Backtest Portfolio Asset Allocation

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

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Portfolio Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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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 (Jan 2001 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IJR iShares Core S&P Small-Cap ETF 100.00%
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Portfolio 2
Ticker Name Allocation
IJS iShares S&P Small-Cap 600 Value ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
BRSIX Bridgeway Ultra-Small Company Market 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$51,124 10.07% 17.93%41.32%-31.52%-51.79% 0.550.820.90
Portfolio 2$10,000$50,214 9.96% 18.77%39.76%-29.39%-54.13% 0.530.790.89
Portfolio 3$10,000$63,951 11.53% 18.79%79.43%-39.49%-56.61% 0.610.940.85
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares Core S&P Small-Cap ETF (IJR)iShares S&P Small-Cap 600 Value ETF (IJS)Bridgeway Ultra-Small Company Market (BRSIX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20011.55%6.43%11.68%23.98%$10,643$11,168$12,3986.43%11.68%23.98%
20022.38%-14.31%-14.04%4.90%$9,120$9,600$13,006-14.31%-14.04%4.90%
20031.88%38.50%39.76%79.43%$12,631$13,417$23,33638.50%39.76%79.43%
20043.26%22.41%22.60%20.12%$15,461$16,449$28,03222.41%22.60%20.12%
20053.42%7.53%6.00%4.08%$16,625$17,435$29,1757.53%6.00%4.08%
20062.54%15.09%19.37%11.48%$19,133$20,813$32,52415.09%19.37%11.48%
20074.08%-0.47%-5.56%-5.40%$19,043$19,655$30,767-0.47%-5.56%-5.40%
20080.09%-31.52%-29.39%-39.49%$13,041$13,878$18,618-31.52%-29.39%-39.49%
20092.72%25.88%22.36%25.95%$16,417$16,982$23,45125.88%22.36%25.95%
20101.50%26.60%24.69%24.86%$20,784$21,174$29,28026.60%24.69%24.86%
20112.96%0.79%-1.65%-7.86%$20,949$20,824$26,9790.79%-1.65%-7.86%
20121.74%16.29%18.24%19.83%$24,362$24,623$32,32916.29%18.24%19.83%
20131.50%41.32%39.34%50.91%$34,429$34,311$48,78641.32%39.34%50.91%
20140.76%5.85%7.56%4.61%$36,442$36,905$51,0365.85%7.56%4.61%
20150.73%-2.07%-6.90%-8.28%$35,686$34,359$46,810-2.07%-6.90%-8.28%
20162.07%26.61%31.25%21.47%$45,182$45,095$56,85926.61%31.25%21.47%
20172.11%13.15%11.35%12.47%$51,124$50,214$63,95113.15%11.35%12.47%
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Core S&P Small-Cap ETF (IJR)iShares S&P Small-Cap 600 Value ETF (IJS)Bridgeway Ultra-Small Company Market (BRSIX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200114.75%7.86%13.69%$10,475$10,786$11,3694.75%7.86%13.69%
20012-5.94%-4.21%-5.88%$9,853$10,331$10,700-5.94%-4.21%-5.88%
20013-4.58%-4.94%-4.51%$9,401$9,820$10,218-4.58%-4.94%-4.51%
200147.85%6.82%3.96%$10,139$10,490$10,6227.85%6.82%3.96%
200152.04%2.91%5.86%$10,346$10,796$11,2442.04%2.91%5.86%
200162.16%2.01%-0.14%$10,570$11,013$11,2292.16%2.01%-0.14%
20017-0.67%-0.22%1.80%$10,499$10,988$11,431-0.67%-0.22%1.80%
20018-1.80%-0.96%-2.99%$10,310$10,882$11,089-1.80%-0.96%-2.99%
20019-14.13%-14.53%-5.19%$8,854$9,301$10,513-14.13%-14.53%-5.19%
2001105.73%4.50%6.66%$9,361$9,720$11,2135.73%4.50%6.66%
2001116.59%7.55%4.02%$9,978$10,454$11,6646.59%7.55%4.02%
2001126.66%6.83%6.29%$10,643$11,168$12,3986.66%6.83%6.29%
200211.53%2.14%4.40%$10,805$11,407$12,9431.53%2.14%4.40%
20022-2.07%-0.42%-4.45%$10,582$11,359$12,367-2.07%-0.42%-4.45%
200237.78%8.72%11.21%$11,405$12,349$13,7537.78%8.72%11.21%
200243.18%4.03%1.81%$11,769$12,847$14,0033.18%4.03%1.81%
20025-4.26%-3.63%0.33%$11,267$12,381$14,049-4.26%-3.63%0.33%
20026-5.25%-4.62%-3.55%$10,675$11,808$13,551-5.25%-4.62%-3.55%
20027-13.97%-15.78%-10.11%$9,184$9,945$12,180-13.97%-15.78%-10.11%
200280.59%-0.42%0.64%$9,238$9,903$12,2580.59%-0.42%0.64%
20029-5.83%-7.91%-5.34%$8,699$9,120$11,604-5.83%-7.91%-5.34%
2002102.91%2.58%4.16%$8,952$9,356$12,0872.91%2.58%4.16%
2002115.38%5.50%7.86%$9,434$9,870$13,0375.38%5.50%7.86%
200212-3.33%-2.74%-0.24%$9,120$9,600$13,006-3.33%-2.74%-0.24%
20031-3.06%-4.05%1.20%$8,841$9,211$13,161-3.06%-4.05%1.20%
20032-3.49%-4.05%-2.49%$8,532$8,837$12,834-3.49%-4.05%-2.49%
200330.51%-0.15%1.82%$8,575$8,824$13,0680.51%-0.15%1.82%
200348.57%8.81%9.77%$9,310$9,602$14,3458.57%8.81%9.77%
200357.66%9.42%13.68%$10,024$10,507$16,3087.66%9.42%13.68%
200362.74%2.85%4.87%$10,298$10,807$17,1022.74%2.85%4.87%
200374.98%4.91%8.83%$10,811$11,337$18,6134.98%4.91%8.83%
200385.00%4.96%4.52%$11,351$11,899$19,4545.00%4.96%4.52%
20039-2.71%-3.51%1.92%$11,043$11,482$19,828-2.71%-3.51%1.92%
2003108.64%9.09%9.27%$11,997$12,525$21,6668.64%9.09%9.27%
2003113.87%4.30%4.24%$12,461$13,063$22,5853.87%4.30%4.24%
2003121.36%2.71%3.33%$12,631$13,417$23,3361.36%2.71%3.33%
200412.96%2.17%6.49%$13,005$13,708$24,8512.96%2.17%6.49%
200421.83%2.50%1.19%$13,243$14,051$25,1481.83%2.50%1.19%
200431.51%1.82%1.18%$13,443$14,307$25,4451.51%1.82%1.18%
20044-3.89%-3.93%-4.60%$12,920$13,744$24,273-3.89%-3.93%-4.60%
200452.16%1.58%0.97%$13,199$13,961$24,5082.16%1.58%0.97%
200465.50%5.35%2.87%$13,925$14,708$25,2115.50%5.35%2.87%
20047-5.51%-4.75%-7.31%$13,158$14,010$23,367-5.51%-4.75%-7.31%
20048-1.00%0.24%-2.27%$13,027$14,043$22,836-1.00%0.24%-2.27%
200494.96%4.69%5.88%$13,673$14,702$24,1804.96%4.69%5.88%
2004102.07%0.95%2.13%$13,956$14,842$24,6952.07%0.95%2.13%
2004118.78%9.11%8.03%$15,181$16,194$26,6798.78%9.11%8.03%
2004121.85%1.57%5.07%$15,461$16,449$28,0321.85%1.57%5.07%
20051-2.24%-3.25%-5.01%$15,114$15,914$26,628-2.24%-3.25%-5.01%
200522.79%2.90%0.37%$15,536$16,376$26,7252.79%2.90%0.37%
20053-2.54%-2.36%-4.38%$15,141$15,990$25,555-2.54%-2.36%-4.38%
20054-5.56%-5.12%-5.74%$14,298$15,171$24,088-5.56%-5.12%-5.74%
200556.47%6.16%6.29%$15,223$16,105$25,6026.47%6.16%6.29%
200563.55%3.92%4.50%$15,763$16,736$26,7543.55%3.92%4.50%
200576.14%5.84%7.43%$16,731$17,713$28,7426.14%5.84%7.43%
20058-1.63%-1.87%-2.14%$16,459$17,382$28,126-1.63%-1.87%-2.14%
200590.72%0.05%0.79%$16,578$17,390$28,3470.72%0.05%0.79%
200510-3.57%-3.41%-1.73%$15,986$16,797$27,858-3.57%-3.41%-1.73%
2005115.15%4.91%4.36%$16,810$17,621$29,0735.15%4.91%4.36%
200512-1.10%-1.06%0.35%$16,625$17,435$29,175-1.10%-1.06%0.35%
200618.20%8.75%8.64%$17,989$18,961$31,6968.20%8.75%8.64%
20062-0.48%0.27%-0.51%$17,902$19,013$31,533-0.48%0.27%-0.51%
200634.99%4.86%4.44%$18,796$19,936$32,9324.99%4.86%4.44%
200640.11%0.18%0.44%$18,817$19,972$33,0780.11%0.18%0.44%
20065-4.55%-4.55%-5.41%$17,961$19,063$31,290-4.55%-4.55%-5.41%
20066-0.19%0.04%-1.61%$17,926$19,071$30,785-0.19%0.04%-1.61%
20067-3.70%-3.10%-3.86%$17,262$18,481$29,598-3.70%-3.10%-3.86%
200681.81%2.70%1.87%$17,574$18,980$30,1511.81%2.70%1.87%
200690.88%1.19%0.05%$17,728$19,205$30,1670.88%1.19%0.05%
2006105.14%5.52%4.53%$18,639$20,265$31,5335.14%5.52%4.53%
2006112.62%2.38%1.86%$19,128$20,747$32,1192.62%2.38%1.86%
2006120.03%0.32%1.26%$19,133$20,813$32,5240.03%0.32%1.26%
200712.00%2.14%1.02%$19,516$21,258$32,8572.00%2.14%1.02%
20072-0.64%-0.92%-0.66%$19,391$21,062$32,640-0.64%-0.92%-0.66%
200731.71%0.91%0.41%$19,723$21,253$32,7741.71%0.91%0.41%
200742.33%1.84%1.93%$20,182$21,643$33,4062.33%1.84%1.93%
200754.37%4.63%2.04%$21,065$22,646$34,0894.37%4.63%2.04%
20076-1.61%-2.24%-0.59%$20,726$22,139$33,889-1.61%-2.24%-0.59%
20077-5.06%-6.26%-5.60%$19,677$20,753$31,991-5.06%-6.26%-5.60%
200781.87%1.33%0.31%$20,044$21,029$32,0911.87%1.33%0.31%
200791.62%0.31%2.85%$20,368$21,095$33,0071.62%0.31%2.85%
2007101.72%1.06%1.51%$20,719$21,319$33,5061.72%1.06%1.51%
200711-7.12%-7.15%-8.54%$19,244$19,795$30,643-7.12%-7.15%-8.54%
200712-1.05%-0.71%0.40%$19,043$19,655$30,767-1.05%-0.71%0.40%
20081-5.40%-4.00%-7.99%$18,015$18,869$28,310-5.40%-4.00%-7.99%
20082-2.37%-3.36%-3.61%$17,587$18,234$27,289-2.37%-3.36%-3.61%
20083-0.08%0.83%-1.14%$17,573$18,385$26,978-0.08%0.83%-1.14%
200844.42%2.64%2.82%$18,350$18,871$27,7394.42%2.64%2.82%
200854.15%3.92%3.37%$19,112$19,609$28,6734.15%3.92%3.37%
20086-7.45%-8.41%-7.48%$17,688$17,960$26,528-7.45%-8.41%-7.48%
200871.89%2.87%3.91%$18,023$18,476$27,5661.89%2.87%3.91%
200884.29%4.76%1.38%$18,796$19,356$27,9474.29%4.76%1.38%
20089-6.66%-4.82%-7.55%$17,545$18,423$25,835-6.66%-4.82%-7.55%
200810-19.76%-19.86%-18.35%$14,078$14,764$21,094-19.76%-19.86%-18.35%
200811-11.85%-11.80%-14.11%$12,409$13,022$18,118-11.85%-11.80%-14.11%
2008125.09%6.57%2.76%$13,041$13,878$18,6185.09%6.57%2.76%
20091-11.69%-13.94%-9.97%$11,517$11,943$16,762-11.69%-13.94%-9.97%
20092-11.82%-13.03%-11.76%$10,155$10,387$14,790-11.82%-13.03%-11.76%
200936.64%7.58%9.67%$10,829$11,175$16,2216.64%7.58%9.67%
2009418.08%18.89%14.54%$12,787$13,286$18,58018.08%18.89%14.54%
200951.86%0.67%5.41%$13,025$13,375$19,5851.86%0.67%5.41%
200961.78%1.52%3.65%$13,257$13,579$20,3001.78%1.52%3.65%
200979.75%11.00%7.14%$14,549$15,073$21,7519.75%11.00%7.14%
200982.38%3.48%0.98%$14,895$15,598$21,9632.38%3.48%0.98%
200995.10%4.21%5.55%$15,655$16,254$23,1815.10%4.21%5.55%
200910-5.58%-6.07%-7.17%$14,781$15,267$21,519-5.58%-6.07%-7.17%
2009112.61%2.90%1.26%$15,167$15,709$21,7892.61%2.90%1.26%
2009128.24%8.10%7.63%$16,417$16,982$23,4518.24%8.10%7.63%
20101-3.14%-2.54%-3.85%$15,901$16,551$22,548-3.14%-2.54%-3.85%
201024.11%4.76%3.74%$16,555$17,339$23,3924.11%4.76%3.74%
201037.97%7.80%6.96%$17,873$18,691$25,0217.97%7.80%6.96%
201045.82%6.63%8.55%$18,913$19,930$27,1605.82%6.63%8.55%
20105-7.15%-8.54%-8.09%$17,561$18,228$24,962-7.15%-8.54%-8.09%
20106-7.10%-8.27%-7.86%$16,314$16,720$23,000-7.10%-8.27%-7.86%
201076.45%6.71%5.89%$17,366$17,842$24,3546.45%6.71%5.89%
20108-7.60%-7.91%-9.27%$16,046$16,430$22,097-7.60%-7.91%-9.27%
2010911.25%10.93%13.06%$17,851$18,226$24,98211.25%10.93%13.06%
2010104.25%4.04%4.40%$18,609$18,962$26,0804.25%4.04%4.40%
2010113.81%2.47%3.09%$19,319$19,431$26,8853.81%2.47%3.09%
2010127.58%8.97%8.91%$20,784$21,174$29,2807.58%8.97%8.91%
201110.12%-0.24%0.20%$20,808$21,124$29,3400.12%-0.24%0.20%
201124.43%4.21%5.20%$21,731$22,013$30,8664.43%4.21%5.20%
201132.94%2.21%1.41%$22,369$22,499$31,3032.94%2.21%1.41%
201142.62%1.06%1.33%$22,956$22,738$31,7192.62%1.06%1.33%
20115-0.86%-1.77%-2.25%$22,759$22,336$31,005-0.86%-1.77%-2.25%
20116-1.84%-1.59%-1.92%$22,340$21,980$30,410-1.84%-1.59%-1.92%
20117-3.16%-2.77%-2.80%$21,633$21,370$29,558-3.16%-2.77%-2.80%
20118-7.79%-7.98%-10.53%$19,948$19,666$26,446-7.79%-7.98%-10.53%
20119-10.31%-10.57%-11.24%$17,892$17,587$23,472-10.31%-10.57%-11.24%
20111014.91%15.34%13.85%$20,560$20,285$26,72314.91%15.34%13.85%
2011110.62%0.63%-1.93%$20,689$20,413$26,2080.62%0.63%-1.93%
2011121.26%2.02%2.94%$20,949$20,824$26,9791.26%2.02%2.94%
201216.59%7.90%7.84%$22,329$22,469$29,0956.59%7.90%7.84%
201222.17%1.71%2.38%$22,814$22,854$29,7862.17%1.71%2.38%
201232.89%2.89%5.06%$23,473$23,515$31,2942.89%2.89%5.06%
20124-1.36%-1.91%-2.01%$23,153$23,066$30,666-1.36%-1.91%-2.01%
20125-6.26%-7.18%-6.69%$21,705$21,411$28,613-6.26%-7.18%-6.69%
201264.23%4.54%7.39%$22,623$22,382$30,7294.23%4.54%7.39%
20127-0.78%-0.69%-1.57%$22,447$22,229$30,247-0.78%-0.69%-1.57%
201283.89%4.08%2.08%$23,321$23,135$30,8753.89%4.08%2.08%
201292.31%3.14%5.22%$23,859$23,861$32,4882.31%3.14%5.22%
201210-2.27%-1.96%-2.77%$23,317$23,393$31,588-2.27%-1.96%-2.77%
2012111.30%1.65%-0.40%$23,620$23,779$31,4621.30%1.65%-0.40%
2012123.14%3.55%2.76%$24,362$24,623$32,3293.14%3.55%2.76%
201315.81%5.35%7.12%$25,779$25,941$34,6315.81%5.35%7.12%
201321.42%1.63%0.67%$26,144$26,364$34,8631.42%1.63%0.67%
201334.15%4.11%5.71%$27,229$27,447$36,8554.15%4.11%5.71%
20134-0.16%0.12%0.07%$27,185$27,481$36,881-0.16%0.12%0.07%
201354.33%4.29%5.75%$28,361$28,659$39,0024.33%4.29%5.75%
20136-0.11%-0.14%2.39%$28,330$28,619$39,933-0.11%-0.14%2.39%
201376.85%6.56%7.84%$30,272$30,496$43,0626.85%6.56%7.84%
20138-2.33%-3.41%-3.90%$29,566$29,455$41,381-2.33%-3.41%-3.90%
201396.15%6.59%5.94%$31,385$31,397$43,8386.15%6.59%5.94%
2013103.58%3.48%3.36%$32,507$32,491$45,3123.58%3.48%3.36%
2013114.48%4.25%5.88%$33,963$33,873$47,9764.48%4.25%5.88%
2013121.37%1.29%1.69%$34,429$34,311$48,7861.37%1.29%1.69%
20141-3.70%-3.51%-0.94%$33,155$33,105$48,327-3.70%-3.51%-0.94%
201424.41%4.63%4.22%$34,615$34,638$50,3654.41%4.63%4.22%
201430.67%1.34%-0.97%$34,846$35,102$49,8770.67%1.34%-0.97%
20144-2.73%-2.29%-3.91%$33,894$34,298$47,925-2.73%-2.29%-3.91%
201450.16%0.62%0.18%$33,948$34,511$48,0120.16%0.62%0.18%
201464.77%3.85%4.36%$35,566$35,839$50,1074.77%3.85%4.36%
20147-5.56%-5.07%-5.78%$33,589$34,023$47,208-5.56%-5.07%-5.78%
201484.25%4.46%4.56%$35,017$35,541$49,3604.25%4.46%4.56%
20149-5.21%-5.94%-4.83%$33,191$33,428$46,978-5.21%-5.94%-4.83%
2014106.91%7.13%4.58%$35,485$35,812$49,1316.91%7.13%4.58%
201411-0.19%0.48%-0.58%$35,418$35,983$48,844-0.19%0.48%-0.58%
2014122.89%2.56%4.49%$36,442$36,905$51,0362.89%2.56%4.49%
20151-3.59%-5.32%-4.28%$35,136$34,943$48,852-3.59%-5.32%-4.28%
201526.01%5.86%5.39%$37,247$36,989$51,4866.01%5.86%5.39%
201531.61%1.03%1.00%$37,846$37,370$52,0001.61%1.03%1.00%
20154-2.30%-1.82%-1.48%$36,974$36,688$51,229-2.30%-1.82%-1.48%
201551.46%0.75%0.56%$37,513$36,964$51,5181.46%0.75%0.56%
201561.06%0.42%0.87%$37,910$37,119$51,9681.06%0.42%0.87%
20157-0.83%-2.70%-4.70%$37,595$36,117$49,527-0.83%-2.70%-4.70%
20158-5.19%-4.62%-3.44%$35,643$34,450$47,825-5.19%-4.62%-3.44%
20159-3.53%-3.77%-5.64%$34,386$33,150$45,127-3.53%-3.77%-5.64%
2015106.08%6.57%4.84%$36,477$35,326$47,3116.08%6.57%4.84%
2015112.70%2.47%3.05%$37,461$36,199$48,7562.70%2.47%3.05%
201512-4.74%-5.08%-3.99%$35,686$34,359$46,810-4.74%-5.08%-3.99%
20161-6.16%-5.85%-8.76%$33,489$32,348$42,710-6.16%-5.85%-8.76%
201621.09%2.08%-0.34%$33,855$33,022$42,5651.09%2.08%-0.34%
201638.18%9.41%5.80%$36,624$36,131$45,0328.18%9.41%5.80%
201641.20%2.13%5.72%$37,063$36,899$47,6081.20%2.13%5.72%
201651.61%0.44%-1.37%$37,659$37,062$46,9551.61%0.44%-1.37%
201660.71%0.83%-1.31%$37,924$37,371$46,3380.71%0.83%-1.31%
201674.99%5.06%4.70%$39,817$39,261$48,5164.99%5.06%4.70%
201681.40%1.13%2.39%$40,375$39,706$49,6771.40%1.13%2.39%
201690.64%0.87%4.89%$40,632$40,051$52,1080.64%0.87%4.89%
201610-4.41%-3.74%-5.71%$38,838$38,552$49,132-4.41%-3.74%-5.71%
20161112.52%13.34%10.64%$43,702$43,696$54,35812.52%13.34%10.64%
2016123.39%3.20%4.60%$45,182$45,095$56,8593.39%3.20%4.60%
20171-0.58%-1.21%-0.07%$44,919$44,551$56,819-0.58%-1.21%-0.07%
201721.61%1.35%0.55%$45,642$45,153$57,1341.61%1.35%0.55%
20173-0.10%-0.65%1.17%$45,596$44,859$57,802-0.10%-0.65%1.17%
201740.91%0.51%-0.14%$46,011$45,089$57,7230.91%0.51%-0.14%
20175-2.09%-2.26%-2.11%$45,048$44,070$56,505-2.09%-2.26%-2.11%
201762.91%2.96%3.82%$46,359$45,374$58,6662.91%2.96%3.82%
201771.00%0.75%-1.21%$46,822$45,715$57,9591.00%0.75%-1.21%
20178-2.46%-2.72%-1.08%$45,671$44,472$57,330-2.46%-2.72%-1.08%
201797.79%8.58%9.12%$49,230$48,287$62,5567.79%8.58%9.12%
2017100.86%0.59%-0.94%$49,655$48,574$61,9670.86%0.59%-0.94%
2017113.50%3.76%2.98%$51,392$50,400$63,8143.50%3.76%2.98%
201712-0.52%-0.37%0.21%$51,124$50,214$63,951-0.52%-0.37%0.21%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.00%0.00%2.77%
Large-cap Growth0.00%0.00%0.00%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth2.11%0.00%0.00%
Small-cap Value49.27%100.00%56.83%
Small-cap Growth48.46%0.00%36.98%
Global ex-US Developed Markets0.00%0.00%3.12%
Emerging Markets0.00%0.00%0.32%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.16%0.00%0.00%
R Squared99.87%100.00%91.71%
Style analysis is based on monthly returns from Apr 2005 to Dec 2017 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IJRiShares Core S&P Small-Cap ETFSmall Blend0.07%100.00%$41,124100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IJSiShares S&P Small-Cap 600 Value ETFSmall Value0.25%100.00%$40,214100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
BRSIXBridgeway Ultra-Small Company MarketSmall Blend0.86%100.00%$53,951100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 01/04/2019. © 2019 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.94%0.94%1.06%
Arithmetic Mean (annualized)11.85%11.91%13.50%
Geometric Mean (monthly)0.80%0.79%0.91%
Geometric Mean (annualized)10.07%9.96%11.53%
Volatility (monthly)5.17%5.42%5.42%
Volatility (annualized)17.93%18.77%18.79%
Downside Deviation (monthly)3.43%3.60%3.47%
Max. Drawdown-51.79%-54.13%-56.61%
US Market Correlation0.900.890.85
Beta(*)1.091.131.09
Alpha (annualized)2.82%2.62%4.37%
R281.04%78.50%72.56%
Sharpe Ratio0.550.530.61
Sortino Ratio0.820.790.94
Treynor Ratio (%)9.068.8410.50
Calmar Ratio1.020.800.43
Information Ratio0.450.400.51
Diversification Ratio1.001.001.00
Skewness-0.48-0.47-0.33
Excess Kurtosis1.601.630.56
Historical Value-at-Risk (5%)-7.38%-8.20%-8.43%
Analytical Value-at-Risk (5%)-7.57%-7.97%-7.86%
Conditional Value-at-Risk (5%)-11.64%-12.47%-11.27%
Upside Capture Ratio (%)120.74122.57125.83
Downside Capture Ratio (%)106.39109.19104.65
Sustainable Withdrawal Rate9.32%9.65%13.53%
Positive Periods128 out of 204 (62.75%)131 out of 204 (64.22%)128 out of 204 (62.75%)
Gain/Loss Ratio0.950.880.98
* 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 2009-50.99%-51.28%-55.86%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-51.79%
2May 2002Feb 200310 monthsOct 20038 months1 year 6 months-27.50%
3May 2011Sep 20115 monthsMar 20126 months11 months-22.06%
4Jul 2001Sep 20013 monthsDec 20013 months6 months-16.24%
5Jul 2015Jan 20167 monthsJun 20165 months1 year-11.66%
6Feb 2001Mar 20012 monthsJun 20013 months5 months-10.26%
7May 2006Jul 20063 monthsNov 20064 months7 months-8.26%
8Mar 2005Apr 20052 monthsJun 20052 months4 months-7.97%
9Apr 2012May 20122 monthsSep 20124 months6 months-7.54%
10Jul 2014Sep 20143 monthsDec 20143 months6 months-6.68%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20112 years 2 months3 years 11 months-54.13%
2May 2002Mar 200311 monthsNov 20038 months1 year 7 months-31.31%
3May 2011Sep 20115 monthsFeb 20125 months10 months-22.65%
4Jul 2001Sep 20013 monthsDec 20013 months6 months-15.54%
5Apr 2015Jan 201610 monthsJun 20165 months1 year 3 months-13.44%
6Feb 2001Mar 20012 monthsMay 20012 months4 months-8.95%
7Apr 2012May 20122 monthsSep 20124 months6 months-8.95%
8Jan 2005Apr 20054 monthsJun 20052 months6 months-7.77%
9May 2006Jul 20063 monthsOct 20063 months6 months-7.47%
10Jul 2014Sep 20143 monthsNov 20142 months5 months-6.73%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsJan 20133 years 11 months5 years 8 months-56.61%
2Apr 2015Feb 201611 monthsSep 20167 months1 year 6 months-18.15%
3Jun 2002Sep 20024 monthsApr 20037 months11 months-17.41%
4Jan 2005Apr 20054 monthsJul 20053 months7 months-14.07%
5May 2006Jul 20063 monthsApr 20079 months1 year-10.52%
6Apr 2004Aug 20045 monthsNov 20043 months8 months-10.25%
7Feb 2001Mar 20012 monthsJul 20014 months6 months-10.12%
8Aug 2001Sep 20012 monthsNov 20012 months4 months-8.03%
9Mar 2014Sep 20147 monthsDec 20143 months10 months-6.72%
10Oct 2016Oct 20161 monthNov 20161 month2 months-5.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IJRiShares Core S&P Small-Cap ETF10.07%17.93%41.32%-31.52%-51.79%0.550.820.90
IJSiShares S&P Small-Cap 600 Value ETF9.96%18.77%39.76%-29.39%-54.13%0.530.790.89
BRSIXBridgeway Ultra-Small Company Market11.53%18.79%79.43%-39.49%-56.61%0.610.940.85

Monthly Correlations

Correlations for the portfolio assets
TickerNameIJRIJSBRSIXPortfolio 1Portfolio 2Portfolio 3
IJRiShares Core S&P Small-Cap ETF-0.990.931.000.990.93
IJSiShares S&P Small-Cap 600 Value ETF0.99-0.930.991.000.93
BRSIXBridgeway Ultra-Small Company Market0.930.93-0.930.931.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IJRiShares Core S&P Small-Cap ETF$41,124
IJSiShares S&P Small-Cap 600 Value ETF$40,214
BRSIXBridgeway Ultra-Small Company Market$53,951

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IJRiShares Core S&P Small-Cap ETF100.00%
IJSiShares S&P Small-Cap 600 Value ETF100.00%
BRSIXBridgeway Ultra-Small Company Market100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year11.65%41.32%-31.52%11.57%39.76%-29.39%14.30%79.43%-39.49%
3 years10.70%22.16%-7.78%10.32%22.01%-7.32%11.78%32.64%-13.91%
5 years10.39%21.43%0.64%9.94%19.85%0.01%10.16%23.88%-4.42%
7 years9.27%15.56%2.95%8.70%14.97%3.15%8.11%17.42%-0.55%
10 years8.96%10.55%7.01%8.41%9.88%6.43%7.62%11.34%4.84%
15 years10.38%12.18%8.85%10.00%11.66%8.58%10.91%11.20%10.69%
Result statistics are based on annualized rolling returns over full calendar year periods