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 2007 - Feb 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 60.00%
TLT iShares 20+ Year Treasury Bond ETF 80.00%
IEF iShares 7-10 Year Treasury Bond ETF 30.00%
DBC Invesco DB Commodity Tracking 15.00%
^GOLD Gold Price Index 15.00%
CASHX Cash -100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 30.00%
TLT iShares 20+ Year Treasury Bond ETF 40.00%
IEF iShares 7-10 Year Treasury Bond ETF 15.00%
DBC Invesco DB Commodity Tracking 7.50%
^GOLD Gold Price Index 7.50%
Save portfolio »
Portfolio 3
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 60.00%
TLT iShares 20+ Year Treasury Bond ETF 40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$55,360 13.88% 14.68%34.73%-7.46%-23.97% 0.901.440.38
Portfolio 2$10,000$26,240 7.60% 7.28%18.49%-3.09%-11.90% 0.921.460.38
Portfolio 3$10,000$31,143 9.01% 8.71%24.38%-8.51%-24.64% 0.931.390.76
Vanguard 500 Index Investor$10,000$27,076 7.86% 14.71%32.18%-37.02%-50.97% 0.530.751.00
   
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from January to February
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)Invesco DB Commodity Tracking (DBC)Gold Price Index (^GOLD)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20074.08%19.15%11.98%7.20%5.39%$11,915$11,198$10,720$10,5395.14%10.29%10.37%31.59%31.92%4.56%
20080.09%4.74%3.16%-8.51%-37.02%$12,480$11,551$9,807$6,637-36.81%33.93%17.91%-31.77%4.32%1.53%
20092.72%2.42%1.29%7.10%26.49%$12,782$11,700$10,503$8,39526.36%-21.80%-6.59%16.19%25.04%0.16%
20101.50%25.11%12.63%12.65%14.91%$15,991$13,178$11,832$9,64715.06%9.05%9.37%11.90%29.24%0.14%
20112.96%33.87%16.97%14.72%1.97%$21,407$15,414$13,574$9,8371.89%33.96%15.64%-2.58%8.93%0.07%
20121.74%14.48%7.28%10.65%15.82%$24,508$16,537$15,019$11,39315.99%2.63%3.66%3.50%8.26%0.08%
20131.50%1.57%0.81%14.04%32.18%$24,891$16,671$17,127$15,05932.31%-13.37%-6.09%-7.63%-27.33%0.05%
20140.76%28.40%14.22%19.00%13.51%$31,961$19,041$20,380$17,09413.46%27.30%9.07%-28.10%0.12%0.03%
20150.73%-6.23%-3.09%0.04%1.25%$29,970$18,453$20,388$17,3071.25%-1.79%1.51%-27.59%-12.11%0.05%
20162.07%12.15%6.22%7.67%11.82%$33,613$19,601$21,952$19,35212.00%1.18%1.00%18.56%8.10%0.30%
20172.11%22.84%11.88%16.69%21.67%$41,291$21,930$25,616$23,54521.70%9.18%2.55%4.86%12.66%0.88%
20181.91%-7.46%-2.80%-3.38%-4.52%$38,209$21,315$24,751$22,480-4.56%-1.61%0.99%-11.62%-0.93%1.90%
20192.29%34.73%18.49%24.38%31.33%$51,481$25,256$30,786$29,52231.22%14.12%8.03%11.84%18.43%2.13%
20200.66%7.54%3.89%1.16%-8.29%$55,360$26,240$31,143$27,076-7.95%14.83%6.53%-14.67%6.28%0.25%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)Invesco DB Commodity Tracking (DBC)Gold Price Index (^GOLD)Cash (CASHX)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20071-0.35%0.03%0.50%1.49%$9,965$10,003$10,050$10,1491.50%-1.00%-0.40%-2.40%2.93%0.41%
200722.76%1.59%0.15%-1.97%$10,240$10,162$10,065$9,949-1.96%3.39%2.06%5.09%2.11%0.42%
