Backtest Portfolio Asset Allocation
Portfolio Backtesting Overview
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, and you can use the dynamic allocation backtest tool to analyze portfolios where assets or their weights have been adjusted over time.
Portfolio Analysis Results (Jan 2017 - Dec 2019)
Note: The time period of the results is limited to 10 years for free tier accounts.
Portfolio 1
| Ticker | Name | Allocation |
|---|---|---|
| VYM | Vanguard High Dividend Yield ETF | 100.00% |
Highlights
Return
Annualized Return
Portfolio Return
6.8%
Risk
Volatility and Drawdown
Standard Deviation
Drawdown
11.1%
13.2%
Portfolio Growth
$1,000,000 invested in January 1, 2017 would be worth $1,217,104 as of December 31, 2019, which represents a cumulative return of 35.90%.
Return
Over the period, the portfolio generated a return of 6.77% per year, with 25 out of 36 or 69.44% of months positive. The best year for the portfolio was 2019 with 24.07% return ( Insights Available) and the worst year over the period was 2018 with -5.91% return ( Insights Available).
Risk
The maximum drawdown of the portfolio was 13.19% from February 1, 2018 to December 31, 2018 ( Insights Available) with a recovery time of 9 months. The risk adjusted return of the portfolio, measured by the Sharpe Ratio, was 0.83.
Insights
Gain valuable insights into key market drivers that likely impacted performance during the period.
To view insights, click the insight links in the summary
Portfolio 2
| Ticker | Name | Allocation |
|---|---|---|
| VTI | Vanguard MStar Total Stk Mkt ETF | 100.00% |
Highlights
Return
Annualized Return
Portfolio Return
10.6%
Risk
Volatility and Drawdown
Standard Deviation
Drawdown
12.3%
17.4%
Portfolio Growth
$1,000,000 invested in January 1, 2017 would be worth $1,353,781 as of December 31, 2019, which represents a cumulative return of 50.13%.
Return
Over the period, the portfolio generated a return of 10.62% per year, with 30 out of 36 or 83.33% of months positive. The best year for the portfolio was 2019 with 30.67% return ( Insights Available) and the worst year over the period was 2018 with -5.21% return ( Insights Available).
Risk
The maximum drawdown of the portfolio was 17.42% from October 1, 2018 to December 31, 2018 ( Insights Available) with a recovery time of 10 months. The risk adjusted return of the portfolio, measured by the Sharpe Ratio, was 1.03.
Insights
Gain valuable insights into key market drivers that likely impacted performance during the period.
To view insights, click the insight links in the summary
Performance Summary
| Metric | Portfolio 1 | Portfolio 2 |
|---|---|---|
| Start Balance | $1,000,000 | $1,000,000 |
| End Balance | $1,217,104 | $1,353,781 |
| Annualized Return (CAGR) | 6.77% | 10.62% |
| Time-Weighted Rate of Return (TWRR) | 10.77% | 14.51% |
| Money-Weighted Rate of Return (MWRR) | 10.68% | 14.41% |
| Standard Deviation | 11.14% | 12.33% |
| Best Year | 24.07% | 30.67% |
| Worst Year | -5.91% | -5.21% |
| Maximum Drawdown | -13.19% | -17.42% |
| Max. Drawdown (excluding cashflows) | -9.63% | -14.20% |
| Sharpe Ratio | 0.83 | 1.03 |
| Sortino Ratio | 1.21 | 1.51 |
Portfolio Growth
Annual Returns
Trailing Returns
| Name | Total Return | Annualized Return | Annualized Standard Deviation | |||
|---|---|---|---|---|---|---|
| 3 Month | Year To Date | 1 year | 3 year | Full | 3 year | |
| Portfolio 1 | 6.49% | 24.07% | 24.07% | 10.77% | 10.77% | 11.14% |
| Portfolio 2 | 8.94% | 30.67% | 30.67% | 14.51% | 14.51% | 12.33% |
| Trailing return and volatility are as of last calendar month ending December 2019 | ||||||
Holdings Based Style Analysis for Portfolio 1
| Ticker | Name | Category | Weight | Yield | Expense Ratio | P/E | Contribution | |||
|---|---|---|---|---|---|---|---|---|---|---|
| SEC | TTM | Net | Gross | Return | Risk | |||||
| VYM | Vanguard High Dividend Yield ETF | Large Value | 100.00% | 2.20% | 2.37% | 0.04% | 0.04% | 20.58 | $342,146 | 100.00% |
Asset Allocation
Equity Market Capitalization
Equity Sectors
Fund fundamentals data as of 10/09/2026. (c) 2026 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.
Holdings Based Style Analysis for Portfolio 2
| Ticker | Name | Category | Weight | Yield | Expense Ratio | P/E | Contribution | |||
|---|---|---|---|---|---|---|---|---|---|---|
| SEC | TTM | Net | Gross | Return | Risk | |||||
| VTI | Vanguard MStar Total Stk Mkt ETF | Large Blend | 100.00% | 1.01% | 1.06% | 0.03% | 0.03% | 24.28 | $478,823 | 100.00% |
Asset Allocation
Equity Market Capitalization
Equity Sectors
Fund fundamentals data as of 10/09/2026. (c) 2026 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.
Risk and Return Metrics
| Metric | Portfolio 1 | Portfolio 2 |
|---|---|---|
| Arithmetic Mean (monthly) | 0.91% | 1.20% |
| Arithmetic Mean (annualized) | 11.44% | 15.36% |
| Geometric Mean (monthly) | 0.86% | 1.14% |
| Geometric Mean (annualized) | 10.77% | 14.51% |
| Standard Deviation (monthly) | 3.22% | 3.56% |
| Standard Deviation (annualized) | 11.14% | 12.33% |
| Downside Deviation (monthly) | 2.14% | 2.37% |
| Maximum Drawdown | -9.63% | -14.20% |
| Benchmark Correlation | 0.95 | 1.00 |
| Beta(*) | 0.86 | 1.00 |
| Alpha (annualized) | -1.38% | 0.11% |
| R2 | 90.56% | 99.98% |
| Sharpe Ratio | 0.83 | 1.03 |
| Sortino Ratio | 1.21 | 1.51 |
| Treynor Ratio (%) | 10.81 | 12.79 |
| Calmar Ratio | 1.12 | 1.02 |
| Modigliani–Modigliani Measure | 11.91% | 14.41% |
| Active Return | -3.66% | 0.07% |
| Tracking Error | 3.85% | 0.19% |
| Information Ratio | -0.95 | 0.39 |
| Skewness | -1.01 | -1.09 |
| Excess Kurtosis | 1.59 | 2.19 |
| Historical Value-at-Risk (5%) | 5.12% | 6.69% |
| Analytical Value-at-Risk (5%) | 4.38% | 4.66% |
| Conditional Value-at-Risk (5%) | 7.48% | 8.29% |
| Upside Capture Ratio (%) | 80.58 | 100.20 |
| Downside Capture Ratio (%) | 92.59 | 99.82 |
| Safe Withdrawal Rate | 38.31% | 40.70% |
| Perpetual Withdrawal Rate | 7.82% | 10.83% |
| Positive Periods | 25 out of 36 (69.44%) | 30 out of 36 (83.33%) |
| Gain/Loss Ratio | 0.93 | 0.48 |
| * U.S. Stock Market is used as the benchmark for calculations. Value-at-risk metrics are monthly values. | ||
Annual Returns
| Year | Inflation | Cashflow | Portfolio 1 | Portfolio 2 | Vanguard High Dividend Yield ETF (VYM) | Vanguard MStar Total Stk Mkt ETF (VTI) | ||
|---|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | |||||
| 2019 | 2.29% | -$42,575 | 24.07% | $1,217,104 | 30.67% | $1,353,781 | 24.07% | 30.67% |
| 2018 | 1.91% | -$41,624 | -5.91% | $1,015,267 | -5.21% | $1,068,616 | -5.91% | -5.21% |
| 2017 | 2.11% | -$40,844 | 16.42% | $1,123,310 | 21.21% | $1,171,279 | 16.42% | 21.21% |
Monthly Returns
| Year | Month | Portfolio 1 | Portfolio 2 | Vanguard High Dividend Yield ETF (VYM) | Vanguard MStar Total Stk Mkt ETF (VTI) | ||
|---|---|---|---|---|---|---|---|
| Return | Balance | Return | Balance | ||||
| 2019 | 12 | 2.97% | $1,217,104 | 2.80% | $1,353,781 | 2.97% | 2.80% |
| 2019 | 11 | 2.34% | $1,223,290 | 3.79% | $1,358,274 | 2.34% | 3.79% |
| 2019 | 10 | 1.05% | $1,195,294 | 2.11% | $1,308,703 | 1.05% | 2.11% |
| 2019 | 9 | 3.90% | $1,182,896 | 1.78% | $1,281,711 | 3.90% | 1.78% |
| 2019 | 8 | -2.10% | $1,138,484 | -2.08% | $1,259,292 | -2.10% | -2.08% |
| 2019 | 7 | 0.72% | $1,162,929 | 1.41% | $1,286,077 | 0.72% | 1.41% |
| 2019 | 6 | 6.65% | $1,154,604 | 7.08% | $1,268,164 | 6.65% | 7.08% |
| 2019 | 5 | -6.31% | $1,082,654 | -6.45% | $1,184,337 | -6.31% | -6.45% |
| 2019 | 4 | 2.84% | $1,155,592 | 3.93% | $1,265,992 | 2.84% | 3.93% |
| 2019 | 3 | 0.52% | $1,123,714 | 1.42% | $1,218,178 | 0.52% | 1.42% |
| 2019 | 2 | 3.77% | $1,117,848 | 3.56% | $1,201,157 | 3.77% | 3.56% |
| 2019 | 1 | 6.10% | $1,077,232 | 8.54% | $1,159,879 | 6.10% | 8.54% |
| 2018 | 12 | -8.64% | $1,015,267 | -9.16% | $1,068,616 | -8.64% | -9.16% |
| 2018 | 11 | 3.56% | $1,156,826 | 2.01% | $1,222,227 | 3.56% | 2.01% |
| 2018 | 10 | -4.40% | $1,117,111 | -7.41% | $1,198,103 | -4.40% | -7.41% |
| 2018 | 9 | 0.40% | $1,168,499 | 0.20% | $1,293,996 | 0.40% | 0.20% |
| 2018 | 8 | 1.11% | $1,163,810 | 3.43% | $1,291,464 | 1.11% | 3.43% |
| 2018 | 7 | 4.09% | $1,151,029 | 3.32% | $1,248,608 | 4.09% | 3.32% |
| 2018 | 6 | -0.29% | $1,105,760 | 0.70% | $1,208,505 | -0.29% | 0.70% |
| 2018 | 5 | 1.60% | $1,109,009 | 2.72% | $1,200,065 | 1.60% | 2.72% |
| 2018 | 4 | 0.13% | $1,091,565 | 0.45% | $1,168,273 | 0.13% | 0.45% |
| 2018 | 3 | -2.17% | $1,090,112 | -1.95% | $1,163,045 | -2.17% | -1.95% |
| 2018 | 2 | -4.72% | $1,114,258 | -3.76% | $1,186,214 | -4.72% | -3.76% |
| 2018 | 1 | 4.11% | $1,169,486 | 5.23% | $1,232,553 | 4.11% | 5.23% |
| 2017 | 12 | 1.49% | $1,123,310 | 1.16% | $1,171,279 | 1.49% | 1.16% |
| 2017 | 11 | 3.07% | $1,147,112 | 3.03% | $1,198,224 | 3.07% | 3.03% |
| 2017 | 10 | 1.74% | $1,112,972 | 2.17% | $1,162,983 | 1.74% | 2.17% |
| 2017 | 9 | 3.02% | $1,093,946 | 2.44% | $1,138,287 | 3.02% | 2.44% |
| 2017 | 8 | -0.18% | $1,061,882 | 0.15% | $1,111,177 | -0.18% | 0.15% |
| 2017 | 7 | 1.61% | $1,063,757 | 1.88% | $1,109,515 | 1.61% | 1.88% |
| 2017 | 6 | 1.13% | $1,046,881 | 0.95% | $1,089,038 | 1.13% | 0.95% |
| 2017 | 5 | 0.36% | $1,035,144 | 1.01% | $1,078,812 | 0.36% | 1.01% |
| 2017 | 4 | -0.08% | $1,031,422 | 1.06% | $1,068,011 | -0.08% | 1.06% |
| 2017 | 3 | -0.30% | $1,032,220 | 0.06% | $1,056,774 | -0.30% | 0.06% |
| 2017 | 2 | 3.58% | $1,035,370 | 3.69% | $1,056,191 | 3.58% | 3.69% |
| 2017 | 1 | -0.04% | $999,604 | 1.86% | $1,018,557 | -0.04% | 1.86% |
| * End-of-month balance includes the annual contribution/withdrawal | |||||||
Drawdowns
Historical Market Stress Periods
Drawdowns for Portfolio 1
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Feb 2018 | Dec 2018 | 11 months | Mar 2019 | 3 months | 1 year 2 months | -9.63% |
| 2 | May 2019 | May 2019 | 1 month | Jul 2019 | 2 months | 3 months | -6.31% |
| 3 | Aug 2019 | Aug 2019 | 1 month | Sep 2019 | 1 month | 2 months | -2.10% |
| 4 | Mar 2017 | Apr 2017 | 2 months | Jun 2017 | 2 months | 4 months | -0.38% |
| 5 | Aug 2017 | Aug 2017 | 1 month | Sep 2017 | 1 month | 2 months | -0.18% |
| 6 | Jan 2017 | Jan 2017 | 1 month | Feb 2017 | 1 month | 2 months | -0.04% |
Drawdowns for Portfolio 2
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -14.20% |
| 2 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.45% |
| 3 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -5.64% |
| 4 | Aug 2019 | Aug 2019 | 1 month | Oct 2019 | 2 months | 3 months | -2.08% |
Portfolio Assets
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio |
|---|---|---|---|---|---|---|---|---|
| VYM | Vanguard High Dividend Yield ETF | 10.77% | 11.14% | 24.07% | -5.91% | -9.63% | 0.83 | 1.21 |
| VTI | Vanguard MStar Total Stk Mkt ETF | 14.51% | 12.33% | 30.67% | -5.21% | -14.20% | 1.03 | 1.51 |
Portfolio Asset Performance
| Name | Total Return | Annualized Return | Expense Ratio | |||
|---|---|---|---|---|---|---|
| 3 Month | Year To Date | 1 year | 3 year | Net | Gross | |
| Vanguard High Dividend Yield ETF | 6.49% | 24.07% | 24.07% | 10.77% | 0.04% | 0.04% |
| Vanguard MStar Total Stk Mkt ETF | 8.94% | 30.67% | 30.67% | 14.51% | 0.03% | 0.03% |
| Trailing returns as of last calendar month ending December 2019 | ||||||
Monthly Correlations
| Ticker | Name | VYM | VTI | Portfolio 1 | Portfolio 2 |
|---|---|---|---|---|---|
| VYM | Vanguard High Dividend Yield ETF | 1.00 | 0.95 | 1.00 | 0.95 |
| VTI | Vanguard MStar Total Stk Mkt ETF | 0.95 | 1.00 | 0.95 | 1.00 |
Portfolio Return Decomposition
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| VYM | Vanguard High Dividend Yield ETF | $342,146 | |
| VTI | Vanguard MStar Total Stk Mkt ETF | $478,823 | |
| Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. | |||
Portfolio Risk Decomposition
| Ticker | Name | Portfolio 1 | Portfolio 2 |
|---|---|---|---|
| VYM | Vanguard High Dividend Yield ETF | 100.00% | |
| VTI | Vanguard MStar Total Stk Mkt ETF | 100.00% | |
| Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. | |||
Annual Asset Returns
- IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
- 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. All use is subject to terms of service.
- Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
- Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
- Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
- 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. Other investments not considered may have characteristics similar or superior to those being analyzed.
- Refer to the related documentation sections for more details on terms and definitions, methodology, and data sources.
- Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
- The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
- Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
- Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
- A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
- Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
- The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
- The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
- Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
- Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
- Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
- Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
- Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
- Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
- Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
- Risk-free returns are calculated based on U.S. 3-Month Treasury Bill Rate.
- Inflation is calculated based on U.S. Consumer Price Index.
- Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
- Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
- Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
- A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
- Value at Risk (VaR) measures the scale of loss at a given confidence level. For example, if the 95% confidence one-month VaR is 3%, there is 95% confidence that over the next month the portfolio will not lose more than 3%. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
- Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
- Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
- Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
- Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
- Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
- Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
- Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
- All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
- Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
- Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
- Invesco QQQ is a paid sponsor of the SRL Analytics Tool, Portfolio Visualizer. The model portfolios are for illustrative purposes only and do not constitute a recommendation or suitability for any investor. Inveso is not affiliated with SRL Global.
- Drawdown analysis is calculated based on monthly returns excluding cashflows.
- The results assume annual rebalancing of portfolio assets to match the specified allocation.
- Inflation adjusted annual withdrawal of $40,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.