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 (Jan 1993 - Dec 2015)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VIVAX Vanguard Value Index Inv 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VIGRX Vanguard Growth Index Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$427,420 6.52% 8.99%9.42%14.60%37.45%-37.02%-50.97%
(-53.93%)
0.490.710.99
Portfolio 2$100,000$443,053 6.69% 9.04%9.54%14.85%37.03%-35.97%-54.86%
(-56.82%)
0.490.700.94
Portfolio 3$100,000$412,607 6.36% 9.00%9.29%15.71%42.21%-38.32%-53.58%
(-61.99%)
0.470.680.96
* The number in parenthesis shows the calculated value taking into account the periodic withdrawals.
   
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
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • 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
  • Inflation adjusted annual withdrawal of $4,000 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
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Value Index Inv (VIVAX)Vanguard Growth Index Investor (VIGRX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Adjustment
19932.75%9.89%18.25%1.53%$105,782$114,139$97,417-$4,1109.89%18.25%1.53%
19942.67%1.18%-0.65%2.89%$102,807$109,180$96,013-$4,2201.18%-0.65%2.89%
19952.54%37.45%37.03%38.06%$136,976$145,283$128,232-$4,32737.45%37.03%38.06%
19963.32%22.88%21.78%23.74%$163,841$172,455$154,202-$4,47122.88%21.78%23.74%
19971.70%33.19%29.77%36.34%$213,674$219,243$205,694-$4,54733.19%29.77%36.34%
19981.61%28.62%14.64%42.21%$270,201$246,726$287,888-$4,62028.62%14.64%42.21%
19992.68%21.07%12.57%28.76%$322,384$272,991$365,938-$4,74421.07%12.57%28.76%
20003.39%-9.06%6.08%-22.21%$288,284$284,688$279,763-$4,905-9.06%6.08%-22.21%
20011.55%-12.02%-11.88%-12.93%$248,642$245,899$238,613-$4,981-12.02%-11.88%-12.93%
20022.38%-22.15%-20.91%-23.68%$188,481$189,390$177,019-$5,099-22.15%-20.91%-23.68%
20031.88%28.50%32.25%25.92%$237,006$245,268$217,712-$5,19528.50%32.25%25.92%
20043.26%10.74%15.28%7.20%$257,097$277,373$228,024-$5,36410.74%15.28%7.20%
20053.42%4.77%7.09%5.09%$263,824$291,486$234,076-$5,5484.77%7.09%5.09%
20062.54%15.64%22.15%9.01%$299,402$350,357$249,486-$5,68915.64%22.15%9.01%
20074.08%5.39%0.09%12.56%$309,609$344,734$274,913-$5,9215.39%0.09%12.56%
20080.09%-37.02%-35.97%-38.32%$189,063$214,815$163,639-$5,926-37.02%-35.97%-38.32%
20092.72%26.49%19.58%36.29%$233,051$250,780$216,937-$6,08726.49%19.58%36.29%
20101.50%14.91%14.28%16.96%$261,629$280,417$247,547-$6,17814.91%14.28%16.96%
20112.96%1.97%1.00%1.71%$260,411$276,847$245,415-$6,3611.97%1.00%1.71%
20121.74%15.82%15.00%16.89%$295,148$311,909$280,383-$6,47215.82%15.00%16.89%
20131.50%32.18%32.85%32.16%$383,544$407,804$363,997-$6,56932.18%32.85%32.16%
20140.76%13.51%13.05%13.47%$428,736$454,414$406,391-$6,61913.51%13.05%13.47%
20150.73%1.25%-1.03%3.17%$427,420$443,053$412,607-$6,6671.25%-1.03%3.17%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Value Index Inv (VIVAX)Vanguard Growth Index Investor (VIGRX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
