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 Analysis Results (Jan 2019 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
PRSNX T. Rowe Price Global Multi-Sector Bd Inv 10.00%
OPTAX Invesco OppenheimerRchst AMT-Fr Mncpl A 10.00%
PTTFX T. Rowe Price Total Return 10.00%
VTABX Vanguard Total Intl Bd Idx Admiral 10.00%
IMCDX Voya Emerging Markets Corporate Debt P 5.00%
PCSFX Principal Capital Securities S 10.00%
PML Pimco Municipal Income Fund II 5.00%
JXI iShares Global Utilities ETF 5.00%
FPNIX FPA New Income 5.00%
VFIIX Vanguard GNMA Inv 10.00%
FSRRX Fidelity Strategic Real Return 5.00%
FIREX Fidelity Intl Real Estate 5.00%
IAU iShares Gold Trust 5.00%
ICLN iShares Global Clean Energy ETF 5.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
PRSNX T. Rowe Price Global Multi-Sector Bd Inv 6.00%
OPTAX Invesco OppenheimerRchst AMT-Fr Mncpl A 9.00%
PTTFX T. Rowe Price Total Return 10.00%
IMCDX Voya Emerging Markets Corporate Debt P 5.00%
PCSFX Principal Capital Securities S 10.00%
PML Pimco Municipal Income Fund II 5.00%
JXI iShares Global Utilities ETF 5.00%
FIREX Fidelity Intl Real Estate 5.00%
IAU iShares Gold Trust 5.00%
ICLN iShares Global Clean Energy ETF 5.00%
VEMBX Vanguard Emerging Markets Bond Investor 10.00%
MCR MFS Charter Income Trust 5.00%
IGIB iShares Intermediate-Term Corp Bd ETF 10.00%
ECF Ellsworth Growth and Income Fund Ltd 5.00%
PIO Invesco Global Water ETF 5.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
IMCDX Voya Emerging Markets Corporate Debt P 5.00%
PCSFX Principal Capital Securities S 8.00%
PML Pimco Municipal Income Fund II 5.00%
JXI iShares Global Utilities ETF 5.00%
FPHAX Fidelity Select Pharmaceuticals Port 5.00%
FIREX Fidelity Intl Real Estate 5.00%
IAU iShares Gold Trust 5.00%
ICLN iShares Global Clean Energy ETF 5.00%
VEMBX Vanguard Emerging Markets Bond Investor 10.00%
MCR MFS Charter Income Trust 5.00%
IGIB iShares Intermediate-Term Corp Bd ETF 10.00%
ECF Ellsworth Growth and Income Fund Ltd 5.00%
PIO Invesco Global Water ETF 5.00%
EOD Wells Fargo Global Dividend Opportunity 5.00%
HPI John Hancock Preferred Income Fund 2.00%
FRIFX Fidelity Real Estate Income 5.00%
PRMTX T. Rowe Price Comm&Tech Investor 5.00%
TOLZ ProShares DJ Brookfield Global Infras 5.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$11,474 14.74% 3.08%14.74%14.74%0.00%3.8771.570.36
Portfolio 2$10,000$12,075 20.75% 4.36%20.75%20.75%0.00%3.92498.760.67
Portfolio 3$10,000$12,563 25.63% 6.56%25.63%25.63%-0.34% 3.2338.820.77
Vanguard Wellesley Income Admiral$10,000$11,647 16.47% 3.84%16.47%16.47%-0.63% 3.4916.030.75
   
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.
