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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Portfolio Analysis Results (Jan 1992 - Sep 2021)

Portfolio Allocations

HFEA 165/135 stocks/LTT
Ticker Name Allocation
VUSTX Vanguard Long-Term Treasury Inv 135.00%
CASHX Cash -200.00%
VFINX Vanguard 500 Index Investor 165.00%
Save portfolio »
125/250 stocks/ITT
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 250.00%
CASHX Cash -275.00%
VFINX Vanguard 500 Index Investor 125.00%
Save portfolio »
150/300 stocks/ITT
Ticker Name Allocation
VFITX Vanguard Interm-Term Treasury Inv 300.00%
CASHX Cash -350.00%
VFINX Vanguard 500 Index Investor 150.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
HFEA 165/135 stocks/LTT$10,000$4,452,758 22.75% 25.36%107.02%-37.09%-65.25% 0.851.360.81
125/250 stocks/ITT$10,000$2,573,686 20.51% 19.83%95.60%-22.87%-46.59% 0.931.540.79
150/300 stocks/ITT$10,000$5,998,232 23.99% 23.92%118.65%-27.23%-54.06% 0.931.540.78
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 year10 yearFull3 year5 year
HFEA 165/135 stocks/LTT1.42%14.85%33.66%41.64%32.21%34.35%22.75%30.17%25.47%
125/250 stocks/ITT0.34%15.03%31.73%32.86%24.91%25.77%20.51%21.47%17.94%
150/300 stocks/ITT0.40%18.08%38.64%39.35%29.69%31.01%23.99%25.73%21.50%
Trailing annualized return and volatility are for full months ending in September 2021 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2021 are based on monthly returns from January to September
  • 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 quarterly rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationHFEA 165/135 stocks/LTT125/250 stocks/ITT150/300 stocks/ITTVanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)Vanguard 500 Index Investor (VFINX)Vanguard Interm-Term Treasury Inv (VFITX)
ReturnBalanceReturnBalanceReturnBalance
19922.90%14.31%$11,43117.68%$11,76819.99%$11,9997.41%3.57%7.42%7.78%
19932.75%34.61%$15,38834.18%$15,79140.94%$16,91216.79%3.05%9.89%11.43%
19942.67%-15.65%$12,980-19.80%$12,665-24.27%$12,808-7.04%4.20%1.18%-4.33%
19952.54%107.02%$26,87295.60%$24,771118.65%$28,00530.09%5.71%37.45%20.44%
19963.32%24.56%$33,47117.78%$29,17620.21%$33,665-1.26%5.17%22.88%1.92%
19971.70%67.68%$56,12351.22%$44,11961.33%$54,31113.90%5.22%33.19%8.96%
19981.61%60.53%$90,09755.91%$68,78867.61%$91,03413.05%4.97%28.62%10.61%
19992.68%10.50%$99,5542.81%$70,7252.11%$92,954-8.66%4.77%21.07%-3.52%
20003.39%-2.67%$96,8985.79%$74,8205.70%$98,25519.72%5.99%-9.06%14.03%
20011.55%-20.39%$77,142-4.76%$71,261-6.65%$91,7254.31%3.70%-12.02%7.55%
20022.38%-18.75%$62,6771.57%$72,3811.40%$93,00716.67%1.65%-22.15%14.15%
20031.88%49.80%$93,89239.43%$100,92047.67%$137,3432.68%1.04%28.50%2.37%
20043.26%25.88%$118,18818.63%$119,72322.08%$167,6707.12%1.32%10.74%3.40%
20053.42%10.55%$130,6622.78%$123,0552.57%$171,9786.61%3.14%4.77%2.32%
20062.54%17.66%$153,74013.24%$139,34714.72%$197,2951.74%4.82%15.64%3.14%
20074.08%12.81%$173,42719.97%$167,17023.18%$243,0329.24%4.56%5.39%9.98%
20080.09%-37.09%$109,100-22.87%$128,942-27.23%$176,84722.52%1.53%-37.02%13.32%
20092.72%19.61%$130,49027.39%$164,25632.34%$234,035-12.05%0.16%26.49%-1.69%
20101.50%42.76%$186,28941.74%$232,82451.02%$353,4498.93%0.14%14.91%7.35%
20112.96%51.52%$282,26730.51%$303,86537.08%$484,51029.28%0.07%1.97%9.80%
20121.74%34.25%$378,95027.90%$388,65133.92%$648,8473.47%0.08%15.82%2.67%
20131.50%31.75%$499,25530.74%$508,13637.41%$891,600-13.03%0.05%32.18%-3.09%
20140.76%63.42%$815,89129.21%$656,57435.67%$1,209,61225.28%0.03%13.51%4.32%
20150.73%0.08%$816,5565.61%$693,3916.66%$1,290,165-1.54%0.05%1.25%1.50%
20162.07%21.23%$989,94317.11%$812,02120.56%$1,555,4551.20%0.30%11.82%1.19%
20172.11%49.95%$1,484,41229.40%$1,050,78335.75%$2,111,5808.58%0.88%21.67%1.57%
20181.91%-13.01%$1,291,360-7.51%$971,835-9.56%$1,909,652-1.90%1.90%-4.52%1.00%
20192.29%76.02%$2,273,09852.80%$1,484,97564.67%$3,144,63414.13%2.13%31.33%6.29%
20201.36%70.56%$3,876,97150.66%$2,237,30961.54%$5,079,80018.29%0.44%18.25%8.21%
20215.31%14.85%$4,452,75815.03%$2,573,68618.08%$5,998,232-7.25%0.03%15.81%-1.66%
Annual return for 2021 is from 01/01/2021 to 09/30/2021
Monthly returns for the configured portfolios
YearMonthHFEA 165/135 stocks/LTT125/250 stocks/ITT150/300 stocks/ITTVanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)Vanguard 500 Index Investor (VFINX)Vanguard Interm-Term Treasury Inv (VFITX)
ReturnBalanceReturnBalanceReturnBalance
19921-8.09%$9,191-8.62%$9,138-10.41%$8,959-3.21%0.33%-1.88%-2.15%
199222.39%$9,4112.08%$9,3282.47%$9,1800.64%0.32%1.24%0.52%
19923-5.57%$8,886-5.91%$8,776-7.28%$8,512-1.10%0.33%-1.93%-0.91%
199244.03%$9,2444.12%$9,1384.88%$8,927-0.07%0.34%2.91%0.57%
199253.69%$9,5855.02%$9,5965.92%$9,4552.70%0.31%0.48%2.18%
19926-1.50%$9,4421.73%$9,7631.99%$9,6431.12%0.31%-1.49%1.82%
1992711.50%$10,52711.92%$10,92614.24%$11,0174.02%0.30%4.04%3.07%
19928-2.77%$10,236-0.29%$10,894-0.39%$10,9740.71%0.27%-2.07%1.20%
199293.08%$10,5524.71%$11,4085.50%$11,5771.36%0.26%1.17%1.73%
199210-2.46%$10,293-4.49%$10,895-5.43%$10,948-1.89%0.23%0.33%-1.71%
1992115.93%$10,9032.57%$11,1753.06%$11,2830.50%0.25%3.40%-0.46%
1992124.85%$11,4315.31%$11,7686.35%$11,9992.63%0.27%1.21%1.80%
199314.66%$11,9647.10%$12,6048.47%$13,0162.85%0.26%0.81%2.72%
199325.93%$12,6737.03%$13,4908.28%$14,0933.20%0.24%1.36%2.53%
199333.00%$13,0532.66%$13,8493.08%$14,5270.19%0.25%2.11%0.40%
19934-3.46%$12,601-1.37%$13,659-1.69%$14,2810.76%0.24%-2.42%0.93%
199354.45%$13,1622.22%$13,9622.62%$14,6550.38%0.24%2.65%-0.15%
199365.55%$13,8935.11%$14,6766.07%$15,5454.17%0.26%0.27%2.20%
199370.67%$13,986-1.17%$14,504-1.46%$15,3191.39%0.25%-0.42%0.02%
1993811.08%$15,5369.56%$15,89011.45%$17,0733.99%0.25%3.79%2.18%
19939-1.24%$15,342-0.12%$15,871-0.19%$17,0400.33%0.25%-0.79%0.62%
1993103.77%$15,9212.16%$16,2132.54%$17,4740.62%0.24%2.08%0.09%
199311-5.34%$15,071-4.76%$15,442-5.73%$16,472-2.48%0.25%-1.00%-1.16%
1993122.10%$15,3882.26%$15,7912.67%$16,9120.42%0.26%1.22%0.56%
199418.08%$16,6317.24%$16,9358.64%$18,3732.23%0.25%3.38%1.49%
19942-9.82%$14,997-9.72%$15,289-11.55%$16,251-3.99%0.25%-2.71%-2.46%
19943-13.21%$13,017-13.14%$13,280-15.95%$13,659-3.82%0.28%-4.39%-2.62%
19944-0.19%$12,992-1.49%$13,082-1.85%$13,406-1.29%0.29%1.29%-0.92%
199451.44%$13,1791.62%$13,2941.89%$13,659-0.47%0.32%1.63%0.18%
19946-5.87%$12,405-4.94%$12,637-6.01%$12,839-0.81%0.35%-2.47%-0.33%
199478.68%$13,4827.40%$13,5718.81%$13,9692.94%0.35%3.28%1.70%
199484.86%$14,1374.68%$14,2065.47%$14,734-0.67%0.36%4.08%0.30%
19949-8.08%$12,995-7.87%$13,087-9.32%$13,360-3.00%0.38%-2.45%-1.79%
1994102.44%$13,3131.07%$13,2281.21%$13,522-0.36%0.39%2.25%-0.26%
199411-6.01%$12,512-6.69%$12,342-8.10%$12,4260.62%0.42%-3.65%-0.38%
1994123.74%$12,9802.61%$12,6653.08%$12,8081.62%0.47%1.46%0.79%
199516.87%$13,8726.80%$13,5268.07%$13,8422.62%0.47%2.58%1.94%
199528.74%$15,0849.52%$14,81411.20%$15,3912.73%0.49%3.88%2.58%
199534.49%$15,7613.47%$15,3283.97%$16,0030.72%0.48%2.95%0.57%
199546.13%$16,7276.25%$16,2867.40%$17,1871.65%0.48%2.94%1.56%
1995515.10%$19,25314.82%$18,69917.50%$20,1967.52%0.48%3.95%4.74%
199563.90%$20,0043.20%$19,2983.63%$20,9301.13%0.47%2.31%0.81%
199572.65%$20,5341.36%$19,5601.54%$21,252-1.40%0.46%3.30%-0.61%
199582.18%$20,9802.28%$20,0062.64%$21,8132.05%0.46%0.25%1.31%
199598.34%$22,7296.24%$21,2547.36%$23,4181.81%0.44%4.23%0.90%
1995102.52%$23,3032.75%$21,8383.21%$24,1692.97%0.44%-0.36%1.76%
1995119.25%$25,4598.59%$23,71310.17%$26,6272.31%0.45%4.38%1.82%
1995125.55%$26,8724.46%$24,7715.17%$28,0052.70%0.45%1.93%1.44%
199614.68%$28,1304.81%$25,9635.69%$29,598-0.05%0.42%3.39%0.69%
19962-5.62%$26,549-5.64%$24,499-6.79%$27,589-4.93%0.41%0.92%-2.38%
19963-1.69%$26,100-2.56%$23,873-3.16%$26,716-1.98%0.41%0.98%-1.09%
19964-0.84%$25,881-1.91%$23,417-2.38%$26,081-1.78%0.42%1.46%-1.03%
199652.82%$26,6120.99%$23,6491.11%$26,371-0.46%0.42%2.54%-0.44%
199662.56%$27,2933.05%$24,3713.59%$27,3172.14%0.42%0.38%1.51%
19967-8.21%$25,052-6.33%$22,827-7.69%$25,217-0.05%0.42%-4.42%0.14%
199680.75%$25,2390.47%$22,9330.47%$25,337-1.29%0.44%2.10%-0.35%
1996912.76%$28,46010.97%$25,45013.26%$28,6972.79%0.43%5.61%1.91%
1996108.96%$31,0118.51%$27,61610.13%$31,6033.88%0.41%2.76%2.48%
19961115.12%$35,69912.66%$31,11214.89%$36,3093.24%0.42%7.56%2.04%
199612-6.24%$33,471-6.22%$29,176-7.28%$33,665-2.38%0.42%-1.96%-1.45%
199718.52%$36,3236.74%$31,1428.00%$36,360-0.65%0.43%6.22%0.06%
199720.36%$36,4540.12%$31,1790.06%$36,382-0.11%0.42%0.79%0.10%
19973-10.26%$32,713-9.28%$28,285-11.09%$32,347-2.29%0.43%-4.14%-1.30%
1997412.12%$36,67910.27%$31,19012.24%$36,3052.35%0.44%5.96%1.61%
199759.90%$40,3108.13%$33,7249.50%$39,7550.98%0.43%6.09%0.83%
