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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Portfolio Analysis Results (Jan 2010 - Dec 2019)

Portfolio Allocations

iShares 10+ Year Invmt Grd Corp Bd ETF
Ticker Name Allocation
IGLB iShares 10+ Year Invmt Grd Corp Bd ETF 100.00%
Save portfolio »
iShares Preferred&Income Securities ETF
Ticker Name Allocation
PFF iShares Preferred&Income Securities ETF 100.00%
Save portfolio »
Vanguard Utilities ETF
Ticker Name Allocation
VPU Vanguard Utilities ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
iShares 10+ Year Invmt Grd Corp Bd ETF$950,000$1,254,188 2.82% 8.00%23.12%-7.84%-14.83% 0.871.480.04
iShares Preferred&Income Securities ETF$950,000$973,038 0.24% 6.16%18.14%-4.63%-16.04% 0.961.750.54
Vanguard Utilities ETF$950,000$2,082,625 8.17% 11.55%26.94%-4.82%-14.02% 0.991.610.32
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
iShares 10+ Year Invmt Grd Corp Bd ETF1.23%23.12%8.73%5.94%7.48%7.48%7.17%8.22%
iShares Preferred&Income Securities ETF1.89%15.88%6.10%4.75%6.49%6.49%5.00%4.74%
Vanguard Utilities ETF0.18%24.87%13.63%10.42%11.98%11.98%9.79%11.49%
Trailing annualized return and volatility are for full months ending in December 2019 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 assume that dividends and distributions are withdrawn as cash rather than being 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 no rebalancing of portfolio assets per parameterization. See the allocation drift section for details
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
  • The annual yield as a percentage is based on the portfolio asset allocation and is not impacted by cashflows.
Annual returns for the configured portfolios
YearInflationiShares 10+ Year Invmt Grd Corp Bd ETFiShares Preferred&Income Securities ETFVanguard Utilities ETFiShares 10+ Year Invmt Grd Corp Bd ETF (IGLB)iShares Preferred&Income Securities ETF (PFF)Vanguard Utilities ETF (VPU)
ReturnBalanceYieldIncomeReturnBalanceYieldIncomeReturnBalanceYieldIncome
20101.50%10.60%$996,6535.55%$52,76713.75%$1,004,3607.75%$73,6197.05%$977,6933.90%$37,02110.65%13.81%7.04%
20112.96%16.76%$1,110,2774.96%$49,438-2.00%$922,0446.41%$64,35118.90%$1,120,6743.96%$38,75516.81%-2.00%18.96%
20121.74%11.02%$1,178,9414.65%$51,58418.14%$1,025,5866.69%$61,7141.82%$1,097,4993.90%$43,68111.06%18.20%1.83%
20131.50%-7.84%$1,034,8424.46%$52,542-0.98%$953,3656.14%$63,00514.84%$1,213,8084.16%$45,649-7.84%-0.98%14.88%
20140.76%16.62%$1,157,3074.60%$47,63214.03%$1,020,9266.77%$64,53326.94%$1,491,7543.71%$45,02216.68%14.11%26.99%
20150.73%-5.48%$1,047,2574.14%$47,9144.26%$1,005,6545.68%$57,984-4.82%$1,369,0323.34%$49,759-5.51%4.27%-4.82%
20162.07%9.83%$1,104,2574.44%$46,4731.29%$963,2025.61%$56,37917.54%$1,559,6733.63%$49,7459.87%1.30%17.60%
20172.11%12.10%$1,188,9114.24%$46,8608.07%$985,4635.72%$55,11012.51%$1,699,3023.46%$54,03012.15%8.10%12.46%
20181.91%-6.88%$1,059,1094.07%$48,347-4.63%$886,0635.68%$55,9394.42%$1,717,3753.27%$55,487-6.89%-4.63%4.37%
