Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 2008 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IEF iShares 7-10 Year Treasury Bond ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
BND Vanguard Total Bond Market ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$18,846 5.13% 6.40%17.91%-6.59%-7.60% 0.721.31-0.34
Portfolio 2$10,000$25,493 7.67% 14.17%33.96%-21.80%-21.80% 0.550.99-0.34
Portfolio 3$10,000$16,840 4.20% 3.72%8.83%-2.10%-4.01% 0.961.790.06
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 1-0.08%11.07%8.19%6.00%4.66%4.12%5.13%
Portfolio 2-0.50%20.85%12.13%10.77%8.51%7.01%7.67%
Portfolio 31.17%6.96%6.56%5.13%4.36%3.51%4.20%
Trailing returns are for full months ending in August 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns from January to August
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares 7-10 Year Treasury Bond ETF (IEF)iShares 20+ Year Treasury Bond ETF (TLT)Vanguard Total Bond Market ETF (BND)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20080.09%17.91%33.93%6.86%$11,791$13,393$10,68617.91%33.93%6.86%
20092.72%-6.59%-21.80%3.64%$11,014$10,473$11,075-6.59%-21.80%3.64%
20101.50%9.37%9.05%6.20%$12,046$11,420$11,7619.37%9.05%6.20%
20112.96%15.64%33.96%7.92%$13,930$15,299$12,69315.64%33.96%7.92%
20121.74%3.66%2.63%3.16%$14,440$15,701$13,0943.66%2.63%3.16%
20131.50%-6.09%-13.37%-2.10%$13,561$13,602$12,818-6.09%-13.37%-2.10%
20140.76%9.07%27.30%5.82%$14,791$17,315$13,5649.07%27.30%5.82%
20150.73%1.51%-1.79%0.56%$15,014$17,006$13,6401.51%-1.79%0.56%
20162.07%1.00%1.18%2.52%$15,165$17,206$13,9841.00%1.18%2.52%
20172.11%2.55%9.18%3.57%$15,552$18,786$14,4832.55%9.18%3.57%
20181.91%0.99%-1.61%-0.12%$15,706$18,484$14,4660.99%-1.61%-0.12%
20192.29%8.03%14.12%8.83%$16,967$21,095$15,7448.03%14.12%8.83%
20200.83%11.07%20.85%6.96%$18,846$25,493$16,84011.07%20.85%6.96%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares 7-10 Year Treasury Bond ETF (IEF)iShares 20+ Year Treasury Bond ETF (TLT)Vanguard Total Bond Market ETF (BND)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200813.36%2.10%1.25%$10,336$10,210$10,1253.36%2.10%1.25%
200821.24%-0.46%0.09%$10,464$10,163$10,1341.24%-0.46%0.09%
200831.34%2.14%0.40%$10,604$10,380$10,1751.34%2.14%0.40%
20084-2.41%-2.48%-0.34%$10,348$10,123$10,140-2.41%-2.48%-0.34%
20085-1.78%-2.69%-0.99%$10,164$9,851$10,039-1.78%-2.69%-0.99%
200861.14%2.65%0.04%$10,280$10,112$10,0431.14%2.65%0.04%
200870.72%-0.37%0.02%$10,354$10,075$10,0460.72%-0.37%0.02%
200881.53%2.74%0.84%$10,512$10,351$10,1301.53%2.74%0.84%
20089-0.14%1.47%-0.52%$10,497$10,503$10,077-0.14%1.47%-0.52%
200810-0.87%-1.86%-2.95%$10,406$10,308$9,780-0.87%-1.86%-2.95%
2008117.75%14.34%3.92%$11,213$11,786$10,1647.75%14.34%3.92%
