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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Portfolio Analysis Results (Jan 2008 - Sep 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IAU iShares Gold Trust 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VEDTX Vanguard Extended Duration Trs Idx Instl 50.00%
TLT iShares 20+ Year Treasury Bond ETF 50.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
IAU iShares Gold Trust 50.00%
VEDTX Vanguard Extended Duration Trs Idx Instl 25.00%
TLT iShares 20+ Year Treasury Bond ETF 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$20,261 5.27% 17.71%29.46%-28.26%-42.59% 0.350.540.05
Portfolio 2$10,000$26,016 7.20% 17.64%44.88%-29.23%-29.69% 0.450.79-0.32
Portfolio 3$10,000$24,936 6.87% 13.96%27.22%-22.69%-25.66% 0.510.90-0.17
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-0.89%-7.86%-7.14%13.48%5.65%0.54%5.27%14.89%13.40%
Portfolio 20.52%-8.83%-11.81%10.50%3.55%4.98%7.20%16.57%14.69%
Portfolio 3-0.19%-8.34%-9.50%11.99%4.61%2.96%6.87%12.85%11.79%
Trailing annualized return and volatility are for full months ending in September 2021 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 2021 are based on monthly returns from January to September
  • 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
YearInflationPortfolio 1Portfolio 2Portfolio 3iShares Gold Trust (IAU)Vanguard Extended Duration Trs Idx Instl (VEDTX)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalanceReturnBalance
20080.09%5.11%$10,51144.73%$14,47324.92%$12,4925.11%55.52%33.93%
20092.72%23.90%$13,022-29.23%$10,243-2.66%$12,15923.90%-36.65%-21.80%
20101.50%29.46%$16,8599.66%$11,23319.56%$14,53729.46%10.28%9.05%
20112.96%9.57%$18,47244.88%$16,27327.22%$18,4959.57%55.79%33.96%
20121.74%6.89%$19,7452.94%$16,7524.92%$19,4046.89%3.25%2.63%
20131.50%-28.26%$14,166-17.13%$13,882-22.69%$15,001-28.26%-20.89%-13.37%
20140.76%-2.05%$13,87536.48%$18,94717.21%$17,583-2.05%45.66%27.30%
20150.73%-10.58%$12,408-3.11%$18,357-6.84%$16,380-10.58%-4.43%-1.79%
20162.07%8.31%$13,4381.36%$18,6074.83%$17,1718.31%1.53%1.18%
20172.11%12.91%$15,17311.35%$20,71912.13%$19,25412.91%13.52%9.18%
20181.91%-1.76%$14,906-2.55%$20,190-2.15%$18,839-1.76%-3.49%-1.61%
20192.29%17.98%$17,58616.64%$23,55017.31%$22,10017.98%19.16%14.12%
20201.36%25.03%$21,98921.16%$28,53523.10%$27,20625.03%24.18%18.15%
20215.31%-7.86%$20,261-8.83%$26,016-8.34%$24,936-7.86%-10.11%-7.55%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3iShares Gold Trust (IAU)Vanguard Extended Duration Trs Idx Instl (VEDTX)iShares 20+ Year Treasury Bond ETF (TLT)
