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.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 1987 - Dec 2020)

Note: The time period was constrained by the available data for Vanguard Long-Term Treasury Inv (VUSTX) [Jun 1986 - Feb 2021].

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
Portfolio	Initial Balance	Final Balance	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
Portfolio 1	$10,000	$10,119,896	22.57%	27.17%	107.02%	-37.09%	-65.25%	0.78	1.23	0.84

Trailing Returns

Trailing Returns
Name	Annualized Return						Annualized Volatility
Name	3 Month	1 year	3 year	5 year	10 year	Full	3 year	5 year
Portfolio 1	16.37%	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
Year	Inflation	Portfolio 1 Return	Portfolio 1 Balance	Vanguard 500 Index Investor (VFINX)	Vanguard Long-Term Treasury Inv (VUSTX)	Cash (CASHX)
1987	4.43%	-8.06%	$9,194	4.71%	-2.92%	5.93%
1988	4.42%	25.90%	$11,576	16.22%	9.15%	6.80%
1989	4.65%	63.67%	$18,945	31.36%	17.93%	8.61%
1990	6.11%	-17.76%	$15,580	-3.32%	5.78%	7.89%
1991	3.06%	67.54%	$26,103	30.22%	17.43%	5.71%
1992	2.90%	14.31%	$29,839	7.42%	7.41%	3.57%
1993	2.75%	34.61%	$40,166	9.89%	16.79%	3.05%
1994	2.67%	-15.65%	$33,882	1.18%	-7.04%	4.20%
1995	2.54%	107.02%	$70,144	37.45%	30.09%	5.71%
1996	3.32%	24.56%	$87,368	22.88%	-1.26%	5.17%
1997	1.70%	67.68%	$146,497	33.19%	13.90%	5.22%
1998	1.61%	60.53%	$235,177	28.62%	13.05%	4.97%
1999	2.68%	10.50%	$259,861	21.07%	-8.66%	4.77%
2000	3.39%	-2.67%	$252,930	-9.06%	19.72%	5.99%
2001	1.55%	-20.39%	$201,360	-12.02%	4.31%	3.70%
2002	2.38%	-18.75%	$163,603	-22.15%	16.67%	1.65%
2003	1.88%	49.80%	$245,083	28.50%	2.68%	1.04%
2004	3.26%	25.88%	$308,502	10.74%	7.12%	1.32%
2005	3.42%	10.55%	$341,063	4.77%	6.61%	3.14%
2006	2.54%	17.66%	$401,302	15.64%	1.74%	4.82%
2007	4.08%	12.81%	$452,689	5.39%	9.24%	4.56%
2008	0.09%	-37.09%	$284,780	-37.02%	22.52%	1.53%
2009	2.72%	19.61%	$340,614	26.49%	-12.05%	0.16%
2010	1.50%	42.76%	$486,264	14.91%	8.93%	0.14%
2011	2.96%	51.52%	$736,789	1.97%	29.28%	0.07%
2012	1.74%	34.25%	$989,157	15.82%	3.47%	0.08%
2013	1.50%	31.75%	$1,303,184	32.18%	-13.03%	0.05%
2014	0.76%	63.42%	$2,129,687	13.51%	25.28%	0.03%
2015	0.73%	0.08%	$2,131,421	1.25%	-1.54%	0.05%
2016	2.07%	21.23%	$2,584,007	11.82%	1.20%	0.30%
2017	2.11%	49.95%	$3,874,698	21.67%	8.58%	0.88%
2018	1.91%	-13.01%	$3,370,782	-4.52%	-1.90%	1.90%
2019	2.29%	76.02%	$5,933,374	31.33%	14.13%	2.13%
2020	1.36%	70.56%	$10,119,896	18.25%	18.29%	0.44%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1 Return	Vanguard 500 Index Investor (VFINX)	Vanguard Long-Term Treasury Inv (VUSTX)	Cash (CASHX)
1987	1	22.69%	13.27%	1.30%	0.48%
1987	2	6.45%	3.97%	1.07%	0.47%
1987	3	1.92%	2.89%	-1.58%	0.46%
1987	4	-9.11%	-1.03%	-4.80%	0.47%
1987	5	-1.28%	1.04%	-1.50%	0.47%
1987	6	10.13%	5.02%	1.44%	0.48%
1987	7	5.64%	4.91%	-1.11%	0.48%
1987	8	3.34%	3.84%	-1.56%	0.51%
1987	9	-9.15%	-2.29%	-3.72%	0.53%
1987	10	-29.08%	-21.73%	5.84%	0.56%
1987	11	-15.14%	-8.19%	0.47%	0.44%
1987	12	17.11%	7.55%	1.60%	0.44%
1988	1	12.21%	4.17%	4.65%	0.48%
1988	2	7.62%	4.59%	1.16%	0.47%
1988	3	-7.92%	-3.04%	-2.24%	0.47%
1988	4	-0.83%	1.01%	-1.14%	0.48%
1988	5	-1.79%	0.81%	-1.59%	0.50%
1988	6	12.18%	4.56%	4.09%	0.54%
1988	7	-4.28%	-0.37%	-1.90%	0.55%
1988	8	-6.49%	-3.40%	0.40%	0.59%
1988	9	11.80%	4.26%	3.86%	0.62%
1988	10	6.59%	2.73%	2.45%	0.61%
1988	11	-5.82%	-1.40%	-1.88%	0.62%
1988	12	3.16%	1.66%	1.29%	0.66%
1989	1	13.47%	7.32%	2.05%	0.68%
1989	2	-7.15%	-2.47%	-1.71%	0.71%
1989	3	3.36%	2.26%	0.86%	0.74%
1989	4	10.54%	5.18%	2.59%	0.75%
1989	5	8.89%	4.04%	3.11%	0.71%
1989	6	5.06%	-0.59%	6.07%	0.73%
1989	7	16.30%	9.01%	2.06%	0.67%
1989	8	-1.69%	1.86%	-2.90%	0.66%
1989	9	-1.64%	-0.40%	0.15%	0.67%
1989	10	0.04%	-2.34%	3.88%	0.67%
1989	11	3.11%	2.04%	0.83%	0.66%
1989	12	2.44%	2.38%	-0.05%	0.64%
1990	1	-17.31%	-6.72%	-3.67%	0.64%
1990	2	0.28%	1.27%	-0.32%	0.65%
1990	3	2.88%	2.61%	-0.26%	0.66%
1990	4	-9.28%	-2.50%	-2.84%	0.66%
1990	5	22.13%	9.69%	4.49%	0.66%
1990	6	0.58%	-0.66%	2.28%	0.65%
1990	7	-0.95%	-0.35%	0.70%	0.65%
1990	8	-22.01%	-9.03%	-4.25%	0.63%
1990	9	-9.08%	-4.89%	1.15%	0.62%
1990	10	1.03%	-0.41%	2.15%	0.60%
1990	11	15.50%	6.44%	4.60%	0.60%
1990	12	5.54%	2.72%	2.05%	0.59%
1991	1	7.51%	4.32%	1.09%	0.54%
1991	2	11.07%	7.15%	0.50%	0.52%
1991	3	3.15%	2.41%	0.27%	0.51%
1991	4	1.09%	0.20%	1.28%	0.48%
1991	5	5.85%	4.27%	-0.14%	0.46%
1991	6	-9.16%	-4.56%	-0.78%	0.47%
1991	7	8.77%	4.63%	1.53%	0.47%
1991	8	7.22%	2.33%	3.49%	0.47%
1991	9	0.28%	-1.67%	2.95%	0.45%
1991	10	1.23%	1.33%	-0.08%	0.43%
1991	11	-7.38%	-4.01%	0.02%	0.40%
1991	12	27.61%	11.41%	6.26%	0.37%
1992	1	-8.09%	-1.88%	-3.21%	0.33%
1992	2	2.39%	1.24%	0.64%	0.32%
1992	3	-5.57%	-1.93%	-1.10%	0.33%
1992	4	4.03%	2.91%	-0.07%	0.34%
1992	5	3.69%	0.48%	2.70%	0.31%
1992	6	-1.50%	-1.49%	1.12%	0.31%
1992	7	11.50%	4.04%	4.02%	0.30%
1992	8	-2.77%	-2.07%	0.71%	0.27%
1992	9	3.08%	1.17%	1.36%	0.26%
1992	10	-2.46%	0.33%	-1.89%	0.23%
1992	11	5.93%	3.40%	0.50%	0.25%
1992	12	4.85%	1.21%	2.63%	0.27%
1993	1	4.66%	0.81%	2.85%	0.26%
1993	2	5.93%	1.36%	3.20%	0.24%
1993	3	3.00%	2.11%	0.19%	0.25%
1993	4	-3.46%	-2.42%	0.76%	0.24%
1993	5	4.45%	2.65%	0.38%	0.24%
1993	6	5.55%	0.27%	4.17%	0.26%
1993	7	0.67%	-0.42%	1.39%	0.25%
1993	8	11.08%	3.79%	3.99%	0.25%
1993	9	-1.24%	-0.79%	0.33%	0.25%
1993	10	3.77%	2.08%	0.62%	0.24%
1993	11	-5.34%	-1.00%	-2.48%	0.25%
1993	12	2.10%	1.22%	0.42%	0.26%
1994	1	8.08%	3.38%	2.23%	0.25%
1994	2	-9.82%	-2.71%	-3.99%	0.25%
1994	3	-13.21%	-4.39%	-3.82%	0.28%
1994	4	-0.19%	1.29%	-1.29%	0.29%
1994	5	1.44%	1.63%	-0.47%	0.32%
1994	6	-5.87%	-2.47%	-0.81%	0.35%
1994	7	8.68%	3.28%	2.94%	0.35%
1994	8	4.86%	4.08%	-0.67%	0.36%
1994	9	-8.08%	-2.45%	-3.00%	0.38%
1994	10	2.44%	2.25%	-0.36%	0.39%
1994	11	-6.01%	-3.65%	0.62%	0.42%
1994	12	3.74%	1.46%	1.62%	0.47%
1995	1	6.87%	2.58%	2.62%	0.47%
1995	2	8.74%	3.88%	2.73%	0.49%
1995	3	4.49%	2.95%	0.72%	0.48%
1995	4	6.13%	2.94%	1.65%	0.48%
1995	5	15.10%	3.95%	7.52%	0.48%
1995	6	3.90%	2.31%	1.13%	0.47%
1995	7	2.65%	3.30%	-1.40%	0.46%
1995	8	2.18%	0.25%	2.05%	0.46%
1995	9	8.34%	4.23%	1.81%	0.44%
1995	10	2.52%	-0.36%	2.97%	0.44%
1995	11	9.25%	4.38%	2.31%	0.45%
1995	12	5.55%	1.93%	2.70%	0.45%
1996	1	4.68%	3.39%	-0.05%	0.42%
1996	2	-5.62%	0.92%	-4.93%	0.41%
1996	3	-1.69%	0.98%	-1.98%	0.41%
1996	4	-0.84%	1.46%	-1.78%	0.42%
1996	5	2.82%	2.54%	-0.46%	0.42%
1996	6	2.56%	0.38%	2.14%	0.42%
1996	7	-8.21%	-4.42%	-0.05%	0.42%
1996	8	0.75%	2.10%	-1.29%	0.44%
1996	9	12.76%	5.61%	2.79%	0.43%
1996	10	8.96%	2.76%	3.88%	0.41%
1996	11	15.12%	7.56%	3.24%	0.42%
1996	12	-6.24%	-1.96%	-2.38%	0.42%
1997	1	8.52%	6.22%	-0.65%	0.43%
1997	2	0.36%	0.79%	-0.11%	0.42%
1997	3	-10.26%	-4.14%	-2.29%	0.43%
1997	4	12.12%	5.96%	2.35%	0.44%
1997	5	9.90%	6.09%	0.98%	0.43%
1997	6	8.01%	4.45%	1.78%	0.40%
1997	7	19.50%	7.97%	5.34%	0.43%
1997	8	-12.11%	-5.61%	-2.57%	0.43%
1997	9	11.35%	5.47%	2.63%	0.43%
1997	10	-2.32%	-3.35%	2.99%	0.41%
1997	11	8.42%	4.60%	1.27%	0.43%
1997	12	4.09%	1.72%	1.66%	0.43%
1998	1	3.54%	1.11%	1.91%	0.44%
1998	2	9.73%	7.19%	-0.75%	0.43%
1998	3	7.39%	5.10%	0.14%	0.44%
1998	4	1.37%	1.01%	0.40%	0.42%
1998	5	-1.22%	-1.74%	1.83%	0.41%
1998	6	9.02%	4.07%	2.35%	0.41%
1998	7	-3.27%	-1.05%	-0.51%	0.42%
1998	8	-18.54%	-14.47%	4.83%	0.42%
1998	9	16.11%	6.41%	3.29%	0.40%
1998	10	10.47%	8.16%	-1.69%	0.36%
1998	11	10.20%	6.07%	0.88%	0.36%
1998	12	8.20%	5.81%	-0.16%	0.37%
1999	1	7.53%	4.20%	0.98%	0.37%
1999	2	-11.68%	-3.12%	-4.76%	0.37%
1999	3	5.70%	4.00%	-0.34%	0.38%
1999	4	5.88%	3.85%	0.19%	0.37%
1999	5	-6.70%	-2.39%	-1.68%	0.37%
1999	6	7.18%	5.56%	-1.05%	0.38%
1999	7	-6.73%	-3.13%	-0.58%	0.39%
1999	8	-2.38%	-0.50%	-0.49%	0.39%
1999	9	-4.33%	-2.74%	0.91%	0.41%
1999	10	9.81%	6.33%	0.12%	0.40%
1999	11	1.74%	2.02%	-0.59%	0.42%
1999	12	6.84%	5.98%	-1.60%	0.43%
2000	1	-7.48%	-5.03%	1.25%	0.43%
2000	2	0.13%	-1.91%	2.96%	0.47%
2000	3	19.79%	9.75%	3.14%	0.47%
2000	4	-6.80%	-3.00%	-0.66%	0.48%
2000	5	-5.17%	-2.04%	-0.46%	0.48%
2000	6	6.80%	2.49%	2.30%	0.46%
2000	7	-1.43%	-1.50%	1.49%	0.48%
2000	8	12.02%	6.19%	2.08%	0.51%
2000	9	-10.22%	-5.29%	-0.85%	0.52%
2000	10	0.39%	-0.43%	1.57%	0.51%
2000	11	-9.83%	-7.89%	2.99%	0.52%
2000	12	3.53%	0.51%	2.45%	0.51%
2001	1	5.27%	3.55%	0.28%	0.48%
2001	2	-13.25%	-9.14%	1.80%	0.41%
2001	3	-12.52%	-6.36%	-0.60%	0.40%
2001	4	8.66%	7.77%	-2.56%	0.35%
2001	5	0.71%	0.65%	0.21%	0.32%
2001	6	-3.61%	-2.45%	0.76%	0.30%
2001	7	2.63%	-1.00%	3.61%	0.30%
2001	8	-7.78%	-6.27%	2.02%	0.29%
2001	9	-12.30%	-8.09%	0.88%	0.28%
2001	10	9.65%	1.90%	5.12%	0.20%
2001	11	4.98%	7.65%	-4.98%	0.17%
2001	12	-1.11%	0.87%	-1.91%	0.15%
2002	1	-1.10%	-1.47%	1.20%	0.14%
2002	2	-1.76%	-1.94%	1.24%	0.14%
2002	3	0.35%	3.74%	-3.86%	0.15%
2002	4	-5.28%	-6.07%	3.73%	0.15%
2002	5	-0.96%	-0.75%	0.39%	0.15%
2002	6	-9.35%	-7.13%	1.76%	0.14%
2002	7	-9.06%	-7.72%	2.93%	0.14%
2002	8	7.32%	0.65%	4.28%	0.14%
2002	9	-11.38%	-10.87%	4.02%	0.14%
2002	10	10.40%	8.78%	-2.84%	0.13%
2002	11	8.17%	5.88%	-0.98%	0.12%
2002	12	-5.13%	-5.89%	4.05%	0.10%
2003	1	-5.13%	-2.62%	-0.45%	0.10%
2003	2	1.51%	-1.52%	3.03%	0.10%
2003	3	-0.26%	0.96%	-1.13%	0.10%
2003	4	14.66%	8.25%	0.91%	0.09%
2003	5	14.77%	5.26%	5.67%	0.09%
2003	6	0.04%	1.26%	-1.48%	0.09%
2003	7	-8.84%	1.74%	-8.57%	0.07%
2003	8	5.31%	1.93%	1.43%	0.08%
2003	9	4.53%	-1.07%	5.07%	0.08%
2003	10	5.67%	5.64%	-2.58%	0.08%
2003	11	1.67%	0.86%	0.31%	0.08%
2003	12	9.90%	5.22%	1.23%	0.08%
2004	1	5.20%	1.82%	1.74%	0.08%
2004	2	4.61%	1.38%	1.96%	0.08%
2004	3	-0.64%	-1.51%	1.45%	0.08%
2004	4	-10.21%	-1.58%	-5.52%	0.08%
2004	5	1.49%	1.36%	-0.56%	0.08%
2004	6	4.50%	1.93%	0.87%	0.09%
2004	7	-3.64%	-3.31%	1.52%	0.11%
2004	8	5.20%	0.38%	3.39%	0.12%
2004	9	2.73%	1.07%	0.94%	0.13%
2004	10	4.19%	1.51%	1.46%	0.14%
2004	11	3.24%	4.05%	-2.25%	0.16%
2004	12	7.91%	3.39%	2.22%	0.18%
2005	1	-0.91%	-2.45%	2.59%	0.18%
2005	2	1.25%	2.09%	-1.24%	0.21%
2005	3	-4.36%	-1.76%	-0.76%	0.23%
2005	4	0.74%	-1.91%	3.22%	0.23%
2005	5	8.13%	3.17%	2.55%	0.24%
2005	6	1.89%	0.13%	1.64%	0.25%
2005	7	2.12%	3.71%	-2.58%	0.26%
2005	8	1.62%	-0.91%	2.87%	0.28%
2005	9	-2.87%	0.79%	-2.78%	0.29%
2005	10	-5.70%	-1.68%	-1.74%	0.29%
2005	11	6.58%	3.76%	0.57%	0.33%
2005	12	2.47%	0.02%	2.33%	0.32%
2006	1	2.48%	2.65%	-0.90%	0.33%
2006	2	0.77%	0.26%	0.81%	0.37%
2006	3	-3.13%	1.23%	-3.39%	0.38%
2006	4	-1.20%	1.33%	-1.96%	0.38%
2006	5	-5.72%	-2.90%	-0.03%	0.39%
2006	6	0.36%	0.13%	0.71%	0.40%
2006	7	2.67%	0.61%	1.84%	0.41%
2006	8	6.65%	2.36%	2.74%	0.42%
2006	9	5.23%	2.56%	1.58%	0.41%
2006	10	5.60%	3.25%	0.77%	0.40%
2006	11	4.70%	1.89%	1.91%	0.42%
2006	12	-1.24%	1.39%	-2.14%	0.41%
2007	1	0.50%	1.49%	-0.85%	0.41%
2007	2	-0.22%	-1.97%	2.93%	0.42%
2007	3	-0.57%	1.11%	-1.13%	0.42%
2007	4	7.62%	4.42%	0.86%	0.41%
2007	5	2.37%	3.48%	-1.93%	0.40%
2007	6	-4.47%	-1.68%	-0.88%	0.39%
2007	7	-2.65%	-3.08%	2.39%	0.39%
2007	8	4.42%	1.50%	1.97%	0.40%
2007	9	5.56%	3.72%	0.21%	0.33%
2007	10	3.87%	1.58%	1.40%	0.31%
2007	11	-1.32%	-4.19%	4.59%	0.32%
2007	12	-2.26%	-0.70%	-0.48%	0.26%
2008	1	-6.91%	-6.02%	2.64%	0.28%
2008	2	-5.23%	-3.25%	0.35%	0.16%
2008	3	0.52%	-0.44%	1.02%	0.15%
2008	4	5.30%	4.85%	-1.84%	0.11%
2008	5	-0.78%	1.29%	-2.13%	0.12%
2008	6	-12.20%	-8.44%	1.80%	0.15%
2008	7	-1.29%	-0.83%	0.30%	0.16%
2008	8	4.59%	1.45%	1.80%	0.14%
2008	9	-14.19%	-8.91%	0.28%	0.14%
2008	10	-32.76%	-16.79%	-3.63%	0.08%
2008	11	8.58%	-7.17%	12.07%	0.04%
2008	12	19.55%	1.07%	8.87%	0.00%
2009	1	-25.33%	-8.41%	-8.47%	0.01%
2009	2	-23.29%	-10.66%	-1.01%	0.02%
2009	3	31.81%	8.76%	5.27%	0.02%
2009	4	9.00%	9.56%	-4.99%	0.02%
2009	5	6.15%	5.62%	-2.68%	0.01%
2009	6	1.10%	0.22%	0.70%	0.01%
2009	7	13.55%	7.58%	0.80%	0.02%
2009	8	7.61%	3.60%	1.68%	0.02%
2009	9	7.82%	3.72%	1.98%	0.01%
2009	10	-5.07%	-1.87%	-1.45%	0.01%
2009	11	12.86%	5.98%	1.91%	0.00%
2009	12	-4.06%	1.95%	-5.66%	0.01%
2010	1	-2.36%	-3.60%	2.66%	0.01%
2010	2	4.73%	3.09%	-0.21%	0.01%
2010	3	7.58%	6.01%	-1.51%	0.01%
2010	4	6.30%	1.58%	2.76%	0.01%
2010	5	-7.12%	-8.01%	4.23%	0.01%
2010	6	-1.38%	-5.24%	4.67%	0.01%
2010	7	11.28%	7.00%	-0.17%	0.02%
2010	8	1.36%	-4.53%	7.08%	0.01%
2010	9	10.97%	8.92%	-1.82%	0.01%
2010	10	1.78%	3.79%	-3.29%	0.01%
2010	11	-2.07%	0.00%	-1.60%	0.01%
2010	12	6.82%	6.67%	-3.58%	0.01%
2011	1	0.66%	2.36%	-2.38%	0.01%
2011	2	7.33%	3.42%	1.24%	0.01%
2011	3	0.04%	0.03%	0.02%	0.01%
2011	4	7.60%	2.95%	2.04%	0.01%
2011	5	2.40%	-1.15%	3.29%	0.00%
2011	6	-5.14%	-1.67%	-2.00%	0.01%
2011	7	2.26%	-2.05%	4.18%	0.00%
2011	8	3.32%	-5.45%	8.68%	0.01%
2011	9	4.51%	-7.04%	10.16%	0.00%
2011	10	13.50%	10.91%	-3.34%	0.00%
2011	11	1.71%	-0.23%	1.82%	0.00%
2011	12	5.21%	1.02%	3.13%	0.00%
2012	1	7.47%	4.46%	0.08%	0.00%
2012	2	4.24%	4.31%	-2.11%	0.01%
2012	3	0.81%	3.28%	-3.77%	0.01%
2012	4	4.83%	-0.64%	4.37%	0.01%
2012	5	1.04%	-6.02%	7.79%	0.01%
2012	6	3.89%	4.11%	-1.44%	0.01%
2012	7	6.73%	1.37%	3.32%	0.01%
2012	8	2.10%	2.24%	-1.06%	0.01%
2012	9	1.37%	2.58%	-2.10%	0.01%
2012	10	-3.67%	-1.86%	-0.43%	0.01%
2012	11	2.81%	0.56%	1.35%	0.01%
2012	12	-1.26%	0.90%	-1.99%	0.01%
2013	1	4.11%	5.18%	-3.27%	0.00%
2013	2	3.80%	1.34%	1.26%	0.01%
2013	3	6.11%	3.74%	0.03%	0.01%
2013	4	8.36%	1.91%	3.87%	0.01%
2013	5	-4.46%	2.33%	-6.23%	0.00%
2013	6	-6.39%	-1.35%	-3.26%	0.00%
2013	7	5.76%	5.07%	-1.93%	0.00%
2013	8	-6.38%	-2.91%	-1.28%	0.00%
2013	9	6.46%	3.12%	0.88%	0.00%
2013	10	9.35%	4.59%	1.32%	0.00%
2013	11	1.66%	3.03%	-2.49%	0.00%
2013	12	1.16%	2.51%	-2.37%	0.01%
2014	1	2.71%	-3.47%	6.26%	0.01%
2014	2	7.90%	4.56%	0.60%	0.00%
2014	3	2.05%	0.82%	0.63%	0.00%
2014	4	3.64%	0.72%	1.82%	0.00%
2014	5	7.36%	2.33%	2.73%	0.00%
2014	6	2.93%	2.05%	-0.16%	0.00%
2014	7	-1.50%	-1.39%	0.59%	0.00%
2014	8	12.40%	3.98%	4.23%	0.00%
2014	9	-4.70%	-1.41%	-1.99%	0.00%
2014	10	7.52%	2.42%	2.61%	0.00%
2014	11	7.90%	2.68%	2.86%	0.00%
2014	12	3.06%	-0.26%	2.82%	0.00%
2015	1	7.12%	-3.02%	8.97%	0.00%
2015	2	0.80%	5.74%	-5.66%	0.00%
2015	3	-1.05%	-1.59%	1.13%	0.00%
2015	4	-2.58%	0.95%	-3.07%	0.00%
2015	5	-0.73%	1.27%	-2.16%	0.00%
2015	6	-8.31%	-1.93%	-3.73%	0.00%
2015	7	9.11%	2.08%	4.21%	0.00%
2015	8	-10.27%	-6.05%	-0.71%	0.01%
2015	9	-1.30%	-2.48%	1.91%	0.01%
2015	10	13.25%	8.42%	-0.48%	0.00%
2015	11	-0.52%	0.29%	-0.81%	0.01%
2015	12	-2.97%	-1.59%	-0.34%	0.02%
2016	1	-1.17%	-4.98%	5.24%	0.01%
2016	2	3.83%	-0.15%	2.86%	0.03%
2016	3	10.36%	6.78%	0.05%	0.03%
2016	4	-0.27%	0.37%	-0.63%	0.02%
2016	5	3.85%	1.78%	0.69%	0.02%
2016	6	8.92%	0.25%	6.57%	0.03%
2016	7	8.73%	3.68%	2.01%	0.02%
2016	8	-1.10%	0.13%	-1.00%	0.02%
2016	9	-1.71%	0.01%	-1.32%	0.03%
2016	10	-8.78%	-1.83%	-4.23%	0.02%
2016	11	-4.63%	3.70%	-7.86%	0.03%
2016	12	3.21%	1.96%	-0.35%	0.04%
2017	1	3.90%	1.88%	0.65%	0.04%
2017	2	8.38%	3.96%	1.57%	0.04%
2017	3	-0.65%	0.10%	-0.59%	0.04%
2017	4	3.69%	1.02%	1.58%	0.06%
2017	5	4.40%	1.39%	1.73%	0.07%
2017	6	1.62%	0.61%	0.63%	0.08%
2017	7	2.40%	2.04%	-0.59%	0.08%
2017	8	4.60%	0.29%	3.27%	0.09%
2017	9	0.16%	2.06%	-2.27%	0.08%
2017	10	3.62%	2.32%	-0.02%	0.09%
2017	11	5.62%	3.06%	0.63%	0.09%
2017	12	3.77%	1.10%	1.78%	0.10%
2018	1	4.60%	5.71%	-3.40%	0.11%
2018	2	-9.98%	-3.69%	-2.89%	0.12%
2018	3	-1.14%	-2.56%	2.75%	0.14%
2018	4	-2.42%	0.37%	-2.04%	0.14%
2018	5	6.17%	2.39%	1.79%	0.15%
2018	6	1.54%	0.61%	0.66%	0.16%
2018	7	4.07%	3.71%	-1.28%	0.16%
2018	8	6.53%	3.25%	1.18%	0.17%
2018	9	-2.76%	0.55%	-2.74%	0.17%
2018	10	-15.46%	-6.85%	-2.82%	0.18%
2018	11	5.99%	2.03%	1.78%	0.19%
2018	12	-8.03%	-9.04%	5.50%	0.19%
2019	1	13.47%	8.00%	0.49%	0.20%
2019	2	3.11%	3.20%	-1.31%	0.20%
2019	3	8.94%	1.94%	5.47%	0.20%
2019	4	3.74%	4.04%	-1.88%	0.20%
2019	5	-2.42%	-6.36%	6.65%	0.20%
2019	6	12.16%	7.03%	1.01%	0.19%
2019	7	2.30%	1.43%	0.22%	0.17%
2019	8	11.17%	-1.59%	10.68%	0.17%
2019	9	-1.04%	1.86%	-2.62%	0.16%
2019	10	1.76%	2.15%	-1.10%	0.15%
2019	11	5.23%	3.62%	-0.39%	0.13%
2019	12	0.94%	3.01%	-3.00%	0.13%
2020	1	9.51%	-0.05%	7.29%	0.13%
2020	2	-3.94%	-8.24%	6.58%	0.13%
2020	3	-9.66%	-12.37%	5.67%	0.10%
2020	4	23.57%	12.81%	1.81%	0.01%
2020	5	5.29%	4.76%	-1.67%	0.01%
2020	6	3.36%	1.98%	0.40%	0.01%
2020	7	14.89%	5.63%	4.17%	0.01%
2020	8	5.11%	7.18%	-4.71%	0.01%
2020	9	-5.04%	-3.81%	0.78%	0.01%
2020	10	-8.74%	-2.67%	-3.19%	0.01%
2020	11	21.42%	10.94%	1.53%	0.01%
2020	12	5.02%	3.84%	-0.95%	0.01%

Portfolio return and risk metrics
Metric	Portfolio 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 Correlation	0.84
Beta^(*)	1.48
Alpha (annualized)	7.49%
R²	70.12%
Sharpe Ratio	0.78
Sortino Ratio	1.23
Treynor Ratio (%)	14.38
Calmar Ratio	1.90
Active Return	11.93%
Tracking Error	16.56%
Information Ratio	0.72
Skewness	-0.38
Excess Kurtosis	2.28
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 Rate	15.48%
Perpetual Withdrawal Rate	16.33%
Positive Periods	267 out of 408 (65.44%)
Gain/Loss Ratio	1.04
^* 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 Period	Start	End	Portfolio 1
Black Monday Period	Sep 1987	Nov 1987	-45.32%
Asian Crisis	Jul 1997	Jan 1998	-12.11%
Russian Debt Default	Jul 1998	Oct 1998	-21.20%
Dotcom Crash	Mar 2000	Oct 2002	-51.96%
Subprime Crisis	Nov 2007	Mar 2009	-65.25%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Nov 2007	Feb 2009	1 year 4 months	Dec 2010	1 year 10 months	3 years 2 months	-65.25%
2	Sep 2000	Sep 2002	2 years 1 month	Dec 2004	2 years 3 months	4 years 4 months	-51.96%
3	Sep 1987	Nov 1987	3 months	May 1989	1 year 6 months	1 year 9 months	-45.32%
4	Jan 1990	Sep 1990	9 months	Mar 1991	6 months	1 year 3 months	-33.22%
5	Feb 1994	Jun 1994	5 months	Apr 1995	10 months	1 year 3 months	-25.41%
6	Jul 1998	Aug 1998	2 months	Oct 1998	2 months	4 months	-21.20%
7	Sep 2018	Dec 2018	4 months	Mar 2019	3 months	7 months	-19.87%
8	Aug 2016	Nov 2016	4 months	Apr 2017	5 months	9 months	-15.44%
9	Mar 2015	Sep 2015	7 months	Mar 2016	6 months	1 year 1 month	-15.21%
10	Feb 1999	Sep 1999	8 months	Dec 1999	3 months	11 months	-13.90%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	US Mkt Correlation
VFINX	Vanguard 500 Index Investor	10.69%	15.15%	37.45%	-37.02%	-50.97%	0.55	0.79	0.99
VUSTX	Vanguard Long-Term Treasury Inv	7.77%	9.92%	30.09%	-13.03%	-16.68%	0.50	0.83	-0.15
CASHX	Cash	3.07%	0.72%	8.61%	0.03%	0.00%	N/A	N/A	-0.00

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	VFINX	VUSTX	CASHX	Portfolio 1
VFINX	Vanguard 500 Index Investor	1.00	-0.13	0.01	0.86
VUSTX	Vanguard Long-Term Treasury Inv	-0.13	1.00	0.04	0.39
CASHX	Cash	0.01	0.04	1.00	-0.02

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1
VFINX	Vanguard 500 Index Investor	$7,559,048
VUSTX	Vanguard Long-Term Treasury Inv	$3,257,966
CASHX	Cash	-$707,118

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1
VFINX	Vanguard 500 Index Investor	80.23%
VUSTX	Vanguard Long-Term Treasury Inv	19.64%
CASHX	Cash	0.13%

Annual Asset Returns

Rolling returns summary
Roll Period	Average	High	Low
1 year	25.67%	113.53%	-59.16%
3 years	22.87%	71.68%	-22.63%
5 years	22.30%	54.68%	-9.57%
7 years	21.80%	44.90%	-2.57%
10 years	20.97%	37.51%	-3.09%
15 years	18.40%	25.36%	9.98%