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 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1995 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF Trust 90.00%
VBIIX Vanguard Interm-Term Bond Index Inv 60.00%
CASHX Cash -50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$186,273 12.07% 13.61%43.74%-30.82%-44.96% 0.741.120.96
SPDR S&P 500 ETF Trust$10,000$122,274 10.25% 14.93%38.05%-36.81%-50.80% 0.580.840.99
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 114.46%13.78%23.96%15.49%15.25%15.83%12.07%
SPDR S&P 500 ETF Trust15.29%9.68%21.86%14.37%14.33%15.04%10.25%
Trailing returns are for full months ending in August 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from January to August
  • 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
YearInflationReturnBalanceSPDR S&P 500 ETF Trust (SPY)Vanguard Interm-Term Bond Index Inv (VBIIX)Cash (CASHX)
Portfolio 1SPDR S&P 500 ETF TrustPortfolio 1SPDR S&P 500 ETF Trust
19952.54%43.74%38.05%$14,374$13,80538.05%21.03%5.71%
19963.32%19.04%22.49%$17,111$16,90922.49%2.55%5.17%
19971.70%32.97%33.48%$22,752$22,57033.48%9.41%5.22%
19981.61%29.18%28.69%$29,391$29,04528.69%10.09%4.97%
19992.68%14.06%20.39%$33,524$34,96620.39%-3.00%4.77%
20003.39%-3.98%-9.73%$32,190$31,564-9.73%12.78%5.99%
20011.55%-6.81%-11.75%$29,997$27,854-11.75%9.28%3.70%
20022.38%-13.71%-21.59%$25,884$21,841-21.59%10.85%1.65%
20031.88%28.17%28.18%$33,175$27,99528.18%5.65%1.04%
20043.26%12.08%10.70%$37,181$30,99210.70%5.22%1.32%
20053.42%3.81%4.83%$38,598$32,4884.83%1.75%3.14%
20062.54%14.10%15.85%$44,039$37,63615.85%3.91%4.82%
20074.08%6.91%5.14%$47,082$39,5695.14%7.61%4.56%
20080.09%-30.82%-36.81%$32,571$25,005-36.81%4.93%1.53%
20092.72%27.71%26.36%$41,596$31,59726.36%6.79%0.16%
20101.50%19.10%15.06%$49,539$36,35515.06%9.37%0.14%
20112.96%8.03%1.89%$53,519$37,0411.89%10.62%0.07%
20121.74%18.50%15.99%$63,419$42,96415.99%6.91%0.08%
20131.50%26.92%32.31%$80,494$56,84532.31%-3.54%0.05%
20140.76%16.21%13.46%$93,541$64,49713.46%6.85%0.03%
20150.73%1.82%1.25%$95,248$65,3051.25%1.21%0.05%
20162.07%12.30%12.00%$106,961$73,14212.00%2.75%0.30%
20172.11%21.33%21.70%$129,773$89,01421.70%3.76%0.88%
20181.91%-5.16%-4.56%$123,076$84,958-4.56%-0.25%1.90%
20192.29%33.01%31.22%$163,707$111,48431.22%10.09%2.13%
20200.83%13.78%9.68%$186,273$122,2749.68%8.84%0.41%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF Trust (SPY)Vanguard Interm-Term Bond Index Inv (VBIIX)Cash (CASHX)
Portfolio 1SPDR S&P 500 ETF TrustPortfolio 1SPDR S&P 500 ETF Trust
199514.02%3.36%$10,402$10,3363.36%2.04%0.47%
199524.94%4.08%$10,915$10,7584.08%2.60%0.49%
199532.65%2.78%$11,205$11,0572.78%0.72%0.48%
199543.27%2.96%$11,571$11,3852.96%1.54%0.48%
199555.97%3.97%$12,262$11,8373.97%4.86%0.48%
199562.01%2.02%$12,508$12,0762.02%0.84%0.47%
199572.29%3.22%$12,795$12,4643.22%-0.54%0.46%
199580.87%0.45%$12,906$12,5200.45%1.26%0.46%
199594.08%4.24%$13,432$13,0504.24%1.13%0.44%
1995100.40%-0.29%$13,486$13,012-0.29%1.61%0.44%
1995114.57%4.45%$14,103$13,5914.45%1.80%0.45%
1995121.92%1.57%$14,374$13,8051.57%1.47%0.45%
199613.42%3.56%$14,865$14,2963.56%0.71%0.42%
19962-1.20%0.32%$14,686$14,3410.32%-2.21%0.41%
199630.79%1.72%$14,801$14,5881.72%-1.01%0.41%
199640.24%1.09%$14,837$14,7471.09%-0.99%0.42%
199651.69%2.27%$15,088$15,0822.27%-0.37%0.42%
199661.42%0.88%$15,301$15,2140.88%1.47%0.42%
19967-4.27%-4.49%$14,648$14,530-4.49%0.15%0.42%
199681.42%1.93%$14,856$14,8101.93%-0.25%0.44%
199696.02%5.59%$15,750$15,6375.59%1.90%0.43%
1996104.19%3.23%$16,410$16,1433.23%2.62%0.41%
1996117.54%7.30%$17,646$17,3217.30%2.05%0.42%
199612-3.04%-2.38%$17,111$16,909-2.38%-1.41%0.42%
199715.45%6.18%$18,042$17,9546.18%0.16%0.43%
199720.73%0.96%$18,174$18,1260.96%0.11%0.42%
19973-4.96%-4.41%$17,272$17,325-4.41%-1.35%0.43%
199746.41%6.26%$18,380$18,4106.26%1.60%0.44%
199756.03%6.32%$19,488$19,5746.32%0.88%0.43%
199764.23%4.11%$20,313$20,3794.11%1.27%0.40%
199778.65%7.93%$22,069$21,9947.93%3.19%0.43%
19978-5.42%-5.18%$20,873$20,854-5.18%-1.22%0.43%
199794.99%4.81%$21,915$21,8574.81%1.64%0.43%
199710-1.55%-2.45%$21,574$21,322-2.45%1.64%0.41%
1997113.34%3.87%$22,295$22,1473.87%0.14%0.43%
1997122.05%1.91%$22,752$22,5701.91%1.04%0.43%
199811.97%1.29%$23,200$22,8601.29%1.72%0.44%
199825.80%6.93%$24,546$24,4456.93%-0.29%0.43%
199834.33%4.88%$25,609$25,6364.88%0.24%0.44%
199841.20%1.28%$25,915$25,9641.28%0.42%0.42%
19985-1.51%-2.08%$25,524$25,425-2.08%1.03%0.41%
199864.14%4.26%$26,580$26,5084.26%0.91%0.41%
19987-1.26%-1.35%$26,244$26,150-1.35%0.24%0.42%
19988-11.54%-14.12%$23,215$22,458-14.12%2.39%0.42%
199897.43%6.36%$24,940$23,8876.36%3.38%0.40%
1998106.38%8.11%$26,532$25,8248.11%-0.70%0.36%
1998114.67%5.57%$27,770$27,2615.57%-0.06%0.36%
1998125.84%6.54%$29,391$29,0456.54%0.46%0.37%
199913.47%3.52%$30,412$30,0683.52%0.81%0.37%
19992-4.67%-3.21%$28,990$29,103-3.21%-2.76%0.37%
199933.99%4.15%$30,148$30,3124.15%0.68%0.38%
199943.47%3.80%$31,194$31,4633.80%0.32%0.37%
19995-3.07%-2.29%$30,237$30,743-2.29%-1.44%0.37%
199964.64%5.54%$31,639$32,4465.54%-0.49%0.38%
19997-3.32%-3.10%$30,588$31,439-3.10%-0.49%0.39%
19998-0.77%-0.52%$30,352$31,276-0.52%-0.19%0.39%
19999-1.64%-2.24%$29,853$30,577-2.24%1.14%0.41%
1999105.85%6.41%$31,598$32,5366.41%0.23%0.40%
1999111.41%1.67%$32,043$33,0781.67%0.11%0.42%
1999124.62%5.71%$33,524$34,9665.71%-0.90%0.43%
20001-4.93%-4.98%$31,873$33,225-4.98%-0.38%0.43%
20002-1.07%-1.52%$31,532$32,719-1.52%0.86%0.47%
200039.58%9.69%$34,554$35,8909.69%1.86%0.47%
20004-4.03%-3.51%$33,162$34,629-3.51%-1.11%0.48%
20005-1.74%-1.57%$32,584$34,085-1.57%-0.15%0.48%
200063.08%1.97%$33,587$34,7561.97%2.50%0.46%
20007-1.14%-1.57%$33,204$34,211-1.57%0.80%0.48%
200086.58%6.53%$35,388$36,4466.53%1.74%0.51%
20009-4.48%-5.48%$33,804$34,448-5.48%0.97%0.52%
200010-0.30%-0.47%$33,703$34,287-0.47%0.57%0.51%
200011-5.51%-7.47%$31,847$31,728-7.47%1.90%0.52%
2000121.08%-0.52%$32,190$31,564-0.52%2.61%0.51%
200114.81%4.45%$33,740$32,9674.45%1.76%0.48%
20012-7.98%-9.54%$31,046$29,823-9.54%1.29%0.41%
20013-4.65%-5.60%$29,602$28,153-5.60%0.75%0.40%
200146.60%8.54%$31,556$30,5588.54%-0.93%0.35%
20015-0.19%-0.56%$31,497$30,387-0.56%0.76%0.32%
20016-1.91%-2.38%$30,896$29,663-2.38%0.54%0.30%
200170.78%-1.02%$31,138$29,360-1.02%2.83%0.30%
20018-4.37%-5.93%$29,776$27,618-5.93%1.31%0.29%
20019-6.34%-8.16%$27,889$25,365-8.16%0.99%0.28%
2001102.56%1.30%$28,603$25,6951.30%2.13%0.20%
2001115.14%7.80%$30,075$27,6997.80%-1.50%0.17%
200112-0.26%0.56%$29,997$27,8540.56%-0.93%0.15%
20021-0.58%-0.98%$29,822$27,582-0.98%0.61%0.14%
20022-1.04%-1.79%$29,511$27,087-1.79%1.05%0.14%
200231.45%3.32%$29,939$27,9873.32%-2.31%0.15%
20024-4.14%-5.82%$28,701$26,360-5.82%2.01%0.15%
200250.04%-0.59%$28,713$26,203-0.59%1.02%0.15%
20026-6.39%-7.38%$26,879$24,271-7.38%0.31%0.14%
20027-6.62%-7.88%$25,101$22,358-7.88%0.50%0.14%
200282.37%0.68%$25,695$22,5100.68%2.53%0.14%
20029-6.99%-10.49%$23,898$20,149-10.49%2.65%0.14%
2002105.83%8.23%$25,291$21,8078.23%-0.96%0.13%
2002114.88%6.17%$26,525$23,1536.17%-0.24%0.12%
200212-2.42%-5.66%$25,884$21,841-5.66%3.32%0.10%
20031-2.51%-2.46%$25,235$21,304-2.46%-0.40%0.10%
200320.19%-1.35%$25,282$21,017-1.35%2.36%0.10%
200330.05%0.21%$25,295$21,0600.21%-0.13%0.10%
200348.29%8.46%$27,392$22,8428.46%1.33%0.09%
200356.89%5.48%$29,279$24,0955.48%3.53%0.09%
200360.71%1.07%$29,487$24,3511.07%-0.33%0.09%
20037-1.23%1.80%$29,124$24,7901.80%-4.97%0.07%
200382.06%2.06%$29,724$25,3022.06%0.42%0.08%
200391.10%-1.09%$30,052$25,026-1.09%4.01%0.08%
2003103.93%5.35%$31,234$26,3665.35%-1.42%0.08%
2003111.11%1.09%$31,580$26,6541.09%0.31%0.08%
2003125.05%5.03%$33,175$27,9955.03%1.10%0.08%
200412.43%1.98%$33,983$28,5491.98%1.16%0.08%
200422.00%1.36%$34,664$28,9361.36%1.39%0.08%
20043-0.52%-1.32%$34,483$28,554-1.32%1.17%0.08%
20044-3.89%-1.89%$33,142$28,014-1.89%-3.65%0.08%
200451.00%1.71%$33,474$28,4941.71%-0.83%0.08%
200461.98%1.85%$34,138$29,0211.85%0.59%0.09%
20047-2.23%-3.22%$33,378$28,086-3.22%1.28%0.11%
200481.78%0.24%$33,972$28,1540.24%2.70%0.12%
200491.05%1.00%$34,330$28,4361.00%0.39%0.13%
2004101.70%1.29%$34,914$28,8031.29%1.06%0.14%
2004113.01%4.45%$35,965$30,0854.45%-1.37%0.16%
2004123.38%3.02%$37,181$30,9923.02%1.37%0.18%
20051-1.76%-2.24%$36,528$30,297-2.24%0.58%0.18%
200521.18%2.09%$36,959$30,9302.09%-0.95%0.21%
20053-2.31%-1.83%$36,104$30,365-1.83%-0.91%0.23%
20054-0.76%-1.87%$35,831$29,796-1.87%1.74%0.23%
200553.66%3.22%$37,143$30,7563.22%1.44%0.24%
200560.53%0.15%$37,338$30,8020.15%0.85%0.25%
200572.36%3.83%$38,219$31,9813.83%-1.48%0.26%
200580.04%-0.94%$38,232$31,681-0.94%1.73%0.28%
20059-0.33%0.80%$38,108$31,9340.80%-1.50%0.29%
200510-2.94%-2.37%$36,989$31,179-2.37%-1.14%0.29%
2005114.10%4.40%$38,504$32,5494.40%0.49%0.33%
2005120.24%-0.19%$38,598$32,488-0.19%0.99%0.32%
200611.83%2.40%$39,304$33,2682.40%-0.28%0.33%
200620.38%0.57%$39,453$33,4580.57%0.07%0.37%
200630.64%1.65%$39,704$34,0101.65%-1.15%0.38%
200640.69%1.26%$39,978$34,4401.26%-0.49%0.38%
20065-2.99%-3.01%$38,781$33,403-3.01%-0.08%0.39%
200660.05%0.26%$38,800$33,4910.26%0.01%0.40%
200671.10%0.45%$39,226$33,6410.45%1.54%0.41%
200682.90%2.18%$40,363$34,3752.18%1.92%0.42%
200692.87%2.70%$41,519$35,3032.70%1.09%0.41%
2006103.05%3.15%$42,785$36,4153.15%0.71%0.40%
2006112.31%1.99%$43,772$37,1391.99%1.28%0.42%
2006120.61%1.34%$44,039$37,6361.34%-0.74%0.41%
200710.99%1.50%$44,475$38,2021.50%-0.26%0.41%
20072-0.77%-1.96%$44,134$37,453-1.96%2.05%0.42%
200730.67%1.16%$44,429$37,8871.16%-0.26%0.42%
200744.12%4.43%$46,258$39,5654.43%0.60%0.41%
200752.19%3.39%$47,270$40,9073.39%-1.14%0.40%
20076-1.77%-1.46%$46,432$40,308-1.46%-0.48%0.39%
20077-2.44%-3.13%$45,297$39,046-3.13%1.03%0.39%
200781.96%1.28%$46,186$39,5471.28%1.71%0.40%
200793.65%3.87%$47,871$41,0783.87%0.60%0.33%
2007101.64%1.36%$48,655$41,6351.36%1.00%0.31%
200711-2.22%-3.87%$47,575$40,023-3.87%2.44%0.32%
200712-1.04%-1.13%$47,082$39,569-1.13%0.13%0.26%
20081-4.08%-6.05%$45,162$37,177-6.05%2.50%0.28%
20082-1.94%-2.58%$44,285$36,216-2.58%0.65%0.16%
20083-0.86%-0.90%$43,907$35,889-0.90%0.02%0.15%
200843.55%4.77%$45,466$37,5994.77%-0.83%0.11%
200850.45%1.51%$45,669$38,1681.51%-1.30%0.12%
20086-7.58%-8.35%$42,205$34,981-8.35%-0.08%0.15%
20087-0.87%-0.90%$41,840$34,666-0.90%0.03%0.16%
200881.76%1.55%$42,578$35,2021.55%0.70%0.14%
20089-10.66%-9.44%$38,038$31,880-9.44%-3.37%0.14%
200810-17.92%-16.52%$31,221$26,614-16.52%-4.30%0.08%
200811-1.44%-6.96%$30,771$24,761-6.96%5.80%0.04%
2008125.85%0.98%$32,571$25,0050.98%5.52%0.00%
20091-8.19%-8.21%$29,904$22,951-8.21%-1.32%0.01%
20092-10.45%-10.74%$26,780$20,485-10.74%-1.19%0.02%
200938.74%8.35%$29,121$22,1958.35%1.78%0.02%
200948.99%9.93%$31,738$24,4009.93%0.19%0.02%
200955.80%5.85%$33,579$25,8275.85%0.88%0.01%
200960.55%-0.07%$33,764$25,809-0.07%1.06%0.01%
200978.20%7.46%$36,532$27,7357.46%2.60%0.02%
200984.01%3.69%$37,998$28,7593.69%1.32%0.02%
200993.89%3.55%$39,476$29,7793.55%1.38%0.01%
200910-1.41%-1.92%$38,918$29,206-1.92%0.55%0.01%
2009116.50%6.16%$41,447$31,0066.16%2.01%0.00%
2009120.36%1.91%$41,596$31,5971.91%-2.54%0.01%
20101-2.04%-3.63%$40,745$30,449-3.63%2.05%0.01%
201022.96%3.12%$41,953$31,3993.12%0.33%0.01%
201035.28%6.09%$44,168$33,3116.09%-0.19%0.01%
201042.27%1.55%$45,171$33,8261.55%1.55%0.01%
20105-6.38%-7.95%$42,288$31,139-7.95%1.17%0.01%
20106-2.97%-5.17%$41,033$29,527-5.17%2.51%0.01%
201076.84%6.83%$43,842$31,5446.83%1.57%0.02%
20108-2.28%-4.50%$42,843$30,125-4.50%2.51%0.01%
201097.82%8.96%$46,193$32,8238.96%0.56%0.01%
2010103.50%3.82%$47,812$34,0773.82%0.48%0.01%
201011-0.63%0.00%$47,509$34,0770.00%-1.06%0.01%
2010124.27%6.68%$49,539$36,3556.68%-2.38%0.01%
201112.29%2.33%$50,673$37,2022.33%0.33%0.01%
201123.14%3.47%$52,263$38,4943.47%0.03%0.01%
20113-0.06%0.01%$52,230$38,4980.01%-0.12%0.01%
201143.67%2.90%$54,148$39,6132.90%1.86%0.01%
201150.07%-1.12%$54,187$39,169-1.12%1.93%0.00%
20116-1.77%-1.69%$53,226$38,507-1.69%-0.48%0.01%
20117-0.22%-2.00%$53,112$37,737-2.00%2.70%0.00%
20118-3.59%-5.50%$51,207$35,662-5.50%2.03%0.01%
20119-5.69%-6.94%$48,291$33,186-6.94%0.38%0.00%
2011109.45%10.91%$52,855$36,80810.91%0.38%0.00%
201111-0.74%-0.41%$52,462$36,658-0.41%-0.65%0.00%
2011122.01%1.04%$53,519$37,0411.04%1.82%0.00%
201215.16%4.64%$56,281$38,7594.64%1.64%0.00%
201223.84%4.34%$58,442$40,4414.34%-0.08%0.01%
201232.37%3.22%$59,825$41,7423.22%-0.94%0.01%
201240.37%-0.67%$60,045$41,463-0.67%1.81%0.01%
20125-4.65%-6.01%$57,253$38,973-6.01%1.36%0.01%
201263.64%4.05%$59,334$40,5524.05%0.09%0.01%
201272.04%1.18%$60,543$41,0321.18%1.76%0.01%
201282.35%2.51%$61,963$42,0602.51%0.25%0.01%
201292.46%2.54%$63,485$43,1262.54%0.41%0.01%
201210-1.48%-1.82%$62,546$42,341-1.82%0.24%0.01%
2012110.80%0.57%$63,048$42,5810.57%0.56%0.01%
2012120.59%0.90%$63,419$42,9640.90%-0.36%0.01%
201314.04%5.12%$65,984$45,1645.12%-0.93%0.00%
201321.72%1.28%$67,117$45,7401.28%0.98%0.01%
201333.59%3.80%$69,528$47,4773.80%0.28%0.01%
201342.47%1.92%$71,243$48,3891.92%1.32%0.01%
201350.81%2.36%$71,817$49,5322.36%-2.44%0.00%
