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.
The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.
| Ticker | Name | Allocation |
|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | 100.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | 60.00% |
| FBNDX | Fidelity Investment Grade Bond | 40.00% |
| Save portfolio » | ||
| Ticker | Name | Allocation |
|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | 33.34% |
| FBNDX | Fidelity Investment Grade Bond | 33.33% |
| IYR | iShares US Real Estate ETF | 33.33% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $23,173 | 5.39% | 14.73% | 32.31% | -36.81% | -50.80% | 0.34 | 0.47 | 0.99 |
| Portfolio 2 | $10,000 | $23,556 | 5.50% | 8.91% | 22.23% | -24.93% | -34.75% | 0.49 | 0.70 | 0.98 |
| Portfolio 3 | $10,000 | $29,158 | 6.92% | 11.19% | 24.28% | -27.93% | -44.51% | 0.53 | 0.74 | 0.86 |
| Name | 3 Month | 1 year | 3 year | 5 year | 10 year | Full |
|---|---|---|---|---|---|---|
| Portfolio 1 | 3.95% | 12.00% | 8.77% | 14.58% | 6.87% | 5.39% |
| Portfolio 2 | 1.39% | 9.33% | 6.52% | 9.96% | 6.07% | 5.50% |
| Portfolio 3 | -0.60% | 8.12% | 7.79% | 9.46% | 5.25% | 6.92% |
| Trailing returns are for full months ending in December 2016 excluding portfolio cashflows. | ||||||
| Year | Inflation | Return | Balance | SPDR S&P 500 ETF Trust (SPY) | Fidelity Investment Grade Bond (FBNDX) | iShares US Real Estate ETF (IYR) | ||||
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | Portfolio 2 | Portfolio 3 | Portfolio 1 | Portfolio 2 | Portfolio 3 | |||||
| 2001 | 1.55% | -11.75% | -3.59% | 1.74% | $8,825 | $9,641 | $10,174 | -11.75% | 8.65% | 8.33% |
| 2002 | 2.38% | -21.59% | -9.18% | -2.90% | $6,920 | $8,756 | $9,879 | -21.59% | 9.44% | 3.45% |
| 2003 | 1.88% | 28.18% | 18.81% | 22.77% | $8,869 | $10,403 | $12,128 | 28.18% | 4.77% | 35.37% |
| 2004 | 3.26% | 10.70% | 8.26% | 15.15% | $9,819 | $11,263 | $13,966 | 10.70% | 4.60% | 30.15% |
| 2005 | 3.42% | 4.83% | 4.05% | 5.55% | $10,293 | $11,718 | $14,741 | 4.83% | 2.87% | 8.94% |
| 2006 | 2.54% | 15.85% | 11.48% | 18.57% | $11,924 | $13,064 | $17,477 | 15.85% | 4.94% | 34.91% |
| 2007 | 4.08% | 5.14% | 4.25% | -3.35% | $12,536 | $13,620 | $16,892 | 5.14% | 2.93% | -18.12% |
| 2008 | 0.09% | -36.81% | -24.93% | -27.93% | $7,922 | $10,224 | $12,173 | -36.81% | -7.12% | -39.88% |
| 2009 | 2.72% | 26.36% | 22.23% | 24.28% | $10,010 | $12,497 | $15,129 | 26.36% | 16.02% | 30.46% |
| 2010 | 1.50% | 15.06% | 12.41% | 16.69% | $11,518 | $14,047 | $17,654 | 15.06% | 8.43% | 26.58% |
| 2011 | 2.96% | 1.89% | 4.30% | 5.11% | $11,735 | $14,651 | $18,555 | 1.89% | 7.91% | 5.52% |
| 2012 | 1.74% | 15.99% | 12.09% | 13.48% | $13,612 | $16,422 | $21,056 | 15.99% | 6.23% | 18.21% |
| 2013 | 1.50% | 32.31% | 18.69% | 10.58% | $18,009 | $19,491 | $23,283 | 32.31% | -1.74% | 1.16% |
| 2014 | 0.76% | 13.46% | 10.40% | 15.32% | $20,434 | $21,518 | $26,850 | 13.46% | 5.81% | 26.69% |
| 2015 | 0.73% | 1.25% | 0.12% | 0.44% | $20,690 | $21,545 | $26,968 | 1.25% | -1.57% | 1.63% |
