Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Feb 1987 - Dec 2015)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
Save portfolio »
VFINX Vanguard 500 Index Investor 100.00%
Portfolio 2
Ticker Name Allocation
Save portfolio »
FRDPX Franklin Rising Dividends A 100.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$138,166 9.51% 14.99%37.45%-37.02%-50.97% 0.470.660.99
2$10,000$121,042 9.01% 12.80%35.96%-27.22%-46.63% 0.480.710.86
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • The annual results for 1987 are based on full calendar months from February to December
  • 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 (1-month t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all dividends and distributions are reinvested. Taxes and transaction fees are not included
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes. This includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationVanguard 500 Index Investor (VFINX)Franklin Rising Dividends A (FRDPX)PF #1 ReturnPF #1 Inflation Adjusted ReturnPF #1 IncomePF #1 Year End BalancePF #2 ReturnPF #2 Inflation Adjusted ReturnPF #2 IncomePF #2 Year End Balance
Annual returns for 1987 are based on partial year data
19873.78%-7.56%-11.52%-7.56%-10.92%3.16% [$316]$9,244-11.52%-14.74%1.91% [$191]$8,848
19884.42%16.22%18.94%16.22%11.30%5.87% [$543]$10,74318.94%13.91%3.73% [$330]$10,523
19894.65%31.36%19.63%31.36%25.53%7.30% [$784]$14,11319.63%14.32%3.64% [$383]$12,589
19906.11%-3.32%0.27%-3.32%-8.89%3.82% [$540]$13,6440.27%-5.50%3.41% [$430]$12,623
19913.06%30.22%35.96%30.22%26.35%4.11% [$561]$17,76735.96%31.92%2.70% [$341]$17,162
19922.90%7.42%10.38%7.42%4.40%3.14% [$557]$19,08610.38%7.26%1.76% [$301]$18,942
19932.75%9.89%-3.50%9.89%6.95%2.86% [$546]$20,974-3.50%-6.08%1.59% [$300]$18,280
19942.67%1.18%-5.17%1.18%-1.46%3.16% [$663]$21,221-5.17%-7.64%1.82% [$333]$17,335
19952.54%37.45%30.25%37.45%34.04%3.17% [$673]$29,16730.25%27.02%2.32% [$402]$22,579
19963.32%22.88%23.42%22.88%18.93%2.68% [$781]$35,84023.42%19.45%8.64% [$1,951]$27,867
19971.70%33.19%32.35%33.19%30.96%2.78% [$997]$47,73532.35%30.14%16.21% [$4,516]$36,882
19981.61%28.62%6.03%28.62%26.58%1.95% [$933]$61,3966.03%4.34%8.67% [$3,199]$39,104
19992.68%21.07%-10.28%21.07%17.90%2.13% [$1,305]$74,331-10.28%-12.63%7.84% [$3,065]$35,083
20003.39%-9.06%18.98%-9.06%-12.04%0.96% [$717]$67,59918.98%15.08%1.02% [$358]$41,742
20011.55%-12.02%13.11%-12.02%-13.37%1.05% [$711]$59,47213.11%11.38%3.97% [$1,657]$47,213
20022.38%-22.15%-1.76%-22.15%-23.95%1.29% [$768]$46,302-1.76%-4.05%0.84% [$399]$46,380
20031.88%28.50%23.70%28.50%26.13%1.77% [$821]$59,49923.70%21.42%0.82% [$382]$57,374
20043.26%10.74%10.28%10.74%7.25%1.91% [$1,138]$65,88910.28%6.81%1.83% [$1,049]$63,275
20053.42%4.77%2.32%4.77%1.31%1.79% [$1,176]$69,0352.32%-1.06%1.64% [$1,037]$64,744
20062.54%15.64%17.36%15.64%12.78%1.87% [$1,294]$79,83317.36%14.45%6.50% [$4,211]$75,980
20074.08%5.39%-2.95%5.39%1.25%1.92% [$1,533]$84,133-2.95%-6.75%3.12% [$2,372]$73,741
20080.09%-37.02%-27.22%-37.02%-37.08%1.87% [$1,572]$52,987-27.22%-27.29%1.53% [$1,126]$53,669
20092.72%26.49%17.05%26.49%23.13%2.56% [$1,355]$67,02017.05%13.95%0.51% [$276]$62,819
20101.50%14.91%19.08%14.91%13.22%1.93% [$1,292]$77,01619.08%17.32%1.34% [$840]$74,802
20112.96%1.97%7.21%1.97%-0.97%1.95% [$1,504]$78,5307.21%4.12%1.25% [$932]$80,192
20121.74%15.82%10.29%15.82%13.84%2.35% [$1,845]$90,95710.29%8.41%1.59% [$1,276]$88,446
20131.50%32.18%29.30%32.18%30.22%2.26% [$2,056]$120,22329.30%27.39%1.12% [$993]$114,365
20140.76%13.51%9.72%13.51%12.66%1.95% [$2,347]$136,4639.72%8.90%2.27% [$2,596]$125,486
20150.73%1.25%-3.54%1.25%0.52%1.99% [$2,713]$138,166-3.54%-4.24%4.90% [$6,149]$121,042
Monthly returns for the configured portfolios
YearMonthVanguard 500 Index Investor (VFINX)Franklin Rising Dividends A (FRDPX)PF #1 ReturnPF #1 Month End BalancePF #2 ReturnPF #2 Month End Balance
198723.97%-0.10%3.97%$10,397-0.10%$9,990
198732.86%0.20%2.86%$10,6940.20%$10,010
19874-0.99%-2.30%-0.99%$10,588-2.30%$9,779
198751.04%-0.10%1.04%$10,697-0.10%$9,769
198765.02%3.08%5.02%$11,2353.08%$10,070
198774.91%1.60%4.91%$11,7871.60%$10,232
198783.84%3.75%3.84%$12,2403.75%$10,616
19879-2.29%-2.28%-2.29%$11,960-2.28%$10,373
198710-21.73%-13.53%-21.73%$9,361-13.53%$8,970
198711-8.19%-4.65%-8.19%$8,595-4.65%$8,553
1987127.55%3.45%7.55%$9,2443.45%$8,848
198814.17%6.59%4.17%$9,6306.59%$9,431
198824.59%4.57%4.59%$10,0724.57%$9,862
19883-3.04%1.46%-3.04%$9,7661.46%$10,006
198841.01%0.00%1.01%$9,8650.00%$10,006
198850.81%0.00%0.81%$9,9450.00%$10,006
198864.56%4.03%4.56%$10,3984.03%$10,409
19887-0.37%1.00%-0.37%$10,3591.00%$10,513
19888-3.40%-1.29%-3.40%$10,007-1.29%$10,378
198894.26%2.01%4.26%$10,4332.01%$10,586
1988102.73%1.59%2.73%$10,7181.59%$10,755
198811-1.47%-2.83%-1.47%$10,560-2.83%$10,450
1988121.74%0.70%1.74%$10,7430.70%$10,523
198917.32%3.03%7.32%$11,5303.03%$10,842
19892-2.47%0.20%-2.47%$11,2450.20%$10,863
198932.26%2.05%2.26%$11,5002.05%$11,086
198945.18%2.51%5.18%$12,0962.51%$11,364
198954.04%3.77%4.04%$12,5843.77%$11,792
19896-0.59%0.91%-0.59%$12,5100.91%$11,899
198979.01%4.35%9.01%$13,6374.35%$12,416
198981.86%0.96%1.86%$13,8900.96%$12,535
19899-0.40%-0.17%-0.40%$13,834-0.17%$12,513
198910-2.34%-1.05%-2.34%$13,511-1.05%$12,382
1989112.04%0.35%2.04%$13,7860.35%$12,426
1989122.38%1.31%2.38%$14,1131.31%$12,589
19901-6.72%-4.79%-6.72%$13,165-4.79%$11,985
199021.27%1.28%1.27%$13,3331.28%$12,139
199032.61%1.71%2.61%$13,6801.71%$12,347
19904-2.50%-2.68%-2.50%$13,338-2.68%$12,016
199059.69%4.96%9.69%$14,6314.96%$12,612
19906-0.66%0.88%-0.66%$14,5350.88%$12,723
19907-0.35%-0.26%-0.35%$14,484-0.26%$12,690
19908-9.03%-8.77%-9.03%$13,175-8.77%$11,577
19909-4.89%-4.07%-4.89%$12,531-4.07%$11,105
199010-0.41%-1.31%-0.41%$12,480-1.31%$10,959
1990116.44%9.43%6.44%$13,2839.43%$11,992
1990122.72%5.26%2.72%$13,6445.26%$12,623
199114.35%3.39%4.35%$14,2383.39%$13,051
199127.12%9.06%7.12%$15,2519.06%$14,233
199132.41%4.10%2.41%$15,6184.10%$14,816
199140.20%0.84%0.20%$15,6490.84%$14,940
199154.27%4.70%4.27%$16,3174.70%$15,642
19916-4.56%-2.36%-4.56%$15,573-2.36%$15,273
199174.63%2.90%4.63%$16,2942.90%$15,716
199182.33%2.17%2.33%$16,6742.17%$16,057
19919-1.67%0.75%-1.67%$16,3960.75%$16,178
1991101.33%0.99%1.33%$16,6140.99%$16,338
199111-4.01%-1.19%-4.01%$15,947-1.19%$16,143
19911211.41%6.31%11.41%$17,7676.31%$17,162
19921-1.88%0.60%-1.88%$17,4330.60%$17,265
199221.24%-0.13%1.24%$17,650-0.13%$17,242
19923-1.93%-1.51%-1.93%$17,310-1.51%$16,982
199242.91%1.02%2.91%$17,8141.02%$17,156
199250.48%1.68%0.48%$17,9011.68%$17,445
19926-1.49%-1.63%-1.49%$17,634-1.63%$17,160
199274.04%3.92%4.04%$18,3473.92%$17,833
19928-2.07%-1.17%-2.07%$17,967-1.17%$17,624
199291.17%1.82%1.17%$18,1781.82%$17,945
1992100.33%1.17%0.33%$18,2371.17%$18,155
1992113.40%3.21%3.40%$18,8583.21%$18,738
1992121.21%1.09%1.21%$19,0861.09%$18,942
199310.81%-0.99%0.81%$19,240-0.99%$18,755
199321.36%-1.50%1.36%$19,501-1.50%$18,474
199332.11%0.79%2.11%$19,9120.79%$18,620
19934-2.42%-3.54%-2.42%$19,429-3.54%$17,962
199352.65%1.24%2.65%$19,9451.24%$18,185
199360.27%-1.14%0.27%$19,998-1.14%$17,979
19937-0.42%0.07%-0.42%$19,9130.07%$17,991
199383.79%1.64%3.79%$20,6671.64%$18,286
19939-0.79%0.03%-0.79%$20,5030.03%$18,292
1993102.08%1.43%2.08%$20,9291.43%$18,552
199311-1.00%-2.56%-1.00%$20,721-2.56%$18,078
1993121.22%1.12%1.22%$20,9741.12%$18,280
199413.38%1.37%3.38%$21,6831.37%$18,530
19942-2.71%-3.66%-2.71%$21,094-3.66%$17,852
19943-4.39%-4.89%-4.39%$20,168-4.89%$16,979
199441.29%0.14%1.29%$20,4280.14%$17,003
199451.60%1.34%1.60%$20,7561.34%$17,230
19946-2.45%-0.21%-2.45%$20,248-0.21%$17,194
199473.28%0.91%3.28%$20,9120.91%$17,350
199484.08%4.29%4.08%$21,7644.29%$18,094
19949-2.45%-2.33%-2.45%$21,232-2.33%$17,673
1994102.25%-0.41%2.25%$21,709-0.41%$17,601
199411-3.65%-2.46%-3.65%$20,915-2.46%$17,167
1994121.46%0.98%1.46%$21,2210.98%$17,335
199512.58%2.59%2.58%$21,7692.59%$17,784
199523.88%3.00%3.88%$22,6143.00%$18,318
199532.95%2.16%2.95%$23,2822.16%$18,714
199542.94%0.72%2.94%$23,9660.72%$18,848
199553.95%3.62%3.95%$24,9143.62%$19,530
199562.31%1.10%2.31%$25,4901.10%$19,744
199573.30%2.42%3.30%$26,3322.42%$20,221
199580.26%1.57%0.26%$26,4021.57%$20,539
199594.21%3.53%4.21%$27,5143.53%$21,263
199510-0.36%-0.92%-0.36%$27,414-0.92%$21,067
1995114.38%5.13%4.38%$28,6145.13%$22,148
1995121.93%1.95%1.93%$29,1671.95%$22,579
199613.39%2.03%3.39%$30,1552.03%$23,037
199620.92%1.24%0.92%$30,4331.24%$23,321
199630.98%-0.22%0.98%$30,731-0.22%$23,271
199641.46%-0.37%1.46%$31,178-0.37%$23,184
199652.54%2.84%2.54%$31,9712.84%$23,842
199660.38%0.99%0.38%$32,0940.99%$24,079
19967-4.42%-3.21%-4.42%$30,675-3.21%$23,306
199682.10%2.30%2.10%$31,3182.30%$23,842
199695.61%5.09%5.61%$33,0745.09%$25,055
1996102.76%3.05%2.76%$33,9853.05%$25,818
1996117.56%6.93%7.56%$36,5566.93%$27,607
199612-1.96%0.94%-1.96%$35,8400.94%$27,867
199716.22%1.96%6.22%$38,0681.96%$28,413
199720.79%2.72%0.79%$38,3682.72%$29,186
19973-4.14%-3.11%-4.14%$36,782-3.11%$28,277
199745.96%2.50%5.96%$38,9722.50%$28,985
199756.09%7.61%6.09%$41,3457.61%$31,190
199764.45%3.55%4.45%$43,1863.55%$32,297
199777.97%8.54%7.97%$46,6268.54%$35,056
19978-5.61%-2.06%-5.61%$44,011-2.06%$34,333
199795.47%5.16%5.47%$46,4185.16%$36,104
199710-3.35%-2.45%-3.35%$44,863-2.45%$35,219
1997114.60%2.40%4.60%$46,9262.40%$36,064
1997121.72%2.27%1.72%$47,7352.27%$36,882
199811.11%-0.45%1.11%$48,265-0.45%$36,715
199827.19%7.95%7.19%$51,7377.95%$39,634
199835.10%2.75%5.10%$54,3772.75%$40,725
199841.01%-0.41%1.01%$54,925-0.41%$40,557
19985-1.74%-3.83%-1.74%$53,968-3.83%$39,005
199864.07%-1.33%4.07%$56,165-1.33%$38,488
19987-1.05%-3.40%-1.05%$55,573-3.40%$37,179
19988-14.47%-15.88%-14.47%$47,529-15.88%$31,274
199896.41%5.00%6.41%$50,5775.00%$32,837
1998108.16%10.59%8.16%$54,70610.59%$36,314
1998116.07%3.61%6.07%$58,0273.61%$37,626
1998125.81%3.93%5.81%$61,3963.93%$39,104
199914.20%-5.27%4.20%$63,977-5.27%$37,044
19992-3.12%-3.54%-3.12%$61,978-3.54%$35,732
199934.00%-0.64%4.00%$64,455-0.64%$35,505
199943.85%7.74%3.85%$66,9377.74%$38,252
19995-2.39%1.04%-2.39%$65,3381.04%$38,652
199965.56%3.62%5.56%$68,9683.62%$40,052
19997-3.13%-1.62%-3.13%$66,810-1.62%$39,401
19998-0.50%-4.19%-0.50%$66,478-4.19%$37,750
19999-2.74%-5.81%-2.74%$64,657-5.81%$35,558
1999106.33%0.89%6.33%$68,7480.89%$35,876
1999112.02%-1.21%2.02%$70,138-1.21%$35,441
1999125.98%-1.01%5.98%$74,331-1.01%$35,083
20001-5.03%-4.77%-5.03%$70,591-4.77%$33,411
20002-1.91%-0.33%-1.91%$69,245-0.33%$33,301
200039.76%8.54%9.76%$76,0038.54%$36,147
20004-3.01%-0.45%-3.01%$73,719-0.45%$35,983
20005-2.04%1.67%-2.04%$72,2161.67%$36,584
200062.49%-5.46%2.49%$74,012-5.46%$34,586
20007-1.49%-0.95%-1.49%$72,909-0.95%$34,258
200086.19%5.80%6.19%$77,4225.80%$36,246
20009-5.29%0.99%-5.29%$73,3270.99%$36,606
200010-0.43%2.45%-0.43%$73,0112.45%$37,502
200011-7.88%1.61%-7.88%$67,2601.61%$38,105
2000120.50%9.54%0.50%$67,5999.54%$41,742
200113.55%1.72%3.55%$69,9961.72%$42,458
20012-9.14%-0.52%-9.14%$63,600-0.52%$42,237
20013-6.36%-1.83%-6.36%$59,557-1.83%$41,464
200147.77%5.05%7.77%$64,1855.05%$43,559
200150.65%3.54%0.65%$64,6023.54%$45,102
20016-2.45%0.25%-2.45%$63,0230.25%$45,213
20017-1.00%2.08%-1.00%$62,3922.08%$46,152
20018-6.27%-0.60%-6.27%$58,478-0.60%$45,876
20019-8.09%-8.72%-8.09%$53,746-8.72%$41,877
2001101.90%1.54%1.90%$54,7651.54%$42,522
2001117.65%6.94%7.65%$58,9576.94%$45,473
2001120.87%3.83%0.87%$59,4723.83%$47,213
20021-1.47%2.30%-1.47%$58,5962.30%$48,299
20022-1.94%2.52%-1.94%$57,4612.52%$49,519
200233.74%5.02%3.74%$59,6125.02%$52,004
20024-6.07%1.25%-6.07%$55,9911.25%$52,652
20025-0.75%-0.62%-0.75%$55,569-0.62%$52,328
20026-7.13%-3.55%-7.13%$51,604-3.55%$50,468
20027-7.72%-6.39%-7.72%$47,621-6.39%$47,245
200280.65%1.45%0.65%$47,9311.45%$47,931
20029-10.87%-8.90%-10.87%$42,719-8.90%$43,665
2002108.78%4.77%8.78%$46,4714.77%$45,746
2002115.88%3.21%5.88%$49,2013.21%$47,216
200212-5.89%-1.77%-5.89%$46,302-1.77%$46,380
20031-2.62%-3.85%-2.62%$45,086-3.85%$44,593
20032-1.52%-1.90%-1.52%$44,402-1.90%$43,748
200330.96%-0.04%0.96%$44,827-0.04%$43,729
200348.25%8.39%8.25%$48,5268.39%$47,399
200355.26%4.74%5.26%$51,0814.74%$49,646
200361.26%0.19%1.26%$51,7240.19%$49,743
200371.74%3.67%1.74%$52,6263.67%$51,568
200381.93%1.30%1.93%$53,6431.30%$52,240
20039-1.07%-0.55%-1.07%$53,069-0.55%$51,952
2003105.64%6.95%5.64%$56,0626.95%$55,564
2003110.86%0.48%0.86%$56,5470.48%$55,833
2003125.22%2.76%5.22%$59,4992.76%$57,374
200411.82%1.15%1.82%$60,5821.15%$58,032
200421.38%1.77%1.38%$61,4171.77%$59,057
20043-1.51%-0.82%-1.51%$60,487-0.82%$58,574
20044-1.58%-1.78%-1.58%$59,534-1.78%$57,529
200451.36%1.68%1.36%$60,3421.68%$58,496
200461.93%2.22%1.93%$61,5062.22%$59,792
20047-3.31%-2.39%-3.31%$59,470-2.39%$58,361
200480.38%1.33%0.38%$59,6971.33%$59,135
200491.07%0.03%1.07%$60,3340.03%$59,154
2004101.51%-0.52%1.51%$61,248-0.52%$58,845
2004114.05%4.27%4.05%$63,7264.27%$61,359
2004123.39%3.12%3.39%$65,8893.12%$63,275
20051-2.45%-2.27%-2.45%$64,272-2.27%$61,839
200522.09%1.50%2.09%$65,6171.50%$62,764
20053-1.76%-1.72%-1.76%$64,463-1.72%$61,682
20054-1.91%-1.82%-1.91%$63,230-1.82%$60,560
200553.17%2.21%3.17%$65,2332.21%$61,898
200560.13%-0.67%0.13%$65,316-0.67%$61,485
200573.71%3.14%3.71%$67,7373.14%$63,413
20058-0.91%-2.98%-0.91%$67,118-2.98%$61,524
200590.79%-0.38%0.79%$67,651-0.38%$61,288
200510-1.68%0.45%-1.68%$66,5160.45%$61,564
2005113.76%3.90%3.76%$69,0203.90%$63,964
2005120.02%1.22%0.02%$69,0351.22%$64,744
200612.65%3.18%2.65%$70,8613.18%$66,803
200620.26%2.24%0.26%$71,0472.24%$68,303
200631.23%1.73%1.23%$71,9221.73%$69,482
200641.33%0.95%1.33%$72,8810.95%$70,142
20065-2.90%-2.54%-2.90%$70,769-2.54%$68,363
200660.13%-0.47%0.13%$70,860-0.47%$68,043
200670.61%0.15%0.61%$71,2900.15%$68,143
200682.36%3.87%2.36%$72,9743.87%$70,782
200692.56%2.40%2.56%$74,8442.40%$72,482
2006103.25%2.26%3.25%$77,2782.26%$74,121
2006111.89%1.83%1.89%$78,7381.83%$75,481
2006121.39%0.66%1.39%$79,8330.66%$75,980
200711.49%1.73%1.49%$81,0251.73%$77,294
20072-1.97%-1.97%-1.97%$79,429-1.97%$75,769
200731.11%-0.36%1.11%$80,312-0.36%$75,493
200744.42%2.64%4.42%$83,8612.64%$77,484
200753.48%3.88%3.48%$86,7763.88%$80,492
20076-1.68%-1.39%-1.68%$85,322-1.39%$79,369
20077-3.08%-3.66%-3.08%$82,690-3.66%$76,468
200781.50%1.66%1.50%$83,9291.66%$77,738
200793.72%2.13%3.72%$87,0542.13%$79,391
2007101.58%-1.73%1.58%$88,429-1.73%$78,014
200711-4.19%-3.69%-4.19%$84,726-3.69%$75,133
200712-0.70%-1.85%-0.70%$84,133-1.85%$73,741
20081-6.02%-3.29%-6.02%$79,072-3.29%$71,312
20082-3.25%-2.45%-3.25%$76,501-2.45%$69,561
20083-0.44%1.45%-0.44%$76,1641.45%$70,568
200844.85%2.73%4.85%$79,8612.73%$72,493
200851.29%1.60%1.29%$80,8941.60%$73,653
20086-8.44%-9.39%-8.44%$74,068-9.39%$66,739
20087-0.83%2.36%-0.83%$73,4522.36%$68,314
200881.45%0.58%1.45%$74,5140.58%$68,708
20089-8.91%-7.39%-8.91%$67,878-7.39%$63,631
200810-16.79%-12.83%-16.79%$56,479-12.83%$55,470
200811-7.17%-5.84%-7.17%$52,427-5.84%$52,231
2008121.07%2.75%1.07%$52,9872.75%$53,669
20091-8.41%-10.90%-8.41%$48,529-10.90%$47,820
20092-10.66%-10.17%-10.66%$43,357-10.17%$42,958
200938.76%8.82%8.76%$47,1558.82%$46,745
200949.56%8.58%9.56%$51,6638.58%$50,756
200955.62%4.11%5.62%$54,5654.11%$52,840
200960.22%0.85%0.22%$54,6850.85%$53,288
200977.58%6.64%7.58%$58,8296.64%$56,829
200983.60%3.12%3.60%$60,9463.12%$58,599
200993.72%2.18%3.72%$63,2122.18%$59,876
200910-1.87%-1.87%-1.87%$62,031-1.87%$58,756
2009115.98%5.64%5.98%$65,7415.64%$62,072
2009121.95%1.20%1.95%$67,0201.20%$62,819
20101-3.60%-1.47%-3.60%$64,605-1.47%$61,896
201023.09%3.02%3.09%$66,6033.02%$63,764
201036.01%5.29%6.01%$70,6085.29%$67,140
201041.58%2.65%1.58%$71,7222.65%$68,918
20105-8.01%-5.52%-8.01%$65,981-5.52%$65,115
20106-5.24%-4.39%-5.24%$62,524-4.39%$62,256
201077.00%6.36%7.00%$66,8986.36%$66,217
20108-4.53%-2.75%-4.53%$63,867-2.75%$64,394
201098.92%8.07%8.92%$69,5648.07%$69,594
2010103.79%2.72%3.79%$72,1992.72%$71,484
2010110.00%-0.06%0.00%$72,199-0.06%$71,439
2010126.67%4.71%6.67%$77,0164.71%$74,802
201112.36%-0.03%2.36%$78,831-0.03%$74,779
201123.42%3.50%3.42%$81,5243.50%$77,397
201130.03%0.50%0.03%$81,5450.50%$77,785
201142.95%4.36%2.95%$83,9494.36%$81,177
20115-1.15%0.00%-1.15%$82,9870.00%$81,177
20116-1.67%-1.12%-1.67%$81,599-1.12%$80,267
20117-2.05%-2.81%-2.05%$79,929-2.81%$78,012
20118-5.45%-3.09%-5.45%$75,576-3.09%$75,599
20119-7.04%-5.42%-7.04%$70,253-5.42%$71,500
20111010.91%9.39%10.91%$77,9219.39%$78,217
201111-0.23%0.99%-0.23%$77,7390.99%$78,991
2011121.02%1.52%1.02%$78,5301.52%$80,192
201214.46%2.70%4.46%$82,0362.70%$82,358
201224.31%1.51%4.31%$85,5691.51%$83,602
201233.28%2.95%3.28%$88,3772.95%$86,068
20124-0.64%-0.67%-0.64%$87,812-0.67%$85,492
20125-6.02%-3.69%-6.02%$82,527-3.69%$82,335
201264.11%1.62%4.11%$85,9181.62%$83,671
201271.37%0.72%1.37%$87,0950.72%$84,270
201282.24%1.04%2.24%$89,0461.04%$85,146
201292.58%2.46%2.58%$91,3402.46%$87,243
201210-1.86%-1.69%-1.86%$89,641-1.69%$85,768
2012110.56%2.26%0.56%$90,1432.26%$87,704
2012120.90%0.85%0.90%$90,9570.85%$88,446
201315.18%5.08%5.18%$95,6655.08%$92,936
201321.34%2.19%1.34%$96,9462.19%$94,971
201333.74%3.55%3.74%$100,5703.55%$98,338
201341.91%1.02%1.91%$102,4901.02%$99,344
201352.33%1.88%2.33%$104,8751.88%$101,215
20136-1.35%-0.88%-1.35%$103,459-0.88%$100,326
201375.07%5.83%5.07%$108,7065.83%$106,173
20138-2.91%-3.06%-2.91%$105,541-3.06%$102,922
201393.12%3.29%3.12%$108,8363.29%$106,313
2013104.59%3.87%4.59%$113,8273.87%$110,429
2013113.03%2.10%3.03%$117,2752.10%$112,744
2013122.51%1.44%2.51%$120,2231.44%$114,365
20141-3.47%-4.21%-3.47%$116,052-4.21%$109,551
201424.56%4.85%4.56%$121,3454.85%$114,860
201430.82%0.85%0.82%$122,3440.85%$115,834
201440.72%0.33%0.72%$123,2300.33%$116,212
201452.33%1.36%2.33%$126,1081.36%$117,795
201462.05%1.60%2.05%$128,6951.60%$119,674
20147-1.39%-2.63%-1.39%$126,909-2.63%$116,522
201483.98%3.42%3.98%$131,9623.42%$120,504
20149-1.41%-1.93%-1.41%$130,098-1.93%$118,179
2014102.42%2.78%2.42%$133,2502.78%$121,460
2014112.68%2.90%2.68%$136,8252.90%$124,977
201412-0.26%0.41%-0.26%$136,4630.41%$125,486
20151-3.02%-4.17%-3.02%$132,345-4.17%$120,255
201525.74%5.69%5.74%$139,9415.69%$127,101
20153-1.59%-1.17%-1.59%$137,711-1.17%$125,616
201540.95%0.33%0.95%$139,0180.33%$126,027
201551.27%1.40%1.27%$140,7871.40%$127,789
20156-1.93%-2.09%-1.93%$138,066-2.09%$125,121
201572.08%0.27%2.08%$140,9380.27%$125,460
20158-6.04%-6.25%-6.04%$132,423-6.25%$117,615
20159-2.49%-2.89%-2.49%$129,126-2.89%$114,220
2015108.42%8.53%8.42%$140,0028.53%$123,963
2015110.29%0.00%0.29%$140,4020.00%$123,963
201512-1.59%-2.36%-1.59%$138,166-2.36%$121,042

Exposures for Portfolio 1

Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VFINXVanguard 500 Index InvestorLarge Blend100.00%$128,166100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Exposures for Portfolio 2

Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
FRDPXFranklin Rising Dividends ALarge Blend100.00%$111,042100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 12/05/2017. © 2017 Morningstar. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio #1Portfolio #2
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.86%0.79%
Mean Return (annualized)10.76%9.90%
Compound Return (monthly)0.76%0.72%
Compound Return (annualized)9.51%9.01%
Volatility (monthly)4.32%3.69%
Volatility (annualized)14.99%12.80%
Downside Deviation (monthly)2.94%2.42%
Max. Drawdown-50.97%-46.63%
Market Correlation0.990.86
Beta(*)0.980.73
Alpha (annualized)0.29%2.06%
R297.69%74.28%
Sharpe Ratio0.470.48
Sortino Ratio0.660.71
Treynor Ratio (%)7.168.54
Diversification Ratio1.001.00
Skewness-0.89-0.65
Excess Kurtosis2.702.34
Historical Value-at-Risk (95%)-7.10%-5.36%
Delta Normal Value-at-Risk (95%)-7.11%-6.07%
Conditional Value-at-Risk (95%)-10.16%-8.66%
Positive Periods222 out of 347 (63.98%)219 out of 347 (63.11%)
Gain/Loss Ratio0.931.00

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Black Monday PeriodSep 1987Nov 1987-29.78%-19.43%
Asian CrisisJul 1997Jan 1998-5.61%-2.45%
Russian Crisis / LTCM DefaultJul 1998Oct 1998-15.38%-18.74%
Dotcom CrashMar 2000Oct 2002-44.82%-17.07%
Subprime CrisisNov 2007Mar 2009-50.97%-44.94%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20124 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20066 years 3 months-44.82%
3Sep 1987Nov 19873 monthsMay 19891 year 9 months-29.78%
4Jul 1998Aug 19982 monthsNov 19985 months-15.38%
5Jun 1990Oct 19905 monthsFeb 19919 months-14.70%
6Aug 2015Sep 20152 months-8.38%
7Feb 1994Mar 19942 monthsAug 19947 months-6.98%
8Jan 2000Feb 20002 monthsMar 20003 months-6.84%
9Jan 1990Jan 19901 monthMay 19905 months-6.72%
10Jul 1999Sep 19993 monthsNov 19995 months-6.25%
11Aug 1997Aug 19971 monthNov 19974 months-5.61%
12Apr 2000May 20002 monthsAug 20005 months-4.98%
13Jun 2007Jul 20072 monthsSep 20074 months-4.71%
14Jun 1991Jun 19911 monthAug 19913 months-4.56%
15Jul 1996Jul 19961 monthSep 19963 months-4.42%
16Sep 1991Nov 19913 monthsDec 19914 months-4.36%
17Mar 1997Mar 19971 monthApr 19972 months-4.14%
18Sep 1994Nov 19943 monthsJan 19955 months-3.90%
19Jan 2014Jan 20141 monthFeb 20142 months-3.47%
20Dec 2014Jan 20152 monthsFeb 20153 months-3.27%
21Feb 1999Feb 19991 monthMar 19992 months-3.12%
22Aug 2013Aug 20131 monthSep 20132 months-2.91%
23Sep 1989Oct 19892 monthsDec 19894 months-2.73%
24Jan 1992Mar 19923 monthsApr 19924 months-2.57%
25Apr 1993Apr 19931 monthMay 19932 months-2.42%
26May 1999May 19991 monthJun 19992 months-2.39%
27Aug 1992Aug 19921 monthNov 19924 months-2.07%
28Feb 2007Feb 20071 monthApr 20073 months-1.97%
29Dec 1996Dec 19961 monthJan 19972 months-1.96%
30Jun 2015Jun 20151 monthJul 20152 months-1.93%
31Oct 2012Oct 20121 monthJan 20134 months-1.86%
32May 1998May 19981 monthJun 19982 months-1.74%
33Mar 2015Mar 20151 monthMay 20153 months-1.59%
34Jun 1992Jun 19921 monthJul 19922 months-1.49%
35Sep 2014Sep 20141 monthOct 20142 months-1.41%
36Jul 2014Jul 20141 monthAug 20142 months-1.39%
37Jun 2013Jun 20131 monthJul 20132 months-1.35%
38Nov 1993Nov 19931 monthDec 19932 months-1.00%
39Apr 1987Apr 19871 monthMay 19872 months-0.99%
40Sep 1993Sep 19931 monthOct 19932 months-0.79%
41Jun 1989Jun 19891 monthJul 19892 months-0.59%
42Jul 1993Jul 19931 monthAug 19932 months-0.42%
43Oct 1995Oct 19951 monthNov 19952 months-0.36%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20113 years 11 months-46.63%
2Apr 1998Aug 19985 monthsDec 20002 years 9 months-23.21%
3Sep 1987Nov 19873 monthsOct 19881 year 2 months-19.43%
4May 2002Sep 20025 monthsOct 20031 year 6 months-17.07%
5Jul 1990Oct 19904 monthsJan 19917 months-13.86%
6Jun 2011Sep 20114 monthsJan 20128 months-11.92%
7Jun 2015Sep 20154 months-10.62%
8Jan 1993Mar 19941 year 3 monthsMay 19952 years 5 months-10.36%
9Aug 2001Sep 20012 monthsDec 20015 months-9.26%
10Jan 1990Jan 19901 monthMay 19905 months-4.79%
11Apr 2012May 20122 monthsSep 20126 months-4.34%
12Jan 2005Apr 20054 monthsJul 20057 months-4.29%
13Jan 2014Jan 20141 monthFeb 20142 months-4.21%
14Jan 2015Jan 20151 monthFeb 20152 months-4.17%
15Aug 2005Sep 20052 monthsNov 20054 months-3.35%
16Jul 1996Jul 19961 monthSep 19963 months-3.21%
17Mar 1997Mar 19971 monthMay 19973 months-3.11%
18Aug 2013Aug 20131 monthSep 20132 months-3.06%
19May 2006Jun 20062 monthsAug 20064 months-2.99%
20Nov 1988Nov 19881 monthJan 19893 months-2.83%
21Jul 2014Jul 20141 monthAug 20142 months-2.63%
22Mar 2004Apr 20042 monthsJun 20044 months-2.59%
23Oct 1997Oct 19971 monthDec 19973 months-2.45%
24Apr 1987May 19872 monthsJun 19873 months-2.40%
25Jul 2004Jul 20041 monthNov 20045 months-2.39%
26Jun 1991Jun 19911 monthJul 19912 months-2.36%
27Feb 2001Mar 20012 monthsApr 20013 months-2.34%
28Feb 2007Mar 20072 monthsApr 20073 months-2.33%
29Aug 1997Aug 19971 monthSep 19972 months-2.06%
30Sep 2014Sep 20141 monthOct 20142 months-1.93%
31Oct 2012Oct 20121 monthNov 20122 months-1.69%
32Feb 1992Mar 19922 monthsMay 19924 months-1.64%
33Jun 1992Jun 19921 monthJul 19922 months-1.63%
34Sep 1989Oct 19892 monthsDec 19894 months-1.22%
35Nov 1991Nov 19911 monthDec 19912 months-1.19%
36Aug 1992Aug 19921 monthSep 19922 months-1.17%
37Mar 2015Mar 20151 monthMay 20153 months-1.17%
38Oct 1995Oct 19951 monthNov 19952 months-0.92%
39Jun 2013Jun 20131 monthJul 20132 months-0.88%
40Mar 1996Apr 19962 monthsMay 19963 months-0.59%
41Jan 1998Jan 19981 monthFeb 19982 months-0.45%
42Feb 1987Feb 19871 monthMar 19872 months-0.10%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.51%14.99%37.45%-37.02%-50.97%0.470.660.99
FRDPXFranklin Rising Dividends A9.01%12.80%35.96%-27.22%-46.63%0.480.710.86

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXFRDPXPF #1PF #2
VFINXVanguard 500 Index Investor-0.861.000.86
FRDPXFranklin Rising Dividends A0.86-0.861.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePF #1PF #2
VFINXVanguard 500 Index Investor$128,166
FRDPXFranklin Rising Dividends A$111,042

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePF #1PF #2
VFINXVanguard 500 Index Investor100.00%
FRDPXFranklin Rising Dividends A100.00%

Annual Asset Returns