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 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 9
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Asset 10
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Portfolio Analysis Results (Jan 2001 - Aug 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
IJR iShares Core S&P Small-Cap ETF 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
IWM iShares Russell 2000 ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$51,348 9.16% 18.16%41.32%-31.52%-51.79% 0.500.730.90
Portfolio 2$10,000$39,666 7.66% 18.99%47.90%-34.13%-52.46% 0.410.590.92
   
Notes on results:
  • Past performance is not a guarantee of future returns. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 2019 are based on full calendar months from January to August
  • 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 excluding cashflows
  • 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 Russell 2000 ETF (IWM)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20011.55%6.43%1.78%$10,643$10,1786.43%1.78%
20022.38%-14.31%-20.37%$9,120$8,105-14.31%-20.37%
20031.88%38.50%47.90%$12,631$11,98738.50%47.90%
20043.26%22.41%18.05%$15,461$14,15122.41%18.05%
20053.42%7.53%4.46%$16,625$14,7817.53%4.46%
20062.54%15.09%18.27%$19,133$17,48115.09%18.27%
20074.08%-0.47%-1.78%$19,043$17,170-0.47%-1.78%
20080.09%-31.52%-34.13%$13,041$11,310-31.52%-34.13%
20092.72%25.88%28.51%$16,417$14,53525.88%28.51%
20101.50%26.60%26.93%$20,784$18,44926.60%26.93%
20112.96%0.79%-4.44%$20,949$17,6310.79%-4.44%
20121.74%16.29%16.70%$24,362$20,57516.29%16.70%
20131.50%41.32%38.69%$34,429$28,53541.32%38.69%
20140.76%5.85%5.03%$36,442$29,9715.85%5.03%
20150.73%-2.07%-4.47%$35,686$28,633-2.07%-4.47%
20162.07%26.61%21.60%$45,182$34,81826.61%21.60%
20172.11%13.15%14.59%$51,124$39,89613.15%14.59%
20181.91%-8.49%-11.11%$46,782$35,464-8.49%-11.11%
20192.12%9.76%11.85%$51,348$39,6669.76%11.85%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares Core S&P Small-Cap ETF (IJR)iShares Russell 2000 ETF (IWM)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200114.75%5.38%$10,475$10,5384.75%5.38%
20012-5.94%-6.69%$9,853$9,833-5.94%-6.69%
20013-4.58%-4.64%$9,401$9,377-4.58%-4.64%
200147.85%8.26%$10,139$10,1517.85%8.26%
200152.04%2.16%$10,346$10,3712.04%2.16%
200162.16%3.11%$10,570$10,6942.16%3.11%
20017-0.67%-5.56%$10,499$10,099-0.67%-5.56%
20018-1.80%-2.43%$10,310$9,853-1.80%-2.43%
20019-14.13%-14.58%$8,854$8,417-14.13%-14.58%
2001105.73%6.50%$9,361$8,9645.73%6.50%
2001116.59%7.64%$9,978$9,6496.59%7.64%
2001126.66%5.49%$10,643$10,1786.66%5.49%
200211.53%-0.16%$10,805$10,1621.53%-0.16%
20022-2.07%-3.12%$10,582$9,845-2.07%-3.12%
200237.78%7.53%$11,405$10,5877.78%7.53%
200243.18%1.20%$11,769$10,7133.18%1.20%
20025-4.26%-4.74%$11,267$10,206-4.26%-4.74%
20026-5.25%-5.81%$10,675$9,612-5.25%-5.81%
20027-13.97%-13.35%$9,184$8,329-13.97%-13.35%
200280.59%-0.64%$9,238$8,2760.59%-0.64%
20029-5.83%-8.03%$8,699$7,612-5.83%-8.03%
2002102.91%4.12%$8,952$7,9262.91%4.12%
2002115.38%8.47%$9,434$8,5975.38%8.47%
200212-3.33%-5.72%$9,120$8,105-3.33%-5.72%
20031-3.06%-2.07%$8,841$7,937-3.06%-2.07%
20032-3.49%-3.00%$8,532$7,699-3.49%-3.00%
200330.51%0.21%$8,575$7,7150.51%0.21%
200348.57%10.28%$9,310$8,5088.57%10.28%
200357.66%10.87%$10,024$9,4337.66%10.87%
200362.74%1.16%$10,298$9,5422.74%1.16%
200374.98%6.50%$10,811$10,1624.98%6.50%
200385.00%4.78%$11,351$10,6495.00%4.78%
20039-2.71%-1.95%$11,043$10,441-2.71%-1.95%
2003108.64%8.71%$11,997$11,3508.64%8.71%
2003113.87%3.74%$12,461$11,7753.87%3.74%
2003121.36%1.80%$12,631$11,9871.36%1.80%
200412.96%4.33%$13,005$12,5062.96%4.33%
200421.83%0.95%$13,243$12,6251.83%0.95%
200431.51%0.96%$13,443$12,7461.51%0.96%
20044-3.89%-5.52%$12,920$12,043-3.89%-5.52%
200452.16%2.15%$13,199$12,3022.16%2.15%
200465.50%4.23%$13,925$12,8225.50%4.23%
20047-5.51%-6.77%$13,158$11,954-5.51%-6.77%
20048-1.00%-1.51%$13,027$11,773-1.00%-1.51%
200494.96%5.33%$13,673$12,4014.96%5.33%
2004102.07%2.06%$13,956$12,6562.07%2.06%
2004118.78%9.20%$15,181$13,8208.78%9.20%
2004121.85%2.39%$15,461$14,1511.85%2.39%
20051-2.24%-4.06%$15,114$13,576-2.24%-4.06%
200522.79%1.64%$15,536$13,7992.79%1.64%
20053-2.54%-2.84%$15,141$13,407-2.54%-2.84%
20054-5.56%-5.66%$14,298$12,649-5.56%-5.66%
200556.47%6.46%$15,223$13,4676.47%6.46%
200563.55%4.08%$15,763$14,0163.55%4.08%
200576.14%6.58%$16,731$14,9386.14%6.58%
20058-1.63%-2.00%$16,459$14,638-1.63%-2.00%
200590.72%0.09%$16,578$14,6520.72%0.09%
200510-3.57%-3.93%$15,986$14,076-3.57%-3.93%
2005115.15%5.75%$16,810$14,8865.15%5.75%
200512-1.10%-0.70%$16,625$14,781-1.10%-0.70%
200618.20%8.44%$17,989$16,0288.20%8.44%
20062-0.48%0.32%$17,902$16,079-0.48%0.32%
200634.99%4.91%$18,796$16,8684.99%4.91%
200640.11%0.30%$18,817$16,9200.11%0.30%
20065-4.55%-5.68%$17,961$15,958-4.55%-5.68%
20066-0.19%-0.04%$17,926$15,952-0.19%-0.04%
20067-3.70%-2.86%$17,262$15,496-3.70%-2.86%
200681.81%3.00%$17,574$15,9601.81%3.00%
200690.88%0.64%$17,728$16,0630.88%0.64%
2006105.14%5.87%$18,639$17,0065.14%5.87%
2006112.62%2.41%$19,128$17,4172.62%2.41%
2006120.03%0.37%$19,133$17,4810.03%0.37%
200712.00%1.69%$19,516$17,7772.00%1.69%
20072-0.64%-0.66%$19,391$17,661-0.64%-0.66%
200731.71%0.98%$19,723$17,8341.71%0.98%
200742.33%1.62%$20,182$18,1232.33%1.62%
200754.37%4.37%$21,065$18,9164.37%4.37%
20076-1.61%-1.44%$20,726$18,643-1.61%-1.44%
20077-5.06%-7.00%$19,677$17,339-5.06%-7.00%
200781.87%2.13%$20,044$17,7081.87%2.13%
200791.62%1.90%$20,368$18,0441.62%1.90%
2007101.72%2.85%$20,719$18,5581.72%2.85%
200711-7.12%-6.89%$19,244$17,280-7.12%-6.89%
200712-1.05%-0.64%$19,043$17,170-1.05%-0.64%
20081-5.40%-6.53%$18,015$16,048-5.40%-6.53%
20082-2.37%-2.93%$17,587$15,577-2.37%-2.93%
20083-0.08%-0.67%$17,573$15,473-0.08%-0.67%
200844.42%4.55%$18,350$16,1774.42%4.55%
200854.15%4.58%$19,112$16,9184.15%4.58%
20086-7.45%-7.53%$17,688$15,645-7.45%-7.53%
200871.89%3.68%$18,023$16,2211.89%3.68%
200884.29%3.58%$18,796$16,8014.29%3.58%
20089-6.66%-7.75%$17,545$15,499-6.66%-7.75%
200810-19.76%-20.96%$14,078$12,251-19.76%-20.96%
200811-11.85%-11.93%$12,409$10,790-11.85%-11.93%
2008125.09%4.82%$13,041$11,3105.09%4.82%
20091-11.69%-9.67%$11,517$10,217-11.69%-9.67%
20092-11.82%-11.98%$10,155$8,993-11.82%-11.98%
200936.64%7.77%$10,829$9,6916.64%7.77%
2009418.08%15.39%$12,787$11,18318.08%15.39%
200951.86%3.40%$13,025$11,5631.86%3.40%
200961.78%1.81%$13,257$11,7731.78%1.81%
200979.75%9.18%$14,549$12,8549.75%9.18%
200982.38%2.93%$14,895$13,2312.38%2.93%
200995.10%5.56%$15,655$13,9675.10%5.56%
200910-5.58%-6.49%$14,781$13,060-5.58%-6.49%
2009112.61%3.12%$15,167$13,4682.61%3.12%
2009128.24%7.92%$16,417$14,5358.24%7.92%
20101-3.14%-3.73%$15,901$13,992-3.14%-3.73%
201024.11%4.48%$16,555$14,6194.11%4.48%
201037.97%8.23%$17,873$15,8227.97%8.23%
201045.82%5.68%$18,913$16,7215.82%5.68%
20105-7.15%-7.54%$17,561$15,460-7.15%-7.54%
20106-7.10%-7.74%$16,314$14,263-7.10%-7.74%
201076.45%6.73%$17,366$15,2246.45%6.73%
20108-7.60%-7.44%$16,046$14,091-7.60%-7.44%
2010911.25%12.45%$17,851$15,84511.25%12.45%
2010104.25%4.15%$18,609$16,5024.25%4.15%
2010113.81%3.49%$19,319$17,0773.81%3.49%
2010127.58%8.03%$20,784$18,4497.58%8.03%
201110.12%-0.37%$20,808$18,3810.12%-0.37%
201124.43%5.54%$21,731$19,3994.43%5.54%
201132.94%2.52%$22,369$19,8882.94%2.52%
201142.62%2.64%$22,956$20,4132.62%2.64%
20115-0.86%-1.79%$22,759$20,047-0.86%-1.79%
20116-1.84%-2.40%$22,340$19,565-1.84%-2.40%
20117-3.16%-3.41%$21,633$18,898-3.16%-3.41%
20118-7.79%-8.89%$19,948$17,218-7.79%-8.89%
20119-10.31%-11.15%$17,892$15,297-10.31%-11.15%
20111014.91%15.10%$20,560$17,60814.91%15.10%
2011110.62%-0.38%$20,689$17,5410.62%-0.38%
2011121.26%0.51%$20,949$17,6311.26%0.51%
201216.59%7.15%$22,329$18,8916.59%7.15%
201222.17%2.57%$22,814$19,3762.17%2.57%
201232.89%2.48%$23,473$19,8572.89%2.48%
20124-1.36%-1.62%$23,153$19,535-1.36%-1.62%
20125-6.26%-6.58%$21,705$18,250-6.26%-6.58%
201264.23%5.05%$22,623$19,1724.23%5.05%
20127-0.78%-1.52%$22,447$18,880-0.78%-1.52%
201283.89%3.54%$23,321$19,5483.89%3.54%
201292.31%3.26%$23,859$20,1852.31%3.26%
201210-2.27%-2.17%$23,317$19,748-2.27%-2.17%
2012111.30%0.55%$23,620$19,8561.30%0.55%
2012123.14%3.62%$24,362$20,5753.14%3.62%
201315.81%6.24%$25,779$21,8585.81%6.24%
201321.42%1.00%$26,144$22,0781.42%1.00%
201334.15%4.66%$27,229$23,1064.15%4.66%
20134-0.16%-0.35%$27,185$23,025-0.16%-0.35%
201354.33%3.93%$28,361$23,9314.33%3.93%
20136-0.11%-0.82%$28,330$23,735-0.11%-0.82%
201376.85%7.33%$30,272$25,4766.85%7.33%
20138-2.33%-3.16%$29,566$24,670-2.33%-3.16%
201396.15%6.49%$31,385$26,2706.15%6.49%
2013103.58%2.42%$32,507$26,9063.58%2.42%
2013114.48%3.96%$33,963$27,9714.48%3.96%
2013121.37%2.02%$34,429$28,5351.37%2.02%
20141-3.70%-2.77%$33,155$27,743-3.70%-2.77%
201424.41%4.78%$34,615$29,0694.41%4.78%
201430.67%-0.75%$34,846$28,8520.67%-0.75%
20144-2.73%-3.75%$33,894$27,770-2.73%-3.75%
201450.16%0.79%$33,948$27,9890.16%0.79%
201464.77%5.27%$35,566$29,4644.77%5.27%
20147-5.56%-6.05%$33,589$27,681-5.56%-6.05%
201484.25%4.83%$35,017$29,0184.25%4.83%
20149-5.21%-5.93%$33,191$27,297-5.21%-5.93%
2014106.91%6.59%$35,485$29,0976.91%6.59%
201411-0.19%0.11%$35,418$29,129-0.19%0.11%
2014122.89%2.89%$36,442$29,9712.89%2.89%
20151-3.59%-3.28%$35,136$28,989-3.59%-3.28%
201526.01%5.95%$37,247$30,7136.01%5.95%
201531.61%1.78%$37,846$31,2591.61%1.78%
20154-2.30%-2.56%$36,974$30,457-2.30%-2.56%
201551.46%2.24%$37,513$31,1381.46%2.24%
201561.06%0.78%$37,910$31,3821.06%0.78%
20157-0.83%-1.10%$37,595$31,037-0.83%-1.10%
20158-5.19%-6.31%$35,643$29,078-5.19%-6.31%
20159-3.53%-4.93%$34,386$27,644-3.53%-4.93%
2015106.08%5.62%$36,477$29,1986.08%5.62%
2015112.70%3.26%$37,461$30,1502.70%3.26%
201512-4.74%-5.03%$35,686$28,633-4.74%-5.03%
20161-6.16%-8.58%$33,489$26,177-6.16%-8.58%
201621.09%-0.22%$33,855$26,1181.09%-0.22%
201638.18%8.02%$36,624$28,2138.18%8.02%
201641.20%1.67%$37,063$28,6851.20%1.67%
201651.61%2.24%$37,659$29,3271.61%2.24%
201660.71%-0.02%$37,924$29,3220.71%-0.02%
201674.99%5.87%$39,817$31,0444.99%5.87%
201681.40%1.78%$40,375$31,5981.40%1.78%
201690.64%1.08%$40,632$31,9380.64%1.08%
201610-4.41%-4.60%$38,838$30,470-4.41%-4.60%
20161112.52%11.06%$43,702$33,84012.52%11.06%
2016123.39%2.89%$45,182$34,8183.39%2.89%
20171-0.58%0.28%$44,919$34,916-0.58%0.28%
201721.61%1.93%$45,642$35,5901.61%1.93%
20173-0.10%0.03%$45,596$35,599-0.10%0.03%
201740.91%1.15%$46,011$36,0080.91%1.15%
20175-2.09%-1.97%$45,048$35,299-2.09%-1.97%
201762.91%3.37%$46,359$36,4902.91%3.37%
201771.00%0.86%$46,822$36,8031.00%0.86%
20178-2.46%-1.26%$45,671$36,340-2.46%-1.26%
201797.79%6.30%$49,230$38,6317.79%6.30%
2017100.86%0.73%$49,655$38,9120.86%0.73%
2017113.50%2.94%$51,392$40,0573.50%2.94%
201712-0.52%-0.40%$51,124$39,896-0.52%-0.40%
201812.51%2.56%$52,408$40,9172.51%2.56%
20182-3.81%-3.84%$50,412$39,344-3.81%-3.84%
201831.99%1.22%$51,415$39,8251.99%1.22%
201841.05%0.98%$51,956$40,2161.05%0.98%
201856.45%6.16%$55,307$42,6956.45%6.16%
201861.04%0.61%$55,884$42,9571.04%0.61%
201873.24%1.65%$57,692$43,6653.24%1.65%
201884.82%4.31%$60,471$45,5474.82%4.31%
20189-3.08%-2.32%$58,608$44,489-3.08%-2.32%
201810-10.53%-10.99%$52,434$39,601-10.53%-10.99%
2018111.60%1.73%$53,274$40,2851.60%1.73%
201812-12.19%-11.97%$46,782$35,464-12.19%-11.97%
2019110.63%11.32%$51,755$39,48010.63%11.32%
201924.34%5.18%$54,003$41,5244.34%5.18%
20193-3.26%-2.09%$52,241$40,656-3.26%-2.09%
201943.86%3.40%$54,259$42,0373.86%3.40%
20195-8.69%-7.85%$49,546$38,736-8.69%-7.85%
201967.34%6.98%$53,182$41,4417.34%6.98%
201971.19%0.68%$53,814$41,7231.19%0.68%
20198-4.58%-4.93%$51,348$39,666-4.58%-4.93%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value0.00%0.00%
Large-cap Growth0.00%0.00%
Mid-cap Value0.00%0.00%
Mid-cap Growth2.06%13.45%
Small-cap Value49.29%47.07%
Small-cap Growth48.50%38.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.00%1.48%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries0.15%0.00%
R Squared99.89%98.30%
Style analysis is based on monthly returns from Apr 2005 to Aug 2019 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IJRiShares Core S&P Small-Cap ETFSmall Blend0.07%100.00%$41,348100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
IWMiShares Russell 2000 ETFSmall Blend0.19%100.00%$29,666100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/05/2019. © 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 2
Arithmetic Mean (monthly)0.87%0.77%
Arithmetic Mean (annualized)10.98%9.63%
Geometric Mean (monthly)0.73%0.62%
Geometric Mean (annualized)9.16%7.66%
Volatility (monthly)5.24%5.48%
Volatility (annualized)18.16%18.99%
Downside Deviation (monthly)3.53%3.75%
Max. Drawdown-51.79%-52.46%
US Market Correlation0.900.92
Beta(*)1.111.18
Alpha (annualized)1.93%0.15%
R281.53%84.46%
Sharpe Ratio0.500.41
Sortino Ratio0.730.59
Treynor Ratio (%)8.206.66
Calmar Ratio0.370.36
Active Return2.35%0.85%
Tracking Error7.96%7.93%
Information Ratio0.290.11
Skewness-0.50-0.51
Excess Kurtosis1.360.88
Historical Value-at-Risk (5%)-7.74%-8.44%
Analytical Value-at-Risk (5%)-7.75%-8.25%
Conditional Value-at-Risk (5%)-12.07%-12.19%
Upside Capture Ratio (%)117.95121.69
Downside Capture Ratio (%)108.01119.60
Safe Withdrawal Rate9.05%7.93%
Perpetual Withdrawal Rate6.70%5.35%
Positive Periods141 out of 224 (62.95%)138 out of 224 (61.61%)
Gain/Loss Ratio0.900.89
* 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%-51.54%

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 monthsFeb 20112 years3 years 9 months-52.46%
2May 2002Sep 20025 monthsOct 20031 year 1 month1 year 6 months-28.95%
3May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-25.06%
4Sep 2018Dec 20184 months-22.14%
5Jul 2001Sep 20013 monthsApr 20027 months10 months-21.30%
6Jul 2015Feb 20168 monthsAug 20166 months1 year 2 months-16.77%
7Feb 2001Mar 20012 monthsJun 20013 months5 months-11.02%
8Jan 2005Apr 20054 monthsJul 20053 months7 months-10.61%
9May 2006Jul 20063 monthsOct 20063 months6 months-8.42%
10Jul 2004Aug 20042 monthsNov 20043 months5 months-8.18%
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 ETF9.16%18.16%41.32%-31.52%-51.79%0.500.730.90
IWMiShares Russell 2000 ETF7.66%18.99%47.90%-34.13%-52.46%0.410.590.92

Monthly Correlations

Correlations for the portfolio assets
TickerNameIJRIWMPortfolio 1Portfolio 2
IJRiShares Core S&P Small-Cap ETF-0.991.000.99
IWMiShares Russell 2000 ETF0.99-0.991.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
IJRiShares Core S&P Small-Cap ETF$41,348
IWMiShares Russell 2000 ETF$29,666

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
IJRiShares Core S&P Small-Cap ETF100.00%
IWMiShares Russell 2000 ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.53%41.32%-31.52%9.23%47.90%-34.13%
3 years10.62%22.16%-7.78%9.20%22.18%-8.54%
5 years10.10%21.43%0.64%8.70%20.33%-1.16%
7 years9.51%15.56%2.95%8.15%14.19%1.52%
10 years9.48%13.63%7.01%8.16%12.11%5.65%
15 years10.07%12.18%8.85%8.63%11.21%7.26%
Result statistics are based on annualized rolling returns over full calendar year periods