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 1986 - Dec 2018)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
JNJ Johnson & Johnson 16.70%
MMM 3M Company 16.66%
PG Procter & Gamble Company 16.66%
MO Altria Group 16.66%
KO Coca-Cola Company 16.66%
XOM Exxon Mobil Corporation 16.66%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$876,552 14.52% 13.97%51.36%-19.77%-30.36% 0.821.310.67
Vanguard 500 Index Investor$10,000$239,988 10.11% 14.88%37.45%-37.02%-50.97% 0.510.730.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 1-5.97%-8.97%6.30%6.59%11.44%14.52%10.72%11.36%
Vanguard 500 Index Investor-13.55%-4.52%9.11%8.34%12.97%10.11%10.96%10.95%
Trailing annualized return and volatility are for full months ending in December 2018 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.
  • 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
  • The annual income is calculated from the difference between monthly total returns and split adjusted monthly price changes and thus includes both dividends and capital gains distributions.
  • The annual yield as a percentage is based on the portfolio asset allocation and is not impacted by cashflows.
Annual returns for the configured portfolios
YearInflationPortfolio 1Vanguard 500 Index InvestorJohnson & Johnson (JNJ)3M Company (MMM)Procter & Gamble Company (PG)Altria Group (MO)Coca-Cola Company (KO)Exxon Mobil Corporation (XOM)
ReturnBalanceYieldIncomeReturnBalance
19861.10%36.26%$13,6264.45%$44518.06%$11,80627.42%34.53%13.61%68.91%37.94%35.18%
19874.43%14.23%$15,5653.70%$5044.71%$12,36216.25%13.50%15.64%22.87%3.57%13.55%
19884.42%14.72%$17,8573.83%$59716.22%$14,36716.53%-0.20%5.55%24.61%20.59%21.25%
19894.65%51.36%$27,0294.02%$71831.36%$18,87342.61%33.01%66.74%69.15%77.06%19.63%
19906.11%20.28%$32,5123.25%$878-3.32%$18,24523.40%11.63%26.36%28.74%22.72%8.85%
19913.06%41.10%$45,8733.21%$1,04430.22%$23,75962.34%15.06%11.02%59.43%75.39%23.29%
19922.90%4.29%$47,8422.73%$1,2527.42%$25,523-10.19%9.18%16.77%-0.99%5.76%5.25%
19932.75%0.55%$48,1062.90%$1,3889.89%$28,048-8.94%11.46%8.79%-24.29%8.30%8.02%
19942.67%10.89%$53,3433.36%$1,6171.18%$28,37825.01%1.50%11.31%9.13%17.45%0.87%
19952.54%45.57%$77,6493.43%$1,83037.45%$39,00459.14%28.44%36.80%63.37%46.19%39.43%
19963.32%30.50%$101,3333.44%$2,67222.88%$47,92718.12%33.32%32.21%30.75%43.26%25.37%
19971.70%27.82%$129,5292.47%$2,50133.19%$63,83434.30%1.21%50.47%24.65%27.88%28.43%
19981.61%13.40%$146,8892.15%$2,78828.62%$82,10128.99%-11.07%15.88%22.87%1.32%22.40%
19992.68%3.47%$151,9932.10%$3,07921.07%$99,39912.47%41.08%21.56%-54.66%-12.17%12.55%
20003.39%22.58%$186,3182.90%$4,410-9.06%$90,39714.24%26.22%-27.10%105.93%5.99%10.24%
20011.55%-0.44%$185,5052.28%$4,239-12.02%$79,52814.01%0.16%3.12%9.10%-21.45%-7.59%
20022.38%-1.86%$182,0582.64%$4,902-22.15%$61,917-7.88%6.39%11.50%-6.78%-5.50%-8.86%
20031.88%23.07%$224,0592.91%$5,29628.50%$79,564-2.11%40.63%18.48%42.74%18.11%20.64%
20043.26%11.02%$248,7532.62%$5,86110.74%$88,11025.17%-1.75%12.38%18.38%-16.11%28.04%
20053.42%6.52%$264,9682.69%$6,6884.77%$92,316-3.36%-3.51%7.18%27.72%-0.66%11.76%
20062.54%18.47%$313,8992.81%$7,45015.64%$106,75612.44%2.98%13.36%19.87%23.10%39.07%
20074.08%17.82%$369,8216.99%$21,9555.39%$112,5073.61%10.72%16.63%21.18%30.44%24.34%
20080.09%-19.77%$296,69014.02%$51,836-37.02%$70,856-7.77%-29.80%-13.77%-30.09%-24.11%-13.14%
20092.72%19.82%$355,4984.08%$12,10326.49%$89,62311.28%48.52%1.20%40.31%30.24%-12.60%
20101.50%13.15%$402,2553.73%$13,25414.91%$102,989-0.58%7.07%9.37%33.92%19.03%10.14%
20112.96%11.65%$449,1153.58%$14,4171.97%$105,0139.89%-2.84%7.04%27.66%9.44%18.71%
