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 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 
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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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Portfolio Analysis Results (Jan 2007 - May 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
WFSPX iShares S&P 500 Index K 48.00%
VSMAX Vanguard Small Cap Index Adm 12.00%
VTMGX Vanguard Developed Markets Index Admiral 12.00%
VEMAX Vanguard Emerging Mkts Stock Idx Adm 3.00%
VBILX Vanguard Interm-Term Bond Index Adm 25.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$1,000,000$2,245,477 6.73% 11.68%24.47%-27.37%-40.50% 0.550.780.98
Vanguard 500 Index Investor$1,000,000$2,488,208 7.62% 14.77%32.18%-37.02%-50.97% 0.520.731.00
   
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 2019 are based on full calendar months from January to May
  • 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 treasury bill)
  • Stock market correlation is based on the correlation of monthly returns
  • Drawdowns are calculated based on monthly returns excluding cashflows
  • Monthly return series of the selected benchmark is used for results comparisons
  • 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
  • Portfolio cashflows and rebalancing for quarterly and annual periods are aligned with calendar periods.
Annual returns for the configured portfolios
YearInflationReturnBalanceiShares S&P 500 Index K (WFSPX)Vanguard Small Cap Index Adm (VSMAX)Vanguard Developed Markets Index Admiral (VTMGX)Vanguard Emerging Mkts Stock Idx Adm (VEMAX)Vanguard Interm-Term Bond Index Adm (VBILX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
20074.08%7.16%5.39%$1,071,570$1,053,8675.36%1.24%11.15%39.09%7.70%
20080.09%-27.37%-37.02%$778,280$663,718-37.01%-36.00%-41.27%-52.76%5.01%
20092.72%24.47%26.49%$968,761$839,50826.49%36.33%28.27%76.18%6.89%
20101.50%14.45%14.91%$1,108,766$964,70914.92%27.89%8.36%18.99%9.49%
20112.96%1.25%1.97%$1,122,618$983,6761.98%-2.69%-12.51%-18.67%10.74%
20121.74%14.34%15.82%$1,283,614$1,139,33915.84%18.24%18.56%18.86%7.02%
20131.50%21.64%32.18%$1,561,332$1,505,92832.21%37.81%22.06%-5.02%-3.45%
20140.76%8.51%13.51%$1,694,237$1,709,35613.61%7.50%-5.66%0.60%6.96%
20150.73%0.05%1.25%$1,695,043$1,730,6951.35%-3.64%-0.18%-15.35%1.27%
20162.07%9.27%11.82%$1,852,167$1,935,21011.92%18.30%2.45%11.73%2.83%
20172.11%17.47%21.67%$2,175,766$2,354,52621.77%16.24%26.40%31.38%3.85%
20181.91%-5.43%-4.52%$2,057,540$2,248,005-4.38%-9.31%-14.46%-14.58%-0.17%
20191.72%9.13%10.69%$2,245,477$2,488,20810.71%11.64%7.39%6.34%6.07%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceiShares S&P 500 Index K (WFSPX)Vanguard Small Cap Index Adm (VSMAX)Vanguard Developed Markets Index Admiral (VTMGX)Vanguard Emerging Mkts Stock Idx Adm (VEMAX)Vanguard Interm-Term Bond Index Adm (VBILX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
200711.07%1.49%$1,010,734$1,014,9321.50%2.36%1.27%-0.56%-0.26%
20072-0.46%-1.97%$1,006,109$994,946-1.97%-0.09%0.28%-1.29%2.06%
200731.06%1.11%$1,016,725$1,006,0061.10%1.22%2.68%4.15%-0.25%
200743.18%4.42%$1,049,039$1,050,4514.41%2.69%3.86%4.23%0.61%
200752.43%3.48%$1,074,515$1,086,9753.48%4.41%2.54%5.97%-1.13%
20076-1.00%-1.68%$1,063,808$1,068,755-1.68%-1.60%-0.13%4.49%-0.47%
20077-2.08%-3.08%$1,041,727$1,035,786-3.08%-5.75%-2.17%4.35%1.03%
200781.17%1.50%$1,053,949$1,051,3051.49%1.34%-0.65%-0.94%1.72%
200793.21%3.72%$1,087,821$1,090,4553.73%2.14%5.31%10.76%0.61%
2007102.33%1.58%$1,113,150$1,107,6711.57%2.65%4.48%12.36%1.01%
200711-3.03%-4.19%$1,079,448$1,061,296-4.18%-6.78%-3.75%-8.00%2.45%
200712-0.73%-0.70%$1,071,570$1,053,867-0.71%-0.70%-2.64%-0.37%0.13%
20081-4.28%-6.02%$1,025,760$990,471-6.02%-6.23%-7.79%-11.06%2.51%
20082-1.62%-3.25%$1,009,131$958,266-3.26%-2.62%-0.70%4.64%0.66%
20083-0.35%-0.44%$1,005,620$954,045-0.43%-0.50%0.11%-3.77%0.03%
200843.50%4.85%$1,040,837$1,000,3574.85%5.47%5.24%8.09%-0.83%
200851.09%1.29%$1,052,186$1,013,2861.29%5.16%1.35%1.85%-1.30%
20086-6.42%-8.44%$984,681$927,783-8.44%-8.86%-8.57%-10.37%-0.08%
20087-0.71%-0.83%$977,730$920,067-0.84%1.67%-3.49%-4.15%0.03%
200880.54%1.45%$982,976$933,3741.44%3.12%-4.29%-7.77%0.71%
20089-8.03%-8.91%$904,043$850,247-9.02%-9.40%-12.20%-16.24%-3.37%
200810-14.31%-16.79%$774,692$707,470-16.64%-21.53%-20.52%-27.69%-4.30%
200811-3.34%-7.17%$748,845$656,710-7.18%-11.43%-5.98%-7.85%5.81%
2008123.93%1.07%$778,280$663,7181.05%5.56%8.40%8.35%5.52%
20091-7.38%-8.41%$720,811$607,882-8.42%-10.25%-12.81%-8.22%-1.32%
20092-8.12%-10.66%$662,312$543,100-10.64%-11.91%-10.50%-6.01%-1.19%
200936.99%8.76%$708,601$590,6768.79%9.42%8.01%15.98%1.79%
200948.49%9.56%$768,766$647,1389.57%18.31%11.96%16.12%0.19%
200955.51%5.62%$811,114$683,4925.58%3.74%13.35%18.28%0.88%
200960.27%0.22%$813,298$684,9950.22%1.15%-1.18%-2.27%1.07%
200977.02%7.58%$870,402$736,9037.56%9.73%9.53%11.59%2.61%
200983.13%3.60%$897,667$763,4243.59%4.45%4.65%-0.65%1.33%
200993.79%3.72%$931,668$791,7983.72%6.37%4.06%9.29%1.39%
200910-1.99%-1.87%$913,118$777,011-1.87%-6.63%-2.36%-1.35%0.56%
2009114.40%5.98%$953,299$823,4875.99%3.33%3.26%5.91%2.02%
2009121.62%1.95%$968,761$839,5081.94%7.90%0.91%3.62%-2.53%
20101-2.37%-3.60%$945,763$809,254-3.60%-3.35%-4.75%-6.25%2.06%
201022.18%3.09%$966,371$834,2743.10%4.97%0.00%1.10%0.34%
201034.77%6.01%$1,012,493$884,4446.03%8.08%6.26%8.18%-0.18%
201041.58%1.58%$1,028,504$898,4011.58%5.57%-2.35%0.26%1.56%
20105-6.12%-8.01%$965,518$826,483-8.01%-7.79%-11.18%-9.28%1.19%
20106-2.97%-5.24%$936,850$783,179-5.23%-7.56%-1.66%-0.06%2.52%
201075.97%7.00%$992,810$837,9716.97%7.19%10.79%9.23%1.58%
20108-2.73%-4.53%$965,672$800,013-4.53%-6.60%-3.63%-2.19%2.52%
201097.14%8.92%$1,034,605$871,3658.92%12.00%10.11%11.18%0.57%
2010102.94%3.79%$1,065,016$904,3753.78%4.11%3.87%2.97%0.49%
201011-0.56%0.00%$1,059,074$904,3750.00%3.06%-5.11%-2.68%-1.05%
2010124.69%6.67%$1,108,766$964,7096.67%7.73%8.33%7.28%-2.37%
201111.51%2.36%$1,125,470$987,4492.36%0.86%2.25%-2.73%0.34%
201122.71%3.42%$1,155,942$1,021,1833.42%5.36%3.55%-0.85%0.04%
201130.13%0.03%$1,157,402$1,021,4440.03%2.42%-2.59%5.62%-0.11%
201143.11%2.95%$1,193,381$1,051,5562.95%2.96%6.37%3.45%1.86%
20115-0.78%-1.15%$1,184,116$1,039,511-1.14%-2.00%-2.83%-2.81%1.94%
20116-1.37%-1.67%$1,167,837$1,022,127-1.68%-2.02%-1.30%-1.49%-0.47%
20117-1.03%-2.05%$1,155,793$1,001,206-2.04%-3.69%-1.97%-0.80%2.71%
20118-4.38%-5.45%$1,105,135$946,676-5.45%-8.30%-8.96%-8.55%2.04%
20119-6.10%-7.04%$1,037,741$880,005-7.04%-10.98%-10.40%-16.17%0.39%
2011108.22%10.91%$1,123,012$976,04710.93%15.23%9.34%13.51%0.39%
201111-0.70%-0.23%$1,115,163$973,767-0.23%-0.38%-2.63%-3.40%-0.64%
2011120.67%1.02%$1,122,618$983,6761.00%0.21%-2.33%-3.32%1.83%
201214.44%4.46%$1,172,481$1,027,5934.49%7.01%5.82%11.12%1.65%
201223.25%4.31%$1,210,538$1,071,8504.31%3.19%5.12%5.60%-0.07%
201231.59%3.28%$1,229,738$1,107,0223.27%2.30%0.22%-2.85%-0.93%
20124-0.35%-0.64%$1,225,463$1,099,942-0.65%-0.90%-2.29%-1.75%1.81%
20125-5.16%-6.02%$1,162,239$1,033,749-6.02%-6.77%-11.26%-11.03%1.37%
201263.51%4.11%$1,203,035$1,076,2264.10%4.51%7.19%4.79%0.10%
201271.06%1.37%$1,215,793$1,090,9701.38%-0.80%0.30%0.67%1.77%
201281.96%2.24%$1,239,570$1,115,4002.24%3.46%3.15%0.45%0.26%
201292.18%2.58%$1,266,629$1,144,1392.57%2.76%2.82%5.36%0.41%
201210-0.92%-1.86%$1,255,014$1,122,863-1.86%-1.46%1.14%-0.40%0.25%
2012110.89%0.56%$1,266,157$1,129,1510.57%1.19%2.43%1.30%0.57%
2012121.38%0.90%$1,283,614$1,139,3390.91%3.09%3.85%5.89%-0.35%
201313.57%5.18%$1,329,437$1,198,3145.18%6.35%4.44%0.63%-0.93%
201320.84%1.34%$1,340,642$1,214,3591.34%1.36%-1.36%-1.76%0.99%
201332.60%3.74%$1,375,531$1,259,7593.73%4.69%1.40%-1.49%0.29%
201341.92%1.91%$1,401,975$1,283,8031.91%0.16%5.21%1.34%1.33%
201350.57%2.33%$1,410,015$1,313,6832.32%3.63%-3.00%-3.72%-2.43%
20136-1.94%-1.35%$1,382,592$1,295,941-1.35%-0.99%-2.88%-6.14%-2.85%
201374.17%5.07%$1,440,312$1,361,6745.08%6.68%5.34%0.99%0.43%
20138-2.42%-2.91%$1,405,519$1,322,024-2.91%-3.17%-1.41%-3.15%-1.25%
201393.74%3.12%$1,458,121$1,363,2933.12%5.71%7.52%7.15%1.59%
2013103.49%4.59%$1,509,038$1,425,8204.59%3.28%3.23%4.67%1.05%
2013111.87%3.03%$1,537,292$1,469,0003.04%2.72%0.69%-1.99%-0.37%
2013121.56%2.51%$1,561,332$1,505,9282.52%2.59%1.59%-0.95%-1.24%
20141-2.12%-3.47%$1,528,242$1,453,685-3.48%-2.05%-4.57%-7.24%2.25%
201423.69%4.56%$1,584,620$1,519,9834.56%5.07%5.73%3.43%0.58%
201430.34%0.82%$1,589,931$1,532,5040.83%-0.32%-0.42%3.87%-0.32%
201440.48%0.72%$1,597,623$1,543,6010.73%-2.31%1.51%0.53%0.86%
201451.97%2.33%$1,629,028$1,579,6432.34%1.17%1.63%3.71%1.57%
201461.79%2.05%$1,658,133$1,612,0572.06%5.00%1.06%3.04%-0.03%
20147-1.56%-1.39%$1,632,341$1,589,681-1.38%-4.94%-2.27%1.48%-0.28%
201483.01%3.98%$1,681,477$1,652,9764.00%5.00%0.30%3.57%1.38%
20149-2.29%-1.41%$1,643,053$1,629,625-1.40%-5.32%-4.19%-7.15%-1.07%