199310.81%2.72%-1.17%$100,805$102,718$98,8300.81%2.72%-1.17%
199321.36%3.40%-0.79%$102,172$106,214$98,0511.36%3.40%-0.79%
199332.11%2.75%1.40%$104,326$109,130$99,4212.11%2.75%1.40%
19934-2.42%-0.45%-4.63%$101,797$108,641$94,817-2.42%-0.45%-4.63%
199352.65%1.89%3.62%$104,497$110,693$98,2462.65%1.89%3.62%
199360.27%1.34%-0.89%$104,777$112,173$97,3710.27%1.34%-0.89%
19937-0.42%1.23%-2.12%$104,333$113,549$95,304-0.42%1.23%-2.12%
199383.79%3.90%3.62%$108,282$117,973$98,7493.79%3.90%3.62%
19939-0.79%-0.08%-1.49%$107,422$117,880$97,276-0.79%-0.08%-1.49%
1993102.08%0.50%3.66%$109,654$118,473$100,8382.08%0.50%3.66%
199311-1.00%-1.84%0.00%$108,563$116,298$100,838-1.00%-1.84%0.00%
1993121.22%1.68%0.68%$105,782$114,139$97,4171.22%1.68%0.68%
199413.38%4.69%2.06%$109,354$119,490$99,4233.38%4.69%2.06%
19942-2.71%-3.58%-1.73%$106,386$115,209$97,704-2.71%-3.58%-1.73%
19943-4.39%-4.13%-4.71%$101,717$110,446$93,099-4.39%-4.13%-4.71%
199441.29%2.06%0.52%$103,029$112,719$93,5791.29%2.06%0.52%
199451.60%1.58%1.54%$104,682$114,497$95,0181.60%1.58%1.54%
19946-2.45%-2.60%-2.13%$102,120$111,519$92,996-2.45%-2.60%-2.13%
199473.28%3.39%3.22%$105,467$115,296$95,9863.28%3.39%3.22%
199484.08%2.76%5.33%$109,765$118,476$101,0994.08%2.76%5.33%
19949-2.45%-3.52%-1.43%$107,080$114,304$99,654-2.45%-3.52%-1.43%
1994102.25%2.10%2.33%$109,486$116,704$101,9802.25%2.10%2.33%
199411-3.65%-4.03%-3.33%$105,485$112,004$98,587-3.65%-4.03%-3.33%
1994121.46%1.25%1.67%$102,807$109,180$96,0131.46%1.25%1.67%
199512.58%2.70%2.53%$105,462$112,126$98,4412.58%2.70%2.53%
199523.88%3.85%3.80%$109,553$116,446$102,1773.88%3.85%3.80%
199532.95%2.80%3.11%$112,789$119,703$105,3512.95%2.80%3.11%
199542.94%3.30%2.67%$116,106$123,653$108,1662.94%3.30%2.67%
199553.95%4.39%3.56%$120,698$129,085$112,0123.95%4.39%3.56%
199562.31%0.77%3.77%$123,487$130,074$116,2352.31%0.77%3.77%
199573.30%3.51%3.24%$127,567$134,641$120,0023.30%3.51%3.24%
199580.26%0.81%-0.31%$127,905$135,734$119,6260.26%0.81%-0.31%
199594.21%3.52%4.88%$133,292$140,508$125,4664.21%3.52%4.88%
199510-0.36%-1.56%0.83%$132,807$138,312$126,506-0.36%-1.56%0.83%
1995114.38%5.19%3.59%$138,625$145,497$131,0444.38%5.19%3.59%
1995121.93%2.83%1.16%$136,976$145,283$128,2321.93%2.83%1.16%
199613.39%2.91%3.79%$141,613$149,504$133,0973.39%2.91%3.79%
199620.92%0.92%0.90%$142,921$150,878$134,2900.92%0.92%0.90%
199630.98%2.32%-0.42%$144,317$154,383$133,7260.98%2.32%-0.42%
199641.46%1.10%1.87%$146,419$156,085$136,2231.46%1.10%1.87%
199652.54%1.48%3.60%$150,145$158,387$141,1242.54%1.48%3.60%
199660.38%-0.50%1.25%$150,720$157,589$142,8820.38%-0.50%1.25%
19967-4.42%-4.28%-4.55%$144,057$150,851$136,388-4.42%-4.28%-4.55%
199682.10%2.80%1.43%$147,077$155,075$138,3362.10%2.80%1.43%
199695.61%4.22%6.91%$155,322$161,614$147,8945.61%4.22%6.91%
1996102.76%3.37%2.20%$159,603$167,068$151,1512.76%3.37%2.20%
1996117.56%7.68%7.45%$171,675$179,897$162,4137.56%7.68%7.45%
199612-1.96%-1.65%-2.30%$163,841$172,455$154,202-1.96%-1.65%-2.30%
199716.22%4.58%7.87%$174,027$180,359$166,3386.22%4.58%7.87%
199720.79%0.73%0.82%$175,401$181,676$167,7060.79%0.73%0.82%