  • 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
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceT. Rowe Price Global Multi-Sector Bd Inv (PRSNX)Invesco OppenheimerRchst AMT-Fr Mncpl A (OPTAX)T. Rowe Price Total Return (PTTFX)Vanguard Total Intl Bd Idx Admiral (VTABX)Voya Emerging Markets Corporate Debt P (IMCDX)Principal Capital Securities S (PCSFX)Pimco Municipal Income Fund II (PML)iShares Global Utilities ETF (JXI)FPA New Income (FPNIX)Vanguard GNMA Inv (VFIIX)Fidelity Strategic Real Return (FSRRX)Fidelity Intl Real Estate (FIREX)iShares Gold Trust (IAU)iShares Global Clean Energy ETF (ICLN)Vanguard Emerging Markets Bond Investor (VEMBX)MFS Charter Income Trust (MCR)iShares Intermediate-Term Corp Bd ETF (IGIB)Ellsworth Growth and Income Fund Ltd (ECF)Invesco Global Water ETF (PIO)Fidelity Select Pharmaceuticals Port (FPHAX)Wells Fargo Global Dividend Opportunity (EOD)John Hancock Preferred Income Fund (HPI)Fidelity Real Estate Income (FRIFX)T. Rowe Price Comm&Tech Investor (PRMTX)ProShares DJ Brookfield Global Infras (TOLZ)
Portfolio 1Portfolio 2Portfolio 3Vanguard Wellesley Income AdmiralPortfolio 1Portfolio 2Portfolio 3Vanguard Wellesley Income Admiral
20192.29%14.74%20.75%25.63%16.47%$11,474$12,075$12,563$11,64710.37%12.06%9.98%7.88%13.63%17.41%25.63%23.92%3.81%5.83%10.48%27.92%17.98%44.35%17.71%25.37%14.60%47.13%35.59%31.63%35.94%30.89%17.91%33.95%26.85%
Monthly returns for the configured portfolios
YearMonthReturnBalanceT. Rowe Price Global Multi-Sector Bd Inv (PRSNX)Invesco OppenheimerRchst AMT-Fr Mncpl A (OPTAX)T. Rowe Price Total Return (PTTFX)Vanguard Total Intl Bd Idx Admiral (VTABX)Voya Emerging Markets Corporate Debt P (IMCDX)Principal Capital Securities S (PCSFX)Pimco Municipal Income Fund II (PML)iShares Global Utilities ETF (JXI)FPA New Income (FPNIX)Vanguard GNMA Inv (VFIIX)Fidelity Strategic Real Return (FSRRX)Fidelity Intl Real Estate (FIREX)iShares Gold Trust (IAU)iShares Global Clean Energy ETF (ICLN)Vanguard Emerging Markets Bond Investor (VEMBX)MFS Charter Income Trust (MCR)iShares Intermediate-Term Corp Bd ETF (IGIB)Ellsworth Growth and Income Fund Ltd (ECF)Invesco Global Water ETF (PIO)Fidelity Select Pharmaceuticals Port (FPHAX)Wells Fargo Global Dividend Opportunity (EOD)John Hancock Preferred Income Fund (HPI)Fidelity Real Estate Income (FRIFX)T. Rowe Price Comm&Tech Investor (PRMTX)ProShares DJ Brookfield Global Infras (TOLZ)
Portfolio 1Portfolio 2Portfolio 3Vanguard Wellesley Income AdmiralPortfolio 1Portfolio 2Portfolio 3Vanguard Wellesley Income Admiral
201913.00%4.43%6.44%3.23%$10,300$10,443$10,644$10,3231.99%0.44%1.29%1.11%2.99%3.45%2.36%5.07%0.37%0.83%4.34%8.85%2.85%14.89%4.97%7.33%2.90%6.64%9.19%3.58%11.21%12.77%5.53%12.08%9.93%
201921.03%1.61%2.09%1.52%$10,406$10,611$10,866$10,4800.41%1.73%0.26%0.17%0.91%1.50%6.03%2.42%0.10%-0.04%0.98%0.09%-0.47%2.21%1.27%-0.17%0.35%5.90%4.60%5.61%2.71%3.62%0.76%1.91%2.00%
201931.30%1.59%1.85%1.87%$10,541$10,780$11,068$10,6761.18%2.27%1.94%1.78%1.16%1.07%-0.17%2.29%0.67%1.13%0.85%3.51%-1.59%0.62%2.23%2.83%2.53%0.20%2.01%1.47%1.72%5.05%1.96%4.27%3.22%
201940.71%0.99%1.02%1.10%$10,616$10,886$11,181$10,7940.54%0.85%0.31%0.09%0.94%1.79%2.30%0.20%0.40%-0.04%0.42%-1.07%-0.73%4.10%0.24%0.48%0.46%2.29%2.86%-3.79%0.38%1.94%0.58%5.33%0.77%
201950.89%0.37%-0.34%-0.63%$10,710$10,926$11,142$10,7261.06%1.80%1.56%1.17%0.23%0.05%4.53%-1.02%0.62%1.21%-0.84%0.92%1.79%-1.67%0.64%1.26%1.33%-4.28%-4.63%-3.09%1.52%0.36%0.57%-5.29%-0.41%
201962.11%3.32%4.26%3.15%$10,936$11,290$11,616$11,0641.55%0.70%1.08%1.65%2.46%2.06%-0.31%3.77%0.31%0.74%1.33%3.31%7.91%7.31%3.43%3.64%2.42%10.49%6.25%8.75%5.41%1.75%1.77%5.45%3.37%
201970.77%1.07%0.99%0.46%$11,021$11,411$11,731$11,1150.67%0.70%0.29%1.36%1.04%1.22%5.73%-0.82%0.11%0.33%0.43%-1.36%0.15%0.85%1.32%2.71%0.39%3.90%0.32%-1.42%-1.09%5.50%1.21%1.21%-0.44%
201981.93%1.66%1.14%1.68%$11,233$11,600$11,865$11,3021.97%2.31%2.44%2.07%-0.26%0.94%1.68%3.86%0.61%1.08%0.48%1.54%7.69%1.30%-0.52%1.58%2.56%0.47%-1.33%0.72%-0.18%-1.31%1.36%-0.93%1.27%
201990.05%0.13%0.44%0.63%$11,239$11,615$11,917$11,373-0.69%-0.35%-0.32%-0.47%0.92%0.94%-0.90%3.79%0.11%0.02%0.48%1.29%-3.16%0.28%0.44%-0.12%-0.35%-0.96%1.60%0.43%3.09%1.87%1.48%-2.20%1.00%
2019100.43%0.95%1.30%0.64%$11,287$11,725$12,071$11,4460.29%-0.09%0.26%-0.55%0.64%1.57%-0.61%0.09%0.31%0.30%0.33%4.11%2.55%-2.20%0.62%1.57%0.66%2.96%3.44%5.41%2.21%-5.29%1.03%2.70%-0.15%
2019110.00%0.57%0.71%0.60%$11,287$11,792$12,157$11,515-0.12%0.17%0.09%-0.30%0.52%0.60%0.42%-1.97%0.11%0.10%-0.60%0.24%-3.32%3.28%-0.27%0.01%0.09%7.25%2.57%3.87%0.00%-2.29%-0.39%2.50%-1.43%
2019121.65%2.41%3.34%1.15%$11,474$12,075$12,563$11,6471.09%0.97%0.38%-0.43%1.33%0.99%2.29%4.27%0.02%0.02%1.90%3.88%3.72%7.48%2.18%1.93%0.44%5.28%4.64%7.11%4.70%4.36%0.84%3.58%5.40%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
PRSNXT. Rowe Price Global Multi-Sector Bd InvWorld Bond-USD Hedged4.590.69%10.00%$1048.41%
OPTAXInvesco OppenheimerRchst AMT-Fr Mncpl AHigh Yield Muni7.731.01%10.00%$1213.45%
PTTFXT. Rowe Price Total ReturnIntermediate Core-Plus Bond5.320.53%10.00%$99.775.96%
VTABXVanguard Total Intl Bd Idx AdmiralWorld Bond-USD Hedged8.260.11%10.00%$78.796.54%
IMCDXVoya Emerging Markets Corporate Debt PEmerging Markets Bond3.900.10%5.00%$68.133.13%
PCSFXPrincipal Capital Securities SPreferred Stock4.4410.00%$1746.20%
PMLPimco Municipal Income Fund IIMuni National Long5.00%$1281.28%
JXIiShares Global Utilities ETFUtilities0.46%5.00%$1209.62%
FPNIXFPA New IncomeShort-Term Bond1.570.50%5.00%$19.070.40%
VFIIXVanguard GNMA InvIntermediate Government2.680.21%10.00%$58.292.85%
FSRRXFidelity Strategic Real Return15% to 30% Equity2.690.75%5.00%$52.416.01%
FIREXFidelity Intl Real EstateGlobal Real Estate1.02%5.00%$14011.11%
IAUiShares Gold TrustCommodities Precious Metals0.25%5.00%$89.9114.88%
ICLNiShares Global Clean Energy ETFMiscellaneous Sector0.46%5.00%$22220.15%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
PRSNXT. Rowe Price Global Multi-Sector Bd InvWorld Bond-USD Hedged4.590.69%6.00%$62.222.90%
OPTAXInvesco OppenheimerRchst AMT-Fr Mncpl AHigh Yield Muni7.731.01%9.00%$1090.39%
PTTFXT. Rowe Price Total ReturnIntermediate Core-Plus Bond5.320.53%10.00%$99.772.31%
IMCDXVoya Emerging Markets Corporate Debt PEmerging Markets Bond3.900.10%5.00%$68.132.93%
PCSFXPrincipal Capital Securities SPreferred Stock4.4410.00%$1745.48%
PMLPimco Municipal Income Fund IIMuni National Long5.00%$128-0.11%
JXIiShares Global Utilities ETFUtilities0.46%5.00%$1206.55%
FIREXFidelity Intl Real EstateGlobal Real Estate1.02%5.00%$1408.55%
IAUiShares Gold TrustCommodities Precious Metals0.25%5.00%$89.918.63%
ICLNiShares Global Clean Energy ETFMiscellaneous Sector0.46%5.00%$22216.74%
VEMBXVanguard Emerging Markets Bond InvestorEmerging Markets Bond0.60%10.00%$17711.23%
MCRMFS Charter Income TrustMultisector Bond5.00%$1277.14%
IGIBiShares Intermediate-Term Corp Bd ETFCorporate Bond6.180.06%10.00%$1466.27%
ECFEllsworth Growth and Income Fund LtdConvertibles5.00%$23610.21%
PIOInvesco Global Water ETFMiscellaneous Sector0.75%5.00%$17810.76%

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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
IMCDXVoya Emerging Markets Corporate Debt PEmerging Markets Bond3.900.10%5.00%$68.132.11%
PCSFXPrincipal Capital Securities SPreferred Stock4.448.00%$1393.08%
PMLPimco Municipal Income Fund IIMuni National Long5.00%$128-0.50%
JXIiShares Global Utilities ETFUtilities0.46%5.00%$1204.38%
FPHAXFidelity Select Pharmaceuticals PortHealth0.80%5.00%$1586.33%
FIREXFidelity Intl Real EstateGlobal Real Estate1.02%5.00%$1405.98%
IAUiShares Gold TrustCommodities Precious Metals0.25%5.00%$89.914.34%
ICLNiShares Global Clean Energy ETFMiscellaneous Sector0.46%5.00%$22211.50%
VEMBXVanguard Emerging Markets Bond InvestorEmerging Markets Bond0.60%10.00%$1777.71%
MCRMFS Charter Income TrustMultisector Bond5.00%$1274.59%
IGIBiShares Intermediate-Term Corp Bd ETFCorporate Bond6.180.06%10.00%$1463.40%
ECFEllsworth Growth and Income Fund LtdConvertibles5.00%$2367.25%
PIOInvesco Global Water ETFMiscellaneous Sector0.75%5.00%$1788.15%
EODWells Fargo Global Dividend OpportunityWorld Stock5.00%$1807.82%
HPIJohn Hancock Preferred Income FundClosed-End Fund2.00%$61.773.29%
FRIFXFidelity Real Estate IncomeReal Estate0.75%5.00%$89.543.02%
PRMTXT. Rowe Price Comm&Tech InvestorCommunications0.78%5.00%$1709.87%
TOLZProShares DJ Brookfield Global InfrasInfrastructure0.46%5.00%$1347.68%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 02/05/2020. (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 3Vanguard Wellesley Income Admiral
Arithmetic Mean (monthly)1.16%1.59%1.94%1.28%
Arithmetic Mean (annualized)14.79%20.85%25.87%16.55%
Geometric Mean (monthly)1.15%1.58%1.92%1.28%
Geometric Mean (annualized)14.74%20.75%25.63%16.47%
Volatility (monthly)0.89%1.26%1.89%1.11%
Volatility (annualized)3.08%4.36%6.56%3.84%
Downside Deviation (monthly)0.00%0.00%0.10%0.18%
Max. Drawdown0.00%0.00%-0.34%-0.63%
US Market Correlation0.360.670.770.75
Beta(*)0.631.011.491.00
Alpha (annualized)4.14%3.59%0.31%0.00%
R262.16%78.50%75.86%100.00%
Sharpe Ratio3.873.923.233.49
Sortino Ratio71.57498.7638.8216.03
Treynor Ratio (%)18.6216.8814.2013.31
Active Return-1.73%4.28%9.16%N/A
Tracking Error2.36%2.02%3.73%N/A
Information Ratio-0.732.122.46N/A
Skewness0.671.201.410.45
Excess Kurtosis0.111.141.880.24
Historical Value-at-Risk (5%)0.00%0.00%-0.34%-0.63%
Analytical Value-at-Risk (5%)-0.25%-0.39%-1.03%-0.54%
Conditional Value-at-Risk (5%)0.00%0.00%N/AN/A
Upside Capture Ratio (%)79.77117.98151.45100.00
Downside Capture Ratio (%)-140.93-59.1354.67100.00
Safe Withdrawal Rate100.00%100.00%100.00%100.00%
Perpetual Withdrawal Rate10.86%15.29%18.58%12.18%
Positive Periods12 out of 12 (100.00%)12 out of 12 (100.00%)11 out of 12 (91.67%)11 out of 12 (91.67%)
Gain/Loss RatioN/AN/A6.212.31
* Vanguard Wellesley Income Admiral is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
--------

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
--------

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2019May 20191 monthJun 20191 month2 months-0.34%

Drawdowns for Vanguard Wellesley Income Admiral

Drawdowns for Vanguard Wellesley Income Admiral
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2019May 20191 monthJun 20191 month2 months-0.63%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
PRSNXT. Rowe Price Global Multi-Sector Bd Inv10.37%2.81%10.37%10.37%-0.69%2.838.800.07
OPTAXInvesco OppenheimerRchst AMT-Fr Mncpl A12.06%3.08%12.06%12.06%-0.44%3.0916.41-0.47
PTTFXT. Rowe Price Total Return9.98%2.94%9.98%9.98%-0.32%2.5815.37-0.33
VTABXVanguard Total Intl Bd Idx Admiral7.88%3.40%7.88%7.88%-1.74%1.664.69-0.18
IMCDXVoya Emerging Markets Corporate Debt P13.63%3.08%13.63%13.63%-0.26%3.5325.100.81
PCSFXPrincipal Capital Securities S17.41%2.95%17.41%17.41%0.00%4.8394.410.82
PMLPimco Municipal Income Fund II25.63%8.40%25.63%25.63%-1.50%2.5414.64-0.24
JXIiShares Global Utilities ETF23.92%8.36%23.92%23.92%-1.97%2.387.580.39
FPNIXFPA New Income3.81%0.80%3.81%3.81%0.00%2.219.61-0.43
VFIIXVanguard GNMA Inv5.83%1.70%5.83%5.83%-0.04%2.169.48-0.38
FSRRXFidelity Strategic Real Return10.48%4.60%10.48%10.48%-0.84%1.756.330.69
FIREXFidelity Intl Real Estate27.92%9.81%27.92%27.92%-1.36%2.3711.620.44
IAUiShares Gold Trust17.98%12.90%17.98%17.98%-3.98%1.192.920.02
ICLNiShares Global Clean Energy ETF44.35%16.55%44.35%44.35%-2.20%2.2012.080.75
VEMBXVanguard Emerging Markets Bond Investor17.71%5.54%17.71%17.71%-0.52%2.6318.120.63
MCRMFS Charter Income Trust25.37%7.28%25.37%25.37%-0.17%2.8944.090.46
IGIBiShares Intermediate-Term Corp Bd ETF14.60%3.97%14.60%14.60%-0.35%2.9822.630.12
ECFEllsworth Growth and Income Fund Ltd47.13%14.15%47.13%47.13%-4.28%2.688.240.84
PIOInvesco Global Water ETF35.59%12.35%35.59%35.59%-4.63%2.385.820.96
FPHAXFidelity Select Pharmaceuticals Port31.63%13.86%31.63%31.63%-6.77%1.914.910.56
EODWells Fargo Global Dividend Opportunity35.94%11.53%35.94%35.94%-1.28%2.5722.340.61
HPIJohn Hancock Preferred Income Fund30.89%15.82%30.89%30.89%-7.46%1.664.270.45
FRIFXFidelity Real Estate Income17.91%5.00%17.91%17.91%-0.39%2.9428.120.48
PRMTXT. Rowe Price Comm&Tech Investor33.95%15.11%33.95%33.95%-5.29%1.894.690.88
TOLZProShares DJ Brookfield Global Infras26.85%10.91%26.85%26.85%-1.58%2.0612.420.58

Monthly Correlations

Correlations for the portfolio assets
TickerNamePRSNXOPTAXPTTFXVTABXIMCDXPCSFXPMLJXIFPNIXVFIIXFSRRXFIREXIAUICLNVEMBXMCRIGIBECFPIOFPHAXEODHPIFRIFXPRMTXTOLZPortfolio 1Portfolio 2Portfolio 3Vanguard Wellesley Income Admiral
PRSNXT. Rowe Price Global Multi-Sector Bd Inv-0.560.830.760.340.400.150.460.550.710.530.520.770.500.530.720.890.150.160.130.400.410.560.390.600.920.740.590.59
OPTAXInvesco OppenheimerRchst AMT-Fr Mncpl A0.56-0.770.66-0.32-0.270.390.100.630.58-0.11-0.130.28-0.17-0.07-0.010.50-0.33-0.40-0.20-0.240.09-0.07-0.210.040.340.06-0.110.06
PTTFXT. Rowe Price Total Return0.830.77-0.84-0.060.01-0.010.270.860.920.130.310.560.060.170.430.88-0.27-0.26-0.130.070.130.340.010.270.620.340.170.33
VTABXVanguard Total Intl Bd Idx Admiral0.760.660.84-0.110.110.170.190.670.830.130.100.490.090.280.500.81-0.09-0.21-0.19-0.000.300.370.040.190.590.360.190.39
IMCDXVoya Emerging Markets Corporate Debt P0.34-0.32-0.060.11-0.82-0.110.51-0.190.020.820.650.190.820.940.770.380.630.830.450.840.720.740.800.790.620.820.890.75
PCSFXPrincipal Capital Securities S0.40-0.270.010.110.82--0.060.51-0.06-0.030.860.630.260.770.740.730.430.570.840.320.750.600.800.880.740.640.800.850.80
PMLPimco Municipal Income Fund II0.150.39-0.010.17-0.11-0.06--0.23-0.14-0.06-0.00-0.37-0.04-0.00-0.00-0.03-0.15-0.06-0.22-0.30-0.150.34-0.07-0.16-0.040.09-0.01-0.08-0.25
JXIiShares Global Utilities ETF0.460.100.270.190.510.51-0.23-0.000.130.750.620.470.570.560.460.460.210.520.440.690.500.630.380.790.700.680.680.72
FPNIXFPA New Income0.550.630.860.67-0.19-0.06-0.140.00-0.85-0.100.170.28-0.18-0.020.240.71-0.52-0.39-0.42-0.08-0.050.22-0.080.030.310.04-0.100.09
VFIIXVanguard GNMA Inv0.710.580.920.830.02-0.03-0.060.130.85-0.060.360.45-0.020.250.500.84-0.34-0.32-0.180.120.130.39-0.080.190.510.260.110.20
FSRRXFidelity Strategic Real Return0.53-0.110.130.130.820.86-0.000.75-0.100.06-0.790.310.870.850.800.480.460.800.410.880.790.880.810.960.800.900.940.78
FIREXFidelity Intl Real Estate0.52-0.130.310.100.650.63-0.370.620.170.360.79-0.370.630.760.790.610.250.610.490.870.440.800.620.830.690.750.790.62
IAUiShares Gold Trust0.770.280.560.490.190.26-0.040.470.280.450.310.37-0.290.300.440.620.250.110.380.29-0.030.260.130.330.700.580.440.46
ICLNiShares Global Clean Energy ETF0.50-0.170.060.090.820.77-0.000.57-0.18-0.020.870.630.29-0.770.710.410.640.780.390.810.710.680.820.860.740.880.910.75
VEMBXVanguard Emerging Markets Bond Investor0.53-0.070.170.280.940.74-0.000.56-0.020.250.850.760.300.77-0.870.550.490.720.450.860.780.810.730.870.760.880.910.73
MCRMFS Charter Income Trust0.72-0.010.430.500.770.73-0.030.460.240.500.800.790.440.710.87-0.740.330.520.220.730.690.890.700.790.830.850.820.68
IGIBiShares Intermediate-Term Corp Bd ETF0.890.500.880.810.380.43-0.150.460.710.840.480.610.620.410.550.74-0.090.180.130.440.360.650.410.560.830.680.560.68
ECFEllsworth Growth and Income Fund Ltd0.15-0.33-0.27-0.090.630.57-0.060.21-0.52-0.340.460.250.250.640.490.330.09-0.790.740.400.210.180.680.360.340.620.670.64
PIOInvesco Global Water ETF0.16-0.40-0.26-0.210.830.84-0.220.52-0.39-0.320.800.610.110.780.720.520.180.79-0.670.750.490.560.890.710.470.750.860.77
FPHAXFidelity Select Pharmaceuticals Port0.13-0.20-0.13-0.190.450.32-0.300.44-0.42-0.180.410.490.380.390.450.220.130.740.67-0.49-0.010.130.400.400.330.540.590.54
EODWells Fargo Global Dividend Opportunity0.40-0.240.07-0.000.840.75-0.150.69-0.080.120.880.870.290.810.860.730.440.400.750.49-0.640.820.660.900.700.820.880.67
HPIJohn Hancock Preferred Income Fund0.410.090.130.300.720.600.340.50-0.050.130.790.44-0.030.710.780.690.360.210.49-0.010.64-0.760.580.790.630.650.680.52
FRIFXFidelity Real Estate Income0.56-0.070.340.370.740.80-0.070.630.220.390.880.800.260.680.810.890.650.180.560.130.820.76-0.650.850.760.770.790.69
PRMTXT. Rowe Price Comm&Tech Investor0.39-0.210.010.040.800.88-0.160.38-0.08-0.080.810.620.130.820.730.700.410.680.890.400.660.580.65-0.730.590.800.850.79
TOLZProShares DJ Brookfield Global Infras0.600.040.270.190.790.74-0.040.790.030.190.960.830.330.860.870.790.560.360.710.400.900.790.850.73-0.840.890.920.76

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
PRSNXT. Rowe Price Global Multi-Sector Bd Inv$104$62.22
OPTAXInvesco OppenheimerRchst AMT-Fr Mncpl A$121$109
PTTFXT. Rowe Price Total Return$99.77$99.77
VTABXVanguard Total Intl Bd Idx Admiral$78.79
IMCDXVoya Emerging Markets Corporate Debt P$68.13$68.13$68.13
PCSFXPrincipal Capital Securities S$174$174$139
PMLPimco Municipal Income Fund II$128$128$128
JXIiShares Global Utilities ETF$120$120$120
FPNIXFPA New Income$19.07
VFIIXVanguard GNMA Inv$58.29
FSRRXFidelity Strategic Real Return$52.41
FIREXFidelity Intl Real Estate$140$140$140
IAUiShares Gold Trust$89.91$89.91$89.91
ICLNiShares Global Clean Energy ETF$222$222$222
VEMBXVanguard Emerging Markets Bond Investor$177$177
MCRMFS Charter Income Trust$127$127
IGIBiShares Intermediate-Term Corp Bd ETF$146$146
ECFEllsworth Growth and Income Fund Ltd$236$236
PIOInvesco Global Water ETF$178$178
FPHAXFidelity Select Pharmaceuticals Port$158
EODWells Fargo Global Dividend Opportunity$180
HPIJohn Hancock Preferred Income Fund$61.77
FRIFXFidelity Real Estate Income$89.54
PRMTXT. Rowe Price Comm&Tech Investor$170
TOLZProShares DJ Brookfield Global Infras$134

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
PRSNXT. Rowe Price Global Multi-Sector Bd Inv8.41%2.90%
OPTAXInvesco OppenheimerRchst AMT-Fr Mncpl A3.45%0.39%
PTTFXT. Rowe Price Total Return5.96%2.31%
VTABXVanguard Total Intl Bd Idx Admiral6.54%
IMCDXVoya Emerging Markets Corporate Debt P3.13%2.93%2.11%
PCSFXPrincipal Capital Securities S6.20%5.48%3.08%
PMLPimco Municipal Income Fund II1.28%-0.11%-0.50%
JXIiShares Global Utilities ETF9.62%6.55%4.38%
FPNIXFPA New Income0.40%
VFIIXVanguard GNMA Inv2.85%
FSRRXFidelity Strategic Real Return6.01%
FIREXFidelity Intl Real Estate11.11%8.55%5.98%
IAUiShares Gold Trust14.88%8.63%4.34%
ICLNiShares Global Clean Energy ETF20.15%16.74%11.50%
VEMBXVanguard Emerging Markets Bond Investor11.23%7.71%
MCRMFS Charter Income Trust7.14%4.59%
IGIBiShares Intermediate-Term Corp Bd ETF6.27%3.40%
ECFEllsworth Growth and Income Fund Ltd10.21%7.25%
PIOInvesco Global Water ETF10.76%8.15%
FPHAXFidelity Select Pharmaceuticals Port6.33%
EODWells Fargo Global Dividend Opportunity7.82%
HPIJohn Hancock Preferred Income Fund3.29%
FRIFXFidelity Real Estate Income3.02%
PRMTXT. Rowe Price Comm&Tech Investor9.87%
TOLZProShares DJ Brookfield Global Infras7.68%

Annual Asset Returns