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 (Feb 2004 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
RSP Invesco S&P 500 Equal Weight ETF 100.00%
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Portfolio 2
Ticker Name Allocation
VIGAX Vanguard Growth Index Admiral 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VO Vanguard Mid-Cap ETF 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$35,598 9.55% 15.87%44.64%-40.07%-55.58% 0.580.860.98
Portfolio 2$10,000$33,681 9.12% 14.01%36.42%-38.22%-47.13% 0.610.900.97
Portfolio 3$10,000$38,005 10.07% 16.09%40.44%-41.56%-54.01% 0.600.880.97
Vanguard 500 Index Investor$10,000$31,027 8.48% 13.38%32.18%-37.02%-50.97% 0.590.851.00
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 16.23%18.51%9.72%15.35%9.60%9.55%10.39%10.15%
Portfolio 26.22%27.80%11.90%16.08%9.51%9.12%11.01%10.37%
Portfolio 35.73%19.27%9.39%14.99%8.97%10.07%10.99%10.67%
Vanguard 500 Index Investor6.61%21.67%11.26%15.62%8.37%8.48%10.07%9.49%
Trailing annualized return and volatility are for full months ending in December 2017 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 2004 are based on monthly returns from February to December
  • 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 (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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorInvesco S&P 500 Equal Weight ETF (RSP)Vanguard Growth Index Admiral (VIGAX)Vanguard Mid-Cap ETF (VO)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
20042.75%13.78%$11,3784.95%$10,49517.53%$11,7538.76%$10,87613.78%4.95%17.53%
20053.42%7.41%$12,2215.21%$11,04113.97%$13,3944.77%$11,3957.41%5.21%13.97%
20062.54%15.46%$14,1119.13%$12,05013.93%$15,26015.64%$13,17815.46%9.13%13.93%
20074.08%0.90%$14,23812.70%$13,5805.51%$16,1015.39%$13,8870.90%12.70%5.51%
20080.09%-40.07%$8,533-38.22%$8,390-41.56%$9,409-37.02%$8,746-40.07%-38.22%-41.56%
20092.72%44.64%$12,34236.42%$11,44640.44%$13,21426.49%$11,06344.64%36.42%40.44%
20101.50%21.37%$14,97917.12%$13,40525.68%$16,60814.91%$12,71321.37%17.12%25.68%
20112.96%-0.67%$14,8791.87%$13,656-2.08%$16,2631.97%$12,962-0.67%1.87%-2.08%
20121.74%17.16%$17,43217.01%$15,98016.22%$18,90015.82%$15,01417.16%17.01%16.22%
20131.50%35.54%$23,62632.40%$21,15735.04%$25,52232.18%$19,84535.54%32.40%35.04%
20140.76%14.06%$26,94913.63%$24,04013.75%$29,03113.51%$22,52514.06%13.63%13.75%
20150.73%-2.66%$26,2333.30%$24,833-1.35%$28,6391.25%$22,806-2.66%3.30%-1.35%
20162.07%14.50%$30,0386.12%$26,35411.26%$31,86311.82%$25,50114.50%6.12%11.26%
20172.11%18.51%$35,59827.80%$33,68119.27%$38,00521.67%$31,02718.51%27.80%19.27%
Annual return for 2004 is from 02/01/2004 to 12/31/2004
Monthly returns for the configured portfolios
YearMonthPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index InvestorInvesco S&P 500 Equal Weight ETF (RSP)Vanguard Growth Index Admiral (VIGAX)Vanguard Mid-Cap ETF (VO)
ReturnBalanceReturnBalanceReturnBalanceReturnBalance
200421.90%$10,1900.86%$10,0862.67%$10,2671.38%$10,1381.90%0.86%2.67%
20043-0.68%$10,121-1.57%$9,928-0.26%$10,241-1.51%$9,984-0.68%-1.57%-0.26%
20044-2.36%$9,883-1.50%$9,778-4.25%$9,805-1.58%$9,827-2.36%-1.50%-4.25%
200451.75%$10,0551.93%$9,9672.58%$10,0591.36%$9,9601.75%1.93%2.58%
200463.04%$10,3611.13%$10,0801.99%$10,2591.93%$10,1533.04%1.13%1.99%
20047-4.58%$9,887-5.51%$9,524-3.87%$9,862-3.31%$9,816-4.58%-5.51%-3.87%
20048-0.10%$9,877-0.62%$9,465-0.64%$9,7990.38%$9,854-0.10%-0.62%-0.64%
200492.57%$10,1301.32%$9,5904.22%$10,2131.07%$9,9592.57%1.32%4.22%
2004102.37%$10,3711.60%$9,7442.94%$10,5131.51%$10,1102.37%1.60%2.94%
2004115.79%$10,9713.85%$10,1197.29%$11,2794.05%$10,5195.79%3.85%7.29%
2004123.71%$11,3783.72%$10,4954.20%$11,7533.39%$10,8763.71%3.72%4.20%
20051-3.08%$11,028-3.03%$10,177-2.86%$11,417-2.45%$10,609-3.08%-3.03%-2.86%
200522.13%$11,2631.17%$10,2963.72%$11,8412.09%$10,8312.13%1.17%3.72%
20053-1.36%$11,109-1.63%$10,128-1.14%$11,706-1.76%$10,640-1.36%-1.63%-1.14%
20054-3.20%$10,754-2.40%$9,885-3.68%$11,275-1.91%$10,437-3.20%-2.40%-3.68%
200554.50%$11,2384.83%$10,3635.40%$11,8843.17%$10,7684.50%4.83%5.40%
200561.54%$11,410-0.16%$10,3463.00%$12,2400.13%$10,7811.54%-0.16%3.00%
200575.11%$11,9934.59%$10,8215.17%$12,8743.71%$11,1815.11%4.59%5.17%
20058-0.87%$11,888-1.25%$10,685-0.37%$12,826-0.91%$11,079-0.87%-1.25%-0.37%
200590.50%$11,9470.29%$10,7171.53%$13,0230.79%$11,1670.50%0.29%1.53%
200510-2.68%$11,627-0.82%$10,629-3.46%$12,572-1.68%$10,979-2.68%-0.82%-3.46%
2005114.55%$12,1564.33%$11,0895.15%$13,2203.76%$11,3934.55%4.33%5.15%
2005120.53%$12,221-0.43%$11,0411.32%$13,3940.02%$11,3950.53%-0.43%1.32%
200614.03%$12,7132.47%$11,3145.42%$14,1202.65%$11,6974.03%2.47%5.42%
200620.34%$12,756-0.60%$11,246-0.79%$14,0080.26%$11,7270.34%-0.60%-0.79%
200632.10%$13,0231.48%$11,4123.12%$14,4451.23%$11,8722.10%1.48%3.12%
200640.86%$13,136-0.04%$11,4080.89%$14,5741.33%$12,0300.86%-0.04%0.89%
20065-2.97%$12,746-3.56%$11,002-3.56%$14,056-2.90%$11,682-2.97%-3.56%-3.56%
20066-0.28%$12,710-0.37%$10,962-0.53%$13,9810.13%$11,696-0.28%-0.37%-0.53%
20067-1.33%$12,541-2.02%$10,741-2.12%$13,6840.61%$11,767-1.33%-2.02%-2.12%
200682.74%$12,8853.00%$11,0631.98%$13,9562.36%$12,0452.74%3.00%1.98%
200692.39%$13,1942.91%$11,3841.65%$14,1862.56%$12,3542.39%2.91%1.65%
2006103.76%$13,6903.44%$11,7763.67%$14,7063.25%$12,7563.76%3.44%3.67%
2006112.50%$14,0312.19%$12,0344.00%$15,2951.89%$12,9972.50%2.19%4.00%
2006120.57%$14,1110.13%$12,050-0.23%$15,2601.39%$13,1780.57%0.13%-0.23%
200712.41%$14,4502.72%$12,3773.36%$15,7731.49%$13,3742.41%2.72%3.36%
20072-0.47%$14,382-2.03%$12,1270.20%$15,804-1.97%$13,111-0.47%-2.03%0.20%
200730.82%$14,5000.59%$12,1980.91%$15,9491.11%$13,2570.82%0.59%0.91%
200744.41%$15,1404.36%$12,7303.58%$16,5204.42%$13,8424.41%4.36%3.58%
200753.24%$15,6293.47%$13,1724.33%$17,2353.48%$14,3243.24%3.47%4.33%
20076-1.86%$15,339-1.20%$13,014-1.78%$16,928-1.68%$14,084-1.86%-1.20%-1.78%
20077-4.51%$14,647-1.56%$12,810-4.63%$16,144-3.08%$13,649-4.51%-1.56%-4.63%
200780.08%$14,6591.68%$13,0260.74%$16,2641.50%$13,8540.08%1.68%0.74%
200792.49%$15,0244.28%$13,5832.91%$16,7373.72%$14,3702.49%4.28%2.91%
2007101.12%$15,1923.24%$14,0241.78%$17,0351.58%$14,5961.12%3.24%1.78%
200711-4.65%$14,486-3.34%$13,555-5.06%$16,173-4.19%$13,985-4.65%-3.34%-5.06%
200712-1.72%$14,2380.18%$13,580-0.45%$16,101-0.70%$13,887-1.72%0.18%-0.45%
20081-4.30%$13,625-7.91%$12,505-6.67%$15,028-6.02%$13,052-4.30%-7.91%-6.67%
20082-3.01%$13,215-1.44%$12,325-1.50%$14,802-3.25%$12,628-3.01%-1.44%-1.50%
20083-1.86%$12,968-0.81%$12,226-2.39%$14,448-0.44%$12,572-1.86%-0.81%-2.39%
200845.72%$13,7115.83%$12,9386.81%$15,4334.85%$13,1825.72%5.83%6.81%
200852.65%$14,0743.70%$13,4184.53%$16,1311.29%$13,3532.65%3.70%4.53%
20086-9.84%$12,690-6.72%$12,516-7.74%$14,883-8.44%$12,226-9.84%-6.72%-7.74%
20087-0.50%$12,626-1.80%$12,290-3.94%$14,297-0.83%$12,124-0.50%-1.80%-3.94%
200882.96%$13,0001.14%$12,4301.62%$14,5291.45%$12,3002.96%1.14%1.62%
20089-10.91%$11,582-11.40%$11,013-12.97%$12,644-8.91%$11,204-10.91%-11.40%-12.97%
200810-20.91%$9,160-17.71%$9,063-21.98%$9,864-16.79%$9,323-20.91%-17.71%-21.98%
200811-9.63%$8,278-8.58%$8,285-9.13%$8,963-7.17%$8,654-9.63%-8.58%-9.13%
2008123.08%$8,5331.27%$8,3904.97%$9,4091.07%$8,7463.08%1.27%4.97%
20091-8.35%$7,821-4.63%$8,002-6.87%$8,762-8.41%$8,010-8.35%-4.63%-6.87%
20092-11.22%$6,943-7.33%$7,415-9.54%$7,926-10.66%$7,157-11.22%-7.33%-9.54%
2009310.26%$7,6568.39%$8,0378.47%$8,5978.76%$7,78410.26%8.39%8.47%
2009418.69%$9,0879.19%$8,77614.25%$9,8229.56%$8,52818.69%9.19%14.25%
200956.46%$9,6744.35%$9,1574.39%$10,2535.62%$9,0076.46%4.35%4.39%
20096-1.20%$9,5581.43%$9,289-0.51%$10,2010.22%$9,027-1.20%1.43%-0.51%
200979.19%$10,4367.13%$9,9518.95%$11,1147.58%$9,7119.19%7.13%8.95%
200985.65%$11,0251.97%$10,1464.96%$11,6663.60%$10,0605.65%1.97%4.96%
200995.29%$11,6084.53%$10,6056.30%$12,4003.72%$10,4345.29%4.53%6.30%
200910-3.70%$11,178-1.38%$10,459-4.43%$11,851-1.87%$10,239-3.70%-1.38%-4.43%
2009115.54%$11,7985.87%$11,0735.08%$12,4525.98%$10,8525.54%5.87%5.08%
2009124.61%$12,3423.37%$11,4466.12%$13,2141.95%$11,0634.61%3.37%6.12%
20101-3.31%$11,933-4.58%$10,922-3.57%$12,742-3.60%$10,664-3.31%-4.58%-3.57%
201024.19%$12,4323.76%$11,3335.28%$13,4153.09%$10,9944.19%3.76%5.28%
201037.22%$13,3305.93%$12,0057.02%$14,3566.01%$11,6557.22%5.93%7.02%
201042.65%$13,6841.54%$12,1903.62%$14,8761.58%$11,8392.65%1.54%3.62%
20105-7.37%$12,676-8.24%$11,186-7.29%$13,792-8.01%$10,891-7.37%-8.24%-7.29%
20106-6.31%$11,876-5.70%$10,549-6.20%$12,936-5.24%$10,320-6.31%-5.70%-6.20%
201077.35%$12,7507.43%$11,3326.92%$13,8317.00%$11,0427.35%7.43%6.92%
20108-4.76%$12,143-4.72%$10,797-4.53%$13,205-4.53%$10,542-4.76%-4.72%-4.53%
2010910.19%$13,38110.79%$11,96310.70%$14,6188.92%$11,48210.19%10.79%10.70%
2010103.56%$13,8575.16%$12,5804.09%$15,2163.79%$11,9173.56%5.16%4.09%
2010110.82%$13,9710.94%$12,6982.14%$15,5420.00%$11,9170.82%0.94%2.14%
2010127.21%$14,9795.57%$13,4056.86%$16,6086.67%$12,7137.21%5.57%6.86%
201112.11%$15,2961.90%$13,6602.16%$16,9672.36%$13,0122.11%1.90%2.16%
201124.02%$15,9102.73%$14,0334.13%$17,6673.42%$13,4574.02%2.73%4.13%
201130.83%$16,0420.30%$14,0751.71%$17,9700.03%$13,4600.83%0.30%1.71%
201143.13%$16,5443.08%$14,5092.71%$18,4562.95%$13,8573.13%3.08%2.71%
20115-0.61%$16,443-0.70%$14,407-0.42%$18,378-1.15%$13,698-0.61%-0.70%-0.42%
20116-1.80%$16,146-1.41%$14,204-2.38%$17,941-1.67%$13,469-1.80%-1.41%-2.38%
20117-3.62%$15,562-0.66%$14,110-3.43%$17,325-2.05%$13,193-3.62%-0.66%-3.43%
20118-6.35%$14,574-5.59%$13,321-6.97%$16,118-5.45%$12,475-6.35%-5.59%-6.97%
20119-9.05%$13,255-7.60%$12,309-9.90%$14,523-7.04%$11,596-9.05%-7.60%-9.90%
20111013.07%$14,98711.79%$13,76013.09%$16,42410.91%$12,86213.07%11.79%13.09%
201111-0.88%$14,856-0.12%$13,743-0.61%$16,323-0.23%$12,832-0.88%-0.12%-0.61%
2011120.16%$14,879-0.63%$13,656-0.37%$16,2631.02%$12,9620.16%-0.63%-0.37%
201215.68%$15,7246.26%$14,5116.67%$17,3484.46%$13,5415.68%6.26%6.67%
201224.01%$16,3544.88%$15,2204.33%$18,0984.31%$14,1244.01%4.88%4.33%
201232.32%$16,7343.41%$15,7391.91%$18,4443.28%$14,5882.32%3.41%1.91%
20124-0.75%$16,608-0.30%$15,692-0.63%$18,328-0.64%$14,495-0.75%-0.30%-0.63%
20125-6.99%$15,447-6.37%$14,693-7.10%$17,026-6.02%$13,622-6.99%-6.37%-7.10%
201263.86%$16,0422.96%$15,1282.51%$17,4534.11%$14,1823.86%2.96%2.51%
201270.12%$16,0611.29%$15,3220.04%$17,4601.37%$14,3760.12%1.29%0.04%
201283.07%$16,5543.36%$15,8363.06%$17,9942.24%$14,6983.07%3.36%3.06%
201292.51%$16,9702.03%$16,1581.97%$18,3492.58%$15,0772.51%2.03%1.97%
201210-0.82%$16,830-3.09%$15,660-1.15%$18,138-1.86%$14,797-0.82%-3.09%-1.15%
2012111.28%$17,0451.99%$15,9721.61%$18,4300.56%$14,8791.28%1.99%1.61%
2012122.27%$17,4320.05%$15,9802.55%$18,9000.90%$15,0142.27%0.05%2.55%
201316.51%$18,5664.39%$16,6826.57%$20,1425.18%$15,7916.51%4.39%6.57%
201320.97%$18,7461.02%$16,8521.22%$20,3871.34%$16,0020.97%1.02%1.22%
201334.36%$19,5643.64%$17,4664.47%$21,3003.74%$16,6014.36%3.64%4.47%
201341.69%$19,8961.53%$17,7331.73%$21,6691.91%$16,9171.69%1.53%1.73%
201352.69%$20,4301.70%$18,0341.85%$22,0702.33%$17,3112.69%1.70%1.85%
20136-1.23%$20,179-1.98%$17,678-1.15%$21,816-1.35%$17,077-1.23%-1.98%-1.15%
201375.63%$21,3155.31%$18,6175.72%$23,0635.07%$17,9445.63%5.31%5.72%
20138-2.92%$20,693-1.70%$18,301-2.60%$22,462-2.91%$17,421-2.92%-1.70%-2.60%
201394.11%$21,5444.75%$19,1704.61%$23,4993.12%$17,9654.11%4.75%4.61%
2013104.28%$22,4664.27%$19,9893.35%$24,2854.59%$18,7894.28%4.27%3.35%
2013112.22%$22,9652.38%$20,4652.06%$24,7853.03%$19,3582.22%2.38%2.06%
2013122.88%$23,6263.38%$21,1572.97%$25,5222.51%$19,8452.88%3.38%2.97%
20141-2.96%$22,927-2.99%$20,525-2.39%$24,912-3.47%$19,156-2.96%-2.99%-2.39%
201425.34%$24,1505.56%$21,6656.06%$26,4224.56%$20,0305.34%5.56%6.06%
201430.61%$24,297-1.59%$21,321-0.26%$26,3530.82%$20,1950.61%-1.59%-0.26%
201440.38%$24,3900.10%$21,343-0.85%$26,1280.72%$20,3410.38%0.10%-0.85%
201452.16%$24,9163.55%$22,1012.33%$26,7362.33%$20,8162.16%3.55%2.33%
201462.86%$25,6292.41%$22,6342.99%$27,5352.05%$21,2432.86%2.41%2.99%
20147-2.33%$25,031-1.63%$22,265-2.48%$26,852-1.39%$20,948-2.33%-1.63%-2.48%
201484.20%$26,0834.71%$23,3154.70%$28,1153.98%$21,7824.20%4.71%4.70%
20149-2.58%$25,409-1.89%$22,873-3.19%$27,219-1.41%$21,475-2.58%-1.89%-3.19%
2014103.02%$26,1763.06%$23,5733.40%$28,1452.42%$21,9953.02%3.06%3.40%
2014112.66%$26,8742.97%$24,2732.84%$28,9432.68%$22,5852.66%2.97%2.84%
2014120.28%$26,949-0.96%$24,0400.31%$29,031-0.26%$22,5250.28%-0.96%0.31%
20151-2.92%$26,161-1.49%$23,682-2.01%$28,449-3.02%$21,845-2.92%-1.49%-2.01%
201525.73%$27,6596.29%$25,1726.03%$30,1645.74%$23,0995.73%6.29%6.03%
20153-0.96%$27,394-1.21%$24,8673.39%$31,186-1.59%$22,731-0.96%-1.21%3.39%
201540.41%$27,505-0.07%$24,849-3.40%$30,1260.95%$22,9470.41%-0.07%-3.40%
201550.72%$27,7051.46%$25,2131.12%$30,4641.27%$23,2390.72%1.46%1.12%
20156-2.27%$27,076-1.60%$24,809-1.70%$29,947-1.93%$22,790-2.27%-1.60%-1.70%
201570.96%$27,3383.19%$25,6011.17%$30,2972.08%$23,2640.96%3.19%1.17%
20158-5.46%$25,845-6.26%$23,998-5.15%$28,737-6.05%$21,857-5.46%-6.26%-5.15%
20159-3.01%$25,066-2.85%$23,315-3.68%$27,679-2.48%$21,314-3.01%-2.85%-3.68%
2015106.99%$26,8178.95%$25,4025.97%$29,3338.42%$23,1096.99%8.95%5.97%
2015110.30%$26,8990.16%$25,4430.30%$29,4210.29%$23,1750.30%0.16%0.30%
201512-2.48%$26,233-2.40%$24,833-2.66%$28,639-1.59%$22,806-2.48%-2.40%-2.66%
20161-5.56%$24,775-5.92%$23,364-7.61%$26,459-4.98%$21,671-5.56%-5.92%-7.61%
201620.99%$25,021-0.45%$23,2591.37%$26,822-0.15%$21,6400.99%-0.45%1.37%
201637.98%$27,0187.13%$24,9188.03%$28,9756.78%$23,1067.98%7.13%8.03%
201641.25%$27,355-0.75%$24,7310.52%$29,1260.37%$23,1921.25%-0.75%0.52%
201651.36%$27,7262.46%$25,3401.84%$29,6611.78%$23,6061.36%2.46%1.84%
20166-0.06%$27,709-0.67%$25,1710.00%$29,6620.25%$23,665-0.06%-0.67%0.00%
201674.14%$28,8574.78%$26,3754.57%$31,0183.68%$24,5354.14%4.78%4.57%
201680.16%$28,902-0.31%$26,2930.11%$31,0510.13%$24,5670.16%-0.31%0.11%
201690.10%$28,9320.65%$26,4640.42%$31,1810.01%$24,5690.10%0.65%0.42%
201610-2.44%$28,225-2.65%$25,764-3.07%$30,224-1.83%$24,118-2.44%-2.65%-3.07%
2016115.24%$29,7031.19%$26,0714.69%$31,6433.70%$25,0115.24%1.19%4.69%
2016121.13%$30,0381.08%$26,3540.70%$31,8631.96%$25,5011.13%1.08%0.70%
201712.01%$30,6413.65%$27,3152.96%$32,8051.88%$25,9822.01%3.65%2.96%
201723.13%$31,6014.36%$28,5063.05%$33,8053.96%$27,0113.13%4.36%3.05%
201730.02%$31,6081.32%$28,8820.04%$33,8170.10%$27,0380.02%1.32%0.04%
201740.66%$31,8172.32%$29,5511.17%$34,2131.02%$27,3140.66%2.32%1.17%
201750.56%$31,9942.81%$30,3810.91%$34,5241.39%$27,6940.56%2.81%0.91%
201761.16%$32,367-0.46%$30,2400.59%$34,7280.61%$27,8641.16%-0.46%0.59%
201771.60%$32,8832.54%$31,0081.80%$35,3542.04%$28,4331.60%2.54%1.80%
20178-1.00%$32,5551.19%$31,378-0.61%$35,1400.29%$28,516-1.00%1.19%-0.61%
201792.93%$33,5101.05%$31,7082.29%$35,9442.06%$29,1032.93%1.05%2.29%
2017101.09%$33,8752.85%$32,6121.45%$36,4652.32%$29,7781.09%2.85%1.45%
2017113.80%$35,1622.53%$33,4383.15%$37,6143.06%$30,6893.80%2.53%3.15%
2017121.24%$35,5980.73%$33,6811.04%$38,0051.10%$31,0271.24%0.73%1.04%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Large-cap Value39.05%0.00%1.11%47.32%
Large-cap Growth6.04%78.36%11.27%52.31%
Mid-cap Value23.94%0.00%31.19%0.00%
Mid-cap Growth23.05%19.66%48.49%0.00%
Small-cap Value2.36%0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%0.00%
Global ex-US Developed Markets2.74%0.00%6.19%0.00%
Emerging Markets2.82%1.98%1.75%0.03%
Corporate Bonds0.00%0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.00%0.34%
Short-Term Treasuries0.00%0.00%0.00%0.00%
R Squared97.65%98.48%97.94%99.91%
Style analysis is based on monthly returns from April 2005 to December 2017 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
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
RSPInvesco S&P 500 Equal Weight ETFLarge Blend100.00%1.39%0.20%24.88$25,598100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VIGAXVanguard Growth Index AdmiralLarge Growth100.00%0.49%0.05%38.73$23,681100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightYieldFeesP/EReturn ContributionRisk Contribution
VOVanguard Mid-Cap ETFMid-Cap Blend100.00%1.18%0.04%27.81$28,005100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 05/11/2021. (c) 2021 Morningstar. All Rights Reserved. The fund fundamentals information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.

Portfolio return and risk metrics
MetricPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.87%0.81%0.91%0.76%
Arithmetic Mean (annualized)10.94%10.20%11.52%9.46%
Geometric Mean (monthly)0.76%0.73%0.80%0.68%
Geometric Mean (annualized)9.55%9.12%10.07%8.48%
Volatility (monthly)4.58%4.04%4.64%3.86%
Volatility (annualized)15.87%14.01%16.09%13.38%
Downside Deviation (monthly)3.05%2.70%3.16%2.64%
Max. Drawdown-55.58%-47.13%-54.01%-50.97%
US Market Correlation0.980.970.971.00
Beta(*)1.151.011.141.00
Alpha (annualized)-0.03%0.56%0.63%0.00%
R294.48%93.63%89.59%100.00%
Sharpe Ratio0.580.610.600.59
Sortino Ratio0.860.900.880.85
Treynor Ratio (%)8.008.438.567.86
Calmar Ratio0.921.300.621.34
Active Return1.08%0.64%1.59%N/A
Tracking Error4.25%3.54%5.51%N/A
Information Ratio0.250.180.29N/A
Skewness-0.56-0.75-0.88-0.83
Excess Kurtosis3.962.603.442.66
Historical Value-at-Risk (5%)-6.80%-6.34%-7.06%-6.04%
Analytical Value-at-Risk (5%)-6.67%-5.84%-6.73%-5.60%
Conditional Value-at-Risk (5%)-10.47%-9.10%-10.36%-9.05%
Upside Capture Ratio (%)114.30102.64117.06100.00
Downside Capture Ratio (%)112.4199.96113.40100.00
Safe Withdrawal Rate9.77%8.99%10.60%8.88%
Perpetual Withdrawal Rate6.78%6.42%7.22%5.87%
Positive Periods110 out of 167 (65.87%)101 out of 167 (60.48%)107 out of 167 (64.07%)113 out of 167 (67.66%)
Gain/Loss Ratio0.871.110.940.79
* 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 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
Subprime CrisisNov 2007Mar 2009-54.30%-47.13%-53.47%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-55.58%
2May 2011Sep 20115 monthsMar 20126 months11 months-19.88%
3Jun 2015Jan 20168 monthsMay 20164 months1 year-10.58%
4Apr 2012May 20122 monthsSep 20124 months6 months-7.69%
5Jan 2005Apr 20054 monthsJun 20052 months6 months-5.49%
6Jul 2004Aug 20042 monthsOct 20042 months4 months-4.67%
7May 2006Jul 20063 monthsSep 20062 months5 months-4.52%
8Aug 2005Oct 20053 monthsNov 20051 month4 months-3.05%
9Mar 2004Apr 20042 monthsJun 20042 months4 months-3.02%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-2.96%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20112 years3 years 4 months-47.13%
2May 2011Sep 20115 monthsJan 20124 months9 months-15.16%
3Aug 2015Feb 20167 monthsJul 20165 months1 year-9.15%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.65%
5Mar 2004Aug 20046 monthsNov 20043 months9 months-6.16%
6Apr 2006Jul 20064 monthsOct 20063 months7 months-5.89%
7Jan 2005Apr 20054 monthsJul 20053 months7 months-5.81%
8Oct 2012Oct 20121 monthJan 20133 months4 months-3.09%
9Jan 2014Jan 20141 monthFeb 20141 month2 months-2.99%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-2.74%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20112 years3 years 9 months-54.01%
2May 2011Sep 20115 monthsDec 20121 year 3 months1 year 8 months-21.31%
3Apr 2015Jan 201610 monthsNov 201610 months1 year 8 months-15.16%
4May 2006Jul 20063 monthsOct 20063 months6 months-6.10%
5Mar 2005Apr 20052 monthsMay 20051 month3 months-4.78%
6Mar 2004Aug 20046 monthsOct 20042 months8 months-4.56%
7Oct 2005Oct 20051 monthNov 20051 month2 months-3.46%
8Sep 2014Sep 20141 monthOct 20141 month2 months-3.19%
9Jan 2005Jan 20051 monthFeb 20051 month2 months-2.86%
10Aug 2013Aug 20131 monthSep 20131 month2 months-2.60%
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%
2Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
3Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
4Jan 2005Apr 20054 monthsJul 20053 months7 months-4.04%
5Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
6Jul 2004Jul 20041 monthNov 20044 months5 months-3.31%
7Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
8Mar 2004Apr 20042 monthsJun 20042 months4 months-3.07%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
10May 2006May 20061 monthAug 20063 months4 months-2.90%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
RSPInvesco S&P 500 Equal Weight ETF9.55%15.87%44.64%-40.07%-55.58%0.580.860.98
VIGAXVanguard Growth Index Admiral9.12%14.01%36.42%-38.22%-47.13%0.610.900.97
VOVanguard Mid-Cap ETF10.07%16.09%40.44%-41.56%-54.01%0.600.880.97

Monthly Correlations

Correlations for the portfolio assets
TickerNameRSPVIGAXVOPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
RSPInvesco S&P 500 Equal Weight ETF1.000.940.981.000.940.980.97
VIGAXVanguard Growth Index Admiral0.941.000.950.941.000.950.97
VOVanguard Mid-Cap ETF0.980.951.000.980.951.000.95

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
RSPInvesco S&P 500 Equal Weight ETF$25,598
VIGAXVanguard Growth Index Admiral$23,681
VOVanguard Mid-Cap ETF$28,005

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
RSPInvesco S&P 500 Equal Weight ETF100.00%
VIGAXVanguard Growth Index Admiral100.00%
VOVanguard Mid-Cap ETF100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLowAverageHighLow
1 year11.18%79.06%-47.46%10.41%52.84%-39.84%11.84%69.25%-46.45%9.62%53.61%-43.32%
3 years9.19%33.05%-18.35%9.18%27.09%-12.96%9.45%31.68%-17.29%8.07%25.43%-15.18%
5 years9.22%28.31%-7.39%9.11%23.92%-5.97%9.24%27.23%-5.04%7.80%22.85%-6.73%
7 years9.79%20.10%3.91%9.66%17.74%3.63%9.88%19.02%4.45%8.30%17.12%2.20%
10 years8.57%10.20%6.90%8.70%9.66%7.46%8.70%11.12%6.48%7.39%8.37%6.32%