199768.01%$43,5416.43%$35,8927.41%$42,7021.78%0.40%4.45%1.00%
1997719.50%$52,02915.91%$41,60319.01%$50,8205.34%0.43%7.97%2.85%
19978-12.11%$45,726-9.73%$37,555-11.44%$45,005-2.57%0.43%-5.61%-0.99%
1997911.35%$50,9169.04%$40,95110.68%$49,8142.63%0.43%5.47%1.47%
199710-2.32%$49,733-1.18%$40,469-1.49%$49,0702.99%0.41%-3.35%1.66%
1997118.42%$53,9205.22%$42,5826.20%$52,1111.27%0.43%4.60%0.31%
1997124.09%$56,1233.61%$44,1194.22%$54,3111.66%0.43%1.72%1.09%
199813.54%$58,1084.50%$46,1035.31%$57,1941.91%0.44%1.11%1.73%
199829.73%$63,7656.62%$49,1557.80%$61,656-0.75%0.43%7.19%-0.38%
199837.39%$68,4785.40%$51,8096.28%$65,5270.14%0.44%5.10%0.14%
199841.37%$69,4131.33%$52,4971.51%$66,5150.40%0.42%1.01%0.49%
19985-1.22%$68,566-0.86%$52,044-1.11%$65,7741.83%0.41%-1.74%0.98%
199869.02%$74,7546.27%$55,3067.44%$70,6702.35%0.41%4.07%0.95%
19987-3.27%$72,310-1.92%$54,247-2.38%$68,986-0.51%0.42%-1.05%0.22%
19988-18.54%$58,906-11.23%$48,157-13.62%$59,5914.83%0.42%-14.47%3.20%
1998916.11%$68,39817.21%$56,44721.23%$72,2403.29%0.40%6.41%3.64%
19981010.47%$75,5587.30%$60,5688.69%$78,518-1.69%0.36%8.16%-0.77%
19981110.20%$83,2695.92%$64,1546.95%$83,9730.88%0.36%6.07%-0.35%
1998128.20%$90,0977.22%$68,7888.41%$91,034-0.16%0.37%5.81%0.38%
199917.53%$96,8805.88%$72,8346.98%$97,3920.98%0.37%4.20%0.65%
19992-11.68%$85,563-12.06%$64,051-14.39%$83,380-4.76%0.37%-3.12%-3.07%
199935.70%$90,4435.78%$67,7516.96%$89,182-0.34%0.38%4.00%0.58%
199945.88%$95,7614.52%$70,8125.35%$93,9520.19%0.37%3.85%0.28%
19995-6.70%$89,344-7.21%$65,705-8.65%$85,821-1.68%0.37%-2.39%-1.37%
199967.18%$95,7585.47%$69,3026.54%$91,432-1.05%0.38%5.56%-0.26%
19997-6.73%$89,315-6.12%$65,064-7.42%$84,652-0.58%0.39%-3.13%-0.45%
19998-2.38%$87,188-1.96%$63,789-2.47%$82,561-0.49%0.39%-0.50%-0.07%
19999-4.33%$83,413-1.88%$62,591-2.39%$80,5910.91%0.41%-2.74%1.08%
1999109.81%$91,5917.12%$67,0508.47%$87,4170.12%0.40%6.33%0.12%
1999111.74%$93,1831.25%$67,8871.40%$88,642-0.59%0.42%2.02%-0.08%
1999126.84%$99,5544.18%$70,7254.87%$92,954-1.60%0.43%5.98%-0.94%
20001-7.48%$92,108-8.63%$64,619-10.45%$83,2441.25%0.43%-5.03%-0.46%
200020.13%$92,229-1.15%$63,875-1.51%$81,9842.96%0.47%-1.91%1.00%
2000319.79%$110,48516.68%$74,52920.38%$98,6923.14%0.47%9.75%2.04%
20004-6.80%$102,968-5.71%$70,274-6.95%$91,836-0.66%0.48%-3.00%-0.26%
20005-5.17%$97,649-3.58%$67,756-4.46%$87,741-0.46%0.48%-2.04%0.16%
200066.80%$104,2907.85%$73,0749.52%$96,0962.30%0.46%2.49%2.20%
20007-1.43%$102,802-1.64%$71,879-2.06%$94,1181.49%0.48%-1.50%0.62%
2000812.02%$115,16110.42%$79,36712.45%$105,8342.08%0.51%6.19%1.62%
20009-10.22%$103,390-5.54%$74,969-6.65%$98,797-0.85%0.52%-5.29%0.89%
2000100.39%$103,7910.32%$75,2070.28%$99,0731.57%0.51%-0.43%0.90%
200011-9.83%$93,593-5.81%$70,838-7.08%$92,0632.99%0.52%-7.89%2.14%
2000123.53%$96,8985.62%$74,8206.73%$98,2552.45%0.51%0.51%2.39%
200115.27%$102,0036.42%$79,6227.61%$105,7280.28%0.48%3.55%1.33%
20012-13.25%$88,486-9.14%$72,346-10.92%$94,1841.80%0.41%-9.14%1.26%
20013-12.52%$77,410-7.48%$66,933-9.14%$85,578-0.60%0.40%-6.36%0.50%
200148.66%$84,1105.85%$70,8496.95%$91,525-2.56%0.35%7.77%-1.16%
200150.71%$84,7100.49%$71,1960.52%$92,0030.21%0.32%0.65%0.22%
20016-3.61%$81,648-3.17%$68,937-3.82%$88,4860.76%0.30%-2.45%0.30%
200172.63%$83,7944.74%$72,2075.63%$93,4713.61%0.30%-1.00%2.73%
20018-7.78%$77,276-5.44%$68,279-6.53%$87,3692.02%0.29%-6.27%1.11%
20019-12.30%$67,773-3.91%$65,609-4.76%$83,2090.88%0.28%-8.09%2.41%
2001109.65%$74,3117.37%$70,4448.80%$90,5345.12%0.20%1.90%2.22%
2001114.98%$78,0093.11%$72,6373.66%$93,844-4.98%0.17%7.65%-2.32%
200112-1.11%$77,142-1.90%$71,261-2.26%$91,725-1.91%0.15%0.87%-1.16%
20021-1.10%$76,296-1.11%$70,473-1.36%$90,4821.20%0.14%-1.47%0.45%
20022-1.76%$74,9550.46%$70,8000.53%$90,9601.24%0.14%-1.94%1.29%
200230.35%$75,216-1.74%$69,566-2.12%$89,027-3.86%0.15%3.74%-2.30%
20024-5.28%$71,248-1.45%$68,556-1.77%$87,4503.73%0.15%-6.07%2.62%
20025-0.96%$70,5611.40%$69,5141.65%$88,8960.39%0.15%-0.75%1.04%
20026-9.35%$63,963-4.24%$66,563-5.13%$84,3391.76%0.14%-7.13%1.72%
20027-9.06%$58,167-3.40%$64,303-4.10%$80,8802.93%0.14%-7.72%2.66%
200287.32%$62,4226.80%$68,6778.19%$87,5054.28%0.14%0.65%2.42%
20029-11.38%$55,319-4.89%$65,320-5.86%$82,3794.02%0.14%-10.87%3.03%
20021010.40%$61,0758.87%$71,11410.62%$91,126-2.84%0.13%8.78%-0.70%
