This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.
Trailing return and volatility are as of last full calendar month ending December 2016
Notes on results:
IMPORTANT: The projections or other information generated by Portfolio Visualizer regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results. Results may vary with each use and over time.
The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities. All use is subject to terms of service.
Investing involves risk, including possible loss of principal. Past performance is not a guarantee of future results.
Asset allocation and diversification strategies do not guarantee a profit or protect against a loss.
Hypothetical returns do not reflect trading costs, transaction fees, commissions, or actual taxes due on investment returns.
The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
Portfolio model information represents a blended portfolio consisting of the model's underlying positions and assigned weights provided by the user and rebalanced at the specified schedule. The results were constructed using net of fee mutual fund performance. Portfolio Visualizer does not provide preferential treatment to any specific security or investment.
The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
Market capitalization refers to the total value of all a company's shares of stock. It is calculated by multiplying the price of a stock by its total number of outstanding shares. Large cap refers to a company with a market capitalization value of more than $10 billion, mid cap refers to a company with a market capitalization value between $2 and $10 billion, and small cap refers to a company with a market capitalization value below $2 billion. For funds and portfolios the equity market capitalization is calculated based on the long position of the equity holdings.
Credit quality measures the ability of a bond issuer to repay a bond's interest and principal in a timely manner. Ratings agencies research the financial health of each bond issuer and assign ratings to the bonds being offered. Lower-rated bonds generally offer higher yields to compensate investors for the additional risk. AAA is the highest possible rating that may be assigned to an issuer's bonds by any of the major credit rating agencies. Bonds rated AAA to AA are known as high-grade bonds, bonds rated A to BBB are known as medium-grade bonds, and bonds rated BB to C are known as non-investment grade bonds. An issuer will receive a rating of D if it is already in default on some of its debt. For funds and portfolios the fixed income credit quality break-down is calculated based on the long position of the fixed income holdings.
A fixed income maturity date refers to the specific date on which the investor's principal will be repaid. Duration measures a bond's or fixed income portfolio's price sensitivity to interest rate changes. If a bond has a duration of 5 years, and interest rates increase by 1%, the bond's price will decline by approximately 5%. Conversely, if a bond has a duration of 5 years and interest rates fall by 1%, the bond's price will increase by approximately 5%. A fixed income portfolio's duration is computed as the weighted average of individual bond durations held in the portfolio.
Compound annualized growth rate (CAGR) is the annualized geometric mean return of the portfolio. It is calculated from the portfolio start and end balance and is thus impacted by any cashflows.
The time-weighted rate of return (TWRR) is a measure of the compound rate of growth in a portfolio. This is calculated from the holding period returns (e.g. monthly returns), and TWRR will thus not be impacted by cashflows. If there are no external cashflows, TWRR will equal CAGR.
The money-weighted rate of return (MWRR) is the internal rate of return (IRR) taking into account cashflows. This is the discount rate at which the present value of cash inflows equals the present value of cash outflows.
Total return is the combined return in income and capital appreciation from investment in an asset. Yield measures the current cash income received from investment in an asset. Bonds provide yield in the form of interest payments and stocks through dividends.
Standard deviation (Stdev) is used to measure the dispersion of returns around the mean and is often used as a measure of risk. A higher standard deviation implies greater the dispersion of data points around the mean.
Sharpe Ratio is a measure of risk-adjusted performance of the portfolio, and it is calculated by dividing the mean monthly excess return of the portfolio over the risk-free rate by the standard deviation of excess return, and the displayed value is annualized.
Sortino Ratio is a measure of risk-adjusted return which is a modification of the Sharpe Ratio. While the latter is the ratio of average returns in excess of a risk-free rate divided by the standard deviation of those excess returns, the Sortino Ratio has the same denominator divided by the standard deviation of returns below the risk-free rate.
Treynor Ratio is a measure of risk-adjusted performance of the portfolio. It is similar to the Sharpe Ratio, but it uses portfolio beta (systematic risk) as the risk metric in the denominator.
Calmar Ratio is a measure of risk-adjusted performance of the portfolio. It is calculated as the annualized return over the past 36 months divided by the maximum drawdown over the past 36 months based on monthly returns.
Risk-free returns are calculated based on the Federal Reserve 3-Month Treasury Bill (secondary market) rates.
Downside deviation measures the downside volatility of the portfolio returns unlike standard deviation, which includes both upside and downside deviations. Downside deviation is calculated based on negative returns that hurt the portfolio performance.
Correlation measures to what degree the returns of the two assets move in relation to each other. Correlation coefficient is a numerical value between -1 and +1. If one variable goes up by a certain amount, the correlation coefficient indicates which way the other variable moves and by how much. Asset correlations are calculated based on monthly returns.
Skewness is a measure of the asymmetry of the probability distribution or returns from a normal Gaussian distribution shape about its mean. Negative skewness is associated with the left (typically negative returns) tail of the distribution extending further than the right tail; and positive skewness is associated with the right (typically positive returns) tail of the distribution extending further than the left tail.
Excess kurtosis is a measure of whether a data distribution is peaked or flat relative to a normal distribution. Distributions with high kurtosis tend to have a distinct peak near the mean, decline rather rapidly, and have heavy or fat tails.
A drawdown refers to the decline in value of a single investment or an investment portfolio from a relative peak value to a relative trough. A maximum drawdown (Max Drawdown) is the maximum observed loss from a peak to a trough of a portfolio before a new peak is attained. Drawdown values are calculated based on monthly returns.
Value at Risk (VaR) measures the scale of loss at a given confidence level. If the 5% VaR is -3% the portfolio return is expected to be greater than -3% 95% of the time and less than -3% 5% of the time. Value at Risk can be calculated directly based on historical returns based on a given percentile or analytically based on the mean and standard deviation of the returns.
Conditional Value at Risk (CVaR) measures the scale of the expected loss once the specific Value at Risk (VaR) breakpoint has been breached, i.e., it calculates the average tail loss by taking a weighted average between the value at risk and losses exceeding the value at risk.
Beta is a measure of systematic risk and measures the volatility of a particular investment relative to the market or its benchmark. Alpha measures the active return of the investment compared to the market benchmark return. R-squared is the percentage of a portfolio's movements that can be explained by movements in the selected benchmark index.
Active return is the investment return minus the return of its benchmark. For periods longer than 12 months this is displayed as annualized value, i.e., annualized investment return minus annualized benchmark return.
Tracking error, also known as active risk, is the standard deviation of active return. This is displayed as annualized value based on the standard deviation of monthly active returns.
Information ratio is the active return divided by the tracking error. It measures whether the investment outperformed its benchmark consistently.
Gain/Loss ratio is a measure of downside risk, and it is calculated as the average positive return in up periods divided by the average negative return in down periods.
Upside Capture Ratio measures how well the fund performed relative to the benchmark when the market was up, and Downside Capture Ratio measures how well the fund performed relative to the benchmark when the market was down. An upside capture ratio greater than 100 would indicate that the fund outperformed its benchmark when the market was up, and a downside capture ratio below 100 would indicate that the fund lost less than its benchmark when the market was down. To calculate upside capture ratio a new series from the portfolio returns is constructed by dropping all time periods where the benchmark return is less than equal to zero. The up capture is then the quotient of the annualized return of the resulting manager series, divided by the annualized return of the resulting benchmark series. The downside capture ratio is calculated analogously.
All risk measures for the portfolio and portfolio assets are calculated based on monthly returns.
Gross expense ratio reflects the total annual operating expenses paid by each fund. Net expense ratio reflects what investors were charged after waivers, reductions, and reimbursements.
Price to earnings (P/E) ratio of a stock is calculated by dividing the current price of the stock by its trailing 12 months' earnings per share. For funds the price to earnings ratio is computed as the weighted average of fund holdings.
The results assume annual rebalancing of portfolio assets to match the specified allocation.
Annual returns for the configured portfolios
Year
Inflation
Portfolio 1
Portfolio 2
Portfolio 3
SPDR S&P 500 ETF Trust (SPY)
Fidelity Investment Grade Bond (FBNDX)
iShares US Real Estate ETF (IYR)
Return
Balance
Return
Balance
Return
Balance
2001
1.55%
-11.75%
$8,825
-3.59%
$9,641
1.74%
$10,174
-11.75%
8.65%
8.33%
2002
2.38%
-21.59%
$6,920
-9.18%
$8,756
-2.90%
$9,879
-21.59%
9.44%
3.45%
2003
1.88%
28.18%
$8,869
18.81%
$10,403
22.77%
$12,128
28.18%
4.77%
35.37%
2004
3.26%
10.70%
$9,819
8.26%
$11,263
15.15%
$13,966
10.70%
4.60%
30.15%
2005
3.42%
4.83%
$10,293
4.05%
$11,718
5.55%
$14,741
4.83%
2.87%
8.94%
2006
2.54%
15.85%
$11,924
11.48%
$13,064
18.57%
$17,477
15.85%
4.94%
34.91%
2007
4.08%
5.14%
$12,536
4.25%
$13,620
-3.35%
$16,892
5.14%
2.93%
-18.12%
2008
0.09%
-36.81%
$7,922
-24.93%
$10,224
-27.93%
$12,173
-36.81%
-7.12%
-39.88%
2009
2.72%
26.36%
$10,010
22.23%
$12,497
24.28%
$15,129
26.36%
16.02%
30.46%
2010
1.50%
15.06%
$11,518
12.41%
$14,047
16.69%
$17,654
15.06%
8.43%
26.58%
2011
2.96%
1.89%
$11,735
4.30%
$14,651
5.11%
$18,555
1.89%
7.91%
5.52%
2012
1.74%
15.99%
$13,612
12.09%
$16,422
13.48%
$21,056
15.99%
6.23%
18.21%
2013
1.50%
32.31%
$18,009
18.69%
$19,491
10.58%
$23,283
32.31%
-1.74%
1.16%
2014
0.76%
13.46%
$20,434
10.40%
$21,518
15.32%
$26,850
13.46%
5.81%
26.69%
2015
0.73%
1.25%
$20,690
0.12%
$21,545
0.44%
$26,968
1.25%
-1.57%
1.63%
2016
2.07%
12.00%
$23,173
9.33%
$23,556
8.12%
$29,158
12.00%
5.33%
7.03%
Monthly returns for the configured portfolios
Year
Month
Portfolio 1
Portfolio 2
Portfolio 3
SPDR S&P 500 ETF Trust (SPY)
Fidelity Investment Grade Bond (FBNDX)
iShares US Real Estate ETF (IYR)
Return
Balance
Return
Balance
Return
Balance
2001
1
4.45%
$10,445
3.32%
$10,332
2.18%
$10,218
4.45%
1.64%
0.46%
2001
2
-9.54%
$9,448
-5.43%
$9,772
-3.40%
$9,871
-9.54%
0.91%
-1.38%
2001
3
-5.60%
$8,919
-3.09%
$9,470
-1.70%
$9,704
-5.60%
0.38%
-0.12%
2001
4
8.54%
$9,681
4.56%
$9,902
3.50%
$10,043
8.54%
-0.62%
3.23%
2001
5
-0.56%
$9,627
-0.02%
$9,900
0.85%
$10,129
-0.56%
0.76%
2.29%
2001
6
-2.38%
$9,398
-1.25%
$9,776
1.10%
$10,240
-2.38%
0.33%
5.07%
2001
7
-1.02%
$9,302
0.38%
$9,814
-0.16%
$10,224
-1.02%
2.29%
-1.72%
2001
8
-5.93%
$8,750
-2.88%
$9,531
-0.45%
$10,178
-5.93%
1.14%
2.71%
2001
9
-8.16%
$8,036
-4.00%
$9,150
-3.63%
$9,808
-8.16%
1.10%
-4.62%
2001
10
1.30%
$8,141
1.65%
$9,301
-0.99%
$9,711
1.30%
2.05%
-5.84%
2001
11
7.80%
$8,775
3.53%
$9,630
3.97%
$10,097
7.80%
-1.18%
6.56%
2001
12
0.56%
$8,825
0.12%
$9,641
0.76%
$10,174
0.56%
-0.42%
2.15%
2002
1
-0.98%
$8,738
-0.31%
$9,611
-0.06%
$10,168
-0.98%
0.68%
0.11%
2002
2
-1.79%
$8,582
-0.71%
$9,543
0.37%
$10,205
-1.79%
0.90%
1.98%
2002
3
3.32%
$8,867
1.24%
$9,661
2.53%
$10,464
3.32%
-1.76%
6.06%
2002
4
-5.82%
$8,351
-2.84%
$9,386
-1.26%
$10,332
-5.82%
1.65%
0.29%
2002
5
-0.59%
$8,302
-0.01%
$9,385
0.77%
$10,412
-0.59%
0.80%
1.93%
2002
6
-7.38%
$7,689
-4.12%
$8,998
-1.56%
$10,249
-7.38%
0.36%
1.60%
2002
7
-7.88%
$7,083
-4.13%
$8,626
-3.81%
$9,859
-7.88%
0.64%
-4.71%
2002
8
0.68%
$7,131
1.41%
$8,747
1.12%
$9,969
0.68%
2.25%
0.36%
2002
9
-10.49%
$6,384
-5.07%
$8,303
-4.28%
$9,542
-10.49%
1.14%
-4.94%
2002
10
8.23%
$6,909
3.98%
$8,634
0.52%
$9,592
8.23%
-0.33%
-4.04%
2002
11
6.17%
$7,335
3.50%
$8,936
3.60%
$9,937
6.17%
0.56%
4.84%
2002
12
-5.66%
$6,920
-2.02%
$8,756
-0.58%
$9,879
-5.66%
2.23%
0.59%
2003
1
-2.46%
$6,749
-1.42%
$8,632
-2.00%
$9,681
-2.46%
0.15%
-3.69%
2003
2
-1.35%
$6,659
-0.21%
$8,614
0.68%
$9,747
-1.35%
1.45%
1.93%
2003
3
0.21%
$6,672
0.18%
$8,629
0.76%
$9,821
0.21%
0.14%
1.94%
2003
4
8.46%
$7,237
5.39%
$9,094
4.30%
$10,243
8.46%
1.03%
3.60%
2003
5
5.48%
$7,634
3.98%
$9,456
4.47%
$10,701
5.48%
1.68%
6.22%
2003
6
1.07%
$7,715
0.62%
$9,514
0.93%
$10,801
1.07%
-0.10%
1.77%
2003
7
1.80%
$7,854
-0.20%
$9,495
1.41%
$10,953
1.80%
-3.41%
5.50%
2003
8
2.06%
$8,016
1.60%
$9,647
1.25%
$11,089
2.06%
0.81%
0.84%
2003
9
-1.09%
$7,929
0.31%
$9,677
1.49%
$11,254
-1.09%
2.71%
2.94%
2003
10
5.35%
$8,353
2.99%
$9,966
2.14%
$11,495
5.35%
-0.91%
1.74%
2003
11
1.09%
$8,444
0.78%
$10,044
2.00%
$11,726
1.09%
0.25%
4.34%
2003
12
5.03%
$8,869
3.57%
$10,403
3.44%
$12,128
5.03%
1.00%
3.88%
2004
1
1.98%
$9,045
1.51%
$10,561
2.29%
$12,406
1.98%
0.82%
4.07%
2004
2
1.36%
$9,167
1.18%
$10,686
1.36%
$12,575
1.36%
0.92%
1.80%
2004
3
-1.32%
$9,046
-0.47%
$10,636
1.67%
$12,786
-1.32%
0.83%
5.41%
2004
4
-1.89%
$8,875
-2.12%
$10,410
-6.68%
$11,931
-1.89%
-2.46%
-14.94%
2004
5
1.71%
$9,027
0.86%
$10,500
2.63%
$12,245
1.71%
-0.41%
6.81%
2004
6
1.85%
$9,194
1.34%
$10,640
1.78%
$12,463
1.85%
0.55%
2.90%
2004
7
-3.22%
$8,898
-1.54%
$10,477
-0.64%
$12,383
-3.22%
1.08%
0.27%
2004
8
0.24%
$8,920
0.90%
$10,571
3.52%
$12,818
0.24%
1.88%
8.24%
2004
9
1.00%
$9,009
0.70%
$10,646
0.26%
$12,851
1.00%
0.27%
-0.41%
2004
10
1.29%
$9,125
1.10%
$10,762
2.50%
$13,173
1.29%
0.82%
5.14%
2004
11
4.45%
$9,531
2.40%
$11,020
2.75%
$13,535
4.45%
-0.64%
4.25%
2004
12
3.02%
$9,819
2.20%
$11,263
3.18%
$13,966
3.02%
0.93%
5.22%
2005
1
-2.24%
$9,599
-1.07%
$11,142
-3.36%
$13,496
-2.24%
0.68%
-8.52%
2005
2
2.09%
$9,799
1.03%
$11,256
1.57%
$13,709
2.09%
-0.53%
3.34%
2005
3
-1.83%
$9,620
-1.29%
$11,110
-1.60%
$13,489
-1.83%
-0.50%
-2.54%
2005
4
-1.87%
$9,440
-0.67%
$11,036
1.54%
$13,696
-1.87%
1.11%
5.62%
2005
5
3.22%
$9,744
2.35%
$11,296
2.67%
$14,062
3.22%
1.11%
3.75%
2005
6
0.15%
$9,759
0.28%
$11,328
1.71%
$14,303
0.15%
0.48%
4.49%
2005
7
3.83%
$10,132
2.02%
$11,557
3.30%
$14,775
3.83%
-0.61%
6.60%
2005
8
-0.94%
$10,037
-0.12%
$11,543
-1.46%
$14,559
-0.94%
1.14%
-4.29%
2005
9
0.80%
$10,117
0.13%
$11,558
0.00%
$14,560
0.80%
-0.88%
0.09%
2005
10
-2.37%
$9,878
-1.72%
$11,359
-2.08%
$14,257
-2.37%
-0.74%
-3.07%
2005
11
4.40%
$10,312
2.82%
$11,680
3.22%
$14,716
4.40%
0.48%
4.74%
2005
12
-0.19%
$10,293
0.33%
$11,718
0.17%
$14,741
-0.19%
1.14%
-0.39%
2006
1
2.40%
$10,540
1.46%
$11,890
3.25%
$15,220
2.40%
0.06%
7.30%
2006
2
0.57%
$10,600
0.47%
$11,946
0.90%
$15,357
0.57%
0.31%
1.77%
2006
3
1.65%
$10,775
0.70%
$12,030
2.25%
$15,703
1.65%
-0.75%
5.57%
2006
4
1.26%
$10,911
0.74%
$12,119
-0.79%
$15,579
1.26%
-0.08%
-3.27%
2006
5
-3.01%
$10,583
-1.88%
$11,891
-2.19%
$15,238
-3.01%
-0.07%
-3.31%
2006
6
0.26%
$10,610
0.19%
$11,914
1.71%
$15,499
0.26%
0.08%
4.60%
2006
7
0.45%
$10,658
0.86%
$12,016
1.92%
$15,797
0.45%
1.49%
3.65%
2006
8
2.18%
$10,891
1.91%
$12,245
2.25%
$16,153
2.18%
1.49%
2.98%
2006
9
2.70%
$11,184
2.01%
$12,491
2.03%
$16,481
2.70%
0.93%
2.38%
2006
10
3.15%
$11,537
2.19%
$12,765
3.61%
$17,076
3.15%
0.68%
6.48%
2006
11
1.99%
$11,766
1.69%
$12,981
2.75%
$17,546
1.99%
1.21%
4.63%
2006
12
1.34%
$11,924
0.64%
$13,064
-0.39%
$17,477
1.34%
-0.49%
-1.76%
2007
1
1.50%
$12,103
0.90%
$13,182
3.72%
$18,127
1.50%
-0.00%
9.66%
2007
2
-1.96%
$11,866
-0.66%
$13,095
-1.47%
$17,860
-1.96%
1.33%
-3.58%
2007
3
1.16%
$12,003
0.69%
$13,186
-0.49%
$17,772
1.16%
0.00%
-2.53%
2007
4
4.43%
$12,535
2.87%
$13,564
1.74%
$18,081
4.43%
0.54%
0.29%
2007
5
3.39%
$12,960
1.80%
$13,808
0.98%
$18,258
3.39%
-0.67%
0.15%
2007
6
-1.46%
$12,770
-1.11%
$13,654
-3.56%
$17,608
-1.46%
-0.55%
-8.71%
2007
7
-3.13%
$12,371
-1.82%
$13,406
-3.85%
$16,930
-3.13%
0.28%
-9.07%
2007
8
1.28%
$12,529
0.73%
$13,504
1.97%
$17,263
1.28%
-0.13%
5.26%
2007
9
3.87%
$13,014
2.69%
$13,867
2.92%
$17,768
3.87%
0.85%
4.14%
2007
10
1.36%
$13,191
0.84%
$13,984
0.72%
$17,897
1.36%
0.01%
0.76%
2007
11
-3.87%
$12,680
-2.09%
$13,691
-3.94%
$17,191
-3.87%
0.82%
-9.12%
2007
12
-1.13%
$12,536
-0.52%
$13,620
-1.74%
$16,892
-1.13%
0.42%
-5.07%
2008
1
-6.05%
$11,778
-3.18%
$13,186
-1.61%
$16,620
-6.05%
1.11%
0.11%
2008
2
-2.58%
$11,474
-1.70%
$12,962
-2.40%
$16,220
-2.58%
-0.46%
-4.20%
2008
3
-0.90%
$11,370
-1.01%
$12,831
0.79%
$16,349
-0.90%
-1.15%
4.46%
2008
4
4.77%
$11,912
2.73%
$13,181
3.47%
$16,916
4.77%
-0.06%
5.81%
2008
5
1.51%
$12,092
0.76%
$13,281
0.66%
$17,028
1.51%
-0.33%
0.81%
2008
6
-8.35%
$11,082
-4.98%
$12,620
-6.77%
$15,875
-8.35%
-0.05%
-11.57%
2008
7
-0.90%
$10,983
-0.78%
$12,521
0.32%
$15,926
-0.90%
-0.63%
2.47%
2008
8
1.55%
$11,153
1.05%
$12,652
1.24%
$16,123
1.55%
0.39%
1.81%
2008
9
-9.44%
$10,100
-6.56%
$11,823
-4.22%
$15,442
-9.44%
-2.67%
-1.07%
2008
10
-16.52%
$8,432
-11.54%
$10,459
-17.84%
$12,688
-16.52%
-5.27%
-31.32%
2008
11
-6.96%
$7,845
-4.13%
$10,027
-8.88%
$11,560
-6.96%
-0.99%
-21.55%
2008
12
0.98%
$7,922
1.96%
$10,224
5.30%
$12,173
0.98%
2.99%
14.41%
2009
1
-8.21%
$7,271
-4.63%
$9,751
-7.76%
$11,228
-8.21%
0.75%
-15.82%
2009
2
-10.74%
$6,490
-6.43%
$9,124
-9.78%
$10,131
-10.74%
-0.53%
-19.78%
2009
3
8.35%
$7,032
5.22%
$9,601
4.25%
$10,561
8.35%
1.39%
3.52%
2009
4
9.93%
$7,730
6.42%
$10,217
12.05%
$11,834
9.93%
1.82%
29.62%
2009
5
5.85%
$8,182
4.49%
$10,676
3.57%
$12,257
5.85%
2.56%
2.27%
2009
6
-0.07%
$8,177
0.48%
$10,727
-0.34%
$12,215
-0.07%
1.28%
-2.51%
2009
7
7.46%
$8,787
5.47%
$11,313
6.66%
$13,028
7.46%
2.59%
10.58%
2009
8
3.69%
$9,111
2.89%
$11,640
5.96%
$13,804
3.69%
1.68%
13.19%
2009
9
3.55%
$9,434
2.85%
$11,972
3.80%
$14,329
3.55%
1.78%
6.06%
2009
10
-1.92%
$9,253
-0.71%
$11,887
-1.95%
$14,049
-1.92%
1.18%
-4.97%
2009
11
6.16%
$9,823
4.28%
$12,396
4.89%
$14,736
6.16%
1.44%
7.08%
2009
12
1.91%
$10,010
0.81%
$12,497
2.67%
$15,129
1.91%
-0.92%
6.89%
2010
1
-3.63%
$9,647
-1.49%
$12,310
-2.44%
$14,759
-3.63%
1.72%
-5.42%
2010
2
3.12%
$9,948
2.00%
$12,557
2.93%
$15,192
3.12%
0.41%
5.46%
2010
3
6.09%
$10,553
3.73%
$13,025
5.33%
$16,002
6.09%
0.28%
9.75%
2010
4
1.55%
$10,717
1.48%
$13,218
3.17%
$16,509
1.55%
1.39%
6.39%
2010
5
-7.95%
$9,865
-4.66%
$12,602
-4.49%
$15,768
-7.95%
0.42%
-5.68%
2010
6
-5.17%
$9,355
-2.40%
$12,299
-2.76%
$15,333
-5.17%
1.53%
-4.65%
2010
7
6.83%
$9,994
4.37%
$12,837
5.73%
$16,211
6.83%
1.11%
9.40%
2010
8
-4.50%
$9,544
-2.06%
$12,572
-1.41%
$15,982
-4.50%
1.34%
-1.30%
2010
9
8.96%
$10,399
5.28%
$13,235
4.50%
$16,701
8.96%
0.43%
4.65%
2010
10
3.82%
$10,796
2.57%
$13,576
2.86%
$17,180
3.82%
0.79%
3.93%
2010
11
0.00%
$10,796
-0.28%
$13,538
-0.79%
$17,043
0.00%
-0.69%
-1.58%
2010
12
6.68%
$11,518
3.76%
$14,047
3.58%
$17,654
6.68%
-0.58%
4.57%
2011
1
2.33%
$11,786
1.55%
$14,264
2.09%
$18,023
2.33%
0.37%
3.57%
2011
2
3.47%
$12,196
2.30%
$14,592
2.85%
$18,538
3.47%
0.50%
4.52%
2011
3
0.01%
$12,197
0.05%
$14,600
-0.33%
$18,476
0.01%
0.12%
-1.10%
2011
4
2.90%
$12,550
2.35%
$14,943
3.05%
$19,038
2.90%
1.49%
4.66%
2011
5
-1.12%
$12,409
-0.27%
$14,903
0.32%
$19,099
-1.12%
1.10%
1.01%
2011
6
-1.69%
$12,200
-1.12%
$14,736
-1.72%
$18,771
-1.69%
-0.24%
-3.11%
2011
7
-2.00%
$11,956
-0.63%
$14,644
-0.11%
$18,750
-2.00%
1.48%
0.22%
2011
8
-5.50%
$11,298
-2.86%
$14,225
-3.27%
$18,136
-5.50%
1.06%
-5.31%
2011
9
-6.94%
$10,514
-3.80%
$13,685
-5.62%
$17,117
-6.94%
0.56%
-10.68%
2011
10
10.91%
$11,661
6.26%
$14,541
7.75%
$18,442
10.91%
0.28%
13.19%
2011
11
-0.41%
$11,614
-0.40%
$14,483
-1.50%
$18,167
-0.41%
-0.39%
-3.67%
2011
12
1.04%
$11,735
1.16%
$14,651
2.14%
$18,555
1.04%
1.32%
4.09%
2012
1
4.64%
$12,279
3.30%
$15,134
4.18%
$19,330
4.64%
1.29%
6.60%
2012
2
4.34%
$12,812
2.65%
$15,536
1.23%
$19,568
4.34%
0.03%
-0.69%
2012
3
3.22%
$13,224
1.88%
$15,827
2.52%
$20,061
3.22%
-0.29%
4.48%
2012
4
-0.67%
$13,136
0.00%
$15,828
1.00%
$20,261
-0.67%
1.12%
2.58%
2012
5
-6.01%
$12,347
-3.31%
$15,304
-3.16%
$19,620
-6.01%
1.12%
-4.21%
2012
6
4.05%
$12,848
2.47%
$15,682
3.20%
$20,249
4.05%
0.06%
5.36%
2012
7
1.18%
$13,000
1.39%
$15,900
1.75%
$20,604
1.18%
1.72%
2.33%
2012
8
2.51%
$13,325
1.57%
$16,149
0.97%
$20,803
2.51%
0.08%
0.31%
2012
9
2.54%
$13,663
1.78%
$16,437
0.65%
$20,937
2.54%
0.56%
-1.11%
2012
10
-1.82%
$13,414
-1.06%
$16,263
-0.77%
$20,776
-1.82%
0.19%
-0.59%
2012
11
0.57%
$13,490
0.46%
$16,337
0.08%
$20,793
0.57%
0.28%
-0.58%
2012
12
0.90%
$13,612
0.52%
$16,422
1.26%
$21,056
0.90%
-0.10%
2.89%
2013
1
5.12%
$14,309
2.83%
$16,887
2.85%
$21,655
5.12%
-0.60%
4.02%
2013
2
1.28%
$14,491
0.94%
$17,045
0.99%
$21,870
1.28%
0.41%
1.26%
2013
3
3.80%
$15,042
2.40%
$17,455
2.32%
$22,378
3.80%
0.17%
2.87%
2013
4
1.92%
$15,330
1.59%
$17,733
2.94%
$23,036
1.92%
1.05%
5.73%
2013
5
2.36%
$15,692
0.84%
$17,883
-1.98%
$22,581
2.36%
-1.69%
-6.49%
2013
6
-1.34%
$15,483
-1.57%
$17,602
-1.89%
$22,155
-1.34%
-1.97%
-2.40%
2013
7
5.17%
$16,283
3.41%
$18,203
2.05%
$22,608
5.17%
0.34%
0.24%
2013
8
-3.00%
$15,795
-2.18%
$17,805
-3.45%
$21,829
-3.00%
-0.69%
-6.53%
2013
9
3.17%
$16,295
2.39%
$18,232
2.58%
$22,393
3.17%
1.01%
3.46%
2013
10
4.63%
$17,049
3.35%
$18,842
3.23%
$23,116
4.63%
1.00%
3.73%
2013
11
2.96%
$17,555
1.84%
$19,189
-0.44%
$23,014
2.96%
-0.30%
-4.64%
2013
12
2.59%
$18,009
1.57%
$19,491
1.17%
$23,283
2.59%
-0.42%
0.90%
2014
1
-3.52%
$17,375
-1.55%
$19,188
0.44%
$23,385
-3.52%
1.40%
3.44%
2014
2
4.55%
$18,165
3.03%
$19,769
3.38%
$24,174
4.55%
0.85%
4.75%
2014
3
0.83%
$18,316
0.43%
$19,854
0.26%
$24,238
0.83%
-0.16%
0.14%
2014
4
0.70%
$18,444
0.76%
$20,005
1.56%
$24,616
0.70%
0.85%
3.03%
2014
5
2.32%
$18,872
1.88%
$20,381
2.13%
$25,141
2.32%
1.23%
2.80%
2014
6
2.06%
$19,261
1.27%
$20,640
1.05%
$25,405
2.06%
0.07%
1.01%
2014
7
-1.34%
$19,002
-0.98%
$20,438
-0.61%
$25,249
-1.34%
-0.42%
-0.11%
2014
8
3.95%
$19,752
2.87%
$21,024
2.91%
$25,984
3.95%
1.23%
3.47%
2014
9
-1.38%
$19,480
-1.20%
$20,771
-2.85%
$25,243
-1.38%
-0.93%
-5.89%
2014
10
2.36%
$19,939
1.82%
$21,148
3.99%
$26,251
2.36%
0.98%
8.35%
2014
11
2.75%
$20,486
1.92%
$21,554
2.07%
$26,795
2.75%
0.60%
2.72%
2014
12
-0.26%
$20,434
-0.16%
$21,518
0.21%
$26,850
-0.26%
-0.02%
0.81%
2015
1
-2.96%
$19,828
-1.03%
$21,297
1.54%
$27,264
-2.96%
1.88%
5.71%
2015
2
5.62%
$20,943
3.09%
$21,955
0.71%
$27,458
5.62%
-0.54%
-2.60%
2015
3
-1.57%
$20,613
-0.86%
$21,766
-0.09%
$27,434
-1.57%
0.22%
1.09%
2015
4
0.98%
$20,816
0.52%
$21,880
-1.36%
$27,060
0.98%
-0.16%
-4.82%
2015
5
1.29%
$21,083
0.66%
$22,025
0.23%
$27,123
1.29%
-0.27%
-0.33%
2015
6
-2.03%
$20,656
-1.74%
$21,643
-2.55%
$26,430
-2.03%
-1.29%
-4.39%
2015
7
2.26%
$21,122
1.56%
$21,980
2.52%
$27,097
2.26%
0.50%
4.94%
2015
8
-6.10%
$19,835
-3.96%
$21,110
-4.20%
$25,959
-6.10%
-0.66%
-5.80%
2015
9
-2.54%
$19,330
-1.51%
$20,792
-0.34%
$25,872
-2.54%
0.01%
1.60%
2015
10
8.51%
$20,975
5.20%
$21,874
5.00%
$27,166
8.51%
0.50%
6.23%
2015
11
0.37%
$21,051
-0.04%
$21,865
-0.16%
$27,121
0.37%
-0.67%
-0.20%
2015
12
-1.72%
$20,690
-1.46%
$21,545
-0.57%
$26,968
-1.72%
-1.07%
1.10%
2016
1
-4.98%
$19,660
-2.73%
$20,956
-2.82%
$26,208
-4.98%
0.63%
-4.10%
2016
2
-0.08%
$19,643
0.21%
$20,999
-0.06%
$26,192
-0.08%
0.62%
-0.75%
2016
3
6.72%
$20,964
4.73%
$21,993
6.22%
$27,820
6.72%
1.93%
10.26%
2016
4
0.39%
$21,047
0.69%
$22,144
-0.07%
$27,802
0.39%
1.11%
-1.67%
2016
5
1.70%
$21,405
1.00%
$22,364
1.28%
$28,159
1.70%
-0.04%
2.21%
2016
6
0.35%
$21,480
0.96%
$22,580
2.84%
$28,959
0.35%
1.87%
6.24%
2016
7
3.65%
$22,263
2.61%
$23,168
2.80%
$29,770
3.65%
1.08%
3.65%
2016
8
0.12%
$22,290
0.25%
$23,227
-0.99%
$29,476
0.12%
0.45%
-3.35%
2016
9
0.01%
$22,292
0.03%
$23,233
-0.48%
$29,334
0.01%
0.06%
-1.47%
2016
10
-1.73%
$21,905
-1.26%
$22,940
-2.44%
$28,619
-1.73%
-0.56%
-4.96%
2016
11
3.68%
$22,712
1.25%
$23,227
-0.33%
$28,523
3.68%
-2.34%
-2.34%
2016
12
2.03%
$23,173
1.41%
$23,556
2.23%
$29,158
2.03%
0.45%
4.25%
Returns Based Style Analysis
Returns Based Style Analysis
Style Category
Portfolio 1
Portfolio 2
Portfolio 3
Large-cap Value
46.49%
25.90%
30.36%
Large-cap Growth
52.06%
34.27%
10.70%
Mid-cap Value
0.00%
0.05%
17.28%
Mid-cap Growth
0.92%
1.69%
2.46%
Small-cap Value
0.00%
0.00%
6.09%
Small-cap Growth
0.00%
0.00%
0.00%
Global ex-US Developed Markets
0.00%
0.00%
3.59%
Emerging Markets
0.04%
1.16%
0.93%
Corporate Bonds
0.50%
9.45%
16.93%
Long-Term Treasuries
0.00%
0.00%
11.67%
Intermediate-Term Treasuries
0.00%
5.38%
0.00%
Short-Term Treasuries
0.00%
22.10%
0.00%
R Squared
99.89%
99.00%
87.04%
Style analysis is based on monthly returns from April 2005 to December 2016 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.
Holdings Based Style Analysis for Portfolio 1
Holdings Based Style Analysis for Portfolio 1
Ticker
Name
Category
Weight
Yield
Expense Ratio
P/E
Contribution
SEC
TTM
Net
Gross
Return
Risk
SPY
SPDR S&P 500 ETF Trust
Large Blend
100.00%
1.49%
1.52%
0.09%
0.09%
19.63
$13,173
100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors
Holdings Based Style Analysis for Portfolio 2
Holdings Based Style Analysis for Portfolio 2
Ticker
Name
Category
Weight
Yield
Expense Ratio
P/E
Duration
Contribution
SEC
TTM
Net
Gross
Return
Risk
SPY
SPDR S&P 500 ETF Trust
Large Blend
60.00%
1.49%
1.52%
0.09%
0.09%
19.63
$9,811
95.00%
FBNDX
Fidelity Investment Grade Bond
Intermediate Core Bond
40.00%
3.79%
2.15%
0.45%
0.45%
6.27
$3,745
5.00%
100.00%
2.41%
1.77%
0.24%
0.24%
19.63
6.27
$13,556
100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors
Fixed Income Credit Quality
Fixed Income Maturity
Holdings Based Style Analysis for Portfolio 3
Holdings Based Style Analysis for Portfolio 3
Ticker
Name
Category
Weight
Yield
Expense Ratio
P/E
Duration
Contribution
SEC
TTM
Net
Gross
Return
Risk
SPY
SPDR S&P 500 ETF Trust
Large Blend
33.34%
1.49%
1.52%
0.09%
0.09%
19.63
$6,901
36.68%
FBNDX
Fidelity Investment Grade Bond
Intermediate Core Bond
33.33%
3.79%
2.15%
0.45%
0.45%
6.27
$3,692
4.52%
IYR
iShares US Real Estate ETF
Real Estate
33.33%
2.18%
2.34%
0.39%
0.39%
25.87
$8,565
58.80%
100.00%
2.49%
2.00%
0.31%
0.31%
22.75
6.27
$19,158
100.00%
Asset Allocation
Equity Market Capitalization
Equity Sectors
Fixed Income Credit Quality
Fixed Income Maturity
Fund fundamentals data as of 09/30/2022. (c) 2022 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
Metric
Portfolio 1
Portfolio 2
Portfolio 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%
Standard Deviation (monthly)
4.25%
2.57%
3.23%
Standard Deviation (annualized)
14.73%
8.91%
11.19%
Downside Deviation (monthly)
2.97%
1.74%
2.26%
Maximum Drawdown
-50.80%
-34.75%
-44.51%
Stock Market Correlation
0.99
0.98
0.86
Beta(*)
0.97
0.58
0.64
Alpha (annualized)
-0.39%
1.75%
2.89%
R2
98.98%
95.87%
74.61%
Sharpe Ratio
0.34
0.49
0.53
Sortino Ratio
0.47
0.70
0.74
Treynor Ratio (%)
5.13
7.59
9.32
Calmar Ratio
1.03
1.16
1.35
Active Return
-0.58%
-0.47%
0.94%
Tracking Error
1.57%
6.67%
7.86%
Information Ratio
-0.37
-0.07
0.12
Skewness
-0.60
-0.76
-1.20
Excess Kurtosis
1.19
2.15
6.01
Historical Value-at-Risk (5%)
-7.60%
-4.13%
-4.21%
Analytical Value-at-Risk (5%)
-6.47%
-3.87%
-4.81%
Conditional Value-at-Risk (5%)
-9.73%
-5.76%
-7.63%
Upside Capture Ratio (%)
94.19
59.44
67.78
Downside Capture Ratio (%)
96.70
54.66
57.91
Safe Withdrawal Rate
6.03%
7.01%
8.50%
Perpetual Withdrawal Rate
3.15%
3.26%
4.54%
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
* 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 Period
Start
End
Portfolio 1
Portfolio 2
Portfolio 3
Subprime Crisis
Nov 2007
Mar 2009
-50.80%
-34.75%
-43.39%
Drawdowns for Portfolio 1
Drawdowns for Portfolio 1 (worst 10)
Rank
Start
End
Length
Recovery By
Recovery Time
Underwater Period
Drawdown
1
Nov 2007
Feb 2009
1 year 4 months
Mar 2012
3 years 1 month
4 years 5 months
-50.80%
2
Feb 2001
Sep 2002
1 year 8 months
Jan 2006
3 years 4 months
5 years
-38.88%
3
Aug 2015
Sep 2015
2 months
May 2016
8 months
10 months
-8.48%
4
Apr 2012
May 2012
2 months
Aug 2012
3 months
5 months
-6.63%
5
Jun 2007
Jul 2007
2 months
Sep 2007
2 months
4 months
-4.55%
6
Jan 2014
Jan 2014
1 month
Feb 2014
1 month
2 months
-3.52%
7
Dec 2014
Jan 2015
2 months
Feb 2015
1 month
3 months
-3.21%
8
May 2006
May 2006
1 month
Sep 2006
4 months
5 months
-3.01%
9
Aug 2013
Aug 2013
1 month
Sep 2013
1 month
2 months
-3.00%
10
Jun 2015
Jun 2015
1 month
Jul 2015
1 month
2 months
-2.03%
Worst 10 drawdowns included above
Drawdowns for Portfolio 2
Drawdowns for Portfolio 2 (worst 10)
Rank
Start
End
Length
Recovery By
Recovery Time
Underwater Period
Drawdown
1
Nov 2007
Feb 2009
1 year 4 months
Dec 2010
1 year 10 months
3 years 2 months
-34.75%
2
Feb 2001
Sep 2002
1 year 8 months
Dec 2003
1 year 3 months
2 years 11 months
-19.64%
3
May 2011
Sep 2011
5 months
Jan 2012
4 months
9 months
-8.42%
4
Jun 2015
Sep 2015
4 months
Apr 2016
7 months
11 months
-5.60%
5
May 2012
May 2012
1 month
Jul 2012
2 months
3 months
-3.31%
6
Jun 2007
Jul 2007
2 months
Sep 2007
2 months
4 months
-2.91%
7
Mar 2004
Apr 2004
2 months
Oct 2004
6 months
8 months
-2.58%
8
Aug 2013
Aug 2013
1 month
Sep 2013
1 month
2 months
-2.18%
9
Jan 2005
Apr 2005
4 months
May 2005
1 month
5 months
-2.01%
10
May 2006
May 2006
1 month
Aug 2006
3 months
4 months
-1.88%
Worst 10 drawdowns included above
Drawdowns for Portfolio 3
Drawdowns for Portfolio 3 (worst 10)
Rank
Start
End
Length
Recovery By
Recovery Time
Underwater Period
Drawdown
1
Jun 2007
Feb 2009
1 year 9 months
Feb 2011
2 years
3 years 9 months
-44.51%
2
Jun 2011
Sep 2011
4 months
Jan 2012
4 months
8 months
-10.38%
3
Apr 2002
Sep 2002
6 months
May 2003
8 months
1 year 2 months
-8.81%
4
Apr 2004
Apr 2004
1 month
Aug 2004
4 months
5 months
-6.68%
5
Mar 2015
Sep 2015
7 months
Mar 2016
6 months
1 year 1 month
-5.78%
6
May 2013
Aug 2013
4 months
Oct 2013
2 months
6 months
-5.24%
7
Jul 2001
Oct 2001
4 months
Mar 2002
5 months
9 months
-5.17%
8
Feb 2001
Mar 2001
2 months
Jun 2001
3 months
5 months
-5.04%
9
Aug 2016
Nov 2016
4 months
-4.19%
10
Aug 2005
Oct 2005
3 months
Jan 2006
3 months
6 months
-3.50%
Worst 10 drawdowns included above
Portfolio Assets
Performance statistics for portfolio components
Ticker
Name
CAGR
Stdev
Best Year
Worst Year
Max Drawdown
Sharpe Ratio
Sortino Ratio
Market Correlation
SPY
SPDR S&P 500 ETF Trust
5.39%
14.73%
32.31%
-36.81%
-50.80%
0.34
0.47
0.99
FBNDX
Fidelity Investment Grade Bond
4.72%
3.77%
16.02%
-7.12%
-10.80%
0.87
1.32
0.13
IYR
iShares US Real Estate ETF
9.22%
21.34%
35.37%
-39.88%
-69.68%
0.46
0.65
0.69
Portfolio Asset Performance
Performance of portfolio assets
Name
Total Return
Annualized Return
Expense Ratio
3 Month
Year To Date
1 year
3 year
5 year
10 year
Net
Gross
SPDR S&P 500 ETF Trust
3.95%
12.00%
12.00%
8.77%
14.58%
6.87%
0.09%
0.09%
Fidelity Investment Grade Bond
-2.45%
5.33%
5.33%
3.14%
2.75%
4.04%
0.45%
0.45%
iShares US Real Estate ETF
-3.23%
7.03%
7.03%
11.28%
10.50%
3.52%
0.39%
0.39%
Trailing returns as of last calendar month ending December 2016
Monthly Correlations
Correlations for the portfolio assets
Ticker
Name
SPY
FBNDX
IYR
Portfolio 1
Portfolio 2
Portfolio 3
SPY
SPDR S&P 500 ETF Trust
1.00
0.14
0.67
1.00
0.98
0.86
FBNDX
Fidelity Investment Grade Bond
0.14
1.00
0.38
0.14
0.30
0.41
IYR
iShares US Real Estate ETF
0.67
0.38
1.00
0.67
0.71
0.95
Portfolio Return Decomposition
Portfolio return decomposition
Ticker
Name
Portfolio 1
Portfolio 2
Portfolio 3
SPY
SPDR S&P 500 ETF Trust
$13,173
$9,811
$6,901
FBNDX
Fidelity Investment Grade Bond
$3,745
$3,692
IYR
iShares US Real Estate ETF
$8,565
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets.
Portfolio Risk Decomposition
Portfolio risk decomposition
Ticker
Name
Portfolio 1
Portfolio 2
Portfolio 3
SPY
SPDR S&P 500 ETF Trust
100.00%
95.00%
36.68%
FBNDX
Fidelity Investment Grade Bond
5.00%
4.52%
IYR
iShares US Real Estate ETF
58.80%
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets.