Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Portfolio Analysis Results (Jun 2000 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IVV iShares Core S&P 500 ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
IJH iShares Core S&P Mid-Cap ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
IJR iShares Core S&P Small-Cap ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$25,088 5.07% 14.36%32.30%-37.02%-50.78% 0.310.430.99
Portfolio 2$10,000$44,402 8.35% 16.69%37.81%-36.18%-49.45% 0.480.690.95
Portfolio 3$10,000$51,477 9.22% 18.28%41.32%-31.52%-51.79% 0.490.720.90
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2000 are based on full calendar months from June to December
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results assume no rebalancing per parameterization. See the allocation drift tab for details
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes. This includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeiShares Core S&P 500 ETF (IVV)iShares Core S&P Mid-Cap ETF (IJH)iShares Core S&P Small-Cap ETF (IJR)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20001.46%-7.45%9.79%10.04%$9,255$10,979$11,0040.59% [$58.58]0.82% [$81.60]1.35% [$135]-7.45%9.79%10.04%
20011.55%-11.95%-1.24%6.43%$8,149$10,843$11,7111.02% [$93.96]0.77% [$84.88]0.54% [$59.16]-11.95%-1.24%6.43%
20022.38%-21.55%-14.21%-14.31%$6,393$9,302$10,0351.30% [$106]0.72% [$77.81]0.55% [$64.83]-21.55%-14.21%-14.31%
20031.88%28.46%35.21%38.50%$8,212$12,576$13,8982.31% [$148]1.40% [$131]0.84% [$84.17]28.46%35.21%38.50%
20043.26%10.79%16.09%22.41%$9,098$14,599$17,0131.90% [$156]1.00% [$126]0.89% [$124]10.79%16.09%22.41%
20053.42%4.87%12.88%7.53%$9,541$16,480$18,2941.79% [$162]1.27% [$185]0.93% [$158]4.87%12.88%7.53%
20062.54%15.94%9.67%15.09%$11,063$18,073$21,0531.92% [$183]1.01% [$167]0.88% [$161]15.94%9.67%15.09%
20074.08%5.29%7.30%-0.47%$11,648$19,393$20,9541.98% [$219]1.38% [$249]1.05% [$222]5.29%7.30%-0.47%
20080.09%-37.02%-36.18%-31.52%$7,336$12,377$14,3501.83% [$213]1.29% [$249]1.02% [$213]-37.02%-36.18%-31.52%
20092.72%26.60%37.81%25.88%$9,288$17,057$18,0642.41% [$177]1.75% [$216]1.22% [$175]26.60%37.81%25.88%
20101.50%15.09%26.72%26.60%$10,689$21,615$22,8702.01% [$187]1.33% [$226]1.35% [$244]15.09%26.72%26.60%
20112.96%1.86%-2.18%0.79%$10,887$21,144$23,0512.08% [$222]1.23% [$267]1.03% [$235]1.86%-2.18%0.79%
20121.74%16.06%17.79%16.29%$12,636$24,905$26,8072.40% [$261]1.67% [$352]1.90% [$439]16.06%17.79%16.29%
20131.50%32.30%33.46%41.32%$16,717$33,238$37,8842.36% [$298]1.71% [$425]1.41% [$377]32.30%33.46%41.32%
20140.76%13.56%9.71%5.85%$18,984$36,465$40,0992.05% [$343]1.46% [$485]1.29% [$488]13.56%9.71%5.85%
20150.73%1.30%-2.33%-2.07%$19,230$35,614$39,2682.26% [$430]1.51% [$550]1.44% [$578]1.30%-2.33%-2.07%
20162.07%12.16%20.73%26.61%$21,568$42,997$49,7172.23% [$428]1.91% [$679]1.52% [$599]12.16%20.73%26.61%
20172.11%21.76%16.26%13.15%$26,261$49,989$56,2542.11% [$454]1.38% [$591]1.35% [$669]21.76%16.26%13.15%
20181.91%-4.47%-11.18%-8.49%$25,088$44,402$51,4772.08% [$546]1.51% [$756]1.43% [$805]-4.47%-11.18%-8.49%
Annual returns for 2000 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Core S&P 500 ETF (IVV)iShares Core S&P Mid-Cap ETF (IJH)iShares Core S&P Small-Cap ETF (IJR)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200061.98%2.44%5.89%$10,198$10,244$10,5891.98%2.44%5.89%
20007-1.75%0.87%-2.82%$10,019$10,333$10,290-1.75%0.87%-2.82%
200086.53%11.25%9.31%$10,673$11,496$11,2486.53%11.25%9.31%
20009-5.44%-1.10%-2.82%$10,092$11,370$10,932-5.44%-1.10%-2.82%
200010-0.39%-3.24%0.53%$10,052$11,001$10,990-0.39%-3.24%0.53%
200011-7.56%-6.97%-10.04%$9,292$10,234$9,886-7.56%-6.97%-10.04%
200012-0.40%7.28%11.30%$9,255$10,979$11,004-0.40%7.28%11.30%
200114.22%1.66%4.75%$9,645$11,162$11,5264.22%1.66%4.75%
20012-9.37%-5.67%-5.94%$8,741$10,529$10,841-9.37%-5.67%-5.94%
20013-5.73%-7.23%-4.58%$8,240$9,768$10,344-5.73%-7.23%-4.58%
200147.27%11.31%7.85%$8,839$10,872$11,1577.27%11.31%7.85%
200150.42%2.20%2.04%$8,877$11,112$11,3840.42%2.20%2.04%
20016-2.14%-0.38%2.16%$8,686$11,070$11,630-2.14%-0.38%2.16%
20017-1.13%-1.95%-0.67%$8,588$10,854$11,553-1.13%-1.95%-0.67%
20018-5.83%-2.75%-1.80%$8,087$10,555$11,345-5.83%-2.75%-1.80%
20019-8.61%-12.40%-14.13%$7,391$9,246$9,742-8.61%-12.40%-14.13%
2001101.78%4.32%5.73%$7,523$9,645$10,3011.78%4.32%5.73%
2001117.76%7.29%6.59%$8,107$10,348$10,9797.76%7.29%6.59%
2001120.52%4.78%6.66%$8,149$10,843$11,7110.52%4.78%6.66%
20021-1.04%0.06%1.53%$8,064$10,849$11,890-1.04%0.06%1.53%
20022-1.86%-0.41%-2.07%$7,914$10,805$11,644-1.86%-0.41%-2.07%
200233.37%7.26%7.78%$8,181$11,590$12,5503.37%7.26%7.78%
20024-5.71%-0.26%3.18%$7,713$11,560$12,950-5.71%-0.26%3.18%
20025-0.81%-1.82%-4.26%$7,651$11,349$12,397-0.81%-1.82%-4.26%
20026-7.19%-7.34%-5.25%$7,101$10,516$11,747-7.19%-7.34%-5.25%
20027-7.77%-9.57%-13.97%$6,549$9,510$10,105-7.77%-9.57%-13.97%
200280.47%0.66%0.59%$6,580$9,573$10,1650.47%0.66%0.59%
20029-10.36%-8.25%-5.83%$5,898$8,783$9,572-10.36%-8.25%-5.83%
2002108.32%4.33%2.91%$6,389$9,163$9,8518.32%4.33%2.91%
2002115.73%5.90%5.38%$6,754$9,704$10,3815.73%5.90%5.38%
200212-5.35%-4.14%-3.33%$6,393$9,302$10,035-5.35%-4.14%-3.33%
20031-2.47%-3.25%-3.06%$6,235$8,999$9,728-2.47%-3.25%-3.06%
20032-1.39%-2.26%-3.49%$6,148$8,796$9,388-1.39%-2.26%-3.49%
200330.22%1.01%0.51%$6,162$8,885$9,4360.22%1.01%0.51%
200348.49%6.89%8.57%$6,685$9,497$10,2458.49%6.89%8.57%
