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 1992 - Dec 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$299,298 12.91% 10.48%54.05%-20.11%-22.97% 0.981.660.44
Vanguard 500 Index Investor$10,000$132,651 9.67% 14.00%37.45%-37.02%-50.97% 0.560.810.99
   

Trailing Returns

Trailing Returns
NameAnnualized ReturnAnnualized Volatility
3 Month1 year3 year5 year10 yearFull3 year5 year
Portfolio 13.23%25.81%10.07%8.23%11.79%12.91%7.31%7.39%
Vanguard 500 Index Investor9.03%31.33%15.12%11.55%13.40%9.67%12.10%11.98%
Trailing annualized return and volatility are for full months ending in December 2019 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
Annual returns for the configured portfolios
YearInflationPortfolio 1Vanguard 500 Index InvestorVanguard 500 Index Investor (VFINX)Vanguard Short-Term Treasury Inv (VFISX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
ReturnBalanceReturnBalance
19922.90%19.59%$11,9597.42%$10,7427.42%6.75%7.41%3.57%
19932.75%24.05%$14,8369.89%$11,8059.89%6.41%16.79%3.05%
19942.67%-20.11%$11,8521.18%$11,9441.18%-0.57%-7.04%4.20%
19952.54%54.05%$18,25937.45%$16,41637.45%12.11%30.09%5.71%
19963.32%8.82%$19,86922.88%$20,17222.88%4.39%-1.26%5.17%
19971.70%26.39%$25,11233.19%$26,86733.19%6.51%13.90%5.22%
19981.61%28.49%$32,26728.62%$34,55528.62%7.36%13.05%4.97%
19992.68%-2.80%$31,36321.07%$41,83621.07%1.85%-8.66%4.77%
20003.39%13.66%$35,649-9.06%$38,047-9.06%8.83%19.72%5.99%
20011.55%13.26%$40,377-12.02%$33,473-12.02%7.80%4.31%3.70%
20022.38%20.44%$48,631-22.15%$26,060-22.15%8.02%16.67%1.65%
20031.88%20.78%$58,73828.50%$33,48828.50%2.38%2.68%1.04%
20043.26%6.20%$62,38010.74%$37,08410.74%1.03%7.12%1.32%
20053.42%-0.99%$61,7654.77%$38,8554.77%1.77%6.61%3.14%
20062.54%4.89%$64,78515.64%$44,93215.64%3.77%1.74%4.82%
20074.08%19.86%$77,6515.39%$47,3535.39%7.89%9.24%4.56%
20080.09%9.32%$84,886-37.02%$29,822-37.02%6.68%22.52%1.53%
20092.72%15.72%$98,22826.49%$37,72126.49%1.44%-12.05%0.16%
20101.50%20.33%$118,19314.91%$43,34714.91%2.64%8.93%0.14%
20112.96%17.62%$139,0221.97%$44,1991.97%2.26%29.28%0.07%
20121.74%11.39%$154,86115.82%$51,19315.82%0.69%3.47%0.08%
20131.50%12.21%$173,76332.18%$67,66532.18%-0.10%-13.03%0.05%
20140.76%15.97%$201,51413.51%$76,80613.51%0.71%25.28%0.03%
20150.73%1.97%$205,4781.25%$77,7641.25%0.45%-1.54%0.05%
20162.07%9.22%$224,42511.82%$86,95411.82%0.99%1.20%0.30%
20172.11%11.08%$249,29821.67%$105,79521.67%0.39%8.58%0.88%
20181.91%-4.57%$237,896-4.52%$101,008-4.52%1.35%-1.90%1.90%
20192.29%25.81%$299,29831.33%$132,65131.33%3.59%14.13%2.13%
Monthly returns for the configured portfolios
YearMonthPortfolio 1Vanguard 500 Index InvestorVanguard 500 Index Investor (VFINX)Vanguard Short-Term Treasury Inv (VFISX)Vanguard Long-Term Treasury Inv (VUSTX)Cash (CASHX)
ReturnBalanceReturnBalance
19921-5.00%$9,500-1.88%$9,812-1.88%-0.46%-3.21%0.33%
199220.52%$9,5501.24%$9,9341.24%0.24%0.64%0.32%
19923-3.76%$9,191-1.93%$9,743-1.93%-0.25%-1.10%0.33%
