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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Total
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Portfolio Analysis Results (Jan 1987 - Dec 2015)

Portfolio Allocations

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

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 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 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
Annual returns for the configured portfolios
YearInflationPortfolio 1 ReturnPortfolio 1 BalanceVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
19874.43%3.44%$10,3444.71%1.54%
19884.42%12.67%$11,65516.22%7.35%
19894.65%24.28%$14,48431.36%13.64%
19906.11%1.47%$14,696-3.32%8.65%
19913.06%24.23%$18,25730.22%15.25%
19922.90%7.31%$19,5927.42%7.14%
19932.75%9.81%$21,5149.89%9.68%
19942.67%-0.36%$21,4371.18%-2.66%
19952.54%29.74%$27,81237.45%18.18%
19963.32%15.16%$32,02822.88%3.58%
19971.70%23.69%$39,61633.19%9.44%
19981.61%20.60%$47,77828.62%8.58%
19992.68%12.34%$53,67321.07%-0.76%
20003.39%-0.88%$53,202-9.06%11.39%
20011.55%-3.84%$51,158-12.02%8.43%
20022.38%-9.98%$46,050-22.15%8.26%
20031.88%18.69%$54,65728.50%3.97%
20043.26%8.14%$59,10610.74%4.24%
20053.42%3.82%$61,3654.77%2.40%
20062.54%11.09%$68,17215.64%4.27%
20074.08%6.00%$72,2635.39%6.92%
20080.09%-20.19%$57,672-37.02%5.05%
20092.72%18.27%$68,20626.49%5.93%
20101.50%11.52%$76,06114.91%6.42%
20112.96%4.20%$79,2581.97%7.56%
20121.74%11.11%$88,06615.82%4.05%
20131.50%18.40%$104,27132.18%-2.26%
20140.76%10.41%$115,12413.51%5.76%
20150.73%0.87%$116,1231.25%0.30%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnPortfolio 1 BalanceVanguard 500 Index Investor (VFINX)Vanguard Total Bond Market Index Inv (VBMFX)
198718.48%$10,84813.27%1.29%
198722.69%$11,1393.97%0.54%
198731.58%$11,3152.86%-0.64%
19874-1.78%$11,114-0.99%-3.20%
198750.53%$11,1731.04%-0.39%
198763.76%$11,5935.02%1.42%
198773.20%$11,9644.91%-0.11%
198782.32%$12,2413.84%-0.77%
19879-2.28%$11,963-2.29%-2.25%
198710-13.64%$10,331-21.73%3.50%
198711-4.77%$9,838-8.19%0.69%
1987125.14%$10,3447.55%1.62%
198813.74%$10,7314.17%3.09%
198823.24%$11,0784.59%1.19%
19883-2.30%$10,823-3.04%-1.15%
198840.39%$10,8661.01%-0.56%
198850.12%$10,8780.81%-0.96%
198863.83%$11,2954.56%2.68%
19887-0.41%$11,249-0.37%-0.48%
19888-2.03%$11,020-3.40%0.18%
198893.45%$11,4004.26%2.19%
1988102.24%$11,6562.73%1.46%
198811-1.24%$11,512-1.47%-0.86%
1988121.24%$11,6551.74%0.45%
198914.74%$12,2077.32%0.87%
19892-1.76%$11,993-2.47%-0.62%
198931.48%$12,1702.26%0.26%
198943.95%$12,6515.18%1.98%
198953.47%$13,0904.04%2.54%
198960.73%$13,186-0.59%2.93%
198976.40%$14,0299.01%2.19%
198980.59%$14,1121.86%-1.60%
19899-0.09%$14,099-0.40%0.47%
198910-0.60%$14,014-2.34%2.46%
1989111.56%$14,2322.04%0.75%
1989121.77%$14,4842.38%0.74%
19901-4.79%$13,791-6.72%-1.89%
199021.06%$13,9371.27%0.75%
199031.57%$14,1552.61%0.08%
19904-1.86%$13,892-2.50%-0.90%
199056.90%$14,8519.69%2.86%
199060.23%$14,885-0.66%1.60%
199070.29%$14,929-0.35%1.27%
19908-5.88%$14,050-9.03%-1.21%
19909-2.52%$13,696-4.89%0.72%
1990100.42%$13,754-0.41%1.49%
1990114.58%$14,3846.44%2.23%
1990122.17%$14,6962.72%1.45%
199113.06%$15,1464.35%1.12%
199124.63%$15,8477.12%0.78%
199131.76%$16,1252.41%0.69%
199140.49%$16,2050.20%0.99%
199152.92%$16,6784.27%0.68%
19916-2.91%$16,193-4.56%-0.06%
199173.38%$16,7404.63%1.32%
199182.23%$17,1132.33%2.05%
19919-0.31%$17,060-1.67%2.01%
1991101.19%$17,2631.33%0.96%
199111-2.21%$16,881-4.01%0.74%
1991128.15%$18,25711.41%3.04%
19921-1.68%$17,950-1.88%-1.39%
199220.99%$18,1281.24%0.62%
19923-1.36%$17,882-1.93%-0.50%
199242.02%$18,2442.91%0.71%
199251.03%$18,4320.48%1.84%
19926-0.37%$18,364-1.49%1.31%
199273.17%$18,9474.04%1.91%
19928-0.84%$18,788-2.07%0.98%
199291.21%$19,0151.17%1.26%
199210-0.31%$18,9570.33%-1.22%
1992112.01%$19,3373.40%-0.02%
1992121.32%$19,5921.21%1.48%
199311.20%$19,8270.81%1.79%
199321.60%$20,1441.36%1.96%
199331.40%$20,4272.11%0.37%
19934-1.16%$20,191-2.42%0.74%
199351.63%$20,5202.65%0.14%
199360.88%$20,7010.27%1.80%
19937-0.01%$20,699-0.42%0.61%
199382.93%$21,3063.79%1.69%
19939-0.31%$21,239-0.79%0.40%
1993101.36%$21,5282.08%0.30%
199311-0.98%$21,316-1.00%-0.97%
1993120.93%$21,5141.22%0.48%
199412.58%$22,0693.38%1.39%
19942-2.35%$21,551-2.71%-1.78%
19943-3.56%$20,785-4.39%-2.30%
199440.44%$20,8751.29%-0.83%
199450.97%$21,0771.60%0.00%
19946-1.56%$20,749-2.45%-0.18%
199472.70%$21,3113.28%1.84%
199482.52%$21,8474.08%0.14%
19949-2.06%$21,398-2.45%-1.44%
1994101.35%$21,6852.25%-0.07%
199411-2.32%$21,182-3.65%-0.18%
1994121.20%$21,4371.46%0.80%
199512.31%$21,9322.58%1.90%
199523.20%$22,6343.88%2.17%
199532.05%$23,0992.95%0.67%
199542.31%$23,6312.94%1.31%
199553.95%$24,5663.95%3.95%
199561.67%$24,9772.31%0.66%
199571.95%$25,4633.30%-0.25%
199580.60%$25,6170.26%1.18%
199592.99%$26,3824.21%0.95%
1995100.31%$26,464-0.36%1.47%
1995113.29%$27,3334.38%1.44%
1995121.75%$27,8121.93%1.44%
199612.28%$28,4473.39%0.63%
19962-0.13%$28,4090.92%-1.76%
199630.30%$28,4950.98%-0.77%
199640.71%$28,6971.46%-0.49%
199651.52%$29,1322.54%-0.17%
199660.71%$29,3400.38%1.27%
19967-2.67%$28,556-4.42%0.25%
199681.23%$28,9062.10%-0.16%
199694.12%$30,0975.61%1.70%
1996102.55%$30,8662.76%2.21%
1996115.42%$32,5377.56%1.76%
199612-1.56%$32,028-1.96%-0.85%
199713.83%$33,2556.22%0.25%
199720.53%$33,4300.79%0.11%
19973-2.92%$32,454-4.14%-0.97%
199744.20%$33,8185.96%1.49%
199754.09%$35,2036.09%0.87%
199763.24%$36,3424.45%1.16%
199776.09%$38,5567.97%2.80%
19978-3.94%$37,038-5.61%-0.85%
199794.01%$38,5235.47%1.45%
199710-1.65%$37,887-3.35%1.45%
1997113.04%$39,0384.60%0.33%
1997121.48%$39,6161.72%1.04%
199811.19%$40,0891.11%1.32%
199824.27%$41,8037.19%-0.10%
199833.27%$43,1705.10%0.33%
199840.82%$43,5251.01%0.51%
19985-0.72%$43,213-1.74%1.02%
199862.84%$44,4394.07%0.81%
19987-0.58%$44,181-1.05%0.23%
19988-8.36%$40,490-14.47%1.90%
199894.56%$42,3376.41%1.96%
1998104.63%$44,2988.16%-0.55%
1998113.92%$46,0356.07%0.49%
1998123.79%$47,7785.81%0.38%
199912.84%$49,1354.20%0.79%
19992-2.59%$47,861-3.12%-1.77%
199932.64%$49,1244.00%0.56%
199942.52%$50,3593.85%0.40%
19995-1.82%$49,444-2.39%-0.88%
199963.24%$51,0455.56%-0.50%
19997-2.12%$49,964-3.13%-0.39%
19998-0.34%$49,795-0.50%-0.08%
19999-1.23%$49,180-2.74%1.26%
1999104.01%$51,1546.33%0.33%
1999111.28%$51,8072.02%0.02%
1999123.60%$53,6735.98%-0.48%
20001-3.09%$52,015-5.03%-0.17%
20002-0.64%$51,684-1.91%1.18%
200036.25%$54,9169.76%1.40%
20004-2.00%$53,819-3.01%-0.49%
20005-1.28%$53,132-2.04%-0.16%
200062.35%$54,3802.49%2.15%
20007-0.52%$54,098-1.49%0.88%
200084.20%$56,3686.19%1.40%
20009-2.84%$54,768-5.29%0.76%
200010-0.01%$54,761-0.43%0.57%
200011-3.88%$52,636-7.88%1.58%
2000121.08%$53,2020.50%1.79%
200112.83%$54,7083.55%1.76%
20012-5.16%$51,885-9.14%0.91%
20013-3.45%$50,094-6.36%0.54%
200144.16%$52,1777.77%-0.46%
200150.68%$52,5340.65%0.73%
20016-1.20%$51,904-2.45%0.52%
200170.38%$52,100-1.00%2.23%
20018-3.07%$50,502-6.27%1.11%
20019-4.02%$48,473-8.09%0.89%
2001101.88%$49,3841.90%1.86%
2001113.37%$51,0487.65%-1.34%
2001120.21%$51,1580.87%-0.58%
20021-0.61%$50,846-1.47%0.69%
20022-0.81%$50,436-1.94%0.85%
200231.60%$51,2433.74%-1.46%
20024-2.97%$49,721-6.07%1.69%
20025-0.10%$49,669-0.75%0.80%
20026-4.00%$47,684-7.13%0.29%
20027-4.10%$45,730-7.72%0.48%
200281.12%$46,2410.65%1.66%
20029-5.11%$43,880-10.87%1.53%
2002104.11%$45,6838.78%-0.61%
2002113.10%$47,0975.88%0.02%
200212-2.22%$46,050-5.89%2.07%
20031-1.55%$45,334-2.62%0.05%
20032-0.34%$45,179-1.52%1.38%
200330.51%$45,4090.96%-0.13%
200345.22%$47,7798.25%0.87%
200353.91%$49,6465.26%1.82%
200360.72%$50,0051.26%-0.13%
20037-0.20%$49,9041.74%-3.34%
200381.44%$50,6241.93%0.61%
200390.32%$50,785-1.07%2.71%
2003103.16%$52,3885.64%-0.96%
2003110.65%$52,7280.86%0.27%
2003123.66%$54,6575.22%0.88%
200411.44%$55,4431.82%0.86%
200421.24%$56,1311.38%1.03%
20043-0.60%$55,796-1.51%0.80%
20044-1.99%$54,683-1.58%-2.61%
200450.64%$55,0351.36%-0.43%
200461.39%$55,7991.93%0.56%
20047-1.63%$54,887-3.31%0.96%
200481.01%$55,4420.38%1.94%
200490.70%$55,8291.07%0.16%
2004101.24%$56,5241.51%0.85%
2004112.09%$57,7074.05%-0.81%
2004122.42%$59,1063.39%0.92%
20051-1.21%$58,390-2.45%0.65%
200520.99%$58,9652.09%-0.63%
20053-1.25%$58,227-1.76%-0.49%
20054-0.59%$57,883-1.91%1.35%
200552.30%$59,2123.17%1.05%
200560.30%$59,3900.13%0.55%
200571.79%$60,4523.71%-0.99%
20058-0.01%$60,444-0.91%1.36%
200590.03%$60,4640.79%-1.10%
200510-1.33%$59,658-1.68%-0.81%
2005112.45%$61,1203.76%0.48%
2005120.40%$61,3650.02%0.99%
200611.54%$62,3132.65%-0.11%
200620.31%$62,5040.26%0.37%
200630.35%$62,7251.23%-1.00%
200640.73%$63,1861.33%-0.21%
20065-1.82%$62,037-2.90%-0.09%
200660.12%$62,1100.13%0.10%
200670.90%$62,6670.61%1.35%
200682.08%$63,9702.36%1.64%
200691.88%$65,1712.56%0.81%
2006102.27%$66,6503.25%0.72%
2006111.59%$67,7101.89%1.11%
2006120.68%$68,1721.39%-0.48%
200710.86%$68,7611.49%-0.08%
20072-0.59%$68,353-1.97%1.50%
200730.67%$68,8121.11%0.02%
200742.85%$70,7714.42%0.51%
200751.81%$72,0493.48%-0.78%
20076-1.18%$71,197-1.68%-0.39%
20077-1.57%$70,079-3.08%0.84%
200781.44%$71,0851.50%1.34%
200792.54%$72,8893.72%0.72%
2007101.33%$73,8551.58%0.93%
200711-1.83%$72,504-4.19%1.91%
200712-0.33%$72,263-0.70%0.22%
20081-2.93%$70,143-6.02%1.69%
20082-1.81%$68,874-3.25%0.19%
20083-0.13%$68,787-0.44%0.30%
200842.64%$70,6044.85%-0.30%
200850.43%$70,9041.29%-0.79%
20086-4.96%$67,384-8.44%-0.01%
20087-0.47%$67,067-0.83%0.00%
200881.12%$67,8191.45%0.70%
20089-5.52%$64,074-8.91%-1.10%
200810-10.32%$57,463-16.79%-2.53%
200811-1.84%$56,407-7.17%3.64%
2008122.24%$57,6721.07%3.32%
20091-5.33%$54,600-8.41%-0.70%
20092-6.36%$51,126-10.66%-0.42%
200935.51%$53,9448.76%1.48%
200945.61%$56,9709.56%0.36%
200953.67%$59,0635.62%0.85%
200960.35%$59,2680.22%0.54%
200975.13%$62,3107.58%1.43%
200982.61%$63,9353.60%1.01%
200992.76%$65,7013.72%1.19%
200910-1.02%$65,031-1.87%0.41%
2009114.24%$67,7875.98%1.36%
2009120.62%$68,2061.95%-1.68%
20101-1.53%$67,160-3.60%1.57%
201021.90%$68,4343.09%0.20%
201033.54%$70,8576.01%-0.08%
201041.38%$71,8321.58%1.06%
20105-4.54%$68,571-8.01%0.87%
20106-2.41%$66,915-5.24%1.61%
201074.39%$69,8557.00%0.94%
20108-2.03%$68,434-4.53%1.48%
201095.08%$71,9098.92%-0.01%
2010102.39%$73,6243.79%0.36%
201011-0.23%$73,4570.00%-0.57%
2010123.55%$76,0616.67%-1.15%
201111.45%$77,1622.36%0.08%
201122.13%$78,8073.42%0.16%
201130.01%$78,8180.03%-0.01%
201142.32%$80,6442.95%1.32%
20115-0.21%$80,477-1.15%1.30%
20116-1.17%$79,534-1.67%-0.39%
20117-0.63%$79,035-2.05%1.58%
20118-2.68%$76,919-5.45%1.46%
20119-3.73%$74,052-7.04%0.89%
2011106.21%$78,64710.91%0.16%
201111-0.26%$78,440-0.23%-0.30%
2011121.04%$79,2581.02%1.08%
201213.03%$81,6584.46%0.87%
201222.60%$83,7834.31%-0.05%
201231.81%$85,2963.28%-0.58%
201240.02%$85,316-0.64%1.14%
20125-3.39%$82,421-6.02%0.95%
201262.51%$84,4864.11%0.04%
201271.38%$85,6491.37%1.39%
201281.39%$86,8402.24%0.03%
201291.64%$88,2652.58%0.11%
201210-1.12%$87,273-1.86%0.11%
2012110.42%$87,6400.56%0.19%
2012120.49%$88,0660.90%-0.20%
201312.82%$90,5505.18%-0.71%
201321.03%$91,4841.34%0.54%
201332.33%$93,6193.74%0.08%
201341.53%$95,0551.91%0.91%
201350.82%$95,8342.33%-1.71%
20136-1.46%$94,434-1.35%-1.65%
201373.30%$97,5505.07%0.20%
20138-2.11%$95,491-2.91%-0.64%
201392.35%$97,7333.12%0.96%
2013103.24%$100,9014.59%0.78%
2013111.86%$102,7823.03%-0.35%
2013121.45%$104,2712.51%-0.65%
20141-1.46%$102,744-3.47%1.54%
201422.88%$105,7014.56%0.48%
201430.43%$106,1580.82%-0.15%
201440.74%$106,9470.72%0.77%
201451.82%$108,8932.33%1.05%
201461.28%$110,2872.05%0.11%
20147-0.94%$109,246-1.39%-0.26%
201482.85%$112,3643.98%1.13%
20149-1.14%$111,078-1.41%-0.72%
2014101.84%$113,1272.42%0.94%
2014111.90%$115,2722.68%0.65%
201412-0.13%$115,124-0.26%0.09%
20151-0.89%$114,104-3.02%2.31%
201522.92%$117,4395.74%-1.08%
20153-0.80%$116,500-1.59%0.41%
201540.42%$116,9920.95%-0.36%
201550.59%$117,6781.27%-0.45%
20156-1.57%$115,832-1.93%-1.01%
201571.56%$117,6362.08%0.76%
20158-3.80%$113,161-6.04%-0.36%
20159-1.17%$111,841-2.49%0.76%
2015104.93%$117,3528.42%0.01%
2015110.07%$117,4310.29%-0.27%
201512-1.11%$116,123-1.59%-0.38%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1
Large-cap Value26.61%
Large-cap Growth33.28%
Mid-cap Value0.89%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.73%
Corporate Bonds4.80%
Long-Term Treasuries0.40%
Intermediate-Term Treasuries13.36%
Short-Term Treasuries19.93%
R Squared99.67%
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 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 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 1
Arithmetic Mean (monthly)0.74%
Arithmetic Mean (annualized)9.30%
Geometric Mean (monthly)0.71%
Geometric Mean (annualized)8.82%
Volatility (monthly)2.71%
Volatility (annualized)9.38%
Downside Deviation (monthly)1.72%
Max. Drawdown-30.78%
US Market Correlation0.97
Beta(*)0.59
Alpha (annualized)2.61%
R294.12%
Sharpe Ratio0.60
Sortino Ratio0.89
Treynor Ratio (%)9.51
Information Ratio-0.26
Diversification Ratio1.13
Skewness-0.78
Excess Kurtosis2.78
Historical Value-at-Risk (5%)-3.91%
Analytical Value-at-Risk (5%)-3.71%
Conditional Value-at-Risk (5%)-5.93%
Upside Capture Ratio (%)63.47
Downside Capture Ratio (%)54.87
Positive Periods228 out of 348 (65.52%)
Gain/Loss Ratio1.07
* 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 1
Black Monday PeriodSep 1987Nov 1987-19.63%
Asian CrisisJul 1997Jan 1998-3.94%
Russian Debt 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 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-30.78%
2Sep 2000Sep 20022 years 1 monthOct 20042 years 1 month4 years 2 months-22.16%
3Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-19.63%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-8.89%
5Aug 1990Sep 19902 monthsJan 19914 months6 months-8.26%
6May 2011Sep 20115 monthsJan 20124 months9 months-8.17%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-5.98%
8Jun 2015Sep 20154 months-4.96%
9Jan 1990Jan 19901 monthMay 19904 months5 months-4.79%
10Aug 1997Aug 19971 monthNov 19973 months4 months-3.94%
Worst 10 drawdowns included above

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
TickerNameVFINXVBMFXPortfolio 1
VFINXVanguard 500 Index Investor-0.100.98
VBMFXVanguard Total Bond Market Index Inv0.10-0.26

Portfolio Return Decomposition

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

Portfolio Risk Decomposition

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

Annual Asset Returns