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 |
|---|---|---|
| VFINX | Vanguard 500 Index Investor | 100.00% |
| Save portfolio » | ||
| Portfolio | Initial Balance | Final Balance | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio 1 | $10,000 | $118,566 | 7.54% | 14.81% | 37.42% | -37.03% | -52.40% | 0.54 | 0.77 | 0.99 |
| Name | Annualized Return | Annualized Volatility | ||||||
|---|---|---|---|---|---|---|---|---|
| 3 Month | 1 year | 3 year | 5 year | 10 year | Full | 3 year | 5 year | |
| Portfolio 1 | -13.54% | -4.52% | 9.11% | 8.35% | 12.98% | 10.68% | 10.95% | 10.94% |
| Trailing annualized return and volatility are for full months ending in December 2018 excluding portfolio cashflows. | ||||||||
| Year | Inflation | Portfolio 1 | Vanguard 500 Index Investor (VFINX) | |||
|---|---|---|---|---|---|---|
| Return | Balance | Yield | Income | |||
| 1985 | 3.80% | 31.14% | $11,778 | 12.91% | $1,291 | 31.23% |
| 1986 | 1.10% | 18.28% | $12,433 | 12.66% | $1,491 | 18.06% |
| 1987 | 4.43% | 4.71% | $12,628 | 3.54% | $441 | 4.71% |
| 1988 | 4.42% | 16.23% | $13,924 | 5.76% | $727 | 16.22% |
| 1989 | 4.65% | 31.33% | $17,234 | 7.17% | $999 | 31.36% |
| 1990 | 6.11% | -3.35% | $16,004 | 3.78% | $651 | -3.32% |
| 1991 | 3.06% | 30.17% | $20,143 | 4.07% | $651 | 30.22% |
| 1992 | 2.90% | 7.43% | $20,989 | 3.10% | $625 | 7.42% |
| 1993 | 2.75% | 9.88% | $22,454 | 2.83% | $594 | 9.89% |
| 1994 | 2.67% | 1.22% | $22,013 | 3.13% | $702 | 1.18% |
| 1995 | 2.54% | 37.42% | $29,508 | 3.14% | $692 | 37.45% |
| 1996 | 3.32% | 22.89% | $35,435 | 2.66% | $784 | 22.88% |
| 1997 | 1.70% | 33.16% | $46,142 | 2.76% | $978 | 33.19% |
| 1998 | 1.61% | 28.60% | $58,376 | 1.94% | $897 | 28.62% |
| 1999 | 2.68% | 21.04% | $69,329 | 2.11% | $1,232 | 21.07% |
| 2000 | 3.39% | -9.06% | $62,428 | 0.96% | $666 | -9.06% |
| 2001 | 1.55% | -12.04% | $54,247 | 1.05% | $653 | -12.02% |
| 2002 | 2.38% | -22.14% | $41,573 | 1.28% | $697 | -22.15% |
| 2003 | 1.88% | 28.51% | $52,597 | 1.76% | $733 | 28.50% |
| 2004 | 3.26% | 10.73% | $57,193 | 1.90% | $999 | 10.74% |
| 2005 | 3.42% | 4.77% | $58,873 | 1.77% | $1,014 | 4.77% |
| 2006 | 2.54% | 15.63% | $66,901 | 1.86% | $1,096 | 15.64% |
| 2007 | 4.08% | 5.40% | $69,237 | 1.91% | $1,276 | 5.39% |
| 2008 | 0.09% | -37.03% | $42,567 | 1.85% | $1,283 | -37.02% |
| 2009 | 2.72% | 26.52% | $52,597 | 2.53% | $1,078 | 26.49% |
| 2010 | 1.50% | 14.93% | $59,334 | 1.91% | $1,007 | 14.91% |
| 2011 | 2.96% | 1.94% | $59,324 | 1.94% | $1,151 | 1.97% |
| 2012 | 1.74% | 15.82% | $67,300 | 2.33% | $1,383 | 15.82% |
| 2013 | 1.50% | 32.16% | $87,275 | 2.24% | $1,510 | 32.18% |
| 2014 | 0.76% | 13.50% | $97,280 | 1.94% | $1,692 | 13.51% |
| 2015 | 0.73% | 1.27% | $96,557 | 1.97% | $1,920 | 1.25% |
| 2016 | 2.07% | 11.81% | $105,825 | 2.11% | $2,037 | 11.82% |
| 2017 | 2.11% | 21.66% | $126,445 | 2.02% | $2,139 | 21.67% |
| 2018 | 1.91% | -4.52% | $118,566 | 1.82% | $2,305 | -4.52% |
| Year | Month | Portfolio 1 Return | Vanguard 500 Index Investor (VFINX) |
|---|---|---|---|
| 1985 | 1 | 7.58% | 7.58% |
| 1985 | 2 | 1.38% | 1.38% |
| 1985 | 3 | 0.00% | 0.01% |
| 1985 | 4 | -0.28% | -0.28% |
| 1985 | 5 | 6.03% | 6.03% |
| 1985 | 6 | 1.43% | 1.43% |
| 1985 | 7 | -0.22% | -0.22% |
| 1985 | 8 | -0.67% | -0.67% |
| 1985 | 9 | -3.14% | -3.14% |
| 1985 | 10 | 4.40% | 4.40% |
| 1985 | 11 | 6.94% | 6.94% |
| 1985 | 12 | 4.61% | 4.67% |
| 1986 | 1 | 0.43% | 0.43% |
| 1986 | 2 | 7.58% | 7.58% |
| 1986 | 3 | 5.48% | 5.48% |
| 1986 | 4 | -1.35% | -1.35% |
| 1986 | 5 | 5.45% | 5.45% |
| 1986 | 6 | 1.66% | 1.67% |
| 1986 | 7 | -5.74% | -5.74% |
| 1986 | 8 | 7.45% | 7.45% |
| 1986 | 9 | -8.31% | -8.31% |
| 1986 | 10 | 5.63% | 5.63% |
| 1986 | 11 | 2.55% | 2.55% |
| 1986 | 12 | -2.45% | -2.64% |
| 1987 | 1 | 13.27% | 13.27% |
| 1987 | 2 | 3.97% | 3.97% |
| 1987 | 3 | 2.90% | 2.89% |
| 1987 | 4 | -1.03% | -1.03% |
| 1987 | 5 | 1.04% | 1.04% |
| 1987 | 6 | 5.03% | 5.02% |
| 1987 | 7 | 4.91% | 4.91% |
| 1987 | 8 | 3.84% | 3.84% |
| 1987 | 9 | -2.29% | -2.29% |
| 1987 | 10 | -21.73% | -21.73% |
| 1987 | 11 | -8.19% | -8.19% |
| 1987 | 12 | 7.54% | 7.55% |
| 1988 | 1 | 4.18% | 4.17% |
| 1988 | 2 | 4.59% | 4.59% |
| 1988 | 3 | -3.04% | -3.04% |
| 1988 | 4 | 1.01% | 1.01% |
| 1988 | 5 | 0.81% | 0.81% |
| 1988 | 6 | 4.55% | 4.56% |
| 1988 | 7 | -0.37% | -0.37% |
| 1988 | 8 | -3.40% | -3.40% |
| 1988 | 9 | 4.25% | 4.26% |
| 1988 | 10 | 2.73% | 2.73% |
| 1988 | 11 | -1.40% | -1.40% |
| 1988 | 12 | 1.68% | 1.66% |
| 1989 | 1 | 7.32% | 7.32% |
| 1989 | 2 | -2.47% | -2.47% |
| 1989 | 3 | 2.25% | 2.26% |
| 1989 | 4 | 5.18% | 5.18% |
| 1989 | 5 | 4.04% | 4.04% |
| 1989 | 6 | -0.57% | -0.59% |
| 1989 | 7 | 9.01% | 9.01% |
| 1989 | 8 | 1.86% | 1.86% |
| 1989 | 9 | -0.41% | -0.40% |
| 1989 | 10 | -2.34% | -2.34% |
| 1989 | 11 | 2.04% | 2.04% |
| 1989 | 12 | 2.35% | 2.38% |
| 1990 | 1 | -6.72% | -6.72% |
| 1990 | 2 | 1.27% | 1.27% |
| 1990 | 3 | 2.61% | 2.61% |
| 1990 | 4 | -2.50% | -2.50% |
| 1990 | 5 | 9.69% | 9.69% |
| 1990 | 6 | -0.66% | -0.66% |
| 1990 | 7 | -0.35% | -0.35% |
| 1990 | 8 | -9.03% | -9.03% |
| 1990 | 9 | -4.90% | -4.89% |
| 1990 | 10 | -0.41% | -0.41% |
| 1990 | 11 | 6.44% | 6.44% |
| 1990 | 12 | 2.70% | 2.72% |
| 1991 | 1 | 4.32% | 4.32% |
| 1991 | 2 | 7.15% | 7.15% |
| 1991 | 3 | 2.41% | 2.41% |
| 1991 | 4 | 0.20% | 0.20% |
| 1991 | 5 | 4.27% | 4.27% |
| 1991 | 6 | -4.56% | -4.56% |
| 1991 | 7 | 4.63% | 4.63% |
| 1991 | 8 | 2.33% | 2.33% |
| 1991 | 9 | -1.67% | -1.67% |
| 1991 | 10 | 1.33% | 1.33% |
| 1991 | 11 | -4.01% | -4.01% |
| 1991 | 12 | 11.36% | 11.41% |
| 1992 | 1 | -1.88% | -1.88% |
| 1992 | 2 | 1.24% | 1.24% |
| 1992 | 3 | -1.92% | -1.93% |
| 1992 | 4 | 2.91% | 2.91% |
| 1992 | 5 | 0.48% | 0.48% |
| 1992 | 6 | -1.50% | -1.49% |
| 1992 | 7 | 4.04% | 4.04% |
| 1992 | 8 | -2.07% | -2.07% |
| 1992 | 9 | 1.17% | 1.17% |
| 1992 | 10 | 0.33% | 0.33% |
| 1992 | 11 | 3.40% | 3.40% |
| 1992 | 12 | 1.22% | 1.21% |
| 1993 | 1 | 0.81% | 0.81% |
| 1993 | 2 | 1.36% | 1.36% |
| 1993 | 3 | 2.10% | 2.11% |
| 1993 | 4 | -2.42% | -2.42% |
| 1993 | 5 | 2.65% | 2.65% |
| 1993 | 6 | 0.26% | 0.27% |
| 1993 | 7 | -0.42% | -0.42% |
| 1993 | 8 | 3.79% | 3.79% |
| 1993 | 9 | -0.80% | -0.79% |
| 1993 | 10 | 2.08% | 2.08% |
| 1993 | 11 | -1.00% | -1.00% |
| 1993 | 12 | 1.23% | 1.22% |
| 1994 | 1 | 3.38% | 3.38% |
| 1994 | 2 | -2.71% | -2.71% |
| 1994 | 3 | -4.36% | -4.39% |
| 1994 | 4 | 1.29% | 1.29% |
| 1994 | 5 | 1.63% | 1.63% |
| 1994 | 6 | -2.46% | -2.47% |
| 1994 | 7 | 3.28% | 3.28% |
| 1994 | 8 | 4.08% | 4.08% |
| 1994 | 9 | -2.45% | -2.45% |
| 1994 | 10 | 2.25% | 2.25% |
| 1994 | 11 | -3.65% | -3.65% |
| 1994 | 12 | 1.47% | 1.46% |
| 1995 | 1 | 2.58% | 2.58% |
| 1995 | 2 | 3.88% | 3.88% |
| 1995 | 3 | 2.95% | 2.95% |
| 1995 | 4 | 2.94% | 2.94% |
| 1995 | 5 | 3.95% | 3.95% |
| 1995 | 6 | 2.31% | 2.31% |
| 1995 | 7 | 3.30% | 3.30% |
| 1995 | 8 | 0.25% | 0.25% |
| 1995 | 9 | 4.23% | 4.23% |
| 1995 | 10 | -0.36% | -0.36% |
| 1995 | 11 | 4.38% | 4.38% |
| 1995 | 12 | 1.92% | 1.93% |
| 1996 | 1 | 3.39% | 3.39% |
| 1996 | 2 | 0.92% | 0.92% |
| 1996 | 3 | 0.98% | 0.98% |
| 1996 | 4 | 1.46% | 1.46% |
| 1996 | 5 | 2.54% | 2.54% |
| 1996 | 6 | 0.38% | 0.38% |
| 1996 | 7 | -4.42% | -4.42% |
| 1996 | 8 | 2.10% | 2.10% |
| 1996 | 9 | 5.61% | 5.61% |
| 1996 | 10 | 2.76% | 2.76% |
| 1996 | 11 | 7.56% | 7.56% |
| 1996 | 12 | -1.95% | -1.96% |
| 1997 | 1 | 6.22% | 6.22% |
| 1997 | 2 | 0.79% | 0.79% |
| 1997 | 3 | -4.12% | -4.14% |
| 1997 | 4 | 5.96% | 5.96% |
| 1997 | 5 | 6.09% | 6.09% |
| 1997 | 6 | 4.46% | 4.45% |
| 1997 | 7 | 7.97% | 7.97% |
| 1997 | 8 | -5.61% | -5.61% |
| 1997 | 9 | 5.47% | 5.47% |
| 1997 | 10 | -3.35% | -3.35% |
| 1997 | 11 | 4.60% | 4.60% |
| 1997 | 12 | 1.68% | 1.72% |
| 1998 | 1 | 1.11% | 1.11% |
| 1998 | 2 | 7.19% | 7.19% |
| 1998 | 3 | 5.10% | 5.10% |
| 1998 | 4 | 1.01% | 1.01% |
| 1998 | 5 | -1.74% | -1.74% |
| 1998 | 6 | 4.07% | 4.07% |
| 1998 | 7 | -1.05% | -1.05% |
| 1998 | 8 | -14.47% | -14.47% |
| 1998 | 9 | 6.42% | 6.41% |
| 1998 | 10 | 8.16% | 8.16% |
| 1998 | 11 | 6.07% | 6.07% |
| 1998 | 12 | 5.79% | 5.81% |
| 1999 | 1 | 4.20% | 4.20% |
| 1999 | 2 | -3.12% | -3.12% |
| 1999 | 3 | 3.99% | 4.00% |
| 1999 | 4 | 3.85% | 3.85% |
| 1999 | 5 | -2.39% | -2.39% |
| 1999 | 6 | 5.54% | 5.56% |
| 1999 | 7 | -3.13% | -3.13% |
| 1999 | 8 | -0.50% | -0.50% |
| 1999 | 9 | -2.74% | -2.74% |
| 1999 | 10 | 6.33% | 6.33% |
| 1999 | 11 | 2.02% | 2.02% |
| 1999 | 12 | 5.97% | 5.98% |
| 2000 | 1 | -5.03% | -5.03% |
| 2000 | 2 | -1.91% | -1.91% |
| 2000 | 3 | 9.76% | 9.75% |
| 2000 | 4 | -3.00% | -3.00% |
| 2000 | 5 | -2.04% | -2.04% |
| 2000 | 6 | 2.49% | 2.49% |
| 2000 | 7 | -1.50% | -1.50% |
| 2000 | 8 | 6.19% | 6.19% |
| 2000 | 9 | -5.29% | -5.29% |
| 2000 | 10 | -0.43% | -0.43% |
| 2000 | 11 | -7.89% | -7.89% |
| 2000 | 12 | 0.51% | 0.51% |
| 2001 | 1 | 3.55% | 3.55% |
| 2001 | 2 | -9.14% | -9.14% |
| 2001 | 3 | -6.36% | -6.36% |
| 2001 | 4 | 7.77% | 7.77% |
| 2001 | 5 | 0.65% | 0.65% |
| 2001 | 6 | -2.45% | -2.45% |
| 2001 | 7 | -1.00% | -1.00% |
| 2001 | 8 | -6.27% | -6.27% |
| 2001 | 9 | -8.11% | -8.09% |
| 2001 | 10 | 1.90% | 1.90% |
| 2001 | 11 | 7.65% | 7.65% |
| 2001 | 12 | 0.88% | 0.87% |
| 2002 | 1 | -1.47% | -1.47% |
| 2002 | 2 | -1.94% | -1.94% |
| 2002 | 3 | 3.74% | 3.74% |
| 2002 | 4 | -6.07% | -6.07% |
| 2002 | 5 | -0.75% | -0.75% |
| 2002 | 6 | -7.13% | -7.13% |
| 2002 | 7 | -7.72% | -7.72% |
| 2002 | 8 | 0.65% | 0.65% |
| 2002 | 9 | -10.87% | -10.87% |
| 2002 | 10 | 8.78% | 8.78% |
| 2002 | 11 | 5.88% | 5.88% |
| 2002 | 12 | -5.90% | -5.89% |
| 2003 | 1 | -2.62% | -2.62% |
| 2003 | 2 | -1.52% | -1.52% |
| 2003 | 3 | 0.96% | 0.96% |