20073-1.09%-0.34%-0.00%1.11%$10,129$10,127$10,065$10,0601.16%-1.70%-0.14%0.67%-0.37%0.42%
200743.58%2.01%3.02%4.42%$10,492$10,330$10,369$10,5054.43%0.90%0.61%0.75%2.30%0.41%
20075-0.98%-0.30%1.16%3.48%$10,389$10,299$10,489$10,8703.39%-2.31%-1.39%-0.23%-2.64%0.40%
20076-2.26%-0.96%-1.29%-1.68%$10,154$10,200$10,353$10,688-1.46%-1.01%-0.47%0.74%-1.30%0.39%
200771.49%0.94%-0.69%-3.08%$10,305$10,296$10,282$10,358-3.13%3.32%2.26%1.91%2.31%0.39%
200782.28%1.36%1.48%1.50%$10,540$10,436$10,435$10,5131.28%1.79%2.26%-1.91%0.98%0.40%
200795.12%2.79%2.43%3.72%$11,080$10,727$10,688$10,9053.87%0.23%0.09%9.42%10.57%0.33%
2007104.41%2.47%1.53%1.58%$11,569$10,991$10,852$11,0771.36%1.81%1.08%8.50%6.26%0.31%
2007112.23%1.35%-0.29%-4.19%$11,827$11,139$10,820$10,613-3.87%5.35%4.04%-0.62%-0.76%0.32%
2007120.75%0.52%-0.93%-0.70%$11,915$11,198$10,720$10,539-1.13%-0.64%0.05%6.72%6.41%0.26%
200810.83%0.55%-2.79%-6.02%$12,014$11,259$10,421$9,905-6.05%2.10%3.36%2.92%10.73%0.28%
200820.97%0.57%-1.69%-3.25%$12,131$11,323$10,244$9,583-2.58%-0.46%1.24%11.15%5.23%0.16%
200830.66%0.41%0.39%-0.44%$12,210$11,369$10,285$9,540-0.90%2.14%1.34%-0.91%-3.91%0.15%
20084-0.43%-0.16%1.63%4.85%$12,158$11,351$10,452$10,0044.77%-2.48%-2.41%6.04%-6.70%0.11%
20085-0.46%-0.18%-0.23%1.29%$12,101$11,331$10,428$10,1331.51%-2.69%-1.78%6.91%1.69%0.12%
200860.26%0.21%-3.89%-8.44%$12,132$11,354$10,022$9,278-8.35%2.65%1.14%10.43%5.02%0.15%
20087-2.94%-1.41%-0.67%-0.83%$11,775$11,195$9,955$9,201-0.90%-0.37%0.72%-9.78%-1.32%0.16%
200880.57%0.35%2.06%1.45%$11,843$11,234$10,160$9,3341.55%2.74%1.53%-6.53%-9.26%0.14%
20089-4.92%-2.38%-4.67%-8.91%$11,261$10,967$9,686$8,502-9.44%1.47%-0.14%-10.25%6.18%0.14%
200810-17.55%-8.49%-9.70%-16.79%$9,284$10,036$8,746$7,075-16.52%-1.86%-0.87%-25.08%-17.38%0.08%
20081114.54%6.39%3.80%-7.17%$10,634$10,677$9,078$6,567-6.96%14.34%7.75%-12.37%11.46%0.04%
20081217.36%8.19%8.03%1.07%$12,480$11,551$9,807$6,6370.98%13.64%5.15%-3.22%6.78%0.00%
20091-16.37%-8.18%-10.16%-8.41%$10,438$10,606$8,811$6,079-8.21%-13.07%-3.89%-4.44%5.72%0.01%
20092-8.93%-4.05%-7.18%-10.66%$9,506$10,176$8,179$5,431-10.74%-1.54%-0.74%-5.63%3.53%0.02%
2009310.26%4.45%6.58%8.76%$10,481$10,629$8,717$5,9078.35%4.04%3.31%4.66%-3.73%0.02%
20094-1.29%-0.58%3.17%9.56%$10,347$10,568$8,993$6,4719.93%-6.95%-2.75%-0.10%-3.63%0.02%
200955.13%2.33%2.40%5.62%$10,878$10,814$9,208$6,8355.85%-3.69%-2.08%16.27%10.44%0.01%
20096-0.99%-0.45%0.21%0.22%$10,770$10,765$9,228$6,850-0.07%0.76%-0.55%-2.63%-4.20%0.01%
200976.47%3.00%5.11%7.58%$11,467$11,088$9,699$7,3697.46%0.58%0.83%1.86%0.48%0.02%
200984.06%1.95%3.22%3.60%$11,932$11,305$10,011$7,6343.69%2.24%0.77%-4.04%1.76%0.02%
200995.27%2.58%3.19%3.72%$12,561$11,597$10,331$7,9183.55%2.46%1.12%-0.23%4.21%0.01%
200910-1.35%-0.67%-2.15%-1.87%$12,392$11,519$10,109$7,770-1.92%-2.62%-0.14%6.94%4.44%0.01%
2009118.85%4.41%4.58%5.98%$13,488$12,027$10,572$8,2356.16%1.21%2.02%4.54%13.05%0.00%
200912-5.24%-2.72%-0.65%1.95%$12,782$11,700$10,503$8,3951.91%-6.34%-4.40%-0.16%-7.51%0.01%
20101-0.62%-0.31%-1.10%-3.60%$12,703$11,664$10,387$8,093-3.63%2.69%2.37%-7.84%-0.83%0.01%
201022.62%1.31%1.68%3.09%$13,035$11,817$10,562$8,3433.12%-0.34%0.33%4.14%2.76%0.01%
201031.61%0.82%2.77%6.01%$13,245$11,914$10,855$8,8446.09%-2.06%-1.06%-0.47%0.65%0.01%
201045.38%2.74%2.24%1.58%$13,958$12,241$11,098$8,9841.55%3.32%1.65%3.91%5.71%0.01%
20105-1.00%-0.52%-2.83%-8.01%$13,818$12,177$10,784$8,265-7.95%5.11%2.93%-10.15%2.40%0.01%
201062.97%1.55%-0.52%-5.24%$14,228$12,366$10,728$7,832-5.17%5.80%3.05%-1.78%3.02%0.01%
201072.70%1.43%3.32%7.00%$14,613$12,543$11,084$8,3806.83%-0.95%0.91%6.12%-6.03%0.02%
201085.87%3.14%1.08%-4.53%$15,470$12,936$11,204$8,000-4.50%8.40%3.36%-3.01%6.59%0.01%
201093.82%2.10%3.64%8.92%$16,062$13,208$11,611$8,7148.96%-2.51%-0.00%8.60%4.90%0.01%
201010-0.59%-0.32%0.21%3.79%$15,967$13,165$11,635$9,0443.82%-4.47%-0.01%4.44%3.04%0.01%
201011-1.15%-0.63%-0.70%0.00%$15,784$13,082$11,553$9,0440.00%-1.69%-0.90%-0.44%2.73%0.01%
2010121.31%0.73%2.42%6.67%$15,991$13,178$11,832$9,6476.68%-3.68%-3.43%9.89%1.59%0.01%
20111-1.39%-0.69%0.17%2.36%$15,769$13,087$11,852$9,8742.33%-3.08%-0.02%3.56%-5.59%0.01%
201124.95%2.46%2.77%3.42%$16,550$13,410$12,180$10,2123.47%1.65%-0.21%4.17%6.33%0.01%
201130.68%0.35%0.02%0.03%$16,662$13,456$12,182$10,2140.01%0.03%-0.15%2.66%1.98%0.01%
201145.77%2.95%2.68%2.95%$17,623$13,853$12,509$10,5162.90%2.34%1.84%4.56%6.71%0.01%
201151.72%0.90%0.61%-1.15%$17,927$13,978$12,585$10,395-1.12%3.42%2.51%-5.17%0.07%0.00%
20116-3.77%-1.99%-1.94%-1.67%$17,251$13,700$12,341$10,221-1.69%-2.33%-0.51%-4.26%-2.02%0.01%
201174.95%2.57%0.51%-2.05%$18,104$14,052$12,404$10,012-2.00%4.42%3.17%4.56%8.17%0.00%
201187.23%3.84%0.66%-5.45%$19,413$14,592$12,485$9,467-5.50%9.66%4.65%-0.40%11.36%0.01%
201193.71%2.04%1.96%-7.04%$20,135$14,890$12,730$8,800-6.94%13.20%2.24%-14.62%-10.67%0.00%
2011102.89%1.61%3.67%10.91%$20,717$15,130$13,198$9,76010.91%-3.84%-1.29%7.65%6.30%0.00%
2011111.68%0.95%0.68%-0.23%$21,064$15,273$13,288$9,738-0.41%1.98%0.58%-0.29%1.39%0.00%
2011121.63%0.93%2.15%1.02%$21,407$15,414$13,574$9,8371.04%3.44%1.99%-2.89%-12.31%0.00%
201215.42%2.71%2.65%4.46%$22,567$15,832$13,933$10,2764.64%-0.33%0.86%3.69%13.91%0.00%
201221.33%0.69%1.65%4.31%$22,868$15,941$14,163$10,7184.34%-2.59%-1.10%5.35%1.49%0.01%
20123-2.82%-1.45%0.44%3.28%$22,224$15,709$14,226$11,0703.22%-4.23%-1.59%-1.77%-6.07%0.01%
201243.42%1.74%1.28%-0.64%$22,983$15,983$14,408$10,999-0.67%4.83%2.51%-1.35%-0.68%0.01%
201251.10%0.57%-0.48%-6.02%$23,235$16,075$14,338$10,337-6.01%9.03%2.87%-11.16%-5.65%0.01%
201261.54%0.81%1.74%4.11%$23,594$16,204$14,589$10,7624.05%-1.68%-0.42%2.02%2.60%0.01%
201274.95%2.60%2.21%1.37%$24,762$16,625$14,910$10,9101.18%3.82%1.40%5.83%1.47%0.01%
201281.38%0.74%1.00%2.24%$25,104$16,749$15,059$11,1542.51%-1.32%-0.12%5.65%1.63%0.01%
201290.54%0.29%0.58%2.58%$25,239$16,798$15,146$11,4412.54%-2.53%-0.35%-0.38%7.73%0.01%
201210-2.54%-1.37%-1.32%-1.86%$24,599$16,568$14,946$11,229-1.82%-0.48%-0.40%-3.91%-3.21%0.01%
2012111.92%1.03%0.87%0.56%$25,070$16,739$15,077$11,2920.57%1.38%0.98%1.96%0.41%0.01%
201212-2.24%-1.21%-0.38%0.90%$24,508$16,537$15,019$11,3930.90%-2.49%-0.94%-1.14%-3.97%0.01%
201310.57%0.29%1.80%5.18%$24,647$16,584$15,289$11,9835.12%-3.19%-1.29%2.48%0.44%0.00%
201320.68%0.34%1.26%1.34%$24,814$16,641$15,482$12,1441.28%1.24%1.13%-4.71%-4.58%0.01%
201332.33%1.18%2.19%3.74%$25,392$16,837$15,821$12,5983.80%-0.42%0.29%0.66%0.61%0.01%
201343.52%1.80%2.94%1.91%$26,287$17,139$16,287$12,8381.92%4.68%1.52%-3.81%-8.09%0.01%
20135-5.39%-2.79%-1.08%2.33%$24,871$16,662$16,112$13,1372.36%-6.76%-3.11%-1.56%-5.07%0.00%
20136-6.31%-3.17%-2.02%-1.35%$23,302$16,133$15,786$12,959-1.34%-3.27%-2.55%-2.82%-14.52%0.00%
201373.47%1.69%2.56%5.07%$24,111$16,406$16,190$13,6175.17%-2.26%-0.35%3.18%10.28%0.00%
20138-2.44%-1.21%-2.44%-2.91%$23,521$16,207$15,795$13,220-3.00%-1.34%-1.42%2.82%6.10%0.00%
201392.18%1.07%2.32%3.12%$24,033$16,380$16,161$13,6333.17%0.66%1.85%-3.38%-4.89%0.00%
2013104.63%2.29%3.57%4.59%$25,146$16,756$16,737$14,2584.63%1.43%0.78%-0.04%-0.19%0.00%
201311-0.74%-0.37%1.12%3.03%$24,959$16,693$16,925$14,6902.96%-2.70%-0.88%-0.93%-5.36%0.00%
201312-0.27%-0.14%1.19%2.51%$24,891$16,671$17,127$15,0592.59%-1.87%-2.09%0.59%-3.87%0.01%
201413.96%1.98%0.41%-3.47%$25,878$17,001$17,196$14,537-3.52%6.30%3.06%-3.04%3.86%0.01%
201424.67%2.38%2.84%4.56%$27,087$17,406$17,686$15,2004.55%0.52%0.36%5.02%6.04%0.00%
201430.47%0.25%0.79%0.82%$27,214$17,449$17,825$15,3250.83%0.73%-0.56%-0.04%-2.62%0.00%
201442.37%1.24%1.28%0.72%$27,858$17,665$18,052$15,4360.70%2.10%0.76%1.11%-0.25%0.00%
201453.47%1.83%2.58%2.33%$28,826$17,990$18,519$15,7962.32%2.95%1.82%-1.44%-2.95%0.00%
201461.83%0.99%1.10%2.05%$29,354$18,167$18,721$16,1212.06%-0.25%-0.22%2.11%5.16%0.00%
20147-1.22%-0.66%-0.51%-1.39%$28,996$18,047$18,625$15,897-1.34%0.67%-0.22%-4.74%-2.26%0.00%
201486.19%3.33%4.27%3.98%$30,792$18,649$19,421$16,5303.95%4.72%1.88%-1.15%0.04%0.00%
20149-4.18%-2.31%-1.69%-1.41%$29,504$18,218$19,093$16,296-1.38%-2.11%-1.05%-7.23%-5.39%0.00%
2014102.92%1.58%2.55%2.42%$30,365$18,506$19,580$16,6912.36%2.81%1.53%-3.88%-4.30%0.00%
2014113.44%1.89%2.84%2.68%$31,411$18,857$20,136$17,1392.75%2.97%1.29%-8.51%1.59%0.00%
2014121.75%0.98%1.22%-0.26%$31,961$19,041$20,380$17,094-0.26%3.25%0.13%-9.65%1.97%0.00%
201517.18%3.59%2.15%-3.02%$34,257$19,725$20,818$16,578-2.96%9.82%4.30%-5.69%4.50%0.00%
20152-2.65%-1.37%0.56%5.74%$33,348$19,455$20,936$17,5295.62%-6.14%-2.47%4.43%-3.67%0.00%
20153-0.99%-0.51%-0.50%-1.59%$33,017$19,356$20,830$17,250-1.57%1.10%0.86%-6.05%-2.22%0.00%
20154-1.50%-0.76%-0.82%0.95%$32,521$19,209$20,661$17,4140.98%-3.43%-0.63%7.15%-0.57%0.00%
20155-1.56%-0.78%-0.17%1.27%$32,015$19,058$20,626$17,6351.29%-2.37%-0.42%-3.17%0.94%0.00%
20156-4.96%-2.48%-2.82%-1.93%$30,427$18,585$20,044$17,294-2.03%-4.07%-1.63%1.64%-1.71%0.00%
201572.63%1.28%3.14%2.08%$31,228$18,824$20,673$17,6542.26%4.55%1.52%-12.61%-6.20%0.00%
20158-3.98%-1.96%-4.00%-6.04%$29,986$18,454$19,847$16,588-6.10%-0.69%0.08%-0.25%3.33%0.01%
20159-0.18%-0.08%-0.73%-2.49%$29,932$18,439$19,702$16,174-2.54%1.97%1.58%-3.44%-1.85%0.01%
2015105.01%2.43%4.83%8.42%$31,433$18,886$20,653$17,5378.51%-0.41%-0.64%0.33%2.54%0.00%
201511-2.46%-1.22%-0.12%0.29%$30,658$18,656$20,628$17,5870.37%-0.87%-0.43%-6.64%-7.04%0.01%
201512-2.25%-1.09%-1.17%-1.59%$29,970$18,453$20,388$17,307-1.72%-0.30%-0.45%-5.85%-0.18%0.02%
201612.54%1.28%-0.76%-4.98%$30,731$18,688$20,233$16,446-4.98%5.57%3.33%-4.34%4.89%0.01%
201624.59%2.33%1.27%-0.15%$32,140$19,125$20,489$16,422-0.08%3.09%1.49%-0.23%11.07%0.03%
201634.05%2.11%3.77%6.78%$33,441$19,528$21,262$17,5346.72%-0.09%-0.06%4.24%0.17%0.03%
201641.49%0.80%-0.08%0.37%$33,941$19,683$21,246$17,6000.39%-0.74%-0.16%9.71%3.93%0.02%
201650.70%0.38%1.33%1.78%$34,178$19,758$21,529$17,9141.70%0.81%-0.10%0.89%-5.72%0.02%
201668.28%4.43%3.06%0.25%$37,008$20,632$22,188$17,9590.35%6.93%3.09%4.35%8.96%0.03%
201672.74%1.52%2.99%3.68%$38,021$20,946$22,850$18,6193.65%2.10%0.25%-6.97%1.61%0.02%
20168-1.24%-0.68%-0.36%0.13%$37,550$20,803$22,768$18,6430.12%-1.01%-1.01%0.77%-2.44%0.02%
20169-0.38%-0.20%-0.63%0.01%$37,405$20,761$22,625$18,6440.01%-1.51%0.24%4.31%1.01%0.03%
201610-5.17%-2.86%-2.84%-1.83%$35,473$20,168$21,982$18,303-1.73%-4.38%-1.49%-0.33%-3.82%0.02%
201611-6.21%-3.35%-1.20%3.70%$33,272$19,492$21,718$18,9803.68%-8.21%-4.23%1.67%-7.38%0.03%
2016121.02%0.56%1.08%1.96%$33,613$19,601$21,952$19,3522.03%-0.46%-0.12%4.14%-2.73%0.04%
201712.54%1.29%1.40%1.88%$34,466$19,854$22,259$19,7171.79%0.81%0.22%-0.57%5.84%0.04%
201724.28%2.19%3.00%3.96%$35,940$20,288$22,926$20,4983.93%1.59%0.72%-0.19%3.53%0.04%
20173-1.03%-0.51%-0.18%0.10%$35,571$20,185$22,885$20,5180.13%-0.65%0.08%-3.24%-0.86%0.04%
201741.96%1.04%1.22%1.02%$36,269$20,394$23,164$20,7270.99%1.57%1.11%-2.70%1.74%0.06%
201752.27%1.21%1.60%1.39%$37,093$20,641$23,534$21,0161.41%1.89%0.83%-1.42%-0.02%0.07%
201760.36%0.23%0.70%0.61%$37,226$20,688$23,699$21,1450.64%0.79%-0.51%-0.96%-1.89%0.08%
201771.54%0.85%0.99%2.04%$37,800$20,864$23,933$21,5772.06%-0.66%0.38%4.08%2.04%0.08%
201783.61%1.95%1.50%0.29%$39,164$21,271$24,291$21,6400.29%3.41%1.46%0.40%3.49%0.09%
20179-1.11%-0.56%0.31%2.06%$38,728$21,152$24,365$22,0852.01%-2.32%-1.44%1.99%-2.18%0.08%
2017101.59%0.89%1.44%2.32%$39,346$21,341$24,716$22,5972.36%-0.04%-0.19%3.96%-1.01%0.09%
2017112.44%1.36%2.18%3.06%$40,306$21,631$25,255$23,2893.06%0.74%-0.28%0.94%0.79%0.09%
2017122.45%1.38%1.43%1.10%$41,291$21,930$25,616$23,5451.21%1.81%0.18%2.78%0.84%0.10%
201811.09%0.60%2.08%5.71%$41,740$22,061$26,149$24,8905.64%-3.26%-2.15%2.95%4.19%0.11%
20182-5.75%-2.83%-3.41%-3.69%$39,340$21,437$25,257$23,971-3.64%-3.04%-0.93%-2.92%-2.02%0.12%
201831.14%0.62%-0.61%-2.56%$39,786$21,570$25,103$23,358-2.74%2.86%1.16%2.29%0.46%0.14%
20184-1.47%-0.65%-0.51%0.37%$39,200$21,430$24,975$23,4450.52%-2.09%-1.28%3.42%-0.80%0.14%
201853.61%1.84%2.27%2.39%$40,613$21,823$25,541$24,0072.43%2.01%0.99%2.68%-0.60%0.15%
20186-0.21%-0.02%0.60%0.61%$40,530$21,818$25,695$24,1520.58%0.65%0.20%-1.94%-4.21%0.16%
201870.12%0.14%1.72%3.71%$40,579$21,849$26,136$25,0483.70%-1.44%-0.53%-2.43%-2.36%0.16%
201883.11%1.63%2.49%3.25%$41,841$22,204$26,787$25,8613.19%1.31%1.01%0.75%-1.52%0.17%
20189-1.96%-0.90%-0.69%0.55%$41,020$22,004$26,603$26,0040.59%-2.86%-1.20%3.39%-1.26%0.17%
201810-7.64%-3.72%-5.47%-6.85%$37,886$21,186$25,148$24,223-6.91%-2.93%-0.30%-5.62%2.33%0.18%
2018111.26%0.70%1.83%2.03%$38,364$21,335$25,608$24,7141.85%1.79%1.33%-9.85%0.21%0.19%
201812-0.40%-0.09%-3.35%-9.04%$38,209$21,315$24,751$22,480-8.79%5.85%2.80%-3.99%5.05%0.19%
201916.69%3.44%4.96%8.00%$40,764$22,049$25,978$24,2798.01%0.38%0.65%7.11%3.46%0.20%
201920.98%0.60%1.48%3.20%$41,164$22,182$26,361$25,0563.24%-1.38%-0.52%2.84%-0.31%0.20%
201935.45%2.92%3.21%1.94%$43,407$22,830$27,207$25,5411.81%5.57%2.66%-0.38%-1.80%0.20%
201940.71%0.47%1.78%4.04%$43,714$22,937$27,690$26,5734.09%-1.99%-0.52%1.19%-1.01%0.20%
201950.85%0.55%-1.54%-6.36%$44,087$23,063$27,264$24,882-6.38%6.84%3.05%-5.97%1.03%0.20%
201966.55%3.60%4.57%7.03%$46,975$23,892$28,511$26,6326.96%0.95%1.22%3.97%8.76%0.19%
201970.95%0.60%1.03%1.43%$47,419$24,036$28,804$27,0121.51%0.26%0.04%-1.14%1.32%0.17%
201988.10%4.56%3.17%-1.59%$51,258$25,131$29,717$26,582-1.67%11.04%3.95%-4.63%7.06%0.17%
20199-1.56%-0.82%0.05%1.86%$50,459$24,925$29,732$27,0761.95%-2.68%-1.19%1.42%-2.82%0.16%
2019100.78%0.51%0.89%2.15%$50,853$25,052$29,995$27,6602.21%-1.11%0.19%1.93%1.73%0.15%
2019110.98%0.61%2.05%3.62%$51,352$25,206$30,609$28,6613.62%-0.41%-0.69%-0.13%-3.36%0.13%
2019120.25%0.20%0.58%3.01%$51,481$25,256$30,786$29,5222.90%-3.20%-0.93%5.85%3.74%0.13%
202016.44%3.28%3.05%-0.05%$54,797$26,086$31,726$29,508-0.04%7.69%3.47%-8.59%4.58%0.13%
202021.03%0.59%-1.84%-8.24%$55,360$26,240$31,143$27,076-7.92%6.63%2.96%-6.65%1.62%0.13%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2Portfolio 3Vanguard 500 Index Investor
Large-cap Value7.11%27.48%47.04%
Large-cap Growth16.84%31.96%52.87%
Mid-cap Value3.22%0.00%0.00%
Mid-cap Growth0.00%0.14%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.47%0.00%0.00%
Emerging Markets6.53%0.00%0.00%
REITs0.00%0.00%0.00%
Corporate Bonds0.00%0.66%0.00%
Long-Term Treasuries33.07%39.47%0.04%
Intermediate-Term Treasuries31.77%0.29%0.05%
Short-Term Treasuries1.00%0.00%0.00%
R Squared93.50%99.92%99.93%
Style analysis is based on monthly returns from Jan 2007 to Feb 2020 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend0.09%30.00%$6,55623.99%
TLTiShares 20+ Year Treasury Bond ETFLong Government17.990.15%40.00%$7,46752.94%
IEFiShares 7-10 Year Treasury Bond ETFLong Government7.590.15%15.00%$1,6598.86%
DBCInvesco DB Commodity TrackingCommodities Broad Basket0.85%7.50%-$5615.02%
^GOLDGold Price IndexIndex7.50%$1,1199.18%

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
SPYSPDR S&P 500 ETF TrustLarge Blend0.09%60.00%$13,11978.48%
TLTiShares 20+ Year Treasury Bond ETFLong Government17.990.15%40.00%$8,02421.52%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 03/04/2020. (c) 2020 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.18%0.63%0.75%0.72%
Arithmetic Mean (annualized)15.10%7.89%9.43%9.04%
Geometric Mean (monthly)1.09%0.61%0.72%0.63%
Geometric Mean (annualized)13.88%7.60%9.01%7.86%
Volatility (monthly)4.24%2.10%2.52%4.25%
Volatility (annualized)14.68%7.28%8.71%14.71%
Downside Deviation (monthly)2.63%1.30%1.65%2.96%
Max. Drawdown-23.97%-11.90%-24.64%-50.97%
US Market Correlation0.380.380.761.00
Beta(*)0.390.190.461.00
Alpha (annualized)10.74%5.94%5.09%-0.00%
R215.50%15.11%59.15%100.00%
Sharpe Ratio0.900.920.930.53
Sortino Ratio1.441.461.390.75
Treynor Ratio (%)33.7034.8417.857.77
Calmar Ratio1.641.951.410.72
Active Return6.02%-0.26%1.15%N/A
Tracking Error16.18%13.65%9.76%N/A
Information Ratio0.37-0.020.12N/A
Skewness-0.54-0.67-1.11-0.78
Excess Kurtosis4.794.173.841.60
Historical Value-at-Risk (5%)-5.41%-2.83%-3.43%-8.02%
Analytical Value-at-Risk (5%)-5.64%-2.78%-3.39%-6.26%
Conditional Value-at-Risk (5%)-9.82%-4.83%-6.44%-10.07%
Upside Capture Ratio (%)59.2030.3856.29100.00
Downside Capture Ratio (%)10.632.8734.85100.00
Safe Withdrawal Rate15.02%10.90%10.74%8.82%
Perpetual Withdrawal Rate10.64%5.36%6.60%5.59%
Positive Periods105 out of 158 (66.46%)106 out of 158 (67.09%)106 out of 158 (67.09%)105 out of 158 (66.46%)
Gain/Loss Ratio1.111.131.090.77
* 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 2Portfolio 3Vanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-23.97%-11.90%-24.64%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2008Oct 20087 monthsDec 20082 months9 months-23.97%
2Jan 2009Feb 20092 monthsSep 20097 months9 months-23.83%
3Feb 2015Sep 20158 monthsJun 20169 months1 year 5 months-12.62%
4Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-12.49%
5May 2013Jun 20132 monthsFeb 20148 months10 months-11.35%
6Sep 2018Oct 20182 monthsMar 20195 months7 months-9.45%
7Feb 2018Apr 20183 monthsAug 20184 months7 months-6.09%
8Dec 2009Jan 20102 monthsApr 20103 months5 months-5.83%
9Sep 2014Sep 20141 monthNov 20142 months3 months-4.18%
10Jun 2011Jun 20111 monthJul 20111 month2 months-3.77%
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-11.90%
2Apr 2008Oct 20087 monthsDec 20082 months9 months-11.73%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-6.94%
4Feb 2015Sep 20158 monthsMay 20168 months1 year 4 months-6.52%
5May 2013Jun 20132 monthsFeb 20148 months10 months-5.87%
6Sep 2018Oct 20182 monthsMar 20195 months7 months-4.59%
7Dec 2009Jan 20102 monthsApr 20103 months5 months-3.02%
8Feb 2018Apr 20183 monthsAug 20184 months7 months-2.86%
9Sep 2014Sep 20141 monthNov 20142 months3 months-2.31%
10Jun 2011Jun 20111 monthJul 20111 month2 months-1.99%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20101 year 1 month2 years 5 months-24.64%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-7.60%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-5.89%
4Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.96%
5Feb 2018Apr 20183 monthsAug 20184 months7 months-4.49%
6May 2010Jun 20102 monthsAug 20102 months4 months-3.33%
7May 2013Jun 20132 monthsOct 20134 months6 months-3.08%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-1.97%
9Jun 2011Jun 20111 monthSep 20113 months4 months-1.94%
10Feb 2020Feb 20201 month-1.84%
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%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4Jan 2020Feb 20202 months-8.29%
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 2014Jan 20141 monthFeb 20141 month2 months-3.47%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust7.92%14.67%32.31%-36.81%-50.80%0.530.761.00
TLTiShares 20+ Year Treasury Bond ETF7.75%13.83%33.96%-21.80%-21.80%0.540.98-0.34
IEFiShares 7-10 Year Treasury Bond ETF5.39%6.37%17.91%-6.59%-7.60%0.721.30-0.33
DBCInvesco DB Commodity Tracking-3.88%19.02%31.59%-31.77%-71.07%-0.16-0.210.53
^GOLDGold Price Index7.36%17.87%31.92%-27.33%-41.55%0.440.670.03
CASHXCash0.91%0.37%4.56%0.03%0.00%N/AN/A-0.09

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYTLTIEFDBC^GOLDCASHXPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
SPYSPDR S&P 500 ETF Trust1.00-0.33-0.320.530.02-0.090.390.390.771.00
TLTiShares 20+ Year Treasury Bond ETF-0.331.000.91-0.350.210.040.670.680.34-0.33
IEFiShares 7-10 Year Treasury Bond ETF-0.320.911.00-0.270.320.090.660.660.28-0.32
DBCInvesco DB Commodity Tracking0.53-0.35-0.271.000.380.100.250.250.270.52
^GOLDGold Price Index0.020.210.320.381.000.090.480.490.160.02
CASHXCash-0.090.040.090.100.091.00-0.020.01-0.08-0.09

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust$20,139$6,556$13,119
TLTiShares 20+ Year Treasury Bond ETF$22,540$7,467$8,024
IEFiShares 7-10 Year Treasury Bond ETF$4,808$1,659
DBCInvesco DB Commodity Tracking-$2,256-$561
^GOLDGold Price Index$2,958$1,119
CASHXCash-$2,829

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF Trust24.44%23.99%78.48%
TLTiShares 20+ Year Treasury Bond ETF52.64%52.94%21.52%
IEFiShares 7-10 Year Treasury Bond ETF8.85%8.86%
DBCInvesco DB Commodity Tracking4.95%5.02%
^GOLDGold Price Index9.07%9.18%
CASHXCash0.04%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year14.29%34.73%-7.46%7.62%18.49%-3.09%9.40%24.38%-8.51%10.37%32.18%-37.02%
3 years13.00%24.23%6.94%6.96%12.22%3.72%9.33%14.51%1.65%10.14%20.22%-5.66%
5 years13.30%20.12%8.95%7.06%10.23%4.92%9.82%14.18%6.30%10.75%17.81%-0.33%
7 years13.07%15.14%8.63%6.94%7.88%4.74%10.16%11.67%7.99%11.60%14.67%6.02%
10 years13.23%14.95%11.84%7.06%8.00%6.32%9.58%11.35%8.18%10.39%13.40%6.82%
Result statistics are based on annualized rolling returns over full calendar year periods