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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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 - Jun 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
FMAGX Fidelity Magellan 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 80.00%
VUSTX Vanguard Long-Term Treasury Inv 20.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
FMAGX Fidelity Magellan 80.00%
VUSTX Vanguard Long-Term Treasury Inv 20.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$516,320 12.49% 10.08%9.59%16.91%41.13%-49.40%-58.26%
(-57.03%)
0.470.670.96
Portfolio 2$10,000$550,707 12.71% 10.15%9.85%11.91%35.98%-25.11%-39.38%
(-37.80%)
0.620.900.97
Portfolio 3$10,000$547,982 12.69% 10.21%9.83%13.32%36.31%-35.02%-45.00%
(-43.52%)
0.570.830.95
* 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.
  • The annual results for 2020 are based on monthly returns from January to June
  • 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 annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted annual 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
YearInflationReturnBalanceFidelity Magellan (FMAGX)Vanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
19874.43%1.00%3.18%0.22%$11,144$11,362$11,066$1,0441.00%4.71%-2.92%
19884.42%22.76%14.81%20.04%$14,772$14,135$14,374$1,09022.76%16.22%9.15%
19894.65%34.58%28.68%31.25%$21,022$19,330$20,008$1,14134.58%31.36%17.93%
19906.11%-4.51%-1.50%-2.45%$21,285$20,250$20,728$1,211-4.51%-3.32%5.78%
19913.06%41.03%27.66%36.31%$31,266$27,100$29,503$1,24841.03%30.22%17.43%
19922.90%7.01%7.42%7.09%$34,743$30,395$32,879$1,2847.01%7.42%7.41%
19932.75%24.66%11.27%23.08%$44,629$35,140$41,789$1,31924.66%9.89%16.79%
19942.67%-1.81%-0.47%-2.86%$45,176$36,331$41,950$1,355-1.81%1.18%-7.04%
19952.54%36.82%35.98%35.48%$63,200$50,790$58,221$1,38936.82%37.45%30.09%
19963.32%11.69%18.05%9.10%$72,022$61,393$64,954$1,43511.69%22.88%-1.26%
19971.70%26.59%29.33%24.05%$92,633$80,862$82,037$1,46026.59%33.19%13.90%
19981.61%33.63%25.50%29.51%$125,265$102,968$107,731$1,48333.63%28.62%13.05%
19992.68%24.05%15.12%17.51%$156,910$120,063$128,113$1,52324.05%21.07%-8.66%
20003.39%-9.29%-3.30%-3.49%$143,901$117,675$125,215$1,575-9.29%-9.06%19.72%
20011.55%-11.65%-8.76%-8.46%$128,734$108,969$116,221$1,599-11.65%-12.02%4.31%
20022.38%-23.66%-14.38%-15.60%$99,908$94,935$99,733$1,637-23.66%-22.15%16.67%
20031.88%24.82%23.34%20.39%$126,375$118,758$121,740$1,66824.82%28.50%2.68%
20043.26%7.49%10.02%7.42%$137,567$132,375$132,493$1,7227.49%10.74%7.12%
20053.42%6.42%5.14%6.46%$148,179$140,962$142,830$1,7816.42%4.77%6.61%
20062.54%7.22%12.86%6.12%$160,699$160,919$153,400$1,8267.22%15.64%1.74%
20074.08%18.83%6.16%16.91%$192,854$172,729$181,240$1,90118.83%5.39%9.24%
20080.09%-49.40%-25.11%-35.02%$99,489$131,253$119,680$1,903-49.40%-37.02%22.52%
20092.72%41.13%18.78%30.49%$142,363$157,855$158,130$1,95441.13%26.49%-12.05%
20101.50%12.41%13.72%11.71%$162,009$181,492$178,632$1,98412.41%14.91%8.93%
20112.96%-11.55%7.43%-3.39%$145,334$197,016$174,624$2,042-11.55%1.97%29.28%
20121.74%17.99%13.35%15.08%$173,557$225,401$203,043$2,07817.99%15.82%3.47%
20131.50%35.30%23.14%25.63%$236,924$279,657$257,195$2,10935.30%32.18%-13.03%
20140.76%14.08%15.86%16.32%$272,398$326,142$301,285$2,12514.08%13.51%25.28%
20150.73%4.06%0.69%2.94%$285,585$330,537$312,273$2,1414.06%1.25%-1.54%
20162.07%5.24%9.69%4.43%$302,737$364,762$328,300$2,1855.24%11.82%1.20%
20172.11%26.51%19.05%22.93%$385,235$436,484$405,803$2,23126.51%21.67%8.58%
20181.91%-5.60%-4.00%-4.86%$365,929$421,297$388,345$2,274-5.60%-4.52%-1.90%
20192.29%31.16%27.89%27.75%$482,277$541,109$498,448$2,32631.16%31.33%14.13%
2020-0.23%7.06%1.77%9.94%$516,320$550,707$547,982$0.007.06%-3.15%21.45%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceFidelity Magellan (FMAGX)Vanguard 500 Index Investor (VFINX)Vanguard Long-Term Treasury Inv (VUSTX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
1987113.00%10.87%10.66%$11,300$11,087$11,06613.00%13.27%1.30%
198727.42%3.44%6.25%$12,138$11,468$11,7587.42%3.97%1.07%
198731.27%2.07%0.77%$12,292$11,706$11,8491.27%2.86%-1.58%
19874-1.60%-1.65%-2.15%$12,095$11,513$11,595-1.60%-0.99%-4.80%
198750.10%0.61%-0.16%$12,107$11,583$11,5760.10%1.04%-1.50%
198764.14%4.44%3.70%$12,608$12,097$12,0044.14%5.02%1.44%
198774.89%3.96%3.93%$13,225$12,576$12,4764.89%4.91%-1.11%