| 2016 | 2.07% | 12.00% | 9.33% | 8.12% | $23,173 | $23,556 | $29,158 | 12.00% | 5.33% | 7.03% |
| Year | Month | Return | Balance | SPDR S&P 500 ETF Trust (SPY) | Fidelity Investment Grade Bond (FBNDX) | iShares US Real Estate ETF (IYR) | ||||
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | Portfolio 2 | Portfolio 3 | Portfolio 1 | Portfolio 2 | Portfolio 3 | |||||
| 2001 | 1 | 4.45% | 3.32% | 2.18% | $10,445 | $10,332 | $10,218 | 4.45% | 1.64% | 0.46% |
| 2001 | 2 | -9.54% | -5.43% | -3.40% | $9,448 | $9,772 | $9,871 | -9.54% | 0.91% | -1.38% |
| 2001 | 3 | -5.60% | -3.09% | -1.70% | $8,919 | $9,470 | $9,704 | -5.60% | 0.38% | -0.12% |
| 2001 | 4 | 8.54% | 4.56% | 3.50% | $9,681 | $9,902 | $10,043 | 8.54% | -0.62% | 3.23% |
| 2001 | 5 | -0.56% | -0.02% | 0.85% | $9,627 | $9,900 | $10,129 | -0.56% | 0.76% | 2.29% |
| 2001 | 6 | -2.38% | -1.25% | 1.10% | $9,398 | $9,776 | $10,240 | -2.38% | 0.33% | 5.07% |
| 2001 | 7 | -1.02% | 0.38% | -0.16% | $9,302 | $9,814 | $10,224 | -1.02% | 2.29% | -1.72% |
| 2001 | 8 | -5.93% | -2.88% | -0.45% | $8,750 | $9,531 | $10,178 | -5.93% | 1.14% | 2.71% |
| 2001 | 9 | -8.16% | -4.00% | -3.63% | $8,036 | $9,150 | $9,808 | -8.16% | 1.10% | -4.62% |
| 2001 | 10 | 1.30% | 1.65% | -0.99% | $8,141 | $9,301 | $9,711 | 1.30% | 2.05% | -5.84% |
| 2001 | 11 | 7.80% | 3.53% | 3.97% | $8,775 | $9,630 | $10,097 | 7.80% | -1.18% | 6.56% |
| 2001 | 12 | 0.56% | 0.12% | 0.76% | $8,825 | $9,641 | $10,174 | 0.56% | -0.42% | 2.15% |
| 2002 | 1 | -0.98% | -0.31% | -0.06% | $8,738 | $9,611 | $10,168 | -0.98% | 0.68% | 0.11% |
| 2002 | 2 | -1.79% | -0.71% | 0.37% | $8,582 | $9,543 | $10,205 | -1.79% | 0.90% | 1.98% |
| 2002 | 3 | 3.32% | 1.24% | 2.53% | $8,867 | $9,661 | $10,464 | 3.32% | -1.76% | 6.06% |
| 2002 | 4 | -5.82% | -2.84% | -1.26% | $8,351 | $9,386 | $10,332 | -5.82% | 1.65% | 0.29% |
| 2002 | 5 | -0.59% | -0.01% | 0.77% | $8,302 | $9,385 | $10,412 | -0.59% | 0.80% | 1.93% |
| 2002 | 6 | -7.38% | -4.12% | -1.56% | $7,689 | $8,998 | $10,249 | -7.38% | 0.36% | 1.60% |
| 2002 | 7 | -7.88% | -4.13% | -3.81% | $7,083 | $8,626 | $9,859 | -7.88% | 0.64% | -4.71% |
| 2002 | 8 | 0.68% | 1.41% | 1.12% | $7,131 | $8,747 | $9,969 | 0.68% | 2.25% | 0.36% |
| 2002 | 9 | -10.49% | -5.07% | -4.28% | $6,384 | $8,303 | $9,542 | -10.49% | 1.14% | -4.94% |
| 2002 | 10 | 8.23% | 3.98% | 0.52% | $6,909 | $8,634 | $9,592 | 8.23% | -0.33% | -4.04% |
| 2002 | 11 | 6.17% | 3.50% | 3.60% | $7,335 | $8,936 | $9,937 | 6.17% | 0.56% | 4.84% |
| 2002 | 12 | -5.66% | -2.02% | -0.58% | $6,920 | $8,756 | $9,879 | -5.66% | 2.23% | 0.59% |
| 2003 | 1 | -2.46% | -1.42% | -2.00% | $6,749 | $8,632 | $9,681 | -2.46% | 0.15% | -3.69% |
| 2003 | 2 | -1.35% | -0.21% | 0.68% | $6,659 | $8,614 | $9,747 | -1.35% | 1.45% | 1.93% |
| 2003 | 3 | 0.21% | 0.18% | 0.76% | $6,672 | $8,629 | $9,821 | 0.21% | 0.14% | 1.94% |
| 2003 | 4 | 8.46% | 5.39% | 4.30% | $7,237 | $9,094 | $10,243 | 8.46% | 1.03% | 3.60% |
| 2003 | 5 | 5.48% | 3.98% | 4.47% | $7,634 | $9,456 | $10,701 | 5.48% | 1.68% | 6.22% |
| 2003 | 6 | 1.07% | 0.62% | 0.93% | $7,715 | $9,514 | $10,801 | 1.07% | -0.10% | 1.77% |
| 2003 | 7 | 1.80% | -0.20% | 1.41% | $7,854 | $9,495 | $10,953 | 1.80% | -3.41% | 5.50% |
| 2003 | 8 | 2.06% | 1.60% | 1.25% | $8,016 | $9,647 | $11,089 | 2.06% | 0.81% | 0.84% |
| 2003 | 9 | -1.09% | 0.31% | 1.49% | $7,929 | $9,677 | $11,254 | -1.09% | 2.71% | 2.94% |
| 2003 | 10 | 5.35% | 2.99% | 2.14% | $8,353 | $9,966 | $11,495 | 5.35% | -0.91% | 1.74% |
| 2003 | 11 | 1.09% | 0.78% | 2.00% | $8,444 | $10,044 | $11,726 | 1.09% | 0.25% | 4.34% |
| 2003 | 12 | 5.03% | 3.57% | 3.44% | $8,869 | $10,403 | $12,128 | 5.03% | 1.00% | 3.88% |
| 2004 | 1 | 1.98% | 1.51% | 2.29% | $9,045 | $10,561 | $12,406 | 1.98% | 0.82% | 4.07% |
| 2004 | 2 | 1.36% | 1.18% | 1.36% | $9,167 | $10,686 | $12,575 | 1.36% | 0.92% | 1.80% |
| 2004 | 3 | -1.32% | -0.47% | 1.67% | $9,046 | $10,636 | $12,786 | -1.32% | 0.83% | 5.41% |
| 2004 | 4 | -1.89% | -2.12% | -6.68% | $8,875 | $10,410 | $11,931 | -1.89% | -2.46% | -14.94% |
| 2004 | 5 | 1.71% | 0.86% | 2.63% | $9,027 | $10,500 | $12,245 | 1.71% | -0.41% | 6.81% |
| 2004 | 6 | 1.85% | 1.34% | 1.78% | $9,194 | $10,640 | $12,463 | 1.85% | 0.55% | 2.90% |
| 2004 | 7 | -3.22% | -1.54% | -0.64% | $8,898 | $10,477 | $12,383 | -3.22% | 1.08% | 0.27% |
| 2004 | 8 | 0.24% | 0.90% | 3.52% | $8,920 | $10,571 | $12,818 | 0.24% | 1.88% | 8.24% |
| 2004 | 9 | 1.00% | 0.70% | 0.26% | $9,009 | $10,646 | $12,851 | 1.00% | 0.27% | -0.41% |
| 2004 | 10 | 1.29% | 1.10% | 2.50% | $9,125 | $10,762 | $13,173 | 1.29% | 0.82% | 5.14% |
| 2004 | 11 | 4.45% | 2.40% | 2.75% | $9,531 | $11,020 | $13,535 | 4.45% | -0.64% | 4.25% |
| 2004 | 12 | 3.02% | 2.20% | 3.18% | $9,819 | $11,263 | $13,966 | 3.02% | 0.93% | 5.22% |
| 2005 | 1 | -2.24% | -1.07% | -3.36% | $9,599 | $11,142 | $13,496 | -2.24% | 0.68% | -8.52% |
| 2005 | 2 | 2.09% | 1.03% | 1.57% | $9,799 | $11,256 | $13,709 | 2.09% | -0.53% | 3.34% |
| 2005 | 3 | -1.83% | -1.29% | -1.60% | $9,620 | $11,110 | $13,489 | -1.83% | -0.50% | -2.54% |
| 2005 | 4 | -1.87% | -0.67% | 1.54% | $9,440 | $11,036 | $13,696 | -1.87% | 1.11% | 5.62% |
| 2005 | 5 | 3.22% | 2.35% | 2.67% | $9,744 | $11,296 | $14,062 | 3.22% | 1.11% | 3.75% |
| 2005 | 6 | 0.15% | 0.28% | 1.71% | $9,759 | $11,328 | $14,303 | 0.15% | 0.48% | 4.49% |
| 2005 | 7 | 3.83% | 2.02% | 3.30% | $10,132 | $11,557 | $14,775 | 3.83% | -0.61% | 6.60% |
| 2005 | 8 | -0.94% | -0.12% | -1.46% | $10,037 | $11,543 | $14,559 | -0.94% | 1.14% | -4.29% |
| 2005 | 9 | 0.80% | 0.13% | 0.00% | $10,117 | $11,558 | $14,560 | 0.80% | -0.88% | 0.09% |
| 2005 | 10 | -2.37% | -1.72% | -2.08% | $9,878 | $11,359 | $14,257 | -2.37% | -0.74% | -3.07% |
| 2005 | 11 | 4.40% | 2.82% | 3.22% | $10,312 | $11,680 | $14,716 | 4.40% | 0.48% | 4.74% |
| 2005 | 12 | -0.19% | 0.33% | 0.17% | $10,293 | $11,718 | $14,741 | -0.19% | 1.14% | -0.39% |
| 2006 | 1 | 2.40% | 1.46% | 3.25% | $10,540 | $11,890 | $15,220 | 2.40% | 0.06% | 7.30% |
| 2006 | 2 | 0.57% | 0.47% | 0.90% | $10,600 | $11,946 | $15,357 | 0.57% | 0.31% | 1.77% |
