USD returns · Granular bonds · Real assets · Equity regions · Currency · Worst performance · 95% VaR · Historical scenarios · Forward scenarios
Core allocation
Equities
20%
20%
Fixed income
25%
Real assets & alternatives
10%
Other
15%
10%
Core total:100%
Settings
$100k
$0
Non-US equity breakdown (% of sleeve)
30%
20%
15%
15%
10%
10%
Sub-total:100%
Bond breakdown (% of sleeve)
USD bonds
25%
15%
15%
10%
Non-USD bonds
15%
10%
10%
Sub-total:100%
Real assets breakdown (% of sleeve)
Real estate
100%
Alternatives
0%
Sub-total:100%
Currency exposure (% of portfolio in each CCY)
50%
20%
10%
10%
10%
FX total:100%
FILTER
10 yrs
Final value (USD)
—
Total return
—
CAGR
—
Best year
—
Max drawdown
—
Your portfolio (USD)60/40 benchmarkS&P 500FX impact included
Portfolio (base)60/40 benchmarkBear / downside
Year-by-year returns (USD, after FX)
Year
US eq
Europe
China
EM Asia
Japan
LatAm
O/G&M
Tsy
TIPS
IG$
HY$
NonGov
NonIG
EMLC
REIT
Alts
Comm
AI
Portfolio
FX±
Scenario assumptions (ann. returns, USD)
Worst historical performance — actual portfolio (2000–2025)
Worst period
—
—
2nd worst
—
—
3rd worst
—
—
Top 8 worst months — portfolio return & largest contributors
Monthly: actual P&L from real index data. Weekly/daily estimated via empirical intra-month concentration ratios. Proxies: S&P 500 · MSCI EAFE · Bloomberg US Tsy · ICE BofA HY · FTSE NAREIT · S&P GSCI · Nasdaq-100. Core weights mapped directly.
95% Value at Risk — historical simulation
Lookback:2 yrs
95% VaR — daily
—
on $100k: —
95% VaR — weekly
—
on $100k: —
95% VaR — monthly
—
on $100k: —
95% VaR — annual
—
on $100k: —
Window
—
Monthly mean (μ)
—
Monthly vol (σ)
—
Rolling VaR over time
Historical sim VaRParametric (μ−1.645σ)
Component VaR — asset contribution (parametric)
Historical sim: 5th percentile of actual portfolio monthly returns over lookback (interpolated). Daily/weekly via √time scaling. Parametric: μ−1.645σ. Component VaR via covariance. Monthly data 2000–2025.
US private markets comparison — 2000–2024
Important caveats.
Private market returns are not directly comparable to the liquid portfolio above for three structural reasons:
(1) Return smoothing — NAVs are appraised quarterly, not marked daily, mechanically suppressing reported volatility. GFC peak-to-trough: PE NAV −28% vs S&P 500 −55%, partly because marks lagged 1–2 quarters.
(2) IRR vs TWR — PE uses dollar-weighted IRR, not time-weighted returns; IRRs depend heavily on timing of capital calls and distributions and are not comparable to CAGR.
(3) Illiquidity — capital is locked 10–12 yrs (PE) or 3–7 yrs (private credit); you cannot rebalance or exit freely.
PE: Cambridge Associates US PE Index (buyout + growth equity), net of fees and carry. Private credit: Cliffwater CDLI from 2004; pre-2004 estimated from middle-market lending proxies. All USD.
Your portfolio CAGR
—
2000–2024
US PE CAGR (net)
+10.0%
Cambridge Assoc.
Private credit CAGR
+8.1%
CDLI / est. pre-2004
PE worst year
−27.0%
2008 (lagged marks)
PC worst year
−9.5%
2008 (mark-to-mkt)
PE typical fees
2%+20%
Mgmt + carry
Year-by-year — your portfolio vs US PE vs private credit (all net of fees, USD)
Year
Portfolio
S&P 500
US PE (net)
Priv. credit
PE vs port
PC vs port
Growth of $100k (2000–2024)
Your portfolioUS PEPrivate creditS&P 500
Key structural characteristics
Characteristic
Liquid port.
US PE
Priv. credit
Liquidity
Daily
10–12 yr lock
3–7 yr lock
Reported vol (ann.)
—
~13.5%
~5.2%
True vol (est.)
—
~20–25%
~8–12%
2008 return
—
−27.0%
−9.5%
Fee structure
~0.1%
2%+20% carry
1.5%+15% carry
Min. investment
$1
$5–25M LP
$250k–5M
Return metric
TWR/CAGR
IRR (DWR)
TWR/CAGR
Rebalancing
Any time
Not possible
Limited
PE: Cambridge Associates US PE Index (buyout + growth equity), net of fees, expenses and carry — approximated from quarterly horizon returns and cross-referenced with CAIA, AIC, and Neuberger Berman publications.
Private credit: Cliffwater CDLI from 2004 (unlevered, net-of-fee equivalent); 2000–2003 estimated from middle-market loan proxies.
IRR vs TWR: CA reports PE as horizon IRRs (dollar-weighted), not directly comparable to time-weighted CAGR. Volatility laundering: smoothed quarterly NAV reporting understates true PE/PC volatility by 30–50%. All figures indicative only. Not financial advice.
Portfolio & sleeve correlations with US private equity and private credit
Portfolio vs US PE
—
High — PE moves with equity markets
Portfolio vs Private credit
—
Moderate — income dampens swings
US PE vs Private credit
+0.66
Moderate — both private, different risk
Asset sleeve
Weight
vs US PE
vs Private credit
Reading the heatmap:
Cells are shaded by correlation strength: dark red = strong positive (moves together), dark blue = strong negative (moves opposite), white = uncorrelated.
Correlations above +0.7 mean the asset provides little diversification benefit vs PE/PC.
Correlations below +0.2 (or negative) mean the asset is a genuine diversifier in years when PE/PC underperforms.
All correlations are Pearson, based on 25 annual observations (2000–2024). Low n = treat as indicative, not definitive.
Correlations update automatically as you change allocations above — the portfolio-level correlations reflect your current weights.
turns — US Eq: S&P 500 · Europe: MSCI Europe · China: MSCI China · EM Asia: MSCI EM Asia ex-China proxy · Japan: MSCI Japan · LatAm: MSCI EM LatAm · O/G&M: S&P Global Energy/Materials ·
US Treasuries: Bloomberg US Treasury TR · TIPS: Bloomberg US TIPS TR · USD IG: Bloomberg US Corp IG TR · USD HY: ICE BofA US HY TR · Non-US Govt: Bloomberg Global Agg Govt ex-US (USD) · Non-US IG: Bloomberg Global Corp ex-US (USD) · EM Local CCY: Bloomberg EM Local Ccy Govt TR (USD) ·
REITs: FTSE NAREIT All Equity · Alternatives: Cambridge Associates PE/HF blend proxy · Commodities: S&P GSCI · AI/Tech: Nasdaq-100 · 2025 full-year actuals/estimates.
FX modelled as annual USD return differential per currency applied to portfolio currency weights. Forward scenarios use Monte Carlo simulation — illustrative only. Not financial advice.