Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy 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 2001 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
SPY SPDR S&P 500 ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
SPY SPDR S&P 500 ETF 60.00%
FBNDX Fidelity Investment Grade Bond 40.00%
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Portfolio 3
Ticker Name Allocation
SPY SPDR S&P 500 ETF 33.34%
FBNDX Fidelity Investment Grade Bond 33.33%
IYR iShares US Real Estate ETF 33.33%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$23,173 5.39% 14.73%32.31%-36.81%-50.80% 0.340.480.99
Portfolio 2$10,000$23,556 5.50% 8.91%22.23%-24.93%-34.75% 0.490.710.98
Portfolio 3$10,000$29,158 6.92% 11.19%24.28%-27.93%-44.51% 0.530.750.86
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceSPDR S&P 500 ETF (SPY)Fidelity Investment Grade Bond (FBNDX)iShares US Real Estate ETF (IYR)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20011.55%-11.75%-3.59%1.74%$8,825$9,641$10,174-11.75%8.65%8.33%
20022.38%-21.59%-9.18%-2.90%$6,920$8,756$9,879-21.59%9.44%3.45%
20031.88%28.18%18.81%22.77%$8,869$10,403$12,12828.18%4.77%35.37%
20043.26%10.70%8.26%15.15%$9,819$11,263$13,96610.70%4.60%30.15%
20053.42%4.83%4.05%5.55%$10,293$11,718$14,7414.83%2.87%8.94%
20062.54%15.85%11.48%18.57%$11,924$13,064$17,47715.85%4.94%34.91%
20074.08%5.14%4.25%-3.35%$12,536$13,620$16,8925.14%2.93%-18.12%
20080.09%-36.81%-24.93%-27.93%$7,922$10,224$12,173-36.81%-7.12%-39.88%
20092.72%26.36%22.23%24.28%$10,010$12,497$15,12926.36%16.02%30.46%
20101.50%15.06%12.41%16.69%$11,518$14,047$17,65415.06%8.43%26.58%
20112.96%1.89%4.30%5.11%$11,735$14,651$18,5551.89%7.91%5.52%
20121.74%15.99%12.09%13.48%$13,612$16,422$21,05615.99%6.23%18.21%
20131.50%32.31%18.69%10.58%$18,009$19,491$23,28332.31%-1.74%1.16%
20140.76%13.46%10.40%15.32%$20,434$21,518$26,85013.46%5.81%26.69%
20150.73%1.25%0.12%0.44%$20,690$21,545$26,9681.25%-1.57%1.63%
20162.07%12.00%9.33%8.12%$23,173$23,556$29,15812.00%5.33%7.03%
Monthly returns for the configured portfolios
YearMonthReturnBalanceSPDR S&P 500 ETF (SPY)Fidelity Investment Grade Bond (FBNDX)iShares US Real Estate ETF (IYR)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200114.45%3.32%2.18%$10,445$10,332$10,2184.45%1.64%0.46%
20012-9.54%-5.43%-3.40%$9,448$9,772$9,871-9.54%0.91%-1.38%
20013-5.60%-3.09%-1.70%$8,919$9,470$9,704-5.60%0.38%-0.12%
200148.54%4.56%3.50%$9,681$9,902$10,0438.54%-0.62%3.23%
20015-0.56%-0.02%0.85%$9,627$9,900$10,129-0.56%0.76%2.29%
20016-2.38%-1.25%1.10%$9,398$9,776$10,240-2.38%0.33%5.07%
20017-1.02%0.38%-0.16%$9,302$9,814$10,224-1.02%2.29%-1.72%
20018-5.93%-2.88%-0.45%$8,750$9,531$10,178-5.93%1.14%2.71%
20019-8.16%-4.00%-3.63%$8,036$9,150$9,808-8.16%1.10%-4.62%
2001101.30%1.65%-0.99%$8,141$9,301$9,7111.30%2.05%-5.84%
2001117.80%3.53%3.97%$8,775$9,630$10,0977.80%-1.18%6.56%
2001120.56%0.12%0.76%$8,825$9,641$10,1740.56%-0.42%2.15%
20021-0.98%-0.31%-0.06%$8,738$9,611$10,168-0.98%0.68%0.11%
20022-1.79%-0.71%0.37%$8,582$9,543$10,205-1.79%0.90%1.98%
200233.32%1.24%2.53%$8,867$9,661$10,4643.32%-1.76%6.06%
20024-5.82%-2.84%-1.26%$8,351$9,386$10,332-5.82%1.65%0.29%
20025-0.59%-0.01%0.77%$8,302$9,385$10,412-0.59%0.80%1.93%
20026-7.38%-4.12%-1.56%$7,689$8,998$10,249-7.38%0.36%1.60%
20027-7.88%-4.13%-3.81%$7,083$8,626$9,859-7.88%0.64%-4.71%
200280.68%1.41%1.12%$7,131$8,747$9,9690.68%2.25%0.36%
20029-10.49%-5.07%-4.28%$6,384$8,303$9,542-10.49%1.14%-4.94%
2002108.23%3.98%0.52%$6,909$8,634$9,5928.23%-0.33%-4.04%
2002116.17%3.50%3.60%$7,335$8,936$9,9376.17%0.56%4.84%
200212-5.66%-2.02%-0.58%$6,920$8,756$9,879-5.66%2.23%0.59%
20031-2.46%-1.42%-2.00%$6,749$8,632$9,681-2.46%0.15%-3.69%
20032-1.35%-0.21%0.68%$6,659$8,614$9,747-1.35%1.45%1.93%
200330.21%0.18%0.76%$6,672$8,629$9,8210.21%0.14%1.94%
200348.46%5.39%4.30%$7,237$9,094$10,2438.46%1.03%3.60%
200355.48%3.98%4.47%$7,634$9,456$10,7015.48%1.68%6.22%
200361.07%0.62%0.93%$7,715$9,514$10,8011.07%-0.10%1.77%
200371.80%-0.20%1.41%$7,854$9,495$10,9531.80%-3.41%5.50%
200382.06%1.60%1.25%$8,016$9,647$11,0892.06%0.81%0.84%
20039-1.09%0.31%1.49%$7,929$9,677$11,254-1.09%2.71%2.94%
2003105.35%2.99%2.14%$8,353$9,966$11,4955.35%-0.91%1.74%
2003111.09%0.78%2.00%$8,444$10,044$11,7261.09%0.25%4.34%
2003125.03%3.57%3.44%$8,869$10,403$12,1285.03%1.00%3.88%
200411.98%1.51%2.29%$9,045$10,561$12,4061.98%0.82%4.07%
200421.36%1.18%1.36%$9,167$10,686$12,5751.36%0.92%1.80%
20043-1.32%-0.47%1.67%$9,046$10,636$12,786-1.32%0.83%5.41%
20044-1.89%-2.12%-6.68%$8,875$10,410$11,931-1.89%-2.46%-14.94%
200451.71%0.86%2.63%$9,027$10,500$12,2451.71%-0.41%6.81%
200461.85%1.34%1.78%$9,194$10,640$12,4631.85%0.55%2.90%
20047-3.22%-1.54%-0.64%$8,898$10,477$12,383-3.22%1.08%0.27%
200480.24%0.90%3.52%$8,920$10,571$12,8180.24%1.88%8.24%
200491.00%0.70%0.26%$9,009$10,646$12,8511.00%0.27%-0.41%
2004101.29%1.10%2.50%$9,125$10,762$13,1731.29%0.82%5.14%
2004114.45%2.40%2.75%$9,531$11,020$13,5354.45%-0.64%4.25%
2004123.02%2.20%3.18%$9,819$11,263$13,9663.02%0.93%5.22%
20051-2.24%-1.07%-3.36%$9,599$11,142$13,496-2.24%0.68%-8.52%
200522.09%1.03%1.57%$9,799$11,256$13,7092.09%-0.53%3.34%
20053-1.83%-1.29%-1.60%$9,620$11,110$13,489-1.83%-0.50%-2.54%
20054-1.87%-0.67%1.54%$9,440$11,036$13,696-1.87%1.11%5.62%
200553.22%2.35%2.67%$9,744$11,296$14,0623.22%1.11%3.75%
200560.15%0.28%1.71%$9,759$11,328$14,3030.15%0.48%4.49%
200573.83%2.02%3.30%$10,132$11,557$14,7753.83%-0.61%6.60%
20058-0.94%-0.12%-1.46%$10,037$11,543$14,559-0.94%1.14%-4.29%
200590.80%0.13%0.00%$10,117$11,558$14,5600.80%-0.88%0.09%
200510-2.37%-1.72%-2.08%$9,878$11,359$14,257-2.37%-0.74%-3.07%
2005114.40%2.82%3.22%$10,312$11,680$14,7164.40%0.48%4.74%
200512-0.19%0.33%0.17%$10,293$11,718$14,741-0.19%1.14%-0.39%
200612.40%1.46%3.25%$10,540$11,890$15,2202.40%0.06%7.30%
200620.57%0.47%0.90%$10,600$11,946$15,3570.57%0.31%1.77%
200631.65%0.70%2.25%$10,775$12,030$15,7031.65%-0.75%5.57%
200641.26%0.74%-0.79%$10,911$12,119$15,5791.26%-0.08%-3.27%
20065-3.01%-1.88%-2.19%$10,583$11,891$15,238-3.01%-0.07%-3.31%
200660.26%0.19%1.71%$10,610$11,914$15,4990.26%0.08%4.60%
200670.45%0.86%1.92%$10,658$12,016$15,7970.45%1.49%3.65%
200682.18%1.91%2.25%$10,891$12,245$16,1532.18%1.49%2.98%
200692.70%2.01%2.03%$11,184$12,491$16,4812.70%0.93%2.38%
2006103.15%2.19%3.61%$11,537$12,765$17,0763.15%0.68%6.48%
2006111.99%1.69%2.75%$11,766$12,981$17,5461.99%1.21%4.63%
2006121.34%0.64%-0.39%$11,924$13,064$17,4771.34%-0.49%-1.76%
200711.50%0.90%3.72%$12,103$13,182$18,1271.50%-0.00%9.66%
20072-1.96%-0.66%-1.47%$11,866$13,095$17,860-1.96%1.33%-3.58%
200731.16%0.69%-0.49%$12,003$13,186$17,7721.16%0.00%-2.53%
200744.43%2.87%1.74%$12,535$13,564$18,0814.43%0.54%0.29%
200753.39%1.80%0.98%$12,960$13,808$18,2583.39%-0.67%0.15%
20076-1.46%-1.11%-3.56%$12,770$13,654$17,608-1.46%-0.55%-8.71%
20077-3.13%-1.82%-3.85%$12,371$13,406$16,930-3.13%0.28%-9.07%
200781.28%0.73%1.97%$12,529$13,504$17,2631.28%-0.13%5.26%
200793.87%2.69%2.92%$13,014$13,867$17,7683.87%0.85%4.14%
2007101.36%0.84%0.72%$13,191$13,984$17,8971.36%0.01%0.76%
200711-3.87%-2.09%-3.94%$12,680$13,691$17,191-3.87%0.82%-9.12%
200712-1.13%-0.52%-1.74%$12,536$13,620$16,892-1.13%0.42%-5.07%
20081-6.05%-3.18%-1.61%$11,778$13,186$16,620-6.05%1.11%0.11%
20082-2.58%-1.70%-2.40%$11,474$12,962$16,220-2.58%-0.46%-4.20%
20083-0.90%-1.01%0.79%$11,370$12,831$16,349-0.90%-1.15%4.46%
200844.77%2.73%3.47%$11,912$13,181$16,9164.77%-0.06%5.81%
200851.51%0.76%0.66%$12,092$13,281$17,0281.51%-0.33%0.81%
20086-8.35%-4.98%-6.77%$11,082$12,620$15,875-8.35%-0.05%-11.57%
20087-0.90%-0.78%0.32%$10,983$12,521$15,926-0.90%-0.63%2.47%
200881.55%1.05%1.24%$11,153$12,652$16,1231.55%0.39%1.81%
20089-9.44%-6.56%-4.22%$10,100$11,823$15,442-9.44%-2.67%-1.07%
200810-16.52%-11.54%-17.84%$8,432$10,459$12,688-16.52%-5.27%-31.32%
200811-6.96%-4.13%-8.88%$7,845$10,027$11,560-6.96%-0.99%-21.55%
2008120.98%1.96%5.30%$7,922$10,224$12,1730.98%2.99%14.41%
20091-8.21%-4.63%-7.76%$7,271$9,751$11,228-8.21%0.75%-15.82%
20092-10.74%-6.43%-9.78%$6,490$9,124$10,131-10.74%-0.53%-19.78%
200938.35%5.22%4.25%$7,032$9,601$10,5618.35%1.39%3.52%
200949.93%6.42%12.05%$7,730$10,217$11,8349.93%1.82%29.62%
200955.85%4.49%3.57%$8,182$10,676$12,2575.85%2.56%2.27%
20096-0.07%0.48%-0.34%$8,177$10,727$12,215-0.07%1.28%-2.51%
200977.46%5.47%6.66%$8,787$11,313$13,0287.46%2.59%10.58%
200983.69%2.89%5.96%$9,111$11,640$13,8043.69%1.68%13.19%
200993.55%2.85%3.80%$9,434$11,972$14,3293.55%1.78%6.06%
200910-1.92%-0.71%-1.95%$9,253$11,887$14,049-1.92%1.18%-4.97%
2009116.16%4.28%4.89%$9,823$12,396$14,7366.16%1.44%7.08%
2009121.91%0.81%2.67%$10,010$12,497$15,1291.91%-0.92%6.89%
20101-3.63%-1.49%-2.44%$9,647$12,310$14,759-3.63%1.72%-5.42%
201023.12%2.00%2.93%$9,948$12,557$15,1923.12%0.41%5.46%
201036.09%3.73%5.33%$10,553$13,025$16,0026.09%0.28%9.75%
201041.55%1.48%3.17%$10,717$13,218$16,5091.55%1.39%6.39%
20105-7.95%-4.66%-4.49%$9,865$12,602$15,768-7.95%0.42%-5.68%
20106-5.17%-2.40%-2.76%$9,355$12,299$15,333-5.17%1.53%-4.65%
201076.83%4.37%5.73%$9,994$12,837$16,2116.83%1.11%9.40%
20108-4.50%-2.06%-1.41%$9,544$12,572$15,982-4.50%1.34%-1.30%
201098.96%5.28%4.50%$10,399$13,235$16,7018.96%0.43%4.65%
2010103.82%2.57%2.86%$10,796$13,576$17,1803.82%0.79%3.93%
2010110.00%-0.28%-0.79%$10,796$13,538$17,0430.00%-0.69%-1.58%
2010126.68%3.76%3.58%$11,518$14,047$17,6546.68%-0.58%4.57%
201112.33%1.55%2.09%$11,786$14,264$18,0232.33%0.37%3.57%
201123.47%2.30%2.85%$12,196$14,592$18,5383.47%0.50%4.52%
201130.01%0.05%-0.33%$12,197$14,600$18,4760.01%0.12%-1.10%
201142.90%2.35%3.05%$12,550$14,943$19,0382.90%1.49%4.66%
20115-1.12%-0.27%0.32%$12,409$14,903$19,099-1.12%1.10%1.01%
20116-1.69%-1.12%-1.72%$12,200$14,736$18,771-1.69%-0.24%-3.11%
20117-2.00%-0.63%-0.11%$11,956$14,644$18,750-2.00%1.48%0.22%
20118-5.50%-2.86%-3.27%$11,298$14,225$18,136-5.50%1.06%-5.31%
20119-6.94%-3.80%-5.62%$10,514$13,685$17,117-6.94%0.56%-10.68%
20111010.91%6.26%7.75%$11,661$14,541$18,44210.91%0.28%13.19%
201111-0.41%-0.40%-1.50%$11,614$14,483$18,167-0.41%-0.39%-3.67%
2011121.04%1.16%2.14%$11,735$14,651$18,5551.04%1.32%4.09%
201214.64%3.30%4.18%$12,279$15,134$19,3304.64%1.29%6.60%
201224.34%2.65%1.23%$12,812$15,536$19,5684.34%0.03%-0.69%
201233.22%1.88%2.52%$13,224$15,827$20,0613.22%-0.29%4.48%
20124-0.67%0.00%1.00%$13,136$15,828$20,261-0.67%1.12%2.58%
20125-6.01%-3.31%-3.16%$12,347$15,304$19,620-6.01%1.12%-4.21%
201264.05%2.47%3.20%$12,848$15,682$20,2494.05%0.06%5.36%
201271.18%1.39%1.75%$13,000$15,900$20,6041.18%1.72%2.33%
201282.51%1.57%0.97%$13,325$16,149$20,8032.51%0.08%0.31%
201292.54%1.78%0.65%$13,663$16,437$20,9372.54%0.56%-1.11%
201210-1.82%-1.06%-0.77%$13,414$16,263$20,776-1.82%0.19%-0.59%
2012110.57%0.46%0.08%$13,490$16,337$20,7930.57%0.28%-0.58%
2012120.90%0.52%1.26%$13,612$16,422$21,0560.90%-0.10%2.89%
201315.12%2.83%2.85%$14,309$16,887$21,6555.12%-0.60%4.02%
201321.28%0.94%0.99%$14,491$17,045$21,8701.28%0.41%1.26%
201333.80%2.40%2.32%$15,042$17,455$22,3783.80%0.17%2.87%
201341.92%1.59%2.94%$15,330$17,733$23,0361.92%1.05%5.73%
201352.36%0.84%-1.98%$15,692$17,883$22,5812.36%-1.69%-6.49%
20136-1.34%-1.57%-1.89%$15,483$17,602$22,155-1.34%-1.97%-2.40%
201375.17%3.41%2.05%$16,283$18,203$22,6085.17%0.34%0.24%
20138-3.00%-2.18%-3.45%$15,795$17,805$21,829-3.00%-0.69%-6.53%
201393.17%2.39%2.58%$16,295$18,232$22,3933.17%1.01%3.46%
2013104.63%3.35%3.23%$17,049$18,842$23,1164.63%1.00%3.73%
2013112.96%1.84%-0.44%$17,555$19,189$23,0142.96%-0.30%-4.64%
2013122.59%1.57%1.17%$18,009$19,491$23,2832.59%-0.42%0.90%
20141-3.52%-1.55%0.44%$17,375$19,188$23,385-3.52%1.40%3.44%
201424.55%3.03%3.38%$18,165$19,769$24,1744.55%0.85%4.75%
201430.83%0.43%0.26%$18,316$19,854$24,2380.83%-0.16%0.14%
201440.70%0.76%1.56%$18,444$20,005$24,6160.70%0.85%3.03%
201452.32%1.88%2.13%$18,872$20,381$25,1412.32%1.23%2.80%
201462.06%1.27%1.05%$19,261$20,640$25,4052.06%0.07%1.01%
20147-1.34%-0.98%-0.61%$19,002$20,438$25,249-1.34%-0.42%-0.11%
201483.95%2.87%2.91%$19,752$21,024$25,9843.95%1.23%3.47%
20149-1.38%-1.20%-2.85%$19,480$20,771$25,243-1.38%-0.93%-5.89%
2014102.36%1.82%3.99%$19,939$21,148$26,2512.36%0.98%8.35%
2014112.75%1.92%2.07%$20,486$21,554$26,7952.75%0.60%2.72%
201412-0.26%-0.16%0.21%$20,434$21,518$26,850-0.26%-0.02%0.81%
20151-2.96%-1.03%1.54%$19,828$21,297$27,264-2.96%1.88%5.71%
201525.62%3.09%0.71%$20,943$21,955$27,4585.62%-0.54%-2.60%
20153-1.57%-0.86%-0.09%$20,613$21,766$27,434-1.57%0.22%1.09%
201540.98%0.52%-1.36%$20,816$21,880$27,0600.98%-0.16%-4.82%
201551.29%0.66%0.23%$21,083$22,025$27,1231.29%-0.27%-0.33%
20156-2.03%-1.74%-2.55%$20,656$21,643$26,430-2.03%-1.29%-4.39%
201572.26%1.56%2.52%$21,122$21,980$27,0972.26%0.50%4.94%
20158-6.10%-3.96%-4.20%$19,835$21,110$25,959-6.10%-0.66%-5.80%
20159-2.54%-1.51%-0.34%$19,330$20,792$25,872-2.54%0.01%1.60%
2015108.51%5.20%5.00%$20,975$21,874$27,1668.51%0.50%6.23%
2015110.37%-0.04%-0.16%$21,051$21,865$27,1210.37%-0.67%-0.20%
201512-1.72%-1.46%-0.57%$20,690$21,545$26,968-1.72%-1.07%1.10%
20161-4.98%-2.73%-2.82%$19,660$20,956$26,208-4.98%0.63%-4.10%
20162-0.08%0.21%-0.06%$19,643$20,999$26,192-0.08%0.62%-0.75%
201636.72%4.73%6.22%$20,964$21,993$27,8206.72%1.93%10.26%
201640.39%0.69%-0.07%$21,047$22,144$27,8020.39%1.11%-1.67%
201651.70%1.00%1.28%$21,405$22,364$28,1591.70%-0.04%2.21%
201660.35%0.96%2.84%$21,480$22,580$28,9590.35%1.87%6.24%
201673.65%2.61%2.80%$22,263$23,168$29,7703.65%1.08%3.65%
201680.12%0.25%-0.99%$22,290$23,227$29,4760.12%0.45%-3.35%
201690.01%0.03%-0.48%$22,292$23,233$29,3340.01%0.06%-1.47%
201610-1.73%-1.26%-2.44%$21,905$22,940$28,619-1.73%-0.56%-4.96%
2016113.68%1.25%-0.33%$22,712$23,227$28,5233.68%-2.34%-2.34%
2016122.03%1.41%2.23%$23,173$23,556$29,1582.03%0.45%4.25%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value46.49%25.90%30.36%
Large-cap Growth52.06%34.27%10.70%
Mid-cap Value0.00%0.05%17.28%
Mid-cap Growth0.92%1.69%2.46%
Small-cap Value0.00%0.00%6.09%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%3.59%
Emerging Markets0.04%1.16%0.93%
Corporate Bonds0.50%9.45%16.93%
Long-Term Treasuries0.00%0.00%11.67%
Intermediate-Term Treasuries0.00%5.38%0.00%
Short-Term Treasuries0.00%22.10%0.00%
R Squared99.89%99.00%87.04%
Style analysis is based on monthly returns from Apr 2005 to Dec 2016 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%100.00%$13,173100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%60.00%$9,81195.00%
FBNDXFidelity Investment Grade BondIntermediate-Term Bond5.850.45%40.00%$3,7455.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
SPYSPDR S&P 500 ETFLarge Blend0.09%33.34%$6,90136.68%
FBNDXFidelity Investment Grade BondIntermediate-Term Bond5.850.45%33.33%$3,6924.52%
IYRiShares US Real Estate ETFReal Estate0.43%33.33%$8,56558.80%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/05/2018. © 2018 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)0.53%0.48%0.61%
Arithmetic Mean (annualized)6.55%5.92%7.60%
Geometric Mean (monthly)0.44%0.45%0.56%
Geometric Mean (annualized)5.39%5.50%6.92%
Volatility (monthly)4.25%2.57%3.23%
Volatility (annualized)14.73%8.91%11.19%
Downside Deviation (monthly)2.97%1.74%2.26%
Max. Drawdown-50.80%-34.75%-44.51%
US Market Correlation0.990.980.86
Beta(*)0.970.580.64
Alpha (annualized)-0.39%1.75%2.89%
R298.97%95.86%74.60%
Sharpe Ratio0.340.490.53
Sortino Ratio0.480.710.75
Treynor Ratio (%)5.167.639.36
Calmar Ratio1.031.161.35
Information Ratio-0.39-0.180.05
Diversification Ratio1.001.161.19
Skewness-0.60-0.76-1.20
Excess Kurtosis1.192.156.01
Historical Value-at-Risk (5%)-7.90%-4.13%-4.24%
Analytical Value-at-Risk (5%)-6.47%-3.87%-4.81%
Conditional Value-at-Risk (5%)-9.93%-5.94%-8.01%
Upside Capture Ratio (%)94.1959.4467.78
Downside Capture Ratio (%)96.7054.6657.91
Sustainable Withdrawal Rate6.03%7.01%8.50%
Positive Periods118 out of 192 (61.46%)122 out of 192 (63.54%)121 out of 192 (63.02%)
Gain/Loss Ratio0.860.930.98
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-50.80%-34.75%-43.39%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.80%
2Feb 2001Sep 20021 year 8 monthsJan 20063 years 4 months5 years-38.88%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
5Jun 2007Jul 20072 monthsSep 20072 months4 months-4.55%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.52%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.21%
8May 2006May 20061 monthSep 20064 months5 months-3.01%
9Aug 2013Aug 20131 monthSep 20131 month2 months-3.00%
10Jun 2015Jun 20151 monthJul 20151 month2 months-2.03%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-34.75%
2Feb 2001Sep 20021 year 8 monthsDec 20031 year 3 months2 years 11 months-19.64%
3May 2011Sep 20115 monthsJan 20124 months9 months-8.42%
4Jun 2015Sep 20154 monthsApr 20167 months11 months-5.60%
5May 2012May 20121 monthJul 20122 months3 months-3.31%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-2.91%
7Mar 2004Apr 20042 monthsOct 20046 months8 months-2.58%
8Aug 2013Aug 20131 monthSep 20131 month2 months-2.18%
9Jan 2005Apr 20054 monthsMay 20051 month5 months-2.01%
10May 2006May 20061 monthAug 20063 months4 months-1.88%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-44.51%
2Jun 2011Sep 20114 monthsJan 20124 months8 months-10.38%
3Apr 2002Sep 20026 monthsMay 20038 months1 year 2 months-8.81%
4Apr 2004Apr 20041 monthAug 20044 months5 months-6.68%
5Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-5.78%
6May 2013Aug 20134 monthsOct 20132 months6 months-5.24%
7Jul 2001Oct 20014 monthsMar 20025 months9 months-5.17%
8Feb 2001Mar 20012 monthsJun 20013 months5 months-5.04%
9Aug 2016Nov 20164 months-4.19%
10Aug 2005Oct 20053 monthsJan 20063 months6 months-3.50%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
SPYSPDR S&P 500 ETF5.39%14.73%32.31%-36.81%-50.80%0.340.480.99
FBNDXFidelity Investment Grade Bond4.72%3.77%16.02%-7.12%-10.80%0.871.340.13
IYRiShares US Real Estate ETF9.22%21.34%35.37%-39.88%-69.68%0.460.650.69

Monthly Correlations

Correlations for the portfolio assets
TickerNameSPYFBNDXIYRPortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF-0.140.671.000.980.86
FBNDXFidelity Investment Grade Bond0.14-0.380.140.300.41
IYRiShares US Real Estate ETF0.670.38-0.670.710.95

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF$13,173$9,811$6,901
FBNDXFidelity Investment Grade Bond$3,745$3,692
IYRiShares US Real Estate ETF$8,565

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
SPYSPDR S&P 500 ETF100.00%95.00%36.68%
FBNDXFidelity Investment Grade Bond5.00%4.52%
IYRiShares US Real Estate ETF58.80%

Annual Asset Returns