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 t-bills)
  • 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.
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%
Intermediate Treasuries0.00%0.00%0.00%
Long Treasuries0.00%0.00%0.00%
Corporate Bonds0.46%0.00%0.00%
Cash0.00%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
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
SPYSPDR S&P 500 ETFLarge Blend100.00%$20,057100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
SPYSPDR S&P 500 ETFLarge Blend90.00%$21,05683.34%Asset Allocation, Capitalization, Sector
AMZNAmazon.com, Inc.Consumer Services / Catalog/Specialty Distribution10.00%$7,85416.66%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
SPYSPDR S&P 500 ETFLarge Blend80.00%$19,77070.01%Asset Allocation, Capitalization, Sector
AMZNAmazon.com, Inc.Consumer Services / Catalog/Specialty Distribution10.00%$8,21416.64%Asset Allocation, Capitalization, Sector
GOOGAlphabet Inc.Technology / Computer Software: Programming, Data Processing10.00%$4,33613.34%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 05/03/2018. © 2018 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
Information Ratio-0.200.620.76
Diversification Ratio1.001.121.20
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
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 returns.

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
1Jun 2008Feb 20099 monthsAug 20096 months1 year 3 months-34.54%
2May 2011Sep 20115 monthsDec 20113 months8 months-11.94%
3May 2010Jun 20102 monthsSep 20103 months5 months-10.22%
4Aug 2015Sep 20152 monthsOct 20151 month3 months-7.69%
5Nov 2007Feb 20084 monthsApr 20082 months6 months-6.04%
6Dec 2015Jan 20162 monthsMar 20162 months4 months-5.83%
7May 2012May 20121 monthJul 20122 months3 months-5.20%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.01%
9Jan 2015Jan 20151 monthFeb 20151 month2 months-2.53%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.41%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsJul 20095 months1 year 2 months-32.26%
2May 2010Jun 20102 monthsSep 20103 months5 months-11.25%
3May 2011Sep 20115 monthsJan 20124 months9 months-9.75%
4Jan 2008Feb 20082 monthsApr 20082 months4 months-7.34%
5Aug 2015Sep 20152 monthsOct 20151 month3 months-7.19%
6Dec 2015Feb 20163 monthsMar 20161 month4 months-6.43%
7May 2012May 20121 monthJul 20122 months3 months-5.55%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.73%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.85%
10Jan 2010Jan 20101 monthFeb 20101 month2 months-2.69%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2008Feb 20099 monthsJul 20095 months1 year 2 months-31.88%
2May 2010Jun 20102 monthsSep 20103 months5 months-11.59%
3Jan 2008Feb 20082 monthsMay 20083 months5 months-9.93%
4Aug 2011Sep 20112 monthsDec 20113 months5 months-9.68%
5Aug 2015Sep 20152 monthsOct 20151 month3 months-6.62%
6Dec 2015Feb 20163 monthsMar 20161 month4 months-6.38%
7May 2012May 20121 monthJul 20122 months3 months-5.41%
8Jan 2010Jan 20101 monthMar 20102 months3 months-3.87%
9Aug 2013Aug 20131 monthSep 20131 month2 months-3.04%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.87%

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