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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Portfolio Analysis Results (Feb 2004 - May 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
ITOT iShares Core S&P Total US Stock Mkt ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
CHI Calamos Convertible Opps&Income 50.00%
RNP Cohen&Steers REIT&Preferred Income 50.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
ITOT iShares Core S&P Total US Stock Mkt ETF 50.00%
CHI Calamos Convertible Opps&Income 25.00%
RNP Cohen&Steers REIT&Preferred Income 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$3,370,274 8.25% 13.95%33.31%-36.48%-50.76% 0.550.781.00
Portfolio 2$1,000,000$3,131,372 7.73% 21.28%78.67%-47.67%-68.68% 0.400.560.75
Portfolio 3$1,000,000$3,391,258 8.29% 16.51%52.63%-42.07%-59.54% 0.490.690.91
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 1-1.31%2.45%11.52%9.48%13.96%8.25%
Portfolio 23.28%5.22%11.31%7.73%14.86%7.73%
Portfolio 31.00%3.92%11.45%8.62%14.60%8.29%
Trailing returns are for full months ending in May 2019 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 2004 are based on monthly returns from February to December
  • The annual results for 2019 are based on monthly returns from January to May
  • 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 (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
  • 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 and thus includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeiShares Core S&P Total US Stock Mkt ETF (ITOT)Calamos Convertible Opps&Income (CHI)Cohen&Steers REIT&Preferred Income (RNP)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20042.75%9.61%12.76%11.19%$1,096,138$1,127,609$1,111,8731.66% [$16,580]11.15% [$111,503]6.40% [$64,042]9.61%11.63%13.89%
20053.42%5.32%7.42%6.37%$1,154,478$1,211,260$1,182,7041.62% [$17,754]11.94% [$134,588]6.78% [$75,360]5.32%6.39%8.45%
20062.54%15.12%25.50%20.31%$1,329,028$1,520,160$1,422,9221.68% [$19,392]13.55% [$164,106]7.61% [$90,051]15.12%13.38%37.63%
20074.08%5.16%-24.52%-9.68%$1,397,553$1,147,364$1,285,1301.71% [$22,772]11.10% [$168,754]6.41% [$91,170]5.16%-20.66%-28.39%
20080.09%-36.48%-47.67%-42.07%$887,774$600,452$744,4541.68% [$23,531]12.33% [$141,445]7.01% [$90,033]-36.48%-34.75%-60.58%
20092.72%26.59%78.67%52.63%$1,123,866$1,072,834$1,136,2782.32% [$20,561]14.50% [$87,047]8.41% [$62,582]26.59%66.19%91.15%
20101.50%16.21%33.16%24.69%$1,306,064$1,428,588$1,416,7791.88% [$21,123]9.81% [$105,196]5.84% [$66,386]16.21%17.08%49.25%
20112.96%1.73%0.51%1.12%$1,328,709$1,435,816$1,432,6461.86% [$24,255]8.83% [$126,105]5.34% [$75,687]1.73%-6.30%7.31%
20121.74%15.83%22.64%19.23%$1,539,066$1,760,849$1,708,2092.21% [$29,430]9.64% [$138,370]5.93% [$84,898]15.83%16.33%28.94%
20131.50%33.31%10.36%21.84%$2,051,794$1,943,204$2,081,1992.71% [$41,747]8.60% [$151,396]5.66% [$96,603]33.31%21.47%-0.75%
20140.76%13.52%17.59%15.56%$2,329,165$2,285,045$2,404,9312.47% [$50,617]8.69% [$168,815]5.58% [$116,073]13.52%5.24%29.94%
20150.73%0.91%-4.73%-1.91%$2,350,273$2,176,920$2,358,9292.01% [$46,760]8.64% [$197,527]5.33% [$128,086]0.91%-14.75%5.29%
20162.07%12.61%13.17%12.89%$2,646,680$2,463,517$2,662,9582.04% [$47,862]10.22% [$222,449]6.13% [$144,543]12.61%14.42%11.91%
20172.11%21.38%21.18%21.28%$3,212,536$2,985,364$3,229,6742.03% [$53,629]9.95% [$245,008]5.99% [$159,401]21.38%22.71%19.65%
20181.91%-5.31%-11.06%-8.18%$3,042,091$2,655,295$2,965,4562.00% [$64,354]8.67% [$258,720]5.33% [$172,295]-5.31%-12.65%-9.47%
20191.93%10.79%17.93%14.36%$3,370,274$3,131,372$3,391,2580.42% [$12,809]3.59% [$95,358]2.01% [$59,492]10.79%15.83%20.03%
Annual returns for 2004 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Core S&P Total US Stock Mkt ETF (ITOT)Calamos Convertible Opps&Income (CHI)Cohen&Steers REIT&Preferred Income (RNP)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200421.59%-2.13%-0.27%$1,015,916$978,657$997,2861.59%-6.32%2.05%
20043-1.30%3.38%1.00%$1,002,737$1,011,754$1,007,246-1.30%3.44%3.33%
20044-1.20%-10.06%-5.65%$990,717$909,959$950,338-1.20%-5.58%-14.18%
200450.48%2.48%1.43%$995,464$932,485$963,9750.48%1.01%3.96%
200462.12%0.96%1.56%$1,016,588$941,432$979,0102.12%3.48%-1.52%
20047-3.50%2.44%-0.64%$981,009$964,390$972,700-3.50%1.27%3.64%
20048-0.21%3.80%1.78%$978,981$1,000,998$989,989-0.21%2.14%5.46%
200491.99%1.77%1.88%$998,415$1,018,736$1,008,5751.99%2.00%1.55%
2004101.56%2.93%2.25%$1,013,993$1,048,621$1,031,3071.56%2.08%3.77%
2004114.44%2.20%3.30%$1,058,996$1,071,717$1,065,3564.44%3.08%1.36%
2004123.51%5.22%4.37%$1,096,138$1,127,609$1,111,8733.51%5.15%5.28%
20051-2.59%-2.08%-2.33%$1,067,779$1,104,125$1,085,913-2.59%-0.58%-3.59%
200522.53%0.16%1.34%$1,094,807$1,105,878$1,100,4842.53%-1.18%1.54%
20053-2.03%-6.23%-4.11%$1,072,562$1,036,990$1,055,239-2.03%-8.33%-4.12%
20054-2.29%2.76%0.15%$1,047,947$1,065,584$1,056,852-2.29%1.66%3.81%
200553.72%5.08%4.40%$1,086,981$1,119,752$1,103,3563.72%6.95%3.33%
200560.60%1.60%1.10%$1,093,478$1,137,681$1,115,4900.60%-0.20%3.35%
200573.64%4.38%4.02%$1,133,319$1,187,559$1,160,2883.64%5.53%3.31%
20058-1.37%-2.08%-1.72%$1,117,837$1,162,905$1,140,280-1.37%-0.26%-3.82%
200591.11%0.24%0.67%$1,130,231$1,165,747$1,147,9681.11%0.14%0.35%
200510-1.81%-2.16%-1.98%$1,109,823$1,140,586$1,125,212-1.81%-1.88%-2.43%
2005114.01%3.22%3.62%$1,154,369$1,177,271$1,165,8914.01%4.56%1.88%
2005120.01%2.89%1.44%$1,154,478$1,211,260$1,182,7040.01%0.68%5.15%
200613.06%3.83%3.45%$1,189,846$1,257,647$1,223,4673.06%2.52%5.14%
200620.22%3.05%1.64%$1,192,447$1,296,049$1,243,5480.22%3.56%2.56%
200631.74%0.90%1.31%$1,213,167$1,307,676$1,259,8371.74%0.06%1.73%
200641.10%-1.64%-0.29%$1,226,530$1,286,207$1,256,2011.10%-1.46%-1.82%
20065-3.16%-1.67%-2.41%$1,187,797$1,264,721$1,225,871-3.16%-2.23%-1.12%
200660.22%0.69%0.45%$1,190,362$1,273,433$1,231,4390.22%-1.54%2.83%
200670.09%3.90%2.01%$1,191,410$1,323,048$1,256,1980.09%3.81%3.98%
200682.15%4.42%3.31%$1,216,975$1,381,501$1,297,8302.15%3.38%5.37%
200692.44%0.02%1.18%$1,246,673$1,381,723$1,313,1512.44%-2.61%2.38%
2006103.27%2.36%2.81%$1,287,493$1,414,388$1,350,0073.27%1.14%3.42%
2006112.13%3.83%3.00%$1,314,951$1,468,576$1,390,5272.13%2.20%5.20%
2006121.07%3.51%2.33%$1,329,028$1,520,160$1,422,9221.07%4.14%3.00%
200711.81%1.90%1.85%$1,353,119$1,548,987$1,449,3101.81%0.20%3.60%
20072-1.64%-2.01%-1.83%$1,330,930$1,517,783$1,422,827-1.64%0.39%-4.34%
200730.99%-0.43%0.28%$1,344,129$1,511,181$1,426,8040.99%0.55%-1.44%
200744.21%1.32%2.78%$1,400,669$1,531,155$1,466,4194.21%0.39%2.29%
200753.67%0.10%1.93%$1,452,118$1,532,660$1,494,6653.67%1.64%-1.47%
20076-1.79%-5.86%-3.75%$1,426,075$1,442,839$1,438,686-1.79%-3.94%-7.87%
20077-3.37%-8.40%-5.73%$1,377,947$1,321,712$1,356,232-3.37%-8.64%-8.12%
200781.55%-2.33%-0.22%$1,399,349$1,290,973$1,353,3031.55%-4.95%0.52%
200793.58%3.83%3.69%$1,449,480$1,340,408$1,403,2763.58%4.72%2.91%
2007101.54%0.84%1.23%$1,471,827$1,351,704$1,420,5251.54%-0.88%2.64%
200711-4.45%-12.39%-7.99%$1,406,282$1,184,209$1,307,047-4.45%-11.91%-12.87%
200712-0.62%-3.11%-1.68%$1,397,553$1,147,364$1,285,130-0.62%0.80%-7.10%
20081-6.01%13.01%3.50%$1,313,575$1,296,598$1,330,095-6.01%9.96%16.05%
20082-2.97%-6.12%-4.69%$1,274,593$1,217,232$1,267,724-2.97%-5.98%-6.25%
20083-0.51%-4.89%-2.86%$1,268,092$1,157,753$1,231,425-0.51%-7.08%-2.80%
200844.95%12.39%8.87%$1,330,861$1,301,191$1,340,6154.95%13.36%11.51%
200851.70%2.72%2.26%$1,353,509$1,336,630$1,370,8751.70%2.48%2.94%
20086-8.18%-10.48%-9.44%$1,242,790$1,196,517$1,241,500-8.18%-9.15%-11.71%
20087-0.78%-2.12%-1.50%$1,233,147$1,171,131$1,222,850-0.78%-4.84%0.45%
200881.62%1.69%1.66%$1,253,082$1,190,967$1,243,1251.62%2.12%1.31%
20089-9.19%-25.43%-17.90%$1,137,967$888,091$1,020,576-9.19%-19.21%-31.05%
200810-17.50%-24.01%-20.67%$938,867$674,830$809,600-17.50%-13.23%-35.43%
200811-7.19%-23.14%-14.64%$871,338$518,670$691,096-7.19%-15.56%-33.93%
2008121.89%15.77%7.72%$887,774$600,452$744,4541.89%11.87%22.85%
20091-8.90%-0.16%-4.53%$808,802$599,501$710,753-8.90%10.25%-10.57%
20092-10.39%-19.07%-14.93%$724,785$485,197$604,668-10.39%-11.11%-28.87%
200938.28%6.44%7.36%$784,767$516,437$649,1838.28%8.90%2.65%
2009410.55%24.79%17.57%$867,571$644,444$763,25510.55%6.13%55.29%
200955.19%21.55%13.75%$912,617$783,315$868,2295.19%17.35%26.24%
200960.36%0.68%0.54%$915,925$788,668$872,9350.36%-0.20%1.60%
200977.59%9.68%8.76%$985,424$865,003$949,3957.59%7.36%12.05%
200983.72%5.34%4.63%$1,022,061$911,173$993,3783.72%-0.29%10.84%
200993.84%10.16%7.43%$1,061,269$1,003,720$1,067,1873.84%9.45%10.78%
200910-2.31%-6.16%-4.56%$1,036,733$941,867$1,018,557-2.31%-3.35%-8.60%
2009115.90%5.50%5.67%$1,097,849$993,702$1,076,3155.90%5.83%5.20%
2009122.37%7.96%5.57%$1,123,866$1,072,834$1,136,2782.37%4.55%11.12%
20101-3.51%-0.57%-2.04%$1,084,417$1,066,746$1,113,111-3.51%-0.27%-0.87%
201023.18%2.94%3.06%$1,118,935$1,098,099$1,147,1653.18%0.73%5.17%
201036.24%8.56%7.42%$1,188,725$1,192,112$1,232,2316.24%4.18%12.78%
201042.01%4.37%3.22%$1,212,576$1,244,255$1,271,9022.01%2.73%5.83%
20105-8.05%-10.01%-9.07%$1,114,922$1,119,660$1,156,554-8.05%-8.10%-11.67%
20106-5.32%-1.00%-3.11%$1,055,570$1,108,422$1,120,599-5.32%2.26%-3.94%
201076.96%8.13%7.57%$1,128,999$1,198,534$1,205,4406.96%5.25%10.89%
20108-4.68%1.04%-1.67%$1,076,130$1,211,049$1,185,341-4.68%-0.53%2.48%
201099.21%8.55%8.86%$1,175,294$1,314,594$1,290,3059.21%4.94%11.73%
2010103.84%3.98%3.92%$1,220,481$1,366,856$1,340,8243.84%2.51%5.19%
2010110.28%1.54%0.96%$1,223,887$1,387,933$1,353,7070.28%-0.59%3.26%
2010126.71%2.93%4.66%$1,306,064$1,428,588$1,416,7796.71%3.50%2.49%
201112.11%0.89%1.50%$1,333,668$1,441,258$1,438,0342.11%1.21%0.56%
201123.64%2.96%3.30%$1,382,261$1,483,852$1,485,5113.64%-0.19%6.12%
201130.40%1.76%1.08%$1,387,858$1,509,941$1,501,4840.40%1.79%1.73%
201142.76%3.44%3.10%$1,426,104$1,561,898$1,547,9912.76%2.15%4.67%
20115-1.04%3.80%1.38%$1,411,218$1,621,231$1,569,339-1.04%-0.11%7.41%
20116-1.70%-2.52%-2.12%$1,387,290$1,580,398$1,536,113-1.70%-1.53%-3.37%
20117-2.34%-4.04%-3.21%$1,354,867$1,516,538$1,486,861-2.34%-2.88%-5.06%
20118-5.41%-4.15%-4.77%$1,281,513$1,453,666$1,415,899-5.41%-3.99%-4.29%
20119-7.56%-8.18%-7.88%$1,184,629$1,334,756$1,304,387-7.56%-5.14%-10.91%
20111011.33%9.32%10.31%$1,318,899$1,459,110$1,438,87611.33%7.43%11.12%
201111-0.75%-3.04%-1.90%$1,308,962$1,414,806$1,411,517-0.75%-4.81%-1.40%
2011121.51%1.48%1.50%$1,328,709$1,435,816$1,432,6461.51%0.27%2.57%
201214.62%9.32%6.97%$1,390,066$1,569,602$1,532,4694.62%9.24%9.40%
201224.03%4.15%4.09%$1,446,078$1,634,711$1,595,1494.03%5.26%3.04%
201233.29%2.15%2.71%$1,493,691$1,669,866$1,638,3563.29%0.20%4.14%
20124-0.78%0.07%-0.35%$1,482,025$1,671,069$1,632,667-0.78%-0.88%1.01%
20125-5.89%-4.04%-4.94%$1,394,765$1,603,629$1,551,978-5.89%-3.88%-4.19%
201263.84%4.91%4.39%$1,448,319$1,682,379$1,620,1383.84%3.58%6.19%
201271.10%2.90%2.03%$1,464,260$1,731,233$1,653,1061.10%2.24%3.53%
201280.19%2.25%1.26%$1,467,073$1,770,102$1,674,0140.19%1.57%2.88%
201294.80%1.50%3.06%$1,537,509$1,796,657$1,725,2344.80%2.06%0.99%
201210-1.67%-1.72%-1.70%$1,511,833$1,765,748$1,695,972-1.67%-1.22%-2.18%
2012110.58%-0.81%-0.14%$1,520,548$1,751,464$1,693,5440.58%-1.80%0.12%
2012121.22%0.54%0.87%$1,539,066$1,760,849$1,708,2091.22%-0.48%1.47%
201315.33%5.64%5.48%$1,621,068$1,860,160$1,801,8875.33%5.28%6.00%
201321.23%0.09%0.66%$1,640,975$1,861,873$1,813,7661.23%-1.32%1.50%
201334.29%4.16%4.22%$1,711,350$1,939,287$1,890,3704.29%3.30%4.98%
201341.79%1.73%1.76%$1,741,957$1,972,829$1,923,6251.79%2.04%1.43%
201352.39%-4.14%-0.86%$1,783,563$1,891,087$1,907,0662.39%0.26%-8.36%
20136-1.40%0.02%-0.72%$1,758,615$1,891,375$1,893,360-1.40%-0.13%0.17%
201375.37%0.22%2.87%$1,853,006$1,895,595$1,947,7895.37%1.82%-1.45%
20138-2.99%-6.09%-4.46%$1,797,524$1,780,068$1,860,963-2.99%-2.27%-10.22%
201393.50%3.01%3.28%$1,860,509$1,833,729$1,921,9453.50%2.72%3.36%
2013104.37%4.96%4.64%$1,941,831$1,924,650$2,011,1764.37%4.57%5.42%
2013113.04%-0.84%1.24%$2,000,952$1,908,441$2,036,1233.04%1.76%-3.85%
2013122.54%1.82%2.21%$2,051,794$1,943,204$2,081,1992.54%1.84%1.80%
20141-3.39%3.07%-0.16%$1,982,188$2,002,902$2,077,866-3.39%3.47%2.68%
201424.53%4.61%4.57%$2,071,923$2,095,156$2,172,7804.53%3.64%5.58%
201430.80%0.07%0.42%$2,088,547$2,096,653$2,182,0120.80%-1.54%1.67%
201440.37%1.39%0.90%$2,096,340$2,125,777$2,201,5610.37%0.26%2.47%
201452.23%1.53%1.87%$2,143,098$2,158,297$2,242,6902.23%1.20%1.84%
201462.28%2.89%2.59%$2,191,982$2,220,666$2,300,8812.28%2.21%3.52%
20147-1.67%-1.79%-1.73%$2,155,295$2,180,987$2,261,026-1.67%-3.91%0.17%
201484.07%3.58%3.82%$2,243,101$2,259,094$2,347,3854.07%5.07%2.27%
20149-1.76%-3.10%-2.45%$2,203,517$2,189,022$2,289,785-1.76%-2.49%-3.66%
2014102.59%5.18%3.91%$2,260,515$2,302,401$2,379,4082.59%1.90%8.19%
2014112.49%0.39%1.40%$2,316,776$2,311,444$2,412,7842.49%0.48%0.32%
2014120.53%-1.14%-0.33%$2,329,165$2,285,045$2,404,9310.53%-4.65%1.89%
20151-2.88%1.79%-0.54%$2,262,185$2,325,957$2,391,880-2.88%0.00%3.58%
201525.68%0.98%3.28%$2,390,687$2,348,819$2,470,2525.68%3.63%-1.58%
20153-1.27%0.66%-0.30%$2,360,266$2,364,369$2,462,730-1.27%-1.03%2.38%
201540.63%-0.91%-0.15%$2,375,215$2,342,790$2,459,0920.63%0.88%-2.67%
201551.33%-1.08%0.12%$2,406,858$2,317,381$2,462,0571.33%0.03%-2.22%
20156-1.81%-4.16%-2.98%$2,363,257$2,220,950$2,388,803-1.81%-4.73%-3.57%
201571.93%-1.59%0.20%$2,408,796$2,185,571$2,393,6951.93%-5.64%2.57%
20158-6.09%-5.47%-5.79%$2,262,171$2,066,034$2,255,094-6.09%-6.48%-4.52%
20159-2.61%-1.09%-1.87%$2,203,189$2,043,564$2,212,819-2.61%-5.84%3.32%
2015108.23%5.02%6.67%$2,384,524$2,146,137$2,360,4138.23%6.25%3.98%
2015110.43%-1.69%-0.58%$2,394,836$2,109,940$2,346,6880.43%-3.06%-0.50%
201512-1.86%3.17%0.52%$2,350,273$2,176,920$2,358,929-1.86%1.01%4.99%
20161-5.87%-6.78%-6.33%$2,212,334$2,029,241$2,209,693-5.87%-9.28%-4.28%
201620.11%-1.21%-0.55%$2,214,865$2,004,623$2,197,6250.11%-1.48%-0.96%
201637.16%9.95%8.54%$2,373,408$2,204,163$2,385,3007.16%9.48%10.40%
201640.58%0.99%0.78%$2,387,136$2,226,005$2,404,0230.58%2.73%-0.63%
201651.79%1.99%1.89%$2,429,845$2,270,368$2,449,4931.79%1.41%2.55%
201660.16%5.55%2.86%$2,433,627$2,396,320$2,519,6320.16%2.42%8.53%
201673.96%5.95%4.99%$2,529,950$2,538,983$2,645,2663.96%6.99%5.01%
201680.30%0.46%0.38%$2,537,615$2,550,623$2,655,4190.30%2.57%-1.48%
201690.19%-2.52%-1.22%$2,542,483$2,486,318$2,623,0220.19%-1.58%-3.42%
201610-2.28%-4.83%-3.59%$2,484,478$2,366,260$2,528,864-2.28%-3.37%-6.25%
2016114.42%0.16%2.26%$2,594,329$2,370,092$2,586,0684.42%0.98%-0.66%
2016122.02%3.94%2.97%$2,646,680$2,463,517$2,662,9582.02%3.98%3.90%
201712.01%5.74%3.87%$2,699,830$2,604,829$2,766,0732.01%7.23%4.24%
201723.57%2.11%2.83%$2,796,326$2,659,742$2,844,2973.57%2.36%1.85%
201730.12%-0.84%-0.37%$2,799,637$2,637,350$2,833,8600.12%1.07%-2.82%
201741.00%3.74%2.38%$2,827,618$2,735,943$2,901,2241.00%3.99%3.47%
201751.06%1.03%1.05%$2,857,671$2,764,159$2,931,5931.06%-0.22%2.38%
201760.93%2.19%1.57%$2,884,186$2,824,831$2,977,7240.93%1.20%3.25%
201771.89%2.90%2.41%$2,938,830$2,906,827$3,049,5311.89%4.25%1.51%
201780.12%-0.24%-0.06%$2,942,473$2,899,797$3,047,5640.12%-0.90%0.46%
201792.40%1.73%2.06%$3,013,223$2,949,917$3,110,2462.40%1.63%1.83%
2017102.24%0.99%1.60%$3,080,672$2,979,044$3,159,9202.24%1.34%0.62%
2017113.04%-1.29%0.83%$3,174,263$2,940,516$3,186,1803.04%-1.60%-0.97%
2017121.21%1.53%1.37%$3,212,536$2,985,364$3,229,6741.21%0.61%2.48%
201815.22%-3.83%0.69%$3,380,152$2,871,077$3,252,1095.22%0.80%-8.46%
20182-3.79%-2.15%-3.01%$3,251,944$2,809,307$3,154,251-3.79%-1.42%-2.96%
20183-1.91%1.24%-0.39%$3,189,871$2,844,271$3,141,961-1.91%1.57%0.88%
201840.31%1.36%0.83%$3,199,895$2,883,052$3,167,9770.31%2.94%-0.41%
201852.80%3.23%3.01%$3,289,587$2,976,154$3,263,4232.80%3.42%3.01%
201860.69%2.76%1.71%$3,312,186$3,058,193$3,319,1590.69%2.28%3.31%
201873.29%2.42%2.86%$3,421,321$3,132,335$3,414,1223.29%3.88%0.74%
201883.48%4.11%3.79%$3,540,521$3,260,970$3,543,6223.48%4.51%3.63%
201890.15%-2.88%-1.36%$3,545,749$3,167,144$3,495,4970.15%-3.74%-1.84%
201810-7.35%-12.24%-9.75%$3,284,993$2,779,355$3,154,661-7.35%-17.21%-6.39%
2018111.91%3.11%2.48%$3,347,787$2,865,904$3,233,0421.91%3.12%3.10%
201812-9.13%-7.35%-8.28%$3,042,091$2,655,295$2,965,456-9.13%-10.92%-3.62%
201918.44%13.75%11.09%$3,298,815$3,020,288$3,294,3988.44%16.37%11.13%
201923.53%0.39%1.92%$3,415,117$3,031,949$3,357,5963.53%-0.19%0.99%
201931.44%2.59%2.02%$3,464,416$3,110,394$3,425,4291.44%0.15%5.11%
201943.88%3.77%3.82%$3,598,904$3,227,617$3,556,4363.88%5.98%1.58%
20195-6.35%-2.98%-4.64%$3,370,274$3,131,372$3,391,258-6.35%-6.04%0.16%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 3
Large-cap Value41.36%35.89%
Large-cap Growth46.22%0.00%
Mid-cap Value4.32%12.63%
Mid-cap Growth1.93%29.46%
Small-cap Value2.27%0.00%
Small-cap Growth3.00%0.00%
Global ex-US Developed Markets0.00%1.38%
Emerging Markets0.46%10.74%
Corporate Bonds0.34%9.90%
Long-Term Treasuries0.09%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.00%0.00%
R Squared99.45%84.15%
Style analysis is based on monthly returns from Apr 2005 to May 2019 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
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
ITOTiShares Core S&P Total US Stock Mkt ETFLarge Blend100.00%0.03%26.49$2,370,274100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
CHICalamos Convertible Opps&IncomeConvertibles50.00%1.44%3.02$710,95336.85%
RNPCohen&Steers REIT&Preferred Income50% to 70% Equity50.00%31.06$1,420,42063.15%
100.00%1.44%31.063.02$2,131,372100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
ITOTiShares Core S&P Total US Stock Mkt ETFLarge Blend50.00%0.03%26.49$1,229,95337.56%
CHICalamos Convertible Opps&IncomeConvertibles25.00%1.44%3.02$390,91823.44%
RNPCohen&Steers REIT&Preferred Income50% to 70% Equity25.00%31.06$770,38639.00%
100.00%0.50%28.013.02$2,391,258100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 09/28/2020. (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.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.74%0.82%0.78%
Arithmetic Mean (annualized)9.31%10.26%9.80%
Geometric Mean (monthly)0.66%0.62%0.67%
Geometric Mean (annualized)8.25%7.73%8.29%
Volatility (monthly)4.03%6.14%4.77%
Volatility (annualized)13.95%21.28%16.51%
Downside Deviation (monthly)2.78%4.34%3.37%
Max. Drawdown-50.76%-68.68%-59.54%
US Market Correlation1.000.750.91
Beta(*)0.991.131.06
Alpha (annualized)0.03%-0.43%-0.20%
R299.35%56.49%82.24%
Sharpe Ratio0.550.400.49
Sortino Ratio0.780.560.69
Treynor Ratio (%)7.767.517.63
Calmar Ratio0.810.610.70
Active Return-0.07%-0.59%-0.03%
Tracking Error1.14%14.17%7.01%
Information Ratio-0.07-0.04-0.00
Skewness-0.81-0.73-0.93
Excess Kurtosis2.305.564.40
Historical Value-at-Risk (5%)-7.31%-9.61%-7.96%
Analytical Value-at-Risk (5%)-5.88%-9.57%-7.16%
Conditional Value-at-Risk (5%)-9.58%-16.32%-12.52%
Upside Capture Ratio (%)98.44105.58102.70
Downside Capture Ratio (%)98.53111.58104.25
Safe Withdrawal Rate8.71%8.24%8.72%
Perpetual Withdrawal Rate5.76%5.30%5.81%
Positive Periods127 out of 184 (69.02%)122 out of 184 (66.30%)120 out of 184 (65.22%)
Gain/Loss Ratio0.730.760.85
* 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 2009-50.76%-64.10%-57.43%

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-50.76%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-14.20%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.54%
4Apr 2012May 20122 monthsSep 20124 months6 months-6.62%
5May 2019May 20191 month-6.35%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-5.63%
7Jun 2007Jul 20072 monthsOct 20073 months5 months-5.11%
8Jan 2005Apr 20054 monthsJul 20053 months7 months-4.40%
9Jul 2004Aug 20042 monthsNov 20043 months5 months-3.70%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.39%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2007Feb 20092 years 1 monthApr 20112 years 2 months4 years 3 months-68.68%
2Sep 2018Dec 20184 months-18.57%
3Jun 2011Sep 20114 monthsFeb 20125 months9 months-17.67%
4Apr 2015Feb 201611 monthsJun 20164 months1 year 3 months-15.22%
5Apr 2004Apr 20041 monthSep 20045 months6 months-10.06%
6May 2013Aug 20134 monthsJan 20145 months9 months-9.77%
7Jan 2005Mar 20053 monthsJun 20053 months6 months-8.04%
8Sep 2016Oct 20162 monthsJan 20173 months5 months-7.23%
9Jan 2018Feb 20182 monthsJun 20184 months6 months-5.90%
10May 2012May 20121 monthJun 20121 month2 months-4.04%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsMar 20112 years 1 month3 years 10 months-59.54%
2Jun 2011Sep 20114 monthsFeb 20125 months9 months-16.88%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-16.32%
4Mar 2015Feb 20161 yearJun 20164 months1 year 4 months-11.04%
5Apr 2004Apr 20041 monthSep 20045 months6 months-5.65%
6Apr 2012May 20122 monthsJul 20122 months4 months-5.27%
7Jan 2005Mar 20053 monthsJun 20053 months6 months-5.09%
8Sep 2016Oct 20162 monthsDec 20162 months4 months-4.77%
9May 2019May 20191 month-4.64%
10Aug 2013Aug 20131 monthOct 20132 months3 months-4.46%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
ITOTiShares Core S&P Total US Stock Mkt ETF8.25%13.95%33.31%-36.48%-50.76%0.550.781.00
CHICalamos Convertible Opps&Income5.55%18.06%66.19%-34.75%-55.16%0.320.450.70
RNPCohen&Steers REIT&Preferred Income8.99%29.37%91.15%-60.58%-82.67%0.400.590.68

Monthly Correlations

Correlations for the portfolio assets
TickerNameITOTCHIRNPPortfolio 1Portfolio 2Portfolio 3
ITOTiShares Core S&P Total US Stock Mkt ETF1.000.690.671.000.740.90
CHICalamos Convertible Opps&Income0.691.000.700.690.890.87
RNPCohen&Steers REIT&Preferred Income0.670.701.000.670.940.89

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
ITOTiShares Core S&P Total US Stock Mkt ETF$2,370,274$1,229,953
CHICalamos Convertible Opps&Income$710,953$390,918
RNPCohen&Steers REIT&Preferred Income$1,420,420$770,386

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
ITOTiShares Core S&P Total US Stock Mkt ETF100.00%37.56%
CHICalamos Convertible Opps&Income36.85%23.44%
RNPCohen&Steers REIT&Preferred Income63.15%39.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year8.99%33.31%-36.48%10.16%78.67%-47.67%9.58%52.63%-42.07%
3 years8.25%20.57%-8.38%7.27%33.72%-20.86%8.03%24.38%-14.30%
5 years9.02%18.24%-0.00%9.07%26.48%-1.14%9.40%22.83%0.14%
7 years9.40%14.92%2.79%9.50%20.20%3.51%9.79%17.91%3.69%
10 years8.82%13.11%7.13%8.87%16.03%4.95%9.22%14.82%6.47%
Result statistics are based on annualized rolling returns over full calendar year periods