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 (Jan 1993 - 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 »
PRDGX T. Rowe Price Dividend Growth 100.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$72,391 8.99% 14.60%37.45%-37.02%-50.97% 0.490.710.99
2$10,000$78,120 9.35% 12.57%31.75%-33.26%-45.26% 0.570.830.92
   
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
  • 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)T. Rowe Price Dividend Growth (PRDGX)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
19932.75%9.89%19.41%9.89%6.95%2.86% [$286]$10,98919.41%16.21%4.46% [$446]$11,941
19942.67%1.18%2.16%1.18%-1.46%3.16% [$347]$11,1182.16%-0.50%6.03% [$720]$12,199
19952.54%37.45%31.75%37.45%34.04%3.17% [$352]$15,28231.75%28.49%6.35% [$775]$16,072
19963.32%22.88%25.36%22.88%18.93%2.68% [$409]$18,77825.36%21.33%6.42% [$1,032]$20,147
19971.70%33.19%30.77%33.19%30.96%2.78% [$522]$25,01030.77%28.58%7.41% [$1,492]$26,346
19981.61%28.62%15.04%28.62%26.58%1.95% [$489]$32,16815.04%13.21%5.50% [$1,449]$30,308
19992.68%21.07%-2.82%21.07%17.90%2.13% [$684]$38,945-2.82%-5.36%5.40% [$1,636]$29,454
20003.39%-9.06%10.06%-9.06%-12.04%0.96% [$375]$35,41810.06%6.45%1.69% [$499]$32,416
20011.55%-12.02%-3.64%-12.02%-13.37%1.05% [$372]$31,160-3.64%-5.11%1.29% [$417]$31,236
20022.38%-22.15%-18.47%-22.15%-23.95%1.29% [$402]$24,259-18.47%-20.36%0.97% [$302]$25,467
20031.88%28.50%25.17%28.50%26.13%1.77% [$430]$31,17425.17%22.86%1.38% [$351]$31,877
20043.26%10.74%11.90%10.74%7.25%1.91% [$596]$34,52211.90%8.37%1.21% [$386]$35,669
20053.42%4.77%3.35%4.77%1.31%1.79% [$616]$36,1703.35%-0.06%4.00% [$1,425]$36,864
20062.54%15.64%16.45%15.64%12.78%1.87% [$678]$41,82716.45%13.56%4.99% [$1,838]$42,928
20074.08%5.39%7.07%5.39%1.25%1.92% [$803]$44,0817.07%2.87%6.50% [$2,791]$45,962
20080.09%-37.02%-33.26%-37.02%-37.08%1.87% [$824]$27,762-33.26%-33.32%2.57% [$1,182]$30,676
20092.72%26.49%26.15%26.49%23.13%2.56% [$710]$35,11426.15%22.81%1.83% [$561]$38,698
20101.50%14.91%13.26%14.91%13.22%1.93% [$677]$40,35113.26%11.59%1.42% [$551]$43,830
20112.96%1.97%3.53%1.97%-0.97%1.95% [$788]$41,1453.53%0.55%1.49% [$655]$45,378
20121.74%15.82%14.85%15.82%13.84%2.35% [$966]$47,65614.85%12.88%1.94% [$881]$52,116
20131.50%32.18%30.35%32.18%30.22%2.26% [$1,077]$62,98930.35%28.43%2.41% [$1,255]$67,936
20140.76%13.51%12.34%13.51%12.66%1.95% [$1,230]$71,49812.34%11.49%4.88% [$3,318]$76,317
20150.73%1.25%2.36%1.25%0.52%1.99% [$1,421]$72,3912.36%1.62%7.28% [$5,555]$78,120
Monthly returns for the configured portfolios
YearMonthVanguard 500 Index Investor (VFINX)T. Rowe Price Dividend Growth (PRDGX)PF #1 ReturnPF #1 Month End BalancePF #2 ReturnPF #2 Month End Balance
199310.81%3.00%0.81%$10,0813.00%$10,300
199321.36%2.43%1.36%$10,2172.43%$10,550
199332.11%3.23%2.11%$10,4333.23%$10,890
19934-2.42%-0.83%-2.42%$10,180-0.83%$10,800
199352.65%1.31%2.65%$10,4501.31%$10,941
199360.27%0.55%0.27%$10,4780.55%$11,001
19937-0.42%0.00%-0.42%$10,4330.00%$11,001
199383.79%3.13%3.79%$10,8283.13%$11,346
19939-0.79%0.18%-0.79%$10,7420.18%$11,366
1993102.08%1.89%2.08%$10,9651.89%$11,581
199311-1.00%-0.53%-1.00%$10,856-0.53%$11,519
1993121.22%3.66%1.22%$10,9893.66%$11,941
199413.38%2.26%3.38%$11,3602.26%$12,211
19942-2.71%-2.13%-2.71%$11,052-2.13%$11,951
19943-4.39%-3.06%-4.39%$10,567-3.06%$11,586
199441.29%1.54%1.29%$10,7031.54%$11,764
199451.60%0.71%1.60%$10,8750.71%$11,848
19946-2.45%-1.42%-2.45%$10,609-1.42%$11,680
199473.28%2.35%3.28%$10,9562.35%$11,955
199484.08%3.00%4.08%$11,4033.00%$12,314
19949-2.45%-1.46%-2.45%$11,124-1.46%$12,134
1994102.25%1.32%2.25%$11,3741.32%$12,294
199411-3.65%-2.68%-3.65%$10,958-2.68%$11,964
1994121.46%1.96%1.46%$11,1181.96%$12,199
199512.58%1.72%2.58%$11,4061.72%$12,409
199523.88%3.47%3.88%$11,8483.47%$12,840
199532.95%2.75%2.95%$12,1982.75%$13,193
199542.94%0.76%2.94%$12,5570.76%$13,293
199553.95%2.94%3.95%$13,0532.94%$13,684
199562.31%1.96%2.31%$13,3551.96%$13,952
199573.30%2.17%3.30%$13,7962.17%$14,255
199580.26%1.26%0.26%$13,8331.26%$14,434
199594.21%3.19%4.21%$14,4153.19%$14,895
199510-0.36%0.45%-0.36%$14,3630.45%$14,963
1995114.38%3.55%4.38%$14,9923.55%$15,493
1995121.93%3.73%1.93%$15,2823.73%$16,072
199613.39%2.10%3.39%$15,7992.10%$16,409
199620.92%1.56%0.92%$15,9451.56%$16,665
199630.98%0.77%0.98%$16,1010.77%$16,793
199641.46%0.99%1.46%$16,3350.99%$16,959
199652.54%1.89%2.54%$16,7511.89%$17,279
199660.38%0.76%0.38%$16,8150.76%$17,410
19967-4.42%-2.26%-4.42%$16,072-2.26%$17,017
199682.10%2.73%2.10%$16,4092.73%$17,482
199695.61%4.84%5.61%$17,3294.84%$18,328
1996102.76%2.42%2.76%$17,8062.42%$18,772
1996117.56%6.45%7.56%$19,1536.45%$19,982
199612-1.96%0.83%-1.96%$18,7780.83%$20,147
199716.22%3.36%6.22%$19,9453.36%$20,824
199720.79%2.19%0.79%$20,1032.19%$21,280
19973-4.14%-2.70%-4.14%$19,271-2.70%$20,705
199745.96%2.47%5.96%$20,4192.47%$21,217
199756.09%5.24%6.09%$21,6625.24%$22,328
199764.45%3.97%4.45%$22,6273.97%$23,216
199777.97%5.41%7.97%$24,4295.41%$24,470
19978-5.61%-3.54%-5.61%$23,059-3.54%$23,605
199795.47%6.01%5.47%$24,3206.01%$25,024
199710-3.35%-1.21%-3.35%$23,505-1.21%$24,721
1997114.60%3.42%4.60%$24,5863.42%$25,566
1997121.72%3.05%1.72%$25,0103.05%$26,346
199811.11%0.55%1.11%$25,2880.55%$26,490
199827.19%4.94%7.19%$27,1074.94%$27,799
199835.10%4.43%5.10%$28,4904.43%$29,031
199841.01%-0.32%1.01%$28,777-0.32%$28,938
19985-1.74%-1.65%-1.74%$28,276-1.65%$28,462
199864.07%1.40%4.07%$29,4271.40%$28,860
19987-1.05%-2.07%-1.05%$29,117-2.07%$28,261
19988-14.47%-9.98%-14.47%$24,902-9.98%$25,440
199896.41%5.38%6.41%$26,4995.38%$26,809
1998108.16%5.19%8.16%$28,6625.19%$28,201
1998116.07%3.94%6.07%$30,4033.94%$29,311
1998125.81%3.40%5.81%$32,1683.40%$30,308
199914.20%-2.50%4.20%$33,520-2.50%$29,551
19992-3.12%-1.58%-3.12%$32,472-1.58%$29,083
199934.00%1.17%4.00%$33,7701.17%$29,424
199943.85%6.09%3.85%$35,0716.09%$31,216
19995-2.39%-1.29%-2.39%$34,233-1.29%$30,813
199965.56%3.21%5.56%$36,1353.21%$31,803
19997-3.13%-2.37%-3.13%$35,004-2.37%$31,048
19998-0.50%-2.61%-0.50%$34,830-2.61%$30,238
19999-2.74%-3.60%-2.74%$33,876-3.60%$29,151
1999106.33%2.94%6.33%$36,0192.94%$30,008
1999112.02%-0.89%2.02%$36,748-0.89%$29,741
1999125.98%-0.97%5.98%$38,945-0.97%$29,454
20001-5.03%-3.02%-5.03%$36,985-3.02%$28,565
20002-1.91%-7.04%-1.91%$36,280-7.04%$26,554
200039.76%10.16%9.76%$39,82110.16%$29,252
20004-3.01%0.80%-3.01%$38,6240.80%$29,486
20005-2.04%1.84%-2.04%$37,8371.84%$30,028
200062.49%0.49%2.49%$38,7780.49%$30,174
20007-1.49%-0.44%-1.49%$38,200-0.44%$30,041
200086.19%3.13%6.19%$40,5643.13%$30,982
20009-5.29%0.62%-5.29%$38,4190.62%$31,174
200010-0.43%2.08%-0.43%$38,2532.08%$31,824
200011-7.88%-2.64%-7.88%$35,240-2.64%$30,982
2000120.50%4.63%0.50%$35,4184.63%$32,416
200113.55%0.50%3.55%$36,6730.50%$32,578
20012-9.14%-3.77%-9.14%$33,322-3.77%$31,349
20013-6.36%-3.40%-6.36%$31,204-3.40%$30,283
200147.77%5.15%7.77%$33,6295.15%$31,844
200150.65%1.59%0.65%$33,8481.59%$32,350
20016-2.45%-2.53%-2.45%$33,020-2.53%$31,533
20017-1.00%-0.61%-1.00%$32,690-0.61%$31,339
20018-6.27%-3.14%-6.27%$30,639-3.14%$30,354
20019-8.09%-6.08%-8.09%$28,160-6.08%$28,509
2001101.90%1.47%1.90%$28,6931.47%$28,928
2001117.65%5.80%7.65%$30,8905.80%$30,605
2001120.87%2.06%0.87%$31,1602.06%$31,236
20021-1.47%-0.82%-1.47%$30,700-0.82%$30,981
20022-1.94%-0.68%-1.94%$30,106-0.68%$30,770
200233.74%3.96%3.74%$31,2333.96%$31,988
20024-6.07%-4.37%-6.07%$29,336-4.37%$30,588
20025-0.75%-0.30%-0.75%$29,114-0.30%$30,498
20026-7.13%-6.76%-7.13%$27,037-6.76%$28,438
20027-7.72%-7.96%-7.72%$24,950-7.96%$26,175
200280.65%0.98%0.65%$25,1130.98%$26,431
20029-10.87%-10.06%-10.87%$22,382-10.06%$23,772
2002108.78%6.50%8.78%$24,3486.50%$25,316
2002115.88%5.32%5.88%$25,7785.32%$26,664
200212-5.89%-4.49%-5.89%$24,259-4.49%$25,467
20031-2.62%-3.22%-2.62%$23,622-3.22%$24,647
20032-1.52%-2.28%-1.52%$23,264-2.28%$24,085
200330.96%0.81%0.96%$23,4860.81%$24,281
200348.25%8.16%8.25%$25,4258.16%$26,261
200355.26%5.86%5.26%$26,7635.86%$27,800
200361.26%0.87%1.26%$27,1000.87%$28,043
200371.74%1.14%1.74%$27,5731.14%$28,364
200381.93%1.67%1.93%$28,1061.67%$28,837
20039-1.07%-0.85%-1.07%$27,805-0.85%$28,593
2003105.64%5.04%5.64%$29,3735.04%$30,034
2003110.86%1.33%0.86%$29,6271.33%$30,433
2003125.22%4.75%5.22%$31,1744.75%$31,877
200411.82%1.16%1.82%$31,7411.16%$32,246
200421.38%1.72%1.38%$32,1791.72%$32,800
20043-1.51%-1.50%-1.51%$31,692-1.50%$32,308
20044-1.58%-1.62%-1.58%$31,192-1.62%$31,785
200451.36%0.82%1.36%$31,6150.82%$32,046
200461.93%2.21%1.93%$32,2252.21%$32,755
20047-3.31%-2.88%-3.31%$31,158-2.88%$31,813
200480.38%0.97%0.38%$31,2780.97%$32,122
200491.07%1.25%1.07%$31,6111.25%$32,524
2004101.51%1.90%1.51%$32,0901.90%$33,143
2004114.05%4.06%4.05%$33,3894.06%$34,490
2004123.39%3.42%3.39%$34,5223.42%$35,669
20051-2.45%-2.18%-2.45%$33,674-2.18%$34,891
200522.09%1.61%2.09%$34,3791.61%$35,451
20053-1.76%-1.36%-1.76%$33,774-1.36%$34,970
20054-1.91%-2.23%-1.91%$33,129-2.23%$34,190
200553.17%2.87%3.17%$34,1782.87%$35,172
200560.13%0.44%0.13%$34,2210.44%$35,327
200573.71%3.14%3.71%$35,4903.14%$36,437
20058-0.91%-1.20%-0.91%$35,166-1.20%$36,000
200590.79%0.26%0.79%$35,4450.26%$36,094
200510-1.68%-1.43%-1.68%$34,850-1.43%$35,577
2005113.76%3.39%3.76%$36,1623.39%$36,784
2005120.02%0.22%0.02%$36,1700.22%$36,864
200612.65%2.06%2.65%$37,1272.06%$37,624
200620.26%0.90%0.26%$37,2240.90%$37,964
200631.23%1.79%1.23%$37,6821.79%$38,643
200641.33%1.69%1.33%$38,1851.69%$39,298
20065-2.90%-2.25%-2.90%$37,079-2.25%$38,414
200660.13%-0.55%0.13%$37,126-0.55%$38,204
200670.61%0.30%0.61%$37,3510.30%$38,319
200682.36%1.97%2.36%$38,2341.97%$39,075
200692.56%2.82%2.56%$39,2142.82%$40,176
2006103.25%2.88%3.25%$40,4892.88%$41,331
2006111.89%1.76%1.89%$41,2541.76%$42,057
2006121.39%2.07%1.39%$41,8272.07%$42,928
200711.49%1.58%1.49%$42,4521.58%$43,605
20072-1.97%-1.59%-1.97%$41,616-1.59%$42,911
200731.11%0.91%1.11%$42,0790.91%$43,301
200744.42%4.77%4.42%$43,9384.77%$45,365
200753.48%3.76%3.48%$45,4653.76%$47,070
20076-1.68%-0.83%-1.68%$44,703-0.83%$46,678
20077-3.08%-3.48%-3.08%$43,324-3.48%$45,052
200781.50%0.84%1.50%$43,9730.84%$45,428
200793.72%3.32%3.72%$45,6113.32%$46,935
2007101.58%1.61%1.58%$46,3311.61%$47,690
200711-4.19%-3.20%-4.19%$44,391-3.20%$46,163
200712-0.70%-0.43%-0.70%$44,081-0.43%$45,962
20081-6.02%-4.90%-6.02%$41,429-4.90%$43,709
20082-3.25%-3.38%-3.25%$40,082-3.38%$42,231
20083-0.44%0.42%-0.44%$39,9050.42%$42,410
200844.85%4.06%4.85%$41,8424.06%$44,131
200851.29%1.54%1.29%$42,3831.54%$44,809
20086-8.44%-6.99%-8.44%$38,807-6.99%$41,678
20087-0.83%0.22%-0.83%$38,4840.22%$41,769
200881.45%1.45%1.45%$39,0411.45%$42,376
20089-8.91%-8.82%-8.91%$35,564-8.82%$38,638
200810-16.79%-17.34%-16.79%$29,592-17.34%$31,940
200811-7.17%-5.89%-7.17%$27,469-5.89%$30,058
2008121.07%2.06%1.07%$27,7622.06%$30,676
20091-8.41%-7.09%-8.41%$25,426-7.09%$28,502
20092-10.66%-8.41%-10.66%$22,716-8.41%$26,106
200938.76%7.32%8.76%$24,7067.32%$28,017
200949.56%10.33%9.56%$27,06810.33%$30,912
200955.62%4.71%5.62%$28,5894.71%$32,369
200960.22%0.40%0.22%$28,6520.40%$32,499
200977.58%5.83%7.58%$30,8235.83%$34,395
200983.60%3.06%3.60%$31,9323.06%$35,445
200993.72%3.44%3.72%$33,1193.44%$36,665
200910-1.87%-1.39%-1.87%$32,500-1.39%$36,156
2009115.98%5.47%5.98%$34,4445.47%$38,133
2009121.95%1.48%1.95%$35,1141.48%$38,698
20101-3.60%-3.03%-3.60%$33,849-3.03%$37,527
201023.09%2.47%3.09%$34,8962.47%$38,453
201036.01%5.36%6.01%$36,9945.36%$40,512
201041.58%2.01%1.58%$37,5782.01%$41,327
20105-8.01%-8.58%-8.01%$34,570-8.58%$37,782
20106-5.24%-4.98%-5.24%$32,758-4.98%$35,901
201077.00%6.47%7.00%$35,0506.47%$38,222
20108-4.53%-4.48%-4.53%$33,463-4.48%$36,509
201098.92%8.28%8.92%$36,4478.28%$39,534
2010103.79%3.38%3.79%$37,8283.38%$40,870
2010110.00%0.37%0.00%$37,8280.37%$41,022
2010126.67%6.84%6.67%$40,3516.84%$43,830
201112.36%2.10%2.36%$41,3022.10%$44,749
201123.42%3.77%3.42%$42,7133.77%$46,435
201130.03%-0.04%0.03%$42,724-0.04%$46,416
201142.95%2.90%2.95%$43,9842.90%$47,761
20115-1.15%-0.52%-1.15%$43,480-0.52%$47,512
20116-1.67%-1.37%-1.67%$42,753-1.37%$46,861
20117-2.05%-2.84%-2.05%$41,878-2.84%$45,531
20118-5.45%-5.00%-5.45%$39,597-5.00%$43,255
20119-7.04%-6.42%-7.04%$36,808-6.42%$40,476
20111010.91%10.86%10.91%$40,82610.86%$44,870
201111-0.23%0.13%-0.23%$40,7300.13%$44,928
2011121.02%1.00%1.02%$41,1451.00%$45,378
201214.46%3.90%4.46%$42,9823.90%$47,148
201224.31%3.01%4.31%$44,8333.01%$48,567
201233.28%2.92%3.28%$46,3042.92%$49,987
20124-0.64%0.08%-0.64%$46,0080.08%$50,026
20125-6.02%-5.54%-6.02%$43,239-5.54%$47,255
201264.11%3.77%4.11%$45,0163.77%$49,036
201271.37%1.36%1.37%$45,6321.36%$49,702
201282.24%1.81%2.24%$46,6541.81%$50,604
201292.58%2.36%2.58%$47,8562.36%$51,800
201210-1.86%-0.95%-1.86%$46,967-0.95%$51,309
2012110.56%0.73%0.56%$47,2300.73%$51,682
2012120.90%0.84%0.90%$47,6560.84%$52,116
201315.18%5.28%5.18%$50,1225.28%$54,866
201321.34%1.41%1.34%$50,7941.41%$55,638
201333.74%3.49%3.74%$52,6933.49%$57,578
201341.91%1.76%1.91%$53,6981.76%$58,590
201352.33%1.69%2.33%$54,9481.69%$59,582
20136-1.35%-0.70%-1.35%$54,206-0.70%$59,166
201375.07%4.58%5.07%$56,9554.58%$61,875
20138-2.91%-3.09%-2.91%$55,297-3.09%$59,962
201393.12%3.65%3.12%$57,0233.65%$62,152
2013104.59%4.02%4.59%$59,6384.02%$64,650
2013113.03%2.72%3.03%$61,4452.72%$66,409
2013122.51%2.30%2.51%$62,9892.30%$67,936
20141-3.47%-3.48%-3.47%$60,804-3.48%$65,574
201424.56%4.13%4.56%$63,5774.13%$68,279
201430.82%0.98%0.82%$64,1010.98%$68,948
201440.72%-0.44%0.72%$64,565-0.44%$68,644
201452.33%2.60%2.33%$66,0722.60%$70,426
201462.05%1.75%2.05%$67,4281.75%$71,662
20147-1.39%-2.18%-1.39%$66,492-2.18%$70,097
201483.98%3.39%3.98%$69,1403.39%$72,474
20149-1.41%-1.04%-1.41%$68,163-1.04%$71,722
2014102.42%2.81%2.42%$69,8152.81%$73,739
2014112.68%3.34%2.68%$71,6883.34%$76,205
201412-0.26%0.15%-0.26%$71,4980.15%$76,317
20151-3.02%-2.91%-3.02%$69,341-2.91%$74,099
201525.74%5.99%5.74%$73,3205.99%$78,535
20153-1.59%-1.10%-1.59%$72,152-1.10%$77,671
201540.95%-0.14%0.95%$72,837-0.14%$77,565
201551.27%1.73%1.27%$73,7641.73%$78,904
20156-1.93%-1.97%-1.93%$72,338-1.97%$77,347
201572.08%1.96%2.08%$73,8431.96%$78,862
20158-6.04%-5.73%-6.04%$69,381-5.73%$74,339
20159-2.49%-2.00%-2.49%$67,654-2.00%$72,851
2015108.42%7.76%8.42%$73,3527.76%$78,501
2015110.29%0.76%0.29%$73,5620.76%$79,100
201512-1.59%-1.24%-1.59%$72,391-1.24%$78,120

Exposures for Portfolio 1

Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VFINXVanguard 500 Index InvestorLarge Blend100.00%$62,391100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Exposures for Portfolio 2

Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
PRDGXT. Rowe Price Dividend GrowthLarge Blend100.00%$68,120100.00%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)0.81%0.81%
Mean Return (annualized)10.16%10.22%
Compound Return (monthly)0.72%0.75%
Compound Return (annualized)8.99%9.35%
Volatility (monthly)4.21%3.62%
Volatility (annualized)14.60%12.57%
Downside Deviation (monthly)2.83%2.41%
Max. Drawdown-50.97%-45.26%
Market Correlation0.990.92
Beta(*)0.960.77
Alpha (annualized)0.26%2.18%
R297.52%84.71%
Sharpe Ratio0.490.57
Sortino Ratio0.710.83
Treynor Ratio (%)7.409.30
Diversification Ratio1.001.00
Skewness-0.68-0.77
Excess Kurtosis1.282.47
Historical Value-at-Risk (95%)-7.14%-5.92%
Delta Normal Value-at-Risk (95%)-6.92%-5.96%
Conditional Value-at-Risk (95%)-9.74%-8.58%
Positive Periods177 out of 276 (64.13%)182 out of 276 (65.94%)
Gain/Loss Ratio0.900.91

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Asian CrisisJul 1997Jan 1998-5.61%-3.54%
Russian Crisis / LTCM DefaultJul 1998Oct 1998-15.38%-11.85%
Dotcom CrashMar 2000Oct 2002-44.82%-27.03%
Subprime CrisisNov 2007Mar 2009-50.97%-45.26%

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%
4Aug 2015Sep 20152 months-8.38%
5Feb 1994Mar 19942 monthsAug 19947 months-6.98%
6Jan 2000Feb 20002 monthsMar 20003 months-6.84%
7Jul 1999Sep 19993 monthsNov 19995 months-6.25%
8Aug 1997Aug 19971 monthNov 19974 months-5.61%
9Apr 2000May 20002 monthsAug 20005 months-4.98%
10Jun 2007Jul 20072 monthsSep 20074 months-4.71%
11Jul 1996Jul 19961 monthSep 19963 months-4.42%
12Mar 1997Mar 19971 monthApr 19972 months-4.14%
13Sep 1994Nov 19943 monthsJan 19955 months-3.90%
14Jan 2014Jan 20141 monthFeb 20142 months-3.47%
15Dec 2014Jan 20152 monthsFeb 20153 months-3.27%
16Feb 1999Feb 19991 monthMar 19992 months-3.12%
17Aug 2013Aug 20131 monthSep 20132 months-2.91%
18Apr 1993Apr 19931 monthMay 19932 months-2.42%
19May 1999May 19991 monthJun 19992 months-2.39%
20Feb 2007Feb 20071 monthApr 20073 months-1.97%
21Dec 1996Dec 19961 monthJan 19972 months-1.96%
22Jun 2015Jun 20151 monthJul 20152 months-1.93%
23Oct 2012Oct 20121 monthJan 20134 months-1.86%
24May 1998May 19981 monthJun 19982 months-1.74%
25Mar 2015Mar 20151 monthMay 20153 months-1.59%
26Sep 2014Sep 20141 monthOct 20142 months-1.41%
27Jul 2014Jul 20141 monthAug 20142 months-1.39%
28Jun 2013Jun 20131 monthJul 20132 months-1.35%
29Nov 1993Nov 19931 monthDec 19932 months-1.00%
30Sep 1993Sep 19931 monthOct 19932 months-0.79%
31Jul 1993Jul 19931 monthAug 19932 months-0.42%
32Oct 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-45.26%
2Feb 2001Sep 20021 year 8 monthsFeb 20043 years 1 month-27.03%
3Jul 1999Feb 20008 monthsOct 20001 year 4 months-16.51%
4May 2011Sep 20115 monthsFeb 201210 months-15.25%
5Apr 1998Aug 19985 monthsNov 19988 months-12.37%
6Jun 2015Sep 20154 monthsNov 20156 months-7.67%
7May 2012May 20121 monthAug 20124 months-5.54%
8Feb 1994Mar 19942 monthsAug 19947 months-5.12%
9Jun 2007Jul 20072 monthsOct 20075 months-4.29%
10Jan 2005Apr 20054 monthsJul 20057 months-4.15%
11Jan 1999Feb 19992 monthsApr 19994 months-4.04%
12Aug 1997Aug 19971 monthSep 19972 months-3.54%
13Jan 2014Jan 20141 monthFeb 20142 months-3.48%
14Mar 2004Apr 20042 monthsOct 20048 months-3.10%
15Aug 2013Aug 20131 monthSep 20132 months-3.09%
16Jan 2015Jan 20151 monthFeb 20152 months-2.91%
17Sep 1994Nov 19943 monthsJan 19955 months-2.84%
18May 2006Jun 20062 monthsSep 20065 months-2.78%
19Mar 1997Mar 19971 monthMay 19973 months-2.70%
20Nov 2000Nov 20001 monthDec 20002 months-2.64%
21Aug 2005Oct 20053 monthsNov 20054 months-2.36%
22Jul 1996Jul 19961 monthAug 19962 months-2.26%
23Jul 2014Jul 20141 monthAug 20142 months-2.18%
24Feb 2007Feb 20071 monthApr 20073 months-1.59%
25May 1999May 19991 monthJun 19992 months-1.29%
26Dec 2015Dec 20151 month-1.24%
27Mar 2015Apr 20152 monthsMay 20153 months-1.24%
28Oct 1997Oct 19971 monthNov 19972 months-1.21%
29Sep 2014Sep 20141 monthOct 20142 months-1.04%
30Oct 2012Oct 20121 monthDec 20123 months-0.95%
31Apr 1993Apr 19931 monthMay 19932 months-0.83%
32Jun 2013Jun 20131 monthJul 20132 months-0.70%
33Nov 1993Nov 19931 monthDec 19932 months-0.53%
34Apr 2014Apr 20141 monthMay 20142 months-0.44%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor8.99%14.60%37.45%-37.02%-50.97%0.490.710.99
PRDGXT. Rowe Price Dividend Growth9.35%12.57%31.75%-33.26%-45.26%0.570.830.92

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXPRDGXPF #1PF #2
VFINXVanguard 500 Index Investor-0.941.000.94
PRDGXT. Rowe Price Dividend Growth0.94-0.941.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePF #1PF #2
VFINXVanguard 500 Index Investor$62,391
PRDGXT. Rowe Price Dividend Growth$68,120

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePF #1PF #2
VFINXVanguard 500 Index Investor100.00%
PRDGXT. Rowe Price Dividend Growth100.00%

Annual Asset Returns