20121.74%9.28%$490,7933.56%$16,00215.82%$121,63110.83%16.67%5.18%11.77%6.51%4.72%
20131.50%29.78%$636,9733.67%$17,99132.18%$160,76734.62%54.47%23.69%28.56%17.23%20.14%
20140.76%14.41%$728,7753.28%$20,86313.51%$182,48417.34%19.99%15.42%34.52%5.27%-6.07%
20150.73%0.13%$729,6943.18%$23,1871.25%$184,7621.16%-5.91%-9.95%23.10%5.12%-12.76%
20162.07%14.41%$834,8263.46%$25,23711.82%$206,59615.32%21.72%9.37%20.46%-0.34%19.90%
20172.11%15.34%$962,9173.29%$27,44221.67%$251,36024.40%34.92%12.70%9.45%14.37%-3.80%
20181.91%-8.97%$876,5523.28%$31,568-4.52%$239,988-5.14%-16.91%3.62%-27.09%6.79%-15.10%
Monthly returns for the configured portfolios
YearMonthPortfolio 1 ReturnVanguard 500 Index Investor ReturnJohnson & Johnson (JNJ)3M Company (MMM)Procter & Gamble Company (PG)Altria Group (MO)Coca-Cola Company (KO)Exxon Mobil Corporation (XOM)
19861-0.01%0.43%2.14%1.25%-4.65%8.06%-0.74%-6.12%
198625.80%7.58%-6.84%9.68%4.74%9.42%14.75%2.82%
198639.90%5.48%15.33%6.58%6.70%13.68%10.20%6.70%
198644.08%-1.35%14.81%-0.48%0.73%2.13%5.94%1.57%
198656.71%5.45%4.32%2.72%5.95%15.00%4.04%7.39%
198666.21%1.67%6.22%6.68%2.89%9.09%8.94%1.67%
19867-3.75%-5.74%-6.20%-2.42%-2.57%-3.52%-6.47%-0.21%
198685.06%7.45%8.97%2.06%3.39%5.56%-3.19%15.00%
19869-10.64%-8.31%-13.37%-10.46%-15.31%-12.12%-9.94%-2.36%
1986108.20%5.63%8.98%8.57%11.74%10.94%8.12%1.12%
1986111.60%2.55%-1.28%3.37%3.67%1.02%0.38%3.16%
1986120.01%-2.64%-4.20%4.13%-1.77%-2.22%3.42%1.26%
1987115.97%13.27%15.24%10.93%16.14%22.61%12.91%18.00%
198721.47%3.97%14.53%-0.73%-1.42%-4.11%5.28%-4.27%
198733.91%2.89%2.61%1.47%6.05%1.63%2.56%9.41%
19874-2.94%-1.03%-1.55%-1.26%-7.17%-1.91%-6.83%1.02%
198751.96%1.04%-0.79%0.84%7.96%2.25%0.59%1.47%
198767.02%5.02%6.83%10.85%7.10%5.87%4.45%7.18%
198773.43%4.91%3.67%4.06%-4.28%9.76%7.02%0.94%
198789.55%3.84%5.16%8.92%10.07%19.82%6.30%6.95%
19879-1.31%-2.29%-4.26%2.35%-1.46%1.53%-3.90%-2.38%
198710-17.66%-21.73%-16.23%-27.83%-11.66%-21.87%-14.73%-12.34%
198711-7.94%-8.19%-8.26%-0.54%-7.79%-7.54%-9.66%-12.75%
1987124.06%7.55%2.57%10.52%4.92%0.40%3.04%3.74%
198811.56%4.17%4.67%-6.02%0.24%1.61%-1.31%10.16%
198822.53%4.59%6.77%-1.60%-0.74%8.07%-0.66%2.76%
19883-2.80%-3.04%-4.65%-2.54%-7.57%-3.48%3.14%-1.47%
198840.76%1.01%-4.57%2.83%-0.07%-0.56%0.00%6.85%
198850.41%0.81%3.38%5.36%-0.97%-5.89%-0.65%1.54%
198862.56%4.56%2.09%6.88%1.47%1.05%3.43%0.83%
198871.34%-0.37%0.79%-3.22%-2.15%9.24%-1.60%4.41%
198880.08%-3.40%1.88%-4.64%-0.67%0.27%4.23%-0.67%
198895.12%4.26%6.02%6.63%7.20%6.56%10.16%-3.76%
198810-0.53%2.73%1.31%-5.63%4.17%-1.42%-1.43%0.00%
198811-0.13%-1.40%-0.54%0.27%-0.91%1.31%1.30%-2.14%
1988123.12%1.66%-1.02%2.69%6.26%6.65%2.88%1.73%
198917.02%7.32%7.64%10.48%6.86%6.99%4.76%5.40%
19892-2.72%-2.47%-5.47%-4.02%-3.80%-0.80%2.14%-4.24%
198935.54%2.26%5.37%2.88%4.37%12.20%8.07%0.00%
198944.59%5.18%5.92%6.72%4.27%5.83%5.85%-1.71%
198955.26%4.04%3.31%2.63%7.45%9.44%6.45%1.31%
198960.11%-0.59%-3.04%-2.06%5.47%0.43%-1.80%2.03%
1989711.70%9.01%11.49%6.67%10.92%14.34%20.62%3.98%
198981.68%1.86%-1.32%4.81%7.64%3.31%-2.21%-3.09%
19899-0.50%-0.40%4.53%-4.91%-6.61%1.39%1.30%2.29%
1989103.68%-2.34%1.14%-4.66%8.39%4.48%8.02%2.79%
1989113.24%2.04%2.56%8.44%0.29%-1.45%7.20%4.06%
1989123.33%2.38%5.09%3.41%8.49%-0.97%0.00%5.82%
19901-7.97%-6.72%-11.79%-1.88%-8.29%-9.01%-10.84%-6.00%
199021.27%1.27%2.93%3.50%-0.20%-2.31%2.36%1.27%
199034.13%2.61%4.66%1.56%6.07%8.08%6.62%-1.60%
199041.50%-2.50%0.89%-2.46%4.90%5.99%2.01%-2.16%
1990510.26%9.69%13.43%5.02%16.99%0.30%18.36%7.47%
199064.30%-0.66%6.07%4.84%5.45%11.25%-1.22%-0.26%
199073.53%-0.35%4.24%4.33%0.07%2.96%2.25%8.36%
19908-7.62%-9.03%-6.62%-12.08%-11.24%-5.74%-6.89%-2.53%
19909-3.01%-4.89%-3.62%-2.06%-5.36%1.24%-6.07%-2.00%
1990105.10%-0.41%1.78%2.43%8.60%4.14%13.61%0.00%
1990114.91%6.44%8.91%3.78%5.41%3.18%3.52%4.73%
1990123.82%2.72%2.87%5.54%4.52%7.33%0.54%2.22%
199111.63%4.32%6.62%-1.02%-7.94%7.49%4.84%-0.24%
199128.49%7.15%7.82%5.16%2.52%18.65%7.44%8.19%
199136.00%2.41%16.74%0.00%4.77%3.69%4.06%6.12%
19914-0.83%0.20%-1.43%0.71%-0.91%-1.84%-2.76%1.71%
199152.38%4.27%-3.68%7.82%1.49%2.43%8.53%-0.96%
19916-4.97%-4.56%-7.86%-1.71%-9.10%-6.52%-4.39%-0.21%
199174.73%4.63%9.73%-6.28%5.01%6.69%10.32%2.15%
199184.13%2.33%1.81%-0.09%3.41%9.41%9.36%-0.78%
19919-0.47%-1.67%-4.85%3.74%1.65%-1.99%-1.54%2.15%
1991101.83%1.33%7.64%0.97%-0.88%-2.77%3.29%2.52%
199111-0.88%-4.01%1.73%-3.83%-3.14%-3.39%4.49%-2.83%
19911214.22%11.41%18.81%9.80%15.90%19.35%15.68%3.84%
19921-2.00%-1.88%-6.11%-4.46%11.13%-4.83%-3.43%-4.31%
19922-0.27%1.24%-5.45%0.87%-2.05%0.49%5.48%-0.80%
19923-1.57%-1.93%-3.70%-2.47%0.62%-0.61%0.35%-4.16%
199243.05%2.91%-2.69%5.63%1.53%2.81%1.53%9.59%
199252.11%0.48%2.60%2.86%-0.48%-0.48%6.02%2.28%
19926-4.70%-1.49%-7.61%1.44%-10.46%-4.49%-8.80%2.06%
199276.43%4.04%10.06%3.09%10.66%8.67%4.69%2.63%
19928-0.04%-2.07%0.73%-0.71%-7.41%2.66%2.69%2.33%
199290.56%1.17%-4.56%4.06%5.33%4.15%-5.52%-0.58%
199210-0.26%0.33%6.10%0.37%7.66%-10.32%0.31%-4.11%
1992110.81%3.40%1.22%-0.06%2.60%4.77%-1.82%-1.68%
1992120.50%1.21%0.25%-1.35%-1.15%-2.36%5.35%2.73%
19931-4.02%0.81%-12.87%-2.61%-6.73%-3.08%1.19%0.00%
199320.93%1.36%-2.91%8.51%4.52%-10.20%0.00%5.30%
199330.38%2.11%0.29%3.79%-4.09%-3.70%0.99%3.93%
19934-4.69%-2.42%2.35%1.60%-0.94%-26.56%-7.62%-0.19%
199352.68%2.65%2.90%2.21%0.00%7.18%5.40%0.36%
19936-0.46%0.27%-7.00%-4.32%5.85%-2.93%4.06%0.95%
19937-3.58%-0.42%-12.05%-2.78%-5.67%-2.33%0.58%-0.76%
199383.14%3.79%12.46%5.21%-0.77%3.45%0.29%0.73%
19939-2.90%-0.79%-3.37%-6.16%-1.81%-4.62%-2.21%0.19%
1993106.00%2.08%6.98%0.85%14.88%17.17%2.66%-0.19%
1993111.96%-1.00%4.19%5.89%4.61%4.19%-2.78%-2.94%
1993121.71%1.22%2.87%-0.23%0.44%0.50%6.25%0.60%
199410.54%3.38%-5.57%-1.38%4.95%8.31%-8.40%5.35%
19942-2.33%-2.71%-4.72%-0.93%-3.36%-7.05%4.28%-1.37%
19943-5.78%-4.39%-5.92%-6.05%-6.96%-8.47%-4.24%-3.08%
199444.20%1.29%9.60%-1.01%6.93%7.65%2.77%0.00%
19945-0.65%1.63%7.68%5.01%-0.88%-9.63%-3.59%-1.64%
19946-1.99%-2.47%-3.11%-2.70%-5.32%6.00%1.42%-7.16%
199477.12%3.28%9.62%7.05%5.12%6.80%9.23%4.85%
199486.20%4.08%7.29%4.60%9.19%10.91%3.66%1.23%
199491.03%-2.45%3.24%0.23%-2.05%1.59%6.16%-3.36%
1994104.05%2.25%5.56%0.23%6.04%0.20%3.60%9.35%
199411-1.99%-3.65%-1.77%-6.68%-0.60%-2.45%1.87%-2.80%
1994120.78%1.46%2.58%4.15%-0.80%-2.36%0.73%0.62%
199513.11%2.58%6.16%-1.87%5.63%3.91%1.94%2.88%
199522.54%3.88%-1.87%5.47%2.11%1.67%4.76%3.43%
199534.30%2.95%4.85%6.16%-0.38%8.08%2.91%4.31%
199544.80%2.94%9.24%2.58%6.03%3.63%3.10%4.32%
199553.99%3.95%2.23%1.40%2.86%7.56%6.02%3.80%
199560.70%2.31%2.08%-4.38%0.00%3.26%3.82%-1.05%
199570.57%3.30%6.30%-1.31%-3.62%-3.70%2.94%2.65%
19958-1.24%0.25%-3.37%-2.70%0.73%4.19%-2.10%-4.16%
199598.14%4.23%7.43%3.20%10.99%13.37%7.75%5.09%
1995104.60%-0.36%9.95%0.89%5.72%0.90%4.17%5.71%
1995116.59%4.38%6.73%15.78%6.79%4.15%5.70%2.31%
1995120.44%1.93%-1.30%1.53%-4.05%3.97%-1.98%4.85%
199612.39%3.39%12.28%-2.82%1.67%2.77%1.52%-1.08%
199621.76%0.92%-2.27%1.70%-2.38%6.74%7.13%-0.04%
19963-0.78%0.98%-1.34%-0.77%3.35%-10.46%2.79%2.52%
199641.21%1.46%0.27%1.74%0.18%2.71%-1.51%4.29%
199656.37%2.54%5.69%4.50%3.99%10.26%12.88%0.65%
199663.57%0.38%1.67%1.10%3.13%5.66%6.81%2.51%
19967-2.67%-4.42%-3.54%-2.25%-0.99%0.60%-4.34%-5.32%
199680.29%2.10%3.52%6.54%-0.42%-14.22%6.67%0.06%
199693.43%5.61%4.06%1.45%9.70%1.32%2.00%2.15%
1996102.44%2.76%-3.90%9.50%2.01%2.92%-0.74%6.46%
1996118.01%7.56%8.53%10.30%9.85%11.77%1.48%7.44%
1996121.34%-1.96%-6.57%-0.90%-1.03%10.60%2.93%3.84%
199717.93%6.22%16.08%2.71%7.86%5.20%9.98%5.74%
199724.73%0.79%-0.13%8.60%3.89%13.77%5.40%-2.51%
19973-6.35%-4.14%-8.04%-8.02%-4.47%-14.82%-8.40%7.48%
199748.57%5.96%15.60%2.81%9.98%3.50%14.13%5.10%
199756.38%6.09%-1.48%6.22%9.64%11.75%7.66%5.38%
199764.07%4.45%7.29%11.29%2.45%1.47%-0.53%3.38%
199771.00%7.97%-3.50%-7.33%8.05%1.98%1.65%4.90%
19978-8.52%-5.61%-8.39%-4.61%-12.49%-3.19%-17.09%-4.15%
199792.62%5.47%1.76%2.85%3.76%-3.96%6.70%4.70%
199710-3.10%-3.35%-0.54%-1.01%-1.19%-4.66%-7.17%-4.10%
1997118.15%4.60%10.08%7.09%12.04%9.78%10.62%-0.04%
1997121.08%1.72%4.67%-15.78%4.76%4.97%6.70%0.31%
19981-2.06%1.11%1.61%1.75%-1.50%-8.29%-2.91%-3.06%
199827.21%7.19%12.96%2.81%8.29%4.82%5.98%8.19%
199833.18%5.10%-2.57%6.67%-0.59%-3.29%13.08%6.08%
19984-0.74%1.01%-2.64%3.71%-2.30%-10.94%-2.02%8.04%
19985-0.30%-1.74%-3.07%-1.29%2.05%0.67%3.29%-2.96%
199863.35%4.07%7.15%-11.27%8.57%6.50%9.30%1.24%
19987-2.63%-1.05%4.39%-8.59%-12.55%11.27%-5.85%-1.58%
19988-9.11%-14.47%-10.38%-8.17%-3.62%-5.14%-19.10%-6.29%
199893.92%6.41%13.41%7.57%-7.03%12.42%-11.30%7.93%
19981010.26%8.16%4.15%8.06%25.12%10.54%17.25%1.42%
1998113.21%6.07%-0.01%1.78%-1.20%9.41%3.92%5.31%
199812-2.20%5.81%3.23%-11.65%4.21%-3.56%-4.37%-2.50%
19991-1.39%4.20%1.49%9.14%-0.14%-12.38%-2.52%-3.93%
19992-4.45%-3.12%0.59%-3.89%-1.51%-16.53%-2.20%-4.71%
199931.71%4.00%9.52%-4.47%9.43%-9.07%-3.68%6.01%
199949.28%3.85%4.28%25.80%-3.94%-0.36%10.90%17.71%
19995-1.02%-2.39%-4.71%-3.05%-0.47%9.98%0.64%-3.36%
19996-1.13%5.56%5.80%1.38%-5.62%5.30%-9.26%-3.44%
19997-1.39%-3.13%-7.08%1.15%3.13%-7.31%-2.32%2.92%
199985.38%-0.50%12.61%8.09%9.59%0.50%-1.24%-0.13%
19999-6.70%-2.74%-10.15%1.65%-5.54%-7.53%-19.10%-3.65%
1999104.21%6.33%14.01%-1.04%12.23%-22.85%22.28%-2.55%
1999113.94%2.02%-0.69%1.08%2.98%-0.47%14.36%7.71%
199912-3.86%5.98%-10.12%2.42%1.45%-10.67%-13.46%1.58%
20001-4.55%-5.03%-7.71%-4.34%-7.50%-9.24%-1.39%2.87%
20002-10.27%-1.91%-16.04%-5.22%-13.05%-3.29%-15.34%-8.60%
20003-4.79%9.75%-2.43%0.43%-35.42%5.22%-3.10%3.57%
200043.96%-3.00%17.44%-2.19%5.80%5.42%0.67%-0.40%
200059.99%-2.04%8.88%-0.36%11.30%19.43%12.96%7.81%
200061.26%2.49%13.83%-3.21%-14.66%3.59%7.95%-5.78%
200070.21%-1.50%-8.65%8.51%1.04%-4.94%6.75%2.15%
200082.65%6.19%-0.86%3.90%8.47%17.82%-14.14%2.37%
200093.45%-5.29%2.16%-2.03%8.36%0.81%5.06%9.15%
2000108.39%-0.43%-1.93%6.04%7.12%24.42%9.52%0.09%
2000114.07%-7.89%8.91%3.99%4.81%4.27%4.01%-0.85%
2000128.18%0.51%5.06%20.65%4.76%16.72%-2.69%-1.21%
20011-5.92%3.55%-11.36%-8.17%-7.95%0.00%-4.82%-3.21%
200120.55%-9.14%4.86%2.45%-1.87%9.50%-8.57%-3.18%
20013-7.07%-6.36%-10.13%-7.85%-11.21%-0.46%-14.53%-0.06%
200146.64%7.77%10.30%14.54%-3.49%5.61%2.28%9.38%
200152.13%0.65%0.85%0.12%6.98%2.59%2.62%0.67%
20016-1.72%-2.45%3.06%-3.78%-0.68%-2.65%-4.69%-1.56%
200170.27%-1.00%8.29%-1.95%11.93%-8.08%-0.89%-4.38%
200180.64%-6.27%-2.24%-6.45%4.41%4.18%9.13%-3.32%
20019-0.43%-8.09%5.10%-5.48%-1.83%3.09%-3.39%-1.87%
2001101.76%1.90%4.53%6.08%1.91%-3.09%2.20%0.13%
2001111.78%7.65%0.89%10.34%4.99%0.79%-1.54%-4.64%
2001121.69%0.87%1.46%3.17%2.16%-1.58%0.40%5.08%
20021-0.61%-1.47%-2.69%-6.10%3.72%9.29%-7.21%-0.64%
200226.04%-1.94%6.23%6.81%3.81%5.09%8.32%6.40%
200234.69%3.74%6.65%-2.48%6.25%1.13%10.74%6.13%
200241.43%-6.07%-1.68%9.38%0.61%3.34%6.22%-8.35%
200250.25%-0.75%-3.61%0.19%-0.79%5.18%0.09%-0.02%
20026-6.20%-7.13%-14.82%-1.94%0.49%-22.72%1.16%2.48%
20027-2.40%-7.72%0.65%2.30%0.16%5.43%-10.82%-10.17%
200281.77%0.65%3.63%-0.22%-0.38%8.58%2.12%-2.95%
20029-8.20%-10.87%-0.42%-11.99%0.82%-21.33%-5.59%-10.01%
2002104.81%8.78%8.64%15.43%-0.59%5.03%-3.09%5.52%
200211-1.55%5.88%-2.61%2.79%-4.43%-7.44%-1.37%4.08%
200212-0.88%-5.89%-5.80%-5.04%1.67%9.14%-3.94%0.40%
20031-2.61%-2.62%-0.19%1.01%0.05%-6.56%-7.71%-2.26%
20032-0.55%-1.52%-1.77%1.19%-4.34%2.06%-0.59%0.30%
200331.04%0.96%10.33%3.72%8.78%-21.09%1.23%2.73%
20034-0.36%8.25%-2.61%-3.07%1.36%2.67%-0.20%0.72%
200357.25%5.26%-3.15%0.88%2.19%34.27%12.80%4.14%
200361.12%1.26%-4.88%1.98%-2.88%11.64%2.32%-1.35%
20037-1.54%1.74%0.17%8.70%-0.96%-11.95%-3.10%-0.92%
200380.74%1.93%-3.82%2.09%-0.66%3.02%-3.22%6.68%
200391.15%-1.07%-0.12%-3.04%6.34%8.02%-0.80%-2.92%
2003106.22%5.64%1.64%14.19%6.40%6.16%8.01%-0.05%
2003111.70%0.86%-1.60%0.65%-2.09%11.83%0.69%-0.34%
2003127.38%5.22%4.79%7.58%3.78%5.96%9.14%13.26%
20041-0.54%1.82%3.41%-6.99%1.67%2.15%-2.98%-0.51%
200421.85%1.38%1.36%-0.91%1.41%3.53%1.46%4.02%
20043-0.66%-1.51%-5.92%4.93%2.31%-4.24%1.20%-1.38%
200442.97%-1.58%6.53%5.63%1.35%1.71%0.54%2.31%
20045-0.93%1.36%3.65%-1.79%1.92%-13.38%1.54%2.29%
200462.33%1.93%-0.02%6.45%0.98%5.83%-1.22%2.68%
20047-4.31%-3.31%-0.77%-8.50%-3.76%-4.90%-13.11%4.26%
200483.11%0.38%5.66%0.45%7.33%2.84%1.94%0.16%
20049-2.51%1.07%-3.05%-2.90%-3.31%-2.47%-9.90%4.84%
2004100.30%1.51%3.64%-3.00%-4.99%3.02%1.52%1.84%
2004115.38%4.05%3.81%3.05%4.49%18.63%-2.71%4.69%
2004123.96%3.39%5.14%3.12%2.99%7.55%5.93%0.02%
200511.11%-2.45%2.02%2.79%-2.93%4.47%-0.36%0.66%
200525.14%2.09%1.82%0.00%-0.26%2.85%3.16%23.29%
20053-0.64%-1.76%2.38%2.08%-0.17%0.72%-2.00%-5.86%
20054-1.22%-1.91%2.19%-10.76%2.71%-0.61%4.25%-4.31%
200550.96%3.17%-1.75%0.77%1.85%3.31%2.74%-0.96%
20056-3.14%0.13%-3.13%-5.68%-4.35%-2.66%-5.85%2.26%
200573.06%3.71%-1.60%3.73%6.00%3.56%4.81%2.23%
200580.76%-0.91%-0.38%-4.58%-0.27%5.59%0.55%2.45%
200593.50%0.79%-0.17%3.11%7.17%5.43%-1.21%6.08%
200510-2.59%-1.68%-1.04%3.57%-5.36%1.82%-0.95%-11.65%
2005110.92%3.76%-0.87%3.84%2.14%-3.01%0.44%3.89%
200512-1.17%0.02%-2.67%-1.25%1.21%3.73%-5.58%-3.21%
200610.60%2.65%-4.26%-6.13%2.82%-3.19%2.65%11.71%
20062-0.16%0.26%0.76%1.79%1.18%-0.61%1.43%-4.89%
200630.69%1.23%2.72%2.85%-3.84%-0.37%0.49%2.51%
200643.38%1.33%-1.03%12.87%1.56%3.25%0.21%3.65%
20065-0.73%-2.90%3.38%-1.54%-6.80%-1.11%4.93%-2.96%
20066-0.04%0.13%-0.50%-3.45%2.49%2.66%-1.59%0.72%
200672.67%0.61%4.39%-12.84%1.63%8.91%3.44%10.42%
200683.53%2.36%3.97%2.51%10.14%4.45%0.70%0.36%
20069-0.73%2.56%0.43%3.79%0.13%-7.40%0.40%-0.84%
2006104.96%3.25%3.79%5.94%2.78%6.24%4.57%6.44%
2006112.39%1.89%-1.65%3.91%-0.95%3.54%0.90%8.01%
2006120.69%1.39%0.17%-4.33%2.36%2.95%3.03%-0.23%
20071-0.72%1.49%1.18%-4.66%1.41%1.83%-0.77%-3.30%
20072-2.69%-1.97%-5.24%0.33%-2.13%-3.56%-2.51%-2.85%
200732.07%1.11%-4.24%3.17%-0.52%5.25%3.57%5.26%
200745.82%4.42%6.57%8.30%2.53%3.69%8.73%5.21%
200752.50%3.48%-0.84%6.86%-1.32%3.16%1.53%5.24%
20076-1.24%-1.68%-2.61%-1.33%-3.71%-0.38%-0.63%0.85%
20077-0.30%-3.08%-1.82%2.45%1.66%-5.23%-0.38%1.49%
200783.29%1.50%2.82%2.88%5.58%4.42%3.20%1.13%
200795.56%3.72%6.33%2.85%7.70%1.29%7.51%7.97%
2007100.39%1.58%-0.81%-7.72%-0.68%4.89%7.46%-0.62%
2007112.00%-4.19%4.59%-3.03%6.44%6.35%1.09%-2.69%
2007120.19%-0.70%-1.54%1.27%-0.78%-1.61%-1.18%5.08%
20081-5.57%-6.02%-5.34%-5.54%-10.44%0.28%-3.86%-8.53%
20082-0.64%-3.25%-1.22%-0.95%1.16%-3.50%-0.92%1.96%
200832.45%-0.44%4.70%0.96%5.88%1.24%4.79%-2.79%
20084-1.18%4.85%3.42%-2.84%-3.76%-9.91%-3.29%10.04%
200850.59%1.29%0.18%1.52%-1.49%11.30%-2.73%-4.20%
20086-6.18%-8.44%-3.60%-10.28%-7.93%-6.34%-8.62%-0.71%
200870.79%-0.83%6.42%1.15%8.35%-1.02%-0.92%-8.74%
200882.89%1.45%3.53%2.44%6.55%3.34%1.11%-0.01%
20089-1.87%-8.91%-1.63%-4.59%-0.11%-4.21%2.27%-2.94%
200810-8.22%-16.79%-11.46%-5.87%-6.76%-3.28%-16.68%-4.56%
200811-0.34%-7.17%-3.75%4.98%-0.29%-16.21%7.27%8.72%
200812-3.84%1.07%2.13%-14.03%-3.93%-4.31%-3.41%-0.40%
20091-3.55%-8.41%-3.58%-6.52%-11.23%9.83%-5.63%-4.20%
20092-10.00%-10.66%-12.60%-14.57%-11.61%-6.65%-4.38%-10.78%
200934.64%8.76%5.20%9.37%-2.24%5.79%8.70%0.29%
200942.98%9.56%-0.46%15.85%5.92%1.94%-2.05%-2.10%
200955.76%5.62%6.29%0.00%5.06%4.65%14.19%4.65%
200960.52%0.22%2.97%5.25%-1.62%-2.27%-1.56%0.81%
200977.71%7.58%7.20%17.34%9.50%6.96%3.85%0.69%
200980.50%3.60%0.06%2.98%-2.52%4.28%-2.15%-1.16%
200993.18%3.72%0.74%2.36%7.04%-0.74%10.99%-0.78%
2009100.36%-1.87%-3.02%-0.31%0.90%1.68%-0.73%4.46%
2009116.28%5.98%7.26%5.95%7.50%3.87%8.07%5.35%
2009121.14%1.95%2.50%6.75%-2.76%6.14%-0.35%-9.16%
20101-1.99%-3.60%-2.41%-2.64%2.26%1.17%-4.82%-5.51%
201020.71%3.09%0.99%0.23%2.81%1.31%-2.82%1.54%
201033.23%6.01%3.49%4.27%-0.02%3.74%5.18%3.05%
201040.92%1.58%-1.38%6.10%-1.00%3.27%-2.82%1.18%
20105-6.42%-8.01%-8.50%-9.99%-1.72%-4.25%-3.84%-10.18%
20106-1.23%-5.24%1.30%-0.40%-1.82%0.49%-1.66%-5.61%
201075.82%7.00%-1.64%8.29%2.77%10.58%9.96%4.57%
20108-1.54%-4.53%-0.92%-7.60%-2.44%0.72%1.40%-0.23%
201096.56%8.92%8.66%10.39%0.50%9.36%5.52%4.53%
2010104.14%3.79%2.87%-2.87%6.81%5.83%4.78%7.61%
201011-0.73%0.00%-2.60%0.34%-3.93%-5.59%3.73%5.27%
2010123.71%6.67%0.49%2.76%5.34%4.15%4.12%5.12%
20111-0.21%2.36%-3.36%1.88%-1.14%-4.51%-4.44%10.34%
201124.27%3.42%3.72%5.53%-0.13%7.91%1.70%6.57%
201130.38%0.03%-3.56%1.38%-2.30%4.16%4.54%-1.64%
201144.99%2.95%10.92%3.97%6.22%3.11%1.69%4.58%
201150.41%-1.15%3.28%-2.34%3.24%4.55%-0.96%-4.58%
20116-1.94%-1.67%-1.14%0.50%-5.12%-4.55%1.45%-2.50%
20117-2.46%-2.05%-2.60%-8.13%-2.48%-0.42%1.07%-1.95%
201180.33%-5.45%2.46%-4.13%3.56%3.38%3.59%-6.59%
20119-3.63%-7.04%-3.21%-13.49%-0.79%0.15%-3.45%-1.88%
2011103.88%10.91%1.10%10.07%2.10%2.76%1.12%7.52%
2011112.10%-0.23%1.45%3.28%0.91%4.14%-0.90%3.62%
2011123.37%1.02%1.33%0.85%3.31%4.77%4.08%5.37%
20121-1.18%4.46%0.50%6.09%-4.75%-4.22%-3.49%-1.20%
201223.58%4.31%-0.39%1.71%7.27%5.99%3.45%3.86%
201232.23%3.28%1.35%1.84%-0.61%3.96%6.71%0.27%
201240.27%-0.64%-1.30%0.17%-4.52%4.34%3.12%-0.45%
20125-3.41%-6.02%-3.17%-4.89%-2.12%-0.06%-2.08%-8.30%
201265.98%4.11%8.22%6.15%-1.67%8.65%5.34%8.83%
201273.21%1.37%2.46%1.82%6.29%4.11%3.34%1.50%
20128-1.47%2.24%-1.71%2.15%4.11%-5.59%-7.43%1.17%
201291.87%2.58%2.19%-0.19%3.23%-0.38%2.11%4.75%
201210-1.56%-1.86%2.77%-5.22%0.63%-4.76%-1.98%-0.31%
2012111.84%0.56%-0.68%4.51%0.85%6.32%2.68%-2.70%
201212-2.04%0.90%0.53%2.09%-2.78%-5.73%-4.40%-1.80%
201316.53%5.18%5.45%8.29%11.61%7.12%2.73%3.95%
201322.15%1.34%3.79%4.07%1.36%-0.39%3.97%0.18%
201333.36%3.74%7.12%2.22%1.16%3.83%5.20%0.63%
201342.20%1.91%4.54%-1.51%0.40%6.16%4.67%-1.24%
201350.11%2.33%-0.48%5.91%-0.01%-1.12%-5.53%2.37%
201360.08%-1.35%2.00%-0.83%0.30%-1.88%1.00%-0.13%
201374.32%5.07%8.90%7.39%5.08%0.20%-0.07%3.76%
20138-4.53%-2.91%-6.89%-2.74%-3.00%-3.37%-4.74%-6.38%
201390.73%3.12%0.32%5.13%-2.95%2.80%-0.06%-1.28%
2013106.19%4.59%6.83%5.39%7.65%8.38%4.46%4.16%
2013113.44%3.03%2.92%6.61%4.30%-0.67%2.27%5.02%
2013122.26%2.51%-3.24%5.05%-3.34%5.12%2.79%8.26%
20141-7.13%-3.47%-3.41%-8.60%-5.17%-8.26%-8.45%-8.93%
201423.75%4.56%4.88%5.79%2.66%2.95%1.00%5.19%
201433.01%0.82%6.63%0.69%2.47%4.60%2.01%1.46%
201444.37%0.72%3.12%2.53%3.24%7.16%5.51%4.84%
201450.77%2.33%0.86%3.11%-2.13%3.62%0.29%-1.17%
201461.28%2.05%3.11%0.48%-2.72%2.09%4.33%0.15%
20147-3.22%-1.39%-4.33%-1.64%-0.83%-3.20%-7.25%-1.73%
201484.69%3.98%4.34%2.81%7.49%6.11%6.18%1.23%
201491.40%-1.41%2.76%-1.61%0.76%7.92%3.00%-5.44%
2014103.47%2.42%1.12%8.53%5.01%5.22%-1.83%2.83%
2014112.70%2.68%1.09%4.67%3.62%3.97%7.78%-5.71%
201412-0.88%-0.26%-3.40%2.64%0.73%-0.95%-5.82%2.11%
20151-2.07%-3.02%-4.24%-1.23%-6.81%7.77%-2.49%-5.44%
201523.72%5.74%3.08%4.56%1.00%6.01%5.17%2.04%
20153-4.75%-1.59%-1.86%-2.19%-3.75%-10.25%-5.59%-4.00%
20154-1.01%0.95%-1.39%-5.19%-2.17%0.06%0.02%2.79%
201550.76%1.27%1.69%2.36%-1.41%2.30%0.99%-1.66%
20156-2.57%-1.93%-2.68%-3.00%-0.19%-3.44%-3.44%-2.35%
201571.99%2.08%2.82%-1.92%-1.16%11.18%4.72%-4.80%
20158-4.63%-6.05%-5.48%-5.42%-7.86%-1.47%-4.28%-4.12%
201590.96%-2.48%-0.67%-0.26%1.80%2.62%2.92%-1.18%
2015109.08%8.42%8.23%10.89%7.13%11.16%5.56%11.28%
201511-0.91%0.29%0.94%0.25%-2.02%-4.75%1.41%-0.43%
2015120.35%-1.59%1.46%-3.79%6.11%2.05%0.80%-4.54%
201611.74%-4.98%1.67%0.24%3.77%4.98%-0.09%-0.13%
201621.56%-0.15%1.46%4.64%-1.71%0.75%0.49%3.89%
201634.48%6.78%2.84%6.22%2.52%2.70%8.39%4.29%
201640.76%0.37%3.59%0.45%-1.87%0.08%-3.43%5.75%
201651.05%1.78%1.26%1.23%1.15%1.48%-0.45%1.55%
201665.56%0.25%7.64%4.04%4.48%9.30%2.43%5.30%
20167-0.63%3.68%3.24%1.85%1.88%-1.83%-3.75%-5.11%
20168-0.89%0.13%-4.07%1.11%2.01%-2.38%-0.46%-1.18%
20169-0.82%0.01%-1.01%-1.68%2.79%-3.41%-1.75%0.16%
201610-1.82%-1.83%-1.81%-6.20%-2.53%4.57%0.19%-4.54%
201611-0.92%3.70%-3.38%4.57%-5.00%-3.31%-4.03%5.70%
2016123.76%1.96%3.51%3.98%1.96%6.73%2.75%3.39%
20171-0.05%1.88%-1.70%-2.10%5.01%5.26%0.27%-7.06%
201724.04%3.96%8.62%7.28%3.96%5.25%0.94%-2.17%
201730.30%0.10%1.91%2.67%-1.34%-3.90%2.03%0.85%
201740.20%1.02%-0.87%2.35%-2.06%0.50%1.67%-0.44%
201753.52%1.39%4.56%5.04%0.87%5.10%5.38%-0.48%
201760.56%0.61%3.15%1.82%-1.07%-0.48%-0.55%0.29%
20177-1.68%2.04%0.33%-3.37%5.03%-12.76%2.21%-0.85%
20178-0.27%0.29%0.37%2.15%1.60%-2.42%-0.63%-3.71%
201791.02%2.06%-1.78%2.73%-1.40%1.09%-0.39%7.40%
2017103.13%2.32%7.23%9.67%-4.39%1.26%2.16%1.67%
2017112.99%3.06%0.55%6.16%4.23%5.62%0.35%0.86%
2017120.77%1.10%0.28%-3.20%2.10%6.23%0.24%0.42%
201811.10%5.71%-1.10%6.43%-5.31%-1.50%3.73%4.38%
20182-8.65%-3.69%-5.42%-5.44%-9.06%-10.51%-9.18%-12.36%
20183-1.31%-2.56%-1.33%-6.79%0.97%0.09%1.38%-1.49%
20184-4.44%0.37%-1.30%-11.45%-7.88%-9.96%-0.51%4.21%
201850.50%2.39%-4.73%2.15%1.15%-0.66%-0.49%5.54%
201862.57%0.61%1.44%-0.26%6.68%3.14%2.91%1.83%
201874.85%3.71%9.21%7.93%4.56%3.33%6.32%-1.47%
20188-0.15%3.25%2.32%0.01%2.56%-0.27%-4.42%-0.63%
201893.00%0.55%2.58%-0.10%0.34%4.40%4.52%6.05%
2018100.61%-6.85%1.32%-9.71%7.50%7.84%3.66%-6.28%
2018112.23%2.03%5.60%10.03%6.57%-15.70%6.10%0.79%
201812-8.58%-9.04%-12.15%-8.36%-2.74%-8.41%-6.05%-14.23%

Holdings Based Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightYieldReturn ContributionRisk Contribution
JNJJohnson & JohnsonHealthcare / Drug Manufacturers - General16.70%2.59%$158,41217.61%
MMM3M CompanyIndustrials / Specialty Industrial Machinery16.66%3.27%$172,23115.92%
PGProcter & Gamble CompanyConsumer Defensive / Household & Personal Products16.66%2.51%$122,26516.58%
MOAltria GroupConsumer Defensive / Tobacco16.66%7.62%$223,03020.01%
KOCoca-Cola CompanyConsumer Defensive / Beverages - Non-Alcoholic16.66%3.23%$120,26718.24%
XOMExxon Mobil CorporationEnergy / Oil & Gas Integrated16.66%5.71%$70,34611.63%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Portfolio return and risk metrics
MetricPortfolio 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.22%0.90%
Arithmetic Mean (annualized)15.62%11.34%
Geometric Mean (monthly)1.14%0.81%
Geometric Mean (annualized)14.52%10.11%
Volatility (monthly)4.03%4.30%
Volatility (annualized)13.97%14.88%
Downside Deviation (monthly)2.38%2.88%
Max. Drawdown-30.36%-50.97%
US Market Correlation0.670.99
Beta(*)0.671.00
Alpha (annualized)7.40%0.00%
R250.58%100.00%
Sharpe Ratio0.820.51
Sortino Ratio1.310.73
Treynor Ratio (%)17.037.56
Calmar Ratio0.460.67
Active Return4.41%N/A
Tracking Error11.00%N/A
Information Ratio0.40N/A
Skewness-0.32-0.82
Excess Kurtosis1.752.59
Historical Value-at-Risk (5%)-5.99%-6.90%
Analytical Value-at-Risk (5%)-5.39%-6.17%
Conditional Value-at-Risk (5%)-8.47%-9.85%
Upside Capture Ratio (%)81.21100.00
Downside Capture Ratio (%)48.71100.00
Safe Withdrawal Rate17.93%9.71%
Perpetual Withdrawal Rate10.45%6.86%
Positive Periods260 out of 396 (65.66%)260 out of 396 (65.66%)
Gain/Loss Ratio1.170.90
* 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
Black Monday PeriodSep 1987Nov 1987-25.19%-29.78%
Asian CrisisJul 1997Jan 1998-9.03%-5.61%
Russian Debt DefaultJul 1998Oct 1998-11.51%-15.38%
Dotcom CrashMar 2000Oct 2002-14.48%-44.82%
Subprime CrisisNov 2007Mar 2009-30.36%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jan 2008Feb 20091 year 2 monthsSep 20101 year 7 months2 years 9 months-30.36%
2Sep 1987Nov 19873 monthsApr 19891 year 5 months1 year 8 months-25.19%
3Dec 1999Mar 20004 monthsOct 20007 months11 months-21.61%
4Jun 2002Feb 20039 monthsNov 20039 months1 year 6 months-15.29%
5Feb 2018Apr 20183 months-13.84%
6Jan 2001Mar 20013 monthsFeb 200211 months1 year 2 months-12.09%
7Jul 1998Aug 19982 monthsOct 19982 months4 months-11.51%
8Sep 1986Sep 19861 monthJan 19874 months5 months-10.64%
9Aug 1990Sep 19902 monthsDec 19903 months5 months-10.40%
10Mar 2015Aug 20156 monthsJan 20165 months11 months-9.97%
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%
3Sep 1987Nov 19873 monthsMay 19891 year 6 months1 year 9 months-29.78%
4Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
5Jun 1990Oct 19905 monthsFeb 19914 months9 months-14.70%
6Oct 2018Dec 20183 months-13.55%
7Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
8Sep 1986Sep 19861 monthJan 19874 months5 months-8.31%
9Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
10Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
JNJJohnson & Johnson14.31%19.71%62.34%-10.19%-34.36%0.621.010.49
MMM3M Company12.08%20.15%54.47%-29.80%-49.19%0.510.780.57
PGProcter & Gamble Company12.52%19.71%66.74%-27.10%-48.06%0.540.820.39
MOAltria Group18.55%25.18%105.93%-54.66%-61.62%0.681.060.36
KOCoca-Cola Company13.01%20.41%77.06%-24.11%-50.11%0.550.850.46
XOMExxon Mobil Corporation10.79%16.73%39.43%-15.10%-35.61%0.510.820.51

Monthly Correlations

Correlations for the portfolio assets
TickerNameJNJMMMPGMOKOXOMPortfolio 1Vanguard 500 Index Investor
JNJJohnson & Johnson1.000.380.510.360.510.330.750.53
MMM3M Company0.381.000.340.300.350.380.660.59
PGProcter & Gamble Company0.510.341.000.320.510.270.700.41
MOAltria Group0.360.300.321.000.370.230.670.39
KOCoca-Cola Company0.510.350.510.371.000.340.750.49
XOMExxon Mobil Corporation0.330.380.270.230.341.000.580.54

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
JNJJohnson & Johnson$158,412
MMM3M Company$172,231
PGProcter & Gamble Company$122,265
MOAltria Group$223,030
KOCoca-Cola Company$120,267
XOMExxon Mobil Corporation$70,346

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
JNJJohnson & Johnson17.61%
MMM3M Company15.92%
PGProcter & Gamble Company16.58%
MOAltria Group20.01%
KOCoca-Cola Company18.24%
XOMExxon Mobil Corporation11.63%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year15.32%59.22%-25.78%11.57%53.61%-43.32%
3 years14.75%41.87%-1.09%10.49%32.68%-16.14%
5 years14.50%27.64%2.56%10.18%28.49%-6.73%
7 years14.09%25.06%4.01%9.78%21.51%-3.94%
10 years13.83%24.44%6.08%9.24%19.37%-3.51%
15 years13.35%21.53%9.06%8.39%16.05%3.64%