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 1987 - Dec 2015)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
Save portfolio »
VFINX Vanguard 500 Index Investor 60.00%
VBMFX Vanguard Total Bond Market Index Inv 40.00%

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$116,123 8.82% 9.38%29.74%-20.19%-30.78% 0.600.890.97
   
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
Annual returns for the configured portfolios
YearInflationVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)Total ReturnInflation Adjusted ReturnYear End Balance
19874.43%4.71%1.54%3.44%-0.95%$10,344
19884.42%16.22%7.35%12.67%7.90%$11,655
19894.65%31.36%13.64%24.28%18.76%$14,484
19906.11%-3.32%8.65%1.47%-4.37%$14,696
19913.06%30.22%15.25%24.23%20.54%$18,257
19922.90%7.42%7.14%7.31%4.29%$19,592
19932.75%9.89%9.68%9.81%6.87%$21,514
19942.67%1.18%-2.66%-0.36%-2.95%$21,437
19952.54%37.45%18.18%29.74%26.53%$27,812
19963.32%22.88%3.58%15.16%11.46%$32,028
19971.70%33.19%9.44%23.69%21.62%$39,616
19981.61%28.62%8.58%20.60%18.69%$47,778
19992.68%21.07%-0.76%12.34%9.40%$53,673
20003.39%-9.06%11.39%-0.88%-4.12%$53,202
20011.55%-12.02%8.43%-3.84%-5.31%$51,158
20022.38%-22.15%8.26%-9.98%-12.07%$46,050
20031.88%28.50%3.97%18.69%16.50%$54,657
20043.26%10.74%4.24%8.14%4.73%$59,106
20053.42%4.77%2.40%3.82%0.39%$61,365
20062.54%15.64%4.27%11.09%8.34%$68,172
20074.08%5.39%6.92%6.00%1.84%$72,263
20080.09%-37.02%5.05%-20.19%-20.26%$57,672
20092.72%26.49%5.93%18.27%15.13%$68,206
20101.50%14.91%6.42%11.52%9.87%$76,061
20112.96%1.97%7.56%4.20%1.20%$79,258
20121.74%15.82%4.05%11.11%9.21%$88,066
20131.50%32.18%-2.26%18.40%16.65%$104,271
20140.76%13.51%5.76%10.41%9.58%$115,124
20150.73%1.25%0.30%0.87%0.14%$116,123
Monthly returns for the configured portfolios
YearMonthVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)Total ReturnMonth End Balance
1987113.27%1.29%8.48%$10,848
198723.97%0.54%2.69%$11,139
198732.86%-0.64%1.58%$11,315
19874-0.99%-3.20%-1.78%$11,114
198751.04%-0.39%0.53%$11,173
198765.02%1.42%3.76%$11,593
198774.91%-0.11%3.20%$11,964
198783.84%-0.77%2.32%$12,241
19879-2.29%-2.25%-2.28%$11,963
198710-21.73%3.50%-13.64%$10,331
198711-8.19%0.69%-4.77%$9,838
1987127.55%1.62%5.14%$10,344
198814.17%3.09%3.74%$10,731
198824.59%1.19%3.24%$11,078
19883-3.04%-1.15%-2.30%$10,823
198841.01%-0.56%0.39%$10,866
198850.81%-0.96%0.12%$10,878
198864.56%2.68%3.83%$11,295
19887-0.37%-0.48%-0.41%$11,249
19888-3.40%0.18%-2.03%$11,020
198894.26%2.19%3.45%$11,400
1988102.73%1.46%2.24%$11,656
198811-1.47%-0.86%-1.24%$11,512
1988121.74%0.45%1.24%$11,655
198917.32%0.87%4.74%$12,207
19892-2.47%-0.62%-1.76%$11,993
198932.26%0.26%1.48%$12,170
198945.18%1.98%3.95%$12,651
198954.04%2.54%3.47%$13,090
19896-0.59%2.93%0.73%$13,186
198979.01%2.19%6.40%$14,029
198981.86%-1.60%0.59%$14,112
19899-0.40%0.47%-0.09%$14,099
198910-2.34%2.46%-0.60%$14,014
1989112.04%0.75%1.56%$14,232
1989122.38%0.74%1.77%$14,484
19901-6.72%-1.89%-4.79%$13,791
199021.27%0.75%1.06%$13,937
199032.61%0.08%1.57%$14,155
19904-2.50%-0.90%-1.86%$13,892
199059.69%2.86%6.90%$14,851
19906-0.66%1.60%0.23%$14,885
19907-0.35%1.27%0.29%$14,929
19908-9.03%-1.21%-5.88%$14,050
19909-4.89%0.72%-2.52%$13,696
199010-0.41%1.49%0.42%$13,754
1990116.44%2.23%4.58%$14,384
1990122.72%1.45%2.17%$14,696
199114.35%1.12%3.06%$15,146
199127.12%0.78%4.63%$15,847
199132.41%0.69%1.76%$16,125
199140.20%0.99%0.49%$16,205
199154.27%0.68%2.92%$16,678
19916-4.56%-0.06%-2.91%$16,193
199174.63%1.32%3.38%$16,740
199182.33%2.05%2.23%$17,113
19919-1.67%2.01%-0.31%$17,060
1991101.33%0.96%1.19%$17,263
199111-4.01%0.74%-2.21%$16,881
19911211.41%3.04%8.15%$18,257
19921-1.88%-1.39%-1.68%$17,950
199221.24%0.62%0.99%$18,128
19923-1.93%-0.50%-1.36%$17,882
199242.91%0.71%2.02%$18,244
199250.48%1.84%1.03%$18,432
19926-1.49%1.31%-0.37%$18,364
199274.04%1.91%3.17%$18,947
19928-2.07%0.98%-0.84%$18,788
199291.17%1.26%1.21%$19,015
1992100.33%-1.22%-0.31%$18,957
1992113.40%-0.02%2.01%$19,337
1992121.21%1.48%1.32%$19,592
199310.81%1.79%1.20%$19,827
199321.36%1.96%1.60%$20,144
199332.11%0.37%1.40%$20,427
19934-2.42%0.74%-1.16%$20,191
199352.65%0.14%1.63%$20,520
199360.27%1.80%0.88%$20,701
19937-0.42%0.61%-0.01%$20,699
199383.79%1.69%2.93%$21,306
19939-0.79%0.40%-0.31%$21,239
1993102.08%0.30%1.36%$21,528
199311-1.00%-0.97%-0.98%$21,316
1993121.22%0.48%0.93%$21,514
199413.38%1.39%2.58%$22,069
19942-2.71%-1.78%-2.35%$21,551
19943-4.39%-2.30%-3.56%$20,785
199441.29%-0.83%0.44%$20,875
199451.60%0.00%0.97%$21,077
19946-2.45%-0.18%-1.56%$20,749
199473.28%1.84%2.70%$21,311
199484.08%0.14%2.52%$21,847
19949-2.45%-1.44%-2.06%$21,398
1994102.25%-0.07%1.35%$21,685
199411-3.65%-0.18%-2.32%$21,182
1994121.46%0.80%1.20%$21,437
199512.58%1.90%2.31%$21,932
199523.88%2.17%3.20%$22,634
199532.95%0.67%2.05%$23,099
199542.94%1.31%2.31%$23,631
199553.95%3.95%3.95%$24,566
199562.31%0.66%1.67%$24,977
199573.30%-0.25%1.95%$25,463
199580.26%1.18%0.60%$25,617
199594.21%0.95%2.99%$26,382
199510-0.36%1.47%0.31%$26,464
1995114.38%1.44%3.29%$27,333
1995121.93%1.44%1.75%$27,812
199613.39%0.63%2.28%$28,447
199620.92%-1.76%-0.13%$28,409
199630.98%-0.77%0.30%$28,495
199641.46%-0.49%0.71%$28,697
199652.54%-0.17%1.52%$29,132
199660.38%1.27%0.71%$29,340
19967-4.42%0.25%-2.67%$28,556
199682.10%-0.16%1.23%$28,906
199695.61%1.70%4.12%$30,097
1996102.76%2.21%2.55%$30,866
1996117.56%1.76%5.42%$32,537
199612-1.96%-0.85%-1.56%$32,028
199716.22%0.25%3.83%$33,255
199720.79%0.11%0.53%$33,430
19973-4.14%-0.97%-2.92%$32,454
199745.96%1.49%4.20%$33,818
199756.09%0.87%4.09%$35,203
199764.45%1.16%3.24%$36,342
199777.97%2.80%6.09%$38,556
19978-5.61%-0.85%-3.94%$37,038
199795.47%1.45%4.01%$38,523
199710-3.35%1.45%-1.65%$37,887
1997114.60%0.33%3.04%$39,038
1997121.72%1.04%1.48%$39,616
199811.11%1.32%1.19%$40,089
199827.19%-0.10%4.27%$41,803
199835.10%0.33%3.27%$43,170
199841.01%0.51%0.82%$43,525
19985-1.74%1.02%-0.72%$43,213
199864.07%0.81%2.84%$44,439
19987-1.05%0.23%-0.58%$44,181
19988-14.47%1.90%-8.36%$40,490
199896.41%1.96%4.56%$42,337
1998108.16%-0.55%4.63%$44,298
1998116.07%0.49%3.92%$46,035
1998125.81%0.38%3.79%$47,778
199914.20%0.79%2.84%$49,135
19992-3.12%-1.77%-2.59%$47,861
199934.00%0.56%2.64%$49,124
199943.85%0.40%2.52%$50,359
19995-2.39%-0.88%-1.82%$49,444
199965.56%-0.50%3.24%$51,045
19997-3.13%-0.39%-2.12%$49,964
19998-0.50%-0.08%-0.34%$49,795
19999-2.74%1.26%-1.23%$49,180
1999106.33%0.33%4.01%$51,154
1999112.02%0.02%1.28%$51,807
1999125.98%-0.48%3.60%$53,673
20001-5.03%-0.17%-3.09%$52,015
20002-1.91%1.18%-0.64%$51,684
200039.76%1.40%6.25%$54,916
20004-3.01%-0.49%-2.00%$53,819
20005-2.04%-0.16%-1.28%$53,132
200062.49%2.15%2.35%$54,380
20007-1.49%0.88%-0.52%$54,098
200086.19%1.40%4.20%$56,368
20009-5.29%0.76%-2.84%$54,768
200010-0.43%0.57%-0.01%$54,761
200011-7.88%1.58%-3.88%$52,636
2000120.50%1.79%1.08%$53,202
200113.55%1.76%2.83%$54,708
20012-9.14%0.91%-5.16%$51,885
20013-6.36%0.54%-3.45%$50,094
200147.77%-0.46%4.16%$52,177
200150.65%0.73%0.68%$52,534
20016-2.45%0.52%-1.20%$51,904
20017-1.00%2.23%0.38%$52,100
20018-6.27%1.11%-3.07%$50,502
20019-8.09%0.89%-4.02%$48,473
2001101.90%1.86%1.88%$49,384
2001117.65%-1.34%3.37%$51,048
2001120.87%-0.58%0.21%$51,158
20021-1.47%0.69%-0.61%$50,846
20022-1.94%0.85%-0.81%$50,436
200233.74%-1.46%1.60%$51,243
20024-6.07%1.69%-2.97%$49,721
20025-0.75%0.80%-0.10%$49,669
20026-7.13%0.29%-4.00%$47,684
20027-7.72%0.48%-4.10%$45,730
200280.65%1.66%1.12%$46,241
20029-10.87%1.53%-5.11%$43,880
2002108.78%-0.61%4.11%$45,683
2002115.88%0.02%3.10%$47,097
200212-5.89%2.07%-2.22%$46,050
20031-2.62%0.05%-1.55%$45,334
20032-1.52%1.38%-0.34%$45,179
200330.96%-0.13%0.51%$45,409
200348.25%0.87%5.22%$47,779
200355.26%1.82%3.91%$49,646
200361.26%-0.13%0.72%$50,005
200371.74%-3.34%-0.20%$49,904
200381.93%0.61%1.44%$50,624
20039-1.07%2.71%0.32%$50,785
2003105.64%-0.96%3.16%$52,388
2003110.86%0.27%0.65%$52,728
2003125.22%0.88%3.66%$54,657
200411.82%0.86%1.44%$55,443
200421.38%1.03%1.24%$56,131
20043-1.51%0.80%-0.60%$55,796
20044-1.58%-2.61%-1.99%$54,683
200451.36%-0.43%0.64%$55,035
200461.93%0.56%1.39%$55,799
20047-3.31%0.96%-1.63%$54,887
200480.38%1.94%1.01%$55,442
200491.07%0.16%0.70%$55,829
2004101.51%0.85%1.24%$56,524
2004114.05%-0.81%2.09%$57,707
2004123.39%0.92%2.42%$59,106
20051-2.45%0.65%-1.21%$58,390
200522.09%-0.63%0.99%$58,965
20053-1.76%-0.49%-1.25%$58,227
20054-1.91%1.35%-0.59%$57,883
200553.17%1.05%2.30%$59,212
200560.13%0.55%0.30%$59,390
200573.71%-0.99%1.79%$60,452
20058-0.91%1.36%-0.01%$60,444
200590.79%-1.10%0.03%$60,464
200510-1.68%-0.81%-1.33%$59,658
2005113.76%0.48%2.45%$61,120
2005120.02%0.99%0.40%$61,365
200612.65%-0.11%1.54%$62,313
200620.26%0.37%0.31%$62,504
200631.23%-1.00%0.35%$62,725
200641.33%-0.21%0.73%$63,186
20065-2.90%-0.09%-1.82%$62,037
200660.13%0.10%0.12%$62,110
200670.61%1.35%0.90%$62,667
200682.36%1.64%2.08%$63,970
200692.56%0.81%1.88%$65,171
2006103.25%0.72%2.27%$66,650
2006111.89%1.11%1.59%$67,710
2006121.39%-0.48%0.68%$68,172
200711.49%-0.08%0.86%$68,761
20072-1.97%1.50%-0.59%$68,353
200731.11%0.02%0.67%$68,812
200744.42%0.51%2.85%$70,771
200753.48%-0.78%1.81%$72,049
20076-1.68%-0.39%-1.18%$71,197
20077-3.08%0.84%-1.57%$70,079
200781.50%1.34%1.44%$71,085
200793.72%0.72%2.54%$72,889
2007101.58%0.93%1.33%$73,855
200711-4.19%1.91%-1.83%$72,504
200712-0.70%0.22%-0.33%$72,263
20081-6.02%1.69%-2.93%$70,143
20082-3.25%0.19%-1.81%$68,874
20083-0.44%0.30%-0.13%$68,787
200844.85%-0.30%2.64%$70,604
200851.29%-0.79%0.43%$70,904
20086-8.44%-0.01%-4.96%$67,384
20087-0.83%0.00%-0.47%$67,067
200881.45%0.70%1.12%$67,819
20089-8.91%-1.10%-5.52%$64,074
200810-16.79%-2.53%-10.32%$57,463
200811-7.17%3.64%-1.84%$56,407
2008121.07%3.32%2.24%$57,672
20091-8.41%-0.70%-5.33%$54,600
20092-10.66%-0.42%-6.36%$51,126
200938.76%1.48%5.51%$53,944
200949.56%0.36%5.61%$56,970
200955.62%0.85%3.67%$59,063
200960.22%0.54%0.35%$59,268
200977.58%1.43%5.13%$62,310
200983.60%1.01%2.61%$63,935
200993.72%1.19%2.76%$65,701
200910-1.87%0.41%-1.02%$65,031
2009115.98%1.36%4.24%$67,787
2009121.95%-1.68%0.62%$68,206
20101-3.60%1.57%-1.53%$67,160
201023.09%0.20%1.90%$68,434
201036.01%-0.08%3.54%$70,857
201041.58%1.06%1.38%$71,832
20105-8.01%0.87%-4.54%$68,571
20106-5.24%1.61%-2.41%$66,915
201077.00%0.94%4.39%$69,855
20108-4.53%1.48%-2.03%$68,434
201098.92%-0.01%5.08%$71,909
2010103.79%0.36%2.39%$73,624
2010110.00%-0.57%-0.23%$73,457
2010126.67%-1.15%3.55%$76,061
201112.36%0.08%1.45%$77,162
201123.42%0.16%2.13%$78,807
201130.03%-0.01%0.01%$78,818
201142.95%1.32%2.32%$80,644
20115-1.15%1.30%-0.21%$80,477
20116-1.67%-0.39%-1.17%$79,534
20117-2.05%1.58%-0.63%$79,035
20118-5.45%1.46%-2.68%$76,919
20119-7.04%0.89%-3.73%$74,052
20111010.91%0.16%6.21%$78,647
201111-0.23%-0.30%-0.26%$78,440
2011121.02%1.08%1.04%$79,258
201214.46%0.87%3.03%$81,658
201224.31%-0.05%2.60%$83,783
201233.28%-0.58%1.81%$85,296
20124-0.64%1.14%0.02%$85,316
20125-6.02%0.95%-3.39%$82,421
201264.11%0.04%2.51%$84,486
201271.37%1.39%1.38%$85,649
201282.24%0.03%1.39%$86,840
201292.58%0.11%1.64%$88,265
201210-1.86%0.11%-1.12%$87,273
2012110.56%0.19%0.42%$87,640
2012120.90%-0.20%0.49%$88,066
201315.18%-0.71%2.82%$90,550
201321.34%0.54%1.03%$91,484
201333.74%0.08%2.33%$93,619
201341.91%0.91%1.53%$95,055
201352.33%-1.71%0.82%$95,834
20136-1.35%-1.65%-1.46%$94,434
201375.07%0.20%3.30%$97,550
20138-2.91%-0.64%-2.11%$95,491
201393.12%0.96%2.35%$97,733
2013104.59%0.78%3.24%$100,901
2013113.03%-0.35%1.86%$102,782
2013122.51%-0.65%1.45%$104,271
20141-3.47%1.54%-1.46%$102,744
201424.56%0.48%2.88%$105,701
201430.82%-0.15%0.43%$106,158
201440.72%0.77%0.74%$106,947
201452.33%1.05%1.82%$108,893
201462.05%0.11%1.28%$110,287
20147-1.39%-0.26%-0.94%$109,246
201483.98%1.13%2.85%$112,364
20149-1.41%-0.72%-1.14%$111,078
2014102.42%0.94%1.84%$113,127
2014112.68%0.65%1.90%$115,272
201412-0.26%0.09%-0.13%$115,124
20151-3.02%2.31%-0.89%$114,104
201525.74%-1.08%2.92%$117,439
20153-1.59%0.41%-0.80%$116,500
201540.95%-0.36%0.42%$116,992
201551.27%-0.45%0.59%$117,678
20156-1.93%-1.01%-1.57%$115,832
201572.08%0.76%1.56%$117,636
20158-6.04%-0.36%-3.80%$113,161
20159-2.49%0.76%-1.17%$111,841
2015108.42%0.01%4.93%$117,352
2015110.29%-0.27%0.07%$117,431
201512-1.59%-0.38%-1.11%$116,123

Exposures for Portfolio 1

Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VFINXVanguard 500 Index InvestorLarge Blend60.00%$77,29695.68%Asset Allocation, Capitalization, Sector
VBMFXVanguard Total Bond Market Index InvIntermediate-Term Bond40.00%$28,8284.32%Asset Allocation, Credit Quality, Maturity

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

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 #1
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.74%
Mean Return (annualized)9.30%
Compound Return (monthly)0.71%
Compound Return (annualized)8.82%
Volatility (monthly)2.70%
Volatility (annualized)9.38%
Downside Deviation (monthly)1.72%
Max. Drawdown-30.78%
Market Correlation0.97
Beta(*)0.59
Alpha (annualized)2.61%
R294.12%
Sharpe Ratio0.60
Sortino Ratio0.89
Treynor Ratio (%)9.51
Diversification Ratio1.13
Skewness-0.78
Excess Kurtosis2.78
Historical Value-at-Risk (95%)-3.91%
Delta Normal Value-at-Risk (95%)-4.44%
Conditional Value-at-Risk (95%)-5.93%
Positive Periods228 out of 348 (65.52%)
Gain/Loss Ratio1.07

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1
Black Monday PeriodSep 1987Nov 1987-19.63%
Asian CrisisJul 1997Jan 1998-3.94%
Russian Crisis / LTCM DefaultJul 1998Oct 1998-8.89%
Dotcom CrashMar 2000Oct 2002-22.16%
Subprime CrisisNov 2007Mar 2009-30.78%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20103 years 2 months-30.78%
2Sep 2000Sep 20022 years 1 monthOct 20044 years 2 months-22.16%
3Sep 1987Nov 19873 monthsApr 19891 year 8 months-19.63%
4Jul 1998Aug 19982 monthsNov 19985 months-8.89%
5Aug 1990Sep 19902 monthsJan 19916 months-8.26%
6May 2011Sep 20115 monthsJan 20129 months-8.17%
7Feb 1994Jun 19945 monthsFeb 19951 year 1 month-5.98%
8Jun 2015Sep 20154 months-4.96%
9Jan 1990Jan 19901 monthMay 19905 months-4.79%
10Aug 1997Aug 19971 monthNov 19974 months-3.94%
11Jan 2000Feb 20002 monthsMar 20003 months-3.71%
12Jul 1999Sep 19993 monthsOct 19994 months-3.65%
13May 2012May 20121 monthJul 20123 months-3.39%
14Apr 2000May 20002 monthsAug 20005 months-3.25%
15Mar 1997Mar 19971 monthApr 19972 months-2.92%
16Jun 1991Jun 19911 monthJul 19912 months-2.91%
17Jun 2007Jul 20072 monthsSep 20074 months-2.73%
18Jul 1996Jul 19961 monthSep 19963 months-2.67%
19Feb 1999Feb 19991 monthApr 19993 months-2.59%
20Nov 1991Nov 19911 monthDec 19912 months-2.21%
21Aug 2013Aug 20131 monthSep 20132 months-2.11%
22Jan 2005Apr 20054 monthsMay 20055 months-2.07%
23Jan 1992Mar 19923 monthsMay 19925 months-2.05%
24May 2006May 20061 monthAug 20064 months-1.82%
25May 1999May 19991 monthJun 19992 months-1.82%
26Apr 1987Apr 19871 monthJun 19873 months-1.78%
27Dec 1996Dec 19961 monthJan 19972 months-1.56%
28Jan 2014Jan 20141 monthFeb 20142 months-1.46%
29Jun 2013Jun 20131 monthJul 20132 months-1.46%
30Oct 2005Oct 20051 monthNov 20052 months-1.33%
31Apr 1993Apr 19931 monthMay 19932 months-1.16%
32Sep 2014Sep 20141 monthOct 20142 months-1.14%
33Oct 2012Oct 20121 monthJan 20134 months-1.12%
34Dec 2014Jan 20152 monthsFeb 20153 months-1.01%
35Nov 1993Nov 19931 monthJan 19943 months-0.98%
36Jul 2014Jul 20141 monthAug 20142 months-0.94%
37Aug 1992Aug 19921 monthSep 19922 months-0.84%
38Mar 2015Mar 20151 monthMay 20153 months-0.80%
39May 1998May 19981 monthJun 19982 months-0.72%
40Sep 1989Oct 19892 monthsNov 19893 months-0.69%
41Feb 2007Feb 20071 monthMar 20072 months-0.59%
42Jun 1992Jun 19921 monthJul 19922 months-0.37%
43Sep 1993Sep 19931 monthOct 19932 months-0.31%
44Oct 1992Oct 19921 monthNov 19922 months-0.31%
45Sep 1991Sep 19911 monthOct 19912 months-0.31%
46Feb 1996Feb 19961 monthMar 19962 months-0.13%
47Aug 2005Aug 20051 monthSep 20052 months-0.01%
48Jul 1993Jul 19931 monthAug 19932 months-0.01%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.95%15.15%37.45%-37.02%-50.97%0.490.700.99
VBMFXVanguard Total Bond Market Index Inv6.18%3.88%18.18%-2.66%-5.86%0.731.170.08

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVBMFXPF #1
VFINXVanguard 500 Index Investor-0.100.98
VBMFXVanguard Total Bond Market Index Inv0.10-0.26

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePF #1
VFINXVanguard 500 Index Investor$77,296
VBMFXVanguard Total Bond Market Index Inv$28,828

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePF #1
VFINXVanguard 500 Index Investor95.68%
VBMFXVanguard Total Bond Market Index Inv4.32%

Annual Asset Returns