| 2006 | 3 | 1.65% | 0.70% | 2.25% | $10,775 | $12,030 | $15,703 | 1.65% | -0.75% | 5.57% |
| 2006 | 4 | 1.26% | 0.74% | -0.79% | $10,911 | $12,119 | $15,579 | 1.26% | -0.08% | -3.27% |
| 2006 | 5 | -3.01% | -1.88% | -2.19% | $10,583 | $11,891 | $15,238 | -3.01% | -0.07% | -3.31% |
| 2006 | 6 | 0.26% | 0.19% | 1.71% | $10,610 | $11,914 | $15,499 | 0.26% | 0.08% | 4.60% |
| 2006 | 7 | 0.45% | 0.86% | 1.92% | $10,658 | $12,016 | $15,797 | 0.45% | 1.49% | 3.65% |
| 2006 | 8 | 2.18% | 1.91% | 2.25% | $10,891 | $12,245 | $16,153 | 2.18% | 1.49% | 2.98% |
| 2006 | 9 | 2.70% | 2.01% | 2.03% | $11,184 | $12,491 | $16,481 | 2.70% | 0.93% | 2.38% |
| 2006 | 10 | 3.15% | 2.19% | 3.61% | $11,537 | $12,765 | $17,076 | 3.15% | 0.68% | 6.48% |
| 2006 | 11 | 1.99% | 1.69% | 2.75% | $11,766 | $12,981 | $17,546 | 1.99% | 1.21% | 4.63% |
| 2006 | 12 | 1.34% | 0.64% | -0.39% | $11,924 | $13,064 | $17,477 | 1.34% | -0.49% | -1.76% |
| 2007 | 1 | 1.50% | 0.90% | 3.72% | $12,103 | $13,182 | $18,127 | 1.50% | -0.00% | 9.66% |
| 2007 | 2 | -1.96% | -0.66% | -1.47% | $11,866 | $13,095 | $17,860 | -1.96% | 1.33% | -3.58% |
| 2007 | 3 | 1.16% | 0.69% | -0.49% | $12,003 | $13,186 | $17,772 | 1.16% | 0.00% | -2.53% |
| 2007 | 4 | 4.43% | 2.87% | 1.74% | $12,535 | $13,564 | $18,081 | 4.43% | 0.54% | 0.29% |
| 2007 | 5 | 3.39% | 1.80% | 0.98% | $12,960 | $13,808 | $18,258 | 3.39% | -0.67% | 0.15% |
| 2007 | 6 | -1.46% | -1.11% | -3.56% | $12,770 | $13,654 | $17,608 | -1.46% | -0.55% | -8.71% |
| 2007 | 7 | -3.13% | -1.82% | -3.85% | $12,371 | $13,406 | $16,930 | -3.13% | 0.28% | -9.07% |
| 2007 | 8 | 1.28% | 0.73% | 1.97% | $12,529 | $13,504 | $17,263 | 1.28% | -0.13% | 5.26% |
| 2007 | 9 | 3.87% | 2.69% | 2.92% | $13,014 | $13,867 | $17,768 | 3.87% | 0.85% | 4.14% |
| 2007 | 10 | 1.36% | 0.84% | 0.72% | $13,191 | $13,984 | $17,897 | 1.36% | 0.01% | 0.76% |
| 2007 | 11 | -3.87% | -2.09% | -3.94% | $12,680 | $13,691 | $17,191 | -3.87% | 0.82% | -9.12% |
| 2007 | 12 | -1.13% | -0.52% | -1.74% | $12,536 | $13,620 | $16,892 | -1.13% | 0.42% | -5.07% |
| 2008 | 1 | -6.05% | -3.18% | -1.61% | $11,778 | $13,186 | $16,620 | -6.05% | 1.11% | 0.11% |
| 2008 | 2 | -2.58% | -1.70% | -2.40% | $11,474 | $12,962 | $16,220 | -2.58% | -0.46% | -4.20% |
| 2008 | 3 | -0.90% | -1.01% | 0.79% | $11,370 | $12,831 | $16,349 | -0.90% | -1.15% | 4.46% |
| 2008 | 4 | 4.77% | 2.73% | 3.47% | $11,912 | $13,181 | $16,916 | 4.77% | -0.06% | 5.81% |
| 2008 | 5 | 1.51% | 0.76% | 0.66% | $12,092 | $13,281 | $17,028 | 1.51% | -0.33% | 0.81% |
| 2008 | 6 | -8.35% | -4.98% | -6.77% | $11,082 | $12,620 | $15,875 | -8.35% | -0.05% | -11.57% |
| 2008 | 7 | -0.90% | -0.78% | 0.32% | $10,983 | $12,521 | $15,926 | -0.90% | -0.63% | 2.47% |
| 2008 | 8 | 1.55% | 1.05% | 1.24% | $11,153 | $12,652 | $16,123 | 1.55% | 0.39% | 1.81% |
| 2008 | 9 | -9.44% | -6.56% | -4.22% | $10,100 | $11,823 | $15,442 | -9.44% | -2.67% | -1.07% |
| 2008 | 10 | -16.52% | -11.54% | -17.84% | $8,432 | $10,459 | $12,688 | -16.52% | -5.27% | -31.32% |
| 2008 | 11 | -6.96% | -4.13% | -8.88% | $7,845 | $10,027 | $11,560 | -6.96% | -0.99% | -21.55% |
| 2008 | 12 | 0.98% | 1.96% | 5.30% | $7,922 | $10,224 | $12,173 | 0.98% | 2.99% | 14.41% |
| 2009 | 1 | -8.21% | -4.63% | -7.76% | $7,271 | $9,751 | $11,228 | -8.21% | 0.75% | -15.82% |
| 2009 | 2 | -10.74% | -6.43% | -9.78% | $6,490 | $9,124 | $10,131 | -10.74% | -0.53% | -19.78% |
| 2009 | 3 | 8.35% | 5.22% | 4.25% | $7,032 | $9,601 | $10,561 | 8.35% | 1.39% | 3.52% |
| 2009 | 4 | 9.93% | 6.42% | 12.05% | $7,730 | $10,217 | $11,834 | 9.93% | 1.82% | 29.62% |
| 2009 | 5 | 5.85% | 4.49% | 3.57% | $8,182 | $10,676 | $12,257 | 5.85% | 2.56% | 2.27% |
| 2009 | 6 | -0.07% | 0.48% | -0.34% | $8,177 | $10,727 | $12,215 | -0.07% | 1.28% | -2.51% |
| 2009 | 7 | 7.46% | 5.47% | 6.66% | $8,787 | $11,313 | $13,028 | 7.46% | 2.59% | 10.58% |
| 2009 | 8 | 3.69% | 2.89% | 5.96% | $9,111 | $11,640 | $13,804 | 3.69% | 1.68% | 13.19% |
| 2009 | 9 | 3.55% | 2.85% | 3.80% | $9,434 | $11,972 | $14,329 | 3.55% | 1.78% | 6.06% |
| 2009 | 10 | -1.92% | -0.71% | -1.95% | $9,253 | $11,887 | $14,049 | -1.92% | 1.18% | -4.97% |
| 2009 | 11 | 6.16% | 4.28% | 4.89% | $9,823 | $12,396 | $14,736 | 6.16% | 1.44% | 7.08% |
| 2009 | 12 | 1.91% | 0.81% | 2.67% | $10,010 | $12,497 | $15,129 | 1.91% | -0.92% | 6.89% |
| 2010 | 1 | -3.63% | -1.49% | -2.44% | $9,647 | $12,310 | $14,759 | -3.63% | 1.72% | -5.42% |
| 2010 | 2 | 3.12% | 2.00% | 2.93% | $9,948 | $12,557 | $15,192 | 3.12% | 0.41% | 5.46% |
| 2010 | 3 | 6.09% | 3.73% | 5.33% | $10,553 | $13,025 | $16,002 | 6.09% | 0.28% | 9.75% |
| 2010 | 4 | 1.55% | 1.48% | 3.17% | $10,717 | $13,218 | $16,509 | 1.55% | 1.39% | 6.39% |
| 2010 | 5 | -7.95% | -4.66% | -4.49% | $9,865 | $12,602 | $15,768 | -7.95% | 0.42% | -5.68% |
| 2010 | 6 | -5.17% | -2.40% | -2.76% | $9,355 | $12,299 | $15,333 | -5.17% | 1.53% | -4.65% |
| 2010 | 7 | 6.83% | 4.37% | 5.73% | $9,994 | $12,837 | $16,211 | 6.83% | 1.11% | 9.40% |
| 2010 | 8 | -4.50% | -2.06% | -1.41% | $9,544 | $12,572 | $15,982 | -4.50% | 1.34% | -1.30% |
| 2010 | 9 | 8.96% | 5.28% | 4.50% | $10,399 | $13,235 | $16,701 | 8.96% | 0.43% | 4.65% |
| 2010 | 10 | 3.82% | 2.57% | 2.86% | $10,796 | $13,576 | $17,180 | 3.82% | 0.79% | 3.93% |
| 2010 | 11 | 0.00% | -0.28% | -0.79% | $10,796 | $13,538 | $17,043 | 0.00% | -0.69% | -1.58% |
| 2010 | 12 | 6.68% | 3.76% | 3.58% | $11,518 | $14,047 | $17,654 | 6.68% | -0.58% | 4.57% |
| 2011 | 1 | 2.33% | 1.55% | 2.09% | $11,786 | $14,264 | $18,023 | 2.33% | 0.37% | 3.57% |
| 2011 | 2 | 3.47% | 2.30% | 2.85% | $12,196 | $14,592 | $18,538 | 3.47% | 0.50% | 4.52% |
| 2011 | 3 | 0.01% | 0.05% | -0.33% | $12,197 | $14,600 | $18,476 | 0.01% | 0.12% | -1.10% |
| 2011 | 4 | 2.90% | 2.35% | 3.05% | $12,550 | $14,943 | $19,038 | 2.90% | 1.49% | 4.66% |
| 2011 | 5 | -1.12% | -0.27% | 0.32% | $12,409 | $14,903 | $19,099 | -1.12% | 1.10% | 1.01% |
| 2011 | 6 | -1.69% | -1.12% | -1.72% | $12,200 | $14,736 | $18,771 | -1.69% | -0.24% | -3.11% |
| 2011 | 7 | -2.00% | -0.63% | -0.11% | $11,956 | $14,644 | $18,750 | -2.00% | 1.48% | 0.22% |
| 2011 | 8 | -5.50% | -2.86% | -3.27% | $11,298 | $14,225 | $18,136 | -5.50% | 1.06% | -5.31% |
| 2011 | 9 | -6.94% | -3.80% | -5.62% | $10,514 | $13,685 | $17,117 | -6.94% | 0.56% | -10.68% |
| 2011 | 10 | 10.91% | 6.26% | 7.75% | $11,661 | $14,541 | $18,442 | 10.91% | 0.28% | 13.19% |
| 2011 | 11 | -0.41% | -0.40% | -1.50% | $11,614 | $14,483 | $18,167 | -0.41% | -0.39% | -3.67% |
| 2011 | 12 | 1.04% | 1.16% | 2.14% | $11,735 | $14,651 | $18,555 | 1.04% | 1.32% | 4.09% |
| 2012 | 1 | 4.64% | 3.30% | 4.18% | $12,279 | $15,134 | $19,330 | 4.64% | 1.29% | 6.60% |
| 2012 | 2 | 4.34% | 2.65% | 1.23% | $12,812 | $15,536 | $19,568 | 4.34% | 0.03% | -0.69% |
| 2012 | 3 | 3.22% | 1.88% | 2.52% | $13,224 | $15,827 | $20,061 | 3.22% | -0.29% | 4.48% |
| 2012 | 4 | -0.67% | 0.00% | 1.00% | $13,136 | $15,828 | $20,261 | -0.67% | 1.12% | 2.58% |
| 2012 | 5 | -6.01% | -3.31% | -3.16% | $12,347 | $15,304 | $19,620 | -6.01% | 1.12% | -4.21% |
| 2012 | 6 | 4.05% | 2.47% | 3.20% | $12,848 | $15,682 | $20,249 | 4.05% | 0.06% | 5.36% |
| 2012 | 7 | 1.18% | 1.39% | 1.75% | $13,000 | $15,900 | $20,604 | 1.18% | 1.72% | 2.33% |
| 2012 | 8 | 2.51% | 1.57% | 0.97% | $13,325 | $16,149 | $20,803 | 2.51% | 0.08% | 0.31% |
| 2012 | 9 | 2.54% | 1.78% | 0.65% | $13,663 | $16,437 | $20,937 | 2.54% | 0.56% | -1.11% |
| 2012 | 10 | -1.82% | -1.06% | -0.77% | $13,414 | $16,263 | $20,776 | -1.82% | 0.19% | -0.59% |
| 2012 | 11 | 0.57% | 0.46% | 0.08% | $13,490 | $16,337 | $20,793 | 0.57% | 0.28% | -0.58% |
| 2012 | 12 | 0.90% | 0.52% | 1.26% | $13,612 | $16,422 | $21,056 | 0.90% | -0.10% | 2.89% |
| 2013 | 1 | 5.12% | 2.83% | 2.85% | $14,309 | $16,887 | $21,655 | 5.12% | -0.60% | 4.02% |
| 2013 | 2 | 1.28% | 0.94% | 0.99% | $14,491 | $17,045 | $21,870 | 1.28% | 0.41% | 1.26% |
| 2013 | 3 | 3.80% | 2.40% | 2.32% | $15,042 | $17,455 | $22,378 | 3.80% | 0.17% | 2.87% |
| 2013 | 4 | 1.92% | 1.59% | 2.94% | $15,330 | $17,733 | $23,036 | 1.92% | 1.05% | 5.73% |
| 2013 | 5 | 2.36% | 0.84% | -1.98% | $15,692 | $17,883 | $22,581 | 2.36% | -1.69% | -6.49% |
| 2013 | 6 | -1.34% | -1.57% | -1.89% | $15,483 | $17,602 | $22,155 | -1.34% | -1.97% | -2.40% |
| 2013 | 7 | 5.17% | 3.41% | 2.05% | $16,283 | $18,203 | $22,608 | 5.17% | 0.34% | 0.24% |
| 2013 | 8 | -3.00% | -2.18% | -3.45% | $15,795 | $17,805 | $21,829 | -3.00% | -0.69% | -6.53% |
| 2013 | 9 | 3.17% | 2.39% | 2.58% | $16,295 | $18,232 | $22,393 | 3.17% | 1.01% | 3.46% |
| 2013 | 10 | 4.63% | 3.35% | 3.23% | $17,049 | $18,842 | $23,116 | 4.63% | 1.00% | 3.73% |
| 2013 | 11 | 2.96% | 1.84% | -0.44% | $17,555 | $19,189 | $23,014 | 2.96% | -0.30% | -4.64% |
| 2013 | 12 | 2.59% | 1.57% | 1.17% | $18,009 | $19,491 | $23,283 | 2.59% | -0.42% | 0.90% |
| 2014 | 1 | -3.52% | -1.55% | 0.44% | $17,375 | $19,188 | $23,385 | -3.52% | 1.40% | 3.44% |
| 2014 | 2 | 4.55% | 3.03% | 3.38% | $18,165 | $19,769 | $24,174 | 4.55% | 0.85% | 4.75% |
| 2014 | 3 | 0.83% | 0.43% | 0.26% | $18,316 | $19,854 | $24,238 | 0.83% | -0.16% | 0.14% |
| 2014 | 4 | 0.70% | 0.76% | 1.56% | $18,444 | $20,005 | $24,616 | 0.70% | 0.85% | 3.03% |
| 2014 | 5 | 2.32% | 1.88% | 2.13% | $18,872 | $20,381 | $25,141 | 2.32% | 1.23% | 2.80% |
| 2014 | 6 | 2.06% | 1.27% | 1.05% | $19,261 | $20,640 | $25,405 | 2.06% | 0.07% | 1.01% |
| 2014 | 7 | -1.34% | -0.98% | -0.61% | $19,002 | $20,438 | $25,249 | -1.34% | -0.42% | -0.11% |
| 2014 | 8 | 3.95% | 2.87% | 2.91% | $19,752 | $21,024 | $25,984 | 3.95% | 1.23% | 3.47% |
| 2014 | 9 | -1.38% | -1.20% | -2.85% | $19,480 | $20,771 | $25,243 | -1.38% | -0.93% | -5.89% |
| 2014 | 10 | 2.36% | 1.82% | 3.99% | $19,939 | $21,148 | $26,251 | 2.36% | 0.98% | 8.35% |
| 2014 | 11 | 2.75% | 1.92% | 2.07% | $20,486 | $21,554 | $26,795 | 2.75% | 0.60% | 2.72% |
| 2014 | 12 | -0.26% | -0.16% | 0.21% | $20,434 | $21,518 | $26,850 | -0.26% | -0.02% | 0.81% |
| 2015 | 1 | -2.96% | -1.03% | 1.54% | $19,828 | $21,297 | $27,264 | -2.96% | 1.88% | 5.71% |
| 2015 | 2 | 5.62% | 3.09% | 0.71% | $20,943 | $21,955 | $27,458 | 5.62% | -0.54% | -2.60% |
| 2015 | 3 | -1.57% | -0.86% | -0.09% | $20,613 | $21,766 | $27,434 | -1.57% | 0.22% | 1.09% |
| 2015 | 4 | 0.98% | 0.52% | -1.36% | $20,816 | $21,880 | $27,060 | 0.98% | -0.16% | -4.82% |
| 2015 | 5 | 1.29% | 0.66% | 0.23% | $21,083 | $22,025 | $27,123 | 1.29% | -0.27% | -0.33% |
| 2015 | 6 | -2.03% | -1.74% | -2.55% | $20,656 | $21,643 | $26,430 | -2.03% | -1.29% | -4.39% |
| 2015 | 7 | 2.26% | 1.56% | 2.52% | $21,122 | $21,980 | $27,097 | 2.26% | 0.50% | 4.94% |
| 2015 | 8 | -6.10% | -3.96% | -4.20% | $19,835 | $21,110 | $25,959 | -6.10% | -0.66% | -5.80% |
| 2015 | 9 | -2.54% | -1.51% | -0.34% | $19,330 | $20,792 | $25,872 | -2.54% | 0.01% | 1.60% |
| 2015 | 10 | 8.51% | 5.20% | 5.00% | $20,975 | $21,874 | $27,166 | 8.51% | 0.50% | 6.23% |
| 2015 | 11 | 0.37% | -0.04% | -0.16% | $21,051 | $21,865 | $27,121 | 0.37% | -0.67% | -0.20% |
| 2015 | 12 | -1.72% | -1.46% | -0.57% | $20,690 | $21,545 | $26,968 | -1.72% | -1.07% | 1.10% |
| 2016 | 1 | -4.98% | -2.73% | -2.82% | $19,660 | $20,956 | $26,208 | -4.98% | 0.63% | -4.10% |
| 2016 | 2 | -0.08% | 0.21% | -0.06% | $19,643 | $20,999 | $26,192 | -0.08% | 0.62% | -0.75% |
| 2016 | 3 | 6.72% | 4.73% | 6.22% | $20,964 | $21,993 | $27,820 | 6.72% | 1.93% | 10.26% |
| 2016 | 4 | 0.39% | 0.69% | -0.07% | $21,047 | $22,144 | $27,802 | 0.39% | 1.11% | -1.67% |
| 2016 | 5 | 1.70% | 1.00% | 1.28% | $21,405 | $22,364 | $28,159 | 1.70% | -0.04% | 2.21% |
| 2016 | 6 | 0.35% | 0.96% | 2.84% | $21,480 | $22,580 | $28,959 | 0.35% | 1.87% | 6.24% |
| 2016 | 7 | 3.65% | 2.61% | 2.80% | $22,263 | $23,168 | $29,770 | 3.65% | 1.08% | 3.65% |
| 2016 | 8 | 0.12% | 0.25% | -0.99% | $22,290 | $23,227 | $29,476 | 0.12% | 0.45% | -3.35% |
| 2016 | 9 | 0.01% | 0.03% | -0.48% | $22,292 | $23,233 | $29,334 | 0.01% | 0.06% | -1.47% |
| 2016 | 10 | -1.73% | -1.26% | -2.44% | $21,905 | $22,940 | $28,619 | -1.73% | -0.56% | -4.96% |
| 2016 | 11 | 3.68% | 1.25% | -0.33% | $22,712 | $23,227 | $28,523 | 3.68% | -2.34% | -2.34% |
| 2016 | 12 | 2.03% | 1.41% | 2.23% | $23,173 | $23,556 | $29,158 | 2.03% | 0.45% | 4.25% |
| 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 Apr 2005 to Dec 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. | |||
| Ticker | Name | Category | Weight | ER | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | Large Blend | 100.00% | 0.09% | 26.67 | $13,173 | 100.00% |
| Ticker | Name | Category | Weight | ER | P/E | Duration | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | Large Blend | 60.00% | 0.09% | 26.67 | $9,811 | 95.00% | |
| FBNDX | Fidelity Investment Grade Bond | Intermediate Core Bond | 40.00% | 0.45% | 5.69 | $3,745 | 5.00% | |
| 100.00% | 0.24% | 26.67 | 5.69 | $13,556 | 100.00% |
| Ticker | Name | Category | Weight | ER | P/E | Duration | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| SPY | SPDR S&P 500 ETF Trust | Large Blend | 33.34% | 0.09% | 26.67 | $6,901 | 36.68% | |
| FBNDX | Fidelity Investment Grade Bond | Intermediate Core Bond | 33.33% | 0.45% | 5.69 | $3,692 | 4.52% | |
| IYR | iShares US Real Estate ETF | Real Estate | 33.33% | 0.42% | 31.56 | $8,565 | 58.80% | |
| 100.00% | 0.32% | 29.11 | 5.69 | $19,158 | 100.00% |
Fund fundamentals data as of 09/29/2020. (c) 2020 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.
| 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% |
| 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 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%) | -7.90% | -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 (%) | 94.19 | 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. | |||
| Stress Period | Start | End | Portfolio 1 | Portfolio 2 | Portfolio 3 |
|---|---|---|---|---|---|
| Subprime Crisis | Nov 2007 | Mar 2009 | -50.80% | -34.75% | -43.39% |
| 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 | |||||||
| 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 | |||||||
| 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 | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt 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 |
| 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 |
| 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 |
| 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% |
| Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | ||||||
|---|---|---|---|---|---|---|---|---|---|
| Average | High | Low | Average | High | Low | Average | High | Low | |
| 1 year | 7.05% | 32.31% | -36.81% | 6.17% | 22.23% | -24.93% | 7.72% | 24.28% | -27.93% |
| 3 years | 7.20% | 20.31% | -8.36% | 6.42% | 13.67% | -4.45% | 7.72% | 15.09% | -6.18% |
| 5 years | 6.78% | 17.85% | -2.23% | 6.20% | 13.77% | -0.35% | 7.18% | 13.85% | 0.07% |
| 7 years | 5.84% | 14.70% | -1.53% | 5.71% | 11.24% | 0.84% | 6.44% | 12.03% | 2.60% |
| 10 years | 5.77% | 7.60% | 1.42% | 5.68% | 6.69% | 3.46% | 6.41% | 7.86% | 5.25% |
| 15 years | 5.81% | 6.65% | 4.97% | 5.69% | 6.14% | 5.25% | 7.05% | 7.27% | 6.84% |
| Result statistics are based on annualized rolling returns over full calendar year periods | |||||||||