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 
Asset 1
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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%
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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 t-bills)
  • 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
Annual returns for the configured portfolios
YearInflationSPDR S&P 500 ETF (SPY)Fidelity Investment Grade Bond (FBNDX)iShares US Real Estate ETF (IYR)Portfolio 1Portfolio 2Portfolio 3
ReturnBalanceReturnBalanceReturnBalance
20011.55%-11.75%8.65%8.33%-11.75%$8,825-3.59%$9,6411.74%$10,174
20022.38%-21.59%9.44%3.45%-21.59%$6,920-9.18%$8,756-2.90%$9,879
20031.88%28.18%4.77%35.37%28.18%$8,86918.81%$10,40322.77%$12,128
20043.26%10.70%4.60%30.15%10.70%$9,8198.26%$11,26315.15%$13,966
20053.42%4.83%2.87%8.94%4.83%$10,2934.05%$11,7185.55%$14,741
20062.54%15.85%4.94%34.91%15.85%$11,92411.48%$13,06418.57%$17,477
20074.08%5.14%2.93%-18.12%5.14%$12,5364.25%$13,620-3.35%$16,892
20080.09%-36.81%-7.12%-39.88%-36.81%$7,922-24.93%$10,224-27.93%$12,173
20092.72%26.36%16.02%30.46%26.36%$10,01022.23%$12,49724.28%$15,129
20101.50%15.06%8.43%26.58%15.06%$11,51812.41%$14,04716.69%$17,654
20112.96%1.89%7.91%5.52%1.89%$11,7354.30%$14,6515.11%$18,555
20121.74%15.99%6.23%18.21%15.99%$13,61212.09%$16,42213.48%$21,056
20131.50%32.31%-1.74%1.16%32.31%$18,00918.69%$19,49110.58%$23,283
20140.76%13.46%5.81%26.69%13.46%$20,43410.40%$21,51815.32%$26,850
20150.73%1.25%-1.57%1.63%1.25%$20,6900.12%$21,5450.44%$26,968
20162.07%12.00%5.33%7.03%12.00%$23,1739.33%$23,5568.12%$29,158
Monthly returns for the configured portfolios
YearMonthSPDR S&P 500 ETF (SPY)Fidelity Investment Grade Bond (FBNDX)iShares US Real Estate ETF (IYR)Portfolio 1Portfolio 2Portfolio 3
ReturnBalanceReturnBalanceReturnBalance
200114.45%1.64%0.46%4.45%$10,4453.32%$10,3322.18%$10,218
20012-9.54%0.91%-1.38%-9.54%$9,448-5.43%$9,772-3.40%$9,871
20013-5.60%0.38%-0.12%-5.60%$8,919-3.09%$9,470-1.70%$9,704
200148.54%-0.62%3.23%8.54%$9,6814.56%$9,9023.50%$10,043
20015-0.56%0.76%2.29%-0.56%$9,627-0.02%$9,9000.85%$10,129
20016-2.38%0.33%5.07%-2.38%$9,398-1.25%$9,7761.10%$10,240
20017-1.02%2.29%-1.72%-1.02%$9,3020.38%$9,814-0.16%$10,224
20018-5.93%1.14%2.71%-5.93%$8,750-2.88%$9,531-0.45%$10,178
20019-8.16%1.10%-4.62%-8.16%$8,036-4.00%$9,150-3.63%$9,808
2001101.30%2.05%-5.84%1.30%$8,1411.65%$9,301-0.99%$9,711
2001117.80%-1.18%6.56%7.80%$8,7753.53%$9,6303.97%$10,097
2001120.56%-0.42%2.15%0.56%$8,8250.12%$9,6410.76%$10,174
20021-0.98%0.68%0.11%-0.98%$8,738-0.31%$9,611-0.06%$10,168
20022-1.79%0.90%1.98%-1.79%$8,582-0.71%$9,5430.37%$10,205
200233.32%-1.76%6.06%3.32%$8,8671.24%$9,6612.53%$10,464
20024-5.82%1.65%0.29%-5.82%$8,351-2.84%$9,386-1.26%$10,332
20025-0.59%0.80%1.93%-0.59%$8,302-0.01%$9,3850.77%$10,412
20026-7.38%0.36%1.60%-7.38%$7,689-4.12%$8,998-1.56%$10,249
20027-7.88%0.64%-4.71%-7.88%$7,083-4.13%$8,626-3.81%$9,859
200280.68%2.25%0.36%0.68%$7,1311.41%$8,7471.12%$9,969
20029-10.49%1.14%-4.94%-10.49%$6,384-5.07%$8,303-4.28%$9,542
2002108.23%-0.33%-4.04%8.23%$6,9093.98%$8,6340.52%$9,592
2002116.17%0.56%4.84%6.17%$7,3353.50%$8,9363.60%$9,937
200212-5.66%2.23%0.59%-5.66%$6,920-2.02%$8,756-0.58%$9,879
20031-2.46%0.15%-3.69%-2.46%$6,749-1.42%$8,632-2.00%$9,681
20032-1.35%1.45%1.93%-1.35%$6,659-0.21%$8,6140.68%$9,747
200330.21%0.14%1.94%0.21%$6,6720.18%$8,6290.76%$9,821
200348.46%1.03%3.60%8.46%$7,2375.39%$9,0944.30%$10,243
200355.48%1.68%6.22%5.48%$7,6343.98%$9,4564.47%$10,701
200361.07%-0.10%1.77%1.07%$7,7150.62%$9,5140.93%$10,801
200371.80%-3.41%5.50%1.80%$7,854-0.20%$9,4951.41%$10,953
200382.06%0.81%0.84%2.06%$8,0161.60%$9,6471.25%$11,089
20039-1.09%2.71%2.94%-1.09%$7,9290.31%$9,6771.49%$11,254
2003105.35%-0.91%1.74%5.35%$8,3532.99%$9,9662.14%$11,495
2003111.09%0.25%4.34%1.09%$8,4440.78%$10,0442.00%$11,726
2003125.03%1.00%3.88%5.03%$8,8693.57%$10,4033.44%$12,128
200411.98%0.82%4.07%1.98%$9,0451.51%$10,5612.29%$12,406
200421.36%0.92%1.80%1.36%$9,1671.18%$10,6861.36%$12,575
20043-1.32%0.83%5.41%-1.32%$9,046-0.47%$10,6361.67%$12,786
20044-1.89%-2.46%-14.94%-1.89%$8,875-2.12%$10,410-6.68%$11,931
200451.71%-0.41%6.81%1.71%$9,0270.86%$10,5002.63%$12,245
200461.85%0.55%2.90%1.85%$9,1941.34%$10,6401.78%$12,463
20047-3.22%1.08%0.27%-3.22%$8,898-1.54%$10,477-0.64%$12,383
200480.24%1.88%8.24%0.24%$8,9200.90%$10,5713.52%$12,818
200491.00%0.27%-0.41%1.00%$9,0090.70%$10,6460.26%$12,851
2004101.29%0.82%5.14%1.29%$9,1251.10%$10,7622.50%$13,173
2004114.45%-0.64%4.25%4.45%$9,5312.40%$11,0202.75%$13,535
2004123.02%0.93%5.22%3.02%$9,8192.20%$11,2633.18%$13,966
20051-2.24%0.68%-8.52%-2.24%$9,599-1.07%$11,142-3.36%$13,496
200522.09%-0.53%3.34%2.09%$9,7991.03%$11,2561.57%$13,709
20053-1.83%-0.50%-2.54%-1.83%$9,620-1.29%$11,110-1.60%$13,489
20054-1.87%1.11%5.62%-1.87%$9,440-0.67%$11,0361.54%$13,696
200553.22%1.11%3.75%3.22%$9,7442.35%$11,2962.67%$14,062
200560.15%0.48%4.49%0.15%$9,7590.28%$11,3281.71%$14,303
200573.83%-0.61%6.60%3.83%$10,1322.02%$11,5573.30%$14,775
20058-0.94%1.14%-4.29%-0.94%$10,037-0.12%$11,543-1.46%$14,559
200590.80%-0.88%0.09%0.80%$10,1170.13%$11,5580.00%$14,560
200510-2.37%-0.74%-3.07%-2.37%$9,878-1.72%$11,359-2.08%$14,257
2005114.40%0.48%4.74%4.40%$10,3122.82%$11,6803.22%$14,716
200512-0.19%1.14%-0.39%-0.19%$10,2930.33%$11,7180.17%$14,741
200612.40%0.06%7.30%2.40%$10,5401.46%$11,8903.25%$15,220
200620.57%0.31%1.77%0.57%$10,6000.47%$11,9460.90%$15,357
200631.65%-0.75%5.57%1.65%$10,7750.70%$12,0302.25%$15,703
200641.26%-0.08%-3.27%1.26%$10,9110.74%$12,119-0.79%$15,579
20065-3.01%-0.07%-3.31%-3.01%$10,583-1.88%$11,891-2.19%$15,238
200660.26%0.08%4.60%0.26%$10,6100.19%$11,9141.71%$15,499
200670.45%1.49%3.65%0.45%$10,6580.86%$12,0161.92%$15,797
200682.18%1.49%2.98%2.18%$10,8911.91%$12,2452.25%$16,153
200692.70%0.93%2.38%2.70%$11,1842.01%$12,4912.03%$16,481
2006103.15%0.68%6.48%3.15%$11,5372.19%$12,7653.61%$17,076
2006111.99%1.21%4.63%1.99%$11,7661.69%$12,9812.75%$17,546
2006121.34%-0.49%-1.76%1.34%$11,9240.64%$13,064-0.39%$17,477
200711.50%-0.00%9.66%1.50%$12,1030.90%$13,1823.72%$18,127
20072-1.96%1.33%-3.58%-1.96%$11,866-0.66%$13,095-1.47%$17,860
200731.16%0.00%-2.53%1.16%$12,0030.69%$13,186-0.49%$17,772
200744.43%0.54%0.29%4.43%$12,5352.87%$13,5641.74%$18,081
200753.39%-0.67%0.15%3.39%$12,9601.80%$13,8080.98%$18,258
20076-1.46%-0.55%-8.71%-1.46%$12,770-1.11%$13,654-3.56%$17,608
20077-3.13%0.28%-9.07%-3.13%$12,371-1.82%$13,406-3.85%$16,930
200781.28%-0.13%5.26%1.28%$12,5290.73%$13,5041.97%$17,263
200793.87%0.85%4.14%3.87%$13,0142.69%$13,8672.92%$17,768
2007101.36%0.01%0.76%1.36%$13,1910.84%$13,9840.72%$17,897
200711-3.87%0.82%-9.12%-3.87%$12,680-2.09%$13,691-3.94%$17,191
200712-1.13%0.42%-5.07%-1.13%$12,536-0.52%$13,620-1.74%$16,892
20081-6.05%1.11%0.11%-6.05%$11,778-3.18%$13,186-1.61%$16,620
20082-2.58%-0.46%-4.20%-2.58%$11,474-1.70%$12,962-2.40%$16,220
20083-0.90%-1.15%4.46%-0.90%$11,370-1.01%$12,8310.79%$16,349
200844.77%-0.06%5.81%4.77%$11,9122.73%$13,1813.47%$16,916
200851.51%-0.33%0.81%1.51%$12,0920.76%$13,2810.66%$17,028
20086-8.35%-0.05%-11.57%-8.35%$11,082-4.98%$12,620-6.77%$15,875
20087-0.90%-0.63%2.47%-0.90%$10,983-0.78%$12,5210.32%$15,926
200881.55%0.39%1.81%1.55%$11,1531.05%$12,6521.24%$16,123
20089-9.44%-2.67%-1.07%-9.44%$10,100-6.56%$11,823-4.22%$15,442
200810-16.52%-5.27%-31.32%-16.52%$8,432-11.54%$10,459-17.84%$12,688
200811-6.96%-0.99%-21.55%-6.96%$7,845-4.13%$10,027-8.88%$11,560
2008120.98%2.99%14.41%0.98%$7,9221.96%$10,2245.30%$12,173
20091-8.21%0.75%-15.82%-8.21%$7,271-4.63%$9,751-7.76%$11,228
20092-10.74%-0.53%-19.78%-10.74%$6,490-6.43%$9,124-9.78%$10,131
200938.35%1.39%3.52%8.35%$7,0325.22%$9,6014.25%$10,561
200949.93%1.82%29.62%9.93%$7,7306.42%$10,21712.05%$11,834
200955.85%2.56%2.27%5.85%$8,1824.49%$10,6763.57%$12,257
20096-0.07%1.28%-2.51%-0.07%$8,1770.48%$10,727-0.34%$12,215
200977.46%2.59%10.58%7.46%$8,7875.47%$11,3136.66%$13,028
200983.69%1.68%13.19%3.69%$9,1112.89%$11,6405.96%$13,804
200993.55%1.78%6.06%3.55%$9,4342.85%$11,9723.80%$14,329
200910-1.92%1.18%-4.97%-1.92%$9,253-0.71%$11,887-1.95%$14,049
2009116.16%1.44%7.08%6.16%$9,8234.28%$12,3964.89%$14,736
2009121.91%-0.92%6.89%1.91%$10,0100.81%$12,4972.67%$15,129
20101-3.63%1.72%-5.42%-3.63%$9,647-1.49%$12,310-2.44%$14,759
201023.12%0.41%5.46%3.12%$9,9482.00%$12,5572.93%$15,192
201036.09%0.28%9.75%6.09%$10,5533.73%$13,0255.33%$16,002
201041.55%1.39%6.39%1.55%$10,7171.48%$13,2183.17%$16,509
20105-7.95%0.42%-5.68%-7.95%$9,865-4.66%$12,602-4.49%$15,768
20106-5.17%1.53%-4.65%-5.17%$9,355-2.40%$12,299-2.76%$15,333
201076.83%1.11%9.40%6.83%$9,9944.37%$12,8375.73%$16,211
20108-4.50%1.34%-1.30%-4.50%$9,544-2.06%$12,572-1.41%$15,982
201098.96%0.43%4.65%8.96%$10,3995.28%$13,2354.50%$16,701
2010103.82%0.79%3.93%3.82%$10,7962.57%$13,5762.86%$17,180
2010110.00%-0.69%-1.58%0.00%$10,796-0.28%$13,538-0.79%$17,043
2010126.68%-0.58%4.57%6.68%$11,5183.76%$14,0473.58%$17,654
201112.33%0.37%3.57%2.33%$11,7861.55%$14,2642.09%$18,023
201123.47%0.50%4.52%3.47%$12,1962.30%$14,5922.85%$18,538
201130.01%0.12%-1.10%0.01%$12,1970.05%$14,600-0.33%$18,476
201142.90%1.49%4.66%2.90%$12,5502.35%$14,9433.05%$19,038
20115-1.12%1.10%1.01%-1.12%$12,409-0.27%$14,9030.32%$19,099
20116-1.69%-0.24%-3.11%-1.69%$12,200-1.12%$14,736-1.72%$18,771
20117-2.00%1.48%0.22%-2.00%$11,956-0.63%$14,644-0.11%$18,750
20118-5.50%1.06%-5.31%-5.50%$11,298-2.86%$14,225-3.27%$18,136
20119-6.94%0.56%-10.68%-6.94%$10,514-3.80%$13,685-5.62%$17,117
20111010.91%0.28%13.19%10.91%$11,6616.26%$14,5417.75%$18,442
201111-0.41%-0.39%-3.67%-0.41%$11,614-0.40%$14,483-1.50%$18,167
2011121.04%1.32%4.09%1.04%$11,7351.16%$14,6512.14%$18,555
201214.64%1.29%6.60%4.64%$12,2793.30%$15,1344.18%$19,330
201224.34%0.03%-0.69%4.34%$12,8122.65%$15,5361.23%$19,568
201233.22%-0.29%4.48%3.22%$13,2241.88%$15,8272.52%$20,061
20124-0.67%1.12%2.58%-0.67%$13,1360.00%$15,8281.00%$20,261
20125-6.01%1.12%-4.21%-6.01%$12,347-3.31%$15,304-3.16%$19,620
201264.05%0.06%5.36%4.05%$12,8482.47%$15,6823.20%$20,249
201271.18%1.72%2.33%1.18%$13,0001.39%$15,9001.75%$20,604
201282.51%0.08%0.31%2.51%$13,3251.57%$16,1490.97%$20,803
201292.54%0.56%-1.11%2.54%$13,6631.78%$16,4370.65%$20,937
201210-1.82%0.19%-0.59%-1.82%$13,414-1.06%$16,263-0.77%$20,776
2012110.57%0.28%-0.58%0.57%$13,4900.46%$16,3370.08%$20,793
2012120.90%-0.10%2.89%0.90%$13,6120.52%$16,4221.26%$21,056
201315.12%-0.60%4.02%5.12%$14,3092.83%$16,8872.85%$21,655
201321.28%0.41%1.26%1.28%$14,4910.94%$17,0450.99%$21,870
201333.80%0.17%2.87%3.80%$15,0422.40%$17,4552.32%$22,378
201341.92%1.05%5.73%1.92%$15,3301.59%$17,7332.94%$23,036
201352.36%-1.69%-6.49%2.36%$15,6920.84%$17,883-1.98%$22,581
20136-1.34%-1.97%-2.40%-1.34%$15,483-1.57%$17,602-1.89%$22,155
201375.17%0.34%0.24%5.17%$16,2833.41%$18,2032.05%$22,608
20138-3.00%-0.69%-6.53%-3.00%$15,795-2.18%$17,805-3.45%$21,829
201393.17%1.01%3.46%3.17%$16,2952.39%$18,2322.58%$22,393
2013104.63%1.00%3.73%4.63%$17,0493.35%$18,8423.23%$23,116
2013112.96%-0.30%-4.64%2.96%$17,5551.84%$19,189-0.44%$23,014
2013122.59%-0.42%0.90%2.59%$18,0091.57%$19,4911.17%$23,283
20141-3.52%1.40%3.44%-3.52%$17,375-1.55%$19,1880.44%$23,385
201424.55%0.85%4.75%4.55%$18,1653.03%$19,7693.38%$24,174
201430.83%-0.16%0.14%0.83%$18,3160.43%$19,8540.26%$24,238
201440.70%0.85%3.03%0.70%$18,4440.76%$20,0051.56%$24,616
201452.32%1.23%2.80%2.32%$18,8721.88%$20,3812.13%$25,141
201462.06%0.07%1.01%2.06%$19,2611.27%$20,6401.05%$25,405
20147-1.34%-0.42%-0.11%-1.34%$19,002-0.98%$20,438-0.61%$25,249
201483.95%1.23%3.47%3.95%$19,7522.87%$21,0242.91%$25,984
20149-1.38%-0.93%-5.89%-1.38%$19,480-1.20%$20,771-2.85%$25,243
2014102.36%0.98%8.35%2.36%$19,9391.82%$21,1483.99%$26,251
2014112.75%0.60%2.72%2.75%$20,4861.92%$21,5542.07%$26,795
201412-0.26%-0.02%0.81%-0.26%$20,434-0.16%$21,5180.21%$26,850
20151-2.96%1.88%5.71%-2.96%$19,828-1.03%$21,2971.54%$27,264
201525.62%-0.54%-2.60%5.62%$20,9433.09%$21,9550.71%$27,458
20153-1.57%0.22%1.09%-1.57%$20,613-0.86%$21,766-0.09%$27,434
201540.98%-0.16%-4.82%0.98%$20,8160.52%$21,880-1.36%$27,060
201551.29%-0.27%-0.33%1.29%$21,0830.66%$22,0250.23%$27,123
20156-2.03%-1.29%-4.39%-2.03%$20,656-1.74%$21,643-2.55%$26,430
201572.26%0.50%4.94%2.26%$21,1221.56%$21,9802.52%$27,097
20158-6.10%-0.66%-5.80%-6.10%$19,835-3.96%$21,110-4.20%$25,959
20159-2.54%0.01%1.60%-2.54%$19,330-1.51%$20,792-0.34%$25,872
2015108.51%0.50%6.23%8.51%$20,9755.20%$21,8745.00%$27,166
2015110.37%-0.67%-0.20%0.37%$21,051-0.04%$21,865-0.16%$27,121
201512-1.72%-1.07%1.10%-1.72%$20,690-1.46%$21,545-0.57%$26,968
20161-4.98%0.63%-4.10%-4.98%$19,660-2.73%$20,956-2.82%$26,208
20162-0.08%0.62%-0.75%-0.08%$19,6430.21%$20,999-0.06%$26,192
201636.72%1.93%10.26%6.72%$20,9644.73%$21,9936.22%$27,820
201640.39%1.11%-1.67%0.39%$21,0470.69%$22,144-0.07%$27,802
201651.70%-0.04%2.21%1.70%$21,4051.00%$22,3641.28%$28,159
201660.35%1.87%6.24%0.35%$21,4800.96%$22,5802.84%$28,959
201673.65%1.08%3.65%3.65%$22,2632.61%$23,1682.80%$29,770
201680.12%0.45%-3.35%0.12%$22,2900.25%$23,227-0.99%$29,476
201690.01%0.06%-1.47%0.01%$22,2920.03%$23,233-0.48%$29,334
201610-1.73%-0.56%-4.96%-1.73%$21,905-1.26%$22,940-2.44%$28,619
2016113.68%-2.34%-2.34%3.68%$22,7121.25%$23,227-0.33%$28,523
2016122.03%0.45%4.25%2.03%$23,1731.41%$23,5562.23%$29,158

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value46.49%25.19%29.51%
Large-cap Growth52.06%34.68%14.60%
Mid-cap Value0.00%0.39%20.02%
Mid-cap Growth0.92%0.73%0.07%
Small-cap Value0.00%0.00%3.76%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%3.13%
Emerging Markets0.04%0.95%0.90%
Intermediate Treasuries0.00%4.06%0.00%
Long Treasuries0.00%0.26%13.59%
Corporate Bonds0.50%10.20%14.42%
Cash0.00%23.54%0.00%
Style analysis based on monthly returns from Apr 2005 to Dec 2016.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
SPYSPDR S&P 500 ETFLarge Blend100.00%$13,173100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
SPYSPDR S&P 500 ETFLarge Blend60.00%$9,81195.00%Asset Allocation, Capitalization, Sector
FBNDXFidelity Investment Grade BondIntermediate-Term Bond40.00%$3,7455.00%Asset Allocation, Credit Quality, Maturity

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
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
SPYSPDR S&P 500 ETFLarge Blend33.34%$6,90136.68%Asset Allocation, Capitalization, Sector
FBNDXFidelity Investment Grade BondIntermediate-Term Bond33.33%$3,6924.52%Asset Allocation, Credit Quality, Maturity
IYRiShares US Real Estate ETFReal Estate33.33%$8,56558.80%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 04/04/2018. © 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
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
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 returns.

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
RankDrawdown StartDrawdown EndDrawdown LengthRecovery 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%
11Feb 2007Feb 20071 monthApr 20072 months3 months-1.96%
12Oct 2012Oct 20121 monthJan 20133 months4 months-1.82%
13Oct 2016Oct 20161 monthNov 20161 month2 months-1.73%
14Mar 2015Mar 20151 monthMay 20152 months3 months-1.57%
15Sep 2014Sep 20141 monthOct 20141 month2 months-1.38%
16Jul 2014Jul 20141 monthAug 20141 month2 months-1.34%
17Jun 2013Jun 20131 monthJul 20131 month2 months-1.34%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery 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%
11Oct 2005Oct 20051 monthNov 20051 month2 months-1.72%
12Jun 2013Jun 20131 monthJul 20131 month2 months-1.57%
13Jan 2014Jan 20141 monthFeb 20141 month2 months-1.55%
14Oct 2016Oct 20161 monthDec 20162 months3 months-1.26%
15Sep 2014Sep 20141 monthOct 20141 month2 months-1.20%
16Dec 2014Jan 20152 monthsFeb 20151 month3 months-1.19%
17Oct 2012Oct 20121 monthJan 20133 months4 months-1.06%
18Jul 2014Jul 20141 monthAug 20141 month2 months-0.98%
19Mar 2015Mar 20151 monthMay 20152 months3 months-0.86%
20Feb 2007Feb 20071 monthMar 20071 month2 months-0.66%
21Aug 2005Aug 20051 monthSep 20051 month2 months-0.12%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankDrawdown StartDrawdown EndDrawdown LengthRecovery 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%
11Jan 2005Mar 20053 monthsMay 20052 months5 months-3.41%
12May 2012May 20121 monthJul 20122 months3 months-3.16%
13Apr 2006May 20062 monthsJul 20062 months4 months-2.96%
14Sep 2014Sep 20141 monthOct 20141 month2 months-2.85%
15Feb 2007Mar 20072 monthsMay 20072 months4 months-1.96%
16Oct 2012Oct 20121 monthDec 20122 months3 months-0.77%
17Jul 2014Jul 20141 monthAug 20141 month2 months-0.61%
18Nov 2013Nov 20131 monthDec 20131 month2 months-0.44%
19Dec 2006Dec 20061 monthJan 20071 month2 months-0.39%
20Mar 2011Mar 20111 monthApr 20111 month2 months-0.33%
21Apr 2016Apr 20161 monthMay 20161 month2 months-0.07%

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