20136-2.73%-1.34%$69,860$48,870-1.34%-2.85%0.00%
201375.02%5.17%$73,368$51,3955.17%0.42%0.00%
20138-3.42%-3.00%$70,856$49,854-3.00%-1.26%0.00%
201393.77%3.17%$73,529$51,4333.17%1.58%0.00%
2013104.83%4.63%$77,077$53,8154.63%1.04%0.00%
2013112.57%2.96%$79,054$55,4102.96%-0.37%0.00%
2013121.82%2.59%$80,494$56,8452.59%-1.25%0.01%
20141-1.83%-3.52%$79,018$54,841-3.52%2.24%0.01%
201424.38%4.55%$82,481$57,3374.55%0.57%0.00%
201430.54%0.83%$82,923$57,8140.83%-0.33%0.00%
201441.13%0.70%$83,856$58,2160.70%0.85%0.00%
201452.98%2.32%$86,355$59,5672.32%1.56%0.00%
201461.79%2.06%$87,904$60,7962.06%-0.03%0.00%
20147-1.35%-1.34%$86,713$59,979-1.34%-0.29%0.00%
201484.28%3.95%$90,421$62,3463.95%1.37%0.00%
20149-1.82%-1.38%$88,771$61,486-1.38%-1.08%0.00%
2014102.76%2.36%$91,221$62,9342.36%1.20%0.00%
2014112.93%2.75%$93,894$64,6632.75%0.92%0.00%
201412-0.38%-0.26%$93,541$64,497-0.26%-0.27%0.00%
20151-0.70%-2.96%$92,887$62,586-2.96%3.28%0.00%
201524.01%5.62%$96,610$66,1045.62%-1.50%0.00%
20153-1.00%-1.57%$95,641$65,063-1.57%0.68%0.00%
201540.74%0.98%$96,350$65,7030.98%-0.22%0.00%
201550.91%1.29%$97,231$66,5481.29%-0.39%0.00%
20156-2.61%-2.03%$94,698$65,197-2.03%-1.35%0.00%
201572.58%2.26%$97,145$66,6702.26%0.93%0.00%
20158-5.69%-6.10%$91,619$62,607-6.10%-0.39%0.01%
20159-1.54%-2.54%$90,210$61,014-2.54%1.19%0.01%
2015107.48%8.51%$96,960$66,2048.51%-0.04%0.00%
2015110.14%0.37%$97,095$66,4460.37%-0.31%0.01%
201512-1.90%-1.72%$95,248$65,305-1.72%-0.61%0.02%
20161-3.34%-4.98%$92,067$62,054-4.98%1.91%0.01%
201620.54%-0.08%$92,564$62,002-0.08%0.99%0.03%
201636.59%6.72%$98,660$66,1726.72%1.08%0.03%
201640.62%0.39%$99,269$66,4330.39%0.46%0.02%
201651.35%1.70%$100,614$67,5631.70%-0.22%0.02%
201661.74%0.35%$102,365$67,7990.35%2.44%0.03%
201673.58%3.65%$106,033$70,2713.65%0.71%0.02%
20168-0.23%0.12%$105,794$70,3560.12%-0.55%0.02%
201690.11%0.01%$105,908$70,3610.01%0.20%0.03%
201610-2.04%-1.73%$103,749$69,141-1.73%-0.90%0.02%
2016111.23%3.68%$105,022$71,6883.68%-3.39%0.03%
2016121.85%2.03%$106,961$73,1422.03%0.09%0.04%
201711.83%1.79%$108,915$74,4511.79%0.39%0.04%
201724.00%3.93%$113,268$77,3773.93%0.82%0.04%
201730.12%0.13%$113,399$77,4740.13%0.04%0.04%
201741.49%0.99%$115,088$78,2430.99%1.09%0.06%
201751.70%1.41%$117,049$79,3471.41%0.83%0.07%
201760.35%0.64%$117,462$79,8530.64%-0.32%0.08%
201772.16%2.06%$120,004$81,4942.06%0.65%0.08%
201780.77%0.29%$120,934$81,7320.29%1.00%0.09%
201791.29%2.01%$122,496$83,3782.01%-0.83%0.08%
2017102.14%2.36%$125,117$85,3432.36%0.13%0.09%
2017112.48%3.06%$128,224$87,9523.06%-0.40%0.09%
2017121.21%1.21%$129,773$89,0141.21%0.31%0.10%
201814.09%5.64%$135,079$94,0315.64%-1.54%0.11%
20182-3.92%-3.64%$129,779$90,612-3.64%-0.96%0.12%
20183-2.28%-2.74%$126,816$88,128-2.74%0.50%0.14%
20184-0.17%0.52%$126,597$88,5840.52%-0.95%0.14%
201852.56%2.43%$129,841$90,7372.43%0.69%0.15%
201860.42%0.58%$130,389$91,2590.58%-0.04%0.16%
201873.35%3.70%$134,752$94,6403.70%0.06%0.16%
201883.30%3.19%$139,193$97,6613.19%0.79%0.17%
201890.09%0.59%$139,322$98,2420.59%-0.68%0.17%
201810-6.72%-6.91%$129,964$91,453-6.91%-0.49%0.18%
2018111.96%1.85%$132,514$93,1501.85%0.61%0.19%
201812-7.12%-8.79%$123,076$84,958-8.79%1.81%0.19%
201918.01%8.01%$132,941$91,7608.01%1.52%0.20%
201922.80%3.24%$136,657$94,7353.24%-0.05%0.20%
201932.81%1.81%$140,492$96,4481.81%2.31%0.20%
201943.59%4.09%$145,540$100,3884.09%0.05%0.20%
20195-4.71%-6.38%$138,690$93,986-6.38%2.09%0.20%
201966.90%6.96%$148,263$100,5276.96%1.52%0.19%
201971.38%1.51%$150,311$102,0471.51%0.23%0.17%
20198-0.03%-1.67%$150,270$100,338-1.67%2.88%0.17%
201991.24%1.95%$152,131$102,2931.95%-0.70%0.16%
2019102.07%2.21%$155,283$104,5542.21%0.39%0.15%
2019112.96%3.62%$159,875$108,3383.62%-0.29%0.13%
2019122.40%2.90%$163,707$111,4842.90%-0.20%0.13%
202011.45%-0.04%$166,085$111,439-0.04%2.59%0.13%
20202-5.91%-7.92%$156,273$102,617-7.92%1.93%0.13%
20203-11.80%-12.46%$137,834$89,826-12.46%-1.43%0.10%
2020412.52%12.70%$155,085$101,23312.70%2.18%0.01%
202054.93%4.76%$162,735$106,0564.76%1.25%0.01%
202062.26%1.78%$166,409$107,9401.78%1.14%0.01%
202075.96%5.89%$176,323$114,2975.89%1.45%0.01%
202085.64%6.98%$186,273$122,2746.98%-0.53%0.01%
Portfolio return and risk metrics
MetricPortfolio 1SPDR S&P 500 ETF Trust
Arithmetic Mean (monthly)1.03%0.91%
Arithmetic Mean (annualized)13.11%11.48%
Geometric Mean (monthly)0.95%0.82%
Geometric Mean (annualized)12.07%10.25%
Volatility (monthly)3.93%4.31%
Volatility (annualized)13.61%14.93%
Downside Deviation (monthly)2.53%2.87%
Max. Drawdown-44.96%-50.80%
US Market Correlation0.960.99
Beta(*)0.891.00
Alpha (annualized)2.71%-0.00%
R294.54%100.00%
Sharpe Ratio0.740.58
Sortino Ratio1.120.84
Treynor Ratio (%)11.408.63
Calmar Ratio0.910.74
Active Return1.82%N/A
Tracking Error3.61%N/A
Information Ratio0.51N/A
Skewness-0.74-0.66
Excess Kurtosis2.061.21
Historical Value-at-Risk (5%)-6.14%-7.42%
Analytical Value-at-Risk (5%)-5.51%-6.18%
Conditional Value-at-Risk (5%)-8.85%-9.87%
Upside Capture Ratio (%)94.04100.00
Downside Capture Ratio (%)82.01100.00
Safe Withdrawal Rate12.44%10.46%
Perpetual Withdrawal Rate9.07%7.52%
Positive Periods208 out of 308 (67.53%)202 out of 308 (65.58%)
Gain/Loss Ratio0.950.89
* 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 1SPDR S&P 500 ETF Trust
Asian CrisisJul 1997Jan 1998-5.42%-5.18%
Russian Debt DefaultJul 1998Oct 1998-12.66%-15.28%
Dotcom CrashMar 2000Oct 2002-32.47%-44.71%
Subprime CrisisNov 2007Mar 2009-44.96%-50.80%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-44.96%
2Sep 2000Sep 20022 years 1 monthNov 20042 years 2 months4 years 3 months-32.47%
3Feb 2020Mar 20202 monthsJun 20203 months5 months-17.01%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-12.66%
5Oct 2018Dec 20183 monthsMar 20193 months6 months-11.66%
6Jun 2011Sep 20114 monthsJan 20124 months8 months-10.88%
7Jun 2015Sep 20154 monthsMar 20166 months10 months-7.22%
8Feb 2018Apr 20183 monthsAug 20184 months7 months-6.28%
9Jan 2000Feb 20002 monthsMar 20001 month3 months-5.94%
10Apr 2000May 20002 monthsAug 20003 months5 months-5.70%
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%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.71%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-19.43%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.28%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-13.52%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
7Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
8Jan 2000Feb 20002 monthsMar 20001 month3 months-6.43%
9May 2019May 20191 monthJun 20191 month2 months-6.38%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF Trust10.25%14.93%38.05%-36.81%-50.80%0.580.840.99
VBIIXVanguard Interm-Term Bond Index Inv6.33%4.96%21.03%-3.54%-8.92%0.801.35-0.00
CASHXCash2.31%0.61%5.99%0.03%0.00%N/AN/A-0.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYVBIIXCASHXPortfolio 1SPDR S&P 500 ETF Trust
SPYSPDR S&P 500 ETF Trust1.000.020.010.971.00
VBIIXVanguard Interm-Term Bond Index Inv0.021.000.080.240.02
CASHXCash0.010.081.000.010.01

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
SPYSPDR S&P 500 ETF Trust$139,509
VBIIXVanguard Interm-Term Bond Index Inv$47,681
CASHXCash-$10,917

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
SPYSPDR S&P 500 ETF Trust94.75%
VBIIXVanguard Interm-Term Bond Index Inv5.26%
CASHXCash-0.01%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1SPDR S&P 500 ETF Trust
AverageHighLowAverageHighLow
1 year13.14%43.74%-30.82%11.78%38.05%-36.81%
3 years11.07%31.53%-8.26%9.52%31.17%-14.52%
5 years9.89%27.37%-0.37%8.10%28.45%-2.38%
7 years9.23%16.99%1.18%7.18%15.76%-1.53%
10 years8.88%14.68%1.03%6.74%13.44%-1.49%
15 years8.62%11.35%6.95%6.47%9.82%4.17%
Result statistics are based on annualized rolling returns over full calendar year periods