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 
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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 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VPU Vanguard Utilities ETF 22.50%
^GOLD Gold Price Index 15.00%
SPY SPDR S&P 500 ETF Trust 90.00%
TLT iShares 20+ Year Treasury Bond ETF 120.00%
SHY iShares 1-3 Year Treasury Bond ETF 45.00%
CASHX Cash -192.50%
Save portfolio »
Portfolio 2
Ticker Name Allocation
^GOLD Gold Price Index 30.00%
SPY SPDR S&P 500 ETF Trust 90.00%
TLT iShares 20+ Year Treasury Bond ETF 120.00%
SHY iShares 1-3 Year Treasury Bond ETF 45.00%
CASHX Cash -185.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$189,264 20.65% 20.17%51.09%-8.14%-35.59% 0.971.640.42
Portfolio 2$10,000$180,829 20.30% 19.30%47.94%-9.11%-31.03% 0.991.720.37
Vanguard 500 Index Investor$10,000$39,221 9.11% 14.60%32.18%-37.02%-50.97% 0.580.851.00
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 111.81%36.81%37.86%26.08%25.34%24.29%20.65%
Portfolio 213.34%43.03%42.92%26.84%24.49%22.60%20.30%
Vanguard 500 Index Investor15.45%9.65%21.77%14.37%14.31%15.00%9.11%
Trailing returns are for full months ending in August 2020 excluding portfolio cashflows.
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.
  • The annual results for 2020 are based on monthly returns from January to August
  • 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 results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Utilities ETF (VPU)Gold Price Index (^GOLD)SPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)iShares 1-3 Year Treasury Bond ETF (SHY)Cash (CASHX)
Portfolio 1Portfolio 2Vanguard 500 Index InvestorPortfolio 1Portfolio 2Vanguard 500 Index Investor
20053.42%15.17%14.77%4.77%$11,517$11,477$10,47714.54%17.77%4.83%8.61%1.53%3.14%
20062.54%15.66%14.69%15.64%$13,320$13,163$12,11621.66%23.20%15.85%0.71%3.89%4.82%
20074.08%19.82%21.07%5.39%$15,960$15,937$12,76917.00%31.92%5.14%10.29%7.35%4.56%
20080.09%1.88%8.89%-37.02%$16,259$17,354$8,042-27.94%4.32%-36.81%33.93%6.62%1.53%
20092.72%3.70%4.92%26.49%$16,861$18,209$10,17211.30%25.04%26.36%-21.80%0.35%0.16%
20101.50%31.13%33.94%14.91%$22,109$24,388$11,6897.04%29.24%15.06%9.05%2.28%0.14%
20112.96%48.56%45.64%1.97%$32,844$35,519$11,91818.96%8.93%1.89%33.96%1.44%0.07%
20121.74%19.17%20.00%15.82%$39,140$42,623$13,8051.83%8.26%15.99%2.63%0.28%0.08%
20131.50%12.28%4.83%32.18%$43,944$44,683$18,24614.88%-27.33%32.31%-13.37%0.21%0.05%
20140.76%51.09%45.04%13.51%$66,397$64,810$20,71126.99%0.12%13.46%27.30%0.45%0.03%
20150.73%-3.82%-4.55%1.25%$63,858$61,861$20,970-4.82%-12.11%1.25%-1.79%0.43%0.05%
20162.07%17.20%14.48%11.82%$74,844$70,820$23,44817.60%8.10%12.00%1.18%0.82%0.30%
20172.11%33.61%32.78%21.67%$100,001$94,032$28,52812.46%12.66%21.70%9.18%0.26%0.88%
20181.91%-8.14%-9.11%-4.52%$91,864$85,462$27,2374.37%-0.93%-4.56%-1.61%1.46%1.90%
20192.29%50.59%47.94%31.33%$138,342$126,429$35,77024.87%18.43%31.22%14.12%3.38%2.13%
20200.83%36.81%43.03%9.65%$189,264$180,829$39,221-8.07%29.22%9.68%20.85%3.02%0.41%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Utilities ETF (VPU)Gold Price Index (^GOLD)SPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)iShares 1-3 Year Treasury Bond ETF (SHY)Cash (CASHX)
Portfolio 1Portfolio 2Vanguard 500 Index InvestorPortfolio 1Portfolio 2Vanguard 500 Index Investor
200511.67%0.98%-2.45%$10,167$10,098$9,7551.06%-3.09%-2.24%3.57%-0.04%0.18%
200520.44%0.42%2.09%$10,212$10,141$9,9592.18%3.15%2.09%-1.47%-0.26%0.21%
20053-2.60%-3.11%-1.76%$9,946$9,826$9,7841.04%-1.83%-1.83%-0.45%0.02%0.23%
200543.65%3.48%-1.91%$10,310$10,167$9,5962.19%1.92%-1.87%3.86%0.52%0.23%
200555.91%4.92%3.17%$10,918$10,668$9,9001.56%-4.88%3.22%3.14%0.40%0.24%
200564.26%3.88%0.13%$11,384$11,082$9,9135.39%5.47%0.15%2.16%0.25%0.25%
20057-1.26%-2.05%3.71%$11,240$10,855$10,2802.28%-1.85%3.83%-3.38%-0.37%0.26%
200583.23%3.36%-0.91%$11,604$11,219$10,1870.61%0.99%-0.94%3.48%0.66%0.28%
20059-2.04%-1.76%0.79%$11,367$11,022$10,2673.79%9.23%0.80%-3.61%-0.30%0.29%
200510-6.60%-5.21%-1.68%$10,616$10,447$10,095-6.74%-0.53%-2.37%-2.24%-0.08%0.29%
2005114.86%5.77%3.76%$11,132$11,050$10,475-0.02%5.29%4.40%0.69%0.39%0.33%
2005123.46%3.86%0.02%$11,517$11,477$10,4770.77%3.50%-0.19%2.98%0.35%0.32%
200612.26%3.27%2.65%$11,777$11,853$10,7552.84%10.87%2.40%-1.34%0.17%0.33%
200620.95%0.42%0.26%$11,888$11,902$10,7830.84%-2.24%0.57%1.11%0.03%0.37%
20063-4.54%-2.92%1.23%$11,348$11,554$10,916-3.77%4.68%1.65%-4.57%0.17%0.38%
20064-0.37%1.05%1.33%$11,306$11,675$11,0611.81%10.65%1.26%-2.75%0.22%0.38%
20065-3.28%-3.13%-2.90%$10,934$11,311$10,7411.08%1.40%-3.01%-0.19%0.17%0.39%
200660.36%-1.40%0.13%$10,974$11,152$10,7542.68%-6.05%0.26%1.18%0.24%0.40%
200674.21%3.54%0.61%$11,435$11,546$10,8204.91%3.10%0.45%2.16%0.66%0.41%
200685.38%4.46%2.36%$12,051$12,062$11,0752.57%-1.42%2.18%3.06%0.75%0.42%
200692.80%2.65%2.56%$12,388$12,381$11,359-2.05%-3.89%2.70%1.91%0.44%0.41%
2006104.54%3.44%3.25%$12,950$12,807$11,7285.43%0.75%3.15%0.85%0.42%0.40%
2006115.42%5.90%1.89%$13,652$13,563$11,9502.97%7.11%1.99%2.31%0.48%0.42%
200612-2.43%-2.95%1.39%$13,320$13,163$12,1160.83%-2.27%1.34%-2.69%0.07%0.41%
20071-0.14%0.35%1.49%$13,302$13,209$12,297-0.08%2.93%1.50%-1.00%0.16%0.41%
200723.12%2.42%-1.97%$13,716$13,529$12,0554.64%2.11%-1.96%3.39%0.73%0.42%
20073-0.67%-1.69%1.11%$13,625$13,300$12,1894.36%-0.37%1.16%-1.70%0.45%0.42%
200745.60%5.11%4.42%$14,387$13,979$12,7283.92%2.30%4.43%0.90%0.31%0.41%
20075-0.53%-1.16%3.48%$14,310$13,818$13,1701.04%-2.64%3.39%-2.31%-0.07%0.40%
20076-4.32%-3.34%-1.68%$13,693$13,356$12,949-5.13%-1.30%-1.46%-1.01%0.48%0.39%
