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.
| Ticker | Name | Allocation |
|---|---|---|
| Save portfolio » | ||
| SPY | SPDR S&P 500 | 100.00% |
| Ticker | Name | Allocation |
|---|---|---|
| Save portfolio » | ||
| SPY | SPDR S&P 500 | 60.00% |
| FBNDX | Fidelity Investment Grade Bond | 40.00% |
| Ticker | Name | Allocation |
|---|---|---|
| Save portfolio » | ||
| SPY | SPDR S&P 500 | 33.34% |
| FBNDX | Fidelity Investment Grade Bond | 33.33% |
| IYR | iShares U.S. Real Estate ETF | 33.33% |
| # | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| 1 | $10,000 | $23,173 | 5.39% | 14.73% | 32.31% | -36.81% | -50.80% | 0.34 | 0.48 | 0.99 |
| 2 | $10,000 | $23,556 | 5.50% | 8.91% | 22.23% | -24.93% | -34.75% | 0.49 | 0.71 | 0.98 |
| 3 | $10,000 | $29,158 | 6.92% | 11.19% | 24.28% | -27.93% | -44.51% | 0.53 | 0.75 | 0.86 |
| Year | Inflation | SPDR S&P 500 (SPY) | Fidelity Investment Grade Bond (FBNDX) | iShares U.S. Real Estate ETF (IYR) | PF #1 Return | PF #1 Inflation Adjusted Return | PF #1 Year End Balance | PF #2 Return | PF #2 Inflation Adjusted Return | PF #2 Year End Balance | PF #3 Return | PF #3 Inflation Adjusted Return | PF #3 Year End Balance |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | 1.55% | -11.75% | 8.65% | 8.33% | -11.75% | -13.10% | $8,825 | -3.59% | -5.06% | $9,641 | 1.74% | 0.19% | $10,174 |
| 2002 | 2.38% | -21.59% | 9.44% | 3.45% | -21.59% | -23.41% | $6,920 | -9.18% | -11.29% | $8,756 | -2.90% | -5.16% | $9,879 |
| 2003 | 1.88% | 28.18% | 4.77% | 35.37% | 28.18% | 25.81% | $8,869 | 18.81% | 16.62% | $10,403 | 22.77% | 20.51% | $12,128 |
| 2004 | 3.26% | 10.70% | 4.60% | 30.15% | 10.70% | 7.21% | $9,819 | 8.26% | 4.85% | $11,263 | 15.15% | 11.52% | $13,966 |
| 2005 | 3.42% | 4.83% | 2.87% | 8.94% | 4.83% | 1.36% | $10,293 | 4.05% | 0.61% | $11,718 | 5.55% | 2.06% | $14,741 |
| 2006 | 2.54% | 15.85% | 4.94% | 34.91% | 15.85% | 12.98% | $11,924 | 11.48% | 8.72% | $13,064 | 18.57% | 15.63% | $17,477 |
| 2007 | 4.08% | 5.14% | 2.93% | -18.12% | 5.14% | 1.01% | $12,536 | 4.25% | 0.16% | $13,620 | -3.35% | -7.14% | $16,892 |
| 2008 | 0.09% | -36.81% | -7.12% | -39.88% | -36.81% | -36.86% | $7,922 | -24.93% | -25.00% | $10,224 | -27.93% | -28.00% | $12,173 |
| 2009 | 2.72% | 26.36% | 16.02% | 30.46% | 26.36% | 23.02% | $10,010 | 22.23% | 18.99% | $12,497 | 24.28% | 20.99% | $15,129 |
| 2010 | 1.50% | 15.06% | 8.43% | 26.58% | 15.06% | 13.36% | $11,518 | 12.41% | 10.75% | $14,047 | 16.69% | 14.97% | $17,654 |
| 2011 | 2.96% | 1.89% | 7.91% | 5.52% | 1.89% | -1.04% | $11,735 | 4.30% | 1.30% | $14,651 | 5.11% | 2.08% | $18,555 |
| 2012 | 1.74% | 15.99% | 6.23% | 18.21% | 15.99% | 14.01% | $13,612 | 12.09% | 10.17% | $16,422 | 13.48% | 11.53% | $21,056 |
| 2013 | 1.50% | 32.31% | -1.74% | 1.16% | 32.31% | 30.35% | $18,009 | 18.69% | 16.93% | $19,491 | 10.58% | 8.94% | $23,283 |
| 2014 | 0.76% | 13.46% | 5.81% | 26.69% | 13.46% | 12.61% | $20,434 | 10.40% | 9.57% | $21,518 | 15.32% | 14.45% | $26,850 |
| 2015 | 0.73% | 1.25% | -1.57% | 1.63% | 1.25% | 0.52% | $20,690 | 0.12% | -0.60% | $21,545 | 0.44% | -0.29% | $26,968 |
| 2016 | 2.07% | 12.00% | 5.33% | 7.03% | 12.00% | 9.72% | $23,173 | 9.33% | 7.11% | $23,556 | 8.12% | 5.92% | $29,158 |
| Year | Month | SPDR S&P 500 (SPY) | Fidelity Investment Grade Bond (FBNDX) | iShares U.S. Real Estate ETF (IYR) | PF #1 Return | PF #1 Month End Balance | PF #2 Return | PF #2 Month End Balance | PF #3 Return | PF #3 Month End Balance |
|---|---|---|---|---|---|---|---|---|---|---|
| 2001 | 1 | 4.45% | 1.64% | 0.46% | 4.45% | $10,445 | 3.32% | $10,332 | 2.18% | $10,218 |
| 2001 | 2 | -9.54% | 0.91% | -1.38% | -9.54% | $9,448 | -5.43% | $9,772 | -3.40% | $9,871 |
| 2001 | 3 | -5.60% | 0.38% | -0.12% | -5.60% | $8,919 | -3.09% | $9,470 | -1.70% | $9,704 |
| 2001 | 4 | 8.54% | -0.62% | 3.23% | 8.54% | $9,681 | 4.56% | $9,902 | 3.50% | $10,043 |
| 2001 | 5 | -0.56% | 0.76% | 2.29% | -0.56% | $9,627 | -0.02% | $9,900 | 0.85% | $10,129 |
| 2001 | 6 | -2.38% | 0.33% | 5.07% | -2.38% | $9,398 | -1.25% | $9,776 | 1.10% | $10,240 |
| 2001 | 7 | -1.02% | 2.29% | -1.72% | -1.02% | $9,302 | 0.38% | $9,814 | -0.16% | $10,224 |
| 2001 | 8 | -5.93% | 1.14% | 2.71% | -5.93% | $8,750 | -2.88% | $9,531 | -0.45% | $10,178 |
| 2001 | 9 | -8.16% | 1.10% | -4.62% | -8.16% | $8,036 | -4.00% | $9,150 | -3.63% | $9,808 |
| 2001 | 10 | 1.30% | 2.05% | -5.84% | 1.30% | $8,141 | 1.65% | $9,301 | -0.99% | $9,711 |
| 2001 | 11 | 7.80% | -1.18% | 6.56% | 7.80% | $8,775 | 3.53% | $9,630 | 3.97% | $10,097 |
| 2001 | 12 | 0.56% | -0.42% | 2.15% | 0.56% | $8,825 | 0.12% | $9,641 | 0.76% | $10,174 |
| 2002 | 1 | -0.98% | 0.68% | 0.11% | -0.98% | $8,738 | -0.31% | $9,611 | -0.06% | $10,168 |
| 2002 | 2 | -1.79% | 0.90% | 1.98% | -1.79% | $8,582 | -0.71% | $9,543 | 0.37% | $10,205 |
| 2002 | 3 | 3.32% | -1.76% | 6.06% | 3.32% | $8,867 | 1.24% | $9,661 | 2.53% | $10,464 |
| 2002 | 4 | -5.82% | 1.65% | 0.29% | -5.82% | $8,351 | -2.84% | $9,386 | -1.26% | $10,332 |
| 2002 | 5 | -0.59% | 0.80% | 1.93% | -0.59% | $8,302 | -0.01% | $9,385 | 0.77% | $10,412 |
| 2002 | 6 | -7.38% | 0.36% | 1.60% | -7.38% | $7,689 | -4.12% | $8,998 | -1.56% | $10,249 |
| 2002 | 7 | -7.88% | 0.64% | -4.71% | -7.88% | $7,083 | -4.13% | $8,626 | -3.81% | $9,859 |
| 2002 | 8 | 0.68% | 2.25% | 0.36% | 0.68% | $7,131 | 1.41% | $8,747 | 1.12% | $9,969 |
| 2002 | 9 | -10.49% | 1.14% | -4.94% | -10.49% | $6,384 | -5.07% | $8,303 | -4.28% | $9,542 |
| 2002 | 10 | 8.23% | -0.33% | -4.04% | 8.23% | $6,909 | 3.98% | $8,634 | 0.52% | $9,592 |
| 2002 | 11 | 6.17% | 0.56% | 4.84% | 6.17% | $7,335 | 3.50% | $8,936 | 3.60% | $9,937 |
| 2002 | 12 | -5.66% | 2.23% | 0.59% | -5.66% | $6,920 | -2.02% | $8,756 | -0.58% | $9,879 |
| 2003 | 1 | -2.46% | 0.15% | -3.69% | -2.46% | $6,749 | -1.42% | $8,632 | -2.00% | $9,681 |
| 2003 | 2 | -1.35% | 1.45% | 1.93% | -1.35% | $6,659 | -0.21% | $8,614 | 0.68% | $9,747 |
| 2003 | 3 | 0.21% | 0.14% | 1.94% | 0.21% | $6,672 | 0.18% | $8,629 | 0.76% | $9,821 |
| 2003 | 4 | 8.46% | 1.03% | 3.60% | 8.46% | $7,237 | 5.39% | $9,094 | 4.30% | $10,243 |
| 2003 | 5 | 5.48% | 1.68% | 6.22% | 5.48% | $7,634 | 3.98% | $9,456 | 4.47% | $10,701 |
| 2003 | 6 | 1.07% | -0.10% | 1.77% | 1.07% | $7,715 | 0.62% | $9,514 | 0.93% | $10,801 |
| 2003 | 7 | 1.80% | -3.41% | 5.50% | 1.80% | $7,854 | -0.20% | $9,495 | 1.41% | $10,953 |
| 2003 | 8 | 2.06% | 0.81% | 0.84% | 2.06% | $8,016 | 1.60% | $9,647 | 1.25% | $11,089 |
| 2003 | 9 | -1.09% | 2.71% | 2.94% | -1.09% | $7,929 | 0.31% | $9,677 | 1.49% | $11,254 |
| 2003 | 10 | 5.35% | -0.91% | 1.74% | 5.35% | $8,353 | 2.99% | $9,966 | 2.14% | $11,495 |
| 2003 | 11 | 1.09% | 0.25% | 4.34% | 1.09% | $8,444 | 0.78% | $10,044 | 2.00% | $11,726 |
| 2003 | 12 | 5.03% | 1.00% | 3.88% | 5.03% | $8,869 | 3.57% | $10,403 | 3.44% | $12,128 |
| 2004 | 1 | 1.98% | 0.82% | 4.07% | 1.98% | $9,045 | 1.51% | $10,561 | 2.29% | $12,406 |
| 2004 | 2 | 1.36% | 0.92% | 1.80% | 1.36% | $9,167 | 1.18% | $10,686 | 1.36% | $12,575 |
| 2004 | 3 | -1.32% | 0.83% | 5.41% | -1.32% | $9,046 | -0.47% | $10,636 | 1.67% | $12,786 |
| 2004 | 4 | -1.89% | -2.46% | -14.94% | -1.89% | $8,875 | -2.12% | $10,410 | -6.68% | $11,931 |
| 2004 | 5 | 1.71% | -0.41% | 6.81% | 1.71% | $9,027 | 0.86% | $10,500 | 2.63% | $12,245 |
| 2004 | 6 | 1.85% | 0.55% | 2.90% | 1.85% | $9,194 | 1.34% | $10,640 | 1.78% | $12,463 |
| 2004 | 7 | -3.22% | 1.08% | 0.27% | -3.22% | $8,898 | -1.54% | $10,477 | -0.64% | $12,383 |
| 2004 | 8 | 0.24% | 1.88% | 8.24% | 0.24% | $8,920 | 0.90% | $10,571 | 3.52% | $12,818 |
| 2004 | 9 | 1.00% | 0.27% | -0.41% | 1.00% | $9,009 | 0.70% | $10,646 | 0.26% | $12,851 |
| 2004 | 10 | 1.29% | 0.82% | 5.14% | 1.29% | $9,125 | 1.10% | $10,762 | 2.50% | $13,173 |
| 2004 | 11 | 4.45% | -0.64% | 4.25% | 4.45% | $9,531 | 2.40% | $11,020 | 2.75% | $13,535 |
| 2004 | 12 | 3.02% | 0.93% | 5.22% | 3.02% | $9,819 | 2.20% | $11,263 | 3.18% | $13,966 |
| 2005 | 1 | -2.24% | 0.68% | -8.52% | -2.24% | $9,599 | -1.07% | $11,142 | -3.36% | $13,496 |
| 2005 | 2 | 2.09% | -0.53% | 3.34% | 2.09% | $9,799 | 1.03% | $11,256 | 1.57% | $13,709 |
| 2005 | 3 | -1.83% | -0.50% | -2.54% | -1.83% | $9,620 | -1.29% | $11,110 | -1.60% | $13,489 |
| 2005 | 4 | -1.87% | 1.11% | 5.62% | -1.87% | $9,440 | -0.67% | $11,036 | 1.54% | $13,696 |
| 2005 | 5 | 3.22% | 1.11% | 3.75% | 3.22% | $9,744 | 2.35% | $11,296 | 2.67% | $14,062 |
| 2005 | 6 | 0.15% | 0.48% | 4.49% | 0.15% | $9,759 | 0.28% | $11,328 | 1.71% | $14,303 |
| 2005 | 7 | 3.83% | -0.61% | 6.60% | 3.83% | $10,132 | 2.02% | $11,557 | 3.30% | $14,775 |
| 2005 | 8 | -0.94% | 1.14% | -4.29% | -0.94% | $10,037 | -0.12% | $11,543 | -1.46% | $14,559 |
| 2005 | 9 | 0.80% | -0.88% | 0.09% | 0.80% | $10,117 | 0.13% | $11,558 | 0.00% | $14,560 |
| 2005 | 10 | -2.37% | -0.74% | -3.07% | -2.37% | $9,878 | -1.72% | $11,359 | -2.08% | $14,257 |
| 2005 | 11 | 4.40% | 0.48% | 4.74% | 4.40% | $10,312 | 2.82% | $11,680 | 3.22% | $14,716 |
| 2005 | 12 | -0.19% | 1.14% | -0.39% | -0.19% | $10,293 | 0.33% | $11,718 | 0.17% | $14,741 |
| 2006 | 1 | 2.40% | 0.06% | 7.30% | 2.40% | $10,540 | 1.46% | $11,890 | 3.25% | $15,220 |
| 2006 | 2 | 0.57% | 0.31% | 1.77% | 0.57% | $10,600 | 0.47% | $11,946 | 0.90% | $15,357 |
| 2006 | 3 | 1.65% | -0.75% | 5.57% | 1.65% | $10,775 | 0.70% | $12,030 | 2.25% | $15,703 |
| 2006 | 4 | 1.26% | -0.08% | -3.27% | 1.26% | $10,911 | 0.74% | $12,119 | -0.79% | $15,579 |
| 2006 | 5 | -3.01% | -0.07% | -3.31% | -3.01% | $10,583 | -1.88% | $11,891 | -2.19% | $15,238 |
| 2006 | 6 | 0.26% | 0.08% | 4.60% | 0.26% | $10,610 | 0.19% | $11,914 | 1.71% | $15,499 |
| 2006 | 7 | 0.45% | 1.49% | 3.65% | 0.45% | $10,658 | 0.86% | $12,016 | 1.92% | $15,797 |
| 2006 | 8 | 2.18% | 1.49% | 2.98% | 2.18% | $10,891 | 1.91% | $12,245 | 2.25% | $16,153 |
| 2006 | 9 | 2.70% | 0.93% | 2.38% | 2.70% | $11,184 | 2.01% | $12,491 | 2.03% | $16,481 |
| 2006 | 10 | 3.15% | 0.68% | 6.48% | 3.15% | $11,537 | 2.19% | $12,765 | 3.61% | $17,076 |
| 2006 | 11 | 1.99% | 1.21% | 4.63% | 1.99% | $11,766 | 1.69% | $12,981 | 2.75% | $17,546 |
| 2006 | 12 | 1.34% | -0.49% | -1.76% | 1.34% | $11,924 | 0.64% | $13,064 | -0.39% | $17,477 |
| 2007 | 1 | 1.50% | -0.00% | 9.66% | 1.50% | $12,103 | 0.90% | $13,182 | 3.72% | $18,127 |
| 2007 | 2 | -1.96% | 1.33% | -3.58% | -1.96% | $11,866 | -0.66% | $13,095 | -1.47% | $17,860 |
| 2007 | 3 | 1.16% | 0.00% | -2.53% | 1.16% | $12,003 | 0.69% | $13,186 | -0.49% | $17,772 |
| 2007 | 4 | 4.43% | 0.54% | 0.29% | 4.43% | $12,535 | 2.87% | $13,564 | 1.74% | $18,081 |
| 2007 | 5 | 3.39% | -0.67% | 0.15% | 3.39% | $12,960 | 1.80% | $13,808 | 0.98% | $18,258 |
| 2007 | 6 | -1.46% | -0.55% | -8.71% | -1.46% | $12,770 | -1.11% | $13,654 | -3.56% | $17,608 |
| 2007 | 7 | -3.13% | 0.28% | -9.07% | -3.13% | $12,371 | -1.82% | $13,406 | -3.85% | $16,930 |
| 2007 | 8 | 1.28% | -0.13% | 5.26% | 1.28% | $12,529 | 0.73% | $13,504 | 1.97% | $17,263 |
| 2007 | 9 | 3.87% | 0.85% | 4.14% | 3.87% | $13,014 | 2.69% | $13,867 | 2.92% | $17,768 |
| 2007 | 10 | 1.36% | 0.01% | 0.76% | 1.36% | $13,191 | 0.84% | $13,984 | 0.72% | $17,897 |
| 2007 | 11 | -3.87% | 0.82% | -9.12% | -3.87% | $12,680 | -2.09% | $13,691 | -3.94% | $17,191 |
| 2007 | 12 | -1.13% | 0.42% | -5.07% | -1.13% | $12,536 | -0.52% | $13,620 | -1.74% | $16,892 |
| 2008 | 1 | -6.05% | 1.11% | 0.11% | -6.05% | $11,778 | -3.18% | $13,186 | -1.61% | $16,620 |
| 2008 | 2 | -2.58% | -0.46% | -4.20% | -2.58% | $11,474 | -1.70% | $12,962 | -2.40% | $16,220 |
| 2008 | 3 | -0.90% | -1.15% | 4.46% | -0.90% | $11,370 | -1.01% | $12,831 | 0.79% | $16,349 |
| 2008 | 4 | 4.77% | -0.06% | 5.81% | 4.77% | $11,912 | 2.73% | $13,181 | 3.47% | $16,916 |
| 2008 | 5 | 1.51% | -0.33% | 0.81% | 1.51% | $12,092 | 0.76% | $13,281 | 0.66% | $17,028 |
| 2008 | 6 | -8.35% | -0.05% | -11.57% | -8.35% | $11,082 | -4.98% | $12,620 | -6.77% | $15,875 |
| 2008 | 7 | -0.90% | -0.63% | 2.47% | -0.90% | $10,983 | -0.78% | $12,521 | 0.32% | $15,926 |
| 2008 | 8 | 1.55% | 0.39% | 1.81% | 1.55% | $11,153 | 1.05% | $12,652 | 1.24% | $16,123 |
| 2008 | 9 | -9.44% | -2.67% | -1.07% | -9.44% | $10,100 | -6.56% | $11,823 | -4.22% | $15,442 |
| 2008 | 10 | -16.52% | -5.27% | -31.32% | -16.52% | $8,432 | -11.54% | $10,459 | -17.84% | $12,688 |
| 2008 | 11 | -6.96% | -0.99% | -21.55% | -6.96% | $7,845 | -4.13% | $10,027 | -8.88% | $11,560 |
| 2008 | 12 | 0.98% | 2.99% | 14.41% | 0.98% | $7,922 | 1.96% | $10,224 | 5.30% | $12,173 |
| 2009 | 1 | -8.21% | 0.75% | -15.82% | -8.21% | $7,271 | -4.63% | $9,751 | -7.76% | $11,228 |
| 2009 | 2 | -10.74% | -0.53% | -19.78% | -10.74% | $6,490 | -6.43% | $9,124 | -9.78% | $10,131 |
| 2009 | 3 | 8.35% | 1.39% | 3.52% | 8.35% | $7,032 | 5.22% | $9,601 | 4.25% | $10,561 |
| 2009 | 4 | 9.93% | 1.82% | 29.62% | 9.93% | $7,730 | 6.42% | $10,217 | 12.05% | $11,834 |
| 2009 | 5 | 5.85% | 2.56% | 2.27% | 5.85% | $8,182 | 4.49% | $10,676 | 3.57% | $12,257 |
| 2009 | 6 | -0.07% | 1.28% | -2.51% | -0.07% | $8,177 | 0.48% | $10,727 | -0.34% | $12,215 |
| 2009 | 7 | 7.46% | 2.59% | 10.58% | 7.46% | $8,787 | 5.47% | $11,313 | 6.66% | $13,028 |
| 2009 | 8 | 3.69% | 1.68% | 13.19% | 3.69% | $9,111 | 2.89% | $11,640 | 5.96% | $13,804 |
| 2009 | 9 | 3.55% | 1.78% | 6.06% | 3.55% | $9,434 | 2.85% | $11,972 | 3.80% | $14,329 |
| 2009 | 10 | -1.92% | 1.18% | -4.97% | -1.92% | $9,253 | -0.71% | $11,887 | -1.95% | $14,049 |
| 2009 | 11 | 6.16% | 1.44% | 7.08% | 6.16% | $9,823 | 4.28% | $12,396 | 4.89% | $14,736 |
| 2009 | 12 | 1.91% | -0.92% | 6.89% | 1.91% | $10,010 | 0.81% | $12,497 | 2.67% | $15,129 |
| 2010 | 1 | -3.63% | 1.72% | -5.42% | -3.63% | $9,647 | -1.49% | $12,310 | -2.44% | $14,759 |
| 2010 | 2 | 3.12% | 0.41% | 5.46% | 3.12% | $9,948 | 2.00% | $12,557 | 2.93% | $15,192 |
| 2010 | 3 | 6.09% | 0.28% | 9.75% | 6.09% | $10,553 | 3.73% | $13,025 | 5.33% | $16,002 |
| 2010 | 4 | 1.55% | 1.39% | 6.39% | 1.55% | $10,717 | 1.48% | $13,218 | 3.17% | $16,509 |
| 2010 | 5 | -7.95% | 0.42% | -5.68% | -7.95% | $9,865 | -4.66% | $12,602 | -4.49% | $15,768 |
| 2010 | 6 | -5.17% | 1.53% | -4.65% | -5.17% | $9,355 | -2.40% | $12,299 | -2.76% | $15,333 |
| 2010 | 7 | 6.83% | 1.11% | 9.40% | 6.83% | $9,994 | 4.37% | $12,837 | 5.73% | $16,211 |
| 2010 | 8 | -4.50% | 1.34% | -1.30% | -4.50% | $9,544 | -2.06% | $12,572 | -1.41% | $15,982 |
| 2010 | 9 | 8.96% | 0.43% | 4.65% | 8.96% | $10,399 | 5.28% | $13,235 | 4.50% | $16,701 |
| 2010 | 10 | 3.82% | 0.79% | 3.93% | 3.82% | $10,796 | 2.57% | $13,576 | 2.86% | $17,180 |
| 2010 | 11 | 0.00% | -0.69% | -1.58% | 0.00% | $10,796 | -0.28% | $13,538 | -0.79% | $17,043 |
| 2010 | 12 | 6.68% | -0.58% | 4.57% | 6.68% | $11,518 | 3.76% | $14,047 | 3.58% | $17,654 |
| 2011 | 1 | 2.33% | 0.37% | 3.57% | 2.33% | $11,786 | 1.55% | $14,264 | 2.09% | $18,023 |
| 2011 | 2 | 3.47% | 0.50% | 4.52% | 3.47% | $12,196 | 2.30% | $14,592 | 2.85% | $18,538 |
| 2011 | 3 | 0.01% | 0.12% | -1.10% | 0.01% | $12,197 | 0.05% | $14,600 | -0.33% | $18,476 |
| 2011 | 4 | 2.90% | 1.49% | 4.66% | 2.90% | $12,550 | 2.35% | $14,943 | 3.05% | $19,038 |
| 2011 | 5 | -1.12% | 1.10% | 1.01% | -1.12% | $12,409 | -0.27% | $14,903 | 0.32% | $19,099 |
| 2011 | 6 | -1.69% | -0.24% | -3.11% | -1.69% | $12,200 | -1.12% | $14,736 | -1.72% | $18,771 |
| 2011 | 7 | -2.00% | 1.48% | 0.22% | -2.00% | $11,956 | -0.63% | $14,644 | -0.11% | $18,750 |
| 2011 | 8 | -5.50% | 1.06% | -5.31% | -5.50% | $11,298 | -2.86% | $14,225 | -3.27% | $18,136 |
| 2011 | 9 | -6.94% | 0.56% | -10.68% | -6.94% | $10,514 | -3.80% | $13,685 | -5.62% | $17,117 |
| 2011 | 10 | 10.91% | 0.28% | 13.19% | 10.91% | $11,661 | 6.26% | $14,541 | 7.75% | $18,442 |
| 2011 | 11 | -0.41% | -0.39% | -3.67% | -0.41% | $11,614 | -0.40% | $14,483 | -1.50% | $18,167 |
| 2011 | 12 | 1.04% | 1.32% | 4.09% | 1.04% | $11,735 | 1.16% | $14,651 | 2.14% | $18,555 |
| 2012 | 1 | 4.64% | 1.29% | 6.60% | 4.64% | $12,279 | 3.30% | $15,134 | 4.18% | $19,330 |
| 2012 | 2 | 4.34% | 0.03% | -0.69% | 4.34% | $12,812 | 2.65% | $15,536 | 1.23% | $19,568 |
| 2012 | 3 | 3.22% | -0.29% | 4.48% | 3.22% | $13,224 | 1.88% | $15,827 | 2.52% | $20,061 |
| 2012 | 4 | -0.67% | 1.12% | 2.58% | -0.67% | $13,136 | 0.00% | $15,828 | 1.00% | $20,261 |
| 2012 | 5 | -6.01% | 1.12% | -4.21% | -6.01% | $12,347 | -3.31% | $15,304 | -3.16% | $19,620 |
| 2012 | 6 | 4.05% | 0.06% | 5.36% | 4.05% | $12,848 | 2.47% | $15,682 | 3.20% | $20,249 |
| 2012 | 7 | 1.18% | 1.72% | 2.33% | 1.18% | $13,000 | 1.39% | $15,900 | 1.75% | $20,604 |
| 2012 | 8 | 2.51% | 0.08% | 0.31% | 2.51% | $13,325 | 1.57% | $16,149 | 0.97% | $20,803 |
| 2012 | 9 | 2.54% | 0.56% | -1.11% | 2.54% | $13,663 | 1.78% | $16,437 | 0.65% | $20,937 |
| 2012 | 10 | -1.82% | 0.19% | -0.59% | -1.82% | $13,414 | -1.06% | $16,263 | -0.77% | $20,776 |
| 2012 | 11 | 0.57% | 0.28% | -0.58% | 0.57% | $13,490 | 0.46% | $16,337 | 0.08% | $20,793 |
| 2012 | 12 | 0.90% | -0.10% | 2.89% | 0.90% | $13,612 | 0.52% | $16,422 | 1.26% | $21,056 |
| 2013 | 1 | 5.12% | -0.60% | 4.02% | 5.12% | $14,309 | 2.83% | $16,887 | 2.85% | $21,655 |
| 2013 | 2 | 1.28% | 0.41% | 1.26% | 1.28% | $14,491 | 0.94% | $17,045 | 0.99% | $21,870 |
| 2013 | 3 | 3.80% | 0.17% | 2.87% | 3.80% | $15,042 | 2.40% | $17,455 | 2.32% | $22,378 |
| 2013 | 4 | 1.92% | 1.05% | 5.73% | 1.92% | $15,330 | 1.59% | $17,733 | 2.94% | $23,036 |
| 2013 | 5 | 2.36% | -1.69% | -6.49% | 2.36% | $15,692 | 0.84% | $17,883 | -1.98% | $22,581 |
| 2013 | 6 | -1.34% | -1.97% | -2.40% | -1.34% | $15,483 | -1.57% | $17,602 | -1.89% | $22,155 |
| 2013 | 7 | 5.17% | 0.34% | 0.24% | 5.17% | $16,283 | 3.41% | $18,203 | 2.05% | $22,608 |
| 2013 | 8 | -3.00% | -0.69% | -6.53% | -3.00% | $15,795 | -2.18% | $17,805 | -3.45% | $21,829 |
| 2013 | 9 | 3.17% | 1.01% | 3.46% | 3.17% | $16,295 | 2.39% | $18,232 | 2.58% | $22,393 |
| 2013 | 10 | 4.63% | 1.00% | 3.73% | 4.63% | $17,049 | 3.35% | $18,842 | 3.23% | $23,116 |
| 2013 | 11 | 2.96% | -0.30% | -4.64% | 2.96% | $17,555 | 1.84% | $19,189 | -0.44% | $23,014 |
| 2013 | 12 | 2.59% | -0.42% | 0.90% | 2.59% | $18,009 | 1.57% | $19,491 | 1.17% | $23,283 |
| 2014 | 1 | -3.52% | 1.40% | 3.44% | -3.52% | $17,375 | -1.55% | $19,188 | 0.44% | $23,385 |
| 2014 | 2 | 4.55% | 0.85% | 4.75% | 4.55% | $18,165 | 3.03% | $19,769 | 3.38% | $24,174 |
| 2014 | 3 | 0.83% | -0.16% | 0.14% | 0.83% | $18,316 | 0.43% | $19,854 | 0.26% | $24,238 |
| 2014 | 4 | 0.70% | 0.85% | 3.03% | 0.70% | $18,444 | 0.76% | $20,005 | 1.56% | $24,616 |
| 2014 | 5 | 2.32% | 1.23% | 2.80% | 2.32% | $18,872 | 1.88% | $20,381 | 2.13% | $25,141 |
| 2014 | 6 | 2.06% | 0.07% | 1.01% | 2.06% | $19,261 | 1.27% | $20,640 | 1.05% | $25,405 |
| 2014 | 7 | -1.34% | -0.42% | -0.11% | -1.34% | $19,002 | -0.98% | $20,438 | -0.61% | $25,249 |
| 2014 | 8 | 3.95% | 1.23% | 3.47% | 3.95% | $19,752 | 2.87% | $21,024 | 2.91% | $25,984 |
| 2014 | 9 | -1.38% | -0.93% | -5.89% | -1.38% | $19,480 | -1.20% | $20,771 | -2.85% | $25,243 |
| 2014 | 10 | 2.36% | 0.98% | 8.35% | 2.36% | $19,939 | 1.82% | $21,148 | 3.99% | $26,251 |
| 2014 | 11 | 2.75% | 0.60% | 2.72% | 2.75% | $20,486 | 1.92% | $21,554 | 2.07% | $26,795 |
| 2014 | 12 | -0.26% | -0.02% | 0.81% | -0.26% | $20,434 | -0.16% | $21,518 | 0.21% | $26,850 |
| 2015 | 1 | -2.96% | 1.88% | 5.71% | -2.96% | $19,828 | -1.03% | $21,297 | 1.54% | $27,264 |
| 2015 | 2 | 5.62% | -0.54% | -2.60% | 5.62% | $20,943 | 3.09% | $21,955 | 0.71% | $27,458 |
| 2015 | 3 | -1.57% | 0.22% | 1.09% | -1.57% | $20,613 | -0.86% | $21,766 | -0.09% | $27,434 |
| 2015 | 4 | 0.98% | -0.16% | -4.82% | 0.98% | $20,816 | 0.52% | $21,880 | -1.36% | $27,060 |
| 2015 | 5 | 1.29% | -0.27% | -0.33% | 1.29% | $21,083 | 0.66% | $22,025 | 0.23% | $27,123 |
| 2015 | 6 | -2.03% | -1.29% | -4.39% | -2.03% | $20,656 | -1.74% | $21,643 | -2.55% | $26,430 |
| 2015 | 7 | 2.26% | 0.50% | 4.94% | 2.26% | $21,122 | 1.56% | $21,980 | 2.52% | $27,097 |
| 2015 | 8 | -6.10% | -0.66% | -5.80% | -6.10% | $19,835 | -3.96% | $21,110 | -4.20% | $25,959 |
| 2015 | 9 | -2.54% | 0.01% | 1.60% | -2.54% | $19,330 | -1.51% | $20,792 | -0.34% | $25,872 |
| 2015 | 10 | 8.51% | 0.50% | 6.23% | 8.51% | $20,975 | 5.20% | $21,874 | 5.00% | $27,166 |
| 2015 | 11 | 0.37% | -0.67% | -0.20% | 0.37% | $21,051 | -0.04% | $21,865 | -0.16% | $27,121 |
| 2015 | 12 | -1.72% | -1.07% | 1.10% | -1.72% | $20,690 | -1.46% | $21,545 | -0.57% | $26,968 |
| 2016 | 1 | -4.98% | 0.63% | -4.10% | -4.98% | $19,660 | -2.73% | $20,956 | -2.82% | $26,208 |
| 2016 | 2 | -0.08% | 0.62% | -0.75% | -0.08% | $19,643 | 0.21% | $20,999 | -0.06% | $26,192 |
| 2016 | 3 | 6.72% | 1.93% | 10.26% | 6.72% | $20,964 | 4.73% | $21,993 | 6.22% | $27,820 |
| 2016 | 4 | 0.39% | 1.11% | -1.67% | 0.39% | $21,047 | 0.69% | $22,144 | -0.07% | $27,802 |
| 2016 | 5 | 1.70% | -0.04% | 2.21% | 1.70% | $21,405 | 1.00% | $22,364 | 1.28% | $28,159 |
| 2016 | 6 | 0.35% | 1.87% | 6.24% | 0.35% | $21,480 | 0.96% | $22,580 | 2.84% | $28,959 |
| 2016 | 7 | 3.65% | 1.08% | 3.65% | 3.65% | $22,263 | 2.61% | $23,168 | 2.80% | $29,770 |
| 2016 | 8 | 0.12% | 0.45% | -3.35% | 0.12% | $22,290 | 0.25% | $23,227 | -0.99% | $29,476 |
| 2016 | 9 | 0.01% | 0.06% | -1.47% | 0.01% | $22,292 | 0.03% | $23,233 | -0.48% | $29,334 |
| 2016 | 10 | -1.73% | -0.56% | -4.96% | -1.73% | $21,905 | -1.26% | $22,940 | -2.44% | $28,619 |
| 2016 | 11 | 3.68% | -2.34% | -2.34% | 3.68% | $22,712 | 1.25% | $23,227 | -0.33% | $28,523 |
| 2016 | 12 | 2.03% | 0.45% | 4.25% | 2.03% | $23,173 | 1.41% | $23,556 | 2.23% | $29,158 |
| Metric | Portfolio #1 | Portfolio #2 | Portfolio #3 |
|---|---|---|---|
| (*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns. | |||
| Mean Return (monthly) | 0.53% | 0.48% | 0.61% |
| Mean Return (annualized) | 6.55% | 5.92% | 7.60% |
| Compound Return (monthly) | 0.44% | 0.45% | 0.56% |
| Compound Return (annualized) | 5.39% | 5.50% | 6.92% |
| Volatility (monthly) | 4.24% | 2.57% | 3.22% |
| 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% |
| Market Correlation | 0.99 | 0.98 | 0.86 |
| Beta(*) | 0.97 | 0.58 | 0.64 |
| Alpha (annualized) | -0.39% | 1.75% | 2.89% |
| R2 | 98.97% | 95.86% | 74.60% |
| Sharpe Ratio | 0.34 | 0.49 | 0.53 |
| Sortino Ratio | 0.48 | 0.71 | 0.75 |
| Treynor Ratio (%) | 5.16 | 7.63 | 9.36 |
| Diversification Ratio | 1.00 | 1.16 | 1.19 |
| Skewness | -0.60 | -0.76 | -1.20 |
| Excess Kurtosis | 1.19 | 2.15 | 6.01 |
| Historical Value-at-Risk (95%) | -7.90% | -4.13% | -4.24% |
| Delta Normal Value-at-Risk (95%) | -6.98% | -4.34% | -5.43% |
| Conditional Value-at-Risk (95%) | -9.93% | -5.94% | -8.01% |
| Positive Periods | 118 out of 192 (61.46%) | 122 out of 192 (63.54%) | 121 out of 192 (63.02%) |
| Gain/Loss Ratio | 0.86 | 0.93 | 0.98 |
| Rank | Drawdown Start | Drawdown End | Drawdown Length | Recovery By | Recovery Time | Drawdown |
|---|---|---|---|---|---|---|
| 1 | Nov 2007 | Feb 2009 | 1 year 4 months | Mar 2012 | 4 years 5 months | -50.80% |
| 2 | Feb 2001 | Sep 2002 | 1 year 8 months | Jan 2006 | 5 years | -38.88% |
| 3 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 10 months | -8.48% |
| 4 | Apr 2012 | May 2012 | 2 months | Aug 2012 | 5 months | -6.63% |
| 5 | Jun 2007 | Jul 2007 | 2 months | Sep 2007 | 4 months | -4.55% |
| 6 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 2 months | -3.52% |
| 7 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 3 months | -3.21% |
| 8 | May 2006 | May 2006 | 1 month | Sep 2006 | 5 months | -3.01% |
| 9 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 2 months | -3.00% |
| 10 | Jun 2015 | Jun 2015 | 1 month | Jul 2015 | 2 months | -2.03% |
| 11 | Feb 2007 | Feb 2007 | 1 month | Apr 2007 | 3 months | -1.96% |
| 12 | Oct 2012 | Oct 2012 | 1 month | Jan 2013 | 4 months | -1.82% |
| 13 | Oct 2016 | Oct 2016 | 1 month | Nov 2016 | 2 months | -1.73% |
| 14 | Mar 2015 | Mar 2015 | 1 month | May 2015 | 3 months | -1.57% |
| 15 | Sep 2014 | Sep 2014 | 1 month | Oct 2014 | 2 months | -1.38% |
| 16 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 2 months | -1.34% |
| 17 | Jun 2013 | Jun 2013 | 1 month | Jul 2013 | 2 months | -1.34% |
| Rank | Drawdown Start | Drawdown End | Drawdown Length | Recovery By | Recovery Time | Drawdown |
|---|---|---|---|---|---|---|
| 1 | Nov 2007 | Feb 2009 | 1 year 4 months | Dec 2010 | 3 years 2 months | -34.75% |
| 2 | Feb 2001 | Sep 2002 | 1 year 8 months | Dec 2003 | 2 years 11 months | -19.64% |
| 3 | May 2011 | Sep 2011 | 5 months | Jan 2012 | 9 months | -8.42% |
| 4 | Jun 2015 | Sep 2015 | 4 months | Apr 2016 | 11 months | -5.60% |
| 5 | May 2012 | May 2012 | 1 month | Jul 2012 | 3 months | -3.31% |
| 6 | Jun 2007 | Jul 2007 | 2 months | Sep 2007 | 4 months | -2.91% |
| 7 | Mar 2004 | Apr 2004 | 2 months | Oct 2004 | 8 months | -2.58% |
| 8 | Aug 2013 | Aug 2013 | 1 month | Sep 2013 | 2 months | -2.18% |
| 9 | Jan 2005 | Apr 2005 | 4 months | May 2005 | 5 months | -2.01% |
| 10 | May 2006 | May 2006 | 1 month | Aug 2006 | 4 months | -1.88% |
| 11 | Oct 2005 | Oct 2005 | 1 month | Nov 2005 | 2 months | -1.72% |
| 12 | Jun 2013 | Jun 2013 | 1 month | Jul 2013 | 2 months | -1.57% |
| 13 | Jan 2014 | Jan 2014 | 1 month | Feb 2014 | 2 months | -1.55% |
| 14 | Oct 2016 | Oct 2016 | 1 month | Dec 2016 | 3 months | -1.26% |
| 15 | Sep 2014 | Sep 2014 | 1 month | Oct 2014 | 2 months | -1.20% |
| 16 | Dec 2014 | Jan 2015 | 2 months | Feb 2015 | 3 months | -1.19% |
| 17 | Oct 2012 | Oct 2012 | 1 month | Jan 2013 | 4 months | -1.06% |
| 18 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 2 months | -0.98% |
| 19 | Mar 2015 | Mar 2015 | 1 month | May 2015 | 3 months | -0.86% |
| 20 | Feb 2007 | Feb 2007 | 1 month | Mar 2007 | 2 months | -0.66% |
| 21 | Aug 2005 | Aug 2005 | 1 month | Sep 2005 | 2 months | -0.12% |
| Rank | Drawdown Start | Drawdown End | Drawdown Length | Recovery By | Recovery Time | Drawdown |
|---|---|---|---|---|---|---|
| 1 | Jun 2007 | Feb 2009 | 1 year 9 months | Feb 2011 | 3 years 9 months | -44.51% |
| 2 | Jun 2011 | Sep 2011 | 4 months | Jan 2012 | 8 months | -10.38% |
| 3 | Apr 2002 | Sep 2002 | 6 months | May 2003 | 1 year 2 months | -8.81% |
| 4 | Apr 2004 | Apr 2004 | 1 month | Aug 2004 | 5 months | -6.68% |
| 5 | Mar 2015 | Sep 2015 | 7 months | Mar 2016 | 1 year 1 month | -5.78% |
| 6 | May 2013 | Aug 2013 | 4 months | Oct 2013 | 6 months | -5.24% |
| 7 | Jul 2001 | Oct 2001 | 4 months | Mar 2002 | 9 months | -5.17% |
| 8 | Feb 2001 | Mar 2001 | 2 months | Jun 2001 | 5 months | -5.04% |
| 9 | Aug 2016 | Nov 2016 | 4 months | -4.19% | ||
| 10 | Aug 2005 | Oct 2005 | 3 months | Jan 2006 | 6 months | -3.50% |
| 11 | Jan 2005 | Mar 2005 | 3 months | May 2005 | 5 months | -3.41% |
| 12 | May 2012 | May 2012 | 1 month | Jul 2012 | 3 months | -3.16% |
| 13 | Apr 2006 | May 2006 | 2 months | Jul 2006 | 4 months | -2.96% |
| 14 | Sep 2014 | Sep 2014 | 1 month | Oct 2014 | 2 months | -2.85% |
| 15 | Feb 2007 | Mar 2007 | 2 months | May 2007 | 4 months | -1.96% |
| 16 | Oct 2012 | Oct 2012 | 1 month | Dec 2012 | 3 months | -0.77% |
| 17 | Jul 2014 | Jul 2014 | 1 month | Aug 2014 | 2 months | -0.61% |
| 18 | Nov 2013 | Nov 2013 | 1 month | Dec 2013 | 2 months | -0.44% |
| 19 | Dec 2006 | Dec 2006 | 1 month | Jan 2007 | 2 months | -0.39% |
| 20 | Mar 2011 | Mar 2011 | 1 month | Apr 2011 | 2 months | -0.33% |
| 21 | Apr 2016 | Apr 2016 | 1 month | May 2016 | 2 months | -0.07% |
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| SPY | SPDR S&P 500 | 5.39% | 14.73% | 32.31% | -36.81% | -50.80% | 0.34 | 0.48 | 0.99 |
| FBNDX | Fidelity Investment Grade Bond | 4.72% | 3.77% | 16.02% | -7.12% | -10.80% | 0.87 | 1.34 | 0.13 |
| IYR | iShares U.S. Real Estate ETF | 9.22% | 21.34% | 35.37% | -39.88% | -69.68% | 0.46 | 0.65 | 0.69 |
| Ticker | Name | SPY | FBNDX | IYR | PF #1 | PF #2 | PF #3 |
|---|---|---|---|---|---|---|---|
| SPY | SPDR S&P 500 | - | 0.14 | 0.67 | 1.00 | 0.98 | 0.86 |
| FBNDX | Fidelity Investment Grade Bond | 0.14 | - | 0.38 | 0.14 | 0.30 | 0.41 |
| IYR | iShares U.S. Real Estate ETF | 0.67 | 0.38 | - | 0.67 | 0.71 | 0.95 |
| Ticker | Name | PF #1 | PF #2 | PF #3 |
|---|---|---|---|---|
| SPY | SPDR S&P 500 | 100.00% | 95.00% | 36.68% |
| FBNDX | Fidelity Investment Grade Bond | 5.00% | 4.52% | |
| IYR | iShares U.S. Real Estate ETF | 58.80% |