Backtest Portfolio Asset Allocation

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

The related asset class level portfolio modeling tool allows you to analyze and compare asset class level portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
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Asset 2
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Asset 3
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Asset 4
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Asset 5
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Asset 6
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Asset 7
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Asset 8
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Asset 9
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Asset 10
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Portfolio Analysis Results (Jan 1992 - Aug 2020)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 90.00%
VFITX Vanguard Interm-Term Treasury Inv 60.00%
CASHX Cash -50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$209,397 11.19% 12.76%44.48%-28.77%-42.87% 0.711.080.96
Vanguard 500 Index Investor$10,000$145,447 9.79% 14.43%37.45%-37.02%-50.97% 0.550.800.99
   

Trailing Returns

Trailing Returns
Name3 MonthYTD1 year3 year5 year10 yearFull
Portfolio 114.19%14.47%24.47%15.44%14.77%15.28%11.19%
Vanguard 500 Index Investor15.45%9.65%21.77%14.37%14.31%15.00%9.79%
Trailing returns are for full months ending in August 2020 excluding portfolio cashflows.
Notes on results:
  • Past performance is no guarantee of future results, which may vary. All use is subject to terms of service.
  • Investing involves risk, including possible loss of principal. The value of the investments and the income derived from them may fluctuate over time.
  • All portfolio returns presented are hypothetical and backtested. Hypothetical returns do not reflect trading costs, transaction fees, or taxes.
  • The results are based on information from a variety of sources we consider reliable, but we do not represent that the information is accurate or complete.
  • The results do not constitute investment advice or recommendation, are provided solely for informational purposes, and are not an offer to buy or sell any securities.
  • The results are based on the total return of assets and assume that all received dividends and distributions are reinvested.
  • The annual results for 2020 are based on monthly returns 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 (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume bands based (5.00% corridor) rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Interm-Term Treasury Inv (VFITX)Cash (CASHX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
19922.90%9.49%7.42%$10,949$10,7427.42%7.78%3.57%
19932.75%14.17%9.89%$12,501$11,8059.89%11.43%3.05%
19942.67%-3.60%1.18%$12,051$11,9441.18%-4.33%4.20%
19952.54%44.48%37.45%$17,411$16,41637.45%20.44%5.71%
19963.32%18.72%22.88%$20,671$20,17222.88%1.92%5.17%
19971.70%32.86%33.19%$27,464$26,86733.19%8.96%5.22%
19981.61%30.42%28.62%$35,820$34,55528.62%10.61%4.97%
19992.68%13.99%21.07%$40,833$41,83621.07%-3.52%4.77%
20003.39%-3.32%-9.06%$39,477$38,047-9.06%14.03%5.99%
20011.55%-7.69%-12.02%$36,441$33,473-12.02%7.55%3.70%
20022.38%-13.07%-22.15%$31,677$26,060-22.15%14.15%1.65%
20031.88%26.45%28.50%$40,055$33,48828.50%2.37%1.04%
20043.26%11.03%10.74%$44,473$37,08410.74%3.40%1.32%
20053.42%4.11%4.77%$46,299$38,8554.77%2.32%3.14%
20062.54%13.45%15.64%$52,525$44,93215.64%3.14%4.82%
20074.08%8.61%5.39%$57,047$47,3535.39%9.98%4.56%
20080.09%-28.77%-37.02%$40,633$29,822-37.02%13.32%1.53%
20092.72%22.54%26.49%$49,793$37,72126.49%-1.69%0.16%
20101.50%18.00%14.91%$58,756$43,34714.91%7.35%0.14%
20112.96%8.44%1.97%$63,713$44,1991.97%9.80%0.07%
20121.74%15.91%15.82%$73,850$51,19315.82%2.67%0.08%
20131.50%26.28%32.18%$93,259$67,66532.18%-3.09%0.05%
20140.76%14.82%13.51%$107,077$76,80613.51%4.32%0.03%
20150.73%1.96%1.25%$109,176$77,7641.25%1.50%0.05%
20162.07%11.16%11.82%$121,363$86,95411.82%1.19%0.30%
20172.11%19.91%21.67%$145,525$105,79521.67%1.57%0.88%
20181.91%-4.10%-4.52%$139,565$101,008-4.52%1.00%1.90%
20192.29%31.07%31.33%$182,926$132,65131.33%6.29%2.13%
20200.83%14.47%9.65%$209,397$145,4479.65%8.29%0.41%
Annual returns for 2020 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Interm-Term Treasury Inv (VFITX)Cash (CASHX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
19921-3.15%-1.88%$9,685$9,812-1.88%-2.15%0.33%
199221.28%1.24%$9,809$9,9341.24%0.52%0.32%
19923-2.47%-1.93%$9,567$9,743-1.93%-0.91%0.33%
199242.83%2.91%$9,838$10,0262.91%0.57%0.34%
199251.58%0.48%$9,993$10,0750.48%2.18%0.31%
19926-0.41%-1.49%$9,952$9,925-1.49%1.82%0.31%
199275.33%4.04%$10,483$10,3264.04%3.07%0.30%
19928-1.23%-2.07%$10,354$10,113-2.07%1.20%0.27%
199291.95%1.17%$10,556$10,2311.17%1.73%0.26%
199210-0.87%0.33%$10,465$10,2650.33%-1.71%0.23%
1992112.58%3.40%$10,735$10,6143.40%-0.46%0.25%
1992121.99%1.21%$10,949$10,7421.21%1.80%0.27%
199312.17%0.81%$11,187$10,8290.81%2.72%0.26%
199322.62%1.36%$11,480$10,9761.36%2.53%0.24%
199331.99%2.11%$11,708$11,2072.11%0.40%0.25%
19934-1.72%-2.42%$11,507$10,935-2.42%0.93%0.24%
199352.13%2.65%$11,752$11,2252.65%-0.15%0.24%
199361.41%0.27%$11,918$11,2550.27%2.20%0.26%
19937-0.48%-0.42%$11,861$11,208-0.42%0.02%0.25%
199384.49%3.79%$12,394$11,6323.79%2.18%0.25%
19939-0.44%-0.79%$12,339$11,540-0.79%0.62%0.25%
1993101.74%2.08%$12,554$11,7792.08%0.09%0.24%
199311-1.72%-1.00%$12,339$11,662-1.00%-1.16%0.25%
1993121.31%1.22%$12,501$11,8051.22%0.56%0.26%
199413.81%3.38%$12,977$12,2043.38%1.49%0.25%
19942-4.00%-2.71%$12,458$11,872-2.71%-2.46%0.25%
19943-5.69%-4.39%$11,749$11,351-4.39%-2.62%0.28%
199440.47%1.29%$11,805$11,4981.29%-0.92%0.29%
199451.42%1.60%$11,973$11,6821.60%0.18%0.32%
19946-2.66%-2.45%$11,655$11,396-2.45%-0.33%0.35%
199473.90%3.28%$12,109$11,7703.28%1.70%0.35%
199483.76%4.08%$12,564$12,2494.08%0.30%0.36%
19949-3.48%-2.45%$12,127$11,950-2.45%-1.79%0.38%
1994101.74%2.25%$12,338$12,2182.25%-0.26%0.39%
199411-3.86%-3.65%$11,862$11,772-3.65%-0.38%0.42%
1994121.59%1.46%$12,051$11,9441.46%0.79%0.47%
199513.31%2.58%$12,450$12,2522.58%1.94%0.47%
199524.84%3.88%$13,052$12,7283.88%2.58%0.49%
199532.80%2.95%$13,418$13,1042.95%0.57%0.48%
199543.33%2.94%$13,865$13,4892.94%1.56%0.48%
199556.16%3.95%$14,719$14,0223.95%4.74%0.48%
199562.29%2.31%$15,056$14,3462.31%0.81%0.47%
199572.34%3.30%$15,409$14,8203.30%-0.61%0.46%
199580.80%0.26%$15,531$14,8600.26%1.31%0.46%
199594.09%4.21%$16,166$15,4864.21%0.90%0.44%
1995100.49%-0.36%$16,246$15,429-0.36%1.76%0.44%
1995114.74%4.38%$17,015$16,1054.38%1.82%0.45%
1995122.32%1.93%$17,411$16,4161.93%1.44%0.45%
199613.25%3.39%$17,977$16,9723.39%0.69%0.42%
19962-0.76%0.92%$17,841$17,1290.92%-2.38%0.41%
199630.07%0.98%$17,853$17,2960.98%-1.09%0.41%
199640.55%1.46%$17,951$17,5481.46%-1.03%0.42%
199651.91%2.54%$18,295$17,9942.54%-0.44%0.42%
199661.04%0.38%$18,485$18,0630.38%1.51%0.42%
19967-4.07%-4.42%$17,732$17,265-4.42%0.14%0.42%
199681.42%2.10%$17,984$17,6272.10%-0.35%0.44%
199695.96%5.61%$19,056$18,6155.61%1.91%0.43%
1996103.72%2.76%$19,764$19,1282.76%2.48%0.41%
1996117.65%7.56%$21,275$20,5757.56%2.04%0.42%
199612-2.84%-1.96%$20,671$20,172-1.96%-1.45%0.42%
199715.45%6.22%$21,798$21,4266.22%0.06%0.43%
199720.57%0.79%$21,922$21,5950.79%0.10%0.42%
19973-4.73%-4.14%$20,885$20,702-4.14%-1.30%0.43%
199746.19%5.96%$22,179$21,9355.96%1.61%0.44%
199755.83%6.09%$23,472$23,2706.09%0.83%0.43%
199764.41%4.45%$24,507$24,3074.45%1.00%0.40%
199778.61%7.97%$26,617$26,2437.97%2.85%0.43%
19978-5.86%-5.61%$25,057$24,771-5.61%-0.99%0.43%
199795.62%5.47%$26,467$26,1255.47%1.47%0.43%
199710-2.21%-3.35%$25,881$25,250-3.35%1.66%0.41%
1997114.06%4.60%$26,930$26,4114.60%0.31%0.43%
1997121.98%1.72%$27,464$26,8671.72%1.09%0.43%
199811.80%1.11%$27,959$27,1651.11%1.73%0.44%
199825.89%7.19%$29,607$29,1197.19%-0.38%0.43%
199834.46%5.10%$30,927$30,6055.10%0.14%0.44%
199840.99%1.01%$31,233$30,9141.01%0.49%0.42%
19985-1.21%-1.74%$30,855$30,375-1.74%0.98%0.41%
199864.01%4.07%$32,093$31,6114.07%0.95%0.41%
19987-1.01%-1.05%$31,767$31,278-1.05%0.22%0.42%
19988-11.32%-14.47%$28,170$26,751-14.47%3.20%0.42%
199897.75%6.41%$30,355$28,4666.41%3.64%0.40%
1998106.64%8.16%$32,370$30,7908.16%-0.77%0.36%
1998115.08%6.07%$34,014$32,6606.07%-0.35%0.36%
1998125.31%5.81%$35,820$34,5555.81%0.38%0.37%
199913.99%4.20%$37,250$36,0084.20%0.65%0.37%
19992-4.77%-3.12%$35,473$34,883-3.12%-3.07%0.37%
199933.81%4.00%$36,824$36,2774.00%0.58%0.38%
199943.51%3.85%$38,117$37,6743.85%0.28%0.37%
19995-3.12%-2.39%$36,927$36,774-2.39%-1.37%0.37%
199964.80%5.56%$38,698$38,8185.56%-0.26%0.38%
19997-3.28%-3.13%$37,428$37,603-3.13%-0.45%0.39%
19998-0.69%-0.50%$37,169$37,416-0.50%-0.07%0.39%
19999-2.01%-2.74%$36,422$36,391-2.74%1.08%0.41%
1999105.52%6.33%$38,432$38,6936.33%0.12%0.40%
1999111.56%2.02%$39,031$39,4762.02%-0.08%0.42%
1999124.62%5.98%$40,833$41,8365.98%-0.94%0.43%
20001-5.05%-5.03%$38,770$39,731-5.03%-0.46%0.43%
20002-1.38%-1.91%$38,235$38,973-1.91%1.00%0.47%
200039.81%9.76%$41,987$42,7779.76%2.04%0.47%
20004-3.08%-3.01%$40,695$41,491-3.01%-0.26%0.48%
20005-1.97%-2.04%$39,892$40,645-2.04%0.16%0.48%
200063.30%2.49%$41,209$41,6562.49%2.20%0.46%
20007-1.19%-1.49%$40,717$41,035-1.49%0.62%0.48%
200086.20%6.19%$43,242$43,5756.19%1.62%0.51%
20009-4.48%-5.29%$41,304$41,270-5.29%0.89%0.52%
200010-0.08%-0.43%$41,271$41,093-0.43%0.90%0.51%
200011-5.89%-7.88%$38,841$37,856-7.88%2.14%0.52%
2000121.64%0.50%$39,477$38,0470.50%2.39%0.51%
200113.71%3.55%$40,943$39,3963.55%1.33%0.48%
20012-7.54%-9.14%$37,854$35,796-9.14%1.26%0.41%
20013-5.40%-6.36%$35,808$33,521-6.36%0.50%0.40%
200146.12%7.77%$38,001$36,1257.77%-1.16%0.35%
200150.56%0.65%$38,214$36,3600.65%0.22%0.32%
20016-2.20%-2.45%$37,372$35,471-2.45%0.30%0.30%
200170.50%-1.00%$37,559$35,116-1.00%2.73%0.30%
20018-5.11%-6.27%$35,640$32,913-6.27%1.11%0.29%
20019-5.79%-8.09%$33,575$30,250-8.09%2.41%0.28%
2001102.94%1.90%$34,561$30,8231.90%2.22%0.20%
2001115.35%7.65%$36,410$33,1837.65%-2.32%0.17%
2001120.09%0.87%$36,441$33,4730.87%-1.16%0.15%
20021-1.13%-1.47%$36,031$32,979-1.47%0.45%0.14%
20022-1.02%-1.94%$35,662$32,341-1.94%1.29%0.14%
200231.81%3.74%$36,309$33,5523.74%-2.30%0.15%
20024-4.00%-6.07%$34,857$31,513-6.07%2.62%0.15%
20025-0.08%-0.75%$34,829$31,276-0.75%1.04%0.15%
20026-5.23%-7.13%$33,008$29,044-7.13%1.72%0.14%
20027-5.42%-7.72%$31,218$26,802-7.72%2.66%0.14%
200281.97%0.65%$31,833$26,9770.65%2.42%0.14%
20029-7.90%-10.87%$29,318$24,043-10.87%3.03%0.14%
2002107.42%8.78%$31,493$26,1558.78%-0.70%0.13%
2002114.56%5.88%$32,930$27,6925.88%-1.32%0.12%
200212-3.81%-5.89%$31,677$26,060-5.89%2.58%0.10%
20031-2.68%-2.62%$30,828$25,376-2.62%-0.49%0.10%
20032-0.35%-1.52%$30,720$24,991-1.52%1.77%0.10%
200330.69%0.96%$30,931$25,2300.96%-0.19%0.10%
200347.46%8.25%$33,237$27,3128.25%0.24%0.09%
200356.23%5.26%$35,308$28,7505.26%2.74%0.09%
200360.83%1.26%$35,601$29,1121.26%-0.43%0.09%
20037-0.76%1.74%$35,332$29,6201.74%-3.87%0.07%
200381.86%1.93%$35,988$30,1921.93%0.19%0.08%
200390.71%-1.07%$36,243$29,869-1.07%3.09%0.08%
2003104.31%5.64%$37,806$31,5545.64%-1.36%0.08%
2003110.74%0.86%$38,087$31,8260.86%0.01%0.08%
2003125.17%5.22%$40,055$33,4885.22%0.85%0.08%
200412.07%1.82%$40,884$34,0981.82%0.81%0.08%
200421.89%1.38%$41,659$34,5671.38%1.23%0.08%
20043-0.79%-1.51%$41,329$34,044-1.51%1.06%0.08%
20044-3.29%-1.58%$39,970$33,507-1.58%-3.25%0.08%
200450.90%1.36%$40,328$33,9621.36%-0.51%0.08%
200462.01%1.93%$41,140$34,6181.93%0.54%0.09%
20047-2.54%-3.31%$40,093$33,471-3.31%0.91%0.11%
200481.48%0.38%$40,685$33,6000.38%2.07%0.12%
200491.00%1.07%$41,090$33,9581.07%0.19%0.13%
2004101.80%1.51%$41,830$34,4721.51%0.91%0.14%
2004112.68%4.05%$42,949$35,8674.05%-1.48%0.16%
2004123.55%3.39%$44,473$37,0843.39%0.97%0.18%
20051-1.97%-2.45%$43,599$36,174-2.45%0.56%0.18%
200521.18%2.09%$44,113$36,9322.09%-0.98%0.21%
20053-1.99%-1.76%$43,233$36,281-1.76%-0.51%0.23%
20054-0.80%-1.91%$42,888$35,588-1.91%1.75%0.23%
200553.43%3.17%$44,360$36,7153.17%1.20%0.24%
200560.32%0.13%$44,503$36,7620.13%0.55%0.25%
200572.32%3.71%$45,536$38,1243.71%-1.41%0.26%
20058-0.01%-0.91%$45,533$37,776-0.91%1.65%0.28%
20059-0.10%0.79%$45,489$38,0760.79%-1.14%0.29%
200510-2.10%-1.68%$44,535$37,437-1.68%-0.79%0.29%
2005113.50%3.76%$46,095$38,8463.76%0.48%0.33%
2005120.44%0.02%$46,299$38,8550.02%1.01%0.32%
200612.02%2.65%$47,235$39,8832.65%-0.34%0.33%
200620.12%0.26%$47,291$39,9880.26%0.09%0.37%
200630.39%1.23%$47,474$40,4801.23%-0.99%0.38%
200640.79%1.33%$47,848$41,0191.33%-0.37%0.38%
20065-2.80%-2.90%$46,507$39,831-2.90%0.02%0.39%
20066-0.03%0.13%$46,495$39,8820.13%0.10%0.40%
200671.16%0.61%$47,035$40,1240.61%1.35%0.41%
200682.89%2.36%$48,396$41,0722.36%1.62%0.42%
200692.64%2.56%$49,674$42,1252.56%0.94%0.41%
2006103.03%3.25%$51,181$43,4943.25%0.57%0.40%
2006112.13%1.89%$52,271$44,3161.89%1.12%0.42%
2006120.49%1.39%$52,525$44,9321.39%-0.98%0.41%
200711.00%1.49%$53,053$45,6031.49%-0.26%0.41%
20072-0.87%-1.97%$52,593$44,705-1.97%1.86%0.42%
200730.79%1.11%$53,009$45,2021.11%0.03%0.42%
200744.07%4.42%$55,168$47,1994.42%0.57%0.41%
200752.21%3.48%$56,387$48,8403.48%-1.18%0.40%
20076-1.80%-1.68%$55,374$48,022-1.68%-0.18%0.39%
20077-1.93%-3.08%$54,307$46,540-3.08%1.81%0.39%
200782.31%1.50%$55,564$47,2381.50%1.97%0.40%
200793.40%3.72%$57,454$48,9973.72%0.46%0.33%
2007101.73%1.58%$58,450$49,7701.58%0.84%0.31%
200711-1.86%-4.19%$57,366$47,687-4.19%3.46%0.32%
200712-0.56%-0.70%$57,047$47,353-0.70%0.27%0.26%
20081-3.41%-6.02%$55,103$44,504-6.02%3.10%0.28%
20082-2.20%-3.25%$53,894$43,057-3.25%1.35%0.16%
200830.11%-0.44%$53,951$42,868-0.44%0.93%0.15%
200842.90%4.85%$55,514$44,9484.85%-2.14%0.11%
200850.32%1.29%$55,692$45,5291.29%-1.32%0.12%
20086-7.30%-8.44%$51,626$41,688-8.44%0.77%0.15%
20087-0.34%-0.83%$51,452$41,341-0.83%0.77%0.16%
200881.84%1.45%$52,401$41,9391.45%0.98%0.14%
20089-7.67%-8.91%$48,384$38,204-8.91%0.51%0.14%
200810-15.97%-16.79%$40,660$31,788-16.79%-1.36%0.08%
200811-3.13%-7.17%$39,389$29,508-7.17%5.58%0.04%
2008123.16%1.07%$40,633$29,8221.07%3.66%0.00%
20091-8.86%-8.41%$37,031$27,314-8.41%-2.39%0.01%
20092-9.83%-10.66%$33,391$24,403-10.66%-0.58%0.02%
200939.80%8.76%$36,662$26,5408.76%3.20%0.02%
200947.52%9.56%$39,421$29,0779.56%-1.76%0.02%
200954.39%5.62%$41,150$30,7115.62%-1.10%0.01%
20096-0.02%0.22%$41,143$30,7780.22%-0.37%0.01%
200977.25%7.58%$44,125$33,1117.58%0.60%0.02%
200983.77%3.60%$45,786$34,3023.60%0.89%0.02%
200993.87%3.72%$47,559$35,5773.72%0.92%0.01%
200910-1.54%-1.87%$46,827$34,913-1.87%0.25%0.01%
2009116.47%5.98%$49,859$37,0015.98%1.96%0.00%
200912-0.13%1.95%$49,793$37,7211.95%-3.13%0.01%
20101-2.17%-3.60%$48,714$36,362-3.60%1.97%0.01%
201023.04%3.09%$50,195$37,4863.09%0.40%0.01%
201034.90%6.01%$52,657$39,7406.01%-0.91%0.01%
201042.13%1.58%$53,776$40,3671.58%1.23%0.01%
20105-6.27%-8.01%$50,405$37,136-8.01%1.85%0.01%
20106-3.45%-5.24%$48,668$35,190-5.24%2.07%0.01%
201076.81%7.00%$51,981$37,6527.00%1.07%0.02%
20108-2.78%-4.53%$50,536$35,947-4.53%2.00%0.01%
201097.92%8.92%$54,536$39,1538.92%0.36%0.01%
2010103.55%3.79%$56,474$40,6363.79%0.45%0.01%
201011-0.59%0.00%$56,138$40,6360.00%-0.98%0.01%
2010124.66%6.67%$58,756$43,3476.67%-2.29%0.01%
201112.33%2.36%$60,127$44,3682.36%0.29%0.01%
201122.81%3.42%$61,817$45,8843.42%-0.43%0.01%
20113-0.05%0.03%$61,784$45,8960.03%-0.12%0.01%
201143.60%2.95%$64,007$47,2492.95%1.60%0.01%
20115-0.03%-1.15%$63,990$46,708-1.15%1.77%0.00%
20116-1.59%-1.67%$62,975$45,927-1.67%-0.16%0.01%
20117-0.54%-2.05%$62,634$44,987-2.05%2.18%0.00%
20118-3.14%-5.45%$60,667$42,536-5.45%2.70%0.01%
20119-5.55%-7.04%$57,298$39,541-7.04%0.73%0.00%
2011109.57%10.91%$62,782$43,85610.91%-0.42%0.00%
201111-0.03%-0.23%$62,761$43,754-0.23%0.29%0.00%
2011121.52%1.02%$63,713$44,1991.02%1.00%0.00%
201214.47%4.46%$66,563$46,1724.46%0.81%0.00%
201223.47%4.31%$68,872$48,1614.31%-0.65%0.01%
201232.51%3.28%$70,603$49,7413.28%-0.79%0.01%
201240.32%-0.64%$70,831$49,423-0.64%1.50%0.01%
20125-4.61%-6.02%$67,562$46,449-6.02%1.24%0.01%
201263.46%4.11%$69,902$48,3574.11%-0.22%0.01%
201271.74%1.37%$71,120$49,0201.37%0.86%0.01%
201282.03%2.24%$72,563$50,1182.24%0.10%0.01%
201292.23%2.58%$74,183$51,4092.58%-0.06%0.01%
201210-1.84%-1.86%$72,820$50,453-1.86%-0.32%0.01%
2012110.86%0.56%$73,447$50,7350.56%0.62%0.01%
2012120.55%0.90%$73,850$51,1930.90%-0.41%0.01%
201314.14%5.18%$76,909$53,8435.18%-0.74%0.00%
201321.60%1.34%$78,137$54,5641.34%0.71%0.01%
201333.48%3.74%$80,859$56,6043.74%0.27%0.01%
201342.14%1.91%$82,591$57,6841.91%0.71%0.01%
201351.00%2.33%$83,415$59,0272.33%-1.84%0.00%
20136-2.16%-1.35%$81,611$58,230-1.35%-1.62%0.00%
201374.72%5.07%$85,467$61,1835.07%0.13%0.00%
20138-3.24%-2.91%$82,694$59,402-2.91%-1.02%0.00%
201393.71%3.12%$85,763$61,2563.12%1.47%0.00%
2013104.48%4.59%$89,605$64,0664.59%0.49%0.00%
2013112.64%3.03%$91,972$66,0063.03%-0.14%0.00%
2013121.40%2.51%$93,259$67,6652.51%-1.49%0.01%
20141-2.23%-3.47%$91,182$65,318-3.47%1.67%0.01%
201424.24%4.56%$95,044$68,2974.56%0.21%0.00%
201430.40%0.82%$95,427$68,8590.82%-0.60%0.00%
201440.93%0.72%$96,317$69,3580.72%0.49%0.00%
201452.69%2.33%$98,908$70,9772.33%1.03%0.00%
201461.77%2.05%$100,656$72,4342.05%-0.13%0.00%
20147-1.48%-1.39%$99,162$71,428-1.39%-0.39%0.00%
201484.21%3.98%$103,337$74,2723.98%1.03%0.00%
20149-1.65%-1.41%$101,629$73,223-1.41%-0.66%0.00%
2014102.84%2.42%$104,518$74,9972.42%1.12%0.00%
2014112.90%2.68%$107,546$77,0092.68%0.84%0.00%
201412-0.44%-0.26%$107,077$76,806-0.26%-0.35%0.00%
20151-1.20%-3.02%$105,793$74,488-3.02%2.70%0.00%
201524.14%5.74%$110,172$78,7635.74%-1.59%0.00%
20153-0.98%-1.59%$109,096$77,508-1.59%0.76%0.00%
201540.72%0.95%$109,879$78,2440.95%-0.21%0.00%
201551.07%1.27%$111,052$79,2391.27%-0.12%0.00%
20156-2.18%-1.93%$108,633$77,708-1.93%-0.74%0.00%
201572.39%2.08%$111,225$79,3242.08%0.85%0.00%
20158-5.45%-6.04%$105,165$74,532-6.04%-0.03%0.01%
20159-1.48%-2.49%$103,614$72,676-2.49%1.19%0.01%
2015107.13%8.42%$111,002$78,7978.42%-0.47%0.00%
2015110.02%0.29%$111,022$79,0230.29%-0.39%0.01%
201512-1.66%-1.59%$109,176$77,764-1.59%-0.38%0.02%
20161-3.04%-4.98%$105,862$73,894-4.98%2.36%0.01%
201620.38%-0.15%$106,268$73,787-0.15%0.82%0.03%
201636.05%6.78%$112,695$78,7866.78%0.22%0.03%
201640.24%0.37%$112,967$79,0810.37%-0.13%0.02%
201651.44%1.78%$114,589$80,4911.78%-0.21%0.02%
201661.43%0.25%$116,226$80,6920.25%2.05%0.03%
201673.23%3.68%$119,978$83,6583.68%0.04%0.02%
20168-0.32%0.13%$119,596$83,7670.13%-0.72%0.02%
201690.16%0.01%$119,788$83,7740.01%0.29%0.03%
201610-2.05%-1.83%$117,333$82,238-1.83%-0.73%0.02%
2016111.69%3.70%$119,315$85,2803.70%-2.65%0.03%
2016121.72%1.96%$121,363$86,9541.96%-0.05%0.04%
201711.85%1.88%$123,602$88,5911.88%0.30%0.04%
201723.78%3.96%$128,276$92,1023.96%0.39%0.04%
201730.11%0.10%$128,413$92,1940.10%0.07%0.04%
201741.34%1.02%$130,130$93,1331.02%0.77%0.06%
201751.56%1.39%$132,163$94,4311.39%0.59%0.07%
201760.24%0.61%$132,480$95,0080.61%-0.47%0.08%
201772.03%2.04%$135,175$96,9492.04%0.42%0.08%
201780.70%0.29%$136,127$97,2330.29%0.86%0.09%
201791.34%2.06%$137,952$99,2352.06%-0.83%0.08%
2017101.92%2.32%$140,600$101,5352.32%-0.21%0.09%
2017112.49%3.06%$144,099$104,6413.06%-0.39%0.09%
2017120.99%1.10%$145,525$105,7951.10%0.07%0.10%
201814.26%5.71%$151,721$111,8385.71%-1.56%0.11%
20182-3.68%-3.69%$146,141$107,706-3.69%-0.49%0.12%
20183-1.91%-2.56%$143,355$104,954-2.56%0.75%0.14%
20184-0.32%0.37%$142,889$105,3460.37%-0.92%0.14%
201852.55%2.39%$146,532$107,8682.39%0.76%0.15%
201860.53%0.61%$147,304$108,5210.61%0.11%0.16%
201873.03%3.71%$151,768$112,5463.71%-0.35%0.16%
201883.31%3.25%$156,785$116,2003.25%0.77%0.17%
20189-0.06%0.55%$156,694$116,8440.55%-0.82%0.17%
201810-6.33%-6.85%$146,767$108,841-6.85%-0.06%0.18%
2018112.32%2.03%$150,174$111,0472.03%0.96%0.19%
201812-7.06%-9.04%$139,565$101,008-9.04%1.90%0.19%
201917.45%8.00%$149,966$109,0918.00%0.58%0.20%
201922.65%3.20%$153,945$112,5833.20%-0.26%0.20%
201932.71%1.94%$158,116$114,7631.94%1.78%0.20%
201943.48%4.04%$163,624$119,4014.04%-0.05%0.20%
20195-4.63%-6.36%$156,054$111,801-6.36%2.05%0.20%
201966.72%7.03%$166,541$119,6647.03%1.02%0.19%
201971.08%1.43%$168,347$121,3701.43%-0.16%0.17%
20198-0.07%-1.59%$168,234$119,439-1.59%2.48%0.17%
201991.13%1.86%$170,144$121,6591.86%-0.70%0.16%
2019101.91%2.15%$173,399$124,2812.15%0.16%0.15%
2019112.98%3.62%$178,559$128,7813.62%-0.37%0.13%
2019122.45%3.01%$182,926$132,6513.01%-0.36%0.13%
202011.13%-0.05%$184,991$132,584-0.05%2.19%0.13%
20202-6.26%-8.24%$173,416$121,658-8.24%2.12%0.13%
20203-9.52%-12.37%$156,899$106,606-12.37%2.27%0.10%
2020411.81%12.81%$175,424$120,26612.81%0.46%0.01%
202054.53%4.76%$183,370$125,9864.76%0.42%0.01%
202061.95%1.98%$186,947$128,4781.98%0.30%0.01%
202075.35%5.63%$196,940$135,7075.63%0.49%0.01%
202086.32%7.18%$209,397$145,4477.18%-0.22%0.01%
Portfolio return and risk metrics
MetricPortfolio 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.96%0.87%
Arithmetic Mean (annualized)12.10%10.94%
Geometric Mean (monthly)0.89%0.78%
Geometric Mean (annualized)11.19%9.79%
Volatility (monthly)3.68%4.16%
Volatility (annualized)12.76%14.43%
Downside Deviation (monthly)2.33%2.78%
Max. Drawdown-42.87%-50.97%
US Market Correlation0.960.99
Beta(*)0.861.00
Alpha (annualized)2.47%0.00%
R295.42%100.00%
Sharpe Ratio0.710.55
Sortino Ratio1.080.80
Treynor Ratio (%)10.488.01
Calmar Ratio1.020.73
Active Return1.40%N/A
Tracking Error3.36%N/A
Information Ratio0.42N/A
Skewness-0.58-0.68
Excess Kurtosis1.491.45
Historical Value-at-Risk (5%)-5.66%-7.11%
Analytical Value-at-Risk (5%)-5.13%-5.98%
Conditional Value-at-Risk (5%)-7.95%-9.61%
Upside Capture Ratio (%)92.56100.00
Downside Capture Ratio (%)81.85100.00
Safe Withdrawal Rate10.04%8.73%
Perpetual Withdrawal Rate8.25%7.05%
Positive Periods225 out of 344 (65.41%)229 out of 344 (66.57%)
Gain/Loss Ratio1.030.85
* 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
Asian CrisisJul 1997Jan 1998-5.86%-5.61%
Russian Debt DefaultJul 1998Oct 1998-12.22%-15.38%
Dotcom CrashMar 2000Oct 2002-32.20%-44.82%
Subprime CrisisNov 2007Mar 2009-42.87%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsDec 20101 year 10 months3 years 2 months-42.87%
2Sep 2000Sep 20022 years 1 monthDec 20042 years 3 months4 years 4 months-32.20%
3Feb 2020Mar 20202 monthsJun 20203 months5 months-15.19%
4Jul 1998Aug 19982 monthsOct 19982 months4 months-12.22%
5Sep 2018Dec 20184 monthsMar 20193 months7 months-10.98%
6May 2011Sep 20115 monthsJan 20124 months9 months-10.48%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-10.19%
8Aug 2015Sep 20152 monthsMar 20166 months8 months-6.84%
9Jan 2000Feb 20002 monthsMar 20001 month3 months-6.36%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-5.88%
Worst 10 drawdowns included above

Drawdowns for Vanguard 500 Index Investor

Drawdowns for Vanguard 500 Index Investor (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsAug 20123 years 6 months4 years 10 months-50.97%
2Sep 2000Sep 20022 years 1 monthNov 20064 years 2 months6 years 3 months-44.82%
3Jan 2020Mar 20203 monthsJul 20204 months7 months-19.63%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
6Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
7Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
8Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
9May 2019May 20191 monthJun 20191 month2 months-6.36%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.79%14.43%37.45%-37.02%-50.97%0.550.800.99
VFITXVanguard Interm-Term Treasury Inv5.52%4.67%20.44%-4.33%-6.47%0.661.10-0.18
CASHXCash2.44%0.59%5.99%0.03%0.00%N/AN/A-0.01

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVFITXCASHXPortfolio 1Vanguard 500 Index Investor
VFINXVanguard 500 Index Investor1.00-0.160.000.981.00
VFITXVanguard Interm-Term Treasury Inv-0.161.000.130.05-0.16
CASHXCash0.000.131.000.010.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor$166,133
VFITXVanguard Interm-Term Treasury Inv$47,087
CASHXCash-$13,823

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor98.86%
VFITXVanguard Interm-Term Treasury Inv1.16%
CASHXCash-0.02%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year12.05%44.48%-28.77%11.17%37.45%-37.02%
3 years11.06%31.60%-8.11%9.99%31.03%-14.60%
5 years10.81%27.64%0.29%9.55%28.49%-2.38%
7 years10.30%20.69%1.57%8.87%21.44%-1.64%
10 years9.13%13.95%1.27%7.39%13.40%-1.46%
15 years8.74%11.69%6.59%7.01%10.54%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods