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 1993 - Dec 2016)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VIVAX Vanguard Value Index Inv 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$85,451 9.35% 14.69%37.03%-35.97%-54.86% 0.510.740.94
Portfolio 2$10,000$80,945 9.10% 14.44%37.45%-37.02%-50.97% 0.500.730.99
   
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.
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (3-month treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdown analysis is calculated based on monthly returns excluding cashflows
  • The results assume annual rebalancing of portfolio assets to match the specified allocation
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Value Index Inv (VIVAX)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
19932.75%18.25%9.89%$11,825$10,98918.25%9.89%
19942.67%-0.65%1.18%$11,748$11,118-0.65%1.18%
19952.54%37.03%37.45%$16,099$15,28237.03%37.45%
19963.32%21.78%22.88%$19,605$18,77821.78%22.88%
19971.70%29.77%33.19%$25,441$25,01029.77%33.19%
19981.61%14.64%28.62%$29,166$32,16814.64%28.62%
19992.68%12.57%21.07%$32,832$38,94512.57%21.07%
20003.39%6.08%-9.06%$34,829$35,4186.08%-9.06%
20011.55%-11.88%-12.02%$30,693$31,160-11.88%-12.02%
20022.38%-20.91%-22.15%$24,276$24,259-20.91%-22.15%
20031.88%32.25%28.50%$32,104$31,17432.25%28.50%
20043.26%15.28%10.74%$37,008$34,52215.28%10.74%
20053.42%7.09%4.77%$39,632$36,1707.09%4.77%
20062.54%22.15%15.64%$48,409$41,82722.15%15.64%
20074.08%0.09%5.39%$48,451$44,0810.09%5.39%
20080.09%-35.97%-37.02%$31,024$27,762-35.97%-37.02%
20092.72%19.58%26.49%$37,097$35,11419.58%26.49%
20101.50%14.28%14.91%$42,396$40,35114.28%14.91%
20112.96%1.00%1.97%$42,817$41,1451.00%1.97%
20121.74%15.00%15.82%$49,241$47,65615.00%15.82%
20131.50%32.85%32.18%$65,417$62,98932.85%32.18%
20140.76%13.05%13.51%$73,956$71,49813.05%13.51%
20150.73%-1.03%1.25%$73,192$72,391-1.03%1.25%
20162.07%16.75%11.82%$85,451$80,94516.75%11.82%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Value Index Inv (VIVAX)Vanguard 500 Index Investor (VFINX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
199312.72%0.81%$10,272$10,0812.72%0.81%
199323.40%1.36%$10,621$10,2173.40%1.36%
199332.75%2.11%$10,913$10,4332.75%2.11%
19934-0.45%-2.42%$10,864$10,180-0.45%-2.42%
199351.89%2.65%$11,069$10,4501.89%2.65%
199361.34%0.27%$11,217$10,4781.34%0.27%
199371.23%-0.42%$11,355$10,4331.23%-0.42%
199383.90%3.79%$11,797$10,8283.90%3.79%
19939-0.08%-0.79%$11,788$10,742-0.08%-0.79%
1993100.50%2.08%$11,847$10,9650.50%2.08%
199311-1.84%-1.00%$11,630$10,856-1.84%-1.00%
1993121.68%1.22%$11,825$10,9891.68%1.22%
199414.69%3.38%$12,379$11,3604.69%3.38%
19942-3.58%-2.71%$11,936$11,052-3.58%-2.71%
19943-4.13%-4.39%$11,442$10,567-4.13%-4.39%
199442.06%1.29%$11,678$10,7032.06%1.29%
199451.58%1.60%$11,862$10,8751.58%1.60%
19946-2.60%-2.45%$11,553$10,609-2.60%-2.45%
199473.39%3.28%$11,945$10,9563.39%3.28%
199482.76%4.08%$12,274$11,4032.76%4.08%
19949-3.52%-2.45%$11,842$11,124-3.52%-2.45%
1994102.10%2.25%$12,091$11,3742.10%2.25%
199411-4.03%-3.65%$11,604$10,958-4.03%-3.65%
1994121.25%1.46%$11,748$11,1181.25%1.46%
199512.70%2.58%$12,065$11,4062.70%2.58%
199523.85%3.88%$12,530$11,8483.85%3.88%
199532.80%2.95%$12,881$12,1982.80%2.95%
199543.30%2.94%$13,306$12,5573.30%2.94%
199554.39%3.95%$13,890$13,0534.39%3.95%
199560.77%2.31%$13,997$13,3550.77%2.31%
199573.51%3.30%$14,488$13,7963.51%3.30%
199580.81%0.26%$14,606$13,8330.81%0.26%
199593.52%4.21%$15,119$14,4153.52%4.21%
199510-1.56%-0.36%$14,883$14,363-1.56%-0.36%
1995115.19%4.38%$15,656$14,9925.19%4.38%
1995122.83%1.93%$16,099$15,2822.83%1.93%
199612.91%3.39%$16,566$15,7992.91%3.39%
199620.92%0.92%$16,719$15,9450.92%0.92%
199632.32%0.98%$17,107$16,1012.32%0.98%
199641.10%1.46%$17,296$16,3351.10%1.46%
199651.48%2.54%$17,551$16,7511.48%2.54%
19966-0.50%0.38%$17,462$16,815-0.50%0.38%
19967-4.28%-4.42%$16,716$16,072-4.28%-4.42%
199682.80%2.10%$17,184$16,4092.80%2.10%
199694.22%5.61%$17,908$17,3294.22%5.61%
1996103.37%2.76%$18,513$17,8063.37%2.76%
1996117.68%7.56%$19,934$19,1537.68%7.56%
199612-1.65%-1.96%$19,605$18,778-1.65%-1.96%
199714.58%6.22%$20,504$19,9454.58%6.22%
199720.73%0.79%$20,653$20,1030.73%0.79%
19973-3.48%-4.14%$19,934$19,271-3.48%-4.14%
199743.78%5.96%$20,687$20,4193.78%5.96%
199756.26%6.09%$21,982$21,6626.26%6.09%
199763.80%4.45%$22,818$22,6273.80%4.45%
199777.98%7.97%$24,638$24,4297.98%7.97%
19978-4.51%-5.61%$23,527$23,059-4.51%-5.61%
199795.83%5.47%$24,898$24,3205.83%5.47%
199710-3.71%-3.35%$23,973$23,505-3.71%-3.35%
1997113.81%4.60%$24,886$24,5863.81%4.60%
1997122.23%1.72%$25,441$25,0102.23%1.72%
19981-1.25%1.11%$25,124$25,288-1.25%1.11%
199827.53%7.19%$27,015$27,1077.53%7.19%
199835.02%5.10%$28,371$28,4905.02%5.10%
199841.18%1.01%$28,707$28,7771.18%1.01%
19985-1.43%-1.74%$28,296$28,276-1.43%-1.74%
199860.75%4.07%$28,508$29,4270.75%4.07%
19987-2.15%-1.05%$27,896$29,117-2.15%-1.05%
19988-16.11%-14.47%$23,403$24,902-16.11%-14.47%
199896.07%6.41%$24,823$26,4996.07%6.41%
1998107.87%8.16%$26,777$28,6627.87%8.16%
1998115.24%6.07%$28,180$30,4035.24%6.07%
1998123.50%5.81%$29,166$32,1683.50%5.81%
199912.00%4.20%$29,749$33,5202.00%4.20%
19992-2.18%-3.12%$29,101$32,472-2.18%-3.12%
199933.01%4.00%$29,978$33,7703.01%4.00%
199948.64%3.85%$32,567$35,0718.64%3.85%
19995-1.81%-2.39%$31,977$34,233-1.81%-2.39%
199963.83%5.56%$33,202$36,1353.83%5.56%
19997-3.08%-3.13%$32,179$35,004-3.08%-3.13%
19998-2.51%-0.50%$31,371$34,830-2.51%-0.50%
19999-3.95%-2.74%$30,133$33,876-3.95%-2.74%
1999105.66%6.33%$31,837$36,0195.66%6.33%
199911-0.59%2.02%$31,648$36,748-0.59%2.02%
1999123.74%5.98%$32,832$38,9453.74%5.98%
20001-3.19%-5.03%$31,785$36,985-3.19%-5.03%
20002-6.27%-1.91%$29,791$36,280-6.27%-1.91%
2000310.39%9.76%$32,887$39,82110.39%9.76%
20004-0.67%-3.01%$32,668$38,624-0.67%-3.01%
200050.31%-2.04%$32,770$37,8370.31%-2.04%
20006-3.94%2.49%$31,478$38,778-3.94%2.49%
200072.06%-1.49%$32,126$38,2002.06%-1.49%
200086.64%6.19%$34,260$40,5646.64%6.19%
20009-0.03%-5.29%$34,248$38,419-0.03%-5.29%
2000101.86%-0.43%$34,883$38,2531.86%-0.43%
200011-5.08%-7.88%$33,110$35,240-5.08%-7.88%
2000125.19%0.50%$34,829$35,4185.19%0.50%
200114.24%3.55%$36,306$36,6734.24%3.55%
20012-6.67%-9.14%$33,884$33,322-6.67%-9.14%
20013-3.97%-6.36%$32,538$31,204-3.97%-6.36%
200146.81%7.77%$34,753$33,6296.81%7.77%
200151.01%0.65%$35,104$33,8481.01%0.65%
20016-3.22%-2.45%$33,973$33,020-3.22%-2.45%
20017-1.74%-1.00%$33,381$32,690-1.74%-1.00%
20018-5.80%-6.27%$31,446$30,639-5.80%-6.27%
20019-9.53%-8.09%$28,449$28,160-9.53%-8.09%
2001100.00%1.90%$28,449$28,6930.00%1.90%
2001116.33%7.65%$30,249$30,8906.33%7.65%
2001121.47%0.87%$30,693$31,1601.47%0.87%
20021-2.75%-1.47%$29,848$30,700-2.75%-1.47%
20022-0.87%-1.94%$29,588$30,106-0.87%-1.94%
200235.11%3.74%$31,099$31,2335.11%3.74%
20024-5.03%-6.07%$29,534$29,336-5.03%-6.07%
200250.39%-0.75%$29,648$29,1140.39%-0.75%
20026-6.32%-7.13%$27,774$27,037-6.32%-7.13%
20027-10.78%-7.72%$24,779$24,950-10.78%-7.72%
200280.73%0.65%$24,959$25,1130.73%0.65%
20029-11.48%-10.87%$22,093$22,382-11.48%-10.87%
2002108.35%8.78%$23,937$24,3488.35%8.78%
2002117.02%5.88%$25,616$25,7787.02%5.88%
200212-5.23%-5.89%$24,276$24,259-5.23%-5.89%
20031-2.80%-2.62%$23,596$23,622-2.80%-2.62%
20032-2.74%-1.52%$22,950$23,264-2.74%-1.52%
20033-0.15%0.96%$22,915$23,486-0.15%0.96%
200349.96%8.25%$25,196$25,4259.96%8.25%
200357.93%5.26%$27,195$26,7637.93%5.26%
200361.34%1.26%$27,559$27,1001.34%1.26%
200370.97%1.74%$27,826$27,5730.97%1.74%
200381.68%1.93%$28,294$28,1061.68%1.93%
20039-0.41%-1.07%$28,178$27,805-0.41%-1.07%
2003105.19%5.64%$29,641$29,3735.19%5.64%
2003111.31%0.86%$30,028$29,6271.31%0.86%
2003126.91%5.22%$32,104$31,1746.91%5.22%
200411.58%1.82%$32,612$31,7411.58%1.82%
200421.92%1.38%$33,239$32,1791.92%1.38%
20043-1.37%-1.51%$32,783$31,692-1.37%-1.51%
20044-2.03%-1.58%$32,118$31,192-2.03%-1.58%
200450.95%1.36%$32,425$31,6150.95%1.36%
200462.68%1.93%$33,294$32,2252.68%1.93%
20047-1.39%-3.31%$32,832$31,158-1.39%-3.31%
200481.51%0.38%$33,328$31,2781.51%0.38%
200491.13%1.07%$33,705$31,6111.13%1.07%
2004101.43%1.51%$34,187$32,0901.43%1.51%
2004114.63%4.05%$35,771$33,3894.63%4.05%
2004123.46%3.39%$37,008$34,5223.46%3.39%
20051-1.97%-2.45%$36,280$33,674-1.97%-2.45%
200523.25%2.09%$37,459$34,3793.25%2.09%
20053-1.61%-1.76%$36,854$33,774-1.61%-1.76%
20054-1.37%-1.91%$36,349$33,129-1.37%-1.91%
200552.11%3.17%$37,116$34,1782.11%3.17%
200560.99%0.13%$37,482$34,2210.99%0.13%
200572.99%3.71%$38,603$35,4902.99%3.71%
20058-0.36%-0.91%$38,463$35,166-0.36%-0.91%
200591.42%0.79%$39,009$35,4451.42%0.79%
200510-2.53%-1.68%$38,021$34,850-2.53%-1.68%
2005113.48%3.76%$39,344$36,1623.48%3.76%
2005120.73%0.02%$39,632$36,1700.73%0.02%
200613.23%2.65%$40,912$37,1273.23%2.65%
200620.65%0.26%$41,179$37,2240.65%0.26%
200631.33%1.23%$41,727$37,6821.33%1.23%
200642.61%1.33%$42,818$38,1852.61%1.33%
20065-2.34%-2.90%$41,817$37,079-2.34%-2.90%
200660.70%0.13%$42,108$37,1260.70%0.13%
200672.69%0.61%$43,241$37,3512.69%0.61%
200681.70%2.36%$43,978$38,2341.70%2.36%
200692.09%2.56%$44,899$39,2142.09%2.56%
2006103.18%3.25%$46,327$40,4893.18%3.25%
2006112.03%1.89%$47,268$41,2542.03%1.89%
2006122.42%1.39%$48,409$41,8272.42%1.39%
200710.94%1.49%$48,865$42,4520.94%1.49%
20072-1.64%-1.97%$48,063$41,616-1.64%-1.97%
200731.62%1.11%$48,844$42,0791.62%1.11%
200744.16%4.42%$50,878$43,9384.16%4.42%
200753.67%3.48%$52,747$45,4653.67%3.48%
20076-2.12%-1.68%$51,630$44,703-2.12%-1.68%
20077-4.49%-3.08%$49,310$43,324-4.49%-3.08%
200781.31%1.50%$49,954$43,9731.31%1.50%
200793.31%3.72%$51,610$45,6113.31%3.72%
2007100.22%1.58%$51,721$46,3310.22%1.58%
200711-4.94%-4.19%$49,164$44,391-4.94%-4.19%
200712-1.45%-0.70%$48,451$44,081-1.45%-0.70%
20081-4.09%-6.02%$46,471$41,429-4.09%-6.02%
20082-4.78%-3.25%$44,248$40,082-4.78%-3.25%
20083-0.38%-0.44%$44,082$39,905-0.38%-0.44%
200844.14%4.85%$45,906$41,8424.14%4.85%
20085-0.41%1.29%$45,718$42,383-0.41%1.29%
20086-9.53%-8.44%$41,359$38,807-9.53%-8.44%
20087-0.32%-0.83%$41,226$38,484-0.32%-0.83%
200881.65%1.45%$41,908$39,0411.65%1.45%
20089-6.95%-8.91%$38,995$35,564-6.95%-8.91%
200810-16.55%-16.79%$32,540$29,592-16.55%-16.79%
200811-6.28%-7.17%$30,497$27,469-6.28%-7.17%
2008121.73%1.07%$31,024$27,7621.73%1.07%
20091-11.44%-8.41%$27,474$25,426-11.44%-8.41%
20092-13.34%-10.66%$23,808$22,716-13.34%-10.66%
200938.93%8.76%$25,934$24,7068.93%8.76%
2009410.30%9.56%$28,606$27,06810.30%9.56%
200956.75%5.62%$30,536$28,5896.75%5.62%
20096-0.88%0.22%$30,268$28,652-0.88%0.22%
200978.04%7.58%$32,703$30,8238.04%7.58%
200985.10%3.60%$34,371$31,9325.10%3.60%
200993.37%3.72%$35,530$33,1193.37%3.72%
200910-2.67%-1.87%$34,582$32,500-2.67%-1.87%
2009116.00%5.98%$36,656$34,4446.00%5.98%
2009121.21%1.95%$37,097$35,1141.21%1.95%
20101-2.47%-3.60%$36,181$33,849-2.47%-3.60%
201022.53%3.09%$37,097$34,8962.53%3.09%
201036.16%6.01%$39,384$36,9946.16%6.01%
201041.78%1.58%$40,084$37,5781.78%1.58%
20105-7.79%-8.01%$36,962$34,570-7.79%-8.01%
20106-5.10%-5.24%$35,077$32,758-5.10%-5.24%
201076.54%7.00%$37,373$35,0506.54%7.00%
20108-4.26%-4.53%$35,782$33,463-4.26%-4.53%
201097.55%8.92%$38,484$36,4477.55%8.92%
2010102.69%3.79%$39,517$37,8282.69%3.79%
201011-0.56%0.00%$39,294$37,828-0.56%0.00%
2010127.89%6.67%$42,396$40,3517.89%6.67%
201112.84%2.36%$43,599$41,3022.84%2.36%
201124.02%3.42%$45,352$42,7134.02%3.42%
201130.04%0.03%$45,370$42,7240.04%0.03%
201142.94%2.95%$46,703$43,9842.94%2.95%
20115-1.36%-1.15%$46,067$43,480-1.36%-1.15%
20116-2.15%-1.67%$45,079$42,753-2.15%-1.67%
20117-3.52%-2.05%$43,492$41,878-3.52%-2.05%
20118-5.78%-5.45%$40,977$39,597-5.78%-5.45%
20119-7.07%-7.04%$38,079$36,808-7.07%-7.04%
20111010.36%10.91%$42,024$40,82610.36%10.91%
201111-0.49%-0.23%$41,816$40,730-0.49%-0.23%
2011122.39%1.02%$42,817$41,1452.39%1.02%
201213.42%4.46%$44,282$42,9823.42%4.46%
201223.92%4.31%$46,018$44,8333.92%4.31%
201232.89%3.28%$47,346$46,3042.89%3.28%
20124-0.93%-0.64%$46,904$46,008-0.93%-0.64%
20125-5.96%-6.02%$44,107$43,239-5.96%-6.02%
201264.70%4.11%$46,181$45,0164.70%4.11%
201271.19%1.37%$46,732$45,6321.19%1.37%
201281.40%2.24%$47,388$46,6541.40%2.24%
201293.05%2.58%$48,834$47,8563.05%2.58%
201210-0.52%-1.86%$48,578$46,967-0.52%-1.86%
201211-0.53%0.56%$48,322$47,230-0.53%0.56%
2012121.90%0.90%$49,241$47,6561.90%0.90%
201316.37%5.18%$52,376$50,1226.37%5.18%
201321.52%1.34%$53,171$50,7941.52%1.34%
201333.90%3.74%$55,243$52,6933.90%3.74%
201342.19%1.91%$56,453$53,6982.19%1.91%
201352.45%2.33%$57,835$54,9482.45%2.33%
20136-0.81%-1.35%$57,367$54,206-0.81%-1.35%
201375.19%5.07%$60,342$56,9555.19%5.07%
20138-3.60%-2.91%$58,170$55,297-3.60%-2.91%
201392.13%3.12%$59,408$57,0232.13%3.12%
2013104.56%4.59%$62,116$59,6384.56%4.59%
2013113.20%3.03%$64,102$61,4453.20%3.03%
2013122.05%2.51%$65,417$62,9892.05%2.51%
20141-3.59%-3.47%$63,067$60,804-3.59%-3.47%
201423.94%4.56%$65,549$63,5773.94%4.56%
201432.58%0.82%$67,239$64,1012.58%0.82%
201440.89%0.72%$67,835$64,5650.89%0.72%
201451.43%2.33%$68,807$66,0721.43%2.33%
201461.88%2.05%$70,098$67,4281.88%2.05%
20147-1.27%-1.39%$69,210$66,492-1.27%-1.39%
201483.46%3.98%$71,608$69,1403.46%3.98%
20149-1.33%-1.41%$70,657$68,163-1.33%-1.41%
2014101.90%2.42%$71,996$69,8151.90%2.42%
2014112.39%2.68%$73,714$71,6882.39%2.68%
2014120.33%-0.26%$73,956$71,4980.33%-0.26%
20151-4.04%-3.02%$70,971$69,341-4.04%-3.02%
201525.25%5.74%$74,697$73,3205.25%5.74%
20153-1.58%-1.59%$73,513$72,152-1.58%-1.59%
201541.57%0.95%$74,664$72,8371.57%0.95%
201551.09%1.27%$75,477$73,7641.09%1.27%
20156-2.17%-1.93%$73,835$72,338-2.17%-1.93%
201570.95%2.08%$74,539$73,8430.95%2.08%
20158-5.82%-6.04%$70,204$69,381-5.82%-6.04%
20159-2.49%-2.49%$68,458$67,654-2.49%-2.49%
2015107.57%8.42%$73,643$73,3527.57%8.42%
2015110.40%0.29%$73,940$73,5620.40%0.29%
201512-1.01%-1.59%$73,192$72,391-1.01%-1.59%
20161-4.75%-4.98%$69,719$68,788-4.75%-4.98%
201620.10%-0.15%$69,788$68,6880.10%-0.15%
201636.55%6.78%$74,361$73,3426.55%6.78%
201641.53%0.37%$75,495$73,6161.53%0.37%
201651.13%1.78%$76,351$74,9291.13%1.78%
201661.06%0.25%$77,163$75,1161.06%0.25%
201672.86%3.68%$79,374$77,8772.86%3.68%
201680.62%0.13%$79,862$77,9780.62%0.13%
20169-0.47%0.01%$79,487$77,985-0.47%0.01%
201610-1.15%-1.83%$78,574$76,555-1.15%-1.83%
2016115.96%3.70%$83,257$79,3875.96%3.70%
2016122.64%1.96%$85,451$80,9452.64%1.96%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value86.82%47.66%
Large-cap Growth8.43%51.95%
Mid-cap Value0.00%0.00%
Mid-cap Growth0.00%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets1.54%0.00%
Emerging Markets0.00%0.02%
Corporate Bonds0.00%0.00%
Long-Term Treasuries3.21%0.00%
Intermediate-Term Treasuries0.00%0.37%
Short-Term Treasuries0.00%0.00%
R Squared98.84%99.91%
Style analysis is based on monthly returns from Apr 2005 to Dec 2016 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VIVAXVanguard Value Index InvLarge Value100.00%0.17%16.38$75,451100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend100.00%0.14%22.72$70,945100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Fund fundamentals data as of 08/07/2020. (c) 2020 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 2
Arithmetic Mean (monthly)0.84%0.82%
Arithmetic Mean (annualized)10.54%10.25%
Geometric Mean (monthly)0.75%0.73%
Geometric Mean (annualized)9.35%9.10%
Volatility (monthly)4.24%4.17%
Volatility (annualized)14.69%14.44%
Downside Deviation (monthly)2.86%2.79%
Max. Drawdown-54.86%-50.97%
US Market Correlation0.940.99
Beta(*)0.930.96
Alpha (annualized)0.84%0.24%
R287.91%97.56%
Sharpe Ratio0.510.50
Sortino Ratio0.740.73
Treynor Ratio (%)8.107.55
Calmar Ratio1.001.04
Active Return0.18%-0.06%
Tracking Error5.21%2.32%
Information Ratio0.04-0.03
Skewness-0.77-0.67
Excess Kurtosis1.821.32
Historical Value-at-Risk (5%)-6.28%-7.09%
Analytical Value-at-Risk (5%)-6.13%-6.04%
Conditional Value-at-Risk (5%)-9.99%-9.55%
Upside Capture Ratio (%)93.5395.83
Downside Capture Ratio (%)90.9495.11
Safe Withdrawal Rate9.93%9.57%
Perpetual Withdrawal Rate6.50%6.29%
Positive Periods183 out of 288 (63.54%)186 out of 288 (64.58%)
Gain/Loss Ratio0.950.90
* US stock market 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 2
Asian CrisisJul 1997Jan 1998-4.51%-5.61%
Russian Debt DefaultJul 1998Oct 1998-17.91%-15.38%
Dotcom CrashMar 2000Oct 2002-39.15%-44.82%
Subprime CrisisNov 2007Mar 2009-53.97%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsFeb 20134 years5 years 9 months-54.86%
2Feb 2001Sep 20021 year 8 monthsDec 20042 years 3 months3 years 11 months-39.15%
3May 1998Aug 19984 monthsDec 19984 months8 months-18.48%
4Jul 1999Feb 20008 monthsAug 20006 months1 year 2 months-10.27%
5Jun 2015Sep 20154 monthsApr 20167 months11 months-9.30%
6Feb 1994Mar 19942 monthsFeb 199511 months1 year 1 month-7.57%
7Nov 2000Nov 20001 monthJan 20012 months3 months-5.08%
8Jun 1996Jul 19962 monthsSep 19962 months4 months-4.76%
9Aug 1997Aug 19971 monthSep 19971 month2 months-4.51%
10Jan 2015Jan 20151 monthFeb 20151 month2 months-4.04%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (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%
4Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
5Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
7Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
8Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
9Apr 2000May 20002 monthsAug 20003 months5 months-4.98%
10Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VIVAXVanguard Value Index Inv9.35%14.69%37.03%-35.97%-54.86%0.510.740.94
VFINXVanguard 500 Index Investor9.10%14.44%37.45%-37.02%-50.97%0.500.730.99

Monthly Correlations

Correlations for the portfolio assets
TickerNameVIVAXVFINXPortfolio 1Portfolio 2
VIVAXVanguard Value Index Inv1.000.961.000.96
VFINXVanguard 500 Index Investor0.961.000.961.00

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VIVAXVanguard Value Index Inv$75,451
VFINXVanguard 500 Index Investor$70,945

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VIVAXVanguard Value Index Inv100.00%
VFINXVanguard 500 Index Investor100.00%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2
AverageHighLowAverageHighLow
1 year10.79%37.03%-35.97%10.71%37.45%-37.02%
3 years9.72%29.38%-9.57%9.91%31.03%-14.60%
5 years8.77%22.82%-2.43%8.93%28.49%-2.38%
7 years7.54%18.51%0.15%7.50%21.44%-1.64%
10 years6.58%12.16%0.62%6.19%12.00%-1.46%
15 years6.55%11.09%4.50%6.14%10.40%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods