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 3
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Asset 6
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Portfolio Analysis Results (Jan 2010 - Feb 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$26,882 9.26% 6.59%20.62%-3.11%-6.71% 1.302.390.79
Portfolio 2$10,000$25,998 8.93% 6.30%19.71%-2.60%-6.92% 1.312.380.83
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
Portfolio 10.04%-1.52%11.33%10.20%9.37%8.85%9.26%8.52%7.41%
Portfolio 20.66%-0.94%11.37%9.74%9.03%8.50%8.93%8.17%7.05%
Trailing annualized return and volatility are for full months ending in February 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 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 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%
20210.43%-1.52%$26,882-0.94%$25,9981.73%-9.16%-0.03%-7.18%3.46%-1.43%
Annual return for 2021 is from 01/01/2021 to 02/28/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnSPDR 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)
20101-1.10%-1.16%-3.63%2.69%0.80%2.13%-5.52%1.53%
201021.41%1.58%3.12%-0.34%0.16%-2.95%5.58%-1.30%
201032.97%2.95%6.09%-2.06%-0.27%0.20%10.18%-0.01%
201042.56%2.34%1.55%3.32%0.30%4.85%7.15%2.52%
20105-2.62%-2.70%-7.95%5.11%0.45%1.04%-5.33%0.19%
20106-1.02%-1.11%-5.17%5.80%0.42%2.09%-5.19%1.28%
201073.20%3.30%6.83%-0.95%0.19%-1.14%9.59%-0.24%
201080.50%0.21%-4.50%8.40%0.24%4.79%-1.28%1.94%
201093.18%3.24%8.96%-2.51%0.12%0.33%4.45%0.79%
2010101.50%1.27%3.82%-4.47%0.22%4.64%4.74%2.47%
201011-1.00%-0.77%0.00%-1.69%-0.20%-3.83%-1.85%-1.69%
2010122.01%2.22%6.68%-3.68%-0.16%-3.27%4.54%-1.38%
201110.41%0.67%2.33%-3.08%0.13%-2.61%3.25%0.02%
201122.42%2.26%3.47%1.65%-0.12%2.29%4.71%0.72%
20113-0.05%-0.07%0.01%0.03%-0.13%1.45%-1.62%1.19%
201142.70%2.57%2.90%2.34%0.53%3.67%5.75%2.38%
201150.43%0.43%-1.12%3.42%0.36%0.26%1.37%0.27%
20116-1.38%-1.43%-1.69%-2.33%-0.00%1.23%-3.30%0.75%
201171.02%0.66%-2.00%4.42%0.29%7.41%1.56%3.90%
20118-0.39%-0.68%-5.50%9.66%0.34%3.28%-5.62%0.64%
20119-0.61%-0.78%-6.94%13.20%-0.10%1.49%-10.85%-0.01%
2011104.50%4.39%10.91%-3.84%0.03%3.19%14.29%2.07%
2011110.04%-0.00%-0.41%1.98%0.04%0.85%-3.80%0.52%
2011121.72%1.70%1.04%3.44%0.05%0.42%4.85%0.16%
201212.79%2.67%4.64%-0.33%0.08%3.45%6.38%2.29%
201220.99%1.06%4.34%-2.59%-0.14%-1.26%-1.15%-0.58%
201230.79%0.99%3.22%-4.23%-0.08%-2.88%5.19%-0.86%
201241.30%1.08%-0.67%4.83%0.20%4.11%2.86%1.78%
20125-0.84%-1.16%-6.01%9.03%0.06%5.23%-4.51%1.95%
201261.71%1.77%4.05%-1.68%-0.10%-1.17%5.52%-0.67%
201271.92%1.66%1.18%3.82%0.22%4.28%2.00%1.75%
201280.60%0.74%2.51%-1.32%0.01%-1.52%-0.01%-0.25%
201290.38%0.41%2.54%-2.53%0.02%0.15%-1.86%0.51%
201210-0.76%-0.91%-1.82%-0.48%-0.07%2.08%-0.91%0.62%
2012110.55%0.54%0.57%1.38%0.05%0.62%-0.26%0.56%
2012120.12%0.21%0.90%-2.49%0.02%-1.65%3.72%-0.82%
201311.59%1.73%5.12%-3.19%0.01%-2.01%3.74%-0.52%
201320.90%0.92%1.28%1.24%0.06%-0.03%1.22%0.19%
201331.75%1.82%3.80%-0.42%0.03%-0.50%2.87%0.21%
201342.71%2.47%1.92%4.68%0.07%3.28%6.73%0.79%
20135-1.83%-1.36%2.36%-6.76%-0.13%-9.22%-5.98%-4.19%
20136-1.98%-1.74%-1.34%-3.27%-0.10%-6.70%-1.98%-3.80%
201372.01%2.07%5.17%-2.26%0.16%0.07%0.90%0.90%
20138-2.54%-2.47%-3.00%-1.34%-0.10%-2.61%-6.98%-1.83%
201392.10%2.07%3.17%0.66%0.22%2.01%3.49%1.76%
2013102.88%2.83%4.63%1.43%0.07%0.68%4.52%0.34%
2013110.15%0.32%2.96%-2.70%0.09%-3.29%-5.25%-1.06%
2013120.75%0.78%2.59%-1.87%-0.18%-2.12%0.10%-1.45%
201410.87%0.53%-3.52%6.30%0.20%5.53%4.28%2.10%
201422.39%2.43%4.55%0.52%0.04%0.08%5.07%0.44%
201430.57%0.46%0.83%0.73%-0.11%0.60%0.49%-0.53%
201441.37%1.21%0.70%2.10%0.11%2.90%3.29%1.32%
201452.30%2.02%2.32%2.95%0.18%4.66%2.40%2.00%
201460.92%0.90%2.06%-0.25%-0.08%0.55%1.13%0.37%
20147-0.27%-0.41%-1.34%0.67%-0.08%1.20%0.08%-0.09%
201483.20%2.98%3.95%4.72%0.19%2.90%3.04%0.61%
20149-2.28%-1.93%-1.38%-2.11%-0.07%-5.78%-6.04%-2.59%
2014102.90%2.72%2.36%2.81%0.26%2.74%9.94%0.90%
2014112.09%1.99%2.75%2.97%0.11%1.30%2.00%0.16%
2014120.95%0.67%-0.26%3.25%-0.29%1.86%1.88%-1.05%
201512.30%1.91%-2.96%9.82%0.63%7.07%6.85%3.23%
20152-0.07%0.24%5.62%-6.14%-0.29%-4.21%-3.67%-1.29%
20153-0.27%-0.23%-1.57%1.10%0.25%-0.86%1.74%-0.48%
20154-0.94%-0.84%0.98%-3.43%0.03%-0.34%-5.85%0.68%
20155-0.40%-0.08%1.29%-2.37%0.04%-4.20%-0.30%-1.01%
20156-2.40%-2.17%-2.03%-4.07%0.03%-3.34%-4.68%-1.02%
201572.59%2.40%2.26%4.55%0.04%2.41%5.77%0.54%
20158-3.46%-3.35%-6.10%-0.69%-0.05%-2.05%-6.29%-0.95%
20159-0.58%-0.32%-2.54%1.97%0.30%-3.19%3.05%-0.52%
2015103.99%3.78%8.51%-0.41%-0.14%2.12%5.76%0.30%
201511-0.14%-0.15%0.37%-0.87%-0.26%-0.06%-0.63%-0.14%
201512-0.79%-0.71%-1.72%-0.30%-0.15%-1.96%1.82%-1.01%
20161-0.83%-0.93%-4.98%5.57%0.65%2.60%-3.44%1.57%
201620.91%0.74%-0.08%3.09%0.11%2.87%-0.36%1.22%
201633.98%3.75%6.72%-0.09%0.14%3.88%10.48%1.67%
20164-0.21%-0.21%0.39%-0.74%0.04%0.21%-2.35%0.21%
201650.89%0.98%1.70%0.81%-0.12%-1.39%2.25%-0.64%
201662.96%2.63%0.35%6.93%0.60%5.41%6.92%2.25%
201672.66%2.38%3.65%2.10%-0.05%3.47%4.26%0.64%
20168-0.60%-0.65%0.12%-1.01%-0.23%0.10%-3.76%-0.34%
20169-0.49%-0.41%0.01%-1.51%0.13%-0.07%-1.82%0.75%
201610-2.44%-2.28%-1.73%-4.38%-0.05%-2.23%-5.74%-0.54%
201611-0.97%-0.71%3.68%-8.21%-0.47%-4.35%-1.68%-2.07%
2016121.11%1.24%2.03%-0.46%0.07%-1.24%4.82%-0.04%
201711.01%0.97%1.79%0.81%0.11%1.25%-0.19%0.89%
201722.42%2.30%3.93%1.59%0.04%1.63%3.51%0.41%
20173-0.37%-0.31%0.13%-0.65%0.06%-0.63%-2.42%0.00%
201740.88%0.82%0.99%1.57%0.19%1.07%0.24%0.45%
201750.90%0.90%1.41%1.89%0.07%0.00%-0.72%-0.04%
201760.47%0.54%0.64%0.79%-0.08%-1.53%2.23%-0.87%
201770.88%0.92%2.06%-0.66%0.19%0.09%1.24%0.46%
201781.08%0.91%0.29%3.41%0.20%2.84%-0.26%1.04%
201790.20%0.26%2.01%-2.32%-0.19%-1.29%-0.11%-0.70%
2017100.93%0.89%2.36%-0.04%-0.09%0.57%-1.07%0.24%
2017111.81%1.68%3.06%0.74%-0.22%1.43%2.66%0.09%
2017121.18%0.95%1.21%1.81%-0.02%3.40%-0.14%0.93%
201810.98%1.04%5.64%-3.26%-0.29%-1.40%-4.25%-0.85%
20182-3.22%-2.95%-3.64%-3.04%-0.10%-3.82%-7.68%-1.03%
201830.03%-0.09%-2.74%2.86%0.25%2.24%3.88%1.01%
20184-0.15%-0.19%0.52%-2.09%-0.23%0.28%0.82%-0.13%
201851.78%1.83%2.43%2.01%0.35%-0.16%3.68%0.33%
201860.96%0.84%0.58%0.65%0.04%1.84%4.20%0.65%
201871.18%1.23%3.70%-1.44%-0.06%-1.10%0.60%-0.53%
201881.97%1.97%3.19%1.31%0.35%0.65%2.58%0.65%
20189-0.85%-0.67%0.59%-2.86%-0.14%-2.89%-2.64%-0.97%
201810-4.26%-3.90%-6.91%-2.93%0.15%-5.28%-2.93%-1.52%
2018111.76%1.69%1.85%1.79%0.38%1.21%4.67%0.48%
201812-3.07%-3.18%-8.79%5.85%0.76%2.03%-7.96%0.53%
201914.78%4.66%8.01%0.38%0.25%2.61%11.85%1.42%
201921.07%1.15%3.24%-1.38%0.09%-0.95%0.70%-0.17%
201932.85%2.56%1.81%5.57%0.63%5.00%4.21%1.98%
201941.30%1.36%4.09%-1.99%0.18%-0.36%-0.16%0.22%
20195-0.83%-1.15%-6.38%6.84%0.72%5.05%0.14%1.75%
201963.24%3.35%6.96%0.95%0.46%-0.17%1.54%0.75%
201971.00%0.89%1.51%0.26%-0.06%1.46%1.70%0.32%
201982.81%2.21%-1.67%11.04%0.78%8.42%3.75%2.33%
201990.06%0.31%1.95%-2.68%-0.13%-3.31%1.93%-1.11%
2019100.75%0.86%2.21%-1.11%0.31%-1.04%1.13%-0.03%
2019111.42%1.31%3.62%-0.41%-0.05%1.45%-1.30%0.29%
2019120.58%0.75%2.90%-3.20%0.16%-1.34%0.76%0.35%
202012.47%1.97%-0.04%7.69%0.58%7.08%1.23%2.14%
20202-1.92%-2.14%-7.92%6.63%0.88%2.81%-7.03%0.92%
20203-4.88%-4.89%-12.46%6.38%1.24%-1.83%-19.42%-1.76%
202046.17%5.72%12.70%1.22%0.27%7.12%8.96%3.03%
202051.33%1.48%4.76%-1.76%-0.08%-0.63%1.73%0.65%
202061.06%1.05%1.78%0.34%0.02%1.13%2.41%0.99%
202074.30%3.83%5.89%4.44%0.09%6.67%3.64%2.33%
202081.37%1.60%6.98%-5.05%-0.02%-0.99%0.44%0.89%
20209-1.57%-1.60%-3.74%0.77%-0.00%-0.29%-2.68%-0.38%
202010-2.23%-2.08%-2.49%-3.39%-0.05%-2.13%-3.00%-0.68%
2020115.75%5.57%10.88%1.66%0.02%3.26%9.67%1.21%
2020121.58%1.61%3.71%-1.23%0.04%0.84%2.72%1.10%
20211-1.22%-1.10%-1.02%-3.63%0.02%-0.98%0.04%0.27%
20212-0.30%0.16%2.78%-5.73%-0.06%-6.26%3.43%-1.69%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value19.63%20.31%
Large-cap Growth22.24%21.06%
Mid-cap Value2.63%2.30%
Mid-cap Growth0.92%1.45%
Small-cap Value1.91%1.75%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.13%0.81%
Emerging Markets2.28%1.07%
Corporate Bonds8.10%6.49%
Long-Term Treasuries25.18%20.31%
Intermediate-Term Treasuries13.38%14.79%
Short-Term Treasuries3.58%9.66%
R Squared97.36%97.87%
Style analysis is based on monthly returns from January 2010 to February 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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend40.00%1.39%0.09%27.40$10,62565.57%
TLTiShares 20+ Year Treasury Bond ETFLong Government20.00%1.57%0.15%19.07$2,6385.67%
SHYiShares 1-3 Year Treasury Bond ETFShort Government20.00%0.94%0.15%1.89$4950.01%
LTPZPIMCO 15+ Year US TIPS ETFInflation-Protected Bond10.00%1.44%0.20%21.56$1,3298.28%
VNQVanguard Real Estate ETFReal Estate10.00%3.92%0.12%34.59$1,79620.47%
100.00%1.59%0.13%28.8412.70$16,882100.00%

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
TickerNameCategoryWeightYieldFeesP/EDurationReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETF TrustLarge Blend40.00%1.39%0.09%27.40$10,44172.34%
TLTiShares 20+ Year Treasury Bond ETFLong Government20.00%1.57%0.15%19.07$2,6162.86%
SHYiShares 1-3 Year Treasury Bond ETFShort Government20.00%0.94%0.15%1.89$486-0.12%
VNQVanguard Real Estate ETFReal Estate10.00%3.92%0.12%34.59$1,77521.62%
TIPiShares TIPS Bond ETFInflation-Protected Bond10.00%1.17%0.19%7.84$6803.30%
100.00%1.57%0.13%28.849.95$15,998100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/26/2021. (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 2
Arithmetic Mean (monthly)0.76%0.73%
Arithmetic Mean (annualized)9.49%9.15%
Geometric Mean (monthly)0.74%0.72%
Geometric Mean (annualized)9.26%8.93%
Volatility (monthly)1.90%1.82%
Volatility (annualized)6.59%6.30%
Downside Deviation (monthly)1.01%0.98%
Max. Drawdown-6.71%-6.92%
US Market Correlation0.790.83
Beta(*)0.360.36
Alpha (annualized)4.01%3.64%
R262.28%69.51%
Sharpe Ratio1.301.31
Sortino Ratio2.392.38
Treynor Ratio (%)23.9722.83
Calmar Ratio1.521.41
Active Return-4.77%-5.09%
Tracking Error10.19%9.93%
Information Ratio-0.47-0.51
Skewness-0.15-0.20
Excess Kurtosis0.600.64
Historical Value-at-Risk (5%)-2.48%-2.34%
Analytical Value-at-Risk (5%)-2.44%-2.32%
Conditional Value-at-Risk (5%)-3.43%-3.35%
Upside Capture Ratio (%)42.6342.49
Downside Capture Ratio (%)25.9928.02
Safe Withdrawal Rate13.88%13.65%
Perpetual Withdrawal Rate6.99%6.70%
Positive Periods91 out of 134 (67.91%)91 out of 134 (67.91%)
Gain/Loss Ratio1.301.30
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

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%
8Feb 2018Apr 20183 monthsJul 20183 months6 months-3.34%
9Sep 2014Sep 20141 monthOct 20141 month2 months-2.28%
10Jan 2021Feb 20212 months-1.52%
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%
8Feb 2018Apr 20183 monthsJul 20183 months6 months-3.22%
9Jun 2011Sep 20114 monthsOct 20111 month5 months-2.22%
10Sep 2014Sep 20141 monthOct 20141 month2 months-1.93%
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 Trust13.83%13.93%32.31%-4.56%-19.43%0.961.581.00
TLTiShares 20+ Year Treasury Bond ETF7.15%12.96%33.96%-13.37%-18.03%0.561.03-0.47
SHYiShares 1-3 Year Treasury Bond ETF1.25%0.92%3.38%-0.03%-0.90%0.801.69-0.39
LTPZPIMCO 15+ Year US TIPS ETF6.53%10.62%25.10%-19.21%-20.54%0.600.98-0.00
VNQVanguard Real Estate ETF10.50%16.43%30.36%-6.02%-25.08%0.661.020.70
TIPiShares TIPS Bond ETF3.68%4.46%13.28%-8.49%-9.24%0.711.150.10

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYTLTSHYLTPZVNQTIPPortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust1.00-0.46-0.39-0.000.690.090.790.84
TLTiShares 20+ Year Treasury Bond ETF-0.461.000.620.72-0.020.560.150.07
SHYiShares 1-3 Year Treasury Bond ETF-0.390.621.000.46-0.080.480.00-0.04
LTPZPIMCO 15+ Year US TIPS ETF-0.000.720.461.000.350.920.530.45
VNQVanguard Real Estate ETF0.69-0.02-0.080.351.000.400.840.85
TIPiShares TIPS Bond ETF0.090.560.480.920.401.000.540.48

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust$10,625$10,441
TLTiShares 20+ Year Treasury Bond ETF$2,638$2,616
SHYiShares 1-3 Year Treasury Bond ETF$495$486
LTPZPIMCO 15+ Year US TIPS ETF$1,329
VNQVanguard Real Estate ETF$1,796$1,775
TIPiShares TIPS Bond ETF$680

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF Trust65.57%72.34%
TLTiShares 20+ Year Treasury Bond ETF5.67%2.86%
SHYiShares 1-3 Year Treasury Bond ETF0.01%-0.12%
LTPZPIMCO 15+ Year US TIPS ETF8.28%
VNQVanguard Real Estate ETF20.47%21.62%
TIPiShares TIPS Bond ETF3.30%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.28%20.62%-3.45%8.89%19.71%-2.60%
3 years8.53%12.17%4.47%8.25%11.78%4.52%
5 years8.31%12.25%5.51%8.04%11.69%5.26%
7 years8.40%9.57%6.94%8.14%9.30%6.75%
10 years9.12%9.57%8.32%8.75%9.21%7.94%