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 (Aug 1988 - 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 »
INUTX Columbia Dividend Opportunity A 100.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$133,375 9.91% 14.47%37.45%-37.02%-50.97% 0.510.750.99
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 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)Columbia Dividend Opportunity A (INUTX)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 1988 are based on partial year data
19881.69%3.71%5.89%3.71%1.99%3.23% [$323]$10,3715.89%4.13%3.46% [$346]$10,589
19894.65%31.36%28.93%31.36%25.53%7.30% [$757]$13,62428.93%23.21%8.36% [$885]$13,653
19906.11%-3.32%-1.80%-3.32%-8.89%3.82% [$521]$13,171-1.80%-7.45%7.24% [$988]$13,407
19913.06%30.22%21.97%30.22%26.35%4.11% [$542]$17,15121.97%18.34%7.41% [$993]$16,352
19922.90%7.42%10.34%7.42%4.40%3.14% [$538]$18,42410.34%7.23%8.34% [$1,363]$18,043
19932.75%9.89%18.77%9.89%6.95%2.86% [$527]$20,24718.77%15.59%11.42% [$2,061]$21,429
19942.67%1.18%-7.06%1.18%-1.46%3.16% [$640]$20,485-7.06%-9.48%7.05% [$1,512]$19,916
19952.54%37.45%23.47%37.45%34.04%3.17% [$649]$28,15623.47%20.41%5.17% [$1,030]$24,590
19963.32%22.88%14.42%22.88%18.93%2.68% [$754]$34,59714.42%10.74%6.57% [$1,616]$28,136
19971.70%33.19%29.04%33.19%30.96%2.78% [$962]$46,08029.04%26.88%16.99% [$4,780]$36,306
19981.61%28.62%22.75%28.62%26.58%1.95% [$901]$59,26722.75%20.80%9.82% [$3,565]$44,563
19992.68%21.07%8.72%21.07%17.90%2.13% [$1,260]$71,7538.72%5.87%9.94% [$4,431]$48,447
20003.39%-9.06%17.02%-9.06%-12.04%0.96% [$692]$65,25517.02%13.18%5.89% [$2,855]$56,692
20011.55%-12.02%-22.98%-12.02%-13.37%1.05% [$686]$57,410-22.98%-24.15%4.32% [$2,451]$43,666
20022.38%-22.15%-21.47%-22.15%-23.95%1.29% [$741]$44,696-21.47%-23.29%2.31% [$1,009]$34,292
20031.88%28.50%16.59%28.50%26.13%1.77% [$792]$57,43516.59%14.44%3.50% [$1,202]$39,980
20043.26%10.74%13.72%10.74%7.25%1.91% [$1,098]$63,60413.72%10.14%3.28% [$1,310]$45,467
20053.42%4.77%7.41%4.77%1.31%1.79% [$1,136]$66,6417.41%3.86%3.18% [$1,446]$48,835
20062.54%15.64%23.25%15.64%12.78%1.87% [$1,249]$77,06523.25%20.19%3.00% [$1,464]$60,188
20074.08%5.39%5.36%5.39%1.25%1.92% [$1,479]$81,2165.36%1.22%2.84% [$1,707]$63,412
20080.09%-37.02%-35.92%-37.02%-37.08%1.87% [$1,517]$51,149-35.92%-35.98%3.17% [$2,008]$40,634
20092.72%26.49%28.71%26.49%23.13%2.56% [$1,308]$64,69628.71%25.30%5.25% [$2,132]$52,299
20101.50%14.91%16.87%14.91%13.22%1.93% [$1,248]$74,34516.87%15.14%3.95% [$2,067]$61,119
20112.96%1.97%6.57%1.97%-0.97%1.95% [$1,452]$75,8076.57%3.51%3.76% [$2,298]$65,136
20121.74%15.82%13.09%15.82%13.84%2.35% [$1,781]$87,80313.09%11.15%4.42% [$2,881]$73,660
20131.50%32.18%25.78%32.18%30.22%2.26% [$1,985]$116,05425.78%23.92%8.43% [$6,212]$92,651
20140.76%13.51%9.75%13.51%12.66%1.95% [$2,266]$131,7319.75%8.92%16.28% [$15,080]$101,684
20150.73%1.25%-2.64%1.25%0.52%1.99% [$2,618]$133,375-2.64%-3.35%5.43% [$5,521]$98,998
Monthly returns for the configured portfolios
YearMonthVanguard 500 Index Investor (VFINX)Columbia Dividend Opportunity A (INUTX)PF #1 ReturnPF #1 Month End BalancePF #2 ReturnPF #2 Month End Balance
19888-3.40%1.33%-3.40%$9,6601.33%$10,133
198894.26%2.20%4.26%$10,0712.20%$10,355
1988102.73%2.46%2.73%$10,3462.46%$10,610
198811-1.47%-0.66%-1.47%$10,194-0.66%$10,540
1988121.74%0.47%1.74%$10,3710.47%$10,589
198917.32%1.78%7.32%$11,1301.78%$10,778
19892-2.47%-2.29%-2.47%$10,856-2.29%$10,531
198932.26%2.44%2.26%$11,1012.44%$10,788
198945.18%3.20%5.18%$11,6763.20%$11,133
198954.04%4.21%4.04%$12,1484.21%$11,601
19896-0.59%3.14%-0.59%$12,0763.14%$11,966
198979.01%5.51%9.01%$13,1645.51%$12,625
198981.86%-1.37%1.86%$13,409-1.37%$12,452
19899-0.40%1.50%-0.40%$13,3541.50%$12,639
198910-2.34%0.69%-2.34%$13,0420.69%$12,726
1989112.04%1.55%2.04%$13,3081.55%$12,924
1989122.38%5.64%2.38%$13,6245.64%$13,653
19901-6.72%-5.27%-6.72%$12,708-5.27%$12,933
199021.27%-0.17%1.27%$12,870-0.17%$12,911
199032.61%0.59%2.61%$13,2060.59%$12,987
19904-2.50%-3.35%-2.50%$12,876-3.35%$12,552
199059.69%3.28%9.69%$14,1243.28%$12,964
19906-0.66%1.73%-0.66%$14,0311.73%$13,189
19907-0.35%0.71%-0.35%$13,9810.71%$13,282
19908-9.03%-6.48%-9.03%$12,718-6.48%$12,421
19909-4.89%-0.70%-4.89%$12,097-0.70%$12,335
199010-0.41%3.45%-0.41%$12,0473.45%$12,761
1990116.44%2.60%6.44%$12,8232.60%$13,092
1990122.72%2.41%2.72%$13,1712.41%$13,407
199114.35%0.18%4.35%$13,7440.18%$13,431
199127.12%3.07%7.12%$14,7223.07%$13,844
199132.41%2.49%2.41%$15,0762.49%$14,188
199140.20%0.35%0.20%$15,1060.35%$14,238
199154.27%0.17%4.27%$15,7510.17%$14,262
19916-4.56%-0.61%-4.56%$15,033-0.61%$14,175
199174.63%2.82%4.63%$15,7292.82%$14,575
199182.33%1.80%2.33%$16,0961.80%$14,838
19919-1.67%3.58%-1.67%$15,8273.58%$15,370
1991101.33%0.66%1.33%$16,0370.66%$15,471
199111-4.01%-0.49%-4.01%$15,394-0.49%$15,395
19911211.41%6.22%11.41%$17,1516.22%$16,352
19921-1.88%-1.90%-1.88%$16,828-1.90%$16,040
199221.24%-0.97%1.24%$17,038-0.97%$15,885
19923-1.93%-0.06%-1.93%$16,710-0.06%$15,876
199242.91%3.64%2.91%$17,1973.64%$16,454
199250.48%1.44%0.48%$17,2801.44%$16,691
19926-1.49%1.13%-1.49%$17,0221.13%$16,880
199274.04%2.83%4.04%$17,7112.83%$17,358
19928-2.07%-0.61%-2.07%$17,344-0.61%$17,252
199291.17%1.05%1.17%$17,5471.05%$17,433
1992100.33%-0.31%0.33%$17,605-0.31%$17,379
1992113.40%0.16%3.40%$18,2040.16%$17,406
1992121.21%3.66%1.21%$18,4243.66%$18,043
199310.81%2.02%0.81%$18,5732.02%$18,408
199321.36%4.27%1.36%$18,8254.27%$19,195
199332.11%2.90%2.11%$19,2212.90%$19,752
19934-2.42%-0.86%-2.42%$18,755-0.86%$19,582
199352.65%0.43%2.65%$19,2530.43%$19,667
199360.27%2.90%0.27%$19,3052.90%$20,237
19937-0.42%1.56%-0.42%$19,2231.56%$20,553
199383.79%2.86%3.79%$19,9502.86%$21,142
19939-0.79%2.04%-0.79%$19,7922.04%$21,573
1993102.08%0.54%2.08%$20,2030.54%$21,689
199311-1.00%-4.55%-1.00%$20,002-4.55%$20,703
1993121.22%3.51%1.22%$20,2473.51%$21,429
199413.38%1.16%3.38%$20,9311.16%$21,678
19942-2.71%-4.30%-2.71%$20,363-4.30%$20,746
19943-4.39%-3.34%-4.39%$19,469-3.34%$20,054
199441.29%1.57%1.29%$19,7201.57%$20,368
199451.60%-1.54%1.60%$20,036-1.54%$20,054
19946-2.45%-1.19%-2.45%$19,546-1.19%$19,815
199473.28%2.57%3.28%$20,1872.57%$20,324
199484.08%1.10%4.08%$21,0091.10%$20,547
19949-2.45%-1.60%-2.45%$20,495-1.60%$20,219
1994102.25%0.79%2.25%$20,9560.79%$20,380
199411-3.65%-4.10%-3.65%$20,190-4.10%$19,544
1994121.46%1.90%1.46%$20,4851.90%$19,916
199512.58%0.84%2.58%$21,0140.84%$20,084
199523.88%0.67%3.88%$21,8290.67%$20,218
199532.95%0.72%2.95%$22,4740.72%$20,363
199542.94%1.17%2.94%$23,1351.17%$20,600
199553.95%2.97%3.95%$24,0502.97%$21,211
199562.31%1.33%2.31%$24,6061.33%$21,493
199573.30%1.60%3.30%$25,4191.60%$21,836
199580.26%1.10%0.26%$25,4861.10%$22,076
199594.21%4.22%4.21%$26,5604.22%$23,008
199510-0.36%-0.15%-0.36%$26,463-0.15%$22,973
1995114.38%1.97%4.38%$27,6221.97%$23,425
1995121.93%4.97%1.93%$28,1564.97%$24,590
199613.39%1.43%3.39%$29,1091.43%$24,941
199620.92%-1.55%0.92%$29,378-1.55%$24,555
199630.98%1.34%0.98%$29,6651.34%$24,883
199641.46%-0.14%1.46%$30,097-0.14%$24,848
199652.54%0.57%2.54%$30,8630.57%$24,990
199660.38%3.37%0.38%$30,9813.37%$25,832
19967-4.42%-4.70%-4.42%$29,611-4.70%$24,617
199682.10%1.74%2.10%$30,2321.74%$25,046
199695.61%2.56%5.61%$31,9272.56%$25,686
1996102.76%3.50%2.76%$32,8073.50%$26,586
1996117.56%4.33%7.56%$35,2884.33%$27,737
199612-1.96%1.44%-1.96%$34,5971.44%$28,136
199716.22%1.72%6.22%$36,7481.72%$28,621
199720.79%-0.39%0.79%$37,038-0.39%$28,509
19973-4.14%-2.12%-4.14%$35,506-2.12%$27,906
199745.96%0.94%5.96%$37,6210.94%$28,169
199756.09%4.81%6.09%$39,9114.81%$29,525
199764.45%3.35%4.45%$41,6893.35%$30,515
199777.97%2.74%7.97%$45,0092.74%$31,350
19978-5.61%-4.36%-5.61%$42,485-4.36%$29,983
199795.47%6.47%5.47%$44,8086.47%$31,924
199710-3.35%-0.72%-3.35%$43,307-0.72%$31,694
1997114.60%7.90%4.60%$45,2997.90%$34,198
1997121.72%6.16%1.72%$46,0806.16%$36,306
199811.11%-0.83%1.11%$46,592-0.83%$36,004
199827.19%2.16%7.19%$49,9432.16%$36,780
199835.10%8.95%5.10%$52,4928.95%$40,071
199841.01%-3.14%1.01%$53,021-3.14%$38,814
19985-1.74%-1.23%-1.74%$52,096-1.23%$38,337
199864.07%2.25%4.07%$54,2172.25%$39,201
19987-1.05%-1.45%-1.05%$53,646-1.45%$38,634
19988-14.47%-4.94%-14.47%$45,881-4.94%$36,726
199896.41%7.64%6.41%$48,8237.64%$39,531
1998108.16%1.56%8.16%$52,8091.56%$40,146
1998116.07%2.74%6.07%$56,0152.74%$41,244
1998125.81%8.05%5.81%$59,2678.05%$44,563
199914.20%-0.32%4.20%$61,758-0.32%$44,422
19992-3.12%-4.13%-3.12%$59,829-4.13%$42,589
199934.00%0.98%4.00%$62,2200.98%$43,006
199943.85%4.95%3.85%$64,6164.95%$45,133
19995-2.39%3.04%-2.39%$63,0733.04%$46,503
199965.56%1.24%5.56%$66,5771.24%$47,081
19997-3.13%-1.21%-3.13%$64,493-1.21%$46,511
19998-0.50%-3.47%-0.50%$64,173-3.47%$44,896
19999-2.74%-0.64%-2.74%$62,415-0.64%$44,608
1999106.33%4.49%6.33%$66,3644.49%$46,609
1999112.02%-0.51%2.02%$67,706-0.51%$46,371
1999125.98%4.48%5.98%$71,7534.48%$48,447
20001-5.03%0.21%-5.03%$68,1430.21%$48,551
20002-1.91%-0.75%-1.91%$66,844-0.75%$48,188
200039.76%4.01%9.76%$73,3684.01%$50,121
20004-3.01%-3.43%-3.01%$71,163-3.43%$48,403
20005-2.04%-0.75%-2.04%$69,712-0.75%$48,039
200062.49%-0.32%2.49%$71,446-0.32%$47,885
20007-1.49%0.11%-1.49%$70,3810.11%$47,937
200086.19%9.16%6.19%$74,7379.16%$52,328
20009-5.29%7.61%-5.29%$70,7847.61%$56,309
200010-0.43%-3.73%-0.43%$70,480-3.73%$54,210
200011-7.88%-3.48%-7.88%$64,927-3.48%$52,321
2000120.50%8.36%0.50%$65,2558.36%$56,692
200113.55%-6.95%3.55%$67,569-6.95%$52,752
20012-9.14%-0.52%-9.14%$61,394-0.52%$52,479
20013-6.36%1.22%-6.36%$57,4921.22%$53,120
200147.77%6.40%7.77%$61,9596.40%$56,522
200150.65%-2.82%0.65%$62,362-2.82%$54,931
20016-2.45%-7.45%-2.45%$60,837-7.45%$50,839
20017-1.00%-4.33%-1.00%$60,229-4.33%$48,635
20018-6.27%-2.94%-6.27%$56,450-2.94%$47,203
20019-8.09%-3.87%-8.09%$51,883-3.87%$45,375
2001101.90%-3.30%1.90%$52,866-3.30%$43,879
2001117.65%-1.77%7.65%$56,912-1.77%$43,104
2001120.87%1.30%0.87%$57,4101.30%$43,666
20021-1.47%-5.17%-1.47%$56,564-5.17%$41,407
20022-1.94%-1.68%-1.94%$55,469-1.68%$40,712
200233.74%5.88%3.74%$57,5455.88%$43,106
20024-6.07%-3.78%-6.07%$54,049-3.78%$41,475
20025-0.75%-3.23%-0.75%$53,642-3.23%$40,135
20026-7.13%-3.68%-7.13%$49,815-3.68%$38,658
20027-7.72%-10.47%-7.72%$45,969-10.47%$34,610
200280.65%2.20%0.65%$46,2692.20%$35,373
20029-10.87%-9.97%-10.87%$41,238-9.97%$31,845
2002108.78%4.83%8.78%$44,8594.83%$33,384
2002115.88%1.77%5.88%$47,4951.77%$33,976
200212-5.89%0.93%-5.89%$44,6960.93%$34,292
20031-2.62%-2.78%-2.62%$43,523-2.78%$33,339
20032-1.52%-3.39%-1.52%$42,862-3.39%$32,208
200330.96%2.41%0.96%$43,2722.41%$32,983
200348.25%5.10%8.25%$46,8445.10%$34,665
200355.26%6.93%5.26%$49,3096.93%$37,069
200361.26%1.78%1.26%$49,9311.78%$37,729
200371.74%-4.33%1.74%$50,801-4.33%$36,094
200381.93%1.01%1.93%$51,7831.01%$36,458
20039-1.07%1.63%-1.07%$51,2281.63%$37,052
2003105.64%1.32%5.64%$54,1181.32%$37,540
2003110.86%1.30%0.86%$54,5861.30%$38,029
2003125.22%5.13%5.22%$57,4355.13%$39,980
200411.82%1.08%1.82%$58,4821.08%$40,411
200421.38%0.30%1.38%$59,2870.30%$40,534
20043-1.51%-1.74%-1.51%$58,390-1.74%$39,827
20044-1.58%-2.02%-1.58%$57,469-2.02%$39,021
200451.36%0.48%1.36%$58,2490.48%$39,207
200461.93%1.88%1.93%$59,3731.88%$39,943
20047-3.31%-0.31%-3.31%$57,408-0.31%$39,818
200480.38%2.20%0.38%$57,6272.20%$40,693
200491.07%1.60%1.07%$58,2421.60%$41,346
2004101.51%1.68%1.51%$59,1241.68%$42,040
2004114.05%5.25%4.05%$61,5175.25%$44,246
2004123.39%2.76%3.39%$63,6042.76%$45,467
20051-2.45%-0.98%-2.45%$62,043-0.98%$45,022
200522.09%4.09%2.09%$63,3424.09%$46,864
20053-1.76%-2.11%-1.76%$62,227-2.11%$45,877
20054-1.91%-0.42%-1.91%$61,037-0.42%$45,685
200553.17%1.40%3.17%$62,9711.40%$46,325
200560.13%1.57%0.13%$63,0511.57%$47,051
200573.71%2.19%3.71%$65,3882.19%$48,082
20058-0.91%0.00%-0.91%$64,7910.00%$48,082
200590.79%1.06%0.79%$65,3051.06%$48,592
200510-1.68%-2.27%-1.68%$64,209-2.27%$47,488
2005113.76%2.19%3.76%$66,6262.19%$48,527
2005120.02%0.64%0.02%$66,6410.64%$48,835
200612.65%3.49%2.65%$68,4043.49%$50,537
200620.26%0.52%0.26%$68,5830.52%$50,799
200631.23%0.69%1.23%$69,4280.69%$51,150
200641.33%3.09%1.33%$70,3533.09%$52,732
20065-2.90%-2.50%-2.90%$68,315-2.50%$51,413
200660.13%0.98%0.13%$68,4030.98%$51,916
200670.61%3.45%0.61%$68,8183.45%$53,706
200682.36%1.85%2.36%$70,4431.85%$54,701
200692.56%1.46%2.56%$72,2491.46%$55,498
2006103.25%3.49%3.25%$74,5983.49%$57,435
2006111.89%2.21%1.89%$76,0072.21%$58,704
2006121.39%2.53%1.39%$77,0652.53%$60,188
200711.49%1.34%1.49%$78,2151.34%$60,995
20072-1.97%-0.99%-1.97%$76,675-0.99%$60,390
200731.11%2.69%1.11%$77,5272.69%$62,017
200744.42%3.60%4.42%$80,9533.60%$64,251
200753.48%3.48%3.48%$83,7673.48%$66,486
20076-1.68%-1.09%-1.68%$82,363-1.09%$65,758
20077-3.08%-3.94%-3.08%$79,822-3.94%$63,168
200781.50%1.73%1.50%$81,0181.73%$64,259
200793.72%2.81%3.72%$84,0352.81%$66,062
2007101.58%2.08%1.58%$85,3622.08%$67,434
200711-4.19%-4.17%-4.19%$81,788-4.17%$64,621
200712-0.70%-1.87%-0.70%$81,216-1.87%$63,412
20081-6.02%-5.34%-6.02%$76,330-5.34%$60,027
20082-3.25%-3.45%-3.25%$73,848-3.45%$57,955
20083-0.44%-1.83%-0.44%$73,523-1.83%$56,897
200844.85%3.79%4.85%$77,0923.79%$59,056
200851.29%1.18%1.29%$78,0881.18%$59,752
20086-8.44%-9.17%-8.44%$71,499-9.17%$54,275
20087-0.83%-0.52%-0.83%$70,905-0.52%$53,993
200881.45%0.78%1.45%$71,9300.78%$54,415
20089-8.91%-6.97%-8.91%$65,524-6.97%$50,621
200810-16.79%-14.73%-16.79%$54,521-14.73%$43,166
200811-7.17%-7.57%-7.17%$50,609-7.57%$39,900
2008121.07%1.84%1.07%$51,1491.84%$40,634
20091-8.41%-10.27%-8.41%$46,846-10.27%$36,463
20092-10.66%-10.06%-10.66%$41,854-10.06%$32,795
200938.76%8.36%8.76%$45,5208.36%$35,536
200949.56%8.42%9.56%$49,8718.42%$38,528
200955.62%6.44%5.62%$52,6736.44%$41,009
200960.22%0.61%0.22%$52,7890.61%$41,260
200977.58%9.14%7.58%$56,7899.14%$45,032
200983.60%3.94%3.60%$58,8333.94%$46,806
200993.72%3.69%3.72%$61,0203.69%$48,533
200910-1.87%-1.54%-1.87%$59,880-1.54%$47,785
2009115.98%6.26%5.98%$63,4626.26%$50,776
2009121.95%3.00%1.95%$64,6963.00%$52,299
20101-3.60%-3.90%-3.60%$62,365-3.90%$50,258
201023.09%1.95%3.09%$64,2931.95%$51,241
201036.01%6.05%6.01%$68,1596.05%$54,340
201041.58%0.42%1.58%$69,2350.42%$54,569
20105-8.01%-7.82%-8.01%$63,693-7.82%$50,301
20106-5.24%-3.54%-5.24%$60,355-3.54%$48,521
201077.00%8.08%7.00%$64,5788.08%$52,443
20108-4.53%-1.91%-4.53%$61,653-1.91%$51,443
201098.92%8.61%8.92%$67,1518.61%$55,871
2010103.79%3.62%3.79%$69,6953.62%$57,891
2010110.00%-0.81%0.00%$69,695-0.81%$57,425
2010126.67%6.43%6.67%$74,3456.43%$61,119
201112.36%0.90%2.36%$76,0970.90%$61,668
201123.42%3.82%3.42%$78,6973.82%$64,022
201130.03%2.48%0.03%$78,7172.48%$65,607
201142.95%3.50%2.95%$81,0383.50%$67,902
20115-1.15%-0.23%-1.15%$80,109-0.23%$67,744
20116-1.67%-2.06%-1.67%$78,770-2.06%$66,345
20117-2.05%-3.37%-2.05%$77,158-3.37%$64,110
20118-5.45%-3.24%-5.45%$72,955-3.24%$62,034
20119-7.04%-6.17%-7.04%$67,817-6.17%$58,205
20111010.91%9.70%10.91%$75,2199.70%$63,848
201111-0.23%0.25%-0.23%$75,0430.25%$64,009
2011121.02%1.76%1.02%$75,8071.76%$65,136
201214.46%2.50%4.46%$79,1912.50%$66,764
201224.31%4.27%4.31%$82,6024.27%$69,614
201233.28%1.63%3.28%$85,3121.63%$70,747
20124-0.64%-0.23%-0.64%$84,767-0.23%$70,583
20125-6.02%-5.46%-6.02%$79,665-5.46%$66,730
201264.11%4.22%4.11%$82,9394.22%$69,546
201271.37%2.26%1.37%$84,0752.26%$71,117
201282.24%0.70%2.24%$85,9580.70%$71,614
201292.58%2.20%2.58%$88,1732.20%$73,191
201210-1.86%-0.91%-1.86%$86,533-0.91%$72,524
2012110.56%0.11%0.56%$87,0180.11%$72,608
2012120.90%1.45%0.90%$87,8031.45%$73,660
201315.18%5.52%5.18%$92,3485.52%$77,729
201321.34%0.98%1.34%$93,5840.98%$78,492
201333.74%3.93%3.74%$97,0833.93%$81,577
201341.91%2.19%1.91%$98,9362.19%$83,360
201352.33%0.10%2.33%$101,2380.10%$83,445
20136-1.35%-0.59%-1.35%$99,871-0.59%$82,951
201375.07%4.12%5.07%$104,9374.12%$86,371
20138-2.91%-3.27%-2.91%$101,881-3.27%$83,549
201393.12%2.76%3.12%$105,0622.76%$85,854
2013104.59%4.21%4.59%$109,8804.21%$89,470
2013113.03%1.44%3.03%$113,2081.44%$90,762
2013122.51%2.08%2.51%$116,0542.08%$92,651
20141-3.47%-3.64%-3.47%$112,028-3.64%$89,280
201424.56%3.98%4.56%$117,1373.98%$92,833
201430.82%1.88%0.82%$118,1021.88%$94,575
201440.72%2.04%0.72%$118,9572.04%$96,501
201452.33%1.43%2.33%$121,7351.43%$97,877
201462.05%2.08%2.05%$124,2332.08%$99,916
20147-1.39%-1.85%-1.39%$122,508-1.85%$98,069
201483.98%3.20%3.98%$127,3863.20%$101,209
20149-1.41%-1.00%-1.41%$125,586-1.00%$100,196
2014102.42%1.02%2.42%$128,6301.02%$101,219
2014112.68%2.02%2.68%$132,0802.02%$103,264
201412-0.26%-1.53%-0.26%$131,731-1.53%$101,684
20151-3.02%-1.58%-3.02%$127,756-1.58%$100,075
201525.74%3.64%5.74%$135,0883.64%$103,722
20153-1.59%-2.96%-1.59%$132,936-2.96%$100,653
201540.95%2.90%0.95%$134,1972.90%$103,572
201551.27%0.00%1.27%$135,9050.00%$103,572
20156-1.93%-3.18%-1.93%$133,278-3.18%$100,280
201572.08%0.65%2.08%$136,0510.65%$100,934
20158-6.04%-6.05%-6.04%$127,831-6.05%$94,830
20159-2.49%-1.94%-2.49%$124,648-1.94%$92,988
2015108.42%8.88%8.42%$135,1478.88%$101,241
2015110.29%-0.76%0.29%$135,534-0.76%$100,471
201512-1.59%-1.47%-1.59%$133,375-1.47%$98,998

Exposures for Portfolio 1

Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VFINXVanguard 500 Index InvestorLarge Blend100.00%$123,375100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Exposures for Portfolio 2

Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
INUTXColumbia Dividend Opportunity ALarge Value100.00%$88,998100.00%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)0.88%0.76%
Mean Return (annualized)11.06%9.57%
Compound Return (monthly)0.79%0.70%
Compound Return (annualized)9.91%8.72%
Volatility (monthly)4.17%3.61%
Volatility (annualized)14.47%12.52%
Downside Deviation (monthly)2.73%2.35%
Max. Drawdown-50.97%-51.37%
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
Diversification Ratio1.001.00
Skewness-0.57-0.51
Excess Kurtosis1.211.44
Historical Value-at-Risk (95%)-6.88%-5.30%
Delta Normal Value-at-Risk (95%)-6.86%-5.94%
Conditional Value-at-Risk (95%)-9.36%-8.18%
Positive Periods210 out of 329 (63.83%)210 out of 329 (63.83%)
Gain/Loss Ratio0.960.97

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 Crisis / LTCM 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
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%
3Jul 1998Aug 19982 monthsNov 19985 months-15.38%
4Jun 1990Oct 19905 monthsFeb 19919 months-14.70%
5Aug 2015Sep 20152 months-8.38%
6Feb 1994Mar 19942 monthsAug 19947 months-6.98%
7Jan 2000Feb 20002 monthsMar 20003 months-6.84%
8Jan 1990Jan 19901 monthMay 19905 months-6.72%
9Jul 1999Sep 19993 monthsNov 19995 months-6.25%
10Aug 1997Aug 19971 monthNov 19974 months-5.61%
11Apr 2000May 20002 monthsAug 20005 months-4.98%
12Jun 2007Jul 20072 monthsSep 20074 months-4.71%
13Jun 1991Jun 19911 monthAug 19913 months-4.56%
14Jul 1996Jul 19961 monthSep 19963 months-4.42%
15Sep 1991Nov 19913 monthsDec 19914 months-4.36%
16Mar 1997Mar 19971 monthApr 19972 months-4.14%
17Sep 1994Nov 19943 monthsJan 19955 months-3.90%
18Jan 2014Jan 20141 monthFeb 20142 months-3.47%
19Aug 1988Aug 19881 monthSep 19882 months-3.40%
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%
25Feb 1989Feb 19891 monthApr 19893 months-2.47%
26Apr 1993Apr 19931 monthMay 19932 months-2.42%
27May 1999May 19991 monthJun 19992 months-2.39%
28Aug 1992Aug 19921 monthNov 19924 months-2.07%
29Feb 2007Feb 20071 monthApr 20073 months-1.97%
30Dec 1996Dec 19961 monthJan 19972 months-1.96%
31Jun 2015Jun 20151 monthJul 20152 months-1.93%
32Oct 2012Oct 20121 monthJan 20134 months-1.86%
33May 1998May 19981 monthJun 19982 months-1.74%
34Mar 2015Mar 20151 monthMay 20153 months-1.59%
35Jun 1992Jun 19921 monthJul 19922 months-1.49%
36Nov 1988Nov 19881 monthDec 19882 months-1.47%
37Sep 2014Sep 20141 monthOct 20142 months-1.41%
38Jul 2014Jul 20141 monthAug 20142 months-1.39%
39Jun 2013Jun 20131 monthJul 20132 months-1.35%
40Nov 1993Nov 19931 monthDec 19932 months-1.00%
41Sep 1993Sep 19931 monthOct 19932 months-0.79%
42Jun 1989Jun 19891 monthJul 19892 months-0.59%
43Jul 1993Jul 19931 monthAug 19932 months-0.42%
44Oct 1995Oct 19951 monthNov 19952 months-0.36%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20113 years 6 months-51.37%
2Jan 2001Sep 20021 year 9 monthsOct 20065 years 10 months-43.83%
3May 2011Sep 20115 monthsFeb 201210 months-14.28%
4Mar 2015Sep 20157 months-10.35%
5Nov 1993Nov 19941 year 1 monthJul 19951 year 9 months-9.89%
6Jan 1990Sep 19909 monthsFeb 19911 year 2 months-9.66%
7Apr 1998Aug 19985 monthsOct 19987 months-8.35%
8Oct 2000Nov 20002 monthsDec 20003 months-7.08%
9Apr 2012May 20122 monthsJul 20124 months-5.68%
10Jul 1999Sep 19993 monthsDec 19996 months-5.25%
11Jun 2007Jul 20072 monthsOct 20075 months-4.99%
12Jul 1996Jul 19961 monthOct 19964 months-4.70%
13Apr 2000Jun 20003 monthsAug 20005 months-4.46%
14Jan 1999Feb 19992 monthsApr 19994 months-4.43%
15Aug 1997Aug 19971 monthSep 19972 months-4.36%
16Jan 2014Jan 20141 monthFeb 20142 months-3.64%
17Aug 2013Aug 20131 monthOct 20133 months-3.27%
18Dec 2014Jan 20152 monthsFeb 20153 months-3.09%
19Jan 1992Mar 19923 monthsApr 19924 months-2.91%
20Feb 1997Mar 19972 monthsMay 19974 months-2.50%
21Feb 1989Feb 19891 monthMar 19892 months-2.29%
22Jul 2014Jul 20141 monthAug 20142 months-1.85%
23Feb 1996Feb 19961 monthMay 19964 months-1.55%
24Aug 1989Aug 19891 monthSep 19892 months-1.37%
25Sep 2014Sep 20141 monthOct 20142 months-1.00%
26Feb 2007Feb 20071 monthMar 20072 months-0.99%
27Oct 2012Oct 20121 monthDec 20123 months-0.91%
28Apr 1993Apr 19931 monthJun 19933 months-0.86%
29Jan 1998Jan 19981 monthFeb 19982 months-0.83%
30Feb 2000Feb 20001 monthMar 20002 months-0.75%
31Oct 1997Oct 19971 monthNov 19972 months-0.72%
32Nov 1988Nov 19881 monthJan 19893 months-0.66%
33Aug 1992Aug 19921 monthSep 19922 months-0.61%
34Jun 1991Jun 19911 monthJul 19912 months-0.61%
35Jun 2013Jun 20131 monthJul 20132 months-0.59%
36Nov 1991Nov 19911 monthDec 19912 months-0.49%
37Oct 1992Oct 19921 monthDec 19923 months-0.31%
38Oct 1995Oct 19951 monthNov 19952 months-0.15%

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
TickerNameVFINXINUTXPF #1PF #2
VFINXVanguard 500 Index Investor-0.791.000.79
INUTXColumbia Dividend Opportunity A0.79-0.791.00

Portfolio Return Decomposition

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

Portfolio Risk Decomposition

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

Annual Asset Returns