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 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 8
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Portfolio Analysis Results (Jan 2005 - Dec 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
FRT Federal Realty Investment Trust 8.33%
UHT Universal Health Realty Income Trust 8.33%
NNN National Retail Properties 8.34%
TLT iShares 20+ Year Treasury Bond ETF 25.00%
VTI Vanguard Total Stock Market ETF 25.00%
GLD SPDR Gold Shares 25.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 33.33%
VTI Vanguard Total Stock Market ETF 33.34%
GLD SPDR Gold Shares 33.33%
Save portfolio »
Portfolio 3
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 50.00%
VTI Vanguard Total Stock Market ETF 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$200,000$1,018,695 10.05% 9.90%26.02%-3.25%-14.75% 0.901.450.58
Portfolio 2$200,000$920,991 9.40% 8.87%21.33%-4.03%-17.06% 0.931.660.43
Portfolio 3$200,000$940,225 9.53% 8.28%22.40%-3.41%-17.89% 1.001.620.62
SPDR S&P 500 ETF Trust$200,000$1,096,420 10.53% 14.56%32.31%-36.81%-50.80% 0.681.011.00
   

Trailing Returns

Trailing Returns
NameTotal ReturnAnnualized ReturnAnnualized Standard Deviation
3 MonthYear To Date1 year3 year5 year10 yearFull3 year5 year
Portfolio 17.80%11.37%11.37%14.96%10.67%8.83%10.05%10.42%9.13%
Portfolio 25.74%5.64%5.64%15.72%11.47%7.74%9.40%9.08%7.88%
Portfolio 36.47%10.53%10.53%17.40%12.48%10.70%9.53%8.72%8.03%
SPDR S&P 500 ETF Trust11.07%28.74%28.74%25.99%18.36%16.45%10.53%17.34%15.31%
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 2Portfolio 3SPDR S&P 500 ETF TrustFederal Realty Investment Trust (FRT)Universal Health Realty Income Trust (UHT)National Retail Properties (NNN)iShares 20+ Year Treasury Bond ETF (TLT)Vanguard Total Stock Market ETF (VTI)SPDR Gold Shares (GLD)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20053.42%10.86%$221,72310.89%$221,7857.46%$214,9164.83%$209,65322.33%4.21%5.77%8.61%6.31%17.76%
20062.54%17.83%$261,26212.98%$250,5838.20%$232,54515.85%$242,87844.88%32.53%19.74%0.71%15.69%22.55%
20074.08%11.92%$292,39715.37%$289,0977.83%$250,7525.14%$255,351-0.61%-2.89%8.15%10.29%5.37%30.45%
20080.09%-3.12%$283,2800.62%$290,895-1.52%$246,932-36.81%$161,363-21.74%-0.33%-20.97%33.93%-36.98%4.92%
20092.72%12.24%$317,95410.37%$321,0753.55%$255,68626.36%$203,90614.37%5.07%34.06%-21.80%28.89%24.03%
20101.50%20.16%$382,05318.58%$380,73013.23%$289,52515.06%$234,60819.17%22.38%33.14%9.05%17.42%29.27%
20112.96%14.42%$437,14714.83%$437,19117.46%$340,0871.89%$239,03820.19%13.80%5.58%33.96%0.97%9.57%
20121.74%13.09%$494,3888.56%$474,6229.54%$372,53615.99%$277,26317.85%37.42%24.82%2.63%16.45%6.60%
20131.50%-3.25%$478,303-2.75%$461,59010.04%$409,94232.31%$366,8370.39%-16.39%1.70%-13.37%33.45%-28.33%
20140.76%17.62%$562,55912.55%$519,52619.92%$491,60713.46%$416,22335.23%27.17%36.02%27.30%12.54%-2.19%
20150.73%-0.69%$558,674-4.03%$498,576-0.71%$488,0961.25%$421,43412.31%9.50%6.20%-1.79%0.36%-10.67%
20162.07%9.82%$613,5357.35%$535,2047.00%$522,27512.00%$472,012-0.23%37.21%14.75%1.18%12.83%8.03%
20172.11%12.23%$688,59914.40%$612,28415.20%$601,64921.70%$574,440-3.59%18.80%2.00%9.18%21.21%12.81%
20181.91%-2.63%$670,521-2.92%$594,405-3.41%$581,137-4.56%$548,263-8.13%-14.90%17.78%-1.61%-5.21%-1.94%
20192.29%26.02%$844,98720.88%$718,53722.40%$711,28631.22%$719,44212.50%97.05%14.78%14.12%30.67%17.86%
20201.36%8.25%$914,70121.33%$871,80719.59%$850,62118.37%$851,627-30.56%-43.08%-19.35%18.15%21.03%24.81%
20217.04%11.37%$1,018,6955.64%$920,99110.53%$940,22528.74%$1,096,42065.92%-3.27%23.03%-4.60%25.67%-4.15%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3SPDR S&P 500 ETF TrustFederal Realty Investment Trust (FRT)Universal Health Realty Income Trust (UHT)National Retail Properties (NNN)iShares 20+ Year Treasury Bond ETF (TLT)Vanguard Total Stock Market ETF (VTI)SPDR Gold Shares (GLD)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20051-2.49%$195,026-0.85%$198,3080.53%$201,070-2.24%$195,516-8.65%-6.19%-7.39%3.57%-2.50%-3.61%
200521.42%$197,8041.18%$200,6410.25%$201,5792.09%$199,6036.38%-0.27%0.64%-1.47%2.09%3.10%
20053-1.74%$194,358-1.31%$198,009-1.15%$199,251-1.83%$195,954-2.69%-4.43%-2.23%-0.45%-1.87%-1.63%
200543.21%$200,6051.00%$199,9980.89%$201,025-1.87%$192,28310.65%15.93%4.63%3.86%-2.20%1.24%
200552.50%$205,6221.05%$202,0893.49%$208,0433.22%$198,4793.18%14.73%2.21%3.14%3.88%-3.92%
200563.17%$212,1412.37%$206,8821.49%$211,1460.15%$198,7777.88%3.08%5.52%2.16%0.76%4.30%
200570.30%$212,778-0.25%$206,3550.30%$211,7693.83%$206,38210.69%-7.58%2.95%-3.38%4.38%-1.43%
20058-0.10%$212,5711.27%$208,9711.23%$214,370-0.94%$204,447-5.19%-2.07%-3.76%3.48%-1.09%1.35%
200590.79%$214,2581.38%$211,862-1.49%$211,1730.80%$206,082-0.66%-2.02%0.15%-3.61%0.79%7.60%
200510-1.62%$210,783-1.74%$208,178-2.29%$206,332-2.37%$201,208-0.46%-2.11%-1.40%-2.24%-2.35%-0.64%
2005113.66%$218,4933.71%$215,8972.62%$211,7454.40%$210,0524.16%1.81%4.54%0.69%4.62%5.82%
2005121.48%$221,7232.73%$221,7851.50%$214,916-0.19%$209,653-2.82%-3.82%0.54%2.98%0.02%5.05%
200615.93%$234,8753.94%$230,5130.94%$216,9372.40%$214,68810.17%11.39%14.19%-1.34%3.22%9.93%
200620.41%$235,8390.03%$230,5870.65%$218,3570.57%$215,9174.30%0.97%-0.78%1.11%0.22%-1.11%
200631.84%$240,1790.48%$231,697-1.20%$215,7401.65%$219,4809.04%5.21%2.42%-4.57%2.05%3.62%
200640.04%$240,2663.81%$240,524-0.80%$214,0091.26%$222,252-9.27%-11.96%-8.26%-2.75%0.96%12.03%
20065-2.13%$235,159-1.62%$236,623-1.81%$210,131-3.01%$215,5580.22%-3.08%-8.31%-0.19%-3.22%-1.32%
20066-0.34%$234,348-1.44%$233,2260.62%$211,4430.26%$216,1273.21%2.43%3.37%1.18%0.13%-4.67%
200672.48%$240,1491.79%$237,3970.97%$213,4850.45%$217,0953.64%3.83%6.17%2.16%-0.12%3.15%
200682.53%$246,2281.12%$240,0612.66%$219,1702.18%$221,8322.10%11.49%6.72%3.06%2.30%-1.38%
20069-0.39%$245,276-0.37%$239,1742.09%$223,7542.70%$227,8201.09%0.33%-2.88%1.91%2.26%-4.53%
2006103.38%$253,5571.90%$243,7212.24%$228,7593.15%$235,0007.87%8.54%5.60%0.85%3.53%1.29%
2006114.10%$263,9543.94%$253,3172.32%$234,0621.99%$239,6736.28%1.23%6.14%2.31%2.33%6.89%
200612-1.02%$261,262-1.08%$250,583-0.65%$232,5451.34%$242,8780.47%0.42%-3.77%-2.69%1.20%-1.83%
200712.41%$267,5541.14%$253,4480.43%$233,5531.50%$246,5319.91%3.75%4.96%-1.00%1.86%2.56%
200720.29%$268,3431.42%$257,0480.85%$235,531-1.96%$241,694-3.14%-7.49%1.81%3.39%-1.62%2.55%
20073-0.59%$266,760-0.58%$255,556-0.30%$234,8141.16%$244,4980.77%-2.89%0.04%-1.70%1.12%-1.11%
200741.63%$271,0982.33%$261,5052.47%$240,6114.43%$255,328-0.50%-1.48%0.44%0.90%4.02%2.05%
20075-0.27%$270,379-0.28%$260,7730.76%$242,4433.39%$263,989-1.72%-0.20%1.25%-2.31%3.72%-2.31%
20076-3.36%$261,308-1.58%$256,650-1.40%$239,039-1.46%$260,123-12.17%-3.68%-9.86%-1.01%-1.76%-1.94%
20077-0.57%$259,8050.61%$258,206-0.26%$238,411-3.13%$251,978-2.74%-12.16%0.78%3.32%-3.53%2.37%
200783.67%$269,3401.45%$261,9601.63%$242,2931.28%$255,21211.88%14.60%8.45%1.79%1.47%1.11%
200795.10%$283,0854.89%$274,7722.05%$247,2713.87%$265,0896.11%7.80%3.79%0.23%3.85%10.51%
2007103.48%$292,9413.62%$284,7261.80%$251,7291.36%$268,685-0.43%4.05%5.47%1.81%1.79%6.95%
200711-1.88%$287,424-0.43%$283,5140.28%$252,434-3.87%$258,278-5.70%-11.01%-3.39%5.35%-4.52%-1.65%
2007121.73%$292,3971.97%$289,097-0.67%$250,752-1.13%$255,351-0.51%9.51%-4.53%-0.64%-0.70%6.65%
200810.89%$294,9922.26%$295,620-2.04%$245,649-6.05%$239,912-10.10%1.72%-1.28%2.10%-6.17%10.84%
20082-0.76%$292,7560.97%$298,498-1.43%$242,127-2.58%$233,712-2.94%-6.60%-8.89%-0.46%-2.50%5.23%
20083-0.17%$292,262-1.82%$293,0620.70%$243,827-0.90%$231,6029.65%0.64%6.52%2.14%-0.90%-6.00%
200840.26%$293,008-0.89%$290,4580.95%$246,1544.77%$242,6405.39%0.72%5.56%-2.48%4.89%-4.16%
20085-0.05%$292,8550.06%$290,618-0.41%$245,1461.51%$246,308-1.86%1.70%-0.87%-2.69%2.02%0.92%
20086-2.77%$284,751-0.16%$290,160-2.69%$238,546-8.35%$225,741-13.69%-10.52%-7.97%2.65%-8.12%4.52%
200871.21%$288,193-0.84%$287,724-0.49%$237,384-0.90%$223,7135.23%16.57%2.96%-0.37%-0.62%-1.44%
20088-0.19%$287,644-2.04%$281,8492.14%$242,4641.55%$227,1704.50%4.92%7.33%2.74%1.46%-9.29%
200891.58%$292,183-0.93%$279,238-3.51%$233,962-9.44%$205,73113.64%7.73%5.55%1.47%-9.24%4.11%
200810-13.93%$251,488-11.34%$247,566-8.69%$213,632-16.52%$171,747-28.42%-10.77%-23.83%-1.86%-17.48%-16.14%
2008112.55%$257,8897.89%$267,0895.51%$225,399-6.96%$159,792-5.60%-9.62%-24.79%14.34%-8.01%12.57%
2008129.85%$283,2808.91%$290,8959.55%$246,9320.98%$161,3638.51%7.05%28.19%13.64%1.78%7.73%
20091-7.19%$262,902-5.19%$275,786-10.56%$220,859-8.21%$148,113-18.44%-7.02%-14.12%-13.07%-8.05%5.54%
20092-3.80%$252,924-3.34%$266,584-6.16%$207,261-10.74%$132,199-18.76%1.99%-0.42%-1.54%-10.53%1.45%
200933.38%$261,4702.74%$273,9006.11%$219,9288.35%$143,23413.45%-4.32%10.23%4.04%8.26%-2.54%
200943.40%$270,3520.04%$274,0162.02%$224,3699.93%$157,46420.00%9.54%14.40%-6.95%10.99%-3.33%
200952.63%$277,4614.48%$286,2951.29%$227,2595.85%$166,668-4.62%0.12%-3.55%-3.69%5.46%10.23%
20096-1.16%$274,245-1.63%$281,6260.54%$228,477-0.07%$166,556-0.85%0.10%1.40%0.76%0.36%-5.22%
200975.80%$290,1623.81%$292,3604.63%$239,0467.46%$178,98210.73%8.41%15.82%0.58%7.74%2.38%
200982.45%$297,2792.01%$298,2273.10%$246,4453.69%$185,5939.33%-1.70%4.11%2.24%3.71%0.05%
200993.44%$307,5204.28%$310,9983.44%$254,9293.55%$192,173-0.58%-1.34%4.63%2.46%4.14%5.84%
200910-1.58%$302,647-0.37%$309,863-2.63%$248,233-1.92%$188,479-3.81%-2.46%-7.99%-2.62%-2.63%3.72%
2009116.11%$321,1277.17%$332,0703.85%$257,8026.16%$200,0908.96%-3.37%3.41%1.21%5.69%12.79%
200912-0.99%$317,954-3.31%$321,075-0.82%$255,6861.91%$203,9066.30%6.43%5.89%-6.34%2.86%-7.20%
20101-0.90%$315,108-0.71%$318,793-0.44%$254,569-3.63%$196,496-4.93%3.65%-3.06%2.69%-3.57%-1.26%
201022.71%$323,6492.08%$325,4321.49%$258,3653.12%$202,6257.11%1.90%5.05%-0.34%3.44%3.27%
201032.66%$332,2471.26%$329,5302.12%$263,8316.09%$214,9666.56%6.22%7.59%-2.06%6.40%-0.44%
201043.20%$342,8753.77%$341,9652.74%$271,0491.55%$218,2916.29%-6.00%4.70%3.32%2.18%5.88%
20105-1.16%$338,8860.01%$341,987-1.54%$266,884-7.95%$200,947-4.77%-1.96%-6.59%5.11%-7.88%3.05%
201060.23%$339,6810.97%$345,2920.23%$267,499-5.17%$190,549-3.78%0.50%-2.46%5.80%-5.83%2.36%
201071.94%$346,277-0.08%$345,0222.64%$274,5486.83%$203,56311.27%3.58%9.59%-0.95%7.02%-5.09%
201082.75%$355,8093.40%$356,7662.25%$280,730-4.50%$194,4071.41%-4.42%5.36%8.40%-4.71%5.71%
201093.94%$369,8433.42%$368,9602.71%$288,3478.96%$211,8173.83%10.22%3.08%-2.51%9.45%4.78%
2010102.22%$378,0460.94%$372,419-0.51%$286,8663.82%$219,9080.39%7.96%9.44%-4.47%4.03%3.68%
201011-1.09%$373,9080.35%$373,728-0.62%$285,0940.00%$219,908-5.60%-5.60%-4.02%-1.69%0.51%2.11%
2010122.18%$382,0531.87%$380,7301.55%$289,5256.68%$234,6081.56%5.91%1.88%-3.68%6.96%2.44%
20111-2.03%$374,309-2.47%$371,325-0.52%$288,0302.33%$240,0753.21%-0.49%-4.80%-3.08%2.05%-6.38%
201124.28%$390,3423.76%$385,2722.70%$295,8103.47%$248,4144.66%9.41%3.38%1.65%3.70%6.00%
201130.75%$393,2650.68%$387,8800.23%$296,4900.01%$248,440-2.31%3.51%1.71%0.03%0.42%1.60%
201144.89%$412,4964.71%$406,1532.63%$304,2792.90%$255,6367.36%6.37%2.27%2.34%2.90%8.94%
20115-0.05%$412,3050.10%$406,5631.09%$307,596-1.12%$252,7690.05%0.46%-2.13%3.42%-1.06%-1.79%
20116-2.76%$400,921-2.18%$397,688-2.06%$301,270-1.69%$248,501-2.01%-6.28%-4.93%-2.33%-1.79%-2.43%
201173.41%$414,5763.49%$411,5821.00%$304,296-2.00%$243,5302.54%3.08%3.94%4.42%-2.27%8.42%
201184.30%$432,3915.54%$434,3761.88%$310,026-5.50%$230,1423.68%-9.20%8.65%9.66%-6.09%12.27%
20119-2.86%$420,005-1.80%$426,5553.74%$321,623-6.94%$214,159-8.25%-8.66%-1.43%13.20%-7.57%-11.06%
2011104.51%$438,9423.53%$441,6182.33%$329,11810.91%$237,5337.71%12.97%2.85%-3.84%11.37%5.87%
2011110.42%$440,7931.19%$446,8860.94%$332,217-0.41%$236,568-0.37%-2.79%-2.90%1.98%-0.37%1.67%
201112-0.83%$437,147-2.17%$437,1912.37%$340,0871.04%$239,0383.40%7.40%-0.30%3.44%0.98%-10.66%
201214.91%$458,5945.38%$460,7062.37%$348,1474.64%$250,1234.09%2.54%3.84%-0.33%5.07%11.40%
20122-0.83%$454,801-0.46%$458,5850.90%$351,2874.34%$260,9790.94%-5.50%-1.33%-2.59%4.22%-2.96%
