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.

$ .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 1992 - Nov 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 50.00%
VFISX Vanguard Short-Term Treasury Inv 425.00%
VUSTX Vanguard Long-Term Treasury Inv 25.00%
CASHX Cash -400.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$313,648 13.14% 10.48%54.55%-18.54%-21.89% 1.011.720.44
Vanguard 500 Index Investor$10,000$128,781 9.59% 14.01%37.45%-37.02%-50.97% 0.550.800.99
   
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.
  • The annual results for 2019 are based on full calendar months from January to November
  • 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
Annual returns for the configured portfolios
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Short-Term Treasury Inv (VFISX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
19922.90%19.87%7.42%$11,987$10,7427.42%6.75%7.41%3.50%
19932.75%24.25%9.89%$14,893$11,8059.89%6.31%16.79%2.90%
19942.67%-18.54%1.18%$12,132$11,9441.18%-0.48%-7.04%3.90%
19952.54%54.55%37.45%$18,750$16,41637.45%12.11%30.09%5.60%
19963.32%8.71%22.88%$20,383$20,17222.88%4.39%-1.26%5.20%
19971.70%26.27%33.19%$25,738$26,86733.19%6.51%13.90%5.25%
19981.61%28.96%28.62%$33,191$34,55528.62%7.36%13.05%4.85%
19992.68%-2.48%21.07%$32,368$41,83621.07%1.85%-8.66%4.69%
20003.39%14.10%-9.06%$36,933$38,047-9.06%8.83%19.72%5.88%
20011.55%12.76%-12.02%$41,647$33,473-12.02%7.80%4.31%3.82%
20022.38%20.51%-22.15%$50,190$26,060-22.15%8.02%16.67%1.63%
20031.88%20.86%28.50%$60,658$33,48828.50%2.38%2.68%1.02%
20043.26%6.75%10.74%$64,755$37,08410.74%1.03%7.12%1.19%
20053.42%-0.36%4.77%$64,525$38,8554.77%1.77%6.61%2.98%
20062.54%4.92%15.64%$67,698$44,93215.64%3.77%1.74%4.81%
20074.08%19.44%5.39%$80,860$47,3535.39%7.89%9.24%4.67%
20080.09%9.08%-37.02%$88,203$29,822-37.02%6.68%22.52%1.59%
20092.72%15.99%26.49%$102,305$37,72126.49%1.44%-12.05%0.09%
20101.50%20.49%14.91%$123,262$43,34714.91%2.64%8.93%0.10%
20112.96%17.73%1.97%$145,119$44,1991.97%2.26%29.28%0.04%
20121.74%11.48%15.82%$161,780$51,19315.82%0.69%3.47%0.06%
20131.50%12.41%32.18%$181,865$67,66532.18%-0.10%-13.03%0.00%
20140.76%16.11%13.51%$211,163$76,80613.51%0.71%25.28%0.00%
20150.73%2.13%1.25%$215,661$77,7641.25%0.45%-1.54%0.01%
20162.07%9.56%11.82%$236,284$86,95411.82%0.99%1.20%0.21%
20172.11%11.44%21.67%$263,312$105,79521.67%0.39%8.58%0.79%
20181.91%-4.18%-4.52%$252,303$101,008-4.52%1.35%-1.90%1.80%
20192.43%24.31%27.50%$313,648$128,78127.50%3.45%17.65%2.09%
Annual returns for 2019 are based on partial year data
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Short-Term Treasury Inv (VFISX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
19921-5.06%-1.88%$9,494$9,812-1.88%-0.46%-3.21%0.34%
199220.70%1.24%$9,561$9,9341.24%0.24%0.64%0.28%
19923-3.80%-1.93%$9,198$9,743-1.93%-0.25%-1.10%0.34%
199244.47%2.91%$9,609$10,0262.91%0.95%-0.07%0.32%
199254.84%0.48%$10,074$10,0750.48%1.16%2.70%0.28%
199263.48%-1.49%$10,425$9,925-1.49%1.23%1.12%0.32%
199277.93%4.04%$11,251$10,3264.04%1.52%4.02%0.31%
199282.98%-2.07%$11,586$10,113-2.07%1.21%0.71%0.26%
199294.03%1.17%$12,053$10,2311.17%1.09%1.36%0.26%
199210-5.13%0.33%$11,434$10,2650.33%-1.11%-1.89%0.23%
1992110.42%3.40%$11,483$10,6143.40%-0.10%0.50%0.23%
1992124.39%1.21%$11,987$10,7421.21%1.11%2.63%0.28%
199316.13%0.81%$12,722$10,8290.81%1.40%2.85%0.23%
199325.87%1.36%$13,469$10,9761.36%1.30%3.20%0.22%
199330.93%2.11%$13,595$11,2072.11%0.21%0.19%0.25%
199341.57%-2.42%$13,808$10,935-2.42%0.87%0.76%0.24%
19935-1.24%2.65%$13,637$11,2252.65%-0.45%0.38%0.22%
199363.54%0.27%$14,120$11,2550.27%0.87%4.17%0.25%
19937-0.62%-0.42%$14,032$11,208-0.42%0.01%1.39%0.24%
199385.73%3.79%$14,836$11,6323.79%1.06%3.99%0.25%
199390.23%-0.79%$14,870$11,540-0.79%0.37%0.33%0.26%
1993100.67%2.08%$14,970$11,7792.08%0.10%0.62%0.22%
199311-2.17%-1.00%$14,644$11,662-1.00%-0.10%-2.48%0.25%
1993121.70%1.22%$14,893$11,8051.22%0.50%0.42%0.23%
199414.11%3.38%$15,505$12,2043.38%0.67%2.23%0.25%
19942-6.81%-2.71%$14,450$11,872-2.71%-0.90%-3.99%0.21%
19943-8.11%-4.39%$13,278$11,351-4.39%-0.86%-3.82%0.27%
19944-3.11%1.29%$12,865$11,4981.29%-0.48%-1.29%0.27%
19945-0.05%1.60%$12,859$11,6821.60%0.13%-0.47%0.31%
19946-1.99%-2.45%$12,603$11,396-2.45%0.22%-0.81%0.31%
199475.94%3.28%$13,352$11,7703.28%0.95%2.94%0.28%
199481.56%4.08%$13,560$12,2494.08%0.25%-0.67%0.37%
19949-5.39%-2.45%$12,830$11,950-2.45%-0.36%-3.00%0.37%
1994100.72%2.25%$12,922$12,2182.25%0.27%-0.36%0.38%
199411-6.28%-3.65%$12,111$11,772-3.65%-0.55%0.62%0.37%
1994120.17%1.46%$12,132$11,9441.46%0.20%1.62%0.44%
199516.89%2.58%$12,968$12,2522.58%1.56%2.62%0.42%
199527.46%3.88%$13,935$12,7283.88%1.60%2.73%0.40%
199531.97%2.95%$14,209$13,1042.95%0.54%0.72%0.46%
199544.04%2.94%$14,783$13,4892.94%1.02%1.65%0.44%
199558.98%3.95%$16,110$14,0223.95%2.02%7.52%0.54%
199561.86%2.31%$16,410$14,3462.31%0.60%1.13%0.47%
199570.56%3.30%$16,502$14,8203.30%0.23%-1.40%0.45%
199581.20%0.26%$16,701$14,8600.26%0.62%2.05%0.47%
199592.95%4.21%$17,193$15,4864.21%0.60%1.81%0.43%
1995102.02%-0.36%$17,541$15,429-0.36%0.91%2.97%0.47%
1995114.30%4.38%$18,295$16,1054.38%0.99%2.31%0.42%
1995122.49%1.93%$18,750$16,4161.93%0.80%2.70%0.49%
199613.72%3.39%$19,447$16,9723.39%0.88%-0.05%0.43%
19962-5.10%0.92%$18,455$17,1290.92%-0.70%-4.93%0.39%
19963-2.39%0.98%$18,015$17,2960.98%-0.20%-1.98%0.39%
19964-2.53%1.46%$17,558$17,5481.46%-0.22%-1.78%0.46%
19965-0.07%2.54%$17,545$17,9942.54%0.09%-0.46%0.42%
199662.90%0.38%$18,054$18,0630.38%0.87%2.14%0.40%
19967-3.09%-4.42%$17,497$17,265-4.42%0.29%-0.05%0.45%
199680.39%2.10%$17,564$17,6272.10%0.29%-1.29%0.41%
199696.26%5.61%$18,664$18,6155.61%0.97%2.79%0.44%
1996106.15%2.76%$19,813$19,1282.76%1.28%3.88%0.42%
1996116.70%7.56%$21,139$20,5757.56%0.87%3.24%0.41%
199612-3.58%-1.96%$20,383$20,172-1.96%-0.10%-2.38%0.46%
199712.83%6.22%$20,960$21,4266.22%0.40%-0.65%0.45%
19972-0.32%0.79%$20,893$21,5950.79%0.20%-0.11%0.39%
19973-5.19%-4.14%$19,808$20,702-4.14%-0.20%-2.29%0.43%
199745.75%5.96%$20,947$21,9355.96%0.88%2.35%0.43%
199754.57%6.09%$21,904$23,2706.09%0.74%0.98%0.49%
199764.05%4.45%$22,791$24,3074.45%0.67%1.78%0.37%
199778.38%7.97%$24,700$26,2437.97%1.18%5.34%0.43%
19978-4.80%-5.61%$23,515$24,771-5.61%0.01%-2.57%0.41%
199794.79%5.47%$24,640$26,1255.47%0.78%2.63%0.44%
1997100.34%-3.35%$24,723$25,250-3.35%0.79%2.99%0.42%
1997111.94%4.60%$25,204$26,4114.60%0.18%1.27%0.39%
1997122.12%1.72%$25,738$26,8671.72%0.69%1.66%0.48%
199813.87%1.11%$26,733$27,1651.11%1.07%1.91%0.43%
199821.53%7.19%$27,141$29,1197.19%-0.07%-0.75%0.39%
199832.66%5.10%$27,863$30,6055.10%0.37%0.14%0.39%
199841.17%1.01%$28,189$30,9141.01%0.54%0.40%0.43%
199850.23%-1.74%$28,254$30,375-1.74%0.56%1.83%0.40%
199863.23%4.07%$29,168$31,6114.07%0.54%2.35%0.41%
19987-0.70%-1.05%$28,962$31,278-1.05%0.36%-0.51%0.40%
19988-1.52%-14.47%$28,521$26,751-14.47%1.63%4.83%0.43%
199898.98%6.41%$31,083$28,4666.41%1.79%3.29%0.46%
1998102.93%8.16%$31,995$30,7908.16%0.25%-1.69%0.32%
1998111.36%6.07%$32,429$32,6606.07%-0.15%0.88%0.31%
1998122.35%5.81%$33,191$34,5555.81%0.25%-0.16%0.38%
199912.71%4.20%$34,091$36,0084.20%0.41%0.98%0.35%
19992-7.77%-3.12%$31,442$34,883-3.12%-0.88%-4.76%0.35%
199933.30%4.00%$32,479$36,2774.00%0.69%-0.34%0.43%
199941.93%3.85%$33,107$37,6743.85%0.31%0.19%0.37%
19995-4.51%-2.39%$31,613$36,774-2.39%-0.34%-1.68%0.34%
199961.81%5.56%$32,185$38,8185.56%0.16%-1.05%0.40%
19997-2.91%-3.13%$31,250$37,603-3.13%0.13%-0.58%0.38%
19998-1.45%-0.50%$30,797$37,416-0.50%0.14%-0.49%0.39%
199990.75%-2.74%$31,030$36,391-2.74%0.84%0.91%0.39%
1999102.98%6.33%$31,955$38,6936.33%0.26%0.12%0.39%
1999110.21%2.02%$32,022$39,4762.02%0.16%-0.59%0.36%
1999121.08%5.98%$32,368$41,8365.98%-0.03%-1.60%0.44%
20001-4.79%-5.03%$30,817$39,731-5.03%-0.22%1.25%0.41%
200021.40%-1.91%$31,248$38,973-1.91%0.76%2.96%0.43%
200036.65%9.76%$33,325$42,7779.76%0.70%3.14%0.47%
20004-2.65%-3.01%$32,443$41,491-3.01%0.19%-0.66%0.46%
20005-1.82%-2.04%$31,852$40,645-2.04%0.30%-0.46%0.50%
200065.81%2.49%$33,702$41,6562.49%1.30%2.30%0.40%
200070.36%-1.49%$33,823$41,035-1.49%0.61%1.49%0.48%
200085.22%6.19%$35,590$43,5756.19%0.92%2.08%0.50%
20009-1.41%-5.29%$35,089$41,270-5.29%0.79%-0.85%0.51%
2000100.54%-0.43%$35,277$41,093-0.43%0.60%1.57%0.56%
2000110.15%-7.88%$35,330$37,856-7.88%1.18%2.99%0.51%
2000124.54%0.50%$36,933$38,0470.50%1.38%2.45%0.50%
200115.02%3.55%$38,788$39,3963.55%1.26%0.28%0.54%
20012-2.25%-9.14%$37,914$35,796-9.14%0.80%1.80%0.38%
20013-1.43%-6.36%$37,373$33,521-6.36%0.77%-0.60%0.42%
200141.42%7.77%$37,903$36,1257.77%0.06%-2.56%0.39%
200150.95%0.65%$38,265$36,3600.65%0.44%0.21%0.32%
20016-0.64%-2.45%$38,021$35,471-2.45%0.33%0.76%0.28%
200175.15%-1.00%$39,978$35,116-1.00%1.40%3.61%0.30%
20018-0.11%-6.27%$39,932$32,913-6.27%0.79%2.02%0.31%
200192.86%-8.09%$41,074$30,250-8.09%1.68%0.88%0.28%
2001105.58%1.90%$43,368$30,8231.90%1.13%5.12%0.22%
200111-2.36%7.65%$42,345$33,1837.65%-0.83%-5.07%0.17%
200112-1.65%0.87%$41,647$33,4730.87%-0.27%-1.82%0.15%
200210.87%-1.47%$42,010$32,979-1.47%0.44%1.20%0.14%
200221.69%-1.94%$42,718$32,341-1.94%0.67%1.24%0.13%
20023-3.15%3.74%$41,374$33,5523.74%-0.82%-3.86%0.13%
200243.85%-6.07%$42,966$31,513-6.07%1.54%3.73%0.15%
200251.65%-0.75%$43,677$31,276-0.75%0.59%0.39%0.14%
200260.60%-7.13%$43,938$29,044-7.13%0.93%1.76%0.13%
200273.38%-7.72%$45,424$26,802-7.72%1.54%2.93%0.15%
200284.27%0.65%$47,366$26,9770.65%0.86%4.28%0.14%
200291.40%-10.87%$48,028$24,043-10.87%1.21%4.02%0.14%
2002101.58%8.78%$48,787$26,1558.78%0.02%-2.84%0.14%
200211-1.23%5.88%$48,185$27,6925.88%-0.66%-0.98%0.12%
2002124.16%-5.89%$50,190$26,060-5.89%1.46%4.05%0.11%
20031-2.37%-2.62%$49,003$25,376-2.62%-0.13%-0.45%0.10%
200322.58%-1.52%$50,267$24,991-1.52%0.68%3.03%0.09%
200330.75%0.96%$50,643$25,2300.96%0.23%-1.13%0.10%
200344.24%8.25%$52,791$27,3128.25%0.11%0.91%0.10%
200357.91%5.26%$56,967$28,7505.26%1.05%5.67%0.09%
20036-0.04%1.26%$56,943$29,1121.26%0.01%-1.48%0.10%
20037-4.87%1.74%$54,173$29,6201.74%-0.91%-8.57%0.07%
200381.15%1.93%$54,797$30,1921.93%0.02%1.43%0.07%
200394.77%-1.07%$57,413$29,869-1.07%1.15%5.07%0.08%
2003100.68%5.64%$57,805$31,5545.64%-0.34%-2.58%0.07%
2003110.02%0.86%$57,814$31,8260.86%-0.07%0.31%0.07%
2003124.92%5.22%$60,658$33,4885.22%0.59%1.23%0.08%
200412.01%1.82%$61,880$34,0981.82%0.22%1.74%0.07%
200423.35%1.38%$63,951$34,5671.38%0.58%1.96%0.06%
200430.89%-1.51%$64,519$34,044-1.51%0.40%1.45%0.09%
20044-7.25%-1.58%$59,843$33,507-1.58%-1.20%-5.52%0.08%
20045-0.39%1.36%$59,609$33,9621.36%-0.16%-0.56%0.06%
200460.98%1.93%$60,193$34,6181.93%0.02%0.87%0.08%
20047-0.39%-3.31%$59,961$33,471-3.31%0.32%1.52%0.10%
200484.03%0.38%$62,377$33,6000.38%0.80%3.39%0.11%
200490.48%1.07%$62,679$33,9581.07%0.04%0.94%0.11%
2004102.03%1.51%$63,950$34,4721.51%0.33%1.46%0.11%
200411-1.74%4.05%$62,840$35,8674.05%-0.63%-2.25%0.15%
2004123.05%3.39%$64,755$37,0843.39%0.33%2.22%0.16%
20051-1.03%-2.45%$64,088$36,174-2.45%0.04%2.59%0.16%
20052-1.49%2.09%$63,132$36,9322.09%-0.36%-1.24%0.16%
20053-2.15%-1.76%$61,775$36,281-1.76%-0.05%-0.76%0.21%
200542.18%-1.91%$63,120$35,588-1.91%0.72%3.22%0.21%
200553.15%3.17%$65,109$36,7153.17%0.44%2.55%0.24%
200560.60%0.13%$65,498$36,7620.13%0.24%1.64%0.23%
20057-1.55%3.71%$64,486$38,1243.71%-0.41%-2.58%0.24%
200582.27%-0.91%$65,949$37,776-0.91%0.75%2.87%0.30%
20059-2.78%0.79%$64,114$38,0760.79%-0.31%-2.78%0.29%
200510-2.87%-1.68%$62,276$37,437-1.68%-0.11%-1.74%0.27%
2005112.50%3.76%$63,834$38,8463.76%0.39%0.57%0.31%
2005121.08%0.02%$64,525$38,8550.02%0.41%2.33%0.32%
200610.29%2.65%$64,710$39,8832.65%0.14%-0.90%0.35%
20062-0.97%0.26%$64,082$39,9880.26%0.01%0.81%0.34%
20063-1.51%1.23%$63,117$40,4801.23%0.05%-3.39%0.37%
200640.18%1.33%$63,233$41,0191.33%0.33%-1.96%0.36%
20065-3.08%-2.90%$61,286$39,831-2.90%0.05%-0.03%0.43%
20066-0.31%0.13%$61,093$39,8820.13%0.25%0.71%0.40%
200672.47%0.61%$62,602$40,1240.61%0.76%1.84%0.40%
200683.46%2.36%$64,767$41,0722.36%0.75%2.74%0.42%
200692.38%2.56%$66,305$42,1252.56%0.55%1.58%0.41%
2006102.17%3.25%$67,741$43,4943.25%0.46%0.77%0.41%
2006112.06%1.89%$69,135$44,3161.89%0.55%1.91%0.42%
200612-2.08%1.39%$67,698$44,9321.39%-0.20%-2.14%0.40%
20071-0.43%1.49%$67,408$45,6031.49%0.19%-0.85%0.44%
200722.17%-1.97%$68,869$44,705-1.97%0.93%2.93%0.38%
20073-0.24%1.11%$68,703$45,2021.11%0.28%-1.13%0.43%
200742.59%4.42%$70,483$47,1994.42%0.46%0.86%0.44%
20075-1.95%3.48%$69,107$48,8403.48%-0.40%-1.93%0.41%
20076-1.14%-1.68%$68,319$48,022-1.68%0.37%-0.88%0.40%
200771.85%-3.08%$69,579$46,540-3.08%1.06%2.39%0.40%
200784.35%1.50%$72,609$47,2381.50%1.15%1.97%0.42%
200793.59%3.72%$75,214$48,9973.72%0.74%0.21%0.32%
2007101.68%1.58%$76,479$49,7701.58%0.45%1.40%0.32%
2007116.15%-4.19%$81,183$47,687-4.19%2.16%4.59%0.34%
200712-0.40%-0.70%$80,860$47,353-0.70%0.25%-0.48%0.27%
200815.34%-6.02%$85,178$44,504-6.02%2.01%2.64%0.21%
200822.64%-3.25%$87,424$43,057-3.25%1.09%0.35%0.13%
200830.45%-0.44%$87,820$42,868-0.44%0.25%1.02%0.17%
20084-2.97%4.85%$85,216$44,9484.85%-0.96%-1.84%0.18%
20085-2.69%1.29%$82,923$45,5291.29%-0.51%-2.13%0.18%
20086-2.79%-8.44%$80,607$41,688-8.44%0.33%1.80%0.17%
200871.35%-0.83%$81,698$41,341-0.83%0.52%0.30%0.15%
200882.94%1.45%$84,097$41,9391.45%0.56%1.80%0.13%
20089-2.03%-8.91%$82,386$38,204-8.91%0.53%0.28%0.15%
200810-5.70%-16.79%$77,690$31,788-16.79%0.49%-3.63%0.08%
2008115.21%-7.17%$81,741$29,508-7.17%1.03%12.07%0.03%
2008127.90%1.07%$88,203$29,8221.07%1.17%8.87%0.00%
20091-6.69%-8.41%$82,299$27,314-8.41%-0.09%-8.47%0.00%
20092-5.58%-10.66%$77,707$24,403-10.66%-0.01%-1.01%0.01%
200939.65%8.76%$85,204$26,5408.76%0.90%5.27%0.02%
200942.02%9.56%$86,925$29,0779.56%-0.25%-4.99%0.01%
200953.08%5.62%$89,604$30,7115.62%0.21%-2.68%0.00%
20096-0.48%0.22%$89,176$30,7780.22%-0.17%0.70%0.01%
200974.93%7.58%$93,575$33,1117.58%0.22%0.80%0.01%
200983.68%3.60%$97,020$34,3023.60%0.37%1.68%0.01%
200993.45%3.72%$100,369$35,5773.72%0.29%1.98%0.01%
200910-0.37%-1.87%$100,002$34,913-1.87%0.24%-1.45%0.00%
2009116.78%5.98%$106,778$37,0015.98%0.87%1.91%0.00%
200912-4.19%1.95%$102,305$37,7211.95%-1.13%-5.66%0.01%
201012.92%-3.60%$105,288$36,362-3.60%0.95%2.66%0.00%
201022.20%3.09%$107,600$37,4863.09%0.19%-0.21%0.00%
201030.95%6.01%$108,625$39,7406.01%-0.36%-1.51%0.01%
201042.97%1.58%$111,850$40,3671.58%0.39%2.76%0.01%
20105-1.06%-8.01%$110,663$37,136-8.01%0.48%4.23%0.01%
201061.00%-5.24%$111,765$35,190-5.24%0.56%4.67%0.01%
201074.41%7.00%$116,690$37,6527.00%0.38%-0.17%0.01%
201081.14%-4.53%$118,021$35,947-4.53%0.37%7.08%0.01%
201093.83%8.92%$122,546$39,1538.92%0.18%-1.82%0.01%
2010101.74%3.79%$124,680$40,6363.79%0.26%-3.29%0.01%
201011-1.49%0.00%$122,818$40,6360.00%-0.30%-1.60%0.01%
2010120.36%6.67%$123,262$43,3476.67%-0.48%-3.58%0.01%
201111.63%2.36%$125,265$44,3682.36%0.25%-2.38%0.01%
201121.04%3.42%$126,568$45,8843.42%-0.22%1.24%0.01%
20113-0.56%0.03%$125,857$45,8960.03%-0.13%0.02%0.01%
201144.99%2.95%$132,138$47,2492.95%0.71%2.04%0.00%
201152.27%-1.15%$135,141$46,708-1.15%0.52%3.29%0.00%
20116-1.44%-1.67%$133,192$45,927-1.67%-0.04%-2.00%0.00%
201172.06%-2.05%$135,934$44,987-2.05%0.52%4.18%0.00%
201181.51%-5.45%$137,991$42,536-5.45%0.52%8.68%0.01%
20119-1.33%-7.04%$136,159$39,541-7.04%-0.22%10.16%0.00%
2011104.15%10.91%$141,805$43,85610.91%0.15%-3.34%0.00%
2011110.24%-0.23%$142,149$43,754-0.23%-0.04%1.82%0.00%
2011122.09%1.02%$145,119$44,1991.02%0.21%3.13%0.00%
201213.24%4.46%$149,825$46,1724.46%0.23%0.08%0.00%
201221.08%4.31%$151,441$48,1614.31%-0.14%-2.11%0.00%
201230.28%3.28%$151,872$49,7413.28%-0.13%-3.77%0.00%
201241.93%-0.64%$154,809$49,423-0.64%0.32%4.37%0.00%
20125-1.14%-6.02%$153,047$46,449-6.02%0.06%7.79%0.01%
201261.17%4.11%$154,843$48,3574.11%-0.13%-1.44%0.00%
201272.67%1.37%$158,976$49,0201.37%0.29%3.32%0.00%
201281.27%2.24%$160,991$50,1182.24%0.11%-1.06%0.01%
201290.89%2.58%$162,423$51,4092.58%0.03%-2.10%0.01%
201210-1.72%-1.86%$159,629$50,453-1.86%-0.16%-0.43%0.01%
2012111.03%0.56%$161,269$50,7350.56%0.12%1.35%0.01%
2012120.32%0.90%$161,780$51,1930.90%0.09%-1.99%0.01%
201311.50%5.18%$164,199$53,8435.18%-0.06%-3.27%0.00%
201321.50%1.34%$166,658$54,5641.34%0.12%1.26%0.00%
201332.06%3.74%$170,099$56,6043.74%0.03%0.03%0.00%
201342.39%1.91%$174,169$57,6841.91%0.12%3.87%0.00%
20135-1.61%2.33%$171,357$59,0272.33%-0.34%-6.23%0.00%
20136-2.49%-1.35%$167,086$58,230-1.35%-0.26%-3.26%0.00%
201372.87%5.07%$171,881$61,1835.07%0.12%-1.93%0.00%
20138-2.53%-2.91%$167,531$59,402-2.91%-0.16%-1.28%0.00%
201393.59%3.12%$173,549$61,2563.12%0.40%0.88%0.00%
2013103.34%4.59%$179,342$64,0664.59%0.13%1.32%0.00%
2013111.68%3.03%$182,359$66,0063.03%0.13%-2.49%0.00%
201312-0.27%2.51%$181,865$67,6652.51%-0.33%-2.37%0.00%
201411.17%-3.47%$183,994$65,318-3.47%0.32%6.26%0.00%
201422.47%4.56%$188,531$68,2974.56%0.03%0.60%0.00%
20143-0.29%0.82%$187,983$68,8590.82%-0.21%0.63%0.00%
201441.76%0.72%$191,288$69,3580.72%0.23%1.82%0.00%
201452.39%2.33%$195,856$70,9772.33%0.13%2.73%0.00%
201461.12%2.05%$198,042$72,4342.05%0.04%-0.16%0.00%
20147-1.09%-1.39%$195,875$71,428-1.39%-0.14%0.59%0.00%
201483.61%3.98%$202,945$74,2723.98%0.14%4.23%0.00%
20149-1.76%-1.41%$199,365$73,223-1.41%-0.14%-1.99%0.00%
2014103.16%2.42%$205,670$74,9972.42%0.33%2.61%0.00%
2014112.95%2.68%$211,736$77,0092.68%0.23%2.86%0.00%
201412-0.27%-0.26%$211,163$76,806-0.26%-0.24%2.82%0.00%
201513.34%-3.02%$218,217$74,488-3.02%0.61%8.97%0.00%
20152-0.53%5.74%$217,067$78,7635.74%-0.42%-5.66%0.00%
201530.84%-1.59%$218,897$77,508-1.59%0.33%1.13%0.00%
20154-0.10%0.95%$218,677$78,2440.95%0.05%-3.07%0.00%
201550.34%1.27%$219,426$79,2391.27%0.06%-2.16%0.00%
20156-1.99%-1.93%$215,052$77,708-1.93%-0.04%-3.73%0.00%
201572.66%2.08%$220,776$79,3242.08%0.15%4.21%0.00%
20158-3.67%-6.04%$212,682$74,532-6.04%-0.13%-0.71%0.00%
201591.11%-2.49%$215,040$72,676-2.49%0.43%1.91%0.00%
2015103.26%8.42%$222,051$78,7978.42%-0.13%-0.48%0.00%
201511-1.33%0.29%$219,100$79,0230.29%-0.31%-0.81%0.00%
201512-1.57%-1.59%$215,661$77,764-1.59%-0.16%-0.34%0.01%
201612.26%-4.98%$220,528$73,894-4.98%0.82%5.24%0.01%
