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 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 10
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Portfolio Analysis Results (Feb 1999 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
NVDA NVIDIA Corporation 134.00%
AAPL Apple Inc. 6.00%
CASHX Cash -40.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$1,261,867 27.49% 68.06%334.36%-84.47%-88.95% 0.651.210.51
Vanguard 500 Index Investor$10,000$28,052 5.32% 14.48%32.18%-37.02%-50.97% 0.310.440.99
   
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
  • The annual results for 1999 are based on full calendar months 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 (1-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • The backtested results assume no rebalancing per parameterization. See the allocation drift tab for details
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceNVIDIA Corporation (NVDA)Apple Inc. (AAPL)Cash (CASHX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
19992.43%202.51%16.18%$30,251$11,618147.04%149.62%4.32%
20003.39%38.88%-9.06%$42,011$10,56639.61%-71.06%5.88%
20011.55%334.36%-12.02%$182,480$9,296308.35%47.23%3.82%
20022.38%-84.47%-22.15%$28,342$7,237-82.80%-34.57%1.63%
20031.88%114.93%28.50%$60,917$9,300101.56%49.13%1.02%
20043.26%3.56%10.74%$63,086$10,2991.55%201.36%1.19%
20053.42%60.43%4.77%$101,208$10,79155.18%123.26%2.98%
20062.54%102.83%15.64%$205,283$12,478102.46%18.01%4.81%
20074.08%40.76%5.39%$288,948$13,15137.88%133.47%4.67%
20080.09%-76.59%-37.02%$67,646$8,282-76.28%-56.91%1.59%
20092.72%140.35%26.49%$162,586$10,476131.47%146.90%0.09%
20101.50%-12.78%14.91%$141,811$12,038-17.56%53.07%0.10%
20112.96%-5.67%1.97%$133,763$12,275-10.00%25.56%0.04%
20121.74%-3.78%15.82%$128,702$14,217-10.97%32.59%0.06%
20131.50%28.51%32.18%$165,391$18,79233.52%8.06%0.00%
20140.76%30.71%13.51%$216,178$21,33027.40%40.62%0.00%
20150.73%53.27%1.25%$331,330$21,59667.10%-3.02%0.01%
20162.07%200.49%11.82%$995,627$24,148226.94%12.48%0.21%
20172.11%80.60%21.67%$1,798,101$29,38181.98%48.48%0.79%
20181.91%-29.82%-4.52%$1,261,867$28,052-30.82%-5.39%1.80%
Annual returns for 1999 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceNVIDIA Corporation (NVDA)Apple Inc. (AAPL)Cash (CASHX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
1999219.65%-3.12%$11,965$9,68815.46%-15.48%0.35%
19993-4.79%4.00%$11,391$10,075-3.70%3.23%0.43%
19994-16.61%3.85%$9,499$10,463-13.61%28.00%0.37%
19995-9.23%-2.39%$8,623$10,213-6.51%-4.21%0.34%
1999616.99%5.56%$10,088$10,78012.09%5.11%0.40%
199978.15%-3.13%$10,910$10,4435.23%20.24%0.38%
1999852.51%-0.50%$16,640$10,39139.75%17.17%0.39%
19999-37.61%-2.74%$10,381$10,106-31.56%-2.97%0.39%
19991021.56%6.33%$12,619$10,74614.94%26.55%0.39%
19991171.14%2.02%$21,597$10,96356.50%22.15%0.36%
19991240.07%5.98%$30,251$11,61835.56%5.04%0.44%
20001-22.80%-5.03%$23,354$11,034-21.04%0.91%0.41%
2000281.07%-1.91%$42,288$10,82372.68%10.48%0.43%
2000334.46%9.76%$56,861$11,88032.01%18.48%0.47%
200045.36%-3.01%$59,909$11,5235.49%-8.65%0.46%
2000528.09%-2.04%$76,738$11,28828.05%-32.29%0.50%
2000612.17%2.49%$86,080$11,56911.39%24.70%0.40%
20007-5.84%-1.49%$81,051$11,396-5.60%-2.98%0.48%
2000833.64%6.19%$108,315$12,10232.29%19.93%0.50%
200092.26%-5.29%$110,765$11,4613.15%-57.74%0.51%
200010-24.99%-0.43%$83,081$11,412-24.10%-24.03%0.56%
200011-36.40%-7.88%$52,842$10,513-34.83%-15.65%0.51%
200012-20.50%0.50%$42,011$10,566-19.10%-9.85%0.50%
2001162.86%3.55%$68,420$10,94157.56%45.38%0.54%
20012-14.27%-9.14%$58,660$9,941-13.44%-15.61%0.38%
2001348.12%-6.36%$86,887$9,30945.28%20.93%0.42%
2001429.50%7.77%$112,519$10,03328.31%15.50%0.39%
200152.70%0.65%$115,558$10,0982.77%-21.73%0.32%
200168.66%-2.45%$125,565$9,8518.34%16.54%0.28%
20017-13.23%-1.00%$108,957$9,752-12.78%-19.18%0.30%
200184.84%-6.27%$114,232$9,1414.71%-1.28%0.31%
20019-36.30%-8.09%$72,770$8,401-35.14%-16.39%0.28%
20011058.83%1.90%$115,580$8,56056.02%13.22%0.22%
20011128.40%7.65%$148,409$9,21527.48%21.30%0.17%
20011222.96%0.87%$182,480$9,29622.44%2.82%0.15%
20021-1.72%-1.47%$179,333$9,159-1.73%12.88%0.14%
20022-22.87%-1.94%$138,322$8,982-22.41%-12.22%0.13%
20023-13.32%3.74%$119,900$9,318-13.04%9.08%0.13%
20024-22.12%-6.07%$93,384$8,752-21.53%2.53%0.15%
20025-4.05%-0.75%$89,601$8,686-3.88%-4.00%0.14%
20026-50.65%-7.13%$44,219$8,066-48.66%-23.95%0.13%
20027-38.55%-7.72%$27,174$7,443-35.56%-13.88%0.15%
20028-9.99%0.65%$24,461$7,492-8.76%-3.34%0.14%
20029-17.53%-10.87%$20,173$6,677-15.25%-1.69%0.14%
20021046.15%8.78%$29,482$7,26439.02%10.83%0.14%
20021149.15%5.88%$43,974$7,69043.95%-3.55%0.12%
200212-35.55%-5.89%$28,342$7,237-32.81%-7.55%0.11%
20031-11.66%-2.62%$25,038$7,047-10.34%0.21%0.10%
2003225.54%-1.52%$31,433$6,94022.29%4.53%0.09%
200332.20%0.96%$32,125$7,0072.06%-5.80%0.10%
2003412.51%8.25%$36,145$7,58511.26%0.57%0.10%
2003591.12%5.26%$69,081$7,98482.62%26.23%0.09%
20036-13.05%1.26%$60,069$8,085-12.46%6.18%0.10%
20037-17.54%1.74%$49,532$8,226-16.67%10.60%0.07%
20038-5.07%1.93%$47,022$8,385-4.82%7.26%0.07%
20039-13.09%-1.07%$40,866$8,295-12.11%-8.36%0.08%
20031011.75%5.64%$45,665$8,76310.71%10.47%0.07%
20031121.42%0.86%$55,447$8,83920.08%-8.65%0.07%
2003129.87%5.22%$60,917$9,3009.28%2.20%0.08%
20041-4.27%1.82%$58,315$9,469-4.09%5.57%0.07%
200420.06%1.38%$58,352$9,6000.00%6.03%0.06%
2004319.86%-1.51%$69,940$9,45518.65%13.04%0.09%
20044-23.36%-1.58%$53,604$9,306-22.27%-4.66%0.08%
2004515.26%1.36%$61,787$9,43214.28%8.84%0.06%
20046-13.16%1.93%$53,654$9,614-12.71%15.97%0.08%
20047-26.10%-3.31%$39,651$9,296-24.67%-0.61%0.10%
20048-20.54%0.38%$31,506$9,331-19.20%6.65%0.11%
2004918.49%1.07%$37,331$9,43116.53%12.35%0.11%
2004100.66%1.51%$37,578$9,574-0.34%35.23%0.11%
20041135.45%4.05%$50,899$9,96132.20%27.96%0.15%
20041223.94%3.39%$63,086$10,29923.16%-3.95%0.16%
20051-2.25%-2.45%$61,665$10,046-2.72%19.41%0.16%
2005227.84%2.09%$78,833$10,25626.48%16.67%0.16%
20053-18.61%-1.76%$64,161$10,076-18.04%-7.11%0.21%
20054-8.41%-1.91%$58,766$9,883-7.70%-13.46%0.21%
2005524.70%3.17%$73,279$10,19623.58%10.26%0.24%
20056-1.68%0.13%$72,049$10,209-1.40%-7.42%0.23%
200571.76%3.71%$73,314$10,5881.27%15.87%0.24%
2005813.98%-0.91%$83,561$10,49113.38%9.94%0.30%
2005912.37%0.79%$93,894$10,57411.73%14.33%0.29%
200510-1.92%-1.68%$92,091$10,397-2.13%7.42%0.27%
2005118.43%3.76%$99,855$10,7887.75%17.76%0.31%
2005121.36%0.02%$101,208$10,7911.13%6.00%0.32%
2006123.14%2.65%$124,630$11,07622.98%5.04%0.35%
200624.48%0.26%$130,216$11,1054.83%-9.30%0.34%
2006321.24%1.23%$157,879$11,24221.49%-8.42%0.37%
200642.33%1.33%$161,564$11,3922.06%12.23%0.36%
20065-21.74%-2.90%$126,442$11,062-21.36%-15.09%0.43%
20066-7.51%0.13%$116,942$11,076-7.35%-4.18%0.40%
200674.53%0.61%$122,234$11,1433.99%18.67%0.40%
2006831.49%2.36%$160,730$11,40631.48%-0.16%0.42%
200691.96%2.56%$163,887$11,6991.65%13.46%0.41%
20061017.93%3.25%$193,278$12,07917.84%5.33%0.41%
2006116.36%1.89%$205,578$12,3076.08%13.05%0.42%
200612-0.14%1.39%$205,283$12,4780.05%-7.44%0.40%
20071-17.10%1.49%$170,184$12,665-17.18%1.05%0.44%
200721.09%-1.97%$172,038$12,4151.14%-1.31%0.38%
20073-6.86%1.11%$160,233$12,553-7.16%9.81%0.43%
2007414.40%4.42%$183,306$13,10814.28%7.42%0.44%
200755.93%3.48%$194,172$13,5645.32%21.43%0.41%
2007618.98%-1.68%$231,033$13,33619.26%0.70%0.40%
2007710.87%-3.08%$256,139$12,92510.77%7.96%0.40%
2007811.78%1.50%$286,317$13,11911.80%5.10%0.42%
200796.46%3.72%$304,824$13,6076.25%10.82%0.32%
200710-1.66%1.58%$299,770$13,822-2.37%23.77%0.32%
200711-10.76%-4.19%$267,521$13,243-10.85%-4.07%0.34%
2007128.01%-0.70%$288,948$13,1517.86%8.70%0.27%
20081-28.26%-6.02%$207,292$12,360-27.72%-31.66%0.21%
20082-13.07%-3.25%$180,205$11,958-13.01%-7.64%0.13%
20083-6.77%-0.44%$168,006$11,905-7.48%14.78%0.17%
200844.77%4.85%$176,026$12,4833.84%21.22%0.18%
2008519.99%1.29%$211,215$12,64420.19%8.51%0.18%
20086-24.01%-8.44%$160,494$11,577-24.21%-11.29%0.17%
20087-37.85%-0.83%$99,745$11,481-38.89%-5.07%0.15%
2008810.56%1.45%$110,275$11,64710.49%6.66%0.13%
20089-17.38%-8.91%$91,112$10,610-15.27%-32.96%0.15%
200810-18.10%-16.79%$74,625$8,828-18.21%-5.34%0.08%
200811-15.45%-7.17%$63,098$8,195-14.73%-13.87%0.03%
2008127.21%1.07%$67,646$8,2828.03%-7.90%0.00%
20091-1.07%-8.41%$66,925$7,585-1.49%5.60%0.00%
200924.01%-10.66%$69,609$6,7774.15%-0.91%0.01%
2009320.08%8.76%$83,584$7,37119.08%17.70%0.02%
2009417.45%9.56%$98,170$8,07516.43%19.70%0.01%
20095-8.27%5.62%$90,049$8,529-9.15%7.93%0.00%
200968.32%0.22%$97,543$8,5488.25%4.87%0.01%
2009715.14%7.58%$112,308$9,19514.53%14.72%0.01%
2009811.96%3.60%$125,740$9,52612.30%2.95%0.01%
200994.13%3.72%$130,936$9,8803.51%10.19%0.01%
200910-19.27%-1.87%$105,711$9,696-20.43%1.70%0.00%
2009119.23%5.98%$115,464$10,2769.20%6.05%0.00%
20091240.81%1.95%$162,586$10,47643.03%5.41%0.01%
20101-17.40%-3.60%$134,297$10,098-17.61%-8.86%0.00%
201025.52%3.09%$141,716$10,4105.26%6.54%0.00%
201038.23%6.01%$153,377$11,0367.41%14.85%0.01%
20104-8.15%1.58%$140,878$11,211-9.71%11.10%0.01%
20105-15.27%-8.01%$119,370$10,313-16.36%-1.61%0.01%
20106-20.57%-5.24%$94,819$9,773-22.30%-2.08%0.01%
20107-8.56%7.00%$86,704$10,457-9.99%2.27%0.01%
201080.41%-4.53%$87,056$9,9831.52%-5.50%0.01%
2010925.00%8.92%$108,818$10,87325.19%16.72%0.01%
2010103.49%3.79%$112,613$11,2852.91%6.07%0.01%
20101112.20%0.00%$126,349$11,28513.23%3.38%0.01%
20101212.24%6.67%$141,811$12,03813.15%3.67%0.01%
2011150.39%2.36%$213,267$12,32255.32%5.20%0.01%
20112-4.52%3.42%$203,632$12,743-5.27%4.09%0.01%
20113-17.20%0.03%$168,609$12,746-18.53%-1.33%0.01%
201147.61%2.95%$181,445$13,1228.34%0.46%0.00%
201150.11%-1.15%$181,645$12,9710.20%-0.66%0.00%
20116-19.06%-1.67%$147,025$12,755-20.46%-3.50%0.00%
20117-9.75%-2.05%$132,688$12,493-13.24%16.33%0.00%
20118-3.49%-5.45%$128,063$11,813-3.76%-1.45%0.01%
20119-5.33%-7.04%$121,243$10,981-6.01%-0.91%0.00%
20111016.73%10.91%$141,529$12,18018.31%6.15%0.00%
2011113.94%-0.23%$147,110$12,1515.61%-5.58%0.00%
201112-9.07%1.02%$133,763$12,275-11.32%5.97%0.00%
201217.82%4.46%$144,226$12,8236.57%12.71%0.00%
201225.58%4.31%$152,268$13,3752.57%18.83%0.00%
201233.50%3.28%$157,590$13,8141.65%10.53%0.00%
20124-13.16%-0.64%$136,844$13,726-15.58%-2.60%0.00%
20125-3.71%-6.02%$131,771$12,900-4.38%-1.07%0.01%
201269.00%4.11%$143,630$13,43011.18%1.09%0.00%
20127-0.55%1.37%$142,837$13,614-2.03%4.58%0.00%
201285.12%2.24%$150,157$13,9183.62%9.39%0.01%
20129-3.73%2.58%$144,554$14,277-4.92%0.28%0.01%
201210-10.63%-1.86%$129,193$14,012-10.19%-10.76%0.01%
2012110.11%0.56%$129,341$14,0900.57%-1.22%0.01%
201212-0.49%0.90%$128,702$14,2172.42%-9.07%0.01%
20131-3.43%5.18%$124,294$14,9530.00%-14.41%0.00%
201322.66%1.34%$127,599$15,1533.89%-2.54%0.00%
201331.17%3.74%$129,096$15,7201.34%0.29%0.00%
201346.11%1.91%$136,979$16,0207.33%0.03%0.00%
201355.15%2.33%$144,030$16,3935.61%2.25%0.00%
20136-4.66%-1.35%$137,312$16,171-2.97%-11.83%0.00%
201374.83%5.07%$143,940$16,9922.85%14.12%0.00%
201383.78%-2.91%$149,380$16,4972.66%8.38%0.00%
201394.18%3.12%$155,622$17,0125.49%-2.15%0.00%
201310-0.28%4.59%$155,183$17,792-2.38%9.64%0.00%
2013114.09%3.03%$161,525$18,3313.26%7.01%0.00%
2013122.39%2.51%$165,391$18,7922.69%0.89%0.00%
20141-3.80%-3.47%$159,108$18,140-2.00%-10.77%0.00%
2014215.85%4.56%$184,320$18,96717.60%5.75%0.00%
20143-1.84%0.82%$180,924$19,123-2.56%2.00%0.00%
201444.39%0.72%$188,874$19,2623.13%9.94%0.00%
201454.26%2.33%$196,915$19,7113.35%7.87%0.00%
20146-1.48%2.05%$194,008$20,116-2.42%2.77%0.00%
20147-4.03%-1.39%$186,190$19,837-5.61%2.87%0.00%
2014811.05%3.98%$206,763$20,62711.63%7.75%0.00%
20149-4.53%-1.41%$197,403$20,335-5.14%-1.71%0.00%
2014106.30%2.42%$209,846$20,8285.91%7.20%0.00%
2014118.53%2.68%$227,749$21,3877.77%10.60%0.00%
201412-5.08%-0.26%$216,178$21,330-4.39%-7.19%0.00%
20151-2.09%-3.02%$211,670$20,686-4.24%6.14%0.00%
2015214.40%5.74%$242,145$21,87415.33%10.07%0.00%
20153-4.76%-1.59%$230,615$21,525-5.12%-3.14%0.00%
201544.92%0.95%$241,963$21,7296.07%0.58%0.00%
201551.11%1.27%$244,648$22,0060.15%4.53%0.00%
20156-8.06%-1.93%$224,941$21,581-9.13%-3.72%0.00%
20157-1.40%2.08%$221,790$22,030-0.80%-3.29%0.00%
201588.80%-6.04%$241,318$20,69913.16%-6.62%0.00%
201597.45%-2.49%$259,307$20,1839.65%-2.18%0.00%
20151014.10%8.42%$295,868$21,88315.09%8.34%0.00%
20151110.18%0.29%$325,996$21,94612.22%-0.58%0.00%
2015121.64%-1.59%$331,330$21,5963.91%-11.02%0.01%
20161-10.78%-4.98%$295,619$20,522-11.13%-7.52%0.01%
201626.49%-0.15%$314,804$20,4927.46%-0.13%0.02%
2016313.67%6.78%$357,839$21,88013.62%12.72%0.02%
20164-2.08%0.37%$350,388$21,962-0.28%-13.99%0.01%
2016529.35%1.78%$453,233$22,35431.83%7.18%0.01%
201660.16%0.25%$453,956$22,4090.62%-4.27%0.02%
2016720.52%3.68%$547,089$23,23321.46%9.01%0.02%
201687.24%0.13%$586,717$23,2637.62%2.36%0.02%
2016911.38%0.01%$653,479$23,26511.71%6.55%0.02%
2016103.62%-1.83%$677,126$22,8393.85%0.43%0.02%
20161127.60%3.70%$864,047$23,68429.76%-2.15%0.01%
20161215.23%1.96%$995,627$24,14815.77%4.80%0.03%
201712.42%1.88%$1,019,738$24,6032.29%4.77%0.04%
20172-5.90%3.96%$959,530$25,578-6.94%13.37%0.04%
201737.22%0.10%$1,028,775$25,6047.34%4.87%0.03%
20174-4.01%1.02%$987,556$25,864-4.25%-0.01%0.05%
2017536.67%1.39%$1,349,649$26,22538.54%6.78%0.06%
20176-0.15%0.61%$1,347,659$26,3850.15%-5.72%0.06%
2017712.02%2.04%$1,509,675$26,92412.42%3.27%0.07%
201784.64%0.29%$1,579,756$27,0034.35%10.71%0.09%
201794.99%2.06%$1,658,577$27,5595.51%-6.02%0.09%
20171015.48%2.32%$1,915,245$28,19815.68%9.68%0.09%
201711-2.70%3.06%$1,863,613$29,061-2.88%2.03%0.08%
201712-3.52%1.10%$1,798,101$29,381-3.59%-1.52%0.09%
2018125.91%5.71%$2,264,025$31,05927.03%-1.06%0.11%
20182-1.21%-3.69%$2,236,522$29,912-1.48%6.81%0.11%
20183-4.36%-2.56%$2,138,942$29,147-4.30%-5.81%0.12%
20184-2.85%0.37%$2,078,072$29,256-2.89%-1.50%0.14%
2018512.27%2.39%$2,333,094$29,95712.20%13.51%0.14%
20186-5.89%0.61%$2,195,684$30,138-6.06%-0.94%0.14%
201873.34%3.71%$2,269,122$31,2563.36%2.80%0.16%
2018814.92%3.25%$2,607,617$32,27114.69%20.04%0.16%
201890.08%0.55%$2,609,800$32,4490.12%-0.83%0.15%
201810-24.16%-6.85%$1,979,222$30,227-24.98%-3.05%0.19%
201811-22.24%2.03%$1,539,119$30,840-22.40%-18.12%0.18%
201812-18.01%-9.04%$1,261,867$28,052-18.31%-11.67%0.19%
Portfolio return and risk metrics
MetricPortfolio 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)3.82%0.52%
Arithmetic Mean (annualized)56.84%6.43%
Geometric Mean (monthly)2.04%0.43%
Geometric Mean (annualized)27.49%5.32%
Volatility (monthly)19.65%4.18%
Volatility (annualized)68.06%14.48%
Downside Deviation (monthly)10.42%2.92%
Max. Drawdown-88.95%-50.97%
US Market Correlation0.510.99
Beta(*)2.281.00
Alpha (annualized)31.63%-0.00%
R223.45%100.00%
Sharpe Ratio0.650.31
Sortino Ratio1.210.44
Treynor Ratio (%)19.394.52
Calmar Ratio1.090.67
Active Return22.18%N/A
Tracking Error62.35%N/A
Information Ratio0.36N/A
Skewness0.93-0.57
Excess Kurtosis2.961.10
Historical Value-at-Risk (5%)-24.01%-7.72%
Analytical Value-at-Risk (5%)-36.61%-6.35%
Conditional Value-at-Risk (5%)-34.22%-9.66%
Upside Capture Ratio (%)334.18100.00
Downside Capture Ratio (%)196.58100.00
Safe Withdrawal Rate41.08%5.07%
Perpetual Withdrawal Rate19.80%2.99%
Positive Periods139 out of 239 (58.16%)151 out of 239 (63.18%)
Gain/Loss Ratio1.260.80
* 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 2002-88.95%-44.82%
Subprime CrisisNov 2007Mar 2009-78.95%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2002Sep 20029 monthsOct 20064 years 1 month4 years 10 months-88.95%
2Oct 2007Nov 20081 year 2 monthsNov 20157 years8 years 2 months-79.30%
3Oct 2000Dec 20003 monthsApr 20014 months7 months-62.07%
4Oct 2018Dec 20183 months-51.65%
5Jul 2001Sep 20013 monthsNov 20012 months5 months-42.05%
6Sep 1999Sep 19991 monthNov 19992 months3 months-37.61%
7Mar 1999May 19993 monthsAug 19993 months6 months-27.93%
8Jan 2000Jan 20001 monthFeb 20001 month2 months-22.80%
9Dec 2006Mar 20074 monthsJun 20073 months7 months-22.06%
10Jan 2016Jan 20161 monthMar 20162 months3 months-10.78%
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%
3Oct 2018Dec 20183 months-13.55%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
6Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
7Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
8Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
9Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
10Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
NVDANVIDIA Corporation25.43%64.42%308.35%-82.80%-87.20%0.631.150.51
AAPLApple Inc.27.25%41.56%201.36%-71.06%-79.18%0.761.200.51
CASHXCash1.74%0.56%5.88%0.00%0.00%-0.23-0.31-0.08

Monthly Correlations

Correlations for the portfolio assets
TickerNameNVDAAAPLCASHXPortfolio 1Vanguard 500 Index Investor
NVDANVIDIA Corporation-0.460.101.000.49
AAPLApple Inc.0.46-0.000.480.50
CASHXCash0.100.00-0.11-0.08

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
NVDANVIDIA Corporation$1,182,576
AAPLApple Inc.$70,669
CASHXCash-$1,378

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
NVDANVIDIA Corporation98.65%
AAPLApple Inc.1.38%
CASHXCash-0.03%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year53.50%334.36%-84.47%6.31%32.18%-37.02%
3 years25.13%102.61%-29.82%6.22%20.22%-14.60%
5 years21.09%69.45%-14.93%6.82%17.81%-2.38%
7 years18.11%43.74%-13.22%6.53%14.67%-1.64%
10 years15.19%33.99%-3.06%6.03%12.97%-1.03%
15 years19.00%31.87%11.98%6.60%9.79%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods