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.

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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 2008 - Sep 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
IEF iShares 7-10 Year Treasury Bond ETF 220.00%
CASHX Cash -120.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
CASHX Cash -275.00%
IEI iShares 3-7 Year Treasury Bond ETF 375.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$22,126 6.99% 14.16%33.96%-21.80%-21.80% 0.510.91-0.32
Portfolio 2$10,000$27,913 9.13% 13.77%37.25%-14.60%-16.83% 0.671.17-0.29
Portfolio 3$10,000$31,997 10.40% 12.67%43.26%-6.91%-16.42% 0.801.41-0.32
Vanguard 500 Index Investor$10,000$25,692 8.36% 15.07%32.18%-37.02%-48.47% 0.570.821.00
   
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
  • The annual results for 2019 are based on full calendar months 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • 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
YearInflationReturnBalanceiShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)Cash (CASHX)iShares 3-7 Year Treasury Bond ETF (IEI)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
20080.09%33.93%37.25%43.26%-37.02%$13,393$13,725$14,326$6,29833.93%17.91%1.59%12.79%
20092.72%-21.80%-14.60%-6.62%26.49%$10,473$11,720$13,378$7,966-21.80%-6.59%0.09%-1.70%
20101.50%9.05%20.50%23.43%14.91%$11,420$14,123$16,512$9,1549.05%9.37%0.10%6.32%
20112.96%33.96%34.35%31.02%1.97%$15,299$18,975$21,635$9,33433.96%15.64%0.04%8.30%
20121.74%2.63%7.99%6.77%15.82%$15,701$20,491$23,100$10,8112.63%3.66%0.06%1.85%
20131.50%-13.37%-13.39%-6.91%32.18%$13,602$17,747$21,504$14,290-13.37%-6.09%0.00%-1.84%
20140.76%27.30%19.95%11.88%13.51%$17,315$21,286$24,059$16,22027.30%9.07%0.00%3.17%
20150.73%-1.79%3.31%6.11%1.25%$17,006$21,990$25,530$16,422-1.79%1.51%0.01%1.64%
20162.07%1.18%1.97%4.02%11.82%$17,206$22,423$26,557$18,3631.18%1.00%0.21%1.22%
20172.11%9.18%4.67%2.41%21.67%$18,786$23,470$27,196$22,3429.18%2.55%0.79%1.22%
20181.91%-1.61%-0.04%0.08%-4.52%$18,484$23,461$27,217$21,331-1.61%0.99%1.80%1.36%
20192.12%19.70%18.97%17.56%20.44%$22,126$27,913$31,997$25,69219.70%9.59%1.70%5.96%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares 20+ Year Treasury Bond ETF (TLT)iShares 7-10 Year Treasury Bond ETF (IEF)Cash (CASHX)iShares 3-7 Year Treasury Bond ETF (IEI)
Portfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
200812.10%7.13%10.40%-6.02%$10,210$10,713$11,040$9,3982.10%3.36%0.21%2.93%
20082-0.46%2.48%5.10%-3.25%$10,163$10,979$11,603$9,093-0.46%1.24%0.13%1.55%
200832.14%2.61%2.22%-0.44%$10,380$11,266$11,860$9,0532.14%1.34%0.17%0.78%
20084-2.48%-5.18%-8.04%4.85%$10,123$10,682$10,907$9,492-2.48%-2.41%0.18%-2.30%