199244.39%$9,5952.91%$10,0262.91%0.95%-0.07%0.34%
199254.72%$10,0470.48%$10,0750.48%1.16%2.70%0.31%
199263.52%$10,401-1.49%$9,925-1.49%1.23%1.12%0.31%
199277.98%$11,2324.04%$10,3264.04%1.52%4.02%0.30%
199282.96%$11,564-2.07%$10,113-2.07%1.21%0.71%0.27%
199294.02%$12,0291.17%$10,2311.17%1.09%1.36%0.26%
199210-5.13%$11,4120.33%$10,2650.33%-1.11%-1.89%0.23%
1992110.36%$11,4533.40%$10,6143.40%-0.10%0.50%0.25%
1992124.42%$11,9591.21%$10,7421.21%1.11%2.63%0.27%
199316.02%$12,6790.81%$10,8290.81%1.40%2.85%0.26%
199325.79%$13,4141.36%$10,9761.36%1.30%3.20%0.24%
199330.95%$13,5402.11%$11,2072.11%0.21%0.19%0.25%
199341.56%$13,752-2.42%$10,935-2.42%0.87%0.76%0.24%
19935-1.33%$13,5702.65%$11,2252.65%-0.45%0.38%0.24%
199363.53%$14,0490.27%$11,2550.27%0.87%4.17%0.26%
19937-0.67%$13,954-0.42%$11,208-0.42%0.01%1.39%0.25%
199385.74%$14,7543.79%$11,6323.79%1.06%3.99%0.25%
199390.25%$14,792-0.79%$11,540-0.79%0.37%0.33%0.25%
1993100.59%$14,8792.08%$11,7792.08%0.10%0.62%0.24%
199311-2.19%$14,553-1.00%$11,662-1.00%-0.10%-2.48%0.25%
1993121.94%$14,8361.22%$11,8051.22%0.60%0.42%0.26%
199413.69%$15,3833.38%$12,2043.38%0.58%2.23%0.25%
19942-6.98%$14,310-2.71%$11,872-2.71%-0.90%-3.99%0.25%
19943-8.20%$13,137-4.39%$11,351-4.39%-0.86%-3.82%0.28%
19944-3.23%$12,7131.29%$11,4981.29%-0.48%-1.29%0.29%
19945-0.10%$12,6991.63%$11,6851.63%0.13%-0.47%0.32%
19946-2.20%$12,420-2.47%$11,396-2.47%0.22%-0.81%0.35%
199475.67%$13,1233.28%$11,7703.28%0.95%2.94%0.35%
199481.63%$13,3374.08%$12,2494.08%0.25%-0.67%0.36%
19949-5.51%$12,603-2.45%$11,950-2.45%-0.36%-3.00%0.38%
1994100.66%$12,6872.25%$12,2182.25%0.27%-0.36%0.39%
199411-6.60%$11,849-3.65%$11,772-3.65%-0.55%0.62%0.42%
1994120.03%$11,8521.46%$11,9441.46%0.20%1.62%0.47%
199516.71%$12,6482.58%$12,2522.58%1.56%2.62%0.47%
199527.13%$13,5493.88%$12,7283.88%1.60%2.73%0.49%
199531.88%$13,8052.95%$13,1042.95%0.54%0.72%0.48%
199543.92%$14,3462.94%$13,4892.94%1.02%1.65%0.48%
199559.22%$15,6693.95%$14,0223.95%2.02%7.52%0.48%
199561.86%$15,9602.31%$14,3462.31%0.60%1.13%0.47%
199570.54%$16,0463.30%$14,8203.30%0.23%-1.40%0.46%
199581.24%$16,2450.25%$14,8570.25%0.62%2.05%0.46%
199592.92%$16,7194.23%$15,4864.23%0.60%1.81%0.44%
1995102.11%$17,072-0.36%$15,429-0.36%0.91%2.97%0.44%
1995114.23%$17,7954.38%$16,1054.38%0.99%2.31%0.45%
1995122.61%$18,2591.93%$16,4161.93%0.80%2.70%0.45%
199613.77%$18,9483.39%$16,9723.39%0.88%-0.05%0.42%
19962-5.18%$17,9650.92%$17,1290.92%-0.70%-4.93%0.41%
19963-2.47%$17,5210.98%$17,2960.98%-0.20%-1.98%0.41%
19964-2.37%$17,1061.46%$17,5481.46%-0.22%-1.78%0.42%
19965-0.08%$17,0922.54%$17,9942.54%0.09%-0.46%0.42%
199662.80%$17,5710.38%$18,0630.38%0.87%2.14%0.42%
19967-2.98%$17,047-4.42%$17,265-4.42%0.29%-0.05%0.42%
199680.28%$17,0952.10%$17,6272.10%0.29%-1.29%0.44%
199696.30%$18,1715.61%$18,6155.61%0.97%2.79%0.43%
1996106.18%$19,2942.76%$19,1282.76%1.28%3.88%0.41%
1996116.65%$20,5777.56%$20,5757.56%0.87%3.24%0.42%
199612-3.44%$19,869-1.96%$20,172-1.96%-0.10%-2.38%0.42%
