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 to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 1997 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
BRK.B Berkshire Hathaway Inc. 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$50,244 7.61% 14.89%33.48%-36.81%-50.80% 0.430.620.99
Portfolio 2$10,000$91,808 10.60% 19.06%52.70%-32.14%-45.86% 0.520.860.43
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P 500 ETF (SPY)Berkshire Hathaway Inc. (BRK.B)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19971.70%33.48%38.40%$13,348$13,84033.48%38.40%
19981.61%28.69%52.70%$17,177$21,13328.69%52.70%
19992.68%20.39%-22.13%$20,679$16,45720.39%-22.13%
20003.39%-9.73%28.63%$18,667$21,169-9.73%28.63%
20011.55%-11.75%7.26%$16,473$22,707-11.75%7.26%
20022.38%-21.59%-4.04%$12,917$21,790-21.59%-4.04%
20031.88%28.18%16.18%$16,556$25,31528.18%16.18%
20043.26%10.70%4.30%$18,329$26,40310.70%4.30%
20053.42%4.83%-0.02%$19,213$26,3984.83%-0.02%
20062.54%15.85%24.89%$22,258$32,96815.85%24.89%
20074.08%5.14%29.19%$23,401$42,5905.14%29.19%
20080.09%-36.81%-32.14%$14,788$28,903-36.81%-32.14%
20092.72%26.36%2.24%$18,686$29,55026.36%2.24%
20101.50%15.06%21.90%$21,500$36,02115.06%21.90%
20112.96%1.89%-4.76%$21,906$34,3081.89%-4.76%
20121.74%15.99%17.56%$25,409$40,33315.99%17.56%
20131.50%32.31%32.17%$33,618$53,30932.31%32.17%
20140.76%13.46%26.64%$38,144$67,51313.46%26.64%
20150.73%1.25%-12.06%$38,621$59,3711.25%-12.06%
20162.07%12.00%23.43%$43,256$73,28212.00%23.43%
20172.11%21.70%21.62%$52,643$89,12821.70%21.62%
20181.91%-4.56%3.01%$50,244$91,808-4.56%3.01%
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF (SPY)Berkshire Hathaway Inc. (BRK.B)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199716.18%3.87%$10,618$10,3876.18%3.87%
199720.96%2.86%$10,719$10,6830.96%2.86%
19973-4.41%1.85%$10,246$10,881-4.41%1.85%
199746.26%5.04%$10,888$11,4306.26%5.04%
199756.32%13.69%$11,576$12,9956.32%13.69%
199764.11%9.34%$12,052$14,2094.11%9.34%
199777.93%0.06%$13,007$14,2187.93%0.06%
19978-5.18%-11.95%$12,333$12,518-5.18%-11.95%
199794.81%7.40%$12,926$13,4444.81%7.40%
199710-2.45%-1.74%$12,610$13,210-2.45%-1.74%
1997113.87%2.65%$13,098$13,5613.87%2.65%
1997121.91%2.06%$13,348$13,8401.91%2.06%
199811.29%8.97%$13,520$15,0811.29%8.97%
199826.93%10.91%$14,457$16,7276.93%10.91%
199834.88%20.70%$15,161$20,1894.88%20.70%
199841.28%2.23%$15,355$20,6381.28%2.23%
19985-2.08%2.31%$15,036$21,115-2.08%2.31%
199864.26%11.29%$15,677$23,4984.26%11.29%
19987-1.35%-10.37%$15,465$21,061-1.35%-10.37%
19988-14.12%-14.26%$13,282$18,058-14.12%-14.26%
199896.36%-0.75%$14,127$17,9236.36%-0.75%
1998108.11%7.78%$15,272$19,3178.11%7.78%
1998115.57%4.80%$16,122$20,2435.57%4.80%
1998126.54%4.40%$17,177$21,1336.54%4.40%
199913.52%-8.51%$17,782$19,3353.52%-8.51%
19992-3.21%10.65%$17,212$21,394-3.21%10.65%
199934.15%-1.18%$17,926$21,1424.15%-1.18%
199943.80%5.06%$18,607$22,2123.80%5.06%
19995-2.29%-6.15%$18,182$20,845-2.29%-6.15%
199965.54%-3.36%$19,188$20,1445.54%-3.36%
19997-3.10%-5.04%$18,593$19,128-3.10%-5.04%
19998-0.52%-5.83%$18,497$18,013-0.52%-5.83%
19999-2.24%-7.34%$18,083$16,691-2.24%-7.34%
1999106.41%12.61%$19,242$18,7956.41%12.61%
1999111.67%-10.77%$19,562$16,7721.67%-10.77%
1999125.71%-1.88%$20,679$16,4575.71%-1.88%
20001-4.98%-10.05%$19,649$14,802-4.98%-10.05%
20002-1.52%-12.52%$19,350$12,950-1.52%-12.52%
200039.69%26.39%$21,225$16,3679.69%26.39%
20004-3.51%5.27%$20,480$17,230-3.51%5.27%
20005-1.57%-1.57%$20,158$16,960-1.57%-1.57%
200061.97%-6.68%$20,555$15,8271.97%-6.68%
20007-1.57%3.69%$20,232$16,412-1.57%3.69%
200086.53%4.82%$21,554$17,2036.53%4.82%
20009-5.48%8.21%$20,373$18,615-5.48%8.21%
200010-0.47%1.59%$20,277$18,912-0.47%1.59%
200011-7.47%3.38%$18,764$19,550-7.47%3.38%
200012-0.52%8.28%$18,667$21,169-0.52%8.28%
200114.45%-4.42%$19,497$20,2344.45%-4.42%
20012-9.54%3.96%$17,637$21,034-9.54%3.96%
20013-5.60%-6.97%$16,650$19,568-5.60%-6.97%
200148.54%4.55%$18,072$20,4598.54%4.55%
20015-0.56%-0.13%$17,971$20,432-0.56%-0.13%
20016-2.38%1.23%$17,543$20,683-2.38%1.23%
20017-1.02%-0.17%$17,364$20,647-1.02%-0.17%
20018-5.93%0.70%$16,333$20,791-5.93%0.70%
20019-8.16%0.78%$15,001$20,953-8.16%0.78%
2001101.30%1.03%$15,196$21,1691.30%1.03%
2001117.80%-0.89%$16,381$20,9807.80%-0.89%
2001120.56%8.23%$16,473$22,7070.56%8.23%
20021-0.98%-2.85%$16,312$22,059-0.98%-2.85%
20022-1.79%-1.14%$16,019$21,808-1.79%-1.14%
200233.32%-2.31%$16,552$21,3043.32%-2.31%
20024-5.82%2.70%$15,589$21,879-5.82%2.70%
20025-0.59%1.60%$15,497$22,230-0.59%1.60%
20026-7.38%-9.63%$14,354$20,090-7.38%-9.63%
20027-7.88%2.37%$13,222$20,567-7.88%2.37%
200280.68%6.69%$13,312$21,9420.68%6.69%
20029-10.49%1.02%$11,916$22,167-10.49%1.02%
2002108.23%-0.20%$12,897$22,1228.23%-0.20%
2002116.17%-1.99%$13,692$21,6826.17%-1.99%
200212-5.66%0.50%$12,917$21,790-5.66%0.50%
20031-2.46%-8.21%$12,599$20,000-2.46%-8.21%
20032-1.35%-7.15%$12,429$18,570-1.35%-7.15%
200330.21%3.49%$12,455$19,2180.21%3.49%
200348.46%9.12%$13,509$20,9718.46%9.12%
200355.48%1.80%$14,250$21,3495.48%1.80%
200361.07%2.36%$14,401$21,8531.07%2.36%
200371.80%-1.11%$14,661$21,6101.80%-1.11%
200382.06%5.29%$14,963$22,7522.06%5.29%
20039-1.09%-1.34%$14,801$22,446-1.09%-1.34%
2003105.35%3.87%$15,593$23,3145.35%3.87%
2003111.09%8.04%$15,763$25,1891.09%8.04%
2003125.03%0.50%$16,556$25,3155.03%0.50%
200411.98%5.90%$16,884$26,8081.98%5.90%
200421.36%5.10%$17,113$28,1741.36%5.10%
20043-1.32%-0.70%$16,887$27,977-1.32%-0.70%
20044-1.89%0.26%$16,567$28,049-1.89%0.26%
200451.71%-4.71%$16,851$26,7271.71%-4.71%
200461.85%-0.57%$17,163$26,5741.85%-0.57%
20047-3.22%-2.06%$16,610$26,025-3.22%-2.06%
200480.24%0.00%$16,650$26,0250.24%0.00%
200491.00%-0.79%$16,817$25,8181.00%-0.79%
2004101.29%-2.33%$17,034$25,2161.29%-2.33%
2004114.45%-0.86%$17,792$25,0004.45%-0.86%
2004123.02%5.61%$18,329$26,4033.02%5.61%
20051-2.24%1.98%$17,918$26,924-2.24%1.98%
200522.09%0.70%$18,292$27,1132.09%0.70%
20053-1.83%-5.27%$17,958$25,683-1.83%-5.27%
20054-1.87%-2.03%$17,621$25,162-1.87%-2.03%
200553.22%0.43%$18,189$25,2703.22%0.43%
200560.15%-0.94%$18,216$25,0310.15%-0.94%
200573.83%-0.05%$18,913$25,0183.83%-0.05%
20058-0.94%-0.22%$18,736$24,964-0.94%-0.22%
200590.80%-1.62%$18,886$24,5590.80%-1.62%
200510-2.37%3.08%$18,439$25,315-2.37%3.08%
2005114.40%4.97%$19,250$26,5744.40%4.97%
200512-0.19%-0.66%$19,213$26,398-0.19%-0.66%
200612.40%-0.12%$19,675$26,3672.40%-0.12%
200620.57%-1.50%$19,787$25,9710.57%-1.50%
200631.65%4.29%$20,114$27,0861.65%4.29%
200641.26%-1.99%$20,368$26,5471.26%-1.99%
20065-3.01%3.96%$19,754$27,599-3.01%3.96%
200660.26%-0.85%$19,806$27,3650.26%-0.85%
200670.45%0.13%$19,895$27,4010.45%0.13%
200682.18%5.14%$20,329$28,8082.18%5.14%
200692.70%-0.92%$20,878$28,5432.70%-0.92%
2006103.15%10.74%$21,536$31,6103.15%10.74%
2006111.99%1.14%$21,964$31,9691.99%1.14%
2006121.34%3.12%$22,258$32,9681.34%3.12%
200711.50%0.04%$22,593$32,9811.50%0.04%
20072-1.96%-3.94%$22,149$31,682-1.96%-3.94%
200731.16%3.32%$22,406$32,7341.16%3.32%
200744.43%-0.33%$23,399$32,6264.43%-0.33%
200753.39%-0.08%$24,193$32,5993.39%-0.08%
20076-1.46%-0.55%$23,838$32,419-1.46%-0.55%
20077-3.13%-0.03%$23,092$32,410-3.13%-0.03%
200781.28%7.94%$23,388$34,9821.28%7.94%
200793.87%1.59%$24,293$35,5403.87%1.59%
2007101.36%11.69%$24,623$39,6941.36%11.69%
200711-3.87%6.25%$23,669$42,176-3.87%6.25%
200712-1.13%0.98%$23,401$42,590-1.13%0.98%
20081-6.05%-3.93%$21,986$40,917-6.05%-3.93%
20082-2.58%2.74%$21,418$42,037-2.58%2.74%
20083-0.90%-4.31%$21,225$40,225-0.90%-4.31%
200844.77%-0.36%$22,236$40,0814.77%-0.36%
200851.51%0.92%$22,572$40,4501.51%0.92%
20086-8.35%-10.80%$20,687$36,079-8.35%-10.80%
20087-0.90%-4.56%$20,502$34,433-0.90%-4.56%
200881.55%1.91%$20,818$35,0901.55%1.91%
20089-9.44%12.63%$18,854$39,523-9.44%12.63%
200810-16.52%-12.63%$15,739$34,532-16.52%-12.63%
200811-6.96%-8.88%$14,644$31,466-6.96%-8.88%
2008120.98%-8.15%$14,788$28,9030.98%-8.15%
20091-8.21%-7.00%$13,573$26,879-8.21%-7.00%
20092-10.74%-14.22%$12,115$23,058-10.74%-14.22%
200938.35%9.98%$13,126$25,3608.35%9.98%
200949.93%8.69%$14,430$27,5639.93%8.69%
200955.85%-3.03%$15,274$26,7275.85%-3.03%
20096-0.07%-2.56%$15,264$26,043-0.07%-2.56%
200977.46%9.82%$16,402$28,6027.46%9.82%
200983.69%3.32%$17,008$29,5503.69%3.32%
200993.55%1.13%$17,611$29,8833.55%1.13%
200910-1.92%-1.20%$17,273$29,523-1.92%-1.20%
2009116.16%2.13%$18,337$30,1536.16%2.13%
2009121.91%-2.00%$18,686$29,5501.91%-2.00%
20101-3.63%16.30%$18,007$34,366-3.63%16.30%
201023.12%4.84%$18,569$36,0303.12%4.84%
201036.09%1.42%$19,700$36,5426.09%1.42%
201041.55%-5.25%$20,005$34,6221.55%-5.25%
20105-7.95%-8.38%$18,415$31,722-7.95%-8.38%
20106-5.17%12.96%$17,462$35,832-5.17%12.96%
201076.83%-1.97%$18,655$35,1266.83%-1.97%
20108-4.50%0.84%$17,816$35,423-4.50%0.84%
201098.96%4.95%$19,411$37,1768.96%4.95%
2010103.82%-3.77%$20,153$35,7733.82%-3.77%
2010110.00%0.15%$20,153$35,8270.00%0.15%
2010126.68%0.54%$21,500$36,0216.68%0.54%
201112.33%2.05%$22,001$36,7582.33%2.05%
201123.47%6.76%$22,765$39,2453.47%6.76%
201130.01%-4.18%$22,768$37,6030.01%-4.18%
201142.90%-0.39%$23,427$37,4552.90%-0.39%
20115-1.12%-5.08%$23,164$35,553-1.12%-5.08%
20116-1.69%-2.12%$22,773$34,798-1.69%-2.12%
20117-2.00%-4.16%$22,318$33,350-2.00%-4.16%
20118-5.50%-1.58%$21,091$32,824-5.50%-1.58%
20119-6.94%-2.68%$19,626$31,942-6.94%-2.68%
20111010.91%9.60%$21,768$35,00910.91%9.60%
201111-0.41%1.16%$21,680$35,414-0.41%1.16%
2011121.04%-3.12%$21,906$34,3081.04%-3.12%
201214.64%2.71%$22,922$35,2384.64%2.71%
201224.34%0.10%$23,917$35,2744.34%0.10%
201233.22%3.44%$24,686$36,4883.22%3.44%
20124-0.67%-0.86%$24,521$36,174-0.67%-0.86%
20125-6.01%-1.35%$23,049$35,683-6.01%-1.35%
201264.05%5.00%$23,983$37,4694.05%5.00%
201271.18%1.81%$24,266$38,1471.18%1.81%
201282.51%-0.59%$24,874$37,9232.51%-0.59%
201292.54%4.58%$25,505$39,6582.54%4.58%
201210-1.82%-2.10%$25,041$38,826-1.82%-2.10%
2012110.57%2.00%$25,182$39,6040.57%2.00%
2012120.90%1.84%$25,409$40,3330.90%1.84%
201315.12%8.06%$26,710$43,5845.12%8.06%
201321.28%5.40%$27,051$45,9351.28%5.40%
201333.80%2.00%$28,078$46,8533.80%2.00%
201341.92%2.03%$28,617$47,8061.92%2.03%
201352.36%7.29%$29,293$51,2902.36%7.29%
20136-1.34%-1.88%$28,902$50,324-1.34%-1.88%
201375.17%3.53%$30,395$52,1005.17%3.53%
20138-3.00%-4.01%$29,483$50,009-3.00%-4.01%
201393.17%2.06%$30,418$51,0393.17%2.06%
2013104.63%1.39%$31,826$51,7494.63%1.39%
2013112.96%1.25%$32,769$52,3972.96%1.25%
2013122.59%1.74%$33,618$53,3092.59%1.74%
20141-3.52%-5.87%$32,433$50,180-3.52%-5.87%
201424.55%3.75%$33,909$52,0594.55%3.75%
201430.83%7.94%$34,191$56,1920.83%7.94%
201440.70%3.10%$34,429$57,9360.70%3.10%
201452.32%-0.40%$35,228$57,7072.32%-0.40%
201462.06%-1.39%$35,955$56,9062.06%-1.39%
20147-1.34%-0.89%$35,471$56,398-1.34%-0.89%
201483.95%9.42%$36,871$61,7133.95%9.42%
20149-1.38%0.65%$36,363$62,113-1.38%0.65%
2014102.36%1.46%$37,219$63,0222.36%1.46%
2014112.75%6.09%$38,242$66,8572.75%6.09%
201412-0.26%0.98%$38,144$67,513-0.26%0.98%
20151-2.96%-4.16%$37,014$64,708-2.96%-4.16%
201525.62%2.43%$39,094$66,2815.62%2.43%
20153-1.57%-2.10%$38,478$64,892-1.57%-2.10%
201540.98%-2.15%$38,857$63,4940.98%-2.15%
201551.29%1.27%$39,356$64,2991.29%1.27%
20156-2.03%-4.82%$38,558$61,201-2.03%-4.82%
201572.26%4.87%$39,429$64,1822.26%4.87%
20158-6.10%-6.09%$37,026$60,270-6.10%-6.09%
20159-2.54%-2.72%$36,084$58,633-2.54%-2.72%
2015108.51%4.31%$39,153$61,1608.51%4.31%
2015110.37%-1.42%$39,296$60,2920.37%-1.42%
201512-1.72%-1.53%$38,621$59,371-1.72%-1.53%
20161-4.98%-1.72%$36,698$58,350-4.98%-1.72%
20162-0.08%3.39%$36,668$60,328-0.08%3.39%
201636.72%5.75%$39,134$63,7956.72%5.75%
201640.39%2.54%$39,288$65,4140.39%2.54%
201651.70%-3.40%$39,956$63,1921.70%-3.40%
201660.35%3.02%$40,096$65,1030.35%3.02%
201673.65%-0.36%$41,559$64,8703.65%-0.36%
201680.12%4.31%$41,608$67,6660.12%4.31%
201690.01%-4.00%$41,611$64,9600.01%-4.00%
201610-1.73%-0.12%$40,890$64,883-1.73%-0.12%
2016113.68%9.11%$42,396$70,7913.68%9.11%
2016122.03%3.52%$43,256$73,2822.03%3.52%
201711.79%0.71%$44,030$73,8041.79%0.71%
201723.93%4.44%$45,760$77,0773.93%4.44%
201730.13%-2.77%$45,818$74,9460.13%-2.77%
201740.99%-0.88%$46,273$74,2850.99%-0.88%
201751.41%0.04%$46,926$74,3171.41%0.04%
201760.64%2.47%$47,225$76,1560.64%2.47%
201772.06%3.31%$48,196$78,6742.06%3.31%
201780.29%3.54%$48,336$81,4570.29%3.54%
201792.01%1.19%$49,310$82,4282.01%1.19%
2017102.36%1.97%$50,472$84,0562.36%1.97%
2017113.06%3.25%$52,014$86,7853.06%3.25%
2017121.21%2.70%$52,643$89,1281.21%2.70%
201815.64%8.15%$55,610$96,3945.64%8.15%
20182-3.64%-3.35%$53,588$93,165-3.64%-3.35%
20183-2.74%-3.73%$52,119$89,694-2.74%-3.73%
201840.52%-2.88%$52,388$87,1090.52%-2.88%
201852.43%-1.14%$53,662$86,1202.43%-1.14%
201860.58%-2.55%$53,971$83,9250.58%-2.55%
201873.70%6.01%$55,970$88,9703.70%6.01%
201883.19%5.48%$57,757$93,8493.19%5.48%
201890.59%2.58%$58,100$96,2720.59%2.58%
201810-6.91%-4.12%$54,085$92,302-6.91%-4.12%
2018111.85%6.31%$55,089$98,1291.85%6.31%
201812-8.79%-6.44%$50,244$91,808-8.79%-6.44%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value46.18%
Large-cap Growth52.85%
Mid-cap Value0.00%
Mid-cap Growth0.53%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.05%
REITs0.00%
Corporate Bonds0.39%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared99.89%
Style analysis is based on monthly returns from Apr 2005 to Dec 2018 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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%100.00%$40,244100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk Contribution
BRK.BBerkshire Hathaway Inc.Financial Services / Insurance - Diversified100.00%$81,808100.00%

Asset Allocation

Equity Sectors

Fund fundamentals data as of 11/05/2019. © 2019 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 2
Arithmetic Mean (monthly)0.71%0.99%
Arithmetic Mean (annualized)8.82%12.57%
Geometric Mean (monthly)0.61%0.84%
Geometric Mean (annualized)7.61%10.60%
Volatility (monthly)4.30%5.50%
Volatility (annualized)14.89%19.06%
Downside Deviation (monthly)2.92%3.24%
Max. Drawdown-50.80%-45.86%
US Market Correlation0.990.43
Beta(*)0.960.53
Alpha (annualized)0.14%7.27%
R297.59%18.37%
Sharpe Ratio0.430.52
Sortino Ratio0.620.86
Treynor Ratio (%)6.7318.55
Calmar Ratio0.681.21
Active Return-0.16%2.83%
Tracking Error2.40%18.66%
Information Ratio-0.070.15
Skewness-0.620.39
Excess Kurtosis1.052.14
Historical Value-at-Risk (5%)-7.44%-8.34%
Analytical Value-at-Risk (5%)-6.36%-8.06%
Conditional Value-at-Risk (5%)-9.82%-11.00%
Upside Capture Ratio (%)94.7168.88
Downside Capture Ratio (%)94.7246.11
Safe Withdrawal Rate7.80%11.29%
Perpetual Withdrawal Rate5.11%7.68%
Positive Periods166 out of 264 (62.88%)148 out of 264 (56.06%)
Gain/Loss Ratio0.891.27
* 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 PeriodStartEndPortfolio 1Portfolio 2
Asian CrisisJul 1997Jan 1998-5.18%-11.95%
Russian Debt DefaultJul 1998Oct 1998-15.28%-23.73%
Dotcom CrashMar 2000Oct 2002-44.71%-11.52%
Subprime CrisisNov 2007Mar 2009-50.80%-45.86%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (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%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.28%
4Oct 2018Dec 20183 months-13.52%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
6Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.43%
8Feb 2018Mar 20182 monthsJul 20184 months6 months-6.28%
9Jul 1999Sep 19993 monthsOct 19991 month4 months-5.76%
10Aug 1997Aug 19971 monthNov 19973 months4 months-5.18%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsJan 20133 years 11 months5 years 1 month-45.86%
2Jul 1998Feb 20001 year 8 monthsNov 20033 years 9 months5 years 5 months-44.89%
3Jan 2015Jan 20161 year 1 monthAug 20167 months1 year 8 months-13.57%
4Feb 2018Jun 20185 monthsNov 20185 months10 months-12.93%
5Mar 2004Sep 20051 year 7 monthsAug 200611 months2 years 6 months-12.83%
6Aug 1997Aug 19971 monthJan 19985 months6 months-11.95%
7Dec 2018Dec 20181 month-6.44%
8Jan 2014Jan 20141 monthMar 20142 months3 months-5.87%
9Sep 2016Oct 20162 monthsNov 20161 month3 months-4.11%
10Aug 2013Aug 20131 monthNov 20133 months4 months-4.01%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF7.61%14.89%33.48%-36.81%-50.80%0.430.620.99
BRK.BBerkshire Hathaway Inc.10.60%19.06%52.70%-32.14%-45.86%0.520.860.43

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYBRK.BPortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF-0.461.000.46
BRK.BBerkshire Hathaway Inc.0.46-0.461.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF$40,244
BRK.BBerkshire Hathaway Inc.$81,808

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
SPYSPDR S&P 500 ETF100.00%
BRK.BBerkshire Hathaway Inc.100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year9.22%33.48%-36.81%12.50%52.70%-32.14%
3 years7.23%27.40%-14.52%9.52%25.31%-5.43%
5 years6.23%17.85%-2.38%9.18%17.97%-1.08%
7 years6.21%14.70%-1.53%8.67%15.10%3.23%
10 years5.65%13.01%-1.49%8.00%12.67%3.18%
15 years5.95%9.82%4.17%8.28%9.87%6.36%
Result statistics are based on annualized rolling returns over full calendar year periods