Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

Time Period

Start Year

First Month

End Year

Last Month

Calendar Aligned

Include YTD

Start Date

End Date

Initial Amount

$ .00

Cashflows

Contribution Amount

$ .00

Inflation Adjusted

Withdrawal Percentage

Frequency

Rebalancing

Absolute Deviation

Relative Deviation

Leverage Type

Leverage Ratio

Debt Amount

$ .00

Debt Interest

Maintenance Margin

Leveraged Benchmark

Reinvest Dividends

Display Income

Factor Regression

Equity Factor Model

Benchmark

Benchmark Ticker

Portfolio Names

Portfolio Name #1

Portfolio Name #2

Portfolio Name #3

Portfolio Assets

Portfolio #1

Portfolio #2

Portfolio #3

Asset 1

Select asset 1

Enter percentage allocation for asset 1 in portfolio 1 %

Enter percentage allocation for asset 1 in portfolio 2 %

Enter percentage allocation for asset 1 in portfolio 3 %

Asset 2

Select asset 2

Enter percentage allocation for asset 2 in portfolio 1 %

Enter percentage allocation for asset 2 in portfolio 2 %

Enter percentage allocation for asset 2 in portfolio 3 %

Asset 3

Select asset 3

Enter percentage allocation for asset 3 in portfolio 1 %

Enter percentage allocation for asset 3 in portfolio 2 %

Enter percentage allocation for asset 3 in portfolio 3 %

Asset 4

Select asset 4

Enter percentage allocation for asset 4 in portfolio 1 %

Enter percentage allocation for asset 4 in portfolio 2 %

Enter percentage allocation for asset 4 in portfolio 3 %

Asset 5

Select asset 5

Enter percentage allocation for asset 5 in portfolio 1 %

Enter percentage allocation for asset 5 in portfolio 2 %

Enter percentage allocation for asset 5 in portfolio 3 %

Asset 6

Select asset 6

Enter percentage allocation for asset 6 in portfolio 1 %

Enter percentage allocation for asset 6 in portfolio 2 %

Enter percentage allocation for asset 6 in portfolio 3 %

Asset 7

Select asset 7

Enter percentage allocation for asset 7 in portfolio 1 %

Enter percentage allocation for asset 7 in portfolio 2 %

Enter percentage allocation for asset 7 in portfolio 3 %

Asset 8

Select asset 8

Enter percentage allocation for asset 8 in portfolio 1 %

Enter percentage allocation for asset 8 in portfolio 2 %

Enter percentage allocation for asset 8 in portfolio 3 %

Asset 9

Select asset 9

Enter percentage allocation for asset 9 in portfolio 1 %

Enter percentage allocation for asset 9 in portfolio 2 %

Enter percentage allocation for asset 9 in portfolio 3 %

Asset 10

Select asset 10

Enter percentage allocation for asset 10 in portfolio 1 %

Enter percentage allocation for asset 10 in portfolio 2 %

Enter percentage allocation for asset 10 in portfolio 3 %

Total

Total allocation for portfolio 1 %

Total allocation for portfolio 2 %

Total allocation for portfolio 3 %

Portfolio Analysis Results (Jan 2016 - Dec 2021)

Note: The time period was constrained by the available data for Grayscale Bitcoin Trust (BTC) (GBTC) [Jun 2015 - Oct 2022].

Portfolio Allocations

Portfolio 1
Ticker	Name	Allocation
VT	Vanguard Total World Stock ETF	40.00%
TLT	iShares 20+ Year Treasury Bond ETF	20.00%
GLD	SPDR Gold Shares	20.00%
QQQ	Invesco QQQ Trust	10.00%
HQL	Tekla Life Sciences Investors	9.00%
GBTC	Grayscale Bitcoin Trust (BTC)	1.00%
Save portfolio »

Portfolio 2
Ticker	Name	Allocation
VT	Vanguard Total World Stock ETF	40.00%
VIRT	Virtu Financial, Inc.	20.00%
GLD	SPDR Gold Shares	20.00%
QQQ	Invesco QQQ Trust	10.00%
HQL	Tekla Life Sciences Investors	9.00%
GBTC	Grayscale Bitcoin Trust (BTC)	1.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
Portfolio	Initial Balance	Final Balance	CAGR	TWRR	MWRR	Stdev	Best Year	Worst Year	Max. Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
Portfolio 1	$10,000	$140,675	55.37%	13.80%	14.67%	9.77%	27.22%	-6.44%	-9.29% (-5.18%)	1.28	2.47	0.82
Portfolio 2	$10,000	$154,978	57.90%	15.88%	17.65%	11.96%	36.02%	0.40%	-10.38% (-5.62%)	1.22	2.46	0.65
Vanguard 500 Index Investor	$10,000	$163,218	59.27%	17.21%	19.24%	14.62%	31.33%	-4.52%	-19.63% (-17.18%)	1.10	1.76	1.00
^* The number in parentheses shows the calculated value taking into account the periodic contributions.

