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 Analysis Results (Jan 2013 - Mar 2021)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NNN National Retail Properties 5.55%
FRT Federal Realty Investment Trust 5.55%
UHT Universal Health Realty Income Trust 5.55%
EQC Equity Commonwealth 5.55%
WPC W.P. Carey Inc. 5.55%
LTC LTC Properties, Inc. 5.55%
LNC Lincoln National Corporation 4.17%
MO Altria Group 4.17%
ALL Allstate Corporation 4.17%
F Ford Motor Company 4.17%
BMY Bristol-Myers Squibb Company 4.17%
HII Huntington Ingalls Industries, Inc. 4.17%
TSN Tyson Foods, Inc. 4.17%
PRU Prudential Financial, Inc. 4.17%
KMI Kinder Morgan, Inc. 4.76%
XOM Exxon Mobil Corporation 4.76%
BP BP p.l.c. 4.76%
OKE ONEOK, Inc. 4.76%
VLO Valero Energy Corporation 4.76%
PSX Phillips 66 4.76%
WMB Williams Companies, Inc. 4.76%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$23,093 10.68% 17.08%36.81%-21.08%-34.81% 0.640.940.84
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 MonthYTD1 year3 year5 yearFull3 year5 year
Portfolio 117.89%17.89%42.74%4.45%7.30%10.68%24.62%19.82%
Trailing annualized return and volatility are for full months ending in March 2021 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 are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2021 are based on monthly returns from January to March
  • 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 BalanceNational Retail Properties (NNN)Federal Realty Investment Trust (FRT)Universal Health Realty Income Trust (UHT)Equity Commonwealth (EQC)W.P. Carey Inc. (WPC)LTC Properties, Inc. (LTC)Lincoln National Corporation (LNC)Altria Group (MO)Allstate Corporation (ALL)Ford Motor Company (F)Bristol-Myers Squibb Company (BMY)Huntington Ingalls Industries, Inc. (HII)Tyson Foods, Inc. (TSN)Prudential Financial, Inc. (PRU)Kinder Morgan, Inc. (KMI)Exxon Mobil Corporation (XOM)BP p.l.c. (BP)ONEOK, Inc. (OKE)Valero Energy Corporation (VLO)Phillips 66 (PSX)Williams Companies, Inc. (WMB)
20131.50%36.81%$13,6811.70%0.39%-16.39%54.31%24.05%5.56%102.16%28.56%38.57%22.33%69.95%109.35%73.91%77.13%6.20%20.14%22.73%49.65%64.89%48.33%22.79%
20140.76%15.39%$15,78636.02%35.23%27.17%11.35%20.90%28.53%13.13%34.52%31.23%3.71%14.18%26.13%20.79%0.63%23.28%-6.07%-17.60%-5.32%0.24%-4.77%21.42%
20150.73%-1.23%$15,5916.20%12.31%9.50%8.02%-10.40%4.80%-11.56%23.10%-9.96%-5.44%19.24%14.32%34.37%-7.35%-62.76%-12.76%-12.77%-47.36%46.79%17.12%-39.22%
20162.07%24.31%$19,38114.75%-0.23%37.21%9.05%6.54%14.05%35.04%20.46%21.71%-7.90%-13.50%47.17%16.87%32.48%42.67%19.90%29.00%149.37%0.78%8.98%31.37%
20172.11%12.18%$21,7422.00%-3.59%18.80%0.89%23.83%-2.76%17.95%9.45%43.62%8.73%7.72%29.48%33.38%13.64%-10.57%-3.80%20.07%-2.08%39.98%20.96%2.04%
20181.91%-11.91%$19,15117.78%-8.13%-14.90%6.76%1.00%1.14%-32.00%-27.09%-19.52%-34.29%-12.91%-18.21%-32.82%-26.46%-11.20%-15.10%-4.51%6.28%-15.72%-12.30%-23.88%
20192.29%29.59%$24,81914.78%12.50%97.05%21.66%28.80%12.79%17.94%7.96%38.82%29.61%27.86%34.00%73.87%20.06%44.41%7.25%5.80%47.77%30.36%33.99%14.21%
20201.36%-21.08%$19,588-19.35%-30.56%-43.08%-5.98%-6.02%-7.52%-11.12%-10.38%-0.12%-3.88%0.39%-30.44%-27.33%-11.48%-30.74%-36.21%-41.32%-43.36%-35.60%-33.92%-7.60%
20210.98%17.89%$23,0939.09%20.34%6.50%1.91%1.74%8.71%24.78%26.95%5.28%39.36%2.56%21.50%16.06%18.35%24.07%37.77%20.33%35.09%28.47%17.86%20.18%
