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.

$ .00
$ .00
%
%
%
Portfolio Assets 
Asset 1
%
%
%
Asset 2
%
%
%
Asset 3
%
%
%
Asset 4
%
%
%
Asset 5
%
%
%
Asset 6
%
%
%
Asset 7
%
%
%
Asset 8
%
%
%
Asset 9
%
%
%
Asset 10
%
%
%
Total
%
%
%

Portfolio Analysis Results (Jan 2007 - Dec 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$2,554,912 7.48% 11.53%24.47%-27.37%-40.50% 0.610.870.98
Vanguard 500 Index Investor$1,000,000$2,952,237 8.68% 14.59%32.18%-37.02%-50.97% 0.580.841.00
   
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 backtested results assume annual rebalancing of portfolio assets to match the specified allocation
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%
20192.29%24.17%31.33%$2,554,912$2,952,23731.43%27.37%22.05%20.31%10.18%
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%
201965.52%7.03%$2,369,528$2,663,2017.04%7.05%5.93%5.42%1.53%
201970.64%1.43%$2,384,705$2,701,1761.43%1.27%-2.09%-1.13%0.23%
20198-0.94%-1.59%$2,362,193$2,658,197-1.58%-4.01%-1.91%-3.78%2.88%
201991.32%1.86%$2,393,269$2,707,6091.87%1.38%3.09%1.34%-0.70%
2019101.85%2.15%$2,437,514$2,765,9582.16%1.61%3.26%3.87%0.39%
2019112.41%3.62%$2,496,379$2,866,0973.63%4.15%1.40%0.20%-0.29%
2019122.34%3.01%$2,554,912$2,952,2373.01%2.19%3.49%6.96%-0.20%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value21.99%46.97%
Large-cap Growth26.79%52.91%
Mid-cap Value6.40%0.00%
Mid-cap Growth2.40%0.00%
Small-cap Value0.00%0.00%
Small-cap Growth3.59%0.00%
Global ex-US Developed Markets11.58%0.00%
Emerging Markets3.97%0.00%
REITs0.00%0.00%
Corporate Bonds7.07%0.00%
Long-Term Treasuries0.00%0.06%
Intermediate-Term Treasuries13.28%0.06%
Short-Term Treasuries2.93%0.00%
R Squared99.85%99.93%
Style analysis is based on monthly returns from Jan 2007 to Dec 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 Style Analysis for Portfolio 1

Holdings Based Style Analysis for Portfolio 1
TickerNameCategoryWeightERP/EDurationReturn ContributionRisk Contribution
WFSPXiShares S&P 500 Index KLarge Blend48.00%0.03%19.68$966,30958.90%
VSMAXVanguard Small Cap Index AdmSmall Blend12.00%0.05%15.82$224,00818.11%
VTMGXVanguard Developed Markets Index AdmiralForeign Large Blend12.00%0.07%14.12$108,14516.77%
VEMAXVanguard Emerging Mkts Stock Idx AdmDiversified Emerging Mkts3.00%0.14%13.42$35,1854.73%
VBILXVanguard Interm-Term Bond Index AdmIntermediate Core Bond25.00%0.07%6.38$221,2651.49%
100.00%0.05%17.926.38$1,554,912100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Credit Quality

Fixed Income Maturity

Fund fundamentals data as of 05/29/2020. (c) 2020 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)0.66%0.79%
Arithmetic Mean (annualized)8.20%9.85%
Geometric Mean (monthly)0.60%0.70%
Geometric Mean (annualized)7.48%8.68%
Volatility (monthly)3.33%4.21%
Volatility (annualized)11.53%14.59%
Downside Deviation (monthly)2.28%2.90%
Max. Drawdown-40.50%-50.97%
US Market Correlation0.981.00
Beta(*)0.781.00
Alpha (annualized)0.58%0.00%
R296.68%100.00%
Sharpe Ratio0.610.58
Sortino Ratio0.870.84
Treynor Ratio (%)9.018.53
Calmar Ratio1.101.12
Active Return-1.20%N/A
Tracking Error3.87%N/A
Information Ratio-0.31N/A
Skewness-0.86-0.79
Excess Kurtosis2.491.73
Historical Value-at-Risk (5%)-6.08%-7.30%
Analytical Value-at-Risk (5%)-4.89%-6.14%
Conditional Value-at-Risk (5%)-8.07%-10.04%
Upside Capture Ratio (%)77.41100.00
Downside Capture Ratio (%)76.73100.00
Safe Withdrawal Rate9.34%8.82%
Perpetual Withdrawal Rate5.22%6.27%
Positive Periods104 out of 156 (66.67%)105 out of 156 (67.31%)
Gain/Loss Ratio0.840.77
* 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 monthJun 20191 month2 months-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 monthJun 20191 month2 months-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 K8.74%14.58%32.21%-37.01%-50.96%0.590.841.00
VSMAXVanguard Small Cap Index Adm8.67%18.78%37.81%-36.00%-53.84%0.490.710.96
VTMGXVanguard Developed Markets Index Admiral2.97%17.47%28.27%-41.27%-57.06%0.200.280.89
VEMAXVanguard Emerging Mkts Stock Idx Adm3.81%21.84%76.18%-52.76%-62.65%0.240.350.79
VBILXVanguard Interm-Term Bond Index Adm5.18%4.90%10.74%-3.45%-8.88%0.871.520.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameWFSPXVSMAXVTMGXVEMAXVBILXPortfolio 1Vanguard 500 Index Investor
WFSPXiShares S&P 500 Index K1.000.940.890.790.010.981.00
VSMAXVanguard Small Cap Index Adm0.941.000.830.74-0.030.940.94
VTMGXVanguard Developed Markets Index Admiral0.890.831.000.880.140.930.89
VEMAXVanguard Emerging Mkts Stock Idx Adm0.790.740.881.000.180.840.79
VBILXVanguard Interm-Term Bond Index Adm0.01-0.030.140.181.000.140.01

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
WFSPXiShares S&P 500 Index K$966,309
VSMAXVanguard Small Cap Index Adm$224,008
VTMGXVanguard Developed Markets Index Admiral$108,145
VEMAXVanguard Emerging Mkts Stock Idx Adm$35,185
VBILXVanguard Interm-Term Bond Index Adm$221,265

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
WFSPXiShares S&P 500 Index K58.90%
VSMAXVanguard Small Cap Index Adm18.11%
VTMGXVanguard Developed Markets Index Admiral16.77%
VEMAXVanguard Emerging Mkts Stock Idx Adm4.73%
VBILXVanguard Interm-Term Bond Index Adm1.49%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year8.46%24.47%-27.37%10.37%32.18%-37.02%
3 years8.36%14.70%-1.05%10.14%20.22%-5.66%
5 years8.62%14.94%2.34%10.75%17.81%-0.33%
7 years9.18%11.76%6.57%11.60%14.67%6.02%
10 years8.52%10.21%6.36%10.39%13.40%6.82%
Result statistics are based on annualized rolling returns over full calendar year periods