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 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 2003 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 120.00%
SHY iShares 1-3 Year Treasury Bond ETF 960.00%
CASHX Cash -980.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$180,421 18.55% 16.27%48.73%-10.20%-32.21% 1.051.820.72
Portfolio 2$10,000$51,043 10.06% 13.38%32.31%-36.81%-50.80% 0.691.021.00
   
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.
  • 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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P 500 ETF Trust (SPY)iShares 1-3 Year Treasury Bond ETF (SHY)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20031.88%44.62%28.18%$14,462$12,81828.18%2.22%1.04%
20043.26%6.19%10.70%$15,357$14,19010.70%0.66%1.32%
20053.42%-10.20%4.83%$13,791$14,8744.83%1.53%3.14%
20062.54%8.88%15.85%$15,015$17,23215.85%3.89%4.82%
20074.08%31.24%5.14%$19,706$18,1175.14%7.35%4.56%
20080.09%4.36%-36.81%$20,564$11,448-36.81%6.62%1.53%
20092.72%33.44%26.36%$27,441$14,46726.36%0.35%0.16%
20101.50%38.57%15.06%$38,026$16,64515.06%2.28%0.14%
20112.96%15.44%1.89%$43,895$16,9591.89%1.44%0.07%
20121.74%21.04%15.99%$53,131$19,67115.99%0.28%0.08%
20131.50%40.31%32.31%$74,550$26,02632.31%0.21%0.05%
20140.76%20.11%13.46%$89,540$29,53013.46%0.45%0.03%
20150.73%5.13%1.25%$94,134$29,9001.25%0.43%0.05%
20162.07%19.39%12.00%$112,388$33,48812.00%0.82%0.30%
20172.11%19.88%21.70%$134,736$40,75521.70%0.26%0.88%
20181.91%-9.97%-4.56%$121,309$38,898-4.56%1.46%1.90%
20192.29%48.73%31.22%$180,421$51,04331.22%3.38%2.13%
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF Trust (SPY)iShares 1-3 Year Treasury Bond ETF (SHY)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20031-4.63%-2.46%$9,537$9,754-2.46%-0.07%0.10%
200321.29%-1.35%$9,660$9,623-1.35%0.39%0.10%
200331.02%0.21%$9,759$9,6420.21%0.18%0.10%
2003410.65%8.46%$10,798$10,4588.46%0.16%0.09%
200358.76%5.48%$11,743$11,0325.48%0.36%0.09%
200361.80%1.07%$11,955$11,1491.07%0.17%0.09%
20037-2.69%1.80%$11,633$11,3501.80%-0.51%0.07%
200381.36%2.06%$11,791$11,5842.06%-0.05%0.08%
200395.84%-1.09%$12,479$11,458-1.09%0.96%0.08%
2003102.08%5.35%$12,739$12,0725.35%-0.41%0.08%
2003110.18%1.09%$12,762$12,2031.09%-0.06%0.08%
20031213.32%5.03%$14,462$12,8185.03%1.08%0.08%
200412.78%1.98%$14,863$13,0711.98%0.12%0.08%
200425.42%1.36%$15,669$13,2481.36%0.48%0.08%
200430.29%-1.32%$15,714$13,074-1.32%0.28%0.08%
20044-12.27%-1.89%$13,786$12,826-1.89%-1.06%0.08%
200451.28%1.71%$13,962$13,0461.71%-0.00%0.08%
200461.24%1.85%$14,135$13,2871.85%-0.02%0.09%
20047-2.46%-3.22%$13,787$12,859-3.22%0.28%0.11%
200486.49%0.24%$14,682$12,8900.24%0.74%0.12%
20049-0.98%1.00%$14,537$13,0191.00%-0.10%0.13%
2004103.00%1.29%$14,974$13,1871.29%0.30%0.14%
200411-1.56%4.45%$14,740$13,7744.45%-0.58%0.16%
2004124.19%3.02%$15,357$14,1903.02%0.23%0.18%
20051-4.83%-2.24%$14,616$13,871-2.24%-0.04%0.18%