2014102.03%2.42%$1,676,450$1,669,1142.43%4.49%-0.47%2.34%1.20%
2014111.66%2.68%$1,704,287$1,713,8872.69%0.99%0.08%-0.99%0.92%
201412-0.59%-0.26%$1,694,237$1,709,356-0.25%1.25%-3.73%-4.96%-0.26%
20151-0.75%-3.02%$1,681,603$1,657,776-3.00%-2.15%0.90%0.69%3.29%
201523.83%5.74%$1,745,975$1,752,9255.74%5.84%5.94%3.55%-1.49%
20153-0.66%-1.59%$1,734,491$1,724,989-1.58%1.20%-1.26%-2.08%0.69%
201540.93%0.95%$1,750,652$1,741,3610.96%-1.69%4.07%7.82%-0.21%
201550.63%1.27%$1,761,690$1,763,5211.28%2.03%-0.15%-3.37%-0.38%
20156-1.78%-1.93%$1,730,356$1,729,434-1.93%-0.87%-2.79%-2.39%-1.34%
201571.14%2.08%$1,750,150$1,765,4112.10%-0.29%1.25%-6.76%0.94%
20158-4.87%-6.04%$1,664,954$1,658,752-6.03%-5.82%-7.28%-9.33%-0.38%
20159-2.01%-2.49%$1,631,572$1,617,449-2.50%-4.50%-4.08%-3.27%1.19%
2015105.60%8.42%$1,722,969$1,753,6828.44%5.70%6.82%5.63%-0.04%
2015110.08%0.29%$1,724,407$1,758,7040.30%1.81%-0.90%-3.26%-0.31%
201512-1.70%-1.59%$1,695,043$1,730,695-1.60%-4.18%-1.81%-2.43%-0.61%
20161-3.70%-4.98%$1,632,398$1,644,564-4.97%-7.65%-5.75%-6.04%1.92%
20162-0.07%-0.15%$1,631,262$1,642,177-0.14%0.92%-2.96%-0.82%1.00%
201635.67%6.78%$1,723,699$1,753,4416.78%8.37%7.13%13.03%1.09%
201640.81%0.37%$1,737,723$1,759,9940.38%1.74%2.43%0.80%0.47%
201650.88%1.78%$1,752,987$1,791,3731.80%1.93%-0.42%-3.38%-0.21%
201660.66%0.25%$1,764,624$1,795,8510.26%0.26%-2.25%5.09%2.45%
201673.20%3.68%$1,821,120$1,861,8733.68%5.07%4.41%4.65%0.72%
201680.12%0.13%$1,823,337$1,864,2840.14%0.64%0.51%1.70%-0.54%
201690.31%0.01%$1,828,924$1,864,4360.01%0.41%1.40%1.27%0.20%
201610-1.85%-1.83%$1,795,063$1,830,260-1.82%-4.10%-2.33%0.67%-0.89%
2016111.65%3.70%$1,824,755$1,897,9613.71%8.60%-1.53%-4.34%-3.38%
2016121.50%1.96%$1,852,167$1,935,2101.97%1.88%2.49%-0.16%0.10%
201711.79%1.88%$1,885,244$1,971,6531.89%1.57%3.66%4.94%0.40%
201722.61%3.96%$1,934,513$2,049,7853.96%2.37%0.99%3.30%0.82%
201730.47%0.10%$1,943,538$2,051,8360.11%-0.24%3.00%2.26%0.05%
201741.19%1.02%$1,966,704$2,072,7261.03%0.85%2.30%1.43%1.10%
201751.21%1.39%$1,990,553$2,101,6141.40%-1.12%3.41%1.26%0.84%
201760.58%0.61%$2,002,097$2,114,4670.62%2.24%0.57%0.75%-0.31%
201771.83%2.04%$2,038,703$2,157,6542.05%1.11%2.94%5.37%0.66%
201780.38%0.29%$2,046,531$2,163,9860.30%-0.94%0.07%3.11%1.01%
201791.60%2.06%$2,079,228$2,208,5442.07%4.41%2.40%-0.80%-0.82%
2017101.68%2.32%$2,114,089$2,259,7292.33%1.55%1.87%2.49%0.14%
2017111.90%3.06%$2,154,202$2,328,8623.06%3.10%0.85%0.19%-0.40%
2017121.00%1.10%$2,175,766$2,354,5261.11%0.38%1.68%3.51%0.32%
201813.54%5.71%$2,252,732$2,489,0325.72%2.85%4.86%8.41%-1.54%
20182-3.30%-3.69%$2,178,350$2,397,072-3.69%-4.07%-5.23%-4.69%-0.96%
20183-1.07%-2.56%$2,155,027$2,335,817-2.53%1.14%-0.47%-1.23%0.51%
201840.11%0.37%$2,157,453$2,344,5350.38%0.34%1.55%-2.03%-0.94%
201851.67%2.39%$2,193,411$2,400,6762.40%5.08%-1.60%-2.83%0.70%
201860.07%0.61%$2,194,946$2,415,2020.61%0.73%-1.53%-4.49%-0.04%
201872.42%3.71%$2,248,036$2,504,7893.72%1.84%2.32%3.19%0.06%
