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 »
VIVAX Vanguard Value Index Inv 100.00%
Portfolio 3
Ticker Name Allocation
Save portfolio »
VIGRX Vanguard Growth Index Investor 100.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRIRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
* The number in parenthesis shows the calculated value taking into account the periodic withdrawals.
1$100,000$427,421 6.52% 9.42%14.60%37.45%-37.02%-50.97%
(-53.93%)
0.490.710.99
2$100,000$443,054 6.69% 9.54%14.85%37.03%-35.97%-54.86%
(-56.82%)
0.490.700.94
3$100,000$412,608 6.36% 9.29%15.71%42.21%-38.32%-53.58%
(-61.99%)
0.470.680.96
   
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
  • IRR = Internal Rate of Return taking into account the periodic contributions/withdrawals
  • 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
  • Inflation adjusted annual withdrawal starting with $4,110 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
Annual returns for the configured portfolios
YearInflationVanguard 500 Index Investor (VFINX)Vanguard Value Index Inv (VIVAX)Vanguard Growth Index Investor (VIGRX)Annual AdjustmentPF #1 ReturnPF #1 Inflation Adjusted ReturnPF #1 Year End BalancePF #2 ReturnPF #2 Inflation Adjusted ReturnPF #2 Year End BalancePF #3 ReturnPF #3 Inflation Adjusted ReturnPF #3 Year End Balance
19932.75%9.89%18.25%1.53%-$4,1109.89%6.95%$105,78218.25%15.09%$114,1391.53%-1.19%$97,417
19942.67%1.18%-0.65%2.89%-$4,2201.18%-1.46%$102,807-0.65%-3.24%$109,1802.89%0.21%$96,013
19952.54%37.45%37.03%38.06%-$4,32737.45%34.04%$136,97637.03%33.64%$145,28338.06%34.65%$128,232
19963.32%22.88%21.78%23.74%-$4,47122.88%18.93%$163,84121.78%17.86%$172,45523.74%19.76%$154,202
19971.70%33.19%29.77%36.34%-$4,54733.19%30.96%$213,67429.77%27.59%$219,24336.34%34.06%$205,694
19981.61%28.62%14.64%42.21%-$4,62028.62%26.58%$270,20114.64%12.82%$246,72642.21%39.95%$287,888
19992.68%21.07%12.57%28.76%-$4,74421.07%17.90%$322,38412.57%9.63%$272,99128.76%25.39%$365,938
20003.39%-9.06%6.08%-22.21%-$4,905-9.06%-12.04%$288,2846.08%2.61%$284,688-22.21%-24.76%$279,763
20011.55%-12.02%-11.88%-12.93%-$4,981-12.02%-13.37%$248,642-11.88%-13.22%$245,899-12.93%-14.26%$238,613
20022.38%-22.15%-20.91%-23.68%-$5,099-22.15%-23.95%$188,481-20.91%-22.74%$189,390-23.68%-25.45%$177,019
20031.88%28.50%32.25%25.92%-$5,19528.50%26.13%$237,00632.25%29.81%$245,26825.92%23.60%$217,712
20043.26%10.74%15.28%7.20%-$5,36410.74%7.25%$257,09715.28%11.64%$277,3737.20%3.82%$228,024
20053.42%4.77%7.09%5.09%-$5,5484.77%1.31%$263,8247.09%3.55%$291,4865.09%1.62%$234,076
20062.54%15.64%22.15%9.01%-$5,68915.64%12.78%$299,40222.15%19.12%$350,3579.01%6.31%$249,486
20074.08%5.39%0.09%12.56%-$5,9215.39%1.25%$309,6090.09%-3.84%$344,73412.56%8.15%$274,913
20080.09%-37.02%-35.97%-38.32%-$5,926-37.02%-37.08%$189,064-35.97%-36.03%$214,815-38.32%-38.38%$163,639
20092.72%26.49%19.58%36.29%-$6,08726.49%23.13%$233,05119.58%16.41%$250,78036.29%32.68%$216,938
20101.50%14.91%14.28%16.96%-$6,17814.91%13.22%$261,62914.28%12.60%$280,41816.96%15.23%$247,548
20112.96%1.97%1.00%1.71%-$6,3611.97%-0.97%$260,4111.00%-1.91%$276,8471.71%-1.22%$245,415
20121.74%15.82%15.00%16.89%-$6,47215.82%13.84%$295,14815.00%13.03%$311,90916.89%14.89%$280,383
20131.50%32.18%32.85%32.16%-$6,56932.18%30.22%$383,54432.85%30.89%$407,80432.16%30.21%$363,998
20140.76%13.51%13.05%13.47%-$6,61913.51%12.66%$428,73613.05%12.20%$454,41513.47%12.61%$406,392
20150.73%1.25%-1.03%3.17%-$6,6671.25%0.52%$427,421-1.03%-1.75%$443,0543.17%2.42%$412,608
Monthly returns for the configured portfolios
YearMonthVanguard 500 Index Investor (VFINX)Vanguard Value Index Inv (VIVAX)Vanguard Growth Index Investor (VIGRX)PF #1 ReturnPF #1 Month End BalancePF #2 ReturnPF #2 Month End BalancePF #3 ReturnPF #3 Month End Balance
* End-of-month balance for each December includes the annual contribution/withdrawal
199310.81%2.72%-1.17%0.81%$100,8052.72%$102,718-1.17%$98,830
199321.36%3.40%-0.79%1.36%$102,1723.40%$106,214-0.79%$98,051
199332.11%2.75%1.40%2.11%$104,3262.75%$109,1301.40%$99,421
19934-2.42%-0.45%-4.63%-2.42%$101,797-0.45%$108,641-4.63%$94,817
199352.65%1.89%3.62%2.65%$104,4971.89%$110,6933.62%$98,246
199360.27%1.34%-0.89%0.27%$104,7771.34%$112,173-0.89%$97,371
19937-0.42%1.23%-2.12%-0.42%$104,3331.23%$113,549-2.12%$95,304
199383.79%3.90%3.62%3.79%$108,2823.90%$117,9733.62%$98,749
19939-0.79%-0.08%-1.49%-0.79%$107,422-0.08%$117,880-1.49%$97,276
1993102.08%0.50%3.66%2.08%$109,6540.50%$118,4733.66%$100,838
199311-1.00%-1.84%0.00%-1.00%$108,563-1.84%$116,2980.00%$100,838
1993121.22%1.68%0.68%1.22%$105,7821.68%$114,1390.68%$97,417
199413.38%4.69%2.06%3.38%$109,3544.69%$119,4902.06%$99,423
19942-2.71%-3.58%-1.73%-2.71%$106,386-3.58%$115,209-1.73%$97,704
19943-4.39%-4.13%-4.71%-4.39%$101,717-4.13%$110,446-4.71%$93,099
199441.29%2.06%0.52%1.29%$103,0292.06%$112,7190.52%$93,579
199451.60%1.58%1.54%1.60%$104,6821.58%$114,4971.54%$95,018
19946-2.45%-2.60%-2.13%-2.45%$102,120-2.60%$111,519-2.13%$92,996
199473.28%3.39%3.22%3.28%$105,4673.39%$115,2963.22%$95,986
199484.08%2.76%5.33%4.08%$109,7652.76%$118,4765.33%$101,099
19949-2.45%-3.52%-1.43%-2.45%$107,080-3.52%$114,304-1.43%$99,654
1994102.25%2.10%2.33%2.25%$109,4862.10%$116,7042.33%$101,980
199411-3.65%-4.03%-3.33%-3.65%$105,485-4.03%$112,004-3.33%$98,587
1994121.46%1.25%1.67%1.46%$102,8071.25%$109,1801.67%$96,013
199512.58%2.70%2.53%2.58%$105,4622.70%$112,1262.53%$98,441
199523.88%3.85%3.80%3.88%$109,5533.85%$116,4463.80%$102,177
199532.95%2.80%3.11%2.95%$112,7892.80%$119,7033.11%$105,351
199542.94%3.30%2.67%2.94%$116,1063.30%$123,6532.67%$108,166
199553.95%4.39%3.56%3.95%$120,6984.39%$129,0853.56%$112,012
199562.31%0.77%3.77%2.31%$123,4870.77%$130,0743.77%$116,235
199573.30%3.51%3.24%3.30%$127,5673.51%$134,6413.24%$120,002
199580.26%0.81%-0.31%0.26%$127,9050.81%$135,734-0.31%$119,626
199594.21%3.52%4.88%4.21%$133,2923.52%$140,5084.88%$125,466
199510-0.36%-1.56%0.83%-0.36%$132,807-1.56%$138,3120.83%$126,506
1995114.38%5.19%3.59%4.38%$138,6255.19%$145,4973.59%$131,044
1995121.93%2.83%1.16%1.93%$136,9762.83%$145,2831.16%$128,232
199613.39%2.91%3.79%3.39%$141,6132.91%$149,5043.79%$133,097
199620.92%0.92%0.90%0.92%$142,9210.92%$150,8780.90%$134,290
199630.98%2.32%-0.42%0.98%$144,3172.32%$154,383-0.42%$133,726
199641.46%1.10%1.87%1.46%$146,4191.10%$156,0851.87%$136,223
199652.54%1.48%3.60%2.54%$150,1451.48%$158,3873.60%$141,124
199660.38%-0.50%1.25%0.38%$150,720-0.50%$157,5891.25%$142,882
19967-4.42%-4.28%-4.55%-4.42%$144,057-4.28%$150,851-4.55%$136,388
199682.10%2.80%1.43%2.10%$147,0772.80%$155,0751.43%$138,336
199695.61%4.22%6.91%5.61%$155,3224.22%$161,6146.91%$147,894
1996102.76%3.37%2.20%2.76%$159,6033.37%$167,0682.20%$151,151
1996117.56%7.68%7.45%7.56%$171,6747.68%$179,8977.45%$162,413
199612-1.96%-1.65%-2.30%-1.96%$163,841-1.65%$172,455-2.30%$154,202
199716.22%4.58%7.87%6.22%$174,0274.58%$180,3597.87%$166,338
199720.79%0.73%0.82%0.79%$175,4010.73%$181,6760.82%$167,706
19973-4.14%-3.48%-4.80%-4.14%$168,147-3.48%$175,345-4.80%$159,657