201230.33%$456,319-0.69%$455,402-0.37%$349,9983.22%$269,3722.24%6.50%2.03%-4.23%3.06%-1.32%
201241.55%$463,4101.16%$460,6721.83%$356,417-0.67%$267,5744.00%2.04%2.12%4.83%-0.64%-0.15%
20125-2.01%$454,094-1.56%$453,4800.87%$359,506-6.01%$251,504-2.36%-4.43%-3.25%9.03%-6.23%-6.34%
201263.04%$467,9071.55%$460,5101.17%$363,7144.05%$261,6976.63%9.14%6.80%-1.68%4.05%2.35%
201272.65%$480,3261.83%$468,9602.31%$372,1201.18%$264,7934.39%4.84%5.69%3.82%0.88%0.84%
201281.84%$489,1682.06%$478,6360.71%$374,7612.51%$271,427-0.69%-0.85%5.29%-1.32%2.70%4.94%
201291.51%$496,5401.57%$486,1580.05%$374,9562.54%$278,308-1.75%7.95%-1.80%-2.53%2.49%4.67%
2012100.04%$496,739-1.78%$477,512-1.18%$370,529-1.82%$273,2432.40%7.53%5.16%-0.48%-1.81%-2.94%
201211-0.33%$495,0750.55%$480,1421.06%$374,4710.57%$274,790-3.51%-1.42%-3.03%1.38%0.77%-0.47%
201212-0.14%$494,388-1.15%$474,622-0.52%$372,5360.90%$277,2630.69%5.17%1.56%-2.49%1.29%-2.43%
201311.65%$502,5310.58%$477,3551.12%$376,6945.12%$291,4561.76%8.93%3.90%-3.19%5.42%-0.51%
201320.38%$504,436-0.83%$473,3881.26%$381,4501.28%$295,1750.34%3.59%7.59%1.24%1.28%-5.09%
201332.01%$514,5561.57%$480,8181.86%$388,5293.80%$306,3852.43%2.14%4.99%-0.42%3.95%0.95%
201340.87%$519,032-0.28%$479,4643.05%$400,3631.92%$312,2718.30%-6.90%10.81%4.68%1.61%-7.56%
20135-5.35%$491,264-3.17%$464,252-1.93%$392,6242.36%$319,644-7.91%-15.93%-9.60%-6.76%2.44%-6.20%
20136-4.42%$469,572-4.74%$442,245-2.26%$383,738-1.34%$315,373-3.08%-3.20%-4.10%-3.27%-1.43%-11.06%
201373.10%$484,1143.55%$457,9472.17%$392,0485.17%$331,6701.59%0.79%2.86%-2.26%5.75%7.43%
20138-2.66%$471,216-0.26%$456,771-2.31%$383,009-3.00%$321,723-7.61%-7.73%-12.46%-1.34%-3.03%5.20%
201391.49%$478,2460.40%$458,6092.50%$392,5753.17%$331,9155.03%5.99%3.89%0.66%3.90%-4.78%
2013102.99%$492,5692.13%$468,3963.06%$404,6014.63%$347,2852.12%4.90%9.37%1.43%4.27%-0.34%
201311-1.86%$483,396-1.14%$463,0560.45%$406,4052.96%$357,578-0.08%-3.51%-7.70%-2.70%2.70%-5.51%
201312-1.05%$478,303-0.32%$461,5900.87%$409,9422.59%$366,837-1.28%-4.03%-4.47%-1.87%2.73%-3.79%
201413.65%$495,7662.18%$471,6691.57%$416,365-3.52%$353,9077.48%5.84%10.83%6.30%-3.17%3.42%
201423.78%$514,4863.83%$489,7492.59%$427,1594.55%$370,0152.12%0.42%8.10%0.52%4.87%6.27%
20143-0.53%$511,751-0.68%$486,4310.62%$429,8160.83%$373,0913.80%0.65%-4.37%0.73%0.51%-3.14%
201440.98%$516,7420.90%$490,8091.11%$434,5720.70%$375,6852.46%0.45%0.62%2.10%0.06%0.49%
201451.03%$522,0750.67%$494,0732.54%$445,6102.32%$384,4031.68%2.03%2.49%2.95%2.10%-3.05%
201462.96%$537,5182.81%$507,9331.13%$450,6402.06%$392,3351.83%1.90%6.32%-0.25%2.62%6.32%
20147-1.68%$528,462-1.63%$499,644-0.63%$447,806-1.34%$387,0630.98%-3.27%-3.25%0.67%-1.99%-3.63%
201483.31%$545,9323.12%$515,2184.45%$467,7233.95%$402,3382.19%5.02%4.41%4.72%4.15%0.38%
20149-3.89%$524,718-3.40%$497,694-2.10%$457,880-1.38%$396,789-4.37%-4.25%-6.92%-2.11%-2.10%-6.18%
2014104.11%$546,3000.98%$502,5502.78%$470,6152.36%$406,13411.26%16.24%11.51%2.81%2.75%-3.05%
2014111.42%$554,0361.78%$511,4812.73%$483,4832.75%$417,2910.65%-0.23%1.08%2.97%2.48%-0.49%
2014121.54%$562,5591.57%$519,5261.68%$491,607-0.26%$416,2231.25%0.90%2.18%3.25%-0.04%1.31%
201516.38%$598,4515.26%$546,8323.54%$509,010-2.96%$403,8907.73%11.66%9.87%9.82%-2.74%8.69%
20152-2.88%$581,236-2.40%$533,720-0.56%$506,1705.62%$426,591-1.21%-5.40%-6.07%-6.14%5.74%-5.91%
201530.99%$587,012-0.73%$529,806-0.03%$506,026-1.57%$419,8754.26%12.02%1.81%1.10%-1.16%-2.15%
20154-3.11%$568,748-1.02%$524,415-1.43%$498,7830.98%$424,004-9.20%-11.72%-5.29%-3.43%0.62%-0.17%
20155-0.57%$565,506-0.17%$523,545-0.52%$496,1831.29%$429,4550.60%-3.54%-2.32%-2.37%1.30%0.56%
20156-2.83%$549,500-2.40%$510,978-2.84%$482,090-2.03%$420,741-4.13%-1.69%-6.66%-4.07%-1.67%-1.52%
201571.46%$557,515-0.18%$510,0613.07%$496,8882.26%$430,2456.79%5.40%7.42%4.55%1.70%-6.62%
20158-2.46%$543,811-1.21%$503,879-3.46%$479,698-6.10%$404,021-5.64%-6.06%-6.51%-0.69%-6.09%3.71%
201590.50%$546,508-0.91%$499,297-0.47%$477,437-2.54%$393,7466.45%3.46%4.37%1.97%-2.92%-1.80%
2015103.83%$567,4263.20%$515,2523.64%$494,8018.51%$427,2385.16%5.86%5.95%-0.41%7.91%2.28%
201511-0.84%$562,634-2.27%$503,570-0.12%$494,1890.37%$428,8002.11%6.04%1.21%-0.87%0.60%-6.75%
201512-0.70%$558,674-0.99%$498,576-1.23%$488,096-1.72%$421,4340.35%-3.87%4.13%-0.30%-2.13%-0.45%
201612.42%$572,1711.75%$507,314-0.08%$487,728-4.98%$400,4523.24%1.64%8.33%5.57%-5.72%5.41%
201623.83%$594,0814.84%$531,8601.63%$495,658-0.08%$400,122-1.84%1.99%2.42%3.09%-0.01%10.93%
201633.04%$612,1241.76%$541,2033.25%$511,7796.72%$427,0286.04%9.82%5.05%-0.09%7.11%-0.84%
201640.47%$615,0181.78%$550,819-0.07%$511,4450.39%$428,711-2.54%-2.93%-4.35%-0.74%0.66%5.11%
20165-0.91%$609,432-1.46%$542,7661.26%$517,8751.70%$436,0040.73%-2.01%3.59%0.81%1.73%-6.14%
201666.76%$650,6475.54%$572,8233.69%$536,9770.35%$437,5288.72%8.11%14.10%6.93%0.27%8.97%
201672.86%$669,2502.62%$587,8462.98%$552,9983.65%$453,4852.51%4.35%3.69%2.10%3.98%1.98%
20168-1.86%$656,816-1.45%$579,340-0.43%$550,6090.12%$454,028-6.31%3.22%-5.76%-1.01%0.21%-3.26%
201690.10%$657,442-0.20%$578,172-0.69%$546,8250.01%$454,063-2.57%3.46%1.50%-1.51%0.21%0.69%
201610-4.29%$629,258-3.19%$559,739-3.32%$528,655-1.73%$446,191-5.65%-6.85%-9.37%-4.38%-2.19%-2.94%
201611-3.91%$604,638-4.27%$535,837-2.00%$518,0603.68%$462,628-3.31%1.04%-6.44%-8.21%4.49%-8.36%
2016121.47%$613,535-0.12%$535,2040.81%$522,2752.03%$472,0121.91%11.76%3.56%-0.46%1.98%-1.91%
201711.46%$622,4712.70%$549,6341.33%$529,2481.79%$480,458-1.18%-5.29%-0.32%0.81%1.86%5.42%
201722.73%$639,4772.83%$565,1912.65%$543,2513.93%$499,3360.21%3.32%3.76%1.59%3.69%3.18%
20173-0.78%$634,495-0.34%$563,274-0.29%$541,6600.13%$499,964-4.41%1.58%-3.58%-0.65%0.06%-0.43%
201741.44%$643,6101.45%$571,4671.31%$548,7680.99%$504,927-1.96%8.14%-2.19%1.57%1.06%1.73%
20175-0.23%$642,1150.90%$576,6331.44%$556,6881.41%$512,053-6.23%2.85%-9.12%1.89%1.01%-0.12%
201761.31%$650,555-0.16%$575,7140.87%$561,5360.64%$515,3173.79%11.83%1.90%0.79%0.95%-2.16%
201771.25%$658,6791.19%$582,5660.63%$565,0602.06%$525,9084.94%-2.59%3.44%-0.66%1.88%2.31%
201781.76%$670,2632.57%$597,5211.74%$574,8750.29%$527,443-4.30%-2.28%4.63%3.41%0.15%4.20%
20179-0.91%$664,134-1.10%$590,9440.08%$575,3462.01%$538,067-1.35%0.60%-0.41%-2.32%2.44%-3.37%
201710-0.29%$662,1980.48%$593,7971.10%$581,6882.36%$550,746-2.97%-3.02%-2.41%-0.04%2.17%-0.75%
2017112.10%$676,1211.41%$602,1951.94%$592,9553.06%$567,5809.70%2.25%2.22%0.74%3.03%0.36%
2017121.85%$688,5991.68%$612,2841.47%$601,6491.21%$574,4401.21%1.20%5.02%1.81%1.16%2.11%
20181-0.97%$681,8971.74%$622,9210.99%$607,5935.64%$606,814-9.04%-11.40%-6.87%-3.26%5.23%3.23%
20182-4.45%$651,539-2.96%$604,473-3.41%$586,848-3.64%$584,750-5.68%-16.81%-6.15%-3.04%-3.76%-2.08%
201831.62%$662,0850.45%$607,2100.36%$588,963-2.74%$568,7202.77%9.82%5.42%2.86%-1.95%0.63%
20184-0.85%$656,458-0.85%$602,028-0.80%$584,2440.52%$571,659-0.22%-0.28%-1.91%-2.09%0.45%-0.95%
201852.06%$669,9981.15%$608,9762.37%$598,1082.43%$585,5552.62%3.74%8.91%2.01%2.72%-1.20%
201860.78%$675,249-0.76%$604,3740.68%$602,1500.58%$588,9267.30%3.95%6.11%0.65%0.70%-3.61%
201870.52%$678,753-0.04%$604,1301.01%$608,2583.70%$610,744-0.83%5.20%2.63%-1.44%3.32%-2.24%
201882.40%$695,0240.98%$610,0692.43%$623,0443.19%$630,2394.07%13.28%3.32%1.31%3.43%-2.14%
20189-1.37%$685,529-1.06%$603,614-1.23%$615,3520.59%$633,988-2.40%-1.55%-2.76%-2.86%0.20%-0.66%
201810-3.12%$664,172-3.05%$585,222-5.35%$582,434-6.91%$590,177-1.91%-13.86%5.40%-2.93%-7.41%2.12%
2018112.99%$684,0541.40%$593,4011.91%$593,5391.85%$601,1256.48%9.53%7.08%1.79%2.01%0.34%
201812-1.98%$670,5210.17%$594,405-2.09%$581,137-8.79%$548,263-9.86%-11.68%-3.10%5.85%-9.16%4.94%
201915.92%$710,2103.94%$617,7994.46%$607,0528.01%$592,16012.31%13.61%9.70%0.38%8.54%2.89%
201921.01%$717,4170.60%$621,4771.19%$614,2663.24%$611,3550.77%6.81%-1.16%-1.38%3.56%-0.61%
201932.41%$734,7071.75%$632,3303.36%$634,9271.81%$622,4083.98%2.61%6.31%5.57%1.42%-1.60%
201940.44%$737,9400.54%$635,7581.10%$641,8914.09%$647,835-2.90%7.01%-4.09%-1.99%3.93%-0.66%
201950.32%$740,2730.35%$637,973-0.29%$640,043-6.38%$606,521-2.33%1.17%1.73%6.84%-6.45%1.76%
201964.16%$771,0565.29%$671,7034.03%$665,8536.96%$648,732-0.76%4.42%-0.97%0.95%7.08%8.00%
201971.46%$782,3070.58%$675,6030.86%$671,5481.51%$658,5402.52%8.51%-0.49%0.26%1.41%0.01%
201984.90%$820,6725.40%$712,0954.21%$699,813-1.67%$647,514-2.12%4.92%7.48%11.04%-2.08%7.91%
201990.21%$822,373-1.45%$701,748-0.50%$696,3301.95%$660,1286.19%7.06%0.45%-2.68%1.78%-3.39%
2019103.13%$848,1421.17%$709,9290.50%$699,7962.21%$674,720-0.10%15.98%5.37%-1.11%2.11%2.56%
201911-0.60%$843,0630.11%$710,7021.73%$711,8763.62%$699,143-2.90%-0.03%-5.38%-0.41%3.79%-3.21%
2019120.23%$844,9871.10%$718,537-0.08%$711,2862.90%$719,442-1.73%-0.95%-3.80%-3.20%2.80%3.66%
202013.67%$875,9744.04%$747,5863.82%$738,422-0.04%$719,151-2.88%5.10%5.39%7.69%-0.06%4.50%
20202-2.76%$851,807-0.49%$743,933-0.41%$735,371-7.92%$662,219-6.94%-12.67%-9.20%6.63%-8.00%-0.64%
20203-7.36%$789,124-1.84%$730,281-2.64%$715,932-12.46%$579,680-35.23%-5.40%-36.70%6.38%-13.91%-0.22%
202046.44%$839,9096.36%$776,7605.90%$758,18912.70%$653,28911.61%6.10%3.01%1.22%13.13%7.26%
20205-0.01%$839,8221.71%$790,0051.24%$767,6244.76%$684,415-4.04%-12.69%-3.83%-1.76%5.40%2.59%
202061.55%$852,8091.73%$803,6451.19%$776,7771.78%$696,5717.95%-14.24%13.03%0.34%2.29%2.74%
202074.63%$892,2657.03%$860,1415.01%$815,7215.89%$737,593-10.46%-12.47%1.38%4.44%5.74%10.79%
202080.08%$893,0170.12%$861,1310.36%$818,6786.98%$789,0753.85%-4.11%-0.03%-5.05%7.10%-0.32%
20209-3.04%$865,910-2.32%$841,162-1.28%$808,215-3.74%$759,564-5.98%-13.68%-2.62%0.77%-3.54%-4.17%
202010-2.53%$843,963-1.94%$824,821-2.72%$786,240-2.49%$740,626-6.35%-6.18%-5.76%-3.39%-1.95%-0.52%
2020114.56%$882,4512.18%$842,7766.41%$836,61010.88%$821,18926.81%13.02%17.78%1.66%11.80%-5.41%
2020123.65%$914,7013.44%$871,8071.67%$850,6213.71%$851,627-1.19%7.41%8.54%-1.23%4.68%7.01%
20211-2.44%$892,363-2.40%$850,913-1.98%$833,750-1.02%$842,9482.87%-7.14%-3.46%-3.63%-0.33%-3.22%
202120.53%$897,052-2.89%$826,359-1.22%$823,5602.78%$866,38715.54%3.80%12.41%-5.73%3.14%-6.26%
202130.51%$901,621-0.72%$820,395-0.52%$819,2374.54%$905,7261.25%10.49%0.52%-5.24%3.65%-1.14%
202144.35%$940,8243.79%$851,5133.90%$851,1865.29%$953,64811.23%-1.22%6.51%2.49%5.04%3.56%
202152.27%$962,2192.61%$873,7240.26%$853,3640.66%$959,9101.33%3.36%-0.15%0.00%0.46%7.68%
20216-0.52%$957,257-0.15%$872,3853.33%$881,8032.25%$981,4823.38%-10.16%1.14%4.42%2.48%-7.15%
202172.17%$978,0032.59%$894,9762.62%$904,8762.44%$1,005,4420.31%-2.92%5.38%3.72%1.74%2.53%
202180.77%$985,5570.96%$903,5551.42%$917,7392.98%$1,035,3643.61%-0.87%-2.58%-0.34%2.86%-0.08%
20219-4.12%$944,956-3.61%$870,955-3.78%$883,073-4.66%$987,141-2.22%-5.52%-9.28%-2.91%-4.46%-3.22%
2021103.74%$980,3413.78%$903,9214.81%$925,5207.02%$1,056,4032.00%3.08%6.23%2.46%6.69%1.48%
202111-0.15%$978,8520.06%$904,4630.38%$929,058-0.80%$1,047,9151.93%-2.28%-2.78%2.77%-1.46%-0.69%
2021124.07%$1,018,6951.83%$920,9911.20%$940,2254.63%$1,096,42012.00%8.13%9.00%-2.01%3.79%3.30%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 3SPDR S&P 500 ETF Trust
Large-cap Value0.17%17.73%46.06%
Large-cap Growth2.69%23.68%53.63%
Mid-cap Value31.10%0.71%0.00%
Mid-cap Growth0.00%3.89%0.16%
Small-cap Value0.00%2.27%0.00%
Small-cap Growth0.00%1.49%0.00%
Global ex-US Developed Markets0.98%0.10%0.00%
Emerging Markets10.97%0.34%0.00%
Corporate Bonds0.00%0.36%0.15%
Long-Term Treasuries40.59%49.43%0.00%
Intermediate-Term Treasuries13.50%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared75.03%99.86%99.91%
Style analysis is based on monthly returns from April 2005 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
FRTFederal Realty Investment TrustReal Estate / REIT - Retail8.33%3.28%$77,02813.95%
UHTUniversal Health Realty Income TrustReal Estate / REIT - Healthcare Facilities8.33%4.79%$79,44611.53%
NNNNational Retail PropertiesReal Estate / REIT - Retail8.34%4.56%$77,21815.44%
TLTiShares 20+ Year Treasury Bond ETFLong Government25.00%1.74%1.50%0.15%0.15%19.24$141,34311.79%
VTIVanguard Total Stock Market ETFLarge Blend25.00%1.14%1.21%0.03%0.03%24.00$294,40622.03%
GLDSPDR Gold SharesCommodities Focused25.00%0.40%0.40%$149,25325.26%
100.00%0.72%1.73%0.19%0.19%24.0019.24$818,695100.00%

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
TLTiShares 20+ Year Treasury Bond ETFLong Government33.33%1.74%1.50%0.15%0.15%19.24$173,90823.11%
VTIVanguard Total Stock Market ETFLarge Blend33.34%1.14%1.21%0.03%0.03%24.00$363,69424.58%
GLDSPDR Gold SharesCommodities Focused33.33%0.40%0.40%$183,38952.32%
100.00%0.96%0.90%0.19%0.19%24.0019.24$720,991100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldExpense RatioP/EDurationContribution
SECTTMNetGrossReturnRisk
TLTiShares 20+ Year Treasury Bond ETFLong Government50.00%1.74%1.50%0.15%0.15%19.24$236,84943.19%
VTIVanguard Total Stock Market ETFLarge Blend50.00%1.14%1.21%0.03%0.03%24.00$503,37656.81%
100.00%1.44%1.35%0.09%0.09%24.0019.24$740,225100.00%

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 2Portfolio 3SPDR S&P 500 ETF Trust
Arithmetic Mean (monthly)0.84%0.78%0.79%0.93%
Arithmetic Mean (annualized)10.59%9.82%9.91%11.70%
Geometric Mean (monthly)0.80%0.75%0.76%0.84%
Geometric Mean (annualized)10.05%9.40%9.53%10.53%
Standard Deviation (monthly)2.86%2.56%2.39%4.20%
Standard Deviation (annualized)9.90%8.87%8.28%14.56%
Downside Deviation (monthly)1.75%1.40%1.45%2.79%
Max. Drawdown-14.75%-17.06%-17.89%-50.80%
US Market Correlation0.580.430.621.00
Beta(*)0.390.260.361.00
Alpha (annualized)5.75%6.48%5.52%0.00%
R233.26%18.66%39.24%100.00%
Sharpe Ratio0.900.931.000.68
Sortino Ratio1.451.661.621.01
Treynor Ratio (%)22.7731.2823.329.94
Calmar Ratio1.512.664.391.34
Active Return-0.48%-1.13%-0.99%N/A
Tracking Error11.99%13.38%11.38%N/A
Information Ratio-0.04-0.08-0.09N/A
Skewness-0.72-0.13-0.67-0.66
Excess Kurtosis3.202.283.701.81
Historical Value-at-Risk (5%)-3.73%-3.03%-2.71%-6.94%
Analytical Value-at-Risk (5%)-3.91%-3.40%-3.16%-5.99%
Conditional Value-at-Risk (5%)-5.70%-4.42%-4.89%-9.48%
Upside Capture Ratio (%)49.7238.0246.55100.00
Downside Capture Ratio (%)24.568.5422.56100.00
Safe Withdrawal Rate10.97%10.51%9.37%8.11%
Perpetual Withdrawal Rate7.06%6.52%6.63%7.47%
Positive Periods129 out of 204 (63.24%)124 out of 204 (60.78%)136 out of 204 (66.67%)137 out of 204 (67.16%)
Gain/Loss Ratio1.251.461.210.86
* SPDR S&P 500 ETF Trust is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3SPDR S&P 500 ETF Trust
Subprime CrisisNov 2007Mar 2009-14.75%-17.06%-17.89%-50.80%
COVID-19 StartJan 2020Mar 2020-9.91%-2.31%-3.05%-19.43%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2008Oct 20089 monthsAug 200910 months1 year 7 months-14.75%
2Feb 2020Mar 20202 monthsJul 20204 months6 months-9.91%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-9.65%
4May 2013Jun 20132 monthsMay 201411 months1 year 1 month-9.53%
5Feb 2015Aug 20157 monthsMar 20167 months1 year 2 months-9.13%
6Sep 2020Oct 20202 monthsDec 20202 months4 months-5.49%
7Jan 2018Feb 20182 monthsAug 20186 months8 months-5.38%
8Sep 2018Oct 20182 monthsJan 20193 months5 months-4.44%
9May 2007Jul 20073 monthsSep 20072 months5 months-4.17%
10Sep 2021Sep 20211 monthDec 20213 months4 months-4.12%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2008Oct 20088 monthsSep 200911 months1 year 7 months-17.06%
2Oct 2012Jun 20139 monthsFeb 20148 months1 year 5 months-9.03%
3Aug 2016Dec 20165 monthsAug 20178 months1 year 1 month-8.96%
4Feb 2015Dec 201511 monthsApr 20164 months1 year 3 months-8.82%
5Feb 2018Oct 20189 monthsMar 20195 months1 year 2 months-6.05%
6Jan 2021Mar 20213 monthsMay 20212 months5 months-5.90%
7Sep 2020Oct 20202 monthsDec 20202 months4 months-4.22%
8Dec 2009Jan 20102 monthsApr 20103 months5 months-4.00%
9Sep 2021Sep 20211 monthOct 20211 month2 months-3.61%
10Sep 2014Sep 20141 monthDec 20143 months4 months-3.40%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsSep 20097 months1 year 10 months-17.89%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-6.73%
