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 - Sep 2017)

Portfolio Allocations

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

Portfolio Returns

Portfolio performance statistics
#Initial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
1$10,000$29,277 6.62% 14.85%33.52%-36.99%-50.84% 0.420.591.00
2$10,000$29,317 6.63% 15.08%33.84%-37.38%-51.37% 0.410.581.00
   
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
  • The annual results for 2017 are based on full calendar months from January to September
  • 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 dividends and distributions are reinvested. Taxes and transaction fees are not included
Annual returns for the configured portfolios
YearInflationVanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard 500 Index Admiral (VFIAX)Vanguard Extended Market Index Admiral (VEXAX)PF #1 ReturnPF #1 Inflation Adjusted ReturnPF #1 Year End BalancePF #2 ReturnPF #2 Inflation Adjusted ReturnPF #2 Year End Balance
Annual returns for 2017 are based on partial year data
20011.55%-10.89%-11.98%-9.14%-10.89%-12.25%$8,911-11.27%-12.62%$8,873
20022.38%-20.95%-22.10%-18.02%-20.95%-22.79%$7,044-21.08%-22.91%$7,003
20031.88%31.42%28.59%43.51%31.42%28.99%$9,25732.32%29.88%$9,267
20043.26%12.61%10.82%18.82%12.61%9.06%$10,42512.82%9.26%$10,455
20053.42%6.09%4.87%10.47%6.09%2.58%$11,0596.27%2.76%$11,110
20062.54%15.63%15.75%14.43%15.63%12.76%$12,78715.42%12.56%$12,823
20074.08%5.57%5.47%4.48%5.57%1.43%$13,4995.22%1.10%$13,493
20080.09%-36.99%-36.97%-38.63%-36.99%-37.05%$8,506-37.38%-37.44%$8,448
20092.72%28.83%26.62%37.65%28.83%25.41%$10,95829.38%25.95%$10,930
20101.50%17.26%15.05%27.57%17.26%15.53%$12,84918.18%16.44%$12,917
20112.96%1.08%2.08%-3.59%1.08%-1.83%$12,9880.67%-2.23%$13,003
20121.74%16.38%15.96%18.48%16.38%14.39%$15,11616.59%14.60%$15,161
20131.50%33.52%32.33%38.37%33.52%31.55%$20,18333.84%31.86%$20,292
20140.76%12.56%13.64%7.56%12.56%11.71%$22,71812.12%11.28%$22,752
20150.73%0.39%1.36%-3.27%0.39%-0.34%$22,8060.20%-0.52%$22,798
20162.07%12.66%11.93%16.13%12.66%10.37%$25,69412.98%10.68%$25,757
20172.23%13.95%14.20%12.68%13.95%11.46%$29,27713.82%11.34%$29,317
Monthly returns for the configured portfolios
YearMonthVanguard Total Stock Mkt Idx Adm (VTSAX)Vanguard 500 Index Admiral (VFIAX)Vanguard Extended Market Index Admiral (VEXAX)PF #1 ReturnPF #1 Month End BalancePF #2 ReturnPF #2 Month End Balance
200113.86%3.54%5.64%3.86%$10,3864.07%$10,407
20012-9.44%-9.14%-12.10%-9.44%$9,405-9.89%$9,378
20013-6.71%-6.34%-9.27%-6.71%$8,774-7.07%$8,715
200148.16%7.76%10.68%8.16%$9,4918.47%$9,453
200151.01%0.67%2.34%1.01%$9,5871.08%$9,555
20016-1.62%-2.45%0.90%-1.62%$9,431-1.61%$9,401
20017-1.71%-0.99%-4.78%-1.71%$9,269-1.96%$9,217
20018-6.00%-6.26%-4.80%-6.00%$8,713-5.90%$8,673
20019-8.98%-8.09%-12.95%-8.98%$7,930-9.31%$7,865
2001102.52%1.91%5.23%2.52%$8,1302.71%$8,078
2001117.68%7.66%7.89%7.68%$8,7547.72%$8,702
2001121.79%0.87%5.30%1.79%$8,9111.97%$8,873
20021-1.28%-1.46%-1.86%-1.28%$8,797-1.56%$8,734
20022-2.05%-1.94%-2.82%-2.05%$8,617-2.16%$8,546
200234.39%3.75%6.81%4.39%$8,9954.51%$8,931
20024-4.90%-6.07%-1.02%-4.90%$8,555-4.80%$8,503
20025-1.18%-0.74%-2.23%-1.18%$8,454-1.14%$8,406
20026-7.09%-7.13%-6.99%-7.09%$7,855-7.09%$7,810
20027-8.02%-7.72%-9.73%-8.02%$7,225-8.24%$7,166
200280.58%0.66%0.47%0.58%$7,2660.61%$7,210
20029-10.10%-10.87%-6.82%-10.10%$6,533-9.83%$6,501
2002107.65%8.78%3.35%7.65%$7,0327.35%$6,979
2002116.06%5.89%7.14%6.06%$7,4596.21%$7,412
200212-5.56%-5.89%-4.44%-5.56%$7,044-5.52%$7,003
20031-2.54%-2.62%-2.19%-2.54%$6,865-2.52%$6,827
20032-1.69%-1.51%-2.62%-1.69%$6,749-1.79%$6,705
200331.10%0.96%1.54%1.10%$6,8241.10%$6,779
200348.21%8.27%8.33%8.21%$7,3848.28%$7,340
200356.11%5.26%9.53%6.11%$7,8356.33%$7,805
200361.44%1.26%2.23%1.44%$7,9481.51%$7,923
200372.36%1.76%4.64%2.36%$8,1352.50%$8,121
200382.39%1.93%4.17%2.39%$8,3292.53%$8,326
20039-1.13%-1.07%-1.34%-1.13%$8,235-1.14%$8,232
2003106.12%5.64%7.66%6.12%$8,7396.18%$8,740
2003111.42%0.87%3.46%1.42%$8,8631.58%$8,878
2003124.45%5.24%2.11%4.45%$9,2574.37%$9,267
200412.23%1.82%3.64%2.23%$9,4642.28%$9,477
200421.47%1.39%1.77%1.47%$9,6031.48%$9,618
20043-1.09%-1.52%0.46%-1.09%$9,498-1.01%$9,521
20044-2.11%-1.57%-4.00%-2.11%$9,298-2.19%$9,312
200451.38%1.37%1.55%1.38%$9,4271.41%$9,443
200462.07%1.93%2.72%2.07%$9,6222.13%$9,645
20047-3.80%-3.31%-5.62%-3.80%$9,256-3.90%$9,268
200480.31%0.40%0.04%0.31%$9,2840.31%$9,297
200491.76%1.08%3.97%1.76%$9,4481.80%$9,465
2004101.71%1.52%2.27%1.71%$9,6101.71%$9,627
2004114.68%4.05%6.87%4.68%$10,0604.77%$10,086
2004123.62%3.40%4.38%3.62%$10,4253.66%$10,455
20051-2.68%-2.44%-3.35%-2.68%$10,146-2.66%$10,176
200522.11%2.09%1.88%2.11%$10,3592.04%$10,384
20053-1.76%-1.76%-1.78%-1.76%$10,177-1.76%$10,201
20054-2.32%-1.90%-3.46%-2.32%$9,941-2.29%$9,967
200553.77%3.18%5.98%3.77%$10,3153.86%$10,352
200560.84%0.14%3.16%0.84%$10,4010.89%$10,445
200574.14%3.72%5.62%4.14%$10,8324.20%$10,884
20058-0.94%-0.91%-1.09%-0.94%$10,730-0.96%$10,779
200590.85%0.80%0.96%0.85%$10,8210.84%$10,870
200510-1.86%-1.67%-2.49%-1.86%$10,619-1.88%$10,665
2005114.01%3.77%4.68%4.01%$11,0454.01%$11,092
2005120.13%0.03%0.53%0.13%$11,0590.16%$11,110
200613.50%2.65%6.71%3.50%$11,4463.67%$11,518
200620.03%0.27%-0.85%0.03%$11,450-0.02%$11,516
200631.79%1.24%3.80%1.79%$11,6551.90%$11,734
200641.11%1.34%0.35%1.11%$11,7841.08%$11,861
20065-3.23%-2.89%-4.58%-3.23%$11,403-3.33%$11,467
200660.20%0.14%0.39%0.20%$11,4260.20%$11,490
20067-0.10%0.61%-3.01%-0.10%$11,415-0.32%$11,453
200682.31%2.37%1.82%2.31%$11,6792.23%$11,709
200692.26%2.58%0.95%2.26%$11,9432.18%$11,964
2006103.56%3.25%4.88%3.56%$12,3683.65%$12,401
2006112.23%1.90%3.70%2.23%$12,6452.34%$12,691
2006121.13%1.40%-0.04%1.13%$12,7871.04%$12,823
200711.88%1.51%3.41%1.88%$13,0271.98%$13,078
20072-1.61%-1.97%-0.32%-1.61%$12,817-1.55%$12,875
200731.13%1.12%1.15%1.13%$12,9611.13%$13,020
200744.04%4.42%2.40%4.04%$13,4853.90%$13,528
200753.69%3.48%4.70%3.69%$13,9823.79%$14,041
20076-1.68%-1.66%-1.87%-1.68%$13,748-1.72%$13,800
20077-3.38%-3.08%-4.67%-3.38%$13,283-3.48%$13,319
200781.45%1.50%1.11%1.45%$13,4761.40%$13,506
200793.61%3.74%3.03%3.61%$13,9623.56%$13,987
2007101.82%1.59%2.51%1.82%$14,2171.82%$14,241
200711-4.46%-4.18%-5.99%-4.46%$13,583-4.64%$13,581
200712-0.61%-0.70%-0.48%-0.61%$13,499-0.65%$13,493
20081-6.08%-6.01%-6.19%-6.08%$12,678-6.05%$12,676
20082-3.04%-3.24%-2.48%-3.04%$12,293-3.05%$12,289
20083-0.59%-0.43%-1.14%-0.59%$12,220-0.61%$12,213
200845.02%4.87%5.63%5.02%$12,8345.06%$12,831
200852.12%1.29%4.93%2.12%$13,1062.21%$13,115
20086-8.20%-8.43%-7.48%-8.20%$12,031-8.19%$12,041
20087-0.77%-0.82%-0.46%-0.77%$11,939-0.73%$11,953
200881.61%1.45%2.15%1.61%$12,1321.63%$12,148
20089-9.28%-8.90%-11.35%-9.28%$11,006-9.54%$10,989
200810-17.63%-16.78%-21.51%-17.63%$9,066-17.99%$9,011
200811-7.86%-7.16%-11.23%-7.86%$8,353-8.16%$8,276
2008121.83%1.06%5.37%1.83%$8,5062.09%$8,448
20091-8.26%-8.41%-8.41%-8.26%$7,804-8.41%$7,738
20092-10.45%-10.64%-10.10%-10.45%$6,988-10.51%$6,925
200938.73%8.78%8.97%8.73%$7,5998.83%$7,536
2009410.60%9.56%15.88%10.60%$8,40411.15%$8,376
200955.33%5.63%4.29%5.33%$8,8525.28%$8,818
200960.37%0.23%0.73%0.37%$8,8840.36%$8,850
200977.87%7.58%8.97%7.87%$9,5837.94%$9,553
200983.63%3.61%3.71%3.63%$9,9313.64%$9,900
200994.25%3.73%6.08%4.25%$10,3534.35%$10,330
200910-2.61%-1.86%-5.79%-2.61%$10,083-2.91%$10,030
2009115.66%6.00%3.89%5.66%$10,6545.45%$10,577
2009122.85%1.95%7.41%2.85%$10,9583.35%$10,930
20101-3.46%-3.59%-3.34%-3.46%$10,579-3.53%$10,545
201023.36%3.09%4.78%3.36%$10,9343.51%$10,915
201036.26%6.03%7.55%6.26%$11,6196.42%$11,616
201042.21%1.59%5.00%2.21%$11,8752.46%$11,902
20105-8.00%-8.00%-7.55%-8.00%$10,925-7.88%$10,964
20106-5.67%-5.23%-7.04%-5.67%$10,306-5.71%$10,338
201077.03%7.01%7.10%7.03%$11,0307.03%$11,065
20108-4.75%-4.52%-5.73%-4.75%$10,507-4.83%$10,530
201099.50%8.93%11.35%9.50%$11,5059.55%$11,536
2010103.94%3.81%4.24%3.94%$11,9583.92%$11,988
2010110.58%0.01%3.16%0.58%$12,0270.84%$12,088
2010126.83%6.68%7.33%6.83%$12,8496.86%$12,917
201112.19%2.37%1.43%2.19%$13,1302.13%$13,193
201123.63%3.42%4.71%3.63%$13,6063.74%$13,686
201130.45%0.03%2.19%0.45%$13,6670.57%$13,765
201142.99%2.96%2.77%2.99%$14,0752.91%$14,166
20115-1.16%-1.14%-1.35%-1.16%$13,912-1.19%$13,997
20116-1.79%-1.66%-2.31%-1.79%$13,663-1.83%$13,741
20117-2.22%-2.04%-3.16%-2.22%$13,360-2.32%$13,422
20118-6.02%-5.43%-8.33%-6.02%$12,555-6.16%$12,596
20119-7.75%-7.04%-11.02%-7.75%$11,582-8.01%$11,587
20111011.54%10.93%14.27%11.54%$12,91911.72%$12,945
201111-0.29%-0.22%-0.52%-0.29%$12,882-0.30%$12,906
2011120.82%1.03%-0.11%0.82%$12,9880.75%$13,003
201215.08%4.47%7.55%5.08%$13,6485.24%$13,685
201224.26%4.32%4.04%4.26%$14,2294.25%$14,267
201233.07%3.29%2.27%3.07%$14,6653.03%$14,699
20124-0.63%-0.63%-0.84%-0.63%$14,574-0.69%$14,598
20125-6.23%-6.01%-7.03%-6.23%$13,665-6.27%$13,683
201263.94%4.12%3.13%3.94%$14,2033.88%$14,213
201271.03%1.38%-0.61%1.03%$14,3500.88%$14,339
201282.51%2.25%3.67%2.51%$14,7102.60%$14,712
201292.58%2.58%2.45%2.58%$15,0892.55%$15,087
201210-1.76%-1.85%-1.28%-1.76%$14,824-1.71%$14,829
2012110.74%0.58%1.68%0.74%$14,9330.85%$14,955
2012121.22%0.91%2.78%1.22%$15,1161.38%$15,161
201315.50%5.18%6.76%5.50%$15,9475.58%$16,007
201321.28%1.35%1.02%1.28%$16,1501.27%$16,210
201333.91%3.75%4.71%3.91%$16,7823.99%$16,856
201341.70%1.92%0.60%1.70%$17,0671.59%$17,124
201352.35%2.33%2.84%2.35%$17,4682.46%$17,545
20136-1.24%-1.35%-1.01%-1.24%$17,251-1.26%$17,324
201375.46%5.09%7.00%5.46%$18,1925.57%$18,289
20138-2.80%-2.90%-2.82%-2.80%$17,683-2.88%$17,763
201393.67%3.13%6.00%3.67%$18,3323.87%$18,450
2013104.25%4.59%2.82%4.25%$19,1104.13%$19,211
2013112.88%3.04%2.50%2.88%$19,6612.90%$19,769
2013122.66%2.53%3.00%2.66%$20,1832.65%$20,292
20141-3.11%-3.46%-1.85%-3.11%$19,556-3.06%$19,672
201424.75%4.57%5.41%4.75%$20,4864.78%$20,612
201430.52%0.84%-0.70%0.52%$20,5930.44%$20,704
201440.06%0.74%-2.56%0.06%$20,606-0.09%$20,684
201452.17%2.34%1.51%2.17%$21,0532.14%$21,127
201462.57%2.06%4.45%2.57%$21,5942.65%$21,686
20147-1.98%-1.38%-4.42%-1.98%$21,166-2.14%$21,223
201484.18%4.00%4.96%4.18%$22,0514.23%$22,121
20149-2.11%-1.40%-5.10%-2.11%$21,587-2.31%$21,611
2014102.74%2.43%4.07%2.74%$22,1782.82%$22,221
2014112.43%2.69%1.30%2.43%$22,7172.36%$22,745
2014120.00%-0.26%0.96%0.00%$22,7180.03%$22,752
20151-2.77%-3.00%-1.92%-2.77%$22,088-2.73%$22,130
201525.76%5.74%6.03%5.76%$23,3615.82%$23,418
20153-1.01%-1.59%1.25%-1.01%$23,125-0.87%$23,214
201540.42%0.95%-1.54%0.42%$23,2220.31%$23,286
201551.39%1.28%1.84%1.39%$23,5451.42%$23,618
20156-1.70%-1.92%-0.71%-1.70%$23,144-1.62%$23,237
201571.65%2.09%-0.17%1.65%$23,5261.51%$23,587
20158-6.00%-6.04%-5.87%-6.00%$22,114-5.99%$22,174
20159-2.94%-2.48%-4.82%-2.94%$21,463-3.07%$21,492
2015107.86%8.43%5.57%7.86%$23,1507.72%$23,152
2015110.56%0.30%1.73%0.56%$23,2800.65%$23,302
201512-2.04%-1.58%-3.94%-2.04%$22,806-2.16%$22,798
20161-5.65%-4.97%-8.82%-5.65%$21,517-5.93%$21,446
20162-0.04%-0.14%0.47%-0.04%$21,5080.01%$21,448
201637.03%6.78%8.23%7.03%$23,0217.14%$22,978
201640.65%0.39%1.70%0.65%$23,1700.71%$23,142
201651.77%1.79%1.78%1.77%$23,5801.79%$23,555
201660.25%0.26%-0.11%0.25%$23,6390.16%$23,594
201673.95%3.68%5.37%3.95%$24,5734.10%$24,562
201680.28%0.14%0.89%0.28%$24,6410.33%$24,642
201690.15%0.02%0.89%0.15%$24,6780.24%$24,701
201610-2.21%-1.83%-3.87%-2.21%$24,132-2.35%$24,121
2016114.45%3.70%7.90%4.45%$25,2074.75%$25,268
2016121.93%1.98%1.82%1.93%$25,6941.94%$25,757
201711.93%1.89%2.13%1.93%$26,1891.95%$26,260
201723.71%3.97%2.45%3.71%$27,1603.59%$27,202
201730.08%0.11%-0.07%0.08%$27,1820.07%$27,220
201741.05%1.02%1.13%1.05%$27,4671.05%$27,506
201751.02%1.40%-0.78%1.02%$27,7480.86%$27,743
201760.93%0.62%2.32%0.93%$28,0051.03%$28,029
201771.87%2.05%1.11%1.87%$28,5271.82%$28,539
201780.16%0.30%-0.41%0.16%$28,5740.13%$28,576
201792.46%2.07%4.23%2.46%$29,2772.59%$29,317
Portfolio return and risk metrics
MetricPortfolio #1Portfolio #2
(*) Beta and market correlation are calculated against the US stock market. Value-at-risk metrics are based on monthly returns.
Mean Return (monthly)0.63%0.63%
Mean Return (annualized)7.81%7.86%
Compound Return (monthly)0.54%0.54%
Compound Return (annualized)6.62%6.63%
Volatility (monthly)4.28%4.34%
Volatility (annualized)14.85%15.08%
Downside Deviation (monthly)2.99%3.04%
Max. Drawdown-50.84%-51.37%
Market Correlation1.001.00
Beta(*)1.001.02
Alpha (annualized)0.09%0.02%
R2100.00%99.92%
Sharpe Ratio0.420.41
Sortino Ratio0.590.58
Treynor Ratio (%)6.206.15
Diversification Ratio1.001.02
Skewness-0.68-0.69
Excess Kurtosis1.471.50
Historical Value-at-Risk (95%)-7.98%-8.15%
Delta Normal Value-at-Risk (95%)-7.03%-7.14%
Conditional Value-at-Risk (95%)-9.84%-10.01%
Positive Periods131 out of 201 (65.17%)130 out of 201 (64.68%)
Gain/Loss Ratio0.780.80

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20124 years 4 months-50.84%
2Feb 2001Sep 20021 year 8 monthsDec 20043 years 11 months-37.10%
3Jun 2015Sep 20154 monthsMay 20161 year-8.84%
4Apr 2012May 20122 monthsAug 20125 months-6.82%
5Jun 2007Jul 20072 monthsOct 20075 months-5.00%
6Jan 2005Apr 20054 monthsJul 20057 months-4.64%
7May 2006May 20061 monthSep 20065 months-3.23%
8Jan 2014Jan 20141 monthFeb 20142 months-3.11%
9Aug 2013Aug 20131 monthSep 20132 months-2.80%
10Jan 2015Jan 20151 monthFeb 20152 months-2.77%
11Oct 2016Oct 20161 monthNov 20162 months-2.21%
12Sep 2014Sep 20141 monthOct 20142 months-2.11%
13Jul 2014Jul 20141 monthAug 20142 months-1.98%
14Aug 2005Oct 20053 monthsNov 20054 months-1.96%
15Oct 2012Oct 20121 monthDec 20123 months-1.76%
16Feb 2007Feb 20071 monthApr 20073 months-1.61%
17Jun 2013Jun 20131 monthJul 20132 months-1.24%
18Mar 2015Mar 20151 monthMay 20153 months-1.01%

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2
RankDrawdown StartDrawdown EndDrawdown LengthRecovery ByRecovery TimeDrawdown
1Nov 2007Feb 20091 year 4 monthsFeb 20124 years 4 months-51.37%
2Feb 2001Sep 20021 year 8 monthsDec 20043 years 11 months-37.53%
3Jun 2015Jan 20168 monthsJul 20161 year 2 months-9.20%
4Apr 2012May 20122 monthsAug 20125 months-6.91%
5Jun 2007Jul 20072 monthsOct 20075 months-5.14%
6Jan 2005Apr 20054 monthsJul 20057 months-4.66%
7May 2006Jul 20063 monthsSep 20065 months-3.44%
8Jan 2014Jan 20141 monthFeb 20142 months-3.06%
9Aug 2013Aug 20131 monthSep 20132 months-2.88%
10Jan 2015Jan 20151 monthFeb 20152 months-2.73%
11Oct 2016Oct 20161 monthNov 20162 months-2.35%
12Sep 2014Sep 20141 monthOct 20142 months-2.31%
13Jul 2014Jul 20141 monthAug 20142 months-2.14%
14Aug 2005Oct 20053 monthsNov 20054 months-2.01%
15Oct 2012Oct 20121 monthDec 20123 months-1.71%
16Feb 2007Feb 20071 monthApr 20073 months-1.55%
17Jun 2013Jun 20131 monthJul 20132 months-1.26%
18Mar 2015Mar 20151 monthMay 20153 months-0.87%
19Apr 2014Apr 20141 monthMay 20142 months-0.09%
20Feb 2006Feb 20061 monthMar 20062 months-0.02%

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VTSAXVanguard Total Stock Mkt Idx Adm6.62%14.85%33.52%-36.99%-50.84%0.420.591.00
VFIAXVanguard 500 Index Admiral5.99%14.44%32.33%-36.97%-50.92%0.380.541.00
VEXAXVanguard Extended Market Index Admiral8.45%17.95%43.51%-38.63%-52.77%0.470.670.96

Monthly Correlations

Correlations for the portfolio assets
TickerNameVTSAXVFIAXVEXAXPF #1PF #2
VTSAXVanguard Total Stock Mkt Idx Adm-1.000.961.001.00
VFIAXVanguard 500 Index Admiral1.00-0.931.000.99
VEXAXVanguard Extended Market Index Admiral0.960.93-0.960.96

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePF #1PF #2
VTSAXVanguard Total Stock Mkt Idx Adm100.00%
VFIAXVanguard 500 Index Admiral71.36%
VEXAXVanguard Extended Market Index Admiral28.64%

Annual Asset Returns