201882.04%3.25%$2,293,876$2,586,1013.25%4.49%-1.91%-3.53%0.79%
20189-0.03%0.55%$2,293,268$2,600,4370.56%-1.54%0.73%-1.30%-0.67%
201810-5.97%-6.85%$2,156,259$2,422,333-6.83%-10.08%-8.49%-7.59%-0.48%
2018111.59%2.03%$2,190,527$2,471,4252.04%2.17%0.39%4.47%0.62%
201812-6.07%-9.04%$2,057,540$2,248,005-9.00%-11.10%-5.37%-2.94%1.82%
201916.78%8.00%$2,197,035$2,427,8928.00%11.85%7.36%8.53%1.52%
201922.43%3.20%$2,250,520$2,505,5973.21%4.82%2.18%0.64%-0.04%
201931.48%1.94%$2,283,868$2,554,1211.95%-0.90%0.42%1.92%2.32%
201942.86%4.04%$2,349,268$2,657,3374.05%3.61%2.90%2.10%0.06%
20195-4.42%-6.36%$2,245,477$2,488,208-6.36%-7.25%-5.26%-6.44%2.10%

Portfolio Returns Based Style Analysis

Portfolio Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value21.94%47.04%
Large-cap Growth26.70%52.82%
Mid-cap Value6.84%0.00%
Mid-cap Growth2.28%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth3.37%0.00%
Global ex-US Developed Markets11.68%0.00%
Emerging Markets3.94%0.00%
Corporate Bonds7.01%0.00%
Long-Term Treasuries0.00%0.01%
Intermediate-Term Treasuries13.31%0.13%
Short-Term Treasuries2.94%0.00%
R Squared99.86%99.93%
Style analysis is based on monthly returns from Jan 2007 to May 2019 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 Exposures for Portfolio 1

Holdings Based Exposures for Portfolio 1
TickerNameCategoryDurationERWeightReturn ContributionRisk Contribution
WFSPXiShares S&P 500 Index KLarge Blend0.04%48.00%$761,66058.78%
VSMAXVanguard Small Cap Index AdmSmall Blend0.05%12.00%$185,18818.13%
VTMGXVanguard Developed Markets Index AdmiralForeign Large Blend0.07%12.00%$71,95616.79%
VEMAXVanguard Emerging Mkts Stock Idx AdmDiversified Emerging Mkts0.14%3.00%$26,5664.74%
VBILXVanguard Interm-Term Bond Index AdmIntermediate Core Bond6.110.07%25.00%$200,1071.55%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 06/05/2019. © 2019 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 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)0.60%0.71%
Arithmetic Mean (annualized)7.46%8.80%
Geometric Mean (monthly)0.54%0.61%
Geometric Mean (annualized)6.73%7.62%
Volatility (monthly)3.37%4.26%
Volatility (annualized)11.68%14.77%
Downside Deviation (monthly)2.33%2.97%
Max. Drawdown-40.50%-50.97%
US Market Correlation0.981.00
Beta(*)0.781.00
Alpha (annualized)0.63%0.00%
R296.65%100.00%
Sharpe Ratio0.550.52
Sortino Ratio0.780.73
Treynor Ratio (%)8.227.64
Calmar Ratio0.840.85
Active Return-0.89%N/A
Tracking Error3.92%N/A
Information Ratio-0.23N/A
Skewness-0.83-0.76
Excess Kurtosis2.381.63
Historical Value-at-Risk (5%)-6.08%-7.59%
Analytical Value-at-Risk (5%)-5.02%-6.31%
Conditional Value-at-Risk (5%)-8.07%-10.04%
Upside Capture Ratio (%)77.81100.00
Downside Capture Ratio (%)76.90100.00
Safe Withdrawal Rate9.80%9.16%
Perpetual Withdrawal Rate4.66%5.47%
Positive Periods98 out of 149 (65.77%)99 out of 149 (66.44%)
Gain/Loss Ratio0.830.76
* 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
Subprime CrisisNov 2007Mar 2009-40.50%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsJan 20111 year 11 months3 years 3 months-40.50%
2May 2011Sep 20115 monthsFeb 20125 months10 months-13.04%
3Sep 2018Dec 20184 monthsApr 20194 months8 months-10.30%
4Jun 2015Feb 20169 monthsJun 20164 months1 year 1 month-7.40%
5Apr 2012May 20122 monthsAug 20123 months5 months-5.49%
6May 2019May 20191 month-4.42%
7Feb 2018Mar 20182 monthsAug 20185 months7 months-4.34%
8Jun 2007Jul 20072 monthsSep 20072 months4 months-3.05%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.42%
10Sep 2014Sep 20141 monthNov 20142 months3 months-2.29%
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%
2Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
3Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
4May 2019May 20191 month-6.36%
5Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
6Jun 2007Jul 20072 monthsSep 20072 months4 months-4.71%
7Jan 2014Jan 20141 monthFeb 20141 month2 months-3.47%
8Dec 2014Jan 20152 monthsFeb 20151 month3 months-3.27%
9Aug 2013Aug 20131 monthSep 20131 month2 months-2.91%
10Feb 2007Feb 20071 monthApr 20072 months3 months-1.97%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
WFSPXiShares S&P 500 Index K7.67%14.76%32.21%-37.01%-50.96%0.520.741.00
VSMAXVanguard Small Cap Index Adm7.94%19.06%37.81%-36.00%-53.84%0.450.650.96
VTMGXVanguard Developed Markets Index Admiral2.05%17.72%28.27%-41.27%-57.06%0.160.220.89
VEMAXVanguard Emerging Mkts Stock Idx Adm2.96%22.17%76.18%-52.76%-62.65%0.210.300.79
VBILXVanguard Interm-Term Bond Index Adm5.10%4.93%10.74%-3.45%-8.88%0.861.500.01

Monthly Correlations

Correlations for the portfolio assets
TickerNameWFSPXVSMAXVTMGXVEMAXVBILXPortfolio 1Vanguard 500 Index Investor
WFSPXiShares S&P 500 Index K-0.940.890.790.010.981.00
VSMAXVanguard Small Cap Index Adm0.94-0.830.74-0.020.940.94
VTMGXVanguard Developed Markets Index Admiral0.890.83-0.880.150.940.89
VEMAXVanguard Emerging Mkts Stock Idx Adm0.790.740.88-0.190.850.79
VBILXVanguard Interm-Term Bond Index Adm0.01-0.020.150.19-0.150.02

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
WFSPXiShares S&P 500 Index K$761,660
VSMAXVanguard Small Cap Index Adm$185,188
VTMGXVanguard Developed Markets Index Admiral$71,956
VEMAXVanguard Emerging Mkts Stock Idx Adm$26,566
VBILXVanguard Interm-Term Bond Index Adm$200,107

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
WFSPXiShares S&P 500 Index K58.78%
VSMAXVanguard Small Cap Index Adm18.13%
VTMGXVanguard Developed Markets Index Admiral16.79%
VEMAXVanguard Emerging Mkts Stock Idx Adm4.74%
VBILXVanguard Interm-Term Bond Index Adm1.55%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year7.15%24.47%-27.37%8.62%32.18%-37.02%
3 years8.06%14.70%-1.05%9.64%20.22%-5.66%
5 years8.62%14.94%2.34%10.65%17.81%-0.33%
7 years8.99%11.76%6.57%11.11%14.67%6.02%
10 years7.97%10.21%6.36%9.39%12.97%6.82%
Result statistics are based on annualized rolling returns over full calendar year periods