Backtest Portfolio Asset Allocation

This online portfolio backtesting tool allows you to construct one or more portfolios based on the selected mutual funds, ETFs and stocks to analyze and backtest portfolio returns, risk characteristics, standard deviation, annual returns and rolling returns. The results include a visualization of the portfolio growth chart and rolling returns, CAGR, standard deviation, Sharpe ratio, Sortino ratio, annual returns and inflation adjusted returns. A periodic contribution or withdrawal can also be specified together with the preferred portfolio rebalancing strategy. You can also analyze and compare asset class based lazy portfolios with a longer time horizon starting from 1972.

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Portfolio Assets 
Asset 1
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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 2001 - Dec 2017)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSAX Vanguard Total Stock Mkt Idx Adm 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VFIAX Vanguard 500 Index Admiral 75.00%
VEXAX Vanguard Extended Market Index Admiral 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$31,134 6.91% 14.76%33.52%-36.99%-50.84% 0.440.621.00
Portfolio 2$10,000$31,131 6.91% 14.99%33.84%-37.38%-51.37% 0.430.611.00
   
Notes on results:
  • Past performance is not a guarantee of future returns and data and other errors may exist. See Disclaimer and Terms of Use
  • The entered time period is automatically adjusted based on the available return data for the specified assets
  • CAGR = Compound Annual Growth Rate
  • Stdev = Annualized standard deviation of monthly returns
  • Sharpe and Sortino ratios are calculated and annualized from monthly excess returns over risk free rate (1-month t-bills)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns
  • The backtested results include annual rebalancing of portfolio assets to match the specified allocation
  • The results use total return and assume that all received dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard 500 Index Admiral (VFIAX)Vanguard Extended Market Index Admiral (VEXAX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
20011.55%-10.89%-11.27%$8,911$8,873-10.89%-11.98%-9.14%
20022.38%-20.95%-21.08%$7,044$7,003-20.95%-22.10%-18.02%
20031.88%31.42%32.32%$9,257$9,26731.42%28.59%43.51%
20043.26%12.61%12.82%$10,425$10,45512.61%10.82%18.82%
20053.42%6.09%6.27%$11,059$11,1106.09%4.87%10.47%
20062.54%15.63%15.42%$12,787$12,82315.63%15.75%14.43%
20074.08%5.57%5.22%$13,499$13,4935.57%5.47%4.48%
20080.09%-36.99%-37.38%$8,506$8,448-36.99%-36.97%-38.63%
20092.72%28.83%29.38%$10,958$10,93028.83%26.62%37.65%
20101.50%17.26%18.18%$12,849$12,91717.26%15.05%27.57%
20112.96%1.08%0.67%$12,988$13,0031.08%2.08%-3.59%
20121.74%16.38%16.59%$15,116$15,16116.38%15.96%18.48%
20131.50%33.52%33.84%$20,184$20,29233.52%32.33%38.37%
20140.76%12.56%12.12%$22,718$22,75212.56%13.64%7.56%
20150.73%0.39%0.20%$22,806$22,7980.39%1.36%-3.27%
20162.07%12.66%12.98%$25,694$25,75712.66%11.93%16.13%
20172.11%21.17%20.87%$31,134$31,13121.17%21.79%18.11%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard 500 Index Admiral (VFIAX)Vanguard Extended Market Index Admiral (VEXAX)
Portfolio 1Portfolio 2Portfolio 1Portfolio 2
200113.86%4.07%$10,386$10,4073.86%3.54%5.64%
20012-9.44%-9.89%$9,405$9,378-9.44%-9.14%-12.10%
20013-6.71%-7.07%$8,774$8,715-6.71%-6.34%-9.27%
200148.16%8.47%$9,491$9,4538.16%7.76%10.68%
200151.01%1.08%$9,587$9,5551.01%0.67%2.34%
20016-1.62%-1.61%$9,431$9,401-1.62%-2.45%0.90%
20017-1.71%-1.96%$9,269$9,217-1.71%-0.99%-4.78%
20018-6.00%-5.90%$8,713$8,673-6.00%-6.26%-4.80%
20019-8.98%-9.31%$7,930$7,865-8.98%-8.09%-12.95%
2001102.52%2.71%$8,130$8,0782.52%1.91%5.23%
2001117.68%7.72%$8,754$8,7027.68%7.66%7.89%
2001121.79%1.97%$8,911$8,8731.79%0.87%5.30%
20021-1.28%-1.56%$8,797$8,734-1.28%-1.46%-1.86%
20022-2.05%-2.16%$8,617$8,546-2.05%-1.94%-2.82%
200234.39%4.51%$8,995$8,9314.39%3.75%6.81%
20024-4.90%-4.80%$8,555$8,503-4.90%-6.07%-1.02%
20025-1.18%-1.14%$8,454$8,406-1.18%-0.74%-2.23%
20026-7.09%-7.09%$7,855$7,810-7.09%-7.13%-6.99%
20027-8.02%-8.24%$7,225$7,166-8.02%-7.72%-9.73%
200280.58%0.61%$7,266$7,2100.58%0.66%0.47%
20029-10.10%-9.83%$6,533$6,501-10.10%-10.87%-6.82%
2002107.65%7.35%$7,032$6,9797.65%8.78%3.35%
2002116.06%6.21%$7,459$7,4126.06%5.89%7.14%
200212-5.56%-5.52%$7,044$7,003-5.56%-5.89%-4.44%
20031-2.54%-2.52%$6,865$6,827-2.54%-2.62%-2.19%
20032-1.69%-1.79%$6,749$6,705-1.69%-1.51%-2.62%
200331.10%1.10%$6,824$6,7791.10%0.96%1.54%
200348.21%8.28%$7,384$7,3408.21%8.27%8.33%
200356.11%6.33%$7,835$7,8056.11%5.26%9.53%
200361.44%1.51%$7,948$7,9231.44%1.26%2.23%
200372.36%2.50%$8,135$8,1212.36%1.76%4.64%
200382.39%2.53%$8,329$8,3262.39%1.93%4.17%
20039-1.13%-1.14%$8,235$8,232-1.13%-1.07%-1.34%
2003106.12%6.18%$8,739$8,7406.12%5.64%7.66%
2003111.42%1.58%$8,863$8,8781.42%0.87%3.46%
2003124.45%4.37%$9,257$9,2674.45%5.24%2.11%
200412.23%2.28%$9,464$9,4772.23%1.82%3.64%
200421.47%1.48%$9,603$9,6181.47%1.39%1.77%
20043-1.09%-1.01%$9,498$9,521-1.09%-1.52%0.46%
20044-2.11%-2.19%$9,298$9,312-2.11%-1.57%-4.00%
200451.38%1.41%$9,427$9,4431.38%1.37%1.55%
200462.07%2.13%$9,622$9,6452.07%1.93%2.72%
20047-3.80%-3.90%$9,256$9,268-3.80%-3.31%-5.62%
200480.31%0.31%$9,285$9,2970.31%0.40%0.04%
200491.76%1.80%$9,448$9,4651.76%1.08%3.97%
2004101.71%1.71%$9,610$9,6271.71%1.52%2.27%
2004114.68%4.77%$10,060$10,0864.68%4.05%6.87%
2004123.62%3.66%$10,425$10,4553.62%3.40%4.38%
20051-2.68%-2.66%$10,146$10,176-2.68%-2.44%-3.35%
200522.11%2.04%$10,359$10,3842.11%2.09%1.88%
20053-1.76%-1.76%$10,177$10,201-1.76%-1.76%-1.78%
20054-2.32%-2.29%$9,941$9,967-2.32%-1.90%-3.46%
200553.77%3.86%$10,315$10,3523.77%3.18%5.98%
200560.84%0.89%$10,402$10,4450.84%0.14%3.16%
200574.14%4.20%$10,832$10,8844.14%3.72%5.62%
20058-0.94%-0.96%$10,730$10,779-0.94%-0.91%-1.09%
200590.85%0.84%$10,821$10,8700.85%0.80%0.96%
200510-1.86%-1.88%$10,620$10,665-1.86%-1.67%-2.49%
2005114.01%4.01%$11,045$11,0924.01%3.77%4.68%
2005120.13%0.16%$11,059$11,1100.13%0.03%0.53%
200613.50%3.67%$11,446$11,5183.50%2.65%6.71%
200620.03%-0.02%$11,450$11,5160.03%0.27%-0.85%
200631.79%1.90%$11,655$11,7341.79%1.24%3.80%
200641.11%1.08%$11,785$11,8611.11%1.34%0.35%
20065-3.23%-3.33%$11,403$11,467-3.23%-2.89%-4.58%
200660.20%0.20%$11,426$11,4900.20%0.14%0.39%
20067-0.10%-0.32%$11,415$11,453-0.10%0.61%-3.01%
200682.31%2.23%$11,679$11,7092.31%2.37%1.82%
200692.26%2.18%$11,943$11,9642.26%2.58%0.95%
2006103.56%3.65%$12,369$12,4013.56%3.25%4.88%
2006112.23%2.34%$12,645$12,6912.23%1.90%3.70%
2006121.13%1.04%$12,787$12,8231.13%1.40%-0.04%
200711.88%1.98%$13,027$13,0781.88%1.51%3.41%
20072-1.61%-1.55%$12,817$12,875-1.61%-1.97%-0.32%
200731.13%1.13%$12,962$13,0201.13%1.12%1.15%
200744.04%3.90%$13,485$13,5284.04%4.42%2.40%
200753.69%3.79%$13,982$14,0413.69%3.48%4.70%
20076-1.68%-1.72%$13,748$13,800-1.68%-1.66%-1.87%
20077-3.38%-3.48%$13,283$13,319-3.38%-3.08%-4.67%
200781.45%1.40%$13,476$13,5061.45%1.50%1.11%
200793.61%3.56%$13,963$13,9873.61%3.74%3.03%
2007101.82%1.82%$14,217$14,2411.82%1.59%2.51%
200711-4.46%-4.64%$13,583$13,581-4.46%-4.18%-5.99%
200712-0.61%-0.65%$13,499$13,493-0.61%-0.70%-0.48%
20081-6.08%-6.05%$12,679$12,676-6.08%-6.01%-6.19%
20082-3.04%-3.05%$12,293$12,289-3.04%-3.24%-2.48%
20083-0.59%-0.61%$12,220$12,213-0.59%-0.43%-1.14%
200845.02%5.06%$12,834$12,8315.02%4.87%5.63%
200852.12%2.21%$13,106$13,1152.12%1.29%4.93%
20086-8.20%-8.19%$12,032$12,041-8.20%-8.43%-7.48%
20087-0.77%-0.73%$11,939$11,953-0.77%-0.82%-0.46%
200881.61%1.63%$12,132$12,1481.61%1.45%2.15%
20089-9.28%-9.54%$11,006$10,989-9.28%-8.90%-11.35%
200810-17.63%-17.99%$9,066$9,011-17.63%-16.78%-21.51%
200811-7.86%-8.16%$8,354$8,276-7.86%-7.16%-11.23%
2008121.83%2.09%$8,506$8,4481.83%1.06%5.37%
20091-8.26%-8.41%$7,804$7,738-8.26%-8.41%-8.41%
20092-10.45%-10.51%$6,988$6,925-10.45%-10.64%-10.10%
200938.73%8.83%$7,599$7,5368.73%8.78%8.97%
2009410.60%11.15%$8,404$8,37610.60%9.56%15.88%
200955.33%5.28%$8,852$8,8185.33%5.63%4.29%
200960.37%0.36%$8,884$8,8500.37%0.23%0.73%
200977.87%7.94%$9,583$9,5537.87%7.58%8.97%
200983.63%3.64%$9,931$9,9003.63%3.61%3.71%
200994.25%4.35%$10,353$10,3304.25%3.73%6.08%
200910-2.61%-2.91%$10,083$10,030-2.61%-1.86%-5.79%
2009115.66%5.45%$10,654$10,5775.66%6.00%3.89%
2009122.85%3.35%$10,958$10,9302.85%1.95%7.41%
20101-3.46%-3.53%$10,579$10,545-3.46%-3.59%-3.34%
201023.36%3.51%$10,934$10,9153.36%3.09%4.78%
201036.26%6.42%$11,619$11,6166.26%6.03%7.55%
201042.21%2.46%$11,875$11,9022.21%1.59%5.00%
20105-8.00%-7.88%$10,925$10,964-8.00%-8.00%-7.55%
20106-5.67%-5.71%$10,306$10,338-5.67%-5.23%-7.04%
201077.03%7.03%$11,031$11,0657.03%7.01%7.10%
20108-4.75%-4.83%$10,507$10,530-4.75%-4.52%-5.73%
201099.50%9.55%$11,505$11,5369.50%8.93%11.35%
2010103.94%3.92%$11,958$11,9883.94%3.81%4.24%
2010110.58%0.84%$12,027$12,0880.58%0.01%3.16%
2010126.83%6.86%$12,849$12,9176.83%6.68%7.33%
201112.19%2.13%$13,130$13,1932.19%2.37%1.43%
201123.63%3.74%$13,606$13,6863.63%3.42%4.71%
201130.45%0.57%$13,667$13,7650.45%0.03%2.19%
201142.99%2.91%$14,076$14,1662.99%2.96%2.77%
20115-1.16%-1.19%$13,912$13,997-1.16%-1.14%-1.35%
20116-1.79%-1.83%$13,664$13,741-1.79%-1.66%-2.31%
20117-2.22%-2.32%$13,360$13,422-2.22%-2.04%-3.16%
20118-6.02%-6.16%$12,555$12,596-6.02%-5.43%-8.33%
20119-7.75%-8.01%$11,582$11,587-7.75%-7.04%-11.02%
20111011.54%11.72%$12,919$12,94511.54%10.93%14.27%
201111-0.29%-0.30%$12,882$12,906-0.29%-0.22%-0.52%
2011120.82%0.75%$12,988$13,0030.82%1.03%-0.11%
201215.08%5.24%$13,648$13,6855.08%4.47%7.55%
201224.26%4.25%$14,229$14,2674.26%4.32%4.04%
201233.07%3.03%$14,665$14,6993.07%3.29%2.27%
20124-0.63%-0.69%$14,574$14,598-0.63%-0.63%-0.84%
20125-6.23%-6.27%$13,665$13,683-6.23%-6.01%-7.03%
201263.94%3.88%$14,204$14,2133.94%4.12%3.13%
201271.03%0.88%$14,350$14,3391.03%1.38%-0.61%
201282.51%2.60%$14,710$14,7122.51%2.25%3.67%
201292.58%2.55%$15,089$15,0872.58%2.58%2.45%
201210-1.76%-1.71%$14,824$14,829-1.76%-1.85%-1.28%
2012110.74%0.85%$14,934$14,9550.74%0.58%1.68%
2012121.22%1.38%$15,116$15,1611.22%0.91%2.78%
201315.50%5.58%$15,947$16,0075.50%5.18%6.76%
201321.28%1.27%$16,151$16,2101.28%1.35%1.02%
201333.91%3.99%$16,782$16,8563.91%3.75%4.71%
201341.70%1.59%$17,068$17,1241.70%1.92%0.60%
201352.35%2.46%$17,468$17,5452.35%2.33%2.84%
20136-1.24%-1.26%$17,251$17,324-1.24%-1.35%-1.01%
201375.46%5.57%$18,192$18,2895.46%5.09%7.00%
20138-2.80%-2.88%$17,683$17,763-2.80%-2.90%-2.82%
201393.67%3.87%$18,332$18,4503.67%3.13%6.00%
2013104.25%4.13%$19,110$19,2114.25%4.59%2.82%
2013112.88%2.90%$19,661$19,7692.88%3.04%2.50%
2013122.66%2.65%$20,184$20,2922.66%2.53%3.00%
20141-3.11%-3.06%$19,557$19,672-3.11%-3.46%-1.85%
201424.75%4.78%$20,486$20,6124.75%4.57%5.41%
201430.52%0.44%$20,593$20,7040.52%0.84%-0.70%
201440.06%-0.09%$20,606$20,6840.06%0.74%-2.56%
201452.17%2.14%$21,053$21,1272.17%2.34%1.51%
201462.57%2.65%$21,594$21,6862.57%2.06%4.45%
20147-1.98%-2.14%$21,167$21,223-1.98%-1.38%-4.42%
201484.18%4.23%$22,052$22,1214.18%4.00%4.96%
20149-2.11%-2.31%$21,587$21,611-2.11%-1.40%-5.10%
2014102.74%2.82%$22,179$22,2212.74%2.43%4.07%
2014112.43%2.36%$22,717$22,7452.43%2.69%1.30%
2014120.00%0.03%$22,718$22,7520.00%-0.26%0.96%
20151-2.77%-2.73%$22,089$22,130-2.77%-3.00%-1.92%
201525.76%5.82%$23,361$23,4185.76%5.74%6.03%
20153-1.01%-0.87%$23,125$23,214-1.01%-1.59%1.25%
201540.42%0.31%$23,223$23,2860.42%0.95%-1.54%
201551.39%1.42%$23,545$23,6181.39%1.28%1.84%
20156-1.70%-1.62%$23,145$23,237-1.70%-1.92%-0.71%
201571.65%1.51%$23,527$23,5871.65%2.09%-0.17%
20158-6.00%-5.99%$22,114$22,174-6.00%-6.04%-5.87%
20159-2.94%-3.07%$21,463$21,492-2.94%-2.48%-4.82%
2015107.86%7.72%$23,151$23,1527.86%8.43%5.57%
2015110.56%0.65%$23,280$23,3020.56%0.30%1.73%
201512-2.04%-2.16%$22,806$22,798-2.04%-1.58%-3.94%
20161-5.65%-5.93%$21,517$21,446-5.65%-4.97%-8.82%
20162-0.04%0.01%$21,509$21,448-0.04%-0.14%0.47%
201637.03%7.14%$23,021$22,9787.03%6.78%8.23%
201640.65%0.71%$23,170$23,1420.65%0.39%1.70%
201651.77%1.79%$23,581$23,5551.77%1.79%1.78%
201660.25%0.16%$23,639$23,5940.25%0.26%-0.11%
201673.95%4.10%$24,573$24,5623.95%3.68%5.37%
201680.28%0.33%$24,641$24,6420.28%0.14%0.89%
201690.15%0.24%$24,679$24,7010.15%0.02%0.89%
201610-2.21%-2.35%$24,132$24,121-2.21%-1.83%-3.87%
2016114.45%4.75%$25,207$25,2684.45%3.70%7.90%
2016121.93%1.94%$25,694$25,7571.93%1.98%1.82%
201711.93%1.95%$26,189$26,2601.93%1.89%2.13%
201723.71%3.59%$27,161$27,2023.71%3.97%2.45%
201730.08%0.07%$27,182$27,2200.08%0.11%-0.07%
201741.05%1.05%$27,467$27,5061.05%1.02%1.13%
201751.02%0.86%$27,748$27,7431.02%1.40%-0.78%
201760.93%1.03%$28,005$28,0290.93%0.62%2.32%
201771.87%1.82%$28,528$28,5391.87%2.05%1.11%
201780.16%0.13%$28,574$28,5760.16%0.30%-0.41%
201792.46%2.59%$29,278$29,3172.46%2.07%4.23%
2017102.17%2.10%$29,914$29,9332.17%2.33%1.40%
2017113.04%3.02%$30,824$30,8373.04%3.07%2.88%
2017121.01%0.95%$31,134$31,1311.01%1.11%0.48%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2
Large-cap Value37.43%35.30%
Large-cap Growth43.12%39.04%
Mid-cap Value5.27%5.99%
Mid-cap Growth7.91%10.44%
Small-cap Value3.28%4.89%
Small-cap Growth1.85%2.57%
Global ex-US Developed Markets0.61%1.04%
Emerging Markets0.53%0.71%
Intermediate Treasuries0.00%0.00%
Long Treasuries0.00%0.00%
Corporate Bonds0.00%0.00%
Cash0.00%0.00%
R Squared99.87%99.84%
Style analysis is based on monthly returns from Apr 2005 to Dec 2017 and uses total portfolio return with monthly rebalancing.

Holdings Based Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VTSAXVanguard Total Stock Mkt Idx AdmLarge Blend100.00%$21,134100.00%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Exposures for Portfolio 2

Holdings Based Exposures for Portfolio 2
TickerNameCategoryWeightReturn ContributionRisk ContributionBreakdowns
VFIAXVanguard 500 Index AdmiralLarge Blend75.00%$15,27671.39%Asset Allocation, Capitalization, Sector
VEXAXVanguard Extended Market Index AdmiralMid-Cap Blend25.00%$5,85528.61%Asset Allocation, Capitalization, Sector

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 05/03/2018. © 2018 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)0.65%0.65%
Arithmetic Mean (annualized)8.09%8.12%
Geometric Mean (monthly)0.56%0.56%
Geometric Mean (annualized)6.91%6.91%
Volatility (monthly)4.26%4.33%
Volatility (annualized)14.76%14.99%
Downside Deviation (monthly)2.97%3.02%
Max. Drawdown-50.84%-51.37%
US Market Correlation1.001.00
Beta(*)1.001.02
Alpha (annualized)0.09%0.01%
R2100.00%99.92%
Sharpe Ratio0.440.43
Sortino Ratio0.620.61
Treynor Ratio (%)6.466.40
Information Ratio1.500.27
Diversification Ratio1.001.02
Skewness-0.70-0.70
Excess Kurtosis1.531.56
Historical Value-at-Risk (5%)-7.96%-8.13%
Analytical Value-at-Risk (5%)-6.36%-6.44%
Conditional Value-at-Risk (5%)-9.84%-10.01%
Upside Capture Ratio (%)100.37101.91
Downside Capture Ratio (%)99.91101.66
Positive Periods134 out of 204 (65.69%)133 out of 204 (65.20%)
Gain/Loss Ratio0.780.79
* US Stock Market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly returns.

Drawdowns for Historical Market Stress Periods

Drawdowns for Historical Market Stress Periods
Stress PeriodStartEndPortfolio 1Portfolio 2
Subprime CrisisNov 2007Mar 2009-50.84%-51.37%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20123 years4 years 4 months-50.84%
2Feb 2001Sep 20021 year 8 monthsDec 20042 years 3 months3 years 11 months-37.10%
3Jun 2015Sep 20154 monthsMay 20168 months1 year-8.84%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.82%
5Jun 2007Jul 20072 monthsOct 20073 months5 months-5.00%
6Jan 2005Apr 20054 monthsJul 20053 months7 months-4.64%
7May 2006May 20061 monthSep 20064 months5 months-3.23%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.11%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.80%
10Jan 2015Jan 20151 monthFeb 20151 month2 months-2.77%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20123 years4 years 4 months-51.37%
2Feb 2001Sep 20021 year 8 monthsDec 20042 years 3 months3 years 11 months-37.53%
3Jun 2015Jan 20168 monthsJul 20166 months1 year 2 months-9.20%
4Apr 2012May 20122 monthsAug 20123 months5 months-6.91%
5Jun 2007Jul 20072 monthsOct 20073 months5 months-5.14%
6Jan 2005Apr 20054 monthsJul 20053 months7 months-4.66%
7May 2006Jul 20063 monthsSep 20062 months5 months-3.44%
8Jan 2014Jan 20141 monthFeb 20141 month2 months-3.06%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.88%
10Jan 2015Jan 20151 monthFeb 20151 month2 months-2.73%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSAXVanguard Total Stock Mkt Idx Adm6.91%14.76%33.52%-36.99%-50.84%0.440.621.00
VFIAXVanguard 500 Index Admiral6.30%14.36%32.33%-36.97%-50.92%0.400.571.00
VEXAXVanguard Extended Market Index Admiral8.62%17.82%43.51%-38.63%-52.77%0.480.690.96

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSAXVFIAXVEXAXPortfolio 1Portfolio 2
VTSAXVanguard Total Stock Mkt Idx Adm-1.000.961.001.00
VFIAXVanguard 500 Index Admiral1.00-0.921.000.99
VEXAXVanguard Extended Market Index Admiral0.960.92-0.960.96

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2
VTSAXVanguard Total Stock Mkt Idx Adm$21,134
VFIAXVanguard 500 Index Admiral$15,276
VEXAXVanguard Extended Market Index Admiral$5,855

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2
VTSAXVanguard Total Stock Mkt Idx Adm100.00%
VFIAXVanguard 500 Index Admiral71.39%
VEXAXVanguard Extended Market Index Admiral28.61%

Annual Asset Returns