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.

$ .00
$ .00
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2006 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IJR iShares Core S&P Small-Cap ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
IJS iShares S&P Small-Cap 600 Value ETF 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
IWC iShares Micro-Cap ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$30,751 9.81% 18.13%41.32%-31.52%-51.79% 0.550.830.92
Portfolio 2$10,000$28,800 9.22% 18.98%39.34%-29.39%-54.13% 0.510.760.91
Portfolio 3$10,000$21,423 6.55% 20.01%45.21%-39.02%-59.30% 0.370.520.89
   
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
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares Core S&P Small-Cap ETF (IJR)iShares S&P Small-Cap 600 Value ETF (IJS)iShares Micro-Cap ETF (IWC)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
20062.54%15.09%19.37%14.89%$11,509$11,937$11,48915.09%19.37%14.89%
20074.08%-0.47%-5.56%-9.01%$11,454$11,273$10,454-0.47%-5.56%-9.01%
20080.09%-31.52%-29.39%-39.02%$7,844$7,960$6,375-31.52%-29.39%-39.02%
20092.72%25.88%22.36%23.71%$9,874$9,740$7,88725.88%22.36%23.71%
20101.50%26.60%24.69%29.58%$12,501$12,144$10,21926.60%24.69%29.58%
20112.96%0.79%-1.65%-9.84%$12,601$11,944$9,2130.79%-1.65%-9.84%
20121.74%16.29%18.24%19.51%$14,654$14,123$11,01116.29%18.24%19.51%
20131.50%41.32%39.34%45.21%$20,709$19,679$15,98941.32%39.34%45.21%
20140.76%5.85%7.56%3.64%$21,920$21,167$16,5725.85%7.56%3.64%
20150.73%-2.07%-6.90%-5.00%$21,465$19,707$15,743-2.07%-6.90%-5.00%
20162.07%26.61%31.25%20.65%$27,177$25,864$18,99426.61%31.25%20.65%
20172.11%13.15%11.35%12.79%$30,751$28,800$21,42313.15%11.35%12.79%
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Core S&P Small-Cap ETF (IJR)iShares S&P Small-Cap 600 Value ETF (IJS)iShares Micro-Cap ETF (IWC)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
200618.20%8.75%9.15%$10,820$10,875$10,9158.20%8.75%9.15%
20062-0.48%0.27%0.48%$10,768$10,905$10,968-0.48%0.27%0.48%
200634.99%4.86%4.19%$11,306$11,434$11,4284.99%4.86%4.19%
200640.11%0.18%-0.56%$11,318$11,455$11,3630.11%0.18%-0.56%
20065-4.55%-4.55%-6.37%$10,803$10,933$10,639-4.55%-4.55%-6.37%
20066-0.19%0.04%-0.89%$10,782$10,938$10,545-0.19%0.04%-0.89%
20067-3.70%-3.10%-3.45%$10,383$10,599$10,181-3.70%-3.10%-3.45%
200681.81%2.70%2.83%$10,571$10,886$10,4691.81%2.70%2.83%
200690.88%1.19%0.03%$10,663$11,015$10,4720.88%1.19%0.03%
2006105.14%5.52%5.86%$11,211$11,623$11,0855.14%5.52%5.86%
2006112.62%2.38%2.32%$11,505$11,899$11,3422.62%2.38%2.32%
2006120.03%0.32%1.30%$11,509$11,937$11,4890.03%0.32%1.30%
200712.00%2.14%1.25%$11,739$12,192$11,6332.00%2.14%1.25%
20072-0.64%-0.92%-1.20%$11,664$12,080$11,493-0.64%-0.92%-1.20%
200731.71%0.91%0.69%$11,863$12,189$11,5721.71%0.91%0.69%
200742.33%1.84%1.16%$12,139$12,413$11,7062.33%1.84%1.16%
200754.37%4.63%2.94%$12,670$12,989$12,0504.37%4.63%2.94%
20076-1.61%-2.24%-1.04%$12,467$12,697$11,924-1.61%-2.24%-1.04%
20077-5.06%-6.26%-7.54%$11,836$11,903$11,026-5.06%-6.26%-7.54%
200781.87%1.33%1.59%$12,056$12,061$11,2011.87%1.33%1.59%
200791.62%0.31%1.69%$12,252$12,099$11,3911.62%0.31%1.69%
2007101.72%1.06%1.09%$12,462$12,227$11,5151.72%1.06%1.09%
200711-7.12%-7.15%-8.72%$11,575$11,353$10,511-7.12%-7.15%-8.72%
200712-1.05%-0.71%-0.54%$11,454$11,273$10,454-1.05%-0.71%-0.54%
20081-5.40%-4.00%-7.69%$10,836$10,822$9,651-5.40%-4.00%-7.69%
20082-2.37%-3.36%-3.26%$10,578$10,458$9,336-2.37%-3.36%-3.26%
20083-0.08%0.83%-1.11%$10,570$10,544$9,232-0.08%0.83%-1.11%
200844.42%2.64%1.67%$11,037$10,823$9,3874.42%2.64%1.67%
200854.15%3.92%3.74%$11,496$11,247$9,7374.15%3.92%3.74%
20086-7.45%-8.41%-9.20%$10,639$10,301$8,842-7.45%-8.41%-9.20%
200871.89%2.87%4.93%$10,841$10,597$9,2771.89%2.87%4.93%
200884.29%4.76%2.72%$11,306$11,101$9,5304.29%4.76%2.72%
20089-6.66%-4.82%-6.91%$10,553$10,566$8,871-6.66%-4.82%-6.91%
200810-19.76%-19.86%-21.13%$8,468$8,468$6,997-19.76%-19.86%-21.13%
200811-11.85%-11.80%-12.73%$7,464$7,469$6,106-11.85%-11.80%-12.73%
2008125.09%6.57%4.41%$7,844$7,960$6,3755.09%6.57%4.41%
20091-11.69%-13.94%-11.05%$6,927$6,850$5,671-11.69%-13.94%-11.05%
20092-11.82%-13.03%-13.52%$6,108$5,958$4,904-11.82%-13.03%-13.52%
200936.64%7.58%7.77%$6,514$6,409$5,2856.64%7.58%7.77%
2009418.08%18.89%16.29%$7,691$7,620$6,14618.08%18.89%16.29%
200951.86%0.67%4.15%$7,835$7,671$6,4011.86%0.67%4.15%
200961.78%1.52%3.10%$7,974$7,788$6,6001.78%1.52%3.10%
200979.75%11.00%9.62%$8,751$8,645$7,2359.75%11.00%9.62%
200982.38%3.48%3.62%$8,959$8,946$7,4962.38%3.48%3.62%
200995.10%4.21%6.07%$9,416$9,322$7,9515.10%4.21%6.07%
200910-5.58%-6.07%-9.15%$8,891$8,756$7,224-5.58%-6.07%-9.15%
2009112.61%2.90%1.62%$9,123$9,010$7,3412.61%2.90%1.62%
2009128.24%8.10%7.44%$9,874$9,740$7,8878.24%8.10%7.44%
20101-3.14%-2.54%-2.66%$9,564$9,493$7,677-3.14%-2.54%-2.66%
201024.11%4.76%4.66%$9,957$9,945$8,0344.11%4.76%4.66%
201037.97%7.80%8.09%$10,751$10,720$8,6847.97%7.80%8.09%
201045.82%6.63%8.85%$11,376$11,431$9,4535.82%6.63%8.85%
20105-7.15%-8.54%-8.60%$10,563$10,455$8,640-7.15%-8.54%-8.60%
20106-7.10%-8.27%-8.36%$9,813$9,590$7,918-7.10%-8.27%-8.36%
201076.45%6.71%5.68%$10,446$10,233$8,3676.45%6.71%5.68%
20108-7.60%-7.91%-8.99%$9,652$9,424$7,615-7.60%-7.91%-8.99%
2010911.25%10.93%12.05%$10,737$10,454$8,53211.25%10.93%12.05%
2010104.25%4.04%5.67%$11,193$10,876$9,0164.25%4.04%5.67%
2010113.81%2.47%3.49%$11,620$11,145$9,3313.81%2.47%3.49%
2010127.58%8.97%9.52%$12,501$12,144$10,2197.58%8.97%9.52%
201110.12%-0.24%-1.78%$12,516$12,115$10,0380.12%-0.24%-1.78%
201124.43%4.21%5.36%$13,071$12,625$10,5764.43%4.21%5.36%
201132.94%2.21%2.60%$13,455$12,904$10,8522.94%2.21%2.60%
201142.62%1.06%1.60%$13,808$13,041$11,0252.62%1.06%1.60%
20115-0.86%-1.77%-2.13%$13,689$12,811$10,790-0.86%-1.77%-2.13%
20116-1.84%-1.59%-3.06%$13,438$12,607$10,460-1.84%-1.59%-3.06%
20117-3.16%-2.77%-2.70%$13,012$12,257$10,177-3.16%-2.77%-2.70%
20118-7.79%-7.98%-10.60%$11,999$11,279$9,098-7.79%-7.98%-10.60%
20119-10.31%-10.57%-11.18%$10,762$10,087$8,081-10.31%-10.57%-11.18%
20111014.91%15.34%13.72%$12,367$11,634$9,18914.91%15.34%13.72%
2011110.62%0.63%-1.09%$12,444$11,708$9,0890.62%0.63%-1.09%
2011121.26%2.02%1.37%$12,601$11,944$9,2131.26%2.02%1.37%
201216.59%7.90%8.67%$13,431$12,887$10,0126.59%7.90%8.67%
201222.17%1.71%2.04%$13,722$13,108$10,2162.17%1.71%2.04%
201232.89%2.89%4.07%$14,119$13,487$10,6322.89%2.89%4.07%
20124-1.36%-1.91%-1.71%$13,927$13,229$10,450-1.36%-1.91%-1.71%
20125-6.26%-7.18%-6.57%$13,055$12,280$9,764-6.26%-7.18%-6.57%
201264.23%4.54%6.42%$13,608$12,837$10,3914.23%4.54%6.42%
20127-0.78%-0.69%-1.76%$13,502$12,749$10,208-0.78%-0.69%-1.76%
201283.89%4.08%2.69%$14,027$13,269$10,4823.89%4.08%2.69%
201292.31%3.14%5.13%$14,351$13,685$11,0202.31%3.14%5.13%
201210-2.27%-1.96%-3.44%$14,025$13,417$10,640-2.27%-1.96%-3.44%
2012111.30%1.65%0.18%$14,208$13,638$10,6591.30%1.65%0.18%
2012123.14%3.55%3.31%$14,654$14,123$11,0113.14%3.55%3.31%
201315.81%5.35%6.00%$15,506$14,878$11,6725.81%5.35%6.00%
201321.42%1.63%0.52%$15,725$15,121$11,7331.42%1.63%0.52%
201334.15%4.11%5.43%$16,378$15,742$12,3704.15%4.11%5.43%
20134-0.16%0.12%-0.05%$16,352$15,761$12,364-0.16%0.12%-0.05%
201354.33%4.29%4.55%$17,059$16,437$12,9274.33%4.29%4.55%
20136-0.11%-0.14%0.70%$17,040$16,414$13,018-0.11%-0.14%0.70%
201376.85%6.56%7.55%$18,208$17,491$14,0016.85%6.56%7.55%
20138-2.33%-3.41%-2.89%$17,784$16,894$13,597-2.33%-3.41%-2.89%
201396.15%6.59%6.80%$18,878$18,008$14,5216.15%6.59%6.80%
2013103.58%3.48%1.69%$19,553$18,635$14,7673.58%3.48%1.69%
2013114.48%4.25%6.04%$20,429$19,428$15,6594.48%4.25%6.04%
2013121.37%1.29%2.11%$20,709$19,679$15,9891.37%1.29%2.11%
20141-3.70%-3.51%-0.53%$19,942$18,987$15,904-3.70%-3.51%-0.53%
201424.41%4.63%4.66%$20,821$19,866$16,6454.41%4.63%4.66%
201430.67%1.34%-0.96%$20,960$20,133$16,4850.67%1.34%-0.96%
20144-2.73%-2.29%-5.99%$20,387$19,671$15,497-2.73%-2.29%-5.99%
201450.16%0.62%-0.18%$20,419$19,794$15,4700.16%0.62%-0.18%
201464.77%3.85%4.94%$21,393$20,555$16,2334.77%3.85%4.94%
20147-5.56%-5.07%-6.74%$20,204$19,513$15,139-5.56%-5.07%-6.74%
201484.25%4.46%4.41%$21,062$20,384$15,8064.25%4.46%4.41%
20149-5.21%-5.94%-5.67%$19,964$19,173$14,910-5.21%-5.94%-5.67%
2014106.91%7.13%6.43%$21,344$20,540$15,8686.91%7.13%6.43%
201411-0.19%0.48%-0.58%$21,304$20,638$15,776-0.19%0.48%-0.58%
2014122.89%2.56%5.04%$21,920$21,167$16,5722.89%2.56%5.04%
20151-3.59%-5.32%-4.10%$21,134$20,041$15,892-3.59%-5.32%-4.10%
201526.01%5.86%5.26%$22,404$21,215$16,7276.01%5.86%5.26%
201531.61%1.03%2.10%$22,764$21,433$17,0781.61%1.03%2.10%
20154-2.30%-1.82%-2.33%$22,240$21,042$16,680-2.30%-1.82%-2.33%
201551.46%0.75%3.03%$22,564$21,201$17,1861.46%0.75%3.03%
201561.06%0.42%2.45%$22,803$21,290$17,6071.06%0.42%2.45%
20157-0.83%-2.70%-3.62%$22,613$20,715$16,969-0.83%-2.70%-3.62%
20158-5.19%-4.62%-5.16%$21,439$19,758$16,093-5.19%-4.62%-5.16%
20159-3.53%-3.77%-5.85%$20,683$19,013$15,151-3.53%-3.77%-5.85%
2015106.08%6.57%5.52%$21,940$20,261$15,9886.08%6.57%5.52%
2015112.70%2.47%3.57%$22,532$20,762$16,5592.70%2.47%3.57%
201512-4.74%-5.08%-4.92%$21,465$19,707$15,743-4.74%-5.08%-4.92%
20161-6.16%-5.85%-10.26%$20,143$18,553$14,128-6.16%-5.85%-10.26%
201621.09%2.08%-1.64%$20,364$18,940$13,8961.09%2.08%-1.64%
201638.18%9.41%7.04%$22,029$20,723$14,8758.18%9.41%7.04%
201641.20%2.13%3.25%$22,293$21,163$15,3591.20%2.13%3.25%
201651.61%0.44%1.41%$22,651$21,257$15,5761.61%0.44%1.41%
201660.71%0.83%-0.56%$22,811$21,434$15,4880.71%0.83%-0.56%
201674.99%5.06%5.08%$23,950$22,518$16,2754.99%5.06%5.08%
201681.40%1.13%2.77%$24,286$22,773$16,7261.40%1.13%2.77%
201690.64%0.87%2.83%$24,440$22,971$17,1980.64%0.87%2.83%
201610-4.41%-3.74%-5.52%$23,361$22,111$16,248-4.41%-3.74%-5.52%
20161112.52%13.34%11.59%$26,286$25,062$18,13112.52%13.34%11.59%
2016123.39%3.20%4.76%$27,177$25,864$18,9943.39%3.20%4.76%
20171-0.58%-1.21%-1.97%$27,019$25,552$18,620-0.58%-1.21%-1.97%
201721.61%1.35%1.03%$27,454$25,897$18,8121.61%1.35%1.03%
20173-0.10%-0.65%0.97%$27,426$25,729$18,996-0.10%-0.65%0.97%
201740.91%0.51%1.05%$27,675$25,861$19,1950.91%0.51%1.05%
20175-2.09%-2.26%-2.50%$27,096$25,276$18,716-2.09%-2.26%-2.50%
201762.91%2.96%5.38%$27,885$26,024$19,7232.91%2.96%5.38%
201771.00%0.75%-0.60%$28,163$26,220$19,6051.00%0.75%-0.60%
20178-2.46%-2.72%-0.87%$27,471$25,507$19,434-2.46%-2.72%-0.87%
201797.79%8.58%8.32%$29,612$27,695$21,0517.79%8.58%8.32%
2017100.86%0.59%-0.33%$29,867$27,859$20,9820.86%0.59%-0.33%
2017113.50%3.76%2.61%$30,912$28,907$21,5313.50%3.76%2.61%
201712-0.52%-0.37%-0.50%$30,751$28,800$21,423-0.52%-0.37%-0.50%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value0.08%0.00%0.00%
Large-cap Growth0.00%0.00%0.00%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth2.10%0.00%0.00%
Small-cap Value49.11%100.00%66.40%
Small-cap Growth48.54%0.00%33.60%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.00%0.00%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.17%0.00%0.00%
R Squared99.87%100.00%94.27%
Style analysis is based on monthly returns from Jan 2006 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%$20,751100.00%

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%$18,800100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IWCiShares Micro-Cap ETFSmall Blend0.60%100.00%$11,423100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/05/2018. © 2018 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)0.92%0.89%0.70%
Arithmetic Mean (annualized)11.62%11.19%8.72%
Geometric Mean (monthly)0.78%0.74%0.53%
Geometric Mean (annualized)9.81%9.22%6.55%
Volatility (monthly)5.23%5.48%5.78%
Volatility (annualized)18.13%18.98%20.01%
Downside Deviation (monthly)3.46%3.63%4.03%
Max. Drawdown-51.79%-54.13%-59.30%
US Market Correlation0.920.910.89
Beta(*)1.151.181.23
Alpha (annualized)0.02%-0.74%-3.41%
R284.88%82.70%79.86%
Sharpe Ratio0.550.510.37
Sortino Ratio0.830.760.52
Treynor Ratio (%)8.768.146.02
Information Ratio0.190.12-0.13
Diversification Ratio1.001.001.00
Skewness-0.39-0.34-0.55
Excess Kurtosis1.971.871.04
Historical Value-at-Risk (5%)-7.56%-8.38%-10.00%
Analytical Value-at-Risk (5%)-7.69%-8.12%-8.80%
Conditional Value-at-Risk (5%)-11.55%-12.31%-12.93%
Upside Capture Ratio (%)115.43116.38115.22
Downside Capture Ratio (%)114.01118.78131.92
Positive Periods91 out of 144 (63.19%)95 out of 144 (65.97%)85 out of 144 (59.03%)
Gain/Loss Ratio0.930.800.95
* 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%-57.41%

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 2011Sep 20115 monthsMar 20126 months11 months-22.06%
3Jul 2015Jan 20167 monthsJun 20165 months1 year-11.66%
4May 2006Jul 20063 monthsNov 20064 months7 months-8.26%
5Apr 2012May 20122 monthsSep 20124 months6 months-7.54%
6Jul 2014Sep 20143 monthsDec 20143 months6 months-6.68%
7Oct 2016Oct 20161 monthNov 20161 month2 months-4.41%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.70%
9Jan 2015Jan 20151 monthFeb 20151 month2 months-3.59%
10Apr 2014Apr 20141 monthJun 20142 months3 months-2.73%
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 2011Sep 20115 monthsFeb 20125 months10 months-22.65%
3Apr 2015Jan 201610 monthsJun 20165 months1 year 3 months-13.44%
4Apr 2012May 20122 monthsSep 20124 months6 months-8.95%
5May 2006Jul 20063 monthsOct 20063 months6 months-7.47%
6Jul 2014Sep 20143 monthsNov 20142 months5 months-6.73%
7Jan 2015Jan 20151 monthFeb 20151 month2 months-5.32%
8Oct 2016Oct 20161 monthNov 20161 month2 months-3.74%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-3.51%
10Aug 2013Aug 20131 monthSep 20131 month2 months-3.41%
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 20134 years 1 month5 years 10 months-59.30%
2Jul 2015Feb 20168 monthsNov 20169 months1 year 5 months-21.08%
3Apr 2006Jul 20064 monthsDec 20065 months9 months-10.91%
4Mar 2014Sep 20147 monthsFeb 20155 months1 year-10.43%
5Aug 2013Aug 20131 monthSep 20131 month2 months-2.89%
6May 2017May 20171 monthJun 20171 month2 months-2.50%
7Apr 2015Apr 20151 monthMay 20151 month2 months-2.33%
8Jan 2017Jan 20171 monthMar 20172 months3 months-1.97%
9Jul 2017Aug 20172 monthsSep 20171 month3 months-1.47%
10Feb 2007Feb 20071 monthApr 20072 months3 months-1.20%
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 ETF9.81%18.13%41.32%-31.52%-51.79%0.550.830.92
IJSiShares S&P Small-Cap 600 Value ETF9.22%18.98%39.34%-29.39%-54.13%0.510.760.91
IWCiShares Micro-Cap ETF6.55%20.01%45.21%-39.02%-59.30%0.370.520.89

Monthly Correlations

Correlations for the portfolio assets
TickerNameIJRIJSIWCPortfolio 1Portfolio 2Portfolio 3
IJRiShares Core S&P Small-Cap ETF-0.990.971.000.990.97
IJSiShares S&P Small-Cap 600 Value ETF0.99-0.970.991.000.97
IWCiShares Micro-Cap ETF0.970.97-0.970.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
IJRiShares Core S&P Small-Cap ETF$20,751
IJSiShares S&P Small-Cap 600 Value ETF$18,800
IWCiShares Micro-Cap ETF$11,423

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%
IWCiShares Micro-Cap ETF100.00%

Annual Asset Returns