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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Portfolio Analysis Results (Jan 2008 - Oct 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VWEHX Vanguard High-Yield Corporate Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
PFF iShares Preferred&Income Securities ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
PGF Invesco Financial Preferred ETF 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$21,329 6.61% 8.56%39.09%-21.29%-28.27% 0.731.050.71
Portfolio 2$10,000$19,545 5.83% 17.49%38.67%-23.94%-54.40% 0.380.550.53
Portfolio 3$10,000$21,174 6.55% 21.16%38.12%-27.20%-63.90% 0.380.560.49
   
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 October
  • 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
YearInflationReturnBalanceVanguard High-Yield Corporate Inv (VWEHX)iShares Preferred&Income Securities ETF (PFF)Invesco Financial Preferred ETF (PGF)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20080.09%-21.29%-23.94%-27.20%$7,871$7,606$7,280-21.29%-23.94%-27.20%
20092.72%39.09%38.67%38.12%$10,948$10,547$10,05539.09%38.67%38.12%
20101.50%12.40%13.81%15.98%$12,305$12,004$11,66312.40%13.81%15.98%
20112.96%7.13%-2.00%-1.74%$13,183$11,764$11,4607.13%-2.00%-1.74%
20121.74%14.36%18.20%20.97%$15,075$13,906$13,86314.36%18.20%20.97%
20131.50%4.54%-0.98%-1.29%$15,759$13,769$13,6844.54%-0.98%-1.29%
20140.76%4.58%14.11%14.50%$16,481$15,711$15,6684.58%14.11%14.50%
20150.73%-1.39%4.27%9.21%$16,252$16,382$17,110-1.39%4.27%9.21%
20162.07%11.19%1.30%0.99%$18,071$16,596$17,27911.19%1.30%0.99%
20172.11%7.02%8.10%10.81%$19,340$17,939$19,1477.02%8.10%10.81%
20181.91%-2.96%-4.63%-2.40%$18,767$17,109$18,687-2.96%-4.63%-2.40%
20192.20%13.65%14.24%13.31%$21,329$19,545$21,17413.65%14.24%13.31%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard High-Yield Corporate Inv (VWEHX)iShares Preferred&Income Securities ETF (PFF)Invesco Financial Preferred ETF (PGF)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20081-0.72%9.73%17.19%$9,928$10,973$11,719-0.72%9.73%17.19%
20082-1.46%-0.11%-2.76%$9,783$10,961$11,395-1.46%-0.11%-2.76%
20083-0.22%-5.70%-3.88%$9,761$10,337$10,952-0.22%-5.70%-3.88%
200843.65%6.32%0.16%$10,117$10,990$10,9703.65%6.32%0.16%
20085-0.22%-0.37%0.09%$10,094$10,949$10,980-0.22%-0.37%0.09%
20086-3.01%-9.47%-10.74%$9,790$9,913$9,800-3.01%-9.47%-10.74%
20087-1.13%-4.61%-1.66%$9,679$9,455$9,637-1.13%-4.61%-1.66%
200880.67%0.13%4.09%$9,744$9,468$10,0320.67%0.13%4.09%
20089-6.13%-24.65%-27.18%$9,146$7,134$7,305-6.13%-24.65%-27.18%
200810-15.39%4.31%2.72%$7,738$7,441$7,504-15.39%4.31%2.72%
200811-6.22%-7.82%-13.19%$7,257$6,859$6,514-6.22%-7.82%-13.19%
