 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 Value46.27%23.52%8.13%
Large-cap Growth52.42%70.77%83.83%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth0.78%5.17%6.13%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.07%0.54%1.91%
Corporate Bonds0.46%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.89%95.34%92.16%
Style analysis is based on monthly returns from Apr 2005 to Dec 2017 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%100.00%$20,057100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%90.00%$21,05683.34%
AMZNAmazon.com, Inc.Consumer Services / Catalog/Specialty Distribution10.00%$7,85416.66%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%80.00%$19,77070.01%
AMZNAmazon.com, Inc.Consumer Services / Catalog/Specialty Distribution10.00%$8,21416.64%
GOOGAlphabet Inc.Technology / Computer Software: Programming, Data Processing10.00%$4,33613.34%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 03/05/2019. © 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)0.76%0.98%1.10%
Arithmetic Mean (annualized)9.48%12.46%14.09%
Geometric Mean (monthly)0.68%0.90%1.01%
Geometric Mean (annualized)8.45%11.31%12.87%
Volatility (monthly)3.96%4.13%4.25%
Volatility (annualized)13.72%14.32%14.72%
Downside Deviation (monthly)2.70%2.67%2.68%
Max. Drawdown-50.80%-47.89%-47.66%
US Market Correlation1.000.960.94
Beta(*)0.960.970.97
Alpha (annualized)0.09%2.72%4.15%
R299.19%92.57%88.04%
Sharpe Ratio0.580.740.82
Sortino Ratio0.841.141.28
Treynor Ratio (%)8.2410.9612.43
Calmar Ratio1.342.102.48
Active Return-0.21%2.65%4.20%
Tracking Error1.35%3.92%5.11%
Information Ratio-0.160.670.82
Skewness-0.79-0.65-0.58
Excess Kurtosis2.372.081.76
Historical Value-at-Risk (5%)-6.95%-6.38%-6.31%
Analytical Value-at-Risk (5%)-5.76%-5.85%-5.95%
Conditional Value-at-Risk (5%)-9.74%-9.56%-9.71%
Upside Capture Ratio (%)96.00105.98111.78
Downside Capture Ratio (%)96.2891.9989.77
Sustainable Withdrawal Rate9.18%10.68%12.20%
Positive Periods103 out of 156 (66.03%)102 out of 156 (65.38%)101 out of 156 (64.74%)
Gain/Loss Ratio0.840.991.08
* 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 2009-50.80%-47.89%-47.66%

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-50.80%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
3Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
4Jun 2007Jul 20072 monthsSep 20072 months4 months-4.55%
5Jan 2005Apr 20054 monthsJul 20053 months7 months-3.86%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.52%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.21%
8May 2006May 20061 monthSep 20064 months5 months-3.01%
9Aug 2013Aug 20131 monthSep 20131 month2 months-3.00%
10Aug 2005Oct 20053 monthsNov 20051 month4 months-2.51%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-47.89%
2May 2011Sep 20115 monthsFeb 20125 months10 months-13.56%
3Aug 2015Sep 20152 monthsOct 20151 month3 months-7.86%
4Dec 2015Feb 20163 monthsApr 20162 months5 months-7.39%
5May 2012May 20121 monthAug 20123 months4 months-6.26%
6Jan 2005Apr 20054 monthsJul 20053 months7 months-6.17%
7Jan 2014Jan 20141 monthMay 20144 months5 months-4.18%
8May 2006Jul 20063 monthsSep 20062 months5 months-3.87%
9Aug 2005Oct 20053 monthsNov 20051 month4 months-3.42%
10Aug 2013Aug 20131 monthSep 20131 month2 months-3.37%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-47.66%
2May 2011Sep 20115 monthsFeb 20125 months10 months-12.59%
3Dec 2015Feb 20163 monthsMay 20163 months6 months-7.27%
4Aug 2015Sep 20152 monthsOct 20151 month3 months-7.26%
5May 2012May 20121 monthAug 20123 months4 months-6.10%
6Jan 2005Mar 20053 monthsMay 20052 months5 months-4.52%
7May 2006Jul 20063 monthsSep 20062 months5 months-4.38%
8Aug 2013Aug 20131 monthSep 20131 month2 months-3.54%
9Oct 2012Oct 20121 monthJan 20133 months4 months-3.42%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.29%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF8.45%13.72%32.31%-36.81%-50.80%0.580.841.00
AMZNAmazon.com, Inc.28.64%37.48%162.32%-44.65%-54.16%0.831.520.43
GOOGAlphabet Inc.20.17%29.41%115.19%-55.51%-58.56%0.731.300.49

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYAMZNGOOGPortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF-0.430.501.000.970.94
AMZNAmazon.com, Inc.0.43-0.410.430.640.66
GOOGAlphabet Inc.0.500.41-0.500.530.67

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF$20,057$21,056$19,770
AMZNAmazon.com, Inc.$7,854$8,214
GOOGAlphabet Inc.$4,336

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF100.00%83.34%70.01%
AMZNAmazon.com, Inc.16.66%16.64%
GOOGAlphabet Inc.13.34%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year9.93%32.31%-36.81%13.08%39.96%-37.59%14.94%47.48%-39.46%
3 years7.99%20.31%-8.36%11.20%20.82%-6.02%12.34%20.65%-5.93%
5 years8.88%17.85%-0.32%11.91%21.62%4.05%12.89%22.99%4.37%
7 years8.72%14.70%2.58%11.60%18.60%5.40%12.48%19.90%7.61%
10 years7.54%8.45%6.87%10.53%11.18%9.81%11.48%11.70%11.35%
Result statistics are based on annualized rolling returns over full calendar year periods