200355.41%8.31%7.66%$7,047$10,286$11,0295.41%8.31%7.66%
200361.18%1.28%2.74%$7,130$10,418$11,3311.18%1.28%2.74%
200371.72%3.65%4.98%$7,253$10,798$11,8961.72%3.65%4.98%
200381.88%4.52%5.00%$7,389$11,287$12,4901.88%4.52%5.00%
20039-1.00%-1.63%-2.71%$7,315$11,102$12,152-1.00%-1.63%-2.71%
2003105.41%7.88%8.64%$7,710$11,977$13,2015.41%7.88%8.64%
2003111.22%3.29%3.87%$7,804$12,370$13,7121.22%3.29%3.87%
2003125.23%1.66%1.36%$8,212$12,576$13,8985.23%1.66%1.36%
200412.15%2.07%2.96%$8,389$12,836$14,3102.15%2.07%2.96%
200421.26%2.57%1.83%$8,494$13,167$14,5711.26%2.57%1.83%
20043-1.23%0.61%1.51%$8,390$13,247$14,792-1.23%0.61%1.51%
20044-1.87%-3.59%-3.89%$8,233$12,772$14,217-1.87%-3.59%-3.89%
200451.67%2.25%2.16%$8,370$13,059$14,5241.67%2.25%2.16%
200461.78%2.22%5.50%$8,519$13,349$15,3231.78%2.22%5.50%
20047-3.13%-4.74%-5.51%$8,252$12,717$14,479-3.13%-4.74%-5.51%
200480.20%0.05%-1.00%$8,269$12,723$14,3340.20%0.05%-1.00%
200490.96%2.78%4.96%$8,348$13,077$15,0450.96%2.78%4.96%
2004101.25%1.35%2.07%$8,453$13,253$15,3571.25%1.35%2.07%
2004114.43%6.03%8.78%$8,827$14,052$16,7044.43%6.03%8.78%
2004123.07%3.89%1.85%$9,098$14,599$17,0133.07%3.89%1.85%
20051-2.24%-2.34%-2.24%$8,894$14,258$16,631-2.24%-2.34%-2.24%
200522.08%3.31%2.79%$9,079$14,731$17,0952.08%3.31%2.79%
20053-1.81%-1.18%-2.54%$8,915$14,557$16,660-1.81%-1.18%-2.54%
20054-1.80%-3.60%-5.56%$8,755$14,033$15,733-1.80%-3.60%-5.56%
200553.15%5.72%6.47%$9,030$14,836$16,7513.15%5.72%6.47%
200560.13%2.47%3.55%$9,041$15,202$17,3450.13%2.47%3.55%
200573.85%5.49%6.14%$9,390$16,037$18,4103.85%5.49%6.14%
20058-0.97%-0.97%-1.63%$9,299$15,881$18,111-0.97%-0.97%-1.63%
200590.82%0.63%0.72%$9,375$15,981$18,2410.82%0.63%0.72%
200510-2.15%-3.06%-3.57%$9,174$15,491$17,591-2.15%-3.06%-3.57%
2005114.16%5.70%5.15%$9,556$16,374$18,4974.16%5.70%5.15%
200512-0.16%0.64%-1.10%$9,541$16,480$18,294-0.16%0.64%-1.10%
200612.47%5.45%8.20%$9,777$17,377$19,7942.47%5.45%8.20%
200620.53%-0.40%-0.48%$9,829$17,308$19,6990.53%-0.40%-0.48%
200631.56%2.55%4.99%$9,983$17,749$20,6831.56%2.55%4.99%
200641.29%1.46%0.11%$10,112$18,009$20,7051.29%1.46%0.11%
20065-2.93%-4.53%-4.55%$9,816$17,194$19,763-2.93%-4.53%-4.55%
200660.27%-0.49%-0.19%$9,842$17,109$19,7250.27%-0.49%-0.19%
200670.39%-3.05%-3.70%$9,881$16,587$18,9940.39%-3.05%-3.70%
200682.20%1.23%1.81%$10,098$16,791$19,3372.20%1.23%1.81%
200692.67%0.91%0.88%$10,368$16,944$19,5072.67%0.91%0.88%
2006103.21%4.26%5.14%$10,701$17,665$20,5093.21%4.26%5.14%
2006111.96%3.05%2.62%$10,911$18,205$21,0471.96%3.05%2.62%
2006121.39%-0.72%0.03%$11,063$18,073$21,0531.39%-0.72%0.03%
200711.43%3.73%2.00%$11,221$18,747$21,4751.43%3.73%2.00%
20072-1.90%0.88%-0.64%$11,008$18,912$21,337-1.90%0.88%-0.64%
200731.19%1.33%1.71%$11,139$19,164$21,7031.19%1.33%1.71%
