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 9
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Asset 10
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Portfolio Analysis Results (Aug 1997 - Aug 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
CPODX Morgan Stanley Insight I 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
MSEQX Morgan Stanley Inst Growth I 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$94,348 10.70% 26.70%125.75%-48.52%-81.85% 0.440.660.82
Portfolio 2$10,000$71,365 9.31% 18.74%62.97%-50.47%-56.33% 0.470.680.90
Vanguard 500 Index Investor$10,000$45,513 7.10% 14.92%32.18%-37.02%-50.97% 0.400.570.99
   
Notes on results:
  • Past performance is not a guarantee of future returns. 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 1997 are based on full calendar months from August to December
  • The annual results for 2019 are based on full calendar months from January to August
  • 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 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceMorgan Stanley Insight I (CPODX)Morgan Stanley Inst Growth I (MSEQX)
Portfolio 1Portfolio 2Vanguard 500 Index InvestorPortfolio 1Portfolio 2Vanguard 500 Index Investor
19970.50%3.12%6.89%2.38%$10,312$10,689$10,2383.12%6.89%
19981.61%64.16%19.04%28.62%$16,928$12,723$13,16864.16%19.04%
19992.68%125.75%39.59%21.07%$38,214$17,761$15,942125.75%39.59%
20003.39%-35.23%-11.68%-9.06%$24,750$15,686$14,498-35.23%-11.68%
20011.55%-38.75%-14.98%-12.02%$15,160$13,337$12,755-38.75%-14.98%
20022.38%-46.00%-27.60%-22.15%$8,186$9,657$9,930-46.00%-27.60%
20031.88%41.31%26.41%28.50%$11,568$12,207$12,76141.31%26.41%
20043.26%22.70%7.75%10.74%$14,194$13,153$14,13122.70%7.75%
20053.42%22.35%15.72%4.77%$17,366$15,222$14,80622.35%15.72%
20062.54%7.56%4.07%15.64%$18,679$15,842$17,1227.56%4.07%
20074.08%19.08%22.29%5.39%$22,243$19,373$18,04419.08%22.29%
20080.09%-48.52%-50.47%-37.02%$11,450$9,595$11,364-48.52%-50.47%
20092.72%70.38%62.97%26.49%$19,508$15,637$14,37470.38%62.97%
20101.50%27.20%23.11%14.91%$24,814$19,250$16,51827.20%23.11%
20112.96%-7.57%-3.01%1.97%$22,936$18,671$16,842-7.57%-3.01%
20121.74%12.53%15.66%15.82%$25,811$21,594$19,50812.53%15.66%
20131.50%50.03%48.60%32.18%$38,723$32,087$25,78450.03%48.60%
20140.76%5.25%6.42%13.51%$40,755$34,148$29,2675.25%6.42%
20150.73%8.31%11.91%1.25%$44,141$38,216$29,6338.31%11.91%
20162.07%-3.60%-1.91%11.82%$42,550$37,486$33,134-3.60%-1.91%
20172.11%48.24%43.83%21.67%$63,076$53,915$40,31448.24%43.83%
20181.91%12.47%7.66%-4.52%$70,942$58,045$38,49012.47%7.66%
20192.12%32.99%22.95%18.25%$94,348$71,365$45,51332.99%22.95%
Annual returns for 1997 and 2019 are based on partial years
Monthly returns for the configured portfolios
YearMonthReturnBalanceMorgan Stanley Insight I (CPODX)Morgan Stanley Inst Growth I (MSEQX)
Portfolio 1Portfolio 2Vanguard 500 Index InvestorPortfolio 1Portfolio 2Vanguard 500 Index Investor
19978-2.94%-4.49%-5.61%$9,706$9,551$9,439-2.94%-4.49%
199798.35%7.72%5.47%$10,516$10,288$9,9558.35%7.72%
199710-8.21%-3.56%-3.35%$9,653$9,922$9,622-8.21%-3.56%
1997110.46%2.85%4.60%$9,697$10,205$10,0640.46%2.85%
1997126.34%4.74%1.72%$10,312$10,689$10,2386.34%4.74%
19981-1.81%1.83%1.11%$10,125$10,884$10,352-1.81%1.83%
1998210.20%9.51%7.19%$11,158$11,919$11,09610.20%9.51%
199837.42%4.66%5.10%$11,986$12,474$11,6627.42%4.66%
199841.49%-2.48%1.01%$12,164$12,165$11,7801.49%-2.48%
19985-6.00%-1.66%-1.74%$11,434$11,963$11,574-6.00%-1.66%
1998613.86%3.27%4.07%$13,019$12,354$12,04613.86%3.27%
19987-3.49%-2.58%-1.05%$12,565$12,036$11,919-3.49%-2.58%
19988-21.19%-17.60%-14.47%$9,902$9,918$10,194-21.19%-17.60%
1998914.30%4.53%6.41%$11,318$10,367$10,84714.30%4.53%
1998104.56%8.05%8.16%$11,834$11,201$11,7334.56%8.05%
19981117.83%5.56%6.07%$13,945$11,824$12,44517.83%5.56%
19981221.39%7.60%5.81%$16,928$12,723$13,16821.39%7.60%
1999116.15%5.77%4.20%$19,662$13,458$13,72116.15%5.77%
19992-3.94%-3.77%-3.12%$18,887$12,950$13,292-3.94%-3.77%
1999315.70%5.42%4.00%$21,852$13,652$13,82415.70%5.42%
199949.37%1.52%3.85%$23,900$13,859$14,3569.37%1.52%
19995-6.82%-1.83%-2.39%$22,271$13,605$14,013-6.82%-1.83%
199967.29%8.00%5.56%$23,895$14,694$14,7927.29%8.00%
19997-6.37%-2.40%-3.13%$22,372$14,341$14,329-6.37%-2.40%
199984.06%0.88%-0.50%$23,280$14,467$14,2584.06%0.88%
199991.03%0.65%-2.74%$23,521$14,561$13,8671.03%0.65%
19991010.94%5.83%6.33%$26,095$15,409$14,74410.94%5.83%
19991115.94%4.81%2.02%$30,254$16,151$15,04315.94%4.81%
19991226.31%9.97%5.98%$38,214$17,761$15,94226.31%9.97%
20001-3.48%-2.48%-5.03%$36,884$17,321$15,140-3.48%-2.48%
2000219.82%3.11%-1.91%$44,195$17,860$14,85119.82%3.11%
20003-6.62%9.17%9.76%$41,268$19,499$16,300-6.62%9.17%
20004-15.64%-4.62%-3.01%$34,814$18,598$15,811-15.64%-4.62%
20005-12.70%-4.16%-2.04%$30,393$17,825$15,488-12.70%-4.16%
2000621.93%5.93%2.49%$37,057$18,881$15,87321.93%5.93%
20007-3.17%-1.52%-1.49%$35,881$18,594$15,637-3.17%-1.52%
2000815.42%7.31%6.19%$41,414$19,952$16,60515.42%7.31%
20009-4.18%-7.25%-5.29%$39,682$18,506$15,726-4.18%-7.25%
200010-12.70%-2.05%-0.43%$34,641$18,126$15,659-12.70%-2.05%
200011-28.84%-12.09%-7.88%$24,650$15,935$14,425-28.84%-12.09%
2000120.41%-1.56%0.50%$24,750$15,686$14,4980.41%-1.56%
200115.89%4.78%3.55%$26,209$16,436$15,0125.89%4.78%
20012-26.43%-12.29%-9.14%$19,280$14,416$13,640-26.43%-12.29%
20013-19.20%-11.04%-6.36%$15,579$12,825$12,773-19.20%-11.04%
2001422.88%10.98%7.77%$19,144$14,233$13,76622.88%10.98%
20015-1.38%0.38%0.65%$18,879$14,286$13,855-1.38%0.38%
20016-0.29%-1.98%-2.45%$18,825$14,003$13,517-0.29%-1.98%
20017-10.41%-2.72%-1.00%$16,865$13,623$13,381-10.41%-2.72%
20018-12.81%-6.74%-6.27%$14,704$12,705$12,542-12.81%-6.74%
20019-23.50%-6.86%-8.09%$11,249$11,833$11,527-23.50%-6.86%
20011012.16%3.78%1.90%$12,617$12,281$11,74612.16%3.78%
20011116.33%8.79%7.65%$14,677$13,360$12,64416.33%8.79%
2001123.29%-0.17%0.87%$15,160$13,337$12,7553.29%-0.17%
20021-4.27%-2.43%-1.47%$14,513$13,013$12,567-4.27%-2.43%
20022-10.87%-3.44%-1.94%$12,936$12,566$12,324-10.87%-3.44%
200237.61%2.95%3.74%$13,920$12,936$12,7857.61%2.95%
20024-10.28%-6.68%-6.07%$12,489$12,072$12,008-10.28%-6.68%
20025-6.79%-1.53%-0.75%$11,641$11,887$11,918-6.79%-1.53%
20026-14.57%-7.59%-7.13%$9,946$10,985$11,068-14.57%-7.59%
20027-11.00%-8.01%-7.72%$8,852$10,105$10,213-11.00%-8.01%
20028-2.37%-0.15%0.65%$8,642$10,090$10,280-2.37%-0.15%
20029-7.17%-9.63%-10.87%$8,022$9,118$9,162-7.17%-9.63%
2002103.86%9.56%8.78%$8,332$9,989$9,9673.86%9.56%
2002115.25%4.17%5.88%$8,770$10,406$10,5525.25%4.17%
200212-6.65%-7.20%-5.89%$8,186$9,657$9,930-6.65%-7.20%
20031-1.22%-2.56%-2.62%$8,086$9,409$9,670-1.22%-2.56%
20032-0.68%-1.07%-1.52%$8,031$9,309$9,523-0.68%-1.07%
200332.16%3.49%0.96%$8,204$9,634$9,6142.16%3.49%
200348.00%6.98%8.25%$8,861$10,306$10,4088.00%6.98%
200357.10%3.98%5.26%$9,490$10,716$10,9557.10%3.98%
200361.25%1.15%1.26%$9,608$10,840$11,0931.25%1.15%
200374.46%2.36%1.74%$10,037$11,095$11,2874.46%2.36%
200386.09%1.81%1.93%$10,648$11,297$11,5056.09%1.81%
20039-2.74%-1.78%-1.07%$10,356$11,095$11,382-2.74%-1.78%
2003108.80%5.85%5.64%$11,267$11,745$12,0248.80%5.85%
2003111.21%0.33%0.86%$11,404$11,784$12,1281.21%0.33%
2003121.44%3.59%5.22%$11,568$12,207$12,7611.44%3.59%
200413.23%1.91%1.82%$11,942$12,440$12,9933.23%1.91%
200421.76%0.31%1.38%$12,152$12,479$13,1721.76%0.31%
200431.35%-1.43%-1.51%$12,316$12,300$12,9731.35%-1.43%
20044-1.55%-1.77%-1.58%$12,124$12,083$12,768-1.55%-1.77%
200452.33%2.57%1.36%$12,407$12,393$12,9422.33%2.57%
200461.84%1.00%1.93%$12,635$12,517$13,1911.84%1.00%
20047-4.69%-6.63%-3.31%$12,042$11,688$12,755-4.69%-6.63%
20048-0.15%-0.46%0.38%$12,024$11,633$12,803-0.15%-0.46%
200495.08%2.67%1.07%$12,635$11,943$12,9405.08%2.67%
2004103.10%1.69%1.51%$13,027$12,145$13,1363.10%1.69%
2004114.83%4.53%4.05%$13,656$12,696$13,6674.83%4.53%
2004123.94%3.61%3.39%$14,194$13,153$14,1313.94%3.61%
20051-3.79%-3.91%-2.45%$13,656$12,639$13,784-3.79%-3.91%
200521.00%0.18%2.09%$13,793$12,663$14,0731.00%0.18%
20053-2.18%-1.72%-1.76%$13,492$12,444$13,825-2.18%-1.72%
20054-2.91%-2.82%-1.91%$13,100$12,094$13,561-2.91%-2.82%
200557.24%7.47%3.17%$14,048$12,998$13,9917.24%7.47%
200562.79%1.38%0.13%$14,440$13,177$14,0082.79%1.38%
200576.63%5.78%3.71%$15,397$13,938$14,5286.63%5.78%
20058-1.18%-1.40%-0.91%$15,215$13,743$14,395-1.18%-1.40%
200594.13%2.61%0.79%$15,844$14,102$14,5094.13%2.61%
2005101.09%1.16%-1.68%$16,017$14,266$14,2661.09%1.16%
2005118.03%7.00%3.76%$17,302$15,265$14,8038.03%7.00%
2005120.37%-0.28%0.02%$17,366$15,222$14,8060.37%-0.28%
200615.62%3.03%2.65%$18,341$15,682$15,1985.62%3.03%
20062-3.48%-3.34%0.26%$17,703$15,159$15,238-3.48%-3.34%
200632.94%0.93%1.23%$18,223$15,300$15,4252.94%0.93%
200641.55%0.92%1.33%$18,506$15,440$15,6311.55%0.92%
20065-5.57%-5.82%-2.90%$17,475$14,542$15,178-5.57%-5.82%
200661.56%1.56%0.13%$17,749$14,769$15,1971.56%1.56%
20067-5.14%-4.76%0.61%$16,837$14,066$15,290-5.14%-4.76%
200680.65%2.33%2.36%$16,947$14,394$15,6510.65%2.33%
200693.12%2.93%2.56%$17,475$14,816$16,0523.12%2.93%
2006105.37%4.96%3.25%$18,414$15,550$16,5745.37%4.96%
2006112.38%2.76%1.89%$18,852$15,979$16,8872.38%2.76%
200612-0.92%-0.86%1.39%$18,679$15,842$17,122-0.92%-0.86%
200715.37%4.29%1.49%$19,682$16,521$17,3785.37%4.29%
20072-2.64%-2.03%-1.97%$19,162$16,185$17,035-2.64%-2.03%
20073-0.05%0.63%1.11%$19,153$16,287$17,225-0.05%0.63%
200744.85%4.41%4.42%$20,083$17,005$17,9864.85%4.41%
200754.90%4.69%3.48%$21,067$17,802$18,6114.90%4.69%
20076-3.03%-2.28%-1.68%$20,429$17,396$18,299-3.03%-2.28%
20077-2.90%-2.38%-3.08%$19,837$16,982$17,735-2.90%-2.38%
200782.85%3.50%1.50%$20,402$17,576$18,0002.85%3.50%
200798.94%9.02%3.72%$22,225$19,161$18,6718.94%9.02%
2007106.89%8.03%1.58%$23,756$20,700$18,9656.89%8.03%
200711-6.75%-6.34%-4.19%$22,152$19,388$18,171-6.75%-6.34%
2007120.41%-0.08%-0.70%$22,243$19,373$18,0440.41%-0.08%
20081-8.28%-8.70%-6.02%$20,402$17,687$16,959-8.28%-8.70%
20082-2.99%-3.99%-3.25%$19,791$16,981$16,407-2.99%-3.99%
200830.41%0.00%-0.44%$19,873$16,981$16,3350.41%0.00%
200849.77%9.15%4.85%$21,815$18,534$17,1289.77%9.15%
200853.89%3.60%1.29%$22,663$19,201$17,3493.89%3.60%
20086-7.64%-9.31%-8.44%$20,930$17,412$15,885-7.64%-9.31%
20087-3.88%-5.21%-0.83%$20,119$16,505$15,753-3.88%-5.21%
20088-1.90%-1.38%1.45%$19,736$16,277$15,981-1.90%-1.38%
20089-15.38%-15.24%-8.91%$16,701$13,796$14,558-15.38%-15.24%
200810-18.94%-18.50%-16.79%$13,537$11,244$12,113-18.94%-18.50%
200811-15.42%-15.15%-7.17%$11,450$9,540$11,244-15.42%-15.15%
2008120.00%0.57%1.07%$11,450$9,595$11,3640.00%0.57%
200910.24%-1.40%-8.41%$11,477$9,460$10,4080.24%-1.40%
20092-3.97%-4.44%-10.66%$11,021$9,041$9,299-3.97%-4.44%
2009311.33%10.07%8.76%$12,270$9,951$10,11311.33%10.07%
2009415.68%17.10%9.56%$14,194$11,653$11,08015.68%17.10%
200955.27%4.42%5.62%$14,941$12,168$11,7035.27%4.42%
200960.85%-0.98%0.22%$15,069$12,049$11,7280.85%-0.98%
200978.53%9.33%7.58%$16,354$13,173$12,6178.53%9.33%
200981.45%2.34%3.60%$16,591$13,482$13,0711.45%2.34%
200998.35%7.05%3.72%$17,977$14,432$13,5578.35%7.05%
200910-2.03%-2.08%-1.87%$17,612$14,131$13,304-2.03%-2.08%
2009116.31%6.27%5.98%$18,724$15,017$14,1006.31%6.27%
2009124.19%4.12%1.95%$19,508$15,637$14,3744.19%4.12%
20101-7.10%-5.33%-3.60%$18,123$14,803$13,856-7.10%-5.33%
201022.52%2.74%3.09%$18,579$15,208$14,2842.52%2.74%
201037.41%7.83%6.01%$19,955$16,399$15,1437.41%7.83%
201041.78%2.32%1.58%$20,311$16,780$15,3821.78%2.32%
20105-5.43%-6.86%-8.01%$19,208$15,629$14,151-5.43%-6.86%
20106-6.17%-6.20%-5.24%$18,022$14,660$13,409-6.17%-6.20%
201078.09%7.75%7.00%$19,481$15,796$14,3488.09%7.75%
20108-1.97%-3.07%-4.53%$19,098$15,311$13,698-1.97%-3.07%
2010914.18%12.19%8.92%$21,806$17,178$14,91914.18%12.19%
2010106.15%6.52%3.79%$23,146$18,297$15,4856.15%6.52%
2010112.72%2.17%0.00%$23,775$18,694$15,4852.72%2.17%
2010124.37%2.97%6.67%$24,814$19,250$16,5184.37%2.97%
201110.18%2.06%2.36%$24,859$19,647$16,9070.18%2.06%
201122.24%2.83%3.42%$25,416$20,203$17,4852.24%2.83%
201132.58%1.89%0.03%$26,072$20,585$17,4892.58%1.89%
201142.80%4.78%2.95%$26,801$21,569$18,0052.80%4.78%
20115-1.02%-1.40%-1.15%$26,528$21,268$17,798-1.02%-1.40%
20116-1.68%-0.97%-1.67%$26,081$21,061$17,501-1.68%-0.97%
201172.97%2.29%-2.05%$26,856$21,544$17,1432.97%2.29%
20118-6.52%-5.73%-5.45%$25,106$20,310$16,209-6.52%-5.73%
20119-11.11%-10.70%-7.04%$22,316$18,137$15,067-11.11%-10.70%
2011109.07%9.08%10.91%$24,340$19,785$16,7129.07%9.08%
201111-2.47%-3.02%-0.23%$23,738$19,188$16,673-2.47%-3.02%
201112-3.38%-2.70%1.02%$22,936$18,671$16,842-3.38%-2.70%
201218.11%8.35%4.46%$24,796$20,230$17,5948.11%8.35%
201225.66%5.98%4.31%$26,200$21,440$18,3525.66%5.98%
201235.60%5.72%3.28%$27,667$22,666$18,9545.60%5.72%
20124-2.60%-2.04%-0.64%$26,947$22,204$18,833-2.60%-2.04%
20125-8.66%-8.85%-6.02%$24,613$20,238$17,700-8.66%-8.85%
201262.63%2.67%4.11%$25,261$20,780$18,4272.63%2.67%
20127-2.27%-2.33%1.37%$24,686$20,295$18,679-2.27%-2.33%
20128-0.30%1.22%2.24%$24,613$20,542$19,098-0.30%1.22%
201295.07%4.53%2.58%$25,862$21,473$19,5905.07%4.53%
201210-5.57%-4.11%-1.86%$24,422$20,590$19,225-5.57%-4.11%
2012114.74%4.56%0.56%$25,580$21,529$19,3334.74%4.56%
2012120.90%0.30%0.90%$25,811$21,594$19,5080.90%0.30%
201314.35%4.10%5.18%$26,934$22,480$20,5174.35%4.10%
201320.15%-0.67%1.34%$26,975$22,328$20,7920.15%-0.67%
201332.29%2.47%3.74%$27,593$22,879$21,5692.29%2.47%
201342.24%2.72%1.91%$28,211$23,501$21,9812.24%2.72%
201352.63%3.63%2.33%$28,953$24,356$22,4932.63%3.63%
201360.07%-0.39%-1.35%$28,974$24,260$22,1890.07%-0.39%
201378.57%7.34%5.07%$31,457$26,042$23,3148.57%7.34%
201380.36%1.14%-2.91%$31,570$26,338$22,6360.36%1.14%
201397.70%7.98%3.12%$34,002$28,439$23,3427.70%7.98%
2013104.82%3.78%4.59%$35,640$29,513$24,4134.82%3.78%
2013112.95%3.07%3.03%$36,691$30,419$25,1522.95%3.07%
2013125.54%5.48%2.51%$38,723$32,087$25,7845.54%5.48%
201410.84%0.42%-3.47%$39,048$32,221$24,8900.84%0.42%
201426.79%5.79%4.56%$41,699$34,085$26,0256.79%5.79%
20143-7.06%-6.57%0.82%$38,756$31,845$26,239-7.06%-6.57%
20144-6.29%-4.52%0.72%$36,319$30,407$26,429-6.29%-4.52%
201453.37%4.10%2.33%$37,543$31,653$27,0463.37%4.10%
201464.68%4.23%2.05%$39,300$32,990$27,6014.68%4.23%
20147-1.41%-1.13%-1.39%$38,748$32,619$27,218-1.41%-1.13%
201485.18%5.64%3.98%$40,754$34,460$28,3025.18%5.64%
20149-2.60%-2.48%-1.41%$39,695$33,606$27,902-2.60%-2.48%
2014103.27%2.64%2.42%$40,991$34,493$28,5783.27%2.64%
2014111.18%1.75%2.68%$41,476$35,096$29,3451.18%1.75%
201412-1.74%-2.70%-0.26%$40,755$34,148$29,267-1.74%-2.70%
20151-1.10%0.57%-3.02%$40,309$34,342$28,384-1.10%0.57%
201527.75%7.63%5.74%$43,434$36,962$30,0137.75%7.63%
20153-2.00%-1.88%-1.59%$42,565$36,267$29,535-2.00%-1.88%
201541.62%1.87%0.95%$43,253$36,944$29,8151.62%1.87%
201550.06%0.24%1.27%$43,277$37,032$30,1950.06%0.24%
201560.90%0.14%-1.93%$43,666$37,085$29,6110.90%0.14%
201575.25%5.70%2.08%$45,959$39,199$30,2275.25%5.70%
20158-7.01%-6.83%-6.04%$42,737$36,521$28,401-7.01%-6.83%
20159-4.18%-4.35%-2.49%$40,951$34,934$27,694-4.18%-4.35%
2015106.19%6.09%8.42%$43,485$37,062$30,0266.19%6.09%
2015113.03%3.52%0.29%$44,801$38,365$30,1123.03%3.52%
201512-1.47%-0.39%-1.59%$44,141$38,216$29,633-1.47%-0.39%
20161-9.96%-9.59%-4.98%$39,745$34,550$28,158-9.96%-9.59%
20162-4.31%-2.87%-0.15%$38,031$33,557$28,117-4.31%-2.87%
201637.98%7.52%6.78%$41,066$36,081$30,0227.98%7.52%
20164-0.25%-0.21%0.37%$40,962$36,005$30,134-0.25%-0.21%
201653.00%2.73%1.78%$42,191$36,988$30,6723.00%2.73%
20166-0.74%-0.82%0.25%$41,877$36,685$30,748-0.74%-0.82%
201676.44%6.83%3.68%$44,572$39,191$31,8796.44%6.83%
201680.47%0.84%0.13%$44,782$39,522$31,9200.47%0.84%
201693.10%2.94%0.01%$46,169$40,685$31,9233.10%2.94%
201610-3.63%-3.55%-1.83%$44,494$39,241$31,337-3.63%-3.55%
201611-2.53%-2.58%3.70%$43,369$38,229$32,497-2.53%-2.58%
201612-1.89%-1.94%1.96%$42,550$37,486$33,134-1.89%-1.94%
2017110.55%10.14%1.88%$47,039$41,289$33,75810.55%10.14%
201721.79%1.99%3.96%$47,880$42,109$35,0961.79%1.99%
201732.53%3.44%0.10%$49,091$43,558$35,1312.53%3.44%
201744.30%4.40%1.02%$51,200$45,475$35,4894.30%4.40%
201757.68%6.30%1.39%$55,133$48,341$35,9847.68%6.30%
20176-1.06%-0.99%0.61%$54,547$47,862$36,204-1.06%-0.99%
201772.57%3.22%2.04%$55,950$49,404$36,9432.57%3.22%
201782.40%2.85%0.29%$57,295$50,810$37,0512.40%2.85%
20179-0.17%-1.20%2.06%$57,195$50,199$37,814-0.17%-1.20%
2017106.48%5.45%2.32%$60,902$52,936$38,6916.48%5.45%
2017112.00%2.08%3.06%$62,119$54,037$39,8742.00%2.08%
2017121.54%-0.22%1.10%$63,076$53,915$40,3141.54%-0.22%
201818.73%9.63%5.71%$68,585$59,106$42,6178.73%9.63%
201821.26%1.36%-3.69%$69,447$59,909$41,0421.26%1.36%
20183-1.91%-1.25%-2.56%$68,119$59,158$39,994-1.91%-1.25%
201840.87%0.20%0.37%$68,711$59,274$40,1430.87%0.20%
201858.10%6.77%2.39%$74,274$63,287$41,1048.10%6.77%
201863.58%1.78%0.61%$76,931$64,414$41,3533.58%1.78%
20187-0.30%-0.25%3.71%$76,697$64,251$42,887-0.30%-0.25%
201889.58%8.87%3.25%$84,044$69,953$44,2799.58%8.87%
201890.32%-0.81%0.55%$84,314$69,384$44,5240.32%-0.81%
201810-10.06%-10.43%-6.85%$75,832$62,148$41,475-10.06%-10.43%
2018112.45%1.21%2.03%$77,687$62,902$42,3152.45%1.21%
201812-8.68%-7.72%-9.04%$70,942$58,045$38,490-8.68%-7.72%
2019113.16%12.17%8.00%$80,279$65,108$41,57013.16%12.17%
201927.31%5.04%3.20%$86,149$68,389$42,9007.31%5.04%
201933.22%1.40%1.94%$88,920$69,349$43,7313.22%1.40%
201943.22%3.95%4.04%$91,787$72,088$45,4993.22%3.95%
20195-2.05%-3.51%-6.36%$89,908$69,557$42,603-2.05%-3.51%
201967.92%6.92%7.03%$97,028$74,368$45,5997.92%6.92%
201972.24%0.71%1.43%$99,204$74,896$46,2492.24%0.71%
20198-4.89%-4.72%-1.59%$94,348$71,365$45,513-4.89%-4.72%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Vanguard 500 Index Investor
Large-cap Value0.00%0.00%47.22%
Large-cap Growth43.39%48.44%52.58%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth44.76%39.83%0.00%
Small-cap Value0.00%0.00%0.00%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets11.85%11.73%0.00%
Corporate Bonds0.00%0.00%0.00%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%0.20%
Short-Term Treasuries0.00%0.00%0.00%
R Squared78.91%81.17%99.92%
Style analysis is based on monthly returns from Apr 2005 to Aug 2019 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryERWeightReturn ContributionRisk Contribution
CPODXMorgan Stanley Insight ILarge Growth0.86%100.00%$84,348100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryERWeightReturn ContributionRisk Contribution
MSEQXMorgan Stanley Inst Growth ILarge Growth0.59%100.00%$61,365100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 09/05/2019. © 2019 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 2Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.15%0.89%0.67%
Arithmetic Mean (annualized)14.74%11.25%8.31%
Geometric Mean (monthly)0.85%0.74%0.57%
Geometric Mean (annualized)10.70%9.31%7.10%
Volatility (monthly)7.71%5.41%4.31%
Volatility (annualized)26.70%18.74%14.92%
Downside Deviation (monthly)5.12%3.62%2.97%
Max. Drawdown-81.85%-56.33%-50.97%
US Market Correlation0.820.900.99
Beta(*)1.391.121.00
Alpha (annualized)2.72%1.75%0.00%
R260.12%79.23%100.00%
Sharpe Ratio0.440.470.40
Sortino Ratio0.660.680.57
Treynor Ratio (%)8.567.826.05
Calmar Ratio1.781.280.93
Active Return3.59%2.20%N/A
Tracking Error17.82%8.72%N/A
Information Ratio0.200.25N/A
Skewness-0.36-0.53-0.65
Excess Kurtosis2.120.901.13
Historical Value-at-Risk (5%)-12.22%-8.81%-7.56%
Analytical Value-at-Risk (5%)-11.52%-8.01%-6.42%
Conditional Value-at-Risk (5%)-18.26%-12.34%-9.88%
Upside Capture Ratio (%)157.89119.06100.00
Downside Capture Ratio (%)143.64110.82100.00
Safe Withdrawal Rate7.34%6.37%6.07%
Perpetual Withdrawal Rate7.75%6.58%4.64%
Positive Periods162 out of 265 (61.13%)156 out of 265 (58.87%)170 out of 265 (64.15%)
Gain/Loss Ratio0.951.050.82
* 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 1Portfolio 2Vanguard 500 Index Investor
Russian Debt DefaultJul 1998Oct 1998-23.94%-19.72%-15.38%
Dotcom CrashMar 2000Oct 2002-81.85%-54.30%-44.82%
Subprime CrisisNov 2007Mar 2009-53.61%-56.33%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Mar 2000Sep 20022 years 7 monthsJul 201512 years 10 months15 years 5 months-81.85%
2Jul 1998Aug 19982 monthsNov 19983 months5 months-23.94%
3Aug 2015Feb 20167 monthsSep 20167 months1 year 2 months-17.25%
4Oct 2018Dec 20183 monthsFeb 20192 months5 months-15.86%
5Oct 1997Oct 19971 monthFeb 19984 months5 months-8.21%
6Oct 2016Dec 20163 monthsJan 20171 month4 months-7.84%
7May 1999May 19991 monthOct 19995 months6 months-6.82%
8May 1998May 19981 monthJun 19981 month2 months-6.00%
9Aug 2019Aug 20191 month-4.89%
10Feb 1999Feb 19991 monthMar 19991 month2 months-3.94%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsApr 20112 years 2 months3 years 6 months-56.33%
2Sep 2000Sep 20022 years 1 monthOct 20075 years 1 month7 years 2 months-54.30%
3Apr 1998Aug 19985 monthsDec 19984 months9 months-20.50%
4Sep 2018Dec 20184 monthsApr 20194 months8 months-17.02%
5May 2011Sep 20115 monthsMar 20126 months11 months-15.91%
6Aug 2015Feb 20167 monthsAug 20166 months1 year 1 month-14.39%
7Mar 2014Apr 20142 monthsAug 20144 months6 months-10.79%
8Apr 2012May 20122 monthsMar 201310 months1 year-10.71%
9Apr 2000May 20002 monthsAug 20003 months5 months-8.58%
10Oct 2016Dec 20163 monthsJan 20171 month4 months-7.86%
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%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
7May 2019May 20191 monthJun 20191 month2 months-6.36%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
10Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
CPODXMorgan Stanley Insight I10.70%26.70%125.75%-48.52%-81.85%0.440.660.82
MSEQXMorgan Stanley Inst Growth I9.31%18.74%62.97%-50.47%-56.33%0.470.680.90

Monthly Correlations

Correlations for the portfolio assets
TickerNameCPODXMSEQXPortfolio 1Portfolio 2Vanguard 500 Index Investor
CPODXMorgan Stanley Insight I-0.871.000.870.78
MSEQXMorgan Stanley Inst Growth I0.87-0.871.000.89

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
CPODXMorgan Stanley Insight I$84,348
MSEQXMorgan Stanley Inst Growth I$61,365

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
CPODXMorgan Stanley Insight I100.00%
MSEQXMorgan Stanley Inst Growth I100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Vanguard 500 Index Investor
AverageHighLowAverageHighLowAverageHighLow
1 year17.03%125.75%-48.52%11.69%62.97%-50.47%8.07%32.18%-37.02%
3 years7.80%33.89%-40.17%7.76%24.85%-18.38%6.16%20.22%-14.60%
5 years6.59%27.59%-17.97%7.35%27.31%-5.83%5.94%17.81%-2.38%
7 years7.49%21.26%-9.72%7.61%21.83%-4.60%6.09%14.67%-1.64%
10 years7.28%20.01%-6.50%7.10%19.72%-2.78%5.39%12.97%-1.46%
15 years7.27%14.58%0.43%7.42%12.15%4.45%6.00%9.79%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods