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.
| 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 » | ||
| 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 | Initial Balance | Final Balance | CAGR | TWRR | MWRR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $135,316 | 58.36% | 14.58% | 16.01% | 9.68% | 27.22% | -6.44% | -9.29% (-5.18%) | 1.35 | 2.68 | 0.81 |
| Portfolio 2 | $10,000 | $144,404 | 60.19% | 16.09% | 18.13% | 12.07% | 36.02% | 0.40% | -10.38% (-5.62%) | 1.22 | 2.49 | 0.64 |
| Vanguard 500 Index Investor | $10,000 | $149,618 | 61.19% | 17.13% | 19.29% | 14.55% | 31.33% | -4.52% | -19.63% (-17.18%) | 1.09 | 1.74 | 1.00 |
| * The number in parentheses shows the calculated value taking into account the periodic contributions. | ||||||||||||
| Name | Annualized Return | Annualized Volatility | ||||||
|---|---|---|---|---|---|---|---|---|
| 3 Month | YTD | 1 year | 3 year | 5 year | Full | 3 year | 5 year | |
| Portfolio 1 | 4.80% | 8.55% | 16.28% | 16.95% | 14.28% | 14.58% | 11.37% | 9.87% |
| Portfolio 2 | -0.64% | 10.20% | 18.14% | 17.73% | 17.98% | 16.09% | 12.79% | 12.35% |
| Vanguard 500 Index Investor | 7.91% | 21.47% | 31.00% | 17.92% | 17.86% | 17.13% | 18.48% | 14.97% |
| Trailing annualized return and volatility are for full months ending in August 2021 excluding portfolio cashflows. | ||||||||
| 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) | |||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | ||||||||||
| 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 | 5.03% | $9,065 | 8.55% | $135,316 | 10.20% | $144,404 | 21.47% | $149,618 | 16.02% | -4.78% | -4.86% | 21.39% | 17.51% | 18.03% | -0.14% |
| Annual return for 2021 is from 01/01/2021 to 08/31/2021 | |||||||||||||||
| 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) | |||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | Return | Balance | |||||||||
| 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% |
| * End-of-month balance includes the monthly contribution/withdrawal | ||||||||||||||
| Style Category | Portfolio 1 | Vanguard 500 Index Investor |
|---|---|---|
| Large-cap Value | 5.62% | 45.15% |
| Large-cap Growth | 32.13% | 54.74% |
| Mid-cap Value | 0.67% | 0.00% |
| Mid-cap Growth | 1.51% | 0.00% |
| Small-cap Value | 0.00% | 0.11% |
| Small-cap Growth | 0.00% | 0.00% |
| Global ex-US Developed Markets | 12.84% | 0.00% |
| Emerging Markets | 15.22% | 0.00% |
| Corporate Bonds | 0.00% | 0.00% |
| Long-Term Treasuries | 29.03% | 0.00% |
| Intermediate-Term Treasuries | 2.99% | 0.00% |
| Short-Term Treasuries | 0.00% | 0.00% |
| R Squared | 91.41% | 99.93% |
| Style analysis is based on monthly returns from January 2016 to August 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. | ||
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Duration | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|---|
| VT | Vanguard Total World Stock ETF | World Large-Stock Blend | 40.00% | 1.61% | 0.08% | 19.95 | $23,238 | 50.02% | |
| TLT | iShares 20+ Year Treasury Bond ETF | Long Government | 20.00% | 1.45% | 0.15% | 19.01 | $4,128 | 3.46% | |
| GLD | SPDR Gold Shares | Commodities Focused | 20.00% | 0.40% | $5,638 | 13.49% | |||
| QQQ | Invesco QQQ Trust | Large Growth | 10.00% | 0.46% | 0.20% | 33.89 | $9,659 | 14.07% | |
| HQL | Tekla Life Sciences Investors | Health | 9.00% | 1.66% | 27.63 | $5,080 | 13.67% | ||
| GBTC | Grayscale Bitcoin Trust (BTC) | Miscellaneous | 1.00% | 2.00% | $5,053 | 5.30% | |||
| 100.00% | 0.98% | 0.33% | 23.49 | 19.01 | $52,797 | 100.00% |
| Ticker | Name | Category | Weight | Yield | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VT | Vanguard Total World Stock ETF | World Large-Stock Blend | 40.00% | 1.61% | 0.08% | 19.95 | $24,623 | 31.08% |
| VIRT | Virtu Financial, Inc. | Financial Services / Capital Markets | 20.00% | 3.94% | $10,661 | 39.79% | ||
| GLD | SPDR Gold Shares | Commodities Focused | 20.00% | 0.40% | $5,808 | 7.67% | ||
| QQQ | Invesco QQQ Trust | Large Growth | 10.00% | 0.46% | 0.20% | 33.89 | $10,206 | 8.72% |
| HQL | Tekla Life Sciences Investors | Health | 9.00% | 1.66% | 27.63 | $5,400 | 8.46% | |
| GBTC | Grayscale Bitcoin Trust (BTC) | Miscellaneous | 1.00% | 2.00% | $5,188 | 4.28% | ||
| 100.00% | 1.48% | 0.38% | 23.49 | $61,885 | 100.00% |
Fund fundamentals data as of 09/27/2021. (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.
| Metric | Portfolio 1 | Portfolio 2 | Vanguard 500 Index Investor |
|---|---|---|---|
| Arithmetic Mean (monthly) | 1.18% | 1.31% | 1.41% |
| Arithmetic Mean (annualized) | 15.10% | 16.90% | 18.35% |
| Geometric Mean (monthly) | 1.14% | 1.25% | 1.33% |
| Geometric Mean (annualized) | 14.58% | 16.09% | 17.13% |
| Volatility (monthly) | 2.80% | 3.48% | 4.20% |
| Volatility (annualized) | 9.68% | 12.07% | 14.55% |
| Downside Deviation (monthly) | 1.38% | 1.66% | 2.61% |
| Max. Drawdown | -9.29% | -10.38% | -19.63% |
| US Market Correlation | 0.81 | 0.64 | 1.00 |
| Beta(*) | 0.54 | 0.53 | 1.00 |
| Alpha (annualized) | 4.98% | 6.78% | 0.00% |
| R2 | 65.96% | 40.39% | 100.00% |
| Sharpe Ratio | 1.35 | 1.22 | 1.09 |
| Sortino Ratio | 2.68 | 2.49 | 1.74 |
| Treynor Ratio (%) | 24.34 | 27.94 | 15.97 |
| Calmar Ratio | 2.13 | 2.33 | 0.91 |
| Active Return | -2.55% | -1.04% | N/A |
| Tracking Error | 8.76% | 11.58% | N/A |
| Information Ratio | -0.29 | -0.09 | N/A |
| Skewness | 0.09 | 0.30 | -0.60 |
| Excess Kurtosis | 0.55 | -0.04 | 2.11 |
| Historical Value-at-Risk (5%) | -3.18% | -4.11% | -6.68% |
| Analytical Value-at-Risk (5%) | -3.41% | -4.47% | -5.50% |
| Conditional Value-at-Risk (5%) | -4.36% | -4.75% | -9.13% |
| Upside Capture Ratio (%) | 63.15 | 62.39 | 100.00 |
| Downside Capture Ratio (%) | 41.53 | 28.66 | 100.00 |
| Safe Withdrawal Rate | 26.00% | 26.17% | 27.18% |
| Perpetual Withdrawal Rate | 11.76% | 13.06% | 13.94% |
| Positive Periods | 45 out of 68 (66.18%) | 44 out of 68 (64.71%) | 53 out of 68 (77.94%) |
| Gain/Loss Ratio | 1.50 | 1.39 | 0.70 |
| * Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | |||
| 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% |
| 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 | Jan 2016 | Jan 2016 | 1 month | Mar 2016 | 2 months | 3 months | -3.24% |
| 6 | Jan 2021 | Mar 2021 | 3 months | Apr 2021 | 1 month | 4 months | -1.79% |
| 7 | Sep 2017 | Sep 2017 | 1 month | Nov 2017 | 2 months | 3 months | -1.17% |
| 8 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -0.98% |
| 9 | Sep 2019 | Sep 2019 | 1 month | Oct 2019 | 1 month | 2 months | -0.63% |
| 10 | Jun 2017 | Jun 2017 | 1 month | Jul 2017 | 1 month | 2 months | -0.52% |
| Worst 10 drawdowns included above | |||||||
| 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 | May 2016 | May 2016 | 1 month | Jul 2016 | 2 months | 3 months | -2.55% |
| 9 | Jun 2021 | Jul 2021 | 2 months | -1.93% |
| 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 | Oct 2016 | Oct 2016 | 1 month | Nov 2016 | 1 month | 2 months | -1.83% |
| 8 | Aug 2019 | Aug 2019 | 1 month | Sep 2019 | 1 month | 2 months | -1.59% |
| 9 | Jan 2021 | Jan 2021 | 1 month | Feb 2021 | 1 month | 2 months | -1.02% |
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VT | Vanguard Total World Stock ETF | 13.91% | 14.46% | 26.82% | -9.76% | -22.15% | 0.91 | 1.38 | 0.97 |
| TLT | iShares 20+ Year Treasury Bond ETF | 6.06% | 12.26% | 18.15% | -4.78% | -20.09% | 0.46 | 0.79 | -0.33 |
| GLD | SPDR Gold Shares | 9.50% | 14.43% | 24.81% | -4.86% | -15.02% | 0.63 | 1.14 | 0.00 |
| QQQ | Invesco QQQ Trust | 25.07% | 16.73% | 48.40% | -0.12% | -16.96% | 1.37 | 2.54 | 0.90 |
| HQL | Tekla Life Sciences Investors | 8.38% | 22.75% | 25.51% | -19.53% | -26.20% | 0.43 | 0.62 | 0.70 |
| GBTC | Grayscale Bitcoin Trust (BTC) | 102.54% | 147.81% | 1,557.21% | -82.10% | -82.10% | 0.94 | 2.97 | 0.13 |
| VIRT | Virtu Financial, Inc. | 6.22% | 39.21% | 64.23% | -34.95% | -52.13% | 0.31 | 0.55 | -0.10 |
| 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 | -0.33 | 0.05 | 0.87 | 0.69 | 0.16 | -0.11 | 0.83 | 0.65 | 0.97 |
| TLT | iShares 20+ Year Treasury Bond ETF | -0.33 | 1.00 | 0.44 | -0.20 | -0.19 | 0.07 | -0.09 | 0.14 | -0.14 | -0.32 |
| GLD | SPDR Gold Shares | 0.05 | 0.44 | 1.00 | 0.03 | -0.13 | 0.11 | 0.08 | 0.45 | 0.32 | 0.02 |
| QQQ | Invesco QQQ Trust | 0.87 | -0.20 | 0.03 | 1.00 | 0.69 | 0.14 | -0.07 | 0.81 | 0.63 | 0.91 |
| HQL | Tekla Life Sciences Investors | 0.69 | -0.19 | -0.13 | 0.69 | 1.00 | 0.01 | -0.07 | 0.64 | 0.50 | 0.68 |
| GBTC | Grayscale Bitcoin Trust (BTC) | 0.16 | 0.07 | 0.11 | 0.14 | 0.01 | 1.00 | 0.16 | 0.35 | 0.35 | 0.14 |
| VIRT | Virtu Financial, Inc. | -0.11 | -0.09 | 0.08 | -0.07 | -0.07 | 0.16 | 1.00 | -0.06 | 0.61 | -0.10 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| VT | Vanguard Total World Stock ETF | $23,238 | $24,623 |
| TLT | iShares 20+ Year Treasury Bond ETF | $4,128 | |
| GLD | SPDR Gold Shares | $5,638 | $5,808 |
| QQQ | Invesco QQQ Trust | $9,659 | $10,206 |
| HQL | Tekla Life Sciences Investors | $5,080 | $5,400 |
| GBTC | Grayscale Bitcoin Trust (BTC) | $5,053 | $5,188 |
| VIRT | Virtu Financial, Inc. | $10,661 |
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| VT | Vanguard Total World Stock ETF | 50.02% | 31.08% |
| TLT | iShares 20+ Year Treasury Bond ETF | 3.46% | |
| GLD | SPDR Gold Shares | 13.49% | 7.67% |
| QQQ | Invesco QQQ Trust | 14.07% | 8.72% |
| HQL | Tekla Life Sciences Investors | 13.67% | 8.46% |
| GBTC | Grayscale Bitcoin Trust (BTC) | 5.30% | 4.28% |
| VIRT | Virtu Financial, Inc. | 39.79% |
| Roll Period | Portfolio 1 | Portfolio 2 | Vanguard 500 Index Investor | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | Average | High | Low | |
| 1 year | 14.60% | 32.83% | -6.44% | 18.27% | 50.02% | -2.84% | 16.76% | 56.19% | -7.11% |
| 3 years | 12.30% | 16.95% | 7.57% | 15.06% | 18.20% | 10.93% | 13.41% | 18.52% | 4.96% |
| 5 years | 14.36% | 15.29% | 13.63% | 17.57% | 18.84% | 16.14% | 16.75% | 17.86% | 15.07% |