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 (Jan 1999 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
FLPSX Fidelity Low-Priced Stock 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VISVX Vanguard Small Cap Value Index Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$80,788 11.62% 14.65%40.85%-36.17%-49.17% 0.711.070.89
Portfolio 2$10,000$33,922 6.64% 14.88%33.35%-37.04%-50.89% 0.390.551.00
Portfolio 3$10,000$61,372 10.02% 18.14%37.19%-32.05%-56.13% 0.520.770.87
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 16.63%20.67%9.29%13.55%9.13%11.62%8.91%8.86%
Portfolio 26.31%21.05%10.96%15.42%8.60%6.64%10.21%9.74%
Portfolio 34.53%11.67%9.85%14.82%9.63%10.02%12.56%12.44%
Trailing annualized return and volatility are for full months ending in December 2017 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • 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
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3Fidelity Low-Priced Stock (FLPSX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Small Cap Value Index Inv (VISVX)
ReturnBalanceReturnBalanceReturnBalance
19992.68%5.08%$10,50823.81%$12,3813.35%$10,3355.08%23.81%3.35%
20003.39%18.83%$12,486-10.57%$11,07221.88%$12,59618.83%-10.57%21.88%
20011.55%26.71%$15,821-10.97%$9,85813.70%$14,32126.71%-10.97%13.70%
20022.38%-6.18%$14,843-20.96%$7,792-14.20%$12,288-6.18%-20.96%-14.20%
20031.88%40.85%$20,90631.35%$10,23537.19%$16,85840.85%31.35%37.19%
20043.26%22.24%$25,55612.51%$11,51523.55%$20,82922.24%12.51%23.55%
20053.42%8.65%$27,7675.98%$12,2046.07%$22,0938.65%5.98%6.07%
20062.54%17.76%$32,69915.51%$14,09719.24%$26,34517.76%15.51%19.24%
20074.08%3.16%$33,7335.49%$14,871-7.07%$24,4823.16%5.49%-7.07%
20080.09%-36.17%$21,531-37.04%$9,363-32.05%$16,634-36.17%-37.04%-32.05%
20092.72%39.08%$29,94528.70%$12,05030.34%$21,68039.08%28.70%30.34%
20101.50%20.70%$36,14317.09%$14,11024.82%$27,06120.70%17.09%24.82%
20112.96%-0.06%$36,1220.96%$14,246-4.16%$25,934-0.06%0.96%-4.16%
20121.74%18.50%$42,80416.25%$16,56118.56%$30,74918.50%16.25%18.56%
20131.50%34.31%$57,49133.35%$22,08436.41%$41,94434.31%33.35%36.41%
20140.76%7.65%$61,89112.43%$24,82910.39%$46,3027.65%12.43%10.39%
20150.73%-0.56%$61,5430.29%$24,902-4.78%$44,090-0.56%0.29%-4.78%
20162.07%8.79%$66,95112.53%$28,02324.65%$54,9588.79%12.53%24.65%
20172.11%20.67%$80,78821.05%$33,92211.67%$61,37220.67%21.05%11.67%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 2 ReturnPortfolio 3 ReturnFidelity Low-Priced Stock (FLPSX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Small Cap Value Index Inv (VISVX)
19991-1.01%3.65%-1.14%-1.01%3.65%-1.14%
19992-4.55%-3.73%-8.10%-4.55%-3.73%-8.10%
19993-1.62%3.93%-0.38%-1.62%3.93%-0.38%
199947.39%4.68%8.77%7.39%4.68%8.77%
199952.72%-2.00%3.97%2.72%-2.00%3.97%
199964.74%5.16%6.18%4.74%5.16%6.18%
19997-1.10%-3.20%-1.59%-1.10%-3.20%-1.59%
19998-3.96%-0.92%-4.19%-3.96%-0.92%-4.19%
19999-2.62%-2.44%-1.80%-2.62%-2.44%-1.80%
199910-0.97%6.29%-2.40%-0.97%6.29%-2.40%
1999112.52%3.42%2.34%2.52%3.42%2.34%
1999124.19%7.59%2.83%4.19%7.59%2.83%
20001-2.83%-4.18%-5.21%-2.83%-4.18%-5.21%
200024.27%2.54%4.62%4.27%2.54%4.62%
200033.10%5.69%3.92%3.10%5.69%3.92%
20004-1.23%-5.21%0.71%-1.23%-5.21%0.71%
20005-0.86%-3.41%-1.53%-0.86%-3.41%-1.53%
200063.02%4.42%2.86%3.02%4.42%2.86%
200070.29%-1.95%1.97%0.29%-1.95%1.97%
200085.89%7.28%5.91%5.89%7.28%5.91%
200090.41%-4.67%-0.21%0.41%-4.67%-0.21%
2000100.49%-2.04%0.65%0.49%-2.04%0.65%
200011-1.58%-9.90%-6.52%-1.58%-9.90%-6.52%
2000126.91%1.78%14.34%6.91%1.78%14.34%
200116.66%3.83%7.98%6.66%3.83%7.98%
20012-0.65%-9.41%-4.13%-0.65%-9.41%-4.13%
20013-1.92%-6.72%-4.16%-1.92%-6.72%-4.16%
200146.58%8.16%6.02%6.58%8.16%6.02%
200153.40%1.01%2.58%3.40%1.01%2.58%
200162.45%-1.64%4.13%2.45%-1.64%4.13%
200170.33%-1.71%-1.16%0.33%-1.71%-1.16%
20018-0.40%-6.00%-1.57%-0.40%-6.00%-1.57%
20019-7.23%-9.00%-14.31%-7.23%-9.00%-14.31%
2001104.09%2.52%4.64%4.09%2.52%4.64%
2001116.28%7.63%8.09%6.28%7.63%8.09%
2001125.29%1.78%7.30%5.29%1.78%7.30%
200211.60%-1.24%1.85%1.60%-1.24%1.85%
20022-0.61%-2.05%-0.29%-0.61%-2.05%-0.29%
200235.92%4.38%8.72%5.92%4.38%8.72%
200243.27%-4.90%4.06%3.27%-4.90%4.06%
20025-0.63%-1.22%-3.82%-0.63%-1.22%-3.82%
20026-2.82%-7.06%-4.24%-2.82%-7.06%-4.24%
20027-8.72%-8.02%-16.20%-8.72%-8.02%-16.20%
20028-0.79%0.53%-0.11%-0.79%0.53%-0.11%
20029-8.33%-10.07%-7.42%-8.33%-10.07%-7.42%
2002103.79%7.65%2.07%3.79%7.65%2.07%
2002116.20%6.06%5.36%6.20%6.06%5.36%
200212-3.89%-5.57%-2.71%-3.89%-5.57%-2.71%
20031-2.30%-2.54%-4.11%-2.30%-2.54%-4.11%
20032-3.46%-1.69%-3.67%-3.46%-1.69%-3.67%
20033-0.38%1.09%-0.38%-0.38%1.09%-0.38%
200349.13%8.21%9.06%9.13%8.21%9.06%
200358.14%6.11%7.60%8.14%6.11%7.60%
200362.79%1.43%1.74%2.79%1.43%1.74%
200374.84%2.36%4.49%4.84%2.36%4.49%
200384.16%2.39%3.37%4.16%2.39%3.37%
20039-0.64%-1.15%-0.49%-0.64%-1.15%-0.49%
2003106.68%6.12%7.06%6.68%6.12%7.06%
2003113.37%1.38%3.90%3.37%1.38%3.90%
2003123.26%4.48%4.46%3.26%4.48%4.46%
200412.72%2.23%2.70%2.72%2.23%2.70%
200422.92%1.43%2.54%2.92%1.43%2.54%
200430.14%-1.07%1.74%0.14%-1.07%1.74%
20044-2.43%-2.11%-5.52%-2.43%-2.11%-5.52%
200450.28%1.35%1.72%0.28%1.35%1.72%
200463.48%2.09%4.99%3.48%2.09%4.99%
20047-3.49%-3.80%-3.54%-3.49%-3.80%-3.54%
20048-0.30%0.31%1.42%-0.30%0.31%1.42%
200494.15%1.74%3.37%4.15%1.74%3.37%
2004101.37%1.68%1.51%1.37%1.68%1.51%
2004117.99%4.68%8.08%7.99%4.68%8.08%
2004123.98%3.63%3.02%3.98%3.63%3.02%
20051-1.99%-2.68%-3.72%-1.99%-2.68%-3.72%
200523.17%2.07%2.30%3.17%2.07%2.30%
20053-2.06%-1.75%-1.88%-2.06%-1.75%-1.88%
20054-4.72%-2.32%-3.85%-4.72%-2.32%-3.85%
200554.90%3.77%5.39%4.90%3.77%5.39%
200563.16%0.81%3.87%3.16%0.81%3.87%
200573.84%4.11%5.70%3.84%4.11%5.70%
20058-0.09%-0.94%-2.13%-0.09%-0.94%-2.13%
200590.71%0.86%0.54%0.71%0.86%0.54%
200510-4.24%-1.86%-2.98%-4.24%-1.86%-2.98%
2005114.45%3.97%3.77%4.45%3.97%3.77%
2005121.81%0.14%-0.43%1.81%0.14%-0.43%
200616.59%3.50%7.07%6.59%3.50%7.07%
20062-0.62%0.00%0.13%-0.62%0.00%0.13%
200632.54%1.80%3.58%2.54%1.80%3.58%
200641.98%1.11%0.06%1.98%1.11%0.06%
20065-4.00%-3.23%-3.83%-4.00%-3.23%-3.83%
20066-1.20%0.17%1.09%-1.20%0.17%1.09%
20067-1.19%-0.13%-1.46%-1.19%-0.13%-1.46%
200681.84%2.31%2.32%1.84%2.31%2.32%
200691.46%2.27%0.88%1.46%2.27%0.88%
2006103.49%3.53%4.82%3.49%3.53%4.82%
2006114.17%2.23%3.04%4.17%2.23%3.04%
2006121.83%1.13%0.48%1.83%1.13%0.48%
200711.22%1.88%1.99%1.22%1.88%1.99%
20072-0.27%-1.61%-0.58%-0.27%-1.61%-0.58%
200731.64%1.11%0.60%1.64%1.11%0.60%
200743.27%4.01%1.84%3.27%4.01%1.84%
200753.92%3.69%3.67%3.92%3.69%3.67%
20076-0.92%-1.67%-2.51%-0.92%-1.67%-2.51%
20077-4.46%-3.41%-7.21%-4.46%-3.41%-7.21%
20078-0.71%1.45%1.45%-0.71%1.45%1.45%
200792.70%3.59%0.89%2.70%3.59%0.89%
2007103.00%1.85%1.35%3.00%1.85%1.35%
200711-6.26%-4.49%-6.74%-6.26%-4.49%-6.74%
2007120.53%-0.60%-1.42%0.53%-0.60%-1.42%
20081-4.98%-6.08%-3.62%-4.98%-6.08%-3.62%
20082-1.00%-3.07%-3.15%-1.00%-3.07%-3.15%
20083-1.81%-0.58%0.14%-1.81%-0.58%0.14%
200845.08%5.02%4.42%5.08%5.02%4.42%
200853.51%2.09%4.17%3.51%2.09%4.17%
20086-8.74%-8.19%-11.56%-8.74%-8.19%-11.56%
20087-1.38%-0.77%4.02%-1.38%-0.77%4.02%
200881.02%1.58%3.87%1.02%1.58%3.87%
20089-11.85%-9.26%-6.05%-11.85%-9.26%-6.05%
200810-20.00%-17.63%-21.09%-20.00%-17.63%-21.09%
200811-8.78%-7.90%-10.49%-8.78%-7.90%-10.49%
2008128.61%1.86%5.38%8.61%1.86%5.38%
20091-6.40%-8.26%-13.03%-6.40%-8.26%-13.03%
20092-9.20%-10.45%-13.96%-9.20%-10.45%-13.96%
200938.40%8.65%9.39%8.40%8.65%9.39%
2009414.46%10.61%19.76%14.46%10.61%19.76%
200956.32%5.38%3.50%6.32%5.38%3.50%
20096-0.08%0.34%-0.10%-0.08%0.34%-0.10%
200978.88%7.82%10.64%8.88%7.82%10.64%
200984.36%3.63%6.12%4.36%3.63%6.12%
200993.85%4.23%5.52%3.85%4.23%5.52%
200910-2.83%-2.57%-6.32%-2.83%-2.57%-6.32%
2009113.86%5.63%3.67%3.86%5.63%3.67%
2009124.24%2.86%6.88%4.24%2.86%6.88%
20101-1.63%-3.50%-3.06%-1.63%-3.50%-3.06%
201023.50%3.36%5.21%3.50%3.36%5.21%
201036.43%6.27%8.00%6.43%6.27%8.00%
201042.46%2.17%6.19%2.46%2.17%6.19%
20105-7.73%-8.00%-7.99%-7.73%-8.00%-7.99%
20106-4.77%-5.66%-8.04%-4.77%-5.66%-8.04%
201076.13%6.99%7.43%6.13%6.99%7.43%
20108-4.08%-4.75%-6.70%-4.08%-4.75%-6.70%
201099.56%9.47%10.42%9.56%9.47%10.42%
2010103.86%3.94%3.57%3.86%3.94%3.57%
2010110.19%0.58%2.30%0.19%0.58%2.30%
2010126.60%6.81%7.55%6.60%6.81%7.55%
201111.33%2.19%0.62%1.33%2.19%0.62%
201123.57%3.60%4.66%3.57%3.60%4.66%
201131.19%0.45%1.50%1.19%0.45%1.50%
201144.44%2.99%2.40%4.44%2.99%2.40%
20115-1.15%-1.16%-2.11%-1.15%-1.16%-2.11%
20116-1.00%-1.79%-2.10%-1.00%-1.79%-2.10%
20117-2.38%-2.28%-3.45%-2.38%-2.28%-3.45%
20118-6.27%-5.99%-8.08%-6.27%-5.99%-8.08%
20119-7.99%-7.75%-10.60%-7.99%-7.75%-10.60%
20111011.49%11.51%14.34%11.49%11.51%14.34%
201111-1.61%-0.29%-0.26%-1.61%-0.29%-0.26%
201112-0.30%0.80%1.00%-0.30%0.80%1.00%
201216.16%5.08%6.85%6.16%5.08%6.85%
201225.01%4.26%2.49%5.01%4.26%2.49%
201232.23%3.07%2.35%2.23%3.07%2.35%
20124-1.01%-0.65%-0.89%-1.01%-0.65%-0.89%
20125-8.14%-6.24%-6.29%-8.14%-6.24%-6.29%
201263.75%3.91%4.28%3.75%3.91%4.28%
201270.26%1.03%-0.43%0.26%1.03%-0.43%
201284.44%2.48%2.95%4.44%2.48%2.95%
201291.97%2.58%2.87%1.97%2.58%2.87%
201210-1.02%-1.76%-0.58%-1.02%-1.76%-0.58%
2012111.26%0.74%0.82%1.26%0.74%0.82%
2012122.98%1.19%3.33%2.98%1.19%3.33%
201315.04%5.50%6.49%5.04%5.50%6.49%
201320.31%1.28%1.78%0.31%1.28%1.78%
201334.76%3.88%4.53%4.76%3.88%4.53%
201342.87%1.70%-0.05%2.87%1.70%-0.05%
201351.72%2.32%3.05%1.72%2.32%3.05%
20136-0.18%-1.27%-1.13%-0.18%-1.27%-1.13%
201375.05%5.49%6.68%5.05%5.49%6.68%
20138-1.80%-2.82%-4.20%-1.80%-2.82%-4.20%
201394.70%3.66%5.31%4.70%3.66%5.31%
2013103.56%4.22%3.89%3.56%4.22%3.89%
2013112.39%2.88%2.99%2.39%2.88%2.99%
2013121.72%2.63%2.68%1.72%2.63%2.68%
20141-3.36%-3.11%-2.83%-3.36%-3.11%-2.83%
201424.37%4.73%5.03%4.37%4.73%5.03%
201431.14%0.51%1.32%1.14%0.51%1.32%
20144-1.19%0.06%-1.16%-1.19%0.06%-1.16%
201451.38%2.17%1.59%1.38%2.17%1.59%
201462.63%2.54%4.29%2.63%2.54%4.29%
20147-1.64%-1.98%-4.71%-1.64%-1.98%-4.71%
201483.41%4.18%5.15%3.41%4.18%5.15%
20149-3.15%-2.14%-5.65%-3.15%-2.14%-5.65%
2014102.23%2.74%4.94%2.23%2.74%4.94%
2014111.54%2.41%1.04%1.54%2.41%1.04%
2014120.36%-0.01%1.70%0.36%-0.01%1.70%
20151-3.08%-2.77%-3.31%-3.08%-2.77%-3.31%
201526.04%5.76%5.71%6.04%5.76%5.71%
20153-0.97%-1.04%1.22%-0.97%-1.04%1.22%
201542.13%0.42%-1.26%2.13%0.42%-1.26%
201551.07%1.39%1.35%1.07%1.39%1.35%
20156-0.70%-1.71%-1.45%-0.70%-1.71%-1.45%
201570.44%1.63%-1.01%0.44%1.63%-1.01%
20158-3.82%-6.03%-4.81%-3.82%-6.03%-4.81%
20159-2.91%-2.93%-3.58%-2.91%-2.93%-3.58%
2015103.97%7.84%6.59%3.97%7.84%6.59%
2015110.41%0.54%1.33%0.41%0.54%1.33%
201512-2.65%-2.03%-4.90%-2.65%-2.03%-4.90%
20161-5.34%-5.67%-6.46%-5.34%-5.67%-6.46%
201620.71%-0.04%1.58%0.71%-0.04%1.58%
201635.93%7.01%8.91%5.93%7.01%8.91%
20164-0.31%0.63%2.05%-0.31%0.63%2.05%
201650.94%1.79%1.44%0.94%1.79%1.44%
20166-1.24%0.23%0.08%-1.24%0.23%0.08%
201673.44%3.95%4.68%3.44%3.95%4.68%
201680.34%0.26%0.72%0.34%0.26%0.72%
201691.09%0.15%0.31%1.09%0.15%0.31%
201610-2.58%-2.21%-3.01%-2.58%-2.21%-3.01%
2016115.45%4.44%10.26%5.45%4.44%10.26%
2016120.57%1.92%2.82%0.57%1.92%2.82%
201711.17%1.91%0.66%1.17%1.91%0.66%
201722.16%3.71%2.06%2.16%3.71%2.06%
201730.92%0.07%-0.78%0.92%0.07%-0.78%
201741.53%1.05%0.44%1.53%1.05%0.44%
201751.11%1.01%-2.37%1.11%1.01%-2.37%
201760.62%0.92%2.40%0.62%0.92%2.40%
201772.01%1.87%0.95%2.01%1.87%0.95%
201780.18%0.15%-1.44%0.18%0.15%-1.44%
201792.77%2.45%4.91%2.77%2.45%4.91%
2017101.70%2.16%0.85%1.70%2.16%0.85%
2017112.92%3.04%3.14%2.92%3.04%3.14%
2017121.88%0.99%0.50%1.88%0.99%0.50%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value11.22%37.54%12.32%
Large-cap Growth5.17%42.98%0.00%
Mid-cap Value12.12%5.17%30.32%
Mid-cap Growth25.99%7.91%0.00%
Small-cap Value15.16%3.07%55.91%
Small-cap Growth0.02%2.07%0.00%
Global ex-US Developed Markets15.78%0.76%1.45%
Emerging Markets6.40%0.51%0.00%
Corporate Bonds8.14%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared95.81%99.88%98.23%
Style analysis is based on monthly returns from April 2005 to December 2017 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
FLPSXFidelity Low-Priced StockMid-Cap Value100.00%1.53%0.78%13.50$70,788100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%1.27%0.14%27.11$23,922100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VISVXVanguard Small Cap Value Index InvSmall Value100.00%1.70%0.19%18.30$51,372100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 03/05/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)1.01%0.63%0.94%
Arithmetic Mean (annualized)12.83%7.83%11.85%
Geometric Mean (monthly)0.92%0.54%0.80%
Geometric Mean (annualized)11.62%6.64%10.02%
Volatility (monthly)4.23%4.30%5.24%
Volatility (annualized)14.65%14.88%18.14%
Downside Deviation (monthly)2.73%2.97%3.51%
Max. Drawdown-49.17%-50.89%-56.13%
US Market Correlation0.891.000.87
Beta(*)0.881.001.06
Alpha (annualized)5.49%0.00%3.23%
R279.41%100.00%75.63%
Sharpe Ratio0.710.390.52
Sortino Ratio1.070.550.77
Treynor Ratio (%)11.815.798.94
Calmar Ratio0.891.230.70
Active Return4.98%0.00%3.38%
Tracking Error6.90%0.00%9.00%
Information Ratio0.720.010.38
Skewness-0.71-0.64-0.54
Excess Kurtosis2.691.182.20
Historical Value-at-Risk (5%)-6.36%-7.85%-7.79%
Analytical Value-at-Risk (5%)-5.95%-6.44%-7.67%
Conditional Value-at-Risk (5%)-9.42%-9.67%-11.96%
Upside Capture Ratio (%)102.84100.00115.48
Downside Capture Ratio (%)78.20100.00100.48
Safe Withdrawal Rate11.54%5.84%9.44%
Perpetual Withdrawal Rate8.47%4.19%7.13%
Positive Periods143 out of 228 (62.72%)144 out of 228 (63.16%)143 out of 228 (62.72%)
Gain/Loss Ratio1.110.840.95
* 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
Dotcom CrashMar 2000Oct 2002-19.83%-44.11%-28.62%
Subprime CrisisNov 2007Mar 2009-48.88%-50.89%-53.25%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsDec 20101 year 10 months3 years 7 months-49.17%
2May 2002Mar 200311 monthsJul 20034 months1 year 3 months-20.20%
3May 2011Sep 20115 monthsFeb 20125 months10 months-17.61%
4Jun 2015Jan 20168 monthsNov 201610 months1 year 6 months-10.40%
5Apr 2012May 20122 monthsSep 20124 months6 months-9.06%
6Jul 1999Oct 19994 monthsMar 20005 months9 months-8.40%
7Aug 2001Sep 20012 monthsNov 20012 months4 months-7.60%
8Jan 1999Mar 19993 monthsMay 19992 months5 months-7.05%
9Mar 2005Apr 20052 monthsJun 20052 months4 months-6.68%
10May 2006Jul 20063 monthsOct 20063 months6 months-6.28%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
4Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
6Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
7Jun 2007Jul 20072 monthsOct 20073 months5 months-5.02%
8Jan 2000Jan 20001 monthMar 20002 months3 months-4.18%
9Feb 1999Feb 19991 monthMar 19991 month2 months-3.73%
10May 2006May 20061 monthSep 20064 months5 months-3.23%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-56.13%
2May 2002Mar 200311 monthsDec 20039 months1 year 8 months-31.28%
3May 2011Sep 20115 monthsSep 20121 year1 year 5 months-23.97%
4Jul 2001Sep 20013 monthsDec 20013 months6 months-16.63%
5Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-13.97%
6Jul 1999Jan 20007 monthsJul 20006 months1 year 1 month-9.85%
7Jan 1999Mar 19993 monthsMay 19992 months5 months-9.50%
8Feb 2001Mar 20012 monthsJun 20013 months5 months-8.11%
9Jan 2005Apr 20054 monthsJun 20052 months6 months-7.07%
10Nov 2000Nov 20001 monthDec 20001 month2 months-6.52%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FLPSXFidelity Low-Priced Stock11.62%14.65%40.85%-36.17%-49.17%0.711.070.89
VTSMXVanguard Total Stock Mkt Idx Inv6.64%14.88%33.35%-37.04%-50.89%0.390.551.00
VISVXVanguard Small Cap Value Index Inv10.02%18.14%37.19%-32.05%-56.13%0.520.770.87

Monthly Correlations

Correlations for the portfolio assets
TickerNameFLPSXVTSMXVISVXPortfolio 1Portfolio 2Portfolio 3
FLPSXFidelity Low-Priced Stock1.000.890.941.000.890.94
VTSMXVanguard Total Stock Mkt Idx Inv0.891.000.870.891.000.87
VISVXVanguard Small Cap Value Index Inv0.940.871.000.940.871.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
FLPSXFidelity Low-Priced Stock$70,788
VTSMXVanguard Total Stock Mkt Idx Inv$23,922
VISVXVanguard Small Cap Value Index Inv$51,372

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
FLPSXFidelity Low-Priced Stock100.00%
VTSMXVanguard Total Stock Mkt Idx Inv100.00%
VISVXVanguard Small Cap Value Index Inv100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year13.10%66.61%-42.33%7.66%56.25%-43.18%11.89%77.65%-45.54%
3 years11.82%30.07%-14.63%6.32%26.60%-16.27%10.15%31.65%-19.30%
5 years11.71%25.95%-3.71%6.87%23.85%-6.23%10.11%28.02%-6.86%
7 years10.83%18.85%1.96%6.40%17.28%-3.02%9.19%18.93%-2.20%
10 years9.62%12.98%6.83%5.38%9.31%-2.57%7.88%11.91%3.20%
15 years11.51%13.07%9.79%6.41%10.41%4.25%9.82%11.32%7.68%