Trailing Returns

Trailing Returns
Name	Total Return			Annualized Return			Annualized Standard Deviation
Name	3 Month	Year To Date	1 year	3 year	5 year	Full	3 year	5 year
Portfolio 1	4.62%	9.04%	9.04%	20.40%	15.44%	13.80%	10.95%	9.97%
Portfolio 2	7.79%	14.57%	14.57%	20.88%	19.25%	15.88%	12.68%	12.18%
Vanguard 500 Index Investor	10.99%	28.53%	28.53%	25.91%	18.32%	17.21%	17.42%	15.39%
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, commissions, 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.
Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
Drawdown analysis is calculated based on monthly returns excluding cashflows.
The results assume quarterly rebalancing of portfolio assets to match the specified allocation.
Inflation adjusted monthly contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.

Annual returns for the configured portfolios
Year	Inflation	Cashflow	Portfolio 1		Portfolio 2		Vanguard 500 Index Investor		Vanguard Total World Stock ETF (VT)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)	Invesco QQQ Trust (QQQ)	Tekla Life Sciences Investors (HQL)	Grayscale Bitcoin Trust (BTC) (GBTC)	Virtu Financial, Inc. (VIRT)
Year	Inflation	Cashflow	Return	Balance	Return	Balance	Return	Balance	Vanguard Total World Stock ETF (VT)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)	Invesco QQQ Trust (QQQ)	Tekla Life Sciences Investors (HQL)	Grayscale Bitcoin Trust (BTC) (GBTC)	Virtu Financial, Inc. (VIRT)
2016	2.07%	$12,177	5.97%	$22,814	0.40%	$22,328	11.82%	$24,276	8.51%	1.18%	8.03%	7.10%	-19.53%	93.10%	-25.50%
2017	2.11%	$12,436	25.55%	$42,246	28.38%	$42,502	21.67%	$43,170	24.49%	9.18%	12.81%	32.66%	25.44%	1,557.21%	21.40%
2018	1.91%	$12,740	-6.44%	$51,576	6.34%	$57,417	-4.52%	$52,998	-9.76%	-1.61%	-1.94%	-0.12%	-14.41%	-82.10%	45.91%
2019	2.29%	$12,971	25.81%	$79,055	13.35%	$78,574	31.33%	$84,024	26.82%	14.12%	17.86%	38.96%	25.51%	106.56%	-34.95%
2020	1.36%	$13,131	27.22%	$115,810	36.02%	$122,578	18.25%	$114,953	16.61%	18.15%	24.81%	48.40%	23.80%	290.72%	64.23%
2021	7.04%	$13,748	9.04%	$140,675	14.57%	$154,978	28.53%	$163,218	18.27%	-4.60%	-4.15%	27.42%	5.70%	7.03%	18.60%

