Backtest Portfolio Asset Allocation

This portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs, and stocks. You can analyze and backtest portfolio returns, risk characteristics, style exposures, and drawdowns. The results cover both returns and fund fundamentals based portfolio style analysis along with risk and return decomposition by each portfolio asset. You can compare up to three different portfolios against the selected benchmark, and you can also specify any periodic contribution or withdrawal cashflows and the preferred portfolio rebalancing strategy.

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level 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 (Sep 1999 - Sep 2014)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VEIEX Vanguard Emerging Mkts Stock Idx Inv 12.50%
VTSMX Vanguard Total Stock Mkt Idx Inv 45.00%
VTMGX Vanguard Developed Markets Index Admiral 17.50%
VBMFX Vanguard Total Bond Market Index Inv 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRTWRRMWRRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000$400,393 48.78% 6.38%7.86%12.38%29.08%-29.23%-41.60%
(-33.32%)
0.400.570.97
Vanguard 500 Index Investor$1,000$410,876 49.03% 4.55%8.18%15.36%32.18%-37.02%-50.97%
(-42.26%)
0.240.330.99
* The number in parentheses shows the calculated value taking into account the periodic contributions.
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 1-1.36%10.68%14.34%10.03%8.18%6.38%
Vanguard 500 Index Investor1.09%19.54%22.80%15.53%7.99%4.55%
Trailing returns are for full months ending in September 2014 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 1999 are based on monthly returns from September to December
  • The annual results for 2014 are based on monthly returns from January to September
  • CAGR = Compound Annual Growth Rate
  • TWRR = Annualized time weighted rate of return
  • MWRR = Annualized money weighted rate of return (internal rate of return) taking into account the periodic cashflows
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
  • Inflation adjusted monthly contribution of $1,000 was applied at the end of each period. This is reflected in the CAGR and maximum drawdown shown above.
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Developed Markets Index Admiral (VTMGX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index InvestorAdjustment
19990.72%13.92%11.81%$5,484$5,436$4,02627.68%15.38%18.59%1.13%
20003.39%-7.86%-9.06%$16,849$16,530$12,366-27.56%-10.57%-14.29%11.39%
20011.55%-7.03%-12.02%$28,293$26,992$12,716-2.88%-10.97%-21.94%8.43%
20022.38%-11.03%-22.15%$37,457$32,744$12,917-7.43%-20.96%-15.62%8.26%
20031.88%29.08%28.50%$63,853$57,487$13,21157.65%31.35%38.67%3.97%
20043.26%13.50%10.74%$87,319$78,279$13,56426.12%12.51%20.25%4.24%
20053.42%9.68%4.77%$110,750$96,634$14,02532.05%5.98%13.60%2.40%
20062.54%16.32%15.64%$144,508$127,477$14,47729.39%15.51%26.27%4.27%
20074.08%11.02%5.39%$175,840$149,273$14,89038.90%5.49%11.15%6.92%
20080.09%-29.23%-37.02%$137,235$105,926$15,462-52.81%-37.04%-41.27%5.05%
20092.72%28.84%26.49%$195,116$152,576$15,40775.98%28.70%28.27%5.93%
20101.50%13.12%14.91%$237,997$192,959$15,65918.86%17.09%8.36%6.42%
20112.96%-2.21%1.97%$248,385$212,806$16,154-18.78%0.96%-12.51%7.56%
20121.74%13.90%15.82%$300,219$263,631$16,48818.64%16.25%18.56%4.05%
20131.50%17.65%32.18%$371,331$367,419$16,729-5.19%33.35%22.06%-2.26%
20142.14%4.34%8.21%$400,393$410,876$12,7614.33%6.86%-1.63%4.00%
Annual returns for 1999 and 2014 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Emerging Mkts Stock Idx Inv (VEIEX)Vanguard Total Stock Mkt Idx Inv (VTSMX)Vanguard Developed Markets Index Admiral (VTMGX)Vanguard Total Bond Market Index Inv (VBMFX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
19999-0.65%-2.74%$1,998$1,977-0.50%-2.44%1.09%1.26%
1999104.00%6.33%$3,085$3,1093.82%6.29%3.71%0.33%
1999113.25%2.02%$4,192$4,1798.12%3.42%3.86%0.02%
1999126.78%5.98%$5,484$5,43614.31%7.59%8.90%-0.48%
20001-3.68%-5.03%$6,292$6,173-4.88%-4.18%-6.52%-0.17%
200022.37%-1.91%$7,457$7,0713.53%2.54%2.86%1.18%
200033.45%9.76%$8,739$8,786-0.90%5.69%3.83%1.40%
20004-4.32%-3.01%$9,387$9,547-7.47%-5.21%-5.36%-0.49%
20005-2.61%-2.04%$10,168$10,379-5.32%-3.41%-2.39%-0.16%
200063.93%2.49%$11,600$11,6696.27%4.42%3.90%2.15%
20007-1.96%-1.49%$12,407$12,529-5.20%-1.95%-4.19%0.88%
200083.99%6.19%$13,935$14,3381.49%7.28%0.91%1.40%
20009-3.43%-5.29%$14,497$14,619-6.14%-4.67%-4.87%0.76%
200010-1.96%-0.43%$15,254$15,598-7.61%-2.04%-2.37%0.57%
200011-5.67%-7.88%$15,431$15,411-9.82%-9.90%-3.69%1.58%
2000122.45%0.50%$16,849$16,5305.95%1.78%3.44%1.79%
200113.62%3.55%$18,506$18,16411.76%3.83%-0.10%1.76%
20012-6.46%-9.14%$18,363$17,556-8.70%-9.41%-7.50%0.91%
20013-5.27%-6.36%$18,450$17,495-10.42%-6.72%-6.62%0.54%
200145.80%7.77%$20,578$19,9139.29%8.16%7.66%-0.46%
200150.14%0.65%$21,669$21,1061.47%1.01%-4.14%0.73%
20016-1.52%-2.45%$22,405$21,655-2.12%-1.64%-4.10%0.52%
20017-1.31%-1.00%$23,173$22,501-6.74%-1.71%-1.85%2.23%
20018-2.84%-6.27%$23,577$22,151-0.98%-6.00%-2.47%1.11%
20019-7.12%-8.09%$22,966$21,426-15.57%-9.00%-10.25%0.89%
2001102.78%1.90%$24,668$22,8956.59%2.52%2.55%1.86%
2001114.31%7.65%$26,793$25,7099.34%7.63%3.01%-1.34%
2001121.65%0.87%$28,293$26,9927.73%1.78%0.71%-0.58%
20021-0.95%-1.47%$29,085$27,6542.87%-1.24%-5.26%0.69%
20022-0.24%-1.94%$30,079$28,1822.67%-2.05%0.68%0.85%
200233.16%3.74%$32,098$30,3074.52%4.38%5.92%-1.46%
20024-1.70%-6.07%$32,628$29,5420.32%-4.90%0.13%1.69%
20025-0.07%-0.75%$33,682$30,395-0.43%-1.22%1.78%0.80%
20026-4.79%-7.13%$33,146$29,303-8.23%-7.06%-3.99%0.29%
20027-6.13%-7.72%$32,193$28,119-8.50%-8.02%-9.87%0.48%
200280.83%0.65%$33,541$29,3841.42%0.53%-0.29%1.66%
20029-6.93%-10.87%$32,300$27,272-10.69%-10.07%-10.98%1.53%
2002104.54%8.78%$34,851$30,7526.55%7.65%5.52%-0.61%
2002114.13%5.88%$37,374$33,6447.09%6.06%4.62%0.02%
200212-2.68%-5.89%$37,457$32,744-3.27%-5.57%-3.33%2.07%
20031-1.85%-2.62%$37,851$32,9720.13%-2.54%-4.20%0.05%
20032-1.28%-1.52%$38,464$33,567-3.80%-1.69%-2.27%1.38%
20033-0.14%0.96%$39,513$34,990-2.04%1.09%-1.99%-0.13%
200346.62%8.25%$43,229$38,9788.75%8.21%9.83%0.87%
200355.07%5.26%$46,517$42,1286.39%6.11%6.02%1.82%
200361.80%1.26%$48,452$43,7585.88%1.43%2.47%-0.13%
200371.69%1.74%$50,371$45,6227.03%2.36%2.70%-3.34%
200382.51%1.93%$52,738$47,6086.36%2.39%2.21%0.61%
200390.70%-1.07%$54,215$48,2070.80%-1.15%2.98%2.71%
2003104.99%5.64%$58,028$52,0339.09%6.12%6.31%-0.96%
2003111.25%0.86%$59,860$53,5871.09%1.38%2.22%0.27%
2003124.83%5.22%$63,853$57,4877.78%4.48%7.81%0.88%
200411.85%1.82%$66,143$59,6433.12%2.23%1.37%0.86%
200421.84%1.38%$68,475$61,5784.17%1.43%2.36%1.03%
20043-0.14%-1.51%$69,504$61,7680.39%-1.07%0.57%0.80%
20044-3.10%-1.58%$68,476$61,919-7.90%-2.11%-2.74%-2.61%
200450.51%1.36%$69,959$63,891-0.85%1.35%0.67%-0.43%
200461.55%1.93%$72,179$66,259-0.09%2.09%2.68%0.56%
20047-2.36%-3.31%$71,610$65,199-1.80%-3.80%-3.59%0.96%
200481.21%0.38%$73,607$66,5834.10%0.31%0.45%1.94%
200491.99%1.07%$76,207$68,4305.62%1.74%2.70%0.16%
2004101.83%1.51%$78,747$70,6092.30%1.68%3.28%0.85%
2004114.43%4.05%$83,377$74,60810.17%4.68%6.89%-0.81%
2004123.36%3.39%$87,319$78,2795.32%3.63%4.38%0.92%
20051-1.40%-2.45%$87,241$77,499-0.14%-2.68%-1.94%0.65%
200522.62%2.09%$90,675$80,2698.87%2.07%4.24%-0.63%
20053-2.23%-1.76%$89,814$80,013-6.70%-1.75%-2.44%-0.49%
20054-1.40%-1.91%$89,718$79,648-2.89%-2.32%-1.94%1.35%
200552.29%3.17%$92,934$83,3343.39%3.77%-0.40%1.05%
200561.11%0.13%$95,128$84,6043.28%0.81%1.09%0.55%
200573.02%3.71%$99,173$88,9106.87%4.11%3.24%-0.99%
200580.59%-0.91%$100,936$89,2730.97%-0.94%3.24%1.36%
200592.01%0.79%$104,155$91,1728.64%0.86%4.15%-1.10%
200510-2.47%-1.68%$102,778$90,833-6.57%-1.86%-2.83%-0.81%
2005113.30%3.76%$107,347$95,4357.98%3.97%1.82%0.48%
2005122.07%0.02%$110,750$96,6346.16%0.14%5.04%0.99%
200614.07%2.65%$116,439$100,37711.48%3.50%6.18%-0.11%
20062-0.22%0.26%$117,369$101,830-1.46%0.00%-0.66%0.37%
200631.37%1.23%$120,172$104,2791.24%1.80%3.58%-1.00%
200642.28%1.33%$124,112$106,8757.12%1.11%4.86%-0.21%
20065-3.59%-2.90%$120,874$104,991-10.74%-3.23%-3.42%-0.09%
200660.02%0.13%$122,110$106,340-0.20%0.17%-0.31%0.10%
200670.61%0.61%$124,067$108,2031.19%-0.13%1.03%1.35%
200682.18%2.36%$127,995$111,9792.05%2.31%2.66%1.64%
200691.34%2.56%$130,921$116,0640.72%2.27%0.23%0.81%
2006103.08%3.25%$136,163$121,0444.75%3.53%3.88%0.72%
2006112.80%1.89%$141,187$124,5377.44%2.23%3.07%1.11%
2006121.50%1.39%$144,508$127,4774.16%1.13%2.85%-0.48%
200710.97%1.49%$147,127$130,592-0.58%1.88%1.27%-0.08%
20072-0.47%-1.97%$147,655$129,238-1.28%-1.61%0.28%1.50%
200731.48%1.11%$151,067$131,9044.11%1.11%2.68%0.02%
200743.14%4.42%$157,050$138,9684.23%4.01%3.86%0.51%
200752.69%3.48%$162,515$145,0455.96%3.69%2.54%-0.78%
20076-0.29%-1.68%$163,294$143,8604.49%-1.67%-0.13%-0.39%
20077-1.14%-3.08%$162,684$140,6694.30%-3.41%-2.17%0.84%
200780.71%1.50%$165,076$144,021-0.94%1.45%-0.65%1.34%
200794.22%3.72%$173,293$150,63210.75%3.59%5.31%0.72%
2007103.68%1.58%$180,923$154,26112.31%1.85%4.48%0.93%
200711-3.48%-4.19%$175,878$149,060-7.99%-4.49%-3.75%1.91%
200712-0.74%-0.70%$175,840$149,273-0.38%-0.60%-2.64%0.22%
20081-5.06%-6.02%$168,201$141,557-11.08%-6.08%-7.79%1.69%
20082-0.89%-3.25%$167,968$138,2214.65%-3.07%-0.70%0.19%
20083-0.62%-0.44%$168,197$138,890-3.80%-0.58%0.11%0.30%
200843.97%4.85%$176,166$146,9188.09%5.02%5.24%-0.30%
200851.18%1.29%$179,537$150,1131.84%2.09%1.35%-0.79%
20086-6.43%-8.44%$169,302$138,756-10.39%-8.19%-8.57%-0.01%
20087-1.42%-0.83%$168,208$138,918-4.14%-0.77%-3.49%0.00%
20088-0.74%1.45%$168,280$142,238-7.81%1.58%-4.29%0.70%
20089-8.18%-8.91%$155,815$130,880-16.25%-9.26%-12.20%-1.10%
200810-14.47%-16.79%$134,564$110,198-27.67%-17.63%-20.52%-2.53%
200811-3.62%-7.17%$130,963$103,563-7.85%-7.90%-5.98%3.64%
2008123.83%1.07%$137,235$105,9268.30%1.86%8.40%3.32%
20091-7.16%-8.41%$128,679$98,278-8.19%-8.26%-12.81%-0.70%
20092-7.24%-10.66%$120,638$89,075-6.07%-10.45%-10.50%-0.42%
200937.42%8.76%$130,858$98,15116.03%8.65%8.01%1.48%
200948.78%9.56%$143,617$108,80916.03%10.61%11.96%0.36%
200957.41%5.62%$155,542$116,20118.27%5.38%13.35%0.85%
20096-0.29%0.22%$156,388$117,748-2.25%0.34%-1.18%0.54%
200977.18%7.58%$168,908$127,95911.55%7.82%9.53%1.43%
200982.53%3.60%$174,476$133,856-0.63%3.63%4.65%1.01%
200994.32%3.72%$183,309$140,1249.29%4.23%4.06%1.19%
200910-1.69%-1.87%$181,496$138,800-1.36%-2.57%-2.36%0.41%
2009114.32%5.98%$190,627$148,3975.90%5.63%3.26%1.36%
2009121.68%1.95%$195,116$152,5763.60%2.86%0.91%-1.68%
20101-2.79%-3.60%$190,961$148,375-6.25%-3.50%-4.75%1.57%
201021.68%3.09%$195,469$154,2591.07%3.36%0.00%0.20%
201034.86%6.01%$206,271$164,8388.15%6.27%6.26%-0.08%
201040.89%1.58%$209,415$168,7440.26%2.17%-2.35%1.06%
20105-6.51%-8.01%$197,089$156,541-9.32%-8.00%-11.18%0.87%
20106-2.44%-5.24%$193,591$149,644-0.04%-5.66%-1.66%1.61%
201076.20%7.00%$206,896$161,4189.25%6.99%10.79%0.94%
20108-2.61%-4.53%$202,795$155,412-2.24%-4.75%-3.63%1.48%
201097.20%8.92%$218,697$170,58111.18%9.47%10.11%-0.01%
2010102.89%3.79%$226,325$178,3522.97%3.94%3.87%0.36%
201011-1.10%0.00%$225,137$179,661-2.71%0.58%-5.11%-0.57%
2010125.13%6.67%$237,997$192,9597.30%6.81%8.33%-1.15%
201111.05%2.36%$241,817$198,825-2.77%2.19%2.25%0.08%
201122.20%3.42%$248,470$206,942-0.85%3.60%3.55%0.16%
201130.39%0.03%$250,782$208,3325.57%0.45%-2.59%-0.01%
201143.23%2.95%$260,233$215,8193.47%2.99%6.37%1.32%
20115-1.08%-1.15%$258,774$214,700-2.82%-1.16%-2.83%1.30%
20116-1.33%-1.67%$256,688$212,460-1.51%-1.79%-1.30%-0.39%
20117-1.10%-2.05%$255,204$209,463-0.82%-2.28%-1.97%1.58%
20118-4.94%-5.45%$243,948$199,411-8.54%-5.99%-8.96%1.46%
20119-6.85%-7.04%$228,590$186,725-16.19%-7.75%-10.40%0.89%
2011108.06%10.91%$248,377$208,45913.51%11.51%9.34%0.16%
201111-1.02%-0.23%$247,206$209,325-3.41%-0.29%-2.63%-0.30%
201112-0.07%1.02%$248,385$212,806-3.32%0.80%-2.33%1.08%
201214.91%4.46%$261,946$223,66311.12%5.08%5.82%0.87%
201223.55%4.31%$272,600$234,6595.56%4.26%5.12%-0.05%
201230.91%3.28%$276,451$243,732-2.86%3.07%0.22%-0.58%
20124-0.68%-0.64%$275,955$243,550-1.75%-0.65%-2.29%1.14%
20125-6.06%-6.02%$260,594$230,269-11.08%-6.24%-11.26%0.95%
201263.60%4.11%$271,337$241,1044.83%3.91%7.19%0.04%
201270.94%1.37%$275,267$245,7780.64%1.03%0.30%1.39%
201281.75%2.24%$281,459$252,6600.43%2.48%3.15%0.03%
201292.36%2.58%$289,490$260,5555.32%2.58%2.82%0.11%
201210-0.65%-1.86%$288,982$257,094-0.42%-1.76%1.14%0.11%
2012110.98%0.56%$293,198$259,9121.33%0.74%2.43%0.19%
2012121.93%0.90%$300,219$263,6315.84%1.19%3.85%-0.20%
201313.15%5.18%$311,053$278,6550.61%5.50%4.44%-0.71%
201320.27%1.34%$313,267$283,776-1.74%1.28%-1.36%0.54%
201331.90%3.74%$320,611$295,778-1.54%3.88%1.48%0.08%
201342.06%1.91%$328,620$302,8151.32%1.70%5.12%0.91%
20135-0.27%2.33%$329,131$311,257-3.73%2.32%-3.00%-1.71%
20136-2.18%-1.35%$323,358$308,450-6.14%-1.27%-2.88%-1.65%
201373.75%5.07%$336,891$325,4940.97%5.49%5.34%0.20%
20138-2.12%-2.91%$331,137$317,415-3.18%-2.82%-1.41%-0.64%
201394.09%3.12%$346,071$328,7257.15%3.66%7.52%0.96%
2013103.33%4.59%$358,977$345,2004.65%4.22%3.23%0.78%
2013111.26%3.03%$364,908$357,049-2.02%2.88%0.69%-0.35%
2013121.38%2.51%$371,331$367,419-0.96%2.63%1.59%-0.65%
20141-2.72%-3.47%$362,628$356,072-7.27%-3.11%-4.57%1.54%
201423.64%4.56%$377,223$373,7173.42%4.73%5.73%0.48%
201430.58%0.82%$380,825$378,2093.86%0.51%-0.42%-0.15%
201440.55%0.72%$384,323$382,3670.51%0.06%1.51%0.77%
201451.98%2.33%$393,372$392,7193.72%2.17%1.63%1.05%
201461.73%2.05%$401,608$402,2033.00%2.54%1.06%0.11%
20147-1.17%-1.39%$398,329$398,0461.46%-1.98%-2.27%-0.26%
201482.68%3.98%$410,434$415,3183.57%4.18%0.30%1.13%
20149-2.79%-1.41%$400,393$410,876-7.16%-2.14%-4.19%-0.72%
* End-of-month balance includes the monthly contribution/withdrawal

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value15.53%47.50%
Large-cap Growth22.64%52.06%
Mid-cap Value4.67%0.00%
Mid-cap Growth3.17%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.35%0.00%
Global ex-US Developed Markets17.02%0.00%
Emerging Markets12.78%0.05%
Corporate Bonds4.56%0.00%
Long-Term Treasuries0.36%0.00%
Intermediate-Term Treasuries7.16%0.38%
Short-Term Treasuries11.75%0.00%
R Squared99.80%99.90%
Style analysis is based on monthly returns from Apr 2005 to Sep 2014 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
VEIEXVanguard Emerging Mkts Stock Idx InvDiversified Emerging Mkts12.50%0.29%16.48$27,30121.46%
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend45.00%0.14%25.00$101,89954.68%
VTMGXVanguard Developed Markets Index AdmiralForeign Large Blend17.50%0.07%17.91$25,19823.66%
VBMFXVanguard Total Bond Market Index InvIntermediate Core Bond25.00%0.15%6.56$24,1440.21%
100.00%0.15%21.936.56$178,541100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 11/25/2020. (c) 2020 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 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.58%0.47%
Arithmetic Mean (annualized)7.20%5.80%
Geometric Mean (monthly)0.52%0.37%
Geometric Mean (annualized)6.38%4.55%
Volatility (monthly)3.57%4.43%
Volatility (annualized)12.38%15.36%
Downside Deviation (monthly)2.44%3.13%
Max. Drawdown-41.60%-50.97%
US Market Correlation0.970.99
Beta(*)0.771.00
Alpha (annualized)2.64%0.00%
R290.52%100.00%
Sharpe Ratio0.400.24
Sortino Ratio0.570.33
Treynor Ratio (%)6.543.70
Calmar Ratio2.143.44
Active Return1.83%N/A
Tracking Error5.23%N/A
Information Ratio0.35N/A
Skewness-0.66-0.56
Excess Kurtosis1.220.92
Historical Value-at-Risk (5%)-6.46%-7.99%
Analytical Value-at-Risk (5%)-5.43%-6.82%
Conditional Value-at-Risk (5%)-7.88%-9.92%
Upside Capture Ratio (%)85.16100.00
Downside Capture Ratio (%)75.37100.00
Safe Withdrawal Rate7.79%5.85%
Perpetual Withdrawal Rate3.79%2.10%
Positive Periods108 out of 181 (59.67%)111 out of 181 (61.33%)
Gain/Loss Ratio1.020.82
* Vanguard 500 Index Investor 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 1Vanguard 500 Index Investor
Dotcom CrashMar 2000Oct 2002-29.46%-44.82%
Subprime CrisisNov 2007Mar 2009-41.60%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-41.60%
2Apr 2000Sep 20022 years 6 monthsFeb 20041 year 5 months3 years 11 months-29.46%
3May 2011Sep 20115 monthsMar 20126 months11 months-14.53%
4Apr 2012May 20122 monthsSep 20124 months6 months-6.70%
5Jan 2000Jan 20001 monthMar 20002 months3 months-3.68%
6Mar 2005Apr 20052 monthsJul 20053 months5 months-3.60%
7May 2006May 20061 monthSep 20064 months5 months-3.59%
8Mar 2004Jul 20045 monthsOct 20043 months8 months-3.55%
9Sep 2014Sep 20141 month-2.79%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.72%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (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%
3Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
4Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
5Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
6Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
7Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
8Sep 1999Sep 19991 monthOct 19991 month2 months-2.74%
9Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
10Oct 2012Oct 20121 monthJan 20133 months4 months-1.86%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VEIEXVanguard Emerging Mkts Stock Idx Inv9.04%23.60%75.98%-52.81%-62.70%0.410.590.83
VTSMXVanguard Total Stock Mkt Idx Inv5.36%15.86%33.35%-37.04%-50.89%0.290.401.00
VTMGXVanguard Developed Markets Index Admiral4.01%17.92%38.67%-41.27%-57.06%0.200.280.88
VBMFXVanguard Total Bond Market Index Inv5.38%3.51%11.39%-2.26%-3.99%0.961.61-0.09

Monthly Correlations

Correlations for the portfolio assets
TickerNameVEIEXVTSMXVTMGXVBMFXPortfolio 1Vanguard 500 Index Investor
VEIEXVanguard Emerging Mkts Stock Idx Inv1.000.830.880.020.920.80
VTSMXVanguard Total Stock Mkt Idx Inv0.831.000.88-0.090.970.99
VTMGXVanguard Developed Markets Index Admiral0.880.881.000.020.950.87
VBMFXVanguard Total Bond Market Index Inv0.02-0.090.021.000.03-0.09

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VEIEXVanguard Emerging Mkts Stock Idx Inv$27,301
VTSMXVanguard Total Stock Mkt Idx Inv$101,899
VTMGXVanguard Developed Markets Index Admiral$25,198
VBMFXVanguard Total Bond Market Index Inv$24,144

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VEIEXVanguard Emerging Mkts Stock Idx Inv21.46%
VTSMXVanguard Total Stock Mkt Idx Inv54.68%
VTMGXVanguard Developed Markets Index Admiral23.66%
VBMFXVanguard Total Bond Market Index Inv0.21%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year6.84%29.08%-29.23%5.44%32.18%-37.02%
3 years6.15%17.13%-8.65%3.46%16.00%-14.60%
5 years6.72%15.72%2.23%3.61%17.81%-2.38%
7 years6.39%9.54%3.89%3.04%6.02%-1.64%
10 years6.63%9.07%3.73%3.47%7.29%-1.03%
Result statistics are based on annualized rolling returns over full calendar year periods