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 1997 - Dec 2019)

Portfolio Allocations

Portfolio 1
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 100.00%
Save portfolio »
Portfolio 2
Ticker Name Allocation
VGSIX Vanguard Real Estate Index Investor 100.00%
Save portfolio »
Portfolio 3
Ticker Name Allocation
VFINX Vanguard 500 Index Investor 50.00%
VGSIX Vanguard Real Estate Index Investor 50.00%
Save portfolio »

Portfolio Returns

Portfolio performance statistics
PortfolioInitial BalanceFinal BalanceCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
Portfolio 1$10,000$65,761 8.53% 14.90%33.19%-37.02%-50.97% 0.490.700.99
Portfolio 2$10,000$78,430 9.37% 19.75%35.65%-37.05%-68.28% 0.450.650.57
Portfolio 3$10,000$78,752 9.39% 15.27%32.08%-37.03%-58.66% 0.530.750.85
   
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
YearInflationReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Real Estate Index Investor (VGSIX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
19971.70%33.19%18.77%25.98%$13,319$11,877$12,59833.19%18.77%
19981.61%28.62%-16.32%6.15%$17,131$9,938$13,37228.62%-16.32%
19992.68%21.07%-4.04%8.51%$20,740$9,537$14,51121.07%-4.04%
20003.39%-9.06%26.35%8.65%$18,861$12,050$15,766-9.06%26.35%
20011.55%-12.02%12.35%0.17%$16,594$13,538$15,792-12.02%12.35%
20022.38%-22.15%3.75%-9.20%$12,919$14,047$14,340-22.15%3.75%
20031.88%28.50%35.65%32.08%$16,601$19,055$18,94028.50%35.65%
20043.26%10.74%30.76%20.75%$18,384$24,916$22,87010.74%30.76%
20053.42%4.77%11.89%8.33%$19,262$27,879$24,7754.77%11.89%
20062.54%15.64%35.07%25.36%$22,275$37,656$31,05715.64%35.07%
20074.08%5.39%-16.46%-5.54%$23,475$31,458$29,3385.39%-16.46%
20080.09%-37.02%-37.05%-37.03%$14,784$19,804$18,473-37.02%-37.05%
20092.72%26.49%29.58%28.03%$18,700$25,661$23,65126.49%29.58%
20101.50%14.91%28.30%21.61%$21,489$32,924$28,76214.91%28.30%
20112.96%1.97%8.47%5.22%$21,911$35,711$30,2621.97%8.47%
20121.74%15.82%17.53%16.68%$25,379$41,970$35,30815.82%17.53%
20131.50%32.18%2.31%17.24%$33,544$42,938$41,39532.18%2.31%
20140.76%13.51%30.13%21.82%$38,076$55,876$50,42813.51%30.13%
20150.73%1.25%2.22%1.73%$38,551$57,115$51,3021.25%2.22%
20162.07%11.82%8.34%10.08%$43,107$61,878$56,47211.82%8.34%
20172.11%21.67%4.83%13.25%$52,447$64,864$63,95321.67%4.83%
20181.91%-4.52%-6.11%-5.32%$50,074$60,903$60,554-4.52%-6.11%
20192.29%31.33%28.78%30.05%$65,761$78,430$78,75231.33%28.78%
Monthly returns for the configured portfolios
YearMonthReturnBalanceVanguard 500 Index Investor (VFINX)Vanguard Real Estate Index Investor (VGSIX)
Portfolio 1Portfolio 2Portfolio 3Portfolio 1Portfolio 2Portfolio 3
199716.22%0.16%3.19%$10,622$10,016$10,3196.22%0.16%
199720.79%-0.32%0.25%$10,706$9,984$10,3450.79%-0.32%
19973-4.14%0.38%-1.96%$10,263$10,022$10,143-4.14%0.38%
199745.96%-3.10%1.48%$10,874$9,712$10,2935.96%-3.10%
199756.09%2.95%4.61%$11,536$9,998$10,7676.09%2.95%
199764.45%5.13%4.77%$12,050$10,512$11,2814.45%5.13%
199777.97%2.85%5.58%$13,010$10,811$11,9107.97%2.85%
19978-5.61%-0.75%-3.40%$12,280$10,730$11,505-5.61%-0.75%
199795.47%9.24%7.23%$12,951$11,721$12,3365.47%9.24%
199710-3.35%-2.80%-3.09%$12,518$11,393$11,955-3.35%-2.80%
1997114.60%1.73%3.23%$13,093$11,590$12,3424.60%1.73%
1997121.72%2.48%2.08%$13,319$11,877$12,5981.72%2.48%
199811.11%-1.27%-0.08%$13,467$11,726$12,5881.11%-1.27%
199827.19%-1.65%2.83%$14,435$11,533$12,9447.19%-1.65%
199835.10%2.55%3.90%$15,172$11,828$13,4485.10%2.55%
199841.01%-3.36%-1.03%$15,325$11,430$13,3101.01%-3.36%
19985-1.74%-0.89%-1.35%$15,058$11,329$13,130-1.74%-0.89%
199864.07%-0.03%2.20%$15,671$11,326$13,4184.07%-0.03%
19987-1.05%-6.90%-3.67%$15,506$10,544$12,925-1.05%-6.90%
19988-14.47%-9.21%-12.20%$13,262$9,573$11,349-14.47%-9.21%
199896.41%5.99%6.22%$14,112$10,147$12,0556.41%5.99%
1998108.16%-1.81%3.71%$15,264$9,963$12,5038.16%-1.81%
1998116.07%1.58%4.17%$16,191$10,120$13,0246.07%1.58%
1998125.81%-1.80%2.67%$17,131$9,938$13,3725.81%-1.80%
199914.20%-2.44%0.88%$17,851$9,696$13,4914.20%-2.44%
19992-3.12%-1.57%-2.37%$17,293$9,544$13,170-3.12%-1.57%
199934.00%-0.44%1.83%$17,984$9,501$13,4124.00%-0.44%
199943.85%9.55%6.57%$18,677$10,409$14,2923.85%9.55%
19995-2.39%2.09%-0.19%$18,231$10,627$14,265-2.39%2.09%
199965.56%-1.87%1.84%$19,243$10,428$14,5275.56%-1.87%
19997-3.13%-2.91%-3.03%$18,641$10,124$14,087-3.13%-2.91%
19998-0.50%-1.00%-0.74%$18,549$10,023$13,983-0.50%-1.00%
19999-2.74%-4.12%-3.40%$18,041$9,610$13,507-2.74%-4.12%
1999106.33%-2.25%2.22%$19,182$9,394$13,8076.33%-2.25%
1999112.02%-1.50%0.41%$19,570$9,253$13,8642.02%-1.50%
1999125.98%3.07%4.67%$20,740$9,537$14,5115.98%3.07%
20001-5.03%0.61%-2.21%$19,696$9,595$14,190-5.03%0.61%
20002-1.91%-1.51%-1.70%$19,321$9,450$13,948-1.91%-1.51%
200039.76%3.50%6.53%$21,206$9,781$14,8609.76%3.50%
20004-3.01%6.73%1.87%$20,569$10,439$15,137-3.01%6.73%
20005-2.04%1.03%-0.43%$20,150$10,547$15,073-2.04%1.03%
200062.49%2.49%2.49%$20,651$10,809$15,4482.49%2.49%
20007-1.49%8.77%3.97%$20,343$11,757$16,061-1.49%8.77%
200086.19%-3.99%0.52%$21,602$11,288$16,1456.19%-3.99%
20009-5.29%2.93%-0.92%$20,459$11,619$15,997-5.29%2.93%
200010-0.43%-4.63%-2.75%$20,372$11,081$15,557-0.43%-4.63%
200011-7.88%1.74%-2.67%$18,767$11,274$15,142-7.88%1.74%
2000120.50%6.88%4.12%$18,861$12,050$15,7660.50%6.88%
200113.55%0.43%1.99%$19,530$12,102$16,0793.55%0.43%
20012-9.14%-1.72%-5.49%$17,746$11,893$15,197-9.14%-1.72%
20013-6.36%0.81%-2.69%$16,618$11,990$14,789-6.36%0.81%
200147.77%2.28%4.86%$17,909$12,264$15,5077.77%2.28%
200150.65%2.15%1.42%$18,025$12,527$15,7280.65%2.15%
20016-2.45%5.92%1.91%$17,584$13,268$16,029-2.45%5.92%
20017-1.00%-2.10%-1.59%$17,409$12,990$15,774-1.00%-2.10%
20018-6.27%3.54%-0.99%$16,316$13,450$15,618-6.27%3.54%
20019-8.09%-3.87%-5.72%$14,996$12,929$14,725-8.09%-3.87%
2001101.90%-3.37%-1.13%$15,280$12,493$14,5591.90%-3.37%
2001117.65%5.76%6.59%$16,450$13,212$15,5187.65%5.76%
2001120.87%2.47%1.76%$16,594$13,538$15,7920.87%2.47%
20021-1.47%-0.25%-0.86%$16,349$13,505$15,656-1.47%-0.25%
20022-1.94%1.98%0.04%$16,033$13,773$15,662-1.94%1.98%
200233.74%6.24%5.03%$16,633$14,633$16,4493.74%6.24%
20024-6.07%0.62%-2.60%$15,622$14,723$16,020-6.07%0.62%
20025-0.75%1.30%0.35%$15,505$14,914$16,076-0.75%1.30%
20026-7.13%2.81%-1.75%$14,398$15,333$15,794-7.13%2.81%
20027-7.72%-5.28%-6.34%$13,287$14,523$14,793-7.72%-5.28%
200280.65%0.16%0.37%$13,374$14,546$14,8470.65%0.16%
20029-10.87%-3.53%-6.68%$11,919$14,033$13,856-10.87%-3.53%
2002108.78%-4.95%0.67%$12,966$13,337$13,9488.78%-4.95%
2002115.88%4.43%5.07%$13,728$13,928$14,6565.88%4.43%
200212-5.89%0.85%-2.16%$12,919$14,047$14,340-5.89%0.85%
20031-2.62%-2.70%-2.66%$12,580$13,667$13,958-2.62%-2.70%
20032-1.52%1.74%0.11%$12,389$13,904$13,973-1.52%1.74%
200330.96%2.04%1.51%$12,507$14,188$14,1830.96%2.04%
200348.25%4.05%6.11%$13,540$14,763$15,0508.25%4.05%
200355.26%5.52%5.39%$14,252$15,578$15,8615.26%5.52%
200361.26%2.25%1.76%$14,432$15,929$16,1401.26%2.25%
200371.74%5.18%3.48%$14,684$16,754$16,7011.74%5.18%
200381.93%0.65%1.28%$14,967$16,864$16,9141.93%0.65%
20039-1.07%3.41%1.21%$14,807$17,438$17,118-1.07%3.41%
2003105.64%1.63%3.55%$15,642$17,721$17,7275.64%1.63%
2003110.86%4.31%2.62%$15,778$18,486$18,1920.86%4.31%
2003125.22%3.08%4.11%$16,601$19,055$18,9405.22%3.08%
200411.82%4.28%3.05%$16,904$19,871$19,5181.82%4.28%
200421.38%1.64%1.51%$17,136$20,197$19,8131.38%1.64%
20043-1.51%5.43%2.00%$16,877$21,293$20,209-1.51%5.43%
20044-1.58%-14.56%-8.37%$16,611$18,194$18,517-1.58%-14.56%
200451.36%7.09%4.16%$16,836$19,484$19,2871.36%7.09%
200461.93%2.79%2.36%$17,161$20,027$19,7421.93%2.79%
20047-3.31%0.51%-1.38%$16,593$20,130$19,469-3.31%0.51%
200480.38%7.83%4.21%$16,657$21,706$20,2890.38%7.83%
200491.07%-0.23%0.38%$16,834$21,656$20,3651.07%-0.23%
2004101.51%5.39%3.56%$17,089$22,823$21,0911.51%5.39%
2004114.05%4.15%4.10%$17,781$23,769$21,9554.05%4.15%
2004123.39%4.83%4.16%$18,384$24,916$22,8703.39%4.83%
20051-2.45%-8.46%-5.46%$17,933$22,808$21,621-2.45%-8.46%
200522.09%2.85%2.46%$18,308$23,458$22,1532.09%2.85%
20053-1.76%-1.58%-1.67%$17,986$23,088$21,783-1.76%-1.58%
20054-1.91%5.81%1.84%$17,642$24,430$22,185-1.91%5.81%
200553.17%3.24%3.20%$18,201$25,221$22,8963.17%3.24%
200560.13%4.96%2.57%$18,224$26,471$23,4840.13%4.96%
200573.71%6.97%5.39%$18,900$28,316$24,7503.71%6.97%
20058-0.91%-3.74%-2.40%$18,727$27,258$24,158-0.91%-3.74%
200590.79%0.57%0.68%$18,876$27,414$24,3220.79%0.57%
200510-1.68%-2.35%-2.03%$18,559$26,770$23,829-1.68%-2.35%
2005113.76%4.25%4.02%$19,258$27,908$24,7863.76%4.25%
2005120.02%-0.10%-0.04%$19,262$27,879$24,7750.02%-0.10%
200612.65%7.53%5.09%$19,771$29,977$26,0352.65%7.53%
200620.26%1.83%1.07%$19,823$30,526$26,3130.26%1.83%
200631.23%4.83%3.09%$20,067$32,001$27,1251.23%4.83%
200641.33%-3.63%-1.27%$20,335$30,840$26,7811.33%-3.63%
20065-2.90%-2.80%-2.85%$19,746$29,977$26,019-2.90%-2.80%
200660.13%5.29%2.77%$19,771$31,562$26,7390.13%5.29%
200670.61%3.49%2.12%$19,891$32,664$27,3060.61%3.49%
200682.36%3.72%3.09%$20,361$33,880$28,1492.36%3.72%
200692.56%1.90%2.21%$20,883$34,525$28,7712.56%1.90%
2006103.25%6.11%4.77%$21,562$36,633$30,1443.25%6.11%
2006111.89%4.69%3.40%$21,969$38,351$31,1701.89%4.69%
2006121.39%-1.81%-0.36%$22,275$37,656$31,0571.39%-1.81%
200711.49%8.52%5.01%$22,607$40,865$32,6121.49%8.52%
20072-1.97%-2.41%-2.20%$22,162$39,879$31,895-1.97%-2.41%
200731.11%-2.37%-0.68%$22,409$38,933$31,6771.11%-2.37%
200744.42%-0.04%2.16%$23,399$38,918$32,3614.42%-0.04%
200753.48%-0.11%1.70%$24,212$38,873$32,9103.48%-0.11%
20076-1.68%-9.26%-5.37%$23,806$35,274$31,143-1.68%-9.26%
20077-3.08%-7.77%-5.28%$23,072$32,532$29,500-3.08%-7.77%
200781.50%6.49%3.77%$23,418$34,645$30,6121.50%6.49%
200793.72%4.25%3.97%$24,290$36,118$31,8273.72%4.25%
2007101.58%1.22%1.41%$24,673$36,557$32,2761.58%1.22%
200711-4.19%-9.32%-6.58%$23,640$33,151$30,151-4.19%-9.32%
200712-0.70%-5.11%-2.70%$23,475$31,458$29,338-0.70%-5.11%
20081-6.02%-0.34%-3.18%$22,063$31,350$28,405-6.02%-0.34%
20082-3.25%-3.73%-3.50%$21,345$30,181$27,412-3.25%-3.73%
20083-0.44%6.45%3.09%$21,251$32,126$28,260-0.44%6.45%
200844.85%5.89%5.40%$22,283$34,017$29,7864.85%5.89%
200851.29%0.14%0.68%$22,571$34,063$29,9881.29%0.14%
20086-8.44%-10.77%-9.67%$20,666$30,396$27,087-8.44%-10.77%
20087-0.83%3.15%1.25%$20,494$31,353$27,427-0.83%3.15%
200881.45%2.25%1.88%$20,791$32,060$27,9411.45%2.25%
20089-8.91%-0.11%-4.20%$18,939$32,023$26,767-8.91%-0.11%
200810-16.79%-31.23%-24.85%$15,759$22,022$20,116-16.79%-31.23%
200811-7.17%-23.39%-15.45%$14,628$16,870$17,007-7.17%-23.39%
2008121.07%17.39%8.62%$14,784$19,804$18,4731.07%17.39%
20091-8.41%-17.39%-12.90%$13,540$16,359$16,089-8.41%-17.39%
20092-10.66%-20.76%-15.45%$12,097$12,963$13,604-10.66%-20.76%
200938.76%3.76%6.54%$13,157$13,450$14,4938.76%3.76%
200949.56%31.31%18.97%$14,415$17,661$17,2439.56%31.31%
200955.62%2.36%4.06%$15,225$18,077$17,9435.62%2.36%
200960.22%-3.25%-1.41%$15,258$17,489$17,6890.22%-3.25%
200977.58%10.64%8.99%$16,414$19,350$19,2807.58%10.64%
200983.60%13.99%8.46%$17,005$22,056$20,9113.60%13.99%
200993.72%6.69%5.18%$17,637$23,531$21,9933.72%6.69%
200910-1.87%-4.64%-3.25%$17,308$22,438$21,278-1.87%-4.64%
2009115.98%6.85%6.41%$18,343$23,975$22,6425.98%6.85%
2009121.95%7.03%4.46%$18,700$25,661$23,6511.95%7.03%
20101-3.60%-5.32%-4.46%$18,026$24,295$22,595-3.60%-5.32%
201023.09%5.55%4.31%$18,583$25,643$23,5693.09%5.55%
201036.01%10.09%8.06%$19,701$28,231$25,4686.01%10.09%
201041.58%7.09%4.40%$20,012$30,234$26,5881.58%7.09%
20105-8.01%-5.41%-6.65%$18,410$28,597$24,820-8.01%-5.41%
20106-5.24%-5.24%-5.24%$17,445$27,100$23,520-5.24%-5.24%
201077.00%9.73%8.45%$18,666$29,736$25,5077.00%9.73%
20108-4.53%-1.24%-2.76%$17,820$29,367$24,802-4.53%-1.24%
201098.92%4.37%6.44%$19,410$30,650$26,3998.92%4.37%
2010103.79%4.80%4.33%$20,145$32,122$27,5423.79%4.80%
2010110.00%-2.04%-1.10%$20,145$31,466$27,2400.00%-2.04%
2010126.67%4.63%5.59%$21,489$32,924$28,7626.67%4.63%
201112.36%3.32%2.84%$21,995$34,017$29,5782.36%3.32%
201123.42%4.58%4.00%$22,747$35,575$30,7613.42%4.58%
201130.03%-1.44%-0.71%$22,753$35,064$30,5420.03%-1.44%
201142.95%5.66%4.31%$23,423$37,048$31,8572.95%5.66%
20115-1.15%1.36%0.13%$23,155$37,553$31,898-1.15%1.36%
20116-1.67%-3.35%-2.53%$22,768$36,296$31,090-1.67%-3.35%
20117-2.05%1.55%-0.21%$22,302$36,860$31,025-2.05%1.55%
20118-5.45%-5.53%-5.49%$21,087$34,823$29,322-5.45%-5.53%
20119-7.04%-10.98%-9.08%$19,602$31,000$26,658-7.04%-10.98%
20111010.91%14.39%12.68%$21,741$35,459$30,03810.91%14.39%
201111-0.23%-3.73%-2.03%$21,691$34,138$29,427-0.23%-3.73%
2011121.02%4.61%2.84%$21,911$35,711$30,2621.02%4.61%
201214.46%6.49%5.48%$22,889$38,030$31,9204.46%6.49%
201224.31%-1.12%1.57%$23,875$37,603$32,4204.31%-1.12%
201233.28%5.14%4.20%$24,659$39,536$33,7803.28%5.14%
20124-0.64%2.88%1.11%$24,501$40,677$34,154-0.64%2.88%
20125-6.02%-4.60%-5.30%$23,027$38,807$32,344-6.02%-4.60%
201264.11%5.64%4.89%$23,973$40,998$33,9254.11%5.64%
201271.37%1.93%1.66%$24,301$41,789$34,4871.37%1.93%
201282.24%-0.14%1.02%$24,845$41,733$34,8392.24%-0.14%
201292.58%-1.83%0.34%$25,486$40,969$34,9582.58%-1.83%
201210-1.86%-0.83%-1.35%$25,012$40,627$34,486-1.86%-0.83%
2012110.56%-0.37%0.09%$25,152$40,475$34,5180.56%-0.37%
2012120.90%3.69%2.29%$25,379$41,970$35,3080.90%3.69%
201315.18%3.71%4.44%$26,692$43,526$36,8765.18%3.71%
201321.34%1.24%1.29%$27,050$44,063$37,3511.34%1.24%
201333.74%2.89%3.32%$28,061$45,338$38,5913.74%2.89%
201341.91%6.70%4.28%$28,597$48,376$40,2411.91%6.70%
201352.33%-5.96%-1.86%$29,262$45,493$39,4912.33%-5.96%
20136-1.35%-1.96%-1.65%$28,867$44,601$38,841-1.35%-1.96%
201375.07%0.83%3.02%$30,331$44,972$40,0165.07%0.83%
20138-2.91%-6.86%-4.78%$29,448$41,887$38,104-2.91%-6.86%
201393.12%3.28%3.19%$30,367$43,260$39,3213.12%3.28%
2013104.59%4.46%4.53%$31,760$45,191$41,1024.59%4.46%
2013113.03%-5.23%-0.79%$32,722$42,827$40,7773.03%-5.23%
2013122.51%0.26%1.52%$33,544$42,938$41,3952.51%0.26%
20141-3.47%4.19%0.36%$32,381$44,738$41,545-3.47%4.19%
201424.56%4.96%4.77%$33,857$46,957$43,5264.56%4.96%
201430.82%0.49%0.65%$34,136$47,186$43,8090.82%0.49%
201440.72%3.37%2.10%$34,383$48,776$44,7270.72%3.37%
201452.33%2.35%2.34%$35,186$49,923$45,7762.33%2.35%
201462.05%1.14%1.57%$35,908$50,494$46,4962.05%1.14%
20147-1.39%0.04%-0.64%$35,410$50,514$46,199-1.39%0.04%
201483.98%2.93%3.43%$36,820$51,996$47,7833.98%2.93%
20149-1.41%-5.96%-3.80%$36,300$48,896$45,968-1.41%-5.96%
2014102.42%9.93%6.27%$37,179$53,751$48,8512.42%9.93%
2014112.68%1.98%2.31%$38,177$54,816$49,9792.68%1.98%
201412-0.26%1.93%0.90%$38,076$55,876$50,428-0.26%1.93%
20151-3.02%6.72%1.85%$36,927$59,633$51,363-3.02%6.72%
201525.74%-3.59%0.85%$39,046$57,495$51,8015.74%-3.59%
20153-1.59%1.72%0.07%$38,424$58,486$51,837-1.59%1.72%
201540.95%-5.92%-2.55%$38,789$55,021$50,5140.95%-5.92%
201551.27%-0.27%0.52%$39,282$54,875$50,7751.27%-0.27%
20156-1.93%-4.60%-3.23%$38,523$52,352$49,134-1.93%-4.60%
201572.08%5.60%3.77%$39,324$55,281$50,9872.08%5.60%
20158-6.04%-6.25%-6.14%$36,948$51,825$47,854-6.04%-6.25%
20159-2.49%3.02%0.20%$36,028$53,389$47,950-2.49%3.02%
2015108.42%5.78%7.09%$39,063$56,474$51,3528.42%5.78%
2015110.29%-0.64%-0.17%$39,175$56,113$51,2630.29%-0.64%
201512-1.59%1.79%0.08%$38,551$57,115$51,302-1.59%1.79%
20161-4.98%-3.36%-4.17%$36,632$55,196$49,163-4.98%-3.36%
20162-0.15%-0.43%-0.29%$36,579$54,958$49,021-0.15%-0.43%
201636.78%10.41%8.60%$39,058$60,679$53,2406.78%10.41%
201640.37%-2.41%-1.05%$39,204$59,218$52,6810.37%-2.41%
201651.78%2.36%2.07%$39,903$60,614$53,7731.78%2.36%
201660.25%6.88%3.61%$40,002$64,786$55,7130.25%6.88%
201673.68%4.18%3.94%$41,473$67,491$57,9063.68%4.18%
201680.13%-3.68%-1.87%$41,527$65,006$56,8260.13%-3.68%
201690.01%-1.83%-0.94%$41,530$63,818$56,2940.01%-1.83%
201610-1.83%-5.72%-3.81%$40,769$60,165$54,148-1.83%-5.72%
2016113.70%-1.73%0.99%$42,277$59,125$54,6843.70%-1.73%
2016121.96%4.66%3.27%$43,107$61,878$56,4721.96%4.66%
201711.88%-0.04%0.92%$43,918$61,855$56,9941.88%-0.04%
201723.96%3.43%3.70%$45,659$63,979$59,1033.96%3.43%
201730.10%-2.36%-1.12%$45,704$62,468$58,4430.10%-2.36%
201741.02%0.15%0.59%$46,170$62,559$58,7891.02%0.15%
201751.39%-0.65%0.40%$46,813$62,149$59,0241.39%-0.65%
201760.61%2.10%1.33%$47,099$63,455$59,8070.61%2.10%
201772.04%1.23%1.65%$48,061$64,236$60,7942.04%1.23%
201780.29%-0.25%0.03%$48,202$64,075$60,8130.29%-0.25%
201792.06%-0.13%1.01%$49,195$63,990$61,4242.06%-0.13%
2017102.32%-1.01%0.73%$50,335$63,341$61,8752.32%-1.01%
2017113.06%2.64%2.86%$51,875$65,010$63,6453.06%2.64%
2017121.10%-0.23%0.48%$52,447$64,864$63,9531.10%-0.23%
201815.71%-4.21%0.75%$55,443$62,134$64,4345.71%-4.21%
20182-3.69%-7.65%-5.58%$53,394$57,380$60,841-3.69%-7.65%
20183-2.56%3.83%0.41%$52,030$59,578$61,093-2.56%3.83%
201840.37%0.84%0.60%$52,224$60,077$61,4580.37%0.84%
201852.39%3.60%2.97%$53,475$62,239$63,2862.39%3.60%
201860.61%4.13%2.31%$53,798$64,810$64,7500.61%4.13%
201873.71%0.74%2.24%$55,794$65,289$66,2033.71%0.74%
201883.25%2.46%2.86%$57,605$66,895$68,0993.25%2.46%
201890.55%-2.63%-0.99%$57,924$65,133$67,4250.55%-2.63%
201810-6.85%-2.98%-5.01%$53,957$63,190$64,048-6.85%-2.98%
2018112.03%4.73%3.34%$55,051$66,178$66,1882.03%4.73%
201812-9.04%-7.97%-8.51%$50,074$60,903$60,554-9.04%-7.97%
201918.00%11.74%9.87%$54,081$68,055$66,5328.00%11.74%
201923.20%0.72%1.94%$55,812$68,546$67,8233.20%0.72%
201931.94%4.18%3.06%$56,893$71,409$69,8991.94%4.18%
201944.04%-0.10%1.94%$59,192$71,335$71,2534.04%-0.10%
20195-6.36%0.10%-3.15%$55,424$71,409$69,012-6.36%0.10%
201967.03%1.69%4.28%$59,322$72,613$71,9677.03%1.69%
201971.43%1.58%1.50%$60,168$73,762$73,0491.43%1.58%
20198-1.59%3.76%1.09%$59,211$76,533$73,848-1.59%3.76%
201991.86%1.89%1.87%$60,312$77,976$75,2311.86%1.89%
2019102.15%1.06%1.59%$61,611$78,807$76,4302.15%1.06%
2019113.62%-1.28%1.11%$63,842$77,800$77,2783.62%-1.28%
2019123.01%0.81%1.91%$65,761$78,430$78,7523.01%0.81%

Returns Based Style Analysis

Returns Based Style Analysis
Style CategoryPortfolio 1Portfolio 2Portfolio 3
Large-cap Value47.15%0.00%24.31%
Large-cap Growth52.66%0.00%25.41%
Mid-cap Value0.00%0.00%0.00%
Mid-cap Growth0.00%0.00%0.00%
Small-cap Value0.00%0.05%0.33%
Small-cap Growth0.00%0.00%0.00%
Global ex-US Developed Markets0.00%0.00%0.00%
Emerging Markets0.00%0.00%0.00%
REITs0.00%99.95%49.57%
Corporate Bonds0.00%0.01%0.38%
Long-Term Treasuries0.00%0.00%0.00%
Intermediate-Term Treasuries0.20%0.00%0.00%
Short-Term Treasuries0.00%0.00%0.00%
R Squared99.92%99.90%99.94%
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
VFINXVanguard 500 Index InvestorLarge Blend100.00%0.14%19.68$55,761100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Fixed Income Maturity

Holdings Based Style Analysis for Portfolio 2

Holdings Based Style Analysis for Portfolio 2
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VGSIXVanguard Real Estate Index InvestorReal Estate100.00%0.26%25.90$68,430100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

Holdings Based Style Analysis for Portfolio 3

Holdings Based Style Analysis for Portfolio 3
TickerNameCategoryWeightERP/EReturn ContributionRisk Contribution
VFINXVanguard 500 Index InvestorLarge Blend50.00%0.14%19.68$35,33340.99%
VGSIXVanguard Real Estate Index InvestorReal Estate50.00%0.26%25.90$33,41959.01%
100.00%0.20%22.79$68,752100.00%

Asset Allocation

Equity Market Capitalization

Equity Sectors

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 1Portfolio 2Portfolio 3
Arithmetic Mean (monthly)0.78%0.92%0.85%
Arithmetic Mean (annualized)9.75%11.57%10.69%
Geometric Mean (monthly)0.68%0.75%0.75%
Geometric Mean (annualized)8.53%9.37%9.39%
Volatility (monthly)4.30%5.70%4.41%
Volatility (annualized)14.90%19.75%15.27%
Downside Deviation (monthly)2.92%3.89%3.07%
Max. Drawdown-50.97%-68.28%-58.66%
US Market Correlation0.990.570.85
Beta(*)0.960.740.85
Alpha (annualized)0.15%3.92%2.12%
R297.88%33.03%72.18%
Sharpe Ratio0.490.450.53
Sortino Ratio0.700.650.75
Treynor Ratio (%)7.5412.039.59
Calmar Ratio1.120.701.06
Active Return-0.14%0.69%0.71%
Tracking Error2.24%16.63%8.38%
Information Ratio-0.060.040.08
Skewness-0.67-0.65-1.08
Excess Kurtosis1.117.685.79
Historical Value-at-Risk (5%)-7.26%-7.67%-6.17%
Analytical Value-at-Risk (5%)-6.30%-8.46%-6.41%
Conditional Value-at-Risk (5%)-9.88%-13.93%-10.98%
Upside Capture Ratio (%)95.6976.2486.31
Downside Capture Ratio (%)95.5466.5979.61
Safe Withdrawal Rate7.66%8.31%8.63%
Perpetual Withdrawal Rate5.91%6.63%6.64%
Positive Periods180 out of 276 (65.22%)166 out of 276 (60.14%)183 out of 276 (66.30%)
Gain/Loss Ratio0.841.050.86
* US stock market 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 1Portfolio 2Portfolio 3
Asian CrisisJul 1997Jan 1998-5.61%-2.80%-3.40%
Russian Debt DefaultJul 1998Oct 1998-15.38%-15.48%-15.42%
Dotcom CrashMar 2000Oct 2002-44.82%-13.01%-15.76%
Subprime CrisisNov 2007Mar 2009-50.97%-64.54%-57.85%

Drawdowns for Portfolio 1

Drawdowns for Portfolio 1 (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%
6Jan 2000Feb 20002 monthsMar 20001 month3 months-6.84%
7May 2019May 20191 monthJun 20191 month2 months-6.36%
8Jul 1999Sep 19993 monthsNov 19992 months5 months-6.25%
9Feb 2018Mar 20182 monthsJul 20184 months6 months-6.16%
10Aug 1997Aug 19971 monthNov 19973 months4 months-5.61%
Worst 10 drawdowns included above

Drawdowns for Portfolio 2

Drawdowns for Portfolio 2 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Feb 2007Feb 20092 years 1 monthJun 20123 years 4 months5 years 5 months-68.28%
2Jan 1998Nov 19991 year 11 monthsDec 20001 year 1 month3 years-22.09%
3Aug 2016Feb 20181 year 7 monthsJan 201911 months2 years 6 months-14.98%
4Apr 2004Apr 20041 monthAug 20044 months5 months-14.56%
5May 2013Aug 20134 monthsApr 20148 months1 year-13.41%
6Feb 2015Aug 20157 monthsMar 20167 months1 year 2 months-13.09%
7Jul 2002Oct 20024 monthsMay 20037 months11 months-13.01%
8Jan 2005Jan 20051 monthMay 20054 months5 months-8.46%
9Sep 2001Oct 20012 monthsDec 20012 months4 months-7.12%
10Apr 2006May 20062 monthsJul 20062 months4 months-6.33%
Worst 10 drawdowns included above

Drawdowns for Portfolio 3

Drawdowns for Portfolio 3 (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Jun 2007Feb 20091 year 9 monthsMar 20123 years 1 month4 years 10 months-58.66%
2Apr 2002Sep 20026 monthsJul 200310 months1 year 4 months-15.76%
3Apr 1998Aug 19985 monthsJan 19995 months10 months-15.61%
4Sep 2018Dec 20184 monthsMar 20193 months7 months-11.08%
5Sep 2000Oct 20011 year 2 monthsMar 20025 months1 year 7 months-9.82%
6Apr 2004Apr 20041 monthAug 20044 months5 months-8.37%
7Apr 2015Aug 20155 monthsMar 20167 months1 year-7.68%
8Jul 1999Sep 19993 monthsMar 20006 months9 months-7.02%
9Aug 2016Oct 20163 monthsFeb 20174 months7 months-6.49%
10Feb 2018Feb 20181 monthJun 20184 months5 months-5.58%
Worst 10 drawdowns included above

Portfolio Assets

Performance statistics for portfolio components
TickerNameCAGRStdevBest YearWorst YearMax. DrawdownSharpe RatioSortino RatioUS Mkt Correlation
VFINXVanguard 500 Index Investor8.53%14.90%33.19%-37.02%-50.97%0.490.700.99
VGSIXVanguard Real Estate Index Investor9.37%19.75%35.65%-37.05%-68.28%0.450.650.57

Monthly Correlations

Correlations for the portfolio assets
TickerNameVFINXVGSIXPortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor1.000.551.000.550.84
VGSIXVanguard Real Estate Index Investor0.551.000.551.000.91

Portfolio Return Decomposition

Portfolio return decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor$55,761$35,333
VGSIXVanguard Real Estate Index Investor$68,430$33,419

Portfolio Risk Decomposition

Portfolio risk decomposition
TickerNamePortfolio 1Portfolio 2Portfolio 3
VFINXVanguard 500 Index Investor100.00%40.99%
VGSIXVanguard Real Estate Index Investor100.00%59.01%

Annual Asset Returns

Rolling returns summary
Roll PeriodPortfolio 1Portfolio 2Portfolio 3
AverageHighLowAverageHighLowAverageHighLow
1 year10.18%33.19%-37.02%11.09%35.65%-37.05%10.63%32.08%-37.03%
3 years7.60%27.53%-14.60%9.75%25.67%-12.00%8.91%19.99%-9.32%
5 years6.49%17.81%-2.38%10.16%22.70%-1.06%8.63%17.51%-0.52%
7 years6.67%14.67%-1.64%10.27%21.68%1.89%8.79%15.71%2.27%
10 years6.17%13.40%-1.46%9.64%14.18%5.09%8.22%12.78%3.28%
15 years6.25%9.79%4.13%9.86%12.51%7.94%8.38%10.48%7.11%
Result statistics are based on annualized rolling returns over full calendar year periods