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 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 25.00%
INUTX Columbia Dividend Opportunity A 25.00%
FRDPX Franklin Rising Dividends A 25.00%
VDIGX Vanguard Dividend Growth Inv 25.00%

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$65,029 8.48% 11.91%29.87%-30.49%-44.94% 0.530.780.89
   
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)Columbia Dividend Opportunity A (INUTX)Franklin Rising Dividends A (FRDPX)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
19932.75%9.89%19.41%18.77%-3.50%15.06%9.89%6.95%2.86% [$286]$10,98912.43%9.43%6.61% [$661]$11,243
19942.67%1.18%2.16%-7.06%-5.17%-8.55%1.18%-1.46%3.16% [$347]$11,118-4.66%-7.14%5.29% [$595]$10,720
19952.54%37.45%31.75%23.47%30.25%34.03%37.45%34.04%3.17% [$352]$15,28229.87%26.66%4.90% [$525]$13,922
19963.32%22.88%25.36%14.42%23.42%5.28%22.88%18.93%2.68% [$409]$18,77817.12%13.35%6.57% [$915]$16,306
19971.70%33.19%30.77%29.04%32.35%25.09%33.19%30.96%2.78% [$522]$25,01029.31%27.15%11.88% [$1,936]$21,085
19981.61%28.62%15.04%22.75%6.03%21.83%28.62%26.58%1.95% [$489]$32,16816.41%14.56%8.74% [$1,843]$24,545
19992.68%21.07%-2.82%8.72%-10.28%-2.96%21.07%17.90%2.13% [$684]$38,945-1.84%-4.40%8.46% [$2,077]$24,094
20003.39%-9.06%10.06%17.02%18.98%18.77%-9.06%-12.04%0.96% [$375]$35,41816.21%12.40%4.41% [$1,063]$27,999
20011.55%-12.02%-3.64%-22.98%13.11%-19.45%-12.02%-13.37%1.05% [$372]$31,160-8.24%-9.64%3.66% [$1,025]$25,692
20022.38%-22.15%-18.47%-21.47%-1.76%-23.16%-22.15%-23.95%1.29% [$402]$24,259-16.22%-18.16%1.84% [$473]$21,526
20031.88%28.50%25.17%16.59%23.70%29.20%28.50%26.13%1.77% [$430]$31,17423.66%21.38%1.97% [$424]$26,620
20043.26%10.74%11.90%13.72%10.28%11.01%10.74%7.25%1.91% [$596]$34,52211.73%8.21%2.07% [$552]$29,743
20053.42%4.77%3.35%7.41%2.32%4.23%4.77%1.31%1.79% [$616]$36,1704.33%0.88%2.70% [$803]$31,030
20062.54%15.64%16.45%23.25%17.36%19.58%15.64%12.78%1.87% [$678]$41,82719.16%16.21%4.15% [$1,287]$36,975
20074.08%5.39%7.07%5.36%-2.95%7.00%5.39%1.25%1.92% [$803]$44,0814.12%0.04%3.77% [$1,394]$38,498
20080.09%-37.02%-33.26%-35.92%-27.22%-25.57%-37.02%-37.08%1.87% [$824]$27,762-30.49%-30.56%2.25% [$867]$26,759
20092.72%26.49%26.15%28.71%17.05%21.74%26.49%23.13%2.56% [$710]$35,11423.41%20.14%2.56% [$685]$33,024
20101.50%14.91%13.26%16.87%19.08%11.42%14.91%13.22%1.93% [$677]$40,35115.16%13.46%2.20% [$726]$38,029
20112.96%1.97%3.53%6.57%7.21%9.43%1.97%-0.97%1.95% [$788]$41,1456.68%3.61%2.17% [$826]$40,570
20121.74%15.82%14.85%13.09%10.29%10.39%15.82%13.84%2.35% [$966]$47,65612.15%10.23%2.59% [$1,050]$45,501
20131.50%32.18%30.35%25.78%29.30%31.53%32.18%30.22%2.26% [$1,077]$62,98929.24%27.33%3.73% [$1,697]$58,806
20140.76%13.51%12.34%9.75%9.72%11.85%13.51%12.66%1.95% [$1,230]$71,49810.91%10.08%6.79% [$3,991]$65,225
20150.73%1.25%2.36%-2.64%-3.54%2.62%1.25%0.52%1.99% [$1,421]$72,391-0.30%-1.02%5.81% [$3,788]$65,029
Monthly returns for the configured portfolios
YearMonthVanguard 500 Index Investor (VFINX)T. Rowe Price Dividend Growth (PRDGX)Columbia Dividend Opportunity A (INUTX)Franklin Rising Dividends A (FRDPX)Vanguard Dividend Growth Inv (VDIGX)PF #1 ReturnPF #1 Month End BalancePF #2 ReturnPF #2 Month End Balance
199310.81%3.00%2.02%-0.99%2.10%0.81%$10,0811.53%$10,153
199321.36%2.43%4.27%-1.50%5.81%1.36%$10,2172.79%$10,436
199332.11%3.23%2.90%0.79%1.70%2.11%$10,4332.18%$10,664
19934-2.42%-0.83%-0.86%-3.54%-0.84%-2.42%$10,180-1.47%$10,508
199352.65%1.31%0.43%1.24%0.09%2.65%$10,4500.75%$10,587
199360.27%0.55%2.90%-1.14%3.67%0.27%$10,4781.58%$10,753
19937-0.42%0.00%1.56%0.07%2.15%-0.42%$10,4330.99%$10,859
199383.79%3.13%2.86%1.64%3.49%3.79%$10,8282.83%$11,167
19939-0.79%0.18%2.04%0.03%-0.08%-0.79%$10,7420.57%$11,230
1993102.08%1.89%0.54%1.43%0.00%2.08%$10,9650.93%$11,334
199311-1.00%-0.53%-4.55%-2.56%-4.04%-1.00%$10,856-2.96%$10,999
1993121.22%3.66%3.51%1.12%0.42%1.22%$10,9892.22%$11,243
199413.38%2.26%1.16%1.37%0.34%3.38%$11,3601.28%$11,388
19942-2.71%-2.13%-4.30%-3.66%-4.54%-2.71%$11,052-3.65%$10,972
19943-4.39%-3.06%-3.34%-4.89%-2.87%-4.39%$10,567-3.54%$10,584
199441.29%1.54%1.57%0.14%1.14%1.29%$10,7031.10%$10,701
199451.60%0.71%-1.54%1.34%-1.79%1.60%$10,875-0.32%$10,667
19946-2.45%-1.42%-1.19%-0.21%-1.64%-2.45%$10,609-1.11%$10,548
199473.28%2.35%2.57%0.91%3.25%3.28%$10,9562.26%$10,786
199484.08%3.00%1.10%4.29%0.38%4.08%$11,4032.21%$11,024
19949-2.45%-1.46%-1.60%-2.33%-2.17%-2.45%$11,124-1.88%$10,817
1994102.25%1.32%0.79%-0.41%0.39%2.25%$11,3740.53%$10,875
199411-3.65%-2.68%-4.10%-2.46%-1.86%-3.65%$10,958-2.78%$10,572
1994121.46%1.96%1.90%0.98%0.69%1.46%$11,1181.40%$10,720
199512.58%1.72%0.84%2.59%4.83%2.58%$11,4062.50%$10,987
199523.88%3.47%0.67%3.00%1.34%3.88%$11,8482.12%$11,220
199532.95%2.75%0.72%2.16%0.30%2.95%$12,1981.49%$11,387
199542.94%0.76%1.17%0.72%2.78%2.94%$12,5571.35%$11,541
199553.95%2.94%2.97%3.62%3.73%3.95%$13,0533.32%$11,924
199562.31%1.96%1.33%1.10%0.81%2.31%$13,3551.30%$12,079
199573.30%2.17%1.60%2.42%1.26%3.30%$13,7961.87%$12,304
199580.26%1.26%1.10%1.57%1.78%0.26%$13,8331.43%$12,481
199594.21%3.19%4.22%3.53%4.65%4.21%$14,4153.89%$12,967
199510-0.36%0.45%-0.15%-0.92%1.86%-0.36%$14,3630.32%$13,008
1995114.38%3.55%1.97%5.13%1.83%4.38%$14,9923.12%$13,414
1995121.93%3.73%4.97%1.95%4.59%1.93%$15,2823.79%$13,922
199613.39%2.10%1.43%2.03%1.26%3.39%$15,7991.70%$14,160
199620.92%1.56%-1.55%1.24%-2.34%0.92%$15,945-0.27%$14,122
199630.98%0.77%1.34%-0.22%-0.49%0.98%$16,1010.35%$14,172
199641.46%0.99%-0.14%-0.37%-0.16%1.46%$16,3350.08%$14,184
199652.54%1.89%0.57%2.84%0.16%2.54%$16,7511.38%$14,380
199660.38%0.76%3.37%0.99%3.93%0.38%$16,8152.22%$14,699
19967-4.42%-2.26%-4.70%-3.21%-4.42%-4.42%$16,072-3.63%$14,165
199682.10%2.73%1.74%2.30%1.07%2.10%$16,4091.98%$14,446
199695.61%4.84%2.56%5.09%0.32%5.61%$17,3293.27%$14,918
1996102.76%2.42%3.50%3.05%4.03%2.76%$17,8063.22%$15,398
1996117.56%6.45%4.33%6.93%3.24%7.56%$19,1535.31%$16,215
199612-1.96%0.83%1.44%0.94%-1.12%-1.96%$18,7780.56%$16,306
199716.22%3.36%1.72%1.96%1.49%6.22%$19,9452.13%$16,654
199720.79%2.19%-0.39%2.72%0.15%0.79%$20,1031.17%$16,849
19973-4.14%-2.70%-2.12%-3.11%-2.96%-4.14%$19,271-2.73%$16,390
199745.96%2.47%0.94%2.50%0.32%5.96%$20,4191.58%$16,648
199756.09%5.24%4.81%7.61%3.62%6.09%$21,6625.35%$17,538
199764.45%3.97%3.35%3.55%3.04%4.45%$22,6273.49%$18,150
199777.97%5.41%2.74%8.54%2.21%7.97%$24,4294.81%$19,023
19978-5.61%-3.54%-4.36%-2.06%-1.71%-5.61%$23,059-2.91%$18,469
199795.47%6.01%6.47%5.16%4.17%5.47%$24,3205.46%$19,477
199710-3.35%-1.21%-0.72%-2.45%0.44%-3.35%$23,505-1.05%$19,273
1997114.60%3.42%7.90%2.40%7.38%4.60%$24,5865.15%$20,264
1997121.72%3.05%6.16%2.27%4.89%1.72%$25,0104.05%$21,085
199811.11%0.55%-0.83%-0.45%-0.07%1.11%$25,288-0.20%$21,043
199827.19%4.94%2.16%7.95%1.80%7.19%$27,1074.21%$21,929
199835.10%4.43%8.95%2.75%6.84%5.10%$28,4905.69%$23,177
199841.01%-0.32%-3.14%-0.41%-2.38%1.01%$28,777-1.56%$22,815
19985-1.74%-1.65%-1.23%-3.83%-0.90%-1.74%$28,276-1.91%$22,379
199864.07%1.40%2.25%-1.33%1.56%4.07%$29,4270.97%$22,596
19987-1.05%-2.07%-1.45%-3.40%-1.67%-1.05%$29,117-2.14%$22,113
19988-14.47%-9.98%-4.94%-15.88%-2.42%-14.47%$24,902-8.23%$20,294
199896.41%5.38%7.64%5.00%8.52%6.41%$26,4996.72%$21,658
1998108.16%5.19%1.56%10.59%1.93%8.16%$28,6624.51%$22,636
1998116.07%3.94%2.74%3.61%2.14%6.07%$30,4033.08%$23,333
1998125.81%3.40%8.05%3.93%5.24%5.81%$32,1685.20%$24,545
199914.20%-2.50%-0.32%-5.27%-1.63%4.20%$33,520-2.43%$23,949
19992-3.12%-1.58%-4.13%-3.54%-2.70%-3.12%$32,472-2.99%$23,232
199934.00%1.17%0.98%-0.64%-0.42%4.00%$33,7700.28%$23,298
199943.85%6.09%4.95%7.74%5.16%3.85%$35,0715.96%$24,687
19995-2.39%-1.29%3.04%1.04%2.92%-2.39%$34,2331.42%$25,036
199965.56%3.21%1.24%3.62%-0.97%5.56%$36,1351.75%$25,475
19997-3.13%-2.37%-1.21%-1.62%-0.86%-3.13%$35,004-1.52%$25,088
19998-0.50%-2.61%-3.47%-4.19%-3.78%-0.50%$34,830-3.51%$24,207
19999-2.74%-3.60%-0.64%-5.81%-0.89%-2.74%$33,876-2.71%$23,550
1999106.33%2.94%4.49%0.89%3.74%6.33%$36,0193.06%$24,270
1999112.02%-0.89%-0.51%-1.21%-3.41%2.02%$36,748-1.50%$23,906
1999125.98%-0.97%4.48%-1.01%0.29%5.98%$38,9450.79%$24,094
20001-5.03%-3.02%0.21%-4.77%4.19%-5.03%$36,985-0.85%$23,891
20002-1.91%-7.04%-0.75%-0.33%-4.35%-1.91%$36,280-3.13%$23,142
200039.76%10.16%4.01%8.54%7.62%9.76%$39,8217.51%$24,880
20004-3.01%0.80%-3.43%-0.45%-1.48%-3.01%$38,624-1.16%$24,591
20005-2.04%1.84%-0.75%1.67%2.39%-2.04%$37,8371.31%$24,912
200062.49%0.49%-0.32%-5.46%-4.44%2.49%$38,778-2.50%$24,290
20007-1.49%-0.44%0.11%-0.95%-0.63%-1.49%$38,200-0.48%$24,174
200086.19%3.13%9.16%5.80%7.01%6.19%$40,5646.26%$25,687
20009-5.29%0.62%7.61%0.99%6.85%-5.29%$38,4194.09%$26,737
200010-0.43%2.08%-3.73%2.45%-2.74%-0.43%$38,253-0.63%$26,568
200011-7.88%-2.64%-3.48%1.61%-1.67%-7.88%$35,240-1.57%$26,150
2000120.50%4.63%8.36%9.54%5.73%0.50%$35,4187.07%$27,999
200113.55%0.50%-6.95%1.72%-6.07%3.55%$36,673-2.70%$27,243
