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
VFINX Vanguard 500 Index Investor 100.00%
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Portfolio 2
Ticker Name Allocation
VIVAX Vanguard Value Index Inv 100.00%
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Portfolio 3
Ticker Name Allocation
VIGRX Vanguard Growth Index Investor 100.00%
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Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$100,000$723,905 8.99% 14.60%37.45%-37.02%-50.97% 0.490.710.99
Portfolio 2$100,000$731,922 9.04% 14.85%37.03%-35.97%-54.86% 0.490.700.94
Portfolio 3$100,000$725,024 9.00% 15.71%42.21%-38.32%-53.58% 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
  • 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 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 Value Index Inv (VIVAX)Vanguard Growth Index Investor (VIGRX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19932.75%9.89%18.25%1.53%$109,892$118,249$101,5272.86% [$2,859]4.33% [$4,326]2.06% [$2,063]9.89%18.25%1.53%
19942.67%1.18%-0.65%2.89%$111,185$117,483$104,4613.16% [$3,472]4.68% [$5,531]2.07% [$2,107]1.18%-0.65%2.89%
19952.54%37.45%37.03%38.06%$152,819$160,987$144,2233.17% [$3,524]3.64% [$4,272]1.96% [$2,045]37.45%37.03%38.06%
19963.32%22.88%21.78%23.74%$187,779$196,052$178,4612.68% [$4,091]6.54% [$10,525]2.60% [$3,748]22.88%21.78%23.74%
19971.70%33.19%29.77%36.34%$250,103$254,410$243,3162.78% [$5,224]6.70% [$13,139]2.86% [$5,098]33.19%29.77%36.34%
19981.61%28.62%14.64%42.21%$321,676$291,663$346,0071.95% [$4,888]6.60% [$16,792]1.49% [$3,621]28.62%14.64%42.21%
19992.68%21.07%12.57%28.76%$389,448$328,320$445,5162.13% [$6,838]10.58% [$30,872]4.03% [$13,955]21.07%12.57%28.76%
20003.39%-9.06%6.08%-22.21%$354,179$348,286$346,5730.96% [$3,754]5.95% [$19,541]0.32% [$1,414]-9.06%6.08%-22.21%
20011.55%-12.02%-11.88%-12.93%$311,595$306,925$301,7661.05% [$3,723]5.73% [$19,972]0.61% [$2,126]-12.02%-11.88%-12.93%
20022.38%-22.15%-20.91%-23.68%$242,592$242,757$230,3191.29% [$4,024]1.68% [$5,151]0.86% [$2,602]-22.15%-20.91%-23.68%
20031.88%28.50%32.25%25.92%$311,736$321,040$290,0251.77% [$4,301]2.56% [$6,218]0.88% [$2,038]28.50%32.25%25.92%
20043.26%10.74%15.28%7.20%$345,217$370,085$310,9081.91% [$5,961]2.44% [$7,845]1.19% [$3,445]10.74%15.28%7.20%
20053.42%4.77%7.09%5.09%$361,699$396,316$326,7241.79% [$6,164]2.62% [$9,714]0.78% [$2,420]4.77%7.09%5.09%
20062.54%15.64%22.15%9.01%$418,274$484,095$356,1731.87% [$6,781]2.68% [$10,606]0.87% [$2,844]15.64%22.15%9.01%
20074.08%5.39%0.09%12.56%$440,806$484,507$400,9251.92% [$8,030]2.59% [$12,555]0.91% [$3,241]5.39%0.09%12.56%
20080.09%-37.02%-35.97%-38.32%$277,616$310,241$247,2891.87% [$8,235]2.56% [$12,404]0.79% [$3,171]-37.02%-35.97%-38.32%
20092.72%26.49%19.58%36.29%$351,145$370,974$337,0322.56% [$7,097]3.21% [$9,949]1.39% [$3,442]26.49%19.58%36.29%
20101.50%14.91%14.28%16.96%$403,513$423,955$394,1861.93% [$6,772]2.50% [$9,284]1.17% [$3,952]14.91%14.28%16.96%
20112.96%1.97%1.00%1.71%$411,446$428,175$400,9211.95% [$7,882]2.51% [$10,620]1.09% [$4,308]1.97%1.00%1.71%
20121.74%15.82%15.00%16.89%$476,557$492,412$468,6192.35% [$9,665]2.93% [$12,528]1.59% [$6,363]15.82%15.00%16.89%
20131.50%32.18%32.85%32.16%$629,891$654,173$619,3482.26% [$10,775]2.72% [$13,390]1.39% [$6,513]32.18%32.85%32.16%
20140.76%13.51%13.05%13.47%$714,980$739,560$702,7441.95% [$12,298]2.32% [$15,172]1.21% [$7,485]13.51%13.05%13.47%
20150.73%1.25%-1.03%3.17%$723,905$731,922$725,0241.99% [$14,212]2.39% [$17,711]1.19% [$8,357]1.25%-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%$109,892$118,249$101,5271.22%1.68%0.68%
199413.38%4.69%2.06%$113,603$123,793$103,6183.38%4.69%2.06%
19942-2.71%-3.58%-1.73%$110,519$119,358$101,826-2.71%-3.58%-1.73%
19943-4.39%-4.13%-4.71%$105,669$114,423$97,027-4.39%-4.13%-4.71%
199441.29%2.06%0.52%$107,032$116,777$97,5271.29%2.06%0.52%
199451.60%1.58%1.54%$108,749$118,620$99,0271.60%1.58%1.54%
19946-2.45%-2.60%-2.13%$106,088$115,534$96,919-2.45%-2.60%-2.13%
199473.28%3.39%3.22%$109,564$119,447$100,0363.28%3.39%3.22%
199484.08%2.76%5.33%$114,030$122,742$105,3644.08%2.76%5.33%
19949-2.45%-3.52%-1.43%$111,241$118,420$103,858-2.45%-3.52%-1.43%
1994102.25%2.10%2.33%$113,740$120,906$106,2832.25%2.10%2.33%
199411-3.65%-4.03%-3.33%$109,583$116,037$102,747-3.65%-4.03%-3.33%
1994121.46%1.25%1.67%$111,185$117,483$104,4611.46%1.25%1.67%
199512.58%2.70%2.53%$114,057$120,653$107,1032.58%2.70%2.53%
199523.88%3.85%3.80%$118,481$125,302$111,1683.88%3.85%3.80%
199532.95%2.80%3.11%$121,981$128,806$114,6222.95%2.80%3.11%
199542.94%3.30%2.67%$125,568$133,057$117,6842.94%3.30%2.67%
199553.95%4.39%3.56%$130,534$138,902$121,8683.95%4.39%3.56%
199562.31%0.77%3.77%$133,551$139,966$126,4632.31%0.77%3.77%
199573.30%3.51%3.24%$137,963$144,881$130,5623.30%3.51%3.24%
199580.26%0.81%-0.31%$138,329$146,056$130,1520.26%0.81%-0.31%
199594.21%3.52%4.88%$144,154$151,193$136,5064.21%3.52%4.88%
199510-0.36%-1.56%0.83%$143,630$148,831$137,637-0.36%-1.56%0.83%
1995114.38%5.19%3.59%$149,922$156,563$142,5754.38%5.19%3.59%
1995121.93%2.83%1.16%$152,819$160,987$144,2231.93%2.83%1.16%
199613.39%2.91%3.79%$157,992$165,665$149,6953.39%2.91%3.79%
199620.92%0.92%0.90%$159,451$167,188$151,0370.92%0.92%0.90%
199630.98%2.32%-0.42%$161,009$171,071$150,4030.98%2.32%-0.42%
199641.46%1.10%1.87%$163,354$172,957$153,2111.46%1.10%1.87%
199652.54%1.48%3.60%$167,510$175,509$158,7242.54%1.48%3.60%
199660.38%-0.50%1.25%$168,151$174,625$160,7010.38%-0.50%1.25%
19967-4.42%-4.28%-4.55%$160,718$167,158$153,396-4.42%-4.28%-4.55%