199712.93%$20,4516.22%$21,4266.22%0.40%-0.65%0.43%
19972-0.45%$20,3600.79%$21,5950.79%0.20%-0.11%0.42%
19973-5.18%$19,305-4.14%$20,702-4.14%-0.20%-2.29%0.43%
199745.71%$20,4085.96%$21,9355.96%0.88%2.35%0.44%
199754.80%$21,3876.09%$23,2706.09%0.74%0.98%0.43%
199763.91%$22,2244.45%$24,3074.45%0.67%1.78%0.40%
199778.40%$24,0907.97%$26,2437.97%1.18%5.34%0.43%
19978-4.86%$22,919-5.61%$24,771-5.61%0.01%-2.57%0.43%
199794.83%$24,0255.47%$26,1255.47%0.78%2.63%0.43%
1997100.36%$24,110-3.35%$25,250-3.35%0.79%2.99%0.41%
1997111.82%$24,5504.60%$26,4114.60%0.18%1.27%0.43%
1997122.29%$25,1121.72%$26,8671.72%0.69%1.66%0.43%
199813.83%$26,0751.11%$27,1651.11%1.07%1.91%0.44%
199821.39%$26,4377.19%$29,1197.19%-0.07%-0.75%0.43%
199832.49%$27,0965.10%$30,6055.10%0.37%0.14%0.44%
199841.20%$27,4211.01%$30,9141.01%0.54%0.40%0.42%
199850.20%$27,476-1.74%$30,375-1.74%0.56%1.83%0.41%
199863.24%$28,3654.07%$31,6114.07%0.54%2.35%0.41%
19987-0.77%$28,147-1.05%$31,278-1.05%0.36%-0.51%0.42%
19988-1.48%$27,729-14.47%$26,751-14.47%1.63%4.83%0.42%
199899.22%$30,2866.41%$28,4666.41%1.79%3.29%0.40%
1998102.81%$31,1378.16%$30,7908.16%0.25%-1.69%0.36%
1998111.21%$31,5156.07%$32,6606.07%-0.15%0.88%0.36%
1998122.39%$32,2675.81%$34,5555.81%0.25%-0.16%0.37%
199912.64%$33,1204.20%$36,0084.20%0.41%0.98%0.37%
19992-7.84%$30,523-3.12%$34,883-3.12%-0.88%-4.76%0.37%
199933.50%$31,5934.00%$36,2774.00%0.69%-0.34%0.38%
199941.94%$32,2073.85%$37,6743.85%0.31%0.19%0.37%
19995-4.64%$30,714-2.39%$36,774-2.39%-0.34%-1.68%0.37%
199961.89%$31,2955.56%$38,8185.56%0.16%-1.05%0.38%
19997-2.95%$30,373-3.13%$37,603-3.13%0.13%-0.58%0.39%
19998-1.44%$29,935-0.50%$37,416-0.50%0.14%-0.49%0.39%
199990.68%$30,139-2.74%$36,391-2.74%0.84%0.91%0.41%
1999102.95%$31,0286.33%$38,6936.33%0.26%0.12%0.40%
199911-0.03%$31,0192.02%$39,4762.02%0.16%-0.59%0.42%
1999121.11%$31,3635.98%$41,8365.98%-0.03%-1.60%0.43%
20001-4.89%$29,830-5.03%$39,731-5.03%-0.22%1.25%0.43%
200021.25%$30,203-1.91%$38,973-1.91%0.76%2.96%0.47%
200036.65%$32,2109.75%$42,7749.75%0.70%3.14%0.47%
20004-2.73%$31,330-3.00%$41,491-3.00%0.19%-0.66%0.48%
20005-1.73%$30,787-2.04%$40,645-2.04%0.30%-0.46%0.48%
200065.57%$32,5032.49%$41,6592.49%1.30%2.30%0.46%
200070.36%$32,619-1.50%$41,035-1.50%0.61%1.49%0.48%
200085.21%$34,3186.19%$43,5756.19%0.92%2.08%0.51%
20009-1.44%$33,825-5.29%$41,270-5.29%0.79%-0.85%0.52%
2000100.72%$34,070-0.43%$41,093-0.43%0.60%1.57%0.51%
2000110.10%$34,106-7.89%$37,853-7.89%1.18%2.99%0.52%
2000124.52%$35,6490.51%$38,0470.51%1.38%2.45%0.51%
200115.25%$37,5213.55%$39,3963.55%1.26%0.28%0.48%
20012-2.36%$36,638-9.14%$35,796-9.14%0.80%1.80%0.41%
20013-1.34%$36,148-6.36%$33,521-6.36%0.77%-0.60%0.40%
200141.57%$36,7147.77%$36,1257.77%0.06%-2.56%0.35%
200150.94%$37,0580.65%$36,3600.65%0.44%0.21%0.32%
20016-0.70%$36,797-2.45%$35,471-2.45%0.33%0.76%0.30%
200175.14%$38,688-1.00%$35,116-1.00%1.40%3.61%0.30%
20018-0.04%$38,674-6.27%$32,913-6.27%0.79%2.02%0.29%
200192.87%$39,782-8.09%$30,250-8.09%1.68%0.88%0.28%
2001105.65%$42,0311.90%$30,8231.90%1.13%5.12%0.20%
200111-2.32%$41,0547.65%$33,1837.65%-0.83%-4.98%0.17%
200112-1.65%$40,3770.87%$33,4730.87%-0.27%-1.91%0.15%
200210.86%$40,724-1.47%$32,979-1.47%0.44%1.20%0.14%
200221.63%$41,387-1.94%$32,341-1.94%0.67%1.24%0.14%
20023-3.21%$40,0573.74%$33,5523.74%-0.82%-3.86%0.15%
200243.86%$41,604-6.07%$31,513-6.07%1.54%3.73%0.15%
200251.64%$42,284-0.75%$31,276-0.75%0.59%0.39%0.15%
200260.55%$42,517-7.13%$29,044-7.13%0.93%1.76%0.14%
200273.43%$43,973-7.72%$26,802-7.72%1.54%2.93%0.14%
200284.28%$45,8550.65%$26,9770.65%0.86%4.28%0.14%
200291.40%$46,498-10.87%$24,043-10.87%1.21%4.02%0.14%
2002101.62%$47,2528.78%$26,1558.78%0.02%-2.84%0.13%
200211-1.23%$46,6715.88%$27,6925.88%-0.66%-0.98%0.12%
2002124.20%$48,631-5.89%$26,060-5.89%1.46%4.05%0.10%
20031-2.37%$47,480-2.62%$25,376-2.62%-0.13%-0.45%0.10%
200322.55%$48,691-1.52%$24,991-1.52%0.68%3.03%0.10%
200330.75%$49,0580.96%$25,2300.96%0.23%-1.13%0.10%
200344.27%$51,1528.25%$27,3128.25%0.11%0.91%0.09%
200357.90%$55,1935.26%$28,7505.26%1.05%5.67%0.09%
20036-0.01%$55,1881.26%$29,1121.26%0.01%-1.48%0.09%
20037-4.88%$52,4951.74%$29,6201.74%-0.91%-8.57%0.07%
200381.12%$53,0831.93%$30,1921.93%0.02%1.43%0.08%
200394.77%$55,618-1.07%$29,869-1.07%1.15%5.07%0.08%
2003100.66%$55,9825.64%$31,5545.64%-0.34%-2.58%0.08%
200311-0.01%$55,9750.86%$31,8260.86%-0.07%0.31%0.08%
2003124.94%$58,7385.22%$33,4885.22%0.59%1.23%0.08%
200411.98%$59,9031.82%$34,0981.82%0.22%1.74%0.08%
200423.29%$61,8731.38%$34,5671.38%0.58%1.96%0.08%
200430.93%$62,450-1.51%$34,044-1.51%0.40%1.45%0.08%
20044-7.24%$57,927-1.58%$33,507-1.58%-1.20%-5.52%0.08%
20045-0.47%$57,6541.36%$33,9621.36%-0.16%-0.56%0.08%
200460.95%$58,1991.93%$34,6181.93%0.02%0.87%0.09%
20047-0.42%$57,952-3.31%$33,471-3.31%0.32%1.52%0.11%
200484.00%$60,2710.38%$33,6000.38%0.80%3.39%0.12%
200490.40%$60,5131.07%$33,9581.07%0.04%0.94%0.13%
2004101.91%$61,6721.51%$34,4721.51%0.33%1.46%0.14%
200411-1.77%$60,5834.05%$35,8674.05%-0.63%-2.25%0.16%
2004122.97%$62,3803.39%$37,0843.39%0.33%2.22%0.18%
20051-1.12%$61,682-2.45%$36,174-2.45%0.04%2.59%0.18%
20052-1.68%$60,6432.09%$36,9322.09%-0.36%-1.24%0.21%
20053-2.23%$59,292-1.76%$36,281-1.76%-0.05%-0.76%0.23%
200542.11%$60,540-1.91%$35,588-1.91%0.72%3.22%0.23%
200553.17%$62,4593.17%$36,7153.17%0.44%2.55%0.24%
200560.54%$62,7950.13%$36,7620.13%0.24%1.64%0.25%
20057-1.62%$61,7793.71%$38,1243.71%-0.41%-2.58%0.26%
200582.36%$63,237-0.91%$37,776-0.91%0.75%2.87%0.28%
20059-2.79%$61,4740.79%$38,0760.79%-0.31%-2.78%0.29%
200510-2.96%$59,653-1.68%$37,437-1.68%-0.11%-1.74%0.29%
2005112.44%$61,1113.76%$38,8463.76%0.39%0.57%0.33%
2005121.07%$61,7650.02%$38,8550.02%0.41%2.33%0.32%
200610.35%$61,9802.65%$39,8832.65%0.14%-0.90%0.33%
20062-1.08%$61,3120.26%$39,9880.26%0.01%0.81%0.37%
20063-1.54%$60,3671.23%$40,4801.23%0.05%-3.39%0.38%
200640.10%$60,4301.33%$41,0191.33%0.33%-1.96%0.38%
20065-2.92%$58,664-2.90%$39,831-2.90%0.05%-0.03%0.39%
20066-0.31%$58,4840.13%$39,8820.13%0.25%0.71%0.40%
200672.43%$59,9050.61%$40,1240.61%0.76%1.84%0.41%
200683.47%$61,9832.36%$41,0722.36%0.75%2.74%0.42%
200692.36%$63,4472.56%$42,1252.56%0.55%1.58%0.41%
2006102.20%$64,8453.25%$43,4943.25%0.46%0.77%0.40%
2006112.07%$66,1901.89%$44,3161.89%0.55%1.91%0.42%
200612-2.12%$64,7851.39%$44,9321.39%-0.20%-2.14%0.41%
20071-0.31%$64,5831.49%$45,6031.49%0.19%-0.85%0.41%
200722.01%$65,880-1.97%$44,705-1.97%0.93%2.93%0.42%
20073-0.21%$65,7441.11%$45,2021.11%0.28%-1.13%0.42%
200742.70%$67,5214.42%$47,1994.42%0.46%0.86%0.41%
20075-1.92%$66,2233.48%$48,8403.48%-0.40%-1.93%0.40%
20076-1.09%$65,505-1.68%$48,022-1.68%0.37%-0.88%0.39%
200771.87%$66,730-3.08%$46,540-3.08%1.06%2.39%0.39%
200784.41%$69,6701.50%$47,2381.50%1.15%1.97%0.40%
200793.55%$72,1443.72%$48,9973.72%0.74%0.21%0.33%
2007101.71%$73,3771.58%$49,7701.58%0.45%1.40%0.31%
2007116.20%$77,928-4.19%$47,687-4.19%2.16%4.59%0.32%
200712-0.36%$77,651-0.70%$47,353-0.70%0.25%-0.48%0.26%
200815.08%$81,593-6.02%$44,504-6.02%2.01%2.64%0.28%
200822.53%$83,653-3.25%$43,057-3.25%1.09%0.35%0.16%
200830.52%$84,091-0.44%$42,868-0.44%0.25%1.02%0.15%
20084-2.73%$81,7984.85%$44,9484.85%-0.96%-1.84%0.11%
20085-2.46%$79,7891.29%$45,5291.29%-0.51%-2.13%0.12%
20086-2.73%$77,613-8.44%$41,688-8.44%0.33%1.80%0.15%
200871.32%$78,641-0.83%$41,341-0.83%0.52%0.30%0.16%
200882.90%$80,9221.45%$41,9391.45%0.56%1.80%0.14%
20089-2.00%$79,305-8.91%$38,204-8.91%0.53%0.28%0.14%
200810-5.67%$74,809-16.79%$31,788-16.79%0.49%-3.63%0.08%
2008115.18%$78,681-7.17%$29,508-7.17%1.03%12.07%0.04%
2008127.89%$84,8861.07%$29,8221.07%1.17%8.87%0.00%
20091-6.73%$79,173-8.41%$27,314-8.41%-0.09%-8.47%0.01%
20092-5.62%$74,720-10.66%$24,403-10.66%-0.01%-1.01%0.02%
200939.65%$81,9298.76%$26,5408.76%0.90%5.27%0.02%
200941.99%$83,5599.56%$29,0779.56%-0.25%-4.99%0.02%
200953.04%$86,0975.62%$30,7115.62%0.21%-2.68%0.01%
20096-0.48%$85,6800.22%$30,7780.22%-0.17%0.70%0.01%
200974.92%$89,8927.58%$33,1117.58%0.22%0.80%0.02%
200983.67%$93,1893.60%$34,3023.60%0.37%1.68%0.02%
200993.45%$96,4033.72%$35,5773.72%0.29%1.98%0.01%
200910-0.41%$96,010-1.87%$34,913-1.87%0.24%-1.45%0.01%
2009116.77%$102,5145.98%$37,0015.98%0.87%1.91%0.00%
200912-4.18%$98,2281.95%$37,7211.95%-1.13%-5.66%0.01%
201012.90%$101,072-3.60%$36,362-3.60%0.95%2.66%0.01%
201022.17%$103,2663.09%$37,4863.09%0.19%-0.21%0.01%
201030.95%$104,2466.01%$39,7406.01%-0.36%-1.51%0.01%
201042.96%$107,3301.58%$40,3671.58%0.39%2.76%0.01%
20105-1.07%$106,177-8.01%$37,136-8.01%0.48%4.23%0.01%
201060.98%$107,222-5.24%$35,190-5.24%0.56%4.67%0.01%
201074.39%$111,9307.00%$37,6527.00%0.38%-0.17%0.02%
201081.13%$113,198-4.53%$35,947-4.53%0.37%7.08%0.01%
201093.83%$117,5358.92%$39,1538.92%0.18%-1.82%0.01%
2010101.73%$119,5713.79%$40,6363.79%0.26%-3.29%0.01%
201011-1.50%$117,7830.00%$40,6360.00%-0.30%-1.60%0.01%
2010120.35%$118,1936.67%$43,3476.67%-0.48%-3.58%0.01%
201111.63%$120,1142.36%$44,3682.36%0.25%-2.38%0.01%
201121.03%$121,3503.42%$45,8843.42%-0.22%1.24%0.01%
20113-0.57%$120,6570.03%$45,8960.03%-0.13%0.02%0.01%
201144.96%$126,6442.95%$47,2492.95%0.71%2.04%0.01%
201152.26%$129,507-1.15%$46,708-1.15%0.52%3.29%0.00%
20116-1.46%$127,615-1.67%$45,927-1.67%-0.04%-2.00%0.01%
201172.05%$130,232-2.05%$44,987-2.05%0.52%4.18%0.00%
201181.52%$132,212-5.45%$42,536-5.45%0.52%8.68%0.01%
20119-1.33%$130,448-7.04%$39,541-7.04%-0.22%10.16%0.00%
2011104.14%$135,85310.91%$43,85610.91%0.15%-3.34%0.00%
2011110.24%$136,179-0.23%$43,754-0.23%-0.04%1.82%0.00%
2011122.09%$139,0221.02%$44,1991.02%0.21%3.13%0.00%
201213.24%$143,5214.46%$46,1724.46%0.23%0.08%0.00%
201221.06%$145,0414.31%$48,1614.31%-0.14%-2.11%0.01%
201230.26%$145,4183.28%$49,7413.28%-0.13%-3.77%0.01%
201241.91%$148,198-0.64%$49,423-0.64%0.32%4.37%0.01%
20125-1.13%$146,520-6.02%$46,449-6.02%0.06%7.79%0.01%
201261.15%$148,2074.11%$48,3574.11%-0.13%-1.44%0.01%
201272.64%$152,1241.37%$49,0201.37%0.29%3.32%0.01%
201281.27%$154,0592.24%$50,1182.24%0.11%-1.06%0.01%
201290.90%$155,4442.58%$51,4092.58%0.03%-2.10%0.01%
201210-1.72%$152,777-1.86%$50,453-1.86%-0.16%-0.43%0.01%
2012111.03%$154,3530.56%$50,7350.56%0.12%1.35%0.01%
2012120.33%$154,8610.90%$51,1930.90%0.09%-1.99%0.01%
201311.48%$157,1515.18%$53,8435.18%-0.06%-3.27%0.00%
201321.47%$159,4681.34%$54,5641.34%0.12%1.26%0.01%
201332.03%$162,7053.74%$56,6043.74%0.03%0.03%0.01%
201342.37%$166,5651.91%$57,6841.91%0.12%3.87%0.01%
20135-1.63%$163,8472.33%$59,0272.33%-0.34%-6.23%0.00%
20136-2.51%$159,740-1.35%$58,230-1.35%-0.26%-3.26%0.00%
201372.86%$164,3075.07%$61,1835.07%0.12%-1.93%0.00%
20138-2.55%$160,124-2.91%$59,402-2.91%-0.16%-1.28%0.00%
201393.59%$165,8673.12%$61,2563.12%0.40%0.88%0.00%
2013103.34%$171,4004.59%$64,0664.59%0.13%1.32%0.00%
2013111.67%$174,2663.03%$66,0063.03%0.13%-2.49%0.00%
201312-0.29%$173,7632.51%$67,6652.51%-0.33%-2.37%0.01%
201411.15%$175,757-3.47%$65,318-3.47%0.32%6.26%0.01%
201422.46%$180,0804.56%$68,2974.56%0.03%0.60%0.00%
20143-0.31%$179,5270.82%$68,8590.82%-0.21%0.63%0.00%
201441.74%$182,6550.72%$69,3580.72%0.23%1.82%0.00%
201452.38%$187,0022.33%$70,9772.33%0.13%2.73%0.00%
201461.10%$189,0672.05%$72,4342.05%0.04%-0.16%0.00%
20147-1.11%$186,974-1.39%$71,428-1.39%-0.14%0.59%0.00%
201483.60%$193,7113.98%$74,2723.98%0.14%4.23%0.00%
20149-1.77%$190,273-1.41%$73,223-1.41%-0.14%-1.99%0.00%
2014103.16%$196,2842.42%$74,9972.42%0.33%2.61%0.00%
2014112.95%$202,0732.68%$77,0092.68%0.23%2.86%0.00%
201412-0.28%$201,514-0.26%$76,806-0.26%-0.24%2.82%0.00%
201513.33%$208,219-3.02%$74,488-3.02%0.61%8.97%0.00%
20152-0.53%$207,1085.74%$78,7635.74%-0.42%-5.66%0.00%
201530.84%$208,841-1.59%$77,508-1.59%0.33%1.13%0.00%
20154-0.11%$208,6110.95%$78,2440.95%0.05%-3.07%0.00%
201550.34%$209,3191.27%$79,2391.27%0.06%-2.16%0.00%
20156-2.00%$205,138-1.93%$77,708-1.93%-0.04%-3.73%0.00%
201572.66%$210,5942.08%$79,3242.08%0.15%4.21%0.00%
20158-3.70%$202,811-6.05%$74,528-6.05%-0.13%-0.71%0.01%
201591.09%$205,012-2.48%$72,676-2.48%0.43%1.91%0.01%
2015103.26%$211,6958.42%$78,7978.42%-0.13%-0.48%0.00%
201511-1.36%$208,8260.29%$79,0230.29%-0.31%-0.81%0.01%
201512-1.60%$205,478-1.59%$77,764-1.59%-0.16%-0.34%0.02%
201612.24%$210,087-4.98%$73,894-4.98%0.82%5.24%0.01%
201621.20%$212,616-0.15%$73,787-0.15%0.15%2.86%0.03%
201634.08%$221,2936.78%$78,7866.78%0.26%0.05%0.03%
20164-0.16%$220,9330.37%$79,0810.37%-0.03%-0.63%0.02%
201650.56%$222,1711.78%$80,4911.78%-0.10%0.69%0.02%
201664.62%$232,4400.25%$80,6920.25%0.75%6.57%0.03%
201671.75%$236,5083.68%$83,6583.68%-0.10%2.01%0.02%
20168-1.35%$233,3230.13%$83,7670.13%-0.29%-1.00%0.02%
201690.43%$234,3380.01%$83,7740.01%0.23%-1.32%0.03%
201610-2.46%$228,565-1.83%$82,238-1.83%-0.12%-4.23%0.02%
201611-2.54%$222,7673.70%$85,2803.70%-0.58%-7.86%0.03%
2016120.74%$224,4251.96%$86,9541.96%-0.00%-0.35%0.04%
201712.04%$228,9931.88%$88,5911.88%0.26%0.65%0.04%
201722.50%$234,7203.96%$92,1023.96%0.07%1.57%0.04%
20173-0.18%$234,3030.10%$92,1940.10%0.02%-0.59%0.04%
201741.44%$237,6791.02%$93,1331.02%0.19%1.58%0.06%
201751.22%$240,5761.39%$94,4311.39%0.09%1.73%0.07%
20176-0.19%$240,1270.61%$95,0080.61%-0.09%0.63%0.08%
201771.69%$244,1742.04%$96,9492.04%0.28%-0.59%0.08%
201781.35%$247,4690.29%$97,2330.29%0.19%3.27%0.09%
20179-0.60%$245,9962.06%$99,2352.06%-0.20%-2.27%0.08%
2017100.57%$247,4042.32%$101,5352.32%-0.08%-0.02%0.09%
2017110.39%$248,3703.06%$104,6413.06%-0.27%0.63%0.09%
2017120.37%$249,2981.10%$105,7951.10%-0.07%1.78%0.10%
20181-0.33%$248,4795.71%$111,8385.71%-0.44%-3.40%0.11%
20182-3.48%$239,820-3.69%$107,706-3.69%-0.08%-2.89%0.12%
201830.01%$239,854-2.56%$104,954-2.56%0.29%2.75%0.14%
20184-2.23%$234,5100.37%$105,3460.37%-0.30%-2.04%0.14%
201852.67%$240,7692.39%$107,8682.39%0.36%1.79%0.15%
201860.26%$241,3990.61%$108,5210.61%0.10%0.66%0.16%
201870.55%$242,7333.71%$112,5463.71%-0.10%-1.28%0.16%
201882.97%$249,9463.25%$116,2003.25%0.37%1.18%0.17%
20189-1.91%$245,1820.55%$116,8440.55%-0.20%-2.74%0.17%
201810-4.79%$233,438-6.85%$108,841-6.85%0.10%-2.82%0.18%
2018112.44%$239,1282.03%$111,0472.03%0.38%1.78%0.19%
201812-0.52%$237,896-9.04%$101,008-9.04%0.88%5.50%0.19%
201914.59%$248,8148.00%$109,0918.00%0.30%0.49%0.20%
201920.53%$250,1323.20%$112,5833.20%-0.01%-1.31%0.20%
201934.70%$261,8981.94%$114,7631.94%0.78%5.47%0.20%
201941.52%$265,8664.04%$119,4014.04%0.15%-1.88%0.20%
201950.81%$268,027-6.36%$111,801-6.36%0.88%6.65%0.20%
201964.81%$280,9207.03%$119,6647.03%0.48%1.01%0.19%
20197-0.17%$280,4541.43%$121,3701.43%-0.09%0.22%0.17%
201984.48%$293,022-1.59%$119,439-1.59%0.92%10.68%0.17%
20199-1.05%$289,9391.86%$121,6591.86%-0.22%-2.62%0.16%
2019101.18%$293,3652.15%$124,2812.15%0.25%-1.10%0.15%
2019111.12%$296,6483.62%$128,7813.62%-0.05%-0.39%0.13%
2019120.89%$299,2983.01%$132,6513.01%0.14%-3.00%0.13%
Portfolio return and risk metrics
MetricPortfolio 1Vanguard 500 Index Investor
Arithmetic Mean (monthly)1.06%0.85%
Arithmetic Mean (annualized)13.52%10.75%
Geometric Mean (monthly)1.02%0.77%
Geometric Mean (annualized)12.91%9.67%
Volatility (monthly)3.03%4.04%
Volatility (annualized)10.48%14.00%
Downside Deviation (monthly)1.68%2.70%
Max. Drawdown-22.97%-50.97%
US Market Correlation0.440.99
Beta(*)0.351.00
Alpha (annualized)9.17%0.00%
R221.64%100.00%
Sharpe Ratio0.980.56
Sortino Ratio1.660.81
Treynor Ratio (%)29.517.80
Calmar Ratio1.531.12
Active Return3.23%N/A
Tracking Error13.01%N/A
Information Ratio0.25N/A
Skewness-0.18-0.71
Excess Kurtosis0.501.46
Historical Value-at-Risk (5%)-4.68%-6.49%
Analytical Value-at-Risk (5%)-4.03%-5.79%
Conditional Value-at-Risk (5%)-5.90%-9.21%
Upside Capture Ratio (%)58.46100.00
Downside Capture Ratio (%)17.94100.00
Safe Withdrawal Rate12.20%8.73%
Perpetual Withdrawal Rate9.44%6.77%
Positive Periods225 out of 336 (66.96%)224 out of 336 (66.67%)
Gain/Loss Ratio1.210.85
* 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 1998-4.86%-5.61%
Russian Debt DefaultJul 1998Oct 1998-2.24%-15.38%
Dotcom CrashMar 2000Oct 2002-4.70%-44.82%
Subprime CrisisNov 2007Mar 2009-11.98%-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-22.97%
2Jan 2009Feb 20092 monthsMay 20093 months5 months-11.98%
3Apr 2008Oct 20087 monthsDec 20082 months9 months-11.04%
4Feb 1996Jul 19966 monthsOct 19963 months9 months-10.03%
5Feb 1999Jan 20001 yearAug 20007 months1 year 7 months-9.93%
6Jan 1992Mar 19923 monthsMay 19922 months5 months-8.09%
7Apr 2004May 20042 monthsMay 20051 year1 year 2 months-7.68%
8Sep 2005Jun 200610 monthsSep 20063 months1 year 1 month-7.52%
9Sep 2018Oct 20182 monthsFeb 20194 months6 months-6.60%
10Dec 1996Mar 19974 monthsMay 19972 months6 months-6.18%
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 Investor9.67%14.00%37.45%-37.02%-50.97%0.560.810.99
VFISXVanguard Short-Term Treasury Inv3.78%1.93%12.11%-0.57%-2.23%0.701.22-0.18
VUSTXVanguard Long-Term Treasury Inv7.16%9.98%30.09%-13.03%-16.68%0.500.83-0.21
CASHXCash2.49%0.59%5.99%0.03%0.00%N/AN/A0.00

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVFISXVUSTXCASHXPortfolio 1Vanguard 500 Index Investor
VFINXVanguard 500 Index Investor1.00-0.16-0.190.020.471.00
VFISXVanguard Short-Term Treasury Inv-0.161.000.650.340.74-0.16
VUSTXVanguard Long-Term Treasury Inv-0.190.651.000.040.60-0.19
CASHXCash0.020.340.041.000.050.02

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor$147,578
VFISXVanguard Short-Term Treasury Inv$234,992
VUSTXVanguard Long-Term Treasury Inv$41,231
CASHXCash-$134,503

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1
VFINXVanguard 500 Index Investor30.34%
VFISXVanguard Short-Term Treasury Inv56.66%
VUSTXVanguard Long-Term Treasury Inv14.03%
CASHXCash-1.03%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year13.46%54.05%-20.11%10.91%53.61%-43.32%
3 years12.89%28.44%1.73%10.11%32.68%-16.14%
5 years13.13%21.49%3.85%9.46%28.49%-6.73%
7 years13.09%19.53%7.98%8.57%21.51%-3.94%
10 years13.04%18.07%9.11%7.16%16.52%-3.51%
15 years12.69%15.47%9.76%6.93%11.10%3.64%