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.
Ticker | Name | Allocation |
---|---|---|
NNN | NNN REIT Inc | 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 | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $200,000 | $513,815 | 11.05% | 16.72% | 36.81% | -21.08% | -34.81% | 0.68 | 1.00 | 0.83 |
Name | Total Return | Annualized Return | Annualized Standard Deviation | |||||
---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | Full | 3 year | 5 year | |
Portfolio 1 | 7.30% | 31.15% | 31.15% | 10.29% | 5.80% | 11.05% | 24.38% | 20.12% |
Trailing return and volatility are as of last calendar month ending December 2021 |
Year | Inflation | Portfolio 1 Return | Portfolio 1 Balance | NNN REIT Inc (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) |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2013 | 1.50% | 36.81% | $273,616 | 1.70% | 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% |
2014 | 0.76% | 15.39% | $315,716 | 36.02% | 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% |
2015 | 0.73% | -1.23% | $311,820 | 6.20% | 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% |
2016 | 2.07% | 24.31% | $387,613 | 14.75% | -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% |
2017 | 2.11% | 12.18% | $434,835 | 2.00% | -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% |
2018 | 1.91% | -11.91% | $383,028 | 17.78% | -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% |
2019 | 2.29% | 29.59% | $496,383 | 14.78% | 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% |
2020 | 1.36% | -21.08% | $391,765 | -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% |
2021 | 7.04% | 31.15% | $513,815 | 23.03% | 65.92% | -3.27% | -5.06% | 22.88% | -6.77% | 39.44% | 24.26% | 9.88% | 137.50% | 2.89% | 12.12% | 38.49% | 45.24% | 23.86% | 57.64% | 36.47% | 64.85% | 40.33% | 8.50% | 38.43% |
Year | Month | Portfolio 1 Return | Portfolio 1 Balance | NNN REIT Inc (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) |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2013 | 1 | 8.37% | $216,730 | 3.90% | 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% |
2013 | 2 | 4.50% | $226,478 | 7.59% | 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% |
2013 | 3 | 5.00% | $237,809 | 4.99% | 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% |
2013 | 4 | 1.60% | $241,620 | 10.81% | 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% |
2013 | 5 | -1.05% | $239,080 | -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% |
2013 | 6 | -1.87% | $234,618 | -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% |
2013 | 7 | 5.03% | $246,422 | 2.86% | 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% |
2013 | 8 | -2.65% | $239,884 | -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% |
2013 | 9 | 1.48% | $243,424 | 3.89% | 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% |
2013 | 10 | 6.47% | $259,178 | 9.37% | 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% |
2013 | 11 | 2.97% | $266,888 | -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% |
2013 | 12 | 2.52% | $273,616 | -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% |
2014 | 1 | 0.81% | $275,842 | 10.83% | 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% |
2014 | 2 | 3.46% | $285,374 | 8.10% | 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% |
2014 | 3 | 0.96% | $288,113 | -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% |
