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 2010 - Dec 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 40.00%
TLT iShares 20+ Year Treasury Bond ETF 20.00%
SHY iShares 1-3 Year Treasury Bond ETF 20.00%
LTPZ PIMCO 15+ Year US TIPS ETF 10.00%
VNQ Vanguard Real Estate ETF 10.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 40.00%
TLT iShares 20+ Year Treasury Bond ETF 20.00%
SHY iShares 1-3 Year Treasury Bond ETF 20.00%
VNQ Vanguard Real Estate ETF 10.00%
TIP iShares TIPS Bond ETF 10.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$31,429 10.01% 6.67%20.62%-3.11%-6.71% 1.392.580.79
Portfolio 2$10,000$30,196 9.65% 6.40%19.71%-2.60%-6.92% 1.392.570.84
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Portfolio 17.49%15.14%15.14%16.42%11.35%9.70%10.01%8.36%7.58%
Portfolio 27.16%15.05%15.05%15.61%10.88%9.40%9.65%8.07%7.28%
Trailing return and volatility are as of last full calendar month ending December 2021
Notes on results:
  • IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
  • 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. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
  • Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
  • Hypothetical returns do not reflect trading costs, transaction fees, or actual taxes due on investment returns.
  • 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.
  • Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
  • 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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2SPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)iShares 1-3 Year Treasury Bond ETF (SHY)PIMCO 15+ Year US TIPS ETF (LTPZ)Vanguard Real Estate ETF (VNQ)iShares TIPS Bond ETF (TIP)
ReturnBalanceReturnBalance
20101.50%11.99%$11,19911.74%$11,17415.06%9.05%2.28%8.67%28.37%6.14%
20112.96%11.21%$12,45410.02%$12,2941.89%33.96%1.44%25.10%8.62%13.28%
20121.74%9.90%$13,6879.38%$13,44715.99%2.63%0.28%11.60%17.63%6.39%
20131.50%8.60%$14,8659.67%$14,74832.31%-13.37%0.21%-19.21%2.31%-8.49%
20140.76%15.94%$17,23414.33%$16,86113.46%27.30%0.45%19.68%30.36%3.59%
20150.73%-0.41%$17,1630.30%$16,9111.25%-1.79%0.43%-8.83%2.42%-1.75%
20162.07%6.98%$18,3606.53%$18,01512.00%1.18%0.82%9.16%8.60%4.68%
20172.11%11.97%$20,55811.35%$20,06021.70%9.18%0.26%9.06%4.91%2.92%
20181.91%-3.11%$19,919-2.60%$19,540-4.56%-1.61%1.46%-6.53%-6.02%-1.42%
20192.29%20.62%$24,02719.71%$23,39131.22%14.12%3.38%17.47%28.87%8.35%
20201.36%13.61%$27,29612.20%$26,24518.37%18.15%3.03%24.87%-4.68%10.84%
20217.04%15.14%$31,42915.05%$30,19628.74%-4.60%-0.72%6.56%40.52%5.67%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2SPDR S&P 500 ETF Trust (SPY)iShares 20+ Year Treasury Bond ETF (TLT)iShares 1-3 Year Treasury Bond ETF (SHY)PIMCO 15+ Year US TIPS ETF (LTPZ)Vanguard Real Estate ETF (VNQ)iShares TIPS Bond ETF (TIP)
ReturnBalanceReturnBalance
20101-1.10%$9,890-1.16%$9,884-3.63%2.69%0.80%2.13%-5.52%1.53%
201021.41%$10,0301.58%$10,0413.12%-0.34%0.16%-2.95%5.58%-1.30%
201032.97%$10,3282.95%$10,3376.09%-2.06%-0.27%0.20%10.18%-0.01%
201042.56%$10,5922.34%$10,5781.55%3.32%0.30%4.85%7.15%2.52%
20105-2.62%$10,315-2.70%$10,292-7.95%5.11%0.45%1.04%-5.33%0.19%
20106-1.02%$10,210-1.11%$10,178-5.17%5.80%0.42%2.09%-5.19%1.28%
201073.20%$10,5363.30%$10,5146.83%-0.95%0.19%-1.14%9.59%-0.24%
201080.50%$10,5890.21%$10,537-4.50%8.40%0.24%4.79%-1.28%1.94%
201093.18%$10,9263.24%$10,8788.96%-2.51%0.12%0.33%4.45%0.79%
2010101.50%$11,0901.27%$11,0163.82%-4.47%0.22%4.64%4.74%2.47%
201011-1.00%$10,979-0.77%$10,9310.00%-1.69%-0.20%-3.83%-1.85%-1.69%
2010122.01%$11,1992.22%$11,1746.68%-3.68%-0.16%-3.27%4.54%-1.38%
201110.41%$11,2450.67%$11,2492.33%-3.08%0.13%-2.61%3.25%0.02%
201122.42%$11,5162.26%$11,5033.47%1.65%-0.12%2.29%4.71%0.72%
20113-0.05%$11,511-0.07%$11,4950.01%0.03%-0.13%1.45%-1.62%1.19%
201142.70%$11,8222.57%$11,7912.90%2.34%0.53%3.67%5.75%2.38%
201150.43%$11,8730.43%$11,842-1.12%3.42%0.36%0.26%1.37%0.27%
20116-1.38%$11,710-1.43%$11,673-1.69%-2.33%-0.00%1.23%-3.30%0.75%
201171.02%$11,8290.66%$11,750-2.00%4.42%0.29%7.41%1.56%3.90%
20118-0.39%$11,783-0.68%$11,670-5.50%9.66%0.34%3.28%-5.62%0.64%
20119-0.61%$11,712-0.78%$11,579-6.94%13.20%-0.10%1.49%-10.85%-0.01%
2011104.50%$12,2394.39%$12,08810.91%-3.84%0.03%3.19%14.29%2.07%
2011110.04%$12,244-0.00%$12,088-0.41%1.98%0.04%0.85%-3.80%0.52%
2011121.72%$12,4541.70%$12,2941.04%3.44%0.05%0.42%4.85%0.16%
201212.79%$12,8012.67%$12,6224.64%-0.33%0.08%3.45%6.38%2.29%
201220.99%$12,9281.06%$12,7564.34%-2.59%-0.14%-1.26%-1.15%-0.58%
201230.79%$13,0300.99%$12,8823.22%-4.23%-0.08%-2.88%5.19%-0.86%
201241.30%$13,2001.08%$13,022-0.67%4.83%0.20%4.11%2.86%1.78%
20125-0.84%$13,089-1.16%$12,871-6.01%9.03%0.06%5.23%-4.51%1.95%
201261.71%$13,3131.77%$13,0994.05%-1.68%-0.10%-1.17%5.52%-0.67%
201271.92%$13,5691.66%$13,3171.18%3.82%0.22%4.28%2.00%1.75%
201280.60%$13,6500.74%$13,4152.51%-1.32%0.01%-1.52%-0.01%-0.25%
201290.38%$13,7010.41%$13,4702.54%-2.53%0.02%0.15%-1.86%0.51%
201210-0.76%$13,597-0.91%$13,347-1.82%-0.48%-0.07%2.08%-0.91%0.62%
2012110.55%$13,6710.54%$13,4190.57%1.38%0.05%0.62%-0.26%0.56%
2012120.12%$13,6870.21%$13,4470.90%-2.49%0.02%-1.65%3.72%-0.82%
201311.59%$13,9041.73%$13,6805.12%-3.19%0.01%-2.01%3.74%-0.52%
201320.90%$14,0290.92%$13,8061.28%1.24%0.06%-0.03%1.22%0.19%
