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Fidelity Core Test
Fidelity Core Test Strategic Asset Allocation - Optimal Moderate
Fidelity Core Test Strategic Asset Allocation - Optimal Moderate
live (public) 0.45% December 31
Delayed
Holdings (As of 11/30/2018)
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| Asset | Fund in this portfolio | Price change* | Original Fund Description | Percentage |
|---|---|---|---|---|
| General Bond | VBMFX (VANGUARD TOTAL BOND MARKET INDEX FUND INVESTOR SHARES) | 0.0% | Vanguard Total Bond Market Index Inv | 39.20% |
| US Equity | FSTMX (FIDELITY TOTAL MARKET INDEX FUND INVESTOR CLASS) | 0.04% | Fidelity Spartan Total Market Index Inv | 25.42% |
| Real Estate | FSRVX (FIDELITY REAL ESTATE INDEX FUND PREMIUM CLASS) | 1.56% | Fidelity Spartan Real Estate Idx Premium | 7.05% |
| Emerging Market Equity | FPEMX (FIDELITY EMERGING MARKETS INDEX FUND INVESTOR CLASS) | 0.38% | Fidelity Spartan EMkts Idx Inv | 11.18% |
| International Equity | FSIIX (FIDELITY INTERNATIONAL INDEX FUND INVESTOR CLASS) | 0.75% | Fidelity Spartan International Index Inv | 17.15% |
* Day change on 09/28/2018.
Previous
Beta
Performance (As of 12/31/2018)
Since 12/31/2000
| Name | YTD* Return |
1Yr AR** |
3Yr AR** |
5Yr AR** |
10Yr AR** |
15Yr AR** |
|---|---|---|---|---|---|---|
| Fidelity Core Test Strategic Asset Allocation - Optimal Moderate | 0.8% | 4.7% | 8.5% | 6.0% | 7.0% | 6.5% |
| VFINX (Vanguard (S&P 500) Index) | 8.4% | 25.7% | 21.5% | 13.2% | 15.2% | 14.2% |
| VBINX (Vanguard Balance (60% stocks/40% bonds) | 5.2% | 17.0% | 14.2% | 7.3% | 9.5% | 9.2% |
* YTD: Year to Date
** AR: Annualized Return
** portfolio AR is delayed
| Last 1 Week* | 1 Yr | 3 Yr | 5 Yr | 10 Yr | 15 Yr | 20 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(%) | -0.3 | 4.7 | 8.5 | 6.0 | 7.0 | 6.5 | 0.0 | 12.2 | 216.3 | 14.5 | 6.3 | -1.2 | 6.5 | 10.6 | 11.8 | 1.5 | 11.4 | 20.0 | -22.8 | 7.3 | 13.1 | 6.3 | 10.5 | 21.2 | -8.3 | -4.3 |
| Sharpe Ratio | NA | 1.79 | 0.81 | 0.59 | 0.53 | NA | NA | 0.37 | 1.79 | 3.64 | 0.72 | -0.15 | 1.09 | 1.53 | 1.56 | 0.11 | 1.06 | 1.23 | -1.07 | 0.48 | 1.43 | 0.69 | 1.34 | 2.43 | -0.77 | -0.6 |
| Draw Down(%) | NA | 7.8 | 7.8 | 11.5 | 17.7 | NA | NA | 37.1 | 7.8 | 1.5 | 6.1 | 9.1 | 4.8 | 7.2 | 6.4 | 11.6 | 8.7 | 17.7 | 32.9 | 5.7 | 6.2 | 3.9 | 5.9 | 7.6 | 16.9 | 17.0 |
| Standard Deviation(%) | NA | 120.2 | 69.6 | 54.1 | 39.1 | NA | NA | 30.1 | 120.2 | 3.8 | 8.4 | 8.2 | 6.0 | 7.0 | 7.6 | 13.6 | 10.7 | 16.2 | 22.2 | 9.0 | 6.8 | 5.9 | 7.1 | 8.5 | 12.1 | 11.1 |
| Treynor Ratio | NA | 6.22 | 1.36 | 0.72 | 0.39 | NA | NA | 0.22 | 6.22 | 0.31 | 0.1 | -0.03 | 0.14 | 0.19 | 0.21 | 0.03 | 0.2 | 0.34 | -0.45 | 0.08 | 0.16 | 0.08 | 0.17 | 0.44 | -0.21 | -0.13 |
| Alpha | NA | 0.9 | 0.31 | 0.19 | 0.1 | NA | NA | 0.06 | 0.9 | 0.02 | 0.0 | 0.0 | 0.01 | -0.02 | 0.02 | 0.0 | 0.01 | 0.02 | -0.01 | 0.01 | 0.01 | 0.01 | 0.02 | 0.03 | 0.01 | 0.0 |
| Beta | NA | 0.35 | 0.41 | 0.44 | 0.53 | NA | NA | 0.52 | 0.35 | 0.44 | 0.58 | 0.49 | 0.45 | 0.56 | 0.57 | 0.57 | 0.58 | 0.58 | 0.53 | 0.54 | 0.63 | 0.53 | 0.58 | 0.47 | 0.45 | 0.5 |
| RSquared | NA | 0.0 | 0.0 | 0.0 | 0.01 | NA | NA | 0.03 | 0.0 | 0.6 | 0.82 | 0.84 | 0.75 | 0.81 | 0.93 | 0.96 | 0.95 | 0.96 | 0.96 | 0.92 | 0.85 | 0.86 | 0.81 | 0.88 | 0.91 | 0.91 |
| Sortino Ratio | NA | 33.22 | 10.62 | 6.08 | 3.05 | NA | NA | 1.5 | 33.22 | 6.09 | 1.0 | -0.21 | 1.57 | 2.18 | 2.4 | 0.15 | 1.53 | 1.77 | -1.41 | 0.64 | 2.17 | 1.01 | 1.92 | 3.78 | -1.08 | -0.82 |
| Yield(%) | N/A | 1.5 | 2.3 | 2.4 | 3.8 | 4.1 | 3.7 | 2.77 | 1.5 | 2.2 | 2.6 | 2.4 | 2.6 | 2.4 | 2.8 | 2.9 | 2.6 | 3.2 | 3.1 | 3.7 | 3.1 | 2.8 | 3.0 | 2.9 | 3.3 | 3.0 |
| Dividend Growth(%) | N/A | -23.9 | -0.6 | 15.2 | N/A | N/A | N/A | N/A | -23.9 | -7.9 | 7.0 | -0.8 | 17.2 | -5.5 | -0.3 | 20.4 | -0.4 | -18.1 | -10.8 | 32.5 | 17.3 | 3.9 | 24.8 | -18.9 | 5.2 | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 12/31/2000
Portfolio Description
This model portfolio uses Strategic Asset Allocation - Optimal
strategy. Asset weights of available asset classes Emerging Market Equity, International Equity, US Equity, Real Estate, General Bond
in Fidelity Core Test are derived based on long term asset trends and their correlations.
For each major asset class, one or two funds are selected:
1. Risk allocation: the risk profile of this portfolio is 40.
The total allocation of the fixed income asset should be at least 40%.
2. Asset weights:
3. Fund selection: one or two top performing funds among 5 available funds in the plan are chosen for each asset.
They are usually equally weighted within the asset by default. Volatile funds or ETFs with small trading volume are ignored.
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 are obtained from historical simulation. They are hypothetical.
- Emerging Market Equity
- International Equity
- US Equity
- Real Estate
- General Bond
- 10.5%
- 17.2%
- 24.9%
- 7.3%
- 40.0%
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