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 
Asset 1
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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
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VDIGX Vanguard Dividend Growth Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$77,185 9.05% 14.47%37.45%-37.02%-50.97% 0.500.720.99
Portfolio 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 treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes. This includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationReturnBalanceIncomeVanguard 500 Index Investor (VFINX)Vanguard Dividend Growth Inv (VDIGX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19921.57%6.62%12.95%$10,662$11,2952.56% [$256]2.63% [$263]6.62%12.95%
19932.75%9.89%15.06%$11,717$12,9962.86% [$305]8.99% [$1,015]9.89%15.06%
19942.67%1.18%-8.55%$11,855$11,8843.16% [$370]6.25% [$812]1.18%-8.55%
19952.54%37.45%34.03%$16,294$15,9283.17% [$376]5.74% [$683]37.45%34.03%
19963.32%22.88%5.28%$20,021$16,7682.68% [$436]4.66% [$741]22.88%5.28%
19971.70%33.19%25.09%$26,667$20,9742.78% [$557]6.90% [$1,157]33.19%25.09%
19981.61%28.62%21.83%$34,298$25,5531.95% [$521]10.97% [$2,302]28.62%21.83%
19992.68%21.07%-2.96%$41,524$24,7982.13% [$729]10.67% [$2,727]21.07%-2.96%
20003.39%-9.06%18.77%$37,763$29,4530.96% [$400]9.04% [$2,241]-9.06%18.77%
20011.55%-12.02%-19.45%$33,223$23,7251.05% [$397]5.06% [$1,491]-12.02%-19.45%
20022.38%-22.15%-23.16%$25,866$18,2301.29% [$429]3.24% [$769]-22.15%-23.16%
20031.88%28.50%29.20%$33,238$23,5531.77% [$459]2.17% [$396]28.50%29.20%
20043.26%10.74%11.01%$36,808$26,1461.91% [$636]1.98% [$467]10.74%11.01%
20053.42%4.77%4.23%$38,565$27,2531.79% [$657]1.99% [$519]4.77%4.23%
20062.54%15.64%19.58%$44,598$32,5891.87% [$723]2.10% [$573]15.64%19.58%
20074.08%5.39%7.00%$47,000$34,8701.92% [$856]2.62% [$855]5.39%7.00%
20080.09%-37.02%-25.57%$29,600$25,9531.87% [$878]1.74% [$608]-37.02%-25.57%
20092.72%26.49%21.74%$37,440$31,5962.56% [$757]2.65% [$688]26.49%21.74%
20101.50%14.91%11.42%$43,024$35,2051.93% [$722]2.08% [$659]14.91%11.42%
20112.96%1.97%9.43%$43,870$38,5231.95% [$840]2.19% [$770]1.97%9.43%
20121.74%15.82%10.39%$50,812$42,5242.35% [$1,030]2.40% [$925]15.82%10.39%
20131.50%32.18%31.53%$67,161$55,9302.26% [$1,149]2.95% [$1,255]32.18%31.53%
20140.76%13.51%11.85%$76,233$62,5551.95% [$1,311]3.72% [$2,081]13.51%11.85%
20150.73%1.25%2.62%$77,185$64,1961.99% [$1,515]5.62% [$3,516]1.25%2.62%
Annual returns for 1992 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Dividend Growth Inv (VDIGX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19926-1.49%1.41%$9,851$10,141-1.49%1.41%
199274.04%6.26%$10,249$10,7754.04%6.26%
19928-2.07%0.28%$10,037$10,806-2.07%0.28%
199291.17%0.94%$10,155$10,9081.17%0.94%
1992100.33%-0.75%$10,188$10,8260.33%-0.75%
1992113.40%0.85%$10,535$10,9183.40%0.85%
1992121.21%3.45%$10,662$11,2951.21%3.45%
