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 
Asset 1
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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 1993 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VTSMX Vanguard Total Stock Mkt Idx Inv 100.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$122,983 9.74% 14.53%35.79%-37.04%-50.89% 0.550.791.00
Vanguard 500 Index Investor$10,000$123,485 9.76% 14.19%37.45%-37.02%-50.97% 0.560.810.99
   

Trailing Returns

Trailing Returns
Name3 Month1 year3 year5 year10 yearFull
Portfolio 18.97%30.65%14.43%11.08%13.30%9.74%
Vanguard 500 Index Investor9.03%31.33%15.12%11.55%13.40%9.76%
Trailing returns 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
YearInflationReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
19932.75%10.62%9.89%$11,062$10,98910.62%
19942.67%-0.17%1.18%$11,044$11,118-0.17%
19952.54%35.79%37.45%$14,996$15,28235.79%
19963.32%20.96%22.88%$18,139$18,77820.96%
19971.70%30.99%33.19%$23,761$25,01030.99%
19981.61%23.26%28.62%$29,289$32,16823.26%
19992.68%23.81%21.07%$36,264$38,94523.81%
20003.39%-10.57%-9.06%$32,429$35,418-10.57%
20011.55%-10.97%-12.02%$28,873$31,160-10.97%
20022.38%-20.96%-22.15%$22,821$24,259-20.96%
20031.88%31.35%28.50%$29,976$31,17431.35%
20043.26%12.51%10.74%$33,728$34,52212.51%
20053.42%5.98%4.77%$35,745$36,1705.98%
20062.54%15.51%15.64%$41,289$41,82715.51%
20074.08%5.49%5.39%$43,556$44,0815.49%
20080.09%-37.04%-37.02%$27,424$27,762-37.04%
20092.72%28.70%26.49%$35,294$35,11428.70%
20101.50%17.09%14.91%$41,327$40,35117.09%
20112.96%0.96%1.97%$41,724$41,1450.96%
20121.74%16.25%15.82%$48,506$47,65616.25%
20131.50%33.35%32.18%$64,682$62,98933.35%
20140.76%12.43%13.51%$72,721$71,49812.43%
20150.73%0.29%1.25%$72,935$72,3910.29%
20162.07%12.53%11.82%$82,076$80,94512.53%
20172.11%21.05%21.67%$99,355$98,48421.05%
20181.91%-5.26%-4.52%$94,132$94,028-5.26%
20192.29%30.65%31.33%$122,983$123,48530.65%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard Total Stock Mkt Idx Inv (VTSMX)
Portfolio 1Vanguard 500 Index InvestorPortfolio 1Vanguard 500 Index Investor
199311.01%0.81%$10,101$10,0811.01%
199320.46%1.36%$10,148$10,2170.46%
199332.46%2.11%$10,398$10,4332.46%
19934-2.77%-2.42%$10,110$10,180-2.77%
199353.03%2.65%$10,416$10,4503.03%
199360.55%0.27%$10,473$10,4780.55%
19937-0.27%-0.42%$10,445$10,433-0.27%
199383.93%3.79%$10,856$10,8283.93%
199390.01%-0.79%$10,856$10,7420.01%
1993101.64%2.08%$11,035$10,9651.64%
199311-1.62%-1.00%$10,856$10,856-1.62%
1993121.90%1.22%$11,062$10,9891.90%
199413.08%3.38%$11,403$11,3603.08%
19942-2.24%-2.71%$11,148$11,052-2.24%
19943-4.44%-4.39%$10,652$10,567-4.44%
199440.89%1.29%$10,748$10,7030.89%
199450.97%1.60%$10,852$10,8750.97%
19946-2.73%-2.45%$10,556$10,609-2.73%
199473.08%3.28%$10,881$10,9563.08%
199484.39%4.08%$11,360$11,4034.39%
19949-1.85%-2.45%$11,149$11,124-1.85%