201331.75%$14,2751.82%$14,0573.80%-0.42%0.03%-0.50%2.87%0.21%
201342.71%$14,6612.47%$14,4041.92%4.68%0.07%3.28%6.73%0.79%
20135-1.83%$14,393-1.36%$14,2082.36%-6.76%-0.13%-9.22%-5.98%-4.19%
20136-1.98%$14,107-1.74%$13,961-1.34%-3.27%-0.10%-6.70%-1.98%-3.80%
201372.01%$14,3902.07%$14,2495.17%-2.26%0.16%0.07%0.90%0.90%
20138-2.54%$14,026-2.47%$13,898-3.00%-1.34%-0.10%-2.61%-6.98%-1.83%
201392.10%$14,3192.07%$14,1863.17%0.66%0.22%2.01%3.49%1.76%
2013102.88%$14,7322.83%$14,5874.63%1.43%0.07%0.68%4.52%0.34%
2013110.15%$14,7540.32%$14,6342.96%-2.70%0.09%-3.29%-5.25%-1.06%
2013120.75%$14,8650.78%$14,7482.59%-1.87%-0.18%-2.12%0.10%-1.45%
201410.87%$14,9940.53%$14,826-3.52%6.30%0.20%5.53%4.28%2.10%
201422.39%$15,3532.43%$15,1874.55%0.52%0.04%0.08%5.07%0.44%
201430.57%$15,4400.46%$15,2560.83%0.73%-0.11%0.60%0.49%-0.53%
201441.37%$15,6521.21%$15,4410.70%2.10%0.11%2.90%3.29%1.32%
201452.30%$16,0112.02%$15,7522.32%2.95%0.18%4.66%2.40%2.00%
201460.92%$16,1580.90%$15,8952.06%-0.25%-0.08%0.55%1.13%0.37%
20147-0.27%$16,114-0.41%$15,830-1.34%0.67%-0.08%1.20%0.08%-0.09%
201483.20%$16,6302.98%$16,3013.95%4.72%0.19%2.90%3.04%0.61%
20149-2.28%$16,252-1.93%$15,987-1.38%-2.11%-0.07%-5.78%-6.04%-2.59%
2014102.90%$16,7232.72%$16,4232.36%2.81%0.26%2.74%9.94%0.90%
2014112.09%$17,0721.99%$16,7502.75%2.97%0.11%1.30%2.00%0.16%
2014120.95%$17,2340.67%$16,861-0.26%3.25%-0.29%1.86%1.88%-1.05%
201512.30%$17,6291.91%$17,184-2.96%9.82%0.63%7.07%6.85%3.23%
20152-0.07%$17,6180.24%$17,2265.62%-6.14%-0.29%-4.21%-3.67%-1.29%
20153-0.27%$17,570-0.23%$17,185-1.57%1.10%0.25%-0.86%1.74%-0.48%
20154-0.94%$17,405-0.84%$17,0410.98%-3.43%0.03%-0.34%-5.85%0.68%
20155-0.40%$17,336-0.08%$17,0281.29%-2.37%0.04%-4.20%-0.30%-1.01%
20156-2.40%$16,920-2.17%$16,658-2.03%-4.07%0.03%-3.34%-4.68%-1.02%
201572.59%$17,3592.40%$17,0592.26%4.55%0.04%2.41%5.77%0.54%
20158-3.46%$16,758-3.35%$16,488-6.10%-0.69%-0.05%-2.05%-6.29%-0.95%
20159-0.58%$16,661-0.32%$16,435-2.54%1.97%0.30%-3.19%3.05%-0.52%
2015103.99%$17,3253.78%$17,0578.51%-0.41%-0.14%2.12%5.76%0.30%
201511-0.14%$17,300-0.15%$17,0320.37%-0.87%-0.26%-0.06%-0.63%-0.14%
201512-0.79%$17,163-0.71%$16,911-1.72%-0.30%-0.15%-1.96%1.82%-1.01%
20161-0.83%$17,020-0.93%$16,753-4.98%5.57%0.65%2.60%-3.44%1.57%
201620.91%$17,1750.74%$16,877-0.08%3.09%0.11%2.87%-0.36%1.22%
201633.98%$17,8583.75%$17,5106.72%-0.09%0.14%3.88%10.48%1.67%
20164-0.21%$17,820-0.21%$17,4720.39%-0.74%0.04%0.21%-2.35%0.21%
201650.89%$17,9790.98%$17,6431.70%0.81%-0.12%-1.39%2.25%-0.64%
201662.96%$18,5102.63%$18,1070.35%6.93%0.60%5.41%6.92%2.25%
201672.66%$19,0032.38%$18,5373.65%2.10%-0.05%3.47%4.26%0.64%
20168-0.60%$18,888-0.65%$18,4160.12%-1.01%-0.23%0.10%-3.76%-0.34%
20169-0.49%$18,796-0.41%$18,3390.01%-1.51%0.13%-0.07%-1.82%0.75%
201610-2.44%$18,336-2.28%$17,921-1.73%-4.38%-0.05%-2.23%-5.74%-0.54%
201611-0.97%$18,159-0.71%$17,7943.68%-8.21%-0.47%-4.35%-1.68%-2.07%
2016121.11%$18,3601.24%$18,0152.03%-0.46%0.07%-1.24%4.82%-0.04%
201711.01%$18,5450.97%$18,1901.79%0.81%0.11%1.25%-0.19%0.89%
201722.42%$18,9932.30%$18,6083.93%1.59%0.04%1.63%3.51%0.41%
20173-0.37%$18,923-0.31%$18,5500.13%-0.65%0.06%-0.63%-2.42%0.00%
201740.88%$19,0900.82%$18,7030.99%1.57%0.19%1.07%0.24%0.45%
201750.90%$19,2620.90%$18,8711.41%1.89%0.07%0.00%-0.72%-0.04%
201760.47%$19,3530.54%$18,9720.64%0.79%-0.08%-1.53%2.23%-0.87%
201770.88%$19,5240.92%$19,1472.06%-0.66%0.19%0.09%1.24%0.46%
201781.08%$19,7350.91%$19,3210.29%3.41%0.20%2.84%-0.26%1.04%
201790.20%$19,7740.26%$19,3712.01%-2.32%-0.19%-1.29%-0.11%-0.70%
2017100.93%$19,9570.89%$19,5442.36%-0.04%-0.09%0.57%-1.07%0.24%
2017111.81%$20,3171.68%$19,8723.06%0.74%-0.22%1.43%2.66%0.09%
2017121.18%$20,5580.95%$20,0601.21%1.81%-0.02%3.40%-0.14%0.93%
201810.98%$20,7591.04%$20,2685.64%-3.26%-0.29%-1.40%-4.25%-0.85%
20182-3.22%$20,090-2.95%$19,670-3.64%-3.04%-0.10%-3.82%-7.68%-1.03%
201830.03%$20,095-0.09%$19,652-2.74%2.86%0.25%2.24%3.88%1.01%
20184-0.15%$20,065-0.19%$19,6150.52%-2.09%-0.23%0.28%0.82%-0.13%
201851.78%$20,4231.83%$19,9752.43%2.01%0.35%-0.16%3.68%0.33%
201860.96%$20,6190.84%$20,1420.58%0.65%0.04%1.84%4.20%0.65%
201871.18%$20,8611.23%$20,3903.70%-1.44%-0.06%-1.10%0.60%-0.53%
201881.97%$21,2731.97%$20,7913.19%1.31%0.35%0.65%2.58%0.65%
20189-0.85%$21,092-0.67%$20,6530.59%-2.86%-0.14%-2.89%-2.64%-0.97%
201810-4.26%$20,194-3.90%$19,847-6.91%-2.93%0.15%-5.28%-2.93%-1.52%
2018111.76%$20,5491.69%$20,1821.85%1.79%0.38%1.21%4.67%0.48%
201812-3.07%$19,919-3.18%$19,540-8.79%5.85%0.76%2.03%-7.96%0.53%
201914.78%$20,8704.66%$20,4508.01%0.38%0.25%2.61%11.85%1.42%
201921.07%$21,0941.15%$20,6843.24%-1.38%0.09%-0.95%0.70%-0.17%
201932.85%$21,6952.56%$21,2141.81%5.57%0.63%5.00%4.21%1.98%
201941.30%$21,9771.36%$21,5034.09%-1.99%0.18%-0.36%-0.16%0.22%
20195-0.83%$21,795-1.15%$21,255-6.38%6.84%0.72%5.05%0.14%1.75%
201963.24%$22,5013.35%$21,9676.96%0.95%0.46%-0.17%1.54%0.75%
201971.00%$22,7250.89%$22,1611.51%0.26%-0.06%1.46%1.70%0.32%
201982.81%$23,3642.21%$22,650-1.67%11.04%0.78%8.42%3.75%2.33%
201990.06%$23,3780.31%$22,7201.95%-2.68%-0.13%-3.31%1.93%-1.11%
2019100.75%$23,5540.86%$22,9162.21%-1.11%0.31%-1.04%1.13%-0.03%
2019111.42%$23,8881.31%$23,2173.62%-0.41%-0.05%1.45%-1.30%0.29%
2019120.58%$24,0270.75%$23,3912.90%-3.20%0.16%-1.34%0.76%0.35%
202012.47%$24,6201.97%$23,853-0.04%7.69%0.58%7.08%1.23%2.14%
20202-1.92%$24,146-2.14%$23,343-7.92%6.63%0.88%2.81%-7.03%0.92%
20203-4.88%$22,969-4.89%$22,202-12.46%6.38%1.24%-1.83%-19.42%-1.76%
202046.17%$24,3855.72%$23,47212.70%1.22%0.27%7.12%8.96%3.03%
202051.33%$24,7101.48%$23,8214.76%-1.76%-0.08%-0.63%1.73%0.65%
202061.06%$24,9731.05%$24,0711.78%0.34%0.02%1.13%2.41%0.99%
202074.30%$26,0473.83%$24,9935.89%4.44%0.09%6.67%3.64%2.33%
202081.37%$26,4051.60%$25,3936.98%-5.05%-0.02%-0.99%0.44%0.89%
20209-1.57%$25,989-1.60%$24,987-3.74%0.77%-0.00%-0.29%-2.68%-0.38%
202010-2.23%$25,410-2.08%$24,467-2.49%-3.39%-0.05%-2.13%-3.00%-0.68%
2020115.75%$26,8725.57%$25,82910.88%1.66%0.02%3.26%9.67%1.21%
2020121.58%$27,2961.61%$26,2453.71%-1.23%0.04%0.84%2.72%1.10%
20211-1.22%$26,962-1.10%$25,957-1.02%-3.63%0.02%-0.98%0.04%0.27%
20212-0.30%$26,8820.16%$25,9982.78%-5.73%-0.06%-6.26%3.43%-1.69%
202131.27%$27,2221.40%$26,3634.54%-5.24%-0.06%-1.84%5.15%-0.26%
202143.73%$28,2383.67%$27,3315.29%2.49%0.06%1.92%7.86%1.43%
202150.62%$28,4120.48%$27,4630.66%0.00%0.06%2.54%0.81%1.02%
202162.32%$29,0702.05%$28,0262.25%4.42%-0.17%3.58%2.64%0.72%
202172.64%$29,8382.48%$28,7212.44%3.72%0.17%4.36%4.42%2.68%
202181.45%$30,2711.45%$29,1392.98%-0.34%-0.03%-0.17%2.15%-0.16%
20219-3.41%$29,239-3.29%$28,179-4.66%-2.91%-0.10%-2.02%-5.68%-0.78%
2021104.43%$30,5364.31%$29,3947.02%2.46%-0.34%2.36%7.13%1.11%
2021110.26%$30,614-0.06%$29,375-0.80%2.77%-0.06%4.33%-2.11%0.87%
2021122.66%$31,4292.79%$30,1964.63%-2.01%-0.21%-0.90%9.69%0.40%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value20.41%21.08%
Large-cap Growth22.89%21.80%
Mid-cap Value5.23%4.53%
Mid-cap Growth0.00%0.73%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.20%0.85%
Emerging Markets1.74%0.57%
Corporate Bonds7.11%5.45%
Long-Term Treasuries25.41%20.69%
Intermediate-Term Treasuries13.78%14.93%
Short-Term Treasuries3.23%9.37%
R Squared97.37%97.83%
Style analysis is based on monthly returns from January 2010 to December 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
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
SPYSPDR S&P 500 ETF TrustLarge Blend40.00%1.15%1.20%0.09%0.09%25.14$13,57465.22%
TLTiShares 20+ Year Treasury Bond ETFLong Government20.00%1.74%1.50%0.15%0.15%19.24$2,8866.26%
SHYiShares 1-3 Year Treasury Bond ETFShort Government20.00%0.52%0.26%0.15%0.15%1.93$458-0.06%
LTPZPIMCO 15+ Year US TIPS ETFInflation-Protected Bond10.00%6.79%3.56%0.20%0.20%21.90$1,7048.04%
VNQVanguard Real Estate ETFReal Estate10.00%2.56%0.12%0.12%37.58$2,80720.54%
100.00%1.59%1.44%0.13%0.13%27.6312.85$21,429100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
SPYSPDR S&P 500 ETF TrustLarge Blend40.00%1.15%1.20%0.09%0.09%25.14$13,27671.60%
TLTiShares 20+ Year Treasury Bond ETFLong Government20.00%1.74%1.50%0.15%0.15%19.24$2,8563.61%
SHYiShares 1-3 Year Treasury Bond ETFShort Government20.00%0.52%0.26%0.15%0.15%1.93$451-0.18%
VNQVanguard Real Estate ETFReal Estate10.00%2.56%0.12%0.12%37.58$2,74821.69%
TIPiShares TIPS Bond ETFInflation-Protected Bond10.00%8.19%4.29%0.19%0.19%7.52$8663.28%
100.00%1.73%1.52%0.13%0.13%27.639.97$20,196100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 01/19/2022. (c) 2022 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 2
Arithmetic Mean (monthly)0.82%0.79%
Arithmetic Mean (annualized)10.25%9.87%
Geometric Mean (monthly)0.80%0.77%
Geometric Mean (annualized)10.01%9.65%
Standard Deviation (monthly)1.93%1.85%
Standard Deviation (annualized)6.67%6.40%
Downside Deviation (monthly)1.02%0.98%
Max. Drawdown-6.71%-6.92%
US Market Correlation0.790.84
Beta(*)0.370.37
Alpha (annualized)4.26%3.86%
R263.06%69.91%
Sharpe Ratio1.391.39
Sortino Ratio2.582.57
Treynor Ratio (%)25.1423.96
Calmar Ratio2.452.26
Active Return-4.88%-5.24%
Tracking Error9.91%9.65%
Information Ratio-0.49-0.54
Skewness-0.21-0.24
Excess Kurtosis0.500.53
Historical Value-at-Risk (5%)-2.52%-2.44%
Analytical Value-at-Risk (5%)-2.40%-2.30%
Conditional Value-at-Risk (5%)-3.43%-3.34%
Upside Capture Ratio (%)44.7044.43
Downside Capture Ratio (%)27.0929.16
Safe Withdrawal Rate13.13%12.89%
Perpetual Withdrawal Rate7.14%6.83%
Positive Periods100 out of 144 (69.44%)99 out of 144 (68.75%)
Gain/Loss Ratio1.281.32
* 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 2
COVID-19 StartJan 2020Mar 2020-6.71%-6.92%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsMay 20202 months4 months-6.71%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-6.36%
3Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-5.49%
4Aug 2016Nov 20164 monthsApr 20175 months9 months-4.44%
5May 2013Aug 20134 monthsOct 20132 months6 months-4.34%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-3.77%
7May 2010Jun 20102 monthsSep 20103 months5 months-3.61%
8Sep 2021Sep 20211 monthOct 20211 month2 months-3.41%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-3.34%
10Sep 2014Sep 20141 monthOct 20141 month2 months-2.28%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2020Mar 20202 monthsJun 20203 months5 months-6.92%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-6.02%
3Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-4.59%
4Aug 2016Nov 20164 monthsFeb 20173 months7 months-4.01%
5May 2010Jun 20102 monthsSep 20103 months5 months-3.78%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-3.65%
7May 2013Aug 20134 monthsOct 20132 months6 months-3.51%
8Sep 2021Sep 20211 monthOct 20211 month2 months-3.29%
9Feb 2018Apr 20183 monthsJul 20183 months6 months-3.22%
10Jun 2011Sep 20114 monthsOct 20111 month5 months-2.22%
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 Trust15.05%13.80%32.31%-4.56%-19.43%1.051.741.00
TLTiShares 20+ Year Treasury Bond ETF7.07%12.80%33.96%-13.37%-20.09%0.561.02-0.44
SHYiShares 1-3 Year Treasury Bond ETF1.10%0.91%3.38%-0.72%-0.90%0.691.41-0.39
LTPZPIMCO 15+ Year US TIPS ETF7.29%10.49%25.10%-19.21%-20.54%0.681.120.00
VNQVanguard Real Estate ETF12.57%16.49%40.52%-6.02%-25.08%0.771.230.71
TIPiShares TIPS Bond ETF4.02%4.40%13.28%-8.49%-9.24%0.801.330.11

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
SPDR S&P 500 ETF Trust11.07%28.74%28.74%25.99%18.36%16.45%0.09%0.09%
iShares 20+ Year Treasury Bond ETF3.18%-4.60%-4.60%8.75%6.68%4.51%0.15%0.15%
iShares 1-3 Year Treasury Bond ETF-0.60%-0.72%-0.72%1.88%1.47%0.95%0.15%0.15%
PIMCO 15+ Year US TIPS ETF5.83%6.56%6.56%16.05%9.77%5.52%0.20%0.20%
Vanguard Real Estate ETF15.03%40.52%40.52%19.96%11.22%11.50%0.12%0.12%
iShares TIPS Bond ETF2.39%5.67%5.67%8.26%5.18%2.93%0.19%0.19%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYTLTSHYLTPZVNQTIPPortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust1.00-0.43-0.390.010.700.110.800.84
TLTiShares 20+ Year Treasury Bond ETF-0.431.000.590.73-0.020.570.170.09
SHYiShares 1-3 Year Treasury Bond ETF-0.390.591.000.44-0.100.46-0.02-0.06
LTPZPIMCO 15+ Year US TIPS ETF0.010.730.441.000.340.920.520.44
VNQVanguard Real Estate ETF0.70-0.02-0.100.341.000.410.850.86
TIPiShares TIPS Bond ETF0.110.570.460.920.411.000.540.48

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust$13,574$13,276
TLTiShares 20+ Year Treasury Bond ETF$2,886$2,856
SHYiShares 1-3 Year Treasury Bond ETF$458$451
LTPZPIMCO 15+ Year US TIPS ETF$1,704
VNQVanguard Real Estate ETF$2,807$2,748
TIPiShares TIPS Bond ETF$866
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the holdings.

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust65.22%71.60%
TLTiShares 20+ Year Treasury Bond ETF6.26%3.61%
SHYiShares 1-3 Year Treasury Bond ETF-0.06%-0.18%
LTPZPIMCO 15+ Year US TIPS ETF8.04%
VNQVanguard Real Estate ETF20.54%21.69%
TIPiShares TIPS Bond ETF3.28%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the holdings.

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.76%20.62%-3.45%9.41%20.14%-2.60%
3 years8.92%16.42%4.47%8.62%15.61%4.52%
5 years8.50%12.25%5.51%8.23%11.69%5.26%
7 years8.47%9.57%6.94%8.20%9.30%6.75%
10 years9.26%9.89%8.32%8.91%9.58%7.94%