20012-9.14%-3.77%-0.52%-0.52%-0.27%-9.14%$33,322-1.30%$26,889
20013-6.36%-3.40%1.22%-1.83%-0.54%-6.36%$31,204-1.17%$26,573
200147.77%5.15%6.40%5.05%5.12%7.77%$33,6295.43%$28,016
200150.65%1.59%-2.82%3.54%-2.23%0.65%$33,8480.07%$28,034
20016-2.45%-2.53%-7.45%0.25%-5.46%-2.45%$33,020-3.67%$27,005
20017-1.00%-0.61%-4.33%2.08%-5.53%-1.00%$32,690-1.88%$26,499
20018-6.27%-3.14%-2.94%-0.60%-2.03%-6.27%$30,639-2.10%$25,942
20019-8.09%-6.08%-3.87%-8.72%-5.41%-8.09%$28,160-6.21%$24,330
2001101.90%1.47%-3.30%1.54%-0.85%1.90%$28,693-0.14%$24,297
2001117.65%5.80%-1.77%6.94%-0.51%7.65%$30,8903.02%$25,030
2001120.87%2.06%1.30%3.83%3.02%0.87%$31,1602.65%$25,692
20021-1.47%-0.82%-5.17%2.30%-3.45%-1.47%$30,700-1.79%$25,234
20022-1.94%-0.68%-1.68%2.52%-0.09%-1.94%$30,1060.06%$25,249
200233.74%3.96%5.88%5.02%6.90%3.74%$31,2335.42%$26,617
20024-6.07%-4.37%-3.78%1.25%-2.55%-6.07%$29,336-2.29%$26,008
20025-0.75%-0.30%-3.23%-0.62%-2.70%-0.75%$29,114-1.67%$25,574
20026-7.13%-6.76%-3.68%-3.55%-4.16%-7.13%$27,037-4.52%$24,419
20027-7.72%-7.96%-10.47%-6.39%-11.88%-7.72%$24,950-9.07%$22,204
200280.65%0.98%2.20%1.45%2.90%0.65%$25,1131.86%$22,617
20029-10.87%-10.06%-9.97%-8.90%-10.38%-10.87%$22,382-9.78%$20,404
2002108.78%6.50%4.83%4.77%3.64%8.78%$24,3484.93%$21,409
2002115.88%5.32%1.77%3.21%2.64%5.88%$25,7783.26%$22,107
200212-5.89%-4.49%0.93%-1.77%-5.14%-5.89%$24,259-2.63%$21,526
20031-2.62%-3.22%-2.78%-3.85%-3.53%-2.62%$23,622-3.34%$20,806
20032-1.52%-2.28%-3.39%-1.90%-1.53%-1.52%$23,264-2.28%$20,332
200330.96%0.81%2.41%-0.04%-0.48%0.96%$23,4860.67%$20,469
200348.25%8.16%5.10%8.39%7.70%8.25%$25,4257.33%$21,969
200355.26%5.86%6.93%4.74%7.15%5.26%$26,7636.17%$23,324
200361.26%0.87%1.78%0.19%2.07%1.26%$27,1001.23%$23,611
200371.74%1.14%-4.33%3.67%0.93%1.74%$27,5730.33%$23,690
200381.93%1.67%1.01%1.30%2.35%1.93%$28,1061.59%$24,067
20039-1.07%-0.85%1.63%-0.55%-0.90%-1.07%$27,805-0.20%$24,020
2003105.64%5.04%1.32%6.95%4.93%5.64%$29,3734.59%$25,123
2003110.86%1.33%1.30%0.48%1.82%0.86%$29,6271.23%$25,432
2003125.22%4.75%5.13%2.76%6.07%5.22%$31,1744.67%$26,620
200411.82%1.16%1.08%1.15%1.61%1.82%$31,7411.25%$26,953
200421.38%1.72%0.30%1.77%1.77%1.38%$32,1791.39%$27,327
20043-1.51%-1.50%-1.74%-0.82%-1.30%-1.51%$31,692-1.34%$26,961
20044-1.58%-1.62%-2.02%-1.78%-1.23%-1.58%$31,192-1.66%$26,513
200451.36%0.82%0.48%1.68%0.18%1.36%$31,6150.79%$26,723
200461.93%2.21%1.88%2.22%2.39%1.93%$32,2252.18%$27,305
20047-3.31%-2.88%-0.31%-2.39%-2.62%-3.31%$31,158-2.07%$26,741
200480.38%0.97%2.20%1.33%0.63%0.38%$31,2781.28%$27,083
200491.07%1.25%1.60%0.03%1.61%1.07%$31,6111.12%$27,386
2004101.51%1.90%1.68%-0.52%0.79%1.51%$32,0900.96%$27,649
2004114.05%4.06%5.25%4.27%3.66%4.05%$33,3894.31%$28,841
2004123.39%3.42%2.76%3.12%3.21%3.39%$34,5223.13%$29,743
20051-2.45%-2.18%-0.98%-2.27%-2.14%-2.45%$33,674-1.89%$29,180
200522.09%1.61%4.09%1.50%2.69%2.09%$34,3792.48%$29,902
20053-1.76%-1.36%-2.11%-1.72%-1.64%-1.76%$33,774-1.71%$29,391
20054-1.91%-2.23%-0.42%-1.82%-0.67%-1.91%$33,129-1.27%$29,016
200553.17%2.87%1.40%2.21%1.68%3.17%$34,1782.03%$29,605
200560.13%0.44%1.57%-0.67%-0.91%0.13%$34,2210.12%$29,640
200573.71%3.14%2.19%3.14%3.11%3.71%$35,4902.89%$30,496
20058-0.91%-1.20%0.00%-2.98%-0.49%-0.91%$35,166-1.15%$30,145
200590.79%0.26%1.06%-0.38%0.66%0.79%$35,4450.41%$30,270
200510-1.68%-1.43%-2.27%0.45%-1.46%-1.68%$34,850-1.21%$29,903
2005113.76%3.39%2.19%3.90%3.30%3.76%$36,1623.18%$30,854
2005120.02%0.22%0.64%1.22%0.23%0.02%$36,1700.57%$31,030
200612.65%2.06%3.49%3.18%2.66%2.65%$37,1272.85%$31,913
200620.26%0.90%0.52%2.24%1.18%0.26%$37,2241.21%$32,300
200631.23%1.79%0.69%1.73%1.32%1.23%$37,6821.38%$32,746
200641.33%1.69%3.09%0.95%1.07%1.33%$38,1851.70%$33,301
20065-2.90%-2.25%-2.50%-2.54%-2.04%-2.90%$37,079-2.33%$32,524
200660.13%-0.55%0.98%-0.47%0.10%0.13%$37,1260.02%$32,529
200670.61%0.30%3.45%0.15%2.50%0.61%$37,3511.61%$33,052
200682.36%1.97%1.85%3.87%2.51%2.36%$38,2342.55%$33,893
200692.56%2.82%1.46%2.40%1.78%2.56%$39,2142.10%$34,607
2006103.25%2.88%3.49%2.26%2.92%3.25%$40,4892.89%$35,606
2006111.89%1.76%2.21%1.83%1.63%1.89%$41,2541.86%$36,269
2006121.39%2.07%2.53%0.66%2.51%1.39%$41,8271.95%$36,975
200711.49%1.58%1.34%1.73%1.17%1.49%$42,4521.45%$37,512
20072-1.97%-1.59%-0.99%-1.97%-1.97%-1.97%$41,616-1.63%$36,900
200731.11%0.91%2.69%-0.36%0.83%1.11%$42,0791.02%$37,277
200744.42%4.77%3.60%2.64%4.60%4.42%$43,9383.90%$38,731
200753.48%3.76%3.48%3.88%3.48%3.48%$45,4653.65%$40,144
20076-1.68%-0.83%-1.09%-1.39%-1.07%-1.68%$44,703-1.10%$39,704
20077-3.08%-3.48%-3.94%-3.66%-2.59%-3.08%$43,324-3.42%$38,347
200781.50%0.84%1.73%1.66%0.80%1.50%$43,9731.25%$38,827
200793.72%3.32%2.81%2.13%3.49%3.72%$45,6112.94%$39,969
2007101.58%1.61%2.08%-1.73%0.70%1.58%$46,3310.69%$40,245
200711-4.19%-3.20%-4.17%-3.69%-1.90%-4.19%$44,391-3.24%$38,942
200712-0.70%-0.43%-1.87%-1.85%-0.46%-0.70%$44,081-1.14%$38,498
20081-6.02%-4.90%-5.34%-3.29%-5.46%-6.02%$41,429-4.75%$36,670
20082-3.25%-3.38%-3.45%-2.45%-1.39%-3.25%$40,082-2.67%$35,691
20083-0.44%0.42%-1.83%1.45%0.85%-0.44%$39,9050.24%$35,775
200844.85%4.06%3.79%2.73%3.57%4.85%$41,8423.53%$37,037
200851.29%1.54%1.18%1.60%1.89%1.29%$42,3831.56%$37,613
20086-8.44%-6.99%-9.17%-9.39%-6.43%-8.44%$38,807-7.98%$34,610
20087-0.83%0.22%-0.52%2.36%0.43%-0.83%$38,4840.64%$34,831
200881.45%1.45%0.78%0.58%2.21%1.45%$39,0411.27%$35,271
20089-8.91%-8.82%-6.97%-7.39%-5.78%-8.91%$35,564-7.23%$32,720
200810-16.79%-17.34%-14.73%-12.83%-14.79%-16.79%$29,592-14.91%$27,842
200811-7.17%-5.89%-7.57%-5.84%-3.56%-7.17%$27,469-5.66%$26,268
2008121.07%2.06%1.84%2.75%0.88%1.07%$27,7621.87%$26,759
20091-8.41%-7.09%-10.27%-10.90%-5.96%-8.41%$25,426-8.55%$24,471
20092-10.66%-8.41%-10.06%-10.17%-9.21%-10.66%$22,716-9.45%$22,158
200938.76%7.32%8.36%8.82%7.40%8.76%$24,7067.96%$23,921
200949.56%10.33%8.42%8.58%5.81%9.56%$27,0688.28%$25,901
200955.62%4.71%6.44%4.11%5.40%5.62%$28,5895.16%$27,237
200960.22%0.40%0.61%0.85%-0.87%0.22%$28,6520.24%$27,304
200977.58%5.83%9.14%6.64%5.05%7.58%$30,8236.66%$29,122
200983.60%3.06%3.94%3.12%2.92%3.60%$31,9323.26%$30,071
200993.72%3.44%3.69%2.18%3.42%3.72%$33,1193.19%$31,032
200910-1.87%-1.39%-1.54%-1.87%-0.08%-1.87%$32,500-1.22%$30,652
2009115.98%5.47%6.26%5.64%6.62%5.98%$34,4446.00%$32,490
2009121.95%1.48%3.00%1.20%0.82%1.95%$35,1141.64%$33,024
20101-3.60%-3.03%-3.90%-1.47%-2.66%-3.60%$33,849-2.76%$32,111
201023.09%2.47%1.95%3.02%1.56%3.09%$34,8962.25%$32,834
201036.01%5.36%6.05%5.29%4.38%6.01%$36,9945.27%$34,564
201041.58%2.01%0.42%2.65%1.62%1.58%$37,5781.68%$35,146
20105-8.01%-8.58%-7.82%-5.52%-7.60%-8.01%$34,570-7.36%$32,557
20106-5.24%-4.98%-3.54%-4.39%-3.94%-5.24%$32,758-4.22%$31,184
201077.00%6.47%8.08%6.36%6.10%7.00%$35,0506.75%$33,288
20108-4.53%-4.48%-1.91%-2.75%-3.26%-4.53%$33,463-3.09%$32,259
201098.92%8.28%8.61%8.07%7.95%8.92%$36,4478.23%$34,914
2010103.79%3.38%3.62%2.72%2.75%3.79%$37,8283.11%$36,000
2010110.00%0.37%-0.81%-0.06%-0.51%0.00%$37,828-0.25%$35,909
2010126.67%6.84%6.43%4.71%5.69%6.67%$40,3515.90%$38,029
201112.36%2.10%0.90%-0.03%2.09%2.36%$41,3021.26%$38,509
201123.42%3.77%3.82%3.50%2.32%3.42%$42,7133.35%$39,798
201130.03%-0.04%2.48%0.50%0.40%0.03%$42,7240.83%$40,130
201142.95%2.90%3.50%4.36%3.65%2.95%$43,9843.60%$41,573
20115-1.15%-0.52%-0.23%0.00%0.19%-1.15%$43,480-0.14%$41,514
20116-1.67%-1.37%-2.06%-1.12%-0.66%-1.67%$42,753-1.31%$40,971
20117-2.05%-2.84%-3.37%-2.81%-3.05%-2.05%$41,878-3.02%$39,735
20118-5.45%-5.00%-3.24%-3.09%-2.55%-5.45%$39,597-3.47%$38,358
20119-7.04%-6.42%-6.17%-5.42%-4.33%-7.04%$36,808-5.58%$36,217
20111010.91%10.86%9.70%9.39%8.55%10.91%$40,8269.61%$39,697
201111-0.23%0.13%0.25%0.99%1.26%-0.23%$40,7300.66%$39,960
2011121.02%1.00%1.76%1.52%1.81%1.02%$41,1451.53%$40,570
201214.46%3.90%2.50%2.70%2.53%4.46%$42,9822.91%$41,750
201224.31%3.01%4.27%1.51%2.66%4.31%$44,8332.86%$42,945
201233.28%2.92%1.63%2.95%2.28%3.28%$46,3042.44%$43,994
20124-0.64%0.08%-0.23%-0.67%0.00%-0.64%$46,008-0.20%$43,904
20125-6.02%-5.54%-5.46%-3.69%-5.12%-6.02%$43,239-4.96%$41,726
201264.11%3.77%4.22%1.62%4.08%4.11%$45,0163.42%$43,154
201271.37%1.36%2.26%0.72%0.99%1.37%$45,6321.33%$43,730
201282.24%1.81%0.70%1.04%1.53%2.24%$46,6541.27%$44,286
201292.58%2.36%2.20%2.46%1.68%2.58%$47,8562.18%$45,250
201210-1.86%-0.95%-0.91%-1.69%-1.18%-1.86%$46,967-1.18%$44,717
2012110.56%0.73%0.11%2.26%0.24%0.56%$47,2300.82%$45,085
2012120.90%0.84%1.45%0.85%0.55%0.90%$47,6560.92%$45,501
201315.18%5.28%5.52%5.08%5.29%5.18%$50,1225.29%$47,909
201321.34%1.41%0.98%2.19%1.60%1.34%$50,7941.54%$48,648
201333.74%3.49%3.93%3.55%3.76%3.74%$52,6933.68%$50,439
201341.91%1.76%2.19%1.02%3.09%1.91%$53,6982.01%$51,454
201352.33%1.69%0.10%1.88%1.26%2.33%$54,9481.23%$52,089
20136-1.35%-0.70%-0.59%-0.88%-0.56%-1.35%$54,206-0.68%$51,734
201375.07%4.58%4.12%5.83%4.16%5.07%$56,9554.67%$54,151
20138-2.91%-3.09%-3.27%-3.06%-2.63%-2.91%$55,297-3.01%$52,521
201393.12%3.65%2.76%3.29%3.12%3.12%$57,0233.21%$54,205
2013104.59%4.02%4.21%3.87%3.68%4.59%$59,6383.94%$56,342
2013113.03%2.72%1.44%2.10%3.30%3.03%$61,4452.40%$57,692
2013122.51%2.30%2.08%1.44%1.91%2.51%$62,9891.93%$58,806
20141-3.47%-3.48%-3.64%-4.21%-4.26%-3.47%$60,804-3.90%$56,515
201424.56%4.13%3.98%4.85%4.74%4.56%$63,5774.42%$59,015
201430.82%0.98%1.88%0.85%1.60%0.82%$64,1011.32%$59,796
201440.72%-0.44%2.04%0.33%0.41%0.72%$64,5650.59%$60,147
201452.33%2.60%1.43%1.36%1.24%2.33%$66,0721.65%$61,141
201462.05%1.75%2.08%1.60%0.99%2.05%$67,4281.61%$62,124
20147-1.39%-2.18%-1.85%-2.63%-1.86%-1.39%$66,492-2.13%$60,801
201483.98%3.39%3.20%3.42%3.78%3.98%$69,1403.45%$62,897
20149-1.41%-1.04%-1.00%-1.93%-0.49%-1.41%$68,163-1.11%$62,198
2014102.42%2.81%1.02%2.78%2.77%2.42%$69,8152.33%$63,650
2014112.68%3.34%2.02%2.90%2.82%2.68%$71,6882.77%$65,413
201412-0.26%0.15%-1.53%0.41%-0.16%-0.26%$71,498-0.29%$65,225
20151-3.02%-2.91%-1.58%-4.17%-2.69%-3.02%$69,341-2.84%$63,375
201525.74%5.99%3.64%5.69%4.94%5.74%$73,3205.06%$66,581
20153-1.59%-1.10%-2.96%-1.17%-1.24%-1.59%$72,152-1.62%$65,505
201540.95%-0.14%2.90%0.33%-0.04%0.95%$72,8370.75%$65,997
201551.27%1.73%0.00%1.40%0.83%1.27%$73,7640.99%$66,648
20156-1.93%-1.97%-3.18%-2.09%-2.31%-1.93%$72,338-2.39%$65,058
201572.08%1.96%0.65%0.27%3.58%2.08%$73,8431.62%$66,110
20158-6.04%-5.73%-6.05%-6.25%-6.04%-6.04%$69,381-6.02%$62,132
20159-2.49%-2.00%-1.94%-2.89%-0.60%-2.49%$67,654-1.85%$60,983
2015108.42%7.76%8.88%8.53%7.58%8.42%$73,3528.17%$65,967
2015110.29%0.76%-0.76%0.00%0.39%0.29%$73,5620.11%$66,037
201512-1.59%-1.24%-1.47%-2.36%-1.08%-1.59%$72,391-1.53%$65,029

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 Blend25.00%$14,78025.33%Asset Allocation, Capitalization, Sector
INUTXColumbia Dividend Opportunity ALarge Value25.00%$12,75525.85%Asset Allocation, Capitalization, Sector
FRDPXFranklin Rising Dividends ALarge Blend25.00%$13,56324.99%Asset Allocation, Capitalization, Sector
VDIGXVanguard Dividend Growth InvLarge Blend25.00%$13,93123.83%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%0.74%
Mean Return (annualized)10.16%9.25%
Compound Return (monthly)0.72%0.68%
Compound Return (annualized)8.99%8.48%
Volatility (monthly)4.21%3.43%
Volatility (annualized)14.60%11.91%
Downside Deviation (monthly)2.83%2.25%
Max. Drawdown-50.97%-44.94%
Market Correlation0.990.89
Beta(*)0.960.71
Alpha (annualized)0.26%1.93%
R297.52%79.28%
Sharpe Ratio0.490.53
Sortino Ratio0.710.78
Treynor Ratio (%)7.408.90
Diversification Ratio1.001.07
Skewness-0.68-0.64
Excess Kurtosis1.281.76
Historical Value-at-Risk (95%)-7.14%-5.05%
Delta Normal Value-at-Risk (95%)-6.92%-5.65%
Conditional Value-at-Risk (95%)-9.74%-8.16%
Positive Periods177 out of 276 (64.13%)179 out of 276 (64.86%)
Gain/Loss Ratio0.900.94

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Asian CrisisJul 1997Jan 1998-5.61%-2.91%
Russian Crisis / LTCM DefaultJul 1998Oct 1998-15.38%-10.19%
Dotcom CrashMar 2000Oct 2002-44.82%-27.22%
Subprime CrisisNov 2007Mar 2009-50.97%-44.94%

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-44.94%
2Jun 2001Feb 20031 year 9 monthsNov 20043 years 6 months-27.47%
3May 2011Sep 20115 monthsJan 20129 months-12.88%
4Apr 1998Aug 19985 monthsNov 19988 months-12.44%
5Jul 1999Feb 20008 monthsAug 20001 year 2 months-9.16%
6Jun 2015Sep 20154 months-8.50%
7Feb 1994Jun 19945 monthsApr 19951 year 3 months-7.38%
8Jan 1999Feb 19992 monthsApr 19994 months-5.35%
9Apr 2012May 20122 monthsAug 20125 months-5.15%
10Jan 2001Mar 20013 monthsApr 20014 months-5.09%
11Jun 2007Jul 20072 monthsOct 20075 months-4.48%
12Jan 2014Jan 20141 monthFeb 20142 months-3.90%
13Jul 1996Jul 19961 monthSep 19963 months-3.63%
14Dec 2014Jan 20152 monthsFeb 20153 months-3.11%
15Aug 2013Aug 20131 monthSep 20132 months-3.01%
16Mar 2005Apr 20052 monthsJul 20055 months-2.96%
17Nov 1993Nov 19931 monthJan 19943 months-2.96%
18Aug 1997Aug 19971 monthSep 19972 months-2.91%
19Mar 1997Mar 19971 monthMay 19973 months-2.73%
20May 2006May 20061 monthAug 20064 months-2.33%
21Oct 2000Nov 20002 monthsDec 20003 months-2.19%
22Jul 2014Jul 20141 monthAug 20142 months-2.13%
23Aug 2005Oct 20053 monthsNov 20054 months-1.94%
24Jan 2005Jan 20051 monthFeb 20052 months-1.89%
25Feb 2007Feb 20071 monthApr 20073 months-1.63%
26Mar 2015Mar 20151 monthMay 20153 months-1.62%
27Apr 1993Apr 19931 monthJun 19933 months-1.47%
28Oct 2012Oct 20121 monthDec 20123 months-1.18%
29Sep 2014Sep 20141 monthOct 20142 months-1.11%
30Oct 1997Oct 19971 monthNov 19972 months-1.05%
31Jun 2013Jun 20131 monthJul 20132 months-0.68%
32Feb 1996Feb 19961 monthMar 19962 months-0.27%
33Jan 1998Jan 19981 monthFeb 19982 months-0.20%

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
INUTXColumbia Dividend Opportunity A7.68%13.15%29.04%-35.92%-51.37%0.440.640.80
FRDPXFranklin Rising Dividends A8.40%12.99%32.35%-27.22%-46.63%0.490.720.85
VDIGXVanguard Dividend Growth Inv7.85%12.03%34.03%-25.57%-41.48%0.480.700.77

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXPRDGXINUTXFRDPXVDIGXPF #1PF #2
VFINXVanguard 500 Index Investor-0.940.800.860.781.000.90
PRDGXT. Rowe Price Dividend Growth0.94-0.840.900.860.940.96
INUTXColumbia Dividend Opportunity A0.800.84-0.760.920.800.94
FRDPXFranklin Rising Dividends A0.860.900.76-0.780.860.92
VDIGXVanguard Dividend Growth Inv0.780.860.920.78-0.780.94

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePF #1PF #2
VFINXVanguard 500 Index Investor$62,391
PRDGXT. Rowe Price Dividend Growth$14,780
INUTXColumbia Dividend Opportunity A$12,755
FRDPXFranklin Rising Dividends A$13,563
VDIGXVanguard Dividend Growth Inv$13,931

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePF #1PF #2
VFINXVanguard 500 Index Investor100.00%
PRDGXT. Rowe Price Dividend Growth25.33%
INUTXColumbia Dividend Opportunity A25.85%
FRDPXFranklin Rising Dividends A24.99%
VDIGXVanguard Dividend Growth Inv23.83%

Annual Asset Returns