2002118.17%$66,0654.02%$73,9724.72%$95,432-0.98%0.12%5.88%-1.32%
200212-5.13%$62,677-2.15%$72,381-2.54%$93,0074.05%0.10%-5.89%2.58%
20031-5.13%$59,459-4.79%$68,911-5.77%$87,639-0.45%0.10%-2.62%-0.49%
200321.51%$60,3572.40%$70,5682.89%$90,1753.03%0.10%-1.52%1.77%
20033-0.26%$60,1990.42%$70,8610.48%$90,609-1.13%0.10%0.96%-0.19%
2003414.66%$69,02210.66%$78,41612.78%$102,1850.91%0.09%8.25%0.24%
2003514.77%$79,21712.39%$88,13514.58%$117,0795.67%0.09%5.26%2.74%
200360.04%$79,2470.35%$88,4410.39%$117,532-1.48%0.09%1.26%-0.43%
20037-8.84%$72,238-7.71%$81,625-9.26%$106,645-8.57%0.07%1.74%-3.87%
200385.31%$76,0782.91%$84,0013.54%$110,4161.43%0.08%1.93%0.19%
200394.53%$79,5216.12%$89,1467.41%$118,6025.07%0.08%-1.07%3.09%
2003105.67%$84,0313.45%$92,2194.12%$123,489-2.58%0.08%5.64%-1.36%
2003111.67%$85,4310.91%$93,0581.07%$124,8100.31%0.08%0.86%0.01%
2003129.90%$93,8928.45%$100,92010.04%$137,3431.23%0.08%5.22%0.85%
200415.20%$98,7794.10%$105,0564.90%$144,0761.74%0.08%1.82%0.81%
200424.61%$103,3374.45%$109,7325.29%$151,6911.96%0.08%1.38%1.23%
20043-0.64%$102,6710.50%$110,2850.58%$152,5721.45%0.08%-1.51%1.06%
20044-10.21%$92,191-10.31%$98,911-12.39%$133,667-5.52%0.08%-1.58%-3.25%
200451.49%$93,5600.25%$99,1540.28%$134,046-0.56%0.08%1.36%-0.51%
200464.50%$97,7683.85%$102,9704.70%$140,3530.87%0.09%1.93%0.54%
20047-3.64%$94,214-2.17%$100,739-2.62%$136,6741.52%0.11%-3.31%0.91%
200485.20%$99,1125.48%$106,2626.58%$145,6733.39%0.12%0.38%2.07%
200492.73%$101,8181.37%$107,7211.61%$148,0220.94%0.13%1.07%0.19%
2004104.19%$106,0843.78%$111,7934.51%$154,6951.46%0.14%1.51%0.91%
2004113.24%$109,5250.94%$112,8461.09%$156,385-2.25%0.16%4.05%-1.48%
2004127.91%$118,1886.09%$119,7237.22%$167,6702.22%0.18%3.39%0.97%
20051-0.91%$117,109-2.17%$117,123-2.64%$163,2382.59%0.18%-2.45%0.56%
200521.25%$118,569-0.49%$116,544-0.64%$162,196-1.24%0.21%2.09%-0.98%
20053-4.36%$113,403-4.19%$111,664-5.10%$153,920-0.76%0.23%-1.76%-0.51%
200540.74%$114,2451.36%$113,1781.58%$156,3533.22%0.23%-1.91%1.75%
200558.13%$123,5326.18%$120,1677.35%$167,8392.55%0.24%3.17%1.20%
200561.89%$125,8690.83%$121,1700.94%$169,4221.64%0.25%0.13%0.55%
200572.12%$128,5380.41%$121,6710.45%$170,177-2.58%0.26%3.71%-1.41%
200581.62%$130,6172.09%$124,2122.45%$174,3442.87%0.28%-0.91%1.65%
20059-2.87%$126,868-2.57%$121,025-3.12%$168,900-2.78%0.29%0.79%-1.14%
200510-5.70%$119,638-4.88%$115,122-5.91%$158,916-1.74%0.29%-1.68%-0.79%
2005116.58%$127,5095.15%$121,0526.18%$168,7350.57%0.33%3.76%0.48%
2005122.47%$130,6621.65%$123,0551.92%$171,9782.33%0.32%0.02%1.01%
200612.48%$133,9051.55%$124,9571.79%$175,054-0.90%0.33%2.65%-0.34%
200620.77%$134,933-0.45%$124,395-0.61%$173,9850.81%0.37%0.26%0.09%
20063-3.13%$130,708-1.90%$122,038-2.35%$169,902-3.39%0.38%1.23%-0.99%
20064-1.20%$129,137-0.31%$121,664-0.44%$169,148-1.96%0.38%1.33%-0.37%
20065-5.72%$121,751-4.71%$115,938-5.73%$159,451-0.03%0.39%-2.90%0.02%
200660.36%$122,195-0.72%$115,098-0.97%$157,9120.71%0.40%0.13%0.10%
200672.67%$125,4543.02%$118,5693.54%$163,4971.84%0.41%0.61%1.35%
200686.65%$133,7975.74%$125,3726.77%$174,5622.74%0.42%2.36%1.62%
200695.23%$140,7904.17%$130,6024.86%$183,0391.58%0.41%2.56%0.94%
2006105.60%$148,6754.40%$136,3465.20%$192,5530.77%0.40%3.25%0.57%
2006114.70%$155,6683.92%$141,6944.59%$201,3941.91%0.42%1.89%1.12%
200612-1.24%$153,740-1.66%$139,347-2.03%$197,295-2.14%0.41%1.39%-0.98%
200710.50%$154,5050.10%$139,4820.03%$197,363-0.85%0.41%1.49%-0.26%
20072-0.22%$154,1700.98%$140,8431.09%$199,5082.93%0.42%-1.97%1.86%
20073-0.57%$153,2890.28%$141,2360.25%$200,009-1.13%0.42%1.11%0.03%
200747.62%$164,9715.80%$149,4326.88%$213,7720.86%0.41%4.42%0.57%
200752.37%$168,8790.42%$150,0660.43%$214,688-1.93%0.40%3.48%-1.18%
20076-4.47%$161,336-3.54%$144,748-4.28%$205,499-0.88%0.39%-1.68%-0.18%
20077-2.65%$157,055-0.41%$144,153-0.57%$204,3242.39%0.39%-3.08%1.81%
200784.42%$163,9945.72%$152,3966.79%$218,1981.97%0.40%1.50%1.97%
200795.56%$173,1154.59%$159,3965.40%$229,9840.21%0.33%3.72%0.46%
2007103.87%$179,8133.21%$164,5083.79%$238,6901.40%0.31%1.58%0.84%
200711-1.32%$177,4392.44%$168,5182.85%$245,4834.59%0.32%-4.19%3.46%
200712-2.26%$173,427-0.80%$167,170-1.00%$243,032-0.48%0.26%-0.70%0.27%
20081-6.91%$161,442-0.53%$166,281-0.69%$241,3472.64%0.28%-6.02%3.10%
20082-5.23%$152,997-0.78%$164,985-0.97%$239,0070.35%0.16%-3.25%1.35%
200830.52%$153,7861.52%$167,4921.80%$243,3061.02%0.15%-0.44%0.93%
200845.30%$161,9340.41%$168,1840.47%$244,458-1.84%0.11%4.85%-2.14%
20085-0.78%$160,676-1.85%$165,068-2.25%$238,969-2.13%0.12%1.29%-1.32%
20086-12.20%$141,076-9.90%$148,720-11.96%$210,3991.80%0.15%-8.44%0.77%
20087-1.29%$139,2610.47%$149,4160.53%$211,5140.30%0.16%-0.83%0.77%
200884.59%$145,6513.85%$155,1674.59%$221,2191.80%0.14%1.45%0.98%
20089-14.19%$124,987-9.84%$139,897-11.74%$195,2400.28%0.14%-8.91%0.51%
200810-32.76%$84,047-24.59%$105,495-29.52%$137,597-3.63%0.08%-16.79%-1.36%
2008118.58%$91,2628.23%$114,17410.55%$152,11612.07%0.04%-7.17%5.58%
20081219.55%$109,10012.93%$128,94216.26%$176,8478.87%0.00%1.07%3.66%
20091-25.33%$81,461-16.52%$107,644-19.82%$141,791-8.47%0.01%-8.41%-2.39%
20092-23.29%$62,489-16.38%$90,012-20.47%$112,766-1.01%0.02%-10.66%-0.58%
2009331.81%$82,36823.88%$111,51031.37%$148,1385.27%0.02%8.76%3.20%
200949.00%$89,7827.51%$119,8879.01%$161,487-4.99%0.02%9.56%-1.76%
200956.15%$95,3004.60%$125,4055.45%$170,281-2.68%0.01%5.62%-1.10%
200961.10%$96,348-0.55%$124,717-0.65%$169,1810.70%0.01%0.22%-0.37%
2009713.55%$109,40510.92%$138,33313.10%$191,3400.80%0.02%7.58%0.60%
200987.61%$117,7356.35%$147,1117.47%$205,6241.68%0.02%3.60%0.89%
200997.82%$126,9396.34%$156,4397.38%$220,8041.98%0.01%3.72%0.92%
200910-5.07%$120,505-1.74%$153,723-2.09%$216,199-1.45%0.01%-1.87%0.25%
20091112.86%$136,00612.44%$172,85214.98%$248,5951.91%0.00%5.98%1.96%
200912-4.06%$130,490-4.97%$164,256-5.86%$234,035-5.66%0.01%1.95%-3.13%
20101-2.36%$127,4080.40%$164,9170.48%$235,1622.66%0.01%-3.60%1.97%
201024.73%$133,4304.72%$172,6985.66%$248,463-0.21%0.01%3.09%0.40%
201037.58%$143,5394.87%$181,1025.78%$262,827-1.51%0.01%6.01%-0.91%
201046.30%$152,5845.02%$190,1946.02%$278,6542.76%0.01%1.58%1.23%
20105-7.12%$141,715-5.26%$180,191-6.25%$261,2274.23%0.01%-8.01%1.85%
20106-1.38%$139,766-0.84%$178,686-1.01%$258,5994.67%0.01%-5.24%2.07%
2010711.28%$155,53511.39%$199,03213.66%$293,925-0.17%0.02%7.00%1.07%
201081.36%$157,657-0.93%$197,177-1.10%$290,6977.08%0.01%-4.53%2.00%
2010910.97%$174,95611.14%$219,14513.12%$328,841-1.82%0.01%8.92%0.36%
2010101.78%$178,0795.82%$231,8946.98%$351,789-3.29%0.01%3.79%0.45%
201011-2.07%$174,393-2.36%$226,431-2.80%$341,946-1.60%0.01%0.00%-0.98%
2010126.82%$186,2892.82%$232,8243.36%$353,449-3.58%0.01%6.67%-2.29%
201110.66%$187,5223.65%$241,3204.38%$368,917-2.38%0.01%2.36%0.29%
201127.33%$201,2583.14%$248,9003.74%$382,7181.24%0.01%3.42%-0.43%
201130.04%$201,346-0.28%$248,204-0.33%$381,4410.02%0.01%0.03%-0.12%
201147.60%$216,6557.67%$267,2529.21%$416,5632.04%0.01%2.95%1.60%
201152.40%$221,8542.79%$274,7003.30%$430,2963.29%0.00%-1.15%1.77%
20116-5.14%$210,461-2.32%$268,332-2.73%$418,548-2.00%0.01%-1.67%-0.16%
201172.26%$215,2182.88%$276,0623.46%$433,0154.18%0.00%-2.05%2.18%
201183.32%$222,3550.21%$276,6410.25%$434,0938.68%0.01%-5.45%2.70%
201194.51%$232,389-6.05%$259,903-7.22%$402,76110.16%0.00%-7.04%0.73%
20111013.50%$263,76712.60%$292,64015.11%$463,637-3.34%0.00%10.91%-0.42%
2011111.71%$268,2770.36%$293,6950.42%$465,5981.82%0.00%-0.23%0.29%
2011125.21%$282,2673.46%$303,8654.06%$484,5103.13%0.00%1.02%1.00%
201217.47%$303,3497.59%$326,9439.11%$528,6650.08%0.00%4.46%0.81%
201224.24%$316,2213.68%$338,9764.35%$551,684-2.11%0.01%4.31%-0.65%
201230.81%$318,7702.21%$346,4672.60%$566,011-3.77%0.01%3.28%-0.79%
201244.83%$334,1772.94%$356,6483.53%$585,9644.37%0.01%-0.64%1.50%
201251.04%$337,653-4.22%$341,585-5.04%$556,4247.79%0.01%-6.02%1.24%
201263.89%$350,8034.27%$356,1765.14%$585,022-1.44%0.01%4.11%-0.22%
201276.73%$374,4153.85%$369,8824.62%$612,0273.32%0.01%1.37%0.86%
201282.10%$382,2902.96%$380,8143.52%$633,563-1.06%0.01%2.24%0.10%
201291.37%$387,5432.95%$392,0633.50%$655,727-2.10%0.01%2.58%-0.06%
201210-3.67%$373,320-3.14%$379,763-3.77%$631,029-0.43%0.01%-1.86%-0.32%
2012112.81%$383,7932.27%$388,3862.74%$648,3241.35%0.01%0.56%0.62%
201212-1.26%$378,9500.07%$388,6510.08%$648,847-1.99%0.01%0.90%-0.41%
201314.11%$394,5324.61%$406,5775.53%$684,755-3.27%0.00%5.18%-0.74%
201323.80%$409,5393.36%$420,2193.99%$712,0761.26%0.01%1.34%0.71%
201336.11%$434,5535.22%$442,1346.16%$755,9680.03%0.01%3.74%0.27%
201348.36%$470,8934.15%$460,4824.98%$793,6053.87%0.01%1.91%0.71%
20135-4.46%$449,902-1.62%$453,041-1.92%$778,332-6.23%0.00%2.33%-1.84%
20136-6.39%$421,173-5.64%$427,495-6.73%$725,913-3.26%0.00%-1.35%-1.62%
201375.76%$445,4276.65%$455,9167.98%$783,821-1.93%0.00%5.07%0.13%
20138-6.38%$416,993-5.98%$428,631-7.09%$728,219-1.28%0.00%-2.91%-1.02%
201396.46%$443,9407.59%$461,1619.10%$794,5000.88%0.00%3.12%1.47%
2013109.35%$485,4536.94%$493,1808.33%$860,6921.32%0.00%4.59%0.49%
2013111.66%$493,5103.37%$509,8214.00%$895,091-2.49%0.00%3.03%-0.14%
2013121.16%$499,255-0.33%$508,136-0.39%$891,600-2.37%0.01%2.51%-1.49%
201412.71%$512,803-0.19%$507,171-0.23%$889,5586.26%0.01%-3.47%1.67%
201427.90%$553,3346.04%$537,8237.25%$954,0940.60%0.00%4.56%0.21%
201432.05%$564,658-0.47%$535,293-0.56%$948,7580.63%0.00%0.82%-0.60%
201443.64%$585,2202.12%$546,6582.55%$972,9241.82%0.00%0.72%0.49%
201457.36%$628,2805.40%$576,2036.46%$1,035,7592.73%0.00%2.33%1.03%
201462.93%$646,7002.14%$588,5372.53%$1,061,985-0.16%0.00%2.05%-0.13%
20147-1.50%$637,028-2.72%$572,530-3.26%$1,027,3180.59%0.00%-1.39%-0.39%
2014812.40%$716,0267.68%$616,5099.27%$1,122,5404.23%0.00%3.98%1.03%
20149-4.70%$682,353-3.31%$596,101-3.94%$1,078,345-1.99%0.00%-1.41%-0.66%
2014107.52%$733,6755.83%$630,8547.00%$1,153,7852.61%0.00%2.42%1.12%
2014117.90%$791,6545.26%$664,0366.24%$1,225,8132.86%0.00%2.68%0.84%
2014123.06%$815,891-1.12%$656,574-1.32%$1,209,6122.82%0.00%-0.26%-0.35%
201517.12%$873,9702.96%$676,0253.55%$1,252,6048.97%0.00%-3.02%2.70%
201520.80%$880,9762.80%$694,9253.34%$1,294,384-5.66%0.00%5.74%-1.59%
20153-1.05%$871,699-0.11%$694,143-0.13%$1,292,6501.13%0.00%-1.59%0.76%
20154-2.58%$849,1940.65%$698,6550.78%$1,302,728-3.07%0.00%0.95%-0.21%
20155-0.73%$843,0181.29%$707,6851.55%$1,322,904-2.16%0.00%1.27%-0.12%
20156-8.31%$772,988-4.23%$677,752-5.06%$1,256,011-3.73%0.00%-1.93%-0.74%
201579.11%$843,4174.71%$709,6955.66%$1,327,0474.21%0.00%2.08%0.85%
20158-10.27%$756,823-7.47%$656,684-8.88%$1,209,141-0.71%0.01%-6.05%-0.03%
20159-1.30%$746,960-0.01%$656,648-0.01%$1,209,0441.91%0.01%-2.48%1.19%
20151013.25%$845,9299.35%$718,03311.22%$1,344,672-0.48%0.00%8.42%-0.47%
201511-0.52%$841,557-0.55%$714,085-0.65%$1,335,933-0.81%0.01%0.29%-0.39%
201512-2.97%$816,556-2.90%$693,391-3.43%$1,290,165-0.34%0.02%-1.59%-0.38%
20161-1.17%$807,009-0.36%$690,871-0.44%$1,284,5045.24%0.01%-4.98%2.36%
201623.83%$837,8841.85%$703,6812.22%$1,313,0372.86%0.03%-0.15%0.82%
2016310.36%$924,6538.40%$762,78410.04%$1,444,9290.05%0.03%6.78%0.22%
20164-0.27%$922,1910.10%$763,5180.11%$1,446,546-0.63%0.02%0.37%-0.13%
201653.85%$957,6581.67%$776,2442.00%$1,475,4220.69%0.02%1.78%-0.21%
201668.92%$1,043,1025.24%$816,9576.27%$1,567,8856.57%0.03%0.25%2.05%
201678.73%$1,134,1994.65%$854,9245.57%$1,655,2552.01%0.02%3.68%0.04%
20168-1.10%$1,121,679-1.63%$840,992-1.94%$1,623,099-1.00%0.02%0.13%-0.72%
20169-1.71%$1,102,5270.63%$846,2730.74%$1,635,173-1.32%0.03%0.01%0.29%
201610-8.78%$1,005,676-4.19%$810,800-5.03%$1,552,850-4.23%0.02%-1.83%-0.73%
201611-4.63%$959,115-2.21%$792,892-2.68%$1,511,234-7.86%0.03%3.70%-2.65%
2016123.21%$989,9432.41%$812,0212.93%$1,555,455-0.35%0.04%1.96%-0.05%
201713.90%$1,028,5263.00%$836,3503.59%$1,611,2480.65%0.04%1.88%0.30%
201728.38%$1,114,6895.74%$884,3646.84%$1,721,4791.57%0.04%3.96%0.39%
20173-0.65%$1,107,4990.16%$885,7950.18%$1,724,631-0.59%0.04%0.10%0.07%
201743.69%$1,148,3863.04%$912,6963.63%$1,787,2671.58%0.06%1.02%0.77%
201754.40%$1,198,8892.98%$939,9013.54%$1,850,5991.73%0.07%1.39%0.59%
201761.62%$1,218,352-0.60%$934,239-0.73%$1,837,0940.63%0.08%0.61%-0.47%
201772.40%$1,247,6173.36%$965,6584.02%$1,910,924-0.59%0.08%2.04%0.42%
201784.60%$1,304,9742.22%$987,0862.63%$1,961,1633.27%0.09%0.29%0.86%
201790.16%$1,307,0020.28%$989,8280.31%$1,967,328-2.27%0.08%2.06%-0.83%
2017103.62%$1,354,3772.15%$1,011,0602.56%$2,017,626-0.02%0.09%2.32%-0.21%
2017115.62%$1,430,5232.63%$1,037,6133.12%$2,080,5820.63%0.09%3.06%-0.39%
2017123.77%$1,484,4121.27%$1,050,7831.49%$2,111,5801.78%0.10%1.10%0.07%
201814.60%$1,552,7062.94%$1,081,6603.50%$2,185,554-3.40%0.11%5.71%-1.56%
20182-9.98%$1,397,726-6.22%$1,014,341-7.45%$2,022,720-2.89%0.12%-3.69%-0.49%
20183-1.14%$1,381,757-1.86%$995,463-2.28%$1,976,6232.75%0.14%-2.56%0.75%
20184-2.42%$1,348,346-2.21%$973,420-2.69%$1,923,540-2.04%0.14%0.37%-0.92%
201856.17%$1,431,6044.55%$1,017,7475.46%$2,028,5441.79%0.15%2.39%0.76%
201861.54%$1,453,6240.59%$1,023,7470.67%$2,042,2140.66%0.16%0.61%0.11%
201874.07%$1,512,8563.33%$1,057,8103.96%$2,123,108-1.28%0.16%3.71%-0.35%
201886.53%$1,611,6115.47%$1,115,7196.50%$2,261,0411.18%0.17%3.25%0.77%
20189-2.76%$1,567,143-1.63%$1,097,526-1.96%$2,216,789-2.74%0.17%0.55%-0.82%
201810-15.46%$1,324,784-9.22%$996,356-11.10%$1,970,779-2.82%0.18%-6.85%-0.06%
2018115.99%$1,404,1664.67%$1,042,8365.67%$2,082,5771.78%0.19%2.03%0.96%
201812-8.03%$1,291,360-6.81%$971,835-8.30%$1,909,6525.50%0.19%-9.04%1.90%
2019113.47%$1,465,28710.91%$1,077,88413.05%$2,158,9490.49%0.20%8.00%0.58%
201923.11%$1,510,9042.80%$1,108,0853.26%$2,229,401-1.31%0.20%3.20%-0.26%
201938.94%$1,645,9405.78%$1,172,0796.73%$2,379,5055.47%0.20%1.94%1.78%
201943.74%$1,707,4524.39%$1,223,5795.23%$2,504,033-1.88%0.20%4.04%-0.05%
20195-2.42%$1,666,154-3.54%$1,180,220-4.26%$2,397,4626.65%0.20%-6.36%2.05%
2019612.16%$1,868,78310.53%$1,304,55412.59%$2,699,3901.01%0.19%7.03%1.02%
201972.30%$1,911,7450.90%$1,316,3411.05%$2,727,7200.22%0.17%1.43%-0.16%
2019811.17%$2,125,3133.66%$1,364,4814.35%$2,846,32210.68%0.17%-1.59%2.48%
20199-1.04%$2,103,1790.08%$1,365,6380.07%$2,848,312-2.62%0.16%1.86%-0.70%
2019101.76%$2,140,1692.68%$1,402,2483.19%$2,939,066-1.10%0.15%2.15%0.16%
2019115.23%$2,252,0183.27%$1,448,0733.88%$3,053,030-0.39%0.13%3.62%-0.37%
2019120.94%$2,273,0982.55%$1,484,9753.00%$3,144,634-3.00%0.13%3.01%-0.36%
202019.51%$2,489,1625.06%$1,560,0926.04%$3,334,7227.29%0.13%-0.05%2.19%
20202-3.94%$2,391,188-4.96%$1,482,643-5.93%$3,137,1216.58%0.13%-8.24%2.12%
20203-9.66%$2,160,241-8.54%$1,355,953-10.28%$2,814,5615.67%0.10%-12.37%2.27%
2020423.57%$2,669,50017.15%$1,588,54620.58%$3,393,8631.81%0.01%12.81%0.46%
202055.29%$2,810,6846.61%$1,693,5617.71%$3,655,397-1.67%0.01%4.76%0.42%
202063.36%$2,905,1892.92%$1,742,9733.37%$3,778,4060.40%0.01%1.98%0.30%
2020714.89%$3,337,7798.21%$1,886,1099.85%$4,150,6544.17%0.01%5.63%0.49%
202085.11%$3,508,2318.23%$2,041,3639.73%$4,554,464-4.71%0.01%7.18%-0.22%
20209-5.04%$3,331,472-4.29%$1,953,798-5.00%$4,326,6090.78%0.01%-3.81%0.16%
202010-8.74%$3,040,396-4.85%$1,859,110-5.82%$4,074,919-3.19%0.01%-2.67%-0.59%
20201121.42%$3,691,71014.55%$2,129,64017.64%$4,793,7451.53%0.01%10.94%0.23%
2020125.02%$3,876,9715.06%$2,237,3095.97%$5,079,800-0.95%0.01%3.84%0.14%
20211-6.41%$3,628,497-2.44%$2,182,655-2.93%$4,930,813-3.49%0.01%-1.02%-0.46%
20212-3.13%$3,514,9480.11%$2,185,0180.13%$4,937,200-5.69%0.01%2.75%-1.32%
202131.68%$3,574,0023.46%$2,260,6104.17%$5,143,122-4.72%0.00%4.37%-0.88%
2021411.98%$4,002,1168.44%$2,451,43510.13%$5,664,0732.37%0.00%5.32%0.72%
202151.27%$4,052,9382.03%$2,501,1212.39%$5,799,7130.17%0.00%0.69%0.52%
202168.32%$4,390,2452.55%$2,565,0153.01%$5,974,1433.90%0.00%2.31%-0.09%
202178.78%$4,775,6175.79%$2,713,5586.95%$6,389,2573.60%0.00%2.38%1.13%
202184.40%$4,985,5402.99%$2,794,6553.55%$6,615,857-0.23%0.01%3.03%-0.28%
20219-10.69%$4,452,758-7.91%$2,573,686-9.34%$5,998,232-2.88%0.00%-4.66%-0.97%
Portfolio return and risk metrics
MetricHFEA 165/135 stocks/LTT125/250 stocks/ITT150/300 stocks/ITT
Arithmetic Mean (monthly)1.99%1.73%2.05%
Arithmetic Mean (annualized)26.73%22.86%27.51%
Geometric Mean (monthly)1.72%1.57%1.81%
Geometric Mean (annualized)22.75%20.51%23.99%
Volatility (monthly)7.32%5.73%6.91%
Volatility (annualized)25.36%19.83%23.92%
Downside Deviation (monthly)4.50%3.37%4.06%
Max. Drawdown-65.25%-46.59%-54.06%
US Market Correlation0.810.790.78
Beta(*)1.381.051.27
Alpha (annualized)8.73%9.19%10.64%
R265.25%61.91%61.41%
Sharpe Ratio0.850.930.93
Sortino Ratio1.361.541.54
Treynor Ratio (%)15.6117.4917.55
Calmar Ratio2.372.512.52
Active Return12.41%10.17%13.65%
Tracking Error15.99%12.27%15.37%
Information Ratio0.780.830.89
Skewness-0.41-0.28-0.22
Excess Kurtosis2.441.842.11
Historical Value-at-Risk (5%)-10.21%-7.88%-9.32%
Analytical Value-at-Risk (5%)-9.97%-7.70%-9.29%
Conditional Value-at-Risk (5%)-14.98%-11.38%-13.69%
Upside Capture Ratio (%)170.18133.36162.66
Downside Capture Ratio (%)123.1390.21108.56
Safe Withdrawal Rate18.94%18.23%21.29%
Perpetual Withdrawal Rate17.02%15.44%17.87%
Positive Periods234 out of 357 (65.55%)236 out of 357 (66.11%)236 out of 357 (66.11%)
Gain/Loss Ratio1.071.131.11
* US stock market 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 PeriodStartEndHFEA 165/135 stocks/LTT125/250 stocks/ITT150/300 stocks/ITT
Asian CrisisJul 1997Jan 1998-12.11%-9.73%-11.44%
Russian Debt DefaultJul 1998Oct 1998-21.20%-12.93%-15.68%
Dotcom CrashMar 2000Oct 2002-51.96%-19.24%-23.58%
Subprime CrisisNov 2007Mar 2009-65.25%-46.59%-54.06%
COVID-19 StartJan 2020Mar 2020-13.21%-13.09%-15.60%

Drawdowns for HFEA 165/135 stocks/LTT

Drawdowns for HFEA 165/135 stocks/LTT (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-65.25%
2Sep 2000Sep 20022 years 1 monthDec 20042 years 3 months4 years 4 months-51.96%
3Feb 1994Jun 19945 monthsApr 199510 months1 year 3 months-25.41%
4Jul 1998Aug 19982 monthsOct 19982 months4 months-21.20%
5Sep 2018Dec 20184 monthsMar 20193 months7 months-19.87%
6Aug 2016Nov 20164 monthsApr 20175 months9 months-15.44%
7Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-15.21%
8Feb 1999Sep 19998 monthsDec 19993 months11 months-13.90%
9Sep 2020Oct 20202 monthsNov 20201 month3 months-13.34%
10Feb 2020Mar 20202 monthsApr 20201 month3 months-13.21%
Worst 10 drawdowns included above

Drawdowns for 125/250 stocks/ITT

Drawdowns for 125/250 stocks/ITT (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsNov 20099 months2 years-46.59%
2Feb 1994Nov 199410 monthsMay 19956 months1 year 4 months-27.12%
3Feb 2001Jul 20021 year 6 monthsMay 200310 months2 years 4 months-19.24%
4Feb 1999Sep 19998 monthsMar 20006 months1 year 2 months-14.06%
5Feb 2020Mar 20202 monthsApr 20201 month3 months-13.09%
6Jul 1998Aug 19982 monthsSep 19981 month3 months-12.93%
7Sep 2018Dec 20184 monthsMar 20193 months7 months-12.90%
8Jan 1992Mar 19923 monthsJul 19924 months7 months-12.24%
9Feb 1996Jul 19966 monthsOct 19963 months9 months-12.08%
10Sep 2000Nov 20003 monthsJan 20012 months5 months-10.75%
Worst 10 drawdowns included above

Drawdowns for 150/300 stocks/ITT

Drawdowns for 150/300 stocks/ITT (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Dec 2007Feb 20091 year 3 monthsNov 20099 months2 years-54.06%
2Feb 1994Nov 199410 monthsMay 19956 months1 year 4 months-32.37%
3Sep 2000Jul 20021 year 11 monthsMay 200310 months2 years 9 months-23.58%
4Feb 1999Sep 19998 monthsMar 20006 months1 year 2 months-17.25%
5Jul 1998Aug 19982 monthsSep 19981 month3 months-15.68%
6Feb 2020Mar 20202 monthsApr 20201 month3 months-15.60%
7Sep 2018Dec 20184 monthsMar 20193 months7 months-15.54%
8Jan 1992Mar 19923 monthsJul 19924 months7 months-14.88%
9Feb 1996Jul 19966 monthsOct 19963 months9 months-14.80%
10Apr 2004Apr 20041 monthOct 20046 months7 months-12.39%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VUSTXVanguard Long-Term Treasury Inv7.06%10.18%30.09%-13.03%-18.92%0.490.82-0.21
CASHXCash2.36%0.59%5.99%0.03%0.00%N/AN/A-0.02
VFINXVanguard 500 Index Investor10.24%14.42%37.45%-37.02%-50.97%0.590.860.99
VFITXVanguard Interm-Term Treasury Inv5.25%4.62%20.44%-4.33%-6.47%0.631.05-0.18

Monthly Correlations

Correlations for the portfolio assets
TickerNameVUSTXCASHXVFINXVFITXHFEA 165/135 stocks/LTT125/250 stocks/ITT150/300 stocks/ITT
VUSTXVanguard Long-Term Treasury Inv1.000.05-0.190.860.380.340.34
CASHXCash0.051.00-0.010.14-0.03-0.01-0.02
VFINXVanguard 500 Index Investor-0.19-0.011.00-0.150.830.810.81
VFITXVanguard Interm-Term Treasury Inv0.860.14-0.151.000.330.440.44

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameHFEA 165/135 stocks/LTT125/250 stocks/ITT150/300 stocks/ITT
VUSTXVanguard Long-Term Treasury Inv$888,326
CASHXCash-$269,770-$284,866-$635,648
VFINXVanguard 500 Index Investor$3,824,202$2,033,636$4,894,227
VFITXVanguard Interm-Term Treasury Inv$814,916$1,729,653

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameHFEA 165/135 stocks/LTT125/250 stocks/ITT150/300 stocks/ITT
VUSTXVanguard Long-Term Treasury Inv20.86%
CASHXCash0.16%0.09%0.14%
VFINXVanguard 500 Index Investor78.99%73.97%73.81%
VFITXVanguard Interm-Term Treasury Inv25.95%26.05%

Annual Asset Returns

Rolling returns summary
Roll PeriodHFEA 165/135 stocks/LTT125/250 stocks/ITT150/300 stocks/ITT
AverageHighLowAverageHighLowAverageHighLow
1 year27.11%113.53%-59.16%22.92%95.60%-45.44%27.45%120.34%-52.82%
3 years23.68%71.68%-22.63%20.55%55.58%-10.22%24.19%69.76%-13.46%
5 years22.35%54.68%-9.57%19.99%42.98%-3.88%23.46%53.28%-5.76%
7 years20.95%44.90%-2.57%19.26%34.52%3.49%22.55%42.00%3.12%
10 years19.26%37.51%-3.09%18.43%28.54%3.46%21.53%34.77%3.07%
15 years17.90%27.46%9.98%17.61%23.21%12.55%20.49%27.68%13.79%