2008125.15%13.64%5.13%$11,791$13,393$10,6865.15%13.64%5.13%
20091-3.89%-13.07%-2.08%$11,332$11,642$10,464-3.89%-13.07%-2.08%
20092-0.74%-1.54%-0.59%$11,249$11,464$10,403-0.74%-1.54%-0.59%
200933.31%4.04%1.09%$11,621$11,927$10,5173.31%4.04%1.09%
20094-2.75%-6.95%0.46%$11,302$11,098$10,565-2.75%-6.95%0.46%
20095-2.08%-3.69%0.67%$11,068$10,688$10,637-2.08%-3.69%0.67%
20096-0.55%0.76%0.62%$11,006$10,769$10,703-0.55%0.76%0.62%
200970.83%0.58%1.31%$11,098$10,831$10,8430.83%0.58%1.31%
200980.77%2.24%1.01%$11,183$11,073$10,9530.77%2.24%1.01%
200991.12%2.46%1.00%$11,309$11,346$11,0631.12%2.46%1.00%
200910-0.14%-2.62%0.27%$11,293$11,048$11,093-0.14%-2.62%0.27%
2009112.02%1.21%1.30%$11,521$11,183$11,2382.02%1.21%1.30%
200912-4.40%-6.34%-1.45%$11,014$10,473$11,075-4.40%-6.34%-1.45%
201012.37%2.69%1.29%$11,275$10,755$11,2172.37%2.69%1.29%
201020.33%-0.34%0.33%$11,312$10,719$11,2540.33%-0.34%0.33%
20103-1.06%-2.06%-0.22%$11,193$10,498$11,229-1.06%-2.06%-0.22%
201041.65%3.32%1.07%$11,378$10,847$11,3491.65%3.32%1.07%
201052.93%5.11%1.13%$11,712$11,401$11,4772.93%5.11%1.13%
201063.05%5.80%1.45%$12,069$12,062$11,6433.05%5.80%1.45%
201070.91%-0.95%0.86%$12,178$11,948$11,7430.91%-0.95%0.86%
201083.36%8.40%1.56%$12,587$12,951$11,9263.36%8.40%1.56%
20109-0.00%-2.51%-0.00%$12,587$12,625$11,926-0.00%-2.51%-0.00%
201010-0.01%-4.47%0.32%$12,586$12,061$11,964-0.01%-4.47%0.32%
201011-0.90%-1.69%-0.68%$12,473$11,857$11,883-0.90%-1.69%-0.68%
201012-3.43%-3.68%-1.02%$12,046$11,420$11,761-3.43%-3.68%-1.02%
20111-0.02%-3.08%0.09%$12,043$11,069$11,772-0.02%-3.08%0.09%
20112-0.21%1.65%0.29%$12,018$11,251$11,806-0.21%1.65%0.29%
20113-0.15%0.03%-0.15%$12,000$11,255$11,789-0.15%0.03%-0.15%
201141.84%2.34%1.46%$12,221$11,518$11,9611.84%2.34%1.46%
201152.51%3.42%1.18%$12,527$11,912$12,1022.51%3.42%1.18%
20116-0.51%-2.33%-0.38%$12,463$11,635$12,057-0.51%-2.33%-0.38%
201173.17%4.42%1.63%$12,859$12,148$12,2533.17%4.42%1.63%
201184.65%9.66%1.66%$13,457$13,322$12,4564.65%9.66%1.66%
201192.24%13.20%0.66%$13,757$15,081$12,5392.24%13.20%0.66%
201110-1.29%-3.84%0.11%$13,580$14,502$12,553-1.29%-3.84%0.11%
2011110.58%1.98%-0.06%$13,659$14,789$12,5450.58%1.98%-0.06%
2011121.99%3.44%1.18%$13,930$15,299$12,6931.99%3.44%1.18%
201210.86%-0.33%0.63%$14,050$15,248$12,7730.86%-0.33%0.63%
20122-1.10%-2.59%0.04%$13,896$14,853$12,779-1.10%-2.59%0.04%
20123-1.59%-4.23%-0.51%$13,675$14,224$12,714-1.59%-4.23%-0.51%
201242.51%4.83%1.10%$14,018$14,911$12,8542.51%4.83%1.10%
201252.87%9.03%0.93%$14,420$16,257$12,9742.87%9.03%0.93%
20126-0.42%-1.68%0.07%$14,360$15,984$12,982-0.42%-1.68%0.07%
201271.40%3.82%1.23%$14,561$16,593$13,1421.40%3.82%1.23%
20128-0.12%-1.32%0.16%$14,544$16,375$13,164-0.12%-1.32%0.16%
20129-0.35%-2.53%0.18%$14,493$15,960$13,187-0.35%-2.53%0.18%