2008128.46%10.89%11.77%$7,871$7,606$7,2808.46%10.89%11.77%
200915.71%-11.67%-14.72%$8,320$6,718$6,2085.71%-11.67%-14.72%
20092-2.89%-25.40%-31.86%$8,079$5,012$4,230-2.89%-25.40%-31.86%
200931.95%20.81%28.19%$8,237$6,055$5,4231.95%20.81%28.19%
200947.83%18.43%21.20%$8,882$7,171$6,5727.83%18.43%21.20%
200954.35%19.13%22.92%$9,269$8,543$8,0784.35%19.13%22.92%
200961.70%2.97%5.78%$9,426$8,797$8,5451.70%2.97%5.78%
200975.79%11.85%11.36%$9,972$9,839$9,5155.79%11.85%11.36%
200980.29%-1.90%-7.41%$10,001$9,652$8,8110.29%-1.90%-7.41%
200994.17%5.19%8.14%$10,418$10,153$9,5284.17%5.19%8.14%
2009101.60%-3.47%-2.73%$10,585$9,801$9,2681.60%-3.47%-2.73%
2009110.65%1.50%1.40%$10,654$9,948$9,3970.65%1.50%1.40%
2009122.76%6.02%7.00%$10,948$10,547$10,0552.76%6.02%7.00%
201010.83%0.98%1.16%$11,039$10,651$10,1720.83%0.98%1.16%
201020.05%3.68%3.84%$11,044$11,043$10,5630.05%3.68%3.84%
201032.70%1.79%2.87%$11,342$11,240$10,8662.70%1.79%2.87%
201041.72%0.05%-1.81%$11,538$11,246$10,6691.72%0.05%-1.81%
20105-3.42%-4.34%-4.22%$11,143$10,757$10,219-3.42%-4.34%-4.22%
201061.77%1.88%0.92%$11,340$10,959$10,3131.77%1.88%0.92%
201073.42%6.89%7.54%$11,727$11,715$11,0903.42%6.89%7.54%
201080.28%2.30%3.90%$11,760$11,984$11,5230.28%2.30%3.90%
201092.76%0.37%2.56%$12,084$12,028$11,8172.76%0.37%2.56%
2010102.20%0.15%-0.02%$12,350$12,046$11,8152.20%0.15%-0.02%
201011-1.66%-0.62%-1.92%$12,145$11,972$11,588-1.66%-0.62%-1.92%
2010121.32%0.27%0.64%$12,305$12,004$11,6631.32%0.27%0.64%
201112.01%0.72%1.19%$12,552$12,091$11,8012.01%0.72%1.19%
201121.25%1.65%1.91%$12,709$12,290$12,0271.25%1.65%1.91%
201130.28%0.97%1.59%$12,745$12,408$12,2190.28%0.97%1.59%
201141.61%1.58%1.37%$12,951$12,605$12,3861.61%1.58%1.37%
201150.59%0.60%0.81%$13,027$12,680$12,4860.59%0.60%0.81%
20116-0.96%-0.55%-1.14%$12,902$12,610$12,344-0.96%-0.55%-1.14%
201171.46%-1.89%-2.13%$13,090$12,373$12,0811.46%-1.89%-2.13%
20118-3.19%-1.87%-0.63%$12,672$12,141$12,004-3.19%-1.87%-0.63%
20119-1.91%-5.20%-6.33%$12,429$11,510$11,244-1.91%-5.20%-6.33%
2011105.39%5.38%5.56%$13,099$12,129$11,8705.39%5.38%5.56%
201111-2.05%-3.13%-3.59%$12,830$11,750$11,444-2.05%-3.13%-3.59%
2011122.75%0.12%0.14%$13,183$11,764$11,4602.75%0.12%0.14%
201212.87%7.07%8.20%$13,561$12,597$12,3992.87%7.07%8.20%
201221.90%3.04%3.63%$13,818$12,980$12,8491.90%3.04%3.63%
20123-0.47%0.18%0.71%$13,754$13,003$12,940-0.47%0.18%0.71%
201241.04%0.22%0.09%$13,897$13,032$12,9521.04%0.22%0.09%
20125-0.99%-1.17%-0.87%$13,760$12,880$12,839-0.99%-1.17%-0.87%
201262.08%2.42%3.00%$14,047$13,192$13,2242.08%2.42%3.00%
201272.07%1.50%2.03%$14,338$13,390$13,4932.07%1.50%2.03%
201280.86%1.48%1.48%$14,461$13,588$13,6930.86%1.48%1.48%