3Aug 2016Nov 20164 monthsMay 20176 months10 months-6.32%
4Feb 2015Sep 20158 monthsMar 20166 months1 year 2 months-6.20%
5May 2013Aug 20134 monthsOct 20132 months6 months-4.33%
6Sep 2020Oct 20202 monthsNov 20201 month3 months-3.96%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-3.84%
8Sep 2021Sep 20211 monthOct 20211 month2 months-3.78%
9Mar 2006May 20063 monthsAug 20063 months6 months-3.77%
10Sep 2005Oct 20052 monthsDec 20052 months4 months-3.75%
Worst 10 drawdowns included above

Drawdowns for SPDR S&P 500 ETF Trust

Drawdowns for SPDR S&P 500 ETF Trust (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.80%
2Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
3Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
6May 2019May 20191 monthJun 20191 month2 months-6.38%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
8Sep 2020Oct 20202 monthsNov 20201 month3 months-6.14%
9Sep 2021Sep 20211 monthOct 20211 month2 months-4.66%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.55%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FRTFederal Realty Investment Trust9.46%24.29%65.92%-30.56%-53.14%0.450.650.61
UHTUniversal Health Realty Income Trust9.55%24.12%97.05%-43.08%-55.38%0.450.690.40
NNNNational Retail Properties10.97%24.43%36.02%-20.97%-45.38%0.510.730.50
TLTiShares 20+ Year Treasury Bond ETF6.39%13.13%33.96%-21.80%-21.80%0.450.77-0.31
VTIVanguard Total Stock Market ETF10.72%15.10%33.45%-36.98%-50.84%0.671.001.00
GLDSPDR Gold Shares8.34%17.24%30.45%-28.33%-42.91%0.480.790.07

Portfolio Asset Performance

Performance of portfolio assets
NameTotal ReturnAnnualized ReturnExpense Ratio
3 MonthYear To Date1 year3 year5 year10 yearNetGross
Federal Realty Investment Trust16.44%65.92%65.92%9.03%2.80%7.48%
Universal Health Realty Income Trust8.91%-3.27%-3.27%2.76%1.87%9.19%
National Retail Properties12.58%23.03%23.03%4.43%6.47%11.15%
iShares 20+ Year Treasury Bond ETF3.18%-4.60%-4.60%8.75%6.68%4.51%0.15%0.15%
Vanguard Total Stock Market ETF9.11%25.67%25.67%25.73%17.96%16.29%0.03%0.03%
SPDR Gold Shares4.10%-4.15%-4.15%12.13%9.30%1.18%0.40%0.40%
Trailing returns as of last calendar month ending December 2021

Monthly Correlations

Correlations for the portfolio assets
TickerNameFRTUHTNNNTLTVTIGLDPortfolio 1Portfolio 2Portfolio 3SPDR S&P 500 ETF Trust
FRTFederal Realty Investment Trust1.000.530.780.040.600.030.690.360.550.59
UHTUniversal Health Realty Income Trust0.531.000.510.010.400.040.570.250.360.38
NNNNational Retail Properties0.780.511.000.190.500.150.760.450.580.48
TLTiShares 20+ Year Treasury Bond ETF0.040.010.191.00-0.320.200.360.460.54-0.30
VTIVanguard Total Stock Market ETF0.600.400.50-0.321.000.070.580.430.621.00
GLDSPDR Gold Shares0.030.040.150.200.071.000.590.800.220.07

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
FRTFederal Realty Investment Trust$77,028
UHTUniversal Health Realty Income Trust$79,446
NNNNational Retail Properties$77,218
TLTiShares 20+ Year Treasury Bond ETF$141,343$173,908$236,849
VTIVanguard Total Stock Market ETF$294,406$363,694$503,376
GLDSPDR Gold Shares$149,253$183,389
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 2Portfolio 3
FRTFederal Realty Investment Trust13.95%
UHTUniversal Health Realty Income Trust11.53%
NNNNational Retail Properties15.44%
TLTiShares 20+ Year Treasury Bond ETF11.79%23.11%43.19%
VTIVanguard Total Stock Market ETF22.03%24.58%56.81%
GLDSPDR Gold Shares25.26%52.32%
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 2Portfolio 3SPDR S&P 500 ETF Trust
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year10.32%27.96%-14.15%9.75%27.31%-13.05%9.69%24.66%-15.13%11.67%56.25%-43.44%
3 years9.64%21.60%2.36%9.01%21.28%0.89%9.34%19.23%-1.72%9.53%25.99%-15.09%
5 years9.66%15.26%4.81%8.77%13.60%3.59%9.63%15.56%4.83%10.32%22.86%-1.23%
7 years9.63%13.14%6.10%8.54%12.80%4.10%9.92%13.26%7.88%10.72%17.14%2.58%
10 years9.61%11.86%8.30%8.51%10.68%7.30%9.93%11.51%8.27%10.73%16.55%6.36%
15 years9.74%10.53%9.13%9.26%9.98%8.79%9.44%10.11%8.83%9.56%10.82%7.50%