ReturnBalanceReturnBalanceReturnBalance
2008110.98%$11,0981.40%$10,1406.19%$10,61910.98%0.71%2.10%
200825.31%$11,687-1.32%$10,0072.15%$10,8475.31%-2.19%-0.46%
20083-5.90%$10,9973.14%$10,321-1.73%$10,659-5.90%4.17%2.14%
20084-4.61%$10,490-2.98%$10,013-3.82%$10,252-4.61%-3.49%-2.48%
200851.13%$10,609-3.68%$9,645-1.22%$10,1271.13%-4.69%-2.69%
200864.30%$11,0653.90%$10,0214.11%$10,5434.30%5.21%2.65%
20087-1.22%$10,930-1.10%$9,911-1.16%$10,421-1.22%-1.84%-0.37%
20088-9.04%$9,9423.53%$10,261-3.06%$10,102-9.04%4.35%2.74%
200894.27%$10,3662.21%$10,4883.22%$10,4274.27%2.96%1.47%
200810-16.25%$8,682-1.33%$10,348-8.75%$9,515-16.25%-0.80%-1.86%
20081112.24%$9,74418.35%$12,24715.56%$10,99512.24%22.32%14.34%
2008127.87%$10,51118.17%$14,47313.61%$12,4927.87%22.38%13.64%
200915.42%$11,081-17.20%$11,984-5.89%$11,7565.42%-21.33%-13.07%
200921.42%$11,238-2.14%$11,727-0.15%$11,7391.42%-2.81%-1.54%
20093-2.45%$10,9634.31%$12,2320.47%$11,794-2.45%4.61%4.04%
20094-3.37%$10,593-9.01%$11,131-5.90%$11,098-3.37%-11.29%-6.95%
2009510.24%$11,677-4.65%$10,6133.79%$11,51910.24%-5.77%-3.69%
20096-5.22%$11,0671.16%$10,736-2.69%$11,210-5.22%1.63%0.76%
200972.47%$11,3400.61%$10,8011.70%$11,4002.47%0.64%0.58%
20098-0.05%$11,3342.74%$11,0971.09%$11,524-0.05%3.33%2.24%
200995.86%$11,9993.00%$11,4294.67%$12,0635.86%3.63%2.46%
2009103.78%$12,452-3.85%$10,9900.66%$12,1423.78%-5.26%-2.62%
20091112.73%$14,0380.86%$11,0848.09%$13,12512.73%0.44%1.21%
200912-7.23%$13,022-7.59%$10,243-7.36%$12,159-7.23%-9.08%-6.34%
20101-1.26%$12,8593.00%$10,5500.87%$12,265-1.26%3.30%2.69%
201023.24%$13,276-0.72%$10,4731.22%$12,4143.24%-1.11%-0.34%
20103-0.39%$13,224-2.84%$10,176-1.62%$12,213-0.39%-3.63%-2.06%
201045.86%$13,9994.41%$10,6255.14%$12,8415.86%5.52%3.32%
201053.01%$14,4206.78%$11,3454.86%$13,4653.01%8.45%5.11%
201062.36%$14,7607.12%$12,1534.74%$14,1042.36%8.40%5.80%
20107-5.01%$14,021-1.77%$11,938-3.35%$13,631-5.01%-2.55%-0.95%
201085.71%$14,82110.88%$13,2378.40%$14,7755.71%13.26%8.40%
201094.75%$15,525-3.62%$12,7570.30%$14,8194.75%-4.63%-2.51%
2010103.75%$16,107-6.61%$11,914-1.54%$14,5913.75%-8.62%-4.47%
2010112.11%$16,446-1.87%$11,6910.18%$14,6172.11%-2.04%-1.69%
2010122.51%$16,859-3.92%$11,233-0.55%$14,5372.51%-4.16%-3.68%
20111-6.40%$15,779-4.88%$10,685-5.64%$13,717-6.40%-6.67%-3.08%
201126.00%$16,7252.51%$10,9534.24%$14,2996.00%3.40%1.65%
201131.67%$17,0040.10%$10,9640.89%$14,4261.67%0.18%0.03%
201148.92%$18,5202.70%$11,2605.86%$15,2718.92%3.07%2.34%
20115-1.83%$18,1814.25%$11,7391.07%$15,435-1.83%5.09%3.42%
20116-2.33%$17,756-3.19%$11,364-2.76%$15,009-2.33%-4.05%-2.33%
201178.40%$19,2485.28%$11,9656.87%$16,0418.40%6.17%4.42%
2011812.29%$21,61312.89%$13,50812.58%$18,05912.29%16.12%9.66%
20119-11.17%$19,20018.42%$15,9963.15%$18,629-11.17%23.34%13.20%
2011105.94%$20,340-4.85%$15,220-0.06%$18,6185.94%-5.74%-3.84%
2011111.73%$20,6912.67%$15,6252.23%$19,0321.73%3.27%1.98%
201112-10.73%$18,4724.15%$16,273-2.82%$18,495-10.73%4.76%3.44%
2012111.49%$20,594-0.74%$16,1535.38%$19,48911.49%-1.15%-0.33%
20122-2.94%$19,988-3.09%$15,654-3.01%$18,901-2.94%-3.59%-2.59%
20123-1.27%$19,733-5.40%$14,808-3.22%$18,293-1.27%-6.60%-4.23%
20124-0.25%$19,6855.86%$15,6752.56%$18,762-0.25%6.93%4.83%
20125-6.28%$18,44811.60%$17,4932.21%$19,176-6.28%14.23%9.03%
201262.30%$18,872-2.05%$17,1340.04%$19,1842.30%-2.42%-1.68%
201271.03%$19,0664.78%$17,9522.93%$19,7461.03%5.72%3.82%
201284.83%$19,988-1.79%$17,6311.41%$20,0254.83%-2.25%-1.32%
201294.79%$20,946-3.24%$17,0590.77%$20,1804.79%-3.94%-2.53%
201210-2.95%$20,327-0.55%$16,966-1.80%$19,817-2.95%-0.61%-0.48%
201211-0.48%$20,2301.51%$17,2210.49%$19,914-0.48%1.63%1.38%
201212-2.40%$19,745-2.72%$16,752-2.56%$19,404-2.40%-2.96%-2.49%
20131-0.49%$19,648-4.27%$16,036-2.38%$18,942-0.49%-5.36%-3.19%
20132-5.12%$18,6421.34%$16,252-1.95%$18,572-5.12%1.45%1.24%
201330.98%$18,824-0.50%$16,1710.23%$18,6150.98%-0.58%-0.42%
20134-7.54%$17,4045.79%$17,107-0.83%$18,459-7.54%6.92%4.68%
20135-6.20%$16,325-8.22%$15,701-7.28%$17,115-6.20%-9.68%-6.76%
20136-10.92%$14,542-3.78%$15,107-7.13%$15,895-10.92%-4.31%-3.27%
201377.26%$15,597-2.98%$14,6561.62%$16,1527.26%-3.74%-2.26%
201385.21%$16,410-1.45%$14,4431.71%$16,4285.21%-1.57%-1.34%
20139-4.73%$15,6340.27%$14,483-2.18%$16,070-4.73%-0.13%0.66%
201310-0.31%$15,5851.75%$14,7360.77%$16,193-0.31%2.10%1.43%
201311-5.60%$14,712-3.36%$14,241-4.42%$15,476-5.60%-4.07%-2.70%
201312-3.71%$14,166-2.52%$13,882-3.07%$15,001-3.71%-3.22%-1.87%
201413.34%$14,6398.35%$15,0415.84%$15,8773.34%10.39%6.30%
201426.46%$15,5850.64%$15,1373.48%$16,4306.46%0.75%0.52%
20143-3.19%$15,0881.17%$15,314-1.02%$16,262-3.19%1.58%0.73%
201440.48%$15,1612.65%$15,7191.58%$16,5200.48%3.17%2.10%
20145-2.96%$14,7123.52%$16,2710.37%$16,580-2.96%4.05%2.95%
201466.18%$15,622-0.26%$16,2282.77%$17,0396.18%-0.28%-0.25%
20147-3.57%$15,0641.01%$16,393-1.21%$16,832-3.57%1.33%0.67%
201480.32%$15,1125.96%$17,3703.29%$17,3860.32%7.11%4.72%
20149-6.10%$14,190-2.56%$16,925-4.19%$16,658-6.10%-2.97%-2.11%
201410-2.99%$13,7663.46%$17,5100.55%$16,749-2.99%4.04%2.81%
201411-0.53%$13,6933.74%$18,1651.88%$17,064-0.53%4.44%2.97%
2014121.33%$13,8754.30%$18,9473.04%$17,5831.33%5.23%3.25%
201518.65%$15,07611.85%$21,19310.25%$19,3868.65%13.89%9.82%
20152-5.79%$14,203-7.54%$19,594-6.68%$18,091-5.79%-8.90%-6.14%
20153-2.22%$13,8871.31%$19,851-0.45%$18,010-2.22%1.52%1.10%
20154-0.09%$13,875-4.37%$18,982-2.28%$17,599-0.09%-5.31%-3.43%
201550.61%$13,960-3.09%$18,395-1.24%$17,3810.61%-3.82%-2.37%
20156-1.48%$13,754-5.05%$17,466-3.23%$16,819-1.48%-6.05%-4.07%
20157-6.70%$12,8325.61%$18,446-0.77%$16,689-6.70%6.71%4.55%
201583.78%$13,317-0.73%$18,3111.47%$16,9343.78%-0.77%-0.69%
20159-1.82%$13,0752.15%$18,7050.17%$16,964-1.82%2.34%1.97%
2015102.23%$13,366-0.25%$18,6590.96%$17,1262.23%-0.08%-0.41%
201511-6.72%$12,468-1.16%$18,442-3.91%$16,457-6.72%-1.46%-0.87%
201512-0.49%$12,408-0.46%$18,357-0.47%$16,380-0.49%-0.62%-0.30%
201615.38%$13,0756.58%$19,5665.98%$17,3595.38%7.59%5.57%
2016211.22%$14,5423.60%$20,2717.39%$18,64211.22%4.11%3.09%
20163-0.92%$14,409-0.19%$20,233-0.56%$18,537-0.92%-0.28%-0.09%
201645.05%$15,136-0.84%$20,0622.18%$18,9415.05%-0.95%-0.74%
20165-6.09%$14,2151.09%$20,280-2.70%$18,430-6.09%1.36%0.81%
201668.87%$15,4768.33%$21,9698.60%$20,0168.87%9.68%6.93%
201672.04%$15,7912.71%$22,5632.36%$20,4892.04%3.28%2.10%
20168-3.23%$15,282-1.25%$22,281-2.25%$20,027-3.23%-1.47%-1.01%
201690.71%$15,391-1.91%$21,855-0.59%$19,9090.71%-2.30%-1.51%
201610-2.92%$14,942-5.35%$20,685-4.11%$19,091-2.92%-6.27%-4.38%
201611-8.36%$13,693-9.67%$18,685-8.99%$17,374-8.36%-11.07%-8.21%
201612-1.86%$13,438-0.42%$18,607-1.17%$17,171-1.86%-0.38%-0.46%
201715.32%$14,1540.79%$18,7533.06%$17,6965.32%0.76%0.81%
201723.17%$14,6031.91%$19,1112.55%$18,1483.17%2.23%1.59%
20173-0.25%$14,566-0.91%$18,937-0.57%$18,044-0.25%-1.17%-0.65%
201741.67%$14,8091.73%$19,2641.70%$18,3501.67%1.89%1.57%
20175-0.08%$14,7972.36%$19,7191.10%$18,552-0.08%2.83%1.89%
20176-2.13%$14,4821.32%$19,979-0.44%$18,471-2.13%1.84%0.79%
201772.35%$14,821-0.98%$19,7820.68%$18,5972.35%-1.30%-0.66%
201784.09%$15,4284.11%$20,5944.10%$19,3594.09%4.79%3.41%
20179-3.22%$14,930-2.75%$20,028-2.99%$18,780-3.22%-3.17%-2.32%
201710-0.81%$14,809-0.03%$20,021-0.43%$18,700-0.81%-0.03%-0.04%
2017110.33%$14,8571.10%$20,2420.71%$18,8320.33%1.45%0.74%
2017122.12%$15,1732.36%$20,7192.24%$19,2542.12%2.89%1.81%
201813.28%$15,670-3.72%$19,948-0.22%$19,2113.28%-4.19%-3.26%
20182-2.01%$15,355-3.72%$19,206-2.83%$18,667-2.01%-4.40%-3.04%
201830.55%$15,4403.43%$19,8651.93%$19,0270.55%4.02%2.86%
20184-0.86%$15,306-2.27%$19,415-1.54%$18,733-0.86%-2.45%-2.09%
20185-1.27%$15,1122.23%$19,8470.41%$18,810-1.27%2.45%2.01%
20186-3.53%$14,5790.86%$20,017-1.38%$18,551-3.53%1.07%0.65%
20187-2.33%$14,239-1.72%$19,673-2.02%$18,176-2.33%-2.00%-1.44%
20188-2.04%$13,9481.43%$19,954-0.30%$18,121-2.04%1.54%1.31%
20189-0.61%$13,863-3.38%$19,280-2.03%$17,754-0.61%-3.90%-2.86%
2018102.10%$14,154-3.80%$18,548-0.88%$17,5992.10%-4.68%-2.93%
2018110.34%$14,2031.98%$18,9151.15%$17,8000.34%2.18%1.79%
2018124.95%$14,9066.74%$20,1905.84%$18,8394.95%7.66%5.85%
201912.85%$15,3310.37%$20,2641.61%$19,1422.85%0.35%0.38%
20192-0.47%$15,258-1.61%$19,938-1.04%$18,943-0.47%-1.85%-1.38%
20193-1.59%$15,0156.70%$21,2732.48%$19,413-1.59%7.82%5.57%
20194-0.73%$14,906-2.45%$20,752-1.61%$19,101-0.73%-2.90%-1.99%
201951.79%$15,1738.18%$22,4495.03%$20,0621.79%9.51%6.84%
201967.91%$16,3740.92%$22,6564.26%$20,9177.91%0.89%0.95%
201970.15%$16,3980.29%$22,7210.22%$20,9620.15%0.31%0.26%
201987.69%$17,65913.27%$25,73510.51%$23,1657.69%15.42%11.04%
20199-3.16%$17,101-3.07%$24,943-3.12%$22,444-3.16%-3.44%-2.68%
2019102.55%$17,538-1.50%$24,5700.45%$22,5452.55%-1.86%-1.11%
201911-3.32%$16,956-0.37%$24,479-1.82%$22,135-3.32%-0.34%-0.41%
2019123.72%$17,586-3.79%$23,550-0.16%$22,1003.72%-4.36%-3.20%
202014.62%$18,3998.97%$25,6646.80%$23,6034.62%10.26%7.69%
20202-0.66%$18,2787.73%$27,6493.62%$24,458-0.66%8.82%6.63%
202030.00%$18,2787.26%$29,6573.85%$25,4000.00%8.11%6.38%
202046.90%$19,5391.24%$30,0263.80%$26,3666.90%1.27%1.22%
202052.61%$20,049-2.25%$29,3520.01%$26,3702.61%-2.70%-1.76%
202062.78%$20,6060.48%$29,4921.58%$26,7862.78%0.61%0.34%
2020711.01%$22,8745.35%$31,0688.08%$28,95111.01%6.21%4.44%
20208-0.48%$22,765-5.95%$29,220-3.23%$28,015-0.48%-6.79%-5.05%
20209-4.16%$21,8190.96%$29,501-1.65%$27,552-4.16%1.14%0.77%
202010-0.56%$21,698-3.89%$28,352-2.23%$26,937-0.56%-4.37%-3.39%
202011-5.25%$20,5582.00%$28,919-1.67%$26,487-5.25%2.32%1.66%
2020126.96%$21,989-1.33%$28,5352.71%$27,2066.96%-1.43%-1.23%
20211-3.20%$21,286-4.29%$27,309-3.75%$26,186-3.20%-4.96%-3.63%
20212-6.32%$19,939-6.66%$25,492-6.49%$24,487-6.32%-7.59%-5.73%
20213-1.09%$19,721-5.93%$23,980-3.49%$23,631-1.09%-6.64%-5.24%
202143.63%$20,4372.80%$24,6513.23%$24,3943.63%3.12%2.49%
202157.60%$21,989-0.05%$24,6393.91%$25,3487.60%-0.10%0.00%
20216-7.03%$20,4435.04%$25,881-1.44%$24,984-7.03%5.70%4.42%
202172.52%$20,9584.21%$26,9723.36%$25,8232.52%4.72%3.72%
20218-0.09%$20,940-0.25%$26,903-0.17%$25,779-0.09%-0.16%-0.34%
20219-3.24%$20,261-3.30%$26,016-3.27%$24,936-3.24%-3.70%-2.91%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 2
Large-cap Value0.00%
Large-cap Growth0.00%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.00%
Corporate Bonds0.00%
Long-Term Treasuries100.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared95.32%
Style analysis is based on monthly returns from January 2008 to September 2021 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightFeesReturn ContributionRisk Contribution
IAUiShares Gold TrustCommodities Focused100.00%0.25%$10,261100.00%

Asset Allocation

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
VEDTXVanguard Extended Duration Trs Idx InstlLong Government50.00%2.02%0.06%24.68$9,42460.34%
TLTiShares 20+ Year Treasury Bond ETFLong Government50.00%1.50%0.15%18.96$6,59239.66%
100.00%1.76%0.10%21.82$16,016100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
IAUiShares Gold TrustCommodities Focused50.00%0.25%$6,05750.58%
VEDTXVanguard Extended Duration Trs Idx InstlLong Government25.00%2.02%0.06%24.68$5,26429.47%
TLTiShares 20+ Year Treasury Bond ETFLong Government25.00%1.50%0.15%18.96$3,61519.95%
100.00%0.88%0.18%21.82$14,936100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 10/21/2021. (c) 2021 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 3
Arithmetic Mean (monthly)0.56%0.71%0.63%
Arithmetic Mean (annualized)6.91%8.82%7.88%
Geometric Mean (monthly)0.43%0.58%0.56%
Geometric Mean (annualized)5.27%7.20%6.87%
Volatility (monthly)5.11%5.09%4.03%
Volatility (annualized)17.71%17.64%13.96%
Downside Deviation (monthly)3.26%2.87%2.25%
Max. Drawdown-42.59%-29.69%-25.66%
US Market Correlation0.05-0.32-0.17
Beta(*)0.05-0.35-0.15
Alpha (annualized)6.08%12.41%9.30%
R20.25%10.19%3.00%
Sharpe Ratio0.350.450.51
Sortino Ratio0.540.790.90
Treynor Ratio (%)112.48-22.86-47.39
Calmar Ratio0.980.460.65
Active Return-5.19%-3.26%-3.59%
Tracking Error23.42%27.53%23.18%
Information Ratio-0.22-0.12-0.15
Skewness-0.010.680.65
Excess Kurtosis0.252.331.47
Historical Value-at-Risk (5%)-6.97%-5.95%-5.84%
Analytical Value-at-Risk (5%)-7.85%-7.64%-5.93%
Conditional Value-at-Risk (5%)-9.81%-8.72%-7.16%
Upside Capture Ratio (%)7.25-8.480.22
Downside Capture Ratio (%)-19.07-64.73-43.66
Safe Withdrawal Rate10.32%11.53%11.77%
Perpetual Withdrawal Rate3.32%5.16%4.86%
Positive Periods82 out of 165 (49.70%)85 out of 165 (51.52%)89 out of 165 (53.94%)
Gain/Loss Ratio1.321.381.31
* 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 1Portfolio 2Portfolio 3
COVID-19 StartJan 2020Mar 2020-0.66%0.00%0.00%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2011Dec 20154 years 4 monthsJul 20204 years 7 months8 years 11 months-42.59%
2Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-25.72%
3Aug 2020Mar 20218 months-13.79%
4Dec 2009Jan 20102 monthsMay 20104 months6 months-8.40%
5Jan 2011Jan 20111 monthMar 20112 months3 months-6.40%
6Jul 2010Jul 20101 monthAug 20101 month2 months-5.01%
7May 2011Jun 20112 monthsJul 20111 month3 months-4.13%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Mar 20101 year 3 monthsSep 20111 year 6 months2 years 9 months-29.69%
2Aug 2020Mar 20218 months-22.82%
3Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-22.67%
4Aug 2016Oct 20182 years 3 monthsJun 20198 months2 years 11 months-17.80%
5Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-17.58%
6Jan 2012Mar 20123 monthsMay 20122 months5 months-9.01%
7Sep 2019Dec 20194 monthsFeb 20202 months6 months-8.49%
8Apr 2008May 20082 monthsSep 20084 months6 months-6.55%
9Oct 2011Oct 20111 monthDec 20112 months3 months-4.85%
10May 2020May 20201 monthJul 20202 months3 months-2.25%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct 2012Dec 20131 year 3 monthsJul 20162 years 7 months3 years 10 months-25.66%
2Aug 2020Mar 20218 months-18.37%
3Aug 2016Dec 20165 monthsJun 20192 years 6 months2 years 11 months-16.20%
4Mar 2008Oct 20088 monthsNov 20081 month9 months-12.28%
5Jan 2009Apr 20094 monthsNov 20097 months11 months-11.15%
6Oct 2010Jan 20114 monthsApr 20113 months7 months-7.44%
7Dec 2009Dec 20091 monthMay 20105 months6 months-7.36%
8Feb 2012Mar 20122 monthsJul 20124 months6 months-6.13%
9Sep 2019Dec 20194 monthsJan 20201 month5 months-4.60%
10Jul 2010Jul 20101 monthAug 20101 month2 months-3.35%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IAUiShares Gold Trust5.27%17.71%29.46%-28.26%-42.59%0.350.540.05
VEDTXVanguard Extended Duration Trs Idx Instl7.91%21.29%55.79%-36.65%-37.63%0.440.77-0.32
TLTiShares 20+ Year Treasury Bond ETF6.26%14.01%33.96%-21.80%-21.80%0.460.81-0.31

Monthly Correlations

Correlations for the portfolio assets
TickerNameIAUVEDTXTLTPortfolio 1Portfolio 2Portfolio 3
IAUiShares Gold Trust1.000.220.251.000.230.79
VEDTXVanguard Extended Duration Trs Idx Instl0.221.000.990.221.000.77
TLTiShares 20+ Year Treasury Bond ETF0.250.991.000.251.000.79

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IAUiShares Gold Trust$10,261$6,057
VEDTXVanguard Extended Duration Trs Idx Instl$9,424$5,264
TLTiShares 20+ Year Treasury Bond ETF$6,592$3,615

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IAUiShares Gold Trust100.00%50.58%
VEDTXVanguard Extended Duration Trs Idx Instl60.34%29.47%
TLTiShares 20+ Year Treasury Bond ETF39.66%19.95%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.75%45.83%-28.26%8.93%51.18%-29.23%8.14%42.07%-22.69%
3 years4.62%32.81%-14.90%7.98%18.46%-2.00%6.73%25.08%-6.16%
5 years1.95%14.58%-7.92%7.29%14.97%-0.83%5.05%14.18%-1.91%
7 years1.20%6.48%-6.07%7.65%11.33%2.70%4.89%8.98%-0.95%
10 years3.01%5.02%-0.32%7.83%11.29%3.39%5.91%7.82%2.96%