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FACTSET RESEARCH SYSTEMS INC. PLAN
FACTSET RESEARCH SYSTEMS INC. PLAN Strategic Asset Allocation - Equal Weight Moderate
FACTSET RESEARCH SYSTEMS INC. PLAN Strategic Asset Allocation - Equal Weight Moderate
live (public) 0.10% January 18
Delayed
Holdings (As of 11/30/2017)
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Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
---|---|---|---|---|
US Equity | FXSIX (FIDELITY 500 INDEX FUND INSTITUTIONAL CLASS) | 0.86% | SPTN 500 INDEX INST | 9.52% |
US Equity | FCAKX (FIDELITY CAPITAL APPRECIATION FUND CLASS K) | 0.99% | FID CAP APPREC K | 8.28% |
CASH | CASH (CASH) | 0.0% | CASH | 0.00% |
General Bond | TPINX (TEMPLETON GLOBAL BOND FUND CLASS A) | 0.08% | TMPL GLOBAL BOND A 5 | 18.28% |
General Bond | FSITX (FIDELITY U.S. BOND INDEX FUND PREMIUM CLASS) | 0.17% | SPTN US BOND IDX ADV | 18.55% |
International Equity | FSIVX (FIDELITY INTERNATIONAL INDEX FUND PREMIUM CLASS) | 0.07% | SPTN INTL INDEX ADV | 23.96% |
Emerging Market Equity | FKEMX (FIDELITY EMERGING MARKETS FUND CLASS K) | 1.06% | FID EMERGING MKTS K | 21.41% |
* Day change on 11/30/2017.
Beta
Performance (As of 01/18/2018)
Since 12/31/2000
Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
---|---|---|---|---|---|---|
FACTSET RESEARCH SYSTEMS INC. PLAN Strategic Asset Allocation - Equal Weight Moderate | 2.8% | 16.6% | 6.1% | 4.8% | 4.3% | 6.7% |
VFINX (Vanguard (S&P 500) Index) | 10.5% | 29.0% | 10.4% | 15.1% | 12.7% | 14.6% |
VBINX (Vanguard Balance (60% stocks/40% bonds) | 5.2% | 16.9% | 4.2% | 8.6% | 7.8% | 9.7% |
* YTD: Year to Date
** AR: Annualized Return
Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | Since 01/02/2001 |
2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | 2009 | 2008 | 2007 | 2006 | 2005 | 2004 | 2003 | 2002 | 2001 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 1.1 | 16.6 | 6.1 | 4.8 | 4.3 | 6.7 | 6.2 | 2.8 | 14.0 | 3.6 | -1.5 | -2.7 | 9.8 | 9.8 | -6.4 | 10.2 | 31.0 | -23.3 | 11.7 | 15.1 | 2.3 | 12.9 | 25.8 | 1.7 | 0.6 |
Sharpe Ratio | NA | 2.77 | 0.78 | 0.64 | 0.42 | NA | 0.61 | 0.67 | 2.32 | 0.41 | -0.2 | -0.42 | 1.49 | 1.89 | -0.56 | 1.14 | 2.16 | -1.56 | 0.93 | 1.76 | 0.04 | 1.89 | 4.98 | 0.11 | -0.21 |
Draw Down(%) | NA | 2.4 | 12.0 | 12.0 | 33.2 | NA | 35.7 | 0.2 | 2.4 | 6.8 | 9.0 | 5.7 | 7.0 | 4.5 | 16.0 | 8.9 | 14.9 | 31.7 | 6.8 | 8.1 | 3.9 | 6.6 | 4.5 | 10.4 | 8.3 |
Standard Deviation(%) | NA | 5.7 | 7.4 | 7.1 | 9.7 | NA | 8.6 | 4.1 | 5.7 | 8.3 | 7.8 | 6.6 | 6.5 | 5.2 | 11.6 | 8.9 | 14.3 | 15.6 | 9.3 | 6.7 | 4.5 | 6.3 | 5.0 | 5.9 | 8.0 |
Treynor Ratio | NA | 0.24 | 0.11 | 0.09 | 0.1 | NA | 0.14 | 0.05 | 0.2 | 0.06 | -0.03 | -0.06 | 0.2 | 0.27 | -0.14 | 0.24 | 0.63 | -0.69 | 0.17 | 0.22 | 0.01 | 0.3 | 1.39 | 0.03 | -0.06 |
Alpha | NA | 0.01 | 0.0 | -0.01 | 0.0 | NA | 0.01 | 0.04 | 0.0 | -0.01 | -0.01 | -0.03 | -0.01 | 0.02 | -0.03 | 0.02 | 0.06 | -0.05 | 0.03 | 0.02 | 0.0 | 0.03 | 0.07 | 0.02 | 0.01 |
Beta | NA | 0.65 | 0.51 | 0.5 | 0.42 | NA | 0.38 | 0.51 | 0.66 | 0.56 | 0.44 | 0.49 | 0.48 | 0.36 | 0.45 | 0.43 | 0.49 | 0.35 | 0.51 | 0.53 | 0.33 | 0.4 | 0.18 | 0.19 | 0.29 |
RSquared | NA | 0.59 | 0.73 | 0.71 | 0.79 | NA | 0.71 | 0.73 | 0.59 | 0.78 | 0.78 | 0.72 | 0.65 | 0.81 | 0.84 | 0.74 | 0.88 | 0.85 | 0.78 | 0.62 | 0.57 | 0.5 | 0.37 | 0.68 | 0.61 |
Sortino Ratio | NA | 4.2 | 1.08 | 0.88 | 0.57 | NA | 0.84 | 3.1 | 3.46 | 0.55 | -0.26 | -0.54 | 2.11 | 2.9 | -0.7 | 1.59 | 3.26 | -1.97 | 1.27 | 2.62 | 0.05 | 2.6 | 8.8 | 0.15 | -0.28 |
Yield(%) | N/A | 0.24 | 1.37 | 2.44 | 3.15 | N/A | 3.56 | 0.0 | 0.34 | 1.49 | 2.23 | 3.02 | 5.07 | 4.17 | 4.5 | 4.33 | 3.59 | 2.56 | 5.61 | 5.01 | 4.18 | 4.7 | 5.3 | 2.6 | 1.82 |
Dividend Growth(%) | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/2000
Portfolio Description
This model portfolio uses Strategic Asset Allocation - Equal Weight
. The allocations are diversified by investing in the 4 major asset classes: US Equity, Fixed Income, Foreign Equity, Emerging Market Equity
that are covered in FACTSET RESEARCH SYSTEMS INC. PLAN. It then selects one or two funds for each of the 4 major asset classes.
1.Risk allocation: the risk profile of this portfolio 40.
The total allocation of the fixed income assets should be at least 40%.
2.Asset weights: risk assets selected are equally weighted by
default.
3.Fund selection: about one or two top performing funds among 41 available funds in the plan are chosen for each asset selected. They are usually equally weighted within
the asset by default.
4.Rebalance frequency: the portfolio is reviewed by the strategy program monthly
and the above steps are repeated. Asset weights are rebalanced back to target allocation if it is necessary.
5.
Simulation: Performance data before this portfolio went public on
06/14/2016
are obtained from historical simulation. They are hypothetical.