198784.02%3.03%3.17%$13,756$12,957$12,8714.02%3.84%-1.56%
19879-2.46%-2.49%-2.64%$13,418$12,634$12,531-2.46%-2.29%-3.72%
198710-25.81%-17.81%-21.27%$9,955$10,385$9,866-25.81%-21.73%5.84%
198711-7.55%-6.60%-6.00%$9,203$9,699$9,274-7.55%-8.19%0.47%
1987129.74%6.38%8.07%$11,144$11,362$11,0669.74%7.55%1.60%
198813.97%4.27%4.10%$11,586$11,847$11,5203.97%4.17%4.65%
198826.07%3.90%5.08%$12,289$12,310$12,1056.07%4.59%1.16%
19883-0.27%-2.89%-0.65%$12,256$11,955$12,026-0.27%-3.04%-2.24%
198841.79%0.59%1.23%$12,476$12,025$12,1741.79%1.01%-1.14%
19885-0.27%0.35%-0.51%$12,442$12,066$12,112-0.27%0.81%-1.59%
198866.83%4.47%6.33%$13,293$12,606$12,8796.83%4.56%4.09%
19887-0.65%-0.66%-0.87%$13,207$12,523$12,766-0.65%-0.37%-1.90%
19888-3.18%-2.69%-2.54%$12,787$12,186$12,442-3.18%-3.40%0.40%
198894.19%4.18%4.13%$13,323$12,695$12,9564.19%4.26%3.86%
1988102.09%2.68%2.15%$13,601$13,035$13,2352.09%2.73%2.45%
198811-1.35%-1.55%-1.45%$13,418$12,833$13,044-1.35%-1.47%-1.88%
1988121.96%1.65%1.84%$14,772$14,135$14,3741.96%1.74%1.29%
198918.11%6.27%6.90%$15,970$15,021$15,3668.11%7.32%2.05%
19892-1.63%-2.32%-1.64%$15,710$14,672$15,114-1.63%-2.47%-1.71%
198932.98%1.99%2.57%$16,178$14,964$15,5022.98%2.26%0.86%
198945.03%4.69%4.57%$16,991$15,665$16,2115.03%5.18%2.59%
198955.28%3.86%4.88%$17,888$16,270$17,0025.28%4.04%3.11%
19896-0.87%0.65%0.39%$17,733$16,377$17,068-0.87%-0.59%6.07%
198978.40%7.65%7.19%$19,223$17,629$18,2958.40%9.01%2.06%
198982.62%0.97%1.61%$19,726$17,800$18,5902.62%1.86%-2.90%
198991.73%-0.31%1.46%$20,067$17,746$18,8601.73%-0.40%0.15%
198910-3.14%-1.22%-1.94%$19,437$17,529$18,495-3.14%-2.34%3.88%
1989111.64%1.81%1.50%$19,757$17,846$18,7721.64%2.04%0.83%
1989120.63%1.92%0.50%$21,022$19,330$20,0080.63%2.38%-0.05%
19901-6.45%-6.11%-5.89%$19,666$18,149$18,829-6.45%-6.72%-3.67%
199022.05%0.95%1.57%$20,070$18,321$19,1242.05%1.27%-0.32%
199032.56%2.03%1.99%$20,583$18,693$19,5052.56%2.61%-0.26%
19904-2.53%-2.57%-2.59%$20,063$18,213$19,000-2.53%-2.50%-2.84%
199058.89%8.67%8.03%$21,847$19,791$20,5268.89%9.69%4.49%
199060.43%-0.10%0.79%$21,942$19,771$20,6870.43%-0.66%2.28%
19907-1.13%-0.15%-0.78%$21,694$19,742$20,526-1.13%-0.35%0.70%
19908-9.80%-8.09%-8.71%$19,568$18,144$18,737-9.80%-9.03%-4.25%
19909-6.35%-3.66%-4.81%$18,327$17,481$17,836-6.35%-4.89%1.15%
199010-1.24%0.14%-0.50%$18,100$17,505$17,747-1.24%-0.41%2.15%
1990117.57%6.04%6.90%$19,470$18,562$18,9727.57%6.44%4.60%
1990123.10%2.57%2.87%$21,285$20,250$20,7283.10%2.72%2.05%
199116.99%3.70%5.81%$22,773$20,999$21,9336.99%4.35%1.09%
199128.68%5.83%7.12%$24,750$22,223$23,4948.68%7.12%0.50%
199133.40%2.01%2.84%$25,591$22,670$24,1613.40%2.41%0.27%
199140.37%0.39%0.53%$25,686$22,759$24,2890.37%0.20%1.28%
199155.70%3.46%4.67%$27,150$23,547$25,4245.70%4.27%-0.14%
19916-5.88%-3.89%-5.02%$25,555$22,631$24,147-5.88%-4.56%-0.78%
199176.21%4.06%5.39%$27,142$23,550$25,4496.21%4.63%1.53%
199183.07%2.54%3.14%$27,976$24,148$26,2493.07%2.33%3.49%
19919-0.38%-0.84%0.19%$27,870$23,946$26,298-0.38%-1.67%2.95%
1991101.34%1.07%1.10%$28,245$24,201$26,5861.34%1.33%-0.08%
199111-4.94%-3.27%-4.09%$26,849$23,411$25,499-4.94%-4.01%0.02%
19911211.80%10.43%10.81%$31,266$27,100$29,50311.80%11.41%6.26%
199210.04%-2.15%-0.61%$31,279$26,518$29,3240.04%-1.88%-3.21%
199222.03%1.12%1.76%$31,913$26,816$29,8382.03%1.24%0.64%
19923-2.71%-1.76%-2.40%$31,047$26,343$29,121-2.71%-1.93%-1.10%
199241.48%2.32%1.18%$31,507$26,955$29,4651.48%2.91%-0.07%
199250.96%0.91%1.29%$31,809$27,201$29,8460.96%0.48%2.70%
19926-1.76%-0.98%-1.20%$31,249$26,935$29,488-1.76%-1.49%1.12%
199272.81%4.04%3.05%$32,126$28,023$30,3872.81%4.04%4.02%
19928-2.17%-1.51%-1.59%$31,429$27,600$29,904-2.17%-2.07%0.71%
199291.15%1.21%1.19%$31,790$27,934$30,2611.15%1.17%1.36%
1992100.70%-0.13%0.17%$32,014$27,898$30,3110.70%0.33%-1.89%
1992112.53%2.81%2.11%$32,822$28,683$30,9522.53%3.40%0.50%
1992121.94%1.49%2.08%$34,743$30,395$32,8791.94%1.21%2.63%
199312.63%1.21%2.68%$35,658$30,764$33,7602.63%0.81%2.85%
199322.09%1.73%2.31%$36,403$31,297$34,5402.09%1.36%3.20%
199333.67%1.71%2.96%$37,737$31,833$35,5643.67%2.11%0.19%
199340.98%-1.78%0.94%$38,106$31,267$35,8960.98%-2.42%0.76%
199353.94%2.18%3.24%$39,608$31,948$37,0603.94%2.65%0.38%
199361.39%1.07%1.92%$40,161$32,289$37,7731.39%0.27%4.17%
199371.10%-0.04%1.16%$40,604$32,275$38,2111.10%-0.42%1.39%
199385.88%3.83%5.51%$42,992$33,511$40,3175.88%3.79%3.99%
