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 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 - Oct 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
FRT Federal Realty Investment Trust 8.33%
UHT Universal Health Realty Income Trust 8.33%
NNN National Retail Properties 8.34%
TLT iShares 20+ Year Treasury Bond ETF 25.00%
VTI Vanguard Total Stock Market ETF 25.00%
GLD SPDR Gold Shares 25.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 33.33%
VTI Vanguard Total Stock Market ETF 33.34%
GLD SPDR Gold Shares 33.33%
Save portfolio »
Portfolio 3
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 50.00%
VTI Vanguard Total Stock Market ETF 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$200,000$848,142 10.23% 9.74%26.49%-3.25%-14.75% 0.921.480.54
Portfolio 2$200,000$709,929 8.92% 8.79%19.44%-4.03%-17.06% 0.871.520.39
Portfolio 3$200,000$699,796 8.81% 8.11%20.42%-3.41%-17.89% 0.921.430.59
SPDR S&P 500 ETF$200,000$674,720 8.54% 13.84%32.31%-36.81%-50.80% 0.570.831.00
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to October
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceFederal Realty Investment Trust (FRT)Universal Health Realty Income Trust (UHT)National Retail Properties (NNN)iShares 20+ Year Treasury Bond ETF (TLT)Vanguard Total Stock Market ETF (VTI)SPDR Gold Shares (GLD)
Portfolio 1Portfolio 2Portfolio 3SPDR S&P 500 ETFPortfolio 1Portfolio 2Portfolio 3SPDR S&P 500 ETF
20053.42%10.86%10.89%7.46%4.83%$221,723$221,785$214,916$209,65322.33%4.21%5.77%8.61%6.31%17.76%
20062.54%17.83%12.98%8.20%15.85%$261,262$250,583$232,545$242,87844.88%32.53%19.74%0.71%15.69%22.55%
20074.08%11.92%15.37%7.83%5.14%$292,397$289,097$250,752$255,351-0.61%-2.89%8.15%10.29%5.37%30.45%
20080.09%-3.12%0.62%-1.52%-36.81%$283,280$290,895$246,932$161,363-21.74%-0.33%-20.97%33.93%-36.98%4.92%
20092.72%12.24%10.37%3.55%26.36%$317,954$321,075$255,686$203,90614.37%5.07%34.06%-21.80%28.89%24.03%
20101.50%20.16%18.58%13.23%15.06%$382,053$380,730$289,525$234,60819.17%22.38%33.14%9.05%17.42%29.27%
20112.96%14.42%14.83%17.46%1.89%$437,147$437,191$340,087$239,03820.19%13.80%5.58%33.96%0.97%9.57%
20121.74%13.09%8.56%9.54%15.99%$494,388$474,622$372,536$277,26317.85%37.42%24.82%2.63%16.45%6.60%
20131.50%-3.25%-2.75%10.04%32.31%$478,303$461,590$409,942$366,8370.39%-16.39%1.70%-13.37%33.45%-28.33%
20140.76%17.62%12.55%19.92%13.46%$562,559$519,526$491,607$416,22335.23%27.17%36.02%27.30%12.54%-2.19%
20150.73%-0.69%-4.03%-0.71%1.25%$558,674$498,576$488,096$421,43412.31%9.50%6.20%-1.79%0.36%-10.67%
20162.07%9.82%7.35%7.00%12.00%$613,535$535,204$522,275$472,012-0.23%37.21%14.75%1.18%12.83%8.03%
20172.11%12.23%14.40%15.20%21.70%$688,599$612,284$601,649$574,440-3.59%18.80%2.00%9.18%21.21%12.81%
20181.91%-2.63%-2.92%-3.41%-4.56%$670,521$594,405$581,137$548,263-8.13%-14.90%17.78%-1.61%-5.21%-1.94%
20192.20%26.49%19.44%20.42%23.06%$848,142$709,929$699,796$674,72017.90%98.99%26.10%18.37%22.47%17.47%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceFederal Realty Investment Trust (FRT)Universal Health Realty Income Trust (UHT)National Retail Properties (NNN)iShares 20+ Year Treasury Bond ETF (TLT)Vanguard Total Stock Market ETF (VTI)SPDR Gold Shares (GLD)
Portfolio 1Portfolio 2Portfolio 3SPDR S&P 500 ETFPortfolio 1Portfolio 2Portfolio 3SPDR S&P 500 ETF
20051-2.49%-0.85%0.53%-2.24%$195,026$198,308$201,070$195,516-8.65%-6.19%-7.39%3.57%-2.50%-3.61%
200521.42%1.18%0.25%2.09%$197,804$200,641$201,579$199,6036.38%-0.27%0.64%-1.47%2.09%3.10%
20053-1.74%-1.31%-1.15%-1.83%$194,358$198,009$199,251$195,954-2.69%-4.43%-2.23%-0.45%-1.87%-1.63%
200543.21%1.00%0.89%-1.87%$200,605$199,998$201,025$192,28310.65%15.93%4.63%3.86%-2.20%1.24%
200552.50%1.05%3.49%3.22%$205,622$202,089$208,043$198,4793.18%14.73%2.21%3.14%3.88%-3.92%
200563.17%2.37%1.49%0.15%$212,141$206,882$211,146$198,7777.88%3.08%5.52%2.16%0.76%4.30%
200570.30%-0.25%0.30%3.83%$212,778$206,355$211,769$206,38210.69%-7.58%2.95%-3.38%4.38%-1.43%
20058-0.10%1.27%1.23%-0.94%$212,571$208,971$214,370$204,447-5.19%-2.07%-3.76%3.48%-1.09%1.35%
200590.79%1.38%-1.49%0.80%$214,258$211,862$211,173$206,082-0.66%-2.02%0.15%-3.61%0.79%7.60%
200510-1.62%-1.74%-2.29%-2.37%$210,783$208,178$206,332$201,208-0.46%-2.11%-1.40%-2.24%-2.35%-0.64%
2005113.66%3.71%2.62%4.40%$218,493$215,897$211,745$210,0524.16%1.81%4.54%0.69%4.62%5.82%
2005121.48%2.73%1.50%-0.19%$221,723$221,785$214,916$209,653-2.82%-3.82%0.54%2.98%0.02%5.05%
200615.93%3.94%0.94%2.40%$234,875$230,513$216,937$214,68810.17%11.39%14.19%-1.34%3.22%9.93%
200620.41%0.03%0.65%0.57%$235,839$230,587$218,357$215,9174.30%0.97%-0.78%1.11%0.22%-1.11%
200631.84%0.48%-1.20%1.65%$240,179$231,697$215,740$219,4809.04%5.21%2.42%-4.57%2.05%3.62%
200640.04%3.81%-0.80%1.26%$240,266$240,524$214,009$222,252-9.27%-11.96%-8.26%-2.75%0.96%12.03%
20065-2.13%-1.62%-1.81%-3.01%$235,159$236,623$210,131$215,5580.22%-3.08%-8.31%-0.19%-3.22%-1.32%
20066-0.34%-1.44%0.62%0.26%$234,348$233,226$211,443$216,1273.21%2.43%3.37%1.18%0.13%-4.67%
200672.48%1.79%0.97%0.45%$240,149$237,397$213,485$217,0953.64%3.83%6.17%2.16%-0.12%3.15%
200682.53%1.12%2.66%2.18%$246,228$240,061$219,170$221,8322.10%11.49%6.72%3.06%2.30%-1.38%
20069-0.39%-0.37%2.09%2.70%$245,276$239,174$223,754$227,8201.09%0.33%-2.88%1.91%2.26%-4.53%
2006103.38%1.90%2.24%3.15%$253,557$243,721$228,759$235,0007.87%8.54%5.60%0.85%3.53%1.29%
2006114.10%3.94%2.32%1.99%$263,954$253,317$234,062$239,6736.28%1.23%6.14%2.31%2.33%6.89%
200612-1.02%-1.08%-0.65%1.34%$261,262$250,583$232,545$242,8780.47%0.42%-3.77%-2.69%1.20%-1.83%
200712.41%1.14%0.43%1.50%$267,554$253,448$233,553$246,5319.91%3.75%4.96%-1.00%1.86%2.56%
200720.29%1.42%0.85%-1.96%$268,343$257,048$235,531$241,694-3.14%-7.49%1.81%3.39%-1.62%2.55%
20073-0.59%-0.58%-0.30%1.16%$266,760$255,556$234,814$244,4980.77%-2.89%0.04%-1.70%1.12%-1.11%
200741.63%2.33%2.47%4.43%$271,098$261,505$240,611$255,328-0.50%-1.48%0.44%0.90%4.02%2.05%
20075-0.27%-0.28%0.76%3.39%$270,379$260,773$242,443$263,989-1.72%-0.20%1.25%-2.31%3.72%-2.31%
20076-3.36%-1.58%-1.40%-1.46%$261,308$256,650$239,039$260,123-12.17%-3.68%-9.86%-1.01%-1.76%-1.94%
20077-0.57%0.61%-0.26%-3.13%$259,805$258,206$238,411$251,978-2.74%-12.16%0.78%3.32%-3.53%2.37%
200783.67%1.45%1.63%1.28%$269,340$261,960$242,293$255,21211.88%14.60%8.45%1.79%1.47%1.11%
200795.10%4.89%2.05%3.87%$283,085$274,772$247,271$265,0896.11%7.80%3.79%0.23%3.85%10.51%
2007103.48%3.62%1.80%1.36%$292,941$284,726$251,729$268,685-0.43%4.05%5.47%1.81%1.79%6.95%
200711-1.88%-0.43%0.28%-3.87%$287,424$283,514$252,434$258,278-5.70%-11.01%-3.39%5.35%-4.52%-1.65%
2007121.73%1.97%-0.67%-1.13%$292,397$289,097$250,752$255,351-0.51%9.51%-4.53%-0.64%-0.70%6.65%
200810.89%2.26%-2.04%-6.05%$294,992$295,620$245,649$239,912-10.10%1.72%-1.28%2.10%-6.17%10.84%
20082-0.76%0.97%-1.43%-2.58%$292,756$298,498$242,127$233,712-2.94%-6.60%-8.89%-0.46%-2.50%5.23%
20083-0.17%-1.82%0.70%-0.90%$292,262$293,062$243,827$231,6029.65%0.64%6.52%2.14%-0.90%-6.00%
200840.26%-0.89%0.95%4.77%$293,008$290,458$246,154$242,6405.39%0.72%5.56%-2.48%4.89%-4.16%
20085-0.05%0.06%-0.41%1.51%$292,855$290,618$245,146$246,308-1.86%1.70%-0.87%-2.69%2.02%0.92%
20086-2.77%-0.16%-2.69%-8.35%$284,751$290,160$238,546$225,741-13.69%-10.52%-7.97%2.65%-8.12%4.52%
200871.21%-0.84%-0.49%-0.90%$288,193$287,724$237,384$223,7135.23%16.57%2.96%-0.37%-0.62%-1.44%
20088-0.19%-2.04%2.14%1.55%$287,644$281,849$242,464$227,1704.50%4.92%7.33%2.74%1.46%-9.29%
200891.58%-0.93%-3.51%-9.44%$292,183$279,238$233,962$205,73113.64%7.73%5.55%1.47%-9.24%4.11%
200810-13.93%-11.34%-8.69%-16.52%$251,488$247,566$213,632$171,747-28.42%-10.77%-23.83%-1.86%-17.48%-16.14%
2008112.55%7.89%5.51%-6.96%$257,889$267,089$225,399$159,792-5.60%-9.62%-24.79%14.34%-8.01%12.57%
2008129.85%8.91%9.55%0.98%$283,280$290,895$246,932$161,3638.51%7.05%28.19%13.64%1.78%7.73%
20091-7.19%-5.19%-10.56%-8.21%$262,902$275,786$220,859$148,113-18.44%-7.02%-14.12%-13.07%-8.05%5.54%
20092-3.80%-3.34%-6.16%-10.74%$252,924$266,584$207,261$132,199-18.76%1.99%-0.42%-1.54%-10.53%1.45%
200933.38%2.74%6.11%8.35%$261,470$273,900$219,928$143,23413.45%-4.32%10.23%4.04%8.26%-2.54%
200943.40%0.04%2.02%9.93%$270,352$274,016$224,369$157,46420.00%9.54%14.40%-6.95%10.99%-3.33%
200952.63%4.48%1.29%5.85%$277,461$286,295$227,259$166,668-4.62%0.12%-3.55%-3.69%5.46%10.23%
20096-1.16%-1.63%0.54%-0.07%$274,245$281,626$228,477$166,556-0.85%0.10%1.40%0.76%0.36%-5.22%
200975.80%3.81%4.63%7.46%$290,162$292,360$239,046$178,98210.73%8.41%15.82%0.58%7.74%2.38%
200982.45%2.01%3.10%3.69%$297,279$298,227$246,445$185,5939.33%-1.70%4.11%2.24%3.71%0.05%
200993.44%4.28%3.44%3.55%$307,520$310,998$254,929$192,173-0.58%-1.34%4.63%2.46%4.14%5.84%
200910-1.58%-0.37%-2.63%-1.92%$302,647$309,863$248,233$188,479-3.81%-2.46%-7.99%-2.62%-2.63%3.72%
2009116.11%7.17%3.85%6.16%$321,127$332,070$257,802$200,0908.96%-3.37%3.41%1.21%5.69%12.79%
200912-0.99%-3.31%-0.82%1.91%$317,954$321,075$255,686$203,9066.30%6.43%5.89%-6.34%2.86%-7.20%
20101-0.90%-0.71%-0.44%-3.63%$315,108$318,793$254,569$196,496-4.93%3.65%-3.06%2.69%-3.57%-1.26%
201022.71%2.08%1.49%3.12%$323,649$325,432$258,365$202,6257.11%1.90%5.05%-0.34%3.44%3.27%
201032.66%1.26%2.12%6.09%$332,247$329,530$263,831$214,9666.56%6.22%7.59%-2.06%6.40%-0.44%
201043.20%3.77%2.74%1.55%$342,875$341,965$271,049$218,2916.29%-6.00%4.70%3.32%2.18%5.88%
20105-1.16%0.01%-1.54%-7.95%$338,886$341,987$266,884$200,947-4.77%-1.96%-6.59%5.11%-7.88%3.05%
201060.23%0.97%0.23%-5.17%$339,681$345,292$267,499$190,549-3.78%0.50%-2.46%5.80%-5.83%2.36%
201071.94%-0.08%2.64%6.83%$346,277$345,022$274,548$203,56311.27%3.58%9.59%-0.95%7.02%-5.09%
201082.75%3.40%2.25%-4.50%$355,809$356,766$280,730$194,4071.41%-4.42%5.36%8.40%-4.71%5.71%
201093.94%3.42%2.71%8.96%$369,843$368,960$288,347$211,8173.83%10.22%3.08%-2.51%9.45%4.78%
2010102.22%0.94%-0.51%3.82%$378,046$372,419$286,866$219,9080.39%7.96%9.44%-4.47%4.03%3.68%
201011-1.09%0.35%-0.62%0.00%$373,908$373,728$285,094$219,908-5.60%-5.60%-4.02%-1.69%0.51%2.11%
2010122.18%1.87%1.55%6.68%$382,053$380,730$289,525$234,6081.56%5.91%1.88%-3.68%6.96%2.44%
20111-2.03%-2.47%-0.52%2.33%$374,309$371,325$288,030$240,0753.21%-0.49%-4.80%-3.08%2.05%-6.38%
201124.28%3.76%2.70%3.47%$390,342$385,272$295,810$248,4144.66%9.41%3.38%1.65%3.70%6.00%
201130.75%0.68%0.23%0.01%$393,265$387,880$296,490$248,440-2.31%3.51%1.71%0.03%0.42%1.60%
201144.89%4.71%2.63%2.90%$412,496$406,153$304,279$255,6367.36%6.37%2.27%2.34%2.90%8.94%
20115-0.05%0.10%1.09%-1.12%$412,305$406,563$307,596$252,7690.05%0.46%-2.13%3.42%-1.06%-1.79%
20116-2.76%-2.18%-2.06%-1.69%$400,921$397,688$301,270$248,501-2.01%-6.28%-4.93%-2.33%-1.79%-2.43%
201173.41%3.49%1.00%-2.00%$414,576$411,582$304,296$243,5302.54%3.08%3.94%4.42%-2.27%8.42%
201184.30%5.54%1.88%-5.50%$432,391$434,376$310,026$230,1423.68%-9.20%8.65%9.66%-6.09%12.27%
20119-2.86%-1.80%3.74%-6.94%$420,005$426,555$321,623$214,159-8.25%-8.66%-1.43%13.20%-7.57%-11.06%
2011104.51%3.53%2.33%10.91%$438,942$441,618$329,118$237,5337.71%12.97%2.85%-3.84%11.37%5.87%
2011110.42%1.19%0.94%-0.41%$440,793$446,886$332,217$236,568-0.37%-2.79%-2.90%1.98%-0.37%1.67%
201112-0.83%-2.17%2.37%1.04%$437,147$437,191$340,087$239,0383.40%7.40%-0.30%3.44%0.98%-10.66%
201214.91%5.38%2.37%4.64%$458,594$460,706$348,147$250,1234.09%2.54%3.84%-0.33%5.07%11.40%
20122-0.83%-0.46%0.90%4.34%$454,801$458,585$351,287$260,9790.94%-5.50%-1.33%-2.59%4.22%-2.96%
201230.33%-0.69%-0.37%3.22%$456,319$455,402$349,998$269,3722.24%6.50%2.03%-4.23%3.06%-1.32%
201241.55%1.16%1.83%-0.67%$463,410$460,672$356,417$267,5744.00%2.04%2.12%4.83%-0.64%-0.15%
20125-2.01%-1.56%0.87%-6.01%$454,094$453,480$359,506$251,504-2.36%-4.43%-3.25%9.03%-6.23%-6.34%
201263.04%1.55%1.17%4.05%$467,907$460,510$363,714$261,6976.63%9.14%6.80%-1.68%4.05%2.35%
201272.65%1.83%2.31%1.18%$480,326$468,960$372,120$264,7934.39%4.84%5.69%3.82%0.88%0.84%
201281.84%2.06%0.71%2.51%$489,168$478,636$374,761$271,427-0.69%-0.85%5.29%-1.32%2.70%4.94%
201291.51%1.57%0.05%2.54%$496,540$486,158$374,956$278,308-1.75%7.95%-1.80%-2.53%2.49%4.67%
2012100.04%-1.78%-1.18%-1.82%$496,739$477,512$370,529$273,2432.40%7.53%5.16%-0.48%-1.81%-2.94%
201211-0.33%0.55%1.06%0.57%$495,075$480,142$374,471$274,790-3.51%-1.42%-3.03%1.38%0.77%-0.47%
201212-0.14%-1.15%-0.52%0.90%$494,388$474,622$372,536$277,2630.69%5.17%1.56%-2.49%1.29%-2.43%
201311.65%0.58%1.12%5.12%$502,531$477,355$376,694$291,4561.76%8.93%3.90%-3.19%5.42%-0.51%
201320.38%-0.83%1.26%1.28%$504,436$473,388$381,450$295,1750.34%3.59%7.59%1.24%1.28%-5.09%
201332.01%1.57%1.86%3.80%$514,556$480,818$388,529$306,3852.43%2.14%4.99%-0.42%3.95%0.95%
201340.87%-0.28%3.05%1.92%$519,032$479,464$400,363$312,2718.30%-6.90%10.81%4.68%1.61%-7.56%
20135-5.35%-3.17%-1.93%2.36%$491,264$464,252$392,624$319,644-7.91%-15.93%-9.60%-6.76%2.44%-6.20%
20136-4.42%-4.74%-2.26%-1.34%$469,572$442,245$383,738$315,373-3.08%-3.20%-4.10%-3.27%-1.43%-11.06%
201373.10%3.55%2.17%5.17%$484,114$457,947$392,048$331,6701.59%0.79%2.86%-2.26%5.75%7.43%
20138-2.66%-0.26%-2.31%-3.00%$471,216$456,771$383,009$321,723-7.61%-7.73%-12.46%-1.34%-3.03%5.20%
201391.49%0.40%2.50%3.17%$478,246$458,609$392,575$331,9155.03%5.99%3.89%0.66%3.90%-4.78%
2013102.99%2.13%3.06%4.63%$492,569$468,396$404,601$347,2852.12%4.90%9.37%1.43%4.27%-0.34%
201311-1.86%-1.14%0.45%2.96%$483,396$463,056$406,405$357,578-0.08%-3.51%-7.70%-2.70%2.70%-5.51%
201312-1.05%-0.32%0.87%2.59%$478,303$461,590$409,942$366,837-1.28%-4.03%-4.47%-1.87%2.73%-3.79%
201413.65%2.18%1.57%-3.52%$495,766$471,669$416,365$353,9077.48%5.84%10.83%6.30%-3.17%3.42%
201423.78%3.83%2.59%4.55%$514,486$489,749$427,159$370,0152.12%0.42%8.10%0.52%4.87%6.27%
20143-0.53%-0.68%0.62%0.83%$511,751$486,431$429,816$373,0913.80%0.65%-4.37%0.73%0.51%-3.14%
201440.98%0.90%1.11%0.70%$516,742$490,809$434,572$375,6852.46%0.45%0.62%2.10%0.06%0.49%
201451.03%0.67%2.54%2.32%$522,075$494,073$445,610$384,4031.68%2.03%2.49%2.95%2.10%-3.05%
201462.96%2.81%1.13%2.06%$537,518$507,933$450,640$392,3351.83%1.90%6.32%-0.25%2.62%6.32%
20147-1.68%-1.63%-0.63%-1.34%$528,462$499,644$447,806$387,0630.98%-3.27%-3.25%0.67%-1.99%-3.63%
201483.31%3.12%4.45%3.95%$545,932$515,218$467,723$402,3382.19%5.02%4.41%4.72%4.15%0.38%
20149-3.89%-3.40%-2.10%-1.38%$524,718$497,694$457,880$396,789-4.37%-4.25%-6.92%-2.11%-2.10%-6.18%
2014104.11%0.98%2.78%2.36%$546,300$502,550$470,615$406,13411.26%16.24%11.51%2.81%2.75%-3.05%
2014111.42%1.78%2.73%2.75%$554,036$511,481$483,483$417,2910.65%-0.23%1.08%2.97%2.48%-0.49%
2014121.54%1.57%1.68%-0.26%$562,559$519,526$491,607$416,2231.25%0.90%2.18%3.25%-0.04%1.31%
201516.38%5.26%3.54%-2.96%$598,451$546,832$509,010$403,8907.73%11.66%9.87%9.82%-2.74%8.69%
20152-2.88%-2.40%-0.56%5.62%$581,236$533,720$506,170$426,591-1.21%-5.40%-6.07%-6.14%5.74%-5.91%
201530.99%-0.73%-0.03%-1.57%$587,012$529,806$506,026$419,8754.26%12.02%1.81%1.10%-1.16%-2.15%
20154-3.11%-1.02%-1.43%0.98%$568,748$524,415$498,783$424,004-9.20%-11.72%-5.29%-3.43%0.62%-0.17%
20155-0.57%-0.17%-0.52%1.29%$565,506$523,545$496,183$429,4550.60%-3.54%-2.32%-2.37%1.30%0.56%
20156-2.83%-2.40%-2.84%-2.03%$549,500$510,978$482,090$420,741-4.13%-1.69%-6.66%-4.07%-1.67%-1.52%
201571.46%-0.18%3.07%2.26%$557,515$510,061$496,888$430,2456.79%5.40%7.42%4.55%1.70%-6.62%
20158-2.46%-1.21%-3.46%-6.10%$543,811$503,879$479,698$404,021-5.64%-6.06%-6.51%-0.69%-6.09%3.71%
201590.50%-0.91%-0.47%-2.54%$546,508$499,297$477,437$393,7466.45%3.46%4.37%1.97%-2.92%-1.80%
2015103.83%3.20%3.64%8.51%$567,426$515,252$494,801$427,2385.16%5.86%5.95%-0.41%7.91%2.28%
201511-0.84%-2.27%-0.12%0.37%$562,634$503,570$494,189$428,8002.11%6.04%1.21%-0.87%0.60%-6.75%
201512-0.70%-0.99%-1.23%-1.72%$558,674$498,576$488,096$421,4340.35%-3.87%4.13%-0.30%-2.13%-0.45%
201612.42%1.75%-0.08%-4.98%$572,171$507,314$487,728$400,4523.24%1.64%8.33%5.57%-5.72%5.41%
201623.83%4.84%1.63%-0.08%$594,081$531,860$495,658$400,122-1.84%1.99%2.42%3.09%-0.01%10.93%
201633.04%1.76%3.25%6.72%$612,124$541,203$511,779$427,0286.04%9.82%5.05%-0.09%7.11%-0.84%
201640.47%1.78%-0.07%0.39%$615,018$550,819$511,445$428,711-2.54%-2.93%-4.35%-0.74%0.66%5.11%
20165-0.91%-1.46%1.26%1.70%$609,432$542,766$517,875$436,0040.73%-2.01%3.59%0.81%1.73%-6.14%
201666.76%5.54%3.69%0.35%$650,647$572,823$536,977$437,5288.72%8.11%14.10%6.93%0.27%8.97%
201672.86%2.62%2.98%3.65%$669,250$587,846$552,998$453,4852.51%4.35%3.69%2.10%3.98%1.98%
20168-1.86%-1.45%-0.43%0.12%$656,816$579,340$550,609$454,028-6.31%3.22%-5.76%-1.01%0.21%-3.26%
201690.10%-0.20%-0.69%0.01%$657,442$578,172$546,825$454,063-2.57%3.46%1.50%-1.51%0.21%0.69%
201610-4.29%-3.19%-3.32%-1.73%$629,258$559,739$528,655$446,191-5.65%-6.85%-9.37%-4.38%-2.19%-2.94%
201611-3.91%-4.27%-2.00%3.68%$604,638$535,837$518,060$462,628-3.31%1.04%-6.44%-8.21%4.49%-8.36%
2016121.47%-0.12%0.81%2.03%$613,535$535,204$522,275$472,0121.91%11.76%3.56%-0.46%1.98%-1.91%
201711.46%2.70%1.33%1.79%$622,471$549,634$529,248$480,458-1.18%-5.29%-0.32%0.81%1.86%5.42%
201722.73%2.83%2.65%3.93%$639,477$565,191$543,251$499,3360.21%3.32%3.76%1.59%3.69%3.18%
20173-0.78%-0.34%-0.29%0.13%$634,495$563,274$541,660$499,964-4.41%1.58%-3.58%-0.65%0.06%-0.43%
201741.44%1.45%1.31%0.99%$643,610$571,467$548,768$504,927-1.96%8.14%-2.19%1.57%1.06%1.73%
20175-0.23%0.90%1.44%1.41%$642,115$576,633$556,688$512,053-6.23%2.85%-9.12%1.89%1.01%-0.12%
201761.31%-0.16%0.87%0.64%$650,555$575,714$561,536$515,3173.79%11.83%1.90%0.79%0.95%-2.16%
201771.25%1.19%0.63%2.06%$658,679$582,566$565,060$525,9084.94%-2.59%3.44%-0.66%1.88%2.31%
201781.76%2.57%1.74%0.29%$670,263$597,521$574,875$527,443-4.30%-2.28%4.63%3.41%0.15%4.20%
20179-0.91%-1.10%0.08%2.01%$664,134$590,944$575,346$538,067-1.35%0.60%-0.41%-2.32%2.44%-3.37%
201710-0.29%0.48%1.10%2.36%$662,198$593,797$581,688$550,746-2.97%-3.02%-2.41%-0.04%2.17%-0.75%
2017112.10%1.41%1.94%3.06%$676,121$602,195$592,955$567,5809.70%2.25%2.22%0.74%3.03%0.36%
2017121.85%1.68%1.47%1.21%$688,599$612,284$601,649$574,4401.21%1.20%5.02%1.81%1.16%2.11%
20181-0.97%1.74%0.99%5.64%$681,897$622,921$607,593$606,814-9.04%-11.40%-6.87%-3.26%5.23%3.23%
20182-4.45%-2.96%-3.41%-3.64%$651,539$604,473$586,848$584,750-5.68%-16.81%-6.15%-3.04%-3.76%-2.08%
201831.62%0.45%0.36%-2.74%$662,085$607,210$588,963$568,7202.77%9.82%5.42%2.86%-1.95%0.63%
20184-0.85%-0.85%-0.80%0.52%$656,458$602,028$584,244$571,659-0.22%-0.28%-1.91%-2.09%0.45%-0.95%
201852.06%1.15%2.37%2.43%$669,998$608,976$598,108$585,5552.62%3.74%8.91%2.01%2.72%-1.20%
201860.78%-0.76%0.68%0.58%$675,249$604,374$602,150$588,9267.30%3.95%6.11%0.65%0.70%-3.61%
201870.52%-0.04%1.01%3.70%$678,753$604,130$608,258$610,744-0.83%5.20%2.63%-1.44%3.32%-2.24%
201882.40%0.98%2.43%3.19%$695,024$610,069$623,044$630,2394.07%13.28%3.32%1.31%3.43%-2.14%
20189-1.37%-1.06%-1.23%0.59%$685,529$603,614$615,352$633,988-2.40%-1.55%-2.76%-2.86%0.20%-0.66%
201810-3.12%-3.05%-5.35%-6.91%$664,172$585,222$582,434$590,177-1.91%-13.86%5.40%-2.93%-7.41%2.12%
2018112.99%1.40%1.91%1.85%$684,054$593,401$593,539$601,1256.48%9.53%7.08%1.79%2.01%0.34%
201812-1.98%0.17%-2.09%-8.79%$670,521$594,405$581,137$548,263-9.86%-11.68%-3.10%5.85%-9.16%4.94%
201915.92%3.94%4.46%8.01%$710,210$617,799$607,052$592,16012.31%13.61%9.70%0.38%8.54%2.89%
201921.01%0.60%1.19%3.24%$717,417$621,477$614,266$611,3550.77%6.81%-1.16%-1.38%3.56%-0.61%
201932.41%1.75%3.36%1.81%$734,707$632,330$634,927$622,4083.98%2.61%6.31%5.57%1.42%-1.60%
201940.44%0.54%1.10%4.09%$737,940$635,758$641,891$647,835-2.90%7.01%-4.09%-1.99%3.93%-0.66%
201950.32%0.35%-0.29%-6.38%$740,273$637,973$640,043$606,521-2.33%1.17%1.73%6.84%-6.45%1.76%
201964.16%5.29%4.03%6.96%$771,056$671,703$665,853$648,732-0.76%4.42%-0.97%0.95%7.08%8.00%
201971.46%0.58%0.86%1.51%$782,307$675,603$671,548$658,5402.52%8.51%-0.49%0.26%1.41%0.01%
201984.90%5.40%4.21%-1.67%$820,672$712,095$699,813$647,514-2.12%4.92%7.48%11.04%-2.08%7.91%
201990.21%-1.45%-0.50%1.95%$822,373$701,748$696,330$660,1286.19%7.06%0.45%-2.68%1.78%-3.39%
2019103.13%1.17%0.50%2.21%$848,142$709,929$699,796$674,720-0.10%15.98%5.37%-1.11%2.11%2.56%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 3SPDR S&P 500 ETF
Large-cap Value0.00%18.64%46.27%
Large-cap Growth0.54%22.32%52.82%
Mid-cap Value7.98%2.16%0.00%
Mid-cap Growth0.00%3.69%0.55%
Small-cap Value0.00%1.45%0.00%
Small-cap Growth4.03%1.50%0.00%
Global ex-US Developed Markets0.00%0.09%0.00%
Emerging Markets12.03%0.27%0.04%
REITs17.87%0.00%0.00%
Corporate Bonds0.00%0.47%0.33%
Long-Term Treasuries24.65%49.42%0.00%
Intermediate-Term Treasuries32.90%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared79.87%99.91%99.90%
Style analysis is based on monthly returns from Apr 2005 to Oct 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 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
FRTFederal Realty Investment TrustConsumer Services / Real Estate Investment Trusts8.33%$51,32913.39%
UHTUniversal Health Realty Income TrustConsumer Services / Real Estate Investment Trusts8.33%$113,34411.82%
NNNNational Retail PropertiesConsumer Services / Real Estate Investment Trusts8.34%$79,61714.65%
TLTiShares 20+ Year Treasury Bond ETFLong Government18.350.15%25.00%$120,64413.69%
VTIVanguard Total Stock Market ETFLarge Blend0.03%25.00%$177,53719.75%
GLDSPDR Gold SharesCommodities Precious Metals0.40%25.00%$105,67126.70%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
TLTiShares 20+ Year Treasury Bond ETFLong Government18.350.15%33.33%$152,22624.09%
VTIVanguard Total Stock Market ETFLarge Blend0.03%33.34%$222,45521.69%
GLDSPDR Gold SharesCommodities Precious Metals0.40%33.33%$135,24854.22%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
TLTiShares 20+ Year Treasury Bond ETFLong Government18.350.15%50.00%$204,21246.56%
VTIVanguard Total Stock Market ETFLarge Blend0.03%50.00%$295,58453.44%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/05/2019. © 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 3SPDR S&P 500 ETF
Arithmetic Mean (monthly)0.85%0.75%0.73%0.77%
Arithmetic Mean (annualized)10.75%9.33%9.17%9.59%
Geometric Mean (monthly)0.81%0.71%0.71%0.69%
Geometric Mean (annualized)10.23%8.92%8.81%8.54%
Volatility (monthly)2.81%2.54%2.34%4.00%
Volatility (annualized)9.74%8.79%8.11%13.84%
Downside Deviation (monthly)1.71%1.42%1.48%2.73%
Max. Drawdown-14.75%-17.06%-17.89%-50.80%
US Market Correlation0.540.390.591.00
Beta(*)0.370.250.351.00
Alpha (annualized)6.86%6.67%5.58%-0.00%
R227.52%15.32%35.79%100.00%
Sharpe Ratio0.920.870.920.57
Sortino Ratio1.481.521.430.83
Treynor Ratio (%)24.3530.9321.497.93
Calmar Ratio1.941.361.461.09
Active Return1.69%0.37%0.27%N/A
Tracking Error12.04%13.17%11.09%N/A
Information Ratio0.140.030.02N/A
Skewness-0.78-0.21-0.88-0.77
Excess Kurtosis3.942.764.641.99
Historical Value-at-Risk (5%)-3.80%-3.17%-2.86%-6.95%
Analytical Value-at-Risk (5%)-3.75%-3.37%-3.09%-5.81%
Conditional Value-at-Risk (5%)-5.93%-4.85%-5.56%-9.62%
Upside Capture Ratio (%)51.8338.0647.64100.00
Downside Capture Ratio (%)19.085.5921.81100.00
Safe Withdrawal Rate12.19%11.75%10.35%8.79%
Perpetual Withdrawal Rate7.85%6.67%6.58%6.34%
Positive Periods113 out of 178 (63.48%)107 out of 178 (60.11%)119 out of 178 (66.85%)119 out of 178 (66.85%)
Gain/Loss Ratio1.281.471.150.81
* SPDR S&P 500 ETF 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 3SPDR S&P 500 ETF
Subprime CrisisNov 2007Mar 2009-14.75%-17.06%-17.89%-50.80%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2008Oct 20089 monthsAug 200910 months1 year 7 months-14.75%
2Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-9.65%
3May 2013Jun 20132 monthsMay 201411 months1 year 1 month-9.53%
4Feb 2015Aug 20157 monthsMar 20167 months1 year 2 months-9.13%
5Jan 2018Feb 20182 monthsAug 20186 months8 months-5.38%
6Sep 2018Oct 20182 monthsJan 20193 months5 months-4.44%
7May 2007Jul 20073 monthsSep 20072 months5 months-4.17%
8Sep 2014Sep 20141 monthOct 20141 month2 months-3.89%
9Sep 2011Sep 20111 monthOct 20111 month2 months-2.86%
10Jan 2005Mar 20053 monthsApr 20051 month4 months-2.82%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-17.06%
2Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-9.03%
3Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-8.96%
4Feb 2015Dec 201511 monthsApr 20164 months1 year 3 months-8.82%
5Feb 2018Oct 20189 monthsMar 20195 months1 year 2 months-6.05%
6Dec 2009Jan 20102 monthsApr 20103 months5 months-4.00%
7Sep 2014Sep 20141 monthDec 20143 months4 months-3.40%
8May 2006Jun 20062 monthsOct 20064 months6 months-3.03%
9Jan 2011Jan 20111 monthFeb 20111 month2 months-2.47%
10Jun 2011Jun 20111 monthJul 20111 month2 months-2.18%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsSep 20097 months1 year 10 months-17.89%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-6.73%
3Aug 2016Nov 20164 monthsMay 20176 months10 months-6.32%
4Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-6.20%
5May 2013Aug 20134 monthsOct 20132 months6 months-4.33%
6Feb 2018Apr 20183 monthsJul 20183 months6 months-3.84%
7Mar 2006May 20063 monthsAug 20063 months6 months-3.77%
8Sep 2005Oct 20052 monthsDec 20052 months4 months-3.75%
9Oct 2009Oct 20091 monthNov 20091 month2 months-2.63%
10Sep 2014Sep 20141 monthOct 20141 month2 months-2.10%
Worst 10 drawdowns included above

Drawdowns for SPDR S&P 500 ETF

Drawdowns for SPDR S&P 500 ETF (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 2014Jan 20141 monthFeb 20141 month2 months-3.52%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.21%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FRTFederal Realty Investment Trust10.21%21.79%44.88%-21.74%-53.11%0.500.740.57
UHTUniversal Health Realty Income Trust15.65%23.33%98.99%-16.39%-29.54%0.691.120.41
NNNNational Retail Properties13.45%22.52%36.02%-20.97%-43.14%0.620.950.44
TLTiShares 20+ Year Treasury Bond ETF6.76%13.17%33.96%-21.80%-21.80%0.470.81-0.32
VTIVanguard Total Stock Market ETF8.77%14.34%33.45%-36.98%-50.84%0.570.821.00
GLDSPDR Gold Shares8.27%17.49%30.45%-28.33%-42.91%0.470.760.04

Monthly Correlations

Correlations for the portfolio assets
TickerNameFRTUHTNNNTLTVTIGLDPortfolio 1Portfolio 2Portfolio 3SPDR S&P 500 ETF
FRTFederal Realty Investment Trust-0.570.750.130.570.070.720.410.590.55
UHTUniversal Health Realty Income Trust0.57-0.550.040.420.040.590.260.390.39
NNNNational Retail Properties0.750.55-0.280.430.170.760.470.590.41
TLTiShares 20+ Year Treasury Bond ETF0.130.040.28--0.330.200.400.470.56-0.31
VTIVanguard Total Stock Market ETF0.570.420.43-0.33-0.040.540.390.591.00
GLDSPDR Gold Shares0.070.040.170.200.04-0.590.800.200.03

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
FRTFederal Realty Investment Trust$51,329
UHTUniversal Health Realty Income Trust$113,344
NNNNational Retail Properties$79,617
TLTiShares 20+ Year Treasury Bond ETF$120,644$152,226$204,212
VTIVanguard Total Stock Market ETF$177,537$222,455$295,584
GLDSPDR Gold Shares$105,671$135,248

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
FRTFederal Realty Investment Trust13.39%
UHTUniversal Health Realty Income Trust11.82%
NNNNational Retail Properties14.65%
TLTiShares 20+ Year Treasury Bond ETF13.69%24.09%46.56%
VTIVanguard Total Stock Market ETF19.75%21.69%53.44%
GLDSPDR Gold Shares26.70%54.22%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3SPDR S&P 500 ETF
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year9.32%20.16%-3.25%8.34%18.58%-4.03%8.13%19.92%-3.41%8.89%32.31%-36.81%
3 years9.34%15.85%4.16%8.35%14.55%1.65%8.46%13.37%3.21%8.09%20.31%-8.36%
5 years9.50%12.09%6.85%8.34%11.77%4.13%8.92%13.97%5.04%8.83%17.85%-0.32%
7 years9.74%12.14%6.30%8.53%11.82%4.49%9.32%11.01%7.88%9.20%14.70%2.58%
10 years9.49%10.90%8.91%8.31%10.02%7.41%8.89%9.41%8.43%8.63%13.01%6.87%
Result statistics are based on annualized rolling returns over full calendar year periods