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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Asset 11
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Asset 12
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Asset 15
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Portfolio Analysis Results (Jan 2008 - Jul 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 20.00%
GLD SPDR Gold Shares 10.00%
QQQ Invesco QQQ Trust 15.00%
IEF iShares 7-10 Year Treasury Bond ETF 20.00%
IHI iShares US Medical Devices ETF 10.00%
MBB iShares MBS ETF 10.00%
SHY iShares 1-3 Year Treasury Bond ETF 15.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 30.00%
GLD SPDR Gold Shares 15.00%
QQQ Invesco QQQ Trust 20.00%
IEF iShares 7-10 Year Treasury Bond ETF 10.00%
IHI iShares US Medical Devices ETF 10.00%
MBB iShares MBS ETF 15.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
TLT iShares 20+ Year Treasury Bond ETF 25.00%
GLD SPDR Gold Shares 10.00%
QQQ Invesco QQQ Trust 15.00%
IEF iShares 7-10 Year Treasury Bond ETF 20.00%
IHI iShares US Medical Devices ETF 15.00%
MBB iShares MBS ETF 15.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$28,027 8.53% 5.91%16.62%1.44%-7.95% 1.312.420.43
Portfolio 2$10,000$33,446 10.07% 7.35%20.63%0.97%-10.21% 1.262.320.44
Portfolio 3$10,000$32,048 9.70% 6.82%18.61%1.83%-9.69% 1.302.350.45
   
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 July
  • 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 annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Invesco QQQ Trust (QQQ)iShares 7-10 Year Treasury Bond ETF (IEF)iShares US Medical Devices ETF (IHI)iShares MBS ETF (MBB)iShares 1-3 Year Treasury Bond ETF (SHY)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20080.09%2.69%1.85%1.94%$10,269$10,185$10,19433.93%4.92%-41.73%17.91%-36.78%7.75%6.62%
20092.72%9.30%11.89%10.32%$11,224$11,396$11,246-21.80%24.03%54.68%-6.59%38.50%4.69%0.35%
20101.50%11.67%14.04%12.62%$12,533$12,996$12,6659.05%29.27%20.14%9.37%11.35%5.58%2.28%
20112.96%12.20%14.76%13.98%$14,063$14,915$14,43633.96%9.57%3.47%15.64%0.01%5.87%1.44%
20121.74%6.45%7.64%7.43%$14,970$16,055$15,5082.63%6.60%18.12%3.66%15.78%1.98%0.28%
20131.50%2.39%1.94%3.48%$15,327$16,367$16,047-13.37%-28.33%36.63%-6.09%37.77%-1.95%0.21%
20140.76%12.91%15.83%15.66%$17,306$18,958$18,56127.30%-2.19%19.18%9.07%22.72%6.38%0.45%
20150.73%1.44%1.04%1.83%$17,555$19,156$18,900-1.79%-10.67%9.45%1.51%9.69%1.14%0.43%
20162.07%3.49%4.20%3.95%$18,167$19,960$19,6471.18%8.03%7.10%1.00%9.31%1.27%0.82%
20172.11%11.90%14.92%13.98%$20,328$22,938$22,3949.18%12.81%32.66%2.55%30.81%2.49%0.26%
20181.91%1.51%0.97%2.03%$20,636$23,161$22,847-1.61%-1.94%-0.12%0.99%15.46%0.82%1.46%
20192.29%16.46%19.71%18.61%$24,033$27,727$27,09814.12%17.86%38.96%8.03%32.75%6.19%3.38%
