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 1987 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VUSTX Vanguard Long-Term Treasury Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$107,608 7.47% 9.81%30.09%-13.03%-16.68% 0.470.77-0.13
   
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 1 ReturnPortfolio 1 BalanceVanguard Long-Term Treasury Inv (VUSTX)
19874.43%-2.92%$9,708-2.92%
19884.42%9.15%$10,5969.15%
19894.65%17.93%$12,49617.93%
19906.11%5.78%$13,2195.78%
19913.06%17.43%$15,52317.43%
19922.90%7.41%$16,6727.41%
19932.75%16.79%$19,47116.79%
19942.67%-7.04%$18,100-7.04%
19952.54%30.09%$23,54730.09%
19963.32%-1.26%$23,252-1.26%
19971.70%13.90%$26,48413.90%
19981.61%13.05%$29,94113.05%
19992.68%-8.66%$27,348-8.66%
20003.39%19.72%$32,74219.72%
20011.55%4.31%$34,1524.31%
20022.38%16.67%$39,84716.67%
20031.88%2.68%$40,9142.68%
20043.26%7.12%$43,8277.12%
20053.42%6.61%$46,7236.61%
20062.54%1.74%$47,5381.74%
20074.08%9.24%$51,9329.24%
20080.09%22.52%$63,62522.52%
20092.72%-12.05%$55,959-12.05%
20101.50%8.93%$60,9568.93%
20112.96%29.28%$78,80229.28%
20121.74%3.47%$81,5333.47%
20131.50%-13.03%$70,913-13.03%
20140.76%25.28%$88,83725.28%
20150.73%-1.54%$87,472-1.54%
20162.07%1.20%$88,5211.20%
20172.11%8.58%$96,1208.58%
20181.91%-1.90%$94,289-1.90%
20192.29%14.13%$107,60814.13%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard Long-Term Treasury Inv (VUSTX)
198711.30%$10,1301.30%
198721.07%$10,2391.07%
19873-1.58%$10,077-1.58%
19874-4.80%$9,594-4.80%
19875-1.50%$9,450-1.50%
198761.44%$9,5861.44%
19877-1.11%$9,479-1.11%
19878-1.56%$9,331-1.56%
19879-3.72%$8,985-3.72%
1987105.84%$9,5095.84%
1987110.47%$9,5540.47%
1987121.60%$9,7081.60%
198814.65%$10,1594.65%
198821.16%$10,2771.16%
19883-2.24%$10,047-2.24%
19884-1.14%$9,932-1.14%
19885-1.59%$9,774-1.59%
198864.09%$10,1734.09%
19887-1.90%$9,980-1.90%
198880.40%$10,0200.40%
198893.86%$10,4073.86%
1988102.45%$10,6622.45%
198811-1.88%$10,461-1.88%
1988121.29%$10,5961.29%
198912.05%$10,8132.05%
19892-1.71%$10,628-1.71%
198930.86%$10,7190.86%
198942.59%$10,9972.59%
198953.11%$11,3393.11%
198966.07%$12,0276.07%
198972.06%$12,2752.06%
19898-2.90%$11,919-2.90%
198990.15%$11,9370.15%
1989103.88%$12,3993.88%
1989110.83%$12,5030.83%
198912-0.05%$12,496-0.05%
19901-3.67%$12,038-3.67%
19902-0.32%$11,999-0.32%
19903-0.26%$11,968-0.26%
19904-2.84%$11,629-2.84%
199054.49%$12,1514.49%
199062.28%$12,4292.28%
199070.70%$12,5150.70%
19908-4.25%$11,984-4.25%
199091.15%$12,1221.15%
1990102.15%$12,3832.15%
1990114.60%$12,9534.60%
1990122.05%$13,2192.05%
199111.09%$13,3621.09%
199120.50%$13,4290.50%
199130.27%$13,4660.27%
199141.28%$13,6391.28%
19915-0.14%$13,619-0.14%
19916-0.78%$13,512-0.78%
199171.53%$13,7191.53%
199183.49%$14,1973.49%
199192.95%$14,6162.95%
199110-0.08%$14,605-0.08%
1991110.02%$14,6080.02%
1991126.26%$15,5236.26%
19921-3.21%$15,024-3.21%
199220.64%$15,1200.64%
19923-1.10%$14,954-1.10%
19924-0.07%$14,943-0.07%
199252.70%$15,3462.70%
199261.12%$15,5171.12%
199274.02%$16,1414.02%
199280.71%$16,2550.71%
199291.36%$16,4761.36%
199210-1.89%$16,165-1.89%
1992110.50%$16,2450.50%
1992122.63%$16,6722.63%
199312.85%$17,1472.85%
199323.20%$17,6963.20%
199330.19%$17,7300.19%
199340.76%$17,8650.76%
199350.38%$17,9330.38%
199364.17%$18,6804.17%
199371.39%$18,9401.39%
199383.99%$19,6963.99%
199390.33%$19,7600.33%
1993100.62%$19,8820.62%
199311-2.48%$19,389-2.48%
1993120.42%$19,4710.42%
199412.23%$19,9062.23%
19942-3.99%$19,111-3.99%
19943-3.82%$18,380-3.82%
19944-1.29%$18,144-1.29%
19945-0.47%$18,059-0.47%
19946-0.81%$17,912-0.81%
199472.94%$18,4382.94%
19948-0.67%$18,315-0.67%
19949-3.00%$17,766-3.00%
199410-0.36%$17,703-0.36%
1994110.62%$17,8130.62%
1994121.62%$18,1001.62%
199512.62%$18,5752.62%
199522.73%$19,0822.73%
199530.72%$19,2200.72%
199541.65%$19,5381.65%
199557.52%$21,0087.52%
199561.13%$21,2451.13%
19957-1.40%$20,948-1.40%
199582.05%$21,3782.05%
199591.81%$21,7661.81%
1995102.97%$22,4112.97%
1995112.31%$22,9292.31%
1995122.70%$23,5472.70%
19961-0.05%$23,535-0.05%
19962-4.93%$22,375-4.93%
19963-1.98%$21,933-1.98%
19964-1.78%$21,543-1.78%
19965-0.46%$21,444-0.46%
199662.14%$21,9022.14%
19967-0.05%$21,891-0.05%
19968-1.29%$21,608-1.29%
199692.79%$22,2112.79%
1996103.88%$23,0733.88%
1996113.24%$23,8203.24%
199612-2.38%$23,252-2.38%
19971-0.65%$23,099-0.65%
19972-0.11%$23,075-0.11%
19973-2.29%$22,545-2.29%
199742.35%$23,0752.35%
199750.98%$23,3010.98%
199761.78%$23,7161.78%
199775.34%$24,9815.34%
19978-2.57%$24,338-2.57%
199792.63%$24,9792.63%
1997102.99%$25,7262.99%
1997111.27%$26,0531.27%
1997121.66%$26,4841.66%
199811.91%$26,9911.91%
19982-0.75%$26,787-0.75%
199830.14%$26,8250.14%
199840.40%$26,9340.40%
199851.83%$27,4281.83%
199862.35%$28,0732.35%
19987-0.51%$27,928-0.51%
199884.83%$29,2774.83%
199893.29%$30,2393.29%
199810-1.69%$29,726-1.69%
1998110.88%$29,9890.88%
199812-0.16%$29,941-0.16%
199910.98%$30,2350.98%
19992-4.76%$28,797-4.76%
19993-0.34%$28,698-0.34%
199940.19%$28,7530.19%
19995-1.68%$28,270-1.68%
19996-1.05%$27,972-1.05%
19997-0.58%$27,810-0.58%
19998-0.49%$27,674-0.49%
199990.91%$27,9250.91%
1999100.12%$27,9580.12%
199911-0.59%$27,793-0.59%
199912-1.60%$27,348-1.60%
200011.25%$27,6911.25%
200022.96%$28,5102.96%
200033.14%$29,4043.14%
20004-0.66%$29,209-0.66%
20005-0.46%$29,076-0.46%
200062.30%$29,7442.30%
200071.49%$30,1861.49%
200082.08%$30,8132.08%
20009-0.85%$30,550-0.85%
2000101.57%$31,0291.57%
2000112.99%$31,9582.99%
2000122.45%$32,7422.45%
200110.28%$32,8350.28%
200121.80%$33,4261.80%
20013-0.60%$33,224-0.60%
20014-2.56%$32,373-2.56%
200150.21%$32,4390.21%
200160.76%$32,6860.76%
200173.61%$33,8663.61%
200182.02%$34,5522.02%
200190.88%$34,8560.88%
2001105.12%$36,6415.12%
200111-5.07%$34,785-5.07%
200112-1.82%$34,152-1.82%
200211.20%$34,5621.20%
200221.24%$34,9921.24%
20023-3.86%$33,642-3.86%
200243.73%$34,8993.73%
200250.39%$35,0350.39%
200261.76%$35,6501.76%
200272.93%$36,6942.93%
200284.28%$38,2654.28%
200294.02%$39,8014.02%
200210-2.84%$38,672-2.84%
200211-0.98%$38,295-0.98%
2002124.05%$39,8474.05%
20031-0.45%$39,669-0.45%
200323.03%$40,8703.03%
20033-1.13%$40,407-1.13%
200340.91%$40,7730.91%
200355.67%$43,0875.67%
20036-1.48%$42,447-1.48%
20037-8.57%$38,808-8.57%
200381.43%$39,3611.43%
200395.07%$41,3565.07%
200310-2.58%$40,289-2.58%
2003110.31%$40,4160.31%
2003121.23%$40,9141.23%
200411.74%$41,6271.74%
200421.96%$42,4441.96%
200431.45%$43,0571.45%
20044-5.52%$40,681-5.52%
20045-0.56%$40,454-0.56%
200460.87%$40,8060.87%
200471.52%$41,4251.52%
200483.39%$42,8283.39%
200490.94%$43,2280.94%
2004101.46%$43,8601.46%
200411-2.25%$42,873-2.25%
2004122.22%$43,8272.22%
200512.59%$44,9632.59%
20052-1.24%$44,406-1.24%
20053-0.76%$44,070-0.76%
200543.22%$45,4913.22%
200552.55%$46,6512.55%
200561.64%$47,4171.64%
20057-2.58%$46,194-2.58%
200582.87%$47,5212.87%
20059-2.78%$46,201-2.78%
200510-1.74%$45,398-1.74%
2005110.57%$45,6590.57%
2005122.33%$46,7232.33%
20061-0.90%$46,303-0.90%
200620.81%$46,6760.81%
20063-3.39%$45,092-3.39%
20064-1.96%$44,209-1.96%
20065-0.03%$44,196-0.03%
200660.71%$44,5080.71%
200671.84%$45,3271.84%
200682.74%$46,5682.74%
200691.58%$47,3031.58%
2006100.77%$47,6670.77%
2006111.91%$48,5761.91%
200612-2.14%$47,538-2.14%
20071-0.85%$47,135-0.85%
200722.93%$48,5152.93%
20073-1.13%$47,968-1.13%
200740.86%$48,3780.86%
20075-1.93%$47,444-1.93%
20076-0.88%$47,025-0.88%
200772.39%$48,1472.39%
200781.97%$49,0971.97%
200790.21%$49,2010.21%
2007101.40%$49,8901.40%
2007114.59%$52,1824.59%
200712-0.48%$51,932-0.48%
200812.64%$53,3042.64%
200820.35%$53,4900.35%
200831.02%$54,0371.02%
20084-1.84%$53,043-1.84%
20085-2.13%$51,914-2.13%
200861.80%$52,8481.80%
200870.30%$53,0040.30%
200881.80%$53,9611.80%
200890.28%$54,1130.28%
200810-3.63%$52,150-3.63%
20081112.07%$58,44312.07%
2008128.87%$63,6258.87%
20091-8.47%$58,236-8.47%
20092-1.01%$57,648-1.01%
200935.27%$60,6845.27%
20094-4.99%$57,656-4.99%
20095-2.68%$56,113-2.68%
200960.70%$56,5070.70%
200970.80%$56,9590.80%
200981.68%$57,9171.68%
200991.98%$59,0661.98%
200910-1.45%$58,207-1.45%
2009111.91%$59,3161.91%
200912-5.66%$55,959-5.66%
201012.66%$57,4482.66%
20102-0.21%$57,329-0.21%
20103-1.51%$56,462-1.51%
201042.76%$58,0192.76%
201054.23%$60,4754.23%
201064.67%$63,2974.67%
20107-0.17%$63,188-0.17%
201087.08%$67,6617.08%
20109-1.82%$66,429-1.82%
201010-3.29%$64,244-3.29%
201011-1.60%$63,217-1.60%
201012-3.58%$60,956-3.58%
20111-2.38%$59,508-2.38%
201121.24%$60,2431.24%
201130.02%$60,2560.02%
201142.04%$61,4852.04%
201153.29%$63,5093.29%
20116-2.00%$62,241-2.00%
201174.18%$64,8434.18%
201188.68%$70,4728.68%
2011910.16%$77,63410.16%
201110-3.34%$75,045-3.34%
2011111.82%$76,4081.82%
2011123.13%$78,8023.13%
201210.08%$78,8640.08%
20122-2.11%$77,198-2.11%
20123-3.77%$74,290-3.77%
201244.37%$77,5364.37%
201257.79%$83,5757.79%
20126-1.44%$82,368-1.44%
201273.32%$85,1043.32%
20128-1.06%$84,200-1.06%
20129-2.10%$82,434-2.10%
201210-0.43%$82,077-0.43%
2012111.35%$83,1851.35%
201212-1.99%$81,533-1.99%
20131-3.27%$78,863-3.27%
201321.26%$79,8581.26%
201330.03%$79,8860.03%
201343.87%$82,9773.87%
20135-6.23%$77,808-6.23%
20136-3.26%$75,275-3.26%
20137-1.93%$73,823-1.93%
20138-1.28%$72,877-1.28%
201390.88%$73,5170.88%
2013101.32%$74,4911.32%
201311-2.49%$72,636-2.49%
201312-2.37%$70,913-2.37%
201416.26%$75,3516.26%
201420.60%$75,8020.60%
201430.63%$76,2770.63%
201441.82%$77,6641.82%
201452.73%$79,7832.73%
20146-0.16%$79,658-0.16%
201470.59%$80,1310.59%
201484.23%$83,5204.23%
20149-1.99%$81,860-1.99%
2014102.61%$83,9992.61%
2014112.86%$86,4032.86%
2014122.82%$88,8372.82%
201518.97%$96,8028.97%
20152-5.66%$91,326-5.66%
201531.13%$92,3541.13%
20154-3.07%$89,520-3.07%
20155-2.16%$87,586-2.16%
20156-3.73%$84,322-3.73%
201574.21%$87,8704.21%
20158-0.71%$87,243-0.71%
201591.91%$88,9101.91%
201510-0.48%$88,484-0.48%
201511-0.81%$87,770-0.81%
201512-0.34%$87,472-0.34%
201615.24%$92,0525.24%
201622.86%$94,6842.86%
201630.05%$94,7340.05%
20164-0.63%$94,139-0.63%
201650.69%$94,7840.69%
201666.57%$101,0146.57%
201672.01%$103,0432.01%
20168-1.00%$102,012-1.00%
20169-1.32%$100,669-1.32%
201610-4.23%$96,408-4.23%
201611-7.86%$88,833-7.86%
201612-0.35%$88,521-0.35%
201710.65%$89,0940.65%
201721.57%$90,4911.57%
20173-0.59%$89,958-0.59%
201741.58%$91,3821.58%
201751.73%$92,9621.73%
201760.63%$93,5520.63%
20177-0.59%$92,998-0.59%
201783.27%$96,0413.27%
20179-2.27%$93,862-2.27%
201710-0.02%$93,844-0.02%
2017110.63%$94,4370.63%
2017121.78%$96,1201.78%
20181-3.40%$92,847-3.40%
20182-2.89%$90,168-2.89%
201832.75%$92,6512.75%
20184-2.04%$90,764-2.04%
201851.79%$92,3931.79%
201860.66%$93,0020.66%
20187-1.28%$91,810-1.28%
201881.18%$92,8981.18%
20189-2.74%$90,350-2.74%
201810-2.82%$87,804-2.82%
2018111.78%$89,3711.78%
2018125.50%$94,2895.50%
201910.49%$94,7540.49%
20192-1.31%$93,517-1.31%
201935.47%$98,6335.47%
20194-1.88%$96,779-1.88%
201956.65%$103,2176.65%
201961.01%$104,2581.01%
201970.22%$104,4850.22%
2019810.68%$115,64110.68%
20199-2.62%$112,612-2.62%
201910-1.10%$111,370-1.10%
201911-0.39%$110,931-0.39%
201912-3.00%$107,608-3.00%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value0.00%
Large-cap Growth0.00%
Mid-cap Value0.00%
Mid-cap Growth0.25%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets1.11%
Corporate Bonds0.00%
Long-Term Treasuries74.85%
Intermediate-Term Treasuries23.80%
Short-Term Treasuries0.00%
R Squared98.16%
Style analysis is based on monthly returns from Apr 2005 to Dec 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 Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERDurationReturn ContributionRisk Contribution
VUSTXVanguard Long-Term Treasury InvLong Government100.00%0.20%18.41$97,608100.00%

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 08/12/2020. (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 1
Arithmetic Mean (monthly)0.64%
Arithmetic Mean (annualized)7.97%
Geometric Mean (monthly)0.60%
Geometric Mean (annualized)7.47%
Volatility (monthly)2.83%
Volatility (annualized)9.81%
Downside Deviation (monthly)1.61%
Max. Drawdown-16.68%
US Market Correlation-0.13
Beta(*)-0.09
Alpha (annualized)8.64%
R21.70%
Sharpe Ratio0.47
Sortino Ratio0.77
Treynor Ratio (%)-53.60
Calmar Ratio0.78
Active Return-2.88%
Tracking Error18.92%
Information Ratio-0.15
Skewness0.29
Excess Kurtosis1.48
Historical Value-at-Risk (5%)-3.72%
Analytical Value-at-Risk (5%)-4.02%
Conditional Value-at-Risk (5%)-5.27%
Upside Capture Ratio (%)12.00
Downside Capture Ratio (%)-26.67
Safe Withdrawal Rate6.16%
Perpetual Withdrawal Rate4.54%
Positive Periods238 out of 396 (60.10%)
Gain/Loss Ratio1.21
* 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 1
Black Monday PeriodSep 1987Nov 1987-3.72%
Asian CrisisJul 1997Jan 1998-2.57%
Russian Debt DefaultJul 1998Oct 1998-1.69%
Dotcom CrashMar 2000Oct 2002-8.18%
Subprime CrisisNov 2007Mar 2009-9.39%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Aug 2012Dec 20131 year 5 monthsNov 201411 months2 years 4 months-16.68%
2Aug 2016Oct 20182 years 3 monthsMay 20197 months2 years 10 months-14.79%
3Feb 2015Jun 20155 monthsJun 20161 year1 year 5 months-12.89%
4Mar 1987Sep 19877 monthsFeb 19885 months1 year-12.25%
5Sep 2010Jan 20115 monthsAug 20117 months1 year-12.05%
6Jan 2009Dec 20091 yearAug 20108 months1 year 8 months-12.05%
7Feb 1994Oct 19949 monthsMay 19957 months1 year 4 months-11.07%
8Jun 2003Jul 20032 monthsSep 20041 year 2 months1 year 4 months-9.93%
9Oct 1998Dec 19991 year 3 monthsAug 20008 months1 year 11 months-9.56%
10Jan 1996May 19965 monthsNov 19966 months11 months-8.93%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VUSTXVanguard Long-Term Treasury Inv7.47%9.81%30.09%-13.03%-16.68%0.470.77-0.13

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year8.02%30.09%-13.03%
3 years7.70%13.78%2.37%
5 years7.69%12.94%2.19%
7 years7.65%12.08%2.60%
10 years7.69%10.95%4.01%
15 years7.64%9.87%5.72%
Result statistics are based on annualized rolling returns over full calendar year periods