20077-0.12%1.24%-3.08%$13,676$13,522$12,550-4.16%2.31%-3.13%3.32%0.90%0.39%
200783.73%3.26%1.50%$14,186$13,962$12,7382.88%0.98%1.28%1.79%1.05%0.40%
200795.43%6.42%3.72%$14,956$14,858$13,2122.76%10.57%3.87%0.23%0.55%0.33%
2007105.13%4.70%1.58%$15,724$15,557$13,4216.46%6.26%1.36%1.81%0.48%0.31%
2007112.39%2.36%-4.19%$16,100$15,923$12,859-0.31%-0.76%-3.87%5.35%1.79%0.32%
200712-0.87%0.09%-0.70%$15,960$15,937$12,7690.09%6.41%-1.13%-0.64%0.30%0.26%
20081-2.67%0.53%-6.02%$15,534$16,021$12,001-6.97%10.73%-6.05%2.10%1.65%0.28%
20082-2.56%-0.83%-3.25%$15,137$15,889$11,611-3.72%5.23%-2.58%-0.46%1.03%0.16%
200831.18%0.33%-0.44%$15,315$15,942$11,5590.56%-3.91%-0.90%2.14%0.25%0.15%
200840.16%-2.04%4.85%$15,339$15,617$12,1215.34%-6.70%4.77%-2.48%-0.84%0.11%
20085-1.32%-1.85%1.29%$15,137$15,328$12,2773.85%1.69%1.51%-2.69%-0.35%0.12%
20086-4.00%-2.78%-8.44%$14,531$14,902$11,241-1.43%5.02%-8.35%2.65%0.24%0.15%
20087-3.12%-1.80%-0.83%$14,077$14,634$11,148-6.30%-1.32%-0.90%-0.37%0.43%0.16%
200883.19%1.54%1.45%$14,527$14,860$11,309-0.53%-9.26%1.55%2.74%0.47%0.14%
20089-7.67%-4.02%-8.91%$13,412$14,263$10,302-11.43%6.18%-9.44%1.47%0.78%0.14%
200810-22.10%-21.57%-16.79%$10,449$11,186$8,572-11.21%-17.38%-16.52%-1.86%1.10%0.08%
20081124.07%23.97%-7.17%$12,964$13,868$7,9572.74%11.46%-6.96%14.34%1.10%0.04%
20081225.42%25.14%1.07%$16,259$17,354$8,042-1.47%6.78%0.98%13.64%0.56%0.00%
20091-22.71%-21.57%-8.41%$12,566$13,610$7,365-1.24%5.72%-8.21%-13.07%-0.44%0.01%
20092-16.67%-12.06%-10.66%$10,472$11,969$6,580-12.87%3.53%-10.74%-1.54%-0.15%0.02%
2009316.05%13.43%8.76%$12,153$13,576$7,1572.38%-3.73%8.35%4.04%0.50%0.02%
200940.19%-0.96%9.56%$12,175$13,446$7,8411.60%-3.63%9.93%-6.95%-0.17%0.02%
200955.08%5.99%5.62%$12,794$14,253$8,2813.72%10.44%5.85%-3.69%0.06%0.01%
200961.31%-0.99%0.22%$12,961$14,112$8,3005.43%-4.20%-0.07%0.76%-0.09%0.01%
2009710.67%9.42%7.58%$14,344$15,441$8,9294.23%0.48%7.46%0.58%0.11%0.02%
200987.26%7.39%3.60%$15,386$16,582$9,2500.49%1.76%3.69%2.24%0.41%0.02%
200997.68%7.93%3.72%$16,567$17,897$9,5941.66%4.21%3.55%2.46%0.24%0.01%
200910-4.60%-3.06%-1.87%$15,805$17,349$9,414-3.28%4.44%-1.92%-2.62%0.14%0.01%
20091111.64%12.61%5.98%$17,645$19,538$9,9784.61%13.05%6.16%1.21%0.60%0.00%
200912-4.44%-6.80%1.95%$16,861$18,209$10,1725.54%-7.51%1.91%-6.34%-0.84%0.01%
20101-0.83%0.06%-3.60%$16,721$18,220$9,805-4.50%-0.83%-3.63%2.69%0.80%0.01%
201022.57%3.17%3.09%$17,151$18,797$10,108-0.96%2.76%3.12%-0.34%0.16%0.01%
201033.45%2.88%6.01%$17,744$19,339$10,7163.00%0.65%6.09%-2.06%-0.27%0.01%
201046.75%6.90%1.58%$18,942$20,674$10,8852.99%5.71%1.55%3.32%0.30%0.01%
20105-1.83%-0.30%-8.01%$18,595$20,611$10,014-5.86%2.40%-7.95%5.11%0.45%0.01%
201063.15%3.67%-5.24%$19,181$21,368$9,489-0.81%3.02%-5.17%5.80%0.42%0.01%
201074.40%2.07%7.00%$20,025$21,810$10,1537.33%-6.03%6.83%-0.95%0.19%0.02%
201087.43%8.06%-4.53%$21,513$23,568$9,6931.03%6.59%-4.50%8.40%0.24%0.01%
201094.36%4.38%8.92%$22,452$24,600$10,5583.26%4.90%8.96%-2.51%0.12%0.01%
201010-1.46%-1.27%3.79%$22,123$24,287$10,9581.34%3.04%3.82%-4.47%0.22%0.01%
201011-1.92%-1.07%0.00%$21,700$24,027$10,958-2.41%2.73%0.00%-1.69%-0.20%0.01%
2010121.88%1.50%6.67%$22,109$24,388$11,6893.19%1.59%6.68%-3.68%-0.16%0.01%
20111-2.07%-3.24%2.36%$21,650$23,599$11,9641.45%-5.59%2.33%-3.08%0.13%0.01%
201126.44%7.06%3.42%$23,045$25,266$12,3731.63%6.33%3.47%1.65%-0.12%0.01%
201130.42%0.54%0.03%$23,143$25,403$12,3760.78%1.98%0.01%0.03%-0.13%0.01%
201147.34%7.50%2.95%$24,842$27,307$12,7413.88%6.71%2.90%2.34%0.53%0.01%
201153.19%2.88%-1.15%$25,634$28,092$12,5951.55%0.07%-1.12%3.42%0.36%0.00%
20116-4.28%-4.53%-1.67%$24,538$26,819$12,384-0.28%-2.02%-1.69%-2.33%-0.00%0.01%
201174.19%5.67%-2.05%$25,567$28,340$12,131-1.11%8.17%-2.00%4.42%0.29%0.00%
201188.43%9.71%-5.45%$27,722$31,093$11,4701.80%11.36%-5.50%9.66%0.34%0.01%
201198.07%6.40%-7.04%$29,959$33,083$10,662-0.43%-10.67%-6.94%13.20%-0.10%0.00%
2011103.67%3.74%10.91%$31,057$34,321$11,8263.97%6.30%10.91%-3.84%0.03%0.00%
2011112.27%2.26%-0.23%$31,764$35,096$11,7981.06%1.39%-0.41%1.98%0.04%0.00%
2011123.40%1.20%1.02%$32,844$35,519$11,9183.33%-12.31%1.04%3.44%0.05%0.00%
201215.09%7.99%4.46%$34,515$38,355$12,451-3.60%13.91%4.64%-0.33%0.08%0.00%
201221.24%1.32%4.31%$34,944$38,860$12,9870.63%1.49%4.34%-2.59%-0.14%0.01%
20123-2.44%-3.59%3.28%$34,092$37,466$13,4131.29%-6.07%3.22%-4.23%-0.08%0.01%
201244.88%4.34%-0.64%$35,758$39,090$13,3271.75%-0.68%-0.67%4.83%0.20%0.01%
201253.34%2.44%-6.02%$36,954$40,046$12,5250.17%-5.65%-6.01%9.03%0.06%0.01%
201262.58%2.16%4.11%$37,908$40,909$13,0403.87%2.60%4.05%-1.68%-0.10%0.01%
201275.98%5.64%1.37%$40,176$43,215$13,2192.75%1.47%1.18%3.82%0.22%0.01%
201280.11%1.06%2.24%$40,222$43,673$13,515-3.69%1.63%2.51%-1.32%0.01%0.01%
201290.73%1.49%2.58%$40,517$44,322$13,8631.38%7.73%2.54%-2.53%0.02%0.01%
201210-2.28%-2.95%-1.86%$39,594$43,017$13,6051.31%-3.21%-1.82%-0.48%-0.07%0.01%
2012111.22%2.02%0.56%$40,077$43,886$13,681-3.81%0.41%0.57%1.38%0.05%0.01%
201212-2.34%-2.88%0.90%$39,140$42,623$13,8050.13%-3.97%0.90%-2.49%0.02%0.01%
201312.02%0.91%5.18%$39,929$43,013$14,5195.19%0.44%5.12%-3.19%0.01%0.00%
201322.47%1.27%1.34%$40,916$43,561$14,7142.31%-4.58%1.28%1.24%0.06%0.01%
201334.36%3.25%3.74%$42,700$44,975$15,2645.49%0.61%3.80%-0.42%0.03%0.01%
201347.04%4.81%1.91%$45,708$47,139$15,5555.64%-8.09%1.92%4.68%0.07%0.01%
20135-7.58%-6.61%2.33%$42,244$44,021$15,917-8.20%-5.07%2.36%-6.76%-0.13%0.00%
20136-6.27%-8.56%-1.35%$39,596$40,253$15,7020.98%-14.52%-1.34%-3.27%-0.10%0.00%
201375.02%5.37%5.07%$41,582$42,416$16,4984.43%10.28%5.17%-2.26%0.16%0.00%
20138-5.07%-3.29%-2.91%$39,474$41,023$16,018-5.32%6.10%-3.00%-1.34%-0.10%0.00%
201393.80%2.98%3.12%$40,975$42,245$16,5181.41%-4.89%3.17%0.66%0.22%0.00%
2013107.19%6.56%4.59%$43,922$45,018$17,2763.99%-0.19%4.63%1.43%0.07%0.00%
201311-0.66%-0.80%3.03%$43,631$44,657$17,799-2.06%-5.36%2.96%-2.70%0.09%0.00%
2013120.72%0.06%2.51%$43,944$44,683$18,2461.18%-3.87%2.59%-1.87%-0.18%0.01%
201415.67%5.63%-3.47%$46,435$47,198$17,6132.75%3.86%-3.52%6.30%0.20%0.01%
201426.00%6.16%4.56%$49,220$50,108$18,4173.32%6.04%4.55%0.52%0.04%0.00%
201431.76%0.69%0.82%$50,087$50,451$18,5683.23%-2.62%0.83%0.73%-0.11%0.00%
201443.75%2.93%0.72%$51,963$51,928$18,7033.75%-0.25%0.70%2.10%0.11%0.00%
201454.60%4.44%2.33%$54,353$54,231$19,139-0.73%-2.95%2.32%2.95%0.18%0.00%
201462.85%2.61%2.05%$55,902$55,648$19,5324.55%5.16%2.06%-0.25%-0.08%0.00%
20147-2.08%-0.94%-1.39%$54,738$55,124$19,261-6.95%-2.26%-1.34%0.67%-0.08%0.00%
201489.26%8.33%3.98%$59,809$59,715$20,0285.15%0.04%3.95%4.72%0.19%0.00%
20149-4.38%-4.59%-1.41%$57,191$56,975$19,745-2.65%-5.39%-1.38%-2.11%-0.07%0.00%
2014106.00%3.95%2.42%$60,620$59,226$20,2238.37%-4.30%2.36%2.81%0.26%0.00%
2014115.43%5.66%2.68%$63,914$62,580$20,7660.81%1.59%2.75%2.97%0.11%0.00%
2014123.88%3.56%-0.26%$66,397$64,810$20,7113.43%1.97%-0.26%3.25%-0.29%0.00%
2015110.55%10.74%-3.02%$73,404$71,769$20,0862.18%4.50%-2.96%9.82%0.63%0.00%
20152-4.75%-4.03%5.74%$69,915$68,875$21,239-5.94%-3.67%5.62%-6.14%-0.29%0.00%
20153-0.45%-0.62%-1.59%$69,601$68,448$20,900-0.69%-2.22%-1.57%1.10%0.25%0.00%
20154-3.44%-3.36%0.95%$67,208$66,147$21,099-0.64%-0.57%0.98%-3.43%0.03%0.00%
20155-1.43%-1.36%1.27%$66,247$65,247$21,3670.37%0.94%1.29%-2.37%0.04%0.00%
20156-8.24%-7.13%-1.93%$60,786$60,596$20,954-6.07%-1.71%-2.03%-4.07%0.03%0.00%
201578.10%5.79%2.08%$65,710$64,104$21,3905.47%-6.20%2.26%4.55%0.04%0.00%
20158-6.90%-5.67%-6.04%$61,175$60,466$20,098-3.60%3.33%-6.10%-0.69%-0.05%0.01%
201590.54%-0.34%-2.49%$61,507$60,262$19,5972.71%-1.85%-2.54%1.97%0.30%0.01%
2015108.04%7.95%8.42%$66,450$65,051$21,2481.95%2.54%8.51%-0.41%-0.14%0.00%
201511-2.28%-2.82%0.29%$64,935$63,220$21,309-2.13%-7.04%0.37%-0.87%-0.26%0.01%
201512-1.66%-2.15%-1.59%$63,858$61,861$20,9702.16%-0.18%-1.72%-0.30%-0.15%0.02%
201614.26%3.94%-4.98%$66,581$64,299$19,9264.69%4.89%-4.98%5.57%0.65%0.01%
201625.75%7.05%-0.15%$70,412$68,830$19,8971.78%11.07%-0.08%3.09%0.11%0.03%
201636.91%5.12%6.78%$75,281$72,355$21,2458.17%0.17%6.72%-0.09%0.14%0.03%
20164-0.37%0.65%0.37%$75,001$72,824$21,325-1.95%3.93%0.39%-0.74%0.04%0.02%
201651.61%0.37%1.78%$76,207$73,092$21,7051.63%-5.72%1.70%0.81%-0.12%0.02%
2016610.98%10.72%0.25%$84,577$80,927$21,7597.67%8.96%0.35%6.93%0.60%0.03%
201674.77%5.25%3.68%$88,615$85,180$22,559-0.89%1.61%3.65%2.10%-0.05%0.02%
20168-2.47%-1.74%0.13%$86,423$83,696$22,588-5.43%-2.44%0.12%-1.01%-0.23%0.02%
20169-1.32%-1.28%0.01%$85,278$82,622$22,5900.51%1.01%0.01%-1.51%0.13%0.03%
201610-6.22%-6.93%-1.83%$79,975$76,899$22,1760.90%-3.82%-1.73%-4.38%-0.05%0.02%
201611-8.14%-8.30%3.70%$73,468$70,517$22,996-4.54%-7.38%3.68%-8.21%-0.47%0.03%
2016121.87%0.43%1.96%$74,844$70,820$23,4484.81%-2.73%2.03%-0.46%0.07%0.04%
201713.69%4.31%1.88%$77,608$73,872$23,8891.17%5.84%1.79%0.81%0.11%0.04%
201726.88%6.30%3.96%$82,949$78,528$24,8364.95%3.53%3.93%1.59%0.04%0.04%
20173-0.80%-0.92%0.10%$82,282$77,809$24,861-0.06%-0.86%0.13%-0.65%0.06%0.04%
201742.97%3.09%1.02%$84,727$80,213$25,1140.67%1.74%0.99%1.57%0.19%0.06%
201754.03%3.18%1.39%$88,141$82,765$25,4644.00%-0.02%1.41%1.89%0.07%0.07%
201760.45%0.69%0.61%$88,536$83,339$25,619-2.37%-1.89%0.64%0.79%-0.08%0.08%
201771.76%1.50%2.04%$90,091$84,591$26,1432.65%2.04%2.06%-0.66%0.19%0.08%
201784.83%4.75%0.29%$94,443$88,610$26,2192.90%3.49%0.29%3.41%0.20%0.09%
20179-1.79%-1.59%2.06%$92,757$87,198$26,759-2.44%-2.18%2.01%-2.32%-0.19%0.08%
2017102.39%1.48%2.32%$94,975$88,488$27,3803.91%-1.01%2.36%-0.04%-0.09%0.09%
2017113.74%3.31%3.06%$98,526$91,413$28,2172.89%0.79%3.06%0.74%-0.22%0.09%
2017121.50%2.86%1.10%$100,001$94,032$28,528-5.90%0.84%1.21%1.81%-0.02%0.10%
201810.74%2.08%5.71%$100,741$95,989$30,158-3.13%4.19%5.64%-3.26%-0.29%0.11%
20182-8.40%-7.72%-3.69%$92,275$88,581$29,044-4.11%-2.02%-3.64%-3.04%-0.10%0.12%
201831.58%0.75%-2.56%$93,736$89,241$28,3014.02%0.46%-2.74%2.86%0.25%0.14%
20184-2.05%-2.71%0.37%$91,817$86,827$28,4072.47%-0.80%0.52%-2.09%-0.23%0.14%
201854.50%4.47%2.39%$95,952$90,707$29,087-0.31%-0.60%2.43%2.01%0.35%0.15%
201860.92%-0.28%0.61%$96,839$90,451$29,2632.42%-4.21%0.58%0.65%0.04%0.16%
201871.49%0.76%3.71%$98,282$91,143$30,3491.67%-2.36%3.70%-1.44%-0.06%0.16%
201884.50%4.08%3.25%$102,700$94,859$31,3341.15%-1.52%3.19%1.31%0.35%0.17%
20189-3.29%-3.42%0.55%$99,320$91,611$31,508-0.38%-1.26%0.59%-2.86%-0.14%0.17%
201810-9.84%-9.97%-6.85%$89,550$82,481$29,3501.17%2.33%-6.91%-2.93%0.15%0.18%
2018114.89%4.00%2.03%$93,932$85,785$29,9443.92%0.21%1.85%1.79%0.38%0.19%
201812-2.20%-0.38%-9.04%$91,864$85,462$27,237-4.15%5.05%-8.79%5.85%0.76%0.19%
201918.74%8.44%8.00%$99,895$92,675$29,4173.72%3.46%8.01%0.38%0.25%0.20%
201921.85%0.99%3.20%$101,739$93,589$30,3593.88%-0.31%3.24%-1.38%0.09%0.20%
201937.87%7.10%1.94%$109,747$100,230$30,9462.83%-1.80%1.81%5.57%0.63%0.20%
201941.21%0.93%4.04%$111,071$101,159$32,1970.86%-1.01%4.09%-1.99%0.18%0.20%
201951.24%1.59%-6.36%$112,445$102,769$30,148-0.87%1.03%-6.38%6.84%0.72%0.20%
201968.26%8.83%7.03%$121,733$111,849$32,2683.33%8.76%6.96%0.95%0.46%0.19%
201971.31%1.54%1.43%$123,327$113,573$32,728-0.21%1.32%1.51%0.26%-0.06%0.17%
2019811.32%11.40%-1.59%$137,286$126,522$32,2074.83%7.06%-1.67%11.04%0.78%0.17%
20199-1.11%-2.18%1.86%$135,766$123,759$32,8064.08%-2.82%1.95%-2.68%-0.13%0.16%
2019100.47%0.86%2.15%$136,403$124,820$33,513-0.86%1.73%2.21%-1.11%0.31%0.15%
2019111.34%1.34%3.62%$138,236$126,496$34,726-1.98%-3.36%3.62%-0.41%-0.05%0.13%
2019120.08%-0.05%3.01%$138,342$126,429$35,7703.11%3.74%2.90%-3.20%0.16%0.13%
2020111.27%10.59%-0.05%$153,931$139,823$35,7526.10%4.58%-0.04%7.69%0.58%0.13%
20202-0.48%1.91%-8.24%$153,190$142,490$32,806-9.99%1.62%-7.92%6.63%0.88%0.13%
20203-3.02%-1.05%-12.37%$148,567$141,000$28,747-10.09%-0.06%-12.46%6.38%1.24%0.10%
2020411.76%11.59%12.81%$166,032$157,347$32,4313.23%5.83%12.70%1.22%0.27%0.01%
202051.95%1.40%4.76%$169,266$159,544$33,9734.31%1.52%4.76%-1.76%-0.08%0.01%
202061.12%2.20%1.98%$171,170$163,053$34,645-4.86%2.28%1.78%0.34%0.02%0.01%
2020712.11%12.02%5.63%$191,894$182,646$36,5947.24%11.13%5.89%4.44%0.09%0.01%
20208-1.37%-0.99%7.18%$189,264$180,829$39,221-2.54%-0.38%6.98%-5.05%-0.02%0.01%
Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.75%1.71%0.82%
Arithmetic Mean (annualized)23.08%22.50%10.29%
Geometric Mean (monthly)1.58%1.55%0.73%
Geometric Mean (annualized)20.65%20.30%9.11%
Volatility (monthly)5.82%5.57%4.22%
Volatility (annualized)20.17%19.30%14.60%
Downside Deviation (monthly)3.43%3.18%2.88%
Max. Drawdown-35.59%-31.03%-50.97%
US Market Correlation0.420.371.00
Beta(*)0.600.501.00
Alpha (annualized)15.04%15.56%0.00%
R218.92%14.27%100.00%
Sharpe Ratio0.970.990.58
Sortino Ratio1.641.720.85
Treynor Ratio (%)32.7438.458.56
Calmar Ratio2.041.910.73
Active Return11.53%11.18%N/A
Tracking Error19.07%19.31%N/A
Information Ratio0.600.58N/A
Skewness-0.21-0.05-0.74
Excess Kurtosis4.644.841.97
Historical Value-at-Risk (5%)-7.28%-6.87%-7.63%
Analytical Value-at-Risk (5%)-7.52%-7.27%-6.11%
Conditional Value-at-Risk (5%)-12.37%-11.53%-10.10%
Upside Capture Ratio (%)93.2582.39100.00
Downside Capture Ratio (%)24.6110.57100.00
Safe Withdrawal Rate16.32%16.69%8.48%
Perpetual Withdrawal Rate16.09%15.84%6.81%
Positive Periods124 out of 188 (65.96%)125 out of 188 (66.49%)128 out of 188 (68.09%)
Gain/Loss Ratio1.201.200.77
* Vanguard 500 Index Investor 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 2Vanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-35.59%-31.03%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsSep 20097 months9 months-35.59%
2Dec 2007Oct 200811 monthsDec 20082 months1 year 1 month-35.10%
3Feb 2015Jun 20155 monthsMar 20169 months1 year 2 months-17.19%
4Aug 2016Nov 20164 monthsJul 20178 months1 year-17.09%
5May 2013Aug 20134 monthsJan 20145 months9 months-13.64%
6Sep 2018Oct 20182 monthsMar 20195 months7 months-12.80%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-8.86%
8Sep 2005Oct 20052 monthsJan 20063 months5 months-8.51%
9Mar 2006May 20063 monthsAug 20063 months6 months-8.02%
10Dec 2009Jan 20102 monthsMar 20102 months4 months-5.23%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Feb 20092 monthsSep 20097 months9 months-31.03%
2Feb 2008Oct 20089 monthsDec 20082 months11 months-30.18%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-17.21%
4Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-16.03%
5May 2013Jun 20132 monthsJan 20147 months9 months-14.61%
6Feb 2018Oct 20189 monthsMar 20195 months1 year 2 months-14.07%
7Sep 2005Oct 20052 monthsDec 20052 months4 months-6.88%
8Dec 2009Dec 20091 monthApr 20104 months5 months-6.80%
9Mar 2006Jun 20064 monthsAug 20062 months6 months-6.30%
10Sep 2014Sep 20141 monthNov 20142 months3 months-4.59%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5May 2019May 20191 monthJun 20191 month2 months-6.36%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
8Jan 2005Apr 20054 monthsJul 20053 months7 months-4.04%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VPUVanguard Utilities ETF8.77%13.34%26.99%-27.94%-38.13%0.600.850.50
^GOLDGold Price Index10.07%17.65%31.92%-27.33%-41.55%0.560.900.06
SPYSPDR S&P 500 ETF Trust9.16%14.58%32.31%-36.81%-50.80%0.590.851.00
TLTiShares 20+ Year Treasury Bond ETF7.43%13.28%33.96%-21.80%-21.80%0.510.90-0.34
SHYiShares 1-3 Year Treasury Bond ETF2.13%1.28%7.35%0.21%-1.18%0.711.38-0.38
CASHXCash1.28%0.46%4.82%0.03%0.00%N/AN/A-0.07

Monthly Correlations

Correlations for the portfolio assets
TickerNameVPU^GOLDSPYTLTSHYCASHXPortfolio 1Portfolio 2Vanguard 500 Index Investor
VPUVanguard Utilities ETF1.000.110.510.13-0.130.020.570.460.51
^GOLDGold Price Index0.111.000.060.170.250.100.330.460.06
SPYSPDR S&P 500 ETF Trust0.510.061.00-0.33-0.37-0.070.430.381.00
TLTiShares 20+ Year Treasury Bond ETF0.130.17-0.331.000.550.010.670.69-0.33
SHYiShares 1-3 Year Treasury Bond ETF-0.130.25-0.370.551.000.360.250.32-0.37
CASHXCash0.020.10-0.070.010.361.00-0.07-0.06-0.07

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VPUVanguard Utilities ETF$13,606
^GOLDGold Price Index$11,273$21,050
SPYSPDR S&P 500 ETF Trust$81,223$79,588
TLTiShares 20+ Year Treasury Bond ETF$80,740$76,893
SHYiShares 1-3 Year Treasury Bond ETF$6,053$5,773
CASHXCash-$13,631-$12,475

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VPUVanguard Utilities ETF9.00%
^GOLDGold Price Index4.58%13.12%
SPYSPDR S&P 500 ETF Trust29.83%26.66%
TLTiShares 20+ Year Treasury Bond ETF55.52%58.98%
SHYiShares 1-3 Year Treasury Bond ETF0.76%0.98%
CASHXCash0.31%0.26%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year20.53%51.09%-8.14%19.69%47.94%-9.11%10.35%32.18%-37.02%
3 years19.01%32.41%8.17%18.33%32.78%11.37%8.58%20.22%-8.44%
5 years19.25%31.54%11.01%18.45%28.91%12.73%9.03%17.81%-0.33%
7 years20.42%24.06%15.83%19.39%22.19%13.36%9.75%14.67%2.54%
10 years20.14%23.43%18.68%19.22%21.38%17.28%9.38%13.40%6.82%
15 years19.14%19.14%19.14%18.43%18.43%18.43%8.87%8.87%8.87%
Result statistics are based on annualized rolling returns over full calendar year periods