2014 | 4 | 1.96% | $293,774 | 0.62% | 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% |
2014 | 5 | 2.01% | $299,692 | 2.49% | 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% |
2014 | 6 | 2.08% | $305,918 | 6.32% | 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% |
2014 | 7 | -1.08% | $302,610 | -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% |
2014 | 8 | 4.80% | $317,121 | 4.41% | 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% |
2014 | 9 | -4.70% | $302,210 | -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% |
2014 | 10 | 4.63% | $316,204 | 11.51% | 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% |
2014 | 11 | -0.25% | $315,410 | 1.08% | 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% |
2014 | 12 | 0.10% | $315,716 | 2.18% | 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% |
2015 | 1 | 0.82% | $318,300 | 9.87% | 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% |
2015 | 2 | 4.01% | $331,065 | -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% |
2015 | 3 | 1.08% | $334,631 | 1.81% | 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% |
2015 | 4 | -2.51% | $326,220 | -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% |
2015 | 5 | -0.89% | $323,330 | -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% |
2015 | 6 | -1.06% | $319,909 | -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% |
2015 | 7 | 1.16% | $323,630 | 7.42% | 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% |
2015 | 8 | -6.22% | $303,484 | -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% |
2015 | 9 | -1.74% | $298,193 | 4.37% | 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% |
2015 | 10 | 8.27% | $322,844 | 5.95% | 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% |
2015 | 11 | 0.84% | $325,541 | 1.21% | 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% |
2015 | 12 | -4.21% | $311,820 | 4.13% | 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% |
2016 | 1 | -2.14% | $305,138 | 8.33% | 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% |
2016 | 2 | -0.01% | $305,114 | 2.42% | -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% |
2016 | 3 | 6.44% | $324,775 | 5.05% | 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% |
2016 | 4 | 2.76% | $333,739 | -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% |
2016 | 5 | 2.74% | $342,899 | 3.59% | 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% |
2016 | 6 | 4.67% | $358,900 | 14.10% | 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% |
2016 | 7 | 2.30% | $367,160 | 3.69% | 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% |
2016 | 8 | 0.42% | $368,684 | -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% |
2016 | 9 | 0.89% | $371,968 | 1.50% | -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% |
2016 | 10 | -2.70% | $361,928 | -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% |
2016 | 11 | 2.88% | $372,337 | -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% |
2016 | 12 | 4.10% | $387,613 | 3.56% | 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% |
2017 | 1 | -0.83% | $384,383 | -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% |
2017 | 2 | 2.39% | $393,553 | 3.76% | 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% |
2017 | 3 | -1.45% | $387,846 | -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% |
2017 | 4 | 0.43% | $389,494 | -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% |
2017 | 5 | -1.94% | $381,924 | -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% |
2017 | 6 | 3.65% | $395,868 | 1.90% | 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% |
2017 | 7 | 2.41% | $405,424 | 3.44% | 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% |
2017 | 8 | -1.77% | $398,239 | 4.63% | -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% |
2017 | 9 | 3.58% | $412,477 | -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% |
2017 | 10 | 0.26% | $413,548 | -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% |
2017 | 11 | 3.58% | $428,364 | 2.22% | 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% |
2017 | 12 | 1.51% | $434,835 | 5.02% | 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% |
2018 | 1 | -1.34% | $429,027 | -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% |
2018 | 2 | -6.51% | $401,088 | -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% |
2018 | 3 | 1.05% | $405,294 | 5.42% | 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% |
2018 | 4 | 1.78% | $412,492 | -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% |
2018 | 5 | 3.25% | $425,893 | 8.91% | 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% |
2018 | 6 | 0.74% | $429,045 | 6.11% | 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% |
2018 | 7 | 2.28% | $438,848 | 2.63% | -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% |
2018 | 8 | 1.41% | $445,023 | 3.32% | 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% |
2018 | 9 | -0.38% | $443,340 | -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% |
2018 | 10 | -5.32% | $419,755 | 5.40% | -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% |
2018 | 11 | 0.39% | $421,399 | 7.08% | 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% |
2018 | 12 | -9.11% | $383,028 | -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% |
2019 | 1 | 12.02% | $429,060 | 9.70% | 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% |
2019 | 2 | 1.98% | $437,540 | -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% |
2019 | 3 | 2.98% | $450,563 | 6.31% | 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% |
2019 | 4 | 2.66% | $462,565 | -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% |
2019 | 5 | -4.89% | $439,957 | 1.73% | -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% |
2019 | 6 | 5.28% | $463,191 | -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% |
2019 | 7 | 0.80% | $466,917 | -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% |
2019 | 8 | -1.58% | $459,522 | 7.48% | -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% |
2019 | 9 | 3.55% | $475,826 | 0.45% | 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% |
2019 | 10 | 2.72% | $488,756 | 5.37% | -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% |
2019 | 11 | 0.67% | $492,023 | -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% |
2019 | 12 | 0.89% | $496,383 | -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% |
2020 | 1 | -2.58% | $483,591 | 5.39% | -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% |
2020 | 2 | -11.84% | $426,338 | -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% |
2020 | 3 | -24.10% | $323,570 | -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% |
2020 | 4 | 13.73% | $367,994 | 3.01% | 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% |
2020 | 5 | 0.68% | $370,510 | -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% |
2020 | 6 | -1.53% | $364,825 | 13.03% | 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% |