Monthly returns for the configured portfolios
Year	Month	Portfolio 1		Portfolio 2		Vanguard 500 Index Investor		Vanguard Total World Stock ETF (VT)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)	Invesco QQQ Trust (QQQ)	Tekla Life Sciences Investors (HQL)	Grayscale Bitcoin Trust (BTC) (GBTC)	Virtu Financial, Inc. (VIRT)
Year	Month	Return	Balance	Return	Balance	Return	Balance	Vanguard Total World Stock ETF (VT)	iShares 20+ Year Treasury Bond ETF (TLT)	SPDR Gold Shares (GLD)	Invesco QQQ Trust (QQQ)	Tekla Life Sciences Investors (HQL)	Grayscale Bitcoin Trust (BTC) (GBTC)	Virtu Financial, Inc. (VIRT)
2016	1	-3.24%	$10,677	-4.31%	$10,571	-4.98%	$10,504	-5.87%	5.57%	5.41%	-6.91%	-23.18%	-31.75%	0.27%
2016	2	2.41%	$11,937	1.62%	$11,745	-0.15%	$11,491	-1.11%	3.09%	10.93%	-1.57%	-3.93%	30.23%	-0.63%
2016	3	3.77%	$13,393	3.67%	$13,183	6.78%	$13,277	7.98%	-0.09%	-0.84%	6.85%	5.65%	-2.86%	-0.90%
2016	4	1.63%	$14,622	0.63%	$14,278	0.37%	$14,338	1.01%	-0.74%	5.11%	-3.19%	3.90%	31.80%	-5.70%
2016	5	0.12%	$15,656	-2.55%	$14,930	1.78%	$15,609	0.65%	0.81%	-6.14%	4.37%	4.81%	8.93%	-13.41%
2016	6	2.96%	$17,138	1.83%	$16,222	0.25%	$16,667	-0.18%	6.93%	8.97%	-2.27%	-6.19%	53.07%	1.07%
2016	7	3.97%	$18,836	2.66%	$17,672	3.68%	$18,297	4.15%	2.10%	1.98%	7.15%	10.94%	-20.54%	-4.44%
2016	8	-0.91%	$19,684	-1.43%	$18,438	0.13%	$19,339	0.35%	-1.01%	-3.26%	1.05%	-2.20%	-13.68%	-3.82%
2016	9	0.49%	$20,802	-0.69%	$19,332	0.01%	$20,361	0.79%	-1.51%	0.69%	2.21%	0.43%	9.76%	-8.22%
2016	10	-3.15%	$21,168	-5.18%	$19,353	-1.83%	$21,010	-1.97%	-4.38%	-2.94%	-1.46%	-10.57%	19.89%	-14.50%
2016	11	-2.25%	$21,712	1.18%	$20,601	3.70%	$22,808	1.19%	-8.21%	-8.36%	0.44%	7.58%	-8.71%	10.07%
2016	12	0.37%	$22,814	3.43%	$22,328	1.96%	$24,276	1.81%	-0.46%	-1.91%	1.13%	-3.63%	23.50%	15.16%
2017	1	3.32%	$24,598	5.16%	$24,507	1.88%	$25,760	3.00%	0.81%	5.42%	5.14%	5.18%	-10.81%	10.03%
2017	2	3.18%	$26,411	2.87%	$26,240	3.96%	$27,811	2.69%	1.59%	3.18%	4.38%	7.15%	6.00%	0.22%
2017	3	0.90%	$27,679	0.60%	$27,428	0.10%	$28,869	1.48%	-0.65%	-0.43%	2.03%	3.25%	0.97%	-2.02%
2017	4	2.28%	$29,345	0.09%	$28,486	1.02%	$30,197	1.63%	1.57%	1.73%	2.73%	5.72%	18.59%	-9.41%
2017	5	4.28%	$31,635	5.33%	$31,039	1.39%	$31,653	1.95%	1.89%	-0.12%	3.90%	-1.65%	251.53%	7.42%
2017	6	-0.52%	$32,506	0.85%	$32,337	0.61%	$32,882	0.63%	0.79%	-2.16%	-2.32%	5.52%	-19.43%	8.28%
2017	7	2.18%	$34,250	1.07%	$33,717	2.04%	$34,588	2.65%	-0.66%	2.31%	4.06%	3.41%	7.69%	-6.23%
2017	8	3.60%	$36,522	4.82%	$36,379	0.29%	$35,728	0.42%	3.41%	4.20%	2.07%	2.79%	139.29%	9.93%
2017	9	-1.17%	$37,138	-2.62%	$36,470	2.06%	$37,507	2.11%	-2.32%	-3.37%	-0.29%	-1.10%	-30.15%	-9.75%
2017	10	0.85%	$38,496	-1.67%	$36,902	2.32%	$39,419	2.11%	-0.04%	-0.75%	4.61%	-5.31%	18.00%	-12.65%
2017	11	1.75%	$40,214	4.65%	$39,661	3.06%	$41,668	1.90%	0.74%	0.36%	1.97%	-4.91%	83.62%	16.89%
2017	12	2.46%	$42,246	4.54%	$42,502	1.10%	$43,170	1.60%	1.81%	2.11%	0.60%	3.81%	32.54%	12.27%
2018	1	3.14%	$44,620	4.66%	$45,532	5.71%	$46,684	5.48%	-3.26%	3.23%	8.76%	4.13%	-29.63%	4.37%
2018	2	-3.19%	$44,250	8.74%	$50,564	-3.69%	$46,012	-4.44%	-3.04%	-2.08%	-1.29%	-3.81%	14.37%	56.75%
2018	3	-0.65%	$45,019	2.15%	$52,709	-2.56%	$45,891	-1.29%	2.86%	0.63%	-4.08%	-0.26%	-41.17%	11.11%
2018	4	-0.18%	$45,998	2.06%	$54,853	0.37%	$47,121	0.42%	-2.09%	-0.95%	0.51%	-3.33%	51.10%	9.09%
2018	5	0.88%	$47,467	-2.32%	$54,645	2.39%	$49,313	0.57%	2.01%	-1.20%	5.67%	3.07%	-22.52%	-13.08%
2018	6	-0.84%	$48,134	-3.74%	$53,669	0.61%	$50,677	-0.60%	0.65%	-3.61%	1.15%	2.35%	-30.54%	-14.49%
2018	7	1.32%	$49,836	-3.21%	$53,011	3.71%	$53,622	2.88%	-1.44%	-2.24%	2.80%	4.52%	22.16%	-24.11%
2018	8	1.26%	$51,532	2.52%	$55,415	3.25%	$56,429	0.86%	1.31%	-2.14%	5.78%	6.36%	-8.83%	9.37%
2018	9	-0.88%	$52,143	-1.37%	$55,721	0.55%	$57,809	0.08%	-2.86%	-0.66%	-0.28%	-0.29%	-16.42%	-6.19%
2018	10	-5.49%	$50,352	-1.70%	$55,841	-6.85%	$54,919	-7.82%	-2.93%	2.12%	-8.60%	-13.17%	-15.11%	15.99%
2018	11	1.04%	$51,940	2.32%	$58,205	2.03%	$57,098	1.73%	1.79%	0.34%	-0.26%	2.21%	-25.96%	7.11%
2018	12	-2.75%	$51,576	-3.18%	$57,417	-9.04%	$52,998	-7.22%	5.85%	4.94%	-8.65%	-14.58%	-20.54%	2.34%
2019	1	6.17%	$55,821	5.93%	$61,885	8.00%	$58,303	7.99%	0.38%	2.89%	9.01%	15.68%	0.63%	-0.82%
2019	2	1.40%	$57,673	1.54%	$63,908	3.20%	$61,238	2.82%	-1.38%	-0.61%	2.99%	2.20%	11.78%	-0.67%
2019	3	1.41%	$59,563	-0.62%	$64,584	1.94%	$63,499	1.06%	5.57%	-1.60%	3.92%	-2.34%	7.17%	-5.53%
2019	4	1.42%	$61,488	2.51%	$67,288	4.04%	$67,145	3.47%	-1.99%	-0.66%	5.50%	-4.14%	38.28%	3.49%
2019	5	-0.98%	$61,971	-3.36%	$66,112	-6.36%	$63,954	-5.97%	6.84%	1.76%	-8.23%	-3.14%	67.32%	-5.37%
2019	6	6.56%	$67,118	5.38%	$70,753	7.03%	$69,535	6.37%	0.95%	8.00%	7.59%	8.43%	36.80%	-5.39%
2019	7	-0.05%	$68,171	-0.19%	$71,703	1.43%	$71,611	0.00%	0.26%	0.01%	2.33%	-2.61%	-9.85%	-0.46%
2019	8	2.35%	$70,860	-2.29%	$71,145	-1.59%	$71,557	-2.10%	11.04%	7.91%	-1.90%	-3.23%	-14.08%	-12.18%
2019	9	-0.63%	$71,498	-2.38%	$70,540	1.86%	$73,972	2.28%	-2.68%	-3.39%	0.92%	-2.64%	-9.64%	-12.98%
2019	10	2.37%	$74,278	3.32%	$73,972	2.15%	$76,655	2.79%	-1.11%	2.56%	4.38%	5.23%	5.00%	3.67%
2019	11	1.50%	$76,481	1.42%	$76,113	3.62%	$80,517	2.56%	-0.41%	-3.21%	4.07%	9.97%	-13.94%	-0.71%
2019	12	1.94%	$79,055	1.81%	$78,574	3.01%	$84,024	3.45%	-3.20%	3.66%	3.89%	1.69%	-14.42%	-3.67%
2020	1	2.00%	$81,723	1.33%	$80,712	-0.05%	$85,072	-1.56%	7.69%	4.50%	3.04%	-5.05%	33.09%	4.38%
2020	2	-2.40%	$80,853	-0.91%	$81,068	-8.24%	$79,155	-7.22%	6.63%	-0.64%	-6.06%	-1.74%	-9.63%	14.14%
2020	3	-5.51%	$77,487	-4.39%	$78,602	-12.37%	$70,453	-14.76%	6.38%	-0.22%	-7.29%	-5.67%	-27.72%	10.69%
2020	4	8.96%	$85,517	11.17%	$88,466	12.81%	$80,565	10.37%	1.22%	7.26%	14.97%	13.75%	38.62%	12.25%
2020	5	3.73%	$89,789	4.60%	$93,617	4.76%	$85,480	5.21%	-1.76%	2.59%	6.60%	6.47%	10.33%	3.08%
2020	6	2.46%	$93,089	2.13%	$96,697	1.98%	$88,261	3.07%	0.34%	2.74%	6.28%	0.90%	-11.80%	-1.05%
2020	7	6.21%	$99,962	6.34%	$103,920	5.63%	$94,322	5.29%	4.44%	10.79%	7.35%	-0.28%	33.42%	5.08%
2020	8	2.66%	$103,718	4.66%	$109,859	7.18%	$102,191	6.01%	-5.05%	-0.32%	10.94%	1.89%	5.58%	5.12%
2020	9	-2.90%	$101,815	-5.14%	$105,311	-3.81%	$99,397	-2.92%	0.77%	-4.17%	-5.78%	-1.40%	-18.92%	-10.92%
2020	10	-1.85%	$101,032	-2.59%	$103,684	-2.67%	$97,843	-2.05%	-3.39%	-0.52%	-3.04%	-3.87%	40.20%	-7.08%
2020	11	7.15%	$109,360	8.35%	$113,443	10.94%	$109,643	12.37%	1.66%	-5.41%	11.23%	13.05%	50.81%	7.72%
2020	12	4.89%	$115,810	7.08%	$122,578	3.84%	$114,953	4.94%	-1.23%	7.01%	4.90%	5.72%	37.97%	10.44%
2021	1	-1.10%	$115,641	1.69%	$125,757	-1.02%	$114,885	-0.23%	-3.63%	-3.22%	0.26%	2.78%	8.41%	10.33%
2021	2	-0.54%	$116,130	0.36%	$127,322	2.75%	$119,162	2.67%	-5.73%	-6.26%	-0.13%	5.01%	24.53%	-0.94%
2021	3	-0.16%	$117,066	3.75%	$133,216	4.37%	$125,489	2.85%	-5.24%	-1.14%	1.71%	-5.65%	15.83%	13.86%
2021	4	3.75%	$122,587	2.34%	$137,461	5.32%	$133,298	4.13%	2.49%	3.56%	5.91%	4.01%	-6.37%	-4.57%
2021	5	1.66%	$125,756	2.35%	$141,824	0.69%	$135,350	1.58%	0.00%	7.68%	-1.20%	-0.75%	-35.50%	3.58%
2021	6	1.10%	$128,288	-1.51%	$140,838	2.31%	$139,623	1.18%	4.42%	-7.15%	6.26%	7.58%	-1.36%	-9.26%
2021	7	1.68%	$131,596	-0.43%	$141,383	2.38%	$144,096	0.62%	3.72%	2.53%	2.86%	-2.99%	16.52%	-6.84%
2021	8	1.95%	$135,316	1.32%	$144,404	3.03%	$149,618	2.26%	-0.34%	-0.08%	4.22%	7.10%	8.74%	-3.96%
2021	9	-3.99%	$131,072	-3.54%	$140,446	-4.66%	$143,801	-4.10%	-2.91%	-3.22%	-5.68%	-4.81%	-10.38%	-0.20%
2021	10	4.30%	$137,884	4.18%	$147,487	6.99%	$155,026	5.15%	2.46%	1.48%	7.86%	2.26%	46.79%	1.84%
2021	11	-1.13%	$137,502	1.11%	$150,293	-0.71%	$155,108	-2.62%	2.77%	-0.69%	2.00%	-6.72%	-6.98%	14.23%
2021	12	1.45%	$140,675	2.33%	$154,978	4.47%	$163,218	3.81%	-2.01%	3.30%	1.15%	-0.93%	-25.90%	2.31%
^* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style Category	Portfolio 1	Vanguard 500 Index Investor
Large-cap Value	5.66%	45.03%
Large-cap Growth	29.98%	54.80%
Mid-cap Value	0.00%	0.00%
Mid-cap Growth	3.19%	0.00%
Small-cap Value	0.00%	0.17%
Small-cap Growth	0.00%	0.00%
Global ex-US Developed Markets	14.11%	0.00%
Emerging Markets	15.12%	0.00%
Corporate Bonds	0.00%	0.00%
Long-Term Treasuries	28.70%	0.00%
Intermediate-Term Treasuries	3.24%	0.00%
Short-Term Treasuries	0.00%	0.00%
R Squared	91.84%	99.94%
Style analysis is based on monthly returns from January 2016 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
Ticker	Name	Category	Weight	Yield		Expense Ratio		P/E	Duration	Contribution
Ticker	Name	Category	Weight	SEC	TTM	Net	Gross	P/E	Duration	Return	Risk
VT	Vanguard Total World Stock ETF	Global Large-Stock Blend	40.00%		2.44%	0.07%	0.07%	14.78		$24,361	49.82%
TLT	iShares 20+ Year Treasury Bond ETF	Long Government	20.00%	4.17%	2.56%	0.15%	0.15%		17.15	$4,175	3.84%
GLD	SPDR Gold Shares	Commodities Focused	20.00%			0.40%	0.40%			$5,865	13.46%
QQQ	Invesco QQQ Trust	Large Growth	10.00%	0.79%	0.71%	0.20%	0.20%	23.63		$10,349	14.06%
HQL	Tekla Life Sciences Investors	Health	9.00%			1.66%	1.66%	12.30		$3,835	13.46%
GBTC	Grayscale Bitcoin Trust (BTC)	Digital Assets	1.00%			2.00%	2.00%			$4,888	5.36%
			100.00%	0.91%	1.56%	0.33%	0.33%	15.90	17.15	$53,474	100.00%

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
Ticker	Name	Category	Weight	Yield		Expense Ratio		P/E	Contribution
Ticker	Name	Category	Weight	SEC	TTM	Net	Gross	P/E	Return	Risk
VT	Vanguard Total World Stock ETF	Global Large-Stock Blend	40.00%		2.44%	0.07%	0.07%	14.78	$25,769	31.80%
VIRT	Virtu Financial, Inc.	Financial Services / Capital Markets	20.00%		4.31%				$15,994	38.44%
GLD	SPDR Gold Shares	Commodities Focused	20.00%			0.40%	0.40%		$6,028	7.95%
QQQ	Invesco QQQ Trust	Large Growth	10.00%	0.79%	0.71%	0.20%	0.20%	23.63	$10,925	9.01%
HQL	Tekla Life Sciences Investors	Health	9.00%			1.66%	1.66%	12.30	$4,052	8.47%
GBTC	Grayscale Bitcoin Trust (BTC)	Digital Assets	1.00%			2.00%	2.00%		$5,007	4.32%
			100.00%	0.08%	1.91%	0.37%	0.37%	15.90	$67,776	100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/25/2022. (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
Metric	Portfolio 1	Portfolio 2	Vanguard 500 Index Investor
Arithmetic Mean (monthly)	1.12%	1.29%	1.42%
Arithmetic Mean (annualized)	14.33%	16.68%	18.44%
Geometric Mean (monthly)	1.08%	1.24%	1.33%
Geometric Mean (annualized)	13.80%	15.88%	17.21%
Standard Deviation (monthly)	2.82%	3.45%	4.22%
Standard Deviation (annualized)	9.77%	11.96%	14.62%
Downside Deviation (monthly)	1.42%	1.66%	2.60%
Maximum Drawdown	-9.29%	-10.38%	-19.63%
Stock Market Correlation	0.82	0.65	1.00
Beta^(*)	0.55	0.53	1.00
Alpha (annualized)	4.12%	6.46%	0.00%
R²	67.32%	42.25%	100.00%
Sharpe Ratio	1.28	1.22	1.10
Sortino Ratio	2.47	2.46	1.76
Treynor Ratio (%)	22.83	27.43	16.10
Calmar Ratio	2.62	2.75	1.32
Active Return	-3.40%	-1.33%	N/A
Tracking Error	8.65%	11.38%	N/A
Information Ratio	-0.39	-0.12	N/A
Skewness	0.07	0.27	-0.57
Excess Kurtosis	0.41	-0.04	1.83
Historical Value-at-Risk (5%)	-3.21%	-3.99%	-6.58%
Analytical Value-at-Risk (5%)	-3.51%	-4.43%	-5.52%
Conditional Value-at-Risk (5%)	-4.56%	-4.75%	-9.13%
Upside Capture Ratio (%)	62.05	61.80	100.00
Downside Capture Ratio (%)	45.72	30.09	100.00
Safe Withdrawal Rate	22.78%	23.21%	24.19%
Perpetual Withdrawal Rate	9.69%	11.31%	12.31%
Positive Periods	47 out of 72 (65.28%)	47 out of 72 (65.28%)	55 out of 72 (76.39%)
Gain/Loss Ratio	1.46	1.34	0.76
^* 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 Period	Start	End	Portfolio 1	Portfolio 2	Vanguard 500 Index Investor
COVID-19 Start	Jan 2020	Mar 2020	-7.78%	-5.26%	-19.63%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Feb 2018	Dec 2018	11 months	Apr 2019	4 months	1 year 3 months	-9.29%
2	Feb 2020	Mar 2020	2 months	Apr 2020	1 month	3 months	-7.78%
3	Aug 2016	Nov 2016	4 months	Feb 2017	3 months	7 months	-5.72%
4	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-4.69%
5	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-3.99%
6	Jan 2016	Jan 2016	1 month	Mar 2016	2 months	3 months	-3.24%
7	Jan 2021	Mar 2021	3 months	Apr 2021	1 month	4 months	-1.79%
8	Sep 2017	Sep 2017	1 month	Nov 2017	2 months	3 months	-1.17%
9	Nov 2021	Nov 2021	1 month	Dec 2021	1 month	2 months	-1.13%
10	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-0.98%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	May 2018	Dec 2018	8 months	Jun 2019	6 months	1 year 2 months	-10.38%
2	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-7.60%
3	Aug 2016	Oct 2016	3 months	Jan 2017	3 months	6 months	-7.17%
4	Feb 2020	Mar 2020	2 months	Apr 2020	1 month	3 months	-5.26%
5	Jul 2019	Sep 2019	3 months	Dec 2019	3 months	6 months	-4.79%
6	Jan 2016	Jan 2016	1 month	Mar 2016	2 months	3 months	-4.31%
7	Sep 2017	Oct 2017	2 months	Nov 2017	1 month	3 months	-4.25%
8	Jun 2021	Sep 2021	4 months	Nov 2021	2 months	6 months	-4.16%
9	May 2016	May 2016	1 month	Jul 2016	2 months	3 months	-2.55%

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
Rank	Start	End	Length	Recovery By	Recovery Time	Underwater Period	Drawdown
1	Jan 2020	Mar 2020	3 months	Jul 2020	4 months	7 months	-19.63%
2	Oct 2018	Dec 2018	3 months	Apr 2019	4 months	7 months	-13.55%
3	Sep 2020	Oct 2020	2 months	Nov 2020	1 month	3 months	-6.38%
4	May 2019	May 2019	1 month	Jun 2019	1 month	2 months	-6.36%
5	Feb 2018	Mar 2018	2 months	Jul 2018	4 months	6 months	-6.16%
6	Jan 2016	Feb 2016	2 months	Mar 2016	1 month	3 months	-5.11%
7	Sep 2021	Sep 2021	1 month	Oct 2021	1 month	2 months	-4.66%
8	Oct 2016	Oct 2016	1 month	Nov 2016	1 month	2 months	-1.83%
9	Aug 2019	Aug 2019	1 month	Sep 2019	1 month	2 months	-1.59%
10	Jan 2021	Jan 2021	1 month	Feb 2021	1 month	2 months	-1.02%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
Ticker	Name	CAGR	Stdev	Best Year	Worst Year	Max Drawdown	Sharpe Ratio	Sortino Ratio	Market Correlation
VT	Vanguard Total World Stock ETF	13.45%	14.43%	26.82%	-9.76%	-22.15%	0.88	1.35	0.97
TLT	iShares 20+ Year Treasury Bond ETF	5.74%	12.10%	18.15%	-4.60%	-20.09%	0.45	0.76	-0.30
GLD	SPDR Gold Shares	9.09%	14.17%	24.81%	-4.15%	-15.02%	0.62	1.11	0.03
QQQ	Invesco QQQ Trust	24.53%	16.74%	48.40%	-0.12%	-16.96%	1.34	2.49	0.90
HQL	Tekla Life Sciences Investors	6.01%	22.45%	25.51%	-19.53%	-26.20%	0.33	0.48	0.70
GBTC	Grayscale Bitcoin Trust (BTC)	91.60%	145.60%	1,557.21%	-82.10%	-82.10%	0.90	2.81	0.15
VIRT	Virtu Financial, Inc.	8.95%	38.47%	64.23%	-34.95%	-52.13%	0.37	0.67	-0.10

Portfolio Asset Performance

Performance of portfolio assets
Name	Total Return			Annualized Return		Expense Ratio
Name	3 Month	Year To Date	1 year	3 year	5 year	Net	Gross
Vanguard Total World Stock ETF	6.30%	18.27%	18.27%	20.48%	14.46%	0.07%	0.07%
iShares 20+ Year Treasury Bond ETF	3.18%	-4.60%	-4.60%	8.75%	6.68%	0.15%	0.15%
SPDR Gold Shares	4.10%	-4.15%	-4.15%	12.13%	9.30%	0.40%	0.40%
Invesco QQQ Trust	11.29%	27.42%	27.42%	37.99%	28.34%	0.20%	0.20%
Tekla Life Sciences Investors	-5.50%	5.70%	5.70%	17.99%	12.01%	1.66%	1.66%
Grayscale Bitcoin Trust (BTC)	1.18%	7.03%	7.03%	105.18%	91.30%	2.00%	2.00%
Virtu Financial, Inc.	19.02%	18.60%	18.60%	8.21%	17.55%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
Ticker	Name	VT	TLT	GLD	QQQ	HQL	GBTC	VIRT	Portfolio 1	Portfolio 2	Vanguard 500 Index Investor
VT	Vanguard Total World Stock ETF	1.00	-0.30	0.08	0.87	0.69	0.17	-0.12	0.84	0.66	0.97
TLT	iShares 20+ Year Treasury Bond ETF	-0.30	1.00	0.43	-0.16	-0.18	0.09	-0.08	0.15	-0.12	-0.29
GLD	SPDR Gold Shares	0.08	0.43	1.00	0.05	-0.11	0.11	0.07	0.46	0.34	0.05
QQQ	Invesco QQQ Trust	0.87	-0.16	0.05	1.00	0.68	0.16	-0.07	0.82	0.65	0.90
HQL	Tekla Life Sciences Investors	0.69	-0.18	-0.11	0.68	1.00	0.03	-0.09	0.65	0.50	0.68
GBTC	Grayscale Bitcoin Trust (BTC)	0.17	0.09	0.11	0.16	0.03	1.00	0.15	0.36	0.36	0.15
VIRT	Virtu Financial, Inc.	-0.12	-0.08	0.07	-0.07	-0.09	0.15	1.00	-0.07	0.60	-0.10

Portfolio Return Decomposition

Portfolio return decomposition
Ticker	Name	Portfolio 1	Portfolio 2
VT	Vanguard Total World Stock ETF	$24,361	$25,769
TLT	iShares 20+ Year Treasury Bond ETF	$4,175
GLD	SPDR Gold Shares	$5,865	$6,028
QQQ	Invesco QQQ Trust	$10,349	$10,925
HQL	Tekla Life Sciences Investors	$3,835	$4,052
GBTC	Grayscale Bitcoin Trust (BTC)	$4,888	$5,007
VIRT	Virtu Financial, Inc.		$15,994
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.

Portfolio Risk Decomposition

Portfolio risk decomposition
Ticker	Name	Portfolio 1	Portfolio 2
VT	Vanguard Total World Stock ETF	49.82%	31.80%
TLT	iShares 20+ Year Treasury Bond ETF	3.84%
GLD	SPDR Gold Shares	13.46%	7.95%
QQQ	Invesco QQQ Trust	14.06%	9.01%
HQL	Tekla Life Sciences Investors	13.46%	8.47%
GBTC	Grayscale Bitcoin Trust (BTC)	5.36%	4.32%
VIRT	Virtu Financial, Inc.		38.44%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.

Annual Asset Returns

Rolling returns summary
Roll Period	Portfolio 1			Portfolio 2			Vanguard 500 Index Investor
Roll Period	Average	High	Low	Average	High	Low	Average	High	Low
1 year	14.61%	32.83%	-6.44%	18.43%	50.02%	-2.84%	17.78%	56.19%	-7.11%
3 years	12.98%	20.40%	7.57%	15.47%	20.88%	10.93%	14.22%	25.91%	4.96%
5 years	14.46%	15.44%	13.24%	17.98%	19.52%	16.14%	17.10%	18.77%	15.07%