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 (Jun 1992 - 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 »
VDIGX Vanguard Dividend Growth Inv 100.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$77,185 9.05% 14.47%37.45%-37.02%-50.97% 0.500.720.99
2$10,000$64,196 8.20% 11.95%34.03%-25.57%-41.48% 0.510.750.77
   
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 1992 are based on full calendar months from June 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)Vanguard Dividend Growth Inv (VDIGX)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 1992 are based on partial year data
19921.57%6.62%12.95%6.62%4.97%2.56% [$256]$10,66212.95%11.20%2.63% [$263]$11,295
19932.75%9.89%15.06%9.89%6.95%2.86% [$305]$11,71715.06%11.98%8.99% [$1,015]$12,996
19942.67%1.18%-8.55%1.18%-1.46%3.16% [$370]$11,855-8.55%-10.94%6.25% [$812]$11,884
19952.54%37.45%34.03%37.45%34.04%3.17% [$376]$16,29434.03%30.71%5.74% [$683]$15,928
19963.32%22.88%5.28%22.88%18.93%2.68% [$436]$20,0215.28%1.89%4.66% [$741]$16,768
19971.70%33.19%25.09%33.19%30.96%2.78% [$557]$26,66725.09%22.99%6.90% [$1,157]$20,974
19981.61%28.62%21.83%28.62%26.58%1.95% [$521]$34,29821.83%19.90%10.97% [$2,302]$25,553
19992.68%21.07%-2.96%21.07%17.90%2.13% [$729]$41,524-2.96%-5.49%10.67% [$2,727]$24,798
20003.39%-9.06%18.77%-9.06%-12.04%0.96% [$400]$37,76318.77%14.88%9.04% [$2,241]$29,453
20011.55%-12.02%-19.45%-12.02%-13.37%1.05% [$397]$33,223-19.45%-20.68%5.06% [$1,491]$23,725
20022.38%-22.15%-23.16%-22.15%-23.95%1.29% [$429]$25,866-23.16%-24.94%3.24% [$769]$18,230
20031.88%28.50%29.20%28.50%26.13%1.77% [$459]$33,23829.20%26.81%2.17% [$396]$23,553
20043.26%10.74%11.01%10.74%7.25%1.91% [$636]$36,80811.01%7.51%1.98% [$467]$26,146
20053.42%4.77%4.23%4.77%1.31%1.79% [$657]$38,5654.23%0.79%1.99% [$519]$27,253
20062.54%15.64%19.58%15.64%12.78%1.87% [$723]$44,59819.58%16.61%2.10% [$573]$32,589
20074.08%5.39%7.00%5.39%1.25%1.92% [$856]$47,0007.00%2.80%2.62% [$855]$34,870
20080.09%-37.02%-25.57%-37.02%-37.08%1.87% [$878]$29,600-25.57%-25.64%1.74% [$608]$25,953
20092.72%26.49%21.74%26.49%23.13%2.56% [$757]$37,44021.74%18.52%2.65% [$688]$31,596
20101.50%14.91%11.42%14.91%13.22%1.93% [$722]$43,02411.42%9.78%2.08% [$659]$35,205
20112.96%1.97%9.43%1.97%-0.97%1.95% [$840]$43,8709.43%6.28%2.19% [$770]$38,523
20121.74%15.82%10.39%15.82%13.84%2.35% [$1,030]$50,81210.39%8.50%2.40% [$925]$42,524
20131.50%32.18%31.53%32.18%30.22%2.26% [$1,149]$67,16131.53%29.58%2.95% [$1,255]$55,930
20140.76%13.51%11.85%13.51%12.66%1.95% [$1,311]$76,23311.85%11.01%3.72% [$2,081]$62,555
20150.73%1.25%2.62%1.25%0.52%1.99% [$1,515]$77,1852.62%1.88%5.62% [$3,516]$64,196
Monthly returns for the configured portfolios
YearMonthVanguard 500 Index Investor (VFINX)Vanguard Dividend Growth Inv (VDIGX)PF #1 ReturnPF #1 Month End BalancePF #2 ReturnPF #2 Month End Balance
19926-1.49%1.41%-1.49%$9,8511.41%$10,141
199274.04%6.26%4.04%$10,2496.26%$10,775
19928-2.07%0.28%-2.07%$10,0370.28%$10,806
199291.17%0.94%1.17%$10,1550.94%$10,908
1992100.33%-0.75%0.33%$10,188-0.75%$10,826
1992113.40%0.85%3.40%$10,5350.85%$10,918
1992121.21%3.45%1.21%$10,6623.45%$11,295
199310.81%2.10%0.81%$10,7482.10%$11,532
199321.36%5.81%1.36%$10,8945.81%$12,202
199332.11%1.70%2.11%$11,1231.70%$12,410
19934-2.42%-0.84%-2.42%$10,854-0.84%$12,306
199352.65%0.09%2.65%$11,1420.09%$12,316
199360.27%3.67%0.27%$11,1723.67%$12,768
19937-0.42%2.15%-0.42%$11,1242.15%$13,043
199383.79%3.49%3.79%$11,5453.49%$13,498
19939-0.79%-0.08%-0.79%$11,454-0.08%$13,487
1993102.08%0.00%2.08%$11,6920.00%$13,487
199311-1.00%-4.04%-1.00%$11,575-4.04%$12,942
1993121.22%0.42%1.22%$11,7170.42%$12,996
199413.38%0.34%3.38%$12,1130.34%$13,040
19942-2.71%-4.54%-2.71%$11,784-4.54%$12,448
19943-4.39%-2.87%-4.39%$11,267-2.87%$12,091
199441.29%1.14%1.29%$11,4121.14%$12,229
199451.60%-1.79%1.60%$11,595-1.79%$12,010
19946-2.45%-1.64%-2.45%$11,311-1.64%$11,813
199473.28%3.25%3.28%$11,6823.25%$12,198
199484.08%0.38%4.08%$12,1580.38%$12,244
19949-2.45%-2.17%-2.45%$11,861-2.17%$11,979
1994102.25%0.39%2.25%$12,1270.39%$12,026
199411-3.65%-1.86%-3.65%$11,684-1.86%$11,802
1994121.46%0.69%1.46%$11,8550.69%$11,884
199512.58%4.83%2.58%$12,1614.83%$12,458
199523.88%1.34%3.88%$12,6331.34%$12,625
199532.95%0.30%2.95%$13,0060.30%$12,663
199542.94%2.78%2.94%$13,3882.78%$13,015
199553.95%3.73%3.95%$13,9183.73%$13,501
199562.31%0.81%2.31%$14,2400.81%$13,611
199573.30%1.26%3.30%$14,7101.26%$13,783
199580.26%1.78%0.26%$14,7491.78%$14,029
199594.21%4.65%4.21%$15,3704.65%$14,682
199510-0.36%1.86%-0.36%$15,3141.86%$14,955
1995114.38%1.83%4.38%$15,9851.83%$15,229
1995121.93%4.59%1.93%$16,2944.59%$15,928
199613.39%1.26%3.39%$16,8461.26%$16,129
199620.92%-2.34%0.92%$17,001-2.34%$15,752
199630.98%-0.49%0.98%$17,167-0.49%$15,675
199641.46%-0.16%1.46%$17,417-0.16%$15,650
199652.54%0.16%2.54%$17,8600.16%$15,675
199660.38%3.93%0.38%$17,9293.93%$16,291
19967-4.42%-4.42%-4.42%$17,136-4.42%$15,571
199682.10%1.07%2.10%$17,4951.07%$15,738
199695.61%0.32%5.61%$18,4760.32%$15,789
1996102.76%4.03%2.76%$18,9854.03%$16,425
1996117.56%3.24%7.56%$20,4213.24%$16,958
199612-1.96%-1.12%-1.96%$20,021-1.12%$16,768
199716.22%1.49%6.22%$21,2661.49%$17,018
199720.79%0.15%0.79%$21,4340.15%$17,044
19973-4.14%-2.96%-4.14%$20,548-2.96%$16,540
199745.96%0.32%5.96%$21,7710.32%$16,593
199756.09%3.62%6.09%$23,0973.62%$17,194
199764.45%3.04%4.45%$24,1253.04%$17,717
199777.97%2.21%7.97%$26,0472.21%$18,108
19978-5.61%-1.71%-5.61%$24,586-1.71%$17,798
199795.47%4.17%5.47%$25,9314.17%$18,540
199710-3.35%0.44%-3.35%$25,0620.44%$18,621
1997114.60%7.38%4.60%$26,2147.38%$19,996
1997121.72%4.89%1.72%$26,6674.89%$20,974
199811.11%-0.07%1.11%$26,963-0.07%$20,960
199827.19%1.80%7.19%$28,9021.80%$21,339
199835.10%6.84%5.10%$30,3776.84%$22,799
199841.01%-2.38%1.01%$30,683-2.38%$22,257
19985-1.74%-0.90%-1.74%$30,148-0.90%$22,057
199864.07%1.56%4.07%$31,3761.56%$22,400
19987-1.05%-1.67%-1.05%$31,045-1.67%$22,026
19988-14.47%-2.42%-14.47%$26,552-2.42%$21,493
199896.41%8.52%6.41%$28,2548.52%$23,324
1998108.16%1.93%8.16%$30,5611.93%$23,774
1998116.07%2.14%6.07%$32,4162.14%$24,282
1998125.81%5.24%5.81%$34,2985.24%$25,553
199914.20%-1.63%4.20%$35,740-1.63%$25,136
19992-3.12%-2.70%-3.12%$34,623-2.70%$24,456
199934.00%-0.42%4.00%$36,007-0.42%$24,353
199943.85%5.16%3.85%$37,3945.16%$25,610
19995-2.39%2.92%-2.39%$36,5002.92%$26,357
199965.56%-0.97%5.56%$38,528-0.97%$26,103
19997-3.13%-0.86%-3.13%$37,322-0.86%$25,878
19998-0.50%-3.78%-0.50%$37,137-3.78%$24,900
19999-2.74%-0.89%-2.74%$36,120-0.89%$24,678
1999106.33%3.74%6.33%$38,4053.74%$25,600
1999112.02%-3.41%2.02%$39,182-3.41%$24,727
1999125.98%0.29%5.98%$41,5240.29%$24,798
20001-5.03%4.19%-5.03%$39,4344.19%$25,836
20002-1.91%-4.35%-1.91%$38,683-4.35%$24,711
200039.76%7.62%9.76%$42,4587.62%$26,594
20004-3.01%-1.48%-3.01%$41,182-1.48%$26,200
20005-2.04%2.39%-2.04%$40,3432.39%$26,827
200062.49%-4.44%2.49%$41,346-4.44%$25,636
20007-1.49%-0.63%-1.49%$40,729-0.63%$25,474
200086.19%7.01%6.19%$43,2517.01%$27,260
20009-5.29%6.85%-5.29%$40,9636.85%$29,127
200010-0.43%-2.74%-0.43%$40,787-2.74%$28,328
200011-7.88%-1.67%-7.88%$37,574-1.67%$27,856
2000120.50%5.73%0.50%$37,7635.73%$29,453
200113.55%-6.07%3.55%$39,102-6.07%$27,667
20012-9.14%-0.27%-9.14%$35,529-0.27%$27,591
20013-6.36%-0.54%-6.36%$33,271-0.54%$27,443
200147.77%5.12%7.77%$35,8565.12%$28,848
200150.65%-2.23%0.65%$36,089-2.23%$28,204
20016-2.45%-5.46%-2.45%$35,207-5.46%$26,665
20017-1.00%-5.53%-1.00%$34,855-5.53%$25,191
20018-6.27%-2.03%-6.27%$32,668-2.03%$24,681
20019-8.09%-5.41%-8.09%$30,025-5.41%$23,347
2001101.90%-0.85%1.90%$30,594-0.85%$23,148
2001117.65%-0.51%7.65%$32,935-0.51%$23,029
2001120.87%3.02%0.87%$33,2233.02%$23,725
20021-1.47%-3.45%-1.47%$32,734-3.45%$22,906
20022-1.94%-0.09%-1.94%$32,100-0.09%$22,886
200233.74%6.90%3.74%$33,3016.90%$24,465
20024-6.07%-2.55%-6.07%$31,279-2.55%$23,841
20025-0.75%-2.70%-0.75%$31,043-2.70%$23,198
20026-7.13%-4.16%-7.13%$28,828-4.16%$22,232
20027-7.72%-11.88%-7.72%$26,603-11.88%$19,590
200280.65%2.90%0.65%$26,7762.90%$20,159
20029-10.87%-10.38%-10.87%$23,864-10.38%$18,066
2002108.78%3.64%8.78%$25,9603.64%$18,725
2002115.88%2.64%5.88%$27,4852.64%$19,219
200212-5.89%-5.14%-5.89%$25,866-5.14%$18,230
20031-2.62%-3.53%-2.62%$25,187-3.53%$17,587
20032-1.52%-1.53%-1.52%$24,804-1.53%$17,318
200330.96%-0.48%0.96%$25,042-0.48%$17,235
200348.25%7.70%8.25%$27,1097.70%$18,562
200355.26%7.15%5.26%$28,5367.15%$19,889
200361.26%2.07%1.26%$28,8952.07%$20,301
200371.74%0.93%1.74%$29,3990.93%$20,489
200381.93%2.35%1.93%$29,9672.35%$20,970
20039-1.07%-0.90%-1.07%$29,646-0.90%$20,782
2003105.64%4.93%5.64%$31,3184.93%$21,808
2003110.86%1.82%0.86%$31,5891.82%$22,205
2003125.22%6.07%5.22%$33,2386.07%$23,553
200411.82%1.61%1.82%$33,8431.61%$23,933
200421.38%1.77%1.38%$34,3101.77%$24,355
20043-1.51%-1.30%-1.51%$33,790-1.30%$24,038
20044-1.58%-1.23%-1.58%$33,258-1.23%$23,743
200451.36%0.18%1.36%$33,7090.18%$23,785
200461.93%2.39%1.93%$34,3602.39%$24,354
20047-3.31%-2.62%-3.31%$33,222-2.62%$23,716
200480.38%0.63%0.38%$33,3490.63%$23,865
200491.07%1.61%1.07%$33,7051.61%$24,248
2004101.51%0.79%1.51%$34,2160.79%$24,440
2004114.05%3.66%4.05%$35,6003.66%$25,334
2004123.39%3.21%3.39%$36,8083.21%$26,146
20051-2.45%-2.14%-2.45%$35,905-2.14%$25,587
200522.09%2.69%2.09%$36,6562.69%$26,275
20053-1.76%-1.64%-1.76%$36,011-1.64%$25,845
20054-1.91%-0.67%-1.91%$35,323-0.67%$25,673
200553.17%1.68%3.17%$36,4411.68%$26,103
200560.13%-0.91%0.13%$36,488-0.91%$25,866
200573.71%3.11%3.71%$37,8403.11%$26,670
20058-0.91%-0.49%-0.91%$37,495-0.49%$26,539
200590.79%0.66%0.79%$37,7920.66%$26,713
200510-1.68%-1.46%-1.68%$37,158-1.46%$26,322
2005113.76%3.30%3.76%$38,5573.30%$27,192
2005120.02%0.23%0.02%$38,5650.23%$27,253
200612.65%2.66%2.65%$39,5852.66%$27,978
200620.26%1.18%0.26%$39,6891.18%$28,307
200631.23%1.32%1.23%$40,1781.32%$28,680
200641.33%1.07%1.33%$40,7141.07%$28,987
20065-2.90%-2.04%-2.90%$39,534-2.04%$28,395
200660.13%0.10%0.13%$39,5850.10%$28,422
200670.61%2.50%0.61%$39,8252.50%$29,131
200682.36%2.51%2.36%$40,7662.51%$29,863
200692.56%1.78%2.56%$41,8111.78%$30,395
2006103.25%2.92%3.25%$43,1702.92%$31,282
2006111.89%1.63%1.89%$43,9861.63%$31,791
2006121.39%2.51%1.39%$44,5982.51%$32,589
200711.49%1.17%1.49%$45,2631.17%$32,969
20072-1.97%-1.97%-1.97%$44,372-1.97%$32,320
200731.11%0.83%1.11%$44,8650.83%$32,589
200744.42%4.60%4.42%$46,8484.60%$34,087
200753.48%3.48%3.48%$48,4763.48%$35,273
20076-1.68%-1.07%-1.68%$47,664-1.07%$34,895
20077-3.08%-2.59%-3.08%$46,193-2.59%$33,992
200781.50%0.80%1.50%$46,8860.80%$34,263
200793.72%3.49%3.72%$48,6323.49%$35,460
2007101.58%0.70%1.58%$49,3990.70%$35,708
200711-4.19%-1.90%-4.19%$47,331-1.90%$35,031
200712-0.70%-0.46%-0.70%$47,000-0.46%$34,870
20081-6.02%-5.46%-6.02%$44,173-5.46%$32,967
20082-3.25%-1.39%-3.25%$42,736-1.39%$32,509
20083-0.44%0.85%-0.44%$42,5480.85%$32,784
200844.85%3.57%4.85%$44,6133.57%$33,953
200851.29%1.89%1.29%$45,1901.89%$34,595
20086-8.44%-6.43%-8.44%$41,377-6.43%$32,371
20087-0.83%0.43%-0.83%$41,0330.43%$32,510
200881.45%2.21%1.45%$41,6262.21%$33,228
20089-8.91%-5.78%-8.91%$37,919-5.78%$31,306
200810-16.79%-14.79%-16.79%$31,551-14.79%$26,675
200811-7.17%-3.56%-7.17%$29,288-3.56%$25,726
2008121.07%0.88%1.07%$29,6000.88%$25,953
20091-8.41%-5.96%-8.41%$27,110-5.96%$24,407
20092-10.66%-9.21%-10.66%$24,221-9.21%$22,158
200938.76%7.40%8.76%$26,3437.40%$23,798
200949.56%5.81%9.56%$28,8615.81%$25,180
200955.62%5.40%5.62%$30,4825.40%$26,538
200960.22%-0.87%0.22%$30,549-0.87%$26,309
200977.58%5.05%7.58%$32,8645.05%$27,637
200983.60%2.92%3.60%$34,0472.92%$28,444
200993.72%3.42%3.72%$35,3123.42%$29,416
200910-1.87%-0.08%-1.87%$34,653-0.08%$29,393
2009115.98%6.62%5.98%$36,7256.62%$31,338
2009121.95%0.82%1.95%$37,4400.82%$31,596
20101-3.60%-2.66%-3.60%$36,091-2.66%$30,756
201023.09%1.56%3.09%$37,2071.56%$31,236
201036.01%4.38%6.01%$39,4444.38%$32,603
201041.58%1.62%1.58%$40,0661.62%$33,131
20105-8.01%-7.60%-8.01%$36,859-7.60%$30,612
20106-5.24%-3.94%-5.24%$34,928-3.94%$29,406
201077.00%6.10%7.00%$37,3716.10%$31,200
20108-4.53%-3.26%-4.53%$35,679-3.26%$30,182
201098.92%7.95%8.92%$38,8617.95%$32,582
2010103.79%2.75%3.79%$40,3332.75%$33,479
2010110.00%-0.51%0.00%$40,333-0.51%$33,309
2010126.67%5.69%6.67%$43,0245.69%$35,205
201112.36%2.09%2.36%$44,0382.09%$35,939
201123.42%2.32%3.42%$45,5422.32%$36,771
201130.03%0.40%0.03%$45,5540.40%$36,918
201142.95%3.65%2.95%$46,8973.65%$38,265
20115-1.15%0.19%-1.15%$46,3600.19%$38,338
20116-1.67%-0.66%-1.67%$45,584-0.66%$38,084
20117-2.05%-3.05%-2.05%$44,651-3.05%$36,922
20118-5.45%-2.55%-5.45%$42,219-2.55%$35,982
20119-7.04%-4.33%-7.04%$39,246-4.33%$34,424
20111010.91%8.55%10.91%$43,5298.55%$37,367
201111-0.23%1.26%-0.23%$43,4281.26%$37,837
2011121.02%1.81%1.02%$43,8701.81%$38,523
201214.46%2.53%4.46%$45,8282.53%$39,497
201224.31%2.66%4.31%$47,8022.66%$40,546
201233.28%2.28%3.28%$49,3702.28%$41,471
20124-0.64%0.00%-0.64%$49,0550.00%$41,471
20125-6.02%-5.12%-6.02%$46,103-5.12%$39,347
201264.11%4.08%4.11%$47,9974.08%$40,952
201271.37%0.99%1.37%$48,6550.99%$41,356
201282.24%1.53%2.24%$49,7441.53%$41,988
201292.58%1.68%2.58%$51,0261.68%$42,695
201210-1.86%-1.18%-1.86%$50,077-1.18%$42,190
2012110.56%0.24%0.56%$50,3570.24%$42,291
2012120.90%0.55%0.90%$50,8120.55%$42,524
201315.18%5.29%5.18%$53,4425.29%$44,773
201321.34%1.60%1.34%$54,1571.60%$45,488
201333.74%3.76%3.74%$56,1823.76%$47,201
201341.91%3.09%1.91%$57,2543.09%$48,657
201352.33%1.26%2.33%$58,5871.26%$49,271
20136-1.35%-0.56%-1.35%$57,796-0.56%$48,997
201375.07%4.16%5.07%$60,7274.16%$51,035
20138-2.91%-2.63%-2.91%$58,959-2.63%$49,694
201393.12%3.12%3.12%$60,7993.12%$51,242
2013104.59%3.68%4.59%$63,5883.68%$53,125
2013113.03%3.30%3.03%$65,5143.30%$54,880
2013122.51%1.91%2.51%$67,1611.91%$55,930
20141-3.47%-4.26%-3.47%$64,831-4.26%$53,547
201424.56%4.74%4.56%$67,7874.74%$56,087
201430.82%1.60%0.82%$68,3461.60%$56,982
201440.72%0.41%0.72%$68,8410.41%$57,218
201452.33%1.24%2.33%$70,4481.24%$57,927
201462.05%0.99%2.05%$71,8940.99%$58,499
20147-1.39%-1.86%-1.39%$70,896-1.86%$57,414
201483.98%3.78%3.98%$73,7193.78%$59,585
20149-1.41%-0.49%-1.41%$72,677-0.49%$59,294
2014102.42%2.77%2.42%$74,4382.77%$60,936
2014112.68%2.82%2.68%$76,4352.82%$62,657
201412-0.26%-0.16%-0.26%$76,233-0.16%$62,555
20151-3.02%-2.69%-3.02%$73,933-2.69%$60,876
201525.74%4.94%5.74%$78,1764.94%$63,883
20153-1.59%-1.24%-1.59%$76,930-1.24%$63,091
201540.95%-0.04%0.95%$77,660-0.04%$63,064
201551.27%0.83%1.27%$78,6490.83%$63,587
20156-1.93%-2.31%-1.93%$77,128-2.31%$62,118
201572.08%3.58%2.08%$78,7333.58%$64,340
20158-6.04%-6.04%-6.04%$73,976-6.04%$60,452
20159-2.49%-0.60%-2.49%$72,134-0.60%$60,091
2015108.42%7.58%8.42%$78,2107.58%$64,645
2015110.29%0.39%0.29%$78,4340.39%$64,895
201512-1.59%-1.08%-1.59%$77,185-1.08%$64,196

Exposures for Portfolio 1

Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VFINXVanguard 500 Index InvestorLarge Blend100.00%$67,185100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Exposures for Portfolio 2

Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VDIGXVanguard Dividend Growth InvLarge Blend100.00%$54,196100.00%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%0.72%
Mean Return (annualized)10.20%8.98%
Compound Return (monthly)0.72%0.66%
Compound Return (annualized)9.05%8.20%
Volatility (monthly)4.17%3.44%
Volatility (annualized)14.47%11.95%
Downside Deviation (monthly)2.80%2.23%
Max. Drawdown-50.97%-41.48%
Market Correlation0.990.77
Beta(*)0.960.62
Alpha (annualized)0.20%2.51%
R297.51%58.62%
Sharpe Ratio0.500.51
Sortino Ratio0.720.75
Treynor Ratio (%)7.439.78
Diversification Ratio1.001.00
Skewness-0.68-0.59
Excess Kurtosis1.331.69
Historical Value-at-Risk (95%)-7.12%-5.35%
Delta Normal Value-at-Risk (95%)-6.86%-5.67%
Conditional Value-at-Risk (95%)-9.55%-7.57%
Positive Periods182 out of 283 (64.31%)174 out of 283 (61.48%)
Gain/Loss Ratio0.901.06

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Asian CrisisJul 1997Jan 1998-5.61%-1.71%
Russian Crisis / LTCM DefaultJul 1998Oct 1998-15.38%-4.05%
Dotcom CrashMar 2000Oct 2002-44.82%-38.66%
Subprime CrisisNov 2007Mar 2009-50.97%-37.95%

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%
20Aug 1992Aug 19921 monthNov 19924 months-2.07%
21Feb 2007Feb 20071 monthApr 20073 months-1.97%
22Dec 1996Dec 19961 monthJan 19972 months-1.96%
23Jun 2015Jun 20151 monthJul 20152 months-1.93%
24Oct 2012Oct 20121 monthJan 20134 months-1.86%
25May 1998May 19981 monthJun 19982 months-1.74%
26Mar 2015Mar 20151 monthMay 20153 months-1.59%
27Jun 1992Jun 19921 monthJul 19922 months-1.49%
28Sep 2014Sep 20141 monthOct 20142 months-1.41%
29Jul 2014Jul 20141 monthAug 20142 months-1.39%
30Jun 2013Jun 20131 monthJul 20132 months-1.35%
31Nov 1993Nov 19931 monthDec 19932 months-1.00%
32Sep 1993Sep 19931 monthOct 19932 months-0.79%
33Jul 1993Jul 19931 monthAug 19932 months-0.42%
34Oct 1995Oct 19951 monthNov 19952 months-0.36%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Jan 2001Mar 20032 years 3 monthsAug 20065 years 8 months-41.48%
2Nov 2007Feb 20091 year 4 monthsJan 20113 years 3 months-37.95%
3Sep 1993Nov 19941 year 3 monthsMay 19951 year 9 months-12.56%
4Jun 2011Sep 20114 monthsDec 20117 months-10.21%
5Aug 2015Sep 20152 monthsOct 20153 months-6.60%
6Jun 1999Sep 19994 monthsMar 200010 months-6.37%
7Apr 1998Aug 19985 monthsSep 19986 months-5.73%
8May 2012May 20121 monthAug 20124 months-5.12%
9Jun 2000Jul 20002 monthsAug 20003 months-5.04%
10Jan 1999Mar 19993 monthsApr 19994 months-4.70%
11Jul 1996Jul 19961 monthOct 19964 months-4.42%
12Oct 2000Nov 20002 monthsDec 20003 months-4.36%
13Jan 2014Jan 20141 monthFeb 20142 months-4.26%
14Jun 2007Jul 20072 monthsSep 20074 months-3.63%
15Feb 1996Apr 19963 monthsJun 19965 months-2.97%
16Mar 1997Mar 19971 monthMay 19973 months-2.96%
17Dec 2014Jan 20152 monthsFeb 20153 months-2.84%
18Mar 2015Jun 20154 monthsJul 20155 months-2.76%
19Aug 2013Aug 20131 monthSep 20132 months-2.63%
20Feb 2007Feb 20071 monthApr 20073 months-1.97%
21Jul 2014Jul 20141 monthAug 20142 months-1.86%
22Aug 1997Aug 19971 monthSep 19972 months-1.71%
23Apr 2000Apr 20001 monthMay 20002 months-1.48%
24Oct 2012Oct 20121 monthJan 20134 months-1.18%
25Dec 1996Dec 19961 monthJan 19972 months-1.12%
26Dec 2015Dec 20151 month-1.08%
27Apr 1993Apr 19931 monthJun 19933 months-0.84%
28Oct 1992Oct 19921 monthNov 19922 months-0.75%
29Jun 2013Jun 20131 monthJul 20132 months-0.56%
30Sep 2014Sep 20141 monthOct 20142 months-0.49%
31Jan 1998Jan 19981 monthFeb 19982 months-0.07%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.05%14.47%37.45%-37.02%-50.97%0.500.720.99
VDIGXVanguard Dividend Growth Inv8.20%11.95%34.03%-25.57%-41.48%0.510.750.77

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVDIGXPF #1PF #2
VFINXVanguard 500 Index Investor-0.781.000.78
VDIGXVanguard Dividend Growth Inv0.78-0.781.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePF #1PF #2
VFINXVanguard 500 Index Investor$67,185
VDIGXVanguard Dividend Growth Inv$54,196

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePF #1PF #2
VFINXVanguard 500 Index Investor100.00%
VDIGXVanguard Dividend Growth Inv100.00%

Annual Asset Returns