201621.23%-0.15%$223,240$73,787-0.15%0.15%2.86%0.02%
201634.11%6.78%$232,413$78,7866.78%0.26%0.05%0.02%
20164-0.13%0.37%$232,100$79,0810.37%-0.03%-0.63%0.01%
201650.59%1.78%$233,471$80,4911.78%-0.10%0.69%0.01%
201664.65%0.25%$244,323$80,6920.25%0.75%6.57%0.02%
201671.75%3.68%$248,610$83,6583.68%-0.10%2.01%0.02%
20168-1.34%0.13%$245,287$83,7670.13%-0.29%-1.00%0.02%
201690.46%0.01%$246,417$83,7740.01%0.23%-1.32%0.02%
201610-2.45%-1.83%$240,385$82,238-1.83%-0.12%-4.23%0.02%
201611-2.47%3.70%$234,455$85,2803.70%-0.58%-7.86%0.01%
2016120.78%1.96%$236,284$86,9541.96%-0.00%-0.35%0.03%
201712.04%1.88%$241,108$88,5911.88%0.26%0.65%0.04%
201722.51%3.96%$247,170$92,1023.96%0.07%1.57%0.04%
20173-0.12%0.10%$246,865$92,1940.10%0.02%-0.59%0.03%
201741.49%1.02%$250,539$93,1331.02%0.19%1.58%0.05%
201751.24%1.39%$253,646$94,4311.39%0.09%1.73%0.06%
20176-0.11%0.61%$253,364$95,0080.61%-0.09%0.63%0.06%
201771.74%2.04%$257,763$96,9492.04%0.28%-0.59%0.07%
201781.34%0.29%$261,212$97,2330.29%0.19%3.27%0.09%
20179-0.62%2.06%$259,591$99,2352.06%-0.20%-2.27%0.09%
2017100.56%2.32%$261,044$101,5352.32%-0.08%-0.02%0.09%
2017110.44%3.06%$262,198$104,6413.06%-0.27%0.63%0.08%
2017120.42%1.10%$263,312$105,7951.10%-0.07%1.78%0.09%
20181-0.31%5.71%$262,493$111,8385.71%-0.44%-3.40%0.11%
20182-3.44%-3.69%$253,456$107,706-3.69%-0.08%-2.89%0.11%
201830.08%-2.56%$253,663$104,954-2.56%0.29%2.75%0.12%
20184-2.22%0.37%$248,039$105,3460.37%-0.30%-2.04%0.14%
201852.72%2.39%$254,797$107,8682.39%0.36%1.79%0.14%
201860.34%0.61%$255,653$108,5210.61%0.10%0.66%0.14%
201870.54%3.71%$257,042$112,5463.71%-0.10%-1.28%0.16%
201882.99%3.25%$264,733$116,2003.25%0.37%1.18%0.16%
20189-1.81%0.55%$259,943$116,8440.55%-0.20%-2.74%0.15%
201810-4.82%-6.85%$247,423$108,841-6.85%0.10%-2.82%0.19%
2018112.48%2.03%$253,561$111,0472.03%0.38%1.78%0.18%
201812-0.50%-9.04%$252,303$101,008-9.04%0.88%5.50%0.19%
201914.55%8.00%$263,789$109,0918.00%0.30%0.49%0.21%
201920.60%3.20%$265,363$112,5833.20%-0.01%-1.31%0.18%
201934.74%1.94%$277,951$114,7631.94%0.78%5.47%0.19%
201941.47%4.04%$282,025$119,4014.04%0.15%-1.88%0.21%
201950.77%-6.36%$284,207$111,801-6.36%0.88%6.65%0.21%
201964.86%7.03%$298,005$119,6647.03%0.48%1.01%0.18%
20197-0.22%1.43%$297,349$121,3701.43%-0.09%0.22%0.19%
201984.52%-1.59%$310,784$119,439-1.59%0.92%10.68%0.16%
20199-1.11%1.86%$307,343$121,6591.86%-0.22%-2.62%0.18%
2019101.10%2.15%$310,712$124,2812.15%0.25%-1.10%0.18%
2019110.94%3.62%$313,648$128,7813.62%-0.05%-0.39%0.18%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryVanguard 500 Index Investor
Large-cap Value47.14%
Large-cap Growth52.65%
Mid-cap Value0.00%
Mid-cap Growth0.00%
Small-cap Value0.00%
Small-cap Growth0.00%
Global ex-US Developed Markets0.00%
Emerging Markets0.00%
REITs0.00%
Corporate Bonds0.00%
Long-Term Treasuries0.00%
Intermediate-Term Treasuries0.20%
Short-Term Treasuries0.00%
R Squared99.92%
Style analysis is based on monthly returns from Apr 2005 to Nov 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.

Fund fundamentals data as of 11/05/2019. (c) 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)1.08%0.85%
Arithmetic Mean (annualized)13.75%10.67%
Geometric Mean (monthly)1.03%0.77%
Geometric Mean (annualized)13.14%9.59%
Volatility (monthly)3.03%4.04%
Volatility (annualized)10.48%14.01%
Downside Deviation (monthly)1.67%2.70%
Max. Drawdown-21.89%-50.97%
US Market Correlation0.440.99
Beta(*)0.351.00
Alpha (annualized)9.41%-0.00%
R221.62%100.00%
Sharpe Ratio1.010.55
Sortino Ratio1.720.80
Treynor Ratio (%)30.297.77
Calmar Ratio1.561.09
Active Return3.55%N/A
Tracking Error13.02%N/A
Information Ratio0.27N/A
Skewness-0.18-0.70
Excess Kurtosis0.441.45
Historical Value-at-Risk (5%)-4.79%-6.89%
Analytical Value-at-Risk (5%)-4.01%-5.80%
Conditional Value-at-Risk (5%)-5.91%-9.36%
Upside Capture Ratio (%)59.16100.00
Downside Capture Ratio (%)17.42100.00
Safe Withdrawal Rate12.63%8.83%
Perpetual Withdrawal Rate9.92%6.91%
Positive Periods226 out of 335 (67.46%)223 out of 335 (66.57%)
Gain/Loss Ratio1.200.85
* 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
Asian CrisisJul 1997Jan 1998-4.80%-5.61%
Russian Debt DefaultJul 1998Oct 1998-2.22%-15.38%
Dotcom CrashMar 2000Oct 2002-4.60%-44.82%
Subprime CrisisNov 2007Mar 2009-11.90%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 1994Nov 199410 monthsMay 19956 months1 year 4 months-21.89%
2Jan 2009Feb 20092 monthsMay 20093 months5 months-11.90%
3Apr 2008Oct 20087 monthsDec 20082 months9 months-11.54%
4Feb 1996Jul 19966 monthsOct 19963 months9 months-10.03%
5Feb 1999Aug 19997 monthsAug 20001 year1 year 7 months-9.66%
6Jan 1992Mar 19923 monthsMay 19922 months5 months-8.02%
7Apr 2004May 20042 monthsDec 20047 months9 months-7.61%
8Sep 2005Jun 200610 monthsSep 20063 months1 year 1 month-7.36%
9Sep 2018Oct 20182 monthsFeb 20194 months6 months-6.54%
10Dec 1996Mar 19974 monthsMay 19972 months6 months-6.30%
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%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-15.38%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-13.55%
5Aug 2015Sep 20152 monthsMay 20168 months10 months-8.38%
6Feb 1994Mar 19942 monthsAug 19945 months7 months-6.98%
7Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
8May 2019May 20191 monthJun 20191 month2 months-6.36%
9Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
10Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor9.59%14.01%37.45%-37.02%-50.97%0.550.800.99
VFISXVanguard Short-Term Treasury Inv3.79%1.93%12.11%-0.48%-2.23%0.731.28-0.18
VUSTXVanguard Long-Term Treasury Inv7.30%9.98%30.09%-13.03%-16.68%0.520.86-0.20
CASHXCash2.44%0.59%5.88%0.00%0.00%-0.41-0.550.01

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVFISXVUSTXCASHXPortfolio 1Vanguard 500 Index Investor
VFINXVanguard 500 Index Investor--0.16-0.190.020.461.00
VFISXVanguard Short-Term Treasury Inv-0.16-0.650.340.74-0.16
VUSTXVanguard Long-Term Treasury Inv-0.190.65-0.040.61-0.19
CASHXCash0.020.340.04-0.050.02

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor$149,854
VFISXVanguard Short-Term Treasury Inv$243,370
VUSTXVanguard Long-Term Treasury Inv$45,302
CASHXCash-$134,878

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor30.33%
VFISXVanguard Short-Term Treasury Inv56.71%
VUSTXVanguard Long-Term Treasury Inv14.05%
CASHXCash-1.08%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year13.44%54.55%-18.54%10.43%37.45%-37.02%
3 years13.00%28.49%3.73%9.78%31.03%-14.60%
5 years13.37%21.68%6.77%9.46%28.49%-2.38%
7 years13.37%19.27%8.22%8.60%21.44%-1.64%
10 years13.16%18.23%10.27%7.06%12.97%-1.46%
15 years12.86%15.27%9.97%6.87%10.54%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods