All Weather Portfolio Backtest
Over this window, All Seasons (VTI/TLT/IEF/GLD/DBC) returned 6.6% annualized with a maximum drawdown of 24.0%.
Assumptions
- All Seasons (VTI/TLT/IEF/GLD/DBC): 7.5% DBC, 7.5% GLD, 15% IEF, 40% TLT, 30% VTI, rebalanced annually.
- Total-return prices (dividends reinvested), annual rebalancing, no taxes, fees, or cash flows.
Results
| Portfolio | CAGR | Max drawdown | Volatility | Sharpe | Sortino | Calmar |
|---|---|---|---|---|---|---|
| All Seasons (VTI/TLT/IEF/GLD/DBC) | 6.6% | -24.0% | 8.1% | 0.62 | 0.88 | 0.27 |
Growth of $10,000
Run it yourself
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Historical simulation computed by the ArthaPilot backtest engine with total-return (dividends reinvested) prices and annual rebalancing, before taxes and fees. Past performance does not predict future results. This page is educational and is not investment, tax, or legal advice.