Backtest Portfolio Asset Allocation

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.

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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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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Asset 11
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Asset 12
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Asset 13
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Asset 14
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Asset 15
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Asset 16
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Asset 17
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Asset 18
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Asset 19
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Asset 20
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Asset 21
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Asset 24
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Asset 25
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Portfolio Analysis Results (Jul 2001 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTI Vanguard Total Stock Market ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
PG Procter & Gamble Company 7.00%
CMI Cummins Inc. 7.00%
DUK Duke Energy Corporation 7.00%
EMR Emerson Electric Company 7.00%
F Ford Motor Company 7.00%
JNJ Johnson & Johnson 7.00%
MDT Medtronic plc 7.00%
MRK Merck & Company, Inc. 7.00%
T AT&T Inc. 7.00%
UL Unilever PLC 7.00%
VFC V.F. Corporation 7.00%
WMT Walmart Inc 7.00%
XOM Exxon Mobil Corporation 8.00%
NNN National Retail Properties 8.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$1,363,236 1.90% 7.51%6.21%14.47%33.45%-36.98%-50.84%
(-56.44%)
0.490.701.00
Portfolio 3$1,000,000$3,149,558 7.20% 10.78%10.33%13.20%45.24%-26.78%-37.80%
(-42.24%)
0.751.210.87
* The number in parentheses shows the calculated value taking into account the periodic withdrawals.
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 16.49%21.21%11.13%15.57%8.74%7.51%10.28%9.85%
Portfolio 35.45%18.09%7.38%11.73%10.99%10.78%8.59%9.12%
Trailing annualized return and volatility are for full months ending in December 2017 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • 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.
  • 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.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2001 are based on monthly returns from July to December
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted annual withdrawal of $40,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationCashflowPortfolio 1Portfolio 3Vanguard Total Stock Market ETF (VTI)Procter & Gamble Company (PG)Cummins Inc. (CMI)Duke Energy Corporation (DUK)Emerson Electric Company (EMR)Ford Motor Company (F)Johnson & Johnson (JNJ)Medtronic plc (MDT)Merck & Company, Inc. (MRK)AT&T Inc. (T)Unilever PLC (UL)V.F. Corporation (VFC)Walmart Inc (WMT)Exxon Mobil Corporation (XOM)National Retail Properties (NNN)
ReturnBalanceReturnBalance
2001-0.73%-$39,708-6.06%$899,6511.43%$974,617-6.06%25.39%1.19%2.12%-4.28%-34.59%19.05%11.58%-7.02%-1.03%-3.57%8.64%18.26%-8.98%-4.38%
20022.38%-$40,652-20.47%$674,812-11.83%$818,644-20.47%11.50%-24.42%-48.20%-8.34%-38.92%-7.88%-10.35%-1.26%-64.33%18.00%-5.36%-11.76%-8.86%28.34%
20031.88%-$41,41630.75%$840,91620.81%$947,57930.75%18.48%78.51%11.93%31.31%78.64%-2.11%7.23%-11.36%1.75%1.39%23.18%5.73%20.64%25.39%
20043.26%-$42,76412.79%$905,66815.85%$1,055,02412.79%12.38%74.61%30.21%11.09%-6.00%25.17%2.68%-27.76%3.75%9.08%30.84%0.51%28.04%24.37%
20053.42%-$44,2256.31%$918,5752.11%$1,033,0286.31%7.18%8.79%15.57%9.22%-45.12%-3.36%16.72%4.04%0.26%5.24%1.82%-10.30%11.76%5.77%
20062.54%-$45,34815.69%$1,017,39224.29%$1,238,63415.69%13.36%33.23%26.26%20.68%0.57%12.44%-6.29%42.66%53.17%31.00%52.63%0.14%39.07%19.74%
20074.08%-$47,1995.37%$1,024,83620.12%$1,440,6025.37%16.63%117.48%9.24%31.43%-10.39%3.61%-5.22%37.36%20.58%38.64%-14.03%4.91%24.34%8.15%
20080.09%-$47,242-36.98%$598,631-26.78%$1,007,565-36.98%-13.77%-57.37%-21.65%-33.58%-65.97%-7.77%-36.32%-45.34%-28.01%-36.30%-17.51%20.00%-13.14%-20.97%
20092.72%-$48,52828.89%$723,06345.24%$1,414,81628.89%1.20%75.16%22.01%20.75%336.68%11.28%42.53%26.73%4.82%44.06%39.05%-2.57%-12.60%34.06%
20101.50%-$49,25417.42%$799,79023.95%$1,704,46017.42%9.37%142.70%9.54%37.88%67.90%-0.58%-13.81%2.86%11.63%0.65%21.36%3.23%10.14%33.14%
20112.96%-$50,7130.97%$756,8187.42%$1,780,1990.97%7.04%-18.88%30.25%-16.21%-35.91%9.89%5.81%9.54%9.01%12.89%50.92%13.87%18.71%5.58%
20121.74%-$51,59616.45%$829,72515.09%$1,997,30016.45%5.18%25.23%1.36%17.40%22.60%10.83%10.65%13.13%17.51%19.67%21.34%16.97%4.72%24.82%
20131.50%-$52,37133.45%$1,054,91825.43%$2,452,86933.45%23.69%32.53%13.01%36.14%22.33%34.62%42.87%26.80%9.76%10.10%68.35%18.17%20.14%1.70%
20140.76%-$52,76712.54%$1,134,48612.14%$2,697,78112.54%15.42%4.26%26.36%-9.63%3.71%17.34%28.13%16.95%0.65%1.90%22.19%11.86%-6.07%36.02%
20150.73%-$53,1520.36%$1,085,410-7.60%$2,439,6100.36%-9.95%-37.18%-10.76%-19.73%-5.44%1.16%8.62%-3.87%8.33%9.70%-15.29%-26.64%-12.76%6.20%
20162.07%-$54,25412.83%$1,170,37213.47%$2,713,95212.83%9.37%60.72%13.49%21.00%-7.90%15.32%-5.44%15.05%29.88%-2.58%-12.14%16.04%19.90%14.75%
20172.11%-$55,39921.21%$1,363,23618.09%$3,149,55821.21%12.70%32.75%12.96%29.04%8.73%24.40%15.89%-1.47%-3.94%40.17%42.75%46.54%-3.80%2.00%
Annual return for 2001 is from 07/01/2001 to 12/31/2001
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 3Vanguard Total Stock Market ETF (VTI)Procter & Gamble Company (PG)Cummins Inc. (CMI)Duke Energy Corporation (DUK)Emerson Electric Company (EMR)Ford Motor Company (F)Johnson & Johnson (JNJ)Medtronic plc (MDT)Merck & Company, Inc. (MRK)AT&T Inc. (T)Unilever PLC (UL)V.F. Corporation (VFC)Walmart Inc (WMT)Exxon Mobil Corporation (XOM)National Retail Properties (NNN)
ReturnBalanceReturnBalance
20017-1.91%$980,8853.88%$1,038,789-1.91%11.93%5.19%-1.03%-5.19%3.75%8.29%4.52%6.37%13.13%-0.29%0.63%14.55%-4.38%-1.24%
20018-5.86%$923,451-5.43%$982,427-5.86%4.41%-6.56%2.56%-5.91%-21.05%-2.24%-5.18%-3.73%-9.15%0.00%-5.57%-14.04%-3.32%-5.45%
20019-8.69%$843,162-3.15%$951,502-8.69%-1.83%-12.58%-3.71%-12.20%-12.68%5.10%-4.48%2.30%15.18%-12.79%-14.73%3.18%-1.87%1.92%
2001102.05%$860,478-1.33%$938,8692.05%1.91%-5.12%1.48%4.16%-6.63%4.53%-7.24%-4.19%-18.66%-3.17%13.50%3.84%0.13%0.25%
2001117.62%$926,0136.38%$998,7257.62%4.99%16.78%-5.20%11.08%18.01%0.89%17.32%6.17%-1.92%11.46%14.33%7.30%-4.64%3.47%
2001121.44%$899,6511.56%$974,6171.44%2.16%6.29%8.60%5.62%-17.00%1.46%8.31%-12.75%4.79%2.75%3.33%4.48%5.08%-3.13%
20021-0.87%$891,798-0.61%$968,689-0.87%3.72%-2.21%-11.18%1.47%-2.03%-2.69%-3.68%0.65%-3.78%-1.65%4.13%4.22%-0.64%4.43%
20022-1.75%$876,1762.19%$989,855-1.75%3.81%11.11%2.03%0.05%-2.75%6.23%-9.60%3.63%1.04%2.60%3.52%3.38%6.40%-1.21%
200233.68%$908,3883.54%$1,024,8483.68%6.25%13.59%7.08%-0.35%10.82%6.65%1.50%-5.59%-1.06%-5.57%3.42%-1.03%6.13%6.56%
20024-4.46%$867,895-2.31%$1,001,173-4.46%0.61%-9.91%1.40%-6.97%-2.97%-1.68%-1.02%-5.63%-16.43%15.30%1.20%-8.87%-8.35%11.15%
20025-1.41%$855,653-0.22%$998,987-1.41%-0.79%-12.81%-15.85%9.07%10.99%-3.61%3.27%5.08%10.40%3.23%-2.90%-3.15%-0.02%-1.05%
20026-6.89%$796,663-4.66%$952,409-6.89%0.49%-10.08%-2.84%-7.50%-9.35%-14.82%-7.15%-10.75%-11.05%-1.56%-7.21%1.81%2.48%6.45%
20027-8.34%$730,217-5.25%$902,369-8.34%0.16%-2.42%-18.04%-4.78%-15.19%0.65%-5.57%-2.05%-8.54%-4.27%-1.61%-10.60%-10.17%3.20%
200280.76%$735,797-0.60%$896,9740.76%-0.38%-6.86%6.30%-3.48%-12.62%3.63%1.93%1.85%-10.56%4.29%5.26%8.74%-2.95%-2.96%
20029-10.10%$661,453-7.58%$828,948-10.10%0.82%-20.71%-27.13%-9.92%-16.74%-0.42%2.28%-8.86%-18.76%-0.03%-10.87%-7.80%-10.01%2.61%
2002107.49%$711,0085.50%$874,5257.49%-0.59%1.44%4.81%9.65%-12.65%8.64%6.52%18.66%29.34%7.19%2.33%8.75%5.52%-1.25%
2002116.00%$753,6691.33%$886,1486.00%-4.43%32.54%-2.24%9.07%34.52%-2.61%4.35%9.53%-44.74%-8.27%2.82%0.65%4.08%-1.15%
200212-5.07%$674,812-3.03%$818,644-5.07%1.67%-10.53%-1.01%-2.49%-18.28%-5.80%-2.34%-4.13%-4.88%7.72%-4.14%-6.15%0.40%-0.58%
20031-2.77%$656,110-4.57%$781,201-2.77%0.05%-12.19%-12.85%-7.71%-1.00%-0.19%-1.49%-2.16%-9.00%-7.84%-2.27%-5.37%-2.26%-0.65%
20032-1.54%$645,984-4.03%$749,684-1.54%-4.34%-2.65%-19.11%1.16%-8.67%-1.77%-0.49%-4.77%-14.89%-0.28%-3.92%0.54%0.30%-0.40%
200330.76%$650,8843.49%$775,8820.76%8.78%2.63%7.62%-3.65%-9.62%10.33%0.94%4.57%-3.56%5.41%12.00%8.44%2.73%1.68%
200348.61%$706,9558.96%$845,4168.61%1.36%10.20%20.98%11.80%38.30%-2.61%5.95%6.21%18.26%5.99%4.54%8.25%0.72%9.12%
200355.83%$748,1882.77%$868,8185.83%2.19%27.70%11.95%3.99%1.94%-3.15%2.07%-4.47%8.99%-6.22%-3.23%-6.59%4.14%3.90%
200361.62%$760,315-0.37%$865,6401.62%-2.88%4.70%2.94%-2.29%4.67%-4.88%-1.56%9.63%0.35%-11.18%-10.19%2.18%-1.35%2.68%
200372.33%$777,9973.05%$892,0252.33%-0.96%29.09%-12.03%5.09%1.58%0.17%7.52%-8.70%-7.23%2.77%12.25%4.17%-0.92%4.46%
200382.39%$796,5831.24%$903,1292.39%-0.66%8.25%-1.10%4.62%4.52%-3.82%-3.73%-3.95%-3.85%-1.12%5.17%5.83%6.68%-4.86%
20039-1.06%$788,178-2.26%$882,711-1.06%6.34%-10.85%4.27%-5.58%-6.83%-0.12%-5.37%1.33%-0.93%6.19%-2.36%-5.61%-2.92%1.19%
2003106.05%$835,8813.75%$915,8366.05%6.40%6.68%1.91%7.79%13.53%1.64%-2.73%-12.58%9.64%-1.27%9.10%5.72%-0.05%2.86%
2003111.50%$848,4260.30%$918,5651.50%-2.09%-1.37%0.96%8.27%8.82%-1.60%-0.81%-8.25%-2.92%4.30%-2.78%-5.61%-0.34%4.07%
