This tool supports optimizing the portfolio asset allocation based on the targeted risk factor exposures. The returns of the given portfolio are first regressed against the selected risk factor model consisting of equity risk factors (e.g. market, size, value), fixed income risk factors (e.g. term, credit), custom risk factor series, or any combination thereof. Based on the regression results, the targeted risk factor exposures of the portfolio can then be adjusted. You can also specify a list of optional assets that the optimizer can choose to add to the portfolio in order to meet the targeted risk factor exposures.
Ticker | Name | Allocation |
---|---|---|
DFUSX | DFA US Large Company I | 30.00% |
DFLVX | DFA US Large Cap Value I | 15.00% |
DFSVX | DFA US Small Cap Value I | 15.00% |
DFIHX | DFA One-Year Fixed-Income I | 10.00% |
IEF | iShares 7-10 Year Treasury Bond ETF | 10.00% |
TLT | iShares 20+ Year Treasury Bond ETF | 10.00% |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 10.00% |
Save portfolio » |
Ticker | Name | Allocation | Diff |
---|---|---|---|
DFLVX | DFA US Large Cap Value I | 15.00% | 0.00% |
DFUSX | DFA US Large Company I | 27.21% | -2.79% |
DFIHX | DFA One-Year Fixed-Income I | 10.16% | 0.16% |
IEF | iShares 7-10 Year Treasury Bond ETF | 1.10% | -8.90% |
DFSVX | DFA US Small Cap Value I | 16.21% | 1.21% |
TLT | iShares 20+ Year Treasury Bond ETF | 0.00% | -10.00% |
LQD | iShares iBoxx $ Invmt Grade Corp Bd ETF | 30.32% | 20.32% |
Save portfolio » |
Name | Rm-Rf | SMB | HML | TRM | CDT | Annual Alpha | R2 |
---|---|---|---|---|---|---|---|
Provided Portfolio | 0.62 | 0.08 | 0.19 | 0.18 | 0.02 | -1.02% | 99.11% |
Adjusted Portfolio | 0.61 | 0.10 | 0.20 | 0.10 | 0.15 | -1.08% | 99.18% |
Factor regression from Apr 2019 to Mar 2022. Statistically significant values in bold. |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Provided Portfolio | $10,000 | $47,169 | 8.17% | 9.80% | 23.54% | -19.62% | -34.21% | 0.73 | 1.09 | 0.97 |
Adjusted Portfolio | $10,000 | $45,456 | 7.97% | 10.60% | 24.72% | -22.32% | -36.96% | 0.67 | 0.99 | 0.97 |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Provided Portfolio | -7.21% | -10.23% | -2.94% | 8.15% | 7.65% | 8.63% | 8.17% | 12.65% | 11.00% |
Adjusted Portfolio | -7.00% | -10.06% | -3.42% | 7.76% | 7.36% | 8.47% | 7.97% | 13.92% | 11.98% |
Trailing return and volatility are as of last full calendar month ending April 2022 |
Metric | Provided Portfolio | Adjusted Portfolio |
---|---|---|
Arithmetic Mean (monthly) | 0.70% | 0.69% |
Arithmetic Mean (annualized) | 8.69% | 8.58% |
Geometric Mean (monthly) | 0.66% | 0.64% |
Geometric Mean (annualized) | 8.17% | 7.97% |
Standard Deviation (monthly) | 2.83% | 3.06% |
Standard Deviation (annualized) | 9.80% | 10.60% |
Downside Deviation (monthly) | 1.86% | 2.04% |
Maximum Drawdown | -34.21% | -36.96% |
Stock Market Correlation | 0.97 | 0.97 |
Beta(*) | 0.63 | 0.68 |
Alpha (annualized) | 1.49% | 0.81% |
R2 | 93.30% | 93.69% |
Sharpe Ratio | 0.73 | 0.67 |
Sortino Ratio | 1.09 | 0.99 |
Treynor Ratio (%) | 11.45 | 10.41 |
Calmar Ratio | 0.55 | 0.43 |
Active Return | -2.07% | -2.27% |
Tracking Error | 6.15% | 5.50% |
Information Ratio | -0.34 | -0.41 |
Skewness | -0.76 | -0.73 |
Excess Kurtosis | 3.05 | 3.02 |
Historical Value-at-Risk (5%) | -4.06% | -4.98% |
Analytical Value-at-Risk (5%) | -3.95% | -4.33% |
Conditional Value-at-Risk (5%) | -6.72% | -7.26% |
Upside Capture Ratio (%) | 63.36 | 66.97 |
Downside Capture Ratio (%) | 59.14 | 65.88 |
Safe Withdrawal Rate | 8.47% | 8.38% |
Perpetual Withdrawal Rate | 5.25% | 5.07% |
Positive Periods | 163 out of 237 (68.78%) | 161 out of 237 (67.93%) |
Gain/Loss Ratio | 0.88 | 0.87 |
* US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Name | Ticker | Rm-Rf | SMB | HML | TRM | CDT | Annual Alpha | R2 |
---|---|---|---|---|---|---|---|---|
DFA US Large Company I | DFUSX | 0.99 | -0.19 | 0.02 | -0.01 | -0.01 | 0.49% | 99.53% |
DFA US Large Cap Value I | DFLVX | 1.04 | 0.12 | 0.49 | 0.06 | -0.07 | -4.86% | 96.60% |
DFA US Small Cap Value I | DFSVX | 1.10 | 0.70 | 0.72 | -0.02 | -0.10 | -1.85% | 98.87% |
DFA One-Year Fixed-Income I | DFIHX | 0.01 | 0.02 | 0.00 | 0.02 | -0.00 | -0.58% | 31.84% |
iShares 7-10 Year Treasury Bond ETF | IEF | 0.01 | 0.06 | -0.02 | 0.42 | -0.11 | -0.40% | 90.08% |
iShares 20+ Year Treasury Bond ETF | TLT | 0.00 | -0.01 | -0.01 | 1.04 | -0.02 | -0.24% | 99.82% |
iShares iBoxx $ Invmt Grade Corp Bd ETF | LQD | 0.04 | 0.05 | -0.00 | 0.31 | 0.58 | -0.39% | 95.84% |
Factor regression from Apr 2019 to Mar 2022. Statistically significant values in bold. |
Year | Inflation | Provided Portfolio | Adjusted Portfolio | DFA US Large Company I (DFUSX) | DFA US Large Cap Value I (DFLVX) | DFA US Small Cap Value I (DFSVX) | DFA One-Year Fixed-Income I (DFIHX) | iShares 7-10 Year Treasury Bond ETF (IEF) | iShares 20+ Year Treasury Bond ETF (TLT) | iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD) | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | |||||||||
2002 | 0.44% | 1.26% | $10,126 | 1.70% | $10,170 | -2.85% | -4.10% | -2.64% | 1.41% | 6.60% | 9.72% | 10.07% |
2003 | 1.88% | 23.54% | $12,510 | 24.72% | $12,683 | 28.53% | 34.42% | 59.40% | 1.61% | 5.29% | 1.62% | 9.08% |
2004 | 3.26% | 11.71% | $13,974 | 11.61% | $14,156 | 10.77% | 18.25% | 25.39% | 0.89% | 4.12% | 8.71% | 5.72% |
2005 | 3.42% | 5.87% | $14,795 | 4.92% | $14,853 | 4.98% | 10.24% | 7.79% | 2.30% | 2.64% | 8.61% | 1.16% |
2006 | 2.54% | 12.11% | $16,587 | 12.52% | $16,712 | 15.72% | 20.18% | 21.55% | 4.78% | 2.52% | 0.71% | 4.22% |
2007 | 4.08% | 2.63% | $17,024 | 1.14% | $16,903 | 5.52% | -2.76% | -10.75% | 5.19% | 10.37% | 10.29% | 3.73% |
2008 | 0.09% | -19.62% | $13,684 | -22.32% | $13,130 | -36.76% | -40.80% | -36.79% | 4.02% | 17.91% | 33.93% | 2.40% |
2009 | 2.72% | 15.33% | $15,781 | 20.28% | $15,793 | 26.62% | 30.19% | 33.62% | 1.92% | -6.59% | -21.80% | 8.46% |
2010 | 1.50% | 15.86% | $18,284 | 15.70% | $18,272 | 15.00% | 20.17% | 30.90% | 1.16% | 9.37% | 9.05% | 9.33% |
2011 | 2.96% | 5.30% | $19,254 | 2.37% | $18,705 | 2.10% | -3.14% | -7.55% | 0.59% | 15.64% | 33.96% | 9.73% |
2012 | 1.74% | 13.22% | $21,799 | 14.52% | $21,422 | 15.82% | 22.05% | 21.72% | 0.93% | 3.66% | 2.63% | 10.58% |
2013 | 1.50% | 18.37% | $25,804 | 19.76% | $25,655 | 32.33% | 40.32% | 42.38% | 0.34% | -6.09% | -13.37% | -2.00% |
2014 | 0.76% | 10.57% | $28,532 | 8.46% | $27,824 | 13.53% | 10.07% | 3.48% | 0.26% | 9.07% | 27.30% | 8.21% |
2015 | 0.73% | -1.03% | $28,238 | -1.48% | $27,411 | 1.38% | -3.49% | -7.81% | 0.31% | 1.51% | -1.79% | -1.25% |
2016 | 2.07% | 11.69% | $31,538 | 12.66% | $30,883 | 11.90% | 18.89% | 28.26% | 0.84% | 1.00% | 1.18% | 6.21% |
2017 | 2.11% | 12.27% | $35,408 | 12.05% | $34,603 | 21.73% | 18.97% | 7.21% | 0.94% | 2.55% | 9.18% | 7.06% |
2018 | 1.91% | -5.34% | $33,517 | -6.14% | $32,480 | -4.43% | -11.65% | -15.13% | 1.87% | 0.99% | -1.61% | -3.79% |
2019 | 2.29% | 20.48% | $40,380 | 21.10% | $39,333 | 31.42% | 25.45% | 18.12% | 2.44% | 8.03% | 14.12% | 17.37% |
2020 | 1.36% | 11.20% | $44,903 | 9.78% | $43,181 | 18.40% | -0.61% | 2.23% | 0.62% | 10.01% | 18.15% | 10.97% |
2021 | 7.04% | 17.01% | $52,543 | 17.05% | $50,542 | 28.60% | 28.07% | 39.84% | -0.19% | -3.33% | -4.60% | -1.85% |
2022 | 3.70% | -10.23% | $47,169 | -10.06% | $45,456 | -12.93% | -6.09% | -5.82% | -1.39% | -10.33% | -19.05% | -14.52% |
Annual return for 2002 is from 08/01/2002 to 12/31/2002 and annual return for 2022 is from 01/01/2022 to 04/30/2022 |
Year | Month | Provided Portfolio | Adjusted Portfolio | DFA US Large Company I (DFUSX) | DFA US Large Cap Value I (DFLVX) | DFA US Small Cap Value I (DFSVX) | DFA One-Year Fixed-Income I (DFIHX) | iShares 7-10 Year Treasury Bond ETF (IEF) | iShares 20+ Year Treasury Bond ETF (TLT) | iShares iBoxx $ Invmt Grade Corp Bd ETF (LQD) | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | |||||||||
2002 | 8 | 1.42% | $10,142 | 1.35% | $10,135 | 0.56% | 1.62% | -1.25% | 0.30% | 2.52% | 5.51% | 3.64% |
2002 | 9 | -4.95% | $9,640 | -5.08% | $9,620 | -10.80% | -11.13% | -7.28% | 0.30% | 3.85% | 4.25% | 2.09% |
2002 | 10 | 2.93% | $9,922 | 3.07% | $9,915 | 8.76% | 3.92% | 1.62% | 0.29% | -1.25% | -3.69% | -0.61% |
2002 | 11 | 3.87% | $10,306 | 4.23% | $10,335 | 5.90% | 7.07% | 8.52% | -0.11% | -2.09% | -0.91% | 0.72% |
2002 | 12 | -1.75% | $10,126 | -1.59% | $10,170 | -5.97% | -4.55% | -3.58% | 0.62% | 3.55% | 4.53% | 3.93% |
2003 | 1 | -1.86% | $9,938 | -1.86% | $9,980 | -2.62% | -2.32% | -3.45% | 0.10% | -0.77% | -0.58% | -0.81% |
2003 | 2 | -0.75% | $9,864 | -0.86% | $9,895 | -1.49% | -2.93% | -4.11% | 0.29% | 2.20% | 3.10% | 1.98% |
2003 | 3 | 0.03% | $9,867 | 0.19% | $9,914 | 0.92% | -0.47% | -0.21% | 0.15% | -0.38% | -1.37% | 0.12% |
2003 | 4 | 5.82% | $10,441 | 6.08% | $10,517 | 8.28% | 9.20% | 10.56% | 0.21% | 0.14% | 1.05% | 2.35% |
2003 | 5 | 5.77% | $11,044 | 5.59% | $11,105 | 5.29% | 6.69% | 11.72% | 0.22% | 3.79% | 6.32% | 3.90% |
2003 | 6 | 0.84% | $11,137 | 1.06% | $11,222 | 1.30% | 1.08% | 3.65% | 0.11% | -0.69% | -1.80% | -0.18% |
2003 | 7 | -0.16% | $11,119 | 0.14% | $11,238 | 1.70% | 2.52% | 7.04% | -0.27% | -5.02% | -9.98% | -5.80% |
2003 | 8 | 2.24% | $11,368 | 2.35% | $11,501 | 1.93% | 3.55% | 5.14% | 0.09% | 0.71% | 1.31% | 1.45% |
2003 | 9 | 0.81% | $11,459 | 0.72% | $11,583 | -1.13% | -2.20% | -0.78% | 0.49% | 4.98% | 5.94% | 4.54% |
2003 | 10 | 3.64% | $11,877 | 3.78% | $12,021 | 5.77% | 6.69% | 10.00% | -0.18% | -1.47% | -3.03% | -1.26% |
2003 | 11 | 1.28% | $12,029 | 1.33% | $12,181 | 0.85% | 2.22% | 4.16% | 0.02% | 0.02% | 0.34% | 0.31% |
2003 | 12 | 4.00% | $12,510 | 4.12% | $12,683 | 5.14% | 6.83% | 5.33% | 0.39% | 2.03% | 1.35% | 2.55% |
2004 | 1 | 1.96% | $12,755 | 1.94% | $12,929 | 1.84% | 1.69% | 4.89% | 0.10% | 1.02% | 1.86% | 1.22% |
2004 | 2 | 1.57% | $12,955 | 1.49% | $13,121 | 1.35% | 2.58% | 1.41% | 0.26% | 1.61% | 2.28% | 1.51% |
2004 | 3 | 0.03% | $12,960 | 0.03% | $13,125 | -1.45% | -0.40% | 0.94% | 0.18% | 1.30% | 1.41% | 0.99% |
2004 | 4 | -2.69% | $12,611 | -2.46% | $12,802 | -1.59% | -1.69% | -3.17% | -0.37% | -4.35% | -6.23% | -3.89% |
2004 | 5 | 0.42% | $12,664 | 0.35% | $12,847 | 1.38% | 0.57% | 0.38% | -0.08% | -0.53% | -0.26% | -0.52% |
2004 | 6 | 2.22% | $12,945 | 2.10% | $13,117 | 1.96% | 2.99% | 6.69% | -0.09% | 0.65% | 1.06% | 0.13% |
2004 | 7 | -1.83% | $12,707 | -1.75% | $12,888 | -3.35% | -3.27% | -5.33% | 0.31% | 1.21% | 1.53% | 1.56% |
2004 | 8 | 0.93% | $12,825 | 0.86% | $12,999 | 0.35% | 0.00% | -1.49% | 0.42% | 2.83% | 4.17% | 3.08% |
2004 | 9 | 1.68% | $13,041 | 1.65% | $13,214 | 1.09% | 3.08% | 4.93% | -0.07% | 0.32% | 0.95% | 0.31% |
2004 | 10 | 1.18% | $13,195 | 1.13% | $13,363 | 1.49% | 1.17% | 0.96% | 0.24% | 0.99% | 1.77% | 1.18% |
2004 | 11 | 3.12% | $13,607 | 3.29% | $13,803 | 4.06% | 6.55% | 10.00% | -0.23% | -1.98% | -2.39% | -1.22% |
2004 | 12 | 2.70% | $13,974 | 2.56% | $14,156 | 3.38% | 3.99% | 3.62% | 0.21% | 1.17% | 2.66% | 1.39% |
2005 | 1 | -1.06% | $13,825 | -1.22% | $13,983 | -2.43% | -2.49% | -3.57% | 0.10% | 0.87% | 3.57% | 1.23% |
2005 | 2 | 1.14% | $13,982 | 1.19% | $14,149 | 2.17% | 3.02% | 2.70% | 0.05% | -1.37% | -1.47% | -0.94% |
2005 | 3 | -1.08% | $13,831 | -1.23% | $13,975 | -1.81% | -0.26% | -1.95% | 0.03% | -0.40% | -0.45% | -1.26% |
2005 | 4 | -1.32% | $13,649 | -1.64% | $13,747 | -1.84% | -3.44% | -7.28% | 0.41% | 2.52% | 3.86% | 1.62% |
2005 | 5 | 3.16% | $14,080 | 2.80% | $14,132 | 3.09% | 4.28% | 6.65% | 0.31% | 1.84% | 3.14% | 0.62% |
2005 | 6 | 1.39% | $14,275 | 1.42% | $14,333 | 0.18% | 2.03% | 4.17% | 0.16% | 0.48% | 2.16% | 1.22% |
2005 | 7 | 2.30% | $14,603 | 2.64% | $14,711 | 3.75% | 4.96% | 7.11% | -0.02% | -2.18% | -3.38% | -0.82% |
2005 | 8 | 0.09% | $14,616 | -0.13% | $14,693 | -0.93% | -0.83% | -1.67% | 0.44% | 2.00% | 3.48% | 1.50% |
2005 | 9 | -0.12% | $14,598 | 0.00% | $14,693 | 0.80% | 1.54% | 0.80% | 0.09% | -1.75% | -3.61% | -1.86% |
2005 | 10 | -1.83% | $14,331 | -1.80% | $14,429 | -1.66% | -2.68% | -2.92% | 0.18% | -1.24% | -2.24% | -1.58% |
2005 | 11 | 2.59% | $14,703 | 2.55% | $14,796 | 3.81% | 3.98% | 4.21% | 0.26% | 0.63% | 0.69% | 0.66% |
2005 | 12 | 0.62% | $14,795 | 0.38% | $14,853 | 0.03% | 0.13% | 0.34% | 0.27% | 1.37% | 2.98% | 0.86% |
2006 | 1 | 2.61% | $15,182 | 2.76% | $15,262 | 2.66% | 4.74% | 8.82% | 0.30% | -0.70% | -1.34% | -0.44% |
2006 | 2 | 0.15% | $15,205 | 0.18% | $15,290 | 0.20% | -0.35% | -0.35% | 0.31% | -0.10% | 1.11% | 0.68% |
2006 | 3 | 0.83% | $15,332 | 1.11% | $15,459 | 1.26% | 1.76% | 6.09% | 0.39% | -1.36% | -4.57% | -1.68% |
2006 | 4 | 0.66% | $15,433 | 0.92% | $15,602 | 1.38% | 2.82% | 0.98% | 0.33% | -0.63% | -2.75% | -0.20% |
2006 | 5 | -1.82% | $15,152 | -1.80% | $15,321 | -2.92% | -1.86% | -4.39% | 0.41% | -0.10% | -0.19% | -0.19% |
2006 | 6 | 0.36% | $15,207 | 0.20% | $15,352 | 0.20% | 0.87% | 0.05% | 0.35% | 0.23% | 1.18% | -0.09% |
2006 | 7 | -0.03% | $15,203 | -0.16% | $15,328 | 0.60% | -1.45% | -3.75% | 0.43% | 1.68% | 2.16% | 1.46% |
2006 | 8 | 2.00% | $15,507 | 1.95% | $15,627 | 2.40% | 1.61% | 1.95% | 0.43% | 1.76% | 3.06% | 2.22% |
2006 | 9 | 1.80% | $15,786 | 1.62% | $15,880 | 2.52% | 2.76% | 1.19% | 0.46% | 1.21% | 1.91% | 0.87% |
2006 | 10 | 2.67% | $16,207 | 2.71% | $16,311 | 3.25% | 3.96% | 5.43% | 0.45% | 0.54% | 0.85% | 1.00% |
2006 | 11 | 1.84% | $16,505 | 1.77% | $16,600 | 1.85% | 1.89% | 3.03% | 0.36% | 1.31% | 2.31% | 1.46% |
2006 | 12 | 0.50% | $16,587 | 0.68% | $16,712 | 1.44% | 2.01% | 1.38% | 0.45% | -1.28% | -2.69% | -0.90% |
2007 | 1 | 1.14% | $16,776 | 1.28% | $16,926 | 1.53% | 2.89% | 2.20% | 0.49% | -0.40% | -1.00% | 0.09% |
2007 | 2 | -0.07% | $16,765 | -0.13% | $16,905 | -1.95% | -1.50% | -0.23% | 0.35% | 2.06% | 3.39% | 2.00% |
2007 | 3 | 0.38% | $16,828 | 0.41% | $16,973 | 1.06% | 0.66% | 1.09% | 0.49% | -0.14% | -1.70% | -0.68% |
2007 | 4 | 2.54% | $17,255 | 2.47% | $17,393 | 4.50% | 4.24% | 1.81% | 0.41% | 0.61% | 0.90% | 0.89% |
2007 | 5 | 1.75% | $17,557 | 1.80% | $17,706 | 3.44% | 4.10% | 3.65% | 0.44% | -1.39% | -2.31% | -1.23% |
2007 | 6 | -1.15% | $17,355 | -1.14% | $17,504 | -1.61% | -1.62% | -1.55% | 0.42% | -0.47% | -1.01% | -0.81% |
2007 | 7 | -2.51% | $16,920 | -3.21% | $16,942 | -3.14% | -6.21% | -7.64% | 0.41% | 2.26% | 3.32% | -0.82% |
2007 | 8 | 0.74% | $17,045 | 0.79% | $17,076 | 1.49% | -1.91% | -0.76% | 0.45% | 2.26% | 1.79% | 2.38% |
2007 | 9 | 1.61% | $17,319 | 1.62% | $17,353 | 3.75% | 2.58% | -0.28% | 0.33% | 0.09% | 0.23% | 0.73% |
2007 | 10 | 1.16% | $17,520 | 1.05% | $17,535 | 1.59% | 0.54% | 1.11% | 0.49% | 1.08% | 1.81% | 0.97% |
2007 | 11 | -2.34% | $17,111 | -3.01% | $17,007 | -4.20% | -5.60% | -8.72% | 0.32% | 4.04% | 5.35% | 1.02% |
2007 | 12 | -0.51% | $17,024 | -0.61% | $16,903 | -0.63% | -0.32% | -1.20% | 0.44% | 0.05% | -0.64% | -0.81% |
2008 | 1 | -2.13% | $16,661 | -2.00% | $16,565 | -6.01% | -3.84% | -3.94% | 0.39% | 3.36% | 2.10% | 2.57% |
2008 | 2 | -1.83% | $16,356 | -1.98% | $16,237 | -3.24% | -3.09% | -2.84% | 0.27% | 1.24% | -0.46% | -0.71% |
2008 | 3 | 0.18% | $16,386 | -0.25% | $16,196 | -0.38% | -0.93% | 0.84% | 0.19% | 1.34% | 2.14% | -0.60% |
2008 | 4 | 2.29% | $16,761 | 2.89% | $16,664 | 4.83% | 6.27% | 1.66% | 0.15% | -2.41% | -2.48% | 1.25% |
2008 | 5 | 0.72% | $16,881 | 0.71% | $16,782 | 1.29% | 2.38% | 4.14% | 0.21% | -1.78% | -2.69% | -2.21% |
2008 | 6 | -5.40% | $15,970 | -5.91% | $15,790 | -8.39% | -10.96% | -10.10% | 0.31% | 1.14% | 2.65% | -1.29% |
2008 | 7 | 0.00% | $15,970 | 0.10% | $15,806 | -0.80% | -1.12% | 2.07% | 0.23% | 0.72% | -0.37% | 0.39% |
2008 | 8 | 1.80% | $16,258 | 1.43% | $16,033 | 1.41% | 1.96% | 4.15% | 0.23% | 1.53% | 2.74% | 0.15% |
2008 | 9 | -6.01% | $15,281 | -8.16% | $14,724 | -8.81% | -9.00% | -6.89% | -0.44% | -0.14% | 1.47% | -10.73% |
2008 | 10 | -12.11% | $13,430 | -12.05% | $12,950 | -16.72% | -22.53% | -22.14% | 0.69% | -0.87% | -1.86% | -1.95% |
2008 | 11 | -2.93% | $13,036 | -4.33% | $12,389 | -7.09% | -9.81% | -12.99% | 0.71% | 7.75% | 14.34% | 3.35% |
2008 | 12 | 4.97% | $13,684 | 5.98% | $13,130 | 1.09% | 3.25% | 5.25% | 1.04% | 5.15% | 13.64% | 13.80% |
2009 | 1 | -8.29% | $12,550 | -6.94% | $12,219 | -8.33% | -11.86% | -14.28% | 0.10% | -3.89% | -13.07% | -1.80% |
2009 | 2 | -7.96% | $11,551 | -8.65% | $11,162 | -10.63% | -14.04% | -12.71% | -0.10% | -0.74% | -1.54% | -5.20% |
2009 | 3 | 6.49% | $12,300 | 5.76% | $11,805 | 8.77% | 9.83% | 10.40% | 0.37% | 3.31% | 4.04% | 0.47% |
2009 | 4 | 7.58% | $13,233 | 9.06% | $12,875 | 9.57% | 16.18% | 19.66% | 0.30% | -2.75% | -6.95% | 2.78% |
2009 | 5 | 3.03% | $13,634 | 3.93% | $13,381 | 5.68% | 7.67% | 3.22% | 0.38% | -2.08% | -3.69% | 2.32% |
2009 | 6 | 0.25% | $13,667 | 0.81% | $13,489 | 0.13% | -1.21% | 0.35% | 0.27% | -0.55% | 0.76% | 2.89% |
2009 | 7 | 6.32% | $14,532 | 7.08% | $14,445 | 7.61% | 9.43% | 13.44% | 0.07% | 0.83% | 0.58% | 4.63% |
2009 | 8 | 3.33% | $15,016 | 3.27% | $14,917 | 3.60% | 6.80% | 5.14% | 0.32% | 0.77% | 2.24% | 1.31% |
2009 | 9 | 3.28% | $15,509 | 3.27% | $15,405 | 3.75% | 4.35% | 6.33% | 0.20% | 1.12% | 2.46% | 1.76% |
2009 | 10 | -2.67% | $15,095 | -2.53% | $15,015 | -1.92% | -4.30% | -7.53% | 0.07% | -0.14% | -2.62% | -0.49% |
2009 | 11 | 3.66% | $15,647 | 3.62% | $15,559 | 6.00% | 5.63% | 3.11% | 0.27% | 2.02% | 1.21% | 1.95% |
2009 | 12 | 0.86% | $15,781 | 1.50% | $15,793 | 1.93% | 2.70% | 7.92% | -0.35% | -4.40% | -6.34% | -2.07% |
2010 | 1 | -1.23% | $15,587 | -1.39% | $15,573 | -3.54% | -2.34% | -3.16% | 0.29% | 2.37% | 2.69% | 1.25% |
2010 | 2 | 2.56% | $15,986 | 2.65% | $15,986 | 3.08% | 4.32% | 6.15% | 0.14% | 0.33% | -0.34% | 0.51% |
2010 | 3 | 4.07% | $16,636 | 4.44% | $16,695 | 6.06% | 7.80% | 8.86% | -0.04% | -1.06% | -2.06% | 0.65% |
2010 | 4 | 2.84% | $17,109 | 2.80% | $17,163 | 1.52% | 3.16% | 8.11% | 0.06% | 1.65% | 3.32% | 1.91% |
2010 | 5 | -4.50% | $16,339 | -5.43% | $16,231 | -8.02% | -8.56% | -9.90% | 0.05% | 2.93% | 5.11% | -1.31% |
2010 | 6 | -2.99% | $15,851 | -3.15% | $15,720 | -5.23% | -7.56% | -10.14% | 0.24% | 3.05% | 5.80% | 3.28% |
2010 | 7 | 4.80% | $16,613 | 5.16% | $16,531 | 7.01% | 7.82% | 8.69% | 0.16% | 0.91% | -0.95% | 2.11% |
2010 | 8 | -2.04% | $16,273 | -2.58% | $16,105 | -4.48% | -6.11% | -8.38% | 0.15% | 3.36% | 8.40% | 2.86% |
2010 | 9 | 5.88% | $17,230 | 6.13% | $17,092 | 8.89% | 9.80% | 12.93% | 0.05% | -0.00% | -2.51% | 0.46% |
2010 | 10 | 1.85% | $17,549 | 2.19% | $17,467 | 3.78% | 3.68% | 4.17% | 0.15% | -0.01% | -4.47% | -0.26% |
2010 | 11 | 0.13% | $17,571 | 0.10% | $17,484 | 0.00% | -0.75% | 4.49% | -0.14% | -0.90% | -1.69% | -1.62% |
2010 | 12 | 4.06% | $18,284 | 4.50% | $18,272 | 6.68% | 9.72% | 9.18% | 0.04% | -3.43% | -3.68% | -0.75% |
2011 | 1 | 0.96% | $18,460 | 1.22% | $18,494 | 2.42% | 3.23% | 0.31% | 0.10% | -0.02% | -3.08% | 0.04% |
2011 | 2 | 3.01% | $19,016 | 3.07% | $19,061 | 3.35% | 5.39% | 6.28% | 0.03% | -0.21% | 1.65% | 1.08% |
2011 | 3 | 0.35% | $19,082 | 0.27% | $19,113 | 0.12% | 0.45% | 2.05% | 0.06% | -0.15% | 0.03% | -0.54% |
2011 | 4 | 2.12% | $19,486 | 2.16% | $19,527 | 2.87% | 2.51% | 1.26% | 0.23% | 1.84% | 2.34% | 2.50% |
2011 | 5 | -0.28% | $19,431 | -0.60% | $19,410 | -1.12% | -1.42% | -3.12% | 0.14% | 2.51% | 3.42% | 1.27% |
2011 | 6 | -1.42% | $19,155 | -1.28% | $19,162 | -1.70% | -1.82% | -1.81% | -0.05% | -0.51% | -2.33% | -0.80% |
2011 | 7 | -0.71% | $19,020 | -0.91% | $18,986 | -2.02% | -4.57% | -2.88% | 0.14% | 3.17% | 4.42% | 2.43% |
2011 | 8 | -3.00% | $18,449 | -4.29% | $18,172 | -5.39% | -8.46% | -10.58% | 0.04% | 4.65% | 9.66% | 0.34% |
2011 | 9 | -3.95% | $17,719 | -5.36% | $17,198 | -7.08% | -10.10% | -12.58% | -0.06% | 2.24% | 13.20% | 0.35% |
2011 | 10 | 7.48% | $19,045 | 8.38% | $18,639 | 10.99% | 13.81% | 15.82% | 0.05% | -1.29% | -3.84% | 2.51% |
2011 | 11 | -0.38% | $18,972 | -1.27% | $18,401 | -0.30% | -0.83% | -0.68% | -0.06% | 0.58% | 1.98% | -3.16% |
2011 | 12 | 1.48% | $19,254 | 1.65% | $18,705 | 1.08% | 0.79% | 1.01% | -0.03% | 1.99% | 3.44% | 3.49% |
2012 | 1 | 3.49% | $19,925 | 3.85% | $19,425 | 4.44% | 4.96% | 7.43% | 0.29% | 0.86% | -0.33% | 2.14% |
2012 | 2 | 2.42% | $20,407 | 3.03% | $20,013 | 4.26% | 5.77% | 3.18% | 0.04% | -1.10% | -2.59% | 1.63% |
2012 | 3 | 0.90% | $20,591 | 1.12% | $20,236 | 3.35% | 1.83% | 2.30% | 0.05% | -1.59% | -4.23% | -1.42% |
2012 | 4 | 0.11% | $20,615 | -0.37% | $20,160 | -0.63% | -2.09% | -1.60% | 0.14% | 2.51% | 4.83% | 1.08% |
2012 | 5 | -2.69% | $20,060 | -3.61% | $19,431 | -6.07% | -7.10% | -7.12% | -0.05% | 2.87% | 9.03% | 0.76% |
2012 | 6 | 2.59% | $20,580 | 2.91% | $19,997 | 4.13% | 5.37% | 4.38% | 0.14% | -0.42% | -1.68% | 0.87% |
2012 | 7 | 1.41% | $20,871 | 1.57% | $20,312 | 1.40% | 0.97% | -0.24% | 0.15% | 1.40% | 3.82% | 3.48% |
2012 | 8 | 1.74% | $21,234 | 1.86% | $20,690 | 2.20% | 3.95% | 4.21% | 0.04% | -0.12% | -1.32% | -0.05% |
2012 | 9 | 1.65% | $21,583 | 2.12% | $21,129 | 2.58% | 3.65% | 3.31% | 0.05% | -0.35% | -2.53% | 1.10% |
2012 | 10 | -0.59% | $21,457 | -0.19% | $21,089 | -1.85% | 0.27% | -0.82% | 0.04% | -0.40% | -0.48% | 1.35% |
2012 | 11 | 0.70% | $21,606 | 0.39% | $21,172 | 0.63% | 0.22% | 1.84% | 0.04% | 0.98% | 1.38% | -0.42% |
2012 | 12 | 0.89% | $21,799 | 1.18% | $21,422 | 0.85% | 3.03% | 3.72% | 0.02% | -0.94% | -2.49% | -0.33% |
2013 | 1 | 3.01% | $22,455 | 3.11% | $22,089 | 5.17% | 6.94% | 6.56% | 0.10% | -1.29% | -3.19% | -1.30% |
2013 | 2 | 1.21% | $22,726 | 1.18% | $22,350 | 1.36% | 1.27% | 1.75% | 0.02% | 1.13% | 1.24% | 1.08% |
2013 | 3 | 2.57% | $23,310 | 2.53% | $22,916 | 3.76% | 4.81% | 4.91% | 0.03% | 0.29% | -0.42% | -0.05% |
2013 | 4 | 1.41% | $23,638 | 1.18% | $23,186 | 1.94% | 1.00% | -1.11% | 0.04% | 1.52% | 4.68% | 2.17% |
2013 | 5 | 0.80% | $23,828 | 1.10% | $23,441 | 2.30% | 4.13% | 5.39% | -0.07% | -3.11% | -6.76% | -3.22% |
2013 | 6 | -1.58% | $23,453 | -1.66% | $23,053 | -1.30% | -1.15% | -0.70% | 0.03% | -2.55% | -3.27% | -3.27% |
2013 | 7 | 3.37% | $24,242 | 3.80% | $23,928 | 5.05% | 6.00% | 7.34% | 0.03% | -0.35% | -2.26% | 1.11% |
2013 | 8 | -2.33% | $23,679 | -2.24% | $23,393 | -2.93% | -2.99% | -4.17% | 0.03% | -1.42% | -1.34% | -1.00% |
2013 | 9 | 2.51% | $24,273 | 2.41% | $23,957 | 3.15% | 2.95% | 5.24% | 0.13% | 1.85% | 0.66% | 0.74% |
2013 | 10 | 3.07% | $25,019 | 3.14% | $24,709 | 4.60% | 5.05% | 3.51% | 0.04% | 0.78% | 1.43% | 1.81% |
2013 | 11 | 1.93% | $25,501 | 2.22% | $25,258 | 3.03% | 4.17% | 5.08% | 0.02% | -0.88% | -2.70% | -0.14% |
2013 | 12 | 1.19% | $25,804 | 1.57% | $25,655 | 2.55% | 2.64% | 2.72% | -0.05% | -2.09% | -1.87% | 0.22% |
2014 | 1 | -1.28% | $25,474 | -1.76% | $25,202 | -3.50% | -3.95% | -5.14% | 0.10% | 3.06% | 6.30% | 1.88% |
2014 | 2 | 2.92% | $26,218 | 3.01% | $25,960 | 4.63% | 3.36% | 5.45% | 0.11% | 0.36% | 0.52% | 1.14% |
2014 | 3 | 0.78% | $26,423 | 0.74% | $26,153 | 0.81% | 2.34% | 1.19% | -0.07% | -0.56% | 0.73% | -0.03% |
2014 | 4 | 0.45% | $26,543 | 0.40% | $26,258 | 0.74% | 0.66% | -1.93% | 0.02% | 0.76% | 2.10% | 1.33% |
2014 | 5 | 1.78% | $27,014 | 1.57% | $26,671 | 2.28% | 2.17% | 0.83% | 0.12% | 1.82% | 2.95% | 1.51% |
2014 | 6 | 1.64% | $27,457 | 1.68% | $27,119 | 2.06% | 2.72% | 4.44% | -0.07% | -0.22% | -0.25% | 0.01% |
2014 | 7 | -1.37% | $27,081 | -1.51% | $26,709 | -1.36% | -0.74% | -5.76% | 0.02% | -0.22% | 0.67% | -0.32% |
2014 | 8 | 3.41% | $28,005 | 3.14% | $27,548 | 4.00% | 3.17% | 5.83% | 0.02% | 1.88% | 4.72% | 2.00% |
2014 | 9 | -2.33% | $27,354 | -2.41% | $26,884 | -1.42% | -2.49% | -6.98% | 0.03% | -1.05% | -2.11% | -1.68% |
2014 | 10 | 2.10% | $27,929 | 1.92% | $27,401 | 2.44% | 0.78% | 4.61% | 0.03% | 1.53% | 2.81% | 1.23% |
2014 | 11 | 1.47% | $28,339 | 1.16% | $27,720 | 2.70% | 1.16% | -0.28% | 0.12% | 1.29% | 2.97% | 0.91% |
2014 | 12 | 0.68% | $28,532 | 0.38% | $27,824 | -0.31% | 0.74% | 2.29% | -0.17% | 0.13% | 3.25% | -0.02% |
2015 | 1 | -0.59% | $28,364 | -1.17% | $27,500 | -3.02% | -4.97% | -4.95% | 0.19% | 4.30% | 9.82% | 3.75% |
2015 | 2 | 2.68% | $29,124 | 3.13% | $28,362 | 5.79% | 7.06% | 5.90% | 0.02% | -2.47% | -6.14% | -1.42% |
2015 | 3 | -0.28% | $29,042 | -0.36% | $28,260 | -1.59% | -1.92% | 1.78% | 0.03% | 0.86% | 1.10% | 0.20% |
2015 | 4 | -0.14% | $29,001 | -0.02% | $28,253 | 0.92% | 2.04% | -1.34% | 0.03% | -0.63% | -3.43% | -1.19% |
2015 | 5 | 0.36% | $29,106 | 0.39% | $28,362 | 1.28% | 1.07% | 1.36% | 0.03% | -0.42% | -2.37% | -1.12% |
2015 | 6 | -1.56% | $28,651 | -1.34% | $27,982 | -1.91% | -1.62% | 0.05% | 0.03% | -1.63% | -4.07% | -1.88% |
2015 | 7 | 0.73% | $28,860 | 0.21% | $28,040 | 2.09% | -0.26% | -3.67% | 0.03% | 1.52% | 4.55% | 0.83% |
2015 | 8 | -3.47% | $27,858 | -3.46% | $27,070 | -6.02% | -6.08% | -4.04% | -0.06% | 0.08% | -0.69% | -0.83% |
2015 | 9 | -1.42% | $27,463 | -1.50% | $26,665 | -2.47% | -3.23% | -4.51% | 0.14% | 1.58% | 1.97% | 1.19% |
2015 | 10 | 4.49% | $28,696 | 4.53% | $27,873 | 8.38% | 8.16% | 5.28% | 0.04% | -0.64% | -0.41% | 0.57% |
2015 | 11 | 0.48% | $28,834 | 0.60% | $28,042 | 0.37% | 0.36% | 3.17% | -0.13% | -0.43% | -0.87% | -0.15% |
2015 | 12 | -2.07% | $28,238 | -2.25% | $27,411 | -1.60% | -3.13% | -6.20% | -0.05% | -0.45% | -0.30% | -1.08% |
2016 | 1 | -2.67% | $27,483 | -3.45% | $26,465 | -5.01% | -6.81% | -7.18% | 0.24% | 3.33% | 5.57% | 0.12% |
2016 | 2 | 0.75% | $27,688 | 0.54% | $26,608 | -0.07% | 0.17% | 1.17% | 0.04% | 1.49% | 3.09% | 1.05% |
2016 | 3 | 4.79% | $29,016 | 5.46% | $28,061 | 6.75% | 7.26% | 8.77% | 0.17% | -0.06% | -0.09% | 3.62% |
2016 | 4 | 0.86% | $29,265 | 1.27% | $28,418 | 0.37% | 2.71% | 1.80% | 0.05% | -0.16% | -0.74% | 1.55% |
2016 | 5 | 0.83% | $29,506 | 0.61% | $28,590 | 1.80% | 1.33% | 0.47% | -0.04% | -0.10% | 0.81% | -0.51% |
2016 | 6 | 1.22% | $29,867 | 0.86% | $28,837 | 0.22% | -0.10% | -1.16% | 0.35% | 3.09% | 6.93% | 3.09% |
2016 | 7 | 2.72% | $30,679 | 2.70% | $29,617 | 3.72% | 3.44% | 4.85% | -0.04% | 0.25% | 2.10% | 1.29% |
2016 | 8 | 0.28% | $30,766 | 0.53% | $29,773 | 0.12% | 1.16% | 1.74% | -0.03% | -1.01% | -1.01% | 0.18% |
2016 | 9 | 0.12% | $30,802 | 0.20% | $29,831 | 0.05% | 0.48% | 1.21% | 0.06% | 0.24% | -1.51% | -0.32% |
2016 | 10 | -2.01% | $30,183 | -1.73% | $29,314 | -1.83% | -1.72% | -3.14% | 0.07% | -1.49% | -4.38% | -1.53% |
2016 | 11 | 2.93% | $31,068 | 3.56% | $30,358 | 3.66% | 7.85% | 14.87% | -0.12% | -4.23% | -8.21% | -3.17% |
2016 | 12 | 1.51% | $31,538 | 1.73% | $30,883 | 1.98% | 2.49% | 3.41% | 0.08% | -0.12% | -0.46% | 0.84% |
2017 | 1 | 0.84% | $31,804 | 0.71% | $31,102 | 1.90% | 1.45% | -0.53% | 0.16% | 0.22% | 0.81% | 0.15% |
2017 | 2 | 2.07% | $32,462 | 2.01% | $31,727 | 4.00% | 3.01% | 0.32% | 0.07% | 0.72% | 1.59% | 1.32% |
2017 | 3 | -0.36% | $32,344 | -0.38% | $31,606 | 0.08% | -0.93% | -1.14% | 0.09% | 0.08% | -0.65% | -0.29% |
2017 | 4 | 0.87% | $32,627 | 0.84% | $31,870 | 1.03% | 0.66% | 0.46% | 0.08% | 1.11% | 1.57% | 1.19% |
2017 | 5 | 0.29% | $32,722 | 0.22% | $31,940 | 1.40% | -0.11% | -3.51% | 0.09% | 0.83% | 1.89% | 1.33% |
2017 | 6 | 0.90% | $33,017 | 0.98% | $32,253 | 0.60% | 1.65% | 2.59% | 0.10% | -0.51% | 0.79% | 0.48% |
2017 | 7 | 1.05% | $33,362 | 1.19% | $32,635 | 2.07% | 1.68% | 0.77% | 0.10% | 0.38% | -0.66% | 0.77% |
2017 | 8 | 0.12% | $33,403 | -0.25% | $32,554 | 0.26% | -0.94% | -2.55% | 0.11% | 1.46% | 3.41% | 0.68% |
2017 | 9 | 2.02% | $34,076 | 2.40% | $33,336 | 2.08% | 3.85% | 7.92% | 0.08% | -1.44% | -2.32% | -0.05% |
2017 | 10 | 1.06% | $34,438 | 1.07% | $33,692 | 2.35% | 1.44% | 0.96% | 0.01% | -0.19% | -0.04% | 0.19% |
2017 | 11 | 1.80% | $35,056 | 1.66% | $34,252 | 3.04% | 3.55% | 2.12% | -0.02% | -0.28% | 0.74% | -0.12% |
2017 | 12 | 1.00% | $35,408 | 1.02% | $34,603 | 1.09% | 2.31% | 0.03% | 0.05% | 0.18% | 1.81% | 1.22% |
2018 | 1 | 2.05% | $36,135 | 2.18% | $35,358 | 5.75% | 5.14% | 1.50% | -0.02% | -2.15% | -3.26% | -1.23% |
2018 | 2 | -3.17% | $34,988 | -3.20% | $34,228 | -3.70% | -4.96% | -4.68% | 0.01% | -0.93% | -3.04% | -2.24% |
2018 | 3 | -0.50% | $34,813 | -0.69% | $33,990 | -2.57% | -2.28% | 0.93% | 0.13% | 1.16% | 2.86% | 0.56% |
2018 | 4 | -0.15% | $34,761 | -0.14% | $33,943 | 0.39% | 0.16% | 1.32% | 0.04% | -1.28% | -2.09% | -1.57% |
2018 | 5 | 2.20% | $35,525 | 2.02% | $34,629 | 2.43% | 0.92% | 6.29% | 0.35% | 0.99% | 2.01% | 0.52% |
2018 | 6 | 0.13% | $35,571 | -0.07% | $34,606 | 0.62% | -0.70% | 0.06% | 0.06% | 0.20% | 0.65% | -0.49% |
2018 | 7 | 1.93% | $36,256 | 2.31% | $35,404 | 3.70% | 4.13% | 1.61% | 0.18% | -0.53% | -1.44% | 1.34% |
2018 | 8 | 1.88% | $36,937 | 1.60% | $35,973 | 3.24% | 1.44% | 2.84% | 0.27% | 1.01% | 1.31% | 0.02% |
2018 | 9 | -0.71% | $36,675 | -0.40% | $35,829 | 0.58% | 0.07% | -3.19% | 0.06% | -1.20% | -2.86% | -0.14% |
2018 | 10 | -4.94% | $34,863 | -4.96% | $34,052 | -6.86% | -6.36% | -9.41% | 0.09% | -0.30% | -2.93% | -2.05% |
2018 | 11 | 1.40% | $35,353 | 0.99% | $34,389 | 2.04% | 2.33% | 0.91% | 0.31% | 1.33% | 1.79% | -0.36% |
2018 | 12 | -5.19% | $33,517 | -5.55% | $32,480 | -9.04% | -11.00% | -12.79% | 0.37% | 2.80% | 5.85% | 1.86% |
2019 | 1 | 5.97% | $35,517 | 6.48% | $34,583 | 8.03% | 8.65% | 12.00% | 0.21% | 0.65% | 0.38% | 3.37% |
2019 | 2 | 1.64% | $36,098 | 1.73% | $35,181 | 3.21% | 2.49% | 3.27% | 0.17% | -0.52% | -1.38% | -0.20% |
2019 | 3 | 1.11% | $36,497 | 0.81% | $35,466 | 1.92% | -0.50% | -3.66% | 0.38% | 2.66% | 5.57% | 2.93% |
2019 | 4 | 2.16% | $37,285 | 2.43% | $36,327 | 4.07% | 3.44% | 4.04% | 0.20% | -0.52% | -1.99% | 0.44% |
2019 | 5 | -3.63% | $35,931 | -4.21% | $34,798 | -6.38% | -7.75% | -11.52% | 0.19% | 3.05% | 6.84% | 1.65% |
2019 | 6 | 5.04% | $37,742 | 5.39% | $36,675 | 7.04% | 8.03% | 7.77% | 0.18% | 1.22% | 0.95% | 3.25% |
2019 | 7 | 0.73% | $38,017 | 0.72% | $36,937 | 1.46% | 1.05% | 0.39% | 0.21% | 0.04% | 0.26% | 0.25% |
2019 | 8 | -0.38% | $37,871 | -1.10% | $36,530 | -1.61% | -4.11% | -8.00% | 0.28% | 3.95% | 11.04% | 3.88% |
2019 | 9 | 1.60% | $38,476 | 1.84% | $37,201 | 1.86% | 3.94% | 5.96% | 0.15% | -1.19% | -2.68% | -0.76% |
2019 | 10 | 1.22% | $38,944 | 1.36% | $37,709 | 2.18% | 2.12% | 1.83% | 0.20% | 0.19% | -1.11% | 0.44% |
2019 | 11 | 2.10% | $39,761 | 2.23% | $38,551 | 3.62% | 3.91% | 3.17% | 0.11% | -0.69% | -0.41% | 0.47% |
2019 | 12 | 1.56% | $40,380 | 2.03% | $39,333 | 3.00% | 2.79% | 3.92% | 0.12% | -0.93% | -3.20% | 0.53% |
2020 | 1 | -0.28% | $40,266 | -0.94% | $38,962 | -0.04% | -4.11% | -6.88% | 0.19% | 3.47% | 7.69% | 2.45% |
2020 | 2 | -4.59% | $38,416 | -5.20% | $36,937 | -8.24% | -10.57% | -10.79% | 0.13% | 2.96% | 6.63% | 1.09% |
2020 | 3 | -10.34% | $34,446 | -12.56% | $32,296 | -12.36% | -20.15% | -26.60% | 0.04% | 3.72% | 6.38% | -6.31% |
2020 | 4 | 8.81% | $37,481 | 9.49% | $35,359 | 12.77% | 13.08% | 15.81% | 0.12% | 0.27% | 1.22% | 4.85% |
2020 | 5 | 2.55% | $38,438 | 3.10% | $36,456 | 4.79% | 3.83% | 2.85% | 0.13% | 0.33% | -1.76% | 2.46% |
2020 | 6 | 1.12% | $38,867 | 1.49% | $36,999 | 2.01% | -0.85% | 2.65% | -0.06% | 0.04% | 0.34% | 2.13% |
2020 | 7 | 3.49% | $40,223 | 3.48% | $38,286 | 5.64% | 3.16% | 3.21% | 0.03% | 0.85% | 4.44% | 3.10% |
2020 | 8 | 2.87% | $41,379 | 2.97% | $39,424 | 7.17% | 4.43% | 5.58% | 0.01% | -0.97% | -5.05% | -1.78% |
2020 | 9 | -2.19% | $40,471 | -2.35% | $38,498 | -3.80% | -2.35% | -5.13% | 0.01% | 0.33% | 0.77% | -0.44% |
2020 | 10 | -0.93% | $40,096 | -0.45% | $38,327 | -2.68% | -1.26% | 3.95% | 0.00% | -1.38% | -3.39% | -0.51% |
2020 | 11 | 8.91% | $43,667 | 9.39% | $41,925 | 10.92% | 15.80% | 17.89% | 0.01% | 0.34% | 1.66% | 3.77% |
2020 | 12 | 2.83% | $44,903 | 3.00% | $43,181 | 3.92% | 3.66% | 8.25% | 0.01% | -0.24% | -1.23% | 0.15% |
2021 | 1 | -0.08% | $44,867 | 0.10% | $43,226 | -1.03% | 0.29% | 5.61% | 0.00% | -1.09% | -3.63% | -1.83% |
2021 | 2 | 2.77% | $46,111 | 3.17% | $44,594 | 2.76% | 7.70% | 12.16% | 0.00% | -2.36% | -5.73% | -2.26% |
2021 | 3 | 2.35% | $47,196 | 2.75% | $45,820 | 4.37% | 6.20% | 6.80% | 0.00% | -2.39% | -5.24% | -1.48% |
2021 | 4 | 2.97% | $48,598 | 2.72% | $47,067 | 5.34% | 3.82% | 2.28% | 0.00% | 1.00% | 2.49% | 1.04% |
2021 | 5 | 1.51% | $49,331 | 1.63% | $47,836 | 0.70% | 3.35% | 4.61% | 0.00% | 0.42% | 0.00% | 0.62% |
2021 | 6 | 0.75% | $49,702 | 0.57% | $48,109 | 2.32% | -1.94% | -2.79% | 0.00% | 1.02% | 4.42% | 2.21% |
2021 | 7 | 1.07% | $50,236 | 0.72% | $48,457 | 2.36% | -0.22% | -2.08% | 0.00% | 1.99% | 3.72% | 1.42% |
2021 | 8 | 1.46% | $50,967 | 1.40% | $49,134 | 3.03% | 2.16% | 2.20% | 0.00% | -0.39% | -0.34% | -0.34% |
2021 | 9 | -2.62% | $49,629 | -2.38% | $47,965 | -4.66% | -3.34% | -0.83% | 0.00% | -1.60% | -2.91% | -1.51% |
2021 | 10 | 3.55% | $51,392 | 3.30% | $49,550 | 7.00% | 4.15% | 3.83% | 0.00% | -0.44% | 2.46% | 0.53% |
2021 | 11 | -0.59% | $51,090 | -0.99% | $49,057 | -0.72% | -2.59% | -2.31% | -0.10% | 1.09% | 2.77% | -0.12% |
2021 | 12 | 2.84% | $52,543 | 3.03% | $50,542 | 4.50% | 6.14% | 5.59% | -0.09% | -0.52% | -2.01% | -0.03% |
2022 | 1 | -3.25% | $50,837 | -3.29% | $48,880 | -5.19% | -1.69% | -2.90% | -0.38% | -2.11% | -3.91% | -3.59% |
2022 | 2 | -1.09% | $50,281 | -1.23% | $48,280 | -2.99% | -0.51% | 2.04% | -0.19% | -0.30% | -1.63% | -2.13% |
2022 | 3 | 0.22% | $50,390 | 0.44% | $48,492 | 3.71% | 1.88% | 0.85% | -0.67% | -4.06% | -5.45% | -2.89% |
2022 | 4 | -6.39% | $47,169 | -6.26% | $45,456 | -8.72% | -5.75% | -5.74% | -0.16% | -4.23% | -9.42% | -6.70% |
Stress Period | Start | End | Provided Portfolio | Adjusted Portfolio |
---|---|---|---|---|
Subprime Crisis | Nov 2007 | Mar 2009 | -34.07% | -36.35% |
COVID-19 Start | Jan 2020 | Mar 2020 | -14.70% | -17.89% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jun 2007 | Feb 2009 | 1 year 9 months | Nov 2010 | 1 year 9 months | 3 years 6 months | -34.21% |
2 | Jan 2020 | Mar 2020 | 3 months | Aug 2020 | 5 months | 8 months | -14.70% |
3 | Jan 2022 | Apr 2022 | 4 months | -10.23% | |||
4 | Sep 2018 | Dec 2018 | 4 months | Apr 2019 | 4 months | 8 months | -9.26% |
5 | May 2011 | Sep 2011 | 5 months | Jan 2012 | 4 months | 9 months | -9.07% |
6 | Mar 2015 | Sep 2015 | 7 months | Apr 2016 | 7 months | 1 year 2 months | -5.70% |
7 | Sep 2002 | Sep 2002 | 1 month | Nov 2002 | 2 months | 3 months | -4.95% |
8 | Dec 2002 | Feb 2003 | 3 months | Apr 2003 | 2 months | 5 months | -4.29% |
9 | Feb 2018 | Apr 2018 | 3 months | Jul 2018 | 3 months | 6 months | -3.80% |
10 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -3.63% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Jun 2007 | Feb 2009 | 1 year 9 months | Dec 2010 | 1 year 10 months | 3 years 7 months | -36.96% |
2 | Jan 2020 | Mar 2020 | 3 months | Aug 2020 | 5 months | 8 months | -17.89% |
3 | May 2011 | Sep 2011 | 5 months | Feb 2012 | 5 months | 10 months | -11.92% |
4 | Jan 2022 | Apr 2022 | 4 months | -10.06% | |||
5 | Sep 2018 | Dec 2018 | 4 months | Apr 2019 | 4 months | 8 months | -9.71% |
6 | Jun 2015 | Jan 2016 | 8 months | Apr 2016 | 3 months | 11 months | -6.69% |
7 | Sep 2002 | Sep 2002 | 1 month | Nov 2002 | 2 months | 3 months | -5.08% |
8 | Dec 2002 | Feb 2003 | 3 months | Apr 2003 | 2 months | 5 months | -4.26% |
9 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -4.21% |
10 | Feb 2018 | Apr 2018 | 3 months | Jul 2018 | 3 months | 6 months | -4.00% |
Worst 10 drawdowns included above |
Roll Period | Provided Portfolio | Adjusted Portfolio | ||||
---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | |
1 year | 9.37% | 38.40% | -29.38% | 9.25% | 43.22% | -31.26% |
3 years | 8.11% | 20.89% | -8.75% | 7.82% | 21.49% | -9.96% |
5 years | 7.74% | 17.81% | -2.27% | 7.45% | 18.39% | -3.18% |
7 years | 7.92% | 13.30% | 4.48% | 7.65% | 13.21% | 3.84% |
10 years | 8.31% | 12.07% | 6.11% | 8.03% | 12.17% | 5.66% |
15 years | 7.71% | 8.99% | 6.27% | 7.41% | 8.80% | 5.74% |