2020 | 7 | -2.04% | $357,398 | 1.38% | -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% |
2020 | 8 | -0.06% | $357,186 | -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% |
2020 | 9 | -7.02% | $332,116 | -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% |
2020 | 10 | -2.20% | $324,796 | -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% |
2020 | 11 | 16.40% | $378,073 | 17.78% | 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% |
2020 | 12 | 3.62% | $391,765 | 8.54% | -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% |
2021 | 1 | 0.95% | $395,479 | -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% |
2021 | 2 | 10.97% | $438,882 | 12.41% | 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% |
2021 | 3 | 5.23% | $461,856 | 0.52% | 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% |
2021 | 4 | 3.20% | $476,634 | 6.51% | 11.23% | -1.22% | 3.60% | 5.84% | 2.39% | 3.68% | -6.67% | 10.36% | -5.80% | -1.12% | 3.14% | 4.24% | 10.16% | 4.00% | 2.53% | 3.33% | 5.23% | 3.30% | -0.77% | 2.83% |
2021 | 5 | 4.46% | $497,875 | -0.15% | 1.33% | 3.36% | -4.72% | 0.75% | -7.43% | 8.83% | 3.08% | 7.74% | 25.91% | 5.29% | 2.37% | 3.22% | 7.74% | 7.57% | 3.45% | 5.49% | 0.76% | 10.02% | 5.20% | 8.13% |
2021 | 6 | -0.78% | $493,970 | 1.14% | 3.38% | -10.16% | -4.52% | 0.28% | -1.53% | -9.96% | -1.40% | -3.95% | 2.27% | 1.67% | -2.53% | -7.22% | -4.21% | -0.60% | 8.07% | 0.72% | 5.50% | -2.89% | 1.90% | 2.29% |
2021 | 7 | -3.21% | $478,095 | 5.38% | 0.31% | -2.92% | 0.34% | 8.13% | -0.94% | -1.28% | 0.76% | -0.30% | -6.12% | 2.32% | -2.67% | -3.12% | -2.14% | -3.18% | -8.73% | -8.48% | -4.92% | -14.23% | -14.44% | -5.65% |
2021 | 8 | 0.17% | $478,886 | -2.58% | 3.61% | -0.87% | 0.19% | -3.19% | -8.32% | 11.41% | 4.56% | 4.65% | -6.59% | -1.49% | 0.09% | 10.50% | 6.75% | -6.39% | -3.86% | 2.45% | 1.06% | 0.53% | -1.94% | -1.44% |
2021 | 9 | -0.01% | $478,841 | -9.28% | -2.22% | -5.52% | -1.37% | -5.17% | -7.64% | 0.15% | -7.69% | -5.89% | 8.67% | -10.77% | -5.44% | 0.53% | -0.64% | 2.83% | 7.89% | 11.73% | 10.42% | 6.42% | -1.49% | 6.85% |
2021 | 10 | 5.30% | $504,208 | 6.23% | 2.00% | 3.08% | -0.19% | 5.57% | 1.09% | 5.56% | -3.10% | -2.86% | 20.62% | -1.30% | 5.01% | 1.30% | 4.61% | 1.73% | 9.61% | 5.34% | 11.32% | 9.58% | 6.78% | 8.29% |
2021 | 11 | -4.14% | $483,344 | -2.78% | 1.93% | -2.28% | -1.85% | -0.99% | 0.24% | -8.07% | -3.33% | -11.46% | 12.93% | -8.17% | -11.89% | -0.69% | -6.08% | -7.70% | -5.91% | -8.75% | -5.94% | -12.28% | -6.40% | -4.63% |
2021 | 12 | 6.30% | $513,815 | 9.00% | 12.00% | 8.13% | 1.77% | 8.85% | 8.10% | 2.91% | 13.27% | 8.21% | 8.23% | 16.26% | 5.20% | 10.39% | 5.85% | 2.59% | 2.26% | 2.58% | -1.80% | 12.20% | 4.76% | -1.30% |
Style Category | Portfolio 1 |
---|---|
Large-cap Value | 19.44% |
Large-cap Growth | 0.00% |
Mid-cap Value | 58.06% |
Mid-cap Growth | 0.00% |
Small-cap Value | 11.63% |
Small-cap Growth | 0.00% |
Global ex-US Developed Markets | 0.48% |
Emerging Markets | 0.00% |
Corporate Bonds | 0.00% |
Long-Term Treasuries | 10.39% |
Intermediate-Term Treasuries | 0.00% |
Short-Term Treasuries | 0.00% |
R Squared | 84.29% |
Style analysis is based on monthly returns from January 2013 to December 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. |
Ticker | Name | Category | Weight | TTM Yield | Contribution | |
---|---|---|---|---|---|---|
Return | Risk | |||||
NNN | NNN REIT Inc | Real Estate / REIT - Retail | 5.55% | 5.17% | $16,837 | 4.95% |
FRT | Federal Realty Investment Trust | Real Estate / REIT - Retail | 5.55% | 4.28% | $13,344 | 5.74% |
UHT | Universal Health Realty Income Trust | Real Estate / REIT - Healthcare Facilities | 5.55% | 6.04% | $18,913 | 4.69% |
EQC | Equity Commonwealth | Real Estate / REIT - Office | 5.55% | 26.28% | $14,404 | 1.55% |
WPC | W.P. Carey Inc. | Real Estate / REIT - Diversified | 5.55% | 6.26% | $19,958 | 4.22% |
LTC | LTC Properties, Inc. | Real Estate / REIT - Healthcare Facilities | 5.55% | 6.63% | $7,079 | 4.76% |
LNC | Lincoln National Corporation | Financial Services / Insurance - Life | 4.17% | 6.48% | $17,159 | 6.88% |
MO | Altria Group | Consumer Defensive / Tobacco | 4.17% | 8.27% | $11,723 | 1.99% |
ALL | Allstate Corporation | Financial Services / Insurance - Property & Casualty | 4.17% | 3.09% | $19,590 | 3.11% |
F | Ford Motor Company | Consumer Cyclical / Auto Manufacturers | 4.17% | 10.56% | $22,123 | 4.12% |
BMY | Bristol-Myers Squibb Company | Healthcare / Drug Manufacturers - General | 4.17% | 3.66% | $12,140 | 2.12% |
HII | Huntington Ingalls Industries, Inc. | Industrials / Aerospace & Defense | 4.17% | 2.13% | $22,694 | 3.51% |
TSN | Tyson Foods, Inc. | Consumer Defensive / Farm Products | 4.17% | 3.37% | $27,130 | 2.87% |
PRU | Prudential Financial, Inc. | Financial Services / Insurance - Life | 4.17% | 5.09% | $15,386 | 4.87% |
KMI | Kinder Morgan, Inc. | Energy / Oil & Gas Midstream | 4.76% | 6.39% | $1,540 | 4.59% |
XOM | Exxon Mobil Corporation | Energy / Oil & Gas Integrated | 4.76% | 3.47% | $1,854 | 5.49% |
BP | BP p.l.c. | Energy / Oil & Gas Integrated | 4.76% | 4.12% | $3,126 | 4.55% |
OKE | ONEOK, Inc. | Energy / Oil & Gas Midstream | 4.76% | 5.62% | $30,592 | 8.36% |
VLO | Valero Energy Corporation | Energy / Oil & Gas Refining & Marketing | 4.76% | 3.10% | $22,125 | 8.78% |
PSX | Phillips 66 | Energy / Oil & Gas Refining & Marketing | 4.76% | 3.66% | $8,976 | 7.14% |
WMB | Williams Companies, Inc. | Energy / Oil & Gas Midstream | 4.76% | 5.13% | $7,121 | 5.71% |
Metric | Portfolio 1 |
---|---|
Arithmetic Mean (monthly) | 1.00% |
Arithmetic Mean (annualized) | 12.64% |
Geometric Mean (monthly) | 0.88% |
Geometric Mean (annualized) | 11.05% |
Standard Deviation (monthly) | 4.83% |
Standard Deviation (annualized) | 16.72% |
Downside Deviation (monthly) | 3.22% |
Maximum Drawdown | -34.81% |
Stock Market Correlation | 0.83 |
Beta(*) | 1.00 |
Alpha (annualized) | -4.10% |
R2 | 68.66% |
Sharpe Ratio | 0.68 |
Sortino Ratio | 1.00 |
Treynor Ratio (%) | 11.28 |
Calmar Ratio | 0.30 |
Active Return | -5.10% |
Tracking Error | 9.36% |
Information Ratio | -0.54 |
Skewness | -0.98 |
Excess Kurtosis | 7.29 |
Historical Value-at-Risk (5%) | 5.91% |
Analytical Value-at-Risk (5%) | 7.13% |
Conditional Value-at-Risk (5%) | 10.80% |
Upside Capture Ratio (%) | 83.44 |
Downside Capture Ratio (%) | 104.52 |
Safe Withdrawal Rate | 19.38% |
Perpetual Withdrawal Rate | 7.99% |
Positive Periods | 70 out of 108 (64.81%) |
Gain/Loss Ratio | 1.00 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are monthly values. |
Stress Period | Start | End | Portfolio 1 |
---|---|---|---|
COVID-19 Start | Jan 2020 | Mar 2020 | -34.81% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jan 2020 | Mar 2020 | 3 months | May 2021 | 1 year 2 months | 1 year 5 months | -34.81% |
2 | Sep 2018 | Dec 2018 | 4 months | Mar 2019 | 3 months | 7 months | -13.93% |
3 | Apr 2015 | Sep 2015 | 6 months | May 2016 | 8 months | 1 year 2 months | -10.89% |
4 | Jan 2018 | Feb 2018 | 2 months | Jul 2018 | 5 months | 7 months | -7.76% |
5 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -4.89% |
6 | Sep 2014 | Sep 2014 | 1 month | Jan 2015 | 4 months | 5 months | -4.70% |
7 | Nov 2021 | Nov 2021 | 1 month | Dec 2021 | 1 month | 2 months | -4.14% |
8 | Jun 2021 | Jul 2021 | 2 months | Oct 2021 | 3 months | 5 months | -3.97% |
9 | Mar 2017 | May 2017 | 3 months | Jun 2017 | 1 month | 4 months | -2.96% |
10 | May 2013 | Jun 2013 | 2 months | Jul 2013 | 1 month | 3 months | -2.90% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|
NNN | NNN REIT Inc | 9.73% | 24.36% | 36.02% | -19.35% | -45.38% | 0.49 | 0.69 | 0.42 |
FRT | Federal Realty Investment Trust | 6.39% | 23.19% | 65.92% | -30.56% | -53.14% | 0.36 | 0.53 | 0.54 |
UHT | Universal Health Realty Income Trust | 6.43% | 25.28% | 97.05% | -43.08% | -55.38% | 0.35 | 0.51 | 0.36 |
EQC | Equity Commonwealth | 10.05% | 22.34% | 54.31% | -5.98% | -18.14% | 0.49 | 1.31 | 0.10 |
WPC | W.P. Carey Inc. | 11.50% | 20.17% | 28.80% | -10.40% | -34.96% | 0.61 | 0.96 | 0.53 |
LTC | LTC Properties, Inc. | 5.00% | 22.75% | 28.53% | -7.52% | -39.01% | 0.30 | 0.44 | 0.46 |
LNC | Lincoln National Corporation | 13.81% | 37.35% | 102.16% | -32.00% | -66.70% | 0.52 | 0.82 | 0.76 |
MO | Altria Group | 10.52% | 21.31% | 34.52% | -27.09% | -40.81% | 0.55 | 0.84 | 0.37 |
ALL | Allstate Corporation | 14.97% | 18.31% | 43.62% | -19.52% | -23.90% | 0.82 | 1.34 | 0.66 |
F | Ford Motor Company | 9.88% | 29.14% | 137.50% | -34.29% | -61.74% | 0.45 | 0.71 | 0.54 |
BMY | Bristol-Myers Squibb Company | 10.62% | 24.23% | 69.95% | -13.50% | -35.26% | 0.51 | 0.79 | 0.42 |
HII | Huntington Ingalls Industries, Inc. | 19.36% | 25.20% | 109.35% | -30.44% | -45.17% | 0.81 | 1.30 | 0.54 |
TSN | Tyson Foods, Inc. | 20.03% | 25.56% | 73.91% | -32.82% | -37.13% | 0.82 | 1.38 | 0.36 |
PRU | Prudential Financial, Inc. | 12.22% | 27.65% | 77.13% | -26.46% | -51.93% | 0.54 | 0.78 | 0.79 |
KMI | Kinder Morgan, Inc. | -4.13% | 26.63% | 44.41% | -62.76% | -64.60% | -0.04 | -0.05 | 0.49 |
XOM | Exxon Mobil Corporation | 0.43% | 24.10% | 57.64% | -36.21% | -58.35% | 0.11 | 0.16 | 0.69 |
BP | BP p.l.c. | 1.12% | 24.40% | 36.47% | -41.32% | -61.67% | 0.14 | 0.21 | 0.51 |
OKE | ONEOK, Inc. | 11.53% | 40.92% | 149.37% | -47.36% | -70.87% | 0.51 | 0.75 | 0.60 |
VLO | Valero Energy Corporation | 14.56% | 41.16% | 64.89% | -35.60% | -64.60% | 0.51 | 0.88 | 0.62 |
PSX | Phillips 66 | 6.99% | 32.67% | 48.33% | -33.92% | -58.71% | 0.35 | 0.57 | 0.65 |
WMB | Williams Companies, Inc. | 3.40% | 33.75% | 38.43% | -39.22% | -71.11% | 0.25 | 0.37 | 0.58 |
Name | Total Return | Annualized Return | |||
---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | |
NNN REIT Inc | 12.58% | 23.03% | 23.03% | 4.43% | 6.47% |
Federal Realty Investment Trust | 16.44% | 65.92% | 65.92% | 9.03% | 2.80% |
Universal Health Realty Income Trust | 8.91% | -3.27% | -3.27% | 2.76% | 1.87% |
Equity Commonwealth | -0.31% | -5.06% | -5.06% | 2.79% | 3.18% |
W.P. Carey Inc. | 13.78% | 22.88% | 22.88% | 14.15% | 13.22% |
LTC Properties, Inc. | 9.55% | -6.77% | -6.77% | -0.93% | -0.89% |
Lincoln National Corporation | -0.14% | 39.44% | 39.44% | 13.49% | 3.23% |
Altria Group | 6.11% | 24.26% | 24.26% | 6.33% | -0.83% |
Allstate Corporation | -6.93% | 9.88% | 9.88% | 15.07% | 11.98% |
Ford Motor Company | 47.43% | 137.50% | 137.50% | 43.56% | 16.15% |
Bristol-Myers Squibb Company | 5.37% | 2.89% | 2.89% | 9.72% | 4.38% |
Huntington Ingalls Industries, Inc. | -2.66% | 12.12% | 12.12% | 1.48% | 2.05% |
Tyson Foods, Inc. | 11.06% | 38.49% | 38.49% | 20.50% | 9.41% |
Prudential Financial, Inc. | 3.99% | 45.24% | 45.24% | 15.57% | 5.22% |
Kinder Morgan, Inc. | -3.67% | 23.86% | 23.86% | 7.40% | -0.32% |
Exxon Mobil Corporation | 5.46% | 57.64% | 57.64% | 2.55% | -2.51% |
BP p.l.c. | -1.40% | 36.47% | 36.47% | -5.38% | -0.58% |
ONEOK, Inc. | 2.82% | 64.85% | 64.85% | 11.33% | 7.50% |
Valero Energy Corporation | 7.85% | 40.33% | 40.33% | 5.61% | 6.80% |
Phillips 66 | 4.71% | 8.50% | 8.50% | -1.33% | 0.38% |
Williams Companies, Inc. | 1.93% | 38.43% | 38.43% | 13.47% | 2.56% |
Trailing returns as of last calendar month ending December 2021 |
Ticker | Name | NNN | FRT | UHT | EQC | WPC | LTC | LNC | MO | ALL | F | BMY | HII | TSN | PRU | KMI | XOM | BP | OKE | VLO | PSX | WMB | Portfolio 1 |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
NNN | NNN REIT Inc | 1.00 | 0.81 | 0.48 | 0.22 | 0.78 | 0.80 | 0.21 | 0.28 | 0.43 | 0.27 | 0.22 | 0.19 | 0.29 | 0.18 | 0.34 | 0.37 | 0.35 | 0.42 | 0.29 | 0.31 | 0.15 | 0.63 |
FRT | Federal Realty Investment Trust | 0.81 | 1.00 | 0.52 | 0.14 | 0.68 | 0.77 | 0.44 | 0.28 | 0.53 | 0.39 | 0.24 | 0.27 | 0.40 | 0.42 | 0.44 | 0.57 | 0.45 | 0.52 | 0.52 | 0.49 | 0.31 | 0.77 |
UHT | Universal Health Realty Income Trust | 0.48 | 0.52 | 1.00 | 0.26 | 0.46 | 0.57 | 0.25 | 0.26 | 0.54 | 0.08 | 0.29 | 0.32 | 0.28 | 0.22 | 0.29 | 0.32 | 0.26 | 0.23 | 0.40 | 0.40 | 0.21 | 0.58 |
EQC | Equity Commonwealth | 0.22 | 0.14 | 0.26 | 1.00 | 0.20 | 0.19 | 0.08 | 0.03 | 0.15 | -0.04 | 0.02 | 0.12 | 0.09 | 0.00 | 0.04 | 0.08 | -0.03 | 0.04 | 0.13 | 0.10 | 0.07 | 0.22 |
WPC | W.P. Carey Inc. | 0.78 | 0.68 | 0.46 | 0.20 | 1.00 | 0.70 | 0.33 | 0.28 | 0.55 | 0.32 | 0.24 | 0.21 | 0.27 | 0.32 | 0.37 | 0.39 | 0.34 | 0.42 | 0.30 | 0.37 | 0.25 | 0.65 |
LTC | LTC Properties, Inc. | 0.80 | 0.77 | 0.57 | 0.19 | 0.70 | 1.00 | 0.28 | 0.19 | 0.41 | 0.26 | 0.23 | 0.17 | 0.30 | 0.22 | 0.36 | 0.39 | 0.28 | 0.49 | 0.38 | 0.36 | 0.28 | 0.65 |
LNC | Lincoln National Corporation | 0.21 | 0.44 | 0.25 | 0.08 | 0.33 | 0.28 | 1.00 | 0.18 | 0.54 | 0.55 | 0.29 | 0.57 | 0.24 | 0.90 | 0.48 | 0.67 | 0.47 | 0.62 | 0.65 | 0.63 | 0.60 | 0.76 |
MO | Altria Group | 0.28 | 0.28 | 0.26 | 0.03 | 0.28 | 0.19 | 0.18 | 1.00 | 0.45 | 0.17 | 0.22 | 0.34 | 0.28 | 0.21 | 0.15 | 0.33 | 0.34 | 0.10 | 0.25 | 0.28 | 0.06 | 0.39 |
ALL | Allstate Corporation | 0.43 | 0.53 | 0.54 | 0.15 | 0.55 | 0.41 | 0.54 | 0.45 | 1.00 | 0.32 | 0.33 | 0.53 | 0.37 | 0.60 | 0.38 | 0.48 | 0.40 | 0.38 | 0.50 | 0.52 | 0.25 | 0.70 |
F | Ford Motor Company | 0.27 | 0.39 | 0.08 | -0.04 | 0.32 | 0.26 | 0.55 | 0.17 | 0.32 | 1.00 | 0.10 | 0.31 | 0.33 | 0.56 | 0.39 | 0.52 | 0.41 | 0.46 | 0.42 | 0.40 | 0.37 | 0.58 |
BMY | Bristol-Myers Squibb Company | 0.22 | 0.24 | 0.29 | 0.02 | 0.24 | 0.23 | 0.29 | 0.22 | 0.33 | 0.10 | 1.00 | 0.38 | 0.09 | 0.30 | 0.02 | 0.25 | 0.16 | 0.09 | 0.26 | 0.25 | 0.14 | 0.36 |
HII | Huntington Ingalls Industries, Inc. | 0.19 | 0.27 | 0.32 | 0.12 | 0.21 | 0.17 | 0.57 | 0.34 | 0.53 | 0.31 | 0.38 | 1.00 | 0.33 | 0.50 | 0.27 | 0.42 | 0.34 | 0.36 | 0.47 | 0.45 | 0.20 | 0.58 |
TSN | Tyson Foods, Inc. | 0.29 | 0.40 | 0.28 | 0.09 | 0.27 | 0.30 | 0.24 | 0.28 | 0.37 | 0.33 | 0.09 | 0.33 | 1.00 | 0.22 | 0.21 | 0.31 | 0.20 | 0.20 | 0.34 | 0.32 | 0.14 | 0.46 |
PRU | Prudential Financial, Inc. | 0.18 | 0.42 | 0.22 | 0.00 | 0.32 | 0.22 | 0.90 | 0.21 | 0.60 | 0.56 | 0.30 | 0.50 | 0.22 | 1.00 | 0.44 | 0.66 | 0.48 | 0.53 | 0.62 | 0.60 | 0.56 | 0.73 |
KMI | Kinder Morgan, Inc. | 0.34 | 0.44 | 0.29 | 0.04 | 0.37 | 0.36 | 0.48 | 0.15 | 0.38 | 0.39 | 0.02 | 0.27 | 0.21 | 0.44 | 1.00 | 0.53 | 0.48 | 0.62 | 0.36 | 0.44 | 0.57 | 0.62 |
XOM | Exxon Mobil Corporation | 0.37 | 0.57 | 0.32 | 0.08 | 0.39 | 0.39 | 0.67 | 0.33 | 0.48 | 0.52 | 0.25 | 0.42 | 0.31 | 0.66 | 0.53 | 1.00 | 0.73 | 0.66 | 0.69 | 0.78 | 0.52 | 0.82 |
BP | BP p.l.c. | 0.35 | 0.45 | 0.26 | -0.03 | 0.34 | 0.28 | 0.47 | 0.34 | 0.40 | 0.41 | 0.16 | 0.34 | 0.20 | 0.48 | 0.48 | 0.73 | 1.00 | 0.52 | 0.56 | 0.60 | 0.44 | 0.67 |
OKE | ONEOK, Inc. | 0.42 | 0.52 | 0.23 | 0.04 | 0.42 | 0.49 | 0.62 | 0.10 | 0.38 | 0.46 | 0.09 | 0.36 | 0.20 | 0.53 | 0.62 | 0.66 | 0.52 | 1.00 | 0.47 | 0.59 | 0.65 | 0.74 |
VLO | Valero Energy Corporation | 0.29 | 0.52 | 0.40 | 0.13 | 0.30 | 0.38 | 0.65 | 0.25 | 0.50 | 0.42 | 0.26 | 0.47 | 0.34 | 0.62 | 0.36 | 0.69 | 0.56 | 0.47 | 1.00 | 0.87 | 0.43 | 0.77 |
PSX | Phillips 66 | 0.31 | 0.49 | 0.40 | 0.10 | 0.37 | 0.36 | 0.63 | 0.28 | 0.52 | 0.40 | 0.25 | 0.45 | 0.32 | 0.60 | 0.44 | 0.78 | 0.60 | 0.59 | 0.87 | 1.00 | 0.49 | 0.79 |
WMB | Williams Companies, Inc. | 0.15 | 0.31 | 0.21 | 0.07 | 0.25 | 0.28 | 0.60 | 0.06 | 0.25 | 0.37 | 0.14 | 0.20 | 0.14 | 0.56 | 0.57 | 0.52 | 0.44 | 0.65 | 0.43 | 0.49 | 1.00 | 0.61 |
Ticker | Name | Portfolio 1 |
---|---|---|
NNN | NNN REIT Inc | $16,837 |
FRT | Federal Realty Investment Trust | $13,344 |
UHT | Universal Health Realty Income Trust | $18,913 |
EQC | Equity Commonwealth | $14,404 |
WPC | W.P. Carey Inc. | $19,958 |
LTC | LTC Properties, Inc. | $7,079 |
LNC | Lincoln National Corporation | $17,159 |
MO | Altria Group | $11,723 |
ALL | Allstate Corporation | $19,590 |
F | Ford Motor Company | $22,123 |
BMY | Bristol-Myers Squibb Company | $12,140 |
HII | Huntington Ingalls Industries, Inc. | $22,694 |
TSN | Tyson Foods, Inc. | $27,130 |
PRU | Prudential Financial, Inc. | $15,386 |
KMI | Kinder Morgan, Inc. | $1,540 |
XOM | Exxon Mobil Corporation | $1,854 |
BP | BP p.l.c. | $3,126 |
OKE | ONEOK, Inc. | $30,592 |
VLO | Valero Energy Corporation | $22,125 |
PSX | Phillips 66 | $8,976 |
WMB | Williams Companies, Inc. | $7,121 |
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Ticker | Name | Portfolio 1 |
---|---|---|
NNN | NNN REIT Inc | 4.95% |
FRT | Federal Realty Investment Trust | 5.74% |
UHT | Universal Health Realty Income Trust | 4.69% |
EQC | Equity Commonwealth | 1.55% |
WPC | W.P. Carey Inc. | 4.22% |
LTC | LTC Properties, Inc. | 4.76% |
LNC | Lincoln National Corporation | 6.88% |
MO | Altria Group | 1.99% |
ALL | Allstate Corporation | 3.11% |
F | Ford Motor Company | 4.12% |
BMY | Bristol-Myers Squibb Company | 2.12% |
HII | Huntington Ingalls Industries, Inc. | 3.51% |
TSN | Tyson Foods, Inc. | 2.87% |
PRU | Prudential Financial, Inc. | 4.87% |
KMI | Kinder Morgan, Inc. | 4.59% |
XOM | Exxon Mobil Corporation | 5.49% |
BP | BP p.l.c. | 4.55% |
OKE | ONEOK, Inc. | 8.36% |
VLO | Valero Energy Corporation | 8.78% |
PSX | Phillips 66 | 7.14% |
WMB | Williams Companies, Inc. | 5.71% |
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | Average | High | Low |
---|---|---|---|
1 year | 10.37% | 55.24% | -33.55% |
3 years | 7.44% | 15.96% | -7.74% |
5 years | 7.67% | 16.80% | -0.67% |
7 years | 6.76% | 13.87% | 3.28% |