20052-2.16%2.09%$14,301$14,1612.09%-0.26%0.21%
20053-4.57%-1.83%$13,646$13,902-1.83%0.02%0.23%
200540.59%-1.87%$13,727$13,642-1.87%0.52%0.23%
200555.75%3.22%$14,516$14,0823.22%0.40%0.24%
200560.14%0.15%$14,535$14,1030.15%0.25%0.25%
20057-1.68%3.83%$14,292$14,6423.83%-0.37%0.26%
200582.56%-0.94%$14,657$14,505-0.94%0.66%0.28%
20059-4.95%0.80%$13,932$14,6210.80%-0.30%0.29%
200510-7.16%-2.37%$12,935$14,275-2.37%-0.08%0.29%
2005116.74%4.40%$13,806$14,9034.40%0.39%0.33%
200512-0.11%-0.19%$13,791$14,874-0.19%0.35%0.32%
200611.28%2.40%$13,967$15,2322.40%0.17%0.33%
20062-2.54%0.57%$13,613$15,3190.57%0.03%0.37%
20063-0.02%1.65%$13,611$15,5721.65%0.17%0.38%
20064-0.04%1.26%$13,605$15,7681.26%0.22%0.38%
20065-6.10%-3.01%$12,776$15,293-3.01%0.17%0.39%
20066-1.44%0.26%$12,591$15,3340.26%0.24%0.40%
200673.12%0.45%$12,984$15,4020.45%0.66%0.41%
200686.07%2.18%$13,773$15,7382.18%0.75%0.42%
200693.48%2.70%$14,252$16,1632.70%0.44%0.41%
2006103.91%3.15%$14,810$16,6733.15%0.42%0.40%
2006112.92%1.99%$15,242$17,0041.99%0.48%0.42%
200612-1.49%1.34%$15,015$17,2321.34%0.07%0.41%
20071-0.66%1.50%$14,916$17,4911.50%0.16%0.41%
200720.48%-1.96%$14,987$17,148-1.96%0.73%0.42%
200731.58%1.16%$15,224$17,3471.16%0.45%0.42%
200744.14%4.43%$15,854$18,1154.43%0.31%0.41%
20075-0.35%3.39%$15,798$18,7293.39%-0.07%0.40%
20076-1.06%-1.46%$15,631$18,455-1.46%0.48%0.39%
200770.84%-3.13%$15,762$17,877-3.13%0.90%0.39%
200787.33%1.28%$16,918$18,1071.28%1.05%0.40%
200796.11%3.87%$17,951$18,8073.87%0.55%0.33%
2007102.77%1.36%$18,449$19,0631.36%0.48%0.31%
2007117.60%-3.87%$19,851$18,324-3.87%1.79%0.32%
200712-0.73%-1.13%$19,706$18,117-1.13%0.30%0.26%
200815.93%-6.05%$20,874$17,021-6.05%1.65%0.28%
200825.26%-2.58%$21,972$16,581-2.58%1.03%0.16%
200830.02%-0.90%$21,976$16,432-0.90%0.25%0.15%
20084-3.75%4.77%$21,153$17,2154.77%-0.84%0.11%
20085-2.62%1.51%$20,599$17,4751.51%-0.35%0.12%
20086-8.36%-8.35%$18,878$16,016-8.35%0.24%0.15%
200871.82%-0.90%$19,220$15,872-0.90%0.43%0.16%
200884.92%1.55%$20,166$16,1171.55%0.47%0.14%
20089-3.66%-9.44%$19,427$14,596-9.44%0.78%0.14%
200810-5.74%-16.52%$18,312$12,185-16.52%1.10%0.08%
2008115.45%-6.96%$19,311$11,337-6.96%1.10%0.04%
2008126.49%0.98%$20,564$11,4480.98%0.56%0.00%
20091-14.14%-8.21%$17,657$10,508-8.21%-0.44%0.01%
20092-15.63%-10.74%$14,897$9,379-10.74%-0.15%0.02%
2009317.61%8.35%$17,520$10,1628.35%0.50%0.02%
2009410.36%9.93%$19,335$11,1729.93%-0.17%0.02%
200957.73%5.85%$20,828$11,8255.85%0.06%0.01%
20096-1.09%-0.07%$20,602$11,817-0.07%-0.09%0.01%
2009710.11%7.46%$22,685$12,6987.46%0.11%0.02%
200987.87%3.69%$24,471$13,1673.69%0.41%0.02%
200995.91%3.55%$25,918$13,6343.55%0.24%0.01%
200910-1.23%-1.92%$25,599$13,372-1.92%0.14%0.01%
20091111.52%6.16%$28,547$14,1966.16%0.60%0.00%
200912-3.87%1.91%$27,441$14,4671.91%-0.84%0.01%
201013.23%-3.63%$28,327$13,941-3.63%0.80%0.01%
201024.94%3.12%$29,725$14,3763.12%0.16%0.01%
201034.20%6.09%$30,973$15,2516.09%-0.27%0.01%
201044.19%1.55%$32,270$15,4871.55%0.30%0.01%
20105-5.05%-7.95%$30,639$14,257-7.95%0.45%0.01%
20106-1.94%-5.17%$30,044$13,519-5.17%0.42%0.01%
201078.59%6.83%$32,624$14,4426.83%0.19%0.02%
20108-2.66%-4.50%$31,755$13,793-4.50%0.24%0.01%
201099.75%8.96%$34,852$15,0288.96%0.12%0.01%
2010105.34%3.82%$36,714$15,6023.82%0.22%0.01%
201011-1.58%0.00%$36,133$15,6020.00%-0.20%0.01%
2010125.24%6.68%$38,026$16,6456.68%-0.16%0.01%
201113.96%2.33%$39,530$17,0332.33%0.13%0.01%
201122.86%3.47%$40,662$17,6243.47%-0.12%0.01%
20113-1.27%0.01%$40,145$17,6260.01%-0.13%0.01%
201148.26%2.90%$43,463$18,1372.90%0.53%0.01%
201151.76%-1.12%$44,227$17,933-1.12%0.36%0.00%
20116-1.96%-1.69%$43,361$17,631-1.69%-0.00%0.01%
201170.18%-2.00%$43,437$17,278-2.00%0.29%0.00%
20118-3.14%-5.50%$42,075$16,328-5.50%0.34%0.01%
20119-8.29%-6.94%$38,586$15,194-6.94%-0.10%0.00%
20111012.09%10.91%$43,250$16,85210.91%0.03%0.00%
201111-0.06%-0.41%$43,226$16,784-0.41%0.04%0.00%
2011121.55%1.04%$43,895$16,9591.04%0.05%0.00%
201216.34%4.64%$46,680$17,7464.64%0.08%0.00%
201223.81%4.34%$48,457$18,5164.34%-0.14%0.01%
201233.09%3.22%$49,953$19,1113.22%-0.08%0.01%
201240.86%-0.67%$50,381$18,984-0.67%0.20%0.01%
20125-6.62%-6.01%$47,044$17,844-6.01%0.06%0.01%
201263.85%4.05%$48,855$18,5674.05%-0.10%0.01%
201273.23%1.18%$50,434$18,7861.18%0.22%0.01%
201282.88%2.51%$51,886$19,2572.51%0.01%0.01%
201292.99%2.54%$53,439$19,7452.54%0.02%0.01%
201210-2.70%-1.82%$51,998$19,386-1.82%-0.07%0.01%
2012110.99%0.57%$52,510$19,4960.57%0.05%0.01%
2012121.18%0.90%$53,131$19,6710.90%0.02%0.01%
201316.22%5.12%$56,434$20,6785.12%0.01%0.00%
201322.01%1.28%$57,567$20,9421.28%0.06%0.01%
201334.69%3.80%$60,266$21,7373.80%0.03%0.01%
201342.78%1.92%$61,939$22,1551.92%0.07%0.01%
201351.60%2.36%$62,930$22,6782.36%-0.13%0.00%
20136-2.39%-1.34%$61,428$22,375-1.34%-0.10%0.00%
201377.42%5.17%$65,986$23,5315.17%0.16%0.00%
20138-4.24%-3.00%$63,186$22,825-3.00%-0.10%0.00%
201395.49%3.17%$66,654$23,5493.17%0.22%0.00%
2013105.81%4.63%$70,529$24,6394.63%0.07%0.00%
2013114.01%2.96%$73,356$25,3692.96%0.09%0.00%
2013121.63%2.59%$74,550$26,0262.59%-0.18%0.01%
20141-2.35%-3.52%$72,796$25,109-3.52%0.20%0.01%
201425.76%4.55%$76,992$26,2524.55%0.04%0.00%
20143-0.08%0.83%$76,931$26,4700.83%-0.11%0.00%
201441.79%0.70%$78,305$26,6540.70%0.11%0.00%
201454.33%2.32%$81,694$27,2732.32%0.18%0.00%
201461.64%2.06%$83,035$27,8352.06%-0.08%0.00%
20147-2.24%-1.34%$81,174$27,461-1.34%-0.08%0.00%
201486.21%3.95%$86,213$28,5453.95%0.19%0.00%
20149-2.20%-1.38%$84,315$28,151-1.38%-0.07%0.00%
2014104.91%2.36%$88,451$28,8142.36%0.26%0.00%
2014113.92%2.75%$91,922$29,6062.75%0.11%0.00%
201412-2.59%-0.26%$89,540$29,530-0.26%-0.29%0.00%
201512.44%-2.96%$91,722$28,655-2.96%0.63%0.00%
201523.63%5.62%$95,052$30,2665.62%-0.29%0.00%
201530.42%-1.57%$95,454$29,789-1.57%0.25%0.00%
201541.38%0.98%$96,772$30,0820.98%0.03%0.00%
201551.82%1.29%$98,529$30,4691.29%0.04%0.00%
20156-2.01%-2.03%$96,548$29,851-2.03%0.03%0.00%
201572.94%2.26%$99,382$30,5252.26%0.04%0.00%
20158-7.30%-6.10%$92,126$28,664-6.10%-0.05%0.01%
20159-0.17%-2.54%$91,968$27,935-2.54%0.30%0.01%
2015108.06%8.51%$99,379$30,3128.51%-0.14%0.00%
201511-1.91%0.37%$97,485$30,4220.37%-0.26%0.01%
201512-3.44%-1.72%$94,134$29,900-1.72%-0.15%0.02%
201610.15%-4.98%$94,279$28,411-4.98%0.65%0.01%
201620.73%-0.08%$94,963$28,388-0.08%0.11%0.03%
201638.65%6.72%$103,173$30,2976.72%0.14%0.03%
201640.60%0.39%$103,795$30,4160.39%0.04%0.02%
201650.68%1.70%$104,496$30,9331.70%-0.12%0.02%
201665.39%0.35%$110,127$31,0420.35%0.60%0.03%
201673.31%3.65%$113,770$32,1743.65%-0.05%0.02%
20168-1.93%0.12%$111,570$32,2120.12%-0.23%0.02%
201690.84%0.01%$112,508$32,2150.01%0.13%0.03%
201610-2.46%-1.73%$109,745$31,656-1.73%-0.05%0.02%
201611-0.14%3.68%$109,590$32,8223.68%-0.47%0.03%
2016122.55%2.03%$112,388$33,4882.03%0.07%0.04%
201712.76%1.79%$115,492$34,0871.79%0.11%0.04%
201724.60%3.93%$120,802$35,4273.93%0.04%0.04%
201730.32%0.13%$121,185$35,4710.13%0.06%0.04%
201742.27%0.99%$123,932$35,8230.99%0.19%0.06%
201751.69%1.41%$126,032$36,3291.41%0.07%0.07%
20176-0.63%0.64%$125,236$36,5610.64%-0.08%0.08%
201773.27%2.06%$129,333$37,3122.06%0.19%0.08%
201781.28%0.29%$130,992$37,4210.29%0.20%0.09%
201790.07%2.01%$131,082$38,1752.01%-0.19%0.08%
2017101.27%2.36%$132,743$39,0742.36%-0.09%0.09%
2017111.06%3.06%$134,156$40,2693.06%-0.22%0.09%
2017120.43%1.21%$134,736$40,7551.21%-0.02%0.10%
201812.89%5.64%$138,635$43,0525.64%-0.29%0.11%
20182-6.55%-3.64%$129,547$41,487-3.64%-0.10%0.12%
20183-2.41%-2.74%$126,422$40,349-2.74%0.25%0.14%
20184-3.22%0.52%$122,347$40,5580.52%-0.23%0.14%
201855.22%2.43%$128,729$41,5442.43%0.35%0.15%
20186-0.46%0.58%$128,143$41,7830.58%0.04%0.16%
201872.53%3.70%$131,380$43,3313.70%-0.06%0.16%
201885.85%3.19%$139,065$44,7143.19%0.35%0.17%
20189-2.21%0.59%$135,988$44,9800.59%-0.14%0.17%
201810-9.26%-6.91%$123,390$41,872-6.91%0.15%0.18%
2018114.36%1.85%$128,776$42,6481.85%0.38%0.19%
201812-5.80%-8.79%$121,309$38,898-8.79%0.76%0.19%
2019110.05%8.01%$133,501$42,0128.01%0.25%0.20%
201922.81%3.24%$137,247$43,3743.24%0.09%0.20%
201935.71%1.81%$145,083$44,1581.81%0.63%0.20%
201944.50%4.09%$151,609$45,9624.09%0.18%0.20%
20195-3.18%-6.38%$146,795$43,031-6.38%0.72%0.20%
201969.70%6.96%$161,032$46,0266.96%0.46%0.19%
20197-0.15%1.51%$160,790$46,7221.51%-0.06%0.17%
201982.66%-1.67%$165,064$45,940-1.67%0.78%0.17%
20199-0.14%1.95%$164,839$46,8351.95%-0.13%0.16%
2019103.45%2.21%$170,520$47,8702.21%0.31%0.15%
2019112.54%3.62%$174,843$49,6033.62%-0.05%0.13%
2019123.19%2.90%$180,421$51,0432.90%0.16%0.13%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value46.27%
Large-cap Growth52.82%
Mid-cap Value0.00%
Mid-cap Growth0.55%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.03%
Corporate Bonds0.33%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.90%
Style analysis is based on monthly returns from Apr 2005 to Dec 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.

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend100.00%0.09%22.69$41,043100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/09/2020. (c) 2020 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 2
Arithmetic Mean (monthly)1.54%0.88%
Arithmetic Mean (annualized)20.09%11.05%
Geometric Mean (monthly)1.43%0.80%
Geometric Mean (annualized)18.55%10.06%
Volatility (monthly)4.70%3.86%
Volatility (annualized)16.27%13.38%
Downside Deviation (monthly)2.68%2.57%
Max. Drawdown-32.21%-50.80%
US Market Correlation0.721.00
Beta(*)0.840.96
Alpha (annualized)9.25%0.03%
R251.43%99.15%
Sharpe Ratio1.050.69
Sortino Ratio1.821.02
Treynor Ratio (%)20.389.61
Calmar Ratio1.341.12
Active Return8.13%-0.35%
Tracking Error11.55%1.34%
Information Ratio0.70-0.26
Skewness-0.25-0.77
Excess Kurtosis1.482.17
Historical Value-at-Risk (5%)-6.44%-6.78%
Analytical Value-at-Risk (5%)-6.48%-5.48%
Conditional Value-at-Risk (5%)-9.56%-9.08%
Upside Capture Ratio (%)107.2095.70
Downside Capture Ratio (%)60.3196.22
Safe Withdrawal Rate16.07%9.76%
Perpetual Withdrawal Rate13.89%7.25%
Positive Periods134 out of 204 (65.69%)139 out of 204 (68.14%)
Gain/Loss Ratio1.240.83
* 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 2
Subprime CrisisNov 2007Mar 2009-32.21%-50.80%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Feb 200911 monthsJul 20095 months1 year 4 months-32.21%
2Apr 2004Jun 20062 years 3 monthsApr 200710 months3 years 1 month-19.87%
3Sep 2018Dec 20184 monthsMar 20193 months7 months-12.77%
4Jun 2011Sep 20114 monthsJan 20124 months8 months-12.76%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-11.75%
6Aug 2015Sep 20152 monthsMar 20166 months8 months-7.46%
7May 2010Jun 20102 monthsJul 20101 month3 months-6.90%
8May 2012May 20121 monthJul 20122 months3 months-6.62%
9Jan 2003Jan 20031 monthApr 20033 months4 months-4.63%
10Aug 2013Aug 20131 monthSep 20131 month2 months-4.24%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.80%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
5May 2019May 20191 monthJun 20191 month2 months-6.38%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-4.55%
8Jan 2005Apr 20054 monthsJul 20053 months7 months-3.86%
9Jan 2003Feb 20032 monthsApr 20032 months4 months-3.77%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.52%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust10.06%13.38%32.31%-36.81%-50.80%0.691.021.00
SHYiShares 1-3 Year Treasury Bond ETF1.96%1.30%7.35%0.21%-1.18%0.540.94-0.30
CASHXCash1.30%0.44%4.82%0.03%0.00%N/AN/A-0.05

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYSHYCASHXPortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust1.00-0.29-0.050.731.00
SHYiShares 1-3 Year Treasury Bond ETF-0.291.000.330.39-0.29
CASHXCash-0.050.331.00-0.06-0.05

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust$136,285$41,043
SHYiShares 1-3 Year Treasury Bond ETF$122,164
CASHXCash-$88,029

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust69.85%100.00%
SHYiShares 1-3 Year Treasury Bond ETF28.60%
CASHXCash1.55%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year19.83%48.73%-10.20%11.45%32.31%-36.81%
3 years17.59%28.76%1.26%9.11%20.31%-8.36%
5 years18.83%29.38%7.29%8.48%17.85%-2.23%
7 years19.88%25.72%14.81%8.86%14.70%2.58%
10 years20.01%22.30%17.82%8.87%13.44%6.87%
15 years17.34%18.93%15.23%8.80%9.82%7.68%
Result statistics are based on annualized rolling returns over full calendar year periods