19973-4.14%-3.48%-4.80%$168,147$175,345$159,657-4.14%-3.48%-4.80%
199745.96%3.78%8.08%$178,161$181,973$172,5585.96%3.78%8.08%
199756.09%6.26%5.89%$189,007$193,366$182,7136.09%6.26%5.89%
199764.45%3.80%5.06%$197,425$200,715$191,9544.45%3.80%5.06%
199777.97%7.98%7.88%$213,151$216,722$207,0867.97%7.98%7.88%
19978-5.61%-4.51%-6.64%$201,195$206,952$193,329-5.61%-4.51%-6.64%
199795.47%5.83%5.08%$212,199$219,012$203,1435.47%5.83%5.08%
199710-3.35%-3.71%-2.99%$205,090$210,878$197,077-3.35%-3.71%-2.99%
1997114.60%3.81%5.41%$214,521$218,908$207,7394.60%3.81%5.41%
1997121.72%2.23%1.20%$213,674$219,243$205,6941.72%2.23%1.20%
199811.11%-1.25%3.37%$216,046$216,509$212,6331.11%-1.25%3.37%
199827.19%7.53%6.91%$231,585$232,808$227,3327.19%7.53%6.91%
199835.10%5.02%5.14%$243,404$244,490$239,0225.10%5.02%5.14%
199841.01%1.18%0.84%$245,857$247,385$241,0351.01%1.18%0.84%
19985-1.74%-1.43%-2.01%$241,571$243,847$236,187-1.74%-1.43%-2.01%
199864.07%0.75%7.09%$251,407$245,669$252,9274.07%0.75%7.09%
19987-1.05%-2.15%0.00%$248,756$240,399$252,927-1.05%-2.15%0.00%
19988-14.47%-16.11%-13.04%$212,752$201,677$219,937-14.47%-16.11%-13.04%
199896.41%6.07%6.70%$226,392$213,918$234,6796.41%6.07%6.70%
1998108.16%7.87%8.41%$244,875$230,755$254,4208.16%7.87%8.41%
1998116.07%5.24%6.78%$259,743$242,843$271,6816.07%5.24%6.78%
1998125.81%3.50%7.67%$270,201$246,726$287,8885.81%3.50%7.67%
199914.20%2.00%6.16%$281,560$251,659$305,6144.20%2.00%6.16%
19992-3.12%-2.18%-3.93%$272,762$246,178$293,615-3.12%-2.18%-3.93%
199934.00%3.01%4.82%$283,663$253,597$307,7654.00%3.01%4.82%
199943.85%8.64%-0.21%$294,590$275,496$307,1253.85%8.64%-0.21%
19995-2.39%-1.81%-2.95%$287,552$270,503$298,076-2.39%-1.81%-2.95%
199965.56%3.83%7.28%$303,528$280,865$319,7685.56%3.83%7.28%
19997-3.13%-3.08%-3.15%$294,027$272,209$309,695-3.13%-3.08%-3.15%
19998-0.50%-2.51%1.33%$292,567$265,375$313,816-0.50%-2.51%1.33%
19999-2.74%-3.95%-1.69%$284,554$254,906$308,506-2.74%-3.95%-1.69%
1999106.33%5.66%6.90%$302,556$269,321$329,7826.33%5.66%6.90%
1999112.02%-0.59%4.28%$308,677$267,720$343,9052.02%-0.59%4.28%
1999125.98%3.74%7.79%$322,384$272,991$365,9385.98%3.74%7.79%
20001-5.03%-3.19%-6.67%$306,162$264,285$341,530-5.03%-3.19%-6.67%
20002-1.91%-6.27%2.07%$300,325$247,708$348,583-1.91%-6.27%2.07%
200039.76%10.39%9.21%$329,637$273,453$380,6829.76%10.39%9.21%
20004-3.01%-0.67%-4.98%$319,729$271,625$361,732-3.01%-0.67%-4.98%
20005-2.04%0.31%-4.06%$313,212$272,478$347,054-2.04%0.31%-4.06%
200062.49%-3.94%8.17%$321,002$261,736$375,3962.49%-3.94%8.17%
20007-1.49%2.06%-4.41%$316,216$267,120$358,848-1.49%2.06%-4.41%
200086.19%6.64%5.78%$335,789$284,863$379,5796.19%6.64%5.78%
20009-5.29%-0.03%-9.77%$318,028$284,764$342,479-5.29%-0.03%-9.77%
200010-0.43%1.86%-2.63%$316,661$290,047$333,457-0.43%1.86%-2.63%
200011-7.88%-5.08%-10.66%$291,716$275,305$297,925-7.88%-5.08%-10.66%
2000120.50%5.19%-4.45%$288,284$284,688$279,7630.50%5.19%-4.45%
200113.55%4.24%2.85%$298,504$296,762$287,7253.55%4.24%2.85%
20012-9.14%-6.67%-11.80%$271,227$276,970$253,773-9.14%-6.67%-11.80%
20013-6.36%-3.97%-9.05%$253,987$265,966$230,806-6.36%-3.97%-9.05%
200147.77%6.81%8.94%$273,723$284,071$251,4307.77%6.81%8.94%
200150.65%1.01%0.22%$275,503$286,936$251,9800.65%1.01%0.22%
20016-2.45%-3.22%-1.35%$268,765$277,693$248,587-2.45%-3.22%-1.35%
20017-1.00%-1.74%-0.30%$266,078$272,856$247,853-1.00%-1.74%-0.30%
20018-6.27%-5.80%-6.74%$249,384$257,036$231,152-6.27%-5.80%-6.74%
20019-8.09%-9.53%-6.71%$229,207$232,539$215,631-8.09%-9.53%-6.71%
2001101.90%0.00%3.62%$233,550$232,539$223,4471.90%0.00%3.62%
2001117.65%6.33%8.85%$251,426$247,254$243,2177.65%6.33%8.85%
2001120.87%1.47%0.16%$248,642$245,899$238,6130.87%1.47%0.16%
20021-1.47%-2.75%-0.19%$244,979$239,133$238,161-1.47%-2.75%-0.19%
20022-1.94%-0.87%-2.96%$240,236$237,052$231,117-1.94%-0.87%-2.96%
200233.74%5.11%2.34%$249,228$249,154$236,5333.74%5.11%2.34%
20024-6.07%-5.03%-7.15%$234,089$236,618$219,612-6.07%-5.03%-7.15%
20025-0.75%0.39%-1.98%$232,323$237,532$215,269-0.75%0.39%-1.98%
20026-7.13%-6.32%-8.03%$215,748$222,515$197,987-7.13%-6.32%-8.03%
20027-7.72%-10.78%-4.72%$199,094$198,519$188,645-7.72%-10.78%-4.72%
200280.65%0.73%0.62%$200,393$199,962$189,8240.65%0.73%0.62%
20029-10.87%-11.48%-10.37%$178,600$177,003$170,134-10.87%-11.48%-10.37%
2002108.78%8.35%9.20%$194,287$191,775$185,7838.78%8.35%9.20%
2002115.88%7.02%4.85%$205,701$205,228$194,7905.88%7.02%4.85%
200212-5.89%-5.23%-6.51%$188,481$189,390$177,019-5.89%-5.23%-6.51%
20031-2.62%-2.80%-2.56%$183,533$184,090$172,493-2.62%-2.80%-2.56%
20032-1.52%-2.74%-0.31%$180,746$179,048$171,961-1.52%-2.74%-0.31%
200330.96%-0.15%2.01%$182,476$178,772$175,4110.96%-0.15%2.01%
200348.25%9.96%6.75%$197,536$196,571$187,2538.25%9.96%6.75%
200355.26%7.93%3.28%$207,934$212,162$193,3975.26%7.93%3.28%
200361.26%1.34%1.19%$210,554$215,005$195,7051.26%1.34%1.19%
200371.74%0.97%2.64%$214,226$217,091$200,8791.74%0.97%2.64%
200381.93%1.68%2.31%$218,366$220,742$205,5171.93%1.68%2.31%
20039-1.07%-0.41%-1.69%$216,027$219,831$202,038-1.07%-0.41%-1.69%
2003105.64%5.19%6.19%$228,213$231,249$214,5435.64%5.19%6.19%
2003110.86%1.31%0.92%$230,186$234,267$216,5080.86%1.31%0.92%
2003125.22%6.91%2.96%$237,006$245,268$217,7125.22%6.91%2.96%
200411.82%1.58%2.25%$241,323$249,151$222,6041.82%1.58%2.25%
200421.38%1.92%0.86%$244,647$253,940$224,5261.38%1.92%0.86%
20043-1.51%-1.37%-1.59%$240,944$250,452$220,951-1.51%-1.37%-1.59%
20044-1.58%-2.03%-1.50%$237,145$245,378$217,626-1.58%-2.03%-1.50%
200451.36%0.95%1.93%$240,365$247,720$221,8261.36%0.95%1.93%
200461.93%2.68%1.11%$245,003$254,358$224,2781.93%2.68%1.11%
20047-3.31%-1.39%-5.51%$236,891$250,827$211,925-3.31%-1.39%-5.51%
200480.38%1.51%-0.66%$237,798$254,619$210,5230.38%1.51%-0.66%
200491.07%1.13%1.33%$240,335$257,500$213,3291.07%1.13%1.33%
2004101.51%1.43%1.56%$243,976$261,182$216,6631.51%1.43%1.56%
2004114.05%4.63%3.85%$253,847$273,281$225,0004.05%4.63%3.85%
2004123.39%3.46%3.73%$257,097$277,373$228,0243.39%3.46%3.73%
20051-2.45%-1.97%-3.03%$250,787$271,916$221,117-2.45%-1.97%-3.03%
200522.09%3.25%1.13%$256,037$280,751$223,6212.09%3.25%1.13%
20053-1.76%-1.61%-1.66%$251,531$276,218$219,910-1.76%-1.61%-1.66%
20054-1.91%-1.37%-2.40%$246,722$272,431$214,633-1.91%-1.37%-2.40%
200553.17%2.11%4.84%$254,537$278,177$225,0143.17%2.11%4.84%
200560.13%0.99%-0.19%$254,860$280,920$224,5820.13%0.99%-0.19%
200573.71%2.99%4.63%$264,307$289,325$234,9793.71%2.99%4.63%
20058-0.91%-0.36%-1.29%$261,893$288,275$231,947-0.91%-0.36%-1.29%
200590.79%1.42%0.30%$263,972$292,369$232,6460.79%1.42%0.30%
200510-1.68%-2.53%-0.86%$259,542$284,963$230,649-1.68%-2.53%-0.86%
2005113.76%3.48%4.33%$269,312$294,881$240,6323.76%3.48%4.33%
2005120.02%0.73%-0.42%$263,824$291,486$234,0760.02%0.73%-0.42%
200612.65%3.23%2.47%$270,803$300,901$239,8562.65%3.23%2.47%
200620.26%0.65%-0.64%$271,515$302,862$238,3260.26%0.65%-0.64%
200631.23%1.33%1.46%$274,856$306,898$241,8091.23%1.33%1.46%
200641.33%2.61%-0.04%$278,521$314,923$241,7231.33%2.61%-0.04%
20065-2.90%-2.34%-3.56%$270,453$307,556$233,118-2.90%-2.34%-3.56%
200660.13%0.70%-0.36%$270,799$309,702$232,2730.13%0.70%-0.36%
200670.61%2.69%-2.02%$272,443$318,033$227,5780.61%2.69%-2.02%
200682.36%1.70%3.00%$278,877$323,454$234,4072.36%1.70%3.00%
200692.56%2.09%2.84%$286,026$330,224$241,0742.56%2.09%2.84%
2006103.25%3.18%3.44%$295,325$340,731$249,3693.25%3.18%3.44%
2006111.89%2.03%2.19%$300,904$347,647$254,8421.89%2.03%2.19%
2006121.39%2.42%0.13%$299,402$350,357$249,4861.39%2.42%0.13%
200711.49%0.94%2.69%$303,873$353,652$256,1901.49%0.94%2.69%
20072-1.97%-1.64%-2.00%$297,889$347,852$251,078-1.97%-1.64%-2.00%
200731.11%1.62%0.56%$301,200$353,504$252,4971.11%1.62%0.56%
200744.42%4.16%4.32%$314,507$368,222$263,4134.42%4.16%4.32%
200753.48%3.67%3.47%$325,442$381,747$272,5653.48%3.67%3.47%
20076-1.68%-2.12%-1.20%$319,987$373,662$269,290-1.68%-2.12%-1.20%
20077-3.08%-4.49%-1.59%$310,116$356,871$264,998-3.08%-4.49%-1.59%
200781.50%1.31%1.68%$314,763$361,535$269,4591.50%1.31%1.68%
200793.72%3.31%4.28%$326,484$373,517$280,9933.72%3.31%4.28%
2007101.58%0.22%3.21%$331,639$374,322$290,0161.58%0.22%3.21%
200711-4.19%-4.94%-3.34%$317,754$355,820$280,318-4.19%-4.94%-3.34%
200712-0.70%-1.45%0.18%$309,609$344,734$274,913-0.70%-1.45%0.18%
20081-6.02%-4.09%-7.94%$290,984$330,647$253,072-6.02%-4.09%-7.94%
20082-3.25%-4.78%-1.41%$281,523$314,832$249,514-3.25%-4.78%-1.41%
20083-0.44%-0.38%-0.83%$280,283$313,650$247,440-0.44%-0.38%-0.83%
200844.85%4.14%5.83%$293,888$326,629$261,8634.85%4.14%5.83%
200851.29%-0.41%3.67%$297,687$325,291$271,4791.29%-0.41%3.67%
20086-8.44%-9.53%-6.72%$272,568$294,275$253,234-8.44%-9.53%-6.72%
20087-0.83%-0.32%-1.84%$270,301$293,332$248,583-0.83%-0.32%-1.84%
200881.45%1.65%1.17%$274,210$298,183$251,4901.45%1.65%1.17%
20089-8.91%-6.95%-11.43%$249,789$277,453$222,757-8.91%-6.95%-11.43%
200810-16.79%-16.55%-17.71%$207,843$231,528$183,300-16.79%-16.55%-17.71%
200811-7.17%-6.28%-8.58%$192,931$216,989$167,567-7.17%-6.28%-8.58%
2008121.07%1.73%1.19%$189,063$214,815$163,6391.07%1.73%1.19%
20091-8.41%-11.44%-4.58%$173,158$190,234$156,139-8.41%-11.44%-4.58%
20092-10.66%-13.34%-7.33%$154,705$164,852$144,686-10.66%-13.34%-7.33%
200938.76%8.93%8.30%$168,257$179,572$156,7018.76%8.93%8.30%
200949.56%10.30%9.19%$184,340$198,069$171,1089.56%10.30%9.19%
200955.62%6.75%4.35%$194,696$211,436$178,5545.62%6.75%4.35%
200960.22%-0.88%1.44%$195,124$209,583$181,1280.22%-0.88%1.44%
200977.58%8.04%7.08%$209,911$226,437$193,9567.58%8.04%7.08%
200983.60%5.10%1.97%$217,465$237,990$197,7723.60%5.10%1.97%
200993.72%3.37%4.53%$225,548$246,014$206,7263.72%3.37%4.53%
200910-1.87%-2.67%-1.38%$221,335$239,450$203,878-1.87%-2.67%-1.38%
2009115.98%6.00%5.83%$234,574$253,809$215,7605.98%6.00%5.83%
2009121.95%1.21%3.37%$233,051$250,780$216,9371.95%1.21%3.37%
20101-3.60%-2.47%-4.58%$224,652$244,588$207,012-3.60%-2.47%-4.58%
201023.09%2.53%3.76%$231,598$250,780$214,7933.09%2.53%3.76%
201036.01%6.16%5.90%$245,525$266,236$227,4596.01%6.16%5.90%
201041.58%1.78%1.54%$249,400$270,970$230,9611.58%1.78%1.54%
20105-8.01%-7.79%-8.27%$229,435$249,866$211,860-8.01%-7.79%-8.27%
20106-5.24%-5.10%-5.70%$217,414$237,125$199,793-5.24%-5.10%-5.70%
201077.00%6.54%7.43%$232,624$252,643$214,6347.00%6.54%7.43%
20108-4.53%-4.26%-4.72%$222,087$241,889$204,501-4.53%-4.26%-4.72%
201098.92%7.55%10.76%$241,894$260,152$226,4968.92%7.55%10.76%
2010103.79%2.69%5.13%$251,058$267,139$238,1063.79%2.69%5.13%
2010110.00%-0.56%0.94%$251,058$265,632$240,3470.00%-0.56%0.94%
2010126.67%7.89%5.57%$261,629$280,417$247,5476.67%7.89%5.57%
201112.36%2.84%1.87%$267,796$288,375$252,1692.36%2.84%1.87%
201123.42%4.02%2.73%$276,944$299,975$259,0633.42%4.02%2.73%
201130.03%0.04%0.29%$277,015$300,092$259,8070.03%0.04%0.29%
201142.95%2.94%3.05%$285,181$308,906$267,7382.95%2.94%3.05%
20115-1.15%-1.36%-0.70%$281,915$304,702$265,853-1.15%-1.36%-0.70%
20116-1.67%-2.15%-1.39%$277,200$298,165$262,162-1.67%-2.15%-1.39%
20117-2.05%-3.52%-0.69%$271,527$287,667$260,351-2.05%-3.52%-0.69%
20118-5.45%-5.78%-5.62%$256,738$271,034$245,708-5.45%-5.78%-5.62%
20119-7.04%-7.07%-7.60%$238,657$251,866$227,033-7.04%-7.07%-7.60%
20111010.91%10.36%11.79%$264,704$277,959$253,79410.91%10.36%11.79%
201111-0.23%-0.49%-0.16%$264,085$276,586$253,399-0.23%-0.49%-0.16%
2011121.02%2.39%-0.64%$260,411$276,847$245,4151.02%2.39%-0.64%
201214.46%3.42%6.26%$272,037$286,314$260,7774.46%3.42%6.26%
201224.31%3.92%4.88%$283,753$297,540$273,5154.31%3.92%4.88%
201233.28%2.89%3.38%$293,065$306,126$282,7703.28%2.89%3.38%
20124-0.64%-0.93%-0.30%$291,190$303,270$281,919-0.64%-0.93%-0.30%
20125-6.02%-5.96%-6.40%$273,667$285,183$263,888-6.02%-5.96%-6.40%
201264.11%4.70%2.95%$284,912$298,598$271,6784.11%4.70%2.95%
201271.37%1.19%1.29%$288,815$302,157$275,1701.37%1.19%1.29%
201282.24%1.40%3.33%$295,283$306,401$284,3272.24%1.40%3.33%
201292.58%3.05%2.03%$302,891$315,746$290,0862.58%3.05%2.03%
201210-1.86%-0.52%-3.09%$297,258$314,092$281,135-1.86%-0.52%-3.09%
2012110.56%-0.53%1.97%$298,923$312,439$286,6610.56%-0.53%1.97%
2012120.90%1.90%0.07%$295,148$311,909$280,3830.90%1.90%0.07%
201315.18%6.37%4.37%$310,425$331,768$292,6235.18%6.37%4.37%
201321.34%1.52%0.99%$314,582$336,801$295,5301.34%1.52%0.99%
201333.74%3.90%3.64%$326,343$349,928$306,2773.74%3.90%3.64%
201341.91%2.19%1.53%$332,571$357,588$310,9561.91%2.19%1.53%
201352.33%2.45%1.68%$340,312$366,343$316,1722.33%2.45%1.68%
20136-1.35%-0.81%-1.99%$335,716$363,380$309,868-1.35%-0.81%-1.99%
201375.07%5.19%5.31%$352,744$382,223$326,3315.07%5.19%5.31%
20138-2.91%-3.60%-1.72%$342,473$368,469$320,715-2.91%-3.60%-1.72%
201393.12%2.13%4.76%$353,163$376,310$335,9903.12%2.13%4.76%
2013104.59%4.56%4.25%$369,361$393,459$350,2634.59%4.56%4.25%
2013113.03%3.20%2.38%$380,547$406,044$358,5953.03%3.20%2.38%
2013122.51%2.05%3.34%$383,544$407,804$363,9972.51%2.05%3.34%
20141-3.47%-3.59%-2.99%$370,238$393,151$353,123-3.47%-3.59%-2.99%
201424.56%3.94%5.53%$387,124$408,625$372,6654.56%3.94%5.53%
201430.82%2.58%-1.58%$390,313$419,158$366,7730.82%2.58%-1.58%
201440.72%0.89%0.08%$393,139$422,875$367,0780.72%0.89%0.08%
201452.33%1.43%3.53%$402,318$428,932$380,0382.33%1.43%3.53%
201462.05%1.88%2.42%$410,574$436,984$389,2232.05%1.88%2.42%
20147-1.39%-1.27%-1.65%$404,875$431,449$382,804-1.39%-1.27%-1.65%
201483.98%3.46%4.71%$420,995$446,393$400,8393.98%3.46%4.71%
20149-1.41%-1.33%-1.91%$415,048$440,466$393,173-1.41%-1.33%-1.91%
2014102.42%1.90%3.04%$425,106$448,814$405,1262.42%1.90%3.04%
2014112.68%2.39%2.97%$436,509$459,526$417,1572.68%2.39%2.97%
201412-0.26%0.33%-0.99%$428,736$454,414$406,391-0.26%0.33%-0.99%
20151-3.02%-4.04%-1.49%$415,799$436,072$400,338-3.02%-4.04%-1.49%
201525.74%5.25%6.29%$439,664$458,965$425,5345.74%5.25%6.29%
20153-1.59%-1.58%-1.25%$432,657$451,694$420,228-1.59%-1.58%-1.25%
201540.95%1.57%-0.07%$436,763$458,767$419,9250.95%1.57%-0.07%
201551.27%1.09%1.45%$442,321$463,759$425,9941.27%1.09%1.45%
20156-1.93%-2.17%-1.60%$433,772$453,673$419,168-1.93%-2.17%-1.60%
201572.08%0.95%3.17%$442,795$457,997$432,4762.08%0.95%3.17%
20158-6.04%-5.82%-6.26%$416,043$431,359$405,403-6.04%-5.82%-6.26%
20159-2.49%-2.49%-2.86%$405,684$420,631$393,799-2.49%-2.49%-2.86%
2015108.42%7.57%8.93%$439,853$452,491$428,9618.42%7.57%8.93%
2015110.29%0.40%0.14%$441,113$454,316$429,5710.29%0.40%0.14%
201512-1.59%-1.01%-2.40%$427,420$443,053$412,607-1.59%-1.01%-2.40%
* End-of-month balance includes the annual contribution/withdrawal

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value47.54%85.74%0.00%
Large-cap Growth52.01%8.81%76.30%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth0.00%0.00%21.75%
Small-cap Value0.00%0.00%0.72%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%2.06%0.00%
Emerging Markets0.07%0.00%1.22%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%3.39%0.00%
Intermediate-Term Treasuries0.39%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.90%98.84%98.60%
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%$452,042100.00%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
VIVAXVanguard Value Index InvLarge Value100.00%$467,675100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 3

Holdings Based Exposures for Portfolio 3
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VIGRXVanguard Growth Index InvestorLarge Growth100.00%$437,229100.00%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 2Portfolio 3
Arithmetic Mean (monthly)0.81%0.82%0.82%
Arithmetic Mean (annualized)10.16%10.26%10.35%
Geometric Mean (monthly)0.72%0.72%0.72%
Geometric Mean (annualized)8.99%9.04%9.00%
Volatility (monthly)4.22%4.29%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%
US 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
Information Ratio-0.040.000.02
Diversification Ratio1.001.001.00
Skewness-0.68-0.77-0.59
Excess Kurtosis1.281.770.91
Historical Value-at-Risk (5%)-7.14%-6.29%-7.37%
Analytical Value-at-Risk (5%)-6.12%-6.23%-6.63%
Conditional Value-at-Risk (5%)-9.74%-10.28%-10.33%
Upside Capture Ratio (%)96.0193.0299.89
Downside Capture Ratio (%)95.2691.3199.85
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
* 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 2Portfolio 3
Asian CrisisJul 1997Jan 1998-5.61%-4.51%-6.64%
Russian Debt 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Sep 2000Feb 20098 years 6 monthsMay 20134 years 3 months12 years 9 months-53.93%
2Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
3Aug 2015Sep 20152 months-8.38%
4Nov 1993Mar 19945 monthsAug 19945 months10 months-7.24%
5Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
6Sep 1994Dec 19944 monthsMar 19953 months7 months-6.34%
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%
10Dec 2014Jan 20152 monthsFeb 20151 month3 months-4.74%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsJul 20134 years 5 months6 years 2 months-56.82%
2Feb 2001Sep 20021 year 8 monthsJan 20063 years 4 months5 years-40.36%
3May 1998Aug 19984 monthsJan 19995 months9 months-18.48%
4Jul 1999Feb 20008 monthsAug 20006 months1 year 2 months-11.81%
5Jun 2015Sep 20154 months-9.30%
6Feb 1994Dec 199411 monthsMar 19953 months1 year 2 months-8.63%
7Dec 2014Jan 20152 monthsMay 20154 months6 months-5.10%
8Nov 2000Nov 20001 monthJan 20012 months3 months-5.08%
9Jun 1996Jul 19962 monthsSep 19962 months4 months-4.76%
10Aug 1997Aug 19971 monthSep 19971 month2 months-4.51%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2000Feb 20098 years 11 monthsJun 20145 years 4 months14 years 3 months-61.99%
2Aug 1998Aug 19981 monthOct 19982 months3 months-13.04%
3Aug 2015Sep 20152 months-8.94%
4Dec 1993Jun 19947 monthsAug 19942 months9 months-7.78%
5Jan 2000Jan 20001 monthMar 20002 months3 months-6.67%
6Aug 1997Aug 19971 monthNov 19973 months4 months-6.64%
7Nov 1994Dec 19942 monthsFeb 19952 months4 months-5.85%
8Jan 1993Apr 19934 monthsOct 19936 months10 months-5.18%
9Dec 1996Dec 19961 monthJan 19971 month2 months-5.06%
10Mar 1997Mar 19971 monthApr 19971 month2 months-4.80%
Worst 10 drawdowns included above

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
TickerNameVFINXVIVAXVIGRXPortfolio 1Portfolio 2Portfolio 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
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor$452,042
VIVAXVanguard Value Index Inv$467,675
VIGRXVanguard Growth Index Investor$437,229

Portfolio Risk Decomposition

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

Annual Asset Returns