199682.10%2.80%1.43%$164,087$171,839$155,5882.10%2.80%1.43%
199695.61%4.22%6.91%$173,287$179,084$166,3375.61%4.22%6.91%
1996102.76%3.37%2.20%$178,062$185,128$170,0012.76%3.37%2.20%
1996117.56%7.68%7.45%$191,530$199,343$182,6677.56%7.68%7.45%
199612-1.96%-1.65%-2.30%$187,779$196,052$178,461-1.96%-1.65%-2.30%
199716.22%4.58%7.87%$199,452$205,036$192,5056.22%4.58%7.87%
199720.79%0.73%0.82%$201,027$206,534$194,0890.79%0.73%0.82%
19973-4.14%-3.48%-4.80%$192,713$199,336$184,774-4.14%-3.48%-4.80%
199745.96%3.78%8.08%$204,190$206,872$199,7045.96%3.78%8.08%
199756.09%6.26%5.89%$216,621$219,823$211,4576.09%6.26%5.89%
199764.45%3.80%5.06%$226,269$228,178$222,1514.45%3.80%5.06%
199777.97%7.98%7.88%$244,293$246,375$239,6647.97%7.98%7.88%
19978-5.61%-4.51%-6.64%$230,590$235,268$223,743-5.61%-4.51%-6.64%
199795.47%5.83%5.08%$243,201$248,979$235,1015.47%5.83%5.08%
199710-3.35%-3.71%-2.99%$235,053$239,731$228,080-3.35%-3.71%-2.99%
1997114.60%3.81%5.41%$245,862$248,860$240,4204.60%3.81%5.41%
1997121.72%2.23%1.20%$250,103$254,410$243,3161.72%2.23%1.20%
199811.11%-1.25%3.37%$252,880$251,237$251,5231.11%-1.25%3.37%
199827.19%7.53%6.91%$271,068$270,150$268,9117.19%7.53%6.91%
199835.10%5.02%5.14%$284,902$283,707$282,7395.10%5.02%5.14%
199841.01%1.18%0.84%$287,773$287,066$285,1191.01%1.18%0.84%
19985-1.74%-1.43%-2.01%$282,756$282,960$279,385-1.74%-1.43%-2.01%
199864.07%0.75%7.09%$294,269$285,075$299,1874.07%0.75%7.09%
19987-1.05%-2.15%0.00%$291,167$278,959$299,187-1.05%-2.15%0.00%
19988-14.47%-16.11%-13.04%$249,025$234,026$260,163-14.47%-16.11%-13.04%
199896.41%6.07%6.70%$264,990$248,230$277,6026.41%6.07%6.70%
1998108.16%7.87%8.41%$286,624$267,768$300,9528.16%7.87%8.41%
1998116.07%5.24%6.78%$304,026$281,795$321,3716.07%5.24%6.78%
1998125.81%3.50%7.67%$321,676$291,663$346,0075.81%3.50%7.67%
199914.20%2.00%6.16%$335,198$297,493$367,3124.20%2.00%6.16%
19992-3.12%-2.18%-3.93%$324,724$291,015$352,890-3.12%-2.18%-3.93%
199934.00%3.01%4.82%$337,702$299,785$369,8974.00%3.01%4.82%
199943.85%8.64%-0.21%$350,710$325,672$369,1283.85%8.64%-0.21%
19995-2.39%-1.81%-2.95%$342,331$319,770$358,252-2.39%-1.81%-2.95%
199965.56%3.83%7.28%$361,352$332,019$384,3245.56%3.83%7.28%
19997-3.13%-3.08%-3.15%$350,041$321,787$372,217-3.13%-3.08%-3.15%
19998-0.50%-2.51%1.33%$348,303$313,709$377,170-0.50%-2.51%1.33%
19999-2.74%-3.95%-1.69%$338,763$301,332$370,787-2.74%-3.95%-1.69%
1999106.33%5.66%6.90%$360,194$318,373$396,3596.33%5.66%6.90%
1999112.02%-0.59%4.28%$367,481$316,480$413,3332.02%-0.59%4.28%
1999125.98%3.74%7.79%$389,448$328,320$445,5165.98%3.74%7.79%
20001-5.03%-3.19%-6.67%$369,850$317,849$415,800-5.03%-3.19%-6.67%
20002-1.91%-6.27%2.07%$362,800$297,912$424,387-1.91%-6.27%2.07%
200039.76%10.39%9.21%$398,209$328,875$463,4679.76%10.39%9.21%
20004-3.01%-0.67%-4.98%$386,240$326,676$440,395-3.01%-0.67%-4.98%
20005-2.04%0.31%-4.06%$378,367$327,702$422,526-2.04%0.31%-4.06%
200062.49%-3.94%8.17%$387,777$314,783$457,0312.49%-3.94%8.17%
20007-1.49%2.06%-4.41%$381,996$321,259$436,884-1.49%2.06%-4.41%
200086.19%6.64%5.78%$405,641$342,597$462,1246.19%6.64%5.78%
20009-5.29%-0.03%-9.77%$384,185$342,479$416,956-5.29%-0.03%-9.77%
200010-0.43%1.86%-2.63%$382,534$348,832$405,972-0.43%1.86%-2.63%
200011-7.88%-5.08%-10.66%$352,399$331,102$362,713-7.88%-5.08%-10.66%
2000120.50%5.19%-4.45%$354,179$348,286$346,5730.50%5.19%-4.45%
200113.55%4.24%2.85%$366,735$363,058$356,4363.55%4.24%2.85%
20012-9.14%-6.67%-11.80%$333,223$338,844$314,376-9.14%-6.67%-11.80%
20013-6.36%-3.97%-9.05%$312,043$325,382$285,925-6.36%-3.97%-9.05%
200147.77%6.81%8.94%$336,290$347,531$311,4747.77%6.81%8.94%
200150.65%1.01%0.22%$338,476$351,036$312,1550.65%1.01%0.22%
20016-2.45%-3.22%-1.35%$330,199$339,729$307,952-2.45%-3.22%-1.35%
20017-1.00%-1.74%-0.30%$326,897$333,811$307,043-1.00%-1.74%-0.30%
20018-6.27%-5.80%-6.74%$306,388$314,457$286,353-6.27%-5.80%-6.74%
20019-8.09%-9.53%-6.71%$281,598$284,488$267,125-8.09%-9.53%-6.71%
2001101.90%0.00%3.62%$286,934$284,488$276,8081.90%0.00%3.62%
2001117.65%6.33%8.85%$308,896$302,489$301,2997.65%6.33%8.85%
2001120.87%1.47%0.16%$311,595$306,925$301,7660.87%1.47%0.16%
20021-1.47%-2.75%-0.19%$307,005$298,481$301,195-1.47%-2.75%-0.19%
20022-1.94%-0.87%-2.96%$301,061$295,883$292,286-1.94%-0.87%-2.96%
200233.74%5.11%2.34%$312,330$310,988$299,1363.74%5.11%2.34%
20024-6.07%-5.03%-7.15%$293,357$295,341$277,737-6.07%-5.03%-7.15%
20025-0.75%0.39%-1.98%$291,144$296,482$272,244-0.75%0.39%-1.98%
20026-7.13%-6.32%-8.03%$270,372$277,738$250,388-7.13%-6.32%-8.03%
20027-7.72%-10.78%-4.72%$249,502$247,787$238,574-7.72%-10.78%-4.72%
200280.65%0.73%0.62%$251,130$249,588$240,0650.65%0.73%0.62%
20029-10.87%-11.48%-10.37%$223,820$220,931$215,163-10.87%-11.48%-10.37%
2002108.78%8.35%9.20%$243,478$239,369$234,9548.78%8.35%9.20%
2002115.88%7.02%4.85%$257,783$256,161$246,3455.88%7.02%4.85%
200212-5.89%-5.23%-6.51%$242,592$242,757$230,319-5.89%-5.23%-6.51%
20031-2.62%-2.80%-2.56%$236,225$235,963$224,431-2.62%-2.80%-2.56%
20032-1.52%-2.74%-0.31%$232,637$229,501$223,738-1.52%-2.74%-0.31%
200330.96%-0.15%2.01%$234,863$229,147$228,2270.96%-0.15%2.01%
200348.25%9.96%6.75%$254,248$251,962$243,6358.25%9.96%6.75%
200355.26%7.93%3.28%$267,631$271,946$251,6295.26%7.93%3.28%
200361.26%1.34%1.19%$271,003$275,590$254,6321.26%1.34%1.19%
200371.74%0.97%2.64%$275,729$278,264$261,3631.74%0.97%2.64%
200381.93%1.68%2.31%$281,058$282,943$267,3981.93%1.68%2.31%
20039-1.07%-0.41%-1.69%$278,046$281,776$262,872-1.07%-0.41%-1.69%
2003105.64%5.19%6.19%$293,732$296,411$279,1415.64%5.19%6.19%
2003110.86%1.31%0.92%$296,271$300,280$281,6980.86%1.31%0.92%
2003125.22%6.91%2.96%$311,736$321,040$290,0255.22%6.91%2.96%
200411.82%1.58%2.25%$317,413$326,122$296,5421.82%1.58%2.25%
200421.38%1.92%0.86%$321,786$332,391$299,1021.38%1.92%0.86%
20043-1.51%-1.37%-1.59%$316,916$327,825$294,339-1.51%-1.37%-1.59%
20044-1.58%-2.03%-1.50%$311,919$321,184$289,910-1.58%-2.03%-1.50%
200451.36%0.95%1.93%$316,154$324,249$295,5051.36%0.95%1.93%
200461.93%2.68%1.11%$322,254$332,938$298,7711.93%2.68%1.11%
20047-3.31%-1.39%-5.51%$311,585$328,316$282,315-3.31%-1.39%-5.51%
200480.38%1.51%-0.66%$312,777$333,280$280,4480.38%1.51%-0.66%
200491.07%1.13%1.33%$316,115$337,051$284,1851.07%1.13%1.33%
2004101.51%1.43%1.56%$320,903$341,871$288,6271.51%1.43%1.56%
2004114.05%4.63%3.85%$333,886$357,708$299,7334.05%4.63%3.85%
2004123.39%3.46%3.73%$345,217$370,085$310,9083.39%3.46%3.73%
20051-2.45%-1.97%-3.03%$336,744$362,804$301,490-2.45%-1.97%-3.03%
200522.09%3.25%1.13%$343,794$374,591$304,9042.09%3.25%1.13%
20053-1.76%-1.61%-1.66%$337,743$368,545$299,845-1.76%-1.61%-1.66%
20054-1.91%-1.37%-2.40%$331,286$363,491$292,649-1.91%-1.37%-2.40%
200553.17%2.11%4.84%$341,779$371,158$306,8043.17%2.11%4.84%
200560.13%0.99%-0.19%$342,214$374,818$306,2150.13%0.99%-0.19%
200573.71%2.99%4.63%$354,898$386,032$320,3913.71%2.99%4.63%
20058-0.91%-0.36%-1.29%$351,657$384,631$316,256-0.91%-0.36%-1.29%
200590.79%1.42%0.30%$354,449$390,093$317,2090.79%1.42%0.30%
200510-1.68%-2.53%-0.86%$348,500$380,213$314,487-1.68%-2.53%-0.86%
2005113.76%3.48%4.33%$361,619$393,445$328,0993.76%3.48%4.33%
2005120.02%0.73%-0.42%$361,699$396,316$326,7240.02%0.73%-0.42%
200612.65%3.23%2.47%$371,267$409,118$334,7912.65%3.23%2.47%
200620.26%0.65%-0.64%$372,243$411,785$332,6560.26%0.65%-0.64%
200631.23%1.33%1.46%$376,824$417,273$337,5171.23%1.33%1.46%
200641.33%2.61%-0.04%$381,848$428,183$337,3981.33%2.61%-0.04%
20065-2.90%-2.34%-3.56%$370,788$418,167$325,386-2.90%-2.34%-3.56%
200660.13%0.70%-0.36%$371,262$421,084$324,2070.13%0.70%-0.36%
200670.61%2.69%-2.02%$373,515$432,411$317,6540.61%2.69%-2.02%
200682.36%1.70%3.00%$382,337$439,783$327,1862.36%1.70%3.00%
200692.56%2.09%2.84%$392,138$448,987$336,4912.56%2.09%2.84%
2006103.25%3.18%3.44%$404,886$463,273$348,0693.25%3.18%3.44%
2006111.89%2.03%2.19%$412,535$472,676$355,7091.89%2.03%2.19%
2006121.39%2.42%0.13%$418,274$484,095$356,1731.39%2.42%0.13%
200711.49%0.94%2.69%$424,520$488,648$365,7441.49%0.94%2.69%
20072-1.97%-1.64%-2.00%$416,161$480,634$358,446-1.97%-1.64%-2.00%
200731.11%1.62%0.56%$420,787$488,443$360,4711.11%1.62%0.56%
200744.42%4.16%4.32%$439,377$508,779$376,0554.42%4.16%4.32%
200753.48%3.67%3.47%$454,654$527,467$389,1223.48%3.67%3.47%
20076-1.68%-2.12%-1.20%$447,033$516,296$384,446-1.68%-2.12%-1.20%
20077-3.08%-4.49%-1.59%$433,243$493,096$378,319-3.08%-4.49%-1.59%
200781.50%1.31%1.68%$439,734$499,540$384,6861.50%1.31%1.68%
200793.72%3.31%4.28%$456,109$516,096$401,1533.72%3.31%4.28%
2007101.58%0.22%3.21%$463,311$517,207$414,0351.58%0.22%3.21%
200711-4.19%-4.94%-3.34%$443,913$491,643$400,190-4.19%-4.94%-3.34%
200712-0.70%-1.45%0.18%$440,806$484,507$400,925-0.70%-1.45%0.18%
20081-6.02%-4.09%-7.94%$414,289$464,708$369,073-6.02%-4.09%-7.94%
20082-3.25%-4.78%-1.41%$400,818$442,481$363,885-3.25%-4.78%-1.41%
20083-0.44%-0.38%-0.83%$399,053$440,819$360,859-0.44%-0.38%-0.83%
200844.85%4.14%5.83%$418,424$459,061$381,8944.85%4.14%5.83%
200851.29%-0.41%3.67%$423,832$457,181$395,9181.29%-0.41%3.67%
20086-8.44%-9.53%-6.72%$388,068$413,590$369,310-8.44%-9.53%-6.72%
20087-0.83%-0.32%-1.84%$384,840$412,264$362,527-0.83%-0.32%-1.84%
200881.45%1.65%1.17%$390,406$419,081$366,7671.45%1.65%1.17%
20089-8.91%-6.95%-11.43%$355,637$389,946$324,862-8.91%-6.95%-11.43%
200810-16.79%-16.55%-17.71%$295,917$325,401$267,319-16.79%-16.55%-17.71%
200811-7.17%-6.28%-8.58%$274,685$304,968$244,375-7.17%-6.28%-8.58%
2008121.07%1.73%1.19%$277,616$310,241$247,2891.07%1.73%1.19%
20091-8.41%-11.44%-4.58%$254,262$274,741$235,955-8.41%-11.44%-4.58%
20092-10.66%-13.34%-7.33%$227,165$238,083$218,648-10.66%-13.34%-7.33%
200938.76%8.93%8.30%$247,065$259,342$236,8048.76%8.93%8.30%
200949.56%10.30%9.19%$270,681$286,056$258,5769.56%10.30%9.19%
200955.62%6.75%4.35%$285,887$305,360$269,8295.62%6.75%4.35%
200960.22%-0.88%1.44%$286,516$302,685$273,7190.22%-0.88%1.44%
200977.58%8.04%7.08%$308,228$327,025$293,1047.58%8.04%7.08%
200983.60%5.10%1.97%$319,321$343,710$298,8703.60%5.10%1.97%
200993.72%3.37%4.53%$331,189$355,299$312,4023.72%3.37%4.53%
200910-1.87%-2.67%-1.38%$325,004$345,819$308,097-1.87%-2.67%-1.38%
2009115.98%6.00%5.83%$344,443$366,557$326,0545.98%6.00%5.83%
2009121.95%1.21%3.37%$351,145$370,974$337,0321.95%1.21%3.37%
20101-3.60%-2.47%-4.58%$338,490$361,814$321,612-3.60%-2.47%-4.58%
201023.09%2.53%3.76%$348,956$370,974$333,7013.09%2.53%3.76%
201036.01%6.16%5.90%$369,940$393,837$353,3796.01%6.16%5.90%
201041.58%1.78%1.54%$375,778$400,841$358,8191.58%1.78%1.54%
20105-8.01%-7.79%-8.27%$345,697$369,622$329,145-8.01%-7.79%-8.27%
20106-5.24%-5.10%-5.70%$327,584$350,774$310,398-5.24%-5.10%-5.70%
201077.00%6.54%7.43%$350,502$373,730$333,4547.00%6.54%7.43%
20108-4.53%-4.26%-4.72%$334,625$357,822$317,711-4.53%-4.26%-4.72%
201098.92%7.55%10.76%$364,470$384,838$351,8838.92%7.55%10.76%
2010103.79%2.69%5.13%$378,277$395,173$369,9193.79%2.69%5.13%
2010110.00%-0.56%0.94%$378,277$392,944$373,4020.00%-0.56%0.94%
2010126.67%7.89%5.57%$403,513$423,955$394,1866.67%7.89%5.57%
201112.36%2.84%1.87%$413,025$435,987$401,5462.36%2.84%1.87%
201123.42%4.02%2.73%$427,135$453,524$412,5233.42%4.02%2.73%
201130.03%0.04%0.29%$427,244$453,701$413,7090.03%0.04%0.29%
201142.95%2.94%3.05%$439,839$467,027$426,3372.95%2.94%3.05%
20115-1.15%-1.36%-0.70%$434,801$460,671$423,336-1.15%-1.36%-0.70%
20116-1.67%-2.15%-1.39%$427,530$450,788$417,458-1.67%-2.15%-1.39%
20117-2.05%-3.52%-0.69%$418,779$434,916$414,575-2.05%-3.52%-0.69%
20118-5.45%-5.78%-5.62%$395,970$409,769$391,258-5.45%-5.78%-5.62%
20119-7.04%-7.07%-7.60%$368,084$380,790$361,520-7.04%-7.07%-7.60%
20111010.91%10.36%11.79%$408,256$420,239$404,13310.91%10.36%11.79%
201111-0.23%-0.49%-0.16%$407,302$418,163$403,505-0.23%-0.49%-0.16%
2011121.02%2.39%-0.64%$411,446$428,175$400,9211.02%2.39%-0.64%
201214.46%3.42%6.26%$429,816$442,817$426,0184.46%3.42%6.26%
201224.31%3.92%4.88%$448,327$460,178$446,8274.31%3.92%4.88%
201233.28%2.89%3.38%$463,039$473,458$461,9453.28%2.89%3.38%
20124-0.64%-0.93%-0.30%$460,078$469,041$460,555-0.64%-0.93%-0.30%
20125-6.02%-5.96%-6.40%$432,391$441,067$431,098-6.02%-5.96%-6.40%
201264.11%4.70%2.95%$450,158$461,815$443,8254.11%4.70%2.95%
201271.37%1.19%1.29%$456,325$467,320$449,5301.37%1.19%1.29%
201282.24%1.40%3.33%$466,543$473,884$464,4892.24%1.40%3.33%
201292.58%3.05%2.03%$478,564$488,336$473,8972.58%3.05%2.03%
201210-1.86%-0.52%-3.09%$469,665$485,779$459,275-1.86%-0.52%-3.09%
2012110.56%-0.53%1.97%$472,295$483,223$468,3030.56%-0.53%1.97%
2012120.90%1.90%0.07%$476,557$492,412$468,6190.90%1.90%0.07%
201315.18%6.37%4.37%$501,224$523,764$489,0775.18%6.37%4.37%
201321.34%1.52%0.99%$507,935$531,710$493,9361.34%1.52%0.99%
201333.74%3.90%3.64%$526,925$552,433$511,8973.74%3.90%3.64%
201341.91%2.19%1.53%$536,982$564,527$519,7171.91%2.19%1.53%
201352.33%2.45%1.68%$549,480$578,348$528,4352.33%2.45%1.68%
20136-1.35%-0.81%-1.99%$542,059$573,670$517,899-1.35%-0.81%-1.99%
201375.07%5.19%5.31%$569,554$603,417$545,4145.07%5.19%5.31%
20138-2.91%-3.60%-1.72%$552,969$581,703$536,028-2.91%-3.60%-1.72%
201393.12%2.13%4.76%$570,231$594,082$561,5593.12%2.13%4.76%
2013104.59%4.56%4.25%$596,384$621,155$585,4144.59%4.56%4.25%
2013113.03%3.20%2.38%$614,445$641,023$599,3403.03%3.20%2.38%
2013122.51%2.05%3.34%$629,891$654,173$619,3482.51%2.05%3.34%
20141-3.47%-3.59%-2.99%$608,039$630,668$600,846-3.47%-3.59%-2.99%
201424.56%3.94%5.53%$635,770$655,491$634,0974.56%3.94%5.53%
201430.82%2.58%-1.58%$641,008$672,387$624,0710.82%2.58%-1.58%
201440.72%0.89%0.08%$645,649$678,349$624,5900.72%0.89%0.08%
201452.33%1.43%3.53%$660,725$688,065$646,6422.33%1.43%3.53%
201462.05%1.88%2.42%$674,282$700,982$662,2702.05%1.88%2.42%
20147-1.39%-1.27%-1.65%$664,923$692,103$651,347-1.39%-1.27%-1.65%
201483.98%3.46%4.71%$691,398$716,076$682,0363.98%3.46%4.71%
20149-1.41%-1.33%-1.91%$681,631$706,568$668,991-1.41%-1.33%-1.91%
2014102.42%1.90%3.04%$698,148$719,958$689,3302.42%1.90%3.04%
2014112.68%2.39%2.97%$716,875$737,143$709,8002.68%2.39%2.97%
201412-0.26%0.33%-0.99%$714,980$739,560$702,744-0.26%0.33%-0.99%
20151-3.02%-4.04%-1.49%$693,405$709,708$692,277-3.02%-4.04%-1.49%
201525.74%5.25%6.29%$733,204$746,967$735,8475.74%5.25%6.29%
20153-1.59%-1.58%-1.25%$721,519$735,133$726,672-1.59%-1.58%-1.25%
201540.95%1.57%-0.07%$728,367$746,644$726,1480.95%1.57%-0.07%
201551.27%1.09%1.45%$737,636$754,770$736,6431.27%1.09%1.45%
20156-1.93%-2.17%-1.60%$723,378$738,355$724,839-1.93%-2.17%-1.60%
201572.08%0.95%3.17%$738,426$745,391$747,8512.08%0.95%3.17%
20158-6.04%-5.82%-6.26%$693,814$702,038$701,037-6.04%-5.82%-6.26%
20159-2.49%-2.49%-2.86%$676,537$684,579$680,969-2.49%-2.49%-2.86%
2015108.42%7.57%8.93%$733,520$736,430$741,7738.42%7.57%8.93%
2015110.29%0.40%0.14%$735,621$739,400$742,8280.29%0.40%0.14%
201512-1.59%-1.01%-2.40%$723,905$731,922$725,024-1.59%-1.01%-2.40%

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%
Intermediate Treasuries0.39%0.00%0.00%
Long Treasuries0.00%3.39%0.00%
Corporate Bonds0.00%0.00%0.00%
Cash0.00%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%$623,905100.00%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%$631,922100.00%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%$625,024100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 05/03/2018. © 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 returns.

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
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
1Jun 2007Feb 20091 year 9 monthsFeb 20134 years5 years 9 months-54.86%
2Feb 2001Sep 20021 year 8 monthsDec 20042 years 3 months3 years 11 months-39.15%
3May 1998Aug 19984 monthsDec 19984 months8 months-18.48%
4Jul 1999Feb 20008 monthsAug 20006 months1 year 2 months-10.27%
5Jun 2015Sep 20154 months-9.30%
6Feb 1994Mar 19942 monthsFeb 199511 months1 year 1 month-7.57%
7Nov 2000Nov 20001 monthJan 20012 months3 months-5.08%
8Jun 1996Jul 19962 monthsSep 19962 months4 months-4.76%
9Aug 1997Aug 19971 monthSep 19971 month2 months-4.51%
10Jan 2015Jan 20151 monthFeb 20151 month2 months-4.04%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Apr 2000Sep 20022 years 6 monthsAug 20129 years 11 months12 years 5 months-53.58%
2Aug 1998Aug 19981 monthOct 19982 months3 months-13.04%
3Aug 2015Sep 20152 months-8.94%
4Jan 2000Jan 20001 monthMar 20002 months3 months-6.67%
5Aug 1997Aug 19971 monthNov 19973 months4 months-6.64%
6Feb 1994Jun 19945 monthsAug 19942 months7 months-6.46%
7Jan 1993Apr 19934 monthsOct 19936 months10 months-5.18%
8Mar 1997Mar 19971 monthApr 19971 month2 months-4.80%
9Jul 1996Jul 19961 monthSep 19962 months3 months-4.55%
10Feb 1999Feb 19991 monthMar 19991 month2 months-3.93%
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$623,905
VIVAXVanguard Value Index Inv$631,922
VIGRXVanguard Growth Index Investor$625,024

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