199391.08%-0.55%0.94%$43,458$33,326$40,6951.08%-0.79%0.33%
1993100.07%1.76%0.17%$43,486$33,913$40,7650.07%2.08%0.62%
199311-3.29%-1.31%-3.14%$42,054$33,468$39,486-3.29%-1.00%-2.48%
1993122.99%1.06%2.49%$44,629$35,140$41,7892.99%1.22%0.42%
199413.95%3.15%3.61%$46,393$36,247$43,2963.95%3.38%2.23%
19942-0.73%-2.97%-1.38%$46,053$35,171$42,700-0.73%-2.71%-3.99%
19943-4.64%-4.28%-4.48%$43,917$33,666$40,787-4.64%-4.39%-3.82%
199441.00%0.78%0.56%$44,358$33,930$41,0161.00%1.29%-1.29%
19945-1.15%1.20%-1.02%$43,847$34,338$40,597-1.15%1.60%-0.47%
19946-4.34%-2.14%-3.67%$41,945$33,605$39,109-4.34%-2.45%-0.81%
199473.35%3.21%3.27%$43,349$34,684$40,3863.35%3.28%2.94%
199484.74%3.17%3.68%$45,402$35,782$41,8714.74%4.08%-0.67%
19949-2.60%-2.55%-2.68%$44,221$34,870$40,751-2.60%-2.45%-3.00%
1994103.38%1.77%2.68%$45,717$35,486$41,8443.38%2.25%-0.36%
199411-5.48%-2.88%-4.37%$43,211$34,463$40,014-5.48%-3.65%0.62%
1994121.41%1.49%1.45%$45,176$36,331$41,9501.41%1.46%1.62%
19951-1.02%2.59%-0.29%$44,716$37,272$41,828-1.02%2.58%2.62%
199525.61%3.65%5.02%$47,225$38,633$43,9275.61%3.88%2.73%
199533.74%2.51%3.13%$48,990$39,603$45,3023.74%2.95%0.72%
199544.65%2.69%4.06%$51,269$40,668$47,1434.65%2.94%1.65%
199552.80%4.64%3.70%$52,702$42,556$48,8892.80%3.95%7.52%
199567.62%2.08%6.32%$56,717$43,440$51,9817.62%2.31%1.13%
199577.68%2.38%5.96%$61,071$44,474$55,0777.68%3.30%-1.40%
199580.87%0.60%1.08%$61,601$44,743$55,6700.87%0.26%2.05%
199591.83%3.75%1.83%$62,728$46,421$56,6881.83%4.21%1.81%
199510-2.56%0.26%-1.57%$61,125$46,543$55,796-2.56%-0.36%2.97%
1995112.22%3.98%2.24%$62,484$48,396$57,0452.22%4.38%2.31%
199512-1.08%2.08%-0.37%$63,200$50,790$58,221-1.08%1.93%2.70%
199611.44%2.70%1.14%$64,112$52,161$58,8871.44%3.39%-0.05%
19962-0.65%-0.22%-1.50%$63,693$52,048$58,005-0.65%0.92%-4.93%
199631.00%0.43%0.44%$64,332$52,272$58,2581.00%0.98%-1.98%
199640.64%0.87%0.19%$64,744$52,727$58,3680.64%1.46%-1.78%
199650.45%2.02%0.29%$65,037$53,789$58,5350.45%2.54%-0.46%
19966-0.09%0.68%0.31%$64,976$54,157$58,716-0.09%0.38%2.14%
19967-4.65%-3.66%-3.80%$61,953$52,176$56,483-4.65%-4.42%-0.05%
199682.52%1.48%1.79%$63,516$52,950$57,4952.52%2.10%-1.29%
199694.01%5.11%3.78%$66,062$55,656$59,6694.01%5.61%2.79%
1996102.37%2.95%2.65%$67,625$57,297$61,2482.37%2.76%3.88%
1996116.47%6.81%5.87%$72,003$61,201$64,8446.47%7.56%3.24%
199612-1.97%-2.03%-2.04%$72,022$61,393$64,954-1.97%-1.96%-2.38%
199714.39%4.84%3.38%$75,183$64,366$67,1504.39%6.22%-0.65%
19972-1.34%0.62%-1.10%$74,174$64,765$66,408-1.34%0.79%-0.11%
19973-3.44%-3.79%-3.22%$71,620$62,311$64,269-3.44%-4.14%-2.29%
199744.46%5.27%4.05%$74,817$65,593$66,8724.46%5.96%2.35%
199757.13%5.14%5.95%$80,154$68,964$70,8497.13%6.09%0.98%
199764.14%3.98%3.71%$83,473$71,706$73,4754.14%4.45%1.78%
199778.39%7.51%7.84%$90,477$77,089$79,2368.39%7.97%5.34%
19978-4.45%-5.09%-4.12%$86,452$73,165$75,973-4.45%-5.61%-2.57%
199795.89%4.97%5.30%$91,541$76,802$80,0025.89%5.47%2.63%
199710-3.41%-2.26%-2.29%$88,424$75,065$78,170-3.41%-3.35%2.99%
1997111.95%4.00%1.82%$90,147$78,065$79,5961.95%4.60%1.27%
1997121.14%1.71%1.23%$92,633$80,862$82,0371.14%1.72%1.66%
199811.08%1.27%1.25%$93,635$81,889$83,0611.08%1.11%1.91%
199827.58%5.59%5.90%$100,733$86,469$87,9647.58%7.19%-0.75%
199835.04%4.17%4.11%$105,808$90,071$91,5835.04%5.10%0.14%
199841.15%0.90%1.01%$107,023$90,880$92,5111.15%1.01%0.40%
19985-1.98%-1.10%-1.29%$104,909$89,883$91,319-1.98%-1.74%1.83%
199864.26%3.75%3.91%$109,378$93,255$94,8854.26%4.07%2.35%
19987-0.75%-0.95%-0.71%$108,560$92,364$94,216-0.75%-1.05%-0.51%
19988-15.49%-10.91%-11.76%$91,749$82,288$83,141-15.49%-14.47%4.83%
199896.05%5.73%5.44%$97,296$87,005$87,6676.05%6.41%3.29%
1998107.70%6.07%5.69%$104,789$92,288$92,6587.70%8.16%-1.69%
1998117.76%5.05%6.39%$112,920$96,949$98,5827.76%6.07%0.88%
1998129.62%4.68%7.78%$125,265$102,968$107,7319.62%5.81%-0.16%
199915.25%3.56%4.39%$131,838$106,633$112,4655.25%4.20%0.98%
19992-3.19%-3.44%-3.50%$127,629$102,962$108,534-3.19%-3.12%-4.76%
199935.40%3.16%4.31%$134,524$106,217$113,2075.40%4.00%-0.34%
199942.39%3.17%1.99%$137,738$109,586$115,4582.39%3.85%0.19%
19995-2.87%-2.26%-2.66%$133,778$107,108$112,386-2.87%-2.39%-1.68%
199966.52%4.36%5.15%$142,497$111,774$118,1706.52%5.56%-1.05%
19997-3.37%-2.69%-2.89%$137,698$108,766$114,752-3.37%-3.13%-0.58%
19998-1.24%-0.50%-1.11%$135,996$108,227$113,483-1.24%-0.50%-0.49%
19999-1.48%-2.10%-1.06%$133,987$105,957$112,281-1.48%-2.74%0.91%
1999106.01%5.20%4.95%$142,036$111,468$117,8436.01%6.33%0.12%
1999112.05%1.57%1.60%$144,945$113,221$119,7262.05%2.02%-0.59%
1999127.20%4.70%5.73%$156,910$120,063$128,1137.20%5.98%-1.60%
20001-4.81%-3.77%-3.60%$149,365$115,531$123,506-4.81%-5.03%1.25%
200021.00%-0.88%1.41%$150,858$114,511$125,2481.00%-1.91%2.96%
200039.06%8.31%7.80%$164,524$124,029$135,0129.06%9.76%3.14%
20004-4.31%-2.52%-3.57%$157,427$120,906$130,194-4.31%-3.01%-0.66%
20005-3.36%-1.70%-2.75%$152,141$118,847$126,617-3.36%-2.04%-0.46%
200063.86%2.45%3.52%$158,010$121,754$131,0753.86%2.49%2.30%
20007-1.24%-0.85%-0.66%$156,050$120,717$130,209-1.24%-1.49%1.49%
200086.39%5.29%5.46%$166,026$127,099$137,3136.39%6.19%2.08%
20009-5.38%-4.35%-4.43%$157,094$121,577$131,233-5.38%-5.29%-0.85%
200010-1.79%0.01%-1.06%$154,277$121,590$129,842-1.79%-0.43%1.57%
200011-8.51%-5.44%-5.94%$141,144$114,973$122,134-8.51%-7.88%2.99%
2000120.84%0.98%1.23%$143,901$117,675$125,2150.84%0.50%2.45%
200113.25%2.89%2.66%$148,582$121,079$128,5443.25%3.55%0.28%
20012-9.37%-7.01%-7.19%$134,662$112,597$119,307-9.37%-9.14%1.80%
20013-6.40%-5.13%-5.15%$126,049$106,822$113,157-6.40%-6.36%-0.60%
200148.76%5.46%6.21%$137,086$112,655$120,1898.76%7.77%-2.56%
200151.04%0.56%0.87%$138,518$113,283$121,2361.04%0.65%0.21%
20016-2.47%-1.79%-1.81%$135,101$111,260$119,046-2.47%-2.45%0.76%
20017-1.53%-0.03%-0.45%$133,034$111,232$118,510-1.53%-1.00%3.61%
20018-6.48%-4.46%-4.62%$124,411$106,273$113,032-6.48%-6.27%2.02%
20019-8.08%-5.99%-5.99%$114,354$99,903$106,264-8.08%-8.09%0.88%
2001102.37%2.70%3.06%$117,066$102,604$109,5172.37%1.90%5.12%
2001117.48%4.39%4.27%$125,822$107,107$114,1927.48%7.65%-5.07%
2001121.04%0.25%0.38%$128,734$108,969$116,2211.04%0.87%-1.82%
20021-3.15%-0.94%-2.28%$124,682$107,947$113,574-3.15%-1.47%1.20%
20022-1.72%-1.29%-1.11%$122,533$106,557$112,314-1.72%-1.94%1.24%
200233.38%2.15%1.84%$126,671$108,849$114,3843.38%3.74%-3.86%
20024-6.36%-4.14%-4.34%$118,617$104,343$109,423-6.36%-6.07%3.73%
20025-0.21%-0.51%-0.08%$118,370$103,811$109,337-0.21%-0.75%0.39%
20026-7.67%-5.22%-5.61%$109,292$98,392$103,199-7.67%-7.13%1.76%
20027-7.19%-5.26%-4.81%$101,439$93,219$98,238-7.19%-7.72%2.93%
200280.98%1.56%1.82%$102,428$94,677$100,0210.98%0.65%4.28%
20029-10.76%-7.03%-6.91%$91,409$88,017$93,108-10.76%-10.87%4.02%
2002109.44%5.43%5.87%$100,041$92,796$98,5759.44%8.78%-2.84%
2002115.01%4.05%3.41%$105,050$96,558$101,9355.01%5.88%-0.98%
200212-6.45%-3.38%-3.77%$99,908$94,935$99,733-6.45%-5.89%4.05%
20031-2.76%-2.19%-2.30%$97,149$92,857$97,441-2.76%-2.62%-0.45%
20032-1.21%-0.59%-0.35%$95,973$92,306$97,102-1.21%-1.52%3.03%
200331.11%0.52%0.64%$97,036$92,782$97,7191.11%0.96%-1.13%
200348.21%6.73%6.70%$105,007$99,026$104,2688.21%8.25%0.91%
200354.42%5.34%4.66%$109,645$104,318$109,1304.42%5.26%5.67%
200361.11%0.72%0.60%$110,862$105,069$109,7821.11%1.26%-1.48%
200371.32%-0.24%-0.60%$112,320$104,814$109,1251.32%1.74%-8.57%
200381.66%1.84%1.62%$114,184$106,746$110,8911.66%1.93%1.43%
20039-1.48%0.01%-0.31%$112,498$106,754$110,542-1.48%-1.07%5.07%
2003104.88%4.12%3.48%$117,988$111,156$114,3934.88%5.64%-2.58%
2003110.44%0.77%0.42%$118,508$112,011$114,8710.44%0.86%0.31%
2003125.23%4.53%4.53%$126,375$118,758$121,7405.23%5.22%1.23%
200411.28%1.81%1.37%$127,992$120,903$123,4101.28%1.82%1.74%
200421.42%1.49%1.53%$129,815$122,709$125,3001.42%1.38%1.96%
20043-1.26%-0.92%-0.72%$128,173$121,581$124,400-1.26%-1.51%1.45%
20044-1.70%-2.39%-2.49%$125,987$118,679$121,302-1.70%-1.58%-5.52%
200451.05%0.98%0.73%$127,311$119,838$122,1871.05%1.36%-0.56%
200461.46%1.72%1.34%$129,164$121,901$123,8251.46%1.93%0.87%
20047-3.91%-2.37%-2.85%$124,111$119,009$120,298-3.91%-3.31%1.52%
200480.24%0.99%0.88%$124,409$120,187$121,3630.24%0.38%3.39%
200490.95%1.04%0.95%$125,588$121,436$122,5100.95%1.07%0.94%
2004101.54%1.50%1.52%$127,519$123,262$124,3741.54%1.51%1.46%
2004113.31%2.75%2.15%$131,743$126,646$127,0423.31%4.05%-2.25%
2004123.11%3.16%2.94%$137,567$132,375$132,4933.11%3.39%2.22%
20051-1.88%-1.44%-0.98%$134,982$130,463$131,189-1.88%-2.45%2.59%
200521.19%1.40%0.68%$136,586$132,289$132,0871.19%2.09%-1.24%
20053-1.99%-1.56%-1.74%$133,869$130,230$129,791-1.99%-1.76%-0.76%
20054-2.06%-0.86%-0.97%$131,112$129,107$128,526-2.06%-1.91%3.22%
200553.61%3.04%3.38%$135,839$133,027$132,8693.61%3.17%2.55%
200560.04%0.45%0.38%$135,892$133,623$133,3730.04%0.13%1.64%
200574.02%2.36%2.60%$141,355$136,775$136,8434.02%3.71%-2.58%
20058-1.15%-0.14%-0.33%$139,733$136,582$136,395-1.15%-0.91%2.87%
200590.70%0.04%-0.03%$140,717$136,642$136,3560.70%0.79%-2.78%
200510-1.28%-1.69%-1.38%$138,909$134,332$134,477-1.28%-1.68%-1.74%
2005113.35%3.11%2.78%$143,561$138,514$138,2193.35%3.76%0.57%
2005121.98%0.48%2.05%$148,179$140,962$142,8301.98%0.02%2.33%
200614.77%1.94%3.64%$155,251$143,692$148,0264.77%2.65%-0.90%
20062-1.49%0.37%-1.05%$152,940$144,221$146,472-1.49%0.26%0.81%
200632.68%0.33%1.49%$157,033$144,694$148,6602.68%1.23%-3.39%
200641.91%0.71%1.20%$160,040$145,727$150,4391.91%1.33%-1.96%
20065-5.10%-2.37%-4.19%$151,885$142,271$144,142-5.10%-2.90%-0.03%
20066-0.74%0.24%-0.47%$150,766$142,607$143,470-0.74%0.13%0.71%
20067-3.13%0.84%-2.19%$146,051$143,804$140,335-3.13%0.61%1.84%
200682.40%2.43%2.47%$149,561$147,303$143,8012.40%2.36%2.74%
200691.13%2.38%1.22%$151,248$150,802$145,5501.13%2.56%1.58%
2006102.91%2.78%2.49%$155,653$154,996$149,1702.91%3.25%0.77%
2006112.60%1.89%2.46%$159,697$157,930$152,8442.60%1.89%1.91%
200612-0.52%0.74%-0.83%$160,699$160,919$153,400-0.52%1.39%-2.14%
200712.87%1.02%2.13%$165,313$162,568$156,6632.87%1.49%-0.85%
20072-1.65%-1.01%-0.76%$162,584$160,930$155,470-1.65%-1.97%2.93%
200730.83%0.65%0.43%$163,930$161,983$156,1450.83%1.11%-1.13%
200744.82%3.70%4.03%$171,829$167,982$162,4424.82%4.42%0.86%
200754.05%2.42%2.90%$178,785$172,052$167,1514.05%3.48%-1.93%
20076-0.42%-1.53%-0.51%$178,026$169,423$166,301-0.42%-1.68%-0.88%
20077-1.82%-2.06%-1.05%$174,781$165,938$164,547-1.82%-3.08%2.39%
200781.16%1.59%1.32%$176,811$168,579$166,7111.16%1.50%1.97%
200796.22%3.03%5.07%$187,801$173,690$175,1706.22%3.72%0.21%
2007105.32%1.54%4.61%$197,784$176,372$183,2385.32%1.58%1.40%
200711-3.79%-2.51%-2.32%$190,287$171,954$178,992-3.79%-4.19%4.59%
2007120.35%-0.65%0.19%$192,854$172,729$181,2400.35%-0.70%-0.48%
20081-8.95%-4.28%-6.63%$175,596$165,329$169,223-8.95%-6.02%2.64%
20082-1.60%-2.48%-1.17%$172,781$161,231$167,237-1.60%-3.25%0.35%
20083-2.19%-0.12%-1.47%$169,001$161,041$164,776-2.19%-0.44%1.02%
200846.52%3.36%4.60%$180,013$166,452$172,3626.52%4.85%-1.84%
200853.05%0.57%1.94%$185,503$167,396$175,7023.05%1.29%-2.13%
20086-8.38%-6.33%-6.28%$169,965$156,806$164,671-8.38%-8.44%1.80%
20087-3.93%-0.58%-2.99%$163,278$155,898$159,753-3.93%-0.83%0.30%
20088-0.08%1.53%0.36%$163,151$158,280$160,325-0.08%1.45%1.80%
20089-17.98%-6.82%-13.69%$133,815$147,482$138,376-17.98%-8.91%0.28%
200810-21.59%-13.58%-16.69%$104,925$127,455$115,286-21.59%-16.79%-3.63%
200811-11.33%-1.94%-3.94%$93,038$124,985$110,741-11.33%-7.17%12.07%
2008124.89%3.49%6.35%$99,489$131,253$119,6804.89%1.07%8.87%
20091-7.54%-8.42%-7.73%$91,983$120,196$110,429-7.54%-8.41%-8.47%
20092-7.59%-8.73%-6.29%$84,997$109,705$103,485-7.59%-10.66%-1.01%
2009313.91%8.00%12.10%$96,820$118,484$116,00513.91%8.76%5.27%
2009413.67%6.48%10.00%$110,054$126,168$127,60213.67%9.56%-4.99%
200956.23%4.05%4.72%$116,911$131,283$133,6216.23%5.62%-2.68%
20096-1.38%0.30%-1.05%$115,303$131,683$132,221-1.38%0.22%0.70%
200978.76%6.38%7.48%$125,408$140,081$142,1168.76%7.58%0.80%
200982.17%3.28%2.09%$128,124$144,672$145,0902.17%3.60%1.68%
200995.31%3.43%4.81%$134,926$149,635$152,0685.31%3.72%1.98%
200910-5.43%-1.80%-4.85%$127,603$146,941$144,697-5.43%-1.87%-1.45%
2009115.45%5.32%4.91%$134,557$154,752$151,8075.45%5.98%1.91%
2009124.35%0.74%2.88%$142,363$157,855$158,1304.35%1.95%-5.66%
20101-4.37%-2.35%-2.96%$136,144$154,145$153,445-4.37%-3.60%2.66%
201023.01%2.40%2.33%$140,238$157,841$157,0163.01%3.09%-0.21%
201036.63%4.47%4.95%$149,535$164,899$164,7876.63%6.01%-1.51%
201041.45%1.81%1.70%$151,704$167,877$167,5941.45%1.58%2.76%
20105-8.10%-5.62%-5.69%$139,419$158,444$158,066-8.10%-8.01%4.23%
20106-6.47%-3.11%-4.06%$130,399$153,522$151,645-6.47%-5.24%4.67%
201075.06%5.33%3.83%$137,003$161,703$157,4535.06%7.00%-0.17%
20108-5.92%-1.97%-2.97%$128,892$158,517$152,773-5.92%-4.53%7.08%
2010910.81%6.33%7.65%$142,831$168,555$164,46310.81%8.92%-1.82%
2010103.63%2.21%2.05%$148,017$172,288$167,8373.63%3.79%-3.29%
2010111.36%-0.34%0.72%$150,034$171,708$169,0481.36%0.00%-1.60%
2010126.66%4.54%4.50%$162,009$181,492$178,6326.66%6.67%-3.58%
201111.62%1.41%0.82%$164,631$184,052$180,0961.62%2.36%-2.38%
201124.16%3.00%3.59%$171,480$189,567$186,5694.16%3.42%1.24%
20113-0.40%0.02%-0.32%$170,802$189,614$185,978-0.40%0.03%0.02%
201142.51%2.78%2.42%$175,097$194,878$190,4872.51%2.95%2.04%
20115-2.22%-0.31%-1.18%$171,201$194,270$188,237-2.22%-1.15%3.29%
20116-3.61%-1.74%-3.29%$165,022$190,899$182,043-3.61%-1.67%-2.00%
20117-1.44%-0.84%-0.31%$162,645$189,299$181,471-1.44%-2.05%4.18%
20118-7.71%-2.56%-4.28%$150,104$184,445$173,709-7.71%-5.45%8.68%
20119-11.66%-3.13%-6.47%$132,606$178,675$162,471-11.66%-7.04%10.16%
20111010.86%7.23%6.88%$147,003$191,588$173,65310.86%10.91%-3.34%
201111-2.26%0.24%-1.23%$143,675$192,056$171,517-2.26%-0.23%1.82%
201112-0.27%1.52%0.62%$145,334$197,016$174,624-0.27%1.02%3.13%
201216.00%3.59%4.82%$154,057$204,084$183,0366.00%4.46%0.08%
201225.98%3.07%4.43%$163,264$210,342$191,1495.98%4.31%-2.11%
201233.60%1.99%2.28%$169,149$214,523$195,5163.60%3.28%-3.77%
20124-1.21%0.23%-0.27%$167,095$215,012$194,980-1.21%-0.64%4.37%
20125-7.17%-3.53%-4.54%$155,110$207,426$186,137-7.17%-6.02%7.79%
201263.37%2.99%2.41%$160,336$213,628$190,6253.37%4.11%-1.44%
201271.17%1.75%1.58%$162,209$217,359$193,6381.17%1.37%3.32%
201283.34%1.59%2.48%$167,620$220,821$198,4383.34%2.24%-1.06%
201293.21%1.69%2.22%$173,008$224,543$202,8353.21%2.58%-2.10%
201210-2.58%-1.60%-2.19%$168,545$220,955$198,387-2.58%-1.86%-0.43%
2012110.96%0.71%1.03%$170,164$222,517$200,4330.96%0.56%1.35%
2012120.77%0.36%0.27%$173,557$225,401$203,0430.77%0.90%-1.99%
201315.08%3.49%3.41%$182,368$233,259$209,9605.08%5.18%-3.27%
201320.69%1.32%0.80%$183,624$236,348$211,6310.69%1.34%1.26%
201333.15%3.05%2.56%$189,403$243,549$217,0543.15%3.74%0.03%
201340.99%2.26%1.52%$191,275$249,064$220,3450.99%1.91%3.87%
201353.58%0.75%1.74%$198,118$250,934$224,1763.58%2.33%-6.23%
20136-1.68%-1.68%-1.95%$194,786$246,726$219,796-1.68%-1.35%-3.26%
201376.62%3.89%5.16%$207,685$256,326$231,1446.62%5.07%-1.93%
20138-1.86%-2.65%-1.76%$203,830$249,528$227,065-1.86%-2.91%-1.28%
201394.21%2.76%3.68%$212,421$256,414$235,4254.21%3.12%0.88%
2013104.26%4.07%3.80%$221,464$266,848$244,3734.26%4.59%1.32%
2013113.49%2.18%2.58%$229,198$272,657$250,6883.49%3.03%-2.49%
2013122.45%1.79%1.75%$236,924$279,657$257,1952.45%2.51%-2.37%
20141-1.88%-1.52%-0.26%$232,461$275,396$256,539-1.88%-3.47%6.26%
201425.20%3.71%4.22%$244,541$285,601$267,3575.20%4.56%0.60%
20143-1.14%0.78%-0.78%$241,746$287,836$265,274-1.14%0.82%0.63%
20144-1.15%0.95%-0.53%$238,975$290,579$263,874-1.15%0.72%1.82%
201453.09%2.42%3.01%$246,361$297,605$271,8263.09%2.33%2.73%
201462.62%1.59%2.03%$252,813$302,322$277,3382.62%2.05%-0.16%
20147-1.49%-0.98%-1.06%$249,040$299,371$274,405-1.49%-1.39%0.59%
201484.84%4.03%4.71%$261,096$311,447$287,3324.84%3.98%4.23%
20149-1.56%-1.53%-1.65%$257,023$306,669$282,591-1.56%-1.41%-1.99%
2014102.91%2.46%2.85%$264,513$314,222$290,6472.91%2.42%2.61%
2014112.28%2.72%2.41%$270,554$322,770$297,6382.28%2.68%2.86%
201412-0.10%0.39%0.51%$272,398$326,142$301,285-0.10%-0.26%2.82%
20151-2.46%-0.62%-0.18%$265,686$324,117$300,748-2.46%-3.02%8.97%
201526.42%3.24%3.78%$282,733$334,619$312,1176.42%5.74%-5.66%
20153-0.92%-1.05%-0.51%$280,142$331,110$310,522-0.92%-1.59%1.13%
201540.18%0.13%-0.48%$280,642$331,528$309,0420.18%0.95%-3.07%
201551.89%0.59%1.09%$285,947$333,491$312,4251.89%1.27%-2.16%
20156-0.94%-2.28%-1.47%$283,272$325,891$307,844-0.94%-1.93%-3.73%
201572.68%2.48%2.97%$290,871$333,988$316,9742.68%2.08%4.21%
20158-6.49%-5.01%-5.40%$271,995$317,247$299,846-6.49%-6.04%-0.71%
20159-3.78%-1.60%-2.65%$261,720$312,167$291,886-3.78%-2.49%1.91%
2015108.82%6.56%6.90%$284,792$332,648$312,0128.82%8.42%-0.48%
2015111.31%0.07%0.91%$288,531$332,891$314,8361.31%0.29%-0.81%
201512-1.76%-1.35%-1.49%$285,585$330,537$312,273-1.76%-1.59%-0.34%
20161-6.45%-2.93%-4.11%$267,159$320,839$299,425-6.45%-4.98%5.24%
20162-1.67%0.51%-0.68%$262,688$322,463$297,394-1.67%-0.15%2.86%
201636.38%5.28%4.94%$279,454$339,500$312,0956.38%6.78%0.05%
201641.10%0.16%0.72%$282,519$340,052$314,3521.10%0.37%-0.63%
201651.49%1.55%1.32%$286,731$345,334$318,4971.49%1.78%0.69%
20166-1.84%1.56%-0.06%$281,445$350,727$318,321-1.84%0.25%6.57%
201673.80%3.31%3.40%$292,146$362,347$329,1303.80%3.68%2.01%
201680.51%-0.11%0.17%$293,629$361,937$329,6920.51%0.13%-1.00%
201690.30%-0.27%-0.06%$294,499$360,945$329,4940.30%0.01%-1.32%
201610-1.96%-2.34%-2.45%$288,730$352,503$321,405-1.96%-1.83%-4.23%
2016112.97%1.31%0.65%$297,303$357,122$323,4962.97%3.70%-7.86%
2016121.09%1.53%0.81%$302,737$364,762$328,3001.09%1.96%-0.35%
201712.41%1.64%2.06%$310,027$370,729$335,0492.41%1.88%0.65%
201723.93%3.49%3.47%$322,221$383,663$346,6653.93%3.96%1.57%
20173-0.02%-0.03%-0.13%$322,155$383,532$346,212-0.02%0.10%-0.59%
201741.32%1.13%1.37%$326,397$387,856$350,9481.32%1.02%1.58%
201752.17%1.46%2.08%$333,466$393,514$358,2532.17%1.39%1.73%
201760.72%0.62%0.70%$335,852$395,939$360,7600.72%0.61%0.63%
201772.97%1.53%2.28%$345,815$401,994$368,9932.97%2.04%-0.59%
201781.19%0.86%1.58%$349,920$405,457$374,8121.19%0.29%3.27%
201792.40%1.21%1.51%$358,305$410,380$380,4702.40%2.06%-2.27%
2017103.40%1.88%2.77%$370,479$418,083$391,0183.40%2.32%-0.02%
2017112.31%2.61%2.01%$379,039$428,997$398,8842.31%3.06%0.63%
2017121.05%1.23%1.18%$385,235$436,484$405,8031.05%1.10%1.78%
201817.89%3.89%5.63%$415,628$453,460$428,6527.89%5.71%-3.40%
20182-3.57%-3.54%-3.45%$400,782$437,388$413,878-3.57%-3.69%-2.89%
20183-2.84%-1.56%-1.81%$389,398$430,559$406,382-2.84%-2.56%2.75%
201841.18%-0.10%0.56%$394,003$430,138$408,6701.18%0.37%-2.04%
201852.74%2.28%2.56%$404,795$439,944$419,1402.74%2.39%1.79%
201860.38%0.62%0.43%$406,340$442,651$420,9550.38%0.61%0.66%
201873.35%2.76%2.49%$419,969$454,855$431,4353.35%3.71%-1.28%
201883.43%2.87%3.03%$434,371$467,902$444,4903.43%3.25%1.18%
201890.53%-0.04%-0.04%$436,688$467,714$444,2910.53%0.55%-2.74%
201810-9.73%-6.14%-8.54%$394,216$438,988$406,350-9.73%-6.85%-2.82%
2018111.57%1.98%1.61%$400,394$447,691$412,8791.57%2.03%1.78%
201812-9.18%-6.40%-6.49%$365,929$421,297$388,345-9.18%-9.04%5.50%
201918.58%6.50%6.97%$397,341$448,683$415,3988.58%8.00%0.49%
201922.87%2.35%2.09%$408,764$459,228$424,0772.87%3.20%-1.31%
201932.10%2.58%2.71%$417,331$471,075$435,5642.10%1.94%5.47%
201944.50%2.93%3.31%$436,096$484,893$449,9694.50%4.04%-1.88%
20195-4.77%-4.04%-2.75%$415,280$465,289$437,599-4.77%-6.36%6.65%
201965.96%5.84%5.00%$440,023$492,455$459,4645.96%7.03%1.01%
201971.87%1.20%1.56%$448,271$498,352$466,6531.87%1.43%0.22%
201980.55%0.71%2.42%$450,746$501,877$477,9440.55%-1.59%10.68%
20199-0.73%0.94%-1.11%$447,447$506,579$472,648-0.73%1.86%-2.62%
2019101.20%1.51%0.75%$452,808$514,217$476,1761.20%2.15%-1.10%
2019113.64%2.84%2.87%$469,303$528,838$489,8193.64%3.62%-0.39%
2019122.27%1.88%1.29%$482,277$541,109$498,4482.27%3.01%-3.00%
202012.84%1.42%3.73%$495,989$548,781$517,0532.84%-0.05%7.29%
20202-6.96%-5.11%-4.16%$461,473$520,764$495,553-6.96%-8.24%6.58%
20203-9.73%-8.08%-6.19%$416,555$478,664$464,878-9.73%-12.37%5.67%
2020412.94%9.81%10.06%$470,456$525,615$511,63112.94%12.81%1.81%
202057.04%3.13%4.95%$503,554$542,051$536,9437.04%4.76%-1.67%
202062.54%1.60%2.06%$516,320$550,707$547,9822.54%1.98%0.40%
* End-of-month balance includes the annual contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value1.37%36.31%0.74%
Large-cap Growth46.82%43.66%47.85%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth36.55%0.00%25.25%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets6.56%0.00%5.52%
Emerging Markets8.70%0.22%6.44%
Corporate Bonds0.00%0.00%0.52%
Long-Term Treasuries0.00%15.01%13.68%
Intermediate-Term Treasuries0.00%4.80%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared93.57%99.82%93.48%
Style analysis is based on monthly returns from Apr 2005 to Jun 2020 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
FMAGXFidelity MagellanLarge Growth100.00%0.77%34.81$450,277100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend80.00%0.14%22.30$394,05699.29%
VUSTXVanguard Long-Term Treasury InvLong Government20.00%0.20%18.33$90,6080.71%
100.00%0.15%22.3018.33$484,664100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
FMAGXFidelity MagellanLarge Growth80.00%0.77%34.81$393,79699.68%
VUSTXVanguard Long-Term Treasury InvLong Government20.00%0.20%18.33$88,1430.32%
100.00%0.66%34.8118.33$481,939100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/30/2020. (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 2Portfolio 3
Arithmetic Mean (monthly)0.93%0.87%0.89%
Arithmetic Mean (annualized)11.69%10.94%11.20%
Geometric Mean (monthly)0.80%0.81%0.81%
Geometric Mean (annualized)10.08%10.15%10.21%
Volatility (monthly)4.88%3.44%3.84%
Volatility (annualized)16.91%11.91%13.32%
Downside Deviation (monthly)3.34%2.24%2.53%
Max. Drawdown-58.26%-39.38%-45.00%
US Market Correlation0.960.970.95
Beta(*)1.060.750.82
Alpha (annualized)-0.42%2.26%1.74%
R292.88%94.10%89.77%
Sharpe Ratio0.470.620.57
Sortino Ratio0.670.900.83
Treynor Ratio (%)7.549.739.20
Calmar Ratio0.880.871.09
Active Return0.01%0.08%0.14%
Tracking Error4.62%4.74%5.04%
Information Ratio0.000.020.03
Skewness-0.93-0.81-0.90
Excess Kurtosis3.512.933.80
Historical Value-at-Risk (5%)-7.59%-5.21%-5.67%
Analytical Value-at-Risk (5%)-7.10%-4.81%-5.48%
Conditional Value-at-Risk (5%)-11.37%-7.78%-8.52%
Upside Capture Ratio (%)104.8579.4785.12
Downside Capture Ratio (%)105.9271.5979.00
Safe Withdrawal Rate9.34%8.62%9.01%
Perpetual Withdrawal Rate6.94%7.00%7.06%
Positive Periods256 out of 402 (63.68%)268 out of 402 (66.67%)255 out of 402 (63.43%)
Gain/Loss Ratio0.940.971.06
* 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 2Portfolio 3
Black Monday PeriodSep 1987Nov 1987-33.09%-25.14%-27.95%
Asian CrisisJul 1997Jan 1998-4.45%-5.09%-4.12%
Russian Debt DefaultJul 1998Oct 1998-16.12%-11.76%-12.38%
Dotcom CrashMar 2000Oct 2002-46.22%-32.68%-33.97%
Subprime CrisisNov 2007Mar 2009-58.26%-39.38%-45.00%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsOct 20134 years 8 months6 years-58.26%
2Sep 2000Sep 20022 years 1 monthSep 20075 years7 years 1 month-46.22%
3Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-33.09%
4Jul 1990Oct 19904 monthsFeb 19914 months8 months-17.51%
5Oct 2018Dec 20183 monthsJun 20196 months9 months-16.72%
6Jul 1998Aug 19982 monthsNov 19983 months5 months-16.12%
7Feb 2020Mar 20202 monthsMay 20202 months4 months-16.02%
8Aug 2015Feb 20167 monthsAug 20166 months1 year 1 month-10.37%
9Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-9.59%
10Apr 2000May 20002 monthsAug 20003 months5 months-7.53%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-39.38%
2Sep 2000Sep 20022 years 1 monthJul 20052 years 10 months4 years 11 months-32.68%
3Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-25.14%
4Feb 2020Mar 20202 monthsJun 20203 months5 months-12.78%
5Jul 1998Aug 19982 monthsNov 19983 months5 months-11.76%
6Jun 1990Sep 19904 monthsFeb 19915 months9 months-11.67%
7Sep 2018Dec 20184 monthsMar 20193 months7 months-10.45%
8May 2011Sep 20115 monthsDec 20113 months8 months-8.31%
9Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.29%
10Mar 2015Sep 20157 monthsMar 20166 months1 year 1 month-6.71%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-45.00%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-33.97%
3Sep 1987Nov 19873 monthsMar 19891 year 4 months1 year 7 months-27.95%
4Jul 1990Oct 19904 monthsFeb 19914 months8 months-14.21%
5Sep 2018Dec 20184 monthsApr 20194 months8 months-13.14%
6Jul 1998Aug 19982 monthsNov 19983 months5 months-12.38%
7Feb 2020Mar 20202 monthsMay 20202 months4 months-10.09%
8Feb 1994Jun 19945 monthsMar 19959 months1 year 2 months-9.67%
9Aug 2015Sep 20152 monthsJul 201610 months1 year-7.92%
10May 2006Jul 20063 monthsNov 20064 months7 months-6.72%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
FMAGXFidelity Magellan10.08%16.91%41.13%-49.40%-58.26%0.470.670.96
VFINXVanguard 500 Index Investor10.20%15.06%37.45%-37.02%-50.97%0.520.740.99
VUSTXVanguard Long-Term Treasury Inv7.97%9.90%30.09%-13.03%-16.68%0.520.86-0.15

Monthly Correlations

Correlations for the portfolio assets
TickerNameFMAGXVFINXVUSTXPortfolio 1Portfolio 2Portfolio 3
FMAGXFidelity Magellan1.000.96-0.131.000.940.99
VFINXVanguard 500 Index Investor0.961.00-0.130.960.980.94
VUSTXVanguard Long-Term Treasury Inv-0.13-0.131.00-0.130.040.02

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
FMAGXFidelity Magellan$450,277$393,796
VFINXVanguard 500 Index Investor$394,056
VUSTXVanguard Long-Term Treasury Inv$90,608$88,143

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
FMAGXFidelity Magellan100.00%99.68%
VFINXVanguard 500 Index Investor99.29%
VUSTXVanguard Long-Term Treasury Inv0.71%0.32%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year12.09%41.13%-49.40%11.11%35.98%-25.11%11.28%36.31%-35.02%
3 years10.42%28.02%-15.11%10.48%27.57%-8.93%10.33%23.59%-9.32%
5 years9.84%26.24%-5.91%10.15%24.57%0.50%9.94%22.78%-1.61%
7 years9.38%21.57%-4.92%9.95%18.71%1.32%9.63%18.78%-0.93%
10 years8.55%19.89%-3.52%9.59%17.50%1.08%9.03%18.16%-0.28%
15 years7.30%14.44%2.46%8.65%12.73%5.57%8.06%13.44%4.59%
Result statistics are based on annualized rolling returns over full calendar year periods