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.

$ .00
$ .00
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Apr 1987 - Dec 2015)

Portfolio Allocations

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

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$129,202 9.31% 15.02%37.45%-37.02%-50.97% 0.450.640.99
Portfolio 2$10,000$120,921 9.06% 12.83%35.96%-27.22%-46.63% 0.490.710.86
   
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 April 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 treasury bill)
  • 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 received 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
YearInflationReturnBalanceIncomeVanguard 500 Index Investor (VFINX)Franklin Rising Dividends A (FRDPX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19872.94%-13.56%-11.61%$8,644$8,8392.34% [$234]1.91% [$191]-13.56%-11.61%
19884.42%16.22%18.94%$10,046$10,5135.87% [$507]3.73% [$329]16.22%18.94%
19894.65%31.36%19.63%$13,197$12,5767.30% [$733]3.64% [$383]31.36%19.63%
19906.11%-3.32%0.27%$12,759$12,6103.82% [$505]3.41% [$429]-3.32%0.27%
19913.06%30.22%35.96%$16,615$17,1454.11% [$525]2.70% [$340]30.22%35.96%
19922.90%7.42%10.38%$17,848$18,9233.14% [$521]1.76% [$301]7.42%10.38%
19932.75%9.89%-3.50%$19,614$18,2622.86% [$510]1.59% [$300]9.89%-3.50%
19942.67%1.18%-5.17%$19,844$17,3183.16% [$620]1.82% [$333]1.18%-5.17%
19952.54%37.45%30.25%$27,275$22,5563.17% [$629]2.32% [$402]37.45%30.25%
19963.32%22.88%23.42%$33,515$27,8392.68% [$730]8.64% [$1,949]22.88%23.42%
19971.70%33.19%32.35%$44,638$36,8452.78% [$932]16.21% [$4,511]33.19%32.35%
19981.61%28.62%6.03%$57,412$39,0651.95% [$872]8.67% [$3,196]28.62%6.03%
19992.68%21.07%-10.28%$69,508$35,0482.13% [$1,220]7.84% [$3,062]21.07%-10.28%
20003.39%-9.06%18.98%$63,214$41,7000.96% [$670]1.02% [$358]-9.06%18.98%
20011.55%-12.02%13.11%$55,613$47,1661.05% [$664]3.97% [$1,656]-12.02%13.11%
20022.38%-22.15%-1.76%$43,298$46,3341.29% [$718]0.84% [$398]-22.15%-1.76%
20031.88%28.50%23.70%$55,638$57,3171.77% [$768]0.82% [$382]28.50%23.70%
20043.26%10.74%10.28%$61,614$63,2121.91% [$1,064]1.83% [$1,048]10.74%10.28%
20053.42%4.77%2.32%$64,556$64,6791.79% [$1,100]1.64% [$1,036]4.77%2.32%
20062.54%15.64%17.36%$74,653$75,9051.87% [$1,210]6.50% [$4,207]15.64%17.36%
20074.08%5.39%-2.95%$78,675$73,6671.92% [$1,433]3.12% [$2,370]5.39%-2.95%
20080.09%-37.02%-27.22%$49,549$53,6161.87% [$1,470]1.53% [$1,125]-37.02%-27.22%
20092.72%26.49%17.05%$62,672$62,7562.56% [$1,267]0.51% [$276]26.49%17.05%
20101.50%14.91%19.08%$72,019$74,7271.93% [$1,209]1.34% [$839]14.91%19.08%
20112.96%1.97%7.21%$73,435$80,1121.95% [$1,407]1.25% [$932]1.97%7.21%
20121.74%15.82%10.29%$85,055$88,3582.35% [$1,725]1.59% [$1,274]15.82%10.29%
20131.50%32.18%29.30%$112,422$114,2512.26% [$1,923]1.12% [$992]32.18%29.30%
20140.76%13.51%9.72%$127,609$125,3611.95% [$2,195]2.27% [$2,593]13.51%9.72%
20150.73%1.25%-3.54%$129,202$120,9211.99% [$2,537]4.90% [$6,143]1.25%-3.54%
Annual returns for 1987 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Franklin Rising Dividends A (FRDPX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19874-0.99%-2.30%$9,901$9,770-0.99%-2.30%
198751.04%-0.10%$10,003$9,7601.04%-0.10%
198765.02%3.08%$10,506$10,0605.02%3.08%
198774.91%1.60%$11,022$10,2224.91%1.60%
198783.84%3.75%$11,445$10,6053.84%3.75%
19879-2.29%-2.28%$11,184$10,363-2.29%-2.28%
198710-21.73%-13.53%$8,754$8,961-21.73%-13.53%
198711-8.19%-4.65%$8,037$8,544-8.19%-4.65%
1987127.55%3.45%$8,644$8,8397.55%3.45%
198814.17%6.59%$9,005$9,4214.17%6.59%
198824.59%4.57%$9,419$9,8524.59%4.57%
19883-3.04%1.46%$9,132$9,996-3.04%1.46%
198841.01%0.00%$9,225$9,9961.01%0.00%
198850.81%0.00%$9,299$9,9960.81%0.00%
198864.56%4.03%$9,723$10,3994.56%4.03%
19887-0.37%1.00%$9,687$10,503-0.37%1.00%
19888-3.40%-1.29%$9,358$10,367-3.40%-1.29%
198894.26%2.01%$9,756$10,5764.26%2.01%
1988102.73%1.59%$10,023$10,7442.73%1.59%
198811-1.47%-2.83%$9,875$10,439-1.47%-2.83%
1988121.74%0.70%$10,046$10,5131.74%0.70%
198917.32%3.03%$10,782$10,8317.32%3.03%
19892-2.47%0.20%$10,516$10,852-2.47%0.20%
198932.26%2.05%$10,753$11,0752.26%2.05%
198945.18%2.51%$11,311$11,3525.18%2.51%
198954.04%3.77%$11,767$11,7804.04%3.77%
19896-0.59%0.91%$11,699$11,887-0.59%0.91%
198979.01%4.35%$12,752$12,4049.01%4.35%
198981.86%0.96%$12,989$12,5221.86%0.96%
19899-0.40%-0.17%$12,937$12,501-0.40%-0.17%
198910-2.34%-1.05%$12,634$12,370-2.34%-1.05%
1989112.04%0.35%$12,891$12,4132.04%0.35%
1989122.38%1.31%$13,197$12,5762.38%1.31%
19901-6.72%-4.79%$12,311$11,973-6.72%-4.79%
199021.27%1.28%$12,468$12,1271.27%1.28%
199032.61%1.71%$12,793$12,3352.61%1.71%
19904-2.50%-2.68%$12,473$12,004-2.50%-2.68%
199059.69%4.96%$13,682$12,6009.69%4.96%
19906-0.66%0.88%$13,592$12,711-0.66%0.88%
19907-0.35%-0.26%$13,544$12,677-0.35%-0.26%
19908-9.03%-8.77%$12,321$11,565-9.03%-8.77%
19909-4.89%-4.07%$11,718$11,094-4.89%-4.07%
199010-0.41%-1.31%$11,670$10,948-0.41%-1.31%
1990116.44%9.43%$12,421$11,9806.44%9.43%
1990122.72%5.26%$12,759$12,6102.72%5.26%
199114.35%3.39%$13,314$13,0384.35%3.39%
199127.12%9.06%$14,262$14,2197.12%9.06%
199132.41%4.10%$14,605$14,8012.41%4.10%
199140.20%0.84%$14,633$14,9250.20%0.84%
199154.27%4.70%$15,259$15,6264.27%4.70%
19916-4.56%-2.36%$14,563$15,257-4.56%-2.36%
199174.63%2.90%$15,237$15,7004.63%2.90%
199182.33%2.17%$15,592$16,0412.33%2.17%
19919-1.67%0.75%$15,332$16,162-1.67%0.75%
1991101.33%0.99%$15,536$16,3211.33%0.99%
199111-4.01%-1.19%$14,913$16,127-4.01%-1.19%
19911211.41%6.31%$16,615$17,14511.41%6.31%
19921-1.88%0.60%$16,302$17,248-1.88%0.60%
199221.24%-0.13%$16,505$17,2251.24%-0.13%
19923-1.93%-1.51%$16,187$16,965-1.93%-1.51%
199242.91%1.02%$16,659$17,1382.91%1.02%
199250.48%1.68%$16,739$17,4270.48%1.68%
19926-1.49%-1.63%$16,490$17,143-1.49%-1.63%
199274.04%3.92%$17,156$17,8164.04%3.92%
19928-2.07%-1.17%$16,802$17,607-2.07%-1.17%
199291.17%1.82%$16,998$17,9271.17%1.82%
1992100.33%1.17%$17,054$18,1370.33%1.17%
1992113.40%3.21%$17,634$18,7193.40%3.21%
1992121.21%1.09%$17,848$18,9231.21%1.09%
199310.81%-0.99%$17,992$18,7360.81%-0.99%
199321.36%-1.50%$18,236$18,4561.36%-1.50%
199332.11%0.79%$18,620$18,6022.11%0.79%
19934-2.42%-3.54%$18,169$17,944-2.42%-3.54%
199352.65%1.24%$18,651$18,1672.65%1.24%
199360.27%-1.14%$18,700$17,9610.27%-1.14%
19937-0.42%0.07%$18,621$17,973-0.42%0.07%
199383.79%1.64%$19,326$18,2673.79%1.64%
19939-0.79%0.03%$19,173$18,273-0.79%0.03%
1993102.08%1.43%$19,571$18,5342.08%1.43%
199311-1.00%-2.56%$19,376$18,060-1.00%-2.56%
1993121.22%1.12%$19,614$18,2621.22%1.12%
199413.38%1.37%$20,276$18,5123.38%1.37%
19942-2.71%-3.66%$19,725$17,834-2.71%-3.66%
19943-4.39%-4.89%$18,860$16,962-4.39%-4.89%
199441.29%0.14%$19,103$16,9861.29%0.14%
199451.60%1.34%$19,409$17,2131.60%1.34%
19946-2.45%-0.21%$18,935$17,177-2.45%-0.21%
199473.28%0.91%$19,555$17,3333.28%0.91%
199484.08%4.29%$20,352$18,0764.08%4.29%
19949-2.45%-2.33%$19,854$17,655-2.45%-2.33%
1994102.25%-0.41%$20,300$17,5832.25%-0.41%
199411-3.65%-2.46%$19,558$17,150-3.65%-2.46%
1994121.46%0.98%$19,844$17,3181.46%0.98%
199512.58%2.59%$20,357$17,7662.58%2.59%
199523.88%3.00%$21,146$18,3003.88%3.00%
199532.95%2.16%$21,771$18,6952.95%2.16%
199542.94%0.72%$22,411$18,8292.94%0.72%
199553.95%3.62%$23,298$19,5113.95%3.62%
199562.31%1.10%$23,836$19,7242.31%1.10%
199573.30%2.42%$24,624$20,2013.30%2.42%
199580.26%1.57%$24,689$20,5190.26%1.57%
199594.21%3.53%$25,729$21,2424.21%3.53%
199510-0.36%-0.92%$25,635$21,046-0.36%-0.92%
1995114.38%5.13%$26,758$22,1264.38%5.13%
1995121.93%1.95%$27,275$22,5561.93%1.95%
199613.39%2.03%$28,198$23,0143.39%2.03%
199620.92%1.24%$28,459$23,2980.92%1.24%
199630.98%-0.22%$28,737$23,2480.98%-0.22%
199641.46%-0.37%$29,155$23,1611.46%-0.37%
199652.54%2.84%$29,897$23,8182.54%2.84%
199660.38%0.99%$30,012$24,0550.38%0.99%
19967-4.42%-3.21%$28,685$23,283-4.42%-3.21%
199682.10%2.30%$29,286$23,8182.10%2.30%
199695.61%5.09%$30,928$25,0305.61%5.09%
1996102.76%3.05%$31,780$25,7932.76%3.05%
1996117.56%6.93%$34,184$27,5807.56%6.93%
199612-1.96%0.94%$33,515$27,839-1.96%0.94%
199716.22%1.96%$35,598$28,3856.22%1.96%
199720.79%2.72%$35,879$29,1570.79%2.72%
19973-4.14%-3.11%$34,395$28,249-4.14%-3.11%
199745.96%2.50%$36,444$28,9565.96%2.50%
199756.09%7.61%$38,662$31,1596.09%7.61%
199764.45%3.55%$40,384$32,2654.45%3.55%
199777.97%8.54%$43,601$35,0217.97%8.54%
19978-5.61%-2.06%$41,156$34,299-5.61%-2.06%
199795.47%5.16%$43,406$36,0685.47%5.16%
199710-3.35%-2.45%$41,952$35,184-3.35%-2.45%
1997114.60%2.40%$43,881$36,0284.60%2.40%
1997121.72%2.27%$44,638$36,8451.72%2.27%
199811.11%-0.45%$45,134$36,6781.11%-0.45%
199827.19%7.95%$48,380$39,5947.19%7.95%
199835.10%2.75%$50,849$40,6845.10%2.75%
199841.01%-0.41%$51,362$40,5171.01%-0.41%
19985-1.74%-3.83%$50,466$38,966-1.74%-3.83%
199864.07%-1.33%$52,521$38,4494.07%-1.33%
19987-1.05%-3.40%$51,967$37,142-1.05%-3.40%
19988-14.47%-15.88%$44,446$31,243-14.47%-15.88%
199896.41%5.00%$47,295$32,8046.41%5.00%
1998108.16%10.59%$51,156$36,2788.16%10.59%
1998116.07%3.61%$54,262$37,5886.07%3.61%
1998125.81%3.93%$57,412$39,0655.81%3.93%
199914.20%-5.27%$59,826$37,0074.20%-5.27%
19992-3.12%-3.54%$57,957$35,696-3.12%-3.54%
199934.00%-0.64%$60,273$35,4694.00%-0.64%
199943.85%7.74%$62,594$38,2143.85%7.74%
19995-2.39%1.04%$61,099$38,613-2.39%1.04%
199965.56%3.62%$64,494$40,0125.56%3.62%
19997-3.13%-1.62%$62,475$39,362-3.13%-1.62%
19998-0.50%-4.19%$62,165$37,712-0.50%-4.19%
19999-2.74%-5.81%$60,462$35,523-2.74%-5.81%
1999106.33%0.89%$64,287$35,8406.33%0.89%
1999112.02%-1.21%$65,588$35,4062.02%-1.21%
1999125.98%-1.01%$69,508$35,0485.98%-1.01%
20001-5.03%-4.77%$66,011$33,377-5.03%-4.77%
20002-1.91%-0.33%$64,752$33,268-1.91%-0.33%
200039.76%8.54%$71,072$36,1119.76%8.54%
20004-3.01%-0.45%$68,936$35,947-3.01%-0.45%
20005-2.04%1.67%$67,531$36,548-2.04%1.67%
200062.49%-5.46%$69,210$34,5522.49%-5.46%
20007-1.49%-0.95%$68,178$34,224-1.49%-0.95%
200086.19%5.80%$72,399$36,2106.19%5.80%
20009-5.29%0.99%$68,569$36,569-5.29%0.99%
200010-0.43%2.45%$68,274$37,464-0.43%2.45%
200011-7.88%1.61%$62,896$38,067-7.88%1.61%
2000120.50%9.54%$63,214$41,7000.50%9.54%
200113.55%1.72%$65,454$42,4153.55%1.72%
20012-9.14%-0.52%$59,473$42,195-9.14%-0.52%
20013-6.36%-1.83%$55,693$41,423-6.36%-1.83%
200147.77%5.05%$60,021$43,5157.77%5.05%
200150.65%3.54%$60,411$45,0570.65%3.54%
20016-2.45%0.25%$58,934$45,168-2.45%0.25%
20017-1.00%2.08%$58,344$46,106-1.00%2.08%
20018-6.27%-0.60%$54,684$45,830-6.27%-0.60%
20019-8.09%-8.72%$50,259$41,835-8.09%-8.72%
2001101.90%1.54%$51,212$42,4801.90%1.54%
2001117.65%6.94%$55,131$45,4277.65%6.94%
2001120.87%3.83%$55,613$47,1660.87%3.83%
20021-1.47%2.30%$54,794$48,251-1.47%2.30%
20022-1.94%2.52%$53,733$49,469-1.94%2.52%
200233.74%5.02%$55,744$51,9523.74%5.02%
20024-6.07%1.25%$52,358$52,599-6.07%1.25%
20025-0.75%-0.62%$51,963$52,276-0.75%-0.62%
20026-7.13%-3.55%$48,256$50,418-7.13%-3.55%
20027-7.72%-6.39%$44,531$47,198-7.72%-6.39%
200280.65%1.45%$44,821$47,8840.65%1.45%
20029-10.87%-8.90%$39,947$43,621-10.87%-8.90%
2002108.78%4.77%$43,456$45,7008.78%4.77%
2002115.88%3.21%$46,009$47,1695.88%3.21%
200212-5.89%-1.77%$43,298$46,334-5.89%-1.77%
20031-2.62%-3.85%$42,161$44,549-2.62%-3.85%
20032-1.52%-1.90%$41,521$43,704-1.52%-1.90%
200330.96%-0.04%$41,918$43,6850.96%-0.04%
200348.25%8.39%$45,378$47,3518.25%8.39%
200355.26%4.74%$47,767$49,5975.26%4.74%
200361.26%0.19%$48,368$49,6931.26%0.19%
200371.74%3.67%$49,212$51,5161.74%3.67%
200381.93%1.30%$50,163$52,1881.93%1.30%
20039-1.07%-0.55%$49,626$51,900-1.07%-0.55%
2003105.64%6.95%$52,425$55,5095.64%6.95%
2003110.86%0.48%$52,878$55,7770.86%0.48%
2003125.22%2.76%$55,638$57,3175.22%2.76%
200411.82%1.15%$56,652$57,9741.82%1.15%
200421.38%1.77%$57,432$58,9991.38%1.77%
20043-1.51%-0.82%$56,563$58,515-1.51%-0.82%
20044-1.58%-1.78%$55,671$57,472-1.58%-1.78%
200451.36%1.68%$56,427$58,4381.36%1.68%
200461.93%2.22%$57,516$59,7331.93%2.22%
20047-3.31%-2.39%$55,611$58,303-3.31%-2.39%
200480.38%1.33%$55,824$59,0760.38%1.33%
200491.07%0.03%$56,420$59,0951.07%0.03%
2004101.51%-0.52%$57,274$58,7861.51%-0.52%
2004114.05%4.27%$59,592$61,2984.05%4.27%
2004123.39%3.12%$61,614$63,2123.39%3.12%
20051-2.45%-2.27%$60,102$61,777-2.45%-2.27%
200522.09%1.50%$61,360$62,7012.09%1.50%
20053-1.76%-1.72%$60,280$61,620-1.76%-1.72%
20054-1.91%-1.82%$59,128$60,500-1.91%-1.82%
200553.17%2.21%$61,000$61,8363.17%2.21%
200560.13%-0.67%$61,078$61,4240.13%-0.67%
200573.71%3.14%$63,342$63,3503.71%3.14%
20058-0.91%-2.98%$62,763$61,463-0.91%-2.98%
200590.79%-0.38%$63,262$61,2270.79%-0.38%
200510-1.68%0.45%$62,200$61,502-1.68%0.45%
2005113.76%3.90%$64,542$63,9003.76%3.90%
2005120.02%1.22%$64,556$64,6790.02%1.22%
200612.65%3.18%$66,263$66,7372.65%3.18%
200620.26%2.24%$66,438$68,2350.26%2.24%
200631.23%1.73%$67,255$69,4131.23%1.73%
200641.33%0.95%$68,152$70,0721.33%0.95%
20065-2.90%-2.54%$66,178$68,295-2.90%-2.54%
200660.13%-0.47%$66,262$67,9750.13%-0.47%
200670.61%0.15%$66,665$68,0750.61%0.15%
200682.36%3.87%$68,239$70,7122.36%3.87%
200692.56%2.40%$69,988$72,4092.56%2.40%
2006103.25%2.26%$72,264$74,0473.25%2.26%
2006111.89%1.83%$73,629$75,4061.89%1.83%
2006121.39%0.66%$74,653$75,9051.39%0.66%
200711.49%1.73%$75,768$77,2171.49%1.73%
20072-1.97%-1.97%$74,276$75,693-1.97%-1.97%
200731.11%-0.36%$75,102$75,4181.11%-0.36%
200744.42%2.64%$78,420$77,4074.42%2.64%
200753.48%3.88%$81,146$80,4123.48%3.88%
20076-1.68%-1.39%$79,786$79,290-1.68%-1.39%
20077-3.08%-3.66%$77,325$76,391-3.08%-3.66%
200781.50%1.66%$78,483$77,6611.50%1.66%
200793.72%2.13%$81,406$79,3113.72%2.13%
2007101.58%-1.73%$82,691$77,9361.58%-1.73%
200711-4.19%-3.69%$79,229$75,058-4.19%-3.69%
200712-0.70%-1.85%$78,675$73,667-0.70%-1.85%
20081-6.02%-3.29%$73,942$71,241-6.02%-3.29%
20082-3.25%-2.45%$71,538$69,492-3.25%-2.45%
20083-0.44%1.45%$71,223$70,497-0.44%1.45%
200844.85%2.73%$74,680$72,4214.85%2.73%
200851.29%1.60%$75,645$73,5801.29%1.60%
20086-8.44%-9.39%$69,262$66,672-8.44%-9.39%
20087-0.83%2.36%$68,686$68,246-0.83%2.36%
200881.45%0.58%$69,679$68,6391.45%0.58%
20089-8.91%-7.39%$63,474$63,568-8.91%-7.39%
200810-16.79%-12.83%$52,815$55,414-16.79%-12.83%
200811-7.17%-5.84%$49,026$52,179-7.17%-5.84%
2008121.07%2.75%$49,549$53,6161.07%2.75%
20091-8.41%-10.90%$45,380$47,773-8.41%-10.90%
20092-10.66%-10.17%$40,544$42,915-10.66%-10.17%
200938.76%8.82%$44,096$46,6988.76%8.82%
200949.56%8.58%$48,311$50,7059.56%8.58%
200955.62%4.11%$51,025$52,7875.62%4.11%
200960.22%0.85%$51,137$53,2350.22%0.85%
200977.58%6.64%$55,012$56,7727.58%6.64%
200983.60%3.12%$56,992$58,5413.60%3.12%
200993.72%2.18%$59,110$59,8173.72%2.18%
200910-1.87%-1.87%$58,006$58,697-1.87%-1.87%
2009115.98%5.64%$61,476$62,0105.98%5.64%
2009121.95%1.20%$62,672$62,7561.95%1.20%
20101-3.60%-1.47%$60,413$61,834-3.60%-1.47%
201023.09%3.02%$62,281$63,7013.09%3.02%
201036.01%5.29%$66,027$67,0736.01%5.29%
201041.58%2.65%$67,069$68,8501.58%2.65%
20105-8.01%-5.52%$61,700$65,050-8.01%-5.52%
20106-5.24%-4.39%$58,467$62,194-5.24%-4.39%
201077.00%6.36%$62,557$66,1517.00%6.36%
20108-4.53%-2.75%$59,724$64,330-4.53%-2.75%
201098.92%8.07%$65,050$69,5248.92%8.07%
2010103.79%2.72%$67,515$71,4133.79%2.72%
2010110.00%-0.06%$67,515$71,3680.00%-0.06%
2010126.67%4.71%$72,019$74,7276.67%4.71%
201112.36%-0.03%$73,716$74,7042.36%-0.03%
201123.42%3.50%$76,235$77,3203.42%3.50%
201130.03%0.50%$76,254$77,7070.03%0.50%
201142.95%4.36%$78,502$81,0962.95%4.36%
20115-1.15%0.00%$77,603$81,096-1.15%0.00%
20116-1.67%-1.12%$76,305$80,186-1.67%-1.12%
20117-2.05%-2.81%$74,743$77,934-2.05%-2.81%
20118-5.45%-3.09%$70,672$75,523-5.45%-3.09%
20119-7.04%-5.42%$65,695$71,429-7.04%-5.42%
20111010.91%9.39%$72,865$78,13910.91%9.39%
201111-0.23%0.99%$72,695$78,913-0.23%0.99%
2011121.02%1.52%$73,435$80,1121.02%1.52%
201214.46%2.70%$76,713$82,2764.46%2.70%
201224.31%1.51%$80,017$83,5194.31%1.51%
201233.28%2.95%$82,643$85,9823.28%2.95%
20124-0.64%-0.67%$82,114$85,407-0.64%-0.67%
20125-6.02%-3.69%$77,173$82,253-6.02%-3.69%
201264.11%1.62%$80,344$83,5884.11%1.62%
201271.37%0.72%$81,444$84,1861.37%0.72%
201282.24%1.04%$83,268$85,0612.24%1.04%
201292.58%2.46%$85,414$87,1562.58%2.46%
201210-1.86%-1.69%$83,825$85,683-1.86%-1.69%
2012110.56%2.26%$84,295$87,6170.56%2.26%
2012120.90%0.85%$85,055$88,3580.90%0.85%
201315.18%5.08%$89,458$92,8445.18%5.08%
201321.34%2.19%$90,656$94,8761.34%2.19%
201333.74%3.55%$94,045$98,2403.74%3.55%
201341.91%1.02%$95,840$99,2451.91%1.02%
201352.33%1.88%$98,071$101,1142.33%1.88%
20136-1.35%-0.88%$96,746$100,226-1.35%-0.88%
201375.07%5.83%$101,653$106,0675.07%5.83%
20138-2.91%-3.06%$98,693$102,820-2.91%-3.06%
201393.12%3.29%$101,774$106,2073.12%3.29%
2013104.59%3.87%$106,442$110,3194.59%3.87%
2013113.03%2.10%$109,666$112,6323.03%2.10%
2013122.51%1.44%$112,422$114,2512.51%1.44%
20141-3.47%-4.21%$108,522$109,442-3.47%-4.21%
201424.56%4.85%$113,472$114,7464.56%4.85%
201430.82%0.85%$114,407$115,7180.82%0.85%
201440.72%0.33%$115,235$116,0960.72%0.33%
201452.33%1.36%$117,926$117,6782.33%1.36%
201462.05%1.60%$120,345$119,5552.05%1.60%
20147-1.39%-2.63%$118,675$116,406-1.39%-2.63%
201483.98%3.42%$123,400$120,3843.98%3.42%
20149-1.41%-1.93%$121,657$118,062-1.41%-1.93%
2014102.42%2.78%$124,605$121,3382.42%2.78%
2014112.68%2.90%$127,947$124,8532.68%2.90%
201412-0.26%0.41%$127,609$125,361-0.26%0.41%
20151-3.02%-4.17%$123,758$120,136-3.02%-4.17%
201525.74%5.69%$130,862$126,9745.74%5.69%
20153-1.59%-1.17%$128,776$125,491-1.59%-1.17%
201540.95%0.33%$129,998$125,9010.95%0.33%
201551.27%1.40%$131,653$127,6611.27%1.40%
20156-1.93%-2.09%$129,108$124,997-1.93%-2.09%
201572.08%0.27%$131,794$125,3352.08%0.27%
20158-6.04%-6.25%$123,831$117,497-6.04%-6.25%
20159-2.49%-2.89%$120,748$114,106-2.49%-2.89%
2015108.42%8.53%$130,918$123,8398.42%8.53%
2015110.29%0.00%$131,293$123,8390.29%0.00%
201512-1.59%-2.36%$129,202$120,921-1.59%-2.36%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value47.54%51.18%
Large-cap Growth52.01%22.43%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%10.73%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%0.00%
Emerging Markets0.07%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%3.08%
Intermediate-Term Treasuries0.39%11.45%
Short-Term Treasuries0.00%1.13%
R Squared99.90%93.50%
Style analysis is based on monthly returns from Apr 2005 to Dec 2015 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VFINXVanguard 500 Index InvestorLarge Blend100.00%$119,202100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
FRDPXFranklin Rising Dividends ALarge Blend100.00%$110,921100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/06/2018. © 2018 Morningstar. All Rights Reserved. The fund fundamentals 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
Arithmetic Mean (monthly)0.84%0.79%
Arithmetic Mean (annualized)10.56%9.96%
Geometric Mean (monthly)0.74%0.73%
Geometric Mean (annualized)9.31%9.06%
Volatility (monthly)4.34%3.70%
Volatility (annualized)15.02%12.83%
Downside Deviation (monthly)2.95%2.43%
Max. Drawdown-50.97%-46.63%
US Market Correlation0.990.86
Beta(*)0.980.73
Alpha (annualized)0.29%2.22%
R297.70%74.63%
Sharpe Ratio0.450.49
Sortino Ratio0.640.71
Treynor Ratio (%)6.988.60
Information Ratio0.02-0.07
Diversification Ratio1.001.00
Skewness-0.88-0.65
Excess Kurtosis2.682.31
Historical Value-at-Risk (5%)-7.11%-5.38%
Analytical Value-at-Risk (5%)-6.29%-5.30%
Conditional Value-at-Risk (5%)-10.16%-8.66%
Upside Capture Ratio (%)97.4874.16
Downside Capture Ratio (%)96.4367.09
Positive Periods220 out of 345 (63.77%)218 out of 345 (63.19%)
Gain/Loss Ratio0.931.00
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.

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 Debt 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
6Aug 2015Sep 20152 months-8.38%
7Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
8Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
9Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsApr 20112 years 2 months3 years 11 months-46.63%
2Apr 1998Aug 19985 monthsDec 20002 years 4 months2 years 9 months-23.21%
3Sep 1987Nov 19873 monthsOct 198811 months1 year 2 months-19.43%
4May 2002Sep 20025 monthsOct 20031 year 1 month1 year 6 months-17.07%
5Jul 1990Oct 19904 monthsJan 19913 months7 months-13.86%
6Jun 2011Sep 20114 monthsJan 20124 months8 months-11.92%
7Jun 2015Sep 20154 months-10.62%
8Jan 1993Mar 19941 year 3 monthsMay 19951 year 2 months2 years 5 months-10.36%
9Aug 2001Sep 20012 monthsDec 20013 months5 months-9.26%
10Jan 1990Jan 19901 monthMay 19904 months5 months-4.79%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.31%15.02%37.45%-37.02%-50.97%0.450.640.99
FRDPXFranklin Rising Dividends A9.06%12.83%35.96%-27.22%-46.63%0.490.710.86

Monthly Correlations

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

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$119,202
FRDPXFranklin Rising Dividends A$110,921

Portfolio Risk Decomposition

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

Annual Asset Returns