201210-0.40%-0.48%-0.10%$14,436$15,883$13,174-0.40%-0.48%-0.10%
2012110.98%1.38%0.27%$14,577$16,102$13,2100.98%1.38%0.27%
201212-0.94%-2.49%-0.88%$14,440$15,701$13,094-0.94%-2.49%-0.88%
20131-1.29%-3.19%-0.69%$14,254$15,201$13,003-1.29%-3.19%-0.69%
201321.13%1.24%0.54%$14,415$15,390$13,0731.13%1.24%0.54%
201330.29%-0.42%0.08%$14,456$15,325$13,0830.29%-0.42%0.08%
201341.52%4.68%1.01%$14,677$16,043$13,2161.52%4.68%1.01%
20135-3.11%-6.76%-1.93%$14,221$14,958$12,962-3.11%-6.76%-1.93%
20136-2.55%-3.27%-1.65%$13,859$14,469$12,748-2.55%-3.27%-1.65%
20137-0.35%-2.26%0.38%$13,810$14,142$12,796-0.35%-2.26%0.38%
20138-1.42%-1.34%-0.86%$13,614$13,953$12,687-1.42%-1.34%-0.86%
201391.85%0.66%1.11%$13,865$14,044$12,8281.85%0.66%1.11%
2013100.78%1.43%0.86%$13,973$14,245$12,9380.78%1.43%0.86%
201311-0.88%-2.70%-0.29%$13,851$13,861$12,900-0.88%-2.70%-0.29%
201312-2.09%-1.87%-0.64%$13,561$13,602$12,818-2.09%-1.87%-0.64%
201413.06%6.30%1.55%$13,977$14,459$13,0173.06%6.30%1.55%
201420.36%0.52%0.47%$14,027$14,535$13,0780.36%0.52%0.47%
20143-0.56%0.73%-0.17%$13,948$14,641$13,056-0.56%0.73%-0.17%
201440.76%2.10%0.80%$14,054$14,948$13,1600.76%2.10%0.80%
201451.82%2.95%1.05%$14,310$15,388$13,2991.82%2.95%1.05%
20146-0.22%-0.25%0.08%$14,279$15,350$13,310-0.22%-0.25%0.08%
20147-0.22%0.67%-0.28%$14,248$15,452$13,273-0.22%0.67%-0.28%
201481.88%4.72%1.14%$14,515$16,182$13,4251.88%4.72%1.14%
20149-1.05%-2.11%-0.57%$14,363$15,841$13,348-1.05%-2.11%-0.57%
2014101.53%2.81%0.72%$14,584$16,287$13,4441.53%2.81%0.72%
2014111.29%2.97%0.83%$14,772$16,770$13,5561.29%2.97%0.83%
2014120.13%3.25%0.06%$14,791$17,315$13,5640.13%3.25%0.06%
201514.30%9.82%2.40%$15,427$19,015$13,8904.30%9.82%2.40%
20152-2.47%-6.14%-1.31%$15,046$17,848$13,709-2.47%-6.14%-1.31%
201530.86%1.10%0.55%$15,175$18,043$13,7840.86%1.10%0.55%
20154-0.63%-3.43%-0.32%$15,079$17,425$13,739-0.63%-3.43%-0.32%
20155-0.42%-2.37%-0.50%$15,016$17,012$13,671-0.42%-2.37%-0.50%
20156-1.63%-4.07%-1.11%$14,771$16,320$13,519-1.63%-4.07%-1.11%
201571.52%4.55%0.88%$14,996$17,062$13,6381.52%4.55%0.88%
201580.08%-0.69%-0.25%$15,007$16,944$13,6040.08%-0.69%-0.25%
201591.58%1.97%0.81%$15,244$17,277$13,7141.58%1.97%0.81%
201510-0.64%-0.41%0.03%$15,147$17,206$13,718-0.64%-0.41%0.03%
201511-0.43%-0.87%-0.39%$15,083$17,057$13,664-0.43%-0.87%-0.39%
201512-0.45%-0.30%-0.18%$15,014$17,006$13,640-0.45%-0.30%-0.18%
201613.33%5.57%1.20%$15,515$17,953$13,8043.33%5.57%1.20%
201621.49%3.09%0.85%$15,745$18,507$13,9211.49%3.09%0.85%
20163-0.06%-0.09%0.88%$15,735$18,491$14,044-0.06%-0.09%0.88%
20164-0.16%-0.74%0.40%$15,710$18,355$14,101-0.16%-0.74%0.40%
20165-0.10%0.81%-0.01%$15,695$18,503$14,100-0.10%0.81%-0.01%
201663.09%6.93%2.02%$16,179$19,786$14,3853.09%6.93%2.02%
201670.25%2.10%0.60%$16,219$20,201$14,4710.25%2.10%0.60%
20168-1.01%-1.01%-0.31%$16,055$19,997$14,426-1.01%-1.01%-0.31%
201690.24%-1.51%0.11%$16,093$19,695$14,4420.24%-1.51%0.11%
201610-1.49%-4.38%-0.94%$15,853$18,832$14,306-1.49%-4.38%-0.94%
201611-4.23%-8.21%-2.57%$15,183$17,286$13,938-4.23%-8.21%-2.57%
201612-0.12%-0.46%0.33%$15,165$17,206$13,984-0.12%-0.46%0.33%
201710.22%0.81%0.19%$15,198$17,346$14,0100.22%0.81%0.19%
201720.72%1.59%0.62%$15,308$17,621$14,0970.72%1.59%0.62%
201730.08%-0.65%-0.04%$15,321$17,506$14,0910.08%-0.65%-0.04%
201741.11%1.57%0.80%$15,490$17,781$14,2031.11%1.57%0.80%
201750.83%1.89%0.71%$15,618$18,117$14,3040.83%1.89%0.71%
20176-0.51%0.79%0.05%$15,539$18,261$14,311-0.51%0.79%0.05%
201770.38%-0.66%0.40%$15,597$18,141$14,3690.38%-0.66%0.40%
201781.46%3.41%0.86%$15,825$18,759$14,4921.46%3.41%0.86%
20179-1.44%-2.32%-0.47%$15,596$18,323$14,425-1.44%-2.32%-0.47%
201710-0.19%-0.04%-0.03%$15,567$18,316$14,421-0.19%-0.04%-0.03%
201711-0.28%0.74%-0.11%$15,524$18,452$14,405-0.28%0.74%-0.11%
2017120.18%1.81%0.54%$15,552$18,786$14,4830.18%1.81%0.54%
20181-2.15%-3.26%-1.24%$15,218$18,175$14,304-2.15%-3.26%-1.24%
20182-0.93%-3.04%-1.04%$15,076$17,622$14,156-0.93%-3.04%-1.04%
201831.16%2.86%0.69%$15,250$18,126$14,2531.16%2.86%0.69%
20184-1.28%-2.09%-0.85%$15,055$17,747$14,131-1.28%-2.09%-0.85%
201850.99%2.01%0.68%$15,204$18,103$14,2280.99%2.01%0.68%
201860.20%0.65%-0.04%$15,234$18,220$14,2210.20%0.65%-0.04%
20187-0.53%-1.44%-0.04%$15,154$17,959$14,216-0.53%-1.44%-0.04%
201881.01%1.31%0.67%$15,307$18,195$14,3111.01%1.31%0.67%
20189-1.20%-2.86%-0.55%$15,123$17,674$14,233-1.20%-2.86%-0.55%
201810-0.30%-2.93%-0.86%$15,077$17,156$14,111-0.30%-2.93%-0.86%
2018111.33%1.79%0.64%$15,278$17,463$14,2001.33%1.79%0.64%
2018122.80%5.85%1.87%$15,706$18,484$14,4662.80%5.85%1.87%
201910.65%0.38%1.11%$15,808$18,554$14,6270.65%0.38%1.11%
20192-0.52%-1.38%-0.09%$15,726$18,299$14,614-0.52%-1.38%-0.09%
201932.66%5.57%1.94%$16,143$19,319$14,8972.66%5.57%1.94%
20194-0.52%-1.99%-0.02%$16,060$18,935$14,894-0.52%-1.99%-0.02%
201953.05%6.84%1.83%$16,549$20,230$15,1663.05%6.84%1.83%
201961.22%0.95%1.25%$16,751$20,422$15,3551.22%0.95%1.25%
201970.04%0.26%0.15%$16,757$20,474$15,3780.04%0.26%0.15%
201983.95%11.04%2.77%$17,419$22,736$15,8033.95%11.04%2.77%
20199-1.19%-2.68%-0.57%$17,212$22,126$15,714-1.19%-2.68%-0.57%
2019100.19%-1.11%0.31%$17,244$21,880$15,7630.19%-1.11%0.31%
201911-0.69%-0.41%-0.04%$17,126$21,791$15,756-0.69%-0.41%-0.04%
201912-0.93%-3.20%-0.07%$16,967$21,095$15,744-0.93%-3.20%-0.07%
202013.47%7.69%1.98%$17,555$22,717$16,0563.47%7.69%1.98%
202022.96%6.63%1.67%$18,075$24,222$16,3242.96%6.63%1.67%
202033.72%6.38%-1.43%$18,748$25,767$16,0913.72%6.38%-1.43%
202040.27%1.22%2.76%$18,800$26,081$16,5340.27%1.22%2.76%
202050.33%-1.76%0.67%$18,861$25,621$16,6450.33%-1.76%0.67%
202060.04%0.34%0.67%$18,869$25,707$16,7570.04%0.34%0.67%
202070.85%4.44%1.45%$19,030$26,848$17,0000.85%4.44%1.45%
20208-0.97%-5.05%-0.94%$18,846$25,493$16,840-0.97%-5.05%-0.94%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%0.00%
Large-cap Growth0.00%0.00%0.56%
Mid-cap Value0.00%0.00%2.79%
Mid-cap Growth0.00%0.00%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.00%0.00%1.72%
Corporate Bonds0.00%0.00%16.33%
Long-Term Treasuries0.00%100.00%7.87%
Intermediate-Term Treasuries100.00%0.00%21.59%
Short-Term Treasuries0.00%0.00%49.13%
R Squared100.00%100.00%90.52%
Style analysis is based on monthly returns from Jan 2008 to Aug 2020 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
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
IEFiShares 7-10 Year Treasury Bond ETFLong Government100.00%0.15%7.59$8,846100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
TLTiShares 20+ Year Treasury Bond ETFLong Government100.00%0.15%18.93$15,493100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
BNDVanguard Total Bond Market ETFIntermediate Core Bond100.00%0.04%6.60$6,840100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (c) 2020 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)0.43%0.70%0.35%
Arithmetic Mean (annualized)5.34%8.72%4.27%
Geometric Mean (monthly)0.42%0.62%0.34%
Geometric Mean (annualized)5.13%7.67%4.20%
Volatility (monthly)1.85%4.09%1.07%
Volatility (annualized)6.40%14.17%3.72%
Downside Deviation (monthly)1.00%2.26%0.56%
Max. Drawdown-7.60%-21.80%-4.01%
US Market Correlation-0.34-0.340.06
Beta(*)-0.13-0.300.01
Alpha (annualized)6.58%11.44%4.06%
R211.46%11.72%0.31%
Sharpe Ratio0.720.550.96
Sortino Ratio1.310.991.79
Treynor Ratio (%)-34.81-26.25285.40
Calmar Ratio1.231.241.95
Active Return-4.18%-1.64%-5.11%
Tracking Error19.49%25.05%16.58%
Information Ratio-0.21-0.07-0.31
Skewness0.420.580.48
Excess Kurtosis1.341.763.05
Historical Value-at-Risk (5%)-2.50%-4.67%-1.35%
Analytical Value-at-Risk (5%)-2.61%-6.03%-1.41%
Conditional Value-at-Risk (5%)-3.48%-7.50%-2.01%
Upside Capture Ratio (%)-0.02-6.278.35
Downside Capture Ratio (%)-31.96-60.65-10.17
Safe Withdrawal Rate10.53%11.51%9.82%
Perpetual Withdrawal Rate3.47%5.87%2.56%
Positive Periods83 out of 152 (54.61%)80 out of 152 (52.63%)97 out of 152 (63.82%)
Gain/Loss Ratio1.581.441.40
* 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 2013Dec 20138 monthsNov 201411 months1 year 7 months-7.60%
2Aug 2016Apr 20181 year 9 monthsMay 20191 year 1 month2 years 10 months-7.18%
3Jan 2009Jun 20096 monthsJun 20101 year1 year 6 months-6.65%
4Sep 2010Mar 20117 monthsJul 20114 months11 months-4.67%
5Feb 2015Jun 20155 monthsJan 20167 months1 year-4.25%
6Apr 2008May 20082 monthsNov 20086 months8 months-4.15%
7Feb 2012Mar 20122 monthsMay 20122 months4 months-2.67%
8Sep 2019Dec 20194 monthsJan 20201 month5 months-2.59%
9Dec 2012Jan 20132 monthsApr 20133 months5 months-2.22%
10Oct 2011Oct 20111 monthDec 20112 months3 months-1.29%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (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%
5Sep 2019Dec 20194 monthsFeb 20202 months6 months-7.22%
6Jan 2012Mar 20123 monthsMay 20122 months5 months-7.03%
7Apr 2008May 20082 monthsSep 20084 months6 months-5.10%
8Aug 2020Aug 20201 month-5.05%
9Oct 2011Oct 20111 monthDec 20112 months3 months-3.84%
10Oct 2008Oct 20081 monthNov 20081 month2 months-1.86%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Aug 20134 monthsMay 20149 months1 year 1 month-4.01%
2Apr 2008Oct 20087 monthsDec 20082 months9 months-3.88%
3Aug 2016Nov 20164 monthsAug 20179 months1 year 1 month-3.68%
4Feb 2015Jun 20155 monthsFeb 20168 months1 year 1 month-2.67%
5Jan 2009Feb 20092 monthsJun 20094 months6 months-2.65%
6Sep 2017Oct 20181 year 2 monthsJan 20193 months1 year 5 months-2.63%
7Nov 2010Dec 20102 monthsMay 20115 months7 months-1.70%
8Dec 2012Jan 20132 monthsApr 20133 months5 months-1.56%
9Dec 2009Dec 20091 monthFeb 20102 months3 months-1.45%
10Mar 2020Mar 20201 monthApr 20201 month2 months-1.43%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IEFiShares 7-10 Year Treasury Bond ETF5.13%6.40%17.91%-6.59%-7.60%0.721.31-0.34
TLTiShares 20+ Year Treasury Bond ETF7.67%14.17%33.96%-21.80%-21.80%0.550.99-0.34
BNDVanguard Total Bond Market ETF4.20%3.72%8.83%-2.10%-4.01%0.961.790.06

Monthly Correlations

Correlations for the portfolio assets
TickerNameIEFTLTBNDPortfolio 1Portfolio 2Portfolio 3
IEFiShares 7-10 Year Treasury Bond ETF1.000.910.831.000.910.83
TLTiShares 20+ Year Treasury Bond ETF0.911.000.790.911.000.79
BNDVanguard Total Bond Market ETF0.830.791.000.830.791.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IEFiShares 7-10 Year Treasury Bond ETF$8,846
TLTiShares 20+ Year Treasury Bond ETF$15,493
BNDVanguard Total Bond Market ETF$6,840

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IEFiShares 7-10 Year Treasury Bond ETF100.00%
TLTiShares 20+ Year Treasury Bond ETF100.00%
BNDVanguard Total Bond Market ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year4.75%17.91%-6.59%7.73%33.96%-21.80%3.91%8.83%-2.10%
3 years3.97%9.45%1.31%5.72%14.45%2.70%3.49%5.90%1.37%
5 years3.75%7.63%1.49%5.63%10.58%0.31%3.23%5.54%1.96%
7 years3.62%5.75%1.73%5.57%8.16%2.74%3.16%4.45%1.89%
10 years3.95%4.52%2.91%5.68%7.25%3.27%3.48%3.77%3.08%
Result statistics are based on annualized rolling returns over full calendar year periods