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 BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$100,000$723,905 8.99% 14.60%37.45%-37.02%-50.97% 0.490.710.99
2$100,000$731,922 9.04% 14.85%37.03%-35.97%-54.86% 0.490.700.94
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 dividends and distributions are reinvested. Taxes and transaction fees are not included
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes. This includes both dividends and capital gains distributions.
Annual returns for the configured portfolios
YearInflationVanguard 500 Index Investor (VFINX)Vanguard Value Index Inv (VIVAX)Vanguard Growth Index Investor (VIGRX)PF #1 ReturnPF #1 Inflation Adjusted ReturnPF #1 IncomePF #1 Year End BalancePF #2 ReturnPF #2 Inflation Adjusted ReturnPF #2 IncomePF #2 Year End BalancePF #3 ReturnPF #3 Inflation Adjusted ReturnPF #3 IncomePF #3 Year End Balance
19932.75%9.89%18.25%1.53%9.89%6.95%2.86% [$2,859]$109,89218.25%15.09%4.33% [$4,326]$118,2491.53%-1.19%2.06% [$2,063]$101,527
19942.67%1.18%-0.65%2.89%1.18%-1.46%3.16% [$3,472]$111,185-0.65%-3.24%4.68% [$5,531]$117,4832.89%0.21%2.07% [$2,107]$104,461
19952.54%37.45%37.03%38.06%37.45%34.04%3.17% [$3,524]$152,81937.03%33.64%3.64% [$4,272]$160,98738.06%34.65%1.96% [$2,045]$144,223
19963.32%22.88%21.78%23.74%22.88%18.93%2.68% [$4,091]$187,77921.78%17.86%6.54% [$10,525]$196,05223.74%19.76%2.60% [$3,748]$178,461
19971.70%33.19%29.77%36.34%33.19%30.96%2.78% [$5,224]$250,10329.77%27.59%6.70% [$13,139]$254,41036.34%34.06%2.86% [$5,098]$243,316
19981.61%28.62%14.64%42.21%28.62%26.58%1.95% [$4,888]$321,67614.64%12.82%6.60% [$16,792]$291,66342.21%39.95%1.49% [$3,621]$346,007
19992.68%21.07%12.57%28.76%21.07%17.90%2.13% [$6,838]$389,44812.57%9.63%10.58% [$30,872]$328,32028.76%25.39%4.03% [$13,955]$445,516
20003.39%-9.06%6.08%-22.21%-9.06%-12.04%0.96% [$3,754]$354,1796.08%2.61%5.95% [$19,541]$348,286-22.21%-24.76%0.32% [$1,414]$346,573
20011.55%-12.02%-11.88%-12.93%-12.02%-13.37%1.05% [$3,723]$311,595-11.88%-13.22%5.73% [$19,972]$306,925-12.93%-14.26%0.61% [$2,126]$301,766
20022.38%-22.15%-20.91%-23.68%-22.15%-23.95%1.29% [$4,024]$242,592-20.91%-22.74%1.68% [$5,151]$242,757-23.68%-25.45%0.86% [$2,602]$230,319
20031.88%28.50%32.25%25.92%28.50%26.13%1.77% [$4,301]$311,73632.25%29.81%2.56% [$6,218]$321,04025.92%23.60%0.88% [$2,038]$290,025
20043.26%10.74%15.28%7.20%10.74%7.25%1.91% [$5,961]$345,21715.28%11.64%2.44% [$7,845]$370,0857.20%3.82%1.19% [$3,445]$310,908
20053.42%4.77%7.09%5.09%4.77%1.31%1.79% [$6,164]$361,6997.09%3.55%2.62% [$9,714]$396,3165.09%1.62%0.78% [$2,420]$326,724
20062.54%15.64%22.15%9.01%15.64%12.78%1.87% [$6,781]$418,27422.15%19.12%2.68% [$10,606]$484,0959.01%6.31%0.87% [$2,844]$356,173
20074.08%5.39%0.09%12.56%5.39%1.25%1.92% [$8,030]$440,8060.09%-3.84%2.59% [$12,555]$484,50712.56%8.15%0.91% [$3,241]$400,925
20080.09%-37.02%-35.97%-38.32%-37.02%-37.08%1.87% [$8,235]$277,616-35.97%-36.03%2.56% [$12,404]$310,241-38.32%-38.38%0.79% [$3,171]$247,289
20092.72%26.49%19.58%36.29%26.49%23.13%2.56% [$7,097]$351,14519.58%16.41%3.21% [$9,949]$370,97436.29%32.68%1.39% [$3,442]$337,032
20101.50%14.91%14.28%16.96%14.91%13.22%1.93% [$6,772]$403,51314.28%12.60%2.50% [$9,284]$423,95516.96%15.23%1.17% [$3,952]$394,186
20112.96%1.97%1.00%1.71%1.97%-0.97%1.95% [$7,882]$411,4461.00%-1.91%2.51% [$10,620]$428,1751.71%-1.22%1.09% [$4,308]$400,921
20121.74%15.82%15.00%16.89%15.82%13.84%2.35% [$9,665]$476,55715.00%13.03%2.93% [$12,528]$492,41216.89%14.89%1.59% [$6,363]$468,619
20131.50%32.18%32.85%32.16%32.18%30.22%2.26% [$10,775]$629,89132.85%30.89%2.72% [$13,390]$654,17332.16%30.21%1.39% [$6,513]$619,348
20140.76%13.51%13.05%13.47%13.51%12.66%1.95% [$12,298]$714,98013.05%12.20%2.32% [$15,172]$739,56013.47%12.61%1.21% [$7,485]$702,744
20150.73%1.25%-1.03%3.17%1.25%0.52%1.99% [$14,212]$723,905-1.03%-1.75%2.39% [$17,711]$731,9223.17%2.42%1.19% [$8,357]$725,024
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
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%$109,8921.68%$118,2490.68%$101,527
199413.38%4.69%2.06%3.38%$113,6034.69%$123,7932.06%$103,618
19942-2.71%-3.58%-1.73%-2.71%$110,519-3.58%$119,358-1.73%$101,826
19943-4.39%-4.13%-4.71%-4.39%$105,669-4.13%$114,423-4.71%$97,027
199441.29%2.06%0.52%1.29%$107,0322.06%$116,7770.52%$97,527
199451.60%1.58%1.54%1.60%$108,7491.58%$118,6201.54%$99,027
19946-2.45%-2.60%-2.13%-2.45%$106,088-2.60%$115,534-2.13%$96,919
199473.28%3.39%3.22%3.28%$109,5643.39%$119,4473.22%$100,036
199484.08%2.76%5.33%4.08%$114,0302.76%$122,7425.33%$105,364
19949-2.45%-3.52%-1.43%-2.45%$111,241-3.52%$118,420-1.43%$103,858
1994102.25%2.10%2.33%2.25%$113,7402.10%$120,9062.33%$106,283
199411-3.65%-4.03%-3.33%-3.65%$109,583-4.03%$116,037-3.33%$102,747
1994121.46%1.25%1.67%1.46%$111,1851.25%$117,4831.67%$104,461
199512.58%2.70%2.53%2.58%$114,0572.70%$120,6532.53%$107,103
199523.88%3.85%3.80%3.88%$118,4813.85%$125,3023.80%$111,168
199532.95%2.80%3.11%2.95%$121,9812.80%$128,8063.11%$114,622
199542.94%3.30%2.67%2.94%$125,5683.30%$133,0572.67%$117,684
199553.95%4.39%3.56%3.95%$130,5344.39%$138,9023.56%$121,868
199562.31%0.77%3.77%2.31%$133,5510.77%$139,9663.77%$126,463
199573.30%3.51%3.24%3.30%$137,9633.51%$144,8813.24%$130,562
199580.26%0.81%-0.31%0.26%$138,3290.81%$146,056-0.31%$130,152
199594.21%3.52%4.88%4.21%$144,1543.52%$151,1934.88%$136,506
199510-0.36%-1.56%0.83%-0.36%$143,630-1.56%$148,8310.83%$137,637
1995114.38%5.19%3.59%4.38%$149,9225.19%$156,5633.59%$142,575
1995121.93%2.83%1.16%1.93%$152,8192.83%$160,9871.16%$144,223
199613.39%2.91%3.79%3.39%$157,9922.91%$165,6653.79%$149,695
199620.92%0.92%0.90%0.92%$159,4510.92%$167,1880.90%$151,037
199630.98%2.32%-0.42%0.98%$161,0092.32%$171,071-0.42%$150,403
199641.46%1.10%1.87%1.46%$163,3541.10%$172,9571.87%$153,211
199652.54%1.48%3.60%2.54%$167,5101.48%$175,5093.60%$158,724
199660.38%-0.50%1.25%0.38%$168,151-0.50%$174,6251.25%$160,701
19967-4.42%-4.28%-4.55%-4.42%$160,718-4.28%$167,158-4.55%$153,396
199682.10%2.80%1.43%2.10%$164,0872.80%$171,8391.43%$155,588
199695.61%4.22%6.91%5.61%$173,2874.22%$179,0846.91%$166,337
1996102.76%3.37%2.20%2.76%$178,0623.37%$185,1282.20%$170,001
1996117.56%7.68%7.45%7.56%$191,5307.68%$199,3437.45%$182,667
199612-1.96%-1.65%-2.30%-1.96%$187,779-1.65%$196,052-2.30%$178,461
199716.22%4.58%7.87%6.22%$199,4524.58%$205,0367.87%$192,505
199720.79%0.73%0.82%0.79%$201,0270.73%$206,5340.82%$194,089
19973-4.14%-3.48%-4.80%-4.14%$192,713-3.48%$199,336-4.80%$184,774
199745.96%3.78%8.08%5.96%$204,1903.78%$206,8728.08%$199,704
199756.09%6.26%5.89%6.09%$216,6216.26%$219,8235.89%$211,457
199764.45%3.80%5.06%4.45%$226,2693.80%$228,1785.06%$222,151
199777.97%7.98%7.88%7.97%$244,2937.98%$246,3757.88%$239,664
19978-5.61%-4.51%-6.64%-5.61%$230,590-4.51%$235,268-6.64%$223,743
199795.47%5.83%5.08%5.47%$243,2015.83%$248,9795.08%$235,101
199710-3.35%-3.71%-2.99%-3.35%$235,053-3.71%$239,731-2.99%$228,080
1997114.60%3.81%5.41%4.60%$245,8623.81%$248,8605.41%$240,420
1997121.72%2.23%1.20%1.72%$250,1032.23%$254,4101.20%$243,316
199811.11%-1.25%3.37%1.11%$252,880-1.25%$251,2373.37%$251,523
199827.19%7.53%6.91%7.19%$271,0687.53%$270,1506.91%$268,911
199835.10%5.02%5.14%5.10%$284,9025.02%$283,7075.14%$282,739
199841.01%1.18%0.84%1.01%$287,7731.18%$287,0660.84%$285,119
19985-1.74%-1.43%-2.01%-1.74%$282,756-1.43%$282,960-2.01%$279,385
199864.07%0.75%7.09%4.07%$294,2690.75%$285,0757.09%$299,187
19987-1.05%-2.15%0.00%-1.05%$291,167-2.15%$278,9590.00%$299,187
19988-14.47%-16.11%-13.04%-14.47%$249,025-16.11%$234,026-13.04%$260,163
199896.41%6.07%6.70%6.41%$264,9906.07%$248,2306.70%$277,602
1998108.16%7.87%8.41%8.16%$286,6247.87%$267,7688.41%$300,952
1998116.07%5.24%6.78%6.07%$304,0265.24%$281,7956.78%$321,371
1998125.81%3.50%7.67%5.81%$321,6763.50%$291,6637.67%$346,007
199914.20%2.00%6.16%4.20%$335,1982.00%$297,4936.16%$367,312
19992-3.12%-2.18%-3.93%-3.12%$324,724-2.18%$291,015-3.93%$352,890
199934.00%3.01%4.82%4.00%$337,7023.01%$299,7854.82%$369,897
199943.85%8.64%-0.21%3.85%$350,7108.64%$325,672-0.21%$369,128
19995-2.39%-1.81%-2.95%-2.39%$342,331-1.81%$319,770-2.95%$358,252
199965.56%3.83%7.28%5.56%$361,3523.83%$332,0197.28%$384,324
19997-3.13%-3.08%-3.15%-3.13%$350,041-3.08%$321,787-3.15%$372,217
19998-0.50%-2.51%1.33%-0.50%$348,303-2.51%$313,7091.33%$377,170
19999-2.74%-3.95%-1.69%-2.74%$338,763-3.95%$301,332-1.69%$370,787
1999106.33%5.66%6.90%6.33%$360,1945.66%$318,3736.90%$396,359
1999112.02%-0.59%4.28%2.02%$367,481-0.59%$316,4804.28%$413,333
1999125.98%3.74%7.79%5.98%$389,4483.74%$328,3207.79%$445,516
20001-5.03%-3.19%-6.67%-5.03%$369,850-3.19%$317,849-6.67%$415,800
20002-1.91%-6.27%2.07%-1.91%$362,800-6.27%$297,9122.07%$424,387
200039.76%10.39%9.21%9.76%$398,20910.39%$328,8759.21%$463,467
20004-3.01%-0.67%-4.98%-3.01%$386,240-0.67%$326,676-4.98%$440,395
20005-2.04%0.31%-4.06%-2.04%$378,3670.31%$327,702-4.06%$422,526
200062.49%-3.94%8.17%2.49%$387,777-3.94%$314,7838.17%$457,031
20007-1.49%2.06%-4.41%-1.49%$381,9962.06%$321,259-4.41%$436,884
200086.19%6.64%5.78%6.19%$405,6416.64%$342,5975.78%$462,124
20009-5.29%-0.03%-9.77%-5.29%$384,185-0.03%$342,479-9.77%$416,956
200010-0.43%1.86%-2.63%-0.43%$382,5341.86%$348,832-2.63%$405,972
200011-7.88%-5.08%-10.66%-7.88%$352,399-5.08%$331,102-10.66%$362,713
2000120.50%5.19%-4.45%0.50%$354,1795.19%$348,286-4.45%$346,573
200113.55%4.24%2.85%3.55%$366,7354.24%$363,0582.85%$356,436
20012-9.14%-6.67%-11.80%-9.14%$333,223-6.67%$338,844-11.80%$314,376
20013-6.36%-3.97%-9.05%-6.36%$312,043-3.97%$325,382-9.05%$285,925
200147.77%6.81%8.94%7.77%$336,2906.81%$347,5318.94%$311,474
200150.65%1.01%0.22%0.65%$338,4761.01%$351,0360.22%$312,155
20016-2.45%-3.22%-1.35%-2.45%$330,199-3.22%$339,729-1.35%$307,952
20017-1.00%-1.74%-0.30%-1.00%$326,897-1.74%$333,811-0.30%$307,043
20018-6.27%-5.80%-6.74%-6.27%$306,388-5.80%$314,457-6.74%$286,353
20019-8.09%-9.53%-6.71%-8.09%$281,598-9.53%$284,488-6.71%$267,125
2001101.90%0.00%3.62%1.90%$286,9340.00%$284,4883.62%$276,808
2001117.65%6.33%8.85%7.65%$308,8966.33%$302,4898.85%$301,299
2001120.87%1.47%0.16%0.87%$311,5951.47%$306,9250.16%$301,766
20021-1.47%-2.75%-0.19%-1.47%$307,005-2.75%$298,481-0.19%$301,195
20022-1.94%-0.87%-2.96%-1.94%$301,061-0.87%$295,883-2.96%$292,286
200233.74%5.11%2.34%3.74%$312,3305.11%$310,9882.34%$299,136
20024-6.07%-5.03%-7.15%-6.07%$293,357-5.03%$295,341-7.15%$277,737
20025-0.75%0.39%-1.98%-0.75%$291,1440.39%$296,482-1.98%$272,244
20026-7.13%-6.32%-8.03%-7.13%$270,372-6.32%$277,738-8.03%$250,388
20027-7.72%-10.78%-4.72%-7.72%$249,502-10.78%$247,787-4.72%$238,574
200280.65%0.73%0.62%0.65%$251,1300.73%$249,5880.62%$240,065
20029-10.87%-11.48%-10.37%-10.87%$223,820-11.48%$220,931-10.37%$215,163
2002108.78%8.35%9.20%8.78%$243,4788.35%$239,3699.20%$234,954
2002115.88%7.02%4.85%5.88%$257,7837.02%$256,1614.85%$246,345
200212-5.89%-5.23%-6.51%-5.89%$242,592-5.23%$242,757-6.51%$230,319
20031-2.62%-2.80%-2.56%-2.62%$236,225-2.80%$235,963-2.56%$224,431
20032-1.52%-2.74%-0.31%-1.52%$232,637-2.74%$229,501-0.31%$223,738
200330.96%-0.15%2.01%0.96%$234,863-0.15%$229,1472.01%$228,227
200348.25%9.96%6.75%8.25%$254,2489.96%$251,9626.75%$243,635
200355.26%7.93%3.28%5.26%$267,6317.93%$271,9463.28%$251,629
200361.26%1.34%1.19%1.26%$271,0031.34%$275,5901.19%$254,632
200371.74%0.97%2.64%1.74%$275,7290.97%$278,2642.64%$261,363
200381.93%1.68%2.31%1.93%$281,0581.68%$282,9432.31%$267,398
20039-1.07%-0.41%-1.69%-1.07%$278,046-0.41%$281,776-1.69%$262,872
2003105.64%5.19%6.19%5.64%$293,7325.19%$296,4116.19%$279,141
2003110.86%1.31%0.92%0.86%$296,2711.31%$300,2800.92%$281,698
2003125.22%6.91%2.96%5.22%$311,7366.91%$321,0402.96%$290,025
200411.82%1.58%2.25%1.82%$317,4131.58%$326,1222.25%$296,542
200421.38%1.92%0.86%1.38%$321,7861.92%$332,3910.86%$299,102
20043-1.51%-1.37%-1.59%-1.51%$316,916-1.37%$327,825-1.59%$294,339
20044-1.58%-2.03%-1.50%-1.58%$311,919-2.03%$321,184-1.50%$289,910
200451.36%0.95%1.93%1.36%$316,1540.95%$324,2491.93%$295,505
200461.93%2.68%1.11%1.93%$322,2542.68%$332,9381.11%$298,771
20047-3.31%-1.39%-5.51%-3.31%$311,585-1.39%$328,316-5.51%$282,315
200480.38%1.51%-0.66%0.38%$312,7771.51%$333,280-0.66%$280,448
200491.07%1.13%1.33%1.07%$316,1151.13%$337,0511.33%$284,185
2004101.51%1.43%1.56%1.51%$320,9031.43%$341,8711.56%$288,627
2004114.05%4.63%3.85%4.05%$333,8864.63%$357,7083.85%$299,733
2004123.39%3.46%3.73%3.39%$345,2173.46%$370,0853.73%$310,908
20051-2.45%-1.97%-3.03%-2.45%$336,744-1.97%$362,804-3.03%$301,490
200522.09%3.25%1.13%2.09%$343,7943.25%$374,5911.13%$304,904
20053-1.76%-1.61%-1.66%-1.76%$337,743-1.61%$368,545-1.66%$299,845
20054-1.91%-1.37%-2.40%-1.91%$331,286-1.37%$363,491-2.40%$292,649
200553.17%2.11%4.84%3.17%$341,7792.11%$371,1584.84%$306,804
200560.13%0.99%-0.19%0.13%$342,2140.99%$374,818-0.19%$306,215
200573.71%2.99%4.63%3.71%$354,8982.99%$386,0324.63%$320,391
20058-0.91%-0.36%-1.29%-0.91%$351,657-0.36%$384,631-1.29%$316,256
200590.79%1.42%0.30%0.79%$354,4491.42%$390,0930.30%$317,209
200510-1.68%-2.53%-0.86%-1.68%$348,500-2.53%$380,213-0.86%$314,487
2005113.76%3.48%4.33%3.76%$361,6193.48%$393,4454.33%$328,099
2005120.02%0.73%-0.42%0.02%$361,6990.73%$396,316-0.42%$326,724
200612.65%3.23%2.47%2.65%$371,2673.23%$409,1182.47%$334,791
200620.26%0.65%-0.64%0.26%$372,2430.65%$411,785-0.64%$332,656
200631.23%1.33%1.46%1.23%$376,8241.33%$417,2731.46%$337,517
200641.33%2.61%-0.04%1.33%$381,8482.61%$428,183-0.04%$337,398
20065-2.90%-2.34%-3.56%-2.90%$370,788-2.34%$418,167-3.56%$325,386
200660.13%0.70%-0.36%0.13%$371,2620.70%$421,084-0.36%$324,207
200670.61%2.69%-2.02%0.61%$373,5152.69%$432,411-2.02%$317,654
200682.36%1.70%3.00%2.36%$382,3371.70%$439,7833.00%$327,186
200692.56%2.09%2.84%2.56%$392,1382.09%$448,9872.84%$336,491
2006103.25%3.18%3.44%3.25%$404,8863.18%$463,2733.44%$348,069
2006111.89%2.03%2.19%1.89%$412,5352.03%$472,6762.19%$355,709
2006121.39%2.42%0.13%1.39%$418,2742.42%$484,0950.13%$356,173
200711.49%0.94%2.69%1.49%$424,5200.94%$488,6482.69%$365,744
20072-1.97%-1.64%-2.00%-1.97%$416,161-1.64%$480,634-2.00%$358,446
200731.11%1.62%0.56%1.11%$420,7871.62%$488,4430.56%$360,471
200744.42%4.16%4.32%4.42%$439,3774.16%$508,7794.32%$376,055
200753.48%3.67%3.47%3.48%$454,6543.67%$527,4673.47%$389,122
20076-1.68%-2.12%-1.20%-1.68%$447,033-2.12%$516,296-1.20%$384,446
20077-3.08%-4.49%-1.59%-3.08%$433,243-4.49%$493,096-1.59%$378,319
200781.50%1.31%1.68%1.50%$439,7341.31%$499,5401.68%$384,686
200793.72%3.31%4.28%3.72%$456,1093.31%$516,0964.28%$401,153
2007101.58%0.22%3.21%1.58%$463,3110.22%$517,2073.21%$414,035
200711-4.19%-4.94%-3.34%-4.19%$443,913-4.94%$491,643-3.34%$400,190
200712-0.70%-1.45%0.18%-0.70%$440,806-1.45%$484,5070.18%$400,925
20081-6.02%-4.09%-7.94%-6.02%$414,289-4.09%$464,708-7.94%$369,073
20082-3.25%-4.78%-1.41%-3.25%$400,818-4.78%$442,481-1.41%$363,885
20083-0.44%-0.38%-0.83%-0.44%$399,053-0.38%$440,819-0.83%$360,859
200844.85%4.14%5.83%4.85%$418,4244.14%$459,0615.83%$381,894
200851.29%-0.41%3.67%1.29%$423,832-0.41%$457,1813.67%$395,918
20086-8.44%-9.53%-6.72%-8.44%$388,068-9.53%$413,590-6.72%$369,310
20087-0.83%-0.32%-1.84%-0.83%$384,840-0.32%$412,264-1.84%$362,527
200881.45%1.65%1.17%1.45%$390,4061.65%$419,0811.17%$366,767
20089-8.91%-6.95%-11.43%-8.91%$355,637-6.95%$389,946-11.43%$324,862
200810-16.79%-16.55%-17.71%-16.79%$295,917-16.55%$325,401-17.71%$267,319
200811-7.17%-6.28%-8.58%-7.17%$274,685-6.28%$304,968-8.58%$244,375
2008121.07%1.73%1.19%1.07%$277,6161.73%$310,2411.19%$247,289
20091-8.41%-11.44%-4.58%-8.41%$254,262-11.44%$274,741-4.58%$235,955
20092-10.66%-13.34%-7.33%-10.66%$227,165-13.34%$238,083-7.33%$218,648
200938.76%8.93%8.30%8.76%$247,0658.93%$259,3428.30%$236,804
200949.56%10.30%9.19%9.56%$270,68110.30%$286,0569.19%$258,576
200955.62%6.75%4.35%5.62%$285,8876.75%$305,3604.35%$269,829
200960.22%-0.88%1.44%0.22%$286,516-0.88%$302,6851.44%$273,719
200977.58%8.04%7.08%7.58%$308,2288.04%$327,0257.08%$293,104
200983.60%5.10%1.97%3.60%$319,3215.10%$343,7101.97%$298,870
200993.72%3.37%4.53%3.72%$331,1893.37%$355,2994.53%$312,402
200910-1.87%-2.67%-1.38%-1.87%$325,004-2.67%$345,819-1.38%$308,097
2009115.98%6.00%5.83%5.98%$344,4436.00%$366,5575.83%$326,054
2009121.95%1.21%3.37%1.95%$351,1451.21%$370,9743.37%$337,032
20101-3.60%-2.47%-4.58%-3.60%$338,490-2.47%$361,814-4.58%$321,612
201023.09%2.53%3.76%3.09%$348,9562.53%$370,9743.76%$333,701
201036.01%6.16%5.90%6.01%$369,9406.16%$393,8375.90%$353,379
201041.58%1.78%1.54%1.58%$375,7781.78%$400,8411.54%$358,819
20105-8.01%-7.79%-8.27%-8.01%$345,697-7.79%$369,622-8.27%$329,145
20106-5.24%-5.10%-5.70%-5.24%$327,584-5.10%$350,774-5.70%$310,398
201077.00%6.54%7.43%7.00%$350,5026.54%$373,7307.43%$333,454
20108-4.53%-4.26%-4.72%-4.53%$334,625-4.26%$357,822-4.72%$317,711
201098.92%7.55%10.76%8.92%$364,4707.55%$384,83810.76%$351,883
2010103.79%2.69%5.13%3.79%$378,2772.69%$395,1735.13%$369,919
2010110.00%-0.56%0.94%0.00%$378,277-0.56%$392,9440.94%$373,402
2010126.67%7.89%5.57%6.67%$403,5137.89%$423,9555.57%$394,186
201112.36%2.84%1.87%2.36%$413,0252.84%$435,9871.87%$401,546
201123.42%4.02%2.73%3.42%$427,1354.02%$453,5242.73%$412,523
201130.03%0.04%0.29%0.03%$427,2440.04%$453,7010.29%$413,709
201142.95%2.94%3.05%2.95%$439,8392.94%$467,0273.05%$426,337
20115-1.15%-1.36%-0.70%-1.15%$434,801-1.36%$460,671-0.70%$423,336
20116-1.67%-2.15%-1.39%-1.67%$427,530-2.15%$450,788-1.39%$417,458
20117-2.05%-3.52%-0.69%-2.05%$418,779-3.52%$434,916-0.69%$414,575
20118-5.45%-5.78%-5.62%-5.45%$395,970-5.78%$409,769-5.62%$391,258
20119-7.04%-7.07%-7.60%-7.04%$368,084-7.07%$380,790-7.60%$361,520
20111010.91%10.36%11.79%10.91%$408,25610.36%$420,23911.79%$404,133
201111-0.23%-0.49%-0.16%-0.23%$407,302-0.49%$418,163-0.16%$403,505
2011121.02%2.39%-0.64%1.02%$411,4462.39%$428,175-0.64%$400,921
201214.46%3.42%6.26%4.46%$429,8163.42%$442,8176.26%$426,018
201224.31%3.92%4.88%4.31%$448,3273.92%$460,1784.88%$446,827
201233.28%2.89%3.38%3.28%$463,0392.89%$473,4583.38%$461,945
20124-0.64%-0.93%-0.30%-0.64%$460,078-0.93%$469,041-0.30%$460,555
20125-6.02%-5.96%-6.40%-6.02%$432,391-5.96%$441,067-6.40%$431,098
201264.11%4.70%2.95%4.11%$450,1584.70%$461,8152.95%$443,825
201271.37%1.19%1.29%1.37%$456,3251.19%$467,3201.29%$449,530
201282.24%1.40%3.33%2.24%$466,5431.40%$473,8843.33%$464,489
201292.58%3.05%2.03%2.58%$478,5643.05%$488,3362.03%$473,897
201210-1.86%-0.52%-3.09%-1.86%$469,665-0.52%$485,779-3.09%$459,275
2012110.56%-0.53%1.97%0.56%$472,295-0.53%$483,2231.97%$468,303
2012120.90%1.90%0.07%0.90%$476,5571.90%$492,4120.07%$468,619
201315.18%6.37%4.37%5.18%$501,2246.37%$523,7644.37%$489,077
201321.34%1.52%0.99%1.34%$507,9351.52%$531,7100.99%$493,936
201333.74%3.90%3.64%3.74%$526,9253.90%$552,4333.64%$511,897
201341.91%2.19%1.53%1.91%$536,9822.19%$564,5271.53%$519,717
201352.33%2.45%1.68%2.33%$549,4802.45%$578,3481.68%$528,435
20136-1.35%-0.81%-1.99%-1.35%$542,059-0.81%$573,670-1.99%$517,899
201375.07%5.19%5.31%5.07%$569,5545.19%$603,4175.31%$545,414
20138-2.91%-3.60%-1.72%-2.91%$552,969-3.60%$581,703-1.72%$536,028
201393.12%2.13%4.76%3.12%$570,2312.13%$594,0824.76%$561,559
2013104.59%4.56%4.25%4.59%$596,3844.56%$621,1554.25%$585,414
2013113.03%3.20%2.38%3.03%$614,4453.20%$641,0232.38%$599,340
2013122.51%2.05%3.34%2.51%$629,8912.05%$654,1733.34%$619,348
20141-3.47%-3.59%-2.99%-3.47%$608,039-3.59%$630,668-2.99%$600,846
201424.56%3.94%5.53%4.56%$635,7703.94%$655,4915.53%$634,097
201430.82%2.58%-1.58%0.82%$641,0082.58%$672,387-1.58%$624,071
201440.72%0.89%0.08%0.72%$645,6490.89%$678,3490.08%$624,590
201452.33%1.43%3.53%2.33%$660,7251.43%$688,0653.53%$646,642
201462.05%1.88%2.42%2.05%$674,2821.88%$700,9822.42%$662,270
20147-1.39%-1.27%-1.65%-1.39%$664,923-1.27%$692,103-1.65%$651,347
201483.98%3.46%4.71%3.98%$691,3983.46%$716,0764.71%$682,036
20149-1.41%-1.33%-1.91%-1.41%$681,631-1.33%$706,568-1.91%$668,991
2014102.42%1.90%3.04%2.42%$698,1481.90%$719,9583.04%$689,330
2014112.68%2.39%2.97%2.68%$716,8752.39%$737,1432.97%$709,800
201412-0.26%0.33%-0.99%-0.26%$714,9800.33%$739,560-0.99%$702,744
20151-3.02%-4.04%-1.49%-3.02%$693,405-4.04%$709,708-1.49%$692,277
201525.74%5.25%6.29%5.74%$733,2045.25%$746,9676.29%$735,847
20153-1.59%-1.58%-1.25%-1.59%$721,519-1.58%$735,133-1.25%$726,672
201540.95%1.57%-0.07%0.95%$728,3671.57%$746,644-0.07%$726,148
201551.27%1.09%1.45%1.27%$737,6361.09%$754,7701.45%$736,643
20156-1.93%-2.17%-1.60%-1.93%$723,378-2.17%$738,355-1.60%$724,839
201572.08%0.95%3.17%2.08%$738,4260.95%$745,3913.17%$747,851
20158-6.04%-5.82%-6.26%-6.04%$693,814-5.82%$702,038-6.26%$701,037
20159-2.49%-2.49%-2.86%-2.49%$676,537-2.49%$684,579-2.86%$680,969
2015108.42%7.57%8.93%8.42%$733,5207.57%$736,4308.93%$741,773
2015110.29%0.40%0.14%0.29%$735,6210.40%$739,4000.14%$742,828
201512-1.59%-1.01%-2.40%-1.59%$723,905-1.01%$731,922-2.40%$725,024

Exposures for Portfolio 1

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

Exposures for Portfolio 2

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

Exposures for Portfolio 3

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 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
1Nov 2007Feb 20091 year 4 monthsAug 20124 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20066 years 3 months-44.82%
3Jul 1998Aug 19982 monthsNov 19985 months-15.38%
4Aug 2015Sep 20152 months-8.38%
5Feb 1994Mar 19942 monthsAug 19947 months-6.98%
6Jan 2000Feb 20002 monthsMar 20003 months-6.84%
7Jul 1999Sep 19993 monthsNov 19995 months-6.25%
8Aug 1997Aug 19971 monthNov 19974 months-5.61%
9Apr 2000May 20002 monthsAug 20005 months-4.98%
10Jun 2007Jul 20072 monthsSep 20074 months-4.71%
11Jul 1996Jul 19961 monthSep 19963 months-4.42%
12Mar 1997Mar 19971 monthApr 19972 months-4.14%
13Sep 1994Nov 19943 monthsJan 19955 months-3.90%
14Jan 2014Jan 20141 monthFeb 20142 months-3.47%
15Dec 2014Jan 20152 monthsFeb 20153 months-3.27%
16Feb 1999Feb 19991 monthMar 19992 months-3.12%
17Aug 2013Aug 20131 monthSep 20132 months-2.91%
18Apr 1993Apr 19931 monthMay 19932 months-2.42%
19May 1999May 19991 monthJun 19992 months-2.39%
20Feb 2007Feb 20071 monthApr 20073 months-1.97%
21Dec 1996Dec 19961 monthJan 19972 months-1.96%
22Jun 2015Jun 20151 monthJul 20152 months-1.93%
23Oct 2012Oct 20121 monthJan 20134 months-1.86%
24May 1998May 19981 monthJun 19982 months-1.74%
25Mar 2015Mar 20151 monthMay 20153 months-1.59%
26Sep 2014Sep 20141 monthOct 20142 months-1.41%
27Jul 2014Jul 20141 monthAug 20142 months-1.39%
28Jun 2013Jun 20131 monthJul 20132 months-1.35%
29Nov 1993Nov 19931 monthDec 19932 months-1.00%
30Sep 1993Sep 19931 monthOct 19932 months-0.79%
31Jul 1993Jul 19931 monthAug 19932 months-0.42%
32Oct 1995Oct 19951 monthNov 19952 months-0.36%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20135 years 9 months-54.86%
2Feb 2001Sep 20021 year 8 monthsDec 20043 years 11 months-39.15%
3May 1998Aug 19984 monthsDec 19988 months-18.48%
4Jul 1999Feb 20008 monthsAug 20001 year 2 months-10.27%
5Jun 2015Sep 20154 months-9.30%
6Feb 1994Mar 19942 monthsFeb 19951 year 1 month-7.57%
7Nov 2000Nov 20001 monthJan 20013 months-5.08%
8Jun 1996Jul 19962 monthsSep 19964 months-4.76%
9Aug 1997Aug 19971 monthSep 19972 months-4.51%
10Jan 2015Jan 20151 monthFeb 20152 months-4.04%
11Oct 1997Oct 19971 monthDec 19973 months-3.71%
12Aug 2013Aug 20131 monthOct 20133 months-3.60%
13Jan 2014Jan 20141 monthFeb 20142 months-3.59%
14Mar 1997Mar 19971 monthApr 19972 months-3.48%
15Mar 2005Apr 20052 monthsJun 20054 months-2.96%
16Oct 2005Oct 20051 monthNov 20052 months-2.53%
17May 2006May 20061 monthJul 20063 months-2.34%
18Feb 1999Feb 19991 monthMar 19992 months-2.18%
19Jan 2005Jan 20051 monthFeb 20052 months-1.97%
20Nov 1993Nov 19931 monthJan 19943 months-1.84%
21May 1999May 19991 monthJun 19992 months-1.81%
22Dec 1996Dec 19961 monthJan 19972 months-1.65%
23Feb 2007Feb 20071 monthApr 20073 months-1.64%
24Mar 2015Mar 20151 monthMay 20153 months-1.58%
25Oct 1995Oct 19951 monthNov 19952 months-1.56%
26Sep 2014Sep 20141 monthOct 20142 months-1.33%
27Jul 2014Jul 20141 monthAug 20142 months-1.27%
28Jan 1998Jan 19981 monthFeb 19982 months-1.25%
29Jun 2013Jun 20131 monthJul 20132 months-0.81%
30Apr 1993Apr 19931 monthMay 19932 months-0.45%
31Aug 2005Aug 20051 monthSep 20052 months-0.36%
32Sep 1993Sep 19931 monthOct 19932 months-0.08%
33Sep 2000Sep 20001 monthOct 20002 months-0.03%

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Apr 2000Sep 20022 years 6 monthsAug 201212 years 5 months-53.58%
2Aug 1998Aug 19981 monthOct 19983 months-13.04%
3Aug 2015Sep 20152 months-8.94%
4Jan 2000Jan 20001 monthMar 20003 months-6.67%
5Aug 1997Aug 19971 monthNov 19974 months-6.64%
6Feb 1994Jun 19945 monthsAug 19947 months-6.46%
7Jan 1993Apr 19934 monthsOct 199310 months-5.18%
8Mar 1997Mar 19971 monthApr 19972 months-4.80%
9Jul 1996Jul 19961 monthSep 19963 months-4.55%
10Feb 1999Feb 19991 monthMar 19992 months-3.93%
11Jul 1999Sep 19993 monthsOct 19994 months-3.52%
12Nov 1994Nov 19941 monthJan 19953 months-3.33%
13Apr 1999May 19992 monthsJun 19993 months-3.15%
14Oct 2012Oct 20121 monthJan 20134 months-3.09%
15Jan 2014Jan 20141 monthFeb 20142 months-2.99%
16Dec 2014Jan 20152 monthsFeb 20153 months-2.47%
17Dec 1996Dec 19961 monthJan 19972 months-2.30%
18May 1998May 19981 monthJun 19982 months-2.01%
19Jun 2013Jun 20131 monthJul 20132 months-1.99%
20Sep 2014Sep 20141 monthOct 20142 months-1.91%
21Aug 2013Aug 20131 monthSep 20132 months-1.72%
22Jul 2014Jul 20141 monthAug 20142 months-1.65%
23Jun 2015Jun 20151 monthJul 20152 months-1.60%
24Mar 2014Mar 20141 monthMay 20143 months-1.58%
25Sep 1994Sep 19941 monthOct 19942 months-1.43%
26Mar 2015Apr 20152 monthsMay 20153 months-1.32%
27Mar 1996Mar 19961 monthApr 19962 months-0.42%
28Aug 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$623,905
VIVAXVanguard Value Index Inv$631,922
VIGRXVanguard Growth Index Investor$625,024

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