201291.17%0.73%0.54%$14,630$13,688$13,7671.17%0.73%0.54%
2012101.01%1.01%0.65%$14,778$13,827$13,8581.01%1.01%0.65%
2012110.66%0.18%0.17%$14,876$13,851$13,8810.66%0.18%0.17%
2012121.34%0.39%-0.13%$15,075$13,906$13,8631.34%0.39%-0.13%
201310.67%1.34%1.34%$15,176$14,092$14,0480.67%1.34%1.34%
201320.29%0.53%0.95%$15,219$14,166$14,1820.29%0.53%0.95%
201330.82%1.12%0.63%$15,344$14,325$14,2720.82%1.12%0.63%
201341.61%1.05%1.33%$15,592$14,476$14,4611.61%1.05%1.33%
20135-0.81%-0.66%-1.12%$15,465$14,381$14,300-0.81%-0.66%-1.12%
20136-2.96%-2.20%-2.17%$15,007$14,064$13,990-2.96%-2.20%-2.17%
201371.85%-0.54%-1.27%$15,284$13,988$13,8121.85%-0.54%-1.27%
20138-1.02%-2.19%-1.41%$15,129$13,682$13,618-1.02%-2.19%-1.41%
201390.99%0.68%-0.02%$15,278$13,776$13,6150.99%0.68%-0.02%
2013102.51%0.93%1.29%$15,662$13,903$13,7912.51%0.93%1.29%
2013110.30%0.32%0.24%$15,709$13,948$13,8250.30%0.32%0.24%
2013120.32%-1.29%-1.02%$15,759$13,769$13,6840.32%-1.29%-1.02%
201410.66%2.96%3.02%$15,863$14,176$14,0970.66%2.96%3.02%
201421.92%2.28%1.85%$16,169$14,500$14,3581.92%2.28%1.85%
201430.14%1.75%1.66%$16,191$14,753$14,5960.14%1.75%1.66%
201440.61%1.84%1.35%$16,290$15,024$14,7940.61%1.84%1.35%
201450.95%1.25%1.73%$16,446$15,211$15,0500.95%1.25%1.73%
201460.61%0.61%0.72%$16,545$15,305$15,1590.61%0.61%0.72%
20147-1.17%-0.50%-0.61%$16,352$15,229$15,066-1.17%-0.50%-0.61%
201481.62%1.79%1.89%$16,617$15,501$15,3521.62%1.79%1.89%
20149-1.84%-0.82%-0.82%$16,311$15,373$15,226-1.84%-0.82%-0.82%
2014101.97%1.07%1.28%$16,633$15,537$15,4211.97%1.07%1.28%
201411-0.54%1.24%1.21%$16,542$15,729$15,608-0.54%1.24%1.21%
201412-0.37%-0.12%0.38%$16,481$15,711$15,668-0.37%-0.12%0.38%
201510.64%1.32%1.80%$16,586$15,918$15,9490.64%1.32%1.80%
201521.93%0.97%0.42%$16,906$16,073$16,0161.93%0.97%0.42%
20153-0.55%0.30%1.07%$16,812$16,121$16,187-0.55%0.30%1.07%
201540.95%0.02%-0.35%$16,972$16,124$16,1300.95%0.02%-0.35%
201550.30%-0.01%0.22%$17,022$16,122$16,1660.30%-0.01%0.22%
20156-1.39%-1.01%-0.77%$16,786$15,959$16,042-1.39%-1.01%-0.77%
201570.29%1.36%1.59%$16,835$16,177$16,2960.29%1.36%1.59%
20158-0.89%-0.75%-0.07%$16,686$16,055$16,284-0.89%-0.75%-0.07%
20159-2.12%-0.69%0.41%$16,331$15,945$16,352-2.12%-0.69%0.41%
2015102.77%2.16%2.07%$16,784$16,290$16,6912.77%2.16%2.07%
201511-1.44%0.67%1.23%$16,542$16,399$16,897-1.44%0.67%1.23%
201512-1.76%-0.10%1.26%$16,252$16,382$17,110-1.76%-0.10%1.26%
20161-0.99%-0.98%-0.37%$16,090$16,222$17,047-0.99%-0.98%-0.37%
201620.46%0.06%-0.53%$16,164$16,232$16,9580.46%0.06%-0.53%
201632.85%2.38%2.23%$16,625$16,618$17,3362.85%2.38%2.23%
201642.60%0.88%0.61%$17,057$16,765$17,4412.60%0.88%0.61%
20165-0.05%1.54%1.45%$17,049$17,024$17,695-0.05%1.54%1.45%
201660.80%1.18%1.46%$17,185$17,225$17,9540.80%1.18%1.46%
201672.03%1.39%1.45%$17,535$17,465$18,2142.03%1.39%1.45%
201681.66%0.02%0.54%$17,826$17,469$18,3131.66%0.02%0.54%
201690.62%-1.07%-1.37%$17,936$17,282$18,0630.62%-1.07%-1.37%
2016100.28%-0.97%-0.71%$17,987$17,114$17,9340.28%-0.97%-0.71%
201611-0.91%-3.33%-3.86%$17,823$16,544$17,242-0.91%-3.33%-3.86%
2016121.39%0.31%0.21%$18,071$16,596$17,2791.39%0.31%0.21%
201711.00%2.39%2.70%$18,251$16,992$17,7451.00%2.39%2.70%
201721.44%2.09%1.93%$18,513$17,347$18,0861.44%2.09%1.93%
20173-0.22%0.50%0.60%$18,472$17,433$18,194-0.22%0.50%0.60%
201741.29%1.30%1.62%$18,711$17,660$18,4881.29%1.30%1.62%
201750.96%0.55%1.13%$18,891$17,757$18,6970.96%0.55%1.13%
201760.27%0.80%0.92%$18,942$17,899$18,8680.27%0.80%0.92%
201771.12%0.66%0.34%$19,155$18,018$18,9321.12%0.66%0.34%
201780.11%-0.06%0.18%$19,177$18,007$18,9660.11%-0.06%0.18%
201790.77%-0.16%0.13%$19,324$17,978$18,9910.77%-0.16%0.13%
2017100.09%-0.37%-0.24%$19,340$17,911$18,9450.09%-0.37%-0.24%
201711-0.27%0.68%1.19%$19,289$18,033$19,170-0.27%0.68%1.19%
2017120.27%-0.52%-0.12%$19,340$17,939$19,1470.27%-0.52%-0.12%
201810.21%-1.18%-1.65%$19,380$17,727$18,8320.21%-1.18%-1.65%
20182-1.11%0.27%1.36%$19,164$17,775$19,089-1.11%0.27%1.36%
20183-0.57%0.54%0.36%$19,056$17,871$19,158-0.57%0.54%0.36%
201840.46%-0.70%-0.84%$19,142$17,745$18,9980.46%-0.70%-0.84%
20185-0.40%0.81%0.74%$19,066$17,889$19,138-0.40%0.81%0.74%
201860.28%1.76%0.98%$19,120$18,204$19,3250.28%1.76%0.98%
201871.18%0.19%-0.10%$19,345$18,239$19,3061.18%0.19%-0.10%
201880.99%1.41%1.15%$19,538$18,496$19,5280.99%1.41%1.15%
201890.45%-1.71%-1.19%$19,626$18,179$19,2950.45%-1.71%-1.19%
201810-1.58%-2.24%-1.43%$19,316$17,771$19,020-1.58%-2.24%-1.43%
201811-0.72%-2.23%-1.66%$19,177$17,374$18,704-0.72%-2.23%-1.66%
201812-2.14%-1.53%-0.09%$18,767$17,109$18,687-2.14%-1.53%-0.09%
201914.93%5.64%4.81%$19,691$18,073$19,5864.93%5.64%4.81%
201921.67%0.58%0.55%$20,020$18,179$19,6941.67%0.58%0.55%
201930.83%1.46%1.26%$20,185$18,444$19,9410.83%1.46%1.26%
201941.50%0.68%0.90%$20,488$18,571$20,1211.50%0.68%0.90%
20195-1.08%0.25%0.39%$20,266$18,617$20,200-1.08%0.25%0.39%
201962.72%1.31%0.91%$20,817$18,862$20,3842.72%1.31%0.91%
201970.45%1.80%2.05%$20,910$19,201$20,8030.45%1.80%2.05%
201980.95%0.60%0.38%$21,110$19,317$20,8810.95%0.60%0.38%
201990.43%0.75%0.79%$21,200$19,462$21,0450.43%0.75%0.79%
2019100.61%0.43%0.61%$21,329$19,545$21,1740.61%0.43%0.61%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VWEHXVanguard High-Yield Corporate InvHigh Yield Bond3.280.23%100.00%$11,329100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
PFFiShares Preferred&Income Securities ETFPreferred Stock0.46%100.00%$9,545100.00%

Asset Allocation

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
PGFInvesco Financial Preferred ETFPreferred Stock0.62%100.00%$11,174100.00%

Asset Allocation

Fixed Income Credit Quality

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 2Portfolio 3
Arithmetic Mean (monthly)0.57%0.60%0.72%
Arithmetic Mean (annualized)7.01%7.50%9.03%
Geometric Mean (monthly)0.53%0.47%0.53%
Geometric Mean (annualized)6.61%5.83%6.55%
Volatility (monthly)2.47%5.05%6.11%
Volatility (annualized)8.56%17.49%21.16%
Downside Deviation (monthly)1.70%3.48%4.17%
Max. Drawdown-28.27%-54.40%-63.90%
US Market Correlation0.710.530.49
Beta(*)0.390.600.68
Alpha (annualized)3.08%1.55%2.29%
R250.39%28.56%24.43%
Sharpe Ratio0.730.380.38
Sortino Ratio1.050.550.56
Treynor Ratio (%)15.9111.1112.03
Calmar Ratio1.330.601.32
Active Return-1.96%-2.74%-2.02%
Tracking Error11.18%16.01%19.07%
Information Ratio-0.18-0.17-0.11
Skewness-1.66-0.75-0.53
Excess Kurtosis12.8912.1412.64
Historical Value-at-Risk (5%)-2.95%-5.11%-6.02%
Analytical Value-at-Risk (5%)-3.50%-7.70%-9.33%
Conditional Value-at-Risk (5%)-5.76%-12.84%-15.92%
Upside Capture Ratio (%)41.5956.2361.24
Downside Capture Ratio (%)30.1256.6359.82
Safe Withdrawal Rate11.69%10.98%10.96%
Perpetual Withdrawal Rate4.93%4.18%4.87%
Positive Periods99 out of 142 (69.72%)96 out of 142 (67.61%)96 out of 142 (67.61%)
Gain/Loss Ratio0.880.770.78
* US stock market 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
1May 2008Nov 20087 monthsSep 200910 months1 year 5 months-28.27%
2Jun 2015Jan 20168 monthsApr 20163 months11 months-5.48%
3Aug 2011Sep 20112 monthsOct 20111 month3 months-5.04%
4Oct 2018Dec 20183 monthsJan 20191 month4 months-4.38%
5May 2013Jun 20132 monthsOct 20134 months6 months-3.75%
6May 2010May 20101 monthJul 20102 months3 months-3.42%
7Jan 2008Mar 20083 monthsApr 20081 month4 months-2.39%
8Nov 2011Nov 20111 monthDec 20111 month2 months-2.05%
9Sep 2014Sep 20141 monthOct 20141 month2 months-1.84%
10Feb 2018Mar 20182 monthsAug 20185 months7 months-1.67%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2008Feb 200910 monthsFeb 20101 year1 year 10 months-54.40%
2Jun 2011Sep 20114 monthsFeb 20125 months9 months-9.23%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-7.50%
4Feb 2008Mar 20082 monthsApr 20081 month3 months-5.80%
5May 2013Aug 20134 monthsFeb 20146 months10 months-5.48%
6Sep 2016Nov 20163 monthsApr 20175 months8 months-5.30%
7May 2010May 20101 monthJul 20102 months3 months-4.34%
8Dec 2017Jan 20182 monthsJun 20185 months7 months-1.70%
9Aug 2015Sep 20152 monthsOct 20151 month3 months-1.43%
10May 2012May 20121 monthJun 20121 month2 months-1.17%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2008Feb 20091 year 1 monthSep 20101 year 7 months2 years 8 months-63.90%
2Jun 2011Sep 20114 monthsFeb 20125 months9 months-9.95%
3May 2013Sep 20135 monthsMar 20146 months11 months-5.85%
4Sep 2016Nov 20163 monthsApr 20175 months8 months-5.85%
5Sep 2018Dec 20184 monthsJan 20191 month5 months-4.30%
6Oct 2010Nov 20102 monthsFeb 20113 months5 months-1.94%
7Dec 2017Jan 20182 monthsJun 20185 months7 months-1.76%
8Apr 2015Jun 20153 monthsJul 20151 month4 months-0.90%
9Jan 2016Feb 20162 monthsMar 20161 month3 months-0.89%
10May 2012May 20121 monthJun 20121 month2 months-0.87%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VWEHXVanguard High-Yield Corporate Inv6.61%8.56%39.09%-21.29%-28.27%0.731.050.71
PFFiShares Preferred&Income Securities ETF5.83%17.49%38.67%-23.94%-54.40%0.380.550.53
PGFInvesco Financial Preferred ETF6.55%21.16%38.12%-27.20%-63.90%0.380.560.49

Monthly Correlations

Correlations for the portfolio assets
TickerNameVWEHXPFFPGFPortfolio 1Portfolio 2Portfolio 3
VWEHXVanguard High-Yield Corporate Inv-0.490.461.000.490.46
PFFiShares Preferred&Income Securities ETF0.49-0.970.491.000.97
PGFInvesco Financial Preferred ETF0.460.97-0.460.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWEHXVanguard High-Yield Corporate Inv$11,329
PFFiShares Preferred&Income Securities ETF$9,545
PGFInvesco Financial Preferred ETF$11,174

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VWEHXVanguard High-Yield Corporate Inv100.00%
PFFiShares Preferred&Income Securities ETF100.00%
PGFInvesco Financial Preferred ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year6.79%39.09%-21.29%6.08%38.67%-23.94%7.09%38.12%-27.20%
3 years7.90%18.76%2.54%7.15%15.65%1.46%8.29%16.33%2.98%
5 years7.55%14.89%3.55%7.27%12.60%4.44%8.44%13.45%6.43%
7 years7.52%10.91%5.17%7.27%11.58%5.50%8.44%12.98%6.62%
10 years7.95%9.08%6.82%7.23%8.44%6.02%8.30%9.89%6.71%
Result statistics are based on annualized rolling returns over full calendar year periods