20085-2.69%-3.98%-4.78%1.29%$9,851$10,258$10,386$9,615-2.69%-1.78%0.18%-1.23%
200862.65%2.28%2.24%-8.44%$10,112$10,492$10,619$8,8042.65%1.14%0.17%0.74%
20087-0.37%1.38%2.20%-0.83%$10,075$10,636$10,852$8,730-0.37%0.72%0.15%0.72%
200882.74%3.10%3.13%1.45%$10,351$10,966$11,192$8,8572.74%1.53%0.13%0.98%
200891.47%-0.46%3.08%-8.91%$10,503$10,915$11,537$8,0681.47%-0.14%0.15%1.00%
200810-1.86%-1.90%4.78%-16.79%$10,308$10,708$12,088$6,713-1.86%-0.87%0.08%1.47%
20081114.34%16.41%12.53%-7.17%$11,786$12,465$13,603$6,23114.34%7.75%0.03%3.85%
20081213.64%10.11%5.31%1.07%$13,393$13,725$14,326$6,29813.64%5.15%0.00%1.76%
20091-13.07%-8.55%-4.80%-8.41%$11,642$12,551$13,638$5,768-13.07%-3.89%0.00%-1.28%
20092-1.54%-1.72%-2.50%-10.66%$11,464$12,335$13,296$5,153-1.54%-0.74%0.01%-0.64%
200934.04%7.70%6.91%8.76%$11,927$13,286$14,215$5,6054.04%3.31%0.02%1.76%
20094-6.95%-6.16%-5.24%9.56%$11,098$12,467$13,470$6,141-6.95%-2.75%0.01%-1.38%
20095-3.69%-4.82%-3.83%5.62%$10,688$11,866$12,954$6,486-3.69%-2.08%0.00%-0.98%
200960.76%-1.33%-2.67%0.22%$10,769$11,708$12,609$6,5000.76%-0.55%0.01%-0.65%
200970.58%1.99%2.17%7.58%$10,831$11,941$12,882$6,9920.58%0.83%0.01%0.53%
200982.24%1.81%3.45%3.60%$11,073$12,157$13,327$7,2442.24%0.77%0.01%0.86%
200992.46%2.63%2.87%3.72%$11,346$12,477$13,709$7,5132.46%1.12%0.01%0.73%
200910-2.62%-0.32%0.54%-1.87%$11,048$12,437$13,783$7,373-2.62%-0.14%0.00%0.14%
2009111.21%4.69%6.99%5.98%$11,183$13,020$14,747$7,8141.21%2.02%0.00%1.81%
200912-6.34%-9.98%-9.28%1.95%$10,473$11,720$13,378$7,966-6.34%-4.40%0.01%-2.52%
201012.69%5.21%6.40%-3.60%$10,755$12,332$14,234$7,6792.69%2.37%0.00%1.71%
20102-0.34%0.71%1.43%3.09%$10,719$12,420$14,437$7,916-0.34%0.33%0.00%0.40%
20103-2.06%-2.27%-2.80%6.01%$10,498$12,138$14,033$8,392-2.06%-1.06%0.01%-0.78%
201043.32%3.56%3.34%1.58%$10,847$12,570$14,501$8,5253.32%1.65%0.01%0.93%
201055.11%6.21%5.35%-8.01%$11,401$13,350$15,277$7,8425.11%2.93%0.01%1.52%
201065.80%6.25%6.33%-5.24%$12,062$14,184$16,244$7,4315.80%3.05%0.01%1.86%
20107-0.95%1.80%3.53%7.00%$11,948$14,440$16,817$7,951-0.95%0.91%0.01%1.09%
201088.40%6.62%4.60%-4.53%$12,951$15,395$17,590$7,5918.40%3.36%0.01%1.45%
20109-2.51%-0.01%1.44%8.92%$12,625$15,393$17,843$8,268-2.51%-0.00%0.01%0.47%
201010-4.47%-0.02%1.77%3.79%$12,061$15,390$18,158$8,581-4.47%-0.01%0.01%0.58%
201011-1.69%-1.73%-2.92%0.00%$11,857$15,124$17,628$8,581-1.69%-0.90%0.01%-0.96%
201012-3.68%-6.62%-6.33%6.67%$11,420$14,123$16,512$9,154-3.68%-3.43%0.01%-2.04%
20111-3.08%-0.06%2.23%2.36%$11,069$14,115$16,880$9,370-3.08%-0.02%0.01%0.60%
201121.65%-0.47%-1.59%3.42%$11,251$14,049$16,612$9,6901.65%-0.21%0.01%-0.42%
201130.03%-0.35%-1.02%0.03%$11,255$13,999$16,443$9,6920.03%-0.15%0.01%-0.26%
201142.34%4.07%5.97%2.95%$11,518$14,568$17,424$9,9782.34%1.84%0.00%1.59%
201153.42%5.42%5.84%-1.15%$11,912$15,358$18,442$9,8643.42%2.51%0.00%1.62%
20116-2.33%-1.07%-0.51%-1.67%$11,635$15,195$18,348$9,699-2.33%-0.51%0.00%-0.15%
201174.42%6.71%7.05%-2.05%$12,148$16,213$19,642$9,5004.42%3.17%0.00%2.03%
201189.66%9.50%6.03%-5.45%$13,322$17,754$20,827$8,9839.66%4.65%0.01%1.83%
2011913.20%4.37%0.95%-7.04%$15,081$18,530$21,026$8,35013.20%2.24%0.00%0.30%
201110-3.84%-2.47%-0.07%10.91%$14,502$18,073$21,012$9,262-3.84%-1.29%0.00%-0.02%
2011111.98%1.12%0.71%-0.23%$14,789$18,275$21,162$9,2401.98%0.58%0.00%0.23%
2011123.44%3.83%2.23%1.02%$15,299$18,975$21,635$9,3343.44%1.99%0.00%0.71%
20121-0.33%1.90%2.37%4.46%$15,248$19,335$22,147$9,751-0.33%0.86%0.00%0.63%
20122-2.59%-2.39%-2.30%4.31%$14,853$18,872$21,638$10,171-2.59%-1.10%0.00%-0.62%
20123-4.23%-3.51%-2.19%3.28%$14,224$18,209$21,166$10,504-4.23%-1.59%0.00%-0.58%
201244.83%5.65%4.54%-0.64%$14,911$19,238$22,127$10,4374.83%2.51%0.00%1.19%
201259.03%6.25%3.08%-6.02%$16,257$20,441$22,810$9,8099.03%2.87%0.01%0.84%
20126-1.68%-0.88%-0.71%4.11%$15,984$20,261$22,646$10,212-1.68%-0.42%0.00%-0.20%
201273.82%2.97%2.53%1.37%$16,593$20,864$23,219$10,3523.82%1.40%0.00%0.70%
20128-1.32%-0.26%0.41%2.24%$16,375$20,811$23,314$10,584-1.32%-0.12%0.01%0.12%
20129-2.53%-0.74%-0.12%2.58%$15,960$20,657$23,287$10,857-2.53%-0.35%0.01%-0.03%
201210-0.48%-0.84%-1.20%-1.86%$15,883$20,482$23,009$10,655-0.48%-0.40%0.01%-0.33%
2012111.38%2.06%1.88%0.56%$16,102$20,904$23,440$10,7141.38%0.98%0.01%0.53%
201212-2.49%-1.98%-1.45%0.90%$15,701$20,491$23,100$10,811-2.49%-0.94%0.01%-0.40%
20131-3.19%-2.84%-1.46%5.18%$15,201$19,908$22,762$11,371-3.19%-1.29%0.00%-0.39%
201321.24%2.53%2.31%1.34%$15,390$20,412$23,287$11,5231.24%1.13%0.00%0.61%
20133-0.42%0.63%0.38%3.74%$15,325$20,541$23,376$11,954-0.42%0.29%0.00%0.10%
201344.68%3.35%2.10%1.91%$16,043$21,229$23,866$12,1824.68%1.52%0.00%0.56%
20135-6.76%-6.70%-4.92%2.33%$14,958$19,806$22,691$12,465-6.76%-3.11%0.00%-1.34%
20136-3.27%-5.71%-4.94%-1.35%$14,469$18,676$21,569$12,297-3.27%-2.55%0.00%-1.30%
20137-2.26%-0.82%0.99%5.07%$14,142$18,523$21,782$12,921-2.26%-0.35%0.00%0.25%
20138-1.34%-3.31%-3.02%-2.91%$13,953$17,910$21,124$12,545-1.34%-1.42%0.00%-0.77%
201390.66%4.38%4.85%3.12%$14,044$18,695$22,148$12,9360.66%1.85%0.00%1.21%
2013101.43%1.80%1.93%4.59%$14,245$19,032$22,576$13,5291.43%0.78%0.00%0.50%
201311-2.70%-2.01%0.05%3.03%$13,861$18,650$22,587$13,939-2.70%-0.88%0.00%0.01%
201312-1.87%-4.85%-4.80%2.51%$13,602$17,747$21,504$14,290-1.87%-2.09%0.00%-1.26%
201416.30%6.74%4.81%-3.47%$14,459$18,943$22,538$13,7946.30%3.06%0.00%1.28%
201420.52%0.76%0.53%4.56%$14,535$19,086$22,658$14,4230.52%0.36%0.00%0.15%
201430.73%-1.19%-2.46%0.82%$14,641$18,859$22,101$14,5420.73%-0.56%0.00%-0.68%
201442.10%1.62%1.81%0.72%$14,948$19,164$22,501$14,6472.10%0.76%0.00%0.49%
201452.95%3.85%3.15%2.33%$15,388$19,902$23,209$14,9892.95%1.82%0.00%0.87%
20146-0.25%-0.45%-0.54%2.05%$15,350$19,813$23,083$15,297-0.25%-0.22%0.00%-0.15%
201470.67%-0.46%-1.66%-1.39%$15,452$19,723$22,700$15,0840.67%-0.22%0.00%-0.47%
201484.72%3.91%3.27%3.98%$16,182$20,494$23,443$15,6854.72%1.88%0.00%0.91%
20149-2.11%-2.14%-1.82%-1.41%$15,841$20,055$23,016$15,463-2.11%-1.05%0.00%-0.52%
2014102.81%3.16%3.44%2.42%$16,287$20,690$23,807$15,8382.81%1.53%0.00%0.96%
2014112.97%2.62%2.36%2.68%$16,770$21,231$24,368$16,2632.97%1.29%0.00%0.68%
2014123.25%0.26%-1.27%-0.26%$17,315$21,286$24,059$16,2203.25%0.13%0.00%-0.37%
201519.82%9.47%8.68%-3.02%$19,015$23,301$26,147$15,7309.82%4.30%0.00%2.31%
20152-6.14%-5.18%-4.71%5.74%$17,848$22,094$24,915$16,633-6.14%-2.47%0.00%-1.33%
201531.10%1.85%2.88%-1.59%$18,043$22,502$25,632$16,3681.10%0.86%0.00%0.79%
20154-3.43%-1.35%-0.37%0.95%$17,425$22,198$25,537$16,524-3.43%-0.63%0.00%-0.10%
20155-2.37%-0.89%-0.24%1.27%$17,012$21,999$25,475$16,734-2.37%-0.42%0.00%-0.07%
20156-4.07%-3.52%-1.66%-1.93%$16,320$21,224$25,051$16,410-4.07%-1.63%0.00%-0.46%
201574.55%3.35%2.45%2.08%$17,062$21,935$25,664$16,7524.55%1.52%0.00%0.67%
20158-0.69%0.17%-0.16%-6.04%$16,944$21,972$25,623$15,740-0.69%0.08%0.00%-0.04%
201591.97%3.41%3.91%-2.49%$17,277$22,722$26,623$15,3481.97%1.58%0.00%1.09%
201510-0.41%-1.35%-1.67%8.42%$17,206$22,415$26,179$16,640-0.41%-0.64%0.00%-0.48%
201511-0.87%-0.91%-1.46%0.29%$17,057$22,210$25,796$16,688-0.87%-0.43%0.00%-0.41%
201512-0.30%-0.99%-1.03%-1.59%$17,006$21,990$25,530$16,422-0.30%-0.45%0.01%-0.28%
201615.57%7.32%8.02%-4.98%$17,953$23,600$27,576$15,6055.57%3.33%0.01%2.15%
201623.09%3.13%1.90%-0.15%$18,507$24,338$28,100$15,5823.09%1.49%0.02%0.55%
20163-0.09%-0.16%0.80%6.78%$18,491$24,300$28,324$16,638-0.09%-0.06%0.02%0.24%
20164-0.74%-0.34%-0.51%0.37%$18,355$24,218$28,180$16,700-0.74%-0.16%0.01%-0.14%
201650.81%-0.22%-0.78%1.78%$18,503$24,166$27,960$16,9980.81%-0.10%0.01%-0.22%
201666.93%6.44%6.32%0.25%$19,786$25,721$29,727$17,0416.93%3.09%0.02%1.81%
201672.10%0.48%0.15%3.68%$20,201$25,844$29,771$17,6672.10%0.25%0.02%0.06%
20168-1.01%-2.06%-2.46%0.13%$19,997$25,311$29,038$17,690-1.01%-1.01%0.02%-0.72%
20169-1.51%0.46%1.12%0.01%$19,695$25,428$29,365$17,691-1.51%0.24%0.02%0.34%
201610-4.38%-3.07%-2.17%-1.83%$18,832$24,649$28,728$17,367-4.38%-1.49%0.02%-0.62%
201611-8.21%-8.76%-7.56%3.70%$17,286$22,489$26,557$18,009-8.21%-4.23%0.01%-2.19%
201612-0.46%-0.29%0.00%1.96%$17,206$22,423$26,557$18,363-0.46%-0.12%0.03%0.02%
201710.81%0.43%0.99%1.88%$17,346$22,520$26,821$18,7090.81%0.22%0.04%0.29%
201721.59%1.54%0.87%3.96%$17,621$22,868$27,053$19,4501.59%0.72%0.04%0.26%
20173-0.65%0.14%0.32%0.10%$17,506$22,900$27,139$19,470-0.65%0.08%0.03%0.11%
201741.57%2.35%2.31%1.02%$17,781$23,438$27,765$19,6681.57%1.11%0.05%0.66%
201751.89%1.71%1.42%1.39%$18,117$23,839$28,160$19,9421.89%0.83%0.06%0.44%
201760.79%-1.15%-1.27%0.61%$18,261$23,564$27,802$20,0640.79%-0.51%0.06%-0.31%
20177-0.66%0.72%1.17%2.04%$18,141$23,735$28,128$20,474-0.66%0.38%0.07%0.37%
201783.41%3.01%2.50%0.29%$18,759$24,448$28,832$20,5343.41%1.46%0.09%0.76%
20179-2.32%-3.13%-3.03%2.06%$18,323$23,684$27,957$20,957-2.32%-1.44%0.09%-0.79%
201710-0.04%-0.51%-0.91%2.32%$18,316$23,564$27,701$21,442-0.04%-0.19%0.09%-0.19%
2017110.74%-0.69%-1.56%3.06%$18,452$23,402$27,270$22,0980.74%-0.28%0.08%-0.37%
2017121.81%0.29%-0.27%1.10%$18,786$23,470$27,196$22,3421.81%0.18%0.09%-0.01%
20181-3.26%-4.86%-4.88%5.71%$18,175$22,329$25,870$23,618-3.26%-2.15%0.11%-1.22%
20182-3.04%-2.25%-1.75%-3.69%$17,622$21,827$25,417$22,745-3.04%-0.93%0.11%-0.37%
201832.86%2.49%2.02%-2.56%$18,126$22,371$25,931$22,1642.86%1.16%0.12%0.60%
20184-2.09%-3.06%-3.38%0.37%$17,747$21,686$25,055$22,247-2.09%-1.28%0.14%-0.77%
201852.01%2.09%2.53%2.39%$18,103$22,139$25,688$22,7802.01%0.99%0.14%0.74%
201860.65%0.27%-0.42%0.61%$18,220$22,199$25,580$22,9180.65%0.20%0.14%-0.00%
20187-1.44%-1.40%-1.57%3.71%$17,959$21,888$25,178$23,768-1.44%-0.53%0.16%-0.28%
201881.31%2.11%2.23%3.25%$18,195$22,351$25,739$24,5391.31%1.01%0.16%0.68%
20189-2.86%-2.91%-3.03%0.55%$17,674$21,700$24,959$24,675-2.86%-1.20%0.15%-0.66%
201810-2.93%-0.94%-0.30%-6.85%$17,156$21,496$24,884$22,985-2.93%-0.30%0.19%0.07%
2018111.79%2.84%2.76%2.03%$17,463$22,106$25,571$23,4511.79%1.33%0.18%0.82%
2018125.85%6.13%6.44%-9.04%$18,484$23,461$27,217$21,3315.85%2.80%0.19%1.78%
201910.38%1.18%1.37%8.00%$18,554$23,739$27,590$23,0380.38%0.65%0.21%0.52%
20192-1.38%-1.36%-1.31%3.20%$18,299$23,416$27,229$23,775-1.38%-0.52%0.18%-0.22%
201935.57%5.62%5.31%1.94%$19,319$24,732$28,676$24,2365.57%2.66%0.19%1.56%
20194-1.99%-1.34%-0.72%4.04%$18,935$24,400$28,468$25,215-1.99%-0.52%0.21%-0.05%
201956.84%6.32%6.01%-6.36%$20,230$25,943$30,179$23,6106.84%3.05%0.21%1.81%
201960.95%2.34%2.58%7.03%$20,422$26,550$30,958$25,2710.95%1.22%0.18%0.87%
201970.26%-0.12%-1.00%1.43%$20,474$26,517$30,650$25,6310.26%0.04%0.19%-0.16%
2019811.04%7.97%6.81%-1.59%$22,736$28,632$32,737$25,22311.04%3.95%0.16%2.09%
20199-2.68%-2.51%-2.26%1.86%$22,126$27,913$31,997$25,692-2.68%-1.19%0.16%-0.58%

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
TLTiShares 20+ Year Treasury Bond ETFLong Government0.15%100.00%$12,126100.00%

Asset Allocation

Fixed Income Maturity

Fund fundamentals data as of 10/03/2019. © 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 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.65%0.81%0.89%0.77%
Arithmetic Mean (annualized)8.04%10.14%11.27%9.60%
Geometric Mean (monthly)0.56%0.73%0.83%0.67%
Geometric Mean (annualized)6.99%9.13%10.40%8.36%
Volatility (monthly)4.09%3.98%3.66%4.35%
Volatility (annualized)14.16%13.77%12.67%15.07%
Downside Deviation (monthly)2.28%2.24%2.06%3.01%
Max. Drawdown-21.80%-16.83%-16.42%-48.47%
US Market Correlation-0.32-0.29-0.321.00
Beta(*)-0.29-0.26-0.261.00
Alpha (annualized)10.42%12.08%13.11%0.00%
R29.50%8.02%9.42%100.00%
Sharpe Ratio0.510.670.800.57
Sortino Ratio0.911.171.410.82
Treynor Ratio (%)-24.91-35.38-39.468.66
Calmar Ratio0.310.200.190.98
Active Return-1.37%0.77%2.04%N/A
Tracking Error23.65%23.12%22.47%N/A
Information Ratio-0.060.030.09N/A
Skewness0.610.360.13-0.77
Excess Kurtosis2.041.350.461.57
Historical Value-at-Risk (5%)-4.46%-5.65%-4.92%-7.92%
Analytical Value-at-Risk (5%)-6.08%-5.86%-5.37%-6.39%
Conditional Value-at-Risk (5%)-7.42%-7.50%-6.62%-10.04%
Upside Capture Ratio (%)-5.12-0.982.33100.00
Downside Capture Ratio (%)-57.69-63.71-66.31100.00
Safe Withdrawal Rate12.34%15.08%17.26%9.95%
Perpetual Withdrawal Rate5.26%7.24%8.38%6.53%
Positive Periods74 out of 141 (52.48%)74 out of 141 (52.48%)81 out of 141 (57.45%)95 out of 141 (67.38%)
Gain/Loss Ratio1.401.571.390.75
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2009Dec 20091 yearSep 20111 year 9 months2 years 9 months-21.80%
2Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-18.03%
3Aug 2016Oct 20182 years 3 monthsMay 20197 months2 years 10 months-15.07%
4Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-14.17%
5Jan 2012Mar 20123 monthsMay 20122 months5 months-7.03%
6Apr 2008May 20082 monthsSep 20084 months6 months-5.10%
7Oct 2011Oct 20111 monthDec 20112 months3 months-3.84%
8Sep 2019Sep 20191 month-2.68%
9Oct 2008Oct 20081 monthNov 20081 month2 months-1.86%
10Jun 2012Jun 20121 monthJul 20121 month2 months-1.68%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Oct 20182 years 3 monthsMay 20197 months2 years 10 months-16.83%
2May 2013Dec 20138 monthsNov 201411 months1 year 7 months-16.40%
3Jan 2009Jun 20096 monthsJun 20101 year1 year 6 months-14.69%
4Sep 2010Mar 20117 monthsJul 20114 months11 months-9.07%
5Apr 2008May 20082 monthsNov 20086 months8 months-8.95%
6Feb 2015Jun 20155 monthsJan 20167 months1 year-8.91%
7Feb 2012Mar 20122 monthsMay 20122 months4 months-5.82%
8Dec 2012Jan 20132 monthsApr 20133 months5 months-4.76%
9Sep 2019Sep 20191 month-2.51%
10Oct 2011Oct 20111 monthDec 20112 months3 months-2.47%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2016Oct 20182 years 3 monthsMay 20197 months2 years 10 months-16.42%
2Apr 2008May 20082 monthsOct 20085 months7 months-12.43%
3Jan 2009Jun 20096 monthsNov 20095 months11 months-11.99%
4May 2013Aug 20134 monthsNov 20141 year 3 months1 year 7 months-11.49%
5Nov 2010Mar 20115 monthsMay 20112 months7 months-9.45%
6Dec 2009Dec 20091 monthMay 20105 months6 months-9.28%
7Feb 2015Feb 20151 monthSep 20157 months8 months-4.71%
8Feb 2012Mar 20122 monthsMay 20122 months4 months-4.43%
9Oct 2015Dec 20153 monthsJan 20161 month4 months-4.11%
10Dec 2012Jan 20132 monthsApr 20133 months5 months-2.89%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsFeb 20123 years4 years 2 months-48.47%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.62%
5May 2019May 20191 monthJun 20191 month2 months-6.36%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
10Jun 2015Jun 20151 monthJul 20151 month2 months-1.93%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
TLTiShares 20+ Year Treasury Bond ETF6.99%14.16%33.96%-21.80%-21.80%0.510.91-0.32
IEFiShares 7-10 Year Treasury Bond ETF4.73%6.44%17.91%-6.59%-7.60%0.671.18-0.31
CASHXCash0.54%0.23%1.80%0.00%0.00%-0.25-0.34-0.13
IEIiShares 3-7 Year Treasury Bond ETF3.35%3.56%12.79%-1.84%-3.68%0.801.39-0.34

Monthly Correlations

Correlations for the portfolio assets
TickerNameTLTIEFCASHXIEIPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
TLTiShares 20+ Year Treasury Bond ETF-0.910.040.761.000.900.75-0.31
IEFiShares 7-10 Year Treasury Bond ETF0.91-0.050.940.911.000.93-0.29
CASHXCash0.040.05-0.090.040.030.05-0.13
IEIiShares 3-7 Year Treasury Bond ETF0.760.940.09-0.760.941.00-0.32

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
TLTiShares 20+ Year Treasury Bond ETF$12,126
IEFiShares 7-10 Year Treasury Bond ETF$19,402
CASHXCash-$1,489-$3,895
IEIiShares 3-7 Year Treasury Bond ETF$25,892

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
TLTiShares 20+ Year Treasury Bond ETF100.00%
IEFiShares 7-10 Year Treasury Bond ETF100.07%
CASHXCash-0.07%-0.25%
IEIiShares 3-7 Year Treasury Bond ETF100.25%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year7.15%33.96%-21.80%9.27%37.25%-14.60%10.50%43.26%-6.91%8.91%32.18%-37.02%
3 years5.57%14.45%2.70%7.98%20.47%2.18%9.19%19.97%2.16%11.34%20.22%-2.90%
5 years5.85%10.58%0.31%7.79%15.43%2.75%8.65%18.23%3.32%12.22%17.81%1.57%
7 years5.82%8.16%2.74%7.74%11.40%3.08%8.60%13.36%3.33%12.13%14.67%7.15%
10 years4.89%6.51%3.27%7.21%8.91%5.51%8.58%10.52%6.63%10.67%12.97%8.37%
Result statistics are based on annualized rolling returns over full calendar year periods