2003124.00%$840,9167.67%$947,5794.00%3.78%5.36%13.36%6.08%21.21%4.79%7.70%14.76%11.98%6.70%5.45%-4.49%13.26%-0.56%
200412.61%$862,8751.17%$958,6492.61%1.67%3.66%6.26%-1.31%-8.54%3.41%1.25%3.03%-1.06%3.80%-1.71%1.51%-0.51%4.65%
200421.40%$874,9601.67%$974,6721.40%1.41%-2.06%2.34%-1.62%-5.43%1.36%-4.71%1.01%-5.84%8.89%5.72%10.60%4.02%5.74%
20043-1.03%$865,9760.64%$980,953-1.03%2.31%18.32%2.91%-4.10%-1.31%-5.92%1.97%-7.37%2.21%-5.18%4.53%0.44%-1.38%2.07%
20044-2.22%$846,7190.18%$982,673-2.22%1.35%2.33%-6.81%0.50%13.92%6.53%5.68%6.36%2.73%-4.54%-1.16%-4.51%2.31%-14.41%
200451.45%$859,002-0.37%$979,0531.45%1.92%-2.09%-3.95%-0.18%-3.32%3.65%-5.07%0.64%-4.82%2.34%1.78%-2.00%2.29%2.89%
200462.03%$876,4612.32%$1,001,7622.03%0.98%7.31%1.76%6.45%5.39%-0.02%1.89%1.20%2.32%3.46%4.23%-5.80%2.68%0.76%
20047-3.56%$845,2890.53%$1,007,091-3.56%-3.76%11.09%5.96%-4.48%-5.32%-0.77%1.95%-4.53%5.87%-9.86%2.69%0.97%4.26%0.73%
200480.06%$845,7661.07%$1,017,8450.06%7.33%-2.65%4.24%3.23%-4.14%5.66%0.16%-0.84%1.78%-2.82%-1.34%-0.40%0.16%5.00%
200491.68%$860,005-0.35%$1,014,2811.68%-3.31%9.81%3.39%-0.58%-0.43%-3.05%4.49%-25.99%0.62%-5.22%0.74%1.01%4.84%2.07%
2004101.80%$875,4881.02%$1,024,6781.80%-4.99%-5.16%7.16%3.49%-6.56%3.64%-1.52%-5.12%-1.54%3.24%8.86%1.35%1.84%7.30%
2004114.74%$916,9883.46%$1,060,1204.74%4.49%14.06%4.18%4.97%8.83%3.81%-5.99%-10.51%-0.36%10.01%0.30%-3.45%4.69%5.72%
2004123.43%$905,6683.55%$1,055,0243.43%2.99%5.24%0.20%4.91%3.24%5.14%3.37%16.28%2.38%6.78%3.09%1.71%0.02%1.33%
20051-2.50%$883,036-3.15%$1,021,812-2.50%-2.93%-7.30%5.76%-4.08%-9.37%2.02%5.86%-12.73%-6.62%-3.09%-4.03%-0.80%0.66%-7.39%
200522.09%$901,4483.28%$1,055,3742.09%-0.26%-5.10%1.78%-0.76%-3.95%1.82%-0.70%13.01%1.26%1.33%12.44%-1.51%23.29%0.64%
20053-1.87%$884,573-1.37%$1,040,908-1.87%-0.17%-4.17%3.78%-2.10%-10.43%2.38%-2.09%3.34%-1.54%3.07%-0.59%-2.62%-5.86%-2.23%
20054-2.20%$865,089-1.16%$1,028,869-2.20%2.71%-3.34%4.21%-3.48%-18.71%2.19%3.43%4.73%1.82%-4.10%-4.31%-5.93%-4.31%4.63%
200553.88%$898,6660.65%$1,035,5463.88%1.85%0.39%-4.92%6.72%9.55%-1.75%1.99%-4.31%-1.76%5.37%-0.28%0.51%-0.96%2.21%
200560.76%$905,4770.75%$1,043,2670.76%-4.35%9.80%8.19%-5.78%2.61%-3.13%-3.47%-3.93%1.58%-1.57%1.88%2.05%2.26%5.52%
200574.38%$945,1223.31%$1,077,8294.38%6.00%14.52%-0.64%5.06%5.86%-1.60%4.15%0.84%4.36%0.46%3.18%2.39%2.23%2.95%
20058-1.09%$934,843-0.54%$1,071,975-1.09%-0.27%1.57%1.37%2.87%-7.17%-0.38%5.67%-7.89%-1.51%4.13%0.46%-8.61%2.45%-3.76%
200590.79%$942,2390.92%$1,081,8120.79%7.17%1.76%0.62%6.72%-1.10%-0.17%-5.93%-3.61%-0.46%3.89%-1.82%-2.54%6.08%0.15%
200510-2.35%$920,109-3.45%$1,044,483-2.35%-5.36%-2.98%-9.22%-3.13%-14.57%-1.04%5.86%3.71%0.88%-3.84%-9.87%7.96%-11.65%-1.40%
2005114.62%$962,5823.02%$1,075,9854.62%2.14%4.61%2.63%9.39%-2.28%-0.87%-1.92%5.53%4.44%-2.16%8.42%2.64%3.89%4.54%
2005120.02%$918,5750.12%$1,033,0280.02%1.21%0.82%2.20%-1.20%-5.04%-2.67%3.60%8.20%-1.69%2.24%-1.82%-3.33%-3.21%0.54%
200613.22%$948,1445.18%$1,086,5073.22%2.82%8.44%3.28%3.68%12.42%-4.26%-1.75%8.46%7.38%5.11%0.25%-1.47%11.71%14.19%
200620.22%$950,2290.41%$1,090,9770.22%1.18%11.60%1.29%6.19%-7.11%0.76%-4.46%1.04%6.32%-1.47%-1.23%-1.63%-4.89%-0.78%
200632.05%$969,7210.56%$1,097,0632.05%-3.84%-2.94%2.64%2.22%-0.13%2.72%-5.93%2.17%-1.99%-1.16%4.39%4.53%2.51%2.42%
200640.96%$978,995-1.00%$1,086,0890.96%1.56%-0.57%-0.10%1.58%-11.43%-1.03%-1.05%-2.30%-1.85%4.04%7.54%-4.68%3.65%-8.26%
20065-3.22%$947,436-0.49%$1,080,772-3.22%-6.80%5.75%-2.04%-2.36%3.02%3.38%0.74%-2.18%-0.57%-2.76%2.84%7.98%-2.96%-8.31%
200660.13%$948,6702.95%$1,112,6780.13%2.49%10.92%4.08%1.56%-3.21%-0.50%-7.07%9.43%7.02%0.09%8.85%-0.58%0.72%3.37%
20067-0.12%$947,5442.71%$1,142,885-0.12%1.63%-4.29%3.23%-5.83%-3.03%4.39%7.92%10.54%8.82%5.99%-0.15%-7.62%10.42%6.17%
200682.30%$969,3243.46%$1,182,4812.30%10.14%-1.57%0.01%4.69%25.49%3.97%-7.17%1.63%3.80%0.80%3.05%0.87%0.36%6.72%
200692.26%$991,1971.81%$1,203,8582.26%0.13%3.84%0.67%2.08%-3.35%0.43%-0.98%3.33%4.59%3.03%5.20%10.29%-0.84%-2.88%
2006103.53%$1,026,1884.08%$1,253,0003.53%2.78%6.50%4.77%0.64%2.35%3.79%5.06%8.40%6.29%-2.14%4.19%-0.08%6.44%5.60%
2006112.33%$1,050,0931.57%$1,272,6792.33%-0.95%-5.28%1.27%3.34%-1.81%-1.65%7.09%-2.00%-0.99%13.58%3.13%-6.45%8.01%6.14%
2006121.20%$1,017,3920.89%$1,238,6341.20%2.36%-1.45%4.70%1.71%-7.63%0.17%2.65%-1.21%5.43%3.30%5.43%0.54%-0.23%-3.77%
200711.86%$1,036,3312.35%$1,267,7681.86%1.41%13.86%2.03%2.00%8.26%1.18%0.10%2.64%6.36%-1.83%-7.57%3.27%-3.30%4.96%
20072-1.62%$1,019,496-1.29%$1,251,441-1.62%-2.13%0.28%1.00%-3.72%-2.71%-5.24%-5.78%-1.34%-2.21%-1.54%5.06%1.30%-2.85%1.81%
200731.12%$1,030,9312.21%$1,279,0611.12%-0.52%7.52%3.10%0.09%-0.25%-4.24%-2.58%0.91%7.15%11.83%4.37%-2.35%5.26%0.04%
200744.02%$1,072,3966.57%$1,363,0334.02%2.53%27.36%1.13%9.05%1.90%6.57%8.13%16.46%-0.91%4.12%6.28%2.07%5.21%0.44%
200753.72%$1,112,3301.98%$1,389,9923.72%-1.32%2.45%-3.79%3.69%3.73%-0.84%0.45%1.96%6.77%0.36%6.80%-0.20%5.24%1.25%
20076-1.76%$1,092,752-0.27%$1,386,251-1.76%-3.71%7.41%-6.35%-3.41%12.95%-2.61%-2.46%-4.34%0.39%4.77%-1.77%1.07%0.85%-9.86%
20077-3.53%$1,054,127-0.61%$1,377,841-3.53%1.66%17.28%-6.94%0.58%-9.66%-1.82%-2.06%-0.30%-4.81%-3.32%-6.32%-4.49%1.49%0.78%
200781.47%$1,069,6361.25%$1,395,1091.47%5.58%-0.01%9.01%5.19%-8.23%2.82%4.28%1.05%1.81%0.93%-6.92%-4.57%1.13%8.45%
200793.85%$1,110,7955.34%$1,469,6263.85%7.70%8.00%1.91%8.10%8.71%6.33%6.76%3.82%6.12%0.60%1.81%0.05%7.97%3.79%
2007101.79%$1,130,7040.83%$1,481,8581.79%-0.68%-6.20%2.57%-1.79%4.48%-0.81%-15.72%12.71%-0.40%6.92%7.90%3.57%-0.62%5.47%
200711-4.52%$1,079,572-0.18%$1,479,206-4.52%6.44%-2.35%4.42%9.68%-15.33%4.59%7.19%1.89%-8.57%8.84%-14.16%5.95%-2.69%-3.39%
200712-0.70%$1,024,8360.58%$1,440,602-0.70%-0.78%8.96%1.92%-0.63%-10.39%-1.54%-1.14%-1.48%8.77%2.55%-7.47%-0.32%5.08%-4.53%
20081-6.17%$961,644-6.84%$1,342,070-6.17%-10.44%-24.08%-7.54%-10.38%-1.34%-5.34%-7.27%-20.67%-6.44%-12.35%12.58%6.75%-8.53%-1.28%
20082-2.50%$937,638-1.81%$1,317,800-2.50%1.16%4.45%-4.83%0.92%-1.66%-1.22%6.15%-3.90%-9.51%-4.02%-1.63%-2.27%1.96%-8.89%
20083-0.90%$929,2430.79%$1,328,276-0.90%5.88%-7.07%1.77%0.98%-12.40%4.70%-2.01%-13.58%9.96%7.12%2.73%6.73%-2.79%6.52%
200844.89%$974,6416.97%$1,420,9174.89%-3.76%33.81%2.58%1.55%44.41%3.42%0.90%0.24%2.11%-0.39%-4.04%10.06%10.04%5.56%
200852.02%$994,2900.54%$1,428,5652.02%-1.49%12.61%2.13%11.92%-17.68%0.18%4.09%2.42%3.07%0.45%1.77%-0.00%-4.20%-0.87%
20086-8.12%$913,567-8.16%$1,311,992-8.12%-7.93%-6.96%-5.95%-15.01%-29.26%-3.60%2.13%-2.30%-15.56%-14.04%-5.22%-2.67%-0.71%-7.97%
20087-0.62%$907,866-0.10%$1,310,658-0.62%8.35%1.25%1.15%-1.52%-0.21%6.42%2.46%-12.71%-7.44%-3.59%0.56%4.31%-8.74%2.96%
200881.46%$921,1222.39%$1,341,9921.46%6.55%-1.52%0.49%-3.31%-7.08%3.53%3.35%8.42%3.83%-2.08%10.72%1.18%-0.01%7.33%
20089-9.24%$836,004-4.29%$1,284,478-9.24%-0.11%-32.90%-0.06%-12.84%16.59%-1.63%-8.24%-10.55%-12.72%1.45%-1.75%1.39%-2.94%5.55%
200810-17.48%$689,890-17.38%$1,061,252-17.48%-6.76%-40.19%-6.02%-19.76%-57.88%-11.46%-19.20%-1.93%-2.57%-17.09%-28.73%-6.81%-4.56%-23.83%
200811-8.01%$634,596-3.21%$1,027,232-8.01%-0.29%-1.31%-3.58%10.81%22.83%-3.75%-24.32%-13.67%6.69%2.96%-5.10%0.13%8.72%-24.79%
2008121.78%$598,6312.68%$1,007,5651.78%-3.93%4.50%-3.53%2.01%-14.87%2.13%3.58%15.41%-0.21%0.52%5.87%0.76%-0.40%28.19%
20091-8.05%$550,462-7.31%$933,958-8.05%-11.23%-10.29%0.93%-10.68%-18.34%-3.58%6.59%-6.09%-12.31%-4.78%2.28%-15.95%-4.20%-14.12%
20092-10.53%$492,526-8.35%$855,982-10.53%-11.61%-12.58%-9.72%-17.37%6.95%-12.60%-11.65%-15.24%-3.45%-12.04%-7.35%4.50%-10.78%-0.42%
200938.26%$533,2308.09%$925,2538.26%-2.24%22.36%6.31%6.84%31.50%5.20%-0.41%12.35%6.02%-1.82%11.40%6.42%0.29%10.23%
2009410.99%$591,83416.33%$1,076,36410.99%5.92%33.60%-3.56%19.10%127.38%-0.46%9.28%-9.38%3.30%2.80%3.78%-3.26%-2.10%14.40%
200955.46%$624,1681.64%$1,093,9625.46%5.06%-4.11%4.18%-4.80%-3.85%6.29%7.34%13.78%-3.24%24.45%-4.13%-0.77%4.65%-3.55%
200960.36%$626,4362.08%$1,116,7610.36%-1.62%8.57%3.11%0.97%5.57%2.97%1.57%2.83%0.20%-0.42%-1.61%-2.61%0.81%1.40%
200977.74%$674,90513.55%$1,268,0737.74%9.50%22.15%6.10%12.28%31.80%7.20%2.15%7.33%7.43%12.13%16.87%2.97%0.69%15.82%
200983.71%$699,9511.73%$1,290,0433.71%-2.52%5.79%1.64%2.28%-5.00%0.06%8.13%8.06%-0.69%3.95%7.53%2.54%-1.16%4.11%
200994.14%$728,9200.61%$1,297,9264.14%7.04%-1.13%1.61%8.71%-5.13%0.74%-3.92%-1.26%3.69%4.71%5.02%-3.50%-0.78%4.63%
200910-2.63%$709,741-2.01%$1,271,835-2.63%0.90%-3.91%0.51%-5.81%-2.91%-3.02%-2.45%-2.21%-3.47%4.01%-1.92%1.20%4.46%-7.99%
2009115.69%$750,13910.60%$1,406,6705.69%7.50%4.65%7.00%10.58%27.00%7.26%18.88%17.07%4.95%0.29%2.36%9.80%5.35%3.41%
2009122.86%$723,0634.03%$1,414,8162.86%-2.76%2.14%3.18%2.87%12.49%2.50%3.63%1.95%4.05%8.03%1.55%-1.52%-9.16%5.89%
20101-3.57%$697,281-1.49%$1,393,787-3.57%2.26%-1.53%-3.95%-2.49%8.40%-2.41%-2.04%4.49%-8.15%-4.33%-1.65%-0.04%-5.51%-3.06%
201023.44%$721,2674.42%$1,455,4023.44%2.81%26.12%0.37%14.80%8.30%0.99%1.19%-3.40%-2.17%-2.63%7.43%1.20%1.54%5.05%
201036.40%$767,4034.05%$1,514,3036.40%-0.02%9.11%-0.18%6.34%7.07%3.49%3.76%2.32%4.15%-0.54%4.37%3.41%3.05%7.59%
201042.18%$784,1452.60%$1,553,7302.18%-1.00%16.59%2.82%3.75%3.58%-1.38%-2.53%-6.18%2.50%2.80%7.82%-3.53%1.18%4.70%
20105-7.88%$722,330-7.39%$1,438,869-7.88%-1.72%-5.64%-3.50%-10.49%-9.91%-8.50%-10.32%-3.85%-6.75%-9.28%-10.50%-5.20%-10.18%-6.59%
20106-5.83%$680,195-3.74%$1,385,020-5.83%-1.82%-4.19%0.25%-5.92%-14.07%1.30%-7.43%4.93%-0.45%-1.15%-7.23%-4.92%-5.61%-2.46%
201077.02%$727,9489.18%$1,512,1497.02%2.77%22.23%6.88%13.39%26.69%-1.64%2.55%-1.46%9.09%7.11%11.45%6.49%4.57%9.59%
20108-4.71%$693,654-3.43%$1,460,225-4.71%-2.44%-6.23%1.91%-5.18%-11.59%-0.92%-14.93%2.03%4.20%-6.28%-11.04%-1.47%-0.23%5.36%
201099.45%$759,2188.57%$1,585,4269.45%0.50%21.73%3.08%12.88%8.41%8.66%6.77%5.79%5.81%9.56%15.73%6.74%4.53%3.08%
2010104.03%$789,7843.83%$1,646,1654.03%6.81%-2.74%2.82%4.25%15.44%2.87%5.62%-1.36%1.18%-0.27%2.74%1.21%7.61%9.44%
2010110.51%$793,8160.90%$1,660,9420.51%-3.93%10.55%-2.32%0.93%12.81%-2.60%-4.83%-5.07%-2.56%-2.72%-0.43%-0.15%5.27%-4.02%
2010126.96%$799,7905.59%$1,704,4606.96%5.34%13.27%1.48%3.81%5.33%0.49%10.62%5.66%5.72%10.44%4.75%0.26%5.12%1.88%
201112.05%$816,173-1.30%$1,682,2622.05%-1.14%-3.75%0.39%2.99%-5.00%-3.36%3.95%-7.96%-4.95%-6.06%-4.01%3.97%10.34%-4.80%
201123.70%$846,3511.86%$1,713,5083.70%-0.13%-4.27%2.00%1.90%-5.64%3.72%4.18%-1.81%3.12%3.37%15.66%-7.29%6.57%3.38%
201130.42%$849,8811.10%$1,732,4120.42%-2.30%8.41%0.89%-2.06%-0.93%-3.56%-1.43%2.53%7.86%3.10%3.65%0.83%-1.64%1.71%
201142.90%$874,4955.37%$1,825,5112.90%6.22%9.63%2.75%4.00%3.76%10.92%6.70%8.91%3.10%6.37%2.06%5.63%4.58%2.27%
20115-1.06%$865,218-1.63%$1,795,834-1.06%3.24%-12.22%1.82%-9.67%-3.56%3.28%-2.51%2.23%1.41%1.08%-0.89%1.10%-4.58%-2.13%
20116-1.79%$849,689-1.55%$1,768,057-1.79%-5.12%-1.66%0.43%3.12%-7.57%-1.14%-5.33%-2.94%-0.48%-0.61%9.67%-3.77%-2.50%-4.93%
20117-2.27%$830,435-2.26%$1,728,131-2.27%-2.48%1.34%-1.22%-12.73%-11.46%-2.60%-5.84%-3.29%-5.56%-1.02%7.59%-0.81%-1.95%3.94%
20118-6.09%$779,876-0.66%$1,716,699-6.09%3.56%-10.98%3.14%-4.39%-8.93%2.46%-2.72%-3.02%-2.67%6.34%0.22%1.67%-6.59%8.65%
20119-7.57%$720,802-2.79%$1,668,834-7.57%-0.79%-12.12%5.71%-11.26%-13.04%-3.21%-5.22%-0.03%0.14%-7.56%4.37%-2.43%-1.88%-1.43%
20111011.37%$802,7227.85%$1,799,88211.37%2.10%21.76%2.15%16.49%20.79%1.10%5.30%5.50%4.33%7.89%13.74%9.29%7.52%2.85%
201111-0.37%$799,7251.28%$1,822,872-0.37%0.91%-2.71%3.37%9.42%-9.25%1.45%4.86%3.62%-1.13%0.84%0.34%3.84%3.62%-2.90%
2011120.98%$756,8180.44%$1,780,1990.98%3.31%-8.63%5.52%-10.83%1.51%1.33%5.00%6.72%4.35%-0.33%-7.96%2.09%5.37%-0.30%
201215.07%$795,1883.11%$1,835,6515.07%-4.75%18.15%-3.14%10.28%15.90%0.50%1.48%1.51%-1.30%-3.37%3.54%2.68%-1.20%3.84%
201224.22%$828,7332.54%$1,882,2864.22%7.27%16.31%-0.65%-1.31%-0.32%-0.39%-1.17%-0.26%4.01%1.17%11.07%-3.72%3.86%-1.33%
201233.06%$854,1061.42%$1,908,9393.06%-0.61%-0.44%0.43%3.72%0.81%1.35%2.81%1.71%2.09%1.79%0.45%4.28%0.27%2.03%
20124-0.64%$848,669-0.29%$1,903,358-0.64%-4.52%-3.51%2.00%0.69%-9.21%-1.30%-1.92%2.19%6.88%3.84%4.16%-3.74%-0.45%2.12%
20125-6.23%$795,834-4.07%$1,825,955-6.23%-2.12%-15.97%3.77%-10.24%-6.38%-3.17%-3.56%-4.23%3.83%-7.11%-7.24%12.48%-8.30%-3.25%
201264.05%$828,0963.38%$1,887,6644.05%-1.67%-0.04%4.91%-0.41%-9.19%8.22%5.13%12.31%4.36%6.81%-4.89%5.93%8.83%6.80%
201270.88%$835,3433.87%$1,960,7390.88%6.29%-1.04%-2.02%2.55%-3.65%2.46%2.46%5.80%7.66%6.17%11.88%6.76%1.50%5.69%
201282.70%$857,9170.95%$1,979,4522.70%4.11%1.75%-3.33%7.00%1.64%-1.71%3.15%-2.54%-3.38%1.02%2.26%-1.94%1.17%5.29%
201292.49%$879,3001.86%$2,016,2862.49%3.23%-5.05%0.02%-4.83%5.57%2.19%6.05%5.75%2.89%1.78%4.87%1.65%4.75%-1.80%
201210-1.81%$863,4211.07%$2,037,812-1.81%0.63%1.49%1.39%0.33%13.69%2.77%-3.00%1.18%-7.18%2.11%-1.81%1.65%-0.31%5.16%
2012110.77%$870,1070.17%$2,041,2240.77%0.85%5.43%-1.62%4.60%2.60%-0.68%1.27%-2.91%-1.33%3.72%2.58%-4.00%-2.70%-3.03%
2012121.29%$829,7250.38%$1,997,3001.29%-2.78%10.38%-0.03%5.43%13.10%0.53%-1.99%-6.68%-1.23%0.96%-5.41%-4.74%-1.80%1.56%
201315.42%$874,6765.44%$2,105,9875.42%11.61%5.98%7.74%8.10%0.73%5.45%13.60%5.64%4.56%5.09%-2.25%2.52%3.95%3.90%
201321.28%$885,8851.48%$2,137,1281.28%1.36%1.35%1.86%-0.26%-2.63%3.79%-3.52%-1.20%3.22%-1.27%9.27%1.19%0.18%7.59%
201333.95%$920,8393.51%$2,212,1923.95%1.16%-0.05%4.82%-1.46%4.28%7.12%4.45%4.44%2.17%6.00%4.58%6.40%0.63%4.99%
201341.61%$935,6252.68%$2,271,5081.61%0.40%-8.13%3.60%-0.64%4.26%4.54%-0.05%6.33%3.32%2.56%6.24%3.86%-1.24%10.81%
201352.44%$958,4870.58%$2,284,6472.44%-0.01%12.92%-10.05%4.24%15.22%-0.48%9.28%-0.64%-6.59%-2.24%3.16%-3.13%2.37%-9.60%
20136-1.43%$944,774-0.90%$2,264,085-1.43%0.30%-9.34%0.85%-5.08%-1.34%2.00%0.90%0.36%1.17%-3.71%5.50%-0.47%-0.13%-4.10%
201375.75%$999,0585.62%$2,391,2755.75%5.08%11.74%5.19%12.52%9.76%8.90%7.90%3.70%0.89%0.44%2.04%4.63%3.76%2.86%
20138-3.03%$968,773-4.86%$2,275,065-3.03%-3.00%2.17%-6.56%-0.98%-4.09%-6.89%-6.32%-1.83%-4.08%-5.20%-4.97%-5.80%-6.38%-12.46%
201393.90%$1,006,5492.53%$2,332,6403.90%-2.95%7.85%1.80%7.17%4.20%0.32%2.90%1.58%-0.03%1.05%6.81%1.34%-1.28%3.89%
2013104.27%$1,049,4984.60%$2,439,9504.27%7.65%-4.40%7.41%3.51%2.01%6.83%8.36%-5.29%8.49%5.21%8.01%3.77%4.16%9.37%
2013112.70%$1,077,8632.21%$2,493,9342.70%4.30%4.71%-1.39%0.67%-0.18%2.92%-0.14%10.51%-2.73%0.70%9.11%5.55%5.02%-7.70%
2013122.73%$1,054,9180.45%$2,452,8692.73%-3.34%6.50%-1.36%4.76%-9.66%-3.24%0.61%1.36%-0.14%1.73%6.78%-2.29%8.26%-4.47%
20141-3.17%$1,021,484-2.76%$2,385,064-3.17%-5.17%-9.92%2.33%-6.04%-2.25%-3.41%-1.45%5.83%-3.96%-6.29%-6.24%-5.10%-8.93%10.83%
201424.87%$1,071,1954.07%$2,482,2054.87%2.66%15.43%1.47%-0.38%2.87%4.88%4.77%7.59%-4.17%7.29%0.24%0.03%5.19%8.10%
201430.51%$1,076,6342.58%$2,546,2560.51%2.47%2.10%0.48%2.36%1.36%6.63%3.85%0.40%9.83%4.27%6.08%2.97%1.46%-4.37%
201440.06%$1,077,2972.39%$2,607,2100.06%3.24%1.25%4.59%2.07%4.33%3.12%-3.99%3.15%3.12%4.58%-1.28%4.29%4.84%0.62%
201452.10%$1,099,9410.16%$2,611,4922.10%-2.13%1.80%-3.53%-1.50%1.80%0.86%3.76%-1.20%-0.64%1.41%3.16%-3.10%-1.17%2.49%
201462.62%$1,128,8051.59%$2,652,9192.62%-2.72%0.89%4.38%-0.55%4.87%3.11%4.47%0.74%-0.31%0.76%0.38%-2.21%0.15%6.32%
20147-1.99%$1,106,289-2.84%$2,577,572-1.99%-0.83%-9.66%-2.78%-4.08%-0.57%-4.33%-2.71%-1.92%1.95%-4.59%-2.75%-1.98%-1.73%-3.25%
201484.15%$1,152,2093.42%$2,665,8424.15%7.49%4.65%3.73%1.27%2.29%4.34%3.42%5.94%-1.77%2.83%4.65%3.27%1.23%4.41%
20149-2.10%$1,128,012-2.83%$2,590,356-2.10%0.76%-9.05%1.05%-2.25%-15.05%2.76%-2.98%-0.66%0.80%-4.90%3.39%1.28%-5.44%-6.92%
2014102.75%$1,158,9863.45%$2,679,6662.75%5.01%10.76%9.87%2.36%-3.88%1.12%10.56%-2.26%0.16%-3.99%2.50%-0.26%2.83%11.51%
2014112.48%$1,187,7323.88%$2,783,5152.48%3.62%0.15%-0.54%0.25%11.64%1.09%8.38%4.25%1.55%5.70%11.07%14.78%-5.71%1.08%
201412-0.04%$1,134,486-1.18%$2,697,781-0.04%0.73%-1.00%3.26%-3.17%-1.46%-3.40%-1.85%-5.26%-5.06%-3.94%0.07%-1.34%2.11%2.18%
20151-2.74%$1,103,448-0.85%$2,674,758-2.74%-6.81%-3.27%4.31%-7.76%-4.11%-4.24%-1.11%6.15%-0.61%8.62%-7.38%-1.05%-5.44%9.87%
201525.74%$1,166,8081.74%$2,721,3765.74%1.00%2.56%-8.98%2.55%11.08%3.08%8.67%-2.89%4.98%1.07%10.51%-1.24%2.04%-6.07%
20153-1.16%$1,153,325-2.10%$2,664,226-1.16%-3.75%-2.52%-2.25%-2.24%-1.22%-1.86%0.92%-1.02%-5.53%-5.44%-1.34%-1.41%-4.00%1.81%
201540.62%$1,160,422-0.01%$2,663,9800.62%-2.17%-0.27%1.03%3.90%-1.19%-1.39%-4.54%3.62%7.62%5.81%-3.82%-5.11%2.79%-5.29%
201551.30%$1,175,477-0.62%$2,647,4851.30%-1.41%-1.42%-1.33%3.31%-3.99%1.69%2.51%2.23%-0.29%0.75%-2.76%-4.24%-1.66%-2.32%
20156-1.67%$1,155,792-3.16%$2,563,805-1.67%-0.19%-3.22%-6.75%-8.09%-1.05%-2.68%-2.42%-5.79%2.84%-2.70%-0.53%-4.50%-2.35%-6.66%
201571.70%$1,175,4481.99%$2,614,8781.70%-1.16%-1.27%5.10%-6.64%-0.22%2.82%5.79%3.57%-0.87%5.52%10.54%1.48%-4.80%7.42%
20158-6.09%$1,103,845-6.66%$2,440,700-6.09%-7.86%-5.29%-3.42%-6.90%-6.47%-5.48%-7.78%-8.67%-4.43%-10.44%-6.04%-9.47%-4.12%-6.51%
20159-2.92%$1,071,591-2.46%$2,380,744-2.92%1.80%-10.82%1.45%-7.44%-2.16%-0.67%-6.89%-7.49%-1.87%1.17%-5.41%0.17%-1.18%4.37%
2015107.91%$1,156,3685.11%$2,502,3157.91%7.13%-4.67%-0.65%6.93%10.23%8.23%10.43%10.67%4.31%9.84%-1.01%-11.72%11.28%5.95%
2015110.60%$1,163,315-0.69%$2,484,9420.60%-2.02%-2.07%-4.03%6.92%-3.24%0.94%1.92%-3.02%0.48%-3.60%-4.18%2.80%-0.43%1.21%
201512-2.13%$1,085,4100.31%$2,439,610-2.13%6.11%-12.31%5.36%-4.34%-1.67%1.46%2.60%0.52%2.20%0.63%-3.23%5.06%-4.54%4.13%
20161-5.72%$1,023,2831.30%$2,471,285-5.72%3.77%2.14%5.48%-3.87%-12.40%1.67%-1.30%-4.07%6.27%2.67%0.56%8.25%-0.13%8.33%
20162-0.01%$1,023,1782.27%$2,527,461-0.01%-1.71%9.63%-0.31%7.30%4.77%1.46%1.94%-0.91%2.47%-2.55%4.01%-0.03%3.89%2.42%
201637.11%$1,095,9435.34%$2,662,3947.11%2.52%12.68%8.62%11.37%7.91%2.84%-2.60%6.29%6.01%5.51%0.03%4.01%4.29%5.05%
201640.66%$1,103,1570.95%$2,687,7640.66%-1.87%6.45%-2.35%0.46%1.55%3.59%5.53%3.65%0.34%0.09%-2.64%-2.37%5.75%-4.35%
201651.73%$1,122,2901.01%$2,715,0111.73%1.15%-1.33%0.37%-3.92%-0.52%1.26%1.68%2.59%0.85%1.56%-1.16%6.64%1.55%3.59%
201660.27%$1,125,3684.59%$2,839,7380.27%4.48%-1.77%9.66%0.27%-6.82%7.64%7.82%3.24%10.37%5.16%-0.75%3.16%5.30%14.10%
201673.98%$1,170,1061.80%$2,890,8043.98%1.88%9.19%-0.23%7.17%1.81%3.24%1.49%1.82%1.30%-2.30%1.53%-0.07%-5.11%3.69%
201680.21%$1,172,521-1.48%$2,848,1480.21%2.01%3.14%-5.98%-4.92%-0.47%-4.07%-0.68%7.04%-5.57%0.02%-0.61%-1.43%-1.18%-5.76%
201690.21%$1,174,9460.07%$2,850,0080.21%2.79%2.02%0.48%3.47%-4.21%-1.01%-0.23%0.13%-0.66%2.02%-9.12%0.95%0.16%1.50%
201610-2.19%$1,149,195-4.64%$2,717,836-2.19%-2.53%-0.26%-0.02%-7.03%-1.50%-1.81%-5.07%-5.91%-8.30%-11.34%-3.28%-2.91%-4.54%-9.37%
2016114.49%$1,200,8030.59%$2,734,0004.49%-5.00%11.76%-6.74%12.41%1.87%-3.38%-10.99%4.21%5.00%-4.06%0.55%0.59%5.70%-6.44%
2016121.98%$1,170,3721.25%$2,713,9521.98%1.96%-3.60%5.22%-1.22%1.42%3.51%-1.85%-3.06%10.10%1.80%-1.41%-1.16%3.39%3.56%
201711.86%$1,192,0911.31%$2,749,6211.86%5.01%7.57%1.19%5.22%3.54%-1.70%6.72%5.30%0.31%1.01%-3.51%-3.44%-7.06%-0.32%
201723.69%$1,236,1374.47%$2,872,4463.69%3.96%1.69%6.28%3.23%1.38%8.62%6.43%6.26%-0.88%16.44%1.88%6.28%-2.17%3.76%
201730.06%$1,236,819-0.03%$2,871,6510.06%-1.34%1.83%-0.65%-0.40%-7.10%1.91%0.10%-2.83%-0.57%3.92%5.64%2.36%0.85%-3.58%
201741.06%$1,249,9700.12%$2,875,1871.06%-2.06%-0.17%0.60%0.70%-0.13%-0.87%3.14%-1.90%-3.47%4.05%-0.62%4.30%-0.44%-2.19%
201751.01%$1,262,6121.43%$2,916,2441.01%0.87%5.18%4.93%-1.13%-3.05%4.56%1.43%4.46%-2.78%9.14%-1.52%5.24%-0.48%-9.12%
201760.95%$1,274,5790.66%$2,935,6290.95%-1.07%2.87%-2.44%0.85%0.63%3.15%5.30%-0.84%-2.08%-2.70%7.90%-3.72%0.29%1.90%
201771.88%$1,298,5452.33%$3,004,0991.88%5.03%3.50%1.83%-0.02%1.55%0.33%-4.90%-0.33%4.73%5.30%7.97%5.70%-0.85%3.44%
201780.15%$1,300,491-0.33%$2,994,2650.15%1.60%-4.41%3.62%-0.16%-1.69%0.37%-3.99%-0.03%-3.95%2.89%1.09%-1.79%-3.71%4.63%
201792.44%$1,332,2191.51%$3,039,3792.44%-1.40%5.43%-3.87%6.44%8.52%-1.78%-2.96%0.98%4.56%-0.43%1.79%0.09%7.40%-0.41%
2017102.17%$1,361,1221.23%$3,076,8962.17%-4.39%5.27%5.23%2.58%3.78%7.23%3.54%-13.96%-13.00%-2.26%9.56%11.74%1.67%-2.41%
2017113.03%$1,402,3682.43%$3,151,6833.03%4.23%-4.75%1.99%1.38%2.04%0.55%2.00%0.33%8.11%0.46%4.75%11.36%0.86%2.22%
2017121.16%$1,363,2361.69%$3,149,5581.16%2.10%5.52%-5.69%7.51%-0.24%0.28%-1.12%2.68%6.87%-2.02%2.07%2.10%0.42%5.02%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 3
Large-cap Value36.96%32.83%
Large-cap Growth43.59%34.44%
Mid-cap Value5.09%11.35%
Mid-cap Growth7.43%0.00%
Small-cap Value3.49%0.00%
Small-cap Growth2.46%0.00%
Global ex-US Developed Markets0.24%0.00%
Emerging Markets0.74%5.34%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%16.03%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.87%83.12%
Style analysis is based on monthly returns from April 2005 to December 2017 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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTIVanguard Total Stock Market ETFLarge Blend100.00%1.28%0.03%24.25$1,179,822100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldReturn ContributionRisk Contribution
PGProcter & Gamble CompanyConsumer Defensive / Household & Personal Products7.00%2.44%$165,8353.96%
CMICummins Inc.Industrials / Specialty Industrial Machinery7.00%2.28%$504,92513.74%
DUKDuke Energy CorporationUtilities / Utilities - Regulated Electric7.00%3.77%$165,6754.70%
EMREmerson Electric CompanyIndustrials / Specialty Industrial Machinery7.00%2.09%$174,0148.81%
FFord Motor CompanyConsumer Cyclical / Auto Manufacturers7.00%1.28%$202,29618.40%
JNJJohnson & JohnsonHealthcare / Drug Manufacturers - General7.00%2.53%$210,8004.39%
MDTMedtronic plcHealthcare / Medical Devices7.00%1.99%$155,5536.04%
MRKMerck & Company, Inc.Healthcare / Drug Manufacturers - General7.00%3.13%$121,3855.49%
TAT&T Inc.Communication Services / Telecom Services7.00%8.07%$108,6236.23%
ULUnilever PLCConsumer Defensive / Household & Personal Products7.00%3.78%$218,9975.68%
VFCV.F. CorporationConsumer Cyclical / Apparel Manufacturing7.00%2.65%$347,0296.67%
WMTWalmart IncConsumer Defensive / Discount Stores7.00%1.50%$175,6333.66%
XOMExxon Mobil CorporationEnergy / Oil & Gas Integrated8.00%5.55%$128,7705.05%
NNNNational Retail PropertiesReal Estate / REIT - Retail8.00%4.53%$286,6097.19%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 10/21/2021. (c) 2021 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 3
Arithmetic Mean (monthly)0.69%0.93%
Arithmetic Mean (annualized)8.64%11.74%
Geometric Mean (monthly)0.60%0.86%
Geometric Mean (annualized)7.51%10.78%
Volatility (monthly)4.18%3.81%
Volatility (annualized)14.47%13.20%
Downside Deviation (monthly)2.88%2.32%
Max. Drawdown-50.84%-37.80%
US Market Correlation1.000.87
Beta(*)1.000.79
Alpha (annualized)0.11%4.65%
R299.83%75.14%
Sharpe Ratio0.490.75
Sortino Ratio0.701.21
Treynor Ratio (%)7.0712.51
Calmar Ratio1.260.59
Active Return0.10%3.38%
Tracking Error0.60%7.26%
Information Ratio0.170.47
Skewness-0.70-0.18
Excess Kurtosis1.713.90
Historical Value-at-Risk (5%)-7.62%-4.92%
Analytical Value-at-Risk (5%)-6.18%-5.23%
Conditional Value-at-Risk (5%)-9.64%-8.04%
Upside Capture Ratio (%)100.1487.03
Downside Capture Ratio (%)99.7065.57
Safe Withdrawal Rate6.81%9.56%
Perpetual Withdrawal Rate4.98%7.71%
Positive Periods130 out of 198 (65.66%)130 out of 198 (65.66%)
Gain/Loss Ratio0.811.03
* 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 3
Subprime CrisisNov 2007Mar 2009-50.84%-37.80%

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-50.84%
2Jul 2001Sep 20021 year 3 monthsJan 20041 year 4 months2 years 7 months-30.94%
3Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.82%
5Jun 2007Jul 20072 monthsOct 20073 months5 months-5.23%
6Jan 2005Apr 20054 monthsJul 20053 months7 months-4.48%
7Jul 2004Jul 20041 monthNov 20044 months5 months-3.56%
8Mar 2004Apr 20042 monthsJun 20042 months4 months-3.23%
9May 2006May 20061 monthSep 20064 months5 months-3.22%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.17%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsNov 20099 months1 year 11 months-37.80%
2Apr 2002Feb 200311 monthsDec 200310 months1 year 9 months-23.22%
3Dec 2014Sep 201510 monthsApr 20167 months1 year 5 months-12.80%
4May 2010Jun 20102 monthsSep 20103 months5 months-10.86%
5Aug 2001Oct 20013 monthsMar 20025 months8 months-9.62%
6May 2011Sep 20115 monthsDec 20113 months8 months-8.58%
7Aug 2016Oct 20163 monthsFeb 20174 months7 months-5.98%
8Aug 2013Aug 20131 monthOct 20132 months3 months-4.86%
9Apr 2012May 20122 monthsJul 20122 months4 months-4.35%
10Oct 2005Oct 20051 monthJan 20063 months4 months-3.45%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTIVanguard Total Stock Market ETF7.51%14.47%33.45%-36.98%-50.84%0.490.701.00
PGProcter & Gamble Company9.53%14.11%25.39%-13.77%-34.38%0.631.030.38
CMICummins Inc.21.72%36.45%142.70%-57.37%-69.89%0.691.200.68
DUKDuke Energy Corporation6.38%19.08%30.25%-48.20%-63.48%0.360.480.36
EMREmerson Electric Company8.28%22.29%37.88%-33.58%-52.78%0.410.630.75
FFord Motor Company-1.48%50.94%336.68%-65.97%-91.11%0.160.310.56
JNJJohnson & Johnson9.26%14.00%34.62%-7.88%-27.85%0.610.980.47
MDTMedtronic plc5.12%20.12%42.87%-36.32%-46.96%0.290.410.54
MRKMerck & Company, Inc.3.30%23.46%42.66%-45.34%-57.13%0.200.290.38
TAT&T Inc.0.64%24.57%53.17%-64.33%-77.73%0.110.140.34
ULUnilever PLC10.30%19.66%44.06%-36.30%-47.62%0.530.850.46
VFCV.F. Corporation16.45%21.85%68.35%-17.51%-41.77%0.751.210.57
WMTWalmart Inc6.37%17.46%46.54%-26.64%-32.98%0.370.570.29
XOMExxon Mobil Corporation6.72%16.98%39.07%-13.14%-35.61%0.390.630.48
NNNNational Retail Properties13.75%21.72%36.02%-20.97%-43.14%0.650.990.41

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTIPGCMIDUKEMRFJNJMDTMRKTULVFCWMTXOMNNNPortfolio 1Portfolio 3
VTIVanguard Total Stock Market ETF1.000.380.670.360.750.560.470.540.380.330.470.570.290.480.411.000.87
PGProcter & Gamble Company0.381.000.170.280.330.200.500.300.240.270.410.190.170.210.290.380.52
CMICummins Inc.0.670.171.000.180.650.540.210.340.180.150.160.380.170.330.220.670.69
DUKDuke Energy Corporation0.360.280.181.000.170.080.340.190.210.360.290.180.230.290.300.360.45
EMREmerson Electric Company0.750.330.650.171.000.510.330.370.210.280.370.400.180.390.230.750.73
FFord Motor Company0.560.200.540.080.511.000.140.230.050.130.180.290.180.200.280.560.66
JNJJohnson & Johnson0.470.500.210.340.330.141.000.470.400.270.400.330.320.260.280.470.58
MDTMedtronic plc0.540.300.340.190.370.230.471.000.300.120.310.260.150.210.250.540.55
MRKMerck & Company, Inc.0.380.240.180.210.210.050.400.301.000.280.320.110.130.240.200.380.43
TAT&T Inc.0.330.270.150.360.280.130.270.120.281.000.230.130.220.270.180.330.47
ULUnilever PLC0.470.410.160.290.370.180.400.310.320.231.000.310.120.260.290.470.53
VFCV.F. Corporation0.570.190.380.180.400.290.330.260.110.130.311.000.280.250.280.570.56
WMTWalmart Inc0.290.170.170.230.180.180.320.150.130.220.120.281.000.050.170.290.39
XOMExxon Mobil Corporation0.480.210.330.290.390.200.260.210.240.270.260.250.051.000.050.480.48
NNNNational Retail Properties0.410.290.220.300.230.280.280.250.200.180.290.280.170.051.000.410.53

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 3
VTIVanguard Total Stock Market ETF$1,179,822
PGProcter & Gamble Company$165,835
CMICummins Inc.$504,925
DUKDuke Energy Corporation$165,675
EMREmerson Electric Company$174,014
FFord Motor Company$202,296
JNJJohnson & Johnson$210,800
MDTMedtronic plc$155,553
MRKMerck & Company, Inc.$121,385
TAT&T Inc.$108,623
ULUnilever PLC$218,997
VFCV.F. Corporation$347,029
WMTWalmart Inc$175,633
XOMExxon Mobil Corporation$128,770
NNNNational Retail Properties$286,609

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 3
VTIVanguard Total Stock Market ETF100.00%
PGProcter & Gamble Company3.96%
CMICummins Inc.13.74%
DUKDuke Energy Corporation4.70%
EMREmerson Electric Company8.81%
FFord Motor Company18.40%
JNJJohnson & Johnson4.39%
MDTMedtronic plc6.04%
MRKMerck & Company, Inc.5.49%
TAT&T Inc.6.23%
ULUnilever PLC5.68%
VFCV.F. Corporation6.67%
WMTWalmart Inc3.66%
XOMExxon Mobil Corporation5.05%
NNNNational Retail Properties7.19%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 3
AverageHighLowAverageHighLow
1 year9.44%56.27%-43.33%11.99%75.86%-32.00%
3 years8.89%26.70%-15.14%12.12%34.01%-4.19%
5 years8.43%23.99%-6.14%12.65%27.17%1.33%
7 years7.38%17.40%-2.98%12.44%19.73%2.04%
10 years7.38%9.45%3.70%12.40%15.05%9.40%
15 years8.36%10.53%6.31%11.33%12.76%10.58%