Annual return for 2021 is from 01/01/2021 to 03/31/2021
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceNational Retail Properties (NNN)Federal Realty Investment Trust (FRT)Universal Health Realty Income Trust (UHT)Equity Commonwealth (EQC)W.P. Carey Inc. (WPC)LTC Properties, Inc. (LTC)Lincoln National Corporation (LNC)Altria Group (MO)Allstate Corporation (ALL)Ford Motor Company (F)Bristol-Myers Squibb Company (BMY)Huntington Ingalls Industries, Inc. (HII)Tyson Foods, Inc. (TSN)Prudential Financial, Inc. (PRU)Kinder Morgan, Inc. (KMI)Exxon Mobil Corporation (XOM)BP p.l.c. (BP)ONEOK, Inc. (OKE)Valero Energy Corporation (VLO)Phillips 66 (PSX)Williams Companies, Inc. (WMB)
201318.37%$10,8373.90%1.76%8.93%5.41%7.63%6.28%12.38%7.12%9.29%0.73%12.08%2.22%14.02%8.53%7.08%3.95%6.92%10.80%28.17%14.07%7.06%
201324.50%$11,3247.59%0.34%3.59%53.59%6.16%3.99%1.93%-0.39%5.40%-2.63%2.30%8.68%2.71%-3.31%-1.04%0.18%-8.10%-4.30%4.71%4.45%-0.97%
201335.00%$11,8904.99%2.43%2.14%-11.13%14.47%6.01%10.39%3.83%6.63%4.28%11.41%11.01%9.48%6.15%4.34%0.63%4.83%5.96%-0.22%11.13%9.01%
201341.60%$12,08110.81%8.30%-6.90%0.63%4.63%14.57%4.70%6.16%0.39%4.26%-2.75%-0.81%-0.77%2.42%2.07%-1.24%2.95%8.50%-11.37%-12.89%1.79%
20135-1.05%$11,954-9.60%-7.91%-15.93%-8.46%-3.94%-10.23%4.85%-1.12%-1.57%15.22%15.84%4.58%1.70%14.84%-2.86%2.37%-0.36%-12.11%10.76%9.76%-7.74%
20136-1.87%$11,731-4.10%-3.08%-3.20%13.11%-1.10%-5.80%2.27%-1.88%-0.25%-1.34%-2.87%2.28%2.72%5.89%0.45%-0.13%-2.73%-8.48%-14.42%-11.51%-6.75%
201375.03%$12,3212.86%1.59%0.79%0.86%6.73%-0.60%14.61%0.20%5.94%9.76%-2.47%10.09%7.55%8.13%0.01%3.76%-0.72%28.18%2.88%4.40%5.24%
20138-2.65%$11,994-12.46%-7.61%-7.73%6.42%-6.92%-7.97%0.89%-3.37%-5.51%-4.09%-3.58%1.99%5.00%-4.70%0.45%-6.38%0.97%-2.16%-0.06%-6.66%6.06%
201391.48%$12,1713.89%5.03%5.99%-10.75%-0.27%7.63%-0.12%2.80%5.49%4.20%11.01%6.44%-2.31%4.14%-6.22%-1.28%1.77%3.65%-3.88%1.26%1.36%
2013106.47%$12,9599.37%2.12%4.90%12.35%2.95%4.33%8.46%8.38%4.97%2.01%14.33%6.16%-2.16%4.37%0.41%4.16%10.64%6.68%20.56%11.43%-1.79%
2013112.97%$13,344-7.70%-0.08%-3.51%-2.05%-5.76%-1.95%13.04%-0.67%2.75%-0.18%-2.17%15.21%14.80%9.70%0.65%5.02%2.33%2.78%11.61%8.68%-1.37%
2013122.52%$13,681-4.47%-1.28%-4.03%-2.35%-0.72%-7.66%0.56%5.12%0.50%-9.66%4.15%9.46%5.59%3.90%1.29%8.26%3.40%7.08%10.24%10.80%10.72%
201410.81%$13,79210.83%7.48%5.84%6.63%-3.70%7.73%-6.67%-8.26%-6.12%-2.25%-5.98%5.57%11.78%-8.49%-4.39%-8.93%-3.54%10.15%1.39%-5.24%4.98%
201423.46%$14,2698.10%2.12%0.42%10.46%7.52%-0.25%4.37%2.95%6.52%2.87%7.60%6.64%5.68%0.86%-6.35%5.19%9.21%-0.70%-5.61%2.96%2.00%
201430.96%$14,406-4.37%3.80%0.65%-3.13%-4.01%0.32%1.08%4.60%4.28%1.36%-3.38%1.11%11.56%0.08%2.01%1.46%-4.96%0.19%10.67%2.94%-0.78%
201441.96%$14,6890.62%2.46%0.45%-3.38%2.35%3.12%-3.95%7.16%0.65%4.33%-2.91%0.72%-4.64%-4.69%1.83%4.84%5.24%7.66%7.66%7.99%3.92%
201452.01%$14,9852.49%1.68%2.03%3.54%3.51%3.32%-1.13%3.62%2.79%1.80%-0.70%-2.88%1.35%2.50%2.24%-1.17%0.81%2.01%-1.52%2.51%11.36%
201462.08%$15,2966.32%1.83%1.90%0.04%2.61%-1.33%7.26%2.09%0.79%4.87%-2.47%-5.25%-11.59%8.05%8.60%0.15%4.56%5.57%-10.62%-5.14%25.08%
20147-1.08%$15,130-3.25%0.98%-3.27%2.05%2.07%-1.40%2.16%-3.20%-0.46%-0.57%5.13%-3.88%-0.88%-2.03%0.38%-1.73%-7.17%-4.52%1.40%0.85%-2.71%
201484.80%$15,8564.41%2.19%5.02%0.07%3.88%7.28%5.06%6.11%5.68%2.29%0.06%12.53%2.49%3.76%11.90%1.23%-1.11%8.96%7.12%7.93%4.96%
20149-4.70%$15,111-6.92%-4.37%-4.25%-4.35%-5.24%-9.51%-2.65%7.92%-0.20%-15.05%1.05%2.06%3.44%-1.96%-4.77%-5.44%-8.13%-6.62%-14.54%-6.56%-5.96%
2014104.63%$15,81011.51%11.26%16.24%3.89%6.19%14.18%2.52%5.22%5.67%-3.88%14.51%1.54%2.49%0.68%2.10%2.83%-1.11%-9.18%8.26%-3.46%0.29%
201411-0.25%$15,7701.08%0.65%-0.23%-4.79%0.62%0.05%3.41%3.97%5.52%11.64%1.48%3.35%5.18%-3.36%6.85%-5.71%-8.23%-8.11%-2.42%-6.34%-6.77%
2014120.10%$15,7862.18%1.25%0.90%0.94%4.24%3.72%1.84%-0.95%3.08%-1.46%0.59%3.20%-5.31%6.45%2.32%2.11%-3.05%-8.07%1.83%-1.81%-12.05%
201510.82%$15,9159.87%7.73%11.66%2.65%2.44%9.07%-13.02%7.77%-0.65%-4.11%2.10%3.68%-2.62%-16.12%-1.91%-5.44%1.86%-10.30%6.83%-1.92%-2.40%
201524.01%$16,553-6.07%-1.21%-5.40%0.38%-4.50%-4.52%15.33%6.01%1.59%11.08%1.08%21.21%6.07%7.31%-0.10%2.04%8.31%0.52%17.52%12.32%11.81%
201531.08%$16,7321.81%4.26%12.02%0.38%0.55%3.46%-0.31%-10.25%0.81%-1.22%5.88%-0.56%-7.29%-0.67%2.56%-4.00%-5.62%8.99%3.13%0.18%4.45%
20154-2.51%$16,311-5.29%-9.20%-11.72%-5.05%-6.65%-5.16%-1.34%0.06%-2.12%-1.19%-0.62%-6.11%3.13%1.61%3.25%2.79%10.36%0.96%-10.56%0.90%1.19%
20155-0.89%$16,166-2.32%0.60%-3.54%2.14%0.33%-2.76%0.92%2.30%-2.93%-3.99%1.37%-5.47%7.72%4.39%-3.40%-1.66%-2.58%-12.85%4.83%0.44%-0.18%
20156-1.06%$15,995-6.66%-4.13%-1.69%-0.31%-5.97%-0.77%3.88%-3.44%-3.64%-1.05%3.00%-9.19%0.42%3.44%-7.47%-2.35%-3.62%-5.82%5.67%1.82%13.70%
201571.16%$16,1817.42%6.79%5.40%2.06%3.82%5.87%-4.56%11.18%6.29%-0.22%-0.81%4.28%4.03%0.96%-8.51%-4.80%-7.48%-2.75%5.43%-1.32%-8.56%
20158-6.22%$15,174-6.51%-5.64%-6.06%-1.95%-6.08%-6.66%-9.82%-1.47%-15.04%-6.47%-9.40%-3.76%-4.44%-8.01%-6.44%-4.12%-7.76%-4.71%-9.54%0.13%-8.16%
20159-1.74%$14,9104.37%6.45%3.46%6.03%2.28%5.04%-6.56%2.62%-0.07%-2.16%0.17%-4.82%1.94%-5.56%-14.59%-1.18%-8.88%-10.58%1.28%-2.82%-22.45%
2015108.27%$16,1425.95%5.16%5.86%5.40%9.62%0.83%13.21%11.16%6.25%10.23%11.40%11.94%2.92%8.25%0.66%11.28%16.82%7.29%9.68%15.89%7.03%
2015110.84%$16,2771.21%2.11%6.04%-3.80%-2.37%-0.07%2.77%-4.75%1.91%-3.24%1.61%9.56%13.05%5.76%-13.82%-0.43%-1.48%-13.09%9.78%3.41%-7.30%
201512-4.21%$15,5914.13%0.35%-3.87%0.40%-3.11%1.63%-8.60%2.05%-1.07%-1.67%3.22%-3.11%6.66%-5.94%-36.70%-4.54%-9.65%-16.35%-1.60%-10.63%-28.15%
20161-2.14%$15,2578.33%3.24%1.64%-3.03%-1.27%3.64%-21.06%4.98%-2.40%-12.40%-9.64%0.81%0.06%-13.92%11.16%-0.13%3.55%3.61%-4.02%-2.02%-24.90%
20162-0.01%$15,2562.42%-1.84%1.99%-0.97%-2.68%0.22%-7.43%0.75%5.26%4.77%-0.37%2.49%21.62%-4.68%9.97%3.89%-8.21%-3.65%-10.55%-0.19%-17.15%
201636.44%$16,2395.05%6.04%9.82%5.97%11.52%2.21%7.31%2.70%6.16%7.91%3.77%4.88%2.95%9.28%-1.27%4.29%3.75%24.42%6.76%9.07%4.55%
201642.76%$16,687-4.35%-2.54%-2.93%-1.10%-1.85%2.93%11.58%0.08%-3.44%1.55%12.99%5.72%-1.26%7.50%0.14%5.75%11.27%23.16%-8.22%-5.17%20.66%
201652.74%$17,1453.59%0.73%-2.01%3.51%4.94%0.89%5.52%1.48%3.78%-0.52%-0.67%6.32%-2.88%2.99%1.80%1.55%-4.71%19.64%-6.06%-1.35%14.29%
201664.67%$17,94514.10%8.72%8.11%0.83%9.84%11.36%-15.44%9.30%4.12%-6.82%3.11%9.53%4.72%-9.98%3.54%5.30%13.09%9.71%-6.76%-1.27%0.43%
201672.30%$18,3583.69%2.51%4.35%3.06%4.65%3.83%13.39%-1.83%-2.32%1.81%1.71%2.71%10.20%5.54%9.27%-5.11%-3.13%-5.61%2.51%-4.13%10.82%
201680.42%$18,434-5.76%-6.31%3.22%4.23%-8.26%-2.67%9.98%-2.38%1.41%-0.47%-23.29%-4.01%2.88%6.40%7.48%-1.18%0.22%6.12%7.08%3.98%16.56%
201690.89%$18,5981.50%-2.57%3.46%-3.42%-1.72%0.49%-2.19%-3.41%0.32%-4.21%-6.05%-7.11%-1.19%2.86%5.86%0.16%3.84%9.60%-4.25%2.68%10.71%
201610-2.70%$18,096-9.37%-5.65%-6.85%-0.03%-5.87%-3.25%5.02%4.57%-1.85%-1.50%-4.93%5.18%-5.12%3.85%-11.13%-4.54%1.11%-4.57%11.77%0.74%-4.98%
2016112.88%$18,617-6.44%-3.31%1.04%-3.74%-4.31%-8.90%30.58%-3.31%3.45%1.87%10.86%11.15%-19.51%19.48%8.66%5.70%0.25%13.42%4.90%3.15%5.14%
2016124.10%$19,3813.56%1.91%11.76%3.99%3.41%3.76%3.39%6.73%6.01%1.42%3.54%3.04%8.57%3.44%-6.71%3.39%6.77%4.51%10.98%4.01%2.08%
20171-0.83%$19,219-0.32%-1.18%-5.29%1.98%4.82%-0.26%2.31%5.26%1.47%3.54%-15.32%5.30%1.80%1.01%8.48%-7.06%-3.75%-2.93%-3.75%-5.54%-7.39%
201722.39%$19,6783.76%0.21%3.32%1.36%1.86%3.79%3.93%5.25%9.74%1.38%15.36%12.65%-0.01%5.88%-4.61%-2.17%-4.05%-1.92%4.41%-3.43%-1.73%
20173-1.45%$19,392-3.58%-4.41%1.58%-0.13%0.21%-0.30%-6.71%-3.90%-0.82%-7.10%-4.11%-8.11%-1.36%-3.49%2.02%0.85%1.77%2.57%-2.44%1.32%5.51%
201740.43%$19,475-2.19%-1.96%8.14%2.47%0.61%0.26%1.18%0.50%-0.25%-0.13%3.83%0.32%4.13%0.33%-4.53%-0.44%-0.58%-4.00%-2.53%0.43%3.51%
20175-1.94%$19,096-9.12%-6.23%2.85%-2.72%4.20%1.15%-1.44%5.10%6.21%-3.05%-3.75%-2.23%-10.42%-1.33%-9.06%-0.48%7.14%-5.57%-3.84%-3.48%-6.63%
201763.65%$19,7931.90%3.79%11.83%1.54%2.71%7.02%4.00%-0.48%2.87%0.63%3.28%-4.93%9.23%3.14%2.13%0.29%-4.15%4.99%9.74%8.65%6.98%
201772.41%$20,2713.44%4.94%-2.59%-0.06%3.79%0.86%8.56%-12.76%2.89%1.55%2.82%10.72%1.17%4.71%7.28%-0.85%1.41%8.45%2.24%1.28%4.95%
20178-1.77%$19,9124.63%-4.30%-2.28%-2.03%0.50%-5.46%-7.12%-2.42%-0.14%-1.69%6.29%4.11%0.27%-9.18%-5.38%-3.71%0.47%-2.94%-0.24%0.92%-6.45%
201793.58%$20,624-0.41%-1.35%0.60%-1.75%-0.66%-3.01%8.28%1.09%1.56%8.52%5.39%5.83%11.30%4.15%-0.78%7.40%10.65%2.31%12.97%9.31%1.96%
2017100.26%$20,677-2.41%-2.97%-3.02%-1.15%1.13%-0.60%3.53%1.26%2.12%3.78%-2.67%2.82%3.49%3.89%-4.93%1.67%5.83%-2.06%2.55%-0.58%-5.03%
2017113.58%$21,4182.22%9.70%2.25%0.03%4.45%-1.04%1.02%5.62%9.77%2.04%2.48%4.12%13.22%5.59%-4.86%0.86%-0.02%-3.01%9.46%7.93%1.93%
2017121.51%$21,7425.02%1.21%1.20%1.50%-1.79%-4.58%0.42%6.23%2.00%-0.24%-3.02%-2.47%-1.43%-0.74%4.88%0.42%4.89%2.99%7.35%3.68%6.06%
20181-1.34%$21,451-6.87%-9.04%-11.40%-1.97%-5.94%-5.46%8.15%-1.50%-5.67%-9.96%2.82%0.78%-6.12%3.34%0.18%4.38%1.81%11.53%4.42%1.24%2.95%
20182-6.51%$20,054-6.15%-5.68%-16.81%-1.64%-7.55%-9.39%-8.01%-10.51%-6.59%-3.28%5.75%10.60%-1.88%-9.78%-9.90%-12.36%-7.82%-4.30%-4.93%-11.08%-11.56%
201831.05%$20,2655.42%2.77%9.82%4.25%5.14%3.37%-4.08%0.09%3.27%4.43%-4.46%-1.62%-1.60%-2.61%-7.04%-1.49%4.32%1.05%2.60%6.14%-9.33%
201841.78%$20,625-1.91%-0.22%-0.28%1.04%3.00%-4.37%-2.85%-9.96%3.19%2.83%-17.05%-5.64%-4.22%2.68%6.36%4.21%9.99%7.20%19.58%16.04%3.50%
201853.25%$21,2958.91%2.62%3.74%0.39%5.26%14.35%-6.16%-0.66%-3.97%2.76%0.94%-8.82%-3.32%-8.11%5.44%5.54%4.10%13.18%10.02%5.35%4.39%
201860.74%$21,4526.11%7.30%3.95%1.25%0.24%4.35%-6.09%3.14%-2.36%-4.16%5.17%-1.94%2.05%-3.44%5.94%1.83%-0.35%2.45%-8.56%-3.59%2.23%
201872.28%$21,9422.63%-0.83%5.20%2.35%-1.46%-0.88%9.95%3.33%4.22%-8.02%6.92%7.50%-16.27%7.91%1.76%-1.47%-1.25%0.87%6.79%9.82%9.74%
201881.41%$22,2513.32%4.07%13.28%-0.56%1.84%10.61%-3.70%-0.27%6.22%-5.58%3.06%5.21%9.47%-1.74%-0.45%-0.63%-3.56%-5.29%0.30%-3.25%-0.54%
20189-0.38%$22,167-2.76%-2.40%-1.55%0.09%-1.87%-4.63%3.17%4.40%-1.86%-2.43%2.53%4.75%-5.22%3.12%0.17%6.05%7.51%2.85%-3.50%-4.89%-7.01%
201810-5.32%$20,9885.40%-1.91%-13.86%0.73%2.64%-2.61%-10.62%7.84%-3.02%5.08%-18.07%-14.68%0.66%-7.44%-2.86%-6.28%-5.92%-3.23%-19.92%-8.78%-10.52%
2018110.39%$21,0707.08%6.48%9.53%6.68%2.64%9.04%4.62%-15.70%-6.34%-1.47%5.78%-0.97%-0.98%0.98%0.29%0.79%-5.58%-5.08%-11.41%-8.29%4.07%
201812-9.11%$19,151-3.10%-9.86%-11.68%-5.54%-2.03%-9.86%-18.52%-8.41%-7.36%-18.70%-2.77%-11.69%-9.41%-13.02%-9.90%-14.23%-6.02%-12.18%-6.17%-7.88%-11.67%
2019112.02%$21,4539.70%12.31%13.61%7.83%14.62%14.31%14.77%-0.08%6.34%17.01%-4.16%8.48%15.96%12.99%18.99%7.46%8.44%20.66%17.14%10.75%22.13%
201921.98%$21,877-1.16%0.77%6.81%0.90%-1.36%-5.98%6.89%6.20%7.98%-0.34%4.64%1.84%0.19%5.13%5.86%9.04%5.24%0.08%-6.11%1.84%-0.89%
201932.98%$22,5286.31%3.98%2.61%0.12%7.43%3.55%-6.11%11.15%-0.21%0.11%-7.65%-1.06%12.60%-4.14%4.44%2.24%2.51%8.68%4.01%-1.23%9.12%
201942.66%$23,128-4.09%-2.90%7.01%-2.72%1.26%-1.19%14.34%-5.40%5.18%20.90%-1.83%7.42%8.04%15.05%0.55%-0.64%0.02%-1.51%6.87%-0.95%-1.36%
20195-4.89%$21,9981.73%-2.33%1.17%2.42%4.65%-0.28%-10.90%-9.70%-3.08%-8.90%-2.28%-7.46%1.67%-11.72%0.40%-10.84%-5.51%-6.34%-21.50%-13.38%-6.88%
201965.28%$23,160-0.97%-0.76%4.42%-0.15%-0.96%2.45%8.41%-1.98%6.47%7.46%-0.04%9.57%6.39%9.33%4.66%8.28%2.41%8.16%21.61%15.77%7.76%
201970.80%$23,346-0.49%2.52%8.51%3.26%6.60%1.36%1.95%-0.59%5.62%-5.45%-1.21%1.58%-1.54%0.31%-0.05%-2.96%-4.70%1.85%-0.42%9.64%-12.13%
20198-1.58%$22,9767.48%-2.12%4.92%0.24%3.77%6.29%-19.07%-7.07%-4.20%-3.78%8.24%-8.07%17.51%-19.98%-1.70%-6.76%-5.48%3.05%-10.65%-2.96%-4.22%
201993.55%$23,7910.45%6.19%7.06%1.75%0.81%5.36%14.07%-4.62%6.14%-0.11%5.49%1.33%-7.42%12.31%1.68%3.11%2.81%3.38%13.23%3.82%3.54%
2019102.72%$24,4385.37%-0.10%15.98%4.49%2.86%1.60%-5.73%9.51%-2.08%-4.66%14.07%6.55%-3.89%1.32%-1.84%-4.31%-0.21%-5.24%13.77%14.08%-7.27%
2019110.67%$24,601-5.38%-2.90%-0.03%2.08%-9.39%-9.35%4.55%10.96%5.10%5.47%-0.75%11.98%9.08%3.82%-1.85%2.07%0.25%3.07%-0.63%-1.05%1.84%
2019120.89%$24,819-3.80%-1.73%-0.95%-0.06%-2.79%-3.95%-0.07%2.10%0.99%2.65%12.73%-0.31%1.28%0.13%7.96%2.42%0.86%6.50%-1.93%-2.89%6.15%
20201-2.58%$24,1805.39%-2.88%5.10%-0.12%5.10%3.52%-7.06%-4.77%5.42%-3.56%-1.24%4.03%-9.24%-2.86%-0.24%-10.98%-4.27%0.18%-9.97%-17.99%-12.77%
20202-11.84%$21,317-9.20%-6.94%-12.67%-4.06%-7.98%-2.50%-16.69%-15.06%-10.76%-21.09%-6.18%-20.88%-17.41%-16.18%-8.15%-15.99%-11.89%-10.89%-20.51%-17.25%-7.93%
20203-24.10%$16,178-36.70%-35.23%-5.40%0.79%-23.66%-30.60%-42.01%-1.73%-12.85%-30.60%-5.62%-11.35%-14.68%-30.89%-27.39%-26.19%-22.05%-67.31%-31.53%-28.33%-23.49%
2020413.73%$18,4003.01%11.61%6.10%7.06%13.26%15.88%36.34%1.50%10.89%5.38%9.99%5.05%7.47%19.62%9.41%22.39%-2.42%41.87%39.66%36.38%36.89%
202050.68%$18,525-3.83%-4.04%-12.69%-0.74%-8.92%3.95%6.94%-0.51%-3.32%12.18%-1.79%4.97%-0.53%-0.35%5.62%-0.22%-0.22%22.59%6.94%8.31%5.47%
20206-1.53%$18,24113.03%7.95%-14.24%-4.45%14.68%2.85%-3.01%2.67%-0.84%6.48%-1.54%-12.71%-2.82%-0.10%-3.99%-1.65%0.78%-9.46%-11.73%-8.13%-4.85%
20207-2.04%$17,8701.38%-10.46%-12.47%-1.96%5.50%-0.89%2.54%4.84%-2.68%8.72%0.52%-0.45%2.91%4.06%-5.32%-5.90%-5.49%-13.17%-4.40%-13.74%0.58%
20208-0.06%$17,859-0.03%3.85%-4.11%-0.57%-2.80%-1.26%-3.27%6.29%-0.91%3.18%6.03%-12.19%2.88%8.65%-1.99%-3.21%-3.76%-1.54%-4.77%-4.36%8.52%
20209-7.02%$16,606-2.62%-5.98%-13.68%-4.01%-4.56%-3.94%-13.09%-9.89%1.23%-2.35%-3.07%-7.11%-5.29%-6.27%-10.78%-14.05%-16.58%-5.46%-17.63%-11.34%-3.47%