20200.32%16.62%20.63%18.27%$28,027$33,446$32,04827.27%29.76%25.49%12.16%10.96%3.81%3.04%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares 20+ Year Treasury Bond ETF (TLT)SPDR Gold Shares (GLD)Invesco QQQ Trust (QQQ)iShares 7-10 Year Treasury Bond ETF (IEF)iShares US Medical Devices ETF (IHI)iShares MBS ETF (MBB)iShares 1-3 Year Treasury Bond ETF (SHY)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200810.21%-0.14%-0.16%$10,021$9,986$9,9842.10%10.84%-11.89%3.36%-6.07%1.73%1.65%
200820.33%0.07%0.18%$10,054$9,994$10,003-0.46%5.23%-4.83%1.24%0.84%-0.10%1.03%
200830.24%0.03%0.28%$10,078$9,997$10,0312.14%-6.00%1.87%1.34%-1.08%0.52%0.25%
20084-0.62%-0.38%-0.64%$10,015$9,958$9,967-2.48%-4.16%7.98%-2.41%-0.44%0.04%-0.84%
200850.19%0.44%0.23%$10,034$10,002$9,990-2.69%0.92%5.93%-1.78%3.40%-0.76%-0.35%
20086-0.45%-0.58%-0.51%$9,989$9,945$9,9392.65%4.52%-9.61%1.14%-3.10%-0.12%0.24%
200870.53%0.30%0.68%$10,042$9,975$10,006-0.37%-1.44%0.64%0.72%4.92%0.01%0.43%
200880.67%0.33%1.02%$10,110$10,008$10,1082.74%-9.29%1.45%1.53%4.61%1.04%0.47%
20089-1.97%-2.39%-2.35%$9,910$9,769$9,8701.47%4.11%-15.58%-0.14%-7.73%1.05%0.78%
200810-6.10%-8.02%-7.52%$9,306$8,986$9,128-1.86%-16.14%-15.47%-0.87%-21.45%-1.74%1.10%
2008114.23%5.37%4.50%$9,700$9,468$9,54014.34%12.57%-11.46%7.75%-16.33%4.22%1.10%
2008125.87%7.56%6.86%$10,269$10,185$10,19413.64%7.73%2.28%5.15%1.62%1.72%0.56%
20091-2.92%-3.62%-3.35%$9,969$9,816$9,853-13.07%5.54%-2.29%-3.89%3.40%-0.17%-0.44%
20092-2.27%-2.50%-2.93%$9,742$9,570$9,564-1.54%1.45%-5.26%-0.74%-11.57%0.41%-0.15%
200933.34%3.76%3.80%$10,067$9,930$9,9284.04%-2.54%10.32%3.31%5.23%1.29%0.50%
200940.65%0.84%0.77%$10,133$10,013$10,004-6.95%-3.33%13.06%-2.75%8.06%0.15%-0.17%
200951.08%1.67%1.17%$10,242$10,180$10,121-3.69%10.23%3.21%-2.08%4.87%-0.27%0.06%
200960.63%0.65%1.02%$10,307$10,246$10,2240.76%-5.22%2.95%-0.55%6.01%0.23%-0.09%
200972.74%3.38%3.09%$10,590$10,593$10,5400.58%2.38%8.44%0.83%4.99%1.04%0.11%
200981.41%1.57%1.72%$10,739$10,759$10,7222.24%0.05%1.47%0.77%4.48%0.47%0.41%
200992.85%3.58%3.16%$11,045$11,144$11,0612.46%5.84%5.65%1.12%3.61%0.90%0.24%
200910-1.21%-1.36%-1.60%$10,912$10,992$10,883-2.62%3.72%-3.05%-0.14%-5.33%0.78%0.14%
2009114.34%5.28%4.80%$11,386$11,572$11,4061.21%12.79%6.35%2.02%7.71%1.38%0.60%
200912-1.42%-1.52%-1.40%$11,224$11,396$11,246-6.34%-7.20%5.20%-4.40%3.39%-1.57%-0.84%
201010.17%-0.23%0.26%$11,243$11,370$11,2752.69%-1.26%-6.47%2.37%-0.02%1.40%0.80%
201021.40%1.70%1.56%$11,401$11,563$11,451-0.34%3.27%4.60%0.33%3.95%0.17%0.16%
201031.04%1.34%1.29%$11,520$11,718$11,599-2.06%-0.44%7.71%-1.06%6.15%0.10%-0.27%
201042.30%2.84%2.58%$11,784$12,051$11,8983.32%5.88%2.24%1.65%2.72%0.57%0.30%
201050.11%0.09%-0.07%$11,797$12,062$11,8905.11%3.05%-7.39%2.93%-7.80%1.26%0.45%
201061.06%1.18%1.18%$11,922$12,205$12,0315.80%2.36%-5.98%3.05%-3.44%1.27%0.42%
201070.34%0.20%0.21%$11,962$12,230$12,056-0.95%-5.09%7.26%0.91%-1.89%0.87%0.19%
201081.58%2.13%1.58%$12,150$12,490$12,2478.40%5.71%-5.13%3.36%-8.65%0.03%0.24%