200744.31%2.81%2.33%$11,619$19,703$22,2074.31%2.81%2.33%
200753.41%5.00%4.37%$12,016$20,688$23,1793.41%5.00%4.37%
20076-1.55%-2.02%-1.61%$11,830$20,271$22,806-1.55%-2.02%-1.61%
20077-3.19%-4.92%-5.06%$11,453$19,274$21,652-3.19%-4.92%-5.06%
200781.31%1.44%1.87%$11,603$19,551$22,0561.31%1.44%1.87%
200794.09%2.65%1.62%$12,078$20,070$22,4134.09%2.65%1.62%
2007101.41%2.48%1.72%$12,248$20,568$22,7981.41%2.48%1.72%
200711-4.11%-4.82%-7.12%$11,744$19,576$21,175-4.11%-4.82%-7.12%
200712-0.82%-0.93%-1.05%$11,648$19,393$20,954-0.82%-0.93%-1.05%
20081-6.27%-5.71%-5.40%$10,918$18,286$19,822-6.27%-5.71%-5.40%
20082-2.76%-1.81%-2.37%$10,617$17,954$19,352-2.76%-1.81%-2.37%
20083-0.63%-0.93%-0.08%$10,550$17,788$19,336-0.63%-0.93%-0.08%
200844.82%7.49%4.42%$11,059$19,120$20,1914.82%7.49%4.42%
200851.28%5.36%4.15%$11,201$20,145$21,0301.28%5.36%4.15%
20086-8.39%-7.05%-7.45%$10,261$18,725$19,463-8.39%-7.05%-7.45%
20087-0.74%-1.65%1.89%$10,185$18,415$19,832-0.74%-1.65%1.89%
200881.49%1.45%4.29%$10,337$18,682$20,6821.49%1.45%4.29%
20089-8.89%-10.78%-6.66%$9,418$16,667$19,305-8.89%-10.78%-6.66%
200810-16.63%-21.30%-19.76%$7,851$13,118$15,490-16.63%-21.30%-19.76%
200811-7.46%-9.62%-11.85%$7,265$11,856$13,654-7.46%-9.62%-11.85%
2008120.97%4.40%5.09%$7,336$12,377$14,3500.97%4.40%5.09%
20091-8.13%-6.75%-11.69%$6,740$11,541$12,672-8.13%-6.75%-11.69%
20092-10.56%-9.39%-11.82%$6,028$10,458$11,174-10.56%-9.39%-11.82%
200938.02%8.45%6.64%$6,512$11,342$11,9168.02%8.45%6.64%
2009410.14%14.75%18.08%$7,172$13,015$14,07110.14%14.75%18.08%
200955.84%3.26%1.86%$7,591$13,439$14,3335.84%3.26%1.86%
200960.04%0.54%1.78%$7,593$13,512$14,5880.04%0.54%1.78%
200977.38%8.38%9.75%$8,154$14,644$16,0097.38%8.38%9.75%
200983.66%4.37%2.38%$8,453$15,284$16,3903.66%4.37%2.38%
200993.63%5.78%5.10%$8,759$16,168$17,2263.63%5.78%5.10%
200910-1.92%-4.54%-5.58%$8,591$15,434$16,265-1.92%-4.54%-5.58%
2009116.09%4.18%2.61%$9,114$16,079$16,6896.09%4.18%2.61%
2009121.91%6.08%8.24%$9,288$17,057$18,0641.91%6.08%8.24%
20101-3.71%-3.23%-3.14%$8,943$16,506$17,496-3.71%-3.23%-3.14%
201023.15%5.21%4.11%$9,224$17,366$18,2163.15%5.21%4.11%
201036.11%7.02%7.97%$9,788$18,585$19,6676.11%7.02%7.97%
201041.62%4.38%5.82%$9,947$19,400$20,8121.62%4.38%5.82%
20105-8.00%-7.08%-7.15%$9,151$18,026$19,323-8.00%-7.08%-7.15%
20106-5.26%-6.58%-7.10%$8,670$16,839$17,952-5.26%-6.58%-7.10%
201076.99%6.74%6.45%$9,275$17,973$19,1096.99%6.74%6.45%
20108-4.43%-4.89%-7.60%$8,865$17,095$17,657-4.43%-4.89%-7.60%
201098.81%11.26%11.25%$9,646$19,020$19,6438.81%11.26%11.25%
2010103.84%3.41%4.25%$10,017$19,669$20,4773.84%3.41%4.25%
201011-0.07%3.03%3.81%$10,010$20,265$21,258-0.07%3.03%3.81%
2010126.78%6.66%7.58%$10,689$21,615$22,8706.78%6.66%7.58%
201112.30%1.81%0.12%$10,934$22,006$22,8962.30%1.81%0.12%
201123.46%4.56%4.43%$11,313$23,009$23,9123.46%4.56%4.43%
20113-0.00%2.48%2.94%$11,312$23,580$24,614-0.00%2.48%2.94%
201142.95%2.72%2.62%$11,647$24,220$25,2602.95%2.72%2.62%
20115-1.19%-1.30%-0.86%$11,508$23,905$25,042-1.19%-1.30%-0.86%
20116-1.68%-2.12%-1.84%$11,315$23,398$24,582-1.68%-2.12%-1.84%
20117-1.97%-3.63%-3.16%$11,092$22,547$23,804-1.97%-3.63%-3.16%
20118-5.52%-7.00%-7.79%$10,479$20,969$21,950-5.52%-7.00%-7.79%
20119-6.80%-10.61%-10.31%$9,767$18,745$19,688-6.80%-10.61%-10.31%
20111010.65%13.67%14.91%$10,807$21,307$22,62410.65%13.67%14.91%
201111-0.32%-0.24%0.62%$10,773$21,257$22,765-0.32%-0.24%0.62%
2011121.06%-0.53%1.26%$10,887$21,144$23,0511.06%-0.53%1.26%
201214.61%6.61%6.59%$11,390$22,541$24,5704.61%6.61%6.59%
201224.21%4.53%2.17%$11,869$23,562$25,1034.21%4.53%2.17%
201233.29%1.89%2.89%$12,260$24,007$25,8293.29%1.89%2.89%
20124-0.66%-0.36%-1.36%$12,179$23,920$25,477-0.66%-0.36%-1.36%
20125-6.01%-6.40%-6.26%$11,447$22,388$23,883-6.01%-6.40%-6.26%
201264.20%2.09%4.23%$11,928$22,857$24,8934.20%2.09%4.23%
201271.24%-0.22%-0.78%$12,077$22,806$24,7001.24%-0.22%-0.78%
201282.48%3.49%3.89%$12,376$23,602$25,6612.48%3.49%3.89%
201292.34%1.80%2.31%$12,665$24,028$26,2532.34%1.80%2.31%
201210-2.02%-0.75%-2.27%$12,409$23,848$25,657-2.02%-0.75%-2.27%
2012110.87%2.23%1.30%$12,517$24,378$25,9910.87%2.23%1.30%
2012120.95%2.16%3.14%$12,636$24,905$26,8070.95%2.16%3.14%
201315.11%7.28%5.81%$13,282$26,717$28,3665.11%7.28%5.81%
201321.36%0.85%1.42%$13,462$26,945$28,7671.36%0.85%1.42%
201333.68%4.90%4.15%$13,957$28,266$29,9613.68%4.90%4.15%
201341.96%0.60%-0.16%$14,231$28,435$29,9131.96%0.60%-0.16%
201352.40%2.22%4.33%$14,573$29,067$31,2072.40%2.22%4.33%
20136-1.59%-2.01%-0.11%$14,341$28,482$31,173-1.59%-2.01%-0.11%
201375.39%6.51%6.85%$15,114$30,336$33,3105.39%6.51%6.85%
20138-3.04%-3.97%-2.33%$14,655$29,133$32,533-3.04%-3.97%-2.33%
201393.24%5.46%6.15%$15,130$30,724$34,5343.24%5.46%6.15%
2013104.61%3.54%3.58%$15,827$31,813$35,7704.61%3.54%3.58%
2013112.98%1.47%4.48%$16,299$32,281$37,3722.98%1.47%4.48%
2013122.56%2.96%1.37%$16,717$33,238$37,8842.56%2.96%1.37%
20141-3.49%-2.19%-3.70%$16,133$32,510$36,482-3.49%-2.19%-3.70%
201424.56%4.98%4.41%$16,869$34,129$38,0894.56%4.98%4.41%
201430.87%0.37%0.67%$17,016$34,257$38,3430.87%0.37%0.67%
201440.74%-1.58%-2.73%$17,143$33,716$37,2950.74%-1.58%-2.73%
201452.28%1.72%0.16%$17,534$34,296$37,3552.28%1.72%0.16%
201462.09%4.25%4.77%$17,901$35,753$39,1352.09%4.25%4.77%
20147-1.40%-4.42%-5.56%$17,651$34,173$36,960-1.40%-4.42%-5.56%
201483.97%5.05%4.25%$18,351$35,898$38,5313.97%5.05%4.25%
20149-1.38%-4.51%-5.21%$18,099$34,278$36,522-1.38%-4.51%-5.21%
2014102.39%3.54%6.91%$18,531$35,491$39,0462.39%3.54%6.91%
2014112.75%1.89%-0.19%$19,041$36,163$38,9732.75%1.89%-0.19%
201412-0.30%0.83%2.89%$18,984$36,465$40,099-0.30%0.83%2.89%
20151-2.90%-1.13%-3.59%$18,434$36,054$38,662-2.90%-1.13%-3.59%
201525.65%5.08%6.01%$19,475$37,887$40,9855.65%5.08%6.01%
20153-1.59%1.34%1.61%$19,165$38,395$41,644-1.59%1.34%1.61%
201540.97%-1.42%-2.30%$19,351$37,850$40,6850.97%-1.42%-2.30%
201551.30%1.67%1.46%$19,603$38,481$41,2771.30%1.67%1.46%
20156-1.98%-1.23%1.06%$19,215$38,007$41,715-1.98%-1.23%1.06%
201572.19%0.02%-0.83%$19,636$38,015$41,3682.19%0.02%-0.83%
20158-6.14%-5.60%-5.19%$18,430$35,886$39,220-6.14%-5.60%-5.19%
20159-2.49%-3.16%-3.53%$17,970$34,751$37,837-2.49%-3.16%-3.53%
2015108.47%5.56%6.08%$19,493$36,685$40,1378.47%5.56%6.08%
2015110.39%1.35%2.70%$19,569$37,181$41,2200.39%1.35%2.70%
201512-1.73%-4.21%-4.74%$19,230$35,614$39,268-1.73%-4.21%-4.74%
20161-5.00%-5.59%-6.16%$18,268$33,623$36,850-5.00%-5.59%-6.16%
20162-0.06%1.32%1.09%$18,258$34,065$37,253-0.06%1.32%1.09%
201636.82%8.61%8.18%$19,504$36,997$40,2996.82%8.61%8.18%
201640.39%1.14%1.20%$19,580$37,418$40,7830.39%1.14%1.20%
201651.69%2.32%1.61%$19,911$38,288$41,4381.69%2.32%1.61%
201660.25%0.52%0.71%$19,962$38,487$41,7300.25%0.52%0.71%
201673.74%4.14%4.99%$20,708$40,082$43,8133.74%4.14%4.99%
201680.13%0.49%1.40%$20,734$40,281$44,4270.13%0.49%1.40%
201690.01%-0.59%0.64%$20,737$40,042$44,7100.01%-0.59%0.64%
201610-1.78%-2.68%-4.41%$20,368$38,970$42,736-1.78%-2.68%-4.41%
2016113.67%7.94%12.52%$21,115$42,063$48,0873.67%7.94%12.52%
2016122.14%2.22%3.39%$21,568$42,997$49,7172.14%2.22%3.39%
201711.75%1.71%-0.58%$21,946$43,733$49,4271.75%1.71%-0.58%
201723.98%2.55%1.61%$22,818$44,846$50,2233.98%2.55%1.61%
201730.12%-0.40%-0.10%$22,845$44,667$50,1710.12%-0.40%-0.10%
201740.97%0.80%0.91%$23,065$45,024$50,6280.97%0.80%0.91%
201751.39%-0.44%-2.09%$23,387$44,826$49,5691.39%-0.44%-2.09%
201760.67%1.59%2.91%$23,544$45,537$51,0110.67%1.59%2.91%
201772.07%0.89%1.00%$24,032$45,940$51,5212.07%0.89%1.00%
201780.27%-1.53%-2.46%$24,098$45,239$50,2550.27%-1.53%-2.46%
201792.04%3.90%7.79%$24,590$47,001$54,1712.04%3.90%7.79%
2017102.32%2.27%0.86%$25,162$48,068$54,6382.32%2.27%0.86%
2017113.12%3.73%3.50%$25,947$49,859$56,5503.12%3.73%3.50%
2017121.21%0.26%-0.52%$26,261$49,989$56,2541.21%0.26%-0.52%
201815.69%2.77%2.51%$27,756$51,375$57,6685.69%2.77%2.51%
20182-3.80%-4.40%-3.81%$26,700$49,115$55,471-3.80%-4.40%-3.81%
20183-2.47%0.97%1.99%$26,041$49,592$56,575-2.47%0.97%1.99%
201840.35%-0.33%1.05%$26,134$49,431$57,1700.35%-0.33%1.05%
201852.41%4.18%6.45%$26,764$51,496$60,8582.41%4.18%6.45%
201860.59%0.44%1.04%$26,920$51,721$61,4920.59%0.44%1.04%
201873.75%1.70%3.24%$27,929$52,603$63,4823.75%1.70%3.24%
201883.23%3.15%4.82%$28,832$54,262$66,5393.23%3.15%4.82%
201890.54%-1.08%-3.08%$28,987$53,674$64,4900.54%-1.08%-3.08%
201810-6.82%-9.56%-10.53%$27,009$48,544$57,696-6.82%-9.56%-10.53%
2018111.92%3.15%1.60%$27,528$50,074$58,6201.92%3.15%1.60%
201812-8.86%-11.33%-12.19%$25,088$44,402$51,477-8.86%-11.33%-12.19%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value46.60%1.63%0.03%
Large-cap Growth52.82%0.00%0.00%
Mid-cap Value0.00%47.39%0.00%
Mid-cap Growth0.28%50.40%2.05%
Small-cap Value0.00%0.00%49.23%
Small-cap Growth0.04%0.51%48.54%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.04%0.07%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.23%0.00%0.15%
R Squared99.93%99.93%99.88%
Style analysis is based on monthly returns from Apr 2005 to Dec 2018 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IVViShares Core S&P 500 ETFLarge Blend0.04%100.00%$15,088100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IJHiShares Core S&P Mid-Cap ETFMid-Cap Blend0.07%100.00%$34,402100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IJRiShares Core S&P Small-Cap ETFSmall Blend0.07%100.00%$41,477100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 03/05/2019. © 2019 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.50%0.79%0.88%
Arithmetic Mean (annualized)6.17%9.88%11.06%
Geometric Mean (monthly)0.41%0.67%0.74%
Geometric Mean (annualized)5.07%8.35%9.22%
Volatility (monthly)4.15%4.82%5.28%
Volatility (annualized)14.36%16.69%18.28%
Downside Deviation (monthly)2.93%3.27%3.55%
Max. Drawdown-50.78%-49.45%-51.79%
US Market Correlation0.990.950.90
Beta(*)0.961.061.10
Alpha (annualized)-0.25%2.53%3.33%
R298.72%89.51%80.73%
Sharpe Ratio0.310.480.49
Sortino Ratio0.430.690.72
Treynor Ratio (%)4.717.528.21
Calmar Ratio0.690.420.42
Active Return-0.48%2.80%3.66%
Tracking Error1.75%5.48%8.16%
Information Ratio-0.270.510.45
Skewness-0.65-0.60-0.48
Excess Kurtosis1.201.921.34
Historical Value-at-Risk (5%)-7.73%-7.32%-7.75%
Analytical Value-at-Risk (5%)-6.32%-7.14%-7.80%
Conditional Value-at-Risk (5%)-9.60%-10.92%-12.19%
Upside Capture Ratio (%)93.75113.62122.33
Downside Capture Ratio (%)95.78100.55105.34
Sustainable Withdrawal Rate4.90%8.20%9.01%
Positive Periods141 out of 223 (63.23%)139 out of 223 (62.33%)140 out of 223 (62.78%)
Gain/Loss Ratio0.800.930.91
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Subprime CrisisNov 2007Mar 2009-50.78%-49.16%-50.99%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.78%
2Sep 2000Sep 20022 years 1 monthOct 20064 years 1 month6 years 2 months-44.74%
3Oct 2018Dec 20183 months-13.45%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.18%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-4.69%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.49%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.19%
10Aug 2013Aug 20131 monthSep 20131 month2 months-3.04%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-49.45%
2Apr 2002Sep 20026 monthsOct 20031 year 1 month1 year 7 months-24.22%
3May 2011Sep 20115 monthsNov 20121 year 2 months1 year 7 months-22.61%
4Sep 2000Sep 20011 year 1 monthMar 20026 months1 year 7 months-19.57%
5Sep 2018Dec 20184 months-18.17%
6Jun 2015Jan 20168 monthsJun 20165 months1 year 1 month-12.63%
7May 2006Jul 20063 monthsNov 20064 months7 months-7.89%
8Jul 2004Jul 20041 monthNov 20044 months5 months-4.74%
9Mar 2005Apr 20052 monthsMay 20051 month3 months-4.73%
10Sep 2014Sep 20141 monthNov 20142 months3 months-4.51%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-51.79%
2May 2002Feb 200310 monthsOct 20038 months1 year 6 months-27.50%
3Sep 2018Dec 20184 months-22.64%
4May 2011Sep 20115 monthsMar 20126 months11 months-22.06%
5Jul 2001Sep 20013 monthsDec 20013 months6 months-16.24%
6Sep 2000Nov 20003 monthsJan 20012 months5 months-12.11%
7Jul 2015Jan 20167 monthsJun 20165 months1 year-11.66%
8Feb 2001Mar 20012 monthsJun 20013 months5 months-10.26%
9May 2006Jul 20063 monthsNov 20064 months7 months-8.26%
10Mar 2005Apr 20052 monthsJun 20052 months4 months-7.97%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IVViShares Core S&P 500 ETF5.07%14.36%32.30%-37.02%-50.78%0.310.430.99
IJHiShares Core S&P Mid-Cap ETF8.35%16.69%37.81%-36.18%-49.45%0.480.690.95
IJRiShares Core S&P Small-Cap ETF9.22%18.28%41.32%-31.52%-51.79%0.490.720.90

Monthly Correlations

Correlations for the portfolio assets
TickerNameIVVIJHIJRPortfolio 1Portfolio 2Portfolio 3
IVViShares Core S&P 500 ETF-0.920.861.000.920.86
IJHiShares Core S&P Mid-Cap ETF0.92-0.950.921.000.95
IJRiShares Core S&P Small-Cap ETF0.860.95-0.860.951.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IVViShares Core S&P 500 ETF$15,088
IJHiShares Core S&P Mid-Cap ETF$34,402
IJRiShares Core S&P Small-Cap ETF$41,477

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IVViShares Core S&P 500 ETF100.00%
IJHiShares Core S&P Mid-Cap ETF100.00%
IJRiShares Core S&P Small-Cap ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year7.28%32.30%-37.02%9.79%37.81%-36.18%10.53%41.32%-31.52%
3 years7.63%20.36%-8.39%10.01%21.00%-9.10%10.62%22.16%-7.78%
5 years7.58%17.91%-2.23%9.77%21.84%-0.32%10.10%21.43%0.64%
7 years7.09%14.76%-1.49%9.32%16.30%1.91%9.51%15.56%2.95%
10 years6.91%13.08%1.45%9.41%13.63%6.91%9.48%13.63%7.01%
15 years7.33%9.88%5.00%9.60%11.86%8.16%10.07%12.18%8.85%
Result statistics are based on annualized rolling returns over full calendar year periods