202010-2.20%$16,240-5.76%-6.35%-6.18%-0.79%-3.91%-4.78%13.29%-6.63%-5.73%16.07%-2.32%4.78%-3.78%0.79%-1.35%-4.98%-11.34%15.22%-10.87%-9.99%-2.34%
20201116.40%$18,90417.78%26.81%13.02%0.34%10.54%12.78%34.53%10.39%15.92%17.46%6.76%9.37%14.70%19.81%20.84%19.65%28.87%23.69%41.78%31.70%9.33%
2020123.62%$19,5888.54%-1.19%7.41%2.90%3.51%5.56%6.54%5.06%7.41%-3.19%0.19%6.42%-1.17%3.24%-4.94%8.10%4.91%7.00%5.21%15.45%-2.70%
202110.95%$19,774-3.46%2.87%-7.14%4.51%-5.92%-0.23%-8.84%0.20%-2.50%19.80%-0.97%-7.71%-0.20%0.27%4.92%8.78%8.28%6.21%-0.25%-3.06%5.89%
2021210.97%$21,94412.41%15.54%3.80%-1.05%3.22%6.36%25.02%6.13%-0.54%11.11%-0.16%12.51%5.92%12.36%4.40%23.34%11.40%11.20%38.47%23.83%7.58%
202135.23%$23,0930.52%1.25%10.49%-1.45%4.77%2.44%9.50%19.38%8.57%4.70%3.73%17.02%9.80%5.05%13.27%2.69%-0.25%14.38%-6.99%-1.82%5.50%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value13.96%
Large-cap Growth0.00%
Mid-cap Value74.78%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.00%
Corporate Bonds0.00%
Long-Term Treasuries11.26%
Intermediate-Term Treasuries0.00%
Short-Term Treasuries0.00%
R Squared84.98%
Style analysis is based on monthly returns from January 2013 to March 2021 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
TickerNameCategoryWeightYieldReturn ContributionRisk Contribution
NNNNational Retail PropertiesReal Estate / REIT - Retail5.55%4.61%$6904.97%
FRTFederal Realty Investment TrustReal Estate / REIT - Retail5.55%4.07%$1725.81%
UHTUniversal Health Realty Income TrustReal Estate / REIT - Healthcare Facilities5.55%4.02%$1,0524.65%
EQCEquity CommonwealthReal Estate / REIT - Office5.55%12.38%$7961.59%
WPCW.P. Carey Inc.Real Estate / REIT - Diversified5.55%5.87%$7684.27%
LTCLTC Properties, Inc.Real Estate / REIT - Healthcare Facilities5.55%5.28%$5224.87%
LNCLincoln National CorporationFinancial Services / Insurance - Life4.17%2.61%$7386.97%
MOAltria GroupConsumer Defensive / Tobacco4.17%6.70%$6081.96%
ALLAllstate CorporationFinancial Services / Insurance - Property & Casualty4.17%2.69%$9423.00%
FFord Motor CompanyConsumer Cyclical / Auto Manufacturers4.17%1.28%$3054.04%
BMYBristol-Myers Squibb CompanyHealthcare / Drug Manufacturers - General4.17%3.07%$6041.99%
HIIHuntington Ingalls Industries, Inc.Industrials / Aerospace & Defense4.17%2.21%$1,2113.43%
TSNTyson Foods, Inc.Consumer Defensive / Farm Products4.17%2.27%$1,1732.83%
PRUPrudential Financial, Inc.Financial Services / Insurance - Life4.17%4.73%$5504.85%
KMIKinder Morgan, Inc.Energy / Oil & Gas Midstream4.76%6.32%$78.984.58%
XOMExxon Mobil CorporationEnergy / Oil & Gas Integrated4.76%6.07%-$92.775.51%
BPBP p.l.c.Energy / Oil & Gas Integrated4.76%4.93%$5.614.51%
OKEONEOK, Inc.Energy / Oil & Gas Midstream4.76%7.26%$1,2528.58%
VLOValero Energy CorporationEnergy / Oil & Gas Refining & Marketing4.76%5.42%$9968.66%
PSXPhillips 66Energy / Oil & Gas Refining & Marketing4.76%4.53%$5367.15%
WMBWilliams Companies, Inc.Energy / Oil & Gas Midstream4.76%6.93%$1865.78%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricPortfolio 1
Arithmetic Mean (monthly)0.97%
Arithmetic Mean (annualized)12.33%
Geometric Mean (monthly)0.85%
Geometric Mean (annualized)10.68%
Volatility (monthly)4.93%
Volatility (annualized)17.08%
Downside Deviation (monthly)3.33%
Max. Drawdown-34.81%
US Market Correlation0.84
Beta(*)1.03
Alpha (annualized)-4.13%
R271.21%
Sharpe Ratio0.64
Sortino Ratio0.94
Treynor Ratio (%)10.69
Calmar Ratio0.13
Active Return-4.73%
Tracking Error9.17%
Information Ratio-0.52
Skewness-1.00
Excess Kurtosis7.32
Historical Value-at-Risk (5%)-6.25%
Analytical Value-at-Risk (5%)-7.33%
Conditional Value-at-Risk (5%)-11.72%
Upside Capture Ratio (%)85.70
Downside Capture Ratio (%)106.57
Safe Withdrawal Rate21.33%
Perpetual Withdrawal Rate8.39%
Positive Periods65 out of 99 (65.66%)
Gain/Loss Ratio0.94
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2020Mar 20203 months-34.81%
2Sep 2018Dec 20184 monthsMar 20193 months7 months-13.93%
3Apr 2015Sep 20156 monthsMay 20168 months1 year 2 months-10.89%
4Jan 2018Feb 20182 monthsJul 20185 months7 months-7.76%
5May 2019May 20191 monthJun 20191 month2 months-4.89%
6Sep 2014Sep 20141 monthJan 20154 months5 months-4.70%
7Mar 2017May 20173 monthsJun 20171 month4 months-2.96%
8May 2013Jun 20132 monthsJul 20131 month3 months-2.90%
9Oct 2016Oct 20161 monthNov 20161 month2 months-2.70%
10Aug 2013Aug 20131 monthOct 20132 months3 months-2.65%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NNNNational Retail Properties9.06%24.78%36.02%-19.35%-45.38%0.460.640.40
FRTFederal Realty Investment Trust2.90%23.54%35.23%-30.56%-53.14%0.220.310.54
UHTUniversal Health Realty Income Trust8.29%25.81%97.05%-43.08%-55.38%0.410.610.36
EQCEquity Commonwealth11.97%23.11%54.31%-5.98%-18.14%0.561.520.09
WPCW.P. Carey Inc.10.06%20.44%28.80%-10.40%-34.96%0.540.830.52
LTCLTC Properties, Inc.7.45%23.03%28.53%-7.52%-39.01%0.400.590.47
LNCLincoln National Corporation13.61%38.39%102.16%-32.00%-66.70%0.510.800.79
MOAltria Group11.82%21.30%34.52%-27.09%-40.81%0.600.910.38
ALLAllstate Corporation15.83%17.65%43.62%-19.52%-23.90%0.881.460.69
FFord Motor Company3.89%27.43%39.36%-34.29%-61.74%0.250.370.63
BMYBristol-Myers Squibb Company11.60%24.09%69.95%-13.50%-35.26%0.550.850.42
HIIHuntington Ingalls Industries, Inc.22.48%25.61%109.35%-30.44%-45.17%0.901.470.54
TSNTyson Foods, Inc.19.46%26.08%73.91%-32.82%-37.13%0.791.310.36
PRUPrudential Financial, Inc.10.62%28.28%77.13%-26.46%-51.93%0.480.690.80
KMIKinder Morgan, Inc.-4.47%27.38%44.41%-62.76%-64.60%-0.04-0.060.51
XOMExxon Mobil Corporation-1.15%24.29%37.77%-36.21%-58.35%0.050.060.73
BPBP p.l.c.-0.31%24.61%29.00%-41.32%-61.67%0.080.120.55
OKEONEOK, Inc.9.96%42.31%149.37%-47.36%-70.87%0.470.690.62
VLOValero Energy Corporation14.75%41.94%64.89%-35.60%-64.60%0.510.890.64
PSXPhillips 668.74%33.45%48.33%-33.92%-58.71%0.390.660.67
WMBWilliams Companies, Inc.1.95%34.85%31.37%-39.22%-71.11%0.210.310.60

Monthly Correlations

Correlations for the portfolio assets
TickerNameNNNFRTUHTEQCWPCLTCLNCMOALLFBMYHIITSNPRUKMIXOMBPOKEVLOPSXWMBPortfolio 1
NNNNational Retail Properties1.000.820.480.210.770.810.210.270.430.320.190.170.300.170.340.400.390.440.300.320.160.64
FRTFederal Realty Investment Trust0.821.000.540.140.680.800.450.290.540.440.220.280.390.420.450.600.470.540.530.510.330.78
UHTUniversal Health Realty Income Trust0.480.541.000.250.470.580.230.240.550.080.270.300.270.210.290.340.280.240.400.400.210.57
EQCEquity Commonwealth0.210.140.251.000.200.170.080.020.14-0.000.020.110.08-0.000.040.10-0.020.040.130.100.080.22
WPCW.P. Carey Inc.0.770.680.470.201.000.700.340.270.570.360.210.200.280.320.370.420.380.450.320.390.270.66
LTCLTC Properties, Inc.0.810.800.580.170.701.000.300.180.440.320.200.160.320.230.380.430.320.520.400.360.310.67
LNCLincoln National Corporation0.210.450.230.080.340.301.000.170.550.610.300.570.220.910.490.700.470.630.660.640.610.77
MOAltria Group0.270.290.240.020.270.180.171.000.440.210.160.330.260.220.160.380.380.130.250.290.080.39
ALLAllstate Corporation0.430.540.550.140.570.440.550.441.000.420.290.520.350.590.380.540.420.420.510.550.270.72
FFord Motor Company0.320.440.08-0.000.360.320.610.210.421.000.120.370.380.620.410.530.430.500.440.410.370.62
BMYBristol-Myers Squibb Company0.190.220.270.020.210.200.300.160.290.121.000.360.070.300.000.280.180.110.250.250.160.35
HIIHuntington Ingalls Industries, Inc.0.170.280.300.110.200.160.570.330.520.370.361.000.320.490.260.430.340.360.460.440.200.57
TSNTyson Foods, Inc.0.300.390.270.080.280.320.220.260.350.380.070.321.000.200.220.340.200.210.330.320.150.46
PRUPrudential Financial, Inc.0.170.420.21-0.000.320.230.910.220.590.620.300.490.201.000.430.680.480.540.610.610.570.73
KMIKinder Morgan, Inc.0.340.450.290.040.370.380.490.160.380.410.000.260.220.431.000.530.470.630.340.440.560.62
XOMExxon Mobil Corporation0.400.600.340.100.420.430.700.380.540.530.280.430.340.680.531.000.730.660.690.780.510.84
BPBP p.l.c.0.390.470.28-0.020.380.320.470.380.420.430.180.340.200.480.470.731.000.520.540.600.420.68
OKEONEOK, Inc.0.440.540.240.040.450.520.630.130.420.500.110.360.210.540.630.660.521.000.470.590.650.75
VLOValero Energy Corporation0.300.530.400.130.320.400.660.250.510.440.250.460.330.610.340.690.540.471.000.870.420.76
PSXPhillips 660.320.510.400.100.390.360.640.290.550.410.250.440.320.610.440.780.600.590.871.000.490.79
WMBWilliams Companies, Inc.0.160.330.210.080.270.310.610.080.270.370.160.200.150.570.560.510.420.650.420.491.000.61

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
NNNNational Retail Properties$690
FRTFederal Realty Investment Trust$172
UHTUniversal Health Realty Income Trust$1,052
EQCEquity Commonwealth$796
WPCW.P. Carey Inc.$768
LTCLTC Properties, Inc.$522
LNCLincoln National Corporation$738
MOAltria Group$608
ALLAllstate Corporation$942
FFord Motor Company$305
BMYBristol-Myers Squibb Company$604
HIIHuntington Ingalls Industries, Inc.$1,211
TSNTyson Foods, Inc.$1,173
PRUPrudential Financial, Inc.$550
KMIKinder Morgan, Inc.$78.98
XOMExxon Mobil Corporation-$92.77
BPBP p.l.c.$5.61
OKEONEOK, Inc.$1,252
VLOValero Energy Corporation$996
PSXPhillips 66$536
WMBWilliams Companies, Inc.$186

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
NNNNational Retail Properties4.97%
FRTFederal Realty Investment Trust5.81%
UHTUniversal Health Realty Income Trust4.65%
EQCEquity Commonwealth1.59%
WPCW.P. Carey Inc.4.27%
LTCLTC Properties, Inc.4.87%
LNCLincoln National Corporation6.97%
MOAltria Group1.96%
ALLAllstate Corporation3.00%
FFord Motor Company4.04%
BMYBristol-Myers Squibb Company1.99%
HIIHuntington Ingalls Industries, Inc.3.43%
TSNTyson Foods, Inc.2.83%
PRUPrudential Financial, Inc.4.85%
KMIKinder Morgan, Inc.4.58%
XOMExxon Mobil Corporation5.51%
BPBP p.l.c.4.51%
OKEONEOK, Inc.8.58%
VLOValero Energy Corporation8.66%
PSXPhillips 667.15%
WMBWilliams Companies, Inc.5.78%

Annual Asset Returns

Rolling returns summary
Roll PeriodAverageHighLow
1 year7.73%42.74%-33.55%
3 years7.79%15.96%-7.74%
5 years8.01%16.80%-0.67%
7 years6.70%13.87%3.28%