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 
Asset 1
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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 2018)

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 Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000$652,129 43.33% 8.95%9.61%18.04%41.32%-31.52%-51.79%
(-42.18%)
0.490.710.90
Portfolio 2$1,000$591,224 42.56% 8.55%8.61%18.79%39.76%-29.39%-54.13%
(-43.31%)
0.460.670.89
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   
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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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 backtested results assume bands based (5.00% absolute, 25.00% relative) rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares Core S&P Small-Cap ETF (IJR)iShares S&P Small-Cap 600 Value ETF (IJS)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
20011.55%6.43%11.68%$14,055$14,171$12,2116.43%11.68%
20022.38%-14.31%-14.04%$23,377$23,338$12,405-14.31%-14.04%
20031.88%38.50%39.76%$47,930$48,456$12,68738.50%39.76%
20043.26%22.41%22.60%$73,433$74,168$13,02622.41%22.60%
20053.42%7.53%6.00%$93,113$92,686$13,4687.53%6.00%
20062.54%15.09%19.37%$121,763$125,468$13,90315.09%19.37%
20074.08%-0.47%-5.56%$134,829$131,805$14,299-0.47%-5.56%
20080.09%-31.52%-29.39%$104,049$105,052$14,848-31.52%-29.39%
20092.72%25.88%22.36%$149,224$146,805$14,79625.88%22.36%
20101.50%26.60%24.69%$206,627$200,545$15,03826.60%24.69%
20112.96%0.79%-1.65%$223,654$212,648$15,5130.79%-1.65%
20121.74%16.29%18.24%$276,821$268,371$15,83416.29%18.24%
20131.50%41.32%39.34%$410,059$392,657$16,06641.32%39.34%
20140.76%5.85%7.56%$451,247$439,604$16,3275.85%7.56%
20150.73%-2.07%-6.90%$457,814$424,990$16,346-2.07%-6.90%
20162.07%26.61%31.25%$599,063$577,445$16,55226.61%31.25%
20172.11%13.15%11.35%$696,153$661,331$16,90513.15%11.35%
20181.91%-8.49%-12.84%$652,129$591,224$17,318-8.49%-12.84%
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Core S&P Small-Cap ETF (IJR)iShares S&P Small-Cap 600 Value ETF (IJS)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200114.75%7.86%$2,054$2,0854.75%7.86%
20012-5.94%-4.21%$2,942$3,007-5.94%-4.21%
20013-4.58%-4.94%$3,820$3,871-4.58%-4.94%
200147.85%6.82%$5,136$5,1527.85%6.82%
200152.04%2.91%$6,262$6,3232.04%2.91%
200162.16%2.01%$7,421$7,4732.16%2.01%
20017-0.67%-0.22%$8,392$8,477-0.67%-0.22%
20018-1.80%-0.96%$9,261$9,415-1.80%-0.96%
20019-14.13%-14.53%$8,977$9,072-14.13%-14.53%
2001105.73%4.50%$10,513$10,5025.73%4.50%
2001116.59%7.55%$12,225$12,3146.59%7.55%
2001126.66%6.83%$14,055$14,1716.66%6.83%
200211.53%2.14%$15,288$15,4921.53%2.14%
20022-2.07%-0.42%$15,994$16,448-2.07%-0.42%
200237.78%8.72%$18,266$18,9107.78%8.72%
200243.18%4.03%$19,881$20,7063.18%4.03%
20025-4.26%-3.63%$20,066$20,988-4.26%-3.63%
20026-5.25%-4.62%$20,047$21,052-5.25%-4.62%
20027-13.97%-15.78%$18,281$18,765-13.97%-15.78%
200280.59%-0.42%$19,427$19,7240.59%-0.42%
20029-5.83%-7.91%$19,335$19,205-5.83%-7.91%
2002102.91%2.58%$20,939$20,7432.91%2.58%
2002115.38%5.50%$23,108$22,9265.38%5.50%
200212-3.33%-2.74%$23,377$23,338-3.33%-2.74%
20031-3.06%-4.05%$23,707$23,436-3.06%-4.05%
20032-3.49%-4.05%$23,931$23,538-3.49%-4.05%
200330.51%-0.15%$25,111$24,5610.51%-0.15%
200348.57%8.81%$28,320$27,7828.57%8.81%
200357.66%9.42%$31,544$31,4547.66%9.42%
200362.74%2.85%$33,463$33,4082.74%2.85%
200374.98%4.91%$36,186$36,1054.98%4.91%
200385.00%4.96%$39,055$38,9565.00%4.96%
20039-2.71%-3.51%$39,062$38,653-2.71%-3.51%
2003108.64%9.09%$43,499$43,2288.64%9.09%
2003113.87%4.30%$46,241$46,1463.87%4.30%
2003121.36%2.71%$47,930$48,4561.36%2.71%
200412.96%2.17%$50,414$50,5712.96%2.17%
200421.83%2.50%$52,405$52,9061.83%2.50%
200431.51%1.82%$54,276$54,9491.51%1.82%
20044-3.89%-3.93%$53,245$53,867-3.89%-3.93%
200452.16%1.58%$55,483$55,8032.16%1.58%
200465.50%5.35%$59,624$59,8815.50%5.35%
20047-5.51%-4.75%$57,428$58,126-5.51%-4.75%
20048-1.00%0.24%$57,943$59,354-1.00%0.24%
200494.96%4.69%$61,908$63,2304.96%4.69%
2004102.07%0.95%$64,288$64,9282.07%0.95%
2004118.78%9.11%$71,027$71,9428.78%9.11%
2004121.85%1.57%$73,433$74,1681.85%1.57%
20051-2.24%-3.25%$72,882$72,852-2.24%-3.25%
200522.79%2.90%$76,018$76,0692.79%2.90%
20053-2.54%-2.36%$75,195$75,384-2.54%-2.36%
20054-5.56%-5.12%$72,129$72,643-5.56%-5.12%
200556.47%6.16%$77,910$78,2326.47%6.16%
200563.55%3.92%$81,791$82,4133.55%3.92%
200576.14%5.84%$87,938$88,3506.14%5.84%
20058-1.63%-1.87%$87,637$87,826-1.63%-1.87%
200590.72%0.05%$89,411$89,0110.72%0.05%
200510-3.57%-3.41%$87,367$87,119-3.57%-3.41%
2005115.15%4.91%$93,005$92,5315.15%4.91%
200512-1.10%-1.06%$93,113$92,686-1.10%-1.06%
200618.20%8.75%$101,889$101,9368.20%8.75%
20062-0.48%0.27%$102,542$103,357-0.48%0.27%
200634.99%4.86%$108,812$109,5244.99%4.86%
200640.11%0.18%$110,086$110,8780.11%0.18%
20065-4.55%-4.55%$106,243$106,995-4.55%-4.55%
20066-0.19%0.04%$107,203$108,207-0.19%0.04%
20067-3.70%-3.10%$104,402$106,026-3.70%-3.10%
200681.81%2.70%$107,460$110,0651.81%2.70%
200690.88%1.19%$109,567$112,5360.88%1.19%
2006105.14%5.52%$116,358$119,9075.14%5.52%
2006112.62%2.38%$120,567$123,9162.62%2.38%
2006120.03%0.32%$121,763$125,4680.03%0.32%
200712.00%2.14%$125,362$129,3132.00%2.14%
20072-0.64%-0.92%$125,731$129,289-0.64%-0.92%
200731.71%0.91%$129,062$131,6421.71%0.91%
200742.33%1.84%$133,253$135,2502.33%1.84%
200754.37%4.63%$140,277$142,7124.37%4.63%
20076-1.61%-2.24%$139,220$140,711-1.61%-2.24%
20077-5.06%-6.26%$133,368$133,100-5.06%-6.26%
200781.87%1.33%$137,052$136,0661.87%1.33%
200791.62%0.31%$140,468$137,6921.62%0.31%
2007101.72%1.06%$144,085$140,3531.72%1.06%
200711-7.12%-7.15%$135,038$131,529-7.12%-7.15%
200712-1.05%-0.71%$134,829$131,805-1.05%-0.71%
20081-5.40%-4.00%$128,764$127,746-5.40%-4.00%
20082-2.37%-3.36%$126,924$124,667-2.37%-3.36%
20083-0.08%0.83%$128,050$126,923-0.08%0.83%
200844.42%2.64%$134,946$131,5134.42%2.64%
200854.15%3.92%$141,798$137,9074.15%3.92%
20086-7.45%-8.41%$132,487$127,562-7.45%-8.41%
200871.89%2.87%$136,261$132,4921.89%2.87%
200884.29%4.76%$143,366$140,0604.29%4.76%
20089-6.66%-4.82%$135,079$134,570-6.66%-4.82%
200810-19.76%-19.86%$109,630$109,087-19.76%-19.86%
200811-11.85%-11.80%$97,856$97,439-11.85%-11.80%
2008125.09%6.57%$104,049$105,0525.09%6.57%
20091-11.69%-13.94%$93,099$91,616-11.69%-13.94%
20092-11.82%-13.03%$83,313$80,902-11.82%-13.03%
200936.64%7.58%$90,065$88,2606.64%7.58%
2009418.08%18.89%$107,576$106,15818.08%18.89%
200951.86%0.67%$110,808$108,0981.86%0.67%
200961.78%1.52%$114,020$110,9851.78%1.52%
200979.75%11.00%$126,370$124,4349.75%11.00%
200982.38%3.48%$130,617$130,0082.38%3.48%
200995.10%4.21%$138,517$136,7165.10%4.21%
200910-5.58%-6.07%$132,032$129,655-5.58%-6.07%
2009112.61%2.90%$136,721$134,6602.61%2.90%
2009128.24%8.10%$149,224$146,8058.24%8.10%
20101-3.14%-2.54%$145,779$144,328-3.14%-2.54%
201024.11%4.76%$153,021$152,4484.11%4.76%
201037.97%7.80%$166,460$165,5877.97%7.80%
201045.82%6.63%$177,401$177,8145.82%6.63%
20105-7.15%-8.54%$165,966$163,881-7.15%-8.54%
20106-7.10%-8.27%$155,441$151,574-7.10%-8.27%
201076.45%6.71%$166,714$163,0006.45%6.71%
20108-7.60%-7.91%$155,298$151,359-7.60%-7.91%
2010911.25%10.93%$174,021$169,15911.25%10.93%
2010104.25%4.04%$182,670$177,2454.25%4.04%
2010113.81%2.47%$190,897$182,8873.81%2.47%
2010127.58%8.97%$206,627$200,5457.58%8.97%
201110.12%-0.24%$208,134$201,3370.12%-0.24%
201124.43%4.21%$218,636$211,0874.43%4.21%
201132.94%2.21%$226,344$217,0282.94%2.21%
201142.62%1.06%$233,575$220,6272.62%1.06%
20115-0.86%-1.77%$232,862$218,030-0.86%-1.77%
20116-1.84%-1.59%$229,880$215,850-1.84%-1.59%
20117-3.16%-2.77%$223,904$211,161-3.16%-2.77%
20118-7.79%-7.98%$207,767$195,619-7.79%-7.98%
20119-10.31%-10.57%$187,653$176,248-10.31%-10.57%
20111014.91%15.34%$216,939$204,58614.91%15.34%
2011110.62%0.63%$219,593$207,1750.62%0.63%
2011121.26%2.02%$223,654$212,6481.26%2.02%
201216.59%7.90%$239,692$230,7476.59%7.90%
201222.17%1.71%$246,203$236,0102.17%1.71%
201232.89%2.89%$254,639$244,1522.89%2.89%
20124-1.36%-1.91%$252,491$240,813-1.36%-1.91%
20125-6.26%-7.18%$238,012$224,855-6.26%-7.18%
201264.23%4.54%$249,401$236,3744.23%4.54%
20127-0.78%-0.69%$248,778$236,069-0.78%-0.69%
201283.89%4.08%$259,786$247,0183.89%4.08%
201292.31%3.14%$267,109$256,0952.31%3.14%
201210-2.27%-1.96%$262,373$252,400-2.27%-1.96%
2012111.30%1.65%$267,110$257,8951.30%1.65%
2012123.14%3.55%$276,821$268,3713.14%3.55%
201315.81%5.35%$294,236$284,0575.81%5.35%
201321.42%1.63%$299,736$290,0231.42%1.63%
201334.15%4.11%$313,515$303,2754.15%4.11%
20134-0.16%0.12%$314,348$304,982-0.16%0.12%
201354.33%4.29%$329,284$319,3954.33%4.29%
20136-0.11%-0.14%$330,268$320,287-0.11%-0.14%
201376.85%6.56%$354,248$342,6426.85%6.56%
20138-2.33%-3.41%$347,333$332,286-2.33%-3.41%
201396.15%6.59%$370,044$355,5456.15%6.59%
2013103.58%3.48%$384,623$369,2703.58%3.48%
2013114.48%4.25%$403,190$386,3184.48%4.25%
2013121.37%1.29%$410,059$392,6571.37%1.29%
20141-3.70%-3.51%$396,223$380,202-3.70%-3.51%
201424.41%4.63%$415,029$399,1544.41%4.63%
201430.67%1.34%$419,155$405,8630.67%1.34%
20144-2.73%-2.29%$409,062$397,925-2.73%-2.29%
201450.16%0.62%$411,078$401,7690.16%0.62%
201464.77%3.85%$432,041$418,5924.77%3.85%
20147-5.56%-5.07%$409,397$398,747-5.56%-5.07%
201484.25%4.46%$428,167$417,9084.25%4.46%
20149-5.21%-5.94%$407,209$394,436-5.21%-5.94%
2014106.91%7.13%$436,723$423,9256.91%7.13%
201411-0.19%0.48%$437,258$427,310-0.19%0.48%
2014122.89%2.56%$451,247$439,6042.89%2.56%
20151-3.59%-5.32%$436,409$417,577-3.59%-5.32%
201526.01%5.86%$463,989$443,3816.01%5.86%
201531.61%1.03%$472,806$449,2981.61%1.03%
20154-2.30%-1.82%$463,270$442,458-2.30%-1.82%
201551.46%0.75%$471,386$447,1601.46%0.75%
201561.06%0.42%$477,751$450,4091.06%0.42%
20157-0.83%-2.70%$475,151$439,618-0.83%-2.70%
20158-5.19%-4.62%$451,848$420,691-5.19%-4.62%
20159-3.53%-3.77%$437,280$406,184-3.53%-3.77%
2015106.08%6.57%$465,235$434,2196.08%6.57%
2015112.70%2.47%$479,151$446,3152.70%2.47%
201512-4.74%-5.08%$457,814$424,990-4.74%-5.08%
20161-6.16%-5.85%$430,986$401,479-6.16%-5.85%
201621.09%2.08%$437,062$411,2001.09%2.08%
201638.18%9.41%$474,176$451,2828.18%9.41%
201641.20%2.13%$481,237$462,2541.20%2.13%
201651.61%0.44%$490,348$465,6721.61%0.44%
201660.71%0.83%$495,195$470,9380.71%0.83%
201674.99%5.06%$521,293$496,1444.99%5.06%
201681.40%1.13%$529,984$503,1471.40%1.13%
201690.64%0.87%$534,738$508,9050.64%0.87%
201610-4.41%-3.74%$512,524$491,252-4.41%-3.74%
20161112.52%13.34%$578,090$558,18612.52%13.34%
2016123.39%3.20%$599,063$577,4453.39%3.20%
20171-0.58%-1.21%$596,974$571,870-0.58%-1.21%
201721.61%1.35%$607,980$581,0021.61%1.35%
20173-0.10%-0.65%$608,759$578,625-0.10%-0.65%
201740.91%0.51%$615,710$582,9930.91%0.51%
20175-2.09%-2.26%$604,236$571,222-2.09%-2.26%
201762.91%2.96%$623,223$589,5362.91%2.96%
201771.00%0.75%$630,852$595,3701.00%0.75%
20178-2.46%-2.72%$616,761$580,594-2.46%-2.72%
201797.79%8.58%$666,238$631,8177.79%8.58%
2017100.86%0.59%$673,401$636,9830.86%0.59%
2017113.50%3.76%$698,386$662,3533.50%3.76%
201712-0.52%-0.37%$696,153$661,331-0.52%-0.37%
201812.51%1.33%$715,070$671,5402.51%1.33%
20182-3.81%-4.04%$689,257$645,827-3.81%-4.04%
201831.99%1.37%$704,411$656,1081.99%1.37%
201841.05%1.76%$713,260$669,1181.05%1.76%
201856.45%5.87%$760,717$709,8396.45%5.87%
201861.04%0.80%$770,093$716,9511.04%0.80%
201873.24%2.62%$796,455$737,1493.24%2.62%
201884.82%3.14%$836,266$761,7424.82%3.14%
20189-3.08%-3.05%$811,958$739,944-3.08%-3.05%
201810-10.53%-9.94%$727,878$667,860-10.53%-9.94%
2018111.60%0.57%$740,984$673,1291.60%0.57%
201812-12.19%-12.38%$652,129$591,224-12.19%-12.38%
* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.03%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth2.05%0.00%
Small-cap Value49.23%100.00%
Small-cap Growth48.54%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.15%0.00%
R Squared99.88%100.00%
Style analysis is based on monthly returns from Apr 2005 to Dec 2018 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
IJRiShares Core S&P Small-Cap ETFSmall Blend100.00%0.06%16.76$383,585100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
IJSiShares S&P Small-Cap 600 Value ETFSmall Value100.00%0.25%13.08$322,680100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 07/09/2020. (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 2
Arithmetic Mean (monthly)0.85%0.83%
Arithmetic Mean (annualized)10.74%10.49%
Geometric Mean (monthly)0.72%0.69%
Geometric Mean (annualized)8.95%8.55%
Volatility (monthly)5.21%5.42%
Volatility (annualized)18.04%18.79%
Downside Deviation (monthly)3.53%3.68%
Max. Drawdown-51.79%-54.13%
US Market Correlation0.900.89
Beta(*)1.101.13
Alpha (annualized)2.50%2.07%
R281.23%78.66%
Sharpe Ratio0.490.46
Sortino Ratio0.710.67
Treynor Ratio (%)8.047.64
Calmar Ratio0.420.36
Active Return2.85%2.45%
Tracking Error7.96%8.88%
Information Ratio0.360.28
Skewness-0.52-0.49
Excess Kurtosis1.511.56
Historical Value-at-Risk (5%)-7.63%-8.43%
Analytical Value-at-Risk (5%)-7.71%-8.09%
Conditional Value-at-Risk (5%)-12.40%-13.04%
Upside Capture Ratio (%)119.60120.08
Downside Capture Ratio (%)106.72109.42
Safe Withdrawal Rate9.05%9.35%
Perpetual Withdrawal Rate6.32%5.97%
Positive Periods136 out of 216 (62.96%)139 out of 216 (64.35%)
Gain/Loss Ratio0.900.83
* 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 2
Subprime CrisisNov 2007Mar 2009-50.99%-51.28%

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%
3Sep 2018Dec 20184 months-22.64%
4May 2011Sep 20115 monthsMar 20126 months11 months-22.06%
5Jul 2001Sep 20013 monthsDec 20013 months6 months-16.24%
6Jul 2015Jan 20167 monthsJun 20165 months1 year-11.66%
7Feb 2001Mar 20012 monthsJun 20013 months5 months-10.26%
8May 2006Jul 20063 monthsNov 20064 months7 months-8.26%
9Mar 2005Apr 20052 monthsJun 20052 months4 months-7.97%
10Apr 2012May 20122 monthsSep 20124 months6 months-7.54%
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%
3Sep 2018Dec 20184 months-23.06%
4May 2011Sep 20115 monthsFeb 20125 months10 months-22.65%
5Jul 2001Sep 20013 monthsDec 20013 months6 months-15.54%
6Apr 2015Jan 201610 monthsJun 20165 months1 year 3 months-13.44%
7Feb 2001Mar 20012 monthsMay 20012 months4 months-8.95%
8Apr 2012May 20122 monthsSep 20124 months6 months-8.95%
9Jan 2005Apr 20054 monthsJun 20052 months6 months-7.77%
10May 2006Jul 20063 monthsOct 20063 months6 months-7.47%
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 ETF8.95%18.04%41.32%-31.52%-51.79%0.490.710.90
IJSiShares S&P Small-Cap 600 Value ETF8.55%18.79%39.76%-29.39%-54.13%0.460.670.89

Monthly Correlations

Correlations for the portfolio assets
TickerNameIJRIJSPortfolio 1Portfolio 2
IJRiShares Core S&P Small-Cap ETF1.000.991.000.99
IJSiShares S&P Small-Cap 600 Value ETF0.991.000.991.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
IJRiShares Core S&P Small-Cap ETF$383,585
IJSiShares S&P Small-Cap 600 Value ETF$322,680

Portfolio Risk Decomposition

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

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.53%41.32%-31.52%10.21%39.76%-29.39%
3 years10.62%22.16%-7.78%10.20%22.01%-7.32%
5 years10.10%21.43%0.64%9.58%19.85%0.01%
7 years9.51%15.56%2.95%8.91%14.97%3.15%
10 years9.48%13.63%7.01%8.82%12.17%6.43%
15 years10.07%12.18%8.85%9.55%11.66%8.20%
Result statistics are based on annualized rolling returns over full calendar year periods