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.
Ticker | Name | Allocation |
---|---|---|
VFITX | Vanguard Interm-Term Treasury Inv | 100.00% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
VFITX | Vanguard Interm-Term Treasury Inv | 300.00% |
CASHX | Cash | -200.00% |
Save portfolio » |
Ticker | Name | Allocation |
---|---|---|
VFINX | Vanguard 500 Index Investor | 50.00% |
VFITX | Vanguard Interm-Term Treasury Inv | 150.00% |
CASHX | Cash | -100.00% |
Save portfolio » |
Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|---|
Portfolio 1 | $10,000 | $45,109 | 5.49% | 4.72% | 20.44% | -4.33% | -6.47% | 0.64 | 1.07 | -0.15 |
Portfolio 2 | $10,000 | $189,612 | 11.01% | 14.04% | 54.95% | -20.02% | -24.16% | 0.64 | 1.07 | -0.15 |
Portfolio 3 | $10,000 | $191,779 | 11.06% | 9.31% | 46.24% | -9.91% | -19.81% | 0.91 | 1.52 | 0.64 |
Vanguard 500 Index Investor | $10,000 | $141,864 | 9.87% | 14.13% | 37.45% | -37.02% | -50.97% | 0.57 | 0.83 | 0.99 |
Name | Total Return | Annualized Return | Annualized Standard Deviation | ||||||
---|---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
Portfolio 1 | -0.57% | 6.29% | 6.29% | 2.93% | 2.29% | 3.20% | 5.49% | 3.06% | 3.48% |
Portfolio 2 | -2.51% | 14.68% | 14.68% | 5.28% | 4.46% | 8.26% | 11.01% | 9.10% | 10.38% |
Portfolio 3 | 3.16% | 23.33% | 23.33% | 10.51% | 8.41% | 11.32% | 11.06% | 6.19% | 6.23% |
Vanguard 500 Index Investor | 9.03% | 31.33% | 31.33% | 15.12% | 11.55% | 13.40% | 9.87% | 12.10% | 11.98% |
Trailing return and volatility are as of last full calendar month ending December 2019 |
Year | Inflation | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | Vanguard Interm-Term Treasury Inv (VFITX) | Cash (CASHX) | Vanguard 500 Index Investor (VFINX) | ||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | Return | Balance | |||||
1991 | 0.36% | 4.77% | $10,477 | 12.88% | $11,288 | 9.93% | $10,993 | 6.94% | $10,694 | 4.77% | 0.77% | 6.94% |
1992 | 2.90% | 7.78% | $11,292 | 15.65% | $13,055 | 11.79% | $12,289 | 7.42% | $11,488 | 7.78% | 3.57% | 7.42% |
1993 | 2.75% | 11.43% | $12,583 | 29.48% | $16,904 | 19.54% | $14,689 | 9.89% | $12,625 | 11.43% | 3.05% | 9.89% |
1994 | 2.67% | -4.33% | $12,038 | -20.02% | $13,519 | -9.91% | $13,234 | 1.18% | $12,773 | -4.33% | 4.20% | 1.18% |
1995 | 2.54% | 20.44% | $14,499 | 54.95% | $20,948 | 46.24% | $19,353 | 37.45% | $17,556 | 20.44% | 5.71% | 37.45% |
1996 | 3.32% | 1.92% | $14,777 | -5.08% | $19,884 | 8.32% | $20,964 | 22.88% | $21,573 | 1.92% | 5.17% | 22.88% |
1997 | 1.70% | 8.96% | $16,101 | 16.29% | $23,123 | 24.70% | $26,141 | 33.19% | $28,733 | 8.96% | 5.22% | 33.19% |
1998 | 1.61% | 10.61% | $17,809 | 22.01% | $28,212 | 26.74% | $33,131 | 28.62% | $36,955 | 10.61% | 4.97% | 28.62% |
1999 | 2.68% | -3.52% | $17,182 | -18.68% | $22,941 | -0.39% | $33,000 | 21.07% | $44,741 | -3.52% | 4.77% | 21.07% |
2000 | 3.39% | 14.03% | $19,592 | 31.42% | $30,150 | 9.78% | $36,228 | -9.06% | $40,689 | 14.03% | 5.99% | -9.06% |
2001 | 1.55% | 7.55% | $21,071 | 14.76% | $34,601 | 1.74% | $36,858 | -12.02% | $35,797 | 7.55% | 3.70% | -12.02% |
2002 | 2.38% | 14.15% | $24,052 | 42.08% | $49,159 | 7.26% | $39,533 | -22.15% | $27,870 | 14.15% | 1.65% | -22.15% |
2003 | 1.88% | 2.37% | $24,622 | 3.87% | $51,060 | 16.28% | $45,971 | 28.50% | $35,813 | 2.37% | 1.04% | 28.50% |
2004 | 3.26% | 3.40% | $25,460 | 6.93% | $54,597 | 9.17% | $50,185 | 10.74% | $39,660 | 3.40% | 1.32% | 10.74% |
2005 | 3.42% | 2.32% | $26,049 | 0.27% | $54,746 | 2.79% | $51,586 | 4.77% | $41,553 | 2.32% | 3.14% | 4.77% |
2006 | 2.54% | 3.14% | $26,866 | -0.40% | $54,528 | 7.46% | $55,434 | 15.64% | $48,053 | 3.14% | 4.82% | 15.64% |
2007 | 4.08% | 9.98% | $29,548 | 20.97% | $65,965 | 13.47% | $62,902 | 5.39% | $50,641 | 9.98% | 4.56% | 5.39% |
2008 | 0.09% | 13.32% | $33,485 | 38.68% | $91,481 | -4.80% | $59,883 | -37.02% | $31,894 | 13.32% | 1.53% | -37.02% |
2009 | 2.72% | -1.69% | $32,920 | -6.31% | $85,708 | 9.63% | $65,649 | 26.49% | $40,341 | -1.69% | 0.16% | 26.49% |
2010 | 1.50% | 7.35% | $35,341 | 22.45% | $104,954 | 19.91% | $78,723 | 14.91% | $46,357 | 7.35% | 0.14% | 14.91% |
2011 | 2.96% | 9.80% | $38,803 | 31.44% | $137,951 | 16.56% | $91,763 | 1.97% | $47,269 | 9.80% | 0.07% | 1.97% |
2012 | 1.74% | 2.67% | $39,841 | 7.84% | $148,772 | 12.10% | $102,863 | 15.82% | $54,749 | 2.67% | 0.08% | 15.82% |
2013 | 1.50% | -3.09% | $38,611 | -9.45% | $134,721 | 9.72% | $112,863 | 32.18% | $72,364 | -3.09% | 0.05% | 32.18% |
2014 | 0.76% | 4.32% | $40,278 | 13.17% | $152,463 | 13.48% | $128,081 | 13.51% | $82,140 | 4.32% | 0.03% | 13.51% |
2015 | 0.73% | 1.50% | $40,884 | 4.06% | $158,658 | 3.18% | $132,152 | 1.25% | $83,165 | 1.50% | 0.05% | 1.25% |
2016 | 2.07% | 1.19% | $41,370 | 2.42% | $162,498 | 7.54% | $142,112 | 11.82% | $92,993 | 1.19% | 0.30% | 11.82% |
2017 | 2.11% | 1.57% | $42,019 | 2.86% | $167,144 | 11.97% | $159,124 | 21.67% | $113,142 | 1.57% | 0.88% | 21.67% |
2018 | 1.91% | 1.00% | $42,440 | -1.08% | $165,342 | -2.28% | $155,504 | -4.52% | $108,023 | 1.00% | 1.90% | -4.52% |
2019 | 2.29% | 6.29% | $45,109 | 14.68% | $189,612 | 23.33% | $191,779 | 31.33% | $141,864 | 6.29% | 2.13% | 31.33% |
Annual return for 1991 is from 11/01/1991 to 12/31/1991 |
Year | Month | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | Vanguard Interm-Term Treasury Inv (VFITX) | Cash (CASHX) | Vanguard 500 Index Investor (VFINX) | ||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Return | Balance | Return | Balance | Return | Balance | Return | Balance | |||||
1991 | 11 | 1.00% | $10,100 | 2.18% | $10,218 | -0.91% | $9,909 | -4.01% | $9,599 | 1.00% | 0.40% | -4.01% |
1991 | 12 | 3.73% | $10,477 | 10.47% | $11,288 | 10.94% | $10,993 | 11.41% | $10,694 | 3.73% | 0.37% | 11.41% |
1992 | 1 | -2.15% | $10,251 | -7.10% | $10,486 | -4.49% | $10,499 | -1.88% | $10,493 | -2.15% | 0.33% | -1.88% |
1992 | 2 | 0.52% | $10,305 | 0.91% | $10,581 | 1.08% | $10,612 | 1.24% | $10,624 | 0.52% | 0.32% | 1.24% |
1992 | 3 | -0.91% | $10,211 | -3.39% | $10,222 | -2.66% | $10,330 | -1.93% | $10,419 | -0.91% | 0.33% | -1.93% |
1992 | 4 | 0.57% | $10,268 | 1.02% | $10,326 | 1.97% | $10,533 | 2.91% | $10,723 | 0.57% | 0.34% | 2.91% |
1992 | 5 | 2.18% | $10,492 | 5.91% | $10,936 | 3.20% | $10,869 | 0.48% | $10,775 | 2.18% | 0.31% | 0.48% |
1992 | 6 | 1.82% | $10,683 | 4.85% | $11,467 | 1.68% | $11,052 | -1.49% | $10,614 | 1.82% | 0.31% | -1.49% |
1992 | 7 | 3.07% | $11,012 | 8.63% | $12,456 | 6.33% | $11,752 | 4.04% | $11,043 | 3.07% | 0.30% | 4.04% |
1992 | 8 | 1.20% | $11,144 | 3.07% | $12,839 | 0.50% | $11,811 | -2.07% | $10,815 | 1.20% | 0.27% | -2.07% |
1992 | 9 | 1.73% | $11,337 | 4.67% | $13,439 | 2.92% | $12,156 | 1.17% | $10,941 | 1.73% | 0.26% | 1.17% |
1992 | 10 | -1.71% | $11,143 | -5.59% | $12,688 | -2.63% | $11,836 | 0.33% | $10,977 | -1.71% | 0.23% | 0.33% |
1992 | 11 | -0.46% | $11,092 | -1.87% | $12,450 | 0.77% | $11,927 | 3.40% | $11,351 | -0.46% | 0.25% | 3.40% |
1992 | 12 | 1.80% | $11,292 | 4.85% | $13,055 | 3.03% | $12,289 | 1.21% | $11,488 | 1.80% | 0.27% | 1.21% |
1993 | 1 | 2.72% | $11,599 | 7.65% | $14,053 | 4.23% | $12,808 | 0.81% | $11,581 | 2.72% | 0.26% | 0.81% |
1993 | 2 | 2.53% | $11,893 | 7.11% | $15,052 | 4.23% | $13,350 | 1.36% | $11,738 | 2.53% | 0.24% | 1.36% |
1993 | 3 | 0.40% | $11,940 | 0.71% | $15,158 | 1.41% | $13,538 | 2.11% | $11,985 | 0.40% | 0.25% | 2.11% |
1993 | 4 | 0.93% | $12,051 | 2.31% | $15,508 | -0.06% | $13,530 | -2.42% | $11,695 | 0.93% | 0.24% | -2.42% |
1993 | 5 | -0.15% | $12,033 | -0.93% | $15,364 | 0.86% | $13,647 | 2.65% | $12,005 | -0.15% | 0.24% | 2.65% |
1993 | 6 | 2.20% | $12,298 | 6.09% | $16,299 | 3.18% | $14,080 | 0.27% | $12,037 | 2.20% | 0.26% | 0.27% |
1993 | 7 | 0.02% | $12,301 | -0.44% | $16,227 | -0.43% | $14,019 | -0.42% | $11,986 | 0.02% | 0.25% | -0.42% |
1993 | 8 | 2.18% | $12,569 | 6.04% | $17,206 | 4.91% | $14,708 | 3.79% | $12,440 | 2.18% | 0.25% | 3.79% |
1993 | 9 | 0.62% | $12,647 | 1.36% | $17,440 | 0.28% | $14,749 | -0.79% | $12,341 | 0.62% | 0.25% | -0.79% |
1993 | 10 | 0.09% | $12,659 | -0.21% | $17,404 | 0.94% | $14,887 | 2.08% | $12,598 | 0.09% | 0.24% | 2.08% |
1993 | 11 | -1.16% | $12,513 | -3.98% | $16,711 | -2.49% | $14,517 | -1.00% | $12,472 | -1.16% | 0.25% | -1.00% |
1993 | 12 | 0.56% | $12,583 | 1.15% | $16,904 | 1.19% | $14,689 | 1.22% | $12,625 | 0.56% | 0.26% | 1.22% |
1994 | 1 | 1.49% | $12,769 | 3.95% | $17,572 | 3.66% | $15,228 | 3.38% | $13,051 | 1.49% | 0.25% | 3.38% |
1994 | 2 | -2.46% | $12,455 | -7.88% | $16,187 | -5.30% | $14,421 | -2.71% | $12,697 | -2.46% | 0.25% | -2.71% |
1994 | 3 | -2.62% | $12,129 | -8.42% | $14,825 | -6.40% | $13,498 | -4.39% | $12,140 | -2.62% | 0.28% | -4.39% |
1994 | 4 | -0.92% | $12,017 | -3.35% | $14,328 | -1.03% | $13,359 | 1.29% | $12,296 | -0.92% | 0.29% | 1.29% |
1994 | 5 | 0.18% | $12,038 | -0.12% | $14,311 | 0.75% | $13,459 | 1.63% | $12,496 | 0.18% | 0.32% | 1.63% |
1994 | 6 | -0.33% | $11,998 | -1.70% | $14,067 | -2.09% | $13,179 | -2.47% | $12,188 | -0.33% | 0.35% | -2.47% |
1994 | 7 | 1.70% | $12,203 | 4.41% | $14,688 | 3.85% | $13,685 | 3.28% | $12,587 | 1.70% | 0.35% | 3.28% |
1994 | 8 | 0.30% | $12,239 | 0.18% | $14,715 | 2.13% | $13,977 | 4.08% | $13,100 | 0.30% | 0.36% | 4.08% |
1994 | 9 | -1.79% | $12,021 | -6.12% | $13,814 | -4.28% | $13,378 | -2.45% | $12,780 | -1.79% | 0.38% | -2.45% |
1994 | 10 | -0.26% | $11,989 | -1.57% | $13,597 | 0.34% | $13,423 | 2.25% | $13,067 | -0.26% | 0.39% | 2.25% |
1994 | 11 | -0.38% | $11,943 | -1.99% | $13,327 | -2.82% | $13,044 | -3.65% | $12,589 | -0.38% | 0.42% | -3.65% |
1994 | 12 | 0.79% | $12,038 | 1.45% | $13,519 | 1.45% | $13,234 | 1.46% | $12,773 | 0.79% | 0.47% | 1.46% |
1995 | 1 | 1.94% | $12,272 | 4.89% | $14,181 | 3.74% | $13,729 | 2.58% | $13,103 | 1.94% | 0.47% | 2.58% |
1995 | 2 | 2.58% | $12,589 | 6.76% | $15,140 | 5.32% | $14,459 | 3.88% | $13,612 | 2.58% | 0.49% | 3.88% |
1995 | 3 | 0.57% | $12,661 | 0.75% | $15,253 | 1.85% | $14,727 | 2.95% | $14,014 | 0.57% | 0.48% | 2.95% |
1995 | 4 | 1.56% | $12,858 | 3.71% | $15,819 | 3.33% | $15,217 | 2.94% | $14,426 | 1.56% | 0.48% | 2.94% |
1995 | 5 | 4.74% | $13,467 | 13.26% | $17,917 | 8.61% | $16,527 | 3.95% | $14,996 | 4.74% | 0.48% | 3.95% |
1995 | 6 | 0.81% | $13,576 | 1.48% | $18,182 | 1.89% | $16,840 | 2.31% | $15,343 | 0.81% | 0.47% | 2.31% |
1995 | 7 | -0.61% | $13,494 | -2.73% | $17,686 | 0.29% | $16,888 | 3.30% | $15,850 | -0.61% | 0.46% | 3.30% |
1995 | 8 | 1.31% | $13,671 | 3.02% | $18,220 | 1.63% | $17,164 | 0.25% | $15,889 | 1.31% | 0.46% | 0.25% |
1995 | 9 | 0.90% | $13,794 | 1.81% | $18,550 | 3.02% | $17,682 | 4.23% | $16,561 | 0.90% | 0.44% | 4.23% |
1995 | 10 | 1.76% | $14,037 | 4.41% | $19,368 | 2.03% | $18,040 | -0.36% | $16,501 | 1.76% | 0.44% | -0.36% |
1995 | 11 | 1.82% | $14,293 | 4.57% | $20,253 | 4.47% | $18,847 | 4.38% | $17,224 | 1.82% | 0.45% | 4.38% |
1995 | 12 | 1.44% | $14,499 | 3.43% | $20,948 | 2.68% | $19,353 | 1.93% | $17,556 | 1.44% | 0.45% | 1.93% |
1996 | 1 | 0.69% | $14,599 | 1.24% | $21,207 | 2.31% | $19,800 | 3.39% | $18,151 | 0.69% | 0.42% | 3.39% |
1996 | 2 | -2.38% | $14,252 | -7.96% | $19,520 | -3.52% | $19,104 | 0.92% | $18,318 | -2.38% | 0.41% | 0.92% |
1996 | 3 | -1.09% | $14,096 | -4.10% | $18,720 | -1.56% | $18,806 | 0.98% | $18,497 | -1.09% | 0.41% | 0.98% |
1996 | 4 | -1.03% | $13,951 | -3.93% | $17,985 | -1.24% | $18,573 | 1.46% | $18,767 | -1.03% | 0.42% | 1.46% |
1996 | 5 | -0.44% | $13,890 | -2.16% | $17,596 | 0.19% | $18,609 | 2.54% | $19,244 | -0.44% | 0.42% | 2.54% |
1996 | 6 | 1.51% | $14,099 | 3.68% | $18,243 | 2.03% | $18,987 | 0.38% | $19,318 | 1.51% | 0.42% | 0.38% |
1996 | 7 | 0.14% | $14,120 | -0.42% | $18,166 | -2.42% | $18,527 | -4.42% | $18,464 | 0.14% | 0.42% | -4.42% |
1996 | 8 | -0.35% | $14,071 | -1.91% | $17,820 | 0.09% | $18,545 | 2.10% | $18,851 | -0.35% | 0.44% | 2.10% |
1996 | 9 | 1.91% | $14,339 | 4.85% | $18,684 | 5.23% | $19,514 | 5.61% | $19,908 | 1.91% | 0.43% | 5.61% |
1996 | 10 | 2.48% | $14,694 | 6.61% | $19,920 | 4.68% | $20,428 | 2.76% | $20,456 | 2.48% | 0.41% | 2.76% |
1996 | 11 | 2.04% | $14,994 | 5.28% | $20,971 | 6.42% | $21,740 | 7.56% | $22,004 | 2.04% | 0.42% | 7.56% |
1996 | 12 | -1.45% | $14,777 | -5.18% | $19,884 | -3.57% | $20,964 | -1.96% | $21,573 | -1.45% | 0.42% | -1.96% |
1997 | 1 | 0.06% | $14,785 | -0.68% | $19,748 | 2.77% | $21,544 | 6.22% | $22,914 | 0.06% | 0.43% | 6.22% |
1997 | 2 | 0.10% | $14,800 | -0.55% | $19,639 | 0.12% | $21,569 | 0.79% | $23,095 | 0.10% | 0.42% | 0.79% |
1997 | 3 | -1.30% | $14,607 | -4.76% | $18,703 | -4.45% | $20,609 | -4.14% | $22,140 | -1.30% | 0.43% | -4.14% |
1997 | 4 | 1.61% | $14,842 | 3.96% | $19,444 | 4.96% | $21,631 | 5.96% | $23,458 | 1.61% | 0.44% | 5.96% |
1997 | 5 | 0.83% | $14,966 | 1.64% | $19,762 | 3.86% | $22,466 | 6.09% | $24,886 | 0.83% | 0.43% | 6.09% |
1997 | 6 | 1.00% | $15,116 | 2.20% | $20,198 | 3.33% | $23,214 | 4.45% | $25,995 | 1.00% | 0.40% | 4.45% |
1997 | 7 | 2.85% | $15,547 | 7.70% | $21,753 | 7.83% | $25,033 | 7.97% | $28,065 | 2.85% | 0.43% | 7.97% |
1997 | 8 | -0.99% | $15,393 | -3.84% | $20,917 | -4.73% | $23,850 | -5.61% | $26,491 | -0.99% | 0.43% | -5.61% |
1997 | 9 | 1.47% | $15,619 | 3.55% | $21,659 | 4.51% | $24,925 | 5.47% | $27,940 | 1.47% | 0.43% | 5.47% |
1997 | 10 | 1.66% | $15,878 | 4.15% | $22,558 | 0.40% | $25,025 | -3.35% | $27,004 | 1.66% | 0.41% | -3.35% |
1997 | 11 | 0.31% | $15,928 | 0.09% | $22,578 | 2.34% | $25,611 | 4.60% | $28,246 | 0.31% | 0.43% | 4.60% |
1997 | 12 | 1.09% | $16,101 | 2.41% | $23,123 | 2.07% | $26,141 | 1.72% | $28,733 | 1.09% | 0.43% | 1.72% |
1998 | 1 | 1.73% | $16,379 | 4.30% | $24,118 | 2.71% | $26,848 | 1.11% | $29,052 | 1.73% | 0.44% | 1.11% |
1998 | 2 | -0.38% | $16,316 | -2.00% | $23,634 | 2.59% | $27,545 | 7.19% | $31,141 | -0.38% | 0.43% | 7.19% |
1998 | 3 | 0.14% | $16,338 | -0.46% | $23,525 | 2.32% | $28,184 | 5.10% | $32,731 | 0.14% | 0.44% | 5.10% |
1998 | 4 | 0.49% | $16,419 | 0.63% | $23,673 | 0.82% | $28,415 | 1.01% | $33,060 | 0.49% | 0.42% | 1.01% |
1998 | 5 | 0.98% | $16,579 | 2.11% | $24,173 | 0.18% | $28,467 | -1.74% | $32,484 | 0.98% | 0.41% | -1.74% |
1998 | 6 | 0.95% | $16,737 | 2.04% | $24,666 | 3.06% | $29,337 | 4.07% | $33,807 | 0.95% | 0.41% | 4.07% |
1998 | 7 | 0.22% | $16,774 | -0.18% | $24,623 | -0.61% | $29,157 | -1.05% | $33,450 | 0.22% | 0.42% | -1.05% |
1998 | 8 | 3.20% | $17,310 | 8.75% | $26,778 | -2.86% | $28,323 | -14.47% | $28,609 | 3.20% | 0.42% | -14.47% |
1998 | 9 | 3.64% | $17,940 | 10.12% | $29,487 | 8.26% | $30,663 | 6.41% | $30,443 | 3.64% | 0.40% | 6.41% |
1998 | 10 | -0.77% | $17,802 | -3.02% | $28,597 | 2.57% | $31,452 | 8.16% | $32,928 | -0.77% | 0.36% | 8.16% |
1998 | 11 | -0.35% | $17,741 | -1.75% | $28,096 | 2.16% | $32,132 | 6.07% | $34,928 | -0.35% | 0.36% | 6.07% |
1998 | 12 | 0.38% | $17,809 | 0.41% | $28,212 | 3.11% | $33,131 | 5.81% | $36,955 | 0.38% | 0.37% | 5.81% |
1999 | 1 | 0.65% | $17,925 | 1.23% | $28,559 | 2.72% | $34,031 | 4.20% | $38,509 | 0.65% | 0.37% | 4.20% |
1999 | 2 | -3.07% | $17,375 | -9.94% | $25,721 | -6.53% | $31,808 | -3.12% | $37,306 | -3.07% | 0.37% | -3.12% |
1999 | 3 | 0.58% | $17,477 | 0.98% | $25,973 | 2.49% | $32,600 | 4.00% | $38,796 | 0.58% | 0.38% | 4.00% |
1999 | 4 | 0.28% | $17,526 | 0.12% | $26,005 | 1.99% | $33,247 | 3.85% | $40,291 | 0.28% | 0.37% | 3.85% |
1999 | 5 | -1.37% | $17,287 | -4.85% | $24,744 | -3.62% | $32,044 | -2.39% | $39,328 | -1.37% | 0.37% | -2.39% |
1999 | 6 | -0.26% | $17,241 | -1.55% | $24,360 | 2.00% | $32,686 | 5.56% | $41,513 | -0.26% | 0.38% | 5.56% |
1999 | 7 | -0.45% | $17,163 | -2.14% | $23,840 | -2.63% | $31,826 | -3.13% | $40,214 | -0.45% | 0.39% | -3.13% |
1999 | 8 | -0.07% | $17,151 | -0.99% | $23,605 | -0.74% | $31,589 | -0.50% | $40,014 | -0.07% | 0.39% | -0.50% |
1999 | 9 | 1.08% | $17,336 | 2.43% | $24,178 | -0.16% | $31,540 | -2.74% | $38,918 | 1.08% | 0.41% | -2.74% |
1999 | 10 | 0.12% | $17,358 | -0.42% | $24,076 | 2.95% | $32,471 | 6.33% | $41,380 | 0.12% | 0.40% | 6.33% |
1999 | 11 | -0.08% | $17,344 | -1.07% | $23,818 | 0.48% | $32,626 | 2.02% | $42,218 | -0.08% | 0.42% | 2.02% |
1999 | 12 | -0.94% | $17,182 | -3.68% | $22,941 | 1.15% | $33,000 | 5.98% | $44,741 | -0.94% | 0.43% | 5.98% |
2000 | 1 | -0.46% | $17,103 | -2.25% | $22,426 | -3.64% | $31,800 | -5.03% | $42,490 | -0.46% | 0.43% | -5.03% |
2000 | 2 | 1.00% | $17,274 | 2.07% | $22,891 | 0.08% | $31,826 | -1.91% | $41,680 | 1.00% | 0.47% | -1.91% |
2000 | 3 | 2.04% | $17,626 | 5.16% | $24,073 | 7.46% | $34,200 | 9.75% | $45,744 | 2.04% | 0.47% | 9.75% |
2000 | 4 | -0.26% | $17,581 | -1.73% | $23,657 | -2.36% | $33,391 | -3.00% | $44,373 | -0.26% | 0.48% | -3.00% |
2000 | 5 | 0.16% | $17,609 | -0.48% | $23,544 | -1.26% | $32,972 | -2.04% | $43,468 | 0.16% | 0.48% | -2.04% |
2000 | 6 | 2.20% | $17,996 | 5.68% | $24,882 | 4.09% | $34,320 | 2.49% | $44,553 | 2.20% | 0.46% | 2.49% |
2000 | 7 | 0.62% | $18,109 | 0.91% | $25,109 | -0.29% | $34,219 | -1.50% | $43,885 | 0.62% | 0.48% | -1.50% |
2000 | 8 | 1.62% | $18,401 | 3.83% | $26,070 | 5.01% | $35,933 | 6.19% | $46,602 | 1.62% | 0.51% | 6.19% |
2000 | 9 | 0.89% | $18,565 | 1.65% | $26,500 | -1.82% | $35,279 | -5.29% | $44,137 | 0.89% | 0.52% | -5.29% |
2000 | 10 | 0.90% | $18,733 | 1.69% | $26,947 | 0.63% | $35,501 | -0.43% | $43,947 | 0.90% | 0.51% | -0.43% |
2000 | 11 | 2.14% | $19,134 | 5.38% | $28,398 | -1.25% | $35,057 | -7.89% | $40,482 | 2.14% | 0.52% | -7.89% |
2000 | 12 | 2.39% | $19,592 | 6.17% | $30,150 | 3.34% | $36,228 | 0.51% | $40,689 | 2.39% | 0.51% | 0.51% |
2001 | 1 | 1.33% | $19,852 | 3.01% | $31,058 | 3.28% | $37,416 | 3.55% | $42,132 | 1.33% | 0.48% | 3.55% |
2001 | 2 | 1.26% | $20,102 | 2.97% | $31,979 | -3.09% | $36,261 | -9.14% | $38,282 | 1.26% | 0.41% | -9.14% |
2001 | 3 | 0.50% | $20,204 | 0.72% | $32,209 | -2.82% | $35,239 | -6.36% | $35,849 | 0.50% | 0.40% | -6.36% |
2001 | 4 | -1.16% | $19,970 | -4.18% | $30,863 | 1.80% | $35,872 | 7.77% | $38,634 | -1.16% | 0.35% | 7.77% |
2001 | 5 | 0.22% | $20,013 | 0.01% | $30,865 | 0.33% | $35,990 | 0.65% | $38,885 | 0.22% | 0.32% | 0.65% |
2001 | 6 | 0.30% | $20,074 | 0.31% | $30,960 | -1.07% | $35,605 | -2.45% | $37,934 | 0.30% | 0.30% | -2.45% |
2001 | 7 | 2.73% | $20,621 | 7.58% | $33,307 | 3.29% | $36,777 | -1.00% | $37,555 | 2.73% | 0.30% | -1.00% |
2001 | 8 | 1.11% | $20,850 | 2.75% | $34,224 | -1.76% | $36,129 | -6.27% | $35,199 | 1.11% | 0.29% | -6.27% |
2001 | 9 | 2.41% | $21,353 | 6.68% | $36,509 | -0.71% | $35,874 | -8.09% | $32,351 | 2.41% | 0.28% | -8.09% |
2001 | 10 | 2.22% | $21,826 | 6.26% | $38,793 | 4.08% | $37,336 | 1.90% | $32,964 | 2.22% | 0.20% | 1.90% |
2001 | 11 | -2.32% | $21,319 | -7.31% | $35,959 | 0.17% | $37,401 | 7.65% | $35,487 | -2.32% | 0.17% | 7.65% |
2001 | 12 | -1.16% | $21,071 | -3.78% | $34,601 | -1.45% | $36,858 | 0.87% | $35,797 | -1.16% | 0.15% | 0.87% |
2002 | 1 | 0.45% | $21,166 | 1.07% | $34,970 | -0.20% | $36,783 | -1.47% | $35,270 | 0.45% | 0.14% | -1.47% |
2002 | 2 | 1.29% | $21,439 | 3.58% | $36,224 | 0.82% | $37,086 | -1.94% | $34,587 | 1.29% | 0.14% | -1.94% |
2002 | 3 | -2.30% | $20,946 | -7.19% | $33,618 | -1.73% | $36,446 | 3.74% | $35,882 | -2.30% | 0.15% | 3.74% |
2002 | 4 | 2.62% | $21,495 | 7.56% | $36,159 | 0.74% | $36,717 | -6.07% | $33,702 | 2.62% | 0.15% | -6.07% |
2002 | 5 | 1.04% | $21,718 | 2.83% | $37,181 | 1.04% | $37,097 | -0.75% | $33,448 | 1.04% | 0.15% | -0.75% |
2002 | 6 | 1.72% | $22,091 | 4.87% | $38,993 | -1.13% | $36,678 | -7.13% | $31,061 | 1.72% | 0.14% | -7.13% |
2002 | 7 | 2.66% | $22,678 | 7.69% | $41,990 | -0.02% | $36,672 | -7.72% | $28,664 | 2.66% | 0.14% | -7.72% |
2002 | 8 | 2.42% | $23,227 | 6.98% | $44,920 | 3.82% | $38,071 | 0.65% | $28,851 | 2.42% | 0.14% | 0.65% |
2002 | 9 | 3.03% | $23,930 | 8.80% | $48,874 | -1.04% | $37,676 | -10.87% | $25,713 | 3.03% | 0.14% | -10.87% |
2002 | 10 | -0.70% | $23,762 | -2.36% | $47,719 | 3.21% | $38,886 | 8.78% | $27,972 | -0.70% | 0.13% | 8.78% |
2002 | 11 | -1.32% | $23,448 | -4.20% | $45,713 | 0.84% | $39,211 | 5.88% | $29,615 | -1.32% | 0.12% | 5.88% |
2002 | 12 | 2.58% | $24,052 | 7.54% | $49,159 | 0.82% | $39,533 | -5.89% | $27,870 | 2.58% | 0.10% | -5.89% |
2003 | 1 | -0.49% | $23,933 | -1.68% | $48,331 | -2.15% | $38,682 | -2.62% | $27,138 | -0.49% | 0.10% | -2.62% |
2003 | 2 | 1.77% | $24,357 | 5.12% | $50,805 | 1.80% | $39,378 | -1.52% | $26,726 | 1.77% | 0.10% | -1.52% |
2003 | 3 | -0.19% | $24,312 | -0.75% | $50,422 | 0.10% | $39,418 | 0.96% | $26,982 | -0.19% | 0.10% | 0.96% |
2003 | 4 | 0.24% | $24,371 | 0.54% | $50,692 | 4.39% | $41,150 | 8.25% | $29,209 | 0.24% | 0.09% | 8.25% |
2003 | 5 | 2.74% | $25,037 | 8.02% | $54,759 | 6.64% | $43,884 | 5.26% | $30,746 | 2.74% | 0.09% | 5.26% |
2003 | 6 | -0.43% | $24,929 | -1.48% | $53,950 | -0.11% | $43,836 | 1.26% | $31,134 | -0.43% | 0.09% | 1.26% |
2003 | 7 | -3.87% | $23,964 | -11.77% | $47,601 | -5.01% | $41,639 | 1.74% | $31,677 | -3.87% | 0.07% | 1.74% |
2003 | 8 | 0.19% | $24,008 | 0.40% | $47,792 | 1.17% | $42,125 | 1.93% | $32,289 | 0.19% | 0.08% | 1.93% |
2003 | 9 | 3.09% | $24,750 | 9.10% | $52,142 | 4.02% | $43,816 | -1.07% | $31,943 | 3.09% | 0.08% | -1.07% |
2003 | 10 | -1.36% | $24,414 | -4.22% | $49,939 | 0.71% | $44,127 | 5.64% | $33,745 | -1.36% | 0.08% | 5.64% |
2003 | 11 | 0.01% | $24,415 | -0.14% | $49,871 | 0.36% | $44,287 | 0.86% | $34,037 | 0.01% | 0.08% | 0.86% |
2003 | 12 | 0.85% | $24,622 | 2.39% | $51,060 | 3.80% | $45,971 | 5.22% | $35,813 | 0.85% | 0.08% | 5.22% |
2004 | 1 | 0.81% | $24,822 | 2.29% | $52,228 | 2.05% | $46,915 | 1.82% | $36,466 | 0.81% | 0.08% | 1.82% |
2004 | 2 | 1.23% | $25,127 | 3.53% | $54,070 | 2.45% | $48,066 | 1.38% | $36,968 | 1.23% | 0.08% | 1.38% |
2004 | 3 | 1.06% | $25,394 | 3.04% | $55,713 | 0.76% | $48,432 | -1.51% | $36,408 | 1.06% | 0.08% | -1.51% |
2004 | 4 | -3.25% | $24,569 | -9.91% | $50,192 | -5.74% | $45,651 | -1.58% | $35,834 | -3.25% | 0.08% | -1.58% |
2004 | 5 | -0.51% | $24,444 | -1.69% | $49,346 | -0.16% | $45,576 | 1.36% | $36,321 | -0.51% | 0.08% | 1.36% |
2004 | 6 | 0.54% | $24,576 | 1.45% | $50,059 | 1.69% | $46,345 | 1.93% | $37,022 | 0.54% | 0.09% | 1.93% |
2004 | 7 | 0.91% | $24,799 | 2.51% | $51,315 | -0.40% | $46,159 | -3.31% | $35,796 | 0.91% | 0.11% | -3.31% |
2004 | 8 | 2.07% | $25,314 | 5.98% | $54,386 | 3.18% | $47,629 | 0.38% | $35,933 | 2.07% | 0.12% | 0.38% |
2004 | 9 | 0.19% | $25,361 | 0.30% | $54,551 | 0.69% | $47,955 | 1.07% | $36,316 | 0.19% | 0.13% | 1.07% |
2004 | 10 | 0.91% | $25,592 | 2.45% | $55,886 | 1.98% | $48,905 | 1.51% | $36,867 | 0.91% | 0.14% | 1.51% |
2004 | 11 | -1.48% | $25,214 | -4.74% | $53,235 | -0.35% | $48,735 | 4.05% | $38,358 | -1.48% | 0.16% | 4.05% |
2004 | 12 | 0.97% | $25,460 | 2.56% | $54,597 | 2.98% | $50,185 | 3.39% | $39,660 | 0.97% | 0.18% | 3.39% |
2005 | 1 | 0.56% | $25,602 | 1.31% | $55,313 | -0.57% | $49,898 | -2.45% | $38,686 | 0.56% | 0.18% | -2.45% |
2005 | 2 | -0.98% | $25,351 | -3.36% | $53,456 | -0.63% | $49,583 | 2.09% | $39,496 | -0.98% | 0.21% | 2.09% |
2005 | 3 | -0.51% | $25,222 | -1.98% | $52,396 | -1.87% | $48,655 | -1.76% | $38,801 | -0.51% | 0.23% | -1.76% |
2005 | 4 | 1.75% | $25,663 | 4.79% | $54,906 | 1.44% | $49,355 | -1.91% | $38,059 | 1.75% | 0.23% | -1.91% |
2005 | 5 | 1.20% | $25,970 | 3.11% | $56,614 | 3.14% | $50,905 | 3.17% | $39,265 | 1.20% | 0.24% | 3.17% |
2005 | 6 | 0.55% | $26,113 | 1.16% | $57,271 | 0.64% | $51,232 | 0.13% | $39,315 | 0.55% | 0.25% | 0.13% |
2005 | 7 | -1.41% | $25,746 | -4.73% | $54,563 | -0.51% | $50,970 | 3.71% | $40,772 | -1.41% | 0.26% | 3.71% |
2005 | 8 | 1.65% | $26,169 | 4.38% | $56,951 | 1.73% | $51,853 | -0.91% | $40,400 | 1.65% | 0.28% | -0.91% |
2005 | 9 | -1.14% | $25,870 | -4.01% | $54,669 | -1.61% | $51,020 | 0.79% | $40,720 | -1.14% | 0.29% | 0.79% |
2005 | 10 | -0.79% | $25,665 | -2.96% | $53,052 | -2.32% | $49,838 | -1.68% | $40,037 | -0.79% | 0.29% | -1.68% |
2005 | 11 | 0.48% | $25,788 | 0.78% | $53,465 | 2.27% | $50,969 | 3.76% | $41,544 | 0.48% | 0.33% | 3.76% |
2005 | 12 | 1.01% | $26,049 | 2.40% | $54,746 | 1.21% | $51,586 | 0.02% | $41,553 | 1.01% | 0.32% | 0.02% |
2006 | 1 | -0.34% | $25,962 | -1.68% | $53,828 | 0.48% | $51,836 | 2.65% | $42,653 | -0.34% | 0.33% | 2.65% |
2006 | 2 | 0.09% | $25,984 | -0.47% | $53,573 | -0.11% | $51,781 | 0.26% | $42,765 | 0.09% | 0.37% | 0.26% |
2006 | 3 | -0.99% | $25,728 | -3.72% | $51,581 | -1.24% | $51,137 | 1.23% | $43,291 | -0.99% | 0.38% | 1.23% |
2006 | 4 | -0.37% | $25,632 | -1.87% | $50,614 | -0.27% | $50,998 | 1.33% | $43,868 | -0.37% | 0.38% | 1.33% |
2006 | 5 | 0.02% | $25,637 | -0.73% | $50,244 | -1.81% | $50,073 | -2.90% | $42,597 | 0.02% | 0.39% | -2.90% |
2006 | 6 | 0.10% | $25,662 | -0.49% | $49,996 | -0.18% | $49,982 | 0.13% | $42,652 | 0.10% | 0.40% | 0.13% |
2006 | 7 | 1.35% | $26,010 | 3.24% | $51,616 | 1.92% | $50,943 | 0.61% | $42,911 | 1.35% | 0.41% | 0.61% |
2006 | 8 | 1.62% | $26,431 | 4.03% | $53,696 | 3.20% | $52,571 | 2.36% | $43,924 | 1.62% | 0.42% | 2.36% |
2006 | 9 | 0.94% | $26,679 | 1.99% | $54,763 | 2.28% | $53,767 | 2.56% | $45,050 | 0.94% | 0.41% | 2.56% |
2006 | 10 | 0.57% | $26,833 | 0.92% | $55,268 | 2.09% | $54,889 | 3.25% | $46,515 | 0.57% | 0.40% | 3.25% |
2006 | 11 | 1.12% | $27,133 | 2.53% | $56,665 | 2.21% | $56,102 | 1.89% | $47,394 | 1.12% | 0.42% | 1.89% |
2006 | 12 | -0.98% | $26,866 | -3.77% | $54,528 | -1.19% | $55,434 | 1.39% | $48,053 | -0.98% | 0.41% | 1.39% |
2007 | 1 | -0.26% | $26,798 | -1.59% | $53,662 | -0.05% | $55,407 | 1.49% | $48,770 | -0.26% | 0.41% | 1.49% |
2007 | 2 | 1.86% | $27,296 | 4.74% | $56,203 | 1.38% | $56,174 | -1.97% | $47,810 | 1.86% | 0.42% | -1.97% |
2007 | 3 | 0.03% | $27,303 | -0.76% | $55,774 | 0.17% | $56,272 | 1.11% | $48,342 | 0.03% | 0.42% | 1.11% |
2007 | 4 | 0.57% | $27,457 | 0.87% | $56,260 | 2.65% | $57,760 | 4.42% | $50,477 | 0.57% | 0.41% | 4.42% |
2007 | 5 | -1.18% | $27,132 | -4.36% | $53,808 | -0.44% | $57,505 | 3.48% | $52,232 | -1.18% | 0.40% | 3.48% |
2007 | 6 | -0.18% | $27,082 | -1.32% | $53,097 | -1.50% | $56,644 | -1.68% | $51,357 | -0.18% | 0.39% | -1.68% |
2007 | 7 | 1.81% | $27,573 | 4.64% | $55,563 | 0.78% | $57,085 | -3.08% | $49,773 | 1.81% | 0.39% | -3.08% |
2007 | 8 | 1.97% | $28,116 | 5.10% | $58,396 | 3.30% | $58,968 | 1.50% | $50,518 | 1.97% | 0.40% | 1.50% |
2007 | 9 | 0.46% | $28,245 | 0.72% | $58,818 | 2.22% | $60,279 | 3.72% | $52,400 | 0.46% | 0.33% | 3.72% |
2007 | 10 | 0.84% | $28,481 | 1.89% | $59,927 | 1.73% | $61,323 | 1.58% | $53,227 | 0.84% | 0.31% | 1.58% |
2007 | 11 | 3.46% | $29,467 | 9.74% | $65,764 | 2.78% | $63,026 | -4.19% | $50,998 | 3.46% | 0.32% | -4.19% |
2007 | 12 | 0.27% | $29,548 | 0.31% | $65,965 | -0.20% | $62,902 | -0.70% | $50,641 | 0.27% | 0.26% | -0.70% |
2008 | 1 | 3.10% | $30,463 | 8.74% | $71,733 | 1.36% | $63,760 | -6.02% | $47,595 | 3.10% | 0.28% | -6.02% |
2008 | 2 | 1.35% | $30,875 | 3.74% | $74,412 | 0.24% | $63,914 | -3.25% | $46,048 | 1.35% | 0.16% | -3.25% |
2008 | 3 | 0.93% | $31,161 | 2.48% | $76,257 | 1.02% | $64,566 | -0.44% | $45,845 | 0.93% | 0.15% | -0.44% |
2008 | 4 | -2.14% | $30,495 | -6.64% | $71,196 | -0.89% | $63,990 | 4.85% | $48,070 | -2.14% | 0.11% | 4.85% |
2008 | 5 | -1.32% | $30,093 | -4.20% | $68,206 | -1.45% | $63,060 | 1.29% | $48,691 | -1.32% | 0.12% | 1.29% |
2008 | 6 | 0.77% | $30,323 | 1.99% | $69,565 | -3.22% | $61,028 | -8.44% | $44,583 | 0.77% | 0.15% | -8.44% |
2008 | 7 | 0.77% | $30,558 | 2.01% | $70,965 | 0.59% | $61,388 | -0.83% | $44,212 | 0.77% | 0.16% | -0.83% |
2008 | 8 | 0.98% | $30,856 | 2.65% | $72,846 | 2.05% | $62,646 | 1.45% | $44,851 | 0.98% | 0.14% | 1.45% |
2008 | 9 | 0.51% | $31,014 | 1.25% | $73,757 | -3.83% | $60,247 | -8.91% | $40,857 | 0.51% | 0.14% | -8.91% |
2008 | 10 | -1.36% | $30,593 | -4.22% | $70,642 | -10.51% | $53,917 | -16.79% | $33,996 | -1.36% | 0.08% | -16.79% |
2008 | 11 | 5.58% | $32,301 | 16.68% | $82,424 | 4.75% | $56,479 | -7.17% | $31,557 | 5.58% | 0.04% | -7.17% |
2008 | 12 | 3.66% | $33,485 | 10.99% | $91,481 | 6.03% | $59,883 | 1.07% | $31,894 | 3.66% | 0.00% | 1.07% |
2009 | 1 | -2.39% | $32,684 | -7.19% | $84,903 | -7.80% | $55,211 | -8.41% | $29,211 | -2.39% | 0.01% | -8.41% |
2009 | 2 | -0.58% | $32,494 | -1.78% | $83,388 | -6.22% | $51,777 | -10.66% | $26,098 | -0.58% | 0.02% | -10.66% |
2009 | 3 | 3.20% | $33,535 | 9.57% | $91,369 | 9.17% | $56,522 | 8.76% | $28,384 | 3.20% | 0.02% | 8.76% |
2009 | 4 | -1.76% | $32,947 | -5.30% | $86,526 | 2.13% | $57,726 | 9.56% | $31,097 | -1.76% | 0.02% | 9.56% |
2009 | 5 | -1.10% | $32,583 | -3.34% | $83,640 | 1.14% | $58,385 | 5.62% | $32,844 | -1.10% | 0.01% | 5.62% |
2009 | 6 | -0.37% | $32,462 | -1.14% | $82,688 | -0.46% | $58,116 | 0.22% | $32,916 | -0.37% | 0.01% | 0.22% |
2009 | 7 | 0.60% | $32,655 | 1.75% | $84,139 | 4.67% | $60,828 | 7.58% | $35,410 | 0.60% | 0.02% | 7.58% |
2009 | 8 | 0.89% | $32,946 | 2.64% | $86,362 | 3.12% | $62,727 | 3.60% | $36,685 | 0.89% | 0.02% | 3.60% |
2009 | 9 | 0.92% | $33,250 | 2.74% | $88,727 | 3.23% | $64,751 | 3.72% | $38,048 | 0.92% | 0.01% | 3.72% |
2009 | 10 | 0.25% | $33,334 | 0.73% | $89,378 | -0.57% | $64,384 | -1.87% | $37,338 | 0.25% | 0.01% | -1.87% |
2009 | 11 | 1.96% | $33,986 | 5.86% | $94,616 | 5.92% | $68,196 | 5.98% | $39,571 | 1.96% | 0.00% | 5.98% |
2009 | 12 | -3.13% | $32,920 | -9.41% | $85,708 | -3.73% | $65,649 | 1.95% | $40,341 | -3.13% | 0.01% | 1.95% |
2010 | 1 | 1.97% | $33,568 | 5.89% | $90,761 | 1.15% | $66,401 | -3.60% | $38,887 | 1.97% | 0.01% | -3.60% |
2010 | 2 | 0.40% | $33,704 | 1.20% | $91,849 | 2.15% | $67,826 | 3.09% | $40,089 | 0.40% | 0.01% | 3.09% |
2010 | 3 | -0.91% | $33,398 | -2.75% | $89,328 | 1.63% | $68,934 | 6.01% | $42,500 | -0.91% | 0.01% | 6.01% |
2010 | 4 | 1.23% | $33,810 | 3.67% | $92,610 | 2.63% | $70,745 | 1.58% | $43,171 | 1.23% | 0.01% | 1.58% |
2010 | 5 | 1.85% | $34,435 | 5.52% | $97,720 | -1.24% | $69,865 | -8.01% | $39,715 | 1.85% | 0.01% | -8.01% |
2010 | 6 | 2.07% | $35,146 | 6.17% | $103,751 | 0.47% | $70,191 | -5.24% | $37,634 | 2.07% | 0.01% | -5.24% |
2010 | 7 | 1.07% | $35,523 | 3.19% | $107,060 | 5.09% | $73,765 | 7.00% | $40,267 | 1.07% | 0.02% | 7.00% |
2010 | 8 | 2.00% | $36,234 | 5.98% | $113,457 | 0.72% | $74,299 | -4.53% | $38,443 | 2.00% | 0.01% | -4.53% |
2010 | 9 | 0.36% | $36,366 | 1.07% | $114,673 | 5.00% | $78,010 | 8.92% | $41,872 | 0.36% | 0.01% | 8.92% |
2010 | 10 | 0.45% | $36,529 | 1.32% | $116,182 | 2.55% | $80,001 | 3.79% | $43,458 | 0.45% | 0.01% | 3.79% |
2010 | 11 | -0.98% | $36,170 | -2.97% | $112,737 | -1.48% | $78,815 | 0.00% | $43,458 | -0.98% | 0.01% | 0.00% |
2010 | 12 | -2.29% | $35,341 | -6.90% | $104,954 | -0.12% | $78,723 | 6.67% | $46,357 | -2.29% | 0.01% | 6.67% |
2011 | 1 | 0.29% | $35,445 | 0.86% | $105,852 | 1.61% | $79,988 | 2.36% | $47,450 | 0.29% | 0.01% | 2.36% |
2011 | 2 | -0.43% | $35,292 | -1.32% | $104,457 | 1.05% | $80,827 | 3.42% | $49,071 | -0.43% | 0.01% | 3.42% |
2011 | 3 | -0.12% | $35,250 | -0.38% | $104,056 | -0.18% | $80,682 | 0.03% | $49,083 | -0.12% | 0.01% | 0.03% |
2011 | 4 | 1.60% | $35,815 | 4.80% | $109,048 | 3.87% | $83,807 | 2.95% | $50,530 | 1.60% | 0.01% | 2.95% |
2011 | 5 | 1.77% | $36,447 | 5.29% | $114,816 | 2.07% | $85,543 | -1.15% | $49,952 | 1.77% | 0.00% | -1.15% |
2011 | 6 | -0.16% | $36,387 | -0.50% | $114,238 | -1.09% | $84,613 | -1.67% | $49,116 | -0.16% | 0.01% | -1.67% |
2011 | 7 | 2.18% | $37,180 | 6.53% | $121,699 | 2.24% | $86,510 | -2.05% | $48,111 | 2.18% | 0.00% | -2.05% |
2011 | 8 | 2.70% | $38,185 | 8.10% | $131,551 | 1.32% | $87,656 | -5.45% | $45,491 | 2.70% | 0.01% | -5.45% |
2011 | 9 | 0.73% | $38,465 | 2.19% | $134,434 | -2.43% | $85,529 | -7.04% | $42,287 | 0.73% | 0.00% | -7.04% |
2011 | 10 | -0.42% | $38,305 | -1.25% | $132,749 | 4.83% | $89,661 | 10.91% | $46,902 | -0.42% | 0.00% | 10.91% |
2011 | 11 | 0.29% | $38,417 | 0.88% | $133,918 | 0.32% | $89,951 | -0.23% | $46,792 | 0.29% | 0.00% | -0.23% |
2011 | 12 | 1.00% | $38,803 | 3.01% | $137,951 | 2.01% | $91,763 | 1.02% | $47,269 | 1.00% | 0.00% | 1.02% |
2012 | 1 | 0.81% | $39,116 | 2.42% | $141,288 | 3.44% | $94,921 | 4.46% | $49,379 | 0.81% | 0.00% | 4.46% |
2012 | 2 | -0.65% | $38,860 | -1.97% | $138,499 | 1.17% | $96,028 | 4.31% | $51,506 | -0.65% | 0.01% | 4.31% |
2012 | 3 | -0.79% | $38,552 | -2.39% | $135,185 | 0.44% | $96,455 | 3.28% | $53,196 | -0.79% | 0.01% | 3.28% |
2012 | 4 | 1.50% | $39,131 | 4.49% | $141,259 | 1.93% | $98,313 | -0.64% | $52,855 | 1.50% | 0.01% | -0.64% |
2012 | 5 | 1.24% | $39,617 | 3.71% | $146,495 | -1.16% | $97,177 | -6.02% | $49,675 | 1.24% | 0.01% | -6.02% |
2012 | 6 | -0.22% | $39,529 | -0.68% | $145,505 | 1.72% | $98,846 | 4.11% | $51,716 | -0.22% | 0.01% | 4.11% |
2012 | 7 | 0.86% | $39,870 | 2.57% | $149,248 | 1.97% | $100,794 | 1.37% | $52,424 | 0.86% | 0.01% | 1.37% |
2012 | 8 | 0.10% | $39,911 | 0.29% | $149,678 | 1.26% | $102,067 | 2.24% | $53,598 | 0.10% | 0.01% | 2.24% |
2012 | 9 | -0.06% | $39,885 | -0.20% | $149,373 | 1.19% | $103,279 | 2.58% | $54,979 | -0.06% | 0.01% | 2.58% |
2012 | 10 | -0.32% | $39,759 | -0.96% | $147,932 | -1.41% | $101,820 | -1.86% | $53,957 | -0.32% | 0.01% | -1.86% |
2012 | 11 | 0.62% | $40,005 | 1.83% | $150,644 | 1.20% | $103,038 | 0.56% | $54,259 | 0.62% | 0.01% | 0.56% |
2012 | 12 | -0.41% | $39,841 | -1.24% | $148,772 | -0.17% | $102,863 | 0.90% | $54,749 | -0.41% | 0.01% | 0.90% |
2013 | 1 | -0.74% | $39,547 | -2.22% | $145,464 | 1.48% | $104,382 | 5.18% | $57,583 | -0.74% | 0.00% | 5.18% |
2013 | 2 | 0.71% | $39,828 | 2.12% | $148,552 | 1.73% | $106,188 | 1.34% | $58,353 | 0.71% | 0.01% | 1.34% |
2013 | 3 | 0.27% | $39,937 | 0.80% | $149,743 | 2.27% | $108,599 | 3.74% | $60,535 | 0.27% | 0.01% | 3.74% |
2013 | 4 | 0.71% | $40,221 | 2.12% | $152,924 | 2.02% | $110,789 | 1.91% | $61,690 | 0.71% | 0.01% | 1.91% |
2013 | 5 | -1.84% | $39,481 | -5.53% | $144,464 | -1.60% | $109,014 | 2.33% | $63,126 | -1.84% | 0.00% | 2.33% |
2013 | 6 | -1.62% | $38,840 | -4.87% | $137,424 | -3.11% | $105,622 | -1.35% | $62,274 | -1.62% | 0.00% | -1.35% |
2013 | 7 | 0.13% | $38,890 | 0.37% | $137,938 | 2.72% | $108,498 | 5.07% | $65,432 | 0.13% | 0.00% | 5.07% |
2013 | 8 | -1.02% | $38,494 | -3.06% | $133,715 | -2.99% | $105,257 | -2.91% | $63,527 | -1.02% | 0.00% | -2.91% |
2013 | 9 | 1.47% | $39,058 | 4.40% | $139,595 | 3.76% | $109,215 | 3.12% | $65,510 | 1.47% | 0.00% | 3.12% |
2013 | 10 | 0.49% | $39,248 | 1.45% | $141,625 | 3.02% | $112,513 | 4.59% | $68,515 | 0.49% | 0.00% | 4.59% |
2013 | 11 | -0.14% | $39,195 | -0.41% | $141,038 | 1.31% | $113,984 | 3.03% | $70,590 | -0.14% | 0.00% | 3.03% |
2013 | 12 | -1.49% | $38,611 | -4.48% | $134,721 | -0.98% | $112,863 | 2.51% | $72,364 | -1.49% | 0.01% | 2.51% |
2014 | 1 | 1.67% | $39,254 | 4.98% | $141,434 | 0.76% | $113,718 | -3.47% | $69,854 | 1.67% | 0.01% | -3.47% |
2014 | 2 | 0.21% | $39,336 | 0.63% | $142,321 | 2.59% | $116,668 | 4.56% | $73,040 | 0.21% | 0.00% | 4.56% |
2014 | 3 | -0.60% | $39,101 | -1.81% | $139,751 | -0.49% | $116,095 | 0.82% | $73,641 | -0.60% | 0.00% | 0.82% |
2014 | 4 | 0.49% | $39,293 | 1.47% | $141,802 | 1.10% | $117,367 | 0.72% | $74,175 | 0.49% | 0.00% | 0.72% |
2014 | 5 | 1.03% | $39,698 | 3.08% | $146,175 | 2.71% | $120,547 | 2.33% | $75,907 | 1.03% | 0.00% | 2.33% |
2014 | 6 | -0.13% | $39,646 | -0.40% | $145,594 | 0.83% | $121,544 | 2.05% | $77,464 | -0.13% | 0.00% | 2.05% |
2014 | 7 | -0.39% | $39,491 | -1.18% | $143,880 | -1.28% | $119,985 | -1.39% | $76,389 | -0.39% | 0.00% | -1.39% |
2014 | 8 | 1.03% | $39,899 | 3.09% | $148,330 | 3.54% | $124,229 | 3.98% | $79,430 | 1.03% | 0.00% | 3.98% |
2014 | 9 | -0.66% | $39,637 | -1.97% | $145,404 | -1.69% | $122,127 | -1.41% | $78,308 | -0.66% | 0.00% | -1.41% |
2014 | 10 | 1.12% | $40,082 | 3.36% | $150,295 | 2.89% | $125,660 | 2.42% | $80,206 | 1.12% | 0.00% | 2.42% |
2014 | 11 | 0.84% | $40,421 | 2.53% | $154,099 | 2.61% | $128,936 | 2.68% | $82,357 | 0.84% | 0.00% | 2.68% |
2014 | 12 | -0.35% | $40,278 | -1.06% | $152,463 | -0.66% | $128,081 | -0.26% | $82,140 | -0.35% | 0.00% | -0.26% |
2015 | 1 | 2.70% | $41,364 | 8.09% | $164,790 | 2.53% | $131,326 | -3.02% | $79,661 | 2.70% | 0.00% | -3.02% |
2015 | 2 | -1.59% | $40,708 | -4.76% | $156,939 | 0.49% | $131,967 | 5.74% | $84,233 | -1.59% | 0.00% | 5.74% |
2015 | 3 | 0.76% | $41,019 | 2.29% | $160,526 | 0.35% | $132,424 | -1.59% | $82,891 | 0.76% | 0.00% | -1.59% |
2015 | 4 | -0.21% | $40,932 | -0.64% | $159,499 | 0.15% | $132,628 | 0.95% | $83,678 | -0.21% | 0.00% | 0.95% |
2015 | 5 | -0.12% | $40,882 | -0.37% | $158,915 | 0.45% | $133,229 | 1.27% | $84,742 | -0.12% | 0.00% | 1.27% |
2015 | 6 | -0.74% | $40,580 | -2.22% | $155,392 | -2.07% | $130,465 | -1.93% | $83,104 | -0.74% | 0.00% | -1.93% |
2015 | 7 | 0.85% | $40,923 | 2.54% | $159,334 | 2.31% | $133,477 | 2.08% | $84,833 | 0.85% | 0.00% | 2.08% |
2015 | 8 | -0.03% | $40,909 | -0.12% | $159,146 | -3.08% | $129,363 | -6.05% | $79,704 | -0.03% | 0.01% | -6.05% |
2015 | 9 | 1.19% | $41,395 | 3.55% | $164,793 | 0.53% | $130,050 | -2.48% | $77,723 | 1.19% | 0.01% | -2.48% |
2015 | 10 | -0.47% | $41,200 | -1.41% | $162,461 | 3.50% | $134,607 | 8.42% | $84,270 | -0.47% | 0.00% | 8.42% |
2015 | 11 | -0.39% | $41,039 | -1.18% | $160,537 | -0.45% | $134,003 | 0.29% | $84,511 | -0.39% | 0.01% | 0.29% |
2015 | 12 | -0.38% | $40,884 | -1.17% | $158,658 | -1.38% | $132,152 | -1.59% | $83,165 | -0.38% | 0.02% | -1.59% |
2016 | 1 | 2.36% | $41,848 | 7.05% | $169,838 | 1.03% | $133,519 | -4.98% | $79,026 | 2.36% | 0.01% | -4.98% |
2016 | 2 | 0.82% | $42,190 | 2.40% | $173,915 | 1.13% | $135,025 | -0.15% | $78,911 | 0.82% | 0.03% | -0.15% |
2016 | 3 | 0.22% | $42,283 | 0.60% | $174,964 | 3.69% | $140,006 | 6.78% | $84,258 | 0.22% | 0.03% | 6.78% |
2016 | 4 | -0.13% | $42,228 | -0.42% | $174,225 | -0.02% | $139,972 | 0.37% | $84,573 | -0.13% | 0.02% | 0.37% |
2016 | 5 | -0.21% | $42,141 | -0.66% | $173,077 | 0.56% | $140,759 | 1.78% | $86,081 | -0.21% | 0.02% | 1.78% |
2016 | 6 | 2.05% | $43,003 | 6.08% | $183,602 | 3.17% | $145,215 | 0.25% | $86,296 | 2.05% | 0.03% | 0.25% |
2016 | 7 | 0.04% | $43,022 | 0.09% | $183,768 | 1.88% | $147,950 | 3.68% | $89,468 | 0.04% | 0.02% | 3.68% |
2016 | 8 | -0.72% | $42,710 | -2.22% | $179,692 | -1.04% | $146,405 | 0.13% | $89,584 | -0.72% | 0.02% | 0.13% |
2016 | 9 | 0.29% | $42,833 | 0.80% | $181,138 | 0.41% | $147,000 | 0.01% | $89,592 | 0.29% | 0.03% | 0.01% |
2016 | 10 | -0.73% | $42,518 | -2.25% | $177,063 | -2.04% | $143,999 | -1.83% | $87,949 | -0.73% | 0.02% | -1.83% |
2016 | 11 | -2.65% | $41,391 | -8.01% | $162,883 | -2.15% | $140,896 | 3.70% | $91,203 | -2.65% | 0.03% | 3.70% |
2016 | 12 | -0.05% | $41,370 | -0.24% | $162,498 | 0.86% | $142,112 | 1.96% | $92,993 | -0.05% | 0.04% | 1.96% |
2017 | 1 | 0.30% | $41,495 | 0.82% | $163,838 | 1.35% | $144,036 | 1.88% | $94,744 | 0.30% | 0.04% | 1.88% |
2017 | 2 | 0.39% | $41,658 | 1.09% | $165,631 | 2.53% | $147,679 | 3.96% | $98,498 | 0.39% | 0.04% | 3.96% |
2017 | 3 | 0.07% | $41,686 | 0.11% | $165,812 | 0.10% | $147,833 | 0.10% | $98,597 | 0.07% | 0.04% | 0.10% |
2017 | 4 | 0.77% | $42,008 | 2.20% | $169,457 | 1.61% | $150,210 | 1.02% | $99,601 | 0.77% | 0.06% | 1.02% |
2017 | 5 | 0.59% | $42,258 | 1.65% | $172,248 | 1.52% | $152,494 | 1.39% | $100,989 | 0.59% | 0.07% | 1.39% |
2017 | 6 | -0.47% | $42,057 | -1.58% | $169,521 | -0.49% | $151,753 | 0.61% | $101,606 | -0.47% | 0.08% | 0.61% |
2017 | 7 | 0.42% | $42,232 | 1.08% | $171,355 | 1.56% | $154,124 | 2.04% | $103,682 | 0.42% | 0.08% | 2.04% |
2017 | 8 | 0.86% | $42,596 | 2.41% | $175,481 | 1.35% | $156,206 | 0.29% | $103,986 | 0.86% | 0.09% | 0.29% |
2017 | 9 | -0.83% | $42,241 | -2.67% | $170,798 | -0.30% | $155,730 | 2.06% | $106,127 | -0.83% | 0.08% | 2.06% |
2017 | 10 | -0.21% | $42,154 | -0.79% | $169,450 | 0.76% | $156,920 | 2.32% | $108,587 | -0.21% | 0.09% | 2.32% |
2017 | 11 | -0.39% | $41,990 | -1.35% | $167,156 | 0.85% | $158,258 | 3.06% | $111,909 | -0.39% | 0.09% | 3.06% |
2017 | 12 | 0.07% | $42,019 | -0.01% | $167,144 | 0.55% | $159,124 | 1.10% | $113,142 | 0.07% | 0.10% | 1.10% |
2018 | 1 | -1.56% | $41,365 | -4.89% | $158,964 | 0.41% | $159,776 | 5.71% | $119,605 | -1.56% | 0.11% | 5.71% |
2018 | 2 | -0.49% | $41,164 | -1.70% | $156,259 | -2.70% | $155,465 | -3.69% | $115,186 | -0.49% | 0.12% | -3.69% |
2018 | 3 | 0.75% | $41,471 | 1.97% | $159,331 | -0.29% | $155,007 | -2.56% | $112,243 | 0.75% | 0.14% | -2.56% |
2018 | 4 | -0.92% | $41,091 | -3.03% | $154,500 | -1.33% | $152,946 | 0.37% | $112,662 | -0.92% | 0.14% | 0.37% |
2018 | 5 | 0.76% | $41,402 | 1.97% | $157,536 | 2.18% | $156,280 | 2.39% | $115,360 | 0.76% | 0.15% | 2.39% |
2018 | 6 | 0.11% | $41,446 | -0.00% | $157,535 | 0.30% | $156,752 | 0.61% | $116,058 | 0.11% | 0.16% | 0.61% |
2018 | 7 | -0.35% | $41,301 | -1.37% | $155,383 | 1.17% | $158,588 | 3.71% | $120,362 | -0.35% | 0.16% | 3.71% |
2018 | 8 | 0.77% | $41,618 | 1.97% | $158,445 | 2.61% | $162,725 | 3.25% | $124,270 | 0.77% | 0.17% | 3.25% |
2018 | 9 | -0.82% | $41,279 | -2.79% | $154,022 | -1.12% | $160,905 | 0.55% | $124,959 | -0.82% | 0.17% | 0.55% |
2018 | 10 | -0.06% | $41,252 | -0.55% | $153,168 | -3.70% | $154,949 | -6.85% | $116,400 | -0.06% | 0.18% | -6.85% |
2018 | 11 | 0.96% | $41,649 | 2.51% | $157,011 | 2.27% | $158,463 | 2.03% | $118,759 | 0.96% | 0.19% | 2.03% |
2018 | 12 | 1.90% | $42,440 | 5.31% | $165,342 | -1.87% | $155,504 | -9.04% | $108,023 | 1.90% | 0.19% | -9.04% |
2019 | 1 | 0.58% | $42,688 | 1.35% | $167,578 | 4.68% | $162,777 | 8.00% | $116,667 | 0.58% | 0.20% | 8.00% |
2019 | 2 | -0.26% | $42,575 | -1.19% | $165,587 | 1.01% | $164,415 | 3.20% | $120,401 | -0.26% | 0.20% | 3.20% |
2019 | 3 | 1.78% | $43,332 | 4.93% | $173,755 | 3.43% | $170,062 | 1.94% | $122,733 | 1.78% | 0.20% | 1.94% |
2019 | 4 | -0.05% | $43,312 | -0.53% | $172,828 | 1.75% | $173,045 | 4.04% | $127,693 | -0.05% | 0.20% | 4.04% |
2019 | 5 | 2.05% | $44,200 | 5.75% | $182,765 | -0.31% | $172,513 | -6.36% | $119,566 | 2.05% | 0.20% | -6.36% |
2019 | 6 | 1.02% | $44,651 | 2.68% | $187,663 | 4.86% | $180,891 | 7.03% | $127,975 | 1.02% | 0.19% | 7.03% |
2019 | 7 | -0.16% | $44,579 | -0.83% | $186,108 | 0.30% | $181,431 | 1.43% | $129,799 | -0.16% | 0.17% | 1.43% |
2019 | 8 | 2.48% | $45,684 | 7.09% | $199,301 | 2.75% | $186,418 | -1.59% | $127,734 | 2.48% | 0.17% | -1.59% |
2019 | 9 | -0.70% | $45,366 | -2.41% | $194,488 | -0.28% | $185,900 | 1.86% | $130,109 | -0.70% | 0.16% | 1.86% |
2019 | 10 | 0.16% | $45,440 | 0.18% | $194,847 | 1.17% | $188,075 | 2.15% | $132,912 | 0.16% | 0.15% | 2.15% |
2019 | 11 | -0.37% | $45,274 | -1.35% | $192,216 | 1.14% | $190,209 | 3.62% | $137,724 | -0.37% | 0.13% | 3.62% |
2019 | 12 | -0.36% | $45,109 | -1.35% | $189,612 | 0.83% | $191,779 | 3.01% | $141,864 | -0.36% | 0.13% | 3.01% |
Style Category | Portfolio 1 | Vanguard 500 Index Investor |
---|---|---|
Large-cap Value | 0.00% | 47.15% |
Large-cap Growth | 0.00% | 52.66% |
Mid-cap Value | 0.53% | 0.00% |
Mid-cap Growth | 0.00% | 0.00% |
Small-cap Value | 0.00% | 0.00% |
Small-cap Growth | 0.00% | 0.00% |
Global ex-US Developed Markets | 0.92% | 0.00% |
Emerging Markets | 0.31% | 0.00% |
Corporate Bonds | 0.00% | 0.00% |
Long-Term Treasuries | 0.00% | 0.00% |
Intermediate-Term Treasuries | 63.58% | 0.20% |
Short-Term Treasuries | 34.66% | 0.00% |
R Squared | 97.51% | 99.92% |
Style analysis is based on monthly returns from April 2005 to December 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. |
Ticker | Name | Category | Weight | Yield | Expense Ratio | Duration | Contribution | |||
---|---|---|---|---|---|---|---|---|---|---|
SEC | TTM | Net | Gross | Return | Risk | |||||
VFITX | Vanguard Interm-Term Treasury Inv | Intermediate Government | 100.00% | 3.68% | 1.97% | 0.20% | 0.20% | 5.27 | $35,109 | 100.00% |
Fund fundamentals data as of 01/27/2023. (c) 2023 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.
Metric | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor |
---|---|---|---|---|
Arithmetic Mean (monthly) | 0.46% | 0.96% | 0.91% | 0.87% |
Arithmetic Mean (annualized) | 5.61% | 12.09% | 11.53% | 10.98% |
Geometric Mean (monthly) | 0.45% | 0.87% | 0.88% | 0.79% |
Geometric Mean (annualized) | 5.49% | 11.01% | 11.06% | 9.87% |
Standard Deviation (monthly) | 1.36% | 4.05% | 2.69% | 4.08% |
Standard Deviation (annualized) | 4.72% | 14.04% | 9.31% | 14.13% |
Downside Deviation (monthly) | 0.72% | 2.33% | 1.52% | 2.70% |
Maximum Drawdown | -6.47% | -24.16% | -19.81% | -50.97% |
Stock Market Correlation | -0.15 | -0.15 | 0.64 | 0.99 |
Beta(*) | -0.04 | -0.13 | 0.44 | 1.00 |
Alpha (annualized) | 5.90% | 12.78% | 6.39% | -0.00% |
R2 | 1.53% | 1.60% | 44.03% | 100.00% |
Sharpe Ratio | 0.64 | 0.64 | 0.91 | 0.57 |
Sortino Ratio | 1.07 | 1.07 | 1.52 | 0.83 |
Treynor Ratio (%) | -72.52 | -71.55 | 19.42 | 7.99 |
Calmar Ratio | 0.83 | 0.42 | 2.20 | 1.12 |
Active Return | -4.38% | 1.14% | 1.18% | N/A |
Tracking Error | 15.44% | 21.14% | 10.57% | N/A |
Information Ratio | -0.28 | 0.05 | 0.11 | N/A |
Skewness | 0.08 | 0.09 | -0.18 | -0.65 |
Excess Kurtosis | 0.69 | 0.73 | 1.77 | 1.42 |
Historical Value-at-Risk (5%) | -1.72% | -5.34% | -3.58% | -6.44% |
Analytical Value-at-Risk (5%) | -1.78% | -5.70% | -3.50% | -5.84% |
Conditional Value-at-Risk (5%) | -2.49% | -7.82% | -5.29% | -9.21% |
Upside Capture Ratio (%) | 10.59 | 18.42 | 58.28 | 100.00 |
Downside Capture Ratio (%) | -18.68 | -42.30 | 30.30 | 100.00 |
Safe Withdrawal Rate | 5.88% | 10.49% | 10.10% | 8.55% |
Perpetual Withdrawal Rate | 2.99% | 7.68% | 7.71% | 6.75% |
Positive Periods | 215 out of 338 (63.61%) | 198 out of 338 (58.58%) | 226 out of 338 (66.86%) | 225 out of 338 (66.57%) |
Gain/Loss Ratio | 1.37 | 1.31 | 1.21 | 0.86 |
* Vanguard 500 Index Investor is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. |
Stress Period | Start | End | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor |
---|---|---|---|---|---|---|
Asian Crisis | Jul 1997 | Jan 1998 | -0.99% | -3.84% | -4.73% | -5.61% |
Russian Debt Default | Jul 1998 | Oct 1998 | -0.77% | -3.02% | -3.46% | -15.38% |
Dotcom Crash | Mar 2000 | Oct 2002 | -4.03% | -13.34% | -5.82% | -44.82% |
Subprime Crisis | Nov 2007 | Mar 2009 | -3.43% | -10.56% | -19.81% | -50.97% |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Feb 1994 | Nov 1994 | 10 months | Apr 1995 | 5 months | 1 year 3 months | -6.47% |
2 | Feb 1996 | May 1996 | 4 months | Oct 1996 | 5 months | 9 months | -4.86% |
3 | Oct 1998 | Jan 2000 | 1 year 4 months | Jun 2000 | 5 months | 1 year 9 months | -4.67% |
4 | Aug 2016 | Apr 2018 | 1 year 9 months | Mar 2019 | 11 months | 2 years 8 months | -4.49% |
5 | May 2013 | Aug 2013 | 4 months | Nov 2014 | 1 year 3 months | 1 year 7 months | -4.30% |
6 | Jun 2003 | Jul 2003 | 2 months | Feb 2004 | 7 months | 9 months | -4.29% |
7 | Nov 2001 | Mar 2002 | 5 months | Jun 2002 | 3 months | 8 months | -4.03% |
8 | Apr 2004 | May 2004 | 2 months | Oct 2004 | 5 months | 7 months | -3.74% |
9 | Nov 2010 | Mar 2011 | 5 months | Jul 2011 | 4 months | 9 months | -3.50% |
10 | Apr 2008 | May 2008 | 2 months | Nov 2008 | 6 months | 8 months | -3.43% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Feb 1994 | Nov 1994 | 10 months | May 1995 | 6 months | 1 year 4 months | -24.16% |
2 | Oct 1998 | Jan 2000 | 1 year 4 months | Dec 2000 | 11 months | 2 years 3 months | -23.95% |
3 | Feb 1996 | May 1996 | 4 months | Jul 1997 | 1 year 2 months | 1 year 6 months | -17.03% |
4 | Aug 2016 | Oct 2018 | 2 years 3 months | Jun 2019 | 8 months | 2 years 11 months | -16.65% |
5 | Nov 2001 | Mar 2002 | 5 months | Jun 2002 | 3 months | 8 months | -13.34% |
6 | Jun 2003 | Jul 2003 | 2 months | Mar 2004 | 8 months | 10 months | -13.07% |
7 | Jul 2005 | Jun 2006 | 1 year | Aug 2007 | 1 year 2 months | 2 years 2 months | -12.70% |
8 | May 2013 | Aug 2013 | 4 months | Nov 2014 | 1 year 3 months | 1 year 7 months | -12.56% |
9 | Apr 2004 | May 2004 | 2 months | Oct 2004 | 5 months | 7 months | -11.43% |
10 | Apr 2008 | May 2008 | 2 months | Nov 2008 | 6 months | 8 months | -10.56% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Apr 2008 | Feb 2009 | 11 months | Sep 2009 | 7 months | 1 year 6 months | -19.81% |
2 | Feb 1994 | Nov 1994 | 10 months | May 1995 | 6 months | 1 year 4 months | -14.34% |
3 | Feb 1999 | Sep 1999 | 8 months | Mar 2000 | 6 months | 1 year 2 months | -7.32% |
4 | Feb 1996 | Jul 1996 | 6 months | Oct 1996 | 3 months | 9 months | -6.43% |
5 | Jan 1992 | Mar 1992 | 3 months | Jun 1992 | 3 months | 6 months | -6.03% |
6 | Apr 2004 | May 2004 | 2 months | Oct 2004 | 5 months | 7 months | -5.90% |
7 | Feb 2001 | Mar 2001 | 2 months | Aug 2002 | 1 year 5 months | 1 year 7 months | -5.82% |
8 | Dec 1996 | Mar 1997 | 4 months | May 1997 | 2 months | 6 months | -5.20% |
9 | Jun 2003 | Jul 2003 | 2 months | Oct 2003 | 3 months | 5 months | -5.12% |
10 | May 2013 | Aug 2013 | 4 months | Oct 2013 | 2 months | 6 months | -4.99% |
Worst 10 drawdowns included above |
Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
---|---|---|---|---|---|---|---|
1 | Nov 2007 | Feb 2009 | 1 year 4 months | Aug 2012 | 3 years 6 months | 4 years 10 months | -50.97% |
2 | Sep 2000 | Sep 2002 | 2 years 1 month | Nov 2006 | 4 years 2 months | 6 years 3 months | -44.82% |
3 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
4 | Oct 2018 | Dec 2018 | 3 months | Apr 2019 | 4 months | 7 months | -13.55% |
5 | Aug 2015 | Sep 2015 | 2 months | May 2016 | 8 months | 10 months | -8.38% |
6 | Feb 1994 | Mar 1994 | 2 months | Aug 1994 | 5 months | 7 months | -6.98% |
7 | Jan 2000 | Feb 2000 | 2 months | Mar 2000 | 1 month | 3 months | -6.84% |
8 | May 2019 | May 2019 | 1 month | Jun 2019 | 1 month | 2 months | -6.36% |
9 | Jul 1999 | Sep 1999 | 3 months | Nov 1999 | 2 months | 5 months | -6.25% |
10 | Feb 2018 | Mar 2018 | 2 months | Jul 2018 | 4 months | 6 months | -6.16% |
Worst 10 drawdowns included above |
Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio | Market Correlation |
---|---|---|---|---|---|---|---|---|---|
VFITX | Vanguard Interm-Term Treasury Inv | 5.49% | 4.72% | 20.44% | -4.33% | -6.47% | 0.64 | 1.07 | -0.15 |
CASHX | Cash | 2.50% | 0.59% | 5.99% | 0.03% | 0.00% | N/A | N/A | 0.01 |
VFINX | Vanguard 500 Index Investor | 9.87% | 14.13% | 37.45% | -37.02% | -50.97% | 0.57 | 0.83 | 0.99 |
Name | Total Return | Annualized Return | Expense Ratio | |||||
---|---|---|---|---|---|---|---|---|
3 Month | Year To Date | 1 year | 3 year | 5 year | 10 year | Net | Gross | |
Vanguard Interm-Term Treasury Inv | -0.57% | 6.29% | 6.29% | 2.93% | 2.29% | 3.20% | 0.20% | 0.20% |
Cash | 0.41% | 2.13% | 2.13% | 1.64% | 1.05% | 0.56% | ||
Vanguard 500 Index Investor | 9.03% | 31.33% | 31.33% | 15.12% | 11.55% | 13.40% | 0.14% | 0.14% |
Trailing returns as of last calendar month ending December 2019 |
Ticker | Name | VFITX | CASHX | VFINX | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor |
---|---|---|---|---|---|---|---|---|
VFITX | Vanguard Interm-Term Treasury Inv | 1.00 | 0.14 | -0.12 | 1.00 | 1.00 | 0.66 | -0.12 |
CASHX | Cash | 0.14 | 1.00 | 0.02 | 0.14 | 0.05 | 0.06 | 0.02 |
VFINX | Vanguard 500 Index Investor | -0.12 | 0.02 | 1.00 | -0.12 | -0.13 | 0.66 | 1.00 |
Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|
VFITX | Vanguard Interm-Term Treasury Inv | $35,109 | $236,915 | $109,046 |
CASHX | Cash | -$57,303 | -$28,830 | |
VFINX | Vanguard 500 Index Investor | $101,564 | ||
Return attribution decomposes portfolio gains into its constituent parts and identifies the contribution to returns by each of the assets. |
Ticker | Name | Portfolio 1 | Portfolio 2 | Portfolio 3 |
---|---|---|---|---|
VFITX | Vanguard Interm-Term Treasury Inv | 100.00% | 100.46% | 50.00% |
CASHX | Cash | -0.46% | -0.36% | |
VFINX | Vanguard 500 Index Investor | 50.36% | ||
Risk attribution decomposes portfolio risk into its constituent parts and identifies the contribution to overall volatility by each of the assets. |
Roll Period | Portfolio 1 | Portfolio 2 | Portfolio 3 | Vanguard 500 Index Investor | ||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Average | High | Low | Average | High | Low | Average | High | Low | Average | High | Low | |
1 year | 5.55% | 20.44% | -5.29% | 11.91% | 54.95% | -21.88% | 11.26% | 46.24% | -18.99% | 10.93% | 53.61% | -43.32% |
3 years | 5.34% | 12.45% | -0.09% | 10.73% | 32.49% | -2.83% | 10.75% | 25.47% | -0.00% | 10.11% | 32.68% | -16.14% |
5 years | 5.47% | 8.91% | 0.43% | 11.06% | 22.34% | 0.21% | 10.78% | 20.12% | 1.50% | 9.51% | 28.49% | -6.73% |
7 years | 5.55% | 8.94% | 1.01% | 11.28% | 17.61% | 1.96% | 10.57% | 18.30% | 4.88% | 8.65% | 21.51% | -3.94% |
10 years | 5.71% | 8.12% | 2.40% | 11.80% | 15.84% | 6.10% | 10.18% | 14.26% | 4.96% | 7.22% | 16.52% | -3.51% |
15 years | 5.64% | 7.22% | 3.41% | 11.53% | 14.29% | 7.30% | 9.93% | 12.25% | 8.38% | 6.98% | 11.23% | 3.64% |