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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Total
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Portfolio Analysis Results (Jan 1987 - Dec 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 165.00%
VUSTX Vanguard Long-Term Treasury Inv 135.00%
CASHX Cash -200.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$10,119,896 22.57% 27.17%107.02%-37.09%-65.25% 0.781.230.84
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 116.37%70.56%37.71%36.55%35.47%22.57%29.11%24.39%
Trailing annualized return and volatility are for full months ending in December 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.
  • 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 quarterly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
19874.43%-8.06%$9,1944.71%-2.92%5.93%
19884.42%25.90%$11,57616.22%9.15%6.80%
19894.65%63.67%$18,94531.36%17.93%8.61%
19906.11%-17.76%$15,580-3.32%5.78%7.89%
19913.06%67.54%$26,10330.22%17.43%5.71%
19922.90%14.31%$29,8397.42%7.41%3.57%
19932.75%34.61%$40,1669.89%16.79%3.05%
19942.67%-15.65%$33,8821.18%-7.04%4.20%
19952.54%107.02%$70,14437.45%30.09%5.71%
19963.32%24.56%$87,36822.88%-1.26%5.17%
19971.70%67.68%$146,49733.19%13.90%5.22%
19981.61%60.53%$235,17728.62%13.05%4.97%
19992.68%10.50%$259,86121.07%-8.66%4.77%
20003.39%-2.67%$252,930-9.06%19.72%5.99%
20011.55%-20.39%$201,360-12.02%4.31%3.70%
20022.38%-18.75%$163,603-22.15%16.67%1.65%
20031.88%49.80%$245,08328.50%2.68%1.04%
20043.26%25.88%$308,50210.74%7.12%1.32%
20053.42%10.55%$341,0634.77%6.61%3.14%
20062.54%17.66%$401,30215.64%1.74%4.82%
20074.08%12.81%$452,6895.39%9.24%4.56%
20080.09%-37.09%$284,780-37.02%22.52%1.53%
20092.72%19.61%$340,61426.49%-12.05%0.16%
20101.50%42.76%$486,26414.91%8.93%0.14%
20112.96%51.52%$736,7891.97%29.28%0.07%
20121.74%34.25%$989,15715.82%3.47%0.08%
20131.50%31.75%$1,303,18432.18%-13.03%0.05%
20140.76%63.42%$2,129,68713.51%25.28%0.03%
20150.73%0.08%$2,131,4211.25%-1.54%0.05%
20162.07%21.23%$2,584,00711.82%1.20%0.30%
20172.11%49.95%$3,874,69821.67%8.58%0.88%
20181.91%-13.01%$3,370,782-4.52%-1.90%1.90%
20192.29%76.02%$5,933,37431.33%14.13%2.13%
20201.36%70.56%$10,119,89618.25%18.29%0.44%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnVanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
1987122.69%13.27%1.30%0.48%
198726.45%3.97%1.07%0.47%
198731.92%2.89%-1.58%0.46%
19874-9.11%-1.03%-4.80%0.47%
19875-1.28%1.04%-1.50%0.47%
1987610.13%5.02%1.44%0.48%
198775.64%4.91%-1.11%0.48%
198783.34%3.84%-1.56%0.51%
19879-9.15%-2.29%-3.72%0.53%
198710-29.08%-21.73%5.84%0.56%
198711-15.14%-8.19%0.47%0.44%
19871217.11%7.55%1.60%0.44%
1988112.21%4.17%4.65%0.48%
198827.62%4.59%1.16%0.47%
19883-7.92%-3.04%-2.24%0.47%
19884-0.83%1.01%-1.14%0.48%
19885-1.79%0.81%-1.59%0.50%
1988612.18%4.56%4.09%0.54%
19887-4.28%-0.37%-1.90%0.55%
19888-6.49%-3.40%0.40%0.59%
1988911.80%4.26%3.86%0.62%
1988106.59%2.73%2.45%0.61%
198811-5.82%-1.40%-1.88%0.62%
1988123.16%1.66%1.29%0.66%
1989113.47%7.32%2.05%0.68%
19892-7.15%-2.47%-1.71%0.71%
198933.36%2.26%0.86%0.74%
1989410.54%5.18%2.59%0.75%
198958.89%4.04%3.11%0.71%
198965.06%-0.59%6.07%0.73%
1989716.30%9.01%2.06%0.67%
19898-1.69%1.86%-2.90%0.66%
19899-1.64%-0.40%0.15%0.67%
1989100.04%-2.34%3.88%0.67%
1989113.11%2.04%0.83%0.66%
1989122.44%2.38%-0.05%0.64%
19901-17.31%-6.72%-3.67%0.64%
199020.28%1.27%-0.32%0.65%
199032.88%2.61%-0.26%0.66%
19904-9.28%-2.50%-2.84%0.66%
1990522.13%9.69%4.49%0.66%
199060.58%-0.66%2.28%0.65%
19907-0.95%-0.35%0.70%0.65%
19908-22.01%-9.03%-4.25%0.63%
19909-9.08%-4.89%1.15%0.62%
1990101.03%-0.41%2.15%0.60%
19901115.50%6.44%4.60%0.60%
1990125.54%2.72%2.05%0.59%
199117.51%4.32%1.09%0.54%
1991211.07%7.15%0.50%0.52%
199133.15%2.41%0.27%0.51%
199141.09%0.20%1.28%0.48%
199155.85%4.27%-0.14%0.46%
19916-9.16%-4.56%-0.78%0.47%
199178.77%4.63%1.53%0.47%
199187.22%2.33%3.49%0.47%
199190.28%-1.67%2.95%0.45%
1991101.23%1.33%-0.08%0.43%
199111-7.38%-4.01%0.02%0.40%
19911227.61%11.41%6.26%0.37%
19921-8.09%-1.88%-3.21%0.33%
199222.39%1.24%0.64%0.32%
19923-5.57%-1.93%-1.10%0.33%
199244.03%2.91%-0.07%0.34%
199253.69%0.48%2.70%0.31%
19926-1.50%-1.49%1.12%0.31%
1992711.50%4.04%4.02%0.30%
19928-2.77%-2.07%0.71%0.27%
199293.08%1.17%1.36%0.26%
199210-2.46%0.33%-1.89%0.23%
1992115.93%3.40%0.50%0.25%
1992124.85%1.21%2.63%0.27%
199314.66%0.81%2.85%0.26%
199325.93%1.36%3.20%0.24%
199333.00%2.11%0.19%0.25%
19934-3.46%-2.42%0.76%0.24%
199354.45%2.65%0.38%0.24%
199365.55%0.27%4.17%0.26%
199370.67%-0.42%1.39%0.25%
1993811.08%3.79%3.99%0.25%
19939-1.24%-0.79%0.33%0.25%
1993103.77%2.08%0.62%0.24%
199311-5.34%-1.00%-2.48%0.25%
1993122.10%1.22%0.42%0.26%
199418.08%3.38%2.23%0.25%
19942-9.82%-2.71%-3.99%0.25%
19943-13.21%-4.39%-3.82%0.28%
19944-0.19%1.29%-1.29%0.29%
199451.44%1.63%-0.47%0.32%
19946-5.87%-2.47%-0.81%0.35%
199478.68%3.28%2.94%0.35%
199484.86%4.08%-0.67%0.36%
19949-8.08%-2.45%-3.00%0.38%
1994102.44%2.25%-0.36%0.39%
199411-6.01%-3.65%0.62%0.42%
1994123.74%1.46%1.62%0.47%
199516.87%2.58%2.62%0.47%
199528.74%3.88%2.73%0.49%
199534.49%2.95%0.72%0.48%
199546.13%2.94%1.65%0.48%
1995515.10%3.95%7.52%0.48%
199563.90%2.31%1.13%0.47%
199572.65%3.30%-1.40%0.46%
199582.18%0.25%2.05%0.46%
199598.34%4.23%1.81%0.44%
1995102.52%-0.36%2.97%0.44%
1995119.25%4.38%2.31%0.45%
1995125.55%1.93%2.70%0.45%
199614.68%3.39%-0.05%0.42%
19962-5.62%0.92%-4.93%0.41%
19963-1.69%0.98%-1.98%0.41%
19964-0.84%1.46%-1.78%0.42%
199652.82%2.54%-0.46%0.42%
199662.56%0.38%2.14%0.42%
19967-8.21%-4.42%-0.05%0.42%
199680.75%2.10%-1.29%0.44%
1996912.76%5.61%2.79%0.43%
1996108.96%2.76%3.88%0.41%
19961115.12%7.56%3.24%0.42%
199612-6.24%-1.96%-2.38%0.42%
199718.52%6.22%-0.65%0.43%
199720.36%0.79%-0.11%0.42%
19973-10.26%-4.14%-2.29%0.43%
1997412.12%5.96%2.35%0.44%
199759.90%6.09%0.98%0.43%
199768.01%4.45%1.78%0.40%
1997719.50%7.97%5.34%0.43%
19978-12.11%-5.61%-2.57%0.43%
1997911.35%5.47%2.63%0.43%
199710-2.32%-3.35%2.99%0.41%
1997118.42%4.60%1.27%0.43%
1997124.09%1.72%1.66%0.43%
199813.54%1.11%1.91%0.44%
199829.73%7.19%-0.75%0.43%
199837.39%5.10%0.14%0.44%
199841.37%1.01%0.40%0.42%
19985-1.22%-1.74%1.83%0.41%
199869.02%4.07%2.35%0.41%
19987-3.27%-1.05%-0.51%0.42%
19988-18.54%-14.47%4.83%0.42%
1998916.11%6.41%3.29%0.40%
19981010.47%8.16%-1.69%0.36%
19981110.20%6.07%0.88%0.36%
1998128.20%5.81%-0.16%0.37%
199917.53%4.20%0.98%0.37%
19992-11.68%-3.12%-4.76%0.37%
199935.70%4.00%-0.34%0.38%
199945.88%3.85%0.19%0.37%
19995-6.70%-2.39%-1.68%0.37%
199967.18%5.56%-1.05%0.38%
19997-6.73%-3.13%-0.58%0.39%
19998-2.38%-0.50%-0.49%0.39%
19999-4.33%-2.74%0.91%0.41%
1999109.81%6.33%0.12%0.40%
1999111.74%2.02%-0.59%0.42%
1999126.84%5.98%-1.60%0.43%
20001-7.48%-5.03%1.25%0.43%
200020.13%-1.91%2.96%0.47%
2000319.79%9.75%3.14%0.47%
20004-6.80%-3.00%-0.66%0.48%
20005-5.17%-2.04%-0.46%0.48%
200066.80%2.49%2.30%0.46%
20007-1.43%-1.50%1.49%0.48%
2000812.02%6.19%2.08%0.51%
20009-10.22%-5.29%-0.85%0.52%
2000100.39%-0.43%1.57%0.51%
200011-9.83%-7.89%2.99%0.52%
2000123.53%0.51%2.45%0.51%
200115.27%3.55%0.28%0.48%
20012-13.25%-9.14%1.80%0.41%
20013-12.52%-6.36%-0.60%0.40%
200148.66%7.77%-2.56%0.35%
200150.71%0.65%0.21%0.32%
20016-3.61%-2.45%0.76%0.30%
200172.63%-1.00%3.61%0.30%
20018-7.78%-6.27%2.02%0.29%
20019-12.30%-8.09%0.88%0.28%
2001109.65%1.90%5.12%0.20%
2001114.98%7.65%-4.98%0.17%
200112-1.11%0.87%-1.91%0.15%
20021-1.10%-1.47%1.20%0.14%
20022-1.76%-1.94%1.24%0.14%
200230.35%3.74%-3.86%0.15%
20024-5.28%-6.07%3.73%0.15%
20025-0.96%-0.75%0.39%0.15%
20026-9.35%-7.13%1.76%0.14%
20027-9.06%-7.72%2.93%0.14%
200287.32%0.65%4.28%0.14%
20029-11.38%-10.87%4.02%0.14%
20021010.40%8.78%-2.84%0.13%
2002118.17%5.88%-0.98%0.12%
200212-5.13%-5.89%4.05%0.10%
20031-5.13%-2.62%-0.45%0.10%
200321.51%-1.52%3.03%0.10%
20033-0.26%0.96%-1.13%0.10%
2003414.66%8.25%0.91%0.09%
2003514.77%5.26%5.67%0.09%
200360.04%1.26%-1.48%0.09%
20037-8.84%1.74%-8.57%0.07%
200385.31%1.93%1.43%0.08%
200394.53%-1.07%5.07%0.08%
2003105.67%5.64%-2.58%0.08%
2003111.67%0.86%0.31%0.08%
2003129.90%5.22%1.23%0.08%
200415.20%1.82%1.74%0.08%
200424.61%1.38%1.96%0.08%
20043-0.64%-1.51%1.45%0.08%
20044-10.21%-1.58%-5.52%0.08%
200451.49%1.36%-0.56%0.08%
200464.50%1.93%0.87%0.09%
20047-3.64%-3.31%1.52%0.11%
200485.20%0.38%3.39%0.12%
200492.73%1.07%0.94%0.13%
2004104.19%1.51%1.46%0.14%
2004113.24%4.05%-2.25%0.16%
2004127.91%3.39%2.22%0.18%
20051-0.91%-2.45%2.59%0.18%
200521.25%2.09%-1.24%0.21%
20053-4.36%-1.76%-0.76%0.23%
200540.74%-1.91%3.22%0.23%
200558.13%3.17%2.55%0.24%
200561.89%0.13%1.64%0.25%
200572.12%3.71%-2.58%0.26%
200581.62%-0.91%2.87%0.28%
20059-2.87%0.79%-2.78%0.29%
200510-5.70%-1.68%-1.74%0.29%
2005116.58%3.76%0.57%0.33%
2005122.47%0.02%2.33%0.32%
200612.48%2.65%-0.90%0.33%
200620.77%0.26%0.81%0.37%
20063-3.13%1.23%-3.39%0.38%
20064-1.20%1.33%-1.96%0.38%
20065-5.72%-2.90%-0.03%0.39%
200660.36%0.13%0.71%0.40%
200672.67%0.61%1.84%0.41%
200686.65%2.36%2.74%0.42%
200695.23%2.56%1.58%0.41%
2006105.60%3.25%0.77%0.40%
2006114.70%1.89%1.91%0.42%
200612-1.24%1.39%-2.14%0.41%
200710.50%1.49%-0.85%0.41%
20072-0.22%-1.97%2.93%0.42%
20073-0.57%1.11%-1.13%0.42%
200747.62%4.42%0.86%0.41%
200752.37%3.48%-1.93%0.40%
20076-4.47%-1.68%-0.88%0.39%
20077-2.65%-3.08%2.39%0.39%
200784.42%1.50%1.97%0.40%
200795.56%3.72%0.21%0.33%
2007103.87%1.58%1.40%0.31%
200711-1.32%-4.19%4.59%0.32%
200712-2.26%-0.70%-0.48%0.26%
20081-6.91%-6.02%2.64%0.28%
20082-5.23%-3.25%0.35%0.16%
200830.52%-0.44%1.02%0.15%
200845.30%4.85%-1.84%0.11%
20085-0.78%1.29%-2.13%0.12%
20086-12.20%-8.44%1.80%0.15%
20087-1.29%-0.83%0.30%0.16%
200884.59%1.45%1.80%0.14%
20089-14.19%-8.91%0.28%0.14%
200810-32.76%-16.79%-3.63%0.08%
2008118.58%-7.17%12.07%0.04%
20081219.55%1.07%8.87%0.00%
20091-25.33%-8.41%-8.47%0.01%
20092-23.29%-10.66%-1.01%0.02%
2009331.81%8.76%5.27%0.02%
200949.00%9.56%-4.99%0.02%
200956.15%5.62%-2.68%0.01%
200961.10%0.22%0.70%0.01%
2009713.55%7.58%0.80%0.02%
200987.61%3.60%1.68%0.02%
200997.82%3.72%1.98%0.01%
200910-5.07%-1.87%-1.45%0.01%
20091112.86%5.98%1.91%0.00%
200912-4.06%1.95%-5.66%0.01%
20101-2.36%-3.60%2.66%0.01%
201024.73%3.09%-0.21%0.01%
201037.58%6.01%-1.51%0.01%
201046.30%1.58%2.76%0.01%
20105-7.12%-8.01%4.23%0.01%
20106-1.38%-5.24%4.67%0.01%
2010711.28%7.00%-0.17%0.02%
201081.36%-4.53%7.08%0.01%
2010910.97%8.92%-1.82%0.01%
2010101.78%3.79%-3.29%0.01%
201011-2.07%0.00%-1.60%0.01%
2010126.82%6.67%-3.58%0.01%
201110.66%2.36%-2.38%0.01%
201127.33%3.42%1.24%0.01%
201130.04%0.03%0.02%0.01%
201147.60%2.95%2.04%0.01%
201152.40%-1.15%3.29%0.00%
20116-5.14%-1.67%-2.00%0.01%
201172.26%-2.05%4.18%0.00%
201183.32%-5.45%8.68%0.01%
201194.51%-7.04%10.16%0.00%
20111013.50%10.91%-3.34%0.00%
2011111.71%-0.23%1.82%0.00%
2011125.21%1.02%3.13%0.00%
201217.47%4.46%0.08%0.00%
201224.24%4.31%-2.11%0.01%
201230.81%3.28%-3.77%0.01%
201244.83%-0.64%4.37%0.01%
201251.04%-6.02%7.79%0.01%
201263.89%4.11%-1.44%0.01%
201276.73%1.37%3.32%0.01%
201282.10%2.24%-1.06%0.01%
201291.37%2.58%-2.10%0.01%
201210-3.67%-1.86%-0.43%0.01%
2012112.81%0.56%1.35%0.01%
201212-1.26%0.90%-1.99%0.01%
201314.11%5.18%-3.27%0.00%
201323.80%1.34%1.26%0.01%
201336.11%3.74%0.03%0.01%
201348.36%1.91%3.87%0.01%
20135-4.46%2.33%-6.23%0.00%
20136-6.39%-1.35%-3.26%0.00%
201375.76%5.07%-1.93%0.00%
20138-6.38%-2.91%-1.28%0.00%
201396.46%3.12%0.88%0.00%
2013109.35%4.59%1.32%0.00%
2013111.66%3.03%-2.49%0.00%
2013121.16%2.51%-2.37%0.01%
201412.71%-3.47%6.26%0.01%
201427.90%4.56%0.60%0.00%
201432.05%0.82%0.63%0.00%
201443.64%0.72%1.82%0.00%
201457.36%2.33%2.73%0.00%
201462.93%2.05%-0.16%0.00%
20147-1.50%-1.39%0.59%0.00%
2014812.40%3.98%4.23%0.00%
20149-4.70%-1.41%-1.99%0.00%
2014107.52%2.42%2.61%0.00%
2014117.90%2.68%2.86%0.00%
2014123.06%-0.26%2.82%0.00%
201517.12%-3.02%8.97%0.00%
201520.80%5.74%-5.66%0.00%
20153-1.05%-1.59%1.13%0.00%
20154-2.58%0.95%-3.07%0.00%
20155-0.73%1.27%-2.16%0.00%
20156-8.31%-1.93%-3.73%0.00%
201579.11%2.08%4.21%0.00%
20158-10.27%-6.05%-0.71%0.01%
20159-1.30%-2.48%1.91%0.01%
20151013.25%8.42%-0.48%0.00%
201511-0.52%0.29%-0.81%0.01%
201512-2.97%-1.59%-0.34%0.02%
20161-1.17%-4.98%5.24%0.01%
201623.83%-0.15%2.86%0.03%
2016310.36%6.78%0.05%0.03%
20164-0.27%0.37%-0.63%0.02%
201653.85%1.78%0.69%0.02%
201668.92%0.25%6.57%0.03%
201678.73%3.68%2.01%0.02%
20168-1.10%0.13%-1.00%0.02%
20169-1.71%0.01%-1.32%0.03%
201610-8.78%-1.83%-4.23%0.02%
201611-4.63%3.70%-7.86%0.03%
2016123.21%1.96%-0.35%0.04%
201713.90%1.88%0.65%0.04%
201728.38%3.96%1.57%0.04%
20173-0.65%0.10%-0.59%0.04%
201743.69%1.02%1.58%0.06%
201754.40%1.39%1.73%0.07%
201761.62%0.61%0.63%0.08%
201772.40%2.04%-0.59%0.08%
201784.60%0.29%3.27%0.09%
201790.16%2.06%-2.27%0.08%
2017103.62%2.32%-0.02%0.09%
2017115.62%3.06%0.63%0.09%
2017123.77%1.10%1.78%0.10%
201814.60%5.71%-3.40%0.11%
20182-9.98%-3.69%-2.89%0.12%
20183-1.14%-2.56%2.75%0.14%
20184-2.42%0.37%-2.04%0.14%
201856.17%2.39%1.79%0.15%
201861.54%0.61%0.66%0.16%
201874.07%3.71%-1.28%0.16%
201886.53%3.25%1.18%0.17%
20189-2.76%0.55%-2.74%0.17%
201810-15.46%-6.85%-2.82%0.18%
2018115.99%2.03%1.78%0.19%
201812-8.03%-9.04%5.50%0.19%
2019113.47%8.00%0.49%0.20%
201923.11%3.20%-1.31%0.20%
201938.94%1.94%5.47%0.20%
201943.74%4.04%-1.88%0.20%
20195-2.42%-6.36%6.65%0.20%
2019612.16%7.03%1.01%0.19%
201972.30%1.43%0.22%0.17%
2019811.17%-1.59%10.68%0.17%
20199-1.04%1.86%-2.62%0.16%
2019101.76%2.15%-1.10%0.15%
2019115.23%3.62%-0.39%0.13%
2019120.94%3.01%-3.00%0.13%
202019.51%-0.05%7.29%0.13%
20202-3.94%-8.24%6.58%0.13%
20203-9.66%-12.37%5.67%0.10%
2020423.57%12.81%1.81%0.01%
202055.29%4.76%-1.67%0.01%
202063.36%1.98%0.40%0.01%
2020714.89%5.63%4.17%0.01%
202085.11%7.18%-4.71%0.01%
20209-5.04%-3.81%0.78%0.01%
202010-8.74%-2.67%-3.19%0.01%
20201121.42%10.94%1.53%0.01%
2020125.02%3.84%-0.95%0.01%
Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)2.02%
Arithmetic Mean (annualized)27.15%
Geometric Mean (monthly)1.71%
Geometric Mean (annualized)22.57%
Volatility (monthly)7.84%
Volatility (annualized)27.17%
Downside Deviation (monthly)4.86%
Max. Drawdown-65.25%
US Market Correlation0.84
Beta(*)1.48
Alpha (annualized)7.49%
R270.12%
Sharpe Ratio0.78
Sortino Ratio1.23
Treynor Ratio (%)14.38
Calmar Ratio1.90
Active Return11.93%
Tracking Error16.56%
Information Ratio0.72
Skewness-0.38
Excess Kurtosis2.28
Historical Value-at-Risk (5%)-10.22%
Analytical Value-at-Risk (5%)-10.76%
Conditional Value-at-Risk (5%)-16.31%
Upside Capture Ratio (%)176.17
Downside Capture Ratio (%)133.05
Safe Withdrawal Rate15.48%
Perpetual Withdrawal Rate16.33%
Positive Periods267 out of 408 (65.44%)
Gain/Loss Ratio1.04
* 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 1
Black Monday PeriodSep 1987Nov 1987-45.32%
Asian CrisisJul 1997Jan 1998-12.11%
Russian Debt DefaultJul 1998Oct 1998-21.20%
Dotcom CrashMar 2000Oct 2002-51.96%
Subprime CrisisNov 2007Mar 2009-65.25%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-65.25%
2Sep 2000Sep 20022 years 1 monthDec 20042 years 3 months4 years 4 months-51.96%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-45.32%
4Jan 1990Sep 19909 monthsMar 19916 months1 year 3 months-33.22%
5Feb 1994Jun 19945 monthsApr 199510 months1 year 3 months-25.41%
6Jul 1998Aug 19982 monthsOct 19982 months4 months-21.20%
7Sep 2018Dec 20184 monthsMar 20193 months7 months-19.87%
8Aug 2016Nov 20164 monthsApr 20175 months9 months-15.44%
9Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-15.21%
10Feb 1999Sep 19998 monthsDec 19993 months11 months-13.90%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor10.69%15.15%37.45%-37.02%-50.97%0.550.790.99
VUSTXVanguard Long-Term Treasury Inv7.77%9.92%30.09%-13.03%-16.68%0.500.83-0.15
CASHXCash3.07%0.72%8.61%0.03%0.00%N/AN/A-0.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVUSTXCASHXPortfolio 1
VFINXVanguard 500 Index Investor1.00-0.130.010.86
VUSTXVanguard Long-Term Treasury Inv-0.131.000.040.39
CASHXCash0.010.041.00-0.02

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor$7,559,048
VUSTXVanguard Long-Term Treasury Inv$3,257,966
CASHXCash-$707,118

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor80.23%
VUSTXVanguard Long-Term Treasury Inv19.64%
CASHXCash0.13%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year25.67%113.53%-59.16%
3 years22.87%71.68%-22.63%
5 years22.30%54.68%-9.57%
7 years21.80%44.90%-2.57%
10 years20.97%37.51%-3.09%
15 years18.40%25.36%9.98%