| 2003 | 4 | 8.25% | 8.25% |
| 2003 | 5 | 5.26% | 5.26% |
| 2003 | 6 | 1.27% | 1.26% |
| 2003 | 7 | 1.74% | 1.74% |
| 2003 | 8 | 1.93% | 1.93% |
| 2003 | 9 | -1.07% | -1.07% |
| 2003 | 10 | 5.64% | 5.64% |
| 2003 | 11 | 0.86% | 0.86% |
| 2003 | 12 | 5.21% | 5.22% |
| 2004 | 1 | 1.82% | 1.82% |
| 2004 | 2 | 1.38% | 1.38% |
| 2004 | 3 | -1.52% | -1.51% |
| 2004 | 4 | -1.58% | -1.58% |
| 2004 | 5 | 1.36% | 1.36% |
| 2004 | 6 | 1.93% | 1.93% |
| 2004 | 7 | -3.31% | -3.31% |
| 2004 | 8 | 0.38% | 0.38% |
| 2004 | 9 | 1.07% | 1.07% |
| 2004 | 10 | 1.51% | 1.51% |
| 2004 | 11 | 4.05% | 4.05% |
| 2004 | 12 | 3.39% | 3.39% |
| 2005 | 1 | -2.45% | -2.45% |
| 2005 | 2 | 2.09% | 2.09% |
| 2005 | 3 | -1.76% | -1.76% |
| 2005 | 4 | -1.91% | -1.91% |
| 2005 | 5 | 3.17% | 3.17% |
| 2005 | 6 | 0.13% | 0.13% |
| 2005 | 7 | 3.71% | 3.71% |
| 2005 | 8 | -0.91% | -0.91% |
| 2005 | 9 | 0.79% | 0.79% |
| 2005 | 10 | -1.68% | -1.68% |
| 2005 | 11 | 3.76% | 3.76% |
| 2005 | 12 | 0.03% | 0.02% |
| 2006 | 1 | 2.65% | 2.65% |
| 2006 | 2 | 0.26% | 0.26% |
| 2006 | 3 | 1.23% | 1.23% |
| 2006 | 4 | 1.33% | 1.33% |
| 2006 | 5 | -2.90% | -2.90% |
| 2006 | 6 | 0.12% | 0.13% |
| 2006 | 7 | 0.61% | 0.61% |
| 2006 | 8 | 2.36% | 2.36% |
| 2006 | 9 | 2.56% | 2.56% |
| 2006 | 10 | 3.25% | 3.25% |
| 2006 | 11 | 1.89% | 1.89% |
| 2006 | 12 | 1.39% | 1.39% |
| 2007 | 1 | 1.49% | 1.49% |
| 2007 | 2 | -1.97% | -1.97% |
| 2007 | 3 | 1.12% | 1.11% |
| 2007 | 4 | 4.42% | 4.42% |
| 2007 | 5 | 3.48% | 3.48% |
| 2007 | 6 | -1.68% | -1.68% |
| 2007 | 7 | -3.08% | -3.08% |
| 2007 | 8 | 1.50% | 1.50% |
| 2007 | 9 | 3.72% | 3.72% |
| 2007 | 10 | 1.58% | 1.58% |
| 2007 | 11 | -4.19% | -4.19% |
| 2007 | 12 | -0.69% | -0.70% |
| 2008 | 1 | -6.02% | -6.02% |
| 2008 | 2 | -3.25% | -3.25% |
| 2008 | 3 | -0.44% | -0.44% |
| 2008 | 4 | 4.85% | 4.85% |
| 2008 | 5 | 1.29% | 1.29% |
| 2008 | 6 | -8.44% | -8.44% |
| 2008 | 7 | -0.83% | -0.83% |
| 2008 | 8 | 1.45% | 1.45% |
| 2008 | 9 | -8.89% | -8.91% |
| 2008 | 10 | -16.79% | -16.79% |
| 2008 | 11 | -7.17% | -7.17% |
| 2008 | 12 | 1.04% | 1.07% |
| 2009 | 1 | -8.41% | -8.41% |
| 2009 | 2 | -10.66% | -10.66% |
| 2009 | 3 | 8.79% | 8.76% |
| 2009 | 4 | 9.56% | 9.56% |
| 2009 | 5 | 5.62% | 5.62% |
| 2009 | 6 | 0.21% | 0.22% |
| 2009 | 7 | 7.58% | 7.58% |
| 2009 | 8 | 3.60% | 3.60% |
| 2009 | 9 | 3.72% | 3.72% |
| 2009 | 10 | -1.87% | -1.87% |
| 2009 | 11 | 5.98% | 5.98% |
| 2009 | 12 | 1.95% | 1.95% |
| 2010 | 1 | -3.60% | -3.60% |
| 2010 | 2 | 3.09% | 3.09% |
| 2010 | 3 | 6.01% | 6.01% |
| 2010 | 4 | 1.58% | 1.58% |
| 2010 | 5 | -8.01% | -8.01% |
| 2010 | 6 | -5.22% | -5.24% |
| 2010 | 7 | 7.00% | 7.00% |
| 2010 | 8 | -4.53% | -4.53% |
| 2010 | 9 | 8.91% | 8.92% |
| 2010 | 10 | 3.79% | 3.79% |
| 2010 | 11 | 0.00% | 0.00% |
| 2010 | 12 | 6.67% | 6.67% |
| 2011 | 1 | 2.36% | 2.36% |
| 2011 | 2 | 3.42% | 3.42% |
| 2011 | 3 | 0.02% | 0.03% |
| 2011 | 4 | 2.95% | 2.95% |
| 2011 | 5 | -1.15% | -1.15% |
| 2011 | 6 | -1.68% | -1.67% |
| 2011 | 7 | -2.05% | -2.05% |
| 2011 | 8 | -5.45% | -5.45% |
| 2011 | 9 | -7.04% | -7.04% |
| 2011 | 10 | 10.91% | 10.91% |
| 2011 | 11 | -0.23% | -0.23% |
| 2011 | 12 | 1.02% | 1.02% |
| 2012 | 1 | 4.46% | 4.46% |
| 2012 | 2 | 4.31% | 4.31% |
| 2012 | 3 | 3.28% | 3.28% |
| 2012 | 4 | -0.64% | -0.64% |
| 2012 | 5 | -6.02% | -6.02% |
| 2012 | 6 | 4.10% | 4.11% |
| 2012 | 7 | 1.37% | 1.37% |
| 2012 | 8 | 2.24% | 2.24% |
| 2012 | 9 | 2.58% | 2.58% |
| 2012 | 10 | -1.86% | -1.86% |
| 2012 | 11 | 0.56% | 0.56% |
| 2012 | 12 | 0.90% | 0.90% |
| 2013 | 1 | 5.18% | 5.18% |
| 2013 | 2 | 1.34% | 1.34% |
| 2013 | 3 | 3.73% | 3.74% |
| 2013 | 4 | 1.91% | 1.91% |
| 2013 | 5 | 2.33% | 2.33% |
| 2013 | 6 | -1.35% | -1.35% |
| 2013 | 7 | 5.07% | 5.07% |
| 2013 | 8 | -2.91% | -2.91% |
| 2013 | 9 | 3.13% | 3.12% |
| 2013 | 10 | 4.59% | 4.59% |
| 2013 | 11 | 3.03% | 3.03% |
| 2013 | 12 | 2.51% | 2.51% |
| 2014 | 1 | -3.47% | -3.47% |
| 2014 | 2 | 4.56% | 4.56% |
| 2014 | 3 | 0.82% | 0.82% |
| 2014 | 4 | 0.72% | 0.72% |
| 2014 | 5 | 2.33% | 2.33% |
| 2014 | 6 | 2.05% | 2.05% |
| 2014 | 7 | -1.39% | -1.39% |
| 2014 | 8 | 3.98% | 3.98% |
| 2014 | 9 | -1.40% | -1.41% |
| 2014 | 10 | 2.42% | 2.42% |
| 2014 | 11 | 2.68% | 2.68% |
| 2014 | 12 | -0.28% | -0.26% |
| 2015 | 1 | -3.02% | -3.02% |
| 2015 | 2 | 5.74% | 5.74% |
| 2015 | 3 | -1.58% | -1.59% |
| 2015 | 4 | 0.95% | 0.95% |
| 2015 | 5 | 1.27% | 1.27% |
| 2015 | 6 | -1.92% | -1.93% |
| 2015 | 7 | 2.08% | 2.08% |
| 2015 | 8 | -6.05% | -6.05% |
| 2015 | 9 | -2.48% | -2.48% |
| 2015 | 10 | 8.42% | 8.42% |
| 2015 | 11 | 0.29% | 0.29% |
| 2015 | 12 | -1.60% | -1.59% |
| 2016 | 1 | -4.98% | -4.98% |
| 2016 | 2 | -0.15% | -0.15% |
| 2016 | 3 | 6.77% | 6.78% |
| 2016 | 4 | 0.37% | 0.37% |
| 2016 | 5 | 1.78% | 1.78% |
| 2016 | 6 | 0.25% | 0.25% |
| 2016 | 7 | 3.68% | 3.68% |
| 2016 | 8 | 0.13% | 0.13% |
| 2016 | 9 | 0.01% | 0.01% |
| 2016 | 10 | -1.83% | -1.83% |
| 2016 | 11 | 3.70% | 3.70% |
| 2016 | 12 | 1.97% | 1.96% |
| 2017 | 1 | 1.88% | 1.88% |
| 2017 | 2 | 3.96% | 3.96% |
| 2017 | 3 | 0.10% | 0.10% |
| 2017 | 4 | 1.02% | 1.02% |
| 2017 | 5 | 1.39% | 1.39% |
| 2017 | 6 | 0.61% | 0.61% |
| 2017 | 7 | 2.04% | 2.04% |
| 2017 | 8 | 0.29% | 0.29% |
| 2017 | 9 | 2.06% | 2.06% |
| 2017 | 10 | 2.32% | 2.32% |
| 2017 | 11 | 3.06% | 3.06% |
| 2017 | 12 | 1.10% | 1.10% |
| 2018 | 1 | 5.71% | 5.71% |
| 2018 | 2 | -3.69% | -3.69% |
| 2018 | 3 | -2.56% | -2.56% |
| 2018 | 4 | 0.37% | 0.37% |
| 2018 | 5 | 2.39% | 2.39% |
| 2018 | 6 | 0.60% | 0.61% |
| 2018 | 7 | 3.71% | 3.71% |
| 2018 | 8 | 3.25% | 3.25% |
| 2018 | 9 | 0.55% | 0.55% |
| 2018 | 10 | -6.85% | -6.85% |
| 2018 | 11 | 2.03% | 2.03% |
| 2018 | 12 | -9.02% | -9.04% |
| Style Category | Portfolio 1 |
|---|---|
| Large-cap Value | 47.21% |
| Large-cap Growth | 52.57% |
| Mid-cap Value | 0.00% |
| Mid-cap Growth | 0.00% |
| Small-cap Value | 0.00% |
| Small-cap Growth | 0.00% |
| Global ex-US Developed Markets | 0.00% |
| Emerging Markets | 0.00% |
| Corporate Bonds | 0.00% |
| Long-Term Treasuries | 0.00% |
| Intermediate-Term Treasuries | 0.22% |
| Short-Term Treasuries | 0.00% |
| R Squared | 99.91% |
| Style analysis is based on monthly returns from April 2005 to December 2018 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 | Fees | P/E | Return Contribution | Risk Contribution |
|---|---|---|---|---|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | Large Blend | 100.00% | 1.40% | 0.14% | 27.41 | $145,958 | 100.00% |
| Return contribution includes $37,392 cash distribution from dividends that were not reinvested | ||||||||
Fund fundamentals data as of 02/26/2021. (c) 2021 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 |
|---|---|
| Arithmetic Mean (monthly) | 0.94% |
| Arithmetic Mean (annualized) | 11.91% |
| Geometric Mean (monthly) | 0.85% |
| Geometric Mean (annualized) | 7.54% |
| Volatility (monthly) | 4.28% |
| Volatility (annualized) | 14.81% |
| Downside Deviation (monthly) | 2.84% |
| Max. Drawdown | -52.40% |
| US Market Correlation | 0.99 |
| Beta(*) | 0.98 |
| Alpha (annualized) | 0.40% |
| R2 | 97.82% |
| Sharpe Ratio | 0.54 |
| Sortino Ratio | 0.77 |
| Treynor Ratio (%) | 8.12 |
| Calmar Ratio | 0.67 |
| Active Return | 0.20% |
| Tracking Error | 2.21% |
| Information Ratio | 0.09 |
| Skewness | -0.81 |
| Excess Kurtosis | 2.59 |
| Historical Value-at-Risk (5%) | -6.80% |
| Analytical Value-at-Risk (5%) | -6.09% |
| Conditional Value-at-Risk (5%) | -9.71% |
| Upside Capture Ratio (%) | 98.10 |
| Downside Capture Ratio (%) | 96.40 |
| Safe Withdrawal Rate | 11.20% |
| Perpetual Withdrawal Rate | 7.31% |
| Positive Periods | 267 out of 408 (65.44%) |
| Gain/Loss Ratio | 0.93 |
| * US stock market is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values. | |
| Stress Period | Start | End | Portfolio 1 |
|---|---|---|---|
| Black Monday Period | Sep 1987 | Nov 1987 | -29.78% |
| Asian Crisis | Jul 1997 | Jan 1998 | -5.61% |
| Russian Debt Default | Jul 1998 | Oct 1998 | -15.38% |
| Dotcom Crash | Mar 2000 | Oct 2002 | -44.83% |
| Subprime Crisis | Nov 2007 | Mar 2009 | -50.97% |
| Rank | Start | End | Length | Recovery By | Recovery Time | Underwater Period | Drawdown |
|---|---|---|---|---|---|---|---|
| 1 | Nov 2007 | Feb 2009 | 1 year 4 months | Mar 2013 | 4 years 1 month | 5 years 5 months | -52.40% |
| 2 | Sep 2000 | Sep 2002 | 2 years 1 month | May 2007 | 4 years 8 months | 6 years 9 months | -46.37% |
| 3 | Sep 1987 | Nov 1987 | 3 months | Jul 1989 | 1 year 8 months | 1 year 11 months | -30.17% |
| 4 | Jun 1990 | Oct 1990 | 5 months | Feb 1991 | 4 months | 9 months | -15.68% |
| 5 | Jul 1998 | Aug 1998 | 2 months | Nov 1998 | 3 months | 5 months | -15.38% |
| 6 | Oct 2018 | Dec 2018 | 3 months | -13.99% | |||
| 7 | Sep 1986 | Dec 1986 | 4 months | Feb 1987 | 2 months | 6 months | -12.35% |
| 8 | Jun 2015 | Sep 2015 | 4 months | Jul 2016 | 10 months | 1 year 2 months | -9.14% |
| 9 | Sep 1989 | Jan 1990 | 5 months | May 1990 | 4 months | 9 months | -9.10% |
| 10 | Feb 1994 | Jun 1994 | 5 months | Feb 1995 | 8 months | 1 year 1 month | -7.72% |
| Worst 10 drawdowns included above | |||||||
| Ticker | Name | CAGR | Stdev | Best Year | Worst Year | Max. Drawdown | Sharpe Ratio | Sortino Ratio | US Mkt Correlation |
|---|---|---|---|---|---|---|---|---|---|
| VFINX | Vanguard 500 Index Investor | 10.68% | 14.82% | 37.45% | -37.02% | -50.97% | 0.54 | 0.77 | 0.99 |
| Roll Period | Average | High | Low |
|---|---|---|---|
| 1 year | 12.19% | 53.65% | -43.33% |
| 3 years | 10.67% | 32.67% | -16.14% |
| 5 years | 10.38% | 28.48% | -6.73% |
| 7 years | 9.99% | 21.51% | -3.95% |
| 10 years | 9.45% | 19.37% | -3.52% |
| 15 years | 8.87% | 18.68% | 3.64% |