20192.29%23.12%$1,254,1884.42%$46,80415.88%$973,0385.83%$51,66824.87%$2,082,6253.43%$58,83923.19%15.92%24.87%
Monthly returns for the configured portfolios
YearMonthiShares 10+ Year Invmt Grd Corp Bd ETFiShares Preferred&Income Securities ETFVanguard Utilities ETFiShares 10+ Year Invmt Grd Corp Bd ETF (IGLB)iShares Preferred&Income Securities ETF (PFF)Vanguard Utilities ETF (VPU)
ReturnBalanceReturnBalanceReturnBalance
201011.50%$964,2970.98%$959,319-4.50%$907,2951.50%0.98%-4.50%
20102-0.43%$955,6443.67%$989,605-0.96%$898,550-0.43%3.68%-0.96%
201030.56%$956,7721.78%$1,002,2892.99%$917,0600.56%1.79%3.00%
201042.94%$980,2870.05%$997,3712.99%$944,4612.96%0.05%2.99%
20105-1.74%$958,653-4.31%$947,929-5.86%$889,076-1.75%-4.34%-5.86%
201064.03%$993,6441.87%$959,319-0.79%$873,0444.04%1.88%-0.81%
201072.72%$1,016,2186.85%$1,018,5977.33%$937,0282.73%6.89%7.33%
201084.17%$1,054,0302.28%$1,033,8691.03%$946,6484.19%2.30%1.03%
20109-0.57%$1,044,4360.37%$1,029,7283.26%$968,219-0.57%0.37%3.26%
201010-1.89%$1,020,1680.15%$1,025,3271.34%$981,191-1.90%0.15%1.34%
201011-0.30%$1,012,832-0.61%$1,013,678-2.41%$957,579-0.31%-0.62%-2.41%
201012-0.62%$996,6530.27%$1,004,3603.19%$977,693-0.61%0.27%3.19%
20111-1.36%$983,1090.72%$1,011,6081.45%$991,830-1.36%0.72%1.45%
201121.18%$990,2571.64%$1,022,4801.63%$1,008,0091.18%1.65%1.63%
20113-0.03%$985,9310.96%$1,026,3620.77%$1,006,697-0.03%0.97%0.78%
201142.30%$1,004,1781.58%$1,036,9753.88%$1,045,7582.31%1.58%3.88%
201152.66%$1,026,3760.59%$1,037,7521.55%$1,061,9362.67%0.60%1.55%
20116-0.77%$1,013,960-0.55%$1,026,621-0.30%$1,049,110-0.78%-0.55%-0.28%
201174.63%$1,057,040-1.88%$1,001,771-1.11%$1,037,4504.65%-1.89%-1.11%
201180.94%$1,062,495-1.86%$977,6981.80%$1,056,1060.95%-1.87%1.80%
201192.16%$1,082,436-5.17%$921,785-0.44%$1,041,5312.16%-5.20%-0.43%
2011103.50%$1,116,1095.34%$965,7903.97%$1,082,9243.51%5.38%3.97%
201111-3.03%$1,078,297-3.12%$930,3271.06%$1,094,438-3.04%-3.13%1.06%
2011123.69%$1,110,2770.12%$922,0443.32%$1,120,6743.71%0.12%3.33%
201210.07%$1,111,0307.07%$987,275-3.60%$1,080,3010.07%7.07%-3.60%
201220.95%$1,117,2383.03%$1,012,6430.63%$1,087,1510.96%3.04%0.63%
20123-2.32%$1,086,7620.18%$1,010,5721.28%$1,090,795-2.33%0.18%1.29%
201242.27%$1,106,7030.22%$1,007,9841.75%$1,109,8882.28%0.22%1.75%
201252.08%$1,125,515-1.16%$991,6760.17%$1,111,7832.09%-1.17%0.17%
201261.50%$1,137,7432.41%$1,010,3133.85%$1,144,2851.51%2.42%3.87%
201274.97%$1,189,8511.50%$1,020,1502.75%$1,175,7674.99%1.50%2.75%
201280.12%$1,186,8421.47%$1,029,728-3.69%$1,132,3340.12%1.48%-3.69%
201290.20%$1,185,5250.73%$1,031,7981.38%$1,136,5600.20%0.73%1.38%
2012101.85%$1,203,3961.01%$1,036,9751.31%$1,151,4271.86%1.01%1.31%
201211-0.39%$1,194,7430.18%$1,033,351-3.81%$1,107,556-0.39%0.18%-3.81%
201212-0.62%$1,178,9410.39%$1,025,5860.14%$1,097,499-0.62%0.39%0.13%
20131-3.45%$1,138,3071.34%$1,039,3055.19%$1,154,488-3.45%1.34%5.19%
201321.48%$1,151,6630.53%$1,039,8232.31%$1,181,1601.49%0.53%2.31%
20133-0.88%$1,137,3661.12%$1,048,8835.47%$1,235,233-0.88%1.12%5.49%
201344.00%$1,178,5641.05%$1,055,3545.64%$1,304,9024.02%1.05%5.64%
20135-5.20%$1,112,911-0.65%$1,043,965-8.20%$1,197,921-5.23%-0.66%-8.20%
20136-4.92%$1,053,842-2.20%$1,016,7850.95%$1,197,921-4.94%-2.20%0.98%
201371.00%$1,060,050-0.54%$1,007,2074.43%$1,250,9741.01%-0.54%4.43%
20138-1.99%$1,034,842-2.18%$981,063-5.32%$1,184,366-1.99%-2.19%-5.32%
201391.36%$1,044,4360.68%$983,6511.43%$1,189,6131.37%0.68%1.41%
2013102.08%$1,062,1190.92%$988,8283.99%$1,237,1282.09%0.93%3.99%
201311-1.15%$1,045,5640.32%$988,052-2.06%$1,211,622-1.15%0.32%-2.06%
201312-0.03%$1,034,842-1.28%$953,3651.17%$1,213,808-0.03%-1.29%1.18%
201413.51%$1,071,1492.96%$981,5802.75%$1,247,1853.51%2.96%2.75%
201422.16%$1,090,1492.27%$998,6653.32%$1,288,5782.17%2.28%3.32%
201430.68%$1,093,3471.74%$1,010,3133.21%$1,319,3310.68%1.75%3.23%
201442.41%$1,115,5451.83%$1,023,7743.75%$1,368,7402.42%1.84%3.75%
201452.35%$1,137,5541.24%$1,031,540-0.73%$1,358,6842.35%1.25%-0.73%
201460.46%$1,139,0590.61%$1,033,0934.53%$1,409,4050.47%0.61%4.55%
20147-0.25%$1,132,475-0.49%$1,023,256-6.95%$1,311,461-0.24%-0.50%-6.95%
201483.33%$1,166,1491.78%$1,036,4585.15%$1,378,9433.34%1.79%5.15%
20149-2.97%$1,127,584-0.82%$1,022,997-2.64%$1,330,991-2.98%-0.82%-2.65%
2014101.79%$1,143,7621.06%$1,028,9518.37%$1,442,3441.79%1.07%8.37%
2014111.50%$1,156,9311.23%$1,036,7170.81%$1,454,0041.51%1.24%0.81%
2014120.67%$1,157,307-0.13%$1,020,9263.42%$1,491,7540.68%-0.12%3.43%
201515.32%$1,218,8221.32%$1,034,3872.18%$1,524,2565.32%1.32%2.18%
20152-2.73%$1,181,5740.97%$1,039,564-5.94%$1,433,745-2.74%0.97%-5.94%
20153-0.00%$1,177,6240.30%$1,038,270-0.68%$1,412,028-0.00%0.30%-0.69%
20154-1.79%$1,152,6040.01%$1,033,869-0.64%$1,402,992-1.80%0.02%-0.64%
20155-2.69%$1,117,614-0.02%$1,028,9510.37%$1,408,239-2.69%-0.01%0.37%
20156-3.44%$1,075,099-1.00%$1,013,937-6.07%$1,310,586-3.45%-1.01%-6.07%
201571.86%$1,091,0891.36%$1,022,9975.47%$1,382,2951.87%1.36%5.47%
20158-2.00%$1,065,317-0.75%$1,010,572-3.60%$1,332,594-2.01%-0.75%-3.60%
201591.08%$1,072,842-0.68%$999,1832.70%$1,355,7691.08%-0.69%2.71%
2015101.20%$1,081,6832.15%$1,016,2671.95%$1,382,1491.21%2.16%1.95%
201511-0.47%$1,072,6530.66%$1,019,114-2.13%$1,352,708-0.47%0.67%-2.13%
201512-1.62%$1,047,257-0.10%$1,005,6542.15%$1,369,032-1.63%-0.10%2.16%
201610.36%$1,051,020-0.98%$995,8174.69%$1,433,3080.36%-0.98%4.69%
201621.49%$1,062,6830.06%$991,9351.78%$1,458,8141.49%0.06%1.78%
201635.31%$1,115,1682.37%$1,010,3138.15%$1,567,2525.33%2.38%8.17%
201642.21%$1,135,8610.88%$1,014,196-1.95%$1,536,6452.21%0.88%-1.95%
20165-0.45%$1,126,8321.54%$1,025,0681.63%$1,561,714-0.45%1.54%1.63%
201664.94%$1,178,5641.18%$1,032,5757.64%$1,668,8404.95%1.18%7.67%
201672.60%$1,205,4651.39%$1,042,411-0.89%$1,653,9742.61%1.39%-0.89%
201680.42%$1,206,5940.02%$1,038,011-5.43%$1,564,1910.42%0.02%-5.43%
20169-1.05%$1,190,040-1.07%$1,022,4800.52%$1,558,944-1.05%-1.07%0.51%
201610-2.64%$1,154,673-0.97%$1,008,2430.90%$1,572,936-2.65%-0.97%0.90%
201611-5.35%$1,089,020-3.31%$970,191-4.54%$1,501,519-5.37%-3.33%-4.54%
2016122.10%$1,104,2570.31%$963,2024.79%$1,559,6732.11%0.31%4.81%
201710.55%$1,110,2772.39%$986,2401.17%$1,577,8920.55%2.39%1.17%
201721.84%$1,126,8322.08%$1,001,7714.95%$1,656,0141.85%2.09%4.95%
20173-0.75%$1,114,4160.49%$1,001,771-0.05%$1,641,585-0.75%0.50%-0.06%
201741.53%$1,127,5841.29%$1,009,7960.67%$1,652,5161.53%1.30%0.67%
201752.23%$1,148,8420.55%$1,010,5724.00%$1,718,6872.24%0.55%4.00%
201761.27%$1,159,5640.80%$1,013,937-2.36%$1,665,3421.27%0.80%-2.37%
201770.58%$1,162,3860.66%$1,016,0082.65%$1,709,5040.58%0.66%2.65%
201781.24%$1,172,921-0.06%$1,010,8312.90%$1,759,0601.24%-0.06%2.90%
20179-0.13%$1,167,465-0.16%$1,004,619-2.44%$1,702,071-0.13%-0.16%-2.44%
2017100.69%$1,171,604-0.37%$996,3353.91%$1,768,6790.69%-0.37%3.91%
2017110.51%$1,173,6730.68%$998,1472.89%$1,819,8370.51%0.68%2.89%
2017121.98%$1,188,911-0.52%$985,463-5.87%$1,699,3021.99%-0.52%-5.90%
20181-1.04%$1,176,495-1.18%$973,815-3.13%$1,646,103-1.04%-1.18%-3.13%
20182-3.91%$1,126,6440.26%$971,485-4.11%$1,578,475-3.92%0.27%-4.11%
201831.03%$1,134,3560.54%$972,2624.02%$1,629,6331.04%0.54%4.02%
20184-2.40%$1,103,129-0.70%$961,1312.47%$1,669,860-2.41%-0.70%2.47%
201850.25%$1,102,0000.81%$964,237-0.31%$1,664,6130.25%0.81%-0.31%
20186-0.74%$1,089,9601.76%$976,1442.42%$1,690,120-0.74%1.76%2.42%
201872.05%$1,108,2080.20%$973,0381.67%$1,718,3952.06%0.19%1.67%
20188-0.30%$1,100,8711.40%$982,0981.15%$1,738,217-0.30%1.41%1.15%
20189-0.06%$1,096,168-1.71%$961,131-0.38%$1,717,958-0.06%-1.71%-0.38%
201810-3.82%$1,050,079-2.24%$935,5041.17%$1,738,071-3.84%-2.24%1.17%
201811-0.74%$1,038,040-2.22%$910,6543.92%$1,806,137-0.75%-2.23%3.92%
2018122.83%$1,059,109-1.52%$886,063-4.09%$1,717,3752.84%-1.53%-4.15%
201913.69%$1,098,2385.64%$936,0223.72%$1,781,2143.69%5.64%3.72%
20192-0.61%$1,087,5150.58%$937,0573.88%$1,850,299-0.61%0.58%3.88%
201934.77%$1,135,2971.46%$946,1172.83%$1,888,9234.79%1.46%2.83%
201940.18%$1,133,2280.68%$947,9290.86%$1,905,2470.18%0.68%0.86%
201952.30%$1,155,2380.25%$945,858-0.87%$1,888,6312.30%0.25%-0.87%
201964.16%$1,199,2571.31%$953,8833.34%$1,937,4584.17%1.31%3.33%
201970.79%$1,204,7131.79%$966,826-0.21%$1,933,3770.79%1.80%-0.21%
201985.97%$1,272,6240.60%$968,3794.83%$2,026,8035.98%0.60%4.83%
20199-1.20%$1,253,4360.75%$971,4854.08%$2,093,702-1.20%0.75%4.08%
2019100.19%$1,252,1190.42%$971,485-0.86%$2,075,6290.19%0.43%-0.86%
2019110.69%$1,256,822-0.44%$962,943-1.98%$2,034,5270.69%-0.44%-1.98%
2019120.35%$1,254,1881.91%$973,0383.10%$2,082,6250.35%1.92%3.11%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryiShares 10+ Year Invmt Grd Corp Bd ETF
Large-cap Value0.00%
Large-cap Growth0.00%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets7.64%
Corporate Bonds66.89%
Long-Term Treasuries25.47%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared87.90%
Style analysis is based on monthly returns from January 2010 to December 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 iShares 10+ Year Invmt Grd Corp Bd ETF

Holdings Based Style Analysis for iShares 10+ Year Invmt Grd Corp Bd ETF
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
IGLBiShares 10+ Year Invmt Grd Corp Bd ETFLong-Term Bond100.00%3.14%0.06%14.83$794,548100.00%
Return contribution includes $490,360 cash distribution from dividends that were not reinvested

Asset Allocation

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for iShares Preferred&Income Securities ETF

Holdings Based Style Analysis for iShares Preferred&Income Securities ETF
TickerNameCategoryWeightYieldFeesDurationReturn ContributionRisk Contribution
PFFiShares Preferred&Income Securities ETFPreferred Stock100.00%4.45%0.46%3.06$627,339100.00%
Return contribution includes $604,301 cash distribution from dividends that were not reinvested

Asset Allocation

Equity Sectors

Fixed Income Credit Quality

Holdings Based Style Analysis for Vanguard Utilities ETF

Holdings Based Style Analysis for Vanguard Utilities ETF
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VPUVanguard Utilities ETFUtilities100.00%2.80%0.10%23.66$1,610,613100.00%
Return contribution includes $477,988 cash distribution from dividends that were not reinvested

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/27/2021. (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
MetriciShares 10+ Year Invmt Grd Corp Bd ETFiShares Preferred&Income Securities ETFVanguard Utilities ETF
Arithmetic Mean (monthly)0.63%0.54%1.00%
Arithmetic Mean (annualized)7.81%6.69%12.72%
Geometric Mean (monthly)0.60%0.53%0.95%
Geometric Mean (annualized)2.82%0.24%8.17%
Volatility (monthly)2.31%1.78%3.33%
Volatility (annualized)8.00%6.16%11.55%
Downside Deviation (monthly)1.34%0.96%2.04%
Max. Drawdown-14.83%-16.04%-14.02%
US Market Correlation0.040.540.32
Beta(*)0.020.260.29
Alpha (annualized)7.23%3.04%8.20%
R20.15%29.10%10.21%
Sharpe Ratio0.870.960.99
Sortino Ratio1.481.751.61
Treynor Ratio (%)290.3222.9840.00
Calmar Ratio0.920.821.08
Active Return-5.82%-6.81%-1.32%
Tracking Error14.89%10.86%14.28%
Information Ratio-0.39-0.63-0.09
Skewness-0.170.47-0.48
Excess Kurtosis0.063.400.04
Historical Value-at-Risk (5%)-3.44%-2.20%-5.45%
Analytical Value-at-Risk (5%)-3.17%-2.38%-4.48%
Conditional Value-at-Risk (5%)-4.44%-3.40%-6.48%
Upside Capture Ratio (%)20.7030.9746.85
Downside Capture Ratio (%)-14.6217.047.82
Safe Withdrawal Rate13.60%13.09%15.72%
Perpetual Withdrawal Rate5.33%4.45%9.13%
Positive Periods74 out of 120 (61.67%)84 out of 120 (70.00%)80 out of 120 (66.67%)
Gain/Loss Ratio1.251.021.04
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for iShares 10+ Year Invmt Grd Corp Bd ETF

Drawdowns for iShares 10+ Year Invmt Grd Corp Bd ETF
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Nov 20183 years 10 monthsAug 20199 months4 years 7 months-14.83%
2Nov 2012Aug 201310 monthsJan 20151 year 5 months2 years 3 months-14.01%
3Sep 2010Jan 20115 monthsJul 20116 months11 months-6.73%
4Nov 2011Nov 20111 monthFeb 20123 months4 months-3.39%
5Mar 2012Mar 20121 monthMay 20122 months3 months-2.73%
6May 2010May 20101 monthJun 20101 month2 months-2.21%
7Sep 2019Oct 20192 months-1.61%
8Feb 2010Feb 20101 monthApr 20102 months3 months-0.90%
9Aug 2012Sep 20122 monthsOct 20121 month3 months-0.36%

Drawdowns for iShares Preferred&Income Securities ETF

Drawdowns for iShares Preferred&Income Securities ETF
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1May 2013Dec 20185 years 8 months-16.04%
2Jun 2011Sep 20114 monthsJan 20131 year 4 months1 year 8 months-11.17%
3Apr 2010May 20102 monthsJul 20102 months4 months-5.42%
4Sep 2010Dec 20104 monthsApr 20114 months8 months-2.85%

Drawdowns for Vanguard Utilities ETF

Drawdowns for Vanguard Utilities ETF (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2015Jun 20155 monthsMar 20169 months1 year 2 months-14.02%
2Dec 2017Feb 20183 monthsFeb 20191 year1 year 3 months-13.26%
3Jul 2016Nov 20165 monthsMay 20176 months11 months-10.03%
4May 2013Aug 20134 monthsMar 20147 months11 months-9.24%
5Jan 2010Jun 20106 monthsSep 20103 months9 months-8.10%
6Jul 2014Jul 20141 monthOct 20143 months4 months-6.95%
7Aug 2012Dec 20125 monthsFeb 20132 months7 months-6.66%
8Jan 2012Jan 20121 monthJun 20125 months6 months-3.60%
9Sep 2017Sep 20171 monthOct 20171 month2 months-3.24%
10Jun 2017Jun 20171 monthAug 20172 months3 months-3.10%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
IGLBiShares 10+ Year Invmt Grd Corp Bd ETF7.50%8.02%23.19%-7.84%-10.81%0.881.480.04
PFFiShares Preferred&Income Securities ETF6.52%6.18%18.20%-4.63%-9.23%0.961.750.54
VPUVanguard Utilities ETF11.99%11.56%26.99%-4.82%-12.59%0.991.610.32

Monthly Correlations

Correlations for the portfolio assets
TickerNameIGLBPFFVPUiShares 10+ Year Invmt Grd Corp Bd ETFiShares Preferred&Income Securities ETFVanguard Utilities ETF
IGLBiShares 10+ Year Invmt Grd Corp Bd ETF1.000.410.441.000.410.44
PFFiShares Preferred&Income Securities ETF0.411.000.340.411.000.34
VPUVanguard Utilities ETF0.440.341.000.440.341.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNameiShares 10+ Year Invmt Grd Corp Bd ETFiShares Preferred&Income Securities ETFVanguard Utilities ETF
IGLBiShares 10+ Year Invmt Grd Corp Bd ETF$794,548
PFFiShares Preferred&Income Securities ETF$627,339
VPUVanguard Utilities ETF$1,610,613
Return contribution includes cash distribution from dividends that were not reinvested

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNameiShares 10+ Year Invmt Grd Corp Bd ETFiShares Preferred&Income Securities ETFVanguard Utilities ETF
IGLBiShares 10+ Year Invmt Grd Corp Bd ETF100.00%
PFFiShares Preferred&Income Securities ETF100.00%
VPUVanguard Utilities ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodiShares 10+ Year Invmt Grd Corp Bd ETFiShares Preferred&Income Securities ETFVanguard Utilities ETF
AverageHighLowAverageHighLowAverageHighLow
1 year7.00%26.17%-9.92%5.92%18.83%-4.63%12.63%31.55%-4.82%
3 years5.75%12.76%0.53%5.78%10.17%1.44%11.91%16.30%6.06%
5 years5.63%9.84%3.03%5.85%8.43%4.11%11.73%15.11%8.66%
7 years5.68%7.34%3.52%5.74%7.39%4.91%11.91%13.90%10.02%