201092.70%3.17%3.03%$12,478$12,886$12,618-2.51%4.78%13.17%-0.00%12.55%-0.37%0.12%
2010100.51%0.53%0.30%$12,542$12,954$12,655-4.47%3.68%6.34%-0.01%0.56%0.83%0.22%
201011-0.37%-0.32%-0.43%$12,495$12,912$12,600-1.69%2.11%-0.17%-0.90%0.00%-0.18%-0.20%
2010120.30%0.65%0.52%$12,533$12,996$12,665-3.68%2.44%4.76%-3.43%8.79%-0.48%-0.16%
20111-0.57%-1.07%-0.62%$12,462$12,857$12,586-3.08%-6.38%2.83%-0.02%2.33%0.10%0.13%
201121.91%2.57%2.30%$12,699$13,188$12,8761.65%6.00%3.16%-0.21%5.72%0.02%-0.12%
201130.16%0.26%0.23%$12,719$13,222$12,9070.03%1.60%-0.45%-0.15%0.83%0.27%-0.13%
201143.08%3.70%3.53%$13,112$13,711$13,3622.34%8.94%2.87%1.84%6.83%1.20%0.53%
201150.93%0.85%1.10%$13,234$13,828$13,5093.42%-1.79%-1.22%2.51%0.15%1.01%0.36%
20116-1.40%-1.80%-1.64%$13,049$13,579$13,287-2.33%-2.43%-2.02%-0.51%-2.53%-0.06%-0.00%
201172.36%2.98%2.38%$13,357$13,984$13,6034.42%8.42%1.67%3.17%-3.31%0.89%0.29%
201183.05%3.93%3.25%$13,764$14,533$14,0459.66%12.27%-5.07%4.65%-5.31%1.37%0.34%
201190.58%0.90%0.92%$13,845$14,665$14,17413.20%-11.06%-4.49%2.24%-7.89%0.01%-0.10%
2011101.23%1.63%1.20%$14,015$14,903$14,344-3.84%5.87%10.40%-1.29%4.96%0.05%0.03%
2011110.25%0.37%0.30%$14,050$14,959$14,3861.98%1.67%-2.69%0.58%-1.38%0.11%0.04%
2011120.09%-0.29%0.34%$14,063$14,915$14,4363.44%-10.66%-0.62%1.99%0.72%0.76%0.05%
201213.40%4.28%3.82%$14,541$15,553$14,986-0.33%11.40%8.42%0.86%8.54%0.28%0.08%
201220.22%0.28%0.26%$14,574$15,596$15,025-2.59%-2.96%6.41%-1.10%2.49%0.10%-0.14%
201230.01%-0.00%0.03%$14,576$15,596$15,030-4.23%-1.32%5.05%-1.59%3.83%0.06%-0.08%
201241.08%1.19%1.23%$14,733$15,781$15,2144.83%-0.15%-1.17%2.51%-1.08%0.51%0.20%
20125-0.30%-0.45%-0.23%$14,689$15,709$15,1799.03%-6.34%-7.04%2.87%-6.60%0.32%0.06%
201260.92%1.10%1.11%$14,823$15,883$15,347-1.68%2.35%3.62%-0.42%5.25%0.15%-0.10%
201270.83%1.16%0.75%$14,946$16,067$15,4623.82%0.84%1.00%1.40%-5.12%0.74%0.22%
201281.53%1.91%1.69%$15,174$16,373$15,723-1.32%4.94%5.19%-0.12%4.72%0.12%0.01%
201290.60%0.67%0.75%$15,266$16,483$15,840-2.53%4.67%0.89%-0.35%5.14%0.23%0.02%
201210-1.79%-2.21%-1.98%$14,993$16,118$15,526-0.48%-2.94%-5.28%-0.40%-3.51%-0.23%-0.07%
2012110.82%0.87%0.96%$15,116$16,258$15,6751.38%-0.47%1.31%0.98%1.97%-0.29%0.05%
201212-0.96%-1.25%-1.06%$14,970$16,055$15,508-2.49%-2.43%-0.46%-0.94%0.27%-0.02%0.02%
201310.42%0.32%0.74%$15,032$16,107$15,622-3.19%-0.51%2.67%-1.29%9.78%-0.18%0.01%
201320.02%-0.20%0.07%$15,036$16,075$15,6341.24%-5.09%0.34%1.13%-0.26%0.30%0.06%
201330.91%1.03%1.06%$15,172$16,241$15,800-0.42%0.95%3.03%0.29%3.39%0.02%0.03%
201340.83%0.93%1.01%$15,298$16,393$15,9594.68%-7.56%2.54%1.52%-1.14%0.60%0.07%
20135-1.62%-2.14%-1.77%$15,050$16,042$15,677-6.76%-6.20%3.58%-3.11%4.59%-1.77%-0.13%
20136-2.62%-3.33%-2.84%$14,655$15,509$15,233-3.27%-11.06%-2.39%-2.55%-0.69%-0.99%-0.10%
201371.80%2.25%1.98%$14,919$15,858$15,535-2.26%7.43%6.31%-0.35%5.54%-0.12%0.16%
20138-0.64%-0.46%-0.91%$14,823$15,785$15,394-1.34%5.20%-0.40%-1.42%-3.16%-0.67%-0.10%
201391.79%1.82%2.20%$15,089$16,072$15,7330.66%-4.78%4.83%1.85%5.61%1.68%0.22%
2013102.04%2.42%2.45%$15,397$16,460$16,1191.43%-0.34%4.96%0.78%5.57%0.61%0.07%
201311-0.14%-0.33%-0.14%$15,375$16,407$16,096-2.70%-5.51%3.55%-0.88%2.36%-0.57%0.09%
201312-0.31%-0.24%-0.30%$15,327$16,367$16,047-1.87%-3.79%2.92%-2.09%1.60%-0.83%-0.18%
201412.25%2.71%2.68%$15,672$16,810$16,4776.30%3.42%-1.92%3.06%1.03%1.87%0.20%
201422.08%2.66%2.34%$15,997$17,257$16,8630.52%6.27%5.15%0.36%4.85%0.35%0.04%
20143-0.69%-0.86%-0.63%$15,886$17,108$16,7570.73%-3.14%-2.73%-0.56%0.60%-0.44%-0.11%
201440.30%0.47%0.24%$15,933$17,190$16,7972.10%0.49%-0.32%0.76%-3.84%0.88%0.11%
201451.82%2.02%2.17%$16,223$17,538$17,1622.95%-3.05%4.49%1.82%3.53%1.27%0.18%
201461.39%1.84%1.57%$16,448$17,861$17,432-0.25%6.32%3.12%-0.22%3.91%0.21%-0.08%
20147-0.23%-0.27%-0.24%$16,411$17,813$17,3910.67%-3.63%1.18%-0.22%-0.68%-0.48%-0.08%
201482.40%2.96%2.69%$16,804$18,340$17,8584.72%0.38%5.01%1.88%1.02%0.95%0.19%
20149-1.69%-2.11%-1.91%$16,520$17,953$17,516-2.11%-6.18%-0.76%-1.05%-2.74%-0.22%-0.07%
2014101.98%2.11%2.51%$16,847$18,331$17,9572.81%-3.05%2.64%1.53%8.02%1.03%0.26%
2014112.20%2.58%2.60%$17,218$18,805$18,4242.97%-0.49%4.55%1.29%5.17%0.62%0.11%
2014120.51%0.82%0.74%$17,306$18,958$18,5613.25%1.31%-2.24%0.13%0.41%0.18%-0.29%
201513.60%4.43%4.06%$17,929$19,798$19,3149.82%8.69%-2.08%4.30%0.40%0.86%0.63%
20152-0.98%-1.31%-1.04%$17,752$19,539$19,114-6.14%-5.91%7.22%-2.47%4.81%-0.13%-0.29%
201530.00%-0.22%0.10%$17,753$19,497$19,1331.10%-2.15%-2.36%0.86%1.14%0.37%0.25%
20154-0.83%-1.02%-1.14%$17,606$19,298$18,914-3.43%-0.17%1.92%-0.63%-2.82%0.12%0.03%
201550.06%-0.01%0.04%$17,616$19,296$18,921-2.37%0.56%2.25%-0.42%2.26%-0.26%0.04%
20156-1.71%-2.20%-1.94%$17,315$18,872$18,555-4.07%-1.52%-2.48%-1.63%0.31%-0.94%0.03%
201571.90%2.14%2.45%$17,644$19,275$19,0094.55%-6.62%4.56%1.52%5.55%0.88%0.04%
20158-1.55%-1.82%-1.90%$17,371$18,924$18,647-0.69%3.71%-6.82%0.08%-6.06%-0.04%-0.05%
20159-0.33%-0.52%-0.57%$17,312$18,826$18,5411.97%-1.80%-2.20%1.58%-6.07%0.61%0.30%
2015102.38%3.12%2.74%$17,725$19,414$19,049-0.41%2.28%11.37%-0.64%7.13%0.05%-0.14%
201511-0.56%-0.86%-0.42%$17,626$19,248$18,968-0.87%-6.75%0.61%-0.43%2.83%-0.22%-0.26%
201512-0.40%-0.48%-0.36%$17,555$19,156$18,900-0.30%-0.45%-1.59%-0.45%0.78%-0.15%-0.15%
201610.91%1.03%0.86%$17,715$19,354$19,0625.57%5.41%-6.91%3.33%-6.11%1.40%0.65%
201622.03%2.70%2.25%$18,076$19,877$19,4913.09%10.93%-1.57%1.49%1.11%0.38%0.11%
201631.32%1.56%1.56%$18,315$20,186$19,794-0.09%-0.84%6.85%-0.06%5.37%0.22%0.14%
201640.43%0.49%0.62%$18,393$20,286$19,918-0.74%5.11%-3.19%-0.16%4.96%0.11%0.04%
201650.22%0.18%0.38%$18,434$20,322$19,9940.81%-6.14%4.37%-0.10%2.00%0.12%-0.12%
201663.22%3.92%3.68%$19,028$21,119$20,7306.93%8.97%-2.27%3.09%3.49%0.74%0.60%
201672.34%2.94%2.75%$19,472$21,740$21,3012.10%1.98%7.15%0.25%6.16%0.31%-0.05%
20168-0.71%-0.81%-0.74%$19,333$21,564$21,142-1.01%-3.26%1.05%-1.01%-0.38%-0.02%-0.23%
201690.33%0.28%0.32%$19,396$21,624$21,210-1.51%0.69%2.21%0.24%1.53%0.31%0.13%
201610-2.56%-3.05%-3.14%$18,900$20,964$20,544-4.38%-2.94%-1.46%-1.49%-7.23%-0.27%-0.05%
201611-3.89%-4.71%-4.42%$18,164$19,976$19,635-8.21%-8.36%0.44%-4.23%-2.51%-1.88%-0.47%
2016120.02%-0.08%0.06%$18,167$19,960$19,647-0.46%-1.91%1.13%-0.12%1.55%-0.12%0.07%
201712.22%2.80%2.59%$18,571$20,519$20,1560.81%5.42%5.14%0.22%6.77%0.09%0.11%
201722.05%2.52%2.40%$18,951$21,037$20,6401.59%3.18%4.38%0.72%5.13%0.47%0.04%
201730.32%0.32%0.35%$19,012$21,105$20,713-0.65%-0.43%2.03%0.08%1.39%0.01%0.06%
201741.68%1.94%1.97%$19,331$21,515$21,1211.57%1.73%2.73%1.11%4.17%0.63%0.19%
201751.42%1.72%1.62%$19,606$21,885$21,4631.89%-0.12%3.90%0.83%1.94%0.52%0.07%
20176-0.18%-0.29%0.06%$19,570$21,822$21,4750.79%-2.16%-2.32%-0.51%3.65%-0.31%-0.08%
201770.76%0.98%0.64%$19,719$22,035$21,612-0.66%2.31%4.06%0.38%-1.29%0.51%0.19%
201781.91%2.40%2.11%$20,095$22,563$22,0673.41%4.20%2.07%1.46%0.91%0.72%0.20%
20179-1.10%-1.34%-1.14%$19,875$22,260$21,816-2.32%-3.37%-0.29%-1.44%0.77%-0.32%-0.19%
2017101.03%1.25%1.21%$20,079$22,539$22,080-0.04%-0.75%4.61%-0.19%3.29%0.01%-0.09%
2017110.78%1.02%1.00%$20,237$22,768$22,3010.74%0.36%1.97%-0.28%3.01%-0.15%-0.22%
2017120.45%0.75%0.41%$20,328$22,938$22,3941.81%2.11%0.60%0.18%-2.22%0.27%-0.02%
201811.42%1.89%1.75%$20,617$23,372$22,786-3.26%3.23%8.76%-2.15%10.21%-1.15%-0.29%
20182-1.68%-2.07%-2.05%$20,270$22,889$22,318-3.04%-2.08%-1.29%-0.93%-3.92%-0.66%-0.10%
201830.33%0.28%0.48%$20,335$22,953$22,4262.86%0.63%-4.08%1.16%0.71%0.45%0.25%
20184-0.57%-0.66%-0.56%$20,220$22,802$22,299-2.09%-0.95%0.51%-1.28%1.82%-0.55%-0.23%
201852.02%2.33%2.37%$20,628$23,333$22,8282.01%-1.20%5.67%0.99%5.08%0.73%0.35%
201860.17%0.09%0.28%$20,663$23,356$22,8910.65%-3.61%1.15%0.20%1.42%0.11%0.04%
201870.28%0.24%0.42%$20,720$23,411$22,988-1.44%-2.24%2.80%-0.53%3.80%-0.17%-0.06%
201881.98%2.20%2.33%$21,129$23,927$23,5231.31%-2.14%5.78%1.01%5.56%0.62%0.35%
20189-0.52%-0.72%-0.44%$21,019$23,753$23,419-2.86%-0.66%-0.28%-1.20%3.52%-0.62%-0.14%
201810-3.18%-3.86%-3.93%$20,352$22,836$22,497-2.93%2.12%-8.60%-0.30%-9.78%-0.60%0.15%
2018111.37%1.41%1.76%$20,632$23,157$22,8941.79%0.34%-0.26%1.33%5.53%0.93%0.38%
2018120.02%0.02%-0.21%$20,636$23,161$22,8475.85%4.94%-8.65%2.80%-7.60%1.76%0.76%
201912.75%3.32%3.16%$21,202$23,929$23,5690.38%2.89%9.01%0.65%7.81%0.80%0.25%
201920.57%0.60%0.75%$21,324$24,073$23,746-1.38%-0.61%2.99%-0.52%5.00%-0.07%0.09%
201932.55%2.93%2.91%$21,869$24,778$24,4385.57%-1.60%3.92%2.66%2.36%1.45%0.63%
201940.05%0.14%-0.23%$21,880$24,814$24,380-1.99%-0.66%5.50%-0.52%-2.91%-0.09%0.18%
201950.67%0.59%0.85%$22,026$24,959$24,5876.84%1.76%-8.23%3.05%-1.85%1.21%0.72%
201963.50%4.19%3.97%$22,797$26,006$25,5620.95%8.00%7.59%1.22%9.22%0.80%0.46%
201970.72%0.89%0.88%$22,962$26,236$25,7870.26%0.01%2.33%0.04%2.33%0.37%-0.06%
201983.75%4.61%4.24%$23,823$27,445$26,88111.04%7.91%-1.90%3.95%1.19%0.96%0.78%
20199-1.09%-1.34%-1.23%$23,562$27,079$26,550-2.68%-3.39%0.92%-1.19%-0.73%0.06%-0.13%
2019100.92%1.10%0.86%$23,780$27,377$26,779-1.11%2.56%4.38%0.19%0.76%0.33%0.31%
2019110.60%0.68%0.81%$23,923$27,562$26,995-0.41%-3.21%4.07%-0.69%4.32%0.01%-0.05%
2019120.46%0.60%0.38%$24,033$27,727$27,098-3.20%3.66%3.89%-0.93%1.88%0.21%0.16%
202013.31%4.06%3.65%$24,828$28,852$28,0877.69%4.50%3.04%3.47%0.11%0.74%0.58%
202020.37%0.34%0.20%$24,919$28,949$28,1446.63%-0.64%-6.06%2.96%-8.73%0.83%0.88%
202030.83%0.67%0.76%$25,127$29,144$28,3586.38%-0.22%-7.29%3.72%-6.68%1.07%1.24%
202044.27%5.36%4.92%$26,200$30,705$29,7521.22%7.26%14.97%0.27%14.24%0.81%0.27%
202051.26%1.47%1.36%$26,529$31,155$30,157-1.76%2.59%6.60%0.33%4.30%0.18%-0.08%
202061.17%1.62%1.11%$26,840$31,659$30,4920.34%2.74%6.28%0.04%-1.32%-0.16%0.02%
202074.42%5.65%5.11%$28,027$33,446$32,0484.44%10.79%7.35%0.85%10.68%0.29%0.09%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%0.00%
Large-cap Growth22.65%27.48%25.93%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth2.93%2.47%4.99%
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 Markets2.85%4.93%2.39%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries14.61%23.67%19.49%
Intermediate-Term Treasuries44.10%41.44%45.46%
Short-Term Treasuries12.86%0.00%1.74%
R Squared87.46%85.52%87.09%
Style analysis is based on monthly returns from Jan 2008 to Jul 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
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
TLTiShares 20+ Year Treasury Bond ETFLong Government20.00%0.15%18.93$3,93728.29%
GLDSPDR Gold SharesCommodities Focused10.00%0.40%$1,61318.21%
QQQInvesco QQQ TrustLarge Growth15.00%0.20%30.33$5,71021.19%
IEFiShares 7-10 Year Treasury Bond ETFLong Government20.00%0.15%7.59$2,16013.30%
IHIiShares US Medical Devices ETFHealth10.00%0.42%40.54$3,43515.30%
MBBiShares MBS ETFIntermediate Government10.00%0.06%1.41$6812.76%
SHYiShares 1-3 Year Treasury Bond ETFShort Government15.00%0.15%1.85$4900.97%
100.00%0.20%34.418.80$18,027100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
TLTiShares 20+ Year Treasury Bond ETFLong Government30.00%0.15%18.93$6,45433.55%
GLDSPDR Gold SharesCommodities Focused15.00%0.40%$2,64222.95%
QQQInvesco QQQ TrustLarge Growth20.00%0.20%30.33$8,32123.10%
IEFiShares 7-10 Year Treasury Bond ETFLong Government10.00%0.15%7.59$1,1725.11%
IHIiShares US Medical Devices ETFHealth10.00%0.42%40.54$3,76112.08%
MBBiShares MBS ETFIntermediate Government15.00%0.06%1.41$1,0973.21%
100.00%0.21%33.7312.09$23,446100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
TLTiShares 20+ Year Treasury Bond ETFLong Government25.00%0.15%18.93$5,28230.14%
GLDSPDR Gold SharesCommodities Focused10.00%0.40%$1,74214.83%
QQQInvesco QQQ TrustLarge Growth15.00%0.20%30.33$6,11719.01%
IEFiShares 7-10 Year Treasury Bond ETFLong Government20.00%0.15%7.59$2,30311.06%
IHIiShares US Medical Devices ETFHealth15.00%0.42%40.54$5,52421.48%
MBBiShares MBS ETFIntermediate Government15.00%0.06%1.41$1,0803.47%
100.00%0.21%35.4310.77$22,048100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/07/2020. (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)0.70%0.83%0.79%
Arithmetic Mean (annualized)8.72%10.36%9.95%
Geometric Mean (monthly)0.68%0.80%0.77%
Geometric Mean (annualized)8.53%10.07%9.70%
Volatility (monthly)1.71%2.12%1.97%
Volatility (annualized)5.91%7.35%6.82%
Downside Deviation (monthly)0.91%1.14%1.08%
Max. Drawdown-7.95%-10.21%-9.69%
US Market Correlation0.430.440.45
Beta(*)0.160.200.19
Alpha (annualized)6.86%7.98%7.67%
R218.54%19.06%20.60%
Sharpe Ratio1.311.261.30
Sortino Ratio2.422.322.35
Treynor Ratio (%)49.9047.2446.97
Calmar Ratio3.383.273.22
Active Return-0.24%1.30%0.93%
Tracking Error14.77%14.69%14.56%
Information Ratio-0.020.090.06
Skewness-0.26-0.23-0.38
Excess Kurtosis1.611.982.03
Historical Value-at-Risk (5%)-2.09%-2.43%-2.55%
Analytical Value-at-Risk (5%)-2.10%-2.65%-2.43%
Conditional Value-at-Risk (5%)-3.36%-4.16%-4.02%
Upside Capture Ratio (%)28.8734.8734.02
Downside Capture Ratio (%)0.321.702.39
Safe Withdrawal Rate11.73%12.52%12.28%
Perpetual Withdrawal Rate6.65%8.02%7.69%
Positive Periods112 out of 151 (74.17%)104 out of 151 (68.87%)109 out of 151 (72.19%)
Gain/Loss Ratio1.051.311.15
* 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
1Sep 2008Oct 20082 monthsDec 20082 months4 months-7.95%
2Aug 2016Nov 20164 monthsMay 20176 months10 months-6.72%
3Jan 2009Feb 20092 monthsJun 20094 months6 months-5.13%
4May 2013Jun 20132 monthsOct 20134 months6 months-4.21%
5Sep 2018Oct 20182 monthsJan 20193 months5 months-3.68%
6Feb 2015Sep 20158 monthsFeb 20165 months1 year 1 month-3.44%
7Oct 2012Dec 20123 monthsApr 20134 months7 months-1.94%
8Feb 2018Apr 20183 monthsMay 20181 month4 months-1.92%
9Sep 2014Sep 20141 monthOct 20141 month2 months-1.69%
10Dec 2009Dec 20091 monthFeb 20102 months3 months-1.42%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2008Oct 20082 monthsDec 20082 months4 months-10.21%
2Aug 2016Dec 20165 monthsMay 20175 months10 months-8.19%
3Jan 2009Feb 20092 monthsJun 20094 months6 months-6.03%
4Oct 2012Jun 20139 monthsJan 20147 months1 year 4 months-5.91%
5Feb 2015Sep 20158 monthsFeb 20165 months1 year 1 month-4.91%
6Sep 2018Oct 20182 monthsJan 20193 months5 months-4.56%
7Feb 2018Apr 20183 monthsJul 20183 months6 months-2.44%
8Sep 2014Sep 20141 monthNov 20142 months3 months-2.11%
9Jun 2011Jun 20111 monthJul 20111 month2 months-1.80%
10Dec 2009Jan 20102 monthsMar 20102 months4 months-1.75%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2008Oct 20082 monthsDec 20082 months4 months-9.69%
2Aug 2016Nov 20164 monthsMay 20176 months10 months-7.82%
3Jan 2009Feb 20092 monthsJun 20094 months6 months-6.18%
4May 2013Jun 20132 monthsOct 20134 months6 months-4.55%
5Sep 2018Oct 20182 monthsJan 20193 months5 months-4.36%
6Feb 2015Sep 20158 monthsFeb 20165 months1 year 1 month-4.00%
7Feb 2018Apr 20183 monthsMay 20181 month4 months-2.13%
8Oct 2012Dec 20123 monthsApr 20134 months7 months-2.09%
9Sep 2014Sep 20141 monthOct 20141 month2 months-1.91%
10Jun 2011Jun 20111 monthJul 20111 month2 months-1.64%
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 ETF8.16%14.13%33.96%-21.80%-21.80%0.581.06-0.33
GLDSPDR Gold Shares6.65%17.88%29.76%-28.33%-42.91%0.420.650.06
QQQInvesco QQQ Trust15.05%18.32%54.68%-41.73%-46.06%0.831.290.92
IEFiShares 7-10 Year Treasury Bond ETF5.25%6.41%17.91%-6.59%-7.60%0.741.34-0.33
IHIiShares US Medical Devices ETF13.81%18.06%38.50%-36.78%-43.66%0.781.150.83
MBBiShares MBS ETF3.62%2.63%7.75%-1.95%-3.50%1.142.21-0.12
SHYiShares 1-3 Year Treasury Bond ETF1.66%1.21%6.62%0.21%-1.18%0.901.84-0.41

Monthly Correlations

Correlations for the portfolio assets
TickerNameTLTGLDQQQIEFIHIMBBSHYPortfolio 1Portfolio 2Portfolio 3
TLTiShares 20+ Year Treasury Bond ETF1.000.25-0.330.91-0.280.680.570.580.570.57
GLDSPDR Gold Shares0.251.000.020.360.150.400.320.590.620.56
QQQInvesco QQQ Trust-0.330.021.00-0.320.79-0.14-0.440.450.460.46
IEFiShares 7-10 Year Treasury Bond ETF0.910.36-0.321.00-0.280.820.740.600.580.58
IHIiShares US Medical Devices ETF-0.280.150.79-0.281.00-0.12-0.320.490.480.53
MBBiShares MBS ETF0.680.40-0.140.82-0.121.000.620.610.590.59
SHYiShares 1-3 Year Treasury Bond ETF0.570.32-0.440.74-0.320.621.000.310.270.27

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
TLTiShares 20+ Year Treasury Bond ETF$3,937$6,454$5,282
GLDSPDR Gold Shares$1,613$2,642$1,742
QQQInvesco QQQ Trust$5,710$8,321$6,117
IEFiShares 7-10 Year Treasury Bond ETF$2,160$1,172$2,303
IHIiShares US Medical Devices ETF$3,435$3,761$5,524
MBBiShares MBS ETF$681$1,097$1,080
SHYiShares 1-3 Year Treasury Bond ETF$490

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
TLTiShares 20+ Year Treasury Bond ETF28.29%33.55%30.14%
GLDSPDR Gold Shares18.21%22.95%14.83%
QQQInvesco QQQ Trust21.19%23.10%19.01%
IEFiShares 7-10 Year Treasury Bond ETF13.30%5.11%11.06%
IHIiShares US Medical Devices ETF15.30%12.08%21.48%
MBBiShares MBS ETF2.76%3.21%3.47%
SHYiShares 1-3 Year Treasury Bond ETF0.97%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.70%16.46%1.44%9.07%19.71%0.97%8.82%18.61%1.83%
3 years7.52%11.05%5.45%8.87%13.56%6.06%8.68%12.30%6.46%
5 years7.16%9.05%5.26%8.39%10.72%6.00%8.34%10.54%6.36%
7 years7.17%8.15%5.63%8.40%9.57%6.49%8.39%9.24%6.78%
10 years7.50%7.91%7.23%8.84%9.30%8.56%8.66%9.19%8.40%
Result statistics are based on annualized rolling returns over full calendar year periods