199310.81%2.10%$10,748$11,5320.81%2.10%
199321.36%5.81%$10,894$12,2021.36%5.81%
199332.11%1.70%$11,123$12,4102.11%1.70%
19934-2.42%-0.84%$10,854$12,306-2.42%-0.84%
199352.65%0.09%$11,142$12,3162.65%0.09%
199360.27%3.67%$11,172$12,7680.27%3.67%
19937-0.42%2.15%$11,124$13,043-0.42%2.15%
199383.79%3.49%$11,545$13,4983.79%3.49%
19939-0.79%-0.08%$11,454$13,487-0.79%-0.08%
1993102.08%0.00%$11,692$13,4872.08%0.00%
199311-1.00%-4.04%$11,575$12,942-1.00%-4.04%
1993121.22%0.42%$11,717$12,9961.22%0.42%
199413.38%0.34%$12,113$13,0403.38%0.34%
19942-2.71%-4.54%$11,784$12,448-2.71%-4.54%
19943-4.39%-2.87%$11,267$12,091-4.39%-2.87%
199441.29%1.14%$11,412$12,2291.29%1.14%
199451.60%-1.79%$11,595$12,0101.60%-1.79%
19946-2.45%-1.64%$11,311$11,813-2.45%-1.64%
199473.28%3.25%$11,682$12,1983.28%3.25%
199484.08%0.38%$12,158$12,2444.08%0.38%
19949-2.45%-2.17%$11,861$11,979-2.45%-2.17%
1994102.25%0.39%$12,127$12,0262.25%0.39%
199411-3.65%-1.86%$11,684$11,802-3.65%-1.86%
1994121.46%0.69%$11,855$11,8841.46%0.69%
199512.58%4.83%$12,161$12,4582.58%4.83%
199523.88%1.34%$12,633$12,6253.88%1.34%
199532.95%0.30%$13,006$12,6632.95%0.30%
199542.94%2.78%$13,388$13,0152.94%2.78%
199553.95%3.73%$13,918$13,5013.95%3.73%
199562.31%0.81%$14,240$13,6112.31%0.81%
199573.30%1.26%$14,710$13,7833.30%1.26%
199580.26%1.78%$14,749$14,0290.26%1.78%
199594.21%4.65%$15,370$14,6824.21%4.65%
199510-0.36%1.86%$15,314$14,955-0.36%1.86%
1995114.38%1.83%$15,985$15,2294.38%1.83%
1995121.93%4.59%$16,294$15,9281.93%4.59%
199613.39%1.26%$16,846$16,1293.39%1.26%
199620.92%-2.34%$17,001$15,7520.92%-2.34%
199630.98%-0.49%$17,167$15,6750.98%-0.49%
199641.46%-0.16%$17,417$15,6501.46%-0.16%
199652.54%0.16%$17,860$15,6752.54%0.16%
199660.38%3.93%$17,929$16,2910.38%3.93%
19967-4.42%-4.42%$17,136$15,571-4.42%-4.42%
199682.10%1.07%$17,495$15,7382.10%1.07%
199695.61%0.32%$18,476$15,7895.61%0.32%
1996102.76%4.03%$18,985$16,4252.76%4.03%
1996117.56%3.24%$20,421$16,9587.56%3.24%
199612-1.96%-1.12%$20,021$16,768-1.96%-1.12%
199716.22%1.49%$21,266$17,0186.22%1.49%
199720.79%0.15%$21,434$17,0440.79%0.15%
19973-4.14%-2.96%$20,548$16,540-4.14%-2.96%
199745.96%0.32%$21,771$16,5935.96%0.32%
199756.09%3.62%$23,097$17,1946.09%3.62%
199764.45%3.04%$24,125$17,7174.45%3.04%
199777.97%2.21%$26,047$18,1087.97%2.21%
19978-5.61%-1.71%$24,586$17,798-5.61%-1.71%
199795.47%4.17%$25,931$18,5405.47%4.17%
199710-3.35%0.44%$25,062$18,621-3.35%0.44%
1997114.60%7.38%$26,214$19,9964.60%7.38%
1997121.72%4.89%$26,667$20,9741.72%4.89%
199811.11%-0.07%$26,963$20,9601.11%-0.07%
199827.19%1.80%$28,902$21,3397.19%1.80%
199835.10%6.84%$30,377$22,7995.10%6.84%
199841.01%-2.38%$30,683$22,2571.01%-2.38%
19985-1.74%-0.90%$30,148$22,057-1.74%-0.90%
199864.07%1.56%$31,376$22,4004.07%1.56%
19987-1.05%-1.67%$31,045$22,026-1.05%-1.67%
19988-14.47%-2.42%$26,552$21,493-14.47%-2.42%
199896.41%8.52%$28,254$23,3246.41%8.52%
1998108.16%1.93%$30,561$23,7748.16%1.93%
1998116.07%2.14%$32,416$24,2826.07%2.14%
1998125.81%5.24%$34,298$25,5535.81%5.24%
199914.20%-1.63%$35,740$25,1364.20%-1.63%
19992-3.12%-2.70%$34,623$24,456-3.12%-2.70%
199934.00%-0.42%$36,007$24,3534.00%-0.42%
199943.85%5.16%$37,394$25,6103.85%5.16%
19995-2.39%2.92%$36,500$26,357-2.39%2.92%
199965.56%-0.97%$38,528$26,1035.56%-0.97%
19997-3.13%-0.86%$37,322$25,878-3.13%-0.86%
19998-0.50%-3.78%$37,137$24,900-0.50%-3.78%
19999-2.74%-0.89%$36,120$24,678-2.74%-0.89%
1999106.33%3.74%$38,405$25,6006.33%3.74%
1999112.02%-3.41%$39,182$24,7272.02%-3.41%
1999125.98%0.29%$41,524$24,7985.98%0.29%
20001-5.03%4.19%$39,434$25,836-5.03%4.19%
20002-1.91%-4.35%$38,683$24,711-1.91%-4.35%
200039.76%7.62%$42,458$26,5949.76%7.62%
20004-3.01%-1.48%$41,182$26,200-3.01%-1.48%
20005-2.04%2.39%$40,343$26,827-2.04%2.39%
200062.49%-4.44%$41,346$25,6362.49%-4.44%
20007-1.49%-0.63%$40,729$25,474-1.49%-0.63%
200086.19%7.01%$43,251$27,2606.19%7.01%
20009-5.29%6.85%$40,963$29,127-5.29%6.85%
200010-0.43%-2.74%$40,787$28,328-0.43%-2.74%
200011-7.88%-1.67%$37,574$27,856-7.88%-1.67%
2000120.50%5.73%$37,763$29,4530.50%5.73%
200113.55%-6.07%$39,102$27,6673.55%-6.07%
20012-9.14%-0.27%$35,529$27,591-9.14%-0.27%
20013-6.36%-0.54%$33,271$27,443-6.36%-0.54%
200147.77%5.12%$35,856$28,8487.77%5.12%
200150.65%-2.23%$36,089$28,2040.65%-2.23%
20016-2.45%-5.46%$35,207$26,665-2.45%-5.46%
20017-1.00%-5.53%$34,855$25,191-1.00%-5.53%
20018-6.27%-2.03%$32,668$24,681-6.27%-2.03%
20019-8.09%-5.41%$30,025$23,347-8.09%-5.41%
2001101.90%-0.85%$30,594$23,1481.90%-0.85%
2001117.65%-0.51%$32,935$23,0297.65%-0.51%
2001120.87%3.02%$33,223$23,7250.87%3.02%
20021-1.47%-3.45%$32,734$22,906-1.47%-3.45%
20022-1.94%-0.09%$32,100$22,886-1.94%-0.09%
200233.74%6.90%$33,301$24,4653.74%6.90%
20024-6.07%-2.55%$31,279$23,841-6.07%-2.55%
20025-0.75%-2.70%$31,043$23,198-0.75%-2.70%
20026-7.13%-4.16%$28,828$22,232-7.13%-4.16%
20027-7.72%-11.88%$26,603$19,590-7.72%-11.88%
200280.65%2.90%$26,776$20,1590.65%2.90%
20029-10.87%-10.38%$23,864$18,066-10.87%-10.38%
2002108.78%3.64%$25,960$18,7258.78%3.64%
2002115.88%2.64%$27,485$19,2195.88%2.64%
200212-5.89%-5.14%$25,866$18,230-5.89%-5.14%
20031-2.62%-3.53%$25,187$17,587-2.62%-3.53%
20032-1.52%-1.53%$24,804$17,318-1.52%-1.53%
200330.96%-0.48%$25,042$17,2350.96%-0.48%
200348.25%7.70%$27,109$18,5628.25%7.70%
200355.26%7.15%$28,536$19,8895.26%7.15%
200361.26%2.07%$28,895$20,3011.26%2.07%
200371.74%0.93%$29,399$20,4891.74%0.93%
200381.93%2.35%$29,967$20,9701.93%2.35%
20039-1.07%-0.90%$29,646$20,782-1.07%-0.90%
2003105.64%4.93%$31,318$21,8085.64%4.93%
2003110.86%1.82%$31,589$22,2050.86%1.82%
2003125.22%6.07%$33,238$23,5535.22%6.07%
200411.82%1.61%$33,843$23,9331.82%1.61%
200421.38%1.77%$34,310$24,3551.38%1.77%
20043-1.51%-1.30%$33,790$24,038-1.51%-1.30%
20044-1.58%-1.23%$33,258$23,743-1.58%-1.23%
200451.36%0.18%$33,709$23,7851.36%0.18%
200461.93%2.39%$34,360$24,3541.93%2.39%
20047-3.31%-2.62%$33,222$23,716-3.31%-2.62%
200480.38%0.63%$33,349$23,8650.38%0.63%
200491.07%1.61%$33,705$24,2481.07%1.61%
2004101.51%0.79%$34,216$24,4401.51%0.79%
2004114.05%3.66%$35,600$25,3344.05%3.66%
2004123.39%3.21%$36,808$26,1463.39%3.21%
20051-2.45%-2.14%$35,905$25,587-2.45%-2.14%
200522.09%2.69%$36,656$26,2752.09%2.69%
20053-1.76%-1.64%$36,011$25,845-1.76%-1.64%
20054-1.91%-0.67%$35,323$25,673-1.91%-0.67%
200553.17%1.68%$36,441$26,1033.17%1.68%
200560.13%-0.91%$36,488$25,8660.13%-0.91%
200573.71%3.11%$37,840$26,6703.71%3.11%
20058-0.91%-0.49%$37,495$26,539-0.91%-0.49%
200590.79%0.66%$37,792$26,7130.79%0.66%
200510-1.68%-1.46%$37,158$26,322-1.68%-1.46%
2005113.76%3.30%$38,557$27,1923.76%3.30%
2005120.02%0.23%$38,565$27,2530.02%0.23%
200612.65%2.66%$39,585$27,9782.65%2.66%
200620.26%1.18%$39,689$28,3070.26%1.18%
200631.23%1.32%$40,178$28,6801.23%1.32%
200641.33%1.07%$40,714$28,9871.33%1.07%
20065-2.90%-2.04%$39,534$28,395-2.90%-2.04%
200660.13%0.10%$39,585$28,4220.13%0.10%
200670.61%2.50%$39,825$29,1310.61%2.50%
200682.36%2.51%$40,766$29,8632.36%2.51%
200692.56%1.78%$41,811$30,3952.56%1.78%
2006103.25%2.92%$43,170$31,2823.25%2.92%
2006111.89%1.63%$43,986$31,7911.89%1.63%
2006121.39%2.51%$44,598$32,5891.39%2.51%
200711.49%1.17%$45,263$32,9691.49%1.17%
20072-1.97%-1.97%$44,372$32,320-1.97%-1.97%
200731.11%0.83%$44,865$32,5891.11%0.83%
200744.42%4.60%$46,848$34,0874.42%4.60%
200753.48%3.48%$48,476$35,2733.48%3.48%
20076-1.68%-1.07%$47,664$34,895-1.68%-1.07%
20077-3.08%-2.59%$46,193$33,992-3.08%-2.59%
200781.50%0.80%$46,886$34,2631.50%0.80%
200793.72%3.49%$48,632$35,4603.72%3.49%
2007101.58%0.70%$49,399$35,7081.58%0.70%
200711-4.19%-1.90%$47,331$35,031-4.19%-1.90%
200712-0.70%-0.46%$47,000$34,870-0.70%-0.46%
20081-6.02%-5.46%$44,173$32,967-6.02%-5.46%
20082-3.25%-1.39%$42,736$32,509-3.25%-1.39%
20083-0.44%0.85%$42,548$32,784-0.44%0.85%
200844.85%3.57%$44,613$33,9534.85%3.57%
200851.29%1.89%$45,190$34,5951.29%1.89%
20086-8.44%-6.43%$41,377$32,371-8.44%-6.43%
20087-0.83%0.43%$41,033$32,510-0.83%0.43%
200881.45%2.21%$41,626$33,2281.45%2.21%
20089-8.91%-5.78%$37,919$31,306-8.91%-5.78%
200810-16.79%-14.79%$31,551$26,675-16.79%-14.79%
200811-7.17%-3.56%$29,288$25,726-7.17%-3.56%
2008121.07%0.88%$29,600$25,9531.07%0.88%
20091-8.41%-5.96%$27,110$24,407-8.41%-5.96%
20092-10.66%-9.21%$24,221$22,158-10.66%-9.21%
200938.76%7.40%$26,343$23,7988.76%7.40%
200949.56%5.81%$28,861$25,1809.56%5.81%
200955.62%5.40%$30,482$26,5385.62%5.40%
200960.22%-0.87%$30,549$26,3090.22%-0.87%
200977.58%5.05%$32,864$27,6377.58%5.05%
200983.60%2.92%$34,047$28,4443.60%2.92%
200993.72%3.42%$35,312$29,4163.72%3.42%
200910-1.87%-0.08%$34,653$29,393-1.87%-0.08%
2009115.98%6.62%$36,725$31,3385.98%6.62%
2009121.95%0.82%$37,440$31,5961.95%0.82%
20101-3.60%-2.66%$36,091$30,756-3.60%-2.66%
201023.09%1.56%$37,207$31,2363.09%1.56%
201036.01%4.38%$39,444$32,6036.01%4.38%
201041.58%1.62%$40,066$33,1311.58%1.62%
20105-8.01%-7.60%$36,859$30,612-8.01%-7.60%
20106-5.24%-3.94%$34,928$29,406-5.24%-3.94%
201077.00%6.10%$37,371$31,2007.00%6.10%
20108-4.53%-3.26%$35,679$30,182-4.53%-3.26%
201098.92%7.95%$38,861$32,5828.92%7.95%
2010103.79%2.75%$40,333$33,4793.79%2.75%
2010110.00%-0.51%$40,333$33,3090.00%-0.51%
2010126.67%5.69%$43,024$35,2056.67%5.69%
201112.36%2.09%$44,038$35,9392.36%2.09%
201123.42%2.32%$45,542$36,7713.42%2.32%
201130.03%0.40%$45,554$36,9180.03%0.40%
201142.95%3.65%$46,897$38,2652.95%3.65%
20115-1.15%0.19%$46,360$38,338-1.15%0.19%
20116-1.67%-0.66%$45,584$38,084-1.67%-0.66%
20117-2.05%-3.05%$44,651$36,922-2.05%-3.05%
20118-5.45%-2.55%$42,219$35,982-5.45%-2.55%
20119-7.04%-4.33%$39,246$34,424-7.04%-4.33%
20111010.91%8.55%$43,529$37,36710.91%8.55%
201111-0.23%1.26%$43,428$37,837-0.23%1.26%
2011121.02%1.81%$43,870$38,5231.02%1.81%
201214.46%2.53%$45,828$39,4974.46%2.53%
201224.31%2.66%$47,802$40,5464.31%2.66%
201233.28%2.28%$49,370$41,4713.28%2.28%
20124-0.64%0.00%$49,055$41,471-0.64%0.00%
20125-6.02%-5.12%$46,103$39,347-6.02%-5.12%
201264.11%4.08%$47,997$40,9524.11%4.08%
201271.37%0.99%$48,655$41,3561.37%0.99%
201282.24%1.53%$49,744$41,9882.24%1.53%
201292.58%1.68%$51,026$42,6952.58%1.68%
201210-1.86%-1.18%$50,077$42,190-1.86%-1.18%
2012110.56%0.24%$50,357$42,2910.56%0.24%
2012120.90%0.55%$50,812$42,5240.90%0.55%
201315.18%5.29%$53,442$44,7735.18%5.29%
201321.34%1.60%$54,157$45,4881.34%1.60%
201333.74%3.76%$56,182$47,2013.74%3.76%
201341.91%3.09%$57,254$48,6571.91%3.09%
201352.33%1.26%$58,587$49,2712.33%1.26%
20136-1.35%-0.56%$57,796$48,997-1.35%-0.56%
201375.07%4.16%$60,727$51,0355.07%4.16%
20138-2.91%-2.63%$58,959$49,694-2.91%-2.63%
201393.12%3.12%$60,799$51,2423.12%3.12%
2013104.59%3.68%$63,588$53,1254.59%3.68%
2013113.03%3.30%$65,514$54,8803.03%3.30%
2013122.51%1.91%$67,161$55,9302.51%1.91%
20141-3.47%-4.26%$64,831$53,547-3.47%-4.26%
201424.56%4.74%$67,787$56,0874.56%4.74%
201430.82%1.60%$68,346$56,9820.82%1.60%
201440.72%0.41%$68,841$57,2180.72%0.41%
201452.33%1.24%$70,448$57,9272.33%1.24%
201462.05%0.99%$71,894$58,4992.05%0.99%
20147-1.39%-1.86%$70,896$57,414-1.39%-1.86%
201483.98%3.78%$73,719$59,5853.98%3.78%
20149-1.41%-0.49%$72,677$59,294-1.41%-0.49%
2014102.42%2.77%$74,438$60,9362.42%2.77%
2014112.68%2.82%$76,435$62,6572.68%2.82%
201412-0.26%-0.16%$76,233$62,555-0.26%-0.16%
20151-3.02%-2.69%$73,933$60,876-3.02%-2.69%
201525.74%4.94%$78,176$63,8835.74%4.94%
20153-1.59%-1.24%$76,930$63,091-1.59%-1.24%
201540.95%-0.04%$77,660$63,0640.95%-0.04%
201551.27%0.83%$78,649$63,5871.27%0.83%
20156-1.93%-2.31%$77,128$62,118-1.93%-2.31%
201572.08%3.58%$78,733$64,3402.08%3.58%
20158-6.04%-6.04%$73,976$60,452-6.04%-6.04%
20159-2.49%-0.60%$72,134$60,091-2.49%-0.60%
2015108.42%7.58%$78,210$64,6458.42%7.58%
2015110.29%0.39%$78,434$64,8950.29%0.39%
201512-1.59%-1.08%$77,185$64,196-1.59%-1.08%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value47.54%32.71%
Large-cap Growth52.01%50.06%
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%0.00%
Emerging Markets0.07%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%3.06%
Intermediate-Term Treasuries0.39%4.35%
Short-Term Treasuries0.00%9.82%
R Squared99.90%94.84%
Style analysis is based on monthly returns from Apr 2005 to Dec 2015 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

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

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
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 09/06/2018. © 2018 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2
Arithmetic Mean (monthly)0.81%0.72%
Arithmetic Mean (annualized)10.20%8.98%
Geometric Mean (monthly)0.72%0.66%
Geometric Mean (annualized)9.05%8.20%
Volatility (monthly)4.18%3.45%
Volatility (annualized)14.47%11.95%
Downside Deviation (monthly)2.80%2.23%
Max. Drawdown-50.97%-41.48%
US 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
Information Ratio-0.06-0.13
Diversification Ratio1.001.00
Skewness-0.68-0.59
Excess Kurtosis1.331.69
Historical Value-at-Risk (5%)-7.12%-5.35%
Analytical Value-at-Risk (5%)-6.06%-4.96%
Conditional Value-at-Risk (5%)-9.55%-7.57%
Upside Capture Ratio (%)95.7365.96
Downside Capture Ratio (%)95.2259.55
Positive Periods182 out of 283 (64.31%)174 out of 283 (61.48%)
Gain/Loss Ratio0.901.06
* 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%-1.71%
Russian Debt 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 (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%
4Aug 2015Sep 20152 months-8.38%
5Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
7Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
8Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
9Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2001Mar 20032 years 3 monthsAug 20063 years 5 months5 years 8 months-41.48%
2Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-37.95%
3Sep 1993Nov 19941 year 3 monthsMay 19956 months1 year 9 months-12.56%
4Jun 2011Sep 20114 monthsDec 20113 months7 months-10.21%
5Aug 2015Sep 20152 monthsOct 20151 month3 months-6.60%
6Jun 1999Sep 19994 monthsMar 20006 months10 months-6.37%
7Apr 1998Aug 19985 monthsSep 19981 month6 months-5.73%
8May 2012May 20121 monthAug 20123 months4 months-5.12%
9Jun 2000Jul 20002 monthsAug 20001 month3 months-5.04%
10Jan 1999Mar 19993 monthsApr 19991 month4 months-4.70%
Worst 10 drawdowns included above

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
TickerNameVFINXVDIGXPortfolio 1Portfolio 2
VFINXVanguard 500 Index Investor-0.781.000.78
VDIGXVanguard Dividend Growth Inv0.78-0.781.00

Portfolio Return Decomposition

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

Portfolio Risk Decomposition

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

Annual Asset Returns