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 (Aug 1988 - Dec 2015)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
INUTX Columbia Dividend Opportunity A 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$133,375 9.91% 14.47%37.45%-37.02%-50.97% 0.510.750.99
Portfolio 2$10,000$98,998 8.72% 12.52%29.04%-35.92%-51.37% 0.480.710.79
   
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 1988 are based on full calendar months from August 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
  • 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)Columbia Dividend Opportunity A (INUTX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19881.69%3.71%5.89%$10,371$10,5893.23% [$323]3.46% [$346]3.71%5.89%
19894.65%31.36%28.93%$13,624$13,6537.30% [$757]8.36% [$885]31.36%28.93%
19906.11%-3.32%-1.80%$13,171$13,4073.82% [$521]7.24% [$988]-3.32%-1.80%
19913.06%30.22%21.97%$17,151$16,3524.11% [$542]7.41% [$993]30.22%21.97%
19922.90%7.42%10.34%$18,424$18,0433.14% [$538]8.34% [$1,363]7.42%10.34%
19932.75%9.89%18.77%$20,247$21,4292.86% [$527]11.42% [$2,061]9.89%18.77%
19942.67%1.18%-7.06%$20,485$19,9163.16% [$640]7.05% [$1,512]1.18%-7.06%
19952.54%37.45%23.47%$28,156$24,5903.17% [$649]5.17% [$1,030]37.45%23.47%
19963.32%22.88%14.42%$34,597$28,1362.68% [$754]6.57% [$1,616]22.88%14.42%
19971.70%33.19%29.04%$46,080$36,3062.78% [$962]16.99% [$4,780]33.19%29.04%
19981.61%28.62%22.75%$59,267$44,5631.95% [$901]9.82% [$3,565]28.62%22.75%
19992.68%21.07%8.72%$71,753$48,4472.13% [$1,260]9.94% [$4,431]21.07%8.72%
20003.39%-9.06%17.02%$65,255$56,6920.96% [$692]5.89% [$2,855]-9.06%17.02%
20011.55%-12.02%-22.98%$57,410$43,6661.05% [$686]4.32% [$2,451]-12.02%-22.98%
20022.38%-22.15%-21.47%$44,696$34,2921.29% [$741]2.31% [$1,009]-22.15%-21.47%
20031.88%28.50%16.59%$57,435$39,9801.77% [$792]3.50% [$1,202]28.50%16.59%
20043.26%10.74%13.72%$63,604$45,4671.91% [$1,098]3.28% [$1,310]10.74%13.72%
20053.42%4.77%7.41%$66,641$48,8351.79% [$1,136]3.18% [$1,446]4.77%7.41%
20062.54%15.64%23.25%$77,065$60,1881.87% [$1,249]3.00% [$1,464]15.64%23.25%
20074.08%5.39%5.36%$81,216$63,4121.92% [$1,479]2.84% [$1,707]5.39%5.36%
20080.09%-37.02%-35.92%$51,149$40,6341.87% [$1,517]3.17% [$2,008]-37.02%-35.92%
20092.72%26.49%28.71%$64,696$52,2992.56% [$1,308]5.25% [$2,132]26.49%28.71%
20101.50%14.91%16.87%$74,345$61,1191.93% [$1,248]3.95% [$2,067]14.91%16.87%
20112.96%1.97%6.57%$75,807$65,1361.95% [$1,452]3.76% [$2,298]1.97%6.57%
20121.74%15.82%13.09%$87,803$73,6602.35% [$1,781]4.42% [$2,881]15.82%13.09%
20131.50%32.18%25.78%$116,054$92,6512.26% [$1,985]8.43% [$6,212]32.18%25.78%
20140.76%13.51%9.75%$131,731$101,6841.95% [$2,266]16.28% [$15,080]13.51%9.75%
20150.73%1.25%-2.64%$133,375$98,9981.99% [$2,618]5.43% [$5,521]1.25%-2.64%
Annual returns for 1988 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Columbia Dividend Opportunity A (INUTX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19888-3.40%1.33%$9,660$10,133-3.40%1.33%
198894.26%2.20%$10,071$10,3554.26%2.20%
1988102.73%2.46%$10,346$10,6102.73%2.46%
198811-1.47%-0.66%$10,194$10,540-1.47%-0.66%
1988121.74%0.47%$10,371$10,5891.74%0.47%
198917.32%1.78%$11,130$10,7787.32%1.78%
19892-2.47%-2.29%$10,856$10,531-2.47%-2.29%
198932.26%2.44%$11,101$10,7882.26%2.44%
198945.18%3.20%$11,676$11,1335.18%3.20%
198954.04%4.21%$12,148$11,6014.04%4.21%
19896-0.59%3.14%$12,076$11,966-0.59%3.14%
198979.01%5.51%$13,164$12,6259.01%5.51%
198981.86%-1.37%$13,409$12,4521.86%-1.37%
19899-0.40%1.50%$13,354$12,639-0.40%1.50%
198910-2.34%0.69%$13,042$12,726-2.34%0.69%
1989112.04%1.55%$13,308$12,9242.04%1.55%
1989122.38%5.64%$13,624$13,6532.38%5.64%
19901-6.72%-5.27%$12,708$12,933-6.72%-5.27%
199021.27%-0.17%$12,870$12,9111.27%-0.17%
199032.61%0.59%$13,206$12,9872.61%0.59%
19904-2.50%-3.35%$12,876$12,552-2.50%-3.35%
199059.69%3.28%$14,124$12,9649.69%3.28%
19906-0.66%1.73%$14,031$13,189-0.66%1.73%
19907-0.35%0.71%$13,981$13,282-0.35%0.71%
19908-9.03%-6.48%$12,718$12,421-9.03%-6.48%
19909-4.89%-0.70%$12,097$12,335-4.89%-0.70%
199010-0.41%3.45%$12,047$12,761-0.41%3.45%
1990116.44%2.60%$12,823$13,0926.44%2.60%
1990122.72%2.41%$13,171$13,4072.72%2.41%
199114.35%0.18%$13,744$13,4314.35%0.18%
199127.12%3.07%$14,722$13,8447.12%3.07%
199132.41%2.49%$15,076$14,1882.41%2.49%
199140.20%0.35%$15,106$14,2380.20%0.35%
199154.27%0.17%$15,751$14,2624.27%0.17%
19916-4.56%-0.61%$15,033$14,175-4.56%-0.61%
199174.63%2.82%$15,729$14,5754.63%2.82%
199182.33%1.80%$16,096$14,8382.33%1.80%
19919-1.67%3.58%$15,827$15,370-1.67%3.58%
1991101.33%0.66%$16,037$15,4711.33%0.66%
199111-4.01%-0.49%$15,394$15,395-4.01%-0.49%
19911211.41%6.22%$17,151$16,35211.41%6.22%
19921-1.88%-1.90%$16,828$16,040-1.88%-1.90%
199221.24%-0.97%$17,038$15,8851.24%-0.97%
19923-1.93%-0.06%$16,710$15,876-1.93%-0.06%
199242.91%3.64%$17,197$16,4542.91%3.64%
199250.48%1.44%$17,280$16,6910.48%1.44%
19926-1.49%1.13%$17,022$16,880-1.49%1.13%
199274.04%2.83%$17,711$17,3584.04%2.83%
19928-2.07%-0.61%$17,344$17,252-2.07%-0.61%
199291.17%1.05%$17,547$17,4331.17%1.05%
1992100.33%-0.31%$17,605$17,3790.33%-0.31%
1992113.40%0.16%$18,204$17,4063.40%0.16%
1992121.21%3.66%$18,424$18,0431.21%3.66%
199310.81%2.02%$18,573$18,4080.81%2.02%
199321.36%4.27%$18,825$19,1951.36%4.27%
199332.11%2.90%$19,221$19,7522.11%2.90%
19934-2.42%-0.86%$18,755$19,582-2.42%-0.86%
199352.65%0.43%$19,253$19,6672.65%0.43%
199360.27%2.90%$19,305$20,2370.27%2.90%
19937-0.42%1.56%$19,223$20,553-0.42%1.56%
199383.79%2.86%$19,950$21,1423.79%2.86%
19939-0.79%2.04%$19,792$21,573-0.79%2.04%
1993102.08%0.54%$20,203$21,6892.08%0.54%
199311-1.00%-4.55%$20,002$20,703-1.00%-4.55%
1993121.22%3.51%$20,247$21,4291.22%3.51%
199413.38%1.16%$20,931$21,6783.38%1.16%
19942-2.71%-4.30%$20,363$20,746-2.71%-4.30%
19943-4.39%-3.34%$19,469$20,054-4.39%-3.34%
199441.29%1.57%$19,720$20,3681.29%1.57%
199451.60%-1.54%$20,036$20,0541.60%-1.54%
19946-2.45%-1.19%$19,546$19,815-2.45%-1.19%
199473.28%2.57%$20,187$20,3243.28%2.57%
199484.08%1.10%$21,009$20,5474.08%1.10%
19949-2.45%-1.60%$20,495$20,219-2.45%-1.60%
1994102.25%0.79%$20,956$20,3802.25%0.79%
199411-3.65%-4.10%$20,190$19,544-3.65%-4.10%
1994121.46%1.90%$20,485$19,9161.46%1.90%
199512.58%0.84%$21,014$20,0842.58%0.84%
199523.88%0.67%$21,829$20,2183.88%0.67%
199532.95%0.72%$22,474$20,3632.95%0.72%
199542.94%1.17%$23,135$20,6002.94%1.17%
199553.95%2.97%$24,050$21,2113.95%2.97%
199562.31%1.33%$24,606$21,4932.31%1.33%
199573.30%1.60%$25,419$21,8363.30%1.60%
199580.26%1.10%$25,486$22,0760.26%1.10%
199594.21%4.22%$26,560$23,0084.21%4.22%
199510-0.36%-0.15%$26,463$22,973-0.36%-0.15%
1995114.38%1.97%$27,622$23,4254.38%1.97%
1995121.93%4.97%$28,156$24,5901.93%4.97%
199613.39%1.43%$29,109$24,9413.39%1.43%
199620.92%-1.55%$29,378$24,5550.92%-1.55%
199630.98%1.34%$29,665$24,8830.98%1.34%
199641.46%-0.14%$30,097$24,8481.46%-0.14%
199652.54%0.57%$30,863$24,9902.54%0.57%
199660.38%3.37%$30,981$25,8320.38%3.37%
19967-4.42%-4.70%$29,611$24,617-4.42%-4.70%
199682.10%1.74%$30,232$25,0462.10%1.74%
199695.61%2.56%$31,927$25,6865.61%2.56%
1996102.76%3.50%$32,807$26,5862.76%3.50%
1996117.56%4.33%$35,288$27,7377.56%4.33%
199612-1.96%1.44%$34,597$28,136-1.96%1.44%
199716.22%1.72%$36,748$28,6216.22%1.72%
199720.79%-0.39%$37,038$28,5090.79%-0.39%
19973-4.14%-2.12%$35,506$27,906-4.14%-2.12%
199745.96%0.94%$37,621$28,1695.96%0.94%
199756.09%4.81%$39,911$29,5256.09%4.81%
199764.45%3.35%$41,689$30,5154.45%3.35%
199777.97%2.74%$45,009$31,3507.97%2.74%
19978-5.61%-4.36%$42,485$29,983-5.61%-4.36%
199795.47%6.47%$44,808$31,9245.47%6.47%
199710-3.35%-0.72%$43,307$31,694-3.35%-0.72%
1997114.60%7.90%$45,299$34,1984.60%7.90%
1997121.72%6.16%$46,080$36,3061.72%6.16%
199811.11%-0.83%$46,592$36,0041.11%-0.83%
199827.19%2.16%$49,943$36,7807.19%2.16%
199835.10%8.95%$52,492$40,0715.10%8.95%
199841.01%-3.14%$53,021$38,8141.01%-3.14%
19985-1.74%-1.23%$52,096$38,337-1.74%-1.23%
199864.07%2.25%$54,217$39,2014.07%2.25%
19987-1.05%-1.45%$53,646$38,634-1.05%-1.45%
19988-14.47%-4.94%$45,881$36,726-14.47%-4.94%
199896.41%7.64%$48,823$39,5316.41%7.64%
1998108.16%1.56%$52,809$40,1468.16%1.56%
1998116.07%2.74%$56,015$41,2446.07%2.74%
1998125.81%8.05%$59,267$44,5635.81%8.05%
199914.20%-0.32%$61,758$44,4224.20%-0.32%
19992-3.12%-4.13%$59,829$42,589-3.12%-4.13%
199934.00%0.98%$62,220$43,0064.00%0.98%
199943.85%4.95%$64,616$45,1333.85%4.95%
19995-2.39%3.04%$63,073$46,503-2.39%3.04%
199965.56%1.24%$66,577$47,0815.56%1.24%
19997-3.13%-1.21%$64,493$46,511-3.13%-1.21%
19998-0.50%-3.47%$64,173$44,896-0.50%-3.47%
19999-2.74%-0.64%$62,415$44,608-2.74%-0.64%
1999106.33%4.49%$66,364$46,6096.33%4.49%
1999112.02%-0.51%$67,706$46,3712.02%-0.51%
1999125.98%4.48%$71,753$48,4475.98%4.48%
20001-5.03%0.21%$68,143$48,551-5.03%0.21%
20002-1.91%-0.75%$66,844$48,188-1.91%-0.75%
200039.76%4.01%$73,368$50,1219.76%4.01%
20004-3.01%-3.43%$71,163$48,403-3.01%-3.43%
20005-2.04%-0.75%$69,712$48,039-2.04%-0.75%
200062.49%-0.32%$71,446$47,8852.49%-0.32%
20007-1.49%0.11%$70,381$47,937-1.49%0.11%
200086.19%9.16%$74,737$52,3286.19%9.16%
20009-5.29%7.61%$70,784$56,309-5.29%7.61%
200010-0.43%-3.73%$70,480$54,210-0.43%-3.73%
200011-7.88%-3.48%$64,927$52,321-7.88%-3.48%
2000120.50%8.36%$65,255$56,6920.50%8.36%
200113.55%-6.95%$67,569$52,7523.55%-6.95%
20012-9.14%-0.52%$61,394$52,479-9.14%-0.52%
20013-6.36%1.22%$57,492$53,120-6.36%1.22%
200147.77%6.40%$61,959$56,5227.77%6.40%
200150.65%-2.82%$62,362$54,9310.65%-2.82%
20016-2.45%-7.45%$60,837$50,839-2.45%-7.45%
20017-1.00%-4.33%$60,229$48,635-1.00%-4.33%
20018-6.27%-2.94%$56,450$47,203-6.27%-2.94%
20019-8.09%-3.87%$51,883$45,375-8.09%-3.87%
2001101.90%-3.30%$52,866$43,8791.90%-3.30%
2001117.65%-1.77%$56,912$43,1047.65%-1.77%
2001120.87%1.30%$57,410$43,6660.87%1.30%
20021-1.47%-5.17%$56,564$41,407-1.47%-5.17%
20022-1.94%-1.68%$55,469$40,712-1.94%-1.68%
200233.74%5.88%$57,545$43,1063.74%5.88%
20024-6.07%-3.78%$54,049$41,475-6.07%-3.78%
20025-0.75%-3.23%$53,642$40,135-0.75%-3.23%
20026-7.13%-3.68%$49,815$38,658-7.13%-3.68%
20027-7.72%-10.47%$45,969$34,610-7.72%-10.47%
200280.65%2.20%$46,269$35,3730.65%2.20%
20029-10.87%-9.97%$41,238$31,845-10.87%-9.97%
2002108.78%4.83%$44,859$33,3848.78%4.83%
2002115.88%1.77%$47,495$33,9765.88%1.77%
200212-5.89%0.93%$44,696$34,292-5.89%0.93%
20031-2.62%-2.78%$43,523$33,339-2.62%-2.78%
20032-1.52%-3.39%$42,862$32,208-1.52%-3.39%
200330.96%2.41%$43,272$32,9830.96%2.41%
200348.25%5.10%$46,844$34,6658.25%5.10%
200355.26%6.93%$49,309$37,0695.26%6.93%
200361.26%1.78%$49,931$37,7291.26%1.78%
200371.74%-4.33%$50,801$36,0941.74%-4.33%
200381.93%1.01%$51,783$36,4581.93%1.01%
20039-1.07%1.63%$51,228$37,052-1.07%1.63%
2003105.64%1.32%$54,118$37,5405.64%1.32%
2003110.86%1.30%$54,586$38,0290.86%1.30%
2003125.22%5.13%$57,435$39,9805.22%5.13%
200411.82%1.08%$58,482$40,4111.82%1.08%
200421.38%0.30%$59,287$40,5341.38%0.30%
20043-1.51%-1.74%$58,390$39,827-1.51%-1.74%
20044-1.58%-2.02%$57,469$39,021-1.58%-2.02%
200451.36%0.48%$58,249$39,2071.36%0.48%
200461.93%1.88%$59,373$39,9431.93%1.88%
20047-3.31%-0.31%$57,408$39,818-3.31%-0.31%
200480.38%2.20%$57,627$40,6930.38%2.20%
200491.07%1.60%$58,242$41,3461.07%1.60%
2004101.51%1.68%$59,124$42,0401.51%1.68%
2004114.05%5.25%$61,517$44,2464.05%5.25%
2004123.39%2.76%$63,604$45,4673.39%2.76%
20051-2.45%-0.98%$62,043$45,022-2.45%-0.98%
200522.09%4.09%$63,342$46,8642.09%4.09%
20053-1.76%-2.11%$62,227$45,877-1.76%-2.11%
20054-1.91%-0.42%$61,037$45,685-1.91%-0.42%
200553.17%1.40%$62,971$46,3253.17%1.40%
200560.13%1.57%$63,051$47,0510.13%1.57%
200573.71%2.19%$65,388$48,0823.71%2.19%
20058-0.91%0.00%$64,791$48,082-0.91%0.00%
200590.79%1.06%$65,305$48,5920.79%1.06%
200510-1.68%-2.27%$64,209$47,488-1.68%-2.27%
2005113.76%2.19%$66,626$48,5273.76%2.19%
2005120.02%0.64%$66,641$48,8350.02%0.64%
200612.65%3.49%$68,404$50,5372.65%3.49%
200620.26%0.52%$68,583$50,7990.26%0.52%
200631.23%0.69%$69,428$51,1501.23%0.69%
200641.33%3.09%$70,353$52,7321.33%3.09%
20065-2.90%-2.50%$68,315$51,413-2.90%-2.50%
200660.13%0.98%$68,403$51,9160.13%0.98%
200670.61%3.45%$68,818$53,7060.61%3.45%
200682.36%1.85%$70,443$54,7012.36%1.85%
200692.56%1.46%$72,249$55,4982.56%1.46%
2006103.25%3.49%$74,598$57,4353.25%3.49%
2006111.89%2.21%$76,007$58,7041.89%2.21%
2006121.39%2.53%$77,065$60,1881.39%2.53%
200711.49%1.34%$78,215$60,9951.49%1.34%
20072-1.97%-0.99%$76,675$60,390-1.97%-0.99%
200731.11%2.69%$77,527$62,0171.11%2.69%
200744.42%3.60%$80,953$64,2514.42%3.60%
200753.48%3.48%$83,767$66,4863.48%3.48%
20076-1.68%-1.09%$82,363$65,758-1.68%-1.09%
20077-3.08%-3.94%$79,822$63,168-3.08%-3.94%
200781.50%1.73%$81,018$64,2591.50%1.73%
200793.72%2.81%$84,035$66,0623.72%2.81%
2007101.58%2.08%$85,362$67,4341.58%2.08%
200711-4.19%-4.17%$81,788$64,621-4.19%-4.17%
200712-0.70%-1.87%$81,216$63,412-0.70%-1.87%
20081-6.02%-5.34%$76,330$60,027-6.02%-5.34%
20082-3.25%-3.45%$73,848$57,955-3.25%-3.45%
20083-0.44%-1.83%$73,523$56,897-0.44%-1.83%
200844.85%3.79%$77,092$59,0564.85%3.79%
200851.29%1.18%$78,088$59,7521.29%1.18%
20086-8.44%-9.17%$71,499$54,275-8.44%-9.17%
20087-0.83%-0.52%$70,905$53,993-0.83%-0.52%
200881.45%0.78%$71,930$54,4151.45%0.78%
20089-8.91%-6.97%$65,524$50,621-8.91%-6.97%
200810-16.79%-14.73%$54,521$43,166-16.79%-14.73%
200811-7.17%-7.57%$50,609$39,900-7.17%-7.57%
2008121.07%1.84%$51,149$40,6341.07%1.84%
20091-8.41%-10.27%$46,846$36,463-8.41%-10.27%
20092-10.66%-10.06%$41,854$32,795-10.66%-10.06%
200938.76%8.36%$45,520$35,5368.76%8.36%
200949.56%8.42%$49,871$38,5289.56%8.42%
200955.62%6.44%$52,673$41,0095.62%6.44%
200960.22%0.61%$52,789$41,2600.22%0.61%
200977.58%9.14%$56,789$45,0327.58%9.14%
200983.60%3.94%$58,833$46,8063.60%3.94%
200993.72%3.69%$61,020$48,5333.72%3.69%
200910-1.87%-1.54%$59,880$47,785-1.87%-1.54%
2009115.98%6.26%$63,462$50,7765.98%6.26%
2009121.95%3.00%$64,696$52,2991.95%3.00%
20101-3.60%-3.90%$62,365$50,258-3.60%-3.90%
201023.09%1.95%$64,293$51,2413.09%1.95%
201036.01%6.05%$68,159$54,3406.01%6.05%
201041.58%0.42%$69,235$54,5691.58%0.42%
20105-8.01%-7.82%$63,693$50,301-8.01%-7.82%
20106-5.24%-3.54%$60,355$48,521-5.24%-3.54%
201077.00%8.08%$64,578$52,4437.00%8.08%
20108-4.53%-1.91%$61,653$51,443-4.53%-1.91%
201098.92%8.61%$67,151$55,8718.92%8.61%
2010103.79%3.62%$69,695$57,8913.79%3.62%
2010110.00%-0.81%$69,695$57,4250.00%-0.81%
2010126.67%6.43%$74,345$61,1196.67%6.43%
201112.36%0.90%$76,097$61,6682.36%0.90%
201123.42%3.82%$78,697$64,0223.42%3.82%
201130.03%2.48%$78,717$65,6070.03%2.48%
201142.95%3.50%$81,038$67,9022.95%3.50%
20115-1.15%-0.23%$80,109$67,744-1.15%-0.23%
20116-1.67%-2.06%$78,770$66,345-1.67%-2.06%
20117-2.05%-3.37%$77,158$64,110-2.05%-3.37%
20118-5.45%-3.24%$72,955$62,034-5.45%-3.24%
20119-7.04%-6.17%$67,817$58,205-7.04%-6.17%
20111010.91%9.70%$75,219$63,84810.91%9.70%
201111-0.23%0.25%$75,043$64,009-0.23%0.25%
2011121.02%1.76%$75,807$65,1361.02%1.76%
201214.46%2.50%$79,191$66,7644.46%2.50%
201224.31%4.27%$82,602$69,6144.31%4.27%
201233.28%1.63%$85,312$70,7473.28%1.63%
20124-0.64%-0.23%$84,767$70,583-0.64%-0.23%
20125-6.02%-5.46%$79,665$66,730-6.02%-5.46%
201264.11%4.22%$82,939$69,5464.11%4.22%
201271.37%2.26%$84,075$71,1171.37%2.26%
201282.24%0.70%$85,958$71,6142.24%0.70%
201292.58%2.20%$88,173$73,1912.58%2.20%
201210-1.86%-0.91%$86,533$72,524-1.86%-0.91%
2012110.56%0.11%$87,018$72,6080.56%0.11%
2012120.90%1.45%$87,803$73,6600.90%1.45%
201315.18%5.52%$92,348$77,7295.18%5.52%
201321.34%0.98%$93,584$78,4921.34%0.98%
201333.74%3.93%$97,083$81,5773.74%3.93%
201341.91%2.19%$98,936$83,3601.91%2.19%
201352.33%0.10%$101,238$83,4452.33%0.10%
20136-1.35%-0.59%$99,871$82,951-1.35%-0.59%
201375.07%4.12%$104,937$86,3715.07%4.12%
20138-2.91%-3.27%$101,881$83,549-2.91%-3.27%
201393.12%2.76%$105,062$85,8543.12%2.76%
2013104.59%4.21%$109,880$89,4704.59%4.21%
2013113.03%1.44%$113,208$90,7623.03%1.44%
2013122.51%2.08%$116,054$92,6512.51%2.08%
20141-3.47%-3.64%$112,028$89,280-3.47%-3.64%
201424.56%3.98%$117,137$92,8334.56%3.98%
201430.82%1.88%$118,102$94,5750.82%1.88%
201440.72%2.04%$118,957$96,5010.72%2.04%
201452.33%1.43%$121,735$97,8772.33%1.43%
201462.05%2.08%$124,233$99,9162.05%2.08%
20147-1.39%-1.85%$122,508$98,069-1.39%-1.85%
201483.98%3.20%$127,386$101,2093.98%3.20%
20149-1.41%-1.00%$125,586$100,196-1.41%-1.00%
2014102.42%1.02%$128,630$101,2192.42%1.02%
2014112.68%2.02%$132,080$103,2642.68%2.02%
201412-0.26%-1.53%$131,731$101,684-0.26%-1.53%
20151-3.02%-1.58%$127,756$100,075-3.02%-1.58%
201525.74%3.64%$135,088$103,7225.74%3.64%
20153-1.59%-2.96%$132,936$100,653-1.59%-2.96%
201540.95%2.90%$134,197$103,5720.95%2.90%
201551.27%0.00%$135,905$103,5721.27%0.00%
20156-1.93%-3.18%$133,278$100,280-1.93%-3.18%
201572.08%0.65%$136,051$100,9342.08%0.65%
20158-6.04%-6.05%$127,831$94,830-6.04%-6.05%
20159-2.49%-1.94%$124,648$92,988-2.49%-1.94%
2015108.42%8.88%$135,147$101,2418.42%8.88%
2015110.29%-0.76%$135,534$100,4710.29%-0.76%
201512-1.59%-1.47%$133,375$98,998-1.59%-1.47%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value47.54%56.10%
Large-cap Growth52.01%21.51%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%8.36%
Emerging Markets0.07%4.24%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%6.01%
Intermediate-Term Treasuries0.39%0.00%
Short-Term Treasuries0.00%3.79%
R Squared99.90%95.33%
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
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend0.14%100.00%$123,375100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
INUTXColumbia Dividend Opportunity ALarge Value0.98%100.00%$88,998100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/05/2018. © 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)0.88%0.76%
Arithmetic Mean (annualized)11.06%9.57%
Geometric Mean (monthly)0.79%0.70%
Geometric Mean (annualized)9.91%8.72%
Volatility (monthly)4.18%3.61%
Volatility (annualized)14.47%12.52%
Downside Deviation (monthly)2.73%2.35%
Max. Drawdown-50.97%-51.37%
US Market Correlation0.990.79
Beta(*)0.970.67
Alpha (annualized)0.32%2.12%
R297.52%62.09%
Sharpe Ratio0.510.48
Sortino Ratio0.750.71
Treynor Ratio (%)7.588.95
Calmar Ratio1.781.00
Information Ratio0.02-0.14
Diversification Ratio1.001.00
Skewness-0.57-0.51
Excess Kurtosis1.211.44
Historical Value-at-Risk (5%)-6.88%-5.30%
Analytical Value-at-Risk (5%)-5.99%-5.18%
Conditional Value-at-Risk (5%)-9.36%-8.18%
Upside Capture Ratio (%)97.2370.78
Downside Capture Ratio (%)95.9665.78
Sustainable Withdrawal Rate9.43%8.27%
Positive Periods210 out of 329 (63.83%)210 out of 329 (63.83%)
Gain/Loss Ratio0.960.97
* 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
Asian CrisisJul 1997Jan 1998-5.61%-4.36%
Russian Debt DefaultJul 1998Oct 1998-15.38%-6.31%
Dotcom CrashMar 2000Oct 2002-44.82%-43.83%
Subprime CrisisNov 2007Mar 2009-50.97%-51.37%

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%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
5Aug 2015Sep 20152 months-8.38%
6Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8Jan 1990Jan 19901 monthMay 19904 months5 months-6.72%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
10Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-51.37%
2Jan 2001Sep 20021 year 9 monthsOct 20064 years 1 month5 years 10 months-43.83%
3May 2011Sep 20115 monthsFeb 20125 months10 months-14.28%
4Mar 2015Sep 20157 months-10.35%
5Nov 1993Nov 19941 year 1 monthJul 19958 months1 year 9 months-9.89%
6Jan 1990Sep 19909 monthsFeb 19915 months1 year 2 months-9.66%
7Apr 1998Aug 19985 monthsOct 19982 months7 months-8.35%
8Oct 2000Nov 20002 monthsDec 20001 month3 months-7.08%
9Apr 2012May 20122 monthsJul 20122 months4 months-5.68%
10Jul 1999Sep 19993 monthsDec 19993 months6 months-5.25%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.91%14.47%37.45%-37.02%-50.97%0.510.750.99
INUTXColumbia Dividend Opportunity A8.72%12.52%29.04%-35.92%-51.37%0.480.710.79

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXINUTXPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor-0.791.000.79
INUTXColumbia Dividend Opportunity A0.79-0.791.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor$123,375
INUTXColumbia Dividend Opportunity A$88,998

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor100.00%
INUTXColumbia Dividend Opportunity A100.00%

Annual Asset Returns