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
IVV iShares Core S&P 500 ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
IVE iShares S&P 500 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$591,267 42.56% 5.70%8.61%14.31%32.30%-37.02%-50.78%
(-40.76%)
0.360.511.00
Portfolio 2$1,000$510,772 41.40% 4.98%7.11%15.24%31.62%-38.86%-56.75%
(-47.68%)
0.300.420.97
* 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
  • Drawdowns are 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 500 ETF (IVV)iShares S&P 500 Value ETF (IVE)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Adjustment
20011.55%-11.95%-11.49%$12,781$12,517$12,211-11.95%-11.49%
20022.38%-21.55%-20.80%$21,328$21,254$12,405-21.55%-20.80%
20031.88%28.46%31.51%$42,211$43,093$12,68728.46%31.51%
20043.26%10.79%15.64%$60,767$64,159$13,02610.79%15.64%
20053.42%4.87%5.63%$77,745$81,874$13,4684.87%5.63%
20062.54%15.94%20.65%$105,247$114,081$13,90315.94%20.65%
20074.08%5.29%1.53%$125,146$129,718$14,2995.29%1.53%
20080.09%-37.02%-38.86%$90,247$90,560$14,848-37.02%-38.86%
20092.72%26.60%20.88%$132,098$127,350$14,79626.60%20.88%
20101.50%15.09%14.94%$168,971$163,155$15,03815.09%14.94%
20112.96%1.86%-0.71%$187,520$177,237$15,5131.86%-0.71%
20121.74%16.06%17.56%$234,118$225,095$15,83416.06%17.56%
20131.50%32.30%31.62%$327,968$314,260$16,06632.30%31.62%
20140.76%13.56%12.17%$389,935$369,870$16,32713.56%12.17%
20150.73%1.30%-3.29%$411,430$373,856$16,3461.30%-3.29%
20162.07%12.16%17.31%$479,279$456,909$16,55212.16%17.31%
20172.11%21.76%15.25%$602,134$544,942$16,90521.76%15.25%
20181.91%-4.47%-9.19%$591,267$510,772$17,318-4.47%-9.19%
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Core S&P 500 ETF (IVV)iShares S&P 500 Value ETF (IVE)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200114.22%4.55%$2,049$2,0524.22%4.55%
20012-9.37%-6.61%$2,867$2,927-9.37%-6.61%
20013-5.73%-3.81%$3,715$3,828-5.73%-3.81%
200147.27%6.82%$5,002$5,1067.27%6.82%
200150.42%0.52%$6,044$6,1530.42%0.52%
20016-2.14%-2.68%$6,938$7,012-2.14%-2.68%
20017-1.13%-1.91%$7,879$7,898-1.13%-1.91%
20018-5.83%-5.95%$8,440$8,448-5.83%-5.95%
20019-8.61%-9.43%$8,738$8,676-8.61%-9.43%
2001101.78%0.11%$9,915$9,7061.78%0.11%
2001117.76%5.95%$11,704$11,3037.76%5.95%
2001120.52%1.76%$12,781$12,5170.52%1.76%
20021-1.04%-2.82%$13,665$13,182-1.04%-2.82%
20022-1.86%-0.69%$14,434$14,113-1.86%-0.69%
200233.37%5.15%$15,947$15,8683.37%5.15%
20024-5.71%-5.15%$16,069$16,084-5.71%-5.15%
20025-0.81%0.21%$16,973$17,151-0.81%0.21%
20026-7.19%-6.33%$16,786$17,098-7.19%-6.33%
20027-7.77%-10.89%$16,517$16,272-7.77%-10.89%
200280.47%1.00%$17,634$17,4720.47%1.00%
20029-10.36%-11.25%$16,846$16,547-10.36%-11.25%
2002108.32%8.04%$19,289$18,9198.32%8.04%
2002115.73%6.39%$21,436$21,1695.73%6.39%
200212-5.35%-4.51%$21,328$21,254-5.35%-4.51%
20031-2.47%-2.97%$21,846$21,666-2.47%-2.97%
20032-1.39%-2.40%$22,594$22,199-1.39%-2.40%
200330.22%-0.74%$23,703$23,0940.22%-0.74%
200348.49%10.23%$26,772$26,5148.49%10.23%
200355.41%7.57%$29,276$29,5765.41%7.57%
200361.18%0.32%$30,677$30,7261.18%0.32%
200371.72%2.39%$32,261$32,5171.72%2.39%
200381.88%1.88%$33,928$34,1911.88%1.88%
20039-1.00%-1.75%$34,652$34,655-1.00%-1.75%
2003105.41%7.01%$37,588$38,1475.41%7.01%
2003111.22%0.98%$39,106$39,5811.22%0.98%
2003125.23%6.20%$42,211$43,0935.23%6.20%
200412.15%2.17%$44,182$45,0912.15%2.17%
200421.26%1.91%$45,809$47,0231.26%1.91%
20043-1.23%-0.53%$46,321$47,851-1.23%-0.53%
20044-1.87%-2.61%$46,534$47,682-1.87%-2.61%
200451.67%1.39%$48,399$49,4301.67%1.39%
200461.78%2.04%$50,350$51,5301.78%2.04%
20047-3.13%-1.97%$49,861$51,602-3.13%-1.97%
200480.20%1.14%$51,049$53,2790.20%1.14%
200490.96%1.80%$52,631$55,3320.96%1.80%
2004101.25%1.53%$54,387$57,2751.25%1.53%
2004114.43%4.95%$57,897$61,2054.43%4.95%
2004123.07%3.04%$60,767$64,1593.07%3.04%
20051-2.24%-2.39%$60,502$63,725-2.24%-2.39%
200522.08%1.87%$62,862$66,0212.08%1.87%
20053-1.81%-1.78%$62,835$65,955-1.81%-1.78%
20054-1.80%-2.17%$62,823$65,645-1.80%-2.17%
200553.15%3.35%$65,917$68,9643.15%3.35%
200560.13%1.52%$67,117$71,1300.13%1.52%
200573.85%3.11%$70,827$74,4663.85%3.11%
20058-0.97%-0.98%$71,268$74,865-0.97%-0.98%
200590.82%1.20%$72,998$76,9050.82%1.20%
200510-2.15%-2.11%$72,576$76,431-2.15%-2.11%
2005114.16%3.93%$76,733$80,5744.16%3.93%
200512-0.16%0.21%$77,745$81,874-0.16%0.21%
200612.47%2.84%$80,805$85,3422.47%2.84%
200620.53%1.12%$82,377$87,4410.53%1.12%
200631.56%2.15%$84,812$90,4661.56%2.15%
200641.29%2.71%$87,067$94,0721.29%2.71%
20065-2.93%-2.65%$85,684$92,744-2.93%-2.65%
200660.27%0.43%$87,078$94,3080.27%0.43%
200670.39%0.90%$88,589$96,3290.39%0.90%
200682.20%1.40%$91,712$98,8492.20%1.40%
200692.67%2.66%$95,329$102,6432.67%2.66%
2006103.21%3.33%$99,547$107,2193.21%3.33%
2006111.96%1.95%$102,659$110,4731.96%1.95%
2006121.39%2.22%$105,247$114,0811.39%2.22%
200711.43%1.89%$107,915$117,3951.43%1.89%
20072-1.90%-1.88%$107,039$116,362-1.90%-1.88%
200731.19%1.49%$109,489$119,2761.19%1.49%
200744.31%4.20%$115,400$125,4754.31%4.20%
200753.41%3.61%$120,535$131,2013.41%3.61%
20076-1.55%-1.97%$119,870$129,808-1.55%-1.97%
20077-3.19%-3.86%$117,244$126,000-3.19%-3.86%
200781.31%1.16%$119,976$128,6551.31%1.16%
200794.09%3.09%$126,082$133,8344.09%3.09%
2007101.41%1.06%$129,063$136,4481.41%1.06%
200711-4.11%-4.58%$124,963$131,407-4.11%-4.58%
200712-0.82%-2.20%$125,146$129,718-0.82%-2.20%
20081-6.27%-3.46%$118,513$126,446-6.27%-3.46%
20082-2.76%-4.75%$116,464$121,659-2.76%-4.75%
20083-0.63%-0.68%$116,954$122,059-0.63%-0.68%
200844.82%3.68%$123,831$127,7894.82%3.68%
200851.28%0.03%$126,666$129,0701.28%0.03%
20086-8.39%-11.10%$117,300$115,999-8.39%-11.10%
20087-0.74%1.36%$117,694$118,837-0.74%1.36%
200881.49%1.42%$120,704$121,7791.49%1.42%
20089-8.89%-7.44%$111,228$113,975-8.89%-7.44%
200810-16.63%-17.01%$93,973$95,833-16.63%-17.01%
200811-7.46%-9.26%$88,179$88,179-7.46%-9.26%
2008120.97%1.33%$90,247$90,5600.97%1.33%
20091-8.13%-12.15%$84,125$80,769-8.13%-12.15%
20092-10.56%-13.13%$76,463$71,386-10.56%-13.13%
200938.02%9.02%$83,820$79,0468.02%9.02%
2009410.14%11.72%$93,541$89,53610.14%11.72%
200955.84%6.50%$100,232$96,5825.84%6.50%
200960.04%-0.68%$101,508$97,1680.04%-0.68%
200977.38%8.43%$110,242$106,5967.38%8.43%
200983.66%5.56%$115,518$113,7593.66%5.56%
200993.63%3.04%$120,953$118,4613.63%3.04%
200910-1.92%-3.63%$119,868$115,399-1.92%-3.63%
2009116.09%6.30%$128,409$123,9176.09%6.30%
2009121.91%1.77%$132,098$127,3501.91%1.77%
20101-3.71%-2.08%$128,440$125,953-3.71%-2.08%
201023.15%2.60%$133,730$130,4743.15%2.60%
201036.11%6.48%$143,156$140,1826.11%6.48%
201041.62%1.95%$146,726$144,1661.62%1.95%
20105-8.00%-7.92%$136,241$133,999-8.00%-7.92%
20106-5.26%-5.82%$130,326$127,455-5.26%-5.82%
201076.99%7.11%$140,686$137,7686.99%7.11%
20108-4.43%-4.62%$135,713$132,651-4.43%-4.62%
201098.81%7.65%$148,928$144,0498.81%7.65%
2010103.84%2.62%$155,908$149,0763.84%2.62%
201011-0.07%-0.52%$157,061$149,557-0.07%-0.52%
2010126.78%8.25%$168,971$163,1556.78%8.25%
201112.30%3.19%$174,118$169,6232.30%3.19%
201123.46%3.69%$181,416$177,1573.46%3.69%
20113-0.00%-0.26%$182,694$177,984-0.00%-0.26%
201142.95%2.48%$189,384$183,6902.95%2.48%
20115-1.19%-1.82%$188,428$181,648-1.19%-1.82%
20116-1.68%-2.17%$186,568$178,998-1.68%-2.17%
20117-1.97%-3.58%$184,189$173,887-1.97%-3.58%
20118-5.52%-6.19%$175,317$164,427-5.52%-6.19%
20119-6.80%-7.42%$164,705$153,524-6.80%-7.42%
20111010.65%11.21%$183,550$172,03010.65%11.21%
201111-0.32%-0.38%$184,267$172,670-0.32%-0.38%
2011121.06%1.89%$187,520$177,2371.06%1.89%
201214.61%4.91%$197,472$187,2434.61%4.91%
201224.21%4.14%$207,098$196,2984.21%4.14%
201233.29%3.30%$215,230$204,0943.29%3.30%
20124-0.66%-1.32%$215,135$202,713-0.66%-1.32%
20125-6.01%-6.62%$203,527$190,619-6.01%-6.62%
201264.20%4.65%$213,400$200,7994.20%4.65%
201271.24%0.83%$217,369$203,7931.24%0.83%
201282.48%2.21%$224,079$209,6272.48%2.21%
201292.34%3.11%$230,646$217,4682.34%3.11%
201210-2.02%-0.71%$227,311$217,244-2.02%-0.71%
2012110.87%0.14%$230,610$218,8660.87%0.14%
2012120.95%2.24%$234,118$225,0950.95%2.24%
201315.11%6.43%$247,414$240,8965.11%6.43%
201321.36%1.16%$252,103$245,0261.36%1.16%
201333.68%3.78%$262,715$255,6243.68%3.78%
201341.96%1.78%$269,211$261,4981.96%1.78%
201352.40%2.46%$277,009$269,2782.40%2.46%
20136-1.59%-1.01%$273,947$267,909-1.59%-1.01%
201375.39%5.24%$290,052$283,2885.39%5.24%
20138-3.04%-3.60%$282,586$274,436-3.04%-3.60%
201393.24%2.48%$293,088$282,5763.24%2.48%
2013104.61%4.38%$307,948$296,2944.61%4.38%
2013112.98%2.81%$318,473$305,9692.98%2.81%
2013122.56%2.27%$327,968$314,2602.56%2.27%
20141-3.49%-4.00%$317,865$303,028-3.49%-4.00%
201424.56%3.78%$333,708$315,8284.56%3.78%
201430.87%2.62%$337,977$325,4690.87%2.62%
201440.74%1.19%$341,854$330,6890.74%1.19%
201452.28%1.22%$351,031$336,0802.28%1.22%
201462.09%1.96%$359,733$344,0242.09%1.96%
20147-1.40%-1.44%$356,081$340,440-1.40%-1.44%
201483.97%3.56%$371,581$353,9353.97%3.56%
20149-1.38%-1.72%$367,838$349,224-1.38%-1.72%
2014102.39%1.79%$377,978$356,8312.39%1.79%
2014112.75%2.37%$389,744$366,6342.75%2.37%
201412-0.30%0.51%$389,935$369,870-0.30%0.51%
20151-2.90%-4.48%$379,969$354,646-2.90%-4.48%
201525.65%5.48%$402,769$375,4365.65%5.48%
20153-1.59%-1.46%$397,720$371,325-1.59%-1.46%
201540.97%1.44%$402,946$378,0210.97%1.44%
201551.30%0.70%$409,555$382,0451.30%0.70%
20156-1.98%-1.96%$402,826$375,919-1.98%-1.96%
201572.19%0.44%$413,023$378,9622.19%0.44%
20158-6.14%-6.05%$389,018$357,419-6.14%-6.05%
20159-2.49%-2.82%$380,688$348,711-2.49%-2.82%
2015108.47%7.38%$414,312$375,8078.47%7.38%
2015110.39%0.57%$417,301$379,2950.39%0.57%
201512-1.73%-1.79%$411,430$373,856-1.73%-1.79%
20161-5.00%-4.95%$392,207$356,721-5.00%-4.95%
20162-0.06%0.59%$393,348$360,203-0.06%0.59%
201636.82%6.89%$421,554$386,3806.82%6.89%
201640.39%1.99%$424,581$395,4450.39%1.99%
201651.69%0.92%$433,145$400,4481.69%0.92%
201660.25%0.95%$435,623$405,6230.25%0.95%
201673.74%2.66%$453,293$417,7913.74%2.66%
201680.13%0.57%$455,258$421,5410.13%0.57%
201690.01%-0.37%$456,695$421,3610.01%-0.37%
201610-1.78%-1.51%$449,961$416,405-1.78%-1.51%
2016113.67%6.30%$467,856$444,0153.67%6.30%
2016122.14%2.59%$479,279$456,9092.14%2.59%
201711.75%0.58%$489,067$460,9641.75%0.58%
201723.98%3.79%$509,908$479,8133.98%3.79%
201730.12%-1.16%$511,909$475,6380.12%-1.16%
201740.97%-0.10%$518,255$476,5860.97%-0.10%
201751.39%-0.34%$526,887$476,3881.39%-0.34%
201760.67%1.89%$531,828$486,7880.67%1.89%
201772.07%1.39%$544,269$494,9662.07%1.39%
201780.27%-1.24%$547,169$490,2380.27%-1.24%
201792.04%3.30%$559,756$507,8412.04%3.30%
2017102.32%1.15%$574,187$515,0942.32%1.15%
2017113.12%3.35%$593,530$533,7843.12%3.35%
2017121.21%1.83%$602,134$544,9421.21%1.83%
201815.69%4.03%$637,825$568,3105.69%4.03%
20182-3.80%-5.55%$614,991$538,178-3.80%-5.55%
20183-2.47%-2.01%$601,258$528,797-2.47%-2.01%
201840.35%0.50%$604,827$532,8960.35%0.50%
201852.41%0.25%$620,854$535,6522.41%0.25%
201860.59%0.62%$625,942$540,4230.59%0.62%
201873.75%3.99%$650,842$563,4133.75%3.99%
201883.23%1.34%$673,336$572,3903.23%1.34%
201890.54%0.41%$678,402$576,1690.54%0.41%
201810-6.82%-5.34%$633,575$546,834-6.82%-5.34%
2018111.92%2.52%$647,195$562,0471.92%2.52%
201812-8.86%-9.38%$591,267$510,772-8.86%-9.38%
* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value46.60%100.00%
Large-cap Growth52.82%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.28%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.04%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.04%0.00%
REITs0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.23%0.00%
R Squared99.93%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
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IVViShares Core S&P 500 ETFLarge Blend0.04%100.00%$322,723100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IVEiShares S&P 500 Value ETFLarge Value0.18%100.00%$242,229100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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 2
Arithmetic Mean (monthly)0.55%0.50%
Arithmetic Mean (annualized)6.79%6.22%
Geometric Mean (monthly)0.46%0.41%
Geometric Mean (annualized)5.70%4.98%
Volatility (monthly)4.13%4.40%
Volatility (annualized)14.31%15.24%
Downside Deviation (monthly)2.91%3.14%
Max. Drawdown-50.78%-56.75%
US Market Correlation1.000.97
Beta(*)0.961.00
Alpha (annualized)-0.20%-1.01%
R299.14%94.35%
Sharpe Ratio0.360.30
Sortino Ratio0.510.42
Treynor Ratio (%)5.394.64
Calmar Ratio0.690.56
Active Return-0.40%-1.12%
Tracking Error1.43%3.62%
Information Ratio-0.28-0.31
Skewness-0.68-0.70
Excess Kurtosis1.321.54
Historical Value-at-Risk (5%)-7.80%-7.51%
Analytical Value-at-Risk (5%)-6.25%-6.73%
Conditional Value-at-Risk (5%)-9.78%-11.15%
Upside Capture Ratio (%)94.9696.19
Downside Capture Ratio (%)96.60101.85
Safe Withdrawal Rate5.69%5.81%
Perpetual Withdrawal Rate3.44%2.78%
Positive Periods139 out of 216 (64.35%)137 out of 216 (63.43%)
Gain/Loss Ratio0.780.78
* 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 2009-50.78%-56.46%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.78%
2Feb 2001Sep 20021 year 8 monthsJan 20063 years 4 months5 years-38.85%
3Oct 2018Dec 20183 months-13.45%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.48%
5Apr 2012May 20122 monthsAug 20123 months5 months-6.63%
6Feb 2018Mar 20182 monthsJul 20184 months6 months-6.18%
7Jun 2007Jul 20072 monthsSep 20072 months4 months-4.69%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.49%
9Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.19%
10Aug 2013Aug 20131 monthSep 20131 month2 months-3.04%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsMar 20134 years 1 month5 years 10 months-56.75%
2Feb 2001Sep 20021 year 8 monthsDec 20042 years 3 months3 years 11 months-38.91%
3Feb 2018Dec 201811 months-12.71%
4Jun 2015Sep 20154 monthsMay 20168 months1 year-10.09%
5Jan 2015Jan 20151 monthFeb 20151 month2 months-4.48%
6Jan 2005Apr 20054 monthsJun 20052 months6 months-4.44%
7Jan 2014Jan 20141 monthMar 20142 months3 months-4.00%
8Aug 2013Aug 20131 monthOct 20132 months3 months-3.60%
9May 2006May 20061 monthAug 20063 months4 months-2.65%
10Oct 2005Oct 20051 monthNov 20051 month2 months-2.11%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IVViShares Core S&P 500 ETF5.70%14.31%32.30%-37.02%-50.78%0.360.511.00
IVEiShares S&P 500 Value ETF4.98%15.24%31.62%-38.86%-56.75%0.300.420.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameIVVIVEPortfolio 1Portfolio 2
IVViShares Core S&P 500 ETF-0.971.000.97
IVEiShares S&P 500 Value ETF0.97-0.971.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
IVViShares Core S&P 500 ETF$322,723
IVEiShares S&P 500 Value ETF$242,229

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
IVViShares Core S&P 500 ETF100.00%
IVEiShares S&P 500 Value ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year7.28%32.30%-37.02%6.69%31.62%-38.86%
3 years7.63%20.36%-8.39%7.16%20.17%-9.19%
5 years7.58%17.91%-2.23%6.93%16.37%-3.05%
7 years7.09%14.76%-1.49%6.25%12.74%-0.69%
10 years6.91%13.08%1.45%5.95%11.01%1.60%
15 years7.33%9.88%5.00%6.73%9.24%4.56%
Result statistics are based on annualized rolling returns over full calendar year periods