199745.96%3.78%8.08%5.96%$178,1613.78%$181,9738.08%$172,558
199756.09%6.26%5.89%6.09%$189,0076.26%$193,3665.89%$182,713
199764.45%3.80%5.06%4.45%$197,4253.80%$200,7155.06%$191,954
199777.97%7.98%7.88%7.97%$213,1517.98%$216,7227.88%$207,086
19978-5.61%-4.51%-6.64%-5.61%$201,195-4.51%$206,951-6.64%$193,329
199795.47%5.83%5.08%5.47%$212,1995.83%$219,0125.08%$203,143
199710-3.35%-3.71%-2.99%-3.35%$205,090-3.71%$210,878-2.99%$197,077
1997114.60%3.81%5.41%4.60%$214,5213.81%$218,9085.41%$207,739
1997121.72%2.23%1.20%1.72%$213,6742.23%$219,2431.20%$205,694
199811.11%-1.25%3.37%1.11%$216,046-1.25%$216,5093.37%$212,633
199827.19%7.53%6.91%7.19%$231,5857.53%$232,8086.91%$227,332
199835.10%5.02%5.14%5.10%$243,4045.02%$244,4905.14%$239,022
199841.01%1.18%0.84%1.01%$245,8571.18%$247,3850.84%$241,035
19985-1.74%-1.43%-2.01%-1.74%$241,571-1.43%$243,847-2.01%$236,187
199864.07%0.75%7.09%4.07%$251,4070.75%$245,6697.09%$252,927
19987-1.05%-2.15%0.00%-1.05%$248,756-2.15%$240,3990.00%$252,927
19988-14.47%-16.11%-13.04%-14.47%$212,752-16.11%$201,677-13.04%$219,937
199896.41%6.07%6.70%6.41%$226,3926.07%$213,9186.70%$234,679
1998108.16%7.87%8.41%8.16%$244,8757.87%$230,7558.41%$254,420
1998116.07%5.24%6.78%6.07%$259,7435.24%$242,8436.78%$271,681
1998125.81%3.50%7.67%5.81%$270,2013.50%$246,7267.67%$287,888
199914.20%2.00%6.16%4.20%$281,5602.00%$251,6596.16%$305,614
19992-3.12%-2.18%-3.93%-3.12%$272,762-2.18%$246,178-3.93%$293,615
199934.00%3.01%4.82%4.00%$283,6633.01%$253,5974.82%$307,765
199943.85%8.64%-0.21%3.85%$294,5908.64%$275,496-0.21%$307,125
19995-2.39%-1.81%-2.95%-2.39%$287,552-1.81%$270,503-2.95%$298,076
199965.56%3.83%7.28%5.56%$303,5283.83%$280,8657.28%$319,768
19997-3.13%-3.08%-3.15%-3.13%$294,027-3.08%$272,209-3.15%$309,695
19998-0.50%-2.51%1.33%-0.50%$292,567-2.51%$265,3751.33%$313,816
19999-2.74%-3.95%-1.69%-2.74%$284,554-3.95%$254,906-1.69%$308,506
1999106.33%5.66%6.90%6.33%$302,5565.66%$269,3216.90%$329,782
1999112.02%-0.59%4.28%2.02%$308,677-0.59%$267,7204.28%$343,905
1999125.98%3.74%7.79%5.98%$322,3843.74%$272,9917.79%$365,938
20001-5.03%-3.19%-6.67%-5.03%$306,162-3.19%$264,285-6.67%$341,530
20002-1.91%-6.27%2.07%-1.91%$300,325-6.27%$247,7082.07%$348,583
200039.76%10.39%9.21%9.76%$329,63710.39%$273,4539.21%$380,682
20004-3.01%-0.67%-4.98%-3.01%$319,729-0.67%$271,625-4.98%$361,732
20005-2.04%0.31%-4.06%-2.04%$313,2120.31%$272,478-4.06%$347,054
200062.49%-3.94%8.17%2.49%$321,002-3.94%$261,7368.17%$375,396
20007-1.49%2.06%-4.41%-1.49%$316,2162.06%$267,120-4.41%$358,848
200086.19%6.64%5.78%6.19%$335,7896.64%$284,8635.78%$379,579
20009-5.29%-0.03%-9.77%-5.29%$318,028-0.03%$284,764-9.77%$342,479
200010-0.43%1.86%-2.63%-0.43%$316,6611.86%$290,047-2.63%$333,457
200011-7.88%-5.08%-10.66%-7.88%$291,716-5.08%$275,305-10.66%$297,925
2000120.50%5.19%-4.45%0.50%$288,2845.19%$284,688-4.45%$279,763
200113.55%4.24%2.85%3.55%$298,5044.24%$296,7622.85%$287,725
20012-9.14%-6.67%-11.80%-9.14%$271,227-6.67%$276,970-11.80%$253,773
20013-6.36%-3.97%-9.05%-6.36%$253,987-3.97%$265,966-9.05%$230,806
200147.77%6.81%8.94%7.77%$273,7246.81%$284,0718.94%$251,430
200150.65%1.01%0.22%0.65%$275,5031.01%$286,9360.22%$251,980
20016-2.45%-3.22%-1.35%-2.45%$268,765-3.22%$277,693-1.35%$248,587
20017-1.00%-1.74%-0.30%-1.00%$266,078-1.74%$272,856-0.30%$247,853
20018-6.27%-5.80%-6.74%-6.27%$249,384-5.80%$257,036-6.74%$231,152
20019-8.09%-9.53%-6.71%-8.09%$229,207-9.53%$232,539-6.71%$215,631
2001101.90%0.00%3.62%1.90%$233,5500.00%$232,5393.62%$223,447
2001117.65%6.33%8.85%7.65%$251,4266.33%$247,2548.85%$243,217
2001120.87%1.47%0.16%0.87%$248,6421.47%$245,8990.16%$238,613
20021-1.47%-2.75%-0.19%-1.47%$244,979-2.75%$239,133-0.19%$238,161
20022-1.94%-0.87%-2.96%-1.94%$240,236-0.87%$237,052-2.96%$231,117
200233.74%5.11%2.34%3.74%$249,2285.11%$249,1542.34%$236,533
20024-6.07%-5.03%-7.15%-6.07%$234,089-5.03%$236,618-7.15%$219,612
20025-0.75%0.39%-1.98%-0.75%$232,3230.39%$237,532-1.98%$215,269
20026-7.13%-6.32%-8.03%-7.13%$215,748-6.32%$222,515-8.03%$197,987
20027-7.72%-10.78%-4.72%-7.72%$199,094-10.78%$198,519-4.72%$188,645
200280.65%0.73%0.62%0.65%$200,3930.73%$199,9620.62%$189,824
20029-10.87%-11.48%-10.37%-10.87%$178,601-11.48%$177,003-10.37%$170,134
2002108.78%8.35%9.20%8.78%$194,2878.35%$191,7759.20%$185,783
2002115.88%7.02%4.85%5.88%$205,7017.02%$205,2284.85%$194,790
200212-5.89%-5.23%-6.51%-5.89%$188,481-5.23%$189,390-6.51%$177,019
20031-2.62%-2.80%-2.56%-2.62%$183,534-2.80%$184,090-2.56%$172,493
20032-1.52%-2.74%-0.31%-1.52%$180,746-2.74%$179,048-0.31%$171,961
200330.96%-0.15%2.01%0.96%$182,476-0.15%$178,7722.01%$175,411
200348.25%9.96%6.75%8.25%$197,5379.96%$196,5716.75%$187,253
200355.26%7.93%3.28%5.26%$207,9347.93%$212,1623.28%$193,397
200361.26%1.34%1.19%1.26%$210,5541.34%$215,0051.19%$195,705
200371.74%0.97%2.64%1.74%$214,2260.97%$217,0912.64%$200,879
200381.93%1.68%2.31%1.93%$218,3661.68%$220,7422.31%$205,517
20039-1.07%-0.41%-1.69%-1.07%$216,027-0.41%$219,831-1.69%$202,038
2003105.64%5.19%6.19%5.64%$228,2135.19%$231,2496.19%$214,543
2003110.86%1.31%0.92%0.86%$230,1861.31%$234,2670.92%$216,508
2003125.22%6.91%2.96%5.22%$237,0066.91%$245,2682.96%$217,712
200411.82%1.58%2.25%1.82%$241,3231.58%$249,1512.25%$222,605
200421.38%1.92%0.86%1.38%$244,6471.92%$253,9400.86%$224,527
20043-1.51%-1.37%-1.59%-1.51%$240,944-1.37%$250,452-1.59%$220,951
20044-1.58%-2.03%-1.50%-1.58%$237,145-2.03%$245,378-1.50%$217,626
200451.36%0.95%1.93%1.36%$240,3650.95%$247,7201.93%$221,826
200461.93%2.68%1.11%1.93%$245,0032.68%$254,3581.11%$224,278
20047-3.31%-1.39%-5.51%-3.31%$236,891-1.39%$250,827-5.51%$211,925
200480.38%1.51%-0.66%0.38%$237,7981.51%$254,619-0.66%$210,523
200491.07%1.13%1.33%1.07%$240,3351.13%$257,5001.33%$213,329
2004101.51%1.43%1.56%1.51%$243,9761.43%$261,1821.56%$216,663
2004114.05%4.63%3.85%4.05%$253,8474.63%$273,2813.85%$225,000
2004123.39%3.46%3.73%3.39%$257,0973.46%$277,3733.73%$228,024
20051-2.45%-1.97%-3.03%-2.45%$250,787-1.97%$271,916-3.03%$221,117
200522.09%3.25%1.13%2.09%$256,0373.25%$280,7511.13%$223,621
20053-1.76%-1.61%-1.66%-1.76%$251,531-1.61%$276,219-1.66%$219,910
20054-1.91%-1.37%-2.40%-1.91%$246,722-1.37%$272,431-2.40%$214,633
200553.17%2.11%4.84%3.17%$254,5372.11%$278,1784.84%$225,014
200560.13%0.99%-0.19%0.13%$254,8610.99%$280,920-0.19%$224,582
200573.71%2.99%4.63%3.71%$264,3072.99%$289,3254.63%$234,980
20058-0.91%-0.36%-1.29%-0.91%$261,893-0.36%$288,275-1.29%$231,947
200590.79%1.42%0.30%0.79%$263,9721.42%$292,3690.30%$232,646
200510-1.68%-2.53%-0.86%-1.68%$259,542-2.53%$284,964-0.86%$230,649
2005113.76%3.48%4.33%3.76%$269,3133.48%$294,8814.33%$240,632
2005120.02%0.73%-0.42%0.02%$263,8240.73%$291,486-0.42%$234,076
200612.65%3.23%2.47%2.65%$270,8033.23%$300,9012.47%$239,856
200620.26%0.65%-0.64%0.26%$271,5150.65%$302,863-0.64%$238,326
200631.23%1.33%1.46%1.23%$274,8561.33%$306,8991.46%$241,809
200641.33%2.61%-0.04%1.33%$278,5212.61%$314,923-0.04%$241,724
20065-2.90%-2.34%-3.56%-2.90%$270,453-2.34%$307,556-3.56%$233,118
200660.13%0.70%-0.36%0.13%$270,7990.70%$309,702-0.36%$232,273
200670.61%2.69%-2.02%0.61%$272,4432.69%$318,033-2.02%$227,578
200682.36%1.70%3.00%2.36%$278,8781.70%$323,4553.00%$234,407
200692.56%2.09%2.84%2.56%$286,0262.09%$330,2252.84%$241,074
2006103.25%3.18%3.44%3.25%$295,3253.18%$340,7313.44%$249,369
2006111.89%2.03%2.19%1.89%$300,9042.03%$347,6472.19%$254,842
2006121.39%2.42%0.13%1.39%$299,4022.42%$350,3570.13%$249,486
200711.49%0.94%2.69%1.49%$303,8730.94%$353,6522.69%$256,191
20072-1.97%-1.64%-2.00%-1.97%$297,889-1.64%$347,852-2.00%$251,078
200731.11%1.62%0.56%1.11%$301,2001.62%$353,5040.56%$252,497
200744.42%4.16%4.32%4.42%$314,5074.16%$368,2224.32%$263,413
200753.48%3.67%3.47%3.48%$325,4433.67%$381,7473.47%$272,566
20076-1.68%-2.12%-1.20%-1.68%$319,987-2.12%$373,662-1.20%$269,290
20077-3.08%-4.49%-1.59%-3.08%$310,116-4.49%$356,871-1.59%$264,999
200781.50%1.31%1.68%1.50%$314,7631.31%$361,5351.68%$269,459
200793.72%3.31%4.28%3.72%$326,4843.31%$373,5174.28%$280,993
2007101.58%0.22%3.21%1.58%$331,6390.22%$374,3223.21%$290,016
200711-4.19%-4.94%-3.34%-4.19%$317,754-4.94%$355,820-3.34%$280,318
200712-0.70%-1.45%0.18%-0.70%$309,609-1.45%$344,7340.18%$274,913
20081-6.02%-4.09%-7.94%-6.02%$290,984-4.09%$330,647-7.94%$253,072
20082-3.25%-4.78%-1.41%-3.25%$281,523-4.78%$314,833-1.41%$249,515
20083-0.44%-0.38%-0.83%-0.44%$280,283-0.38%$313,650-0.83%$247,440
200844.85%4.14%5.83%4.85%$293,8894.14%$326,6305.83%$261,864
200851.29%-0.41%3.67%1.29%$297,687-0.41%$325,2913.67%$271,479
20086-8.44%-9.53%-6.72%-8.44%$272,568-9.53%$294,276-6.72%$253,235
20087-0.83%-0.32%-1.84%-0.83%$270,301-0.32%$293,332-1.84%$248,583
200881.45%1.65%1.17%1.45%$274,2101.65%$298,1831.17%$251,490
20089-8.91%-6.95%-11.43%-8.91%$249,789-6.95%$277,453-11.43%$222,757
200810-16.79%-16.55%-17.71%-16.79%$207,843-16.55%$231,528-17.71%$183,300
200811-7.17%-6.28%-8.58%-7.17%$192,931-6.28%$216,989-8.58%$167,567
2008121.07%1.73%1.19%1.07%$189,0641.73%$214,8151.19%$163,639
20091-8.41%-11.44%-4.58%-8.41%$173,158-11.44%$190,234-4.58%$156,139
20092-10.66%-13.34%-7.33%-10.66%$154,705-13.34%$164,852-7.33%$144,686
200938.76%8.93%8.30%8.76%$168,2578.93%$179,5728.30%$156,701
200949.56%10.30%9.19%9.56%$184,34110.30%$198,0699.19%$171,108
200955.62%6.75%4.35%5.62%$194,6966.75%$211,4364.35%$178,555
200960.22%-0.88%1.44%0.22%$195,125-0.88%$209,5831.44%$181,128
200977.58%8.04%7.08%7.58%$209,9118.04%$226,4377.08%$193,956
200983.60%5.10%1.97%3.60%$217,4655.10%$237,9901.97%$197,772
200993.72%3.37%4.53%3.72%$225,5483.37%$246,0144.53%$206,726
200910-1.87%-2.67%-1.38%-1.87%$221,336-2.67%$239,450-1.38%$203,878
2009115.98%6.00%5.83%5.98%$234,5756.00%$253,8095.83%$215,761
2009121.95%1.21%3.37%1.95%$233,0511.21%$250,7803.37%$216,938
20101-3.60%-2.47%-4.58%-3.60%$224,652-2.47%$244,588-4.58%$207,012
201023.09%2.53%3.76%3.09%$231,5982.53%$250,7803.76%$214,794
201036.01%6.16%5.90%6.01%$245,5256.16%$266,2365.90%$227,460
201041.58%1.78%1.54%1.58%$249,4001.78%$270,9711.54%$230,961
20105-8.01%-7.79%-8.27%-8.01%$229,435-7.79%$249,867-8.27%$211,860
20106-5.24%-5.10%-5.70%-5.24%$217,414-5.10%$237,125-5.70%$199,794
201077.00%6.54%7.43%7.00%$232,6246.54%$252,6437.43%$214,635
20108-4.53%-4.26%-4.72%-4.53%$222,087-4.26%$241,890-4.72%$204,501
201098.92%7.55%10.76%8.92%$241,8957.55%$260,15310.76%$226,497
2010103.79%2.69%5.13%3.79%$251,0582.69%$267,1395.13%$238,106
2010110.00%-0.56%0.94%0.00%$251,058-0.56%$265,6320.94%$240,348
2010126.67%7.89%5.57%6.67%$261,6297.89%$280,4185.57%$247,548
201112.36%2.84%1.87%2.36%$267,7962.84%$288,3761.87%$252,170
201123.42%4.02%2.73%3.42%$276,9444.02%$299,9752.73%$259,063
201130.03%0.04%0.29%0.03%$277,0150.04%$300,0920.29%$259,808
201142.95%2.94%3.05%2.95%$285,1822.94%$308,9063.05%$267,738
20115-1.15%-1.36%-0.70%-1.15%$281,915-1.36%$304,703-0.70%$265,853
20116-1.67%-2.15%-1.39%-1.67%$277,201-2.15%$298,165-1.39%$262,162
20117-2.05%-3.52%-0.69%-2.05%$271,527-3.52%$287,668-0.69%$260,352
20118-5.45%-5.78%-5.62%-5.45%$256,738-5.78%$271,035-5.62%$245,708
20119-7.04%-7.07%-7.60%-7.04%$238,657-7.07%$251,867-7.60%$227,033
20111010.91%10.36%11.79%10.91%$264,70410.36%$277,96011.79%$253,794
201111-0.23%-0.49%-0.16%-0.23%$264,085-0.49%$276,586-0.16%$253,399
2011121.02%2.39%-0.64%1.02%$260,4112.39%$276,847-0.64%$245,415
201214.46%3.42%6.26%4.46%$272,0373.42%$286,3146.26%$260,778
201224.31%3.92%4.88%4.31%$283,7543.92%$297,5404.88%$273,516
201233.28%2.89%3.38%3.28%$293,0652.89%$306,1263.38%$282,770
20124-0.64%-0.93%-0.30%-0.64%$291,191-0.93%$303,271-0.30%$281,919
20125-6.02%-5.96%-6.40%-6.02%$273,667-5.96%$285,183-6.40%$263,888
201264.11%4.70%2.95%4.11%$284,9124.70%$298,5982.95%$271,678
201271.37%1.19%1.29%1.37%$288,8151.19%$302,1581.29%$275,170
201282.24%1.40%3.33%2.24%$295,2831.40%$306,4023.33%$284,327
201292.58%3.05%2.03%2.58%$302,8913.05%$315,7462.03%$290,086
201210-1.86%-0.52%-3.09%-1.86%$297,259-0.52%$314,093-3.09%$281,136
2012110.56%-0.53%1.97%0.56%$298,923-0.53%$312,4401.97%$286,662
2012120.90%1.90%0.07%0.90%$295,1481.90%$311,9090.07%$280,383
201315.18%6.37%4.37%5.18%$310,4266.37%$331,7694.37%$292,624
201321.34%1.52%0.99%1.34%$314,5821.52%$336,8020.99%$295,531
201333.74%3.90%3.64%3.74%$326,3433.90%$349,9283.64%$306,277
201341.91%2.19%1.53%1.91%$332,5722.19%$357,5891.53%$310,956
201352.33%2.45%1.68%2.33%$340,3122.45%$366,3441.68%$316,172
20136-1.35%-0.81%-1.99%-1.35%$335,716-0.81%$363,380-1.99%$309,868
201375.07%5.19%5.31%5.07%$352,7455.19%$382,2235.31%$326,331
20138-2.91%-3.60%-1.72%-2.91%$342,473-3.60%$368,469-1.72%$320,715
201393.12%2.13%4.76%3.12%$353,1642.13%$376,3104.76%$335,991
2013104.59%4.56%4.25%4.59%$369,3624.56%$393,4594.25%$350,264
2013113.03%3.20%2.38%3.03%$380,5483.20%$406,0442.38%$358,596
2013122.51%2.05%3.34%2.51%$383,5442.05%$407,8043.34%$363,998
20141-3.47%-3.59%-2.99%-3.47%$370,239-3.59%$393,152-2.99%$353,124
201424.56%3.94%5.53%4.56%$387,1243.94%$408,6265.53%$372,666
201430.82%2.58%-1.58%0.82%$390,3132.58%$419,159-1.58%$366,774
201440.72%0.89%0.08%0.72%$393,1390.89%$422,8760.08%$367,079
201452.33%1.43%3.53%2.33%$402,3191.43%$428,9323.53%$380,039
201462.05%1.88%2.42%2.05%$410,5741.88%$436,9852.42%$389,224
20147-1.39%-1.27%-1.65%-1.39%$404,875-1.27%$431,450-1.65%$382,804
201483.98%3.46%4.71%3.98%$420,9963.46%$446,3944.71%$400,840
20149-1.41%-1.33%-1.91%-1.41%$415,049-1.33%$440,467-1.91%$393,173
2014102.42%1.90%3.04%2.42%$425,1061.90%$448,8143.04%$405,127
2014112.68%2.39%2.97%2.68%$436,5092.39%$459,5272.97%$417,157
201412-0.26%0.33%-0.99%-0.26%$428,7360.33%$454,415-0.99%$406,392
20151-3.02%-4.04%-1.49%-3.02%$415,799-4.04%$436,072-1.49%$400,338
201525.74%5.25%6.29%5.74%$439,6645.25%$458,9666.29%$425,535
20153-1.59%-1.58%-1.25%-1.59%$432,657-1.58%$451,694-1.25%$420,229
201540.95%1.57%-0.07%0.95%$436,7641.57%$458,767-0.07%$419,926
201551.27%1.09%1.45%1.27%$442,3221.09%$463,7601.45%$425,995
20156-1.93%-2.17%-1.60%-1.93%$433,772-2.17%$453,674-1.60%$419,168
201572.08%0.95%3.17%2.08%$442,7960.95%$457,9973.17%$432,477
20158-6.04%-5.82%-6.26%-6.04%$416,044-5.82%$431,360-6.26%$405,404
20159-2.49%-2.49%-2.86%-2.49%$405,684-2.49%$420,632-2.86%$393,799
2015108.42%7.57%8.93%8.42%$439,8547.57%$452,4928.93%$428,961
2015110.29%0.40%0.14%0.29%$441,1140.40%$454,3160.14%$429,571
201512-1.59%-1.01%-2.40%-1.59%$427,421-1.01%$443,054-2.40%$412,608

Exposures for Portfolio 1

Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VFINXVanguard 500 Index InvestorLarge Blend100.00%$452,043100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Exposures for Portfolio 2

Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VIVAXVanguard Value Index InvLarge Value100.00%$467,676100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Exposures for Portfolio 3

Exposures for Portfolio 3
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VIGRXVanguard Growth Index InvestorLarge Growth100.00%$437,230100.00%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 #2Portfolio #3
(*) 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%0.82%0.82%
Mean Return (annualized)10.16%10.26%10.35%
Compound Return (monthly)0.72%0.72%0.72%
Compound Return (annualized)8.99%9.04%9.00%
Volatility (monthly)4.21%4.28%4.53%
Volatility (annualized)14.60%14.85%15.71%
Downside Deviation (monthly)2.83%2.91%3.03%
Max. Drawdown-50.97%-54.86%-53.58%
Market Correlation0.990.940.96
Beta(*)0.960.931.01
Alpha (annualized)0.26%0.68%0.03%
R297.52%87.81%91.60%
Sharpe Ratio0.490.490.47
Sortino Ratio0.710.700.68
Treynor Ratio (%)7.407.777.28
Diversification Ratio1.001.001.00
Skewness-0.68-0.77-0.59
Excess Kurtosis1.281.770.91
Historical Value-at-Risk (95%)-7.14%-6.29%-7.37%
Delta Normal Value-at-Risk (95%)-6.92%-7.04%-7.45%
Conditional Value-at-Risk (95%)-9.74%-10.28%-10.33%
Positive Periods177 out of 276 (64.13%)174 out of 276 (63.04%)165 out of 276 (59.78%)
Gain/Loss Ratio0.900.951.05

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2Portfolio 3
Asian CrisisJul 1997Jan 1998-5.61%-4.51%-6.64%
Russian Crisis / LTCM DefaultJul 1998Oct 1998-15.38%-17.91%-13.04%
Dotcom CrashMar 2000Oct 2002-44.82%-39.15%-53.58%
Subprime CrisisNov 2007Mar 2009-50.97%-53.97%-47.19%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Sep 2000Feb 20098 years 6 monthsMay 201312 years 9 months-53.93%
2Jul 1998Aug 19982 monthsNov 19985 months-15.38%
3Aug 2015Sep 20152 months-8.38%
4Nov 1993Mar 19945 monthsAug 199410 months-7.24%
5Jan 2000Feb 20002 monthsMar 20003 months-6.84%
6Sep 1994Dec 19944 monthsMar 19957 months-6.34%
7Jul 1999Sep 19993 monthsNov 19995 months-6.25%
8Aug 1997Aug 19971 monthNov 19974 months-5.61%
9Apr 2000May 20002 monthsAug 20005 months-4.98%
10Dec 2014Jan 20152 monthsFeb 20153 months-4.74%
11Dec 1996Dec 19961 monthJan 19972 months-4.56%
12Jul 1996Jul 19961 monthSep 19963 months-4.42%
13Mar 1997Mar 19971 monthApr 19972 months-4.14%
14Jan 2014Jan 20141 monthFeb 20142 months-3.47%
15Feb 1999Feb 19991 monthMar 19992 months-3.12%
16Aug 2013Aug 20131 monthSep 20132 months-2.91%
17Apr 1993Apr 19931 monthMay 19932 months-2.42%
18May 1999May 19991 monthJun 19992 months-2.39%
19Jun 2015Jun 20151 monthJul 20152 months-1.93%
20May 1998May 19981 monthJun 19982 months-1.74%
21Mar 2015Mar 20151 monthMay 20153 months-1.59%
22Sep 2014Sep 20141 monthOct 20142 months-1.41%
23Jul 2014Jul 20141 monthAug 20142 months-1.39%
24Jun 2013Jun 20131 monthJul 20132 months-1.35%
25Dec 1995Dec 19951 monthJan 19962 months-1.19%
26Sep 1993Sep 19931 monthOct 19932 months-0.79%
27Jul 1993Jul 19931 monthAug 19932 months-0.42%
28Dec 1997Dec 19971 monthJan 19982 months-0.39%
29Oct 1995Oct 19951 monthNov 19952 months-0.36%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Jun 2007Feb 20091 year 9 monthsJul 20136 years 2 months-56.82%
2Feb 2001Sep 20021 year 8 monthsJan 20065 years-40.36%
3May 1998Aug 19984 monthsJan 19999 months-18.48%
4Jul 1999Feb 20008 monthsAug 20001 year 2 months-11.81%
5Jun 2015Sep 20154 months-9.30%
6Feb 1994Dec 199411 monthsMar 19951 year 2 months-8.63%
7Dec 2014Jan 20152 monthsMay 20156 months-5.10%
8Nov 2000Nov 20001 monthJan 20013 months-5.08%
9Jun 1996Jul 19962 monthsSep 19964 months-4.76%
10Aug 1997Aug 19971 monthSep 19972 months-4.51%
11Dec 1996Dec 19961 monthJan 19972 months-4.14%
12Oct 1997Oct 19971 monthDec 19973 months-3.71%
13Nov 1993Dec 19932 monthsJan 19943 months-3.66%
14Aug 2013Aug 20131 monthOct 20133 months-3.60%
15Jan 2014Jan 20141 monthFeb 20142 months-3.59%
16Mar 1997Mar 19971 monthApr 19972 months-3.48%
17May 2006May 20061 monthJul 20063 months-2.34%
18Feb 1999Feb 19991 monthMar 19992 months-2.18%
19May 1999May 19991 monthJun 19992 months-1.81%
20Feb 2007Feb 20071 monthApr 20073 months-1.64%
21Oct 1995Oct 19951 monthNov 19952 months-1.56%
22Sep 2014Sep 20141 monthOct 20142 months-1.33%
23Jul 2014Jul 20141 monthAug 20142 months-1.27%
24Jan 1998Jan 19981 monthFeb 19982 months-1.25%
25Apr 1993Apr 19931 monthMay 19932 months-0.45%
26Dec 1995Dec 19951 monthJan 19962 months-0.15%
27Sep 1993Sep 19931 monthOct 19932 months-0.08%
28Sep 2000Sep 20001 monthOct 20002 months-0.03%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Apr 2000Feb 20098 years 11 monthsJun 201414 years 3 months-61.99%
2Aug 1998Aug 19981 monthOct 19983 months-13.04%
3Aug 2015Sep 20152 months-8.94%
4Dec 1993Jun 19947 monthsAug 19949 months-7.78%
5Jan 2000Jan 20001 monthMar 20003 months-6.67%
6Aug 1997Aug 19971 monthNov 19974 months-6.64%
7Nov 1994Dec 19942 monthsFeb 19954 months-5.85%
8Jan 1993Apr 19934 monthsOct 199310 months-5.18%
9Dec 1996Dec 19961 monthJan 19972 months-5.06%
10Mar 1997Mar 19971 monthApr 19972 months-4.80%
11Jul 1996Jul 19961 monthSep 19963 months-4.55%
12Dec 2014Jan 20152 monthsFeb 20153 months-4.03%
13Feb 1999Feb 19991 monthMar 19992 months-3.93%
14Jul 1999Sep 19993 monthsOct 19994 months-3.52%
15Apr 1999May 19992 monthsJun 19993 months-3.15%
16Dec 1995Dec 19951 monthJan 19962 months-2.15%
17May 1998May 19981 monthJun 19982 months-2.01%
18Sep 2014Sep 20141 monthOct 20142 months-1.91%
19Jul 2014Jul 20141 monthAug 20142 months-1.65%
20Jun 2015Jun 20151 monthJul 20152 months-1.60%
21Sep 1994Sep 19941 monthOct 19942 months-1.43%
22Mar 2015Apr 20152 monthsMay 20153 months-1.32%
23Dec 1997Dec 19971 monthJan 19982 months-0.98%
24Mar 1996Mar 19961 monthApr 19962 months-0.42%
25Aug 1995Aug 19951 monthSep 19952 months-0.31%

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
VIVAXVanguard Value Index Inv9.04%14.85%37.03%-35.97%-54.86%0.490.700.94
VIGRXVanguard Growth Index Investor9.00%15.71%42.21%-38.32%-53.58%0.470.680.96

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVIVAXVIGRXPF #1PF #2PF #3
VFINXVanguard 500 Index Investor-0.960.961.000.960.96
VIVAXVanguard Value Index Inv0.96-0.840.961.000.84
VIGRXVanguard Growth Index Investor0.960.84-0.960.841.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePF #1PF #2PF #3
VFINXVanguard 500 Index Investor$452,043
VIVAXVanguard Value Index Inv$467,676
VIGRXVanguard Growth Index Investor$437,230

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePF #1PF #2PF #3
VFINXVanguard 500 Index Investor100.00%
VIVAXVanguard Value Index Inv100.00%
VIGRXVanguard Growth Index Investor100.00%

Annual Asset Returns