1994101.55%2.25%$11,322$11,3741.55%
199411-3.65%-3.65%$10,909$10,958-3.65%
1994121.23%1.46%$11,044$11,1181.23%
199512.20%2.58%$11,287$11,4062.20%
199524.04%3.88%$11,743$11,8484.04%
199532.65%2.95%$12,055$12,1982.65%
199542.51%2.94%$12,357$12,5572.51%
199553.48%3.95%$12,787$13,0533.48%
199562.98%2.31%$13,168$13,3552.98%
199574.02%3.30%$13,697$13,7964.02%
199581.07%0.26%$13,844$13,8331.07%
199593.61%4.21%$14,344$14,4153.61%
199510-1.17%-0.36%$14,177$14,363-1.17%
1995114.17%4.38%$14,768$14,9924.17%
1995121.54%1.93%$14,996$15,2821.54%
199612.66%3.39%$15,395$15,7992.66%
199621.62%0.92%$15,644$15,9451.62%
199631.14%0.98%$15,823$16,1011.14%
199642.41%1.46%$16,204$16,3352.41%
199652.66%2.54%$16,635$16,7512.66%
19966-0.84%0.38%$16,495$16,815-0.84%
19967-5.37%-4.42%$15,609$16,072-5.37%
199683.09%2.10%$16,092$16,4093.09%
199695.38%5.61%$16,958$17,3295.38%
1996101.43%2.76%$17,201$17,8061.43%
1996116.81%7.56%$18,372$19,1536.81%
199612-1.27%-1.96%$18,139$18,778-1.27%
199715.46%6.22%$19,129$19,9455.46%
19972-0.11%0.79%$19,109$20,103-0.11%
19973-4.45%-4.14%$18,258$19,271-4.45%
199744.50%5.96%$19,079$20,4194.50%
199757.10%6.09%$20,434$21,6627.10%
199764.37%4.45%$21,326$22,6274.37%
199777.77%7.97%$22,983$24,4297.77%
19978-3.72%-5.61%$22,129$23,059-3.72%
199795.77%5.47%$23,406$24,3205.77%
199710-3.40%-3.35%$22,611$23,505-3.40%
1997113.33%4.60%$23,364$24,5863.33%
1997121.70%1.72%$23,761$25,0101.70%
199810.44%1.11%$23,866$25,2880.44%
199827.34%7.19%$25,619$27,1077.34%
199835.06%5.10%$26,916$28,4905.06%
199841.10%1.01%$27,211$28,7771.10%
19985-2.71%-1.74%$26,473$28,276-2.71%
199863.54%4.07%$27,411$29,4273.54%
19987-2.27%-1.05%$26,788$29,117-2.27%
19988-15.65%-14.47%$22,595$24,902-15.65%
199896.68%6.41%$24,104$26,4996.68%
1998107.51%8.16%$25,915$28,6627.51%
1998116.17%6.07%$27,514$30,4036.17%
1998126.45%5.81%$29,289$32,1686.45%
199913.65%4.20%$30,357$33,5203.65%
19992-3.73%-3.12%$29,225$32,472-3.73%
199933.93%4.00%$30,375$33,7703.93%
199944.68%3.85%$31,795$35,0714.68%
19995-2.00%-2.39%$31,160$34,233-2.00%
199965.16%5.56%$32,768$36,1355.16%
19997-3.20%-3.13%$31,721$35,004-3.20%
19998-0.92%-0.50%$31,430$34,830-0.92%
19999-2.44%-2.74%$30,663$33,876-2.44%
1999106.29%6.33%$32,591$36,0196.29%
1999113.42%2.02%$33,706$36,7483.42%
1999127.59%5.98%$36,264$38,9457.59%
20001-4.18%-5.03%$34,747$36,985-4.18%
200022.54%-1.91%$35,631$36,2802.54%
200035.69%9.76%$37,657$39,8215.69%
20004-5.21%-3.01%$35,696$38,624-5.21%
20005-3.41%-2.04%$34,480$37,837-3.41%
200064.42%2.49%$36,004$38,7784.42%
20007-1.95%-1.49%$35,301$38,200-1.95%
200087.28%6.19%$37,871$40,5647.28%
20009-4.67%-5.29%$36,102$38,419-4.67%
200010-2.04%-0.43%$35,364$38,253-2.04%
200011-9.90%-7.88%$31,862$35,240-9.90%
2000121.78%0.50%$32,429$35,4181.78%
200113.83%3.55%$33,671$36,6733.83%
20012-9.41%-9.14%$30,501$33,322-9.41%
20013-6.72%-6.36%$28,451$31,204-6.72%
200148.16%7.77%$30,774$33,6298.16%
200151.01%0.65%$31,085$33,8481.01%
20016-1.64%-2.45%$30,577$33,020-1.64%
20017-1.71%-1.00%$30,053$32,690-1.71%
20018-6.00%-6.27%$28,249$30,639-6.00%
20019-9.00%-8.09%$25,707$28,160-9.00%
2001102.52%1.90%$26,355$28,6932.52%
2001117.63%7.65%$28,367$30,8907.63%
2001121.78%0.87%$28,873$31,1601.78%
20021-1.24%-1.47%$28,514$30,700-1.24%
20022-2.05%-1.94%$27,931$30,106-2.05%
200234.38%3.74%$29,153$31,2334.38%
20024-4.90%-6.07%$27,725$29,336-4.90%
20025-1.22%-0.75%$27,388$29,114-1.22%
20026-7.06%-7.13%$25,453$27,037-7.06%
20027-8.02%-7.72%$23,412$24,950-8.02%
200280.53%0.65%$23,536$25,1130.53%
20029-10.07%-10.87%$21,167$22,382-10.07%
2002107.65%8.78%$22,785$24,3487.65%
2002116.06%5.88%$24,166$25,7786.06%
200212-5.57%-5.89%$22,821$24,259-5.57%
20031-2.54%-2.62%$22,241$23,622-2.54%
20032-1.69%-1.52%$21,866$23,264-1.69%
200331.09%0.96%$22,103$23,4861.09%
200348.21%8.25%$23,918$25,4258.21%
200356.11%5.26%$25,378$26,7636.11%
200361.43%1.26%$25,742$27,1001.43%
200372.36%1.74%$26,349$27,5732.36%
200382.39%1.93%$26,978$28,1062.39%
20039-1.15%-1.07%$26,669$27,805-1.15%
2003106.12%5.64%$28,300$29,3736.12%
2003111.38%0.86%$28,691$29,6271.38%
2003124.48%5.22%$29,976$31,1744.48%
200412.23%1.82%$30,645$31,7412.23%
200421.43%1.38%$31,083$32,1791.43%
20043-1.07%-1.51%$30,750$31,692-1.07%
20044-2.11%-1.58%$30,102$31,192-2.11%
200451.35%1.36%$30,507$31,6151.35%
200462.09%1.93%$31,144$32,2252.09%
20047-3.80%-3.31%$29,960$31,158-3.80%
200480.31%0.38%$30,053$31,2780.31%
200491.74%1.07%$30,576$31,6111.74%
2004101.68%1.51%$31,089$32,0901.68%
2004114.68%4.05%$32,545$33,3894.68%
2004123.63%3.39%$33,728$34,5223.63%
20051-2.68%-2.45%$32,825$33,674-2.68%
200522.07%2.09%$33,505$34,3792.07%
20053-1.75%-1.76%$32,920$33,774-1.75%
20054-2.32%-1.91%$32,155$33,129-2.32%
200553.77%3.17%$33,367$34,1783.77%
200560.81%0.13%$33,638$34,2210.81%
200574.11%3.71%$35,018$35,4904.11%
20058-0.94%-0.91%$34,688$35,166-0.94%
200590.86%0.79%$34,985$35,4450.86%
200510-1.86%-1.68%$34,333$34,850-1.86%
2005113.97%3.76%$35,696$36,1623.97%
2005120.14%0.02%$35,745$36,1700.14%
200613.50%2.65%$36,996$37,1273.50%
200620.00%0.26%$36,996$37,2240.00%
200631.80%1.23%$37,663$37,6821.80%
200641.11%1.33%$38,081$38,1851.11%
20065-3.23%-2.90%$36,849$37,079-3.23%
200660.17%0.13%$36,913$37,1260.17%
20067-0.13%0.61%$36,864$37,351-0.13%
200682.31%2.36%$37,717$38,2342.31%
200692.27%2.56%$38,572$39,2142.27%
2006103.53%3.25%$39,934$40,4893.53%
2006112.23%1.89%$40,826$41,2542.23%
2006121.13%1.39%$41,289$41,8271.13%
200711.88%1.49%$42,064$42,4521.88%
20072-1.61%-1.97%$41,386$41,616-1.61%
200731.11%1.11%$41,844$42,0791.11%
200744.01%4.42%$43,523$43,9384.01%
200753.69%3.48%$45,128$45,4653.69%
20076-1.67%-1.68%$44,374$44,703-1.67%
20077-3.41%-3.08%$42,861$43,324-3.41%
200781.45%1.50%$43,483$43,9731.45%
200793.59%3.72%$45,045$45,6113.59%
2007101.85%1.58%$45,879$46,3311.85%
200711-4.49%-4.19%$43,820$44,391-4.49%
200712-0.60%-0.70%$43,556$44,081-0.60%
20081-6.08%-6.02%$40,907$41,429-6.08%
20082-3.07%-3.25%$39,651$40,082-3.07%
20083-0.58%-0.44%$39,420$39,905-0.58%
200845.02%4.85%$41,399$41,8425.02%
200852.09%1.29%$42,266$42,3832.09%
20086-8.19%-8.44%$38,803$38,807-8.19%
20087-0.77%-0.83%$38,505$38,484-0.77%
200881.58%1.45%$39,114$39,0411.58%
20089-9.26%-8.91%$35,491$35,564-9.26%
200810-17.63%-16.79%$29,234$29,592-17.63%
200811-7.90%-7.17%$26,924$27,469-7.90%
2008121.86%1.07%$27,424$27,7621.86%
20091-8.26%-8.41%$25,159$25,426-8.26%
20092-10.45%-10.66%$22,530$22,716-10.45%
200938.65%8.76%$24,480$24,7068.65%
2009410.61%9.56%$27,076$27,06810.61%
200955.38%5.62%$28,532$28,5895.38%
200960.34%0.22%$28,630$28,6520.34%
200977.82%7.58%$30,870$30,8237.82%
200983.63%3.60%$31,990$31,9323.63%
200994.23%3.72%$33,342$33,1194.23%
200910-2.57%-1.87%$32,485$32,500-2.57%
2009115.63%5.98%$34,313$34,4445.63%
2009122.86%1.95%$35,294$35,1142.86%
20101-3.50%-3.60%$34,059$33,849-3.50%
201023.36%3.09%$35,204$34,8963.36%
201036.27%6.01%$37,411$36,9946.27%
201042.17%1.58%$38,224$37,5782.17%
20105-8.00%-8.01%$35,166$34,570-8.00%
20106-5.66%-5.24%$33,175$32,758-5.66%
201076.99%7.00%$35,495$35,0506.99%
20108-4.75%-4.53%$33,810$33,463-4.75%
201099.47%8.92%$37,011$36,4479.47%
2010103.94%3.79%$38,470$37,8283.94%
2010110.58%0.00%$38,692$37,8280.58%
2010126.81%6.67%$41,327$40,3516.81%
201112.19%2.36%$42,230$41,3022.19%
201123.60%3.42%$43,749$42,7133.60%
201130.45%0.03%$43,946$42,7240.45%
201142.99%2.95%$45,260$43,9842.99%
20115-1.16%-1.15%$44,734$43,480-1.16%
20116-1.79%-1.67%$43,935$42,753-1.79%
20117-2.28%-2.05%$42,932$41,878-2.28%
20118-5.99%-5.45%$40,358$39,597-5.99%
20119-7.75%-7.04%$37,229$36,808-7.75%
20111011.51%10.91%$41,513$40,82611.51%
201111-0.29%-0.23%$41,394$40,730-0.29%
2011120.80%1.02%$41,724$41,1450.80%
201215.08%4.46%$43,844$42,9825.08%
201224.26%4.31%$45,711$44,8334.26%
201233.07%3.28%$47,113$46,3043.07%
20124-0.65%-0.64%$46,805$46,008-0.65%
20125-6.24%-6.02%$43,886$43,239-6.24%
201263.91%4.11%$45,602$45,0163.91%
201271.03%1.37%$46,073$45,6321.03%
201282.48%2.24%$47,216$46,6542.48%
201292.58%2.58%$48,433$47,8562.58%
201210-1.76%-1.86%$47,582$46,967-1.76%
2012110.74%0.56%$47,933$47,2300.74%
2012121.19%0.90%$48,506$47,6561.19%
201315.50%5.18%$51,173$50,1225.50%
201321.28%1.34%$51,826$50,7941.28%
201333.88%3.74%$53,839$52,6933.88%
201341.70%1.91%$54,754$53,6981.70%
201352.32%2.33%$56,025$54,9482.32%
20136-1.27%-1.35%$55,312$54,206-1.27%
201375.49%5.07%$58,346$56,9555.49%
20138-2.82%-2.91%$56,698$55,297-2.82%
201393.66%3.12%$58,776$57,0233.66%
2013104.22%4.59%$61,259$59,6384.22%
2013112.88%3.03%$63,024$61,4452.88%
2013122.63%2.51%$64,682$62,9892.63%
20141-3.11%-3.47%$62,672$60,804-3.11%
201424.73%4.56%$65,638$63,5774.73%
201430.51%0.82%$65,976$64,1010.51%
201440.06%0.72%$66,017$64,5650.06%
201452.17%2.33%$67,451$66,0722.17%
201462.54%2.05%$69,162$67,4282.54%
20147-1.98%-1.39%$67,793$66,492-1.98%
201484.18%3.98%$70,629$69,1404.18%
20149-2.14%-1.41%$69,120$68,163-2.14%
2014102.74%2.42%$71,014$69,8152.74%
2014112.41%2.68%$72,725$71,6882.41%
201412-0.01%-0.26%$72,721$71,498-0.01%
20151-2.77%-3.02%$70,705$69,341-2.77%
201525.76%5.74%$74,780$73,3205.76%
20153-1.04%-1.59%$74,004$72,152-1.04%
201540.42%0.95%$74,316$72,8370.42%
201551.39%1.27%$75,349$73,7641.39%
20156-1.71%-1.93%$74,061$72,338-1.71%
201571.63%2.08%$75,269$73,8431.63%
20158-6.03%-6.04%$70,734$69,381-6.03%
20159-2.93%-2.49%$68,659$67,654-2.93%
2015107.84%8.42%$74,045$73,3527.84%
2015110.54%0.29%$74,445$73,5620.54%
201512-2.03%-1.59%$72,935$72,391-2.03%
20161-5.67%-4.98%$68,799$68,788-5.67%
20162-0.04%-0.15%$68,770$68,688-0.04%
201637.01%6.78%$73,591$73,3427.01%
201640.63%0.37%$74,053$73,6160.63%
201651.79%1.78%$75,380$74,9291.79%
201660.23%0.25%$75,550$75,1160.23%
201673.95%3.68%$78,535$77,8773.95%
201680.26%0.13%$78,738$77,9780.26%
201690.15%0.01%$78,856$77,9850.15%
201610-2.21%-1.83%$77,109$76,555-2.21%
2016114.44%3.70%$80,530$79,3874.44%
2016121.92%1.96%$82,076$80,9451.92%
201711.91%1.88%$83,643$82,4691.91%
201723.71%3.96%$86,747$85,7373.71%
201730.07%0.10%$86,804$85,8230.07%
201741.05%1.02%$87,716$86,6971.05%
201751.01%1.39%$88,598$87,9051.01%
201760.92%0.61%$89,414$88,4430.92%
201771.87%2.04%$91,083$90,2491.87%
201780.15%0.29%$91,216$90,5140.15%
201792.45%2.06%$93,454$92,3782.45%
2017102.16%2.32%$95,470$94,5192.16%
2017113.04%3.06%$98,376$97,4103.04%
2017120.99%1.10%$99,355$98,4840.99%
201815.31%5.71%$104,628$104,1105.31%
20182-3.72%-3.69%$100,740$100,263-3.72%
20183-1.99%-2.56%$98,731$97,701-1.99%
201840.38%0.37%$99,105$98,0660.38%
201852.79%2.39%$101,871$100,4142.79%
201860.68%0.61%$102,563$101,0220.68%
201873.34%3.71%$105,985$104,7693.34%
201883.44%3.25%$109,633$108,1703.44%
201890.16%0.55%$109,808$108,7700.16%
201810-7.40%-6.85%$101,680$101,320-7.40%
2018112.06%2.03%$103,776$103,3732.06%
201812-9.29%-9.04%$94,132$94,028-9.29%
201918.59%8.00%$102,214$101,5538.59%
201923.50%3.20%$105,793$104,8033.50%
201931.44%1.94%$107,312$106,8321.44%
201943.98%4.04%$111,579$111,1503.98%
20195-6.45%-6.36%$104,385$104,075-6.45%
201966.97%7.03%$111,660$111,3956.97%
201971.44%1.43%$113,266$112,9831.44%
20198-2.03%-1.59%$110,972$111,186-2.03%
201991.70%1.86%$112,862$113,2521.70%
2019102.10%2.15%$115,228$115,6932.10%
2019113.77%3.62%$119,575$119,8823.77%
2019122.85%3.01%$122,983$123,4852.85%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Vanguard 500 Index Investor
Large-cap Value37.62%47.15%
Large-cap Growth43.57%52.66%
Mid-cap Value4.34%0.00%
Mid-cap Growth7.91%0.00%
Small-cap Value2.75%0.00%
Small-cap Growth2.83%0.00%
Global ex-US Developed Markets0.44%0.00%
Emerging Markets0.54%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.20%
Short-Term Treasuries0.00%0.00%
R Squared99.88%99.92%
Style analysis is based on monthly returns from Apr 2005 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/EReturn ContributionRisk Contribution
VTSMXVanguard Total Stock Mkt Idx InvLarge Blend100.00%0.14%25.00$112,983100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fund fundamentals data as of 11/25/2020. (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)0.87%0.86%
Arithmetic Mean (annualized)10.91%10.87%
Geometric Mean (monthly)0.78%0.78%
Geometric Mean (annualized)9.74%9.76%
Volatility (monthly)4.20%4.10%
Volatility (annualized)14.53%14.19%
Downside Deviation (monthly)2.84%2.74%
Max. Drawdown-50.89%-50.97%
US Market Correlation1.000.99
Beta(*)1.011.00
Alpha (annualized)-0.09%0.00%
R297.70%100.00%
Sharpe Ratio0.550.56
Sortino Ratio0.790.81
Treynor Ratio (%)7.887.94
Calmar Ratio1.011.12
Active Return-0.02%N/A
Tracking Error2.21%N/A
Information Ratio-0.01N/A
Skewness-0.78-0.71
Excess Kurtosis1.541.38
Historical Value-at-Risk (5%)-7.32%-6.99%
Analytical Value-at-Risk (5%)-6.03%-5.87%
Conditional Value-at-Risk (5%)-9.76%-9.36%
Upside Capture Ratio (%)102.13100.00
Downside Capture Ratio (%)103.05100.00
Safe Withdrawal Rate8.94%9.12%
Perpetual Withdrawal Rate6.85%6.86%
Positive Periods215 out of 324 (66.36%)216 out of 324 (66.67%)
Gain/Loss Ratio0.850.85
* 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 1998-3.72%-5.61%
Russian Debt DefaultJul 1998Oct 1998-17.57%-15.38%
Dotcom CrashMar 2000Oct 2002-44.11%-44.82%
Subprime CrisisNov 2007Mar 2009-50.89%-50.97%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Nov 2007Feb 20091 year 4 monthsMar 20123 years 1 month4 years 5 months-50.89%
2Sep 2000Sep 20022 years 1 monthApr 20063 years 7 months5 years 8 months-44.11%
3Jul 1998Aug 19982 monthsNov 19983 months5 months-17.57%
4Oct 2018Dec 20183 monthsApr 20194 months7 months-14.28%
5Jun 2015Sep 20154 monthsMay 20168 months1 year-8.88%
6Apr 2000May 20002 monthsAug 20003 months5 months-8.44%
7Feb 1994Jun 19945 monthsFeb 19958 months1 year 1 month-7.43%
8Apr 2012May 20122 monthsAug 20123 months5 months-6.85%
9May 2019May 20191 monthJun 20191 month2 months-6.45%
10Jul 1999Sep 19993 monthsNov 19992 months5 months-6.42%
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
VTSMXVanguard Total Stock Mkt Idx Inv9.74%14.53%35.79%-37.04%-50.89%0.550.791.00

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Vanguard 500 Index Investor
AverageHighLowAverageHighLow
1 year11.28%35.79%-37.04%11.31%37.45%-37.02%
3 years10.08%29.10%-14.31%10.14%31.03%-14.60%
5 years9.33%26.84%-1.76%9.31%28.49%-2.38%
7 years8.53%20.21%-0.73%8.37%21.44%-1.64%
10 years7.41%13.30%-0.66%7.09%13.40%-1.46%
15 years7.10%10.31%4.75%6.74%10.40%4.13%
Result statistics are based on annualized rolling returns over full calendar year periods